As filed with the Securities and Exchange Commission on December 6, 2007
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: 811-21715
LEHMAN BROTHERS INSTITUTIONAL LIQUIDITY FUNDS
(Exact Name of the Registrant as Specified in Charter)
605 Third Avenue, 2nd Floor
New York, New York 10158-0180
(Address of Principal Executive Offices – Zip Code)
Registrant's telephone number, including area code: (212) 476-8800
Peter E. Sundman, Chairman of the Board and Chief Executive Officer
Lehman Brothers Institutional Liquidity Funds
605 Third Avenue, 2nd Floor
New York, New York 10158-0180
Arthur Delibert, Esq.
Kirkpatrick & Lockhart Preston Gates Ellis LLP
1601 K Street, N.W.
Washington, D.C. 20006-1600
(Names and Addresses of agents for service)
Date of fiscal year end: March 31, 2008
Date of reporting period: September 30, 2007
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, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Shareholders
Lehman Brothers
Institutional Liquidity Funds
Institutional Class Cash Management Class Capital Class Select Class | Administrative Class Service Class Premier Class |
Money Market Portfolio Prime Portfolio Government Portfolio Government Reserves Portfolio | Treasury Portfolio Tax-Exempt Portfolio Municipal Portfolio |
Semi-Annual Report
September 30, 2007
Contents
THE PORTFOLIOS | |
Chairman's Letter | 1 |
PORTFOLIO COMMENTARY/MATURITY DIVERSIFICATION | |
Money Market Portfolio | 3 |
Prime Portfolio | 3 |
Government Portfolio | 6 |
Government Reserves Portfolio | 6 |
Treasury Portfolio | 6 |
Tax-Exempt Portfolio | 8 |
Municipal Portfolio | 10 |
Portfolio Expense Information | 16 |
FINANCIAL STATEMENTS | 22 |
FINANCIAL HIGHLIGHTS/PER SHARE DATA | |
Money Market Portfolio | 40 |
Prime Portfolio | 44 |
Government Portfolio | 48 |
Government Reserves Portfolio | 52 |
Treasury Portfolio | 56 |
Tax-Exempt Portfolio | 60 |
Municipal Portfolio | 64 |
THE MASTER SERIES' | |
SCHEDULE OF INVESTMENTS | |
Money Market Master Series | 70 |
Prime Master Series | 74 |
Government Master Series | 80 |
Government Reserves Master Series | 82 |
Treasury Master Series | 83 |
Tax-Exempt Master Series | 84 |
Municipal Master Series | 103 |
FINANCIAL STATEMENTS | 118 |
FINANCIAL HIGHLIGHTS | |
Money Market Master Series | 129 |
Prime Master Series | 130 |
Government Master Series | 131 |
Government Reserves Master Series | 132 |
Treasury Master Series | 133 |
Tax-Exempt Master Series | 134 |
Municipal Master Series | 135 |
Directory | 137 |
Proxy Voting Policies and Procedures | 138 |
Quarterly Portfolio Schedule | 138 |
Board Consideration of the Management and Sub-Advisory Agreements | 138 |
©2007 Lehman Brothers Asset Management LLC All rights reserved.
Chairman's Letter
Dear Shareholder,
I am pleased to present to you this semi-annual report for the Lehman Brothers Institutional Liquidity Funds for the period ended September 30, 2007. The report includes portfolio commentaries, listings of the Portfolios' investments, and their financial statements for the reporting period.
The period was marked by extreme volatility in both credit and equity markets, as the housing decline finally began to affect the broader fixed income markets. Beginning in July, reports of problems at two hedge funds began to unsettle investors, leading to a flight to the safety of Treasuries that dislocated short-term rates. After using a variety of available policy levers during the worst of the crisis, the Federal Reserve took strong action in September by cutting the Fed Funds rate by 50 basis points, in an effort to prevent credit issues from affecting the broader economy.
During the period, we introduced several new portfolios into the Institutional Liquidity Funds. Our new Portfolios are the Government Reserves Portfolio, the Tax-Exempt Portfolio and the Municipal Portfolio. As always, our goal is to offer competitive products that meet the specific needs of institutional investors.
The Portfolios performed admirably and as expected throughout the period. Our investment strategy combines a distinct process for interest rate risk management with dedicated credit research to build portfolios of high-quality securities that seek to respond quickly to changes in interest rates without sacrificing yield.
As always, we intend to proceed with caution to protect our clients' principal and maintain daily liquidity and diversification.
Sincerely,
PETER SUNDMAN
CHAIRMANOFTHE BOARD
LEHMAN BROTHERS INSTITUTIONAL LIQUIDITY FUNDS
1
Institutional Liquidity Funds Portfolio Commentaries
We are pleased to report that both the Money Market Portfolio Institutional Class and the Prime Portfolio Institutional Class delivered positive returns and outperformed the iMoneyNet Money Fund Report Taxable First Tier Institutional Average for the six months ended September 30, 2007.
The Federal Reserve remained on hold throughout most of the period, with rates at 5.25%. The minutes from the Federal Open Market Committee's March meeting (released in April) indicated the Fed's reluctance to cut rates, given the level of inflation-despite the slowing of the economy. However, market expectations for a rate cut remained in place, as seen by a gradual drop in short-term Treasury yields. In April, a demand and supply imbalance drove the yield on the three-month U.S. Treasury bill to its lowest level since June 2006, and this yield dropped lower still in June as prices increased. Beginning in July, worries about reports of large losses at hedge funds in the subprime and collateralized debt space led to a flight-to-quality bid for Treasuries and a slight widening of risk premiums in the market.
New challenges arose in July for the credit markets, as the perceived risk of owning corporate bonds soared. Investors became increasingly concerned about contagion to the broader market from the shakeout in subprime mortgages, leading to more investors taking refuge in Treasuries. Premiums for lending increased dramatically, as the excesses of a prolonged period of liquidity began to be removed from the market. While the Fed left rates unchanged at its August 7 meeting, citing the risk that inflation would "fail to moderate," the central bank did acknowledge the ongoing housing correction and tighter credit conditions as issues.
Shortly thereafter, in response to the deepening turmoil in the markets, the Fed lowered the Discount rate (the interest rate charged to banks), began accepting a wider range of collateral at the discount window and added substantial additional reserves to the banking system. These steps were seen by many as a "surgical approach," in which all the levers of monetary policy available to the Fed would be employed, in contrast to a hasty move to lower the Fed Funds rate.
September brought the release of August payroll figures, which were negative for the first time in four years, as well as a sharp revision to the prior two months' figures-and seen as apparent proof that the employment situation appeared to be worsening. (August payroll figures were adjusted upward in October) This, coupled with a housing market that continued to see declining prices and higher inventories, heightened the Fed's interest in preempting any material effects on economic growth.
As a result, the Fed reduced the Fed Funds rate by 50 basis points at its September meeting, marking its first rate reduction since 2003. The move to 4.75% was only the second time in the last 20 years that an easing cycle had commenced with a 50 basis point reduction. In taking rates lower, the Federal Open Market Committee commented that the action was "intended to help forestall some of the adverse effects on the broader economy that might otherwise arise from the disruptions in the financial markets." The committee added that it was prepared to "act as needed to foster price stability and sustainable economic growth."
After an impressive rally, the two-year U.S. Treasury note closed out September at below 4% for the first time since 2005, finishing the period yielding 3.99%, while the 10-year note finished at 4.59% and the three-month U.S. Treasury bill yielded 3.80%.
The U.S. economy has been extremely resilient thus far. However, we anticipate that further deterioration in the housing market will start to take its toll on the consumer and ultimately business investment. The market is suffering from a crisis of confidence, and while the Fed remains reluctant to take rates lower, we believe that the easing cycle may continue.
2
Money Market Portfolio
For the six months ended September 30, 2007, the Money Market Portfolio Institutional Class returned 2.67% compared to the iMoneyNet Money Fund Report Taxable First Tier Institutional Average's 2.54%. The Portfolio's Institutional Class closed the period with a 5.34% seven-day current yield and a 5.48% seven-day effective yield; this more closely reflects current earnings than six-month or one-year figures.
MONEY MARKET MASTER SERIES
Maturity Diversification (% by Maturity)
1 - 7 Days | 29.8 | % | |
8 - 30 Days | 28.4 | ||
31 - 90 Days | 25.6 | ||
91 - 180 Days | 13.9 | ||
181+ Days | 2.3 |
Prime Portfolio
For the six months ended September 30, 2007, the Prime Portfolio Institutional Class returned 2.66% compared to the iMoneyNet Money Fund Report Taxable First Tier Institutional Average's 2.54%. The Portfolio's Institutional Class closed the period with a 5.31% seven-day current yield and a 5.45% seven-day effective yield; this more closely reflects current earnings than six-month or one-year figures.
Sincerely,
JOHN C. DONOHUEAND TIMOTHY J. ROBEY
PORTFOLIO CO-MANAGERS
PRIME MASTER SERIES
Maturity Diversification (% by Maturity)
1 - 7 Days | 50.2 | % | |
8 - 30 Days | 22.1 | ||
31 - 90 Days | 17.6 | ||
91 - 180 Days | 8.5 | ||
181+ Days | 1.6 |
3
PERFORMANCE HIGHLIGHTS
The seven-day current and seven-day effective yields as of September 30, 2007 were as follows:8 | ||||||||||||||||||||||||||||
Lehman Brothers Institutional Liquidity Funds | ||||||||||||||||||||||||||||
Institutional Class4 | Cash Management Class3 | Capital Class2 | Select Class6 | Administrative Class1 | Service Class7 | Premier Class5 | ||||||||||||||||||||||
7-day Current Yield | 7-day Effective Yield | 7-day Current Yield | 7-day Effective Yield | 7-day Current Yield | 7-day Effective Yield | 7-day Current Yield | 7-day Effective Yield | 7-day Current Yield | 7-day Effective Yield | 7-day Current Yield | 7-day Effective Yield | 7-day Current Yield | 7-day Effective Yield | |||||||||||||||
Money Market Portfolio | 5.34% | 5.48% | 5.28% | 5.42% | 5.24% | 5.38% | 5.19% | 5.32% | 5.09% | 5.22% | 4.94% | 5.06% | 4.84% | 4.96% | ||||||||||||||
Prime Portfolio | 5.31% | 5.45% | 5.26% | 5.40% | 5.21% | 5.35% | 5.16% | 5.29% | 5.06% | 5.19% | 4.91% | 5.03% | 4.81% | 4.93% |
Performance data quoted represent past performance, which is no guarantee of future results. The investment return on an investment in a money market fund will fluctuate. Current performance may be lower or higher than the performance quoted. For performance data current to the most recent month-end, call 888.556.9030. The composition, industries and holdings of each fund are subject to change.
An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although each Portfolio seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in each Portfolio.
4
Institutional Liquidity Funds Portfolio Commentaries
We are pleased to report that the Government Portfolio Institutional Class and the Treasury Portfolio Institutional Class delivered positive returns and outperformed the iMoneyNet Money Fund Report Government & Agencies Institutional Average and the iMoneyNet Money Fund Report Treasury & Repo Institutional Average, respectively, for the six months ended September 30, 2007. The Government Reserves Portfolio Institutional Class delivered positive returns for the period from its inception on July 9, 2007 through September 30, 2007.
The Federal Reserve remained on hold throughout most of the period, with rates at 5.25%. The minutes from the Federal Open Market Committee's March meeting (released in April) indicated the Fed's reluctance to cut rates, given the level of inflation—despite the slowing of the economy. However, market expectations for a rate cut remained in place, as seen by a gradual drop in short-term Treasury yields. In April, a demand and supply imbalance drove the yield on the three-month U.S. Treasury bill to its lowest level since June 2006, and this yield dropped lower still in June as prices increased. Beginning in July, worries about reports of large losses at hedge funds in the subprime and collateralized debt space led to a flight-to-quality bid for Treasuries and a slight widening of risk premiums in the market.
New challenges arose in July for the credit markets, as the perceived risk of owning corporate bonds soared. Investors became increasingly concerned about contagion to the broader market from the shakeout in subprime mortgages, leading to more investors taking refuge in Treasuries. Premiums for lending increased dramatically, as the excesses of a prolonged period of liquidity began to be removed from the market. While the Fed left rates unchanged at its August 7 meeting, citing the risk that inflation would "fail to moderate," the central bank did acknowledge the ongoing housing correction and tighter credit conditions as issues.
Shortly thereafter, in response to the deepening turmoil in the markets, the Fed lowered the Discount rate (the interest rate charged to banks), began accepting a wider range of collateral at the discount window and added substantial additional reserves to the banking system. These steps were seen by many as a "surgical approach," in which all the levers of monetary policy available to the Fed would be employed, in contrast to a hasty move to lower the Fed Funds rate.
September brought the release of August payroll figures, which were negative for the first time in four years, as well as a sharp revision to the prior two months' figures-and seen as apparent proof that the employment situation appeared to be worsening. (August payroll figures were adjusted upward in October) This, coupled with a housing market that continued to see declining prices and higher inventories heightened the Fed's interest in preempting any material effects on economic growth.
As a result, the Fed reduced the Fed Funds rate by 50 basis points at its September meeting, marking its first rate reduction since 2003. The move to 4.75% was only the second time in the last 20 years that an easing cycle had commenced with a 50 basis point reduction. In taking rates lower, the Federal Open Market Committee commented that the action was "intended to help forestall some of the adverse effects on the broader economy that might otherwise arise from the disruptions in the financial markets." The committee added that it was prepared to "act as needed to foster price stability and sustainable economic growth."
After an impressive rally, the two-year U.S. Treasury note closed out September at below 4% for the first time since 2005, finishing the period yielding 3.99%, while the 10-year note finished at 4.59% and the three-month U.S. Treasury bill yielded 3.80%.
The U.S. economy has been extremely resilient thus far. However, we anticipate that further deterioration in the housing market will start to take its toll on the consumer and ultimately business investment. The market is suffering from a crisis of confidence, and while the Fed remains reluctant to take rates lower, we believe that the easing cycle may continue.
5
Government Portfolio
For the six months ended September 30, 2007, the Government Portfolio Institutional Class returned 2.59% compared to the iMoneyNet Money Fund Report Government & Agencies Institutional Average's 2.48%. The Portfolio's Institutional Class closed the period with a 4.99% seven-day current yield and a 5.11% seven-day effective yield; this more closely reflects current earnings than six-month or one-year figures.
GOVERNMENT MASTER SERIES
Maturity Diversification (% by Maturity)
1 - 7 Days | 59.4 | % | |
8 - 30 Days | 11.2 | ||
31 - 90 Days | 20.8 | ||
91 - 180 Days | 6.1 | ||
181+ Days | 2.5 |
Government Reserves Portfolio
For the period from inception on July 9, 2007 through September 30, 2007, the Government Reserves Portfolio Institutional Class returned 1.17%. The Portfolio's Institutional Class closed the period with a 4.98% seven-day current yield and a 5.10% seven-day effective yield; this more closely reflects current earnings than six-month or one-year figures.
GOVERNMENT RESERVES MASTER SERIES
Maturity Diversification (% by Maturity)
1 - 7 Days | 20.9 | % | |
8 - 30 Days | 20.7 | ||
31 - 90 Days | 47.2 | ||
91 - 180 Days | 9.6 | ||
181+ Days | 1.6 |
Treasury Portfolio
For the six months ended September 30, 2007, the Treasury Portfolio Institutional Class returned 2.47% compared to the iMoneyNet Money Fund Report Treasury & Repo Institutional Average's 2.35%. The Portfolio's Institutional Class closed the period with a 4.29% seven-day current yield and a 4.38% seven-day effective yield; this more closely reflects current earnings than six-month or one-year figures.
TREASURY MASTER SERIES
Maturity Diversification (% by Maturity)
1 - 7 Days | 95.4 | % | |
8 - 30 Days | 0.0 | ||
31 - 90 Days | 0.0 | ||
91 - 180 Days | 1.3 | ||
181+ Days | 3.3 |
Sincerely,
JOHN C. DONOHUEAND SCOTT F. RIECKE
PORTFOLIO CO-MANAGERS
6
PERFORMANCE HIGHLIGHTS
The seven-day current and seven-day effective yields as of September 30, 2007 were as follows:8 | ||||||||||||||||||||||||||||
Lehman Brothers Institutional Liquidity Funds | ||||||||||||||||||||||||||||
Institutional Class4 | Cash Management | Capital Class2 | Select Class6 | Administrative Class1 | Service Class7 | Premier Class5 | ||||||||||||||||||||||
7-day Current Yield | 7-day Effective Yield | 7-day Current Yield | 7-day Effective Yield | 7-day Current Yield | 7-day Effective Yield | 7-day Current Yield | 7-day Effective Yield | 7-day Current Yield | 7-day Effective Yield | 7-day Current Yield | 7-day Effective Yield | 7-day Current Yield | 7-day Effective Yield | |||||||||||||||
Govern- ment Portfolio | 4.99% | 5.11% | 4.94% | 5.06% | 4.89% | 5.01% | 4.84% | 4.96% | 4.74% | 4.85% | 4.59% | 4.69% | 4.49% | 4.59% | ||||||||||||||
Govern- ment Reserve Portfolio | 4.98% | 5.10% | 4.93% | 5.05% | 4.88% | 5.00% | 4.83% | 4.95% | 4.73% | 4.84% | 4.58% | 4.68% | 4.48% | 4.58% | ||||||||||||||
Treasury Portfolio | 4.29% | 4.38% | 4.24% | 4.33% | 4.19% | 4.28% | 4.14% | 4.23% | 4.04% | 4.12% | 3.89% | 3.97% | 3.79% | 3.86% |
Performance data quoted represent past performance, which is no guarantee of future results. The investment return on an investment in a money market fund will fluctuate. Current performance may be lower or higher than the performance quoted. For performance data current to the most recent month-end, call 888.556.9030. The composition, industries and holdings of each fund are subject to change.
An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although each Portfolio seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in each Portfolio.
7
Institutional Liquidity Funds Portfolio Commentary
We are pleased to report that the Tax-Exempt Portfolio Institutional Class earned a positive return from its inception on September 10, 2007 through the period ended September 30, 2007.
The first 20 days of the Portfolio's operation coincided with one of the (for now) final acts of a market crisis that had held investors' attention for most of the summer. After holding the Fed Funds rate steady in June and August, despite the increasing turmoil, the Federal Reserve lowered this rate by 50 basis points in September, marking the first rate reduction since 2003. The Fed's move to 4.75% was only the second occasion in the last 20 years in which the Fed has commenced an easing cycle with a 50 basis point reduction. In taking rates lower, the Fed's Open Market Committee commented that its action "is intended to help forestall some of the adverse effects on the broader economy that might otherwise arise from the disruptions in the financial markets." The committee added that it is prepared to "act as needed to foster price stability and sustainable economic growth."
During the brief reporting period, weak payroll figures appeared to suggest that the employment situation was worsening. Viewing this, along with a housing market that continues to see declining prices and skyrocketing inventory, the Federal Reserve in lowering rates sought to preempt any material effects from the summer's tight liquidity conditions on economic growth.
The U.S. economy has been extremely resilient thus far. However, we anticipate that further deterioration in the housing market will start to take its toll on the consumer and ultimately business investment. The market is suffering from a crisis of confidence, and while the Fed remains reluctant to take rates lower, we believe that the easing cycle may continue.
During the brief reporting period, tax-exempt money market fund yields rose relative to the previous two months. While the lack of liquidity in the marketplace continues to affect short term yields, we have witnessed signs of normalcy returning to the money fund arena. We attribute the rising yields more to an abundant supply of paper in the market than to the credit crisis. Over the period, tax-exempt/taxable ratios looked unusually cheap for variable rate demand notes that reset both daily and weekly, and we expect non-traditional buyers to enter the marketplace going forward. We continue to maintain a duration neutral stance, with the Portfolio's weighted average maturity in a range of 25-30 days.
Tax-Exempt Portfolio
For the 20-day period from the inception of the Portfolio on September 10, 2007 through September 30, 2007, the Tax-Exempt Portfolio Institutional Class returned 0.21%. The Portfolio's Institutional Class closed the reporting period with a 3.75% seven-day current yield* and a 3.82% seven-day effective yield; this more closely reflects current earnings than six-month or one-year figures.
TAX-EXEMPT MASTER SERIES
Maturity Diversification (% by Maturity)
1 - 7 Days | 87.3 | % | |
8 - 30 Days | 1.0 | ||
31 - 90 Days | 3.4 | ||
91 - 180 Days | 2.4 | ||
181+ Days | 5.9 |
8
Sincerely,
![]() | ![]() |
WILLIAM J. FURRERAND KRISTIAN J. LIND
PORTFOLIO CO-MANAGERS
* | Current yield more closely reflects current earnings than does total return. Tax-equivalent yield is based on the maximum federal income tax rate of 35%. |
PERFORMANCE HIGHLIGHTS
The seven-day current, seven-day effective and seven-day tax-equivalent effective yields as of September 30, 2007 were as follows:8 | ||||||||||||||||||||||||
Lehman Brothers Institutional Liquidity Funds | ||||||||||||||||||||||||
Institutional Class4 | Cash Management | Capital Class2 | Select Class6 | |||||||||||||||||||||
7-day Current Yield | 7-day Effective Yield | Tax- Equivalent Effective Yield | 7-day Current Yield | 7-day Effective Yield | Tax- Equivalent Effective Yield | 7-day Current Yield | 7-day Effective Yield | Tax- Equivalent Effective Yield | 7-day Current Yield | 7-day Effective Yield | Tax- Equivalent Effective Yield | |||||||||||||
Tax- Exempt Portfolio | 3.75% | 3.82% | 5.94% | 3.70% | 3.77% | 5.85% | 3.65% | 3.72% | 5.78% | 3.60% | 3.66% | 5.69% | ||||||||||||
Administrative Class1 | Service Class7 | Premier Class5 | ||||||||||||||||||||||
7-day Current Yield | 7-day Effective Yield | Tax- Equivalent Effective Yield | 7-day Current Yield | 7-day Effective Yield | Tax- Equivalent Effective Yield | 7-day Current Yield | 7-day Effective Yield | Tax- Equivalent Effective Yield | ||||||||||||||||
Tax- Exempt Portfolio | 3.50% | 3.56% | 5.52% | 3.35% | 3.41% | 5.28% | 3.25% | 3.30% | 5.12% |
Performance data quoted represent past performance, which is no guarantee of future results. The investment return on an investment in a money market fund will fluctuate. Current performance may be lower or higher than the performance quoted. For performance data current to the most recent month-end, call 888.556.9030. The composition, industries and holdings of each fund are subject to change.
An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although each Portfolio seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in each Portfolio.
9
Institutional Liquidity Funds Portfolio Commentary
We are pleased to report that the Municipal Portfolio Institutional Class earned a positive return from its inception on September 10, 2007 through the period ended September 30, 2007.
The first 20 days of the Portfolio's operation coincided with one of the (for now) final acts of a market crisis that had held investors' attention for most of the summer. After holding the Fed Funds rate steady in June and August, despite the increasing turmoil, the Federal Reserve lowered this rate by 50 basis points in September, marking the first rate reduction since 2003. The Fed's move to 4.75% was only the second occasion in the last 20 years in which the Fed has commenced an easing cycle with a 50 basis point reduction. In taking rates lower, the Fed's Open Market Committee commented that its action "is intended to help forestall some of the adverse effects on the broader economy that might otherwise arise from the disruptions in the financial markets." The committee added that it is prepared to "act as needed to foster price stability and sustainable economic growth."
During the brief reporting period, weak payroll figures appeared to suggest that the employment situation was worsening. Viewing this, along with a housing market that continues to see declining prices and skyrocketing inventory, the Federal Reserve in lowering rates sought to preempt any material effects from the summer's tight liquidity conditions on economic growth.
The U.S. economy has been extremely resilient thus far. However, we anticipate that further deterioration in the housing market will start to take its toll on the consumer and ultimately business investment. The market is suffering from a crisis of confidence, and while the Fed remains reluctant to take rates lower, we believe that the easing cycle may continue.
During the brief reporting period, tax-exempt money market fund yields rose relative to the previous two months. While the lack of liquidity in the marketplace continues to affect short term yields, we have witnessed signs of normalcy returning to the money fund arena. We attribute the rising yields more to an abundant supply of paper in the market than to the credit crisis. Over the period, tax-exempt/taxable ratios looked unusually cheap for variable rate demand notes that reset both daily and weekly, and we expect non-traditional buyers to enter the marketplace going forward. We continue to maintain a duration neutral stance, with the Portfolio's weighted average maturity in a range of 25-30 days.
Municipal Portfolio
For the 20-day period from the inception of the Portfolio on September 10, 2007 through September 30, 2007, the Municipal Portfolio Institutional Class returned 0.22%. The Portfolio's Institutional Class closed the reporting period with a 3.81% seven-day current yield* and a 3.88% seven-day effective yield; this more closely reflects current earnings than six-month or one-year figures.
MUNICIPAL MASTER SERIES
Maturity Diversification (% by Maturity)
1 - 7 Days | 88.2 | % | |
8 - 30 Days | 0.3 | ||
31 - 90 Days | 1.4 | ||
91 - 180 Days | 5.7 | ||
181+ Days | 4.4 |
10
Sincerely,
![]() | ![]() |
WILLIAM J. FURRERAND KRISTIAN J. LIND
PORTFOLIO CO-MANAGERS
* | Current yield more closely reflects current earnings than does total return. Tax-equivalent yield is based on the maximum federal income tax rate of 35%. |
PERFORMANCE HIGHLIGHTS
The seven-day current, seven-day effective and seven-day tax-equivalent effective yields as of September 30, 2007 were as follows:8 | ||||||||||||||||||||||||
Lehman Brothers Institutional Liquidity Funds | ||||||||||||||||||||||||
Institutional Class4 | Cash Management Class3 | Capital Class2 | Select Class6 | |||||||||||||||||||||
7-day Current Yield | 7-day Effective Yield | Tax- Equivalent Effective Yield | 7-day Current Yield | 7-day Effective Yield | Tax- Equivalent Effective Yield | 7-day Current Yield | 7-day Effective Yield | Tax- Equivalent Effective Yield | 7-day Current Yield | 7-day Effective Yield | Tax- Equivalent Effective Yield | |||||||||||||
Municipal Portfolio | 3.81% | 3.88% | 6.03% | 3.76% | 3.83% | 5.95% | 3.71% | 3.78% | 5.87% | 3.66% | 3.73% | 5.79% | ||||||||||||
Administrative Class1 | Service Class7 | Premier Class5 | ||||||||||||||||||||||
7-day Current Yield | 7-day Effective Yield | Tax- Equivalent Effective Yield | 7-day Current Yield | 7-day Effective Yield | Tax- Equivalent Effective Yield | 7-day Current Yield | 7-day Effective Yield | Tax- Equivalent Effective Yield | ||||||||||||||||
Municipal Portfolio | 3.56% | 3.62% | 5.63% | 3.41% | 3.47% | 5.39% | 3.31% | 3.36% | 5.22% |
Performance data quoted represent past performance, which is no guarantee of future results. The investment return on an investment in a money market fund will fluctuate. Current performance may be lower or higher than the performance quoted. For performance data current to the most recent month-end, call 888.556.9030. The composition, industries and holdings of each fund are subject to change.
An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although each Portfolio seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in each Portfolio.
11
Endnotes
1 | Neuberger Berman Management Inc. (Management) has contractually agreed to forgo current payment of fees and/or reimburse certain expenses of the Administrative Class of each Portfolio through 3/31/2010, so that the total annual operating expenses of the Administrative Class of each Portfolio are limited to 0.45% of its average net assets. This arrangement does not cover interest, taxes, brokerage commissions and extraordinary expenses. Each Portfolio has agreed that its Administrative Class will repay Management for fees and expenses foregone or reimbursed for that Class provided that repayment does not cause the annual operating expenses of that Class of the Portfolio to exceed the above-stated expense limitation and the reimbursements are made within three years after the year that Management incurred the expense. In addition to the contractual limitation, Management has voluntarily reimbursed the Administrative Class of each of Money Market Portfolio, Prime Portfolio, Government Portfolio, Government Reserves Portfolio and Treasury Portfolio an additional 0.10% per annum of the class' average daily net assets. Management has voluntarily reimbursed the Administrative Class of each of Tax-Exempt Portfolio and Municipal Portfolio an additional 0.05% per annum of the class' average daily net assets. For the period ended September 30, 2007, if reimbursements were not made, performance would be lower for the Administrative Class of each Portfolio. |
2 | Management has contractually agreed to forgo current payment of fees and/or reimburse certain expenses of the Capital Class of each Portfolio through 3/31/2010, so that the total annual operating expenses of the Capital Class of each Portfolio are limited to 0.30% of its average net assets. This arrangement does not cover interest, taxes, brokerage commissions and extraordinary expenses. Each Portfolio has agreed that its Capital Class will repay Management for fees and expenses foregone or reimbursed for that Class provided that repayment does not cause the annual operating expenses of that Class of the Portfolio to exceed the above-stated expense limitation and the reimbursements are made within three years after the year that Management incurred the expense. In addition to the contractual limitation, Management has voluntarily reimbursed the Capital Class of each of Money Market Portfolio, Prime Portfolio, Government Portfolio, Government Reserves Portfolio and Treasury Portfolio an additional 0.10% per annum of the class' average daily net assets. Management has voluntarily reimbursed the Capital Class of each of Tax-Exempt Portfolio and Municipal Portfolio an additional 0.05% per annum of the class' average daily net assets. For the period ended September 30, 2007, if reimbursements were not made, performance would be lower for the Capital Class of each Portfolio. |
3 | Management has contractually agreed to forgo current payment of fees and/or reimburse certain expenses of the Cash Management Class of each Portfolio through 3/31/2010, so that the total annual operating expenses of the Cash Management Class of each Portfolio are limited to 0.25% of its average net assets. This arrangement does not cover interest, taxes, brokerage commissions and extraordinary expenses. Each Portfolio has agreed that its Cash Management Class will repay Management for fees and expenses foregone or reimbursed for that Class provided that repayment does not cause the annual operating expenses of that Class of the Portfolio to exceed the above-stated expense limitation and the reimbursements are made within three years after the year that Management incurred the expense. In addition to the contractual limitation, Management has voluntarily reimbursed the Cash Management Class of each of Money Market Portfolio, Prime Portfolio, Government Portfolio, Government Reserves Portfolio and Treasury Portfolio an additional 0.10% per annum of the class' average daily net assets. Management has voluntarily reimbursed the Cash Management Class of each of Tax-Exempt Portfolio and Municipal Portfolio an additional 0.05% per annum of the class' average daily net assets. For the period ended September 30, 2007, if reimbursements were not made, performance would be lower for the Cash Management Class of each Portfolio. |
4 | Management has contractually agreed to forgo current payment of fees and/or reimburse certain expenses of the Institutional Class of each Portfolio through 3/31/2010, so that the total annual operating expenses of the Institutional Class of each Portfolio are limited to 0.20% of its average net assets. This arrangement does not cover interest, taxes, brokerage commissions and extraordinary expenses. Each Portfolio has agreed that its Institutional Class will repay Management for fees and expenses foregone or reimbursed for that Class provided that repayment |
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does not cause the annual operating expenses of that Class of the Portfolio to exceed the above-stated expense limitation and the reimbursements are made within three years after the year that Management incurred the expense. In addition to the contractual limitation, Management has voluntarily reimbursed the Institutional Class of each of Money Market Portfolio, Prime Portfolio, Government Portfolio, Government Reserves Portfolio and Treasury Portfolio an additional 0.10% per annum of the class' average daily net assets. Management has voluntarily reimbursed the Institutional Class of each of Tax-Exempt Portfolio and Municipal Portfolio an additional 0.05% per annum of the class' average daily net assets. For the period ended September 30, 2007, if reimbursements were not made, performance would be lower for the Institutional Class of each Portfolio. |
5 | Management has contractually agreed to forgo current payment of fees and/or reimburse certain expenses of the Premier Class of each Portfolio through 3/31/2010, so that the total annual operating expenses of the Premier Class of each Portfolio are limited to 0.70% of its average net assets. This arrangement does not cover interest, taxes, brokerage commissions and extraordinary expenses. Each Portfolio has agreed that its Premier Class will repay Management for fees and expenses foregone or reimbursed for that Class provided that repayment does not cause the annual operating expenses of that Class of the Portfolio to exceed the above-stated expense limitation and the reimbursements are made within three years after the year that Management incurred the expense. In addition to the contractual limitation, Management has voluntarily reimbursed the Premier Class of each of Money Market Portfolio, Prime Portfolio, Government Portfolio, Government Reserves Portfolio and Treasury Portfolio an additional 0.10% per annum of the class' average daily net assets. Management has voluntarily reimbursed the Premier Class of each of Tax-Exempt Portfolio and Municipal Portfolio an additional 0.05% per annum of the class' average daily net assets. For the period ended September 30, 2007, if reimbursements were not made, performance would be lower for the Premier Class of each Portfolio. |
6 | Management has contractually agreed to forgo current payment of fees and/or reimburse certain expenses of the Select Class of each Portfolio through 3/31/2010, so that the total annual operating expenses of the Select Class of each Portfolio are limited to 0.35% of its average net assets. This arrangement does not cover interest, taxes, brokerage commissions and extraordinary expenses. Each Portfolio has agreed that its Select Class will repay Management for fees and expenses foregone or reimbursed for that Class provided that repayment does not cause the annual operating expenses of that Class of the Portfolio to exceed the above-stated expense limitation and the reimbursements are made within three years after the year that Management incurred the expense. In addition to the contractual limitation, Management has voluntarily reimbursed the Select Class of each of Money Market Portfolio, Prime Portfolio, Government Portfolio, Government Reserves Portfolio and Treasury Portfolio an additional 0.10% per annum of the class' average daily net assets. Management has voluntarily reimbursed the Select Class of each of Tax-Exempt Portfolio and Municipal Portfolio an additional 0.05% per annum of the class' average daily net assets. For the period ended September 30, 2007, if reimbursements were not made, performance would be lower for the Select Class of each Portfolio. |
7 | Management has contractually agreed to forgo current payment of fees and/or reimburse certain expenses of the Service Class of each Portfolio through 3/31/2010, so that the total annual operating expenses of the Service Class of each Portfolio are limited to 0.60% of its average net assets. This arrangement does not cover interest, taxes, brokerage commissions and extraordinary expenses. Each Portfolio has agreed that its Service Class will repay Management for fees and expenses foregone or reimbursed for that Class provided that repayment does not cause the annual operating expenses of that Class of the Portfolio to exceed the above-stated expense limitation and the reimbursements are made within three years after the year that Management incurred the expense. In addition to the contractual limitation, Management has voluntarily reimbursed the Service Class of each of Money Market Portfolio, Prime Portfolio, Government Portfolio, Government Reserves Portfolio and Treasury Portfolio an additional 0.10% per annum of the class' average daily net assets. Management has voluntarily reimbursed the Service Class of each of Tax-Exempt Portfolio and Municipal Portfolio an additional 0.05% per annum of the class' average daily net assets. For the period ended September 30, 2007, if reimbursements were not made, performance would be lower for the Service Class of each Portfolio. |
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8 | "Current yield" of a money market fund refers to the income generated by an investment in a Portfolio over a recent 7-day period. This income is then "annualized." The "effective yield" is calculated similarly but, when annualized, the income earned by an investment in the Portfolio is assumed to be reinvested. The "effective yield" will be slightly higher than the "current yield" because of the compounding effect of this assumed reinvestment. Yields of a money market fund will fluctuate and past performance is not a guarantee of future results. Tax-equivalent effective yield is the taxable effective yield that an investor would have had to receive in order to realize the same level of yield after federal income taxes at the highest federal tax rate, currently 35%, assuming that all of a Fund's income is exempt from federal income taxes. Unaudited performance data current to the most recent month-end are available by calling 888-556-9030 or visiting www.lehman.com/lbilf. |
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Glossary of Indices
The iMoneyNet Money Fund Report Taxable First Tier Institutional Average: | Measures the performance of institutional money market mutual funds which invest in anything allowable under SEC regulations governing money market funds, except Second Tier Commercial Paper. |
The iMoneyNet Money Fund Report Government & Agencies Institutional Average: | Measures the performance of institutional money market mutual funds which invest in obligations of the U.S. Treasury (T-Bills), repurchase agreements, or U.S. Government Agency securities. |
The iMoneyNet Money Fund Report Treasury & Repo Institutional Average: | Measures the performance of institutional money market mutual funds which invest in obligations of the U.S. Treasury (T-Bills) and repurchase agreements. |
Please note that indices do not take into account any fees and expenses or any tax consequences of investing in the individual securities that they track and that individuals cannot invest directly in any index. Data about the performance of these indices are prepared or obtained by Neuberger Berman Management Inc. and include reinvestment of all dividends and capital gain distributions. The Portfolios may invest in securities not included in the above-described indices.
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Information About Your Portfolio's Expenses
These tables are designed to provide information regarding costs related to your investments. All mutual funds incur operating expenses, which include each portfolio's proportionate share of expenses of its corresponding master series, administrative service fees and other expenses. The following examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The tables illustrate the portfolio's costs in two ways:
Actual Expenses and Performance: | The first section of the table provides information about actual account values and actual expenses in dollars, based on the portfolio's actual performance during the period. You may use the information in this line, together with the amount you invested, to estimate the expenses 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 section of the table under the heading entitled "Expenses Paid During the Period" to estimate the expenses you paid over the period. |
Hypothetical Example for Comparison Purposes: | The second section of the table provides information about hypothetical account values and hypothetical expenses based on the portfolio's actual expense ratio and an assumed rate of return at 5% per year before expenses. This return 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 these portfolios versus other funds. To do so, compare the expenses shown in this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. |
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Expense Information As of 9/30/07 (Unaudited)
MONEY MARKET PORTFOLIO
Actual | Beginning Account 4/1/07 | Ending Account 9/30/07 | Expenses Paid During the Period* 4/1/07 - 9/30/07 | Expense Ratio | ||||
Institutional Class | $1,000.00 | $1,026.70 | $0.51 | .10% | ||||
Cash Management Class | $1,000.00 | $1,026.40 | $0.76 | .15% | ||||
Capital Class | $1,000.00 | $1,026.20 | $1.01 | .20% | ||||
Select Class | $1,000.00 | $1,025.90 | $1.27 | .25% | ||||
Administrative Class | $1,000.00 | $1,025.40 | $1.77 | .35% | ||||
Service Class | $1,000.00 | $1,024.60 | $2.53 | .50% | ||||
Premier Class | $1,000.00 | $1,024.10 | $3.04 | .60% | ||||
Hypothetical (5% annual return before expenses)**** | ||||||||
Institutional Class | $1,000.00 | $1,024.50 | $0.51 | .10% | ||||
Cash Management Class | $1,000.00 | $1,024.25 | $0.76 | .15% | ||||
Capital Class | $1,000.00 | $1,024.00 | $1.01 | .20% | ||||
Select Class | $1,000.00 | $1,023.75 | $1.26 | .25% | ||||
Administrative Class | $1,000.00 | $1,023.25 | $1.77 | .35% | ||||
Service Class | $1,000.00 | $1,022.50 | $2.53 | .50% | ||||
Premier Class | $1,000.00 | $1,022.00 | $3.03 | .60% |
PRIME PORTFOLIO
Actual | Beginning Account 4/1/07 | Ending Account 9/30/07 | Expenses Paid During the Period* 4/1/07 - 9/30/07 | Expense Ratio | ||||
Institutional Class | $1,000.00 | $1,026.60 | $0.51 | .10% | ||||
Cash Management Class | $1,000.00 | $1,026.40 | $0.76 | .15% | ||||
Capital Class | $1,000.00 | $1,026.10 | $1.01 | .20% | ||||
Select Class | $1,000.00 | $1,025.90 | $1.27 | .25% | ||||
Administrative Class | $1,000.00 | $1,025.40 | $1.77 | .35% | ||||
Service Class | $1,000.00 | $1,024.60 | $2.53 | .50% | ||||
Premier Class | $1,000.00 | $1,024.10 | $3.04 | .60% | ||||
Hypothetical (5% annual return before expenses)**** | ||||||||
Institutional Class | $1,000.00 | $1,024.50 | $0.51 | .10% | ||||
Cash Management Class | $1,000.00 | $1,024.25 | $0.76 | .15% | ||||
Capital Class | $1,000.00 | $1,024.00 | $1.01 | .20% | ||||
Select Class | $1,000.00 | $1,023.75 | $1.26 | .25% | ||||
Administrative Class | $1,000.00 | $1,023.25 | $1.77 | .35% | ||||
Service Class | $1,000.00 | $1,022.50 | $2.53 | .50% | ||||
Premier Class | $1,000.00 | $1,022.00 | $3.03 | .60% |
* | For each class of the portfolio, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period shown). Each portfolio's expense ratio includes its proportionate share of the expenses of its corresponding master series. |
** | For each class of the portfolio, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 84/366 (to reflect the period shown). Each portfolio's expense ratio includes its proportionate share of the expenses of its corresponding master series. |
*** | For each class of the portfolio, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 21/366 (to reflect the period shown). Each portfolio's expense ratio includes its proportionate share of the expenses of its corresponding master series. |
**** | Hypothetical 5% annual return before expenses is calculated by multiplying the number of days in the most recent period divided by 366. |
^ | The date investment operations commenced. |
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GOVERNMENT PORTFOLIO
Actual | Beginning Account 4/1/07 | Ending Account 9/30/07 | Expenses Paid During the Period* 4/1/07 - 9/30/07 | Expense Ratio | ||||
Institutional Class | $1,000.00 | $1,025.90 | $0.51 | .10% | ||||
Cash Management Class | $1,000.00 | $1,025.70 | $0.76 | .15% | ||||
Capital Class | $1,000.00 | $1,025.40 | $1.01 | .20% | ||||
Select Class | $1,000.00 | $1,025.20 | $1.27 | .25% | ||||
Administrative Class | $1,000.00 | $1,024.70 | $1.77 | .35% | ||||
Service Class | $1,000.00 | $1,023.90 | $2.53 | .50% | ||||
Premier Class | $1,000.00 | $1,023.40 | $3.04 | .60% | ||||
Hypothetical (5% annual return before expenses)**** | ||||||||
Institutional Class | $1,000.00 | $1,024.50 | $0.51 | .10% | ||||
Cash Management Class | $1,000.00 | $1,024.25 | $0.76 | .15% | ||||
Capital Class | $1,000.00 | $1,024.00 | $1.01 | .20% | ||||
Select Class | $1,000.00 | $1,023.75 | $1.26 | .25% | ||||
Administrative Class | $1,000.00 | $1,023.25 | $1.77 | .35% | ||||
Service Class | $1,000.00 | $1,022.50 | $2.53 | .50% | ||||
Premier Class | $1,000.00 | $1,022.00 | $3.03 | .60% |
GOVERNMENT RESERVES PORTFOLIO
Actual | Beginning Account 7/9/07^ | Ending Account 9/30/07 | Expenses Paid During the Period** 7/9/07 - 9/30/07 | Expense Ratio | ||||
Institutional Class | $1,000.00 | $1,011.70 | $0.23 | .10% | ||||
Cash Management Class | $1,000.00 | $1,011.50 | $0.35 | .15% | ||||
Capital Class | $1,000.00 | $1,011.40 | $0.46 | .20% | ||||
Select Class | $1,000.00 | $1,011.30 | $0.58 | .25% | ||||
Administrative Class | $1,000.00 | $1,011.10 | $0.81 | .35% | ||||
Service Class | $1,000.00 | $1,010.70 | $1.15 | .50% | ||||
Premier Class | $1,000.00 | $1,010.50 | $1.38 | .60% | ||||
Hypothetical (5% annual return before expenses)**** | ||||||||
Institutional Class | $1,000.00 | $1,011.25 | $0.23 | .10% | ||||
Cash Management Class | $1,000.00 | $1,011.13 | $0.35 | .15% | ||||
Capital Class | $1,000.00 | $1,011.02 | $0.46 | .20% | ||||
Select Class | $1,000.00 | $1,010.90 | $0.58 | .25% | ||||
Administrative Class | $1,000.00 | $1,010.67 | $0.81 | .35% | ||||
Service Class | $1,000.00 | $1,010.33 | $1.15 | .50% | ||||
Premier Class | $1,000.00 | $1,010.10 | $1.38 | .60% |
* | For each class of the portfolio, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period shown). Each portfolio's expense ratio includes its proportionate share of the expenses of its corresponding master series. |
** | For each class of the portfolio, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 84/366 (to reflect the period shown). Each portfolio's expense ratio includes its proportionate share of the expenses of its corresponding master series. |
*** | For each class of the portfolio, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 21/366 (to reflect the period shown). Each portfolio's expense ratio includes its proportionate share of the expenses of its corresponding master series. |
**** | Hypothetical 5% annual return before expenses is calculated by multiplying the number of days in the most recent period divided by 366. |
^ | The date investment operations commenced. |
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TREASURY PORTFOLIO
Actual | Beginning Account Value 4/1/07 | Ending Account Value 9/30/07 | Expenses Paid During the Period* 4/1/07 - 9/30/07 | Expense Ratio | ||||
Institutional Class | $1,000.00 | $1,024.70 | $0.51 | .10% | ||||
Cash Management Class | $1,000.00 | $1,024.50 | $0.76 | .15% | ||||
Capital Class | $1,000.00 | $1,024.20 | $1.01 | .20% | ||||
Select Class | $1,000.00 | $1,024.00 | $1.27 | .25% | ||||
Administrative Class | $1,000.00 | $1,023.50 | $1.77 | .35% | ||||
Service Class | $1,000.00 | $1,022.70 | $2.53 | .50% | ||||
Premier Class | $1,000.00 | $1,022.20 | $3.03 | .60% | ||||
Hypothetical (5% annual return before expenses)**** | ||||||||
Institutional Class | $1,000.00 | $1,024.50 | $0.51 | .10% | ||||
Cash Management Class | $1,000.00 | $1,024.25 | $0.76 | .15% | ||||
Capital Class | $1,000.00 | $1,024.00 | $1.01 | .20% | ||||
Select Class | $1,000.00 | $1,023.75 | $1.26 | .25% | ||||
Administrative Class | $1,000.00 | $1,023.25 | $1.77 | .35% | ||||
Service Class | $1,000.00 | $1,022.50 | $2.53 | .50% | ||||
Premier Class | $1,000.00 | $1,022.00 | $3.03 | .60% |
TAX-EXEMPT PORTFOLIO
Actual | Beginning Account Value 9/10/07^ | Ending Account Value 9/30/07 | Expenses Paid During the Period*** 9/10/07 - 9/30/07 | Expense Ratio | ||||
Institutional Class | $1,000.00 | $1,002.10 | $0.09 | .15% | ||||
Cash Management Class | $1,000.00 | $1,002.10 | $0.11 | .20% | ||||
Capital Class | $1,000.00 | $1,002.10 | $0.14 | .25% | ||||
Select Class | $1,000.00 | $1,002.00 | $0.17 | .30% | ||||
Administrative Class | $1,000.00 | $1,002.00 | $0.23 | .40% | ||||
Service Class | $1,000.00 | $1,001.90 | $0.32 | .55% | ||||
Premier Class | $1,000.00 | $1,001.80 | $0.37 | .65% | ||||
Hypothetical (5% annual return before expenses)**** | ||||||||
Institutional Class | $1,000.00 | $1,002.78 | $0.09 | .15% | ||||
Cash Management Class | $1,000.00 | $1,002.75 | $0.11 | .20% | ||||
Capital Class | $1,000.00 | $1,002.73 | $0.14 | .25% | ||||
Select Class | $1,000.00 | $1,002.70 | $0.17 | .30% | ||||
Administrative Class | $1,000.00 | $1,002.64 | $0.23 | .40% | ||||
Service Class | $1,000.00 | $1,002.55 | $0.32 | .55% | ||||
Premier Class | $1,000.00 | $1,002.50 | $0.37 | .65% |
* | For each class of the portfolio, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period shown). Each portfolio's expense ratio includes its proportionate share of the expenses of its corresponding master series. |
** | For each class of the portfolio, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 84/366 (to reflect the period shown). Each portfolio's expense ratio includes its proportionate share of the expenses of its corresponding master series. |
*** | For each class of the portfolio, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 21/366 (to reflect the period shown). Each portfolio's expense ratio includes its proportionate share of the expenses of its corresponding master series. |
**** | Hypothetical 5% annual return before expenses is calculated by multiplying the number of days in the most recent period divided by 366. |
^ | The date investment operations commenced. |
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MUNICIPAL PORTFOLIO
Actual | Beginning Account Value 9/10/07^ | Ending Account Value 9/30/07 | Expenses Paid During the Period*** 9/10/07 - 9/30/07 | Expense Ratio | ||||
Institutional Class | $1,000.00 | $1,002.20 | $0.09 | .15% | ||||
Cash Management Class | $1,000.00 | $1,002.10 | $0.11 | .20% | ||||
Capital Class | $1,000.00 | $1,002.10 | $0.14 | .25% | ||||
Select Class | $1,000.00 | $1,002.10 | $0.17 | .30% | ||||
Administrative Class | $1,000.00 | $1,002.00 | $0.23 | .40% | ||||
Service Class | $1,000.00 | $1,001.90 | $0.32 | .55% | ||||
Premier Class | $1,000.00 | $1,001.90 | $0.37 | .65% | ||||
Hypothetical (5% annual return before expenses)**** | ||||||||
Institutional Class | $1,000.00 | $1,002.78 | $0.09 | .15% | ||||
Cash Management Class | $1,000.00 | $1,002.75 | $0.11 | .20% | ||||
Capital Class | $1,000.00 | $1,002.73 | $0.14 | .25% | ||||
Select Class | $1,000.00 | $1,002.70 | $0.17 | .30% | ||||
Administrative Class | $1,000.00 | $1,002.64 | $0.23 | .40% | ||||
Service Class | $1,000.00 | $1,002.55 | $0.32 | .55% | ||||
Premier Class | $1,000.00 | $1,002.50 | $0.37 | .65% |
* | For each class of the portfolio, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period shown). Each portfolio's expense ratio includes its proportionate share of the expenses of its corresponding master series. |
** | For each class of the portfolio, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 84/366 (to reflect the period shown). Each portfolio's expense ratio includes its proportionate share of the expenses of its corresponding master series. |
*** | For each class of the portfolio, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 21/366 (to reflect the period shown). Each portfolio's expense ratio includes its proportionate share of the expenses of its corresponding master series. |
**** | Hypothetical 5% annual return before expenses is calculated by multiplying the number of days in the most recent period divided by 366. |
^ | The date investment operations commenced. |
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Statements of Assets and Liabilities (Unaudited)
Institutional Liquidity Funds
(000's omitted except per share amounts)
MONEY MARKET PORTFOLIO | PRIME PORTFOLIO | |||||
September 30, 2007 | September 30, 2007 | |||||
Assets | ||||||
Investment in corresponding Master Series, at value (Note A) | $92,043 | $9,041,281 | ||||
Receivable from administrator-net (Note B) | 17 | - | ||||
Prepaid expenses and other assets | - | - | ||||
Total Assets | 92,060 | 9,041,281 | ||||
Liabilities | ||||||
Dividends payable | 34 | 4,691 | ||||
Payable to administrator-net (Note B) | - | 102 | ||||
Accrued expenses and other payables | 72 | 12 | ||||
Total Liabilities | 106 | 4,805 | ||||
Net Assets at value | $91,954 | $9,036,476 | ||||
Net Assets consist of: | ||||||
Paid-in capital | $91,959 | $9,036,657 | ||||
Distributions in excess of net investment income | - | (123 | ) | |||
Accumulated net realized gains (losses) on investment | (5 | ) | (58 | ) | ||
Net Assets at value | $91,954 | $9,036,476 | ||||
Net Assets | ||||||
Institutional Class | $80,088 | $8,542,491 | ||||
Cash Management Class | 6,866 | 121,879 | ||||
Capital Class | 1,000 | 1,000 | ||||
Select Class | 1,000 | 1,000 | ||||
Administrative Class | 1,000 | 11,742 | ||||
Service Class | 1,000 | 1,000 | ||||
Premier Class | 1,000 | 357,364 | ||||
Shares Outstanding ($.001 par value; unlimited shares authorized) | ||||||
Institutional Class | 80,093 | 8,542,664 | ||||
Cash Management Class | 6,866 | 121,880 | ||||
Capital Class | 1,000 | 1,000 | ||||
Select Class | 1,000 | 1,000 | ||||
Administrative Class | 1,000 | 11,742 | ||||
Service Class | 1,000 | 1,000 | ||||
Premier Class | 1,000 | 357,372 | ||||
Net Asset Value, offering and redemption price per share | ||||||
Institutional Class | $1.00 | $1.00 | ||||
Cash Management Class | 1.00 | 1.00 | ||||
Capital Class | 1.00 | 1.00 | ||||
Select Class | 1.00 | 1.00 | ||||
Administrative Class | 1.00 | 1.00 | ||||
Service Class | 1.00 | 1.00 | ||||
Premier Class | 1.00 | 1.00 |
See Notes to Financial Statements
22
GOVERNMENT PORTFOLIO | GOVERNMENT RESERVES PORTFOLIO | TREASURY PORTFOLIO | TAX-EXEMPT PORTFOLIO | MUNICIPAL PORTFOLIO | |||||
September 30, 2007 | September 30, 2007 | September 30, 2007 | September 30, 2007 | September 30, 2007 | |||||
$670,187 | $299,136 | $756,754 | $140,411 | $129,699 | |||||
15 | 22 | 20 | 6 | 10 | |||||
29 | 57 | - | - | - | |||||
670,231 | 299,215 | 756,774 | 140,417 | 129,709 | |||||
973 | 374 | 1,114 | 156 | 14 | |||||
- | - | - | - | - | |||||
- | - | 60 | 8 | 9 | |||||
973 | 374 | 1,174 | 164 | 23 | |||||
$669,258 | $298,841 | $755,600 | $140,253 | $129,686 | |||||
$669,262 | $298,840 | $755,550 | $140,253 | $129,686 | |||||
- | - | - | - | - | |||||
(4 | ) | 1 | 50 | - | - | ||||
$669,258 | $298,841 | $755,600 | $140,253 | $129,686 | |||||
$659,698 | $292,841 | $749,600 | $134,253 | $123,686 | |||||
1,000 | 1,000 | 1,000 | 1,000 | 1,000 | |||||
1,000 | 1,000 | 1,000 | 1,000 | 1,000 | |||||
3,524 | 1,000 | 1,000 | 1,000 | 1,000 | |||||
2,036 | 1,000 | 1,000 | 1,000 | 1,000 | |||||
1,000 | 1,000 | 1,000 | 1,000 | 1,000 | |||||
1,000 | 1,000 | 1,000 | 1,000 | 1,000 | |||||
659,702 | 292,840 | 749,550 | 134,253 | 123,686 | |||||
1,000 | 1,000 | 1,000 | 1,000 | 1,000 | |||||
1,000 | 1,000 | 1,000 | 1,000 | 1,000 | |||||
3,524 | 1,000 | 1,000 | 1,000 | 1,000 | |||||
2,036 | 1,000 | 1,000 | 1,000 | 1,000 | |||||
1,000 | 1,000 | 1,000 | 1,000 | 1,000 | |||||
1,000 | 1,000 | 1,000 | 1,000 | 1,000 | |||||
$1.00 | $1.00 | $1.00 | $1.00 | $1.00 | |||||
1.00 | 1.00 | 1.00 | 1.00 | 1.00 | |||||
1.00 | 1.00 | 1.00 | 1.00 | 1.00 | |||||
1.00 | 1.00 | 1.00 | 1.00 | 1.00 | |||||
1.00 | 1.00 | 1.00 | 1.00 | 1.00 | |||||
1.00 | 1.00 | 1.00 | 1.00 | 1.00 | |||||
1.00 | 1.00 | 1.00 | 1.00 | 1.00 |
23
Statements of Operations (Unaudited)
Institutional Liquidity Funds
(000's omitted)
MONEY MARKET PORTFOLIO | PRIME PORTFOLIO | |||||
For the Six Months Ended September 30, 2007 | For the Six Months Ended September 30, 2007 | |||||
Investment Income | ||||||
Investment income from corresponding Master Series (Note A) | $3,571 | $134,110 | ||||
Expenses from corresponding Master Series (Notes A & B) | (68 | ) | (2,310 | ) | ||
Net investment income from corresponding Master Series | $3,503 | $131,800 | ||||
Expenses: | ||||||
Administration fees (Note B) | 66 | 2,485 | ||||
Distribution fees (Note B): | ||||||
Service Class | 1 | 1 | ||||
Premier Class | 1 | 316 | ||||
Audit fees | 9 | 4 | ||||
Legal fees | 17 | 17 | ||||
Registration and filing fees | 51 | 81 | ||||
Shareholder reports | 12 | 16 | ||||
Shareholder servicing agent fees (Note B): | ||||||
Institutional Class | 1 | 1 | ||||
Cash Management Class | - | 9 | ||||
Capital Class | 1 | 1 | ||||
Select Class | 1 | 1 | ||||
Administrative Class | 1 | 14 | ||||
Service Class | 1 | 1 | ||||
Premier Class | 1 | 316 | ||||
Trustees' fees and expenses | 3 | 3 | ||||
Accounting Fees | 10 | 10 | ||||
Miscellaneous | 3 | 5 | ||||
Total expenses | 179 | 3,281 | ||||
Expenses reimbursed by administrator (Note B) | (107 | ) | - | |||
Expenses waived by administrator (Note B) | (66 | ) | (2,447 | ) | ||
Total net expenses | 6 | 834 | ||||
Net investment income (loss) | 3,497 | 130,966 | ||||
Realized and Unrealized Gain (Loss) on Investments (Note A): | ||||||
Net gain (loss) on investments from corresponding Master Series | (5 | ) | (52 | ) | ||
Net increase (decrease) in net assets resulting from operations | $3,492 | $130,914 | ||||
See Notes to Financial Statements
24
GOVERNMENT PORTFOLIO | GOVERNMENT RESERVES PORTFOLIO | TREASURY PORTFOLIO | TAX-EXEMPT PORTFOLIO | MUNICIPAL PORTFOLIO | |||||||||
For the Six Months Ended September 30, 2007 | Period from July 9, 2007 (Commencement of Operations) to September 30, 2007 | For the Six Months Ended September 30, 2007 | Period from September 10, 2007 (Commencement of Operations) to September 30, 2007 | Period from September 10, 2007 (Commencement of Operations) to September 30, 2007 | |||||||||
$11,526 | $2,784 | $12,071 | $182 | $178 | |||||||||
(237 | ) | (87 | ) | (274 | ) | (5 | ) | (7 | ) | ||||
$11,289 | $2,697 | $11,797 | $177 | $171 | |||||||||
220 | 54 | 244 | 5 | 5 | |||||||||
1 | - | 1 | - | - | |||||||||
1 | 1 | 1 | - | - | |||||||||
9 | 6 | 5 | 1 | 2 | |||||||||
17 | 8 | 17 | 2 | 2 | |||||||||
6 | 8 | 87 | 2 | 2 | |||||||||
15 | 8 | 13 | 3 | 3 | |||||||||
8 | 1 | 8 | - | - | |||||||||
- | - | - | - | - | |||||||||
1 | - | 1 | - | - | |||||||||
2 | - | 1 | - | - | |||||||||
12 | 1 | 1 | - | - | |||||||||
1 | 1 | 1 | - | - | |||||||||
1 | - | 1 | - | - | |||||||||
3 | 2 | 3 | 1 | - | |||||||||
10 | - | 10 | - | - | |||||||||
3 | - | 7 | - | 1 | |||||||||
310 | 90 | 401 | 14 | 15 | |||||||||
(89 | ) | (65 | ) | (179 | ) | (8 | ) | (12 | ) | ||||
(220 | ) | (54 | ) | (244 | ) | (2 | ) | (2 | ) | ||||
1 | (29 | ) | (22 | ) | 4 | 1 | |||||||
11,288 | 2,726 | 11,819 | 173 | 170 | |||||||||
(4 | ) | 1 | 50 | - | - | ||||||||
$11,284 | $2,727 | $11,869 | $173 | $170 | |||||||||
25
Statements of Changes in Net Assets
Institutional Liquidity Funds
(000's omitted)
MONEY MARKET PORTFOLIO | ||||||
Six Months Ended September 30, 2007 (Unaudited) | Period from December 18, 2006 (Commencement of Operations) to March 31, 2007 | |||||
Increase (Decrease) in Net Assets: | ||||||
From Operations: | ||||||
Net investment income (loss) | $3,497 | $1,492 | ||||
Net realized gain (loss) on investments from corresponding Master Series | (5 | ) | - | |||
Net increase (decrease) in net assets resulting from operations | 3,492 | 1,492 | ||||
Distributions to Shareholders From (Note A): | ||||||
Net investment income | ||||||
Institutional Class | (3,325 | ) | (1,405 | ) | ||
Cash Management Class | (47 | ) | (15 | ) | ||
Capital Class | (26 | ) | (15 | ) | ||
Select Class | (26 | ) | (15 | ) | ||
Administrative Class | (25 | ) | (14 | ) | ||
Service Class | (24 | ) | (14 | ) | ||
Premier Class | (24 | ) | (14 | ) | ||
Total distributions to shareholders | (3,497 | ) | (1,492 | ) | ||
From Portfolio Share Transactions (Note D): | ||||||
Proceeds from shares sold in initial capitalization | ||||||
Institutional Class | - | - | ||||
Proceeds from shares sold | ||||||
Institutional Class | 2,494,396 | 818,316 | ||||
Cash Management Class | 75,345 | 1,000 | ||||
Capital Class | - | 1,000 | ||||
Select Class | - | 1,000 | ||||
Administrative Class | - | 1,000 | ||||
Service Class | - | 1,000 | ||||
Premier Class | - | 1,000 | ||||
Proceeds from reinvestment of dividends and distributions | ||||||
Institutional Class | 1,891 | 1,309 | ||||
Cash Management Class | 21 | - | ||||
Select Class | - | - | ||||
Administrative Class | - | - | ||||
Premier Class | - | - | ||||
Payments for shares redeemed | ||||||
Institutional Class | (2,575,196 | ) | (660,623 | ) | ||
Cash Management Class | (69,500 | ) | - | |||
Select Class | - | - | ||||
Administrative Class | - | - | ||||
Premier Class | - | - | ||||
Net increase (decrease) from Portfolio share transactions | (73,043 | ) | 165,002 | |||
Net Increase (Decrease) in Net Assets | (73,048 | ) | 165,002 | |||
Net Assets: | ||||||
Beginning of period | 165,002 | |||||
End of period | $91,954 | $165,002 | ||||
Distributions in excess of net investment income at end of period | $- | $- |
See Notes to Financial Statements
26
PRIME PORTFOLIO | GOVERNMENT PORTFOLIO | |||||||||
Six Months Ended September 30, 2007 (Unaudited) | Period from December 18, 2006 (Commencement of Operations) to March 31, 2007 | Six Months Ended September 30, 2007 (Unaudited) | Period from December 18, 2006 (Commencement of Operations) to March 31, 2007 | |||||||
$130,966 | $14,020 | $11,288 | $6,556 | |||||||
(52 | ) | (6 | ) | (4 | ) | - | ||||
130,914 | 14,014 | 11,284 | 6,556 | |||||||
(123,746 | ) | (13,921 | ) | (10,892 | ) | (6,456 | ) | |||
(906 | ) | (15 | ) | (25 | ) | (15 | ) | |||
(26 | ) | (15 | ) | (25 | ) | (15 | ) | |||
(26 | ) | (15 | ) | (69 | ) | (15 | ) | |||
(291 | ) | (14 | ) | (230 | ) | (28 | ) | |||
(24 | ) | (14 | ) | (24 | ) | (14 | ) | |||
(6,070 | ) | (27 | ) | (23 | ) | (13 | ) | |||
(131,089 | ) | (14,021 | ) | (11,288 | ) | (6,556 | ) | |||
- | - | - | 100 | |||||||
36,161,761 | 6,998,533 | 3,984,938 | 3,470,000 | |||||||
120,000 | 1,000 | - | 1,000 | |||||||
- | 1,000 | - | 1,000 | |||||||
- | 1,000 | 8,115 | 1,000 | |||||||
43,413 | 1,000 | 295,300 | 2,814 | |||||||
- | 1,000 | - | 1,000 | |||||||
2,335,674 | 12,304 | - | 1,000 | |||||||
94,787 | 9,616 | 3,493 | 214 | |||||||
880 | - | - | - | |||||||
- | - | 44 | - | |||||||
265 | - | 34 | 14 | |||||||
5,366 | 11 | - | - | |||||||
(30,133,392 | ) | (4,588,641 | ) | (3,823,043 | ) | (2,976,000 | ) | |||
- | - | - | - | |||||||
- | - | (5,635 | ) | - | ||||||
(32,936 | ) | - | (295,750 | ) | (376 | ) | ||||
(1,992,008 | ) | (3,975 | ) | - | - | |||||
6,603,810 | 2,432,848 | 167,496 | 501,766 | |||||||
6,603,635 | 2,432,841 | 167,492 | 501,766 | |||||||
2,432,841 | - | 501,766 | - | |||||||
$9,036,476 | $2,432,841 | $669,258 | $501,766 | |||||||
$(123 | ) | $- | $- | $- |
27
Statements of Changes in Net Assets
GOVERNMENT RESERVES PORTFOLIO | |||
Period from July 9, 2007 (Commencement of Operations) to September 30, 2007 (Unaudited) | |||
Increase (Decrease) in Net Assets: | |||
From Operations: | |||
Net investment income (loss) | $2,726 | ||
Net realized gain (loss) on investments from corresponding Master Series | 1 | ||
Net increase (decrease) in net assets resulting from operations | 2,727 | ||
Distributions to Shareholders From (Note A): | |||
Net investment income | |||
Institutional Class | (2,660 | ) | |
Cash Management Class | (12 | ) | |
Capital Class | (11 | ) | |
Select Class | (11 | ) | |
Administrative Class | (11 | ) | |
Service Class | (11 | ) | |
Premier Class | (10 | ) | |
Total distributions to shareholders | (2,726 | ) | |
From Portfolio Share Transactions (Note D): | |||
Proceeds from shares sold in initial capitalization | |||
Institutional Class | - | ||
Proceeds from shares sold | |||
Institutional Class | 995,956 | ||
Cash Management Class | 1,000 | ||
Capital Class | 1,000 | ||
Select Class | 1,000 | ||
Administrative Class | 1,000 | ||
Service Class | 1,000 | ||
Premier Class | 1,000 | ||
Proceeds from reinvestment of dividends and distributions | |||
Institutional Class | 1,503 | ||
Cash Management Class | - | ||
Select Class | - | ||
Administrative Class | - | ||
Premier Class | - | ||
Payments for shares redeemed | |||
Institutional Class | (704,619 | ) | |
Cash Management Class | - | ||
Select Class | - | ||
Administrative Class | - | ||
Premier Class | - | ||
Net increase (decrease) from Portfolio share transactions | 298,840 | ||
Net Increase (Decrease) in Net Assets | 298,841 | ||
Net Assets: | |||
Beginning of period | - | ||
End of period | $298,841 | ||
Distributions in excess of net investment income at end of period | $- |
See Notes to Financial Statements
28
TREASURY PORTFOLIO | TAX-EXEMPT PORTFOLIO | MUNICIPAL PORTFOLIO | ||||||||
Six Months September 30, | Period from December 18, 2006 (Commencement of Operations) to March 31, 2007 | Period from September 10, 2007 (Commencement of Operations) to September 30, 2007 (Unaudited) | Period from September 10, 2007 (Commencement of Operations) to September 30, 2007 (Unaudited) | |||||||
$11,819 | $6,750 | $173 | $170 | |||||||
50 | - | - | - | |||||||
11,869 | 6,750 | 173 | 170 | |||||||
(11,679 | ) | (6,667 | ) | (161 | ) | (158 | ) | |||
(24 | ) | (14 | ) | (2 | ) | (2 | ) | |||
(24 | ) | (15 | ) | (2 | ) | (2 | ) | |||
(24 | ) | (14 | ) | (2 | ) | (2 | ) | |||
(23 | ) | (14 | ) | (2 | ) | (2 | ) | |||
(23 | ) | (13 | ) | (2 | ) | (2 | ) | |||
(22 | ) | (13 | ) | (2 | ) | (2 | ) | |||
(11,819 | ) | (6,750 | ) | (173 | ) | (170 | ) | |||
- | - | - | - | |||||||
4,259,909 | 3,323,735 | 134,236 | 123,971 | |||||||
- | 1,000 | 1,000 | 1,000 | |||||||
- | 1,000 | 1,000 | 1,000 | |||||||
- | 1,000 | 1,000 | 1,000 | |||||||
- | 1,000 | 1,000 | 1,000 | |||||||
- | 1,000 | 1,000 | 1,000 | |||||||
- | 1,000 | 1,000 | 1,000 | |||||||
3,442 | 560 | 17 | 156 | |||||||
- | - | - | - | |||||||
- | - | - | - | |||||||
- | - | - | - | |||||||
- | - | - | - | |||||||
(3,962,096 | ) | (2,876,000 | ) | - | (441 | ) | ||||
- | - | - | - | |||||||
- | - | - | - | |||||||
- | - | - | - | |||||||
- | - | - | - | |||||||
301,255 | 454,295 | 140,253 | 129,686 | |||||||
301,305 | 454,295 | 140,253 | 129,686 | |||||||
454,295 | - | - | - | |||||||
$755,600 | $454,295 | $140,253 | $129,686 | |||||||
$- | $- | $- | $- |
29
Notes to Financial Statements Institutional Liquidity Funds (Unaudited)
Note A-Summary of Significant Accounting Policies:
1 | General: Money Market Portfolio ("Money Market"), Prime Portfolio ("Prime"), Government Portfolio ("Government"), Government Reserves Portfolio ("Government Reserves"), Treasury Portfolio ("Treasury"), Tax-Exempt Portfolio ("Tax-Exempt"), and Municipal Portfolio ("Municipal") (individually a "Portfolio," collectively, the "Portfolios"), are separate operating series of Lehman Brothers Institutional Liquidity Funds (the "Trust"), a Delaware statutory trust organized pursuant to a Trust Instrument dated October 1, 2004. The Trust is registered as a diversified, open-end management investment company under the Investment Company Act of 1940, as amended (the "1940 Act"), and its shares are registered under the Securities Act of 1933 (the "1933 Act"), as amended. Money Market, Prime, and Treasury had no operations until December 18, 2006, other than matters relating to their organization and registration of shares under the 1933 Act. Government had no operations until December 18, 2006, other than the matters relating to its organization and the sale to Neuberger Berman Management Inc., the Portfolio's investment manager ("Management"), on December 4, 2006 of 100,000 shares of beneficial interest of the Institutional Class for $100,000 ($1.00 per share). Government Reserves had no operations until July 9, 2007, other than matters relating to its organization and registration of shares under the 1933 Act. Tax-Exempt and Municipal had no operations until September 10, 2007, other than matters relating to their organization and registration of shares under the 1933 Act. Each Portfolio offers Institutional Class shares, Cash Management Class shares, Capital Class shares, Select Class shares, Administrative Class shares, Service Class shares, and Premier Class shares. The Board of Trustees of the Trust (the "Board") may establish additional series or classes of shares without the approval of shareholders. |
The assets of each Portfolio belong only to that Portfolio, and the liabilities of each Portfolio are borne solely by that Portfolio and no other series of the Trust. |
Each Portfolio seeks to achieve its investment objective by investing all of its net investable assets in a Master Series of Institutional Liquidity Trust (each a "Master Series," collectively, the "Master Series") that has an investment objective identical to, and a name similar to, that of each respective Portfolio. Money Market invests in Money Market Master Series, Prime invests in Prime Master Series, Government invests in Government Master Series, Government Reserves invests in Government Reserves Master Series (commencement of operations July 9, 2007), Treasury invests in Treasury Master Series, Tax-Exempt invests in Tax-Exempt Master Series (commencement of operations September 10, 2007), and Municipal invests in Municipal Master Series (commencement of operations September 10, 2007). The value of each Portfolio's investment in its corresponding Master Series reflects the Portfolio's proportionate interest in the net assets of its corresponding Master Series (3.52% for Money Market, 64.22% for Prime, 65.50% for Government, 100.00% for Government Reserves, 100.00% for Treasury, 6.52% for Tax-Exempt, and 22.51% for Municipal, at September 30, 2007). The performance of each Portfolio is directly affected by the performance of its corresponding Master Series. The financial statements of the Master Series, including the Schedules of Investments, are included elsewhere in this report and should be read in conjunction with the Portfolios' financial statements. |
It is the policy of the Portfolios to maintain a continuous net asset value per share of $1.00; the Portfolios have adopted certain investment, valuation, and distribution policies, which conform to general industry practice, to enable them to do so. However, there is no assurance the Portfolios will be able to maintain a stable net asset value per share. Each of these Portfolios complies with Rule 2a-7 of the 1940 Act. |
The preparation of financial statements in accordance with U.S. generally accepted accounting principles requires Management to make estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. |
2 | Portfolio valuation: Each Portfolio records its investment in its corresponding Master Series at value. Investment securities held by the corresponding Master Series are valued as indicated in the notes following the Master Series' Schedules of Investments. |
30
3 | Income tax information: The Portfolios are treated as separate entities for U.S. federal income tax purposes. It is the policy of Money Market, Prime, Government, and Treasury to continue to qualify (and the intention of Government Reserves, Tax-Exempt, and Municipal to qualify) as a regulated investment company by complying with the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its earnings to its shareholders. Therefore, no federal income or excise tax provision is required. |
Income distributions and capital gain distributions are determined in accordance with income tax regulations, which may differ from U.S. generally accepted accounting principles. These differences are primarily due to differing treatments of income and gains on various investment securities held by each Master Series, timing differences and differing characterization of distributions made by each Portfolio as a whole. |
As determined on March 31, 2007, permanent differences resulting from different book and tax accounting for distribution redesignations and non-deductible 12b-1 fees were reclassified at fiscal year-end. These reclassifications had no effect on net income, net asset value or net asset value per share of each Portfolio. |
The tax character of distributions paid during the period ended March 31, 2007 was as follows: |
Distributions Paid From: | ||||
Ordinary Income | Total | |||
2007 | 2007 | |||
Money Market | $1,492,525 | $1,492,525 | ||
Prime | 14,021,217 | 14,021,217 | ||
Government | 6,555,363 | 6,555,363 | ||
Treasury | 6,750,442 | 6,750,442 |
As of March 31, 2007, the components of distributable earnings (accumulated losses) on a U.S. federal income tax basis were as follows: |
Undistributed Ordinary Income | Loss Carryforwards and Deferrals | Total | |||||
Money Market | $113,102 | $(110 | ) | $112,992 | |||
Prime | 1,999,670 | (6,250 | ) | 1,993,420 | |||
Government | 2,064,101 | - | 2,064,101 | ||||
Treasury | 2,037,384 | - | 2,037,384 |
The difference between book and tax basis distributable earnings is attributable primarily to timing differences of distribution payments and post October loss deferrals. |
To the extent each Portfolio's net realized capital gains, if any, can be offset by capital loss carryforwards, it is the policy of each Portfolio not to distribute such gains. As determined on March 31, 2007, the Portfolios did not have unused capital loss carryforwards available for federal income tax purposes to offset net realized capital gains. |
Under current tax law, certain net capital losses realized after October 31 within the taxable year may be deferred and treated as occurring on the first day of the following tax year. For the period ended March 31, 2007, the Portfolios elected to defer the following net capital losses arising between December 18, 2006 and March 31, 2007: |
Money Market | $(110 | ) | |
Prime | (6,250 | ) | |
Government | - | ||
Treasury | - |
31
4 | Distributions to shareholders: Each Portfolio earns income, net of expenses, daily on its investment in its corresponding Master Series. It is the policy of each Portfolio to declare distributions from net investment income on each business day; such distributions are paid or reinvested monthly. Distributions from net realized capital gains, if any, will be made annually. Income distributions and capital gain distributions to shareholders are recorded on the ex-date. |
5 | Expense allocation: Certain expenses are applicable to multiple funds. Expenses directly attributable to a Portfolio are charged to that Portfolio. Expenses of the Trust that are not directly attributed to a Portfolio are allocated among the series of the Trust, on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the series can otherwise be made fairly. Expenses borne by the complex of related investment companies, which includes open-end and closed-end investment companies for which Management serves as investment manager, that are not directly attributed to a Portfolio or the Trust, are allocated among the Portfolios and the other investment companies in the complex or series thereof, on the basis of relative net assets, except where a more appropriate allocation of expenses to each investment company in the complex or series thereof can otherwise be made fairly. |
Each Portfolio bears its proportionate share of its corresponding Master Series' expenses. Each Portfolio's expenses (other than those allocated to a class of the Portfolio) are allocated proportionally each day among the classes based on the relative net assets of each class. Expenses attributable to a specific class are allocated to that class. |
6 | Organization expenses: Costs incurred by certain Portfolios in connection with their organization, which amounted to approximately $26,456, $12,766, and $28,731 for Government Reserves, Tax-Exempt, and Municipal, respectively, have been borne by Management. |
7 | Other: All net investment income and realized and unrealized capital gains and losses of a Master Series are allocated pro rata among its respective Portfolio and any other investors in the Master Series (including any other investment companies), if any. |
8 | Indemnifications: Like many other companies, the Trust's organizational documents provide that its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, both in some of its principal service contracts and in the normal course of its business, the Trust enters into contracts that provide indemnifications to other parties for certain types of losses or liabilities. The Trust's maximum exposure under these arrangements is unknown as this could involve future claims against the Trust. |
Note B-Management Fees, Administration Fees, Distribution Arrangements, and Other Transactions with Affiliates:
Each Portfolio retains Management as its administrator under an Administration Agreement. Each Portfolio pays Management an administration fee at the annual rate of 0.10% of its average daily net assets under this agreement. Additionally, Management retains State Street Bank and Trust Company ("State Street") as its sub-administrator under a Sub-Administration Agreement. Management pays State Street a fee for all services received under the agreement. Each Portfolio (except Tax-Exempt and Municipal) indirectly pays for investment management services through its investment in its corresponding Master Series at the annual rate of 0.08% of average daily net assets. Tax-Exempt and Municipal indirectly pay for investment management services through its investment in its corresponding Master Series at the annual rate of 0.25% of the first $500 million of that Master Series' average daily net assets, 0.225% of the next $500 million, 0.20% of the next $500 million, 0.175% of the next $500 million, and 0.15% of average daily net assets in excess of $2 billion. As a result of a waiver at the Master Series level, Tax-Exempt and Municipal indirectly received a management fee waiver so that the management fee was 0.08% of its average daily net assets, resulting in a reduction of expenses from the corresponding Master Series of $6,084 and $7,531 for Tax-Exempt and Municipal, respectively (see Note B of Notes to Financial Statements of the Master Series). |
32
For the Service and Premier Class of each Portfolio, Management acts as agent in arranging for the sale of class shares without commission and bears advertising and promotion expenses. The Board has adopted distribution plans (each a "Plan", collectively, the "Plans") with respect to these classes, pursuant to Rule 12b-1 under the 1940 Act. The Plans provide that, as compensation for administrative and other services provided to these classes, Management's activities and expenses related to the sale and distribution of these classes, and ongoing services provided to investors in these classes, Management receives from each of these classes a fee at the annual rate of 0.15% of such Service Class' and 0.25% of such Premier Class' average daily net assets. Management receives this amount to provide distribution and shareholder servicing for those classes and pays a portion of it to institutions that provide such services. Those institutions may use the payments for, among other purposes, compensating employees engaged in sales and/or shareholder servicing. The amount of fees paid by each class during any year maybe more or less than the cost of distribution and other services provided to that class. NASD rules limit the amount of annual distribution fees that may be paid by a mutual fund and impose a ceiling on the cumulative distribution fees paid. The Trust's Plans comply with those rules. |
The Trust, on behalf of each Portfolio, has entered into a Shareholder Servicing Agreement with Management with respect to the Cash Management, Capital, Select, Administrative, Service and Premier Class of each Portfolio ("Shareholder Servicing Agreement"). Pursuant to the Shareholder Servicing Agreement, Management provides to the shareholders and beneficial owners of the Cash Management, Capital, Select, Administrative, Service and Premier Class varying levels of shareholder services, some or all of which may be provided by banks, trust companies or other institutions that provide such shareholder services to their accounts ("Accounts") and their account holders and which have entered into a service agreement with Management (each, a "Service Organization"). Management may compensate a Service Organization for the shareholder services it provides to Accounts and account holders pursuant to such service agreement. The Shareholder Servicing Agreement requires each of the Cash Management, Capital, Select, Administrative, Service and Premier Class to compensate Management for the shareholder services provided to that Class. For the shareholder services provided pursuant to the Shareholder Servicing Agreement, Management receives from the Cash Management, Capital, Select, Administrative, Service and Premier Class of each Portfolio a fee at the annual rate of 0.05%, 0.10%, 0.15%, 0.25%, 0.25%, 0.25%, respectively, of such Class' average daily net assets. |
Management has contractually undertaken to forgo current payment of fees and/or reimburse each respective class of each Portfolio for its operating expenses plus its pro rata portion of its corresponding Master Series' operating expenses (including the fees payable to Management but excluding interest, taxes, brokerage commissions and extraordinary expenses) ("Operating Expenses") which exceed the expense limitation as detailed in the following table: |
Contractual Expense Limitation(1) | Expiration | Contractual Reimbursement/ Waiver of Fees from Management for the Six Months Ended September 30, 2007(3) | Voluntary Reimbursement from Management for the Six Months Ended September 30, 2007(2) | |||||
Money Market Institutional Class | 0.20% | 3/31/10 | $99,999 | $63,004 | ||||
Money Market Cash Management Class | 0.25% | 3/31/10 | 1,522 | 902 | ||||
Money Market Capital Class | 0.30% | 3/31/10 | 1,054 | 499 | ||||
Money Market Select Class | 0.35% | 3/31/10 | 1,054 | 499 | ||||
Money Market Administrative Class | 0.45% | 3/31/10 | 1,054 | 499 | ||||
Money Market Service Class | 0.60% | 3/31/10 | 1,054 | 499 | ||||
Money Market Premier Class | 0.70% | 3/31/10 | 1,054 | 499 | ||||
Prime Institutional Class | 0.20% | 3/31/10 | - | 2,299,952 |
33
Contractual Expense Limitation(1) | Expiration | Contractual Reimbursement/ Waiver of Fees from Management for the Six Months Ended September 30, 2007(3) | Voluntary Reimbursement from Management for the Six Months Ended September 30, 2007(2) | |||||
Prime Cash Management Class | 0.25% | 3/31/10 | $- | $16,217 | ||||
Prime Capital Class | 0.30% | 3/31/10 | 2 | 499 | ||||
Prime Select Class | 0.35% | 3/31/10 | 2 | 499 | ||||
Prime Administrative Class | 0.45% | 3/31/10 | - | 5,754 | ||||
Prime Service Class | 0.60% | 3/31/10 | 2 | 499 | ||||
Prime Premier Class | 0.70% | 3/31/10 | - | 123,166 | ||||
Government Institutional Class | 0.20% | 3/31/10 | 86,256 | 211,868 | ||||
Government Cash Management Class | 0.25% | 3/31/10 | 222 | 499 | ||||
Government Capital Class | 0.30% | 3/31/10 | 222 | 499 | ||||
Government Select Class | 0.35% | 3/31/10 | 695 | 1,390 | ||||
Government Administrative Class | 0.45% | 3/31/10 | 1,407 | 4,667 | ||||
Government Service Class | 0.60% | 3/31/10 | 222 | 499 | ||||
Government Premier Class | 0.70% | 3/31/10 | 222 | 499 | ||||
Government Reserves Institutional Class | 0.20% | 3/31/10 | 63,009 | 53,065 | ||||
Government Reserves Cash Management Class | 0.25% | 3/31/10 | 340 | 230 | ||||
Government Reserves Capital Class | 0.30% | 3/31/10 | 340 | 230 | ||||
Government Reserves Select Class | 0.35% | 3/31/10 | 340 | 230 | ||||
Government Reserves Administrative Class | 0.45% | 3/31/10 | 340 | 230 | ||||
Government Reserves Service Class | 0.60% | 3/31/10 | 340 | 230 | ||||
Government Reserves Premier Class | 0.70% | 3/31/10 | 340 | 230 | ||||
Treasury Institutional Class | 0.20% | 3/31/10 | 175,766 | 241,505 | ||||
Treasury Cash Management Class | 0.25% | 3/31/10 | 466 | 499 | ||||
Treasury Capital Class | 0.30% | 3/31/10 | 466 | 499 | ||||
Treasury Select Class | 0.35% | 3/31/10 | 466 | 499 | ||||
Treasury Administrative Class | 0.45% | 3/31/10 | 466 | 499 | ||||
Treasury Service Class | 0.60% | 3/31/10 | 466 | 499 | ||||
Treasury Premier Class | 0.70% | 3/31/10 | 466 | 499 | ||||
Tax-Exempt Institutional Class | 0.20% | 3/31/10 | 5,085 | 2,188 | ||||
Tax-Exempt Cash Management Class | 0.25% | 3/31/10 | 505 | 29 | ||||
Tax-Exempt Capital Class | 0.30% | 3/31/10 | 505 | 29 | ||||
Tax-Exempt Select Class | 0.35% | 3/31/10 | 505 | 29 | ||||
Tax-Exempt Administrative Class | 0.45% | 3/31/10 | 505 | 29 | ||||
Tax-Exempt Service Class | 0.60% | 3/31/10 | 505 | 29 | ||||
Tax-Exempt Premier Class | 0.70% | 3/31/10 | 505 | 29 | ||||
Municipal Institutional Class | 0.20% | 3/31/10 | 9,505 | 2,088 | ||||
Municipal Cash Management Class | 0.25% | 3/31/10 | 416 | 29 | ||||
Municipal Capital Class | 0.30% | 3/31/10 | 416 | 29 | ||||
Municipal Select Class | 0.35% | 3/31/10 | 416 | 29 |
34
Contractual Expense Limitation(1) | Expiration | Contractual Reimbursement/ Waiver of Fees from Management for the Six Months Ended September 30, 2007(3) | Voluntary Reimbursement from Management for the Six Months Ended September 30, 2007(2) | |||||
Municipal Administrative Class | 0.45% | 3/31/10 | $416 | $29 | ||||
Municipal Service Class | 0.60% | 3/31/10 | 416 | 29 | ||||
Municipal Premier Class | 0.70% | 3/31/10 | 416 | 29 |
(1) | Expense limitation per annum of the respective class' average daily net assets. |
(2) | In addition to the contractual limitations listed above, Management has voluntarily reimbursed each class of Money Market, Prime, Government, Government Reserves, and Treasury an additional 0.10% per annum of the class' average daily net assets. Management has voluntarily reimbursed each class of Tax-Exempt and Municipal an additional 0.05% per annum of the class' average daily net assets. |
(3) | Period from July 9, 2007 (Commencement of Operations) to September 30, 2007 for Government Reserves. Period from September 10, 2007 (Commencement of Operations) to September 30, 2007 for Tax-Exempt and Municipal. |
Each class of each Portfolio has agreed to repay Management for fees and expenses forgone and/or its excess Operating Expenses previously reimbursed by Management, pursuant to a contractual expense limitation, so long as its annual Operating Expenses during that period do not exceed its expense limitation and the repayments are made within three years after the year in which Management issued the reimbursement or waived fees. |
During the six months ended September 30, 2007, there was no repayment to Management under this agreement. At September 30, 2007, contingent liabilities to Management under the agreement were as follows: |
Expiring in: | ||||||
2010 | 2011 | Total | ||||
Money Market Institutional Class | $137,243 | $99,999 | $237,242 | |||
Money Market Cash Management Class | 4,787 | 1,522 | 6,309 | |||
Money Market Capital Class | 4,787 | 1,054 | 5,841 | |||
Money Market Select Class | 4,787 | 1,054 | 5,841 | |||
Money Market Administrative Class | 4,787 | 1,054 | 5,841 | |||
Money Market Service Class | 4,787 | 1,054 | 5,841 | |||
Money Market Premier Class | 4,787 | 1,054 | 5,841 | |||
Prime Institutional Class | 165,552 | - | 165,552 | |||
Prime Cash Management Class | 885 | - | 885 | |||
Prime Capital Class | 885 | 2 | 887 | |||
Prime Select Class | 885 | 2 | 887 | |||
Prime Administrative Class | 885 | - | 885 | |||
Prime Service Class | 885 | 2 | 887 | |||
Prime Premier Class | 1,102 | - | 1,102 | |||
Government Institutional Class | 87,201 | 86,256 | 173,457 | |||
Government Cash Management Class | 321 | 222 | 543 | |||
Government Capital Class | 321 | 222 | 543 | |||
Government Select Class | 321 | 695 | 1,016 |
35
Expiring in: | ||||||
2010 | 2011 | Total | ||||
Government Administrative Class | $482 | $1,407 | $1,889 | |||
Government Service Class | 321 | 222 | 543 | |||
Government Premier Class | 321 | 222 | 543 | |||
Government Reserves Institutional Class | - | 63,009 | 63,009 | |||
Government Reserves Cash Management Class | - | 340 | 340 | |||
Government Reserves Capital Class | - | 340 | 340 | |||
Government Reserves Select Class | - | 340 | 340 | |||
Government Reserves Administrative Class | - | 340 | 340 | |||
Government Reserves Service Class | - | 340 | 340 | |||
Government Reserves Premier Class | - | 340 | 340 | |||
Treasury Institutional Class | 188,154 | 175,766 | 363,920 | |||
Treasury Cash Management Class | 529 | 466 | 995 | |||
Treasury Capital Class | 529 | 466 | 995 | |||
Treasury Select Class | 529 | 466 | 955 | |||
Treasury Administrative Class | 529 | 466 | 955 | |||
Treasury Service Class | 529 | 466 | 955 | |||
Treasury Premier Class | 529 | 466 | 955 | |||
Tax-Exempt Institutional Class | - | 5,085 | 5,085 | |||
Tax-Exempt Cash Management Class | - | 505 | 505 | |||
Tax-Exempt Capital Class | - | 505 | 505 | |||
Tax-Exempt Select Class | - | 505 | 505 | |||
Tax-Exempt Administrative Class | - | 505 | 505 | |||
Tax-Exempt Service Class | - | 505 | 505 | |||
Tax-Exempt Premier Class | - | 505 | 505 | |||
Municipal Institutional Class | - | 9,505 | 9,505 | |||
Municipal Cash Management Class | - | 416 | 416 | |||
Municipal Capital Class | - | 416 | 416 | |||
Municipal Select Class | - | 416 | 416 | |||
Municipal Administrative Class | - | 416 | 416 | |||
Municipal Service Class | - | 416 | 416 | |||
Municipal Premier Class | - | 416 | 416 |
Management and Lehman Brothers Asset Management LLC ("LBAM"), sub-adviser to each Master Series, are wholly-owned subsidiaries of Lehman Brothers Holdings Inc., a publicly-owned holding company. Several individuals who are officers and/or trustees of the Trust are also employees of LBAM and/or Management. |
Each Portfolio also has a distribution agreement with Management with respect to each class of shares. Management receives no compensation under it and no commissions for sales or redemptions of shares of beneficial interest of each Portfolio, but receives fees from the Premier Class and Service Class under their Plans, as described above. |
Each Master Series has an expense offset arrangement in connection with its custodian contract. For the six months ended September 30, 2007, the impact of this arrangement was a reduction of expenses of $2,367, $82,957, $13,127, $491, $21,185, $6,256 and $4,950 for Money Market, Prime, Government, Government Reserves, Treasury, Tax-Exempt, and Municipal, respectively. |
36
Note C-Investment Transactions:
During the six months ended September 30, 2007, contributions and withdrawals in each Portfolio's investment in its corresponding Master Series were as follows: |
(000's omitted) | Contributions | Withdrawals | ||
Money Market | $2,193,291 | $2,269,787 | ||
Prime | 20,718,483 | 14,243,682 | ||
Government | 1,286,577 | 1,131,524 | ||
Government Reserves(1) | 434,590 | 138,152 | ||
Treasury | 997,527 | 708,859 | ||
Tax-Exempt(2) | 140,235 | 1 | ||
Municipal(2) | 129,971 | 443 |
(1) | Period from July 9, 2007 (Commencement of Operations) to September 30, 2007. |
(2) | Period from September 10, 2007 (Commencement of Operations) to September 30, 2007. |
Note D-Portfolio Share Transactions:
Share activity at $1.00 per share for the six months ended September 30, 2007 and the period ended March 31, 2007 was as follows: |
For the Six Months Ended September 30, 2007 | For the Period Ended March 31, 2007 | ||||||||||||||||||||
(000's omitted) | Shares Sold | Shares Issued on Reinvestment of Dividends and Distributions | Shares Redeemed | Total | Initial Capitalization | Shares Sold | Shares Issued on Reinvestment of Dividends and Distributions | Shares Redeemed | Total | ||||||||||||
Money Market: | |||||||||||||||||||||
Institutional Class | 2,494,396 | 1,891 | (2,575,196 | ) | (78,909 | ) | - | 818,316 | 1,309 | (660,623 | ) | 159,002 | |||||||||
Cash Management Class | 75,345 | 21 | (69,500 | ) | 5,866 | - | 1,000 | - | - | 1,000 | |||||||||||
Capital Class | - | - | - | - | - | 1,000 | - | - | 1,000 | ||||||||||||
Select Class | - | - | - | - | - | 1,000 | - | - | 1,000 | ||||||||||||
Administrative Class | - | - | - | - | - | 1,000 | - | - | 1,000 | ||||||||||||
Service Class | - | - | - | - | - | 1,000 | - | - | 1,000 | ||||||||||||
Premier Class | - | - | - | - | - | 1,000 | - | - | 1,000 | ||||||||||||
Prime: | |||||||||||||||||||||
Institutional Class | 36,161,761 | 94,787 | (30,133,392 | ) | 6,123,156 | - | 6,998,533 | 9,616 | (4,588,641 | ) | 2,419,508 | ||||||||||
Cash Management Class | 120,000 | 880 | - | 120,880 | - | 1,000 | - | - | 1,000 | ||||||||||||
Capital Class | - | - | - | - | - | 1,000 | - | - | 1,000 | ||||||||||||
Select Class | - | - | - | - | - | 1,000 | - | - | 1,000 |
37
For the Six Months Ended September 30, 2007 | For the Period Ended March 31, 2007 | ||||||||||||||||||||
Shares Sold | Shares Issued on Reinvestment of Dividends and Distributions | Shares Redeemed | Total | Initial Capitalization | Shares Sold | Shares Issued on Reinvestment of Dividends and Distributions | Shares Redeemed | Total | |||||||||||||
Administrative Class | 43,413 | 265 | (32,936 | ) | 10,742 | - | 1,000 | - | - | 1,000 | |||||||||||
Service Class | - | - | - | - | - | 1,000 | - | - | 1,000 | ||||||||||||
Premier Class | 2,335,674 | 5,366 | (1,992,008 | ) | 349,032 | - | 12,304 | 11 | (3,975 | ) | 8,340 | ||||||||||
Government: | |||||||||||||||||||||
Institutional Class | 3,984,938 | 3,493 | (3,823,043 | ) | 165,388 | 100 | 3,470,000 | 214 | (2,976,000 | ) | 494,314 | ||||||||||
Cash Management Class | - | - | - | - | - | 1,000 | - | - | 1,000 | ||||||||||||
Capital Class | - | - | - | - | - | 1,000 | - | - | 1,000 | ||||||||||||
Select Class | 8,115 | 44 | (5,635 | ) | 2,524 | - | 1,000 | - | - | 1,000 | |||||||||||
Administrative Class | 295,300 | 34 | (295,750 | ) | (416 | ) | - | 2,814 | 14 | (376 | ) | 2,452 | |||||||||
Service Class | - | - | - | - | - | 1,000 | - | - | 1,000 | ||||||||||||
Premier Class | - | - | - | - | - | 1,000 | - | - | 1,000 | ||||||||||||
Government Reserves(1): | |||||||||||||||||||||
Institutional Class | 995,956 | 1,503 | (704,619 | ) | 292,840 | - | - | - | - | - | |||||||||||
Cash Management Class | 1,000 | - | - | 1,000 | - | - | - | - | - | ||||||||||||
Capital Class | 1,000 | - | - | 1,000 | - | - | - | - | - | ||||||||||||
Select Class | 1,000 | - | - | 1,000 | - | - | - | - | - | ||||||||||||
Administrative Class | 1,000 | - | - | 1,000 | - | - | - | - | - | ||||||||||||
Service Class | 1,000 | - | - | 1,000 | - | - | - | - | - | ||||||||||||
Premier Class | 1,000 | - | - | 1,000 | - | - | - | - | - | ||||||||||||
Treasury: | |||||||||||||||||||||
Institutional Class | 4,259,909 | 3,442 | (3,962,096 | ) | 301,255 | - | 3,323,735 | 560 | (2,876,000 | ) | 448,295 | ||||||||||
Cash Management Class | - | - | - | - | - | 1,000 | - | - | 1,000 | ||||||||||||
Capital Class | - | - | - | - | - | 1,000 | - | - | 1,000 | ||||||||||||
Select Class | - | - | - | - | - | 1,000 | - | - | 1,000 | ||||||||||||
Administrative Class | - | - | - | - | - | 1,000 | - | - | 1,000 | ||||||||||||
Service Class | - | - | - | - | - | 1,000 | - | - | 1,000 | ||||||||||||
Premier Class | - | - | - | - | - | 1,000 | - | - | 1,000 | ||||||||||||
Tax-Exempt(2): | |||||||||||||||||||||
Institutional Class | 134,236 | 17 | - | 134,253 | - | - | - | - | - | ||||||||||||
Cash Management Class | 1,000 | - | - | 1,000 | - | - | - | - | - | ||||||||||||
Capital Class | 1,000 | - | - | 1,000 | - | - | - | - | - | ||||||||||||
Select Class | 1,000 | - | - | 1,000 | - | - | - | - | - | ||||||||||||
Administrative Class | 1,000 | - | - | 1,000 | - | - | - | - | - | ||||||||||||
Service Class | 1,000 | - | - | 1,000 | - | - | - | - | - | ||||||||||||
Premier Class | 1,000 | - | - | 1,000 | - | - | - | - | - |
38
For the Six Months Ended September 30, 2007 | For the Period Ended March 31, 2007 | ||||||||||||||||||
Shares Sold | Shares Issued on Reinvestment of Dividends and Distributions | Shares Redeemed | Total | Initial Capitalization | Shares Sold | Shares Issued on Reinvestment of Dividends and Distributions | Shares Redeemed | Total | |||||||||||
Municipal(2): | |||||||||||||||||||
Institutional Class | 123,971 | 156 | (441 | ) | 123,686 | - | - | - | - | - | |||||||||
Cash Management Class | 1,000 | - | - | 1,000 | - | - | - | - | - | ||||||||||
Capital Class | 1,000 | - | - | 1,000 | - | - | - | - | - | ||||||||||
Select Class | 1,000 | - | - | 1,000 | - | - | - | - | - | ||||||||||
Administrative Class | 1,000 | - | - | 1,000 | - | - | - | - | - | ||||||||||
Service Class | 1,000 | - | - | 1,000 | - | - | - | - | - | ||||||||||
Premier Class | 1,000 | - | - | 1,000 | - | - | - | - | - |
(1) | Period from July 9, 2007 (Commencement of Operations) to September 30, 2007. |
(2) | Period from September 10, 2007 (Commencement of Operations) to September 30, 2007. |
Note E-Recent Accounting Pronouncement:
In September 2006, Financial Accounting Standards Board ("FASB") issued FASB Statement No. 157, "Fair Value Measurement" ("SFAS 157"), which defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements. SFAS 157 is effective for fiscal years beginning after November 15, 2007, and interim periods within those fiscal years. Management believes the adoption of SFAS 157 will not have a material impact on the Portfolios' financial position or results of operations. |
Note F-Unaudited Financial Information:
The financial information included in this interim report is taken from the records of each Portfolio without audit by an independent registered public accounting firm. Annual reports contain audited financial statements. |
39
Financial Highlights
Money Market Portfolio†
The following tables include selected data for a share outstanding throughout each period and other performance information derived from the Financial Statements. They should be read in conjunction with their corresponding Master Series' Financial Statements and notes thereto.
Institutional Class
Six Months Ended (Unaudited) | Period from December 18, 2006^ 2007 | |||||
Net Asset Value, Beginning of Period | $1.0000 | $1.0000 | ||||
Income From Investment Operations: | ||||||
Net Investment Income (Loss) | .0264 | .0152 | ||||
Net Gains or Losses on Securities | (.0000 | ) | (.0000 | ) | ||
Total From Investment Operations | .0264 | .0152 | ||||
Less Distributions From: | ||||||
Net Investment Income | (.0264 | ) | (.0152 | ) | ||
Total Distributions | (.0264 | ) | (.0152 | ) | ||
Net Asset Value, End of Period | $1.0000 | $1.0000 | ||||
Total Return†† | +2.67 | %** | +1.53 | %** | ||
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (in millions) | $80.1 | $159.0 | ||||
Ratio of Gross Expenses to Average Net Assets# | .10 | %* | .10 | %* | ||
Ratio of Net Expenses to Average Net Assets‡ | .10 | %* | .10 | %* | ||
Ratio of Net Investment Income (Loss) to Average Net Assets | 5.28 | %* | 5.26 | %* |
See Notes to Financial Highlights
40
Cash Management Class
Six Months Ended 2007 (Unaudited) | Period from December 18, 2006^ to March 31, 2007 | |||||
Net Asset Value, Beginning of Period | $1.0000 | $1.0000 | ||||
Income From Investment Operations: | ||||||
Net Investment Income (Loss) | .0261 | .0150 | ||||
Net Gains or Losses on Securities | (.0000 | ) | (.0000 | ) | ||
Total From Investment Operations | .0261 | .0150 | ||||
Less Distributions From: | ||||||
Net Investment Income | (.0261 | ) | (.0150 | ) | ||
Total Distributions | (.0261 | ) | (.0150 | ) | ||
Net Asset Value, End of Period | $1.0000 | $1.0000 | ||||
Total Return†† | +2.64 | %** | +1.51 | %** | ||
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (in millions) | $6.9 | $1.0 | ||||
Ratio of Gross Expenses to Average Net Assets# | .15 | %* | .15 | %* | ||
Ratio of Net Expenses to Average Net Assets‡ | .15 | %* | .15 | %* | ||
Ratio of Net Investment Income (Loss) to Average Net Assets | 5.28 | %* | 5.21 | %* |
Capital Class
Six Months Ended September 30, 2007 (Unaudited) | Period from December 18, 2006^ to March 31, 2007 | |||||
Net Asset Value, Beginning of Period | $1.0000 | $1.0000 | ||||
Income From Investment Operations: | ||||||
Net Investment Income (Loss) | .0259 | .0149 | ||||
Net Gains or Losses on Securities | (.0000 | ) | (.0000 | ) | ||
Total From Investment Operations | .0259 | .0149 | ||||
Less Distributions From: | ||||||
Net Investment Income | (.0259 | ) | (.0149 | ) | ||
Total Distributions | (.0259 | ) | (.0149 | ) | ||
Net Asset Value, End of Period | $1.0000 | $1.0000 | ||||
Total Return†† | +2.62 | %** | +1.50 | %** | ||
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (in millions) | $1.0 | $1.0 | ||||
Ratio of Gross Expenses to Average Net Assets# | .20 | %* | .20 | %* | ||
Ratio of Net Expenses to Average Net Assets‡ | .20 | %* | .20 | %* | ||
Ratio of Net Investment Income (Loss) to Average Net Assets | 5.19 | %* | 5.16 | %* |
See Notes to Financial Highlights
41
Select Class
Six Months Ended September 30, 2007 (Unaudited) | Period from December 18, 2006^ to March 31, 2007 | |||||
Net Asset Value, Beginning of Period | $1.0000 | $1.0000 | ||||
Income From Investment Operations: | ||||||
Net Investment Income (Loss) | .0256 | .0148 | ||||
Net Gains or Losses on Securities | (.0000 | ) | (.0000 | ) | ||
Total From Investment Operations | .0256 | .0148 | ||||
Less Distributions From: | ||||||
Net Investment Income | (.0256 | ) | (.0148 | ) | ||
Total Distributions | (.0256 | ) | (.0148 | ) | ||
Net Asset Value, End of Period | $1.0000 | $1.0000 | ||||
Total Return†† | +2.59 | %** | +1.48 | %** | ||
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (in millions) | $1.0 | $1.0 | ||||
Ratio of Gross Expenses to Average Net Assets# | .25 | %* | .25 | %* | ||
Ratio of Net Expenses to Average Net Assets‡ | .25 | %* | .25 | %* | ||
Ratio of Net Investment Income (Loss) to Average Net Assets | 5.14 | %* | 5.12 | %* |
Administrative Class
Six Months Ended September 30, 2007 (Unaudited) | Period from December 18, 2006^ to March 31, 2007 | |||||
Net Asset Value, Beginning of Period | $1.0000 | $1.0000 | ||||
Income From Investment Operations: | ||||||
Net Investment Income (Loss) | .0251 | .0145 | ||||
Net Gains or Losses on Securities | (.0000 | ) | (.0000 | ) | ||
Total From Investment Operations | .0251 | .0145 | ||||
Less Distributions From: | ||||||
Net Investment Income | (.0251 | ) | (.0145 | ) | ||
Total Distributions | (.0251 | ) | (.0145 | ) | ||
Net Asset Value, End of Period | $1.0000 | $1.0000 | ||||
Total Return†† | +2.54 | %** | +1.45 | %** | ||
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (in millions) | $1.0 | $1.0 | ||||
Ratio of Gross Expenses to Average Net Assets# | .35 | %* | .35 | %* | ||
Ratio of Net Expenses to Average Net Assets‡ | .35 | %* | .35 | %* | ||
Ratio of Net Investment Income (Loss) to Average Net Assets | 5.04 | %* | 5.02 | %* |
See Notes to Financial Highlights
42
Service Class
Six Months Ended September 30, 2007 (Unaudited) | Period from December 18, 2006^ to March 31, 2007 | |||||
Net Asset Value, Beginning of Period | $1.0000 | $1.0000 | ||||
Income From Investment Operations: | ||||||
Net Investment Income (Loss) | .0244 | .0140 | ||||
Net Gains or Losses on Securities | (.0000 | ) | (.0000 | ) | ||
Total From Investment Operations | .0244 | .0140 | ||||
Less Distributions From: | ||||||
Net Investment Income | (.0244 | ) | (.0140 | ) | ||
Total Distributions | (.0244 | ) | (.0140 | ) | ||
Net Asset Value, End of Period | $1.0000 | $1.0000 | ||||
Total Return†† | +2.46 | %** | +1.41 | %** | ||
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (in millions) | $1.0 | $1.0 | ||||
Ratio of Gross Expenses to Average Net Assets# | .50 | %* | .50 | %* | ||
Ratio of Net Expenses to Average Net Assets‡ | .50 | %* | .50 | %* | ||
Ratio of Net Investment Income (Loss) to Average Net Assets | 4.89 | %* | 4.87 | %* |
Premier Class
Six Months Ended September 30, 2007 (Unaudited) | Period from December 18, 2006^ to March 31, 2007 | |||||
Net Asset Value, Beginning of Period | $1.0000 | $1.0000 | ||||
Income From Investment Operations: | ||||||
Net Investment Income (Loss) | .0239 | .0138 | ||||
Net Gains or Losses on Securities | (.0000 | ) | (.0000 | ) | ||
Total From Investment Operations | .0239 | .0138 | ||||
Less Distributions From: | ||||||
Net Investment Income | (.0239 | ) | (.0138 | ) | ||
Total Distributions | (.0239 | ) | (.0138 | ) | ||
Net Asset Value, End of Period | $1.0000 | $1.0000 | ||||
Total Return†† | +2.41 | %** | +1.38 | %** | ||
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (in millions) | $1.0 | $1.0 | ||||
Ratio of Gross Expenses to Average Net Assets# | .60 | %* | .60 | %* | ||
Ratio of Net Expenses to Average Net Assets‡ | .60 | %* | .60 | %* | ||
Ratio of Net Investment Income (Loss) to Average Net Assets | 4.79 | %* | 4.77 | %* |
See Notes to Financial Highlights
43
Financial Highlights
Prime Portfolio†
The following tables include selected data for a share outstanding throughout each period and other performance information derived from the Financial Statements. They should be read in conjunction with their corresponding Master Series' Financial Statements and notes thereto.
Institutional Class
Six Months Ended September 30, 2007 (Unaudited) | Period from December 18, 2006^ to March 31, 2007 | |||||
Net Asset Value, Beginning of Period | $1.0000 | $1.0000 | ||||
Income From Investment Operations: | ||||||
Net Investment Income (Loss) | .0264 | .0151 | ||||
Net Gains or Losses on Securities | (.0000 | ) | (.0000 | ) | ||
Total From Investment Operations | .0264 | .0151 | ||||
Less Distributions From: | ||||||
Net Investment Income | (.0264 | ) | (.0151 | ) | ||
Total Distributions | (.0264 | ) | (.0151 | ) | ||
Net Asset Value, End of Period | $1.0000 | $1.0000 | ||||
Total Return†† | +2.66 | %** | +1.52 | %** | ||
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (in millions) | $8,542.5 | $2,419.5 | ||||
Ratio of Gross Expenses to Average Net Assets# | .10 | %* | .10 | %* | ||
Ratio of Net Expenses to Average Net Assets‡ | .10 | %* | .10 | %* | ||
Ratio of Net Investment Income (Loss) to Average Net Assets | 5.30 | %* | 5.25 | %* |
See Notes to Financial Highlights
44
Cash Management Class
Six Months Ended (Unaudited) | Period from 2007 | |||||
Net Asset Value, Beginning of Period | $1.0000 | $1.0000 | ||||
Income From Investment Operations: | ||||||
Net Investment Income (Loss) | .0261 | .0150 | ||||
Net Gains or Losses on Securities | (.0000 | ) | (.0000 | ) | ||
Total From Investment Operations | .0261 | .0150 | ||||
Less Distributions From: | ||||||
Net Investment Income | (.0261 | ) | (.0150 | ) | ||
Total Distributions | (.0261 | ) | (.0150 | ) | ||
Net Asset Value, End of Period | $1.0000 | $1.0000 | ||||
Total Return†† | +2.64 | %** | +1.51 | %** | ||
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (in millions) | $121.9 | $1.0 | ||||
Ratio of Gross Expenses to Average Net Assets# | .15 | %* | .15 | %* | ||
Ratio of Net Expenses to Average Net Assets‡ | .15 | %* | .15 | %* | ||
Ratio of Net Investment Income (Loss) to Average Net Assets | 5.28 | %* | 5.20 | %* |
Capital Class
Six Months Ended September 30, 2007 (Unaudited) | Period from December 18, 2006^ 2007 | |||||
Net Asset Value, Beginning of Period | $1.0000 | $1.0000 | ||||
Income From Investment Operations: | ||||||
Net Investment Income (Loss) | .0259 | .0149 | ||||
Net Gains or Losses on Securities | (.0000 | ) | (.0000 | ) | ||
Total From Investment Operations | .0259 | .0149 | ||||
Less Distributions From: | ||||||
Net Investment Income | (.0259 | ) | (.0149 | ) | ||
Total Distributions | (.0259 | ) | (.0149 | ) | ||
Net Asset Value, End of Period | $1.0000 | $1.0000 | ||||
Total Return†† | +2.61 | %** | +1.49 | %** | ||
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (in millions) | $1.0 | $1.0 | ||||
Ratio of Gross Expenses to Average Net Assets# | .20 | %* | .20 | %* | ||
Ratio of Net Expenses to Average Net Assets‡ | .20 | %* | .20 | %* | ||
Ratio of Net Investment Income (Loss) to Average Net Assets | 5.18 | %* | 5.15 | %* |
See Notes to Financial Highlights
45
Select Class
Six Months Ended September 30, (Unaudited) | Period from December 18, 2006^ to March 31, 2007 | |||||
Net Asset Value, Beginning of Period | $1.0000 | $1.0000 | ||||
Income From Investment Operations: | ||||||
Net Investment Income (Loss) | .0256 | .0147 | ||||
Net Gains or Losses on Securities | (.0000 | ) | (.0000 | ) | ||
Total From Investment Operations | .0256 | .0147 | ||||
Less Distributions From: | ||||||
Net Investment Income | (.0256 | ) | (.0147 | ) | ||
Total Distributions | (.0256 | ) | (.0147 | ) | ||
Net Asset Value, End of Period | $1.0000 | $1.0000 | ||||
Total Return†† | +2.59 | %** | +1.48 | %** | ||
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (in millions) | $1.0 | $1.0 | ||||
Ratio of Gross Expenses to Average Net Assets# | .25 | %* | .25 | %* | ||
Ratio of Net Expenses to Average Net Assets‡ | .25 | %* | .25 | %* | ||
Ratio of Net Investment Income (Loss) to Average Net Assets | 5.13 | %* | 5.10 | %* |
Administrative Class
Six Months Ended September 30, 2007 (Unaudited) | Period from December 18, 2006^ to March 31, 2007 | |||||
Net Asset Value, Beginning of Period | $1.0000 | $1.0000 | ||||
Income From Investment Operations: | ||||||
Net Investment Income (Loss) | .0251 | .0144 | ||||
Net Gains or Losses on Securities | (.0000 | ) | (.0000 | ) | ||
Total From Investment Operations | .0251 | .0144 | ||||
Less Distributions From: | ||||||
Net Investment Income | (.0251 | ) | (.0144 | ) | ||
Total Distributions | (.0251 | ) | (.0144 | ) | ||
Net Asset Value, End of Period | $1.0000 | $1.0000 | ||||
Total Return†† | +2.54 | %** | +1.45 | %** | ||
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (in millions) | $11.7 | $1.0 | ||||
Ratio of Gross Expenses to Average Net Assets# | .35 | %* | .35 | %* | ||
Ratio of Net Expenses to Average Net Assets‡ | .35 | %* | .35 | %* | ||
Ratio of Net Investment Income (Loss) to Average Net Assets | 5.03 | %* | 5.00 | %* |
See Notes to Financial Highlights
46
Service Class
Six Months Ended September 30, 2007 (Unaudited) | Period from December 18, 2006^ to March 31, 2007 | |||||
Net Asset Value, Beginning of Period | $1.0000 | $1.0000 | ||||
Income From Investment Operations: | ||||||
Net Investment Income (Loss) | .0244 | .0140 | ||||
Net Gains or Losses on Securities | (.0000 | ) | (.0000 | ) | ||
Total From Investment Operations | .0244 | .0140 | ||||
Less Distributions From: | ||||||
Net Investment Income | (.0244 | ) | (.0140 | ) | ||
Total Distributions | (.0244 | ) | (.0140 | ) | ||
Net Asset Value, End of Period | $1.0000 | $1.0000 | ||||
Total Return†† | +2.46 | %** | +1.41 | %** | ||
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (in millions) | $1.0 | $1.0 | ||||
Ratio of Gross Expenses to Average Net Assets# | .50 | %* | .50 | %* | ||
Ratio of Net Expenses to Average Net Assets‡ | .50 | %* | .50 | %* | ||
Ratio of Net Investment Income (Loss) to Average Net Assets | 4.88 | %* | 4.85 | %* |
Premier Class
Six Months Ended September 30, 2007 (Unaudited) | Period from December 18, 2006^ to March 31, 2007 | |||||
Net Asset Value, Beginning of Period | $1.0000 | $1.0000 | ||||
Income From Investment Operations: | ||||||
Net Investment Income (Loss) | .0239 | .0137 | ||||
Net Gains or Losses on Securities | (.0000 | ) | (.0000 | ) | ||
Total From Investment Operations | .0239 | .0137 | ||||
Less Distributions From: | ||||||
Net Investment Income | (.0239 | ) | (.0137 | ) | ||
Total Distributions | (.0239 | ) | (.0137 | ) | ||
Net Asset Value, End of Period | $1.0000 | $1.0000 | ||||
Total Return†† | +2.41 | %** | +1.38 | %** | ||
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (in millions) | $357.4 | $8.3 | ||||
Ratio of Gross Expenses to Average Net Assets# | .60 | %* | .60 | %* | ||
Ratio of Net Expenses to Average Net Assets‡ | .60 | %* | .60 | %* | ||
Ratio of Net Investment Income (Loss) to Average Net Assets | 4.79 | %* | 4.75 | %* |
See Notes to Financial Highlights
47
Financial Highlights
Government Portfolio†
The following tables include selected data for a share outstanding throughout each period and other performance information derived from the Financial Statements. They should be read in conjunction with their corresponding Master Series' Financial Statements and notes thereto.
Institutional Class
Six Months Ended September 30, 2007 (Unaudited) | Period from 2007 | |||||
Net Asset Value, Beginning of Period | $1.0000 | $1.0000 | ||||
Income From Investment Operations: | ||||||
Net Investment Income (Loss) | .0257 | .0149 | ||||
Net Gains or Losses on Securities | (.0000 | ) | - | |||
Total From Investment Operations | .0257 | .0149 | ||||
Less Distributions From: | ||||||
Net Investment Income | (.0257 | ) | (.0149 | ) | ||
Total Distributions | (.0257 | ) | (.0149 | ) | ||
Net Asset Value, End of Period | $1.0000 | $1.0000 | ||||
Total Return†† | +2.59 | %** | +1.50 | %** | ||
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (in millions) | $659.7 | $494.3 | ||||
Ratio of Gross Expenses to Average Net Assets# | .10 | %* | .10 | %* | ||
Ratio of Net Expenses to Average Net Assets‡ | .10 | %* | .10 | %* | ||
Ratio of Net Investment Income (Loss) to Average Net Assets | 5.14 | %* | 5.19 | %* |
See Notes to Financial Highlights
48
Cash Management Class
Six Months Ended September 30, 2007 (Unaudited) | Period from December 18, 2006^ to March 31, 2007 | |||||
Net Asset Value, Beginning of Period | $1.0000 | $1.0000 | ||||
Income From Investment Operations: | ||||||
Net Investment Income (Loss) | .0254 | .0148 | ||||
Net Gains or Losses on Securities | (.0000 | ) | - | |||
Total From Investment Operations | .0254 | .0148 | ||||
Less Distributions From: | ||||||
Net Investment Income | (.0254 | ) | (.0148 | ) | ||
Total Distributions | (.0254 | ) | (.0148 | ) | ||
Net Asset Value, End of Period | $1.0000 | $1.0000 | ||||
Total Return†† | +2.57 | %** | +1.49 | %** | ||
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (in millions) | $1.0 | $1.0 | ||||
Ratio of Gross Expenses to Average Net Assets# | .15 | %* | .15 | %* | ||
Ratio of Net Expenses to Average Net Assets‡ | .15 | %* | .15 | %* | ||
Ratio of Net Investment Income (Loss) to Average Net Assets | 5.10 | %* | 5.13 | %* |
Capital Class
Six Months Ended September 30, 2007 (Unaudited) | Period from December 18, 2006^ to March 31, 2007 | |||||
Net Asset Value, Beginning of Period | $1.0000 | $1.0000 | ||||
Income From Investment Operations: | ||||||
Net Investment Income (Loss) | .0252 | .0147 | ||||
Net Gains or Losses on Securities | (.0000 | ) | - | |||
Total From Investment Operations | .0252 | .0147 | ||||
Less Distributions From: | ||||||
Net Investment Income | (.0252 | ) | (.0147 | ) | ||
Total Distributions | (.0252 | ) | (.0147 | ) | ||
Net Asset Value, End of Period | $1.0000 | $1.0000 | ||||
Total Return†† | +2.54 | %** | +1.47 | %** | ||
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (in millions) | $1.0 | $1.0 | ||||
Ratio of Gross Expenses to Average Net Assets# | .20 | %* | .20 | %* | ||
Ratio of Net Expenses to Average Net Assets‡ | .20 | %* | .20 | %* | ||
Ratio of Net Investment Income (Loss) to Average Net Assets | 5.05 | %* | 5.08 | %* |
See Notes to Financial Highlights
49
Select Class
Six Months Ended September 30, 2007 (Unaudited) | Period from December 18, 2006^ to March 31, 2007 | |||||
Net Asset Value, Beginning of Period | $1.0000 | $1.0000 | ||||
Income From Investment Operations: | ||||||
Net Investment Income (Loss) | .0249 | .0145 | ||||
Net Gains or Losses on Securities | (.0000 | ) | - | |||
Total From Investment Operations | .0249 | .0145 | ||||
Less Distributions From: | ||||||
Net Investment Income | (.0249 | ) | (.0145 | ) | ||
Total Distributions | (.0249 | ) | (.0145 | ) | ||
Net Asset Value, End of Period | $1.0000 | $1.0000 | ||||
Total Return†† | +2.52 | %** | +1.46 | %** | ||
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (in millions) | $3.5 | $1.0 | ||||
Ratio of Gross Expenses to Average Net Assets# | .25 | %* | .25 | %* | ||
Ratio of Net Expenses to Average Net Assets‡ | .25 | %* | .25 | %* | ||
Ratio of Net Investment Income (Loss) to Average Net Assets | 4.98 | %* | 5.03 | %* |
Administrative Class
Six Months Ended September 30, 2007 (Unaudited) | Period from December 18, 2006^ to March 31, 2007 | |||||
Net Asset Value, Beginning of Period | $1.0000 | $1.0000 | ||||
Income From Investment Operations: | ||||||
Net Investment Income (Loss) | .0244 | .0142 | ||||
Net Gains or Losses on Securities | (.0000 | ) | - | |||
Total From Investment Operations | .0244 | .0142 | ||||
Less Distributions From: | ||||||
Net Investment Income | (.0244 | ) | (.0142 | ) | ||
Total Distributions | (.0244 | ) | (.0142 | ) | ||
Net Asset Value, End of Period | $1.0000 | $1.0000 | ||||
Total Return†† | +2.47 | %** | +1.43 | %** | ||
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (in millions) | $2.0 | $2.5 | ||||
Ratio of Gross Expenses to Average Net Assets# | .35 | %* | .35 | %* | ||
Ratio of Net Expenses to Average Net Assets‡ | .35 | %* | .35 | %* | ||
Ratio of Net Investment Income (Loss) to Average Net Assets | 4.92 | %* | 4.94 | %* |
See Notes to Financial Highlights
50
Service Class
Six Months Ended September 30, 2007 (Unaudited) | Period from December 18, 2006^ to March 31, 2007 | |||||
Net Asset Value, Beginning of Period | $1.0000 | $1.0000 | ||||
Income From Investment Operations: | ||||||
Net Investment Income (Loss) | .0237 | .0138 | ||||
Net Gains or Losses on Securities | (.0000 | ) | - | |||
Total From Investment Operations | .0237 | .0138 | ||||
Less Distributions From: | ||||||
Net Investment Income | (.0237 | ) | (.0138 | ) | ||
Total Distributions | (.0237 | ) | (.0138 | ) | ||
Net Asset Value, End of Period | $1.0000 | $1.0000 | ||||
Total Return†† | +2.39 | %** | +1.39 | %** | ||
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (in millions) | $1.0 | $1.0 | ||||
Ratio of Gross Expenses to Average Net Assets# | .50 | %* | .50 | %* | ||
Ratio of Net Expenses to Average Net Assets‡ | .50 | %* | .50 | %* | ||
Ratio of Net Investment Income (Loss) to Average Net Assets | 4.75 | %* | 4.78 | %* |
Premier Class
Six Months Ended September 30, 2007 (Unaudited) | Period from December 18, 2006^ to March 31, 2007 | |||||
Net Asset Value, Beginning of Period | $1.0000 | $1.0000 | ||||
Income From Investment Operations: | ||||||
Net Investment Income (Loss) | .0232 | .0135 | ||||
Net Gains or Losses on Securities | (.0000 | ) | - | |||
Total From Investment Operations | .0232 | .0135 | ||||
Less Distributions From: | ||||||
Net Investment Income | (.0232 | ) | (.0135 | ) | ||
Total Distributions | (.0232 | ) | (.0135 | ) | ||
Net Asset Value, End of Period | $1.0000 | $1.0000 | ||||
Total Return†† | +2.34 | %** | +1.36 | %** | ||
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (in millions) | $1.0 | $1.0 | ||||
Ratio of Gross Expenses to Average Net Assets# | .60 | %* | .60 | %* | ||
Ratio of Net Expenses to Average Net Assets‡ | .60 | %* | .60 | %* | ||
Ratio of Net Investment Income (Loss) to Average Net Assets | 4.65 | %* | 4.68 | %* |
See Notes to Financial Highlights
51
Financial Highlights
Government Reserves Portfolio†
The following tables include selected data for a share outstanding throughout the period and other performance information derived from the Financial Statements. They should be read in conjunction with their corresponding Master Series' Financial Statements and notes thereto.
Institutional Class
Period from July 9, 2007^ to September 30, 2007 (Unaudited) | |||
Net Asset Value, Beginning of Period | $1.0000 | ||
Income From Investment Operations: | |||
Net Investment Income (Loss) | .0116 | ||
Net Gains or Losses on Securities | .0000 | ||
Total From Investment Operations | .0116 | ||
Less Distributions From: | |||
Net Investment Income | (.0116 | ) | |
Total Distributions | (.0116 | ) | |
Net Asset Value, End of Period | $1.0000 | ||
Total Return†† | +1.17 | %** | |
Ratios/Supplemental Data | |||
Net Assets, End of Period (in millions) | $292.8 | ||
Ratio of Gross Expenses to Average Net Assets# | .10 | %* | |
Ratio of Net Expenses to Average Net Assets‡ | .10 | %* | |
Ratio of Net Investment Income (Loss) to Average Net Assets | 5.01 | %* |
See Notes to Financial Highlights
52
Cash Management Class
Period from July 9, 2007^ to September 30, 2007 (Unaudited) | |||
Net Asset Value, Beginning of Period | $1.0000 | ||
Income From Investment Operations: | |||
Net Investment Income (Loss) | .0115 | ||
Net Gains or Losses on Securities | .0000 | ||
Total From Investment Operations | .0115 | ||
Less Distributions From: | |||
Net Investment Income | (.0115 | ) | |
Total Distributions | (.0115 | ) | |
Net Asset Value, End of Period | $1.0000 | ||
Total Return†† | +1.15 | %** | |
Ratios/Supplemental Data | |||
Net Assets, End of Period (in millions) | $1.0 | ||
Ratio of Gross Expenses to Average Net Assets# | .15 | %* | |
Ratio of Net Expenses to Average Net Assets‡ | .15 | %* | |
Ratio of Net Investment Income (Loss) to Average Net Assets | 4.99 | %* |
Capital Class
Period from July 9, 2007^ to September 30, 2007 (Unaudited) | |||
Net Asset Value, Beginning of Period | $1.0000 | ||
Income From Investment Operations: | |||
Net Investment Income (Loss) | .0114 | ||
Net Gains or Losses on Securities | .0000 | ||
Total From Investment Operations | .0114 | ||
Less Distributions From: | |||
Net Investment Income | (.0114 | ) | |
Total Distributions | (.0114 | ) | |
Net Asset Value, End of Period | $1.0000 | ||
Total Return†† | +1.14 | %** | |
Ratios/Supplemental Data | |||
Net Assets, End of Period (in millions) | $1.0 | ||
Ratio of Gross Expenses to Average Net Assets# | .20 | %* | |
Ratio of Net Expenses to Average Net Assets‡ | .20 | %* | |
Ratio of Net Investment Income (Loss) to Average Net Assets | 4.94 | %* |
See Notes to Financial Highlights
53
Select Class
Period from July 9, 2007^ to September 30, 2007 (Unaudited) | |||
Net Asset Value, Beginning of Period | $1.0000 | ||
Income From Investment Operations: | |||
Net Investment Income (Loss) | .0113 | ||
Net Gains or Losses on Securities | .0000 | ||
Total From Investment Operations | .0113 | ||
Less Distributions From: | |||
Net Investment Income | (.0113 | ) | |
Total Distributions | (.0113 | ) | |
Net Asset Value, End of Period | $1.0000 | ||
Total Return†† | +1.13 | %** | |
Ratios/Supplemental Data | |||
Net Assets, End of Period (in millions) | $1.0 | ||
Ratio of Gross Expenses to Average Net Assets# | .25 | %* | |
Ratio of Net Expenses to Average Net Assets‡ | .25 | %* | |
Ratio of Net Investment Income (Loss) to Average Net Assets | 4.89 | %* |
Administrative Class
Period from July 9, 2007^ to September 30, 2007 (Unaudited) | |||
Net Asset Value, Beginning of Period | $1.0000 | ||
Income From Investment Operations: | |||
Net Investment Income (Loss) | .0110 | ||
Net Gains or Losses on Securities | .0000 | ||
Total From Investment Operations | .0110 | ||
Less Distributions From: | |||
Net Investment Income | (.0110 | ) | |
Total Distributions | (.0110 | ) | |
Net Asset Value, End of Period | $1.0000 | ||
Total Return†† | +1.11 | %** | |
Ratios/Supplemental Data | |||
Net Assets, End of Period (in millions) | $1.0 | ||
Ratio of Gross Expenses to Average Net Assets# | .35 | %* | |
Ratio of Net Expenses to Average Net Assets‡ | .35 | %* | |
Ratio of Net Investment Income (Loss) to Average Net Assets | 4.79 | %* |
See Notes to Financial Highlights
54
Service Class
Period from July 9, 2007^ to September 30, 2007 (Unaudited) | |||
Net Asset Value, Beginning of Period | $1.0000 | ||
Income From Investment Operations: | |||
Net Investment Income (Loss) | .0107 | ||
Net Gains or Losses on Securities | .0000 | ||
Total From Investment Operations | .0107 | ||
Less Distributions From: | |||
Net Investment Income | (.0107 | ) | |
Total Distributions | (.0107 | ) | |
Net Asset Value, End of Period | $1.0000 | ||
Total Return†† | +1.07 | %** | |
Ratios/Supplemental Data | |||
Net Assets, End of Period (in millions) | $1.0 | ||
Ratio of Gross Expenses to Average Net Assets# | .50 | %* | |
Ratio of Net Expenses to Average Net Assets‡ | .50 | %* | |
Ratio of Net Investment Income (Loss) to Average Net Assets | 4.64 | %* |
Premier Class
Period from July 9, 2007^ 2007 (Unaudited) | |||
Net Asset Value, Beginning of Period | $1.0000 | ||
Income From Investment Operations: | |||
Net Investment Income (Loss) | .0105 | ||
Net Gains or Losses on Securities | .0000 | ||
Total From Investment Operations | .0105 | ||
Less Distributions From: | |||
Net Investment Income | (.0105 | ) | |
Total Distributions | (.0105 | ) | |
Net Asset Value, End of Period | $1.0000 | ||
Total Return†† | +1.05 | %** | |
Ratios/Supplemental Data | |||
Net Assets, End of Period (in millions) | $1.0 | ||
Ratio of Gross Expenses to Average Net Assets# | .60 | %* | |
Ratio of Net Expenses to Average Net Assets‡ | .60 | %* | |
Ratio of Net Investment Income (Loss) to Average Net Assets | 4.54 | %* |
See Notes to Financial Highlights
55
Financial Highlights
Treasury Portfolio†
The following tables include selected data for a share outstanding throughout each period and other performance information derived from the Financial Statements. They should be read in conjunction with their corresponding Master Series' Financial Statements and notes thereto.
Institutional Class
Six Months Ended September 30, 2007 (Unaudited) | Period from December 18, 2006^ to March 31, 2007 | |||||
Net Asset Value, Beginning of Period | $1.0000 | $1.0000 | ||||
Income From Investment Operations: | ||||||
Net Investment Income (Loss) | .0245 | .0146 | ||||
Net Gains or Losses on Securities | .0000 | .0000 | ||||
Total From Investment Operations | .0245 | .0146 | ||||
Less Distributions From: | ||||||
Net Investment Income | (.0245 | ) | (.0146 | ) | ||
Total Distributions | (.0245 | ) | (.0146 | ) | ||
Net Asset Value, End of Period | $1.0000 | $1.0000 | ||||
Total Return†† | +2.47 | %** | +1.47 | %** | ||
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (in millions) | $749.6 | $448.3 | ||||
Ratio of Gross Expenses to Average Net Assets# | .10 | %* | .10 | %* | ||
Ratio of Net Expenses to Average Net Assets‡ | .10 | %* | .10 | %* | ||
Ratio of Net Investment Income (Loss) to Average Net Assets | 4.84 | %* | 5.08 | %* |
See Notes to Financial Highlights
56
Cash Management Class
Six Months Ended September 30, 2007 (Unaudited) | Period from December 18, 2006^ to March 31, 2007 | |||||
Net Asset Value, Beginning of Period | $1.0000 | $1.0000 | ||||
Income From Investment Operations: | ||||||
Net Investment Income (Loss) | .0242 | .0144 | ||||
Net Gains or Losses on Securities | .0000 | .0000 | ||||
Total From Investment Operations | .0242 | .0144 | ||||
Less Distributions From: | ||||||
Net Investment Income | (.0242 | ) | (.0144 | ) | ||
Total Distributions | (.0242 | ) | (.0144 | ) | ||
Net Asset Value, End of Period | $1.0000 | $1.0000 | ||||
Total Return†† | +2.45 | %** | +1.45 | %** | ||
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (in millions) | $1.0 | $1.0 | ||||
Ratio of Gross Expenses to Average Net Assets# | .15 | %* | .15 | %* | ||
Ratio of Net Expenses to Average Net Assets‡ | .15 | %* | .15 | %* | ||
Ratio of Net Investment Income (Loss) to Average Net Assets | 4.86 | %* | 5.00 | %* |
Capital Class
Six Months Ended September 30, 2007 (Unaudited) | Period from December 18, 2006^ to March 31, 2007 | |||||
Net Asset Value, Beginning of Period | $1.0000 | $1.0000 | ||||
Income From Investment Operations: | ||||||
Net Investment Income (Loss) | .0240 | .0143 | ||||
Net Gains or Losses on Securities | .0000 | .0000 | ||||
Total From Investment Operations | .0240 | .0143 | ||||
Less Distributions From: | ||||||
Net Investment Income | (.0240 | ) | (.0143 | ) | ||
Total Distributions | (.0240 | ) | (.0143 | ) | ||
Net Asset Value, End of Period | $1.0000 | $1.0000 | ||||
Total Return†† | +2.42 | %** | +1.44 | %** | ||
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (in millions) | $1.0 | $1.0 | ||||
Ratio of Gross Expenses to Average Net Assets# | .20 | %* | .20 | %* | ||
Ratio of Net Expenses to Average Net Assets‡ | .20 | %* | .20 | %* | ||
Ratio of Net Investment Income (Loss) to Average Net Assets | 4.81 | %* | 4.95 | %* |
See Notes to Financial Highlights
57
Select Class
Six Months Ended September 30, 2007 (Unaudited) | Period from December 18, 2006^ to March 31, 2007 | |||||
Net Asset Value, Beginning of Period | $1.0000 | $1.0000 | ||||
Income From Investment Operations: | ||||||
Net Investment Income (Loss) | .0237 | .0141 | ||||
Net Gains or Losses on Securities | .0000 | .0000 | ||||
Total From Investment Operations | .0237 | .0141 | ||||
Less Distributions From: | ||||||
Net Investment Income | (.0237 | ) | (.0141 | ) | ||
Total Distributions | (.0237 | ) | (.0141 | ) | ||
Net Asset Value, End of Period | $1.0000 | $1.0000 | ||||
Total Return†† | +2.40 | %** | +1.42 | %** | ||
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (in millions) | $1.0 | $1.0 | ||||
Ratio of Gross Expenses to Average Net Assets# | .25 | %* | .25 | %* | ||
Ratio of Net Expenses to Average Net Assets‡ | .25 | %* | .25 | %* | ||
Ratio of Net Investment Income (Loss) to Average Net Assets | 4.76 | %* | 4.80 | %* |
Administrative Class
Six Months Ended September 30, 2007 (Unaudited) | Period from December 18, 2006^ to March 31, 2007 | |||||
Net Asset Value, Beginning of Period | $1.0000 | $1.0000 | ||||
Income From Investment Operations: | ||||||
Net Investment Income (Loss) | .0232 | .0139 | ||||
Net Gains or Losses on Securities | .0000 | .0000 | ||||
Total From Investment Operations | .0232 | .0139 | ||||
Less Distributions From: | ||||||
Net Investment Income | (.0232 | ) | (.0139 | ) | ||
Total Distributions | (.0232 | ) | (.0139 | ) | ||
Net Asset Value, End of Period | $1.0000 | $1.0000 | ||||
Total Return†† | +2.35 | %** | +1.39 | %** | ||
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (in millions) | $1.0 | $1.0 | ||||
Ratio of Gross Expenses to Average Net Assets# | .35 | %* | .35 | %* | ||
Ratio of Net Expenses to Average Net Assets‡ | .35 | %* | .35 | %* | ||
Ratio of Net Investment Income (Loss) to Average Net Assets | 4.66 | %* | 4.80 | %* |
See Notes to Financial Highlights
58
Service Class
Six Months Ended September 30, 2007 (Unaudited) | Period from December 18, 2006^ to March 31, 2007 | |||||
Net Asset Value, Beginning of Period | $1.0000 | $1.0000 | ||||
Income From Investment Operations: | ||||||
Net Investment Income (Loss) | .0225 | .0134 | ||||
Net Gains or Losses on Securities | .0000 | .0000 | ||||
Total From Investment Operations | .0225 | .0134 | ||||
Less Distributions From: | ||||||
Net Investment Income | (.0225 | ) | (.0134 | ) | ||
Total Distributions | (.0225 | ) | (.0134 | ) | ||
Net Asset Value, End of Period | $1.0000 | $1.0000 | ||||
Total Return†† | +2.27 | %** | +1.35 | %** | ||
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (in millions) | $1.0 | $1.0 | ||||
Ratio of Gross Expenses to Average Net Assets# | .50 | %* | .50 | %* | ||
Ratio of Net Expenses to Average Net Assets‡ | .50 | %* | .50 | %* | ||
Ratio of Net Investment Income (Loss) to Average Net Assets | 4.51 | %* | 4.65 | %* |
Premier Class
Six Months Ended September 30, 2007 (Unaudited) | Period from December 18, 2006^ to March 31, 2007 | |||||
Net Asset Value, Beginning of Period | $1.0000 | $1.0000 | ||||
Income From Investment Operations: | ||||||
Net Investment Income (Loss) | .0220 | .0131 | ||||
Net Gains or Losses on Securities | .0000 | .0000 | ||||
Total From Investment Operations | .0220 | .0131 | ||||
Less Distributions From: | ||||||
Net Investment Income | (.0220 | ) | (.0131 | ) | ||
Total Distributions | (.0220 | ) | (.0131 | ) | ||
Net Asset Value, End of Period | $1.0000 | $1.0000 | ||||
Total Return†† | +2.22 | %** | +1.32 | %** | ||
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (in millions) | $1.0 | $1.0 | ||||
Ratio of Gross Expenses to Average Net Assets# | .60 | %* | .60 | %* | ||
Ratio of Net Expenses to Average Net Assets‡ | .60 | %* | .60 | %* | ||
Ratio of Net Investment Income (Loss) to Average Net Assets | 4.41 | %* | 4.56 | %* |
See Notes to Financial Highlights
59
Financial Highlights
Tax-Exempt Portfolio†
The following tables include selected data for a share outstanding throughout the period and other performance information derived from the Financial Statements. They should be read in conjunction with their corresponding Master Series' Financial Statements and notes thereto.
Institutional Class
Period from September 10, 2007^ to September 30, 2007 (Unaudited) | |||
Net Asset Value, Beginning of Period | $1.0000 | ||
Income From Investment Operations: | |||
Net Investment Income (Loss) | .0021 | ||
Net Gains or Losses on Securities | .0000 | ||
Total From Investment Operations | .0021 | ||
Less Distributions From: | |||
Net Investment Income | (.0021 | ) | |
Total Distributions | (.0021 | ) | |
Net Asset Value, End of Period | $1.0000 | ||
Total Return†† | +0.21 | %** | |
Ratios/Supplemental Data | |||
Net Assets, End of Period (in millions) | $134.3 | ||
Ratio of Gross Expenses to Average Net Assets# | .15 | %* | |
Ratio of Net Expenses to Average Net Assets‡ | .15 | %* | |
Ratio of Net Investment Income (Loss) to Average Net Assets | 3.71 | %* |
See Notes to Financial Highlights
60
Cash Management Class
Period from September 10, 2007^ to September 30, 2007 (Unaudited) | |||
Net Asset Value, Beginning of Period | $1.0000 | ||
Income From Investment Operations: | |||
Net Investment Income (Loss) | .0021 | ||
Net Gains or Losses on Securities | .0000 | ||
Total From Investment Operations | .0021 | ||
Less Distributions From: | |||
Net Investment Income | (.0021 | ) | |
Total Distributions | (.0021 | ) | |
Net Asset Value, End of Period | $1.0000 | ||
Total Return†† | +0.21 | %** | |
Ratios/Supplemental Data | |||
Net Assets, End of Period (in millions) | $1.0 | ||
Ratio of Gross Expenses to Average Net Assets# | .20 | %* | |
Ratio of Net Expenses to Average Net Assets‡ | .20 | %* | |
Ratio of Net Investment Income (Loss) to Average Net Assets | 3.62 | %* |
Capital Class
Period from September 10, 2007^ to September 30, 2007 (Unaudited) | |||
Net Asset Value, Beginning of Period | $1.0000 | ||
Income From Investment Operations: | |||
Net Investment Income (Loss) | .0021 | ||
Net Gains or Losses on Securities | .0000 | ||
Total From Investment Operations | .0021 | ||
Less Distributions From: | |||
Net Investment Income | (.0021 | ) | |
Total Distributions | (.0021 | ) | |
Net Asset Value, End of Period | $1.0000 | ||
Total Return†† | +0.21 | %** | |
Ratios/Supplemental Data | |||
Net Assets, End of Period (in millions) | $1.0 | ||
Ratio of Gross Expenses to Average Net Assets# | .25 | %* | |
Ratio of Net Expenses to Average Net Assets‡ | .25 | %* | |
Ratio of Net Investment Income (Loss) to Average Net Assets | 3.57 | %* |
See Notes to Financial Highlights
61
Select Class
Period from September 10, 2007^ to September 30, 2007 (Unaudited) | |||
Net Asset Value, Beginning of Period | $1.0000 | ||
Income From Investment Operations: | |||
Net Investment Income (Loss) | .0020 | ||
Net Gains or Losses on Securities | .0000 | ||
Total From Investment Operations | .0020 | ||
Less Distributions From: | |||
Net Investment Income | (.0020 | ) | |
Total Distributions | (.0020 | ) | |
Net Asset Value, End of Period | $1.0000 | ||
Total Return†† | +0.20 | %** | |
Ratios/Supplemental Data | |||
Net Assets, End of Period (in millions) | $1.0 | ||
Ratio of Gross Expenses to Average Net Assets# | .30 | %* | |
Ratio of Net Expenses to Average Net Assets‡ | .30 | %* | |
Ratio of Net Investment Income (Loss) to Average Net Assets | 3.52 | %* |
Administrative Class
Period from September 10, 2007^ to September 30, 2007 (Unaudited) | |||
Net Asset Value, Beginning of Period | $1.0000 | ||
Income From Investment Operations: | |||
Net Investment Income (Loss) | .0020 | ||
Net Gains or Losses on Securities | .0000 | ||
Total From Investment Operations | .0020 | ||
Less Distributions From: | |||
Net Investment Income | (.0020 | ) | |
Total Distributions | (.0020 | ) | |
Net Asset Value, End of Period | $1.0000 | ||
Total Return†† | +0.20 | %** | |
Ratios/Supplemental Data | |||
Net Assets, End of Period (in millions) | $1.0 | ||
Ratio of Gross Expenses to Average Net Assets# | .40 | %* | |
Ratio of Net Expenses to Average Net Assets‡ | .40 | %* | |
Ratio of Net Investment Income (Loss) to Average Net Assets | 3.42 | %* |
See Notes to Financial Highlights
62
Service Class
Period from to September 30, 2007 (Unaudited) | |||
Net Asset Value, Beginning of Period | $1.0000 | ||
Income From Investment Operations: | |||
Net Investment Income (Loss) | .0019 | ||
Net Gains or Losses on Securities | .0000 | ||
Total From Investment Operations | .0019 | ||
Less Distributions From: | |||
Net Investment Income | (.0019 | ) | |
Total Distributions | (.0019 | ) | |
Net Asset Value, End of Period | $1.0000 | ||
Total Return†† | +0.19 | %** | |
Ratios/Supplemental Data | |||
Net Assets, End of Period (in millions) | $1.0 | ||
Ratio of Gross Expenses to Average Net Assets# | .55 | %* | |
Ratio of Net Expenses to Average Net Assets‡ | .55 | %* | |
Ratio of Net Investment Income (Loss) to Average Net Assets | 3.27 | %* |
Premier Class
Period from September 10, 2007^ to September 30, 2007 (Unaudited) | |||
Net Asset Value, Beginning of Period | $1.0000 | ||
Income From Investment Operations: | |||
Net Investment Income (Loss) | .0018 | ||
Net Gains or Losses on Securities | .0000 | ||
Total From Investment Operations | .0018 | ||
Less Distributions From: | |||
Net Investment Income | (.0018 | ) | |
Total Distributions | (.0018 | ) | |
Net Asset Value, End of Period | $1.0000 | ||
Total Return†† | +0.18 | %** | |
Ratios/Supplemental Data | |||
Net Assets, End of Period (in millions) | $1.0 | ||
Ratio of Gross Expenses to Average Net Assets# | .65 | %* | |
Ratio of Net Expenses to Average Net Assets‡ | .65 | %* | |
Ratio of Net Investment Income (Loss) to Average Net Assets | 3.17 | %* |
See Notes to Financial Highlights
63
Financial Highlights
Municipal Portfolio†
The following tables include selected data for a share outstanding throughout the period and other performance information derived from the Financial Statements. They should be read in conjunction with their corresponding Master Series' Financial Statements and notes thereto.
Institutional Class
Period from September 10, 2007^ to September 30, 2007 (Unaudited) | |||
Net Asset Value, Beginning of Period | $1.0000 | ||
Income From Investment Operations: | |||
Net Investment Income (Loss) | .0022 | ||
Net Gains or Losses on Securities | .0000 | ||
Total From Investment Operations | .0022 | ||
Less Distributions From: | |||
Net Investment Income | (.0022 | ) | |
Total Distributions | (.0022 | ) | |
Net Asset Value, End of Period | $1.0000 | ||
Total Return†† | +0.22 | %** | |
Ratios/Supplemental Data | |||
Net Assets, End of Period (in millions) | $123.7 | ||
Ratio of Gross Expenses to Average Net Assets# | .15 | %* | |
Ratio of Net Expenses to Average Net Assets‡ | .15 | %* | |
Ratio of Net Investment Income (Loss) to Average Net Assets | 3.78 | %* |
See Notes to Financial Highlights
64
Cash Management Class
Period from September 10, 2007^ to September 30, 2007 (Unaudited) | |||
Net Asset Value, Beginning of Period | $1.0000 | ||
Income From Investment Operations: | |||
Net Investment Income (Loss) | .0021 | ||
Net Gains or Losses on Securities | .0000 | ||
Total From Investment Operations | .0021 | ||
Less Distributions From: | |||
Net Investment Income | (.0021 | ) | |
Total Distributions | (.0021 | ) | |
Net Asset Value, End of Period | $1.0000 | ||
Total Return†† | +0.21 | %** | |
Ratios/Supplemental Data | |||
Net Assets, End of Period (in millions) | $1.0 | ||
Ratio of Gross Expenses to Average Net Assets# | .20 | %* | |
Ratio of Net Expenses to Average Net Assets‡ | .20 | %* | |
Ratio of Net Investment Income (Loss) to Average Net Assets | 3.69 | %* |
Capital Class
Period from September 10, 2007^ to September 30, 2007 (Unaudited) | |||
Net Asset Value, Beginning of Period | $1.0000 | ||
Income From Investment Operations: | |||
Net Investment Income (Loss) | .0021 | ||
Net Gains or Losses on Securities | .0000 | ||
Total From Investment Operations | .0021 | ||
Less Distributions From: | |||
Net Investment Income | (.0021 | ) | |
Total Distributions | (.0021 | ) | |
Net Asset Value, End of Period | $1.0000 | ||
Total Return†† | +0.21 | %** | |
Ratios/Supplemental Data | |||
Net Assets, End of Period (in millions) | $1.0 | ||
Ratio of Gross Expenses to Average Net Assets# | .25 | %* | |
Ratio of Net Expenses to Average Net Assets‡ | .25 | %* | |
Ratio of Net Investment Income (Loss) to Average Net Assets | 3.64 | %* |
See Notes to Financial Highlights
65
Select Class
Period from September 10, 2007^ to September 30, 2007 (Unaudited) | |||
Net Asset Value, Beginning of Period | $1.0000 | ||
Income From Investment Operations: | |||
Net Investment Income (Loss) | .0021 | ||
Net Gains or Losses on Securities | .0000 | ||
Total From Investment Operations | .0021 | ||
Less Distributions From: | |||
Net Investment Income | (.0021 | ) | |
Total Distributions | (.0021 | ) | |
Net Asset Value, End of Period | $1.0000 | ||
Total Return†† | +0.21 | %** | |
Ratios/Supplemental Data | |||
Net Assets, End of Period (in millions) | $1.0 | ||
Ratio of Gross Expenses to Average Net Assets# | .30 | %* | |
Ratio of Net Expenses to Average Net Assets‡ | .30 | %* | |
Ratio of Net Investment Income (Loss) to Average Net Assets | 3.59 | %* |
Administrative Class
Period from September 10, 2007^ to September 30, 2007 (Unaudited) | |||
Net Asset Value, Beginning of Period | $1.0000 | ||
Income From Investment Operations: | |||
Net Investment Income (Loss) | .0020 | ||
Net Gains or Losses on Securities | .0000 | ||
Total From Investment Operations | .0020 | ||
Less Distributions From: | |||
Net Investment Income | (.0020 | ) | |
Total Distributions | (.0020 | ) | |
Net Asset Value, End of Period | $1.0000 | ||
Total Return†† | +0.20 | %** | |
Ratios/Supplemental Data | |||
Net Assets, End of Period (in millions) | $1.0 | ||
Ratio of Gross Expenses to Average Net Assets# | .40 | %* | |
Ratio of Net Expenses to Average Net Assets‡ | .40 | %* | |
Ratio of Net Investment Income (Loss) to Average Net Assets | 3.49 | %* |
See Notes to Financial Highlights
66
Service Class
Period from September 10, 2007^ to September 30, 2007 (Unaudited) | |||
Net Asset Value, Beginning of Period | $1.0000 | ||
Income From Investment Operations: | |||
Net Investment Income (Loss) | .0019 | ||
Net Gains or Losses on Securities | .0000 | ||
Total From Investment Operations | .0019 | ||
Less Distributions From: | |||
Net Investment Income | (.0019 | ) | |
Total Distributions | (.0019 | ) | |
Net Asset Value, End of Period | $1.0000 | ||
Total Return†† | +0.19 | %** | |
Ratios/Supplemental Data | |||
Net Assets, End of Period (in millions) | $1.0 | ||
Ratio of Gross Expenses to Average Net Assets# | .55 | %* | |
Ratio of Net Expenses to Average Net Assets‡ | .55 | %* | |
Ratio of Net Investment Income (Loss) to Average Net Assets | 3.34 | %* |
Premier Class
Period from September 10, 2007^ to September 30, 2007 (Unaudited) | |||
Net Asset Value, Beginning of Period | $1.0000 | ||
Income From Investment Operations: | |||
Net Investment Income (Loss) | .0019 | ||
Net Gains or Losses on Securities | .0000 | ||
Total From Investment Operations | .0019 | ||
Less Distributions From: | |||
Net Investment Income | (.0019 | ) | |
Total Distributions | (.0019 | ) | |
Net Asset Value, End of Period | $1.0000 | ||
Total Return†† | +0.19 | %** | |
Ratios/Supplemental Data | |||
Net Assets, End of Period (in millions) | $1.0 | ||
Ratio of Gross Expenses to Average Net Assets# | .65 | %* | |
Ratio of Net Expenses to Average Net Assets‡ | .65 | %* | |
Ratio of Net Investment Income (Loss) to Average Net Assets | 3.24 | %* |
See Notes to Financial Highlights
67
Notes to Financial Highlights Institutional Liquidity Funds
(Unaudited)
† | The per share amounts and ratios which are shown reflect income and expenses, including the Portfolio's proportionate share of its corresponding Master Series' income and expenses. |
†† | Total return based on per share net asset value reflects the effects of changes in net asset value on the performance of the Portfolio during the fiscal period and assumes dividends and other distributions, if any, were reinvested. Results represent past performance and do not guarantee future results. Current returns may be lower or higher than the performance data quoted. Investment returns and principal may fluctuate and shares when redeemed may be worth more or less than original cost. Total return would have been lower if Management had not reimbursed and/or waived certain expenses (see Note B of Notes to Financial Statements of Institutional Liquidity Funds). |
‡ | After reimbursement and/or waiver of certain expenses by Management (see Note B of Notes to Financial Statements of Institutional Liquidity Funds). Had Management not undertaken such actions, the annualized ratios of net expenses to average daily net assets would have been: |
Six Months Ended September 30, 2007(2) | Period Ended March 31, 2007(1) | |||||
Money Market Institutional Class | 0.36 | % | 0.71 | % | ||
Money Market Cash Management Class | 0.42 | 1.91 | ||||
Money Market Capital Class | 0.51 | 1.96 | ||||
Money Market Select Class | 0.56 | 2.01 | ||||
Money Market Administrative Class | 0.66 | 2.11 | ||||
Money Market Service Class | 0.81 | 2.26 | ||||
Money Market Premier Class | 0.91 | 2.36 | ||||
Prime Institutional Class | 0.20 | 0.26 | ||||
Prime Cash Management Class | 0.24 | 0.56 | ||||
Prime Capital Class | 0.30 | 0.61 | ||||
Prime Select Class | 0.35 | 0.66 | ||||
Prime Administrative Class | 0.45 | 0.76 | ||||
Prime Service Class | 0.60 | 0.91 | ||||
Prime Premier Class | 0.70 | 0.89 | ||||
Government Institutional Class | 0.24 | 0.27 | ||||
Government Cash Management Class | 0.29 | 0.36 | ||||
Government Capital Class | 0.34 | 0.41 | ||||
Government Select Class | 0.40 | 0.46 | ||||
Government Administrative Class | 0.48 | 0.53 | ||||
Government Service Class | 0.64 | 0.71 | ||||
Government Premier Class | 0.74 | 0.81 | ||||
Government Reserves Institutional Class | 0.32 | - | ||||
Government Reserves Cash Management Class | 0.40 | - | ||||
Government Reserves Capital Class | 0.45 | - | ||||
Government Reserves Select Class | 0.50 | - |
68
Six Months Ended September 30, 2007(2) | Period Ended March 31, 2007(1) | |||||
Government Reserves Administrative Class | 0.60 | % | - | % | ||
Government Reserves Service Class | 0.75 | - | ||||
Government Reserves Premier Class | 0.85 | - | ||||
Treasury Institutional Class | 0.27 | 0.34 | ||||
Treasury Cash Management Class | 0.34 | 0.43 | ||||
Treasury Capital Class | 0.39 | 0.48 | ||||
Treasury Select Class | 0.44 | 0.53 | ||||
Treasury Administrative Class | 0.54 | 0.63 | ||||
Treasury Service Class | 0.69 | 0.78 | ||||
Treasury Premier Class | 0.79 | 0.88 | ||||
Tax-Exempt Institutional Class | 0.45 | - | ||||
Tax-Exempt Cash Management Class | 1.26 | - | ||||
Tax-Exempt Capital Class | 1.31 | - | ||||
Tax-Exempt Select Class | 1.36 | - | ||||
Tax-Exempt Administrative Class | 1.46 | - | ||||
Tax-Exempt Service Class | 1.61 | - | ||||
Tax-Exempt Premier Class | 1.71 | - | ||||
Municipal Institutional Class | 0.59 | - | ||||
Municipal Cash Management Class | 1.14 | - | ||||
Municipal Capital Class | 1.19 | - | ||||
Municipal Select Class | 1.24 | - | ||||
Municipal Administrative Class | 1.34 | - | ||||
Municipal Service Class | 1.49 | - | ||||
Municipal Premier Class | 1.59 | - |
(1) | Period from December 18, 2006 (Commencement of Operations) to March 31, 2007. |
(2) | Period from July 9, 2007 (Commencement of Operations) to September 30, 2007 for Government Reserves. Period from September 10, 2007 (Commencement of Operations) to September 30, 2007 for Tax-Exempt and Municipal. |
^ | The date investment operations commenced. |
* | Annualized. |
** | Not annualized. |
# | The Portfolio is required to calculate an expense ratio without taking into consideration any expense reductions related to expense offset arrangements. |
69
Schedule of Investments Money Market Master Series (Unaudited)
PRINCIPAL AMOUNT | RATING | VALUE†† | |||||||
(000's omitted) | Moody's | S&P | (000's omitted) | ||||||
U.S. Government Agency Securities (1.2%) | |||||||||
$30,000 | Federal Home Loan Bank, Bonds, 5.38%, due 4/9/08 | AGY | AGY | $30,000 | |||||
Certificates of Deposit (9.4%) | |||||||||
65,000 | Barclays Bank NY, Yankee CD, 5.35% - 5.39%, due 1/31/08 - 5/9/08 | P-1 | A-1+ | 65,000 | |||||
40,000 | Calyon NY, Yankee CD, 5.09%, due 1/25/08 | P-1 | A-1+ | 40,000 | |||||
45,000 | Deutsche Bank AG, Euro CD, 5.31%, due 2/22/08 | P-1 | A-1+ | 44,994 | |||||
30,000 | HSBC Bank PLC, Euro CD, 5.33%, due 1/30/08 | P-1 | A-1+ | 30,002 | |||||
40,000 | Royal Bank of Scotland, Yankee CD, 5.06%, due 3/27/08 | P-1 | A-1+ | 40,001 | |||||
25,000 | Societe Generale NA, Yankee CD, 5.63%, due 12/11/07 | P-1 | A-1+ | 25,001 | |||||
Total Certificates of Deposit | 244,998 | ||||||||
Floating Rate Certificates of Deposit (1.3%)µ | |||||||||
20,000 | Calyon NY, Floating Rate Yankee CD, 4.63%, due 10/1/07 | P-1 | A-1+ | 19,999 | |||||
15,000 | Credito Italiano NY, Floating Rate Yankee CD, 5.38% & 5.70%, due 10/25/07 & 12/13/07 | P-1 | A-1 | 15,003 | |||||
Total Floating Rate Certificates of Deposit | 35,002 | ||||||||
Commercial Paper (39.6%) | |||||||||
Asset Backed (16.2%) | |||||||||
25,000 | Atlantic Asset Securitization Corp., 6.05%, due 10/15/07 | P-1 | A-1 | 24,941 | ñ | ||||
25,000 | Chariot Funding LLC, 5.35%, due 10/1/07 | P-1 | A-1 | 25,000 | ñ | ||||
50,845 | Chariot Funding LLC, 5.36%, due 10/3/07 | P-1 | A-1 | 50,830 | |||||
35,000 | Crown Point Capital Co., 5.10% & 5.28%, due 10/25/07 & 2/7/08 | P-1 | A-1 | 34,729 | |||||
25,000 | Dakota Notes, 5.26%, due 10/26/07 | P-1 | A-1 | 24,909 | |||||
20,000 | Fairway Finance, 6.25%, due 10/10/07 | P-1 | A-1 | 19,969 | ñ | ||||
25,000 | Lexington Parker Capital Corp., 5.08%, due 2/8/08 | P-1 | A-1 | 24,541 | |||||
29,527 | Old Line Funding LLC, 5.29%, due 10/9/07 | P-1 | A-1+ | 29,492 | ñ | ||||
64,061 | Regency Markets No. 1 LLC, 6.35%, due 10/5/07 | P-1 | A-1 | 64,016 | ñ | ||||
55,102 | Thunder Bay Funding, Inc., 6.05% & 6.08%, due 10/9/07 & 10/12/07 | P-1 | A-1 | 55,015 | ñ | ||||
70,000 | Yorktown Capital, 5.15% & 5.25%, due 10/1/07 & 11/28/07 | P-1 | A-1+ | 69,627 | |||||
423,069 | |||||||||
Banking (23.4%) | |||||||||
75,000 | Bank of America NA, 5.24% & 5.47%, due 10/31/07 & 12/14/07 | P-1 | A-1+ | 74,329 | |||||
25,000 | Bank of Ireland, 5.18%, due 11/26/07 | P-1 | A-1 | 24,799 | |||||
50,000 | BNP Paribas NY, 5.51%, due 12/12/07 | P-1 | A-1+ | 49,449 | |||||
45,000 | Caisse Nationale d'Epargne, 5.25%, due 10/26/07 | P-1 | A-1+ | 44,836 |
See Notes to Schedule of Investments
70
PRINCIPAL AMOUNT | RATING | VALUE†† | |||||||
(000's omitted) | Moody's | S&P | (000's omitted) | ||||||
$55,000 | Danske Corp., 5.09% & 5.14%, due 10/26/07 & 10/29/07 | P-1 | A-1+ | $54,798 | |||||
25,000 | HBOS Treasury Services PLC, 5.53%, due 12/17/07 | P-1 | A-1+ | 24,704 | |||||
47,114 | ING Funding LLC, 5.40%, due 10/17/07 | P-1 | A-1+ | 47,001 | |||||
15,000 | JP Morgan Chase, 4.99%, due 3/3/08 | P-1 | A-1+ | 14,680 | |||||
40,000 | Nationwide Building Society, 5.17%, due 10/11/07 | P-1 | A-1 | 39,943 | |||||
15,000 | Picaros Funding PLC, 5.75%, due 10/12/07 | P-1 | A-1+ | 14,974 | ñ | ||||
60,000 | Picaros Funding PLC, 5.17% & 5.21%, due 12/17/07 & 2/21/08 | P-1 | A-1+ | 59,050 | |||||
45,000 | Societe Generale NA, 5.25% & 5.69%, due 11/5/07 & 12/10/07 | P-1 | A-1+ | 44,654 | |||||
15,000 | Swedbank Mortgage AB, 5.45%, due 12/14/07 | P-1 | A-1 | 14,832 | |||||
30,000 | UBS Finance, Inc., 5.46% & 5.54%, due 1/14/08 & 3/10/08 | P-1 | A-1+ | 29,405 | |||||
50,000 | UBS Finance, Inc., 5.55%, due 2/27/08 | P-1 | A-1+ | 48,916 | ñ | ||||
25,000 | Westpac Banking Corp., 5.17%, due 11/14/07 | P-1 | A-1+ | 24,842 | |||||
611,212 | |||||||||
Total Commercial Paper | 1,034,281 | ||||||||
Corporate Debt Securities (3.4%) | |||||||||
Asset Backed (2.8%) | |||||||||
25,000 | Cullinan Finance Corp., Medium-Term Notes, 5.36%, due 11/28/07 | P-1 | A-1+ | 25,000 | ñ | ||||
50,000 | Park Granada LLC, Notes, 5.33%, due 10/31/07 | P-1 | A-1+ | 49,778 | ñ | ||||
74,778 | |||||||||
Banking (0.6%) | |||||||||
15,000 | Citigroup, Inc., Senior Notes, 3.50%, due 2/1/08 | P-1 | A-1+ | 14,907 | |||||
Total Corporate Debt Securities | 89,685 | ||||||||
Floating Rate Corporate Debt Securities (30.4%)µ | |||||||||
Asset Backed (7.3%) | |||||||||
35,000 | American Honda Finance Corp., Floating Rate Medium-Term Notes, 5.36%, due 11/6/07 | P-1 | A-1 | 35,000 | ñ | ||||
25,000 | K2 (USA) LLC, Guaranteed Floating Rate Medium-Term Notes, 5.68%, due 12/10/07 | P-1 | A-1+ | 24,998 | ñ | ||||
14,900 | LP Pinewood SPV, Floating Rate Notes, 5.13%, due 10/4/07 | P-1 | 14,900 | ||||||
60,000 | Parkland (USA) LLC, Floating Rate Medium-Term Notes, 4.83% - 5.56%, due 10/1/07 - 12/27/07 | P-1 | A-1+ | 59,997 | ñ | ||||
10,880 | Schreiber Capital Co., Floating Rate Bonds, 5.13%, due 10/4/07 | P-1 | 10,880 | ||||||
20,000 | Tango Finance Corp., Floating Rate Medium-Term Notes, 4.81%, due 10/1/07 | P-1 | A-1+ | 19,999 | ñ | ||||
25,000 | Toyota Motor Credit Corp., Floating Rate Medium-Term Notes, Ser. B, 4.99%, due 10/1/07 | P-1 | A-1+ | 25,000 | |||||
190,774 |
See Notes to Schedule of Investments
71
PRINCIPAL AMOUNT | RATING | VALUE†† | |||||||
(000's omitted) | Moody's | S&P | (000's omitted) | ||||||
Banking (15.3%) | |||||||||
$25,000 | Allied Irish Banks PLC, Floating Rate Notes, 5.48%, due 10/19/07 | P-1 | A-1 | $25,000 | ñ | ||||
20,000 | Banco Espanol, Senior Unsubordinated Floating Rate Notes, 5.35%, due 10/18/07 | P-1 | A-1+ | 20,000 | ñ | ||||
25,000 | Bank of Ireland, Unsecured Floating Rate Medium-Term Notes, 5.49%, due 10/19/07 | P-1 | A-1 | 25,000 | |||||
40,000 | Fortis Bank NY, Floating Rate Notes, 5.34%, due 10/19/07 | P-1 | A-1+ | 40,000 | ñ | ||||
15,000 | HBOS Treasury Services PLC, Guaranteed Floating Rate Medium-Term Bank Notes, 5.79%, due 10/9/07 | P-1 | A-1+ | 15,000 | |||||
10,000 | HSBC Finance Corp., Floating Rate Medium-Term Notes, 5.40%, due 10/4/07 | P-1 | A-1+ | 10,000 | |||||
15,000 | HSBC Finance Corp., Floating Rate Notes, 5.19%, due 10/24/07 | P-1 | A-1+ | 15,000 | |||||
15,000 | HSBC Finance Corp., Senior Unsecured Floating Rate Notes, 5.82%, due 12/17/07 | P-1 | A-1+ | 14,981 | |||||
55,000 | JP Morgan Master Note, 5.33%, due 10/1/07 | P-1 | A-1+ | 55,000 | |||||
45,000 | La Caixa, Unsubordinated Floating Rate Notes, 5.37%, due 10/23/07 | P-1 | A-1+ | 45,000 | ñ | ||||
50,000 | Royal Bank of Canada, Floating Rate Medium-Term Notes, 5.71%, due 10/1/07 | P-1 | A-1+ | 50,000 | |||||
24,000 | Unicredito Italiano PLC, Guaranteed Floating Rate Medium-Term Notes, 5.84%, due 10/9/07 | P-1 | A-1 | 24,000 | |||||
15,000 | Unicredito Italiano PLC, Guaranteed Floating Rate Bank Notes, 5.77%, due 10/15/07 | P-1 | A-1 | 15,000 | |||||
45,000 | Wells Fargo & Co., Floating Rate Notes, 5.83%, due 10/15/07 | P-1 | A-1+ | 45,000 | ñ | ||||
398,981 | |||||||||
Conglomerate (0.9%) | |||||||||
25,000 | General Electric Capital Corp., Floating Rate Medium-Term Notes, Ser. A, 5.70%, due 12/3/07 | P-1 | A-1+ | 24,992 | |||||
Financial Services (6.9%) | |||||||||
10,000 | American Express Bank FSB, Floating Rate Bank Notes, 5.62%, due 10/18/07 | P-1 | A-1 | 10,002 | |||||
45,000 | Bear Stearns Master Note, 5.25%, due 10/1/07 | P-1 | A-1 | 45,000 | |||||
25,000 | Goldman Sachs Group, Senior Unsecured Medium-Term Notes, 5.36%, due 10/25/07 | P-1 | A-1+ | 25,000 | ñ | ||||
35,000 | Merrill Lynch & Co., Senior Unsecured Floating Rate Notes, 5.75%, due 10/18/07 | P-1 | A-1+ | 35,000 | |||||
10,000 | Merrill Lynch & Co., Floating Rate Medium-Term Notes, Ser. C, 5.79%, due 12/17/07 | P-1 | A-1+ | 9,992 | |||||
40,000 | Morgan Stanley, Senior Floating Rate Notes, 5.08%, due 10/1/07 | P-1 | A-1 | 40,000 |
See Notes to Schedule of Investments
72
PRINCIPAL AMOUNT | RATING | VALUE†† | |||||||
(000's omitted) | Moody's | S&P | (000's omitted) | ||||||
$15,000 | Morgan Stanley, Senior Floating Rate Notes, 5.85%, due 10/3/07 | P-1 | A-1+ | $15,000 | |||||
179,994 | |||||||||
Total Floating Rate Corporate Debt Securities | 794,741 | ||||||||
Promissory Notes (1.3%)µ | |||||||||
35,000 | Goldman Sachs Group, 5.18% & 5.56%, due 10/1/07 | P-1 | A-1+ | 35,000 | |||||
Asset-Backed Securities (0.3%) | |||||||||
8,503 | Capital Auto Receivables Asset Trust, Ser. 2007-1, Class A1, 5.32%, due 5/15/08 | P-1 | 8,503 | ñ | |||||
553 | CIT Equipment Collateral, Ser. 2006-VT2, Class A1, 5.34%, due 11/20/07 | P-1 | A-1+ | 553 | |||||
Total Asset-Backed Securities | 9,056 | ||||||||
Floating Rate Asset-Backed Securities (1.7%)µ | |||||||||
43,780 | Westpac Securitisation Trust, Ser. 2007-1G, Class A1, 5.47%, due 11/21/07 | P-1 | A-1+ | 43,780 | ñ | ||||
Repurchase Agreements (11.0%) | |||||||||
86,000 | Goldman Sachs Repurchase Agreement, 5.08%, due 10/1/07, dated 9/28/07, Maturity Value $86,036,407, Collateralized by $349,900,000, Fannie Mae, 1.00% - 7.00%, due 5/25/34 - 6/25/36 and $131,247,773, Freddie Mac, 0.00% - 6.00%, due 8/15/31 - 9/15/35 (Collateral Value $88,897,750) | 86,000 | |||||||
50,000 | Goldman Sachs Repurchase Agreement, 5.35%, due 10/1/07, dated 9/28/07, Maturity Value $50,022,292, Collateralized by $76,598,779, Structured Adjustable Rate Mortgage Loan, 6.17%, due 1/25/36 (Collateral Value $51,500,000) | 50,000 | |||||||
150,000 | Merrill Lynch Repurchase Agreement, 5.10%, due 10/1/07, dated 9/28/07, Maturity Value $150,063,750, Collateralized by $112,583,842, Fannie Mae, 4.50% - 6.00%, due 1/1/22 - 1/1/36 and $95,008,000, Freddie Mac, 4.50% & 5.50%, due 3/1/19 & 5/1/23 (Collateral Value $153,000,370) | 150,000 | |||||||
Total Repurchase Agreements | 286,000 | ||||||||
Total Investments (99.6%) | 2,602,543 | ||||||||
Cash, receivables and other assets, less liabilities (0.4%) | 11,206 | ||||||||
Total Net Assets (100.0%) | $2,613,749 |
See Notes to Schedule of Investments
73
Schedule of Investments Prime Master Series (Unaudited)
PRINCIPAL AMOUNT | RATING | VALUE†† | |||||||
(000's omitted) | Moody's | S&P | (000's omitted) | ||||||
U.S. Government Agency Securities (0.4%) | |||||||||
$60,000 | Federal Home Loan Bank, Bonds, 5.38%, due 4/9/08 | AGY | AGY | $60,000 | |||||
Certificates of Deposit (7.6%) | |||||||||
150,000 | Barclays Bank NY, Yankee CD, 5.35% - 5.41%, due 12/17/07 - 6/2/08 | P-1 | A-1+ | 150,000 | |||||
83,000 | BNP Paribas NY, Yankee CD, 5.30%, due 11/5/07 | P-1 | A-1+ | 83,000 | |||||
160,000 | Calyon NY, Yankee CD, 5.09%, due 1/25/08 | P-1 | A-1+ | 160,000 | |||||
150,000 | Citibank, Yankee CD, 5.32%, due 10/18/07 | P-1 | A-1+ | 150,000 | |||||
50,000 | HBOS Treasury Services PLC, Yankee CD, 5.50%, due 2/12/08 | P-1 | A-1+ | 50,003 | |||||
360,000 | Royal Bank of Scotland, Yankee CD, 5.06% - 5.62%, due 12/12/07 - 3/27/08 | P-1 | A-1+ | 360,037 | |||||
30,000 | Societe Generale NA, Yankee CD, 5.63%, due 12/11/07 | P-1 | A-1+ | 30,000 | |||||
90,000 | Unicredito Italiano NY, Yankee CD, 5.60%, due 1/7/08 | P-1 | A-1 | 90,035 | |||||
Total Certificates of Deposit | 1,073,075 | ||||||||
Floating Rate Certificates of Deposit (1.8%)µ | |||||||||
50,000 | Barclays Bank NY, Floating Rate Yankee CD, 5.62% & 5.71%, due 10/16/07 & 12/5/07 | P-1 | A-1+ | 49,998 | |||||
75,000 | BNP Paribas NY, Floating Rate Yankee CD, 5.66%, due 10/3/07 | P-1 | A-1+ | 75,000 | |||||
50,000 | Calyon NY, Floating Rate Yankee CD, 4.63%, due 10/1/07 | P-1 | A-1+ | 49,996 | |||||
52,000 | Natixis, Floating Rate Yankee CD, 5.30%, due 10/1/07 | P-1 | A-1+ | 51,997 | |||||
25,000 | SunTrust Bank, Floating Rate CD, 5.47%, due 10/19/07 | P-1 | A-1+ | 25,000 | |||||
Total Floating Rate Certificates of Deposit | 251,991 | ||||||||
Commercial Paper (40.1%) | |||||||||
Asset Backed (28.0%) | |||||||||
386,900 | Amsterdam Funding Corp., 5.20% - 6.25%, due 10/12/07 - 11/9/07 | P-1 | A-1 | 385,629 | |||||
374,823 | Atlantic Asset Securitization Corp., 5.15% - 6.05%, due 10/10/07 - 12/21/07 | P-1 | A-1 | 373,354 | |||||
25,078 | Barton Capital Corp., 5.25%, due 10/1/07 | P-1 | A-1+ | 25,078 | ñ | ||||
25,000 | Cancara Asset Securitization Ltd., 5.22%, due 12/21/07 | P-1 | A-1+ | 24,706 | |||||
370,000 | Chariot Funding LLC, 5.22% - 5.36%, due 10/1/07 - 11/7/07 | P-1 | A-1 | 369,256 | |||||
50,222 | Chariot Funding LLC, 5.25%, due 10/25/07 | P-1 | A-1 | 50,046 | ñ | ||||
150,000 | Charta LLC, 6.10%, due 10/23/07 | P-1 | A-1 | 149,441 | |||||
25,000 | Ciesco LLC, 5.25%, due 10/10/07 | P-1 | A-1+ | 24,967 | |||||
276,398 | Crown Point Capital Co., 5.10% - 6.35%, due 10/2/07 - 2/7/08 | P-1 | A-1 | 274,995 | |||||
35,000 | Dakota Notes, 5.26%, due 10/26/07 | P-1 | A-1 | 34,872 | |||||
109,857 | Edison Asset Securitization LLC, 5.60%, due 11/15/07 | P-1 | A-1+ | 109,088 |
See Notes to Schedule of Investments
74
PRINCIPAL AMOUNT | RATING | VALUE†† | |||||||
(000's omitted) | Moody's | S&P | (000's omitted) | ||||||
$12,375 | Erasmus Capital Corp., 5.15%, due 10/11/07 | P-1 | A-1+ | $12,357 | |||||
225,000 | Fairway Finance, 6.30% & 6.35%, due 10/1/07 & 10/11/07 | P-1 | A-1 | 224,825 | ñ | ||||
50,000 | Fairway Finance, 5.20%, due 11/14/07 | P-1 | A-1 | 49,682 | |||||
150,000 | Galleon Capital LLC, 5.25%, due 10/1/07 | P-1 | A-1 | 150,000 | ñ | ||||
130,000 | Grampian Funding LLC, 5.22%, due 12/19/07 | P-1 | A-1+ | 128,511 | |||||
51,000 | Jupiter Securitization Corp., 6.15%, due 11/9/07 | P-1 | A-1 | 50,660 | |||||
115,000 | Lexington Parker Capital Corp., 5.08% - 5.24%, due 10/17/07 - 2/8/08 | P-1 | A-1 | 113,782 | |||||
50,000 | Mont Blanc Capital Corp., 5.25%, due 10/23/07 | P-1 | A-1+ | 49,840 | |||||
19,012 | North Sea Funding BV LLC, 5.16%, due 10/2/07 | P-1 | A-1+ | 19,009 | |||||
95,293 | Old Line Funding LLC, 5.95% & 6.20%, due 10/16/07 & 12/3/07 | P-1 | A-1+ | 94,695 | |||||
250,000 | Park Avenue Receivables Co. LLC, 5.32%, due 10/2/07 | P-1 | A-1 | 249,963 | |||||
50,000 | Park Granada LLC, 5.33%, due 10/31/07 | P-1 | A-1+ | 49,778 | |||||
292,347 | Regency Markets No. 1 LLC, 5.25% - 6.35%, due 10/2/07 - 10/31/07 | P-1 | A-1 | 291,939 | ñ | ||||
20,000 | Thames Asset Securitization LLC, 5.25%, due 10/4/07 | P-1 | A-1 | 19,991 | |||||
283,352 | Thunder Bay Funding, Inc., 5.25% - 6.30%, due 10/1/07 - 10/12/07 | P-1 | A-1 | 282,974 | ñ | ||||
333,104 | Yorktown Capital, 5.18% - 6.18%, due 10/1/07 - 11/9/07 | P-1 | A-1+ | 332,024 | |||||
3,941,462 | |||||||||
Banking (12.1%) | |||||||||
213,005 | Bank of America NA, 5.09% - 5.47%, due 10/12/07 - 12/14/07 | P-1 | A-1+ | 211,396 | |||||
40,000 | Barclays U.S. Funding Corp., 5.35%, due 3/11/08 | P-1 | A-1+ | 39,037 | |||||
100,000 | BNP Paribas NY, 5.51%, due 12/12/07 | P-1 | A-1+ | 98,898 | |||||
50,000 | Danske Corp., 5.09%, due 10/29/07 | P-1 | A-1+ | 49,802 | |||||
65,000 | Dexia Bank, 5.43%, due 3/17/08 | P-1 | A-1+ | 65,006 | |||||
90,000 | ING Funding LLC, 5.48%, due 11/16/07 | P-1 | A-1+ | 89,370 | |||||
85,000 | JP Morgan Chase, 4.99%, due 3/3/08 | P-1 | A-1+ | 83,185 | |||||
410,000 | Picaros Funding PLC, 5.17% - 5.87%, due 10/12/07 - 2/21/08 | P-1 | A-1+ | 407,750 | |||||
314,464 | Societe Generale NA, 5.08% - 5.61%, due 10/29/07 - 12/10/07 | P-1 | A-1+ | 312,486 | |||||
356,000 | UBS Finance, Inc., 4.96% - 5.46%, due 10/12/07 - 3/27/08 | P-1 | A-1+ | 348,940 | |||||
1,705,870 | |||||||||
Total Commercial Paper | 5,647,332 | ||||||||
Floating Rate Commercial Paper (0.2%)µ | |||||||||
Financial Services (0.2%) | |||||||||
25,000 | Morgan Stanley, 5.38%, due 10/1/07 | P-1 | A-1+ | 25,000 | |||||
Time Deposits (14.3%) | |||||||||
250,000 | Citibank, Nassau, 4.50%, due 10/1/07 | P-1 | A-1+ | 250,000 | |||||
250,000 | Fifth Third Bank, Grand Cayman, 3.50%, due 10/1/07 | P-1 | A-1 | 250,000 | |||||
100,000 | KeyBank National, Grand Cayman, 2.00%, due 10/1/07 | P-1 | A-1 | 100,000 |
See Notes to Schedule of Investments
75
PRINCIPAL AMOUNT | RATING | VALUE†† | |||||||
(000's omitted) | Moody's | S&P | (000's omitted) | ||||||
$410,000 | Regions Bank, Grand Cayman, 4.00%, due 10/1/07 | P-1 | A-1 | $410,000 | |||||
100,000 | Royal Bank of Canada, Grand Cayman, 4.50%, due 10/1/07 | P-1 | A-1+ | 100,000 | |||||
596,500 | U.S. Bank, Grand Cayman, 2.00%, due 10/1/07 | P-1 | A-1+ | 596,500 | |||||
300,000 | Wells Fargo & Co., Grand Cayman, 4.00%, due 10/1/07 | P-1 | A-1+ | 300,000 | |||||
Total Time Deposits | 2,006,500 | ||||||||
Corporate Debt Securities (0.7%) | |||||||||
Asset Backed (0.2%) | |||||||||
30,000 | Cullinan Finance Corp., Medium-Term Notes, 5.36%, due 11/28/07 | P-1 | A-1+ | 30,000 | ñ | ||||
Banking (0.5%) | |||||||||
16,320 | Citigroup, Inc., Senior Notes, 3.50%, due 2/1/08 | P-1 | A-1+ | 16,220 | |||||
50,000 | Sigma Finance, Inc., Medium-Term Notes, 5.43%, due 8/5/08 | P-1 | A-1+ | 50,000 | ñ | ||||
66,220 | |||||||||
Total Corporate Debt Securities | 96,220 | ||||||||
Floating Rate Corporate Debt Securities (16.5%)µ | |||||||||
Asset Backed (8.7%) | |||||||||
77,000 | Beta Finance, Inc., Guaranteed Floating Rate Medium-Term Notes, 4.81% & 4.87%, due 10/1/07 | P-1 | A-1+ | 77,004 | ñ | ||||
5,000 | Cullinan Finance Corp., Floating Rate Notes, 5.11%, due 10/25/07 | P-1 | A-1+ | 5,000 | ñ | ||||
75,000 | Cullinan Finance Corp., Floating Rate Medium-Term Notes, 5.52%, due 11/15/07 | P-1 | A-1+ | 74,999 | ñ | ||||
75,000 | Dorada Finance, Inc., Floating Rate Medium-Term Notes, 4.81% & 5.35%, due 10/1/07 & 10/9/07 | P-1 | A-1+ | 75,002 | ñ | ||||
167,300 | K2 (USA) LLC, Guaranteed Floating Rate Medium-Term Notes, 5.48% - 5.68%, due 10/22/07 - 12/17/07 | P-1 | A-1+ | 167,300 | ñ | ||||
210,000 | Links Finance LLC, Floating Rate Medium-Term Notes, 4.82% - 5.79%, due 10/1/07 - 12/3/07 | P-1 | A-1+ | 209,986 | ñ | ||||
182,500 | Parkland (USA) LLC, Floating Rate Medium-Term Notes, 4.82% - 5.66%, due 10/1/07 - 12/31/07 | P-1 | A-1+ | 182,491 | ñ | ||||
130,000 | Sigma Finance, Inc., Guaranteed Floating Rate Medium-Term Notes, 4.82% & 4.84%, due 10/1/07 | P-1 | A-1+ | 130,001 | ñ | ||||
20,000 | Sigma Finance, Inc., Floating Rate Medium-Term Notes, 5.35%, due 10/25/07 | P-1 | A-1+ | 20,000 | ñ | ||||
15,000 | Tango Finance Corp., Floating Rate Medium-Term Notes, 4.82%, due 10/1/07 | P-1 | A-1+ | 15,000 | ñ | ||||
50,000 | Toyota Motor Credit Corp., Unsecured Floating Rate Medium-Term Notes, Ser. B, 4.66%, due 10/1/07 | P-1 | A-1+ | 50,011 | |||||
125,000 | Toyota Motor Credit Corp., Floating Rate Medium-Term Notes, Ser. B, 4.82% & 4.99%, due 10/1/07 | P-1 | A-1+ | 125,005 | |||||
35,000 | Westpac Banking Corp., Floating Rate Notes, 5.78%, due 10/9/07 | P-1 | A-1+ | 35,000 | ñ |
See Notes to Schedule of Investments
76
PRINCIPAL AMOUNT | RATING | VALUE†† | |||||||
(000's omitted) | Moody's | S&P | (000's omitted) | ||||||
$60,000 | Whistlejacket Capital LLC, Floating Rate Medium-Term Notes, 5.71%, due 10/15/07 | P-1 | A-1+ | $59,992 | ñ | ||||
1,226,791 | |||||||||
Banking (5.1%) | |||||||||
170,000 | Bank of America NA, Floating Rate Bank Notes, 4.82%, due 10/1/07 | P-1 | A-1+ | 170,000 | |||||
40,000 | Bank of New York, Senior Floating Rate Medium-Term Notes, 5.82%, due 10/10/07 | P-1 | A-1 | 40,003 | ñ | ||||
35,000 | Credit Suisse First Boston, Floating Rate Notes, 5.84%, due 10/2/07 | P-1 | A-1+ | 35,031 | |||||
50,000 | HSBC Finance Corp., Floating Rate Medium-Term Notes, 5.40%, due 10/4/07 | P-1 | A-1+ | 50,000 | |||||
6,900 | HSBC Finance Corp., Senior Unsecured Floating Rate Notes, 5.82%, due 12/17/07 | P-1 | A-1+ | 6,892 | |||||
170,000 | National City Bank, Floating Rate Bank Notes, 4.86% - 5.78%, due 10/1/07 - 10/25/07 | P-1 | A-1 | 170,008 | |||||
44,000 | National City Bank, Floating Rate Medium-Term Bank Notes, 5.42%, due 11/5/07 | P-1 | A-1 | 44,022 | |||||
40,000 | PNC Bank, Floating Rate Bank Notes, 5.67%, due 10/2/07 | P-1 | A-1 | 39,996 | |||||
40,000 | Royal Bank of Canada, Floating Rate Medium-Term Notes, 5.71%, due 10/1/07 | P-1 | A-1+ | 40,000 | ñ | ||||
28,000 | Wells Fargo & Co., Floating Rate Notes, 5.83%, due 10/15/07 | P-1 | A-1+ | 28,000 | ñ | ||||
80,000 | Wells Fargo & Co., Floating Rate Medium-Term Notes, 5.69%, due 10/18/07 | P-1 | A-1+ | 79,994 | |||||
9,700 | World Savings Bank, Floating Rate Bank Notes, 5.82%, due 10/9/07 | P-1 | A-1+ | 9,701 | |||||
713,647 | |||||||||
Conglomerate (1.2%) | |||||||||
175,000 | General Electric Capital Corp., Floating Rate Medium-Term Notes, Ser. A, 5.70%, due 12/3/07 | P-1 | A-1+ | 174,945 | |||||
Financial Services (1.5%) | |||||||||
13,384 | American Express Centurion, Floating Rate Bank Notes, 5.61%, due 10/18/07 | P-1 | A-1 | 13,385 | |||||
25,000 | Bear Stearns Co., Inc., Floating Rate Medium-Term Notes, Ser. B, 5.79%, due 10/15/07 | P-1 | A-1 | 25,000 | |||||
70,000 | Bear Stearns Master Note, 5.00%, due 10/1/07 | P-1 | A-1 | 70,000 | |||||
15,000 | Merrill Lynch & Co., Floating Rate Medium-Term Bonds, Ser. C, 5.46%, due 10/1/07 | P-1 | A-1+ | 15,017 | |||||
75,000 | Merrill Lynch & Co., Senior Unsecured Floating Rate Notes, 5.75%, due 10/18/07 | P-1 | A-1+ | 75,000 |
See Notes to Schedule of Investments
77
PRINCIPAL AMOUNT | RATING | VALUE†† | |||||||
(000's omitted) | Moody's | S&P | (000's omitted) | ||||||
$15,000 | Morgan Stanley, Senior Floating Rate Notes, 5.85%, due 10/3/07 | P-1 | A-1+ | $15,006 | |||||
213,408 | |||||||||
Total Floating Rate Corporate Debt Securities | 2,328,791 | ||||||||
Promissory Notes (0.6%)µ | |||||||||
85,000 | Goldman Sachs Group, 5.35% - 5.37%, due 10/1/07 | P-1 | A-1+ | 85,000 | |||||
Asset-Backed Securities (0.1%) | |||||||||
9,447 | Capital Auto Receivables Asset Trust, Ser. 2007-1, Class A1, 5.32%, due 5/15/08 | P-1 | 9,447 | ñ | |||||
886 | CIT Equipment Collateral, Ser. 2006-VT2, Class A1, 5.34%, due 11/20/07 | P-1 | A-1+ | 886 | |||||
Total Asset-Backed Securities | 10,333 | ||||||||
Repurchase Agreements (17.5%) | |||||||||
340,400 | Bank of America Repurchase Agreement, 5.10%, due 10/1/07, dated 9/28/07, Maturity Value $340,544,670, Collateralized by $468,938,111, Fannie Mae, 5.00%, due 4/1/35 (Collateral Value $347,208,001) | 340,400 | |||||||
900,000 | Barclays Capital Repurchase Agreement, 5.05%, due 10/1/07, dated 9/28/07, Maturity Value $900,378,750, Collateralized by $605,131,930, Fannie Mae, 4.43% - 6.00%, due 4/1/34 - 9/1/37 and $402,729,225, Freddie Mac, 5.00% - 6.29%, due 10/1/36 - 8/1/37 (Collateral Value $918,000,000) | 900,000 | |||||||
649,700 | Goldman Sachs Repurchase Agreement, 5.08%, due 10/1/07, dated 9/28/07, Maturity Value $649,975,040, Collateralized by $850,657,400, Fannie Mae, 0.00% & 5.50%, due 8/1/36 & 5/1/37 and $720,522,813, Freddie Mac, 0.00%, due 2/1/35 - 4/15/37 (Collateral Value $682,185,000) | 649,700 | |||||||
150,000 | Goldman Sachs Repurchase Agreement, 5.33%, due 10/1/07, dated 9/28/07, Maturity Value $150,066,625, Collateralized by 4,427,362, shares of various Equity Securities, $44,368,533, various Asset Backed Securities, 0.00% - 8.13%, due 10/19/11 - 1/1/49 and $2,500,000, Certificates of Deposits, 0.00%, due 10/6/11 (Collateral Value $156,825,995) | 150,000 | |||||||
100,000 | Goldman Sachs Repurchase Agreement, 5.35%, due 10/1/07, dated 9/28/07, Maturity Value $100,044,583, Collateralized by $161,778,001, U.S. Treasury Notes, 0.00% - 7.25%, due 3/6/20 - 7/25/37 (Collateral Value $103,000,000) | 100,000 | |||||||
175,000 | Merrill Lynch Repurchase Agreement, 5.10%, due 10/1/07, dated 9/28/07, Maturity Value $175,074,375, Collateralized by $128,092,450, Fannie Mae, 5.00% - 6.00%, due 4/1/23 - 1/1/36 and $199,999,604, Freddie Mac, 4.00% - 5.50%, due 6/1/08 - 2/1/36 (Collateral Value $178,501,251) | 175,000 |
See Notes to Schedule of Investments
78
PRINCIPAL AMOUNT | RATING | VALUE†† | ||||||
(000's omitted) | Moody's | S&P | (000's omitted) | |||||
$150,000 | Merrill Lynch Repurchase Agreement, 5.32%, due 10/1/07, dated 9/28/07, Maturity Value $150,066,500, Collateralized by 2,855,616, shares of various Equity Securities (Collateral Value $157,661,552) | $150,000 | ||||||
Total Repurchase Agreements | 2,465,100 | |||||||
Total Investments (99.8%) | 14,049,342 | |||||||
Cash, receivables and other assets, less liabilities (0.2%) | 29,074 | |||||||
Total Net Assets (100.0%) | $14,078,416 |
See Notes to Schedule of Investments
79
Schedule of Investments Government Master Series (Unaudited)
PRINCIPAL AMOUNT | RATING | VALUE†† | |||||||
(000's omitted) | Moody's | S&P | (000's omitted) | ||||||
U.S. Government Agency Securities (48.8%) | |||||||||
$56 | Fannie Mae, Bonds, 3.25%, due 1/15/08 | AGY | AGY | $56 | |||||
40,269 | Fannie Mae, Disc. Notes, 4.80% - 5.25%, due 10/1/07 - 5/30/08 | AGY | AGY | 39,663 | |||||
7,385 | Fannie Mae, Notes, 5.25% - 6.63%, due 10/15/07 - 12/3/07 | AGY | AGY | 7,384 | |||||
150 | Federal Farm Credit Bank, Bonds, 3.00%, due 12/17/07 | AGY | AGY | 149 | |||||
508 | Federal Farm Credit Bank, Disc. Notes, 5.05% - 5.11%, due 11/20/07 - 2/1/08 | AGY | AGY | 503 | |||||
95,660 | Federal Farm Credit Bank, Floating Rate Bonds, 4.98% - 5.55%, due 10/1/07 - 11/28/07 | AGY | AGY | 95,660 | µ | ||||
39,420 | Federal Home Loan Bank, Bonds, 2.75% - 5.40%, due 10/3/07 - 8/14/08 | AGY | AGY | 39,388 | |||||
64,500 | Federal Home Loan Bank, Disc. Notes, 4.80% - 5.22%, due 10/31/07 - 7/18/08 | AGY | AGY | 63,714 | |||||
160,500 | Federal Home Loan Bank, Floating Rate Bonds, 4.12% - 5.54%, due 10/3/07 - 12/22/07 | AGY | AGY | 160,482 | µ | ||||
53,919 | Freddie Mac, Disc. Notes, 4.38% - 5.20%, due 10/15/07 - 9/15/08 | AGY | AGY | 53,267 | |||||
25,000 | Freddie Mac, Floating Rate Notes, 4.98%, due 10/26/07 | AGY | AGY | 24,997 | µ | ||||
14,300 | Freddie Mac, Notes, 2.85% - 5.38%, due 10/15/07 - 6/3/08 | AGY | AGY | 14,282 | |||||
Total U.S. Government Agency Securities | 499,545 | ||||||||
Repurchase Agreements (50.9%) | |||||||||
50,000 | Bank of America Repurchase Agreement, 5.10%, due 10/1/07, dated 9/28/07, Maturity Value $50,021,250, Collateralized by $68,880,451, Fannie Mae, 5.00%, due 4/1/35 (Collateral Value $51,000,000) | 50,000 | |||||||
100,000 | Barclays Capital Repurchase Agreement, 5.05%, due 10/1/07, dated 9/28/07, Maturity Value $100,042,083, Collateralized by $66,780,864, Fannie Mae, 4.50%, due 11/1/20 and $51,348,180, Freddie Mac, 5.50% & 6.00%, due 8/1/36 & 7/1/37 (Collateral Value $102,000,000) | 100,000 | |||||||
100,000 | Credit Suisse First Boston Repurchase Agreement, 5.10%, due 10/1/07, dated 9/28/07, Maturity Value $100,042,500, Collateralized by $265,716,593, Fannie Mae, 0.00% - 7.00%, due 10/1/08 - 10/1/37 and $2,206,234, Freddie Mac, 5.50% - 9.00%, due 3/17/08 - 5/1/37 (Collateral Value $102,002,438) | 100,000 |
See Notes to Schedule of Investments
80
PRINCIPAL AMOUNT | RATING | VALUE†† | ||||||
(000's omitted) | Moody's | S&P | (000's omitted) | |||||
$70,500 | Goldman Sachs Repurchase Agreement, 5.08%, due 10/1/07, dated 9/28/07, Maturity Value $70,529,845, Collateralized by $96,538,577, Fannie Mae, 2.49% - 4.98%, due 12/25/31 - 3/25/36 and $94,886,051, Freddie Mac, 4.00% - 6.50%, due 6/15/24 - 1/25/35 (Collateral Value $71,910,001) | $70,500 | ||||||
25,000 | Goldman Sachs Repurchase Agreement, 5.27%, due 10/3/07, dated 7/5/07, Maturity Value $25,321,750, Collateralized by $32,326,141, Fannie Mae, 5.58%, due 7/25/36 (Collateral Value $25,500,001) | 25,000 | ||||||
175,000 | Merrill Lynch Repurchase Agreement, 5.10%, due 10/1/07, dated 9/28/07, Maturity Value $175,074,375, Collateralized by $266,830,036, Fannie Mae, 4.50% - 6.00%, due 8/1/18 - 2/1/37 (Collateral Value $178,503,818) | 175,000 | ||||||
Total Repurchase Agreements | 520,500 | |||||||
Total Investments (99.7%) | 1,020,045 | |||||||
Cash, receivables and other assets, less liabilities (0.3%) | 3,105 | |||||||
Total Net Assets (100.0%) | $1,023,150 |
See Notes to Schedule of Investments
81
Schedule of Investments Government Reserves Master Series
PRINCIPAL AMOUNT | RATING | VALUE†† | |||||||
(000's omitted) | Moody's | S&P | (000's omitted) | ||||||
U.S. Government Agency Securities (106.5%) | |||||||||
$10,200 | Federal Farm Credit Bank, Disc. Notes, 4.65% - 5.15%, due 10/1/07 - 1/29/08 | AGY | AGY | $10,179 | |||||
27,500 | Federal Farm Credit Bank, Floating Rate Bonds, 5.54% - 5.67%, due 10/1/07 - 10/13/07 | AGY | AGY | 27,500 | µ | ||||
200 | Federal Farm Credit Bank, Notes, 6.37%, due 10/30/07 | AGY | AGY | 200 | |||||
13,800 | Federal Home Loan Bank, Bonds, 2.70% - 5.40%, due 10/19/07 - 8/14/08 | AGY | AGY | 13,787 | |||||
165,331 | Federal Home Loan Bank, Disc. Notes, 4.00% - 5.17%, due 10/1/07 - 7/18/08 | AGY | AGY | 164,171 | |||||
25,000 | Federal Home Loan Bank, Disc. Notes, 4.93% & 5.14%, due 10/17/07 & 11/23/07 | AGY | AGY | 24,868 | ØØ | ||||
51,400 | Federal Home Loan Bank, Floating Rate Bonds, 4.78% - 5.54%, due 10/1/07 - 12/17/07 | AGY | AGY | 51,398 | µ | ||||
20,000 | Federal Home Loan Bank, Floating Rate Bonds, 5.44%, due 11/18/07 | AGY | AGY | 20,020 | µØ | ||||
6,425 | Tennessee Valley Au., Disc. Notes, 4.50%, due 10/4/07 | AGY | AGY | 6,423 | |||||
Total U.S. Government Agency Securities | 318,546 | ||||||||
Total Investments (106.5%) | 318,546 | ||||||||
Liabilities, less cash, receivables and other assets [(6.5%)] | (19,410 | ) | |||||||
Total Net Assets (100.0%) | $299,136 |
See Notes to Schedule of Investments
82
Schedule of Investments Treasury Master Series (Unaudited)
PRINCIPAL AMOUNT | RATING | VALUE†† | ||||||
(000's omitted) | Moody's | S&P | (000's omitted) | |||||
U.S. Treasury Securities-Backed by the Full Faith and Credit of the U.S. Government (4.6%) | ||||||||
$10,000 | U.S. Treasury Notes, 3.00%, due 2/15/08 | TSY | TSY | $9,924 | ||||
25,000 | U.S. Treasury Notes, 4.63%, due 3/31/08 | TSY | TSY | 24,951 | ||||
Total U.S. Treasury Securities-Backed by the Full Faith and Credit of the U.S. Government | 34,875 | |||||||
Repurchase Agreements (95.3%) | ||||||||
100,000 | Bank of America Repurchase Agreement, 3.90%, due 10/1/07, dated 9/28/07, Maturity Value $100,032,500, Collateralized by $41,501,000, U.S. Treasury Notes, 3.50% & 4.00%, due 8/15/09 & 4/15/10 and $94,668,000 U.S. Treasury Strips, due 8/15/13 - 8/15/22 (Collateral Value $102,000,697) | 100,000 | ||||||
150,000 | Barclays Capital Repurchase Agreement, 3.90%, due 10/1/07, dated 9/28/07, Maturity Value $150,048,750, Collateralized by $117,893,000, U.S. Treasury Note, 3.63%, due 1/15/08 (Collateral Value $153,001,076) | 150,000 | ||||||
150,000 | Fortis Financial Repurchase Agreement, 4.00% due 10/1/2007, dated 9/28/07, Maturity Value $150,050,000, Collateralized by $134,231,000, U.S. Treasury Notes, 3.38% - 7.13%, due 1/15/08 - 4/15/32 (Collateral Value $153,000,354) | 150,000 | ||||||
67,000 | Goldman Sachs Repurchase Agreement, 3.50%, due 10/1/07, dated 9/28/07, Maturity Value $67,019,542, Collateralized by $65,234,000, U.S. Treasury Note, 5.13%, due 6/30/11 (Collateral Value $68,340,050) | 67,000 | ||||||
154,000 | Merrill Lynch Repurchase Agreement, 3.85%, due 10/1/07, dated 9/28/07, Maturity Value $154,049,408, Collateralized by $154,145,000, U. S. Treasury Note, 4.63%, due 7/31/09 (Collateral Value $157,082,253) | 154,000 | ||||||
100,000 | Morgan Stanley Repurchase Agreement, 3.90%, due 10/1/07, dated 9/28/07, Maturity Value $100,032,500, Collateralized by $406,110,000, U.S. Treasury Strips, due 2/15/36 - 5/15/37 (Collateral Value $102,000,087) | 100,000 | ||||||
Total Repurchase Agreements | 721,000 | |||||||
Total Investments (99.9%) | 755,875 | |||||||
Cash, receivables and other assets, less liabilities (0.1%) | 880 | |||||||
Total Net Assets (100.0%) | $756,755 |
See Notes to Schedule of Investments
83
Schedule of Investments Tax-Exempt Master Series (Unaudited)
PRINCIPAL AMOUNT SECURITY@@ | RATING‡‡ | VALUE†† | |||||||
(000's omitted) | Moody's | S&P | (000's omitted) | ||||||
Municipal Notes (98.0%) | |||||||||
Alabama (1.2%) | |||||||||
$1,600 | Gulf Shores Med. Clinic Board Rev. (Colonial Pinnacle MOB Proj.), Ser. 2007, (LOC: Regions Bank), 3.94%, due 10/4/07 | P-1 | $1,600 | µß | |||||
2,900 | Lauderdale Co. Pub. Park Rec. Board Rev. (YMCA of the Shoals Proj.), Ser. 2000, (LOC: SunTrust Bank), 3.87%, due 10/3/07 | VMIG1 | 2,900 | µß | |||||
1,245 | Lee Co. Ind. Dev. Au. Rev. (Lifesouth Comm. Blood Ctr.), Ser. 2001, (LOC: SunTrust Bank), 3.92%, due 10/3/07 | VM1G1 | 1,245 | µß | |||||
20,000 | Lower Alabama Gas Dist. Supply Rev., Ser. 2007 A, (LOC: Societe Generale), 4.11%, due 10/1/07 | VMIG1 | 20,000 | µ | |||||
25,745 | |||||||||
Alaska (0.1%) | |||||||||
1,250 | Alaska Ind. Dev. & Export Au. Rev., Ser. 2004, (FSA Insured), 3.92%, due 10/4/07 | VMIG1 | 1,250 | µi | |||||
Arizona (0.7%) | |||||||||
5,800 | ABN Amro Munitops Cert. Trust Rev., Ser. 2005, (MBIA Insured), 3.93%, due 10/4/07 | VMIG1 | 5,800 | µaØØ | |||||
10,000 | Scottsdale Ind. Dev. Au. Hosp. Rev., Ser. 2006, (LOC: Citigroup Global Markets), 3.92%, due 10/4/07 | VMIG1 | 10,000 | µØØ | |||||
15,800 | |||||||||
Arkansas (0.8%) | |||||||||
11,500 | ABN Amro Munitops Cert. Trust Rev., Ser. 2006, (FGIC Insured), 3.93%, due 10/4/07 | VMIG1 | 11,500 | ñµa | |||||
6,330 | North Little Rock Residential Hsg. Fac. Board Multi-Family Rev. (Floaters), Ser. 2004, (LOC: Government National Mortgage Association), 3.99%, due 10/4/07 | VMIG1 | 6,330 | µr | |||||
17,830 | |||||||||
California (3.1%) | |||||||||
5,450 | Austin Trust St. Cert., Ser. 2007-315, (LOC: State Street Bank & Trust Co.), 3.92%, due 10/4/07 | VMIG1 | 5,450 | µc | |||||
17,940 | California St. Muni. Sec. Trust Receipts, Ser. 2001-136, (XLCA Insured), 4.05%, due 10/1/07 | A-1+ | 17,940 | µt | |||||
13,870 | California St. Muni. Sec. Trust Receipts, Ser. 2001-135, (AMBAC Insured), 4.05%, due 10/1/07 | A-1+ | 13,870 | µt |
See Notes to Schedule of Investments
84
PRINCIPAL AMOUNT SECURITY@@ | RATING‡‡ | VALUE†† | |||||||
(000's omitted) | Moody's | S&P | (000's omitted) | ||||||
$3,215 | California Statewide Comm. Dev. Au. Rev. (Floaters), Ser. 2007-2089, (LOC: Wells Fargo Bank & Trust Co.), 3.94%, due 10/4/07 | VMIG1 | $3,215 | µ | |||||
9,050 | Northern California Gas Au. Number 1 Gas Proj. Rev. (Floaters), Ser. 2007-55, (LOC: Goldman Sachs), 3.92%, due 10/4/07 | 9,050 | µ | ||||||
18,180 | Puttable Floating Option Tax Exempt Receipts (Floaters), Ser. 2006, (LOC: Merrill Lynch Capital Markets), 4.02%, due 10/4/07 | 18,180 | µ | ||||||
67,705 | |||||||||
Colorado (2.7%) | |||||||||
4,300 | Adams 12 Five Star Sch. (Putters), Ser. 2007-1728, (MBIA Insured), 3.92%, due 10/4/07 | VMIG1 | 4,300 | µo | |||||
4,725 | Broomfield Cert. Participation (Floaters), Ser. 2002-1643, (AMBAC Insured), 3.95%, due 10/4/07 | 4,725 | µr | ||||||
1,500 | Central Platte Valley Metro. Dist., Ser. 2006, (LOC: BNP Paribas), 3.70%, due 12/1/07 | A-1+ | 1,500 | µ | |||||
3,625 | Colorado Ed. & Cultural Fac. Au. Rev. (Emmanuel Sch. Religion Proj.), Ser. 2006, (LOC: AmSouth Bank), 3.89%, due 10/4/07 | VMIG1 | 3,625 | µß | |||||
5,350 | Commerce City Northern Infrastructure Gen. Imp. Dist. G.O., Ser.2006, (LOC: U.S. Bank), 3.89%, due 10/4/07 | A-1+ | 5,350 | µ | |||||
20,000 | Dawson Ridge Metro. Dist. Number 1 (Merlots), Ser. 2007-D03, (LOC: Wachovia Bank & Trust Co.), 3.98%, due 10/3/07 | VMIG1 | 20,000 | µ | |||||
5,040 | Denver City & Co. Arpt. Rev. (Floaters), Ser. 2006-63TP, (FGIC Insured), 3.90%, due 10/4/07 | 5,040 | µm | ||||||
7,485 | Deutsche Bank Spears/Lifers Trust Var. St. (Colorado Health Facs. Au.), Ser. 2007-132, (LOC: Deutsche Bank), 4.02%, due 10/4/07 | 7,485 | µ | ||||||
5,405 | Summit Co. Sch. Dist. G.O., Ser. 2004, (FSA Insured), 3.92%, due 10/4/07 | VMIG1 | 5,405 | µi | |||||
57,430 | |||||||||
Delaware (0.6%) | |||||||||
12,100 | New Castle Co. Delaware Student Hsg. Rev. (University Courtyard Apts.), Ser. 2005, (LOC: Bank of New York), 3.89%, due 10/4/07 | VMIG1 | 12,100 | µß | |||||
District of Columbia (0.3%) | |||||||||
2,085 | District of Columbia G.O. (Merlots), Ser. 2001-A127, (MBIA Insured), 3.92%, due 10/3/07 | A-1+ | 2,085 | µv | |||||
2,235 | District of Columbia Rev. Ref. (Maret Sch., Inc.), Ser. 2003, (LOC: SunTrust Bank), 3.87%, due 10/3/07 | VMIG1 | 2,236 | µß | |||||
1,435 | District of Columbia Wtr. & Swr. Au. Pub. Util. Rev., (Floaters) Ser. 2006, (FSA Insured), 3.92%, due 10/4/07 | 1,435 | µl | ||||||
5,756 |
See Notes to Schedule of Investments
85
PRINCIPAL AMOUNT SECURITY@@ | RATING‡‡ | VALUE†† | |||||||
(000's omitted) | Moody's | S&P | (000's omitted) | ||||||
Florida (5.7%) | |||||||||
$14,080 | Broward Co. Professional Sports Fac. Tax Rev. (Floaters), Ser. 2007-1939, (AMBAC Insured), 3.91%, due 10/4/07 | $14,080 | µs | ||||||
7,700 | Deutsche Bank Spears/Lifers Trust Var. St. Rev. (Manatee Co.), Ser. 2007-243, (MBIA Insured), 3.95%, due 10/4/07 | A-1+ | 7,700 | µk | |||||
2,755 | Eclipse Funding Trust (Solar Eclipse-Palm Bay Sales), Ser. 2006-0136, (FSA Insured), 3.91%, due 10/4/07 | A-1+ | 2,755 | µu | |||||
8,980 | Eclipse Funding Trust (Solar Eclipse-Winter Haven Utils. Sys.), Ser. 2006-0054, (MBIA Insured), 3.92%, due 10/4/07 | A-1+ | 8,980 | ñµuØØ | |||||
2,690 | Florida St. Board of Ed. Muni. Sec. Trust Receipts, Ser. 2003-SGA138, (MBIA Insured), 3.94%, due 10/3/07 | A-1+ | 2,690 | µt | |||||
1,450 | Jacksonville Ed. Fac. Rev. (Edwards Waters College Proj.), Ser. 2001, (LOC: Wachovia Bank & Trust Co.), 3.70%, due 10/1/07 | 1,450 | µß | ||||||
2,000 | Martin Co. PCR (Florida Pwr. & Lt. Proj.), Ser. 2000, 4.01%, due 10/1/07 | VMIG1 | A-1 | 2,000 | µß | ||||
1,000 | Miami-Dade Co. Sch. Board Cert. Participation (Putters), Ser. 2006-1317, (AMBAC Insured), 3.92%, due 10/4/07 | A-1+ | 1,000 | µo | |||||
1,000 | Miami-Dade Co. Sch. Board Cert. Participation, (Eagle), Ser. 2006 A, (AMBAC Insured), 4.16%, due 10/4/07 | A-1+ | 1,000 | µh | |||||
8,610 | Muni. Sec. Trust Cert. G.O., Ser. 2007-9068, (MBIA Insured), 3.95%, due 10/4/07 | A-1 | 8,610 | ñµe | |||||
20,750 | Orange Co. Sch. Board Cert. Participation, Ser. 2007 B, (FGIC Insured), 3.96%, due 10/1/07 | VMIG1 | A-1+ | 20,750 | µo | ||||
4,600 | Orlando & Orange Co. Expressway Au. Rev., Ser. 2003-C3, (FSA Insured), 3.87%, due 10/4/07 | VMIG1 | A-1+ | 4,600 | µl | ||||
9,090 | Orlando Util. Commission Wtr. & Elec. Rev. (Floaters), Ser. 2006, (LOC: Dexia Credit Locale de France), 3.95%, due 10/4/07 | 9,090 | µ | ||||||
15,355 | Puttable Floating Option Tax Exempt Receipts (Floaters) (South Miami Hlth. Fac. Au.), Ser. 2007-1498, (LOC: Merrill Lynch Capital Markets), 3.99%, due 10/4/07 | A-1+ | 15,355 | µ | |||||
21,805 | Sunshine St. Governmental Fin. Commission Rev., Ser. 1986, (AMBAC Insured), 4.08%, due 10/1/07 | VMIG1 | 21,805 | µl | |||||
121,865 | |||||||||
Georgia (1.9%) | |||||||||
7,555 | Athens Area Fac. Corp. Cert. Participation, Ser. 2007, (LOC: Citibank, N.A.), 3.92%, due 10/4/07 | VMIG1 | 7,555 | µ | |||||
3,135 | De Kalb Co. Wtr. & Swr. Rev., Ser. 2006, (LOC: Citibank, N.A.), 3.92%, due 10/4/07 | VMIG1 | 3,135 | µ | |||||
5,000 | Fulton Co. Dev. Au. Rev. (Robert Woodruff Arts Ctr.), Ser. 2004-B, (LOC: SunTrust Bank), 3.87%, due 10/3/07 | VMIG1 | 5,000 | µß |
See Notes to Schedule of Investments
86
PRINCIPAL AMOUNT SECURITY@@ | RATING‡‡ | VALUE†† | |||||||
(000's omitted) | Moody's | S&P | (000's omitted) | ||||||
$500 | Gwinnett Co. Dev. Au. Rev. (Greater Atlanta Christian), Ser. 1998, (LOC: SunTrust Bank), 3.87%, due 10/3/07 | $500 | µß | ||||||
3,135 | Macon Bibb Co. Hosp. Au. Rev. (Anticipation Cert.- Med. Center), Ser. 1997, (LOC: SunTrust Bank), 3.87%, due 10/3/07 | 3,135 | µß | ||||||
2,500 | Marietta Hsg. Au. Multi-Family Rev. (Franklin Walk Apts. Proj.), Ser. 1990, (LOC: Freddie Mac), 3.86%, due 10/4/07 | VMIG1 | 2,500 | µß | |||||
4,715 | Muni. Elec. Au. Spec. Oblig., Ser. 1994-SGA1, (MBIA Insured), 3.94%, due 10/3/07 | A-1+ | 4,715 | µt | |||||
3,995 | Puttable Floating Option Tax Exempt Receipts (Floaters), Ser. 2007-4174, (LOC: Citigroup Global Markets), 3.95%, due 10/4/07 | 3,995 | µl | ||||||
11,480 | Richmond Co. Dev. Au. Rev., Ser. 2007-10025Z, (LOC: Citigroup Global Markets), 3.93%, due 10/4/07 | A-1+ | 11,480 | µ | |||||
42,015 | |||||||||
Illinois (5.8%) | |||||||||
8,050 | Chicago Board Ed. (Floaters), Ser. 2006-3620, (AMBAC Insured), 3.92%, due 10/4/07 | 8,050 | µl | ||||||
7,145 | Chicago O'Hare Int'l. Arpt. Rev., Ser. 2005, (FGIC Insured), 3.99%, due 10/4/07 | 7,145 | µk | ||||||
5,080 | Chicago O'Hare Int'l. Arpt. Rev. (Floaters), Ser. 2007-1933, (FGIC Insured), 3.91%, due 10/4/07 | VMIG1 | 5,080 | µs | |||||
3,845 | De Witt Ford Co. Comm. College Dist. Number 540 (Merlots), Ser. 2007-D13, (FSA Insured), 3.92%, due 10/3/07 | VMIG1 | 3,845 | µv | |||||
16,520 | Deutsche Bank Spears/Lifers Trust Var. St. (Chicago Illinois Board), Ser. 2007-315, (FGIC Insured), 3.96%, due 10/4/07 | 16,520 | µk | ||||||
14,180 | Deutsche Bank Spears/Lifers Trust Var. St. (Chicago Illinois Board), Ser. 2007-316, (FGIC Insured), 3.96%, due 10/4/07 | 14,180 | µk | ||||||
4,555 | Deutsche Bank Spears/Lifers Trust Var. St. (Chicago), Ser. 2007-346, (FGIC Insured), 3.99%, due 10/1/07 | 4,555 | µk | ||||||
15,670 | Deutsche Bank Spears/Lifers Trust Var. St. (Chicago), Ser. 2007-308, (FGIC Insured), 3.96%, due 10/4/07 | 15,670 | µk | ||||||
3,815 | Deutsche Bank Spears/Lifers Trust Var. St. (Northern Illinois Muni.), Ser. 2007-320, (MBIA Insured), 3.95%, due 10/4/07 | 3,815 | µk | ||||||
8,000 | Illinois Fin. Au. Rev. (Clare Oaks), Ser. 2006 D, (LOC: Sovereign Bank), 3.90%, due 10/4/07 | 8,000 | µßb | ||||||
1,900 | Illinois Fin. Au. Rev. (IIT Research Institute), Ser. 2004, (LOC: Fifth Third Bank), 3.89%, due 10/4/07 | VMIG1 | 1,900 | µß | |||||
1,850 | Illinois Fin. Au. Rev. (Lawrence Hall Youth Svcs.), Ser. 2006, (LOC: Fifth Third Bank), 3.88%, due 10/5/07 | VMIG1 | 1,850 | µß | |||||
5,000 | Lake Co. Sch. Dist. Number 109 Deerfield Rev., Ser. 2006, (LOC: JP Morgan Chase), 3.93%, due 10/3/07 | VMIG1 | 5,000 | µ |
See Notes to Schedule of Investments
87
PRINCIPAL AMOUNT SECURITY@@ | RATING‡‡ | VALUE†† | |||||||
(000's omitted) | Moody's | S&P | (000's omitted) | ||||||
$4,000 | Metro. Pier & Exposition Au. Hospitality Fac. Rev. (Floaters), Ser. 2006, (LOC: Dexia Credit Locale de France), 3.92%, due 10/4/07 | $4,000 | µ | ||||||
8,260 | Muni. Sec. Trust Cert. G.O., Ser. 2007-347-A, (FSA Insured), 3.92%, due 10/4/07 | VMIG1 | 8,260 | ñµe | |||||
2,780 | Quad Cities Reg. Econ. Dev. Au. Rev. (Two Rivers YMCA Proj.), Ser. 2002, (LOC: U.S. Bank), 4.10%, due 10/1/07 | A-1+ | 2,780 | µß | |||||
5,905 | Reg. Trans. Au. G.O. (Floaters), Ser. 2006, (MBIA Insured), 3.99%, due 10/4/07 | 5,905 | µl | ||||||
8,445 | Reg. Trans. Au. G.O. (Merlots), Ser. 2002-A24, (MBIA Insured), 3.92%, due 10/3/07 | VMIG1 | 8,445 | µd | |||||
125,000 | |||||||||
Indiana (5.6%) | |||||||||
8,055 | ABN Amro Munitops Cert. Trust Rev., Ser. 2006, (AMBAC Insured), 3.93%, due 10/4/07 | 8,055 | ñµa | ||||||
7,490 | Bartholomew Cons. Sch. Corp. Ind. Tax Anticipation Warrants, Ser. 2007, 4.00%, due 12/31/07 | 7,498 | |||||||
5,085 | Carmel Clay Parks Bldg. Corp. (Putters), Ser. 2004-539, (MBIA Insured), 3.92%, due 10/4/07 | A-1+ | 5,085 | µo | |||||
6,000 | Carmel Clay Sch. Tax Anticipation Warrants, Ser. 2007, 3.90%, due 12/28/07 | 6,001 | |||||||
13,885 | Carmel Redev. Au. Lease Rental Rev. (Floaters), Ser. 2006-1275, (LOC: Morgan Stanley), 3.91%, due 10/4/07 | A-1+ | 13,885 | µ | |||||
2,065 | Carmel Redev. Au. Lease Rental Rev. (Putters), Ser. 2006-1503, (LOC: JP Morgan Chase), 3.92%, due 10/4/07 | A-1+ | 2,065 | µ | |||||
6,860 | Columbus Renovation Sch. Bldg. Corp. (Floaters), Ser. 2005, (MBIA Insured), 3.99%, due 10/4/07 | A-1+ | 6,860 | µr | |||||
11,530 | Eclipse Funding Trust (Solar Eclipse-Hamilton Southeastern Indiana), Ser. 2007-0006, (FSA Insured), 3.91%, due 10/4/07 | A-1+ | 11,530 | µh | |||||
7,000 | Eclipse Funding Trust (Solar Eclipse-IPS Multi-Sch. Bldg. Corp. Ltd.), Ser. 2007-0026, (MBIA Insured), 3.91%, due 10/4/07 | A-1+ | 7,000 | µu | |||||
3,990 | Eclipse Funding Trust (Solar Eclipse-Wayne Township Marion), Ser. 2006-0015, (FGIC Insured), 3.92%, due 10/4/07 | A-1+ | 3,990 | ñµu | |||||
3,300 | Hamilton Southeastern Sch. Warrants, Ser. 2007, 3.80%, due 12/31/07 | 3,301 | |||||||
2,500 | Indiana Bond Bank Rev. (Adv. Fdg. Prog. Notes), Ser. 2007 A, (LOC: Bank of New York), 4.25%, due 1/31/08 | SP-1+ | 2,505 | ||||||
10,300 | Indiana Hlth. & Ed. Fac. Fin. Au. Hosp. Rev. (Floyd Mem. Hosp. & Hlth. Proj.), Ser. 2006, (LOC: National City Bank), 4.10%, due 10/1/07 | A-1 | 10,300 | µß | |||||
5,320 | Indiana Hlth. & Ed. Fac. Fin. Au. Hosp. Rev. (Schneck Mem. Hosp. Proj.), Ser. 2006 B, (LOC: Fifth Third Bank), 4.05%, due 10/1/07 | A-1+ | 5,320 | µß |
See Notes to Schedule of Investments
88
PRINCIPAL AMOUNT SECURITY@@ | RATING‡‡ | VALUE†† | |||||||
(000's omitted) | Moody's | S&P | (000's omitted) | ||||||
$2,935 | Indiana Trans. Fin. Au. Hwy. Rev., Ser. 2003, (FSA Insured), 3.92%, due 10/4/07 | A-1+ | $2,935 | µi | |||||
5,000 | Indianapolis Loc. Pub. Improvement Bond Bank Ltd. Recourse Notes, Ser. 2007 E, 4.25%, due 10/2/08 | SP-1+ | 5,026 | ||||||
4,420 | Lafayette Sewage Works Rev. (Merlots), Ser. 2006 D08, (FGIC Insured), 3.92%, due 10/3/07 | A-1+ | 4,420 | µv | |||||
2,000 | Logansport Comm. Sch. Corp. TANS, Ser. 2007, 4.00%, due 12/31/07 | 2,001 | |||||||
2,085 | Puttable Floating Option Tax Exempt Receipts, Ser. 2007-212, (XLCA Insured), 3.99%, due 10/4/07 | 2,085 | µr | ||||||
5,735 | Univ. Southern Indiana Rev., Ser. 2004, (AMBAC Insured), 3.92%, due 10/4/07 | VMIG1 | 5,735 | µi | |||||
4,745 | Wayne Township Marion Co. Sch. Bldg. Corp. (Merlots), Ser. 2006-D02, (FGIC Insured), 3.92%, due 10/3/07 | A-1+ | 4,745 | µv | |||||
120,342 | |||||||||
Iowa (1.6%) | |||||||||
6,840 | Ankeny G.O. BANS, Ser. 2006 A, 4.10%, due 6/1/08 | MIG1 | 6,841 | ||||||
4,255 | Austin Trust Various Sts. (Iowa Din Au.), Ser. 2007-1011, (LOC: Bank of America), 3.94%, due 10/4/07 | A-1+ | 4,255 | µ | |||||
2,300 | Iowa Fin. Au. Private College Rev. (Morningside College Proj.), Ser. 2007, (LOC: U.S. Bank), 4.10%, due 10/1/07 | A-1+ | 2,300 | µ | |||||
3,500 | Iowa Fin. Au. Private College Rev. (Morningside College Proj.), Ser. 2006, (LOC: U.S. Bank), 4.10%, due 10/1/07 | A-1+ | 3,500 | µß | |||||
430 | Iowa Fin. Au. Rev. (Private Sch. Fac. Rev. Kuemper Proj.), Ser. 1998, (LOC: Allied Irish Bank), 4.10%, due 10/1/07 | 430 | µß | ||||||
1,340 | Iowa Higher Ed. Loan Au. Rev. (Private College Des Moines Proj.), Ser. 2004, (LOC: Allied Irish Bank), 4.10%, due 10/1/07 | VMIG1 | A-1+ | 1,340 | µß | ||||
185 | Iowa Higher Ed. Loan Au. Rev. (Private College Des Moines), Ser. 2003, (LOC: Allied Irish Bank), 4.10%, due 10/1/07 | VMIG1 | 185 | µß | |||||
5,295 | Iowa Higher Ed. Loan Au. Rev. (Private College Wartburg Proj.), Ser. 2000, (LOC: American Trust & Savings), 4.10%, due 10/1/07 | VMIG1 | 5,295 | µß | |||||
3,535 | Iowa Higher Ed. Loan Au. Rev. (Univ. of Dubuque), Ser. 2007 C, 4.50%, due 5/20/08 | SP-1 | 3,551 | ß | |||||
1,860 | Iowa Higher Ed. Loan Au. Rev. RANS, Ser. 2007 B, 4.91%, due 5/20/08 | SP-1 | 1,873 | ß | |||||
4,125 | Mason City IDR (SUPERVALU, Inc. Proj.), Ser. 1994, (LOC: Wachovia Bank & Trust Co.), 3.95%, due 10/3/07 | 4,125 | µß | ||||||
33,695 | |||||||||
Kansas (0.6%) | |||||||||
6,145 | Junction City G.O. Temporary Notes, Ser. 2007 C, 5.00%, due 6/1/08 | 6,184 | Ø | ||||||
3,865 | Shawnee Co. Temporary Notes, Ser. 2007-2, 3.70%, due 10/1/08 | MIG1 | 3,867 |
See Notes to Schedule of Investments
89
PRINCIPAL AMOUNT SECURITY@@ | RATING‡‡ | VALUE†† | |||||||
(000's omitted) | Moody's | S&P | (000's omitted) | ||||||
$3,500 | Univ. of Kansas Hosp. Au. Rev. (KU Hlth. Sys.), Ser. 2004, (LOC: Harris Trust & Savings Bank), 4.05%, due 10/1/07 | A-1 | $3,500 | µß | |||||
13,551 | |||||||||
Kentucky (3.1%) | |||||||||
39,000 | Kentucky Inc. Pub. Energy Au. Gas Supply Rev., Ser. 2006 A, (LOC: Societe Generale), 4.11%, due 10/1/07 | VMIG1 | A-1+ | 39,000 | µß | ||||
13,800 | Kentucky Rural Wtr. Fin. Corp. Pub. Proj. Rev. (Construction Notes), Ser. 2007 A-1, 3.65%, due 4/1/09 Putable 4/1/08 | MIG1 | 13,800 | µØ | |||||
9,990 | Muni. Sec. Trust Cert. G.O., Ser. 2002-9027, (FSA Insured), 3.92%, due 10/4/07 | A-1 | 9,990 | ñµb | |||||
3,530 | Simpson Co. Hosp. Rev. (Med. Ctr. Franklin, Inc.), Ser. 2006, (LOC: Branch Banking & Trust Co.), 3.88%, due 10/4/07 | 3,530 | µß | ||||||
66,320 | |||||||||
Louisiana (0.2%) | |||||||||
5,365 | Jefferson Sales Tax Dist. Spec. Sales Tax Rev., Ser. 2005, (AMBAC Insured), 3.99%, due 10/4/07 | 5,365 | µk | ||||||
Maryland (3.1%) | |||||||||
14,400 | ABN Amro Munitops Cert. Trust Rev., Ser. 2003-19, (FGIC Insured), 3.91%, due 10/4/07 | 14,400 | µa | ||||||
30,215 | JP Morgan Chase & Co. (Putters), Ser. 2007-1941P, (LOC: JP Morgan Chase), 3.97%, due 10/4/07 | 30,215 | µ | ||||||
14,000 | JP Morgan Chase & Co. (Putters), Ser. 2007-1684P, (LOC: JP Morgan Chase), 4.01%, due 10/4/07 | 14,000 | µ | ||||||
7,000 | Maryland St. Comm. Dev. Admin. Dept. Hsg. & Comm. Dev. (Residential), Ser. 2006 Q, 3.59%, due 12/14/07 | MIG1 | 7,000 | ||||||
1,300 | Washington Suburban Sanitation Dist. BANS, Ser. 2003 A, (LOC: Landesbank Hessen-Thveringen Girozentrale), 3.81%, due 10/3/07 | VMIG1 | 1,300 | µ | |||||
66,915 | |||||||||
Massachusetts (3.7%) | |||||||||
10,495 | Deutsche Bank Spears/Lifers Trust Var. St., Ser. 2007-129, (LOC: Deutsche Bank), 4.10%, due 10/4/07 | 10,495 | µ | ||||||
14,315 | Massachusetts Bay Trans. Au. Sales Tax Rev. (Floaters), Ser. 2006-3526, (LOC: Dexia Credit Locale de France), 3.93%, due 10/4/07 | A-1+ | 14,315 | µ | |||||
17,830 | Massachusetts St. (Central Artery), Ser. 2000 A, (LOC: Landesbank Hessen-Thveringen Girozentrale), 4.05%, due 10/1/07 | VMIG1 | A-1+ | 17,830 | µ | ||||
6,125 | Massachusetts St. Dev. Fin. Agcy. Rev. (Boston College High Sch.), Ser. 2006, (LOC: Citizens Bank), 3.88%, due 10/3/07 | VMIG1 | 6,125 | µß |
See Notes to Schedule of Investments
90
PRINCIPAL AMOUNT SECURITY@@ | RATING‡‡ | VALUE†† | |||||||
(000's omitted) | Moody's | S&P | (000's omitted) | ||||||
$6,400 | Massachusetts St. Dev. Fin. Agcy. Rev. (Suffolk Univ.), Ser. 2005 A, (LOC: Citizens Bank), 3.90%, due 10/3/07 | VMIG1 | $6,400 | µß | |||||
8,900 | Massachusetts St. G.O. (Central Artery), Ser. 2000 A, (LOC: Landesbank Hessen-Thveringen Girozentrale), 4.05%, due 10/1/07 | VMIG1 | A-1+ | 8,900 | µ | ||||
9,470 | Worcester G.O. BANS, Ser. 2006 A, 4.00%, due 11/8/07 | MIG1 | 9,472 | ||||||
6,300 | Worcester Reg. Trans. Au. RANS, Ser. 2007, 4.00%, due 6/27/08 | 6,302 | |||||||
79,839 | |||||||||
Michigan (2.1%) | |||||||||
10,320 | ABN Amro Munitops Cert. Trust Rev., Ser. 2004-44, (MBIA Insured), 3.92%, due 10/4/07 | 10,320 | µa | ||||||
11,695 | Detroit City Sch. Dist. G.O. (Floaters), Ser. 2006-3519, (FSA Insured), 3.92%, due 10/4/07 | 11,695 | µl | ||||||
3,955 | Detroit Sewage Disp. Rev. (Putters), Ser. 2006-1453, (FGIC Insured), 3.92%, due 10/4/07 | A-1+ | 3,955 | µo | |||||
2,400 | Eastern Michigan Univ. Rev., Ser. 2001, (FGIC Insured), 4.05%, due 10/1/07 | A-1+ | 2,400 | µl | |||||
3,775 | Grand Rapids Hsg. Corp. Rev. (Floaters), Ser. 2005-3152, (FHA Insured), 3.99%, due 10/4/07 | A-1+ | 3,775 | µ | |||||
1,840 | Hartland Cons. Sch. Dist. G.O. (Floaters), Ser. 2005-1204, (LOC: Morgan Stanley), 3.91%, due 10/4/07 | VMIG1 | 1,840 | µ | |||||
5,000 | Muni. Sec. Trust Cert. G.O., Ser. 2006-7012A, (FSA Insured), 3.92%, due 10/4/07 | VMIG1 | 5,000 | ñµe | |||||
3,730 | Northern Michigan Univ. Rev., Ser. 2001, (FGIC Insured), 4.05%, due 10/1/07 | VMIG1 | A-1 | 3,730 | µj | ||||
3,000 | Waterford Sch. Dist. G.O. (St. Aid Anticipation Notes), Ser. 2006, 3.85%, due 11/30/07 | 3,001 | |||||||
45,716 | |||||||||
Minnesota (1.3%) | |||||||||
6,532 | Arden Hills Hsg. & Hlth. Care Fac. Rev. (Presbyterian Homes), Ser. 1999 A, (LOC: U.S. Bank), 4.10%, due 10/1/07 | A-1+ | 6,532 | µß | |||||
11,905 | Deutsche Bank Spears/Lifers Trust Var. St. (Roseville), Ser. 2007-134, (LOC: Deutsche Bank), 4.02%, due 10/4/07 | 11,905 | µ | ||||||
1,000 | Mankato Multi-Family Rev. Hsg. (Highland), Ser. 1997, (LOC: LaSalle National Bank), 4.10%, due 10/1/07 | A-1+ | 1,000 | µ | |||||
7,485 | Minneapolis & St. Paul Metro. Apts. Commission Arpt. Rev. (Merlots), Ser. 2000 ZZ, (FGIC Insured), 3.92%, due 10/3/07 | VMIG1 | 7,485 | µv | |||||
935 | Roseville Private Sch. Fac. Rev. (Northwestern College Proj.), Ser. 2002, (LOC: Marshall & Ilsley), 4.10%, due 10/1/07 | VMIG1 | 935 | µß | |||||
27,857 |
See Notes to Schedule of Investments
91
PRINCIPAL AMOUNT SECURITY@@ | RATING‡‡ | VALUE†† | |||||||
(000's omitted) | Moody's | S&P | (000's omitted) | ||||||
Mississippi (0.1%) | |||||||||
$2,900 | Mississippi Bus. Fin. Corp. Rev. (Hattiesburg Clinic), Ser. 2006, (LOC: AmSouth Bank), 3.90%, due 10/4/07 | VMIG1 | $2,900 | µß | |||||
Missouri (3.4%) | |||||||||
9,435 | ABN Amro Munitops Cert. Trust Rev., Ser. 2004-35, (FGIC Insured), 3.93%, due 10/4/07 | VMIG1 | 9,435 | µa | |||||
4,440 | Deutsche Bank Spears/Lifers Trust Var. St., Ser. 2007-124, (LOC: Deutsche Bank), 4.02%, due 10/4/07 | A-1+ | 4,440 | µ | |||||
1,500 | Missouri St. Dev. Fin. Board Infrastructure Fac. Rev. (St. Louis Convention Ctr.), Ser. 2000 C, (LOC: U.S. Bank), 4.10%, due 10/1/07 | A-1+ | 1,500 | µ | |||||
11,650 | Missouri St. Hlth. & Ed. Fac. Au. Ed. Fac. Rev. (Christian Brothers), Ser. 2002 A, (LOC: Commerce Bank N.A.), 4.10%, due 10/1/07 | A-1 | 11,650 | µß | |||||
5,015 | Missouri St. Hlth. & Ed. Fac. Au. Ed. Fac. Rev. (Drury College), Ser. 1999, (LOC: Bank of America), 4.10%, due 10/1/07 | VMIG1 | 5,015 | µß | |||||
185 | Missouri St. Hlth. & Ed. Fac. Au. Ed. Fac. Rev. (Drury Univ.), Ser. 2003, (LOC: Bank of America), 4.10%, due 10/1/07 | VMIG1 | 185 | µß | |||||
5,500 | Missouri St. Hlth. & Ed. Fac. Au. Ed. Fac. Rev. (Kansas City Art Institute), Ser. 2005, (LOC: Commerce Bank N.A.), 4.10%, due 10/1/07 | A-1 | 5,500 | µß | |||||
6,745 | Missouri St. Hlth. & Ed. Fac. Au. Ed. Fac. Rev. (Rockhurst Univ.), Ser. 2002, (LOC: Bank of America), 4.05%, due 10/1/07 | A-1+ | 6,745 | µß | |||||
1,800 | Missouri St. Hlth. & Ed. Fac. Au. Ed. Fac. Rev. (St. Louis Univ.), Ser. 1999 B, (LOC: Bank of America), 4.08%, due 10/1/07 | VMIG1 | A-1+ | 1,800 | µß | ||||
3,565 | Missouri St. Hlth. & Ed. Fac. Au. Ed. Fac. Rev. (St. Louis Univ.), Ser. 2002, (LOC: U.S. Bank), 4.08%, due 10/1/07 | VMIG1 | 3,565 | µß | |||||
1,230 | Missouri St. Hlth. & Ed. Fac. Au. Hlth. Fac. Rev. (St. Francis Med. Ctr.), Ser. 1996 A, (LOC: Bank of America), 4.05%, due 10/1/07 | A-1+ | 1,230 | µß | |||||
2,075 | Missouri St. Pub. Utils. Comm. Rev. Construction Notes, Ser. 2007, 4.75%, due 9/1/08 | MIG1 | 2,093 | ||||||
4,130 | Muni. Sec. Trust Cert. G.O., Ser. 2007-336A, (AMBAC Insured), 3.92%, due 10/4/07 | VMIG1 | 4,130 | ñµe | |||||
11,125 | O Fallon Cert. Participation (Floaters), Ser. 2002-1396, (MBIA Insured), 3.95%, due 10/4/07 | VMIG1 | 11,125 | µr | |||||
3,950 | St. Louis Ind. Dev. Au. Ind. Rev. (Schnuck Markets, Inc.), Ser. 1985, (LOC: U.S. Bank), 3.95%, due 10/4/07 | P-1 | 3,950 | µ | |||||
72,363 | |||||||||
Montana (0.2%) | |||||||||
2,745 | Montana St. Board of Investments Rev. (Muni. Fin. Cons. Act-Intercap), Ser. 1994, 3.85%, due 3/1/09 Putable 3/1/08 | VMIG1 | 2,745 | µ |
See Notes to Schedule of Investments
92
PRINCIPAL AMOUNT SECURITY@@ | RATING‡‡ | VALUE†† | |||||||
(000's omitted) | Moody's | S&P | (000's omitted) | ||||||
$2,000 | Montana St. Board of Investments Rev. (Muni. Fin. Cons. Act-Intercap), Ser. 2000, 3.85%, due 3/1/25 Putable 3/1/08 | VMIG1 | $2,000 | µ | |||||
4,745 | |||||||||
Nebraska (0.5%) | |||||||||
9,245 | Central Plains Energy Proj. Rev. (Gas Proj.) (Floaters), Ser. 2007-3916, (LOC: Merrill Lynch Capital Markets), 4.01%, due 10/4/07 | 9,245 | µ | ||||||
2,680 | Lancaster Co. Hosp. Au. Number 1 Hosp. Rev. (Bryan Med. Ctr. Proj.), Ser. 2002, (AMBAC Insured), 4.05%, due 10/1/07 | VMIG1 | 2,680 | µßu | |||||
11,925 | |||||||||
Nevada (1.4%) | |||||||||
1,900 | ABN Amro Munitops Cert. Trust Rev., Ser. 2006, (MBIA Insured), 3.93%, due 10/4/07 | VMIG1 | 1,900 | ñµa | |||||
1,065 | Clark Co. Sch. Dist. (Merlots), Ser. 2006-D12, (AMBAC Insured), 3.92%, due 10/3/07 | A-1+ | 1,065 | µv | |||||
10,000 | Henderson Hlth. Care Fac. Rev., Ser. 2007, (LOC: Citibank, N.A.), 3.92%, due 10/4/07 | VMIG1 | 10,000 | µ | |||||
8,970 | JP Morgan Chase & Co. (Putters), Ser. 2006-1633P, (LOC: JP Morgan Chase), 4.01%, due 10/4/07 | 8,970 | µ | ||||||
3,300 | Nevada St. G.O. (Floaters), Ser. 2000-344, (FGIC Insured), 3.91%, due 10/4/07 | VMIG1 | 3,300 | µs | |||||
4,265 | Nevada Sys. Higher Ed. Univ. Rev. (Floaters), Ser. 2005-1240, (AMBAC Insured), 3.91%, due 10/4/07 | A-1+ | 4,265 | µs | |||||
29,500 | |||||||||
New Hampshire (0.9%) | |||||||||
3,200 | Cheshire Co. G.O. TANS, Ser. 2007, 3.75%, due 12/27/07 | 3,200 | ØØ | ||||||
7,000 | Merrimack Co. G.O. TANS, Ser. 2007, 4.05%, due 12/28/07 | 7,001 | |||||||
4,000 | Merrimack Co. G.O. TANS, Ser. 2007, 4.25%, due 12/28/07 | 4,004 | |||||||
800 | New Hampshire Hlth. & Ed. Fac. Au. Rev. (Seacoast Hospice), Ser. 2006, (LOC: Citizens Bank), 3.93%, due 10/4/07 | 800 | µ | ||||||
5,400 | Strafford Co. G.O. TANS, Ser. 2007, 3.75%, due 12/31/07 | 5,401 | |||||||
20,406 | |||||||||
New Jersey (1.6%) | |||||||||
4,900 | Allamuchy Township Board Ed. G.O. Temporary Notes, Ser. 2007, 4.00%, due 3/14/08 | 4,907 | |||||||
3,289 | Highlands G.O. BANS, Ser. 2007, 4.00%, due 1/30/08 | 3,292 | |||||||
14,200 | Hoboken G.O. BANS, Ser. 2007, 3.90%, due 9/12/08 | 14,213 | |||||||
4,840 | New Jersey Econ. Dev. Au. Econ. Dev. Rev. (Comm. Options Inc. Proj.), Ser. 2007, (LOC: Wachovia Bank & Trust Co.), 3.91%, due 10/4/07 | 4,840 | µß |
See Notes to Schedule of Investments
93
PRINCIPAL AMOUNT SECURITY@@ | RATING‡‡ | VALUE†† | |||||||
(000's omitted) | Moody's | S&P | (000's omitted) | ||||||
$6,800 | Perth Amboy G.O. BANS, Ser. 2006, 4.35%, due 10/19/07 | MIG1 | $6,802 | ||||||
34,054 | |||||||||
New York (1.0%) | |||||||||
7,200 | Muni. Sec. Trust Cert. G.O., Ser. 2001, (LOC: Bear Stearns), 4.05%, due 10/1/07 | VMIG1 | 7,200 | ñµ | |||||
4,970 | New York City Transitional Fin. Au. Rev., Ser. 2002-2A, (LOC: Dexia Credit Locale de France), 3.98%, due 10/1/07 | VMIG1 | A-1+ | 4,970 | µ | ||||
4,515 | New York G.O., Ser. 2004 H1, (LOC: Bank of New York), 3.98%, due 10/1/07 | VMIG1 | A-1+ | 4,515 | µ | ||||
2,500 | New York St. Dorm. Au. Rev., Ser. 2006-1370, (FHA Insured), 3.91%, due 10/4/07 | A-1+ | 2,500 | µr | |||||
1,000 | New York St. Dorm. Au. Rev., Ser. 2005-6052, (AMBAC Insured), 3.91%, due 10/4/07 | VMIG1 | 1,000 | µh | |||||
495 | Sales Tax Asset Receivable Corp., Ser. 2006-552, (AMBAC Insured), 3.91%, due 10/4/07 | VMIG1 | 495 | µh | |||||
20,680 | |||||||||
North Carolina (1.7%) | |||||||||
27,095 | BB&T Muni. Trust Var. St. (Floaters), Ser. 2007-1002, (LOC: Branch Banking & Trust Co.), 4.02%, due 10/4/07 | VMIG1 | 27,095 | µ | |||||
1,990 | Cabarrus Co. Cert. Participation, Ser. 2003-4520, (AMBAC Insured), 3.92%, due 10/4/07 | A-1+ | 1,990 | µi | |||||
2,485 | Eclipse Funding Trust (Solar Eclipse-Union Co.), Ser. 2006-0155, (AMBAC Insured), 3.91%, due 10/4/07 | A-1+ | 2,485 | µu | |||||
3,600 | North Carolina Med. Care Comm. Hlth. Care Fac. Rev. (Sisters of Mercy Svcs. Corp.), Ser. 2007, (LOC: Branch Banking & Trust Co.), 3.88%, due 10/4/07 | VMIG1 | 3,600 | µß | |||||
1,270 | Puttable Floating Option Tax Exempt Receipts (Floaters), Ser. 2000, (LOC: Merrill Lynch Capital Markets), 4.04%, due 10/4/07 | A-1 | 1,270 | µ | |||||
36,440 | |||||||||
North Dakota (0.0%) | |||||||||
500 | North Dakota Rural Wtr. Fin. Corp. Rev. (Pub. Proj. Construction Notes), Ser. 2004-A1, 3.70%, due 10/1/07 | MIG1 | 500 | µ | |||||
Ohio (6.5%) | |||||||||
15,565 | BB&T Muni. Trust Var. St. (Floaters), Ser. 2007-1004, (LOC: Branch Banking & Trust Co.), 4.02%, due 10/4/07 | VMIG1 | 15,565 | µ | |||||
1,095 | Clermont Co. Econ. Dev. Rev. (John Q Hammons Proj.), Ser. 1989, (LOC: Fifth Third Bank), 4.05%, due 11/1/07 | 1,095 | µß |
See Notes to Schedule of Investments
94
PRINCIPAL AMOUNT SECURITY@@ | RATING‡‡ | VALUE†† | |||||||
(000's omitted) | Moody's | S&P | (000's omitted) | ||||||
$3,455 | Cleveland-Cuyahoga Co. Port Au. Ed. Fac. Rev. (Laurel Sch. Proj.), Ser. 2004, (LOC: Key Bank), 3.92%, due 10/4/07 | $3,455 | µß | ||||||
3,850 | Deerfield Township G.O. BANS, Ser. 2006, 3.61%, due 11/29/07 | MIG1 | 3,850 | ||||||
9,665 | Franklin Co. Hlth. Care Fac. Rev. (Presbyterian), Ser. 2006 C, (LOC: National City Bank), 3.90%, due 10/4/07 | A-1 | 9,665 | µß | |||||
8,000 | Franklin Co. Hlth. Care Fac. Rev. (Presbyterian), Ser. 2005 B, (LOC: National City Bank), 3.90%, due 10/4/07 | A-1 | 8,000 | µß | |||||
4,750 | Hamilton G.O. BANS, Ser. 2007, 4.00%, due 9/11/08 | 4,761 | |||||||
1,100 | Licking Co. Career & Technology Ed. Ctrs. G.O. BANS (Sch. Fac. Construction), Ser. 2007, 4.50%, due 9/10/08 | 1,107 | |||||||
3,500 | Lucas Co. G.O., Ser. 2007-1, 4.00%, due 9/18/08 | MIG1 | SP-1+ | 3,511 | |||||
4,660 | Marysville G.O. BANS, Ser. 2007, 4.13%, due 6/5/08 | MIG1 | 4,673 | ||||||
3,500 | Marysville Tax Increment Fin. Rev. (Coleman's Crossing Rd.), Ser. 2007, (LOC: Fifth Third Bank), 4.25%, due 9/11/08 | 3,516 | |||||||
6,650 | Muni. Sec. Trust Cert. G.O., Ser. 2001-133A, (FSA Insured), 3.90%, due 10/4/07 | A-1 | 6,650 | ñµe | |||||
2,830 | Ohio St. G.O., Ser. 2005-7508, (LOC: Citibank, N.A.), 3.92%, due 10/4/07 | VMIG1 | 2,830 | µ | |||||
3,200 | Ohio Univ. Gen. Receipts Athens BANS, Ser. 2007, 4.25%, due 1/16/08 | MIG1 | 3,206 | ||||||
1,220 | Olmsted Falls BANS, Ser. 2006, 3.90%, due 10/18/07 | 1,220 | |||||||
17,265 | Puttable Floating Option Tax Exempt Receipts, Ser. 2007-4216, (LOC: Merrill Lynch Capital Markets), 4.04%, due 10/1/07 | 17,265 | µ | ||||||
3,000 | Richland Co. G.O. BANS (Correctional Fac.), Ser. 2007, 4.50%, due 2/21/08 | 3,008 | |||||||
660 | Sidney City Sch. Dist. G.O. BANS (Energy Construction), Ser. 2006, 4.28%, due 11/29/07 | 661 | |||||||
1,200 | Sidney City Sch. Dist. G.O. BANS (Sch. Construction), Ser. 2006, 4.07%, due 11/29/07 | 1,201 | |||||||
4,850 | Stark Co. Port Au. Econ. Dev. Rev. (Vision FC LLC Proj.), Ser. 2007, (LOC: Fifth Third Bank), 3.90%, due 10/5/07 | 4,850 | µ | ||||||
6,000 | Toledo G.O. BANS (Capital Improvements), Ser. 2007-1, 3.85%, due 10/25/07 | 6,001 | |||||||
19,500 | Union Township Tax Increment Rev. BANS, Ser. 2007, 4.25%, due 9/17/08 | MIG1 | 19,618 | ||||||
3,000 | Univ. of Cincinnati Gen. Receipts Bonds BANS, Ser. 2007 C, 4.50%, due 1/24/08 | MIG1 | SP-1+ | 3,008 | |||||
1,500 | Univ. of Toledo Gen. Receipts Bonds, Ser. 2002, (FGIC Insured), 4.05%, due 10/1/07 | VMIG1 | A-1+ | 1,500 | µu | ||||
7,300 | Univ. of Toledo Gen. Receipts Bonds, Ser. 2001-SGA125, (FGIC Insured), 3.93%, due 10/3/07 | A-1+ | 7,300 | µt | |||||
2,330 | Wickliffe BANS (Capital Improvements), Ser. 2007, 4.25%, due 12/6/07 | 2,332 | |||||||
139,848 |
See Notes to Schedule of Investments
95
PRINCIPAL AMOUNT SECURITY@@ | RATING‡‡ | VALUE†† | |||||||
(000's omitted) | Moody's | S&P | (000's omitted) | ||||||
Oklahoma (1.3%) | |||||||||
$6,995 | Hulbert Econ. Dev. Au. Econ. Dev. Rev., Ser. 2007-301, (LOC: Bank of America), 3.93%, due 10/4/07 | VMIG1 | $6,995 | µ | |||||
22,000 | Tulsa Co. Ind. Au. Cap. Imp. Rev., Ser. 2003 A, (LOC: Bank of America), 3.70%, due 11/15/17 Putable 11/15/07 | A-1+ | 22,000 | µ | |||||
28,995 | |||||||||
Oregon (0.6%) | |||||||||
1,000 | Multnomah Co. Higher Ed. Rev. (Concordia Univ. Portland Proj.), Ser. 1999, (LOC: Key Bank), 4.10%, due 10/1/07 | VMIG1 | 1,000 | µß | |||||
6,315 | Oregon Sch. Boards Assoc. Short-Term Borrowing Prog. Cert. Participation, Ser. 2007 A, 3.80%, due 5/30/08 | 6,315 | |||||||
5,545 | Oregon St. Homeowner Rev. (Floaters), Ser. 2006-229, (LOC: Lloyd's Bank), 3.96%, due 10/4/07 | VMIG1 | 5,545 | µ | |||||
12,860 | |||||||||
Pennsylvania (3.2%) | |||||||||
6,025 | Beaver Co. Ind. Dev. Au. Poll. Ctrl. Rev. (FirstEnergy), Ser. 2006 C, (LOC: Barclays Bank PLC), 4.00%, due 10/1/07 | VMIG1 | A-1+ | 6,025 | µ | ||||
14,125 | Butler Co. Gen. Au. Rev. (Hampton Township Sch. Dist. Proj.), Ser. 2007, (FSA Insured), 3.87%, due 10/4/07 | 14,125 | µv | ||||||
12,270 | Deutsche Bank Spears/Lifers Trust Var. St., Ser. 2007-247, (AMBAC Insured), 3.91%, due 10/4/07 | A-1+ | 12,270 | µk | |||||
2,115 | Lawrence Co. Ind. Dev. Au. Rev. (Villa Maria Proj.), Ser. 2003, (LOC: Allied Irish Bank), 3.88%, due 10/4/07 | VMIG1 | 2,115 | µßØØ | |||||
7,700 | Muni. Sec. Trust Cert. G.O., Ser. 2007-7065, (AMBAC Insured), 3.92%, due 10/4/07 | VMIG1 | 7,700 | ñµe | |||||
21,530 | Pennsylvania Econ. Dev. Fin. Au. Rev. (Merlots), Ser. 2007-F01, (LOC: Wachovia Bank & Trust Co.), 3.92%, due 10/3/07 | A-1+ | 21,530 | µ | |||||
5,000 | St. Pub. Sch. Bldg. Au. Sch. Rev., Ser. 2006-566, (FSA Insured), 3.92%, due 10/4/07 | VMIG1 | 5,000 | µh | |||||
68,765 | |||||||||
Puerto Rico (1.1%) | |||||||||
9,900 | Puerto Rico Sales Tax Fin. Corp. Sales Tax Rev. (Floaters), Ser. 2006-1984, (LOC: Morgan Stanley), 3.91%, due 10/4/07 | A-1+ | 9,900 | µ | |||||
13,500 | Puerto Rico Sales Tax Fin. Corp. Sales Tax Rev. (Floaters), Ser. 2007-2019, (LOC: Morgan Stanley), 3.91%, due 10/4/07 | A-1+ | 13,500 | µ | |||||
23,400 |
See Notes to Schedule of Investments
96
PRINCIPAL AMOUNT SECURITY@@ | RATING‡‡ | VALUE†† | |||||||
(000's omitted) | Moody's | S&P | (000's omitted) | ||||||
South Carolina (2.2%) | |||||||||
$3,700 | Charleston Ed. Excellence Fin. Corp. Rev., Ser. 2006-515, (LOC: Citibank, N.A.), 3.92%, due 10/4/07 | $3,700 | µ | ||||||
22,985 | Greenville Co. Sch. Dist. Installment Purchase Ref. Rev. (Floaters), Ser. 2004-982, (LOC: Morgan Stanley), 3.91%, due 10/4/07 | A-1+ | 22,985 | µØØ | |||||
4,505 | Jasper Co. Rev. BANS, Ser. 2007, 3.85%, due 7/1/08 | 4,505 | |||||||
1,300 | Macon Trust Var. St., Ser. 2007-303, (LOC: Bank of America), 3.93%, due 10/4/07 | VMIG1 | 1,300 | µ | |||||
5 | Muni. Sec. Trust Cert. G.O., Ser. 2007-293A, (FSA Insured), 3.92%, due 10/4/07 | VMIG1 | 5 | ñµe | |||||
1,900 | South Carolina Ed. Fac. Au. for Private Nonprofit Institutions Higher Learning Ed. (Furman University), Ser. 2006 B, (LOC: Wachovia Bank & Trust Co.), 4.00%, due 10/1/07 | VMIG1 | 1,900 | µß | |||||
4,685 | Three Rivers Solid Waste Au. Solid Waste Disp. Fac. Rev. BANS, Ser. 2007, 3.75%, due 6/1/08 | SP-1+ | 4,685 | ||||||
9,365 | Western Carolina Reg. Sewer Au. Sewer Sys. Rev., Ser. 2007-11123, (FSA Insured), 3.92%, due 10/4/07 | A-1+ | 9,365 | µh | |||||
48,445 | |||||||||
South Dakota (0.2%) | |||||||||
3,600 | Watertown IDR (SUPERVALU, Inc. Proj.), Ser. 1994, (LOC: Wachovia Bank & Trust Co.), 3.95%, due 10/3/07 | 3,600 | µß | ||||||
Tennessee (2.3%) | |||||||||
1,400 | Memphis-Shelby Co. IDB Rev. (Medical Group, Inc.), Ser. 1999, (LOC: SunTrust Bank), 3.87%, due 10/4/07 | P-1 | 1,400 | µß | |||||
7,450 | Metro. Gov't. Nashville & Davidson Co. IDB Multi-Family Hsg. Rev. (Spinnaker), Ser. 2002, (LOC: Fannie Mae), 3.81%, due 7/15/32 | A-1+ | 7,450 | µß | |||||
8,160 | Sevier Co. Pub. Bldg. Au. (Local Govt. Pub. Imp.), Ser. 2007, (AMBAC Insured), 4.10%, due 10/1/07 | VMIG1 | 8,160 | µj | |||||
3,250 | Sevier Co. Pub. Bldg. Au. (Pub. Construction Notes Proj.), Ser. 2007-A6, 3.80%, due 4/1/10 Putable 4/1/08 | MIG1 | 3,250 | µ | |||||
2,700 | Sevier Co. Pub. Bldg. Au. Rev. (Pub. Construction Notes Proj.), Ser. 2006-A4, 3.65%, due 10/1/08 Putable 4/1/08 | MIG1 | 2,700 | µ | |||||
2,000 | Sevier Co. Pub. Bldg. Au. Rev. (Pub. Construction Notes Proj.), Ser. 2007-A5, 3.65%, due 4/1/10 Putable 4/1/08 | MIG1 | 2,000 | µ | |||||
9,480 | Tennessee Energy Acquisition Corp. Gas Rev., (Floaters), Ser. 2006-3646, (LOC: Merrill Lynch Capital Markets), 4.01%, due 10/4/07 | 9,480 | µ | ||||||
14,785 | Tennessee Energy Acquisition Corp. Gas Rev. (Floaters), Ser. 2007-2020, (LOC: Morgan Stanley), 3.96%, due 10/4/07 | VMIG1 | 14,785 | µ | |||||
49,225 |
��
See Notes to Schedule of Investments
97
PRINCIPAL AMOUNT SECURITY@@ | RATING‡‡ | VALUE†† | |||||||
(000's omitted) | Moody's | S&P | (000's omitted) | ||||||
Texas (16.5%) | |||||||||
$11,675 | ABN Amro Munitops Cert. Trust Rev., Ser. 2006-30, (PSF Insured), 3.93%, due 10/4/07 | VMIG1 | $11,675 | µa | |||||
6,105 | Aledo Independent Sch. Dist. (Floaters), Ser. 2005-2769, (PSF Insured), 3.99%, due 10/4/07 | 6,105 | µr | ||||||
6,345 | Austin Convention Enterprises, Inc. Convention Ctr. (Putters), Ser. 2006-1614, (XLCA Insured), 3.92%, due 10/4/07 | A-1+ | 6,345 | µo | |||||
7,945 | Austin Hsg. Fin. Corp. Multi-Family Hsg. Rev. (Merlots), Ser. 2007-G02, (LOC: Bank of New York), 3.92%, due 10/3/07 | A-1+ | 7,945 | µ | |||||
4,600 | Austin Wtr. & Wastewater Sys. Rev. (Merlots), Ser. 2006-D10, (FSA Insured), 3.92%, due 10/3/07 | A-1+ | 4,600 | µv | |||||
10,565 | BB&T Muni. Trust Var. St. (Floaters), Ser. 2007-2010, (LOC: Branch Banking & Trust Co.), 3.90%, due 10/4/07 | VMIG1 | 10,565 | µ | |||||
3,005 | BB&T Muni. Trust Var. St. (Floaters), Ser. 2007-2036, (LOC: Branch Banking & Trust Co.), 3.92%, due 10/4/07 | VMIG1 | 3,005 | µ | |||||
5,360 | Beaumont G.O., Ser. 2006-2223, (CIFG Insured), 3.92%, due 10/4/07 | VMIG1 | 5,360 | µi | |||||
17,030 | Deutsche Bank Spears/Lifers Trust Var. St., Ser. 2007-329, (AMBAC Insured), 3.96%, due 10/1/07 | 17,030 | µk | ||||||
35,500 | Deutsche Bank Spears/Lifers Trust Var. St., Ser. 2007-292, (LOC: Deutsche Bank), 3.96%, due 10/4/07 | A-1+ | 35,500 | µ | |||||
6,795 | Dickinson Independent Sch. Dist. (Putters), Ser. 2007-1518B, (PSF Insured), 3.92%, due 10/4/07 | VMIG1 | 6,795 | µo | |||||
2,970 | Dickinson Independent Sch. Dist. (Putters), Ser. 2007-1517B, (PSF Insured), 3.92%, due 10/4/07 | VMIG1 | 2,970 | µo | |||||
4,700 | Eclipse Funding Trust (Solar Eclipse-Houston Independent Sch.), Ser. 2006-0019, (FSA Insured), 3.92%, due 10/4/07 | VMIG1 | 4,700 | ñµu | |||||
4,345 | Frenship Independent Sch. Dist. (Floaters), Ser. 2005, (PSF Insured), 3.99%, due 10/4/07 | 4,345 | µk | ||||||
6,480 | Harris Co. Hlth. Fac. Dev. Corp. Rev. (Putters), Ser. 2005-1018, (LOC: JP Morgan Chase), 3.92%, due 10/4/07 | VMIG1 | A-1+ | 6,480 | µ | ||||
1,370 | Hidalgo Co. G.O. (Merlots), Ser. 2007-C03, (FSA Insured), 3.92%, due 10/3/07 | A-1+ | 1,370 | µd | |||||
7,780 | Keller Ind. Sch. Dist. G.O. (ABN Amro Munitops Cert. Trust), Ser. 2006-30, (PSF Insured), 3.93%, due 10/4/07 | VMIG1 | 7,780 | ñµa | |||||
2,700 | Lufkin Hlth. Fac. Dev. Corp. Hlth. Sys. Ref. Rev. (Mem. Hlth. Sys. East Texas), Ser. 2005, (LOC: Wachovia Bank & Trust Co.), 4.09%, due 10/1/07 | A-1+ | 2,700 | µß | |||||
5,270 | Lufkin Hlth. Fac. Dev. Corp. Hlth. Sys. Ref. Rev. (Mem. Hlth. Sys. East Texas), Ser. 1998, 5.70%, due 10/1/07 Pre-Refunded 2/15/28 | 5,451 | ß |
See Notes to Schedule of Investments
98
PRINCIPAL AMOUNT SECURITY@@ | RATING‡‡ | VALUE†† | |||||||
(000's omitted) | Moody's | S&P | (000's omitted) | ||||||
$8,450 | Muni. Sec. Trust Cert. G.O., Ser. 2007-3082A, (MBIA Insured), 4.05%, due 10/1/07 | VMIG1 | $8,450 | ñµe | |||||
9,520 | Muni. Sec. Trust Cert. G.O., Ser. 2007-315A, (FSA Insured), 3.92%, due 10/4/07 | VMIG1 | 9,520 | ñµe | |||||
3,775 | Muni. Sec. Trust Cert. G.O., Ser. 2006-279A, (PSF Insured), 3.92%, due 10/4/07 | VMIG1 | 3,775 | ñµe | |||||
14,860 | Muni. Sec. Trust Cert. G.O., Ser. 2007-338A, (PSF Insured), 3.92%, due 10/4/07 | VMIG1 | 14,860 | ñµe | |||||
8,990 | Muni. Sec. Trust Cert. G.O., Ser. 2000-9005A, (FSA Insured), 3.92%, due 10/4/07 | A-1 | 8,990 | ñµe | |||||
7,995 | Muni. Sec. Trust Cert. G.O., Ser. 2007-312A, (LOC: Bear Stearns), 3.92%, due 10/4/07 | VMIG1 | 7,995 | ñµe | |||||
29,740 | Munitops II Trust, Ser. 2007-63, (PSF Insured), 3.93%, due 10/4/07 | 29,740 | µa | ||||||
22,695 | Munitops II Trust, Ser. 2007-67, (PSF Insured), 3.93%, due 10/4/07 | 22,695 | ñµa | ||||||
5,750 | Puttable Floating Option Tax Exempt Receipts, Ser. 2007, (MBIA Insured), 3.99%, due 10/1/07 | 5,750 | µr | ||||||
10,610 | Puttable Floating Option Tax Exempt Receipts (Lampasasa), Ser. 2007-4309, (PSF Insured), 3.95%, due 10/4/07 | 10,610 | µr | ||||||
9,230 | Puttable Floating Option Tax Exempt Receipts (Leander Sch. Dist.), Ser. 2007-256, (PSF Insured), 3.96%, due 10/4/07 | 9,230 | µr | ||||||
5,105 | San Antonio Wtr. Rev., Ser. 2006-7028, (MBIA Insured), 3.92%, due 10/4/07 | VMIG1 | 5,105 | µi | |||||
10,000 | Texas Muni. Gas Acquisition & Supply Corp. I Gas Supply Rev., Ser. 2007-1453, (LOC: Merrill Lynch Capital Markets), 4.01%, due 10/4/07 | A-1+ | 10,000 | µ | |||||
1,680 | Texas Muni. Gas Acquisition & Supply Corp. I Gas Supply Rev. (Floaters), Ser. 2006-1578, (LOC: Morgan Stanley), 3.96%, due 10/4/07 | A-1+ | 1,680 | µ | |||||
20,525 | Texas Muni. Gas Acquisition & Supply Corp. II Gas Supply Rev., Ser. 2007-10014, (LOC: Dexia Credit Locale de France), 3.99%, due 10/4/07 | A-1+ | 20,525 | µ | |||||
24,745 | Texas St. Turnpike Au. Central Turnpike Sys. Rev., Ser. 2007-10041, (AMBAC Insured), 3.92%, due 10/4/07 | A-1+ | 24,745 | µi | |||||
7,241 | Texas St. Turnpike Au. Central Turnpike Sys. Rev. (Floaters), Ser. 2006-1408, (AMBAC Insured), 3.91%, due 10/4/07 | A-1+ | 7,241 | µs | |||||
3,520 | Univ. of Texas Univ. Rev., Ser. 2007-1080, (LOC: Citigroup Global Markets), 3.92%, due 10/4/07 | VMIG1 | 3,520 | µ | |||||
355,152 | |||||||||
Utah (0.8%) | |||||||||
4,800 | Central Wtr. Conservancy Dist. G.O., Ser. 1998 E, (AMBAC Insured), 3.87%, due 10/3/07 | VMIG1 | A-1+ | 4,800 | µp |
See Notes to Schedule of Investments
99
PRINCIPAL AMOUNT SECURITY@@ | RATING‡‡ | VALUE†† | |||||||
(000's omitted) | Moody's | S&P | (000's omitted) | ||||||
$2,950 | Lehi Elec. Util. Rev., Ser. 2005, (FSA Insured), 3.93%, due 10/3/07 | $2,950 | µl | ||||||
8,500 | Utah Trans. Au. Sales Tax Rev. (Floaters), Ser. 2007-63Z, (MBIA Insured), 3.91%, due 10/4/07 | 8,500 | µm | ||||||
16,250 | |||||||||
Vermont (0.3%) | |||||||||
3,400 | Vermont Ed. & Hlth. Bldg. Fin. Agcy. Rev. (Middlebury College Proj.), Ser. 2002 B, 3.58%, due 11/1/32 Putable 11/1/07 | 3,400 | µ | ||||||
2,655 | Vermont Ed. & Hlth. Bldg. Fin. Agcy. Rev. (Mount Ascutney Hosp. Proj.), Ser. 2004 A, (LOC: TD Banknorth N.A.), 4.00%, due 10/1/07 | VMIG1 | 2,655 | µß | |||||
194 | Vermont Ed. & Hlth. Bldg. Fin. Agcy. Rev. (Northeastern Hosp.), Ser. 2004 A, (LOC: TD Banknorth N.A.), 4.00%, due 10/1/07 | VMIG1 | 194 | µß | |||||
6,249 | |||||||||
Virginia (1.4%) | |||||||||
7,500 | ABN Amro Munitops. Cert. Trust Rev., Ser. 2005-48, (LOC: ABN Amro Bank N.V.), 3.93%, due 10/4/07 | VMIG1 | 7,500 | ñµ | |||||
7,150 | BB&T Muni. Trust Var. St. (Floaters), Ser. 2007-1006, (LOC: Branch Banking & Trust Co.), 4.02%, due 10/4/07 | VMIG1 | 7,150 | µ | |||||
3,000 | BB&T Muni. Trust Var. St. Commonwealth Trans. Board (Floaters), Ser. 2007-2050, (LOC: Branch Banking & Trust Co.), 3.94%, due 10/4/07 | VMIG1 | 3,000 | µ | |||||
13,150 | Virginia College Bldg. Au. Ed. Fac. Rev. (Richmond Proj.), Ser. 2006, (LOC: SunTrust Bank), 4.08%, due 10/1/07 | VMIG1 | 13,150 | µß | |||||
30,800 | |||||||||
Washington (2.8%) | |||||||||
6,865 | Deutsche Bank Spears/Lifers Trust Var. St. (Everett Hsg.), Ser. 2007-131, (LOC: Deutsche Bank), 4.02%, due 10/4/07 | 6,865 | µ | ||||||
3,700 | Everett Pub. Fac. Dist. Proj. Rev., Ser. 2007, (LOC: Dexia Credit Locale de France), 4.10%, due 10/1/07 | A-1+ | 3,700 | µ | |||||
4,622 | King Co. Swr. Rev. (Floaters), Ser. 2005-1091, (FSA Insured), 3.91%, due 10/4/07 | 4,622 | µs | ||||||
5,335 | Muni. Sec. Trust Cert. G.O., Ser. 2007-301A, (AMBAC Insured), 3.92%, due 10/4/07 | VMIG1 | 5,335 | ñµe | |||||
3,175 | Pierce Co. Sch. Dist. Number 010 Tacoma G.O. (Floaters), Ser. 2005-3316, (FSA Insured), 3.99%, due 10/4/07 | VMIG1 | 3,175 | µr | |||||
2,607 | Port of Seattle Rev. (Floaters), Ser. 2002-739D, (FGIC Insured), 3.91%, due 10/4/07 | A-1+ | 2,607 | µs | |||||
7,240 | Port of Seattle Rev. (Floaters), Ser. 2006-3499, (XLCA Insured), 3.95%, due 10/4/07 | 7,240 | µr |
See Notes to Schedule of Investments
100
PRINCIPAL AMOUNT SECURITY@@ | RATING‡‡ | VALUE†† | |||||||
(000's omitted) | Moody's | S&P | (000's omitted) | ||||||
$7,755 | Seattle Museum Dev. Au. Spec. Oblig. Rev. (Merlots), Ser. 2005-D03, (LOC: Wachovia Bank & Trust Co.), 3.92%, due 10/3/07 | A-1+ | $7,755 | µ | |||||
17,000 | Washington St. Hlth. Care Fac. Au. Rev. (Swedish Hlth. Svcs.), Ser. 2006, (LOC: Citibank, N.A.), 3.96%, due 10/3/07 | VMIG1 | A-1+ | 17,000 | µß | ||||
1,000 | Washington St. Hsg. Fin. Commission Non-Profit Rev. (St. Vincent de Paul Proj.), Ser. 2000 A, (LOC: Wells Fargo Bank & Trust Co.), 3.81%, due 10/4/07 | A-1+ | 1,000 | µß | |||||
1,600 | Washington St. Hsg. Fin. Commission Non-Profit Rev. (Tacoma Art Museum Proj.), Ser. 2002, (LOC: Northern Trust Co.), 4.10%, due 10/1/07 | VMIG1 | 1,600 | µß | |||||
60,899 | |||||||||
Wisconsin (3.8%) | |||||||||
3,000 | Antigo Unified Sch. Dist. TRANS, Ser. 2006, 3.85%, due 11/1/07 | 3,000 | |||||||
1,560 | Appleton Waterworks Rev., Ser. 2007-A, (MBIA Insured), 4.00%, due 1/1/08 | 1,562 | |||||||
19,320 | Eclipse Funding Trust Var. St. (Solar Eclipse-Wisconsin St.), Ser. 2007-0004, (FSA Insured), 3.91%, due 10/4/07 | A-1+ | 19,320 | µu | |||||
4,540 | Edgerton Sch. Dist. G.O. TRANS, Ser. 2006, 3.71%, due 10/24/07 | 4,540 | |||||||
6,500 | Muni. Sec. Trust Cert. G.O., Ser. 2007-335, (LOC: Bear Stearns), 3.92%, due 10/4/07 | VMIG1 | 6,500 | ñµ | |||||
4,250 | New Richmond Sch. Dist. BANS, Ser. 2007, 4.13%, due 6/6/08 | MIG1 | 4,256 | ||||||
2,000 | Nicolet High Sch. Dist. TRANS, Ser. 2006, 4.25%, due 10/30/07 | 2,001 | |||||||
3,000 | Wisconsin Sch. Dist. Cash Flow Management Prog. Cert. Participation, Ser. 2006 B, 4.25%, due 11/1/07 | MIG1 | 3,002 | ||||||
5,955 | Wisconsin St. Hlth & Ed. Fac. Au. Rev. (Beloit College Proj.), Ser. 2007, (XLCA Insured), 4.05%, due 10/1/07 | A-1+ | 5,955 | µßd | |||||
500 | Wisconsin St. Hlth. & Ed. Fac. Au. Rev. (Alverno College Proj.), Ser. 1997, (LOC: Allied Irish Bank), 4.10%, due 10/1/07 | VMIG1 | 500 | µß | |||||
4,125 | Wisconsin St. Hlth. & Ed. Fac. Au. Rev. (Blood Ctr.), Ser. 1994 A, (LOC: Marshall & Ilsley), 3.93%, due 10/3/07 | A-1 | 4,125 | µß | |||||
3,145 | Wisconsin St. Hlth. & Ed. Fac. Au. Rev. (Concordia Univ. of Wisconsin, Inc. Proj.), Ser. 2006, (LOC: Marshall & Ilsley), 3.94%, due 10/4/07 | 3,145 | µß | ||||||
3,175 | Wisconsin St. Hlth. & Ed. Fac. Au. Rev. (Edgewood College), Ser. 2006, (LOC: U.S. Bank), 4.10%, due 10/1/07 | A-1+ | 3,175 | µß | |||||
8,090 | Wisconsin St. Hlth. & Ed. Fac. Au. Rev. (Floaters), Ser. 2003-858, (MBIA Insured), 3.95%, due 10/4/07 | 8,090 | µp | ||||||
9,500 | Wisconsin St. Hlth. & Ed. Fac. Au. Rev. (Fort Healthcare Inc.), Ser. 2007 A, (LOC: JP Morgan Chase), 4.08%, due 10/1/07 | A-1+ | 9,500 | µß | |||||
1,400 | Wisconsin St. Hlth. & Ed. Fac. Au. Rev. (Lutheran College Proj.), Ser. 2003, (LOC: U.S. Bank), 4.10%, due 10/1/07 | A-1+ | 1,400 | µß |
See Notes to Schedule of Investments
101
PRINCIPAL AMOUNT SECURITY@@ | RATING‡‡ | VALUE†† | |||||||
(000's omitted) | Moody's | S&P | (000's omitted) | ||||||
$935 | Wisconsin St. Hlth. & Ed. Fac. Au. Rev. (Riverview Hosp. Assoc.), Ser. 2001, (LOC: U.S. Bank), 4.10%, due 10/1/07 | A-1+ | $935 | µß | |||||
81,006 | |||||||||
Total Investments (98.0%) | 2,111,103 | ||||||||
Cash, receivables and other assets, less liabilities (2.0%) | 43,235 | ||||||||
Total Net Assets (100.0%) | $2,154,338 |
See Notes to Schedule of Investments
102
Schedule of Investments Municipal Master Series (Unaudited)
PRINCIPAL AMOUNT SECURITY@@ | RATING‡‡ | VALUE†† | |||||||
(000's omitted) | Moody's | S&P | (000's omitted) | ||||||
Municipal Notes (98.4%) | |||||||||
Alabama (0.2%) | |||||||||
$988 | Birmingham Pub. Park & Rec. Board Rev., Ser. 1997, (LOC: AmSouth Bank), 3.99%, due 10/4/07 | $988 | µß | ||||||
300 | Parrish IDB PCR (Alabama Pwr. Co. Proj.), Ser. 1994, 4.04%, due 10/1/07 | A-1 | 300 | µß | |||||
1,288 | |||||||||
Arizona (0.7%) | |||||||||
3,995 | RBC Muni. Prod., Inc. Trust Var. St. Rev. (Floater Cert.), Ser. 2007 C-6, (LOC: Royal Bank of Canada), 3.97%, due 10/4/07 | VMIG1 | 3,995 | µ | |||||
Arkansas (1.5%) | |||||||||
8,560 | Morgan Keegan Muni. Prod., Inc. Var. St. Trust Receipts, Ser. 2006 D, (LOC: IXIS Funding Corp.), 3.98%, due 10/4/07 | A-1+ | 8,560 | µq | |||||
California (5.0%) | |||||||||
300 | California St. Muni. Sec. Trust Receipts, Ser. 2001-135, (AMBAC Insured), 4.05%, due 10/1/07 | A-1+ | 300 | µt | |||||
1,335 | California Statewide Comm. Dev. Corp. Rev. (RL Group LLC), Ser. 1998 C, (LOC: Mellon 1st Business Bank), 3.95%, due 10/3/07 | 1,335 | µß | ||||||
5,000 | Contra Costa Co. Multi-Family Hsg. Rev. (Pleasant Hill BART Transit), Ser. 2006 A, 3.95%, due 4/15/46 | 5,002 | ß | ||||||
22,010 | Deutsche Bank Spears/Lifers Trust Var. St. Rev., Ser. 2007-116, (LOC: Deutsche Bank), 4.02%, due 10/4/07 | 22,010 | µ | ||||||
28,647 | |||||||||
Colorado (0.8%) | |||||||||
1,000 | Central Platte Valley Metro. Dist., Ser. 2006, (LOC: BNP Paribas), 3.70%, due 12/1/07 | A-1+ | 1,000 | µ | |||||
1,995 | El Paso Co. Single Family Mtge. Rev. (Merlots), Ser. 2007 C44, (LOC: Government National Mortgage Association), 3.97%, due 10/3/07 | VMIG1 | 1,995 | µd | |||||
1,811 | Rev. Bond Cert. Ser. Trust Var. St., (Sterling Park), Ser. 2006-6, (AIG Insured), 4.06%, due 10/4/07 | 1,811 | µ | ||||||
4,806 | |||||||||
Delaware (0.1%) | |||||||||
300 | Univ. of Delaware Rev., Ser. 2004 B, (LOC: Bank of America), 4.00%, due 10/1/07 | A-1+ | 300 | µ |
See Notes to Schedule of Investments
103
PRINCIPAL AMOUNT SECURITY@@ | RATING‡‡ | VALUE†† | |||||||
(000's omitted) | Moody's | S&P | (000's omitted) | ||||||
Florida (4.6%) | |||||||||
$2,400 | Deutsche Bank Spears/Lifers Trust Var. St. Rev., Ser. 2007-351, (AMBAC Insured), 3.92%, due 10/3/07 | A-1+ | $2,400 | µk | |||||
3,250 | Florida Dev. Fin. Corp. IDR (4504 30th Street West LLC Proj.), Ser. 2007, (LOC: Branch Banking & Trust Co.), 3.98%, due 10/4/07 | 3,250 | µ | ||||||
5,560 | Florida Hsg. Fin. Corp. Multi-Family Rev. (Floaters), Ser. 2007-3868, (LOC: Merrill Lynch Capital Markets), 4.04%, due 10/4/07 | 5,560 | µ | ||||||
960 | Ocean Hwy. & Port Au. Rev., Ser. 1990, (LOC: Wachovia Bank & Trust Co.), 4.03%, due 10/3/07 | VMIG1 | A-1+ | 960 | µ | ||||
690 | Orange Co. Hsg. Fin. Au. Multi-Family Rev., Ser. 2000 E, (LOC: Bank of America), 3.94%, due 10/3/07 | VMIG1 | 690 | µß | |||||
1,090 | Orange Co. Hsg. Fin. Au. Multi-Family Rev. (Putters), Ser. 2005-1179, (LOC: JP Morgan Chase), 3.96%, due 10/4/07 | VMIG1 | 1,090 | µ | |||||
12,815 | Puttable Floating Option Tax Exempt Receipts (Floaters), Ser. 2007-1497, (LOC: Merrill Lynch Capital Markets), 4.14%, due 10/4/07 | A-1+ | 12,815 | µ | |||||
26,765 | |||||||||
Georgia (7.6%) | |||||||||
1,000 | Atlanta Arpt. Rev. (Merlots), Ser. 2004 C14, (FSA Insured), 3.97%, due 10/3/07 | VMIG1 | 1,000 | µv | |||||
4,000 | Atlanta Arpt. Rev. (Merlots), Ser. 2000 CCC, (FGIC Insured), 3.97%, due 10/3/07 | VMIG1 | 4,000 | µv | |||||
1,800 | Atlanta Urban Residential Fin. Au. Multi-Family Hsg. Rev. (Capitol Gateway Apts.), Ser. 2005, (LOC: Bank of America), 3.94%, due 10/4/07 | A-1+ | 1,800 | µß | |||||
355 | Canton Hsg. Au. Multi-Family Rev. (Canton Mill Lofts Proj.), Ser. 1999, (LOC: Branch Banking &Trust Co.), 3.98%, due 10/4/07 | A-1+ | 355 | µß | |||||
2,450 | Carroll Co. Dev. Au. Rev. (Royal Metal Prod., Inc. Proj.), Ser. 2007, (LOC: Branch Banking & Trust Co.), 3.98%, due 10/4/07 | VMIG1 | 2,450 | µß | |||||
2,000 | Cartersville Dev. Au. IDR (Bliss & Laughlin), Ser. 1988, (LOC: Bank of America), 4.02%, due 10/4/07 | 2,000 | µß | ||||||
7,900 | Cobb Co. Hsg. Au. Multi-Family Hsg. Rev. (Woodchase Village Apts. Proj.), Ser. 2003, (LOC: Regions Bank), 3.99%, due 10/4/07 | VMIG1 | 7,900 | µß | |||||
1,015 | Douglas Co. Dev. Au. IDR (Whirlwind Steel Bldg.), Ser. 1997, (LOC: JP Morgan Chase), 4.15%, due 10/4/07 | 1,015 | µß | ||||||
2,405 | Gordon Co. Dev. Au. IDR (Nance Carpet & Rug, Inc. Proj.), Ser. 2006, (LOC: Branch Banking & Trust Co.), 3.98%, due 10/4/07 | 2,405 | µß | ||||||
1,035 | Gwinnett Co. Dev. Au. IDR (Color Image Inc. Proj.), Ser. 1999, (LOC: SouthTrust Bank), 3.98%, due 10/4/07 | 1,035 | µß | ||||||
14,695 | Puttable Floating Option Tax Exempt Receipts (Floaters), Ser. 2007-3793, (LOC: Merrill Lynch Capital Markets), 4.04%, due 10/4/07 | 14,695 | µ |
See Notes to Schedule of Investments
104
PRINCIPAL AMOUNT SECURITY@@ | RATING‡‡ | VALUE†† | |||||||
(000's omitted) | Moody's | S&P | (000's omitted) | ||||||
$5,415 | Union City Hsg. Au. Multi-Family Rev. (Floaters), Ser. 2007-3865, (LOC: Merrill Lynch Capital Markets), 4.04%, due 10/4/07 | $5,415 | µ | ||||||
44,070 | |||||||||
Idaho (3.4%) | |||||||||
300 | Idaho Hlth. Fac. Au. Rev. (St. Luke's Med. Ctr.), Ser. 2000, (FSA Insured), 4.06%, due 10/1/07 | VMIG1 | A-1 | 300 | µßn | ||||
6,755 | Idaho Hsg. & Fin. Assoc. Single Family Mtge. Rev., Ser. 2007-11192, (LOC: Citibank, N.A.), 4.00%, due 10/4/07 | VMIG1 | 6,755 | µ | |||||
12,695 | Puttable Floating Option Tax Exempt Receipts (Floaters), Ser. 2007-4049, (LOC: Merrill Lynch Capital Markets), 4.02%, due 10/4/07 | VMIG1 | 12,695 | µ | |||||
19,750 | |||||||||
Illinois (9.2%) | |||||||||
2,440 | Aurora IDR (FIS Aurora Invest LLC Proj.), Ser. 2001 A, (LOC: National City Bank), 3.98%, due 10/4/07 | 2,440 | µß | ||||||
10,580 | Aurora Single Family Mtge. Rev., Ser. 2007-10213, (LOC: Government National Mortgage Association), 4.00%, due 10/4/07 | A-1+ | 10,580 | µi | |||||
5,000 | Aurora Single Family Mtge. Rev. (Merlots), Ser. 2007 C55, (LOC: Government National Mortgage Association), 3.97%, due 10/3/07 | A-1+ | 5,000 | µd | |||||
4,500 | Chicago Enterprise Zone Rev. (J & A LLC Proj.), Ser. 2002, (LOC: Charter One Bank), 3.98%, due 10/4/07 | 4,500 | µ | ||||||
2,920 | Chicago IDR (Evans Food Prod. Co. Proj.), Ser. 1998, (LOC: LaSalle National Bank), 3.96%, due 10/4/07 | A-1+ | 2,920 | µ | |||||
1,160 | Chicago Multi-Family Hsg. Rev. (Churchview Supportive Living Fac.), Ser. 2003, (LOC: Harris Trust & Savings Bank), 3.93%, due 10/4/07 | VMIG1 | 1,160 | µß | |||||
2,500 | Chicago Single Family Mtge. Rev., Ser. 2007 2F, (LOC: Government National Mortgage Association), 3.93%, due 7/1/08 | 2,500 | f | ||||||
4,000 | Chicago Single Family Mtge. Rev., Ser. 2007 2D, (LOC: Government National Mortgage Association), 3.95%, due 7/1/08 | 4,000 | j | ||||||
2,011 | Decatur Park Dist. G.O., Ser. 2007 B, 4.25%, due 12/15/07 | 2,013 | |||||||
1,639 | Dundee Township Park Dist. G.O., Ser. 2006, 4.35%, due 12/1/07 | 1,641 | |||||||
1,500 | Elmhurst IDR (Randall Mfg. Prod. Proj.), Ser. 2002, (LOC: LaSalle National Bank), 4.04%, due 10/4/07 | A-1+ | 1,500 | µß | |||||
700 | Illinois Dev. Fin. Au. IDR (Florence Corp. Proj.), Ser. 1997, (LOC: Bank One), 4.15%, due 10/4/07 | 700 | µß | ||||||
980 | Illinois Dev. Fin. Au. IDR (JVM LLC Proj.), Ser. 2001, (LOC: Fifth Third Bank), 3.98%, due 10/4/07 | 980 | µß | ||||||
4,570 | Illinois Dev. Fin. Au. IDR (Trim-Rite Food Corp. Proj.), Ser. 2000, (LOC: Fifth Third Bank), 3.97%, due 10/5/07 | 4,570 | µß |
See Notes to Schedule of Investments
105
PRINCIPAL AMOUNT SECURITY@@ | RATING‡‡ | VALUE†† | |||||||
(000's omitted) | Moody's | S&P | (000's omitted) | ||||||
$500 | Illinois Fin. Au. IDR (E Kinast Proj.), Ser. 2005 A, (LOC: JP Morgan Chase), 4.15%, due 10/4/07 | $500 | µß | ||||||
3,400 | Illinois Fin. Au. IDR (Injection Plastic Corp.), Ser. 2006 A, (LOC: Wachovia Bank & Trust Co.), 4.01%, due 10/3/07 | 3,400 | µß | ||||||
1,000 | Illinois Fin. Au. IDR (Meyer Ind. LLC Proj.), Ser. 2006, (LOC: Fifth Third Bank), 3.98%, due 10/4/07 | 1,000 | µß | ||||||
930 | Illinois Fin. Au. IDR (Transparent Container Proj.), Ser. 2004, (LOC: Bank One), 3.98%, due 10/4/07 | VMIG1 | 930 | µß | |||||
2,620 | Upper Illinois River Valley Dev. Au. IDR (Advanced Drainage Sys.), Ser. 2002, (LOC: National City Bank), 3.98%, due 10/4/07 | 2,620 | µß | ||||||
52,954 | |||||||||
Indiana (5.4%) | |||||||||
2,000 | Bartholomew Cons. Sch. Corp. Ind. Tax Anticipation Warrants, Ser. 2007, 4.00%, due 12/31/07 | 2,002 | |||||||
2,680 | Concord Comm. Sch. Tax Anticipation Warrants, Ser. 2007, 3.90%, due 12/31/07 | 2,681 | |||||||
2,000 | Crawfordsville Econ. Dev. Ref. Rev. (Pedcor Investments-Shady), Ser. 1993, (LOC: Federal Home Loan Bank), 3.99%, due 10/4/07 | VMIG1 | 2,000 | µ | |||||
3,540 | Elkhart Co. Econ. Dev. Rev. (Carriage, Inc. Proj.), Ser. 2006, (LOC: National City Bank), 3.98%, due 10/4/07 | 3,540 | µ | ||||||
585 | Elkhart Co. Econ. Dev. Rev. (Pinnacle Bldg. Sys. Corp.), Ser. 1999, (LOC: Bank One Indiana N.A.), 4.23%, due 10/3/07 | 585 | µß | ||||||
1,400 | Hamilton Southeastern Sch. Warrants, Ser. 2007, 3.80%, due 12/31/07 | 1,400 | |||||||
500 | Hammond Econ. Dev. Rev. (A.M. Castle & Co. Proj.), Ser. 1994, (LOC: Bank of America), 4.15%, due 10/4/07 | 500 | µß | ||||||
4,300 | Indiana Hlth. & Ed. Fac. Fin. Au. Hosp. Rev. (Floyd Mem. Hosp. & Hlth. Proj.), Ser. 2006, (LOC: National City Bank), 4.10%, due 10/1/07 | A-1 | 4,300 | µß | |||||
2,650 | Johnson Co. Tax Anticipation Warrants, Ser. 2007, 4.35%, due 12/31/07 | 2,654 | |||||||
970 | Kendallville Econ. Dev. Rev. (Metal Shred Ind. Proj.), Ser. 2006, (LOC: Fifth Third Bank), 3.97%, due 10/5/07 | 970 | µß | ||||||
1,890 | Kokomo Econ. Dev. Rev. (Village Comm. Partners IV Proj.), Ser. 1995, (LOC: Federal Home Loan Bank), 3.99%, due 10/4/07 | VMIG1 | 1,890 | µß | |||||
1,069 | La Porte Co. Econ. Dev. Rev. (Pedcor Investments-Woodland), Ser. 1994, (LOC: Federal Home Loan Bank), 4.00%, due 10/4/07 | VMIG1 | 1,069 | µ | |||||
2,600 | La Porte Co. Econ. Dev. Rev. (Van Air Proj.), Ser. 2007, (LOC: LaSalle National Bank), 4.01%, due 10/4/07 | 2,600 | µß | ||||||
1,087 | Noblesville Econ. Dev. Rev. (Princeton Lakes Apts. Proj.), Ser. 2003 B, (LOC: Federal Home Loan Bank), 3.98%, due 10/4/07 | A-1+ | 1,087 | µ |
See Notes to Schedule of Investments
106
PRINCIPAL AMOUNT SECURITY@@ | RATING‡‡ | VALUE†† | |||||||
(000's omitted) | Moody's | S&P | (000's omitted) | ||||||
$1,105 | North Vernon Econ. Dev. Rev. (Oak Meadows Apt. Proj.), Ser. 1995, (LOC: Federal Home Loan Bank), 3.94%, due 10/3/07 | A-1+ | $1,105 | µß | |||||
2,150 | Spencer Owen Comm. Schs. Tax Anticipation Warrants, Ser. 2007, 3.90%, due 12/31/07 | 2,151 | |||||||
500 | Tippecanoe Co. Econ. Dev. Ref. Rev. (Lafayette Venetian Blind), Ser. 2004, (LOC: PNC Bank), 3.97%, due 10/4/07 | 500 | µß | ||||||
31,034 | |||||||||
Iowa (1.6%) | |||||||||
300 | Iowa Higher Ed. Loan Au. Rev. (Private College Wartburg Proj.), Ser. 2000, (LOC: American Trust & Savings), 4.10%, due 10/1/07 | VMIG1 | 300 | µß | |||||
400 | Mason City IDR (SUPERVALU, Inc. Proj.), Ser. 1994, (LOC: Wachovia Bank & Trust Co.), 3.95%, due 10/3/07 | 400 | µß | ||||||
6,315 | Muni. Sec. Trust Cert. G.O., Ser. 2007 7042A, (LOC: Government National Mortgage Association), 3.96%, due 10/4/07 | VMIG1 | 6,315 | ñµe | |||||
2,215 | Sergeant Bluff IDR (Sioux City Brick & Tile Proj.), Ser.1996, (LOC: U.S. Bank), 3.98%, due 10/4/07 | 2,215 | µß | ||||||
9,230 | |||||||||
Kansas (0.7%) | |||||||||
3,925 | Junction City G.O., Ser. 2007 A, 5.00%, due 6/1/08 | 3,950 | |||||||
300 | Univ. of Kansas Hosp. Au. Rev. (KU Hlth. Sys.), Ser. 2004, (LOC: Harris Trust & Savings Bank), 4.05%, due 10/1/07 | A-1 | 300 | µß | |||||
4,250 | |||||||||
Kentucky (2.5%) | |||||||||
200 | Bardstown Ind. Rev. (JAV Invt. LLC Proj.), Ser. 2001, (LOC: Bank One Michigan), 4.15%, due 10/4/07 | 200 | µß | ||||||
2,790 | Boone Co. Ind. Bldg. Rev. (Benda-Lutz Corp. Proj.), Ser. 2005, (LOC: Fifth Third Bank), 3.97%, due 10/5/07 | 2,790 | µß | ||||||
2,700 | Boone Co. Ind. Bldg. Rev. (Kiswel, Inc. Proj.), Ser. 2007, (LOC: Branch Banking & Trust Co.), 3.98%, due 10/4/07 | VMIG1 | 2,700 | µß | |||||
2,665 | Fort Mitchell Ind. Bldg. Rev. (Grandview/Hemmer Proj.), Ser. 1986, (LOC: PNC Bank), 3.90%, due 2/1/08 | 2,665 | µ | ||||||
4,000 | Fulton Co. Ind. Bldg. Rev. (Burke-Parsons-Bowlby Corp.), Ser. 2006, (LOC: Branch Banking & Trust Co.), 3.98%, due 10/4/07 | 4,000 | µß | ||||||
1,800 | Lexington-Fayette Urban Co. Arpt. Corp. Rev. Ref. (1st Mtg.), Ser. 1998 C, (MBIA Insured), 4.16%, due 10/1/07 | VMIG1 | 1,800 | µl | |||||
315 | Trimble Co. Econ. Dev. Rev. (Synthetic Materials Proj.), Ser. 2000, (LOC: Citizens Bank), 4.01%, due 10/4/07 | 315 | µß | ||||||
14,470 |
See Notes to Schedule of Investments
107
PRINCIPAL AMOUNT SECURITY@@ | RATING‡‡ | VALUE†† | |||||||
(000's omitted) | Moody's | S&P | (000's omitted) | ||||||
Louisiana (2.0%) | |||||||||
$300 | Ascension Parish Rev. (BASF Corp. Proj.), Ser. 1998, 4.13%, due 10/1/07 | P-1 | $300 | µß | |||||
1,000 | Calcasieu Parish Pub. Trust Au. Gulf Opportunity Zone Rev. (Delta Equine Ctr. LLC Proj.), Ser. 2007, (LOC: Branch Banking & Trust Co.), 3.98%, due 10/4/07 | 1,000 | µß | ||||||
4,940 | Deutsche Bank Spears/Lifers Trust Var. St., Ser.2007-137, (LOC: Deutsche Bank), 4.02%, due 10/4/07 | 4,940 | µ | ||||||
3,310 | Louisiana HFA Single Family Mtge. Rev. (Floaters), Ser. 2006-1566, (LOC: Depfa Bank), 3.96%, due 10/4/07 | A-1+ | 3,310 | µs | |||||
2,000 | Louisiana Local Gov't. Env. Facs. & Comm. Dev. Rev. (SRL Holdings LLC Proj.), Ser. 2007, (LOC: Branch Banking & Trust Co.), 3.98%, due 10/4/07 | 2,000 | µß | ||||||
11,550 | |||||||||
Maine (1.1%) | |||||||||
6,000 | Maine St. Hsg. Au. Mtge. Purchase Bonds, Ser. 2007 F, 3.85%, due 11/15/34 Putable 9/22/08 | VMIG1 | A-1+ | 6,000 | |||||
500 | Westbrook Rev. (Corriveau-Routhier, Inc. Proj.), Ser. 1986, (LOC: Fleet National Bank), 3.90%, due 12/15/07 | 500 | µß | ||||||
6,500 | |||||||||
Maryland (0.3%) | |||||||||
1,660 | Howard Co. IDR (Preston CT Ltd. Partnership), Ser. 1986, (LOC: SunTrust Bank), 3.95%, due 10/1/07 | A-1+ | 1,660 | µ | |||||
Massachusetts (1.5%) | |||||||||
3,000 | Cape Cod Reg. Transit Au. RANS, Ser. 2007, 4.00%, due 7/31/08 | 3,002 | |||||||
2,400 | Greater Attleboro Taunton Reg. Transit Au. RANS, Ser. 2007, 4.00%, due 8/22/08 | 2,402 | |||||||
1,150 | Massachusetts St. HFA, Ser. 2005 A, (FSA Insured), 3.85%, due 6/1/08 | 1,150 | |||||||
1,975 | Massachusetts St. Ind. Fin. Agcy. Rev. (Sr. Living Fac.-Forge Hill Proj.), Ser. 1998, 6.75%, due 4/1/30 Pre Refunded 4/1/08 | 2,044 | ß | ||||||
8,598 | |||||||||
Michigan (0.3%) | |||||||||
1,000 | ABN Amro Munitops Cert. Trust Rev., Ser. 2004-2, (LOC: Government National Mortgage Association), 3.97%, due 10/4/07 | VMIG1 | 1,000 | µa | |||||
300 | Eastern Michigan Univ. Rev., Ser. 2001, (FGIC Insured), 4.05%, due 10/1/07 | A-1+ | 300 | µl | |||||
300 | Northern Michigan Univ. Rev., Ser. 2001, (FGIC Insured), 4.05%, due 10/1/07 | VMIG1 | A-1 | 300 | µj | ||||
300 | Univ. of Michigan Univ. Rev., Ser. 2005 A, 4.00%, due 10/1/07 | VMIG1 | A-1+ | 300 | µ | ||||
1,900 |
See Notes to Schedule of Investments
108
PRINCIPAL AMOUNT SECURITY@@ | RATING‡‡ | VALUE†† | |||||||
(000's omitted) | Moody's | S&P | (000's omitted) | ||||||
Minnesota (3.0%) | |||||||||
$300 | Arden Hills Hsg. & Hlth. Care Fac. Rev. (Presbyterian Homes), Ser. 1999 A, (LOC: U.S. Bank), 4.10%, due 10/1/07 | A-1+ | $300 | µß | |||||
100 | Blaine IDR (SUPERVALU, Inc. Proj.), Ser. 1993, (LOC: Wachovia Bank & Trust Co.), 3.95%, due 10/3/07 | 100 | µß | ||||||
12,195 | Dakota Co. Comm. Dev. Agcy. Multi-Family Hsg. Rev. (Brentwood Hills Apts. Proj.), Ser. 2003 A, (LOC: LaSalle National Bank), 4.15%, due 10/1/07 | VMIG1 | 12,195 | µß | |||||
2,415 | Plymouth Multi-Family Hsg. Ref. Rev. (At the Lake Apts. Proj.), Ser. 2004, (LOC: Freddie Mac), 3.94%, due 10/4/07 | VMIG1 | 2,415 | µß | |||||
280 | Roseville Private Sch. Fac. Rev. (Northwestern College Proj.), Ser. 2002, (LOC: Marshall & Ilsley), 4.10%, due 10/1/07 | VMIG1 | 280 | µß | |||||
500 | Rush City IDR (Plastech Corp. Proj.), Ser. 1999, (LOC: U.S. Bank), 4.09%, due 10/4/07 | 500 | µß | ||||||
1,155 | St. Paul Hsg. & Redev. Au. Rev. (Goodwill/Easter Seals Proj.), Ser. 2000, (LOC: U.S. Bank), 4.00%, due 10/4/07 | 1,155 | µß | ||||||
100 | Woodbury Private Sch. Fac. Rev. (St. Ambrose Proj.), Ser. 1999, (LOC: U.S. Bank), 4.00%, due 10/3/07 | 100 | µß | ||||||
17,045 | |||||||||
Missouri (1.0%) | |||||||||
1,000 | Clayton Ind. Dev. Au. Ind. Ref. Rev. (Bailey Court Proj.), Ser. 1989, (LOC: Commerce Bank N.A.), 3.98%, due 10/4/07 | A-1 | 1,000 | µ | |||||
300 | Hannibal Ind. Dev. Au. Ind. Rev. (Buckhorn Rubber Prods. Proj.), Ser. 1995, (LOC: JP Morgan Chase), 4.15%, due 10/4/07 | 300 | µß | ||||||
100 | Jefferson Co. Ind. Dev. Au. Ind. Rev. (GHF Holdings LLC Proj.), Ser. 1994, (LOC: LaSalle National Bank), 4.15%, due 10/4/07 | 100 | µß | ||||||
4,000 | Missouri St. Env. Imp. & Energy Res. Au. Env. Imp. Rev. (UtiliCorp United, Inc. Proj.), Ser. 1993, (LOC: Citibank, N.A.), 4.23%, due 10/3/07 | P-1 | A-1+ | 4,000 | µß | ||||
300 | Missouri St. Hlth. & Ed. Fac. Au. Ed. Fac. Rev. (Christian Brothers), Ser. 2002 A, (LOC: Commerce Bank N.A.), 4.10%, due 10/1/07 | A-1 | 300 | µß | |||||
300 | Missouri St. Hlth. & Ed. Fac. Au. Hlth. Fac. Rev. (St. Francis Med. Ctr.), Ser. 1996 A, (LOC: Bank of America), 4.05%, due 10/1/07 | A-1+ | 300 | µß | |||||
6,000 | |||||||||
Montana (2.1%) | |||||||||
9,965 | Montana St. Board Hsg. (Merlots), Ser. 2007-H11, (LOC: Wachovia Bank & Trust Co.), 3.97%, due 10/3/07 | A-1+ | 9,965 | µ | |||||
2,000 | Montana St. Board of Investments Rev. (Muni. Fin. Cons. Act-Intercap), Ser. 1994, 3.85%, due 3/1/09 Putable 3/1/08 | VMIG1 | 2,000 | µ | |||||
11,965 |
See Notes to Schedule of Investments
109
PRINCIPAL AMOUNT SECURITY@@ | RATING‡‡ | VALUE†† | |||||||
(000's omitted) | Moody's | S&P | (000's omitted) | ||||||
Nebraska (0.1%) | |||||||||
$400 | Norfolk IDR Ref. (SUPERVALU, Inc. Proj.), Ser. 1994, (LOC: Wachovia Bank & Trust Co.), 3.95%, due 10/3/07 | $400 | µß | ||||||
Nevada (2.1%) | |||||||||
1,495 | Clark Co. IDR (Floaters), Ser. 2007-1843, (AMBAC Insured), 3.91%, due 10/4/07 | A-1+ | 1,495 | µs | |||||
1,000 | Clark Co. IDR (Floaters), Ser. 2006-1306, (FGIC Insured), 3.94%, due 10/4/07 | VMIG1 | 1,000 | µs | |||||
9,365 | Muni. Sec. Trust Cert. G.O., Ser. 2007-321, Class A, (AMBAC Insured), 3.96%, due 10/4/07 | VMIG1 | 9,365 | ñµe | |||||
11,860 | |||||||||
New Hampshire (0.8%) | |||||||||
1,200 | Cheshire Co. G.O. TANS, Ser. 2007, 3.75%, due 12/27/07 | 1,200 | |||||||
1,500 | Merrimack Co. G.O. TANS, Ser. 2007, 4.25%, due 12/28/07 | 1,501 | |||||||
1,660 | New Hampshire St. Hsg. Fin. Au. Multi-Family Rev. (Floaters), Ser. 2006-3438, (LOC: Merrill Lynch Capital Markets), 4.02%, due 10/4/07 | VMIG1 | 1,660 | µ | |||||
4,361 | |||||||||
New Jersey (1.5%) | |||||||||
7,665 | New Jersey Econ. Dev. Au. Econ. Dev. Rev. (Stamato Realty LLC Proj.), Ser. 2001, (LOC: Comerica Bank), 4.02%, due 10/4/07 | 7,665 | µß | ||||||
705 | New Jersey Econ. Dev. Au. Econ. Dev. Rev. (Wearbest SIL-TEX Mills Proj.), Ser. 2000, (LOC: Bank of New York), 4.00%, due 10/3/07 | 705 | µß | ||||||
8,370 | |||||||||
New Mexico (0.0%) | |||||||||
225 | Las Cruces IDR (Parkview Metal Prod. Proj.), Ser. 1997, (LOC: America National Bank & Trust Co.), 4.15%, due 10/4/07 | 225 | µß | ||||||
North Carolina (0.9%) | |||||||||
1,550 | Iredell Co. Ind. Fac. & Poll. Ctrl. Fin. Au. Ind. Rev. (Riley Technologies Proj.), Ser. 2006, (LOC: Branch Banking & Trust Co.), 3.98%, due 10/4/07 | 1,550 | µß | ||||||
2,000 | Lincoln Co. Ind. Fac. & Poll. Ctrl. Fin. Au. Rev. Ind. Dev. (Sabo USA, Inc. Proj.), Ser. 2007, (LOC: LaSalle National Bank), 3.98%, due 10/4/07 | VMIG1 | 2,000 | µß | |||||
1,875 | North Carolina HFA, Ser. 2002, (LOC: Citibank, N.A.), 4.00%, due 10/4/07 | VMIG1 | 1,875 | µ | |||||
5,425 |
See Notes to Schedule of Investments
110
PRINCIPAL AMOUNT SECURITY@@ | RATING‡‡ | VALUE†† | |||||||
(000's omitted) | Moody's | S&P | (000's omitted) | ||||||
North Dakota (0.3%) | |||||||||
$800 | Bismarck IDR Ref. (SUPERVALU, Inc. Proj.), Ser. 1995, (LOC: Wachovia Bank & Trust Co.), 3.95%, due 10/3/07 | $800 | µß | ||||||
1,000 | North Dakota HFA Rev. (Fin. Prog. Home Mtge.), Ser. 2004 B, (LOC: KBC Bank N.V.), 3.95%, due 10/3/07 | VMIG1 | 1,000 | µ | |||||
1,800 | |||||||||
Ohio (2.2%) | |||||||||
1,750 | American Muni. Pwr. BANS (Montpelier Proj.), Ser. 2007, 3.95%, due 7/3/08 | 1,750 | |||||||
2,060 | American Muni. Pwr. BANS (Shelby Proj.), Ser. 2006, 3.70%, due 11/15/07 | 2,060 | |||||||
1,775 | Marion Co. IDR (Mid Ohio Packaging Co. Proj.), Ser. 1995, (LOC: JP Morgan Chase), 4.03%, due 10/4/07 | 1,775 | µ | ||||||
1,910 | Marysville Wtr. & Swr. G.O. BANS, Ser. 2007, 4.50%, due 1/24/08 | 1,915 | |||||||
1,800 | Revenue Bond Cert. Ser. Trust Var. St. (Park Trails), Ser. 2007-3 (AIG Insured), 4.06%, due 10/4/07 | 1,800 | µ | ||||||
115 | Trumbull Co. IDR (UTD Steel Svc., Inc. Proj.), Ser. 2000, (LOC: JP Morgan Chase), 4.30%, due 10/4/07 | 115 | µß | ||||||
1,445 | Vandalia Land Acquisition G.O. BANS, Ser. 2007, 3.88%, due 8/22/08 | 1,445 | |||||||
1,155 | Warren Co. IDR (PAC Mfg. Proj.), Ser. 2000, (LOC: Bank of America), 4.15%, due 10/1/07 | A-1+ | 1,155 | µß | |||||
946 | Wood Co. IDR (Reclamation Technologies), Ser. 2006, (LOC: National City Bank), 3.98%, due 10/4/07 | 946 | µß | ||||||
12,961 | |||||||||
Oregon (0.2%) | |||||||||
705 | Marion Co. Hsg. Au. Rev. (Residence at Marian), Ser. 1997, (LOC: U.S. Bank), 3.99%, due 10/4/07 | A-1+ | 705 | µß | |||||
300 | Multnomah Co. Higher Ed. Rev. (Concordia Univ. Portland Proj.), Ser. 1999, (LOC: Key Bank), 4.10%, due 10/1/07 | VMIG1 | 300 | µß | |||||
1,005 | |||||||||
Pennsylvania (2.9%) | |||||||||
4,000 | Crawford Co. Ind. Dev. Au. Rev. (Acutec Precision), Ser. 2007, (LOC: National City Bank), 3.98%, due 10/4/07 | 4,000 | µß | ||||||
3,200 | Fayette Co. Ind. Dev. Au. IDR (Coastal Lumber Co. Proj.), Ser. 2006, (LOC: Branch Banking & Trust Co.), 3.98%, due 10/4/07 | 3,200 | µß | ||||||
2,805 | Lackawanna Co. Ind. Dev. Au. Rev. (Material Technology Proj.), Ser. 2006, (LOC: Wachovia Bank & Trust Co.), 4.01%, due 10/4/07 | 2,805 | µß |
See Notes to Schedule of Investments
111
PRINCIPAL AMOUNT SECURITY@@ | RATING‡‡ | VALUE†† | |||||||
(000's omitted) | Moody's | S&P | (000's omitted) | ||||||
$3,425 | Montgomery Co. Ind. Dev. Au. Rev. (RAF Pennsburg Proj.), Ser. 2006 A, (LOC: Wachovia Bank & Trust Co.), 3.96%, due 10/4/07 | VMIG1 | $3,425 | µß | |||||
3,000 | Pennsylvania Econ. Dev. Fin. Au. Econ. Dev. Rev., Ser. 1995 D7, (LOC: PNC Bank), 3.93%, due 10/4/07 | 3,000 | µ | ||||||
16,430 | |||||||||
Rhode Island (0.2%) | |||||||||
1,180 | Rhode Island St. Ind. Facs. Corp. IDR (Precision Turned Components Proj.), Ser. 2000, (LOC: Bank of America), 4.00%, due 10/3/07 | A-1+ | 1,180 | µß | |||||
South Carolina (2.4%) | |||||||||
2,775 | Jasper Co. BANS, Ser. 2007, 4.25%, due 2/15/08 | 2,779 | |||||||
1,000 | South Carolina Jobs Econ. Dev. Au. Econ. Dev. Rev. (Blue Ridge Log Cabins LLC), Ser. 2007, (LOC: Branch Banking & Trust Co.), 3.98%, due 10/4/07 | VMIG1 | 1,000 | µß | |||||
1,985 | South Carolina Jobs Econ. Dev. Au. Econ. Dev. Rev. (DCS Diversified Coating), Ser. 2002, (LOC: Branch Banking & Trust Co.), 3.98%, due 10/4/07 | VMIG1 | 1,985 | µß | |||||
500 | South Carolina Jobs Econ. Dev. Au. Econ. Dev. Rev. (Mancor Ind., Inc. Proj.), Ser. 1999, (LOC: PNC Bank), 3.97%, due 10/4/07 | 500 | µß | ||||||
4,125 | South Carolina Jobs Econ. Dev. Au. Econ. Dev. Rev. (Woodhead LLC Proj.), Ser. 2007 A, (LOC: Columbus Bank & Trust), 3.94%, due 10/4/07 | 4,125 | µß | ||||||
50 | South Carolina Jobs Econ. Dev. Au. IDR (Florence RHF Hsg. Proj.), Ser. 1987 A, (LOC: Wachovia Bank & Trust Co.), 4.15%, due 10/3/07 | 50 | µß | ||||||
3,420 | Three Rivers Solid Waste Au. Solid Waste Disposal Fac. Ref. Rev. BANS, Ser. 2007, 3.72%, due 1/15/08 | SP-1+ | 3,420 | ||||||
13,859 | |||||||||
South Dakota (0.0%) | |||||||||
125 | Watertown IDR (SUPERVALU, Inc. Proj.), Ser. 1994, (LOC: Wachovia Bank & Trust Co.), 3.95%, due 10/3/07 | 125 | µß | ||||||
80 | Watertown IDR Ref. (Ramkota, Inc. Proj.), Ser. 1993, (LOC: U.S. Bank), 4.00%, due 10/4/07 | 80 | µß | ||||||
205 | |||||||||
Tennessee (2.5%) | |||||||||
8,000 | Morgan Keegan Muni. Prod. Inc. Var. St. Rev., Ser. 2007 F, (LOC: BNP Paribas), 3.91%, due 10/4/07 | A-1+ | 8,000 | µ | |||||
2,110 | Rutherford Co. IDB IDR (Tenn. Farmers Coop. Proj.), Ser. 1999, (LOC: AMSouth Bank), 3.99%, due 10/4/07 | 2,110 | µß |
See Notes to Schedule of Investments
112
PRINCIPAL AMOUNT SECURITY@@ | RATING‡‡ | VALUE†† | |||||||
(000's omitted) | Moody's | S&P | (000's omitted) | ||||||
$3,200 | Shelby Co. Hlth., Ed. & Hsg. Fac. Board Multi-Family Hsg. Rev. (Lexington), Ser. 2005 A, (LOC: Fannie Mae), 3.99%, due 10/4/07 | VMIG1 | $3,200 | µ | |||||
300 | Stewart Co. IDB Rev. (Synthetic Materials Proj.), Ser. 1999 A, (LOC: Citizens Bank), 4.01%, due 10/4/07 | 300 | µß | ||||||
730 | Stewart Co. IDB Rev. (Synthetic Materials Proj.), Ser. 1999 C, (LOC: Citizens Bank), 4.01%, due 10/4/07 | 730 | µß | ||||||
14,340 | |||||||||
Texas (9.7%) | |||||||||
4,660 | Alliance Arpt. Au. Inc. Spec. Fac. Rev. (Floaters), Ser. 2007-2088, (LOC: Wells Fargo & Co.), 3.99%, due 10/4/07 | A-1+ | 4,660 | µ | |||||
615 | Bell Co. Hlth. Fac. Dev. Corp. Rev. (Hlth. Fac. Baptist Care, Inc.), Ser. 1998, (LOC: Broadway National Bank), 4.10%, due 10/4/07 | VMIG1 | 615 | µßg | |||||
10,125 | Bexar Co. Hsg. Fin. Corp. Multi-Family Hsg. Rev., Ser. 2007-749CE, (LOC: Citigroup Global Markets), 4.04%, due 10/4/07 | VMIG1 | 10,125 | µ | |||||
15,450 | Brazos River Harbor Navigation Dist. Brazoria Co. Rev. (BASF Corp. Proj.), Ser. 2001, 4.15%, due 10/3/07 | A-1+ | 15,450 | µß | |||||
1,300 | Dallas Fort Worth Int'l Arpt. Rev. (Putters), Ser. 2004-385, (FGIC Insured), 3.96%, due 10/4/07 | VMIG1 | A-1+ | 1,300 | µo | ||||
1,340 | Harris Co. Ind. Dev. Corp. IDR (Precision Gen., Inc. Proj.), Ser. 1991, (LOC: Morgan Guaranty Trust), 3.98%, due 10/4/07 | A-1+ | 1,340 | µß | |||||
300 | Lufkin Hlth. Fac. Dev. Corp. Hlth. Sys. Ref. Rev. (Mem. Hlth. Sys. East Texas), Ser. 2005, (LOC: Wachovia Bank & Trust Co.), 4.09%, due 10/1/07 Pre Refunded 2/15/08 | A-1+ | 300 | µß | |||||
4,200 | McAllen Ind. Dev. Au. Rev. (Ridge Sharyland), Ser. 2000, 5.87%, due 10/4/07 | 4,271 | µ | ||||||
300 | Muni. Sec. Trust Cert. G.O., Ser. 2007-3082A, (MBIA Insured), 4.05%, due 10/1/07 | VMIG1 | 300 | ñµe | |||||
1,200 | Port of Port Arthur Navigation Dist. Rev. (Fina Oil & Chemical Co. Proj.), Ser. 1998, 4.08%, due 10/1/07 | VMIG1 | 1,200 | µß | |||||
8,200 | Tarrant Co. Hsg. Fin. Corp. Rev. (Floaters), Ser. 2007-2050, (LOC: Government National Mortgage Association), 3.96%, due 10/4/07 | A-1+ | 8,200 | µs | |||||
7,975 | Victory Street Pub. Fac. Corp. Multi-Family Rev., Ser. 2007-832CE, (LOC: Citigroup Global Markets), 4.04%, due 10/4/07 | VMIG1 | 7,975 | µ | |||||
55,736 | |||||||||
Vermont (1.1%) | |||||||||
300 | Vermont Ed. & Hlth. Bldg. Fin. Agcy. Rev. (Mount Ascutney Hosp. Proj.), Ser. 2004 A, (LOC: TD Banknorth N.A.), 4.00%, due 10/1/07 | VMIG1 | 300 | µß | |||||
6,000 | Vermont HFA Multi. Purp. Notes, Ser. 2007 D, (LOC: Calyon Bank), 3.85%, due 9/25/08 | 6,000 | |||||||
6,300 |
See Notes to Schedule of Investments
113
PRINCIPAL AMOUNT SECURITY@@ | RATING‡‡ | VALUE†† | |||||||
(000's omitted) | Moody's | S&P | (000's omitted) | ||||||
Virginia (4.7%) | |||||||||
$2,500 | Amherst Co. Econ. Dev. Au. IDR (Englands Stove Works Proj.), Ser. 2007, (LOC: Branch Banking & Trust Co.), 3.98%, due 10/4/07 | $2,500 | µß | ||||||
7,150 | BB&T Muni. Trust Var. St. (Floaters), Ser. 2007-1006, (LOC: Branch Banking & Trust Co.), 4.02%, due 10/4/07 | VMIG1 | 7,150 | µ | |||||
6,380 | Portsmouth Redev. & Hsg. Au. Multi-Family Hsg. Rev., Ser. 2006-3667, (LOC: Merrill Lynch Capital Markets), 4.02%, due 10/4/07 | 6,380 | µ | ||||||
2,210 | Southampton Co. Ind. Dev. Au. Rev. (Feridies Proj.), Ser. 2006, (LOC: Branch Banking & Trust Co.), 3.98%, due 10/4/07 | 2,210 | µß | ||||||
3,000 | Sussex Co. Ind. Dev. Au. IDR (McGill Env. Sys.), Ser. 2007, (LOC: Branch Banking & Trust Co.), 3.98%, due 10/4/07 | VMIG1 | 3,000 | µß | |||||
2,865 | Tazewell Co. Ind. Dev. Au. Rev. (Jennmar Corp., Inc.), Ser. 2007, (LOC: PNC Bank), 3.97%, due 10/4/07 | 2,865 | µß | ||||||
1,865 | Virginia St. Hsg. Dev. Au. Commonwealth Mtge. (Merlots), Ser. 2006-C07, (LOC: Bank of New York), 3.97%, due 10/3/07 | A-1+ | 1,865 | µ | |||||
1,380 | Wythe Co. Ind. Dev. Au. Rev. (Klockner-Pentaplast of America), Ser. 1989, (LOC: Landesbank Hessen-Thveringen Girozentrale), 4.02%, due 10/4/07 | 1,380 | µß | ||||||
27,350 | |||||||||
Washington (5.7%) | |||||||||
300 | Everett Pub. Fac. Dist. Proj. Rev., Ser. 2007, (LOC: Dexia Credit Locale de France), 4.10%, due 10/1/07 | A-1+ | 300 | µ | |||||
9,870 | Washington St. Hsg. Fin. Commission, Ser. 2007-11203, (LOC: Government National Mortgage Association), 4.00%, due 10/4/07 | VMIG1 | 9,870 | µh | |||||
7,395 | Washington St. Hsg. Fin. Commission Multi-Family Hsg. Rev., Ser. 2007-10003CE, (LOC: Citigroup Global Markets), 4.04%, due 10/4/07 | VMIG1 | 7,395 | µ | |||||
4,500 | Washington St. Hsg. Fin. Commission Multi-Family Rev. (Silver Creek Retirement), Ser. 2004 A, (LOC: Wells Fargo & Co.), 4.09%, due 10/1/07 | VMIG1 | 4,500 | µß | |||||
10,300 | Washington St. Hsg. Fin. Commission Multi-Family Rev. (Woodland Retirement Proj.), Ser. 2003 A, (LOC: Wells Fargo & Co.), 4.09%, due 10/1/07 | A-1+ | 10,300 | µß | |||||
300 | Washington St. Hsg. Fin. Commission Non-Profit Rev. (Tacoma Art Museum Proj.), Ser. 2002, (LOC: Northern Trust Co.), 4.10%, due 10/1/07 | VMIG1 | 300 | µß | |||||
32,665 | |||||||||
Wisconsin (6.5%) | |||||||||
425 | Elkhorn IDR (Lanco Precision Plus Proj.), Ser. 1999, (LOC: Bank One), 4.23%, due 10/3/07 | 425 | µß | ||||||
6,500 | Muni. Sec. Trust Cert. G.O., Ser. 2007-7063, Class A, (LOC: Bear Stearns), 3.96%, due 10/4/07 | VMIG1 | 6,500 | ñ�� |
See Notes to Schedule of Investments
114
PRINCIPAL AMOUNT SECURITY@@ | RATING‡‡ | VALUE†† | |||||||
(000's omitted) | Moody's | S&P | (000's omitted) | ||||||
$19,945 | Puttable Floating Option Tax Exempt Receipts (Floaters), Ser. 2007-4391, (LOC: Dexia Credit Locale de France), 4.00%, due 10/4/07 | VMIG1 | $19,945 | µ | |||||
300 | Wisconsin St. Hlth. & Ed. Fac. Au. Rev. (Beloit College Proj.), Ser. 2007, (XLCA Insured), 4.05%, due 10/1/07 | A-1+ | 300 | µßd | |||||
2,600 | Wisconsin St. Hlth. & Ed. Fac. Au. Rev. (Fort Healthcare Inc.), Ser. 2007 A, (LOC: JP Morgan Chase), 4.08%, due 10/1/07 | A-1+ | 2,600 | µß | |||||
7,500 | Wisconsin St. Hlth. & Ed. Fac. Au. Rev. (Gundersen Lutheran), Ser. 2000 A, (FSA Insured), 4.05%, due 10/1/07 | A-1+ | 7,500 | µßl | |||||
200 | Wisconsin St. Hlth. & Ed. Fac. Au. Rev. (Meriter Hosp., Inc. Proj.), Ser. 2002, (LOC: Marshall & Ilsley), 4.10%, due 10/1/07 | A-1 | 200 | µß | |||||
37,470 | |||||||||
Total Investments (98.4%) | 567,279 | ||||||||
Cash, receivables and other assets, less liabilities (1.6%) | 8,945 | ||||||||
Total Net Assets (100.0%) | $576,224 |
See Notes to Schedule of Investments
115
Notes to Schedule of Investments Institutional Liquidity
Trust (Unaudited)
†† | Investment securities are valued at amortized cost, which approximates U.S. federal income tax cost. |
@@ | Municipal securities held by Municipal Master Series and Tax-Exempt Master Series are within the two highest rating categories assigned by a nationally recognized statistical rating organization ("NRSRO") such as Moody's Investors Service, Inc. or Standard & Poor's or, where not rated, are determined by the master series' investment manager to be of comparable quality. Approximately 90.9% and 89.1% of the municipal securities held by Municipal Master Series and Tax-Exempt Master Series, respectively, have credit enhancement features backing them, which the funds may rely on, such as letters of credit, insurance, or guarantees. Without these credit enhancement features the securities may or may not meet the quality standards of the fund. Pre-refunded bonds are supported by securities in escrow issued or guaranteed by the U.S. Government, its agencies, or instrumentalities. The amount escrowed is sufficient to pay the periodic interest due and the principal of these bonds. Putable bonds give the funds the right to sell back the issue on the date specified. |
‡‡ | Where no rating appears from any NRSRO, the security is deemed unrated for purposes of Rule 2a-7 under the Investment Company Act of 1940, as amended. Each of these securities is an eligible security based on a comparable quality analysis performed by the Master Series' investment manager. |
ñ | Restricted security subject to restrictions on resale under federal securities laws. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers under Rule 144A and have been deemed by the investment manager to be liquid. At September 30, 2007, these securities amounted to approximately $749,378,000 or 28.7% of net assets for Money Market Master Series, approximately $2,274,087,000 or 16.2% of net assets for Prime Master Series, approximately $200,070,000 or 9.3% of net assets for Tax-Exempt Master Series and approximately $22,480,000 or 3.9% of net assets for Municipal Master Series. |
ß | Security is guaranteed by the corporate or non-profit obligor. |
µ | Floating rate securities are securities whose yields vary with a designated market index or market rate. These securities are shown at their current rates as of September 30, 2007. |
Ø | All or a portion of this security was purchased on a when-issued basis. At September 30, 2007, these securities amounted to $20,020,000 for Government Reserves Master Series and $18,484,000 for Tax-Exempt Master Series, respectively. |
ØØ | All or a portion of this security is segregated as collateral for when-issued purchase commitments. |
a | Security is subject to a guarantee provided by ABN AMRO Bank NV, backing 100% of the total principal. |
b | Security is subject to a guarantee provided by Banco Santander, backing 100% of the total principal. |
c | Security is subject to a guarantee provided by Bank of America, backing 100% of the total principal. |
d | Security is subject to a guarantee provided by Bank of New York, backing 100% of the total principal. |
e | Security is subject to a guarantee provided by Bear Stearns, backing 100% of the total principal. |
f | Security is subject to a guarantee provided by Calyon Bank, backing 100% of the total principal. |
g | Security is subject to a guarantee provided by Chase Bank, backing 100% of the total principal. |
h | Security is subject to a guarantee provided by Citibank, N.A., backing 100% of the total principal. |
i | Security is subject to a guarantee provided by Citigroup Global Markets, backing 100% of the total principal. |
j | Security is subject to a guarantee provided by Depfa Bank PLC, backing 100% of the total principal. |
116
Notes to Schedule of Investments Institutional Liquidity Trust (Unaudited) (cont'd)
k | Security is subject to a guarantee provided by Deutsche Bank, backing 100% of the total principal. |
l | Security is subject to a guarantee provided by Dexia Credit Locale de France, backing 100% of the total principal. |
m | Security is subject to a guarantee provided by Goldman Sachs, backing 100% of the total principal. |
n | Security is subject to a guarantee provided by Harris Trust & Savings Bank, backing 100% of the total principal. |
o | Security is subject to a guarantee provided by JP Morgan Chase, backing 100% of the total principal. |
p | Security is subject to a guarantee provided by Landesbank Hessen-Thveringen Girozentrale, backing 100% of the total principal. |
q | Security is subject to a guarantee provided by Lloyd's Bank, backing 100% of the total principal. |
r | Security is subject to a guarantee provided by Merrill Lynch Capital Markets, backing 100% of the total principal. |
s | Security is subject to a guarantee provided by Morgan Stanley, backing 100% of the total principal. |
t | Security is subject to a guarantee provided by Societe Generale, backing 100% of the total principal. |
u | Security is subject to a guarantee provided by U.S. Bank, backing 100% of the total principal. |
v | Security is subject to a guarantee provided by Wachovia Bank & Trust Co., backing 100% of the total principal. |
117
Statements of Assets and Liabilities (Unaudited)
Institutional Liquidity Trust
(000's omitted)
MONEY MARKET MASTER SERIES | PRIME MASTER SERIES | ||||
September 30, 2007 | September 30, 2007 | ||||
Assets | |||||
Investments in securities, at value* (Note A)-see Schedule of Investments: | |||||
Unaffiliated issuers | $2,316,543 | $11,584,242 | |||
Repurchase agreements | 286,000 | 2,465,100 | |||
2,602,543 | 14,049,342 | ||||
Cash | 564 | 565 | |||
Interest receivable | 10,818 | 29,282 | |||
Receivable for securities sold | - | - | |||
Prepaid expenses and other assets | 116 | 133 | |||
Total Assets | 2,614,041 | 14,079,322 | |||
Liabilities | |||||
Payable for securities purchased | - | - | |||
Payable to investment manager-net (Note B) | 179 | 898 | |||
Accrued expenses and other payables | 113 | 8 | |||
Total Liabilities | 292 | 906 | |||
Net Assets Applicable to investors' beneficial interests | $2,613,749 | $14,078,416 | |||
Net Assets consist of: | |||||
Paid-in capital | $2,613,749 | $14,078,416 | |||
*Cost of investments: | |||||
Unaffiliated issuers | $2,602,543 | $14,049,342 | |||
See Notes to Financial Statements
118
GOVERNMENT MASTER SERIES | GOVERNMENT RESERVES MASTER SERIES | TREASURY MASTER SERIES | TAX-EXEMPT MASTER SERIES | MUNICIPAL MASTER SERIES | ||||
September 30, 2007 | September 30, 2007 | September 30, 2007 | September 30, 2007 | September 30, 2007 | ||||
$499,545 | $318,546 | $34,875 | $2,111,103 | $567,279 | ||||
520,500 | - | 721,000 | - | - | ||||
1,020,045 | 318,546 | 755,875 | 2,111,103 | 567,279 | ||||
405 | 44 | 78 | 45,044 | 5,508 | ||||
2,767 | 762 | 852 | 15,738 | 3,291 | ||||
- | - | - | 931 | 194 | ||||
25 | - | 25 | 109 | - | ||||
1,023,242 | 319,352 | 756,830 | 2,172,925 | 576,272 | ||||
- | 20,162 | - | 18,487 | - | ||||
62 | 21 | 49 | 96 | 26 | ||||
30 | 33 | 26 | 4 | 22 | ||||
92 | 20,216 | 75 | 18,587 | 48 | ||||
$1,023,150 | $299,136 | $756,755 | $2,154,338 | $576,224 | ||||
$1,023,150 | $299,136 | $756,755 | $2,154,338 | $576,224 | ||||
$1,020,045 | $318,546 | $755,875 | $2,111,103 | $567,279 | ||||
119
Statements of Operations (Unaudited)
Institutional Liquidity Trust
(000's omitted)
MONEY MARKET MASTER SERIES | PRIME MASTER SERIES | |||||
For the Six Months Ended September 30, 2007 | For the Six Months Ended September 30, 2007 | |||||
Investment Income | ||||||
Income: | ||||||
Interest income-unaffiliated issuers (Note A) | $65,922 | $298,501 | ||||
Expenses: | ||||||
Investment management fees (Note B) | 980 | 4,441 | ||||
Audit fees | 15 | 11 | ||||
Custodian fees (Note B) | 256 | 638 | ||||
Insurance expense | 36 | 104 | ||||
Legal fees | 1 | 1 | ||||
Rating agency fees | - | 10 | ||||
Shareholder reports | 3 | 3 | ||||
Trustees' fees and expenses | 13 | 14 | ||||
Miscellaneous | 36 | 101 | ||||
Total expenses | 1,340 | 5,323 | ||||
Investment management fees waived (Note B) | - | - | ||||
Expenses reduced by custodian fee expense offset arrangement (Note B) | (67 | ) | (129 | ) | ||
Total net expenses | 1,273 | 5,194 | ||||
Net investment income | $64,649 | $293,307 | ||||
Realized and Unrealized Gain (Loss) on Investments (Note A) | ||||||
Net realized gain (loss) on: | ||||||
Sales of investment securities of unaffiliated issuers | (69 | ) | (120 | ) | ||
Net increase (decrease) in net assets resulting from operations | $64,580 | $293,187 | ||||
See Notes to Financial Statements
120
GOVERNMENT MASTER SERIES | GOVERNMENT RESERVES MASTER SERIES | TREASURY MASTER SERIES | TAX-EXEMPT MASTER SERIES | MUNICIPAL MASTER SERIES | ||||||||
For the Six Months Ended September 30, 2007 | Period from July 9, 2007 (Commencement of Operations) to September 30, 2007 | For the Six Months Ended September 30, 2007 | Period from September 10, 2007 (Commencement of Operations) to September 30, 2007 | Period from September 10, 2007 (Commencement of Operations) to September 30, 2007 | ||||||||
$18,961 | $2,784 | $12,071 | $4,585 | $1,271 | ||||||||
290 | 44 | 196 | 251 | 80 | ||||||||
16 | 10 | 5 | 5 | 13 | ||||||||
67 | 22 | 63 | 101 | 27 | ||||||||
8 | - | 2 | - | - | ||||||||
5 | 2 | 6 | 1 | 1 | ||||||||
4 | 1 | 4 | - | - | ||||||||
3 | 2 | 3 | - | - | ||||||||
13 | 6 | 13 | 1 | 1 | ||||||||
6 | - | 4 | 2 | 1 | ||||||||
412 | 87 | 296 | 361 | 123 | ||||||||
- | - | - | (156 | ) | (54 | ) | ||||||
(20 | ) | - | (21 | ) | (96 | ) | (22 | ) | ||||
392 | 87 | 275 | 109 | 47 | ||||||||
$18,569 | $2,697 | $11,796 | $4,476 | $1,224 | ||||||||
(6 | ) | - | 50 | 2 | 2 | |||||||
$18,563 | $2,697 | $11,846 | $4,478 | $1,226 | ||||||||
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Statements of Changes in Net Assets
Institutional Liquidity Trust
(000's omitted)
MONEY MARKET MASTER SERIES | ||||||
Six Months Ended September 30, 2007 (Unaudited) | Year Ended March 31, 2007 | |||||
Increase (Decrease) in Net Assets: | ||||||
From Operations: | ||||||
Net investment income (loss) | $64,649 | $129,526 | ||||
Net realized gain (loss) on investments | (69 | ) | (78 | ) | ||
Net increase (decrease) in net assets resulting from operations | 64,580 | 129,448 | ||||
Transactions in Investors' Beneficial Interest: | ||||||
Contribution from initial capitalization | - | - | ||||
Contributions | 4,493,841 | 5,640,176 | ||||
Withdrawals | (4,437,908 | ) | (5,506,910 | ) | ||
Net increase (decrease) from transactions in investors' beneficial interest | 55,933 | 133,266 | ||||
Net Increase (Decrease) in Net Assets | 120,513 | 262,714 | ||||
Net Assets: | ||||||
Beginning of period | 2,493,236 | 2,230,522 | ||||
End of period | $2,613,749 | $2,493,236 |
See Notes to Financial Statements
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PRIME MASTER SERIES | GOVERNMENT MASTER SERIES | |||||||||
Six Months Ended September 30, 2007 (Unaudited) | Year Ended March 31, 2007 | Six Months Ended September 30, 2007 (Unaudited) | Period from December 18, 2006 (Commencement of Operations) to March 31, 2007 | |||||||
$293,307 | $291,330 | $18,569 | $7,760 | |||||||
(120 | ) | (95 | ) | (6 | ) | - | ||||
293,187 | 291,235 | 18,563 | 7,760 | |||||||
- | - | - | 100 | |||||||
40,170,218 | 35,971,111 | 1,677,075 | 1,008,074 | |||||||
(32,867,793 | ) | (32,985,741 | ) | (1,442,247 | ) | (246,175 | ) | |||
7,302,425 | 2,985,370 | 234,828 | 761,999 | |||||||
7,595,612 | 3,276,605 | 253,391 | 769,759 | |||||||
6,482,804 | 3,206,199 | 769,759 | - | |||||||
$14,078,416 | $6,482,804 | $1,023,150 | $769,759 |
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Statements of Changes in Net Assets
Institutional Liquidity Trust
(000's omitted)
GOVERNMENT RESERVES MASTER SERIES | |||
Period from July 9, 2007 (Commencement of Operations) to September 30, 2007 | |||
(Unaudited) | |||
Increase (Decrease) in Net Assets: | |||
From Operations: | |||
Net investment income (loss) | $2,697 | ||
Net realized gain (loss) on investments | - | ||
Net increase (decrease) in net assets resulting from operations | 2,697 | ||
Transactions in Investors' Beneficial Interest: | |||
Contribution from initial capitalization | - | ||
Contributions | 434,591 | ||
Withdrawals | (138,152 | ) | |
Net increase (decrease) from transactions in investors' beneficial interest | 296,439 | ||
Net Increase (Decrease) in Net Assets | 299,136 | ||
Net Assets: | |||
Beginning of period | - | ||
End of period | $299,136 |
See Notes to Financial Statements
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TREASURY MASTER SERIES | TAX-EXEMPT MASTER SERIES | MUNICIPAL MASTER SERIES | ||||||||
Six Months Ended September 30, 2007 (Unaudited) | Period from December 18, 2006 (Commencement of Operations) to March 31, 2007 | Period from September 10, 2007 (Commencement of Operations) to September 30, 2007 (Unaudited) | Period from September 10, 2007 (Commencement of Operations) to September 30, 2007 (Unaudited) | |||||||
$11,796 | $6,723 | $4,476 | $1,224 | |||||||
50 | - | 2 | 2 | |||||||
11,846 | 6,723 | 4,478 | 1,226 | |||||||
- | - | - | - | |||||||
997,527 | 814,761 | 2,882,228 | 766,441 | |||||||
(708,859 | ) | (365,243 | ) | (732,368 | ) | (191,443 | ) | |||
288,668 | 449,518 | 2,149,860 | 574,998 | |||||||
300,514 | 456,241 | 2,154,338 | 576,224 | |||||||
456,241 | - | - | - | |||||||
$756,755 | $456,241 | $2,154,338 | $576,224 |
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Notes to Financial Statements Institutional Liquidity Trust (Unaudited)
Note A-Summary of Significant Accounting Policies:
1 | General: The Money Market Master Series, Prime Master Series, Government Master Series, Government Reserves Master Series, Treasury Master Series, Tax-Exempt Master Series and Municipal Master Series (individually a "Master Series," collectively, the "Master Series") are separate operating series of Institutional Liquidity Trust (the "Trust"), a Delaware statutory trust organized pursuant to a Trust Instrument dated October 1, 2004. The Trust is registered as a diversified, open-end management investment company under the Investment Company Act of 1940, as amended. Government Master Series had no operations until December 18, 2006 other than matters relating to its organization and the contribution of beneficial interest from the Institutional Class of Government Portfolio of $100,000 on December 4, 2006. Each of Government Reserves Master Series, Treasury Master Series, Tax-Exempt Master Series and Municipal Master Series had no operations until July 9, 2007, December 18, 2006, September 10, 2007 and September 10, 2007, respectively other than matters relating to its organization. |
Other investment companies sponsored by Neuberger Berman Management Inc. ("Management") and Lehman Brothers Asset Management LLC ("LBAM"), the sub-adviser to the Master Series, whose financial statements are not presented herein, also invest in the Master Series. |
The assets of each Master Series belong only to that Master Series, and the liabilities of each Master Series are borne solely by that Master Series and no other series of the Trust. |
The preparation of financial statements in accordance with U.S. generally accepted accounting principles requires Management to make estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. |
2 | Portfolio valuation: Investment securities are valued as indicated in the notes following the Master Series' Schedule of Investments. |
3 | Securities transactions and investment income: Securities transactions are recorded on trade date for financial reporting purposes. Interest income, including accretion of discount (adjusted for original issue discount, where applicable), and amortization of premium, where applicable, is recorded on the accrual basis. Realized gains and losses from securities transactions are recorded on the basis of identified cost and stated separately in the Statements of Operations. |
4 | Income tax information: It is the policy of the Money Market Master Series, Prime Master Series, Government Master Series, and Treasury Master Series, and it is the intention of Government Reserves Master Series, Tax-Exempt Master Series and Municipal Master Series, to comply with the requirements of the Internal Revenue Code. It is also the policy of the Money Market Master Series, Prime Master Series, Government Master Series, and Treasury Master Series, and the intention of Government Reserves Master Series, Tax-Exempt Master Series and Municipal Master Series to conduct their operations so that each of its investors that are regulated investment companies and invest substantially all of their net investable assets therein will continue to qualify as such for Money Market Master Series, Prime Master Series, Government Master Series, and Treasury Master Series and so that its investors will be able to qualify as a regulated investment company for Government Reserves Master Series, Tax-Exempt Master Series and Municipal Master Series. Each Master Series will be treated as a partnership for U.S. federal income tax purposes and is therefore not subject to U.S. federal income tax. |
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5 | Concentration of risk: Money Market Master Series and Prime Master Series normally concentrate in the financial services industries; therefore, factors influencing the health of those industries could have a significant negative effect on these Master Series' performance. These may include economic trends, governmental action, changes in interest rates, as well as the availability and cost of capital funds. |
6 | Expense allocation: Certain expenses are applicable to multiple funds. Expenses directly attributable to a Master Series are charged to that Master Series. Expenses of the Trust that are not directly attributed to a series of the Trust are allocated among the series of the Trust, on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the series can otherwise be made fairly. Expenses borne by the complex of related investment companies, which includes open-end and closed-end investment companies for which Management serves as investment manager, that are not directly attributed to a Master Series or the Trust, are allocated among the Master Series and the other investment companies in the complex or series thereof, on the basis of relative net assets, except where a more appropriate allocation of expenses to each investment company in the complex or series thereof can otherwise be made fairly. |
7 | Repurchase agreements: Each Master Series may enter into repurchase agreements with institutions that Management has determined are creditworthy. Each repurchase agreement is recorded at cost. Each Master Series requires that the securities purchased in a repurchase agreement be transferred to the custodian in a manner sufficient to enable the Master Series to assert a perfected security interest in those securities in the event of a default under the repurchase agreement. Each Master Series monitors, on a daily basis, the value of the securities transferred to ensure that their value, including accrued interest, is greater than amounts owed to the Master Series under each such repurchase agreement. |
8 | Indemnifications: Like many other companies, the Trust's organizational documents provide that its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, both in some of its principal service contracts and in the normal course of its business, the Trust enters into contracts that provide indemnifications to other parties for certain types of losses or liabilities. The Trust's maximum exposure under these arrangements is unknown as this could involve future claims against the Trust. |
Note B-Management Fees and Other Transactions with Affiliates:
Each Master Series retains Management as its investment manager under a Management Agreement. For such investment management services, each Master Series (except Tax-Exempt and Municipal) pays Management a fee at the annual rate of 0.08% of its average daily net assets. Tax-Exempt and Municipal pay Management a fee at the annual rate of 0.25% of the first $500 million of average daily net assets, 0.225% of the next $500 million, 0.20% of the next $500 million, 0.175% of the next $500 million, and 0.15% of average daily net assets in excess of $2 billion. Management contractually agreed to waive its management fee so that the management fee was 0.08% of its average daily net assets for Tax-Exempt and Municipal. For the period ended September 30, 2007, such waived fees amounted to $155,568 for Tax-Exempt and $54,293 for Municipal, respectively. |
Management and LBAM, the sub-adviser to the Master Series, are wholly-owned subsidiaries of Lehman Brothers Holdings Inc., a publicly-owned holding company. LBAM is retained by Management to provide day-to-day investment management services. LBAM, as sub-adviser to each Master Series, receives a monthly fee paid by Management, based on an annual rate of each Master Series' average daily net assets. The Master Series do not pay a fee directly to LBAM for such services. As investment adviser, Management is responsible for overseeing the investment activities of LBAM. Several individuals who are officers and/or trustees of the Trust are also employees of LBAM and/or Management. |
Each Master Series has an expense offset arrangement in connection with its custodian contract. For the six months ended September 30, 2007, the impact of this arrangement was a reduction of expenses of $67,219, $129,174, $20,040, $491, $21,185, $95,949 and $21,991 for Money Market Master Series, Prime Master Series, |
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Government Master Series, Government Reserves Master Series, Treasury Master Series, Tax-Exempt Master Series and Municipal Master Series, respectively. |
Note C-Securities Transactions:
All securities transactions for Money Market Master Series, Prime Master Series, Government Master Series, Government Reserves Master Series, Treasury Master Series, Tax-Exempt Master Series and Municipal Master Series, were short-term. |
Note D-Line of Credit:
On May 25, 2007 the Master Series became a participant in a single committed, unsecured $300,000,000 line of credit with State Street Bank and Trust Company ("State Street") and Bank of New York, as agent, to be used only for temporary or emergency purposes. Other investment companies managed by Management also participate in this line of credit on the same terms. Interest is charged on borrowings under this agreement at the overnight Federal Funds Rate plus 0.375% per annum. A commitment fee of 0.075% per annum of the unused available line of credit is charged, of which the Master Series has agreed to pay its pro rata share, based on the ratio of its individual net assets to the net assets of all participants at the time the fee is due and payable. The fee is paid quarterly in arrears. Because several investment companies participate, there is no assurance that an individual Master Series will have access to all or any part of the $300,000,000 at any particular time. |
On September 27, 2007 the Master Series became a participant in a single uncommitted, unsecured $150,000,000 line of credit with State Street, as lender, to be used only for temporary or emergency purposes. Other investment companies managed by Management also participate in this line of credit on the same terms. Interest is charged on borrowings under this agreement at the overnight Federal Funds Rate plus 0.375% per annum. Because several investment companies participate, there is no assurance that an individual Master Series will have access to all or any part of the $150,000,000 at any particular time. |
The Master Series had no loans outstanding pursuant to either line of credit at September 30, 2007. During the six months ended September 30, 2007, the Master Series did not utilize either line of credit. |
Note E-Recent Accounting Pronouncement:
In September 2006, Financial Accounting Standards Board ("FASB") issued FASB Statement No. 157, "Fair Value Measurement" ("SFAS 157"), which defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements. SFAS 157 is effective for fiscal years beginning after November 15, 2007, and interim periods within those fiscal years. Management believes the adoption of SFAS 157 will not have a material impact on the Master Series' financial position or results of operations. |
Note F-Unaudited Financial Information:
The financial information included in this interim report is taken from the records of each Master Series without audit by an independent registered public accounting firm. Annual reports contain audited financial statements. |
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Financial Highlights
Money Market Master Series
Six Months Ended September 30, 2007 (Unaudited) | Year Ended March 31, 2007 | Year Ended March 31, 2006 | Period from December 30, 2004^ to March 31, 2005 | |||||||||
Ratios to Average Net Assets: | ||||||||||||
Gross Expenses# | .11 | %* | .10 | % | .11 | % | .11 | %* | ||||
Net Expenses | .10 | %* | .10 | %‡ | .11 | %‡ | .11 | %*‡ | ||||
Net Investment Income (Loss) | 5.28 | %* | 5.14 | % | 3.72 | % | 2.38 | %* | ||||
Total Return† | +2.66 | %** | +5.27 | %@ | +3.87 | %@ | +0.63 | %**@ | ||||
Net Assets, End of Period (in millions) | $2,613.7 | $2,493.2 | $2,230.5 | $2,418.4 |
See Notes to Financial Highlights
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Financial Highlights
Prime Master Series
Six Months Ended September 30, 2007 (Unaudited) | Year Ended March 31, 2007 | Year Ended March 31, 2006 | Period from December 27, 2004^ to March 31, 2005 | |||||||||
Ratios to Average Net Assets: | ||||||||||||
Gross Expenses# | .10 | %* | .10 | % | .11 | % | .12 | % * | ||||
Net Expenses | .09 | %* | .10 | %‡ | .10 | %‡ | .11 | %*‡ | ||||
Net Investment Income (Loss) | 5.28 | %* | 5.19 | % | 3.78 | % | 2.43 | %* | ||||
Total Return† | +2.67 | %** | +5.29 | %@ | +3.87 | %@ | +0.66 | %**@ | ||||
Net Assets, End of Period (in millions) | $14,078.4 | $6,482.8 | $3,206.2 | $1,277.5 |
See Notes to Financial Highlights
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Financial Highlights
Government Master Series
Six Months Ended September 30, 2007 (Unaudited) | Period from December 18, 2006^ to March 31, 2007 | |||||
Ratios to Average Net Assets: | ||||||
Gross Expenses# | .11 | %* | .13 | %* | ||
Net Expenses | .11 | %* | .13 | %* | ||
Net Investment Income (Loss) | 5.12 | %* | 5.17 | %* | ||
Total Return† | +2.59 | %** | +1.49 | %** | ||
Net Assets, End of Period (in millions) | $1,023.2 | $769.8 |
See Notes to Financial Highlights
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Financial Highlights
Government Reserves Master Series
Period from July 9, 2007^ to September 30, 2007 (Unaudited) | |||
Ratios to Average Net Assets: | |||
Gross Expenses# | .16 | %* | |
Net Expenses | .16 | %* | |
Net Investment Income (Loss) | 4.95 | %* | |
Total Return† | +1.16 | %** | |
Net Assets, End of Period (in millions) | $299.1 |
See Notes to Financial Highlights
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Financial Highlights
Treasury Master Series
Six Months Ended September 30, 2007 (Unaudited) | Period from 2007 | |||||
Ratios to Average Net Assets: | ||||||
Gross Expenses# | .12 | %* | .12 | %* | ||
Net Expenses | .11 | %* | .12 | %* | ||
Net Investment Income (Loss) | 4.81 | %* | 5.05 | %* | ||
Total Return† | +2.47 | %** | +1.46 | %** | ||
Net Assets, End of Period (in millions) | $756.8 | $456.2 |
See Notes to Financial Highlights
133
Financial Highlights
Tax-Exempt Master Series
Period from September 10, 2007^ to September 30, 2007 (Unaudited) | |||
Ratios to Average Net Assets: | |||
Gross Expenses# | .17 | %* | |
Net Expenses‡ | .09 | %* | |
Net Investment Income (Loss) | 3.74 | %* | |
Total Return†@ | +0.21 | %** | |
Net Assets, End of Period (in millions) | $2,154.3 |
See Notes to Financial Highlights
134
Financial Highlights
Municipal Master Series
Period from September 10, 2007^ to September 30, 2007 (Unaudited) | |||
Ratios to Average Net Assets: | |||
Gross Expenses# | .21 | %* | |
Net Expenses‡ | .14 | %* | |
Net Investment Income (Loss) | 3.77 | %* | |
Total Return†@ | +0.22 | %** | |
Net Assets, End of Period (in millions) | $576.2 |
See Notes to Financial Highlights
135
Notes to Financial Highlights Institutional Liquidity Trust (Unaudited)
# | The Master Series is required to calculate an expense ratio without taking into consideration any expense reductions related to expense offset arrangements. |
‡ | After waiver of a portion of the investment management fee by Management. Had Management not undertaken such action, the annualized ratios of net expenses to average daily net assets would have been: |
Six Months Ended September 30, 2007 | Year Ended March 31, 2007 | Year Ended March 31, 2006 | Period Ended March 31, 2005 | |||||||||
Money Market Master Series | - | .12 | % | .13 | % | .13 | %(1) | |||||
Prime Master Series | - | .11 | % | .12 | % | .13 | %(2) | |||||
Tax-Exempt Master Series(3) | .22 | % | - | - | - | |||||||
Municipal Master Series(3) | .31 | % | - | - | - |
(1) | Period from December 30, 2004 (commencement of operations) to March 31, 2005. |
(2) | Period from December 27, 2004 (commencement of operations) to March 31, 2005. |
(3) | Period from September 10, 2007 (commencement of operations) to September 30, 2007. |
† | Total return for the Master Series has been calculated based on the total return for the feeder funds that invest all of their net investable assets in the Master Series. Total return assumes all distributions were reinvested and adjusted for the difference in expenses as set forth in the Notes to the Financial Statements of the feeder funds. Results represent past performance and do not guarantee future results. Current returns may be lower or higher than the performance data quoted. |
^ | The date investment operations commenced. |
* | Annualized. |
** | Not annualized. |
@ | Total return would have been lower had Management not waived a portion of the investment management fee. |
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Directory
Investment Manager, Administrator and Distributor
Neuberger Berman Management Inc.
605 Third Avenue, 2nd Floor
New York, NY 10158-0180
888.556.9030
Sub-Adviser
Lehman Brothers Asset Management LLC
200 South Wacker Drive
Suite 2100
Chicago, IL 60601
Custodian and Shareholder Servicing Agent
State Street Bank and Trust Company
225 Franklin Street
Boston, MA 02110
Legal Counsel
Kirkpatrick & Lockhart Preston Gates Ellis LLP
1601 K Street, NW
Washington, DC 20006
Independent Registered Public Accounting Firms
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
Tait, Weller & Baker LLP
1818 Market Street
Suite 2400
Philadelphia, PA 19103
137
Proxy Voting Policies and Procedures
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities is available, without charge, by calling 1-888-556-9030 (toll-free) and on the website of the Securities and Exchange Commission, at www.sec.gov. Information regarding how the Trust voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is also available, without charge, by calling 1-888-556-9030 (toll-free) and on the website of the Securities and Exchange Commission, at www.sec.gov.
Quarterly Portfolio Schedule
The Trust files a complete schedule of portfolio holdings for each Master Series with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. Each Trust's Forms N-Q are available on the Securities and Exchange Commission's website at www.sec.gov and may be reviewed and copied at the Securities and Exchange Commission's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The information on Form N-Q is available upon request, without charge, by calling 1-888-556-9030 (toll-free).
Board Consideration of the Management and Sub-Advisory Agreements (Money Market, Prime, Government and Treasury Portfolios and Master Series)
At a meeting held on September 27, 2007, the Board of Trustees of Institutional Liquidity Trust ("Board"), including the Trustees who are not "interested persons" of Neuberger Berman Management Inc. ("Management") (including its affiliates) or Institutional Liquidity Trust ("Independent Fund Trustees"), approved the continuance of the Management and Sub-Advisory Agreements ("Agreements") between Management and Institutional Liquidity Trust, on behalf of Money Market Master Series, Prime Master Series, Government Master Series and Treasury Master Series (each, a "Master Series"). Each of Money Market Portfolio, Prime Portfolio, Government Portfolio and Treasury Portfolio (each, a "Feeder Portfolio") invests all of its net investable assets in Money Market Master Series, Prime Master Series, Government Master Series and Treasury Master Series, respectively. The term "Fund" is used throughout this section to refer to each Feeder Portfolio or its corresponding Master Series, as appropriate.
In evaluating the Agreements, the Board, including the Independent Fund Trustees, reviewed materials furnished by Management and Lehman Brothers Asset Management LLC ("Lehman Brothers Asset Management") in response to questions submitted by counsel to the Independent Fund Trustees, and met with senior representatives of Management and Lehman Brothers Asset Management regarding their personnel and operations. The Independent Fund Trustees were advised by counsel that is experienced in Investment Company Act of 1940 matters and that is independent of Management and Lehman Brothers Asset Management. The Independent Fund Trustees received a memorandum from independent counsel discussing the legal standards for their consideration of the proposed continuance of the Agreements. They met with such counsel separately from representatives of Management to discuss the annual contract review. The annual contract review extends over two regular meetings of the Board to ensure that Management and Lehman Brothers Asset Management have time to respond to any questions the Independent Fund Trustees may have on their initial review of the report and that the Independent Fund Trustees have time to consider those responses. In addition, during this process, the Board held a separate meeting devoted to reviewing and discussing Fund performance.
The Board considered the following factors, among others, in connection with its approval of the continuance of the Agreements: (1) the nature, extent, and quality of the services provided by Management and Lehman Brothers Asset Management; (2) the performance of each Fund or similar funds managed by Management compared to a relevant market index and a peer group of investment companies; (3) the costs of the services provided and profits or losses realized by Management and its affiliates from their relationship with the Funds; (4) the extent to which economies of scale might be realized as each Fund grows; and (5) whether fee levels reflect any such potential economies of scale for the benefit of investors in each Fund. In their deliberations, the Board members did not identify any particular information that was all-important or controlling, and each Trustee may have attributed different weights to the various factors.
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The Board evaluated the terms of the Agreements, the overall fairness of the Agreements to each Fund and whether the Agreements were in the best interests of each Fund and its shareholders.
With respect to the nature, extent and quality of the services provided, the Board considered the performance of each Fund or similar funds managed by Management. The Board considered the experience and staffing of portfolio management and the investment research personnel of Management and Lehman Brothers Asset Management who perform services for the Funds. The Board noted that Management also provides certain administrative services, including fund accounting and compliance oversight. In addition, the Board noted the positive compliance history of Management, as the firm has been free of significant compliance problems.
With respect to the performance of Money Market Master Series and Prime Master Series, the Board considered the performance of each Fund relative to its benchmark and a peer group of investment companies pursuing broadly similar strategies. The Board also considered the previous performance of Management in managing Neuberger Berman Institutional Cash Fund, a former series of Lehman Brothers Income Funds and the predecessor to Neuberger Berman Institutional Cash Fund, a series of Neuberger Berman Institutional Liquidity Series, which also invests in Money Market Master Series. The Board also considered performance in relation to the degree of risk undertaken by the portfolio managers.
With respect to the performance of Government Master Series and Treasury Master Series, since each Fund had less than a year of performance information, the Board considered the performance of a broadly similar fund managed by Management relative to its benchmark and a peer group of investment companies pursuing broadly similar strategies as each Fund.
With respect to the overall fairness of the Agreements, the Board considered the fee structure for each Fund under the Agreements as compared to a peer group of comparable funds and any fall-out benefits likely to accrue to Management or Lehman Brothers Asset Management or their affiliates from their relationship with the Fund. The Board also considered the profitability of Management and its affiliates from their association with Money Market Master Series and Prime Master Series.
The Board reviewed a comparison of each Fund's management fee and overall expense ratio to a peer group of comparable funds. The Board considered the mean and median of the management fees and expense ratios of each peer group. In addition, the Board considered the contractual limits on Fund expenses undertaken by Management for the Funds. The Board noted that Management has also established voluntary limits which further reduce Fund expenses.
The Board considered whether there were other funds that were advised or sub-advised by Management or its affiliates or separate accounts managed by Management or its affiliates with similar investment objectives, policies and strategies as the Funds. The Board compared the fees charged to any separate accounts managed in a similar style to the fees charged to the Funds at various asset levels. The Board considered the appropriateness and reasonableness of the differences between the fees charged between each Fund and any such separate accounts and determined that the differences in fees were consistent with the management and other services provided.
The Board also evaluated any actual or anticipated economies of scale in relation to the services Management provides to each Fund. The Board considered the relatively low level of the management fee and the contractual and voluntary expense limits for each Fund.
In concluding that the benefits accruing to Management and its affiliates by virtue of their relationship to Money Market Master Series and Prime Master Series were reasonable in comparison with the costs of providing the investment advisory services and the benefits accruing to each Master Series, the Board reviewed specific data as to Management's profit or loss on each Master Series for a recent period and the trend in profit or loss over recent years. The Board did not review profitability data for Management of Government Master Series or Treasury Master Series because each Master Series has been operating for less than a year, but considered the profitability of a broadly comparable fund. The Board also carefully examined Management's cost allocation methodology and in recent years had an independent consultant review the methodology. It also reviewed an analysis from an independent data service on investment management profitability
139
margins. The Board recognized that Management should be entitled to earn a reasonable level of profits for services it provides to the Funds and, based on its review, concluded that Management's level of profitability was not excessive.
Conclusions
In approving the Agreements, the Board concluded that the terms of each Agreement are fair and reasonable and that approval of the Agreements is in the best interests of each Fund and its shareholders. In reaching this determination, the Board considered that Management and Lehman Brothers Asset Management could be expected to provide a high level of service to each Fund; that it retained confidence in Management's and Lehman Brothers Asset Management's capabilities to manage the Funds; that each Fund's fee structure appeared to the Board to be reasonable given the nature and quality of services provided; and that the benefits accruing to Management and its affiliates by virtue of their relationship to the Funds were reasonable in comparison with the costs of providing the investment advisory services and the benefits accruing to each Fund.
Board Consideration of the Management and Sub-Advisory Agreements (Government Reserves, Municipal and Tax-Exempt Portfolios and Master Series)
At a meeting held on September 27, 2006, the Board of Trustees of Institutional Liquidity Trust ("Board"), including the Trustees who are not "interested persons" of Neuberger Berman Management Inc. ("Management") (including its affiliates) or Institutional Liquidity Trust ("Independent Fund Trustees"), approved the Management and Sub-Advisory Agreements ("Agreements") between Management and Institutional Liquidity Trust, on behalf of Government Reserves Master Series, Municipal Master Series and Tax-Exempt Master Series (each, a "Master Series"). Additionally, at a meeting held on September 27, 2007, the Board approved the continuance of the Agreements, noting that the Master Series had been operational for only a very short period of time and the underlying factors supporting the initial approval of the Agreements remained the same. Each of Government Reserves Portfolio, Municipal Portfolio and Tax-Exempt Portfolio (each, a "Feeder Portfolio") invests all of its net investable assets in Government Reserves Master Series, Municipal Master Series and Tax-Exempt Master Series, respectively. The term "Fund" is used throughout this section to refer to each Feeder Portfolio or its corresponding Master Series, as appropriate.
In evaluating the Agreements, the Board, including the Independent Fund Trustees, reviewed materials furnished by Management and Lehman Brothers Asset Management LLC ("Lehman Brothers Asset Management") and met with senior representatives of Management and Lehman Brothers Asset Management regarding their personnel and operations. The Independent Fund Trustees were advised by counsel that is experienced in Investment Company Act of 1940 matters and that is independent of Management and Lehman Brothers Asset Management.
The Board considered the following factors, among others, in connection with its approval of the Agreements: (1) the nature, extent, and quality of the services to be provided by Management and Lehman Brothers Asset Management; (2) the performance of similar funds managed by Management compared to a relevant market index and a peer group of investment companies; (3) the costs of the services to be provided; (4) the extent to which economies of scale might be realized as each Fund grows; and (5) whether fee levels reflect any such potential economies of scale for the benefit of investors in each Fund. In their deliberations, the Board members did not identify any particular information that was all-important or controlling, and each Trustee may have attributed different weights to the various factors.
The Board evaluated the terms of the Agreements, the overall fairness of the Agreements to each Fund and whether the Agreements were in the best interests of each Fund and its shareholders.
With respect to the nature, extent and quality of the services provided, the Board considered the performance of similar funds managed by Management. The Board considered the experience and staffing of portfolio management and the investment research personnel of Management and Lehman Brothers Asset Management who would perform services for the Funds. The Board noted that Management also would provide certain administrative services, including fund accounting and compliance oversight. In addition, the Board noted the positive compliance history of Management, as the firm has been free of significant compliance problems.
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With respect to the performance of each Fund, the Board considered the performance of at least one similar fund managed by Management relative to its benchmark and a peer group of investment companies pursuing broadly similar strategies as the Fund.
With respect to the overall fairness of the Agreements, the Board considered the fee structure for each Fund under the Agreements as compared to a peer group of comparable funds and any fall-out benefits likely to accrue to Management or Lehman Brothers Asset Management or their affiliates from their relationship with the Fund.
The Board reviewed a comparison of each Fund's management fee and overall expense ratio to a peer group of comparable funds. The Board considered the mean and median of the management fees and expense ratios of each peer group. In addition, the Board considered the contractual limits on Fund expenses undertaken by Management for the Funds.
The Board considered whether there were other funds that were advised or sub-advised by Management or its affiliates or separate accounts managed by Management or its affiliates with similar investment objectives, policies and strategies as the Funds. The Board compared the fees charged to any advised and/or sub-advised funds managed in a similar style to the fees charged to the Funds at various asset levels. The Board considered the appropriateness and reasonableness of the differences between the fees charged between each Fund and any such advised and/or sub-advised funds and determined that the differences in fees were consistent with the management and other services provided.
The Board also evaluated any anticipated economies of scale in relation to the services Management provides to each Fund. The Board considered the relatively low level of the management fee and the contractual expense limit for each Fund.
Conclusions
In approving the Agreements, the Board concluded that the terms of each Agreement are fair and reasonable and that approval of the Agreements is in the best interests of each Fund and its shareholders. In reaching this determination, the Board considered that Management and Lehman Brothers Asset Management could be expected to provide a high level of service to each Fund; that each Fund's fee structure appeared to the Board to be reasonable given the nature and quality of services expected to be provided; and that the expected benefits accruing to Management and its affiliates by virtue of their relationship to the Funds were reasonable in comparison with the expected costs of providing the investment advisory services and the expected benefits accruing to each Fund.
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Investment manager: Neuberger Berman Management Inc.
Sub-adviser: Lehman Brothers Asset Management LLC
Neuberger Berman Management Inc.
605 Third Avenue, 2nd Floor
New York, NY 10158-0180
888.556.9030
Web site: www.lehman.com/lbilf
Statistics and projections in this report are derived from sources deemed to be reliable but cannot be regarded as a representation of future results of the Portfolios. This report is prepared for the general information of shareholders and is not an offer of shares of the Portfolios. Shares are sold only through the currently effective prospectus, which must precede or accompany this report.
H0600 11/07
Item 2. Code of Ethics
The Board of Trustees (“Board”) of Lehman Brothers Institutional Liquidity Funds (“Registrant”) adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions (“Code of Ethics”). For the period covered by this Form N-CSR, there were no amendments to the Code of Ethics and there were no waivers from the Code of Ethics granted to the Registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions.
A copy of the Code of Ethics is incorporated by reference to Lehman Brothers Reserve Liquidity Funds’ Form N-CSR, Investment Company Act file number 811-21716 (filed June 5, 2006). The Code of Ethics is also available, without charge, by calling 1-800-877-9700 (toll-free).
Item 3. Audit Committee Financial Expert
The Board has determined that the Registrant has three audit committee financial experts serving on its audit committee. The Registrant’s audit committee financial experts are Martha Goss, Howard Mileaf and George Morriss. Ms. Goss, Mr. Mileaf and Mr. Morriss are independent trustees as defined by Form N-CSR.
Item 4. Principal Accountant Fees and Services
Only required in an annual report.
Item 5. Audit Committee of Listed Registrants
Not applicable to the Registrant.
Item 6. Schedule of Investments
The complete schedule of investments for each series of the "master" fund in which the Registrant invests, Institutional Liquidity Trust, is disclosed in the Registrant's semi-annual report, which is included as Item 1 of this Form N-CSR.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable to the Registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable to the Registrant.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable to the Registrant.
Item 10. Submission of Matters to a Vote of Security Holders
There were no changes to the procedures by which shareholders may recommend nominees to the Board.
Item 11. Controls and Procedures
(a)
Based on an evaluation of the disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “Act”)) as of a date within 90 days of the filing date of this document, the Chief Executive Officer and Treasurer and Principal Financial and Accounting Officer of the Registrant have concluded that such disclosure controls and procedures are effectively designed to ensure that information required to be disclosed by the Registrant on Form N-CSR and Form N-Q is accumulated and communicated to the Registrant’s management to allow timely decisions regarding required disclosure.
(b)
There were no significant changes in the Registrant’s internal controls over financial reporting (as defined in rule 30a-3(d) under the Act) that occurred during the Registrant’s second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 12. Exhibits
(a)(1)
A copy of the Code of Ethics is incorporated by reference to Lehman Brothers Reserve Liquidity Funds’ Form N-CSR, Investment Company Act file number 811-21716 (filed June 5, 2006).
(a)(2)
The certifications required by Rule 30a-2(a) of the Act and Section 302 of the Sarbanes-Oxley Act of 2002 (“Sarbanes-Oxley Act”) are filed herewith.
(a)(3)
Not applicable to the Registrant.
(b)
The certifications required by Rule 30a-2(b) of the Act and Section 906 of the Sarbanes-Oxley Act are filed herewith.
The certifications provided pursuant to Rule 30a-2(b) of the Act and Section 906 of the Sarbanes-Oxley Act are not deemed “filed” for purposes of Section 18 of the Securities Exchange Act of 1934 (“Exchange Act”), or otherwise subject to the liability of that section. Such certifications will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the Registrant specifically incorporates them by reference.
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.
LEHMAN BROTHERS INSTITUTIONAL LIQUIDITY FUNDS
By:
/s/ Peter E. Sundman
Peter E. Sundman
Chief Executive Officer
Date: November, 2007
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By:
/s/ Peter E. Sundman
Peter E. Sundman
Chief Executive Officer
Date: November 29, 2007
By:
/s/ John M. McGovern
John M. McGovern
Treasurer and Principal Financial
and Accounting Officer
Date: November 29, 2007