As filed with the Securities and Exchange Commission on June 9, 2008
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: March 31, 2008
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 20549-0609. 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 |
Annual Report
March 31, 2008
Contents
©2008 Lehman Brothers Asset Management LLC All rights reserved.
Chairman’s Letter
I am pleased to present to you this annual report for the Lehman Brothers Institutional Liquidity Funds for the fiscal year ended March 31, 2008. The report includes portfolio commentaries, a listing of the portfolios’ investments, and their audited financial statements for the reporting period.
The fiscal period was marked by extreme volatility, initially related to the housing decline, which spilled over into the fixed income markets in the form of significant issues with subprime mortgage securities, before broadening to other securities. During the fiscal year, the Federal Reserve cut the Fed Funds rate by a total of 300 basis points, taking an array of increasingly aggressive steps to infuse the markets with liquidity. Still, employment and other metrics appeared weak at period’s end, with many observers suggesting that the economy was in recession.
Throughout the turmoil, our portfolios performed admirably. 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 Commentaries
TICKER SYMBOLS
| | |
| | |
MONEY MARKET PORTFOLIO Institutional Class: LBBXX Cash Management Class: LBDXX Capital Class: LBFXX Select Class: LBGXX Administrative Class: LBHXX Service Class: LBJXX Premier Class: LBKXX | | PRIME PORTFOLIO Institutional Class: LBLXX Cash Management Class: LBQXX Capital Class: LBSXX Select Class: LBVXX Administrative Class: LBWXX Service Class: LBYXX Premier Class: LBZXX |
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 fiscal year ended March 31, 2008.
The Federal Reserve’s interest rate policy was on hold for the first four months of the 12-month period, with the target Fed Funds rate at 5.25%. In April, a demand and supply imbalance drove the yield on the three-month U.S. Treasury bill to its lowest level since October 2006, and the yield dropped lower still in June as prices increased. 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.
Beginning in July, investors in the credit markets 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. After leaving rates unchanged at the August meeting, the release in September of the August payroll figures, which were negative for the first time in four years, coupled with a deteriorating housing market, prompted the Fed to reduce 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 Fed reduction.
This move was followed by two further 25-basis-point rate cuts in October and December, as the Fed attempted to “forestall some of the adverse effects on the broader economy that might otherwise arise from disruptions in the financial markets.”
In January, in a move that appeared to catch the market by surprise, the Fed acted in aggressive fashion to take rates lower, with a 75-basis-point cut one week prior to its scheduled meeting, and an additional 50-basis-point cut at month-end. This temporarily silenced criticism of Fed Chairman Ben Bernanke and the Fed that they were behind the curve in dealing with liquidity issues. The intermeeting cut was the first since 2001 and was the largest in nearly 25 years. The rate reductions seemed to be confirmation that the Fed believed that the liquidity crisis had advanced into an economic crisis, and that the U.S. economy was teetering on the brink of recession.
Volatility continued in February, as “deleveraging” continued to be the operative word and the market struggled to absorb the overwhelming supply of debt securities. Traditional valuation methods and market pricing on certain types of assets suffered an extreme disconnect, with prices declining precipitously, driven by the supply-demand imbalance and the uncertainty generated by markets entering uncharted territory.
March brought further actions by the Fed, which included lowering the Fed Funds rate by an additional 75 basis points (despite two dissenting votes) and opened a new lending program to investment firms serving as “primary dealers.”
At the time of this writing, supply continues to hit the credit markets faster than demand can absorb it. Amid continued jobs losses, higher mortgage delinquency rates and falling home prices, consumer balance sheets are on precarious ground. We believe that the Fed will very likely continue this easing cycle, perhaps taking rates below 2.00% as “insurance” against a more pronounced slowdown.
2
Money Market Portfolio
For the fiscal year ended March 31, 2008, the Money Market Portfolio Institutional Class returned 4.99% compared to the iMoneyNet Money Fund Report Taxable First Tier Institutional Average’s 4.71%. The Portfolio closed the period with a 3.14% seven-day current yield and a 3.19% seven-day effective yield; these more closely reflects current earnings than one-year figures. (Performance information for the other classes of the Portfolio is available in the chart following this commentary.)
The average weighted average maturity of the Portfolio was an average of 46 days for the fiscal year. The maturity declined for the period, and now stands at 38.8 days at the end of March. As increasingly negative economic numbers and ongoing issues in the credit markets forced the Federal Reserve to continue to lower interest rates, we purchased commercial paper and certificates of deposit issued by highly rated banks, which ranged in maturity from overnight to six months. Our conservative guidelines and stringent credit policies enabled us to avoid products and issuers that experienced problems during the year. The Portfolio remains invested in high quality, highly liquid issuers with almost 73% of the Portfolio in A-1+ rated securities.
MONEY MARKET MASTER SERIES
Maturity Diversification (% by Maturity)
| | | |
| 1 - 7 Days | | 17.7 | % |
| 8 - 30 Days | | 40.9 | |
| 31 - 90 Days | | 29.8 | |
| 91 - 180 Days | | 11.6 | |
| 181+ Days | | 0.0 | |
Prime Portfolio
For the fiscal year ended March 31, 2008, the Prime Portfolio Institutional Class returned 4.95% compared to the iMoneyNet Money Fund Report Taxable First Tier Institutional Average’s 4.71%. The Portfolio closed the period with a 3.05% seven-day current yield and a 3.10% seven-day effective yield; these more closely reflects current earnings than one-year figures. (Performance information for the other classes of the Portfolio is available in the chart following this commentary.)
The weighted average maturity of the Portfolio decreased during the period, reflecting a decline in the first half followed by intermittent increases and declines in the second. At the end of March, the weighted average maturity stood at 41.2 days. We purchased commercial paper and certificates of deposit issued by highly rated banks with maturities ranging from one to six months, in response to the continued likelihood that the Federal Reserve would lower rates. The Portfolio remains invested in high quality issuers with over 75% of the Portfolio invested in A-1+ names and the remaining in A-1 rated.
PRIME MASTER SERIES
| | | |
Maturity Diversification (% by Maturity) | |
| 1 - 7 Days | | 27.5 | % |
| 8 - 30 Days | | 23.9 | |
| 31 - 90 Days | | 34.7 | |
| 91 - 180 Days | | 13.6 | |
| 181+ Days | | 0.3 | |
Sincerely,
JOHN C. DONOHUEAND TIMOTHY J. ROBEY
PORTFOLIO CO-MANAGERS
An investment in the Portfolio is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Portfolio seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Portfolio.
The composition, industries and holdings of the Portfolio are subject to change. Investment return will fluctuate. Past performance is no guarantee of future results.
3
PERFORMANCE HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| The seven-day current and seven-day effective yields as of March 31, 2008 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 | | 3.14% | | 3.19% | | 3.09% | | 3.14% | | 3.04% | | 3.09% | | 2.99% | | 3.03% | | 2.89% | | 2.93% | | 2.74% | | 2.78% | | 2.64% | | 2.67% |
| | | | | | | | | | | | | | |
| Prime Portfolio | | 3.05% | | 3.10% | | 3.00% | | 3.04% | | 2.95% | | 2.99% | | 2.90% | | 2.94% | | 2.80% | | 2.84% | | 2.65% | | 2.68% | | 2.55% | | 2.58% |
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 Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in each Fund.
As stated in the Fund’s most recent prospectus, the estimated total annual fund operating expense ratios for fiscal year end of the Money Market Portfolio were 0.71%, 1.91%, 1.96%, 2.01%, 2.11%, 2.26% and 2.36% for Institutional, Cash Management, Capital, Select, Administrative, Service and Premier Class, respectively (prior to any fee waivers or expense reimbursements). The net expense ratios were 0.20%, 0.25%, 0.30%, 0.35%, 0.45%, 0.60% and 0.70% for Institutional, Cash Management, Capital, Select, Administrative, Service and Premier Class, respectively. Neuberger Berman has contractually agreed to limit certain expenses of the Portfolio through 3/31/2010 for all class shares.
As stated in the Fund’s most recent prospectus, the estimated total annual fund operating expense ratios for fiscal year end of the Prime Portfolio were 0.26%, 0.56%, 0.61%, 0.66%, 0.76%, 0.91% and 0.89% for Institutional, Cash Management, Capital, Select, Administrative, Service and Premier Class, respectively (prior to any fee waivers or expense reimbursements). The net expense ratios were 0.20%, 0.25%, 0.30%, 0.35%, 0.45%, 0.60% and 0.70% for Institutional, Cash Management, Capital, Select, Administrative, Service and Premier Class, respectively. Neuberger Berman has contractually agreed to limit certain expenses of the Portfolio through 3/31/2010 for all class shares.
4
Institutional Liquidity Funds Commentaries
TICKER SYMBOLS
| | | | |
| | | |
| GOVERNMENT PORTFOLIO | | GOVERNMENT RESERVES PORTFOLIO | | TREASURY PORTFOLIO |
| | | |
Institutional Class: LHBXX Cash Management Class: LHCXX Capital Class: LHDXX Select Class: LHFXX Administrative Class: LHGXX Service Class: LHHXX Premier Class: LHJXX | | Institutional Class: LGAXX Cash Management Class: LGBXX Capital Class: LGCXX Select Class: LGDXX Administrative Class: LGEXX Service Class: LGFXX Premier Class: LGGXX | | Institutional Class: LHKXX Cash Management Class: LHLXX Capital Class: LHMXX Select Class: LHNXX Administrative Class: LHPXX Service Class: LHRXX Premier Class: LHSXX |
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 fiscal year ended March 31, 2008. The Government Reserves Portfolio Institutional Class delivered positive returns for the period from its inception on July 9, 2007 through March 31, 2008.
The Federal Reserve’s interest rate policy was on hold for the first four months of the 12-month period, with the target Fed Funds rate at 5.25%. In April, a demand and supply imbalance drove the yield on the three-month U.S. Treasury bill to its lowest level since October 2006, and the yield dropped lower still in June as prices increased. 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.
Beginning in July, investors in the credit markets 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. After leaving rates unchanged at the August meeting, the release in September of the August payroll figures, which were negative for the first time in four years, coupled with a deteriorating housing market, prompted the Fed to reduce 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 Fed reduction.
This move was followed by two further 25-basis-point rate cuts in October and December, as the Fed attempted to “forestall some of the adverse effects on the broader economy that might otherwise arise from disruptions in the financial markets.”
In January, in a move that appeared to catch the market by surprise, the Fed acted in aggressive fashion to take rates lower, with a 75-basis-point cut one week prior to its scheduled meeting, and an additional 50-basis-point cut at month-end. This temporarily silenced criticism of Fed Chairman Ben Bernanke and the Fed that they were behind the curve in dealing with liquidity issues. The intermeeting cut was the first since 2001 and was the largest in nearly 25 years. The rate reductions seemed to be confirmation that the Fed believed that the liquidity crisis had advanced into an economic crisis, and that the U.S. economy was teetering on the brink of recession.
Volatility continued in February, as “deleveraging” continued to be the operative word and the market struggled to absorb the overwhelming supply of debt securities. Traditional valuation methods and market pricing on certain types of assets suffered an extreme disconnect, with prices declining precipitously, driven by the supply-demand imbalance and the uncertainty generated by markets entering uncharted territory.
March brought further actions by the Fed, which included lowering the Fed Funds rate by an additional 75 basis points (despite two dissenting votes) and opened a new lending program to investment firms serving as “primary dealers.”
At the time of this writing, supply continues to hit the credit markets faster than demand can absorb it. Amid continued jobs losses, higher mortgage delinquency rates and falling home prices, consumer balance sheets are on precarious ground. We believe that the Fed will very likely continue this easing cycle, perhaps taking rates below 2.00% as “insurance” against a more pronounced slowdown.
5
Government Portfolio
For the fiscal year ended March 31, 2008, the Government Portfolio Institutional Class returned 4.73% compared to the iMoneyNet Money Fund Report Government & Agencies Institutional Average’s 4.44%. The Portfolio closed the period with a 2.84% seven-day current yield and a 2.88% seven-day effective yield; these more closely reflects current earnings than one-year figures. (Performance information for the other classes of the Portfolio is available in the chart following this commentary.)
The Portfolio is overweighted in floating rate notes, which reset according to one-month Libor, three-month Libor, and the Prime Rate. In addition, the Portfolio is heavily weighted in overnight repurchase agreements backed by 102% U.S Government securities. The weighted average maturity of the Portfolio was 49.1 days at the end of the period.
GOVERNMENT MASTER SERIES
Maturity Diversification (% by Maturity)
| | | |
| 1 - 7 Days | | 47.8 | % |
| 8 - 30 Days | | 19.4 | |
| 31 - 90 Days | | 18.4 | |
| 91 - 180 Days | | 5.9 | |
| 181+ Days | | 8.5 | |
Government Reserves Portfolio
For the period from inception through March 31, 2008, the Government Reserves Portfolio Institutional Class returned 3.23%. The Portfolio closed the period with a 2.62% seven-day current yield and a 2.65% seven-day effective yield; these more closely reflects current earnings than one-year figures. (Performance information for the other classes of the Portfolio is available in the chart following this commentary.)
The Portfolio is overweighted in tax-advantaged U.S. Government Agency floating rate notes, which reset according to one-month Libor, three-month Libor, and the Prime Rate. In addition, the Portfolio is also invested in other tax-advantaged U.S. Government Agency securities such as discount notes, coupon bonds and callable securities. The weighted average maturity of the Portfolio at the end of the period was 45.1 days.
GOVERNMENT RESERVES MASTER SERIES
Maturity Diversification (% by Maturity)
| | | |
| 1 - 7 Days | | 25.2 | % |
| 8 - 30 Days | | 35.2 | |
| 31 - 90 Days | | 29.5 | |
| 91 - 180 Days | | 3.5 | |
| 181+ Days | | 6.6 | |
Treasury Portfolio
For the fiscal year ended March 31, 2008, the Treasury Portfolio Institutional Class returned 4.20% compared to the iMoneyNet Money Fund Report Treasury & Repo Institutional Average’s 3.92%. The Portfolio closed the period with a 1.28% seven-day current yield and a 1.29% seven-day effective yield; these more closely reflects current earnings than one-year figures. (Performance information for the other classes of the Portfolio is available in the chart following this commentary.)
The Portfolio is heavily weighted in repurchase agreements backed by 102% of U.S. Treasury collateral. Over time, in our opinion, repurchase agreements offer incremental yield over Treasury issues such as bills and notes. The Portfolio’s average weighted average maturity over this period was short (approximately 12 days) and ended the period at 3.5 days, primarily due to the nature of repurchase agreements being mostly overnight transactions.
TREASURY MASTER SERIES
Maturity Diversification (% by Maturity)
| | | |
| 1 - 7 Days | | 84.4 | % |
| 8 - 30 Days | | 15.6 | |
| 31 - 90 Days | | 0.0 | |
| 91 - 180 Days | | 0.0 | |
| 181+ Days | | 0.0 | |
6
Sincerely,
JOHN C. DONOHUEAND SCOTT F. RIECKE
PORTFOLIO CO-MANAGERS
An investment in the Portfolio is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Portfolio seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Portfolio.
The composition, industries and holdings of the Portfolio are subject to change. Investment return will fluctuate. Past performance is no guarantee of future results.
PERFORMANCE HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| The seven-day current and seven-day effective yields as of March 31, 2008 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 |
| Government Portfolio | | 2.84% | | 2.88% | | 2.80% | | 2.84% | | 2.75% | | 2.79% | | 2.70% | | 2.74% | | 2.60% | | 2.63% | | 2.45% | | 2.48% | | 2.35% | | 2.38% |
| | | | | | | | | | | | | | |
| Government Reserves Portfolio | | 2.62% | | 2.65% | | 2.57% | | 2.60% | | 2.52% | | 2.55% | | 2.47% | | 2.50% | | 2.37% | | 2.40% | | 2.22% | | 2.24% | | 2.12% | | 2.14% |
| | | | | | | | | | | | | | |
| Treasury Portfolio | | 1.28% | | 1.29% | | 1.23% | | 1.24% | | 1.18% | | 1.19% | | 1.13% | | 1.14% | | 1.03% | | 1.04% | | 0.88% | | 0.88% | | 0.80% | | 0.80% |
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 Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in each Fund.
As stated in the Fund’s most recent prospectus, the estimated total annual fund operating expense ratios for fiscal year end of the Government Portfolio were 0.27%, 0.36%, 0.41%, 0.46%, 0.53%, 0.71% and 0.81% for Institutional, Cash Management, Capital, Select, Administrative, Service and Premier Class, respectively (prior to any fee waivers or expense reimbursements). The net expense ratios were 0.20%, 0.25%, 0.30%, 0.35%, 0.45%, 0.60% and 0.70% for Institutional, Cash Management, Capital, Select, Administrative, Service and Premier Class, respectively. Neuberger Berman has contractually agreed to limit certain expenses of the Portfolio through 3/31/2010 for all class shares.
As stated in the Fund’s most recent prospectus, the estimated total annual fund operating expense ratios for fiscal year end of the Government Reserves Portfolio were 0.80%, 0.85%, 0.90%, 0.95%, 1.05%, 1.20% and 1.30% for Institutional, Cash Management, Capital, Select, Administrative, Service and Premier Class, respectively (prior to any fee waivers or expense reimbursements). The net expense ratios were 0.20%, 0.25%, 0.30%, 0.35%, 0.45%, 0.60% and 0.70% for Institutional, Cash Management, Capital, Select, Administrative, Service and Premier Class, respectively. Neuberger Berman has contractually agreed to limit certain expenses of the Portfolio through 3/31/2010 for all class shares.
As stated in the Fund’s most recent prospectus, the estimated total annual fund operating expense ratios for fiscal year end of the Treasury Portfolio were 0.34%, 0.43%, 0.48%, 0.53%, 0.63%, 0.78% and 0.88% for Institutional, Cash Management, Capital, Select, Administrative, Service and Premier Class, respectively (prior to any fee waivers or expense reimbursements). The net expense ratios were 0.20%, 0.25%, 0.30%, 0.35%, 0.45%, 0.60% and 0.70% for Institutional, Cash Management, Capital, Select, Administrative, Service and Premier Class, respectively. Neuberger Berman has contractually agreed to limit certain expenses of the Portfolio through 3/31/2010 for all class shares.
7
Institutional Liquidity Funds Commentary
TICKER SYMBOLS
|
| |
TAX-EXEMPT PORTFOLIO Institutional Class: LHTXX Cash Management Class: LHUXX Capital Class: LHVXX Select Class: LHWXX Administrative Class: LHXXX Service Class: LHYXX Premier Class: LHZXX |
We are pleased to report that the Tax-Exempt Portfolio Institutional Class earned a positive return from its inception on September 10, 2007 through March 31, 2008.
Starting last summer, investors in the credit markets 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. After leaving rates unchanged at the August meeting, the release in September of the August payroll figures, which were negative for the first time in four years, coupled with a deteriorating housing market, prompted the Fed to reduce 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 Fed reduction.
This move was followed by two further 25-basis-point rate cuts in October and December, as the Fed attempted to “forestall some of the adverse effects on the broader economy that might otherwise arise from disruptions in the financial markets.”
In January, in a move that appeared to catch the market by surprise, the Fed acted in aggressive fashion to take rates lower, with a 75-basis-point cut one week prior to its scheduled meeting, and an additional 50-basis-point cut at month-end. This temporarily silenced criticism of Fed Chairman Ben Bernanke and the Fed that they were behind the curve in dealing with liquidity issues. The intermeeting cut was the first since 2001 and was the largest in nearly 25 years. The rate reductions seemed to be confirmation that the Fed believed that the liquidity crisis had advanced into an economic crisis, and that the U.S. economy was teetering on the brink of recession.
Volatility continued in February, as “deleveraging” continued to be the operative word and the market struggled to absorb the overwhelming supply of debt securities. Traditional valuation methods and market pricing on certain types of assets suffered an extreme disconnect, with prices declining precipitously, driven by the supply-demand imbalance and the uncertainty generated by markets entering uncharted territory.
March brought further actions by the Fed, which included lowering the Fed Funds rate by an additional 75 basis points (despite two dissenting votes) and opened a new lending program to investment firms serving as “primary dealers.”
At the time of this writing, supply continues to hit the credit markets faster than demand can absorb it. Amid continued jobs losses, higher mortgage delinquency rates and falling home prices, consumer balance sheets are on precarious ground. We believe that the Fed will very likely continue this easing cycle, perhaps taking rates below 2.00% as “insurance” against a more pronounced slowdown.
The most significant impact to the municipal money fund arena with regard to the ongoing credit crisis involved the downgrades of several mono-line insurers over the past six months. To avoid ineligibility under Rule 2a-7 of the Investment Company Act of 1940, most tax-exempt money funds were forced to sell their weaker insured holdings. As part of our conservative investment approach, we continued to monitor each of our insured issues and proactively disposed of any securities that we believed might not meet Rule 2a-7 credit eligibility requirements. In addition, we continue to monitor each of the securities in our portfolios to ensure their creditworthiness. With the U.S. economy facing a severe credit crisis and the threat of a recession becoming more likely, money fund yields plummeted over the past six months. The SIFMA Municipal Swap Index rate, a proxy for tax-free weekly resets, averaged 3.74% for the first half of the fiscal year but only 2.97% in the second half, registering an 77-basis-point decline. The weighted average maturity of the Portfolio at the end of the period was 43.3 days, and the Portfolio remained heavily invested in variable rate demand notes throughout the period.
8
Performance and Yield Information
For the period from inception of the Fund through March 31, 2008, the Tax-Exempt Portfolio Institutional Class returned 1.73%. The Portfolio closed the reporting period with a 2.32% seven-day current yield and a 2.35% seven-day effective yield as well as a 3.57% seven-day tax-equivalent current yield and a 3.63% tax-equivalent effective yield; these more closely reflect current earnings than the one-year figures. (Performance information for the other classes of the Portfolio is available in the chart following this commentary.)
TAX-EXEMPT MASTER SERIES
Maturity Diversification (% by Maturity)
| | | |
| 1 - 7 Days | | 83.4 | % |
| 8 - 30 Days | | 1.1 | |
| 31 - 90 Days | | 3.5 | |
| 91 - 180 Days | | 4.7 | |
| 181+ Days | | 7.3 | |
Sincerely,
WILLIAM J. FURRERAND KRISTIAN J. LIND
PORTFOLIO CO-MANAGERS
An investment in the Portfolio is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Portfolio seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Portfolio.
The composition, industries and holdings of the Portfolio are subject to change. Investment return will fluctuate. Past performance is no guarantee of future results.
PERFORMANCE HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | | | | | |
| The seven-day current, seven-day effective and seven-day tax-equivalent effective yields as of March 31, 2008 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 |
| Tax-Exempt Portfolio | | 2.32% | | 2.35% | | 3.63% | | 2.27% | | 2.30% | | 3.55% | | 2.22% | | 2.24% | | 3.48% | | 2.17% | | 2.19% | | 3.40% |
| | | 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 | | 2.07% | | 2.09% | | 3.23% | | 1.92% | | 1.94% | | 2.99% | | 1.82% | | 1.84% | | 2.84% | | | | | | |
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 Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in each Fund.
As stated in the Fund’s most recent prospectus, the estimated total annual fund operating expense ratios for fiscal year end of the Tax-Exempt Portfolio were 0.91%, 0.96%, 1.01%, 1.06%, 1.16%, 1.31% and 1.41% for Institutional, Cash Management, Capital, Select, Administrative, Service and Premier Class, respectively (prior to any fee waivers or expense reimbursements). The net expense ratios were 0.20%, 0.25%, 0.30%, 0.35%, 0.45%, 0.60% and 0.70% for Institutional, Cash Management, Capital, Select, Administrative, Service and Premier Class, respectively. Neuberger Berman has contractually agreed to limit certain expenses of the Portfolio through 3/31/2010 for all class shares.
9
Institutional Liquidity Funds Commentary
TICKER SYMBOLS
|
| |
MUNICIPAL PORTFOLIO Institutional Class: LMAXX Cash Management Class: LNBXX Capital Class: LMCXX Select Class: LMDXX Administrative Class: LMEXX Service Class: LMFXX Premier Class: LMGXX |
We are pleased to report that the Municipal Portfolio Institutional Class earned a positive return from its inception on September 10, 2007 through the fiscal year ended March 31, 2008.
Starting last summer, investors in the credit markets 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. After leaving rates unchanged at the August meeting, the release in September of the August payroll figures, which were negative for the first time in four years, coupled with a deteriorating housing market, prompted the Fed to reduce 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 Fed reduction.
This move was followed by two further 25-basis-point rate cuts in October and December, as the Fed attempted to “forestall some of the adverse effects on the broader economy that might otherwise arise from disruptions in the financial markets.”
In January, in a move that appeared to catch the market by surprise, the Fed acted in aggressive fashion to take rates lower, with a 75-basis-point cut one week prior to its scheduled meeting, and an additional 50-basis-point cut at month-end. This temporarily silenced criticism of Fed Chairman Ben Bernanke and the Fed that they were behind the curve in dealing with liquidity issues. The intermeeting cut was the first since 2001 and was the largest in nearly 25 years. The rate reductions seemed to be confirmation that the Fed believed that the liquidity crisis had advanced into an economic crisis, and that the U.S. economy was teetering on the brink of recession.
Volatility continued in February, as “deleveraging” continued to be the operative word and the market struggled to absorb the overwhelming supply of debt securities. Traditional valuation methods and market pricing on certain types of assets suffered an extreme disconnect, with prices declining precipitously, driven by the supply-demand imbalance and the uncertainty generated by markets entering uncharted territory.
March brought further actions by the Fed, which included lowering the Fed Funds rate by an additional 75 basis points (despite two dissenting votes) and opened a new lending program to investment firms serving as “primary dealers.”
At the time of this writing, supply continues to hit the credit markets faster than demand can absorb it. Amid continued jobs losses, higher mortgage delinquency rates and falling home prices, consumer balance sheets are on precarious ground. We believe that the Fed will very likely continue this easing cycle, perhaps taking rates below 2.00% as “insurance” against a more pronounced slowdown.
The most significant impact to the municipal money fund arena with regard to the ongoing credit crisis involved the downgrades of several mono-line insurers over the past six months. To avoid ineligibility under Rule 2a-7 of the Investment Company Act of 1940, most tax-exempt money funds were forced to sell their weaker insured holdings. As part of our conservative investment approach, we continued to monitor each of our insured issues and proactively disposed of any securities that we believed might not meet Rule 2a-7 credit eligibility requirements. In addition, we continue to monitor each of the securities in our portfolios to ensure their creditworthiness. With the U.S. economy facing a severe credit crisis and the threat of a recession becoming more likely, money fund yields plummeted over the past six months. The SIFMA Municipal Swap Index rate, a proxy for tax-free weekly resets, averaged 3.74% for the first half of the year but only 2.97% in the second half, registering an 77-basis-point drop. The weighted average maturity of the Portfolio at the end of the period was 30.6 days, and the Portfolio remained heavily invested in variable rate demand notes throughout the period.
10
Performance and Yield Information
For the period from inception through March 31, 2008, the Municipal Portfolio Institutional Class returned 1.79%. The Portfolio closed the period with a 2.55% seven-day current yield and a 2.58% seven-day effective yield; as well as a 3.92% seven-day tax-equivalent current yield and a 4.00% tax-equivalent effective yield; these more closely reflect current earnings than the one-year figures. (Performance information for the other classes of the Portfolio is available in the chart following this commentary.)
Sincerely,
WILLIAM J. FURRERAND KRISTIAN J. LIND
PORTFOLIO CO-MANAGERS
An investment in the Portfolio is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Portfolio seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Portfolio.
The composition, industries and holdings of the Portfolio are subject to change. Investment return will fluctuate. Past performance is no guarantee of future results.
PERFORMANCE HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | | | | | |
| The seven-day current, seven-day effective and seven-day tax-equivalent effective yields as of March 31, 2008 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 | | 2.55% | | 2.58% | | 4.00% | | 2.50% | | 2.53% | | 3.92% | | 2.45% | | 2.48% | | 3.84% | | 2.40% | | 2.43% | | 3.76% |
| | | | |
| | | 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 | | 2.30% | | 2.33% | | 3.60% | | 2.15% | | 2.17% | | 3.36% | | 2.05% | | 2.07% | | 3.20% | | | | | | |
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 Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in each Fund.
As stated in the Fund’s most recent prospectus, the estimated total annual fund operating expense ratios for fiscal year end of the Municipal Portfolio were 0.97%, 1.02%, 1.07%, 1.12%, 1.22%, 1.37% and 1.47% for Institutional, Cash Management, Capital, Select, Administrative, Service and Premier Class, respectively (prior to any fee waivers or expense reimbursements). The net expense ratios were 0.20%, 0.25%, 0.30%, 0.35%, 0.45%, 0.60% and 0.70% for Institutional, Cash Management, Capital, Select, Administrative, Service and Premier Class, respectively. Neuberger Berman has contractually agreed to limit certain expenses of the Portfolio through 3/31/2010 for all class shares.
MUNICIPAL MASTER SERIES
Maturity Diversification (% by Maturity)
| | | |
| 1 - 7 Days | | 82.7 | % |
| 8 - 30 Days | | 1.1 | |
| 31 - 90 Days | | 4.0 | |
| 91 - 180 Days | | 7.4 | |
| 181+ Days | | 4.8 | |
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 March 31, 2008, 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 March 31, 2008, 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 March 31, 2008, 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 |
12
| | 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 March 31, 2008, 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. In addition, Management also voluntarily reimbursed the Premier Class of Treasury Portfolio an additional 0.10%, 0.16%, 0.06% and 0.11% of the class’ net assets on March 19, 2008, March 20, 2008, March 24, 2008 and March 26, 2008, respectively. For the period ended March 31, 2008, 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 March 31, 2008, 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 |
13
| | 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. In addition, Management voluntarily reimbursed the Service Class of Treasury Portfolio 0.06% and 0.01% of the class’ net assets on March 20, 2008 and March 26, 2008, respectively. For the period ended March 31, 2008, if reimbursements were not made, performance would be lower for the Service Class of each Portfolio. |
| 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. |
14
Glossary of Indices
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. |
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. |
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. |
SIFMA Municipal Swap Index: | The Securities Industry and Financial Markets Association (SIFMA) Municipal Swap Index, produced by Municipal Market Data (MMD), is a 7-day high-grade market index comprised of tax-exempt VRDOs (Variable Rate Demand Obligations) from MMD’s extensive database. In order for an issue to qualify for inclusion in the index it must: be a weekly reset, effective on Wednesday (no lag resets considered); NOT be subject to Alternative Minimum Tax; have an outstanding amount of $10 million or more; have the highest short-term rating [VMIG1 by Moody’s or A-1+ by S&P]; and pay interest on a monthly basis, calculated on an actual/actual basis. In addition, only one quote per obligor per remarketing agent will be included in the index. Issues from all states are eligible for inclusion. The index is calculated on a weekly basis. The index was formerly known as The Bond Market Association (BMA)/PSA Municipal Swap Index. |
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.
15
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 six month period ended March 31, 2008 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. |
16
Expense Information As of 3/31/08 (Unaudited)
MONEY MARKET PORTFOLIO
| | | | | | | | |
| Actual | | Beginning Account
Value 10/1/07 | | Ending Account
Value 3/31/08 | | Expenses Paid During
the Period*
10/1/07 - 3/31/08 | | Expense
Ratio |
| Institutional Class | | $1,000.00 | | $1,022.70 | | $0.51 | | .10% |
| Cash Management Class | | $1,000.00 | | $1,022.40 | | $0.76 | | .15% |
| Capital Class | | $1,000.00 | | $1,022.20 | | $1.01 | | .20% |
| Select Class | | $1,000.00 | | $1,021.90 | | $1.26 | | .25% |
| Administrative Class | | $1,000.00 | | $1,021.40 | | $1.77 | | .35% |
| Service Class | | $1,000.00 | | $1,020.60 | | $2.53 | | .50% |
| Premier Class | | $1,000.00 | | $1,020.10 | | $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% |
PRIME PORTFOLIO
| | | | | | | | |
| Actual | | Beginning Account
Value 10/1/07 | | Ending Account
Value 3/31/08 | | Expenses Paid During
the Period*
10/1/07 - 3/31/08 | | Expense
Ratio |
| Institutional Class | | $1,000.00 | | $1,022.30 | | $0.51 | | .10% |
| Cash Management Class | | $1,000.00 | | $1,022.00 | | $0.76 | | .15% |
| Capital Class | | $1,000.00 | | $1,021.80 | | $1.01 | | .20% |
| Select Class | | $1,000.00 | | $1,021.50 | | $1.26 | | .25% |
| Administrative Class | | $1,000.00 | | $1,021.00 | | $1.77 | | .35% |
| Service Class | | $1,000.00 | | $1,020.30 | | $2.53 | | .50% |
| Premier Class | | $1,000.00 | | $1,019.80 | | $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% |
| * | 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. |
| ** | Hypothetical 5% annual return before expenses is calculated by multiplying the number of days in the most recent period divided by 366. |
17
GOVERNMENT PORTFOLIO
| | | | | | | | |
| Actual | | Beginning Account
Value 10/1/07 | | Ending Account
Value 3/31/08 | | Expenses Paid During
the Period*
10/1/07 - 3/31/08 | | Expense
Ratio |
| Institutional Class | | $1,000.00 | | $1,020.80 | | $0.51 | | .10% |
| Cash Management Class | | $1,000.00 | | $1,020.50 | | $0.76 | | .15% |
| Capital Class | | $1,000.00 | | $1,020.30 | | $1.01 | | .20% |
| Select Class | | $1,000.00 | | $1,020.00 | | $1.26 | | .25% |
| Administrative Class | | $1,000.00 | | $1,019.50 | | $1.77 | | .35% |
| Service Class | | $1,000.00 | | $1,018.70 | | $2.52 | | .50% |
| Premier Class | | $1,000.00 | | $1,018.20 | | $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% |
GOVERNMENT RESERVES PORTFOLIO
| | | | | | | | |
| Actual | | Beginning Account
Value 10/1/07 | | Ending Account
Value 3/31/08 | | Expenses Paid During
the Period*
10/1/07 - 3/31/08 | | Expense
Ratio |
| Institutional Class | | $1,000.00 | | $1,020.50 | | $0.51 | | .10% |
| Cash Management Class | | $1,000.00 | | $1,020.20 | | $0.76 | | .15% |
| Capital Class | | $1,000.00 | | $1,019.90 | | $1.01 | | .20% |
| Select Class | | $1,000.00 | | $1,019.70 | | $1.26 | | .25% |
| Administrative Class | | $1,000.00 | | $1,019.20 | | $1.77 | | .35% |
| Service Class | | $1,000.00 | | $1,018.40 | | $2.52 | | .50% |
| Premier Class | | $1,000.00 | | $1,017.90 | | $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% |
| * | 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. |
| ** | Hypothetical 5% annual return before expenses is calculated by multiplying the number of days in the most recent period divided by 366. |
18
TREASURY PORTFOLIO
| | | | | | | | |
| Actual | | Beginning Account
Value
10/1/07 | | Ending Account
Value
3/31/08 | | Expenses Paid During
the Period*
10/1/07 - 3/31/08 | | Expense
Ratio |
| Institutional Class | | $1,000.00 | | $1,016.90 | | $0.50 | | .10% |
| Cash Management Class | | $1,000.00 | | $1,016.60 | | $0.76 | | .15% |
| Capital Class | | $1,000.00 | | $1,016.40 | | $1.01 | | .20% |
| Select Class | | $1,000.00 | | $1,016.10 | | $1.26 | | .25% |
| Administrative Class | | $1,000.00 | | $1,015.60 | | $1.76 | | .35% |
| Service Class | | $1,000.00 | | $1,014.80 | | $2.52 | | .50% |
| Premier Class | | $1,000.00 | | $1,014.40 | | $2.92 | | .58% |
|
| 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 | | $1,022.10 | | $2.93 | | .58% |
TAX-EXEMPT PORTFOLIO
| | | | | | | | |
| Actual | | Beginning Account
Value
10/1/07 | | Ending Account
Value
3/31/08 | | Expenses Paid During
the Period*
10/1/07 - 3/31/08 | | Expense
Ratio |
| Institutional Class | | $1,000.00 | | $1,015.20 | | $0.76 | | .15% |
| Cash Management Class | | $1,000.00 | | $1,015.00 | | $1.01 | | .20% |
| Capital Class | | $1,000.00 | | $1,014.70 | | $1.26 | | .25% |
| Select Class | | $1,000.00 | | $1,014.40 | | $1.51 | | .30% |
| Administrative Class | | $1,000.00 | | $1,013.90 | | $2.01 | | .40% |
| Service Class | | $1,000.00 | | $1,013.20 | | $2.77 | | .55% |
| Premier Class | | $1,000.00 | | $1,012.70 | | $3.27 | | .65% |
|
| Hypothetical (5% annual return before expenses)** |
| Institutional Class | | $1,000.00 | | $1,024.25 | | $0.76 | | .15% |
| Cash Management Class | | $1,000.00 | | $1,024.00 | | $1.01 | | .20% |
| Capital Class | | $1,000.00 | | $1,023.75 | | $1.26 | | .25% |
| Select Class | | $1,000.00 | | $1,023.50 | | $1.52 | | .30% |
| Administrative Class | | $1,000.00 | | $1,023.00 | | $2.02 | | .40% |
| Service Class | | $1,000.00 | | $1,022.25 | | $2.78 | | .55% |
| Premier Class | | $1,000.00 | | $1,021.75 | | $3.29 | | .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. |
| ** | Hypothetical 5% annual return before expenses is calculated by multiplying the number of days in the most recent period divided by 366. |
19
MUNICIPAL PORTFOLIO
| | | | | | | | |
| Actual | | Beginning Account
Value
10/1/07 | | Ending Account
Value
3/31/08 | | Expenses Paid During
the Period*
10/1/07 - 3/31/08 | | Expense
Ratio |
| Institutional Class | | $1,000.00 | | $1,015.70 | | $0.76 | | .15% |
| Cash Management Class | | $1,000.00 | | $1,015.40 | | $1.01 | | .20% |
| Capital Class | | $1,000.00 | | $1,015.20 | | $1.26 | | .25% |
| Select Class | | $1,000.00 | | $1,014.90 | | $1.51 | | .30% |
| Administrative Class | | $1,000.00 | | $1,014.40 | | $2.01 | | .40% |
| Service Class | | $1,000.00 | | $1,013.70 | | $2.77 | | .55% |
| Premier Class | | $1,000.00 | | $1,013.20 | | $3.27 | | .65% |
|
| Hypothetical (5% annual return before expenses)** |
| Institutional Class | | $1,000.00 | | $1,024.25 | | $0.76 | | .15% |
| Cash Management Class | | $1,000.00 | | $1,024.00 | | $1.01 | | .20% |
| Capital Class | | $1,000.00 | | $1,023.75 | | $1.26 | | .25% |
| Select Class | | $1,000.00 | | $1,023.50 | | $1.52 | | .30% |
| Administrative Class | | $1,000.00 | | $1,023.00 | | $2.02 | | .40% |
| Service Class | | $1,000.00 | | $1,022.25 | | $2.78 | | .55% |
| Premier Class | | $1,000.00 | | $1,021.75 | | $3.29 | | .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. |
| ** | Hypothetical 5% annual return before expenses is calculated by multiplying the number of days in the most recent period divided by 366. |
20
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21
Statements of Assets and Liabilities
Institutional Liquidity Funds
(000’s omitted except per share amounts)
| | | | | | | | |
| | | MONEY MARKET
PORTFOLIO | | | PRIME
PORTFOLIO | |
GOVERNMENT
PORTFOLIO | |
| | | March 31, 2008 | | | March 31, 2008 | | March 31, 2008 | |
| Assets | | | | | | | | |
| Investment in corresponding Master Series, at value (Note A) | | $28,953 | | | $3,863,870 | | $1,826,233 | |
| Receivable from administrator-net (Note B) | | — | | | 224 | | 30 | |
| | | | | | | | | |
| Total Assets | | 28,953 | | | 3,864,094 | | 1,826,263 | |
| | | | | | | | | |
| | | |
| Liabilities | | | | | | | | |
| Dividends payable | | 17 | | | 2,755 | | 420 | |
| Payable for Fund shares redeemed | | — | | | — | | — | |
| Payable to administrator-net (Note B) | | 16 | | | — | | — | |
| Accrued expenses and other payables | | 63 | | | 169 | | 41 | |
| | | | | | | | | |
| Total Liabilities | | 96 | | | 2,924 | | 461 | |
| | | | | | | | | |
| Net Assets at value | | $28,857 | | | $3,861,170 | | $1,825,802 | |
| | | | | | | | | |
| | | |
| Net Assets consist of: | | | | | | | | |
| Paid-in capital | | $28,862 | | | $3,860,939 | | $1,825,453 | |
| Undistributed net investment income (loss) | | — | | | 11 | | — | |
| Distributions in excess of net investment income | | — | | | — | | (4 | ) |
| Accumulated net realized gains (losses) on investment | | (5 | ) | | 220 | | 353 | |
| | | | | | | | | |
| Net Assets at value | | $28,857 | | | $3,861,170 | | $1,825,802 | |
| | | | | | | | | |
| | | |
| Net Assets | | | | | | | | |
| Institutional Class | | $22,857 | | | $3,317,187 | | $1,781,082 | |
| Cash Management Class | | 1,000 | | | 92,478 | | 1,000 | |
| Capital Class | | 1,000 | | | 1,000 | | 1,000 | |
| Select Class | | 1,000 | | | 1,000 | | 6,089 | |
| Administrative Class | | 1,000 | | | 22,487 | | 34,631 | |
| Service Class | | 1,000 | | | 5,379 | | 1,000 | |
| Premier Class | | 1,000 | | | 421,639 | | 1,000 | |
| | | |
| Shares Outstanding ($.001 par value; unlimited shares authorized) | | | | | | | | |
| Institutional Class | | 22,862 | | | 3,316,986 | | 1,780,743 | |
| Cash Management Class | | 1,000 | | | 92,471 | | 1,000 | |
| Capital Class | | 1,000 | | | 1,000 | | 1,000 | |
| Select Class | | 1,000 | | | 1,000 | | 6,087 | |
| Administrative Class | | 1,000 | | | 22,486 | | 34,623 | |
| Service Class | | 1,000 | | | 5,379 | | 1,000 | |
| Premier Class | | 1,000 | | | 421,618 | | 1,000 | |
| | | |
| Net Asset Value, offering and redemption price per share | | | | | | | | |
| Institutional Class | | $1.00 | | | $1.00 | | $1.00 | |
| Cash Management Class | | 1.00 | | | 1.00 | | 1.00 | |
| Capital Class | | 1.00 | | | 1.00 | | 1.00 | |
| Select Class | | 1.00 | | | 1.00 | | 1.00 | |
| Administrative Class | | 1.00 | | | 1.00 | | 1.00 | |
| Service Class | | 1.00 | | | 1.00 | | 1.00 | |
| Premier Class | | 1.00 | | | 1.00 | | 1.00 | |
See Notes to Financial Statements
22
| | | | | | | |
GOVERNMENT
RESERVES
PORTFOLIO | | TREASURY
PORTFOLIO | | | TAX-EXEMPT
PORTFOLIO | | MUNICIPAL
PORTFOLIO |
| March 31, 2008 | | March 31, 2008 | | | March 31, 2008 | | March 31, 2008 |
| | | | | | | |
| $894,310 | | $4,063,157 | | | $435,296 | | $34,035 |
| 55 | | — | | | 69 | | 99 |
| | | | | | | | |
| 894,365 | | 4,063,157 | | | 435,365 | | 34,134 |
| | | | | | | | |
| | | |
| | | | | | | |
| 269 | | 1,196 | | | 277 | | 23 |
| — | | 1,045 | | | — | | — |
| — | | 84 | | | — | | — |
| 56 | | 102 | | | 54 | | 60 |
| | | | | | | | |
| 325 | | 2,427 | | | 331 | | 83 |
| | | | | | | | |
| $894,040 | | $4,060,730 | | | $435,034 | | $34,051 |
| | | | | | | | |
| | | |
| | | | | | | |
| $894,034 | | $4,060,696 | | | $434,917 | | $34,041 |
| — | | — | | | — | | — |
| — | | (15 | ) | | — | | — |
| 6 | | 49 | | | 117 | | 10 |
| | | | | | | | |
| $894,040 | | $4,060,730 | | | $435,034 | | $34,051 |
| | | | | | | | |
| | | |
| | | | | | | |
| $888,040 | | $3,737,010 | | | $390,300 | | $27,950 |
| 1,000 | | 1,000 | | | 1,002 | | 1,101 |
| 1,000 | | 1,000 | | | 1,001 | | 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 | | 318,720 | | | 39,731 | | 1,000 |
| | | |
| | | | | | | |
| 888,034 | | 3,736,975 | | | 390,195 | | 27,941 |
| 1,000 | | 1,000 | | | 1,000 | | 1,100 |
| 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 | | 318,721 | | | 39,722 | | 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 |
23
Statements of Operations
Institutional Liquidity Funds
(000’s omitted)
| | | | | | | | | |
| | | MONEY MARKET
PORTFOLIO | | | PRIME
PORTFOLIO | | | GOVERNMENT
PORTFOLIO | |
| | | For the Year Ended
March 31, 2008 | | | For the Year Ended
March 31, 2008 | | |
For the Year Ended
March 31, 2008 | |
| Investment Income | | | | | | | | | |
| Investment income from corresponding Master Series (Note A) | | $7,861 | | | $283,129 | | | $40,579 | |
| Expenses from corresponding Master Series (Notes A & B) | | (154 | ) | | (5,491 | ) | | (906 | ) |
| | | | |
| Net investment income from corresponding Master Series | | $7,707 | | | $277,638 | | | $39,673 | |
| | | | |
| | | |
| Expenses: | | | | | | | | | |
| Administration fees (Note B) | | 159 | | | 5,723 | | | 952 | |
| Distribution fees (Note B): | | | | | | | | | |
Service Class | | 1 | | | 4 | | | 1 | |
Premier Class | | 3 | | | 834 | | | 3 | |
| Audit fees | | 19 | | | 9 | | | 19 | |
| Legal fees | | 4 | | | 173 | | | 18 | |
| Registration and filing fees | | 72 | | | 151 | | | 75 | |
| Shareholder reports | | 25 | | | 163 | | | 37 | |
| Shareholder servicing agent fees (Note B): | | | | | | | | | |
Institutional Class | | 5 | | | 110 | | | 13 | |
Cash Management Class | | 1 | | | 40 | | | 1 | |
Capital Class | | 1 | | | 1 | | | 1 | |
Select Class | | 2 | | | 1 | | | 9 | |
Administrative Class | | 2 | | | 37 | | | 36 | |
Service Class | | 2 | | | 7 | | | 2 | |
Premier Class | | 2 | | | 842 | | | 3 | |
| Trustees’ fees and expenses | | 6 | | | 7 | | | 6 | |
| Accounting fees | | 20 | | | 20 | | | 20 | |
| Miscellaneous | | 1 | | | 11 | | | 12 | |
| | | | |
| Total expenses | | 325 | | | 8,133 | | | 1,208 | |
| Expenses reimbursed by administrator (Note B) | | (146 | ) | | (471 | ) | | (154 | ) |
| Expenses waived by administrator (Note B) | | (159 | ) | | (5,674 | ) | | (952 | ) |
| | | | |
| Total net expenses | | 20 | | | 1,988 | | | 102 | |
| | | | |
| Net investment income (loss) | | $7,687 | | | $275,650 | | | $39,571 | |
| | | | |
| | | |
| Realized and Unrealized Gain (Loss) on Investments (Note A): | | | | | | | | | |
| Net gain (loss) on investments from corresponding Master Series | | (5 | ) | | 226 | | | 353 | |
| | | | |
| Net increase (decrease) in net assets resulting from operations | | $7,682 | | | $275,876 | | | $39,924 | |
| | | | |
|
| See Notes to Financial Statements | |
24
| | | | | | | | | | |
GOVERNMENT RESERVES
PORTFOLIO | | | TREASURY
PORTFOLIO | | | TAX-EXEMPT
PORTFOLIO | | | MUNICIPAL
PORTFOLIO | |
Period from
July 9, 2007
(Commencement
of Operations) to
March 31, 2008 | | | For the Year Ended
March 31, 2008 | | | Period from
September 10, 2007
(Commencement
of Operations) to
March 31, 2008 | | | Period from
September 10, 2007
(Commencement
of Operations) to
March 31, 2008 | |
| | | | | | | | | | |
$15,911 |
| | $36,146 | | | $4,561 | | | $1,858 | |
| (414 | ) | | (1,037 | ) | | (135 | ) | | (65 | ) |
| | |
| $15,497 | | | $35,109 | | | $4,426 | | | $1,793 | |
| | |
| | | |
| | | | | | | | | | |
| 385 | | | 1,075 | | | 148 | | | 54 | |
| | | | | | | | | | |
| 1 | | | 1 | | | 1 | | | 1 | |
| 2 | | | 69 | | | 18 | | | 1 | |
| 18 | | | 10 | | | 6 | | | 18 | |
| 20 | | | 23 | | | 20 | | | 20 | |
| 98 | | | 73 | | | 95 | | | 95 | |
| 25 | | | 40 | | | 25 | | | 25 | |
| | | | | | | | | | |
| 20 | | | 19 | | | 12 | | | 10 | |
| — | | | 1 | | | 3 | | | 1 | |
| 1 | | | 1 | | | 1 | | | 1 | |
| 1 | | | 1 | | | 1 | | | 1 | |
| 2 | | | 3 | | | 1 | | | 2 | |
| 2 | | | 3 | | | 2 | | | 2 | |
| 2 | | | 69 | | | 20 | | | 2 | |
| 5 | | | 6 | | | 4 | | | 4 | |
| — | | | 20 | | | — | | | — | |
| — | | | 13 | | | 1 | | | 2 | |
| | |
| 582 | | | 1,427 | | | 358 | | | 239 | |
| (215 | ) | | (169 | ) | | (151 | ) | | (187 | ) |
| (385 | ) | | (1,080 | ) | | (75 | ) | | (27 | ) |
| | |
| (18 | ) | | 178 | | | 132 | | | 25 | |
| | |
| $15,515 | | | $34,931 | | | $4,294 | | | $1,768 | |
| | |
| | | |
| | | | | | | | | | |
6 |
| | 49 | | | 117 | | | 10 | |
| | |
$15,521 |
| | $34,980 | | | $4,411 | | | $1,778 | |
| | |
25
Statements of Changes in Net Assets
Institutional Liquidity Funds
(000’s omitted)
| | | | | | | | | | | | |
| | |
MONEY MARKET PORTFOLIO | | | PRIME PORTFOLIO | |
| | | Year Ended
March 31, 2008 | | | Period from
December 18, 2006
(Commencement of
Operations) to
March 31, 2007 | | | Year Ended
March 31, 2008 | | | Period from
December 18, 2006
(Commencement of
Operations) to
March 31, 2007 | |
| Increase (Decrease) in Net Assets: | | | | | | | | | | | | |
| From Operations: | | | | | | | | | | | | |
| Net investment income (loss) | | $7,687 | | | $1,492 | | | $275,650 | | | $14,020 | |
| Net realized gain (loss) on investments from corresponding Master Series | | (5 | ) | | — | | | 226 | | | (6 | ) |
| Net increase (decrease) in net assets resulting from operations | | 7,682 | | | 1,492 | | | 275,876 | | | 14,014 | |
| | | | |
| Distributions to Shareholders From (Note A): | | | | | | | | | | | | |
| Net investment income | | | | | | | | | | | | |
Institutional Class | | (7,383 | ) | | (1,405 | ) | | (257,277 | ) | | (13,921 | ) |
Cash Management Class | | (74 | ) | | (15 | ) | | (3,444 | ) | | (15 | ) |
Capital Class | | (48 | ) | | (15 | ) | | (47 | ) | | (15 | ) |
Select Class | | (47 | ) | | (15 | ) | | (47 | ) | | (15 | ) |
Administrative Class | | (46 | ) | | (14 | ) | | (642 | ) | | (14 | ) |
Service Class | | (45 | ) | | (14 | ) | | (118 | ) | | (14 | ) |
Premier Class | | (44 | ) | | (14 | ) | | (14,064 | ) | | (27 | ) |
| Total distributions to shareholders | | (7,687 | ) | | (1,492 | ) | | (275,639 | ) | | (14,021 | ) |
| | | | |
| From Portfolio Share Transactions (Note D): | | | | | | | | | | | | |
| Proceeds from shares sold in initial capitalization | | | | | | | | | | | | |
Institutional Class | | — | | | — | | | — | | | — | |
| Proceeds from shares sold | | | | | | | | | | | | |
Institutional Class | | 4,556,602 | | | 818,316 | | | 61,663,372 | | | 6,998,533 | |
Cash Management Class | | 94,812 | | | 1,000 | | | 170,916 | | | 1,000 | |
Capital Class | | — | | | 1,000 | | | — | | | 1,000 | |
Select Class | | — | | | 1,000 | | | — | | | 1,000 | |
Administrative Class | | 5 | | | 1,000 | | | 148,981 | | | 1,000 | |
Service Class | | — | | | 1,000 | | | 4,691 | | | 1,000 | |
Premier Class | | — | | | 1,000 | | | 4,374,111 | | | 12,304 | |
| Proceeds from reinvestment of dividends and distributions | | | | | | | | | | | | |
Institutional Class | | 4,584 | | | 1,309 | | | 194,579 | | | 9,616 | |
Cash Management Class | | 21 | | | — | | | 3,360 | | | — | |
Select Class | | — | | | — | | | — | | | — | |
Administrative Class | | — | | | — | | | 582 | | | — | |
Service Class | | — | | | — | | | 74 | | | — | |
Premier Class | | — | | | — | | | 12,754 | | | 11 | |
| Payments for shares redeemed | | | | | | | | | | | | |
Institutional Class | | (4,697,326 | ) | | (660,623 | ) | | (60,960,473 | ) | | (4,588,641 | ) |
Cash Management Class | | (94,833 | ) | | — | | | (82,805 | ) | | — | |
Select Class | | — | | | — | | | — | | | — | |
Administrative Class | | (5 | ) | | — | | | (128,077 | ) | | — | |
Service Class | | — | | | — | | | (386 | ) | | — | |
Premier Class | | — | | | — | | | (3,973,587 | ) | | (3,975 | ) |
| Net increase (decrease) from Portfolio share transactions | | (136,140 | ) | | 165,002 | | | 1,428,092 | | | 2,432,848 | |
| Net Increase (Decrease) in Net Assets | | (136,145 | ) | | 165,002 | | | 1,428,329 | | | 2,432,841 | |
| | | | |
| Net Assets: | | | | | | | | | | | | |
| Beginning of period | | 165,002 | | | — | | | 2,432,841 | | | — | |
| End of period | | $28,857 | | | $165,002 | | | $3,861,170 | | | $2,432,841 | |
| Undistributed net investment income (loss) at end of period | | $— | | | $— | | | $11 | | | $— | |
| Distributions in excess of net investment income at end of period | | $— | | | $— | | | $— | | | $— | |
See Notes to Financial Statements
26
| | | | | | | | |
GOVERNMENT PORTFOLIO | | GOVERNMENT
RESERVES PORTFOLIO | | TREASURY PORTFOLIO |
Year Ended
March 31, 2008 | | Period from
December 18, 2006
(Commencement of
Operations) to
March 31, 2007 | | Period from
July 9, 2007
(Commencement of
Operations) to
March 31, 2008 | | Year Ended
March 31, 2008 | | Period from
December 18, 2006
(Commencement of
Operations) to
March 31, 2007 |
| | | | | | | | |
| | | | | | | | |
| $39,571 | | $6,556 | | $15,515 | | $34,931 | | $6,750 |
353 | | — | | 6 | | 49 | | — |
39,924 | | 6,556 | | 15,521 | | 34,980 | | 6,750 |
| | | | |
| | | | | | | | |
| | | | | | | | |
| (38,575) | | (6,456) | | (15,334) | | (34,362) | | (6,667) |
| (54) | | (15) | | (32) | | (41) | | (14) |
| (45) | | (15) | | (31) | | (40) | | (15) |
| (260) | | (15) | | (31) | | (40) | | (14) |
| (557) | | (28) | | (30) | | (39) | | (14) |
| (42) | | (14) | | (29) | | (37) | | (13) |
| (42) | | (13) | | (28) | | (387) | | (13) |
| (39,575) | | (6,556) | | (15,515) | | (34,946) | | (6,750) |
| | | | |
| | | | | | | | |
| | | | | | | | |
| — | | 100 | | — | | — | | — |
| | | | | | | | |
| 11,915,804 | | 3,470,000 | | 4,619,439 | | 11,201,894 | | 3,323,735 |
| 4,474 | | 1,000 | | 1,000 | | — | | 1,000 |
| — | | 1,000 | | 1,000 | | — | | 1,000 |
| 24,015 | | 1,000 | | 1,000 | | — | | 1,000 |
| 334,462 | | 2,814 | | 1,000 | | — | | 1,000 |
| — | | 1,000 | | 1,000 | | — | | 1,000 |
| — | | 1,000 | | 1,000 | | 454,663 | | 1,000 |
| | | | | | | | |
| 24,655 | | 214 | | 11,603 | | 18,337 | | 560 |
| — | | — | | — | | — | | — |
| 215 | | — | | — | | — | | — |
| 56 | | 14 | | — | | — | | — |
| — | | — | | — | | — | | — |
| — | | — | | — | | 327 | | — |
| | | | | | | | |
| (10,654,030) | | (2,976,000) | | (3,743,008) | | (7,931,551) | | (2,876,000) |
| (4,474) | | — | | — | | — | | — |
| (19,143) | | — | | — | | — | | — |
| (302,347) | | (376) | | — | | — | | — |
| — | | — | | — | | — | | — |
| — | | — | | — | | (137,269) | | — |
| 1,323,687 | | 501,766 | | 894,034 | | 3,606,401 | | 454,295 |
| 1,324,036 | | 501,766 | | 894,040 | | 3,606,435 | | 454,295 |
| | | | |
| | | | | | | | |
| 501,766 | | — | | — | | 454,295 | | — |
| $1,825,802 | | $501,766 | | $894,040 | | $4,060,730 | | $454,295 |
$— | | $— | | $— | | $— | | $— |
$(4) | | $— | | $— | | $(15) | | $— |
27
Statements of Changes in Net Assets
Institutional Liquidity Funds
(000’s omitted)
| | | | | | |
| | | TAX-EXEMPT PORTFOLIO | | | MUNICIPAL PORTFOLIO | |
| | | Period from
September 10, 2007
(Commencement of
Operations) to
March 31, 2008 | | | Period from
September 10, 2007
(Commencement of
Operations) to
March 31, 2008 | |
| Increase (Decrease) in Net Assets: | | | | | | |
| From Operations: | | | | | | |
| Net investment income (loss) | | $4,294 | | | $1,768 | |
| Net realized gain (loss) on investments from corresponding Master Series | | 117 | | | 10 | |
| Net increase (decrease) in net assets resulting from operations | | 4,411 | | | 1,778 | |
| | |
| Distributions to Shareholders From (Note A): | | | | | | |
| Net investment income | | | | | | |
Institutional Class | | (3,855 | ) | | (1,641 | ) |
Cash Management Class | | (218 | ) | | (46 | ) |
Capital Class | | (17 | ) | | (17 | ) |
Select Class | | (16 | ) | | (17 | ) |
Administrative Class | | (16 | ) | | (16 | ) |
Service Class | | (15 | ) | | (16 | ) |
Premier Class | | (157 | ) | | (15 | ) |
| Total distributions to shareholders | | (4,294 | ) | | (1,768 | ) |
| | |
| From Portfolio Share Transactions (Note D): | | | | | | |
| Proceeds from shares sold in initial capitalization | | | | | | |
Institutional Class | | — | | | — | |
| Proceeds from shares sold | | | | | | |
Institutional Class | | 1,724,897 | | | 430,348 | |
Cash Management Class | | 251,000 | | | 9,400 | |
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 | | 119,551 | | | 1,000 | |
| Proceeds from reinvestment of dividends and distributions | | | | | | |
Institutional Class | | 1,539 | | | 1,623 | |
Cash Management Class | | — | | | — | |
Select Class | | — | | | — | |
Administrative Class | | — | | | — | |
Service Class | | — | | | — | |
Premier Class | | 129 | | | — | |
| Payments for shares redeemed | | | | | | |
Institutional Class | | (1,336,241 | ) | | (404,030 | ) |
Cash Management Class | | (250,000 | ) | | (8,300 | ) |
Select Class | | — | | | — | |
Administrative Class | | — | | | — | |
Service Class | | — | | | — | |
Premier Class | | (79,958 | ) | | — | |
| Net increase (decrease) from Portfolio share transactions | | 434,917 | | | 34,041 | |
| Net Increase (Decrease) in Net Assets | | 435,034 | | | 34,051 | |
| | |
| Net Assets: | | | | | | |
| Beginning of period | | — | | | — | |
| End of period | | $435,034 | | | $34,051 | |
| Undistributed net investment income (loss) at end of period | | $— | | | $— | |
| Distributions in excess of net investment income at end of period | | $— | | | $— | |
See Notes to Financial Statements
28
Notes to Financial Statements Institutional Liquidity Funds
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 (0.94% for Money Market, 44.00% for Prime, 79.75% for Government, 100.00% for Government Reserves, 100.00% for Treasury, 17.62% for Tax-Exempt, and 8.62% for Municipal, at March 31, 2008). 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. |
29
| 3 | Income tax information: The Portfolios are treated as separate entities for U.S. federal income tax purposes. It is the policy of each of Money Market, Prime, Government, and Treasury to continue to qualify (and the intention of each 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. |
| | In accordance with Securities and Exchange Commission guidance, the Portfolios implemented the provisions of Financial Accounting Standards Board Interpretation No. 48 (“FIN 48”), Accounting for Uncertainty in Income Taxes, on September 30, 2007. The Portfolios have reviewed the tax positions for the open tax years as of March 31, 2008 and have determined that the implementation of FIN 48 did not have a material impact on the Portfolios’ financial statements. |
| | 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, 2008, permanent differences resulting from different book and tax accounting for distribution redesignations and non-deductible12b-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 year ended March 31, 2008 and the period ended March 31, 2007 was as follows: |
| | | | | | | | | | | | |
| | | Distributions Paid From: | | | | |
| | | Ordinary Income | | Tax-Exempt Income | | Total |
| | | 2008 | | 2007 | | 2008 | | 2007 | | 2008 | | 2007 |
| Money Market | | $7,686,881 | | $1,492,525 | | $— | | $— | | $7,686,881 | | $1,492,525 |
| Prime | | 275,639,478 | | 14,021,217 | | — | | — | | 275,639,478 | | 14,021,217 |
| Government | | 39,574,807 | | 6,555,363 | | — | | — | | 39,574,807 | | 6,555,363 |
| Government Reserves | | 15,514,891 | | — | | — | | — | | 15,514,891 | | — |
| Treasury | | 34,945,791 | | 6,750,442 | | — | | — | | 34,945,791 | | 6,750,442 |
| Tax-Exempt | | — | | — | | 4,293,464 | | — | | 4,293,464 | | — |
| Municipal | | — | | — | | 1,767,709 | | — | | 1,767,709 | | — |
| | As of March 31, 2008, 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 | | | Undistributed
Tax-Exempt
Income | | Undistributed
Long-Term
Gain | | Total |
| Money Market | | $18,263 | | $(4,904 | ) | | $— | | $— | | $13,359 |
| Prime | | 2,985,509 | | — | | | — | | — | | 2,985,509 |
| Government | | 770,290 | | — | | | — | | — | | 770,290 |
| Government Reserves | | 276,148 | | — | | | — | | — | | 276,148 |
| Treasury | | 1,232,317 | | (535 | ) | | — | | — | | 1,231,782 |
| Tax-Exempt | | 109,938 | | — | | | 278,542 | | 7,467 | | 395,947 |
| Municipal | | 10,936 | | (552 | ) | | 24,378 | | — | | 34,762 |
30
| | The difference between book basis and tax basis distributable earnings is attributable primarily to timing differences of distribution payments, non-deductible 12b-1 fees, 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, 2008, the Funds had unused capital loss carryforwards available for federal income tax purposes to offset net realized capital gains, if any, as follows: |
| | |
| | | Expiring in: |
| | | 2016 |
| Money Market | | $4,893 |
| Prime | | — |
| Government | | — |
| Government Reserves | | — |
| Treasury | | — |
| Tax-Exempt | | — |
| Municipal | | — |
| | 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 year ended March 31, 2008, the Portfolios elected to defer the following net capital losses arising between November 1, 2007 and March 31, 2008: |
| | |
| Money Market | | $11 |
| Prime | | — |
| Government | | — |
| Government Reserves | | — |
| Treasury | | 535 |
| Tax-Exempt | | — |
| Municipal | | 552 |
| 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. |
31
| 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 $172,033 and $89,117 for Tax-Exempt and Municipal, respectively (see Note B of Notes to Financial Statements of the Master Series). |
| | 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 |
32
| | 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 limitations as detailed in the following table: |
| | | | | | | | | |
| | | Contractual
Expense
Limitation(1) | | | Expiration | | Contractual
Reimbursement/
Waiver of Fees
from Management
for the Year Ended
March 31, 2008(3) | | Voluntary
Reimbursement
from Management
for the Year Ended
March 31, 2008(2) |
| Money Market Institutional Class | | 0.20 | % | | 3/31/10 | | $141,143 | | $152,500 |
| Money Market Cash Management Class | | 0.25 | % | | 3/31/10 | | 1,195 | | 1,472 |
| Money Market Capital Class | | 0.30 | % | | 3/31/10 | | 639 | | 1,000 |
| Money Market Select Class | | 0.35 | % | | 3/31/10 | | 639 | | 1,000 |
| Money Market Administrative Class | | 0.45 | % | | 3/31/10 | | 639 | | 1,000 |
| Money Market Service Class | | 0.60 | % | | 3/31/10 | | 639 | | 1,000 |
| Money Market Premier Class | | 0.70 | % | | 3/31/10 | | 639 | | 1,000 |
| | | | |
| Prime Institutional Class | | 0.20 | % | | 3/31/10 | | 370,000 | | 5,295,389 |
| Prime Cash Management Class | | 0.25 | % | | 3/31/10 | | 9,226 | | 75,068 |
| Prime Capital Class | | 0.30 | % | | 3/31/10 | | 105 | | 1,000 |
| Prime Select Class | | 0.35 | % | | 3/31/10 | | 105 | | 1,000 |
| Prime Administrative Class | | 0.45 | % | | 3/31/10 | | 2,171 | | 14,511 |
| Prime Service Class | | 0.60 | % | | 3/31/10 | | 556 | | 2,907 |
| Prime Premier Class | | 0.70 | % | | 3/31/10 | | 42,110 | | 331,190 |
| | | | |
| Government Institutional Class | | 0.20 | % | | 3/31/10 | | 149,046 | | 927,685 |
| Government Cash Management Class | | 0.25 | % | | 3/31/10 | | 312 | | 1,203 |
| Government Capital Class | | 0.30 | % | | 3/31/10 | | 291 | | 1,000 |
| Government Select Class | | 0.35 | % | | 3/31/10 | | 1,291 | | 6,083 |
| Government Administrative Class | | 0.45 | % | | 3/31/10 | | 2,053 | | 14,228 |
| Government Service Class | | 0.60 | % | | 3/31/10 | | 291 | | 1,000 |
| Government Premier Class | | 0.70 | % | | 3/31/10 | | 291 | | 1,000 |
| | | | |
| Government Reserves Institutional Class | | 0.20 | % | | 3/31/10 | | 211,144 | | 381,021 |
| Government Reserves Cash Management Class | | 0.25 | % | | 3/31/10 | | 569 | | 732 |
| Government Reserves Capital Class | | 0.30 | % | | 3/31/10 | | 569 | | 732 |
| Government Reserves Select Class | | 0.35 | % | | 3/31/10 | | 569 | | 732 |
| Government Reserves Administrative Class | | 0.45 | % | | 3/31/10 | | 569 | | 732 |
| Government Reserves Service Class | | 0.60 | % | | 3/31/10 | | 569 | | 732 |
| Government Reserves Premier Class | | 0.70 | % | | 3/31/10 | | 569 | | 732 |
33
| | | | | | | | | | |
| | | Contractual
Expense
Limitation(1) | | | Expiration | | Contractual
Reimbursement/
Waiver of Fees
from Management
for the Year Ended
March 31, 2008(3) | | Voluntary
Reimbursement
from Management
for the Year Ended
March 31, 2008(2) | |
| Treasury Institutional Class | | 0.20 | % | | 3/31/10 | | $166,607 | | $1,042,895 | |
| Treasury Cash Management Class | | 0.25 | % | | 3/31/10 | | 490 | | 1,000 | |
| Treasury Capital Class | | 0.30 | % | | 3/31/10 | | 490 | | 1,000 | |
| Treasury Select Class | | 0.35 | % | | 3/31/10 | | 490 | | 1,000 | |
| Treasury Administrative Class | | 0.45 | % | | 3/31/10 | | 490 | | 1,000 | |
| Treasury Service Class | | 0.60 | % | | 3/31/10 | | 490 | | 1,007 | (4) |
| Treasury Premier Class | | 0.70 | % | | 3/31/10 | | — | | 32,071 | (4) |
| | | | |
| Tax-Exempt Institutional Class | | 0.20 | % | | 3/31/10 | | 133,796 | | 66,335 | |
| Tax-Exempt Cash Management Class | | 0.25 | % | | 3/31/10 | | 3,249 | | 3,522 | |
| Tax-Exempt Capital Class | | 0.30 | % | | 3/31/10 | | 958 | | 284 | |
| Tax-Exempt Select Class | | 0.35 | % | | 3/31/10 | | 958 | | 284 | |
| Tax-Exempt Administrative Class | | 0.45 | % | | 3/31/10 | | 956 | | 286 | |
| Tax-Exempt Service Class | | 0.60 | % | | 3/31/10 | | 954 | | 288 | |
| Tax-Exempt Premier Class | | 0.70 | % | | 3/31/10 | | 10,462 | | 3,774 | |
| | | | |
| Municipal Institutional Class | | 0.20 | % | | 3/31/10 | | 159,496 | | 25,209 | |
| Municipal Cash Management Class | | 0.25 | % | | 3/31/10 | | 7,019 | | 854 | |
| Municipal Capital Class | | 0.30 | % | | 3/31/10 | | 4,030 | | 284 | |
| Municipal Select Class | | 0.35 | % | | 3/31/10 | | 4,030 | | 284 | |
| Municipal Administrative Class | | 0.45 | % | | 3/31/10 | | 4,029 | | 286 | |
| Municipal Service Class | | 0.60 | % | | 3/31/10 | | 4,027 | | 288 | |
| Municipal Premier Class | | 0.70 | % | | 3/31/10 | | 4,025 | | 289 | |
| (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 March 31, 2008 for Government Reserves. Period from September 10, 2007 (Commencement of Operations) to March 31, 2008 for Tax-Exempt and Municipal. |
| (4) | In addition to the contractual and voluntary limitations previously listed, Management also voluntarily reimbursed the Premier Class of Treasury Portfolio an additional 0.10%, 0.16%, 0.06% and 0.11% of the class’ net assets on March 19, 2008, March 20, 2008, March 24, 2008 and March 26, 2008, respectively. In addition, Management voluntarily reimbursed the Service Class of Treasury Portfolio 0.06% and 0.01% of the class’ net assets on March 20, 2008 and March 26, 2008, respectively. |
| | 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. |
34
| | During the year ended March 31, 2008, there was no repayment to Management under this agreement. At March 31, 2008, contingent liabilities to Management under the agreement were as follows: |
| | | | | | |
| | | Expiring in: |
| | | 2010 | | 2011 | | Total |
| Money Market Institutional Class | | $137,243 | | $141,143 | | $278,386 |
| Money Market Cash Management Class | | 4,787 | | 1,195 | | 5,982 |
| Money Market Capital Class | | 4,787 | | 639 | | 5,426 |
| Money Market Select Class | | 4,787 | | 639 | | 5,426 |
| Money Market Administrative Class | | 4,787 | | 639 | | 5,426 |
| Money Market Service Class | | 4,787 | | 639 | | 5,426 |
| Money Market Premier Class | | 4,787 | | 639 | | 5,426 |
| | | |
| Prime Institutional Class | | 165,552 | | 370,000 | | 535,552 |
| Prime Cash Management Class | | 885 | | 9,226 | | 10,111 |
| Prime Capital Class | | 885 | | 105 | | 990 |
| Prime Select Class | | 885 | | 105 | | 990 |
| Prime Administrative Class | | 885 | | 2,171 | | 3,056 |
| Prime Service Class | | 885 | | 556 | | 1,441 |
| Prime Premier Class | | 1,102 | | 42,110 | | 43,212 |
| | | |
| Government Institutional Class | | 87,201 | | 149,046 | | 236,247 |
| Government Cash Management Class | | 321 | | 312 | | 633 |
| Government Capital Class | | 321 | | 291 | | 612 |
| Government Select Class | | 321 | | 1,291 | | 1,612 |
| Government Administrative Class | | 482 | | 2,053 | | 2,535 |
| Government Service Class | | 321 | | 291 | | 612 |
| Government Premier Class | | 321 | | 291 | | 612 |
| | | |
| Government Reserves Institutional Class | | — | | 211,144 | | 211,144 |
| Government Reserves Cash Management Class | | — | | 569 | | 569 |
| Government Reserves Capital Class | | — | | 569 | | 569 |
| Government Reserves Select Class | | — | | 569 | | 569 |
| Government Reserves Administrative Class | | — | | 569 | | 569 |
| Government Reserves Service Class | | — | | 569 | | 569 |
| Government Reserves Premier Class | | — | | 569 | | 569 |
| | | |
| Treasury Institutional Class | | 188,154 | | 166,607 | | 354,761 |
| Treasury Cash Management Class | | 529 | | 490 | | 1,019 |
| Treasury Capital Class | | 529 | | 490 | | 1,019 |
| Treasury Select Class | | 529 | | 490 | | 1,019 |
| Treasury Administrative Class | | 529 | | 490 | | 1,019 |
| Treasury Service Class | | 529 | | 490 | | 1,019 |
| Treasury Premier Class | | 529 | | — | | 529 |
| | | |
| Tax-Exempt Institutional Class | | — | | 133,796 | | 133,796 |
| Tax-Exempt Cash Management Class | | — | | 3,249 | | 3,249 |
| Tax-Exempt Capital Class | | — | | 958 | | 958 |
| Tax-Exempt Select Class | | — | | 958 | | 958 |
| Tax-Exempt Administrative Class | | — | | 956 | | 956 |
| Tax-Exempt Service Class | | — | | 954 | | 954 |
| Tax-Exempt Premier Class | | — | | 10,462 | | 10,462 |
35
| | | | | | |
| | | Expiring in: |
| | | 2010 | | 2011 | | Total |
| Municipal Institutional Class | | $— | | $159,496 | | $159,496 |
| Municipal Cash Management Class | | — | | 7,019 | | 7,019 |
| Municipal Capital Class | | — | | 4,030 | | 4,030 |
| Municipal Select Class | | — | | 4,030 | | 4,030 |
| Municipal Administrative Class | | — | | 4,029 | | 4,029 |
| Municipal Service Class | | — | | 4,027 | | 4,027 |
| Municipal Premier Class | | — | | 4,025 | | 4,025 |
| | 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 year ended March 31, 2008, the impact of this arrangement was a reduction of expenses of $674, $60,906, $19,183, $1,291, $128,742, $33,555 and $15,899 for Money Market, Prime, Government, Government Reserves, Treasury, Tax-Exempt, and Municipal, respectively. |
Note C—Investment Transactions:
| | During the year ended March 31, 2008, contributions and withdrawals in each Portfolio’s investment in its corresponding Master Series were as follows: |
| | | | |
| (000’s omitted) | | Contributions | | Withdrawals |
| Money Market | | $4,189,382 | | $4,333,173 |
| Prime | | 33,768,222 | | 32,616,948 |
| Government | | 6,470,076 | | 5,187,718 |
| Government Reserves(1) | | 1,991,015 | | 1,112,210 |
| Treasury | | 5,904,575 | | 2,332,818 |
| Tax-Exempt(2) | | 1,677,309 | | 1,246,537 |
| Municipal(2) | | 403,117 | | 370,886 |
| (1) | Period from July 9, 2007 (Commencement of Operations) to March 31, 2008. |
| (2) | Period from September 10, 2007 (Commencement of Operations) to March 31, 2008. |
36
Note D—Portfolio Share Transactions:
| | Share activity at $1.00 per share for the year ended March 31, 2008 and the period ended March 31, 2007 was as follows: |
| | | | | | | | | | | | | | | | | | | | | |
| | | For the Year Ended
March 31, 2008 | | | | | 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 | | 4,556,602 | | 4,584 | | (4,697,326 | ) | | (136,140 | ) | | — | | 818,316 | | 1,309 | | (660,623 | ) | | 159,002 |
| Cash Management Class | | 94,812 | | 21 | | (94,833 | ) | | — | | | — | | 1,000 | | — | | — | | | 1,000 |
| Capital Class | | — | | — | | — | | | — | | | — | | 1,000 | | — | | — | | | 1,000 |
| Select Class | | — | | — | | — | | | — | | | — | | 1,000 | | — | | — | | | 1,000 |
| Administrative Class | | 5 | | — | | (5 | ) | | — | | | — | | 1,000 | | — | | — | | | 1,000 |
| Service Class | | — | | — | | — | | | — | | | — | | 1,000 | | — | | — | | | 1,000 |
| Premier Class | | — | | — | | — | | | — | | | — | | 1,000 | | — | | — | | | 1,000 |
| Prime: | | | | | | | | | | | | | | | | | | | | | |
| Institutional Class | | 61,663,372 | | 194,579 | | (60,960,473 | ) | | 897,478 | | | — | | 6,998,533 | | 9,616 | | (4,588,641 | ) | | 2,419,508 |
| Cash Management Class | | 170,916 | | 3,360 | | (82,805 | ) | | 91,471 | | | — | | 1,000 | | — | | — | | | 1,000 |
| Capital Class | | — | | — | | — | | | — | | | — | | 1,000 | | — | | — | | | 1,000 |
| Select Class | | — | | — | | — | | | — | | | — | | 1,000 | | — | | — | | | 1,000 |
| Administrative Class | | 148,981 | | 582 | | (128,077 | ) | | 21,486 | | | — | | 1,000 | | — | | — | | | 1,000 |
| Service Class | | 4,691 | | 74 | | (386 | ) | | 4,379 | | | — | | 1,000 | | — | | — | | | 1,000 |
| Premier Class | | 4,374,111 | | 12,754 | | (3,973,587 | ) | | 413,278 | | | — | | 12,304 | | 11 | | (3,975 | ) | | 8,340 |
| Government: | | | | | | | | | | | | | | | | | | | | | |
| Institutional Class | | 11,915,804 | | 24,655 | | (10,654,030 | ) | | 1,286,429 | | | 100 | | 3,470,000 | | 214 | | (2,976,000 | ) | | 494,314 |
| Cash Management Class | | 4,474 | | — | | (4,474 | ) | | — | | | — | | 1,000 | | — | | — | | | 1,000 |
| Capital Class | | — | | — | | — | | | — | | | — | | 1,000 | | — | | — | | | 1,000 |
| Select Class | | 24,015 | | 215 | | (19,143 | ) | | 5,087 | | | — | | 1,000 | | — | | — | | | 1,000 |
| Administrative Class | | 334,462 | | 56 | | (302,347 | ) | | 32,171 | | | — | | 2,814 | | 14 | | (376 | ) | | 2,452 |
| Service Class | | — | | — | | — | | | — | | | — | | 1,000 | | — | | — | | | 1,000 |
| Premier Class | | — | | — | | — | | | — | | | — | | 1,000 | | — | | — | | | 1,000 |
| Government Reserves(1): | | | | | | | | | | | | | | | | | | | | | |
| Institutional Class | | 4,619,439 | | 11,603 | | (3,743,008 | ) | | 888,034 | | | — | | — | | — | | — | | | — |
| 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 | | | — | | — | | — | | — | | | — |
37
| | | | | | | | | | | | | | | | | | | | |
| | | For the Year Ended
March 31, 2008 | | | | 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 |
| Service Class | | 1,000 | | — | | — | | | 1,000 | | — | | — | | — | | — | | | — |
| Premier Class | | 1,000 | | — | | — | | | 1,000 | | — | | — | | — | | — | | | — |
| Treasury: | | | | | | | | | | | | | | | | | | | | |
| Institutional Class | | 11,201,894 | | 18,337 | | (7,931,551 | ) | | 3,288,680 | | — | | 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 | | 454,663 | | 327 | | (137,269 | ) | | 317,721 | | — | | 1,000 | | — | | — | | | 1,000 |
| Tax-Exempt(2): | | | | | | | | | | | | | | | | | | | | |
| Institutional Class | | 1,724,897 | | 1,539 | | (1,336,241 | ) | | 390,195 | | — | | — | | — | | — | | | — |
| Cash Management Class | | 251,000 | | — | | (250,000 | ) | | 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 | | 119,551 | | 129 | | (79,958 | ) | | 39,722 | | — | | — | | — | | — | | | — |
| Municipal(2): | | | | | | | | | | | | | | | | | | | | |
| Institutional Class | | 430,348 | | 1,623 | | (404,030 | ) | | 27,941 | | — | | — | | — | | — | | | — |
| Cash Management Class | | 9,400 | | — | | (8,300 | ) | | 1,100 | | — | | — | | — | | — | | | — |
| 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 March 31, 2008. |
| (2) | Period from September 10, 2007 (Commencement of Operations) to March 31, 2008. |
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. |
38
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
| | | | | | |
| | | Year Ended
March 31, | | | Period from
December 18, 2006^
to March 31, | |
| | | 2008 | | | 2007 | |
| Net Asset Value, Beginning of Period | | $1.0000 | | | $1.0000 | |
| Income From Investment Operations: | | | | | | |
| Net Investment Income (Loss) | | .0488 | | | .0152 | |
| Net Gains or Losses on Securities | | (.0002 | ) | | (.0000 | ) |
| Total From Investment Operations | | .0486 | | | .0152 | |
| | |
| Less Distributions From: | | | | | | |
| Net Investment Income | | (.0488 | ) | | (.0152 | ) |
| Total Distributions | | (.0488 | ) | | (.0152 | ) |
| Net Asset Value, End of Period | | $0.9998 | | | $1.0000 | |
| Total Return†† | | +4.99 | % | | +1.53 | %** |
| | |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (in millions) | | $22.9 | | | $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 | | 4.84 | % | | 5.26 | %* |
See Notes to Financial Highlights
39
Cash Management Class
| | | | | | |
| | | Year Ended
March 31, | | | Period from
December 18, 2006^
to March 31, | |
| | | 2008 | | | 2007 | |
| Net Asset Value, Beginning of Period | | $1.0000 | | | $1.0000 | |
| Income From Investment Operations: | | | | | | |
| Net Investment Income (Loss) | | .0483 | | | .0150 | |
| Net Gains or Losses on Securities | | (.0000 | ) | | (.0000 | ) |
| Total From Investment Operations | | .0483 | | | .0150 | |
| | |
| Less Distributions From: | | | | | | |
| Net Investment Income | | (.0483 | ) | | (.0150 | ) |
| Total Distributions | | (.0483 | ) | | (.0150 | ) |
| Net Asset Value, End of Period | | $1.0000 | | | $1.0000 | |
| Total Return†† | | +4.94 | % | | +1.51 | %** |
| | |
| 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 | | 4.99 | % | | 5.21 | %* |
Capital Class
| | | | | | |
| | | Year Ended
March 31, | | | Period from
December 18, 2006^
to March 31, | |
| | | 2008 | | | 2007 | |
| Net Asset Value, Beginning of Period | | $1.0000 | | | $1.0000 | |
| Income From Investment Operations: | | | | | | |
| Net Investment Income (Loss) | | .0478 | | | .0149 | |
| Net Gains or Losses on Securities | | (.0000 | ) | | (.0000 | ) |
| Total From Investment Operations | | .0478 | | | .0149 | |
| | |
| Less Distributions From: | | | | | | |
| Net Investment Income | | (.0478 | ) | | (.0149 | ) |
| Total Distributions | | (.0478 | ) | | (.0149 | ) |
| Net Asset Value, End of Period | | $1.0000 | | | $1.0000 | |
| Total Return†† | | +4.89 | % | | +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 | | 4.78 | % | | 5.16 | %* |
See Notes to Financial Highlights
40
Select Class
| | | | | | |
| | | Year Ended
March 31, | | | Period from
December 18, 2006^
to March 31, | |
| | | 2008 | | | 2007 | |
| Net Asset Value, Beginning of Period | | $1.0000 | | | $1.0000 | |
| Income From Investment Operations: | | | | | | |
| Net Investment Income (Loss) | | .0473 | | | .0148 | |
| Net Gains or Losses on Securities | | (.0000 | ) | | (.0000 | ) |
| Total From Investment Operations | | .0473 | | | .0148 | |
| | |
| Less Distributions From: | | | | | | |
| Net Investment Income | | (.0473 | ) | | (.0148 | ) |
| Total Distributions | | (.0473 | ) | | (.0148 | ) |
| Net Asset Value, End of Period | | $1.0000 | | | $1.0000 | |
| Total Return†† | | +4.84 | % | | +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 | | 4.73 | % | | 5.12 | %* |
Administrative Class
| | | | | | |
| | | Year Ended
March 31, | | | Period from
December 18, 2006^
to March 31, | |
| | | 2008 | | | 2007 | |
| Net Asset Value, Beginning of Period | | $1.0000 | | | $1.0000 | |
| Income From Investment Operations: | | | | | | |
| Net Investment Income (Loss) | | .0463 | | | .0145 | |
| Net Gains or Losses on Securities | | (.0000 | ) | | (.0000 | ) |
| Total From Investment Operations | | .0463 | | | .0145 | |
| | |
| Less Distributions From: | | | | | | |
| Net Investment Income | | (.0463 | ) | | (.0145 | ) |
| Total Distributions | | (.0463 | ) | | (.0145 | ) |
| Net Asset Value, End of Period | | $1.0000 | | | $1.0000 | |
| Total Return†† | | +4.73 | % | | +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 | | 4.63 | % | | 5.02 | %* |
See Notes to Financial Highlights
41
Service Class
| | | | | | |
| | | Year Ended
March 31, | | | Period from
December 18, 2006^
to March 31, | |
| | | 2008 | | | 2007 | |
| Net Asset Value, Beginning of Period | | $1.0000 | | | $1.0000 | |
| Income From Investment Operations: | | | | | | |
| Net Investment Income (Loss) | | .0448 | | | .0140 | |
| Net Gains or Losses on Securities | | (.0000 | ) | | (.0000 | ) |
| Total From Investment Operations | | .0448 | | | .0140 | |
| | |
| Less Distributions From: | | | | | | |
| Net Investment Income | | (.0448 | ) | | (.0140 | ) |
| Total Distributions | | (.0448 | ) | | (.0140 | ) |
| Net Asset Value, End of Period | | $1.0000 | | | $1.0000 | |
| Total Return†† | | +4.58 | % | | +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 | | 4.48 | % | | 4.87 | %* |
Premier Class
| | | | | | |
| | | Year Ended
March 31, | | | Period from
December 18, 2006^
to March 31, | |
| | | 2008 | | | 2007 | |
| Net Asset Value, Beginning of Period | | $1.0000 | | | $1.0000 | |
| Income From Investment Operations: | | | | | | |
| Net Investment Income (Loss) | | .0438 | | | .0138 | |
| Net Gains or Losses on Securities | | (.0000 | ) | | (.0000 | ) |
| Total From Investment Operations | | .0438 | | | .0138 | |
| | |
| Less Distributions From: | | | | | | |
| Net Investment Income | | (.0438 | ) | | (.0138 | ) |
| Total Distributions | | (.0438 | ) | | (.0138 | ) |
| Net Asset Value, End of Period | | $1.0000 | | | $1.0000 | |
| Total Return†† | | +4.47 | % | | +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 | | 4.38 | % | | 4.77 | %* |
See Notes to Financial Highlights
42
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
| | | | | | |
| | | Year Ended
March 31, | | | Period from
December 18, 2006^
to March 31, | |
| | | 2008 | | | 2007 | |
| Net Asset Value, Beginning of Period | | $1.0000 | | | $1.0000 | |
| Income From Investment Operations: | | | | | | |
| Net Investment Income (Loss) | | .0485 | | | .0151 | |
| Net Gains or Losses on Securities | | .0001 | | | (.0000 | ) |
| Total From Investment Operations | | .0486 | | | .0151 | |
| | |
| Less Distributions From: | | | | | | |
| Net Investment Income | | (.0485 | ) | | (.0151 | ) |
| Total Distributions | | (.0485 | ) | | (.0151 | ) |
| Net Asset Value, End of Period | | $1.0001 | | | $1.0000 | |
| Total Return†† | | +4.95 | % | | +1.52 | %** |
| | |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (in millions) | | $3,317.2 | | | $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 | | 4.86 | % | | 5.25 | %* |
See Notes to Financial Highlights
43
Cash Management Class
| | | | | | |
| | | Year Ended
March 31, | | | Period from
December 18, 2006^
to March 31, | |
| | | 2008 | | | 2007 | |
| Net Asset Value, Beginning of Period | | $1.0000 | | | $1.0000 | |
| Income From Investment Operations: | | | | | | |
| Net Investment Income (Loss) | | .0480 | | | .0150 | |
| Net Gains or Losses on Securities | | .0001 | | | (.0000 | ) |
| Total From Investment Operations | | .0481 | | | .0150 | |
| | |
| Less Distributions From: | | | | | | |
| Net Investment Income | | (.0480 | ) | | (.0150 | ) |
| Total Distributions | | (.0480 | ) | | (.0150 | ) |
| Net Asset Value, End of Period | | $1.0001 | | | $1.0000 | |
| Total Return†† | | +4.90 | % | | +1.51 | %** |
| | |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (in millions) | | $92.5 | | | $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 | | 4.59 | % | | 5.20 | %* |
Capital Class
| | | | | | |
| | | Year Ended
March 31, | | | Period from
December 18, 2006^
to March 31, | |
| | | 2008 | | | 2007 | |
| Net Asset Value, Beginning of Period | | $1.0000 | | | $1.0000 | |
| Income From Investment Operations: | | | | | | |
| Net Investment Income (Loss) | | .0475 | | | .0149 | |
| Net Gains or Losses on Securities | | .0000 | | | (.0000 | ) |
| Total From Investment Operations | | .0475 | | | .0149 | |
| | |
| Less Distributions From: | | | | | | |
| Net Investment Income | | (.0475 | ) | | (.0149 | ) |
| Total Distributions | | (.0475 | ) | | (.0149 | ) |
| Net Asset Value, End of Period | | $1.0000 | | | $1.0000 | |
| Total Return†† | | +4.85 | % | | +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 | | 4.75 | % | | 5.15 | %* |
See Notes to Financial Highlights
44
Select Class
| | | | | | |
| | | Year Ended
March 31, | | | Period from
December 18, 2006^
to March 31, | |
| | | 2008 | | | 2007 | |
| Net Asset Value, Beginning of Period | | $1.0000 | | | $1.0000 | |
| Income From Investment Operations: | | | | | | |
| Net Investment Income (Loss) | | .0470 | | | .0147 | |
| Net Gains or Losses on Securities | | .0000 | | | (.0000 | ) |
| Total From Investment Operations | | .0470 | | | .0147 | |
| | |
| Less Distributions From: | | | | | | |
| Net Investment Income | | (.0470 | ) | | (.0147 | ) |
| Total Distributions | | (.0470 | ) | | (.0147 | ) |
| Net Asset Value, End of Period | | $1.0000 | | | $1.0000 | |
| Total Return†† | | +4.80 | % | | +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 | | 4.70 | % | | 5.10 | %* |
Administrative Class
| | | | | | |
| | | Year Ended
March 31, | | | Period from
December 18, 2006^
to March 31, | |
| | | 2008 | | | 2007 | |
| Net Asset Value, Beginning of Period | | $1.0000 | | | $1.0000 | |
| Income From Investment Operations: | | | | | | |
| Net Investment Income (Loss) | | .0460 | | | .0144 | |
| Net Gains or Losses on Securities | | .0001 | | | (.0000 | ) |
| Total From Investment Operations | | .0461 | | | .0144 | |
| | |
| Less Distributions From: | | | | | | |
| Net Investment Income | | (.0460 | ) | | (.0144 | ) |
| Total Distributions | | (.0460 | ) | | (.0144 | ) |
| Net Asset Value, End of Period | | $1.0001 | | | $1.0000 | |
| Total Return†† | | +4.69 | % | | +1.45 | %** |
| | |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (in millions) | | $22.5 | | | $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 | | 4.42 | % | | 5.00 | %* |
See Notes to Financial Highlights
45
Service Class
| | | | | | |
| | | Year Ended
March 31, | | | Period from
December 18, 2006^
to March 31, | |
| | | 2008 | | | 2007 | |
| Net Asset Value, Beginning of Period | | $1.0000 | | | $1.0000 | |
| Income From Investment Operations: | | | | | | |
| Net Investment Income (Loss) | | .0445 | | | .0140 | |
| Net Gains or Losses on Securities | | .0001 | | | (.0000 | ) |
| Total From Investment Operations | | .0446 | | | .0140 | |
| | |
| Less Distributions From: | | | | | | |
| Net Investment Income | | (.0445 | ) | | (.0140 | ) |
| Total Distributions | | (.0445 | ) | | (.0140 | ) |
| Net Asset Value, End of Period | | $1.0001 | | | $1.0000 | |
| Total Return†† | | +4.54 | % | | +1.41 | %** |
| | |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (in millions) | | $5.4 | | | $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 | | 4.07 | % | | 4.85 | %* |
Premier Class
| | | | | | |
| | | Year Ended
March 31, | | | Period from
December 18, 2006^
to March 31, | |
| | | 2008 | | | 2007 | |
| Net Asset Value, Beginning of Period | | $1.0000 | | | $1.0000 | |
| Income From Investment Operations: | | | | | | |
| Net Investment Income (Loss) | | .0435 | | | .0137 | |
| Net Gains or Losses on Securities | | .0000 | | | (.0000 | ) |
| Total From Investment Operations | | .0435 | | | .0137 | |
| | |
| Less Distributions From: | | | | | | |
| Net Investment Income | | (.0435 | ) | | (.0137 | ) |
| Total Distributions | | (.0435 | ) | | (.0137 | ) |
| Net Asset Value, End of Period | | $1.0000 | | | $1.0000 | |
| Total Return†† | | +4.43 | % | | +1.38 | %** |
| | |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (in millions) | | $421.6 | | | $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 | | 4.22 | % | | 4.75 | %* |
See Notes to Financial Highlights
46
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
| | | | | | |
| | | Year Ended
March 31, | | | Period from
December 18, 2006^
to March 31, | |
| | | 2008 | | | 2007 | |
| Net Asset Value, Beginning of Period | | $1.0000 | | | $1.0000 | |
| Income From Investment Operations: | | | | | | |
| Net Investment Income (Loss) | | .0463 | | | .0149 | |
| Net Gains or Losses on Securities | | .0002 | | | — | |
| Total From Investment Operations | | .0465 | | | .0149 | |
| | |
| Less Distributions From: | | | | | | |
| Net Investment Income | | (.0463 | ) | | (.0149 | ) |
| Total Distributions | | (.0463 | ) | | (.0149 | ) |
| Net Asset Value, End of Period | | $1.0002 | | | $1.0000 | |
| Total Return†† | | +4.73 | % | | +1.50 | %** |
| | |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (in millions) | | $1,781.1 | | | $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 | | 4.16 | % | | 5.19 | %* |
See Notes to Financial Highlights
47
Cash Management Class
| | | | | | |
| | | Year Ended
March 31, | | | Period from
December 18, 2006^
to March 31, | |
| | | 2008 | | | 2007 | |
| Net Asset Value, Beginning of Period | | $1.0000 | | | $1.0000 | |
| Income From Investment Operations: | | | | | | |
| Net Investment Income (Loss) | | .0458 | | | .0148 | |
| Net Gains or Losses on Securities | | .0002 | | | — | |
| Total From Investment Operations | | .0460 | | | .0148 | |
| | |
| Less Distributions From: | | | | | | |
| Net Investment Income | | (.0458 | ) | | (.0148 | ) |
| Total Distributions | | (.0458 | ) | | (.0148 | ) |
| Net Asset Value, End of Period | | $1.0002 | | | $1.0000 | |
| Total Return†† | | +4.67 | % | | +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 | | 4.52 | % | | 5.13 | %* |
Capital Class
| | | | | | |
| | | Year Ended
March 31, | | | Period from
December 18, 2006^
to March 31, | |
| | | 2008 | | | 2007 | |
| Net Asset Value, Beginning of Period | | $1.0000 | | | $1.0000 | |
| Income From Investment Operations: | | | | | | |
| Net Investment Income (Loss) | | .0453 | | | .0147 | |
| Net Gains or Losses on Securities | | .0002 | | | — | |
| Total From Investment Operations | | .0455 | | | .0147 | |
| | |
| Less Distributions From: | | | | | | |
| Net Investment Income | | (.0453 | ) | | (.0147 | ) |
| Total Distributions | | (.0453 | ) | | (.0147 | ) |
| Net Asset Value, End of Period | | $1.0002 | | | $1.0000 | |
| Total Return†† | | +4.62 | % | | +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 | | 4.53 | % | | 5.08 | %* |
See Notes to Financial Highlights
48
Select Class
| | | | | | |
| | | Year Ended
March 31, | | | Period from
December 18, 2006^
to March 31, | |
| | | 2008 | | | 2007 | |
| Net Asset Value, Beginning of Period | | $1.0000 | | | $1.0000 | |
| Income From Investment Operations: | | | | | | |
| Net Investment Income (Loss) | | .0448 | | | .0145 | |
| Net Gains or Losses on Securities | | .0002 | | | — | |
| Total From Investment Operations | | .0450 | | | .0145 | |
| | |
| Less Distributions From: | | | | | | |
| Net Investment Income | | (.0448 | ) | | (.0145 | ) |
| Total Distributions | | (.0448 | ) | | (.0145 | ) |
| Net Asset Value, End of Period | | $1.0002 | | | $1.0000 | |
| Total Return†† | | +4.57 | % | | +1.46 | %** |
| | |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (in millions) | | $6.1 | | | $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 | | 4.27 | % | | 5.03 | %* |
Administrative Class
| | | | | | |
| | | Year Ended
March 31, | | | Period from
December 18, 2006^
to March 31, | |
| | | 2008 | | | 2007 | |
| Net Asset Value, Beginning of Period | | $1.0000 | | | $1.0000 | |
| Income From Investment Operations: | | | | | | |
| Net Investment Income (Loss) | | .0438 | | | .0142 | |
| Net Gains or Losses on Securities | | .0002 | | | — | |
| Total From Investment Operations | | .0440 | | | .0142 | |
| | |
| Less Distributions From: | | | | | | |
| Net Investment Income | | (.0438 | ) | | (.0142 | ) |
| Total Distributions | | (.0438 | ) | | (.0142 | ) |
| Net Asset Value, End of Period | | $1.0002 | | | $1.0000 | |
| Total Return†† | | +4.47 | % | | +1.43 | %** |
| | |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (in millions) | | $34.6 | | | $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 | | 3.91 | % | | 4.94 | %* |
See Notes to Financial Highlights
49
Service Class
| | | | | | |
| | | Year Ended
March 31, | | | Period from
December 18, 2006^
to March 31, | |
| | | 2008 | | | 2007 | |
| Net Asset Value, Beginning of Period | | $1.0000 | | | $1.0000 | |
| Income From Investment Operations: | | | | | | |
| Net Investment Income (Loss) | | .0423 | | | .0138 | |
| Net Gains or Losses on Securities | | .0002 | | | — | |
| Total From Investment Operations | | .0425 | | | .0138 | |
| | |
| Less Distributions From: | | | | | | |
| Net Investment Income | | (.0423 | ) | | (.0138 | ) |
| Total Distributions | | (.0423 | ) | | (.0138 | ) |
| Net Asset Value, End of Period | | $1.0002 | | | $1.0000 | |
| Total Return†† | | +4.31 | % | | +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 | | 4.23 | % | | 4.78 | %* |
Premier Class
| | | | | | |
| | | Year Ended
March 31, | | | Period from
December 18, 2006^
to March 31, | |
| | | 2008 | | | 2007 | |
| Net Asset Value, Beginning of Period | | $1.0000 | | | $1.0000 | |
| Income From Investment Operations: | | | | | | |
| Net Investment Income (Loss) | | .0413 | | | .0135 | |
| Net Gains or Losses on Securities | | .0002 | | | — | |
| Total From Investment Operations | | .0415 | | | .0135 | |
| | |
| Less Distributions From: | | | | | | |
| Net Investment Income | | (.0413 | ) | | (.0135 | ) |
| Total Distributions | | (.0413 | ) | | (.0135 | ) |
| Net Asset Value, End of Period | | $1.0002 | | | $1.0000 | |
| Total Return†† | | +4.21 | % | | +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 | | 4.13 | % | | 4.68 | %* |
See Notes to Financial Highlights
50
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 March 31, | |
| | | 2008 | |
| Net Asset Value, Beginning of Period | | $1.0000 | |
| Income From Investment Operations: | | | |
| Net Investment Income (Loss) | | .0319 | |
| Net Gains or Losses on Securities | | .0000 | |
| Total From Investment Operations | | .0319 | |
| |
| Less Distributions From: | | | |
| Net Investment Income | | (.0319 | ) |
| Total Distributions | | (.0319 | ) |
| Net Asset Value, End of Period | | $1.0000 | |
| Total Return†† | | +3.23 | %** |
| |
| Ratios/Supplemental Data | | | |
| Net Assets, End of Period (in millions) | | $888.0 | |
| 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 | | 4.02 | %* |
See Notes to Financial Highlights
51
Cash Management Class
| | | |
| | | Period from
July 9, 2007^
to March 31, | |
| | | 2008 | |
| Net Asset Value, Beginning of Period | | $1.0000 | |
| Income From Investment Operations: | | | |
| Net Investment Income (Loss) | | .0315 | |
| Net Gains or Losses on Securities | | .0000 | |
| Total From Investment Operations | | .0315 | |
| |
| Less Distributions From: | | | |
| Net Investment Income | | (.0315 | ) |
| Total Distributions | | (.0315 | ) |
| Net Asset Value, End of Period | | $1.0000 | |
| Total Return†† | | +3.20 | %** |
| |
| 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 | | 4.31 | %* |
Capital Class
| | | |
| | | Period from
July 9, 2007^
to March 31, | |
| | | 2008 | |
| Net Asset Value, Beginning of Period | | $1.0000 | |
| Income From Investment Operations: | | | |
| Net Investment Income (Loss) | | .0312 | |
| Net Gains or Losses on Securities | | .0000 | |
| Total From Investment Operations | | .0312 | |
| |
| Less Distributions From: | | | |
| Net Investment Income | | (.0312 | ) |
| Total Distributions | | (.0312 | ) |
| Net Asset Value, End of Period | | $1.0000 | |
| Total Return†† | | +3.16 | %** |
| |
| 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 | | 4.26 | %* |
See Notes to Financial Highlights
52
Select Class
| | | |
| | | Period from
July 9, 2007^
to March 31, | |
| | | 2008 | |
| Net Asset Value, Beginning of Period | | $1.0000 | |
| Income From Investment Operations: | | | |
| Net Investment Income (Loss) | | .0308 | |
| Net Gains or Losses on Securities | | .0000 | |
| Total From Investment Operations | | .0308 | |
| |
| Less Distributions From: | | | |
| Net Investment Income | | (.0308 | ) |
| Total Distributions | | (.0308 | ) |
| Net Asset Value, End of Period | | $1.0000 | |
| Total Return†† | | +3.12 | %** |
| |
| 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 | | 4.21 | %* |
Administrative Class
| | | |
| | | Period from
July 9, 2007^
to March 31, | |
| | | 2008 | |
| Net Asset Value, Beginning of Period | | $1.0000 | |
| Income From Investment Operations: | | | |
| Net Investment Income (Loss) | | .0301 | |
| Net Gains or Losses on Securities | | .0000 | |
| Total From Investment Operations | | .0301 | |
| |
| Less Distributions From: | | | |
| Net Investment Income | | (.0301 | ) |
| Total Distributions | | (.0301 | ) |
| Net Asset Value, End of Period | | $1.0000 | |
| Total Return†† | | +3.05 | %** |
| |
| 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 | | 4.11 | %* |
See Notes to Financial Highlights
53
Service Class
| | | |
| | | Period from
July 9, 2007^
to March 31, | |
| | | 2008 | |
| Net Asset Value, Beginning of Period | | $1.0000 | |
| Income From Investment Operations: | | | |
| Net Investment Income (Loss) | | .0290 | |
| Net Gains or Losses on Securities | | .0000 | |
| Total From Investment Operations | | .0290 | |
| |
| Less Distributions From: | | | |
| Net Investment Income | | (.0290 | ) |
| Total Distributions | | (.0290 | ) |
| Net Asset Value, End of Period | | $1.0000 | |
| Total Return†† | | +2.93 | %** |
| |
| 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 | | 3.96 | %* |
Premier Class
| | | |
| | | Period from
July 9, 2007^
to March 31, | |
| | | 2008 | |
| Net Asset Value, Beginning of Period | | $1.0000 | |
| Income From Investment Operations: | | | |
| Net Investment Income (Loss) | | .0282 | |
| Net Gains or Losses on Securities | | .0000 | |
| Total From Investment Operations | | .0282 | |
| |
| Less Distributions From: | | | |
| Net Investment Income | | (.0282 | ) |
| Total Distributions | | (.0282 | ) |
| Net Asset Value, End of Period | | $1.0000 | |
| Total Return†† | | +2.86 | %** |
| |
| 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 | | 3.86 | %* |
See Notes to Financial Highlights
54
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
| | | | | | |
| | | Year Ended
March 31, | | | Period from
December 18, 2006^
to March 31, | |
| | | 2008 | | | 2007 | |
| Net Asset Value, Beginning of Period | | $1.0000 | | | $1.0000 | |
| Income From Investment Operations: | | | | | | |
| Net Investment Income (Loss) | | .0412 | | | .0146 | |
| Net Gains or Losses on Securities | | .0000 | | | .0000 | |
| Total From Investment Operations | | .0412 | | | .0146 | |
| | |
| Less Distributions From: | | | | | | |
| Net Investment Income | | (.0412 | ) | | (.0146 | ) |
| Total Distributions | | (.0412 | ) | | (.0146 | ) |
| Net Asset Value, End of Period | | $1.0000 | | | $1.0000 | |
| Total Return†† | | +4.20 | % | | +1.47 | %** |
| | |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (in millions) | | $3,737.0 | | | $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 | | 3.29 | % | | 5.08 | %* |
See Notes to Financial Highlights
55
Cash Management Class
| | | | | | |
| | | Year Ended
March 31, | | | Period from
December 18, 2006^
to March 31, | |
| | | 2008 | | | 2007 | |
| Net Asset Value, Beginning of Period | | $1.0000 | | | $1.0000 | |
| Income From Investment Operations: | | | | | | |
| Net Investment Income (Loss) | | .0407 | | | .0144 | |
| Net Gains or Losses on Securities | | .0002 | | | .0000 | |
| Total From Investment Operations | | .0409 | | | .0144 | |
| | |
| Less Distributions From: | | | | | | |
| Net Investment Income | | (.0407 | ) | | (.0144 | ) |
| Total Distributions | | (.0407 | ) | | (.0144 | ) |
| Net Asset Value, End of Period | | $1.0002 | | | $1.0000 | |
| Total Return†† | | +4.15 | % | | +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 | | 4.07 | % | | 5.00 | %* |
Capital Class
| | | | | | |
| | | Year Ended
March 31, | | | Period from
December 18, 2006^
to March 31, | |
| | | 2008 | | | 2007 | |
| Net Asset Value, Beginning of Period | | $1.0000 | | | $1.0000 | |
| Income From Investment Operations: | | | | | | |
| Net Investment Income (Loss) | | .0402 | | | .0143 | |
| Net Gains or Losses on Securities | | .0002 | | | .0000 | |
| Total From Investment Operations | | .0404 | | | .0143 | |
| | |
| Less Distributions From: | | | | | | |
| Net Investment Income | | (.0402 | ) | | (.0143 | ) |
| Total Distributions | | (.0402 | ) | | (.0143 | ) |
| Net Asset Value, End of Period | | $1.0002 | | | $1.0000 | |
| Total Return†† | | +4.10 | % | | +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 | | 4.02 | % | | 4.95 | %* |
See Notes to Financial Highlights
56
Select Class
| | | | | | |
| | | Year Ended
March 31, | | | Period from
December 18, 2006^
to March 31, | |
| | | 2008 | | | 2007 | |
| Net Asset Value, Beginning of Period | | $1.0000 | | | $1.0000 | |
| Income From Investment Operations: | | | | | | |
| Net Investment Income (Loss) | | .0397 | | | .0141 | |
| Net Gains or Losses on Securities | | .0002 | | | .0000 | |
| Total From Investment Operations | | .0399 | | | .0141 | |
| | |
| Less Distributions From: | | | | | | |
| Net Investment Income | | (.0397 | ) | | (.0141 | ) |
| Total Distributions | | (.0397 | ) | | (.0141 | ) |
| Net Asset Value, End of Period | | $1.0002 | | | $1.0000 | |
| Total Return†† | | +4.05 | % | | +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 | | 3.97 | % | | 4.90 | %* |
Administrative Class
| | | | | | |
| | | Year Ended
March 31, | | | Period from
December 18, 2006^
to March 31, | |
| | | 2008 | | | 2007 | |
| Net Asset Value, Beginning of Period | | $1.0000 | | | $1.0000 | |
| Income From Investment Operations: | | | | | | |
| Net Investment Income (Loss) | | .0387 | | | .0139 | |
| Net Gains or Losses on Securities | | .0002 | | | .0000 | |
| Total From Investment Operations | | .0389 | | | .0139 | |
| | |
| Less Distributions From: | | | | | | |
| Net Investment Income | | (.0387 | ) | | (.0139 | ) |
| Total Distributions | | (.0387 | ) | | (.0139 | ) |
| Net Asset Value, End of Period | | $1.0002 | | | $1.0000 | |
| Total Return†† | | +3.94 | % | | +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 | | 3.87 | % | | 4.80 | %* |
See Notes to Financial Highlights
57
Service Class
| | | | | | |
| | | Year Ended
March 31, | | | Period from
December 18, 2006^
to March 31, | |
| | | 2008 | | | 2007 | |
| Net Asset Value, Beginning of Period | | $1.0000 | | | $1.0000 | |
| Income From Investment Operations: | | | | | | |
| Net Investment Income (Loss) | | .0372 | | | .0134 | |
| Net Gains or Losses on Securities | | .0002 | | | .0000 | |
| Total From Investment Operations | | .0374 | | | .0134 | |
| | |
| Less Distributions From: | | | | | | |
| Net Investment Income | | (.0372 | ) | | (.0134 | ) |
| Total Distributions | | (.0372 | ) | | (.0134 | ) |
| Net Asset Value, End of Period | | $1.0002 | | | $1.0000 | |
| Total Return†† | | +3.79 | % | | +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 | | 3.72 | % | | 4.65 | %* |
Premier Class
| | | | | | |
| | | Year Ended
March 31, | | | Period from
December 18, 2006^
to March 31, | |
| | | 2008 | | | 2007 | |
| Net Asset Value, Beginning of Period | | $1.0000 | | | $1.0000 | |
| Income From Investment Operations: | | | | | | |
| Net Investment Income (Loss) | | .0363 | | | .0131 | |
| Net Gains or Losses on Securities | | .0000 | | | .0000 | |
| Total From Investment Operations | | .0363 | | | .0131 | |
| | |
| Less Distributions From: | | | | | | |
| Net Investment Income | | (.0363 | ) | | (.0131 | ) |
| Total Distributions | | (.0363 | ) | | (.0131 | ) |
| Net Asset Value, End of Period | | $1.0000 | | | $1.0000 | |
| Total Return†† | | +3.69 | % | | +1.32 | %** |
| | |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (in millions) | | $318.7 | | | $1.0 | |
| Ratio of Gross Expenses to Average Net Assets# | | .57 | % | | .60 | %* |
| Ratio of Net Expenses to Average Net Assets‡ | | .57 | % | | .60 | %* |
| Ratio of Net Investment Income (Loss) to Average Net Assets | | 1.40 | % | | 4.56 | %* |
See Notes to Financial Highlights
58
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 March 31, | |
| | | 2008 | |
| Net Asset Value, Beginning of Period | | $1.0000 | |
| Income From Investment Operations: | | | |
| Net Investment Income (Loss) | | .0172 | |
| Net Gains or Losses on Securities | | .0003 | |
| Total From Investment Operations | | .0175 | |
| |
| Less Distributions From: | | | |
| Net Investment Income | | (.0172 | ) |
| Total Distributions | | (.0172 | ) |
| Net Asset Value, End of Period | | $1.0003 | |
| Total Return†† | | +1.73 | %** |
| |
| Ratios/Supplemental Data | | | |
| Net Assets, End of Period (in millions) | | $390.3 | |
| 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 | | 2.93 | %* |
See Notes to Financial Highlights
59
Cash Management Class
| | | |
| | | Period from
September 10, 2007^
to March 31, | |
| | | 2008 | |
| Net Asset Value, Beginning of Period | | $1.0000 | |
| Income From Investment Operations: | | | |
| Net Investment Income (Loss) | | .0170 | |
| Net Gains or Losses on Securities | | .0023 | |
| Total From Investment Operations | | .0193 | |
| |
| Less Distributions From: | �� | | |
| Net Investment Income | | (.0170 | ) |
| Total Distributions | | (.0170 | ) |
| Net Asset Value, End of Period | | $1.0023 | |
| Total Return†† | | +1.71 | %** |
| |
| 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 | | 3.19 | %* |
Capital Class
| | | |
| | | Period from
September 10, 2007^
to March 31, | |
| | | 2008 | |
| Net Asset Value, Beginning of Period | | $1.0000 | |
| Income From Investment Operations: | | | |
| Net Investment Income (Loss) | | .0167 | |
| Net Gains or Losses on Securities | | .0003 | |
| Total From Investment Operations | | .0170 | |
| |
| Less Distributions From: | | | |
| Net Investment Income | | (.0167 | ) |
| Total Distributions | | (.0167 | ) |
| Net Asset Value, End of Period | | $1.0003 | |
| Total Return†† | | +1.68 | %** |
| |
| 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 | | 2.98 | %* |
See Notes to Financial Highlights
60
Select Class
| | | |
| | | Period from
September 10, 2007^
to March 31, | |
| | | 2008 | |
| Net Asset Value, Beginning of Period | | $1.0000 | |
| Income From Investment Operations: | | | |
| Net Investment Income (Loss) | | .0164 | |
| Net Gains or Losses on Securities | | .0003 | |
| Total From Investment Operations | | .0167 | |
| |
| Less Distributions From: | | | |
| Net Investment Income | | (.0164 | ) |
| Total Distributions | | (.0164 | ) |
| Net Asset Value, End of Period | | $1.0003 | |
| Total Return†† | | +1.65 | %** |
| |
| 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 | | 2.93 | %* |
Administrative Class
| | | |
| | | Period from
September 10, 2007^
to March 31, | |
| | | 2008 | |
| Net Asset Value, Beginning of Period | | $1.0000 | |
| Income From Investment Operations: | | | |
| Net Investment Income (Loss) | | .0158 | |
| Net Gains or Losses on Securities | | .0003 | |
| Total From Investment Operations | | .0161 | |
| |
| Less Distributions From: | | | |
| Net Investment Income | | (.0158 | ) |
| Total Distributions | | (.0158 | ) |
| Net Asset Value, End of Period | | $1.0003 | |
| Total Return†† | | +1.59 | %** |
| |
| 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 | | 2.83 | %* |
See Notes to Financial Highlights
61
Service Class
| | | |
| | | Period from
September 10, 2007^
to March 31, | |
| | | 2008 | |
| Net Asset Value, Beginning of Period | | $1.0000 | |
| Income From Investment Operations: | | | |
| Net Investment Income (Loss) | | .0150 | |
| Net Gains or Losses on Securities | | .0003 | |
| Total From Investment Operations | | .0153 | |
| |
| Less Distributions From: | | | |
| Net Investment Income | | (.0150 | ) |
| Total Distributions | | (.0150 | ) |
| Net Asset Value, End of Period | | $1.0003 | |
| Total Return†† | | +1.51 | %** |
| |
| 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 | | 2.68 | %* |
Premier Class
| | | |
| | | Period from
September 10, 2007^
to March 31, | |
| | | 2008 | |
| Net Asset Value, Beginning of Period | | $1.0000 | |
| Income From Investment Operations: | | | |
| Net Investment Income (Loss) | | .0144 | |
| Net Gains or Losses on Securities | | .0002 | |
| Total From Investment Operations | | .0146 | |
| |
| Less Distributions From: | | | |
| Net Investment Income | | (.0144 | ) |
| Total Distributions | | (.0144 | ) |
| Net Asset Value, End of Period | | $1.0002 | |
| Total Return†† | | +1.45 | %** |
| |
| Ratios/Supplemental Data | | | |
| Net Assets, End of Period (in millions) | | $39.7 | |
| 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 | | 2.12 | %* |
See Notes to Financial Highlights
62
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 March 31, | |
| | | 2008 | |
| Net Asset Value, Beginning of Period | | $1.0000 | |
| Income From Investment Operations: | | | |
| Net Investment Income (Loss) | | .0178 | |
| Net Gains or Losses on Securities | | .0003 | |
| Total From Investment Operations | | .0181 | |
| |
| Less Distributions From: | | | |
| Net Investment Income | | (.0178 | ) |
| Total Distributions | | (.0178 | ) |
| Net Asset Value, End of Period | | $1.0003 | |
| Total Return†† | | +1.79 | %** |
| |
| Ratios/Supplemental Data | | | |
| Net Assets, End of Period (in millions) | | $27.9 | |
| 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 | | 3.28 | %* |
See Notes to Financial Highlights
63
Cash Management Class
| | | |
| | | Period from
September 10, 2007^
to March 31, | |
| | | 2008 | |
| Net Asset Value, Beginning of Period | | $1.0000 | |
| Income From Investment Operations: | | | |
| Net Investment Income (Loss) | | .0175 | |
| Net Gains or Losses on Securities | | .0010 | |
| Total From Investment Operations | | .0185 | |
| |
| Less Distributions From: | | | |
| Net Investment Income | | (.0175 | ) |
| Total Distributions | | (.0175 | ) |
| Net Asset Value, End of Period | | $1.0010 | |
| Total Return†† | | +1.76 | %** |
| |
| Ratios/Supplemental Data | | | |
| Net Assets, End of Period (in millions) | | $1.1 | |
| 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 | | 2.75 | %* |
Capital Class
| | | |
| | | Period from
September 10, 2007^
to March 31, | |
| | | 2008 | |
| Net Asset Value, Beginning of Period | | $1.0000 | |
| Income From Investment Operations: | | | |
| Net Investment Income (Loss) | | .0172 | |
| Net Gains or Losses on Securities | | .0002 | |
| Total From Investment Operations | | .0174 | |
| |
| Less Distributions From: | | | |
| Net Investment Income | | (.0172 | ) |
| Total Distributions | | (.0172 | ) |
| Net Asset Value, End of Period | | $1.0002 | |
| Total Return†† | | +1.73 | %** |
| |
| 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 | | 3.08 | %* |
See Notes to Financial Highlights
64
Select Class
| | | |
| | | Period from
September 10, 2007^
to March 31, | |
| | | 2008 | |
| Net Asset Value, Beginning of Period | | $1.0000 | |
| Income From Investment Operations: | | | |
| Net Investment Income (Loss) | | .0169 | |
| Net Gains or Losses on Securities | | .0002 | |
| Total From Investment Operations | | .0171 | |
| |
| Less Distributions From: | | | |
| Net Investment Income | | (.0169 | ) |
| Total Distributions | | (.0169 | ) |
| Net Asset Value, End of Period | | $1.0002 | |
| Total Return†† | | +1.70 | %** |
| |
| 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 | | 3.03 | %* |
Administrative Class
| | | |
| | | Period from
September 10, 2007^
to March 31, | |
| | | 2008 | |
| Net Asset Value, Beginning of Period | | $1.0000 | |
| Income From Investment Operations: | | | |
| Net Investment Income (Loss) | | .0164 | |
| Net Gains or Losses on Securities | | .0002 | |
| Total From Investment Operations | | .0166 | |
| |
| Less Distributions From: | | | |
| Net Investment Income | | (.0164 | ) |
| Total Distributions | | (.0164 | ) |
| Net Asset Value, End of Period | | $1.0002 | |
| Total Return†† | | +1.65 | %** |
| |
| 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 | | 2.93 | %* |
See Notes to Financial Highlights
65
Service Class
| | | |
| | | Period from
September 10, 2007^
to March 31, | |
| | | 2008 | |
| Net Asset Value, Beginning of Period | | $1.0000 | |
| Income From Investment Operations: | | | |
| Net Investment Income (Loss) | | .0155 | |
| Net Gains or Losses on Securities | | .0002 | |
| Total From Investment Operations | | .0157 | |
| |
| Less Distributions From: | | | |
| Net Investment Income | | (.0155 | ) |
| Total Distributions | | (.0155 | ) |
| Net Asset Value, End of Period | | $1.0002 | |
| Total Return†† | | +1.56 | %** |
| |
| 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 | | 2.78 | %* |
Premier Class
| | | |
| | | Period from
September 10, 2007^
to March 31, | |
| | | 2008 | |
| Net Asset Value, Beginning of Period | | $1.0000 | |
| Income From Investment Operations: | | | |
| Net Investment Income (Loss) | | .0150 | |
| Net Gains or Losses on Securities | | .0002 | |
| Total From Investment Operations | | .0152 | |
| |
| Less Distributions From: | | | |
| Net Investment Income | | (.0150 | ) |
| Total Distributions | | (.0150 | ) |
| Net Asset Value, End of Period | | $1.0002 | |
| Total Return†† | | +1.51 | %** |
| |
| 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 | | 2.67 | %* |
See Notes to Financial Highlights
66
Notes to Financial Highlights Institutional Liquidity Funds
† | 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: |
| | | | | | |
| | | Year Ended
March 31,
2008(2) | | | Period Ended March 31, 2007(1) | |
| Money Market Institutional Class | | 0.29 | % | | 0.71 | % |
| Money Market Cash Management Class | | 0.33 | | | 1.91 | |
| Money Market Capital Class | | 0.36 | | | 1.96 | |
| Money Market Select Class | | 0.41 | | | 2.01 | |
| Money Market Administrative Class | | 0.51 | | | 2.11 | |
| Money Market Service Class | | 0.66 | | | 2.26 | |
| Money Market Premier Class | | 0.76 | | | 2.36 | |
| | |
| Prime Institutional Class | | 0.21 | | | 0.26 | |
| Prime Cash Management Class | | 0.26 | | | 0.56 | |
| Prime Capital Class | | 0.31 | | | 0.61 | |
| Prime Select Class | | 0.36 | | | 0.66 | |
| Prime Administrative Class | | 0.47 | | | 0.76 | |
| Prime Service Class | | 0.62 | | | 0.91 | |
| Prime Premier Class | | 0.71 | | | 0.89 | |
| | |
| Government Institutional Class | | 0.22 | | | 0.27 | |
| Government Cash Management Class | | 0.28 | | | 0.36 | |
| Government Capital Class | | 0.33 | | | 0.41 | |
| Government Select Class | | 0.37 | | | 0.46 | |
| Government Administrative Class | | 0.46 | | | 0.53 | |
| Government Service Class | | 0.63 | | | 0.71 | |
| Government Premier Class | | 0.73 | | | 0.81 | |
| | |
| Government Reserves Institutional Class | | 0.26 | | | — | |
| Government Reserves Cash Management Class | | 0.33 | | | — | |
| Government Reserves Capital Class | | 0.38 | | | — | |
| Government Reserves Select Class | | 0.43 | | | — | |
| Government Reserves Administrative Class | | 0.53 | | | — | |
| Government Reserves Service Class | | 0.68 | | | — | |
| Government Reserves Premier Class | | 0.78 | | | — | |
67
| | | | | |
| | | Year Ended
March 31,
2008(2) | | Period Ended March 31, 2007(1) | |
| Treasury Institutional Class | | 0.22 | | 0.34 | % |
| Treasury Cash Management Class | | 0.30 | | 0.43 | |
| Treasury Capital Class | | 0.35 | | 0.48 | |
| Treasury Select Class | | 0.40 | | 0.53 | |
| Treasury Administrative Class | | 0.50 | | 0.63 | |
| Treasury Service Class | | 0.65 | | 0.78 | |
| Treasury Premier Class | | 0.69 | | 0.88 | |
| | |
| Tax-Exempt Institutional Class | | 0.42 | | — | |
| Tax-Exempt Cash Management Class | | 0.42 | | — | |
| Tax-Exempt Capital Class | | 0.59 | | — | |
| Tax-Exempt Select Class | | 0.64 | | — | |
| Tax-Exempt Administrative Class | | 0.74 | | — | |
| Tax-Exempt Service Class | | 0.89 | | — | |
| Tax-Exempt Premier Class | | 0.95 | | — | |
| | |
| Municipal Institutional Class | | 0.68 | | — | |
| Municipal Cash Management Class | | 0.83 | | — | |
| Municipal Capital Class | | 1.19 | | — | |
| Municipal Select Class | | 1.24 | | — | |
| Municipal Administrative Class | | 1.34 | | — | |
| Municipal Service Class | | 1.49 | | — | |
| Municipal Premier Class | | 1.58 | | — | |
| | (1) | Period from December 18, 2006 (Commencement of Operations) to March 31, 2007. |
| | (2) | Period from July 9, 2007 (Commencement of Operations) to March 31, 2008 for Government Reserves. Period from September 10, 2007 (Commencement of Operations) to March 31, 2008 for Tax-Exempt and Municipal. |
^ | The date investment operations commenced. |
# | The Portfolio is required to calculate an expense ratio without taking into consideration any expense reductions related to expense offset arrangements. |
68
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Lehman Brothers Institutional Liquidity Funds and Shareholders of Government Portfolio, Government Reserves Portfolio, Money Market Portfolio and Municipal Portfolio:
We have audited the accompanying statements of assets and liabilities of Government Portfolio (Government), Government Reserves Portfolio (Government Reserves), Money Market Portfolio (Money Market), and Municipal Portfolio (Municipal) (four of the series constituting Lehman Brothers Institutional Liquidity Funds) (collectively the “Portfolios”), as of March 31, 2008, and the related statements of operations for the year then ended for Government and Money Market and for the period from July 9, 2007 (commencement of operations) to March 31, 2008 for Government Reserves and for the period from September 10, 2007 (commencement of operations) to March 31, 2008 for Municipal and the statements of changes in net assets and the financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Portfolios’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Portfolios’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Portfolios’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of March 31, 2008, by correspondence with the custodian and brokers. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Government Portfolio, Government Reserves Portfolio, Money Market Portfolio, and Municipal Portfolio, four of the series of Lehman Brothers Institutional Liquidity Funds, at March 31, 2008, the results of their operations for the year then ended for Government and Money Market and for the period from July 9, 2007 (commencement of operations) to March 31, 2008 for Government Reserves and for the period from September 10, 2007 (commencement of operations) to March 31, 2008 for Municipal and the changes in their net assets and the financial highlights for each of the periods indicated therein in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
May 14, 2008
69
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of
Lehman Brothers Institutional Liquidity Funds and
Shareholders of Prime Portfolio, Treasury Portfolio and Tax-Exempt Portfolio
We have audited the accompanying statements of assets and liabilities of Prime Portfolio, Treasury Portfolio, and Tax-Exempt Portfolio (the “Funds”), each a series of Lehman Brothers Institutional Liquidity Funds, as of March 31, 2008, and with respect to the Prime Portfolio and Treasury Portfolio, the related statements of operations for the year then ended, and the statements of changes in net assets and the financial highlights for the year then ended and for the period from December 18, 2006 to March 31, 2007, and with respect to the Tax-Exempt Portfolio, the statements of operations, changes in net assets, and the financial highlights for the period September 10, 2007 (commencement of operations) to March 31, 2008. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Prime Portfolio, Treasury Portfolio, and Tax-Exempt Portfolio as of March 31, 2008, and the results of their operations, the changes in their net assets, and the financial highlights for the periods indicated above, in conformity with accounting principles generally accepted in the United States of America.
Philadelphia, Pennsylvania
May 15, 2008
70
Schedule of Investments Money Market Master Series
| | | | | | | | | |
| PRINCIPAL AMOUNT | | RATING§ | | VALUE†† | |
| (000’s omitted) | | Moody’s | | S&P | | (000’s omitted) | |
| | | |
| U.S. Government Agency Securities (1.1%) | | | | | | | |
| $33,000 | | Fannie Mae, Notes, 3.38%, due 4/24/08 | | AGY | | AGY | | $33,000 | |
| | | |
| Certificates of Deposit (13.5%) | | | | | | | |
| 50,000 | | Banco Bilbao Vizcaya Argentaria SA, Yankee CD, 4.09%, due 7/14/08 | | P-1 | | A-1+ | | 50,005 | |
| 40,000 | | Banco Santander, Yankee CD, 4.22%, due 6/16/08 | | P-1 | | A-1+ | | 40,002 | |
| 50,000 | | BNP Paribas NY, Yankee CD, 3.03%, due 5/27/08 | | P-1 | | A-1+ | | 50,000 | |
| 75,000 | | Canadian Imperial Bank of Commerce, Yankee CD,
3.75% & 4.12%, due 7/11/08 & 7/22/08 | | P-1 | | A-1 | | 75,060 | |
| 30,000 | | Citibank, 2.63%, due 6/26/08 | | P-1 | | A-1+ | | 30,000 | |
| 50,000 | | Deutsche Bank AG, Yankee CD, 3.79%, due 4/22/08 | | P-1 | | A-1+ | | 50,000 | |
| 32,500 | | HBOS Treasury Services PLC, Yankee CD, 5.33%, due 5/30/08 | | P-1 | | A-1+ | | 32,614 | |
| 30,000 | | Royal Bank of Scotland, Yankee CD, 2.74%, due 9/3/08 | | P-1 | | A-1+ | | 30,000 | |
| 30,000 | | Toronto-Dominion Bank, Yankee CD, 2.59%, due 8/25/08 | | P-1 | | A-1+ | | 30,001 | |
| 30,000 | | Westpac Banking Corp., Yankee CD, 2.99%, due 5/27/08 | | P-1 | | A-1+ | | 30,001 | |
| | Total Certificates of Deposit | | | | | | 417,683 | |
| | | |
| Floating Rate Certificates of Deposit (0.3%)µ | | | | | | | |
| 10,000 | | Credito Italiano NY, Floating Rate Yankee CD, 3.35%, due 4/25/08 | | P-1 | | A-1 | | 10,001 | |
| | | |
| Commercial Paper (55.8%) | | | | | | | |
| | | |
| Asset Backed (35.5%) | | | | | | | |
| 50,000 | | Alpine Securitization Corp., 4.11%, due 4/9/08 | | P-1 | | A-1+ | | 49,954 | ñ |
| 26,200 | | Amstel Funding Corp., 3.05% & 3.30%, due 4/21/08 & 4/24/08 | | P-1 | | A-1+ | | 26,151 | ñ |
| 25,000 | | Amsterdam Funding Corp., 2.72%, due 4/21/08 | | P-1 | | A-1 | | 24,962 | ñ |
| 60,000 | | Atlantic Asset Securitization Corp.,
3.12% & 3.90%, due 4/11/08 & 5/2/08 | | P-1 | | A-1 | | 59,919 | ñ |
| 60,000 | | Barton Capital Corp., 3.10% - 3.25%, due 4/1/08 - 5/1/08 | | P-1 | | A-1+ | | 59,893 | ñ |
| 60,000 | | Cancara Asset Securitization Ltd., 2.80% - 4.29%,
due 4/10/08 - 6/20/08 | | P-1 | | A-1+ | | 59,833 | ñ |
| 23,401 | | Chariot Funding LLC, 2.80%, due 4/24/08 | | P-1 | | A-1 | | 23,359 | ñ |
| 40,000 | | CRC Funding LLC, 2.70% & 3.08%, due 4/24/08 & 5/20/08 | | P-1 | | A-1+ | | 39,894 | ñ |
| 10,867 | | Edison Asset Securitization, LLC, 2.75%, due 9/5/08 | | P-1 | | A-1+ | | 10,737 | ñ |
| 50,000 | | Fairway Finance Corp., 3.07%, due 4/18/08 | | P-1 | | A-1 | | 49,928 | ñ |
| 65,000 | | Galleon Capital LLC, 3.15% - 3.25%, due 4/11/08 - 4/24/08 | | P-1 | | A-1 | | 64,890 | ñ |
| 65,000 | | Grampian Funding LLC, 2.93% & 3.26%, due 4/28/08 & 6/12/08 | | P-1 | | A-1+ | | 64,790 | ñ |
| 45,000 | | LMA Americas LLC, 2.85% & 3.00%, due 4/15/08 | | P-1 | | A-1 | | 44,949 | ñ |
| 40,000 | | Mont Blanc Capital Corp., 2.78% & 3.10%, due 4/21/08 & 5/15/08 | | P-1 | | A-1+ | | 39,893 | ñ |
| 40,000 | | Old Line Funding LLC, 2.77% & 3.15%, due 4/14/08 & 4/25/08 | | P-1 | | A-1+ | | 39,944 | ñ |
| 50,000 | | Park Avenue Receivables Co. LLC, 3.05%, due 5/12/08 | | P-1 | | A-1 | | 49,826 | ñ |
| 70,000 | | Picaros Funding PLC, 2.87% & 3.12%, due 5/23/08 & 9/9/08 | | P-1 | | A-1+ | | 69,476 | ñ |
| 50,000 | | Regency Markets No. 1 LLC, 3.95%, due 4/15/08 | | P-1 | | A-1 | | 49,923 | ñ |
| 50,000 | | Scaldis Capital LLC, 4.27%, due 4/14/08 | | P-1 | | A-1+ | | 49,923 | ñ |
| 50,000 | | Solitaire Funding LLC, 4.37%, due 4/14/08 | | P-1 | | A-1+ | | 49,921 | ñ |
| 25,000 | | Tempo Finance Ltd., 4.55%, due 4/4/08 | | P-1 | | A-1+ | | 24,991 | ñ |
| 44,187 | | Thames Asset Securitization LLC, 2.74% & 2.75%, due 7/25/08 & 8/7/08 | | P-1 | | A-1 | | 43,775 | ñ |
See Notes to Schedule of Investments
71
| | | | | | | | | |
| PRINCIPAL AMOUNT | | RATING§ | | VALUE†† | |
| (000’s omitted) | | Moody’s | | S&P | | (000’s omitted) | |
| $15,094 | | Thunder Bay Funding, Inc., 3.10%, due 4/11/08 | | P-1 | | A-1 | | $15,081 | ñ |
| 15,000 | | Variable Funding Capital Corp., 3.18%, due 4/1/08 | | P-1 | | A-1+ | | 15,000 | ñ |
| 70,302 | | Yorktown Capital LLC, 2.72% & 3.00%, due 5/12/08 & 5/23/08 | | P-1 | | A-1+ | | 70,051 | ñ |
| | | | | | | | 1,097,063 | |
| | | |
| Banking (20.3%) | | | | | | | |
| 35,000 | | Allied Irish Bank, 2.67%, due 6/13/08 | | P-1 | | A-1 | | 34,810 | ñ |
| 40,000 | | Anglo Irish Bank Corp., 3.04% & 3.08%, due 4/23/08 & 5/9/08 | | P-1 | | A-1 | | 39,905 | ñ |
| 50,000 | | Australia & New Zealand Bank Corp., 2.99%, due 5/22/08 | | P-1 | | A-1+ | | 49,788 | ñ |
| 25,000 | | Bank of America NA, 2.84%, due 8/8/08 | | P-1 | | A-1+ | | 24,746 | |
| 25,000 | | Bank of Ireland, 3.01%, due 5/8/08 | | P-1 | | A-1 | | 24,923 | ñ |
| 65,000 | | Barclays U.S. Funding Corp., 2.74% & 4.83%, due 4/24/08 & 6/10/08 | | P-1 | | A-1+ | | 64,689 | |
| 69,000 | | Caisse Nationale d’Epargne, 4.44%, due 4/7/08 | | P-1 | | A-1+ | | 68,949 | ñ |
| 20,000 | | Calyon NY, 2.74%, due 9/3/08 | | P-1 | | A-1+ | | 19,764 | |
| 46,708 | | CBA Finance, Inc., 3.00%, due 5/21/08 & 5/28/08 | | P-1 | | A-1+ | | 46,494 | |
| 40,000 | | Dexia Delaware LLC, 3.75%, due 4/16/08 | | P-1 | | A-1+ | | 39,937 | |
| 30,000 | | HSBC Finance Corp., 2.75%, due 6/12/08 | | P-1 | | A-1+ | | 29,835 | |
| 65,000 | | ING Funding LLC, 2.74% & 3.75%, due 5/15/08 & 9/8/08 | | P-1 | | A-1+ | | 64,513 | |
| 25,000 | | Kitty Hawk Funding Corp., 2.60%, due 5/23/08 | | P-1 | | A-1+ | | 24,906 | ñ |
| 24,700 | | Royal Bank of Scotland, 3.00%, due 5/21/08 | | P-1 | | A-1+ | | 24,597 | ñ |
| 22,108 | | Sheffield Receivables Corp., 2.85%, due 4/8/08 | | P-1 | | A-1+ | | 22,096 | ñ |
| 25,000 | | Societe Generale NA, 3.90%, due 8/11/08 | | P-1 | | A-1+ | | 24,642 | |
| 20,000 | | Unicredito Italiano PLC, 4.50%, due 4/14/08 | | P-1 | | A-1 | | 19,967 | ñ |
| | | | | | | | 624,561 | |
| | Total Commercial Paper | | | | | | 1,721,624 | |
| | | |
| Floating Rate Corporate Debt Securities (22.0%)µ | | | | | | | |
| | | |
| Asset Backed (1.2%) | | | | | | | |
| 14,900 | | LP Pinewood SPV, Floating Rate Notes, 3.12%, due 4/3/08 | | P-1 | | | | 14,900 | |
| 10,000 | | Parkland (USA) LLC, Floating Rate Medium-Term Notes,
2.33%, due 4/1/08 | | P-1 | | A-1+ | | 10,000 | ñ |
| 10,880 | | Schreiber Capital Corp., Floating Rate Bonds, 3.12%, due 4/3/08 | | P-1 | | | | 10,880 | �� |
| | | | | | | | 35,780 | |
| | | |
| Banking (12.9%) | | | | | | | |
| 25,000 | | Allied Irish Bank, Floating Rate Medium-Term Notes, 2.54%, due 4/21/08 | | P-1 | | A-1 | | 25,000 | ñ |
| 15,000 | | Australia & New Zealand Bank Corp., Floating Rate Bank Notes,
3.35%, due 6/2/08 | | P-1 | | A-1+ | | 15,000 | ñ |
| 20,000 | | Banco Espanol, Senior Unsubordinated Floating Rate Notes,
3.94%, due 4/18/08 | | P-1 | | A-1+ | | 20,000 | ñ |
| 25,000 | | Bank of Ireland, Unsecured Floating Rate Medium-Term Notes,
2.55%, due 4/21/08 | | P-1 | | A-1 | | 25,000 | ñ |
| 40,000 | | Fortis Bank NY, Floating Rate Notes, 3.86%, due 4/21/08 | | P-1 | | A-1+ | | 40,000 | ñ |
| 15,000 | | HBOS Treasury Services PLC, Guaranteed Floating Rate Bank Notes,
3.07%, due 4/7/08 | | P-1 | | A-1+ | | 15,000 | ñ |
| 15,000 | | HSBC Finance Corp., Floating Rate Notes, 2.66%, due 4/24/08 | | P-1 | | A-1+ | | 15,000 | |
| 15,000 | | HSBC Finance Corp., Senior Unsecured Floating Rate Notes,
2.93%, due 6/16/08 | | P-1 | | A-1+ | | 14,991 | |
See Notes to Schedule of Investments
72
| | | | | | | | | |
| PRINCIPAL AMOUNT | | RATING§ | | VALUE†† | |
| (000’s omitted) | | Moody’s | | S&P | | (000’s omitted) | |
| $45,000 | | La Caixa, Unsubordinated Floating Rate Notes, 3.85%, due 4/23/08 | | P-1 | | A-1+ | | $45,000 | ñ |
| 50,000 | | Royal Bank of Canada, Floating Rate Medium-Term Notes,
3.11%, due 4/1/08 | | P-1 | | A-1+ | | 50,000 | ñ |
| 24,000 | | Unicredito Italiano PLC, Guaranteed Floating Rate Medium-Term Notes,
3.09%, due 4/9/08 | | P-1 | | A-1 | | 24,000 | ñ |
| 15,000 | | Unicredito Italiano PLC, Guaranteed Floating Rate Bank Notes,
2.84%, due 4/15/08 | | P-1 | | A-1 | | 15,000 | ñ |
| 20,000 | | Wachovia Corp., Senior Unsecured Floating Rate Bank Notes,
3.40%, due 4/25/08 | | P-1 | | A-1+ | | 20,000 | |
| 45,000 | | Wells Fargo & Co., Senior Unsecured Floating Rate Notes,
2.90%, due 4/15/08 | | P-1 | | A-1+ | | 45,000 | ñ |
| 30,000 | | Westpac Banking Corp., Floating Rate Medium-Term Notes,
3.09% & 4.64%, due 4/1/08 & 5/6/08 | | P-1 | | A-1+ | | 29,997 | ñ |
| | | | | | | | 398,988 | |
| | | |
| Conglomerate (1.6%) | | | | | | | |
| 50,000 | | General Electric Capital Corp., Senior Unsecured Floating Rate
Medium-Term Notes, Ser. A, 3.18%, due 4/1/08 | | P-1 | | A-1+ | | 50,003 | |
| | | |
| Financial Services (6.3%) | | | | | | | |
| 10,000 | | American Express Bank FSB, Senior Unsecured Floating Rate Bank Notes,
2.79%, due 4/18/08 | | P-1 | | A-1 | | 10,000 | |
| 35,000 | | American Honda Finance Corp., Floating Rate Medium-Term Notes,
3.15%, due 5/6/08 | | P-1 | | A-1 | | 35,000 | ñ |
| 25,000 | | Goldman Sachs Group, Senior Unsecured Floating Rate
Medium-Term Notes, 3.33%, due 4/25/08 | | P-1 | | A-1+ | | 25,000 | ñ |
| 35,000 | | Merrill Lynch & Co., Senior Unsecured Floating Rate Notes,
2.92%, due 4/18/08 | | P-1 | | A-1 | | 35,000 | |
| 10,000 | | Merrill Lynch & Co., Floating Rate Medium-Term Notes, Ser. C,
2.90%, due 6/16/08 | | P-1 | | A-1 | | 9,998 | |
| 55,000 | | Morgan Stanley, Senior Unsecured Floating Rate Notes,
2.26% & 3.27%, due 4/1/08 & 4/3/08 | | P-1 | | A-1+ | | 55,000 | |
| 25,000 | | Toyota Motor Credit Corp., Floating Rate Medium-Term Notes, Ser. B,
2.15%, due 4/1/08 | | P-1 | | A-1+ | | 25,000 | |
| | | | | | | | 194,998 | |
| | Total Floating Rate Corporate Debt Securities | | | | | | 679,769 | |
| | | |
| Floating Rate Asset-Backed Securities (1.6%)µ | | | | | | | |
| 14,098 | | Ford Credit Auto Owner Trust, Ser. 2008-A, Class A1,
4.02%, due 4/15/08 | | P-1 | | A-1+ | | 14,098 | ñ |
| 34,924 | | Westpac Securitisation Trust, Ser. 2007-1G, Class A1,
3.04%, due 5/21/08 | | P-1 | | A-1+ | | 34,924 | ñ |
| | Total Floating Rate Asset-Backed Securities | | | | | | 49,022 | |
| | | |
| Repurchase Agreements (5.5%) | | | | | | | |
| 170,000 | | Goldman Sachs Repurchase Agreement, 2.75%, due 4/1/08,
dated 3/31/08, Maturity Value $170,012,986, Collateralized by $190,358,333, Fannie Mae, 5.50% - 6.00%, due 6/1/33 - 11/1/37 and $46,924,465, Freddie Mac, 5.50% & 6.50%, due 5/1/36 & 6/1/37 (Collateral Value $173,400,001) | | | | | | 170,000 | |
| | | | |
| | Total Investments (99.8%) | | | | | | 3,081,099 | |
| | Cash, receivables and other assets, less liabilities (0.2%) | | | | | | 6,764 | |
| | Total Net Assets (100.0%) | | | | | | $3,087,863 | |
See Notes to Schedule of Investments
73
Schedule of Investments Prime Master Series
| | | | | | | | | |
| PRINCIPAL AMOUNT | | RATING§ | | VALUE†† | |
| (000’s omitted) | | Moody’s | | S&P | | (000’s omitted) | |
| | | |
| U.S. Government Agency Securities (0.6%) | | | | | | | |
| $50,000 | | Fannie Mae, Notes, 3.38%, due 4/24/08 | | AGY | | AGY | | $50,000 | |
| | | |
| Certificates of Deposit (12.6%) | | | | | | | |
| 225,000 | | Banco Santander, Yankee CD, 2.70% - 2.85%, due 8/5/08 - 9/18/08 | | P-1 | | A-1+ | | 225,023 | |
| 200,000 | | Bank of Scotland PLC, Yankee CD,
2.97% & 3.81%, due 5/15/08 & 6/5/08 | | P-1 | | A-1+ | | 200,000 | |
| 200,000 | | Canadian Imperial Bank of Commerce, Yankee CD,
3.75% & 4.12%, due 7/11/08 & 7/22/08 | | P-1 | | A-1+ | | 200,128 | |
| 20,000 | | Citibank, 2.63%, due 6/26/08 | | P-1 | | A-1+ | | 20,000 | |
| 70,000 | | Royal Bank of Scotland, Yankee CD,
2.74% & 4.31%, due 6/12/08 & 9/3/08 | | P-1 | | A-1+ | | 70,057 | |
| 75,000 | | Svenska Handelsbanken AB, Yankee CD, 5.13%, due 4/4/08 | | P-1 | | A-1+ | | 75,000 | |
| 20,000 | | Toronto-Dominion Bank, Yankee CD, 2.60%, due 8/25/08 | | P-1 | | A-1+ | | 20,001 | |
| 125,000 | | Unicredito Italiano NY, Yankee CD,
3.00% & 3.02%, due 6/30/08 & 10/16/08 | | P-1 | | A-1+ | | 125,079 | |
| 170,000 | | Westpac Banking Corp., Yankee CD,
2.83% & 2.99%, due 5/27/08 & 7/7/08 | | P-1 | | A-1+ | | 170,004 | |
| | Total Certificates of Deposit | | | | | | 1,105,292 | |
| | | |
| Commercial Paper (59.0%) | | | | | | | |
| | | |
| Asset Backed (42.2%) | | | | | | | |
| 224,772 | | Amstel Funding Corp., 3.10% - 4.32%, due 4/11/08 - 5/21/08 | | P-1 | | A-1+ | | 224,116 | ñ |
| 195,000 | | Amsterdam Funding Corp., 3.03% - 3.20%, due 4/7/08 - 4/25/08 | | P-1 | | A-1 | | 194,830 | ñ |
| 85,000 | | Atlantic Asset Securitization Corp., 3.12% & 3.90%,
due 4/11/08 & 5/2/08 | | P-1 | | A-1 | | 84,852 | ñ |
| 139,563 | | Barton Capital Corp., 3.10% & 3.20%, due 4/1/08 & 4/21/08 | | P-1 | | A-1+ | | 139,408 | ñ |
| 195,000 | | Cancara Asset Securitization Ltd., 3.27% - 4.50%, due 4/7/08 - 4/28/08 | | P-1 | | A-1+ | | 194,785 | ñ |
| 175,000 | | Chariot Funding LLC, 3.03% & 4.55%, due 4/7/08 & 5/12/08 | | P-1 | | A-1 | | 174,598 | ñ |
| 150,000 | | Charta LLC, 3.07%, due 5/12/08 | | P-1 | | A-1 | | 149,476 | ñ |
| 250,000 | | Ciesco LLC, 3.15%, due 5/8/08 | | P-1 | | A-1+ | | 249,191 | ñ |
| 200,000 | | CRC Funding LLC, 3.06% & 3.08%, due 5/12/08 & 5/20/08 | | P-1 | | A-1+ | | 199,267 | ñ |
| 50,000 | | Edison Asset Securitization, LLC, 2.75%, due 9/5/08 | | P-1 | | A-1+ | | 49,400 | ñ |
| 50,000 | | Fairway Finance Corp., 3.07%, due 4/18/08 | | P-1 | | A-1 | | 49,927 | ñ |
| 200,636 | | Galleon Capital LLC, 3.15% - 3.25%, due 4/11/08 - 4/24/08 | | P-1 | | A-1 | | 200,325 | ñ |
| 260,000 | | Grampian Funding LLC, 2.93% - 3.12%, due 4/3/08 - 6/13/08 | | P-1 | | A-1+ | | 258,899 | ñ |
| 11,528 | | Jupiter Securitization Corp., 3.10%, due 4/7/08 | | P-1 | | A-1 | | 11,522 | ñ |
| 90,000 | | LMA Americas LLC, 3.00%, due 4/15/08 | | P-1 | | A-1 | | 89,895 | ñ |
| 162,749 | | Mont Blanc Capital Corp., 3.10% - 4.33%, due 4/4/08 - 5/15/08 | | P-1 | | A-1+ | | 162,411 | ñ |
| 82,939 | | Old Line Funding LLC, 3.02% & 3.15%, due 4/25/08 & 5/30/08 | | P-1 | | A-1+ | | 82,623 | ñ |
| 62,607 | | Park Avenue Receivables Co. LLC, 3.05%, due 5/12/08 | | P-1 | | A-1 | | 62,390 | ñ |
| 125,000 | | Picaros Funding PLC, 2.87% & 2.89%, due 6/12/08 & 9/9/08 | | P-1 | | A-1+ | | 124,101 | ñ |
| 61,515 | | Regency Markets No. 1 LLC, 3.25% & 3.95%, due 4/15/08 & 4/17/08 | | P-1 | | A-1 | | 61,422 | ñ |
| 109,965 | | Scaldis Capital LLC, 3.05% - 4.27%, due 4/14/08 - 6/3/08 | | P-1 | | A-1+ | | 109,619 | ñ |
| 95,500 | | Sheffield Receivables Corp., 3.17% & 3.28%, due 4/4/08 & 4/7/08 | | P-1 | | A-1+ | | 95,460 | ñ |
| 125,000 | | Solitaire Funding LLC, 3.35% & 4.37%, due 4/14/08 & 4/15/08 | | P-1 | | A-1+ | | 124,823 | ñ |
See Notes to Schedule of Investments
74
| | | | | | | | | |
| PRINCIPAL AMOUNT | | RATING§ | | VALUE†† | |
| (000’s omitted) | | Moody’s | | S&P | | (000’s omitted) | |
| $163,400 | | Tempo Finance Ltd., 3.10% - 4.55%, due 4/4/08 - 5/30/08 | | P-1 | | A-1+ | | $162,660 | ñ |
| 168,311 | | Thames Asset Securitization LLC,
3.00% - 3.12%, due 4/25/08 - 5/15/08 | | P-1 | | A-1 | | 167,823 | ñ |
| 286,385 | | Yorktown Capital LLC, 2.95% - 3.06%, due 5/9/08 - 6/6/08 | | P-1 | | A-1+ | | 285,354 | ñ |
| | | | | | | | 3,709,177 | |
| | | |
| Banking (15.7%) | | | | | | | |
| 78,990 | | Bank of America NA, 4.35%, due 4/9/08 | | P-1 | | A-1+ | | 78,914 | |
| 130,000 | | Barclays U.S. Funding Corp., 2.94% & 4.72%, due 4/24/08 & 8/29/08 | | P-1 | | A-1+ | | 128,687 | |
| 100,000 | | BNP Paribas NY, 2.97%, due 5/30/08 | | P-1 | | A-1+ | | 99,513 | |
| 180,000 | | Calyon NY, 2.74% & 2.81%, due 5/12/08 & 9/3/08 | | P-1 | | A-1+ | | 178,738 | |
| 100,000 | | CBA Finance, Inc., 4.40%, due 4/7/08 | | P-1 | | A-1+ | | 99,927 | |
| 310,000 | | Dexia Bank, 3.11% & 3.75%, due 4/16/08 & 4/23/08 | | P-1 | | A-1+ | | 309,465 | |
| 70,000 | | HSBC Finance Corp., 2.75%, due 6/12/08 | | P-1 | | A-1+ | | 69,615 | |
| 125,000 | | ING Funding LLC, 2.74% & 3.75%, due 5/15/08 & 9/8/08 | | P-1 | | A-1+ | | 124,237 | |
| 191,050 | | Societe Generale NA, 3.90% - 3.93%, due 5/8/08 - 8/11/08 | | P-1 | | A-1+ | | 188,924 | |
| 100,000 | | UBS Finance, Inc., 2.92% & 4.20%, due 6/10/08 & 8/27/08 | | P-1 | | A-1+ | | 98,992 | |
| | | | | | | | 1,377,012 | |
| | | |
| Financial Services (1.1%) | | | | | | | |
| 100,000 | | Morgan Stanley, 5.06%, due 4/14/08 | | P-1 | | A-1+ | | 99,817 | |
| | Total Commercial Paper | | | | | | 5,186,006 | |
| | | |
| Time Deposits (3.2%) | | | | | | | |
| 204,000 | | Manufacturers & Traders Trust, Grand Cayman, 1.75%, due 4/1/08 | | P-1 | | A-1 | | 204,000 | |
| 75,000 | | Marshall & Ilsley Bank, Grand Cayman, 1.00%, due 4/1/08 | | P-1 | | A-1 | | 75,000 | |
| | Total Time Deposits | | | | | | 279,000 | |
| | | |
| Corporate Debt Securities (0.6%) | | | | | | | |
| | | |
| Banking (0.6%) | | | | | | | |
| 50,000 | | Sigma Finance, Inc., Guaranteed Medium-Term Notes,
5.43%, due 8/5/08 | | P-1 | | A-1+ | | 50,000 | # |
| | | |
| Floating Rate Corporate Debt Securities (17.0%)µ | | | | | | | |
| | | |
| Asset Backed (4.4%) | | | | | | | |
| 20,000 | | Dorada Finance, Inc., Floating Rate Medium-Term Notes,
4.64%, due 4/7/08 | | P-1 | | A-1+ | | 20,000 | ñ |
| 100,000 | | K2 (USA) LLC, Guaranteed Floating Rate Medium-Term Notes,
2.78%, due 6/13/08 | | P-1 | | A-1+ | | 100,001 | ñ |
| 100,000 | | Links Finance LLC, Floating Rate Medium-Term Notes,
2.32%, due 4/1/08 & 5/27/08 | | P-1 | | A-1+ | | 99,998 | ñ |
| 65,000 | | Parkland (USA) LLC, Floating Rate Medium-Term Notes,
2.32% & 2.33%, due 4/1/08 | | P-1 | | A-1+ | | 64,999 | ñ |
| 100,000 | | Sigma Finance, Inc., Guaranteed Floating Rate Medium-Term Notes, 2.34%, due 4/1/08 | | P-1 | | A-1+ | | 100,001 | # |
| | | | | | | | 384,999 | |
| | | |
| Banking (7.7%) | | | | | | | |
| 170,000 | | Bank of America NA, Floating Rate Bank Notes, 2.32%, due 4/1/08 | | P-1 | | A-1+ | | 170,000 | |
| 5,100 | | Bank of America NA, Senior Floating Rate Bank Notes,
2.60%, due 4/25/08 | | P-1 | | A-1+ | | 5,099 | |
See Notes to Schedule of Investments
75
| | | | | | | | | |
| PRINCIPAL AMOUNT | | RATING§ | | VALUE†† | |
| (000’s omitted) | | Moody’s | | S&P | | (000’s omitted) | |
| $40,000 | | Bank of New York, Senior Unsecured Floating Rate Medium-Term Notes, 3.07%, due 4/10/08 | | P-1 | | A-1 | | $40,001 | ñ |
| 35,000 | | Credit Suisse First Boston, Guaranteed Floating Rate Notes,
3.24%, due 4/2/08 | | P-1 | | A-1+ | | 35,008 | |
| 9,000 | | HSBC Finance Corp., Floating Rate Mediuim-Term Notes,
3.20%, due 4/9/08 | | P-1 | | A-1+ | | 9,000 | |
| 91,900 | | HSBC Finance Corp., Senior Unsecured Floating Rate Notes,
2.93%, due 6/16/08 | | P-1 | | A-1+ | | 91,907 | |
| 40,000 | | Merrill Lynch & Co., Senior Unsecured Floating Rate Medium-Term Notes, 3.06%, due 5/22/08 | | P-1 | | A-1 | | 39,955 | |
| 44,000 | | National City Bank, Senior Unsecured Floating Rate Medium-Term Bank Notes, 3.15%, due 5/6/08 | | P-1 | | A-1 | | 44,003 | |
| 40,000 | | Royal Bank of Canada, Floating Rate Medium-Term Notes,
3.11%, due 4/1/08 | | P-1 | | A-1+ | | 40,000 | ñ |
| 50,000 | | Wachovia Corp., Senior Unsecured Floating Rate Bank Notes,
3.40%, due 4/25/08 | | P-1 | | A-1+ | | 50,000 | |
| 5,000 | | Wachovia Corp., Senior Unsecured Floating Rate Notes,
3.30%, due 4/30/08 | | P-1 | | A-1+ | | 5,000 | |
| 28,000 | | Wells Fargo & Co., Senior Unsecured Floating Rate Notes,
2.90%, due 4/15/08 | | P-1 | | A-1+ | | 28,000 | ñ |
| 80,000 | | Wells Fargo & Co., Senior Unsecured Floating Rate Medium-Term Notes, 2.86%, due 4/18/08 | | P-1 | | A-1+ | | 79,997 | |
| 35,000 | | Westpac Banking Corp., Floating Rate Notes, 3.07%, due 4/7/08 | | P-1 | | A-1+ | | 35,000 | ñ |
| 9,700 | | World Savings Bank, Senior Unsecured Floating Rate Bank Notes, 3.06%, due 4/8/08 | | P-1 | | A-1+ | | 9,700 | |
| | | | | | | | 682,670 | |
| | | |
| Conglomerate (1.4%) | | | | | | | |
| 125,000 | | General Electric Capital Corp., Senior Unsecured Floating Rate
Medium-Term Notes, 3.08%, due 4/1/08 | | P-1 | | A-1+ | | 124,950 | |
| | | |
| Financial Services (3.5%) | | | | | | | |
| 25,000 | | Bear Stearns Co., Inc., Senior Unsecured Floating Rate Medium-Term Notes, 3.00%, due 4/14/08 | | P-2 | | A-1+ | | 25,000 | |
| 15,000 | | Merrill Lynch & Co., Floating Rate Medium-Term Bonds, Ser. C,
3.21%, due 4/1/08 | | P-1 | | A-1 | | 15,006 | |
| 75,000 | | Merrill Lynch & Co., Senior Unsecured Floating Rate Notes,
2.92%, due 4/18/08 | | P-1 | | A-1 | | 75,000 | |
| 15,000 | | Morgan Stanley, Senior Unsecured Floating Rate Notes,
3.27%, due 4/3/08 | | P-1 | | A-1+ | | 15,003 | |
| 125,000 | | Toyota Motor Credit Corp., Floating Rate Medium-Term Notes, Ser. B, 2.15% & 2.32%, due 4/1/08 | | P-1 | | A-1+ | | 125,001 | |
| 50,000 | | Toyota Motor Credit Corp., Unsecured Floating Rate Medium-Term Notes, Ser. B, 2.59%, due 4/1/08 | | P-1 | | A-1+ | | 50,005 | |
| | | | | | | | 305,015 | |
| | Total Floating Rate Corporate Debt Securities | | | | | | 1,497,634 | |
| | | |
| Floating Rate Asset-Backed Securities (0.6%)µ | | | | | | | |
| 8,259 | | BMW Vehicle Lease Trust, Ser. 2007-1 Class A1, 5.06%, due 4/15/08 | | P-1 | | A-1+ | | 8,259 | |
| 42,294 | | Ford Credit Auto Owner Trust, Ser. 2008-A, Class A1,
4.02%, due 4/15/08 | | P-1 | | A-1+ | | 42,294 | ñ |
| | Total Floating Rate Asset-Backed Securities | | | | | | 50,553 | |
See Notes to Schedule of Investments
76
| | | | | | | | |
| PRINCIPAL AMOUNT | | RATING§ | | VALUE†† |
| (000’s omitted) | | Moody’s | | S&P | | (000’s omitted) |
| | | |
| Repurchase Agreements (6.2%) | | | | | | |
| $105,000 | | Barclays Capital Repurchase Agreement, 2.45%, due 4/1/08,
dated 3/31/08, Maturity Value $105,007,146, Collateralized by $26,544,765, Fannie Mae, 6.00% & 6.09%, due 9/1/36 & 3/1/38
and $83,255,885, Freddie Mac, 4.50% - 6.00%, due 2/1/23 - 3/1/38 (Collateral Value $107,100,000) | | | | | | $105,000 |
| 445,000 | | Goldman Sachs Repurchase Agreement, 2.75%, due 4/1/08,
dated 3/31/08, Maturity Value $445,033,993, Collateralized by $347,648,259, Freddie Mac, 0.00% - 6.25%, due 4/15/29 - 6/15/37
and $373,025,950, Fannie Mae,
0.00% & 14.64%, due 6/25/36 & 2/25/37 (Collateral Value $458,838,399) | | | | | | 445,000 |
| | Total Repurchase Agreements | | | | | | 550,000 |
| | | | |
| | Total Investments (99.8%) | | | | | | 8,768,485 |
| | Cash, receivables and other assets, less liabilities (0.2%) | | | | | | 14,127 |
| | Total Net Assets (100.0%) | | | | | | $8,782,612 |
See Notes to Schedule of Investments
77
Schedule of Investments Government Master Series
| | | | | | | | | |
| PRINCIPAL AMOUNT | | RATING§ | | VALUE†† | |
| (000’s omitted) | | Moody’s | | S&P | | (000’s omitted) | |
| | | |
| U.S. Government Agency Securities (65.7%) | | | | | | | |
| $10,000 | | Fannie Mae, Notes, 3.38%, due 1/23/09 | | AGY | | AGY | | $10,000 | |
| 15,000 | | Fannie Mae, Bonds, 3.13%, due 3/16/09 | | AGY | | AGY | | 15,079 | |
| 81,115 | | Fannie Mae, Disc. Notes, 2.35% - 5.02%, due 4/9/08 - 1/30/09 | | AGY | | AGY | | 80,729 | |
| 100,000 | | Fannie Mae, Floating Rate Notes, 2.31% - 2.35%, due 4/1/08 | | AGY | | AGY | | 99,991 | µ |
| 44,849 | | Fannie Mae, Notes, 3.25% - 5.25%, due 6/15/08 - 4/29/09 | | AGY | | AGY | | 44,781 | |
| 27,500 | | Federal Farm Credit Bank, Bonds,
2.88% & 3.60%, due 1/14/09 & 2/12/09 | | AGY | | AGY | | 27,555 | |
| 135,400 | | Federal Farm Credit Bank, Floating Rate Bonds,
2.29% - 2.65%, due 4/1/08 - 4/29/08 | | AGY | | AGY | | 135,386 | µ |
| 172,730 | | Federal Home Loan Bank, Bonds,
2.19% - 5.80%, due 4/18/08 - 3/17/09 | | AGY | | AGY | | 173,345 | |
| 238,933 | | Federal Home Loan Bank, Disc. Notes,
2.34% - 4.96%, due 4/9/08 - 2/20/09 | | AGY | | AGY | | 237,866 | |
| 589,000 | | Federal Home Loan Bank, Floating Rate Bonds,
2.28% - 4.51%, due 4/1/08 - 6/24/08 | | AGY | | AGY | | 588,969 | µ |
| 34,917 | | Freddie Mac, Disc. Notes, 2.12% - 5.03%, due 4/4/08 - 2/2/09 | | AGY | | AGY | | 34,513 | |
| 20,000 | | Freddie Mac, Floating Rate Bonds, 2.45%, due 6/22/08 | | AGY | | AGY | | 19,997 | µ |
| 35,980 | | Freddie Mac, Notes, 2.85% - 4.70%, due 4/25/08 - 1/16/09 | | AGY | | AGY | | 35,977 | |
| | Total U.S. Government Agency Securities | | | | | | 1,504,188 | |
| | | |
| Repurchase Agreements (34.0%) | | | | | | | |
| 469,800 | | Bank of America Repurchase Agreement, 2.40%, due 4/1/08,
dated 3/31/08, Maturity Value $469,831,320, Collateralized by $630,574,412, Freddie Mac, 5.00%, due 7/1/35 (Collateral Value $479,196,001) | | | | | | 469,800 | |
| 200,000 | | Barclays Capital Repurchase Agreement, 2.45%, due 4/1/08,
dated 3/31/08, Maturity Value $200,013,611, Collateralized by $179,173,724, Fannie Mae, 5.50% - 6.50%, due 6/1/22 - 3/31/38 and $40,782,825, Freddie Mac, 5.72% & 6.50%, due 6/1/37& 2/1/38 (Collateral Value $204,000,000) | | | | | | 200,000 | |
| 110,000 | | Goldman Sachs Repurchase Agreement, 2.75%, due 4/1/08,
dated 3/31/08, Maturity Value $110,008,403, Collateralized by $202,663,274, Fannie Mae, 5.50% - 6.50%, due 11/1/22 - 7/1/37 (Collateral Value $112,200,001) | | | | | | 110,000 | |
| | Total Repurchase Agreements | | | | | | 779,800 | |
| | | | |
| | Total Investments (99.7%) | | | | | | 2,283,988 | |
| | Cash, receivables and other assets, less liabilities (0.3%) | | | | | | 5,929 | |
| | Total Net Assets (100.0%) | | | | | | $2,289,917 | |
See Notes to Schedule of Investments
78
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 (99.9%) | | | | | | | |
| $7,500 | | Federal Farm Credit Bank, Bonds,
2.88% & 3.60%, due 1/14/09 & 2/12/09 | | AGY | | AGY | | $7,519 | |
| 18,099 | | Federal Farm Credit Bank, Disc. Notes,
2.12% - 3.92%, due 4/1/08 - 1/8/09 | | AGY | | AGY | | 17,879 | |
| 50,600 | | Federal Farm Credit Bank, Floating Rate Notes,
2.29% - 2.99%, due 4/1/08 - 4/26/08 | | AGY | | AGY | | 50,597 | µ |
| 30,975 | | Federal Home Loan Bank, Bonds, 2.19% - 5.25%, due 4/7/08 - 3/17/09 | | AGY | | AGY | | 31,013 | |
| 551,085 | | Federal Home Loan Bank, Disc. Notes,
1.50% - 4.96%, due 4/1/08 - 2/20/09 | | AGY | | AGY | | 549,712 | |
| 231,250 | | Federal Home Loan Bank, Floating Rate Bonds,
2.28% - 4.48%, due 4/1/08 - 6/24/08 | | AGY | | AGY | | 231,247 | µ |
| 5,000 | | Tennessee Valley Au., Bonds, Ser. G, 5.38%, due 11/13/08 | | AGY | | AGY | | 5,035 | |
| | Total U.S. Government Agency Securities | | | | | | 893,002 | |
| | | | |
| | Total Investments (99.9%) | | | | | | 893,002 | |
| | Cash, receivables and other assets, less liabilities (0.1%) | | | | | | 1,308 | |
| | Total Net Assets (100.0%) | | | | | | $894,310 | |
See Notes to Schedule of Investments
79
Schedule of Investments Treasury Master Series
| | | | | | | | | |
| 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 (16.0%) | | | | | | | |
| $100,000 | | U.S. Treasury Bills, 0.95%, due 4/15/08 | | TSY | | TSY | | $99,963 | |
| 50,000 | | U.S. Treasury Bills, 1.10%, due 4/15/08 | | TSY | | TSY | | 49,979 | |
| 50,000 | | U.S. Treasury Bills, 1.15%, due 4/15/08 | | TSY | | TSY | | 49,978 | |
| 25,000 | | U.S. Treasury Bills, 2.15%, due 4/15/08 | | TSY | | TSY | | 24,979 | |
| 25,000 | | U.S. Treasury Bills, 2.41%, due 4/15/08 | | TSY | | TSY | | 24,976 | |
| 25,000 | | U.S. Treasury Bills, 2.43%, due 4/15/08 | | TSY | | TSY | | 24,976 | |
| 25,000 | | U.S. Treasury Bills, 2.48%, due 4/15/08 | | TSY | | TSY | | 24,976 | |
| 25,000 | | U.S. Treasury Bills, 2.49%, due 4/15/08 | | TSY | | TSY | | 24,976 | |
| 50,000 | | U.S. Treasury Bills, 1.50%, due 4/16/08 | | TSY | | TSY | | 49,969 | |
| 50,000 | | U.S. Treasury Bills, 1.65%, due 4/16/08 | | TSY | | TSY | | 49,966 | |
| 100,000 | | U.S. Treasury Bills, 1.20%, due 4/17/08 | | TSY | | TSY | | 99,947 | |
| 25,000 | | U.S. Treasury Bills, 1.34%, due 4/21/08 | | TSY | | TSY | | 24,981 | |
| 50,000 | | U.S. Treasury Bills, 1.36%, due 4/21/08 | | TSY | | TSY | | 49,962 | |
| 50,000 | | U.S. Treasury Bills, 1.39%, due 4/24/08 | | TSY | | TSY | | 49,955 | |
| | Total U.S. Treasury Securities-Backed by the Full Faith and
Credit of the U.S. Government | | | | | | 649,583 | |
| | | |
| Repurchase Agreements (86.5%) | | | | | | | |
| 550,000 | | Bank of America Repurchase Agreement, 1.25%, due 4/1/08,
dated 3/31/08, Maturity Value $550,019,097, Collateralized by $460,366,000, U.S. Treasury Notes,
5.75% - 7.13%, due 8/15/10 - 11/15/27 (Collateral Value $561,000,506) | | | | | | 550,000 | |
| 950,000 | | Barclays Capital Repurchase Agreement, 1.45%, due 4/1/08,
dated 3/31/08, Maturity Value $950,038,264, Collateralized by $902,958,000, U.S. Treasury Notes,
1.88% - 5.13%, due 6/30/11 - 7/15/15 and U.S. Treasury Bills, due 4/17/08 - 5/8/08 (Collateral Value $969,000,145) | | | | | | 950,000 | |
| 100,000 | | Credit Suisse Repurchase Agreement, 1.35%, due 4/1/08,
dated 3/31/08, Maturity Value $100,003,750, Collateralized by $87,107,000, U.S. Treasury Notes, 4.75% & 6.25%, due 2/28/09 & 8/15/23 (Collateral Value $102,005,288) | | | | | | 100,000 | |
| 1,000,000 | | Fortis Financial Repurchase Agreement, 1.45%, due 4/1/08,
dated 3/31/08, Maturity Value $1,000,040,278, Collateralized by $2,415,630,000, U.S. Treasury Strips, due 2/15/15 - 2/15/38 (Collateral Value $1,020,000,741) | | | | | | 1,000,000 | |
| 913,400 | | Goldman Sachs Repurchase Agreement, 1.00%, due 4/1/08,
dated 3/31/08, Maturity Value $913,425,372, Collateralized by $1,712,018,000, U.S. Treasury Strips, due 1/15/25 - 5/15/30 (Collateral Value $932,413,620) | | | | | | 913,400 | |
| | Total Repurchase Agreements | | | | | | 3,513,400 | |
| | | | |
| | Total Investments (102.5%) | | | | | | 4,162,983 | |
| | Liabilities, less cash, receivables and other assets [(2.5%)] | | | | | | (99,826 | ) |
| | Total Net Assets (100.0%) | | | | | | $4,063,157 | |
See Notes to Schedule of Investments
80
Schedule of Investments Tax-Exempt Master Series
| | | | | | | | | |
PRINCIPAL
AMOUNT | | SECURITY@@ | | RATING‡‡§ | | VALUE†† | |
| (000’s omitted) | | Moody’s | | S&P | | (000’s omitted) | |
| | | |
| Alabama (0.8%) | | | | | | | |
| $4,255 | | Alabama St. Pub. Sch. & College Au., Ser. 2008-11310,
(LOC: Citibank, N.A.), 2.26%, due 4/3/08 | | | | A-1+ | | $4,255 | µ |
| 4,580 | | Birmingham Med. Ctr. East Spec. Care Fac. Fin. Au. Rev. (Floaters), Ser. 2004-016, (MBIA Insured), 2.23%, due 4/3/08 | | | | | | 4,580 | µy |
| 1,090 | | Deutsche Bank Spears/Lifers Trust Var. St. Rev. (Huntsville),
Ser. 2008-564, (MBIA Insured), 2.27%, due 4/3/08 | | | | A-1+ | | 1,090 | µk |
| 1,600 | | Gulf Shores Med. Clinic Board Rev. (Colonial Pinnacle MOB Proj.),
Ser. 2007, (LOC: Regions Bank), 2.31%, due 4/3/08 | | P-1 | | | | 1,600 | µß |
| 7,500 | | Huntsville-Randolph Sch. Ed. Bldg. Au. Lease Rev. (Randolph Sch. Proj.), Ser. 2008, (LOC: Compass Bank), 2.32%, due 4/3/08 | | VMIG1 | | | | 7,500 | µ |
| 1,145 | | Lee Co. Ind. Dev. Au. Rev. (Lifesouth Comm. Blood Ctr.), Ser. 2001, (LOC: SunTrust Bank), 2.14%, due 4/2/08 | | VMIG1 | | | | 1,145 | µß |
| | | | | | | | 20,170 | |
| | | |
| Alaska (0.4%) | | | | | | | |
| 1,750 | | Alaska Ind. Dev. & Export Au. Rev., Ser. 2007-10311, (FSA Insured), 2.34%, due 4/3/08 | | | | A-1+ | | 1,750 | µi |
| 8,040 | | Deutsche Bank Spears/Lifers Trust Var. St. (Alaska Hsg. Fin. Co.),
Ser. 2008-532, (MBIA Insured), 2.27%, due 4/3/08 | | | | | | 8,040 | µk |
| | | | | | | | 9,790 | |
| | | |
| Arizona (1.3%) | | | | | | | |
| 5,800 | | ABN Amro Munitops Cert. Trust Rev., Ser. 2005-49, (MBIA Insured), 3.01%, due 4/3/08 | | VMIG1 | | | | 5,800 | µcØØ |
| 10,300 | | Phoenix Ind. Dev. Au. Multi-Family Hsg. Rev. (Rancho Ladera Proj.), Ser. 2005, (LOC: Natixis, NY), 2.28%, due 4/3/08 | | | | A-1+ | | 10,300 | µß |
| 6,705 | | Phoenix Ind. Dev. Au. Std. Hsg. Rev. (Floaters), Ser. 2007-2079, (AMBAC Insured), 2.31%, due 4/3/08 | | VMIG1 | | A-1+ | | 6,705 | µx |
| 10,000 | | Scottsdale Ind. Dev. Au. Hosp. Rev., Ser. 2006-578CE,
(LOC: Citigroup Global Markets), 2.27%, due 4/3/08 | | VMIG1 | | A-1+ | | 10,000 | µØØ |
| | | | | | | | 32,805 | |
| | | |
| Arkansas (0.3%) | | | | | | | |
| 6,285 | | North Little Rock Residential Hsg. Fac. Board Multi-Family Rev. (Floaters), Ser. 2004-PA1254, (LOC: Government National Mortgage Association), 2.33%, due 4/3/08 | | VMIG1 | | | | 6,285 | µr |
| | | |
| California (6.3%) | | | | | | | |
| 9,940 | | ABN Amro Munitops Cert. Trust Rev., Ser. 2002-13, (PSF Insured), 2.23%, due 4/3/08 | | VMIG1 | | | | 9,940 | ñµc |
| 9,950 | | ABN Amro Munitops Cert. Trust Rev., Ser. 2004-12, (MBIA Insured), 2.26%, due 4/3/08 | | VMIG1 | | | | 9,950 | ñµc |
| 4,375 | | ABN Amro Munitops Cert. Trust Rev., Ser. 2005-38, (MBIA Insured), 2.26%, due 4/3/08 | | VMIG1 | | | | 4,375 | ñµc |
| 350 | | Arcadia Unified Sch. Dist. (Putters), Ser. 2007-1716, (FSA Insured), 2.29%, due 4/3/08 | | VMIG1 | | | | 350 | µo |
See Notes to Schedule of Investments
81
| | | | | | | | | |
PRINCIPAL
AMOUNT | | SECURITY@@ | | RATING‡‡§ | | VALUE†† | |
| (000’s omitted) | | Moody’s | | S&P | | (000’s omitted) | |
| $2,200 | | Arvin Unified Sch. Dist. Cert. Participation (Sch. Fac. Bridge Funding Prog.), Ser. 2006, (FSA Insured), 2.15%, due 4/3/08 | | VMIG1 | | | | $2,200 | µl |
| 4,200 | | Austin Trust St. Cert., Ser. 2007-315,
(LOC: State Street Bank & Trust Co.), 2.27%, due 4/3/08 | | VMIG1 | | | | 4,200 | µc |
| 11,185 | | BB&T Muni. Trust Var. St. (Floaters), Ser. 2007-2048,
(LOC: Branch Banking & Trust Co.), 2.21%, due 4/3/08 | | VMIG1 | | | | 11,185 | µ |
| 2,240 | | Buckeye Unified Sch. Dist. (Floaters), Ser. 2008-2382, (FSA Insured),
2.18%, due 4/3/08 | | | | A-1+ | | 2,240 | µs |
| 25,685 | | California St. Dept. Wtr. Res. Pwr. Supply Rev. (Putters),
Ser. 2007-1784B, (LOC: JP Morgan Chase), 2.46%, due 4/3/08 | | VMIG1 | | | | 25,685 | µ |
| 8,740 | | California St. G.O. (Floaters), Ser. 2000-1257, (LOC: Merrill Lynch Capital Markets), 2.20%, due 4/3/08 | | | | A-1 | | 8,740 | µ |
| 4,425 | | California St. G.O. (Floaters), Ser. 2005-2831, (AMBAC Insured), 2.26%, due 4/3/08 | | | | A-1+ | | 4,425 | µl |
| 1,965 | | California Statewide CDA Rev. (Floaters), Ser. 2007-2089,
(LOC: Wells Fargo Bank & Trust Co.), 2.31%, due 4/3/08 | | VMIG1 | | | | 1,965 | µ |
| 3,635 | | Deutsche Bank Spears/Lifers Trust Var. St. (Alamo), Ser.2008-539, (MBIA Insured), 2.27%, due 4/3/08 | | | | A-1+ | | 3,635 | µk |
| 1,910 | | Deutsche Bank Spears/Lifers Trust Var. St. (Azusa), Ser. 2008-561,
(FSA Insured), 3.19%, due 4/3/08 | | | | A-1+ | | 1,910 | µk |
| 6,025 | | Deutsche Bank Spears/Lifers Trust Var. St. (CA Zero), Ser. 2008-477, (FSA Insured), 2.29%, due 4/3/08 | | | | | | 6,025 | µk |
| 2,720 | | Deutsche Bank Spears/Lifers Trust Var. St. (Chino Basin Reg.),
Ser. 2008-500, (AMBAC Insured), 2.27%, due 4/3/08 | | | | A-1+ | | 2,720 | µk |
| 1,020 | | Deutsche Bank Spears/Lifers Trust Var. St. (Elk Grove), Ser. 2008-575,
(AMBAC Insured), 2.24%, due 4/3/08 | | | | A-1+ | | 1,020 | µk |
| 1,300 | | Deutsche Bank Spears/Lifers Trust Var. St. (Kings Canyon),
Ser. 2008-537, (MBIA Insured), 2.27%, due 4/3/08 | | | | A-1+ | | 1,300 | µk |
| 1,455 | | Eclipse Funding Trust (Solar Eclipse-Los Angeles Co. Sanitation Dist.), Ser. 2006-0055, (FGIC Insured), 2.27%, due 4/3/08 | | | | A-1+ | | 1,455 | µu |
| 4,355 | | Hacienda La Puente Unified Sch. Dist. (Floaters), Ser. 2005-2877,
(FGIC Insured), 2.20%, due 4/3/08 | | | | | | 4,355 | µl |
| 4,660 | | JP Morgan Chase & Co. (Putters), Ser. 2007-2382P,
(LOC: JP Morgan Chase), 2.51%, due 4/3/08 | | | | | | 4,660 | µ |
| 3,080 | | Northern California Gas Au. Number 1 Gas Proj. Rev. (Floaters),
Ser. 2007-55, (LOC: Goldman Sachs), 2.27%, due 4/3/08 | | | | A-1+ | | 3,080 | µ |
| 5,345 | | Puttable Floating Option Tax Exempt Receipts (Floaters),
Ser. 2007-4107, (FSA Insured), 2.20%, due 4/3/08 | | | | | | 5,345 | µr |
| 1,755 | | Puttable Floating Option Tax Exempt Receipts (Floaters),
Ser. 2006-EC001, (LOC: Merrill Lynch Capital Markets),
2.41%, due 4/3/08 | | | | | | 1,755 | µ |
| 3,895 | | Puttable Floating Option Tax Exempt Receipts (Floaters)
(Sacramento Co. Sanitation Dist.), Ser. 2007-3934, (FGIC Insured),
2.20%, due 4/3/08 | | | | | | 3,895 | µl |
| 2,600 | | Rowland Unified Sch. Dist., Ser. 2008-9201, (FSA Insured),
2.27%, due 4/3/08 | | | | A-1+ | | 2,600 | µi |
| 4,450 | | Sacramento Co. Wtr. Fin. Au. Rev. (Floaters), Ser. 2003-1176,
(AMBAC Insured), 2.28%, due 4/3/08 | | | | A-1 | | 4,450 | µr |
| 2,304 | | San Francisco City & Co. Multi-Family Hsg. Rev. (Floaters),
Ser. 2007-124G, (LOC: Goldman Sachs), 2.24%, due 4/3/08 | | | | | | 2,304 | µ |
See Notes to Schedule of Investments
82
| | | | | | | | | |
PRINCIPAL
AMOUNT | | SECURITY@@ | | RATING‡‡§ | | VALUE†† | |
| (000’s omitted) | | Moody’s | | S&P | | (000’s omitted) | |
| $1,200 | | San Francisco City & Co. Unified Sch. Dist. (Merlots), Ser. 2008-D24,
(FSA Insured), 2.25%, due 4/2/08 | | | | A-1+ | | $1,200 | µv |
| 13,035 | | San Francisco City. & Co. Cert. Participation (Floaters), Ser. 2007-1883,
(FGIC Insured), 2.31%, due 4/3/08 | | VMIG1 | | A-1+ | | 13,035 | µx |
| 4,930 | | Southern California Pub. Pwr. Au. Pwr. Proj. Rev. (Floaters),
Ser. 2003-1172, (AMBAC Insured), 2.28%, due 4/3/08 | | | | A-1 | | 4,930 | µr |
| 1,800 | | Union City Multi-Family Rev. (Floaters), Ser. 2007-122G,
(LOC: Goldman Sachs), 2.24%, due 4/3/08 | | | | | | 1,800 | µ |
| | | | | | | | 156,729 | |
| | | |
| Colorado (2.1%) | | | | | | | |
| 8,960 | | Arkansas River Pwr. Au. Pwr. Rev. (Floaters), Ser. 2006-3575,
(XLCA Insured), 2.24%, due 4/3/08 | | | | | | 8,960 | µl |
| 9,650 | | Arkansas River Pwr. Au. Pwr. Rev. (Floaters), Ser. 2006-3550,
(XLCA Insured), 2.24%, due 4/3/08 | | | | | | 9,650 | µl |
| 1,500 | | Central Platte Valley Metro. Dist., Ser. 2006, (LOC: BNP Paribas),
3.50%, due 12/1/08 Putable 12/1/08 | | | | A-1+ | | 1,500 | µ |
| 6,625 | | Colorado Ed. & Cultural Fac. Au. Rev. (Colorado Christian Univ. Proj.), Ser. 2004, (LOC: Evangelical Christian Credit Union),
2.36%, due 4/3/08 | | | | A-1+ | | 6,625 | µßw |
| 3,625 | | Colorado Ed. & Cultural Fac. Au. Rev. (Emmanuel Sch. Religion Proj.), Ser. 2006, (LOC: AmSouth Bank), 2.26%, due 4/3/08 | | VMIG1 | | | | 3,625 | µß |
| 2,950 | | Colorado Hlth. Fac. Au. Rev. (Volunteers), Ser. 1998-A,
5.88%, due 7/1/28 Pre-Refunded 7/1/08 | | | | | | 3,046 | ß |
| 5,350 | | Commerce City Northern Infrastructure Gen. Imp. Dist. G.O.,
Ser. 2006, (LOC: U.S. Bank), 2.26%, due 4/3/08 | | | | A-1+ | | 5,350 | µ |
| 1,700 | | Deutsche Bank Spears/Lifers Trust Var. St. (Denver City),
Ser. 2008-535, (AMBAC Insured), 2.27%, due 4/3/08 | | | | | | 1,700 | µk |
| 4,865 | | Northern Colorado Wtr. Conservancy Dist. Cert. Participation,
Ser. 2002-1395, (MBIA Insured), 5.07%, due 4/3/08 | | | | A-1 | | 4,865 | µr |
| 5,615 | | Solaris Metro. Dist. Number 1 Prop. Tax Rev., Ser. 2008,
(LOC: KeyBank), 2.26%, due 4/2/08 | | | | A-1 | | 5,615 | µ |
| | | | | | | | 50,936 | |
| | | |
| Connecticut (0.2%) | | | | | | | |
| 5,805 | | Connecticut Dev. Au. Arpt. Hotel Rev. (Bradley Arpt. Hotel Proj.),
Ser. 2006, (LOC: TD Banknorth N.A.), 2.24%, due 4/3/08 | | VMIG1 | | | | 5,805 | µß |
| | | |
| Delaware (1.8%) | | | | | | | |
| 32,915 | | BB&T Muni. Trust Var. St. (Floaters), Ser. 2008-1007,
(LOC: Branch Banking & Trust Co.), 2.33%, due 4/3/08 | | VMIG1 | | | | 32,915 | µØØ |
| 12,585 | | New Castle Co. Std. Hsg. Rev. (University Courtyard Apts.), Ser. 2005,
(LOC: Bank of New York), 2.31%, due 4/3/08 | | VMIG1 | | | | 12,585 | µß |
| | | | | | | | 45,500 | |
| | | |
| District of Columbia (1.3%) | | | | | | | |
| 5,825 | | Deutsche Bank Spears/Lifers Trust Var. St. (Washington),
Ser. 2008-524, (AMBAC Insured), 2.27%, due 4/3/08 | | | | | | 5,825 | µk |
| 2,075 | | District of Columbia G.O. (Merlots), Ser. 2001-A127, (MBIA Insured),
3.25%, due 4/2/08 | | | | A-1+ | | 2,075 | µv |
See Notes to Schedule of Investments
83
| | | | | | | | | |
PRINCIPAL
AMOUNT | | SECURITY@@ | | RATING‡‡§ | | VALUE†† | |
| (000’s omitted) | | Moody’s | | S&P | | (000’s omitted) | |
| $2,235 | | District of Columbia Rev. (Maret Sch., Inc.), Ser. 2003,
(LOC: SunTrust Bank), 2.09%, due 4/2/08 | | VMIG1 | | | | $2,235 | µß |
| 1,435 | | District of Columbia Wtr. & Swr. Au. Pub. Utils. Rev. (Floaters),
Ser. 2006-3494, (FSA Insured), 2.23%, due 4/3/08 | | | | | | 1,435 | µl |
| 20,095 | | Washington Convention Ctr. Au. Dedicated Tax Rev. (Floaters),
Ser. 2001-539, (AMBAC Insured), 2.21%, due 4/3/08 | | VMIG1 | | | | 20,095 | µs |
| | | | | | | | 31,665 | |
| | | |
| Florida (8.3%) | | | | | | | |
| 2,400 | | Alachua Co. Hlth. Fac. Au. Continuing Care Rev. (Oak Hammock Univ. Proj.), Ser. 2002 A, (LOC: BNP Paribas), 1.30%, due 4/1/08 | | VMIG1 | | | | 2,400 | µß |
| 9,045 | | Alachua Co. Sch. Board Cert. Participation, Ser. 2004,
(AMBAC Insured), 4.75%, due 4/3/08 | | VMIG1 | | A-1+ | | 9,045 | µd |
| 2,265 | | Deutsche Bank Spears/Lifers Trust Var. St. (Miami-Dade Co.),
Ser. 2008-538, (AMBAC Insured), 2.27%, due 4/3/08 | | | | | | 2,265 | µk |
| 1,720 | | Deutsche Bank Spears/Lifers Trust Var. St. (Orange Co.),
Ser. 2008-553, (FGIC Insured), 2.27%, due 4/3/08 | | | | | | 1,720 | µk |
| 2,155 | | Deutsche Bank Spears/Lifers Trust Var. St. (Palm Coast),
Ser. 2008-579, (MBIA Insured), 2.27%, due 4/3/08 | | | | | | 2,155 | µk |
| 8,980 | | Deutsche Bank Spears/Lifers Trust Var. St. (St. John Co.),
Ser. 2008-486, (AMBAC Insured), 2.29%, due 4/3/08 | | | | | | 8,980 | µk |
| 2,810 | | Deutsche Bank Spears/Lifers Trust Var. St. (Sunrise Utils.),
Ser. 2008-518, (AMBAC Insured), 2.27%, due 4/3/08 | | | | | | 2,810 | µk |
| 3,755 | | Deutsche Bank Spears/Lifers Trust Var. St. (West Palm Beach),
Ser. 2008-547, (MBIA Insured), 2.27%, due 4/3/08 | | | | | | 3,755 | µk |
| 7,700 | | Deutsche Bank Spears/Lifers Trust Var. St. (Manatee Co.),
Ser. 2007-243, (MBIA Insured), 2.24%, due 4/3/08 | | | | A-1+ | | 7,700 | µk |
| 10,260 | | Deutsche Bank Spears/Lifers Trust Var. St. (Miami-Dade Co.),
Ser. 2008-530, (FGIC Insured), 2.27%, due 4/3/08 | | | | | | 10,260 | µk |
| 2,670 | | Eclipse Funding Trust (Solar Eclipse-Miami-Dade Co. Sch. Board),
Ser. 2007-0041, (FGIC Insured), 2.27%, due 4/3/08 | | | | A-1+ | | 2,670 | µu |
| 2,750 | | Eclipse Funding Trust (Solar Eclipse-Palm Bay Sales), Ser. 2006-0136,
(FSA Insured), 2.20%, due 4/3/08 | | | | A-1+ | | 2,750 | µu |
| 8,960 | | Eclipse Funding Trust (Solar Eclipse-Winter Haven Utils. Sys.),
Ser. 2006-0054, (MBIA Insured), 2.26%, due 4/3/08 | | | | A-1+ | | 8,960 | ñµuØØ |
| 14,365 | | Enhanced Return Puttable Floating Option Tax Exempt Receipts (Floaters), Ser. 2007-1025, (AMBAC Insured), 3.75%, due 4/3/08 | | | | | | 14,365 | µr |
| 7,000 | | Florida Higher Ed. Fac. Fin. Au. Rev. (Jacksonville Univ. Proj.), Ser. 2006, (Radian Insured), 2.10%, due 4/3/08 | | VMIG1 | | | | 7,000 | µßz |
| 2,690 | | Florida St. Board of Ed. Muni. Sec. Trust Receipts, Ser. 2003-SGA138,
(MBIA Insured), 2.25%, due 4/2/08 | | | | A-1+ | | 2,690 | µt |
| 4,400 | | Lee Co. Hosp. Board of Directors Hosp. Rev. (Mem. Hlth. Sys.),
Ser. 1997 B, (LOC: SunTrust Bank), 1.38%, due 4/1/08 | | VMIG1 | | A-1 | | 4,400 | µß |
| 8,000 | | Leesburg Hosp. Rev. (The Villages Reg. Hosp. Proj.), Ser. 2006,
(LOC: Scotiabank), 2.25%, due 4/3/08 | | VMIG1 | | A-1+ | | 8,000 | µß |
| 6,800 | | Martin Co. PCR (Florida Pwr. & Lt. Co. Proj.), Ser. 2000,
1.45%, due 4/1/08 | | VMIG1 | | A-1 | | 6,800 | µß |
| 5,310 | | Miami-Dade Co. Wtr. & Swr. Rev. (Floaters), Ser. 2008-2319,
(FSA Insured), 2.21%, due 4/3/08 | | | | A-1+ | | 5,310 | µs |
See Notes to Schedule of Investments
84
| | | | | | | | | |
PRINCIPAL
AMOUNT | | SECURITY@@ | | RATING‡‡§ | | VALUE†† | |
| (000’s omitted) | | Moody’s | | S&P | | (000’s omitted) | |
| $7,900 | | Miami-Dade Co. Sch. Board Cert. Participation, Ser. 2007-12042,
(FSA Insured), 2.33%, due 4/3/08 | | VMIG1 | | A-1+ | | $7,900 | µi |
| 200 | | Miami-Dade Co. Sch. Board Cert. Participation (Putters),
Ser. 2006-1317, (AMBAC Insured), 4.00%, due 4/3/08 | | | | A-1+ | | 200 | µo |
| 9,030 | | Orlando Utils. Commission Wtr. & Elec. Rev. (Floaters),
Ser. 2006-3791, (LOC: Dexia Credit Locale de France),
2.23%, due 4/3/08 | | | | | | 9,030 | µ |
| 4,000 | | Polk Co. Ind. Dev. Au. IDR (Winter Haven Hosp. Proj.), Ser. 2005 A,
(LOC: SunTrust Bank), 1.25%, due 4/1/08 | | | | A-1+ | | 4,000 | µß |
| 3,650 | | Polk Co. Ind. Dev. Au. IDR (Winter Haven Hosp. Proj.), Ser. 2005 B,
(LOC: SunTrust Bank), 1.25%, due 4/1/08 | | | | A-1+ | | 3,650 | µß |
| 12,815 | | Puttable Floating Option Tax Exempt Receipts (Floaters),
Ser. 2007-1497, (LOC: Merrill Lynch Capital Markets),
2.36%, due 4/3/08 | | | | A-1 | | 12,815 | µ |
| 15,355 | | Puttable Floating Option Tax Exempt Receipts (Floaters) (South Miami Hlth. Fac. Au.), Ser. 2007-1498, (LOC: Merrill Lynch Capital Markets),
2.36%, due 4/3/08 | | | | A-1 | | 15,355 | µ |
| 7,635 | | Reset Option Cert. Trust II-R Var. St. (Tampa Bay Wtr.),
Ser. 2006-4084, (FGIC Insured), 4.04%, due 4/3/08 | | VMIG1 | | | | 7,635 | µi |
| 8,840 | | Sarasota Co. Continuing Care Retirement Comm. Rev. (Glenridge Palmer Proj.), Ser. 2006, (LOC: Bank of Scotland), 1.30%, due 4/1/08 | | VMIG1 | | | | 8,840 | µß |
| 21,000 | | Sarasota Co. Pub. Hosp. Dist. Rev. (Sarasota Mem. Hosp. Proj.),
Ser. 2007 A, (MBIA Insured), 1.40%, due 4/1/08 | | VMIG1 | | | | 21,000 | µv |
| | | | | | | | 204,460 | |
| | | |
| Georgia (2.6%) | | | | | | | |
| 7,555 | | Athens Area Fac. Corp. Cert. Participation, Ser. 2007-R11107,
(LOC: Citibank, N.A.), 2.25%, due 4/3/08 | | VMIG1 | | | | 7,555 | µ |
| 8,000 | | Burke Co. Dev. Au. PCR (Vogtle Proj.), Ser. 1995, 1.25%, due 4/1/08 | | P-1 | | A-1 | | 8,000 | µß |
| 3,135 | | De Kalb Co. Wtr. & Swr. Rev., Ser. 2006-567, (LOC: Citibank, N.A.),
2.24%, due 4/3/08 | | VMIG1 | | | | 3,135 | µ |
| 400 | | Gwinnett Co. Dev. Au. Rev. (Greater Atlanta Christian), Ser. 1998,
(LOC: SunTrust Bank), 2.09%, due 4/2/08 | | | | | | 400 | µß |
| 2,500 | | Marietta Hsg. Au. Multi-Family Rev. (Franklin Walk Apts. Proj.),
Ser. 1990, (LOC: Freddie Mac), 2.23%, due 4/3/08 | | VMIG1 | | | | 2,500 | µß |
| 27,005 | | Muni. Elec. Au. Rev. (Proj. One), Ser. 2000 E, (MBIA Insured),
2.50%, due 4/2/08 | | VMIG1 | | A-1+ | | 27,005 | µ |
| 4,700 | | Muni. Elec. Au. Spec. Oblig., Ser. 1994-SGA1, (MBIA Insured),
3.25%, due 4/2/08 | | | | A-1+ | | 4,700 | µt |
| 11,480 | | Richmond Co. Dev. Au. Rev., Ser. 2007-10025Z,
(LOC: Citigroup Global Markets), 2.25%, due 4/3/08 | | | | A-1+ | | 11,480 | µ |
| | | | | | | | 64,775 | |
| | | |
| Illinois (8.9%) | | | | | | | |
| 8,045 | | Chicago Board Ed. G.O. (Floaters), Ser. 2006-3620, (AMBAC Insured),
2.24%, due 4/3/08 | | | | | | 8,045 | µl |
| 13,165 | | Chicago G.O., Ser. 2007-9192, (MBIA Insured), 2.29%, due 4/3/08 | | | | A-1+ | | 13,165 | µi |
| 15,520 | | Chicago O’Hare Int’l Arpt. Rev. (Floaters), Ser. 2006-1284,
(FGIC Insured), 2.31%, due 4/3/08 | | | | A-1+ | | 15,520 | µs |
See Notes to Schedule of Investments
85
| | | | | | | | | |
PRINCIPAL
AMOUNT | | SECURITY@@ | | RATING‡‡§ | | VALUE†† | |
| (000’s omitted) | | Moody’s | | S&P | | (000’s omitted) | |
| $10,145 | | Chicago O’Hare Int’l Arpt. Rev. (Floaters), Ser. 2007-1933,
(FGIC Insured), 2.31%, due 4/3/08 | | VMIG1 | | A-1+ | | $10,145 | µs |
| 6,640 | | Deutsche Bank Spears/Lifers Trust Var. St., Ser. 2007-346,
(FGIC Insured), 2.34%, due 4/3/08 | | | | | | 6,640 | µk |
| 14,180 | | Deutsche Bank Spears/Lifers Trust Var. St. (Chicago Illinois Board),
Ser. 2007-316, (FGIC Insured), 2.24%, due 4/3/08 | | | | | | 14,180 | µk |
| 1,625 | | Deutsche Bank Spears/Lifers Trust Var. St. (De Witt Ford Etc.),
Ser. 2008-555, (FSA Insured), 2.27%, due 4/3/08 | | VMIG1 | | | | 1,625 | µk |
| 15,560 | | Deutsche Bank Spears/Lifers Trust Var. St. (Chicago O’Hare),
Ser. 2008-502, (FSA Insured), 2.27%, due 4/3/08 | | | | | | 15,560 | µk |
| 2,285 | | Deutsche Bank Spears/Lifers Trust Var. St. (Chicago O’Hare),
Ser. 2008-534, (AMBAC Insured), 2.27%, due 4/3/08 | | | | | | 2,285 | µk |
| 3,370 | | Deutsche Bank Spears/Lifers Trust Var. St. (Northern Illinois Muni.),
Ser. 2008-517, (MBIA Insured), 2.27%, due 4/3/08 | | | | | | 3,370 | µk |
| 14,290 | | Illinois Dev. Fin. Au. (Putters), Ser. 2007-2359,
(LOC: JP Morgan Chase), 2.29%, due 4/3/08 | | | | A-1+ | | 14,290 | µ |
| 8,000 | | Illinois Fin. Au. Rev. (Clare Oaks), Ser. 2006 D,
(LOC: Sovereign Bank), 2.08%, due 4/3/08 | | | | | | 8,000 | µßb |
| 1,900 | | Illinois Fin. Au. Rev. (IIT Research Institute), Ser. 2004,
(LOC: Fifth Third Bank), 2.25%, due 4/3/08 | | VMIG1 | | | | 1,900 | µß |
| 1,850 | | Illinois Fin. Au. Rev. (Lawrence Hall Youth Svcs.), Ser. 2006,
(LOC: Fifth Third Bank), 2.25%, due 4/4/08 | | VMIG1 | | | | 1,850 | µß |
| 2,400 | | Illinois Hlth. Fac. Au. Rev. (Mem. Hlth. Sys.), Ser. 2003,
(LOC: Bank One), 1.33%, due 4/1/08 | | VMIG1 | | | | 2,400 | µß |
| 7,065 | | Illinois Hlth. Fac. Au. Rev. (Univ. Chicago Hosp.), Ser. 1998,
(MBIA Insured), 2.05%, due 4/1/08 | | VMIG1 | | A-1+ | | 7,065 | µßo |
| 7,840 | | Kane & Dekalb Co. Comm. Unit Sch. Dist. Number 302 (Putters),
Ser. 2002-283Z, (FGIC Insured), 2.21%, due 4/3/08 | | VMIG1 | | | | 7,840 | µo |
| 5,000 | | Lake Co. Sch. Dist. Number 109 Deerfield Rev., Ser. 2006,
(LOC: JP Morgan Chase), 2.20%, due 4/2/08 | | VMIG1 | | | | 5,000 | µ |
| 3,985 | | Metro. Pier & Expo. Au. Hospitality Fac. Rev. (Floaters),
Ser. 2006-3554, (LOC: Dexia Credit Locale de France),
2.23%, due 4/3/08 | | | | | | 3,985 | µ |
| 26,700 | | Puttable Floating Option Tax Exempt Receipts (Floaters),
Ser. 2007-4247, (FSA Insured), 2.24%, due 4/3/08 | | | | | | 26,700 | µr |
| 2,640 | | Quad Cities Reg. Econ. Dev. Au. Rev. (Two Rivers YMCA Proj.),
Ser. 2002, (LOC: U.S. Bank), 1.33%, due 4/1/08 | | | | A-1+ | | 2,640 | µß |
| 5,890 | | Reg. Trans. Au. (Floaters), Ser. 2006-3735, (MBIA Insured),
2.24%, due 4/3/08 | | | | | | 5,890 | µl |
| 38,195 | | Reg. Trans. Au. G.O. (Merlots), Ser. 2002-A24, (MBIA Insured),
2.30%, due 4/2/08 | | VMIG1 | | | | 38,195 | µd |
| 3,365 | | Southwestern Dev. Au. Rev. (Floaters), Ser. 2008-2359, (FSA Insured),
2.21%, due 4/3/08 | | | | A-1+ | | 3,365 | µs |
| | | | | | | | 219,655 | |
| | | |
| Indiana (4.8%) | | | | | | | |
| 10,440 | | Aurora Sch. Bldg. Corp. (Putters), Ser. 2008-2455, (FGIC Insured),
3.50%, due 4/3/08 | | | | A-1+ | | 10,440 | µo |
| 5,070 | | Carmel Clay Ind. Parks Bldg. Corp. (Putters), Ser. 2004-539,
(MBIA Insured), 2.41%, due 4/3/08 | | | | A-1+ | | 5,070 | µo |
See Notes to Schedule of Investments
86
| | | | | | | | | |
PRINCIPAL
AMOUNT | | SECURITY@@ | | RATING‡‡§ | | VALUE†† | |
| (000’s omitted) | | Moody’s | | S&P | | (000’s omitted) | |
| $13,885 | | Carmel Redev. Au. Lease Rental Rev. (Floaters), Ser. 2006-1275,
(LOC: Morgan Stanley), 2.16%, due 4/3/08 | | | | A-1+ | | $13,885 | µ |
| 2,065 | | Carmel Redev. Au. Lease Rental Rev. (Putters), Ser. 2006-1503,
(LOC: JP Morgan Chase), 2.29%, due 4/3/08 | | | | A-1+ | | 2,065 | µ |
| 2,765 | | Deutsche Bank Spears/Lifers Trust Var. St. (Franklin), Ser. 2008-550,
(FGIC Insured), 2.27%, due 4/3/08 | | | | A-1+ | | 2,765 | µk |
| 2,040 | | Deutsche Bank Spears/Lifers Trust Var. St. (Indiana Bond Bank),
Ser. 2008-565, (FSA Insured), 2.27%, due 4/3/08 | | | | A-1+ | | 2,040 | µk |
| 9,550 | | Eclipse Funding Trust (Solar Eclipse), Ser. 2007-0098, (MBIA Insured),
2.26%, due 4/3/08 | | | | A-1+ | | 9,550 | µu |
| 1,530 | | Eclipse Funding Trust (Solar Eclipse-Hamilton Southeastern Indiana), Ser. 2007-0006, (FSA Insured), 2.27%, due 4/3/08 | | | | A-1+ | | 1,530 | µu |
| 7,000 | | Eclipse Funding Trust (Solar Eclipse-IPS Multi-Sch. Bldg. Corp. Ltd.), Ser. 2007-0026, (MBIA Insured), 2.27%, due 4/3/08 | | | | A-1+ | | 7,000 | µu |
| 3,975 | | Eclipse Funding Trust (Solar Eclipse-Wayne Township Marion),
Ser. 2006-0015, (FGIC Insured), 2.26%, due 4/3/08 | | | | A-1+ | | 3,975 | ñµu |
| 16,065 | | Greater Clark Co. Sch. Temporary Loan Warrants, Ser. 2008,
2.45%, due 12/31/08 | | | | | | 16,089 | |
| 5,000 | | Indiana Hlth. & Ed. Fac. Fin. Au. Hosp. Rev. (Schneck Mem. Hosp. Proj.), Ser. 2006 B, (LOC: Fifth Third Bank), 1.30%, due 4/1/08 | | | | A-1+ | | 5,000 | µß |
| 500 | | Indiana Hlth. Fac. Fin. Au. Rev. (Margaret Mary Comm. Hosp.),
Ser. 2004 A, (LOC: Fifth Third Bank), 1.30%, due 4/1/08 | | | | A-1+ | | 500 | µß |
| 10,000 | | Indiana Trans. Fin. Au. Hwy. Rev., Ser. 2006-3610, (FGIC Insured),
2.24%, due 4/3/08 | | | | | | 10,000 | µl |
| 10,255 | | Indiana Trans. Fin. Au. Hwy. Rev., Ser. 2004-114, (FGIC Insured),
2.34%, due 4/3/08 | | | | A-1+ | | 10,255 | µk |
| 5,000 | | Indianapolis Loc. Pub. Imp. Bond Bank Ltd. Recourse Notes,
Ser. 2007-E, 4.25%, due 10/2/08 | | | | SP-1+ | | 5,013 | |
| 3,750 | | Indianapolis Loc. Pub. Imp. Bond Bank Ltd. Recourse Notes,
Ser. 2007 F, 4.00%, due 1/12/09 | | | | SP-1+ | | 3,774 | |
| 5,715 | | Univ. Southern Indiana Rev., Ser. 2004-2117, (AMBAC Insured),
4.29%, due 4/3/08 | | VMIG1 | | | | 5,715 | µi |
| 5,160 | | Wayne Township Marion Co. Sch. Bldg. Corp. (Floaters),
Ser. 2003-2016, (FGIC Insured), 2.33%, due 4/3/08 | | | | A-1 | | 5,160 | µr |
| | | | | | | | 119,826 | |
| | | |
| Iowa (1.7%) | | | | | | | |
| 6,840 | | Ankeny G.O. BANS, Ser. 2006 A, 4.10%, due 6/1/08 | | MIG1 | | | | 6,840 | |
| 3,050 | | Austin Trust Var. Sts. Cert. (Iowa Din Au.), Ser. 2007-1011,
(LOC: Bank of America), 2.24%, due 4/3/08 | | | | A-1+ | | 3,050 | µ |
| 3,905 | | Iowa Fin. Au. Private College Rev. (Morningside College Proj.),
Ser. 2007, (LOC: U.S. Bank), 1.33%, due 4/1/08 | | | | A-1+ | | 3,905 | µß |
| 3,500 | | Iowa Fin. Au. Private College Rev. (Morningside College Proj.),
Ser. 2006, (LOC: U.S. Bank), 1.33%, due 4/1/08 | | | | A-1+ | | 3,500 | µß |
| 430 | | Iowa Fin. Au. Rev. Private Sch. Fac. Rev. (Kuemper Proj.), Ser. 1998,
(LOC: Allied Irish Bank), 1.33%, due 4/1/08 | | | | | | 430 | µß |
| 1,000 | | Iowa Higher Ed. Loan Au. Rev. (Ed. Loan Private College Fac.),
Ser. 1985, (MBIA Insured), 2.30%, due 4/2/08 | | VMIG1 | | A-1+ | | 1,000 | µg |
| 1,340 | | Iowa Higher Ed. Loan Au. Rev. (Private College Des Moines Proj.),
Ser. 2004, (LOC: Allied Irish Bank), 1.33%, due 4/1/08 | | VMIG1 | | A-1+ | | 1,340 | µß |
See Notes to Schedule of Investments
87
| | | | | | | | | |
PRINCIPAL
AMOUNT | | SECURITY@@ | | RATING‡‡§ | | VALUE†† | |
| (000’s omitted) | | Moody’s | | S&P | | (000’s omitted) | |
| $285 | | Iowa Higher Ed. Loan Au. Rev. (Private College Des Moines), Ser. 2003, (LOC: Allied Irish Bank), 1.33%, due 4/1/08 | | VMIG1 | | | | $285 | µß |
| 3,890 | | Iowa Higher Ed. Loan Au. Rev. (Private College DuBuque Proj.),
Ser. 2004, (LOC: Northern Trust Co.), 1.33%, due 4/1/08 | | | | A-1+ | | 3,890 | µß |
| 2,850 | | Iowa Higher Ed. Loan Au. Rev. (Private College Fac.), Ser. 2002,
(LOC: LaSalle National Bank), 1.30%, due 4/1/08 | | | | A-1+ | | 2,850 | µß |
| 5,425 | | Iowa Higher Ed. Loan Au. Rev. (Private College Fac. Wartburg Fac. Proj.), Ser. 2000, 1.33%, due 4/1/08 | | VMIG1 | | | | 5,425 | µß |
| 855 | | Iowa Higher Ed. Loan Au. Rev. (Private College-Univ. DuBuque),
Ser. 2007, (LOC: Northern Trust Co.), 1.30%, due 4/1/08 | | | | A-1+ | | 855 | µß |
| 3,535 | | Iowa Higher Ed. Loan Au. Rev. (Univ. of DuBuque), Ser. 2007 C,
4.50%, due 5/20/08 | | | | SP-1 | | 3,538 | ß |
| 1,860 | | Iowa Higher Ed. Loan Au. Rev. RANS,
Ser. 2007 B, 4.91%, due 5/20/08 | | | | SP-1 | | 1,863 | ß |
| 4,125 | | Mason City IDR (SUPERVALU, Inc. Proj.), Ser. 1994,
(LOC: Wachovia Bank & Trust Co.), 2.30%, due 4/2/08 | | | | | | 4,125 | µß |
| | | | | | | | 42,896 | |
| | | |
| Kansas (1.9%) | | | | | | | |
| 6,145 | | Junction City G.O. Temporary Notes, Ser. 2007 C, 5.00%, due 6/1/08 | | | | | | 6,155 | |
| 1,185 | | Kansas St. Dev. Fin. Au. Lease Rev. (Kansas Dept. Admin.),
Ser. 2002 J-1, 1.30%, due 4/1/08 | | | | A-1+ | | 1,185 | µ |
| 3,865 | | Shawnee Co. Temporary Notes, Ser. 2007-2, 3.70%, due 10/1/08 | | MIG1 | | | | 3,866 | |
| 1,300 | | Univ. of Kansas Hosp. Au. Rev. (KU Hlth. Sys.), Ser. 2004,
(LOC: Harris Trust & Savings Bank), 1.30%, due 4/1/08 | | | | A-1 | | 1,300 | µß |
| 13,135 | | Wyandotte Co. Kansas City Unified G.O. Gov’t Muni. Temporary Notes, Ser. 2007-III, 3.55%, due 4/1/08 | | MIG1 | | | | 13,135 | |
| 20,200 | | Wyandotte Co. Kansas City Unified G.O. Gov’t Muni. Temporary Notes, Ser. 2007-V, 3.55%, due 11/1/08 | | MIG1 | | | | 20,200 | |
| | | | | | | | 45,841 | |
| | | |
| Kentucky (0.5%) | | | | | | | |
| 8,460 | | Kentucky Rural Wtr. Fin. Corp. Pub. Proj. Rev. (Construction Notes),
Ser. 2007A-1, 3.65%, due 4/1/09 Putable 4/1/08 | | MIG1 | | | | 8,460 | µ |
| 5,030 | | Simpson Co. Hosp. Rev. (Med. Ctr. Franklin, Inc.), Ser. 2006,
(LOC: Branch Banking & Trust Co.), 2.28%, due 4/3/08 | | | | | | 5,030 | µß |
| | | | | | | | 13,490 | |
| | | |
| Louisiana (0.6%) | | | | | | | |
| 1,265 | | Deutsche Bank Spears/Lifers Trust Var. St. (Jefferson), Ser. 2008-576,
(AMBAC Insured), 2.27%, due 4/3/08 | | | | A-1+ | | 1,265 | µk |
| 2,575 | | Deutsche Bank Spears/Lifers Trust Var. St. (Jefferson), Ser. 2008-577,
(AMBAC Insured), 2.27%, due 4/3/08 | | | | A-1+ | | 2,575 | µk |
| 7,350 | | Lafayette Econ. Dev. Au. Gulf Opportunity Zone Rev. (Stirling Lafayette LLC Proj.), Ser. 2008, (LOC: Regions Bank), 2.21%, due 4/3/08 | | VMIG1 | | | | 7,350 | µß |
| 3,530 | | Louisiana Pub. Fac. Au. Hosp. Rev. (Pendleton Mem. Methodist),
Ser. 1998, 5.25%, due 6/1/28 Pre-Refunded 6/1/08 | | | | | | 3,595 | ß |
| | | | | | | | 14,785 | |
See Notes to Schedule of Investments
88
| | | | | | | | | |
PRINCIPAL
AMOUNT | | SECURITY@@ | | RATING‡‡§ | | VALUE†† | |
| (000’s omitted) | | Moody’s | | S&P | | (000’s omitted) | |
| | | |
| Maine (0.3%) | | | | | | | |
| $3,395 | | Eclipse Funding Trust (Solar-Eclipse), Ser. 2007-0104, (FGIC Insured),
2.27%, due 4/3/08 | | | | A-1+ | | $3,395 | µu |
| 5,000 | | Maine Hlth. & Higher Ed. Fac. Au. Rev. (Piper Shores), Ser. 1999 A,
7.55%, due 1/1/29 Pre-Refunded 1/1/09 | | | | | | 5,187 | ß |
| | | | | | | | 8,582 | |
| | | |
| Maryland (0.4%) | | | | | | | |
| 7,595 | | Maryland St. Hlth. & Higher Ed. Fac. Au. Rev. (Floaters),
Ser. 2008-2402, (FGIC Insured), 2.31%, due 4/3/08 | | VMIG1 | | | | 7,595 | µs |
| 1,300 | | Washington Suburban Sanitation Dist. BANS, Ser. 2003 A,
(LOC: Landesbank Hessen-Thveringen Girozentrale),
1.95%, due 4/2/08 | | VMIG1 | | | | 1,300 | µ |
| | | | | | | | 8,895 | |
| | | |
| Massachusetts (2.4%) | | | | | | | |
| 5,350 | | Deutsche Bank Spears/Lifers Trust Var. St. (Massachusetts St.),
Ser. 2008-528, (XLCA Insured), 2.26%, due 4/3/08 | | | | | | 5,350 | µk |
| 10,000 | | Massachusetts Bay Trans. Au. Sales Tax Rev. (Floaters),
Ser. 2006-3526, (LOC: Dexia Credit Locale de France),
2.21%, due 4/3/08 | | | | A-1+ | | 10,000 | µ |
| 145 | | Massachusetts St. G.O. (Central Artery), Ser. 2000 A,
(LOC: Landesbank Hessen-Thveringen Girozentrale),
1.25%, due 4/1/08 | | VMIG1 | | A-1+ | | 145 | µ |
| 6,500 | | Massachusetts St. Hlth. & Ed. Fac. Au. Rev. (Floaters), Ser. 2008-2405,
(FGIC Insured), 2.31%, due 4/3/08 | | | | A-1+ | | 6,500 | µs |
| 14,620 | | Massachusetts St. Hlth. & Ed. Fac. Au. Rev. (Floaters), Ser. 2004-937,
(MBIA Insured), 2.30%, due 4/3/08 | | | | | | 14,620 | µy |
| 4,850 | | Massachusetts St. Port Au. Rev. (Floaters), Ser. 1999-599,
(FGIC Insured), 2.28%, due 4/3/08 | | | | A-1 | | 4,850 | µr |
| 8,000 | | Massachusetts St. Turnpike Au. Metro. Hwy. Sys. Rev. (Floaters),
Ser. 2000 - 334, (MBIA Insured), 6.00%, due 4/3/08 | | VMIG1 | | | | 8,000 | µs |
| 4,300 | | Reset Option Cert. Trust II, Ser. 2006-680, (AMBAC Insured),
2.38%, due 4/3/08 | | VMIG1 | | | | 4,300 | µh |
| 6,300 | | Worcester Reg. Trans. Au. RANS, Ser. 2007, 4.00%, due 6/27/08 | | | | | | 6,301 | |
| | | | | | | | 60,066 | |
| | | |
| Michigan (2.0%) | | | | | | | |
| 10,000 | | ABN Amro Munitops Cert. Trust Rev., Ser. 2002-35, (FSA Insured),
2.23%, due 4/3/08 | | VMIG1 | | | | 10,000 | µc |
| 1,925 | | De Witt Pub. Sch. (Putters), Ser. 2008-2532, (MBIA Insured),
2.41%, due 4/3/08 | | VMIG1 | | | | 1,925 | µo |
| 5,370 | | Detroit Wtr. Supply Sys. (Putters), Ser. 2001-200Z, (FGIC Insured),
2.21%, due 4/3/08 | | | | A-1+ | | 5,370 | µo |
| 3,775 | | Grand Rapids Hsg. Corp. Rev. (Floaters), Ser. 2005-3152,
(FHA Insured), 2.29%, due 4/3/08 | | | | A-1 | | 3,775 | µ |
| 1,840 | | Hartland Cons. Sch. Dist. G.O. (Floaters), Ser. 2005-1204,
(LOC: Morgan Stanley), 2.16%, due 4/3/08 | | VMIG1 | | | | 1,840 | µ |
| 11,150 | | Jackson Co. Hosp. Fin. Au. Hosp. Ref. Rev. (W.A. Foote Mem. Hosp.), Ser. 2006 B, (LOC: Bank of Nova Scotia), 2.23%, due 4/3/08 | | | | A-1+ | | 11,150 | µß |
See Notes to Schedule of Investments
89
| | | | | | | | | |
PRINCIPAL
AMOUNT | | SECURITY@@ | | RATING‡‡§ | | VALUE†† | |
| (000’s omitted) | | Moody’s | | S&P | | (000’s omitted) | |
| $15,000 | | Michigan St. Hsg. Dev. Au. Rental Hsg. Rev., Ser. 2002 B,
(MBIA Insured), 4.00%, due 4/3/08 | | | | A-1+ | | $15,000 | µp |
| | | | | | | | 49,060 | |
| | | |
| Minnesota (1.6%) | | | | | | | |
| 6,532 | | Arden Hills Hsg. & Hlth. Care Fac. Rev. (Presbyterian Homes),
Ser. 1999 A, (LOC: U.S. Bank), 1.33%, due 4/1/08 | | | | A-1+ | | 6,532 | µß |
| 1,000 | | Mankato Multi-Family Hsg. Rev. (Highland), Ser. 1997,
(LOC: LaSalle National Bank), 1.33%, due 4/1/08 | | | | A-1+ | | 1,000 | µß |
| 3,150 | | Mankato Rev. (Bethany Lutheran College), Ser. 2000 B,
(LOC: Wells Fargo Bank & Trust Co.), 1.30%, due 4/1/08 | | | | A-1+ | | 3,150 | µß |
| 5,635 | | Minneapolis & St. Paul Hsg. & Redev. Au. Hlth. Care Sys.
(Allina Hlth. Sys.), Ser. 2007 B2, (MBIA Insured), 2.40%, due 4/1/08 | | VMIG1 | | | | 5,635 | µßd |
| 5,000 | | Minneapolis & St. Paul Hsg. & Redev. Au. Hlth. Care Sys.
(Children’s Hosp. Clinics), Ser. 2007 A, (FSA Insured),
1.33%, due 4/1/08 | | | | A-1+ | | 5,000 | µßu |
| 8,225 | | Minnesota Agricultural & Econ. Dev. Board Rev. (Hlth. Care Fac.-Essentia), Ser. 2008 C4, (LOC: KBC Bank), 1.30%, due 4/1/08 | | | | A-1+ | | 8,225 | µß |
| 935 | | Roseville Private Sch. Fac. Rev. (Northwestern College Proj.),
Ser. 2002, (LOC: Marshall & Ilsley), 1.33%, due 4/1/08 | | VMIG1 | | | | 935 | µß |
| 5,305 | | St. Cloud Hlth. Care Rev. (Centracare Hlth. Sys.), Ser. 2008 B,
(LOC: Bank of Nova Scotia), 2.07%, due 4/3/08 | | VMIG1 | | | | 5,305 | µß |
| 5,000 | | St. Cloud Hlth. Care Rev. (Centracare Hlth. Sys.), Ser. 2008 C,
(LOC: Royal Bank of Canada), 2.20%, due 4/3/08 | | VMIG1 | | | | 5,000 | µß |
| | | | | | | | 40,782 | |
| | | |
| Mississippi (0.5%) | | | | | | | |
| 2,900 | | Mississippi Bus. Fin. Corp. Rev. (Hattiesburg Clinic), Ser. 2006,
(LOC: AmSouth Bank), 2.27%, due 4/3/08 | | VMIG1 | | | | 2,900 | µß |
| 8,500 | | Mississippi St. G.O. (Merlots), Ser. 2007-BR02, (MBIA Insured),
2.30%, due 4/2/08 | | | | A-1+ | | 8,500 | µv |
| | | | | | | | 11,400 | |
| | | |
| Missouri (3.6%) | | | | | | | |
| 100 | | Chesterfield Ind. Dev. Au. Ed. Fac. Rev. (Gateway Academy Proj.),
Ser. 2003, (LOC: U.S. Bank), 1.33%, due 4/1/08 | | | | A-1+ | | 100 | µß |
| 7,450 | | Howard Bend Levee Dist. (Floaters), Ser. 2005-3338, (XLCA Insured),
2.33%, due 4/3/08 | | | | | | 7,450 | µl |
| 20,690 | | Missouri Joint Muni. Elec. Utils. Commission Pwr. Proj. Rev.,
Ser. 2007-11265, (AMBAC Insured), 2.27%, due 4/3/08 | | VMIG1 | | | | 20,690 | µh |
| 2,440 | | Missouri St. Dev. Fin. Board Infrastructure Fac. Rev. (St. Louis Convention Ctr.), Ser. 2000 C, (LOC: U.S. Bank), 1.33%, due 4/1/08 | | | | A-1+ | | 2,440 | µ |
| 12,050 | | Missouri St. Hlth. & Ed. Fac. Au. Ed. Fac. Rev. (Christian Brothers),
Ser. 2002 A, (LOC: Commerce Bank N.A.), 1.33%, due 4/1/08 | | | | A-1 | | 12,050 | µß |
| 5,015 | | Missouri St. Hlth. & Ed. Fac. Au. Ed. Fac. Rev. (Drury College),
Ser. 1999, (LOC: Bank of America), 1.33%, due 4/1/08 | | VMIG1 | | | | 5,015 | µß |
| 185 | | Missouri St. Hlth. & Ed. Fac. Au. Ed. Fac. Rev. (Drury Univ.), Ser. 2003, (LOC: Bank of America), 1.33%, due 4/1/08 | | 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.), 1.33%, due 4/1/08 | | | | A-1 | | 5,500 | µß |
See Notes to Schedule of Investments
90
| | | | | | | | | |
PRINCIPAL
AMOUNT | | SECURITY@@ | | RATING‡‡§ | | VALUE†† | |
| (000’s omitted) | | Moody’s | | S&P | | (000’s omitted) | |
| $3,000 | | Missouri St. Hlth. & Ed. Fac. Au. Ed. Fac. Rev. (Rockhurst Univ.),
Ser. 2002, (LOC: Bank of America), 1.30%, due 4/1/08 | | | | A-1+ | | $3,000 | µß |
| 2,570 | | Missouri St. Hlth. & Ed. Fac. Au. Ed. Fac. Rev. (St. Louis Univ.),
Ser. 1999 B, (LOC: Bank of America), 1.33%, due 4/1/08 | | VMIG1 | | A-1+ | | 2,570 | µß |
| 3,430 | | Missouri St. Hlth. & Ed. Fac. Au. Ed. Fac. Rev. (St. Louis Univ.),
Ser. 2002, (LOC: U.S. Bank), 1.33%, due 4/1/08 | | VMIG1 | | | | 3,430 | µß |
| 125 | | Missouri St. Hlth. & Ed. Fac. Au. Hlth. Fac. Rev. (Bethesda Hlth. Group, Inc.), Ser. 2004, (LOC: U.S. Bank), 1.33%, due 4/1/08 | | VMIG1 | | | | 125 | µß |
| 875 | | Missouri St. Hlth. & Ed. Fac. Au. Hlth. Fac. Rev. (Lutheran Sr. Svcs.), Ser. 2000, (LOC: U.S. Bank), 2.10%, due 4/2/08 | | VMIG1 | | | | 875 | µß |
| 1,400 | | Missouri St. Hlth. & Ed. Fac. Au. Hlth. Fac. Rev. (St. Francis Med. Ctr.), Ser. 1996 A, (LOC: Bank of America), 1.30%, due 4/1/08 | | | | A-1+ | | 1,400 | µß |
| 3,980 | | Missouri St. Hlth. & Ed. Fac. Au. Rev. RANS (Rockhurst Univ.-Private Ed. Loan), Ser. 2007 B, 4.50%, due 4/24/08 | | | | SP-1 | | 3,983 | ß |
| 2,075 | | Missouri St. Pub. Utils. Commission Rev. Construction Notes, Ser. 2007, 4.75%, due 9/1/08 | | MIG1 | | | | 2,083 | |
| 11,125 | | O Fallon Cert. Participation (Floaters), Ser. 2002-1396,
(MBIA Insured), 3.75%, due 4/3/08 | | VMIG1 | | | | 11,125 | µr |
| 4,020 | | St. Louis Co. Rockwood Sch. Dist. Number R-6 G.O., Ser. 2008 A,
5.00%, due 2/1/09 | | | | | | 4,111 | |
| 3,950 | | St. Louis Ind. Dev. Au. Ind. Rev. (Schnuck Markets, Inc.), Ser. 1985, (LOC: U.S. Bank), 2.22%, due 4/3/08 | | P-1 | | | | 3,950 | µß |
| | | | | | | | 90,082 | |
| | | |
| Nebraska (2.1%) | | | | | | | |
| 5,215 | | Central Plains Energy Proj. Rev. (Nebgas Proj.) (Merlots), Ser. 2007-E09, (LOC: Wachovia Bank & Trust Co.), 2.25%, due 4/2/08 | | | | A-1+ | | 5,215 | µ |
| 2,040 | | Deutsche Bank Spears/Lifers Trust Var. St. (Omaha Spec. Oblig.),
Ser. 2008-543, (LOC: Deutsche Bank), 2.27%, due 4/3/08 | | | | A-1+ | | 2,040 | µ |
| 38,935 | | Nebhelp Inc. Rev. (Multi-Mode), Ser. 1985 E, (MBIA Insured),
3.60%, due 4/2/08 | | VMIG1 | | A-1+ | | 38,935 | µq |
| 5,955 | | Nebraska Ed. Fin. Au. Rev. (Creighton Univ. Proj.), Ser. 2005 B,
(LOC: JP Morgan Chase), 1.33%, due 4/1/08 | | VMIG1 | | | | 5,955 | µß |
| | | | | | | | 52,145 | |
| | | |
| Nevada (2.3%) | | | | | | | |
| 9,800 | | ABN Amro Munitops Cert. Trust Rev., Ser. 2006-47, (MBIA Insured),
3.01%, due 4/3/08 | | VMIG1 | | | | 9,800 | ñµc |
| 9,985 | | Eclipse Funding Trust Var. St. (Solar Eclipse-Truckee Meadows Wtr.), Ser. 2007-0015, (XLCA Insured), 2.27%, due 4/3/08 | | | | A-1+ | | 9,985 | µu |
| 10,000 | | Henderson Hlth. Care Fac. Rev., Ser. 2007-887CE,
(LOC: Citibank, N.A.), 2.27%, due 4/3/08 | | VMIG1 | | | | 10,000 | µ |
| 8,795 | | Nevada St. G.O. (Floaters), Ser. 2000-344, (FGIC Insured),
2.21%, due 4/3/08 | | VMIG1 | | | | 8,795 | µs |
| 4,265 | | Nevada Sys. Higher Ed. Univ. Rev. (Floaters), Ser. 2005-1240,
(AMBAC Insured), 2.71%, due 4/3/08 | | | | A-1+ | | 4,265 | µs |
| 4,365 | | Reset Option Cert. Trust II-R Var. St. (Clark Co.), Ser. 2006-3048, (AMBAC Insured), 2.40%, due 4/3/08 | | VMIG1 | | | | 4,365 | µi |
| 8,535 | | Truckee Meadows Wtr. Au. Wtr. Rev. (Floaters), Ser. 2007-2111, (XLCA Insured), 2.31%, due 4/3/08 | | VMIG1 | | A-1+ | | 8,535 | µs |
| | | | | | | | 55,745 | |
See Notes to Schedule of Investments
91
| | | | | | | | | |
PRINCIPAL
AMOUNT | | SECURITY@@ | | RATING‡‡§ | | VALUE†† | |
| (000’s omitted) | | Moody’s | | S&P | | (000’s omitted) | |
| | | |
| New Hampshire (2.4%) | | | | | | | |
| $8,000 | | Cheshire Co. G.O. TANS, Ser. 2008, 2.50%, due 12/31/08 | | | | | | $8,014 | |
| 13,220 | | Merrimack Co. G.O. TANS, Ser. 2008, 2.75%, due 12/30/08 | | | | | | 13,278 | |
| 800 | | New Hampshire Hlth. & Ed. Fac. Au. Rev. (Seacoast Hospice),
Ser. 2006, (LOC: Citizens Bank), 2.35%, due 4/3/08 | | | | | | 800 | µ |
| 5,000 | | New Hampshire St. Bus. Fin. Au. Rev. (Huggins Hosp.), Ser. 2007, (LOC: TD Banknorth N.A.), 1.28%, due 4/1/08 | | | | A-1+ | | 5,000 | µß |
| 5,900 | | New Hampshire St. Bus. Fin. Au. Rev. (Littleton Reg. Hosp.), Ser. 2007, (LOC: TD Banknorth N.A.), 2.26%, due 4/3/08 | | | | A-1+ | | 5,900 | µß |
| 4,000 | | New Hampshire St. Bus. Fin. Au. Rev. (Monadnock Comm. Hosp.),
Ser. 2007, (LOC: TD Banknorth N.A.), 1.28%, due 4/1/08 | | | | A-1+ | | 4,000 | µß |
| 4,200 | | New Hampshire St. Bus. Fin. Au. Rev. (Taylor Home), Ser. 2005 B, (LOC: TD Banknorth N.A.), 2.24%, due 4/3/08 | | VMIG1 | | | | 4,200 | µß |
| 18,000 | | Strafford Co. G.O. TANS, Ser. 2008 A, 3.00%, due 12/31/08 | | | | | | 18,080 | |
| | | | | | | | 59,272 | |
| | | |
| New Jersey (2.1%) | | | | | | | |
| 2,600 | | Deutsche Bank Spears/Lifers Trust Var. St. (New Jersey Trans. Trust Au.), Ser. 2007-DB452, (FSA Insured), 2.28%, due 4/3/08 | | | | | | 2,600 | µk |
| 1,255 | | Deutsche Bank Spears/Lifers Trust Var. St. (Newark Hsg.),
Ser. 2008-557, (MBIA Insured), 2.26%, due 4/3/08 | | | | A-1+ | | 1,255 | µk |
| 4,400 | | Deutsche Bank Spears/Lifers Trust Var. St. (Newark Hsg.),
Ser. 2008-511, (MBIA Insured), 2.26%, due 4/3/08 | | | | | | 4,400 | µk |
| 19,200 | | Hamilton Township Mercer Co. G.O. TANS, Ser. 2008,
3.50%, due 10/24/08 | | | | | | 19,274 | |
| 14,200 | | Hoboken G.O. BANS, Ser. 2007, 3.90%, due 9/12/08 | | | | | | 14,206 | |
| 4,840 | | New Jersey Econ. Dev. Au. Econ. Dev. Rev. (Comm. Options, Inc. Proj.), Ser. 2007, (LOC: Wachovia Bank & Trust Co.), 2.13%, due 4/3/08 | | | | | | 4,840 | µß |
| 4,685 | | New Jersey St. Trans. Corp. Cert., Ser. 2000-785, (AMBAC Insured),
2.28%, due 4/3/08 | | | | A-1 | | 4,685 | µr |
| | | | | | | | 51,260 | |
| | | |
| New Mexico (0.1%) | | | | | | | |
| 2,800 | | ABN Amro Munitops Cert. Trust Rev., Ser. 2005-42, (AMBAC Insured),
2.31%, due 4/3/08 | | | | | | 2,800 | ñµc |
| | | |
| New York (2.9%) | | | | | | | |
| 34,395 | | Metro. Trans. Au. Commuter Fac. Rev. (Merlots), Ser. 1997 P,
(FGIC Insured), 4.00%, due 4/2/08 | | | | | | 34,395 | µv |
| 23,800 | | Metro. Trans. Au. Transit Fac. Rev. (Merlots), Ser. 2000 F,
(FGIC Insured), 4.00%, due 4/2/08 | | | | | | 23,800 | µv |
| 4,970 | | New York City Transitional Fin. Au. Rev., Ser. 2002-2A,
(LOC: Dexia Credit Locale de France), 1.15%, due 4/1/08 | | VMIG1 | | A-1+ | | 4,970 | µ |
| 4,330 | | New York G.O., Ser. 2004 H1, (LOC: Bank of New York),
1.15%, due 4/1/08 | | VMIG1 | | A-1+ | | 4,330 | µ |
| 4,000 | | Onondaga Co. IDA Civic Fac. Rev. (Crouse Hlth. Hosp.), Ser. 2007 A, (LOC: Key Bank), 2.22%, due 4/2/08 | | VMIG1 | | | | 4,000 | µß |
| | | | | | | | 71,495 | |
See Notes to Schedule of Investments
92
| | | | | | | | | |
PRINCIPAL
AMOUNT | | SECURITY@@ | | RATING‡‡§ | | VALUE†† | |
| (000’s omitted) | | Moody’s | | S&P | | (000’s omitted) | |
| | | |
| North Carolina (1.0%) | | | | | | | |
| $2,485 | | Eclipse Funding Trust (Solar Eclipse-Union Co.), Ser. 2006-0155, (AMBAC Insured), 2.27%, due 4/3/08 | | | | A-1+ | | $2,485 | µu |
| 3,500 | | North Carolina Med. Care Commission Hlth. Care Fac. Rev. (Lower Cape Fear Hospice), Ser. 2007, (LOC: Branch Banking & Trust Co.), 2.28%, due 4/3/08 | | VMIG1 | | | | 3,500 | µ |
| 3,600 | | North Carolina Med. Care Commission Hlth. Care Fac. Rev.
(Sisters of Mercy Svcs. Corp. Proj.), Ser. 2007,
(LOC: Branch Banking & Trust Co.), 2.28%, due 4/3/08 | | VMIG1 | | | | 3,600 | µß |
| 14,665 | | Puttable Floating Option Tax Exempt Receipts (Floaters),
Ser. 2007-4112, (FGIC Insured), 2.24%, due 4/3/08 | | | | | | 14,665 | µl |
| | | | | | | | 24,250 | |
| | | |
| North Dakota (0.3%) | | | | | | | |
| 6,550 | | Cass Co. Hlth. Fac. Rev. (Hlth. Care-Essentia), Ser. 2008 A-2,
(LOC: U.S. Bank), 2.25%, due 4/3/08 | | | | A-1+ | | 6,550 | µß |
| | | |
| Ohio (4.6%) | | | | | | | |
| 40,000 | | American Muni. Pwr. BANS (Prairie St. Proj.), Ser. 2008,
3.50%, due 4/1/09 | | MIG1 | | SP-1+ | | 40,350 | Ø |
| 8,000 | | Cincinnati Econ. Dev. Rev. BANS (Baldwin 300 Proj.), Ser. 2008,
3.05%, due 7/10/08 | | | | | | 8,000 | |
| 1,630 | | Clermont Co. Econ. Dev. Rev. (John Q Hammons Proj.), Ser. 1989,
(LOC: Fifth Third Bank), 3.80%, due 5/1/08 | | | | | | 1,630 | µß |
| 3,385 | | Cleveland-Cuyahoga Co. Port Au. Ed. Fac. Rev. (Laurel Sch. Proj.),
Ser. 2004, (LOC: Key Bank), 2.29%, due 4/3/08 | | | | | | 3,385 | µß |
| 2,000 | | Deutsche Bank Spears/Lifers Trust Var. St. (Cleveland), Ser. 2008-570,
(FSA Insured), 2.27%, due 4/3/08 | | | | | | 2,000 | µk |
| 1,305 | | Eclipse Funding Trust Var. St. (Solar-Eclipse-Ohio St. Higher Ed.),
Ser. 2006-0107, (FGIC Insured), 2.27%, due 4/3/08 | | | | A-1+ | | 1,305 | µu |
| 3,855 | | Hamilton Co. Hlth. Care Fac. Rev. (Sisters of Charity Sr. Care),
Ser. 2002, (LOC: Fifth Third Bank), 2.17%, due 4/3/08 | | | | | | 3,855 | µß |
| 4,750 | | Hamilton G.O. BANS, Ser. 2007, 4.00%, due 9/11/08 | | | | | | 4,755 | |
| 1,100 | | Licking Co. Career & Technology Ed. Ctrs. G.O. BANS
(Sch. Fac. Construction), Ser. 2007, 4.50%, due 9/10/08 | | | | | | 1,103 | |
| 3,500 | | Lucas Co. G.O. Purp. Imp. Notes, Ser. 2007-1, 4.00%, due 9/18/08 | | MIG1 | | SP-1+ | | 3,505 | |
| 4,660 | | Marysville G.O. BANS, Ser. 2007, 4.13%, due 6/5/08 | | MIG1 | | | | 4,664 | |
| 3,500 | | Marysville Tax Increment Fin. Rev. (Coleman’s Crossing Rd.),
Ser. 2007, (LOC: Fifth Third Bank), 4.25%, due 9/11/08 | | | | | | 3,508 | |
| 2,820 | | Ohio St. G.O., Ser. 2005-7508, (LOC: Citibank, N.A.),
2.24%, due 4/3/08 | | VMIG1 | | | | 2,820 | µ |
| 4,850 | | Stark Co. Port Au. Econ. Dev. Rev. (Vision FC LLC Proj.), Ser. 2007,
(LOC: Fifth Third Bank), 2.27%, due 4/4/08 | | | | | | 4,850 | µ |
| 19,500 | | Union Township Tax Increment Rev. BANS, Ser. 2007,
4.25%, due 9/17/08 | | MIG1 | | | | 19,556 | |
| 7,300 | | Univ. of Toledo Gen. Receipts Bonds, Ser. 2001-SGA125,
(FGIC Insured), 2.12%, due 4/2/08 | | | | A-1+ | | 7,300 | µt |
| | | | | | | | 112,586 | |
See Notes to Schedule of Investments
93
| | | | | | | | | |
PRINCIPAL
AMOUNT | | SECURITY@@ | | RATING‡‡§ | | VALUE†† | |
| (000’s omitted) | | Moody’s | | S&P | | (000’s omitted) | |
| | | |
| Oklahoma (1.4%) | | | | | | | |
| $6,995 | | Hulbert Econ. Dev. Au. Econ. Dev. Rev., Ser. 2007-301,
(LOC: Bank of America), 2.25%, due 4/3/08 | | VMIG1 | | | | $6,995 | µ |
| 27,350 | | Tulsa Co. Ind. Au. Cap. Imp. Rev., Ser. 2003 A,
(LOC: Bank of America), 3.45%, due 5/15/17 Putable 5/15/08 | | | | A-1+ | | 27,350 | µ |
| | | | | | | | 34,345 | |
| | | |
| Oregon (0.5%) | | | | | | | |
| 1,795 | | Multnomah Co. Higher Ed. Rev. (Concordia Univ. Portland Proj.),
Ser. 1999, (LOC: Key Bank), 1.33%, due 4/1/08 | | VMIG1 | | | | 1,795 | µß |
| 6,315 | | Oregon Sch. Boards Assoc. Short-Term Borrowing Prog. Cert. Participation, Ser. 2007 A, 3.80%, due 5/30/08 | | | | | | 6,315 | |
| 3,145 | | Oregon St. Homeowner Rev. (Floaters), Ser. 2006-229,
(LOC: Lloyd’s Bank), 2.23%, due 4/3/08 | | VMIG1 | | | | 3,145 | µr |
| | | | | | | | 11,255 | |
| | | |
| Pennsylvania (1.5%) | | | | | | | |
| 8,000 | | Adams Co. Ind. Dev. Au. Rev. (Brethren Home Comm. Proj.),
Ser. 2007, (LOC: PNC Bank), 2.28%, due 4/3/08 | | | | A-1+ | | 8,000 | µß |
| 14,125 | | Butler Co. Gen. Au. Rev. (Hampton Township Sch. Dist. Proj.),
Ser. 2007, (FSA Insured), 2.11%, due 4/3/08 | | | | | | 14,125 | µv |
| 8,000 | | Chester Co. Ind. Dev. Au. Std. Hsg. Rev. (Univ. Std. Hsg. LLC),
Ser. 2008 A, (LOC: Citizens Bank), 2.15%, due 4/3/08 | | VMIG1 | | | | 8,000 | µ |
| 1,615 | | Deutsche Bank Spears/Lifers Trust Var. St. (Philadelphia),
Ser. 2008-554, (FGIC Insured), 2.27%, due 4/3/08 | | | | | | 1,615 | µk |
| 2,085 | | Lawrence Co. Ind. Dev. Au. Rev. (Villa Maria Proj.), Ser. 2003,
(LOC: Allied Irish Bank), 2.25%, due 4/3/08 | | VMIG1 | | | | 2,085 | µßØØ |
| 2,600 | | Norwin Sch. Dist. (Merlots), Ser. 2008-D25, (FSA Insured),
2.25%, due 4/2/08 | | VMIG1 | | | | 2,600 | µv |
| | | | | | | | 36,425 | |
| | | |
| Puerto Rico (0.7%) | | | | | | | |
| 10,000 | | Puerto Rico Pub. Bldg. Au. Rev. Gtd. (Floaters), Ser. 2008-2562D, (CIFG Insured), 2.28%, due 4/3/08 | | | | A-1+ | | 10,000 | µs |
| 5,115 | | Puerto Rico Pub. Fin. Corp. (Floaters), Ser. 1999-502,
(AMBAC Insured), 2.26%, due 4/3/08 | | | | A-1 | | 5,115 | µr |
| 3,250 | | Puerto Rico Sales Tax Fin. Corp. Sales Tax Rev. (Floaters),
Ser. 2007-2019, (LOC: Morgan Stanley), 2.27%, due 4/3/08 | | | | A-1+ | | 3,250 | µ |
| | | | | | | | 18,365 | |
| | | |
| South Carolina (1.6%) | | | | | | | |
| 3,700 | | Charleston Ed. Excellence Fin. Corp. Rev., Ser. 2006-515,
(AGC Insured), 2.27%, due 4/3/08 | | | | | | 3,700 | µh |
| 4,505 | | Jasper Co. Rev. BANS, Ser. 2007, 3.85%, due 7/1/08 | | | | | | 4,505 | |
| 9,800 | | Lexington Wtr. & Swr. Sys. Rev. BANS, Ser. 2007,
3.15%, due 12/15/08 | | MIG1 | | | | 9,803 | |
| 1,300 | | Macon Trust Var. St., Ser. 2007-303, (LOC: Bank of America),
2.25%, due 4/3/08 | | VMIG1 | | | | 1,300 | µ |
| 10,385 | | Scago Ed. Fac. Corp. Pickens Sch. Dist. (Putters), Ser. 2007-1907,
(FSA Insured), 2.29%, due 4/3/08 | | VMIG1 | | | | 10,385 | µo |
| 9,345 | | Western Carolina Reg. Swr. Au. Swr. Sys. Rev., Ser. 2007-11123,
(FSA Insured), 2.27%, due 4/3/08 | | | | A-1+ | | 9,345 | µh |
| | | | | | | | 39,038 | |
See Notes to Schedule of Investments
94
| | | | | | | | | |
PRINCIPAL
AMOUNT | | SECURITY@@ | | RATING‡‡§ | | VALUE†† | |
| (000’s omitted) | | Moody’s | | S&P | | (000’s omitted) | |
| | | |
| South Dakota (0.7%) | | | | | | | |
| $14,300 | | South Dakota St. Hlth. & Ed. Fac. Au. Rev. (Rapid City Reg. Hosp.),
Ser. 2003, (MBIA Insured), 6.00%, due 4/1/08 | | VMIG1 | | | | $14,300 | µßu |
| 3,600 | | Watertown IDR (SUPERVALU, Inc. Proj.), Ser. 1994,
(LOC: Wachovia Bank & Trust Co.), 2.30%, due 4/2/08 | | | | | | 3,600 | µß |
| | | | | | | | 17,900 | |
| | | |
| Tennessee (0.5%) | | | | | | | |
| 1,400 | | Memphis-Shelby Co. IDB Rev. (Medical Group, Inc.), Ser. 1999,
(LOC: SunTrust Bank), 2.23%, due 4/3/08 | | P-1 | | | | 1,400 | µß |
| 8,050 | | Metro. Gov’t Nashville & Davidson Co. IDB Multi-Family Hsg. Rev. (Spinnaker), Ser. 2002, (LOC: Fannie Mae), 2.23%, due 4/2/08 | | | | A-1+ | | 8,050 | µß |
| 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 |
| | | | | | | | 12,700 | |
| | | |
| Texas (12.1%) | | | | | | | |
| 7,780 | | ABN Amro Munitops Cert. Trust Rev., Ser. 2006-30, (PSF Insured),
2.23%, due 4/3/08 | | VMIG1 | | | | 7,780 | ñµc |
| 6,630 | | ABN Amro Munitops Cert. Trust Rev., Ser. 2000-10, (MBIA Insured),
2.26%, due 4/3/08 | | VMIG1 | | | | 6,630 | ñµc |
| 1,255 | | ABN Amro Munitops Cert. Trust Rev., Ser. 2006-7, (MBIA Insured),
3.01%, due 4/3/08 | | VMIG1 | | | | 1,255 | ñµc |
| 7,945 | | Austin Hsg. Fin. Corp. Multi-Family Hsg. Rev. (Merlots), Ser. 2007-G02, (LOC: Bank of New York), 2.25%, due 4/2/08 | | | | A-1+ | | 7,945 | µ |
| 4,610 | | Austin Wtr. & Wastewater Sys. Rev. (Merlots), Ser. 2006-D10,
(FSA Insured), 2.30%, due 4/2/08 | | | | A-1+ | | 4,610 | µv |
| 4,005 | | BB&T Muni. Trust Var. St. (Floaters), Ser. 2007-2036,
(LOC: Branch Banking & Trust Co.), 2.26%, due 4/3/08 | | VMIG1 | | | | 4,005 | µ |
| 10,540 | | BB&T Muni. Trust Var. St. (Floaters), Ser. 2007-2010,
(LOC: Branch Banking & Trust Co.), 2.27%, due 4/3/08 | | VMIG1 | | | | 10,540 | µ |
| 5,235 | | Dallas Area Rapid Transit Sales Tax Rev. (Floaters), Ser. 2003-1195, (FGIC Insured), 2.34%, due 4/3/08 | | | | A-1 | | 5,235 | µr |
| 5,140 | | Deutsche Bank Spears/Lifers Trust Var. St. (Austin), Ser. 2007-366, (AMBAC Insured), 2.33%, due 4/3/08 | | | | A-1+ | | 5,140 | µk |
| 1,300 | | Deutsche Bank Spears/Lifers Trust Var. St. (Austin), Ser. 2008-548, (FGIC Insured), 2.27%, due 4/3/08 | | | | A-1+ | | 1,300 | µk |
| 1,905 | | Deutsche Bank Spears/Lifers Trust Var. St. (Brownsville), Ser. 2008-533, (AMBAC Insured), 2.27%, due 4/3/08 | | | | | | 1,905 | µk |
| 1,430 | | Deutsche Bank Spears/Lifers Trust Var. St. (Corpus Christi),
Ser. 2008-540, (FSA Insured), 2.27%, due 4/3/08 | | | | | | 1,430 | µk |
| 1,890 | | Deutsche Bank Spears/Lifers Trust Var. St. (Dickinson Independent Sch. Dist.), Ser. 2008-541, (PSF Insured), 2.27%, due 4/3/08 | | | | A-1+ | | 1,890 | µk |
| 1,120 | | Deutsche Bank Spears/Lifers Trust Var. St. (Fort Bend Co.),
Ser. 2008-556, (MBIA Insured), 2.27%, due 4/3/08 | | | | A-1+ | | 1,120 | µk |
| 4,600 | | Deutsche Bank Spears/Lifers Trust Var. St. (Houston Utils.),
Ser. 2008-551, (FGIC Insured), 2.27%, due 4/3/08 | | | | A-1+ | | 4,600 | µk |
| 7,485 | | Deutsche Bank Spears/Lifers Trust Var. St. (Lovejoy Independent Sch. Dist.), Ser. 2008-514, (PSF Insured), 2.27%, due 4/3/08 | | | | A-1+ | | 7,485 | µk |
See Notes to Schedule of Investments
95
| | | | | | | | | |
PRINCIPAL
AMOUNT | | SECURITY@@ | | RATING‡‡§ | | VALUE†† | |
| (000’s omitted) | | Moody’s | | S&P | | (000’s omitted) | |
| $4,250 | | Deutsche Bank Spears/Lifers Trust Var. St. (Seminole), Ser. 2008-559, (PSF Insured), 2.27%, due 4/3/08 | | | | A-1+ | | $4,250 | µk |
| 1,500 | | Deutsche Bank Spears/Lifers Trust Var. St. (Southwest), Ser. 2008-569, (PSF Insured), 2.27%, due 4/3/08 | | | | A-1+ | | 1,500 | µk |
| 1,390 | | Deutsche Bank Spears/Lifers Trust Var. St. (Temple Independent Sch. Dist.), Ser. 2008-560, (PSF Insured), 2.27%, due 4/3/08 | | | | A-1+ | | 1,390 | µk |
| 6,785 | | Dickinson Independent Sch. Dist. (Putters), Ser. 2007-1518B,
(PSF Insured), 2.29%, due 4/3/08 | | VMIG1 | | | | 6,785 | µo |
| 2,965 | | Dickinson Independent Sch. Dist. (Putters), Ser. 2007-1517B,
(PSF Insured), 2.29%, due 4/3/08 | | VMIG1 | | | | 2,965 | µo |
| 4,690 | | Eclipse Funding Trust (Solar Eclipse-Houston Independent Sch.),
Ser. 2006-0019, (FSA Insured), 2.26%, due 4/3/08 | | VMIG1 | | | | 4,690 | ñµu |
| 14,200 | | Harris Co. Flood Ctrl. Dist., Ser. 2008 B,
(LOC: Dexia Credit Locale de France), 2.15%, due 4/3/08 | | VMIG1 | | A-1+ | | 14,200 | µ |
| 6,480 | | Harris Co. Hlth. Fac. Dev. Corp. Rev. (Putters), Ser. 2005-1018,
(LOC: JP Morgan Chase), 2.29%, due 4/3/08 | | VMIG1 | | A-1+ | | 6,480 | µ |
| 3,925 | | Houston G.O., Ser. 2007-11289, (MBIA Insured), 2.30%, due 4/3/08 | | | | A-1+ | | 3,925 | µh |
| 7,695 | | Houston Utils. Sys. Rev. (Floaters), Ser. 2008-2343, (MBIA Insured),
2.31%, due 4/3/08 | | | | A-1+ | | 7,695 | µs |
| 8,170 | | JP Morgan Chase & Co. (Putters), Ser. 2007-2383P,
(LOC: JP Morgan Chase), 2.51%, due 4/3/08 | | | | | | 8,170 | µ |
| 5,900 | | Kendall Co. Hlth. Fac. Dev. Corp. Hlth. Care Rev. (Morningside Ministries), Ser. 2008 A, (LOC: Allied Irish Bank), 2.12%, due 4/3/08 | | VMIG1 | | | | 5,900 | µß |
| 9,935 | | McKinney Independent Sch. Dist. (Floaters), Ser. 2006-26TP,
(PSF Insured), 2.27%, due 4/3/08 | | | | A-1+ | | 9,935 | µx |
| 19,740 | | Munitops II Trust, Ser. 2007-63, (PSF Insured), 2.24%, due 4/3/08 | | | | | | 19,740 | µc |
| 6,155 | | Pflugerville Independent Sch. Dist. (Merlots), Ser. 2008 D-41,
(PSF Insured), 2.25%, due 4/2/08 | | | | A-1+ | | 6,155 | µv |
| 5,740 | | Puttable Floating Option Tax Exempt Receipts, Ser. 2007,
(MBIA Insured), 3.75%, due 4/3/08 | | | | | | 5,740 | µr |
| 8,190 | | Puttable Floating Option Tax Exempt Receipts (Floaters) (Lampasasa), Ser. 2007-4309, (PSF Insured), 2.24%, due 4/3/08 | | | | | | 8,190 | µr |
| 7,355 | | Red River Ed. Fin. Rev. (Parish Day Sch. Proj.), Ser. 2001 A,
(LOC: Allied Irish Bank), 2.25%, due 4/2/08 | | VMIG1 | | | | 7,355 | µß |
| 68,570 | | Texas Muni. Gas Acquisition & Supply Corp. I Gas Supply Rev. (Floaters), Ser. 2007-2132, (LOC: Morgan Stanley), 2.38%, due 4/3/08 | | | | A-1+ | | 68,570 | µ |
| 20,525 | | Texas Muni. Gas Acquisition & Supply Corp. II Gas Supply Rev.,
Ser. 2007-10014, (LOC: Dexia Credit Locale de France),
2.31%, due 4/3/08 | | VMIG1 | | A-1+ | | 20,525 | µ |
| 2,000 | | Texas St. Pub. Fin. Au. Rev. (Stephen F. Austin-Financing Sys.),
Ser. 2008, (FSA insured), 4.00%, due 4/15/08 | | | | | | 2,001 | ß |
| 6,260 | | Tyler Hlth. Fac. Dev. Corp. Hosp. Rev. (East Texas Med. Ctr.),
Ser. 1997 D, (FSA Insured),
5.38%, due 11/1/27 Pre-Refunded 2/16/09 | | | | | | 6,558 | |
| 3,515 | | Univ. of Texas Univ. Rev., Ser. 2007-1080,
(LOC: Citigroup Global Markets), 2.24%, due 4/3/08 | | VMIG1 | | | | 3,515 | µ |
| | | | | | | | 299,104 | |
See Notes to Schedule of Investments
96
| | | | | | | | | |
PRINCIPAL
AMOUNT | | SECURITY@@ | | RATING‡‡§ | | VALUE†† | |
| (000’s omitted) | | Moody’s | | S&P | | (000’s omitted) | |
| | | |
| Utah (0.8%) | | | | | | | |
| $2,950 | | Lehi Elec. Utils. Rev., Ser. 2005, (FSA Insured), 2.35%, due 4/2/08 | | | | | | $2,950 | µl |
| 12,000 | | Riverton Hosp. Rev. (Putters), Ser. 2007-1762,
(LOC: JP Morgan Chase), 2.29%, due 4/3/08 | | VMIG1 | | | | 12,000 | µ |
| 5,500 | | Salt Lake Valley Fire Svc. Area TRANS,
Ser. 2008, 3.75%, due 12/30/08 | | | | | | 5,530 | |
| | | | | | | | 20,480 | |
| | | |
| Vermont (0.0%) | | | | | | | |
| 195 | | Vermont Ed. & Hlth. Bldg. Fin. Agcy. Rev. (Northeastern Hosp.),
Ser. 2004 A, (LOC: TD Banknorth N.A.), 1.20%, due 4/1/08 | | VMIG1 | | | | 195 | µß |
| | | |
| Virginia (0.7%) | | | | | | | |
| 7,500 | | ABN Amro Munitops. Cert. Trust Rev., Ser. 2005-48,
(LOC: Bank of America), 2.23%, due 4/3/08 | | VMIG1 | | | | 7,500 | ñµ |
| 9,070 | | Norfolk Parking Sys. Rev., Ser. 2007-10261, (AMBAC Insured),
2.53%, due 4/3/08 | | VMIG1 | | A-1 | | 9,070 | µp |
| | | | | | | | 16,570 | |
| | | |
| Washington (3.3%) | | | | | | | |
| 3,750 | | DFA Muni Trust Var. St. (Floaters), Ser. 2007-3003, (FSA Insured),
2.28%, due 4/3/08 | | | | | | 3,750 | µj |
| 10,920 | | Eclipse Funding Trust (Solar Eclipse-Port-Seattle), Ser. 2006-0063,
(MBIA Insured), 2.24%, due 4/3/08 | | | | A-1+ | | 10,920 | µu |
| 3,395 | | Eclipse Funding Trust Var. St. (Solar Eclipse), Ser. 2007-0106,
(MBIA Insured), 2.27%, due 4/3/08 | | | | A-1+ | | 3,395 | µu |
| 3,700 | | Everett Pub. Fac. Dist. Proj. Rev., Ser. 2007,
(LOC: Dexia Credit Locale de France), 1.33%, due 4/1/08 | | | | A-1+ | | 3,700 | µ |
| 4,622 | | King Co. Swr. Rev. (Floaters), Ser. 2005-1091, (FSA Insured),
2.21%, due 4/3/08 | | | | | | 4,622 | µs |
| 29,525 | | King Co. Swr. Rev. (Merlots), Ser. 2000 E, (FGIC Insured),
4.00%, due 4/2/08 | | | | | | 29,525 | µv |
| 2,900 | | Washington St. G.O., Ser. 2008-11308, (LOC: Citibank N.A.),
2.26%, due 4/3/08 | | | | A-1 | | 2,900 | µ |
| 17,000 | | Washington St. Hlth. Care Fac. Au. Rev. (Swedish Hlth. Svcs.),
Ser. 2006, (LOC: Citibank, N.A.), 2.18%, due 4/2/08 | | VMIG1 | | A-1+ | | 17,000 | µß |
| 2,920 | | Washington St. Hsg. Fin. Commission Non-Profit Rev. (Annie Wright School), Ser. 2002, (LOC: Bank of America), 1.30%, due 4/1/08 | | VMIG1 | | | | 2,920 | 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.),
2.19%, due 4/3/08 | | | | A-1+ | | 1,000 | µß |
| 1,900 | | Washington St. Hsg. Fin. Commission Non-Profit Rev. (Tacoma Art Museum Proj.), Ser. 2002, (LOC: Northern Trust Co.),
1.33%, due 4/1/08 | | VMIG1 | | | | 1,900 | µß |
| | | | | | | | 81,632 | |
| | | |
| West Virginia (0.4%) | | | | | | | |
| 9,295 | | Eclipse Funding Trust Var. St. (Solar Eclipse-West Virginia St. Wtr.), Ser. 2006-0127, (FSA Insured), 2.23%, due 4/3/08 | | | | A-1+ | | 9,295 | µu |
See Notes to Schedule of Investments
97
| | | | | | | | | |
PRINCIPAL
AMOUNT | | SECURITY@@ | | RATING‡‡§ | | VALUE†† | |
| (000’s omitted) | | Moody’s | | S&P | | (000’s omitted) | |
| | | |
| Wisconsin (4.7%) | | | | | | | |
| $19,310 | | Eclipse Funding Trust Var. St. (Solar Eclipse-Wisconsin St.),
Ser. 2007-0004, (FSA Insured), 2.25%, due 4/3/08 | | | | A-1+ | | $19,310 | µu |
| 1,095 | | New Richmond Sch. Dist. BANS, Ser. 2007, 4.13%, due 6/6/08 | | MIG1 | | | | 1,095 | |
| 7,900 | | Puttable Floating Option Tax Exempt Receipts (Floaters),
Ser. 2007-545, (MBIA Insured), 2.24%, due 4/3/08 | | | | | | 7,900 | µr |
| 15,980 | | Puttable Floating Option Tax Exempt Receipts (Floaters),
Ser. 2007-4391, (LOC: Dexia Credit Locale de France),
2.36%, due 4/3/08 | | VMIG1 | | | | 15,980 | µ |
| 7,500 | | Walworth Co. Metro. Swr. Dist., Ser. 2008, 2.65%, due 4/1/09 | | | | SP-1+ | | 7,515 | Ø |
| 10,000 | | Wisconsin St. Hlth. & Ed. Fac. Au. Rev. (Bay Area Med. Ctr., Inc.),
Ser. 2008, (LOC: Marshall & Ilsley), 1.33%, due 4/1/08 | | | | A-1 | | 10,000 | µß |
| 500 | | Wisconsin St. Hlth. & Ed. Fac. Au. Rev. (Alverno College Proj.),
Ser. 1997, (LOC: Allied Irish Bank), 1.33%, due 4/1/08 | | VMIG1 | | | | 500 | µß |
| 11,000 | | Wisconsin St. Hlth. & Ed. Fac. Au. Rev. (Aurora Hlth. Care),
Ser. 2006 C, (LOC: Marshall & Ilsley), 1.30%, due 4/1/08 | | | | A-1 | | 11,000 | µß |
| 4,125 | | Wisconsin St. Hlth. & Ed. Fac. Au. Rev. (Blood Ctr.), Ser. 1994 A, (LOC: Marshall & Ilsley), 2.13%, due 4/2/08 | | | | 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), 2.40%, due 4/3/08 | | | | | | 3,145 | µß |
| 3,145 | | Wisconsin St. Hlth. & Ed. Fac. Au. Rev. (Edgewood College),
Ser. 2006, (LOC: U.S. Bank), 1.33%, due 4/1/08 | | | | A-1+ | | 3,145 | µß |
| 13,205 | | Wisconsin St. Hlth. & Ed. Fac. Au. Rev. (Floaters), Ser. 2003-858, (MBIA Insured), 5.15%, due 4/3/08 | | | | | | 13,205 | µp |
| 860 | | Wisconsin St. Hlth. & Ed. Fac. Au. Rev. (Gundersen Lutheran),
Ser. 2000 A, (FSA Insured), 1.33%, due 4/1/08 | | | | A-1+ | | 860 | µßl |
| 7,770 | | Wisconsin St. Hlth. & Ed. Fac. Au. Rev. (Gundersen Lutheran),
Ser. 2000 B, (FSA Insured), 1.33%, due 4/1/08 | | | | A-1+ | | 7,770 | µßl |
| 1,400 | | Wisconsin St. Hlth. & Ed. Fac. Au. Rev. (Lutheran College Proj.),
Ser. 2003, (LOC: U.S. Bank), 1.33%, due 4/1/08 | | | | A-1+ | | 1,400 | µß |
| 935 | | Wisconsin St. Hlth. & Ed. Fac. Au. Rev. (Riverview Hosp. Assoc.),
Ser. 2001, (LOC: U.S. Bank), 1.33%, due 4/1/08 | | | | A-1+ | | 935 | µß |
| 7,495 | | Wisconsin St. Hsg. & Econ. Dev. Au. Hsg. Rev., Ser. 2007 B,
(LOC: Bank of America), 1.95%, due 4/3/08 | | VMIG1 | | A-1+ | | 7,495 | µ |
| | | | | | | | 115,380 | |
| | | | |
| | Total Investments (101.3%) | | | | | | 2,503,067 | |
| | Liabilities, less cash, receivables and other assets [(1.3%)] | | | | | | (32,216 | ) |
| | Total Net Assets (100.0%) | | | | | | $2,470,851 | |
See Notes to Schedule of Investments
98
Schedule of Investments Municipal Master Series
| | | | | | | | | |
PRINCIPAL
AMOUNT | | SECURITY@@ | | RATING‡‡§ | | VALUE†† | |
| (000’s omitted) | | Moody’s | | S&P | | (000’s omitted) | |
| | | |
| Alabama (0.2%) | | | | | | | |
| $988 | | Birmingham Pub. Park & Rec. Board Rev., Ser. 1997,
(LOC: Regions Bank), 2.36%, due 4/3/08 | | | | | | $988 | µß |
| | | |
| Arizona (0.3%) | | | | | | | |
| 1,365 | | Coconino Co. Ind. Dev. Au. IDR. (Scuff Steel Proj.), Ser. 2007,
(LOC: Wells Fargo Bank & Trust Co.), 2.31%, due 4/3/08 | | | | A-1+ | | 1,365 | µß |
| | | |
| California (4.4%) | | | | | | | |
| 4,000 | | California Statewide CDA Multi-Family Hsg. Rev., Ser. 2007-836 CE, (LOC: Citigroup Global Markets), 2.38%, due 4/3/08 | | VMIG1 | | | | 4,000 | µØØ |
| 1,260 | | California Statewide Comm. Dev. Corp. Rev. (RL Group LLC),
Ser. 1998 C, (LOC: Mellon 1st Business Bank), 2.25%, due 4/2/08 | | | | | | 1,260 | µß |
| 9,000 | | Contra Costa Co. Multi-Family Hsg. Rev. (Pleasant Hill BART Transit), Ser. 2006 A, (LOC: Calyon Bank),
3.65%, due 4/15/46 Putable 8/1/2008 | | | | | | 9,000 | ß |
| 1,205 | | Puttable Floating Option Tax Exempt Receipts (Floaters),
Ser. 2006-EC001, (LOC: Merrill Lynch Capital Markets),
2.41%, due 4/3/08 | | | | | | 1,205 | µ |
| 1,900 | | Riverside Co. Ind. Dev. Au. IDR (Rockwin Corp. Proj.), Ser. 1987 II, (LOC: Royal Bank of Canada), 2.32%, due 4/2/08 | | | | | | 1,900 | µ |
| | | | | | | | 17,365 | |
| | | |
| Colorado (1.3%) | | | | | | | |
| 1,000 | | Central Platte Valley Metro. Dist., Ser. 2006, (LOC: BNP Paribas), 3.50%, due 12/1/36 Putable 12/1/08 | | | | A-1+ | | 1,000 | |
| 2,225 | | Colorado Hsg. & Fin. Au. Econ. Dev. Rev. (Kapteyn-Murnane Labs, Inc.), Ser. 2007, (LOC: Wells Fargo Bank & Trust Co.),
2.46%, due 4/3/08 | | | | | | 2,225 | µß |
| 1,990 | | El Paso Co. Single Family Mtge. Rev. (Merlots), Ser. 2007-C44,
(LOC: Government National Mortgage Association),
2.35%, due 4/2/08 | | VMIG1 | | | | 1,990 | µd |
| | | | | | | | 5,215 | |
| | | |
| Delaware (0.1%) | | | | | | | |
| 450 | | Delaware St. Econ. Dev. Au. Multi-Family Rev. (Sch. House Proj.),
Ser. 1985, (LOC: HSBC Bank N.A.), 2.40%, due 4/2/08 | | VMIG1 | | | | 450 | µ |
| | | |
| Florida (7.0%) | | | | | | | |
| 5,700 | | Brooks of Bonita Springs II Comm. Dev. Dist. Cap. Imp. Rev.,
Ser. 2000 A, 7.00%, due 5/1/31 Pre-Refunded 5/1/08 | | | | | | 5,843 | |
| 3,250 | | Florida Dev. Fin. Corp. IDR (4504 30th Street West LLC Proj.),
Ser. 2007, (LOC: Branch Banking & Trust Co.), 2.38%, due 4/3/08 | | | | | | 3,250 | µß |
| 1 | | Miami-Dade Co. Aviation Rev., Ser. 2007 E, (FSA Insured),
2.33%, due 4/3/08 | | VMIG1 | | | | 1 | µd |
| 2,095 | | Miami-Dade Co. Expressway Au. Toll Sys. Rev. (Putters),
Ser. 2000-160Z, (FGIC Insured), 2.21%, due 4/3/08 | | VMIG2 | | A-1+ | | 2,095 | µo |
| 910 | | Ocean Hwy. & Port Au. Rev., Ser. 1990,
(LOC: Wachovia Bank & Trust Co.), 2.35%, due 4/2/08 | | VMIG1 | | A-1+ | | 910 | µ |
See Notes to Schedule of Investments
99
| | | | | | | | | |
PRINCIPAL
AMOUNT | | SECURITY@@ | | RATING‡‡§ | | VALUE†† | |
| (000’s omitted) | | Moody’s | | S&P | | (000’s omitted) | |
| $690 | | Orange Co. Hsg. Fin. Au. Multi-Family Rev., Ser. 2000 E,
(LOC: Bank of America), 2.37%, due 4/2/08 | | VMIG1 | | | | $690 | µßØØ |
| 1,090 | | Orange Co. Hsg. Fin. Au. Multi-Family Rev. (Putters), Ser. 2005-1179, (LOC: JP Morgan Chase), 2.39%, due 4/3/08 | | VMIG1 | | | | 1,090 | µ |
| 3,200 | | Pinellas Co. Ind. Dev. Au. Rev. (DGT Mgmt/Work Tools), Ser. 2007, (LOC: RBC Centura Bank), 2.35%, due 4/2/08 | | | | A-1 | | 3,200 | µß |
| 10,480 | | RBC Muni. Prod., Inc. Trust Var. Sts. Ser. 2008-E2,
(LOC: Royal Bank of Canada), 2.36%, due 4/3/08 | | | | A-1+ | | 10,480 | µß |
| | | | | | | | 27,559 | |
| | | |
| Georgia (3.9%) | | | | | | | |
| 640 | | Atlanta Arpt. Rev. (Merlots), Ser. 2004 C14, (FSA Insured),
2.35%, due 4/2/08 | | VMIG1 | | | | 640 | µv |
| 1,800 | | Atlanta Urban Residential Fin. Au. Multi-Family Hsg. Rev. (Capitol Gateway Apts.), Ser. 2005, (LOC: Bank of America),
2.31%, due 4/3/08 | | | | A-1+ | | 1,800 | µß |
| 790 | | Canton Hsg. Au. Multi-Family Rev. (Canton Mill Lofts Proj.), Ser. 1999, (LOC: Branch Banking & Trust Co.), 2.38%, due 4/3/08 | | | | A-1+ | | 790 | µß |
| 5,660 | | Carroll Co. Dev. Au. Rev. (Royal Metal Prod., Inc. Proj.), Ser. 2007, (LOC: Branch Banking & Trust Co.), 2.38%, due 4/3/08 | | VMIG1 | | | | 5,660 | µß |
| 850 | | Douglas Co. Dev. Au. IDR (Whirlwind Steel Bldgs.), Ser. 1997,
(LOC: JP Morgan Chase), 4.00%, due 4/3/08 | | | | | | 850 | µß |
| 2,405 | | Gordon Co. Dev. Au. IDR (Nance Carpet & Rug, Inc. Proj.), Ser. 2006, (LOC: Branch Banking & Trust Co.), 2.38%, due 4/3/08 | | | | | | 2,405 | µß |
| 1,035 | | Gwinnett Co. Dev. Au. IDR (Color Image, Inc. Proj.), Ser. 1999,
(LOC: SouthTrust Bank), 2.38%, due 4/3/08 | | | | | | 1,035 | µß |
| 2,250 | | Jasper Co. Dev. Au. IDR (PermaTherm, Inc. Proj.), Ser. 2007,
(LOC: Branch Banking & Trust Co.), 2.38%, due 4/3/08 | | | | | | 2,250 | µß |
| | | | | | | | 15,430 | |
| | | |
| Hawaii (1.5%) | | | | | | | |
| 5,795 | | Hawaii St. Pub. Sch. Imp. Rev., Ser. 2004-6035, (MBIA Insured),
2.29%, due 4/3/08 | | VMIG1 | | | | 5,795 | µi |
| | | |
| Idaho (0.6%) | | | | | | | |
| 2,440 | | Idaho Hsg. & Fin. Assoc. Single Family Mtge. Rev., Ser. 2007-11192, (LOC: Citibank, N.A.), 2.32%, due 4/3/08 | | VMIG1 | | | | 2,440 | µ |
| | | |
| Illinois (9.3%) | | | | | | | |
| 2,900 | | Aurora Single Family Mtge. Rev. (Merlots), Ser. 2007-C55,
(LOC: Government National Mortgage Association),
2.30%, due 4/2/08 | | | | A-1+ | | 2,900 | µd |
| 4,500 | | Chicago Enterprise Zone Rev. (J & A LLC Proj.), Ser. 2002,
(LOC: Charter One Bank), 2.42%, due 4/3/08 | | | | | | 4,500 | µ |
| 3,435 | | Chicago IDR (Evans Food Prod. Co. Proj.), Ser. 1998,
(LOC: LaSalle National Bank), 2.20%, due 4/3/08 | | | | A-1+ | | 3,435 | µ |
| 1,160 | | Chicago Multi-Family Hsg. Rev. (Churchview Supportive Living Fac.), Ser. 2003, (LOC: Harris Trust & Savings Bank), 2.35%, due 4/3/08 | | VMIG1 | | | | 1,160 | µß |
| 1,900 | | Chicago Single Family Mtge. Rev., Ser. 2007-10218,
(LOC: Government National Mortgage Association),
2.32%, due 4/3/08 | | VMIG1 | | | | 1,900 | µi |
See Notes to Schedule of Investments
100
| | | | | | | | | |
PRINCIPAL
AMOUNT | | SECURITY@@ | | RATING‡‡§ | | VALUE†† | |
| (000’s omitted) | | Moody’s | | S&P | | (000’s omitted) | |
| $1,400 | | Elgin IDR (Bailey Dev. LLC Proj.), Ser. 1996 A,
(LOC: LaSalle National Bank), 2.20%, due 4/3/08 | | | | A-1+ | | $1,400 | µß |
| 1,400 | | Elmhurst IDR (Randall Mfg. Prod. Proj.), Ser. 2002,
(LOC: LaSalle National Bank), 2.41%, due 4/3/08 | | | | A-1+ | | 1,400 | µß |
| 700 | | Illinois Dev. Fin. Au. IDR (Florence Corp. Proj.), Ser. 1997,
(LOC: Bank One), 3.60%, due 4/3/08 | | | | | | 700 | µß |
| 830 | | Illinois Dev. Fin. Au. IDR (JVM LLC Proj.), Ser. 2001,
(LOC: Fifth Third Bank), 2.34%, due 4/3/08 | | | | | | 830 | µß |
| 4,570 | | Illinois Dev. Fin. Au. IDR (Trim-Rite Food Corp. Proj.), Ser. 2000,
(LOC: Fifth Third Bank), 2.34%, due 4/4/08 | | | | | | 4,570 | µß |
| 700 | | Illinois Dev. Fin. Au. Rev. (American Academy), Ser. 2001,
(LOC: Bank One), 2.95%, due 4/3/08 | | | | | | 700 | µßØØ |
| 500 | | Illinois Fin. Au. IDR (E Kinast Proj.), Ser. 2005 A,
(LOC: JP Morgan Chase), 3.50%, due 4/3/08 | | | | | | 500 | µß |
| 3,400 | | Illinois Fin. Au. IDR (Injection Plastic Corp.), Ser. 2006 A,
(LOC: Wachovia Bank & Trust Co.), 2.25%, due 4/2/08 | | | | | | 3,400 | µß |
| 1,000 | | Illinois Fin. Au. IDR (Meyer Ind. LLC Proj.), Ser. 2006,
(LOC: Fifth Third Bank), 2.34%, due 4/3/08 | | | | | | 1,000 | µß |
| 930 | | Illinois Fin. Au. IDR (Transparent Container Proj.), Ser. 2004,
(LOC: Bank One), 3.60%, due 4/3/08 | | VMIG1 | | | | 930 | µß |
| 4,300 | | Orland Park IDR (Panduit Corp. Proj.), Ser. 1996,
(LOC: Fifth Third Bank), 2.27%, due 4/2/08 | | | | A-1+ | | 4,300 | µß |
| 3,000 | | Southwestern Illinois Dev. Au. Rev. (Arizon Co., Inc. Proj.), Ser. 2007, (LOC: Marshall & Ilsley), 2.40%, due 4/3/08 | | | | A-1 | | 3,000 | µß |
| | | | | | | | 36,625 | |
| | | |
| Indiana (4.9%) | | | | | | | |
| 500 | | Hammond Econ. Dev. Rev. (A.M. Castle & Co. Proj.), Ser. 1994,
(LOC: Bank of America), 3.60%, due 4/3/08 | | | | | | 500 | µß |
| 5,225 | | Indianapolis Local Pub. Imp. Bond Bank, Ser. 2003 A, (AMBAC Insured), 2.26%, due 4/3/08 | | | | | | 5,225 | µl |
| 4,515 | | Jeffersonville Econ. Dev. Rev. (Eagle Steel Prods., Inc. Proj.), Ser. 2007, (LOC: Fifth Third Bank), 2.34%, due 4/4/08 | | | | | | 4,515 | µß |
| 890 | | Kendallville Econ. Dev. Rev. (Metal Shred Ind. Proj.), Ser. 2006,
(LOC: Fifth Third Bank), 2.34%, due 4/4/08 | | | | | | 890 | µß |
| 2,265 | | Kokomo Econ. Dev. Rev. (Village Comm. Partners IV Proj.), Ser. 1995, (LOC: Federal Home Loan Bank), 2.40%, due 4/3/08 | | VMIG1 | | | | 2,265 | µß |
| 2,600 | | La Porte Co. Econ. Dev. Rev. (Van Air Proj.), Ser. 2007,
(LOC: LaSalle National Bank), 2.25%, due 4/3/08 | | | | | | 2,600 | µß |
| 1,087 | | Noblesville Econ. Dev. Rev. (Princeton Lakes Apts. Proj.), Ser. 2003 B, (LOC: Federal Home Loan Bank), 2.20%, due 4/3/08 | | | | A-1+ | | 1,087 | µß |
| 1,105 | | North Vernon Econ. Dev. Rev. (Oak Meadows Apt. Proj.), Ser. 1995, (LOC: Federal Home Loan Bank), 2.10%, due 4/2/08 | | | | A-1+ | | 1,105 | µß |
| 770 | | Plymouth Econ. Dev. Rev. (Hillcrest Apts. Proj.), Ser. 1998 A,
(LOC: Federal Home Loan Bank), 2.43%, due 4/2/08 | | | | A-1+ | | 770 | µß |
| 500 | | Tippecanoe Co. Econ. Dev. Ref. Rev. (Lafayette Venetian Blind),
Ser. 2004, (LOC: PNC Bank), 2.28%, due 4/3/08 | | | | | | 500 | µß |
| | | | | | | | 19,457 | |
See Notes to Schedule of Investments
101
| | | | | | | | | |
PRINCIPAL
AMOUNT | | SECURITY@@ | | RATING‡‡§ | | VALUE†† | |
| (000’s omitted) | | Moody’s | | S&P | | (000’s omitted) | |
| | | |
| Iowa (3.0%) | | | | | | | |
| $500 | | Mason City IDR (SUPERVALU, Inc. Proj.), Ser. 1994,
(LOC: Wachovia Bank & Trust Co.), 2.30%, due 4/2/08 | | | | | | $500 | µß |
| 9,150 | | Puttable Floating Option Tax Exempt Receipts (Floaters), Ser. 2007, (FHA Insured), 2.26%, due 4/3/08 | | VMIG1 | | | | 9,150 | µr |
| 2,215 | | Sergeant Bluff IDR (Sioux City Brick & Tile Proj.), Ser.1996,
(LOC: U.S. Bank), 3.60%, due 4/3/08 | | | | | | 2,215 | µß |
| | | | | | | | 11,865 | |
| | | |
| Kansas (1.0%) | | | | | | | |
| 3,925 | | Junction City G.O., Ser. 2007 A, 5.00%, due 6/1/08 | | | | | | 3,931 | |
| | | |
| Kentucky (2.5%) | | | | | | | |
| 200 | | Bardstown Ind. Rev. (JAV Invt. LLC Proj.), Ser. 2001,
(LOC: Bank One Michigan), 3.60%, due 4/3/08 | | | | | | 200 | µß |
| 2,790 | | Boone Co. Ind. Bldg. Rev. (Benda-Lutz Corp. Proj.), Ser. 2005,
(LOC: Fifth Third Bank), 2.34%, due 4/4/08 | | | | | | 2,790 | µß |
| 2,665 | | Fort Mitchell Ind. Bldg. Rev. (Grandview/Hemmer Proj.), Ser. 1986, (LOC: PNC Bank), 3.75%, due 8/1/16 Putable 8/1/08 | | | | | | 2,665 | |
| 4,000 | | Fulton Co. Ind. Bldg. Rev. (Burke-Parsons-Bowlby Corp.), Ser. 2006, (LOC: Branch Banking & Trust Co.), 2.38%, due 4/3/08 | | | | | | 4,000 | µß |
| 315 | | Trimble Co. Econ. Dev. Rev. (Synthetic Materials Proj.), Ser. 2000, (LOC: Citizens Bank), 2.25%, due 4/3/08 | | | | | | 315 | µß |
| | | | | | | | 9,970 | |
| | | |
| Louisiana (2.5%) | | | | | | | |
| 1,000 | | Calcasieu Parish Pub. Trust Au. Gulf Opportunity Zone Rev. (Delta Equine Ctr. LLC Proj.), Ser. 2007, (LOC: Branch Banking & Trust Co.), 2.38%, due 4/3/08 | | | | | | 1,000 | µß |
| 6,969 | | Louisiana HFA Single Family Mtge. Rev. (Floaters), Ser. 2006-1566, (LOC: Depfa Bank PLC), 2.33%, due 4/3/08 | | | | A-1+ | | 6,969 | µs |
| 1,920 | | Louisiana Local Gov’t Env. Facs. & Comm. Dev. Rev. (SRL Holdings LLC Proj.), Ser. 2007, (LOC: Branch Banking & Trust Co.),
2.38%, due 4/3/08 | | | | | | 1,920 | µß |
| | | | | | | | 9,889 | |
| | | |
| Maine (2.5%) | | | | | | | |
| 9,500 | | Maine St. Hsg. Au. Mtge., Ser. 2007 F, 3.85%, due 11/15/34
Putable 9/22/08 | | VMIG1 | | A-1+ | | 9,521 | |
| 410 | | Westbrook Rev. (Corriveau-Routhier, Inc. Proj.), Ser. 1986,
(LOC: Fleet National Bank), 4.13%, due 12/15/08 | | | | | | 410 | µß |
| | | | | | | | 9,931 | |
| | | |
| Maryland (0.4%) | | | | | | | |
| 1,660 | | Howard Co. IDR (Preston CT Ltd. Partnership), Ser. 1986,
(LOC: SunTrust Bank), 2.75%, due 4/1/08 | | | | A-1+ | | 1,660 | µß |
| | | |
| Massachusetts (3.0%) | | | | | | | |
| 3,000 | | Cape Cod Reg. Transit Au. RANS, Ser. 2007, 4.00%, due 7/31/08 | | | | | | 3,001 | |
| 2,400 | | Greater Attleboro Taunton Reg. Transit Au. RANS, Ser. 2007,
4.00%, due 8/22/08 | | | | | | 2,401 | |
See Notes to Schedule of Investments
102
| | | | | | | | | |
PRINCIPAL
AMOUNT | | SECURITY@@ | | RATING‡‡§ | | VALUE†† | |
| (000’s omitted) | | Moody’s | | S&P | | (000’s omitted) | |
| $1,150 | | Massachusetts St. HFA, Ser. 2005 A, (FSA Insured), 3.85%, due 6/1/08 | | | | | | $1,150 | |
| 4,975 | | 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 | | | | | | 5,122 | ß |
| | | | | | | | 11,674 | |
| | | |
| Michigan (2.4%) | | | | | | | |
| 1,000 | | ABN Amro Munitops Cert. Trust Rev., Ser. 2004-2, (LOC: Government National Mortgage Association), 2.27%, due 4/3/08 | | VMIG1 | | | | 1,000 | µc |
| 2,760 | | Genesee Co. Econ. Dev. Corp. Ltd. Oblig. Rev. (Cramer Inc. Proj.),
Ser. 2000 (LOC: Fifth Third Bank), 2.51%, due 4/3/08 | | | | | | 2,760 | µß |
| 5,600 | | Michigan St. Hsg. Dev. Au. Ltd. Oblig. Multi-Family Hsg. Rev.
(Benton Harbor Proj.), Ser. 2006, (LOC: Fifth Third Bank),
4.35%, due 6/1/41 Putable 7/1/08 | | VMIG1 | | | | 5,605 | ß |
| | | | | | | | 9,365 | |
| | | |
| Minnesota (1.5%) | | | | | | | |
| 845 | | Blaine IDR (SUPERVALU, Inc. Proj.), Ser. 1993,
(LOC: Wachovia Bank & Trust Co.), 2.30%, due 4/2/08 | | | | | | 845 | µß |
| 2,415 | | Plymouth Multi-Family Hsg. Ref. Rev. (At the Lake Apts. Proj.),
Ser. 2004, (LOC: Freddie Mac), 2.31%, due 4/3/08 | | VMIG1 | | | | 2,415 | µß |
| 280 | | Roseville Private Sch. Fac. Rev. (Northwestern College Proj.), Ser. 2002, (LOC: Marshall & Ilsley), 1.33%, due 4/1/08 | | VMIG1 | | | | 280 | µß |
| 500 | | Rush City IDR (Plastech Corp. Proj.), Ser. 1999, (LOC: U.S. Bank), 2.49%, due 4/3/08 | | | | | | 500 | µ |
| 1,300 | | St. Paul Hsg. & Redev. Au. Rev. (Goodwill/Easter Seals Proj.), Ser. 2000, (LOC: U.S. Bank), 2.40%, due 4/3/08 | | | | | | 1,300 | µß |
| 605 | | Stillwater IDR (SUPERVALU, Inc. Proj.), Ser. 1994,
(LOC: Wachovia Bank & Trust Co.), 2.30%, due 4/2/08 | | | | | | 605 | µß |
| 100 | | Woodbury Private Sch. Fac. Rev. (St. Ambrose Proj.), Ser. 1999,
(LOC: U.S. Bank), 2.35%, due 4/2/08 | | | | | | 100 | µß |
| | | | | | | | 6,045 | |
| | | |
| Missouri (6.8%) | | | | | | | |
| 5,300 | | Bridgeton Ind. Dev. Au. Ind. Rev. (Stolze Printing Proj.), Ser. 2006, (LOC: Marshall & Ilsley), 2.35%, due 4/3/08 | | | | A-1 | | 5,300 | µß |
| 1,000 | | Clayton Ind. Dev. Au. Ind. Ref. Rev. (Bailey Court Proj.), Ser. 1989, (LOC: Commerce Bank N.A.), 2.35%, due 4/3/08 | | | | A-1 | | 1,000 | µß |
| 300 | | Hannibal Ind. Dev. Au. Ind. Rev. (Buckhorn Rubber Prods. Proj.),
Ser. 1995, (LOC: JP Morgan Chase), 3.50%, due 4/3/08 | | | | | | 300 | µß |
| 100 | | Jefferson Co. Ind. Dev. Au. Ind. Rev. (GHF Holdings LLC Proj.),
Ser. 1994, (LOC: LaSalle National Bank), 4.00%, due 4/3/08 | | | | | | 100 | µß |
| 4,000 | | Missouri St. Env. Imp. & Energy Res. Au. Env. Imp. Rev. (UtiliCorp United, Inc. Proj.), Ser. 1993, (LOC: Citibank, N.A.), 3.55%, due 4/2/08 | | P-1 | | A-1+ | | 4,000 | µß |
| 5,340 | | St. Charles Co. Ind. Dev. Au. (Newco Enterprises Proj.), Ser. 2004 A (LOC: Marshall & Ilsley), 2.36%, due 4/3/08 | | | | A-1 | | 5,340 | µß |
| 6,815 | | St. Charles Co. Ind. Dev. Au. (Patriot Machine, Inc.), Ser. 2007,
(LOC: Marshall & Ilsley), 2.38%, due 4/3/08 | | | | A-1 | | 6,815 | µß |
| 4,100 | | St. Charles Co. Ind. Dev. Au. (Trinity Mfg. Proj.), Ser. 2006
(LOC: Marshall & Ilsley), 2.37%, due 4/3/08 | | | | A-1 | | 4,100 | µß |
| | | | | | | | 26,955 | |
See Notes to Schedule of Investments
103
| | | | | | | | | |
PRINCIPAL
AMOUNT | | SECURITY@@ | | RATING‡‡§ | | VALUE†† | |
| (000’s omitted) | | Moody’s | | S&P | | (000’s omitted) | |
| | | |
| Montana (0.5%) | | | | | | | |
| $2,100 | | Cascade Co. Montana IDR (Montana Milling, Inc. Proj.), Ser. 2007, (LOC: Wells Fargo Bank & Trust Co.), 2.46%, due 4/3/08 | | | | | | $2,100 | µß |
| | | |
| Nebraska (0.2%) | | | | | | | |
| 600 | | Norfolk IDR Ref. (SUPERVALU, Inc. Proj.), Ser. 1994,
(LOC: Wachovia Bank & Trust Co.), 2.30%, due 4/2/08 | | | | | | 600 | µß |
| | | |
| Nevada (0.6%) | | | | | | | |
| 2,570 | | Deutsche Bank Spears/Lifers Trust Var. St. (Clark Co.),
Ser. 2008 DBE-562, (AMBAC Insured), 2.30%, due 4/3/08 | | | | | | 2,570 | µk |
| | | |
| New Hampshire (0.4%) | | | | | | | |
| 1,660 | | New Hampshire St. Hsg. Fin. Au. Multi-Family Rev. (Floaters),
Ser. 2006-3438, (LOC: Merrill Lynch Capital Markets),
2.38%, due 4/3/08 | | VMIG1 | | | | 1,660 | µ |
| | | |
| New Jersey (0.1%) | | | | | | | |
| 480 | | New Jersey Econ. Dev. Au. Econ. Dev. Rev. (Wearbest SIL-TEX Mills Proj.), Ser. 2000, (LOC: Bank of New York), 2.30%, due 4/2/08 | | | | | | 480 | µß |
| | | |
| New Mexico (0.1%) | | | | | | | |
| 225 | | Las Cruces IDR (Parkview Metal Prod. Proj.), Ser. 1997,
(LOC: American National Bank & Trust Co.), 4.00%, due 4/3/08 | | | | | | 225 | µß |
| | | |
| North Carolina (3.0%) | | | | | | | |
| 935 | | Catawba Co. Ind. Fac. & Poll. Ctrl. Fin. Au. Rev. (HWS Co. Inc. Proj.), Ser. 1997, (LOC: Branch Banking & Trust Co.), 2.38%, due 4/3/08 | | | | | | 935 | µß |
| 1,320 | | Deutsche Bank Spears/Lifers Trust Var. St. (Raleigh-Durham),
Ser. 2008-DBE568, (FGIC Insured), 2.30%, due 4/3/08 | | | | | | 1,320 | µk |
| 1,450 | | Iredell Co. Ind. Fac. & Poll. Ctrl. Fin. Au. Ind. Rev. (Riley Technologies Proj.), Ser. 2006, (LOC: Branch Banking & Trust Co.),
2.38%, due 4/3/08 | | | | | | 1,450 | µß |
| 4,000 | | Lincoln Co. Ind. Fac. & Poll. Ctrl. Fin. Au. Rev. Ind. Dev. (Sabo USA, Inc. Proj.), Ser. 2007, (LOC: LaSalle National Bank), 2.38%, due 4/3/08 | | VMIG1 | | | | 4,000 | µß |
| 1,675 | | North Carolina HFA, Ser. 2002, (LOC: Citibank, N.A.),
2.32%, due 4/3/08 | | VMIG1 | | | | 1,675 | µ |
| 2,365 | | North Carolina St. Ports Au. Port Fac. Rev., Ser. 2006-A2,
(LOC: Bank of America), 2.20%, due 4/2/08 | | VMIG1 | | | | 2,365 | µ |
| | | | | | | | 11,745 | |
| | | |
| North Dakota (0.4%) | | | | | | | |
| 1,500 | | Bismarck IDR Ref. (SUPERVALU, Inc. Proj.), Ser. 1995,
(LOC: Wachovia Bank & Trust Co.), 2.30%, due 4/2/08 | | | | | | 1,500 | µß |
| | | |
| Ohio (2.8%) | | | | | | | |
| 1,750 | | American Muni. Pwr. BANS (Montpelier Proj.), Ser. 2007,
3.95%, due 7/3/08 | | | | | | 1,750 | |
| 5,000 | | American Muni. Pwr. BANS (Prairie St. Proj.), Ser. 2008,
3.50%, due 4/1/09 | | MIG1 | | A-1+ | | 5,044 | Ø |
| 1,475 | | Fairfield Co. Arpt. Impt. G.O. BANS, Ser. 2008, 3.75%, due 1/21/09 | | | | | | 1,483 | |
See Notes to Schedule of Investments
104
| | | | | | | | | |
PRINCIPAL
AMOUNT | | SECURITY@@ | | RATING‡‡§ | | VALUE†† | |
| (000’s omitted) | | Moody’s | | S&P | | (000’s omitted) | |
| $115 | | Trumbull Co. IDR (UTD Steel Svc., Inc. Proj.), Ser. 2000,
(LOC: JP Morgan Chase), 3.60%, due 4/3/08 | | | | | | $115 | µß |
| 1,445 | | Vandalia Land Acquisition G.O. BANS, Ser. 2007, 3.88%, due 8/22/08 | | | | | | 1,445 | |
| 1,120 | | Warren Co. IDR (PAC Mfg. Proj.), Ser. 2000, (LOC: Bank of America), 1.40%, due 4/1/08 | | | | A-1+ | | 1,120 | µß |
| 14 | | Wood Co. IDR (Reclamation Technologies), Ser. 2006,
(LOC: National City Bank), 2.55%, due 4/3/08 | | | | | | 14 | µß |
| | | | | | | | 10,971 | |
| | | |
| Oregon (0.2%) | | | | | | | |
| 705 | | Marion Co. Hsg. Au. Rev. (Residence at Marian), Ser. 1997,
(LOC: U.S. Bank), 2.45%, due 4/3/08 | | | | A-1+ | | 705 | µß |
| | | |
| Pennsylvania (3.1%) | | | | | | | |
| 1,255 | | Deutsche Bank Spears/Lifers Trust Var. St. (Philadelphia),
Ser. 2008-DB558, (FSA Insured), 2.30%, due 4/3/08 | | | | A-1+ | | 1,255 | µk |
| 3,200 | | Fayette Co. Ind. Dev. Au. IDR (Coastal Lumber Co. Proj.), Ser. 2006, (LOC: Branch Banking & Trust Co.), 2.38%, due 4/3/08 | | | | | | 3,200 | µß |
| 2,495 | | Lackawanna Co. Ind. Dev. Au. Rev. (Material Technology Proj.),
Ser. 2006, (LOC: Wachovia Bank & Trust Co.), 2.25%, due 4/3/08 | | | | | | 2,495 | µß |
| 5,125 | | Puttable Floating Option Tax Exempt Receipts, Ser. 2007-PT4304,
(MBIA Insured), 2.27%, due 4/3/08 | | | | | | 5,125 | µl |
| | | | | | | | 12,075 | |
| | | |
| Rhode Island (0.2%) | | | | | | | |
| 985 | | Rhode Island St. Ind. Facs. Corp. IDR (Precision Turned Components Proj.), Ser. 2000, (LOC: Bank of America),
2.30%, due 4/2/08 | | | | A-1+ | | 985 | µß |
| | | |
| South Carolina (2.3%) | | | | | | | |
| 2,735 | | Jasper Co. BANS, Ser. 2008, 2.75%, due 2/12/09 | | | | | | 2,744 | |
| 3,000 | �� | South Carolina Jobs Econ. Dev. Au. Econ. Dev. Rev. (Advanced Composite Materials), Ser. 2007, (LOC: National Bank of South Carolina), 2.33%, due 4/3/08 | | | | | | 3,000 | µß |
| 1,000 | | South Carolina Jobs Econ. Dev. Au. Econ. Dev. Rev. (Blue Ridge Log Cabins LLC), Ser. 2007, (LOC: Branch Banking & Trust Co.),
2.38%, due 4/3/08 | | VMIG1 | | | | 1,000 | µß |
| 1,870 | | South Carolina Jobs Econ. Dev. Au. Econ. Dev. Rev. (DCS Diversified Coating), Ser. 2002, (LOC: Branch Banking & Trust Co.),
2.38%, due 4/3/08 | | VMIG1 | | | | 1,870 | µß |
| 355 | | South Carolina Jobs Econ. Dev. Au. Econ. Dev. Rev. (Mancor Ind., Inc. Proj.), Ser. 1999, (LOC: PNC Bank), 2.28%, due 4/3/08 | | | | | | 355 | µß |
| | | | | | | | 8,969 | |
| | | |
| South Dakota (0.1%) | | | | | | | |
| 125 | | Watertown IDR (SUPERVALU, Inc. Proj.), Ser. 1994,
(LOC: Wachovia Bank & Trust Co.), 2.30%, due 4/2/08 | | | | | | 125 | µß |
| 210 | | Watertown IDR Ref. (Ramkota, Inc. Proj.), Ser. 1993,
(LOC: U.S. Bank), 2.40%, due 4/3/08 | | | | | | 210 | µß |
| | | | | | | | 335 | |
See Notes to Schedule of Investments
105
| | | | | | | | | |
PRINCIPAL
AMOUNT | | SECURITY@@ | | RATING‡‡§ | | VALUE†† | |
| (000’s omitted) | | Moody’s | | S&P | | (000’s omitted) | |
| | | |
| Tennessee (2.6%) | | | | | | | |
| $3,785 | | Franklin Co. IDB IDR (Zanini Proj.), Ser. 2005 B,
(LOC: Regions Bank), 2.46%, due 4/3/08 | | VMIG1 | | | | $3,785 | µß |
| 2,110 | | Rutherford Co. IDB IDR (Tenn. Farmers Coop. Proj.), Ser. 1999,
(LOC: AmSouth Bank), 2.36%, due 4/3/08 | | | | | | 2,110 | µß |
| 3,200 | | Shelby Co. Hlth., Ed. & Hsg. Fac. Board Multi-Family Hsg. Rev. (Lexington), Ser. 2005 A, (LOC: Fannie Mae), 2.45%, due 4/3/08 | | VMIG1 | | | | 3,200 | µ |
| 300 | | Stewart Co. IDB Rev. (Synthetic Materials Proj.), Ser. 1999 A,
(LOC: Citizens Bank), 2.25%, due 4/3/08 | | | | | | 300 | µß |
| 730 | | Stewart Co. IDB Rev. (Synthetic Materials Proj.), Ser. 1999 C,
(LOC: Citizens Bank), 2.25%, due 4/3/08 | | | | | | 730 | µß |
| | | | | | | | 10,125 | |
| | | |
| Texas (9.4%) | | | | | | | |
| 4,660 | | Alliance Arpt. Au. Inc. Spec. Fac. Rev. (Floaters), Ser. 2007-2088,
(LOC: Wells Fargo Bank & Trust Co.), 2.31%, due 4/3/08 | | | | A-1+ | | 4,660 | µ |
| 315 | | Bell Co. Hlth. Fac. Dev. Corp. Rev. (Hlth. Fac. Baptist Care, Inc.),
Ser. 1998, (LOC: Broadway National Bank), 3.50%, due 4/3/08 | | VMIG1 | | | | 315 | µßg |
| 5,345 | | Bexar Co. Hsg. Fin. Corp. Multi-Family Hsg. Rev., Ser. 2007-749CE, (LOC: Citigroup Global Markets), 2.39%, due 4/3/08 | | VMIG1 | | | | 5,345 | µ |
| 3,000 | | Brazos River Harbor Navigation Dist. Brazoria Co. Rev.
(BASF Corp. Proj.), Ser. 2001, 2.55%, due 4/2/08 | | | | A-1+ | | 3,000 | µß |
| 1,600 | | Haltom City Ind. Dev. Corp. Rev. (Molded Prod. Co. Proj.), Ser. 1995, (LOC: Bank of America), 2.20%, due 4/2/08 | | | | A-1+ | | 1,600 | µß |
| 4,200 | | McAllen Ind. Dev. Au. Rev. (Ridge Sharyland), Ser. 2000,
4.52%, due 4/3/08 | | | | | | 4,223 | µ |
| 5,455 | | Permian Basin Reg. Hsg. Fin. Corp. Single Family Mtge. Rev., Ser. 2006 A-2, (LOC: Government National Mortgage Association),
2.40%, due 1/1/38 Putable 8/1/08 | | VMIG1 | | | | 5,455 | |
| 4,500 | | South Plains Hsg. Fin. Corp. Single Family Rev. Notes, Ser. 2007,
(LOC: Government National Mortgage Association),
4.40%, due 7/1/08 | | VMIG1 | | | | 4,505 | µaa |
| 7,940 | | Victory St. Pub. Fac. Corp. Multi-Family Rev., Ser. 2007-832CE,
(LOC: Citigroup Global Markets), 2.39%, due 4/3/08 | | VMIG1 | | | | 7,940 | µ |
| | | | | | | | 37,043 | |
| | | |
| Vermont (2.6%) | | | | | | | |
| 6,000 | | Vermont HFA Multi. Purp. Notes, Ser. 2007 D, (LOC: Calyon Bank),
3.85%, due 9/25/08 | | | | | | 6,000 | |
| 4,430 | | Vermont HFA Single Family (Putters), Ser. 2006 1554, (FSA Insured),
2.39%, due 4/3/08 | | | | A-1+ | | 4,430 | µo |
| | | | | | | | 10,430 | |
| | | |
| Virginia (3.1%) | | | | | | | |
| 2,500 | | Amherst Co. Econ. Dev. Au. IDR (Englands Stove Works Proj.),
Ser. 2007, (LOC: Branch Banking & Trust Co.), 2.38%, due 4/3/08 | | | | | | 2,500 | µß |
| 2,210 | | Southampton Co. Ind. Dev. Au. Rev. (Feridies Proj.), Ser. 2006,
(LOC: Branch Banking & Trust Co.), 2.38%, due 4/3/08 | | | | | | 2,210 | µß |
| 3,000 | | Sussex Co. Ind. Dev. Au. IDR (McGill Env. Sys.), Ser. 2007,
(LOC: Branch Banking & Trust Co.), 2.38%, due 4/3/08 | | VMIG1 | | | | 3,000 | µß |
See Notes to Schedule of Investments
106
| | | | | | | | | |
PRINCIPAL
AMOUNT | | SECURITY@@ | | RATING‡‡§ | | VALUE†† | |
| (000’s omitted) | | Moody’s | | S&P | | (000’s omitted) | |
| $1,250 | | Virginia St. Hsg. Dev. Au. Commonwealth Mgte., Ser. 2006 D1, 4.00%, due 1/1/09 | | | | | | $1,255 | |
| 1,865 | | Virginia St. Hsg. Dev. Au. Commonwealth Mtge. (Merlots),
Ser. 2006 C07, (LOC: Bank of New York), 2.30%, due 4/2/08 | | | | A-1+ | | 1,865 | µ |
| 1,280 | | Wythe Co. Ind. Dev. Au. Rev. (Klockner-Pentaplast of America),
Ser. 1989, (LOC: Landesbank Hessen-Thveringen Girozentrale), 2.29%, due 4/3/08 | | | | | | 1,280 | µß |
| | | | | | | | 12,110 | |
| | | |
| Washington (4.0%) | | | | | | | |
| 3,500 | | Port Vancouver Spec. Rev. (United Grain Corp. Proj.), Ser. 1992,
(LOC: Bank of America), 2.20%, due 4/2/08 | | | | A-1+ | | 3,500 | µß |
| 4,500 | | Seattle Hsg. Au. Rev. (High Point Proj. Phase II), Ser. 2007,
(LOC: KeyBank), 2.36%, due 4/3/08 | | | | A-1 | | 4,500 | µß |
| 7,395 | | Washington St. Hsg. Fin. Commission Multi-Family Hsg. Rev.,
Ser. 2007-10003CE, (LOC: Citigroup Global Markets),
2.39%, due 4/3/08 | | VMIG1 | | | | 7,395 | µ |
| 300 | | Washington St. Hsg. Fin. Commission Non-Profit Rev. (Tacoma Art Museum Proj.), Ser. 2002, (LOC: Northern Trust Co.),
1.33%, due 4/1/08 | | VMIG1 | | | | 300 | µß |
| | | | | | | | 15,695 | |
| | | |
| Wisconsin (1.1%) | | | | | | | |
| 2,000 | | Antigo Unified Sch. Dist. TRANS, Ser. 2007, 3.60%, due 10/30/08 | | | | | | 2,000 | |
| 425 | | Elkhorn IDR (Lanco Precision Plus Proj.), Ser. 1999, (LOC: Bank One),
3.50%, due 4/2/08 | | | | | | 425 | µß |
| 1,800 | | Superior IDR (Amsoil, Inc. Proj.), Ser. 2007,
(LOC: Wells Fargo Bank & Trust Co.), 2.31%, due 4/3/08 | | | | A-1+ | | 1,800 | µß |
| 200 | | Wisconsin St. Hlth. & Ed. Fac. Au. Rev. (Meriter Hosp., Inc. Proj.),
Ser. 2002, (LOC: Marshall & Ilsley), 1.33%, due 4/1/08 | | | | A-1 | | 200 | µß |
| | | | | | | | 4,425 | |
| | | |
| Wyoming (1.3%) | | | | | | | |
| 4,980 | | Campbell Co. IDR, Ser. 2007, (LOC: Royal Bank of Canada),
3.65%, due 11/1/37 Puttable 11/28/08 | | | | A-1+ | | 4,980 | ß |
| | | | |
| | Total Investments (97.2%) | | | | | | 383,702 | |
| | Cash, receivables and other assets, less liabilities (2.8%) | | | | | | 10,967 | |
| | Total Net Assets (100.0%) | | | | | | $394,669 | |
See Notes to Schedule of Investments
107
Notes to Schedule of Investments
†† | Investment securities are valued at amortized cost, which approximates U.S. federal income tax cost. |
| @@ | Municipal securities held by Tax-Exempt Master Series and Municipal 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 88.4% and 88.4% of the municipal securities held by Tax-Exempt Master Series and Municipal 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 under the Securities Act of 1933, as amended, and have been deemed by the investment manager to be liquid. At March 31, 2008, these securities amounted to approximately $1,875,023,000 or 60.7% of net assets for Money Market Master Series, approximately $4,179,470,000 or 47.6% of net assets for Prime Master Series and approximately $77,655,000 or 3.1% of net assets for Tax-Exempt Master Series. |
| # | 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 under the Securities Act of 1933, as amended, and have been deemed by the investment manager to be illiquid and restricted. At March 31, 2008, these securities amounted to approximately $150,001,000 or 1.7% of net assets for the Prime Master Series. As of April 29, 2008, these securities were no longer held by the Prime Master Series. |
| | | | | | | | | | | | |
(000’s omitted)
Restricted Securities | | Acquisition
Date | | Acquisition
Cost | | Acquisition
Cost
Percentage
of Master
Series’ Net
Assets
as of
Acquisition
Date | | | Value
as of
March 31,
2008 | | Fair Value
Percentage
of Master
Series’ Net
Assets
as of
March 31,
2008 | |
Sigma Finance Inc., Guaranteed
Medium-Term Notes, 5.43%,
due 8/5/08 | | 7/5/2007 | | $50,000 | | 0.5 | % | | $50,000 | | 0.6 | % |
Sigma Finance Inc., Guaranteed Floating Rate Medium-Term Notes, 2.34%,
due 4/1/08 | | 6/7/2007 | | 100,004 | | 1.0 | % | | 100,001 | | 1.1 | % |
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 March 31, 2008. |
| Ø | All or a portion of this security was purchased on a when-issued basis. At March 31, 2008, these securities amounted to $47,865,000 for Tax-Exempt Master Series and $5,044,000 for Municipal Master Series. |
See Notes to Financial Statements
108
Notes to Schedule of Investments (cont’d)
| ØØ | All or a portion of this security is segregated as collateral for when-issued purchase commitments. |
§ | Credit ratings are unaudited. |
| 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. |
| 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. |
| 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. |
| 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. |
| w | Security is subject to a guarantee provided by Wescorp Credit Union, backing 100% of the total principal. |
| x | Security is subject to a guarantee provided by Wells Fargo Bank & Trust Co., backing 100% of the total principal. |
| y | Security is subject to a guarantee provided by Svenska Hendelsbanken, backing 100% of the total principal. |
| z | Security is subject to a guarantee provided by Regions Bank, backing 100% of the total principal. |
| aa | Security is subject to a guarantee provided by Royal Bank of Canada, backing 100% of the total principal. |
See Notes to Financial Statements
109
Statements of Assets and Liabilities
Institutional Liquidity Trust
(000’s omitted)
| | | | | | |
| | | MONEY MARKET
MASTER SERIES | | PRIME
MASTER SERIES | | GOVERNMENT
MASTER SERIES |
| | | March 31, 2008 | | March 31, 2008 | | March 31, 2008 |
| Assets | | | | | | |
| Investments in securities, at value* (Note A)—see Schedule of Investments: | | | | | | |
| Unaffiliated issuers | | $2,911,099 | | $8,218,485 | | $1,504,188 |
| Repurchase agreements | | 170,000 | | 550,000 | | 779,800 |
| | | |
| | 3,081,099 | | 8,768,485 | | 2,283,988 |
| Cash | | 336 | | 936 | | 811 |
| Interest receivable | | 6,761 | | 14,149 | | 5,299 |
| Receivable for securities sold | | — | | — | | — |
| Prepaid expenses and other assets | | — | | — | | — |
| | | |
| Total Assets | | 3,088,196 | | 8,783,570 | | 2,290,098 |
| | | |
| | | |
| Liabilities | | | | | | |
| Due to custodian | | — | | — | | — |
| Payable for securities purchased | | — | | — | | — |
| Payable to investment manager-net (Note B) | | 225 | | 789 | | 181 |
| Accrued expenses and other payables | | 108 | | 169 | | — |
| | | |
| Total Liabilities | | 333 | | 958 | | 181 |
| | | |
| Net Assets Applicable to investors’ beneficial interests | | $3,087,863 | | $8,782,612 | | $2,289,917 |
| | | |
| | | |
| Net Assets consist of: | | | | | | |
| Paid-in capital | | $3,087,863 | | $8,782,612 | | $2,289,917 |
| | | |
| | | |
| *Cost of investments: | | | | | | |
| Unaffiliated issuers | | $3,081,099 | | $8,768,485 | | $2,283,988 |
| | | |
See Notes to Financial Statements
110
| | | | | | |
GOVERNMENT RESERVES
MASTER SERIES | | TREASURY
MASTER SERIES | | TAX-EXEMPT
MASTER SERIES | | MUNICIPAL
MASTER SERIES |
| March 31, 2008 | | March 31, 2008 | | March 31, 2008 | | March 31, 2008 |
| | | | | | |
| | | |
| | | | | | |
| $893,002 | | $649,583 | | $2,503,067 | | $383,702 |
| — | | 3,513,400 | | — | | — |
| |
| 893,002 | | 4,162,983 | | 2,503,067 | | 383,702 |
| 19 | | 73 | | — | | 13,061 |
| 1,381 | | 294 | | 16,744 | | 2,469 |
| — | | — | | 11,477 | | 495 |
| — | | — | | 50 | | 18 |
| |
| 894,402 | | 4,163,350 | | 2,531,338 | | 399,745 |
| |
| | | |
| | | | | | |
| — | | — | | 12,427 | | — |
| — | | 99,934 | | 47,864 | | 5,044 |
| 64 | | 242 | | 196 | | 32 |
| 28 | | 17 | | — | | — |
| |
| 92 | | 100,193 | | 60,487 | | 5,076 |
| |
| $894,310 | | $4,063,157 | | $2,470,851 | | $394,669 |
| |
| | | |
| | | | | | |
| $894,310 | | $4,063,157 | | $2,470,851 | | $394,669 |
| |
| | | |
| | | | | | |
| $893,002 | | $4,162,983 | | $2,503,067 | | $383,702 |
| |
111
Statements of Operations
Institutional Liquidity Trust
(000’s omitted)
| | | | | | | | | |
| | | MONEY MARKET
MASTER SERIES | | | PRIME
MASTER SERIES | | | GOVERNMENT
MASTER SERIES | |
| | |
For the Year Ended
March 31, 2008 | | | For the Year Ended
March 31, 2008 | | | For the Year Ended
March 31, 2008 | |
| Investment Income | | | | | | | | | |
| Income: | | | | | | | | | |
| Interest income—unaffiliated issuers (Note A) | | $136,832 | | | $587,838 | | | $58,487 | |
| | | | |
| | | |
| Expenses: | | | | | | | | | |
| Investment management fees (Note B) | | 2,234 | | | 9,541 | | | 1,081 | |
| Audit fees | | 29 | | | 11 | | | 32 | |
| Custodian fees (Note B) | | 350 | | | 1,455 | | | 128 | |
| Insurance expense | | 73 | | | 208 | | | 16 | |
| Legal fees | | 1 | | | 33 | | | 5 | |
| Rating agency fees | | — | | | 24 | | | 12 | |
| Shareholder reports | | 6 | | | 6 | | | 6 | |
| Trustees’ fees and expenses | | 27 | | | 30 | | | 25 | |
| Miscellaneous | | 77 | | | 282 | | | 17 | |
| | | | |
| Total expenses | | 2,797 | | | 11,590 | | | 1,322 | |
| Investment management fees waived (Note B) | | — | | | — | | | — | |
| Expenses reduced by custodian fee expense offset arrangement (Note B) | | (72 | ) | | (138 | ) | | (24 | ) |
| | | | |
| Total net expenses | | 2,725 | | | 11,452 | | | 1,298 | |
| | | | |
| Net investment income | | $134,107 | | | $576,386 | | | $57,189 | |
| | | | |
| | | |
| Realized and Unrealized Gain (Loss) on Investments (Note A) | | | | | | | | | |
| Net realized gain (loss) on: | | | | | | | | | |
| Sales of investment securities of unaffiliated issuers | | (62 | ) | | (2,379 | ) | | 457 | |
| Net increase from payment by affiliate for losses realized on securities (Note B) | | — | | | 2,837 | | | — | |
| | | | | | | | | | |
| Net gain (loss) on investments | | (62 | ) | | 458 | | | 457 | |
| | | | |
| Net increase (decrease) in net assets resulting from operations | | $134,045 | | | $576,844 | | | $57,646 | |
| | | | |
See Notes to Financial Statements
112
| | | | | | | | | | |
GOVERNMENT RESERVES
MASTER SERIES | | | TREASURY
MASTER SERIES | | | TAX-EXEMPT MASTER SERIES | |
Period from
July 9, 2007
(Commencement of
Operations) to
March 31, 2008 | | | For the Year Ended
March 31, 2008 | | | Period from
November 1, 2007
to March 31, 2008 | | | Period from
September 10, 2007
(Commencement of
Operations) to
October 31, 2007 | |
| | | | | | | | | | |
| | | | | | | | | | |
| $15,911 | | | $36,146 | | | $34,840 | | | $10,784 | |
| | |
| | | |
| | | | | | | | | | |
| 309 | | | 862 | | | 2,245 | | | 618 | |
| 32 | | | 11 | | | 11 | | | 11 | |
| 40 | | | 224 | | | 225 | | | 54 | |
| — | | | 4 | | | — | | | — | |
| 7 | | | 12 | | | 10 | | | 1 | |
| — | | | 11 | | | 2 | | | 1 | |
| 5 | | | 6 | | | — | | | — | |
| 19 | | | 25 | | | 15 | | | 4 | |
| 3 | | | 10 | | | 16 | | | 3 | |
| | |
| 415 | | | 1,165 | | | 2,524 | | | 692 | |
| — | | | — | | | (1,325 | ) | | (383 | ) |
(1 | ) | | (129 | ) | | (143 | ) | | (111 | ) |
| | |
| 414 | | | 1,036 | | | 1,056 | | | 198 | |
| | |
| $15,497 | | | $35,110 | | | $33,784 | | | $10,586 | |
| | |
| | | |
| | | | | | | | | | |
| | | | | | | | | | |
| 7 | | | 49 | | | 831 | | | 5 | |
— | | | — | | | — | | | — | |
| | | | | | | | | | | |
| 7 | | | 49 | | | 831 | | | 5 | |
| | |
$15,504 | | | $35,159 | | | $34,615 | | | $10,591 | |
| | |
113
Statements of Operations
Institutional Liquidity Trust
(000’s omitted)
| | | | | | |
| | | MUNICIPAL MASTER SERIES | |
| | | Period from
November 1, 2007
to March 31, 2008 | | | Period from
September 10, 2007
(Commencement of
Operations) to
October 31, 2007 | |
| Investment Income | | | | | | |
| Income: | | | | | | |
| Interest income—unaffiliated issuers (Note A) | | $8,565 | | | $3,484 | |
| | | | |
| | |
| Expenses: | | | | | | |
| Investment management fees (Note B) | | 656 | | | 228 | |
| Audit fees | | 32 | | | 32 | |
| Custodian fees (Note B) | | 72 | | | 30 | |
| Insurance expense | | — | | | — | |
| Legal fees | | 10 | | | 1 | |
| Rating agency fees | | 2 | | | 1 | |
| Shareholder reports | | — | | | — | |
| Trustees’ fees and expenses | | 15 | | | 4 | |
| Miscellaneous | | 3 | | | — | |
| | | | |
| Total expenses | | 790 | | | 296 | |
| Investment management fees waived (Note B) | | (441 | ) | | (153 | ) |
| Expenses reduced by custodian fee expense offset arrangement (Note B) | | (68 | ) | | (45 | ) |
| | | | |
| Total net expenses | | 281 | | | 98 | |
| | | | |
| Net investment income | | $8,284 | | | $3,386 | |
| | | | |
| | |
| Realized and Unrealized Gain (Loss) on Investments (Note A) | | | | | | |
| Net realized gain (loss) on: | | | | | | |
| Sales of investment securities of unaffiliated issuers | | 93 | | | 6 | |
| Net increase from payment by affiliate for losses realized on securities (Note B) | | — | | | — | |
| | | | | | | |
| Net gain (loss) on investments | | 93 | | | 6 | |
| | | | |
| Net increase (decrease) in net assets resulting from operations | | $8,377 | | | $3,392 | |
| | | | |
See Notes to Financial Statements
114
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115
Statements of Changes in Net Assets
Institutional Liquidity Trust
(000’s omitted)
| | | | | | | | | | | | |
| | | MONEY MARKET
MASTER SERIES | | |
PRIME MASTER SERIES | |
| | |
Year Ended
March 31, 2008 | | | Year Ended
March 31, 2007 | | | Year Ended
March 31, 2008 | | | Year Ended
March 31, 2007 | |
| Increase (Decrease) in Net Assets: | | | | | | | | | | | | |
| From Operations: | | | | | | | | | | | | |
| Net investment income (loss) | | $134,107 | | | $129,526 | | | $576,386 | | | $291,330 | |
| Net realized gain (loss) on investments | | (62 | ) | | (78 | ) | | (2,379 | ) | | (95 | ) |
| Net increase from payment by affiliate for losses realized on securities (Note B) | | — | | | — | | | 2,837 | | | — | |
| Net increase (decrease) in net assets resulting from operations | | 134,045 | | | 129,448 | | | 576,844 | | | 291,235 | |
| | | | |
| Transactions in Investors’ Beneficial Interest: | | | | | | | | | | | | |
| Contribution from initial capitalization | | — | | | — | | | — | | | — | |
| Contributions | | 8,888,848 | | | 5,640,176 | | | 71,568,661 | | | 35,971,111 | |
| Withdrawals | | (8,428,266 | ) | | (5,506,910 | ) | | (69,845,697 | ) | | (32,985,741 | ) |
| Net increase (decrease) from transactions in investors’ beneficial interest | | 460,582 | | | 133,266 | | | 1,722,964 | | | 2,985,370 | |
| Net Increase (Decrease) in Net Assets | | 594,627 | | | 262,714 | | | 2,299,808 | | | 3,276,605 | |
| | | | |
| Net Assets: | | | | | | | | | | | | |
| Beginning of period | | 2,493,236 | | | 2,230,522 | | | 6,482,804 | | | 3,206,199 | |
| End of period | | $3,087,863 | | | $2,493,236 | | | $8,782,612 | | | $6,482,804 | |
See Notes to Financial Statements
116
| | | | | | | | |
GOVERNMENT MASTER SERIES | | GOVERNMENT
RESERVES
MASTER SERIES | | TREASURY MASTER SERIES |
Year Ended
March 31, 2008 | | Period from
December 18, 2006
(Commencement of
Operations) to
March 31, 2007 | | Period from
July 9, 2007
(Commencement of
Operations) to
March 31, 2008 | | Year Ended
March 31, 2008 | | Period from
December 18, 2006
(Commencement of
Operations) to
March 31, 2007 |
| | | | | | | | |
| | | | | | | | |
| $57,189 | | $7,760 | | $15,497 | | $35,110 | | $6,723 |
| 457 | | — | | 7 | | 49 | | — |
— | | — | | — | | — | | — |
57,646 | | 7,760 | | 15,504 | | 35,159 | | 6,723 |
| | | | |
| | | | | | | | |
| — | | 101 | | — | | — | | — |
| 7,608,924 | | 1,008,073 | | 1,991,016 | | 5,904,575 | | 814,761 |
| (6,146,412) | | (246,175) | | (1,112,210) | | (2,332,818) | | (365,243) |
1,462,512 | | 761,999 | | 878,806 | | 3,571,757 | | 449,518 |
| 1,520,158 | | 769,759 | | 894,310 | | 3,606,916 | | 456,241 |
| | | | |
| | | | | | | | |
| 769,759 | | — | | — | | 456,241 | | — |
| $2,289,917 | | $769,759 | | $894,310 | | $4,063,157 | | $456,241 |
117
Statements of Changes in Net Assets
| | | | | | | | | | | | |
| | | TAX-EXEMPT MASTER SERIES | | | MUNICIPAL MASTER SERIES | |
| | | Period from
November 1, 2007
to March 31, 2008 | | | Period from
September 10, 2007
(Commencement of
Operations) to
October 31, 2007 | | | Period from
November 1, 2007
to March 31, 2008 | | | Period from
September 10, 2007
(Commencement of
Operations) to
October 31, 2007 | |
| Increase (Decrease) in Net Assets: | | | | | | | | | | | | |
| From Operations: | | | | | | | | | | | | |
| Net investment income (loss) | | $33,784 | | | $10,586 | | | $8,284 | | | $3,386 | |
| Net realized gain (loss) on investments | | 831 | | | 5 | | | 93 | | | 6 | |
| Net increase from payment by affiliate for losses realized on securities (Note B) | | — | | | — | | | — | | | — | |
| Net increase (decrease) in net assets resulting from operations | | 34,615 | | | 10,591 | | | 8,377 | | | 3,392 | |
| | | | |
| Transactions in Investors’ Beneficial Interest: | | | | | | | | | | | | |
| Contribution from initial capitalization | | — | | | — | | | — | | | — | |
| Contributions | | 4,812,906 | | | 3,250,661 | | | 1,712,974 | | | 1,154,509 | |
| Withdrawals | | (4,274,828 | ) | | (1,363,094 | ) | | (1,944,242 | ) | | (540,341 | ) |
| Net increase (decrease) from transactions in investors’ beneficial interest | | 538,078 | | | 1,887,567 | | | (231,268 | ) | | 614,168 | |
| Net Increase (Decrease) in Net Assets | | 572,693 | | | 1,898,158 | | | (222,891 | ) | | 617,560 | |
| | | | |
| Net Assets: | | | | | | | | | | | | |
| Beginning of period | | 1,898,158 | | | — | | | 617,560 | | | — | |
| End of period | | $2,470,851 | | | $1,898,158 | | | $394,669 | | | $617,560 | |
See Notes to Financial Statements
118
Notes to Financial Statements Institutional Liquidity Trust
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 and Neuberger Berman Management Inc., the Master Series’ investment manager, (“Management”) of $100,000 and $1,000, respectively, 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’ Schedules 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, Treasury Master Series, Tax-Exempt Master Series and Municipal Master Series to comply with the requirements of the Internal Revenue Code. It is the intention of Government Reserves 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, Treasury 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. It is the intention of Government Reserves Master Series to conduct its operations so that each of its investors that are regulated investment companies and invest substantially all of their net investable assets therein will be able to qualify as a regulated investment company. 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. |
| | In accordance with Securities and Exchange Commission guidance, the Master Series implemented the provisions of Financial Accounting Standards Board Interpretation No. 48 (“FIN 48”), Accounting for Uncertainty in Income Taxes, on September 20, 2007. The Master Series have reviewed the tax positions for the open tax years as of March 31, 2008, and have determined that the implementation of FIN 48 did not have a material impact on the Master Series’ financial statements. |
119
| 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 Master Series 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 Master Series and Municipal Master Series pays 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 Master Series and Municipal Master Series. For the period ended March 31, 2008, such waived fees amounted to $1,324,544 for Tax-Exempt Master Series and $441,421 for Municipal Master Series, 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. |
| | On February 13, 2008, an affiliate of Prime Master Series’ adviser purchased $60,000,000 par value of corporate debt of Whistlejacket Capital LLC at a purchase price equal to the amortized cost of the securities (a price in excess |
120
| | of the securities’ then fair market value based upon the preceding day’s closing market value) plus accrued interest. No shares of Prime Master Series or other consideration was given in exchange for purchasing the securities. The excess of the purchase price over the then current fair value amounted to $2,836,700 and had no impact on Prime Master Series’ total return. |
| | Each Master Series has an expense offset arrangement in connection with its custodian contract. For the year ended March 31, 2008, the impact of this arrangement was a reduction of expenses of $71,914, $138,440, $24,053, $1,291, $128,742, $142,829 and $68,495 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, 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—Lines of Credit:
| | At the later of May 25, 2007 or the commencement of a Master Series’ operations, the Master Series became participants in a single committed, unsecured $300,000,000 line of credit with the 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 each 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 participants 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 March 31, 2008. During the year ended March 31, 2008, the Master Series did not utilize these lines 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. |
121
Note F—Subsequent Events
| | On March 31, 2008, Prime Master Series held $150,000,000 par value of Sigma Finance, Inc. (“Sigma”) corporate debt. Notwithstanding the fact that the Sigma corporate debt continued to be “eligible securities,” as defined in Rule 2a-7 of the Investment Company Act of 1940, the adviser subsequently determined that due to concerns about market and credit risk, it was no longer in Prime Master Series’ best interest to continue to hold the Sigma corporate debt. On April 29, 2008, an affiliate of Prime Master Series’ adviser purchased $150,000,000 par value of Sigma corporate debt from Prime Master Series at a purchase price equal to amortized cost (a price in excess of the securities’ then current fair value based upon the preceding day’s closing market value) plus accrued interest. No shares of Prime Master Series or other consideration was given in exchange for purchasing the securities. The excess of the purchase price over the then current fair value amounted to $635,511 and had no impact on Prime Master Series’ total return. |
122
Financial Highlights
Money Market Master Series
| | | | | | | | | | | | |
| | | Year Ended March 31, | | | Period from
December 30, 2004^
to March 31, | |
| | | 2008 | | | 2007 | | | 2006 | | | 2005 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | |
| Gross Expenses# | | .10 | % | | .10 | % | | .11 | % | | .11 | %* |
| Net Expenses | | .10 | % | | .10 | %‡ | | .11 | %‡ | | .11 | %*‡ |
| Net Investment Income (Loss) | | 4.80 | % | | 5.14 | % | | 3.72 | % | | 2.38 | %* |
| Total Return† | | +4.99 | % | | +5.27 | %@ | | +3.87 | %@ | | +0.63 | %**@ |
| Net Assets, End of Period (in millions) | | $3,087.9 | | | $2,493.2 | | | $2,230.5 | | | $2,418.4 | |
See Notes to Financial Highlights
123
Prime Master Series
| | | | | | | | | | | | |
| | | Year Ended March 31, | | | Period from
December 27, 2004^
to March 31, | |
| | | 2008 | | | 2007 | | | 2006 | | | 2005 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | |
| Gross Expenses# | | .10 | % | | .10 | % | | .11 | % | | .12 | %* |
| Net Expenses | | .10 | % | | .10 | %‡ | | .10 | %‡ | | .11 | %*‡ |
| Net Investment Income (Loss) | | 4.83 | % | | 5.19 | % | | 3.78 | % | | 2.43 | %* |
| Total Return† | | +4.96 | % | | +5.29 | %@ | | +3.87 | %@ | | +0.66 | %**@ |
| Net Assets, End of Period (in millions) | | $8,782.6 | | | $6,482.8 | | | $3,206.2 | | | $1,277.5 | |
124
Government Master Series
| | | | | | |
| | | Year Ended
March 31,
2008 | | | Period from
December 18, 2006^
to March 31,
2007 | |
| Ratios to Average Net Assets: | | | | | | |
| Gross Expenses# | | .10% | | | .13%* | |
| Net Expenses | | .10% | | | .13%* | |
| Net Investment Income (Loss) | | 4.23% | | | 5.17%* | |
| Total Return† | | +4.73% | | | +1.49%** | |
| Net Assets, End of Period (in millions) | | $2,289.9 | | | $769.8 | |
125
Government Reserves Master Series
| | | |
| | | Period from
July 9, 2007^
to March 31,
2008 | |
| Ratios to Average Net Assets: | | | |
| Gross Expenses# | | .11%* | |
| Net Expenses | | .11%* | |
| Net Investment Income (Loss) | | 4.01%* | |
| Total Return† | | +3.22%** | |
| Net Assets, End of Period (in millions) | | $894.3 | |
126
Treasury Master Series
| | | | | | |
| | | Year Ended
March 31,
2008 | | | Period from
December 18, 2006^
to March 31,
2007 | |
| Ratios to Average Net Assets: | | | | | | |
| Gross Expenses# | | .11% | | | .12%* | |
| Net Expenses | | .10% | | | .12%* | |
| Net Investment Income (Loss) | | 3.26% | | | 5.05%* | |
| Total Return† | | +4.20% | | | +1.46%** | |
| Net Assets, End of Period (in millions) | | $4,063.2 | | | $456.2 | |
127
Tax-Exempt Master Series
| | | | | | |
| | | Period from
November 1, 2007
to March 31,
2008 | | | Period from
September 10, 2007^
to October 31,
2007 | |
| Ratios to Average Net Assets: | | | | | | |
| Gross Expenses# | | .10%* | | | .13%* | |
| Net Expenses‡ | | .09%* | | | .09%* | |
| Net Investment Income (Loss) | | 2.93%* | | | 3.61%* | |
| Total Return†@ | | +1.25%** | | | +.52%** | |
| Net Assets, End of Period (in millions) | | $2,470.9 | | | $1,898.2 | |
128
Municipal Master Series
| | | | | | |
| | | Period from
November 1, 2007
to March 31, 2008 | | | Period from
September 10, 2007^
to October 31, 2007 | |
| Ratios to Average Net Assets: | | | | | | |
| Gross Expenses# | | .13%* | | | .18%* | |
| Net Expenses‡ | | .10%* | | | .13%* | |
| Net Investment Income (Loss) | | 3.08%* | | | 3.63%* | |
| Total Return†@ | | +1.28%** | | | +.52%** | |
| Net Assets, End of Period (in millions) | | $394.7 | | | $617.6 | |
129
Notes to Financial Highlights Institutional Liquidity Trust
| # | 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: |
| | | | | | | | | | | | | | | |
| | | Period from
November 1, 2007
to March 31, | | | Period Ended
October 31, | | | Year Ended
March 31, | | | Period Ended
March 31, | |
| | | 2008(4) | | | 2007(3) | | | 2007 | | | 2006 | | | 2005 | |
| Money Market Master Series | | — | | | — | | | .12% | | | .13 | % | | .13 | %(1) |
| Prime Master Series | | — | | | — | | | .11% | | | .12 | % | | .13 | %(2) |
| Tax-Exempt Master Series | | .21% | | | .22% | | | — | | | — | | | — | |
| Municipal Master Series | | .27% | | | .30% | | | — | | | — | | | — | |
| | (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 October 31, 2007. |
| | (4) | Period from November 1, 2007 (commencement of operations) to March 31, 2008. |
† | 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. |
| @ | Total return would have been lower had Management not waived a portion of the investment management fee. |
130
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Institutional Liquidity Trust
and Owners of Beneficial Interest of Money Market Master Series:
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Money Market Master Series (one of the series constituting Institutional Liquidity Trust) (the “Master Series”), as of March 31, 2008, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Master Series’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Master Series’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Master Series’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of March 31, 2008, by correspondence with the custodian and brokers. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Money Market Master Series, a portfolio of Institutional Liquidity Trust, at March 31, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated therein, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
May 14, 2008
131
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of
Institutional Liquidity Trust and
Owners of Beneficial Interest of Prime Master Series
We have audited the accompanying statement of assets and liabilities of Prime Master Series (the “Portfolio”), a series of Institutional Liquidity Trust, including the schedule of investments, as of March 31, 2008, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the three years in the period then ended and for the period from December 27, 2004 to March 31, 2005. These financial statements and financial highlights are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Portfolio is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Portfolio’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of March 31, 2008, by correspondence with the custodian. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Prime Master Series as of March 31, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the three years in the period then ended and for the period from December 27, 2004 to March 31, 2005, in conformity with accounting principles generally accepted in the United States of America.
Philadelphia, Pennsylvania
May 15, 2008
132
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Institutional Liquidity Trust
and Owners of Beneficial Interest of Government Master Series:
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Government Master Series (one of the series constituting Institutional Liquidity Trust) (the “Master Series”), as of March 31, 2008, and the related statement of operations for the year then ended, the statement of changes in net assets and the financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Master Series’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Master Series’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Master Series’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of March 31, 2008, by correspondence with the custodian and brokers. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Government Master Series, a series of Institutional Liquidity Trust, at March 31, 2008, the results of its operations for the year then ended, and the changes in its net assets and the financial highlights for each of the periods indicated therein, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
May 14, 2008
133
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Institutional Liquidity Trust
and Owners of Beneficial Interest of Government Reserves Master Series:
We have audited the accompanying statement of assets and liabilities of Government Reserves Master Series (one of the series constituting Institutional Liquidity Trust) (the “Master Series”), as of March 31, 2008, and the related statements of operations, changes in net assets and the financial highlights for the period from July 9, 2007 (commencement of operations) to March 31, 2008. These financial statements and financial highlights are the responsibility of the Master Series’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Master Series’ internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Master Series’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of March 31, 2008, by correspondence with the custodian and brokers. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Government Reserves Master Series, a portfolio of Institutional Liquidity Trust, at March 31, 2008, the results of its operations, changes in its net assets and the financial highlights for the period from July 9, 2007 (commencement of operations) to March 31, 2008, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
May 14, 2008
134
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of
Institutional Liquidity Trust and
Owners of Beneficial Interest of Treasury Master Series
We have audited the accompanying statement of assets and liabilities of Treasury Master Series (the “Portfolio”), a series of Institutional Liquidity Trust, including the schedule of investments, as of March 31, 2008, and the related statement of operations for the year then ended, and the statements of changes in net assets and the financial highlights for the year then ended and for the period from December 18, 2006 to March 31, 2007. These financial statements and financial highlights are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Portfolio is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Portfolio’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of March 31, 2008, by correspondence with the custodian and brokers. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Treasury Master Series as of March 31, 2008, the results of its operations for the year then ended, and the changes in its net assets and the financial highlights for the year then ended and for the period from December 19, 2006 to March 31, 2007, in conformity with accounting principles generally accepted in the United States of America.
Philadelphia, Pennsylvania
May 15, 2008
135
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of
Institutional Liquidity Trust and
Owners of Beneficial Interest of Tax-Exempt Master Series
We have audited the accompanying statement of assets and liabilities of Tax-Exempt Master Series (the “Portfolio”), a series of Institutional Liquidity Trust, including the schedule of investments, as of March 31, 2008, and the related statements of operations, the statements of changes in net assets, and the financial highlights for the period November 1, 2007 to March 31, 2008 and for the period from September 10, 2007 to October 31, 2007. These financial statements and financial highlights are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Portfolio is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Portfolio’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of March 31, 2008, by correspondence with the custodian and brokers. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Tax-Exempt Master Series as of March 31, 2008, the results of its operations, the changes in its net assets, and the financial highlights for the period from November 1, 2007 to March 31, 2008 and for the period September 10, 2007 to October 31, 2007, in conformity with accounting principles generally accepted in the United States of America.
Philadelphia, Pennsylvania
May 15, 2008
136
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Institutional Liquidity Trust
and Owners of Beneficial Interest of Municipal Master Series:
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Municipal Master Series (one of the series constituting Institutional Liquidity Trust) (the “Master Series”), as of March 31, 2008, and the related statements of operations and changes in net assets for the period from November 1, 2007 to March 31, 2008 and for the year ended October 31, 2007, and the financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Master Series’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Master Series’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Master Series’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of March 31, 2008, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Municipal Master Series, a series of Institutional Liquidity Trust, at March 31, 2008, the results of its operations and changes in its net assets for the period from November 1, 2007 to March 31, 2008 and the year ended October 31, 2007, and the financial highlights for each of the periods indicated therein, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
May 14, 2008
137
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
138
Trustees and Officers
The following tables set forth information concerning the trustees (“Trustees”) and officers (“Officers”) of Lehman Brothers Institutional Liquidity Funds (the “Trust”). All persons named as Trustees and Officers also serve in similar capacities for other funds administered or managed by Neuberger Berman Management Inc. (“Management”) and Lehman Brothers Asset Management LLC (“LBAM”). The Statement of Additional Information includes additional information about the Trustees and Officers and is available upon request, without charge, by calling (888) 556-9030.
Information about the Board of Trustees
| | | | | | | | |
| Name, Age, and Address(1) | | Position and
Length of
Time Served(2) | | Principal Occupation(s)(3) | | Number of
Funds in
Fund Complex
Overseen by
Trustee(4) | | Other Directorships Held
Outside Fund Complex by
Trustee |
| | | | |
| Independent Trustees | | | | | | | | |
| | | | |
| John Cannon (78) | | Trustee since 2005 | | Consultant; formerly, Chairman, CDC Investment Advisers (registered investment adviser), 1993 to January 1999; formerly, President and Chief Executive Officer, AMA Investment Advisors, an affiliate of the American Medical Association. | | 62 | | Independent Trustee or Director of three series of Oppenheimer Funds: Oppenheimer Limited Term New York Municipal Fund, Rochester Fund Municipals, and Oppenheimer Convertible Securities Fund since 1992. |
| | | | |
| Faith Colish (72) | | Trustee since 2005 | | Counsel, Carter Ledyard & Milburn LLP (law firm) since October 2002; formerly, Attorney-at-Law and President, Faith Colish, A Professional Corporation, 1980 to 2002. | | 62 | | Formerly, Director (1997 to 2003) and Advisory Director (2003 to 2006), ABA Retirement Funds (formerly, American Bar Retirement Association) (not-for-profit membership corporation). |
| | | | |
| Martha C. Goss (58) | | Trustee since 2007 | | President, Woodhill Enterprises Inc./Chase Hollow Associates LLC (personal investment vehicle), since 2006; Chief Operating and Financial Officer, Hopewell Holdings LLC/Amwell Holdings, LLC (a holding company for a healthcare reinsurance company start-up), since 2003; formerly, Consultant, Resources Connection (temporary staffing), 2002 to 2006. | | 62 | | Director, Ocwen Financial Corporation (mortgage servicing), since 2005; Director, American Water (water utility), since 2003; Director, Channel Reinsurance (financial guaranty reinsurance), since 2006; Advisory Board Member, Attensity (software developer), since 2005; Director, Allianz Life of New York (insurance), since 2005; Director, Financial Women’s Association of New York (not for profit association), since 2003; Trustee Emerita, Brown University, since 1998. |
139
| | | | | | | | |
| Name, Age, and Address(1) | | Position and
Length of
Time Served(2) | | Principal Occupation(s)(3) | | Number of
Funds in
Fund Complex
Overseen by
Trustee(4) | | Other Directorships Held
Outside Fund Complex by
Trustee |
| | | | |
| C. Anne Harvey (70) | | Trustee since 2005 | | President, C.A. Harvey Associates, since October 2001; formerly, Director, AARP, 1978 to December 2001. | | 62 | | Formerly, President, Board of Associates to The National Rehabilitation Hospital’s Board of Directors, 2001 to 2002; formerly, Member, Individual Investors Advisory Committee to the New York Stock Exchange Board of Directors, 1998 to June 2002. |
| | | | |
| Robert A. Kavesh (80) | | Trustee since 2005 | | Marcus Nadler Professor Emeritus of Finance and Economics, New York University Stern School of Business; formerly, Executive Secretary-Treasurer, American Finance Association, 1961 to 1979. | | 62 | | Formerly, Director, The Caring Community (not-for-profit), 1997 to 2006; formerly, Director, DEL Laboratories, Inc. (cosmetics and pharmaceuticals), 1978 to 2004; formerly, Director, Apple Bank for Savings, 1979 to 1990; formerly, Director, Western Pacific Industries, Inc., 1972 to 1986 (public company). |
| | | | |
| Michael M. Knetter (48) | | Trustee since 2007 | | Dean, School of Business, University of Wisconsin - Madison; formerly, Professor of International Economics and Associate Dean, Amos Tuck School of Business - Dartmouth College, 1998 to 2002. | | 62 | | Trustee, Northwestern Mutual Series Fund, Inc., since February 2007; Director, Wausau Paper, since 2005; Director, Great Wolf Resorts, since 2004. |
| | | | |
| Howard A. Mileaf (71) | | Trustee since 2005 | | Retired; formerly, Vice President and General Counsel, WHX Corporation (holding company), 1993 to 2001. | | 62 | | Director, Webfinancial Corporation (holding company), since December 2002; formerly, Director WHX Corporation (holding company), January 2002 to June 2005; formerly, Director, State Theatre of New Jersey (not-for-profit theater), 2000 to 2005. |
140
| | | | | | | | |
| Name, Age, and Address(1) | | Position and
Length of
Time Served(2) | | Principal Occupation(s)(3) | | Number of
Funds in
Fund Complex
Overseen by
Trustee(4) | | Other Directorships Held
Outside Fund Complex by
Trustee |
| | | | |
| George W. Morriss (60) | | Trustee since 2007 | | Formerly, Executive Vice President and Chief Financial Officer, People’s Bank (a financial services company), 1991 to 2001. | | 62 | | Manager, Old Mutual 2100 fund complex (consisting of six funds) since October 2006 for four funds and since February 2007 for two funds. |
| | | | |
| Edward I. O’Brien (79) | | Trustee since 2005 | | Formerly, Member, Investment Policy Committee, Edward Jones, 1993 to 2001; President, Securities Industry Association (“SIA”) (securities industry’s representative in government relations and regulatory matters at the federal and state levels), 1974 to 1992; Adviser to SIA, November 1992 to November 1993. | | 62 | | Director, Legg Mason, Inc. (financial services holding company), since 1993; formerly, Director, Boston Financial Group (real estate and tax shelters), 1993 to 1999. |
| | | | |
| William E. Rulon (75) | | Trustee since 2005 | | Retired; formerly, Senior Vice President, Foodmaker, Inc. (operator and franchiser of restaurants), until January 1997. | | 62 | | Formerly, Director, Pro-Kids Golf and Learning Academy (teach golf and computer usage to “at risk” children), 1998 to 2006; formerly, Director, Prandium, Inc. (restaurants), March 2001 to July 2002. |
| | | | |
| Cornelius T. Ryan (76) | | Trustee since 2005 | | Founding General Partner, Oxford Partners and Oxford Bioscience Partners (venture capital investing) and President, Oxford Venture Corporation, since 1981. | | 62 | | None. |
141
| | | | | | | | |
| Name, Age, and Address(1) | | Position and
Length of
Time Served(2) | | Principal Occupation(s)(3) | | Number of
Funds in
Fund Complex
Overseen by
Trustee(4) | | Other Directorships Held
Outside Fund Complex by
Trustee |
| | | | |
| Tom D. Seip (58) | | Trustee since 2005; Lead Independent Trustee beginning 2006 | | General Partner, Seip Investments LP (a private investment partnership); formerly, President and CEO, Westaff, Inc. (temporary staffing), May 2001 to January 2002; formerly, Senior Executive at the Charles Schwab Corporation, 1983 to 1998, including Chief Executive Officer, Charles Schwab Investment Management, Inc., and Trustee, Schwab Family of Funds and Schwab Investments, 1997 to 1998, and Executive Vice President-Retail Brokerage, Charles Schwab & Co., Inc., 1994 to 1997. | | 62 | | Director, H&R Block, Inc. (financial services company), since May 2001; Chairman, Compensation Committee, H&R Block, Inc., since 2006; Director, America One Foundation, since 1998; formerly, Chairman, Governance and Nominating Committee, H&R Block, Inc., 2004 to 2006; formerly, Director, Forward Management, Inc. (asset management company), 1999 to 2006; formerly, Director, E-Bay Zoological Society, 1999 to 2003; formerly, Director, General Magic (voice recognition software), 2001 to 2002; formerly, Director, E-Finance Corporation (credit decisioning services), 1999 to 2003; formerly, Director, Save-Daily.com (micro investing services), 1999 to 2003. |
| | | | |
| Candace L. Straight (60) | | Trustee since 2005 | | Private investor and consultant specializing in the insurance industry; formerly, Advisory Director, Securitas Capital LLC (a global private equity investment firm dedicated to making investments in the insurance sector), 1998 to December 2003. | | 62 | | Director, Montpelier Re (reinsurance company), since 2006; Director, National Atlantic Holdings Corporation (property and casualty insurance company), since 2004; Director, The Proformance Insurance Company (property and casualty insurance company), since March 2004; formerly, Director, Providence Washington Insurance Company (property and casualty insurance company), December 1998 to March 2006; formerly, Director, Summit Global Partners (insurance brokerage firm), 2000 to 2005. |
142
| | | | | | | | |
| Name, Age, and Address(1) | | Position and
Length of
Time Served(2) | | Principal Occupation(s)(3) | | Number of
Funds in
Fund Complex
Overseen by
Trustee(4) | | Other Directorships Held
Outside Fund Complex by
Trustee |
| | | | |
| Peter P. Trapp (63) | | Trustee since 2005 | | Retired; formerly, Regional Manager for Mid-Southern Region, Ford Motor Credit Company, September 1997 to 2007; formerly, President, Ford Life Insurance Company, April 1995 to August 1997. | | 62 | | None. |
| | | |
| Trustees who are “Interested Persons” | | | | | | |
| | | | |
| Jack L. Rivkin* (67) | | President and Trustee since 2005 | | Executive Vice President and Chief Investment Officer, Neuberger Berman Inc. (holding company), since 2002 and 2003, respectively; Managing Director and Chief Investment Officer, Neuberger Berman, LLC (“Neuberger”), since December 2005 and 2003, respectively; formerly, Executive Vice President, Neuberger, December 2002 to 2005; Director and Chairman, Management, since December 2002; formerly, Executive Vice President, Citigroup Investments, Inc., September 1995 to February 2002; formerly, Executive Vice President, Citigroup Inc., September 1995 to February 2002. | | 62 | | Director, Dale Carnegie and Associates, Inc. (private company), since 1998; Director, Solbright, Inc. (private company), since 1998. |
143
| | | | | | | | |
| Name, Age, and Address(1) | | Position and
Length of
Time Served(2) | | Principal Occupation(s)(3) | | Number of
Funds in
Fund Complex
Overseen by
Trustee(4) | | Other Directorships Held
Outside Fund Complex by
Trustee |
| | | | |
| Peter E. Sundman* (48) | | Chairman of the Board, Chief Executive Officer and Trustee since 2005 | | Executive Vice President, Neuberger Berman Inc. (holding company), since 1999; Head of Neuberger Berman Inc.’s Mutual Funds Business (since 1999) and Institutional Business (1999 to October 2005); responsible for Managed Accounts Business and intermediary distribution since October 1999; President and Director, Management since 1999; Managing Director, Neuberger, since 2005; formerly, Executive Vice President, Neuberger, 1999 to December 2005; formerly, Principal, Neuberger, 1997 to 1999; formerly, Senior Vice President, Management, 1996 to 1999. | | 62 | | Director and Vice President, Neuberger & Berman Agency, Inc., since 2000; formerly, Director, Neuberger Berman Inc. (holding company), October 1999 to March 2003; Trustee, Frost Valley YMCA; Trustee, College of Wooster. |
| (1) | The business address of each listed person is 605 Third Avenue, New York, New York 10158. |
| (2) | Pursuant to the Trust’s Trust Instrument, each Trustee shall hold office for life or until his or her successor is elected or the Trust terminates; except that (a) any Trustee may resign by delivering a written resignation; (b) any Trustee may be removed with or without cause at any time by a written instrument signed by at least two-thirds of the other Trustees; (c) any Trustee who requests to be retired, or who has become unable to serve, may be retired by a written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any shareholder meeting by a vote of at least two-thirds of the outstanding shares. |
| (3) | Except as otherwise indicated, each individual has held the positions shown for at least the last five years. |
| (4) | For funds organized in a master-feeder structure, we count the master fund and its associated feeder funds as a single portfolio. |
| * | Indicates a Trustee who is an “interested person” within the meaning of the 1940 Act. Mr. Sundman and Mr. Rivkin are interested persons of the Trust by virtue of the fact that they are officers and/or directors of Management and/or LBAM. |
144
Information about the Officers of the Trust
| | | | |
| Name, Age, and Address(1) | | Position and
Length of Time
Served(2) | | Principal Occupation(s)(3) |
| | |
| Andrew B. Allard (46) | | Anti-Money Laundering Compliance Officer since 2005 | | Senior Vice President, Neuberger, since 2006; Deputy General Counsel, Neuberger, since 2004; formerly, Vice President, Neuberger, 2000 to 2005; formerly, Associate General Counsel, Neuberger, 1999 to 2004; Anti-Money Laundering Compliance Officer, fifteen registered investment companies for which Management acts as investment manager and administrator (six since 2002, two since 2003, four since 2004, one since 2005 and two since 2006). |
| | |
| Michael J. Bradler (38) | | Assistant Treasurer since 2005 | | Vice President, Neuberger, since 2006; Employee, Management, since 1997; Assistant Treasurer, fifteen registered investment companies for which Management acts as investment manager and administrator (thirteen since 2005 and two since 2006). |
| | |
| Claudia A. Brandon (51) | | Secretary since 2005 | | Senior Vice President, Neuberger, since 2007; Vice President-Mutual Fund Board Relations, Management, since 2000 and Assistant Secretary since 2004; formerly, Vice President, Neuberger, 2002 to 2006 and Employee since 1999; Secretary, fifteen registered investment companies for which Management acts as investment manager and administrator (three since 1985, three since 2002, two since 2003, four since 2004, one since 2005 and two since 2006). |
| | |
| Robert Conti (51) | | Vice President since 2005 | | Managing Director, Neuberger, since 2007; formerly, Senior Vice President, Neuberger, 2003 to 2006; formerly, Vice President, Neuberger, 1999 to 2003; Senior Vice President, Management, since 2000; Vice President, fifteen registered investment companies for which Management acts as investment manager and administrator (three since 2000, three since 2002, two since 2003, four since 2004, one since 2005 and two since 2006). |
| | |
| Brian J. Gaffney (54) | | Vice President since 2005 | | Managing Director, Neuberger, since 1999; Senior Vice President, Management, since 2000; Vice President, fifteen registered investment companies for which Management acts as investment manager and administrator (three since 2000, three since 2002, two since 2003, four since 2004, one since 2005 and two since 2006). |
| | |
| Maxine L. Gerson (57) | | Chief Legal Officer since 2005 (only for purposes of sections 307 and 406 of the Sarbanes-Oxley Act of 2002) | | Senior Vice President, Neuberger, since 2002; Deputy General Counsel and Assistant Secretary, Neuberger, since 2001; Senior Vice President, Management, since 2006; Secretary and General Counsel, Management, since 2004; Chief Legal Officer (only for purposes of sections 307 and 406 of the Sarbanes-Oxley Act of 2002), fifteen registered investment companies for which Management acts as investment manager and administrator (thirteen since 2005 and two since 2006). |
| | |
| Sheila R. James (42) | | Assistant Secretary since 2005 | | Vice President, Neuberger, since 2008 and Employee since 1999; formerly, Assistant Vice President, Neuberger, 2007; Assistant Secretary, fifteen registered investment companies for which Management acts as investment manager and administrator (six since 2002, two since 2003, four since 2004, one since 2005 and two since 2006). |
145
| | | | |
| Name, Age, and Address(1) | | Position and
Length of Time
Served(2) | | Principal Occupation(s)(3) |
| | |
| Kevin Lyons (52) | | Assistant Secretary since 2005 | | Assistant Vice President, Neuberger, since 2008 and Employee since 1999; Assistant Secretary, fifteen registered investment companies for which Management acts as investment manager and administrator (eight since 2003, four since 2004, one since 2005 and two since 2006). |
| | |
| John M. McGovern (38) | | Treasurer and Principal Financial and Accounting Officer since 2005; prior thereto, Assistant Treasurer since 2005 | | Senior Vice President, Neuberger, since 2007; formerly, Vice President, Neuberger, 2004 to 2006; Employee, Management, since 1993; Treasurer and Principal Financial and Accounting Officer, fifteen registered investment companies for which Management acts as investment manager and administrator (thirteen since 2005 and two since 2006); formerly, Assistant Treasurer, fourteen registered investment companies for which Management acts as investment manager and administrator, 2002 to 2005. |
| | |
| Frank Rosato (37) | | Assistant Treasurer since 2005 | | Vice President, Neuberger, since 2006; Employee, Management, since 1995; Assistant Treasurer, fifteen registered investment companies for which Management acts as investment manager and administrator (thirteen since 2005 and two since 2006). |
| | |
| Frederic B. Soule (62) | | Vice President since 2005 | | Senior Vice President, Neuberger, since 2003; formerly, Vice President, Neuberger, 1999 to 2002; Vice President, fifteen registered investment companies for which Management acts as investment manager and administrator (three since 2000, three since 2002, two since 2003, four since 2004, one since 2005 and two since 2006). |
| | |
| Chamaine Williams (37) | | Chief Compliance Officer since 2005 | | Senior Vice President, Neuberger, since 2007; Chief Compliance Officer, Management, since 2006; Senior Vice President, Lehman Brothers Inc., since 2007; formerly, Vice President, Lehman Brothers Inc., 2003 to 2006; Chief Compliance Officer, fifteen registered investment companies for which Management acts as investment manager and administrator (fourteen since 2005 and one since 2006); formerly, Chief Compliance Officer, Lehman Brothers Asset Management Inc., 2003 to 2007; formerly, Chief Compliance Officer, Lehman Brothers Alternative Investment Management LLC, 2003 to 2007; formerly, Vice President, UBS Global Asset Management (US) Inc. (formerly, Mitchell Hutchins Asset Management, a wholly-owned subsidiary of PaineWebber Inc.), 1997 to 2003. |
| (1) | The business address of each listed person is 605 Third Avenue, New York, New York 10158. |
| (2) | Pursuant to the By-Laws of the Trust, each officer elected by the Trustees shall hold office until his or her successor shall have been elected and qualified or until his or her earlier death, inability to serve, or resignation. Officers serve at the pleasure of the Trustees and may be removed at any time with or without cause. |
| (3) | Except as otherwise indicated, each individual has held the positions shown for at least the last five years. |
146
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).
Notice to Shareholders (Unaudited)
For the fiscal period ended March 31, 2008, the percentages representing the portion of distributions from net investment income, which are exempt from federal tax, other than alternative minimum tax are as follows:
| | |
| Tax-Exempt Portfolio | | 100% |
| Municipal Portfolio | | 100% |
147
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.
H0297 05/08
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 was included as an exhibit to Registrant’s Form N-CSR filed on 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
The financial information provided below is that of the Registrant. This N-CSR relates only to Money Market Portfolio, Prime Portfolio, Treasury Portfolio, Government Portfolio, Government Reserves Portfolio, Tax-Exempt Portfolio and Municipal Portfolio, each a series of the Registrant (collectively, the “Funds”). Ernst & Young, LLP (“E&Y”) serves as independent registered public accounting firm to Money Market Portfolio, Government Portfolio, Government Reserves Portfolio and Municipal Portfolio. Tait, Weller & Baker LLP (“TW&B”) serves as independent registered public accounting firm to Prime Portfolio, Treasury Portfolio and Tax-Exempt Portfolio. Since Money Market Portfolio, Prime Portfolio, Treasury Portfolio, and Government Portfolio did not complete one full year of operations in 2007, the 2007 fees are only shown from commencement of operations of Money Market Portfolio, Prime Portfolio, Treasury Portfolio, and Government Portfolio.
(a) Audit Fees
The aggregate fees billed for professional services rendered by E&Y for the audit of the annual financial statements or services that are normally provided by E&Y in connection with statutory and regulatory filings or engagements were $25,000 and $61,200 for the fiscal years ended 2007 and 2008, respectively.
The aggregate fees billed for professional services rendered by TW&B for the audit of the annual financial statements or services that are normally provided by TW&B in connection with statutory and regulatory filings or engagements were $9,400 and $22,600 for the fiscal years ended 2007 and 2008, respectively.
(b) Audit-Related Fees
The aggregate fees billed to the Registrant for assurance and related services by E&Y that are reasonably related to the performance of the audit of the Registrant’s financial statements and are not reported above in Audit Fees were $0 and $0 for the fiscal years ended 2007 and 2008, respectively.
The fees billed to other entities in the investment company complex for assurance and related services by E&Y that are reasonably related to the performance of the audit that the Audit Committee was required to approve because the engagement related directly to the operations and financial reporting of the Registrant were $0 and $0 for the fiscal years ended 2007 and 2008, respectively.
The aggregate fees billed to the Registrant for assurance and related services by TW&B that are reasonably related to the performance of the audit of the Registrant’s financial statements and are not reported above in Audit Fees were $0 and $0 for the fiscal years ended 2007 and 2008, respectively.
The fees billed to other entities in the investment company complex for assurance and related services by TW&B that are reasonably related to the performance of the audit that the Audit Committee was required to approve because the engagement related directly to the operations and financial reporting of the Registrant were $0 and $0 for the fiscal years ended 2007 and 2008, respectively.
(c) Tax Fees
The aggregate fees billed to the Registrant for professional services rendered by E&Y for tax compliance, tax advice, and tax planning were $6,000 and $12,400 for the fiscal years ended 2007 and 2008, respectively. The nature of the services provided were tax compliance, tax advice, and tax planning. The Audit Committee approved 0% and 0% of these services provided by E&Y for the fiscal years ended 2007 and 2008, respectively, pursuant to the waiver provisions of Rule 2-01(c)(7)(i)(C) of Regulation S-X.
The fees billed to other entities in the investment company complex for professional services rendered by E&Y for tax compliance, tax advice, and tax planning that the Audit Committee was required to approve because the engagement related directly to the operations and financial reporting of the Registrant were $14,000 and $28,400 for the fiscal years ended 2007 and 2008, respectively. The nature of the services provided were tax compliance, tax advice, and tax planning. The Audit Committee approved 0% and 0% of these services provided by E&Y for the fiscal years ended 2007 and 2008, respectively, pursuant to the waiver provisions of Rule 2-01(c)(7)(i)(C) of Regulation S-X.
The aggregate fees billed to the Registrant for professional services rendered by TW&B for tax compliance, tax advice, and tax planning were $2,600 and $4,800 for the fiscal years ended 2007 and 2008, respectively. The nature of the services provided were tax compliance, tax advice, and tax planning. The Audit Committee approved 0% and 0% of these services provided by TW&B for the fiscal years ended 2007 and 2008, respectively, pursuant to the waiver provisions of Rule 2-01(c)(7)(i)(C) of Regulation S-X.
The fees billed to other entities in the investment company complex for professional services rendered by TW&B for tax compliance, tax advice, and tax planning that the Audit Committee was required to approve because the engagement related directly to the operations and financial reporting of the Registrant were $3,000 and $4,800 for the fiscal years ended 2007 and 2008, respectively. The nature of the services provided were tax compliance, tax advice, and tax planning. The Audit Committee approved 0% and 0% of these services provided by TW&B for the fiscal years ended 2007 and 2008, respectively, pursuant to the waiver provisions of Rule 2-01(c)(7)(i)(C) of Regulation S-X.
(d) All Other Fees
The aggregate fees billed to the Registrant for products and services provided by E&Y, other than services reported in Audit Fees, Audit-Related Fees, and Tax Fees were $0 and $0 for the fiscal years ended 2007 and 2008, respectively.
The fees billed to other entities in the investment company complex for products and services provided by E&Y, other than services reported in Audit Fees, Audit-Related Fees, and Tax Fees, that the Audit Committee was required to approve because the engagement related directly to the operations and financial reporting of the Registrant were $0 and $0 for the fiscal years ended 2007 and 2008, respectively.
The aggregate fees billed to the Registrant for products and services provided by TW&B, other than services reported in Audit Fees, Audit-Related Fees, and Tax Fees were $0 and $0 for the fiscal years ended 2007 and 2008, respectively.
The fees billed to other entities in the investment company complex for products and services provided by TW&B, other than services reported in Audit Fees, Audit-Related Fees, and Tax Fees, that the Audit Committee was required to approve because the engagement related directly to the operations and financial reporting of the Registrant were $0 and $0 for the fiscal years ended 2007 and 2008, respectively.
(e) Audit Committee’s Pre-Approval Policies and Procedures
(1) The Audit Committee’s pre-approval policies and procedures for the Registrant to engage an accountant to render audit and non-audit services delegate to each member of the Committee the power to pre-approve services between meetings of the Committee.
(2) None of the services described in paragraphs (b) through (d) above were approved by the Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Hours Attributed to Other Persons
Not applicable.
(g) Non-Audit Fees
Non-audit fees billed by E&Y for services rendered to the Registrant were $6,000 and $12,400 for the fiscal years ended 2007 and 2008, respectively.
Non-audit fees billed by E&Y for services rendered to the Registrant’s investment adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant were $475,000 and $400,000 for the fiscal years ended 2007 and 2008, respectively.
Non-audit fees billed by TW&B for services rendered to the Registrant were $2,600 and $4,800 for the fiscal years ended 2007 and 2008, respectively.
Non-audit fees billed by TW&B for services rendered to the Registrant’s investment adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant were $40,100 and $45,700 for the fiscal years ended 2007 and 2008, respectively.
(h) The Audit Committee of the Board considered whether the provision of non-audit services rendered to the Registrant’s investment adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant that were not pre-approved by the Audit Committee because the engagement did not relate directly to the operations and financial reporting of the Registrant is compatible with maintaining E&Y’s and TW&B’s independence.
Item 5. Audit Committee of Listed Registrants
Not applicable to the Registrant.
Item 6. Schedule of Investments
The complete schedule of investments for the Funds is disclosed in the Registrant’s 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.
(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: June 5, 2008
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: June 5, 2008
By: ___/s/ John M. McGovern _______
John M. McGovern
Treasurer and Principal Financial
and Accounting Officer
Date: June 5, 2008
