As filed with the Securities and Exchange Commission on December 5, 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.
K&L Gates 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, 2009
Date of reporting period: September 30, 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
Neuberger Berman Treasury Fund
Tax-Exempt Portfolio
Municipal Portfolio
Semi-Annual Report
September 30, 2008
Contents
THE PORTFOLIOS | |||||||
Chairman's Letter | 1 | ||||||
PORTFOLIO COMMENTARY/MATURITY DIVERSIFICATION | |||||||
Money Market Portfolio | 3 | ||||||
Prime Portfolio | 3 | ||||||
Government Portfolio | 6 | ||||||
Government Reserves Portfolio | 6 | ||||||
Neuberger Berman Treasury Fund | 6 | ||||||
Tax-Exempt Portfolio | 8 | ||||||
Municipal Portfolio | 11 | ||||||
Portfolio Expense Information | 18 | ||||||
FINANCIAL STATEMENTS | 22 | ||||||
FINANCIAL HIGHLIGHTS/PER SHARE DATA | |||||||
Money Market Portfolio | 43 | ||||||
Prime Portfolio | 47 | ||||||
Government Portfolio | 51 | ||||||
Government Reserves Portfolio | 55 | ||||||
Neuberger Berman Treasury Fund | 59 | ||||||
Tax-Exempt Portfolio | 63 | ||||||
Municipal Portfolio | 70 | ||||||
THE MASTER SERIES' | |||||||
SCHEDULE OF INVESTMENTS | |||||||
Money Market Master Series | 79 | ||||||
Prime Master Series | 81 | ||||||
Government Master Series | 82 | ||||||
Government Reserves Master Series | 83 | ||||||
Treasury Master Series | 84 | ||||||
Tax-Exempt Master Series | 85 | ||||||
Municipal Master Series | 89 | ||||||
FINANCIAL STATEMENTS | 96 | ||||||
FINANCIAL HIGHLIGHTS | |||||||
Money Market Master Series | 108 | ||||||
Prime Master Series | 109 | ||||||
Government Master Series | 110 | ||||||
Government Reserves Master Series | 111 | ||||||
Treasury Master Series | 112 | ||||||
Tax-Exempt Master Series | 113 | ||||||
Municipal Master Series | 114 | ||||||
Directory | 116 | ||||||
Proxy Voting Policies and Procedures | 117 | ||||||
Quarterly Portfolio Schedule | 117 | ||||||
Board Consideration of the Management and Sub-Advisory Agreements | 117 | ||||||
©2008 Lehman Brothers Asset Management LLC All rights reserved.
Chairman's Letter
Dear Shareholder,
I am pleased to present to you this semi-annual report for the Lehman Brothers Institutional Liquidity Funds for the six-month period ended September 30, 2008. The report includes portfolio manager commentaries, a listing of Fund investments and their unaudited financial statements for the reporting period.
The six-month period was difficult for the capital markets, characterized by an intensifying credit crisis, concerns about economic growth and dramatic changes in the financial landscape involving high profile failures, mergers and federal bailouts of once dominant financial institutions. Seeking to stem the tide, the U.S. government engaged in a number of interventions, most prominently in approving (shortly after the period's close) an historic rescue package involving the purchase of subprime mortgage debt now burdening financial company balance sheets. The Federal Reserve, for its part, continued to look for ways to introduce liquidity into the economy, both through lending facilities and (again, post-period) rate cuts coordinated with other central banks.
Throughout the market turmoil, our Funds admirably served their function of providing yield while preserving investor capital. To offer additional assurance to investors, we also have elected to participate in the U.S. Treasury Temporary Guarantee Program for Money Market Funds, under which the Treasury will guarantee investors $1.00 per share for each share held on September 19, 2008 of any eligible money market fund that participates. The insurance program currently runs until December 18, 2008, after which the Treasury may elect to extend it for an additional period, but not beyond September 18, 2009.
Please be assured that we will continue to rigorously apply our investment discipline as we work through this difficult period for the markets. Thank you for your trust in us. We look forward to continuing to serve you in the years ahead.
Sincerely,
PETER SUNDMAN
CHAIRMAN OF THE BOARD
LEHMAN BROTHERS INSTITUTIONAL LIQUIDITY FUNDS
1
Institutional Liquidity Funds Commentaries
We are pleased to report that both the Money Market Portfolio Institutional Class and the Prime Portfolio Institutional Class outperformed the iMoneyNet Money Fund Report Taxable First Tier Institutional Average for the six-month period ended September 30, 2008.
The reporting period was highlighted by a massive flight to quality by investors, record levels of volatility, a major credit crunch and a wide range of aggressive plans by the federal government to loosen credit conditions and shore up the ailing economy.
The period started off with new indications that confirmed investors' fears of a continuing economic slowdown. In April, data revealed that housing starts reached a 17-year low while the S&P/Case–Shiller Home Price Indices showed the biggest annual drop in home prices on record. The Fed reacted by lowering the Fed Funds rate a quarter of a percentage point to 2% on the last day of April with hopes of minimizing any future economic downturn.
As the six-month period progressed, debt holdings backed by defaulted mortgages continued to cause widespread pain in the fixed income market. As the economy continued to slow, mortgage providers Fannie Mae and Freddie Mac, which either own or insure half of the U.S. mortgage market, neared collapse, prompting the federal government to take over the troubled companies in September and provide them with fresh capital.
In September, the debt debacle reached new milestones as Lehman Brothers sought bankruptcy protection and Merrill Lynch agreed to be acquired by Bank of America. In addition, AIG, which insures debt owned by many financial institutions, revealed that it, too, was faltering, prompting a move by the federal government to engineer an $80 billion bailout of the troubled company. Other banks such as Wachovia and Washington Mutual, were stung by a lack of confidence surrounding their mortgage-related holdings.
The developments caused many investors to panic and sell equities, bonds and even short-term debt such as commercial paper. As part of the sell-off, many investors liquidated money market fund holdings, using the proceeds to purchase short-term Treasuries; the latter eventually reached a premium so high that they briefly carried negative yields. At the end of the reporting period, three-month Treasury bills yielded only 0.92%, compared to the 1.38% yield at the beginning of the six-month period, while yields on two-year U.S. Treasuries rose from 1.62% to 2.00%.
The overall turmoil and loss of confidence caused the Fed to take a range of additional steps, most significantly a $700 billion plan to buy up distressed debt from troubled financial institutions. Although the bailout plan was initially rejected by the U.S. House of Representatives, a revised version was passed after the reporting period ended and signed into law. As of this writing, bailout architects were also considering purchasing equity stakes in banks, guaranteeing short-term loans that banks make among one another and increasing the size of bank accounts that the FDIC will insure beyond the current $100,000 limit. Specifically affecting the money markets, in September, the U.S. Treasury created the Temporary Guarantee Program for Money Market Funds, which extends limited insurance to participating funds on behalf of investors.
The Fed, meanwhile, continued to walk a fine line in maintaining monetary policy, leaving the Fed Funds rate unchanged at 2.00% for the last five months of the reporting period. (As of this writing, the Fed had lowered rates an additional two times, reaching a low rate of just 1.00%. Interest rates were also cut by central banks in South Korea, Hong Kong, Taiwan, England, China, Canada, Sweden and Switzerland and by the European Central Bank. The rate cuts marked the first time in history that so many banks have launched a coordinated attack against a slowing economy.)
Early in the reporting period, the Fed had expressed concern that rising commodity prices for oil and various food items could spark inflation. Such fears appear to have subsided as many indicators point to an economic slowdown. Indeed, jobs have been shed every month this calendar year; if this continues, we believe the trend could exacerbate the slowdown at a time when mortgage delinquencies are rising and home prices are declining. Moreover, the economy has yet to feel the full effect of variable-rate mortgages resetting to higher rates.
2
Overall, investor sentiment will remain hugely important in the coming months, as a positive reaction to the global efforts to bail out failed banks and create liquidity could play a major role in getting the economy back on track.
Money Market Portfolio
For the six-month period ended September 30, 2008, the Money Market Portfolio Institutional Class returned 1.30% compared to the iMoneyNet Money Fund Report Taxable First Tier Institutional Average's 1.21%. The Portfolio ended the period with a 1.83% seven-day current yield and a 1.85% seven-day effective yield; these more closely reflect current earnings than six-month 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 from 38.8 days on March 31, 2008 to 28.7 days on September 30, 2008. As the credit markets seized up during market disruptions, including large bankruptcies, numerous downgrades by the rating agencies and unprecedented actions by the U.S. government to help stimulate liquidity in the credit markets, we purchased highly-rated commercial paper and certificates of deposit issued by highly-rated banks. Securities that we purchased ranged in maturity from overnight to three months. Our conservative guidelines and stringent credit policies enabled us to limit exposure to products and issuers that experienced problems during the six-month period. The Portfolio remains extremely liquid with over 40% being in a combination of cash and overnight securities and 100% of the portfolio maturing in less than three months. The credit quality of the Portfolio remains in high quality issuers, with almost 60% of investments in A-1+ rated securities.
Prime Portfolio
For the six-month period ended September 30, 2008, the Prime Portfolio Institutional Class returned 1.28% compared to the iMoneyNet Money Fund Report Taxable First Tier Institutional Average's 1.21%. The Portfolio closed the period with a 2.26% seven-day current yield and a 2.29% seven-day effective yield; these more closely reflect current earnings than the six-month 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 from 41.2 days on March 31, 2008 to 24.3 days on September 30, 2008. As the credit markets seized up during market disruption including large bankruptcies, along with numerous downgrades, and unprecedented actions by the U.S. government to help stimulate liquidity in the credit markets we purchased highly rated commercial paper and certificates of deposit issued by highly rated banks. The securities purchased ranged in maturity from overnight to three months. Our conservative guidelines and stringent credit policies enabled us to limit exposure to products and issuers that experienced problems during the six month period. The Portfolio remains extremely liquid with over 34% being in a combination of cash and overnight securities and 100% of the portfolio maturing in less than three months. The credit quality of the Portfolio remains in high quality issuers, with over 70% of investments in A-1+ rated securities.
Sincerely,
JOHN C. DONOHUE AND TIMOTHY J. ROBEY
PORTFOLIO CO-MANAGERS
3
Institutional Liquidity Funds
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 |
TICKER SYMBOLS
PRIME PORTFOLIO
Institutional Class: | LBLXX | ||||||
Cash Management Class: | LBQXX | ||||||
Capital Class: | LBSXX | ||||||
Select Class: | LBVXX | ||||||
Administrative Class: | LBWXX | ||||||
Service Class: | LBYXX | ||||||
Premier Class: | LBZXX |
MONEY MARKET MASTER SERIES
MATURITY DIVERSIFICATION
(% by Maturity) | |||||||
1 – 7 Days | 10.2 | % | |||||
8 – 30 Days | 45.0 | ||||||
31 – 90 Days | 44.8 | ||||||
91 – 180 Days | 0.0 | ||||||
181 + Days | 0.0 |
PRIME MASTER SERIES
MATURITY DIVERSIFICATION
(% by Maturity) | |||||||
1 – 7 Days | 32.0 | % | |||||
8 – 30 Days | 30.2 | ||||||
31 – 90 Days | 37.8 | ||||||
91 – 180 Days | 0.0 | ||||||
181 + Days | 0.0 |
PERFORMANCE HIGHLIGHTS
The seven-day current and seven-day effective yields as of September 30, 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 | 1.83 | % | 1.85 | % | 1.70 | % | 1.71 | % | 1.65 | % | 1.66 | % | 1.60 | % | 1.61 | % | 1.50 | % | 1.51 | % | 1.35 | % | 1.36 | % | 1.26 | % | 1.27 | % | |||||||||||||||||||||||||||||||
Prime Portfolio | 2.26 | % | 2.29 | % | 2.16 | % | 2.18 | % | 2.11 | % | 2.13 | % | 2.06 | % | 2.08 | % | 1.96 | % | 1.98 | % | 1.81 | % | 1.83 | % | 1.71 | % | 1.72 | % |
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, visit www.lehman.com/lbilf. 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 at fiscal year end for the Money Market Portfolio were 0.29%, 0.33%, 0.36%, 0.41%, 0.51%, 0.66% and 0.76% 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 3/31/2011 for all share classes.
As stated in the Fund's most recent prospectus, the estimated total annual fund operating expense ratios at fiscal year end for the Prime Portfolio were 0.21%, 0.26%, 0.31%, 0.36%, 0.47%, 0.62% and 0.71% 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 3/31/2011 for all share classes.
4
Institutional Liquidity Funds Commentaries
We are pleased to report that the Government Portfolio Institutional Class and the Government Reserves Portfolio Institutional Class outperformed the iMoneyNet Money Fund Report Government & Agencies Institutional Average while the Neuberger Berman Treasury Fund Institutional Class outperformed the iMoneyNet Money Fund Report Treasury & Repo Institutional Average for the six-month period ended September 30, 2008.
The reporting period was highlighted by a massive flight to quality by investors, record levels of volatility, a major credit crunch and a wide range of aggressive plans by the federal government to loosen credit conditions and shore up the ailing economy.
The period started off with new indications that confirmed investors' fears of a continuing economic slowdown. In April, data revealed that housing starts reached a 17-year low while the S&P/Case–Shiller Home Price Indices showed the biggest annual drop in home prices on record. The Fed reacted by lowering the Fed Funds rate a quarter of a percentage point to 2% on the last day of April with hopes of minimizing any future economic downturn.
As the six-month period progressed, debt holdings backed by defaulted mortgages continued to cause widespread pain in the fixed income market. As the economy continued to slow, mortgage providers Fannie Mae and Freddie Mac, which either own or insure half of the U.S. mortgage market, neared collapse, prompting the federal government to bailout the troubled companies in September and provide them with fresh capital.
In September, the debt debacle reached new milestones as Lehman Brothers sought bankruptcy protection and Merrill Lynch agreed to be acquired by Bank of America. In addition, AIG, which insures debt owned by many financial institutions, revealed that it, too, was faltering, prompting a move by the federal government to engineer an $80 billion bailout of the troubled company. Other banks, such as Wachovia and Washington Mutual, were stung by a lack of confidence surrounding their mortgage-related holdings.
The developments caused many investors to panic and sell equities, bonds and even short-term debt such as commercial paper. As part of the sell-off, many investors liquidated money market fund holdings, using the proceeds to purchase short-term Treasuries; the latter eventually reached a premium so high that they briefly carried negative yields. At the end of the reporting period, three-month Treasury bills yielded only 0.92%, compared to the 1.38% yield at the beginning of the six-month period, while yields on two-year U.S. Treasuries rose from 1.62% to 2.00%.
The overall turmoil and loss of confidence caused the Fed to take a range of additional steps, most significantly a $700 billion plan to buy up distressed debt from troubled financial institutions. Although the bailout plan was initially rejected by the U.S. House of Representatives, a revised version was passed after the reporting period and signed into law. As of this writing, bailout architects were also considering purchasing equity stakes in banks, guaranteeing short-term loans that banks make among one another and increasing the size of bank accounts that the FDIC will insure beyond the current $100,000 limit. Specifically affecting the money markets, in September, the U.S. Treasury created the Temporary Guarantee Program for Money Market Funds, which extends limited insurance to participating funds on behalf of investors.
In the tax-exempt sector, the bank failures presented unique challenges. Banks provide various forms of a credit enhancement to 95% of the tax-exempt variable rate demand obligation market. As banks folded, managers of tax-free portfolios were forced to liquidate substantial holdings and find new banks or guarantors to replace these once top-pedigree banks.
The Fed, meanwhile, continued to walk a fine line in maintaining monetary policy, leaving the Federal Funds rate unchanged at 2.00% for the last five months of the reporting period. (As of this writing, the Fed had just lowered rates another two times, reaching a low rate of 1.00%. Interest rates were also cut by central banks in South Korea, Hong Kong, Taiwan, England, China, Canada, Sweden and Switzerland and by the European Central Bank. The rate cuts marked the first time in history that so many banks have launched a coordinated attack against a slowing economy.)
Early in the reporting period, the Fed had expressed concern that rising commodity prices for oil and various food items, could spark inflation. Such fears appear to have subsided as many indicators point to an economic slowdown. Indeed,
5
jobs have been shed every month this calendar year; if this continues, we believe the trend could exacerbate the slowdown at a time when mortgage delinquencies are rising and home prices are declining. Moreover, the economy has yet to feel the full effect of variable-rate mortgages resetting to higher rates.
Overall, investor sentiment will remain hugely important in the coming months, as a positive reaction to the global efforts to bail out failed banks and create liquidity could play a major role in getting the economy back on track.
Government Portfolio
For the six-month period ended September 30, 2008, the Government Portfolio Institutional Class returned 1.11% compared to the iMoneyNet Money Fund Report Government & Agencies Institutional Average's 1.01%. The Portfolio closed the period with a 1.30% seven-day current yield and a 1.31% seven-day effective yield; these more closely reflect current earnings than six-month figures. (Performance information for the other classes of the Portfolio is available in the chart following this commentary.)
The Portfolio has placed an emphasis on liquidity given the dire state of the credit markets, which led to the effective bailout of Fannie Mae and Freddie Mac. The Portfolio is heavily weighted in overnight repurchase agreements backed by U.S. government securities equal in value to 102% of the amount due to the Portfolio. The weighted average maturity of the Portfolio was 24.6 days as of the end of the period.
Government Reserves Portfolio
For the six-month period ended September 30, 2008, the Government Reserves Portfolio Institutional Class returned 1.07% compared to the iMoneyNet Money Fund Report Government and Agencies Institutional Average's 1.01%. The Portfolio closed the period with a 1.10% seven-day current yield and a 1.11% seven-day effective yield; these more closely reflect current earnings than six-month figures. (Performance information for the other classes of the Portfolio is available in the chart following this commentary.)
The Portfolio has placed an emphasis on liquidity given the dire state of the credit markets, which led to the bail out of Fannie Mae and Freddie Mac. The weighted average maturity of the Portfolio was 27.1 days at the end of the period.
Neuberger Berman Treasury Fund
For the six-month period ended September 30, 2008, the Neuberger Berman Treasury Fund, formerly Treasury Portfolio, Institutional Class returned 0.90% compared to the iMoneyNet Money Fund Report Treasury & Repo Institutional Average's 0.78%. The Fund closed the period with a 0.13% seven-day current yield and a 0.13% seven-day effective yield; these more closely reflect current earnings than six-month figures. (Performance information for the other classes of the Fund is available in the chart following this commentary.)
The Fund was 100% invested in overnight repurchase agreements entirely backed by U.S. Treasury collateral. Over time, in our opinion, repurchase agreements offer incremental yield over Treasury issues such as bills although yields on both have been driven to historic lows on the back of a flight to quality bid. The Fund's weighted average maturity ended the period at one day.
Sincerely,
John C. Donohue and Eric D. Hiatt
Portfolio Co-Managers
6
Institutional Liquidity Funds
TICKER SYMBOLS
GOVERNMENT PORTFOLIO
Institutional Class: | LHBXX | ||||||
Cash Management Class: | LHCXX | ||||||
Capital Class: | LHDXX | ||||||
Select Class: | LHFXX | ||||||
Administrative Class: | LHGXX | ||||||
Service Class: | LHHXX | ||||||
Premier Class: | LHJXX |
TICKER SYMBOLS
GOVERNMENT RESERVES PORTFOLIO
Institutional Class: | LGAXX | ||||||
Cash Management Class: | LGBXX | ||||||
Capital Class: | LGCXX | ||||||
Select Class: | LGDXX | ||||||
Administrative Class: | LGEXX | ||||||
Service Class: | LGFXX | ||||||
Premier Class: | LGGXX |
TICKER SYMBOLS
NEUBERGER BERMAN TREASURY FUND
Institutional Class: | LHKXX | ||||||
Cash Management Class: | LHLXX | ||||||
Capital Class: | LHMXX | ||||||
Select Class: | LHNXX | ||||||
Administrative Class: | LHPXX | ||||||
Service Class: | LHRXX | ||||||
Premier Class: | LHSXX |
GOVERNMENT MASTER SERIES
MATURITY DIVERSIFICATION
(% by Maturity) | |||||||
1 – 7 Days | 80.7 | % | |||||
8 – 30 Days | 0.9 | ||||||
31 – 90 Days | 7.8 | ||||||
91 – 180 Days | 7.1 | ||||||
181 + Days | 3.5 |
GOVERNMENT RESERVES MASTER SERIES
MATURITY DIVERSIFICATION
(% by Maturity) | |||||||
1 – 7 Days | 85.6 | % | |||||
8 – 30 Days | 0.4 | ||||||
31 – 90 Days | 0.1 | ||||||
91 – 180 Days | 7.1 | ||||||
181 + Days | 6.8 |
TREASURY MASTER SERIES
MATURITY DIVERSIFICATION
(% by Maturity) | |||||||
1 – 7 Days | 100.0 | % | |||||
8 – 30 Days | 0.0 | ||||||
31 – 90 Days | 0.0 | ||||||
91 – 180 Days | 0.0 | ||||||
181 + Days | 0.0 |
PERFORMANCE HIGHLIGHTS
The seven-day current and seven-day effective yields as of September 30, 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 | 1.30 | % | 1.31 | % | 1.19 | % | 1.20 | % | 1.14 | % | 1.15 | % | 1.09 | % | 1.10 | % | 1.00 | % | 1.00 | % | 0.84 | % | 0.84 | % | 0.74 | % | 0.74 | % | |||||||||||||||||||||||||||||||
Government Reserve Portfolio | 1.10 | % | 1.11 | % | 1.00 | % | 1.00 | % | 0.95 | % | 0.95 | % | 0.90 | % | 0.90 | % | 0.80 | % | 0.80 | % | 0.65 | % | 0.65 | % | 0.55 | % | 0.55 | % | |||||||||||||||||||||||||||||||
Neuberger Berman Treasury Fund | 0.13 | % | 0.13 | % | 0.07 | % | 0.07 | % | 0.04 | % | 0.04 | % | 0.02 | % | 0.02 | % | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % |
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.
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, visit www.lehman.com/lbilf. 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 at fiscal year end for the Government Portfolio were 0.22%, 0.28%, 0.33%, 0.37%, 0.46%, 0.63% and 0.73% 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 3/31/2011 for all share classes.
As stated in the Fund's most recent prospectus, the estimated total annual fund operating expense ratios at fiscal year end for the Government Reserves Portfolio were 0.26%, 0.33%, 0.38%, 0.43%, 0.53%, 0.68% and 0.78% 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 3/31/2011 for all share classes.
As stated in the Fund's most recent prospectus, the estimated total annual fund operating expense ratios at fiscal year end for the Neuberger Berman Treasury Fund were 0.22%, 0.30%, 0.35%, 0.40%, 0.50%, 0.65% and 0.69% 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 0.69% 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 3/31/2011 for all share classes.
7
Institutional Liquidity Funds Commentaries
We are pleased to report that the Tax-Exempt Portfolio Institutional Class outperformed the iMoneyNet Money Fund Report Tax-Free National Institutional Average for the six month period ended September 30, 2008.
The reporting period was highlighted by a massive flight to quality by investors, record levels of volatility, a major credit crunch and a wide range of aggressive plans by the federal government to loosen credit conditions and shore up the ailing economy.
The period started off with new indications that confirmed investors' fears of a continuing economic slowdown. In April, data revealed that housing starts reached a 17-year low while the S&P/Case–Shiller Home Price Indices showed the biggest annual drop in home prices on record. The Fed reacted by lowering the Fed Fund rate a quarter of a percentage point to 2% on the last day of April with hopes of minimizing any future economic downturn.
As the six-month period progressed, debt holdings backed by defaulted mortgages continued to cause widespread pain in the fixed income market. As the economy continued to slow, mortgage providers Fannie Mae and Freddie Mac, which either own or insure half of the U.S. mortgage market, neared collapse, prompting the federal government to bailout the troubled companies in September and provide them with fresh capital.
In September, the debt debacle reached new milestones as Lehman Brothers sought bankruptcy protection and Merrill Lynch agreed to be acquired by Bank of America. In addition, AIG, which insures debt owned by many financial institutions, revealed that it, too, was faltering, prompting a move by the federal government to engineer an $80 billion bailout of the troubled company. Other banks, such as Wachovia and Washington Mutual, were stung by a lack of confidence surrounding their mortgage-related holdings.
The developments caused many investors to panic and sell equities, bonds and even short-term debt such as commercial paper. As part of the sell-off, many investors liquidated money market fund holdings, using the proceeds to purchase short-term Treasuries; the latter eventually reached a premium so high that they briefly carried negative yields. At the end of the reporting period, three-month Treasury bills yielded only 0.92%, compared to the 1.38% yield at the beginning of the six-month period, while yields on two-year U.S. Treasuries rose from 1.62% to 2.00%.
The overall turmoil and loss of confidence caused the Fed to take a range of additional steps, most significantly a $700 billion plan to buy up distressed debt from troubled financial institutions. Although the bailout plan was initially rejected by the U.S. House of Representatives, a revised version was passed after the reporting period and signed into law. As of this writing, bailout architects were also considering purchasing equity stakes in banks, guaranteeing short-term loans that banks make among one another and increasing the size of bank accounts that the FDIC will insure beyond the current $100,000 limit. Specifically affecting the money markets, in September, the U.S. Treasury created the Temporary Guarantee Program for Money Market Funds, which extends limited insurance to participating funds on behalf of investors.
In the tax-exempt sector, the bank failures presented unique challenges. Banks provide various forms of a credit enhancement to 95% of the tax-exempt variable rate demand obligation market. As banks folded, managers of tax-free portfolios were forced to liquidate substantial holdings and find new banks or guarantors to replace these once top-pedigree banks.
The Fed, meanwhile, continued to walk a fine line in maintaining monetary policy, leaving the Fed Funds rate unchanged at 2.00% for the last five months of the reporting period. (As of this writing, the Fed had just lowered rates another two times, reaching a low rate of just 1.00%. Interest rates were also cut by central banks in South Korea, Hong Kong, Taiwan, England, China, Canada, Sweden and Switzerland and by the European Central Bank. The rate cuts marked the first time in history that so many banks have launched a coordinated attack against a slowing economy.)
Early in the reporting period, the Fed had expressed concern that rising commodity prices, including oil and various food items, could spark inflation. Such fears appear to have subsided as many indicators point to an economic slowdown. Indeed, jobs have been shed every month this calendar year; if this continues, we believe the trend could exacerbate the
8
slowdown at a time when mortgage delinquencies are rising and home prices are declining. Moreover, the economy has yet to feel the full effect of variable-rate mortgages resetting to higher rates.
Overall, investor sentiment will remain hugely important in the coming months, as a positive reaction to the global efforts to bail out failed banks and create liquidity could play a major role in getting the economy back on track.
Performance and Yield Information8
For the six month period ended September 30, 2008, the Tax-Exempt Portfolio Institutional Class returned 1.38%, compared to the iMoneyNet Money Fund Report Tax-Free National Institutional Average's 0.95%. The Portfolio closed the reporting period with a 3.04% seven-day current yield and a 3.09% seven-day effective yield as well as a 4.68% seven-day tax-equivalent current yield and a 4.79% tax-equivalent effective yield; these more closely reflect current earnings than the six-month figures. (Performance information for the other classes of the Portfolio is available in the chart following this commentary.)
Our in-house credit team, which consists of four senior credit analysts, has always implemented a "belt and suspenders" approach when analyzing municipal credits. This process involves stripping away all credit enhancements and analyzing the underling issuers to ensure the issuers are of the highest quality and have the ability to meet timely payment of principal and interest.
This credit process involves analyzing the underlying issuer's current financials, cash flows, balance sheet and income statements, debt service levels, and socioeconomics and demographics. Regardless of the type of credit enhancement attached to a specific security, the credit team must feel confident in the underlying issuer's ability to pay. Over the past year, as numerous insurance companies and banks experienced downgrades, we felt confident that the securities in the Portfolio met minimal credit risk. In addition, for those securities that were downgraded on their insurance exposure, the securities were put back to the respective remarketing agents in advance of any downgrades that would have made them ineligible securities.
Sincerely,
William J. Furrer and Kristian J. Lind
Portfolio Co-Managers
9
Institutional Liquidity Funds
TICKER SYMBOL
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 |
TAX-EXEMPT MASTER SERIES
MATURITY DIVERSIFICATION
(% by Maturity) | |||||||
1 – 7 Days | 78.2 | % | |||||
8 – 30 Days | 2.4 | ||||||
31 – 90 Days | 4.1 | ||||||
91 – 180 Days | 11.3 | ||||||
181 + Days | 4.0 |
PERFORMANCE HIGHLIGHTS
The seven-day current, seven-day effective and seven-day tax-equivalent yields as of September 30, 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 | 3.04 | % | 3.09 | % | 4.79 | % | 2.93 | % | 2.97 | % | 4.61 | % | 2.88 | % | 2.92 | % | 4.53 | % | 2.83 | % | 2.87 | % | 4.44 | % |
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 | 2.73 | % | 2.77 | % | 4.29 | % | 2.58 | % | 2.61 | % | 4.05 | % | 2.50 | % | 2.53 | % | 3.92 | % |
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, visit www.lehman.com/lbilf. 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 at fiscal year end for the Tax-Exempt Portfolio were 0.42%, 0.42%, 0.59%, 0.64%, 0.74%, 0.89% and 0.95% 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 3/31/2011 for all share classes.
10
Institutional Liquidity Funds Commentaries
We are pleased to report that the Municipal Portfolio Institutional Class outperformed the iMoneyNet Money Fund Report Tax-Free National Institutional Average during the six-month period ended September 30, 2008. The reporting period was highlighted by a massive flight to quality by investors, record levels of volatility, a major credit crunch and a wide range of aggressive plans by the federal government to loosen credit conditions and shore up the ailing economy.
The reporting period was highlighted by a massive flight to quality by investors, record levels of volatility, a major credit crunch and a wide range of aggressive plans by the federal government to loosen credit conditions and shore up the ailing economy.
The period started off with new indications that confirmed investors' fears of a continuing economic slowdown. In April, data revealed that housing starts reached a 17-year low while the S&P/Case–Shiller Home Price Indices showed the biggest annual drop in homes prices on record. The Fed reacted by lowering the Fed Funds rate a quarter of a percentage point to 2% on the last day of April with hopes of minimizing any future economic downturn.
As the six-month period progressed, debt holdings backed by defaulted mortgages continued to cause widespread pain in the fixed income market. As the economy continued to slow, mortgage providers Fannie Mac and Freddie Mac, which either own or insure half of the U.S. mortgage market, neared collapsed, prompting the federal government to bailout the troubled companies in September and provide them with fresh capital.
In September, the debt debacle reached new milestones as Lehman Brothers sought bankruptcy protection and Merrill Lynch agreed to be acquired by Bank of America. In addition, AIG, which insures debt owned by many financial institutions, revealed that it, too, was faltering, prompting a move by the federal government to engineer an $80 billion bailout of the troubled company. Other banks such as Wachovia and Washington Mutual, were stung by a lack of confidence surrounding their mortgage-related holdings.
The developments caused many investors to panic and sell equities, bonds and even short-term debt such as commercial paper. As part of the sell-off, many investors liquidated money market fund holdings, using the proceeds to purchase short-term Treasuries; the latter eventually reached a premium so high that they briefly carried negative yields. At the end of the reporting period, three-month Treasury bills yielded only 0.92%, compared to the 1.38% yield at the beginning of the six-month period, while yields on two-year U.S. Treasuries rose from 1.62% to 2.00%.
The overall turmoil and loss of confidence caused the Fed to take a range of additional steps, most significantly a $700 billion plan to buy up distressed debt from troubled financial institutions. Although the bailout plan was initially rejected by the U.S. House of Representatives, a revised version was passed after the reporting period and signed into law. As of this writing, bailout architects were also considering purchasing equity stakes in banks, guaranteeing short-term loans that banks make among one another and increasing the size of bank accounts that the FDIC will insure beyond the current $100,000 limit. Specifically affecting the money markets, in September, the U.S. Treasury created the Temporary Guarantee Program for Money Market Funds, which extends limited insurance to participating funds on behalf of investors.
The Fed, meanwhile, continued to walk a fine line in maintaining monetary policy, leaving the Fed Funds rate unchanged at 2.00% for the last five months of the reporting period. (As of this writing, the Fed had just lowered rates another two times, bringing the rate to 1.00%. Interest rates were also cut by central banks in South Korea, Hong Kong, Taiwan, England, China, Canada, Sweden and Switzerland and by the European Central Bank. The rate cuts marked the first time in history that so many banks have launched a coordinated attack against a slowing economy.)
Early in the reporting period, the Fed had expressed concern that rising commodity prices, including for oil and various food items, could spark inflation. Such fears appear to have subsided as many indicators point to an economic slowdown. Indeed, jobs have been shed every month this calendar year; if this continues, we believe the trend could exacerbate the slowdown at a time when mortgage delinquencies are rising and home prices are declining. Moreover, the economy has yet to feel the full effect of variable-rate mortgages resetting to higher rates.
11
Overall, investor sentiment will remain hugely important in the coming months, as a positive reaction to the global efforts to bail out failed banks and create liquidity could play a major role in getting the economy back on track.
Performance and Yield Information8
For the six-month period ended September 30, 2008, the Municipal Portfolio Institutional Class returned 1.19%, compared to the 0.95% return of the iMoneyNet Money Fund Report Tax-Free National Institutional Average. The Portfolio closed the period with a 3.50% seven-day current yield and a 3.56% seven-day effective yield; as well as a 5.38% seven-day tax-equivalent current yield and a 5.52% tax-equivalent effective yield; these more closely reflect current earnings than the six-month figures. (Performance information for the other classes of the Portfolio is available in the chart following this commentary.)
Our in-house credit team, which consists of four senior credit analysts, has always implemented a "belt and suspenders" approach when analyzing municipal credits. This process involves stripping away all credit enhancements and analyzing the underling issuers to ensure the issuers are of the highest quality and have the ability to meet timely payment of principal and interest.
This credit process involves analyzing the underlying issuer's current financials, cash flows, balance sheet and income statements, debt service levels, and socioeconomics and demographics. Regardless of the type of credit enhancement attached to a specific security, the credit team must feel confident in the underlying issuer's ability to pay. Over the past year, as numerous insurance companies and banks experienced downgrades, we felt confident that the securities in the Portfolio met minimal credit risk. In addition, for those securities that were downgraded on their insurance exposure, the securities were put back to the respective remarketing agents in advance of any downgrades that would have made them ineligible securities.
Sincerely,
William J. Furrer and Kristian J. Lind
Portfolio Co-Managers
12
Institutional Liquidity Funds
TICKER SYMBOL
MUNICIPAL PORTFOLIO
Institutional Class: | LMAXX | ||||||
Cash Management Class: | LNBXX | ||||||
Capital Class: | LMCXX | ||||||
Select Class: | LMDXX | ||||||
Administrative Class: | LMEXX | ||||||
Service Class: | LMFXX | ||||||
Premier Class: | LMGXX |
MUNICIPAL MASTER SERIES
MATURITY DIVERSIFICATION
(% by Maturity) | |||||||
1 – 7 Days | 85.2 | % | |||||
8 – 30 Days | 2.2 | ||||||
31 – 90 Days | 3.7 | ||||||
91 – 180 Days | 8.9 | ||||||
181 + Days | 0.0 |
PERFORMANCE HIGHLIGHTS
The seven-day current, seven-day effective and seven-day tax-equivalent yields as of September 30, 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 | 3.50 | % | 3.56 | % | 5.52 | % | 3.45 | % | 3.51 | % | 5.45 | % | 3.40 | % | 3.46 | % | 5.37 | % | 3.35 | % | 3.41 | % | 5.28 | % |
Administrative Class1 | Service Class7 | Premier Class5 | |||||||||||||||||||||||||||||||||||||
7-day Current Yield | 7-day Effective Yield | Tax- Equivalent Effective Yield | 7-day Current Yield | 7-day Effective Yield | Tax- Equivalent Effective Yield | 7-day Current Yield | 7-day Effective Yield | Tax- Equivalent Effective Yield | |||||||||||||||||||||||||||||||
Municipal Portfolio | 3.25 | % | 3.30 | % | 5.12 | % | 3.10 | % | 3.15 | % | 4.88 | % | 3.00 | % | 3.04 | % | 4.73 | % |
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, visit www.lehman.com/lbilf. 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 at fiscal year end for the Municipal Portfolio were 0.68%, 0.83%, 1.19%, 1.24%, 1.34%, 1.49% and 1.58% 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 3/31/2011 for all share classes.
13
Endnotes
1 Neuberger Berman Management LLC ("Management") has contractually agreed to forgo current payment of fees and/or reimburse certain expenses of the Administrative Class of each Portfolio through 3/31/2011, 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, Government Portfolio, Government Reserves Portfolio and Neuberger Berman Treasury Fund an additional 0.10% per annum of the class' average daily net assets until June 30, 2008, and 0.08% until August 4, 2008. Management has voluntarily reimbursed the Administrative Class of Prime Portfolio an additional 0.10% per annum of the class' average daily net assets until June 30, 2008, and 0.08% until August 8, 2008. 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 until June 30, 2008. For the period ended September 30, 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 3/31/2011, 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, Government Portfolio, Government Reserves Portfolio and Neuberger Berman Treasury Fund an additional 0.10% per annum of the class' average daily net assets until June 30, 2008, and 0.08% until August 4, 2008. Management has voluntarily reimbursed the Capital Class of Prime Portfolio an additional 0.10% per annum of the class' average daily net assets until June 30, 2008, and 0.08% until August 8, 2008. 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 until June 30, 2008. For the period ended September 30, 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 3/31/2011, 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, Government Portfolio, Government Reserves Portfolio and Neuberger Berman Treasury Fund an additional 0.10% per annum of the class' average daily net assets until June 30, 2008, and 0.08% until August 4, 2008. Management has voluntarily reimbursed the Cash Management Class of Prime Portfolio an additional 0.10% per annum of the class' average daily net assets until June 30, 2008, and 0.08% until August 8, 2008. 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 until June 30,
14
Endnotes
2008. For the period ended September 30, 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 3/31/2011, 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 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, Government Portfolio, Government Reserves Portfolio and Neuberger Berman Treasury Fund an additional 0.10% per annum of the class' average daily net assets until June 30, 2008, 0.08% until August 4, 2008 and 0.05% thereafter. Management has voluntarily reimbursed the Institutional Class of Prime Portfolio an additional 0.10% per annum of the class' average daily net assets until June 30, 2008, 0.08% until August 8, 2008 and 0.05% thereafter. 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 until June 30, 2008. For the period ended September 30, 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 3/31/2011, 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, Government Portfolio, Government Reserves Portfolio and Treasury Portfolio an additional 0.10% per annum of the class' average daily net assets until June 30, 2008, and 0.08% until August 4, 2008. Management has voluntarily reimbursed the Premier Class of Prime Portfolio an additional 0.10% per annum of the class' average daily net assets until June 30, 2008, and 0.08% until August 8, 2008. 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 until June 30, 2008. In addition, Management also voluntarily reimbursed the Premier Class of Neuberger Berman Treasury Fund 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 September 30, 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 3/31/2011, 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, Government Portfolio, Government Reserves Portfolio and Neuberger Berman Treasury Fund an additional 0.10% per annum of the class' average daily net assets until June 30, 2008, and 0.08% until August 4, 2008. Management has voluntarily reimbursed the Select Class of Prime Portfolio an additional 0.10% per annum of the class' average daily
15
Endnotes
net assets until June 30, 2008, and 0.08% until August 8, 2008. 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 until June 30, 2008. For the period ended September 30, 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 3/31/2011, 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, Government Portfolio, Government Reserves Portfolio and Neuberger Berman Treasury Fund and additional 0.10% per annum of the class' average daily net assets until June 30, 2008, and 0.08% until August 4, 2008. Management has voluntarily reimbursed the Service Class of Prime Portfolio an additional 0.10% per annum of the class' average daily net assets until June 30, 2008, and 0.08% until August 8, 2008. 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 until June 30, 2008. In addition, Management voluntarily reimbursed the Service Class of Neuberger Berman Treasury Fund 0.06% and 0.01% of the class' net assets on March 20, 2008 and March 26, 2008, respectively. For the period ended September 30, 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.
16
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. | ||||||
iMoneyNet Money Fund Report Tax-Free National Institutional Average: | Measures all national tax-free and municipal institutional funds. Portfolio holdings of tax-free funds include Rated and Unrated Demand Notes, Rated and Unrated General Market Notes, Commercial Paper, Put Bonds — 6 months or less, Put Bonds — over 6 months, AMT Paper, and Other Tax-Free holdings. | ||||||
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 LLC and include reinvestment of all dividends and capital gain distributions. The Portfolios may invest in securities not included in the above-described indices.
17
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 September 30, 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. | ||||||
18
Expense Information as of 9/30/08 (Unaudited)
Lehman Brothers Institutional Liquidity Funds | |||||||||||||||||||||||||||||||||||
ACTUAL | HYPOTHETICAL (5% ANNUAL RETURN BEFORE EXPENSES)2 | ||||||||||||||||||||||||||||||||||
Beginning Account Value 4/1/08 | Ending Account Value 9/30/08 | Expenses Paid During the Period1 4/1/08 - 9/30/08 | Expense Ratio | Beginning Account Value 4/1/08 | Ending Account Value 9/30/08 | Expenses Paid During the Period1 4/1/08 - 9/30/08 | Expense Ratio | ||||||||||||||||||||||||||||
Money Market Portfolio | |||||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 1,013.00 | $ | 0.61 | .12 | % | $ | 1,000.00 | $ | 1,024.47 | $ | 0.61 | .12 | % | |||||||||||||||||||
Cash Management Class | $ | 1,000.00 | $ | 1,012.70 | $ | 0.91 | .18 | % | $ | 1,000.00 | $ | 1,024.17 | $ | 0.91 | .18 | % | |||||||||||||||||||
Capital Class | $ | 1,000.00 | $ | 1,012.40 | $ | 1.16 | .23 | % | $ | 1,000.00 | $ | 1,023.92 | $ | 1.17 | .23 | % | |||||||||||||||||||
Select Class | $ | 1,000.00 | $ | 1,012.10 | $ | 1.41 | .28 | % | $ | 1,000.00 | $ | 1,023.66 | $ | 1.42 | .28 | % | |||||||||||||||||||
Administrative Class | $ | 1,000.00 | $ | 1,011.60 | $ | 1.92 | .38 | % | $ | 1,000.00 | $ | 1,023.16 | $ | 1.93 | .38 | % | |||||||||||||||||||
Service Class | $ | 1,000.00 | $ | 1,010.90 | $ | 2.67 | .53 | % | $ | 1,000.00 | $ | 1,022.41 | $ | 2.69 | .53 | % | |||||||||||||||||||
Premier Class | $ | 1,000.00 | $ | 1,010.40 | $ | 3.18 | .63 | % | $ | 1,000.00 | $ | 1,021.91 | $ | 3.19 | .63 | % | |||||||||||||||||||
Prime Portfolio | |||||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 1,012.80 | $ | 0.56 | .11 | % | $ | 1,000.00 | $ | 1,024.52 | $ | 0.56 | .11 | % | |||||||||||||||||||
Cash Management Class | $ | 1,000.00 | $ | 1,012.50 | $ | 0.86 | .17 | % | $ | 1,000.00 | $ | 1,024.22 | $ | 0.86 | .17 | % | |||||||||||||||||||
Capital Class | $ | 1,000.00 | $ | 1,012.20 | $ | 1.16 | .23 | % | $ | 1,000.00 | $ | 1,023.92 | $ | 1.17 | .23 | % | |||||||||||||||||||
Select Class | $ | 1,000.00 | $ | 1,011.90 | $ | 1.41 | .28 | % | $ | 1,000.00 | $ | 1,023.66 | $ | 1.42 | .28 | % | |||||||||||||||||||
Administrative Class | $ | 1,000.00 | $ | 1,011.50 | $ | 1.87 | .37 | % | $ | 1,000.00 | $ | 1,023.21 | $ | 1.88 | .37 | % | |||||||||||||||||||
Service Class | $ | 1,000.00 | $ | 1,010.70 | $ | 2.67 | .53 | % | $ | 1,000.00 | $ | 1,022.41 | $ | 2.69 | .53 | % | |||||||||||||||||||
Premier Class | $ | 1,000.00 | $ | 1,010.20 | $ | 3.17 | .63 | % | $ | 1,000.00 | $ | 1,021.91 | $ | 3.19 | .63 | % | |||||||||||||||||||
Government Portfolio | |||||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 1,011.10 | $ | 0.55 | .11 | % | $ | 1,000.00 | $ | 1,024.52 | $ | 0.56 | .11 | % | |||||||||||||||||||
Cash Management Class | $ | 1,000.00 | $ | 1,010.80 | $ | 0.91 | .18 | % | $ | 1,000.00 | $ | 1,024.17 | $ | 0.91 | .18 | % | |||||||||||||||||||
Capital Class | $ | 1,000.00 | $ | 1,010.50 | $ | 1.16 | .23 | % | $ | 1,000.00 | $ | 1,023.92 | $ | 1.17 | .23 | % | |||||||||||||||||||
Select Class | $ | 1,000.00 | $ | 1,010.30 | $ | 1.41 | .28 | % | $ | 1,000.00 | $ | 1,023.66 | $ | 1.42 | .28 | % | |||||||||||||||||||
Administrative Class | $ | 1,000.00 | $ | 1,009.70 | $ | 1.91 | .38 | % | $ | 1,000.00 | $ | 1,023.16 | $ | 1.93 | .38 | % | |||||||||||||||||||
Service Class | $ | 1,000.00 | $ | 1,009.00 | $ | 2.67 | .53 | % | $ | 1,000.00 | $ | 1,022.41 | $ | 2.69 | .53 | % | |||||||||||||||||||
Premier Class | $ | 1,000.00 | $ | 1,008.50 | $ | 3.32 | .66 | % | $ | 1,000.00 | $ | 1,021.76 | $ | 3.35 | .66 | % | |||||||||||||||||||
Government Reserves Portfolio | |||||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 1,010.70 | $ | 0.60 | .12 | % | $ | 1,000.00 | $ | 1,024.47 | $ | 0.61 | .12 | % | |||||||||||||||||||
Cash Management Class | $ | 1,000.00 | $ | 1,010.30 | $ | 0.96 | .19 | % | $ | 1,000.00 | $ | 1,024.12 | $ | 0.96 | .19 | % | |||||||||||||||||||
Capital Class | $ | 1,000.00 | $ | 1,010.10 | $ | 1.21 | .24 | % | $ | 1,000.00 | $ | 1,023.87 | $ | 1.22 | .24 | % | |||||||||||||||||||
Select Class | $ | 1,000.00 | $ | 1,009.80 | $ | 1.46 | .29 | % | $ | 1,000.00 | $ | 1,023.61 | $ | 1.47 | .29 | % | |||||||||||||||||||
Administrative Class | $ | 1,000.00 | $ | 1,009.30 | $ | 1.96 | .39 | % | $ | 1,000.00 | $ | 1,023.11 | $ | 1.98 | .39 | % | |||||||||||||||||||
Service Class | $ | 1,000.00 | $ | 1,008.60 | $ | 2.72 | .54 | % | $ | 1,000.00 | $ | 1,022.36 | $ | 2.74 | .54 | % | |||||||||||||||||||
Premier Class | $ | 1,000.00 | $ | 1,008.10 | $ | 3.37 | .67 | % | $ | 1,000.00 | $ | 1,021.71 | $ | 3.40 | .67 | % | |||||||||||||||||||
Neuberger Berman Treasury Fund | |||||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 1,009.00 | $ | 0.60 | .12 | % | $ | 1,000.00 | $ | 1,024.47 | $ | 0.61 | .12 | % | |||||||||||||||||||
Cash Management Class | $ | 1,000.00 | $ | 1,008.70 | $ | 0.91 | .18 | % | $ | 1,000.00 | $ | 1,024.17 | $ | 0.91 | .18 | % | |||||||||||||||||||
Capital Class | $ | 1,000.00 | $ | 1,008.50 | $ | 1.16 | .23 | % | $ | 1,000.00 | $ | 1,023.92 | $ | 1.17 | .23 | % | |||||||||||||||||||
Select Class | $ | 1,000.00 | $ | 1,008.20 | $ | 1.41 | .28 | % | $ | 1,000.00 | $ | 1,023.66 | $ | 1.42 | .28 | % | |||||||||||||||||||
Administrative Class | $ | 1,000.00 | $ | 1,007.70 | $ | 1.91 | .38 | % | $ | 1,000.00 | $ | 1,023.16 | $ | 1.93 | .38 | % | |||||||||||||||||||
Service Class | $ | 1,000.00 | $ | 1,007.00 | $ | 2.67 | .53 | % | $ | 1,000.00 | $ | 1,022.41 | $ | 2.69 | .53 | % | |||||||||||||||||||
Premier Class | $ | 1,000.00 | $ | 1,006.60 | $ | 3.07 | .61 | % | $ | 1,000.00 | $ | 1,022.01 | $ | 3.09 | .61 | % | |||||||||||||||||||
Tax-Exempt Portfolio | |||||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 1,013.80 | $ | 0.91 | .18 | % | $ | 1,000.00 | $ | 1,024.17 | $ | 0.91 | .18 | % | |||||||||||||||||||
Cash Management Class | $ | 1,000.00 | $ | 1,013.60 | $ | 1.06 | .21 | % | $ | 1,000.00 | $ | 1,024.02 | $ | 1.07 | .21 | % | |||||||||||||||||||
Capital Class | $ | 1,000.00 | $ | 1,013.30 | $ | 1.41 | .28 | % | $ | 1,000.00 | $ | 1,023.66 | $ | 1.42 | .28 | % | |||||||||||||||||||
Select Class | $ | 1,000.00 | $ | 1,013.00 | $ | 1.67 | .33 | % | $ | 1,000.00 | $ | 1,023.41 | $ | 1.67 | .33 | % | |||||||||||||||||||
Administrative Class | $ | 1,000.00 | $ | 1,012.50 | $ | 2.17 | .43 | % | $ | 1,000.00 | $ | 1,022.91 | $ | 2.18 | .43 | % | |||||||||||||||||||
Service Class | $ | 1,000.00 | $ | 1,011.70 | $ | 2.92 | .58 | % | $ | 1,000.00 | $ | 1,022.16 | $ | 2.94 | .58 | % | |||||||||||||||||||
Premier Class | $ | 1,000.00 | $ | 1,011.20 | $ | 3.43 | .68 | % | $ | 1,000.00 | $ | 1,021.66 | $ | 3.45 | .68 | % |
19
Expense Information as of 9/30/08 cont'd (Unaudited)
ACTUAL | HYPOTHETICAL (5% ANNUAL RETURN BEFORE EXPENSES)2 | ||||||||||||||||||||||||||||||||||
Beginning Account Value 4/1/08 | Ending Account Value 9/30/08 | Expenses Paid During the Period1 4/1/08 - 9/30/08 | Expense Ratio | Beginning Account Value 4/1/08 | Ending Account Value 9/30/08 | Expenses Paid During the Period1 4/1/08 - 9/30/08 | Expense Ratio | ||||||||||||||||||||||||||||
Municipal Portfolio | |||||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 1,011.90 | $ | 0.91 | .18 | % | $ | 1,000.00 | $ | 1,024.17 | $ | 0.91 | .18 | % | |||||||||||||||||||
Cash Management Class | $ | 1,000.00 | $ | 1,011.50 | $ | 1.06 | .21 | % | $ | 1,000.00 | $ | 1,024.02 | $ | 1.07 | .21 | % | |||||||||||||||||||
Capital Class | $ | 1,000.00 | $ | 1,011.30 | $ | 1.41 | .28 | % | $ | 1,000.00 | $ | 1,023.66 | $ | 1.42 | .28 | % | |||||||||||||||||||
Select Class | $ | 1,000.00 | $ | 1,011.00 | $ | 1.66 | .33 | % | $ | 1,000.00 | $ | 1,023.41 | $ | 1.67 | .33 | % | |||||||||||||||||||
Administrative Class | $ | 1,000.00 | $ | 1,010.50 | $ | 2.17 | .43 | % | $ | 1,000.00 | $ | 1,022.91 | $ | 2.18 | .43 | % | |||||||||||||||||||
Service Class | $ | 1,000.00 | $ | 1,009.80 | $ | 2.92 | .58 | % | $ | 1,000.00 | $ | 1,022.16 | $ | 2.94 | .58 | % | |||||||||||||||||||
Premier Class | $ | 1,000.00 | $ | 1,009.30 | $ | 3.43 | .68 | % | $ | 1,000.00 | $ | 1,021.66 | $ | 3.45 | .68 | % |
1 For each class of the fund, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period shown), unless otherwise indicated.
2 Hypothetical 5% annual return before expenses is calculated by multiplying the number of days in the most recent period divided by 365.
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21
Statements of Assets and Liabilities (Unaudited)
Institutional Liquidity Funds
(000's omitted except per share amounts)
MONEY MARKET PORTFOLIO | PRIME PORTFOLIO | GOVERNMENT PORTFOLIO | GOVERNMENT RESERVES PORTFOLIO | TREASURY FUND | TAX-EXEMPT PORTFOLIO | MUNICIPAL PORTFOLIO | |||||||||||||||||||||||||
September 30, 2008 | September 30, 2008 | September 30, 2008 | September 30, 2008 | September 30, 2008 | September 30, 2008 | September 30, 2008 | |||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||||||||
Investment in corresponding Master Series, at value (Note A) | $ | 7,716 | $ | 401,924 | $ | 238,141 | $ | 220,601 | $ | 1,307,941 | $ | 133,160 | $ | 7,098 | |||||||||||||||||
Receivable for Fund shares sold | — | — | 435 | — | — | — | — | ||||||||||||||||||||||||
Receivable from administrator—net (Note B) | 3 | — | 21 | 19 | — | — | 14 | ||||||||||||||||||||||||
Prepaid expenses and other assets | — | — | 79 | — | 42 | — | — | ||||||||||||||||||||||||
Total Assets | 7,719 | 401,924 | 238,676 | 220,620 | 1,307,983 | 133,160 | 7,112 | ||||||||||||||||||||||||
Liabilities | |||||||||||||||||||||||||||||||
Dividends payable | 11 | 287 | 8 | 6 | 608 | 16 | 15 | ||||||||||||||||||||||||
Payable for Fund shares redeemed | — | — | — | — | 8 | — | — | ||||||||||||||||||||||||
Payable to administrator—net (Note B) | — | 71 | — | — | 16 | 7 | — | ||||||||||||||||||||||||
Accrued expenses and other payables | 76 | 131 | 42 | 93 | — | — | 98 | ||||||||||||||||||||||||
Total Liabilities | 87 | 489 | 50 | 99 | 632 | 23 | 113 | ||||||||||||||||||||||||
Net Assets at value | $ | 7,632 | $ | 401,435 | $ | 238,626 | $ | 220,521 | $ | 1,307,351 | $ | 133,137 | $ | 6,999 | |||||||||||||||||
Net Assets consist of: | |||||||||||||||||||||||||||||||
Paid-in capital | $ | 7,637 | $ | 401,479 | $ | 238,886 | $ | 220,747 | $ | 1,307,071 | $ | 133,082 | $ | 7,000 | |||||||||||||||||
Undistributed net investment income (loss) | — | 1 | — | — | — | 3 | — | ||||||||||||||||||||||||
Distributions in excess of net investment income | — | — | — | — | (15 | ) | — | — | |||||||||||||||||||||||
Accumulated net realized gains (losses) on investment | (5 | ) | (45 | ) | (260 | ) | (226 | ) | 295 | 52 | (1 | ) | |||||||||||||||||||
Net Assets at value | $ | 7,632 | $ | 401,435 | $ | 238,626 | $ | 220,521 | $ | 1,307,351 | $ | 133,137 | $ | 6,999 | |||||||||||||||||
Net Assets | |||||||||||||||||||||||||||||||
Institutional Class | $ | 3,132 | $ | 46,763 | $ | 209,884 | $ | 188,601 | $ | 1,038,927 | $ | 76,858 | $ | 999 | |||||||||||||||||
Cash Management Class | 750 | 3,121 | 999 | 1,000 | 1,001 | 1,999 | 1,000 | ||||||||||||||||||||||||
Capital Class | 750 | 800 | 999 | 1,000 | 1,000 | 999 | 1,000 | ||||||||||||||||||||||||
Select Class | 750 | 800 | 5,025 | 1,000 | 1,000 | 999 | 1,000 | ||||||||||||||||||||||||
Administrative Class | 750 | 1,106 | 1,461 | 999 | 1,000 | 999 | 1,000 | ||||||||||||||||||||||||
Service Class | 750 | 6,343 | 999 | 999 | 13,487 | 998 | 1,000 | ||||||||||||||||||||||||
Premier Class | 750 | 342,502 | 19,259 | 26,922 | 250,936 | 50,285 | 1,000 | ||||||||||||||||||||||||
Shares Outstanding ($.001 par value; unlimited shares authorized) | |||||||||||||||||||||||||||||||
Institutional Class | 3,137 | 46,765 | 210,113 | 188,811 | 1,038,683 | 76,688 | 1,000 | ||||||||||||||||||||||||
Cash Management Class | 750 | 3,115 | 1,000 | 1,000 | 1,000 | 2,002 | 1,000 | ||||||||||||||||||||||||
Capital Class | 750 | 800 | 1,000 | 1,000 | 1,000 | 1,000 | 1,000 | ||||||||||||||||||||||||
Select Class | 750 | 800 | 5,031 | 1,000 | 1,000 | 1,000 | 1,000 | ||||||||||||||||||||||||
Administrative Class | 750 | 1,105 | 1,463 | 1,000 | 1,000 | 1,000 | 1,000 | ||||||||||||||||||||||||
Service Class | 750 | 6,344 | 1,000 | 1,000 | 13,485 | 1,000 | 1,000 | ||||||||||||||||||||||||
Premier Class | 750 | 342,551 | 19,279 | 26,936 | 250,903 | 50,392 | 1,000 | ||||||||||||||||||||||||
Net Asset Value, offering and redemption price per share | |||||||||||||||||||||||||||||||
Institutional Class | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | |||||||||||||||||
Cash Management Class | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | ||||||||||||||||||||||||
Capital Class | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | ||||||||||||||||||||||||
Select Class | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | ||||||||||||||||||||||||
Administrative Class | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | ||||||||||||||||||||||||
Service Class | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | ||||||||||||||||||||||||
Premier Class | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 |
See Notes to Financial Statements 22
23
Statements of Operations (Unaudited)
Institutional Liquidity Funds
(000's omitted)
MONEY MARKET PORTFOLIO | PRIME PORTFOLIO | GOVERNMENT PORTFOLIO | GOVERNMENT RESERVES PORTFOLIO | TREASURY FUND | TAX-EXEMPT PORTFOLIO | MUNICIPAL PORTFOLIO | |||||||||||||||||||||||||
For the Six Months Ended September 30, 2008 | For the Six Months Ended September 30, 2008 | For the Six Months Ended September 30, 2008 | For the Six Months Ended September 30, 2008 | For the Six Months Ended September 30, 2008 | For the Six Months Ended September 30, 2008 | For the Six Months Ended September 30, 2008 | |||||||||||||||||||||||||
Investment Income | |||||||||||||||||||||||||||||||
Investment income from corresponding Master Series (Note A) | $ | 722 | $ | 41,530 | $ | 17,405 | $ | 8,653 | $ | 33,272 | $ | 6,070 | $ | 689 | |||||||||||||||||
Expenses from corresponding Master Series (Notes A & B) | (28 | ) | (1,627 | ) | (745 | ) | (416 | ) | (1,608 | ) | (307 | ) | (39 | ) | |||||||||||||||||
Net investment income from corresponding Master Series | $ | 694 | $ | 39,903 | $ | 16,660 | $ | 8,237 | $ | 31,664 | $ | 5,763 | $ | 650 | |||||||||||||||||
Expenses: | |||||||||||||||||||||||||||||||
Administration fees (Note B) | 27 | 1,552 | 719 | 378 | 1,676 | 301 | 30 | ||||||||||||||||||||||||
Distribution fees (Note B): | |||||||||||||||||||||||||||||||
Service Class | 1 | 4 | 1 | 1 | 14 | 1 | 1 | ||||||||||||||||||||||||
Premier Class | 1 | 534 | 12 | 19 | 371 | 70 | 1 | ||||||||||||||||||||||||
Audit fees | 9 | 4 | 9 | 9 | 5 | 3 | 9 | ||||||||||||||||||||||||
Legal fees | 2 | 92 | 11 | 7 | 11 | 6 | 6 | ||||||||||||||||||||||||
Registration and filing fees | 34 | 126 | 97 | 88 | 189 | 74 | 52 | ||||||||||||||||||||||||
Rating agency fees | — | 1 | 10 | 2 | 9 | 12 | 4 | ||||||||||||||||||||||||
Shareholder reports | — | 58 | 12 | 12 | 15 | 12 | 12 | ||||||||||||||||||||||||
Shareholder servicing agent fees (Note B): | |||||||||||||||||||||||||||||||
Institutional Class | 2 | 80 | 28 | 12 | 39 | 5 | 1 | ||||||||||||||||||||||||
Cash Management Class | — | 2 | — | — | — | 1 | 1 | ||||||||||||||||||||||||
Capital Class | 1 | 1 | 1 | 1 | 1 | 64 | 1 | ||||||||||||||||||||||||
Select Class | 1 | 1 | 4 | 1 | 1 | 1 | 1 | ||||||||||||||||||||||||
Administrative Class | 1 | 22 | 34 | 1 | 1 | 1 | 1 | ||||||||||||||||||||||||
Service Class | 1 | 7 | 1 | 1 | 24 | 1 | 1 | ||||||||||||||||||||||||
Premier Class | 1 | 552 | 12 | 19 | 375 | 70 | 1 | ||||||||||||||||||||||||
Trustees' fees and expenses | 5 | 5 | 5 | 5 | 5 | 5 | 5 | ||||||||||||||||||||||||
Miscellaneous | — | 1 | — | — | — | — | — | ||||||||||||||||||||||||
Total expenses | 86 | 3,042 | 956 | 556 | 2,736 | 627 | 127 | ||||||||||||||||||||||||
Expenses reimbursed by administrator (Note B) | (55 | ) | (461 | ) | (198 | ) | (173 | ) | (209 | ) | (124 | ) | (98 | ) | |||||||||||||||||
Expenses waived by administrator (Note B) | (21 | ) | (1,290 | ) | (619 | ) | (303 | ) | (1,410 | ) | (72 | ) | (8 | ) | |||||||||||||||||
Total net expenses | 10 | 1,291 | 139 | 80 | 1,117 | 431 | 21 | ||||||||||||||||||||||||
Net investment income (loss) | $ | 684 | $ | 38,612 | $ | 16,521 | $ | 8,157 | $ | 30,547 | $ | 5,332 | $ | 629 | |||||||||||||||||
Realized and Unrealized Gain (Loss) on Investments (Note A): | |||||||||||||||||||||||||||||||
Net gain (loss) on investments from corresponding Master Series | — | (265 | ) | (613 | ) | (232 | ) | 246 | 176 | (11 | ) | ||||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 684 | $ | 38,347 | $ | 15,908 | $ | 7,925 | $ | 30,793 | $ | 5,508 | $ | 618 |
See Notes to Financial Statements 24
25
Statements of Changes in Net Assets
Institutional Liquidity Funds
(000's omitted)
MONEY MARKET PORTFOLIO | PRIME PORTFOLIO | GOVERNMENT PORTFOLIO | GOVERNMENT RESERVES PORFOLIO | TREASURY FUND | |||||||||||||||||||||||||||||||||||||||
Six Months Ended September 30, 2008 (Unaudited) | Year Ended March 31, 2008 | Six Months Ended September 30, 2008 (Unaudited) | Year Ended March 31, 2008 | Six Months Ended September 30, 2008 (Unaudited) | Year Ended March 31, 2008 | Six Months Ended September 30, 2008 (Unaudited) | Period from July 9, 2007 (Commencement of Operations) to March 31, 2008 | Six Months Ended September 30, 2008 (Unaudited) | Year Ended March 31, 2008 | ||||||||||||||||||||||||||||||||||
Increase (Decrease) in Net Assets: | |||||||||||||||||||||||||||||||||||||||||||
From Operations: | |||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 684 | $ | 7,687 | $ | 38,612 | $ | 275,650 | $ | 16,521 | $ | 39,571 | $ | 8,157 | $ | 15,515 | $ | 30,547 | $ | 34,931 | |||||||||||||||||||||||
Net realized gain (loss) on investments from corresponding Master Series | — | (5 | ) | (265 | ) | 226 | (613 | ) | 353 | (232 | ) | 6 | 246 | 49 | |||||||||||||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 684 | 7,682 | 38,347 | 275,876 | 15,908 | 39,924 | 7,925 | 15,521 | 30,793 | 34,980 | |||||||||||||||||||||||||||||||||
Distributions to Shareholders From (Note A): | |||||||||||||||||||||||||||||||||||||||||||
Net investment income | |||||||||||||||||||||||||||||||||||||||||||
Institutional Class | (620 | ) | (7,383 | ) | (33,927 | ) | (257,277 | ) | (16,096 | ) | (38,575 | ) | (8,004 | ) | (15,334 | ) | (28,422 | ) | (34,362 | ) | |||||||||||||||||||||||
Cash Management Class | (12 | ) | (74 | ) | (96 | ) | (3,444 | ) | (11 | ) | (54 | ) | (10 | ) | (32 | ) | (9 | ) | (41 | ) | |||||||||||||||||||||||
Capital Class | (11 | ) | (48 | ) | (11 | ) | (47 | ) | (10 | ) | (45 | ) | (10 | ) | (31 | ) | (8 | ) | (40 | ) | |||||||||||||||||||||||
Select Class | (11 | ) | (47 | ) | (11 | ) | (47 | ) | (54 | ) | (260 | ) | (10 | ) | (31 | ) | (8 | ) | (40 | ) | |||||||||||||||||||||||
Administrative Class | (11 | ) | (46 | ) | (203 | ) | (642 | ) | (266 | ) | (557 | ) | (9 | ) | (30 | ) | (8 | ) | (39 | ) | |||||||||||||||||||||||
Service Class | (10 | ) | (45 | ) | (58 | ) | (118 | ) | (9 | ) | (42 | ) | (8 | ) | (29 | ) | (132 | ) | (37 | ) | |||||||||||||||||||||||
Premier Class | (9 | ) | (44 | ) | (4,316 | ) | (14,064 | ) | (71 | ) | (42 | ) | (106 | ) | (28 | ) | (1,960 | ) | (387 | ) | |||||||||||||||||||||||
Net realized gain on investments | |||||||||||||||||||||||||||||||||||||||||||
Institutional Class | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||
Cash Management Class | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||
Capital Class | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||
Select Class | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||
Administrative Class | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||
Service Class | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||
Premier Class | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||
Total distributions to shareholders | (684 | ) | (7,687 | ) | (38,622 | ) | (275,639 | ) | (16,517 | ) | (39,575 | ) | (8,157 | ) | (15,515 | ) | (30,547 | ) | (34,946 | ) | |||||||||||||||||||||||
From Portfolio Share Transactions (Note D): | |||||||||||||||||||||||||||||||||||||||||||
Proceeds from shares sold | |||||||||||||||||||||||||||||||||||||||||||
Institutional Class | 322,589 | 4,556,602 | 10,100,701 | 61,663,372 | 3,768,060 | 11,915,804 | 2,783,440 | 4,619,439 | 7,007,699 | 11,201,894 | |||||||||||||||||||||||||||||||||
Cash Management Class | — | 94,812 | 6,326 | 170,916 | — | 4,474 | — | 1,000 | — | — | |||||||||||||||||||||||||||||||||
Capital Class | — | — | — | — | — | — | — | 1,000 | — | — | |||||||||||||||||||||||||||||||||
Select Class | — | — | — | — | 4,922 | 24,015 | — | 1,000 | — | — | |||||||||||||||||||||||||||||||||
Administrative Class | 1 | 5 | — | 148,981 | 2,588 | 334,462 | — | 1,000 | — | — | |||||||||||||||||||||||||||||||||
Service Class | — | — | 1,429 | 4,691 | — | — | — | 1,000 | 298,106 | — | |||||||||||||||||||||||||||||||||
Premier Class | — | — | 1,236,674 | 4,374,111 | 52,412 | — | 65,996 | 1,000 | 661,324 | 454,663 | |||||||||||||||||||||||||||||||||
Proceeds from reinvestment of dividends and distributions | |||||||||||||||||||||||||||||||||||||||||||
Institutional Class | 422 | 4,584 | 22,852 | 194,579 | 13,307 | 24,655 | 5,473 | 11,603 | 15,473 | 18,337 | |||||||||||||||||||||||||||||||||
Cash Management Class | — | 21 | 5 | 3,360 | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||
Capital Class | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||
Select Class | — | — | — | — | 44 | 215 | — | — | — | — | |||||||||||||||||||||||||||||||||
Administrative Class | — | — | 176 | 582 | 5 | 56 | — | — | — | — | |||||||||||||||||||||||||||||||||
Service Class | — | — | 48 | 74 | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||
Premier Class | — | — | 4,036 | 12,754 | 57 | — | 89 | — | 1,821 | 327 |
See Notes to Financial Statements 26
27
Statements of Changes in Net Assets (cont'd)
Institutional Liquidity Funds (cont'd)
(000's omitted)
MONEY MARKET PORTFOLIO | PRIME PORTFOLIO | GOVERNMENT PORTFOLIO | GOVERNMENT RESERVES PORFOLIO | TREASURY FUND | |||||||||||||||||||||||||||||||||||||||
Six Months Ended September 30, 2008 (Unaudited) | Year Ended March 31, 2008 | Six Months Ended September 30, 2008 (Unaudited) | Year Ended March 31, 2008 | Six Months Ended September 30, 2008 (Unaudited) | Year Ended March 31, 2008 | Six Months Ended September 30, 2008 (Unaudited) | Period from July 9, 2007 (Commencement of Operations) to March 31, 2008 | Six Months Ended September 30, 2008 (Unaudited) | Year Ended March 31, 2008 | ||||||||||||||||||||||||||||||||||
Payments for shares redeemed | |||||||||||||||||||||||||||||||||||||||||||
Institutional Class | (342,736 | ) | (4,697,326 | ) | (13,393,774 | ) | (60,960,473 | ) | (5,351,997 | ) | (10,654,030 | ) | (3,488,136 | ) | (3,743,008 | ) | (9,721,464 | ) | (7,931,551 | ) | |||||||||||||||||||||||
Cash Management Class | (250 | ) | (94,833 | ) | (95,687 | ) | (82,805 | ) | — | (4,474 | ) | — | — | — | — | ||||||||||||||||||||||||||||
Capital Class | (250 | ) | — | (200 | ) | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||
Select Class | (250 | ) | — | (200 | ) | — | (6,022 | ) | (19,143 | ) | — | — | — | — | |||||||||||||||||||||||||||||
Administrative Class | (251 | ) | (5 | ) | (21,557 | ) | (128,077 | ) | (35,753 | ) | (302,347 | ) | — | — | — | — | |||||||||||||||||||||||||||
Service Class | (250 | ) | — | (512 | ) | (386 | ) | — | — | — | — | (285,621 | ) | — | |||||||||||||||||||||||||||||
Premier Class | (250 | ) | — | (1,319,777 | ) | (3,973,587 | ) | (34,190 | ) | — | (40,149 | ) | — | (730,963 | ) | (137,269 | ) | ||||||||||||||||||||||||||
Net increase (decrease) from Portfolio share transactions | (21,225 | ) | (136,140 | ) | (3,459,460 | ) | 1,428,092 | (1,586,567 | ) | 1,323,687 | (673,287 | ) | 894,034 | (2,753,625 | ) | 3,606,401 | |||||||||||||||||||||||||||
Net Increase (Decrease) in Net Assets | (21,225 | ) | (136,145 | ) | (3,459,735 | ) | 1,428,329 | (1,587,176 | ) | 1,324,036 | (673,519 | ) | 894,040 | (2,753,379 | ) | 3,606,435 | |||||||||||||||||||||||||||
Net Assets: | |||||||||||||||||||||||||||||||||||||||||||
Beginning of period | 28,857 | 165,002 | 3,861,170 | 2,432,841 | 1,825,802 | 501,766 | $ | 894,040 | — | 4,060,730 | 454,295 | ||||||||||||||||||||||||||||||||
End of period | $ | 7,632 | $ | 28,857 | $ | 401,435 | $ | 3,861,170 | $ | 238,626 | $ | 1,825,802 | $ | 220,521 | $ | 894,040 | $ | 1,307,351 | $ | 4,060,730 | |||||||||||||||||||||||
Undistributed net investment income (loss) at end of period | $ | — | $ | — | $ | 1 | $ | 11 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||||||
Distributions in excess of net investment income at end of period | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (4 | ) | $ | — | $ | — | $ | (15 | ) | $ | (15 | ) |
See Notes to Financial Statements 28
29
Statements of Changes in Net Assets (cont'd)
Institutional Liquidity Funds
(000's omitted)
TAX-EXEMPT PORTFOLIO | MUNICIPAL PORTFOLIO | ||||||||||||||||||
Six Months Ended September 30, 2008 (Unaudited) | Period from September 10, 2007 (Commencement of Operations) to March 31, 2008 | Six Months Ended September 30, 2008 (Unaudited) | Period from September 10, 2007 (Commencement of Operations) to March 31, 2008 | ||||||||||||||||
Increase (Decrease) in Net Assets: | |||||||||||||||||||
From Operations: | |||||||||||||||||||
Net investment income (loss) | $ | 5,332 | $ | 4,294 | $ | 629 | $ | 1,768 | |||||||||||
Net realized gain (loss) on investments from corresponding Master Series | 176 | 117 | (11 | ) | 10 | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | 5,508 | 4,411 | 618 | 1,778 | |||||||||||||||
Distributions to Shareholders From (Note A): | |||||||||||||||||||
Net investment income | |||||||||||||||||||
Institutional Class | (3,864 | ) | (3,855 | ) | (549 | ) | (1,641 | ) | |||||||||||
Cash Management Class | (30 | ) | (218 | ) | (28 | ) | (46 | ) | |||||||||||
Capital Class | (997 | ) | (17 | ) | (11 | ) | (17 | ) | |||||||||||
Select Class | (9 | ) | (16 | ) | (11 | ) | (17 | ) | |||||||||||
Administrative Class | (9 | ) | (16 | ) | (11 | ) | (16 | ) | |||||||||||
Service Class | (8 | ) | (15 | ) | (10 | ) | (16 | ) | |||||||||||
Premier Class | (412 | ) | (157 | ) | (9 | ) | (15 | ) | |||||||||||
Net realized gain on investments | |||||||||||||||||||
Institutional Class | (5 | ) | — | — | — | ||||||||||||||
Cash Management Class | (7 | ) | — | — | — | ||||||||||||||
Capital Class | (4 | ) | — | — | — | ||||||||||||||
Select Class | (4 | ) | — | — | — | ||||||||||||||
Administrative Class | (4 | ) | — | — | — | ||||||||||||||
Service Class | (3 | ) | — | — | — | ||||||||||||||
Premier Class | (214 | ) | — | — | — | ||||||||||||||
Total distributions to shareholders | (5,570 | ) | (4,294 | ) | (629 | ) | (1,768 | ) | |||||||||||
From Portfolio Share Transactions (Note D): | |||||||||||||||||||
Proceeds from shares sold | |||||||||||||||||||
Institutional Class | 2,565,765 | 1,724,897 | 545,913 | 430,348 | |||||||||||||||
Cash Management Class | 51,001 | 251,000 | 5,500 | 9,400 | |||||||||||||||
Capital Class | 231,720 | 1,000 | — | 1,000 | |||||||||||||||
Select Class | — | 1,000 | — | 1,000 | |||||||||||||||
Administrative Class | — | 1,000 | — | 1,000 | |||||||||||||||
Service Class | — | 1,000 | — | 1,000 | |||||||||||||||
Premier Class | 214,875 | 119,551 | — | 1,000 | |||||||||||||||
Proceeds from reinvestment of dividends and distributions | |||||||||||||||||||
Institutional Class | 2,835 | 1,539 | 369 | 1,623 | |||||||||||||||
Cash Management Class | 1 | — | — | — | |||||||||||||||
Capital Class | 738 | — | — | — | |||||||||||||||
Select Class | — | — | — | — | |||||||||||||||
Administrative Class | — | — | — | — | |||||||||||||||
Service Class | — | — | — | — | |||||||||||||||
Premier Class | 574 | 129 | — | — |
See Notes to Financial Statements 30
Statements of Changes in Net Assets (cont'd)
Institutional Liquidity Funds (cont'd)
(000's omitted)
TAX-EXEMPT PORTFOLIO | MUNICIPAL PORTFOLIO | ||||||||||||||||||
Six Months Ended September 30, 2008 (Unaudited) | Period from September 10, 2007 (Commencement of Operations) to March 31, 2008 | Six Months Ended September 30, 2008 (Unaudited) | Period from September 10, 2007 (Commencement of Operations) to March 31, 2008 | ||||||||||||||||
Payments for shares redeemed | |||||||||||||||||||
Institutional Class | (2,882,107 | ) | (1,336,241 | ) | (573,223 | ) | (404,030 | ) | |||||||||||
Cash Management Class | (50,000 | ) | (250,000 | ) | (5,600 | ) | (8,300 | ) | |||||||||||
Capital Class | (232,458 | ) | — | — | — | ||||||||||||||
Select Class | — | — | — | — | |||||||||||||||
Administrative Class | — | — | — | — | |||||||||||||||
Service Class | — | — | — | — | |||||||||||||||
Premier Class | (204,779 | ) | (79,958 | ) | — | — | |||||||||||||
Net increase (decrease) from Portfolio share transactions | (301,835 | ) | 434,917 | (27,041 | ) | 34,041 | |||||||||||||
Net Increase (Decrease) in Net Assets | (301,897 | ) | 435,034 | (27,052 | ) | 34,051 | |||||||||||||
Net Assets: | |||||||||||||||||||
Beginning of period | 435,034 | — | 34,051 | — | |||||||||||||||
End of period | $ | 133,137 | $ | 435,034 | $ | 6,999 | $ | 34,051 | |||||||||||
Undistributed net investment income (loss) at end of period | $ | 3 | $ | — | $ | — | $ | — | |||||||||||
Distributions in excess of net investment income at end of period | $ | — | $ | — | $ | — | $ | — |
See Notes to Financial Statements 31
Notes to Financial Statements Institutional Liquidity Funds (Unaudited)
Note A—Summary of Significant Accounting Policies:
1 General: Money Market Portfolio ("Money Market"), Prime Portfolio ("Prime"), Government Portfolio ("Government"), Government Reserves Portfolio ("Government Reserves"), Neuberger Berman Treasury Fund ("Treasury"), (formerly, Treasury Portfolio), 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. 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, Treasury invests in Treasury Master Series, Tax-Exempt invests in Tax-Exempt Master Series, and Municipal invests in Municipal Master Series. 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 (29.67% for Money Market, 32.12% for Prime, 13.83% for Government, 100.00% for Government Reserves, 100.00% for Treasury, 16.41% for Tax-Exempt, and 3.84% for Municipal, at September 30, 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 Neuberger Berman Management LLC (" Management") to make estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates.
Management, the investment manager of the Master Series, and Lehman Brothers Asset Management LLC ("LBAM"), the Master Series' sub-adviser, are wholly owned subsidiaries of Lehman Brothers Holdings Inc. ("Lehman"), a publicly owned holding company. On September 15, 2008, Lehman filed a voluntary petition under Chapter 11 of the U.S. Bankruptcy Code. On September 29, 2008, it was announced that Bain Capital Partners, LLC and Hellman & Friedman LLC have agreed to acquire Neuberger Berman and the fixed income management and certain other parts of Lehman Brothers' Investment Management Division, in a cash transaction with Lehman. The transaction is subject to certain conditions and approvals, including approval by the bankruptcy court having jurisdiction over the Lehman matter. Other potential bids may be received during the time period for an open auction mandated by the bankruptcy court.
32
These events, while affecting Lehman, have not had a material impact on the Portfolios or their operations. Management and LBAM will continue to operate in the ordinary course of business as the investment manager and sub-adviser of the Master Series.
If completed, acquisition of the Neuberger Berman entities would constitute an "assignment" of the Master Series' Management and Sub-Advisory Agreements and, by law, would automatically terminate those agreements. Accordingly, the Master Series' Board of Trustees will consider new investment management and sub-advisory agreements with the Neuberger Berman entities for the Master Series. If approved by the Board, including the Trustees who are not "interested persons" of the investment manager and its affiliates or the Master Series, the new agreements will require the approval of the Portfolios' shareholders.
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.
3 Income tax information: The Portfolios are treated as separate entities for U.S. federal income tax purposes. It is the policy of each Portfolio to continue 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.
The Portfolios have adopted the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48") "Accounting for Uncertainty in Income Taxes—an interpretation of FASB Statement No. 109". FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken, or expected to be taken, in a tax return. The Portfolios recognize interest and penalties, if any, related to unrecognized tax benefits as an income tax expense in the Statements of Operations. The Portfolios are subject to examination by U.S. federal and state tax authorities for returns filed for fiscal year 2007. As of September 30, 2008, the Portfolios did not have any unrecognized tax benefits.
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 | — |
33
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 |
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 normally be paid in December. Income distributions and capital gain distributions to shareholders are recorded on the ex-date.
34
5 Expense allocation: Certain expenses are applicable to multiple funds. Expenses directly attributable to a Portfolio are charged to that Portfolio. Expenses of the Trust that are not directly attributed to a Portfolio are allocated among the series of the Trust, on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the series can otherwise be made fairly. Expenses borne by the complex of related investment companies, which includes open-end and closed-end investment companies for which Management serves as investment manager, that are not directly attributed to a Portfolio or the Trust, are allocated among the Portfolios and the other investment companies in the complex or series thereof, on the basis of relative net assets, except where a more appropriate allocation of expenses to each investment company in the complex or series thereof can otherwise be made fairly.
Each Portfolio bears its proportionate share of its corresponding Master Series' expenses. Each Portfolio's expenses (other than those allocated to a class of the Portfolio) are allocated proportionally each day among the classes based on the relative net assets of each class. Expenses attributable to a specific class are allocated to that class.
6 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.
7 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 $350,838 and $50,957 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 may be more or less than the cost of distribution and other services provided to that class. NASD rules limit the
35
amount of annual distribution fees that may be paid by a mutual fund and impose a ceiling on the cumulative distribution fees paid. The Trust's Plans comply with those rules.
The Trust, on behalf of each Portfolio, has entered into a Shareholder Servicing Agreement with Management with respect to the Cash Management, Capital, Select, Administrative, Service and Premier Class of each Portfolio ("Shareholder Servicing Agreement"). Pursuant to the Shareholder Servicing Agreement, Management provides to the shareholders and beneficial owners of the Cash Management, Capital, Select, Administrative, Service and Premier Class varying levels of shareholder services, some or all of which may be provided by banks, trust companies or other institutions that provide such shareholder services to their accounts ("Accounts") and their account holders and which have entered into a service agreement with Management (each, a "Service Organization"). Management may compensate a Service Organization for the shareholder services it provides to Accounts and account holders pursuant to such service agreement. The Shareholder Servicing Agreement requires each of the Cash Management, Capital, Select, Administrative, Service and Premier Class to compensate Management for the shareholder services provided to that Class. For the shareholder services provided pursuant to the Shareholder Servicing Agreement, Management receives from the Cash Management, Capital, Select, Administrative, Service and Premier Class of each Portfolio a fee at the annual rate of 0.05%, 0.10%, 0.15%, 0.25%, 0.25%, 0.25%, respectively, of such Class' average daily net assets.
Management has contractually undertaken to forgo current payment of fees and/or reimburse each respective class of each Portfolio for its operating expenses plus its pro rata portion of its corresponding Master Series' operating expenses (including the fees payable to Management but excluding interest, taxes, brokerage commissions and extraordinary expenses) ("Operating Expenses") which exceed the expense limitations as detailed in the following table. Each class of each Portfolio has agreed to repay Management for fees and expenses forgone and/or its excess Operating Expenses previously reimbursed by Management, pursuant to a contractual expense limitation, so long as its annual Operating Expenses during that period do not exceed its expense limitation and the repayments are made within three years after the year in which Management issued the reimbursement or waived fees. During the six months ended September 30, 2008, there was no repayment to Management under this agreement. At September 30, 2008, contingent liabilities to Management under the agreement were as follows:
Expenses Deferred in Fiscal Period March 31, | Voluntary Reimbursement | ||||||||||||||||||||||||||
2007 | 2008 | 2009 | from Management | ||||||||||||||||||||||||
Contractual Expense | Subject to Repayment until March 31, | for the Six Months Ended | |||||||||||||||||||||||||
Limitation(1) | Expiration | 2010 | 2011 | 2012 | September 30, 2008(2) | ||||||||||||||||||||||
Money Market Institutional Class | 0.20 | % | 3/31/11 | $ | 137,243 | $ | 141,143 | $ | 39,760 | $ | 19,561 | ||||||||||||||||
Money Market Cash Management Class | 0.25 | % | 3/31/11 | 4,787 | 1,195 | 2,483 | 317 | ||||||||||||||||||||
Money Market Capital Class | 0.30 | % | 3/31/11 | 4,787 | 639 | 2,482 | 317 | ||||||||||||||||||||
Money Market Select Class | 0.35 | % | 3/31/11 | 4,787 | 639 | 2,483 | 317 | ||||||||||||||||||||
Money Market Administrative Class | 0.45 | % | 3/31/11 | 4,787 | 639 | 2,483 | 317 | ||||||||||||||||||||
Money Market Service Class | 0.60 | % | 3/31/11 | 4,787 | 639 | 2,483 | 318 | ||||||||||||||||||||
Money Market Premier Class | 0.70 | % | 3/31/11 | 4,787 | 639 | 2,484 | 319 | ||||||||||||||||||||
Prime Institutional Class | 0.20 | % | 3/31/11 | 165,552 | 370,000 | 364,115 | 1,133,258 | ||||||||||||||||||||
Prime Cash Management Class | 0.25 | % | 3/31/11 | 885 | 9,226 | 1,041 | 2,924 | ||||||||||||||||||||
Prime Capital Class | 0.30 | % | 3/31/11 | 885 | 105 | 201 | 327 | ||||||||||||||||||||
Prime Select Class | 0.35 | % | 3/31/11 | 885 | 105 | 201 | 327 | ||||||||||||||||||||
Prime Administrative Class | 0.45 | % | 3/31/11 | 885 | 2,171 | 2,452 | 6,729 | ||||||||||||||||||||
Prime Service Class | 0.60 | % | 3/31/11 | 885 | 556 | 1,359 | 1,778 | ||||||||||||||||||||
Prime Premier Class | 0.70 | % | 3/31/11 | 1,102 | 42,110 | 91,471 | 144,491 | ||||||||||||||||||||
Government Institutional Class | 0.20 | % | 3/31/11 | 87,201 | 149,046 | 188,372 | 604,758 |
36
Expenses Deferred in Fiscal Period March 31, | Voluntary Reimbursement | ||||||||||||||||||||||||||
2007 | 2008 | 2009 | from Management | ||||||||||||||||||||||||
Contractual Expense | Subject to Repayment until March 31, | for the Six Months Ended | |||||||||||||||||||||||||
Limitation(1) | Expiration | 2010 | 2011 | 2012 | September 30, 2008(2) | ||||||||||||||||||||||
Government Cash Management Class | 0.25 | % | 3/31/11 | $ | 321 | $ | 312 | $ | 230 | $ | 326 | ||||||||||||||||
Government Capital Class | 0.30 | % | 3/31/11 | 321 | 291 | 230 | 326 | ||||||||||||||||||||
Government Select Class | 0.35 | % | 3/31/11 | 321 | 1,291 | 1,115 | 1,812 | ||||||||||||||||||||
Government Administrative Class | 0.45 | % | 3/31/11 | 482 | 2,053 | 4,527 | 9,347 | ||||||||||||||||||||
Government Service Class | 0.60 | % | 3/31/11 | 321 | 291 | 230 | 326 | ||||||||||||||||||||
Government Premier Class | 0.70 | % | 3/31/11 | 321 | 291 | 3,429 | 1,934 | (3) | |||||||||||||||||||
Government Reserves Institutional Class | 0.20 | % | 3/31/11 | — | 211,144 | 166,648 | 298,947 | ||||||||||||||||||||
Government Reserves Cash Management Class | 0.25 | % | 3/31/11 | — | 569 | 267 | 326 | ||||||||||||||||||||
Government Reserves Capital Class | 0.30 | % | 3/31/11 | — | 569 | 267 | 326 | ||||||||||||||||||||
Government Reserves Select Class | 0.35 | % | 3/31/11 | — | 569 | 267 | 326 | ||||||||||||||||||||
Government Reserves Administrative Class | 0.45 | % | 3/31/11 | — | 569 | 267 | 325 | ||||||||||||||||||||
Government Reserves Service Class | 0.60 | % | 3/31/11 | — | 569 | 267 | 325 | ||||||||||||||||||||
Government Reserves Premier Class | 0.70 | % | 3/31/11 | — | 569 | 5,354 | 2,544 | ||||||||||||||||||||
Treasury Institutional Class | 0.20 | % | 3/31/11 | 188,154 | 166,607 | 182,720 | 1,274,637 | (3) | |||||||||||||||||||
Treasury Cash Management Class | 0.25 | % | 3/31/11 | 529 | 490 | 89 | 338 | (3) | |||||||||||||||||||
Treasury Capital Class | 0.30 | % | 3/31/11 | 529 | 490 | 89 | 344 | (3) | |||||||||||||||||||
Treasury Select Class | 0.35 | % | 3/31/11 | 529 | 490 | 89 | 351 | (3) | |||||||||||||||||||
Treasury Administrative Class | 0.45 | % | 3/31/11 | 529 | 490 | 89 | 374 | (3) | |||||||||||||||||||
Treasury Service Class | 0.60 | % | 3/31/11 | 529 | 490 | 1,616 | 6,944 | (3) | |||||||||||||||||||
Treasury Premier Class | 0.70 | % | 3/31/11 | 529 | — | 23,935 | 126,984 | (3) | |||||||||||||||||||
Tax-Exempt Institutional Class | 0.20 | % | 3/31/11 | — | 133,796 | 84,767 | 51,075 | ||||||||||||||||||||
Tax-Exempt Cash Management Class | 0.25 | % | 3/31/11 | — | 3,249 | 725 | 537 | ||||||||||||||||||||
Tax-Exempt Capital Class | 0.30 | % | 3/31/11 | — | 958 | 20,272 | 13,806 | ||||||||||||||||||||
Tax-Exempt Select Class | 0.35 | % | 3/31/11 | — | 958 | 304 | 125 | ||||||||||||||||||||
Tax-Exempt Administrative Class | 0.45 | % | 3/31/11 | — | 956 | 303 | 125 | ||||||||||||||||||||
Tax-Exempt Service Class | 0.60 | % | 3/31/11 | — | 954 | 303 | 125 | ||||||||||||||||||||
Tax-Exempt Premier Class | 0.70 | % | 3/31/11 | — | 10,462 | 17,100 | 5,954 | ||||||||||||||||||||
Municipal Institutional Class | 0.20 | % | 3/31/11 | — | 159,496 | 75,990 | 6,628 | ||||||||||||||||||||
Municipal Cash Management Class | 0.25 | % | 3/31/11 | — | 7,019 | 5,455 | 487 | ||||||||||||||||||||
Municipal Capital Class | 0.30 | % | 3/31/11 | — | 4,030 | 3,316 | 132 | ||||||||||||||||||||
Municipal Select Class | 0.35 | % | 3/31/11 | — | 4,030 | 3,316 | 132 | ||||||||||||||||||||
Municipal Administrative Class | 0.45 | % | 3/31/11 | — | 4,029 | 3,316 | 132 | ||||||||||||||||||||
Municipal Service Class | 0.60 | % | 3/31/11 | — | 4,027 | 3,316 | 132 | ||||||||||||||||||||
Municipal Premier Class | 0.70 | % | 3/31/11 | — | 4,025 | 3,316 | 132 |
(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 (except Institutional Class) of Money Market, Government, Government Reserves, and Treasury an additional 0.10% per
37
annum of the class' average daily net assets until June 30, 2008, and 0.08% until August 4, 2008. Management has voluntarily reimbursed Institutional Class of Money Market, Government, Government Reserves, and Treasury an additional 0.10% per annum of the class' average daily net assets until June 30, 2008, 0.08% until August 4, 2008 and 0.05% thereafter. Management has voluntarily reimbursed each class of Tax-Exempt and Municipal an additional 0.05% per annum of the class' average daily net assets until June 30, 2008. Management has voluntarily reimbursed each class (except Institutional Class) of Prime an additional 0.10% per annum of the class' average daily net assets until June 30, 2008, and 0.08% until August 8, 2008. Management has voluntarily reimbursed Institutional Class of Prime an additional 0.10% per annum of the class' average daily net assets until June 30, 2008, 0.08% until August 8, 2008 and 0.05% thereafter.
(3) In addition to the contractual and voluntary limitations previously listed, Management also voluntarily reimbursed the following:
9/18/08 | 9/19/08- 9/21/08 | 9/22/08 | 9/23/08 | 9/24/08 | 9/25/08 | 9/26/08- 9/28/08 | 9/29/08 | 9/30/08 | |||||||||||||||||||||||||||||||
Money Market Service Class | — | — | — | — | — | — | — | 0.05 | % | — | |||||||||||||||||||||||||||||
Money Market Premier Class | — | — | — | — | — | — | — | 0.15 | % | — | |||||||||||||||||||||||||||||
Government Premier Class | — | 0.03 | % | 0.07 | % | — | — | — | — | — | — | ||||||||||||||||||||||||||||
Treasury Institutional Class | — | — | — | — | — | 0.01 | % | — | — | 0.12 | % | ||||||||||||||||||||||||||||
Treasury Cash Management Class | 0.01 | % | — | — | — | 0.10 | % | 0.11 | % | — | — | 0.22 | % | ||||||||||||||||||||||||||
Treasury Capital Class | 0.06 | % | — | — | 0.02 | % | 0.15 | % | 0.16 | % | — | — | 0.27 | % | |||||||||||||||||||||||||
Treasury Select Class | 0.11 | % | — | — | 0.07 | % | 0.20 | % | 0.21 | % | — | — | 0.32 | % | |||||||||||||||||||||||||
Treasury Administrative Class | 0.21 | % | — | — | 0.17 | % | 0.30 | % | 0.31 | % | 0.10 | % | 0.05 | % | 0.42 | % | |||||||||||||||||||||||
Treasury Service Class | 0.36 | % | — | — | 0.34 | % | 0.47 | % | 0.46 | % | 0.25 | % | 0.20 | % | 0.57 | % | |||||||||||||||||||||||
Treasury Premier Class | 0.46 | % | — | — | 0.44 | % | 0.57 | % | 0.56 | % | 0.35 | % | 0.30 | % | 0.67 | % |
Management and LBAM, sub-adviser to the Master Series, are wholly-owned subsidiaries of Lehman. Several individuals who are officers and/or trustees of the Trust are also employees of LBAM and/or Management.
Each Portfolio also has a distribution agreement with Management with respect to each class of shares. Management receives no compensation under it and no commissions for sales or redemptions of shares of beneficial interest of each Portfolio, but receives fees from the Premier Class and Service Class under their Plans, as described above.
Each Master Series has an expense offset arrangement in connection with its custodian contract. For the six months ended September 30, 2008, the impact of this arrangement was a reduction of expenses of $8, $398, $480, $913, $1,038, $17,651 and $286 for Money Market, Prime, Government, Government Reserves, Treasury, Tax-Exempt, and Municipal, respectively.
Note C—Investment Transactions:
During the six months ended September 30, 2008, contributions and withdrawals in each Portfolio's investment in its corresponding Master Series were as follows:
(000's omitted) | Contributions | Withdrawals | |||||||||
Money Market | $ | 303,748 | $ | 316,471 | |||||||
Prime | 7,486,523 | 10,988,108 | |||||||||
Government | 2,357,894 | 3,962,032 | |||||||||
Government Reserves | 1,119,477 | 1,801,189 | |||||||||
Treasury | 3,679,340 | 6,466,466 | |||||||||
Tax-Exempt | 2,319,550 | 2,627,624 | |||||||||
Municipal | 497,331 | 524,906 |
38
Note D—Portfolio Share Transactions:
Share activity at $1.00 per share for the six months ended September 30, 2008 and for the year ended March 31, 2008 were as follows:
For the Six Months Ended September 30, 2008 | For the Year Ended March 31, 2008 | ||||||||||||||||||||||||||||||||||
(000's omitted) | Shares Sold | Shares Issued on Reinvestment of Dividends and Distributions | Shares Redeemed | Total | Shares Sold | Shares Issued on Reinvestment of Dividends and Distributions | Shares Redeemed | Total | |||||||||||||||||||||||||||
Money Market: | |||||||||||||||||||||||||||||||||||
Institutional Class | 322,589 | 422 | (342,736 | ) | (19,725 | ) | 4,556,602 | 4,584 | (4,697,326 | ) | (136,140 | ) | |||||||||||||||||||||||
Cash Management Class | — | — | (250 | ) | (250 | ) | 94,812 | 21 | (94,833 | ) | — | ||||||||||||||||||||||||
Capital Class | — | — | (250 | ) | (250 | ) | — | — | — | — | |||||||||||||||||||||||||
Select Class | — | — | (250 | ) | (250 | ) | — | — | — | — | |||||||||||||||||||||||||
Administrative Class | 1 | — | (251 | ) | (250 | ) | 5 | — | (5 | ) | — | ||||||||||||||||||||||||
Service Class | — | — | (250 | ) | (250 | ) | — | — | — | — | |||||||||||||||||||||||||
Premier Class | — | — | (250 | ) | (250 | ) | — | — | — | — | |||||||||||||||||||||||||
Prime: | |||||||||||||||||||||||||||||||||||
Institutional Class | 10,100,701 | 22,852 | (13,393,774 | ) | (3,270,221 | ) | 61,663,372 | 194,579 | (60,960,473 | ) | 897,478 | ||||||||||||||||||||||||
Cash Management Class | 6,326 | 5 | (95,687 | ) | (89,356 | ) | 170,916 | 3,360 | (82,805 | ) | 91,471 | ||||||||||||||||||||||||
Capital Class | — | — | (200 | ) | (200 | ) | — | — | — | — | |||||||||||||||||||||||||
Select Class | — | — | (200 | ) | (200 | ) | — | — | — | — | |||||||||||||||||||||||||
Administrative Class | — | 176 | (21,557 | ) | (21,381 | ) | 148,981 | 582 | (128,077 | ) | 21,486 | ||||||||||||||||||||||||
Service Class | 1,429 | 48 | (512 | ) | 965 | 4,691 | 74 | (386 | ) | 4,379 | |||||||||||||||||||||||||
Premier Class | 1,236,674 | 4,036 | (1,319,777 | ) | (79,067 | ) | 4,374,111 | 12,754 | (3,973,587 | ) | 413,278 | ||||||||||||||||||||||||
Government: | |||||||||||||||||||||||||||||||||||
Institutional Class | 3,768,060 | 13,307 | (5,351,997 | ) | (1,570,630 | ) | 11,915,804 | 24,655 | (10,654,030 | ) | 1,286,429 | ||||||||||||||||||||||||
Cash Management Class | — | — | — | — | 4,474 | — | (4,474 | ) | — | ||||||||||||||||||||||||||
Capital Class | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Select Class | 4,922 | 44 | (6,022 | ) | (1,056 | ) | 24,015 | 215 | (19,143 | ) | 5,087 | ||||||||||||||||||||||||
Administrative Class | 2,588 | 5 | (35,753 | ) | (33,160 | ) | 334,462 | 56 | (302,347 | ) | 32,171 | ||||||||||||||||||||||||
Service Class | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Premier Class | 52,412 | 57 | (34,190 | ) | 18,279 | — | — | — | — |
39
For the Six Months Ended September 30, 2008 | For the Year Ended March 31, 2008 | ||||||||||||||||||||||||||||||||||
(000's omitted) | Shares Sold | Shares Issued on Reinvestment of Dividends and Distributions | Shares Redeemed | Total | Shares Sold | Shares Issued on Reinvestment of Dividends and Distributions | Shares Redeemed | Total | |||||||||||||||||||||||||||
Government Reserves: | |||||||||||||||||||||||||||||||||||
Institutional Class | 2,783,440 | 5,473 | (3,488,136 | ) | (699,223 | ) | 4,619,439 | 11,603 | (3,743,008 | ) | 888,034 | (1) | |||||||||||||||||||||||
Cash Management Class | — | — | — | — | 1,000 | — | — | 1,000 | (1) | ||||||||||||||||||||||||||
Capital Class | — | — | — | — | 1,000 | — | — | 1,000 | (1) | ||||||||||||||||||||||||||
Select Class | — | — | — | — | 1,000 | — | — | 1,000 | (1) | ||||||||||||||||||||||||||
Administrative Class | — | — | — | — | 1,000 | — | — | 1,000 | (1) | ||||||||||||||||||||||||||
Service Class | — | — | — | — | 1,000 | — | — | 1,000 | (1) | ||||||||||||||||||||||||||
Premier Class | 65,996 | 89 | (40,149 | ) | 25,936 | 1,000 | — | — | 1,000 | (1) | |||||||||||||||||||||||||
Treasury: | |||||||||||||||||||||||||||||||||||
Institutional Class | 7,007,699 | 15,473 | (9,721,464 | ) | (2,698,292 | ) | 11,201,894 | 18,337 | (7,931,551 | ) | 3,288,680 | ||||||||||||||||||||||||
Cash Management Class | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Capital Class | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Select Class | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Administrative Class | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Service Class | 298,106 | — | (285,621 | ) | 12,485 | — | — | — | — | ||||||||||||||||||||||||||
Premier Class | 661,324 | 1,821 | (730,963 | ) | (67,818 | ) | 454,663 | 327 | (137,269 | ) | 317,721 | ||||||||||||||||||||||||
Tax-Exempt: | |||||||||||||||||||||||||||||||||||
Institutional Class | 2,565,765 | 2,835 | (2,882,107 | ) | (313,507 | ) | 1,724,897 | 1,539 | (1,336,241 | ) | 390,195 | (2) | |||||||||||||||||||||||
Cash Management Class | 51,001 | 1 | (50,000 | ) | 1,002 | 251,000 | — | (250,000 | ) | 1,000 | (2) | ||||||||||||||||||||||||
Capital Class | 231,720 | 738 | (232,458 | ) | — | 1,000 | — | — | 1,000 | (2) | |||||||||||||||||||||||||
Select Class | — | — | — | — | 1,000 | — | — | 1,000 | (2) | ||||||||||||||||||||||||||
Administrative Class | — | — | — | — | 1,000 | — | — | 1,000 | (2) | ||||||||||||||||||||||||||
Service Class | — | — | — | — | 1,000 | — | — | 1,000 | (2) | ||||||||||||||||||||||||||
Premier Class | 214,875 | 574 | (204,779 | ) | 10,670 | 119,551 | 129 | (79,958 | ) | 39,722 | (2) |
40
For the Six Months Ended September 30, 2008 | For the Year Ended March 31, 2008 | ||||||||||||||||||||||||||||||||||
(000's omitted) | Shares Sold | Shares Issued on Reinvestment of Dividends and Distributions | Shares Redeemed | Total | Shares Sold | Shares Issued on Reinvestment of Dividends and Distributions | Shares Redeemed | Total | |||||||||||||||||||||||||||
Municipal: | |||||||||||||||||||||||||||||||||||
Institutional Class | 545,913 | 369 | (573,223 | ) | (26,941 | ) | 430,348 | 1,623 | (404,030 | ) | 27,941 | (2) | |||||||||||||||||||||||
Cash Management Class | 5,500 | — | (5,600 | ) | (100 | ) | 9,400 | — | (8,300 | ) | 1,100 | (2) | |||||||||||||||||||||||
Capital Class | — | — | — | — | 1,000 | — | — | 1,000 | (2) | ||||||||||||||||||||||||||
Select Class | — | — | — | — | 1,000 | — | — | 1,000 | (2) | ||||||||||||||||||||||||||
Administrative Class | — | — | — | — | 1,000 | — | — | 1,000 | (2) | ||||||||||||||||||||||||||
Service Class | — | — | — | — | 1,000 | — | — | 1,000 | (2) | ||||||||||||||||||||||||||
Premier Class | — | — | — | — | 1,000 | — | — | 1,000 | (2) |
(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 Market Events
Recent events have resulted in fixed income instruments, including some money market instruments, to experience liquidity issues, increased price volatility, credit downgrades and increased likelihood of default. Due to the market turbulence, some investors have turned to the safety of securities issued or guaranteed by the U.S. Treasury, causing the prices of these securities to rise and their yields to decline.
The U.S. federal government and certain foreign governments have acted to calm credit markets and increase confidence in the U.S. and world economies. The U.S. government is injecting liquidity into certain large financial services companies and establishing programs to assist in the purchase of money market instruments. The ultimate effect of these efforts is, of course, not yet known.
Note F—U.S. Treasury Temporary Guarantee Program for Money Market Funds
On October 8, 2008, each class of each Portfolio paid 0.01% (0.015% for the Premier Class of Tax-Exempt Portfolio) of its net asset value as of September 19, 2008 to participate in the Temporary Guarantee Program for Money Market Funds (the "Program") offered by the United States Department of the Treasury ("U.S. Treasury").
Subject to certain conditions and limitations, in the event that the per share value of a Portfolio falls below $0.995 and the Portfolio liquidates its holdings, the Program guarantees investors of each Portfolio $1.00 per share for the lesser of either the number of shares the investor held in a Portfolio on September 19, 2008 or the number of shares the investor held on the date the net asset value fell below $0.995. The Program applies only to shareholders of record on September 19, 2008 who maintain an account with the Portfolio from the close of business on that date through the date on which the Portfolio's per share value falls below $0.995. Those shareholders may purchase and redeem shares in their account during the period covered by the Program. However, the number of shares covered by the guarantee cannot exceed the number of shares held by the shareholder at the close of business on September 19, 2008. Thus, to the extent the overall value of a shareholder's account increases after September 19, 2008, the amount of the increase will not be covered by the guarantee.
41
The Program will provide coverage to qualifying shareholders for an initial three-month period ending December 18, 2008. The Secretary of the U.S. Treasury may extend the Program beyond its initial three-month term through September 18, 2009. If the Program is extended, the Board will consider whether to continue to participate and, if so, each Portfolio would be required to pay additional fees.
As of the time of this report, assets available to the Program to support all participating money market funds are limited to $50 billion and payments under the Program are dependent on the availability of assets in the Program at the time a request for payment is made. Payments will be made on a first-come-first-serve basis.
Note G—Unaudited Financial Information:
The financial information included in this interim report is taken from the records of each Portfolio without audit by an independent registered public accounting firm. Annual reports contain audited financial statements.
42
Financial Highlights
Money Market Portfolio†
The following tables include selected data for a share outstanding throughout each period and other performance information derived from the Financial Statements. They should be read in conjunction with their corresponding Master Series' Financial Statements and notes thereto.
Institutional Class
Six Months Ended September 30, 2008 (Unaudited) | Year Ended March 31, 2008 | Period from December 18, 2006^ to March 31, 2007 | |||||||||||||
Net Asset Value, Beginning of Period | $ | .9998 | $ | 1.0000 | $ | 1.0000 | |||||||||
Income From Investment Operations: | |||||||||||||||
Net Investment Income (Loss) | .0129 | .0488 | .0152 | ||||||||||||
Net Gains or Losses on Securities | (.0012 | ) | (.0002 | ) | (.0000 | ) | |||||||||
Total From Investment Operations | .0117 | .0486 | .0152 | ||||||||||||
Less Distributions From: | |||||||||||||||
Net Investment Income | (.0129 | ) | (.0488 | ) | (.0152 | ) | |||||||||
Total Distributions | (.0129 | ) | (.0488 | ) | (.0152 | ) | |||||||||
Net Asset Value, End of Period | $ | .9986 | $ | .9998 | $ | 1.0000 | |||||||||
Total Return†† | 1.30 | %** | 4.99 | % | 1.53 | %** | |||||||||
Ratios/Supplemental Data | |||||||||||||||
Net Assets, End of Period (in millions) | $ | 3.1 | $ | 22.9 | $ | 159.0 | |||||||||
Ratio of Gross Expenses to Average Net Assets# | .12 | %* | .10 | % | .10 | %* | |||||||||
Ratio of Net Expenses to Average Net Assets‡ | .12 | %* | .10 | % | .10 | %* | |||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 2.61 | %* | 4.84 | % | 5.26 | %* |
See Notes to Financial Highlights 43
Financial Highlights (cont'd)
Cash Management Class
Six Months Ended September 30, 2008 (Unaudited) | Year Ended March 31, 2008 | Period from December 18, 2006^ to March 31, 2007 | |||||||||||||
Net Asset Value, Beginning of Period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | |||||||||
Income From Investment Operations: | |||||||||||||||
Net Investment Income (Loss) | .0126 | .0483 | .0150 | ||||||||||||
Net Gains or Losses on Securities | .0000 | (.0000 | ) | (.0000 | ) | ||||||||||
Total From Investment Operations | .0126 | .0483 | .0150 | ||||||||||||
Less Distributions From: | |||||||||||||||
Net Investment Income | (.0126 | ) | (.0483 | ) | (.0150 | ) | |||||||||
Total Distributions | (.0126 | ) | (.0483 | ) | (.0150 | ) | |||||||||
Net Asset Value, End of Period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | |||||||||
Total Return†† | 1.27 | %** | 4.94 | % | 1.51 | %** | |||||||||
Ratios/Supplemental Data | |||||||||||||||
Net Assets, End of Period (in millions) | $ | 0.8 | $ | 1.0 | $ | 1.0 | |||||||||
Ratio of Gross Expenses to Average Net Assets# | .18 | %* | .15 | % | .15 | %* | |||||||||
Ratio of Net Expenses to Average Net Assets‡ | .18 | %* | .15 | % | .15 | %* | |||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 2.54 | %* | 4.99 | % | 5.21 | %* |
Capital Class
Six Months Ended September 30, 2008 (Unaudited) | Year Ended March 31, 2008 | Period from December 18, 2006^ to March 31, 2007 | |||||||||||||
Net Asset Value, Beginning of Period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | |||||||||
Income From Investment Operations: | |||||||||||||||
Net Investment Income (Loss) | .0123 | .0478 | .0149 | ||||||||||||
Net Gains or Losses on Securities | .0000 | (.0000 | ) | (.0000 | ) | ||||||||||
Total From Investment Operations | .0123 | .0478 | .0149 | ||||||||||||
Less Distributions From: | |||||||||||||||
Net Investment Income | (.0123 | ) | (.0478 | ) | (.0149 | ) | |||||||||
Total Distributions | (.0123 | ) | (.0478 | ) | (.0149 | ) | |||||||||
Net Asset Value, End of Period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | |||||||||
Total Return†† | 1.24 | %** | 4.89 | % | 1.50 | %** | |||||||||
Ratios/Supplemental Data | |||||||||||||||
Net Assets, End of Period (in millions) | $ | 0.8 | $ | 1.0 | $ | 1.0 | |||||||||
Ratio of Gross Expenses to Average Net Assets# | .23 | %* | .20 | % | .20 | %* | |||||||||
Ratio of Net Expenses to Average Net Assets‡ | .23 | %* | .20 | % | .20 | %* | |||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 2.49 | %* | 4.78 | % | 5.16 | %* |
See Notes to Financial Highlights 44
Financial Highlights (cont'd)
Select Class
Six Months Ended September 30, 2008 (Unaudited) | Year Ended March 31, 2008 | Period from December 18, 2006^ to March 31, 2007 | |||||||||||||
Net Asset Value, Beginning of Period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | |||||||||
Income From Investment Operations: | |||||||||||||||
Net Investment Income (Loss) | .0121 | .0473 | .0148 | ||||||||||||
Net Gains or Losses on Securities | .0000 | (.0000 | ) | (.0000 | ) | ||||||||||
Total From Investment Operations | .0121 | .0473 | .0148 | ||||||||||||
Less Distributions From: | |||||||||||||||
Net Investment Income | (.0121 | ) | (.0473 | ) | (.0148 | ) | |||||||||
Total Distributions | (.0121 | ) | (.0473 | ) | (.0148 | ) | |||||||||
Net Asset Value, End of Period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | |||||||||
Total Return†† | 1.21 | %** | 4.84 | % | 1.48 | %** | |||||||||
Ratios/Supplemental Data | |||||||||||||||
Net Assets, End of Period (in millions) | $ | 0.8 | $ | 1.0 | $ | 1.0 | |||||||||
Ratio of Gross Expenses to Average Net Assets# | .28 | %* | .25 | % | .25 | %* | |||||||||
Ratio of Net Expenses to Average Net Assets‡ | .28 | %* | .25 | % | .25 | %* | |||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 2.44 | %* | 4.73 | % | 5.12 | %* |
Administrative Class
Six Months Ended September 30, 2008 (Unaudited) | Year Ended March 31, 2008 | Period from December 18, 2006^ to March 31, 2007 | |||||||||||||
Net Asset Value, Beginning of Period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | |||||||||
Income From Investment Operations: | |||||||||||||||
Net Investment Income (Loss) | .0116 | .0463 | .0145 | ||||||||||||
Net Gains or Losses on Securities | .0000 | (.0000 | ) | (.0000 | ) | ||||||||||
Total From Investment Operations | .0116 | .0463 | .0145 | ||||||||||||
Less Distributions From: | |||||||||||||||
Net Investment Income | (.0116 | ) | (.0463 | ) | (.0145 | ) | |||||||||
Total Distributions | (.0116 | ) | (.0463 | ) | (.0145 | ) | |||||||||
Net Asset Value, End of Period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | |||||||||
Total Return†† | 1.16 | %** | 4.73 | % | 1.45 | %** | |||||||||
Ratios/Supplemental Data | |||||||||||||||
Net Assets, End of Period (in millions) | $ | 0.8 | $ | 1.0 | $ | 1.0 | |||||||||
Ratio of Gross Expenses to Average Net Assets# | .38 | %* | .35 | % | .35 | %* | |||||||||
Ratio of Net Expenses to Average Net Assets‡ | .38 | %* | .35 | % | .35 | %* | |||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 2.34 | %* | 4.63 | % | 5.02 | %* |
See Notes to Financial Highlights 45
Financial Highlights (cont'd)
Service Class
Six Months Ended September 30, 2008 (Unaudited) | Year Ended March 31, 2008 | Period from December 18, 2006^ to March 31, 2007 | |||||||||||||
Net Asset Value, Beginning of Period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | |||||||||
Income From Investment Operations: | |||||||||||||||
Net Investment Income (Loss) | .0108 | .0448 | .0140 | ||||||||||||
Net Gains or Losses on Securities | .0000 | (.0000 | ) | (.0000 | ) | ||||||||||
Total From Investment Operations | .0108 | .0448 | .0140 | ||||||||||||
Less Distributions From: | |||||||||||||||
Net Investment Income | (.0108 | ) | (.0448 | ) | (.0140 | ) | |||||||||
Total Distributions | (.0108 | ) | (.0448 | ) | (.0140 | ) | |||||||||
Net Asset Value, End of Period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | |||||||||
Total Return†† | 1.09 | %** | 4.58 | % | 1.41 | %** | |||||||||
Ratios/Supplemental Data | |||||||||||||||
Net Assets, End of Period (in millions) | $ | 0.8 | $ | 1.0 | $ | 1.0 | |||||||||
Ratio of Gross Expenses to Average Net Assets# | .53 | %* | .50 | % | .50 | %* | |||||||||
Ratio of Net Expenses to Average Net Assets‡ | .53 | %* | .50 | % | .50 | %* | |||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 2.19 | %* | 4.48 | % | 4.87 | %* |
Premier Class
Six Months Ended September 30, 2008 (Unaudited) | Year Ended March 31, 2008 | Period from December 18, 2006^ to March 31, 2007 | |||||||||||||
Net Asset Value, Beginning of Period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | |||||||||
Income From Investment Operations: | |||||||||||||||
Net Investment Income (Loss) | .0103 | .0438 | .0138 | ||||||||||||
Net Gains or Losses on Securities | .0000 | (.0000 | ) | (.0000 | ) | ||||||||||
Total From Investment Operations | .0103 | .0438 | .0138 | ||||||||||||
Less Distributions From: | |||||||||||||||
Net Investment Income | (.0103 | ) | (.0438 | ) | (.0138 | ) | |||||||||
Total Distributions | (.0103 | ) | (.0438 | ) | (.0138 | ) | |||||||||
Net Asset Value, End of Period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | |||||||||
Total Return†† | 1.04 | %** | 4.47 | % | 1.38 | %** | |||||||||
Ratios/Supplemental Data | |||||||||||||||
Net Assets, End of Period (in millions) | $ | 0.8 | $ | 1.0 | $ | 1.0 | |||||||||
Ratio of Gross Expenses to Average Net Assets# | .63 | %* | .60 | % | .60 | %* | |||||||||
Ratio of Net Expenses to Average Net Assets‡ | .63 | %* | .60 | % | .60 | %* | |||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 2.09 | %* | 4.38 | % | 4.77 | %* |
See Notes to Financial Highlights 46
Financial Highlights (cont'd)
Prime Portfolio†
The following tables include selected data for a share outstanding throughout each period and other performance information derived from the Financial Statements. They should be read in conjunction with their corresponding Master Series' Financial Statements and notes thereto.
Institutional Class
Six Months Ended September 30, 2008 (Unaudited) | Year Ended March 31, 2008 | Period from December 18, 2006^ to March 31, 2007 | |||||||||||||
Net Asset Value, Beginning of Period | $ | 1.0001 | $ | 1.0000 | $ | 1.0000 | |||||||||
Income From Investment Operations: | |||||||||||||||
Net Investment Income (Loss) | .0127 | .0485 | .0151 | ||||||||||||
Net Gains or Losses on Securities | (.0002 | ) | .0001 | (.0000 | ) | ||||||||||
Total From Investment Operations | .0125 | .0486 | .0151 | ||||||||||||
Less Distributions From: | |||||||||||||||
Net Investment Income | (.0127 | ) | (.0485 | ) | (.0151 | ) | |||||||||
Total Distributions | (.0127 | ) | (.0485 | ) | (.0151 | ) | |||||||||
Net Asset Value, End of Period | $ | .9999 | $ | 1.0001 | $ | 1.0000 | |||||||||
Total Return†† | 1.28 | %** | 4.95 | % | 1.52 | %** | |||||||||
Ratios/Supplemental Data | |||||||||||||||
Net Assets, End of Period (in millions) | $ | 46.8 | $ | 3,317.2 | $ | 2,419.5 | |||||||||
Ratio of Gross Expenses to Average Net Assets# | .11 | %* | .10 | % | .10 | %* | |||||||||
Ratio of Net Expenses to Average Net Assets‡ | .11 | %* | .10 | % | .10 | %* | |||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 2.56 | %* | 4.86 | % | 5.25 | %* |
See Notes to Financial Highlights 47
Financial Highlights (cont'd)
Cash Management Class
Six Months Ended September 30, 2008 (Unaudited) | Year Ended March 31, 2008 | Period from December 18, 2006^ to March 31, 2007 | |||||||||||||
Net Asset Value, Beginning of Period | $ | 1.0001 | $ | 1.0000 | $ | 1.0000 | |||||||||
Income From Investment Operations: | |||||||||||||||
Net Investment Income (Loss) | .0125 | .0480 | .0150 | ||||||||||||
Net Gains or Losses on Securities | .0018 | .0001 | (.0000 | ) | |||||||||||
Total From Investment Operations | .0143 | .0481 | .0150 | ||||||||||||
Less Distributions From: | |||||||||||||||
Net Investment Income | (.0125 | ) | (.0480 | ) | (.0150 | ) | |||||||||
Total Distributions | (.0125 | ) | (.0480 | ) | (.0150 | ) | |||||||||
Net Asset Value, End of Period | $ | 1.0019 | $ | 1.0001 | $ | 1.0000 | |||||||||
Total Return†† | 1.25 | %** | 4.90 | % | 1.51 | %** | |||||||||
Ratios/Supplemental Data | |||||||||||||||
Net Assets, End of Period (in millions) | $ | 3.1 | $ | 92.5 | $ | 1.0 | |||||||||
Ratio of Gross Expenses to Average Net Assets# | .17 | %* | .15 | % | .15 | %* | |||||||||
Ratio of Net Expenses to Average Net Assets‡ | .17 | %* | .15 | % | .15 | %* | |||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 2.75 | %* | 4.59 | % | 5.20 | %* |
Capital Class
Six Months Ended September 30, 2008 (Unaudited) | Year Ended March 31, 2008 | Period from December 18, 2006^ to March 31, 2007 | |||||||||||||
Net Asset Value, Beginning of Period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | |||||||||
Income From Investment Operations: | |||||||||||||||
Net Investment Income (Loss) | .0121 | .0475 | .0149 | ||||||||||||
Net Gains or Losses on Securities | (.0001 | ) | .0000 | (.0000 | ) | ||||||||||
Total From Investment Operations | .0120 | .0475 | .0149 | ||||||||||||
Less Distributions From: | |||||||||||||||
Net Investment Income | (.0121 | ) | (.0475 | ) | (.0149 | ) | |||||||||
Total Distributions | (.0121 | ) | (.0475 | ) | (.0149 | ) | |||||||||
Net Asset Value, End of Period | $ | .9999 | $ | 1.0000 | $ | 1.0000 | |||||||||
Total Return†† | 1.22 | %** | 4.85 | % | 1.49 | %** | |||||||||
Ratios/Supplemental Data | |||||||||||||||
Net Assets, End of Period (in millions) | $ | 0.8 | $ | 1.0 | $ | 1.0 | |||||||||
Ratio of Gross Expenses to Average Net Assets# | .23 | %* | .20 | % | .20 | %* | |||||||||
Ratio of Net Expenses to Average Net Assets‡ | .23 | %* | .20 | % | .20 | %* | |||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 2.43 | %* | 4.75 | % | 5.15 | %* |
See Notes to Financial Highlights 48
Financial Highlights (cont'd)
Select Class
Six Months Ended September 30, 2008 (Unaudited) | Year Ended March 31, 2008 | Period from December 18, 2006^ to March 31, 2007 | |||||||||||||
Net Asset Value, Beginning of Period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | |||||||||
Income From Investment Operations: | |||||||||||||||
Net Investment Income (Loss) | .0119 | .0470 | .0147 | ||||||||||||
Net Gains or Losses on Securities | (.0001 | ) | .0000 | (.0000 | ) | ||||||||||
Total From Investment Operations | .0118 | .0470 | .0147 | ||||||||||||
Less Distributions From: | |||||||||||||||
Net Investment Income | (.0119 | ) | (.0470 | ) | (.0147 | ) | |||||||||
Total Distributions | (.0119 | ) | (.0470 | ) | (.0147 | ) | |||||||||
Net Asset Value, End of Period | $ | .9999 | $ | 1.0000 | $ | 1.0000 | |||||||||
Total Return†† | 1.19 | %** | 4.80 | % | 1.48 | %** | |||||||||
Ratios/Supplemental Data | |||||||||||||||
Net Assets, End of Period (in millions) | $ | 0.8 | $ | 1.0 | $ | 1.0 | |||||||||
Ratio of Gross Expenses to Average Net Assets# | .28 | %* | .25 | % | .25 | %* | |||||||||
Ratio of Net Expenses to Average Net Assets‡ | .28 | %* | .25 | % | .25 | %* | |||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 2.38 | %* | 4.70 | % | 5.10 | %* |
Administrative Class
Six Months Ended September 30, 2008 (Unaudited) | Year Ended March 31, 2008 | Period from December 18, 2006^ to March 31, 2007 | |||||||||||||
Net Asset Value, Beginning of Period | $ | 1.0001 | $ | 1.0000 | $ | 1.0000 | |||||||||
Income From Investment Operations: | |||||||||||||||
Net Investment Income (Loss) | .0115 | .0460 | .0144 | ||||||||||||
Net Gains or Losses on Securities | .0010 | .0001 | (.0000 | ) | |||||||||||
Total From Investment Operations | .0125 | .0461 | .0144 | ||||||||||||
Less Distributions From: | |||||||||||||||
Net Investment Income | (.0115 | ) | (.0460 | ) | (.0144 | ) | |||||||||
Total Distributions | (.0115 | ) | (.0460 | ) | (.0144 | ) | |||||||||
Net Asset Value, End of Period | $ | 1.0011 | $ | 1.0001 | $ | 1.0000 | |||||||||
Total Return†† | 1.15 | %** | 4.69 | % | 1.45 | %** | |||||||||
Ratios/Supplemental Data | |||||||||||||||
Net Assets, End of Period (in millions) | $ | 1.1 | $ | 22.5 | $ | 1.0 | |||||||||
Ratio of Gross Expenses to Average Net Assets# | .37 | %* | .35 | % | .35 | %* | |||||||||
Ratio of Net Expenses to Average Net Assets‡ | .37 | %* | .35 | % | .35 | %* | |||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 2.30 | %* | 4.42 | % | 5.00 | %* |
See Notes to Financial Highlights 49
Financial Highlights (cont'd)
Service Class
Six Months Ended September 30, 2008 (Unaudited) | Year Ended March 31, 2008 | Period from December 18, 2006^ to March 31, 2007 | |||||||||||||
Net Asset Value, Beginning of Period | $ | 1.0001 | $ | 1.0000 | $ | 1.0000 | |||||||||
Income From Investment Operations: | |||||||||||||||
Net Investment Income (Loss) | .0106 | .0445 | .0140 | ||||||||||||
Net Gains or Losses on Securities | (.0002 | ) | .0001 | (.0000 | ) | ||||||||||
Total From Investment Operations | .0104 | .0446 | .0140 | ||||||||||||
Less Distributions From: | |||||||||||||||
Net Investment Income | (.0106 | ) | (.0445 | ) | (.0140 | ) | |||||||||
Total Distributions | (.0106 | ) | (.0445 | ) | (.0140 | ) | |||||||||
Net Asset Value, End of Period | $ | .9999 | $ | 1.0001 | $ | 1.0000 | |||||||||
Total Return†† | 1.07 | %** | 4.54 | % | 1.41 | %** | |||||||||
Ratios/Supplemental Data | |||||||||||||||
Net Assets, End of Period (in millions) | $ | 6.3 | $ | 5.4 | $ | 1.0 | |||||||||
Ratio of Gross Expenses to Average Net Assets# | .53 | %* | .50 | % | .50 | %* | |||||||||
Ratio of Net Expenses to Average Net Assets‡ | .53 | %* | .50 | % | .50 | %* | |||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 2.11 | %* | 4.07 | % | 4.85 | %* |
Premier Class
Six Months Ended September 30, 2008 (Unaudited) | Year Ended March 31, 2008 | Period from December 18, 2006^ to March 31, 2007 | |||||||||||||
Net Asset Value, Beginning of Period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | |||||||||
Income From Investment Operations: | |||||||||||||||
Net Investment Income (Loss) | .0101 | .0435 | .0137 | ||||||||||||
Net Gains or Losses on Securities | (.0001 | ) | .0000 | (.0000 | ) | ||||||||||
Total From Investment Operations | .0100 | .0435 | .0137 | ||||||||||||
Less Distributions From: | |||||||||||||||
Net Investment Income | (.0101 | ) | (.0435 | ) | (.0137 | ) | |||||||||
Total Distributions | (.0101 | ) | (.0435 | ) | (.0137 | ) | |||||||||
Net Asset Value, End of Period | $ | .9999 | $ | 1.0000 | $ | 1.0000 | |||||||||
Total Return†† | 1.02 | %** | 4.43 | % | 1.38 | %** | |||||||||
Ratios/Supplemental Data | |||||||||||||||
Net Assets, End of Period (in millions) | $ | 342.6 | $ | 421.6 | $ | 8.3 | |||||||||
Ratio of Gross Expenses to Average Net Assets# | .63 | %* | .60 | % | .60 | %* | |||||||||
Ratio of Net Expenses to Average Net Assets‡ | .63 | %* | .60 | % | .60 | %* | |||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 2.02 | %* | 4.22 | % | 4.75 | %* |
See Notes to Financial Highlights 50
Financial Highlights (cont'd)
Government Portfolio†
The following tables include selected data for a share outstanding throughout each period and other performance information derived from the Financial Statements. They should be read in conjunction with their corresponding Master Series' Financial Statements and notes thereto.
Institutional Class
Six Months Ended September 30, 2008 (Unaudited) | Year Ended March 31, 2008 | Period from December 18, 2006^ to March 31, 2007 | |||||||||||||
Net Asset Value, Beginning of Period | $ | 1.0002 | $ | 1.0000 | $ | 1.0000 | |||||||||
Income From Investment Operations: | |||||||||||||||
Net Investment Income (Loss) | .0110 | .0463 | .0149 | ||||||||||||
Net Gains or Losses on Securities | (.0013 | ) | .0002 | — | |||||||||||
Total From Investment Operations | .0097 | .0465 | .0149 | ||||||||||||
Less Distributions From: | |||||||||||||||
Net Investment Income | (.0110 | ) | (.0463 | ) | (.0149 | ) | |||||||||
Total Distributions | (.0110 | ) | (.0463 | ) | (.0149 | ) | |||||||||
Net Asset Value, End of Period | $ | .9989 | $ | 1.0002 | $ | 1.0000 | |||||||||
Total Return†† | 1.11 | %** | 4.73 | % | 1.50 | %** | |||||||||
Ratios/Supplemental Data | |||||||||||||||
Net Assets, End of Period (in millions) | $ | 209.9 | $ | 1,781.1 | $ | 494.3 | |||||||||
Ratio of Gross Expenses to Average Net Assets# | .11 | %* | .10 | % | .10 | %* | |||||||||
Ratio of Net Expenses to Average Net Assets‡ | .11 | %* | .10 | % | .10 | %* | |||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 2.31 | %* | 4.16 | % | 5.19 | %* |
See Notes to Financial Highlights 51
Financial Highlights (cont'd)
Cash Management Class
Six Months Ended September 30, 2008 (Unaudited) | Year Ended March 31, 2008 | Period from December 18, 2006^ to March 31, 2007 | |||||||||||||
Net Asset Value, Beginning of Period | $ | 1.0002 | $ | 1.0000 | $ | 1.0000 | |||||||||
Income From Investment Operations: | |||||||||||||||
Net Investment Income (Loss) | .0107 | .0458 | .0148 | ||||||||||||
Net Gains or Losses on Securities | (.0013 | ) | .0002 | — | |||||||||||
Total From Investment Operations | .0094 | .0460 | .0148 | ||||||||||||
Less Distributions From: | |||||||||||||||
Net Investment Income | (.0107 | ) | (.0458 | ) | (.0148 | ) | |||||||||
Total Distributions | (.0107 | ) | (.0458 | ) | (.0148 | ) | |||||||||
Net Asset Value, End of Period | $ | .9989 | $ | 1.0002 | $ | 1.0000 | |||||||||
Total Return†† | 1.08 | %** | 4.67 | % | 1.49 | %** | |||||||||
Ratios/Supplemental Data | |||||||||||||||
Net Assets, End of Period (in millions) | $ | 1.0 | $ | 1.0 | $ | 1.0 | |||||||||
Ratio of Gross Expenses to Average Net Assets# | .18 | %* | .15 | % | .15 | %* | |||||||||
Ratio of Net Expenses to Average Net Assets‡ | .18 | %* | .15 | % | .15 | %* | |||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 2.14 | %* | 4.52 | % | 5.13 | %* |
Capital Class
Six Months Ended September 30, 2008 (Unaudited) | Year Ended March 31, 2008 | Period from December 18, 2006^ to March 31, 2007 | |||||||||||||
Net Asset Value, Beginning of Period | $ | 1.0002 | $ | 1.0000 | $ | 1.0000 | |||||||||
Income From Investment Operations: | |||||||||||||||
Net Investment Income (Loss) | .0105 | .0453 | .0147 | ||||||||||||
Net Gains or Losses on Securities | (.0013 | ) | .0002 | — | |||||||||||
Total From Investment Operations | .0092 | .0455 | .0147 | ||||||||||||
Less Distributions From: | |||||||||||||||
Net Investment Income | (.0105 | ) | (.0453 | ) | (.0147 | ) | |||||||||
Total Distributions | (.0105 | ) | (.0453 | ) | (.0147 | ) | |||||||||
Net Asset Value, End of Period | $ | .9989 | $ | 1.0002 | $ | 1.0000 | |||||||||
Total Return†† | 1.05 | %** | 4.62 | % | 1.47 | %** | |||||||||
Ratios/Supplemental Data | |||||||||||||||
Net Assets, End of Period (in millions) | $ | 1.0 | $ | 1.0 | $ | 1.0 | |||||||||
Ratio of Gross Expenses to Average Net Assets# | .23 | %* | .20 | % | .20 | %* | |||||||||
Ratio of Net Expenses to Average Net Assets‡ | .23 | %* | .20 | % | .20 | %* | |||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 2.09 | %* | 4.53 | % | 5.08 | %* |
See Notes to Financial Highlights 52
Financial Highlights (cont'd)
Select Class
Six Months Ended September 30, 2008 (Unaudited) | Year Ended March 31, 2008 | Period from December 18, 2006^ to March 31, 2007 | |||||||||||||
Net Asset Value, Beginning of Period | $ | 1.0002 | $ | 1.0000 | $ | 1.0000 | |||||||||
Income From Investment Operations: | |||||||||||||||
Net Investment Income (Loss) | .0102 | .0448 | .0145 | ||||||||||||
Net Gains or Losses on Securities | (.0013 | ) | .0002 | — | |||||||||||
Total From Investment Operations | .0089 | .0450 | .0145 | ||||||||||||
Less Distributions From: | |||||||||||||||
Net Investment Income | (.0102 | ) | (.0448 | ) | (.0145 | ) | |||||||||
Total Distributions | (.0102 | ) | (.0448 | ) | (.0145 | ) | |||||||||
Net Asset Value, End of Period | $ | .9989 | $ | 1.0002 | $ | 1.0000 | |||||||||
Total Return†† | 1.03 | %** | 4.57 | % | 1.46 | %** | |||||||||
Ratios/Supplemental Data | |||||||||||||||
Net Assets, End of Period (in millions) | $ | 5.0 | $ | 6.1 | $ | 1.0 | |||||||||
Ratio of Gross Expenses to Average Net Assets# | .28 | %* | .25 | % | .25 | %* | |||||||||
Ratio of Net Expenses to Average Net Assets‡ | .28 | %* | .25 | % | .25 | %* | |||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 2.05 | %* | 4.27 | % | 5.03 | %* |
Administrative Class
Six Months Ended September 30, 2008 (Unaudited) | Year Ended March 31, 2008 | Period from December 18, 2006^ to March 31, 2007 | |||||||||||||
Net Asset Value, Beginning of Period | $ | 1.0002 | $ | 1.0000 | $ | 1.0000 | |||||||||
Income From Investment Operations: | |||||||||||||||
Net Investment Income (Loss) | .0097 | .0438 | .0142 | ||||||||||||
Net Gains or Losses on Securities | (.0013 | ) | .0002 | — | |||||||||||
Total From Investment Operations | .0084 | .0440 | .0142 | ||||||||||||
Less Distributions From: | |||||||||||||||
Net Investment Income | (.0097 | ) | (.0438 | ) | (.0142 | ) | |||||||||
Total Distributions | (.0097 | ) | (.0438 | ) | (.0142 | ) | |||||||||
Net Asset Value, End of Period | $ | .9989 | $ | 1.0002 | $ | 1.0000 | |||||||||
Total Return†† | 0.97 | %** | 4.47 | % | 1.43 | %** | |||||||||
Ratios/Supplemental Data | |||||||||||||||
Net Assets, End of Period (in millions) | $ | 1.5 | $ | 34.6 | $ | 2.5 | |||||||||
Ratio of Gross Expenses to Average Net Assets# | .38 | %* | .35 | % | .35 | %* | |||||||||
Ratio of Net Expenses to Average Net Assets‡ | .38 | %* | .35 | % | .35 | %* | |||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 2.01 | %* | 3.91 | % | 4.94 | %* |
See Notes to Financial Highlights 53
Financial Highlights (cont'd)
Service Class
Six Months Ended September 30, 2008 (Unaudited) | Year Ended March 31, 2008 | Period from December 18, 2006^ to March 31, 2007 | |||||||||||||
Net Asset Value, Beginning of Period | $ | 1.0002 | $ | 1.0000 | $ | 1.0000 | |||||||||
Income From Investment Operations: | |||||||||||||||
Net Investment Income (Loss) | .0090 | .0423 | .0138 | ||||||||||||
Net Gains or Losses on Securities | (.0013 | ) | .0002 | — | |||||||||||
Total From Investment Operations | .0077 | .0425 | .0138 | ||||||||||||
Less Distributions From: | |||||||||||||||
Net Investment Income | (.0090 | ) | (.0423 | ) | (.0138 | ) | |||||||||
Total Distributions | (.0090 | ) | (.0423 | ) | (.0138 | ) | |||||||||
Net Asset Value, End of Period | $ | .9989 | $ | 1.0002 | $ | 1.0000 | |||||||||
Total Return†† | 0.90 | %** | 4.31 | % | 1.39 | %** | |||||||||
Ratios/Supplemental Data | |||||||||||||||
Net Assets, End of Period (in millions) | $ | 1.0 | $ | 1.0 | $ | 1.0 | |||||||||
Ratio of Gross Expenses to Average Net Assets# | .53 | %* | .50 | % | .50 | %* | |||||||||
Ratio of Net Expenses to Average Net Assets‡ | .53 | %* | .50 | % | .50 | %* | |||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 1.79 | %* | 4.23 | % | 4.78 | %* |
Premier Class
Six Months Ended September 30, 2008 (Unaudited) | Year Ended March 31, 2008 | Period from December 18, 2006^ to March 31, 2007 | |||||||||||||
Net Asset Value, Beginning of Period | $ | 1.0002 | $ | 1.0000 | $ | 1.0000 | |||||||||
Income From Investment Operations: | |||||||||||||||
Net Investment Income (Loss) | .0085 | .0413 | .0135 | ||||||||||||
Net Gains or Losses on Securities | (.0012 | ) | .0002 | — | |||||||||||
Total From Investment Operations | .0073 | .0415 | .0135 | ||||||||||||
Less Distributions From: | |||||||||||||||
Net Investment Income | (.0085 | ) | (.0413 | ) | (.0135 | ) | |||||||||
Total Distributions | (.0085 | ) | (.0413 | ) | (.0135 | ) | |||||||||
Net Asset Value, End of Period | $ | .9990 | $ | 1.0002 | $ | 1.0000 | |||||||||
Total Return†† | 0.85 | %** | 4.21 | % | 1.36 | %** | |||||||||
Ratios/Supplemental Data | |||||||||||||||
Net Assets, End of Period (in millions) | $ | 19.3 | $ | 1.0 | $ | 1.0 | |||||||||
Ratio of Gross Expenses to Average Net Assets# | .66 | %* | .60 | % | .60 | %* | |||||||||
Ratio of Net Expenses to Average Net Assets‡ | .66 | %* | .60 | % | .60 | %* | |||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 1.51 | %* | 4.13 | % | 4.68 | %* |
See Notes to Financial Highlights 54
Financial Highlights (cont'd)
Government Reserves Portfolio†
The following tables include selected data for a share outstanding throughout each period and other performance information derived from the Financial Statements. They should be read in conjunction with their corresponding Master Series' Financial Statements and notes thereto.
Institutional Class
Six Months Ended September 30, 2008 (Unaudited) | Period from July 9, 2007^ to March 31, 2008 | ||||||||||
Net Asset Value, Beginning of Period | $ | 1.0000 | $ | 1.0000 | |||||||
Income From Investment Operations: | |||||||||||
Net Investment Income (Loss) | .0106 | .0319 | |||||||||
Net Gains or Losses on Securities | (.0011 | ) | .0000 | ||||||||
Total From Investment Operations | .0095 | .0319 | |||||||||
Less Distributions From: | |||||||||||
Net Investment Income | (.0106 | ) | (.0319 | ) | |||||||
Total Distributions | (.0106 | ) | (.0319 | ) | |||||||
Net Asset Value, End of Period | $ | .9989 | $ | 1.0000 | |||||||
Total Return†† | 1.07 | %** | 3.23 | %** | |||||||
Ratios/Supplemental Data | |||||||||||
Net Assets, End of Period (in millions) | $ | 188.6 | $ | 888.0 | |||||||
Ratio of Gross Expenses to Average Net Assets# | .12 | %* | .10 | %* | |||||||
Ratio of Net Expenses to Average Net Assets‡ | .12 | %* | .10 | %* | |||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 2.17 | %* | 4.02 | %* |
See Notes to Financial Highlights 55
Financial Highlights (cont'd)
Cash Management Class
Six Months Ended September 30, 2008 (Unaudited) | Period from July 9, 2007^ to March 31, 2008 | ||||||||||
Net Asset Value, Beginning of Period | $ | 1.0000 | $ | 1.0000 | |||||||
Income From Investment Operations: | |||||||||||
Net Investment Income (Loss) | .0103 | .0315 | |||||||||
Net Gains or Losses on Securities | (.0006 | ) | .0000 | ||||||||
Total From Investment Operations | .0097 | .0315 | |||||||||
Less Distributions From: | |||||||||||
Net Investment Income | (.0103 | ) | (.0315 | ) | |||||||
Total Distributions | (.0103 | ) | (.0315 | ) | |||||||
Net Asset Value, End of Period | $ | .9994 | $ | 1.0000 | |||||||
Total Return†† | 1.03 | %** | 3.20 | %** | |||||||
Ratios/Supplemental Data | |||||||||||
Net Assets, End of Period (in millions) | $ | 1.0 | $ | 1.0 | |||||||
Ratio of Gross Expenses to Average Net Assets# | .19 | %* | .15 | %* | |||||||
Ratio of Net Expenses to Average Net Assets‡ | .19 | %* | .15 | %* | |||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 2.06 | %* | 4.31 | %* |
Capital Class
Six Months Ended September 30, 2008 (Unaudited) | Period from July 9, 2007^ to March 31, 2008 | ||||||||||
Net Asset Value, Beginning of Period | $ | 1.0000 | $ | 1.0000 | |||||||
Income From Investment Operations: | |||||||||||
Net Investment Income (Loss) | .0101 | .0312 | |||||||||
Net Gains or Losses on Securities | (.0006 | ) | .0000 | ||||||||
Total From Investment Operations | .0095 | .0312 | |||||||||
Less Distributions From: | |||||||||||
Net Investment Income | (.0101 | ) | (.0312 | ) | |||||||
Total Distributions | (.0101 | ) | (.0312 | ) | |||||||
Net Asset Value, End of Period | $ | .9994 | $ | 1.0000 | |||||||
Total Return†† | 1.01 | %** | 3.16 | %** | |||||||
Ratios/Supplemental Data | |||||||||||
Net Assets, End of Period (in millions) | $ | 1.0 | $ | 1.0 | |||||||
Ratio of Gross Expenses to Average Net Assets# | .24 | %* | .20 | %* | |||||||
Ratio of Net Expenses to Average Net Assets‡ | .24 | %* | .20 | %* | |||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 2.01 | %* | 4.26 | %* |
See Notes to Financial Highlights 56
Financial Highlights (cont'd)
Select Class
Six Months Ended September 30, 2008 (Unaudited) | Period from July 9, 2007^ to March 31, 2008 | ||||||||||
Net Asset Value, Beginning of Period | $ | 1.0000 | $ | 1.0000 | |||||||
Income From Investment Operations: | |||||||||||
Net Investment Income (Loss) | .0098 | .0308 | |||||||||
Net Gains or Losses on Securities | (.0006 | ) | .0000 | ||||||||
Total From Investment Operations | .0092 | .0308 | |||||||||
Less Distributions From: | |||||||||||
Net Investment Income | (.0098 | ) | (.0308 | ) | |||||||
Total Distributions | (.0098 | ) | (.0308 | ) | |||||||
Net Asset Value, End of Period | $ | .9994 | $ | 1.0000 | |||||||
Total Return†† | 0.98 | %** | 3.12 | %** | |||||||
Ratios/Supplemental Data | |||||||||||
Net Assets, End of Period (in millions) | $ | 1.0 | $ | 1.0 | |||||||
Ratio of Gross Expenses to Average Net Assets# | .29 | %* | .25 | %* | |||||||
Ratio of Net Expenses to Average Net Assets‡ | .29 | %* | .25 | %* | |||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 1.96 | %* | 4.21 | %* |
Administrative Class
Six Months Ended September 30, 2008 (Unaudited) | Period from July 9, 2007^ to March 31, 2008 | ||||||||||
Net Asset Value, Beginning of Period | $ | 1.0000 | $ | 1.0000 | |||||||
Income From Investment Operations: | |||||||||||
Net Investment Income (Loss) | .0093 | .0301 | |||||||||
Net Gains or Losses on Securities | (.0006 | ) | .0000 | ||||||||
Total From Investment Operations | .0087 | .0301 | |||||||||
Less Distributions From: | |||||||||||
Net Investment Income | (.0093 | ) | (.0301 | ) | |||||||
Total Distributions | (.0093 | ) | (.0301 | ) | |||||||
Net Asset Value, End of Period | $ | .9994 | $ | 1.0000 | |||||||
Total Return†† | 0.93 | %** | 3.05 | %** | |||||||
Ratios/Supplemental Data | |||||||||||
Net Assets, End of Period (in millions) | $ | 1.0 | $ | 1.0 | |||||||
Ratio of Gross Expenses to Average Net Assets# | .39 | %* | .35 | %* | |||||||
Ratio of Net Expenses to Average Net Assets‡ | .39 | %* | .35 | %* | |||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 1.86 | %* | 4.11 | %* |
See Notes to Financial Highlights 57
Financial Highlights (cont'd)
Service Class
Six Months Ended September 30, 2008 (Unaudited) | Period from July 9, 2007^ to March 31, 2008 | ||||||||||
Net Asset Value, Beginning of Period | $ | 1.0000 | $ | 1.0000 | |||||||
Income From Investment Operations: | |||||||||||
Net Investment Income (Loss) | .0086 | .0290 | |||||||||
Net Gains or Losses on Securities | (.0006 | ) | .0000 | ||||||||
Total From Investment Operations | .0080 | .0290 | |||||||||
Less Distributions From: | |||||||||||
Net Investment Income | (.0086 | ) | (.0290 | ) | |||||||
Total Distributions | (.0086 | ) | (.0290 | ) | |||||||
Net Asset Value, End of Period | $ | .9994 | $ | 1.0000 | |||||||
Total Return†† | 0.86 | %** | 2.93 | %** | |||||||
Ratios/Supplemental Data | |||||||||||
Net Assets, End of Period (in millions) | $ | 1.0 | $ | 1.0 | |||||||
Ratio of Gross Expenses to Average Net Assets# | .54 | %* | .50 | %* | |||||||
Ratio of Net Expenses to Average Net Assets‡ | .54 | %* | .50 | %* | |||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 1.71 | %* | 3.96 | %* |
Premier Class
Six Months Ended September 30, 2008 (Unaudited) | Period from July 9, 2007^ to March 31, 2008 | ||||||||||
Net Asset Value, Beginning of Period | $ | 1.0000 | $ | 1.0000 | |||||||
Income From Investment Operations: | |||||||||||
Net Investment Income (Loss) | .0080 | .0282 | |||||||||
Net Gains or Losses on Securities | (.0005 | ) | .0000 | ||||||||
Total From Investment Operations | .0075 | .0282 | |||||||||
Less Distributions From: | |||||||||||
Net Investment Income | (.0080 | ) | (.0282 | ) | |||||||
Total Distributions | (.0080 | ) | (.0282 | ) | |||||||
Net Asset Value, End of Period | $ | .9995 | $ | 1.0000 | |||||||
Total Return†† | 0.81 | %** | 2.86 | %** | |||||||
Ratios/Supplemental Data | |||||||||||
Net Assets, End of Period (in millions) | $ | 26.9 | $ | 1.0 | |||||||
Ratio of Gross Expenses to Average Net Assets# | .67 | %* | .60 | %* | |||||||
Ratio of Net Expenses to Average Net Assets‡ | .67 | %* | .60 | %* | |||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 1.41 | %* | 3.86 | %* |
See Notes to Financial Highlights 58
Financial Highlights (cont'd)
Treasury Fund†
The following tables include selected data for a share outstanding throughout each period and other performance information derived from the Financial Statements. They should be read in conjunction with their corresponding Master Series' Financial Statements and notes thereto.
Institutional Class
Six Months Ended September 30, 2008 (Unaudited) | Year Ended March 31, 2008 | Period from December 18, 2006^ to March 31, 2007 | |||||||||||||
Net Asset Value, Beginning of Period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | |||||||||
Income From Investment Operations: | |||||||||||||||
Net Investment Income (Loss) | .0090 | .0412 | .0146 | ||||||||||||
Net Gains or Losses on Securities | .0002 | .0000 | .0000 | ||||||||||||
Total From Investment Operations | .0092 | .0412 | .0146 | ||||||||||||
Less Distributions From: | |||||||||||||||
Net Investment Income | (.0090 | ) | (.0412 | ) | (.0146 | ) | |||||||||
Total Distributions | (.0090 | ) | (.0412 | ) | (.0146 | ) | |||||||||
Net Asset Value, End of Period | $ | 1.0002 | $ | 1.0000 | $ | 1.0000 | |||||||||
Total Return†† | 0.90 | %** | 4.20 | % | 1.47 | %** | |||||||||
Ratios/Supplemental Data | |||||||||||||||
Net Assets, End of Period (in millions) | $ | 1,038.9 | $ | 3,737.0 | $ | 448.3 | |||||||||
Ratio of Gross Expenses to Average Net Assets# | .12 | %* | .10 | % | .10 | %* | |||||||||
Ratio of Net Expenses to Average Net Assets‡ | .12 | %* | .10 | % | .10 | %* | |||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 1.87 | %* | 3.29 | % | 5.08 | %* |
See Notes to Financial Highlights 59
Financial Highlights (cont'd)
Cash Management Class
Six Months Ended September 30, 2008 (Unaudited) | Year Ended March 31, 2008 | Period from December 18, 2006^ to March 31, 2007 | |||||||||||||
Net Asset Value, Beginning of Period | $ | 1.0002 | $ | 1.0000 | $ | 1.0000 | |||||||||
Income From Investment Operations: | |||||||||||||||
Net Investment Income (Loss) | .0087 | .0407 | .0144 | ||||||||||||
Net Gains or Losses on Securities | .0001 | .0002 | .0000 | ||||||||||||
Total From Investment Operations | .0088 | .0409 | .0144 | ||||||||||||
Less Distributions From: | |||||||||||||||
Net Investment Income | (.0087 | ) | (.0407 | ) | (.0144 | ) | |||||||||
Total Distributions | (.0087 | ) | (.0407 | ) | (.0144 | ) | |||||||||
Net Asset Value, End of Period | $ | 1.0003 | $ | 1.0002 | $ | 1.0000 | |||||||||
Total Return†† | 0.87 | %** | 4.15 | % | 1.45 | %** | |||||||||
Ratios/Supplemental Data | |||||||||||||||
Net Assets, End of Period (in millions) | $ | 1.0 | $ | 1.0 | $ | 1.0 | |||||||||
Ratio of Gross Expenses to Average Net Assets# | .18 | %* | .15 | % | .15 | %* | |||||||||
Ratio of Net Expenses to Average Net Assets‡ | .18 | %* | .15 | % | .15 | %* | |||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 1.73 | %* | 4.07 | % | 5.00 | %* |
Capital Class
Six Months Ended September 30, 2008 (Unaudited) | Year Ended March 31, 2008 | Period from December 18, 2006^ to March 31, 2007 | |||||||||||||
Net Asset Value, Beginning of Period | $ | 1.0002 | $ | 1.0000 | $ | 1.0000 | |||||||||
Income From Investment Operations: | |||||||||||||||
Net Investment Income (Loss) | .0084 | .0402 | .0143 | ||||||||||||
Net Gains or Losses on Securities | .0001 | .0002 | .0000 | ||||||||||||
Total From Investment Operations | .0085 | .0404 | .0143 | ||||||||||||
Less Distributions From: | |||||||||||||||
Net Investment Income | (.0084 | ) | (.0402 | ) | (.0143 | ) | |||||||||
Total Distributions | (.0084 | ) | (.0402 | ) | (.0143 | ) | |||||||||
Net Asset Value, End of Period | $ | 1.0003 | $ | 1.0002 | $ | 1.0000 | |||||||||
Total Return†† | 0.85 | %** | 4.10 | % | 1.44 | %** | |||||||||
Ratios/Supplemental Data | |||||||||||||||
Net Assets, End of Period (in millions) | $ | 1.0 | $ | 1.0 | $ | 1.0 | |||||||||
Ratio of Gross Expenses to Average Net Assets# | .23 | %* | .20 | % | .20 | %* | |||||||||
Ratio of Net Expenses to Average Net Assets‡ | .23 | %* | .20 | % | .20 | %* | |||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 1.68 | %* | 4.02 | % | 4.95 | %* |
See Notes to Financial Highlights 60
Financial Highlights (cont'd)
Select Class
Six Months Ended September 30, 2008 (Unaudited) | Year Ended March 31, 2008 | Period from December 18, 2006^ to March 31, 2007 | |||||||||||||
Net Asset Value, Beginning of Period | $ | 1.0002 | $ | 1.0000 | $ | 1.0000 | |||||||||
Income From Investment Operations: | |||||||||||||||
Net Investment Income (Loss) | .0082 | .0397 | .0141 | ||||||||||||
Net Gains or Losses on Securities | .0001 | .0002 | .0000 | ||||||||||||
Total From Investment Operations | .0083 | .0399 | .0141 | ||||||||||||
Less Distributions From: | |||||||||||||||
Net Investment Income | (.0082 | ) | (.0397 | ) | (.0141 | ) | |||||||||
Total Distributions | (.0082 | ) | (.0397 | ) | (.0141 | ) | |||||||||
Net Asset Value, End of Period | $ | 1.0003 | $ | 1.0002 | $ | 1.0000 | |||||||||
Total Return†† | 0.82 | %** | 4.05 | % | 1.42 | %** | |||||||||
Ratios/Supplemental Data | |||||||||||||||
Net Assets, End of Period (in millions) | $ | 1.0 | $ | 1.0 | $ | 1.0 | |||||||||
Ratio of Gross Expenses to Average Net Assets# | .28 | %* | .25 | % | .25 | %* | |||||||||
Ratio of Net Expenses to Average Net Assets‡ | .28 | %* | .25 | % | .25 | %* | |||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 1.64 | %* | 3.97 | % | 4.90 | %* |
Administrative Class
Six Months Ended September 30, 2008 (Unaudited) | Year Ended March 31, 2008 | Period from December 18, 2006^ to March 31, 2007 | |||||||||||||
Net Asset Value, Beginning of Period | $ | 1.0002 | $ | 1.0000 | $ | 1.0000 | |||||||||
Income From Investment Operations: | |||||||||||||||
Net Investment Income (Loss) | .0077 | .0387 | .0139 | ||||||||||||
Net Gains or Losses on Securities | .0001 | .0002 | .0000 | ||||||||||||
Total From Investment Operations | .0078 | .0389 | .0139 | ||||||||||||
Less Distributions From: | |||||||||||||||
Net Investment Income | (.0077 | ) | (.0387 | ) | (.0139 | ) | |||||||||
Total Distributions | (.0077 | ) | (.0387 | ) | (.0139 | ) | |||||||||
Net Asset Value, End of Period | $ | 1.0003 | $ | 1.0002 | $ | 1.0000 | |||||||||
Total Return†† | 0.77 | %** | 3.94 | % | 1.39 | %** | |||||||||
Ratios/Supplemental Data | |||||||||||||||
Net Assets, End of Period (in millions) | $ | 1.0 | $ | 1.0 | $ | 1.0 | |||||||||
Ratio of Gross Expenses to Average Net Assets# | .38 | %* | .35 | % | .35 | %* | |||||||||
Ratio of Net Expenses to Average Net Assets‡ | .38 | %* | .35 | % | .35 | %* | |||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 1.54 | %* | 3.87 | % | 4.80 | %* |
See Notes to Financial Highlights 61
Financial Highlights (cont'd)
Service Class
Six Months Ended September 30, 2008 (Unaudited) | Year Ended March 31, 2008 | Period from December 18, 2006^ to March 31, 2007 | |||||||||||||
Net Asset Value, Beginning of Period | $ | 1.0002 | $ | 1.0000 | $ | 1.0000 | |||||||||
Income From Investment Operations: | |||||||||||||||
Net Investment Income (Loss) | .0070 | .0372 | .0134 | ||||||||||||
Net Gains or Losses on Securities | (.0001 | ) | .0002 | .0000 | |||||||||||
Total From Investment Operations | .0069 | .0374 | .0134 | ||||||||||||
Less Distributions From: | |||||||||||||||
Net Investment Income | (.0070 | ) | (.0372 | ) | (.0134 | ) | |||||||||
Total Distributions | (.0070 | ) | (.0372 | ) | (.0134 | ) | |||||||||
Net Asset Value, End of Period | $ | 1.0001 | $ | 1.0002 | $ | 1.0000 | |||||||||
Total Return†† | 0.70 | %** | 3.79 | % | 1.35 | %** | |||||||||
Ratios/Supplemental Data | |||||||||||||||
Net Assets, End of Period (in millions) | $ | 13.5 | $ | 1.0 | $ | 1.0 | |||||||||
Ratio of Gross Expenses to Average Net Assets# | .53 | %* | .50 | % | .50 | %* | |||||||||
Ratio of Net Expenses to Average Net Assets‡ | .53 | %* | .50 | % | .50 | %* | |||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 1.41 | %* | 3.72 | % | 4.65 | %* |
Premier Class
Six Months Ended September 30, 2008 (Unaudited) | Year Ended March 31, 2008 | Period from December 18, 2006^ to March 31, 2007 | |||||||||||||
Net Asset Value, Beginning of Period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | |||||||||
Income From Investment Operations: | |||||||||||||||
Net Investment Income (Loss) | .0065 | .0363 | .0131 | ||||||||||||
Net Gains or Losses on Securities | .0001 | .0000 | .0000 | ||||||||||||
Total From Investment Operations | .0066 | .0363 | .0131 | ||||||||||||
Less Distributions From: | |||||||||||||||
Net Investment Income | (.0065 | ) | (.0363 | ) | (.0131 | ) | |||||||||
Total Distributions | (.0065 | ) | (.0363 | ) | (.0131 | ) | |||||||||
Net Asset Value, End of Period | $ | 1.0001 | $ | 1.0000 | $ | 1.0000 | |||||||||
Total Return†† | 0.66 | %** | 3.69 | % | 1.32 | %** | |||||||||
Ratios/Supplemental Data | |||||||||||||||
Net Assets, End of Period (in millions) | $ | 250.9 | $ | 318.7 | $ | 1.0 | |||||||||
Ratio of Gross Expenses to Average Net Assets# | .61 | %* | .57 | % | .60 | %* | |||||||||
Ratio of Net Expenses to Average Net Assets‡ | .61 | %* | .57 | % | .60 | %* | |||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 1.32 | %* | 1.40 | % | 4.56 | %* |
See Notes to Financial Highlights 62
Financial Highlights (cont'd)
Tax-Exempt Portfolio†
The following tables include selected data for a share outstanding throughout each period and other performance information derived from the Financial Statements. They should be read in conjunction with their corresponding Master Series' Financial Statements and notes thereto.
Institutional Class
Six Months Ended September 30, 2008 (Unaudited) | Period from September 10, 2007^ to March 31, 2008 | ||||||||||
Net Asset Value, Beginning of Period | $ | 1.0003 | $ | 1.0000 | |||||||
Income From Investment Operations: | |||||||||||
Net Investment Income (Loss) | .0102 | .0172 | |||||||||
Net Gains or Losses on Securities | .0054 | .0003 | |||||||||
Total From Investment Operations | .0156 | .0175 | |||||||||
Less Distributions From: | |||||||||||
Net Investment Income | (.0102 | ) | (.0172 | ) | |||||||
Net Capital Gains | (.0035 | ) | — | ||||||||
Total Distributions | (.0137 | ) | (.0172 | ) | |||||||
Net Asset Value, End of Period | $ | 1.0022 | $ | 1.0003 | |||||||
Total Return†† | 1.38 | %** | 1.73 | %** | |||||||
Ratios/Supplemental Data | |||||||||||
Net Assets, End of Period (in millions) | $ | 76.9 | $ | 390.3 | |||||||
Ratio of Gross Expenses to Average Net Assets# | .18 | %* | .15 | %* | |||||||
Ratio of Net Expenses to Average Net Assets‡ | .18 | %* | .15 | %* | |||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 1.86 | %* | 2.93 | %* |
See Notes to Financial Highlights 63
Financial Highlights (cont'd)
Cash Management Class
Six Months Ended September 30, 2008 (Unaudited) | Period from September 10, 2007^ to March 31, 2008 | ||||||||||
Net Asset Value, Beginning of Period | $ | 1.0023 | $ | 1.0000 | |||||||
Income From Investment Operations: | |||||||||||
Net Investment Income (Loss) | .0100 | .0170 | |||||||||
Net Gains or Losses on Securities | .0000 | .0023 | |||||||||
Total From Investment Operations | .0100 | .0193 | |||||||||
Less Distributions From: | |||||||||||
Net Investment Income | (.0100 | ) | (.0170 | ) | |||||||
Net Capital Gains | (.0035 | ) | — | ||||||||
Total Distributions | (.0135 | ) | (.0170 | ) | |||||||
Net Asset Value, End of Period | $ | .9988 | $ | 1.0023 | |||||||
Total Return†† | 1.36 | %** | 1.71 | %** | |||||||
Ratios/Supplemental Data | |||||||||||
Net Assets, End of Period (in millions) | $ | 2.0 | $ | 1.0 | |||||||
Ratio of Gross Expenses to Average Net Assets# | .21 | %* | .20 | %* | |||||||
Ratio of Net Expenses to Average Net Assets‡ | .21 | %* | .20 | %* | |||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 2.01 | %* | 3.19 | %* |
See Notes to Financial Highlights 64
Financial Highlights (cont'd)
Capital Class
Six Months Ended September 30, 2008 (Unaudited) | Period from September 10, 2007^ to March 31, 2008 | ||||||||||
Net Asset Value, Beginning of Period | $ | 1.0003 | $ | 1.0000 | |||||||
Income From Investment Operations: | |||||||||||
Net Investment Income (Loss) | .0097 | .0167 | |||||||||
Net Gains or Losses on Securities | .0020 | .0003 | |||||||||
Total From Investment Operations | .0117 | .0170 | |||||||||
Less Distributions From: | |||||||||||
Net Investment Income | (.0097 | ) | (.0167 | ) | |||||||
Net Capital Gains | (.0035 | ) | — | ||||||||
Total Distributions | (.0132 | ) | (.0167 | ) | |||||||
Net Asset Value, End of Period | $ | .9988 | $ | 1.0003 | |||||||
Total Return†† | 1.33 | %** | 1.68 | %** | |||||||
Ratios/Supplemental Data | |||||||||||
Net Assets, End of Period (in millions) | $ | 1.0 | $ | 1.0 | |||||||
Ratio of Gross Expenses to Average Net Assets# | .28 | %* | .25 | %* | |||||||
Ratio of Net Expenses to Average Net Assets‡ | .28 | %* | .25 | %* | |||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 1.59 | %* | 2.98 | %* |
See Notes to Financial Highlights 65
Financial Highlights (cont'd)
Select Class
Six Months Ended September 30, 2008 (Unaudited) | Period from September 10, 2007^ to March 31, 2008 | ||||||||||
Net Asset Value, Beginning of Period | $ | 1.0003 | $ | 1.0000 | |||||||
Income From Investment Operations: | |||||||||||
Net Investment Income (Loss) | .0094 | .0164 | |||||||||
Net Gains or Losses on Securities | .0020 | .0003 | |||||||||
Total From Investment Operations | .0114 | .0167 | |||||||||
Less Distributions From: | |||||||||||
Net Investment Income | (.0094 | ) | (.0164 | ) | |||||||
Net Capital Gains | (.0035 | ) | — | ||||||||
Total Distributions | (.0129 | ) | (.0164 | ) | |||||||
Net Asset Value, End of Period | $ | .9988 | $ | 1.0003 | |||||||
Total Return†† | 1.30 | %** | 1.65 | %** | |||||||
Ratios/Supplemental Data | |||||||||||
Net Assets, End of Period (in millions) | $ | 1.0 | $ | 1.0 | |||||||
Ratio of Gross Expenses to Average Net Assets# | .33 | %* | .30 | %* | |||||||
Ratio of Net Expenses to Average Net Assets‡ | .33 | %* | .30 | %* | |||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 1.88 | %* | 2.93 | %* |
See Notes to Financial Highlights 66
Financial Highlights (cont'd)
Administrative Class
Six Months Ended September 30, 2008 (Unaudited) | Period from September 10, 2007^ to March 31, 2008 | ||||||||||
Net Asset Value, Beginning of Period | $ | 1.0003 | $ | 1.0000 | |||||||
Income From Investment Operations: | |||||||||||
Net Investment Income (Loss) | .0089 | .0158 | |||||||||
Net Gains or Losses on Securities | .0020 | .0003 | |||||||||
Total From Investment Operations | .0109 | .0161 | |||||||||
Less Distributions From: | |||||||||||
Net Investment Income | (.0089 | ) | (.0158 | ) | |||||||
Net Capital Gains | (.0035 | ) | — | ||||||||
Total Distributions | (.0124 | ) | (.0158 | ) | |||||||
Net Asset Value, End of Period | $ | .9988 | $ | 1.0003 | |||||||
Total Return†† | 1.25 | %** | 1.59 | %** | |||||||
Ratios/Supplemental Data | |||||||||||
Net Assets, End of Period (in millions) | $ | 1.0 | $ | 1.0 | |||||||
Ratio of Gross Expenses to Average Net Assets# | .43 | %* | .40 | %* | |||||||
Ratio of Net Expenses to Average Net Assets‡ | .43 | %* | .40 | %* | |||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 1.78 | %* | 2.83 | %* |
See Notes to Financial Highlights 67
Financial Highlights (cont'd)
Service Class
Six Months Ended September 30, 2008 (Unaudited) | Period from September 10, 2007^ to March 31, 2008 | ||||||||||
Net Asset Value, Beginning of Period | $ | 1.0003 | $ | 1.0000 | |||||||
Income From Investment Operations: | |||||||||||
Net Investment Income (Loss) | .0082 | .0150 | |||||||||
Net Gains or Losses on Securities | .0020 | .0003 | |||||||||
Total From Investment Operations | .0102 | .0153 | |||||||||
Less Distributions From: | |||||||||||
Net Investment Income | (.0082 | ) | (.0150 | ) | |||||||
Net Capital Gains | (.0035 | ) | — | ||||||||
Total Distributions | (.0117 | ) | (.0150 | ) | |||||||
Net Asset Value, End of Period | $ | .9988 | $ | 1.0003 | |||||||
Total Return†† | 1.17 | %** | 1.51 | %** | |||||||
Ratios/Supplemental Data | |||||||||||
Net Assets, End of Period (in millions) | $ | 1.0 | $ | 1.0 | |||||||
Ratio of Gross Expenses to Average Net Assets# | .58 | %* | .55 | %* | |||||||
Ratio of Net Expenses to Average Net Assets‡ | .58 | %* | .55 | %* | |||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 1.63 | %* | 2.68 | %* |
See Notes to Financial Highlights 68
Financial Highlights (cont'd)
Premier Class
Six Months Ended September 30, 2008 (Unaudited) | Period from September 10, 2007^ to March 31, 2008 | ||||||||||
Net Asset Value, Beginning of Period | $ | 1.0002 | $ | 1.0000 | |||||||
Income From Investment Operations: | |||||||||||
Net Investment Income (Loss) | .0077 | .0144 | |||||||||
Net Gains or Losses on Securities | .0012 | .0002 | |||||||||
Total From Investment Operations | .0089 | .0146 | |||||||||
Less Distributions From: | |||||||||||
Net Investment Income | (.0077 | ) | (.0144 | ) | |||||||
Net Capital Gains | (.0035 | ) | — | ||||||||
Total Distributions | (.0112 | ) | (.0144 | ) | |||||||
Net Asset Value, End of Period | $ | .9979 | $ | 1.0002 | |||||||
Total Return†† | 1.12 | %** | 1.45 | %** | |||||||
Ratios/Supplemental Data | |||||||||||
Net Assets, End of Period (in millions) | $ | 50.3 | $ | 39.7 | |||||||
Ratio of Gross Expenses to Average Net Assets# | .68 | %* | .65 | %* | |||||||
Ratio of Net Expenses to Average Net Assets‡ | .68 | %* | .65 | %* | |||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 1.48 | %* | 2.12 | %* |
See Notes to Financial Highlights 69
Financial Highlights (cont'd)
Municipal Portfolio†
The following tables include selected data for a share outstanding throughout each period and other performance information derived from the Financial Statements. They should be read in conjunction with their corresponding Master Series' Financial Statements and notes thereto.
Institutional Class
Six Months Ended September 30, 2008 (Unaudited) | Period from September 10, 2007^ to March 31, 2008 | ||||||||||
Net Asset Value, Beginning of Period | $ | 1.0003 | $ | 1.0000 | |||||||
Income From Investment Operations: | |||||||||||
Net Investment Income (Loss) | .0118 | .0178 | |||||||||
Net Gains or Losses on Securities | (.0009 | ) | .0003 | ||||||||
Total From Investment Operations | .0109 | .0181 | |||||||||
Less Distributions From: | |||||||||||
Net Investment Income | (.0118 | ) | (.0178 | ) | |||||||
Total Distributions | (.0118 | ) | (.0178 | ) | |||||||
Net Asset Value, End of Period | $ | .9994 | $ | 1.0003 | |||||||
Total Return†† | 1.19 | %** | 1.79 | %** | |||||||
Ratios/Supplemental Data | |||||||||||
Net Assets, End of Period (in millions) | $ | 1.0 | $ | 27.9 | |||||||
Ratio of Gross Expenses to Average Net Assets# | .18 | %* | .15 | %* | |||||||
Ratio of Net Expenses to Average Net Assets‡ | .18 | %* | .15 | %* | |||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 2.09 | %* | 3.28 | %* |
See Notes to Financial Highlights 70
Financial Highlights (cont'd)
Cash Management Class
Six Months Ended September 30, 2008 (Unaudited) | Period from September 10, 2007^ to March 31, 2008 | ||||||||||
Net Asset Value, Beginning of Period | $ | 1.0010 | $ | 1.0000 | |||||||
Income From Investment Operations: | |||||||||||
Net Investment Income (Loss) | .0115 | .0175 | |||||||||
Net Gains or Losses on Securities | (.0007 | ) | .0010 | ||||||||
Total From Investment Operations | .0108 | .0185 | |||||||||
Less Distributions From: | |||||||||||
Net Investment Income | (.0115 | ) | (.0175 | ) | |||||||
Total Distributions | (.0115 | ) | (.0175 | ) | |||||||
Net Asset Value, End of Period | $ | 1.0003 | $ | 1.0010 | |||||||
Total Return†† | 1.15 | %** | 1.76 | %** | |||||||
Ratios/Supplemental Data | |||||||||||
Net Assets, End of Period (in millions) | $ | 1.0 | $ | 1.1 | |||||||
Ratio of Gross Expenses to Average Net Assets# | .21 | %* | .20 | %* | |||||||
Ratio of Net Expenses to Average Net Assets‡ | .21 | %* | .20 | %* | |||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 2.33 | %* | 2.75 | %* |
See Notes to Financial Highlights 71
Financial Highlights (cont'd)
Capital Class
Six Months Ended September 30, 2008 (Unaudited) | Period from September 10, 2007^ to March 31, 2008 | ||||||||||
Net Asset Value, Beginning of Period | $ | 1.0002 | $ | 1.0000 | |||||||
Income From Investment Operations: | |||||||||||
Net Investment Income (Loss) | .0112 | .0172 | |||||||||
Net Gains or Losses on Securities | (.0003 | ) | .0002 | ||||||||
Total From Investment Operations | .0109 | .0174 | |||||||||
Less Distributions From: | |||||||||||
Net Investment Income | (.0112 | ) | (.0172 | ) | |||||||
Total Distributions | (.0112 | ) | (.0172 | ) | |||||||
Net Asset Value, End of Period | $ | .9999 | $ | 1.0002 | |||||||
Total Return†† | 1.13 | %** | 1.73 | %** | |||||||
Ratios/Supplemental Data | |||||||||||
Net Assets, End of Period (in millions) | $ | 1.0 | $ | 1.0 | |||||||
Ratio of Gross Expenses to Average Net Assets# | .28 | %* | .25 | %* | |||||||
Ratio of Net Expenses to Average Net Assets‡ | .28 | %* | .25 | %* | |||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 2.24 | %* | 3.08 | %* |
See Notes to Financial Highlights 72
Financial Highlights (cont'd)
Select Class
Six Months Ended September 30, 2008 (Unaudited) | Period from September 10, 2007^ to March 31, 2008 | ||||||||||
Net Asset Value, Beginning of Period | $ | 1.0002 | $ | 1.0000 | |||||||
Income From Investment Operations: | |||||||||||
Net Investment Income (Loss) | .0110 | .0169 | |||||||||
Net Gains or Losses on Securities | (.0003 | ) | .0002 | ||||||||
Total From Investment Operations | .0107 | .0171 | |||||||||
Less Distributions From: | |||||||||||
Net Investment Income | (.0110 | ) | (.0169 | ) | |||||||
Total Distributions | (.0110 | ) | (.0169 | ) | |||||||
Net Asset Value, End of Period | $ | .9999 | $ | 1.0002 | |||||||
Total Return†† | 1.10 | %** | 1.70 | %** | |||||||
Ratios/Supplemental Data | |||||||||||
Net Assets, End of Period (in millions) | $ | 1.0 | $ | 1.0 | |||||||
Ratio of Gross Expenses to Average Net Assets# | .33 | %* | .30 | %* | |||||||
Ratio of Net Expenses to Average Net Assets‡ | .33 | %* | .30 | %* | |||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 2.19 | %* | 3.03 | %* |
See Notes to Financial Highlights 73
Financial Highlights (cont'd)
Administrative Class
Six Months Ended September 30, 2008 (Unaudited) | Period from September 10, 2007^ to March 31, 2008 | ||||||||||
Net Asset Value, Beginning of Period | $ | 1.0002 | $ | 1.0000 | |||||||
Income From Investment Operations: | |||||||||||
Net Investment Income (Loss) | .0105 | .0164 | |||||||||
Net Gains or Losses on Securities | (.0003 | ) | .0002 | ||||||||
Total From Investment Operations | .0102 | .0166 | |||||||||
Less Distributions From: | |||||||||||
Net Investment Income | (.0105 | ) | (.0164 | ) | |||||||
Total Distributions | (.0105 | ) | (.0164 | ) | |||||||
Net Asset Value, End of Period | $ | .9999 | $ | 1.0002 | |||||||
Total Return†† | 1.05 | %** | 1.65 | %** | |||||||
Ratios/Supplemental Data | |||||||||||
Net Assets, End of Period (in millions) | $ | 1.0 | $ | 1.0 | |||||||
Ratio of Gross Expenses to Average Net Assets# | .43 | %* | .40 | %* | |||||||
Ratio of Net Expenses to Average Net Assets‡ | .43 | %* | .40 | %* | |||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 2.09 | %* | 2.93 | %* |
See Notes to Financial Highlights 74
Financial Highlights (cont'd)
Service Class
Six Months Ended September 30, 2008 (Unaudited) | Period from September 10, 2007^ to March 31, 2008 | ||||||||||
Net Asset Value, Beginning of Period | $ | 1.0002 | $ | 1.0000 | |||||||
Income From Investment Operations: | |||||||||||
Net Investment Income (Loss) | .0097 | .0155 | |||||||||
Net Gains or Losses on Securities | (.0003 | ) | .0002 | ||||||||
Total From Investment Operations | .0094 | .0157 | |||||||||
Less Distributions From: | |||||||||||
Net Investment Income | (.0097 | ) | (.0155 | ) | |||||||
Total Distributions | (.0097 | ) | (.0155 | ) | |||||||
Net Asset Value, End of Period | $ | .9999 | $ | 1.0002 | |||||||
Total Return†† | 0.98 | %** | 1.56 | %** | |||||||
Ratios/Supplemental Data | |||||||||||
Net Assets, End of Period (in millions) | $ | 1.0 | $ | 1.0 | |||||||
Ratio of Gross Expenses to Average Net Assets# | .58 | %* | .55 | %* | |||||||
Ratio of Net Expenses to Average Net Assets‡ | .58 | %* | .55 | %* | |||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 1.94 | %* | 2.78 | %* |
See Notes to Financial Highlights 75
Financial Highlights (cont'd)
Premier Class
Six Months Ended September 30, 2008 (Unaudited) | Period from September 10, 2007^ to March 31, 2008 | ||||||||||
Net Asset Value, Beginning of Period | $ | 1.0002 | $ | 1.0000 | |||||||
Income From Investment Operations: | |||||||||||
Net Investment Income (Loss) | .0092 | .0150 | |||||||||
Net Gains or Losses on Securities | (.0004 | ) | .0002 | ||||||||
Total From Investment Operations | .0088 | .0152 | |||||||||
Less Distributions From: | |||||||||||
Net Investment Income | (.0092 | ) | (.0150 | ) | |||||||
Total Distributions | (.0092 | ) | (.0150 | ) | |||||||
Net Asset Value, End of Period | $ | .9998 | $ | 1.0002 | |||||||
Total Return†† | 0.93 | %** | 1.51 | %** | |||||||
Ratios/Supplemental Data | |||||||||||
Net Assets, End of Period (in millions) | $ | 1.0 | $ | 1.0 | |||||||
Ratio of Gross Expenses to Average Net Assets# | .68 | %* | .65 | %* | |||||||
Ratio of Net Expenses to Average Net Assets‡ | .68 | %* | .65 | %* | |||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 1.84 | %* | 2.67 | %* |
See Notes to Financial Highlights 76
Notes to Financial Highlights Institutional Liquidity Funds (Unaudited)
† The per share amounts and ratios which are shown reflect income and expenses, including the Portfolio's proportionate share of its corresponding Master Series' income and expenses.
†† Total return based on per share net asset value reflects the effects of changes in net asset value on the performance of the Portfolio during the fiscal period and assumes dividends and other distributions, if any, were reinvested. Results represent past performance and do not guarantee future results. Current returns may be lower or higher than the performance data quoted. Investment returns and principal may fluctuate and shares when redeemed may be worth more or less than original cost. Total return would have been lower if Management had not reimbursed and/or waived certain expenses (see Note B of Notes to Financial Statements of Institutional Liquidity Funds).
‡ After reimbursement and/or waiver of certain expenses by Management (see Note B of Notes to Financial Statements of Institutional Liquidity Funds). Had Management not undertaken such actions, the annualized ratios of net expenses to average daily net assets would have been:
Six Months Ended September 30, 2008 | Year Ended March 31, 2008(2) | Period Ended March 31, 2007(1) | |||||||||||||
Money Market Institutional Class | 0.37 | % | 0.29 | % | 0.71 | % | |||||||||
Money Market Cash Management Class | 0.80 | % | 0.33 | % | 1.91 | % | |||||||||
Money Market Capital Class | 0.85 | % | 0.36 | % | 1.96 | % | |||||||||
Money Market Select Class | 0.90 | % | 0.41 | % | 2.01 | % | |||||||||
Money Market Administrative Class | 1.00 | % | 0.51 | % | 2.11 | % | |||||||||
Money Market Service Class | 1.15 | % | 0.66 | % | 2.26 | % | |||||||||
Money Market Premier Class | 1.25 | % | 0.76 | % | 2.36 | % | |||||||||
Prime Institutional Class | 0.23 | % | 0.21 | % | 0.26 | % | |||||||||
Prime Cash Management Class | 0.28 | % | 0.26 | % | 0.56 | % | |||||||||
Prime Capital Class | 0.34 | % | 0.31 | % | 0.61 | % | |||||||||
Prime Select Class | 0.39 | % | 0.36 | % | 0.66 | % | |||||||||
Prime Administrative Class | 0.48 | % | 0.47 | % | 0.76 | % | |||||||||
Prime Service Class | 0.65 | % | 0.62 | % | 0.91 | % | |||||||||
Prime Premier Class | 0.74 | % | 0.71 | % | 0.89 | % | |||||||||
Government Institutional Class | 0.23 | % | 0.22 | % | 0.27 | % | |||||||||
Government Cash Management Class | 0.30 | % | 0.28 | % | 0.36 | % | |||||||||
Government Capital Class | 0.35 | % | 0.33 | % | 0.41 | % | |||||||||
Government Select Class | 0.39 | % | 0.37 | % | 0.46 | % | |||||||||
Government Administrative Class | 0.48 | % | 0.46 | % | 0.53 | % | |||||||||
Government Service Class | 0.65 | % | 0.63 | % | 0.71 | % | |||||||||
Government Premier Class | 0.77 | % | 0.73 | % | 0.81 | % | |||||||||
Government Reserves Institutional Class | 0.25 | % | 0.26 | % | — | ||||||||||
Government Reserves Cash Management Class | 0.30 | % | 0.33 | % | — | ||||||||||
Government Reserves Capital Class | 0.35 | % | 0.38 | % | — | ||||||||||
Government Reserves Select Class | 0.40 | % | 0.43 | % | — | ||||||||||
Government Reserves Administrative Class | 0.50 | % | 0.53 | % | — |
77
Notes to Financial Highlights Institutional Liquidity Funds (Unaudited) (cont'd)
Six Months Ended September 30, 2008 | Year Ended March 31, 2008(2) | Period Ended March 31, 2007(1) | |||||||||||||
Government Reserves Service Class | 0.65 | % | 0.68 | % | — | ||||||||||
Government Reserves Premier Class | 0.77 | % | 0.78 | % | — | ||||||||||
Treasury Institutional Class | 0.21 | % | 0.22 | % | 0.34 | % | |||||||||
Treasury Cash Management Class | 0.27 | % | 0.30 | % | 0.43 | % | |||||||||
Treasury Capital Class | 0.32 | % | 0.35 | % | 0.48 | % | |||||||||
Treasury Select Class | 0.37 | % | 0.40 | % | 0.53 | % | |||||||||
Treasury Administrative Class | 0.47 | % | 0.50 | % | 0.63 | % | |||||||||
Treasury Service Class | 0.62 | % | 0.65 | % | 0.78 | % | |||||||||
Treasury Premier Class | 0.72 | % | 0.69 | % | 0.88 | % | |||||||||
Tax-Exempt Institutional Class | 0.36 | % | 0.42 | % | — | ||||||||||
Tax-Exempt Cash Management Class | 0.42 | % | 0.42 | % | — | ||||||||||
Tax-Exempt Capital Class | 0.45 | % | 0.59 | % | — | ||||||||||
Tax-Exempt Select Class | 0.53 | % | 0.64 | % | — | ||||||||||
Tax-Exempt Administrative Class | 0.63 | % | 0.74 | % | — | ||||||||||
Tax-Exempt Service Class | 0.78 | % | 0.89 | % | — | ||||||||||
Tax-Exempt Premier Class | 0.88 | % | 0.95 | % | — | ||||||||||
Municipal Institutional Class | 0.66 | % | 0.68 | % | — | ||||||||||
Municipal Cash Management Class | 0.87 | % | 0.83 | % | — | ||||||||||
Municipal Capital Class | 1.13 | % | 1.19 | % | — | ||||||||||
Municipal Select Class | 1.18 | % | 1.24 | % | — | ||||||||||
Municipal Administrative Class | 1.28 | % | 1.34 | % | — | ||||||||||
Municipal Service Class | 1.43 | % | 1.49 | % | — | ||||||||||
Municipal Premier Class | 1.53 | % | 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.
* Annualized.
** Not annualized.
# The Portfolio is required to calculate an expense ratio without taking into consideration any expense reductions related to expense offset arrangements.
78
Schedule of Investments Money Market Master Series
(Unaudited)
PRINCIPAL AMOUNT | VALUE†† | ||||||||||
(000's omitted) | (000's omitted) | ||||||||||
Certificates of Deposit (21.1%) | |||||||||||
$ | 600 | Banca Intesa NY, Yankee CD, 2.80% & 2.81%, due 11/6/08 & 11/20/08 | $ | 600 | |||||||
400 | Bank of Ireland, Yankee CD, 2.68%, due 10/20/08 | 400 | |||||||||
400 | Bank of Nova Scotia NY, Yankee CD, 2.74%, due 10/15/08 | 400 | |||||||||
800 | Bank of Scotland PLC, Yankee CD, 2.75% & 2.81%, due 10/9/08 & 12/9/08 | 800 | |||||||||
600 | Calyon NY, Yankee CD, 2.73%, due 10/20/08 | 600 | |||||||||
100 | KBC Bank, Yankee CD, 2.79%, due 10/15/08 | 100 | |||||||||
800 | Natixis NY, Yankee CD, 2.90%, due 11/26/08 & 12/5/08 | 800 | |||||||||
400 | Rabobank Nederland NY, Yankee CD, 2.70%, due 11/14/08 | 400 | |||||||||
300 | Royal Bank of Scotland, Yankee CD, 2.65%, due 10/15/08 | 300 | |||||||||
400 | Skandinaviska Enskilda Banken, Yankee CD, 2.81%, due 11/19/08 | 400 | |||||||||
300 | Societe Generale NY, Yankee CD, 2.80%, due 11/19/08 | 300 | |||||||||
400 | US Bank, Yankee CD, 2.56%, due 10/17/08 | 400 | |||||||||
Total Certificates of Deposit | 5,500 | ||||||||||
Commercial Paper (32.2%) | |||||||||||
Asset Backed (14.9%) | |||||||||||
700 | Amsterdam Funding Corp., 2.70% & 2.75%, due 10/22/08 & 11/12/08 | 698 | ñ | ||||||||
577 | Barton Capital Corp., 2.65%, due 11/4/08 | 575 | ñ | ||||||||
800 | Charta LLC, 2.80% , due 11/4/08 & 11/5/08 | 798 | ñ | ||||||||
539 | Ciesco LLC, 2.62% & 2.75%, due 10/20/08 & 10/28/08 | 538 | ñ | ||||||||
160 | Old Line Funding LLC, 2.65%, due 10/14/08 | 160 | ñ | ||||||||
210 | Regency Markets No. 1 LLC, 2.65%, due 10/1/08 | 210 | ñ | ||||||||
600 | Sheffield Receivables Corp., 2.60%, due 10/10/08 | 600 | ñ | ||||||||
300 | Thames Asset Securitization LLC, 2.73%, due 11/17/08 | 299 | ñ | ||||||||
3,878 | |||||||||||
Banking (17.3%) | |||||||||||
500 | Allied Irish Banks PLC, 2.85% & 2.86%, due 10/29/08 & 11/20/08 | 498 | ñ | ||||||||
400 | Bank of Ireland, 2.84%, due 11/20/08 | 398 | ñ | ||||||||
400 | Caisse Nationale d'Epargne, 2.82%, due 11/3/08 | 399 | ñ | ||||||||
400 | Danske Corp., 2.70%, due 10/7/08 | 400 | ñ | ||||||||
700 | Dexia Delaware LLC, 2.79%, due 10/8/08 | 700 | |||||||||
100 | HSBC Finance Corp., 2.73%, due 11/3/08 | 100 | |||||||||
100 | Intesa Funding LLC, 2.78%, due 11/6/08 | 100 | |||||||||
300 | Rabobank USA, 2.53%, due 11/4/08 | 299 | |||||||||
400 | Skandinaviska Enskilda Banken, 2.79%, due 11/25/08 | 398 | ñ | ||||||||
300 | Unicredito Italiano PLC, 2.79%, due 10/16/08 | 300 | ñ | ||||||||
700 | Wells Fargo & Co., 2.52%, due 10/14/08 | 699 | |||||||||
200 | Westpac Banking Corp., 2.75%, due 10/16/08 | 200 | ñ | ||||||||
4,491 | |||||||||||
Total Commercial Paper | 8,369 | ||||||||||
Floating Rate Corporate Debt Securities (7.3%)µ | |||||||||||
Banking (2.7%) | |||||||||||
300 | Wachovia Bank NA, Senior Unsecured Floating Rate Notes, 2.87%, due 10/27/08 | 300 | |||||||||
400 | Westpac Banking Corp., Floating Rate Medium-Term Notes, 2.61% & 2.95%, due 10/1/08 & 11/6/08 | 400 | ñ | ||||||||
700 | |||||||||||
Conglomerate (2.7%) | |||||||||||
700 | General Electric Capital Corp., Senior Unsecured Floating Rate Medium-Term Notes, Ser. A, 7.18%, due 10/1/08 | 700 |
See Notes to Schedule of Investments 79
PRINCIPAL AMOUNT | VALUE†† | ||||||||||
(000's omitted) | (000's omitted) | ||||||||||
Financial Services (1.9%) | |||||||||||
$ | 500 | Merrill Lynch & Co., Senior Unsecured Floating Rate Medium-Term Notes, 2.91%, due 10/20/08 | $ | 500 | |||||||
Total Floating Rate Corporate Debt Securities | 1,900 | ||||||||||
Total Investments (60.6%) | 15,769 | ||||||||||
Cash, receivables and other assets, less liabilities (39.4%) | 10,237 | ||||||||||
Total Net Assets (100.0%) | $ | 26,006 |
See Notes to Schedule of Investments 80
Schedule of Investments Prime Master Series
(Unaudited)
PRINCIPAL AMOUNT | VALUE†† | ||||||||||
(000's omitted) | (000's omitted) | ||||||||||
Certificates of Deposit (24.6%) | |||||||||||
$ | 58,200 | Banca Intesa NY, Yankee CD, 2.80% – 2.81%, due 11/6/08 – 11/26/08 | $ | 58,200 | |||||||
23,300 | Bank of Nova Scotia NY, Yankee CD, 2.74%, due 10/15/08 | 23,300 | |||||||||
68,100 | Bank of Scotland PLC, Yankee CD, 2.75% – 2.81%, due 10/9/08 – 12/9/08 | 68,101 | |||||||||
17,500 | Calyon NY, Yankee CD, 2.64%, due 10/27/08 | 17,500 | |||||||||
5,800 | Fortis Bank NY, Yankee CD, 2.85%, due 11/6/08 | 5,800 | |||||||||
30,200 | KBC Bank, Yankee CD, 2.79%, due 10/15/08 | 30,200 | |||||||||
40,900 | Natixis NY, Yankee CD, 2.90%, due 11/26/08 & 12/5/08 | 40,900 | |||||||||
19,140 | Royal Bank of Scotland, Yankee CD, 2.75%, due 10/15/08 | 19,141 | |||||||||
19,400 | Skandinaviska Enskilda Banken, Yankee CD, 2.81%, due 11/19/08 | 19,400 | |||||||||
15,600 | Societe Generale NY, Yankee CD, 2.80%, due 11/19/08 | 15,600 | |||||||||
9,800 | Unicredito Italiano NY, Yankee CD, 3.59%, due 10/16/08 | 9,802 | |||||||||
Total Certificates of Deposit | 307,944 | ||||||||||
Commercial Paper (34.6%) | |||||||||||
40,900 | Allied Irish Banks PLC, 2.83% & 2.85%, due 10/29/08 & 11/21/08 | 40,792 | ñ | ||||||||
77,800 | Bank of Ireland, 2.79% – 2.81%, due 10/21/08 – 11/5/08 | 77,627 | ñ | ||||||||
38,900 | Caisse Nationale d'Epargne, 2.82%, due 11/3/08 | 38,799 | ñ | ||||||||
72,115 | Danske Corp., 2.45% & 2.70%, due 10/2/08 & 11/3/08 | 72,040 | ñ | ||||||||
36,900 | Dexia Delaware LLC, 2.79% & 2.81%, due 10/8/08 & 11/12/08 | 36,832 | |||||||||
27,200 | Intesa Funding LLC, 2.78%, due 11/6/08 | 27,124 | |||||||||
23,300 | Skandinaviska Enskilda Banken, 2.79%, due 11/25/08 | 23,201 | ñ | ||||||||
19,400 | Societe Generale NA, 2.79%, due 11/6/08 | 19,346 | |||||||||
3,900 | Swedbank Mortgage AB, 2.80%, due 10/6/08 | 3,899 | |||||||||
38,800 | UBS Finance, Inc., 2.68% & 2.80%, due 10/27/08 & 11/5/08 | 38,710 | |||||||||
35,000 | Unicredito Italiano PLC, 2.96%, due 10/29/08 | 34,919 | ñ | ||||||||
19,400 | Westpac Banking Corp., 2.69%, due 10/27/08 | 19,362 | ñ | ||||||||
Total Commercial Paper | 432,651 | ||||||||||
Floating Rate Corporate Debt Securities (10.4%)µ | |||||||||||
Banking (4.2%) | |||||||||||
19,400 | Wachovia Bank NA, Senior Unsecured Floating Rate Notes, 2.87%, due 10/27/08 | 19,400 | |||||||||
2,000 | Wachovia Corp., Senior Unsecured Floating Rate Notes, 2.85%, due 10/28/08 | 2,000 | |||||||||
31,100 | Wells Fargo & Co., Senior Unsecured Floating Rate Medium-Term Notes, 2.90%, due 10/20/08 | 31,099 | |||||||||
52,499 | |||||||||||
Conglomerate (3.9%) | |||||||||||
48,600 | General Electric Capital Corp., Senior Unsecured Floating Rate Medium-Term Notes, Ser. A, 7.08%, due 10/1/08 | 48,598 | |||||||||
Financial Services (2.3%) | |||||||||||
29,200 | Merrill Lynch & Co., Senior Unsecured Floating Rate Medium-Term Notes, 2.91%, due 10/20/08 | 29,200 | |||||||||
Total Floating Rate Corporate Debt Securities | 130,297 | ||||||||||
Repurchase Agreements (21.6%) | |||||||||||
$ | 270,000 | Goldman Sachs Repurchase Agreement, 1.15%, due 10/1/08, dated 9/30/08, Maturity Value $270,008,625, Collateralized by $250,657,116, Fannie Mae, 5.50% – 6.00%, due 9/1/22 – 11/1/37, and $153,327,553, Freddie Mac, 4.50% – 6.00%, due 4/1/19 – 8/1/38 (Collateral Value $275,400,000) | 270,000 | ||||||||
Total Investments (91.2%) | 1,140,892 | ||||||||||
Cash, receivables and other assets, less liabilities (8.8%) | 110,539 | ||||||||||
Total Net Assets (100.0%) | $ | 1,251,431 |
See Notes to Schedule of Investments 81
Schedule of Investments Government Master Series
(Unaudited)
PRINCIPAL AMOUNT | VALUE†† | ||||||||||
(000's omitted) | (000's omitted) | ||||||||||
U.S. Government Agency Securities (35.0%) | |||||||||||
$ | 15,000 | Fannie Mae, Bonds, 3.13%, due 3/16/09 | $ | 15,038 | |||||||
1,900 | Fannie Mae, Disc. Notes, 2.41% & 3.56%, due 11/28/08 & 1/30/09 | 1,885 | |||||||||
25,000 | Fannie Mae, Floating Rate Notes, 2.10%, due 10/1/08 | 25,000 | µ | ||||||||
1,000 | Fannie Mae, Notes, 4.13%, due 4/29/09 | 1,011 | |||||||||
7,500 | Federal Farm Credit Bank, Bonds, 3.60%, due 1/14/09 | 7,521 | |||||||||
45,000 | Federal Farm Credit Bank, Floating Rate Bonds, 2.04% & 2.06%, due 10/1/08 | 44,998 | µ | ||||||||
89,000 | Federal Home Loan Bank, Bonds, 2.19% – 2.80%, due 2/11/09 – 5/14/09 | 89,000 | |||||||||
224,630 | Federal Home Loan Bank, Disc. Notes, 1.85% – 2.47%, due 10/1/08 – 4/27/09 | 224,388 | |||||||||
175,000 | Federal Home Loan Bank, Floating Rate Bonds, 1.89% – 3.64%, due 10/1/08 – 12/24/08 | 174,989 | µ | ||||||||
1,498 | Freddie Mac, Disc. Notes, 2.47%, due 2/2/09 | 1,486 | |||||||||
16,800 | Freddie Mac, Notes, 2.63%, due 11/16/08 | 16,800 | |||||||||
Total U.S. Government Agency Securities | 602,116 | ||||||||||
Repurchase Agreements (50.8%) | |||||||||||
385,000 | Bank of America Repurchase Agreement, 2.00%, due 10/1/08, dated 9/30/08, Maturity Value $385,021,389, Collateralized by $392,397,137, Fannie Mae, 5.50%, due 6/1/38 (Collateral Value $392,700,001) | 385,000 | |||||||||
70,000 | Goldman Sachs Repurchase Agreement, 0.02%, due 10/1/08, dated 9/30/08, Maturity Value $70,000,039, Collateralized by $41,141,900, U.S. Treasury Notes, 2.88% – 4.50%, due 3/31/09 – 1/31/13 and $21,352,000, U.S. Treasury Bonds, 6.63%, due 2/15/27 (Collateral Value $71,400,068) | 70,000 | |||||||||
420,000 | Goldman Sachs Repurchase Agreement, 1.15%, due 10/1/08, dated 9/30/08, Maturity Value $420,013,417, Collateralized by $363,726,873, Fannie Mae, 5.00% – 6.50%, due 2/1/23 – 9/1/38 and $94,494,416, Freddie Mac, 5.50% & 6.00%, due 12/1/37 & 6/1/38 (Collateral Value $428,400,001) | 420,000 | |||||||||
Total Repurchase Agreements | 875,000 | ||||||||||
Total Investments (85.8%) | 1,477,116 | ||||||||||
Cash, receivables and other assets, less liabilities (14.2%) | 244,247 | ||||||||||
Total Net Assets (100.0%) | $ | 1,721,363 |
See Notes to Schedule of Investments 82
Schedule of Investments Government Reserves Master Series
(Unaudited)
PRINCIPAL AMOUNT | VALUE†† | ||||||||||
(000's omitted) | (000's omitted) | ||||||||||
U.S. Government Agency Securities (107.2%) | |||||||||||
$ | 2,500 | Federal Farm Credit Bank, Bonds, 3.60%, due 1/14/09 | $ | 2,507 | |||||||
528 | Federal Farm Credit Bank, Disc. Notes, 2.33%, due 3/2/09 | 523 | |||||||||
25,000 | Federal Farm Credit Bank, Floating Rate Bonds, 2.04% & 2.06%, due 10/1/08 | 24,999 | µ | ||||||||
27,110 | Federal Home Loan Bank, Bonds, 2.19% – 4.63%, due 11/21/08 – 6/30/09 | 27,117 | |||||||||
137,650 | Federal Home Loan Bank, Disc. Notes, 0.10% – 2.41%, due 10/1/08 – 5/1/09 | 137,574 | |||||||||
43,750 | Federal Home Loan Bank, Floating Rate Bonds, 1.66% – 2.64%, due 10/1/08 – 12/1/08 | 43,750 | µ | ||||||||
Total U.S. Government Agency Securities | 236,470 | ||||||||||
Total Investments (107.2%) | 236,470 | ||||||||||
Liabilities, less cash, receivables and other assets [(7.2%)] | (15,906 | ) | |||||||||
Total Net Assets (100.0%) | $ | 220,564 |
See Notes to Schedule of Investments 83
Schedule of Investments Treasury Master Series
(Unaudited)
PRINCIPAL AMOUNT | VALUE†† | ||||||||||
(000's omitted) | (000's omitted) | ||||||||||
Repurchase Agreements (48.2%) | |||||||||||
$ | 300,000 | Bank of America Repurchase Agreement, 0.05%, due 10/1/08, dated 9/30/08, Maturity Value $300,000,417, Collateralized by $37,041,000, U.S. Treasury Bills, due 12/4/08, $243,785,300 U.S. Treasury Notes, 2.00 – 4.75%, due 10/15/08 – 4/30/13 and $30,063,000 U.S. Treasury Inflation Protected Securities, 8.13%, due 8/15/21 (Collateral Value $306,000,054) | $ | 300,000 | |||||||
330,000 | Goldman Sachs Repurchase Agreement, 0.02%, due 10/1/08, dated 9/30/08, Maturity Value $330,000,183, Collateralized by $47,740,900, U.S. Treasury Notes, 4.75%, due 12/31/08 and $175,634,200, U.S. Treasury Inflation Protected Securities, 3.63%, due 4/15/28 (Collateral Value $336,600,003) | 330,000 | |||||||||
Total Repurchase Agreements | 630,000 | ||||||||||
Total Investments (48.2%) | 630,000 | ||||||||||
Cash, receivables and other assets, less liabilities (51.8%) | 677,942 | ||||||||||
Total Net Assets (100.0%) | $ | 1,307,942 |
See Notes to Schedule of Investments 84
Schedule of Investments Tax-Exempt Master Series
(Unaudited)
PRINCIPAL AMOUNT | SECURITY@@ | VALUE†† | |||||||||
(000's omitted) | (000's omitted) | ||||||||||
California (0.9%) | |||||||||||
$ | 520 | Arvin Unified Sch. Dist. Cert. Participation, Ser. 2006, (FSA Insured), 8.15%, due 10/2/08 | $ | 520 | µl | ||||||
4,930 | Southern California Pub. Pwr. Au. Pwr. Proj. Rev. (Floaters), Ser. 2003-1172, (AMBAC Insured), 8.42%, due 10/2/08 | 4,930 | µr | ||||||||
1,800 | Union City Multi-Family Rev. (Floaters), Ser. 2007-122G, (LOC: Goldman Sachs), 5.24%, due 10/2/08 | 1,800 | µ | ||||||||
7,250 | |||||||||||
Colorado (0.2%) | |||||||||||
1,500 | Central Platte Valley Metro. Dist., Ser. 2006, (LOC: BNP Paribas), 3.50%, due 12/1/36 Putable 12/1/08 | 1,500 | µ | ||||||||
Florida (4.1%) | |||||||||||
13,525 | Alachua Co. Hlth. Fac. Au. Continuing Care Rev. (Oak Hammock Univ. Proj.), Ser. 2002-A, (LOC: Bank of Scotland), 6.25%, due 10/1/08 | 13,525 | µß | ||||||||
19,965 | Jacksonville Econ. Dev. Commission Hlth. Care Fac. Rev. (Methodist), Ser. 2005, (LOC: SunTrust Bank), 5.50%, due 10/1/08 | 19,965 | µß | ||||||||
33,490 | |||||||||||
Illinois (3.0%) | |||||||||||
4,000 | Chicago Board Ed. G.O. Muni. Sec. Trust Receipts, Ser. 2008-50A, (FGIC Insured), 4.93%, due 10/2/08 | 4,000 | µt | ||||||||
7,305 | Chicago G.O. Muni. Sec. Trust Receipts, Ser. 2008-53A, (FGIC Insured), 5.13%, due 10/2/08 | 7,305 | µt | ||||||||
3,275 | Chicago G.O. Muni. Sec. Trust Receipts, Ser. 2008-56A, (FGIC Insured), 5.13%, due 10/2/08 | 3,275 | µt | ||||||||
5,000 | Lake Co. Sch. Dist. Number 109 Deerfield Debt Cert., Ser. 2006, (LOC: JP Morgan Chase), 8.75%, due 10/1/08 | 5,000 | µ | ||||||||
4,835 | Reg. Trans. Au. Muni. Sec. Trust Receipts, Ser. 2008-55A, (FGIC Insured), 6.11%, due 10/2/08 | 4,835 | µt | ||||||||
24,415 | |||||||||||
Indiana (4.2%) | |||||||||||
5,285 | Crown Point Multi. Sch. Bldg. Corp. (Putters), Ser. 2005-1056, (FGIC Insured), 5.25%, due 10/2/08 | 5,285 | µo | ||||||||
16,065 | Greater Clark Co. Independent Sch. Temporary Loan Warrants, Ser. 2008, 2.45%, due 12/31/08 | 16,073 | |||||||||
3,750 | Indianapolis Local Pub. Imp. Bond Bank Ltd. Recourse Notes, Ser. 2007-F, 4.00%, due 1/12/09 | 3,759 | |||||||||
9,000 | Westfield Independent Sch. Temporary Loan Warrants, Ser. 2008, 2.50%, due 12/31/08 | 9,003 | |||||||||
34,120 | |||||||||||
Iowa (2.4%) | |||||||||||
19,845 | Iowa Higher Ed. Loan Au. Rev. (Private College St. Ambrose), Ser. 2003, (LOC: Northern Trust Co.), 6.25%, due 10/1/08 | 19,845 | µß | ||||||||
Kansas (6.7%) | |||||||||||
30,270 | North Kansas City Hosp. Rev. (North Kansas City Hosp.), Ser. 2008, (LOC: Bank of America), 6.28%, due 10/1/08 | 30,270 | µß | ||||||||
3,865 | Shawnee Co. Temporary Notes, Ser. 2007-2, 3.70%, due 10/1/08 | 3,865 | |||||||||
20,200 | Wyandotte Co. Kansas City Unified G.O. Gov't Muni. Temporary Notes, Ser. 2007-V, 3.55%, due 11/1/08 | 20,200 | |||||||||
54,335 | |||||||||||
Kentucky (1.4%) | |||||||||||
11,000 | Kentucky Rural Wtr. Fin. Corp. Pub. Proj. Rev. (Construction Notes), Ser. 2007-A1, 2.63%, due 4/1/09 Putable 10/1/08 | 11,000 | µ | ||||||||
Louisiana (2.5%) | |||||||||||
20,000 | Tangipahoa Parish Hosp. Svc. Dist. Number 1 Hosp. Rev. (North Oaks Med. Ctr. Proj.), Ser. 2003-B, (LOC: Allied Irish Bank), 7.96%, due 10/2/08 | 20,000 | µ |
See Notes to Schedule of Investments 85
PRINCIPAL AMOUNT | SECURITY@@ | VALUE†† | |||||||||
(000's omitted) | (000's omitted) | ||||||||||
Maine (0.6%) | |||||||||||
$ | 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 | $ | 5,183 | ß | ||||||
Massachusetts (1.5%) | |||||||||||
4,250 | Massachusetts St. G.O. Muni. Sec. Trust Receipts, Ser. 2008-52A, (FGIC Insured), 2.30%, due 10/2/08 | 4,250 | µt | ||||||||
7,625 | Massachusetts St. G.O. Muni. Sec. Trust Receipts, Ser. 2008-51A, (AMBAC Insured), 4.44%, due 10/2/08 | 7,625 | µt | ||||||||
11,875 | |||||||||||
Minnesota (7.0%) | |||||||||||
30,000 | Minnesota Agricultural & Econ. Dev. Board Rev. (Hlth. Care Fac.-Essentia), Ser. 2008-C4, (LOC: KBC Bank), 6.40%, due 10/1/08 | 30,000 | µß | ||||||||
27,000 | St. Paul Port Au. Rev. (Amherst H. Wilder Foundation), Ser. 2006-3, (LOC: Bank of New York), 6.25%, due 10/1/08 | 27,000 | µß | ||||||||
57,000 | |||||||||||
Missouri (9.2%) | |||||||||||
4,100 | Missouri Dev. Fin. Board Cultural Fac. Rev. (Nelson Gallery Foundation), Ser. 2004-A, (LOC: JP Morgan Chase), 4.25%, due 10/1/08 | 4,100 | µß | ||||||||
40,000 | Missouri Dev. Fin. Board Cultural Fac. Rev. (Nelson Gallery Foundation), Ser. 2008-A, (LOC: JP Morgan Chase), 4.25%, due 10/1/08 | 40,000 | µß | ||||||||
9,700 | Missouri St. Hlth. & Ed. Fac. Au. Ed. Fac. Rev. (Kansas City Art Institute), Ser. 2005, (LOC: Commerce Bank), 6.28%, due 10/1/08 | 9,700 | µß | ||||||||
13,152 | Missouri St. Hlth. & Ed. Fac. Au. Ed. Fac. Rev. (Rockhurst Univ.), Ser. 2002, (LOC: Bank of America), 6.28%, due 10/1/08 | 13,152 | µß | ||||||||
3,600 | Missouri St. Hwy. & Trans. Commission St. Road Rev., Ser. 2008-8102, (LOC: Citigroup Global Markets), 4.42%, due 10/2/08 | 3,600 | µ | ||||||||
4,020 | St. Louis Co. Rockwood Sch. Dist. Number R-6 G.O., Ser. 2008-A, 5.00%, due 2/1/09 | 4,057 | |||||||||
74,609 | |||||||||||
Nebraska (0.8%) | |||||||||||
6,210 | Deutsche Bank Spears/Lifers Trust Var. St. (Omaha Spec. Oblig.), Ser. 2008-543, (LOC: Deutsche Bank), 3.96%, due 10/2/08 | 6,210 | µ | ||||||||
Nevada (3.3%) | |||||||||||
150 | Eclipse Funding Trust Var. St. (Solar Eclipse-Truckee Meadows Wtr.), Ser. 2007-0015, (XLCA Insured), 4.29%, due 10/2/08 | 150 | µu | ||||||||
4,265 | Nevada Sys. Higher Ed. Univ. Rev. (Floaters), Ser. 2005-1240, (AMBAC Insured), 6.64%, due 10/2/08 | 4,265 | µs | ||||||||
22,655 | Truckee Meadows Wtr. Au. Wtr. Rev. Muni. Sec. Trust Receipts, Ser. 2001-137, (FSA Insured), 4.50%, due 10/1/08 | 22,655 | ñµt | ||||||||
27,070 | |||||||||||
New Hampshire (7.0%) | |||||||||||
8,000 | Cheshire Co. G.O. TANS, Ser. 2008, 2.50%, due 12/31/08 | 8,004 | |||||||||
13,220 | Merrimack Co. G.O. TANS, Ser. 2008, 2.75%, due 12/30/08 | 13,239 | |||||||||
9,000 | Merrimack Co. G.O. TANS, Ser. 2008, 3.50%, due 12/30/08 | 9,025 | |||||||||
8,420 | Strafford Co. G.O. TANS, Ser. 2008, 2.75%, due 12/31/08 | 8,430 | |||||||||
18,000 | Strafford Co. G.O. TANS, Ser. 2008-A, 3.00%, due 12/31/08 | 18,027 | |||||||||
56,725 | |||||||||||
New Jersey (2.4%) | |||||||||||
19,200 | Hamilton Township Mercer Co. G.O. TANS, Ser. 2008, 3.50%, due 10/24/08 | 19,208 |
See Notes to Schedule of Investments 86
PRINCIPAL AMOUNT | SECURITY@@ | VALUE†† | |||||||||
(000's omitted) | (000's omitted) | ||||||||||
New York (8.5%) | |||||||||||
$ | 30,000 | Metro. Trans. Au. Rev., Ser. 2002-D1, (FSA Insured), 8.25%, due 10/2/08 | $ | 30,000 | µp | ||||||
28,790 | New York City Muni. Wtr. Fin. Au. Wtr. & Swr. Sys. Rev., Ser. 2001-F1, (LOC: Dexia Credit Locale de France), 5.00%, due 10/1/08 | 28,790 | µ | ||||||||
9,805 | New York G.O., Ser. 1993-A4, (LOC: Landesbank Baden-Wurttemberg), 5.00%, due 10/1/08 | 9,805 | µ | ||||||||
68,595 | |||||||||||
North Carolina (0.0%) | |||||||||||
10 | BB&T Muni. Trust Var. St. (Floaters), Ser. 2008-1009, (LOC: Branch Banking & Trust Co.), 3.71%, due 10/2/08 | 10 | µ | ||||||||
Ohio (2.3%) | |||||||||||
1,480 | Clermont Co. Econ. Dev. Rev. (John Q Hammons Proj.), Ser. 1989, (LOC: Fifth Third Bank), 2.75%, due 11/1/08 | 1,480 | µß | ||||||||
5,850 | Cuyahoga Co. Rev. (Cleveland Clinic), Ser. 2004-B1, (LOC: JP Morgan Chase), 4.25%, due 10/1/08 | 5,850 | µß | ||||||||
7,660 | Marysville G.O. BANS (Waste Wtr.), Ser. 2008, 2.50%, due 6/3/09 | 7,688 | |||||||||
4,005 | Marysville Tax Increment Fin. Rev. (Coleman's Crossing Rd.), Ser. 2008, (LOC: Fifth Third Bank), 2.75%, due 9/10/09 | 4,023 | |||||||||
19,041 | |||||||||||
South Carolina (1.9%) | |||||||||||
5,650 | Jasper Co. Rev. BANS (Office Bldg. Proj.), Ser. 2008, 2.35%, due 7/1/09 | 5,650 | |||||||||
9,800 | Lexington Waterworks & Swr. Sys. Rev. BANS, Ser. 2007, 3.15%, due 12/15/08 | 9,801 | |||||||||
15,451 | |||||||||||
Tennessee (8.3%) | |||||||||||
10,365 | Blount Co. Pub. Bldg. Au. (Local Gov't Pub. Imp. Bonds), Ser. 2008-E3E, (LOC: KBC Bank), 5.35%, due 10/1/08 | 10,365 | µ | ||||||||
13,305 | Blount Co. Pub. Bldg. Au. (Local Gov't Pub. Imp. Bonds), Ser. 2008-E3D, (LOC: KBC Bank), 5.35%, due 10/1/08 | 13,305 | µ | ||||||||
28,000 | Blount Co. Pub. Bldg. Au. (Local Gov't Pub. Imp. Bonds), Ser. 2008-E1A, (LOC: SunTrust Bank), 5.50%, due 10/1/08 | 28,000 | µ | ||||||||
8,000 | Sevier Co. Pub. Bldg. Au. (Local Gov't Pub. Imp. Bonds), Ser. 2008-A1, (LOC: KBC Bank), 5.35%, due 10/1/08 | 8,000 | µ | ||||||||
7,875 | Sevier Co. Pub. Bldg. Au. (Pub. Construction Notes Proj.), Ser. 2007-A6, 2.63%, due 4/1/10 Putable 10/1/08 | 7,875 | µ | ||||||||
67,545 | |||||||||||
Texas (9.7%) | |||||||||||
3,005 | Dallas Independent Sch. Dist. Maintenance Tax Notes, Ser. 2008, 4.00%, due 2/15/09 | 3,028 | |||||||||
3,000 | Denton Independent Sch. Dist. G.O., Ser. 1996 B, (PSF Insured), 2.20%, due 8/15/09 | 3,000 | µp | ||||||||
7,485 | Deutsche Bank Spears/Lifers Trust Var. St. (Lovejoy Independent Sch. Dist.), Ser. 2008-514, (PSF Insured), 3.67%, due 10/2/08 | 7,485 | µk | ||||||||
3,425 | Deutsche Bank Spears/Lifers Trust Var. St. (Seminole Independent Sch. Dist.), Ser. 2008-559, (PSF Insured), 3.89%, due 10/2/08 | 3,425 | µk | ||||||||
22,300 | Harris Co. Hlth. Fac. Dev. Corp. Rev. (Methodist), Ser. 2006-C, (FSA Insured), 4.25%, due 10/1/08 | 22,300 | µß | ||||||||
9,935 | McKinney Independent Sch. Dist. (Floaters), Ser. 2006-26TP, (PSF Insured), 4.33%, due 10/2/08 | 9,935 | µx | ||||||||
29,740 | Munitops II Trust, Ser. 2007-63, (PSF Insured), 4.49%, due 10/2/08 | 29,740 | µc | ||||||||
195 | 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 | 204 | |||||||||
79,117 | |||||||||||
Utah (1.0%) | |||||||||||
2,785 | Lehi Elec. Utils. Rev., Ser. 2005, (FSA Insured), 8.40%, due 10/1/08 | 2,785 | µl | ||||||||
5,500 | Salt Lake Valley Fire Svc. Area TRANS, Ser. 2008, 3.75%, due 12/30/08 | 5,510 | |||||||||
8,295 |
See Notes to Schedule of Investments 87
PRINCIPAL AMOUNT | SECURITY@@ | VALUE†† | |||||||||
(000's omitted) | (000's omitted) | ||||||||||
Washington (3.6%) | |||||||||||
$ | 18,500 | Snohomish Co. Pub. Utils. Dist. Number 001 Elec. Rev., Ser. 2001-124, (FSA Insured), 4.50%, due 10/1/08 | $ | 18,500 | µt | ||||||
10,775 | Washington St. Hlth. Care Fac. Au. Rev. (Grays Harbor Comm. Hosp.), Ser. 2007, (Radian Insured), 6.50%, due 10/1/08 | 10,775 | µßaa | ||||||||
29,275 | |||||||||||
Wisconsin (6.8%) | |||||||||||
25,000 | Univ. Hosp. & Clinics Au. Rev. (Stars Hosp.), Ser. 2002-A, (FSA Insured), 8.33%, due 10/1/08 | 25,000 | µu | ||||||||
30,000 | Wisconsin St. Hlth. & Ed. Fac. Au. Rev. (Aurora Hlth. Care), Ser. 2006-C, (LOC: Marshall & Ilsley), 6.25%, due 10/1/08 | 30,000 | µß | ||||||||
55,000 | |||||||||||
Total Investments (99.3%) | 806,164 | ||||||||||
Cash, receivables and other assets, less liabilities (0.7%) | 5,485 | ||||||||||
Total Net Assets (100.0%) | $ | 811,649 |
See Notes to Schedule of Investments 88
Schedule of Investments Municipal Master Series
(Unaudited)
PRINCIPAL AMOUNT | SECURITY@@ | VALUE†† | |||||||||
(000's omitted) | (000's omitted) | ||||||||||
California (6.3%) | |||||||||||
$ | 4,670 | California HFA Home Mtge. Rev., Ser. 2002-M, (LOC: Bank of Nova Scotia), 5.40%, due 10/1/08 | $ | 4,670 | µ | ||||||
7,000 | Palomar Pomerado Hlth. G.O. (Floaters), Ser. 2007-2234, (MBIA Insured), 4.42%, due 10/2/08 | 7,000 | µx | ||||||||
11,670 | |||||||||||
Colorado (3.2%) | |||||||||||
1,000 | Central Platte Valley Metro. Dist., Ser. 2006, (LOC: BNP Paribas), 3.50%, due 12/1/36 Putable 12/1/08 | 1,000 | µ | ||||||||
4,980 | Federal Home Loan Mtge. Corp., Ser. 2008-M015, Class A, (LOC: Freddie Mac), 8.46%, due 10/2/08 | 4,980 | µ | ||||||||
5,980 | |||||||||||
Delaware (0.2%) | |||||||||||
450 | Delaware St. Econ. Dev. Au. Multi-Family Rev. (Sch. House Proj.), Ser. 1985, (LOC: HSBC Bank N.A.), 8.40%, due 10/1/08 | 450 | µ | ||||||||
Florida (10.4%) | |||||||||||
6,999 | Alachua Co. Sch. Board Cert. Participation, Ser. 2004, (AMBAC Insured), 4.35%, due 10/2/08 | 6,999 | µd | ||||||||
7,000 | Florida St. Board of Ed. Muni. Sec. Trust Receipts G.O., Ser. 2003-SGA138, (MBIA Insured), 8.20%, due 10/1/08 | 7,000 | ñµt | ||||||||
1 | Miami-Dade Co. Aviation Rev., Ser. 2007-E, (FSA Insured), 4.35%, due 10/2/08 | 1 | µd | ||||||||
680 | Orange Co. Hsg. Fin. Au. Multi-Family Rev., Ser. 2000-E, (LOC: Bank of America), 9.00%, due 10/1/08 | 680 | µß | ||||||||
4,500 | Port St. Joe Wtr. & Swr. Sys. Rev., Ser. 2008, (LOC: Regions Bank), 8.01%, due 10/2/08 | 4,500 | µ | ||||||||
19,180 | |||||||||||
Georgia (4.5%) | |||||||||||
7,555 | Athens Area Fac. Corp. Cert. Participation, Ser. 2007, (LOC: Citibank, N.A.), 6.13%, due 10/2/08 | 7,555 | µ | ||||||||
850 | Douglas Co. Dev. Au. IDR (Whirlwind Steel Bldgs.), Ser. 1997, (LOC: JP Morgan Chase), 9.95%, due 10/2/08 | 850 | µß | ||||||||
8,405 | |||||||||||
Illinois (4.5%) | |||||||||||
2,070 | Illinois Dev. Fin. Au. IDR (Cloverhill Pastry Vendor), Ser. 1993, (LOC: JP Morgan Chase), 7.81%, due 10/1/08 | 2,070 | µß | ||||||||
700 | Illinois Dev. Fin. Au. IDR (Florence Corp. Proj.), Ser. 1997, (LOC: Bank One), 9.95%, due 10/2/08 | 700 | µß | ||||||||
650 | Illinois Dev. Fin. Au. Rev. (American Academy), Ser. 2001, (LOC: Bank One), 8.10%, due 10/2/08 | 650 | µß | ||||||||
845 | Illinois Fin. Au. IDR (Transparent Container Proj.), Ser. 2004, (LOC: Bank One), 8.45%, due 10/2/08 | 845 | µß | ||||||||
4,075 | Lake Co. Multi-Family Hsg. Rev. (Rosewood Apt. Proj.), Ser. 2004, (LOC: Freddie Mac), 8.50%, due 10/2/08 | 4,075 | µß | ||||||||
8,340 | |||||||||||
Indiana (1.5%) | |||||||||||
2,140 | Kokomo Econ. Dev. Rev. (Village Comm. Partners IV Proj.), Ser. 1995, (LOC: Federal Home Loan Bank), 8.30%, due 10/2/08 | 2,140 | µß | ||||||||
740 | Plymouth Econ. Dev. Rev. (Hillcrest Apts. Proj.), Ser. 1998-A, (LOC: Federal Home Loan Bank), 7.76%, due 10/1/08 | 740 | µß | ||||||||
2,880 | |||||||||||
Kentucky (1.4%) | |||||||||||
200 | Bardstown Ind. Rev. (JAV Investment LLC Proj.), Ser. 2001, (LOC: Bank One Michigan), 9.95%, due 10/2/08 | 200 | µß | ||||||||
2,435 | Fort Mitchell Ind. Bldg. Rev. (Grandview/Hemmer Proj.), Ser. 1986, (LOC: PNC Bank), 2.50%, due 2/2/09 | 2,435 | µ | ||||||||
2,635 |
See Notes to Schedule of Investments 89
PRINCIPAL AMOUNT | SECURITY@@ | VALUE†† | |||||||||
(000's omitted) | (000's omitted) | ||||||||||
Maine (0.2%) | |||||||||||
$ | 410 | Westbrook Rev. (Corriveau-Routhier, Inc. Proj.), Ser. 1986, (LOC: Fleet National Bank), 4.13%, due 12/15/08 | $ | 410 | µß | ||||||
Maryland (4.4%) | |||||||||||
6,500 | Harford Co. Econ. Dev. Rev. (A. O. Smith Corp. Proj.), Ser. 1988, (LOC: Comerica Bank), 3.00%, due 3/1/09 | 6,500 | µß | ||||||||
1,570 | Howard Co. IDR (Preston CT Ltd. Partnership), Ser. 1986, (LOC: SunTrust Bank), 1.90%, due 10/1/08 | 1,570 | µß | ||||||||
8,070 | |||||||||||
Massachusetts (4.2%) | |||||||||||
3,000 | Massachusetts St. Dev. Fin. Agcy. Rev. (Briarwood Retirement), Ser. 2004 A, (LOC: Sovereign Bank), 8.00%, due 10/2/08 | 3,000 | µßn | ||||||||
4,800 | Massachusetts St. Dev. Fin. Agcy. Rev. (ISO New England, Inc.), Ser. 2005, (LOC: KeyBank), 6.00%, due 10/2/08 | 4,800 | µß | ||||||||
7,800 | |||||||||||
Minnesota (2.6%) | |||||||||||
2,338 | Minneapolis Rev. (Minnehaha Academy Proj.), Ser. 2001, (LOC: U.S. Bank), 6.00%, due 10/1/08 | 2,338 | µß | ||||||||
2,415 | Plymouth Multi-Family Hsg. Ref. Rev. (At the Lake Apts. Proj.), Ser. 2004, (LOC: Freddie Mac), 8.35%, due 10/2/08 | 2,415 | µß | ||||||||
4,753 | |||||||||||
Missouri (0.2%) | |||||||||||
300 | Hannibal Ind. Dev. Au. Ind. Rev. (Buckhorn Rubber Prods. Proj.), Ser. 1995, (LOC: JP Morgan Chase), 9.20%, due 10/2/08 | 300 | µß | ||||||||
New Jersey (0.2%) | |||||||||||
310 | New Jersey Econ. Dev. Au. Econ. Dev. Rev. (Wearbest SIL-TEX Mills Proj.), Ser. 2000, (LOC: Bank of New York), 8.35%, due 10/1/08 | 310 | µß | ||||||||
New Mexico (0.1%) | |||||||||||
225 | Las Cruces IDR (Parkview Metal Prod. Proj.), Ser. 1997, (LOC: American National Bank & Trust Co.), 9.95%, due 10/2/08 | 225 | µß | ||||||||
New York (12.4%) | |||||||||||
7,000 | BB&T Muni. Trust Var. St. (Floaters), Ser. 2008-1012, (LOC: Branch Banking & Trust Co.), 4.12%, due 10/2/08 | 7,000 | µ | ||||||||
8,000 | Metro. Trans. Au. Rev., Ser. 2002-D1, (FSA Insured), 8.25%, due 10/2/08 | 8,000 | µp | ||||||||
8,000 | New York St. Mtge. Agcy. Homeowner Mtge. Rev., Ser. 2006-132, (LOC: Dexia Credit Locale de France), 7.00%, due 10/1/08 | 8,000 | µ | ||||||||
23,000 | |||||||||||
North Carolina (0.0%) | |||||||||||
5 | North Carolina St. Ports Au. Port Fac. Rev., Ser. 2006-A2, (LOC: Bank of America), 7.75%, due 10/1/08 | 5 | µ | ||||||||
Ohio (0.9%) | |||||||||||
1,475 | Fairfield Co. Arpt. Impt. G.O. BANS, Ser. 2008, 3.75%, due 1/21/09 | 1,478 | |||||||||
115 | Trumbull Co. IDR (UTD Steel Svc., Inc. Proj.), Ser. 2000, (LOC: JP Morgan Chase), 9.80%, due 10/2/08 | 115 | µß | ||||||||
1,593 |
See Notes to Schedule of Investments 90
PRINCIPAL AMOUNT | SECURITY@@ | VALUE†† | |||||||||
(000's omitted) | (000's omitted) | ||||||||||
Rhode Island (0.4%) | |||||||||||
$ | 795 | Rhode Island St. Ind. Facs. Corp. IDR (Precision Turned Components Proj.), Ser. 2000, (LOC: Bank of America), 8.35%, due 10/1/08 | $ | 795 | µß | ||||||
South Carolina (1.5%) | |||||||||||
2,735 | Jasper Co. Rev. BANS (Jasper Co. Sch.), Ser. 2008, 2.75%, due 2/12/09 | 2,739 | |||||||||
South Dakota (0.1%) | |||||||||||
125 | Watertown IDR Ref. (Ramkota, Inc. Proj.), Ser. 1993, (LOC: U.S. Bank), 8.40%, due 10/2/08 | 125 | µß | ||||||||
Tennessee (5.7%) | |||||||||||
7,400 | Shelby Co. Hlth. Ed. & Hsg. Fac. Board Rev. (Methodist Le Bonheur), Ser. 2008-B, (LOC: U.S. Bank), 7.93%, due 10/2/08 | 7,400 | µß | ||||||||
3,200 | Shelby Co. Hlth., Ed. & Hsg. Fac. Board Multi-Family Hsg. Rev. (Lexington), Ser. 2005-A, (LOC: Fannie Mae), 8.50%, due 10/2/08 | 3,200 | µ | ||||||||
10,600 | |||||||||||
Texas (5.2%) | |||||||||||
4,200 | McAllen Ind. Dev. Au. Rev. (Ridge Sharyland), Ser. 2000, (LOC: Bank of America), 10.27%, due 10/2/08 | 4,200 | µ | ||||||||
5,455 | Permian Basin Reg. Hsg. Fin. Corp. Single Family Mtge. Rev., Ser. 2006-A2, (LOC: Government National Mortgage Association), 2.40%, due 1/1/38 Putable 2/1/09 | 5,455 | µ | ||||||||
9,655 | |||||||||||
Virginia (4.5%) | |||||||||||
1,500 | Lynchburg Ind. Dev. Au. Rev. Ref. Hosp. (Centra Hlth., Inc.), Ser. 2004-A, (MBIA Insured), 7.90%, due 10/2/08 | 1,500 | µßm | ||||||||
5,375 | Madison Co. Ind. Dev. Au. Ed. Fac. Rev. (Woodberry Forest Sch.), Ser. 2007, (LOC: SunTrust Bank), 5.50%, due 10/1/08 | 5,375 | µß | ||||||||
1,250 | Virginia St. Hsg. Dev. Au. Commonwealth Mtge., Ser. 2006-D1, 4.00%, due 1/1/09 | 1,252 | |||||||||
215 | Virginia St. Hsg. Dev. Au. Commonwealth Mtge. (Merlots), Ser. 2006-C07, (LOC: Bank of New York), 4.10%, due 10/1/08 | 215 | µ | ||||||||
8,342 | |||||||||||
Wisconsin (10.3%) | |||||||||||
2,000 | Antigo Unified Sch. Dist. G.O. TRANS, Ser. 2007, 3.60%, due 10/30/08 | 2,000 | |||||||||
425 | Elkhorn IDR (Lanco Precision Plus Proj.), Ser. 1999, (LOC: Bank One), 9.95%, due 10/1/08 | 425 | µß | ||||||||
8,600 | Univ. Hosp. & Clinics Au. Rev. (Stars Hosp.), Ser. 2002-A, (FSA Insured), 8.33%, due 10/1/08 | 8,600 | µu | ||||||||
8,000 | Wisconsin St. Hlth. & Ed. Fac. Au. Rev. (ProHealth Care, Inc.), Ser. 2008 A, (LOC: Marshall & Ilsley), 6.28%, due 10/1/08 | 8,000 | µß | ||||||||
19,025 | |||||||||||
Wyoming (2.7%) | |||||||||||
4,980 | Campbell Co. IDR (Two Elk Partners Proj.), Ser. 2007, (LOC: Royal Bank of Canada), 3.65%, due 11/28/08 | 4,980 | µß | ||||||||
Total Investments (87.6%) | 162,267 | ||||||||||
Cash, receivables and other assets, less liabilities (12.4%) | 22,894 | ||||||||||
Total Net Assets (100.0%) | $ | 185,161 |
See Notes to Schedule of Investments 91
Notes to Schedule of Investments Institutional Liquidity Trust (Unaudited)
†† Investment securities are valued at amortized cost, which approximates U.S. federal income tax cost.
The Master Series adopted Financial Accounting Standards Board ("FASB") Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("FAS 157"), effective April 1, 2008. In accordance with FAS 157, "fair value" is defined as the price that a Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. Various inputs are used in determining the value of the Master Series' investments. FAS 157 established a three-tier hierarchy of inputs to establish a classification of fair value measurements for disclosure purposes. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
• Level 1 – quoted prices in active markets for identical investments
• Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, amortized cost, etc.)
• Level 3 – significant unobservable inputs (including the Master Series' own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Master Series' investments as of September 30, 2008 (000's omitted):
Money Market Master Series: | |||||||
Valuation Inputs | Investments in Securities | ||||||
Level 1 – Quoted Prices | $ | — | |||||
Level 2 – Other Significant Observable Inputs | 15,769 | ||||||
Level 3 – Significant Unobservable Inputs | — | ||||||
Total | $ | 15,769 | |||||
Prime Master Series: | |||||||
Valuation Inputs | Investments in Securities | ||||||
Level 1 – Quoted Prices | $ | — | |||||
Level 2 – Other Significant Observable Inputs | 1,140,892 | ||||||
Level 3 – Significant Unobservable Inputs | — | ||||||
Total | $ | 1,140,892 | |||||
Government Master Series: | |||||||
Valuation Inputs | Investments in Securities | ||||||
Level 1 – Quoted Prices | $ | — | |||||
Level 2 – Other Significant Observable Inputs | 1,477,116 | ||||||
Level 3 – Significant Unobservable Inputs | — | ||||||
Total | $ | 1,477,116 |
See Notes to Financial Statements 92
Notes to Schedule of Investments Institutional Liquidity Trust (Unaudited) (cont'd)
Government Reserves Master Series: | |||||||
Valuation Inputs | Investments in Securities | ||||||
Level 1 – Quoted Prices | $ | — | |||||
Level 2 – Other Significant Observable Inputs | 236,470 | ||||||
Level 3 – Significant Unobservable Inputs | — | ||||||
Total | $ | 236,470 | |||||
Treasury Master Series: | |||||||
Valuation Inputs | Investments in Securities | ||||||
Level 1 – Quoted Prices | $ | — | |||||
Level 2 – Other Significant Observable Inputs | 630,000 | ||||||
Level 3 – Significant Unobservable Inputs | — | ||||||
Total | $ | 630,000 | |||||
Tax-Exempt Master Series: | |||||||
Valuation Inputs | Investments in Securities | ||||||
Level 1 – Quoted Prices | $ | — | |||||
Level 2 – Other Significant Observable Inputs | 806,164 | ||||||
Level 3 – Significant Unobservable Inputs | — | ||||||
Total | $ | 806,164 | |||||
Municipal Master Series: | |||||||
Valuation Inputs | Investments in Securities | ||||||
Level 1 – Quoted Prices | $ | — | |||||
Level 2 – Other Significant Observable Inputs | 162,267 | ||||||
Level 3 – Significant Unobservable Inputs | — | ||||||
Total | $ | 162,267 |
@@ 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 Rating Services or, where not rated, are determined by the master series' investment manager to be of comparable quality. Approximately 77.2% and 95.4% 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.
See Notes to Financial Statements 93
Notes to Schedule of Investments Institutional Liquidity Trust (Unaudited) (cont'd)
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 September 30, 2008, these securities amounted to approximately $6,871,000 or 26.4% of net assets for Money Market Master Series, approximately $306,740,000 or 24.5% of net assets for Prime Master Series, approximately $22,655,000 or 2.8% of net assets for Tax-Exempt Master Series and approximately $7,000,000 or 3.8% of net assets for Municipal Master Series.
ß Security is guaranteed by the corporate or non-profit obligor.
µ Floating rate securities are securities whose yields vary with a designated market index or market rate. These securities are shown at their current rates as of September 30, 2008.
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.
k Security is subject to a guarantee provided by Deutsche Bank, backing 100% of the total principal.
l Security is subject to a guarantee provided by Dexia Credit Locale de France, backing 100% of the total principal.
m Security is subject to a guarantee provided by SunTrust Bank, backing 100% of the total principal.
n Security is subject to a guarantee provided by Comerica Bank, backing 100% of the total principal.
o Security is subject to a guarantee provided by JP Morgan Chase, backing 100% of the total principal.
p Security is subject to a guarantee provided by Westdeutsche Landesbank Girozentrale, 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.
x Security is subject to a guarantee provided by Wells Fargo Bank & Trust Co., backing 100% of the total principal.
aa Security is subject to a guarantee provided by KeyBank, backing 100% of the total principal.
See Notes to Financial Statements 94
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95
Statements of Assets and Liabilities (Unaudited)
Institutional Liquidity Trust
(000's omitted)
MONEY MARKET MASTER SERIES | PRIME MASTER SERIES | GOVERNMENT MASTER SERIES | GOVERNMENT RESERVES MASTER SERIES | ||||||||||||||||
September 30, 2008 | September 30, 2008 | September 30, 2008 | September 30, 2008 | ||||||||||||||||
Assets | |||||||||||||||||||
Investments in securities, at value* (Note A)—see Schedule of Investments: | |||||||||||||||||||
Unaffiliated issuers | $ | 15,769 | $ | 870,892 | $ | 602,116 | $ | 236,470 | |||||||||||
Repurchase agreements | — | 270,000 | 875,000 | — | |||||||||||||||
15,769 | 1,140,892 | 1,477,116 | 236,470 | ||||||||||||||||
Cash | 10,324 | 109,203 | 242,844 | — | |||||||||||||||
Interest receivable | 145 | 1,918 | 1,531 | 383 | |||||||||||||||
Receivable for securities sold | — | — | — | — | |||||||||||||||
Prepaid expenses and other assets | 17 | 90 | 24 | 52 | |||||||||||||||
Total Assets | 26,255 | 1,252,103 | 1,721,515 | 236,905 | |||||||||||||||
Liabilities | |||||||||||||||||||
Due to custodian | — | — | — | 16,273 | |||||||||||||||
Payable for securities purchased | — | — | — | — | |||||||||||||||
Payable to investment manager—net (Note B) | 129 | 360 | 119 | 37 | |||||||||||||||
Accrued expenses and other payables | 120 | 312 | 33 | 31 | |||||||||||||||
Total Liabilities | 249 | 672 | 152 | 16,341 | |||||||||||||||
Net Assets Applicable to investors' beneficial interests | $ | 26,006 | $ | 1,251,431 | $ | 1,721,363 | $ | 220,564 | |||||||||||
Net Assets consist of: | |||||||||||||||||||
Paid-in capital | $ | 26,006 | $ | 1,251,431 | $ | 1,721,363 | $ | 220,564 | |||||||||||
*Cost of investments: | |||||||||||||||||||
Unaffiliated issuers | $ | 15,769 | $ | 1,140,892 | $ | 1,477,116 | $ | 236,470 |
See Notes to Financial Statements 96
TREASURY MASTER SERIES | TAX-EXEMPT MASTER SERIES | MUNICIPAL MASTER SERIES | |||||||||||||
September 30, 2008 | September 30, 2008 | September 30, 2008 | |||||||||||||
Assets | |||||||||||||||
Investments in securities, at value* (Note A)—see Schedule of Investments: | |||||||||||||||
Unaffiliated issuers | $ | — | $ | 806,164 | $ | 162,267 | |||||||||
Repurchase agreements | 630,000 | — | — | ||||||||||||
630,000 | 806,164 | 162,267 | |||||||||||||
Cash | 677,844 | — | 21,135 | ||||||||||||
Interest receivable | 325 | 6,414 | 1,188 | ||||||||||||
Receivable for securities sold | — | 22,395 | 590 | ||||||||||||
Prepaid expenses and other assets | 18 | 31 | 8 | ||||||||||||
Total Assets | 1,308,187 | 835,004 | 185,188 | ||||||||||||
Liabilities | |||||||||||||||
Due to custodian | — | 23,176 | — | ||||||||||||
Payable for securities purchased | — | — | — | ||||||||||||
Payable to investment manager—net (Note B) | 142 | 106 | 17 | ||||||||||||
Accrued expenses and other payables | 103 | 73 | 10 | ||||||||||||
Total Liabilities | 245 | 23,355 | 27 | ||||||||||||
Net Assets Applicable to investors' beneficial interests | $ | 1,307,942 | $ | 811,649 | $ | 185,161 | |||||||||
Net Assets consist of: | |||||||||||||||
Paid-in capital | $ | 1,307,942 | $ | 811,649 | $ | 185,161 | |||||||||
*Cost of investments: | |||||||||||||||
Unaffiliated issuers | $ | 630,000 | $ | 806,164 | $ | 162,267 |
97
Statements of Operations (Unaudited)
Institutional Liquidity Trust
(000's omitted)
MONEY MARKET MASTER SERIES | PRIME MASTER SERIES | GOVERNMENT MASTER SERIES | GOVERNMENT RESERVES MASTER SERIES | ||||||||||||||||
For the Six Months Ended September 30, 2008 | For the Six Months Ended September 30, 2008 | For the Six Months Ended September 30, 2008 | For the Six Months Ended September 30, 2008 | ||||||||||||||||
Investment Income | |||||||||||||||||||
Income | |||||||||||||||||||
Interest income—unaffiliated issuers (Note A) | $ | 36,530 | $ | 109,833 | $ | 25,563 | $ | 8,653 | |||||||||||
Expenses: | |||||||||||||||||||
Investment management fees (Note B) | 1,075 | 3,311 | 872 | 303 | |||||||||||||||
Audit fees | 15 | 2 | 16 | 16 | |||||||||||||||
Custodian fees (Note B) | 179 | 614 | 156 | 43 | |||||||||||||||
Insurance expense | 38 | 128 | 23 | 7 | |||||||||||||||
Legal fees | 8 | 26 | 2 | 2 | |||||||||||||||
Rating agency fees | — | 44 | 9 | 6 | |||||||||||||||
Shareholder reports | 3 | 3 | 3 | 3 | |||||||||||||||
Interest expense | — | 19 | — | — | |||||||||||||||
Trustees' fees and expenses | 19 | — | 19 | 19 | |||||||||||||||
Miscellaneous | 66 | 204 | 48 | 18 | |||||||||||||||
Total expenses | 1,403 | 4,351 | 1,148 | 417 | |||||||||||||||
Investment management fees waived (Note B) | — | — | — | — | |||||||||||||||
Expenses reduced by custodian fee expense offset arrangement (Note B) | (2 | ) | (2 | ) | (3 | ) | (1 | ) | |||||||||||
Total net expenses | 1,401 | 4,349 | 1,145 | 416 | |||||||||||||||
Net investment income | $ | 35,129 | $ | 105,484 | $ | 24,418 | $ | 8,237 | |||||||||||
Realized and Unrealized Gain (Loss) on Investments (Note A) | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Sales of investment securities of unaffiliated issuers | (3 | ) | (887 | ) | (1,520 | ) | (271 | ) | |||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 35,126 | $ | 104,597 | $ | 22,898 | $ | 7,966 |
See Notes to Financial Statements 98
TREASURY MASTER SERIES | TAX-EXEMPT MASTER SERIES | MUNICIPAL MASTER SERIES | |||||||||||||
For the Six Months Ended September 30, 2008 | For the Six Months Ended September 30, 2008 | For the Six Months Ended September 30, 2008 | |||||||||||||
Investment Income | |||||||||||||||
Income | |||||||||||||||
Interest income—unaffiliated issuers (Note A) | $ | 33,272 | $ | 26,700 | $ | 4,777 | |||||||||
Expenses: | |||||||||||||||
Investment management fees (Note B) | 1,342 | 2,536 | 499 | ||||||||||||
Audit fees | 5 | 6 | 15 | ||||||||||||
Custodian fees (Note B) | 135 | 280 | 58 | ||||||||||||
Insurance expense | 16 | 26 | 7 | ||||||||||||
Legal fees | 3 | 2 | 2 | ||||||||||||
Rating agency fees | 9 | 2 | 2 | ||||||||||||
Shareholder reports | 3 | 4 | 4 | ||||||||||||
Interest expense | — | 100 | — | ||||||||||||
Trustees' fees and expenses | 19 | 18 | 18 | ||||||||||||
Miscellaneous | 76 | 56 | 10 | ||||||||||||
Total expenses | 1,608 | 3,030 | 615 | ||||||||||||
Investment management fees waived (Note B) | — | (1,509 | ) | (339 | ) | ||||||||||
Expenses reduced by custodian fee expense offset arrangement (Note B) | (1 | ) | (108 | ) | (7 | ) | |||||||||
Total net expenses | 1,607 | 1,413 | 269 | ||||||||||||
Net investment income | $ | 31,665 | $ | 25,287 | $ | 4,508 | |||||||||
Realized and Unrealized Gain (Loss) on Investments (Note A) | |||||||||||||||
Net realized gain (loss) on: | |||||||||||||||
Sales of investment securities of unaffiliated issuers | 246 | 808 | (99 | ) | |||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 31,911 | $ | 26,095 | $ | 4,409 |
99
Statements of Changes in Net Assets
Institutional Liquidity Trust
(000's omitted)
MONEY MARKET MASTER SERIES | PRIME MASTER SERIES | ||||||||||||||||||
Six Months Ended September 30, 2008 (Unaudited) | Year Ended March 31, 2008 | Six Months Ended September 30, 2008 (Unaudited) | Year Ended March 31, 2008 | ||||||||||||||||
Increase (Decrease) in Net Assets: | |||||||||||||||||||
From Operations: | |||||||||||||||||||
Net investment income (loss) | $ | 35,129 | $ | 134,107 | $ | 105,484 | $ | 576,386 | |||||||||||
Net realized gain (loss) on investments | (3 | ) | (62 | ) | (887 | ) | (2,379 | ) | |||||||||||
Net increase from payment by affiliate for losses realized on securities (Note B) | — | — | — | 2,837 | |||||||||||||||
Net increase (decrease) in net assets resulting from operations | 35,126 | 134,045 | 104,597 | 576,844 | |||||||||||||||
Transactions in Investors' Beneficial Interest: | |||||||||||||||||||
Contributions | 2,322,428 | 8,888,848 | 23,585,813 | 71,568,661 | |||||||||||||||
Withdrawals | (5,419,411 | ) | (8,428,266 | ) | (31,221,591 | ) | (69,845,697 | ) | |||||||||||
Net increase (decrease) from transactions in investors' beneficial interest | (3,096,983 | ) | 460,582 | (7,635,778 | ) | 1,722,964 | |||||||||||||
Net Increase (Decrease) in Net Assets | (3,061,857 | ) | 594,627 | (7,531,181 | ) | 2,299,808 | |||||||||||||
Net Assets: | |||||||||||||||||||
Beginning of period | 3,087,863 | 2,493,236 | 8,782,612 | 6,482,804 | |||||||||||||||
End of period | $ | 26,006 | $ | 3,087,863 | $ | 1,251,431 | $ | 8,782,612 |
See Notes to Financial Statements 100
GOVERNMENT MASTER SERIES | GOVERNMENT RESERVES MASTER SERIES | ||||||||||||||||||
Six Months Ended September 30, 2008 (Unaudited) | Year Ended March 31, 2008 | Six Months Ended September 30, 2008 (Unaudited) | Period from July 9, 2007 (Commencement of Operations) to March 31, 2008 | ||||||||||||||||
Increase (Decrease) in Net Assets: | |||||||||||||||||||
From Operations: | |||||||||||||||||||
Net investment income (loss) | $ | 24,418 | $ | 57,189 | $ | 8,237 | $ | 15,497 | |||||||||||
Net realized gain (loss) on investments | (1,520 | ) | 457 | (271 | ) | 7 | |||||||||||||
Net increase from payment by affiliate for losses realized on securities (Note B) | — | — | — | — | |||||||||||||||
Net increase (decrease) in net assets resulting from operations | 22,898 | 57,646 | 7,966 | 15,504 | |||||||||||||||
Transactions in Investors' Beneficial Interest: | |||||||||||||||||||
Contributions | 4,024,407 | 7,608,924 | 1,119,477 | 1,991,016 | |||||||||||||||
Withdrawals | (4,615,859 | ) | (6,146,412 | ) | (1,801,189 | ) | (1,112,210 | ) | |||||||||||
Net increase (decrease) from transactions in investors' beneficial interest | (591,452 | ) | 1,462,512 | (681,712 | ) | 878,806 | |||||||||||||
Net Increase (Decrease) in Net Assets | (568,554 | ) | 1,520,158 | (673,746 | ) | 894,310 | |||||||||||||
Net Assets: | |||||||||||||||||||
Beginning of period | 2,289,917 | 769,759 | 894,310 | — | |||||||||||||||
End of period | $ | 1,721,363 | $ | 2,289,917 | $ | 220,564 | $ | 894,310 |
101
Statements of Changes in Net Assets (cont'd)
Institutional Liquidity Trust (cont'd)
(000's omitted)
TREASURY MASTER SERIES | TAX-EXEMPT MASTER SERIES | ||||||||||||||||||||||
Six Months Ended September 30, 2008 (Unaudited) | Year Ended March 31, 2008 | Six Months Ended September 30, 2008 (Unaudited) | 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) | $ | 31,665 | $ | 35,110 | $ | 25,287 | $ | 33,784 | $ | 10,586 | |||||||||||||
Net realized gain (loss) on investments | 246 | 49 | 808 | 831 | 5 | ||||||||||||||||||
Net increase from payment by affiliate for losses realized on securities (Note B) | — | — | — | — | — | ||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 31,911 | 35,159 | 26,095 | 34,615 | 10,591 | ||||||||||||||||||
Transactions in Investors' Beneficial Interest: | |||||||||||||||||||||||
Contributions | 3,679,340 | 5,904,575 | 4,756,603 | 4,812,906 | 3,250,661 | ||||||||||||||||||
Withdrawals | (6,466,466 | ) | (2,332,818 | ) | (6,441,900 | ) | (4,274,828 | ) | (1,363,094 | ) | |||||||||||||
Net increase (decrease) from transactions in investors' beneficial interest | (2,787,126 | ) | 3,571,757 | (1,685,297 | ) | 538,078 | 1,887,567 | ||||||||||||||||
Net Increase (Decrease) in Net Assets | (2,755,215 | ) | 3,606,916 | (1,659,202 | ) | 572,693 | 1,898,158 | ||||||||||||||||
Net Assets: | |||||||||||||||||||||||
Beginning of period | 4,063,157 | 456,241 | 2,470,851 | 1,898,158 | — | ||||||||||||||||||
End of period | $ | 1,307,942 | $ | 4,063,157 | $ | 811,649 | $ | 2,470,851 | $ | 1,898,158 |
See Notes to Financial Statements 102
MUNICIPAL MASTER SERIES | |||||||||||||||
Six Months Ended September 30, 2008 (Unaudited) | 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) | $ | 4,508 | $ | 8,284 | $ | 3,386 | |||||||||
Net realized gain (loss) on investments | (99 | ) | 93 | 6 | |||||||||||
Net increase from payment by affiliate for losses realized on securities (Note B) | — | — | — | ||||||||||||
Net increase (decrease) in net assets resulting from operations | 4,409 | 8,377 | 3,392 | ||||||||||||
Transactions in Investors' Beneficial Interest: | |||||||||||||||
Contributions | 959,923 | 1,712,974 | 1,154,509 | ||||||||||||
Withdrawals | (1,173,840 | ) | (1,944,242 | ) | (540,341 | ) | |||||||||
Net increase (decrease) from transactions in investors' beneficial interest | (213,917 | ) | (231,268 | ) | 614,168 | ||||||||||
Net Increase (Decrease) in Net Assets | (209,508 | ) | (222,891 | ) | 617,560 | ||||||||||
Net Assets: | |||||||||||||||
Beginning of period | 394,669 | 617,560 | — | ||||||||||||
End of period | $ | 185,161 | $ | 394,669 | $ | 617,560 |
103
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. Each of Government Reserves Master Series, Tax-Exempt Master Series and Municipal Master Series had no operations until July 9, 2007, September 10, 2007 and September 10, 2007, respectively other than matters relating to its organization.
Other investment companies sponsored by Neuberger Berman Management LLC ("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.
Management, the investment manager of the Master Series, and LBAM are wholly owned subsidiaries of Lehman Brothers Holdings Inc. ("Lehman"), a publicly owned holding company. On September 15, 2008, Lehman filed a voluntary petition under Chapter 11 of the U.S. Bankruptcy Code. On September 29, 2008, it was announced that Bain Capital Partners, LLC and Hellman & Friedman LLC have agreed to acquire Neuberger Berman and the fixed income management and certain other parts of Lehman Brothers' Investment Management Division, in a cash transaction with Lehman. The transaction is subject to certain conditions and approvals, including approval by the bankruptcy court having jurisdiction over the Lehman matter. Other potential bids may be received during the time period for an open auction mandated by the bankruptcy court.
These events, while affecting Lehman, have not had a material impact on the Master Series or its operations. Management and LBAM will continue to operate in the ordinary course of business as the investment manager and sub-adviser of the Master Series.
If completed, acquisition of the Neuberger Berman entities would constitute an "assignment" of the Master Series' Management and Sub-Advisory Agreements and, by law, would automatically terminate those agreements. Accordingly, the Master Series' Board of Trustees will consider new investment management and sub-advisory agreements with the Neuberger Berman entities for the Master Series. If approved by the Board, including the Trustees who are not "interested persons" of the investment manager and its affiliates or the Master Series, the new agreements will require the approval of the shareholders of the funds that invest in the Master Series.
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.
104
4 Income tax information: It is the policy of the Master Series to comply with the requirements of the Internal Revenue Code. It is also the policy of the 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. 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.
The Master Series' have adopted the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48") "Accounting for Uncertainty in Income Taxes—an interpretation of FASB Statement No. 109". FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken, or expected to be taken, in a tax return. The Master Series' recognize interest and penalties, if any, related to unrecognized tax benefits as an income tax expense in the Statements of Operations. The Master Series' are subject to examination by U.S. federal and state tax authorities for returns filed for the prior two fiscal years 2007 - 2008. As of September 30, 2008, the Master Series' did not have any unrecognized tax benefits.
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
105
Series. For the six months ended September 30, 2008, such waived fees amounted to $1,509,141 for Tax-Exempt Master Series and $339,045 for Municipal Master Series.
Management and LBAM are wholly-owned subsidiaries of Lehman, 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 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.
During the six months ended September 30, 2008, Municipal Master Series and Tax-Exempt Master Series engaged in purchase and sale transactions with funds that have a common investment adviser (or affiliated investment adviser), common trustees/directors and/or common officers ("Interfund Transactions"). These Interfund Transactions complied with Rule 17a-7 under the 1940 Act and were as follows:
Purchases | Sales | ||||||||||
Tax-Exempt Master Series | $ | 123,362,595 | $ | 182,737,757 | |||||||
Municipal Master Series | 207,885,006 | 228,331,029 |
Each Master Series has an expense offset arrangement in connection with its custodian contract. For the six months ended September 30, 2008, the impact of this arrangement was a reduction of expenses of $1,788, $2,463, $3,470, $913, $1,038, $107,588 and $7,452 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 September 30, 2008, the Master Series were participants in a single committed, unsecured $300,000,000 line of credit with the Bank of New York Mellon (formerly, 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 0.085% per annum (0.075% per annum prior to May 23, 2008) 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. During the six months ended September 30, 2008, Tax-Exempt Master Series had borrowings under this line of credit for a period of seven days with the greatest amount borrowed being $231,380,484. On these borrowings, Tax-Exempt Master Series paid interest rates ranging from 1.855% to 3.175%. The total interest amount
106
Tax-Exempt Master Series paid was $99,713, which is reflected in the Statements of Operations under the caption "Interest expense". There were no loans outstanding pursuant to this line of credit at September 30, 2008.
At September 30, 2008 the Master Series were participants in a single uncommitted, unsecured $150,000,000 line of credit with State Street Bank & Trust Company, 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. There were no loans outstanding pursuant to this line of credit at September 30, 2008. During the six months ended September 30, 2008, none of the Master Series' utilized this line of credit.
Note E—Recent Market Events
Recent events have resulted in fixed income instruments, including some money market instruments, to experience liquidity issues, increased price volatility, credit downgrades and increased likelihood of default. Due to the market turbulence, some investors have turned to the safety of securities issued or guaranteed by the U.S. Treasury, causing the prices of these securities to rise and their yields to decline.
The U.S. federal government and certain foreign governments have acted to calm credit markets and increase confidence in the U.S. and world economies. The U.S. government is injecting liquidity into certain large financial services companies and establishing programs to assist in the purchase of money market instruments. The ultimate effect of these efforts is, of course, not yet known.
Note F—Unaudited Financial Information:
The financial information included in this interim report is taken from the records of each Master Series without audit by an independent registered public accounting firm. Annual reports contain audited financial statements.
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Financial Highlights
Money Market Master Series
Six Months Ended September 30, | Year Ended March 31, | Period from December 30, 2004^ to March 31, | |||||||||||||||||||||
2008 | 2008 | 2007 | 2006 | 2005 | |||||||||||||||||||
(Unaudited) | |||||||||||||||||||||||
Ratios to Average Net Assets: | |||||||||||||||||||||||
Gross Expenses# | .10 | %* | .10 | % | .10 | % | .11 | % | .11 | %* | |||||||||||||
Net Expenses | .10 | %* | .10 | % | .10 | %‡ | .11 | %‡ | .11 | %*‡ | |||||||||||||
Net Investment Income (Loss) | 2.61 | %* | 4.80 | % | 5.14 | % | 3.72 | % | 2.38 | %* | |||||||||||||
Total Return† | 1.29 | %** | 4.99 | % | 5.27 | %@ | 3.87 | %@ | .63 | %**@ | |||||||||||||
Net Assets, End of Period (in millions) | $ | 26.0 | $ | 3,087.9 | $ | 2,493.2 | $ | 2,230.5 | $ | 2,418.4 |
See Notes to Financial Highlights 108
Financial Highlights (cont'd)
Prime Master Series
Six Months Ended September 30, | Year Ended March 31, | Period from December 27, 2004^ to March 31, | |||||||||||||||||||||
2008 | 2008 | 2007 | 2006 | 2005 | |||||||||||||||||||
(Unaudited) | |||||||||||||||||||||||
Ratios to Average Net Assets: | |||||||||||||||||||||||
Gross Expenses# | .11 | %* | .10 | % | .10 | % | .11 | % | .12 | %* | |||||||||||||
Net Expenses | .11 | %* | .10 | % | .10 | %‡ | .10 | %‡ | .11 | %*‡ | |||||||||||||
Net Investment Income (Loss) | 2.55 | %* | 4.83 | % | 5.19 | % | 3.78 | % | 2.43 | %* | |||||||||||||
Total Return† | 1.29 | %** | 4.96 | % | 5.29 | %@ | 3.87 | %@ | .66 | %**@ | |||||||||||||
Net Assets, End of Period (in millions) | $ | 1,251.4 | $ | 8,782.6 | $ | 6,482.8 | $ | 3,206.2 | $ | 1,277.5 |
See Notes to Financial Highlights 109
Financial Highlights (cont'd)
Government Master Series
Six Months Ended September 30, | Year Ended March 31, | Period from December 18, 2006^ to March 31, | |||||||||||||
2008 | 2008 | 2007 | |||||||||||||
(Unaudited) | |||||||||||||||
Ratios to Average Net Assets: | |||||||||||||||
Gross Expenses# | .11 | %* | .10 | % | .13 | %* | |||||||||
Net Expenses | .11 | %* | .10 | % | .13 | %* | |||||||||
Net Investment Income (Loss) | 2.24 | %* | 4.23 | % | 5.17 | %* | |||||||||
Total Return† | 1.11 | %** | 4.73 | % | 1.49 | %** | |||||||||
Net Assets, End of Period (in millions) | $ | 1,721.4 | $ | 2,289.9 | $ | 769.8 |
See Notes to Financial Highlights 110
Financial Highlights (cont'd)
Government Reserves Master Series
Six Months Ended September 30, | Period from July 9, 2007^ to March 31, | ||||||||||
2008 | 2008 | ||||||||||
(Unaudited) | |||||||||||
Ratios to Average Net Assets: | |||||||||||
Gross Expenses# | .11 | %* | .11 | %* | |||||||
Net Expenses | .11 | %* | .11 | %* | |||||||
Net Investment Income (Loss) | 2.18 | %* | 4.01 | %* | |||||||
Total Return† | 1.07 | %** | 3.22 | %** | |||||||
Net Assets, End of Period (in millions) | $ | 220.6 | $ | 894.3 |
See Notes to Financial Highlights 111
Financial Highlights (cont'd)
Treasury Master Series
Six Months Ended September 30, | Year Ended March 31, | Period from December 18, 2006^ to March 31, | |||||||||||||
2008 | 2008 | 2007 | |||||||||||||
(Unaudited) | |||||||||||||||
Ratios to Average Net Assets: | |||||||||||||||
Gross Expenses# | .10 | %* | .11 | % | .12 | %* | |||||||||
Net Expenses | .10 | %* | .10 | % | .12 | %* | |||||||||
Net Investment Income (Loss) | 1.89 | %* | 3.26 | % | 5.05 | %* | |||||||||
Total Return† | .91 | %** | 4.20 | % | 1.46 | %** | |||||||||
Net Assets, End of Period (in millions) | $ | 1,307.9 | $ | 4,063.2 | $ | 456.2 |
See Notes to Financial Highlights 112
Financial Highlights (cont'd)
Tax-Exempt Master Series
Six Months Ended September 30, | Period from November 1, 2007 to March 31, | Period from September 10, 2007^ to October 31, | |||||||||||||
2008 | 2008 | 2007 | |||||||||||||
(Unaudited) | |||||||||||||||
Ratios to Average Net Assets: | |||||||||||||||
Gross Expenses# | .12 | %* | .10 | %* | .13 | %* | |||||||||
Net Expenses^^ | .11 | %* | .09 | %* | .09 | %* | |||||||||
Net Investment Income (Loss) | 1.97 | %* | 2.93 | %* | 3.61 | %* | |||||||||
Total Return†@ | 1.06 | %** | 1.25 | %** | .52 | %** | |||||||||
Net Assets, End of Period (in millions) | $ | 811.6 | $ | 2,470.9 | $ | 1,898.2 |
See Notes to Financial Highlights 113
Financial Highlights (cont'd)
Municipal Master Series
Six Months Ended September 30, | Period from November 1, 2007 to March 31, | Period from September 10, 2007^ to October 31, | |||||||||||||
2008 | 2008 | 2007 | |||||||||||||
(Unaudited) | |||||||||||||||
Ratios to Average Net Assets: | |||||||||||||||
Gross Expenses# | .14 | %* | .13 | %* | .18 | %* | |||||||||
Net Expenses‡ | .13 | %* | .10 | %* | .13 | %* | |||||||||
Net Investment Income (Loss) | 2.26 | %* | 3.08 | %* | 3.63 | %* | |||||||||
Total Return†@ | 1.20 | %** | 1.28 | %** | .52 | %** | |||||||||
Net Assets, End of Period (in millions) | $ | 185.2 | $ | 394.7 | $ | 617.6 |
See Notes to Financial Highlights 114
Notes to Financial Highlights Institutional Liquidity Trust (Unaudited)
# The Master Series is required to calculate an expense ratio without taking into consideration any expense reductions related to expense offset arrangements.
‡ After waiver of a portion of the investment management fee by Management. Had Management not undertaken such action, the annualized ratios of net expenses to average daily net assets would have been:
Six Months Ended September 30, | Period from November 1, 2007 to March 31, | Period Ended October 31, | Year Ended March 31, | Period Ended March 31, | |||||||||||||||||||||||
2008 | 2008(4) | 2007(3) | 2007 | 2006 | 2005 | ||||||||||||||||||||||
Money Market Master Series | — | — | — | .12 | % | .13 | % | .13 | %(1) | ||||||||||||||||||
Prime Master Series | — | — | — | .11 | % | .12 | % | .13 | %(2) | ||||||||||||||||||
Municipal Master Series | .30 | % | .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.
^^ After utilization of the Line of Credit by Tax-Exempt Master Series and/or waiver of a portion of the investment management fee by Management. Had Management not undertaken such actions, and the Fund had not utilized the Line of Credit the annualized ratio of net expenses to average daily net assets would have been:
Six Months Ended September 30, | Period from November 1, 2007 to March 31, | Period Ended October 31, | |||||||||||||
2008 | 2008(2) | 2007(1) | |||||||||||||
Tax-Exempt Master Series | .22 | % | .21 | % | .22 | % |
(1) Period from September 10, 2007 (commencement of operations) to October 31, 2007.
(2) 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.
* Annualized.
** Not annualized.
@ Total return would have been lower had Management not waived a portion of the investment management fee.
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Directory
Investment Manager, Administrator and Distributor
Neuberger Berman Management LLC
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
2 Avenue de Lafayette
Boston, MA 02111
Legal Counsel
K&L Gates 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
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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
Each Trust files a complete schedule of portfolio holdings for each Master Series and each Portfolio, respectively, with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. Each Trust's Forms N-Q are available on the Securities and Exchange Commission's website at www.sec.gov and may be reviewed and copied at the Securities and Exchange Commission's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The information on Form N-Q is available upon request, without charge, by calling 1-888-556-9030 (toll-free).
Board Consideration of the Management and Sub-Advisory Agreements
At a meeting held on September 25, 2008, the Board of Trustees of Institutional Liquidity Trust ("Board"), including the Trustees who are not "interested persons" of Neuberger Berman Management LLC ("Management") (including its affiliates) or Institutional Liquidity Trust ("Independent Fund Trustees"), approved the continuance of the Management and Sub-Advisory Agreements ("Agreements") between Management and Institutional Liquidity Trust, on behalf of Money Market Master Series, Prime Master Series, Government Master Series, Treasury Master Series, Government Reserves Master Series, Municipal Master Series and Tax-Exempt Master Series (each, a "Master Series"). Each of Money Market Portfolio, Prime Portfolio, Government Portfolio, Treasury Portfolio, Government Reserves Portfolio, Municipal Portfolio and Tax-Exempt Portfolio (each, a "Feeder Portfolio") invests all of its net investable assets in Money Market Master Series, Prime Master Series, Government Master Series, Treasury Master Series, Government Reserves Master Series, Municipal Master Series and Tax-Exempt Master Series respectively. The term "Fund" is used throughout this section to refer to each Feeder Portfolio or its corresponding Master Series, as appropriate.
In evaluating the Agreements, the Board, including the Independent Fund Trustees, reviewed materials furnished by Management and Lehman Brothers Asset Management LLC ("Lehman Brothers Asset Management") in response to questions submitted by counsel to the Independent Fund Trustees, and met with senior representatives of Management and Lehman Brothers Asset Management regarding their personnel and operations. The Independent Fund Trustees were advised by counsel that is experienced in Investment Company Act of 1940 matters and that is independent of Management and Lehman Brothers Asset Management.
The Independent Fund Trustees received a memorandum from independent counsel discussing the legal standards for their consideration of the proposed continuance of the Agreements. They met with such counsel separately from representatives of Management to discuss the annual contract review. The annual contract review extends over two regular meetings of the Board to ensure that Management and Lehman Brothers Asset Management have time to respond to any questions the Independent Fund Trustees may have on their initial review of the report and that the Independent Fund Trustees have time to consider those responses. In addition, during this process, the Board held a separate meeting devoted to reviewing and discussing Fund performance.
The Board considered the following factors, among others, in connection with its approval of the continuance of the Agreements: (1) the nature, extent, and quality of the services provided by Management and Lehman Brothers Asset Management; (2) the performance of each Fund compared to a relevant market index and a peer group of investment companies; (3) the costs of the services provided and profits or losses realized by Management and its affiliates from their relationship with the Funds; (4) the extent to which economies of scale might be realized as each Fund grows; and (5) whether fee levels reflect any such potential economies of scale for the benefit of investors in each Fund. In their
117
deliberations, the Board members did not identify any particular information that was all-important or controlling, and each Trustee may have attributed different weights to the various factors.
The Board evaluated the terms of the Agreements, the overall fairness of the Agreements to each Fund and whether the Agreements were in the best interests of each Fund and its shareholders.
With respect to the nature, extent and quality of the services provided, the Board considered the performance of each Fund and the experience and staffing of portfolio management and the investment research personnel of Management and Lehman Brothers Asset Management who perform services for the Funds. The Board noted that Management also provides certain administrative services, including fund accounting and compliance oversight. In addition, the Board noted the positive compliance history of Management, as the firm has been free of significant compliance problems.
With respect to the performance of each Fund the Board considered the performance of each Fund relative to its benchmark and a peer group of investment companies pursuing broadly similar strategies. The Board also considered the previous performance of Management in managing Neuberger Berman Institutional Cash Fund, a former series of Lehman Brothers Income Funds and the predecessor to Neuberger Berman Institutional Cash Fund, a series of Neuberger Berman Institutional Liquidity Series, which also invests in Money Market Master Series. The Board also considered performance in relation to the degree of risk undertaken by the portfolio managers.
With respect to the overall fairness of the Agreements, the Board considered the fee structure for each Fund under the Agreements as compared to a peer group of comparable funds and any fall-out benefits likely to accrue to Management or Lehman Brothers Asset Management or their affiliates from their relationship with each Fund. The Board also considered the profitability of Management and its affiliates from their association with the Funds.
The Board reviewed a comparison of each Fund's management fee and overall expense ratio to a peer group of broadly comparable funds. The Board considered the mean and median of the management fees and expense ratios of each peer group. In addition, the Board considered the contractual limits on Fund expenses undertaken by Management for the Funds.
The Board considered whether there were other funds that were advised or sub-advised by Management or its affiliates or separate accounts managed by Management or its affiliates with similar investment objectives, policies and strategies as the Funds. The Board compared the fees charged to each Fund at various asset levels to the fees charged to any such funds and/or separate accounts. The Board considered the appropriateness and reasonableness of the differences between the fees charged between each Fund and any such funds and/or separate accounts and determined that the differences in fees were consistent with the management and other services provided.
The Board also evaluated any apparent or anticipated economies of scale in relation to the services Management provides to each Fund. The Board considered the relatively low level of the management fee and the contractual and voluntary expense limits for each Fund. With regard to Municipal Master Series and Tax-Exempt Master Series, the Board considered whether each Fund's fee structure provides for a reduction of payments resulting from the use of breakpoints and whether those breakpoints are set at appropriate asset levels.
In concluding that the benefits accruing to Management and its affiliates by virtue of their relationship to each Fund were reasonable in comparison with the costs of providing the investment advisory services and the benefits accruing to each Fund, the Board reviewed specific data as to Management's profit or loss on each Fund for a recent period and the trend in profit or loss over recent years. The Board also carefully examined Management's cost allocation methodology and in recent years had an independent consultant review the methodology. It also reviewed an analysis from an independent data service on profitability margins in the investment management industry. The Board recognized that Management should be entitled to earn a reasonable level of profits for services it provides to the Funds and, based on its review, concluded that Management's level of profitability was not excessive.
Conclusions
In approving the Agreements, the Board concluded that the terms of each Agreement are fair and reasonable and that approval of the Agreements is in the best interests of each Fund and its shareholders. In reaching this determination, the
118
Board considered that Management and Lehman Brothers Asset Management could be expected to provide a high level of service to each Fund; that it retained confidence in Management's and Lehman Brothers Asset Management's capabilities to manage the Funds; that each Fund's fee structure appeared to the Board to be reasonable given the nature and quality of services provided; and that the benefits accruing to Management and its affiliates by virtue of their relationship to the Funds were reasonable in comparison with the benefits accruing to each Fund.
119
Investment manager: Neuberger Berman Management LLC
Sub-adviser: Lehman Brothers Asset Management LLC
Neuberger Berman Management LLC
605 Third Avenue, 2nd Floor
New York, NY 10158-0180
888.556.9030
Web site: www.lehman.com/lbilf
Statistics and projections in this report are derived from sources deemed to be reliable but cannot be regarded as a representation of future results of the Portfolios. This report is prepared for the general information of shareholders and is not an offer of shares of the Portfolios. Shares are sold only through the currently effective prospectus, which must precede or accompany this report.
H0600 11/08
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 is incorporated by reference to Lehman Brothers Reserve Liquidity Funds’ Form N-CSR, Investment Company Act file number 811-21716 (filed June 5, 2006). The Code of Ethics is also available, without charge, by calling 1-800-877-9700 (toll-free).
Item 3. Audit Committee Financial Expert.
The Board has determined that the Registrant has three audit committee financial experts serving on its audit committee. The Registrant’s audit committee financial experts are Martha Goss, Howard Mileaf and George Morriss. Ms. Goss, Mr. Mileaf and Mr. Morriss are independent trustees as defined by Form N-CSR.
Item 4. Principal Accountant Fees and Services.
Only required in an annual report.
Item 5. Audit Committee of Listed Registrants.
Not applicable to the Registrant.
Item 6. Schedule of Investments.
The complete schedule of investments for each series of the “master” fund in which the Registrant invests, Institutional Liquidity Trust, is disclosed in the Registrant’s semi-annual report, which is included as Item 1 of this Form N-CSR.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to the Registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
There were no changes to the procedures by which shareholders may recommend nominees to the Board.
Item 11. Controls and Procedures.
(a) | Based on an evaluation of the disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “Act”)) as of a date within 90 days of the filing date of this document, the Chief Executive Officer and Treasurer and Principal Financial and Accounting Officer of the Registrant have concluded that such disclosure controls and procedures are effectively designed to ensure that information required to be disclosed by the Registrant on Form N-CSR and Form N-Q is accumulated and communicated to the Registrant’s management to allow timely decisions regarding required disclosure. |
(b) | There were no significant changes in the Registrant’s internal controls over financial reporting (as defined in rule 30a-3(d) under the Act) that occurred during the Registrant’s second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 12. Exhibits.
(a)(1) | A copy of the Code of Ethics is incorporated by reference to Lehman Brothers Reserve Liquidity Funds’ Form N-CSR, Investment Company Act file number 811-21716 (filed June 5, 2006). |
(a)(2) | The certifications required by Rule 30a-2(a) of the Act and Section 302 of the Sarbanes-Oxley Act of 2002 (“Sarbanes-Oxley Act”) are filed herewith. |
(a)(3) | Not applicable to the Registrant. |
(b) | The certifications required by Rule 30a-2(b) of the Act and Section 906 of the Sarbanes-Oxley Act are filed herewith. |
The certifications provided pursuant to Rule 30a-2(b) of the Act and Section 906 of the Sarbanes-Oxley Act are not deemed “filed” for purposes of Section 18 of the Securities Exchange Act of 1934 (“Exchange Act”), or otherwise subject to the liability of that section. Such certifications will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the Registrant specifically incorporates them by reference.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Lehman Brothers Institutional LIQUIDITY Funds
By: | /s/ Peter E. Sundman |
Peter E. Sundman | |
Chief Executive Officer |
Date: December 4, 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: December 4, 2008 |
By: | /s/ John M. McGovern |
John M. McGovern | |
Treasurer and Principal Financial | |
and Accounting Officer |
Date: December 4, 2008