Exhibit 17(d)
Statement of assets and liabilities
August 31, 2016
Assets: | ||||
Investment in Liquid Reserves Portfolio, at value | $ | 6,179,609,426 | ||
Receivable for Fund shares sold | 221,669 | |||
Prepaid expenses | 116,931 | |||
Total Assets | 6,179,948,026 | |||
Liabilities: | ||||
Distributions payable | 1,344,762 | |||
Payable for Fund shares repurchased | 568,375 | |||
Investment management fee payable | 525,157 | |||
Service and/or distribution fees payable | 23,745 | |||
Trustees’ fees payable | 16,385 | |||
Accrued expenses | 150,459 | |||
Total Liabilities | 2,628,883 | |||
Total Net Assets | $ | 6,177,319,143 | ||
Net Assets: | ||||
Par value (Note 5) | $ | 61,767 | ||
Paid-in capital in excess of par value | 6,179,856,182 | |||
Undistributed net investment income | 25,679 | |||
Accumulated net realized loss on investments allocated from Liquid Reserves Portfolio | (2,624,485) | |||
Total Net Assets | $ | 6,177,319,143 | ||
Net Assets: | ||||
Institutional Shares | $5,953,296,077 | |||
Investor Shares | $224,023,066 | |||
Shares Outstanding: | ||||
Institutional Shares | 5,952,671,688 | |||
Investor Shares | 224,000,090 | |||
Net Asset Value: | ||||
Institutional Shares | $1.00 | |||
Investor Shares | $1.00 |
See Notes to Financial Statements.
Western Asset Institutional Liquid Reserves 2016 Annual Report | 1 |
Statement of operations
For the Year Ended August 31, 2016
Investment Income: | ||||
Income from Liquid Reserves Portfolio | $ | 31,918,766 | ||
Allocated expenses from Liquid Reserves Portfolio | (7,269,828) | |||
Allocated waiver from Liquid Reserves Portfolio | 6,610,580 | |||
Other income | 30,079 | |||
Total Investment Income | 31,289,597 | |||
Expenses: | ||||
Investment management fee (Note 2) | 13,559,787 | |||
Service and/or distribution fees (Notes 2 and 3) | 550,784 | |||
Legal fees | 230,533 | |||
Trustees’ fees | 132,196 | |||
Registration fees | 82,416 | |||
Insurance | 75,345 | |||
Shareholder reports | 66,147 | |||
Transfer agent fees (Note 3) | 61,505 | |||
Audit and tax fees | 33,280 | |||
Fund accounting fees | 6,300 | |||
Miscellaneous expenses | 37,912 | |||
Total Expenses | 14,836,205 | |||
Less: Fee waivers and/or expense reimbursements (Notes 2 and 3) | (6,427,355) | |||
Net Expenses | 8,408,850 | |||
Net Investment Income | 22,880,747 | |||
Net Realized Gain on Investments From Liquid Reserves Portfolio | 218,229 | |||
Increase in Net Assets From Operations | $ | 23,098,976 |
See Notes to Financial Statements.
2 | Western Asset Institutional Liquid Reserves 2016 Annual Report |
Statements of changes in net assets
For the Years Ended August 31, | 2016 | 2015 | ||||||
Operations: | ||||||||
Net investment income | $ | 22,880,747 | $ | 4,951,509 | ||||
Net realized gain | 218,229 | 150,228 | ||||||
Increase in Net Assets From Operations | 23,098,976 | 5,101,737 | ||||||
Distributions to Shareholders From (Notes 1 and 4): | ||||||||
Net investment income | (22,880,747) | (4,949,478) | ||||||
Decrease in Net Assets From Distributions to Shareholders | (22,880,747) | (4,949,478) | ||||||
Fund Share Transactions (Note 5): | ||||||||
Net proceeds from sale of shares | 80,819,057,588 | 31,062,224,148 | ||||||
Reinvestment of distributions | 8,970,953 | 1,920,839 | ||||||
Cost of shares repurchased | (80,197,245,487) | (29,919,133,505) | ||||||
Increase in Net Assets From Fund Share Transactions | 630,783,054 | 1,145,011,482 | ||||||
Increase in Net Assets | 631,001,283 | 1,145,163,741 | ||||||
Net Assets: | ||||||||
Beginning of year | 5,546,317,860 | 4,401,154,119 | ||||||
End of year* | $ | 6,177,319,143 | $ | 5,546,317,860 | ||||
*Includes undistributed net investment income of: | $25,679 | $25,679 |
See Notes to Financial Statements.
Western Asset Institutional Liquid Reserves 2016 Annual Report | 3 |
Financial highlights
For a share of each class of beneficial interest outstanding throughout each year ended August 31: | ||||||||||||||||||||
Institutional Shares | 20161 | 20151 | 20141 | 20131 | 2012 | |||||||||||||||
Net asset value, beginning of year | $1.000 | $1.000 | $1.000 | $1.000 | $1.000 | |||||||||||||||
Income from operations: | ||||||||||||||||||||
Net investment income | 0.004 | 0.001 | 0.001 | 0.001 | 0.002 | |||||||||||||||
Net realized gain2 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | |||||||||||||||
Total income from operations | 0.004 | 0.001 | 0.001 | 0.001 | 0.002 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (0.004) | (0.001) | (0.001) | (0.001) | (0.002) | |||||||||||||||
Total distributions | (0.004) | (0.001) | (0.001) | (0.001) | (0.002) | |||||||||||||||
Net asset value, end of year | $1.000 | $1.000 | $1.000 | $1.000 | $1.000 | |||||||||||||||
Total return3 | 0.36 | % | 0.10 | % | 0.07 | % | 0.13 | % | 0.18 | % | ||||||||||
Net assets, end of year (millions) | $5,953 | $4,988 | $3,729 | $4,696 | $5,362 | |||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Gross expenses4 | 0.33 | %5 | 0.33 | %5 | 0.33 | %5 | 0.33 | %5 | 0.23 | % | ||||||||||
Net expenses4,6,7 | 0.13 | 0.13 | 0.13 | 0.14 | 0.15 | |||||||||||||||
Net investment income | 0.35 | 0.10 | 0.07 | 0.13 | 0.18 |
1 | Per share amounts have been calculated using the average shares method. |
2 | Amount represents less than $0.0005 per share. |
3 | Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Past performance is no guarantee of future results. |
4 | Includes the Fund’s share of Liquid Reserves Portfolio’s allocated expenses. |
5 | The gross expenses do not reflect the reduction of the Fund’s management fee by the amount paid by the Fund for its allocable share of the management fee paid by Liquid Reserves Portfolio. |
6 | As a result of an expense limitation arrangement, the ratio of total annual fund operating expenses, other than interest, brokerage, taxes, extraordinary expenses and acquired fund fees and expenses, to average net assets of Institutional Shares did not exceed 0.20%. This expense limitation arrangement cannot be terminated prior to December 31, 2017 without the Board of Trustees’ consent. Additional amounts may be voluntarily waived and/or reimbursed from time to time. |
7 | Reflects fee waivers and/or expense reimbursements. |
See Notes to Financial Statements.
4 | Western Asset Institutional Liquid Reserves 2016 Annual Report |
For a share of each class of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted: | ||||||||||||
Investor Shares1 | 2016 | 2015 | 20142 | |||||||||
Net asset value, beginning of year | $1.000 | $1.000 | $1.000 | |||||||||
Income from operations: | ||||||||||||
Net investment income | 0.003 | 0.001 | 0.000 | 3 | ||||||||
Net realized gain3 | 0.000 | 0.000 | 0.000 | |||||||||
Total income from operations | 0.003 | 0.001 | 0.000 | 3 | ||||||||
Less distributions from: | ||||||||||||
Net investment income | (0.003) | (0.001) | (0.000) | 3 | ||||||||
Total distributions | (0.003) | (0.001) | (0.000) | 3 | ||||||||
Net asset value, end of year | $1.000 | $1.000 | $1.000 | |||||||||
Total return4 | 0.31 | % | 0.05 | % | 0.02 | % | ||||||
Net assets, end of year (millions) | $224 | $110 | $79 | |||||||||
Ratios to average net assets: | ||||||||||||
Gross expenses5,6 | 0.43 | % | 0.43 | % | 0.46 | %7 | ||||||
Net expenses6,8,9 | 0.18 | 0.18 | 0.18 | 7 | ||||||||
Net investment income | 0.33 | 0.05 | 0.02 | 7 |
1 | Per share amounts have been calculated using the average shares method. |
2 | For the period September 3, 2013 (inception date) to August 31, 2014. |
3 | Amount represents less than $0.0005 per share. |
4 | Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Past performance is no guarantee of future results. Total returns for periods of less than one year are not annualized. |
5 | The gross expenses do not reflect the reduction of the Fund’s management fee by the amount paid by the Fund for its allocable share of the management fee paid by Liquid Reserves Portfolio. |
6 | Includes the Fund’s share of Liquid Reserves Portfolio’s allocated expenses. |
7 | Annualized. |
8 | As a result of an expense limitation arrangement, the ratio of total annual fund operating expenses, other than interest, brokerage, taxes, extraordinary expenses and acquired fund fees and expenses, to average net assets of Investor Shares did not exceed 0.35%. This expense limitation arrangement cannot be terminated prior to December 31, 2017 without the Board of Trustees’ consent. Additional amounts may be voluntarily waived and/or reimbursed from time to time. |
9 | Reflects fee waivers and/or expense reimbursements. |
See Notes to Financial Statements.
Western Asset Institutional Liquid Reserves 2016 Annual Report | 5 |
Notes to financial statements
1. Organization and significant accounting policies
Western Asset Institutional Liquid Reserves (the “Fund”) is a separate diversified investment series of Legg Mason Partners Institutional Trust (the “Trust”). The Trust, a Maryland statutory trust, is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Fund invests all of its investable assets in Liquid Reserves Portfolio (the “Portfolio”), a separate investment series of Master Portfolio Trust, that has the same investment objective as the Fund.
The financial statements of the Portfolio, including the schedule of investments, are contained elsewhere in this report and should be read in conjunction with the Fund’s financial statements.
The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”). Estimates and assumptions are required to be made regarding assets, liabilities and changes in net assets resulting from operations when financial statements are prepared. Changes in the economic environment, financial markets and any other parameters used in determining these estimates could cause actual results to differ. Subsequent events have been evaluated through the date the financial statements were issued.
(a) Investment valuation. The Fund records its investment in the Portfolio at value. The value of such investment in the Portfolio reflects the Fund’s proportionate interest (12.4% at August 31, 2016) in the net assets of the Portfolio.
GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. The disclosure and valuation of securities held by the Portfolio are discussed in Note 1(a) of the Portfolio’s Notes to Financial Statements, which are included elsewhere in this report.
(b) Investment transactions and investment income. Net investment income of the Portfolio is allocated pro rata, based on respective ownership interests, among the Fund and other investors in the Portfolio (the “Holders”) at the time of such determination. Gross realized gains and/or losses of the Portfolio are allocated to the Holders in a manner such that, the net asset values per share of each Holder, after each such allocation is closer to the total of all Holders’ net asset values divided by the aggregate number of shares outstanding for all Holders. The Fund also pays certain other expenses which can be directly attributed to the Fund.
(c) Distributions to shareholders. Distributions from net investment income on the shares of the Fund are declared each business day and are paid monthly. Distributions of net realized gains, if any, are declared at least annually. Distributions to shareholders of the Fund are recorded on the ex-dividend date and are determined in accordance with income tax regulations, which may differ from GAAP.
6 | Western Asset Institutional Liquid Reserves 2016 Annual Report |
(d) Share class accounting. Investment income, common expenses and realized gains (losses) on investments are allocated to the various classes of the Fund on the basis of daily net assets of each class. Fees relating to a specific class are charged directly to that share class.
(e) Federal and other taxes. It is the Fund’s policy to comply with the federal income and excise tax requirements of the Internal Revenue Code of 1986 (the “Code”), as amended, applicable to regulated investment companies. Accordingly, the Fund intends to distribute its taxable income and net realized gains, if any, to shareholders in accordance with timing requirements imposed by the Code. Therefore, no federal or state income tax provision is required in the Fund’s financial statements.
Management has analyzed the Fund’s tax positions taken on income tax returns for all open tax years and has concluded that as of August 31, 2016, no provision for income tax is required in the Fund’s financial statements. The Fund’s federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
(f) Reclassification. GAAP requires that certain components of net assets be reclassified to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset value per share. During the current year, the Fund had no reclassifications.
2. Investment management agreement and other transactions with affiliates
Legg Mason Partners Fund Advisor, LLC (“LMPFA”) is the Fund’s and the Portfolio’s investment manager and Western Asset Management Company (“Western Asset”) is the Fund’s and the Portfolio’s subadviser. LMPFA and Western Asset are wholly-owned subsidiaries of Legg Mason, Inc. (“Legg Mason”).
Under the investment management agreement, the Fund pays an investment management fee, calculated daily and paid monthly, in accordance with the following breakpoint schedule:
Average Daily Net Assets | Annual Rate | |||
First $5 billion | 0.200 | % | ||
Next $5 billion | 0.175 | |||
Over $10 billion | 0.150 |
Prior to August 29, 2016, the Fund paid an investment management fee that was calculated daily and payable monthly, in accordance with the following breakpoint schedule:
Average Daily Net Assets | Annual Rate | |||
First $1 billion | 0.250 | % | ||
Next $1 billion | 0.225 | |||
Next $3 billion | 0.200 | |||
Next $5 billion | 0.175 | |||
Over $10 billion | 0.150 |
Western Asset Institutional Liquid Reserves 2016 Annual Report | 7 |
Notes to financial statements (cont’d)
Since the Fund invests all of its investable assets in Liquid Reserves Portfolio, the investment management fee of the Fund will be reduced by the investment management fee allocated to the Fund by Liquid Reserves Portfolio.
LMPFA provides administrative and certain oversight services to the Fund. LMPFA delegates to the subadviser the day-to-day portfolio management of the Fund. For its services, LMPFA pays Western Asset 70% of the net management fee it receives from the Fund.
As a result of expense limitation arrangements between the Fund and LMPFA, the ratio of total annual fund operating expenses, other than interest, brokerage, taxes, extraordinary expenses and acquired fund fees and expenses, to average net assets of Institutional Shares and Investor Shares did not exceed 0.20% and 0.35%, respectively. These expense limitation arrangements cannot be terminated prior to December 31, 2017 without the Board of Trustees’ consent. Additional amounts may be voluntarily waived and/or reimbursed from time to time.
During the year ended August 31, 2016, fees waived and/or expenses reimbursed amounted to $6,427,355.
LMPFA is permitted to recapture amounts waived and/or reimbursed to a class during the same fiscal year if the class’ total annual operating expenses have fallen to a level below the expense limitation (“expense cap”) in effect at the time the fees were earned or the expenses incurred. In no case will LMPFA recapture any amount that would result, on any particular business day of the Fund, in the class’ total annual operating expenses exceeding the expense cap or any other lower limit then in effect.
Legg Mason Investor Services, LLC, a wholly-owned broker-dealer subsidiary of Legg Mason, serves as the Fund’s sole and exclusive distributor.
All officers and one Trustee of the Trust are employees of Legg Mason or its affiliates and do not receive compensation from the Trust.
3. Class specific expenses, waivers and/or expense reimbursements
The Fund has adopted a Rule 12b-1 shareholder services and distribution plan and under that plan the Fund pays service and/or distribution fees with respect to its SVB Securities Liquid Reserves Shares, SVB Securities Institutional Liquid Reserves Shares and Investor Shares calculated at the annual rate not to exceed 0.45%, 0.10% and 0.10% of the average daily net assets of each class, respectively. Service and/or distribution fees are accrued daily and paid monthly.
8 | Western Asset Institutional Liquid Reserves 2016 Annual Report |
For the year ended August 31, 2016, class specific expenses were as follows:
Service and/or Distribution Fees | Transfer Agent Fees | |||||||
Institutional Shares | — | $ | 51,280 | |||||
SVB Securities Liquid Reserves Shares1 | $ | 30,650 | 2 | 2,396 | ||||
SVB Securities Institutional Liquid Reserves Shares3 | 341,660 | 2 | 4,813 | |||||
Investor Shares | 178,474 | 2 | 3,016 | |||||
Total | $ | 550,784 | $ | 61,505 |
1 | On August 26, 2016, SVB Securities Liquid Reserves shares were fully redeemed. |
2 | Amount shown is exclusive of waivers. For the year ended August 31, 2016, the service and/or distribution fees waived amounted to $18,205, $170,380 and $113,114, for SVB Securities Liquid Reserves Shares, SVB Securities Institutional Liquid Reserves Shares and Investor Shares, respectively. Such waivers are voluntary and may be reduced or terminated at any time. |
3 | On August 26, 2016, SVB Securities Institutional Liquid Reserves shares were fully redeemed. |
For the year ended August 31, 2016, waivers and/or expense reimbursements by class were as follows:
Waivers/Expense Reimbursements | ||||
Institutional Shares | $ | 5,796,920 | ||
SVB Securities Liquid Reserves Shares1 | 19,337 | |||
SVB Securities Institutional Liquid Reserves Shares2 | 348,405 | |||
Investor Shares | 262,693 | |||
Total | $ | 6,427,355 |
1 | On August 26, 2016, SVB Securities Liquid Reserves shares were fully redeemed. |
2 | On August 26, 2016, SVB Securities Institutional Liquid Reserves shares were fully redeemed. |
4. Distributions to shareholders by class
Year Ended August 31, 2016 | Year Ended August 31, 2015 | |||||||
Net Investment Income: | ||||||||
Institutional Shares | $ | 21,463,499 | $ | 4,777,435 | ||||
SVB Securities Liquid Reserves Shares1 | 3,415 | 1,794 | ||||||
SVB Securities Institutional Liquid Reserves Shares2 | 826,057 | 132,323 | ||||||
Investor Shares | 587,776 | 37,926 | ||||||
Total | $ | 22,880,747 | $ | 4,949,478 |
1 | On August 26, 2016, SVB Securities Liquid Reserves shares were fully redeemed. |
2 | On August 26, 2016, SVB Securities Institutional Liquid Reserves shares were fully redeemed. |
5. Shares of beneficial interest
At August 31, 2016, the Trust had an unlimited number of shares of beneficial interest authorized with a par value of $0.00001 per share. The Funds have the ability to issue multiple classes of shares. Each class of shares represents an identical interest and has the same rights, except that each class bears certain direct expenses, including those specifically related to the distribution of its shares.
Western Asset Institutional Liquid Reserves 2016 Annual Report | 9 |
Notes to financial statements (cont’d)
Transactions in shares of each class were as follows:
Year Ended August 31, 2016 | Year Ended August 31, 2015 | |||||||
Institutional Shares | ||||||||
Shares sold | 80,193,502,127 | 30,239,570,506 | ||||||
Shares issued on reinvestment | 7,653,520 | 1,757,254 | ||||||
Shares repurchased | (79,236,098,116) | (28,982,340,828) | ||||||
Net increase | 965,057,531 | 1,258,986,932 | ||||||
SVB Securities Liquid Reserves Shares1 | ||||||||
Shares sold | 15,161,457 | 32,953,792 | ||||||
Shares issued on reinvestment | 2,940 | 1,772 | ||||||
Shares repurchased | (23,204,182) | (54,596,611) | ||||||
Net decrease | (8,039,785) | (21,641,047) | ||||||
SVB Securities Institutional Liquid Reserves Shares2 | ||||||||
Shares sold | 295,281,497 | 651,948,453 | ||||||
Shares issued on reinvestment | 777,169 | 132,323 | ||||||
Shares repurchased | (736,575,512) | (775,107,764) | ||||||
Net decrease | (440,516,846) | (123,026,988) | ||||||
Investor Shares | ||||||||
Shares sold | 315,112,507 | 137,751,397 | ||||||
Shares issued on reinvestment | 537,324 | 29,490 | ||||||
Shares repurchased | (201,367,677) | (107,088,302) | ||||||
Net increase | 114,282,154 | 30,692,585 |
1 | On August 26, 2016, SVB Securities Liquid Reserves shares were fully redeemed. |
2 | On August 26, 2016, SVB Securities Institutional Liquid Reserves shares were fully redeemed. |
Because the Fund has maintained a $1.00 net asset value per share from inception, the number of shares sold, shares issued on reinvestment of dividends declared, and shares repurchased, is equal to the dollar amount shown in the Statements of Changes in Net Assets for the corresponding fund share transactions.
6. Income tax information and distributions to shareholders
The tax character of distributions paid during the fiscal years ended August 31, was as follows:
2016 | 2015 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 22,880,747 | $ | 4,949,478 |
As of August 31, 2016, there were no significant differences between the book and tax basis components of net assets.
10 | Western Asset Institutional Liquid Reserves 2016 Annual Report |
During the taxable year ended August 31, 2016, the Fund utilized $218,229 of its capital loss carryforward available from prior years. Additionally, as of August 31, 2016, the Fund had the following net capital loss carryforward remaining:
Year of Expiration | Amount | |||
8/31/2017 | $ | (2,624,485 | ) |
This amount will be available to offset any future taxable capital gains.
7. Money market fund reform
The U.S. Securities and Exchange Commission has adopted certain reforms to the rules that govern money market funds (the “Reforms”). Under the Reforms, the Fund may no longer use the amortized cost method of valuation to seek to maintain a stable NAV of $1.00 per share. Instead, on or about October 11, 2016, the Fund will be required to calculate its NAV based on the current market-based value of its portfolio securities. In addition, as of that date, the Fund will use “basis point” rounding to calculate its share value to the nearest 1/100th of 1%, which means, that share prices will be rounded to four decimal places (i.e., $1.0000). In addition, no later than October 14, 2016, the Fund may impose fees upon the sale of shares or temporarily suspend the ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors.
8. Subsequent event
Subsequent to the year ended August 31, 2016, shareholder redemptions from Institutional Shares and Investor Shares exceeded 50% of Institutional Shares and Investor Shares net assets as of August 31, 2016.
Western Asset Institutional Liquid Reserves 2016 Annual Report | 11 |
Report of independent registered public
accounting firm
The Board of Trustees and Shareholders
Legg Mason Partners Institutional Trust:
We have audited the accompanying statement of assets and liabilities of Western Asset Institutional Liquid Reserves (the “Fund”), a series of Legg Mason Partners Institutional Trust, as of August 31, 2016, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of August 31, 2016, by examination of the underlying Liquid Reserves Portfolio. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Western Asset Institutional Liquid Reserves as of August 31, 2016, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.
New York, New York
October 20, 2016
12 | Western Asset Institutional Liquid Reserves 2016 Annual Report |
Schedule of investments
August 31, 2016
Liquid Reserves Portfolio
Security | Rate | Maturity Date | Face Amount | Value | ||||||||||||
Short-Term Investments — 101.2% | ||||||||||||||||
Certificates of Deposit — 29.6% | ||||||||||||||||
Abbey National Treasury Services PLC | 0.420 | % | 9/2/16 | $ | 411,424,000 | $ | 411,424,000 | |||||||||
Abbey National Treasury Services PLC | 0.410 | % | 9/7/16 | 51,636,000 | 51,636,000 | |||||||||||
Bank of Montreal | 0.610 | % | 9/19/16 | 242,000,000 | 242,000,000 | |||||||||||
Bank of Montreal | 0.630 | % | 9/20/16 | 238,928,000 | 238,927,997 | |||||||||||
Bank of Montreal | 0.660 | % | 10/4/16 | 116,000,000 | 115,997,876 | |||||||||||
Bank of Montreal | 0.900 | % | 1/4/17 | 246,750,000 | 246,750,000 | |||||||||||
Bank of Nova Scotia | 0.860 | % | 9/8/16 | 475,000,000 | 475,000,000 | |||||||||||
Bank of Nova Scotia | 0.904 | % | 1/3/17 | 437,784,000 | 437,784,000 | (a) | ||||||||||
Bank of Tokyo-Mitsubishi UFJ NY | 0.764 | % | 10/3/16 | 198,856,000 | 198,856,000 | (a) | ||||||||||
BNP Paribas NY Branch | 0.710 | % | 10/3/16 | 467,856,000 | 467,856,000 | |||||||||||
BNP Paribas NY Branch | 1.128 | % | 2/13/17 | 149,100,000 | 149,100,000 | (a) | ||||||||||
Canadian Imperial Bank of Commerce | 0.400 | % | 9/1/16 | 100,000,000 | 100,000,000 | |||||||||||
Canadian Imperial Bank of Commerce | 0.870 | % | 9/14/16 | 81,800,000 | 81,800,000 | |||||||||||
Canadian Imperial Bank of Commerce | 0.650 | % | 10/3/16 | 490,000,000 | 490,000,000 | |||||||||||
Canadian Imperial Bank of Commerce | 0.894 | % | 1/3/17 | 452,784,000 | 452,784,000 | (a) | ||||||||||
Chase Bank USA N.A. | 1.215 | % | 5/26/17 | 112,366,000 | 112,366,000 | (a) | ||||||||||
Citibank N.A. | 0.650 | % | 10/3/16 | 500,000,000 | 500,000,000 | |||||||||||
Citibank N.A. | 0.700 | % | 10/6/16 | 455,105,000 | 455,105,000 | |||||||||||
Citibank N.A. | 0.720 | % | 10/24/16 | 272,820,000 | 272,820,000 | |||||||||||
Citibank N.A. | 0.900 | % | 12/15/16 | 346,250,000 | 346,250,000 | |||||||||||
Credit Suisse NY | 0.950 | % | 9/13/16 | 50,000,000 | 50,003,308 | |||||||||||
Credit Suisse NY | 0.950 | % | 9/16/16 | 50,000,000 | 50,004,136 | |||||||||||
Credit Suisse NY | 1.223 | % | 3/3/17 | 50,000,000 | 50,000,000 | (a) | ||||||||||
DnB NOR Bank ASA | 0.390 | % | 9/7/16 | 86,590,000 | 86,590,000 | |||||||||||
Landesbank Hessen-Thuringen | 0.610 | % | 9/22/16 | 139,356,000 | 139,356,000 | |||||||||||
Landesbank Hessen-Thuringen | 0.650 | % | 10/4/16 | 150,000,000 | 150,000,000 | |||||||||||
Mitsubishi UFJ Trust & Banking NY | 0.690 | % | 10/3/16 | 245,000,000 | 245,002,175 | |||||||||||
Mitsubishi UFJ Trust & Banking NY | 0.880 | % | 10/5/16 | 96,300,000 | 96,300,453 | |||||||||||
Mitsubishi UFJ Trust & Banking NY | 0.800 | % | 10/21/16 | 240,000,000 | 240,000,000 | |||||||||||
Mitsubishi UFJ Trust & Banking NY | 1.020 | % | 12/22/16 | 151,819,000 | 151,819,000 | |||||||||||
Mizuho Bank Ltd. | 0.744 | % | 10/3/16 | 443,856,000 | 443,856,000 | (a) | ||||||||||
Mizuho Bank Ltd. | 0.750 | % | 10/13/16 | 38,928,000 | 38,928,000 | |||||||||||
Mizuho Bank Ltd. | 0.800 | % | 10/21/16 | 243,250,000 | 243,250,000 | |||||||||||
Mizuho Bank Ltd. | 0.900 | % | 11/22/16 | 186,854,000 | 186,854,000 | |||||||||||
National Bank of Canada | 0.470 | % | 9/1/16 | 177,856,000 | 177,856,000 | |||||||||||
Natixis NY | 0.860 | % | 10/31/16 | 417,856,000 | 417,856,000 | |||||||||||
Norinchukin Bank | 0.460 | % | 9/7/16 | 100,000,000 | 100,000,000 |
See Notes to Financial Statements.
Liquid Reserves Portfolio 2016 Annual Report | 13 |
Schedule of investments (cont’d)
August 31, 2016
Liquid Reserves Portfolio
Security | Rate | Maturity Date | Face Amount | Value | ||||||||||||
Certificates of Deposit — continued | ||||||||||||||||
Norinchukin Bank | 0.650 | % | 9/9/16 | $ | 26,938,000 | $ | 26,938,000 | |||||||||
Norinchukin Bank | 0.660 | % | 9/16/16 | 174,428,000 | 174,428,721 | |||||||||||
Norinchukin Bank | 0.600 | % | 9/26/16 | 272,500,000 | 272,500,000 | |||||||||||
Norinchukin Bank | 0.600 | % | 9/29/16 | 195,000,000 | 195,000,000 | |||||||||||
Norinchukin Bank | 0.900 | % | 11/22/16 | 190,747,000 | 190,747,000 | |||||||||||
Norinchukin Bank | 0.900 | % | 11/28/16 | 70,070,000 | 70,070,000 | |||||||||||
Norinchukin Bank | 0.900 | % | 11/29/16 | 73,963,000 | 73,963,000 | |||||||||||
Oversea-Chinese Banking Corp. Ltd. | 0.600 | % | 9/8/16 | 77,856,000 | 77,856,000 | |||||||||||
Oversea-Chinese Banking Corp. Ltd. | 0.410 | % | 9/9/16 | 221,590,000 | 221,590,000 | |||||||||||
Oversea-Chinese Banking Corp. Ltd. | 0.560 | % | 9/20/16 | 295,000,000 | 295,000,000 | |||||||||||
Royal Bank of Canada | 0.850 | % | 9/21/16 | 190,750,000 | 190,750,000 | |||||||||||
Royal Bank of Canada | 0.940 | % | 11/1/16 | 195,418,000 | 195,489,345 | |||||||||||
Skandinaviska Enskilda Banken AB | 0.850 | % | 10/21/16 | 69,058,000 | 69,067,481 | |||||||||||
Skandinaviska Enskilda Banken AB | 0.910 | % | 12/14/16 | 107,325,000 | 107,325,000 | |||||||||||
Sumitomo Mitsui Banking Corp. | 0.650 | % | 10/3/16 | 495,000,000 | 494,997,804 | |||||||||||
Sumitomo Mitsui Banking Corp. | 0.744 | % | 10/3/16 | 202,856,000 | 202,856,000 | (a) | ||||||||||
Sumitomo Mitsui Banking Corp. | 0.670 | % | 10/7/16 | 515,000,000 | 515,000,000 | |||||||||||
Sumitomo Mitsui Banking Corp. | 0.800 | % | 10/17/16 | 238,928,000 | 238,928,000 | |||||||||||
Sumitomo Mitsui Trust & Banking Co., Ltd. | 0.420 | % | 9/1/16 | 77,856,000 | 77,856,000 | |||||||||||
Sumitomo Mitsui Trust & Banking Co., Ltd. | 0.420 | % | 9/6/16 | 71,410,000 | 71,410,000 | |||||||||||
Sumitomo Mitsui Trust & Banking Co., Ltd. | 0.650 | % | 9/26/16 | 100,000,000 | 100,000,000 | |||||||||||
Sumitomo Mitsui Trust & Banking Co., Ltd. | 0.690 | % | 9/27/16 | 75,000,000 | 74,999,990 | |||||||||||
Sumitomo Mitsui Trust & Banking Co., Ltd. | 0.700 | % | 9/29/16 | 33,478,000 | 33,477,996 | |||||||||||
Sumitomo Mitsui Trust & Banking Co., Ltd. | 0.700 | % | 10/5/16 | 244,464,000 | 244,464,000 | |||||||||||
Sumitomo Mitsui Trust & Banking Co., Ltd. | 0.620 | % | 10/17/16 | 127,249,000 | 127,249,000 | |||||||||||
Sumitomo Mitsui Trust & Banking Co., Ltd. | 0.900 | % | 10/21/16 | 480,000,000 | 480,000,000 | |||||||||||
Sumitomo Mitsui Trust & Banking Co., Ltd. | 1.238 | % | 2/13/17 | 24,400,000 | 24,400,000 | (a) | ||||||||||
Toronto Dominion Bank NY | 0.410 | % | 9/6/16 | 10,121,000 | 10,121,000 | |||||||||||
Toronto Dominion Bank NY | 0.620 | % | 10/19/16 | 112,891,000 | 112,891,000 | |||||||||||
Toronto Dominion Bank NY | 0.920 | % | 1/9/17 | 120,000,000 | 120,000,000 | |||||||||||
UBS AG | 0.690 | % | 10/20/16 | 373,392,000 | 373,392,000 | |||||||||||
UBS AG | 0.980 | % | 1/11/17 | 19,464,000 | 19,464,000 | |||||||||||
Wells Fargo Bank N.A. | 0.850 | % | 9/1/16 | 125,000,000 | 125,000,000 | |||||||||||
Wells Fargo Bank N.A. | 0.850 | % | 10/7/16 | 48,660,000 | 48,674,503 | |||||||||||
Wells Fargo Bank N.A. | 1.000 | % | 12/12/16 | 18,200,000 | 18,200,000 | |||||||||||
Wells Fargo Bank N.A. | 0.896 | % | 12/28/16 | 362,784,000 | 362,784,000 | (a) | ||||||||||
Westpac Banking Corp. | 0.870 | % | 9/16/16 | 29,429,000 | 29,429,122 | |||||||||||
Total Certificates of Deposit | 14,780,450,907 |
See Notes to Financial Statements.
14 | Liquid Reserves Portfolio 2016 Annual Report |
Liquid Reserves Portfolio
Security | Rate | Maturity Date | Face Amount | Value | ||||||||||||
Commercial Paper — 40.3% | ||||||||||||||||
Abbey National Treasury Services PLC | 0.500 | % | 9/1/16 | $ | 116,000,000 | $ | 116,000,000 | (b) | ||||||||
Abbey National Treasury Services PLC | 0.500 | % | 9/1/16 | 77,856,000 | 77,856,000 | (b) | ||||||||||
Abbey National Treasury Services PLC | 0.914 | % | 9/14/16 | 99,750,000 | 99,717,221 | (b) | ||||||||||
ABN AMRO Funding USA LLC | 0.864 | % | 9/1/16 | 232,000,000 | 232,000,000 | (b)(c) | ||||||||||
ABN AMRO Funding USA LLC | 0.651 | % | 10/3/16 | 142,000,000 | 141,917,956 | (b)(c) | ||||||||||
ABN AMRO Funding USA LLC | 0.651 | % | 10/3/16 | 100,000,000 | 99,942,222 | (b)(c) | ||||||||||
ABN AMRO Funding USA LLC | 0.651 | % | 10/7/16 | 253,000,000 | 252,835,550 | (b)(c) | ||||||||||
ABN AMRO Funding USA LLC | 0.701 | % | 10/18/16 | 50,000,000 | 49,954,305 | (b)(c) | ||||||||||
ABN AMRO Funding USA LLC | 0.701 | % | 10/19/16 | 170,000,000 | 169,841,333 | (b)(c) | ||||||||||
ABN AMRO Funding USA LLC | 0.975 | % | 12/2/16 | 33,730,000 | 33,646,387 | (b)(c) | ||||||||||
ABN AMRO Funding USA LLC | 1.003 | % | 12/21/16 | 31,142,000 | 31,045,979 | (b)(c) | ||||||||||
ANZ National International Ltd. | 0.650 | % | 9/7/16 | 36,205,000 | 36,201,078 | (b)(c) | ||||||||||
ANZ National International Ltd. | 0.874 | % | 9/9/16 | 85,000,000 | 84,983,567 | (b)(c) | ||||||||||
ANZ National International Ltd. | 0.884 | % | 9/12/16 | 100,000,000 | 99,973,111 | (b)(c) | ||||||||||
ANZ National International Ltd. | 0.914 | % | 1/5/17 | 100,000,000 | 99,681,500 | (b)(c) | ||||||||||
ANZ National International Ltd. | 1.108 | % | 2/21/17 | 48,600,000 | 48,600,000 | (a)(c) | ||||||||||
ASB Finance Ltd. | 0.844 | % | 9/2/16 | 75,000,000 | 74,998,250 | (b)(c) | ||||||||||
ASB Finance Ltd. | 1.135 | % | 3/2/17 | 88,000,000 | 88,000,000 | (a)(c) | ||||||||||
Australia & New Zealand Banking Group Ltd. | 0.601 | % | 9/16/16 | 455,000,000 | 454,886,250 | (b)(c) | ||||||||||
Australia & New Zealand Banking Group Ltd. | 0.601 | % | 9/20/16 | 395,000,000 | 394,874,917 | (b)(c) | ||||||||||
Australia & New Zealand Banking Group Ltd. | 0.601 | % | 9/21/16 | 95,571,000 | 95,539,143 | (b)(c) | ||||||||||
Australia & New Zealand Banking Group Ltd. | 0.651 | % | 10/3/16 | 583,000,000 | 582,663,155 | (b)(c) | ||||||||||
Bank Nederlandse Gemeenten NV | 0.420 | % | 9/6/16 | 225,000,000 | 224,986,875 | (b)(c) | ||||||||||
Bank Nederlandse Gemeenten NV | 0.440 | % | 9/7/16 | 60,000,000 | 59,995,600 | (b)(c) | ||||||||||
Bank of Nova Scotia | 0.850 | % | 9/20/16 | 116,784,000 | 116,731,609 | (b)(c) | ||||||||||
Bank of Nova Scotia | 0.874 | % | 9/23/16 | 192,330,000 | 192,227,744 | (b)(c) | ||||||||||
Bank of Nova Scotia | 0.651 | % | 9/27/16 | 100,000,000 | 99,953,056 | (b)(c) | ||||||||||
Bank of Nova Scotia | 0.651 | % | 9/28/16 | 500,000,000 | 499,756,250 | (b)(c) | ||||||||||
Bank of Tokyo-Mitsubishi UFJ NY | 0.300 | % | 9/1/16 | 475,000,000 | 475,000,000 | (a) | ||||||||||
BNP Paribas Fortis SA | 0.300 | % | 9/1/16 | 485,000,000 | 485,000,000 | (b) | ||||||||||
BNP Paribas Fortis SA | 1.003 | % | 12/1/16 | 184,700,000 | 184,233,120 | (b) | ||||||||||
BNP Paribas NY Branch | 0.711 | % | 10/21/16 | 195,000,000 | 194,807,709 | (b) | ||||||||||
BNZ International Funding Ltd. | 1.133 | % | 3/1/17 | 235,000,000 | 235,000,000 | (a)(c) | ||||||||||
Caisse des Depots et Consignations | 0.701 | % | 10/4/16 | 78,010,000 | 77,959,944 | (b)(d) | ||||||||||
Caisse des Depots et Consignations | 0.641 | % | 10/6/16 | 500,000,000 | 499,688,888 | (b)(d) | ||||||||||
Commonwealth Bank of Australia | 0.601 | % | 9/19/16 | 245,000,000 | 244,926,500 | (b)(c) | ||||||||||
Commonwealth Bank of Australia | 0.888 | % | 1/11/17 | 99,750,000 | 99,750,000 | (a)(c) | ||||||||||
Cooperatieve Rebobank U.A. | 0.840 | % | 9/15/16 | 91,161,000 | 91,131,221 | (b) |
See Notes to Financial Statements.
Liquid Reserves Portfolio 2016 Annual Report | 15 |
Schedule of investments (cont’d)
August 31, 2016
Liquid Reserves Portfolio
Security | Rate | Maturity Date | Face Amount | Value | ||||||||||||
Commercial Paper — continued | ||||||||||||||||
Cooperatieve Rebobank U.A. | 0.751 | % | 11/14/16 | $ | 35,035,000 | $ | 34,980,988 | (b) | ||||||||
CPPIB Capital Inc. | 0.450 | % | 9/27/16 | 14,014,000 | 14,009,445 | (b)(d) | ||||||||||
Credit Agricole Corporate and Investment Bank | 0.320 | % | 9/1/16 | 96,584,000 | 96,584,000 | (b) | ||||||||||
Credit Agricole Corporate and Investment Bank | 0.470 | % | 9/6/16 | 450,000,000 | 449,970,625 | (b) | ||||||||||
Credit Agricole Corporate and Investment Bank | 0.801 | % | 10/20/16 | 77,856,000 | 77,771,223 | (b) | ||||||||||
Credit Agricole Corporate and Investment Bank | 0.862 | % | 10/31/16 | 245,000,000 | 244,648,834 | (b) | ||||||||||
Credit Suisse NY | 1.005 | % | 9/19/16 | 172,270,000 | 172,183,865 | (b) | ||||||||||
Credit Suisse NY | 1.005 | % | 9/19/16 | 19,464,000 | 19,454,268 | (b) | ||||||||||
Credit Suisse NY | 0.782 | % | 9/29/16 | 177,700,000 | 177,592,195 | (b) | ||||||||||
Credit Suisse NY | 0.782 | % | 9/29/16 | 77,856,000 | 77,808,767 | (b) | ||||||||||
Danske Corp. | 0.620-0.859 | % | 9/1/16 | 144,948,000 | 144,948,000 | (b)(c) | ||||||||||
Danske Corp. | 0.620-0.859 | % | 9/1/16 | 100,000,000 | 100,000,000 | (b)(c) | ||||||||||
Danske Corp. | 0.601 | % | 9/19/16 | 390,000,000 | 389,883,000 | (b)(c) | ||||||||||
Danske Corp. | 0.661 | % | 10/17/16 | 143,998,000 | 143,876,562 | (b)(c) | ||||||||||
DBS Bank Ltd. | 0.591 | % | 9/8/16 | 200,000,000 | 199,977,055 | (b)(c) | ||||||||||
DBS Bank Ltd. | 0.650 | % | 9/21/16 | 69,136,000 | 69,111,034 | (b)(c) | ||||||||||
DBS Bank Ltd. | 0.651 | % | 9/23/16 | 100,000,000 | 99,960,889 | (b)(c) | ||||||||||
DBS Bank Ltd. | 0.651 | % | 9/23/16 | 100,000,000 | 99,960,278 | (b)(c) | ||||||||||
DBS Bank Ltd. | 0.651 | % | 10/11/16 | 31,142,000 | 31,119,509 | (b)(c) | ||||||||||
DBS Bank Ltd. | 0.904 | % | 12/14/16 | 237,000,000 | 236,383,800 | (b)(c) | ||||||||||
DBS Bank Ltd. | 0.913 | % | 12/20/16 | 166,784,000 | 166,320,248 | (b)(c) | ||||||||||
DnB NOR Bank ASA | 0.864 | % | 9/1/16 | 89,000,000 | 89,000,000 | (b)(c) | ||||||||||
DnB NOR Bank ASA | 0.884 | % | 9/12/16 | 95,000,000 | 94,974,456 | (b)(c) | ||||||||||
HSBC Bank PLC | 1.008 | % | 11/18/16 | 38,400,000 | 38,316,800 | (b)(c) | ||||||||||
ING U.S. Funding LLC | 0.702 | % | 9/7/16 | 250,000,000 | 249,970,833 | (b) | ||||||||||
ING U.S. Funding LLC | 0.702 | % | 9/8/16 | 90,000,000 | 89,987,750 | (b) | ||||||||||
Kreditanstalt Fur Wiederaufbau International Finance Inc. | 0.420 | % | 9/2/16 | 250,000,000 | 249,997,083 | (b) | ||||||||||
Landesbank Hessen-Thuringen | 0.864 | % | 9/1/16 | 98,000,000 | 98,000,000 | (b)(c) | ||||||||||
Landesbank Hessen-Thuringen | 0.884 | % | 9/21/16 | 142,500,000 | 142,430,333 | (b)(c) | ||||||||||
Landesbank Hessen-Thuringen | 0.752 | % | 11/8/16 | 432,499,000 | 431,886,293 | (b)(c) | ||||||||||
Landesbank Hessen-Thuringen | 0.955 | % | 12/1/16 | 239,750,000 | 239,174,267 | (b)(c) | ||||||||||
Mizuho Bank Ltd. | 0.907 | % | 11/23/16 | 89,534,000 | 89,347,185 | (b)(c) | ||||||||||
National Australia Bank Ltd. | 0.701 | % | 11/2/16 | 67,734,000 | 67,652,343 | (b)(c) | ||||||||||
National Bank of Canada | 0.490 | % | 9/28/16 | 300,000,000 | 299,889,749 | (b)(c) | ||||||||||
National Bank of Canada | 0.490 | % | 9/28/16 | 77,856,000 | 77,827,388 | (b)(c) | ||||||||||
Natixis NY | 0.300 | % | 9/1/16 | 100,000,000 | 100,000,000 | (b) | ||||||||||
Nordea Bank AB | 0.601 | % | 9/20/16 | 110,000,000 | 109,965,167 | (b)(c) |
See Notes to Financial Statements.
16 | Liquid Reserves Portfolio 2016 Annual Report |
Liquid Reserves Portfolio
Security | Rate | Maturity Date | Face Amount | Value | ||||||||||||
Commercial Paper — continued | ||||||||||||||||
Nordea Bank AB | 0.601 | % | 9/20/16 | $ | 23,356,000 | $ | 23,348,604 | (b)(c) | ||||||||
NRW Bank | 0.611 | % | 9/15/16 | 179,500,000 | 179,457,419 | (b)(c) | ||||||||||
NRW Bank | 0.621 | % | 9/19/16 | 107,000,000 | 106,966,830 | (b)(c) | ||||||||||
NRW Bank | 0.621 | % | 9/20/16 | 245,000,000 | 244,919,831 | (b)(c) | ||||||||||
NRW Bank | 0.621 | % | 9/20/16 | 70,000,000 | 69,980,050 | (b)(c) | ||||||||||
NRW Bank | 0.546 | % | 9/21/16 | 500,000,000 | 499,848,611 | (b)(c) | ||||||||||
NRW Bank | 0.546 | % | 9/22/16 | 500,000,000 | 499,841,041 | (b)(c) | ||||||||||
NRW Bank | 0.621 | % | 9/23/16 | 379,250,000 | 379,106,306 | (b)(c) | ||||||||||
Ontario Teachers’ Finance Trust | 0.905 | % | 9/1/16 | 100,000,000 | 100,000,000 | (b)(c) | ||||||||||
Ontario Teachers’ Finance Trust | 0.900 | % | 9/6/16 | 77,856,000 | 77,846,268 | (b)(c) | ||||||||||
Ontario Teachers’ Finance Trust | 0.995 | % | 12/20/16 | 92,310,000 | 92,030,762 | (b)(c) | ||||||||||
Oversea-Chinese Banking Corp. Ltd. | 0.601 | % | 9/6/16 | 135,000,000 | 134,988,750 | (b)(c) | ||||||||||
Oversea-Chinese Banking Corp. Ltd. | 0.712 | % | 10/24/16 | 163,928,000 | 163,756,650 | (b)(c) | ||||||||||
Oversea-Chinese Banking Corp. Ltd. | 0.712 | % | 10/25/16 | 100,000,000 | 99,893,500 | (b)(c) | ||||||||||
Oversea-Chinese Banking Corp. Ltd. | 0.752 | % | 11/10/16 | 35,000,000 | 34,948,958 | (b)(c) | ||||||||||
Sanofi | 0.682 | % | 11/14/16 | 96,450,000 | 96,315,184 | (b)(c) | ||||||||||
Societe Generale | 0.300-0.400 | % | 9/1/16 | 523,000,000 | 523,000,000 | (b)(c) | ||||||||||
Societe Generale | 0.300-0.400 | % | 9/1/16 | 77,856,000 | 77,856,000 | (b)(c) | ||||||||||
Societe Generale | 0.702 | % | 9/9/16 | 134,000,000 | 133,979,156 | (b)(c) | ||||||||||
Sumitomo Mitsui Banking Corp. | 0.902 | % | 11/28/16 | 163,497,000 | 163,137,307 | (b)(c) | ||||||||||
Sumitomo Mitsui Trust & Banking Co., Ltd. | 0.884 | % | 9/16/16 | 182,500,000 | 182,433,083 | (b)(c) | ||||||||||
Sumitomo Mitsui Trust & Banking Co., Ltd. | 0.651 | % | 9/26/16 | 150,000,000 | 149,932,292 | (b)(c) | ||||||||||
Sumitomo Mitsui Trust & Banking Co., Ltd. | 0.651 | % | 9/29/16 | 280,000,000 | 279,858,444 | (b)(c) | ||||||||||
Sumitomo Mitsui Trust & Banking Co., Ltd. | 0.762 | % | 10/3/16 | 143,000,000 | 142,903,395 | (b)(c) | ||||||||||
Sumitomo Mitsui Trust & Banking Co., Ltd. | 0.762 | % | 10/3/16 | 27,249,000 | 27,230,592 | (b)(c) | ||||||||||
Sumitomo Mitsui Trust & Banking Co., Ltd. | 0.772 | % | 10/14/16 | 183,392,000 | 183,223,330 | (b)(c) | ||||||||||
Sumitomo Mitsui Trust & Banking Co., Ltd. | 0.802 | % | 10/18/16 | 195,000,000 | 194,796,334 | (b)(c) | ||||||||||
Svenska Handelsbanken AB | 0.830 | % | 9/7/16 | 33,478,000 | 33,473,369 | (b)(c) | ||||||||||
Svenska Handelsbanken AB | 0.601 | % | 9/21/16 | 228,928,000 | 228,851,690 | (b)(c) | ||||||||||
Swedish Export Credit | 0.834 | % | 9/23/16 | 288,000,000 | 287,853,920 | (b) | ||||||||||
Toronto Dominion Holdings USA | 0.651 | % | 10/7/16 | 390,000,000 | 389,746,500 | (b)(c) | ||||||||||
Toronto Dominion Holdings USA | 0.651 | % | 10/7/16 | 77,856,000 | 77,805,394 | (b)(c) | ||||||||||
Toronto Dominion Holdings USA | 0.904 | % | 1/5/17 | 646,750,000 | 644,712,737 | (b)(c) | ||||||||||
United Overseas Bank Ltd. | 0.440 | % | 9/9/16 | 200,000,000 | 199,980,445 | (b)(c) | ||||||||||
United Overseas Bank Ltd. | 0.530 | % | 9/26/16 | 229,675,000 | 229,590,467 | (b)(c) | ||||||||||
United Overseas Bank Ltd. | 0.712 | % | 10/7/16 | 212,856,000 | 212,704,872 | (b)(c) | ||||||||||
United Overseas Bank Ltd. | 0.702 | % | 10/21/16 | 188,928,000 | 188,744,320 | (b)(c) | ||||||||||
Westpac Banking Corp. | 0.864 | % | 9/16/16 | 100,000,000 | 99,964,167 | (b)(c) | ||||||||||
Total Commercial Paper | 20,116,297,250 |
See Notes to Financial Statements.
Liquid Reserves Portfolio 2016 Annual Report | 17 |
Schedule of investments (cont’d)
August 31, 2016
Liquid Reserves Portfolio
Security | Rate | Maturity Date | Face Amount | Value | ||||||||||||
Corporate Bonds & Notes — 0.0% | ||||||||||||||||
Coca-Cola Co. | 1.800 | % | 9/1/16 | $ | 22,030,000 | $ | 22,030,000 | |||||||||
Medium-Term Notes — 0.0% | ||||||||||||||||
Toronto-Dominion Bank | 0.811 | % | 9/8/16 | 19,464,000 | 19,464,907 | |||||||||||
Time Deposits — 13.7% | ||||||||||||||||
BNP Paribas NY Branch | 0.300 | % | 9/1/16 | 275,000,000 | 275,000,000 | |||||||||||
CIBC World Markets Corp. | 0.300 | % | 9/1/16 | 381,905,000 | 381,905,000 | |||||||||||
Credit Agricole CIB | 0.320 | % | 9/1/16 | 1,117,216,000 | 1,117,216,000 | |||||||||||
DNB Bank ASA | 0.300 | % | 9/1/16 | 830,000,000 | 830,000,000 | |||||||||||
Natixis SA | 0.300 | % | 9/1/16 | 1,150,000,000 | 1,150,000,000 | |||||||||||
Nordea Bank Finland PLC | 0.290 | % | 9/1/16 | 405,000,000 | 405,000,000 | |||||||||||
Skandinaviska Enskilda Banken AB | 0.300 | % | 9/1/16 | 900,000,000 | 900,000,000 | |||||||||||
Svenska Handelsbanken AB | 0.300 | % | 9/1/16 | 875,000,000 | 875,000,000 | |||||||||||
Swedbank AB | 0.300 | % | 9/1/16 | 880,000,000 | 880,000,000 | |||||||||||
Total Time Deposits | 6,814,121,000 | |||||||||||||||
U.S. Government Agencies — 0.8% | ||||||||||||||||
Federal Home Loan Mortgage Corp. (FHLMC), Notes | 0.564 | % | 4/27/17 | 377,856,000 | 377,805,836 | (a) | ||||||||||
U.S. Treasury Bills — 0.4% | ||||||||||||||||
U.S. Treasury Bills | 0.475 | % | 6/22/17 | 180,000,000 | 179,304,690 | (b) | ||||||||||
U.S. Treasury Notes — 13.5% | ||||||||||||||||
U.S. Treasury Notes | 0.388 | % | 10/31/16 | 1,192,389,000 | 1,192,367,302 | (a) | ||||||||||
U.S. Treasury Notes | 0.409 | % | 4/30/17 | 1,331,819,000 | 1,331,837,509 | (a) | ||||||||||
U.S. Treasury Notes | 0.412 | % | 7/31/17 | 2,108,454,000 | 2,108,209,796 | (a) | ||||||||||
U.S. Treasury Notes | 0.503 | % | 10/31/17 | 616,280,000 | 616,129,396 | (a) | ||||||||||
U.S. Treasury Notes | 0.607 | % | 1/31/18 | 18,296,000 | 18,308,794 | (a) | ||||||||||
U.S. Treasury Notes | 0.525 | % | 4/30/18 | 1,132,065,000 | 1,132,163,652 | (a) | ||||||||||
U.S. Treasury Notes | 0.509 | % | 7/31/18 | 320,000,000 | 320,016,441 | (a) | ||||||||||
Total U.S. Treasury Notes | 6,719,032,890 | |||||||||||||||
Repurchase Agreements — 2.9% | ||||||||||||||||
Bank of America Corp. tri-party repurchase agreement dated 8/31/16; Proceeds at maturity — $1,151,309,722; (Fully collateralized by various U.S. government agency obligations and corporate bonds and notes, 0.000% to 8.875% due 9/1/16 to 10/15/97; Market value — $1,191,333,534) | 0.500 | % | 11/21/16 | 1,150,000,000 | 1,150,000,000 | |||||||||||
Mitsubishi UFJ Trust & Banking Corp. tri-party repurchase agreement dated 8/24/16; Proceeds at maturity — $200,298,111; (Fully collateralized by various corporate bonds and notes and money market instruments, 0.000% to 6.191% due 10/5/16 to 12/1/45; Market value — $211,079,417) | 0.654 | % | 11/21/16 | 200,000,000 | 200,000,000 |
See Notes to Financial Statements.
18 | Liquid Reserves Portfolio 2016 Annual Report |
Liquid Reserves Portfolio
Security | Rate | Maturity Date | Face Amount | Value | ||||||||||||
Repurchase Agreements — continued | ||||||||||||||||
Mitsubishi UFJ Trust & Banking Corp. tri-party repurchase agreement dated 8/24/16; Proceeds at maturity — $100,149,056; (Fully collateralized by various corporate bonds and notes, municipal bonds and money market instruments, 0.000% to 7.672% due 12/1/17 to 10/1/47; Market value — $105,000,002) | 0.654 | % | 11/21/16 | $ | 100,000,000 | $ | 100,000,000 | |||||||||
Total Repurchase Agreements | 1,450,000,000 | |||||||||||||||
Total Investments — 101.2% (Cost — $50,478,507,480#) |
| 50,478,507,480 | ||||||||||||||
Liabilities in Excess of Other Assets — (1.2)% | (575,336,084 | ) | ||||||||||||||
Total Net Assets — 100.0% | $ | 49,903,171,396 |
(a) | Variable rate security. Interest rate disclosed is as of the most recent information available. |
(b) | Rate shown represents yield-to-maturity. |
(c) | Commercial paper exempt from registration under Section 4(2) of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. |
(d) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. |
# | Aggregate cost for federal income tax purposes is substantially the same. |
See Notes to Financial Statements.
Liquid Reserves Portfolio 2016 Annual Report | 19 |
Statement of assets and liabilities
August 31, 2016
Assets: | ||||
Investments, at value | $ | 50,478,507,480 | ||
Cash | 650 | |||
Interest receivable | 20,899,611 | |||
Total Assets | 50,499,407,741 | |||
Liabilities: | ||||
Payable for securities purchased | 594,590,000 | |||
Trustees’ fees payable | 81,164 | |||
Accrued expenses | 1,565,181 | |||
Total Liabilities | 596,236,345 | |||
Total Net Assets | $ | 49,903,171,396 | ||
Represented by: | ||||
Paid-in-capital | $ | 49,903,171,396 |
See Notes to Financial Statements.
20 | Liquid Reserves Portfolio 2016 Annual Report |
Statement of operations
For the Year Ended August 31, 2016
Investment Income: | ||||
Interest | $ | 250,622,980 | ||
Expenses: | ||||
Investment management fee (Note 2) | 52,782,907 | |||
Fund accounting fees | 2,809,948 | |||
Legal fees | 972,863 | |||
Trustees’ fees | 964,887 | |||
Custody fees | 324,368 | |||
Audit and tax fees | 45,230 | |||
Miscellaneous expenses | 95,894 | |||
Total Expenses | 57,996,097 | |||
Less: Fee waivers and/or expense reimbursements (Note 2) | (52,782,907) | |||
Net Expenses | 5,213,190 | |||
Net Investment Income | 245,409,790 | |||
Net Realized Gain on Investments | 686,995 | |||
Increase in Net Assets From Operations | $ | 246,096,785 |
See Notes to Financial Statements.
Liquid Reserves Portfolio 2016 Annual Report | 21 |
Statements of changes in net assets
For the Years Ended August 31, | 2016 | 2015 | ||||||
Operations: | ||||||||
Net investment income | $ | 245,409,790 | $ | 143,882,505 | ||||
Net realized gain | 686,995 | 701,909 | ||||||
Increase in Net Assets From Operations | 246,096,785 | 144,584,414 | ||||||
Capital Transactions: | ||||||||
Proceeds from contributions | 114,933,457,934 | 96,487,778,857 | ||||||
In-kind capital contributions (Note 3) | 10,124,686,062 | — | ||||||
Value of withdrawals | (138,942,587,255) | (107,494,184,065) | ||||||
Decrease in Net Assets From Capital Transaction | (13,884,443,259) | (11,006,405,208) | ||||||
Decrease in Net Assets | (13,638,346,474) | (10,861,820,794) | ||||||
Net Assets: | ||||||||
Beginning of year | 63,541,517,870 | 74,403,338,664 | ||||||
End of year* | $ | 49,903,171,396 | $ | 63,541,517,870 |
See Notes to Financial Statements.
22 | Liquid Reserves Portfolio 2016 Annual Report |
Financial highlights
For the years ended August 31: | ||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||
Net assets, end of year (millions) | $49,903 | $63,542 | $74,403 | $73,576 | $61,127 | |||||||||||||||
Total return1 | 0.48 | % | 0.22 | % | 0.10 | % | 0.17 | % | 0.23 | % | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Gross expenses | 0.11 | % | 0.11 | % | 0.11 | % | 0.11 | % | 0.11 | % | ||||||||||
Net expenses2,3 | 0.01 | 0.01 | 0.10 | 0.10 | 0.10 | |||||||||||||||
Net investment income | 0.46 | 0.21 | 0.10 | 0.17 | 0.23 |
1 | Performance figures may reflect compensating balance arrangements, fee waivers and/or expense reimbursements. In the absence of compensating balance arrangements, fee waivers and/or expense reimbursements, the total return would have been lower. Past performance is no guarantee of future results. |
2 | The investment manager has voluntarily agreed to waive and/or reimburse 0.10% of Portfolio expenses. This arrangement may be reduced or terminated under certain circumstances. Additional amounts may be voluntarily waived and/or reimbursed from time to time. Prior to August 18, 2014, as a result of a voluntary expense limitation arrangement, the ratio of expenses, other than interest, brokerage, taxes, extraordinary expenses and acquired fund fees and expenses, to average net assets of the Portfolio did not exceed 0.10%. |
3 | Reflects fee waivers and/or expense reimbursements. |
See Notes to Financial Statements.
Liquid Reserves Portfolio 2016 Annual Report | 23 |
Notes to financial statements
1. Organization and significant accounting policies
Liquid Reserves Portfolio (the “Portfolio”) is a separate diversified investment series of Master Portfolio Trust (the “Trust”). The Trust, a Maryland statutory trust, is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Declaration of Trust permits the Trustees to issue beneficial interests in the Portfolio. At August 31, 2016, all investors in the Portfolio were funds advised or administered by the manager of the Portfolio and/or its affiliates.
The following are significant accounting policies consistently followed by the Portfolio and are in conformity with U.S. generally accepted accounting principles (“GAAP”). Estimates and assumptions are required to be made regarding assets, liabilities and changes in net assets resulting from operations when financial statements are prepared. Changes in the economic environment, financial markets and any other parameters used in determining these estimates could cause actual results to differ. Subsequent events have been evaluated through the date the financial statements were issued.
(a) Investment valuation. In accordance with Rule 2a-7 under the 1940 Act, money market instruments are valued at amortized cost, which approximates market value. This method involves valuing portfolio securities at their cost and thereafter assuming a constant amortization to maturity of any discount or premium. The Portfolio’s use of amortized cost is subject to its compliance with certain conditions as specified by Rule 2a-7 under the 1940 Act.
The Board of Trustees is responsible for the valuation process and has delegated the supervision of the daily valuation process to the Legg Mason North Atlantic Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee, pursuant to the policies adopted by the Board of Trustees, is responsible for making fair value determinations, evaluating the effectiveness of the Portfolio’s pricing policies, and reporting to the Board of Trustees.
The Portfolio uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
• | Level 1 — quoted prices in active markets for identical investments |
• | Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 — significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments) |
24 | Liquid Reserves Portfolio 2016 Annual Report |
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
ASSETS | ||||||||||||||||
Description | Quoted Prices (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Short-term investments† | — | $ | 50,478,507,480 | — | $ | 50,478,507,480 |
† | See Schedule of Investments for additional detailed categorizations. |
(b) Repurchase agreements. The Portfolio may enter into repurchase agreements with institutions that its subadviser has determined are creditworthy. Each repurchase agreement is recorded at cost. Under the terms of a typical repurchase agreement, the Portfolio acquires a debt security subject to an obligation of the seller to repurchase, and of the Portfolio to resell, the security at an agreed-upon price and time, thereby determining the yield during the Portfolio’s holding period. When entering into repurchase agreements, it is the Portfolio’s policy that its custodian or a third party custodian, acting on the Portfolio’s behalf, take possession of the underlying collateral securities, the market value of which, at all times, at least equals the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase transaction maturity exceeds one business day, the value of the collateral is marked-to-market and measured against the value of the agreement in an effort to ensure the adequacy of the collateral. If the counterparty defaults, the Portfolio generally has the right to use the collateral to satisfy the terms of the repurchase transaction. However, if the market value of the collateral declines during the period in which the Portfolio seeks to assert its rights or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Portfolio may be delayed or limited.
(c) Interest income and expenses. Interest income consists of interest accrued and discount earned (including both original issue and market discount adjusted for amortization of premium) on the investments of the Portfolio. Expenses of the Portfolio are accrued daily. The Portfolio bears all costs of its operations other than expenses specifically assumed by the manager.
(d) Method of allocation. Net investment income of the Portfolio is allocated pro rata, based on respective ownership interests, among the Fund and other investors in the Portfolio (the “Holders”) at the time of such determination. Gross realized gains and/or losses of the Portfolio are allocated to the Holders in a manner such that, the net asset values per share of each Holder, after each such allocation is closer to the total of all Holders’ net asset values divided by the aggregate number of shares outstanding for all Holders.
(e) Credit and market risk. Investments in securities that are collateralized by real estate mortgages are subject to certain credit and liquidity risks. When market conditions result in an increase in default rates of the underlying mortgages and the foreclosure values of underlying real estate properties are materially below the outstanding amount of these
Liquid Reserves Portfolio 2016 Annual Report | 25 |
Notes to financial statements (cont’d)
underlying mortgages, collection of the full amount of accrued interest and principal on these investments may be doubtful. Such market conditions may significantly impair the value and liquidity of these investments and may result in a lack of correlation between their credit ratings and values.
(f) Compensating balance arrangements. The Portfolio has an arrangement with its custodian bank whereby a portion of the custodian’s fees is paid indirectly by credits earned on the Portfolio’s cash on deposit with the bank.
(g) Income taxes. The Portfolio is classified as a partnership for federal income tax purposes. As such, each investor in the Portfolio is treated as owner of its proportionate share of the net assets, income, expenses and realized and unrealized gains and losses of the Portfolio. Therefore, no federal income tax provision is required. It is intended that the Portfolio’s assets will be managed so an investor in the Portfolio can satisfy the requirements of Subchapter M of the Internal Revenue Code.
Management has analyzed the Portfolio’s tax positions taken on income tax returns for all open tax years and has concluded that as of August 31, 2016, no provision for income tax is required in the Portfolio’s financial statements. The Portfolio’s federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
(h) Other. Purchases, maturities and sales of money market instruments are accounted for on the date of the transaction. Realized gains and losses are calculated on the identified cost basis.
2. Investment management agreement and other transactions with affiliates
Legg Mason Partners Fund Advisor, LLC (“LMPFA”) is the Portfolio’s investment manager and Western Asset Management Company (“Western Asset”) is the Portfolio’s subadviser. LMPFA and Western Asset are wholly-owned subsidiaries of Legg Mason, Inc. (“Legg Mason”).
Under the investment management agreement, the Portfolio pays an investment management fee, calculated daily and paid monthly, at an annual rate of 0.10% of the Portfolio’s average daily net assets.
LMPFA provides administrative and certain oversight services to the Portfolio. LMPFA delegates to the subadviser the day-to-day portfolio management of the Portfolio. For its services, LMPFA pays Western Asset 70% of the net management fee it receives from the Portfolio.
LMPFA has voluntarily agreed to waive and/or reimburse 0.10% of Portfolio expenses. This arrangement may be reduced or terminated under certain circumstances. Additional amounts may be voluntarily waived and/or reimbursed from time to time.
During the year ended August 31, 2016, fees waived and/or expenses reimbursed amounted to $52,782,907.
26 | Liquid Reserves Portfolio 2016 Annual Report |
LMPFA is permitted to recapture amounts waived and/or reimbursed to the Portfolio during the same fiscal year under certain circumstances.
All officers and one Trustee of the Trust are employees of Legg Mason or its affiliates and do not receive compensation from the Trust.
3. Investments
On August 29, 2016, Western Asset Institutional Cash Reserves Fund transferred all of its investable assets (including cash and receivables), with a value of $10,124,686,062, to the Portfolio in exchange for an interest in the Portfolio.
4. Derivative instruments and hedging activities
During the year ended August 31, 2016, the Portfolio did not invest in derivative instruments.
5. Money market fund reform
The U.S. Securities and Exchange Commission has adopted certain reforms to the rules that govern money market funds (the “Reforms”). Under the Reforms, the Portfolio may no longer use the amortized cost method of valuation to value its investments. Instead, on or about October 11, 2016, the Portfolio will value its investments using the current market-based value of its portfolio securities. In addition, no later than October 14, 2016, the Portfolio may impose fees upon the withdrawal of interests or temporarily suspend the withdrawal of interests if the Portfolio’s liquidity falls below required minimums because of market conditions or other factors. The Reforms require that feeder funds pass through to their investors such fees or gate imposed by a master fund in which a fund invests.
Liquid Reserves Portfolio 2016 Annual Report | 27 |
Report of independent registered public
accounting firm
The Board of Trustees and Investors
Master Portfolio Trust:
We have audited the accompanying statement of assets and liabilities of Liquid Reserves Portfolio (the “Portfolio”), a series of Master Portfolio Trust, including the schedule of investments, as of August 31, 2016, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of August 31, 2016, by correspondence with the custodian and broker or by other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Liquid Reserves Portfolio as of August 31, 2016, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.
New York, New York
October 20, 2016
28 | Liquid Reserves Portfolio 2016 Annual Report |