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 811-10407
Master Portfolio Trust
(Exact name of registrant as specified in charter)
620 Eighth Avenue, 47th Floor, New York, NY 10018
(Address of principal executive offices) (Zip code)
Marc A. De Oliveira
Franklin Templeton
100 First Stamford Place
Stamford, CT 06902
(Name and address of agent for service)
Registrants telephone number, including area code: 1-877-721-1926
Date of fiscal year end: August 31
Date of reporting period: February 28, 2021
ITEM 1. | REPORT TO STOCKHOLDERS. |
The Semi-Annual Report to Stockholders is filed herewith.
Schedule of investments (unaudited)
February 28, 2021
Liquid Reserves Portfolio
Security | Rate | Maturity Date |
Face Amount |
Value | ||||||||||||
Short-Term Investments 100.0% | ||||||||||||||||
Certificates of Deposit 29.9% | ||||||||||||||||
Banco Santander SA |
0.250 | % | 7/13/21 | $ | 30,000,000 | $ | 30,006,154 | |||||||||
Banco Santander SA |
0.260 | % | 7/21/21 | 50,000,000 | 50,011,658 | |||||||||||
Banco Santander SA |
0.300 | % | 10/7/21 | 50,000,000 | 50,019,144 | |||||||||||
Bank of Montreal (1 mo. USD LIBOR + 0.110%) |
0.219 | % | 9/3/21 | 100,000,000 | 100,026,444 | (a) | ||||||||||
Bank of Nova Scotia (3 mo. USD LIBOR + 0.050%) |
0.242 | % | 8/4/21 | 85,000,000 | 85,027,077 | (a) | ||||||||||
BNP Paribas SA (3 mo. USD LIBOR + 0.070%) |
0.262 | % | 8/4/21 | 85,000,000 | 85,034,297 | (a) | ||||||||||
BNP Paribas SA (3 mo. USD LIBOR + 0.040%) |
0.260 | % | 9/14/21 | 70,000,000 | 70,020,732 | (a) | ||||||||||
Canadian Imperial Bank of Commerce (3 mo. USD LIBOR + 0.010%) |
0.205 | % | 2/8/22 | 50,000,000 | 50,002,406 | (a) | ||||||||||
Credit Suisse AG |
0.460 | % | 8/10/21 | 100,000,000 | 100,130,287 | |||||||||||
KBC Bank NV |
0.070 | % | 3/2/21 | 89,830,000 | 89,829,850 | |||||||||||
KBC Bank NV |
0.070 | % | 3/4/21 | 230,000,000 | 229,999,425 | |||||||||||
Landesbank Hessen-Thüringen Girozentrale |
0.080 | % | 3/2/21 | 187,200,000 | 187,199,813 | |||||||||||
Landesbank Hessen-Thüringen Girozentrale |
0.080 | % | 3/3/21 | 250,000,000 | 249,999,722 | |||||||||||
Landesbank Hessen-Thüringen Girozentrale |
0.080 | % | 3/4/21 | 85,000,000 | 84,999,915 | |||||||||||
Lloyds Bank Corporate Markets PLC |
0.400 | % | 4/8/21 | 65,000,000 | 65,017,956 | |||||||||||
Lloyds Bank Corporate Markets PLC |
0.400 | % | 4/20/21 | 130,000,000 | 130,050,261 | |||||||||||
Lloyds Bank Corporate Markets PLC (3 mo. USD LIBOR + 0.050%) |
0.275 | % | 10/12/21 | 100,000,000 | 100,009,195 | (a) | ||||||||||
Mizuho Bank Ltd. |
0.220 | % | 8/12/21 | 50,000,000 | 50,006,476 | |||||||||||
Mizuho Bank Ltd. |
0.220 | % | 8/13/21 | 150,000,000 | 150,018,846 | |||||||||||
Mizuho Bank Ltd. |
0.220 | % | 8/13/21 | 49,355,000 | 49,361,201 | |||||||||||
Mizuho Bank Ltd. |
0.240 | % | 11/3/21 | 125,000,000 | 125,010,370 | |||||||||||
MUFG Bank Ltd. |
0.240 | % | 10/14/21 | 159,000,000 | 159,048,644 | |||||||||||
Natixis SA (3 mo. USD LIBOR + 0.070%) |
0.308 | % | 1/5/22 | 130,000,000 | 130,060,306 | (a) | ||||||||||
Norinchukin Bank |
0.070 | % | 3/5/21 | 48,865,000 | 48,864,857 | |||||||||||
Norinchukin Bank |
0.214 | % | 3/8/21 | 97,305,000 | 97,307,905 | (a) | ||||||||||
Norinchukin Bank |
0.280 | % | 7/6/21 | 100,000,000 | 100,040,395 | |||||||||||
Norinchukin Bank |
0.280 | % | 7/7/21 | 90,000,000 | 90,036,309 | |||||||||||
Norinchukin Bank |
0.250 | % | 8/12/21 | 35,000,000 | 35,010,373 | |||||||||||
Oversea-Chinese Banking Corp. Ltd. |
0.070 | % | 3/2/21 | 137,950,000 | 137,949,770 | |||||||||||
Royal Bank of Canada (3 mo. USD LIBOR + 0.070%) |
0.282 | % | 7/29/21 | 200,000,000 | 200,086,284 | (a) | ||||||||||
Standard Chartered Bank |
0.410 | % | 4/7/21 | 200,000,000 | 200,058,794 |
See Notes to Financial Statements.
Liquid Reserves Portfolio 2021 Semi-Annual Report |
|
12 |
|
Schedule of investments (unaudited) (contd)
February 28, 2021
Liquid Reserves Portfolio
Security | Rate | Maturity Date |
Face Amount |
Value | ||||||||||||
Certificates of Deposit continued | ||||||||||||||||
Standard Chartered Bank (1 mo. USD LIBOR + 0.170%) |
0.286 | % | 4/23/21 | $ | 50,000,000 | $ | 50,012,766 | (a) | ||||||||
Standard Chartered Bank (3 mo. USD LIBOR + 0.050%) |
0.284 | % | 1/14/22 | 50,000,000 | 50,015,293 | (a) | ||||||||||
Sumitomo Mitsui Banking Corp. (3 mo. USD LIBOR + 0.150%) |
0.363 | % | 7/27/21 | 200,000,000 | 200,133,748 | (a) | ||||||||||
Sumitomo Mitsui Trust Bank Ltd. |
0.070 | % | 3/3/21 | 297,230,000 | 297,229,382 | |||||||||||
Sumitomo Mitsui Trust Bank Ltd. |
0.210 | % | 7/13/21 | 200,000,000 | 200,029,630 | |||||||||||
Toronto Dominion Bank (1 mo. USD LIBOR + 0.190%) |
0.305 | % | 8/27/21 | 150,000,000 | 150,130,390 | (a) | ||||||||||
Westpac Banking Corp. (3 mo. USD LIBOR + 0.020%) |
0.261 | % | 1/14/22 | 199,000,000 | 199,026,083 | (a) | ||||||||||
Total Certificates of Deposit |
4,476,822,158 | |||||||||||||||
Commercial Paper 27.5% | ||||||||||||||||
ABN AMRO Funding USA LLC |
0.333 | % | 3/2/21 | 45,000,000 | 44,999,180 | (b)(c) | ||||||||||
ABN AMRO Funding USA LLC |
0.263 | % | 3/5/21 | 70,000,000 | 69,997,482 | (b)(c) | ||||||||||
ABN AMRO Funding USA LLC |
0.204 | % | 4/26/21 | 90,000,000 | 89,971,385 | (b)(c) | ||||||||||
ASB Finance Ltd. |
0.146 | % | 8/17/21 | 228,500,000 | 228,344,976 | (b)(c) | ||||||||||
Banco Santander SA |
0.170 | % | 8/3/21 | 99,000,000 | 98,928,307 | (b)(c) | ||||||||||
Banco Santander SA |
0.170 | % | 8/12/21 | 55,000,000 | 54,957,902 | (b)(c) | ||||||||||
Banco Santander SA |
0.175 | % | 10/7/21 | 50,000,000 | 49,947,038 | (b)(c) | ||||||||||
Barclays Bank PLC |
0.185 | % | 3/2/21 | 165,000,000 | 164,998,332 | (b)(c) | ||||||||||
Barclays Bank PLC |
0.156 | % | 3/3/21 | 60,000,000 | 59,999,233 | (b)(c) | ||||||||||
Barclays Bank PLC |
0.143 | % | 3/4/21 | 34,430,000 | 34,429,460 | (b)(c) | ||||||||||
Barclays Bank PLC |
0.135 | % | 3/5/21 | 100,000,000 | 99,998,153 | (b)(c) | ||||||||||
BNG Bank NV |
0.172 | % | 3/2/21 | 150,000,000 | 149,998,584 | (b)(c) | ||||||||||
BNG Bank NV |
0.144 | % | 3/3/21 | 275,000,000 | 274,996,752 | (b)(c) | ||||||||||
BNP Paribas SA |
0.132 | % | 3/2/21 | 91,290,000 | 91,289,341 | (c) | ||||||||||
BPCE SA |
0.135 | % | 5/10/21 | 75,000,000 | 74,980,382 | (b)(c) | ||||||||||
BPCE SA |
0.183 | % | 11/1/21 | 175,000,000 | 174,784,206 | (b)(c) | ||||||||||
DNB Bank ASA (3 mo. USD LIBOR + 0.060%) |
0.188 | % | 7/30/21 | 175,000,000 | 175,068,770 | (a)(b)(c) | ||||||||||
DNB BANK ASA (3 mo. USD LIBOR + 0.030%) |
0.188 | % | 1/14/22 | 152,500,000 | 152,546,354 | (a)(b)(c) | ||||||||||
Goldman Sachs International |
0.212 | % | 8/12/21 | 173,650,000 | 173,484,058 | (c)(d) | ||||||||||
Goldman Sachs International |
0.213 | % | 8/13/21 | 30,000,000 | 29,971,020 | (c)(d) | ||||||||||
Kingdom of Netherlands |
0.225 | % | 3/1/21 | 50,000,000 | 49,999,692 | (b)(c) | ||||||||||
National Australia Bank Ltd. |
0.241 | % | 10/15/21 | 225,000,000 | 225,020,979 | (b)(c) | ||||||||||
NRW Bank |
0.114 | % | 3/4/21 | 114,000,000 | 113,998,575 | (b)(c) |
See Notes to Financial Statements.
13 |
Liquid Reserves Portfolio 2021 Semi-Annual Report |
Liquid Reserves Portfolio
Security | Rate | Maturity Date |
Face Amount |
Value | ||||||||||||
Commercial Paper continued | ||||||||||||||||
Oversea-Chinese Banking Corp. Ltd. (3 mo. USD LIBOR + 0.040%) |
0.188 | % | 4/29/21 | $ | 80,000,000 | $ | 80,005,794 | (a)(b)(c) | ||||||||
Royal Bank of Canada (SOFR + 0.550%) |
0.010 | % | 3/10/21 | 159,000,000 | 159,020,660 | (a)(c) | ||||||||||
Shell International Finance BV |
0.156 | % | 7/14/21 | 25,000,000 | 24,985,529 | (b)(c) | ||||||||||
Shell International Finance BV |
0.155 | % | 7/15/21 | 50,000,000 | 49,970,849 | (b)(c) | ||||||||||
Societe Generale |
0.121 | % | 3/5/21 | 200,000,000 | 199,996,694 | (b)(c) | ||||||||||
Svenska Handelsbanken (3 mo. USD LIBOR + 0.020%) |
0.188 | % | 9/2/21 | 105,000,000 | 105,029,178 | (a)(b)(c) | ||||||||||
Svenska Handelsbanken AB (3 mo. USD LIBOR + 0.080%) |
0.188 | % | 7/28/21 | 110,000,000 | 110,056,117 | (a)(b)(c) | ||||||||||
Toronto Dominion Bank |
0.144 | % | 3/3/21 | 90,000,000 | 89,998,937 | (b)(c) | ||||||||||
Toronto Dominion Bank |
0.121 | % | 3/5/21 | 100,000,000 | 99,998,347 | (b)(c) | ||||||||||
Total Capital SA |
0.238 | % | 3/1/21 | 50,000,000 | 49,999,675 | (b)(c) | ||||||||||
Toyota Motor Credit Corp. |
0.137 | % | 4/19/21 | 74,975,000 | 74,960,921 | (c) | ||||||||||
Toyota Motor Credit Corp. |
0.139 | % | 4/23/21 | 200,000,000 | 199,958,934 | (c) | ||||||||||
UBS AG (3 mo. USD LIBOR + 0.070%) |
0.188 | % | 10/5/21 | 50,000,000 | 50,005,828 | (b)(c) | ||||||||||
UBS AG |
0.243 | % | 1/28/22 | 65,000,000 | 64,855,614 | (b)(c) | ||||||||||
United Overseas Bank Ltd. |
0.183 | % | 8/4/21 | 75,000,000 | 74,941,037 | (b)(c) | ||||||||||
Total Commercial Paper |
4,116,494,275 | |||||||||||||||
Time Deposits 23.8% | ||||||||||||||||
ABN AMRO Bank NV |
0.090 | % | 3/5/21 | 155,000,000 | 155,000,000 | |||||||||||
ABN AMRO Bank NV |
0.090 | % | 3/1/21 | 100,000,000 | 100,000,000 | |||||||||||
Banco Santander SA |
0.070 | % | 3/1/21 | 234,134,000 | 234,134,000 | |||||||||||
Canadian Imperial Bank of Commerce |
0.070 | % | 3/1/21 | 400,000,000 | 400,000,000 | |||||||||||
Credit Agricole Corporate and Investment Bank |
0.070 | % | 3/1/21 | 75,000,000 | 75,000,000 | |||||||||||
DnB NOR Bank ASA |
0.060 | % | 3/1/21 | 50,000,000 | 50,000,000 | |||||||||||
Mizuho Bank Ltd. |
0.070 | % | 3/1/21 | 215,000,000 | 215,000,000 | |||||||||||
National Bank of Canada |
0.070 | % | 3/1/21 | 130,000,000 | 130,000,000 | |||||||||||
National Bank of Canada |
0.080 | % | 3/2/21 | 350,000,000 | 350,000,000 | |||||||||||
NRW Bank |
0.070 | % | 3/1/21 | 100,000,000 | 100,000,000 | |||||||||||
NRW Bank |
0.080 | % | 3/1/21 | 100,000,000 | 100,000,000 | |||||||||||
NRW Bank |
0.080 | % | 3/2/21 | 225,000,000 | 225,000,000 | |||||||||||
Rabobank Netherland NV |
0.060 | % | 3/1/21 | 75,000,000 | 75,000,000 | |||||||||||
Royal Bank of Canada |
0.060 | % | 3/1/21 | 298,069,000 | 298,069,000 | |||||||||||
Skandinaviska Enskilda Banken AB |
0.070 | % | 3/1/21 | 350,000,000 | 350,000,000 | |||||||||||
Svenska Handelsbanken |
0.070 | % | 3/1/21 | 375,000,000 | 375,000,000 | |||||||||||
Swedbank AB |
0.060 | % | 3/1/21 | 325,000,000 | 325,000,000 | |||||||||||
Total Time Deposits |
3,557,203,000 |
See Notes to Financial Statements.
Liquid Reserves Portfolio 2021 Semi-Annual Report |
|
14 |
|
Schedule of investments (unaudited) (contd)
February 28, 2021
Liquid Reserves Portfolio
Security | Rate | Maturity Date |
Face Amount |
Value | ||||||||||||
U.S. Treasury Notes 9.6% | ||||||||||||||||
U.S. Treasury Notes |
2.250 | % | 3/31/21 | $ | 50,000,000 | $ | 50,090,220 | |||||||||
U.S. Treasury Notes (3 mo. U.S. Treasury Money Market Yield + 0.220%) |
0.260 | % | 7/31/21 | 510,000,000 | 510,339,991 | (a) | ||||||||||
U.S. Treasury Notes (3 mo. U.S. Treasury Money Market Yield + 0.300%) |
0.340 | % | 10/31/21 | 425,000,000 | 425,867,174 | (a) | ||||||||||
U.S. Treasury Notes (3 mo. U.S. Treasury Money Market Yield + 0.055%) |
0.095 | % | 10/31/22 | 450,000,000 | 450,192,002 | (a) | ||||||||||
Total U.S. Treasury Notes |
1,436,489,387 | |||||||||||||||
Repurchase Agreements 9.2% | ||||||||||||||||
Bank of America Corp. tri-party repurchase agreement dated 2/26/21 Proceeds at Maturity $250,298,611; (Fully collateralized by various money market instruments, 0.000% to 0.280% due 3/1/21 to 6/28/21; Market value $262,500,000) |
0.250 | % | 8/17/21 | 250,000,000 | 250,000,000 | |||||||||||
BNP Paribas SA tri-party repurchase agreement dated 2/26/21 Proceeds at Maturity $100,124,222; (Fully collateralized by various corporate bonds and notes and U.S. government obligations, 0.406% to 11.545% due 2/19/23 to 6/1/77; Market value $105,602,003) |
0.260 | % | 8/17/21 | 100,000,000 | 100,000,000 | |||||||||||
BNP Paribas SA tri-party repurchase agreement dated 2/26/21 Proceeds at Maturity $125,161,250; (Fully collateralized by various corporate bonds and notes, 0.330% to 8.750% due 3/7/22 to 6/1/77; Market value $131,590,498) |
0.270 | % | 8/17/21 | 125,000,000 | 125,000,000 | |||||||||||
Credit Agricole Corp. tri-party repurchase agreement dated 1/27/2021 Proceeds at Maturity $50,018,333; (Fully collateralized by various corporate bonds and notes and U.S. government obligations, 0.550% to 12.000% due 2/11/23 to 12/31/49; Market value $54,394,866) |
0.220 | % | 4/27/21 | 50,000,000 | 50,000,000 | |||||||||||
Credit Agricole Corp. tri-party repurchase agreement dated 2/12/2021 Proceeds at Maturity $250,089,722; (Fully collateralized by various corporate bonds and notes, 0.800% to 7.500% due 5/18/23 to 12/31/99; Market value $261,911,483) |
0.180 | % | 5/13/21 | 250,000,000 | 250,000,000 |
See Notes to Financial Statements.
15 |
Liquid Reserves Portfolio 2021 Semi-Annual Report |
Liquid Reserves Portfolio
Security | Rate | Maturity Date |
Face Amount |
Value | ||||||||||||
Repurchase Agreements continued | ||||||||||||||||
Credit Agricole Corp. tri-party repurchase agreement dated 2/24/2021 Proceeds at
Maturity $250,006,250; (Fully collateralized by various corporate bonds and notes, 0.800% to 7.750% due 4/19/22 to 3/15/59; |
0.170 | % | 3/3/21 | $ | 250,000,000 | $ | 250,000,000 | |||||||||
JPMorgan Securities tri-party repurchase agreement dated 12/18/2020 Proceeds at Maturity $350,075,542; (Fully collateralized by various corporate bonds and notes, 1.991% to 12.000% due 4/15/21 to 1/15/67; Market value $392,299,227) |
0.370 | % | 3/19/21 | 350,000,000 | 350,000,000 | |||||||||||
Total Repurchase Agreements |
|
1,375,000,000 | ||||||||||||||
Total Investments 100.0% (Cost $14,958,782,465) |
|
14,962,008,820 | ||||||||||||||
Liabilities in Excess of Other Assets (0.0)% |
(1,827,983 | ) | ||||||||||||||
Total Net Assets 100.0% |
$ | 14,960,180,837 |
| Represents less than 0.1%. |
(a) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(b) | 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. |
(c) | Rate shown represents yield-to-maturity. |
(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. |
Abbreviation(s) used in this schedule: | ||
LIBOR | London Interbank Offered Rate | |
SOFR | Secured Overnight Financing Rate | |
USD | United States Dollar |
See Notes to Financial Statements.
Liquid Reserves Portfolio 2021 Semi-Annual Report |
|
16 |
|
Statement of assets and liabilities (unaudited)
February 28, 2021
Assets: | ||||
Investments, at value (Cost $ 14,958,782,465) |
$ | 14,962,008,820 | ||
Interest receivable |
3,700,866 | |||
Total Assets |
14,965,709,686 | |||
Liabilities: | ||||
Due to custodian |
5,213,835 | |||
Trustees fees payable |
64,495 | |||
Accrued expenses |
250,519 | |||
Total Liabilities |
5,528,849 | |||
Total Net Assets | $ | 14,960,180,837 | ||
Represented by: | ||||
Paid-in capital | $ | 14,960,180,837 |
See Notes to Financial Statements.
17 |
Liquid Reserves Portfolio 2021 Semi-Annual Report |
Statement of operations (unaudited)
For the Six Months Ended February 28, 2021
Investment Income: | ||||
Interest |
$ | 21,587,271 | ||
Expenses: | ||||
Investment management fee (Note 2) |
7,832,379 | |||
Legal fees |
175,903 | |||
Trustees fees |
136,521 | |||
Fund accounting fees |
120,308 | |||
Custody fees |
90,044 | |||
Audit and tax fees |
22,451 | |||
Interest expense |
5,937 | |||
Miscellaneous expenses |
36,376 | |||
Total Expenses |
8,419,919 | |||
Less: Fee waivers and/or expense reimbursements (Note 2) |
(7,832,379) | |||
Net Expenses |
587,540 | |||
Net Investment Income | 20,999,731 | |||
Realized and Unrealized Gain (Loss) on Investments (Notes 1 and 3): | ||||
Net Realized Gain From Investment Transactions |
344,467 | |||
Change in Net Unrealized Appreciation (Depreciation) From Investments |
(6,376,227) | |||
Net Loss on Investments | (6,031,760) | |||
Increase in Net Assets From Operations | $ | 14,967,971 |
See Notes to Financial Statements.
Liquid Reserves Portfolio 2021 Semi-Annual Report |
|
18 |
|
Statements of changes in net assets
For the Six Months Ended February 28, 2021 (unaudited) and the Year Ended August 31, 2020 |
2021 | 2020 | ||||||
Operations: | ||||||||
Net investment income |
$ | 20,999,731 | $290,464,160 | |||||
Net realized gain (loss) |
344,467 | (333,684) | ||||||
Change in net unrealized appreciation (depreciation) |
(6,376,227) | 4,292,379 | ||||||
Increase in Net Assets From Operations |
14,967,971 | 294,422,855 | ||||||
Capital Transactions: | ||||||||
Proceeds from contributions |
44,118,887,042 | 83,870,957,907 | ||||||
Value of withdrawals |
(49,006,196,942) | (85,084,547,275) | ||||||
Decrease in Net Assets From Capital Transactions |
(4,887,309,900) | (1,213,589,368) | ||||||
Decrease in Net Assets |
(4,872,341,929) | (919,166,513) | ||||||
Net Assets: | ||||||||
Beginning of period |
19,832,522,766 | 20,751,689,279 | ||||||
End of period |
$ | 14,960,180,837 | $ | 19,832,522,766 |
See Notes to Financial Statements.
19 |
Liquid Reserves Portfolio 2021 Semi-Annual Report |
Financial highlights
For the years ended August 31, unless otherwise noted: | ||||||||||||||||||||||||
20211 | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
Net assets, end of period (millions) | $14,960 | $19,833 | $20,752 | $15,917 | $21,521 | $49,903 | ||||||||||||||||||
Total return2 |
0.10 | % | 1.41 | % | 2.54 | % | 1.75 | % | 1.02 | % | 0.48 | % | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Gross expenses |
0.11 | %3 | 0.11 | % | 0.11 | % | 0.11 | % | 0.11 | % | 0.11 | % | ||||||||||||
Net expenses4,5 |
0.01 | 3 | 0.01 | 0.01 | 0.01 | 0.01 | 0.01 | |||||||||||||||||
Net investment income |
0.27 | 3 | 1.40 | 2.53 | 1.67 | 0.94 | 0.46 |
1 | For the six months ended February 28, 2021 (unaudited). |
2 | 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. Total returns for periods of less than one year are not annualized. |
3 | Annualized. |
4 | The investment manager, pursuant to the terms of the feeder funds investment management agreement, has agreed to waive 0.10% of Portfolio expenses, attributable to the Portfolios investment management fee. Additional amounts may be voluntarily waived and/or reimbursed from time to time. |
5 | Reflects fee waivers and/or expense reimbursements. |
See Notes to Financial Statements.
Liquid Reserves Portfolio 2021 Semi-Annual Report |
|
20 |
|
Notes to financial statements (unaudited)
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 February 28, 2021, all investors in the Portfolio were funds advised or administered by the investment manager of the Portfolio and/or its affiliates.
The Portfolio sells and effects withdrawals of its interests at prices based on the current market value of the securities it holds. Therefore, the price of an interest in the Portfolio fluctuates along with changes in the market-based value of the holdings of the Portfolio. Because the price of an interest in the Portfolio fluctuates, it has what is called a floating net asset value or floating NAV. Under Rule 2a-7 of the 1940 Act (Rule 2a-7), the Portfolio must follow strict rules as to the credit quality, liquidity, diversification and maturity of its investments. The Portfolio may impose a fee upon the withdrawal of investors interests or may temporarily suspend investors ability to withdraw interests if the Portfolios liquidity falls below required minimums because of market conditions or other factors.
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. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services typically use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. When the Portfolio holds securities or other assets that are denominated in a foreign currency, the Portfolio will normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a
21 |
Liquid Reserves Portfolio 2021 Semi-Annual Report |
security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Portfolio calculates its net asset value, the Portfolio values these securities as determined in accordance with procedures approved by the Portfolios Board of Trustees.
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 Portfolios pricing policies, and reporting to the Board of Trustees. When determining the reliability of third party pricing information for investments owned by the Portfolio, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.
The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuers financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.
For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Trustees, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Trustees quarterly.
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.
Liquid Reserves Portfolio 2021 Semi-Annual Report |
|
22 |
|
Notes to financial statements (contd)
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 Portfolios own assumptions in determining the fair value of investments) |
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used in valuing the Portfolios assets carried at fair value:
ASSETS | ||||||||||||||||
Description | Quoted Prices (Level 1) |
Other Significant Observable Inputs (Level 2) |
Significant Unobservable Inputs (Level 3) |
Total | ||||||||||||
Short-Term Investments |
| $ | 14,962,008,820 | | $ | 14,962,008,820 |
| 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 Portfolios holding period. When entering into repurchase agreements, it is the Portfolios policy that its custodian or a third party custodian, acting on the Portfolios 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 (including interest income from payment-in-kind securities) consists of interest accrued and discount earned (including both
23 |
Liquid Reserves Portfolio 2021 Semi-Annual Report |
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 and net realized/unrealized gains and/or losses of the Portfolio are 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.
(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 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 custodians fees is paid indirectly by credits earned on the Portfolios 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 Portfolios 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 Portfolios tax positions taken on income tax returns for all open tax years and has concluded that as of August 31, 2020, no provision for income tax is required in the Portfolios financial statements. The Portfolios federal and state income 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 Portfolios investment manager and Western Asset Management Company, LLC (Western Asset) is the Portfolios subadviser. LMPFA and Western Asset are indirect, wholly-owned subsidiaries of Franklin Resources, Inc. (Franklin Resources).
Liquid Reserves Portfolio 2021 Semi-Annual Report |
|
24 |
|
Notes to financial statements (contd)
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 Portfolios 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 monthly 70% of the net management fee it receives from the Portfolio.
As a result of the investment management agreement between LMPFA and the feeder fund, LMPFA has agreed to waive 0.10% of Portfolio expenses, attributable to the Portfolios investment management fee. Additional amounts may be voluntarily waived and/or reimbursed from time to time.
During the six months ended February 28, 2021, fees waived and/or expenses reimbursed amounted to $7,832,379.
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 Franklin Resources or its affiliates and do not receive compensation from the Trust.
3. Investments
At February 28, 2021, the aggregate cost of investments and the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:
Cost | Gross Unrealized Appreciation |
Gross Unrealized Depreciation |
Net Unrealized Appreciation |
|||||||||||||
Securities | $ | 14,958,782,465 | $ | 3,246,495 | $ | (20,140) | $ | 3,226,355 |
4. Other matters
The outbreak of the respiratory illness COVID-19 (commonly referred to as coronavirus) has continued to rapidly spread around the world, causing considerable uncertainty for the global economy and financial markets. The ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers, are not known. The COVID-19 pandemic could adversely affect the value and liquidity of the Portfolios investments, impair the Portfolios ability to satisfy withdrawal requests, and negatively impact the Portfolios performance. In addition, the outbreak of COVID-19, and measures taken to mitigate its effects, could result in disruptions to the services provided to the Portfolio by its service providers.
***
25 |
Liquid Reserves Portfolio 2021 Semi-Annual Report |
The Portfolios investments, payment obligations, and financing terms may be based on floating rates, such as the London Interbank Offered Rate, or LIBOR, which is the offered rate for short-term Eurodollar deposits between major international banks. Plans are underway to phase out the use of LIBOR by the end of 2021. In December 2020, the ICE Benchmark Administration, the administrator of LIBOR, announced that it had commenced a consultation to determine whether to extend publication of certain U.S. dollar LIBOR settings (overnight and one-, three-, six- and twelve-month U.S. dollar LIBOR) to the end of June 2023. There remains uncertainty regarding the nature of any replacement rate and the impact of the transition from LIBOR on the Portfolios transactions and the financial markets generally. As such, the potential effect of a transition away from LIBOR on the Portfolio or the Portfolios investments cannot yet be determined.
Liquid Reserves Portfolio 2021 Semi-Annual Report |
|
26 |
|
ITEM 2. | CODE OF ETHICS. |
Not applicable.
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
Not applicable.
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
Not applicable.
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
Not applicable.
ITEM 6. | SCHEDULE OF INVESTMENTS. |
Included herein under Item 1.
ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. |
Not applicable.
ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
Not applicable.
ITEM 11. | CONTROLS AND PROCEDURES. |
(a) | The registrants principal executive officer and principal financial officer have concluded that the registrants disclosure controls and procedures (as defined in Rule 30a- 3(c) under the Investment Company Act of 1940, as amended (the 1940 Act)) are effective as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934. |
(b) | There were no changes in the registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are likely to materially affect the registrants internal control over financial reporting. |
ITEM 12. | DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable
ITEM 13. | EXHIBITS. |
(a) (1) Not applicable.
Exhibit 99.CODE ETH
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, there unto duly authorized.
Master Portfolio Trust | ||
By: | /s/ Jane Trust | |
Jane Trust | ||
Chief Executive Officer | ||
Date: | April 20, 2021 |
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/ Jane Trust | |
Jane Trust | ||
Chief Executive Officer | ||
Date: | April 20, 2021 | |
By: | /s/ Christopher Berarducci | |
Christopher Berarducci | ||
Principal Financial Officer | ||
Date: | April 20, 2021 |
CERTIFICATIONS PURSUANT TO SECTION 302
EX-99.CERT
CERTIFICATIONS
I, Jane Trust, certify that:
1. | I have reviewed this report on Form N-CSR of Master Portfolio Trust Liquid Reserves Portfolio; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; |
4. | The registrants other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and |
d) | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officers and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: April 20, 2021 | /s/ Jane Trust | |||||
Jane Trust | ||||||
Chief Executive Officer |
CERTIFICATIONS
I, Christopher Berarducci, certify that:
1. | I have reviewed this report on Form N-CSR of Master Portfolio Trust Liquid Reserves Portfolio; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial information included in this report, and the financial statements on which the financial information is based, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; |
4. | The registrants other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and |
d) | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officers and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: April 20, 2021 | /s/ Christopher Berarducci | |||||
Christopher Berarducci | ||||||
Principal Financial Officer |
CERTIFICATIONS PURSUANT TO SECTION 906
EX-99.906CERT
CERTIFICATION
Jane Trust, Chief Executive Officer, and Christopher Berarducci, Principal Financial Officer of Master Portfolio Trust Liquid Reserves Portfolio (the Registrant), each certify to the best of their knowledge that:
1. The Registrants periodic report on Form N-CSR for the period ended February 28, 2021 (the Form N-CSR) fully complies with the requirements of section 15(d) of the Securities Exchange Act of 1934, as amended; and
2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant.
Chief Executive Officer | Principal Financial Officer | |||||||
Master Portfolio Trust - | Master Portfolio Trust - | |||||||
Liquid Reserves Portfolio | Liquid Reserves Portfolio | |||||||
/s/ Jane Trust |
/s/ Christopher Berarducci | |||||||
Jane Trust | Christopher Berarducci | |||||||
Date: | April 20, 2021 | Date: | April 20, 2021 |
This certification is being furnished to the Securities and Exchange Commission solely pursuant to 18 U.S.C. § 1350 and is not being filed as part of the Form N-CSR with the Commission.