Liquid Reserves Portfolio

N-CSRS 1 d798363dncsrs.htm LIQUID RESERVES PORTFOLIO Liquid Reserves Portfolio

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, 47^th 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)

Registrant’s telephone number, including area code: 1-877-721-1926

Date of fiscal year end: August 31

Date of reporting period: February 28, 2023

ITEM 1.

REPORT TO STOCKHOLDERS.

The Semi-Annual Report to Stockholders is filed herewith.

Schedule of investments (unaudited)

February 28, 2023

Liquid Reserves Portfolio

(Percentages shown based on Portfolio net assets)


Security	Rate			Maturity Date		Face Amount		Value
Short-Term Investments — 100.3%
Commercial Paper — 41.1%
Amazon.com Inc.		4.883	%		5/15/23	$	80,000,000	$	79,209,769	^(a)
Amazon.com Inc.		4.949	%		6/12/23		75,000,000		73,974,734	^(a)
ANZ Bank New Zealand International Ltd.		4.789	%		4/17/23		70,000,000		69,570,667	^(a)(b)
ANZ Bank New Zealand Ltd.		4.781	%		4/13/23		60,500,000		60,160,373	^(a)(b)
ANZ Bank New Zealand Ltd.		4.793	%		4/19/23		50,000,000		49,680,347	^(a)(b)
Atlantic Asset Securitization LLC (SOFR + 0.490%)		5.040	%		4/3/23		25,000,000		25,009,326	^(b)(c)
Atlantic Asset Securitization LLC		5.066	%		6/13/23		65,000,000		64,082,416	^(a)(b)
Australia & New Zealand Banking Group Ltd.		4.896	%		5/22/23		50,000,000		49,459,463	^(a)(b)
Australia & New Zealand Banking Group Ltd. (SOFR + 0.690%)		5.240	%		6/2/23		130,000,000		130,184,731	^(b)(c)
Banco Santander SA		4.970	%		5/16/23		200,000,000		197,963,778	^(a)(b)
Banco Santander SA (SOFR + 0.450%)		5.000	%		7/5/23		172,500,000		172,656,713	^(b)(c)
Bank of Nova Scotia (SOFR + 0.620%)		5.170	%		4/10/23		75,000,000		75,040,868	^(b)(c)
Bank of Nova Scotia (SOFR + 0.470%)		5.020	%		10/5/23		200,000,000		200,251,790	^(b)(c)
Bank of Nova Scotia (SOFR + 0.370%)		4.920	%		10/16/23		73,000,000		73,049,180	^(b)(c)
Barclays Bank PLC		4.703	%		3/7/23		55,000,000		54,951,543	^(a)(b)
BNG Bank NV		4.666	%		3/1/23		50,000,000		49,993,753	^(a)(b)
BNG Bank NV		4.669	%		3/2/23		100,000,000		99,975,000	^(a)(b)
BNG Bank NV		4.672	%		3/3/23		241,960,000		241,869,205	^(a)(b)
BNG Bank NV		4.682	%		3/6/23		140,000,000		139,894,744	^(a)(b)
BNG Bank NV		4.685	%		3/7/23		133,265,000		133,148,031	^(a)(b)
BofA Securities Inc. (SOFR + 0.520%)		5.070	%		4/12/23		100,000,000		100,044,954	^(c)
BofA Securities Inc. (SOFR + 0.720%)		5.270	%		6/5/23		50,000,000		50,070,943	^(c)
BPCE SA		4.985	%		5/18/23		200,000,000		197,905,184	^(a)(b)
BPCE SA (SOFR + 0.500%)		5.050	%		10/5/23		100,000,000		100,171,538	^(b)(c)
Cooperatieve Rabobank UA		5.112	%		7/31/23		72,070,000		70,579,556	^(a)
DBS Bank Ltd.		5.051	%		6/16/23		100,000,000		98,552,500	^(a)(b)
DBS Bank Ltd.		5.181	%		7/25/23		100,000,000		97,986,100	^(a)(b)
DBS Bank Ltd.		5.183	%		7/26/23		145,000,000		142,059,384	^(a)(b)
Export Development Corp.		4.943	%		6/5/23		100,000,000		98,726,067	^(a)
Gotham Funding Corp.		4.842	%		4/12/23		100,000,000		99,444,464	^(a)(b)
Gotham Funding Corp.		4.881	%		4/18/23		70,000,000		69,553,623	^(a)(b)
ING U.S Funding LLC (SOFR + 0.690%)		5.240	%		6/5/23		100,000,000		100,187,175	^(b)(c)
ING U.S Funding LLC		5.317	%		8/22/23		225,000,000		219,479,843	^(a)
JPMorgan Securities LLC (SOFR + 0.560%)		5.110	%		6/2/23		125,000,000		125,126,790	^(b)(c)
JPMorgan Securities LLC		5.023	%		6/13/23		100,000,000		98,600,000	^(a)
Lloyds Bank Corporate Markets PLC		4.857	%		4/27/23		250,000,000		248,123,055	^(a)

See Notes to Financial Statements.

Liquid Reserves Portfolio 2023 Semi-Annual Report

Schedule of investments (unaudited) (cont’d)

February 28, 2023

Liquid Reserves Portfolio

(Percentages shown based on Portfolio net assets)


Security	Rate			Maturity Date		Face Amount		Value
Commercial Paper — continued
Lloyds Bank Corporate Markets PLC		4.905	%		5/12/23	$	50,000,000	$	49,523,472	^(a)
Lloyds Bank Corporate Markets PLC		4.914	%		5/15/23		47,000,000		46,532,862	^(a)
Lloyds Bank Corporate Markets PLC		5.296	%		9/12/23		38,425,000		37,374,802	^(a)
LMA Americas LLC		4.874	%		4/12/23		100,000,000		99,440,881	^(a)(b)
LMA Americas LLC		4.885	%		4/14/23		15,000,000		14,912,063	^(a)(b)
LMA Americas LLC		4.955	%		4/25/23		40,000,000		39,704,320	^(a)(b)
LMA Americas LLC		4.990	%		5/3/23		50,000,000		49,574,934	^(a)(b)
LMA Americas LLC		5.321	%		8/4/23		50,000,000		48,897,293	^(a)(b)
Mizuho Bank Ltd.		5.196	%		7/17/23		230,000,000		225,605,901	^(a)(b)
National Bank of Canada (SOFR + 0.400%)		4.950	%		3/21/23		200,000,000		200,035,550	^(b)(c)
Nordea Bank ABP (SOFR + 0.300%)		4.850	%		7/13/23		50,000,000		50,034,153	^(b)(c)
Old Line Funding LLC (SOFR + 0.500%)		5.050	%		4/12/23		135,000,000		135,057,887	^(b)(c)
Oversea-Chinese Banking Corp. Ltd. (SOFR + 0.370%)		4.920	%		4/17/23		180,000,000		180,052,405	^(b)(c)
Royal Bank of Canada (SOFR + 0.650%)		5.200	%		6/28/23		50,000,000		50,074,086	^(c)
Royal Bank of Canada		5.295	%		10/13/23		100,000,000		96,842,178	^(a)(b)
Royal Bank of Canada (SOFR + 0.500%)		5.050	%		11/1/23		100,000,000		100,185,485	^(b)(c)
Skandinaviska Enskilda Banken AB (SOFR + 0.580%)		5.130	%		4/17/23		125,000,000		125,078,857	^(b)(c)
Skandinaviska Enskilda Banken AB		4.889	%		5/10/23		75,000,000		74,306,863	^(a)(b)
Skandinaviska Enskilda Banken AB (SOFR + 0.700%)		5.250	%		6/2/23		150,000,000		150,229,093	^(b)(c)
Skandinaviska Enskilda Banken AB		5.279	%		8/17/23		150,000,000		146,448,417	^(a)(b)
Societe Generale		4.697	%		3/1/23		80,000,000		79,989,940	^(a)(b)
Standard Chartered Bank		4.989	%		7/13/23		150,000,000		147,323,062	^(a)(b)
Starbird Funding Corp. (SOFR + 0.450%)		5.000	%		4/5/23		150,000,000		150,049,884	^(b)(c)
Sumitomo Mitsui Trust Bank Ltd.		4.734	%		3/21/23		60,000,000		59,840,540	^(a)(b)
Sumitomo Mitsui Trust Bank Ltd.		4.846	%		4/18/23		65,000,000		64,588,339	^(a)(b)
Svenska Handelsbanken AB (SOFR + 0.610%)		5.160	%		4/20/23		45,000,000		45,031,074	^(b)(c)
Svenska Handelsbanken AB (SOFR + 0.660%)		5.210	%		6/28/23		100,000,000		100,171,269	^(b)(c)
Swedbank AB (SOFR + 0.510%)		5.060	%		4/12/23		125,000,000		125,061,997	^(c)
Swedbank AB (SOFR + 0.610%)		5.160	%		4/19/23		165,000,000		165,118,062	^(c)
Swedbank AB (SOFR + 0.330%)		4.880	%		8/17/23		150,000,000		150,134,310	^(c)
Swedbank AB (SOFR + 0.460%)		5.010	%		10/6/23		250,000,000		250,450,330	^(c)
Toronto Dominion Bank (SOFR + 0.730%)		5.280	%		8/8/23		125,000,000		125,341,286	^(b)(c)
Toronto Dominion Bank		5.498	%		10/13/23		75,000,000		72,544,617	^(a)(b)
Total Capital Canada Ltd.		4.666	%		3/1/23		75,000,000		74,990,629	^(a)(b)
Total Capital Canada Ltd.		4.682	%		3/6/23		97,500,000		97,426,697	^(a)(b)
Total Capital Canada Ltd.		4.685	%		3/7/23		143,000,000		142,874,486	^(a)(b)

See Notes to Financial Statements.

Liquid Reserves Portfolio 2023 Semi-Annual Report

Liquid Reserves Portfolio

(Percentages shown based on Portfolio net assets)


Security	Rate			Maturity Date		Face Amount		Value
Commercial Paper — continued
Total Energies Capital Canada Ltd.		4.697	%		3/8/23	$	97,770,000	$	97,671,686	^(a)(b)
UBS AG (SOFR + 0.690%)		5.240	%		6/22/23		100,000,000		100,027,273	^(b)(c)
Total Commercial Paper									7,925,284,590
Certificates of Deposit — 29.3%
Banco Santander SA (SOFR + 0.280%)		4.830	%		8/9/23		20,000,000		20,001,299	^(c)
Bank of Montreal (SOFR + 0.650%)		5.200	%		7/5/23		100,000,000		100,171,579	^(c)
Bank of Montreal		5.400	%		10/13/23		50,000,000		50,039,420
Bank of Montreal (SOFR + 0.500%)		5.050	%		11/6/23		250,000,000		250,458,632	^(c)
Bank of Nova Scotia (SOFR + 0.640%)		5.190	%		4/21/23		200,000,000		200,149,196	^(c)
Bank of Nova Scotia (SOFR + 0.660%)		5.210	%		9/5/23		85,000,000		85,187,949	^(c)
BNP Paribas Fortis SA (SOFR + 0.520%)		5.070	%		3/16/23		125,000,000		125,023,849	^(c)
BNP Paribas SA (SOFR + 0.410%)		4.960	%		8/7/23		100,000,000		100,121,344	^(c)
BNP Paribas SA (SOFR + 0.340%)		4.890	%		11/3/23		175,000,000		175,161,933	^(c)
Canadian Imperial Bank of Commerce		3.720	%		3/13/23		175,000,000		174,941,494
Canadian Imperial Bank of Commerce (SOFR + 0.700%)		5.250	%		6/2/23		150,000,000		150,240,762	^(c)
Citibank N.A. (SOFR + 0.460%)		5.010	%		4/12/23		180,000,000		180,074,504	^(c)
Citibank N.A.		5.180	%		7/14/23		150,000,000		150,023,277
Credit Agricole Corporate and Investment Bank		4.560	%		3/7/23		139,250,000		139,249,595
KBC Bank NV		4.560	%		3/2/23		271,650,000		271,650,318
KBC Bank NV		4.560	%		3/3/23		123,110,000		123,110,161
Lloyds Bank Corporate Markets PLC (SOFR + 0.500%)		5.050	%		10/10/23		100,000,000		100,157,966	^(c)
Mitsubishi UFJ Trust & Banking Corp. (SOFR + 0.500%)		5.050	%		3/2/23		135,000,000		135,002,840	^(c)
Mitsubishi UFJ Trust & Banking Corp. (SOFR + 0.800%)		5.350	%		5/2/23		15,000,000		15,017,866	^(c)
Mitsubishi UFJ Trust & Banking Corp. (SOFR + 0.370%)		4.920	%		11/6/23		100,000,000		100,072,335	^(c)
Mizuho Bank Ltd. (SOFR + 0.780%)		5.330	%		4/26/23		50,000,000		50,055,271	^(c)
MUFG Bank Ltd. (SOFR + 0.520%)		5.070	%		4/6/23		185,000,000		185,075,103	^(c)
MUFG Bank Ltd. (SOFR + 0.290%)		4.840	%		6/16/23		200,000,000		200,079,800	^(c)
Natixis SA		5.370	%		12/7/23		150,000,000		149,884,962
Nordea Bank ABP (SOFR + 0.610%)		5.160	%		4/19/23		100,000,000		100,070,217	^(c)
Nordea Bank ABP (SOFR + 0.300%)		4.850	%		7/13/23		100,000,000		100,068,305	^(c)
Nordea Bank ABP (SOFR + 0.460%)		5.010	%		10/6/23		200,000,000		200,356,654	^(c)
Norinchukin Bank		5.200	%		5/10/23		199,500,000		199,630,144
Oversea-Chinese Banking Corp. Ltd.		5.180	%		5/30/23		124,500,000		124,583,798

See Notes to Financial Statements.

Liquid Reserves Portfolio 2023 Semi-Annual Report

Schedule of investments (unaudited) (cont’d)

February 28, 2023

Liquid Reserves Portfolio

(Percentages shown based on Portfolio net assets)


Security	Rate			Maturity Date		Face Amount		Value
Certificates of Deposit — continued
Oversea-Chinese Banking Corp. Ltd.		5.130	%		7/14/23	$	50,000,000	$	50,024,504
Oversea-Chinese Banking Corp. Ltd. (SOFR + 0.350%)		4.900	%		11/7/23		90,000,000		90,045,728	^(c)
Royal Bank of Canada (SOFR + 0.620%)		5.170	%		4/10/23		75,000,000		75,040,868	^(c)
Sumitomo Mitsui Banking Corp. (SOFR + 0.820%)		5.370	%		8/15/23		70,000,000		70,206,118	^(c)
Sumitomo Mitsui Banking Corp. (SOFR + 0.820%)		5.370	%		8/16/23		70,000,000		70,207,336	^(c)
Sumitomo Mitsui Banking Corp. (SOFR + 0.820%)		5.370	%		8/17/23		70,000,000		70,208,570	^(c)
Sumitomo Mitsui Banking Corp. (SOFR + 0.500%)		5.050	%		10/10/23		150,000,000		150,233,526	^(c)
Sumitomo Mitsui Trust Bank Ltd.		4.550	%		3/1/23		65,000,000		64,999,983
Sumitomo Mitsui Trust Bank Ltd. (SOFR + 0.280%)		4.830	%		5/12/23		86,000,000		86,038,531	^(c)
Sumitomo Mitsui Trust Bank Ltd. (SOFR + 0.250%)		4.800	%		5/24/23		350,000,000		350,138,890	^(c)
Svenska Handelsbanken AB (SOFR + 0.530%)		5.080	%		4/17/23		100,000,000		100,054,861	^(c)
Svenska Handelsbanken AB (SOFR + 0.440%)		4.990	%		10/10/23		150,000,000		150,239,100	^(c)
Swedbank AB		5.010	%		7/25/23		44,500,000		44,478,612
Toronto Dominion Bank (SOFR + 0.650%)		5.200	%		7/3/23		50,000,000		50,094,013	^(c)
Truist Bank		4.790	%		5/1/23		200,000,000		199,980,302
Western Asset Cash Reserves Ltd		5.250	%		6/8/23		75,000,000		75,091,660
Total Certificates of Deposit									5,652,743,175
Time Deposits — 18.9%
ABN AMRO Bank NV		4.580	%		3/6/23		150,000,000		150,000,000
Banco Santander SA		4.550	%		3/1/23		306,722,000		306,722,000
BNP Paribas SA		4.540	%		3/1/23		100,000,000		100,000,000
Canadian Imperial Bank of Commerce		4.550	%		3/1/23		175,000,000		175,000,000
Credit Agricole Corporate and Investment Bank		4.550	%		3/1/23		375,000,000		375,000,000
DNB NOR Bank ASA		4.530	%		3/1/23		100,000,000		100,000,000
Mizuho Bank Ltd.		4.570	%		3/1/23		175,419,000		175,419,000
National Bank of Canada		4.550	%		3/1/23		300,000,000		300,000,000
Nordea Bank ABP		4.540	%		3/1/23		100,000,000		100,000,000
NRW Bank		4.550	%		3/1/23		65,000,000		65,000,000
NRW Bank		4.550	%		3/2/23		125,000,000		125,000,000
NRW Bank		4.550	%		3/7/23		450,000,000		450,000,000
Rabobank Netherland NV		4.550	%		3/1/23		350,000,000		350,000,000
Royal Bank of Canada		4.560	%		3/1/23		200,000,000		200,000,000

See Notes to Financial Statements.

Liquid Reserves Portfolio 2023 Semi-Annual Report

Liquid Reserves Portfolio

(Percentages shown based on Portfolio net assets)


Security	Rate			Maturity Date		Face Amount		Value
Time Deposits — continued
Skandinaviska Enskilda Banken AB		4.560	%		3/1/23	$	375,000,000	$	375,000,000
Svenska Handelsbanken AB		4.530	%		3/1/23		50,000,000		50,000,000
Swedbank AB		4.540	%		3/1/23		75,000,000		75,000,000
Toronto Dominion Bank		4.560	%		3/1/23		60,000,000		60,000,000
Toronto Dominion Bank		4.570	%		3/7/23		100,000,000		100,000,000
Total Time Deposits									3,632,141,000
U.S. Treasury Bills — 6.2%
U.S. Treasury Bills		4.120	%		3/9/23		500,000,000		499,502,500	^(a)
U.S. Treasury Bills		4.779	%		5/16/23		300,000,000		297,059,751	^(a)
U.S. Treasury Bills		4.948	%		6/20/23		200,000,000		197,057,986	^(a)
U.S. Treasury Bills		4.923	%		7/13/23		200,000,000		196,476,452	^(a)
Total U.S. Treasury Bills									1,190,096,689
U.S. Treasury Notes — 1.0%
U.S. Treasury Notes (3 mo. U.S. Treasury Money Market Yield + 0.029%)		4.837	%		7/31/23		200,000,000		199,956,298	^(c)
Repurchase Agreements — 3.8%
Bank of America tri-party repurchase agreement dated 2/28/23; Proceeds at Maturity — $201,311,111; (Fully collateralized by money market instruments, 0.000% due 3/1/23 to 3/28/23; Market value — $210,000,001)		4.720	%		4/19/23		200,000,000		200,000,000
BNP Paribas tri-party repurchase agreement dated 2/28/23; Proceeds at Maturity — $100,661,111; (Fully collateralized by corporate bonds and notes, 0.250% to 7.390% due 5/1/23 to 12/31/79; Market value — $105,000,586)		4.760	%		4/19/23		100,000,000		100,000,000

See Notes to Financial Statements.

Liquid Reserves Portfolio 2023 Semi-Annual Report

Schedule of investments (unaudited) (cont’d)

February 28, 2023

Liquid Reserves Portfolio

(Percentages shown based on Portfolio net assets)

Security

Rate

Maturity

Date

Face

Amount

Value

Repurchase Agreements — continued

BNP Paribas tri-party repurchase agreement dated 2/28/23; Proceeds at Maturity — $125,828,125; (Fully collateralized by corporate bonds and notes, 0.250% to 7.697% due 5/1/23 to 10/15/97; Market value — $131,250,760)

4.770

4/19/23

$125,000,000

125,000,000

JPMorgan Securities LLC tri-party repurchase agreement dated 1/27/23; Proceeds at Maturity — $303,517,500; (Fully collateralized by money market instruments, 0.000% to 5.500% due 3/16/23 to 9/18/23; Market value — $316,317,801)

4.690

4/27/23

300,000,000

Total Repurchase Agreements

725,000,000

Total Investments — 100.3% (Cost — $19,318,085,438)

19,325,221,752

Liabilities in Excess of Other Assets — (0.3)%

(53,405,745

)

Total Net Assets — 100.0%

$19,271,816,007

^(a)	Rate shown represents yield-to-maturity.

^(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)

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.


Abbreviation(s) used in this schedule:

SOFR		— Secured Overnight Financing Rate

See Notes to Financial Statements.

Liquid Reserves Portfolio 2023 Semi-Annual Report

Statement of assets and liabilities (unaudited)

February 28, 2023



Assets:
Investments, at value (Cost — $19,318,085,438)		$19,325,221,752
Cash		1,554,956
Interest receivable		42,776,871
*Total Assets*		*19,369,553,579*

Liabilities:
Payable for securities purchased		97,683,501
Accrued expenses		54,071
*Total Liabilities*		*97,737,572*
Total Net Assets		$19,271,816,007

Represented by:

Paid-in capital	$	19,271,816,007

See Notes to Financial Statements.

Liquid Reserves Portfolio 2023 Semi-Annual Report

Statement of operations (unaudited)

For the Six Months Ended February 28, 2023



Investment Income:
*Interest*	$	*349,374,710*

Expenses:
Investment management fee (Note 2)		8,559,721
Trustees’ fees		156,054
Legal fees		130,470
Fund accounting fees		88,887
Audit and tax fees		20,846
Custody fees		13,303
Miscellaneous expenses		35,942
*Total Expenses*		*9,005,223*
Less: Fee waivers and/or expense reimbursements (Note 2)		(8,559,721)
*Net Expenses*		*445,502*
Net Investment Income		348,929,208

Realized and Unrealized Gain (Loss) on Investments (Notes 1 and 3):
*Net Realized Loss From Investment Transactions*		*(87,524)*
*Change in Net Unrealized Appreciation (Depreciation) From Investments*		*6,915,310*
Net Gain on Investments		6,827,786
Increase in Net Assets From Operations	$	355,756,994

See Notes to Financial Statements.

Liquid Reserves Portfolio 2023 Semi-Annual Report

Statements of changes in net assets


For the Six Months Ended February 28, 2023 (unaudited) and the Year Ended August 31, 2022	2023		2022

Operations:
Net investment income	$	348,929,208	$	66,680,717
Net realized loss		(87,524)		(1,212,170)
Change in net unrealized appreciation (depreciation)		6,915,310		(425,877)
*Increase in Net Assets From Operations*		*355,756,994*		*65,042,670*

Capital Transactions:
Proceeds from contributions		47,660,927,530		66,760,148,928
Value of withdrawals		(42,986,373,737)		(62,063,079,636)
*Increase in Net Assets From Capital Transactions*		*4,674,553,793*		*4,697,069,292*
*Increase in Net Assets*		*5,030,310,787*		*4,762,111,962*

Net Assets:
Beginning of period		14,241,505,220		9,479,393,258
End of period	$	19,271,816,007	$	14,241,505,220

See Notes to Financial Statements.

Liquid Reserves Portfolio 2023 Semi-Annual Report

Financial highlights


For the years ended August 31, unless otherwise noted:
	2023¹			2022			2021			2020			2019			2018

Net assets, end of period (millions)	$	19,272		$	14,242		$	9,479		$	19,833		$	20,752		$	15,917
*Total return²*		*2.01*	%		*0.65*	%		*0.17*	%		*1.41*	%		*2.54*	%		*1.75*	%

Ratios to average net assets:
Gross expenses		0.11	%³		0.10	%		0.11	%		0.11	%		0.11	%		0.11	%
Net expenses^4,5		0.01	³		0.00	⁶		0.01			0.01			0.01			0.01
Net investment income		4.08	³		0.78			0.24			1.40			2.53			1.67

¹	For the six months ended February 28, 2023 (unaudited).

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 fund’s investment management agreement, has agreed to waive 0.10% of Portfolio expenses, attributable to the Portfolio’s investment management fee.

Additional amounts may be voluntarily waived and/or reimbursed from time to time.

⁵	Reflects fee waivers and/or expense reimbursements.

⁶	Amount represents less than 0.005% or greater than (0.005)%.

See Notes to Financial Statements.

Liquid Reserves Portfolio 2023 Semi-Annual Report

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, 2023, 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 Portfolio’s liquidity falls below required minimums because of market conditions or other factors.

The Portfolio follows the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (“ASC 946”). The following are significant accounting policies consistently followed by the Portfolio and are in conformity with U.S. generally accepted accounting principles (“GAAP”), including, but not limited to, ASC 946. 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 security has been significantly affected by events after the close of the exchange or market

Liquid Reserves Portfolio 2023 Semi-Annual Report

Notes to financial statements (unaudited) (cont’d)

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 Portfolio’s Board of Trustees.

Pursuant to policies adopted by the Board of Trustees, the Portfolio’s manager has been designated as the valuation designee and is responsible for the oversight of the daily valuation process. The Portfolio’s manager is assisted by the Global Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee is responsible for making fair value determinations, evaluating the effectiveness of the Portfolio’s pricing policies, and reporting to the Portfolio’s manager and 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 issuer’s 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 2023 Semi-Annual Report

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 — unadjusted 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)

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 Portfolio’s 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†		—	$	19,325,221,752		—	$	19,325,221,752

†	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 (including interest income from payment-in-kind securities) 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.

Liquid Reserves Portfolio 2023 Semi-Annual Report

Notes to financial statements (unaudited) (cont’d)

(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 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, 2022, no provision for income tax is required in the Portfolio’s financial statements. The Portfolio’s 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 Portfolio’s investment manager and Western Asset Management Company, LLC (“Western Asset”) is the Portfolio’s subadviser. LMPFA and Western Asset are indirect, wholly-owned subsidiaries of Franklin Resources, Inc. (“Franklin Resources”).

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

Liquid Reserves Portfolio 2023 Semi-Annual Report

services, LMPFA pays Western Asset a fee monthly, at an annual rate equal to 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 Portfolio’s investment management fee. Additional amounts may be voluntarily waived and/or reimbursed from time to time.

During the six months ended February 28, 2023, fees waived and/or expenses reimbursed amounted to $8,559,721.

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, 2023, 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

19,318,085,438

8,101,446

(965,132)

7,136,314

4. Derivative instruments and hedging activities

During the six months ended February 28, 2023, the Portfolio did not invest in derivative instruments.

5. Recent accounting pronouncement

In March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2020-04, Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting. In January 2021, the FASB issued ASU No. 2021-01, with further amendments to Topic 848. The amendments in the ASUs provide optional temporary accounting recognition and financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the LIBOR and other interbank-offered based reference rates as of the end of 2021 and 2023. The ASUs are effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management has reviewed the requirements and believes the adoption of these ASUs will not have a material impact on the financial statements.

6. 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,

Liquid Reserves Portfolio 2023 Semi-Annual Report

Notes to financial statements (unaudited) (cont’d)

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 Portfolio’s investments, impair the Portfolio’s ability to satisfy withdrawal requests, and negatively impact the Portfolio’s 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.

* * *

The Portfolio’s 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. On March 5, 2021, the ICE Benchmark Administration, the administrator of LIBOR, stated that it will cease the publication of the overnight and one-, three-, six- and twelve-month USD LIBOR settings immediately following the LIBOR publication on Friday, June 30, 2023. All other LIBOR settings, including the one-week and two-month USD LIBOR settings, have ceased publication as of January 1, 2022. In March 2022, the U.S. federal government enacted legislation to establish a process for replacing LIBOR in certain existing contracts that do not already provide for the use of a clearly defined or practicable replacement benchmark rate as described in the legislation. Generally speaking, for contracts that do not contain a fallback provision as described in the legislation, a benchmark replacement recommended by the Federal Reserve Board will effectively automatically replace the USD LIBOR benchmark in the contract after June 30, 2023. The recommended benchmark replacement will be based on the Secured Overnight Financing Rate (SOFR) published by the Federal Reserve Bank of New York, including certain spread adjustments and benchmark replacement conforming changes. There remains uncertainty regarding the impact of the transition from LIBOR on the Portfolio’s transactions and the financial markets generally.

* * *

On February 24, 2022, Russia engaged in military actions in the sovereign territory of Ukraine. The current political and financial uncertainty surrounding Russia and Ukraine may increase market volatility and the economic risk of investing in securities in these countries and may also cause uncertainty for the global economy and broader financial markets. The ultimate fallout and long-term impact from these events are not known. The Portfolio will continue to assess the impact on valuations and liquidity and will take any potential actions needed in accordance with procedures approved by the Board of Trustees.

Liquid Reserves Portfolio 2023 Semi-Annual Report

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 registrant’s principal executive officer and principal financial officer have concluded that the registrant’s 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 registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are likely to materially affect the registrant’s 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

(a) (2) Certifications pursuant to section 302 of the Sarbanes-Oxley Act of 2002 attached hereto.

Exhibit 99.CERT

(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 attached hereto.

Exhibit 99.906CERT

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, 2023

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, 2023

By:		/s/ Christopher Berarducci
		Christopher Berarducci
		Principal Financial Officer

Date:		April 20, 2023