0001104659-19-076774.txt : 20191230 0001104659-19-076774.hdr.sgml : 20191230 20191230160453 ACCESSION NUMBER: 0001104659-19-076774 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 9 CONFORMED PERIOD OF REPORT: 20191031 FILED AS OF DATE: 20191230 DATE AS OF CHANGE: 20191230 EFFECTIVENESS DATE: 20191230 FILER: COMPANY DATA: COMPANY CONFORMED NAME: MORGAN STANLEY INSTITUTIONAL LIQUIDITY FUNDS CENTRAL INDEX KEY: 0001227155 IRS NUMBER: 000000000 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-21339 FILM NUMBER: 191316689 BUSINESS ADDRESS: STREET 1: 522 FIFTH AVENUE CITY: NEW YORK STATE: NY ZIP: 10036 BUSINESS PHONE: 800-548-7786 MAIL ADDRESS: STREET 1: 522 FIFTH AVENUE CITY: NEW YORK STATE: NY ZIP: 10036 0001227155 S000004148 Government Portfolio C000011654 Administrative Class MGOXX C000011655 Advisory Class MAYXX C000011656 Institutional Class MVRXX C000011657 Investor Class MVVXX C000011658 Participant Class MPCXX C000011659 Institutional Select Class MGSXX C000017907 Cash Management Class MSGXX C000167931 Select Class MSDXX 0001227155 S000004149 Government Securities Portfolio C000011660 Administrative Class MGAXX C000011661 Advisory Class MVAXX C000011662 Institutional Class MUIXX C000011663 Investor Class MVIXX C000011664 Participant Class MGIPXX C000011665 Institutional Select Class MSVXX C000017908 Cash Management Class MCHXX 0001227155 S000004150 Money Market Portfolio C000011667 Advisory Class MVSXX C000011668 Institutional Class MPUXX C000011669 Investor Class MIOXX C000011670 Participant Class MMNXX C000011671 Institutional Select Class MMRXX C000017909 Cash Management Class MSHXX 0001227155 S000004151 Prime Portfolio C000011673 Advisory Class MAVXX C000011674 Institutional Class MPFXX C000011677 Institutional Select Class MPEXX C000017910 Cash Management Class MSPXX 0001227155 S000004152 Tax Exempt Portfolio C000011680 Institutional Class MTXXX C000011683 Institutional Select Class MXSXX C000017911 Cash Management Class MTMXX 0001227155 S000004153 Treasury Portfolio C000011684 Administrative Class MTTXX C000011685 Advisory Class MAOXX C000011686 Institutional Class MISXX C000011687 Investor Class MTNXX C000011688 Participant Class MTCXX C000011689 Institutional Select Class MTSXX C000017912 Cash Management Class MREXX C000167932 Select Class MSTXX 0001227155 S000004154 Treasury Securities Portfolio C000011690 Administrative Class MAMXX C000011691 Advisory Class MVYXX C000011692 Institutional Class MSUXX C000011693 Investor Class MNVXX C000011694 Participant Class MPRXX C000011695 Institutional Select Class MSSXX C000017913 Cash Management Class MHSXX C000167933 Select Class MSEXX N-CSR 1 a19-23577_1ncsr.htm N-CSR

 

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

811-21339

 

Morgan Stanley Institutional Liquidity Funds

(Exact name of registrant as specified in charter)

 

522 Fifth Avenue, New York, New York

 

10036

(Address of principal executive offices)

 

(Zip code)

 

John H. Gernon
522 Fifth Avenue, New York, New York 10036

(Name and address of agent for service)

 

Registrant’s telephone number, including area code:

212-296-0289

 

 

Date of fiscal year end:

October 31,

 

 

Date of reporting period:

October 31, 2019

 

 

 

Item 1 - Report to Shareholders

 

INVESTMENT MANAGEMENT

Morgan Stanley Institutional
Liquidity Funds

ESG Money Market Portfolio
(formerly Money Market Portfolio)

Prime Portfolio

Government Portfolio

Government Securities Portfolio

Treasury Portfolio

Treasury Securities Portfolio

Tax-Exempt Portfolio

Annual Report

October 31, 2019

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission ("SEC"), paper copies of the Fund's Annual and Semi-Annual Reports to Shareholders ("Shareholder Reports") will no longer be sent by mail, unless you specifically request paper copies of the Shareholder Reports from the Fund or from your financial intermediary, such as a broker-dealer or a bank. Instead, the Shareholder Reports will be made available on the Fund's website, https://www.morganstanley.com/im/liquidityshareholderreports and you will be notified by mail each time a Shareholder Report is posted and provided with a website link to access the Shareholder Report. If you already elected to receive Shareholder Reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive Shareholder Reports and other communications from the Fund electronically anytime by contacting your financial intermediary or, if you are a direct investor, please follow the instructions on the envelope.

Beginning on January 1, 2019, you may elect to receive all future Shareholder Reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your Shareholder Reports. If you invest directly with the Fund, please follow the instructions on the envelope to let the Fund know you wish to continue receiving paper copies of your Shareholder Reports. Your election to receive Shareholder Reports in paper will apply to all funds held in your account if you invest through your financial intermediary or all funds held with the fund complex if you invest directly with a fund.


2019 Annual Report

October 31, 2019

Table of Contents

Shareholders' Letter

    

2

    

Performance Summary

    

3

    

Expense Examples

    

4

    

Investment Overview & Portfolio of Investments:

  

ESG Money Market Portfolio

    

6

    

Prime Portfolio

    

14

    

Government Portfolio

    

23

    

Government Securities Portfolio

    

34

    

Treasury Portfolio

    

40

    

Treasury Securities Portfolio

    

46

    

Tax-Exempt Portfolio

    

51

    

Statements of Assets and Liabilities

    

55

    

Statements of Operations

    

59

    

Statements of Changes in Net Assets

    

61

    

Financial Highlights

    

70

    

Notes to Financial Statements

    

85

    

Report of Independent Registered Public Accounting Firm

    

91

    

Investment Advisory Agreement Approval

    

92

    

Federal Income Tax

    

95

    

Privacy Notice

    

96

    

Trustee and Officer Information

    

98

    

This report is authorized for distribution only when preceded or accompanied by prospectuses of the Morgan Stanley Institutional Liquidity Funds (the "Trust"). To receive a prospectus and/or Statement of Additional Information ("SAI"), which contains more complete information such as investment objectives, charges, expenses, policies for voting proxies, risk considerations and describes in detail each of the Fund's investment policies to the prospective investor, please call toll free 1 (888) 378-1630. Please read the prospectus carefully before you invest or send money.

Additionally, you can access information about the Trust including performance, characteristics and investment team commentary, through Morgan Stanley Investment Management's website: www.morganstanley.com/im/liquidityshareholderreports.

Market forecasts provided in this report may not necessarily come to pass. There is no assurance that a fund will achieve its investment objective. The Trust is subject to market risk, which is the possibility that market values of securities owned by the Trust will decline and, therefore, the value of the Trust's shares may be less than what you paid for them. Accordingly, you can lose money investing in this Trust. Please see the prospectus for more complete information on investment risks.


1


2019 Annual Report

October 31, 2019

Shareholders' Letter (unaudited)

Dear Shareholders:

We are pleased to present the Morgan Stanley Institutional Liquidity Funds (the "Trust") Annual Report for the period ended October 31, 2019. The Trust currently offers seven funds (ESG Money Market, Prime, Government, Government Securities, Treasury, Treasury Securities and Tax-Exempt), which together are designed to provide flexible cash management options. The Trust's funds provide investors with a means to help them meet specific cash investment needs, whether they need a rated fund, capital preservation, or tax-efficient returns.

Sincerely,

John H. Gernon
President and Principal Executive Officer

November 2019


2


2019 Annual Report

October 31, 2019

Performance Summary (unaudited)

The seven-day current and seven-day effective yields (effective yield assumes an annualization of the current yield with all dividends reinvested) as of October 31, 2019 were as follows:

   

Subsidized Yields

  
    Institutional
Class		   Institutional
Select Class		   Investor
Class		   Administrative
Class		   Advisory
Class		   Participant
Class		   Cash Management
Class		   Select
Class		  
    7-day
Current
Yield		   7-day
Effective
Yield		   7-day
Current
Yield		   7-day
Effective
Yield		   7-day
Current
Yield		   7-day
Effective
Yield		   7-day
Current
Yield		   7-day
Effective
Yield		   7-day
Current
Yield		   7-day
Effective
Yield		   7-day
Current
Yield		   7-day
Effective
Yield		   7-day
Current
Yield		   7-day
Effective
Yield		   7-day
Current
Yield		   7-day
Effective
Yield		  

Fund:

  
ESG Money
Market		    

1.94

%

    

1.96

%

    

1.89

%

    

1.91

%

    

N/A

      

N/A

      

N/A

      

N/A

      

1.69

%

    

1.70

%

    

1.44

%

    

1.45

%

    

1.79

%

    

1.81

%

    

—

      

—

    

Prime

    

1.95

%

    

1.97

%

    

1.90

%

    

1.92

%

    

N/A

      

N/A

      

N/A

      

N/A

      

1.70

%

    

1.71

%

    

N/A

      

N/A

      

1.80

%

    

1.82

%

    

—

      

—

    

Government

    

1.72

%

    

1.74

%

    

1.67

%

    

1.69

%

    

1.62

%

    

1.64

%

    

1.57

%

    

1.58

%

    

1.47

%

    

1.48

%

    

1.22

%

    

1.23

%

    

1.57

%

    

1.58

%

    

0.92

%

    

0.93

%

  
Government
Securities		    

1.67

%

    

1.69

%

    

1.62

%

    

1.63

%

    

1.57

%

    

1.59

%

    

1.52

%

    

1.53

%

    

1.42

%

    

1.43

%

    

1.42

%

    

1.43

%

    

1.53

%

    

1.54

%

    

—

      

—

    

Treasury

    

1.68

%

    

1.69

%

    

1.63

%

    

1.64

%

    

1.58

%

    

1.59

%

    

1.53

%

    

1.54

%

    

1.43

%

    

1.44

%

    

1.18

%

    

1.19

%

    

1.53

%

    

1.54

%

    

0.88

%

    

0.88

%

  
Treasury
Securities		    

1.68

%

    

1.69

%

    

1.63

%

    

1.64

%

    

1.57

%

    

1.59

%

    

1.53

%

    

1.54

%

    

1.43

%

    

1.44

%

    

1.18

%

    

1.19

%

    

1.53

%

    

1.54

%

    

0.88

%

    

0.88

%

  

Tax-Exempt

    

1.06

%

    

1.06

%

    

1.00

%

    

1.01

%

    

N/A

      

N/A

      

N/A

      

N/A

      

N/A

      

N/A

      

N/A

      

N/A

      

0.91

%

    

0.91

%

    

—

      

—

    
   

Non-Subsidized Yields

  
    Institutional
Class		   Institutional
Select Class		   Investor
Class		   Administrative
Class		   Advisory
Class		   Participant
Class		   Cash Management
Class		   Select
Class		  
    7-day
Current
Yield		   7-day
Effective
Yield		   7-day
Current
Yield		   7-day
Effective
Yield		   7-day
Current
Yield		   7-day
Effective
Yield		   7-day
Current
Yield		   7-day
Effective
Yield		   7-day
Current
Yield		   7-day
Effective
Yield		   7-day
Current
Yield		   7-day
Effective
Yield		   7-day
Current
Yield		   7-day
Effective
Yield		   7-day
Current
Yield		   7-day
Effective
Yield		  

Fund:

  
ESG Money
Market		    

1.88

%

    

1.90

%

    

1.83

%

    

1.85

%

    

N/A

      

N/A

      

N/A

      

N/A

      

1.63

%

    

1.65

%

    

1.39

%

    

1.40

%

    

1.73

%

    

1.75

%

    

—

      

—

    

Prime

    

1.90

%

    

1.92

%

    

1.85

%

    

1.87

%

    

N/A

      

N/A

      

N/A

      

N/A

      

1.65

%

    

1.67

%

    

N/A

      

N/A

      

1.75

%

    

1.77

%

    

—

      

—

    

Government

    

1.69

%

    

1.70

%

    

1.64

%

    

1.65

%

    

1.59

%

    

1.60

%

    

1.54

%

    

1.55

%

    

1.44

%

    

1.45

%

    

1.19

%

    

1.19

%

    

1.54

%

    

1.55

%

    

0.89

%

    

0.90

%

  
Government
Securities		    

1.65

%

    

1.67

%

    

1.61

%

    

1.62

%

    

1.55

%

    

1.57

%

    

1.51

%

    

1.52

%

    

1.40

%

    

1.41

%

    

1.15

%

    

1.16

%

    

1.51

%

    

1.52

%

    

—

      

—

    

Treasury

    

1.66

%

    

1.68

%

    

1.61

%

    

1.63

%

    

1.56

%

    

1.58

%

    

1.51

%

    

1.52

%

    

1.41

%

    

1.42

%

    

1.16

%

    

1.17

%

    

1.51

%

    

1.52

%

    

0.87

%

    

0.87

%

  
Treasury
Securities		    

1.67

%

    

1.69

%

    

1.62

%

    

1.64

%

    

1.57

%

    

1.58

%

    

1.52

%

    

1.53

%

    

1.42

%

    

1.43

%

    

1.17

%

    

1.18

%

    

1.52

%

    

1.53

%

    

0.88

%

    

0.88

%

  

Tax-Exempt

    

0.95

%

    

0.95

%

    

0.91

%

    

0.91

%

    

N/A

      

N/A

      

N/A

      

N/A

      

N/A

      

N/A

      

N/A

      

N/A

      

0.80

%

    

0.80

%

    

—

      

—

    

The non-subsidized yield reflects what the yield would have been had a fee and/or expense waiver not been in place during the period shown.

Government, Government Securities, Treasury and Treasury Securities are STABLE NAV FUNDS. You could lose money by investing in these Funds. Although the Funds seek to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in these Funds is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Morgan Stanley and its affiliates (the "sponsor") has no legal obligation to provide financial support to the Funds, and you should not expect that the sponsor will provide financial support to the Funds at any time. ESG Money Market, Prime and Tax-Exempt are FLOATING NAV FUNDS. You could lose money by investing in these Funds. Because the share price of these Funds will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Funds may impose a fee upon the sale of your shares or may temporarily suspend your ability to sell shares if the Funds' liquidity falls below required minimums because of market conditions or other factors. An investment in these Funds is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Funds' sponsor has no legal obligation to provide financial support to the Funds, and you should not expect that the sponsor will provide financial support to the Funds at any time. Please read the Trust's prospectuses carefully before you invest or send money.

The Tax-Exempt Portfolio may invest a portion of its total assets in bonds that may subject certain investors to the federal Alternative Minimum Tax (AMT). Investors should consult their tax adviser for further information on tax implications.

Yield quotation more closely reflects the current earnings of the Funds than the total return. As with all money market funds, yields will fluctuate as market conditions change and the seven-day yields are not necessarily indicative of future performance.


3


2019 Annual Report

October 31, 2019

Expense Examples (unaudited)

As a shareholder of a Fund, you incur ongoing costs, which might include advisory fees, administration plan fees, service and shareholder administration plan fees, distribution plan fees, shareholder services fees and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in each Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

These examples are based on an investment of $1,000 invested at the beginning of the six-month period ended October 31, 2019 and held for the entire six-month period.

Actual Expenses

The table on the following page provides information about actual account values and actual expenses. You may use the information in this table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled "Actual Expenses Paid During Period" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The table on the following page provides information about hypothetical account values and hypothetical expenses based on a Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only. Therefore, the information for each class in the table is useful in comparing ongoing costs, and will not help you determine the relative total cost of owning different funds that have transactional costs, such as sales charges (loads) or exchange fees.


4


2019 Annual Report

October 31, 2019

Expense Examples (unaudited) (cont'd)

    Beginning
Account
Value
5/1/19		   Actual Ending
Account
Value
10/31/19		   Hypothetical
Ending Account
Value		   Actual
Expenses
Paid
During
Period*		   Hypothetical
Expenses Paid
During Period*		   Net
Expense
Ratio
During
Period**		  

ESG Money Market Portfolio Institutional Class

  

$

1,000.00

    

$

1,011.72

    

$

1,024.40

    

$

0.81

    

$

0.82

      

0.16

%

  

ESG Money Market Portfolio Institutional Select Class

    

1,000.00

      

1,011.47

      

1,024.15

      

1.06

      

1.07

      

0.21

    

ESG Money Market Portfolio Advisory Class

    

1,000.00

      

1,010.45

      

1,023.14

      

2.08

      

2.09

      

0.41

    

ESG Money Market Portfolio Participant Class

    

1,000.00

      

1,009.18

      

1,021.88

      

3.34

      

3.36

      

0.66

    

ESG Money Market Portfolio Cash Management Class

    

1,000.00

      

1,010.96

      

1,023.64

      

1.57

      

1.58

      

0.31

    

Prime Portfolio Institutional Class

    

1,000.00

      

1,011.70

      

1,024.40

      

0.81

      

0.82

      

0.16

    

Prime Portfolio Institutional Select Class

    

1,000.00

      

1,011.45

      

1,024.15

      

1.06

      

1.07

      

0.21

    

Prime Portfolio Advisory Class

    

1,000.00

      

1,010.32

      

1,023.14

      

2.08

      

2.09

      

0.41

    

Prime Portfolio Cash Management Class

    

1,000.00

      

1,010.84

      

1,023.64

      

1.57

      

1.58

      

0.31

    

Government Portfolio Institutional Class

    

1,000.00

      

1,010.65

      

1,024.35

      

0.86

      

0.87

      

0.17

    

Government Portfolio Institutional Select Class

    

1,000.00

      

1,010.39

      

1,024.10

      

1.11

      

1.12

      

0.22

    

Government Portfolio Investor Class

    

1,000.00

      

1,010.14

      

1,023.84

      

1.37

      

1.38

      

0.27

    

Government Portfolio Administrative Class

    

1,000.00

      

1,009.88

      

1,023.59

      

1.62

      

1.63

      

0.32

    

Government Portfolio Advisory Class

    

1,000.00

      

1,009.38

      

1,023.09

      

2.13

      

2.14

      

0.42

    

Government Portfolio Participant Class

    

1,000.00

      

1,008.10

      

1,021.83

      

3.39

      

3.41

      

0.67

    

Government Portfolio Cash Management Class

    

1,000.00

      

1,009.88

      

1,023.59

      

1.62

      

1.63

      

0.32

    

Government Portfolio Select Class

    

1,000.00

      

1,006.58

      

1,020.32

      

4.91

      

4.94

      

0.97

    

Government Securities Portfolio Institutional Class

    

1,000.00

      

1,010.26

      

1,024.20

      

1.01

      

1.02

      

0.20

    

Government Securities Portfolio Institutional Select Class

    

1,000.00

      

1,009.99

      

1,023.95

      

1.27

      

1.28

      

0.25

    

Government Securities Portfolio Investor Class

    

1,000.00

      

1,009.75

      

1,023.69

      

1.52

      

1.53

      

0.30

    

Government Securities Portfolio Administrative Class

    

1,000.00

      

1,009.50

      

1,023.44

      

1.77

      

1.79

      

0.35

    

Government Securities Portfolio Advisory Class

    

1,000.00

      

1,008.98

      

1,022.94

      

2.28

      

2.29

      

0.45

    

Government Securities Portfolio Participant Class

    

1,000.00

      

1,008.99

      

1,022.94

      

2.28

      

2.29

      

0.45

    

Government Securities Portfolio Cash Management Class

    

1,000.00

      

1,009.50

      

1,023.44

      

1.77

      

1.79

      

0.35

    

Treasury Portfolio Institutional Class

    

1,000.00

      

1,010.42

      

1,024.25

      

0.96

      

0.97

      

0.19

    

Treasury Portfolio Institutional Select Class

    

1,000.00

      

1,010.16

      

1,024.00

      

1.22

      

1.22

      

0.24

    

Treasury Portfolio Investor Class

    

1,000.00

      

1,009.91

      

1,023.74

      

1.47

      

1.48

      

0.29

    

Treasury Portfolio Administrative Class

    

1,000.00

      

1,009.65

      

1,023.49

      

1.72

      

1.73

      

0.34

    

Treasury Portfolio Advisory Class

    

1,000.00

      

1,009.14

      

1,022.99

      

2.23

      

2.24

      

0.44

    

Treasury Portfolio Participant Class

    

1,000.00

      

1,007.87

      

1,021.73

      

3.49

      

3.52

      

0.69

    

Treasury Portfolio Cash Management Class

    

1,000.00

      

1,009.65

      

1,023.49

      

1.72

      

1.73

      

0.34

    

Treasury Portfolio Select Class

    

1,000.00

      

1,006.35

      

1,020.21

      

5.01

      

5.04

      

0.99

    

Treasury Securities Portfolio Institutional Class

    

1,000.00

      

1,010.14

      

1,024.20

      

1.01

      

1.02

      

0.20

    

Treasury Securities Portfolio Institutional Select Class

    

1,000.00

      

1,009.88

      

1,023.95

      

1.27

      

1.28

      

0.25

    

Treasury Securities Portfolio Investor Class

    

1,000.00

      

1,009.63

      

1,023.69

      

1.52

      

1.53

      

0.30

    

Treasury Securities Portfolio Administrative Class

    

1,000.00

      

1,009.37

      

1,023.44

      

1.77

      

1.79

      

0.35

    

Treasury Securities Portfolio Advisory Class

    

1,000.00

      

1,008.87

      

1,022.94

      

2.28

      

2.29

      

0.45

    

Treasury Securities Portfolio Participant Class

    

1,000.00

      

1,007.60

      

1,021.68

      

3.54

      

3.57

      

0.70

    

Treasury Securities Portfolio Cash Management Class

    

1,000.00

      

1,009.37

      

1,023.44

      

1.77

      

1.79

      

0.35

    

Treasury Securities Portfolio Select Class

    

1,000.00

      

1,006.07

      

1,020.16

      

5.06

      

5.09

      

1.00

    

Tax-Exempt Portfolio Institutional Class

    

1,000.00

      

1,006.86

      

1,024.45

      

0.76

      

0.77

      

0.15

    

Tax-Exempt Portfolio Institutional Select Class

    

1,000.00

      

1,006.60

      

1,024.20

      

1.01

      

1.02

      

0.20

    

Tax-Exempt Portfolio Cash Management Class

    

1,000.00

      

1,006.10

      

1,023.69

      

1.52

      

1.53

      

0.30

    

*  Expenses are calculated using each Fund Class' annualized net expense ratio (as disclosed), multiplied by the average account value over the period and multiplied by 184/365 (to reflect the most recent one-half year period).

**  Annualized.


5


2019 Annual Report

October 31, 2019

Investment Overview (unaudited)

ESG Money Market Portfolio

The ESG Money Market Portfolio seeks preservation of capital daily liquidity and maximum current income. The Fund invests in liquid, high quality U.S. dollar-denominated money market instruments of U.S. and foreign financial and non-financial corporations. The Fund also invests in obligations of foreign governments and in obligations issued or guaranteed by the U.S. government and its agencies and instrumentalities. The Fund's "Adviser," Morgan Stanley Investment Management Inc., believes that environmental, social and governance ("ESG") factors have the ability to impact the fundamental credit risk of an entity. The Fund's investment process incorporates information about ESG issues via an integrated approach within the Adviser's fundamental investment analysis framework. The Adviser may engage with management of certain issuers regarding corporate governance practices as well as what the Adviser deems to be materially important environmental and/or social issues facing a company. Under normal circumstances, the Fund will invest 100% of its net assets (excluding cash) in securities whose issuer or guarantor, in the Adviser's opinion at the time of purchase, meets the Fund's ESG criteria. The Fund now operates as an "institutional money market fund," which is neither a "government money market fund" nor "retail money market fund" as such terms are defined or interpreted under Rule 2a-7 under the Investment Company Act of 1940, as amended. As such, the Fund is required to price and transact in its shares at a net asset value reflecting market-based values of its portfolio holdings (i.e., at a "floating" net asset value), rounded to the fourth decimal place. Like other "Floating NAV" money market funds of its type, the Fund is subject to the possible imposition of liquidity fees and/or redemption gates. The Fund may impose a fee upon the sale of your shares or may temporarily suspend your ability to sell shares if the Fund's liquidity falls below required minimums because of market conditions or other factors.

Performance

For the fiscal year ended October 31, 2019, the Fund's Institutional Share Class had a total return of 2.46%. For the seven-day period ended October 31, 2019, the Fund's Institutional Share Class provided an annualized current yield of 1.94% (subsidized) and 1.88% (non-subsidized), while its 30-day moving average annualized yield was 1.99% (subsidized) and 1.92% (non-subsidized). Yield quotation more closely reflects the current earnings of the Fund than the total return. The non-subsidized yield reflects what the yield would have been had a fee and/or expense waiver not been in place during the period shown. Past performance is no guarantee of future results.

Factors Affecting Performance

•  Minutes from the September 2018 Federal Open Market Committee (FOMC or Committee) meeting, released in October 2018, confirmed the Committee was in broad agreement to continue with the gradual path of policy normalization. With expectations of an additional rate hike in 2018, and funding pressures over year-end, three-month LIBOR increased 16 basis points (bps) during the month of October to 2.56%.(i)

•  At the December 2018 FOMC meeting, the Committee raised rates for the fourth time in 2018 by 25 bps as widely expected. Committee members lowered their growth forecasts for 2019 and beyond but reiterated that current economic indicators such as unemployment and gross domestic product (GDP) remained strong. The FOMC decreased the GDP projections to 3.0% for 2018 and 2.3% for 2019. Core inflation remained around the FOMC's 2% target and was expected to reach 2.0% in 2019. Inflation was expected to remain at target levels through 2021. While the FOMC expected two hikes versus the three expected at the September meeting, the markets priced in zero rate hikes for 2019. In January 2019, the release of the December 2018 FOMC minutes confirmed Federal Reserve (Fed) policy was more data dependent and subdued inflation would allow the Committee to be patient in executing further rate hikes in 2019.

•  As expected, no rate action was taken by the FOMC at its January 2019 meeting. Federal Reserve Chairman Jerome Powell started a new practice of holding a press conference after every central bank meeting to improve communications. The Fed's statement showed that the FOMC decided to maintain the target range for the federal funds rate at 2.25% to 2.50%, and the FOMC downgraded its characterization of economic growth from "rising at a strong rate" in December 2018 to "solid" in January 2019. The overall tone of the conference was dovish. This called into question the expectations for future monetary policy, especially since there was no explicit mention of a rate hike. A notable change in the FOMC statement was the lack of forward guidance.


6


2019 Annual Report

October 31, 2019

Investment Overview (unaudited) (cont'd)

ESG Money Market Portfolio

•  In his semiannual testimony on the state of monetary policy to Congress in February 2019, Fed Chairman Powell characterized the economy as "strong." In his speech, Chairman Powell stated that "muted" inflation pressures as well as economic and financial crosscurrents were conflicting signals influencing the FOMC to take a "patient" approach in delivering policy changes. He maintained the Fed's wait-and-see approach and underscored the need for being data dependent going forward. Chairman Powell noted that risks to global growth posed a key threat to the outlook, especially in Europe and China. In his statement, he commented that "uncertainty is the enemy of business" and that economic activity may have been impacted.

•  At its March 2019 meeting, the FOMC voted unanimously to maintain the target range for the federal funds rate at 2.25% to 2.50%. The FOMC's forward-looking statements were more dovish than anticipated, with the Committee downgrading expectations for the economy, lowering its outlook for policy rates and ending its balance sheet normalization sooner than expected. In its more dovish outlook, the FOMC revised its federal funds projections to zero rate hikes in 2019 (down from the Committee's expectations of two rate hikes during their December 2018 meeting) and only one rate hike in 2020. As a result, the median fed funds rate forecast was lowered to 2.4% from 2.9% for 2019 and reduced to 2.6% from 3.1% for 2020. The pace of balance sheet normalization would also be cut in half to $15 billion starting in May and would end altogether in September 2019, earlier than many economists expected. Fed Chairman Powell stated that while the labor market remained strong, growth in economic activity had decelerated in the first quarter of 2019 due to a number of factors, including slowing growth in Europe and China, concerns over tariffs and the effects of global trade tensions. The FOMC noted that in light of global economic and financial developments and muted inflation pressures, the Committee would be patient as it determined the appropriate path of future policy adjustments.

•  GDP for the first quarter of 2019 came in at 3.1%, slightly below expectations with net exports and inventories supporting quarterly growth.(ii) The labor market remained resilient with the unemployment rate falling to 3.8% in the quarter

from 4.0% in January 2019.(iii) In addition, the pace of non-farm payrolls averaged 174,000 in the first quarter of 2019.

•  At the conclusion of its May 1, 2019 meeting, as expected, the FOMC kept the range for the federal funds rate unchanged at 2.25% to 2.50%. The FOMC reiterated its intentions to remain "patient" as it decided the path of future policy adjustments. FOMC participants believed the most likely outcome for the U.S. economy would be sustained expansion of economic activity, with strong labor market conditions and inflation nearing its 2% target. Regarding economic conditions, Fed Chairman Powell acknowledged that economic growth and job creation since the Fed's prior meeting in March 2019 had been stronger than anticipated. In addition, Chairman Powell highlighted that international risks had moderated since the beginning of 2019, as evidenced by some recent improvement in global economic data, a delayed Brexit and reports of some progress in U.S.-China trade negotiations. While the federal funds rate remained unchanged, the FOMC lowered the interest on excess reserves (IOER) by 0.05% to 2.35% from 2.40%. Chairman Powell noted the decrease in the IOER was a technical adjustment designed to control overnight rates in the fed funds market and should not be viewed as any change to overall monetary policy.

•  The Trump administration's decision on May 10, 2019 to raise tariffs to 25% on $200 billion of Chinese goods and the threat to levy further tariffs on another $300 billion of Chinese goods following the G20 meeting in June 2019 stoked concerns that the U.S.-China trade war could be longer and more pronounced than expected. The Trump administration's decision on May 29, 2019 to threaten Mexico with a 5% tariff only exacerbated these concerns and raised the specter of additional U.S. trade wars with other countries.

•  Fearing continued trade tensions could weaken economic growth, investors fled to U.S. Treasuries in May 2019. The Treasury yield curve flattened significantly, with the 2-, 5- and 10-year yields falling 34 bps, 37 bps and 38 bps, respectively, throughout the month, and the belly of the curve becoming inverted.(iv) As of May 31, 2019, the 10-year Treasury bond was yielding 22 bps less than the 3-month Treasury bill. The 5-year Treasury bond was yielding


7


2019 Annual Report

October 31, 2019

Investment Overview (unaudited) (cont'd)

ESG Money Market Portfolio

43 bps less than the 3-month Treasury bill as of the same date. Given this shift in sentiment, the market was pricing in at least two rate cuts by the Fed by the end of 2019.

•  At its June 18-19, 2019 meeting, the FOMC kept the range for the federal funds rate unchanged at 2.25% to 2.50%. While it kept policy rates unchanged, the FOMC removed the word "patient" in describing its approach to monetary policy and reiterated it remains ready to take appropriate action should economic uncertainties, such as international trade tensions, negatively impact global growth and inflation.

•  In its June 2019 updated "dot plot," the FOMC showed that 8 out of 17 officials expected lower rates by the end of 2019 — with 7 members anticipating 50 bps of easing. As a result, the average federal funds forecast for 2019 fell to 2.17% (down from 2.49% during the March 2019 FOMC meeting) while the median remained unchanged at 2.38%. Looking ahead, the median federal funds forecast for 2020 was lowered to 2.13% (down from 2.63%) and the median forecast for 2021 was lowered to 2.38% (down from 2.63%).

•  While reconfirming its 2% inflation target, the Fed acknowledged a decline in near-term inflation expectations and cut its median Personal Consumption Expenditures (PCE) and core PCE inflation forecasts for 2019 to 1.5% and 1.8%, respectively. GDP growth projections for 2019 remained unchanged while the unemployment rate was revised lower to 3.6% from 3.7%.

•  Subsequent to the June 2019 FOMC meeting, Fed Chairman Powell spoke on June 25 at the Council on Foreign Relations, where he reiterated economic crosscurrents have reemerged and risks to the baseline economic outlook have grown.

•  Citing weakening global growth and muted inflation pressures, the FOMC lowered the range for the federal funds rate by 0.25% to 2.00% to 2.25% at its July 2019 meeting. While acknowledging the U.S. economy and labor market remained strong, Fed Chairman Powell highlighted global uncertainties, including weaker growth in the European Union and China as risks to the outlook justifying the rate cut. The FOMC reiterated it would "act as appropriate to sustain the expansion,"

thus leaving the door open to potential future rate cuts if global economic growth continued to weaken. In addition to lowering the federal funds rate, the FOMC lowered the IOER rate by 0.25% to 2.10% and ended its balance sheet run-off program two months earlier than expected.

•  Second quarter 2019 GDP cooled to 2.1% as weaknesses were evident. Businesses showed wariness to expand and delayed investment decisions as uncertainties surrounding trade tension mounted. However, personal consumption remained strong and contributed a substantial share of economic growth. The labor market remained strong with the unemployment rate falling to 3.7% in June 2019. The pace of non-farm payrolls averaged 152,000 in the second quarter of 2019, down from the first quarter.

•  On August 1, 2019, President Trump announced the U.S. would impose a 10% tariff on the remaining $300 billion of Chinese imports starting September 1 after negotiations failed to make progress. China pledged to retaliate. The sharp decline in the value of the Chinese yuan that followed led the Trump administration to formally label China a currency manipulator.

•  The August 2019 employment data showed weaker-than-expected job gains with downward revisions to prior months, but wage growth was surprisingly stronger than expected. Comments from Fed Chairman Powell reflected the challenges of responding to an economy where the job market and the consumer remained strong but was facing headwinds such as the rising trade tensions compounded by a general slowdown in global growth.

•  At the September 2019 FOMC meeting, the Committee cut policy rates by 25 bps to 1.75% to 2.00% as members "judged that downside risks to the outlook for economic activity had increased since their July meeting, particularly those stemming from trade policy uncertainty and conditions abroad." Separately, September 2019 witnessed a spike in overnight repo funding levels, which is not unusual given seasonal pressures related to corporate tax payments and the end of the quarter. However, a confluence of other factors such as the market absorbing an increased supply of


8


2019 Annual Report

October 31, 2019

Investment Overview (unaudited) (cont'd)

ESG Money Market Portfolio

Treasury securities after the recent lifting of the debt ceiling, exacerbated by lower bank reserves and tight bank balance sheets, raised the Secured Overnight Financing Rate as high as 5.25%. The Federal Reserve intervened with temporary open market operations and normalized the repo market for the remainder of September.

•  Third quarter GDP expanded more than expected at a 1.9% annualized rate, largely due to strength in the consumer spending sector, the biggest part of the economy. After an upward revision to 180,000 jobs created in September 2019, third quarter 2019 non-farm payrolls averaged 188,000, a promising sign that workers continue to find employment opportunities. The jobless rate unexpectedly dropped 0.2% to 3.5% in September 2019, the lowest reading since December 1969.

•  As widely expected, the Fed cut interest rates for the third time in 2019 at its October FOMC meeting. In the prepared statement, the Committee dropped its pledge to "act as appropriate to sustain the expansion," while adding in promises to monitor incoming data as members "assess the appropriate path of the target for the federal funds rate." Changes to the statement suggested that policy makers are comfortable leaving interest rates on hold in the near term, while the market ended the month pricing in less than one additional rate cut over the next year. In addition, on October 11, 2019, the Fed announced that it will begin buying $60 billion of Treasury bills per month to improve its control over monetary policy, with a goal of expanding its balance sheet to $1.7 trillion by year-end. While purely technical in nature, short-end Treasuries rallied on the back of the news, further flattening the yield curve. At the same time, Fed also announced that it will "conduct term and overnight repurchase agreement operations at least through January of next year to ensure that the supply of reserves remains ample."

Management Strategies

•  As of October 31, 2019, the Fund had net assets of approximately $3.4 billion. The Fund's weighted average maturity (WAM) and weighted average life (WAL) were 38 days and 88 days, respectively.

•  We remain comfortable in our conservative approach to managing this Fund, focusing on securities with high liquidity and short durations. We believe our investment process and focus on credit research and risk management, combined with the high degree of liquidity and short maturity profile of the Fund, has put us in a favorable position to respond to both market events and expectations of changes to monetary policy.

(i)  Source: Bloomberg L.P.

(ii)  Source for GDP data shown in this report: U.S. Bureau of Economic Analysis

(iii)  Source for unemployment and non-farm payrolls data shown in this report: U.S. Bureau of Labor Statistics

(iv)  Source for Treasury yields data shown in this report: Bloomberg L.P.


9


2019 Annual Report

October 31, 2019

Portfolio of Investments

ESG Money Market Portfolio

    Face
Amount
(000)		   Value
(000)		  

Certificates of Deposit (1.9%)

  

International Banks (1.9%)

  

Bank of Nova Scotia

  

2.61%, 12/17/19

  

$

11,000

    

$

11,012

    

Deutsche Zentral Genoss

  

2.09%, 12/12/19

    

25,000

      

25,005

    

Nordea Bank AB

  

2.72%, 2/20/20

    

2,475

      

2,484

    

Toronto Dominion Bank

  

2.39%, 11/6/19

    

25,000

      

25,002

    

Total Certificates of Deposit (Cost $63,476)

    

63,503

    

Commercial Paper (a) (16.6%)

  

Asset-Backed Insurance (1.6%)

  

MetLife Short Term Funding LLC,

  

2.34%, 12/17/19

    

20,000

      

19,956

    

2.49%, 12/13/19

    

36,066

      

35,994

    

   

55,950

    

Automobiles (0.3%)

  

Toyota Credit Canada Inc.

  

1.95%, 5/11/20

    

10,000

      

9,902

    

Diversified Financial Services (3.6%)

  

Citigroup Global Markets, Inc.,

  

2.22%, 4/24/20

    

7,000

      

6,934

    

2.65%, 12/19/19

    

20,000

      

19,955

    

2.75%, 12/17/19 (b)

    

50,000

      

49,894

    

National Securities Clearing Corp.,

  

2.43%, 12/4/19 - 12/10/19

    

10,000

      

9,983

    

2.43%, 12/6/19 (b)

    

5,000

      

4,992

    

2.47%, 6/3/20 (b)

    

10,000

      

9,889

    

2.52%, 1/7/20

    

20,000

      

19,935

    
     

121,582

    

Domestic Bank (0.3%)

  

HSBC USA, Inc.

  

2.04%, 3/2/20

    

9,900

      

9,837

    

International Banks (10.8%)

  

Banque Et Caisse,

  

2.22%, 4/24/20

    

20,000

      

19,820

    

2.27%, 2/21/20

    

15,000

      

14,921

    
BPCE SA  

2.31%, 2/18/20 (b)

    

25,000

      

24,867

    

DBS Bank Ltd.

  

2.31%, 1/7/20

    

5,000

      

4,983

    

Deutsche Zentral Genoss

  

2.15%, 12/19/19

    

24,000

      

23,944

    

Nationwide Building Society,

  

2.10%, 2/4/20

    

10,000

      

9,954

    

2.32%, 1/21/20

    

25,000

      

24,902

    

Natixis NY

  

2.40%, 12/5/19

    

25,000

      

24,957

    

Royal Bank of Canada,

  

2.18%, 12/19/19 - 12/20/19

    

50,000

      

49,881

    

Sumitomo Mitsui Trust NY

  

1.94%, 4/23/20

    

49,750

      

49,279

    
    Face
Amount
(000)		   Value
(000)		  

Suncorp-Metway Ltd.,

  

1.94%, 4/21/20

  

$

40,000

    

$

39,617

    

2.17%, 3/18/20

    

12,000

      

11,908

    

Toronto Dominion Bank

  

2.30%, 12/16/19

    

25,000

      

24,943

    

Walt Disney Co.

  

1.87%, 5/21/20

    

38,500

      

38,108

    

   

362,084

    

Total Commercial Paper (Cost $558,933)

    

559,355

    

Corporate Bonds (5.5%)

  

Domestic Bank (1.0%)

  

HSBC Bank USA NA

  

2.35%, 3/5/20

    

31,577

      

31,613

    

International Banks (4.5%)

  

ANZ Banking Group Ltd.

  

5.10%, 1/13/20 (b)

    

2,310

      

2,324

    

BNZ International Funding Ltd.

  

2.40%, 2/21/20 (b)

    

27,475

      

27,511

    
BPCE SA  

2.25%, 1/27/20

    

4,650

      

4,650

    

Commonwealth Bank of Australia,

  

2.25%, 3/10/20 (b)

    

20,120

      

20,146

    

2.30%, 3/12/20

    

12,780

      

12,799

    

ING Bank NV

  

2.45%, 3/16/20 (b)

    

7,010

      

7,024

    

Lloyds Bank PLC

  

5.80%, 1/13/20 (b)

    

12,512

      

12,604

    

Macquarie Bank Ltd.

  

2.40%, 1/21/20 (b)

    

19,901

      

19,918

    

Sumitomo Mitsui Banking Corp.,

  

2.45%, 1/16/20

    

20,532

      

20,556

    

2.51%, 1/17/20

    

9,896

      

9,907

    

Toronto Dominion Bank

  

3.00%, 6/11/20

    

7,375

      

7,427

    

UBS AG

  

2.35%, 3/26/20

    

7,080

      

7,094

    
     

151,960

    

Total Corporate Bonds (Cost $183,370)

    

183,573

    

Floating Rate Notes (c) (29.5%)

  

Automobiles (1.5%)

  

Toyota Finance Australia Ltd.

  

3 Month USD LIBOR + 0.15%, 2.16%, 7/6/20

    

50,000

      

50,005

    

Domestic Banks (3.8%)

  

HSBC Bank USA NA,

  

1 Month USD LIBOR + 0.17%, 2.32%, 12/27/19

    

15,000

      

15,003

    

ING U.S. Funding LLC,

  

1 Month USD LIBOR + 0.20%, 2.02%, 5/21/20 (b)

    

45,000

      

44,997

    

3 Month USD LIBOR + 0.14%, 2.15%, 7/9/20 (b)

    

49,750

      

49,765

    

1 Month USD LIBOR + 0.33%, 2.33%, 7/6/20 (b)

    

19,000

      

19,005

    
     

128,770

    

The accompanying notes are an integral part of the financial statements.
10


2019 Annual Report

October 31, 2019

Portfolio of Investments (cont'd)

ESG Money Market Portfolio

    Face
Amount
(000)		   Value
(000)		  

International Banks (24.2%)

  

Bank of Nova Scotia,

  
1 Month USD LIBOR + 0.25%, 2.13%,
6/18/20 (b)		  

$

30,000

    

$

29,995

    
3 Month USD LIBOR + 0.22%, 2.38%,
12/23/19		    

400

      

400

    

BNZ International Funding Ltd.,

  
3 Month USD LIBOR + 0.14%, 2.14%,
7/15/20 (b)		    

24,500

      

24,503

    
3 Month USD LIBOR + 0.04%, 2.25%,
2/5/20 (b)		    

15,000

      

15,003

    
3 Month USD LIBOR + 0.70%, 2.85%,
2/21/20 (b)		    

1,660

      

1,663

    

Canadian Imperial Bank of Commerce,

  
1 Month USD LIBOR + 0.26%, 2.11%,
6/19/20 (b)		    

70,000

      

70,000

    
1 Month USD LIBOR + 0.25%, 2.16%,
6/15/20 (b)		    

24,000

      

23,999

    
3 Month USD LIBOR + 0.40%, 2.41%,
4/10/20		    

5,000

      

5,008

    

Credit Suisse NY,

  
3 Month USD LIBOR + 0.17%, 2.18%,
7/16/20		    

20,000

      

20,002

    

DNB Bank ASA,

  
3 Month USD LIBOR + 0.04%, 1.97%,
1/29/20 (b)		    

9,178

      

9,179

    
3 Month USD LIBOR + 0.05%, 1.98%,
1/23/20 (b)		    

7,398

      

7,399

    
1 Month USD LIBOR + 0.13%, 2.04%,
12/12/19 (b)		    

500

      

500

    
3 Month USD LIBOR + 0.14%, 2.18%,
4/6/20		    

25,000

      

25,011

    
3 Month USD LIBOR + 0.02%, 2.21%,
2/7/20 (b)		    

3,300

      

3,300

    

HSBC Bank PLC,

  
1 Month USD LIBOR + 0.34%, 2.16%,
7/24/20 (b)		    

25,000

      

25,000

    
3 Month USD LIBOR + 0.17%, 2.17%,
7/16/20 (b)		    

25,000

      

25,003

    
3 Month USD LIBOR + 0.19%, 2.19%,
7/20/20 (b)		    

10,000

      

10,000

    
1 Month USD LIBOR + 0.35%, 2.33%,
7/8/20 (b)		    

39,750

      

39,770

    

Lloyds Bank PLC,

  
1 Month USD LIBOR + 0.16%, 1.98%,
12/23/19		    

25,000

      

25,005

    

Nordea Bank AB,

  
1 Month USD LIBOR + 0.27%, 2.32%,
6/26/20		    

25,000

      

25,004

    
3 Month USD LIBOR + 0.30%, 2.43%,
6/5/20		    

75,000

      

75,113

    
3 Month USD LIBOR + 0.47%, 2.59%,
5/29/20 (b)		    

7,365

      

7,383

    

Oversea-Chinese Banking Corp.,

  
3 Month USD LIBOR + 0.03%, 2.14%,
12/6/19 (b)		    

25,000

      

25,000

    
3 Month USD LIBOR + 0.28%, 2.44%,
6/19/20		    

17,500

      

17,523

    
    Face
Amount
(000)		   Value
(000)		  

Royal Bank of Canada,

  

SOFR + 0.22%, 2.04%, 6/19/20 (b)

  

$

35,000

    

$

34,981

    

Skandinaviska Enskilda Banken AB,

  
1 Month USD LIBOR + 0.28%, 2.08%,
7/30/20		    

25,000

      

25,000

    
1 Month USD LIBOR + 0.28%, 2.09%,
7/29/20		    

15,000

      

15,000

    
1 Month USD LIBOR + 0.28%, 2.30%,
7/2/20		    

30,000

      

30,010

    

Sumitomo Mitsui Banking Corp.,

  
3 Month USD LIBOR + 0.35%, 2.35%,
1/17/20		    

101,498

      

101,596

    

Svenska Handelsbanken AB,

  
1 Month USD LIBOR + 0.25%, 2.07%,
6/24/20		    

44,500

      

44,502

    

Toronto Dominion Bank,

  
1 Month USD LIBOR + 0.27%, 2.09%,
6/23/20 (b)		    

24,500

      

24,509

    
1 Month USD LIBOR + 0.30%, 2.10%,
6/30/20 (b)		    

20,000

      

20,010

    

Westpac Banking Corp.,

  

3 Month USD LIBOR + 0.43%, 2.54%, 3/6/20

    

4,317

      

4,324

    
     

810,695

    

Total Floating Rate Notes (Cost $989,282)

    

989,470

    

Repurchase Agreements (43.2%)

  
ABN Amro Securities LLC, (1.90%, dated
10/31/19, due 11/1/19; proceeds
$40,002; fully collateralized by various
U.S. Government agency securities,
4.00% - 4.50% due 4/1/40 - 12/1/40,
U.S. Government obligations, 1.50% due
9/30/21 - 10/31/24 and various Corporate
Bonds, 1.50% - 8.15% due
11/3/19 - 8/31/64 (d); valued at $41,911)		    

40,000

      

40,000

    
Bank of America Securities, Inc.,
(1.80%, dated 10/31/19, due 11/1/19;
proceeds $53,003; fully collateralized
by various Common Stocks and Preferred
Stocks; valued at $55,650)		    

53,000

      

53,000

    
Bank of America Securities, Inc., (1.85%,
dated 10/31/19, due 11/01/19; proceeds
$16,001; fully collateralized by a Corporate
Bond, 2.75% due 11/15/22;
valued at $16,801)		    

16,000

      

16,000

    
Bank of Nova Scotia, Inc., (2.00%, dated
10/31/9, due 11/1/19; proceeds $60,003;
fully collateralized by various Corporate
Bonds, 2.35% - 8.25% due
8/15/20 - 11/15/24; valued at $63,601)		    

60,000

      

60,000

    
BMO Capital Markets Corp., (1.90%, dated
10/31/19, due 11/1/19; proceeds
$25,001; fully collateralized by a U.S.
Government obligation, 2.88% due
10/31/23 and various Corporate Bonds,
2.50% - 4.25% due 10/15/20 - 6/12/24;
valued at $26,227)		    

25,000

      

25,000

    

The accompanying notes are an integral part of the financial statements.
11


2019 Annual Report

October 31, 2019

Portfolio of Investments (cont'd)

ESG Money Market Portfolio

    Face
Amount
(000)		   Value
(000)		  

Repurchase Agreements (cont'd)

  
BMO Capital Markets Corp., (2.08%, dated
9/19/19, due 12/13/19; proceeds
$60,295; fully collateralized by a U.S.
Government agency security, 1.91% due
9/17/21, a U.S. Government obligation,
2.88% due 11/30/23 and various
Corporate Bonds, 1.63% - 8.05% due
11/25/19 - 9/17/44; valued at $62,900)
(Demand 11/7/19)		  

$

60,000

    

$

60,000

    
BMO Capital Markets Corp., (2.22%, dated
8/1/19, due 11/1/19; proceeds $25,142; fully
collateralized by a U.S. Government agency
security, 2.01% due 12/13/21 and various
Corporate Bonds, 1.75% - 9.25%
due 3/1/20 - 8/15/47; valued at $26,224)		    

25,000

      

25,000

    
BNP Paribas, (Interest in $1,750,000 joint
repurchase agreement, 1.75% dated
10/31/19 under which BNP Paribas, will
repurchase the securities provided as
collateral for $1,750,085 on 11/1/19.
The securities provided as collateral at the
end of the period held with BNY Mellon,
tri-party agent, were various U.S.
Government obligations with various
maturities to 12/20/48 (d); valued
at $1,795,703)		    

200,000

      

200,000

    
BNP Paribas, (2.34% (c), dated 10/2/19,
due 1/29/20; proceeds $75,580; fully
collateralized by various Corporate Bonds,
5.50% - 8.00% due 8/15/22 - 4/1/27;
valued at $79,500) (Demand 1/2/20)		    

75,000

      

75,000

    
BNP Paribas, (2.40% (c), dated 3/12/19,
due 1/29/20; proceeds $35,754; fully
collateralized by various Corporate Bonds,
4.75% - 9.75% due 6/1/21 - 7/15/25;
valued at $37,100) (Demand 12/12/19)		    

35,000

      

35,000

    
BNP Paribas, (2.45% (c), dated 8/7/19,
due 1/29/20; proceeds $15,179; fully
collateralized by various Corporate Bonds,
4.75% - 8.38% due 11/15/22 - 10/1/23;
valued at $15,901) (Demand 11/7/19)		    

15,000

      

15,000

    
BNP Paribas Prime Brokerage, Inc., (2.03%,
dated 10/31/19, due 11/1/19; proceeds
$20,001; fully collateralized by various
Corporate Bonds, 5.13% - 10.00% due
2/15/23 - 12/15/41 (d); valued at $21,167)		    

20,000

      

20,000

    
BNP Paribas Prime Brokerage, Inc., (2.10% (c),
dated 4/18/19, due 1/21/20; proceeds
$20,324; fully collateralized by various
Corporate Bonds, 5.50% - 10.75% due
4/15/21 - 5/15/87 (d); valued at $21,330)
(Demand 11/1/19)		    

20,000

      

20,000

    
HSBC Securities USA, Inc., (2.00%, dated
10/31/19, due 11/1/19; proceeds $5,000;
fully collateralized by a Corporate Bond,
10.50% due 5/15/27; valued at $5,300)		    

5,000

      

5,000

    
    Face
Amount
(000)		   Value
(000)		  
ING Financial Markets LLC, (1.90%, dated
10/31/19, due 11/1/19; proceeds $10,001;
fully collateralized by various U.S. Government
agency securities, 3.50% due 6/1/47 - 11/1/47
and various Corporate Bonds, 1.63% - 5.88%
due 3/16/20 - 5/28/45 (d);
valued at $10,399)		  

$

10,000

    

$

10,000

    
ING Financial Markets LLC, (1.95%, dated
10/31/19, due 11/1/19; proceeds $17,001;
fully collateralized by a U.S. Government
agency security, 3.50% due 10/1/45 and
various Corporate Bonds, 3.20% - 5.45%
due 3/19/23 - 11/1/41; valued at $17,759)		    

17,000

      

17,000

    
Natixis SA, (Interest in $2,500,000 joint
repurchase agreement, 1.75% dated 10/31/19
under which Natixis SA, will repurchase the
securities provided as collateral for
2,500,122 on 11/1/19. The securities
provided as collateral at the end of the period
held with BNY Mellon, tri-party agent, were
various U.S. Government obligations with
various maturities to 9/15/65; valued at
$2,567,957)		    

650,000

      

650,000

    
RBC Capital Markets LLC, (1.90%, dated
10/31/19, due 11/7/19; proceeds $65,024;
fully collateralized by various Corporate Bonds,
2.54% - 8.50% due 9/14/20 - 10/1/96 (d);
valued at $68,250)		    

65,000

      

65,000

    
Scotia Capital USA, Inc., (2.08% (c), dated
10/2/19, due 11/7/19; proceeds $60,125;
fully collateralized by various Corporate Bonds,
1.90% - 8.95% due 5/11/20 - 5/15/67 (d);
valued at $63,320) (Demand 11/1/19)		    

60,000

      

60,000

    

Total Repurchase Agreements (Cost $1,451,000)

    

1,451,000

    

Time Deposit (3.2%)

  

International Bank (3.2%)

  

Natixis (Cayman Islands)

  
1.54%, 11/1/19
(Cost $108,000)		    

108,000

      

108,000

    

Total Investments (99.9%) (Cost $3,354,061) (e)

    

3,354,901

    

Other Assets in Excess of Liabilities (0.1%)

    

2,706

    

Net Assets (100.0%)

  

$

3,357,607

    

(a)  The rates shown are the effective yields at the date of purchase.

(b)  144A security — Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid.

(c)  Floating or variable rate securities: The rates disclosed are as of October 31, 2019. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description in the Portfolio of Investments. Certain variable rate securities may not be 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 in the Portfolio of Investments.

(d)  Perpetual — One or more securities do not have a predetermined maturity date. Rates for these securities are fixed for a period of time, after which they revert to a floating rate. Interest rates in effect are as of October 31, 2019.

The accompanying notes are an integral part of the financial statements.
12


2019 Annual Report

October 31, 2019

Portfolio of Investments (cont'd)

ESG Money Market Portfolio

(e)  At October 31, 2019, the aggregate cost for federal income tax purposes is approximately $3,354,061,000. The aggregate gross unrealized appreciation is approximately $871,000 and the aggregate gross unrealized depreciation is approximately $31,000, resulting in net unrealized appreciation of approximately $840,000.

LIBOR  London Interbank Offered Rate.

SOFR  Secured Overnight Financing Rate.

USD  United States Dollar.

Portfolio Composition

Classification

   Percentage of
Total Investments		  

Repurchase Agreements

    

43.2

%

  

Floating Rate Notes

    

29.5

    

Commercial Paper

    

16.7

    

Corporate Bonds

    

5.5

    

Other*

    

5.1

    

Total Investments

    

100.0

%

  

*  Industries and/or investment types representing less than 5% of total investments.

The accompanying notes are an integral part of the financial statements.
13


2019 Annual Report

October 31, 2019

Investment Overview (unaudited)

Prime Portfolio

The Prime Portfolio seeks preservation of capital, daily liquidity and maximum current income. The Fund invests in liquid, high quality U.S. dollar-denominated money market instruments of U.S. and foreign financial corporations and U.S. non-financial corporations. The Fund also invests in obligations issued or guaranteed by the U.S. government and its agencies and instrumentalities. The Fund now operates as an "institutional money market fund," which is neither a "government money market fund" nor "retail money market fund" as such terms are defined or interpreted under Rule 2a-7 under the Investment Company Act of 1940, as amended. As such, the Fund is required to price and transact in its shares at a net asset value reflecting market-based values of its portfolio holdings (i.e., at a "floating" net asset value), rounded to the fourth decimal place. Like other "Floating NAV" money market funds of its type, the Fund is subject to the possible imposition of liquidity fees and/or redemption gates. The Fund may impose a fee upon the sale of your shares or may temporarily suspend your ability to sell shares if the Fund's liquidity falls below required minimums because of market conditions or other factors.

Performance

For the fiscal year ended October 31, 2019, the Fund's Institutional Share Class had a total return of 2.45%. For the seven-day period ended October 31, 2019, the Fund's Institutional Share Class provided an annualized current yield of 1.95% (subsidized) and 1.90% (non-subsidized), while its 30-day moving average annualized yield was 1.99% (subsidized) and 1.94% (non-subsidized). Yield quotation more closely reflects the current earnings of the Fund than the total return. The non-subsidized yield reflects what the yield would have been had a fee and/or expense waiver not been in place during the period shown. Past performance is no guarantee of future results.

Factors Affecting Performance

•  Minutes from the September 2018 Federal Open Market Committee (FOMC or Committee) meeting, released in October 2018, confirmed the Committee was in broad agreement to continue with the gradual path of policy normalization. With expectations of an additional rate hike in 2018, and funding pressures over year-end, three-month LIBOR increased 16 basis points (bps) during the month of October to 2.56%.(i)

•  At the December 2018 FOMC meeting, the Committee raised rates for the fourth time in 2018 by 25 bps as widely expected. Committee members

lowered their growth forecasts for 2019 and beyond but reiterated that current economic indicators such as unemployment and gross domestic product (GDP) remained strong. The FOMC decreased the GDP projections to 3.0% for 2018 and 2.3% for 2019. Core inflation remained around the FOMC's 2% target and was expected to reach 2.0% in 2019. Inflation was expected to remain at target levels through 2021. While the FOMC expected two hikes versus the three expected at the September meeting, the markets priced in zero rate hikes for 2019. In January 2019, the release of the December 2018 FOMC minutes confirmed Federal Reserve (Fed) policy was more data dependent and subdued inflation would allow the Committee to be patient in executing further rate hikes in 2019.

•  As expected, no rate action was taken by the FOMC at its January 2019 meeting. Federal Reserve Chairman Jerome Powell started a new practice of holding a press conference after every central bank meeting to improve communications. The Fed's statement showed that the FOMC decided to maintain the target range for the federal funds rate at 2.25% to 2.50%, and the FOMC downgraded its characterization of economic growth from "rising at a strong rate" in December 2018 to "solid" in January 2019. The overall tone of the conference was dovish. This called into question the expectations for future monetary policy, especially since there was no explicit mention of a rate hike. A notable change in the FOMC statement was the lack of forward guidance.

•  In his semiannual testimony on the state of monetary policy to Congress in February 2019, Fed Chairman Powell characterized the economy as "strong." In his speech, Chairman Powell stated that "muted" inflation pressures as well as economic and financial crosscurrents were conflicting signals influencing the FOMC to take a "patient" approach in delivering policy changes. He maintained the Fed's wait-and-see approach and underscored the need for being data dependent going forward. Chairman Powell noted that risks to global growth posed a key threat to the outlook, especially in Europe and China. In his statement, he commented that "uncertainty is the enemy of business" and that economic activity may have been impacted.


14


2019 Annual Report

October 31, 2019

Investment Overview (unaudited) (cont'd)

Prime Portfolio

•  At its March 2019 meeting, the FOMC voted unanimously to maintain the target range for the federal funds rate at 2.25% to 2.50%. The FOMC's forward-looking statements were more dovish than anticipated, with the Committee downgrading expectations for the economy, lowering its outlook for policy rates and ending its balance sheet normalization sooner than expected. In its more dovish outlook, the FOMC revised its federal funds projections to zero rate hikes in 2019 (down from the Committee's expectations of two rate hikes during their December 2018 meeting) and only one rate hike in 2020. As a result, the median fed funds rate forecast was lowered to 2.4% from 2.9% for 2019 and reduced to 2.6% from 3.1% for 2020. The pace of balance sheet normalization would also be cut in half to $15 billion starting in May and would end altogether in September 2019, earlier than many economists expected. Fed Chairman Powell stated that while the labor market remained strong, growth in economic activity had decelerated in the first quarter of 2019 due to a number of factors, including slowing growth in Europe and China, concerns over tariffs and the effects of global trade tensions. The FOMC noted that in light of global economic and financial developments and muted inflation pressures, the Committee would be patient as it determined the appropriate path of future policy adjustments.

•  GDP for the first quarter of 2019 came in at 3.1%, slightly below expectations with net exports and inventories supporting quarterly growth.(ii) The labor market remained resilient with the unemployment rate falling to 3.8% in the quarter from 4.0% in January 2019.(iii) In addition, the pace of non-farm payrolls averaged 174,000 in the first quarter of 2019.

•  At the conclusion of its May 1, 2019 meeting, as expected, the FOMC kept the range for the federal funds rate unchanged at 2.25% to 2.50%. The FOMC reiterated its intentions to remain "patient" as it decided the path of future policy adjustments. FOMC participants believed the most likely outcome for the U.S. economy would be sustained expansion of economic activity, with strong labor market conditions and inflation nearing its 2% target. Regarding economic conditions, Fed Chairman Powell acknowledged that economic

growth and job creation since the Fed's prior meeting in March 2019 had been stronger than anticipated. In addition, Chairman Powell highlighted that international risks had moderated since the beginning of 2019, as evidenced by some recent improvement in global economic data, a delayed Brexit and reports of some progress in U.S.-China trade negotiations. While the federal funds rate remained unchanged, the FOMC lowered the interest on excess reserves (IOER) by 0.05% to 2.35% from 2.40%. Chairman Powell noted the decrease in the IOER was a technical adjustment designed to control overnight rates in the fed funds market and should not be viewed as any change to overall monetary policy.

•  The Trump administration's decision on May 10, 2019 to raise tariffs to 25% on $200 billion of Chinese goods and the threat to levy further tariffs on another $300 billion of Chinese goods following the G20 meeting in June 2019 stoked concerns that the U.S.-China trade war could be longer and more pronounced than expected. The Trump administration's decision on May 29, 2019 to threaten Mexico with a 5% tariff only exacerbated these concerns and raised the specter of additional U.S. trade wars with other countries.

•  Fearing continued trade tensions could weaken economic growth, investors fled to U.S. Treasuries in May 2019. The Treasury yield curve flattened significantly, with the 2-, 5- and 10-year yields falling 34 bps, 37 bps and 38 bps, respectively, throughout the month, and the belly of the curve becoming inverted.(iv) As of May 31, 2019, the 10-year Treasury bond was yielding 22 bps less than the 3-month Treasury bill. The 5-year Treasury bond was yielding 43 bps less than the 3-month Treasury bill as of the same date. Given this shift in sentiment, the market was pricing in at least two rate cuts by the Fed by the end of 2019.

•  At its June 18-19, 2019 meeting, the FOMC kept the range for the federal funds rate unchanged at 2.25% to 2.50%. While it kept policy rates unchanged, the FOMC removed the word "patient" in describing its approach to monetary policy and reiterated it remains ready to take appropriate action should economic uncertainties, such as international trade tensions, negatively impact global growth and inflation.


15


2019 Annual Report

October 31, 2019

Investment Overview (unaudited) (cont'd)

Prime Portfolio

•  In its June 2019 updated "dot plot," the FOMC showed that 8 out of 17 officials expected lower rates by the end of 2019 — with 7 members anticipating 50 bps of easing. As a result, the average federal funds forecast for 2019 fell to 2.17% (down from 2.49% during the March 2019 FOMC meeting) while the median remained unchanged at 2.38%. Looking ahead, the median federal funds forecast for 2020 was lowered to 2.13% (down from 2.63%) and the median forecast for 2021 was lowered to 2.38% (down from 2.63%).

•  While reconfirming its 2% inflation target, the Fed acknowledged a decline in near-term inflation expectations and cut its median Personal Consumption Expenditures (PCE) and core PCE inflation forecasts for 2019 to 1.5% and 1.8%, respectively. GDP growth projections for 2019 remained unchanged while the unemployment rate was revised lower to 3.6% from 3.7%.

•  Subsequent to the June 2019 FOMC meeting, Fed Chairman Powell spoke on June 25 at the Council on Foreign Relations, where he reiterated economic crosscurrents have reemerged and risks to the baseline economic outlook have grown.

•  Citing weakening global growth and muted inflation pressures, the FOMC lowered the range for the federal funds rate by 0.25% to 2.00% to 2.25% at its July 2019 meeting. While acknowledging the U.S. economy and labor market remained strong, Fed Chairman Powell highlighted global uncertainties, including weaker growth in the European Union and China as risks to the outlook justifying the rate cut. The FOMC reiterated it would "act as appropriate to sustain the expansion," thus leaving the door open to potential future rate cuts if global economic growth continued to weaken. In addition to lowering the federal funds rate, the FOMC lowered the IOER rate by 0.25% to 2.10% and ended its balance sheet run-off program two months earlier than expected.

•  Second quarter 2019 GDP cooled to 2.1% as weaknesses were evident. Businesses showed wariness to expand and delayed investment decisions as uncertainties surrounding trade tension mounted. However, personal consumption remained strong and contributed a substantial share of economic growth. The labor market remained

strong with the unemployment rate falling to 3.7% in June 2019. The pace of non-farm payrolls averaged 152,000 in the second quarter of 2019, down from the first quarter.

•  On August 1, 2019, President Trump announced the U.S. would impose a 10% tariff on the remaining $300 billion of Chinese imports starting September 1 after negotiations failed to make progress. China pledged to retaliate. The sharp decline in the value of the Chinese yuan that followed led the Trump administration to formally label China a currency manipulator.

•  The August 2019 employment data showed weaker-than-expected job gains with downward revisions to prior months, but wage growth was surprisingly stronger than expected. Comments from Fed Chairman Powell reflected the challenges of responding to an economy where the job market and the consumer remained strong but was facing headwinds such as the rising trade tensions compounded by a general slowdown in global growth.

•  At the September 2019 FOMC meeting, the Committee cut policy rates by 25 bps to 1.75% to 2.00% as members "judged that downside risks to the outlook for economic activity had increased since their July meeting, particularly those stemming from trade policy uncertainty and conditions abroad." Separately, September 2019 witnessed a spike in overnight repo funding levels, which is not unusual given seasonal pressures related to corporate tax payments and the end of the quarter. However, a confluence of other factors such as the market absorbing an increased supply of Treasury securities after the recent lifting of the debt ceiling, exacerbated by lower bank reserves and tight bank balance sheets, raised the Secured Overnight Financing Rate as high as 5.25%. The Federal Reserve intervened with temporary open market operations and normalized the repo market for the remainder of September.

•  Third quarter GDP expanded more than expected at a 1.9% annualized rate, largely due to strength in the consumer spending sector, the biggest part of the economy. After an upward revision to 180,000 jobs created in September 2019, third quarter 2019 non-farm payrolls averaged 188,000, a promising


16


2019 Annual Report

October 31, 2019

Investment Overview (unaudited) (cont'd)

Prime Portfolio

sign that workers continue to find employment opportunities. The jobless rate unexpectedly dropped 0.2% to 3.5% in September 2019, the lowest reading since December 1969.

•  As widely expected, the Fed cut interest rates for the third time in 2019 at its October FOMC meeting. In the prepared statement, the Committee dropped its pledge to "act as appropriate to sustain the expansion," while adding in promises to monitor incoming data as members "assess the appropriate path of the target for the federal funds rate." Changes to the statement suggested that policy makers are comfortable leaving interest rates on hold in the near term, while the market ended the month pricing in less than one additional rate cut over the next year. In addition, on October 11, 2019, the Fed announced that it will begin buying $60 billion of Treasury bills per month to improve its control over monetary policy, with a goal of expanding its balance sheet to $1.7 trillion by year-end. While purely technical in nature, short-end Treasuries rallied on the back of the news, further flattening the yield curve. At the same time, Fed also announced that it will "conduct term and overnight repurchase agreement operations at least through January of next year to ensure that the supply of reserves remains ample."

Management Strategies

•  As of October 31, 2019, the Fund had net assets of approximately $12.5 billion. The Fund's weighted average maturity (WAM) and weighted average life (WAL) were 33 days and 86 days, respectively.

•  We remain comfortable in our conservative approach to managing this Fund, focusing on securities with high liquidity and short durations. We believe our investment process and focus on credit research and risk management, combined with the high degree of liquidity and short maturity profile of the Fund, has put us in a favorable position to respond to both market events and expectations of changes to monetary policy.

(i)  Source: Bloomberg L.P.

(ii)  Source for GDP data shown in this report: U.S. Bureau of Economic Analysis

(iii)  Source for unemployment and non-farm payrolls data shown in this report: U.S. Bureau of Labor Statistics

(iv)  Source for Treasury yields data shown in this report: Bloomberg L.P.


17


2019 Annual Report

October 31, 2019

Portfolio of Investments

Prime Portfolio

    Face
Amount
(000)		   Value
(000)		  

Certificates of Deposit (2.7%)

  

International Banks (2.7%)

  

Deutsche Zentral Genoss

  

2.09%, 12/12/19

  

$

108,875

    

$

108,896

    

Toronto Dominion Bank,

  

2.17%, 6/12/20

    

10,100

      

10,118

    

2.25%, 1/8/20

    

125,000

      

125,110

    

2.39%, 11/6/19

    

100,000

      

100,010

    

Total Certificates of Deposit (Cost $343,979)

    

344,134

    

Commercial Paper (a) (20.2%)

  

Asset-Backed Diversified Financial Services (2.1%)

  

Collateralized Commercial Paper Co. LLC

  

2.64%, 12/20/19

    

20,000

      

19,951

    

Collateralized Commercial Paper FLEX Co. LLC,

  

2.16%, 12/18/19

    

160,000

      

159,624

    

2.31%, 1/31/20

    

55,000

      

54,747

    

2.72%, 12/19/19

    

35,000

      

34,916

    
     

269,238

    

Asset-Backed Insurance (1.3%)

  

MetLife Short Term Funding LLC,

  

2.34%, 12/17/19

    

69,090

      

68,938

    

2.49%, 12/13/19

    

88,000

      

87,825

    

   

156,763

    

Automobiles (1.9%)

  

Toyota Credit Canada Inc.

  

1.95%, 5/11/20

    

90,000

      

89,121

    

Toyota Motor Credit Corp.

  

1.92%, 5/11/20

    

150,000

      

148,535

    
     

237,656

    

Computer Technology (0.1%)

  

Apple, Inc.,

  

2.39%, 1/2/20

    

10,000

      

9,971

    

2.40%, 1/17/20

    

5,000

      

4,982

    
     

14,953

    

Diversified Financial Services (5.5%)

  

Citigroup Global Markets, Inc.,

  

2.22%, 4/24/20

    

50,000

      

49,531

    

2.65%, 12/19/19

    

80,000

      

79,821

    

National Securities Clearing Corp.,

  

2.27%, 1/24/20

    

125,000

      

124,486

    

2.43%, 12/4/19 - 12/10/19

    

75,000

      

74,869

    

2.43%, 12/6/19 (b)

    

25,000

      

24,959

    

2.47%, 6/3/20 (b)

    

40,000

      

39,556

    

2.52%, 1/7/20

    

100,000

      

99,673

    

Ontario Teachers Financial Trust,

  

2.31%, 1/15/20

    

20,000

      

19,928

    

2.32%, 1/13/20

    

78,000

      

77,726

    

2.60%, 11/4/19 - 12/11/19

    

75,000

      

74,945

    

2.61%, 1/10/20

    

25,000

      

24,916

    

   

690,410

    
    Face
Amount
(000)		   Value
(000)		  

Domestic Bank (0.4%)

  

JP Morgan Securities LLC

  

2.30%, 3/27/20 (b)

  

$

50,000

    

$

49,636

    

International Banks (8.9%)

  

Banque Et Caisse,

  

2.22%, 4/24/20

    

26,000

      

25,766

    

2.25%, 3/6/20

    

38,000

      

37,770

    

2.26%, 2/18/20

    

25,000

      

24,871

    

2.27%, 2/21/20

    

70,000

      

69,629

    

DBS Bank Ltd.

  

2.31%, 1/7/20

    

25,000

      

24,917

    

Deutsche Zentral Genoss

  

2.15%, 12/19/19

    

100,000

      

99,765

    

Erste Abwicklungsanstalt

  

2.18%, 4/15/20

    

25,000

      

24,793

    

Nationwide Building Society,

  

2.10%, 2/4/20

    

45,000

      

44,793

    

2.14%, 3/6/20

    

38,500

      

38,259

    

2.32%, 1/21/20

    

77,500

      

77,197

    

Natixis NY

  

2.40%, 12/5/19

    

125,000

      

124,787

    

Royal Bank of Canada,

  

2.18%, 12/19/19 - 12/20/19

    

375,000

      

374,104

    

Sumitomo Mitsui Trust NY

  

1.94%, 5/1/20

    

50,000

      

49,506

    

Suncorp-Metway Ltd.

  

2.17%, 3/18/20

    

37,000

      

36,718

    

Suncorp-Metway Ltd.

  

2.58%, 11/12/19

    

18,000

      

17,989

    

Toronto Dominion Bank

  

2.30%, 12/16/19

    

50,000

      

49,887

    

   

1,120,751

    

Total Commercial Paper (Cost $2,537,177)

    

2,539,407

    

Corporate Bonds (0.7%)

  

International Banks (0.7%)

  

Commonwealth Bank of Australia,

  

2.25%, 3/10/20 (b)

    

13,173

      

13,190

    

2.30%, 3/12/20

    

17,795

      

17,821

    

ING Bank NV

  

2.45%, 3/16/20 (b)

    

10,321

      

10,342

    

Royal Bank of Canada

  

2.13%, 3/2/20

    

11,702

      

11,712

    

Sumitomo Mitsui Banking Corp.

  

2.45%, 1/16/20

    

35,480

      

35,522

    

Total Corporate Bonds (Cost $88,488)

    

88,587

    

Floating Rate Notes (c) (30.8%)

  

Asset-Backed Diversified Financial Services (0.5%)

  

Collateralized Commercial Paper Co. LLC,

  
1 Month USD LIBOR + 0.17%,
1.97%, 1/27/20 (b)		    

35,000

      

35,000

    
3 Month USD LIBOR + 0.12%,
2.05%, 1/28/20 (b)		    

25,000

      

25,004

    
     

60,004

    

The accompanying notes are an integral part of the financial statements.
18


2019 Annual Report

October 31, 2019

Portfolio of Investments (cont'd)

Prime Portfolio

    Face
Amount
(000)		   Value
(000)		  

Automobiles (1.2%)

  

Toyota Motor Credit Corp.,

  
1 Month USD LIBOR + 0.15%,
2.15%, 7/13/20		  

$

100,000

    

$

100,000

    
1 Month USD LIBOR + 0.21%,
2.20%, 4/30/20		    

50,000

      

49,994

    
     

149,994

    

Domestic Banks (3.9%)

  

HSBC Bank USA NA,

  
1 Month USD LIBOR + 0.17%,
2.32%, 12/27/19		    

105,000

      

105,022

    

ING U.S. Funding LLC,

  
3 Month USD LIBOR + 0.14%,
2.15%, 7/9/20 (b)		    

50,000

      

50,015

    
1 Month USD LIBOR + 0.17%,
2.18%, 1/3/20 (b)		    

150,000

      

150,092

    
3 Month USD LIBOR + 0.13%,
2.22%, 7/1/20 (b)		    

100,000

      

100,023

    
1 Month USD LIBOR + 0.33%,
2.33%, 7/6/20 (b)		    

80,000

      

80,023

    
     

485,175

    

International Banks (25.2%)

  

Bank of Montreal,

  

SOFR + 0.20%, 2.02%, 6/5/20

    

40,000

      

40,001

    

Bank of Nova Scotia,

  
1 Month USD LIBOR + 0.25%,
2.13%, 6/18/20 (b)		    

170,000

      

169,974

    
3 Month USD LIBOR + 0.02%,
2.17%, 3/18/20		    

10,000

      

10,001

    

BNZ International Funding Ltd.,

  
3 Month USD LIBOR + 0.14%,
2.14%, 7/15/20 (b)		    

105,000

      

105,011

    
3 Month USD LIBOR + 0.70%,
2.85%, 2/21/20 (b)		    

17,327

      

17,362

    

Canadian Imperial Bank of Commerce,

  
1 Month USD LIBOR + 0.26%,
2.11%, 6/19/20 (b)		    

180,000

      

180,000

    
1 Month USD LIBOR + 0.25%,
2.16%, 6/15/20 (b)		    

175,000

      

174,996

    

Commonwealth Bank of Australia,

  
1 Month USD LIBOR + 0.18%,
2.09%, 3/12/20 (b)		    

62,500

      

62,513

    
3 Month USD LIBOR + 0.04%,
2.13%, 4/3/20 (b)		    

15,000

      

15,001

    
3 Month USD LIBOR + 0.45%,
2.58%, 3/10/20 (b)		    

14,405

      

14,429

    

Credit Agricole Corporate and Investment Bank,

  
3 Month USD LIBOR + 0.13%,
2.29%, 3/20/20		    

50,000

      

50,010

    

Credit Suisse AG,

  
1 Month USD LIBOR + 0.16%,
2.01%, 12/20/19		    

50,000

      

50,009

    

Credit Suisse NY,

  
3 Month USD LIBOR + 0.17%,
2.18%, 7/16/20		    

129,750

      

129,763

    
    Face
Amount
(000)		   Value
(000)		  

DNB Bank ASA,

  
3 Month USD LIBOR + 0.14%,
2.18%, 4/6/20		  

$

90,000

    

$

90,041

    

HSBC Bank PLC,

  
3 Month USD LIBOR + 0.17%,
2.17%, 7/15/20 - 7/16/20 (b)		    

250,000

      

250,025

    
3 Month USD LIBOR + 0.19%,
2.19%, 7/20/20 (b)		    

90,000

      

90,000

    
1 Month USD LIBOR + 0.35%,
2.33%, 7/8/20 (b)		    

85,000

      

85,043

    

Lloyds Bank PLC,

  
1 Month USD LIBOR + 0.16%,
1.98%, 12/23/19		    

125,000

      

125,023

    

Natixis NY,

  
1 Month USD LIBOR + 0.16%,
1.98%, 12/23/19		    

150,000

      

150,028

    

Nordea Bank AB,

  
3 Month USD LIBOR + 0.22%,
2.22%, 1/17/20		    

12,000

      

12,005

    
1 Month USD LIBOR + 0.27%,
2.32%, 6/26/20		    

75,000

      

75,011

    
3 Month USD LIBOR + 0.30%,
2.43%, 6/5/20		    

175,000

      

175,262

    
3 Month USD LIBOR + 0.47%,
2.59%, 5/29/20 (b)		    

41,585

      

41,686

    

Skandinaviska Enskilda Banken AB,

  
1 Month USD LIBOR + 0.28%,
2.08%, 7/30/20		    

173,000

      

173,000

    
1 Month USD LIBOR + 0.28%,
2.09%, 7/29/20		    

135,000

      

135,000

    
3 Month USD LIBOR + 0.15%,
2.16%, 1/9/20		    

20,000

      

20,003

    
1 Month USD LIBOR + 0.28%,
2.30%, 7/2/20		    

145,000

      

145,049

    

Sumitomo Mitsui Banking Corp.,

  
3 Month USD LIBOR + 0.35%,
2.35%, 1/17/20		    

30,373

      

30,402

    

Svenska Handelsbanken AB,

  
1 Month USD LIBOR + 0.25%,
2.07%, 6/24/20		    

155,000

      

155,006

    

Toronto Dominion Bank,

  
1 Month USD LIBOR + 0.27%,
2.09%, 6/23/20 (b)		    

75,000

      

75,026

    
1 Month USD LIBOR + 0.30%,
2.10%, 6/30/20 (b)		    

105,000

      

105,053

    
3 Month USD LIBOR + 0.18%,
2.12%, 1/24/20		    

50,000

      

50,019

    
1 Month USD LIBOR + 0.21%,
2.20%, 5/5/20 (b)		    

40,000

      

40,001

    

UBS AG London,

  
3 Month USD LIBOR + 0.20%,
2.18%, 7/10/20 (b)		    

100,000

      

100,017

    

Westpac Banking Corp.,

  
3 Month USD LIBOR + 0.28%,
2.44%, 5/15/20		    

23,165

      

23,199

    
     

3,164,969

    

Total Floating Rate Notes (Cost $3,859,524)

    

3,860,142

    

The accompanying notes are an integral part of the financial statements.
19


2019 Annual Report

October 31, 2019

Portfolio of Investments (cont'd)

Prime Portfolio

    Face
Amount
(000)		   Value
(000)		  

Repurchase Agreements (36.8%)

  
ABN Amro Securities LLC, (Interest in $600,000
joint repurchase agreement, 1.75% dated
10/31/19 under which ABN Amro Securities
LLC, will repurchase the securities provided
as collateral for $600,029 on 11/1/19.
The securities provided as collateral at the
end of the period held with BNY Mellon,
tri-party agent, were various U.S. Government
agency securities and U.S. Government
obligations with various maturities to
9/20/47; valued at $615,608)		  

$

1,000

    

$

1,000

    
ABN Amro Securities LLC, (1.90%, dated
10/31/19, due 11/1/19; proceeds $23,001;
fully collateralized by various Corporate
Bonds, 1.63% - 7.85% due 11/3/19 - 3/1/50,
by a U.S. Government agency security, 4.50%
due 4/1/40 and various U.S. Government
obligations, 1.38% - 2.25% due
1/15/20 - 11/15/27 (d); valued at $24,051)		    

23,000

      

23,000

    
Bank of America Securities, Inc., (1.80%, dated
10/31/19, due 11/1/19; proceeds
$197,010; fully collateralized by various
Common Stocks and Preferred Stocks;
valued at $206,850)		    

197,000

      

197,000

    
Bank of America Securities, Inc., (1.85%,
dated 10/31/19, due 11/1/19; proceeds
$59,003; fully collateralized by various
Corporate Bonds, 3.50% - 4.90% due
11/15/25 - 11/30/46; valued at $61,950)		    

59,000

      

59,000

    
Bank of Nova Scotia, (2.00%, dated 10/31/19,
due 11/1/19; proceeds $265,015; fully
collateralized by various Corporate Bonds,
2.35% - 8.25% due 8/15/20 - 8/15/25;
valued at $280,900)		    

265,000

      

265,000

    
BMO Capital Markets Corp., (1.90%, dated
10/31/19, due 11/1/19; proceeds $91,505;
fully collateralized by various Corporate Bonds,
2.20% - 2.60% due 11/2/20 - 4/16/24;
valued at $96,075)		    

91,500

      

91,500

    
BMO Capital Markets Corp., (2.08%, dated
9/19/19, due 12/13/19; proceeds
$216,056; fully collateralized by various
U.S. Government agency securities,
1.91% - 3.22% due 9/17/21 - 3/13/26,
U.S. Government obligations, 0.25% - 1.63%
due 9/15/20 - 1/15/25; and various
Corporate Bonds, 2.10% - 4.65% due
7/29/20 - 2/15/50 (d); valued at $221,125)
(Demand 11/7/19)		    

215,000

      

215,000

    
BMO Capital Markets Corp., (2.08%, dated
9/20/19, due 12/13/19; proceeds $74,359;
fully collateralized by various Corporate
Bonds, 2.48% - 9.40% due 1/13/20 - 6/15/48;
valued at $77,700) (Demand 11/7/19)		    

74,000

      

74,000

    
BMO Capital Markets Corp., (2.22%, dated
8/1/19, due 11/1/19; proceeds $125,709;
fully collateralized by various Corporate
Bonds, 2.00% - 3.30% due 4/1/20 - 10/2/29;
valued at $131,250)		    

125,000

      

125,000

    
    Face
Amount
(000)		   Value
(000)		  
BNP Paribas Prime Brokerage, Inc., (2.03%,
dated 10/31/19, due 11/1/19; proceeds
$353,020; fully collateralized by various
Corporate Bonds, 2.25% - 11.38% due
2/15/21 - 5/15/87 (d); valued at $373,286)		  

$

353,000

    

$

353,000

    
BNP Paribas Prime Brokerage, Inc., (2.10% (c),
dated 4/18/19, due 1/21/20; proceeds
$71,135; fully collateralized by various
Corporate Bonds, 4.88% - 10.75% due
2/15/21 - 11/1/43 (d); valued at $74,637)
(Demand 11/1/19)		    

70,000

      

70,000

    
BNP Paribas Securities Corp., (2.40% (c),
dated 3/12/19, due 1/29/20; proceeds
$163,445; fully collateralized by various
Corporate Bonds, 4.75% - 10.00% due
11/15/21 - 2/14/29 (d); valued at $169,576)
(Demand 12/12/19)		    

160,000

      

160,000

    
BNP Paribas Securities Corp., (2.45% (c),
dated 8/7/19, due 1/29/20; proceeds
$25,298; fully collateralized by various
Corporate Bonds, 4.75% - 9.75% due
11/15/22 - 7/15/25; valued at $26,501)
(Demand 11/7/19)		    

25,000

      

25,000

    
Credit Agricole Corporate and Investment Bank,
(Interest in $575,000 joint repurchase
agreement, 1.75% dated 10/31/19 under
which Credit Agricole Corp., will repurchase
the securities provided as collateral for
$575,028 on 11/1/19. The securities
provided as collateral at the end of the period
held with BNY Mellon, tri-party agent, were
various a U.S. Government agency security
with various maturities to 7/1/48;
valued at $592,250)		    

2,000

      

2,000

    
HSBC Securities USA, Inc., (1.90%, dated
10/31/19, due 11/1/19; proceeds $1,000;
fully collateralized by various Corporate Bonds,
2.88% - 4.39% due 4/15/26 - 8/15/37;
valued at $1,050)		    

1,000

      

1,000

    
HSBC Securities USA, Inc., (1.90%, dated
10/31/19, due 11/1/19; proceeds $40,002;
fully collateralized by various Corporate
Bonds, 2.25% - 8.75% due
1/25/21 - 11/16/48 (d); valued at $42,002)		    

40,000

      

40,000

    
HSBC Securities USA, Inc., (2.00%, dated
10/31/19, due 11/1/19; proceeds $49,003;
fully collateralized by various Corporate
Bonds, 4.88% - 8.00% due
6/1/22 - 10/15/39 (d); valued at $51,850)		    

49,000

      

49,000

    
ING Financial Markets LLC, (1.90%, dated
10/31/19, due 11/1/19; proceeds
$122,006; fully collateralized by various
Corporate Bonds, 1.63% - 5.88% due
3/16/20 - 9/1/48 (d); valued at $128,100)		    

122,000

      

122,000

    
ING Financial Markets LLC, (1.95%, dated
10/31/19, due 11/1/19; proceeds
$40,002; fully collateralized by various
Corporate Bonds, 2.88% - 8.00% due
9/15/20 - 6/2/27; valued at $42,322)		    

40,000

      

40,000

    

The accompanying notes are an integral part of the financial statements.
20


2019 Annual Report

October 31, 2019

Portfolio of Investments (cont'd)

Prime Portfolio

    Face
Amount
(000)		   Value
(000)		  

Repurchase Agreements (cont'd)

  
JP Morgan Securities LLC, (2.19% (c), dated
9/3/19, due 5/29/20; proceeds $172,782;
fully collateralized by various Corporate
Bonds, 3.95% - 11.50% due
4/1/20 - 11/15/66 (d); valued at $180,009)
(Demand 11/29/19)		  

$

170,000

    

$

170,000

    
JP Morgan Securities LLC, (1.72% (c), dated
8/22/19, due 11/7/19; proceeds $65,239;
fully collateralized by various Corporate
Bonds,2.38% - 4.61% due
5/26/20 - 5/15/67 (d);
valued at $68,366) (Demand 11/1/19)		    

65,000

      

65,000

    
Mizuho Securities USA LLC, (1.90%, dated
10/31/19, due 11/1/19; proceeds $48,203;
fully collateralized by various Common Stocks
and Preferred Stocks; valued at $50,610)		    

48,200

      

48,200

    
Natixis SA, (Interest in $2,500,000 joint
repurchase agreement, 1.75% dated
10/31/19 under which Natixis SA, will
repurchase the securities provided as
collateral for $2,500,122 on 11/1/19.
The securities provided as collateral at the
end of the period held with BNY Mellon,
tri-party agent, were various U.S. Government
agency securities and U.S. Government
obligations with various maturities
to 9/15/65; valued at $2,567,957)		    

1,496,000

      

1,496,000

    
RBC Capital Markets LLC, (1.90%, dated
10/31/19, due 11/7/19; proceeds
$210,078; fully collateralized by various
Corporate Bonds, 1.23% - 7.60% due
2/15/20 - 7/1/97 (d); valued at $220,500)		    

210,000

      

210,000

    
Scotia Capital USA, Inc., (1.75% (c), dated
10/02/19, due 11/7/19; proceeds
$140,245; fully collateralized by various
Corporate Bonds, 1.63% - 11.50% due
1/15/20 - 5/15/67; valued at $147,561)
(Demand 11/1/19)		    

140,000

      

140,000

    
Wells Fargo Securities LLC, (Interest in
$1,165,000 joint repurchase agreement,
1.75% dated 10/31/19 under which Wells
Fargo Securities LLC, will repurchase the
securities provided as collateral for
$1,165,057 on 11/1/19. The securities
provided as collateral at the end of the period
held with BNY Mellon, tri-party agent, were
various U.S. Government agency securities
with various maturities to 9/1/44; valued at
$1,199,950)		    

3,000

      

3,000

    
Wells Fargo Securities LLC, (1.79%, dated
10/31/19, due 11/7/19; proceeds
$115,040; fully collateralized by various
Common Stocks and Preferred Stocks;
valued at $120,750)		    

115,000

      

115,000

    
Wells Fargo Securities LLC, (1.81%, dated
10/29/19, due 11/5/19; proceeds
$140,049; fully collateralized by various
Corporate Bonds, 1.38% - 4.08% due
11/15/19 - 8/15/50 (d); valued at $147,000)		    

140,000

      

140,000

    
    Face
Amount
(000)		   Value
(000)		  
Wells Fargo Securities LLC, (1.90%, dated
10/31/19, due 11/1/19; proceeds $70,004;
fully collateralized by various Corporate
Bonds, 0.00% - 6.00% due
11/8/19 - 7/15/64 (d); valued at $73,500)		  

$

70,000

    

$

70,000

    
Wells Fargo Securities LLC, (1.95%, dated
10/31/19, due 11/1/19; proceeds $76,504;
fully collateralized by various Common Stocks
and Preferred Stocks; valued at $80,325)		    

76,500

      

76,500

    
Wells Fargo Securities LLC, (2.32%, dated
9/12/19, due 12/11/19; proceeds $10,058;
fully collateralized by a Corporate Bond,
4.00% due 7/23/25; valued at $10,501)		    

10,000

      

10,000

    
Wells Fargo Securities LLC, (2.36%, dated
9/19/19, due 12/19/19; proceeds
$100,597; fully collateralized by various
Corporate Bonds, 1.70% - 7.75% due
11/5/19 - 7/1/47; valued at $105,000)		    

100,000

      

100,000

    
Wells Fargo Securities LLC, (2.53%, dated
9/20/19, due 12/19/19; proceeds
$60,380; fully collateralized by various
Corporate Bonds, 2.20% - 11.25% due
4/5/20 - 4/20/67 (d); valued at $63,569)		    

60,000

      

60,000

    

Total Repurchase Agreements (Cost $4,616,200)

    

4,616,200

    

Time Deposits (8.0%)

  

International Banks (8.0%)

  

Credit Agricole Corporate and Investment Bank

  

1.52%, 11/1/19

    

125,000

      

125,000

    

DNB Bank ASA (New York Branch)

  

1.53%, 11/1/19

    

200,000

      

200,000

    

Mizuho Bank Ltd.

  

1.65%, 11/1/19

    

325,000

      

325,000

    

Natixis (Cayman Islands)

  

1.54%, 11/1/19

    

348,000

      

348,000

    

Total Time Deposits (Cost $998,000)

    

998,000

    

Total Investments (99.2%) (Cost $12,443,368) (e)

    

12,446,470

    

Other Assets in Excess of Liabilities (0.8%)

    

101,271

    

Net Assets (100.0%)

  

$

12,547,741

    

(a)  The rates shown are the effective yields at the date of purchase.

(b)  144A security — Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid.

(c)  Floating or variable rate securities: The rates disclosed are as of October 31, 2019. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description in the Portfolio of Investments. Certain variable rate securities may not be 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 in the Portfolio of Investments.

(d)  Perpetual — One or more securities do not have a predetermined maturity date. Rates for these securities are fixed for a period of time, after which they revert to a floating rate. Interest rates in effect are as of October 31, 2019.

The accompanying notes are an integral part of the financial statements.
21


2019 Annual Report

October 31, 2019

Portfolio of Investments (cont'd)

Prime Portfolio

(e)  At October 31, 2019, the aggregate cost for federal income tax purposes is approximately $12,443,368,000. The aggregate gross unrealized appreciation is approximately $3,155,000 and the aggregate gross unrealized depreciation is approximately $53,000, resulting in net unrealized appreciation of approximately $3,102,000.

LIBOR  London Interbank Offered Rate.

SOFR  Secured Overnight Financing Rate.

USD  United States Dollar.

Portfolio Composition

Classification

   Percentage of
Total Investments		  

Repurchase Agreements

    

37.1

%

  

Floating Rate Notes

    

31.0

    

Commercial Paper

    

20.4

    

Time Deposits

    

8.0

    

Other*

    

3.5

    

Total Investments

    

100.0

%

  

*  Industries and/or investment types representing less than 5% of total investments.

The accompanying notes are an integral part of the financial statements.
22


2019 Annual Report

October 31, 2019

Investment Overview (unaudited)

Government Portfolio

The Government Portfolio seeks preservation of capital, daily liquidity and maximum current income. The Fund seeks to maintain a stable net asset value of $1.00 per share by investing exclusively in obligations issued or guaranteed by the U.S. government and its agencies and instrumentalities and in repurchase agreements collateralized by such securities.

Performance

For the fiscal year ended October 31, 2019, the Fund's Institutional Share Class had a total return of 2.20%. For the seven-day period ended October 31, 2019, the Fund's Institutional Share Class provided an annualized current yield of 1.72% (subsidized) and 1.69% (non-subsidized), while its 30-day moving average annualized yield was 1.77% (subsidized) and 1.74% (non-subsidized.) Yield quotation more closely reflects the current earnings of the Fund than the total return. The non-subsidized yield reflects what the yield would have been had a fee and/or expense waiver not been in place during the period shown. Past performance is no guarantee of future results.

Factors Affecting Performance

•  Minutes from the September 2018 Federal Open Market Committee (FOMC or Committee) meeting, released in October 2018, confirmed the Committee was in broad agreement to continue with the gradual path of policy normalization. With expectations of an additional rate hike in 2018, and funding pressures over year-end, three-month LIBOR increased 16 basis points (bps) during the month of October to 2.56%.(i)

•  At the December 2018 FOMC meeting, the Committee raised rates for the fourth time in 2018 by 25 bps as widely expected. Committee members lowered their growth forecasts for 2019 and beyond but reiterated that current economic indicators such as unemployment and gross domestic product (GDP) remained strong. The FOMC decreased the GDP projections to 3.0% for 2018 and 2.3% for 2019. Core inflation remained around the FOMC's 2% target and was expected to reach 2.0% in 2019. Inflation was expected to remain at target levels through 2021. While the FOMC expected two hikes versus the three expected at the September meeting, the markets priced in zero rate hikes for 2019. In January 2019, the release of the December 2018 FOMC minutes confirmed Federal Reserve (Fed) policy was more data dependent and

subdued inflation would allow the Committee to be patient in executing further rate hikes in 2019.

•  As expected, no rate action was taken by the FOMC at its January 2019 meeting. Federal Reserve Chairman Jerome Powell started a new practice of holding a press conference after every central bank meeting to improve communications. The Fed's statement showed that the FOMC decided to maintain the target range for the federal funds rate at 2.25% to 2.50%, and the FOMC downgraded its characterization of economic growth from "rising at a strong rate" in December 2018 to "solid" in January 2019. The overall tone of the conference was dovish. This called into question the expectations for future monetary policy, especially since there was no explicit mention of a rate hike. A notable change in the FOMC statement was the lack of forward guidance.

•  In his semiannual testimony on the state of monetary policy to Congress in February 2019, Fed Chairman Powell characterized the economy as "strong." In his speech, Chairman Powell stated that "muted" inflation pressures as well as economic and financial crosscurrents were conflicting signals influencing the FOMC to take a "patient" approach in delivering policy changes. He maintained the Fed's wait-and-see approach and underscored the need for being data dependent going forward. Chairman Powell noted that risks to global growth posed a key threat to the outlook, especially in Europe and China. In his statement, he commented that "uncertainty is the enemy of business" and that economic activity may have been impacted.

•  At its March 2019 meeting, the FOMC voted unanimously to maintain the target range for the federal funds rate at 2.25% to 2.50%. The FOMC's forward-looking statements were more dovish than anticipated, with the Committee downgrading expectations for the economy, lowering its outlook for policy rates and ending its balance sheet normalization sooner than expected. In its more dovish outlook, the FOMC revised its federal funds projections to zero rate hikes in 2019 (down from the Committee's expectations of two rate hikes during their December 2018 meeting) and only one rate hike in 2020. As a result, the median fed funds rate forecast was lowered to 2.4% from 2.9% for 2019 and reduced to 2.6% from 3.1% for 2020.


23


2019 Annual Report

October 31, 2019

Investment Overview (unaudited) (cont'd)

Government Portfolio

The pace of balance sheet normalization would also be cut in half to $15 billion starting in May and would end altogether in September 2019, earlier than many economists expected. Fed Chairman Powell stated that while the labor market remained strong, growth in economic activity had decelerated in the first quarter of 2019 due to a number of factors, including slowing growth in Europe and China, concerns over tariffs and the effects of global trade tensions. The FOMC noted that in light of global economic and financial developments and muted inflation pressures, the Committee would be patient as it determined the appropriate path of future policy adjustments.

•  GDP for the first quarter of 2019 came in at 3.1%, slightly below expectations with net exports and inventories supporting quarterly growth.(ii) The labor market remained resilient with the unemployment rate falling to 3.8% in the quarter from 4.0% in January 2019.(iii) In addition, the pace of non-farm payrolls averaged 174,000 in the first quarter of 2019.

•  At the conclusion of its May 1, 2019 meeting, as expected, the FOMC kept the range for the federal funds rate unchanged at 2.25% to 2.50%. The FOMC reiterated its intentions to remain "patient" as it decided the path of future policy adjustments. FOMC participants believed the most likely outcome for the U.S. economy would be sustained expansion of economic activity, with strong labor market conditions and inflation nearing its 2% target. Regarding economic conditions, Fed Chairman Powell acknowledged that economic growth and job creation since the Fed's prior meeting in March 2019 had been stronger than anticipated. In addition, Chairman Powell highlighted that international risks had moderated since the beginning of 2019, as evidenced by some recent improvement in global economic data, a delayed Brexit and reports of some progress in U.S.-China trade negotiations. While the federal funds rate remained unchanged, the FOMC lowered the interest on excess reserves (IOER) by 0.05% to 2.35% from 2.40%. Chairman Powell noted the decrease in the IOER was a technical adjustment designed to control overnight rates in the fed funds market and should not be viewed as any change to overall monetary policy.

•  The Trump administration's decision on May 10, 2019 to raise tariffs to 25% on $200 billion of Chinese goods and the threat to levy further tariffs on another $300 billion of Chinese goods following the G20 meeting in June 2019 stoked concerns that the U.S.-China trade war could be longer and more pronounced than expected. The Trump administration's decision on May 29, 2019 to threaten Mexico with a 5% tariff only exacerbated these concerns and raised the specter of additional U.S. trade wars with other countries.

•  Fearing continued trade tensions could weaken economic growth, investors fled to U.S. Treasuries in May 2019. The Treasury yield curve flattened significantly, with the 2-, 5- and 10-year yields falling 34 bps, 37 bps and 38 bps, respectively, throughout the month, and the belly of the curve becoming inverted.(iv) As of May 31, 2019, the 10-year Treasury bond was yielding 22 bps less than the 3-month Treasury bill. The 5-year Treasury bond was yielding 43 bps less than the 3-month Treasury bill as of the same date. Given this shift in sentiment, the market was pricing in at least two rate cuts by the Fed by the end of 2019.

•  At its June 18-19, 2019 meeting, the FOMC kept the range for the federal funds rate unchanged at 2.25% to 2.50%. While it kept policy rates unchanged, the FOMC removed the word "patient" in describing its approach to monetary policy and reiterated it remains ready to take appropriate action should economic uncertainties, such as international trade tensions, negatively impact global growth and inflation.

•  In its June 2019 updated "dot plot," the FOMC showed that 8 out of 17 officials expected lower rates by the end of 2019 — with 7 members anticipating 50 bps of easing. As a result, the average federal funds forecast for 2019 fell to 2.17% (down from 2.49% during the March 2019 FOMC meeting) while the median remained unchanged at 2.38%. Looking ahead, the median federal funds forecast for 2020 was lowered to 2.13% (down from 2.63%) and the median forecast for 2021 was lowered to 2.38% (down from 2.63%).

•  While reconfirming its 2% inflation target, the Fed acknowledged a decline in near-term inflation expectations and cut its median Personal


24


2019 Annual Report

October 31, 2019

Investment Overview (unaudited) (cont'd)

Government Portfolio

Consumption Expenditures (PCE) and core PCE inflation forecasts for 2019 to 1.5% and 1.8%, respectively. GDP growth projections for 2019 remained unchanged while the unemployment rate was revised lower to 3.6% from 3.7%.

•  Subsequent to the June 2019 FOMC meeting, Fed Chairman Powell spoke on June 25 at the Council on Foreign Relations, where he reiterated economic crosscurrents have reemerged and risks to the baseline economic outlook have grown.

•  Citing weakening global growth and muted inflation pressures, the FOMC lowered the range for the federal funds rate by 0.25% to 2.00% to 2.25% at its July 2019 meeting. While acknowledging the U.S. economy and labor market remained strong, Fed Chairman Powell highlighted global uncertainties, including weaker growth in the European Union and China as risks to the outlook justifying the rate cut. The FOMC reiterated it would "act as appropriate to sustain the expansion," thus leaving the door open to potential future rate cuts if global economic growth continued to weaken. In addition to lowering the federal funds rate, the FOMC lowered the IOER rate by 0.25% to 2.10% and ended its balance sheet run-off program two months earlier than expected.

•  Second quarter 2019 GDP cooled to 2.1% as weaknesses were evident. Businesses showed wariness to expand and delayed investment decisions as uncertainties surrounding trade tension mounted. However, personal consumption remained strong and contributed a substantial share of economic growth. The labor market remained strong with the unemployment rate falling to 3.7% in June 2019. The pace of non-farm payrolls averaged 152,000 in the second quarter of 2019, down from the first quarter.

•  On August 1, 2019, President Trump announced the U.S. would impose a 10% tariff on the remaining $300 billion of Chinese imports starting September 1 after negotiations failed to make progress. China pledged to retaliate. The sharp decline in the value of the Chinese yuan that followed led the Trump administration to formally label China a currency manipulator.

•  The August 2019 employment data showed weaker-than-expected job gains with downward revisions to prior months, but wage growth was surprisingly stronger than expected. Comments from Fed Chairman Powell reflected the challenges of responding to an economy where the job market and the consumer remained strong but was facing headwinds such as the rising trade tensions compounded by a general slowdown in global growth.

•  At the September 2019 FOMC meeting, the Committee cut policy rates by 25 bps to 1.75% to 2.00% as members "judged that downside risks to the outlook for economic activity had increased since their July meeting, particularly those stemming from trade policy uncertainty and conditions abroad." Separately, September 2019 witnessed a spike in overnight repo funding levels, which is not unusual given seasonal pressures related to corporate tax payments and the end of the quarter. However, a confluence of other factors such as the market absorbing an increased supply of Treasury securities after the recent lifting of the debt ceiling, exacerbated by lower bank reserves and tight bank balance sheets, raised the Secured Overnight Financing Rate as high as 5.25%. The Federal Reserve intervened with temporary open market operations and normalized the repo market for the remainder of September.

•  Third quarter GDP expanded more than expected at a 1.9% annualized rate, largely due to strength in the consumer spending sector, the biggest part of the economy. After an upward revision to 180,000 jobs created in September 2019, third quarter 2019 non-farm payrolls averaged 188,000, a promising sign that workers continue to find employment opportunities. The jobless rate unexpectedly dropped 0.2% to 3.5% in September 2019, the lowest reading since December 1969.

•  As widely expected, the Fed cut interest rates for the third time in 2019 at its October FOMC meeting. In the prepared statement, the Committee dropped its pledge to "act as appropriate to sustain the expansion," while adding in promises to monitor incoming data as members "assess the appropriate path of the target for the federal funds rate." Changes to the statement suggested that policy


25


2019 Annual Report

October 31, 2019

Investment Overview (unaudited) (cont'd)

Government Portfolio

makers are comfortable leaving interest rates on hold in the near term, while the market ended the month pricing in less than one additional rate cut over the next year. In addition, on October 11, 2019, the Fed announced that it will begin buying $60 billion of Treasury bills per month to improve its control over monetary policy, with a goal of expanding its balance sheet to $1.7 trillion by year-end. While purely technical in nature, short-end Treasuries rallied on the back of the news, further flattening the yield curve. At the same time, Fed also announced that it will "conduct term and overnight repurchase agreement operations at least through January of next year to ensure that the supply of reserves remains ample."

Management Strategies

•  As of October 31, 2019, the Fund had net assets of approximately $63.8 billion. The Fund's weighted average maturity (WAM) and weighted average life (WAL) were 22 days and 108 days, respectively.

•  We continued to ensure high levels of liquidity and manage the portfolio to be responsive to changes in market conditions and interest rate levels. We purchased fixed and floating-rate U.S. government agency and Treasury debt and continued to hold a significant portion of the Fund in short-term repurchase agreements. We continued to focus on conservative positioning while seeking to maintain a competitive return for investors.

(i)  Source: Bloomberg L.P.

(ii)  Source for GDP data shown in this report: U.S. Bureau of Economic Analysis

(iii)  Source for unemployment and non-farm payrolls data shown in this report: U.S. Bureau of Labor Statistics

(iv)  Source for Treasury yields data shown in this report: Bloomberg L.P.


26


2019 Annual Report

October 31, 2019

Portfolio of Investments

Government Portfolio

    Face
Amount
(000)		   Value
(000)		  

Repurchase Agreements (51.8%)

  
ABN Amro Securities LLC, (Interest in $800,000
joint repurchase agreement, 1.73% dated
10/31/19 under which ABN Amro Securities
LLC, will repurchase the securities provided
as collateral for $800,038 on 11/1/19. The
securities provided as collateral at the end
of the period held with BNY Mellon, tri-party
agent, were various U.S. Government
obligations with various maturities to
5/15/47; valued at $816,000)		  

$

800,000

    

$

800,000

    
ABN Amro Securities LLC, (Interest in $600,000
joint repurchase agreement, 1.75% dated
10/31/19 under which ABN Amro Securities
LLC, will repurchase the securities provided
as collateral for $600,029 on 11/1/19. The
securities provided as collateral at the end
of the period held with BNY Mellon, tri-party
agent, were various U.S. Government agency
securities and U.S. Government obligations
with various maturities to 9/20/47;
valued at $615,608)		    

494,000

      

494,000

    
Bank of America NA, (1.75%, dated 10/31/19,
due 11/1/19; proceeds $100,005; fully
collateralized by a U.S. Government
agency security, 3.00% due 10/20/46;
valued at $103,000)		    

100,000

      

100,000

    
Bank of America Securities, Inc., (Interest in
$900,000 joint repurchase agreement,
1.75% dated 10/31/19 under which
Bank of America Securities, Inc., will
repurchase the securities provided as
collateral for $900,044 on 11/1/19. The
securities provided as collateral at the end
of the period held with BNY Mellon, tri-party
agent, were various U.S. Government agency
securities with various maturities to 10/1/48;
valued at $927,000)		    

900,000

      

900,000

    
Bank of America Securities, Inc., (1.85%, dated
10/18/19, due 11/18/19; proceeds
$500,797; fully collateralized by various
U.S. Government agency securities,
2.50% - 4.50% due 9/1/44 - 7/1/56 (a);
valued at $515,000) (Demand 11/7/19)		    

500,000

      

500,000

    
Bank of Montreal, (1.60%, dated 11/1/19,
due 1/28/20; proceeds $150,587;
(b) (Demand 11/7/19)		    

150,000

      

150,000

    
Bank of Montreal, (1.77%, dated 10/11/19,
due 1/14/20; proceeds $241,121; fully
collateralized by various U.S. Government
agency securities, 3.50% - 7.00% due
4/1/37 - 8/1/48 and U.S. Government
obligations, 0.88% - 3.00% due
1/31/23 - 8/15/46 (a);
valued at $245,975) (Demand 11/7/19)		    

240,000

      

240,000

    
Bank of Montreal, (1.83%, dated 10/8/19, due
11/7/19; proceeds $250,381; fully
collateralized by various U.S. Government
obligations, 0.00% - 7.88% due
12/31/19 - 8/15/48 (a);
valued at $255,000)		    

250,000

      

250,000

    
    Face
Amount
(000)		   Value
(000)		  
Bank of Montreal, (1.83%, dated 10/28/19, due
1/27/20; proceeds $50,231; fully
collateralized by various U.S. Government
agency securities, 0.72% - 4.90% due
2/15/38 - 7/20/69 (a); valued at $52,500)
(Demand 11/7/19)		  

$

50,000

    

$

50,000

    
Bank of Montreal, (1.86%, dated 10/28/19, due
11/29/19; proceeds $50,083; fully
collateralized by various U.S. Government
agency securities, 1.83% - 6.00% due
9/15/40 - 2/20/69 (a); valued at $52,500)
(Demand 11/7/19)		    

50,000

      

50,000

    
Bank of Montreal, (1.87%, dated 10/21/19, due
11/20/19; proceeds $175,273; fully
collateralized by various U.S. Government
agency securities, 1.11% - 6.06% due
1/15/41 - 6/20/69 (a); valued at $183,750)
(Demand 11/7/19)		    

175,000

      

175,000

    
Bank of Nova Scotia, (1.73%, dated 10/31/19,
due 11/1/19; proceeds $133,006; fully
collateralized by various U.S. Government
obligations, 2.00% - 4.63% due
5/31/24 - 2/15/40; valued at $135,660)		    

133,000

      

133,000

    
Barclays Bank PLC, (1.88% (c), dated 3/6/19,
due 11/7/19; proceeds $202,569; fully
collateralized by various U.S. Government
agency securities, 0.00% - 9.00% due
1/15/21 - 11/25/50 (a);
valued at $209,757) (Demand 11/7/19)		    

200,000

      

200,000

    
BMO Capital Markets Corp., (1.83%, dated
10/28/19, due 1/27/20; proceeds $75,347;
fully collateralized by various U.S. Government
agency securities, 0.00% - 4.70% due
6/25/24 - 4/15/48 (a); valued at $77,926)
(Demand 11/7/19)		    

75,000

      

75,000

    
BMO Capital Markets Corp., (1.90%, dated
10/31/19, due 11/1/19; proceeds $25,001;
fully collateralized by various U.S. Government
agency securities, 0.10% - 4.23% due
8/25/24 - 9/20/69 (a); valued at $26,250)		    

25,000

      

25,000

    
BMO Capital Markets Corp., (2.10%, dated
9/19/19, due 12/13/19; proceeds
$100,496; fully collateralized by various
U.S. Government agency securities,
0.00% - 8.67% due
1/25/22 - 2/20/68 (a);
valued at $104,564) (Demand 11/7/19)		    

100,000

      

100,000

    
BNP Paribas Securities Corp., (Interest in
$1,700,000 joint repurchase agreement,
1.73% dated 10/31/19 under which BNP
Paribas Securities Corp., will repurchase the
securities provided as collateral for
$1,700,082 on 11/1/19. The securities
provided as collateral at the end of the period
held with BNY Mellon, tri-party agent, were
various U.S. Government obligations with
various maturities to 11/15/48; valued at
$1,734,000)		    

1,400,000

      

1,400,000

    

The accompanying notes are an integral part of the financial statements.
27


2019 Annual Report

October 31, 2019

Portfolio of Investments (cont'd)

Government Portfolio

    Face
Amount
(000)		   Value
(000)		  

Repurchase Agreements (cont'd)

  
BNP Paribas Securities Corp., (Interest in
$1,750,000 joint repurchase agreement,
1.75% dated 10/31/19 under which BNP
Paribas Securities Corp., will repurchase the
securities provided as collateral for
$1,750,085 on 11/1/19. The securities
provided as collateral at the end of the period
held with BNY Mellon, tri-party agent, were
various U.S. Government agency securities
and U.S. Government obligations with various
maturities to 12/20/48; valued at
$1,795,703)		  

$

1,473,000

    

$

1,473,000

    
BNP Paribas Securities Corp., (1.81%, dated
10/10/19, due 11/12/19; proceeds
$300,498; fully collateralized by various U.S.
Government agency securities,
0.00% - 4.00% due 7/15/32 and U.S.
Government obligations, 0.00% - 2.88%
due 11/7/19 - 11/15/42 (a); valued at
$307,022) (Demand 11/7/19)		    

300,000

      

300,000

    
BNP Paribas Securities Corp., (1.83%, dated
10/7/19, due 11/6/19; proceeds $300,458;
fully collateralized by various U.S. Government
obligations, 0.00% - 2.75% due
11/7/19 - 2/15/46; valued at $306,000)		    

300,000

      

300,000

    
BNP Paribas Securities Corp., (1.84%, dated
10/7/19, due 11/6/19; proceeds $250,383;
fully collateralized by various U.S. Government
agency securities, 3.50% - 6.00% due
2/1/23 - 10/1/48 and U.S. Government
obligations, 0.00% - 8.13% due
2/6/20 - 11/15/48 (a); valued at $257,022)		    

250,000

      

250,000

    
BNP Paribas Securities Corp., (1.92% (c), dated
11/19/18, due 12/5/19; proceeds
$102,032; fully collateralized by various
U.S. Government agency securities,
0.52% - 7.00% due 7/25/25 - 8/25/48 and
U.S. Government obligations, 0.00% - 7.63%
due 3/31/20 - 8/15/44 (a);
valued at $104,353) (Demand 11/1/19)		    

100,000

      

100,000

    
Canadian Imperial Bank of Commerce, (1.63%,
dated 10/31/19, due 12/12/19; proceeds
$300,571; fully collateralized by various U.S.
Government obligations, 0.13% - 4.38% due
4/15/21 - 11/15/46 (a); valued at $306,000)
(Demand 11/7/19)		    

300,000

      

300,000

    
Citibank NA, (1.86%, dated 10/25/19, due
11/1/19; proceeds $500,181; fully
collateralized by various U.S. Government
agency securities, 1.38% - 7.00% due
3/15/20 - 11/1/48 and U.S. Government
obligations, 0.00% - 8.00% due
11/7/19 - 8/15/48 (a); valued at $510,089)		    

500,000

      

500,000

    
Credit Agricole Corp., (1.73%, dated 10/31/19,
due 11/1/19; proceeds $300,014; fully
collateralized by a U.S. Government obligation,
0.50% due 1/15/28; valued at $306,000)		    

300,000

      

300,000

    
    Face
Amount
(000)		   Value
(000)		  
Credit Agricole Corp., (Interest in $1,100,000
joint repurchase agreement, 1.73% dated
10/31/19 under which Credit Agricole Corp.,
will repurchase the securities provided as
collateral for $1,100,053 on 11/1/19. The
securities provided as collateral at the end of
the period held with BNY Mellon, tri-party
agent, were various U.S. Government
obligations with various maturities to
5/15/28; valued at $1,122,000)		  

$

867,000

    

$

867,000

    
Credit Agricole Corp., (1.75%, dated 10/21/19,
due 11/20/19; proceeds $250,365; fully
collateralized by various U.S. Government
agency securities, 3.00% - 6.00% due
6/1/23 - 11/1/48; valued at $257,500)
(Demand 11/7/19)		    

250,000

      

250,000

    
Credit Agricole Corp., (Interest in $575,000 joint
repurchase agreement, 1.75% dated
10/31/19 under which Credit Agricole Corp.,
will repurchase the securities provided as
collateral for $575,028 on 11/1/19. The
securities provided as collateral at the end of
the period held with BNY Mellon, tri-party
agent, were various U.S. Government agency
securities with various maturities to 7/1/48;
valued at $592,250)		    

489,000

      

489,000

    
Daiwa Capital Markets America, Inc., (1.75%,
dated 10/31/19, due 11/1/19; proceeds
$1,750,085; fully collateralized by various
U.S. Government agency securities,
1.75% - 6.00% due 11/25/19 - 12/1/48 and
U.S. Government obligations, 0.00% - 5.25%
due 11/12/19 - 2/15/45 (a);
valued at $1,796,493)		    

1,750,000

      

1,750,000

    
Fixed Income Clearing Corp., (1.73%, dated
10/31/19, due 11/1/19; proceeds
$4,500,216; fully collateralized by various
U.S. Government obligations, 0.13% - 2.25%
due 4/30/24 - 1/15/25; valued at
$4,590,005)		    

4,500,000

      

4,500,000

    
Goldman Sachs & Co. LLC, (1.70%, dated
10/29/19, due 11/5/19; proceeds
$100,033; fully collateralized by various U.S.
Government agency securities, 2.00% - 5.00%
due 4/16/37 - 4/20/48 (a);
valued at $104,938)		    

100,000

      

100,000

    
HSBC Securities USA, Inc., (1.76%, dated
10/30/19, due 11/6/19; proceeds
$400,137; fully collateralized by various U.S.
Government agency securities, 0.00% - 6.25%
due 11/5/19 - 12/1/48 and U.S. Government
obligations, 0.00% due
5/15/30 - 11/15/41 (a); valued at $410,977)		    

400,000

      

400,000

    
ING Financial Markets LLC, (1.85%, dated
10/18/19, due 11/18/19; proceeds
$300,478; fully collateralized by various
U.S. Government agency securities,
3.00% - 5.50% due 11/1/29 - 12/1/48 (a);
valued at $309,000)		    

300,000

      

300,000

    

The accompanying notes are an integral part of the financial statements.
28


2019 Annual Report

October 31, 2019

Portfolio of Investments (cont'd)

Government Portfolio

    Face
Amount
(000)		   Value
(000)		  

Repurchase Agreements (cont'd)

  
ING Financial Markets LLC, (1.95%, dated
10/2/19, due 1/21/20; proceeds $125,752;
fully collateralized by various U.S. Government
agency securities, 3.00% - 6.00% due
11/1/29 - 7/1/56 (a); valued at $128,750)		  

$

125,000

    

$

125,000

    
JP Morgan Securities LLC, (1.72%, dated
10/29/19, due 11/5/19; proceeds
$500,167; fully collateralized by a U.S.
Government obligation, 3.63% due 8/15/43;
valued at $510,073)		    

500,000

      

500,000

    
JP Morgan Securities LLC, (1.73%, dated
10/31/19, due 11/1/19; proceeds
$110,005; fully collateralized by a U.S.
Government obligation, 2.88% due 11/15/46;
valued at $112,205)		    

110,000

      

110,000

    
JP Morgan Securities LLC, (1.74%, dated
10/29/19, due 11/5/19; proceeds
$500,169; fully collateralized by various U.S.
Government agency securities, 0.00% - 7.00%
due 5/1/26 - 7/1/48 and U.S. Government
obligations, 0.00% - 3.38% due
11/15/19 - 11/15/48 (a);
valued at $510,092)		    

500,000

      

500,000

    
JP Morgan Securities LLC, (1.74%, dated
10/31/19, due 11/1/19; proceeds
$1,000,048; fully collateralized by various
U.S. Government agency securities,
2.26% - 4.00% due 11/13/24 - 7/8/39 and
U.S. Government obligations, 0.00% due
11/15/30 - 8/15/47; valued at $1,020,049)		    

1,000,000

      

1,000,000

    
JP Morgan Securities LLC, (1.75%, dated
10/31/19, due 11/1/19; proceeds
$515,025; fully collateralized by various
U.S. Government agency securities,
2.59% - 3.35% due 6/1/32 - 8/24/37 and
U.S. Government obligations, 0.00% due
5/15/33 - 8/15/48 (a); valued at $525,326)		    

515,000

      

515,000

    
JP Morgan Securities LLC, (1.78%, dated
10/31/19, due 11/1/19; proceeds
$1,000,049; fully collateralized by various
U.S. Government agency securities,
0.00% - 6.50% due 10/25/20 - 3/16/61 (a);
valued at $1,050,052)		    

1,000,000

      

1,000,000

    
JP Morgan Securities LLC, (1.83% (c), dated
5/1/19, due 11/7/19; proceeds $504,829;
fully collateralized by various U.S. Government
agency securities, 2.50% - 7.50% due
11/1/26 - 11/1/48 and U.S. Government
obligations, 0.00% due
2/15/32 - 5/15/47 (a); valued at $511,903)
(Demand 11/1/19)		    

500,000

      

500,000

    
JP Morgan Securities LLC, (1.88% (c), dated
2/26/19, due 11/7/19; proceeds $151,990;
fully collateralized by various U.S. Government
agency securities, 0.00% - 5.00% due
6/25/22 - 6/16/61 (a); valued at $157,759)
(Demand 11/1/19)		    

150,000

      

150,000

    
    Face
Amount
(000)		   Value
(000)		  
JP Morgan Securities LLC, (1.92% (c), dated
2/26/19, due 11/7/19; proceeds $101,355;
fully collateralized by various U.S. Government
agency securities, 0.00% - 6.50% due
6/15/25 - 6/16/61 (a); valued at $105,176)
(Demand 11/1/19)		  

$

100,000

    

$

100,000

    
JP Morgan Securities LLC, (1.93% (c), dated
7/25/19, due 1/30/20; proceeds $101,013;
fully collateralized by various U.S. Government
agency securities, 0.00% - 5.00% due
2/20/34 - 4/16/60 (a); valued at $105,181)
(Demand 11/1/19)		    

100,000

      

100,000

    
JP Morgan Securities LLC, (1.81% (c), dated
6/13/19, due 1/30/20; proceeds $202,323;
fully collateralized by various U.S. Government
agency securities, 2.70% - 6.00% due
9/1/28 - 5/1/47 and U.S. Government
obligations, 0.00% due 11/15/36 - 8/15/39;
valued at $204,415) (Demand 11/1/19)		    

200,000

      

200,000

    
JP Morgan Securities LLC, (1.81% (c), dated
5/22/19, due 1/30/20; proceeds $151,908;
fully collateralized by various U.S. Government
agency securities, 2.47% - 6.18% due
3/12/25 - 12/1/46 and U.S. Government
obligations, 0.00% due 8/15/34 - 2/15/48;
valued at $153,256) (Demand 11/1/19)		    

150,000

      

150,000

    
Mizuho Securities USA LLC, (1.89% (c), dated
10/4/18, due 12/5/19; proceeds $102,242;
fully collateralized by various U.S. Government
agency securities, 0.01% - 5.35% due
2/25/20 - 11/25/51 (a); valued at $105,000)
(Demand 11/1/19)		    

100,000

      

100,000

    
Mizuho Securities USA LLC, (1.89% (c), dated
10/23/18, due 12/5/19; proceeds $51,071;
fully collateralized by various U.S. Government
agency securities, 0.42% - 5.82% due
8/25/20 - 4/25/43; valued at $52,500)
(Demand 11/1/19)		    

50,000

      

50,000

    
Mizuho Securities USA LLC, (1.89% (c), dated
1/23/19, due 12/5/19; proceeds $101,659;
fully collateralized by various U.S. Government
agency securities, 0.00% - 4.76% due
11/25/37 - 8/25/42; valued at $105,000)
(Demand 11/1/19)		    

100,000

      

100,000

    
Mizuho Securities USA LLC, (1.89% (c), dated
4/23/19, due 12/5/19; proceeds $50,593;
fully collateralized by various U.S. Government
agency securities, 1.60% - 8.61% due
1/25/26 - 4/25/46; valued at $52,500)
(Demand 11/1/19)		    

50,000

      

50,000

    
Mizuho Securities USA LLC, (1.89% (c), dated
5/20/19, due 12/5/19; proceeds $101,045;
fully collateralized by various U.S. Government
agency securities, 0.10% - 6.98% due
9/25/25 - 7/25/44; valued at $105,000)
(Demand 11/1/19)		    

100,000

      

100,000

    
Mizuho Securities USA LLC, (1.89% (c), dated
5/22/19, due 12/5/19; proceeds $101,034;
fully collateralized by various U.S. Government
agency securities, 0.42% - 1.80% due
11/25/38 - 12/25/40; valued at $105,000)
(Demand 11/1/19)		    

100,000

      

100,000

    

The accompanying notes are an integral part of the financial statements.
29


2019 Annual Report

October 31, 2019

Portfolio of Investments (cont'd)

Government Portfolio

    Face
Amount
(000)		   Value
(000)		  

Repurchase Agreements (cont'd)

  
Natixis SA, (Interest in $2,500,000 joint
repurchase agreement, 1.73% dated
10/31/19 under which Natixis SA, will
repurchase the securities provided as
collateral for $2,500,120 on 11/1/19. The
securities provided as collateral at the end of
the period held with BNY Mellon, tri-party
agent, were various U.S. Government
obligations with various maturities to
11/15/47; valued at $2,550,000)		  

$

184,000

    

$

184,000

    
Natixis SA, (Interest in $2,500,000 joint
repurchase agreement, 1.75% dated
10/31/19 under which Natixis SA, will
repurchase the securities provided as collateral
for $2,500,122 on 11/1/19. The securities
provided as collateral at the end of the period
held with BNY Mellon, tri-party agent, were
various U.S. Government agency securities
and U.S. Government obligations with various
maturities to 9/15/65; valued at $2,567,957)		    

354,000

      

354,000

    
Natixis SA, (1.79% (c), dated 4/1/19, due
11/7/19; proceeds $75,820; fully
collateralized by various U.S. Government
agency securities, 0.00% - 7.00% due
5/15/25 - 6/16/60 and U.S. Government
obligations, 0.00% - 3.75% due
11/21/19 - 8/15/47 (a);
valued at $76,807) (Demand 11/7/19)		    

75,000

      

75,000

    
Nomura Securities International, Inc., (1.75%,
dated 10/31/19, due 11/1/19; proceeds
$2,250,109; fully collateralized by various
U.S. Government agency securities,
2.00% - 9.00% due 11/15/19 - 8/15/54 (a);
valued at $2,317,500)		    

2,250,000

      

2,250,000

    
Norinchukin Bank, (1.70%, dated 10/31/19, due
2/6/20; proceeds $100,463; fully
collateralized by a U.S. Government
obligation, 0.13% due 4/15/20;
valued at $101,952)		    

100,000

      

100,000

    
Norinchukin Bank, (1.80%, dated 10/16/19, due
1/16/20; proceeds $150,690; fully
collateralized by a U.S. Government
obligation, 0.13% due 4/15/20;
valued at $152,983)		    

150,000

      

150,000

    
Norinchukin Bank, (1.80%, dated 10/17/19, due
1/21/20; proceeds $376,800; fully
collateralized by various U.S. Government
obligations, 0.13% - 8.50% due
2/15/20 - 11/15/20; valued at $382,494)		    

375,000

      

375,000

    
Norinchukin Bank, (1.80%, dated 10/22/19,
due 1/24/20; proceeds $200,940; fully
collateralized by a U.S. Government
obligation, 0.13% due 4/15/20;
valued at $203,904)		    

200,000

      

200,000

    
Norinchukin Bank, (2.07%, dated 9/13/19, due
12/9/19; proceeds $301,501; fully
collateralized by a U.S. Government
obligation, 0.13% due 4/15/20;
valued at $306,347)		    

300,000

      

300,000

    
    Face
Amount
(000)		   Value
(000)		  
Norinchukin Bank, (2.07%, dated 9/19/19, due
12/19/19; proceeds $502,616; fully
collateralized by various U.S. Government
obligations, 0.13% - 2.25% due 4/15/20 (a);
valued at $509,844)		  

$

500,000

    

$

500,000

    
Norinchukin Bank, (2.07%, dated 9/20/19, due
12/20/19; proceeds $50,262; fully
collateralized by a U.S. Government
obligation, 0.13% due 4/15/20;
valued at $50,976)		    

50,000

      

50,000

    
Northwestern Mutual Life Insurance Company,
(1.75%, dated 10/31/19, due 11/1/19;
proceeds $871,777; fully collateralized by
various U.S. Government obligations,
2.25% - 6.38% due 3/31/26 - 8/15/27;
valued at $889,170)		    

871,735

      

871,735

    
Prudential Insurance Company of America,
(1.75%, dated 10/31/19, due 11/1/19;
proceeds $87,242; fully collateralized by
various U.S. Government obligations,
0.01% - 2.88% due 10/31/20 - 11/15/46;
valued at $88,982)		    

87,238

      

87,238

    
Prudential Legacy Insurance Company of
New Jersey, (1.75%, dated 10/31/19, due
11/1/19; proceeds $832,596; fully
collateralized by various U.S. Government
obligations, 0.01% due 2/17/15 - 8/15/45;
valued at $849,207)		    

832,556

      

832,556

    
RBC Dominion Securities, (1.75%, dated
10/31/19, due 11/1/19; proceeds
$300,015; fully collateralized by various U.S.
Government agency securities, 3.00% - 5.00%
due 8/15/39 - 10/20/48 and U.S.
Government obligations, 0.00% - 2.88% due
2/28/23 - 8/15/46 (a); valued at $309,000)		    

300,000

      

300,000

    
Royal Bank of Canada, (1.84%, dated 10/21/19,
due 11/4/19; proceeds $500,358; fully
collateralized by various U.S. Government
agency securities, 2.34% - 5.00% due
7/1/27 - 6/15/57 (a); valued at $515,000)		    

500,000

      

500,000

    
Royal Bank of Canada, (1.88%, dated 10/1/19,
due 11/8/19; proceeds $250,496; fully
collateralized by various U.S. Government
agency securities, 3.00% - 4.50% due
5/1/37 - 11/1/48 (a); valued at $257,500)
(Demand 11/7/19)		    

250,000

      

250,000

    
Royal Bank of Canada, (1.92%, dated 9/19/19,
due 12/12/19; proceeds $386,725; fully
collateralized by various U.S. Government
agency securities, 3.00% - 5.50% due
9/1/29 - 2/1/57 (a); valued at $396,550)
(Demand 11/7/19)		    

385,000

      

385,000

    
Royal Bank of Canada, (1.92%, dated 10/21/19,
due 11/20/19; proceeds $50,080; fully
collateralized by various U.S. Government
agency securities, 2.12% - 5.50% due
1/25/29 - 8/15/56 (a); valued at $52,238)
(Demand 11/7/19)		    

50,000

      

50,000

    
Sumitomo Mitsui Banking Corp., (1.73%, dated
10/31/19, due 11/1/19; proceeds
$250,012; fully collateralized by various U.S.
Government obligations, 2.50% - 3.75% due
1/31/24 - 8/15/45; valued at $256,530)		    

250,000

      

250,000

    

The accompanying notes are an integral part of the financial statements.
30


2019 Annual Report

October 31, 2019

Portfolio of Investments (cont'd)

Government Portfolio

    Face
Amount
(000)		   Value
(000)		  

Repurchase Agreements (cont'd)

  
Wells Fargo Securities LLC, (Interest in
$1,150,000 joint repurchase agreement,
1.73% dated 10/31/19 under which Wells
Fargo Securities LLC, will repurchase the
securities provided as collateral for
$1,150,055 on 11/1/19. The securities
provided as collateral at the end of the period
held with BNY Mellon, tri-party agent, were
various U.S. Government obligations with
various maturities to 2/15/29;
valued at $1,173,000)		  

$

600,000

    

$

600,000

    
Wells Fargo Securities LLC, (Interest in
$1,165,000 joint repurchase agreement,
1.75% dated 10/31/19 under which Wells
Fargo Securities LLC, will repurchase the
securities provided as collateral for
$1,165,057 on 11/1/19. The securities
provided as collateral at the end of the period
held with BNY Mellon, tri-party agent, were
various U.S. Government agency securities
with various maturities to 9/1/44;
valued at $1,199,950)		    

1,084,700

      

1,084,700

    

Total Repurchase Agreements (Cost $33,020,229)

    

33,020,229

    

U.S. Agency Securities (34.0%)

  
Federal Farm Credit Bank,
3 Month Treasury Money Market Yield + 0.05%,
1.68%, 10/21/20 (c)		    

280,000

      

279,987

    
3 Month Treasury Money Market Yield + 0.06%,
1.68%, 7/22/20 (c)		    

85,000

      

85,000

    
3 Month Treasury Money Market Yield + 0.06%,
1.69%, 10/15/20 (c)		    

75,000

      

74,998

    
3 Month Treasury Money Market Yield + 0.07%,
1.69%, 5/1/20 - 7/24/20 (c)		    

280,000

      

279,994

    
1 Month USD LIBOR - 0.09%,
1.71%, 1/27/20 (c)		    

100,000

      

100,000

    
1 Month USD LIBOR - 0.07%,
1.74%, 4/27/20 (c)		    

134,000

      

133,998

    
1 Month USD LIBOR - 0.06%,
1.74%, 12/26/19 (c)		    

250,000

      

249,999

    
3 Month USD LIBOR - 0.18%,
1.75%, 4/29/20 (c)		    

50,000

      

50,000

    
1 Month USD LIBOR - 0.05%,
1.75%, 8/27/20 (c)		    

265,000

      

264,942

    
1 Month USD LIBOR - 0.05%,
1.76%, 5/29/20 (c)		    

145,000

      

144,968

    
1 Month USD LIBOR - 0.06%,
1.79%, 7/20/20 (c)		    

128,000

      

127,998

    
1 Month USD LIBOR - 0.05%,
1.80%, 1/22/20 (c)		    

285,000

      

284,999

    
1 Month USD LIBOR + 0.01%,
1.81%, 8/28/20 - 12/29/20 (c)		    

525,000

      

524,990

    
1 Month USD LIBOR - 0.07%,
1.81%, 12/18/19 (c)		    

200,000

      

200,000

    
1 Month USD LIBOR - 0.08%,
1.82%, 12/16/19 (c)		    

95,000

      

95,000

    
1 Month USD LIBOR - 0.01%,
1.84%, 7/20/20 (c)		    

175,000

      

174,990

    
1 Month USD LIBOR - 0.08%,
1.84%, 11/12/19 (c)		    

270,000

      

270,000

    
    Face
Amount
(000)		   Value
(000)		  
1 Month USD LIBOR + 0.03%,
1.85%, 8/25/20 (c)		  

$

80,000

    

$

79,997

    

SOFR + 0.03%, 1.85%, 2/6/20 (c)

    

40,000

      

40,000

    
1 Month USD LIBOR + 0.01%,
1.86%, 8/19/20 - 11/20/20 (c)		    

102,500

      

102,446

    
1 Month USD LIBOR + 0.03%,
1.88%, 1/22/21 (c)		    

270,000

      

269,971

    

SOFR + 0.07%, 1.89%, 8/20/21 (c)

    

40,000

      

40,000

    
1 Month USD LIBOR + 0.09%,
1.89%, 8/30/21 (c)		    

23,000

      

23,000

    
3 Month Treasury Money Market
Yield + 0.26%, 1.89%, 5/17/21 - 6/17/21 (c)		    

273,000

      

272,968

    

SOFR + 0.08%, 1.90%, 6/10/21 - 7/9/21 (c)

    

125,000

      

125,000

    
1 Month USD LIBOR + 0.04%,
1.91%, 9/18/20 (c)		    

35,000

      

34,988

    
3 Month USD LIBOR - 0.20%,
1.92%, 6/15/20 (c)		    

100,000

      

100,000

    

SOFR + 0.10%, 1.92%, 5/7/21 (c)

    

49,000

      

49,000

    
1 Month USD LIBOR + 0.10%,
1.92%, 7/28/21 (c)		    

300,000

      

300,000

    

SOFR + 0.11%, 1.93%, 1/15/21 (c)

    

60,000

      

60,000

    
1 Month USD LIBOR + 0.09%,
1.94%, 4/21/21 (c)		    

100,000

      

99,999

    
1 Month USD LIBOR + 0.04%,
1.96%, 2/11/21 (c)		    

345,000

      

345,000

    
1 Month USD LIBOR + 0.16%,
1.98%, 1/25/21 (c)		    

49,000

      

49,066

    
1 Month USD LIBOR + 0.05%,
1.99%, 9/10/20 (c)		    

344,000

      

344,000

    
1 Month USD LIBOR + 0.02%,
1.99%, 10/7/20 (c)		    

145,000

      

144,973

    
1 Month USD LIBOR - 0.04%,
1.99%, 5/1/20 (c)		    

200,000

      

200,000

    
3 Month USD LIBOR - 0.15%,
2.00%, 9/18/20 (c)		    

218,000

      

218,000

    
1 Month USD LIBOR + 0.01%,
2.03%, 7/2/20 (c)		    

85,000

      

85,000

    
1 Month USD LIBOR + 0.11%,
2.05%, 7/9/21 (c)		    

237,000

      

237,000

    

2.05%, 1/31/20 - 2/7/20 (d)

    

39,000

      

38,795

    
1 Month USD LIBOR + 0.08%,
2.07%, 2/10/21 (c)		    

140,000

      

139,991

    

2.10%, 1/23/20 - 1/29/20 (d)

    

39,000

      

38,805

    
FCPR Daily - 2.92%, 2.59%,
10/7/20 - 12/17/20(c)		    

200,000

      

199,987

    
Federal Home Loan Bank,
1.46%, 12/30/19		    

49,390

      

49,351

    

1.62%, 4/29/20 (d)

    

134,000

      

132,921

    

1.64%, 1/29/20 (d)

    

100,000

      

99,597

    

1.67%, 12/9/19 (d)

    

500,000

      

499,119

    

1.70%, 12/3/19 - 12/10/19 (d)

    

335,000

      

334,416

    

1.71%, 12/5/19 (d)

    

346,000

      

345,441

    

1.77%, 12/4/19 (d)

    

343,218

      

342,663

    
1 Month USD LIBOR - 0.07%,
1.78%, 2/20/20 (c)		    

30,000

      

30,000

    
1 Month USD LIBOR - 0.06%,
1.79%, 2/20/20 (c)		    

250,000

      

250,000

    

The accompanying notes are an integral part of the financial statements.
31


2019 Annual Report

October 31, 2019

Portfolio of Investments (cont'd)

Government Portfolio

    Face
Amount
(000)		   Value
(000)		  
U.S. Agency Securities (cont'd)  
1 Month USD LIBOR - 0.01%,
1.79%, 8/28/20 (c)		  

$

230,000

    

$

230,000

    
1 Month USD LIBOR - 0.02%,
1.80%, 12/24/19 (c)		    

250,000

      

250,000

    
1 Month USD LIBOR - 0.01%,
1.81%, 3/25/20 (c)		    

715,000

      

715,000

    
1 Month USD LIBOR - 0.01%,
1.82%, 6/25/20 (c)		    

150,000

      

150,000

    

SOFR + 0.01%, 1.83%, 1/24/20 (c)

    

87,000

      

87,000

    

1.83%, 12/20/19 (d)

    

494,325

      

493,099

    
SOFR + 0.02%, 1.84%,
11/27/19 - 5/22/20 (c)		    

395,000

      

395,000

    

SOFR + 0.03%, 1.85%, 3/6/20 - 11/6/20 (c)

    

1,070,000

      

1,070,000

    

1.85%, 11/29/19 - 1/30/20 (d)

    

320,300

      

319,096

    
1 Month USD LIBOR + 0.05%,
1.85%, 3/27/20 (c)		    

580,000

      

580,000

    

SOFR + 0.04%, 1.86%, 6/19/20 - 2/9/21 (c)

    

461,000

      

461,000

    

SOFR + 0.05%, 1.87%, 1/17/20 - 1/28/21 (c)

    

389,000

      

389,000

    
SOFR + 0.07%, 1.89%,
11/15/19 - 2/26/21 (c)		    

836,000

      

836,000

    

1.89%, 3/20/20 (d)

    

620,000

      

615,481

    

SOFR + 0.08%, 1.90%, 7/24/20 - 7/23/21 (c)

    

564,000

      

564,000

    
3 Month USD LIBOR - 0.10%,
1.91%, 10/9/20 (c)		    

280,000

      

280,000

    

SOFR + 0.11%, 1.93%, 6/10/20 - 10/1/20 (c)

    

218,000

      

218,000

    

SOFR + 0.12%, 1.94%, 10/7/20 (c)

    

81,000

      

81,000

    

1.94%, 6/16/20

    

250,000

      

250,000

    

SOFR + 0.13%, 1.95%, 10/16/20 (c)

    

565,000

      

565,000

    

1.95%, 6/17/20

    

68,000

      

68,000

    

1.96%, 11/15/19 (d)

    

200,000

      

199,848

    

SOFR + 0.17%, 1.99%, 4/9/21 (c)

    

170,000

      

170,000

    

2.01%, 12/2/19 - 1/17/20 (d)

    

542,000

      

540,685

    

2.04%, 1/9/20 (d)

    

220,000

      

219,146

    

2.05%, 1/2/20 - 1/6/20 (d)

    

472,120

      

470,371

    
1 Month USD LIBOR + 0.06%,
2.06%, 6/15/20 (c)		    

500,000

      

500,000

    
3 Month USD LIBOR - 0.15%,
2.06%, 11/7/19 (c)		    

75,000

      

75,001

    
1 Month USD LIBOR + 0.05%,
2.07%, 5/8/20 (c)		    

185,000

      

185,000

    

2.08%, 12/24/19

    

245,000

      

244,999

    

2.08%, 1/8/20 (d)

    

187,000

      

186,274

    
1 Month USD LIBOR + 0.05%,
2.08%, 5/5/20 (c)		    

285,000

      

285,000

    

2.10%, 11/4/19 (d)

    

160,000

      

159,972

    

2.12%, 12/13/19 (d)

    

64,800

      

64,641

    

2.15%, 12/11/19 (d)

    

561,500

      

560,170

    

2.25%, 11/22/19 (d)

    

24,800

      

24,768

    

2.28%, 11/27/19 (d)

    

34,000

      

33,945

    

2.42%, 11/6/19 (d)

    

25,816

      

25,807

    
Federal National Mortgage Association,
SOFR + 0.10%, 1.92%, 11/1/19 (c)		    

80,000

      

80,000

    

Total U.S. Agency Securities (Cost $21,705,660)

    

21,705,660

    
    Face
Amount
(000)		   Value
(000)		  

U.S. Treasury Securities (14.4%)

  

U.S. Treasury Bills,

  

1.88%, 3/12/20 (e)

  

$

400,000

    

$

397,306

    

1.89%, 2/20/20 (e)

    

130,000

      

129,262

    

1.90%, 3/19/20 (e)

    

175,000

      

173,752

    

1.91%, 3/26/20 (e)

    

386,820

      

383,904

    

1.94%, 2/13/20 (e)

    

125,000

      

124,318

    

2.01%, 11/14/19 (e)

    

100,000

      

99,929

    

2.06%, 1/23/20 (e)

    

492,000

      

489,720

    

2.13%, 1/9/20 (e)

    

699,400

      

696,617

    

2.21%, 12/12/19 (e)

    

500,000

      

498,773

    

2.08%, 1/30/20 (e)

    

590,000

      

586,998

    
U.S. Treasury Notes,
3 Month Treasury Money Market Yield + 0.05%,
1.68%, 10/31/20 (c)		    

1,176,000

      

1,175,773

    
3 Month Treasury Money Market Yield + 0.12%,
1.75%, 1/31/21 (c)		    

1,224,000

      

1,223,766

    
3 Month Treasury Money Market Yield + 0.22%,
1.86%, 7/31/21 (c)		    

340,000

      

339,896

    
3 Month Treasury Money Market Yield + 0.30%,
1.94%, 10/31/21 (c)		    

100,000

      

100,000

    

1.13%, 12/31/19 - 3/31/20

    

689,200

      

687,136

    

1.38%, 1/31/20

    

1,405,000

      

1,402,773

    

2.00%, 1/31/20

    

110,000

      

110,017

    

2.25%, 2/29/20

    

75,000

      

75,082

    

3.38%, 11/15/19

    

500,000

      

500,219

    

Total U.S. Treasury Securities (Cost $9,195,241)

    

9,195,241

    

Total Investments (100.2%) (Cost $63,921,130) (f)(g)

    

63,921,130

    

Liabilities in Excess of Other Assets (–0.2%)

    

(155,484

)

  

Net Assets (100.0%)

  

$

63,765,646

    

(a)  Perpetual — One or more securities do not have a predetermined maturity date. Rates for these securities are fixed for a period of time, after which they revert to a floating rate. Interest rates in effect are as of October 31, 2019.

(b)  All or a portion of the security is subject to delayed delivery.

(c)  Floating or variable rate securities: The rates disclosed are as of October 31, 2019. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description in the Portfolio of Investments. Certain variable rate securities may not be 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 in the Portfolio of Investments.

(d)  Purchased on a discount basis. The interest rates shown have been adjusted to reflect a money market equivalent yield.

(e)  Rate shown is the yield to maturity at October 31, 2019.

(f)  Securities are available for collateral in connection with securities purchased on a forward commitment basis.

(g)  The aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes.

FCPR  Federal Reserve Bank Prime Loan Rate U.S.

LIBOR  London Interbank Offered Rate.

SOFR  Secured Overnight Financing Rate.

USD  United States Dollar.

The accompanying notes are an integral part of the financial statements.
32


2019 Annual Report

October 31, 2019

Portfolio of Investments (cont'd)

Government Portfolio

Portfolio Composition

Classification

   Percentage of
Total Investments		  

Repurchase Agreements

    

51.7

%

  

U.S. Agency Securities

    

33.9

    

U.S. Treasury Securities

    

14.4

    

Total Investments

    

100.0

%

  

 

The accompanying notes are an integral part of the financial statements.
33


2019 Annual Report

October 31, 2019

Investment Overview (unaudited)

Government Securities Portfolio

The Government Securities Portfolio seeks preservation of capital, daily liquidity and maximum current income. The Fund seeks to maintain a stable net asset value of $1.00 per share by investing substantially all of its assets in U.S. Treasury obligations and certain U.S. government securities, the interest from which is generally exempt from state income taxation.

Performance

For the fiscal period ended October 31, 2019, the Fund's Institutional Share Class had a total return of 2.14%. For the seven-day period ended October 31, 2019, the Fund's Institutional Share Class provide an annualized current yield of 1.67% (subsidized) and 1.65% (non-subsidized), while its 30-day moving average annualized yield was 1.72% (subsidized) and 1.70% (non-subsidized). Yield quotation more closely reflects the current earnings of the Fund than the total return. The non-subsidized yield reflects what the yield would have been had a fee and/or expense waiver not been in place during the period shown. Past performance is no guarantee of future results.

Factors Affecting Performance

•  Minutes from the September 2018 Federal Open Market Committee (FOMC or Committee) meeting, released in October 2018, confirmed the Committee was in broad agreement to continue with the gradual path of policy normalization. With expectations of an additional rate hike in 2018, and funding pressures over year-end, three-month LIBOR increased 16 basis points (bps) during the month of October to 2.56%.(i)

•  At the December 2018 FOMC meeting, the Committee raised rates for the fourth time in 2018 by 25 bps as widely expected. Committee members lowered their growth forecasts for 2019 and beyond but reiterated that current economic indicators such as unemployment and gross domestic product (GDP) remained strong. The FOMC decreased the GDP projections to 3.0% for 2018 and 2.3% for 2019. Core inflation remained around the FOMC's 2% target and was expected to reach 2.0% in 2019. Inflation was expected to remain at target levels through 2021. While the FOMC expected two hikes versus the three expected at the September meeting, the markets priced in zero rate hikes for 2019. In January 2019, the release of the December 2018 FOMC minutes confirmed Federal Reserve (Fed) policy was more data dependent and

subdued inflation would allow the Committee to be patient in executing further rate hikes in 2019.

•  As expected, no rate action was taken by the FOMC at its January 2019 meeting. Federal Reserve Chairman Jerome Powell started a new practice of holding a press conference after every central bank meeting to improve communications. The Fed's statement showed that the FOMC decided to maintain the target range for the federal funds rate at 2.25% to 2.50%, and the FOMC downgraded its characterization of economic growth from "rising at a strong rate" in December 2018 to "solid" in January 2019. The overall tone of the conference was dovish. This called into question the expectations for future monetary policy, especially since there was no explicit mention of a rate hike. A notable change in the FOMC statement was the lack of forward guidance.

•  In his semiannual testimony on the state of monetary policy to Congress in February 2019, Fed Chairman Powell characterized the economy as "strong." In his speech, Chairman Powell stated that "muted" inflation pressures as well as economic and financial crosscurrents were conflicting signals influencing the FOMC to take a "patient" approach in delivering policy changes. He maintained the Fed's wait-and-see approach and underscored the need for being data dependent going forward. Chairman Powell noted that risks to global growth posed a key threat to the outlook, especially in Europe and China. In his statement, he commented that "uncertainty is the enemy of business" and that economic activity may have been impacted.

•  At its March 2019 meeting, the FOMC voted unanimously to maintain the target range for the federal funds rate at 2.25% to 2.50%. The FOMC's forward-looking statements were more dovish than anticipated, with the Committee downgrading expectations for the economy, lowering its outlook for policy rates and ending its balance sheet normalization sooner than expected. In its more dovish outlook, the FOMC revised its federal funds projections to zero rate hikes in 2019 (down from the Committee's expectations of two rate hikes during their December 2018 meeting) and only one rate hike in 2020. As a result, the median fed funds rate forecast was lowered to 2.4% from 2.9% for 2019 and reduced to 2.6% from 3.1% for 2020.


34


2019 Annual Report

October 31, 2019

Investment Overview (unaudited) (cont'd)

Government Securities Portfolio

The pace of balance sheet normalization would also be cut in half to $15 billion starting in May and would end altogether in September 2019, earlier than many economists expected. Fed Chairman Powell stated that while the labor market remained strong, growth in economic activity had decelerated in the first quarter of 2019 due to a number of factors, including slowing growth in Europe and China, concerns over tariffs and the effects of global trade tensions. The FOMC noted that in light of global economic and financial developments and muted inflation pressures, the Committee would be patient as it determined the appropriate path of future policy adjustments.

•  GDP for the first quarter of 2019 came in at 3.1%, slightly below expectations with net exports and inventories supporting quarterly growth.(ii) The labor market remained resilient with the unemployment rate falling to 3.8% in the quarter from 4.0% in January 2019.(iii) In addition, the pace of non-farm payrolls averaged 174,000 in the first quarter of 2019.

•  At the conclusion of its May 1, 2019 meeting, as expected, the FOMC kept the range for the federal funds rate unchanged at 2.25% to 2.50%. The FOMC reiterated its intentions to remain "patient" as it decided the path of future policy adjustments. FOMC participants believed the most likely outcome for the U.S. economy would be sustained expansion of economic activity, with strong labor market conditions and inflation nearing its 2% target. Regarding economic conditions, Fed Chairman Powell acknowledged that economic growth and job creation since the Fed's prior meeting in March 2019 had been stronger than anticipated. In addition, Chairman Powell highlighted that international risks had moderated since the beginning of 2019, as evidenced by some recent improvement in global economic data, a delayed Brexit and reports of some progress in U.S.-China trade negotiations. While the federal funds rate remained unchanged, the FOMC lowered the interest on excess reserves (IOER) by 0.05% to 2.35% from 2.40%. Chairman Powell noted the decrease in the IOER was a technical adjustment designed to control overnight rates in the fed funds market and should not be viewed as any change to overall monetary policy.

•  The Trump administration's decision on May 10, 2019 to raise tariffs to 25% on $200 billion of Chinese goods and the threat to levy further tariffs on another $300 billion of Chinese goods following the G20 meeting in June 2019 stoked concerns that the U.S.-China trade war could be longer and more pronounced than expected. The Trump administration's decision on May 29, 2019 to threaten Mexico with a 5% tariff only exacerbated these concerns and raised the specter of additional U.S. trade wars with other countries.

•  Fearing continued trade tensions could weaken economic growth, investors fled to U.S. Treasuries in May 2019. The Treasury yield curve flattened significantly, with the 2-, 5- and 10-year yields falling 34 bps, 37 bps and 38 bps, respectively, throughout the month, and the belly of the curve becoming inverted.(iv) As of May 31, 2019, the 10-year Treasury bond was yielding 22 bps less than the 3-month Treasury bill. The 5-year Treasury bond was yielding 43 bps less than the 3-month Treasury bill as of the same date. Given this shift in sentiment, the market was pricing in at least two rate cuts by the Fed by the end of 2019.

•  At its June 18-19, 2019 meeting, the FOMC kept the range for the federal funds rate unchanged at 2.25% to 2.50%. While it kept policy rates unchanged, the FOMC removed the word "patient" in describing its approach to monetary policy and reiterated it remains ready to take appropriate action should economic uncertainties, such as international trade tensions, negatively impact global growth and inflation.

•  In its June 2019 updated "dot plot," the FOMC showed that 8 out of 17 officials expected lower rates by the end of 2019 — with 7 members anticipating 50 bps of easing. As a result, the average federal funds forecast for 2019 fell to 2.17% (down from 2.49% during the March 2019 FOMC meeting) while the median remained unchanged at 2.38%. Looking ahead, the median federal funds forecast for 2020 was lowered to 2.13% (down from 2.63%) and the median forecast for 2021 was lowered to 2.38% (down from 2.63%).

•  While reconfirming its 2% inflation target, the Fed acknowledged a decline in near-term inflation expectations and cut its median Personal Consumption Expenditures (PCE) and core PCE


35


2019 Annual Report

October 31, 2019

Investment Overview (unaudited) (cont'd)

Government Securities Portfolio

inflation forecasts for 2019 to 1.5% and 1.8%, respectively. GDP growth projections for 2019 remained unchanged while the unemployment rate was revised lower to 3.6% from 3.7%.

•  Subsequent to the June 2019 FOMC meeting, Fed Chairman Powell spoke on June 25 at the Council on Foreign Relations, where he reiterated economic crosscurrents have reemerged and risks to the baseline economic outlook have grown.

•  Citing weakening global growth and muted inflation pressures, the FOMC lowered the range for the federal funds rate by 0.25% to 2.00% to 2.25% at its July 2019 meeting. While acknowledging the U.S. economy and labor market remained strong, Fed Chairman Powell highlighted global uncertainties, including weaker growth in the European Union and China as risks to the outlook justifying the rate cut. The FOMC reiterated it would "act as appropriate to sustain the expansion," thus leaving the door open to potential future rate cuts if global economic growth continued to weaken. In addition to lowering the federal funds rate, the FOMC lowered the IOER rate by 0.25% to 2.10% and ended its balance sheet run-off program two months earlier than expected.

•  Second quarter 2019 GDP cooled to 2.1% as weaknesses were evident. Businesses showed wariness to expand and delayed investment decisions as uncertainties surrounding trade tension mounted. However, personal consumption remained strong and contributed a substantial share of economic growth. The labor market remained strong with the unemployment rate falling to 3.7% in June 2019. The pace of non-farm payrolls averaged 152,000 in the second quarter of 2019, down from the first quarter.

•  On August 1, 2019, President Trump announced the U.S. would impose a 10% tariff on the remaining $300 billion of Chinese imports starting September 1 after negotiations failed to make progress. China pledged to retaliate. The sharp decline in the value of the Chinese yuan that followed led the Trump administration to formally label China a currency manipulator.

•  The August 2019 employment data showed weaker-than-expected job gains with downward revisions to prior months, but wage growth was surprisingly stronger than expected. Comments

from Fed Chairman Powell reflected the challenges of responding to an economy where the job market and the consumer remained strong but was facing headwinds such as the rising trade tensions compounded by a general slowdown in global growth.

•  At the September 2019 FOMC meeting, the Committee cut policy rates by 25 bps to 1.75% to 2.00% as members "judged that downside risks to the outlook for economic activity had increased since their July meeting, particularly those stemming from trade policy uncertainty and conditions abroad." Separately, September 2019 witnessed a spike in overnight repo funding levels, which is not unusual given seasonal pressures related to corporate tax payments and the end of the quarter. However, a confluence of other factors such as the market absorbing an increased supply of Treasury securities after the recent lifting of the debt ceiling, exacerbated by lower bank reserves and tight bank balance sheets, raised the Secured Overnight Financing Rate as high as 5.25%. The Federal Reserve intervened with temporary open market operations and normalized the repo market for the remainder of September.

•  Third quarter GDP expanded more than expected at a 1.9% annualized rate, largely due to strength in the consumer spending sector, the biggest part of the economy. After an upward revision to 180,000 jobs created in September 2019, third quarter 2019 non-farm payrolls averaged 188,000, a promising sign that workers continue to find employment opportunities. The jobless rate unexpectedly dropped 0.2% to 3.5% in September 2019, the lowest reading since December 1969.

•  As widely expected, the Fed cut interest rates for the third time in 2019 at its October FOMC meeting. In the prepared statement, the Committee dropped its pledge to "act as appropriate to sustain the expansion," while adding in promises to monitor incoming data as members "assess the appropriate path of the target for the federal funds rate." Changes to the statement suggested that policy makers are comfortable leaving interest rates on hold in the near term, while the market ended the month pricing in less than one additional rate cut over the next year. In addition, on October 11, 2019, the Fed announced that it will begin buying $60 billion of Treasury bills per month to improve


36


2019 Annual Report

October 31, 2019

Investment Overview (unaudited) (cont'd)

Government Securities Portfolio

its control over monetary policy, with a goal of expanding its balance sheet to $1.7 trillion by year-end. While purely technical in nature, short-end Treasuries rallied on the back of the news, further flattening the yield curve. At the same time, Fed also announced that it will "conduct term and overnight repurchase agreement operations at least through January of next year to ensure that the supply of reserves remains ample."

Management Strategies

•  As of October 31, 2019, the Fund had net assets of approximately $2.9 billion. The Fund's weighted average maturity (WAM) and weighted average life (WAL) were 32 days and 116 days, respectively.

•  We continued to ensure high levels of liquidity and manage the portfolio to be responsive to changes in market conditions and interest rate levels. We purchased U.S. government agency and Treasury debt, both fixed and floating-rate, and remained focused on portfolio liquidity while seeking to maintain a competitive return for investors.

(i)  Source: Bloomberg L.P.

(ii)  Source for GDP data shown in this report: U.S. Bureau of Economic Analysis

(iii)  Source for unemployment and non-farm payrolls data shown in this report: U.S. Bureau of Labor Statistics

(iv)  Source for Treasury yields data shown in this report: Bloomberg L.P.


37


2019 Annual Report

October 31, 2019

Portfolio of Investments

Government Securities Portfolio

    Face
Amount
(000)		   Value
(000)		  

U.S. Agency Securities (67.7%)

  
Federal Farm Credit Bank,
3 Month Treasury Money Market Yield + 0.05%,
1.68%, 10/21/20 (a)		  

$

15,000

    

$

14,999

    
3 Month Treasury Money Market Yield + 0.06%,
1.68%, 1/27/20 (a)		    

15,000

      

14,997

    
3 Month Treasury Money Market Yield + 0.07%,
1.69%, 5/1/20 (a)		    

9,000

      

9,000

    
1 Month USD LIBOR - 0.06%, 1.74%,
12/26/19 (a)		    

150,000

      

150,000

    
1 Month USD LIBOR - 0.05%, 1.76%,
5/29/20 (a)		    

5,000

      

5,000

    
1 Month USD LIBOR - 0.07%, 1.81%,
12/18/19 (a)		    

50,000

      

50,000

    
1 Month USD LIBOR + 0.01%, 1.81%,
8/28/20 (a)		    

20,000

      

20,000

    
1 Month USD LIBOR - 0.08%, 1.82%,
12/16/19 (a)		    

30,000

      

30,000

    
1 Month USD LIBOR - 0.01%, 1.84%,
7/20/20 (a)		    

12,000

      

11,999

    
1 Month USD LIBOR + 0.03%, 1.85%,
8/25/20 (a)		    

10,000

      

10,000

    

SOFR + 0.08%, 1.90%, 6/10/21 - 7/9/21 (a)

    

12,000

      

12,000

    
3 Month USD LIBOR - 0.20%, 1.92%,
6/15/20 (a)		    

5,000

      

5,000

    
1 Month USD LIBOR + 0.04%, 1.93%,
3/16/20 (a)		    

5,000

      

5,001

    
1 Month USD LIBOR + 0.09%, 1.94%,
4/21/21 (a)		    

20,000

      

20,000

    
1 Month USD LIBOR + 0.04%, 1.96%,
2/11/21 (a)		    

20,000

      

20,000

    

1.98%, 3/24/20 (b)

    

14,000

      

13,891

    
1 Month USD LIBOR + 0.11%, 2.05%,
7/9/21 (a)		    

10,000

      

10,000

    
1 Month USD LIBOR + 0.08%, 2.07%,
2/10/21 (a)		    

10,000

      

9,999

    

Federal Home Loan Bank,

  

1.38%, 11/15/19

    

50,000

      

49,987

    

1.50%, 11/1/19 (b)

    

90,000

      

90,000

    

1.67%, 11/20/19 (b)

    

106,675

      

106,581

    

1.69%, 12/2/19 (b)

    

55,000

      

54,920

    

1.70%, 12/10/19 (b)

    

14,000

      

13,974

    

1.73%, 11/13/19 - 12/6/19 (b)

    

321,900

      

321,582

    
1 Month USD LIBOR - 0.07%, 1.78%,
2/20/20 (a)		    

17,000

      

17,000

    
1 Month USD LIBOR - 0.02%, 1.78%,
12/27/19 (a)		    

11,200

      

11,201

    
1 Month USD LIBOR - 0.01%, 1.79%,
8/28/20 (a)		    

15,000

      

15,000

    
1 Month USD LIBOR - 0.02%, 1.80%,
12/24/19 (a)		    

35,000

      

35,000

    
1 Month USD LIBOR - 0.01%, 1.81%,
3/25/20 (a)		    

30,000

      

30,000

    

1.82%, 12/11/19 (a)

    

52,000

      

51,998

    

SOFR + 0.01%, 1.83%, 1/17/20 - 1/24/20 (a)

    

90,000

      

90,000

    

SOFR + 0.02%, 1.84%, 11/27/19 - 5/22/20 (a)

    

46,000

      

46,000

    

SOFR + 0.03%, 1.85%, 12/6/19 - 8/21/20 (a)

    

67,000

      

67,000

    
    Face
Amount
(000)		   Value
(000)		  

1.85%, 1/30/20 (b)

  

$

15,000

    

$

14,931

    
1 Month USD LIBOR + 0.05%, 1.85%,
3/27/20 (a)		    

15,000

      

15,000

    

SOFR + 0.04%, 1.86%, 2/9/21 (a)

    

10,000

      

10,000

    

SOFR + 0.05%, 1.87%, 1/17/20 - 1/28/21 (a)

    

35,000

      

34,997

    

SOFR + 0.07%, 1.89%, 2/26/21 (a)

    

5,000

      

5,000

    

SOFR + 0.08%, 1.90%, 6/11/21 (a)

    

15,000

      

15,000

    
3 Month USD LIBOR - 0.10%, 1.91%,
10/9/20 (a)		    

15,000

      

15,000

    

1.91%, 3/20/20 (b)

    

20,000

      

19,853

    

SOFR + 0.11%, 1.93%, 10/1/20 (a)

    

13,000

      

13,000

    

SOFR + 0.12%, 1.94%, 10/7/20 (a)

    

15,000

      

15,000

    

1.94%, 12/26/19 (b)

    

44,000

      

43,870

    

SOFR + 0.13%, 1.95%, 10/16/20 (a)

    

65,000

      

65,000

    

1.95%, 6/17/20

    

25,000

      

25,000

    
1 Month USD LIBOR - 0.03%, 1.96%,
11/7/19 (a)		    

120,000

      

120,004

    

2.01%, 12/20/19 (b)

    

25,000

      

24,932

    

2.04%, 1/9/20 (b)

    

20,000

      

19,922

    

2.05%, 1/6/20 (b)

    

50,000

      

49,814

    
1 Month USD LIBOR + 0.05%, 2.07%,
5/8/20 (a)		    

15,000

      

15,000

    
1 Month USD LIBOR + 0.05%, 2.08%,
5/5/20 (a)		    

15,000

      

15,000

    

2.10%, 11/4/19 (b)

    

10,000

      

9,998

    
Tennessee Valley Authority,
2.25%, 3/15/20		    

20,000

      

20,038

    

Total U.S. Agency Securities (Cost $1,978,488)

    

1,978,488

    

U.S. Treasury Securities (32.2%)

  
U.S. Treasury Bills,
1.78%, 11/5/19 - 11/12/19 (c)		    

75,000

      

74,969

    

1.85%, 1/2/20 (c)

    

100,000

      

99,687

    

1.90%, 3/12/20 - 3/19/20 (c)

    

55,000

      

54,619

    

1.91%, 3/26/20 (c)

    

25,000

      

24,812

    

1.95%, 12/26/19 (c)

    

15,233

      

15,188

    

1.98%, 11/19/19 (c)

    

50,000

      

49,952

    

1.99%, 11/29/19 - 12/19/19 (c)

    

65,000

      

64,868

    

2.01%, 11/14/19 (c)

    

15,000

      

14,989

    

2.06%, 1/23/20 (c)

    

25,000

      

24,884

    

2.13%, 1/9/20 (c)

    

50,000

      

49,801

    

2.08%, 1/30/20 (c)

    

15,000

      

14,924

    
U.S. Treasury Notes,
3 Month Treasury Money Market Yield + 0.04%,
1.68%, 7/31/20 (a)		    

20,000

      

19,979

    
3 Month Treasury Money Market Yield + 0.05%,
1.68%, 10/31/20 (a)		    

63,000

      

62,935

    
3 Month Treasury Money Market Yield + 0.12%,
1.75%, 1/31/21 (a)		    

75,000

      

74,959

    
3 Month Treasury Money Market Yield + 0.22%,
1.86%, 7/31/21 (a)		    

15,000

      

14,996

    

1.64%, 1/31/20 (a)

    

45,000

      

44,983

    

1.13%, 12/31/19 - 3/31/20

    

40,000

      

39,919

    

1.38%, 1/31/20

    

40,000

      

39,935

    

1.63%, 12/31/19

    

40,000

      

39,989

    

1.88%, 12/31/19

    

50,000

      

49,990

    

The accompanying notes are an integral part of the financial statements.
38


2019 Annual Report

October 31, 2019

Portfolio of Investments (cont'd)

Government Securities Portfolio

    Face
Amount
(000)		   Value
(000)		  

U.S. Treasury Securities (cont'd)

  

2.00%, 1/31/20

  

$

8,000

    

$

8,001

    

3.38%, 11/15/19

    

55,000

      

55,028

    

Total U.S. Treasury Securities (Cost $939,407)

    

939,407

    

Total Investments (99.9%) (Cost $2,917,895) (d)

    

2,917,895

    

Other Assets in Excess of Liabilities (0.1%)

    

3,647

    

Net Assets (100.0%)

  

$

2,921,542

    

(a)  Floating or variable rate securities: The rates disclosed are as of October 31, 2019. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description in the Portfolio of Investments. Certain variable rate securities may not be 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 in the Portfolio of Investments.

(b)  Purchased on a discount basis. The interest rates shown have been adjusted to reflect a money market equivalent yield.

(c)  Rate shown is the yield to maturity at October 31, 2019.

(d)  The aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes.

LIBOR  London Interbank Offered Rate.

SOFR  Secured Overnight Financing Rate.

USD  United States Dollar.

Portfolio Composition

Classification

   Percentage of
Total Investments		  

U.S. Agency Securities

    

67.8

%

  

U.S. Treasury Securities

    

32.2

    

Total Investments

    

100.0

%

  

The accompanying notes are an integral part of the financial statements.
39


2019 Annual Report

October 31, 2019

Investment Overview (unaudited)

Treasury Portfolio

The Treasury Portfolio seeks preservation of capital, daily liquidity and maximum current income. The Fund seeks to maintain a stable net asset value of $1.00 per share by investing exclusively in U.S. Treasury obligations, which are backed by the full faith and credit of the U.S. government, and repurchase agreements collateralized by such securities.

Performance

For the fiscal period ended October 31, 2019, the Fund's Institutional Share Class had a total return of 2.17%. For the seven-day period ended October 31, 2019, the Fund's Institutional Share Class provide an annualized current yield of 1.68% (subsidized) and 1.66% (non-subsidized), while its 30-day moving average annualized yield was 1.72% and 1.70% (non-subsidized). Yield quotation more closely reflects the current earnings of the Fund than the total return. The non-subsidized yield reflects what the yield would have been had a fee and/or expense waiver not been in place during the period shown. Past performance is no guarantee of future results.

Factors Affecting Performance

•  Minutes from the September 2018 Federal Open Market Committee (FOMC or Committee) meeting, released in October 2018, confirmed the Committee was in broad agreement to continue with the gradual path of policy normalization. With expectations of an additional rate hike in 2018, and funding pressures over year-end, three-month LIBOR increased 16 basis points (bps) during the month of October to 2.56%.(i)

•  At the December 2018 FOMC meeting, the Committee raised rates for the fourth time in 2018 by 25 bps as widely expected. Committee members lowered their growth forecasts for 2019 and beyond but reiterated that current economic indicators such as unemployment and gross domestic product (GDP) remained strong. The FOMC decreased the GDP projections to 3.0% for 2018 and 2.3% for 2019. Core inflation remained around the FOMC's 2% target and was expected to reach 2.0% in 2019. Inflation was expected to remain at target levels through 2021. While the FOMC expected two hikes versus the three expected at the September meeting, the markets priced in zero rate hikes for 2019. In January 2019, the release of the December 2018 FOMC minutes confirmed Federal Reserve (Fed) policy was more data dependent and subdued inflation would allow the Committee to be patient in executing further rate hikes in 2019.

•  As expected, no rate action was taken by the FOMC at its January 2019 meeting. Federal Reserve Chairman Jerome Powell started a new practice of holding a press conference after every central bank meeting to improve communications. The Fed's statement showed that the FOMC decided to maintain the target range for the federal funds rate at 2.25% to 2.50%, and the FOMC downgraded its characterization of economic growth from "rising at a strong rate" in December 2018 to "solid" in January 2019. The overall tone of the conference was dovish. This called into question the expectations for future monetary policy, especially since there was no explicit mention of a rate hike. A notable change in the FOMC statement was the lack of forward guidance.

•  In his semiannual testimony on the state of monetary policy to Congress in February 2019, Fed Chairman Powell characterized the economy as "strong." In his speech, Chairman Powell stated that "muted" inflation pressures as well as economic and financial crosscurrents were conflicting signals influencing the FOMC to take a "patient" approach in delivering policy changes. He maintained the Fed's wait-and-see approach and underscored the need for being data dependent going forward. Chairman Powell noted that risks to global growth posed a key threat to the outlook, especially in Europe and China. In his statement, he commented that "uncertainty is the enemy of business" and that economic activity may have been impacted.

•  At its March 2019 meeting, the FOMC voted unanimously to maintain the target range for the federal funds rate at 2.25% to 2.50%. The FOMC's forward-looking statements were more dovish than anticipated, with the Committee downgrading expectations for the economy, lowering its outlook for policy rates and ending its balance sheet normalization sooner than expected. In its more dovish outlook, the FOMC revised its federal funds projections to zero rate hikes in 2019 (down from the Committee's expectations of two rate hikes during their December 2018 meeting) and only one rate hike in 2020. As a result, the median fed funds rate forecast was lowered to 2.4% from 2.9% for 2019 and reduced to 2.6% from 3.1% for 2020. The pace of balance sheet normalization would also be cut in half to $15 billion starting in May and would end altogether in September 2019, earlier


40


2019 Annual Report

October 31, 2019

Investment Overview (unaudited) (cont'd)

Treasury Portfolio

than many economists expected. Fed Chairman Powell stated that while the labor market remained strong, growth in economic activity had decelerated in the first quarter of 2019 due to a number of factors, including slowing growth in Europe and China, concerns over tariffs and the effects of global trade tensions. The FOMC noted that in light of global economic and financial developments and muted inflation pressures, the Committee would be patient as it determined the appropriate path of future policy adjustments.

•  GDP for the first quarter of 2019 came in at 3.1%, slightly below expectations with net exports and inventories supporting quarterly growth.(ii) The labor market remained resilient with the unemployment rate falling to 3.8% in the quarter from 4.0% in January 2019.(iii) In addition, the pace of non-farm payrolls averaged 174,000 in the first quarter of 2019.

•  At the conclusion of its May 1, 2019 meeting, as expected, the FOMC kept the range for the federal funds rate unchanged at 2.25% to 2.50%. The FOMC reiterated its intentions to remain "patient" as it decided the path of future policy adjustments. FOMC participants believed the most likely outcome for the U.S. economy would be sustained expansion of economic activity, with strong labor market conditions and inflation nearing its 2% target. Regarding economic conditions, Fed Chairman Powell acknowledged that economic growth and job creation since the Fed's prior meeting in March 2019 had been stronger than anticipated. In addition, Chairman Powell highlighted that international risks had moderated since the beginning of 2019, as evidenced by some recent improvement in global economic data, a delayed Brexit and reports of some progress in U.S.-China trade negotiations. While the federal funds rate remained unchanged, the FOMC lowered the interest on excess reserves (IOER) by 0.05% to 2.35% from 2.40%. Chairman Powell noted the decrease in the IOER was a technical adjustment designed to control overnight rates in the fed funds market and should not be viewed as any change to overall monetary policy.

•  The Trump administration's decision on May 10, 2019 to raise tariffs to 25% on $200 billion of Chinese goods and the threat to levy further tariffs on another $300 billion of Chinese goods following

the G20 meeting in June 2019 stoked concerns that the U.S.-China trade war could be longer and more pronounced than expected. The Trump administration's decision on May 29, 2019 to threaten Mexico with a 5% tariff only exacerbated these concerns and raised the specter of additional U.S. trade wars with other countries.

•  Fearing continued trade tensions could weaken economic growth, investors fled to U.S. Treasuries in May 2019. The Treasury yield curve flattened significantly, with the 2-, 5- and 10-year yields falling 34 bps, 37 bps and 38 bps, respectively, throughout the month, and the belly of the curve becoming inverted.(iv) As of May 31, 2019, the 10-year Treasury bond was yielding 22 bps less than the 3-month Treasury bill. The 5-year Treasury bond was yielding 43 bps less than the 3-month Treasury bill as of the same date. Given this shift in sentiment, the market was pricing in at least two rate cuts by the Fed by the end of 2019.

•  At its June 18-19, 2019 meeting, the FOMC kept the range for the federal funds rate unchanged at 2.25% to 2.50%. While it kept policy rates unchanged, the FOMC removed the word "patient" in describing its approach to monetary policy and reiterated it remains ready to take appropriate action should economic uncertainties, such as international trade tensions, negatively impact global growth and inflation.

•  In its June 2019 updated "dot plot," the FOMC showed that 8 out of 17 officials expected lower rates by the end of 2019 — with 7 members anticipating 50 bps of easing. As a result, the average federal funds forecast for 2019 fell to 2.17% (down from 2.49% during the March 2019 FOMC meeting) while the median remained unchanged at 2.38%. Looking ahead, the median federal funds forecast for 2020 was lowered to 2.13% (down from 2.63%) and the median forecast for 2021 was lowered to 2.38% (down from 2.63%).

•  While reconfirming its 2% inflation target, the Fed acknowledged a decline in near-term inflation expectations and cut its median Personal Consumption Expenditures (PCE) and core PCE inflation forecasts for 2019 to 1.5% and 1.8%, respectively. GDP growth projections for 2019 remained unchanged while the unemployment rate was revised lower to 3.6% from 3.7%.


41


2019 Annual Report

October 31, 2019

Investment Overview (unaudited) (cont'd)

Treasury Portfolio

•  Subsequent to the June 2019 FOMC meeting, Fed Chairman Powell spoke on June 25 at the Council on Foreign Relations, where he reiterated economic crosscurrents have reemerged and risks to the baseline economic outlook have grown.

•  Citing weakening global growth and muted inflation pressures, the FOMC lowered the range for the federal funds rate by 0.25% to 2.00% to 2.25% at its July 2019 meeting. While acknowledging the U.S. economy and labor market remained strong, Fed Chairman Powell highlighted global uncertainties, including weaker growth in the European Union and China as risks to the outlook justifying the rate cut. The FOMC reiterated it would "act as appropriate to sustain the expansion," thus leaving the door open to potential future rate cuts if global economic growth continued to weaken. In addition to lowering the federal funds rate, the FOMC lowered the IOER rate by 0.25% to 2.10% and ended its balance sheet run-off program two months earlier than expected.

•  Second quarter 2019 GDP cooled to 2.1% as weaknesses were evident. Businesses showed wariness to expand and delayed investment decisions as uncertainties surrounding trade tension mounted. However, personal consumption remained strong and contributed a substantial share of economic growth. The labor market remained strong with the unemployment rate falling to 3.7% in June 2019. The pace of non-farm payrolls averaged 152,000 in the second quarter of 2019, down from the first quarter.

•  On August 1, 2019, President Trump announced the U.S. would impose a 10% tariff on the remaining $300 billion of Chinese imports starting September 1 after negotiations failed to make progress. China pledged to retaliate. The sharp decline in the value of the Chinese yuan that followed led the Trump administration to formally label China a currency manipulator.

•  The August 2019 employment data showed weaker-than-expected job gains with downward revisions to prior months, but wage growth was surprisingly stronger than expected. Comments from Fed Chairman Powell reflected the challenges of responding to an economy where the job market and the consumer remained strong but was facing

headwinds such as the rising trade tensions compounded by a general slowdown in global growth.

•  At the September 2019 FOMC meeting, the Committee cut policy rates by 25 bps to 1.75% to 2.00% as members "judged that downside risks to the outlook for economic activity had increased since their July meeting, particularly those stemming from trade policy uncertainty and conditions abroad." Separately, September 2019 witnessed a spike in overnight repo funding levels, which is not unusual given seasonal pressures related to corporate tax payments and the end of the quarter. However, a confluence of other factors such as the market absorbing an increased supply of Treasury securities after the recent lifting of the debt ceiling, exacerbated by lower bank reserves and tight bank balance sheets, raised the Secured Overnight Financing Rate as high as 5.25%. The Federal Reserve intervened with temporary open market operations and normalized the repo market for the remainder of September.

•  Third quarter GDP expanded more than expected at a 1.9% annualized rate, largely due to strength in the consumer spending sector, the biggest part of the economy. After an upward revision to 180,000 jobs created in September 2019, third quarter 2019 non-farm payrolls averaged 188,000, a promising sign that workers continue to find employment opportunities. The jobless rate unexpectedly dropped 0.2% to 3.5% in September 2019, the lowest reading since December 1969.

•  As widely expected, the Fed cut interest rates for the third time in 2019 at its October FOMC meeting. In the prepared statement, the Committee dropped its pledge to "act as appropriate to sustain the expansion," while adding in promises to monitor incoming data as members "assess the appropriate path of the target for the federal funds rate." Changes to the statement suggested that policy makers are comfortable leaving interest rates on hold in the near term, while the market ended the month pricing in less than one additional rate cut over the next year. In addition, on October 11, 2019, the Fed announced that it will begin buying $60 billion of Treasury bills per month to improve its control over monetary policy, with a goal of expanding


42


2019 Annual Report

October 31, 2019

Investment Overview (unaudited) (cont'd)

Treasury Portfolio

its balance sheet to $1.7 trillion by year-end. While purely technical in nature, short-end Treasuries rallied on the back of the news, further flattening the yield curve. At the same time, Fed also announced that it will "conduct term and overnight repurchase agreement operations at least through January of next year to ensure that the supply of reserves remains ample."

Management Strategies

•  As of October 31, 2019, the Fund had net assets of approximately $16.9 billion. The Fund's weighted average maturity (WAM) and weighted average life (WAL) were 29 days and 102 days, respectively.

•  We continued to ensure high levels of liquidity and manage the portfolio to be responsive to changes in market conditions and interest rate levels. We purchased fixed and floating-rate U.S. Treasuries for the portfolio and continued to hold a significant portion of the portfolio in short-term repurchase agreements, collateralized by U.S. Treasury obligations. We remained focused on portfolio liquidity and conservative positioning while seeking to maintain a competitive return for investors.

(i)  Source: Bloomberg L.P.

(ii)  Source for GDP data shown in this report: U.S. Bureau of Economic Analysis

(iii)  Source for unemployment and non-farm payrolls data shown in this report: U.S. Bureau of Labor Statistics

(iv)  Source for Treasury yields data shown in this report: Bloomberg L.P.


43


2019 Annual Report

October 31, 2019

Portfolio of Investments

Treasury Portfolio

    Face
Amount
(000)		   Value
(000)		  

Repurchase Agreements (57.4%)

  
Bank of America Securities, Inc.,
(1.73%, dated 10/31/19, due 11/1/19;
proceeds $200,010; fully collateralized
by various U.S. Government obligations,
1.75% - 3.63% due 4/30/22 - 2/15/44;
valued at $204,000)		  

$

200,000

    

$

200,000

    
Bank of America Securities, Inc.,
(1.84%, dated 10/18/19, due 11/18/19;
proceeds $250,396; fully collateralized
by various U.S. Government obligations,
0.75% - 2.38% due 4/15/21 - 2/15/42;
valued at $255,000) (Demand 11/7/19)		    

250,000

      

250,000

    
Bank of Montreal, (1.60%, dated 11/1/19,
due 1/28/20; proceeds $100,391; (a)
(Demand 11/7/19)		    

100,000

      

100,000

    
BNP Paribas Securities Corp.,
(1.90%, dated 10/3/19, due 11/4/19;
proceeds $75,127; fully collateralized
by various U.S. Government obligations,
0.00% - 3.00% due 11/15/19 - 11/15/48 (b);
valued at $76,500)		    

75,000

      

75,000

    
BNP Paribas Securities Corp., (Interest
in $1,700,000 joint repurchase agreement,
1.73% dated 10/31/19 under which
BNP Paribas Securities Corp., will repurchase
the securities provided as collateral for
$1,700,082 on 11/1/19. The securities
provided as collateral at the end of the period
held with BNY Mellon, tri-party agent, were
various U.S. Government obligations with
various maturities to 11/15/48;
valued at $1,734,000)		    

300,000

      

300,000

    
BNP Paribas Securities Corp.,
(1.83%, dated 10/7/19, due 11/6/19;
proceeds $200,305; fully collateralized
by various U.S. Government obligations,
0.00% - 7.63% due 11/7/19 - 8/15/45;
valued at $204,000)		    

200,000

      

200,000

    
Canadian Imperial Bank of Commerce,
(1.63%, dated 10/31/19, due 12/12/19;
proceeds $200,380; fully collateralized
by various U.S. Government
obligations, 0.13% - 3.63% due
12/15/20 - 11/15/46 (b);
valued at $204,000) (Demand 11/7/19)		    

200,000

      

200,000

    
Canadian Imperial Bank of Commerce,
(1.76%, dated 10/21/19, due 11/21/19;
proceeds $250,379; fully collateralized
by various U.S. Government obligations,
0.00% - 3.63% due 12/15/20 -
11/15/46 (b); valued at $255,000)
(Demand 11/7/19)		    

250,000

      

250,000

    
    Face
Amount
(000)		   Value
(000)		  
Credit Agricole Corporate and Investment Bank,
(Interest in $1,100,000 joint repurchase
agreement, 1.73% dated 10/31/19 under
which Credit Agricole Corporate and
Investment Bank, will repurchase the
securities provided as collateral for
$1,100,053 on 11/1/19. The securities
provided as collateral at the end of the
period held with BNY Mellon, tri-party agent,
were various U.S. Government obligations
with various maturities to 5/15/28;
valued at $1,122,000)		  

$

233,000

    

$

233,000

    
Fixed Income Clearing Corp.,
(1.73%, dated 10/31/19, due 11/1/19;
proceeds $1,600,077; fully collateralized
by various U.S. Government obligations,
2.13% - 2.38% due 2/29/24 - 4/30/24;
valued at $1,632,005)		    

1,600,000

      

1,600,000

    
HSBC Securities USA, Inc.,
(1.75%, dated 10/30/19, due 11/6/19;
proceeds $300,102; fully collateralized
by a U.S. Government obligation, 2.50%
due 12/31/20; valued at $306,104)		    

300,000

      

300,000

    
JP Morgan Securities LLC,
(1.72%, dated 10/29/19, due 11/5/19;
proceeds $500,167; fully collateralized
by various U.S. Government obligations,
0.50% - 3.38% due 1/15/28 - 11/15/48;
valued at $510,073)		    

500,000

      

500,000

    
JP Morgan Securities LLC,
(1.84% (c), dated 7/26/19, due 1/30/20;
proceeds $201,922; fully collateralized
by a U.S. Government obligation,
2.75% due 8/15/42; valued at $204,337)
(Demand 11/1/19)		    

200,000

      

200,000

    
Metropolitan Life Insurance Company,
(1.75%, dated 10/31/19, due 11/1/19;
proceeds $200,011; fully collateralized
by a U.S. Government obligation, 0.01%
due 2/15/46; valued at $209,000)		    

200,001

      

200,001

    
Natixis SA, (Interest in $2,500,000 joint
repurchase agreement, 1.73% dated
10/31/19 under which Natixis SA, will
repurchase the securities provided as
collateral for $2,500,120 on 11/1/19.
The securities provided as collateral at the
end of the period held with BNY Mellon,
tri-party agent, were various U.S. Government
obligations with various maturities to
11/15/47; valued at $2,550,000)		    

2,293,000

      

2,293,000

    
Natixis SA, (1.85%, dated 10/18/19, due
11/1/19; proceeds $250,180; fully
collateralized by various U.S. Government
obligations, 0.00% - 3.75% due
11/21/19 - 2/15/48; valued at $255,000)		    

250,000

      

250,000

    
Norinchukin Bank, (1.70%, dated 10/31/19,
due 2/6/20; proceeds $75,347; fully
collateralized by a U.S. Government
obligation, 3.63% due 4/15/28; valued
at $76,616)		    

75,000

      

75,000

    

The accompanying notes are an integral part of the financial statements.
44


2019 Annual Report

October 31, 2019

Portfolio of Investments (cont'd)

Treasury Portfolio

    Face
Amount
(000)		   Value
(000)		  

Repurchase Agreements (cont'd)

  
Norinchukin Bank, (1.80%, dated 10/17/19,
due 1/21/20; proceeds $75,360; fully
collateralized by a U.S. Government
obligation, 3.63% due 4/15/28; valued
at $76,616)		  

$

75,000

    

$

75,000

    
Norinchukin Bank, (2.07%, dated 9/20/19,
due 12/20/19; proceeds $452,355; fully
collateralized by a U.S. Government
obligation, 3.63% due 4/15/28; valued
at $458,768)		    

450,000

      

450,000

    
Prudential Insurance Company of America,
(1.75%, dated 10/31/19, due 11/1/19;
proceeds $293,768; fully collateralized
by various U.S. Government obligations,
0.01% - 2.88% due 5/15/20 - 11/15/46;
valued at $299,629)		    

293,754

      

293,754

    
RBC Dominion Securities, (1.73%, dated
10/31/19, due 11/1/19; proceeds
$700,034; fully collateralized by various
U.S. Government obligations, 0.00% -
6.00% due 11/7/19 - 5/15/47 (b);
valued at $713,999)		    

700,000

      

700,000

    
Royal Bank of Canada, (1.83%, dated
10/21/19, due 11/4/19; proceeds
$150,107; fully collateralized by various
U.S. Government obligations, 0.13% -
3.63% due 7/31/22 - 4/15/28;
valued at $153,000)		    

150,000

      

150,000

    
Sumitomo Mitsui Banking Corp., (1.73%,
dated 10/31/19, due 11/1/19;
proceeds $250,012; fully collateralized
by various U.S. Government obligations,
1.75% - 1.88% due 11/30/21 - 2/28/22;
valued at $255,595)		    

250,000

      

250,000

    
Wells Fargo Securities LLC, (Interest in
$1,150,000 joint repurchase agreement,
1.73% dated 10/31/19 under which
Wells Fargo Securities LLC, will repurchase
the securities provided as collateral for
$1,150,055 on 11/1/19. The securities
provided as collateral at the end of the
period held with BNY Mellon, tri-party agent,
were various U.S. Government obligations
with various maturities to 2/15/29;
valued at $1,173,000)		    

550,000

      

550,000

    

Total Repurchase Agreements (Cost $9,694,755)

    

9,694,755

    

U.S. Treasury Securities (43.2%)

  

U.S. Treasury Bills,

  

1.65%, 4/30/20 (d)

    

105,500

      

104,646

    

1.86%, 1/30/20 (d)

    

325,000

      

323,521

    

1.88%, 3/12/20 (d)

    

372,000

      

369,502

    

1.89%, 2/20/20 - 2/27/20 (d)

    

175,000

      

173,981

    

1.91%, 1/23/20 - 3/26/20 (d)

    

450,000

      

447,740

    

1.95%, 2/13/20 (d)

    

75,000

      

74,589

    

2.01%, 11/14/19 (d)

    

100,000

      

99,929

    

2.13%, 1/9/20 (d)

    

700,000

      

697,220

    

2.16%, 12/12/19 (d)

    

125,000

      

124,701

    

2.17%, 12/19/19 (d)

    

75,000

      

74,788

    

2.37%, 11/29/19 (d)

    

100,000

      

99,821

    
    Face
Amount
(000)		   Value
(000)		  

U.S. Treasury Notes,

  

1.13%, 12/31/19 - 3/31/20

  

$

445,000

    

$

443,896

    

1.38%, 1/31/20 - 2/29/20

    

892,000

      

890,592

    
3 Month Treasury Money Market Yield + 0.04%,
1.68%, 7/31/20 (c)		    

524,000

      

523,817

    
3 Month Treasury Money Market Yield + 0.05%,
1.68%, 10/31/20 (c)		    

1,055,000

      

1,054,416

    
3 Month Treasury Money Market Yield + 0.12%,
1.75%, 1/31/21 (c)		    

531,000

      

530,625

    
3 Month Treasury Money Market Yield + 0.14%,
1.78%, 4/30/21 (c)		    

35,000

      

34,968

    
3 Month Treasury Money Market Yield + 0.22%,
1.86%, 7/31/21 (c)		    

481,000

      

480,943

    

1.88%, 12/31/19

    

170,000

      

169,945

    
3 Month Treasury Money Market Yield + 0.30%,
1.94%, 10/31/21 (c)		    

175,000

      

175,000

    

2.00%, 1/31/20

    

250,000

      

250,045

    

2.25%, 2/29/20

    

65,000

      

65,071

    

2.38%, 4/30/20

    

80,000

      

80,291

    

Total U.S. Treasury Securities (Cost $7,290,047)

    

7,290,047

    

Total Investments (100.6%) (Cost $16,984,802) (e)(f)

    

16,984,802

    

Liabilities in Excess of Other Assets (–0.6%)

    

(102,314

)

  

Net Assets (100.0%)

  

$

16,882,488

    

(a)  All or a portion of the security is subject to delayed delivery.

(b)  Perpetual — One or more securities do not have a predetermined maturity date. Rates for these securities are fixed for a period of time, after which they revert to a floating rate. Interest rates in effect are as of October 31, 2019.

(c)  Floating or variable rate securities: The rates disclosed are as of October 31, 2019. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description in the Portfolio of Investments. Certain variable rate securities may not be 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 in the Portfolio of Investments.

(d)  Rate shown is the yield to maturity at October 31, 2019.

(e)  Securities are available for collateral in connection with securities purchased on a forward commitment basis.

(f)  The aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes.

Portfolio Composition

Classification

   Percentage of
Total Investments		  

Repurchase Agreements

    

57.1

%

  

U.S. Treasury Securities

    

42.9

    

Total Investments

    

100.0

%

  

The accompanying notes are an integral part of the financial statements.
45


2019 Annual Report

October 31, 2019

Investment Overview (unaudited)

Treasury Securities Portfolio

The Treasury Securities Portfolio seeks preservation of capital, daily liquidity and maximum current income. The Fund seeks to maintain a stable net asset value of $1.00 per share by investing exclusively in U.S. Treasury obligations. Such obligations are backed by the full faith and credit of the U.S. government.

Performance

For the fiscal year ended October 31, 2019, the Fund's Institutional Share Class had a total return of 2.12%. For the seven-day period ended October 31, 2019, the Fund's Institutional Share Class provided an annualized current yield of 1.68% (subsidized) and 1.67% (non-subsidized), while its 30-day moving average annualized yield was 1.73% (subsidized) and 1.72% (non-subsidized). Yield quotation more closely reflects the current earnings of the Fund than the total return. The non-subsidized yield reflects what the yield would have been had a fee and/or expense waiver not been in place during the period shown. Past performance is no guarantee of future results.

Factors Affecting Performance

•  Minutes from the September 2018 Federal Open Market Committee (FOMC or Committee) meeting, released in October 2018, confirmed the Committee was in broad agreement to continue with the gradual path of policy normalization. With expectations of an additional rate hike in 2018, and funding pressures over year-end, three-month LIBOR increased 16 basis points (bps) during the month of October to 2.56%.(i)

•  At the December 2018 FOMC meeting, the Committee raised rates for the fourth time in 2018 by 25 bps as widely expected. Committee members lowered their growth forecasts for 2019 and beyond but reiterated that current economic indicators such as unemployment and gross domestic product (GDP) remained strong. The FOMC decreased the GDP projections to 3.0% for 2018 and 2.3% for 2019. Core inflation remained around the FOMC's 2% target and was expected to reach 2.0% in 2019. Inflation was expected to remain at target levels through 2021. While the FOMC expected two hikes versus the three expected at the September meeting, the markets priced in zero rate hikes for 2019. In January 2019, the release of the December 2018 FOMC minutes confirmed Federal Reserve (Fed) policy was more data dependent and subdued inflation would allow the Committee to be patient in executing further rate hikes in 2019.

•  As expected, no rate action was taken by the FOMC at its January 2019 meeting. Federal Reserve Chairman Jerome Powell started a new practice of holding a press conference after every central bank meeting to improve communications. The Fed's statement showed that the FOMC decided to maintain the target range for the federal funds rate at 2.25% to 2.50%, and the FOMC downgraded its characterization of economic growth from "rising at a strong rate" in December 2018 to "solid" in January 2019. The overall tone of the conference was dovish. This called into question the expectations for future monetary policy, especially since there was no explicit mention of a rate hike. A notable change in the FOMC statement was the lack of forward guidance.

•  In his semiannual testimony on the state of monetary policy to Congress in February 2019, Fed Chairman Powell characterized the economy as "strong." In his speech, Chairman Powell stated that "muted" inflation pressures as well as economic and financial crosscurrents were conflicting signals influencing the FOMC to take a "patient" approach in delivering policy changes. He maintained the Fed's wait-and-see approach and underscored the need for being data dependent going forward. Chairman Powell noted that risks to global growth posed a key threat to the outlook, especially in Europe and China. In his statement, he commented that "uncertainty is the enemy of business" and that economic activity may have been impacted.

•  At its March 2019 meeting, the FOMC voted unanimously to maintain the target range for the federal funds rate at 2.25% to 2.50%. The FOMC's forward-looking statements were more dovish than anticipated, with the Committee downgrading expectations for the economy, lowering its outlook for policy rates and ending its balance sheet normalization sooner than expected. In its more dovish outlook, the FOMC revised its federal funds projections to zero rate hikes in 2019 (down from the Committee's expectations of two rate hikes during their December 2018 meeting) and only one rate hike in 2020. As a result, the median fed funds rate forecast was lowered to 2.4% from 2.9% for 2019 and reduced to 2.6% from 3.1% for 2020. The pace of balance sheet normalization would also be cut in half to $15 billion starting in May and would end altogether in September 2019, earlier


46


2019 Annual Report

October 31, 2019

Investment Overview (unaudited) (cont'd)

Treasury Securities Portfolio

than many economists expected. Fed Chairman Powell stated that while the labor market remained strong, growth in economic activity had decelerated in the first quarter of 2019 due to a number of factors, including slowing growth in Europe and China, concerns over tariffs and the effects of global trade tensions. The FOMC noted that in light of global economic and financial developments and muted inflation pressures, the Committee would be patient as it determined the appropriate path of future policy adjustments.

•  GDP for the first quarter of 2019 came in at 3.1%, slightly below expectations with net exports and inventories supporting quarterly growth.(ii) The labor market remained resilient with the unemployment rate falling to 3.8% in the quarter from 4.0% in January 2019.(iii) In addition, the pace of non-farm payrolls averaged 174,000 in the first quarter of 2019.

•  At the conclusion of its May 1, 2019 meeting, as expected, the FOMC kept the range for the federal funds rate unchanged at 2.25% to 2.50%. The FOMC reiterated its intentions to remain "patient" as it decided the path of future policy adjustments. FOMC participants believed the most likely outcome for the U.S. economy would be sustained expansion of economic activity, with strong labor market conditions and inflation nearing its 2% target. Regarding economic conditions, Fed Chairman Powell acknowledged that economic growth and job creation since the Fed's prior meeting in March 2019 had been stronger than anticipated. In addition, Chairman Powell highlighted that international risks had moderated since the beginning of 2019, as evidenced by some recent improvement in global economic data, a delayed Brexit and reports of some progress in U.S.-China trade negotiations. While the federal funds rate remained unchanged, the FOMC lowered the interest on excess reserves (IOER) by 0.05% to 2.35% from 2.40%. Chairman Powell noted the decrease in the IOER was a technical adjustment designed to control overnight rates in the fed funds market and should not be viewed as any change to overall monetary policy.

•  The Trump administration's decision on May 10, 2019 to raise tariffs to 25% on $200 billion of Chinese goods and the threat to levy further tariffs on another $300 billion of Chinese goods following

the G20 meeting in June 2019 stoked concerns that the U.S.-China trade war could be longer and more pronounced than expected. The Trump administration's decision on May 29, 2019 to threaten Mexico with a 5% tariff only exacerbated these concerns and raised the specter of additional U.S. trade wars with other countries.

•  Fearing continued trade tensions could weaken economic growth, investors fled to U.S. Treasuries in May 2019. The Treasury yield curve flattened significantly, with the 2-, 5- and 10-year yields falling 34 bps, 37 bps and 38 bps, respectively, throughout the month, and the belly of the curve becoming inverted.(iv) As of May 31, 2019, the 10-year Treasury bond was yielding 22 bps less than the 3-month Treasury bill. The 5-year Treasury bond was yielding 43 bps less than the 3-month Treasury bill as of the same date. Given this shift in sentiment, the market was pricing in at least two rate cuts by the Fed by the end of 2019.

•  At its June 18-19, 2019 meeting, the FOMC kept the range for the federal funds rate unchanged at 2.25% to 2.50%. While it kept policy rates unchanged, the FOMC removed the word "patient" in describing its approach to monetary policy and reiterated it remains ready to take appropriate action should economic uncertainties, such as international trade tensions, negatively impact global growth and inflation.

•  In its June 2019 updated "dot plot," the FOMC showed that 8 out of 17 officials expected lower rates by the end of 2019 — with 7 members anticipating 50 bps of easing. As a result, the average federal funds forecast for 2019 fell to 2.17% (down from 2.49% during the March 2019 FOMC meeting) while the median remained unchanged at 2.38%. Looking ahead, the median federal funds forecast for 2020 was lowered to 2.13% (down from 2.63%) and the median forecast for 2021 was lowered to 2.38% (down from 2.63%).

•  While reconfirming its 2% inflation target, the Fed acknowledged a decline in near-term inflation expectations and cut its median Personal Consumption Expenditures (PCE) and core PCE inflation forecasts for 2019 to 1.5% and 1.8%, respectively. GDP growth projections for 2019 remained unchanged while the unemployment rate was revised lower to 3.6% from 3.7%.


47


2019 Annual Report

October 31, 2019

Investment Overview (unaudited) (cont'd)

Treasury Securities Portfolio

•  Subsequent to the June 2019 FOMC meeting, Fed Chairman Powell spoke on June 25 at the Council on Foreign Relations, where he reiterated economic crosscurrents have reemerged and risks to the baseline economic outlook have grown.

•  Citing weakening global growth and muted inflation pressures, the FOMC lowered the range for the federal funds rate by 0.25% to 2.00% to 2.25% at its July 2019 meeting. While acknowledging the U.S. economy and labor market remained strong, Fed Chairman Powell highlighted global uncertainties, including weaker growth in the European Union and China as risks to the outlook justifying the rate cut. The FOMC reiterated it would "act as appropriate to sustain the expansion," thus leaving the door open to potential future rate cuts if global economic growth continued to weaken. In addition to lowering the federal funds rate, the FOMC lowered the IOER rate by 0.25% to 2.10% and ended its balance sheet run-off program two months earlier than expected.

•  Second quarter 2019 GDP cooled to 2.1% as weaknesses were evident. Businesses showed wariness to expand and delayed investment decisions as uncertainties surrounding trade tension mounted. However, personal consumption remained strong and contributed a substantial share of economic growth. The labor market remained strong with the unemployment rate falling to 3.7% in June 2019. The pace of non-farm payrolls averaged 152,000 in the second quarter of 2019, down from the first quarter.

•  On August 1, 2019, President Trump announced the U.S. would impose a 10% tariff on the remaining $300 billion of Chinese imports starting September 1 after negotiations failed to make progress. China pledged to retaliate. The sharp decline in the value of the Chinese yuan that followed led the Trump administration to formally label China a currency manipulator.

•  The August 2019 employment data showed weaker-than-expected job gains with downward revisions to prior months, but wage growth was surprisingly stronger than expected. Comments from Fed Chairman Powell reflected the challenges of responding to an economy where the job market and the consumer remained strong but was facing

headwinds such as the rising trade tensions compounded by a general slowdown in global growth.

•  At the September 2019 FOMC meeting, the Committee cut policy rates by 25 bps to 1.75% to 2.00% as members "judged that downside risks to the outlook for economic activity had increased since their July meeting, particularly those stemming from trade policy uncertainty and conditions abroad." Separately, September 2019 witnessed a spike in overnight repo funding levels, which is not unusual given seasonal pressures related to corporate tax payments and the end of the quarter. However, a confluence of other factors such as the market absorbing an increased supply of Treasury securities after the recent lifting of the debt ceiling, exacerbated by lower bank reserves and tight bank balance sheets, raised the Secured Overnight Financing Rate as high as 5.25%. The Federal Reserve intervened with temporary open market operations and normalized the repo market for the remainder of September.

•  Third quarter GDP expanded more than expected at a 1.9% annualized rate, largely due to strength in the consumer spending sector, the biggest part of the economy. After an upward revision to 180,000 jobs created in September 2019, third quarter 2019 non-farm payrolls averaged 188,000, a promising sign that workers continue to find employment opportunities. The jobless rate unexpectedly dropped 0.2% to 3.5% in September 2019, the lowest reading since December 1969.

•  As widely expected, the Fed cut interest rates for the third time in 2019 at its October FOMC meeting. In the prepared statement, the Committee dropped its pledge to "act as appropriate to sustain the expansion," while adding in promises to monitor incoming data as members "assess the appropriate path of the target for the federal funds rate." Changes to the statement suggested that policy makers are comfortable leaving interest rates on hold in the near term, while the market ended the month pricing in less than one additional rate cut over the next year. In addition, on October 11, 2019, the Fed announced that it will begin buying $60 billion of Treasury bills per month to improve its control over monetary policy, with a goal of expanding


48


2019 Annual Report

October 31, 2019

Investment Overview (unaudited) (cont'd)

Treasury Securities Portfolio

its balance sheet to $1.7 trillion by year-end. While purely technical in nature, short-end Treasuries rallied on the back of the news, further flattening the yield curve. At the same time, Fed also announced that it will "conduct term and overnight repurchase agreement operations at least through January of next year to ensure that the supply of reserves remains ample."

Management Strategies

•  As of October 31, 2019, the Fund had net assets of approximately $24.3 billion. The Fund's weighted average maturity (WAM) and weighted average life (WAL) were 44 days and 113 days, respectively.

•  We continued to ensure high levels of liquidity and manage the portfolio to be responsive to changes in market conditions and interest rate levels. We purchased fixed and floating-rate U.S. Treasuries for the portfolio and remained focused on portfolio liquidity and conservative positioning while seeking to maintain a competitive return for investors.

(i)  Source: Bloomberg L.P.

(ii)  Source for GDP data shown in this report: U.S. Bureau of Economic Analysis

(iii)  Source for unemployment and non-farm payrolls data shown in this report: U.S. Bureau of Labor Statistics

(iv)  Source for Treasury yields data shown in this report: Bloomberg L.P.


49


2019 Annual Report

October 31, 2019

Portfolio of Investments

Treasury Securities Portfolio

    Face
Amount
(000)		   Value
(000)		  

U.S. Treasury Securities (104.9%)

  

U.S. Treasury Bills,

  

1.59%, 12/31/19 (a)(b)

  

$

1,200,000

    

$

1,197,088

    

1.63%, 1/30/20 (a)

    

1,000,000

      

995,991

    

1.65%, 4/30/20 (a)

    

75,000

      

74,393

    

1.69%, 12/17/19 (a)

    

150,000

      

149,682

    

1.70%, 12/24/19 (a)

    

1,350,000

      

1,346,684

    

1.74%, 12/3/19 (a)

    

715,000

      

713,913

    

1.76%, 11/12/19 (a)

    

620,000

      

619,674

    

1.83%, 11/26/19 - 1/23/20 (a)

    

1,819,640

      

1,814,783

    

1.85%, 11/7/19 (a)

    

275,000

      

274,917

    

1.86%, 1/2/20 (a)

    

550,000

      

548,268

    

1.88%, 3/12/20 (a)

    

425,000

      

422,149

    

1.89%, 11/19/19 - 2/27/20 (a)

    

1,895,000

      

1,891,877

    

1.90%, 11/5/19 (a)

    

1,765,000

      

1,764,633

    

1.91%, 3/26/20 (a)

    

215,000

      

213,378

    

1.94%, 2/6/20 - 2/13/20 (a)

    

489,158

      

486,522

    

1.95%, 11/14/19 (a)

    

381,320

      

381,057

    

1.98%, 12/5/19 (a)

    

540,315

      

539,321

    

2.03%, 1/9/20 (a)

    

859,400

      

856,137

    

2.07%, 12/12/19 (a)

    

408,460

      

407,522

    

2.10%, 12/19/19 (a)

    

275,000

      

274,247

    

2.26%, 11/29/19 (a)

    

1,150,000

      

1,148,025

    

U.S. Treasury Notes,

  

1.13%, 12/31/19 - 4/30/20

    

883,000

      

881,488

    

1.25%, 2/29/20

    

150,000

      

149,675

    

1.38%, 1/31/20 - 2/29/20

    

500,000

      

499,263

    

1.63%, 12/31/19

    

1,241,000

      

1,240,769

    

1.64%, 1/31/20 (c)

    

865,000

      

864,803

    
3 Month Treasury Money Market Yield + 0.03%,
1.67%, 4/30/20 (c)		    

985,000

      

984,571

    
3 Month Treasury Money Market Yield + 0.04%,
1.68%, 7/31/20 (c)		    

1,328,000

      

1,327,321

    
3 Month Treasury Money Market Yield + 0.05%,
1.68%, 10/31/20 (c)		    

730,000

      

729,309

    
3 Month Treasury Money Market Yield + 0.12%,
1.75%, 1/31/21 (c)		    

1,324,000

      

1,322,921

    
3 Month Treasury Money Market Yield + 0.14%,
1.78%, 4/30/21 (c)		    

40,000

      

39,973

    
3 Month Treasury Money Market Yield + 0.22%,
1.86%, 7/31/21 (c)		    

65,000

      

64,940

    

1.88%, 12/31/19

    

134,000

      

134,031

    
3 Month Treasury Money Market Yield + 0.30%,
1.94%, 10/31/21 (c)		    

150,000

      

150,000

    

2.38%, 4/30/20

    

284,245

      

285,022

    

3.38%, 11/15/19

    

645,000

      

645,333

    

Total Investments (104.9%) (Cost $25,439,680) (d)(e)

    

25,439,680

    

Liabilities in Excess of Other Assets (–4.9%)

    

(1,186,265

)

  

Net Assets (100.0%)

  

$

24,253,415

    

(a)  Rate shown is the yield to maturity at October 31, 2019.

(b)  All or a portion of the security is subject to delayed delivery.

(c)  Floating or variable rate securities: The rates disclosed are as of October 31, 2019. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description in the Portfolio of Investments. Certain variable rate securities may not be 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 in the Portfolio of Investments.

(d)  Securities are available for collateral in connection with securities purchased on a forward commitment basis.

(e)  The aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes.

Portfolio Composition

Classification

   Percentage of
Total Investments		  

U.S. Treasury Securities

    

100.0

%

  

Total Investments

    

100.0

%

  

The accompanying notes are an integral part of the financial statements.
50


2019 Annual Report

October 31, 2019

Investment Overview (unaudited)

Tax-Exempt Portfolio

The Tax-Exempt Portfolio seeks to maximize current income exempt from federal income tax to the extent consistent with preservation of capital and maintenance of liquidity. The Fund invests at least 80% of its assets in high quality short-term municipal obligations, the interest of which is exempt from federal income taxes and is not subject to the federal alternative minimum tax. The Fund may invest up to 20% of its assets in taxable money market securities or in municipal obligations that pay interest income that may be subject to the alternative minimum tax. However, it is currently intended that the Fund will be managed so that income generated by the Fund will not be subject to the alternative minimum tax. The Fund now operates as an "institutional money market fund," which is neither a "government money market fund" nor "retail money market fund" as such terms are defined or interpreted under Rule 2a-7 under the Investment Company Act of 1940, as amended. As such, the Fund is required to price and transact in its shares at a net asset value reflecting market-based values of its portfolio holdings (i.e., at a "floating" net asset value), rounded to the fourth decimal place. Like other "Floating NAV" money market funds of its type, the Fund is subject to the possible imposition of liquidity fees and/or redemption gates. The Fund may impose a fee upon the sale of your shares or may temporarily suspend your ability to sell shares if the Fund's liquidity falls below required minimums because of market conditions or other factors.

Performance

For the fiscal year ended October 31, 2019, the Fund's Institutional Share Class had a total return of 1.43%. For the seven-day period ended October 31, 2019, the Fund's Institutional Share Class provided an annualized current yield of 1.06% (subsidized) and 0.95% (non-subsidized), while its 30-day moving average annualized yield was 1.19% (subsidized) and 1.09% (non-subsidized). Yield quotation more closely reflects the current earnings of the Fund than the total return. The non-subsidized yield reflects what the yield would have been had a fee and/or expense waiver not been in place during the period shown. Past performance is no guarantee of future results.

Factors Affecting Performance

•  Interest rates at the long end of the municipal money market maturity range have shifted lower over the past year as trade tensions and signs of a slowing global economy have led market participants to price in a shift to easing of Federal Reserve (the "Fed") monetary policy. As expected by the market, the Fed lowered rates by 25 basis points

at its October 30, 2019 meeting, the third time in 2019, and signaled it may pause at least for one meeting.

•  In the wake of federal tax reform, municipals have become more attractive investments, particularly for high earners in high tax states. This has led to strong asset inflows into municipal bond funds and separately managed accounts and kept the appetite hearty for shorter-duration issues. The Bond Buyer One-Year Note Index stood at 1.22% at the end of October 2019, down from 1.90% at the end of 2018.(i)

•  The Securities Industry and Financial Markets Association (SIFMA) Municipal Swap Index, which measures yields for weekly variable rate demand obligations (VRDOs), was at 1.12% at the end of October 2019 down from 1.71% at the end of 2018.(ii)

•  However, the SIFMA Index has experienced significant bouts of volatility year-to-date in 2019. Notably, a significant surge occurred during the March-April 2019 tax-payment time period as tax bills came due and investors realized the impact of the federal government's cap on state and local tax deductions. Municipal money market funds lost assets during the months of March and April as investors made tax liability payments. With dealer inventories on the rise, volatility returned to the market as dealers sought to recruit additional crossover buyers in the form of separately managed accounts and short-bond fund investors. This led to a spike in the SIFMA Index from 1.50% at the end of March to 2.30% on April 24.

•  The nation's broad economic expansion had a beneficial impact on state tax revenue collections in 2019. In its spring 2019 Fiscal Survey of the States, the National Association of State Budget Officers noted that most states have made upward revisions to their revenue estimates compared to budget projections. The survey predated April 2019 tax collections, which produced further positive variances for state tax collections.

•  In a recently published report, Moody's Investors Service noted strong revenue collections have allowed states to limit the amount of debt issued to fund capital investments, opting to utilize pay-as-you-go financing for capital investments rather than issuing


51


2019 Annual Report

October 31, 2019

Investment Overview (unaudited) (cont'd)

Tax-Exempt Portfolio

bonds. Moody's cited steady revenue growth since the last recession as the principal reason for this shift in funding priorities. It also pointed to the growing trend of taxpayer aversion to increased debt or taxes as contributing factors as well.

Management Strategies

•  As of October 31, 2019, the Fund had net assets of approximately $620 million. The Fund's weighted average maturity (WAM) and weighted average life (WAL) were 31 days and 32 days, respectively.

•  Our investment philosophy emphasizes risk management and a disciplined credit research process to assist in our ability to respond to market and economic developments. In the period ahead, we will maintain our emphasis on high levels of liquidity and short duration as we watch to see how monetary policy unfolds and determine what impact it may have on municipal yields.

(i)  Source: Bond Buyer. The Bond Buyer One-Year Note Index consists of 10 states and cities that are regular issuers of cash-flow notes and measures the estimated yields of these bonds on a weekly basis. The index performance is provided for illustrative purposes only and is not meant to depict the performance of a specific investment.

(ii)  Source for SIFMA Index data: Bloomberg LP. SIFMA Index is issued weekly and is compiled from the weekly interest rate resets of tax-exempt variable rate issues included in a database maintained by Municipal Market Data which meet specific criteria established from time to time by The Securities Industry and Financial Markets Association.


52


2019 Annual Report

October 31, 2019

Portfolio of Investments

Tax-Exempt Portfolio

    Face
Amount
(000)		   Value
(000)		  

Tax-Exempt Instruments (99.8%)

  

Weekly Variable Rate Bonds (a) (74.8%)

  
Austin, TX, Water & Wastewater System Ser 2008
1.13%, 5/15/31		  

$

21,000

    

$

21,000

    
Colorado Springs, CO, Utilities System Sub Lien
Ser 2005 A
1.10%, 11/1/35		    

25,100

      

25,100

    
Columbia, SC, Waterworks & Sewer System
Ser 2009
1.12%, 2/1/38		    

10,200

      

10,200

    
Delaware Health Facilities Authority, Christiana
Care Health Services Ser 2010 B
1.16%, 10/1/40		    

19,180

      

19,180

    
District of Columbia, The Pew Charitable Trusts
Ser 2008 A
1.14%, 4/1/38		    

22,365

      

22,365

    
District of Columbia Water & Sewer Authority,
Public Utility Ser 2014 B-2
1.11%, 10/1/50		    

7,175

      

7,175

    
Public Utility Ser B-1
1.11%, 10/1/50		    

6,170

      

6,170

    
Gainesville, FL, Utilities System 2012 Ser B
1.15%, 10/1/42		    

16,735

      

16,735

    
Hennepin County, MN, Ser 2018 B
1.10%, 12/1/38		    

30,000

      

30,000

    
Houston, TX,
Airport Sub Lien Ser 2010 (AMT)
1.12%, 7/1/30		    

26,000

      

26,000

    
Combined Utility System First Lien
Ser 2004 B-5
1.11%, 5/15/34		    

13,000

      

13,000

    
Indiana Finance Authority, Trinity Health
Ser 2008 D-1
1.13%, 12/1/34		    

19,400

      

19,400

    
Miami-Dade County, FL, Seaport Revenue
Ser 2014 A
1.13%, 10/1/50		    

30,000

      

30,000

    
Nebraska Investment Finance Authority, Single
Family Housing Bonds Ser 2017 C
1.13%, 9/1/47		    

24,600

      

24,600

    
RBC Municipal Products Trust Inc, MA, Partners
Healthcare System Adjustable Ser 2019 T-2
Floater Certificates Ser 2018-E-130
1.15%, 11/1/23 (b)		    

8,000

      

8,000

    
RBC Municipal Products Trust Inc, MO,
Health and Educational Facilities Authority of
the State of Missouri SSM Health
Ser 2019 A Floater Certificates
Ser 2019-C17
1.16%, 12/1/39 (b)		    

8,000

      

8,000

    
RBC Municipal Products Trust Inc, NY,
Battery Park City Authority Ser E,
Floater Certificates
Ser 2019-E-137
1.22%, 8/6/23 (b)		    

13,000

      

13,000

    
New York City Municipal Water Finance
Authority Adjustable Ser 2019-CC Floater
Certificates Ser 2018-E-129
1.15%, 11/15/22 (b)		    

24,000

      

24,000

    
    Face
Amount
(000)		   Value
(000)		  
New York City Variable Ser 2006 Subser I-5
Floater Certificates Ser 2019-E133
1.22%, 5/1/23 (b)		  

$

5,000

    

$

5,000

    
RBC Municipal Products Trust Inc, OH, Kettering
Health Network Obligation Group Adjustable
Ser 2019 B Floater Certificates
Ser 2019-E132
1.15%, 10/1/24 (b)		    

18,000

      

18,000

    
RBC Municipal Products Trust Inc, SC,
South Carolina Transportation Infrastructure
Bank Ser 2017 A, Floater Certificates
Ser 2019-G109
1.39%, 10/1/25 (b)		    

3,000

      

3,000

    
Tender Option Bond Trust, DC, District of
Columbia Housing Finance Agency,
Multi-Family Housing Ser 2014 A Puttable
Floating Rate Receipts
Ser 2019-BAML 8001
1.20%, 8/1/47 (b)		    

24,100

      

24,100

    
Tender Option Bond Trust, TX, Harris County
Cultural Education Facilities Financing
Corporation Baylor College of Medicine
Ser B Puttable Floating Rate Receipts
Ser 2019-BAML 5012
1.17%, 11/15/46 (b)		    

9,000

      

9,000

    
Harris County Cultural Education Facilities
Financing Corporation Baylor College of
 Medicine Ser B Puttable Floating Rate Receipts
Ser 2019-BAML 5013
1.17%, 11/15/46 (b)		    

8,000

      

8,000

    
Texas Transportation Commission,
State Highway Fund First Tier Revenue Bonds,
Ser 2014 B-1
1.09%, 4/1/32		    

24,500

      

24,500

    
University of Texas Regents,
Permanent University Fund
Ser 2008 A
1.06%, 7/1/38		    

16,200

      

16,200

    
Utah Water Finance Agency, Ser 2008 B
1.15%, 10/1/37		    

6,810

      

6,810

    
Washington Suburban Sanitary District, MD, 2015
Ser B-3 BANs
1.11%, 6/1/23		    

25,100

      

25,100

    

Total Weekly Variable Rate Bonds (Cost $463,635)

    

463,635

    

Daily Variable Rate Bonds (a) (10.1%)

  
East Baton Rouge Parish, LA, Exxon Mobil Corp
Ser 2010 B
1.30%, 12/1/40		    

25,000

      

25,000

    
JPMorgan Chase & Co., Montgomery County OH,
Hospital Revenue Premier Health Partners
Obligation Group — Miami Valley Hospital
Ser 2018 Putters Ser 5023
1.38%, 12/20/23 (b)		    

11,000

      

11,000

    
Mississippi Business Finance Corporation,
Chevron USA Ser 2010 G
1.26%, 11/1/35		    

26,600

      

26,600

    

Total Daily Variable Rate Bonds (Cost $62,600)

    

62,600

    

The accompanying notes are an integral part of the financial statements.
53


2019 Annual Report

October 31, 2019

Portfolio of Investments (cont'd)

Tax-Exempt Portfolio

    Face
Amount
(000)		   Value
(000)		  

Municipal Bonds & Notes (6.1%)

  
Texas, Ser 2019 TRANs
4.00%, 8/27/20		  

$

30,000

    

$

30,690

    
Union Township, OH, BANs Ser 2019
2.25%, 9/2/20		    

7,000

      

7,059

    

Total Municipal Bonds & Notes (Cost $37,713)

    

37,749

    

Commercial Paper (5.4%)

  
Texas A&M Tax-Exempt Revenue Financing System,
Ser B 1.58%, 11/5/19		    

12,700

      

12,700

    
University of Texas Regents, Financing System
Ser 2015 A 1.29%, 5/28/20		    

21,000

      

21,006

    

Total Commercial Paper (Cost $33,700)

    

33,706

    

Closed-End Investment Company (a) (3.4%)

  
Nuveen AMT-Free Municipal Credit Income Fund, OT,
Ser 1 1.26%, 12/1/43 (b) (Cost $21,000)		    

21,000

      

21,000

    

Total Investments (99.8%) (Cost $618,648) (c)

    

618,690

    

Other Assets in Excess of Liabilities (0.2%)

    

942

    

Net Assets (100.0%)

  

$

619,632

    

(a)  Floating or variable rate securities: The rates disclosed are as of October 31, 2019. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description in the Portfolio of Investments. Certain variable rate securities may not be 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 in the Portfolio of Investments.

(b)  144A security — Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid.

(c)  At October 31, 2019, the aggregate cost for federal income tax purposes is approximately $618,648,000. The aggregate gross unrealized appreciation is approximately $42,000 and the aggregate gross unrealized depreciation is approximately $0, resulting in net unrealized appreciation of approximately $42,000.

AMT  Alternative Minimum Tax.

BANs  Bond Anticipation Notes.

PUTTERs  Puttable Tax-Exempt Receipts.

TRANs  Tax and Revenue Anticipation Notes.

Portfolio Composition

Classification

   Percentage of
Total Investments		  

Weekly Variable Rate Bonds

    

74.9

%

  

Daily Variable Rate Bonds

    

10.1

    

Municipal Bonds & Notes

    

6.1

    

Commercial Paper

    

5.5

    

Other*

    

3.4

    

Total Investments

    

100.0

%

  

*  Industries and/or investment types representing less than 5% of total investments.

Summary of Tax-Exempt Instruments by State/Territory

State/Territory

   Value
(000)		   Percent of
Net Assets		  

Texas

  

$

182,096

      

29.4

%

  

District of Columbia

    

59,810

      

9.7

    

Florida

    

46,735

      

7.6

    

New York

    

42,000

      

6.8

    

Ohio

    

36,059

      

5.8

    

Minnesota

    

30,000

      

4.8

    

Mississippi

    

26,600

      

4.3

    

Colorado

    

25,100

      

4.0

    

Maryland

    

25,100

      

4.0

    

Louisiana

    

25,000

      

4.0

    

Nebraska

    

24,600

      

4.0

    

Other

    

21,000

      

3.4

    

Indiana

    

19,400

      

3.1

    

Delaware

    

19,180

      

3.1

    

South Carolina

    

13,200

      

2.1

    

Massachusetts

    

8,000

      

1.3

    

Missouri

    

8,000

      

1.3

    

Utah

    

6,810

      

1.1

    
   

$

618,690

      

99.8

%

  

The accompanying notes are an integral part of the financial statements.
54


2019 Annual Report

October 31, 2019

Statements of Assets and Liabilities

    ESG
Money Market
Portfolio
(000)		   Prime
Portfolio
(000)		   Government
Portfolio
(000)		   Government
Securities
Portfolio
(000)		  

Assets:

  

Investments in Securities of Unaffiliated Issuers, at Cost

  

$

3,354,061

    

$

12,443,368

    

$

63,921,130

    

$

2,917,895

    

Total Investments in Securities, at Value(1)

    

3,354,901

      

12,446,470

      

63,921,130

      

2,917,895

    

Cash

    

296

      

420

      

—

      

1,427

    

Interest Receivable

    

3,791

      

10,530

      

51,498

      

3,523

    

Receivable for Investments Sold

    

—

      

100,129

      

—

      

—

    

Other Assets

    

162

      

522

      

2,411

      

675

    

Total Assets

    

3,359,150

      

12,558,071

      

63,975,039

      

2,923,520

    

Liabilities:

  

Payable for Investments Purchased

    

—

      

—

      

150,000

      

—

    

Dividends Payable

    

819

      

7,989

      

46,722

      

271

    

Payable for Advisory Fees

    

242

      

1,028

      

6,052

      

344

    

Payable for Portfolio Shares Redeemed

    

159

      

244

      

635

      

1

    

Payable for Administration Fees

    

141

      

517

      

2,622

      

132

    

Payable for Professional Fees

    

52

      

43

      

39

      

48

    

Payable for Transfer Agency Fees

    

35

      

67

      

47

      

6

    

Payable for Custodian Fees

    

18

      

41

      

184

      

10

    

Payable for Administration Plan Fees — Institutional Select Class

    

—

@

    

1

      

15

      

—

@

  

Payable for Administration Plan Fees — Investor Class

    

—

      

—

      

258

      

—

@

  

Payable for Administration Plan Fees — Administrative Class

    

—

      

—

      

26

      

—

@

  
Payable for Service and Shareholder Administration Plan Fees —
Advisory Class		    

—

@

    

—

@

    

196

      

8

    
Payable for Distribution Plan and Shareholder Service Plan Fees —
Participant Class		    

—

@

    

—

      

407

      

614

    
Payable for Distribution Plan and Shareholder Service Plan Fees —
Cash Management Class		    

2

      

2

      

1

      

—

@

  
Payable for Distribution Plan and Shareholder Service Plan Fees —
Select Class		    

—

      

—

      

—

@

    

—

    

Bank Overdraft

    

—

      

—

      

160

      

—

    

Other Liabilities

    

75

      

398

      

2,029

      

544

    

Total Liabilities

    

1,543

      

10,330

      

209,393

      

1,978

    

Net Assets

  

$

3,357,607

    

$

12,547,741

    

$

63,765,646

    

$

2,921,542

    

Net Assets Consist of:

  

Paid-in-Capital

  

$

3,356,620

    

$

12,544,607

    

$

63,768,341

    

$

2,921,286

    

Total Distributable Earnings (Loss)

    

987

      

3,134

      

(2,695

)

    

256

    

Net Assets

  

$

3,357,607

    

$

12,547,741

    

$

63,765,646

    

$

2,921,542

    
(1) Including:
Repurchase Agreements, at Value		  

$

1,451,000

    

$

4,616,200

    

$

33,020,229

    

$

—

    

The accompanying notes are an integral part of the financial statements.
55


2019 Annual Report

October 31, 2019

Statements of Assets and Liabilities (cont'd)

    ESG
Money Market
Portfolio
(000)		   Prime
Portfolio
(000)		   Government
Portfolio
(000)		   Government
Securities
Portfolio
(000)		  

INSTITUTIONAL CLASS:

  

Net Assets

  

$

3,345,665

    

$

12,521,950

    

$

57,870,416

    

$

157,694

    
Shares Outstanding $0.01 par value shares of beneficial interest
(unlimited number of shares authorized) (not in 000's)		    

3,343,123,024

      

12,512,453,020

      

57,872,337,256

      

157,680,331

    

Net Asset Value, Offering and Redemption Price Per Share

  

$

1.0008

    

$

1.0008

    

$

1.000

    

$

1.000

    

INSTITUTIONAL SELECT CLASS:

  

Net Assets

  

$

51

    

$

12,203

    

$

350,876

    

$

51

    
Shares Outstanding $0.01 par value shares of beneficial interest
(unlimited number of shares authorized) (not in 000's)		    

50,779

      

12,195,813

      

350,894,731

      

50,687

    

Net Asset Value, Offering and Redemption Price Per Share

  

$

1.0006

    

$

1.0006

    

$

1.000

    

$

1.000

    

INVESTOR CLASS:

  

Net Assets

  

$

—

    

$

—

    

$

3,447,615

    

$

1,006

    
Shares Outstanding $0.01 par value shares of beneficial interest
(unlimited number of shares authorized) (not in 000's)		    

—

      

—

      

3,447,723,691

      

1,006,230

    

Net Asset Value, Offering and Redemption Price Per Share

  

$

—

    

$

—

    

$

1.000

    

$

1.000

    

ADMINISTRATIVE CLASS:

  

Net Assets

  

$

—

    

$

—

    

$

186,966

    

$

51

    
Shares Outstanding $0.01 par value shares of beneficial interest
(unlimited number of shares authorized) (not in 000's)		    

—

      

—

      

186,973,594

      

50,654

    

Net Asset Value, Offering and Redemption Price Per Share

  

$

—

    

$

—

    

$

1.000

    

$

1.000

    

ADVISORY CLASS:

  

Net Assets

  

$

51

    

$

51

    

$

962,234

    

$

38,039

    
Shares Outstanding $0.01 par value shares of beneficial interest
(unlimited number of shares authorized) (not in 000's)		    

50,675

      

50,710

      

962,292,743

      

38,039,552

    

Net Asset Value, Offering and Redemption Price Per Share

  

$

1.0010

    

$

1.0003

    

$

1.000

    

$

1.000

    

PARTICIPANT CLASS:

  

Net Assets

  

$

51

    

$

—

    

$

942,575

    

$

2,724,346

    
Shares Outstanding $0.01 par value shares of beneficial interest
(unlimited number of shares authorized) (not in 000's)		    

50,626

      

—

      

942,606,859

      

2,724,080,136

    

Net Asset Value, Offering and Redemption Price Per Share

  

$

1.0006

    

$

—

    

$

1.000

    

$

1.000

    

CASH MANAGEMENT CLASS:

  

Net Assets

  

$

11,789

    

$

13,537

    

$

4,914

    

$

355

    
Shares Outstanding $0.01 par value shares of beneficial interest
(unlimited number of shares authorized) (not in 000's)		    

11,783,443

      

13,529,761

      

4,913,989

      

354,377

    

Net Asset Value, Offering and Redemption Price Per Share

  

$

1.0005

    

$

1.0005

    

$

1.000

    

$

1.000

    

SELECT CLASS:

  

Net Assets

  

$

—

    

$

—

    

$

50

    

$

—

    
Shares Outstanding $0.01 par value shares of beneficial interest
(unlimited number of shares authorized) (not in 000's)		    

—

      

—

      

50,457

      

—

    

Net Asset Value, Offering and Redemption Price Per Share

  

$

—

    

$

—

    

$

1.000

    

$

—

    

@  Amount is less than $500.

The accompanying notes are an integral part of the financial statements.
56


2019 Annual Report

October 31, 2019

Statements of Assets and Liabilities

    Treasury
Portfolio
(000)		   Treasury
Securities
Portfolio
(000)		   Tax-Exempt
Portfolio
(000)		  

Assets:

  

Investments in Securities of Unaffiliated Issuers, at Cost

  

$

16,984,802

    

$

25,439,680

    

$

618,648

    

Total Investments in Securities, at Value(1)

    

16,984,802

      

25,439,680

      

618,690

    

Cash

    

3,185

      

6,422

      

20

    

Interest Receivable

    

9,434

      

22,594

      

1,077

    

Other Assets

    

768

      

943

      

106

    

Total Assets

    

16,998,189

      

25,469,639

      

619,893

    

Liabilities:

  

Payable for Investments Purchased

    

100,000

      

1,197,088

      

—

    

Dividends Payable

    

11,808

      

13,863

      

85

    

Payable for Advisory Fees

    

1,875

      

2,927

      

23

    

Payable for Portfolio Shares Redeemed

    

66

      

442

      

23

    

Payable for Administration Fees

    

699

      

1,010

      

27

    

Payable for Professional Fees

    

52

      

43

      

45

    

Payable for Transfer Agency Fees

    

23

      

26

      

29

    

Payable for Custodian Fees

    

50

      

65

      

3

    

Payable for Administration Plan Fees — Institutional Select Class

    

11

      

4

      

—

@

  

Payable for Administration Plan Fees — Investor Class

    

1

      

—

@

    

—

    

Payable for Administration Plan Fees — Administrative Class

    

—

@

    

—

@

    

—

    

Payable for Service and Shareholder Administration Plan Fees — Advisory Class

    

102

      

8

      

—

    

Payable for Distribution Plan and Shareholder Service Plan Fees — Participant Class

    

393

      

—

@

    

—

    

Payable for Distribution Plan and Shareholder Service Plan Fees — Cash Management Class

    

2

      

2

      

1

    

Payable for Distribution Plan and Shareholder Service Plan Fees — Select Class

    

—

@

    

—

@

    

—

    

Other Liabilities

    

619

      

746

      

25

    

Total Liabilities

    

115,701

      

1,216,224

      

261

    

Net Assets

  

$

16,882,488

    

$

24,253,415

    

$

619,632

    

Net Assets Consist of:

  

Paid-in-Capital

  

$

16,883,953

    

$

24,255,126

    

$

619,649

    

Total Accumulated Loss

    

(1,465

)

    

(1,711

)

    

(17

)

  

Net Assets

  

$

16,882,488

    

$

24,253,415

    

$

619,632

    
(1) Including:
Repurchase Agreements, at Value		  

$

9,694,755

    

$

—

    

$

—

    

The accompanying notes are an integral part of the financial statements.
57


2019 Annual Report

October 31, 2019

Statements of Assets and Liabilities (cont'd)

    Treasury
Portfolio
(000)		   Treasury
Securities
Portfolio
(000)		   Tax-Exempt
Portfolio
(000)		  

INSTITUTIONAL CLASS:

  

Net Assets

  

$

14,630,148

    

$

23,790,835

    

$

612,147

    
Shares Outstanding $0.01 par value shares of beneficial interest
(unlimited number of shares authorized) (not in 000's)		    

14,631,280,199

      

23,792,511,665

      

612,112,047

    

Net Asset Value, Offering and Redemption Price Per Share

  

$

1.000

    

$

1.000

    

$

1.0001

    

INSTITUTIONAL SELECT CLASS:

  

Net Assets

  

$

239,361

    

$

398,934

    

$

50

    
Shares Outstanding $0.01 par value shares of beneficial interest
(unlimited number of shares authorized) (not in 000's)		    

239,383,381

      

398,934,822

      

50,452

    

Net Asset Value, Offering and Redemption Price Per Share

  

$

1.000

    

$

1.000

    

$

1.0001

    

INVESTOR CLASS:

  

Net Assets

  

$

14,834

    

$

51

    

$

—

    
Shares Outstanding $0.01 par value shares of beneficial interest
(unlimited number of shares authorized) (not in 000's)		    

14,835,373

      

50,664

      

—

    

Net Asset Value, Offering and Redemption Price Per Share

  

$

1.000

    

$

1.000

    

$

—

    

ADMINISTRATIVE CLASS:

  

Net Assets

  

$

3,534

    

$

2,015

    

$

—

    
Shares Outstanding $0.01 par value shares of beneficial interest
(unlimited number of shares authorized) (not in 000's)		    

3,533,897

      

2,015,313

      

—

    

Net Asset Value, Offering and Redemption Price Per Share

  

$

1.000

    

$

1.000

    

$

—

    

ADVISORY CLASS:

  

Net Assets

  

$

545,826

    

$

42,143

    

$

—

    
Shares Outstanding $0.01 par value shares of beneficial interest
(unlimited number of shares authorized) (not in 000's)		    

545,855,495

      

42,148,437

      

—

    

Net Asset Value, Offering and Redemption Price Per Share

  

$

1.000

    

$

1.000

    

$

—

    

PARTICIPANT CLASS:

  

Net Assets

  

$

1,430,849

    

$

629

    

$

—

    
Shares Outstanding $0.01 par value shares of beneficial interest
(unlimited number of shares authorized) (not in 000's)		    

1,430,958,623

      

629,303

      

—

    

Net Asset Value, Offering and Redemption Price Per Share

  

$

1.000

    

$

1.000

    

$

—

    

CASH MANAGEMENT CLASS:

  

Net Assets

  

$

17,886

    

$

18,758

    

$

7,435

    
Shares Outstanding $0.01 par value shares of beneficial interest
(unlimited number of shares authorized) (not in 000's)		    

17,883,424

      

18,760,509

      

7,434,497

    

Net Asset Value, Offering and Redemption Price Per Share

  

$

1.000

    

$

1.000

    

$

1.0001

    

SELECT CLASS:

  

Net Assets

  

$

50

    

$

50

    

$

—

    
Shares Outstanding $0.01 par value shares of beneficial interest
(unlimited number of shares authorized) (not in 000's)		    

50,443

      

50,426

      

—

    

Net Asset Value, Offering and Redemption Price Per Share

  

$

1.000

    

$

1.000

    

$

—

    

@  Amount is less than $500.

The accompanying notes are an integral part of the financial statements.
58


2019 Annual Report

October 31, 2019

Statements of Operations

    ESG
Money Market
Portfolio
(000)		   Prime
Portfolio
(000)		   Government
Portfolio
(000)		   Government
Securities
Portfolio
(000)		  

Investment Income:

  

Interest

  

$

69,695

    

$

268,921

    

$

1,333,852

    

$

72,922

    

Expenses:

  

Advisory Fees (Note B)

    

4,119

      

15,883

      

85,379

      

4,706

    

Administration Fees (Note C)

    

1,373

      

5,294

      

28,460

      

1,569

    

Transfer Agency Fees (Note E)

    

109

      

204

      

147

      

22

    

Custodian Fees (Note F)

    

106

      

240

      

1,044

      

54

    

Professional Fees

    

104

      

80

      

83

      

96

    

Registration Fees

    

103

      

117

      

183

      

409

    

Trustees' Fees and Expenses

    

59

      

228

      

1,365

      

73

    

Shareholder Reporting Fees

    

27

      

28

      

98

      

42

    

Administration Plan Fees — Institutional Select Class (Note D)

    

—

@

    

6

      

228

      

1

    

Administration Plan Fees — Investor Class (Note D)

    

—

      

—

      

2,654

      

1

    

Administration Plan Fees — Administrative Class (Note D)

    

—

      

—

      

227

      

—

@

  

Service and Shareholder Administration Plan Fees — Advisory Class (Note D)

    

—

@

    

—

@

    

2,655

      

89

    

Distribution Plan and Shareholder Services Plan Fees — Participant Class (Note D)

    

—

@

    

—

      

4,327

      

15,148

    

Distribution Plan and Shareholder Services Plan Fees — Cash Management Class (Note D)

    

19

      

25

      

11

      

1

    

Distribution Plan and Shareholder Services Plan Fees — Select Class (Note D)

    

—

      

—

      

—

@

    

—

    

Pricing Fees

    

12

      

31

      

16

      

6

    

Other Expenses

    

67

      

163

      

540

      

151

    

Expenses Before Non Operating Expenses

    

6,098

      

22,299

      

127,417

      

22,368

    

Bank Overdraft Expense

    

2

      

—

      

2

      

—

    

Total Expenses

    

6,100

      

22,299

      

127,419

      

22,368

    

Waiver of Advisory Fees (Note B)

    

(1,720

)

    

(5,470

)

    

(21,284

)

    

(855

)

  

Waiver of Distribution Plan and Shareholder Services Plan Fees — Participant Class (Note D)

    

—

      

—

      

—

      

(7,574

)

  

Net Expenses

    

4,380

      

16,829

      

106,135

      

13,939

    

Net Investment Income

    

65,315

      

252,092

      

1,227,717

      

58,983

    

Realized Gain (Loss):

  

Investments Sold

    

82

      

(52

)

    

(2,055

)

    

(26

)

  

Change in Unrealized Appreciation (Depreciation):

  

Investments

    

757

      

2,802

      

—

      

—

    

Net Increase in Net Assets Resulting from Operations

  

$

66,154

    

$

254,842

    

$

1,225,662

    

$

58,957

    

@  Amount is less than $500.

The accompanying notes are an integral part of the financial statements.
59


2019 Annual Report

October 31, 2019

Statements of Operations

    Treasury
Portfolio
(000)		   Treasury
Securities
Portfolio
(000)		   Tax-Exempt
Portfolio
(000)		  

Investment Income:

  

Interest

  

$

400,087

    

$

507,829

    

$

8,988

    

Expenses:

  

Advisory Fees (Note B)

    

25,620

      

33,257

      

867

    

Administration Fees (Note C)

    

8,540

      

11,086

      

289

    

Transfer Agency Fees (Note E)

    

73

      

83

      

88

    

Custodian Fees (Note F)

    

330

      

410

      

18

    

Professional Fees

    

99

      

82

      

90

    

Registration Fees

    

139

      

138

      

99

    

Trustees' Fees and Expenses

    

421

      

515

      

15

    

Shareholder Reporting Fees

    

31

      

54

      

13

    

Administration Plan Fees — Institutional Select Class (Note D)

    

132

      

39

      

—

@

  

Administration Plan Fees — Investor Class (Note D)

    

15

      

6

      

—

    

Administration Plan Fees — Administrative Class (Note D)

    

5

      

5

      

—

    

Service and Shareholder Administration Plan Fees — Advisory Class (Note D)

    

1,240

      

83

      

—

    

Distribution Plan and Shareholder Services Plan Fees — Participant Class (Note D)

    

4,857

      

2

      

—

    

Distribution Plan and Shareholder Services Plan Fees — Cash Management Class (Note D)

    

29

      

42

      

13

    

Distribution Plan and Shareholder Services Plan Fees — Select Class (Note D)

    

—

@

    

—

@

    

—

    

Pricing Fees

    

4

      

3

      

4

    

Other Expenses

    

221

      

253

      

58

    

Total Expenses

    

41,756

      

46,058

      

1,554

    

Waiver of Advisory Fees (Note B)

    

(3,301

)

    

(1,539

)

    

(674

)

  

Net Expenses

    

38,455

      

44,519

      

880

    

Net Investment Income

    

361,632

      

463,310

      

8,108

    

Realized Gain (Loss):

  

Investments Sold

    

(1,779

)

    

(1,847

)

    

1

    

Change in Unrealized Appreciation (Depreciation):

  

Investments

    

—

      

—

      

41

    

Net Increase in Net Assets Resulting from Operations

  

$

359,853

    

$

461,463

    

$

8,150

    

@  Amount is less than $500.

The accompanying notes are an integral part of the financial statements.
60


2019 Annual Report

October 31, 2019

Statements of Changes in Net Assets

    ESG
Money Market
Portfolio		   Prime
Portfolio		  
    Year Ended
October 31, 2019
(000)		   Year Ended
October 31, 2018
(000)		   Year Ended
October 31, 2019
(000)		   Year Ended
October 31, 2018
(000)		  

Increase (Decrease) in Net Assets:

  

Operations:

  

Net Investment Income

  

$

65,315

    

$

20,888

    

$

252,092

    

$

116,294

    

Net Realized Gain (Loss)

    

82

      

39

      

(52

)

    

190

    

Net Change in Unrealized Appreciation (Depreciation)

    

757

      

50

      

2,802

      

(125

)

  

Net Increase in Net Assets Resulting from Operations

    

66,154

      

20,977

      

254,842

      

116,359

    

Dividends and Distributions to Shareholders:

  

Institutional Class

    

(65,030

)

    

(20,672

)

    

(251,440

)

    

(115,943

)

  

Institutional Select Class

    

(1

)

    

(1

)

    

(269

)

    

(243

)

  

Advisory Class

    

(1

)

    

(1

)

    

(1

)

    

(1

)

  

Participant Class

    

(1

)

    

(1

)

    

—

      

—

    

Cash Management Class

    

(282

)

    

(260

)

    

(378

)

    

(338

)

  

Total Dividends and Distributions to Shareholders

    

(65,315

)

    

(20,935

)

    

(252,088

)

    

(116,525

)

  

Capital Share Transactions:(1)

  

Institutional Class:

  

Subscribed

    

10,124,229

      

4,666,048

      

65,986,814

      

43,474,677

    

Distributions Reinvested

    

52,991

      

16,541

      

160,107

      

71,204

    

Redeemed

    

(8,542,166

)

    

(3,594,224

)

    

(61,307,063

)

    

(40,471,729

)

  

Institutional Select Class:

  

Subscribed

    

—

      

—

      

9,505

      

230,931

    

Distributions Reinvested

    

1

      

—

      

259

      

142

    

Redeemed

    

—

      

—

      

(17,975

)

    

(210,715

)

  

Advisory Class:

  

Subscribed

    

—

      

—

      

—

      

726

    

Distributions Reinvested

    

1

      

—

@

    

1

      

—

    

Redeemed

    

—

      

(2

)

    

—

      

(726

)

  

Participant Class:

  

Distributions Reinvested

    

1

      

—

      

—

      

—

    

Cash Management Class:

  

Subscribed

    

—

      

7,386

      

—

      

31,277

    

Distributions Reinvested

    

280

      

257

      

373

      

330

    

Redeemed

    

(2,493

)

    

(11,625

)

    

(8,437

)

    

(24,820

)

  
Net Increase in Net Assets Resulting from
Capital Share Transactions		    

1,632,844

      

1,084,381

      

4,823,584

      

3,101,297

    

Total Increase in Net Assets

    

1,633,683

      

1,084,423

      

4,826,338

      

3,101,131

    

Net Assets:

  

Beginning of Period

    

1,723,924

      

639,501

      

7,721,403

      

4,620,272

    

End of Period

  

$

3,357,607

    

$

1,723,924

    

$

12,547,741

    

$

7,721,403

    

The accompanying notes are an integral part of the financial statements.
61


2019 Annual Report

October 31, 2019

Statements of Changes in Net Assets (cont'd)

    ESG
Money Market
Portfolio		   Prime
Portfolio		  
    Year Ended
October 31, 2019
(000)		   Year Ended
October 31, 2018
(000)		   Year Ended
October 31, 2019
(000)		   Year Ended
October 31, 2018
(000)		  

(1) Capital Share Transactions:

  

Institutional Class:

  

Shares Subscribed

    

10,117,516

      

4,664,032

      

65,943,767

      

43,453,537

    

Shares Issued on Distributions Reinvested

    

52,957

      

16,534

      

159,998

      

71,170

    

Shares Redeemed

    

(8,536,368

)

    

(3,592,681

)

    

(61,266,999

)

    

(40,452,122

)

  

Net Increase in Institutional Class Shares Outstanding

    

1,634,105

      

1,087,885

      

4,836,766

      

3,072,585

    

Institutional Select Class:

  

Shares Subscribed

    

—

      

—

      

9,502

      

230,880

    

Shares Issued on Distributions Reinvested

    

1

      

—

      

259

      

142

    

Shares Redeemed

    

—

      

—

      

(17,970

)

    

(210,667

)

  
Net Increase (Decrease) in Institutional Select Class
Shares Outstanding		    

1

      

—

      

(8,209

)

    

20,355

    

Advisory Class:

  

Shares Subscribed

    

—

      

—

      

—

      

726

    

Shares Issued on Distributions Reinvested

    

1

      

—

@@

    

1

      

—

    

Shares Redeemed

    

—

      

(2

)

    

—

      

(726

)

  

Net Increase (Decrease) in Advisory Class Shares Outstanding

    

1

      

(2

)

    

1

      

—

    

Participant Class:

  

Shares Issued on Distributions Reinvested

    

1

      

—

      

—

      

—

    

Cash Management Class:

  

Shares Subscribed

    

—

      

7,384

      

—

      

31,270

    

Shares Issued on Distributions Reinvested

    

280

      

257

      

373

      

330

    

Shares Redeemed

    

(2,492

)

    

(11,623

)

    

(8,433

)

    

(24,814

)

  
Net Increase (Decrease) in Cash Management Class
Shares Outstanding		    

(2,212

)

    

(3,982

)

    

(8,060

)

    

6,786

    

@    Amount is less than $500.

@@  Amount is less than 500 shares.

The accompanying notes are an integral part of the financial statements.
62


2019 Annual Report

October 31, 2019

Statements of Changes in Net Assets

    Government
Portfolio		   Government Securities
Portfolio		  
    Year Ended
October 31, 2019
(000)		   Year Ended
October 31, 2018
(000)		   Year Ended
October 31, 2019
(000)		   Year Ended
October 31, 2018
(000)		  

Increase (Decrease) in Net Assets:

  

Operations:

  

Net Investment Income

  

$

1,227,717

    

$

790,459

    

$

58,983

    

$

130,139

    

Net Realized Gain (Loss)

    

(2,055

)

    

3

      

(26

)

    

106

    

Net Increase in Net Assets Resulting from Operations

    

1,225,662

      

790,462

      

58,957

      

130,245

    

Dividends and Distributions to Shareholders:

  

Institutional Class

    

(1,124,834

)

    

(728,745

)

    

(1,378

)

    

(988

)

  

Institutional Select Class

    

(9,717

)

    

(16,138

)

    

(36

)

    

(1

)

  

Investor Class

    

(54,931

)

    

(19,159

)

    

(16

)

    

(2

)

  

Administrative Class

    

(3,042

)

    

(2,268

)

    

(1

)

    

(1

)

  

Advisory Class

    

(20,602

)

    

(15,110

)

    

(661

)

    

(388

)

  

Participant Class

    

(14,443

)

    

(8,671

)

    

(56,874

)

    

(128,738

)

  

Cash Management Class

    

(147

)

    

(368

)

    

(17

)

    

(21

)

  

Select Class

    

(1

)

    

(—

@)

    

—

      

—

    

Total Dividends and Distributions to Shareholders

    

(1,227,717

)

    

(790,459

)

    

(58,983

)

    

(130,139

)

  

Capital Share Transactions:(1)

  

Institutional Class:

  

Subscribed

    

662,823,835

      

652,089,473

      

670,584

      

491,225

    

Distributions Reinvested

    

543,491

      

294,217

      

602

      

360

    

Redeemed

    

(648,395,102

)

    

(649,564,571

)

    

(547,343

)

    

(510,623

)

  

Institutional Select Class:

  

Subscribed

    

9,077,946

      

9,093,640

      

100,000

      

—

    

Distributions Reinvested

    

3,200

      

2,570

      

1

      

—

    

Redeemed

    

(9,480,768

)

    

(10,336,186

)

    

(100,000

)

    

—

    

Investor Class:

  

Subscribed

    

6,648,780

      

4,916,812

      

4,256

      

1,312

    

Distributions Reinvested

    

1,413

      

825

      

15

      

1

    

Redeemed

    

(5,629,178

)

    

(2,570,247

)

    

(3,725

)

    

(903

)

  

Administrative Class:

  

Subscribed

    

554,518

      

440,868

      

—

      

—

    

Distributions Reinvested

    

2,168

      

1,532

      

1

      

—

    

Redeemed

    

(551,111

)

    

(430,713

)

    

—

      

—

    

Advisory Class:

  

Subscribed

    

5,356,796

      

5,739,851

      

79,755

      

98,515

    

Distributions Reinvested

    

2,186

      

1,609

      

1

      

—

    

Redeemed

    

(5,479,672

)

    

(5,854,462

)

    

(77,660

)

    

(102,248

)

  

Participant Class:

  

Subscribed

    

1,671,788

      

1,416,243

      

35,406,757

      

82,677,954

    

Distributions Reinvested

    

28

      

18

      

56,874

      

128,739

    

Redeemed

    

(1,500,195

)

    

(1,564,938

)

    

(35,519,742

)

    

(97,792,444

)

  

Cash Management Class:

  

Subscribed

    

—

      

36,892

      

—

      

—

    

Distributions Reinvested

    

138

      

353

      

17

      

21

    

Redeemed

    

(11,451

)

    

(49,551

)

    

(1,046

)

    

(734

)

  

Select Class:

  

Distributions Reinvested

    

—

@

    

—

      

—

      

—

    
Net Increase (Decrease) in Net Assets Resulting from
Capital Share Transactions		    

15,638,810

      

3,664,235

      

69,347

      

(15,008,825

)

  

Total Increase (Decrease) in Net Assets

    

15,636,755

      

3,664,238

      

69,321

      

(15,008,719

)

  

Net Assets:

  

Beginning of Period

    

48,128,891

      

44,464,653

      

2,852,221

      

17,860,940

    

End of Period

  

$

63,765,646

    

$

48,128,891

    

$

2,921,542

    

$

2,852,221

    

The accompanying notes are an integral part of the financial statements.
63


2019 Annual Report

October 31, 2019

Statements of Changes in Net Assets (cont'd)

    Government
Portfolio		   Government Securities
Portfolio		  
    Year Ended
October 31, 2019
(000)		   Year Ended
October 31, 2018
(000)		   Year Ended
October 31, 2019
(000)		   Year Ended
October 31, 2018
(000)		  

(1) Capital Share Transactions:

  

Institutional Class:

  

Shares Subscribed

    

662,823,835

      

652,089,473

      

670,584

      

491,225

    

Shares Issued on Distributions Reinvested

    

543,491

      

294,217

      

602

      

360

    

Shares Redeemed

    

(648,395,102

)

    

(649,564,571

)

    

(547,343

)

    

(510,623

)

  
Net Increase (Decrease) in Institutional Class
Shares Outstanding		    

14,972,224

      

2,819,119

      

123,843

      

(19,038

)

  

Institutional Select Class:

  

Shares Subscribed

    

9,077,946

      

9,093,640

      

100,000

      

—

    

Shares Issued on Distributions Reinvested

    

3,200

      

2,570

      

1

      

—

    

Shares Redeemed

    

(9,480,768

)

    

(10,336,186

)

    

(100,000

)

    

—

    
Net Increase (Decrease) in Institutional Select Class
Shares Outstanding		    

(399,622

)

    

(1,239,976

)

    

1

      

—

    

Investor Class:

  

Shares Subscribed

    

6,648,780

      

4,916,812

      

4,256

      

1,312

    

Shares Issued on Distributions Reinvested

    

1,413

      

825

      

15

      

1

    

Shares Redeemed

    

(5,629,178

)

    

(2,570,247

)

    

(3,725

)

    

(903

)

  

Net Increase in Investor Class Shares Outstanding

    

1,021,015

      

2,347,390

      

546

      

410

    

Administrative Class:

  

Shares Subscribed

    

554,518

      

440,868

      

—

      

—

    

Shares Issued on Distributions Reinvested

    

2,168

      

1,532

      

1

      

—

    

Shares Redeemed

    

(551,111

)

    

(430,713

)

    

—

      

—

    

Net Increase in Administrative Class Shares Outstanding

    

5,575

      

11,687

      

1

      

—

    

Advisory Class:

  

Shares Subscribed

    

5,356,796

      

5,739,851

      

79,755

      

98,515

    

Shares Issued on Distributions Reinvested

    

2,186

      

1,609

      

1

      

—

    

Shares Redeemed

    

(5,479,672

)

    

(5,854,462

)

    

(77,660

)

    

(102,248

)

  

Net Increase (Decrease) in Advisory Class Shares Outstanding

    

(120,690

)

    

(113,002

)

    

2,096

      

(3,733

)

  

Participant Class:

  

Shares Subscribed

    

1,671,788

      

1,416,243

      

35,406,757

      

82,677,954

    

Shares Issued on Distributions Reinvested

    

28

      

18

      

56,874

      

128,739

    

Shares Redeemed

    

(1,500,195

)

    

(1,564,938

)

    

(35,519,742

)

    

(97,792,444

)

  

Net Increase (Decrease) in Participant Class Shares Outstanding

    

171,621

      

(148,677

)

    

(56,111

)

    

(14,985,751

)

  

Cash Management Class:

  

Shares Subscribed

    

—

      

36,892

      

—

      

—

    

Shares Issued on Distributions Reinvested

    

138

      

353

      

17

      

21

    

Shares Redeemed

    

(11,451

)

    

(49,551

)

    

(1,046

)

    

(734

)

  

Net Decrease in Cash Management Class Shares Outstanding

    

(11,313

)

    

(12,306

)

    

(1,029

)

    

(713

)

  

Select Class:

  

Shares Issued on Distributions Reinvested

    

—

@@

    

—

      

—

      

—

    

@    Amount is less than $500.

@@  Amount is less than 500 shares.

The accompanying notes are an integral part of the financial statements.
64


2019 Annual Report

October 31, 2019

Statements of Changes in Net Assets

    Treasury
Portfolio		   Treasury Securities
Portfolio		  
    Year Ended
October 31, 2019
(000)		   Year Ended
October 31, 2018
(000)		   Year Ended
October 31, 2019
(000)		   Year Ended
October 31, 2018
(000)		  

Increase (Decrease) in Net Assets:

  

Operations:

  

Net Investment Income

  

$

361,632

    

$

228,478

    

$

463,310

    

$

292,724

    

Net Realized Gain (Loss)

    

(1,779

)

    

352

      

(1,847

)

    

223

    

Net Increase in Net Assets Resulting from Operations

    

359,853

      

228,830

      

461,463

      

292,947

    

Dividends and Distributions to Shareholders:

  

Institutional Class

    

(329,913

)

    

(211,455

)

    

(460,371

)

    

(288,028

)

  

Institutional Select Class

    

(5,545

)

    

(4,233

)

    

(1,606

)

    

(3,182

)

  

Investor Class

    

(306

)

    

(211

)

    

(122

)

    

(584

)

  

Administrative Class

    

(64

)

    

(38

)

    

(67

)

    

(26

)

  

Advisory Class

    

(9,468

)

    

(6,709

)

    

(593

)

    

(82

)

  

Participant Class

    

(15,949

)

    

(5,408

)

    

(5

)

    

(3

)

  

Cash Management Class

    

(386

)

    

(424

)

    

(545

)

    

(819

)

  

Select Class

    

(1

)

    

(—

@)

    

(1

)

    

(—

@)

  

Total Dividends and Distributions to Shareholders

    

(361,632

)

    

(228,478

)

    

(463,310

)

    

(292,724

)

  

Capital Share Transactions:(1)

  

Institutional Class:

  

Subscribed

    

133,778,239

      

144,454,302

      

116,673,292

      

123,848,813

    

Distributions Reinvested

    

160,743

      

77,551

      

260,883

      

141,519

    

Redeemed

    

(133,100,081

)

    

(143,163,314

)

    

(112,784,351

)

    

(122,508,055

)

  

Institutional Select Class:

  

Subscribed

    

2,200,487

      

1,719,123

      

503,652

      

99,037

    

Distributions Reinvested

    

894

      

1,055

      

1,389

      

3,043

    

Redeemed

    

(2,293,023

)

    

(1,705,319

)

    

(295,665

)

    

(152,365

)

  

Investor Class:

  

Subscribed

    

29,930

      

18,119

      

2,226

      

8,134

    

Distributions Reinvested

    

176

      

210

      

63

      

563

    

Redeemed

    

(24,716

)

    

(35,126

)

    

(41,561

)

    

(32,554

)

  

Administrative Class:

  

Subscribed

    

1,044

      

409

      

12,014

      

5,238

    

Distributions Reinvested

    

57

      

29

      

1

      

—

    

Redeemed

    

(67

)

    

(2,278

)

    

(12,377

)

    

(2,987

)

  

Advisory Class:

  

Subscribed

    

3,126,412

      

2,785,307

      

305,982

      

96,223

    

Distributions Reinvested

    

1,143

      

457

      

1

      

—

    

Redeemed

    

(3,048,748

)

    

(2,897,200

)

    

(276,324

)

    

(85,540

)

  

Participant Class:

  

Subscribed

    

2,948,986

      

1,055,373

      

674

      

661

    

Distributions Reinvested

    

3

      

8

      

5

      

3

    

Redeemed

    

(2,307,086

)

    

(750,783

)

    

(283

)

    

(737

)

  

Cash Management Class:

  

Subscribed

    

—

      

13,166

      

—

@

    

66,925

    

Distributions Reinvested

    

384

      

415

      

534

      

812

    

Redeemed

    

(4,785

)

    

(38,155

)

    

(32,962

)

    

(97,403

)

  

Select Class:

  

Distributions Reinvested

    

—

@

    

—

      

—

@

    

—

    
Net Increase in Net Assets Resulting from
Capital Share Transactions		    

1,469,992

      

1,533,349

      

4,317,193

      

1,391,330

    

Total Increase in Net Assets

    

1,468,213

      

1,533,701

      

4,315,346

      

1,391,553

    

Net Assets:

  

Beginning of Period

    

15,414,275

      

13,880,574

      

19,938,069

      

18,546,516

    

End of Period

  

$

16,882,488

    

$

15,414,275

    

$

24,253,415

    

$

19,938,069

    

The accompanying notes are an integral part of the financial statements.
65


2019 Annual Report

October 31, 2019

Statements of Changes in Net Assets (cont'd)

    Treasury
Portfolio		   Treasury Securities
Portfolio		  
    Year Ended
October 31, 2019
(000)		   Year Ended
October 31, 2018
(000)		   Year Ended
October 31, 2019
(000)		   Year Ended
October 31, 2018
(000)		  

(1) Capital Share Transactions:

  

Institutional Class:

  

Shares Subscribed

    

133,778,239

      

144,454,302

      

116,673,292

      

123,848,813

    

Shares Issued on Distributions Reinvested

    

160,743

      

77,551

      

260,883

      

141,519

    

Shares Redeemed

    

(133,100,081

)

    

(143,163,314

)

    

(112,784,351

)

    

(122,508,055

)

  

Net Increase in Institutional Class Shares Outstanding

    

838,901

      

1,368,539

      

4,149,824

      

1,482,277

    

Institutional Select Class:

  

Shares Subscribed

    

2,200,487

      

1,719,123

      

503,652

      

99,037

    

Shares Issued on Distributions Reinvested

    

894

      

1,055

      

1,389

      

3,043

    

Shares Redeemed

    

(2,293,023

)

    

(1,705,319

)

    

(295,665

)

    

(152,365

)

  
Net Increase (Decrease) in Institutional Select Class
Shares Outstanding		    

(91,642

)

    

14,859

      

209,376

      

(50,285

)

  

Investor Class:

  

Shares Subscribed

    

29,930

      

18,119

      

2,226

      

8,134

    

Shares Issued on Distributions Reinvested

    

176

      

210

      

63

      

563

    

Shares Redeemed

    

(24,716

)

    

(35,126

)

    

(41,561

)

    

(32,554

)

  

Net Increase (Decrease) in Investor Class Shares Outstanding

    

5,390

      

(16,797

)

    

(39,272

)

    

(23,857

)

  

Administrative Class:

  

Shares Subscribed

    

1,044

      

409

      

12,014

      

5,238

    

Shares Issued on Distributions Reinvested

    

57

      

29

      

1

      

—

    

Shares Redeemed

    

(67

)

    

(2,278

)

    

(12,377

)

    

(2,987

)

  
Net Increase (Decrease) in Administrative Class
Shares Outstanding		    

1,034

      

(1,840

)

    

(362

)

    

2,251

    

Advisory Class:

  

Shares Subscribed

    

3,126,412

      

2,785,307

      

305,982

      

96,223

    

Shares Issued on Distributions Reinvested

    

1,143

      

457

      

1

      

—

    

Shares Redeemed

    

(3,048,748

)

    

(2,897,200

)

    

(276,324

)

    

(85,540

)

  

Net Increase (Decrease) in Advisory Class Shares Outstanding

    

78,807

      

(111,436

)

    

29,659

      

10,683

    

Participant Class:

  

Shares Subscribed

    

2,948,986

      

1,055,373

      

674

      

661

    

Shares Issued on Distributions Reinvested

    

3

      

8

      

5

      

3

    

Shares Redeemed

    

(2,307,086

)

    

(750,783

)

    

(283

)

    

(737

)

  

Net Increase (Decrease) in Participant Class Shares Outstanding

    

641,903

      

304,598

      

396

      

(73

)

  

Cash Management Class:

  

Shares Subscribed

    

—

      

13,166

      

—

@@

    

66,925

    

Shares Issued on Distributions Reinvested

    

384

      

415

      

534

      

812

    

Shares Redeemed

    

(4,785

)

    

(38,155

)

    

(32,962

)

    

(97,403

)

  

Net Decrease in Cash Management Class Shares Outstanding

    

(4,401

)

    

(24,574

)

    

(32,428

)

    

(29,666

)

  

Select Class:

  

Shares Issued on Distributions Reinvested

    

—

@@

    

—

      

—

@@

    

—

    

@    Amount is less than $500.

@@  Amount is less than 500 shares.

The accompanying notes are an integral part of the financial statements.
66


2019 Annual Report

October 31, 2019

Statements of Changes in Net Assets

    Tax-Exempt
Portfolio		  
    Year Ended
October 31,2019
(000)		   Year Ended
October 31, 2018
(000)		  

Increase (Decrease) in Net Assets:

  

Operations:

  

Net Investment Income

  

$

8,108

    

$

3,429

    

Net Realized Gain

    

1

      

—

    

Net Change in Unrealized Appreciation (Depreciation)

    

41

      

1

    

Net Increase in Net Assets Resulting from Operations

    

8,150

      

3,430

    

Dividends and Distributions to Shareholders:

  

Institutional Class

    

(8,000

)

    

(3,271

)

  

Institutional Select Class

    

(1

)

    

(1

)

  

Cash Management Class

    

(107

)

    

(157

)

  

Total Dividends and Distributions to Shareholders

    

(8,108

)

    

(3,429

)

  

Capital Share Transactions:(1)

  

Institutional Class:

  

Subscribed

    

989,255

      

794,575

    

Distributions Reinvested

    

6,826

      

2,741

    

Redeemed

    

(875,690

)

    

(449,812

)

  

Institutional Select Class:

  

Distributions Reinvested

    

—

@

    

—

    

Cash Management Class:

  

Subscribed

    

—

      

3,625

    

Distributions Reinvested

    

104

      

157

    

Redeemed

    

(4,474

)

    

(12,752

)

  

Net Increase in Net Assets Resulting from Capital Share Transactions

    

116,021

      

338,534

    

Total Increase in Net Assets

    

116,063

      

338,535

    

Net Assets:

  

Beginning of Period

    

503,569

      

165,034

    

End of Period

  

$

619,632

    

$

503,569

    

The accompanying notes are an integral part of the financial statements.
67


2019 Annual Report

October 31, 2019

Statements of Changes in Net Assets (cont'd)

    Tax-Exempt
Portfolio		  
    Year Ended
October 31,2019
(000)		   Year Ended
October 31, 2018
(000)		  

(1) Capital Share Transactions:

  

Institutional Class:

  

Shares Subscribed

    

989,247

      

794,574

    

Shares Issued on Distributions Reinvested

    

6,825

      

2,741

    

Shares Redeemed

    

(875,671

)

    

(449,809

)

  

Net Increase in Institutional Class Shares Outstanding

    

120,401

      

347,506

    

Institutional Select Class:

  

Shares Issued on Distributions Reinvested

    

—

@@

    

—

    

Cash Management Class:

  

Shares Subscribed

    

—

      

3,624

    

Shares Issued on Distributions Reinvested

    

104

      

157

    

Shares Redeemed

    

(4,474

)

    

(12,751

)

  

Net Decrease in Cash Management Class Shares Outstanding

    

(4,370

)

    

(8,970

)

  

@    Amount is less than $500.

@@  Amount is less than 500 shares.

The accompanying notes are an integral part of the financial statements.
68


(This Page has been left blank intentionally.)


2019 Annual Report

October 31, 2019

Financial Highlights

    Net Asset
Value,
Beginning
of Period		   Net
Investment
Income		   Net Realized and
Unrealized Gain
(Loss) on
Investments		   Distributions
From Net
Investment
Income		   Net Asset
Value,
End of
Period		   Total
Return		  

ESG Money Market Portfolio:

  

Institutional Class

  

Year Ended 10/31/19

  

$

1.0004

    

$

0.0239

(2)

  

$

0.0005

    

$

(0.0240

)

  

$

1.0008

      

2.46

%

  

Year Ended 10/31/18

    

1.0004

      

0.0190

(2)

    

(0.0007

)

    

(0.0183

)

    

1.0004

      

1.84

%

  

Year Ended 10/31/17

    

1.0002

      

0.0105

(2)

    

(0.0001

)(3)

    

(0.0102

)

    

1.0004

      

1.05

%

  

Year Ended 10/31/16(1)

    

1.0000

      

0.0041

(2)

    

0.0002

(3)

    

(0.0041

)

    

1.0002

      

0.43

%

  

Year Ended 10/31/15

    

1.000

      

0.001

(2)

    

0.000

(3)

    

(0.001

)

    

1.000

      

0.14

%

  

Institutional Select Class

  

Year Ended 10/31/19

  

$

1.0002

    

$

0.0233

(2)

  

$

0.0006

    

$

(0.0235

)

  

$

1.0006

      

2.41

%

  

Year Ended 10/31/18

    

1.0002

      

0.0185

(2)

    

(0.0007

)

    

(0.0178

)

    

1.0002

      

1.79

%

  

Year Ended 10/31/17

    

1.0000

      

0.0100

(2)

    

(0.0001

)(3)

    

(0.0097

)

    

1.0002

      

1.00

%

  

Year Ended 10/31/16(1)

    

1.0000

      

0.0036

(2)

    

0.0000

(3)

    

(0.0036

)

    

1.0000

      

0.36

%

  

Year Ended 10/31/15

    

1.000

      

0.001

(2)

    

0.000

(3)

    

(0.001

)

    

1.000

      

0.09

%

  

Advisory Class

  

Year Ended 10/31/19

  

$

1.0007

    

$

0.0213

(2)

  

$

0.0005

    

$

(0.0215

)

  

$

1.0010

      

2.20

%

  

Year Ended 10/31/18

    

1.0006

      

0.0165

(2)

    

(0.0006

)

    

(0.0158

)

    

1.0007

      

1.60

%

  

Year Ended 10/31/17

    

1.0004

      

0.0080

(2)

    

0.0001

(3)

    

(0.0079

)

    

1.0006

      

0.81

%

  

Year Ended 10/31/16(1)

    

1.0000

      

0.0017

(2)

    

0.0004

(3)

    

(0.0017

)

    

1.0004

      

0.22

%

  

Year Ended 10/31/15

    

1.000

      

0.000

(2)(3)

    

(0.000

)(3)

    

(0.000

)(3)

    

1.000

      

0.01

%

  

Participant Class

  

Year Ended 10/31/19

  

$

1.0003

    

$

0.0188

(2)

  

$

0.0005

    

$

(0.0190

)

  

$

1.0006

      

1.94

%

  

Year Ended 10/31/18

    

1.0002

      

0.0140

(2)

    

(0.0006

)

    

(0.0133

)

    

1.0003

      

1.34

%

  

Year Ended 10/31/17

    

1.0000

      

0.0055

(2)

    

(0.0001

)(3)

    

(0.0052

)

    

1.0002

      

0.55

%

  

Year Ended 10/31/16(1)

    

1.0000

      

0.0002

(2)(3)

    

0.0000

(3)

    

(0.0002

)(3)

    

1.0000

      

0.02

%

  

Year Ended 10/31/15

    

1.000

      

0.000

(2)(3)

    

(0.000

)(3)

    

(0.000

)(3)

    

1.000

      

0.01

%

  

Cash Management Class

  

Year Ended 10/31/19

  

$

1.0002

    

$

0.0223

(2)

  

$

0.0005

    

$

(0.0225

)

  

$

1.0005

      

2.30

%

  

Year Ended 10/31/18

    

1.0001

      

0.0175

(2)

    

(0.0006

)

    

(0.0168

)

    

1.0002

      

1.70

%

  

Year Ended 10/31/17

    

1.0000

      

0.0090

(2)

    

(0.0002

)(3)

    

(0.0087

)

    

1.0001

      

0.89

%

  

Year Ended 10/31/16(1)

    

1.0000

      

0.0026

(2)

    

0.0000

(3)

    

(0.0026

)

    

1.0000

      

0.26

%

  

Year Ended 10/31/15

    

1.000

      

0.000

(2)(3)

    

(0.000

)(3)

    

(0.000

)(3)

    

1.000

      

0.01

%

  

The accompanying notes are an integral part of the financial statements.
70


2019 Annual Report

October 31, 2019

Financial Highlights (cont'd)

    Net
Assets,
End of
Period
(000)		   Ratio of
Expenses to
Average Net
Assets		   Ratio of
Expenses to Average
Net Assets
Excluding
Non-Operating
Expenses		   Ratio of
Expenses to Average
Net Assets
(Before Waivers/
Reimbursement)		   Ratio of Net
Investment
Income
to Average
Net Assets		   Ratio of
Net Investment
Income (Loss)
to Average
Net Assets
(Before Waivers/
Reimbursement)		  

ESG Money Market Portfolio:

  

Institutional Class

  

Year Ended 10/31/19

  

$

3,345,665

      

0.16

%

    

0.16

%

    

0.22

%

    

2.38

%

    

2.32

%

  

Year Ended 10/31/18

    

1,709,776

      

0.15

%

    

N/A

      

0.25

%

    

1.91

%

    

1.81

%

  

Year Ended 10/31/17

    

621,369

      

0.10

%

    

N/A

      

0.32

%

    

1.06

%

    

0.84

%

  

Year Ended 10/31/16(1)

    

450,127

      

0.12

%

    

N/A

      

0.22

%

    

0.41

%

    

0.31

%

  

Year Ended 10/31/15

    

3,383,757

      

0.13

%

    

N/A

      

0.22

%

    

0.14

%

    

0.05

%

  

Institutional Select Class

  

Year Ended 10/31/19

  

$

51

      

0.21

%(4)

    

0.21

%(4)

    

0.27

%

    

2.33

%

    

2.27

%

  

Year Ended 10/31/18

    

50

      

0.20

%(4)

    

N/A

      

0.30

%

    

1.86

%

    

1.76

%

  

Year Ended 10/31/17

    

50

      

0.15

%(4)

    

N/A

      

0.37

%

    

1.01

%

    

0.79

%

  

Year Ended 10/31/16(1)

    

50

      

0.17

%(4)

    

N/A

      

0.27

%

    

0.36

%

    

0.26

%

  

Year Ended 10/31/15

    

50

      

0.18

%(4)

    

N/A

      

0.27

%

    

0.09

%

    

0.00

%(5)

  

Advisory Class

  

Year Ended 10/31/19

  

$

51

      

0.41

%(4)

    

0.41

%(4)

    

0.47

%

    

2.13

%

    

2.07

%

  

Year Ended 10/31/18

    

50

      

0.40

%(4)

    

N/A

      

0.50

%

    

1.66

%

    

1.56

%

  

Year Ended 10/31/17

    

52

      

0.35

%(4)

    

N/A

      

0.57

%

    

0.81

%

    

0.59

%

  

Year Ended 10/31/16(1)

    

2

      

0.37

%(4)

    

N/A

      

0.47

%

    

0.16

%

    

0.06

%

  

Year Ended 10/31/15

    

493

      

0.26

%(4)

    

N/A

      

0.47

%

    

0.01

%

    

(0.20

)%

  

Participant Class

  

Year Ended 10/31/19

  

$

51

      

0.66

%(4)

    

0.66

%(4)

    

0.72

%

    

1.88

%

    

1.82

%

  

Year Ended 10/31/18

    

50

      

0.65

%(4)

    

N/A

      

0.75

%

    

1.41

%

    

1.31

%

  

Year Ended 10/31/17

    

50

      

0.60

%(4)

    

N/A

      

0.82

%

    

0.56

%

    

0.34

%

  

Year Ended 10/31/16(1)

    

53

      

0.53

%(4)

    

N/A

      

0.72

%

    

0.00

%(5)

    

(0.19

)%

  

Year Ended 10/31/15

    

620

      

0.26

%(4)

    

N/A

      

0.72

%

    

0.01

%

    

(0.45

)%

  

Cash Management Class

  

Year Ended 10/31/19

  

$

11,789

      

0.31

%(4)

    

0.31

%(4)

    

0.37

%

    

2.23

%

    

2.17

%

  

Year Ended 10/31/18

    

13,998

      

0.30

%(4)

    

N/A

      

0.40

%

    

1.76

%

    

1.66

%

  

Year Ended 10/31/17

    

17,980

      

0.25

%(4)

    

N/A

      

0.47

%

    

0.91

%

    

0.69

%

  

Year Ended 10/31/16(1)

    

29,654

      

0.27

%(4)

    

N/A

      

0.37

%

    

0.26

%

    

0.16

%

  

Year Ended 10/31/15

    

23,473

      

0.26

%(4)

    

N/A

      

0.37

%

    

0.01

%

    

(0.10

)%

  

The accompanying notes are an integral part of the financial statements.
71


2019 Annual Report

October 31, 2019

Financial Highlights

    Net Asset
Value,
Beginning
of Period		   Net
Investment
Income		   Net Realized and
Unrealized Gain
(Loss) on
Investments		   Distributions
From Net
Investment
Income		   Net Asset
Value,
End of
Period		   Total
Return		  

Prime Portfolio:

  

Institutional Class

  

Year Ended 10/31/19

  

$

1.0005

    

$

0.0240

(2)

  

$

0.0002

(3)

  

$

(0.0239

)

  

$

1.0008

      

2.45

%

  

Year Ended 10/31/18

    

1.0005

      

0.0186

(2)

    

(0.0004

)(3)

    

(0.0182

)

    

1.0005

      

1.84

%

  

Year Ended 10/31/17

    

1.0002

      

0.0109

(2)

    

(0.0005

)

    

(0.0101

)

    

1.0005

      

1.05

%

  

Year Ended 10/31/16(1)

    

1.0000

      

0.0036

(2)

    

0.0002

(3)

    

(0.0036

)

    

1.0002

      

0.38

%

  

Year Ended 10/31/15

    

1.000

      

0.001

(2)

    

0.000

(3)

    

(0.001

)

    

1.000

      

0.07

%

  

Institutional Select Class

  

Year Ended 10/31/19

  

$

1.0003

    

$

0.0233

(2)

  

$

0.0004

(3)

  

$

(0.0234

)

  

$

1.0006

      

2.40

%

  

Year Ended 10/31/18

    

1.0000

      

0.0181

(2)

    

(0.0001

)(3)

    

(0.0177

)

    

1.0003

      

1.82

%

  

Year Ended 10/31/17

    

1.0005

      

0.0104

(2)

    

(0.0033

)

    

(0.0076

)

    

1.0000

      

0.71

%

  

Year Ended 10/31/16(1)

    

1.0000

      

0.0031

(2)

    

0.0005

      

(0.0031

)

    

1.0005

      

0.36

%

  

Year Ended 10/31/15

    

1.000

      

0.000

(2)(3)

    

(0.000

)(3)

    

(0.000

)(3)

    

1.000

      

0.04

%

  

Advisory Class

  

Year Ended 10/31/19

  

$

1.0000

    

$

0.0213

(2)

  

$

0.0004

(3)

  

$

(0.0214

)

  

$

1.0003

      

2.19

%

  

Year Ended 10/31/18

    

1.0000

      

0.0161

(2)

    

(0.0004

)(3)

    

(0.0157

)

    

1.0000

      

1.58

%

  

Year Ended 10/31/17

    

1.0000

      

0.0086

(2)

    

(0.0038

)

    

(0.0048

)

    

1.0000

      

0.49

%

  

Year Ended 10/31/16(1)

    

1.0000

      

0.0013

(2)

    

0.000

(3)

    

(0.0013

)

    

1.0000

      

0.13

%

  

Year Ended 10/31/15

    

1.000

      

0.000

(2)(3)

    

(0.000

)(3)

    

(0.000

)(3)

    

1.000

      

0.04

%

  

Cash Management Class

  

Year Ended 10/31/19

  

$

1.0003

    

$

0.0223

(2)

  

$

0.0003

(3)

  

$

(0.0224

)

  

$

1.0005

      

2.29

%

  

Year Ended 10/31/18

    

1.0003

      

0.0171

(2)

    

(0.0004

)(3)

    

(0.0167

)

    

1.0003

      

1.69

%

  

Year Ended 10/31/17

    

1.0000

      

0.0094

(2)

    

(0.0005

)

    

(0.0086

)

    

1.0003

      

0.90

%

  

Year Ended 10/31/16(1)

    

1.0000

      

0.0022

(2)

    

0.000

(3)

    

(0.0022

)

    

1.0000

      

0.22

%

  

Year Ended 10/31/15

    

1.000

      

0.000

(2)(3)

    

0.000

(3)

    

(0.000

)(3)

    

1.000

      

0.04

%

  

The accompanying notes are an integral part of the financial statements.
72


2019 Annual Report

October 31, 2019

Financial Highlights (cont'd)

    Net
Assets,
End of
Period
(000)		   Ratio of
Expenses to
Average Net
Assets		   Ratio of
Expenses to Average
Net Assets
(Before Waivers/
Reimbursement)		   Ratio of Net
Investment
Income
to Average
Net Assets		   Ratio of
Net Investment
Income (Loss)
to Average
Net Assets
(Before Waivers/
Reimbursement)		  

Prime Portfolio:

  

Institutional Class

  

Year Ended 10/31/19

  

$

12,521,950

      

0.16

%

    

0.21

%

    

2.38

%

    

2.33

%

  

Year Ended 10/31/18

    

7,679,347

      

0.15

%

    

0.21

%

    

1.87

%

    

1.81

%

  

Year Ended 10/31/17

    

4,605,363

      

0.12

%

    

0.23

%

    

1.09

%

    

0.98

%

  

Year Ended 10/31/16(1)

    

1,872,676

      

0.18

%

    

0.21

%

    

0.34

%

    

0.31

%

  

Year Ended 10/31/15

    

18,646,743

      

0.18

%

    

0.21

%

    

0.07

%

    

0.04

%

  

Institutional Select Class

  

Year Ended 10/31/19

  

$

12,203

      

0.21

%(4)

    

0.26

%

    

2.33

%

    

2.28

%

  

Year Ended 10/31/18

    

20,410

      

0.20

%(4)

    

0.26

%

    

1.82

%

    

1.76

%

  

Year Ended 10/31/17

    

50

      

0.17

%(4)

    

0.28

%

    

1.04

%

    

0.93

%

  

Year Ended 10/31/16(1)

    

10,036

      

0.23

%(4)

    

0.26

%

    

0.29

%

    

0.26

%

  

Year Ended 10/31/15

    

237,736

      

0.20

%(4)

    

0.26

%

    

0.05

%

    

(0.01

)%

  

Advisory Class

  

Year Ended 10/31/19

  

$

51

      

0.41

%(4)

    

0.46

%

    

2.13

%

    

2.08

%

  

Year Ended 10/31/18

    

50

      

0.40

%(4)

    

0.46

%

    

1.62

%

    

1.56

%

  

Year Ended 10/31/17

    

50

      

0.37

%(4)

    

0.48

%

    

0.84

%

    

0.73

%

  

Year Ended 10/31/16(1)

    

4,471

      

0.41

%(4)

    

0.46

%

    

0.11

%

    

0.06

%

  

Year Ended 10/31/15

    

229,592

      

0.22

%(4)

    

0.46

%

    

0.03

%

    

(0.21

)%

  

Cash Management Class

  

Year Ended 10/31/19

  

$

13,537

      

0.31

%(4)

    

0.36

%

    

2.23

%

    

2.18

%

  

Year Ended 10/31/18

    

21,596

      

0.30

%(4)

    

0.36

%

    

1.72

%

    

1.66

%

  

Year Ended 10/31/17

    

14,809

      

0.27

%(4)

    

0.38

%

    

0.94

%

    

0.83

%

  

Year Ended 10/31/16(1)

    

19,163

      

0.32

%(4)

    

0.36

%

    

0.20

%

    

0.16

%

  

Year Ended 10/31/15

    

23,375

      

0.22

%(4)

    

0.36

%

    

0.03

%

    

(0.11

)%

  

The accompanying notes are an integral part of the financial statements.
73


2019 Annual Report

October 31, 2019

Financial Highlights

    Net Asset
Value,
Beginning
of Period		   Net
Investment
Income (Loss)		   Net Realized and
Unrealized Gain
(Loss) on
Investments		   Distributions
From Net
Investment
Income		   Net Asset
Value,
End of
Period		   Total
Return		  

Government Portfolio:

  

Institutional Class

  

Year Ended 10/31/19

  

$

1.000

    

$

0.022

(2)

  

$

0.000

(3)

  

$

(0.022

)

  

$

1.000

      

2.20

%

  

Year Ended 10/31/18

    

1.000

      

0.016

(2)

    

(0.001

)

    

(0.015

)

    

1.000

      

1.55

%

  

Year Ended 10/31/17

    

1.000

      

0.006

(2)

    

0.001

      

(0.007

)

    

1.000

      

0.65

%

  

Year Ended 10/31/16(1)

    

1.000

      

0.002

(2)

    

(0.000

)(3)

    

(0.002

)

    

1.000

      

0.23

%

  

Year Ended 10/31/15

    

1.000

      

0.000

(2)(3)

    

(0.000

)(3)

    

(0.000

)(3)

    

1.000

      

0.04

%

  

Institutional Select Class

  

Year Ended 10/31/19

  

$

1.000

    

$

0.021

(2)

  

$

0.000

(3)

  

$

(0.021

)

  

$

1.000

      

2.15

%

  

Year Ended 10/31/18

    

1.000

      

0.015

(2)

    

0.000

(3)

    

(0.015

)

    

1.000

      

1.50

%

  

Year Ended 10/31/17

    

1.000

      

0.006

(2)

    

0.000

(3)

    

(0.006

)

    

1.000

      

0.60

%

  

Year Ended 10/31/16(1)

    

1.000

      

0.002

(2)

    

(0.000

)(3)

    

(0.002

)

    

1.000

      

0.18

%

  

Year Ended 10/31/15

    

1.000

      

0.000

(2)(3)

    

0.000

(3)

    

(0.000

)(3)

    

1.000

      

0.04

%

  

Investor Class

  

Year Ended 10/31/19

  

$

1.000

    

$

0.021

(2)

  

$

0.000

(3)

  

$

(0.021

)

  

$

1.000

      

2.10

%

  

Year Ended 10/31/18

    

1.000

      

0.015

(2)

    

(0.001

)

    

(0.014

)

    

1.000

      

1.45

%

  

Year Ended 10/31/17

    

1.000

      

0.005

(2)

    

0.001

      

(0.006

)

    

1.000

      

0.55

%

  

Year Ended 10/31/16(1)

    

1.000

      

0.001

(2)

    

0.000

(3)

    

(0.001

)

    

1.000

      

0.14

%

  

Year Ended 10/31/15

    

1.000

      

0.000

(2)(3)

    

(0.000

)(3)

    

(0.000

)(3)

    

1.000

      

0.04

%

  

Administrative Class

  

Year Ended 10/31/19

  

$

1.000

    

$

0.020

(2)

  

$

0.000

(3)

  

$

(0.020

)

  

$

1.000

      

2.05

%

  

Year Ended 10/31/18

    

1.000

      

0.014

(2)

    

0.000

(3)

    

(0.014

)

    

1.000

      

1.40

%

  

Year Ended 10/31/17

    

1.000

      

0.005

(2)

    

0.000

(3)

    

(0.005

)

    

1.000

      

0.50

%

  

Year Ended 10/31/16(1)

    

1.000

      

0.001

(2)

    

(0.000

)(3)

    

(0.001

)

    

1.000

      

0.10

%

  

Year Ended 10/31/15

    

1.000

      

0.000

(2)(3)

    

(0.000

)(3)

    

(0.000

)(3)

    

1.000

      

0.04

%

  

Advisory Class

  

Year Ended 10/31/19

  

$

1.000

    

$

0.019

(2)

  

$

0.000

(3)

  

$

(0.019

)

  

$

1.000

      

1.95

%

  

Year Ended 10/31/18

    

1.000

      

0.013

(2)

    

0.000

(3)

    

(0.013

)

    

1.000

      

1.30

%

  

Year Ended 10/31/17

    

1.000

      

0.004

(2)

    

0.000

(3)

    

(0.004

)

    

1.000

      

0.40

%

  

Year Ended 10/31/16(1)

    

1.000

      

0.000

(2)(3)

    

0.000

(3)

    

(0.000

)(3)

    

1.000

      

0.02

%

  

Year Ended 10/31/15

    

1.000

      

0.000

(2)(3)

    

0.000

(3)

    

(0.000

)(3)

    

1.000

      

0.04

%

  

Participant Class

  

Year Ended 10/31/19

  

$

1.000

    

$

0.017

(2)

  

$

0.000

(3)

  

$

(0.017

)

  

$

1.000

      

1.69

%

  

Year Ended 10/31/18

    

1.000

      

0.011

(2)

    

(0.001

)

    

(0.010

)

    

1.000

      

1.04

%

  

Year Ended 10/31/17

    

1.000

      

0.001

(2)

    

0.001

      

(0.002

)

    

1.000

      

0.19

%

  

Year Ended 10/31/16(1)

    

1.000

      

(0.000

)(2)(3)

    

0.000

(3)

    

(0.000

)(3)

    

1.000

      

0.01

%

  

Year Ended 10/31/15

    

1.000

      

0.000

(2)(3)

    

(0.000

)(3)

    

(0.000

)(3)

    

1.000

      

0.04

%

  

Cash Management Class

  

Year Ended 10/31/19

  

$

1.000

    

$

0.020

(2)

  

$

0.000

(3)

  

$

(0.020

)

  

$

1.000

      

2.05

%

  

Year Ended 10/31/18

    

1.000

      

0.014

(2)

    

0.000

(3)

    

(0.014

)

    

1.000

      

1.40

%

  

Year Ended 10/31/17

    

1.000

      

0.005

(2)

    

0.000

(3)

    

(0.005

)

    

1.000

      

0.50

%

  

Year Ended 10/31/16(1)

    

1.000

      

0.001

(2)

    

0.000

(3)

    

(0.001

)

    

1.000

      

0.10

%

  

Year Ended 10/31/15

    

1.000

      

0.000

(2)(3)

    

(0.000

)(3)

    

(0.000

)(3)

    

1.000

      

0.04

%

  

Select Class

  

Year Ended 10/31/19

  

$

1.000

    

$

0.014

(2)

  

$

0.000

(3)

  

$

(0.014

)

  

$

1.000

      

1.39

%

  

Year Ended 10/31/18

    

1.000

      

0.008

(2)

    

(0.001

)

    

(0.007

)

    

1.000

      

0.74

%

  

Year Ended 10/31/17

    

1.000

      

0.000

(2)(3)

    

0.000

(3)

    

(0.000

)(3)

    

1.000

      

0.04

%

  

For the Period Ended 10/31/16(1)

    

1.000

      

0.001

(2)

    

(0.001

)

    

(0.000

)(3)

    

1.000

      

0.01

%(8)

  

The accompanying notes are an integral part of the financial statements.
74


2019 Annual Report

October 31, 2019

Financial Highlights (cont'd)

    Net
Assets,
End of
Period
(000)		   Ratio of
Expenses to
Average Net
Assets		   Ratio of
Expenses to Average
Net Assets
Excluding
Non-Operating
Expenses		   Ratio of
Expenses to Average
Net Assets
(Before Waivers/
Reimbursement)		   Ratio of Net
Investment
Income (Loss)
to Average
Net Assets		   Ratio of
Net Investment
Income (Loss)
to Average
Net Assets
(Before Waivers/
Reimbursement)		  

Government Portfolio:

  

Institutional Class

  

Year Ended 10/31/19

  

$

57,870,416

      

0.17

%

    

0.17

%

    

0.21

%

    

2.17

%

    

2.13

%

  

Year Ended 10/31/18

    

42,900,056

      

0.17

%

    

N/A

      

0.21

%

    

1.55

%

    

1.51

%

  

Year Ended 10/31/17

    

40,080,925

      

0.18

%

    

N/A

      

0.21

%

    

0.63

%

    

0.60

%

  

Year Ended 10/31/16(1)

    

49,883,028

      

0.17

%

    

N/A

      

0.21

%

    

0.22

%

    

0.18

%

  

Year Ended 10/31/15

    

38,645,857

      

0.08

%

    

N/A

      

0.21

%

    

0.04

%

    

(0.09

)%

  

Institutional Select Class

  

Year Ended 10/31/19

  

$

350,876

      

0.22

%(4)

    

0.22

%(4)

    

0.26

%

    

2.12

%

    

2.08

%

  

Year Ended 10/31/18

    

750,517

      

0.22

%(4)

    

N/A

      

0.26

%

    

1.50

%

    

1.46

%

  

Year Ended 10/31/17

    

1,990,491

      

0.23

%(4)

    

N/A

      

0.26

%

    

0.58

%

    

0.55

%

  

Year Ended 10/31/16(1)

    

1,620,891

      

0.22

%(4)

    

N/A

      

0.26

%

    

0.17

%

    

0.13

%

  

Year Ended 10/31/15

    

556,034

      

0.08

%(4)

    

N/A

      

0.26

%

    

0.04

%

    

(0.14

)%

  

Investor Class

  

Year Ended 10/31/19

  

$

3,447,615

      

0.27

%(4)

    

0.27

%(4)

    

0.31

%

    

2.07

%

    

2.03

%

  

Year Ended 10/31/18

    

2,426,700

      

0.27

%(4)

    

N/A

      

0.31

%

    

1.45

%

    

1.41

%

  

Year Ended 10/31/17

    

79,317

      

0.28

%(4)

    

N/A

      

0.31

%

    

0.53

%

    

0.50

%

  

Year Ended 10/31/16(1)

    

39,589

      

0.26

%(4)

    

N/A

      

0.31

%

    

0.13

%

    

0.08

%

  

Year Ended 10/31/15

    

42,230

      

0.08

%(4)

    

N/A

      

0.31

%

    

0.04

%

    

(0.19

)%

  

Administrative Class

  

Year Ended 10/31/19

  

$

186,966

      

0.32

%(4)

    

0.32

%(4)

    

0.36

%

    

2.02

%

    

1.98

%

  

Year Ended 10/31/18

    

181,397

      

0.32

%(4)

    

N/A

      

0.36

%

    

1.40

%

    

1.36

%

  

Year Ended 10/31/17

    

169,710

      

0.33

%(4)

    

N/A

      

0.36

%

    

0.48

%

    

0.45

%

  

Year Ended 10/31/16(1)

    

23,887

      

0.32

%(4)

    

N/A

      

0.36

%

    

0.07

%

    

0.03

%

  

Year Ended 10/31/15

    

497

      

0.08

%(4)

    

N/A

      

0.36

%

    

0.04

%

    

(0.24

)%

  

Advisory Class

  

Year Ended 10/31/19

  

$

962,234

      

0.42

%(4)

    

0.42

%(4)

    

0.46

%

    

1.92

%

    

1.88

%

  

Year Ended 10/31/18

    

1,082,958

      

0.42

%(4)

    

N/A

      

0.46

%

    

1.30

%

    

1.26

%

  

Year Ended 10/31/17

    

1,195,962

      

0.43

%(4)

    

N/A

      

0.46

%

    

0.38

%

    

0.35

%

  

Year Ended 10/31/16(1)

    

1,152,411

      

0.35

%(4)

    

N/A

      

0.46

%

    

0.04

%

    

(0.07

)%

  

Year Ended 10/31/15

    

2,172,211

      

0.08

%(4)

    

N/A

      

0.46

%

    

0.04

%

    

(0.34

)%

  

Participant Class

  

Year Ended 10/31/19

  

$

942,575

      

0.67

%(4)

    

0.67

%(4)

    

0.71

%

    

1.67

%

    

1.63

%

  

Year Ended 10/31/18

    

770,987

      

0.67

%(4)

    

N/A

      

0.71

%

    

1.05

%

    

1.01

%

  

Year Ended 10/31/17

    

919,665

      

0.68

%(4)

    

N/A

      

0.71

%

    

0.13

%

    

0.10

%

  

Year Ended 10/31/16(1)

    

1,733

      

0.43

%(4)

    

N/A

      

0.71

%

    

(0.04

)%

    

(0.32

)%

  

Year Ended 10/31/15

    

50

      

0.08

%(4)

    

N/A

      

0.71

%

    

0.04

%

    

(0.59

)%

  

Cash Management Class

  

Year Ended 10/31/19

  

$

4,914

      

0.32

%(4)

    

0.32

%(4)

    

0.36

%

    

2.02

%

    

1.98

%

  

Year Ended 10/31/18

    

16,226

      

0.32

%(4)

    

N/A

      

0.36

%

    

1.40

%

    

1.36

%

  

Year Ended 10/31/17

    

28,533

      

0.33

%(4)

    

N/A

      

0.36

%

    

0.48

%

    

0.45

%

  

Year Ended 10/31/16(1)

    

131,640

      

0.30

%(4)

    

N/A

      

0.36

%

    

0.09

%

    

0.03

%

  

Year Ended 10/31/15

    

143,092

      

0.08

%(4)

    

N/A

      

0.36

%

    

0.04

%

    

(0.24

)%

  

Select Class

  

Year Ended 10/31/19

  

$

50

      

0.97

%(4)

    

0.97

%(4)

    

1.01

%

    

1.37

%

    

1.33

%

  

Year Ended 10/31/18

    

50

      

0.97

%(4)

    

N/A

      

1.01

%

    

0.75

%

    

0.71

%

  

Year Ended 10/31/17

    

50

      

0.79

%(4)

    

N/A

      

1.01

%

    

0.02

%

    

(0.20

)%

  

For the Period Ended 10/31/16(1)

    

50

      

0.43

%(4)(9)

    

N/A

      

1.01

%(9)

    

(0.04

)%(9)

    

(0.62

)%(9)

  

The accompanying notes are an integral part of the financial statements.
75


2019 Annual Report

October 31, 2019

Financial Highlights

    Net Asset
Value,
Beginning
of Period		   Net
Investment
Income		   Net Realized and
Unrealized Gain
(Loss) on
Investments		   Distributions
From Net
Investment
Income		   Net Asset
Value,
End of
Period		   Total
Return		  

Government Securities Portfolio:

  

Institutional Class

  

Year Ended 10/31/19

  

$

1.000

    

$

0.021

(2)

  

$

0.000

(3)

  

$

(0.021

)

  

$

1.000

      

2.14

%

  

Year Ended 10/31/18

    

1.000

      

0.013

(2)

    

0.002

      

(0.015

)

    

1.000

      

1.47

%

  

Year Ended 10/31/17

    

1.000

      

0.006

(2)

    

0.000

(3)

    

(0.006

)

    

1.000

      

0.60

%

  

Year Ended 10/31/16(1)

    

1.000

      

0.002

(2)

    

(0.001

)

    

(0.001

)

    

1.000

      

0.14

%

  

Year Ended 10/31/15

    

1.000

      

0.000

(2)(3)

    

0.000

(3)

    

(0.000

)(3)

    

1.000

      

0.01

%

  

Institutional Select Class

  

Year Ended 10/31/19

  

$

1.000

    

$

0.021

(2)

  

$

0.000

(3)

  

$

(0.021

)

  

$

1.000

      

2.08

%

  

Year Ended 10/31/18

    

1.000

      

0.012

(2)

    

0.002

      

(0.014

)

    

1.000

      

1.43

%

  

Year Ended 10/31/17

    

1.000

      

0.006

(2)

    

0.000

(3)

    

(0.006

)

    

1.000

      

0.55

%

  

Year Ended 10/31/16(1)

    

1.000

      

0.001

(2)

    

(0.000

)(3)

    

(0.001

)

    

1.000

      

0.10

%

  

Year Ended 10/31/15

    

1.000

      

0.000

(2)(3)

    

(0.000

)(3)

    

(0.000

)(3)

    

1.000

      

0.01

%

  

Investor Class

  

Year Ended 10/31/19

  

$

1.000

    

$

0.020

(2)

  

$

0.000

(3)

  

$

(0.020

)

  

$

1.000

      

2.03

%

  

Year Ended 10/31/18

    

1.000

      

0.012

(2)

    

0.002

      

(0.014

)

    

1.000

      

1.37

%

  

Year Ended 10/31/17

    

1.000

      

0.005

(2)

    

0.000

(3)

    

(0.005

)

    

1.000

      

0.50

%

  

Year Ended 10/31/16(1)

    

1.000

      

0.001

(2)

    

0.000

(3)

    

(0.001

)

    

1.000

      

0.06

%

  

Year Ended 10/31/15

    

1.000

      

0.000

(2)(3)

    

(0.000

)(3)

    

(0.000

)(3)

    

1.000

      

0.01

%

  

Administrative Class

  

Year Ended 10/31/19

  

$

1.000

    

$

0.020

(2)

  

$

0.000

(3)

  

$

(0.020

)

  

$

1.000

      

1.98

%

  

Year Ended 10/31/18

    

1.000

      

0.011

(2)

    

0.002

      

(0.013

)

    

1.000

      

1.32

%

  

Year Ended 10/31/17

    

1.000

      

0.005

(2)

    

0.000

(3)

    

(0.005

)

    

1.000

      

0.45

%

  

Year Ended 10/31/16(1)

    

1.000

      

0.000

(2)(3)

    

0.000

(3)

    

(0.000

)(3)

    

1.000

      

0.02

%

  

Year Ended 10/31/15

    

1.000

      

0.000

(2)(3)

    

(0.000

)(3)

    

(0.000

)(3)

    

1.000

      

0.01

%

  

Advisory Class

  

Year Ended 10/31/19

  

$

1.000

    

$

0.019

(2)

  

$

0.000

(3)

  

$

(0.019

)

  

$

1.000

      

1.88

%

  

Year Ended 10/31/18

    

1.000

      

0.010

(2)

    

0.002

      

(0.012

)

    

1.000

      

1.22

%

  

Year Ended 10/31/17

    

1.000

      

0.004

(2)

    

0.000

(3)

    

(0.004

)

    

1.000

      

0.35

%

  

Year Ended 10/31/16(1)

    

1.000

      

0.000

(2)(3)

    

0.000

(3)

    

(0.000

)(3)

    

1.000

      

0.01

%

  

Year Ended 10/31/15

    

1.000

      

0.000

(2)(3)

    

(0.000

)(3)

    

(0.000

)(3)

    

1.000

      

0.01

%

  

Participant Class

  

Year Ended 10/31/19

  

$

1.000

    

$

0.019

(2)

  

$

0.000

(3)

  

$

(0.019

)

  

$

1.000

      

1.88

%

  

Year Ended 10/31/18

    

1.000

      

0.011

(2)

    

0.001

      

(0.012

)

    

1.000

      

1.22

%

  

Year Ended 10/31/17

    

1.000

      

0.004

(2)

    

0.000

(3)

    

(0.004

)

    

1.000

      

0.36

%

  

Year Ended 10/31/16(1)

    

1.000

      

0.000

(2)(3)

    

(0.000

)(3)

    

(0.000

)(3)

    

1.000

      

0.01

%

  

Year Ended 10/31/15

    

1.000

      

0.000

(2)(3)

    

(0.000

)(3)

    

(0.000

)(3)

    

1.000

      

0.01

%

  

Cash Management Class

  

Year Ended 10/31/19

  

$

1.000

    

$

0.020

(2)

  

$

0.000

(3)

  

$

(0.020

)

  

$

1.000

      

1.99

%

  

Year Ended 10/31/18

    

1.000

      

0.011

(2)

    

0.002

      

(0.013

)

    

1.000

      

1.32

%

  

Year Ended 10/31/17

    

1.000

      

0.005

(2)

    

0.000

(3)

    

(0.005

)

    

1.000

      

0.45

%

  

Year Ended 10/31/16(1)

    

1.000

      

0.000

(2)(3)

    

(0.000

)(3)

    

(0.000

)(3)

    

1.000

      

0.02

%

  

Year Ended 10/31/15

    

1.000

      

0.000

(2)(3)

    

0.000

(3)

    

(0.000

)(3)

    

1.000

      

0.01

%

  

The accompanying notes are an integral part of the financial statements.
76


2019 Annual Report

October 31, 2019

Financial Highlights (cont'd)

   Net
Assets,
End of
Period
(000)		   Ratio of
Expenses to
Average Net
Assets		   Ratio of
Expenses to Average
Net Assets
(Before Waivers/
Reimbursement)		   Ratio of Net
Investment
Income
to Average
Net Assets		   Ratio of
Net Investment
Income (Loss)
to Average
Net Assets
(Before Waivers/
Reimbursement)		  

Government Securities Portfolio:

  

Institutional Class

  

Year Ended 10/31/19

  

$

157,694

      

0.20

%

    

0.23

%

    

2.12

%

    

2.09

%

  

Year Ended 10/31/18

    

33,852

      

0.20

%

    

0.21

%

    

1.30

%

    

1.29

%

  

Year Ended 10/31/17

    

52,889

      

0.20

%

    

0.22

%

    

0.57

%

    

0.55

%

  

Year Ended 10/31/16(1)

    

65,792

      

0.18

%

    

0.21

%

    

0.17

%

    

0.14

%

  

Year Ended 10/31/15

    

21,314

      

0.05

%

    

0.86

%

    

0.01

%

    

(0.80

)%

  

Institutional Select Class

  

Year Ended 10/31/19

  

$

51

      

0.25

%(4)

    

0.28

%

    

2.07

%

    

2.04

%

  

Year Ended 10/31/18

    

50

      

0.25

%(4)

    

0.26

%

    

1.25

%

    

1.24

%

  

Year Ended 10/31/17

    

50

      

0.25

%(4)

    

0.27

%

    

0.52

%

    

0.50

%

  

Year Ended 10/31/16(1)

    

50

      

0.23

%(4)

    

0.26

%

    

0.12

%

    

0.09

%

  

Year Ended 10/31/15

    

50

      

0.05

%(4)

    

0.91

%

    

0.01

%

    

(0.85

)%

  

Investor Class

  

Year Ended 10/31/19

  

$

1,006

      

0.30

%(4)

    

0.33

%

    

2.02

%

    

1.99

%

  

Year Ended 10/31/18

    

460

      

0.30

%(4)

    

0.31

%

    

1.20

%

    

1.19

%

  

Year Ended 10/31/17

    

50

      

0.30

%(4)

    

0.32

%

    

0.47

%

    

0.45

%

  

Year Ended 10/31/16(1)

    

50

      

0.27

%(4)

    

0.31

%

    

0.08

%

    

0.04

%

  

Year Ended 10/31/15

    

50

      

0.05

%(4)

    

0.96

%

    

0.01

%

    

(0.90

)%

  

Administrative Class

  

Year Ended 10/31/19

  

$

51

      

0.35

%(4)

    

0.38

%

    

1.97

%

    

1.94

%

  

Year Ended 10/31/18

    

50

      

0.35

%(4)

    

0.36

%

    

1.15

%

    

1.14

%

  

Year Ended 10/31/17

    

50

      

0.35

%(4)

    

0.37

%

    

0.42

%

    

0.40

%

  

Year Ended 10/31/16(1)

    

50

      

0.30

%(4)

    

0.35

%

    

0.05

%

    

0.00

%(5)

  

Year Ended 10/31/15

    

50

      

0.05

%(4)

    

1.01

%

    

0.01

%

    

(0.95

)%

  

Advisory Class

  

Year Ended 10/31/19

  

$

38,039

      

0.45

%(4)

    

0.48

%

    

1.87

%

    

1.84

%

  

Year Ended 10/31/18

    

35,943

      

0.45

%(4)

    

0.46

%

    

1.05

%

    

1.04

%

  

Year Ended 10/31/17

    

39,676

      

0.45

%(4)

    

0.47

%

    

0.32

%

    

0.30

%

  

Year Ended 10/31/16(1)

    

50

      

0.31

%(4)

    

0.46

%

    

0.04

%

    

(0.11

)%

  

Year Ended 10/31/15

    

50

      

0.05

%(4)

    

1.11

%

    

0.01

%

    

(1.05

)%

  

Participant Class

  

Year Ended 10/31/19

  

$

2,724,346

      

0.45

%(4)

    

0.73

%

    

1.87

%

    

1.59

%

  

Year Ended 10/31/18

    

2,780,482

      

0.45

%(4)

    

0.71

%

    

1.05

%

    

0.79

%

  

Year Ended 10/31/17

    

17,766,128

      

0.44

%(4)

    

0.72

%

    

0.33

%

    

0.05

%

  

Year Ended 10/31/16(1)

    

23,770,200

      

0.34

%(4)

    

0.71

%

    

0.01

%

    

(0.36

)%

  

Year Ended 10/31/15

    

50

      

0.05

%(4)

    

1.36

%

    

0.01

%

    

(1.30

)%

  

Cash Management Class

  

Year Ended 10/31/19

  

$

355

      

0.35

%(4)

    

0.38

%

    

1.97

%

    

1.94

%

  

Year Ended 10/31/18

    

1,384

      

0.35

%(4)

    

0.36

%

    

1.15

%

    

1.14

%

  

Year Ended 10/31/17

    

2,097

      

0.35

%(4)

    

0.37

%

    

0.42

%

    

0.40

%

  

Year Ended 10/31/16(1)

    

5,315

      

0.31

%(4)

    

0.36

%

    

0.04

%

    

(0.01

)%

  

Year Ended 10/31/15

    

1,426

      

0.05

%(4)

    

1.01

%

    

0.01

%

    

(0.95

)%

  

The accompanying notes are an integral part of the financial statements.
77


2019 Annual Report

October 31, 2019

Financial Highlights

   Net Asset
Value,
Beginning
of Period		   Net
Investment
Income		   Net Realized and
Unrealized Gain
(Loss) on
Investments		   Distributions
From Net
Investment
Income		   Net Asset
Value,
End of
Period		   Total
Return		  

Treasury Portfolio:

  

Institutional Class

  

Year Ended 10/31/19

  

$

1.000

    

$

0.021

(2)

  

$

0.000

(3)

  

$

(0.021

)

  

$

1.000

      

2.17

%

  

Year Ended 10/31/18

    

1.000

      

0.015

(2)

    

0.000

(3)

    

(0.015

)

    

1.000

      

1.55

%

  

Year Ended 10/31/17

    

1.000

      

0.006

(2)

    

0.000

(3)

    

(0.006

)

    

1.000

      

0.63

%

  

Year Ended 10/31/16(1)

    

1.000

      

0.002

(2)

    

(0.000

)(3)

    

(0.002

)

    

1.000

      

0.19

%

  

Year Ended 10/31/15

    

1.000

      

0.000

(2)(3)

    

(0.000

)(3)

    

(0.000

)(3)

    

1.000

      

0.03

%

  

Institutional Select Class

  

Year Ended 10/31/19

  

$

1.000

    

$

0.021

(2)

  

$

0.000

(3)

  

$

(0.021

)

  

$

1.000

      

2.12

%

  

Year Ended 10/31/18

    

1.000

      

0.015

(2)

    

0.000

(3)

    

(0.015

)

    

1.000

      

1.50

%

  

Year Ended 10/31/17

    

1.000

      

0.006

(2)

    

0.000

(3)

    

(0.006

)

    

1.000

      

0.58

%

  

Year Ended 10/31/16(1)

    

1.000

      

0.002

(2)

    

(0.000

)(3)

    

(0.002

)

    

1.000

      

0.15

%

  

Year Ended 10/31/15

    

1.000

      

0.000

(2)(3)

    

(0.000

)(3)

    

(0.000

)(3)

    

1.000

      

0.03

%

  

Investor Class

  

Year Ended 10/31/19

  

$

1.000

    

$

0.020

(2)

  

$

0.000

(3)

  

$

(0.020

)

  

$

1.000

      

2.07

%

  

Year Ended 10/31/18

    

1.000

      

0.014

(2)

    

0.000

(3)

    

(0.014

)

    

1.000

      

1.45

%

  

Year Ended 10/31/17

    

1.000

      

0.005

(2)

    

0.000

(3)

    

(0.005

)

    

1.000

      

0.53

%

  

Year Ended 10/31/16(1)

    

1.000

      

0.001

(2)

    

(0.000

)(3)

    

(0.001

)

    

1.000

      

0.10

%

  

Year Ended 10/31/15

    

1.000

      

0.000

(2)(3)

    

(0.000

)(3)

    

(0.000

)(3)

    

1.000

      

0.03

%

  

Administrative Class

  

Year Ended 10/31/19

  

$

1.000

    

$

0.020

(2)

  

$

0.000

(3)

  

$

(0.020

)

  

$

1.000

      

2.02

%

  

Year Ended 10/31/18

    

1.000

      

0.014

(2)

    

0.000

(3)

    

(0.014

)

    

1.000

      

1.39

%

  

Year Ended 10/31/17

    

1.000

      

0.005

(2)

    

0.000

(3)

    

(0.005

)

    

1.000

      

0.48

%

  

Year Ended 10/31/16(1)

    

1.000

      

0.001

(2)

    

0.000

(3)

    

(0.001

)

    

1.000

      

0.06

%

  

Year Ended 10/31/15

    

1.000

      

0.000

(2)(3)

    

(0.000

)(3)

    

(0.000

)(3)

    

1.000

      

0.03

%

  

Advisory Class

  

Year Ended 10/31/19

  

$

1.000

    

$

0.019

(2)

  

$

0.000

(3)

  

$

(0.019

)

  

$

1.000

      

1.92

%

  

Year Ended 10/31/18

    

1.000

      

0.013

(2)

    

0.000

(3)

    

(0.013

)

    

1.000

      

1.29

%

  

Year Ended 10/31/17

    

1.000

      

0.004

(2)

    

0.000

(3)

    

(0.004

)

    

1.000

      

0.38

%

  

Year Ended 10/31/16(1)

    

1.000

      

0.000

(2)(3)

    

(0.000

)(3)

    

(0.000

)(3)

    

1.000

      

0.01

%

  

Year Ended 10/31/15

    

1.000

      

0.000

(2)(3)

    

(0.000

)(3)

    

(0.000

)(3)

    

1.000

      

0.03

%

  

Participant Class

  

Year Ended 10/31/19

  

$

1.000

    

$

0.016

(2)

  

$

0.000

(3)

  

$

(0.016

)

  

$

1.000

      

1.66

%

  

Year Ended 10/31/18

    

1.000

      

0.010

(2)

    

0.000

(3)

    

(0.010

)

    

1.000

      

1.04

%

  

Year Ended 10/31/17

    

1.000

      

0.001

(2)

    

0.001

      

(0.002

)

    

1.000

      

0.19

%

  

Year Ended 10/31/16(1)

    

1.000

      

0.000

(2)(3)

    

0.000

(3)

    

(0.000

)(3)

    

1.000

      

0.01

%

  

Year Ended 10/31/15

    

1.000

      

0.000

(2)(3)

    

(0.000

)(3)

    

(0.000

)(3)

    

1.000

      

0.03

%

  

Cash Management Class

  

Year Ended 10/31/19

  

$

1.000

    

$

0.020

(2)

  

$

0.000

(3)

  

$

(0.020

)

  

$

1.000

      

2.02

%

  

Year Ended 10/31/18

    

1.000

      

0.014

(2)

    

0.000

(3)

    

(0.014

)

    

1.000

      

1.39

%

  

Year Ended 10/31/17

    

1.000

      

0.005

(2)

    

0.000

(3)

    

(0.005

)

    

1.000

      

0.48

%

  

Year Ended 10/31/16(1)

    

1.000

      

0.001

(2)

    

(0.000

)(3)

    

(0.001

)

    

1.000

      

0.06

%

  

Year Ended 10/31/15

    

1.000

      

0.000

(2)(3)

    

(0.000

)(3)

    

(0.000

)(3)

    

1.000

      

0.03

%

  

Select Class

  

Year Ended 10/31/19

  

$

1.000

    

$

0.013

(2)

  

$

0.000

(3)

  

$

(0.013

)

  

$

1.000

      

1.36

%

  

Year Ended 10/31/18

    

1.000

      

0.007

(2)

    

0.000

(3)

    

(0.007

)

    

1.000

      

0.74

%

  

Year Ended 10/31/17

    

1.000

      

0.000

(2)(3)

    

0.000

(3)

    

(0.000

)(3)

    

1.000

      

0.04

%

  

For the Period Ended 10/31/16(1)

    

1.000

      

0.001

(2)

    

(0.001

)

    

(0.000

)(3)

    

1.000

      

0.00

%(5)(8)

  

The accompanying notes are an integral part of the financial statements.
78


2019 Annual Report

October 31, 2019

Financial Highlights (cont'd)

    Net
Assets,
End of
Period
(000)		   Ratio of
Expenses to
Average Net
Assets		   Ratio of
Expenses to Average
Net Assets
(Before Waivers/
Reimbursement)		   Ratio of Net
Investment
Income (Loss)
to Average
Net Assets		   Ratio of
Net Investment
Income (Loss)
to Average
Net Assets
(Before Waivers/
Reimbursement)		  

Treasury Portfolio:

  

Institutional Class

  

Year Ended 10/31/19

  

$

14,630,148

      

0.19

%

    

0.21

%

    

2.15

%

    

2.13

%

  

Year Ended 10/31/18

    

13,792,827

      

0.19

%

    

0.21

%

    

1.53

%

    

1.51

%

  

Year Ended 10/31/17

    

12,423,969

      

0.18

%

    

0.21

%

    

0.61

%

    

0.58

%

  

Year Ended 10/31/16(1)

    

18,311,699

      

0.17

%

    

0.21

%

    

0.19

%

    

0.15

%

  

Year Ended 10/31/15

    

16,333,431

      

0.05

%

    

0.21

%

    

0.03

%

    

(0.13

)%

  

Institutional Select Class

  

Year Ended 10/31/19

  

$

239,361

      

0.24

%(4)

    

0.26

%

    

2.10

%

    

2.08

%

  

Year Ended 10/31/18

    

331,029

      

0.24

%(4)

    

0.26

%

    

1.48

%

    

1.46

%

  

Year Ended 10/31/17

    

316,164

      

0.23

%(4)

    

0.26

%

    

0.56

%

    

0.53

%

  

Year Ended 10/31/16(1)

    

269,931

      

0.21

%(4)

    

0.26

%

    

0.15

%

    

0.10

%

  

Year Ended 10/31/15

    

439,605

      

0.05

%(4)

    

0.26

%

    

0.03

%

    

(0.18

)%

  

Investor Class

  

Year Ended 10/31/19

  

$

14,834

      

0.29

%(4)

    

0.31

%

    

2.05

%

    

2.03

%

  

Year Ended 10/31/18

    

9,446

      

0.29

%(4)

    

0.31

%

    

1.43

%

    

1.41

%

  

Year Ended 10/31/17

    

26,243

      

0.28

%(4)

    

0.31

%

    

0.51

%

    

0.48

%

  

Year Ended 10/31/16(1)

    

21,719

      

0.26

%(4)

    

0.31

%

    

0.10

%

    

0.05

%

  

Year Ended 10/31/15

    

29,347

      

0.05

%(4)

    

0.31

%

    

0.03

%

    

(0.23

)%

  

Administrative Class

  

Year Ended 10/31/19

  

$

3,534

      

0.34

%(4)

    

0.36

%

    

2.00

%

    

1.98

%

  

Year Ended 10/31/18

    

2,500

      

0.34

%(4)

    

0.36

%

    

1.38

%

    

1.36

%

  

Year Ended 10/31/17

    

4,340

      

0.33

%(4)

    

0.36

%

    

0.46

%

    

0.43

%

  

Year Ended 10/31/16(1)

    

1,842

      

0.32

%(4)

    

0.36

%

    

0.04

%

    

0.00

%(5)

  

Year Ended 10/31/15

    

50

      

0.05

%(4)

    

0.36

%

    

0.03

%

    

(0.28

)%

  

Advisory Class

  

Year Ended 10/31/19

  

$

545,826

      

0.44

%(4)

    

0.46

%

    

1.90

%

    

1.88

%

  

Year Ended 10/31/18

    

467,066

      

0.44

%(4)

    

0.46

%

    

1.28

%

    

1.26

%

  

Year Ended 10/31/17

    

578,488

      

0.43

%(4)

    

0.46

%

    

0.36

%

    

0.33

%

  

Year Ended 10/31/16(1)

    

543,850

      

0.35

%(4)

    

0.46

%

    

0.01

%

    

(0.10

)%

  

Year Ended 10/31/15

    

996,049

      

0.05

%(4)

    

0.46

%

    

0.03

%

    

(0.38

)%

  

Participant Class

  

Year Ended 10/31/19

  

$

1,430,849

      

0.69

%(4)

    

0.71

%

    

1.65

%

    

1.63

%

  

Year Ended 10/31/18

    

789,069

      

0.69

%(4)

    

0.71

%

    

1.03

%

    

1.01

%

  

Year Ended 10/31/17

    

484,458

      

0.68

%(4)

    

0.71

%

    

0.11

%

    

0.08

%

  

Year Ended 10/31/16(1)

    

2,881

      

0.36

%(4)

    

0.71

%

    

0.00

%(5)

    

(0.35

)%

  

Year Ended 10/31/15

    

180

      

0.05

%(4)

    

0.71

%

    

0.03

%

    

(0.63

)%

  

Cash Management Class

  

Year Ended 10/31/19

  

$

17,886

      

0.34

%(4)

    

0.36

%

    

2.00

%

    

1.98

%

  

Year Ended 10/31/18

    

22,288

      

0.34

%(4)

    

0.36

%

    

1.38

%

    

1.36

%

  

Year Ended 10/31/17

    

46,862

      

0.33

%(4)

    

0.36

%

    

0.46

%

    

0.43

%

  

Year Ended 10/31/16(1)

    

62,228

      

0.30

%(4)

    

0.36

%

    

0.06

%

    

0.00

%(5)

  

Year Ended 10/31/15

    

55,377

      

0.05

%(4)

    

0.36

%

    

0.03

%

    

(0.28

)%

  

Select Class

  

Year Ended 10/31/19

  

$

50

      

0.99

%(4)

    

1.01

%

    

1.35

%

    

1.33

%

  

Year Ended 10/31/18

    

50

      

0.99

%(4)

    

1.01

%

    

0.73

%

    

0.71

%

  

Year Ended 10/31/17

    

50

      

0.78

%(4)

    

1.01

%

    

0.01

%

    

(0.22

)%

  

For the Period Ended 10/31/16(1)

    

50

      

0.38

%(4)(9)

    

1.01

%(9)

    

(0.02

)%(9)

    

(0.65

)%(9)

  

The accompanying notes are an integral part of the financial statements.
79


2019 Annual Report

October 31, 2019

Financial Highlights

    Net Asset
Value,
Beginning
of Period		   Net
Investment
Income (Loss)		   Net Realized and
Unrealized Gain
(Loss) on
Investments		   Distributions
From Net
Investment
Income		   Net Asset
Value,
End of
Period		   Total
Return		  

Treasury Securities Portfolio:

  

Institutional Class

  

Year Ended 10/31/19

  

$

1.000

    

$

0.021

(2)

  

$

0.000

(3)

  

$

(0.021

)

  

$

1.000

      

2.12

%

  

Year Ended 10/31/18

    

1.000

      

0.015

(2)

    

(0.000

)(3)

    

(0.015

)

    

1.000

      

1.51

%

  

Year Ended 10/31/17

    

1.000

      

0.006

(2)

    

0.000

(3)

    

(0.006

)

    

1.000

      

0.60

%

  

Year Ended 10/31/16(1)

    

1.000

      

0.001

(2)

    

(0.000

)(3)

    

(0.001

)

    

1.000

      

0.14

%

  

Year Ended 10/31/15

    

1.000

      

0.000

(2)(3)

    

(0.000

)(3)

    

(0.000

)(3)

    

1.000

      

0.01

%

  

Institutional Select Class

  

Year Ended 10/31/19

  

$

1.000

    

$

0.020

(2)

  

$

0.000

(3)

  

$

(0.020

)

  

$

1.000

      

2.07

%

  

Year Ended 10/31/18

    

1.000

      

0.015

(2)

    

(0.000

)(3)

    

(0.015

)

    

1.000

      

1.46

%

  

Year Ended 10/31/17

    

1.000

      

0.005

(2)

    

0.000

(3)

    

(0.005

)

    

1.000

      

0.55

%

  

Year Ended 10/31/16(1)

    

1.000

      

0.001

(2)

    

(0.000

)(3)

    

(0.001

)

    

1.000

      

0.10

%

  

Year Ended 10/31/15

    

1.000

      

0.000

(2)(3)

    

(0.000

)(3)

    

(0.000

)(3)

    

1.000

      

0.01

%

  

Investor Class

  

Year Ended 10/31/19

  

$

1.000

    

$

0.020

(2)

  

$

0.000

(3)

  

$

(0.020

)

  

$

1.000

      

2.01

%

  

Year Ended 10/31/18

    

1.000

      

0.014

(2)

    

(0.000

)(3)

    

(0.014

)

    

1.000

      

1.41

%

  

Year Ended 10/31/17

    

1.000

      

0.005

(2)

    

0.000

(3)

    

(0.005

)

    

1.000

      

0.50

%

  

Year Ended 10/31/16(1)

    

1.000

      

0.000

(2)(3)

    

0.001

      

(0.001

)

    

1.000

      

0.06

%

  

Year Ended 10/31/15

    

1.000

      

0.000

(2)(3)

    

(0.000

)(3)

    

(0.000

)(3)

    

1.000

      

0.01

%

  

Administrative Class

  

Year Ended 10/31/19

  

$

1.000

    

$

0.019

(2)

  

$

0.000

(3)

  

$

(0.019

)

  

$

1.000

      

1.96

%

  

Year Ended 10/31/18

    

1.000

      

0.014

(2)

    

(0.000

)(3)

    

(0.014

)

    

1.000

      

1.36

%

  

Year Ended 10/31/17

    

1.000

      

0.004

(2)

    

0.000

(3)

    

(0.004

)

    

1.000

      

0.45

%

  

Year Ended 10/31/16(1)

    

1.000

      

0.000

(2)(3)

    

(0.000

)(3)

    

(0.000

)(3)

    

1.000

      

0.03

%

  

Year Ended 10/31/15

    

1.000

      

0.000

(2)(3)

    

(0.000

)(3)

    

(0.000

)(3)

    

1.000

      

0.01

%

  

Advisory Class

  

Year Ended 10/31/19

  

$

1.000

    

$

0.018

(2)

  

$

0.000

(3)

  

$

(0.018

)

  

$

1.000

      

1.86

%

  

Year Ended 10/31/18

    

1.000

      

0.013

(2)

    

(0.000

)(3)

    

(0.013

)

    

1.000

      

1.26

%

  

Year Ended 10/31/17

    

1.000

      

0.004

(2)

    

(0.000

)(3)

    

(0.004

)

    

1.000

      

0.35

%

  

Year Ended 10/31/16(1)

    

1.000

      

0.000

(2)(3)

    

0.000

(3)

    

(0.000

)(3)

    

1.000

      

0.01

%

  

Year Ended 10/31/15

    

1.000

      

0.000

(2)(3)

    

(0.000

)(3)

    

(0.000

)(3)

    

1.000

      

0.01

%

  

Participant Class

  

Year Ended 10/31/19

  

$

1.000

    

$

0.016

(2)

  

$

0.000

(3)

  

$

(0.016

)

  

$

1.000

      

1.61

%

  

Year Ended 10/31/18

    

1.000

      

0.010

(2)

    

(0.000

)(3)

    

(0.010

)

    

1.000

      

1.00

%

  

Year Ended 10/31/17

    

1.000

      

0.002

(2)

    

0.000

(3)

    

(0.002

)

    

1.000

      

0.16

%

  

Year Ended 10/31/16(1)

    

1.000

      

(0.000

)(2)(3)

    

0.000

(3)

    

(0.000

)(3)

    

1.000

      

0.01

%

  

Year Ended 10/31/15

    

1.000

      

0.000

(2)(3)

    

(0.000

)(3)

    

(0.000

)(3)

    

1.000

      

0.01

%

  

Cash Management Class

  

Year Ended 10/31/19

  

$

1.000

    

$

0.019

(2)

  

$

0.000

(3)

  

$

(0.019

)

  

$

1.000

      

1.96

%

  

Year Ended 10/31/18

    

1.000

      

0.014

(2)

    

(0.000

)(3)

    

(0.014

)

    

1.000

      

1.36

%

  

Year Ended 10/31/17

    

1.000

      

0.004

(2)

    

0.000

(3)

    

(0.004

)

    

1.000

      

0.45

%

  

Year Ended 10/31/16(1)

    

1.000

      

0.000

(2)(3)

    

(0.000

)(3)

    

(0.000

)(3)

    

1.000

      

0.02

%

  

Year Ended 10/31/15

    

1.000

      

0.000

(2)(3)

    

(0.000

)(3)

    

(0.000

)(3)

    

1.000

      

0.01

%

  

Select Class

  

Year Ended 10/31/19

  

$

1.000

    

$

0.013

(2)

  

$

0.000

(3)

  

$

(0.013

)

  

$

1.000

      

1.30

%

  

Year Ended 10/31/18

    

1.000

      

0.007

(2)

    

(0.000

)(3)

    

(0.007

)

    

1.000

      

0.70

%

  

Year Ended 10/31/17

    

1.000

      

0.000

(2)(3)

    

0.000

(3)

    

(0.000

)(3)

    

1.000

      

0.02

%

  

For the Period Ended 10/31/16(1)

    

1.000

      

0.001

(2)

    

(0.001

)

    

(0.000

)(3)

    

1.000

      

0.00

%(5)(8)

  

The accompanying notes are an integral part of the financial statements.
80


2019 Annual Report

October 31, 2019

Financial Highlights (cont'd)

   Net
Assets,
End of
Period
(000)		   Ratio of
Expenses to
Average Net
Assets		   Ratio of
Expenses to Average
Net Assets
(Before Waivers/
Reimbursement)		   Ratio of Net
Investment
Income (Loss)
to Average
Net Assets		   Ratio of
Net Investment
Income (Loss)
to Average
Net Assets
(Before Waivers/
Reimbursement)		  

Treasury Securities Portfolio:

  

Institutional Class

  

Year Ended 10/31/19

  

$

23,790,835

      

0.20

%

    

0.21

%

    

2.09

%

    

2.08

%

  

Year Ended 10/31/18

    

19,642,850

      

0.20

%

    

0.21

%

    

1.51

%

    

1.50

%

  

Year Ended 10/31/17

    

18,160,353

      

0.19

%

    

0.21

%

    

0.59

%

    

0.57

%

  

Year Ended 10/31/16(1)

    

19,382,045

      

0.17

%

    

0.21

%

    

0.15

%

    

0.11

%

  

Year Ended 10/31/15

    

14,113,772

      

0.02

%

    

0.21

%

    

0.01

%

    

(0.18

)%

  

Institutional Select Class

  

Year Ended 10/31/19

  

$

398,934

      

0.25

%(4)

    

0.26

%

    

2.04

%

    

2.03

%

  

Year Ended 10/31/18

    

189,558

      

0.25

%(4)

    

0.26

%

    

1.46

%

    

1.45

%

  

Year Ended 10/31/17

    

239,841

      

0.24

%(4)

    

0.26

%

    

0.54

%

    

0.52

%

  

Year Ended 10/31/16(1)

    

277,773

      

0.21

%(4)

    

0.26

%

    

0.11

%

    

0.06

%

  

Year Ended 10/31/15

    

1,989,121

      

0.02

%(4)

    

0.26

%

    

0.01

%

    

(0.23

)%

  

Investor Class

  

Year Ended 10/31/19

  

$

51

      

0.30

%(4)

    

0.31

%

    

1.99

%

    

1.98

%

  

Year Ended 10/31/18

    

39,323

      

0.30

%(4)

    

0.31

%

    

1.41

%

    

1.40

%

  

Year Ended 10/31/17

    

63,180

      

0.29

%(4)

    

0.31

%

    

0.49

%

    

0.47

%

  

Year Ended 10/31/16(1)

    

67,007

      

0.27

%(4)

    

0.31

%

    

0.05

%

    

0.01

%

  

Year Ended 10/31/15

    

50

      

0.02

%(4)

    

0.31

%

    

0.01

%

    

(0.28

)%

  

Administrative Class

  

Year Ended 10/31/19

  

$

2,015

      

0.35

%(4)

    

0.36

%

    

1.94

%

    

1.93

%

  

Year Ended 10/31/18

    

2,378

      

0.35

%(4)

    

0.36

%

    

1.36

%

    

1.35

%

  

Year Ended 10/31/17

    

127

      

0.34

%(4)

    

0.36

%

    

0.44

%

    

0.42

%

  

Year Ended 10/31/16(1)

    

50

      

0.29

%(4)

    

0.36

%

    

0.03

%

    

(0.04

)%

  

Year Ended 10/31/15

    

50

      

0.02

%(4)

    

0.36

%

    

0.01

%

    

(0.33

)%

  

Advisory Class

  

Year Ended 10/31/19

  

$

42,143

      

0.45

%(4)

    

0.46

%

    

1.84

%

    

1.83

%

  

Year Ended 10/31/18

    

12,489

      

0.45

%(4)

    

0.46

%

    

1.26

%

    

1.25

%

  

Year Ended 10/31/17

    

1,806

      

0.42

%(4)

    

0.46

%

    

0.36

%

    

0.32

%

  

Year Ended 10/31/16(1)

    

53,009

      

0.31

%(4)

    

0.46

%

    

0.01

%

    

(0.14

)%

  

Year Ended 10/31/15

    

11,150

      

0.02

%(4)

    

0.46

%

    

0.01

%

    

(0.43

)%

  

Participant Class

  

Year Ended 10/31/19

  

$

629

      

0.70

%(4)

    

0.71

%

    

1.59

%

    

1.58

%

  

Year Ended 10/31/18

    

234

      

0.70

%(4)

    

0.71

%

    

1.01

%

    

1.00

%

  

Year Ended 10/31/17

    

307

      

0.62

%(4)

    

0.71

%

    

0.16

%

    

0.07

%

  

Year Ended 10/31/16(1)

    

689

      

0.33

%(4)

    

0.71

%

    

(0.01

)%

    

(0.39

)%

  

Year Ended 10/31/15

    

50

      

0.02

%(4)

    

0.71

%

    

0.01

%

    

(0.68

)%

  

Cash Management Class

  

Year Ended 10/31/19

  

$

18,758

      

0.35

%(4)

    

0.36

%

    

1.94

%

    

1.93

%

  

Year Ended 10/31/18

    

51,187

      

0.35

%(4)

    

0.36

%

    

1.36

%

    

1.35

%

  

Year Ended 10/31/17

    

80,852

      

0.34

%(4)

    

0.36

%

    

0.44

%

    

0.42

%

  

Year Ended 10/31/16(1)

    

99,031

      

0.29

%(4)

    

0.36

%

    

0.03

%

    

(0.04

)%

  

Year Ended 10/31/15

    

78,516

      

0.02

%(4)

    

0.36

%

    

0.01

%

    

(0.33

)%

  

Select Class

  

Year Ended 10/31/19

  

$

50

      

1.00

%(4)

    

1.01

%

    

1.29

%

    

1.28

%

  

Year Ended 10/31/18

    

50

      

1.00

%(4)

    

1.01

%

    

0.71

%

    

0.70

%

  

Year Ended 10/31/17

    

50

      

0.76

%(4)

    

1.01

%

    

0.02

%

    

(0.23

)%

  

For the Period Ended 10/31/16(1)

    

50

      

0.34

%(4)(9)

    

1.01

%(9)

    

(0.02

)%(9)

    

(0.69

)%(9)

  

The accompanying notes are an integral part of the financial statements.
81


2019 Annual Report

October 31, 2019

Financial Highlights

    Net Asset
Value,
Beginning
of Period		   Net
Investment
Income		   Net Realized and
Unrealized Gain
(Loss) on
Investments		   Distributions
From Net
Investment
Income		   Net Asset
Value,
End of
Period		   Total
Return		  

Tax-Exempt Portfolio:

  

Institutional Class

  

Year Ended 10/31/19

  

$

1.0000

    

$

0.0141

(2)

  

$

0.0001

(3)

  

$

(0.0141

)

  

$

1.0001

      

1.43

%

  

Year Ended 10/31/18

    

1.0000

      

0.0118

(2)

    

(0.0003

)(3)

    

(0.0115

)

    

1.0000

      

1.16

%

  

Year Ended 10/31/17

    

1.0000

      

0.0059

(2)

    

(0.0002

)(3)

    

(0.0057

)

    

1.0000

      

0.57

%

  

Year Ended 10/31/16(1)

    

1.0000

      

0.0014

(2)

    

0.0026

      

(0.0040

)(7)

    

1.0000

      

0.40

%

  

Year Ended 10/31/15

    

1.000

      

0.000

(2)(3)

    

(0.000

)(3)

    

(0.000

)(3)

    

1.000

      

0.01

%

  

Institutional Select Class

  

Year Ended 10/31/19

  

$

1.0000

    

$

0.0136

(2)

  

$

0.0001

(3)

  

$

(0.0136

)

  

$

1.0001

      

1.38

%

  

Year Ended 10/31/18

    

1.0000

      

0.0113

(2)

    

(0.0003

)(3)

    

(0.0110

)

    

1.0000

      

1.10

%

  

Year Ended 10/31/17

    

1.0000

      

0.0054

(2)

    

(0.0002

)(3)

    

(0.0052

)

    

1.0000

      

0.52

%

  

Year Ended 10/31/16(1)

    

1.0000

      

0.0011

(2)

    

0.0027

      

(0.0038

)(7)

    

1.0000

      

0.37

%

  

Year Ended 10/31/15

    

1.000

      

0.000

(2)(3)

    

(0.000

)(3)

    

(0.000

)(3)

    

1.000

      

0.01

%

  

Cash Management Class

  

Year Ended 10/31/19

  

$

1.0000

    

$

0.0126

(2)

  

$

0.0001

(3)

  

$

(0.0126

)

  

$

1.0001

      

1.27

%

  

Year Ended 10/31/18

    

1.0000

      

0.0103

(2)

    

(0.0003

)(3)

    

(0.0100

)

    

1.0000

      

1.02

%

  

Year Ended 10/31/17

    

1.0000

      

0.0044

(2)

    

(0.0002

)(3)

    

(0.0042

)

    

1.0000

      

0.42

%

  

Year Ended 10/31/16(1)

    

1.0000

      

0.0009

(2)

    

0.0022

      

(0.0031

)(7)

    

1.0000

      

0.31

%

  

Year Ended 10/31/15

    

1.000

      

0.000

(2)(3)

    

(0.000

)(3)

    

(0.000

)(3)

    

1.000

      

0.01

%

  

The accompanying notes are an integral part of the financial statements.
82


2019 Annual Report

October 31, 2019

Financial Highlights (cont'd)

    Net
Assets,
End of
Period
(000)		   Ratio of
Expenses to
Average Net
Assets		   Ratio of
Expenses to Average
Net Assets
(Before Waivers/
Reimbursement)		   Ratio of Net
Investment
Income
to Average
Net Assets		   Ratio of
Net Investment
Income (Loss)
to Average
Net Assets
(Before Waivers/
Reimbursement)		   Ratio of
Rebate from
Morgan
Stanley
Affiliates
to Average
Net Assets		  

Tax-Exempt Portfolio:

  

Institutional Class

  

Year Ended 10/31/19

  

$

612,147

      

0.15

%

    

0.27

%

    

1.40

%

    

1.28

%

    

—

    

Year Ended 10/31/18

    

491,714

      

0.18

%

    

0.33

%

    

1.18

%

    

1.03

%

    

—

    

Year Ended 10/31/17

    

144,208

      

0.18

%

    

0.51

%

    

0.59

%

    

0.26

%

    

—

    

Year Ended 10/31/16(1)

    

59,273

      

0.11

%(6)

    

0.48

%

    

0.18

%(6)

    

(0.19

)%

    

0.00

%(5)

  

Year Ended 10/31/15

    

97,678

      

0.04

%(6)

    

0.38

%

    

0.01

%(6)

    

(0.33

)%

    

0.00

%(5)

  

Institutional Select Class

  

Year Ended 10/31/19

  

$

50

      

0.20

%(4)

    

0.32

%

    

1.35

%

    

1.23

%

    

—

    

Year Ended 10/31/18

    

50

      

0.23

%(4)

    

0.38

%

    

1.13

%

    

0.98

%

    

—

    

Year Ended 10/31/17

    

50

      

0.23

%(4)

    

0.56

%

    

0.54

%

    

0.21

%

    

—

    

Year Ended 10/31/16(1)

    

50

      

0.14

%(4)(6)

    

0.53

%

    

0.15

%(6)

    

(0.24

)%

    

0.00

%(5)

  

Year Ended 10/31/15

    

50

      

0.04

%(4)(6)

    

0.43

%

    

0.01

%(6)

    

(0.38

)%

    

0.00

%(5)

  

Cash Management Class

  

Year Ended 10/31/19

  

$

7,435

      

0.30

%(4)

    

0.42

%

    

1.25

%

    

1.13

%

    

—

    

Year Ended 10/31/18

    

11,805

      

0.33

%(4)

    

0.48

%

    

1.03

%

    

0.88

%

    

—

    

Year Ended 10/31/17

    

20,776

      

0.33

%(4)

    

0.66

%

    

0.44

%

    

0.11

%

    

—

    

Year Ended 10/31/16(1)

    

30,694

      

0.20

%(4)(6)

    

0.63

%

    

0.09

%(6)

    

(0.34

)%

    

0.00

%(5)

  

Year Ended 10/31/15

    

25,927

      

0.04

%(4)(6)

    

0.53

%

    

0.01

%(6)

    

(0.48

)%

    

0.00

%(5)

  

The accompanying notes are an integral part of the financial statements.
83


2019 Annual Report

October 31, 2019

Notes to Financial Highlights

(1)  Reflects prior period custodian out-of-pocket expenses that were reimbursed in September 2016. The amount of the reimbursement was immaterial on a per share basis and did not impact the total return of the Fund. The Ratio of Expenses to Average Net Assets and the Ratio of Net Investment Income (Loss) to Average Net Assets would be unchanged as the reimbursement of custodian fees was offset against expense waivers/reimbursements with no impact to net expenses or net investment income (loss).

(2)  Per share amount is based on average shares outstanding.

(3)  Amount is less than $0.0005 per share.

(4)  Ratios of Expenses to Average Net Assets before and after Maximum Expense Ratios may vary among share classes by more or less than the administration plan, service and shareholder administration plan, distribution plan and/or shareholder services plan (the "plans") fees due to either (1) fluctuations in daily net asset amounts, (2) changes in the plans' fees during the period for each share class, (3) changes in the Funds' expense cap during the year, (4) waivers to the plans' fees for each share class, or (5) a combination of the previous points.

(5)  Amount is less than 0.005%.

(6)  The Ratio of Expenses and Ratio of Net Investment Income reflect the rebate of certain Fund expenses in connection with the investments in Morgan Stanley affiliates during the period. The effect of the rebate on the ratios is disclosed in the above table as "Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets."

(7)  Includes paid-in-capital distribution of $0.0022.

(8)  Not annualized.

(9)  Annualized.

The accompanying notes are an integral part of the financial statements.
84


2019 Annual Report

October 31, 2019

Notes to Financial Statements

Morgan Stanley Institutional Liquidity Funds (the "Trust") is registered under the Investment Company Act of 1940, as amended (the "Act"), as a Massachusetts business trust. The Trust is comprised of seven separate, active, diversified portfolios (individually referred to as a "Fund", collectively as the "Funds"). The Trust offers up to eight different classes of shares for certain Funds. Each Fund offers the Institutional Class, Institutional Select Class, Investor Class, Administrative Class, Advisory Class, Participant Class and Cash Management Class and the Select Class is only offered to Government, Treasury and Treasury Securities Portfolios. The Trust applies investment company accounting and reporting guidance. All classes of shares have identical voting rights (except that shareholders of a class have exclusive voting rights regarding any matter relating solely to that class of shares), dividend, liquidation and other rights.

The Investor Class and Administrative Class were fully redeemed during the month of October 2016 from the ESG Money Market Portfolio, Prime Portfolio and Tax-Exempt Portfolio and there were no shares outstanding as of October 31, 2019. In addition, during the month of October 2016, the Participant Class was fully redeemed from the Prime Portfolio and Tax-Exempt Portfolio and there were no shares outstanding as of October 31, 2019. During the month of November 2016, the Advisory Class was fully redeemed from the Tax-Exempt Portfolio and there were no shares outstanding as of October 31, 2019. Accordingly, no financial highlights have been presented for these classes.

ESG Money Market, Prime and Tax-Exempt Portfolios operate as "institutional money market funds," which require these Funds to have a floating NAV, rounded to the fourth decimal place. In addition, these Funds are permitted to impose a liquidity fee on redemptions or temporarily restrict redemptions if weekly liquid assets fall below required regulatory thresholds. These changes may affect the investment strategies, performance and operating expenses of these Funds. Government, Government Securities, Treasury and Treasury Securities Portfolios operate as "government money market funds," which allow these Funds to continue to seek a stable NAV. These Funds will not impose a liquidity fee or temporarily suspend redemptions in the event that weekly liquid assets fall below specified regulatory thresholds.

For detailed descriptions of the investment objectives of each of the Funds and other related information, please refer to the prospectuses of the Trust. Generally, the investment objective of the Funds is to seek preservation of capital, daily liquidity and maximum current income (exempt from federal income tax in the case of Tax-Exempt Portfolio).

A. Significant Accounting Policies: The following significant accounting policies are in conformity with U.S. generally accepted accounting principles ("GAAP"). Such policies are consistently followed by the Trust in the preparation of its financial statements. GAAP may require management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results may differ from those estimates.

1.  Security Valuation: (1) Government, Government Securities, Treasury and Treasury Securities: Portfolio securities are valued at amortized cost which approximates fair value, in accordance with Rule 2a-7 under the Act. The amortized cost of an instrument is determined by valuing it at its original cost and thereafter amortizing any discount or premium from its face value at a constant rate until maturity; (2) ESG Money Market, Prime and Tax-Exempt: Portfolio securities are valued by an outside pricing service/vendor approved by the Trust's Board of Trustees (the "Trustees"). The pricing service/vendor may employ a pricing model that takes into account, among other things, bids, yield spreads and/or other market data and specific security characteristics; and (3) when market quotations are not readily available, including circumstances under which Morgan Stanley Investment Management Inc. (the "Adviser") determines that the price is not reflective of a security's market value, portfolio securities are valued at their fair value as determined in good faith under procedures, established by and under the general supervision of the Trustees.

The Trustees have responsibility for determining in good faith the fair value of the investments, and the Trustees may appoint others, such as the Trust's Adviser or a valuation committee, to assist the Trustees in determining fair value and to make the actual calculations pursuant to the fair valuation methodologies previously approved by the Trustees. Under procedures approved by the Trustees, the Trust's Adviser has formed a Valuation Committee whose members are approved by the Trustees. The Valuation Committee provides administration and oversight of the Trust's valuation policies and procedures, which are reviewed at least annually by the Trustees. These procedures allow the Trust to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value.

2.  Repurchase Agreements: Certain Funds may enter into repurchase agreements under which a Fund lends cash and takes possession of securities with an agreement that the counterparty will repurchase such securities. In connection with transactions in repurchase agreements, a bank, as custodian for the Trust, takes possession of the


85


2019 Annual Report

October 31, 2019

Notes to Financial Statements (cont'd)

underlying securities which are held as collateral, with a market value at least equal to the amount of the repurchase transaction, including principal and accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral is marked-to-market on a daily basis to determine that the value of the collateral does not decrease below the repurchase price plus accrued interest as earned. If such a decrease occurs, additional collateral will be requested and, when received, will be added to the account to maintain full collateralization. In the event of default on the obligation to repurchase, the Trust has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. In the event of default or bankruptcy by the counterparty to the agreement, realization of the collateral proceeds may be subject to cost and delays. The Funds, along with other affiliated investment companies, may utilize a joint trading account for the purpose of entering into repurchase agreements.

Certain Funds may enter into repurchase agreements in which eligible securities are transferred into joint trading accounts maintained by the Trust's custodian for investment companies advised by the Trust's Adviser. The Fund will participate on a pro-rata basis with the other investment companies in its share of the securities transferred under such repurchase agreements and in its share of proceeds from any repurchase or other disposition of such securities.

Certain Fund's repurchase agreements are subject to Master Repurchase Agreements which are agreements between the Fund and its counterparties that typically include provisions which provide for the net settlement of all transactions and collateral with the Trust, through a single payment, in the event of default or termination. Amounts presented on the Portfolio of Investments and Statements of Assets and Liabilities are not net settlement amounts but gross. As indicated on the Portfolio of Investments, the cash or securities to be repurchased exceeds the repurchase price to be paid under the repurchase agreement reducing the net settlement amount to zero.

3.  Fair Value Measurement: Financial Accounting Standards Board ("FASB") Accounting Standards CodificationTM ("ASC") 820, "Fair Value Measurement" ("ASC 820"), defines fair value as the value that the Fund would receive to sell an investment or pay to transfer a liability in a timely transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. ASC 820 establishes a three-tier hierarchy to distinguish between (1) inputs that reflect the assumptions market participants would use in valuing an asset or liability developed based on market data obtained from

sources independent of the reporting entity (observable inputs) and (2) inputs that reflect the reporting entity's own assumptions about the assumptions market participants would use in valuing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Fund's investments. The 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 Fund's own assumptions in determining the fair value of investments. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, or the appropriate stock exchange (for exchange-traded securities), analysis of the issuer's financial statements or other available documents and, if necessary, available information concerning other securities in similar circumstances.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to each security.

The following is a summary of the inputs used to value each Fund's investments as of October 31, 2019:

ESG Money Market Portfolio

Investment Type

   Level 1
Unadjusted
quoted
prices
(000)		   Level 2
Other
significant
observable
inputs
(000)		   Level 3
Significant
unobservable
inputs
(000)		   Total
(000)		  

Assets:

  
Certificates of
Deposit		  

$

—

    

$

63,503

    

$

—

    

$

63,503

    

Commercial Paper

    

—

      

559,355

      

—

      

559,355

    

Corporate Bonds

    

—

      

183,573

      

—

      

183,573

    

Floating Rate Notes

    

—

      

989,470

      

—

      

989,470

    
Repurchase
Agreements		    

—

      

1,451,000

      

—

      

1,451,000

    

Time Deposit

    

—

      

108,000

      

—

      

108,000

    

Total Assets

  

$

—

    

$

3,354,901

    

$

—

    

$

3,354,901

    


86


2019 Annual Report

October 31, 2019

Notes to Financial Statements (cont'd)

Prime Portfolio

Investment Type

   Level 1
Unadjusted
quoted
prices
(000)		   Level 2
Other
significant
observable
inputs
(000)		   Level 3
Significant
unobservable
inputs
(000)		   Total
(000)		  

Assets:

  
Certificates of
Deposit		  

$

—

    

$

344,134

    

$

—

    

$

344,134

    

Commercial Paper

    

—

      

2,539,407

      

—

      

2,539,407

    

Corporate Bonds

    

—

      

88,587

      

—

      

88,587

    
Floating Rate
Notes		    

—

      

3,860,142

      

—

      

3,860,142

    
Repurchase
Agreements		    

—

      

4,616,200

      

—

      

4,616,200

    

Time Deposits

    

—

      

998,000

      

—

      

998,000

    

Total Assets

  

$

—

    

$

12,446,470

    

$

—

    

$

12,446,470

    

Government Portfolio

Investment Type

   Level 1
Unadjusted
quoted
prices
(000)		   Level 2
Other
significant
observable
inputs
(000)		   Level 3
Significant
unobservable
inputs
(000)		   Total
(000)		  

Assets:

  
Repurchase
Agreements		  

$

—

    

$

33,020,229

    

$

—

    

$

33,020,229

    
U.S. Agency
Securities		    

—

      

21,705,660

      

—

      

21,705,660

    
U.S. Treasury
Securities		    

—

      

9,195,241

      

—

      

9,195,241

    

Total Assets

  

$

—

    

$

63,921,130

    

$

—

    

$

63,921,130

    

Government Securities Portfolio

Investment Type

   Level 1
Unadjusted
quoted
prices
(000)		   Level 2
Other
significant
observable
inputs
(000)		   Level 3
Significant
unobservable
inputs
(000)		   Total
(000)		  

Assets:

  
U.S. Agency
Securities		  

$

—

    

$

1,978,488

    

$

—

    

$

1,978,488

    
U.S. Treasury
Securities		    

—

      

939,407

      

—

      

939,407

    

Total Assets

  

$

—

    

$

2,917,895

    

$

—

    

$

2,917,895

    

Treasury Portfolio

Investment Type

   Level 1
Unadjusted
quoted
prices
(000)		   Level 2
Other
significant
observable
inputs
(000)		   Level 3
Significant
unobservable
inputs
(000)		   Total
(000)		  

Assets:

  
Repurchase
Agreements		  

$

—

    

$

9,694,755

    

$

—

    

$

9,694,755

    
U.S. Treasury
Securities		    

—

      

7,290,047

      

—

      

7,290,047

    

Total Assets

  

$

—

    

$

16,984,802

    

$

—

    

$

16,984,802

    

Treasury Securities Portfolio

Investment Type

   Level 1
Unadjusted
quoted
prices
(000)		   Level 2
Other
significant
observable
inputs
(000)		   Level 3
Significant
unobservable
inputs
(000)		   Total
(000)		  

Assets:

  
U.S. Treasury
Securities		  

$

—

    

$

25,439,680

    

$

—

    

$

25,439,680

    

Total Assets

  

$

—

    

$

25,439,680

    

$

—

    

$

25,439,680

    

Tax-Exempt Portfolio

Investment Type

   Level 1
Unadjusted
quoted
prices
(000)		   Level 2
Other
significant
observable
inputs
(000)		   Level 3
Significant
unobservable
inputs
(000)		   Total
(000)		  

Assets:

  
Tax-Exempt
Instruments		  
Weekly Variable
Rate Bonds		  

$

—

    

$

463,635

    

$

—

    

$

463,635

    
Daily Variable
Rate Bonds		    

—

      

62,600

      

—

      

62,600

    
Municipal
Bonds & Notes		    

—

      

37,749

      

—

      

37,749

    

Commercial Paper

    

—

      

33,706

      

—

      

33,706

    
Closed-End
Investment
Company		    

—

      

21,000

      

—

      

21,000

    

Total Assets

  

$

—

    

$

618,690

    

$

—

    

$

618,690

    

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment's valuation changes.

4.  When-Issued/Delayed Delivery Securities: Certain Funds purchase and sell when-issued and delayed delivery securities. Securities purchased on a when-issued or delayed delivery basis are purchased for delivery beyond the normal settlement date at a stated price and yield, and no income accrues to the Fund on such securities prior to delivery date. Payment and delivery for when-issued and delayed delivery securities can take place a month or more after the date of the transaction. When the Fund enters into a purchase transaction on a when-issued or delayed delivery basis, securities are available for collateral in an amount at least equal in value to the Fund's commitments to purchase such securities. Purchasing securities on a when-issued or delayed delivery basis may involve a risk that the market price at the time of delivery may be lower than the agreed upon purchase price, in which case there could be an unrealized loss at the time of delivery. Purchasing investments on a when-issued or delayed delivery basis may be considered a form of leverage which may increase the impact that gains (losses) may have on the Fund.


87


2019 Annual Report

October 31, 2019

Notes to Financial Statements (cont'd)

5.  Indemnifications: The Trust enters into contracts that contain a variety of indemnifications. The Trust's maximum exposure under these arrangements is unknown. However, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.

6.  Dividends and Distributions to Shareholders: Dividends are accrued and declared daily and paid monthly. Net realized capital gains, if any, are distributed at least annually.

7.  Security Transactions, Income and Expenses: Security transactions are accounted for on the trade date (date the order to buy or sell is executed). Realized gains and losses on the sale of investment securities are determined on the specific identified cost method. Interest income is recognized on the accrual basis except where collection is in doubt. Discounts are accreted and premiums are amortized over the life of the respective securities. Most expenses of the Trust can be directly attributed to a particular Fund. Expenses which cannot be directly attributed are apportioned among the Funds based upon relative net assets or other appropriate methods. Income, expenses (other than class specific expenses) and realized and unrealized gains or losses are allocated to each class of shares based upon their relative net assets.

B. Advisory Fees: The Adviser, a wholly-owned subsidiary of Morgan Stanley, provides the Trust with advisory services under the terms of an Investment Advisory Agreement, paid monthly, at the annual rates of the average daily net assets indicated below:

Fund

  

Advisory Fees

  

ESG Money Market

    

0.15

%

  

Prime

    

0.15

    

Government

    

0.15

    

Government Securities

    

0.15

    

Treasury

    

0.15

    

Treasury Securities

    

0.15

    

Tax-Exempt

    

0.15

    

The Adviser has agreed to reduce its advisory fees, its administration fees and/or reimburse each Fund so that total annual operating expenses of each share class, excluding certain investment related expenses, taxes, interest and other extraordinary expenses (including litigation), will not exceed the maximum expense ratios:

   

Maximum Expense Ratios

  

Class

   ESG
Money
Market		  

Prime

  

Government

   Government
Securities		  

Institutional Class

    

0.20

%

    

0.20

%

    

0.20

%

    

0.20

%

  

Institutional Select Class

    

0.25

      

0.25

      

0.25

      

0.25

    

Investor Class

    

0.30

      

0.30

      

0.30

      

0.30

    

Administrative Class

    

0.35

      

0.35

      

0.35

      

0.35

    

Advisory Class

    

0.45

      

0.45

      

0.45

      

0.45

    

Participant Class

    

0.70

      

0.70

      

0.70

      

0.45

    

Cash Management Class

    

0.35

      

0.35

      

0.35

      

0.35

    

Select Class

    

—

      

—

      

1.00

      

—

    
   

Maximum Expense Ratios

  

Class

  

Treasury

   Treasury
Securities		  

Tax-Exempt

  

Institutional Class

    

0.20

%

    

0.20

%

    

0.20

%

  

Institutional Select Class

    

0.25

      

0.25

      

0.25

    

Investor Class

    

0.30

      

0.30

      

0.30

    

Administrative Class

    

0.35

      

0.35

      

0.35

    

Advisory Class

    

0.45

      

0.45

      

0.45

    

Participant Class

    

0.70

      

0.70

      

0.70

    

Cash Management Class

    

0.35

      

0.35

      

0.35

    

Select Class

    

1.00

      

1.00

      

—

    

The fee waivers and/or expense reimbursements will continue for at least one year from the date of the Funds' prospectus or until such time as the Trustees act to discontinue all or a portion of such waivers and/or expense reimbursements when they deem such action is appropriate. In addition, the Adviser may make additional voluntary fee waivers and/or expense reimbursements. The ratios of expenses to average net assets disclosed in the Funds' Financial Highlights may be lower than the maximum expense ratios due to these additional fee waivers and/or expense reimbursements. The Adviser may also waive additional advisory fees and/or reimburse expenses to enable a Fund to maintain a minimum level of daily net investment income. For the year ended October 31, 2019, the Funds had advisory fees waived and/or certain expenses reimbursed as follows:

Fund

   Advisory Fees
Waived and/or
Reimbursed
(000)		  

ESG Money Market

  

$

1,720

    

Prime

    

5,470

    

Government

    

21,284

    

Government Securities

    

855

    

Treasury

    

3,301

    

Treasury Securities

    

1,539

    

Tax-Exempt

    

674

    

C. Administration Fees: The Adviser also serves as Administrator to the Trust and provides administrative services pursuant to an Administration Agreement for an annual fee, accrued daily and paid monthly, of 0.05% of each Fund's average daily net assets (without giving effect to any fee waivers). Under a Sub-Administration Agreement between the Administrator and State Street Bank and Trust Company ("State Street"), State Street provides certain administrative services to the Trust. For such services, the Administrator pays State Street a portion of the fee the Administrator receives from the Trust. The Administrator has agreed to reduce its administration fees to enable a Fund to maintain a minimum level of daily net investment income. This arrangement had no effect for the year ended October 31, 2019.


88


2019 Annual Report

October 31, 2019

Notes to Financial Statements (cont'd)

D. Administration Plan, Service and Shareholder Administration Plan, Distribution Plan and Shareholder Services Plan Fees: Morgan Stanley Distribution, Inc. ("MSDI" or the "Distributor"), a wholly-owned subsidiary of the Adviser, and an indirect subsidiary of Morgan Stanley, serves as the distributor of the Trust.

The Trust has entered into an Administration Plan with respect to its Institutional Select Class, Investor Class and Administrative Class shares pursuant to which each class of shares will pay the Distributor a monthly fee at an annual rate of up to 0.05%, 0.10% and 0.15%, of the average daily net assets of each such class of shares, respectively, to compensate certain financial intermediaries who provide administrative services to shareholders.

The Trust has also entered into a Service and Shareholder Administration Plan with respect to its Advisory Class shares pursuant to which its Advisory Class shares pays the Distributor a monthly fee at an annual rate of up to 0.25% of the average daily net assets of such class of shares, to compensate certain financial intermediaries who provide administrative services, personal and account maintenance services to shareholders.

The Trust has also entered into a Distribution Plan with respect to its Participant Class, Cash Management Class and Select Class shares pursuant to which each class of shares will pay the Distributor a monthly distribution fee at an annual rate of up to 0.25%, 0.10% and 0.55% of the average daily net assets of such class of shares, respectively, to compensate certain service organizations for providing distribution related services to the Trust. The Distributor has agreed to waive for at least one year the distribution fee on the Participant Class of the Government Securities Portfolio to the extent it exceeds 0.10% of the average daily net assets on an annualized basis. For the year ended October 31, 2019, this waiver amounted to approximately $4,544,000.

The Trust has also entered into a Shareholder Services Plan with respect to its Participant Class, Cash Management Class and Select Class shares pursuant to which each class of shares will pay the Distributor a monthly service fee at an annual rate of up to 0.25%, 0.05% and 0.25% of the average daily net assets of each such class of shares, respectively, to compensate service organizations for providing administrative services to shareholders. The Distributor has agreed to waive for at least one year the shareholder service fee on the Participant Class of the Government Securities Portfolio to the extent

it exceeds 0.15% of the average daily net assets on an annualized basis. For the year ended October 31, 2019, this waiver amounted to approximately $3,030,000.

The Distributor has agreed to reduce its distribution fees to enable a Fund to maintain a minimum level of daily net investment income for any class of shares in a Fund.

E. Dividend Disbursing and Transfer/Co-Transfer Agent: The Trust's Dividend Disbursing and Transfer Agent is DST Asset Manager Solutions, Inc. ("DST"). Pursuant to a Transfer Agency Agreement, the Trust pays DST a fee based on the number of classes, accounts and transactions relating to the Funds of the Trust.

Morgan Stanley Services Company Inc. serves as Co-Transfer Agent and provides certain transfer agency services without compensation to the Trust with respect to certain direct transactions with the Trust.

F. Custodian Fees: State Street (the "Custodian") also serves as Custodian for the Trust in accordance with a Custodian Agreement. The Custodian holds cash, securities and other assets of the Trust as required by the Act. Custody fees are payable monthly based on assets held in custody, investment purchases and sales activity and account maintenance fees, plus reimbursement for certain out-of-pocket expenses.

G. Federal Income Taxes: It is each Fund's intention to continue to qualify as a regulated investment company and distribute all of its taxable and tax-exempt income. Accordingly, no provision for federal income taxes is required in the financial statements.

FASB ASC 740-10 "Income Taxes — Overall" sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. Management has concluded there are no significant uncertain tax positions that would require recognition in the financial statements. If applicable, the Funds recognize interest accrued related to unrecognized tax benefits in "Interest Expense" and penalties in "Other Expenses" in the Statements of Operations. The Funds file tax returns with the U.S. Internal Revenue Service, New York and various states. Each of the tax years in the four-year period ended October 31, 2019 remains subject to examination by taxing authorities.

The tax character of distributions paid may differ from the character of distributions shown for GAAP purposes due to short-term capital gains being treated as ordinary income for


89


2019 Annual Report

October 31, 2019

Notes to Financial Statements (cont'd)

tax purposes. The tax character of distributions paid during fiscal years 2019 and 2018 was as follows:

   2019
Distributions
Paid From:		   2018
Distributions
Paid From:		  
Fund   Ordinary
Income
(000)		   Tax-
Exempt
Income
(000)		   Paid-in-
Capital
(000)		   Ordinary
Income
(000)		   Tax-
Exempt
Income
(000)		   Paid-in-
Capital
(000)		  

ESG Money Market

  

$

65,315

    

$

—

    

$

—

    

$

20,935

    

$

—

    

$

—

    

Prime

    

252,088

      

—

      

—

      

116,525

      

—

      

—

    

Government

    

1,227,717

      

—

      

—

      

790,459

      

—

      

—

    
Government
Securities		    

58,983

      

—

      

—

      

130,139

      

—

      

—

    

Treasury

    

361,632

      

—

      

—

      

228,478

      

—

      

—

    

Treasury Securities

    

463,310

      

—

      

—

      

292,724

      

—

      

—

    

Tax-Exempt

    

—

      

8,108

      

—

      

—

      

3,429

      

—

    

The amount and character of income and gains to be distributed are determined in accordance with income tax regulations which may differ from GAAP. These book/tax differences are either considered temporary or permanent in nature.

Temporary differences are primarily due to differing book and tax treatments in the timing of the recognition of distribution payable and/or deferred compensation.

The Funds had no permanent differences causing reclassifications among the components of net assets for the year ended October 31, 2019.

At October 31, 2019 the components of distributable earnings on a tax basis were as follows:




Fund		   Undistributed
Ordinary
Income
(000)		   Tax-
Exempt
Income
(000)		   Undistributed
Long-term
Capital Gain
(000)		  

ESG Money Market

  

$

1,030

    

$

—

    

$

—

    

Prime

    

8,441

      

—

      

—

    

Government

    

48,560

      

—

      

—

    

Government Securities

    

1,077

      

—

      

—

    

Treasury

    

12,712

      

—

      

—

    

Treasury Securities

    

14,704

      

—

      

—

    

Tax-Exempt

    

—

      

51

      

—

    

At October 31, 2019, the following Funds had available for federal income tax purposes unused short-term and/or long-term capital losses that do not have an expiration date:

Fund   Short-term Losses
(No Expiration)
(000)		   Long-term Losses
(No Expiration)
(000)		  

Prime

  

$

52

    

$

—

    

Government

    

2,582

      

29

    

Government Securities

    

19

      

7

    

Treasury

    

1,614

      

165

    

Treasury Securities

    

1,567

      

280

    

To the extent that capital loss carryforwards are used to offset any future capital gains realized, no capital gains tax liability will be incurred by the Funds for gains realized and not

distributed. To the extent that capital gains are offset, such gains will not be distributed to the shareholders.

H. Transactions with Affiliates: The Funds are permitted to purchase and sell securities ("cross-trade") from and to other Morgan Stanley funds as well as other funds and client accounts for which the Adviser or an affiliate of the Adviser serves as investment adviser, pursuant to procedures approved by the Trustees in compliance with Rule 17a-7 under the Act (the "Rule"). Each cross-trade is executed at the current market price in compliance with provisions of the Rule. For the year ended October 31, 2019, Tax-Exempt Portfolio engaged in cross-trade purchases of approximately $6,300,000 and sales of approximately $ 8,200,000, which resulted in no net realized gains or losses.

The Trust has an unfunded Deferred Compensation Plan (the "Compensation Plan"), which allows each independent Trustee to defer payment of all, or a portion, of the fees he or she receives for serving on the Board of Trustees. Each eligible Trustee generally may elect to have the deferred amounts credited with a return equal to the total return on one or more of the Morgan Stanley funds that are offered as investment options under the Compensation Plan. Appreciation/depreciation and distributions received from these investments are recorded with an offsetting increase/decrease in the deferred compensation obligation and do not affect the net asset value of the Funds.

I. Other: At October 31, 2019, certain Funds had otherwise unaffiliated record owners of 10% or greater. Investment activities of these shareholders could have a material impact on these Funds. These Funds and the aggregate percentage of such owners were as follows:

Fund

   Percentage of
Ownership		  

ESG Money Market

    

73.8

%

  

Prime

    

39.0

    

Government

    

33.3

    

Government Securities

    

93.4

    

Treasury

    

27.9

    

Treasury Securities

    

34.9

    

Tax-Exempt

    

83.4

    


90


2019 Annual Report

October 31, 2019

Report of Independent Registered Public Accounting Firm

To the Shareholders and Board of Trustees of
Morgan Stanley Institutional Liquidity Funds:

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities of Morgan Stanley Institutional Liquidity Funds (the "Trust") (comprising, ESG Money Market Portfolio (formerly Money Market Portfolio), Prime Portfolio, Government Portfolio, Government Securities Portfolio, Treasury Portfolio, Treasury Securities Portfolio, and Tax-Exempt Portfolio) (collectively referred to as the "Funds") including the portfolios of investments, as of October 31, 2019, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds comprising Morgan Stanley Institutional Liquidity Funds at October 31, 2019, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and their financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements are the responsibility of the Trust's management. Our responsibility is to express an opinion on the Funds' financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) ("PCAOB") and are required to be independent with respect to the Trust in accordance with the U.S. federal securities law and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust's internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust's internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of October 31, 2019 by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more Morgan Stanley investment companies since 2000.

Boston, Massachusetts
December 23, 2019


91


2019 Annual Report

October 31, 2019

Investment Advisory Agreement Approval (unaudited)

Nature, Extent and Quality of Services

The Board reviewed and considered the nature and extent of the investment advisory services provided by the Adviser under the advisory agreement, including portfolio management, investment research and equity and fixed income securities trading. The Board also reviewed and considered the nature and extent of the non-advisory, administrative services provided by the Administrator under the administration agreement, including accounting, operations, clerical, bookkeeping, compliance, business management and planning, legal services and the provision of supplies, office space and utilities at the Adviser's expense. The Board also considered the Adviser's investment in personnel and infrastructure that benefits the Funds. (The Adviser and Administrator together are referred to as the "Adviser" and the advisory and administration agreements together are referred to as the "Management Agreement.") The Board also considered that the Adviser serves a variety of other investment advisory clients and has experience overseeing service providers. The Board also compared the nature of the services provided by the Adviser with similar services provided by non-affiliated advisers as prepared by Broadridge Financial Solutions, Inc. ("Broadridge").

The Board reviewed and considered the qualifications of the portfolio managers, the senior administrative managers and other key personnel of the Adviser who provide the advisory and administrative services to the Funds. The Board determined that the Adviser's portfolio managers and key personnel are well qualified by education and/or training and experience to perform the services in an efficient and professional manner. The Board concluded that the nature and extent of the advisory and administrative services provided were necessary and appropriate for the conduct of the business and investment activities of the Funds and supported its decision to approve the Management Agreement.

Performance, Fees and Expenses of the Funds

The Board reviewed the performance, fees and expenses of the Funds compared to their peers, as prepared by Broadridge, and to appropriate benchmarks where applicable. The Board discussed with the Adviser the performance goals and the actual results achieved in managing the Funds. When considering a fund's performance, the Board and the Adviser place emphasis on trends and longer-term returns (focusing on one-year, three-year and five-year performance, as of December 31, 2018, or since inception, as applicable). When a fund underperforms its benchmark and/or its peer group average, the Board and the Adviser discuss the causes of such underperformance and, where necessary, they discuss specific changes to investment strategy or investment personnel.

Performance

The Board noted that the performances of the Money Market, Prime, Government, Government Securities, Tax-Exempt, Treasury and Treasury Securities Portfolios were better than their peer group averages for the one-, three- and five-year periods.

Performance Conclusions

With respect to all of the Funds, after discussion, the Board concluded that performance was competitive with their peer group averages.

Fees and Expenses

The Board discussed with the Adviser the level of the advisory and administration fees (together, the "management fee") for the Funds relative to comparable funds and/or other accounts advised by the Adviser and/or compared to their peers as prepared by Broadridge. In addition to the management fee, the Board also reviewed the Funds' total expense ratios. When a fund's management fee and/or its total expense ratio are higher than its peers, the Board and the Adviser discuss the reasons for this and, where appropriate, they discuss possible waivers and/or caps.

The Board noted that, for the Money Market Portfolio, the contractual management fee was higher than but close to its peer group average and the actual management fee and total expense ratio were lower than its peer group averages.

The Board noted that, for the Prime Portfolio, the management fee was higher than its peer group average and the total expense ratio was lower than its peer group average.

The Board noted that, for the Government Portfolio, the contractual management fee was higher than but close to its peer group average, the actual management fee was equal to its peer group average and the total expense ratio was lower than its peer group average.


92


2019 Annual Report

October 31, 2019

Investment Advisory Agreement Approval (unaudited) (cont'd)

The Board noted that, for the Government Securities Portfolio, the contractual management fee was lower than its peer group average and the actual management fee and total expense ratio were higher than but close to its peer group averages.

The Board noted that, for the Tax-Exempt Portfolio, the management fee and total expense ratio were lower than its peer group averages.

The Board noted that, for the Treasury and Treasury Securities Portfolios, the actual management fees were higher than their peer group averages and the contractual management fees and total expense ratios were higher than but close to their peer group averages.

Fee and Expense Conclusion

With respect to the Prime, Treasury and Treasury Securities Portfolios, after discussion, the Board concluded that the management fees were acceptable and the total expense ratios were competitive with their peer group averages.

With respect to the Money Market, Government, Government Securities and Tax-Exempt Portfolios, after discussion, the Board concluded that the management fees and total expense ratios were competitive with their peer group averages.

Economies of Scale

The Board considered the size and growth prospects of the Funds and how that relates to the Funds' total expense ratios and particularly the Funds' management fee rates (which for all the Funds do not include breakpoints). In conjunction with its review of the Adviser's profitability, the Board discussed with the Adviser how a change in assets can affect the efficiency or effectiveness of managing the Funds and whether the management fee level is appropriate relative to current and projected asset levels and/or whether the management fee structure reflects economies of scale as asset levels change. The Board has determined that its review of the actual and/or potential economies of scale of each Fund supports its decision to approve the Management Agreement.

Profitability of the Adviser and Affiliates

The Board considered information concerning the costs incurred and profits realized by the Adviser and its affiliates during the last year from their relationship with the Funds and during the last two years from their relationship with the Morgan Stanley Fund Complex and reviewed with the Adviser the cost allocation methodology used to determine the profitability of the Adviser and affiliates. The Board has determined that its review of the analysis of the Adviser's expenses and profitability supports its decision to approve the Management Agreement.

Other Benefits of the Relationship

The Board considered other direct and indirect benefits to the Adviser and/or its affiliates derived from their relationship with the Funds and other funds advised by the Adviser. These benefits may include, among other things, fees for trading, distribution and/or shareholder servicing and for transaction processing and reporting platforms used by securities lending agents, and research received by the Adviser generated from commission dollars spent on funds' portfolio trading. The Board reviewed with the Adviser these arrangements and the reasonableness of the Adviser's costs relative to the services performed. The Board has determined that its review of the other benefits received by the Adviser or its affiliates supports its decision to approve the Management Agreement.

Resources of the Adviser and Historical Relationship Between the Funds and the Adviser

The Board considered whether the Adviser is financially sound and has the resources necessary to perform its obligations under the Management Agreement. The Board also reviewed and considered the historical relationship between the Funds and the Adviser, including the organizational structure of the Adviser, the policies and procedures formulated and adopted by the Adviser for managing the Funds' operations and the Board's confidence in the competence and integrity of the senior managers and key personnel of the Adviser. The Board concluded that the Adviser has the financial resources necessary to fulfill its obligations under the Management Agreement and that it is beneficial for the Funds to continue their relationship with the Adviser.

Other Factors and Current Trends

The Board considered the controls and procedures adopted and implemented by the Adviser and monitored by the Funds' Chief Compliance Officer and concluded that the conduct of business by the Adviser indicates a good faith effort on its part to adhere to high ethical standards in the conduct of the Funds' business.


93


2019 Annual Report

October 31, 2019

Investment Advisory Agreement Approval (unaudited) (cont'd)

General Conclusion

After considering and weighing all of the above factors, with various written materials and verbal information presented by the Adviser, the Board concluded that it would be in the best interest of each Fund and its shareholders to approve renewal of the Management Agreement for another year. In reaching this conclusion the Board did not give particular weight to any single piece of information or factor referenced above. The Board considered these factors and information over the course of the year and in numerous meetings, some of which were in executive session with only the independent Board members and their counsel present. It is possible that individual Board members may have weighed these factors, and the information presented, differently in reaching their individual decisions to approve the Management Agreement.


94


2019 Annual Report

October 31, 2019

Federal Tax Notice (unaudited)

For federal income tax purposes, the following information is furnished with respect to the distributions paid by each applicable Fund during the taxable year ended October 31, 2019.

Each of the applicable Funds designated the following percentages of its income dividends as tax-exempt dividends:

Fund   Tax-Exempt
Percentage		  

Tax-Exempt

    

100

%

  

For federal income tax purposes, the following information is furnished with respect to the earnings of each applicable Fund for the taxable year ended October 31, 2019.

Each of the applicable Funds may designate up to a maximum of the following amounts as qualifying as interest-related dividends and short-term capital gain dividends:

Fund   Interest
Related
Dividends		   Short-Term
Capital Gain
Dividends		  

Money Market

  

$

65,315,070

    

$

—

    

Prime

    

252,088,497

      

—

    

Government

    

1,227,717,805

      

—

    

Government Securities

    

58,982,471

      

—

    

Treasury

    

361,632,558

      

—

    

Treasury Securities

    

463,309,715

      

—

    

Tax-Exempt

    

8,107,448

      

—

    

In January, each applicable Fund provides tax information to shareholders for the preceding calendar year.


95


Privacy Notice (unaudited)  April 2019

FACTS

  

WHAT DOES MSIM DO WITH YOUR PERSONAL INFORMATION?

  

Why?

  

Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.

  

What?

   The types of personal information we collect and share depend on the product or service you have with us. This information can include:
n Social Security number and income
n investment experience and risk tolerance
n checking account number and wire transfer instructions		  

How?

  

All financial companies need to share customers' personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers' personal information; the reasons MSIM chooses to share; and whether you can limit this sharing.

  

 

Reasons we can share your personal information

  

Does MSIM share?

  

Can you limit this sharing?

  
For our everyday business purposes —
such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus		  

Yes

  

No

  
For our marketing purposes —
to offer our products and services to you		  

Yes

  

No

  

For joint marketing with other financial companies

  

No

  

We don't share

  
For our affiliates' everyday business purposes —
information about your transactions and experiences		  

Yes

  

No

  
For our affiliates' everyday business purposes —
information about your creditworthiness		  

No

  

We don't share

  

For our affiliates to market to you

  

No

  

We don't share

  

For non-affiliates to market to you

  

No

  

We don't share

  

Questions?  Call toll-free (844) 312-6327 or email: imprivacyinquiries@morganstanley.com


96


Privacy Notice (unaudited) (cont'd)  April 2019

Who we are

Who is providing this notice?

  

Morgan Stanley Investment Management, Inc. and its affiliated registered investment advisers, registered broker-dealers, and registered and unregistered funds ("MSIM")

  

What we do

How does MSIM protect my personal information?

  

To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information.

  

How does MSIM collect my personal information?

   We collect your personal information, for example, when you
n open an account or make deposits or withdrawals from your account
n buy securities from us or make a wire transfer
n give us your contact information
We also collect your personal information from others, such as credit bureaus, affiliates, or other companies.		  

Why can't I limit all sharing?

   Federal law gives you the right to limit only
n sharing for affiliates' everyday business purposes — information about your creditworthiness
n affiliates from using your information to market to you
n sharing for non-affiliates to market to you
State laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law.		  

Definitions

Affiliates

   Companies related by common ownership or control. They can be financial and non-financial companies.
n Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co.		  

Non-affiliates

   Companies not related by common ownership or control. They can be financial and non-financial companies.
n MSIM does not share with non-affiliates so they can market to you.		  

Joint marketing

   A formal agreement between non-affiliated financial companies that together market financial products or services to you.
n MSIM doesn't jointly market		  

Other Important Information

Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Non-affiliates unless you provide us with your written consent to share such information.

California: Except as permitted by law, we will not share personal information we collect about California residents with Non-affiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us.


97


2019 Annual Report

October 31, 2019

Trustee and Officer Information (unaudited)

Independent Trustees:

Name, Age and Address of
Independent Trustee		   Position(s)
Held with
Registrant		   Length of
Time Served*		   Principal Occupation(s) During Past 5 Years
and Other Relevant Professional Experience		   Number of
Portfolios in
Fund Complex
Overseen by
Independent
Trustee**		   Other Directorships
Held by Independent
Trustee***		  
Frank L. Bowman
c/o Perkins Coie LLP
Counsel to the Independent Trustees
1155 Avenue of the Americas
New York, NY 10036
Birth Year 1944		  

Trustee

   Since
August
2006		  

President, Strategic Decisions, LLC (consulting) (since February 2009); Director or Trustee of various Morgan Stanley Funds (since August 2006); Chairperson of the Compliance and Insurance Committee (since October 2015); formerly, Chairperson of the Insurance Sub-Committee of the Compliance and Insurance Committee (2007-2015); served as President and Chief Executive Officer of the Nuclear Energy Institute (policy organization) (February 2005-November 2008); retired as Admiral, U.S. Navy after serving over 38 years on active duty including 8 years as Director of the Naval Nuclear Propulsion Program in the Department of the Navy and the U.S. Department of Energy (1996-2004); served as Chief of Naval Personnel (July 1994-September 1996) and on the Joint Staff as Director of Political Military Affairs (June 1992-July 1994); knighted as Honorary Knight Commander of the Most Excellent Order of the British Empire; awarded the Officier de l'Orde National du Mérite by the French Government; elected to the National Academy of Engineering (2009).

  

82

  

Director of Naval and Nuclear Technologies LLP; Director Emeritus of the Armed Services YMCA; Member of the National Security Advisory Council of the Center for U.S. Global Engagement and a member of the CNA Military Advisory Board; Trustee of Fairhaven United Methodist Church; Member of the Board of Advisors of the Dolphin Scholarship Foundation; Director of other various non-profit organizations; formerly, Director of PB p.l.c. (November 2010-May 2019).

  
Kathleen A. Dennis
c/o Perkins Coie LLP
Counsel to the Independent Trustees
1155 Avenue of the Americas
New York, NY 10036
Birth Year 1953		  

Trustee

   Since
August
2006		  

President, Cedarwood Associates (mutual fund and investment management consulting) (since July 2006); Chairperson of the Liquidity and Alternatives Sub-Committee of the Investment Committee (since October 2006) and Director or Trustee of various Morgan Stanley Funds (since August 2006); formerly, Senior Managing Director of Victory Capital Management (1993-2006).

  

82

  

Director of various non-profit organizations.

  
Nancy C. Everett
c/o Perkins Coie LLP
Counsel to the Independent Trustees
1155 Avenue of the Americas
New York, NY 10036
Birth Year 1955		  

Trustee

   Since
January
2015		  

Chief Executive Officer, Virginia Commonwealth University Investment Company (since November 2015); Owner OBIR, LLC (institutional investment management consulting) (since June 2014); formerly, Managing Director, BlackRock, Inc. (February 2011-December 2013); and Chief Executive Officer, General Motors Asset Management (a/k/a Promark Global Advisors, Inc.) (June 2005-May 2010).

  

83

  

Formerly, Member of Virginia Commonwealth University School of Business Foundation (2005-2016); Member of Virginia Commonwealth University Board of Visitors (2013-2015); Member of Committee on Directors for Emerging Markets Growth Fund, Inc. (2007-2010); Chairperson of Performance Equity Management, LLC (2006-2010); and Chairperson, GMAM Absolute Return Strategies Fund, LLC (2006-2010).

  


98


2019 Annual Report

October 31, 2019

Trustee and Officer Information (unaudited) (cont'd)

Independent Trustees: (cont'd)

Name, Age and Address of
Independent Trustee		   Position(s)
Held with
Registrant		   Length of
Time Served*		   Principal Occupation(s) During Past 5 Years
and Other Relevant Professional Experience		   Number of
Portfolios in
Fund Complex
Overseen by
Independent
Trustee**		   Other Directorships
Held by Independent
Trustee***		  
Jakki L. Haussler
c/o Perkins Coie LLP
Counsel to the Independent Trustees
1155 Avenue of the Americas
New York, NY 10036
Birth Year 1957		  

Trustee

   Since
January
2015		  

Chairman and Chief Executive Officer, Opus Capital Group (since January 1996); formerly, Director, Capvest Venture Fund, LP (May 2000-December 2011); Partner, Adena Ventures, LP (July 1999-December 2010); Director, The Victory Funds (February 2005-July 2008).

  

83

  

Director of Service Corporation International and Member, Audit Committee and Investment Committee; Director of Cincinnati Bell Inc. and Member, Audit Committee and Governance and Nominating Committee; Chairman of Northern Kentucky University and Member, Investment Committee; Member of Chase College of Law Transactional Law Practice Center Board of Advisors; Director of Best Transport; Director of Chase College of Law Board of Visitors; formerly, Member, University of Cincinnati Foundation Investment Committee; Member, Miami University Board of Visitors (2008-2011); Trustee of Victory Funds (2005-2008) and Chairman, Investment Committee (2007-2008) and Member, Service Provider Committee (2005-2008).

  
Dr. Manuel H. Johnson
c/o Johnson Smick International, Inc.
220 I Street, NE — Suite 200 Washington, D.C. 20002
Birth Year 1949		  

Trustee

   Since
July
1991		  

Senior Partner, Johnson Smick International, Inc. (consulting firm); Chairperson of the Investment Committee (since October 2006) and Director or Trustee of various Morgan Stanley Funds (since July 1991); Co-Chairman and a founder of the Group of Seven Council (G7C) (international economic commission); formerly, Chairperson of the Audit Committee (July 1991-September 2006), Vice Chairman of the Board of Governors of the Federal Reserve System and Assistant Secretary of the U.S. Treasury.

  

82

  

Director of NVR, Inc. (home construction).

  
Joseph J. Kearns
c/o Perkins Coie LLP
Counsel to the Independent Trustees
1155 Avenue of the Americas
New York, NY 10036
Birth Year 1942		  

Trustee

   Since
August
1994		  

Senior Adviser, Kearns & Associates LLC (investment consulting); Chairperson of the Audit Committee (since October 2006) and Director or Trustee of various Morgan Stanley Funds (since August 1994); formerly, Deputy Chairperson of the Audit Committee (July 2003-September 2006) and Chairperson of the Audit Committee of various Morgan Stanley Funds (since August 1994); CFO of the J. Paul Getty Trust.

  

83

  

Prior to August 10, 2016, Director of Electro Rent Corporation (equipment leasing); Prior to December 31, 2013, Director of The Ford Family Foundation.

  


99


2019 Annual Report

October 31, 2019

Trustee and Officer Information (unaudited) (cont'd)

Independent Trustees: (cont'd)

Name, Age and Address of
Independent Trustee		   Position(s)
Held with
Registrant		   Length of
Time Served*		   Principal Occupation(s) During Past 5 Years
and Other Relevant Professional Experience		   Number of
Portfolios in
Fund Complex
Overseen by
Independent
Trustee**		   Other Directorships
Held by Independent
Trustee***		  
Michael F. Klein
c/o Perkins Coie LLP
Counsel to the Independent Trustees
1155 Avenue of the Americas
New York, NY 10036
Birth Year 1958		  

Trustee

   Since
August
2006		  

Managing Director, Aetos Alternatives Management, LP (since March 2000); Co-President, Aetos Alternatives Management, LP (since January 2004) and Co-Chief Executive Officer of Aetos Alternatives Management, LP (since August 2013); Chairperson of the Fixed Income Sub-Committee of the Investment Committee (since October 2006) and Director or Trustee of various Morgan Stanley Funds (since August 2006); formerly, Managing Director, Morgan Stanley & Co. Inc. and Morgan Stanley Dean Witter Investment Management and President, various Morgan Stanley Funds (June 1998-March 2000); Principal, Morgan Stanley & Co. Inc. and Morgan Stanley Dean Witter Investment Management (August 1997-December 1999).

  

82

  

Director of certain investment funds managed or sponsored by Aetos Alternatives Management, LP; Director of Sanitized AG and Sanitized Marketing AG (specialty chemicals).

  
Patricia Maleski
c/o Perkins Coie LLP
Counsel to the Independent Trustees
1155 Avenue of the Americas
New York, NY 10036
Birth Year 1960		  

Trustee

   Since
January
2017		  

Managing Director, JPMorgan Asset Management (2004-2016); Oversight and Control Head of Fiduciary and Conflicts of Interest Program (2015-2016); Chief Control Officer-Global Asset Management (2013-2015); President, JPMorgan Funds (2010-2013); Chief Administrative Officer (2004-2013); various other positions including Treasurer and Board Liaison (since 2001).

  

83

  

None.

  
Michael E. Nugent
522 Fifth Avenue
New York, NY 10036
Birth Year 1936		  

Chair of the Board and Trustee

  

Chair of the Boards since July 2006 and Trustee since July 1991

  

Chair of the Boards of various Morgan Stanley Funds (since July 2006); Chairperson of the Closed-End Fund Committee (since June 2012); Governance Committee (since January 2019) and Director or Trustee of various Morgan Stanley Funds (since July 1991); formerly, Chairperson of the Insurance Committee (until July 2006); General Partner, Triumph Capital, L.P. (private investment partnership) (1988-2013).

  

82

  

None.

  
W. Allen Reed
c/o Perkins Coie LLP
Counsel to the Independent Trustees
1155 Avenue of the Americas
New York, NY 10036
Birth Year 1947		  

Trustee

   Since
August
2006		  

Chairperson of the Equity Sub-Committee of the Investment Committee (since October 2006) and Director or Trustee of various Morgan Stanley Funds (since August 2006); formerly, President and CEO of General Motors Asset Management; Chairman and Chief Executive Officer of the GM Trust Bank and Corporate Vice President of General Motors Corporation (August 1994-December 2005).

  

82

  

Formerly, Director of Legg Mason, Inc.; formerly, Director of the Auburn University Foundation (2010-2015).

  

*  This is the earliest date the Trustee began serving the Morgan Stanley Funds. Each Trustee serves an indefinite term, until his or her successor is elected.

**  The Fund Complex includes (as of December 31, 2018) all open-end and closed-end funds (including all of their portfolios) advised by Morgan Stanley Investment Management Inc. (the "Adviser") and any funds that have an adviser that is an affiliated person of the Adviser (including, but not limited to, Morgan Stanley AIP GP LP).

***  This includes any directorships at public companies and registered investment companies held by the Trustee at any time during the past five years.


100


2019 Annual Report

October 31, 2019

Trustee and Officer Information (unaudited) (cont'd)

Executive Officers:

Name, Age and Address of Executive Officer

   Position(s) Held
with
Registrant		   Length of
Time Served*		  

Principal Occupation(s) During Past 5 Years

  
John H. Gernon
522 Fifth Avenue
New York, NY 10036
Birth Year 1963		  

President and Principal Executive Officer

  

Since September 2013

  

President and Principal Executive Officer of the Equity and Fixed Income Funds and the Morgan Stanley AIP Funds (since September 2013) and the Liquidity Funds and various money market funds (since May 2014) in the Fund Complex; Managing Director of the Adviser; Head of Product (since 2006).

  
Timothy J. Knierim
522 Fifth Avenue
New York, NY 10036
Birth Year 1959		  

Chief Compliance Officer

  

Since December 2016

  

Managing Director of the Adviser and various entities affiliated with the Adviser; Chief Compliance Officer of various Morgan Stanley Funds and the Adviser (since December 2016) and Chief Compliance Officer of Morgan Stanley AIP GP LP (since 2014). Formerly, Managing Director and Deputy Chief Compliance Officer of the Adviser (2014-2016); and formerly, Chief Compliance Officer of Prudential Investment Management, Inc. (2007-2014).

  
Francis J. Smith
522 Fifth Avenue
New York, NY 10036
Birth Year 1965		  

Treasurer and Principal Financial Officer

  

Treasurer since July 2003 and Principal Financial Officer since September 2002

  

Managing Director of the Adviser and various entities affiliated with the Adviser; Treasurer (since July 2003) and Principal Financial Officer of various Morgan Stanley Funds (since September 2002).

  
Mary E. Mullin
522 Fifth Avenue
New York, NY 10036
Birth Year 1967		  

Secretary

   Since
June
1999		  

Managing Director of the Adviser; Secretary of various Morgan Stanley Funds (since June 1999).

  
Michael J. Key
522 Fifth Avenue
New York, NY 10036
Birth Year 1979		  

Vice President

   Since
June
2017		  

Vice President of the Equity and Fixed Income Funds, Liquidity Funds, various money market funds and the Morgan Stanley AIP Funds in the Fund Complex (since June 2017); Executive Director of the Adviser; Head of Product Development for Equity and Fixed Income Funds (since August 2013).

  

*  This is the earliest date the officer began serving the Morgan Stanley Funds. Each officer serves a one-year term, until his or her successor is elected and qualifies.


101


Adviser and Administrator

Morgan Stanley Investment Management Inc.
522 Fifth Avenue
New York, New York 10036

Distributor

Morgan Stanley Distribution, Inc.
522 Fifth Avenue
New York, New York 10036

Dividend Disbursing and Transfer Agent

DST Asset Manager Solutions, Inc.
2000 Crown Colony Drive
Quincy, Massachusetts 02169

Co-Transfer Agent

Morgan Stanley Services Company, Inc.
522 Fifth Avenue
New York, New York 10036

Custodian

State Street Bank and Trust Company
One Lincoln Street
Boston, Massachusetts 02111

Legal Counsel

Dechert LLP
1095 Avenue of the Americas
New York, New York 10036

Counsel to the Independent Trustees

Perkins Coie LLP
1155 Avenue of the Americas
New York, New York 10036

Independent Registered Public Accounting Firm

Ernst & Young LLP
200 Clarendon Street
Boston, Massachusetts 02116

Reporting to Shareholders

Each Morgan Stanley fund provides a complete schedule of portfolio holdings in its Semi-Annual and the Annual Reports within 60 days of the end of the fund's second and fourth fiscal quarters. The Semi-Annual and Annual Reports are filed electronically with the Securities and Exchange Commission ("SEC") on Form N-CSRS and Form N-CSR, respectively. Morgan Stanley also delivers the Semi-Annual and Annual Reports to fund shareholders and makes these reports available on its public website, www.morganstanley.com/im/liquidityshareholderreports. Each Morgan Stanley non-money market fund also files a complete schedule of portfolio holdings with the SEC for the fund's first and third fiscal quarters as an attachment on Form N-PORT. Morgan Stanley does not deliver the reports for the first and third fiscal quarters to shareholders, nor are the reports posted to the Morgan Stanley public website. However, the holdings for each money market fund are posted to the Morgan Stanley public website. You may obtain the Form N-PORT filings (as well as the Form N-CSR and N-CSRS filings) by accessing the SEC's website, www.sec.gov. You can also request copies of these materials, upon payment of a duplicating fee, by electronic request at the SEC's email address (publicinfo@sec.gov).

The Trust's Statement of Additional Information contains additional information about the Trust, including its Trustees. It is available, without charge, by calling toll free at 1 (888) 378-1630.

Proxy Voting Policies and Procedures and Proxy Voting Record

You may obtain a copy of the Trust's Proxy Voting Policy and Procedures and information regarding how the Trust voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30, without charge, upon request, by calling toll free 1 (888) 378-1630 or by visiting our website at www.morganstanley.com/im/liquidityshareholderreports. This information is also available on the SEC's website at www.sec.gov.

This report is authorized for distribution only when preceded or accompanied by a prospectus or summary prospectus of the applicable fund of Morgan Stanley Institutional Liquidity Funds, which describes in detail the fund's investment policies, risks, fees and expenses. Please read the prospectus carefully before you invest or send money. For additional information, including information regarding the investments comprising the Fund, please visit our website at www.morganstanley.com/im/liquidityshareholderreports or call toll free 1 (888) 378-1630.


102


Printed in U.S.A.
This Report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus.

Morgan Stanley Investment Management Inc.
522 Fifth Avenue
New York, New York 10036

© 2019 Morgan Stanley. Morgan Stanley Distribution, Inc.

MSILFANN
2841952 EXP 12.31.2020


 

Item 2.  Code of Ethics.

 

(a)                                 The registrant has adopted a code of ethics (the “Code of Ethics”) that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party.

 

(b)                                 No information need be disclosed pursuant to this paragraph.

 

(c)                                  Not applicable.

 

(d)                                 Not applicable.

 

(e)                                  Not applicable.

 

(f)

 

(1)                                 The registrant’s Code of Ethics is attached hereto as Exhibit 13 A.

 

(2)                                 Not applicable.

 

(3)                                 Not applicable.

 

Item 3.  Audit Committee Financial Expert.

 

The registrant’s Board of Trustees has determined that Joseph J. Kearns, an “independent” Trustee, is an “audit committee financial expert” serving on its audit committee. Under applicable securities laws, a person who is determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities that are greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and Board of Trustees in the absence of such designation or identification.

 

 

Item 4.  Principal Accountant Fees and Services.

 

(a)(b)(c)(d) and (g).  Based on fees billed for the periods shown:

 

2019

 

Registrant

 

Covered Entities(1)

 

Audit Fees

 

$

238,147

 

N/A

 

 

 

 

 

 

 

Non-Audit Fees

 

 

 

 

 

Audit-Related Fees

 

$

—

(2)

$

—

(2)

Tax Fees

 

$

25,116

(3)

$

507,296

(4)

All Other Fees

 

$

—

 

$

144,110

(5)

Total Non-Audit Fees

 

$

25,116

 

$

651,406

 

 

 

 

 

 

 

Total

 

$

263,263

 

$

651,406

 

 

2018

 

Registrant

 

Covered Entities(1)

 

Audit Fees

 

$

238,147

 

N/A

 

 

 

 

 

 

 

Non-Audit Fees

 

 

 

 

 

Audit-Related Fees

 

$

—

(2)

$

—

(2)

Tax Fees

 

$

25,116

(3)

$

11,463,155

(4)

All Other Fees

 

$

—

 

$

73,115

(5)

Total Non-Audit Fees

 

$

25,116

 

$

11,536,270

 

 

 

 

 

 

 

Total

 

$

263,263

 

$

11,536,270

 

 

N/A- Not applicable, as not required by Item 4.

 

(1)   Covered Entities include the Adviser (excluding sub-advisors) and any entity controlling, controlled by or under common control with the Adviser that provides ongoing services to the Registrant.

 

(2)         Audit-Related Fees represent assurance and related services provided that are reasonably related to the performance of the audit of the financial statements of the Covered Entities’ and funds advised by the Adviser or its affiliates, specifically data verification and agreed-upon procedures related to asset securitizations and agreed-upon procedures engagements.

 

(3)  Tax Fees represent tax compliance, tax planning and tax advice services provided in connection with the preparation and review of the Registrant’s tax returns.

 

(4)  Tax Fees represent tax compliance, tax planning and tax advice services provided in connection with the review of Covered Entities’ tax returns.

 

(5)   All other fees represent project management for future business applications and improving business and operational processes.

 

 

(e)(1) The audit committee’s pre-approval policies and procedures are as follows:

 

APPENDIX A

 

AUDIT COMMITTEE

AUDIT AND NON-AUDIT SERVICES

PRE-APPROVAL POLICY AND PROCEDURES

OF THE

MORGAN STANLEY FUNDS

 

AS ADOPTED AND AMENDED JULY 23, 2004 AND JUNE 15 AND 16, 2016(3)

 

1.              Statement of Principles

 

The Audit Committee of the Board is required to review and, in its sole discretion, pre-approve all Covered Services to be provided by the Independent Auditors to the Fund and Covered Entities in order to assure that services performed by the Independent Auditors do not impair the auditor’s independence from the Fund.

 

The SEC has issued rules specifying the types of services that an independent auditor may not provide to its audit client, as well as the audit committee’s administration of the engagement of the independent auditor.  The SEC’s rules establish two different approaches to pre-approving services, which the SEC considers to be equally valid.  Proposed services either: may be pre-approved without consideration of specific case-by-case services by the Audit Committee (“general pre-approval”); or require the specific pre-approval of the Audit Committee or its delegate (“specific pre-approval”).  The Audit Committee believes that the combination of these two approaches in this Policy will result in an effective and efficient procedure to pre-approve services performed by the Independent Auditors.  As set forth in this Policy, unless a type of service has received general pre-approval, it will require specific pre-approval by the Audit Committee (or by any member of the Audit Committee to which pre-approval authority has been delegated) if it is to be provided by the Independent Auditors.  Any proposed services exceeding pre-approved cost levels or budgeted amounts will also require specific pre-approval by the Audit Committee.

 

The appendices to this Policy describe the Audit, Audit-related, Tax and All Other services that have the general pre-approval of the Audit Committee.  The term of any general pre-approval is 12 months from the date of pre-approval, unless the Audit Committee considers and provides a different period and states otherwise.  The Audit Committee will annually review and pre-approve the services that may be provided by the Independent Auditors without obtaining specific pre-approval from the Audit Committee.  The Audit Committee will add to or subtract from the list of general pre-approved services from time to time, based on subsequent determinations.

 

The purpose of this Policy is to set forth the policy and procedures by which the Audit Committee intends to fulfill its responsibilities.  It does not delegate the Audit Committee’s responsibilities to pre-approve services performed by the Independent Auditors to management.

 

The Fund’s Independent Auditors have reviewed this Policy and believes that implementation of the Policy will not adversely affect the Independent Auditors’ independence.

 

 

(3)                                 This Audit Committee Audit and Non-Audit Services Pre-Approval Policy and Procedures (the “Policy”), adopted as of the date above, supersedes and replaces all prior versions that may have been adopted from time to time.

 

2.              Delegation

 

As provided in the Act and the SEC’s rules, the Audit Committee may delegate either type of pre-approval authority to one or more of its members.  The member to whom such authority is delegated must report, for informational purposes only, any pre-approval decisions to the Audit Committee at its next scheduled meeting.

 

3.              Audit Services

 

The annual Audit services engagement terms and fees are subject to the specific pre-approval of the Audit Committee.  Audit services include the annual financial statement audit and other procedures required to be performed by the Independent Auditors to be able to form an opinion on the Fund’s financial statements.  These other procedures include information systems and procedural reviews and testing performed in order to understand and place reliance on the systems of internal control, and consultations relating to the audit.  The Audit Committee will approve, if necessary, any changes in terms, conditions and fees resulting from changes in audit scope, Fund structure or other items.

 

In addition to the annual Audit services engagement approved by the Audit Committee, the Audit Committee may grant general pre-approval to other Audit services, which are those services that only the Independent Auditors reasonably can provide.  Other Audit services may include statutory audits and services associated with SEC registration statements (on Forms N-1A, N-2, N-3, N-4, etc.), periodic reports and other documents filed with the SEC or other documents issued in connection with securities offerings.

 

The Audit Committee has pre-approved the Audit services in Appendix B.1.  All other Audit services not listed in Appendix B.1 must be specifically pre-approved by the Audit Committee (or by any member of the Audit Committee to which pre-approval has been delegated).

 

4.              Audit-related Services

 

Audit-related services are assurance and related services that are reasonably related to the performance of the audit or review of the Fund’s financial statements and, to the extent they are Covered Services, the Covered Entities or that are traditionally performed by the Independent Auditors.  Because the Audit Committee believes that the provision of Audit-related services does not impair the independence of the auditor and is consistent with the SEC’s rules on auditor independence, the Audit Committee may grant general pre-approval to Audit-related services.  Audit-related services include, among others, accounting consultations related to accounting, financial reporting or disclosure matters not classified as “Audit services”; assistance with understanding and implementing new accounting and financial reporting guidance from rulemaking authorities; agreed-upon or expanded audit procedures related to accounting and/or billing records required to respond to or comply with financial, accounting or regulatory reporting matters; and assistance with internal control reporting requirements under Forms N-CEN and/or N-CSR.

 

 

The Audit Committee has pre-approved the Audit-related services in Appendix B.2.  All other Audit-related services not listed in Appendix B.2 must be specifically pre-approved by the Audit Committee (or by any member of the Audit Committee to which pre-approval has been delegated).

 

5.              Tax Services

 

The Audit Committee believes that the Independent Auditors can provide Tax services to the Fund and, to the extent they are Covered Services, the Covered Entities, such as tax compliance, tax planning and tax advice without impairing the auditor’s independence, and the SEC has stated that the Independent Auditors may provide such services.

 

Pursuant to the preceding paragraph, the Audit Committee has pre-approved the Tax Services in Appendix B.3.  All Tax services in Appendix B.3 must be specifically pre-approved by the Audit Committee (or by any member of the Audit Committee to which pre-approval has been delegated).

 

6.              All Other Services

 

The Audit Committee believes, based on the SEC’s rules prohibiting the Independent Auditors from providing specific non-audit services, that other types of non-audit services are permitted.  Accordingly, the Audit Committee believes it may grant general pre-approval to those permissible non-audit services classified as All Other services that it believes are routine and recurring services, would not impair the independence of the auditor and are consistent with the SEC’s rules on auditor independence.

 

The Audit Committee has pre-approved the All Other services in Appendix B.4.  Permissible All Other services not listed in Appendix B.4 must be specifically pre-approved by the Audit Committee (or by any member of the Audit Committee to which pre-approval has been delegated).

 

7.              Pre-Approval Fee Levels or Budgeted Amounts

 

Pre-approval fee levels or budgeted amounts for all services to be provided by the Independent Auditors will be established annually by the Audit Committee.  Any proposed services exceeding these levels or amounts will require specific pre-approval by the Audit Committee.  The Audit Committee is mindful of the overall relationship of fees for audit and non-audit services in determining whether to pre-approve any such services.

 

8.              Procedures

 

All requests or applications for services to be provided by the Independent Auditors that do not require specific approval by the Audit Committee will be submitted to the Fund’s Principal Financial and Accounting Officer and must include a detailed description of the services to be rendered.  The Fund’s Principal Financial and Accounting Officer will determine whether such services are included within the list of services that have received the general pre-approval of the Audit Committee.  The Audit Committee will be informed on a timely basis of any such services rendered by the Independent Auditors.  Requests or applications to provide services that require specific approval by the Audit Committee or Chairman of the Audit Committee will be submitted to the Audit Committee by the Fund’s Principal Financial and Accounting Officer,

 

 

who, after consultation with the Independent Auditors, will discuss whether, the request or application is consistent with the SEC’s rules on auditor independence.

 

The Audit Committee has designated the Fund’s Principal Financial and Accounting Officer to monitor the performance of all services provided by the Independent Auditors and to determine whether such services are in compliance with this Policy.  The Fund’s Principal Financial and Accounting Officer will report to the Audit Committee on a periodic basis on the results of its monitoring.  Both the Fund’s Principal Financial and Accounting Officer and management will immediately report to the chairman of the Audit Committee any breach of this Policy that comes to the attention of the Fund’s Principal Financial and Accounting Officer or any member of management.

 

9.              Additional Requirements

 

The Audit Committee has determined to take additional measures on an annual basis to meet its responsibility to oversee the work of the Independent Auditors and to assure the auditor’s independence from the Fund, such as reviewing a formal written statement from the Independent Auditors delineating all relationships between the Independent Auditors and the Fund, consistent with the PCAOB’s Ethics and Independence Rule 3526, and discussing with the Independent Auditors its methods and procedures for ensuring independence.

 

10.       Covered Entities

 

Covered Entities include the Fund’s investment adviser(s) and any entity controlling, controlled by or under common control with the Fund’s investment adviser(s) that provides ongoing services to the Fund(s).  Beginning with non-audit service contracts entered into on or after May 6, 2003, the Fund’s audit committee must pre-approve non-audit services provided not only to the Fund but also to the Covered Entities if the engagements relate directly to the operations and financial reporting of the Fund.  This list of Covered Entities would include:

 

Morgan Stanley Funds

Morgan Stanley & Co. LLC

Morgan Stanley Investment Management Inc.

Morgan Stanley Investment Management Limited

Morgan Stanley Investment Management Private Limited

Morgan Stanley Asset & Investment Trust Management Co., Limited

Morgan Stanley Investment Management Company

Morgan Stanley Services Company, Inc.

Morgan Stanley Distribution, Inc.

Morgan Stanley AIP GP LP

Morgan Stanley Alternative Investment Partners LP

Morgan Stanley Smith Barney LLC

Morgan Stanley Capital Management LLC

Morgan Stanley Asia Limited

 

(e)(2)  Beginning with non-audit service contracts entered into on or after May 6, 2003, the audit committee also is required to pre-approve services to Covered Entities to the extent that the services are determined to have a direct impact on the operations or financial reporting of the

 

 

Registrant. 100% of such services were pre-approved by the audit committee pursuant to the Audit Committee’s pre-approval policies and procedures (attached hereto).

 

(f)     Not applicable.

 

(g)    See table above.

 

(h)    The audit committee of the Board of Trustees has considered whether the provision of services other than audit services performed by the auditors to the Registrant and Covered Entities is compatible with maintaining the auditors’ independence in performing audit services.

 

Item 5. Audit Committee of Listed Registrants.

 

(a) The registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act whose members are:

 

Joseph J. Kearns, Jakki L. Haussler, Michael F. Klein and W. Allen Reed.

 

(b) Not applicable.

 

Item 6. Schedule of Investments

 

(a) Refer to Item 1.

 

(b) Not applicable.

 

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

 

Applicable only to reports filed by closed-end funds.

 

Item 8. Portfolio Managers of Closed-End Management Investment Companies

 

Applicable only to reports filed by closed-end funds.

 

Item 9. Closed-End Fund Repurchases

 

Applicable only to reports filed by closed-end funds.

 

 

Item 10. Submission of Matters to a Vote of Security Holders

 

There have been no material changes to the procedures by which shareholders may recommend nominee to the Fund’s Board of Trustees since the Fund last provided disclosure in response to this item.

 

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 are sufficient to ensure that information required to be disclosed by the registrant in this Form N-CSR was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.

 

(b)  There were no changes in the registrant’s 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 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) The Code of Ethics for Principal Executive and Senior Financial Officers is attached hereto.

 

(b) A separate certification for each principal executive officer and principal financial officer of the registrant are attached hereto as part of EX-99.CERT.

 

 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

Morgan Stanley Institutional Liquidity Funds

 

 

 

/s/ John H. Gernon

 

John H. Gernon

 

Principal Executive Officer

 

December 17, 2019

 

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

/s/ John H. Gernon

 

John H. Gernon

 

Principal Executive Officer

 

December 17, 2019

 

 

 

/s/ Francis Smith

 

Francis Smith

 

Principal Financial Officer

 

December 17, 2019

 

 

 EX-99.CODEETH 2 a19-23577_1ex99dcodeeth.htm EX-99.CODEETH

Exhibit 99.CODEETH

 

 

EXHIBIT 13 A

 

CODE OF ETHICS FOR PRINCIPAL EXECUTIVE AND SENIOR FINANCIAL OFFICERS
ADOPTED SEPTEMBER 28, 2004, AS AMENDED SEPTEMBER 20, 2005, DECEMBER 1, 2006, JANUARY 1, 2008, SEPTEMBER 25, 2008 AND APRIL 23, 2009 AND MARCH 18, 2010

 

I.                                        This Code of Ethics (the “Code”) for the investment companies within the Morgan Stanley complex identified in Exhibit A (collectively, “Funds” and each, a “Fund”) applies to each Fund’s Principal Executive Officer, President, Principal Financial Officer and Treasurer (or persons performing similar functions) (“Covered Officers” each of whom are set forth in Exhibit B) for the purpose of promoting:

 

·                  honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships.

 

·                  full, fair, accurate, timely and understandable disclosure in reports and documents that a company files with, or submits to, the Securities and Exchange Commission (“SEC”) and in other public communications made by the Fund;

 

·                  compliance with applicable laws and governmental rules and regulations;

 

·                  prompt internal reporting of violations of the Code to an appropriate person or persons identified in the Code; and

 

·                  accountability for adherence to the Code.

 

Each Covered Officer should adhere to a high standard of business ethics and should be sensitive to situations that may give rise to actual as well as apparent conflicts of interest.  Any question about the application of the Code should be referred to the General Counsel or his/her designee (who is set forth in Exhibit C).

 

II.                                   Covered Officers Should Handle Ethically Actual and Apparent Conflicts of Interest

 

Overview.  A “conflict of interest” occurs when a Covered Officer’s private interest interferes, or appears to interfere, with the interests of, or his service to, the Fund.  For example, a conflict of interest would arise if a Covered Officer, or a member of his family, receives improper personal benefits as a result of his position with the Fund.

 

Certain conflicts of interest arise out of the relationships between Covered Officers and the Fund and already are subject to conflict of interest provisions in the Investment Company Act of 1940 (“Investment Company Act”) and the Investment Advisers Act of 1940 (“Investment Advisers Act”).  For example, Covered Officers may not individually engage in certain transactions (such as the purchase or sale of securities or other property) with the Fund because of their status as “affiliated persons” (as defined in the Investment Company Act) of the Fund.  The Fund’s and its investment adviser’s compliance programs and procedures are designed to prevent, or identify and correct, violations of these provisions.  This Code does not, and is not intended to, repeat or replace these programs and procedures, and such conflicts fall outside the parameters of this Code, unless or until the General Counsel determines that any violation of such programs and procedures is also a violation of this Code.

 

Although typically not presenting an opportunity for improper personal benefit, conflicts may arise from, or as a result of, the contractual relationship between the Fund and its investment adviser of which the Covered Officers are also officers or employees.  As a result, this Code recognizes that the Covered Officers will, in the normal course of their duties (whether formally

 

 

for the Fund or for the investment adviser, or for both), be involved in establishing policies and implementing decisions that will have different effects on the Fund and its investment adviser.  The participation of the Covered Officers in such activities is inherent in the contractual relationship between the Fund and the investment adviser and is consistent with the performance by the Covered Officers of their duties as officers of the Fund.  Thus, if performed in conformity with the provisions of the Investment Company Act and the Investment Advisers Act, such activities will be deemed to have been handled ethically.  In addition, it is recognized by the Funds’ Boards of Directors/Trustees (“Boards”) that the Covered Officers may also be officers or employees of one or more other investment companies covered by this or other codes.

 

Other conflicts of interest are covered by the Code, even if such conflicts of interest are not subject to provisions in the Investment Company Act and the Investment Advisers Act.  The following list provides examples of conflicts of interest under the Code, but Covered Officers should keep in mind that these examples are not exhaustive.  The overarching principle is that the personal interest of a Covered Officer should not be placed improperly before the interest of the Fund.

 

Each Covered Officer must not:

 

·                                          use his personal influence or personal relationships improperly to influence investment decisions or financial reporting by the Fund whereby the Covered Officer would benefit personally (directly or indirectly);

 

·                                          cause the Fund to take action, or fail to take action, for the individual personal benefit of the Covered Officer rather than the benefit of the Fund; or

 

·                                          use material non-public knowledge of portfolio transactions made or contemplated for, or actions proposed to be taken by, the Fund to trade personally or cause others to trade personally in contemplation of the market effect of such transactions.

 

Each Covered Officer must, at the time of signing this Code, report to the General Counsel all affiliations or significant business relationships outside the Morgan Stanley complex and must update the report annually.

 

Conflict of interest situations should always be approved by the General Counsel and communicated to the relevant Fund or Fund’s Board.  Any activity or relationship that would present such a conflict for a Covered Officer would likely also present a conflict for the Covered Officer if an immediate member of the Covered Officer’s family living in the same household engages in such an activity or has such a relationship.  Examples of these include:

 

·                                          service or significant business relationships as a director on the board of any public or private company;

 

·                                          accepting directly or indirectly, anything of value, including gifts and gratuities in excess of $100 per year from any person or entity with which the Fund has current or prospective business dealings, not including occasional meals or tickets

 

 

for theatre or sporting events or other similar entertainment; provided it is business-related, reasonable in cost, appropriate as to time and place, and not so frequent as to raise any question of impropriety;

 

·                                          any ownership interest in, or any consulting or employment relationship with, any of the Fund’s service providers, other than its investment adviser, principal underwriter, or any affiliated person thereof; and

 

·                                          a direct or indirect financial interest in commissions, transaction charges or spreads paid by the Fund for effecting portfolio transactions or for selling or redeeming shares other than an interest arising from the Covered Officer’s employment, such as compensation or equity ownership.

 

III.                              Disclosure and Compliance

 

·                                          Each Covered Officer should familiarize himself/herself with the disclosure and compliance requirements generally applicable to the Funds;

 

·                                          each Covered Officer must not knowingly misrepresent, or cause others to misrepresent, facts about the Fund to others, whether within or outside the Fund, including to the Fund’s Directors/Trustees and auditors, or to governmental regulators and self-regulatory organizations;

 

·                                          each Covered Officer should, to the extent appropriate within his area of responsibility, consult with other officers and employees of the Funds and their investment advisers with the goal of promoting full, fair, accurate, timely and understandable disclosure in the reports and documents the Funds file with, or submit to, the SEC and in other public communications made by the Funds; and

 

·                                          it is the responsibility of each Covered Officer to promote compliance with the standards and restrictions imposed by applicable laws, rules and regulations.

 

IV.                               Reporting and Accountability

 

Each Covered Officer must:

 

·                                          upon adoption of the Code (thereafter as applicable, upon becoming a Covered Officer), affirm in writing to the Boards that he has received, read and understands the Code;

 

·                                          annually thereafter affirm to the Boards that he has complied with the requirements of the Code;

 

·                                          not retaliate against any other Covered Officer, other officer or any employee of the Funds or their affiliated persons for reports of potential violations that are made in good faith; and

 

 

·                                          notify the General Counsel promptly if he/she knows or suspects of any violation of this Code.  Failure to do so is itself a violation of this Code.

 

The General Counsel is responsible for applying this Code to specific situations in which questions are presented under it and has the authority to interpret this Code in any particular situation.  However, any waivers(1) sought by a Covered Officer must be considered by the Board of the relevant Fund or Funds.

 

The Funds will follow these procedures in investigating and enforcing this Code:

 

·                                          the General Counsel will take all appropriate action to investigate any potential violations reported to him;

 

·                                          if, after such investigation, the General Counsel believes that no violation has occurred, the General Counsel is not required to take any further action;

 

·                                          any matter that the General Counsel believes is a violation will be reported to the relevant Fund’s Audit Committee;

 

(1) Item 2 of Form N-CSR defines “waiver” as “the approval by the registrant of a material departure from a provision of the code of ethics.”

 

·                                          if the directors/trustees/managing general partners who are not “interested persons” as defined by the Investment Company Act (the “Independent Directors/Trustees/Managing General Partners”) of the relevant Fund concur that a violation has occurred, they will consider appropriate action, which may include review of, and appropriate modifications to, applicable policies and procedures; notification to appropriate personnel of the investment adviser or its board; or a recommendation to dismiss the Covered Officer or other appropriate disciplinary actions;

 

·                                          the Independent Directors/Trustees/Managing General Partners of the relevant Fund will be responsible for granting waivers of this Code, as appropriate; and

 

·                                          any changes to or waivers of this Code will, to the extent required, be disclosed as provided by SEC rules.

 

V.                                    Other Policies and Procedures

 

This Code shall be the sole code of ethics adopted by the Funds for purposes of Section 406 of the Sarbanes-Oxley Act of 2002 and the rules and forms applicable to registered investment companies thereunder.  Insofar as other policies or procedures of the Funds, the Funds’ investment advisers, principal underwriters, or other service providers govern or purport to govern the behavior or activities of the Covered Officers who are subject to this Code, they are superseded by this Code to the extent that they overlap or conflict with the provisions of this Code unless any provision of this Code conflicts with any applicable federal or state law, in

 

 

which case the requirements of such law will govern.  The Funds’ and their investment advisers’ and principal underwriters’ codes of ethics under Rule 17j-1 under the Investment Company Act and Morgan Stanley’s Code of Ethics are separate requirements applying to the Covered Officers and others, and are not part of this Code.

 

VI.                               Amendments

 

Any amendments to this Code, other than amendments to Exhibits A, B or C, must be approved or ratified by a majority vote of the Board of each Fund, including a majority of Independent Directors/Trustees/Managing General Partners.

 

VII.                          Confidentiality

 

All reports and records prepared or maintained pursuant to this Code will be considered confidential and shall be maintained and protected accordingly.  Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone other than the Independent Directors/Trustees/Managing General Partners of the relevant Fund or Funds and their counsel, the relevant Fund or Funds and their counsel and the relevant investment adviser and its counsel.

 

 

VIII.                     Internal Use

 

The Code is intended solely for the internal use by the Funds and does not constitute an admission, by or on behalf of any Fund, as to any fact, circumstance, or legal conclusion

 

I have read and understand the terms of the above Code.  I recognize the responsibilities and obligations incurred by me as a result of my being subject to the Code.  I hereby agree to abide by the above Code.

 

 

 

 

 

Date:

 

 

 

 

EXHIBIT A

 

MORGAN STANLEY FUNDS

 

at

 

October 31, 2019

 

For a current list of the Morgan Stanley Funds, please contact the Legal Department.

 

 

EXHIBIT B

 

Equity and Fixed Income Funds

Money Market Funds

 

Covered Officers

 

John H. Gernon —President and Principal Executive Officer

 

Francis Smith — Principal Financial Officer and Treasurer

 

 

EXHIBIT C

 

General Counsel’s Designee - Chief Legal Officer

 

Mary E. Mullin

 

 EX-99.CERT 3 a19-23577_1ex99dcert.htm EX-99.CERT

Exhibit 99.CERT

 

 

EXHIBIT 13 B1

 

CERTIFICATION OF PRINCIPAL EXECUTIVE OFFICER

 

CERTIFICATIONS

 

I, John H. Gernon, certify that:

 

1.              I have reviewed this report on Form N-CSR of Morgan Stanley Institutional Liquidity Funds;

 

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 registrant’s 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 registrant’s 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 registrant’s 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 registrant’s internal control over financial reporting; and

 

5.              The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of trustees (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 registrant’s 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 registrant’s internal controls over financial reporting.

 

Date: December 17, 2019

 

 

/s/ John H. Gernon

 

John H. Gernon

 

Principal Executive Officer

 

 

 

EXHIBIT 13 B2

 

CERTIFICATION OF PRINCIPAL FINANCIAL OFFICER

 

CERTIFICATIONS

 

I, Francis Smith, certify that:

 

1.              I have reviewed this report on Form N-CSR of Morgan Stanley Institutional Liquidity Funds;

 

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 registrant’s 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 registrant’s 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 registrant’s 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 registrant’s internal control over financial reporting; and

 

5.              The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of trustees (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 registrant’s 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 registrant’s internal controls over financial reporting.

 

Date: December 17, 2019

 

 

/s/ Francis Smith

 

Francis Smith

 

Principal Financial Officer

 

 EX-99.906CERT 4 a19-23577_1ex99d906cert.htm EX-99.906CERT

Exhibit 99.906CERT

 

SECTION 906 CERTIFICATION

 

Certification Pursuant to 18 U.S.C. Section 1350,

As Adopted Pursuant to

Section 906 of the Sarbanes-Oxley Act of 2002

 

Morgan Stanley Institutional Liquidity Funds

 

In connection with the Report on Form N-CSR (the “Report”) of the above-named issuer for the period ended October 31, 2019 that is accompanied by this certification, the undersigned hereby certifies that:

 

1.                                      The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

 

2.                                      The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Issuer.

 

Date: December 17, 2019

/s/ John H. Gernon

 

John H. Gernon

 

Principal Executive Officer

 

A signed original of this written statement required by Section 906 has been provided to Morgan Stanley Institutional Liquidity Funds and will be retained by Morgan Stanley Institutional Liquidity Funds and furnished to the Securities and Exchange Commission or its staff upon request.

 

 

SECTION 906 CERTIFICATION

 

Certification Pursuant to 18 U.S.C. Section 1350,

As Adopted Pursuant to

Section 906 of the Sarbanes-Oxley Act of 2002

 

Morgan Stanley Institutional Liquidity Funds

 

In connection with the Report on Form N-CSR (the “Report”) of the above-named issuer for the period ended October 31, 2019 that is accompanied by this certification, the undersigned hereby certifies that:

 

1.                                      The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

 

2.                                      The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Issuer.

 

Date: December 17, 2019

/s/ Francis Smith

 

Francis Smith

 

Principal Financial Officer

 

A signed original of this written statement required by Section 906 has been provided to Morgan Stanley Institutional Liquidity Funds and will be retained by Morgan Stanley Institutional Liquidity Funds and furnished to the Securities and Exchange Commission or its staff upon request.

 

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