10/30/2024 | Press release | Distributed by Public on 10/30/2024 14:15
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-10407
Master Portfolio Trust
(Exact name of registrant as specified in charter)
620 Eighth Avenue, 47th Floor, New York, NY 10018
(Address of principal executive offices) (Zip code)
Marc A. De Oliveira
Franklin Templeton
100 First Stamford Place
Stamford, CT 06902
(Name and address of agent for service)
Registrant's telephone number, including area code:
877-6LM-FUND/656-3863
Date of fiscal year end: August 31
Date of reporting period: August 31, 2024
ITEM 1. | REPORT TO STOCKHOLDERS. |
The Annual Report to Stockholders is filed herewith.
Government Portfolio
|
|
Annual Shareholder Report | August 31, 2024
|
|
Fund Name
|
Costs of a $10,000 investment
|
Costs paid as a percentage of a $10,000 investment*
|
Government Portfolio
|
$1
|
0.01%
|
* | Reflects fee waivers and/or expense reimbursements, without which expenses would have been higher. Additional amounts may be voluntarily waived and/or reimbursed from time to time. |
Total Net Assets
|
$28,431,740,119
|
Total Number of Portfolio Holdings
|
137
|
Total Management Fee Paid
|
$0
|
WHERE CAN I FIND ADDITIONAL INFORMATION ABOUT THE FUND?
|
|
Additional information is available on https://www.franklintempleton.com/regulatory-masterfunds-documents, including its:
|
|
• proxy voting information • financial information • holdings • tax information
|
Government Portfolio | PAGE 1 | 98068-AHTSR-1024 |
ITEM 2. | CODE OF ETHICS. |
The registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller.
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
The Board of Trustees of the registrant has determined that Robert Abeles, Jr., possesses the technical attributes identified in Instruction 2(b) of Item 3 to Form N-CSR to qualify an "Audit Committee's financial expert," and has designated Mr. Abeles, Jr. as the Audit Committee's financial expert. Mr. Abeles, Jr. is an "independent" Trustees pursuant to paragraph (a) (2) of Item 3 to Form N-CSR.
Item 4. | Principal Accountant Fees and Services. |
a) Audit Fees. The aggregate fees billed in the last two fiscal year ending August 31, 2023 and August 31, 2024 (the "Reporting Periods") for professional services rendered by the Registrant's principal accountant (the "Auditor") for the audit of the Registrant's annual financial statements, or services that are normally provided by the Auditor in connection with the statutory and regulatory filings or engagements for the Reporting Periods, were $125,406 in August 31, 2023 and $125,406 in August 31, 2024.
b) Audit-Related Fees. The aggregate fees billed in the Reporting Period for assurance and related services by the Auditor that are reasonably related to the performance of the Registrant's financial statements were $0 in August 31, 2023 and $0 in August 31, 2024.
(c) Tax Fees. The aggregate fees billed in the Reporting Periods for professional services rendered by the Auditor for tax compliance, tax advice and tax planning ("Tax Services") were $39,000 in August 31, 2023 and $39,000 in August 31, 2024. These services consisted of (i) review or preparation of U.S. federal, state, local and excise tax returns; (ii) U.S. federal, state and local tax planning, advice and assistance regarding statutory, regulatory or administrative developments, and (iii) tax advice regarding tax qualification matters and/or treatment of various financial instruments held or proposed to be acquired or held.
There were no fees billed for tax services by the Auditors to service affiliates during the Reporting Periods that required pre-approval by the Audit Committee.
d) All Other Fees.
There was no other fee billed in the Reporting Periods for products and services provided by the Auditor, other than the services reported in paragraphs (a) through (c) for the Item for the Master Portfolio Trust.
All Other Fees. There were no other non-audit services rendered by the Auditor to Franklin Templeton Fund Adviser, LLC ("FTFA"), and any entity controlling, controlled by or under common control with FTFA that provided ongoing services to Master Portfolio Trust requiring pre-approval by the Audit Committee in the Reporting Period.
(e) Audit Committee's pre-approval policies and procedures described in paragraph (c) (7) of Rule 2-01 of Regulation S-X.
(1) The Charter for the Audit Committee (the "Committee") of the Board of each registered investment company (the "Fund") advised by FTFA or one of their affiliates (each, an "Adviser") requires that the Committee shall approve (a) all audit and permissible non-audit services to be provided to the Fund and (b) all permissible non-audit services to be provided by the Fund's independent auditors to the Adviser and any Covered Service Providers if the engagement relates directly to the operations and financial reporting of the Fund. The Committee may implement policies and procedures by which such services are approved other than by the full Committee.
The Committee shall not approve non-audit services that the Committee believes may impair the independence of the auditors. As of the date of the approval of this Audit Committee Charter, permissible non-audit services include any professional services (including tax services), that are not prohibited services as described below, provided to the Fund by the independent auditors, other than those provided to the Fund in connection with an audit or a review of the financial statements of the Fund. Permissible non-audit services may not include: (i) bookkeeping or other services related to the accounting records or financial statements of the Fund; (ii) financial information systems design and implementation; (iii) appraisal or valuation services, fairness opinions or contribution-in-kind reports; (iv) actuarial services; (v) internal audit outsourcing services; (vi) management functions or human resources; (vii) broker or dealer, investment adviser or investment banking services; (viii) legal services and expert services unrelated to the audit; and (ix) any other service the Public Company Accounting Oversight Board determines, by regulation, is impermissible.
Pre-approval by the Committee of any permissible non-audit services is not required so long as: (i) the aggregate amount of all such permissible non-audit services provided to the Fund, the Adviser and any service providers controlling, controlled by or under common control with the Adviser that provide ongoing services to the Fund ("Covered Service Providers") constitutes not more than 5% of the total amount of revenues paid to the independent auditors during the fiscal year in which the permissible non-audit services are provided to (a) the Fund, (b) the Adviser and (c) any entity controlling, controlled by or under common control with the Adviser that provides ongoing services to the Fund during the fiscal year in which the services are provided that would have to be approved by the Committee; (ii) the permissible non-audit services were not recognized by the Fund at the time of the engagement to be non-audit services; and (iii) such services are promptly brought to the attention of the Committee and approved by the Committee (or its delegate(s)) prior to the completion of the audit.
(2) None of the services described in paragraphs (b) through (d) of this Item were performed in reliance on paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Not applicable.
(g) Non-audit fees billed by the Auditor for services rendered to Master Portfolio Trust, FTFA and any entity controlling, controlled by, or under common control with FTFA that provides ongoing services to Master Portfolio Trust during the reporting period were $350,359 in August 31, 2023 and $342,635 in August 31, 2024.
(h) Yes. Master Portfolio Trust's Audit Committee has considered whether the provision of non-audit services that were rendered to Service Affiliates, which were not pre-approved (not requiring pre-approval), is compatible with maintaining the Accountant's independence. All services provided by the Auditor to the Master Portfolio Trust or to Service Affiliates, which were required to be pre-approved, were pre-approved as required.
(i) Not applicable.
(j) Not applicable.
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
a) | The independent board members are acting as the registrant's audit committee as specified in Section 3(a)(58)(B) of the Exchange Act. The Audit Committee consists of the following Board members: |
Robert Abeles, Jr.
Jane F. Dasher
Anita L. DeFrantz
Susan B. Kerley
Michael Larson
Avedick B. Poladian
William E.B. Siart
Jaynie M. Studenmund
Peter J. Taylor
(b) | Not applicable. |
ITEM 6. | SCHEDULE OF INVESTMENTS. |
(a) | Please see schedule of investments contained in the Financial Statements and Financial Highlights included under Item 7 of this Form N-CSR. |
(b) | Not applicable. |
ITEM 7. | FINANCIAL STATEMENTS AND FINANCIAL HIGLIGHTS FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES. |
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
Short-Term Investments - 95.1%
|
|||||
U.S. Government Agencies - 18.0%
|
|||||
Federal Farm Credit Bank (FFCB) (SOFR +
0.135%)
|
5.465%
|
9/5/24
|
$101,100,000
|
$101,099,998
(a)
|
|
Federal Farm Credit Bank (FFCB) (SOFR +
0.100%)
|
5.430%
|
10/7/24
|
9,895,000
|
9,894,790
(a)
|
|
Federal Farm Credit Bank (FFCB)
|
5.330%
|
10/16/24
|
37,300,000
|
37,300,000
(a)
|
|
Federal Farm Credit Bank (FFCB) (U.S. Federal
Funds Intraday Effective Rate + 0.180%)
|
5.510%
|
12/16/24
|
100,000,000
|
100,014,770
(a)
|
|
Federal Farm Credit Bank (FFCB) (SOFR +
0.150%)
|
5.480%
|
1/3/25
|
30,000,000
|
30,000,000
(a)
|
|
Federal Farm Credit Bank (FFCB) (U.S. Federal
Funds Intraday Effective Rate + 0.170%)
|
5.500%
|
1/6/25
|
75,000,000
|
75,000,000
(a)
|
|
Federal Farm Credit Bank (FFCB) (SOFR +
0.170%)
|
5.500%
|
1/23/25
|
41,000,000
|
41,000,000
(a)
|
|
Federal Farm Credit Bank (FFCB) (SOFR +
0.100%)
|
5.430%
|
2/3/25
|
149,900,000
|
149,880,902
(a)
|
|
Federal Farm Credit Bank (FFCB) (Federal
Reserve Bank Prime Loan Rate - 3.020%)
|
5.480%
|
2/10/25
|
100,000,000
|
100,000,000
(a)
|
|
Federal Farm Credit Bank (FFCB) (Federal
Reserve Bank Prime Loan Rate - 2.995%)
|
5.505%
|
3/20/25
|
50,000,000
|
50,000,000
(a)
|
|
Federal Farm Credit Bank (FFCB)
|
5.000%
|
3/28/25
|
40,000,000
|
40,000,000
|
|
Federal Farm Credit Bank (FFCB) (SOFR +
0.140%)
|
5.470%
|
4/25/25
|
115,000,000
|
114,970,220
(a)
|
|
Federal Farm Credit Bank (FFCB) (SOFR +
0.160%)
|
5.490%
|
5/15/25
|
75,000,000
|
75,000,000
(a)
|
|
Federal Farm Credit Bank (FFCB) (Federal
Reserve Bank Prime Loan Rate - 3.040%)
|
5.460%
|
6/18/25
|
110,000,000
|
109,987,458
(a)
|
|
Federal Farm Credit Bank (FFCB) (U.S. Federal
Funds Intraday Effective Rate + 0.190%)
|
5.520%
|
6/20/25
|
25,000,000
|
25,000,000
(a)
|
|
Federal Farm Credit Bank (FFCB) (SOFR +
0.130%)
|
5.460%
|
8/13/25
|
75,000,000
|
75,000,000
(a)
|
|
Federal Farm Credit Bank (FFCB) (Federal
Reserve Bank Prime Loan Rate - 3.010%)
|
5.490%
|
9/15/25
|
50,000,000
|
50,000,000
(a)
|
|
Federal Farm Credit Bank (FFCB) (U.S. Federal
Funds Intraday Effective Rate + 0.135%)
|
5.465%
|
11/10/25
|
43,500,000
|
43,516,448
(a)
|
|
Federal Farm Credit Bank (FFCB) (SOFR +
0.080%)
|
5.410%
|
11/21/25
|
72,000,000
|
71,991,174
(a)
|
|
Federal Farm Credit Bank (FFCB) (Federal
Reserve Bank Prime Loan Rate - 3.070%)
|
5.430%
|
11/28/25
|
200,000,000
|
200,000,000
(a)
|
|
Federal Farm Credit Bank (FFCB) (SOFR +
0.155%)
|
5.485%
|
11/28/25
|
30,000,000
|
30,000,000
(a)
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
U.S. Government Agencies - continued
|
|||||
Federal Farm Credit Bank (FFCB) (SOFR +
0.190%)
|
5.520%
|
12/1/25
|
$25,000,000
|
$25,009,105
(a)
|
|
Federal Farm Credit Bank (FFCB) (SOFR +
0.100%)
|
5.430%
|
1/15/26
|
48,270,000
|
48,270,000
(a)
|
|
Federal Farm Credit Bank (FFCB) (U.S. Federal
Funds Intraday Effective Rate + 0.060%)
|
5.390%
|
1/16/26
|
60,000,000
|
60,000,000
(a)
|
|
Federal Farm Credit Bank (FFCB) (SOFR +
0.090%)
|
5.420%
|
2/12/26
|
147,500,000
|
147,525,729
(a)
|
|
Federal Farm Credit Bank (FFCB) (Federal
Reserve Bank Prime Loan Rate - 3.025%)
|
5.475%
|
3/18/26
|
125,000,000
|
125,000,000
(a)
|
|
Federal Farm Credit Bank (FFCB) (Federal
Reserve Bank Prime Loan Rate - 3.030%)
|
5.470%
|
4/17/26
|
87,500,000
|
87,500,000
(a)
|
|
Federal Farm Credit Bank (FFCB) (Federal
Reserve Bank Prime Loan Rate - 3.040%)
|
5.460%
|
5/28/26
|
40,000,000
|
40,000,000
(a)
|
|
Federal Farm Credit Bank (FFCB) (Federal
Reserve Bank Prime Loan Rate - 3.040%)
|
5.460%
|
6/12/26
|
25,000,000
|
25,000,000
(a)
|
|
Federal Farm Credit Bank (FFCB) (Federal
Reserve Bank Prime Loan Rate - 3.045%)
|
5.455%
|
7/15/26
|
25,000,000
|
25,000,000
(a)
|
|
Federal Farm Credit Bank (FFCB), Discount
Notes
|
5.303%
|
10/7/24
|
37,300,000
|
37,105,667
(b)
|
|
Federal Farm Credit Bank (FFCB), Discount
Notes
|
4.708%
|
2/25/25
|
25,000,000
|
24,446,875
(b)
|
|
Federal Home Loan Bank (FHLB)
|
1.610%
|
9/4/24
|
66,425,000
|
66,404,510
|
|
Federal Home Loan Bank (FHLB)
|
3.250%
|
9/13/24
|
50,000,000
|
49,964,545
|
|
Federal Home Loan Bank (FHLB)
|
3.500%
|
9/13/24
|
36,000,000
|
35,978,758
|
|
Federal Home Loan Bank (FHLB)
|
4.500%
|
10/3/24
|
30,000,000
|
29,975,394
|
|
Federal Home Loan Bank (FHLB)
|
5.500%
|
10/11/24
|
50,000,000
|
50,003,467
|
|
Federal Home Loan Bank (FHLB) (SOFR +
0.110%)
|
5.440%
|
11/21/24
|
147,200,000
|
147,200,000
(a)
|
|
Federal Home Loan Bank (FHLB)
|
5.125%
|
12/2/24
|
19,000,000
|
19,007,810
|
|
Federal Home Loan Bank (FHLB)
|
2.750%
|
12/13/24
|
18,755,000
|
18,647,370
|
|
Federal Home Loan Bank (FHLB)
|
1.000%
|
12/20/24
|
47,025,000
|
46,495,944
|
|
Federal Home Loan Bank (FHLB)
|
4.750%
|
12/26/24
|
30,000,000
|
29,993,258
|
|
Federal Home Loan Bank (FHLB) (SOFR +
0.020%)
|
5.350%
|
1/27/25
|
43,000,000
|
43,000,000
(a)
|
|
Federal Home Loan Bank (FHLB) (SOFR +
0.130%)
|
5.460%
|
1/28/25
|
100,000,000
|
100,000,000
(a)
|
|
Federal Home Loan Bank (FHLB) (SOFR +
0.140%)
|
5.470%
|
4/21/25
|
75,000,000
|
75,000,000
(a)
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
U.S. Government Agencies - continued
|
|||||
Federal Home Loan Bank (FHLB) (SOFR +
0.135%)
|
5.465%
|
5/2/25
|
$9,970,000
|
$9,971,753
(a)
|
|
Federal Home Loan Bank (FHLB) (SOFR +
0.150%)
|
5.480%
|
5/28/25
|
17,780,000
|
17,785,378
(a)
|
|
Federal Home Loan Bank (FHLB) (SOFR +
0.115%)
|
5.445%
|
6/16/25
|
50,000,000
|
50,000,000
(a)
|
|
Federal Home Loan Bank (FHLB) (SOFR +
0.115%)
|
5.445%
|
7/8/25
|
100,000,000
|
100,000,000
(a)
|
|
Federal Home Loan Bank (FHLB) (SOFR +
0.155%)
|
5.485%
|
7/8/25
|
12,050,000
|
12,053,255
(a)
|
|
Federal Home Loan Bank (FHLB) (SOFR +
0.155%)
|
5.485%
|
8/21/25
|
18,195,000
|
18,197,399
(a)
|
|
Federal Home Loan Bank (FHLB) (SOFR +
0.155%)
|
5.485%
|
8/22/25
|
11,055,000
|
11,056,472
(a)
|
|
Federal Home Loan Bank (FHLB) (SOFR +
0.130%)
|
5.460%
|
10/3/25
|
200,000,000
|
200,011,980
(a)
|
|
Federal Home Loan Bank (FHLB) (SOFR +
0.150%)
|
5.480%
|
12/11/25
|
75,000,000
|
75,000,000
(a)
|
|
Federal Home Loan Bank (FHLB) (SOFR +
0.145%)
|
5.475%
|
1/5/26
|
100,000,000
|
100,000,000
(a)
|
|
Federal Home Loan Bank (FHLB), Discount
Notes
|
5.284%
|
9/27/24
|
283,000,000
|
281,926,958
(b)
|
|
Federal Home Loan Bank (FHLB), Discount
Notes
|
4.747%
|
10/31/24
|
95,000,000
|
94,268,500
(b)
|
|
Federal Home Loan Bank (FHLB), Discount
Notes
|
4.891%
|
11/26/24
|
50,000,000
|
49,435,625
(b)
|
|
Federal Home Loan Bank (FHLB), Discount
Notes
|
5.353%
|
12/27/24
|
40,255,000
|
39,583,849
(b)
|
|
Federal Home Loan Bank (FHLB), Discount
Notes
|
5.250%
|
1/2/25
|
100,000,000
|
98,281,417
(b)
|
|
Federal Home Loan Bank (FHLB), Discount
Notes
|
4.846%
|
1/10/25
|
50,000,000
|
49,153,958
(b)
|
|
Federal Home Loan Bank (FHLB), Discount
Notes
|
4.984%
|
2/3/25
|
50,000,000
|
48,974,202
(b)
|
|
Federal Home Loan Bank (FHLB), Discount
Notes
|
4.993%
|
2/20/25
|
50,000,000
|
48,861,694
(b)
|
|
Federal Home Loan Bank (FHLB), Discount
Notes
|
5.092%
|
3/5/25
|
133,250,000
|
129,928,929
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC)
|
4.070%
|
9/16/24
|
90,000,000
|
89,945,133
|
|
Federal Home Loan Mortgage Corp. (FHLMC)
|
4.000%
|
11/25/24
|
43,500,000
|
43,352,307
|
|
Federal Home Loan Mortgage Corp. (FHLMC)
|
5.150%
|
1/17/25
|
50,000,000
|
49,938,272
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
U.S. Government Agencies - continued
|
|||||
Federal Home Loan Mortgage Corp. (FHLMC)
(SOFR + 0.100%)
|
5.430%
|
2/9/26
|
$148,270,000
|
$148,270,000
(a)
|
|
Federal National Mortgage Association
(FNMA)
|
1.625%
|
1/7/25
|
70,000,000
|
69,215,198
|
|
Federal National Mortgage Association
(FNMA)
|
0.700%
|
7/14/25
|
3,250,000
|
3,145,813
|
|
Federal National Mortgage Association
(FNMA)
|
0.650%
|
8/25/25
|
73,560,000
|
70,903,321
|
|
Federal National Mortgage Association
(FNMA) (SOFR + 0.120%)
|
5.450%
|
7/29/26
|
75,000,000
|
75,000,000
(a)
|
|
Federal National Mortgage Association
(FNMA) (SOFR + 0.135%)
|
5.455%
|
8/21/26
|
240,400,000
|
240,400,000
(a)
|
|
|
|||||
Total U.S. Government Agencies
|
5,110,845,605
|
||||
U.S. Treasury Bills - 12.9%
|
|||||
U.S. Cash Management Bill
|
5.314%
|
10/3/24
|
325,000,000
|
323,486,222
(b)
|
|
U.S. Cash Management Bill
|
5.336%
|
10/10/24
|
450,000,000
|
447,450,700
(b)
|
|
U.S. Treasury Bills
|
5.168%
|
9/17/24
|
250,000,000
|
249,415,556
(b)
|
|
U.S. Treasury Bills
|
5.321%
|
10/8/24
|
25,000,000
|
24,865,798
(b)
|
|
U.S. Treasury Bills
|
5.336%
|
10/24/24
|
150,000,000
|
148,853,875
(b)
|
|
U.S. Treasury Bills
|
5.370%
|
10/29/24
|
100,000,000
|
99,160,369
(b)
|
|
U.S. Treasury Bills
|
5.376%
|
11/5/24
|
150,000,000
|
148,590,312
(b)
|
|
U.S. Treasury Bills
|
5.341%
|
11/12/24
|
94,870,000
|
93,890,562
(b)
|
|
U.S. Treasury Bills
|
5.304%
|
11/14/24
|
198,000,000
|
195,914,043
(b)
|
|
U.S. Treasury Bills
|
5.367%
|
11/21/24
|
155,000,000
|
153,195,219
(b)
|
|
U.S. Treasury Bills
|
5.308%
|
11/26/24
|
107,400,000
|
106,087,661
(b)
|
|
U.S. Treasury Bills
|
5.242%
|
12/3/24
|
202,300,000
|
199,662,644
(b)
|
|
U.S. Treasury Bills
|
5.347%
|
12/5/24
|
272,500,000
|
268,801,881
(b)
|
|
U.S. Treasury Bills
|
5.186%
|
12/10/24
|
164,920,000
|
162,634,853
(b)
|
|
U.S. Treasury Bills
|
5.354%
|
12/12/24
|
290,000,000
|
285,774,537
(b)
|
|
U.S. Treasury Bills
|
5.183%
|
12/17/24
|
128,860,000
|
126,952,657
(b)
|
|
U.S. Treasury Bills
|
5.368%
|
12/19/24
|
150,000,000
|
147,661,042
(b)
|
|
U.S. Treasury Bills
|
5.125%
|
12/24/24
|
75,000,000
|
73,831,500
(b)
|
|
U.S. Treasury Bills
|
5.363%
|
12/26/24
|
100,000,000
|
98,343,745
(b)
|
|
U.S. Treasury Bills
|
5.342%
|
1/2/25
|
112,000,000
|
110,042,660
(b)
|
|
U.S. Treasury Bills
|
4.785%
|
1/23/25
|
40,000,000
|
39,266,192
(b)
|
|
U.S. Treasury Bills
|
5.109%
|
1/30/25
|
100,000,000
|
97,951,853
(b)
|
|
U.S. Treasury Bills
|
5.043%
|
2/13/25
|
68,270,000
|
66,763,366
(b)
|
|
|
|||||
Total U.S. Treasury Bills
|
3,668,597,247
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
U.S. Treasury Notes - 4.5%
|
|||||
U.S. Treasury Notes
|
0.625%
|
10/15/24
|
$60,000,000
|
$59,698,102
|
|
U.S. Treasury Notes
|
4.375%
|
10/31/24
|
40,000,000
|
39,960,610
|
|
U.S. Treasury Notes
|
1.500%
|
11/30/24
|
50,000,000
|
49,593,146
|
|
U.S. Treasury Notes
|
2.125%
|
11/30/24
|
125,000,000
|
124,118,659
|
|
U.S. Treasury Notes
|
1.000%
|
12/15/24
|
60,000,000
|
59,351,299
|
|
U.S. Treasury Notes
|
4.250%
|
12/31/24
|
75,000,000
|
74,794,467
|
|
U.S. Treasury Notes
|
1.125%
|
2/28/25
|
40,000,000
|
39,249,478
|
|
U.S. Treasury Notes
|
3.875%
|
4/30/25
|
196,670,000
|
195,193,244
|
|
U.S. Treasury Notes
|
2.750%
|
5/15/25
|
50,000,000
|
49,288,631
|
|
U.S. Treasury Notes
|
4.625%
|
6/30/25
|
114,000,000
|
113,701,657
|
|
U.S. Treasury Notes
|
2.875%
|
7/31/25
|
96,500,000
|
94,776,217
|
|
U.S. Treasury Notes (3 mo. U.S. Treasury
Money Market Yield + 0.150%)
|
5.194%
|
4/30/26
|
372,500,000
|
372,520,968
(a)
|
|
|
|||||
Total U.S. Treasury Notes
|
1,272,246,478
|
||||
Repurchase Agreements - 59.7%
|
|||||
Bank of Montreal tri-party repurchase
agreement dated 8/30/24; Proceeds at
maturity - $200,118,444; (Fully
collateralized by U.S. government
obligations, 4.000% to 6.603% due 4/20/52
to 2/16/64; Market value - $210,000,001)
|
5.330%
|
9/3/24
|
200,000,000
|
200,000,000
|
|
BMO Capital Markets Corp. tri-party
repurchase agreement dated 8/1/24;
Proceeds at maturity - $201,218,611; (Fully
collateralized by U.S. government
obligations, 0.125% to 8.599% due 10/25/24
to 5/20/72; Market value - $209,879,886)
|
5.350%
|
9/11/24
|
200,000,000
|
200,000,000
|
|
BMO Capital Markets Corp. tri-party
repurchase agreement dated 8/6/24;
Proceeds at maturity - $200,830,667; (Fully
collateralized by U.S. government
obligations, 0.000% to 6.444% due 9/3/24 to
1/20/74; Market value - $208,434,619)
|
5.340%
|
9/3/24
|
200,000,000
|
200,000,000
|
|
BNP Paribas SA tri-party repurchase
agreement dated 8/30/24; Proceeds at
maturity - $100,059,222; (Fully
collateralized by U.S. government
obligations, 2.890% to 7.000% due 7/15/32
to 5/1/54; Market value - $104,805,041)
|
5.330%
|
9/3/24
|
100,000,000
|
100,000,000
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
Repurchase Agreements - continued
|
|||||
BofA Securities Inc. tri-party repurchase
agreement dated 6/5/24; Proceeds at
maturity - $152,050,833; (Fully
collateralized by U.S. government
obligations, 1.500% to 7.500% due 11/1/31
to 8/1/54; Market value - $153,000,001)
|
5.350%
|
9/5/24
|
$150,000,000
|
$150,000,000
|
|
BofA Securities Inc. tri-party repurchase
agreement dated 6/5/24; Proceeds at
maturity - $152,058,500; (Fully
collateralized by U.S. government
obligations, 1.000% to 7.500% due 9/1/25 to
8/20/54; Market value - $153,000,001)
|
5.370%
|
9/5/24
|
150,000,000
|
150,000,000
|
|
BofA Securities Inc. tri-party repurchase
agreement dated 8/30/24; Proceeds at
maturity - $200,118,222; (Fully
collateralized by U.S. government
obligations, 0.000% to 1.500% due 1/31/27
to 8/15/46; Market value - $204,000,001)
|
5.320%
|
9/3/24
|
200,000,000
|
200,000,000
|
|
BofA Securities Inc. tri-party repurchase
agreement dated 8/30/24; Proceeds at
maturity - $400,236,889; (Fully
collateralized by U.S. government
obligations, 1.000% to 8.000% due 1/1/25 to
6/20/64; Market value - $408,000,001)
|
5.330%
|
9/3/24
|
400,000,000
|
400,000,000
|
|
Canadian Imperial Bank of Commerce tri-
party repurchase agreement dated 8/30/24;
Proceeds at maturity - $5,002,950; (Fully
collateralized by U.S. government
obligations, 0.750% to 4.625% due 2/28/25
to 2/15/51; Market value - $5,103,104)
|
5.310%
|
9/3/24
|
5,000,000
|
5,000,000
|
|
Canadian Imperial Bank of Commerce tri-
party repurchase agreement dated 8/30/24;
Proceeds at maturity - $175,103,639; (Fully
collateralized by U.S. government
obligations, 1.500% to 7.000% due 5/15/27
to 9/1/61; Market value - $178,605,801)
|
5.330%
|
9/3/24
|
175,000,000
|
175,000,000
|
|
Credit Agricole SA tri-party repurchase
agreement dated 8/30/24; Proceeds at
maturity - $400,236,000; (Fully
collateralized by U.S. government
obligations, 4.000% to 6.500% due 5/1/52 to
8/1/54; Market value - $408,000,001)
|
5.310%
|
9/3/24
|
400,000,000
|
400,000,000
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
Repurchase Agreements - continued
|
|||||
Federal Reserve Bank of New York tri-party
repurchase agreement dated 8/30/24;
Proceeds at maturity - $7,054,151,667;
(Fully collateralized by U.S. government
obligations, 1.750% to 3.000% due 11/15/29
to 11/15/45; Market value -
$7,054,151,707)
|
5.300%
|
9/3/24
|
$7,050,000,000
|
$7,050,000,000
|
|
Fixed Income Clearing Corp. tri-party
repurchase agreement dated 8/30/24;
Proceeds at maturity - $370,217,889; (Fully
collateralized by U.S. government
obligations, 4.000% to 4.250% due 2/28/29
to 1/31/31; Market value - $377,400,099)
|
5.300%
|
9/3/24
|
370,000,000
|
370,000,000
|
|
Fixed Income Clearing Corp. tri-party
repurchase agreement dated 8/30/24;
Proceeds at maturity - $365,214,944; (Fully
collateralized by U.S. government
obligations, 0.000% to 3.750% due 11/21/24
to 1/1/29; Market value - $372,300,000)
|
5.300%
|
9/3/24
|
365,000,000
|
365,000,000
|
|
Fixed Income Clearing Corp. tri-party
repurchase agreement dated 8/30/24;
Proceeds at maturity - $1,480,509,629;
(Fully collateralized by U.S. government
obligations, 0.375% to 4.250% due 12/31/25
to 3/31/26; Market value - $1,509,227,793)
|
5.320%
|
9/3/24
|
1,479,635,000
|
1,479,635,000
|
|
ING Financial Markets LLC tri-party
repurchase agreement dated 8/1/24;
Proceeds at maturity - $503,647,778; (Fully
collateralized by U.S. government
obligations, 3.000% to 6.500% due 3/1/42 to
8/1/54; Market value - $510,000,000)
|
5.360%
|
9/19/24
|
500,000,000
|
500,000,000
|
|
ING Financial Markets LLC tri-party
repurchase agreement dated 8/22/24;
Proceeds at maturity - $100,628,278; (Fully
collateralized by U.S. government
obligations, 2.000% to 6.500% due 10/15/24
to 9/20/51; Market value - $102,000,001)
|
5.260%
|
10/4/24
|
100,000,000
|
100,000,000
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
Repurchase Agreements - continued
|
|||||
ING Financial Markets LLC tri-party
repurchase agreement dated 8/30/24;
Proceeds at maturity - $295,174,050; (Fully
collateralized by U.S. government
obligations, 0.125% to 2.375% due 4/15/25
to 2/15/53; Market value - $300,900,090)
|
5.310%
|
9/3/24
|
$295,000,000
|
$295,000,000
|
|
ING Financial Markets LLC tri-party
repurchase agreement dated 8/30/24;
Proceeds at maturity - $100,059,222; (Fully
collateralized by U.S. government
obligations, 2.000% due 7/1/51; Market
value - $102,000,000)
|
5.330%
|
9/3/24
|
100,000,000
|
100,000,000
|
|
ING Financial Markets LLC tri-party
repurchase agreement dated 8/30/24;
Proceeds at maturity - $30,017,767; (Fully
collateralized by U.S. government
obligations, 4.000% to 5.500% due 2/20/52
to 4/20/53; Market value - $30,600,001)
|
5.330%
|
9/3/24
|
30,000,000
|
30,000,000
|
|
ING Financial Markets LLC tri-party
repurchase agreement dated 8/30/24;
Proceeds at maturity - $550,325,722; (Fully
collateralized by U.S. government
obligations, 2.000% to 6.745% due 4/1/37 to
9/1/54; Market value - $561,000,004)
|
5.330%
|
9/3/24
|
550,000,000
|
550,000,000
|
|
JPMorgan Securities LLC tri-party repurchase
agreement dated 8/30/24; Proceeds at
maturity - $460,271,911; (Fully
collateralized by U.S. government
obligations, 0.000% to 2.375% due 2/15/25
to 11/15/28; Market value - $469,477,350)
|
5.320%
|
9/3/24
|
460,000,000
|
460,000,000
|
|
JPMorgan Securities LLC tri-party repurchase
agreement dated 8/30/24; Proceeds at
maturity - $700,414,556; (Fully
collateralized by U.S. government
obligations, 1.500% to 7.500% due 2/1/28 to
7/1/61; Market value - $714,422,848)
|
5.330%
|
9/3/24
|
700,000,000
|
700,000,000
|
|
MUFG Securities Americas Inc. tri-party
repurchase agreement dated 8/30/24;
Proceeds at maturity - $600,355,333; (Fully
collateralized by U.S. government
obligations, 1.500% to 7.500% due 11/1/24
to 9/1/54; Market value - $618,120,889)
|
5.330%
|
9/3/24
|
600,000,000
|
600,000,000
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
Repurchase Agreements - continued
|
|||||
Nomura Securities International Inc. tri-party
repurchase agreement dated 8/30/24;
Proceeds at maturity - $400,236,889; (Fully
collateralized by U.S. government
obligations, 2.000% to 7.000% due 11/1/29
to 7/20/63; Market value - $408,253,469)
|
5.330%
|
9/3/24
|
$400,000,000
|
$400,000,000
|
|
Societe Generale NY tri-party repurchase
agreement dated 8/30/24; Proceeds at
maturity - $700,414,556; (Fully
collateralized by U.S. government
obligations, 2.500% to 7.000% due 10/20/47
to 4/20/54; Market value - $714,000,000)
|
5.330%
|
9/3/24
|
700,000,000
|
700,000,000
|
|
TD Securities LLC tri-party repurchase
agreement dated 8/30/24; Proceeds at
maturity - $163,794,582; (Fully
collateralized by U.S. government
obligations, 0.250% to 4.250% due 7/31/25
to 6/30/29; Market value - $166,972,012)
|
5.310%
|
9/3/24
|
163,698,000
|
163,698,000
|
|
TD Securities LLC tri-party repurchase
agreement dated 8/30/24; Proceeds at
maturity - $100,059,222; (Fully
collateralized by U.S. government
obligations, 5.000% to 5.500% due 4/20/53
to 9/20/53; Market value - $102,000,000)
|
5.330%
|
9/3/24
|
100,000,000
|
100,000,000
|
|
Wells Fargo Securities LLC tri-party
repurchase agreement dated 8/30/24;
Proceeds at maturity - $850,503,389; (Fully
collateralized by U.S. government
obligations, 1.500% to 7.000% due 6/1/25 to
9/1/54; Market value - $867,000,001)
|
5.330%
|
9/3/24
|
850,000,000
|
850,000,000
|
|
|
|||||
Total Repurchase Agreements
|
16,993,333,000
|
||||
Total Investments - 95.1% (Cost - $27,045,022,330#)
|
27,045,022,330
|
||||
Other Assets in Excess of Liabilities - 4.9%
|
1,386,717,789
|
||||
Total Net Assets - 100.0%
|
$28,431,740,119
|
#
|
Aggregate cost for federal income tax purposes is substantially the same.
|
(a)
|
Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate
securities are not based on a published reference rate and spread but are determined by the issuer or agent and
are based on current market conditions. These securities do not indicate a reference rate and spread in their
description above.
|
(b)
|
Rate shown represents yield-to-maturity.
|
Abbreviation(s) used in this schedule:
|
||
SOFR
|
-
|
Secured Overnight Financing Rate
|
Assets:
|
|
Investments, at value
|
$10,051,689,330
|
Repurchase agreements, at value
|
16,993,333,000
|
Cash
|
1,336,848,962
|
Interest receivable
|
50,151,609
|
Total Assets
|
28,432,022,901
|
Liabilities:
|
|
Fund accounting fees payable
|
118,444
|
Trustees' fees payable
|
87,546
|
Custody fees payable
|
34,170
|
Audit and tax fees payable
|
29,576
|
Accrued expenses
|
13,046
|
Total Liabilities
|
282,782
|
Total Net Assets
|
$28,431,740,119
|
Represented by:
|
|
Paid-in capital
|
$28,431,740,119
|
Investment Income:
|
|
Interest
|
$1,123,650,239
|
Expenses:
|
|
Investment management fee (Note 2)
|
20,830,663
|
Trustees' fees
|
504,622
|
Fund accounting fees
|
270,292
|
Legal fees
|
199,355
|
Interest expense
|
69,430
|
Custody fees
|
67,389
|
Audit and tax fees
|
32,501
|
Miscellaneous expenses
|
109,268
|
Total Expenses
|
22,083,520
|
Less: Fee waivers and/or expense reimbursements (Note 2)
|
(20,830,663
)
|
Net Expenses
|
1,252,857
|
Net Investment Income
|
1,122,397,382
|
Net Realized Gain on Investments
|
1,009,670
|
Increase in Net Assets From Operations
|
$1,123,407,052
|
For the Years Ended August 31,
|
2024
|
2023
|
Operations:
|
||
Net investment income
|
$1,122,397,382
|
$1,013,484,631
|
Net realized gain
|
1,009,670
|
829,465
|
Increase in Net Assets From Operations
|
1,123,407,052
|
1,014,314,096
|
Capital Transactions:
|
||
Proceeds from contributions
|
189,641,084,362
|
279,878,198,410
|
Value of withdrawals
|
(182,717,180,632
)
|
(274,304,821,771
)
|
Increase in Net Assets From Capital Transactions
|
6,923,903,730
|
5,573,376,639
|
Increase in Net Assets
|
8,047,310,782
|
6,587,690,735
|
Net Assets:
|
||
Beginning of year
|
20,384,429,337
|
13,796,738,602
|
End of year
|
$28,431,740,119
|
$20,384,429,337
|
For the years ended August 31:
|
|||||
|
2024
|
2023
|
2022
|
2021
|
2020
|
Net assets, end of year (millions)
|
$28,432
|
$20,384
|
$13,797
|
$18,484
|
$19,125
|
Total return1
|
5.55
%
|
4.52
%
|
0.55
%
|
0.10
%
|
1.08
%
|
Ratios to average net assets:
|
|||||
Gross expenses
|
0.11
%
|
0.11
%
|
0.11
%
|
0.11
%
|
0.11
%
|
Net expenses2,3
|
0.01
|
0.01
|
0.01
|
0.01
|
0.01
|
Net investment income
|
5.39
|
4.51
|
0.49
|
0.10
|
0.95
|
1
|
Performance figures may reflect compensating balance arrangements, fee waivers and/or expense reimbursements.
In the absence of compensating balance arrangements, fee waivers and/or expense reimbursements, the total
return would have been lower. Past performance is no guarantee of future results.
|
2
|
The investment manager, pursuant to the terms of the feeder fund's investment management agreement, has
agreed to waive 0.10% of Portfolio expenses, attributable to the Portfolio's investment management fee.
Additional amounts may be voluntarily waived and/or reimbursed from time to time.
|
3
|
Reflects fee waivers and/or expense reimbursements.
|
ASSETS
|
||||
Description
|
Quoted Prices
(Level 1)
|
Other Significant
Observable Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
Short-Term Investments†
|
-
|
$27,045,022,330
|
-
|
$27,045,022,330
|
†
|
See Schedule of Investments for additional detailed categorizations.
|
ITEM 8. | CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES. |
The information is disclosed as part of the Financial Statements included in Item 7 of this Form N-CSR.
ITEM 9. | PROXY DISCLOSURES FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES. |
The information is disclosed as part of the Financial Statements included in Item 7 of this Form N-CSR.
ITEM 10. | REMUNERATION PAID TO DIRECTORS, OFFICERS, AND OTHERS OF OPEN-END MANAGEMENT INVESTMENT COMPANIES. |
The information is disclosed as part of the Financial Statements included in Item 7 of this Form N-CSR.
ITEM 11. | STATEMENT REGARDING BASIS FOR APPROVAL OF INVESTMENT ADVISORY CONTRACT. |
The information is disclosed as part of the Financial Statements included in Item 7 of this Form N-CSR, as applicable.
ITEM 12. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
ITEM 13. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
ITEM 14. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. |
Not applicable.
ITEM 15. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
Not applicable.
ITEM 16. | CONTROLS AND PROCEDURES. |
(a) | The registrant's principal executive officer and principal financial officer have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a- 3(c) under the Investment Company Act of 1940, as amended (the "1940 Act")) are effective as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934. |
(b) | There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are likely to materially affect the registrant's internal control over financial reporting. |
ITEM 17. | DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
ITEM 18. | RECOVERY OF ERRONEOUSLY AWARDED COMPENSATION. |
(a) | Not applicable. |
(b) | Not applicable. |
ITEM 19. | EXHIBITS. |
(a) (1) Code of Ethics attached hereto.
Exhibit 99.CODE ETH
(a) (2) Certifications pursuant to section 302 of the Sarbanes-Oxley Act of 2002 attached hereto.
Exhibit 99.CERT
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 attached hereto.
Exhibit 99.906CERT
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this Report to be signed on its behalf by the undersigned, there unto duly authorized.
Master Portfolio Trust | ||
By: | /s/ Jane Trust | |
Jane Trust | ||
Chief Executive Officer | ||
Date: | October 24, 2024 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Jane Trust | |
Jane Trust | ||
Chief Executive Officer | ||
Date: | October 24, 2024 |
By: | /s/ Christopher Berarducci | |
Christopher Berarducci | ||
Principal Financial Officer | ||
Date: | October 24, 2024 |