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 811-07807
Fidelity Revere Street Trust
(Exact name of registrant as specified in charter)
82 Devonshire St., Boston, Massachusetts 02109
(Address of principal executive offices) (Zip code)
Scott C. Goebel, Secretary
82 Devonshire St.
Boston, Massachusetts 02109
(Name and address of agent for service)
Registrant's telephone number, including area code: 617-563-7000
Date of fiscal year end: | May 31 |
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Date of reporting period: | November 30, 2012 |
Item 1. Reports to Stockholders
Fidelity® Securities Lending
Cash Central Fund
Semiannual Report
November 30, 2012
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
CCC-SANN-0113 1.743119.112
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2012 to November 30, 2012).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the 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 the 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 and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
| Annualized | Beginning | Ending | Expenses Paid |
Actual | .0008% | $ 1,000.00 | $ 1,000.90 | $ .00** |
Hypothetical (5% return per year before expenses) |
| $ 1,000.00 | $ 1,025.06 | $ .00** |
* Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).
** Amount represents less than $.01.
Semiannual Report
Investment Changes (Unaudited)
Effective Maturity Diversification | |||
Days | % of fund's investments 11/30/12 | % of fund's investments 5/31/12 | % of fund's |
1 - 7 | 52.8 | 62.1 | 63.7 |
8 - 30 | 8.4 | 7.4 | 7.5 |
31 - 60 | 14.3 | 3.9 | 5.8 |
61 - 90 | 9.6 | 6.6 | 6.1 |
91 - 180 | 10.5 | 15.3 | 10.4 |
> 180 | 4.4 | 4.7 | 6.5 |
Effective maturity is determined in accordance with the requirements of Rule 2a-7 under the Investment Company Act of 1940. |
Weighted Average Maturity | |||
| 11/30/12 | 5/31/12 | 11/30/11 |
Fidelity Securities Lending Cash Central Fund | 44 Days | 42 Days | 38 Days |
All Taxable Money Market Funds Average* | 50 Days | 46 Days | 43 Days |
This is a weighted average of all the maturities of the securities held in a fund. Weighted Average Maturity (WAM) can be used as a measure of sensitivity to interest rate changes and market changes. Generally, the longer the maturity, the greater the sensitivity to such changes. WAM is based on the dollar-weighted average length of time until principal payments must be paid. Depending on the types of securities held in a fund, certain maturity shortening devices (e.g., demand features, interest rate resets, and call options) may be taken into account when calculating the WAM. |
Weighted Average Life | |||
| 11/30/12 | 5/31/12 | 11/30/11 |
Fidelity Securities Lending Cash Central Fund | 56 Days | 47 Days | 50 Days |
Weighted Average Life (WAL) is the weighted average of the life of the securities held in a fund or portfolio and can be used as a measure of sensitivity to changes in liquidity and/or credit risk. Generally, the higher the value, the greater the sensitivity. WAL is based on the dollar-weighted average length of time until principal payments must be paid, taking into account any call options exercised by the issuer and any permissible maturity shortening features other than interest rate resets. The difference between WAM and WAL is that WAM takes into account interest rate resets and WAL does not. WAL for money market funds is not the same as WAL of a mortgage- or asset-backed security. |
Asset Allocation (% of fund's net assets) | |||||||
As of November 30, 2012 | As of May 31, 2012 | ||||||
Certificates of |
| Certificates of |
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Commercial Paper 1.7% |
| Commercial Paper 0.0% |
| ||||
Treasury Debt 12.2% |
| Treasury Debt 17.9% |
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Government |
| Government |
| ||||
Other Instruments 7.0% |
| Other Instruments 15.5% |
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Repurchase |
| Repurchase |
| ||||
Net Other Assets (Liabilities)** (1.3)% |
| Net Other Assets (Liabilities)** (0.6)% |
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* Source: iMoneyNet, Inc.
** Net Other Assets (Liabilities) are not included in the pie chart.
Semiannual Report
Investments November 30, 2012 (Unaudited)
Showing Percentage of Net Assets
Certificate of Deposit - 4.3% | ||||
|
| Yield (a) | Principal | Value |
New York Branch, Yankee Dollar, Foreign Banks - 4.3% | ||||
Bank of Tokyo-Mitsubishi UFJ Ltd. | ||||
| 12/4/12 | 0.20% | $ 549,000,000 | $ 549,000,000 |
Financial Company Commercial Paper - 1.7% | ||||
| ||||
Lloyds TSB Bank PLC | ||||
| 12/7/12 | 0.20 | 225,000,000 |
|
Treasury Debt - 12.2% | ||||
| ||||
U.S. Treasury Obligations - 12.2% | ||||
U.S. Treasury Bills | ||||
| 12/14/12 to 11/14/13 | 0.15 to 0.20 (b) | 1,031,620,000 | 1,031,167,741 |
U.S. Treasury Notes | ||||
| 12/31/12 to 11/30/13 | 0.16 to 0.24 | 530,000,000 | 534,986,159 |
TOTAL TREASURY DEBT |
| |||
Government Agency Debt - 35.4% | ||||
| ||||
Federal Agencies - 35.4% | ||||
Fannie Mae | ||||
| 12/11/12 to 5/7/13 | 0.14 to 0.21 | 819,200,000 | 820,363,828 |
| 2/27/13 to 3/13/13 | 0.15 to 0.16 | 234,370,000 | 234,271,507 |
Federal Home Loan Bank | ||||
| 12/5/12 to 6/5/14 | 0.14 to 0.22 (c) | 2,402,825,000 | 2,403,015,478 |
| 12/12/12 to 2/27/13 | 0.14 to 0.16 | 113,000,000 | 112,971,343 |
Freddie Mac | ||||
| 12/3/12 to 10/30/13 | 0.14 to 0.20 | 888,944,000 | 891,139,258 |
| 12/5/14 | 0.00 (c) | 68,000,000 | 68,000,000 |
TOTAL GOVERNMENT AGENCY DEBT |
| |||
Other Instrument - 7.0% | ||||
|
| Yield (a) | Principal | Value |
Time Deposits - 7.0% | ||||
Citibank NA | ||||
| 12/3/12 | 0.18% | $ 300,000,000 | $ 300,000,000 |
Commerzbank AG | ||||
| 12/3/12 | 0.21 | 600,000,000 | 600,000,000 |
TOTAL OTHER INSTRUMENT |
|
Government Agency Repurchase Agreement - 17.2% | ||
Maturity |
| |
In a joint trading account at: | ||
0.21% dated 11/30/12 due 12/3/12 (Collateralized by U.S. Government Obligations) # | 848,782,035 | 848,767,000 |
0.22% dated 11/30/12 due 12/3/12 (Collateralized by U.S. Government Obligations) # | 13,759,250 | 13,759,000 |
With: | ||
Barclays Capital, Inc. at 0.19%, dated: | ||
11/27/12 due 12/4/12 (Collateralized by U.S. Government Obligations valued at $112,203,554, 2.5% - 5.5%, 9/1/25 - 12/1/42) | 110,004,064 | 110,000,000 |
11/28/12 due: | ||
12/5/12 (Collateralized by U.S. Government Obligations valued at $222,365,868, 2.5% - 7%, 1/1/18 - 12/1/42) | 218,008,054 | 218,000,000 |
12/6/12 (Collateralized by U.S. Government Obligations valued at $111,182,934, 2.5% - 7.5%, 1/1/25 - 11/1/42) | 109,004,602 | 109,000,000 |
Credit Suisse Securities (USA) LLC at: | ||
0.19%, dated: | ||
11/27/12 due 12/4/12 (Collateralized by U.S. Government Obligations valued at $112,204,636, 3.5%, 10/20/42) | 110,004,064 | 110,000,000 |
11/28/12 due 12/5/12 (Collateralized by U.S. Government Obligations valued at $111,185,387, 3.5%, 10/20/42) | 109,004,027 | 109,000,000 |
0.25%, dated 11/21/12 due 2/20/13 (Collateralized by U.S. Government Obligations valued at $80,585,558, 0% - 3.5%, 11/15/21 - 10/20/42) | 79,049,924 | 79,000,000 |
Deutsche Bank Securities, Inc. at 0.22%, dated 11/30/12 due 12/7/12 (Collateralized by U.S. Government Obligations valued at $58,141,066, 4%, 5/20/42) | 57,002,438 | 57,000,000 |
Government Agency Repurchase Agreement - continued | |||
Maturity | Value | ||
With: - continued | |||
Merrill Lynch, Pierce, Fenner & Smith at 0.21%, dated 11/30/12 due 12/7/12 (Collateralized by U.S. Government Obligations valued at $234,604,106, 2.38% - 4%, 9/1/35 - 8/1/42) | $ 230,009,392 | $ 230,000,000 | |
Morgan Stanley & Co., Inc. at 0.19%, dated 11/28/12 due 12/5/12 (Collateralized by U.S. Government Obligations valued at $333,548,802, 3% - 4%, 9/1/31 - 10/1/42) | 327,012,081 | 327,000,000 | |
TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENT |
| ||
Treasury Repurchase Agreement - 23.4% | |||
|
|
|
|
With: | |||
BMO Capital Markets Corp. at 0.21%, dated 11/30/12 due 12/3/12 (Collateralized by U.S. Treasury Obligations valued at $292,692,647, 0.25% - 8.88%, 2/28/13 - 2/15/42) | 287,005,023 | 287,000,000 | |
BNP Paribas Securities Corp. at 0.22%, dated: | |||
11/1/12 due 12/3/12 (Collateralized by U.S. Treasury Obligations valued at $176,062,276, 4.5% - 8.13%, 8/15/19 - 2/15/40) | 172,033,636 | 172,000,000 | |
11/2/12 due 12/3/12 (Collateralized by U.S. Treasury Obligations valued at $188,718,574, 2.75% - 8.13%, 8/15/19 - 11/15/42) | 184,034,858 | 184,000,000 | |
Credit Suisse Securities (USA) LLC at: | |||
0.17%, dated 11/28/12 due 12/5/12 (Collateralized by U.S. Treasury Obligations valued at $111,181,499, 0.25%, 8/31/14) | 109,003,603 | 109,000,000 | |
0.2%, dated 11/30/12 due 12/7/12: (Collateralized by U.S. Treasury Obligations valued | |||
at $117,304,611, 0.25%, 8/31/14) | 115,004,472 | 115,000,000 | |
(Collateralized by U.S. Treasury Obligations valued at $234,603,473, 1.75% - 2%, 3/31/14 - 11/15/21) | 230,008,944 | 230,000,000 | |
Deutsche Bank Securities, Inc. at 0.17%, dated 11/27/12 due 12/4/12 (Collateralized by U.S. Treasury Obligations valued at $224,409,026, 1.88% - 6.75%, 6/30/15 - 8/15/26) | 220,007,272 | 220,000,000 | |
Federal Reserve Bank of New York at 0.18%, dated 11/30/12 due 12/3/12 (Collateralized by U.S. Treasury Obligations valued at $10,004,743, 1%, 8/31/16) | 10,000,150 | 10,000,000 | |
Treasury Repurchase Agreement - continued | |||
Maturity | Value | ||
With: - continued | |||
Goldman Sachs & Co. at: | |||
0.18%, dated 11/27/12 due 12/4/12 (Collateralized by U.S. Treasury Obligations valued at $168,431,231, 2.63% - 5%, 4/30/18 - 5/15/37) | $ 165,005,775 | $ 165,000,000 | |
0.19%, dated 11/30/12 due 12/7/12 (Collateralized by U.S. Treasury Obligations valued at $117,301,871, 3.25%, 6/30/16) | 115,004,249 | 115,000,000 | |
HSBC Securities, Inc. at 0.19%, dated 11/30/12 due 12/7/12 (Collateralized by U.S. Treasury Obligations valued at $1,180,016,954, 0.13% - 4.5%, 2/28/13 - 8/15/39) | 1,155,042,671 | 1,155,000,000 | |
Merrill Lynch, Pierce, Fenner & Smith at 0.2%, dated 11/9/12 due 12/7/12 (Collateralized by U.S. Treasury Obligations valued at $237,691,725, 4.13%, 5/15/15) | 233,041,422 | 233,000,000 | |
TOTAL TREASURY REPURCHASE AGREEMENT |
| ||
Other Repurchase Agreement - 0.1% | |||
|
|
|
|
Other Repurchase Agreement - 0.1% | |||
With ING Financial Markets LLC at 0.32%, dated 11/15/12 due 12/7/12 (Collateralized by Corporate Obligations valued at $11,549,674, 3% - 6.75%, 1/30/13 - 12/1/40) | 11,002,836 |
| |
TOTAL INVESTMENT PORTFOLIO - 101.3% (Cost $12,987,433,814) | 12,987,433,814 | ||
NET OTHER ASSETS (LIABILITIES) - (1.3)% | (169,095,697) | ||
NET ASSETS - 100% | $ 12,818,338,117 |
Legend |
(a) Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end. |
(b) Security or a portion of the security was pledged to cover open reverse repurchase agreements. At the period end, the value of securities pledged amounted to $49,999,450. The principal amount of the outstanding reverse repurchase agreement is $50,000,000. |
(c) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
# Additional information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$848,767,000 due 12/03/12 at 0.21% | |
Citigroup Global Markets, Inc. | $ 170,332,872 |
Credit Suisse Securities (USA) LLC | 128,837,286 |
HSBC Securities (USA), Inc. | 227,110,497 |
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 249,821,547 |
Mizuho Securities (USA), Inc. | 15,887,174 |
UBS Securities LLC | 56,777,624 |
| $ 848,767,000 |
$13,759,000 due 12/03/12 at 0.22% | |
Citibank NA | $ 2,195,585 |
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 8,635,968 |
UBS Securities LLC | 2,927,447 |
| $ 13,759,000 |
Other Information |
The date shown for securities represents the date when principal payments must be paid, taking into account any call options exercised by the issuer and any permissible maturity shortening features other than interest rate resets. |
All investments are categorized as Level 2 under the Fair Value Hierarchy. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, please refer to the Security Valuation section in the accompanying Notes to Financial Statements. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
| November 30, 2012 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value (including repurchase agreements of $5,217,526,000) - See accompanying schedule: Unaffiliated issuers (cost $12,987,433,814) |
| $ 12,987,433,814 |
Cash |
| 107,327 |
Interest receivable | 6,703,872 | |
Other receivables | 76,394 | |
Total assets | 12,994,321,407 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 123,982,888 | |
Distributions payable | 1,892,166 | |
Payable for reverse repurchase agreement | 50,000,000 | |
Other payables and accrued expenses | 108,236 | |
Total liabilities | 175,983,290 | |
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|
|
Net Assets | $ 12,818,338,117 | |
Net Assets consist of: |
| |
Paid in capital | $ 12,819,458,496 | |
Undistributed net investment income | 3,237 | |
Accumulated undistributed net realized gain (loss) on investments | (1,123,616) | |
Net Assets, for 12,815,954,652 shares outstanding | $ 12,818,338,117 | |
Net Asset Value, offering price and redemption price per share ($12,818,338,117 ÷ 12,815,954,652 shares) | $ 1.00 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Operations
Six months ended November 30, 2012 (Unaudited) | ||
|
|
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Investment Income |
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Interest |
| $ 12,851,482 |
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|
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Expenses | ||
Custodian fees and expenses | $ 47,126 | |
Independent trustees' compensation | 28,123 | |
Interest | 6,713 | |
Total expenses before reductions | 81,962 | |
Expense reductions | (28,851) | 53,111 |
Net investment income (loss) | 12,798,371 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers |
| 32,824 |
Net increase in net assets resulting from operations | $ 12,831,195 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Changes in Net Assets
| Six months ended November 30, 2012 | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 12,798,371 | $ 20,646,075 |
Net realized gain (loss) | 32,824 | 11,933 |
Net increase in net assets resulting from operations | 12,831,195 | 20,658,008 |
Distributions to shareholders from net investment income | (12,795,134) | (20,646,055) |
Affiliated share transactions at net asset value of $1.00 per share | 35,575,761,326 | 95,649,466,456 |
Cost of shares redeemed | (38,002,134,400) | (98,373,870,147) |
Net increase (decrease) in net assets and shares resulting from share transactions | (2,426,373,074) | (2,724,403,691) |
Total increase (decrease) in net assets | (2,426,337,013) | (2,724,391,738) |
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|
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Net Assets | ||
Beginning of period | 15,244,675,130 | 17,969,066,868 |
End of period (including undistributed net investment income of $3,237 and $0, respectively) | $ 12,818,338,117 | $ 15,244,675,130 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights
| Six months ended November 30, 2012 | Years ended May 31, | ||||
| (Unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
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|
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Net asset value, beginning of period | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 |
Income from Investment Operations |
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|
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|
|
Net investment income (loss) | .001 | .001 | .002 | .002 | .014 | .043 |
Net realized and unrealized gain (loss) F | - | - | - | - | - | - |
Total from investment operations | .001 | .001 | .002 | .002 | .014 | .043 |
Distributions from net investment income | (.001) | (.001) | (.002) | (.002) | (.014) | (.043) |
Distributions from net realized gain | - | - | - | - F | - | - |
Total distributions | (.001) | (.001) | (.002) | (.002) | (.014) | (.043) |
Net asset value, end of period | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 |
Total Return B,C | .09% | .13% | .22% | .21% | 1.43% | 4.37% |
Ratios to Average Net Assets E |
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|
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|
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Expenses before reductions D | -% A | -% | -% | -% | -% | -% |
Expenses net of fee waivers, if any D | -% A | -% | -% | -% | -% | -% |
Expenses net of all reductions D | -% A | -% | -% | -% | -% | -% |
Net investment income (loss) | .18% A | .13% | .22% | .21% | 1.61% | 4.18% |
Supplemental Data |
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|
|
|
|
|
Net assets, end of period (000 omitted) | $ 12,818,338 | $ 15,244,675 | $ 17,969,067 | $ 20,536,438 | $ 13,922,358 | $ 23,217,668 |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Amount represents less than .01%.
E Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed or waived or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements, waivers or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement and waivers but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.
F Amount represents less than $.001 per share.
Semiannual Report
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended November 30, 2012 (Unaudited)
1. Organization.
Fidelity® Securities Lending Cash Central Fund (the Fund) is a fund of Fidelity Revere Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. Shares of the Fund are only offered to other investment companies and accounts (the Investing Funds) managed by Fidelity Management & Research Company (FMR), or its affiliates.
2. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Security Valuation. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
As permitted by compliance with certain conditions under Rule 2a-7 of the 1940 Act, securities are valued at amortized cost, which approximates fair value. 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. Securities held by a money market fund are generally high quality and liquid; however, they are reflected as Level 2 because the inputs used to determine fair value are not quoted prices in an active market.
Investment Transactions and Income. Security transactions are accounted for as of trade date. Gains and losses on securities sold are determined on the basis of identified cost. Interest income is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
2. Significant Accounting Policies - continued
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. A fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation | $ - |
Gross unrealized depreciation | - |
Net unrealized appreciation (depreciation) on securities and other investments | $ - |
|
|
Tax cost | $ 12,987,433,814 |
Semiannual Report
2. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire. At May 31, 2012, capital loss carryforwards were as follows:
Fiscal year of expiration |
|
2018 | $ (1,152,556) |
No expiration |
|
Short-term | (16) |
Total capital loss carryforward | $ (1,152,572) |
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements may be collateralized by government or non-government securities. Upon settlement date, collateral is held in accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Reverse Repurchase Agreements. To enhance its yield, the Fund may enter into reverse repurchase agreements whereby the Fund transfers securities to a counterparty who then agrees to transfer them back to the Fund at a future date and agreed upon price, reflecting a rate of interest below market rate. Securities sold under a reverse repurchase agreement are recorded as a liability in the accompanying Statement of Assets and Liabilities. The Fund receives cash proceeds, which are invested in other securities, and agrees to repay the proceeds plus any accrued interest in return for the same securities transferred. The Fund continues to receive interest payments on the transferred securities during the term of the reverse repurchase agreement. During the period that a reverse repurchase agreement is outstanding, the Fund identifies cash and liquid securities as segregated in its custodian records with a value at least equal to its obligation under the agreement. If the counterparty defaults on its obligation, because of insolvency or other reasons, the Fund could experience delays and costs in recovering the security or in gaining access to the collateral. The average balance during
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
2. Significant Accounting Policies - continued
Reverse Repurchase Agreements - continued
the period for which reverse repurchase agreements were outstanding subject to interest amounted to $65,538,313. The weighted average interest rate was .03% on such amounts. Information regarding reverse repurchase agreements open at period end is included at the end of the Fund's Schedule of Investments.
3. Fees and Other Transactions with Affiliates.
Management Fee and Expense Contract. Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR, provides the Fund with investment management services. The Fund does not pay any fees for these services. Pursuant to the Fund's management contract with FIMM, FMR pays FIMM a portion of the management fees it receives from the Investing Funds. In addition, under an expense contract, FMR also pays all other expenses of the Fund, excluding custody fees, the compensation of the independent Trustees, and certain exceptions such as interest expense.
4. Expense Reductions.
FMR has voluntarily agreed to reimburse a portion of the Fund's operating expenses. For the period, the reimbursement reduced the expenses by $28,123.
In addition, through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $728.
5. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
At the end of the period, mutual funds managed by FMR or an FMR affiliate were the owners of record of all of the outstanding shares of the Fund.
Semiannual Report
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Securities Lending Cash Central Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract and sub-advisory agreements (together, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established three standing committees, Operations, Audit, and Governance and Nominating, each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and, among other matters, considers matters specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to consider matters specifically related to the Board's annual consideration of the renewal of Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through ad hoc joint committees to discuss certain matters relevant to the Fidelity funds.
At its September 2012 meeting, the Board of Trustees, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant and reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders and the fact that no fee is payable under the management contract is fair and reasonable.
Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the investment adviser, Fidelity Investments Money Management, Inc., and the sub-advisers (together, the Investment Advisers), including the backgrounds of the fund's investment personnel, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the portfolio manager compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund.
Semiannual Report
Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staff, including its size, education, experience, and resources, as well as the Investment Advisers' approach to recruiting, managing, and compensating investment personnel. The Board also noted that Fidelity Management & Research Company (FMR) has continued to increase the resources devoted to non U.S. offices, including expansion of Fidelity's global investment organization. The Board noted that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. The Board also believes that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered the Investment Advisers' trading and risk management capabilities and resources, which are an integral part of the investment management process.
Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory and administrative services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.
Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. The Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance, but did not consider performance to be a material factor in its decision to renew the fund's Advisory Contracts, as the fund is not publicly offered as a stand-alone investment product. In this regard, the Board noted that the fund is designed to offer a liquid investment option for other investment companies and accounts managed by FMR or its affiliates and ultimately to enhance the performance of those investment companies and accounts.
Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should benefit the fund's shareholders.
Competitiveness of Management Fee and Total Expense Ratio. The Board considered that while the fund does not pay a management fee, FMR pays a management fee on behalf of the fund and receives fees for providing services to funds that invest in the fund. The Board also noted that FMR bears all expenses of the fund, except expenses related to the fund's investment activities (primarily custody expenses). Based on its review, the Board concluded that the management fee paid on behalf of the fund and the fund's total expense ratio were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Semiannual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
Costs of the Services and Profitability. The Board considered the level of Fidelity's profits in respect of all the Fidelity funds, as well as the profitability of each fund that invests in this fund.
PricewaterhouseCoopers LLP (PwC), independent registered public accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of Fidelity's methodologies used in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures surrounding the mathematical accuracy of fund profitability and its conformity to allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
The Board also reviewed Fidelity's non-fund businesses and fall-out benefits related to the mutual fund business as well as cases where Fidelity's affiliates may benefit from or be related to the fund's business.
The Board concluded that the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund were not relevant to the renewal of the Advisory Contracts because the fund pays no advisory fees and FMR bears all expenses of the fund, except expenses related to the fund's investment activities.
Economies of Scale. The Board concluded that because the fund pays no advisory fees and FMR bears all expenses of the fund, except expenses related to the fund's investment activities, economies of scale cannot be realized by the fund.
Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Fidelity funds' Advisory Contracts, the Board requested and received additional information on certain topics, including: (i) Fidelity's fund profitability methodology, profitability trends for certain funds, and the impact of certain factors on fund profitability results; (ii) portfolio manager changes that have occurred during the past year and the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (iii) Fidelity's compensation structure for portfolio managers, research analysts, and other key personnel, including its effects on fund profitability, the rationale for the compensation structure, and the extent to which current market conditions have affected retention and recruitment; (iv) the compensation paid to fund sub-advisers on behalf of the Fidelity funds; (v) Fidelity's fee structures, including the group fee structure, and the rationale for recommending different fees among different categories of funds and classes; (vi) Fidelity's voluntary waiver of its fees to maintain minimum yields for certain money market funds and classes as well as contractual waivers in place for certain funds; (vii) regulatory and industry developments, including those affecting money market funds and target date funds, and the potential impact to Fidelity; (viii) Fidelity's transfer agent fees, expenses, and services, and drivers for determining the transfer agent fee structure of different funds and classes; (ix) management fee rates charged by FMR or Fidelity entities to other Fidelity clients; (x) the allocation of and historical trends in Fidelity's realization of fall-out benefits; and (xi) explanations regarding the relative total expense ratios of certain funds and classes, total expense competitive trends, and actions that might be taken by FMR to reduce total expense ratios for certain funds and classes or to achieve further economies of scale.
Semiannual Report
Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board ultimately concluded that the advisory fee structures are fair and reasonable, and that the fund's Advisory Contracts should be renewed.
Semiannual Report
Fidelity® Cash Central Fund
Semiannual Report
November 30, 2012
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
TCC-SANN-0113 1.734014.112
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2012 to November 30, 2012).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the 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 the 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 and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
| Annualized | Beginning | Ending | Expenses Paid |
Actual | .0006% | $ 1,000.00 | $ 1,000.90 | $ .00** |
Hypothetical (5% return per year before expenses) |
| $ 1,000.00 | $ 1,025.07 | $ .00** |
* Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).
** Amount represents less than $.01.
Semiannual Report
Investment Changes (Unaudited)
Effective Maturity Diversification | |||
Days | % of fund's investments 11/30/12 | % of fund's investments 5/31/12 | % of fund's |
1 - 7 | 54.7 | 67.1 | 60.2 |
8 - 30 | 7.6 | 6.0 | 9.4 |
31 - 60 | 13.0 | 3.1 | 7.2 |
61 - 90 | 8.5 | 5.5 | 4.6 |
91 - 180 | 11.5 | 14.5 | 11.7 |
> 180 | 4.7 | 3.8 | 6.9 |
Effective maturity is determined in accordance with the requirements of Rule 2a-7 under the Investment Company Act of 1940. |
Weighted Average Maturity | |||
| 11/30/12 | 5/31/12 | 11/30/11 |
Fidelity Cash Central Fund | 44 Days | 37 Days | 38 Days |
All Taxable Money Market Funds Average* | 50 Days | 46 Days | 43 Days |
This is a weighted average of all the maturities of the securities held in a fund. Weighted Average Maturity (WAM) can be used as a measure of sensitivity to interest rate changes and market changes. Generally, the longer the maturity, the greater the sensitivity to such changes. WAM is based on the dollar-weighted average length of time until principal payments must be paid. Depending on the types of securities held in a fund, certain maturity shortening devices (e.g., demand features, interest rate resets, and call options) may be taken into account when calculating the WAM. |
Weighted Average Life | |||
| 11/30/12 | 5/31/12 | 11/30/11 |
Fidelity Cash Central Fund | 57 Days | 41 Days | 51 Days |
Weighted Average Life (WAL) is the weighted average of the life of the securities held in a fund or portfolio and can be used as a measure of sensitivity to changes in liquidity and/or credit risk. Generally, the higher the value, the greater the sensitivity. WAL is based on the dollar-weighted average length of time until principal payments must be paid, taking into account any call options exercised by the issuer and any permissible maturity shortening features other than interest rate resets. The difference between WAM and WAL is that WAM takes into account interest rate resets and WAL does not. WAL for money market funds is not the same as WAL of a mortgage- or asset-backed security. |
Asset Allocation (% of fund's net assets) | |||||||
As of November 30, 2012 | As of May 31, 2012 | ||||||
Certificates |
| Certificates |
| ||||
Commercial Paper 1.8% |
| Commercial Paper 0.0% |
| ||||
Interfund Loans† 0.0% |
| Interfund Loans 0.0% |
| ||||
Treasury Debt 11.6% |
| Treasury Debt 14.1% |
| ||||
Government |
| Government |
| ||||
Other Instruments 9.9% |
| Other Instruments 15.6% |
| ||||
Repurchase |
| Repurchase |
| ||||
Net Other Assets (Liabilities)** (1.3)% |
| Net Other Assets (Liabilities)** (0.5)% |
|
* Source: iMoneyNet, Inc.
** Net Other Assets (Liabilities) are not included in the pie chart.
† Amount represents less than 0.1%
Semiannual Report
Investments November 30, 2012 (Unaudited)
Showing Percentage of Net Assets
Certificate of Deposit - 4.6% | ||||
|
| Yield (a) | Principal | Value |
New York Branch, Yankee Dollar, Foreign Banks - 4.6% | ||||
Bank of Tokyo-Mitsubishi UFJ Ltd. | ||||
| 12/4/12 | 0.20% | $ 1,951,000,000 | $ 1,951,000,000 |
Financial Company Commercial Paper - 1.8% | ||||
| ||||
Lloyds TSB Bank PLC | ||||
| 12/7/12 | 0.20 | 775,000,000 |
|
Treasury Debt - 11.6% | ||||
| ||||
U.S. Treasury Obligations - 11.6% | ||||
U.S. Treasury Bills | ||||
| 12/14/12 to 11/14/13 | 0.15 to 0.20 (c) | 3,189,430,000 | 3,188,052,631 |
U.S. Treasury Notes | ||||
| 12/31/12 to 11/30/13 | 0.15 to 0.23 | 1,671,000,000 | 1,690,089,584 |
TOTAL TREASURY DEBT |
| |||
Government Agency Debt - 34.0% | ||||
| ||||
Federal Agencies - 34.0% | ||||
Fannie Mae | ||||
| 12/11/12 to 5/7/13 | 0.14 to 0.21 | 3,286,901,000 | 3,290,591,214 |
Federal Farm Credit Bank | ||||
| 2/15/13 | 0.20 | 9,600,000 | 9,598,831 |
Federal Home Loan Bank | ||||
| 12/12/12 to 2/27/13 | 0.14 to 0.16 | 356,276,000 | 356,185,898 |
| 12/5/12 to 6/5/14 | 0.14 to 0.22 (d) | 7,737,985,000 | 7,738,477,035 |
Government Agency Debt - continued | ||||
|
| Yield (a) | Principal | Value |
Federal Agencies - continued | ||||
Freddie Mac | ||||
| 12/5/14 | 0.00% (d) | $ 50,000,000 | $ 50,000,000 |
| 12/5/14 | 0.00 (d) | 50,000,000 | 50,000,000 |
| 12/5/14 | 0.00 (d) | 50,000,000 | 50,000,000 |
| 12/5/14 | 0.00 (d) | 44,000,000 | 44,000,000 |
| 12/5/14 | 0.00 (d) | 38,000,000 | 38,000,000 |
| 12/3/12 to 10/30/13 | 0.14 to 0.20 | 2,671,808,000 | 2,678,574,563 |
TOTAL GOVERNMENT AGENCY DEBT |
| |||
Other Instrument - 9.9% | ||||
| ||||
Time Deposits - 9.9% | ||||
Citibank NA | ||||
| 12/3/12 | 0.18 | 1,700,000,000 | 1,700,000,000 |
Commerzbank AG | ||||
| 12/3/12 | 0.21 | 800,000,000 | 800,000,000 |
Natixis SA | ||||
| 12/3/12 | 0.21 | 1,680,000,000 | 1,680,000,000 |
TOTAL OTHER INSTRUMENT |
|
Interfund Loans - 0.0% | ||
|
|
|
With Fidelity Blue Chip Growth Fund at 0.45% due 12/3/12 (b) | 18,455,000 |
|
Government Agency Repurchase Agreement - 20.4% | |||
Maturity | Value | ||
In a joint trading account at: | |||
0.21% dated 11/30/12 due 12/3/12 (Collateralized by U.S. Government Obligations) # | $ 3,760,144,604 | $ 3,760,078,000 | |
0.22% dated 11/30/12 due 12/3/12 (Collateralized by U.S. Government Obligations) # | 68,322,243 | 68,321,000 | |
With: | |||
Barclays Capital, Inc. at 0.19%, dated: | |||
11/27/12 due 12/4/12 (Collateralized by U.S. Government Obligations valued at $397,808,088, 3% - 6%, 8/20/27 - 11/20/42) | 390,014,408 | 390,000,000 | |
11/28/12 due: | |||
12/5/12 (Collateralized by U.S. Government Obligations valued at $797,661,049, 3.5% - 4%, 10/1/41 - 7/1/42) | 782,028,891 | 782,000,000 | |
12/6/12 (Collateralized by U.S. Government Obligations valued at $398,830,525, 3% - 3.5%, 7/1/42 - 11/1/42) | 391,016,509 | 391,000,000 | |
Credit Suisse Securities (USA) LLC at: | |||
0.19%, dated: | |||
11/27/12 due 12/4/12 (Collateralized by U.S. Government Obligations valued at $397,812,598, 2.5% - 7%, 6/1/23 - 11/1/42) | 390,014,408 | 390,000,000 | |
11/28/12 due 12/5/12 (Collateralized by U.S. Government Obligations valued at $398,824,376, 4% - 6.5%, 4/15/25 - 11/20/42) | 391,014,445 | 391,000,000 | |
0.25%, dated 11/21/12 due 2/20/13 (Collateralized by U.S. Government Obligations valued at $266,238,332, 3% - 4%, 10/20/42 - 11/20/42) | 261,164,938 | 261,000,000 | |
Deutsche Bank Securities, Inc. at 0.22%, dated 11/30/12 due 12/7/12 (Collateralized by U.S. Government Obligations valued at $196,863,609, 3% - 4%, 10/20/41 - 11/20/42) | 193,008,256 | 193,000,000 | |
Merrill Lynch, Pierce, Fenner & Smith at 0.21%, dated 11/30/12 due 12/7/12 (Collateralized by U.S. Government Obligations valued at $785,413,745, 2.15% - 6%, 1/1/19 - 12/1/42) | 770,031,442 | 770,000,000 | |
Morgan Stanley & Co., Inc. at 0.19%, dated 11/28/12 due 12/5/12 (Collateralized by U.S. Government Obligations valued at $1,196,491,574, 2.3% - 8%, 7/1/13 - 11/1/42) | 1,173,043,336 | 1,173,000,000 | |
TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENT |
| ||
Treasury Repurchase Agreement - 18.9% | |||
Maturity | Value | ||
In a joint trading account at 0.22% dated 11/30/12 due 12/3/12 | |||
(Collateralized by U.S. Treasury Obligations) # | $ 1,490,093,381 | $ 1,490,066,000 | |
(Collateralized by U.S. Treasury Obligations) # | 76,248,385 | 76,247,000 | |
With: | |||
BMO Capital Markets Corp. at 0.21%, dated 11/30/12 due 12/3/12 (Collateralized by U.S. Treasury Obligations valued at $982,256,356, 0% - 9.25%, 8/15/13 - 11/15/41) | 963,016,853 | 963,000,000 | |
BNP Paribas Securities Corp. at 0.22%, dated: | |||
11/1/12 due 12/3/12 (Collateralized by U.S. Treasury Obligations valued at $589,675,294, 0% - 5.13%, 2/21/13 - 5/15/21) | 578,113,031 | 578,000,000 | |
11/2/12 due 12/3/12 (Collateralized by U.S. Treasury Obligations valued at $416,624,228, 2.75% - 6.38%, 8/15/27 - 8/15/42) | 406,076,914 | 406,000,000 | |
Credit Suisse Securities (USA) LLC at: | |||
0.17%, dated 11/28/12 due 12/5/12 (Collateralized by U.S. Treasury Obligations valued at $398,824,753, 1.25% - 2.75%, 10/31/13 - 9/30/15) | 391,012,925 | 391,000,000 | |
0.2%, dated 11/30/12 due 12/7/12: (Collateralized by U.S. Treasury Obligations valued at $392,707,098, 5.25%, 2/15/29) | 385,014,972 | 385,000,000 | |
(Collateralized by U.S. Treasury Obligations valued at $785,888,956, 0.25% - 3.75%, 11/30/13 - 8/15/41) | 770,029,944 | 770,000,000 | |
Deutsche Bank Securities, Inc. at 0.17%, dated 11/27/12 due 12/4/12 (Collateralized by U.S. Treasury Obligations valued at $796,183,492, 0% - 8.88%, 1/24/13 - 2/15/42) | 780,025,783 | 780,000,000 | |
Federal Reserve Bank of New York at 0.18%, dated 11/30/12 due 12/3/12 (Collateralized by U.S. Treasury Obligations valued at $10,004,743, 1%, 8/31/16) | 10,000,150 | 10,000,000 | |
Goldman Sachs & Co. at: | |||
0.18%, dated 11/27/12 due 12/4/12 (Collateralized by U.S. Treasury Obligations valued at $598,597,785, 1.75% - 8.88%, 7/31/15 - 5/15/42) | 585,020,475 | 585,000,000 | |
0.19%, dated 11/30/12 due 12/7/12 (Collateralized by U.S. Treasury Obligations valued at $392,706,305, 1% - 2.88%, 3/31/18 - 9/30/19) | 385,014,224 | 385,000,000 | |
Treasury Repurchase Agreement - continued | |||
Maturity | Value | ||
With: - continued | |||
HSBC Securities, Inc. at 0.19%, dated 11/30/12 due 12/7/12 (Collateralized by U.S. Treasury Obligations valued at $352,773,425, 0.5% - 4.38%, 8/15/14 - 5/15/40) | $ 345,012,746 | $ 345,000,000 | |
Merrill Lynch, Pierce, Fenner & Smith at 0.2%, dated 11/9/12 due 12/7/12 (Collateralized by U.S. Treasury Obligations valued at $782,444,362, 0% - 0.63%, 1/3/13 - 5/31/17) | 767,136,356 | 767,000,000 | |
TOTAL TREASURY REPURCHASE AGREEMENT |
| ||
Other Repurchase Agreement - 0.1% | |||
|
|
|
|
Other Repurchase Agreement - 0.1% | |||
With ING Financial Markets LLC at 0.32%, dated 11/15/12 due 12/7/12 (Collateralized by Corporate Obligations valued at $40,945,635,0% - 6.75%, 3/1/14 - 12/1/40) | 39,010,053 |
| |
TOTAL INVESTMENT PORTFOLIO - 101.3% (Cost $42,647,710,923) | 42,647,710,923 | ||
NET OTHER ASSETS (LIABILITIES) - (1.3)% | (563,954,315) | ||
NET ASSETS - 100% | $ 42,083,756,608 |
Legend |
(a) Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end. |
(b) Loan is with an affiliated fund. |
(c) Security or a portion of the security was pledged to cover open reverse repurchase agreements. At the period end, the value of securities pledged amounted to $149,998,350. The principal amount of the outstanding reverse repurchase agreement is $150,000,000. |
(d) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
# Additional information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$3,760,078,000 due 12/03/12 at 0.21% | |
Citigroup Global Markets, Inc. | $ 754,582,690 |
Credit Suisse Securities (USA) LLC | 570,755,280 |
HSBC Securities (USA), Inc. | 1,006,110,254 |
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1,106,721,279 |
Mizuho Securities USA, Inc. | 70,380,934 |
UBS Securities LLC | 251,527,563 |
| $ 3,760,078,000 |
Repurchase Agreement / Counterparty | Value |
$1,490,066,000 due 12/03/12 at 0.22% | |
BNP Paribas Securities Corp. | $ 702,044,878 |
Credit Suisse Securities (USA) LLC | 330,407,179 |
Mizuho Securities USA, Inc. | 330,407,179 |
RBC Capital Markets Corp. | 127,206,764 |
| $ 1,490,066,000 |
$76,247,000 due 12/03/12 at 0.22% | |
BNP Paribas Securities Corp. | $ 39,928,524 |
Barclays Capital, Inc. | 21,238,577 |
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 15,079,899 |
| $ 76,247,000 |
$68,321,000 due 12/03/12 at 0.22% | |
Citibank NA | $ 10,902,287 |
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 42,882,330 |
UBS Securities LLC | 14,536,383 |
| $ 68,321,000 |
Other Information |
The date shown for securities represents the date when principal payments must be paid, taking into account any call options exercised by the issuer and any permissible maturity shortening features other than interest rate resets. |
All investments are categorized as Level 2 under the Fair Value Hierarchy. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, please refer to the Security Valuation section in the accompanying Notes to Financial Statements. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
| November 30, 2012 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value (including repurchase agreements of $16,539,712,000) - See accompanying schedule: Unaffiliated issuers (cost $42,629,255,923) | $ 42,629,255,923 |
|
Other affiliated issuers (cost $18,455,000) | 18,455,000 |
|
Total Investments (cost $42,647,710,923) |
| $ 42,647,710,923 |
Cash |
| 1,113,669 |
Receivable for fund shares sold | 193,075,906 | |
Interest receivable | 22,320,474 | |
Other affiliated receivables | 903 | |
Other receivables | 133,792 | |
Total assets | 42,864,355,667 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 430,939,190 | |
Payable for fund shares redeemed | 193,075,906 | |
Distributions payable | 6,368,883 | |
Payable for reverse repurchase agreement | 150,000,000 | |
Other payables and accrued expenses | 215,080 | |
Total liabilities | 780,599,059 | |
|
|
|
Net Assets | $ 42,083,756,608 | |
Net Assets consist of: |
| |
Paid in capital | $ 42,084,157,929 | |
Distributions in excess of net investment income | (33,710) | |
Accumulated undistributed net realized gain (loss) on investments | (367,611) | |
Net Assets, for 42,076,503,883 shares outstanding | $ 42,083,756,608 | |
Net Asset Value, offering price and redemption price per share ($42,083,756,608 ÷ 42,076,503,883 shares) | $ 1.00 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Operations
Six months ended November 30, 2012 (Unaudited) | ||
|
|
|
Investment Income |
|
|
Interest (including $52,687 from affiliated interfund lending) |
| $ 38,519,113 |
|
|
|
Expenses | ||
Custodian fees and expenses | $ 118,967 | |
Independent trustees' compensation | 80,425 | |
Interest | 14,603 | |
Total expenses before reductions | 213,995 | |
Expense reductions | (91,684) | 122,311 |
Net investment income (loss) | 38,396,802 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 83,520 | |
Net increase in net assets resulting from operations | $ 38,480,322 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Changes in Net Assets
| Six months ended | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 38,396,802 | $ 43,631,197 |
Net realized gain (loss) | 83,520 | 20,015 |
Net increase in net assets resulting | 38,480,322 | 43,651,212 |
Distributions to shareholders from net investment income | (38,369,233) | (43,631,200) |
Affiliated share transactions at net asset value of $1.00 per share | 132,436,683,791 | 267,824,409,008 |
Reinvestment of distributions | 49,824 | 26,348 |
Cost of shares redeemed | (132,197,554,889) | (258,965,687,229) |
Net increase (decrease) in net assets and shares resulting from share transactions | 239,178,726 | 8,858,748,127 |
Total increase (decrease) in net assets | 239,289,815 | 8,858,768,139 |
|
|
|
Net Assets | ||
Beginning of period | 41,844,466,793 | 32,985,698,654 |
End of period (including distributions in excess of net investment income of $33,710 and distributions in excess of net investment income of $61,279, respectively) | $ 42,083,756,608 | $ 41,844,466,793 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights
| Six months ended | Years ended May 31, | ||||
| (Unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) | .001 | .001 | .002 | .003 | .014 | .043 |
Distributions from net investment income | (.001) | (.001) | (.002) | (.003) | (.014) | (.043) |
Net asset value, end of period | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 |
Total Return B, C | .09% | .13% | .21% | .26% | 1.41% | 4.34% |
Ratios to Average Net Assets E |
|
|
|
|
|
|
Expenses before reductions D | -% A | -% | -% | -% | -% | -% |
Expenses net of fee waivers, if any D | -% A | -% | -% | -% | -% | -% |
Expenses net of all reductions D | -% A | -% | -% | -% | -% | -% |
Net investment income (loss) | .18% A | .13% | .20% | .25% | 1.54% | 4.29% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 42,083,757 | $ 41,844,467 | $ 32,985,699 | $ 24,885,794 | $ 18,894,544 | $ 32,412,258 |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Amount represents less than .01%.
E Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed or waived or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements, waivers or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement and waivers but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.
Semiannual Report
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended November 30, 2012 (Unaudited)
1. Organization.
Fidelity® Cash Central Fund (the Fund) is a fund of Fidelity Revere Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. Shares of the Fund are only offered to other investment companies and accounts (the Investing Funds) managed by Fidelity Management & Research Company (FMR), or its affiliates.
2. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Security Valuation. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
As permitted by compliance with certain conditions under Rule 2a-7 of the 1940 Act, securities are valued at amortized cost, which approximates fair value. 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. Securities held by a money market fund are generally high quality and liquid; however, they are reflected as Level 2 because the inputs used to determine fair value are not quoted prices in an active market.
Investment Transactions and Income. Security transactions are accounted for as of trade date. Gains and losses on securities sold are determined on the basis of identified cost. Interest income is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis
Semiannual Report
2. Significant Accounting Policies - continued
Expenses - continued
of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. A fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to deferred trustees compensation and capital loss carryforwards.
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation | $ - |
Gross unrealized depreciation | - |
Net unrealized appreciation (depreciation) on securities and other investments | $ - |
|
|
Tax cost | $ 42,647,710,923 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
2. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire. At May 31, 2012, capital loss carryforwards were as follows:
Fiscal year of expiration |
|
2018 | $ (451,131) |
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements may be collateralized by government or non-government securities. Upon settlement date, collateral is held in accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Reverse Repurchase Agreements. To enhance its yield, the Fund may enter into reverse repurchase agreements whereby the Fund transfers securities to a counterparty who then agrees to transfer them back to the Fund at a future date and agreed upon price, reflecting a rate of interest below market rate. Securities sold under a reverse repurchase agreement are recorded as a liability in the accompanying Statement of Assets and Liabilities. The Fund receives cash proceeds, which are invested in other securities, and agrees to repay the proceeds plus any accrued interest in return for the same securities transferred. The Fund continues to receive interest payments on the transferred securities during the term of the reverse repurchase agreement. During the period that a reverse repurchase agreement is outstanding, the Fund identifies cash and liquid securities as segregated in its custodian records with a value at least equal to its obligation under the agreement. If the counterparty defaults on its obligation, because of insolvency or other reasons, the Fund could experience delays and costs in recovering the security or in gaining access to the collateral. The average balance during the period for which reverse repurchase agreements were outstanding subject to interest amounted to $142,527,863. The weighted average interest rate was .03% on such amounts.
Semiannual Report
2. Significant Accounting Policies - continued
Reverse Repurchase Agreements - continued
Information regarding reverse repurchase agreements open at period end is included at the end of the Fund's Schedule of Investments.
3. Fees and Other Transactions with Affiliates.
Management Fee and Expense Contract. Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR, provides the Fund with investment management services. The Fund does not pay any fees for these services. Pursuant to the Fund's management contract with FIMM, FMR pays FIMM a portion of the management fees it receives from the Investing Funds. In addition, under an expense contract, FMR also pays all other expenses of the Fund, excluding custody fees, the compensation of the independent Trustees, and certain exceptions such as interest expense.
Interfund Lending Program. Pursuant to an Exemptive Order issued by the SEC, the Fund, along with other registered investment companies having management contracts with FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the funds to borrow from, or lend money to, other participating affiliated funds. Any open loans at period end are presented under the caption "Interfund Loans" in the Fund's Schedule of Investments with accrued interest included in Other affiliated receivables on the Statement of Assets and Liabilities. The Fund's activity in this program during the period for which loans were outstanding was as follows:
Borrower or Lender | Average Loan | Weighted Average |
Lender | $ 12,766,934 | .42% |
4. Expense Reductions.
FMR has voluntarily agreed to reimburse a portion of the Fund's operating expenses. For the period, the reimbursement reduced the expenses by $80,425.
In addition, through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $11,259.
5. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
5. Other - continued
also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
At the end of the period, mutual funds managed by FMR or an FMR affiliate were the owners of record of all of the outstanding shares of the Fund.
Semiannual Report
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Cash Central Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract and sub-advisory agreements (together, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established three standing committees, Operations, Audit, and Governance and Nominating, each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and, among other matters, considers matters specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to consider matters specifically related to the Board's annual consideration of the renewal of Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through ad hoc joint committees to discuss certain matters relevant to the Fidelity funds.
At its September 2012 meeting, the Board of Trustees, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant and reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders and the fact that no fee is payable under the management contract is fair and reasonable.
Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the investment adviser, Fidelity Investments Money Management, Inc., and the sub-advisers (together, the Investment Advisers), including the backgrounds of the fund's investment personnel, and also considered the fund's investment objective, strategies, and investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the portfolio manager compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund.
Semiannual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staff, including its size, education, experience, and resources, as well as the Investment Advisers' approach to recruiting, managing, and compensating investment personnel. The Board also noted that Fidelity Management & Research Company (FMR) has continued to increase the resources devoted to non U.S. offices, including expansion of Fidelity's global investment organization. The Board noted that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. The Board also believes that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered the Investment Advisers' trading and risk management capabilities and resources, which are an integral part of the investment management process.
Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory and administrative services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.
Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. The Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance, but did not consider performance to be a material factor in its decision to renew the fund's Advisory Contracts, as the fund is not publicly offered as a stand-alone investment product. In this regard, the Board noted that the fund is designed to offer a liquid investment option for other investment companies and accounts managed by FMR or its affiliates and ultimately to enhance the performance of those investment companies and accounts.
Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should benefit the fund's shareholders.
Competitiveness of Management Fee and Total Expense Ratio. The Board considered that while the fund does not pay a management fee, FMR pays a management fee on behalf of the fund and receives fees for providing services to funds that invest in the fund. The Board also noted that FMR bears all expenses of the fund, except expenses related to the fund's investment activities (primarily custody expenses). Based on its review, the Board concluded that the management fee paid on behalf of the fund and the fund's total expense ratio were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Semiannual Report
Costs of the Services and Profitability. The Board considered the level of Fidelity's profits in respect of all the Fidelity funds, as well as the profitability of each fund that invests in this fund.
PricewaterhouseCoopers LLP (PwC), independent registered public accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of Fidelity's methodologies used in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures surrounding the mathematical accuracy of fund profitability and its conformity to allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
The Board also reviewed Fidelity's non-fund businesses and fall-out benefits related to the mutual fund business as well as cases where Fidelity's affiliates may benefit from or be related to the fund's business.
The Board concluded that the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund were not relevant to the renewal of the Advisory Contracts because the fund pays no advisory fees and FMR bears all expenses of the fund, except expenses related to the fund's investment activities.
Economies of Scale. The Board concluded that because the fund pays no advisory fees and FMR bears all expenses of the fund, except expenses related to the fund's investment activities, economies of scale cannot be realized by the fund.
Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Fidelity funds' Advisory Contracts, the Board requested and received additional information on certain topics, including: (i) Fidelity's fund profitability methodology, profitability trends for certain funds, and the impact of certain factors on fund profitability results; (ii) portfolio manager changes that have occurred during the past year and the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (iii) Fidelity's compensation structure for portfolio managers, research analysts, and other key personnel, including its effects on fund profitability, the rationale for the compensation structure, and the extent to which current market conditions have affected retention and recruitment; (iv) the compensation paid to fund sub-advisers on behalf of the Fidelity funds; (v) Fidelity's fee structures, including the group fee structure, and the rationale for recommending different fees among different categories of funds and classes; (vi) Fidelity's voluntary waiver of its fees to maintain minimum yields for certain money market funds and classes as well as contractual waivers in place for certain funds; (vii) regulatory and industry developments, including those affecting money market funds and target date funds, and the potential impact to Fidelity; (viii) Fidelity's transfer agent fees, expenses, and services, and drivers for determining the transfer agent fee structure of different funds and classes; (ix) management fee rates charged by FMR or Fidelity entities to other Fidelity clients; (x) the allocation of and historical trends in Fidelity's realization of fall-out benefits; and (xi) explanations regarding the relative total expense ratios of certain funds and classes, total expense competitive trends, and actions that might be taken by FMR to reduce total expense ratios for certain funds and classes or to achieve further economies of scale.
Semiannual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board ultimately concluded that the advisory fee structures are fair and reasonable, and that the fund's Advisory Contracts should be renewed.
Semiannual Report
Fidelity® Municipal
Cash Central Fund
Semiannual Report
November 30, 2012
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
MCC-SANN-0113 1.734025.112
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2012 to November 30, 2012).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the 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 the 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 and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
| Annualized | Beginning | Ending | Expenses Paid |
Actual | .0013% | $ 1,000.00 | $ 1,001.00 | $ .01 |
Hypothetical (5% return per year before expenses) |
| $ 1,000.00 | $ 1,025.06 | $ .01 |
* Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).
Semiannual Report
Investment Changes (Unaudited)
Effective Maturity Diversification | |||
Days | % of fund's investments 11/30/12 | % of fund's investments 5/31/12 | % of fund's |
1 - 7 | 100.0 | 100.0 | 99.8 |
8 - 30 | 0.0 | 0.0 | 0.2 |
Effective maturity is determined in accordance with the requirements of Rule 2a-7 under the Investment Company Act of 1940. |
Weighted Average Maturity | |||
| 11/30/12 | 5/31/12 | 11/30/11 |
Fidelity Municipal Cash Central Fund | 4 Days | 3 Days | 3 Days |
All Tax-Free Money Market Funds Average* | 35 Days | 24 Days | 33 Days |
This is a weighted average of all the maturities of the securities held in a fund. Weighted Average Maturity (WAM) can be used as a measure of sensitivity to interest rate changes and market changes. Generally, the longer the maturity, the greater the sensitivity to such changes. WAM is based on the dollar-weighted average length of time until principal payments must be paid. Depending on the types of securities held in a fund, certain maturity shortening devices (e.g., demand features, interest rate resets, and call options) may be taken into account when calculating the WAM. |
Weighted Average Life | |||
| 11/30/12 | 5/31/12 | 11/30/11 |
Fidelity Municipal Cash Central Fund | 4 Days | 3 Days | 3 Days |
Weighted Average Life (WAL) is the weighted average of the life of the securities held in a fund or portfolio and can be used as a measure of sensitivity to changes in liquidity and/or credit risk. Generally, the higher the value, the greater the sensitivity. WAL is based on the dollar-weighted average length of time until principal payments must be paid, taking into account any call options exercised by the issuer and any permissible maturity shortening features other than interest rate resets. The difference between WAM and WAL is that WAM takes into account interest rate resets and WAL does not. WAL for money market funds is not the same as WAL of a mortgage- or asset-backed security. |
Asset Allocation (% of fund's net assets) | |||||||
As of November 30, 2012 | As of May 31, 2012 | ||||||
Variable Rate Demand Notes (VRDNs) 99.6% |
| Variable Rate Demand Notes (VRDNs) 99.3% |
| ||||
Other Municipal |
| Other Municipal |
| ||||
Net Other Assets (Liabilities) 0.0%† |
| Net Other Assets (Liabilities) 0.1% |
|
* Source: iMoneyNet, Inc.
† Amount represents less than 0.1%.
Semiannual Report
Investments November 30, 2012 (Unaudited)
Showing Percentage of Net Assets
Variable Rate Demand Note - 99.6% | |||
Principal Amount | Value | ||
Alabama - 3.1% | |||
Auburn Univ. Gen. Fee Rev. Participating VRDN Series WF 11 53 C, 0.19% 12/7/12 (Liquidity Facility Wells Fargo Bank NA) (a)(c) | $ 7,015,000 | $ 7,015,000 | |
Columbia Indl. Dev. Board Poll. Cont. Rev. (Alabama Pwr. Co. Proj.) Series 1995 C, 0.17% 12/3/12, VRDN (a) | 13,000,000 | 13,000,000 | |
Daphne-Villa Mercy Spl. Care Facilities Fing. Auth. Rev. (Mercy Med. Hosp. Proj.) 0.18% 12/7/12, LOC Wells Fargo Bank NA, VRDN (a) | 9,700,000 | 9,700,000 | |
Decatur Indl. Dev. Board Exempt Facilities Rev. (Nucor Steel Decatur LLC Proj.) Series 2003 A, 0.45% 12/7/12, VRDN (a)(b) | 2,500,000 | 2,500,000 | |
Mobile Indl. Dev. Board Exempt Facilities Rev. Series 1997, 0.18% 12/7/12 (Kimberly-Clark Corp. Guaranteed), VRDN (a) | 3,000,000 | 3,000,000 | |
Mobile Indl. Dev. Board Rev. (Alabama Pwr. Theodore Plant Proj.) Series A, 0.2% 12/3/12, VRDN (a)(b) | 10,000,000 | 10,000,000 | |
Walker County Econ. & Indl. Dev. Auth. Solid Waste Disp. Rev. (Alabama Pwr. Co. Plant Gorgas Proj.) Series 2007, 0.2% 12/3/12, VRDN (a)(b) | 19,000,000 | 19,000,000 | |
West Jefferson Indl. Dev. Board Solid Waste Disp. Rev. (Alabama Pwr. Co. Miller Plant Proj.) Series 2008, 0.2% 12/3/12, VRDN (a)(b) | 81,255,000 | 81,255,000 | |
Wilsonville Indl. Dev. Board Poll. Cont. Rev. (Alabama Pwr. Co. Gaston Plant Proj.) Series 2008, 0.2% 12/3/12, VRDN (a)(b) | 25,790,000 | 25,790,000 | |
| 171,260,000 | ||
Alaska - 0.9% | |||
Alaska Indl. Dev. & Export Auth. Rev. Participating VRDN Series RBC O 49, 0.16% 12/7/12 (Liquidity Facility Royal Bank of Canada) (a)(c) | 3,300,000 | 3,300,000 | |
Valdez Marine Term. Rev.: | |||
(ConocoPhillips Proj.): | |||
Series 1994 A, 0.17% 12/7/12 (ConocoPhillips Guaranteed), VRDN (a) | 3,700,000 | 3,700,000 | |
0.17% 12/7/12, VRDN (a) | 1,800,000 | 1,800,000 | |
(Exxon Pipeline Co. Proj.) Series 1985, 0.16% 12/3/12 (Exxon Mobil Corp. Guaranteed), VRDN (a) | 3,645,000 | 3,645,000 | |
(Phillips Trans. Alaska, Inc. Proj.): | |||
Series 1994 B, 0.17% 12/7/12 (ConocoPhillips Guaranteed), VRDN (a) | 33,795,000 | 33,795,000 | |
Series 1994 C, 0.22% 12/7/12 (ConocoPhillips Guaranteed), VRDN (a) | 5,000,000 | 5,000,000 | |
| 51,240,000 | ||
Variable Rate Demand Note - continued | |||
Principal Amount | Value | ||
Arizona - 0.4% | |||
Arizona Trans. Board Hwy. Rev. Participating VRDN Series WF 11 138C, 0.19% 12/7/12 (Liquidity Facility Wells Fargo Bank NA) (a)(c) | $ 1,435,000 | $ 1,435,000 | |
Coconino County Poll. Cont. Corp. Rev. (Arizona Pub. Svc. Co. Navajo Proj.) Series 2009 B, 0.2% 12/3/12, LOC JPMorgan Chase Bank, VRDN (a)(b) | 8,110,000 | 8,110,000 | |
Maricopa County Indl. Dev. Auth. Multi-family Hsg. Rev.: | |||
(Glenn Oaks Apts. Proj.) Series 2001, 0.24% 12/7/12, LOC Fannie Mae, VRDN (a)(b) | 3,100,325 | 3,100,325 | |
(San Angelin Apts. Proj.) Series 2004, 0.17% 12/7/12, LOC Fannie Mae, VRDN (a)(b) | 1,800,000 | 1,800,000 | |
(San Martin Apts. Proj.) Series A1, 0.17% 12/7/12, LOC Fannie Mae, VRDN (a)(b) | 2,300,000 | 2,300,000 | |
(San Miguel Apts. Proj.) Series 2003, 0.17% 12/7/12, LOC Fannie Mae, VRDN (a)(b) | 1,300,000 | 1,300,000 | |
Mesa Util. Sys. Rev. Participating VRDN Series ROC II R 11959X, 0.17% 12/7/12 (Liquidity Facility Citibank NA) (a)(c) | 2,750,000 | 2,750,000 | |
Phoenix Civic Impt. Corp. Wtr. Sys. Rev. Participating VRDN Series ROC II R 12311, 0.16% 12/7/12 (Liquidity Facility Citibank NA) (a)(c) | 1,900,000 | 1,900,000 | |
Tempe Indl. Dev. Auth. Rev. (ASUF Brickyard Proj.) Series 2004 A, 0.18% 12/7/12, LOC Bank of America NA, VRDN (a) | 1,000,000 | 1,000,000 | |
| 23,695,325 | ||
Arkansas - 0.0% | |||
Arkansas Dev. Fin. Auth. Multi-family Hsg. Rev. (Kiehl Partners LP Proj.) Series 2004 A, 0.21% 12/7/12, LOC Fannie Mae, VRDN (a) | 980,000 | 980,000 | |
California - 10.1% | |||
ABAG Fin. Auth. for Nonprofit Corps. Rev. (On Lok Sr. Health Svcs. Proj.) Series 2008, 0.13% 12/7/12, LOC Wells Fargo Bank NA, VRDN (a) | 3,285,000 | 3,285,000 | |
Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev. Participating VRDN Series II R 11901, 0.17% 12/7/12 (Liquidity Facility Citibank NA) (a)(c) | 2,035,000 | 2,035,000 | |
California Dept. of Wtr. Resources Pwr. Supply Rev. Participating VRDN Series Putters 4059, 0.18% 12/3/12 (Liquidity Facility JPMorgan Chase & Co.) (a)(c) | 7,220,000 | 7,220,000 | |
California Edl. Facilities Auth. Rev. Participating VRDN Series Putters 4209, 0.18% 12/3/12 (Liquidity Facility JPMorgan Chase Bank) (a)(c) | 8,815,000 | 8,815,000 | |
California Gen. Oblig.: | |||
Participating VRDN Series Putters 4265, 0.18% 12/3/12 (Liquidity Facility JPMorgan Chase & Co.) (a)(c) | 30,825,000 | 30,825,000 | |
Variable Rate Demand Note - continued | |||
Principal Amount | Value | ||
California - continued | |||
California Gen. Oblig.: - continued | |||
Series 2004 A1, 0.16% 12/3/12, LOC Citibank NA, VRDN (a) | $ 24,335,000 | $ 24,335,000 | |
California Health Facilities Fing. Auth. Rev. (St. Joseph Health Sys. Proj.) Series 2011 B, 0.18% 12/3/12, LOC U.S. Bank NA, Cincinnati, VRDN (a) | 7,510,000 | 7,510,000 | |
California Hsg. Fin. Agcy. Rev. (Home Mtg. Prog.): | |||
Series 2003 M, 0.17% 12/7/12 (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac), VRDN (a)(b) | 3,020,000 | 3,020,000 | |
Series 2005 D, 0.17% 12/7/12 (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac), VRDN (a)(b) | 1,935,000 | 1,935,000 | |
California Infrastructure & Econ. Dev. Bank Rev.: | |||
(JSerra Catholic High School Proj.) Series 2009 A, 0.13% 12/7/12, LOC Wells Fargo Bank NA, VRDN (a) | 24,500,000 | 24,500,000 | |
(Pacific Gas and Elec. Co. Proj.) Series 2009 C, 0.15% 12/3/12, LOC Sumitomo Mitsui Banking Corp., VRDN (a) | 14,800,000 | 14,800,000 | |
(The Contemporary Jewish Museum Proj.) Series 2006, 0.18% 12/3/12, LOC Bank of America NA, VRDN (a) | 6,250,000 | 6,250,000 | |
California Poll. Cont. Fing. Auth. Ctfs. of Prtn. (Pacific Gas & Elec. Co. Proj.) Series 1997 B, 0.19% 12/3/12, LOC JPMorgan Chase Bank, VRDN (a)(b) | 2,700,000 | 2,700,000 | |
California Statewide Cmntys. Dev. Auth. Gas Supply Rev. Series 2010, 0.15% 12/7/12 (Liquidity Facility Royal Bank of Canada), VRDN (a) | 7,100,000 | 7,100,000 | |
California Statewide Cmntys. Dev. Auth. Multi-family Hsg. Rev.: | |||
(Coventry Place Apts. Proj.) Series 2002 JJ, 0.22% 12/7/12, LOC Fannie Mae, VRDN (a)(b) | 5,165,000 | 5,165,000 | |
(Irvine Apt. Cmntys. LP Proj.): | |||
Series 2001 W1, 0.19% 12/3/12, LOC Wells Fargo Bank NA, VRDN (a)(b) | 14,600,000 | 14,600,000 | |
Series 2001 W2, 0.19% 12/3/12, LOC Wells Fargo Bank NA, VRDN (a)(b) | 31,500,000 | 31,500,000 | |
Series 2001 W3, 0.19% 12/3/12, LOC Wells Fargo Bank NA, VRDN (a)(b) | 18,000,000 | 18,000,000 | |
(The Crossings at Elk Grove Apts.) Series H, 0.17% 12/7/12, LOC Citibank NA, VRDN (a)(b) | 7,550,000 | 7,550,000 | |
(Valley Palms Apts. Proj.) Series 2002 C, 0.18% 12/7/12, LOC Fannie Mae, VRDN (a)(b) | 15,300,000 | 15,300,000 | |
California Statewide Cmntys. Dev. Auth. Rev.: | |||
(North Peninsula Jewish Campus Proj.) 0.18% 12/3/12, LOC Bank of America NA, VRDN (a) | 4,400,000 | 4,400,000 | |
(The Archer School for Girls, Inc. Proj.) Series 2005, 0.2% 12/7/12, LOC Wells Fargo Bank NA, VRDN (a) | 10,115,000 | 10,115,000 | |
Variable Rate Demand Note - continued | |||
Principal Amount | Value | ||
California - continued | |||
Calleguas-Las Virgenes Pub. Fing. Auth. Rev. (Calleguas Muni. Wtr. District Proj.) Series 2008 A, 0.13% 12/7/12, LOC Wells Fargo Bank NA, VRDN (a) | $ 6,000,000 | $ 6,000,000 | |
Camarillo City Multi-family Hsg. Rev. (Hacienda de Camarillo Proj.) Series 1996, 0.18% 12/7/12, LOC Fannie Mae, VRDN (a)(b) | 11,200,000 | 11,200,000 | |
Irvine Unified School District Cmnty. Facilities District Series 2012 B, 0.18% 12/3/12, LOC Bank of America NA, VRDN (a) | 15,500,000 | 15,500,000 | |
Los Angeles Cmnty. College District Participating VRDN Series Floaters 56 C, 0.19% 12/7/12 (Liquidity Facility Wells Fargo & Co.) (a)(c) | 4,800,000 | 4,800,000 | |
Los Angeles Dept. of Wtr. & Pwr. Rev. Participating VRDN Series putters 4221, 0.18% 12/3/12 (Liquidity Facility JPMorgan Chase Bank) (a)(c) | 7,500,000 | 7,500,000 | |
Los Angeles Dept. of Wtr. & Pwr. Wtrwks. Rev. Participating VRDN: | |||
Series ROC II R 12322, 0.17% 12/3/12 (Liquidity Facility Citibank NA) (a)(c) | 37,405,000 | 37,405,000 | |
Series ROC II R 12326, 0.17% 12/3/12 (Liquidity Facility Citibank NA) (a)(c) | 38,360,000 | 38,360,000 | |
Los Angeles Multi-family Hsg. Rev. (Colonia Corona Apts. Proj.) Series 2004 D, 0.21% 12/7/12, LOC Citibank NA, VRDN (a)(b) | 2,600,000 | 2,600,000 | |
Los Angeles Unified School District Participating VRDN Series Putters 4252, 0.18% 12/3/12 (Liquidity Facility JPMorgan Chase & Co.) (a)(c) | 27,910,000 | 27,910,000 | |
Los Angeles Wastewtr. Sys. Rev. Series 2008 A, 0.16% 12/7/12, LOC JPMorgan Chase Bank, VRDN (a) | 9,210,000 | 9,210,000 | |
Milpitas Multi-family Rev. (Crossing at Montague Proj.) Series A, 0.17% 12/7/12, LOC Fannie Mae, VRDN (a)(b) | 16,000,000 | 16,000,000 | |
Sacramento County Sanitation District Fing. Auth. Rev. (Sacramento Reg'l. County Sanitation District Proj.) Series 2008 B, 0.18% 12/3/12, LOC Morgan Stanley Bank, West Valley City Utah, VRDN (a) | 41,000,000 | 41,000,000 | |
Sacramento Hsg. Auth. Multi-family Rev. (Phoenix Park II Apts. Proj.) 0.22% 12/7/12, LOC Citibank NA, VRDN (a)(b) | 8,030,000 | 8,030,000 | |
Sacramento Redev. Agcy. Multi-family Hsg. Rev. (18th & L Apts. Proj.) Series 2002 E, 0.18% 12/7/12, LOC Fannie Mae, VRDN (a)(b) | 12,600,000 | 12,600,000 | |
San Diego Cmnty. College District Participating VRDN Series WF11 87C, 0.19% 12/7/12 (Liquidity Facility Wells Fargo Bank NA) (a)(c) | 9,990,000 | 9,990,000 | |
Variable Rate Demand Note - continued | |||
Principal Amount | Value | ||
California - continued | |||
San Francisco City & County Multi-family Hsg. Rev. (8th & Howard Family Apts. Proj.) Series 2000 B, 0.24% 12/7/12, LOC Citibank NA, VRDN (a)(b) | $ 4,005,000 | $ 4,005,000 | |
San Francisco City & County Redev. Agcy. Multi-family Hsg. Rev.: | |||
(Antonia Manor Apts. Proj.) Series 2000 E, 0.21% 12/7/12, LOC Citibank NA, VRDN (a)(b) | 1,950,000 | 1,950,000 | |
(Mission Creek Cmnty. Proj.) Series B, 0.23% 12/7/12, LOC Citibank NA, VRDN (a)(b) | 6,590,000 | 6,590,000 | |
Univ. of California Revs. Participating VRDN Series MS 3066, 0.22% 12/7/12 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c) | 10,993,250 | 10,993,250 | |
Whittier Health Facilities Rev. (Presbyterian Intercommunity Hosp. Proj.) Series 2009 B, 0.14% 12/7/12, LOC U.S. Bank NA, Cincinnati, VRDN (a) | 31,800,000 | 31,800,000 | |
| 554,403,250 | ||
Colorado - 0.7% | |||
Colorado Gen. Fdg. Rev. Participating VRDN Series Putters 4251, 0.18% 12/3/12 (Liquidity Facility JPMorgan Chase & Co.) (a)(c) | 2,630,000 | 2,630,000 | |
Colorado Health Facilities Auth. Rev. (NCMC, Inc. Proj.) Series 2009 A, 0.19% 12/3/12, LOC Wells Fargo Bank NA, VRDN (a) | 19,385,000 | 19,385,000 | |
Colorado Reg'l. Trans. District Sales Tax Rev. Participating VRDN: | |||
Series EGL 07 0036, 0.16% 12/7/12 (Liquidity Facility Citibank NA) (a)(c) | 12,500,000 | 12,500,000 | |
Series ROC II R 11918, 0.16% 12/7/12 (Liquidity Facility Citibank NA) (a)(c) | 3,330,000 | 3,330,000 | |
| 37,845,000 | ||
Connecticut - 0.3% | |||
Connecticut Health & Edl. Facilities Auth. Rev. Participating VRDN Series Putters 2862, 0.18% 12/3/12 (Liquidity Facility JPMorgan Chase Bank) (a)(c) | 7,735,000 | 7,735,000 | |
Waterford Gen. Oblig. Participating VRDN Series Putters 4074, 0.18% 12/3/12 (Liquidity Facility JPMorgan Chase & Co.) (a)(c) | 7,500,000 | 7,500,000 | |
| 15,235,000 | ||
Delaware - 0.5% | |||
Delaware Econ. Dev. Auth. Rev.: | |||
(Delmarva Pwr. & Lt. Co. Proj.): | |||
Series 1993 C, 0.33% 12/7/12, VRDN (a) | 6,300,000 | 6,300,000 | |
Variable Rate Demand Note - continued | |||
Principal Amount | Value | ||
Delaware - continued | |||
Delaware Econ. Dev. Auth. Rev.: - continued | |||
(Delmarva Pwr. & Lt. Co. Proj.): | |||
Series 1999 B, 0.48% 12/7/12, VRDN (a)(b) | $ 1,100,000 | $ 1,100,000 | |
(Peninsula United Methodist Homes, Inc. Proj.) Series A, 0.16% 12/3/12, LOC PNC Bank NA, VRDN (a) | 21,595,000 | 21,595,000 | |
| 28,995,000 | ||
District Of Columbia - 0.9% | |||
District of Columbia Rev.: | |||
(American Univ. Proj.) Series 2008, 0.18% 12/3/12, LOC JPMorgan Chase Bank, VRDN (a) | 3,500,000 | 3,500,000 | |
(Medlantic/Helix Proj.) Series 1998 A Tranche I, 0.18% 12/3/12, LOC Wells Fargo Bank NA, VRDN (a) | 25,725,000 | 25,725,000 | |
District of Columbia Univ. Rev. (American Univ. Proj.) Series 2006 A, 0.17% 12/7/12, LOC JPMorgan Chase Bank, VRDN (a) | 8,700,000 | 8,700,000 | |
District of Columbia Wtr. & Swr. Auth. Pub. Util. Rev. Participating VRDN Series MT 813, 0.19% 12/7/12 (Liquidity Facility Bank of America NA) (a)(c) | 2,455,000 | 2,455,000 | |
Metropolitan Washington DC Arpts. Auth. Sys. Rev. Series 2009 D1, 0.16% 12/7/12, LOC Bank of America NA, VRDN (a) | 7,000,000 | 7,000,000 | |
| 47,380,000 | ||
Florida - 8.5% | |||
Brevard County Indl. Dev. Rev. (Pivotal Util. Hldgs., Inc. Proj.) Series 2005, 0.16% 12/3/12 (AGL Resources, Inc. Guaranteed), LOC Bank of Tokyo-Mitsubishi UFJ Ltd., VRDN (a)(b) | 20,000,000 | 20,000,000 | |
Broward County Edl. Facilities Auth. Rev. (Nova Southeastern Univ. Proj.) Series 2008 A, 0.17% 12/3/12, LOC Bank of America NA, VRDN (a) | 4,580,000 | 4,580,000 | |
Broward County Port Facilities Rev. (Port Everglades Proj.) Series 2008, 0.21% 12/7/12, LOC Bank of Nova Scotia New York Branch, VRDN (a)(b) | 26,435,000 | 26,435,000 | |
Coconut Creek Indl. Dev. Rev. (Elite Aluminum Corp. Proj.) Series 2002, 0.35% 12/7/12, LOC Bank of America NA, VRDN (a)(b) | 1,940,000 | 1,940,000 | |
Dade County Indl. Dev. Auth. Poll. Cont. Rev. (Florida Pwr. & Lt. Co. Proj.) 0.18% 12/3/12, VRDN (a) | 8,500,000 | 8,500,000 | |
Dade County Indl. Dev. Auth. Rev. (Florida Pwr. & Lt. Co. Proj.) Series 1993, 0.19% 12/3/12, VRDN (a) | 25,750,000 | 25,750,000 | |
Florida Board of Ed. Pub. Ed. Cap. Outlay Participating VRDN: | |||
Series Putters 4094, 0.2% 12/3/12 (Liquidity Facility JPMorgan Chase Bank) (a)(c) | 7,445,000 | 7,445,000 | |
Variable Rate Demand Note - continued | |||
Principal Amount | Value | ||
Florida - continued | |||
Florida Board of Ed. Pub. Ed. Cap. Outlay Participating VRDN: - continued | |||
Series WF11 60 C, 0.19% 12/7/12 (Liquidity Facility Wells Fargo Bank NA) (a)(c) | $ 7,555,000 | $ 7,555,000 | |
Florida Hsg. Fin. Corp. Multi-family Mtg. Rev.: | |||
(Clarcona Groves Apts. Proj.) Series A, 0.19% 12/7/12, LOC Citibank NA, VRDN (a)(b) | 2,980,000 | 2,980,000 | |
(Heather Glenn Apts. Proj.) Series 2003 H, 0.18% 12/7/12, LOC Fannie Mae, VRDN (a)(b) | 6,460,000 | 6,460,000 | |
(Pinnacle Pointe Apts. Proj.) Series 2003 N, 0.19% 12/7/12, LOC Citibank NA, VRDN (a)(b) | 13,330,000 | 13,330,000 | |
(Victoria Park Apts. Proj.) Series 2002 J, 0.17% 12/7/12, LOC Fannie Mae, VRDN (a) | 8,920,000 | 8,920,000 | |
Florida Hsg. Fin. Corp. Rev. (Tuscany Lakes Apts. Proj.) Series 2002 K1, 0.21% 12/7/12, LOC Fannie Mae, VRDN (a)(b) | 10,000,000 | 10,000,000 | |
Florida Muni. Pwr. Agcy. Rev. (All-Requirements Pwr. Supply Proj.) Series 2008 C, 0.17% 12/3/12, LOC Bank of America NA, VRDN (a) | 30,400,000 | 30,400,000 | |
Jacksonville Elec. Auth. Elec. Sys. Rev. Participating VRDN Series Putters 4235, 0.18% 12/3/12 (Liquidity Facility JPMorgan Chase Bank) (a)(c) | 5,050,000 | 5,050,000 | |
Jacksonville Poll. Cont. Rev. (Florida Pwr. & Lt. Co. Proj.) Series 1995, 0.18% 12/3/12, VRDN (a) | 49,000,000 | 49,000,000 | |
JEA Wtr. & Swr. Sys. Rev. Participating VRDN Series Putters 4095, 0.2% 12/3/12 (Liquidity Facility JPMorgan Chase Bank) (a)(c) | 11,525,000 | 11,525,000 | |
Manatee County Poll. Cont. Rev. (Florida Pwr. & Lt. Co. Proj.) Series 1994, 0.19% 12/3/12, VRDN (a) | 16,160,000 | 16,160,000 | |
Martin County Poll. Cont. Rev. (Florida Pwr. & Lt. Co. Proj.) Series 2000, 0.2% 12/3/12, VRDN (a) | 73,600,000 | 73,600,000 | |
Miami-Dade County Indl. Dev. Auth. Rev. (Tarmac America Proj.) Series 2004, 0.22% 12/7/12, LOC Bank of America NA, VRDN (a)(b) | 4,100,000 | 4,100,000 | |
North Broward Hosp. District Rev. Series 2005 A, 0.15% 12/7/12, LOC Wells Fargo Bank NA, VRDN (a) | 41,700,000 | 41,700,000 | |
Ocean Hwy. & Port Auth. Rev. Series 1990, 0.22% 12/7/12, LOC Wells Fargo Bank NA, VRDN (a)(b) | 1,400,000 | 1,400,000 | |
Orange County Hsg. Fin. Auth. Multi-family Rev.: | |||
(Regal Pointe Apts. Proj.) Series 1997 A, 0.18% 12/7/12, LOC Freddie Mac, VRDN (a)(b) | 755,000 | 755,000 | |
(West Point Villas Apts. Proj.) Series 2000 F, 0.19% 12/7/12, LOC Fannie Mae, VRDN (a)(b) | 11,500,000 | 11,500,000 | |
(Wtr. View Club Proj.) Series 1997 D, 0.19% 12/7/12, LOC Fannie Mae, VRDN (a)(b) | 1,845,000 | 1,845,000 | |
Variable Rate Demand Note - continued | |||
Principal Amount | Value | ||
Florida - continued | |||
Palm Beach County Rev. (Norton Gallery and School of Art, Inc. Proj.) Series 1995, 0.22% 12/7/12, LOC Northern Trust Co., VRDN (a) | $ 3,250,000 | $ 3,250,000 | |
Pinellas County Health Facilities Auth. Rev. (BayCare Health Sys. Proj.) Series 2009 A1, 0.19% 12/3/12, LOC U.S. Bank NA, Cincinnati, VRDN (a) | 25,270,000 | 25,270,000 | |
Putnam County Dev. Auth. Poll. Cont. Rev. (Florida Pwr. & Lt. Co. Proj.) Series 1994, 0.19% 12/3/12, VRDN (a) | 4,480,000 | 4,480,000 | |
Saint Johns County Hsg. Fin. Auth. Multi-family Hsg. Rev. (Ponce Hbr. Apts. Proj.) Series 2001 A, 0.19% 12/7/12, LOC Fannie Mae, VRDN (a)(b) | 5,585,000 | 5,585,000 | |
Sarasota County Pub. Hosp. District Hosp. Rev. (Sarasota Memorial Hosp. Proj.) Series 2009 B, 0.18% 12/3/12, LOC JPMorgan Chase Bank, VRDN (a) | 5,000,000 | 5,000,000 | |
South Florida Wtr. Mgmt. District Ctfs. of Prtn. Participating VRDN Series ROC II R 12313, 0.17% 12/3/12 (Liquidity Facility Citibank NA) (a)(c) | 4,560,000 | 4,560,000 | |
Tallahassee Energy Sys. Rev. Participating VRDN: | |||
Series MS 3273 X, 0.16% 12/7/12 (Liquidity Facility Cr. Suisse) (a)(c) | 6,500,000 | 6,500,000 | |
Series Putters 4114, 0.2% 12/3/12 (Liquidity Facility JPMorgan Chase Bank) (a)(c) | 5,295,000 | 5,295,000 | |
Univ. of North Florida Parking Sys. Rev. Series 1998, 0.18% 12/3/12, LOC Wells Fargo Bank NA, VRDN (a) | 3,100,000 | 3,100,000 | |
Volusia County Hsg. Fin. Auth. Multi-family Hsg. Rev. (Saxon Trace Apts. Proj.) Series 2003, 0.19% 12/7/12, LOC Fannie Mae, VRDN (a)(b) | 8,800,000 | 8,800,000 | |
Winter Haven Util. Sys. Impt. & Rfdg. Rev. Participating VRDN Series Solar 06 54, 0.16% 12/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c) | 5,200,000 | 5,200,000 | |
| 467,970,000 | ||
Georgia - 1.5% | |||
Atlanta Urban Residential Fin. Auth. Multi-family Hsg. Rev. (Carver Redev. Phase III Proj.) Series 2001, 0.19% 12/7/12, LOC Fannie Mae, VRDN (a)(b) | 3,805,000 | 3,805,000 | |
Bartow County Dev. Auth. Poll. Cont. Rev. (Georgia Pwr. Co. Plant Bowen Proj.) Second Series 1998, 0.18% 12/3/12, VRDN (a)(b) | 17,000,000 | 17,000,000 | |
Bulloch County Dev. Auth. Indl. Dev. Rev. (Gold Kist, Inc. Proj.) Series 1995, 0.33% 12/7/12, LOC Wells Fargo Bank NA, VRDN (a)(b) | 2,700,000 | 2,700,000 | |
Burke County Indl. Dev. Auth. Poll. Cont. Rev. (Georgia Pwr. Co. Plant Vogtle Proj.) Eighth Series 1994, 0.23% 12/3/12, VRDN (a) | 18,890,000 | 18,890,000 | |
Variable Rate Demand Note - continued | |||
Principal Amount | Value | ||
Georgia - continued | |||
Heard County Dev. Auth. Poll. Cont. Rev. (Georgia Pwr. Co. Plant Wansley Proj.) First Series 1997, 0.24% 12/3/12, VRDN (a) | $ 23,200,000 | $ 23,200,000 | |
Main Street Natural Gas, Inc. Georgia Gas Proj. Rev. Series 2010 A, 0.16% 12/7/12 (Liquidity Facility Royal Bank of Canada), VRDN (a) | 8,190,000 | 8,190,000 | |
Private Colleges & Univs. Auth. Rev. Participating VRDN Series WF 11 95C, 0.19% 12/7/12 (Liquidity Facility Wells Fargo Bank NA) (a)(c) | 4,790,000 | 4,790,000 | |
Roswell Hsg. Auth. Multi-family Hsg. Rev. (Azalea Park Apts. Proj.) Series 1996, 0.16% 12/7/12, LOC Fannie Mae, VRDN (a) | 2,000,000 | 2,000,000 | |
Savannah Econ. Dev. Auth. Rev. (Home Depot, Inc. Proj.) Series 1995 A, 0.45% 12/7/12, VRDN (a)(b) | 1,100,000 | 1,100,000 | |
| 81,675,000 | ||
Hawaii - 0.1% | |||
Hawaii Gen. Oblig. Participating VRDN: | |||
Series Putters 4007, 0.17% 12/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(c) | 2,000,000 | 2,000,000 | |
Series ROC II R 11910, 0.16% 12/7/12 (Liquidity Facility Citibank NA) (a)(c) | 2,630,000 | 2,630,000 | |
| 4,630,000 | ||
Idaho - 0.7% | |||
Idaho Hsg. & Fin. Assoc. Single Family Mtg.: | |||
Series 2001 A, 0.18% 12/7/12 (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac), VRDN (a)(b) | 2,300,000 | 2,300,000 | |
Series 2002 A, 0.18% 12/7/12 (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac), VRDN (a)(b) | 7,090,000 | 7,090,000 | |
Series 2002 B1, 0.18% 12/7/12 (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac), VRDN (a)(b) | 6,160,000 | 6,160,000 | |
Series 2002 E, 0.18% 12/7/12 (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac), VRDN (a)(b) | 7,480,000 | 7,480,000 | |
Series 2003 C, 0.18% 12/7/12 (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac), VRDN (a)(b) | 5,810,000 | 5,810,000 | |
Series C Class 1, 0.18% 12/7/12 (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac), VRDN (a)(b) | 7,820,000 | 7,820,000 | |
Series C, 0.18% 12/7/12 (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac), VRDN (a) | 965,000 | 965,000 | |
| 37,625,000 | ||
Variable Rate Demand Note - continued | |||
Principal Amount | Value | ||
Illinois - 5.9% | |||
Carol Stream Multi-family Rev. (Saint Charles Square Proj.) Series 1997, 0.19% 12/7/12, LOC Fannie Mae, VRDN (a)(b) | $ 1,315,000 | $ 1,315,000 | |
Chicago Board of Ed.: | |||
Series 2009 B, 0.18% 12/3/12, LOC JPMorgan Chase Bank, VRDN (a) | 12,900,000 | 12,900,000 | |
Series 2010 A, 0.18% 12/3/12, LOC JPMorgan Chase Bank, VRDN (a) | 2,840,000 | 2,840,000 | |
Chicago Gen. Oblig. Series 2007 F, 0.18% 12/3/12, LOC JPMorgan Chase Bank, VRDN (a) | 30,535,000 | 30,535,000 | |
Chicago Midway Arpt. Rev.: | |||
Series 1998 A, 0.2% 12/3/12, LOC JPMorgan Chase Bank, VRDN (a)(b) | 63,225,000 | 63,225,000 | |
Series 1998 B, 0.2% 12/3/12, LOC JPMorgan Chase Bank, VRDN (a)(b) | 53,900,000 | 53,900,000 | |
Chicago Wtr. Rev. Series 2004 A2, 0.17% 12/7/12, LOC California Pub. Employees Retirement Sys., VRDN (a) | 2,485,000 | 2,485,000 | |
Illinois Fin. Auth. Rev.: | |||
(Chicago Symphony Orchestra Proj.) Series 2008, 0.17% 12/7/12, LOC U.S. Bank NA, Cincinnati, VRDN (a) | 5,425,000 | 5,425,000 | |
(Illinois College Proj.) 0.17% 12/7/12, LOC U.S. Bank NA, Cincinnati, VRDN (a) | 6,780,000 | 6,780,000 | |
(Provena Health Proj.) Series 2010 D, 0.17% 12/7/12, LOC Union Bank of California, VRDN (a) | 11,165,000 | 11,165,000 | |
(Rush Univ. Med. Ctr. Proj.) Series 2008 A, 0.17% 12/7/12, LOC Northern Trust Co., VRDN (a) | 2,500,000 | 2,500,000 | |
(The Carle Foundation Proj.) Series 2009 B, 0.14% 12/7/12, LOC Northern Trust Co., VRDN (a) | 10,125,000 | 10,125,000 | |
Participating VRDN Series WF 12 2C, 0.19% 12/7/12 (Liquidity Facility Wells Fargo Bank NA) (a)(c) | 9,065,000 | 9,065,000 | |
Illinois Fin. Auth. Solid Waste Rev. (Air Products & Chemicals, Inc. Proj.) Series 2005, 0.17% 12/3/12, VRDN (a)(b) | 8,900,000 | 8,900,000 | |
Illinois Health Facilities Auth. Rev. (Memorial Health Sys. Proj.) Series 2003, 0.19% 12/3/12, LOC JPMorgan Chase Bank, VRDN (a) | 12,700,000 | 12,700,000 | |
Metropolitan Pier & Exposition Participating VRDN: | |||
Series MS 3214, 0.17% 12/7/12 (Liquidity Facility Cr. Suisse) (a)(c) | 2,400,000 | 2,400,000 | |
Series MS 3215, 0.22% 12/7/12 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c) | 8,300,000 | 8,300,000 | |
Romeoville Gen. Oblig. Rev. (Lewis Univ. Proj.) Series 2006, 0.19% 12/3/12, LOC Wells Fargo Bank NA, VRDN (a) | 30,200,000 | 30,200,000 | |
Variable Rate Demand Note - continued | |||
Principal Amount | Value | ||
Illinois - continued | |||
Will County Envir. Facilities Rev. (ExxonMobil Corp. Proj.) Series 2001, 0.18% 12/3/12 (Exxon Mobil Corp. Guaranteed), VRDN (a)(b) | $ 19,585,000 | $ 19,585,000 | |
Will County Exempt Facilities Rev. (ExxonMobil Corp. Proj.) Series 2001, 0.18% 12/3/12 (Exxon Mobil Corp. Guaranteed), VRDN (a)(b) | 26,815,000 | 26,815,000 | |
| 321,160,000 | ||
Indiana - 0.7% | |||
Indiana Fin. Auth. Hosp. Rev. (Parkview Health Sys. Oblig. Group Proj.) Series 2009 D, 0.16% 12/7/12, LOC Wells Fargo Bank NA, VRDN (a) | 35,500,000 | 35,500,000 | |
Indiana Health Facility Fing. Auth. Rev. (Fayette Memorial Hosp. Assoc. Proj.) Series B, 0.19% 12/3/12, LOC U.S. Bank NA, Cincinnati, VRDN (a) | 5,040,000 | 5,040,000 | |
| 40,540,000 | ||
Iowa - 0.6% | |||
Iowa Fin. Auth. Health Facilities Rev. (Iowa Health Sys. Proj.): | |||
Series 2009 A, 0.18% 12/3/12, LOC JPMorgan Chase Bank, VRDN (a) | 5,550,000 | 5,550,000 | |
Series 2009 B, 0.18% 12/3/12, LOC JPMorgan Chase Bank, VRDN (a) | 3,110,000 | 3,110,000 | |
Iowa Fin. Auth. Solid Disp. Waste Rev. (MidAmerican Energy Proj.) Series 2008 A, 0.22% 12/7/12, VRDN (a)(b) | 12,000,000 | 12,000,000 | |
Iowa Higher Ed. Ln. Auth. Rev. (Saint Ambrose Univ. Proj.) 0.19% 12/3/12, LOC Northern Trust Co., VRDN (a) | 10,490,000 | 10,490,000 | |
| 31,150,000 | ||
Kansas - 0.3% | |||
Chanute Indl. Dev. Rev. (Ash Grove Cement Co. Proj.) Series 2002, 0.22% 12/7/12, LOC Bank of America NA, VRDN (a)(b) | 7,000,000 | 7,000,000 | |
Lenexa Multi-family Hsg. Rev. (Heather Glen Apts. Proj.) Series 2007, 0.18% 12/7/12, LOC U.S. Bank NA, Cincinnati, VRDN (a)(b) | 9,430,000 | 9,430,000 | |
| 16,430,000 | ||
Kentucky - 3.2% | |||
Boyd County Sewage & Solid Waste Rev. (Air Products and Chemicals, Inc. Proj.) Series 2003, 0.18% 12/7/12, VRDN (a)(b) | 3,775,000 | 3,775,000 | |
Carroll County Envir. Facilities Rev. (Kentucky Utils. Co. Proj.): | |||
Series 2004 A, 0.18% 12/7/12, LOC Sumitomo Mitsui Banking Corp., VRDN (a)(b) | 10,000,000 | 10,000,000 | |
Variable Rate Demand Note - continued | |||
Principal Amount | Value | ||
Kentucky - continued | |||
Carroll County Envir. Facilities Rev. (Kentucky Utils. Co. Proj.): - continued | |||
Series 2006 B, 0.18% 12/7/12, LOC Sumitomo Mitsui Banking Corp., VRDN (a)(b) | $ 4,000,000 | $ 4,000,000 | |
Daviess County Exempt Facilities Rev. (Kimberly-Clark Tissue Co. Proj.) Series 1999, 0.2% 12/7/12 (Kimberly-Clark Corp. Guaranteed), VRDN (a)(b) | 3,000,000 | 3,000,000 | |
Daviess County Solid Waste Disp. Facilities Rev. (Scott Paper Co. Proj.): | |||
Series 1993 A, 0.2% 12/7/12 (Kimberly-Clark Corp. Guaranteed), VRDN (a)(b) | 2,750,000 | 2,750,000 | |
Series 1993 B, 0.2% 12/7/12 (Kimberly-Clark Corp. Guaranteed), VRDN (a)(b) | 2,300,000 | 2,300,000 | |
Elizabethtown Indl. Bldg. Rev. (Altec Industries, Inc. Proj.) Series 1997, 0.25% 12/7/12, LOC Wells Fargo Bank NA, VRDN (a)(b) | 3,000,000 | 3,000,000 | |
Louisville & Jefferson County Series 2011 B, 0.18% 12/3/12, LOC JPMorgan Chase Bank, VRDN (a) | 12,600,000 | 12,600,000 | |
Louisville & Jefferson County Reg'l. Arpt. Auth. Spl. Facilities Rev. (UPS Worldwide Forwarding, Inc. Proj.): | |||
Series 1999 A, 0.18% 12/3/12 (United Parcel Svc. of America Guaranteed), VRDN (a)(b) | 57,700,000 | 57,700,000 | |
Series 1999 B, 0.2% 12/3/12 (United Parcel Svc. of America Guaranteed), VRDN (a)(b) | 31,200,000 | 31,200,000 | |
Series 1999 C, 0.16% 12/3/12 (United Parcel Svc. of America Guaranteed), VRDN (a)(b) | 42,500,000 | 42,500,000 | |
| 172,825,000 | ||
Louisiana - 4.1% | |||
East Baton Rouge Poll. Cont. Rev. (Exxon Proj.) Series 1993, 0.16% 12/3/12, VRDN (a) | 59,225,000 | 59,225,000 | |
Louisiana Gas & Fuel Tax Rev. Participating VRDN Series Solar 06 150, 0.16% 12/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c) | 20,380,000 | 20,380,000 | |
Louisiana Pub. Facilities Auth. Hosp. Rev. (Franciscan Missionaries of Our Lady Health Sys. Proj.) Series 2005 D, 0.18% 12/3/12, LOC U.S. Bank NA, Cincinnati, VRDN (a) | 3,265,000 | 3,265,000 | |
Louisiana Pub. Facilities Auth. Rev. (Air Products & Chemicals, Inc. Proj.): | |||
Series 2002, 0.18% 12/7/12, VRDN (a)(b) | 3,000,000 | 3,000,000 | |
Series 2004, 0.17% 12/7/12, VRDN (a) | 6,400,000 | 6,400,000 | |
Series 2007 A, 0.17% 12/3/12, VRDN (a) | 19,700,000 | 19,700,000 | |
Variable Rate Demand Note - continued | |||
Principal Amount | Value | ||
Louisiana - continued | |||
Saint Charles Parish Poll. Cont. Rev.: | |||
(Shell Oil Co. Proj.): | |||
Series 1992 A, 0.2% 12/3/12, VRDN (a)(b) | $ 28,000,000 | $ 28,000,000 | |
Series 1992 B, 0.18% 12/3/12, VRDN (a) | 8,850,000 | 8,850,000 | |
(Shell Oil Co.-Norco Proj.): | |||
Series 1991, 0.17% 12/3/12, VRDN (a)(b) | 20,000,000 | 20,000,000 | |
Series 1993, 0.2% 12/3/12, VRDN (a)(b) | 22,000,000 | 22,000,000 | |
Saint James Parish Gen. Oblig.: | |||
(Nucor Steel Louisiana LLC Proj.) Series 2010 B1, 0.4% 12/7/12, VRDN (a) | 2,000,000 | 2,000,000 | |
(NuStar Logistics L.P. Proj.) Series 2010, 0.18% 12/7/12, LOC Mizuho Corporate Bank Ltd., VRDN (a) | 25,000,000 | 25,000,000 | |
(NuStar Logistics, L.P. Proj.) Series 2011, 0.19% 12/7/12, LOC Wells Fargo Bank NA, VRDN (a) | 5,000,000 | 5,000,000 | |
| 222,820,000 | ||
Maine - 0.1% | |||
Old Town ME Solid Waste Disp. (Georgia-Pacific Corp. Proj.) 0.18% 12/7/12, LOC Bank of Nova Scotia New York Branch, VRDN (a)(b) | 5,000,000 | 5,000,000 | |
Maryland - 0.4% | |||
Maryland Gen. Oblig. Participating VRDN Series Putters 4050, 0.18% 12/3/12 (Liquidity Facility JPMorgan Chase & Co.) (a)(c) | 4,605,000 | 4,605,000 | |
Maryland Health & Higher Edl. Facilities Auth. Rev. Participating VRDN Series RBC O 29, 0.16% 12/7/12 (Liquidity Facility Royal Bank of Canada) (a)(c) | 4,505,000 | 4,505,000 | |
Maryland Trans. Auth. Trans. Facility Projects Rev. Participating VRDN Series ROC II R 11437, 0.17% 12/7/12 (Liquidity Facility Citibank NA) (a)(c) | 3,000,000 | 3,000,000 | |
Montgomery County Hsg. Opportunities Commission Multi-family Hsg. Rev. Series 2004 D, 0.17% 12/7/12, LOC TD Banknorth, NA, VRDN (a)(b) | 12,390,000 | 12,390,000 | |
| 24,500,000 | ||
Massachusetts - 0.1% | |||
Massachusetts Gen. Oblig. Participating VRDN Series Clipper 07 41, 0.19% 12/7/12 (Liquidity Facility State Street Bank & Trust Co., Boston) (a)(c) | 2,000,000 | 2,000,000 | |
Massachusetts School Bldg. Auth. Dedicated Sales Tax Rev. Participating VRDN Series MS 30911, 0.22% 12/7/12 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c) | 4,035,000 | 4,035,000 | |
| 6,035,000 | ||
Variable Rate Demand Note - continued | |||
Principal Amount | Value | ||
Michigan - 1.2% | |||
Farmington Hills Hosp. Fin. Auth. Hosp. Rev. (Botsford Gen. Hosp. Proj.) Series 2008 A, 0.19% 12/3/12, LOC U.S. Bank NA, Cincinnati, VRDN (a) | $ 7,100,000 | $ 7,100,000 | |
Kent Hosp. Fin. Auth. Hosp. Facilities Rev. (Spectrum Health Sys. Proj.) Series 2008 B3, 0.15% 12/7/12 (Liquidity Facility Wells Fargo Bank NA), VRDN (a) | 16,100,000 | 16,100,000 | |
Michigan Hosp. Fin. Auth. Rev. Participating VRDN Series MS 3244, 0.22% 12/1/12 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c) | 12,455,000 | 12,455,000 | |
Michigan Hsg. Dev. Auth. Single Family Mtg. Rev. Series 2007 B, 0.18% 12/7/12 (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac), VRDN (a)(b) | 10,000,000 | 10,000,000 | |
Michigan Strategic Fund Ltd. Oblig. Rev.: | |||
(Air Products and Chemicals, Inc. Proj.) Series 2007 V1, 0.17% 12/3/12, VRDN (a) | 4,700,000 | 4,700,000 | |
(Majestic Ind., Inc. Proj.) 0.26% 12/7/12, LOC Comerica Bank, VRDN (a)(b) | 1,200,000 | 1,200,000 | |
Wayne County Arpt. Auth. Rev. 0.16% 12/7/12, LOC PNC Bank NA, VRDN (a)(b) | 12,000,000 | 12,000,000 | |
| 63,555,000 | ||
Minnesota - 0.3% | |||
Eagan Multi-family Rev. (Thomas Lake Place Apts. Proj.) Series 2003 A1, 0.21% 12/7/12, LOC Fannie Mae, VRDN (a)(b) | 4,425,000 | 4,425,000 | |
Hennepin County Hsg. & Redev. Auth. Multi-family Rev. (Stone Arch Apts. Proj.) 0.22% 12/7/12, LOC Fannie Mae, VRDN (a)(b) | 1,400,000 | 1,400,000 | |
Minnesota Gen. Oblig. Participating VRDN Series WF 11 110C, 0.19% 12/7/12 (Liquidity Facility Wells Fargo Bank NA) (a)(c) | 9,415,000 | 9,415,000 | |
Plymouth Multi-family Hsg. Rev. (Hbr. Lane Apts. Proj.) Series 2003, 0.22% 12/7/12, LOC Fannie Mae, VRDN (a)(b) | 1,850,000 | 1,850,000 | |
| 17,090,000 | ||
Mississippi - 1.8% | |||
Jackson County Indl. Sewage Facilities Rev. (Chevron U.S.A., Inc. Proj.) Series 1994, 0.2% 12/3/12, VRDN (a)(b) | 18,100,000 | 18,100,000 | |
Jackson County Poll. Cont. Rev. (Chevron U.S.A., Inc. Proj.) Series 1993 0.18% 12/3/12, VRDN (a) | 36,020,000 | 36,020,000 | |
Variable Rate Demand Note - continued | |||
Principal Amount | Value | ||
Mississippi - continued | |||
Jackson County Port Facilities Rev. (Chevron U.S.A., Inc. Proj.) Series 1993, 0.17% 12/3/12, VRDN (a) | $ 24,400,000 | $ 24,400,000 | |
Mississippi Bus. Fin. Corp. (Chevron U.S.A., Inc. Proj.) Series 2007 A, 0.16% 12/3/12 (Chevron Corp. Guaranteed), VRDN (a) | 20,000,000 | 20,000,000 | |
| 98,520,000 | ||
Missouri - 1.4% | |||
Kansas City Indl. Dev. Auth. (Ewing Marion Kauffman Foundation Prog.) 0.19% 12/3/12, VRDN (a) | 5,860,000 | 5,860,000 | |
Missouri Dev. Fin. Board Lease Rev. (Missouri Assoc. of Muni. Utils. Proj.) 0.19% 12/3/12, LOC U.S. Bank NA, Cincinnati, VRDN (a) | 9,305,000 | 9,305,000 | |
Missouri Health & Edl. Facilities Auth. Edl. Facilities Rev.: | |||
(Saint Louis Univ. Proj.) Series 2008 B1, 0.2% 12/3/12, LOC Bank of America NA, VRDN (a) | 13,310,000 | 13,310,000 | |
Series 2011 B, 0.2% 12/3/12, LOC Bank of America NA, VRDN (a) | 4,545,000 | 4,545,000 | |
Series 2012, 0.17% 12/3/12, LOC PNC Bank NA, VRDN (a) | 8,700,000 | 8,700,000 | |
Missouri Health & Edl. Facilities Auth. Health Facilities Rev. (SSM Health Care Proj.) Series 2010 E, 0.16% 12/3/12, LOC PNC Bank NA, VRDN (a) | 37,700,000 | 37,700,000 | |
| 79,420,000 | ||
Montana - 0.1% | |||
Helena Higher Ed. Rev. (Carroll College Campus Hsg. Proj.) 0.19% 12/3/12, LOC U.S. Bank NA, Cincinnati, VRDN (a) | 2,715,000 | 2,715,000 | |
Montana Board Invt. Resource Recovery Rev. (Colstrip Proj.) Series 1989, 0.18% 12/7/12, LOC Union Bank of California, VRDN (a)(b) | 5,100,000 | 5,100,000 | |
| 7,815,000 | ||
Nebraska - 0.3% | |||
Central Plains Energy Proj. Rev. (Nebraska Gas Proj.) Series 2009, 0.16% 12/7/12 (Liquidity Facility Royal Bank of Canada), VRDN (a) | 7,200,000 | 7,200,000 | |
Stanton County Indl. Dev. Rev. (Nucor Corp. Proj.) Series 1996, 0.45% 12/7/12, VRDN (a)(b) | 2,200,000 | 2,200,000 | |
Washington County Indl. Dev. Rev. (Cargill Dow Polymers LLC Proj.) Series 2000, 0.16% 12/7/12 (Cargill, Inc. Guaranteed) (The Dow Chemical Co. Guaranteed), LOC Wells Fargo Bank NA, VRDN (a)(b) | 4,600,000 | 4,600,000 | |
| 14,000,000 | ||
Variable Rate Demand Note - continued | |||
Principal Amount | Value | ||
Nevada - 1.1% | |||
Clark County Arpt. Rev.: | |||
Series 2008 D1, 0.17% 12/7/12, LOC Citibank NA, VRDN (a) | $ 10,020,000 | $ 10,020,000 | |
Series 2011 B1, 0.18% 12/7/12, LOC Citibank NA, VRDN (a)(b) | 11,300,000 | 11,300,000 | |
Series 2011 B2, 0.18% 12/7/12, LOC Royal Bank of Canada, VRDN (a)(b) | 7,200,000 | 7,200,000 | |
Clark County Indl. Dev. Rev. (Southwest Gas Corp. Proj.) Series 2003 A, 0.22% 12/7/12, LOC JPMorgan Chase Bank, VRDN (a)(b) | 2,800,000 | 2,800,000 | |
Clark County McCarran Int'l. Arpt. Passenger Facility Charge Rev. Series 2010 F2, 0.16% 12/7/12, LOC Union Bank of California, VRDN (a) | 11,500,000 | 11,500,000 | |
Nevada Dept. of Bus. & Industry (LVE Energy Partners LLC Proj.) 0.17% 12/7/12, LOC Sumitomo Mitsui Banking Corp., VRDN (a)(b) | 16,095,000 | 16,095,000 | |
| 58,915,000 | ||
New Hampshire - 0.2% | |||
Manchester Arpt. Rev. Series 2008, 0.21% 12/7/12, LOC RBS Citizens NA, VRDN (a)(b) | 7,000,000 | 7,000,000 | |
New Hampshire Bus. Fin. Auth. Resource Recovery Rev. (Wheelabrator Concord Co. LP Proj.) Series 1997 B, 0.37% 12/7/12, LOC Wells Fargo Bank NA, VRDN (a)(b) | 4,925,000 | 4,925,000 | |
| 11,925,000 | ||
New Jersey - 0.2% | |||
New Jersey Health Care Facilities Fing. Auth. Rev. (Virtua Health Proj.) Series 2009 B, 0.18% 12/3/12, LOC JPMorgan Chase Bank, VRDN (a) | 11,200,000 | 11,200,000 | |
Salem County Poll. Cont. Fin. Auth. Rev. (Pub. Svc. Elec. and Gas Co. Proj.) Series 2012 A, 0.42% 12/7/12, VRDN (a)(b) | 2,500,000 | 2,500,000 | |
| 13,700,000 | ||
New Mexico - 0.4% | |||
New Mexico Muni. Energy Acquisition Auth. Gas Supply Rev. Series 2009, 0.16% 12/7/12 (Liquidity Facility Royal Bank of Canada), VRDN (a) | 24,275,000 | 24,275,000 | |
New York - 14.0% | |||
Dutchess County Indl. Dev. Agcy. Civic Facility Rev. (Lutheran Ctr. at Poughkeepsie, Inc. Proj.) 0.3% 12/7/12, LOC KeyBank NA, VRDN (a) | 500,000 | 500,000 | |
Variable Rate Demand Note - continued | |||
Principal Amount | Value | ||
New York - continued | |||
New York City Gen. Oblig.: | |||
Participating VRDN Series Putters 4075, 0.18% 12/3/12 (Liquidity Facility JPMorgan Chase & Co.) (a)(c) | $ 7,970,000 | $ 7,970,000 | |
Series 1994 A10, 0.17% 12/3/12, LOC JPMorgan Chase Bank, VRDN (a) | 2,300,000 | 2,300,000 | |
Series 2006 E2, 0.18% 12/3/12, LOC Bank of America NA, VRDN (a) | 46,180,000 | 46,180,000 | |
Series 2006 I5, 0.18% 12/3/12, LOC California Pub. Employees Retirement Sys., VRDN (a) | 3,925,000 | 3,925,000 | |
Series 2006 I6, 0.18% 12/3/12, LOC California Teachers Retirement Sys., VRDN (a) | 3,775,000 | 3,775,000 | |
Series 2006 I8, 0.17% 12/3/12 (Liquidity Facility State Street Bank & Trust Co., Boston), VRDN (a) | 9,700,000 | 9,700,000 | |
Series 2008 J4, 0.18% 12/3/12 (Liquidity Facility Bank of America NA), VRDN (a) | 42,800,000 | 42,800,000 | |
Series 2008 L4, 0.16% 12/3/12 (Liquidity Facility U.S. Bank NA, Cincinnati), VRDN (a) | 11,550,000 | 11,550,000 | |
Series 2012 G, 0.15% 12/3/12 (Liquidity Facility PNC Bank NA), VRDN (a) | 14,010,000 | 14,010,000 | |
Series 2012 G6, 0.18% 12/3/12 (Liquidity Facility Mizuho Corporate Bank Ltd.), VRDN (a) | 30,540,000 | 30,540,000 | |
Series 2013 A2, 0.17% 12/3/12 (Liquidity Facility Mizuho Corp. Bank Ltd. Branch), VRDN (a) | 19,700,000 | 19,700,000 | |
New York City Hsg. Dev. Corp. Multi-family Mtg. Rev.: | |||
(Brookhaven Apts. Proj.) Series A, 0.17% 12/7/12, LOC Citibank NA, VRDN (a)(b) | 3,300,000 | 3,300,000 | |
(Granite Terrace Apts. Proj.) Series A, 0.2% 12/7/12, LOC Citibank NA, VRDN (a)(b) | 4,060,000 | 4,060,000 | |
(Spring Creek Hsg. Proj.) Series 2006 A, 0.16% 12/7/12, LOC Freddie Mac, VRDN (a)(b) | 3,000,000 | 3,000,000 | |
New York City Hsg. Dev. Corp. Multi-family Rental Hsg. Rev.: | |||
(Brittany Dev. Proj.) Series A, 0.16% 12/7/12, LOC Fannie Mae, VRDN (a)(b) | 8,000,000 | 8,000,000 | |
(Related-Tribeca Tower Proj.) Series 1997 A, 0.17% 12/7/12, LOC Fannie Mae, VRDN (a)(b) | 40,000,000 | 40,000,000 | |
(Rivereast Apts. Proj.) Series A, 0.17% 12/7/12, LOC Freddie Mac, VRDN (a)(b) | 25,850,000 | 25,850,000 | |
(West 43rd Street Proj.) Series 1999 A, 0.16% 12/7/12, LOC Fannie Mae, VRDN (a)(b) | 5,000,000 | 5,000,000 | |
New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev.: | |||
Participating VRDN: | |||
Series putters 3231Z, 0.18% 12/3/12 (Liquidity Facility JPMorgan Chase Bank) (a)(c) | 7,175,000 | 7,175,000 | |
Variable Rate Demand Note - continued | |||
Principal Amount | Value | ||
New York - continued | |||
New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev.: - continued | |||
Participating VRDN: | |||
Series putters 4077, 0.18% 12/3/12 (Liquidity Facility JPMorgan Chase & Co.) (a)(c) | $ 17,100,000 | $ 17,100,000 | |
Series 2006 AA, 0.18% 12/3/12 (Liquidity Facility State Street Bank & Trust Co., Boston), VRDN (a) | 9,150,000 | 9,150,000 | |
Series 2006 AA-1B, 0.18% 12/3/12 (Liquidity Facility California Teachers Retirement Sys.), VRDN (a) | 3,850,000 | 3,850,000 | |
Series 2011 DD-3A, 0.16% 12/3/12 (Liquidity Facility U.S. Bank NA, Cincinnati), VRDN (a) | 19,820,000 | 19,820,000 | |
Series 2011 DD-3B, 0.16% 12/3/12 (Liquidity Facility California Teachers Retirement Sys.), VRDN (a) | 6,300,000 | 6,300,000 | |
Series 2012 B, 0.17% 12/3/12 (Liquidity Facility U.S. Bank NA, Cincinnati), VRDN (a) | 16,200,000 | 16,200,000 | |
Series 2012 B2, 0.17% 12/3/12 (Liquidity Facility California Pub. Employees Retirement Sys.), VRDN (a) | 21,875,000 | 21,875,000 | |
Series 2012 B3, 0.17% 12/3/12 (Liquidity Facility State Street Bank & Trust Co., Boston), VRDN (a) | 10,200,000 | 10,200,000 | |
Series 2013 AA-1, 0.15% 12/3/12 (Liquidity Facility PNC Bank NA), VRDN (a) | 44,000,000 | 44,000,000 | |
Series FF, 0.18% 12/3/12 (Liquidity Facility Bank of America NA), VRDN (a) | 6,700,000 | 6,700,000 | |
New York City Transitional Fin. Auth. Rev.: | |||
Participating VRDN Series ROC II R 11903, 0.16% 12/7/12 (Liquidity Facility Citibank NA) (a)(c) | 2,560,000 | 2,560,000 | |
Series 2013 A5, 0.16% 12/3/12 (Liquidity Facility U.S. Bank NA, Cincinnati), VRDN (a) | 6,600,000 | 6,600,000 | |
Series 2013 A6, 0.16% 12/3/12 (Liquidity Facility California Teachers Retirement Sys.), VRDN (a) | 44,500,000 | 44,500,000 | |
Series C, 0.19% 12/3/12 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah), VRDN (a) | 66,750,000 | 66,750,000 | |
New York City Trust Cultural Resources Rev. (Lincoln Ctr. for the Performing Arts, Inc. Proj.) Series 2008 A1, 0.2% 12/3/12, LOC JPMorgan Chase Bank, VRDN (a) | 9,010,000 | 9,010,000 | |
New York Dorm. Auth. Revs.: | |||
Participating VRDN: | |||
Series EGL 07 0002, 0.16% 12/7/12 (Liquidity Facility Citibank NA) (a)(c) | 12,000,000 | 12,000,000 | |
Series EGL 07 0066, 0.16% 12/7/12 (Liquidity Facility Citibank NA) (a)(c) | 15,000,000 | 15,000,000 | |
Series ROC II R 11535, 0.16% 12/7/12 (Liquidity Facility Citibank NA) (a)(c) | 1,140,000 | 1,140,000 | |
Series 2006 A2, 0.18% 12/7/12, LOC TD Banknorth, NA, VRDN (a) | 6,800,000 | 6,800,000 | |
Variable Rate Demand Note - continued | |||
Principal Amount | Value | ||
New York - continued | |||
New York Hsg. Fin. Agcy. Rev.: | |||
(150 East 44th Street Hsg. Proj.): | |||
Series 2000 A, 0.16% 12/7/12, LOC Fannie Mae, VRDN (a)(b) | $ 3,000,000 | $ 3,000,000 | |
Series 2001 A, 0.16% 12/7/12, LOC Fannie Mae, VRDN (a)(b) | 4,500,000 | 4,500,000 | |
(55 West 25th Street Hsg. Proj.) Series 2005 A, 0.16% 12/7/12, LOC Fannie Mae, VRDN (a)(b) | 3,000,000 | 3,000,000 | |
(Parkledge Apts. Hsg. Proj.) Series A, 0.19% 12/7/12, LOC Freddie Mac, VRDN (a)(b) | 8,700,000 | 8,700,000 | |
(West 33rd Street Hsg. Proj.) Series 2003 A, 0.16% 12/7/12, LOC Fannie Mae, VRDN (a)(b) | 8,700,000 | 8,700,000 | |
Series 2004 A, 0.17% 12/7/12, LOC Fannie Mae, VRDN (a)(b) | 28,800,000 | 28,800,000 | |
New York Hsg. Fin. Svc. Contract Rev. Series 2003 L, 0.16% 12/7/12, LOC Bank of America NA, VRDN (a) | 10,200,000 | 10,200,000 | |
New York Metropolitan Trans. Auth. Dedicated Tax Fund Rev. Series 2008 A1, 0.15% 12/7/12, LOC Morgan Stanley Bank, West Valley City Utah, VRDN (a) | 37,210,000 | 37,210,000 | |
New York State Energy Research & Dev. Auth. Facilities Rev. (Consolidated Edison Co. of New York, Inc. Proj.) Series 2004 C2, 0.16% 12/7/12, LOC Mizuho Corporate Bank Ltd., VRDN (a)(b) | 19,000,000 | 19,000,000 | |
New York Urban Dev. Corp. Rev. Series 2008 A1, 0.16% 12/7/12, LOC Wells Fargo Bank NA, VRDN (a) | 21,675,000 | 21,675,000 | |
Triborough Bridge & Tunnel Auth. Revs.: | |||
Series 2005 A1, 0.16% 12/3/12, LOC California Pub. Employees Retirement Sys., VRDN (a) | 4,450,000 | 4,450,000 | |
Series 2005 B2 B, 0.16% 12/3/12, LOC California Teachers Retirement Sys., VRDN (a) | 5,870,000 | 5,870,000 | |
| 763,995,000 | ||
New York & New Jersey - 0.4% | |||
Port Auth. of New York & New Jersey Participating VRDN: | |||
Series Putters 4216, 0.18% 12/3/12 (Liquidity Facility JPMorgan Chase Bank) (a)(c) | 6,575,000 | 6,575,000 | |
Series Putters 4217, 0.18% 12/3/12 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | 17,920,000 | 17,920,000 | |
| 24,495,000 | ||
Variable Rate Demand Note - continued | |||
Principal Amount | Value | ||
North Carolina - 0.6% | |||
North Carolina Med. Care Commission Health Care Facilities Rev.: | |||
(WakeMed Proj.) Series 2009 B, 0.18% 12/7/12, LOC Wells Fargo Bank NA, VRDN (a) | $ 25,800,000 | $ 25,800,000 | |
Participating VRDN Series RBC O 39, 0.16% 12/7/12 (Liquidity Facility Royal Bank of Canada) (a)(c) | 3,365,000 | 3,365,000 | |
Rockingham County Indl. Facilities & Poll. Cont. Fing. Auth. Rev. (Pine Brick Co., Inc. Proj.) Series 2000, 0.25% 12/7/12, LOC Branch Banking & Trust Co., VRDN (a)(b) | 2,250,000 | 2,250,000 | |
| 31,415,000 | ||
Ohio - 1.2% | |||
Allen County Hosp. Facilities Rev. (Catholic Healthcare Partners Proj.): | |||
Series 2008 A, 0.18% 12/3/12, LOC Bank of America NA, VRDN (a) | 4,000,000 | 4,000,000 | |
Series 2010 C, 0.17% 12/3/12, LOC Union Bank of California, VRDN (a) | 2,200,000 | 2,200,000 | |
Alliance Hosp. Rev. (Alliance Obligated Group Proj.) Series 2003, 0.18% 12/3/12, LOC JPMorgan Chase Bank, VRDN (a) | 7,000,000 | 7,000,000 | |
Ohio Air Quality Dev. Auth. Rev.: | |||
(Cincinnati Gas & Elec. Co. Proj.): | |||
Series A, 0.37% 12/7/12, VRDN (a) | 6,000,000 | 6,000,000 | |
Series B, 0.29% 12/7/12, VRDN (a) | 2,400,000 | 2,400,000 | |
(Dayton Pwr. & Lt. Co. Proj.) Series 2008 A, 0.19% 12/7/12, LOC JPMorgan Chase Bank, VRDN (a)(b) | 1,700,000 | 1,700,000 | |
(FirstEnergy Nuclear Generation Corp. Proj.) Series 2006 B, 0.19% 12/3/12, LOC Wells Fargo Bank NA, VRDN (a) | 4,100,000 | 4,100,000 | |
Ohio Hsg. Fin. Agcy. Mtg. Rev. (Mtg.-Backed Securities Prog.) Series 2005 B1, 0.17% 12/7/12 (Liquidity Facility Fed. Home Ln. Bank, Cincinnati), VRDN (a)(b) | 2,100,000 | 2,100,000 | |
Ohio Hsg. Fin. Agcy. Residential Mtg. Rev. Series 2008 B, 0.18% 12/7/12 (Liquidity Facility Fed. Home Ln. Bank, Cincinnati), VRDN (a)(b) | 35,250,000 | 35,250,000 | |
| 64,750,000 | ||
Variable Rate Demand Note - continued | |||
Principal Amount | Value | ||
Oklahoma - 0.2% | |||
Oklahoma Dev. Fin. Auth. (Duncan Reg'l. Hosp. Proj.) Series 2008, 0.19% 12/3/12, LOC JPMorgan Chase Bank, VRDN (a) | $ 3,000,000 | $ 3,000,000 | |
Oklahoma St. Tpk. Auth. Tpk. Rev. Participating VRDN Series ROC II R 11985 1 0.17% 12/7/12 (Liquidity Facility Citibank NA) (a)(c) | 8,000,000 | 8,000,000 | |
| 11,000,000 | ||
Oregon - 2.2% | |||
Multnomah County Hosp. Facilities Auth. Rev. (Mirabella at South Waterfront Proj.) Series 2008 A, 0.24% 12/3/12, LOC Bank of Scotland PLC, VRDN (a) | 105,980,000 | 105,980,000 | |
Oregon Econ. Dev. Rev. (Cascade Steel Co. Proj.) Series 176, 0.22% 12/7/12, LOC Wells Fargo Bank NA, VRDN (a)(b) | 1,400,000 | 1,400,000 | |
Oregon Gen. Oblig. Participating VRDN Series WF11 57 C, 0.19% 12/7/12 (Liquidity Facility Wells Fargo Bank NA) (a)(c) | 5,905,000 | 5,905,000 | |
Oregon Health and Science Univ. Spl. Rev. Series 2012 C, 0.17% 12/3/12, LOC U.S. Bank NA, Cincinnati, VRDN (a) | 8,615,000 | 8,615,000 | |
| 121,900,000 | ||
Pennsylvania - 3.9% | |||
Allegheny County Hosp. Dev. Auth. Rev. (Jefferson Reg'l. Med. Ctr.) Series 2010 A, 0.17% 12/7/12, LOC PNC Bank NA, VRDN (a) | 8,545,000 | 8,545,000 | |
Allegheny County Indl. Dev. Auth. Rev. (Union Elec. Steel Co. Proj.) Series 1996 A, 0.21% 12/7/12, LOC PNC Bank NA, VRDN (a)(b) | 1,000,000 | 1,000,000 | |
Beaver County Indl. Dev. Auth. Poll. Cont. Rev. (FirstEnergy Nuclear Generation Corp. Proj.): | |||
Series 2006 B, 0.19% 12/3/12, LOC Citibank NA, VRDN (a) | 127,835,000 | 127,835,000 | |
Series 2008 B, 0.17% 12/3/12, LOC Bank of Nova Scotia New York Branch, VRDN (a) | 4,200,000 | 4,200,000 | |
Chester County Intermediate Unit Rev. Series 2003, 0.17% 12/7/12, LOC PNC Bank NA, VRDN (a) | 1,500,000 | 1,500,000 | |
Delaware County Auth. Rev. (White Horse Village Proj.): | |||
Series 2006 A, 0.24% 12/3/12, LOC Citizens Bank of Pennsylvania, VRDN (a) | 2,950,000 | 2,950,000 | |
Series 2008, 0.24% 12/3/12, LOC Citizens Bank of Pennsylvania, VRDN (a) | 4,890,000 | 4,890,000 | |
Harveys Lake Gen. Muni. Auth. (Misericordia Univ. Proj.) 0.17% 12/7/12, LOC PNC Bank NA, VRDN (a) | 8,595,000 | 8,595,000 | |
Variable Rate Demand Note - continued | |||
Principal Amount | Value | ||
Pennsylvania - continued | |||
Lancaster County Hosp. Auth. Health Ctr. Rev. (Masonic Homes Proj.) Series 2008 D, 0.19% 12/3/12, LOC JPMorgan Chase Bank, VRDN (a) | $ 5,300,000 | $ 5,300,000 | |
Montgomery County Redev. Auth. Multi-family Hsg. Rev. (Brookside Manor Apts. Proj.) Series 2001 A, 0.16% 12/7/12, LOC Fannie Mae, VRDN (a) | 4,930,000 | 4,930,000 | |
Pennsylvania Econ. Dev. Fing. Auth. Indl. Dev. Rev. Series 1997 B2, 0.29% 12/7/12, LOC PNC Bank NA, VRDN (a)(b) | 300,000 | 300,000 | |
Pennsylvania Higher Edl. Facilities Auth. Rev. (Holy Family Univ. Proj.) Series 2008, 0.17% 12/7/12, LOC TD Banknorth, NA, VRDN (a) | 2,055,000 | 2,055,000 | |
Philadelphia Auth. for Indl. Dev. Rev. (NewCourtland Elder Svcs. Proj.) Series 2003, 0.16% 12/3/12, LOC PNC Bank NA, VRDN (a) | 5,015,000 | 5,015,000 | |
Philadelphia Auth. Indl. Dev. Lease Rev. Series 2007 B1, 0.17% 12/7/12, LOC JPMorgan Chase Bank, VRDN (a) | 15,000,000 | 15,000,000 | |
Philadelphia Gas Works Rev. (1998 Gen. Ordinance Proj.) Fifth Series A2, 0.17% 12/7/12, LOC JPMorgan Chase Bank, VRDN (a) | 10,400,000 | 10,400,000 | |
Somerset County Gen. Oblig. Series 2009 A, 0.18% 12/7/12, LOC PNC Bank NA, VRDN (a) | 2,440,000 | 2,440,000 | |
Southeastern Pennsylvania Trans. Auth. Rev. Series 2007, 0.16% 12/3/12, LOC PNC Bank NA, VRDN (a) | 6,290,000 | 6,290,000 | |
| 211,245,000 | ||
South Carolina - 1.0% | |||
Charleston County Hosp. Facilities (Care Alliance Health Svcs. Proj.) Series 2004 B2, 0.17% 12/3/12, LOC Wells Fargo Bank NA, VRDN (a) | 14,000,000 | 14,000,000 | |
Darlington County Indl. Dev. Rev. (Nucor Corp. Proj.) Series 2003 A, 0.52% 12/7/12, VRDN (a)(b) | 4,000,000 | 4,000,000 | |
Oconee County Poll. Cont. Rev. (Duke Energy Corp. Proj.) Series 1999 B, 0.25% 12/3/12, VRDN (a)(b) | 7,000,000 | 7,000,000 | |
South Carolina Jobs-Econ. Dev. Auth. Indl. Rev.: | |||
(South Carolina Elec. & Gas Co. Proj.) Series 2008, 0.22% 12/7/12, LOC Branch Banking & Trust Co., VRDN (a)(b) | 6,855,000 | 6,855,000 | |
(South Carolina Generating Co., Inc. Proj.) Series 2008, 0.22% 12/7/12, LOC Branch Banking & Trust Co., VRDN (a)(b) | 5,465,000 | 5,465,000 | |
Variable Rate Demand Note - continued | |||
Principal Amount | Value | ||
South Carolina - continued | |||
South Carolina Pub. Svc. Auth. (Santee Cooper) Rev. Oblig. Participating VRDN Series putters 4227, 0.18% 12/3/12 (Liquidity Facility JPMorgan Chase Bank) (a)(c) | $ 10,000,000 | $ 10,000,000 | |
South Carolina Pub. Svc. Auth. Rev. Participating VRDN Series Putters 4226, 0.18% 12/3/12 (Liquidity Facility JPMorgan Chase Bank) (a)(c) | 7,450,000 | 7,450,000 | |
| 54,770,000 | ||
Tennessee - 3.9% | |||
Blount County Pub. Bldg. Auth. (Local Govt. Pub. Impt. Proj.) Series 2009 E8A, 0.18% 12/7/12, LOC Branch Banking & Trust Co., VRDN (a) | 1,445,000 | 1,445,000 | |
Clarksville Pub. Bldg. Auth. Rev. (Tennessee Muni. Bond Fund Proj.): | |||
Series 2001, 0.21% 12/3/12, LOC Bank of America NA, VRDN (a) | 9,920,000 | 9,920,000 | |
Series 2003, 0.21% 12/3/12, LOC Bank of America NA, VRDN (a) | 24,010,000 | 24,010,000 | |
Series 2004, 0.21% 12/3/12, LOC Bank of America NA, VRDN (a) | 15,600,000 | 15,600,000 | |
Series 2005, 0.21% 12/3/12, LOC Bank of America NA, VRDN (a) | 16,715,000 | 16,715,000 | |
Series 2008, 0.21% 12/3/12, LOC Bank of America NA, VRDN (a) | 37,330,000 | 37,330,000 | |
Montgomery County Pub. Bldg. Auth. Pooled Fing. Rev. (Tennessee County Ln. Pool Prog.): | |||
Series 1999, 0.22% 12/7/12, LOC Bank of America NA, VRDN (a) | 11,695,000 | 11,695,000 | |
Series 2002, 0.21% 12/3/12, LOC Bank of America NA, VRDN (a) | 31,670,000 | 31,670,000 | |
Series 2004, 0.21% 12/3/12, LOC Bank of America NA, VRDN (a) | 26,600,000 | 26,600,000 | |
Series 2006, 0.21% 12/3/12, LOC Bank of America NA, VRDN (a) | 36,055,000 | 36,055,000 | |
| 211,040,000 | ||
Texas - 15.9% | |||
Austin Arpt. Sys. Rev.: | |||
Series 2005 1, 0.19% 12/7/12, LOC JPMorgan Chase Bank, VRDN (a)(b) | 4,700,000 | 4,700,000 | |
Series 2005 4, 0.17% 12/7/12, LOC Royal Bank of Canada New York Branch, VRDN (a)(b) | 6,800,000 | 6,800,000 | |
Variable Rate Demand Note - continued | |||
Principal Amount | Value | ||
Texas - continued | |||
Board of Regents of The Texas A&M Univ. Sys. Permanent Univ. Fund Participating VRDN Series WF 10 53C, 0.19% 12/7/12 (Liquidity Facility Wells Fargo Bank NA) (a)(c) | $ 5,555,000 | $ 5,555,000 | |
Brazos River Auth. Poll. Cont. Rev.: | |||
(Texas Utils. Elec. Co. Proj.) Series 2001 D2, 0.2% 12/3/12, LOC Citibank NA, VRDN (a)(b) | 22,000,000 | 22,000,000 | |
(Texas Utils. Energy Co. Proj.) Series 2002 A, 0.2% 12/3/12, LOC Citibank NA, VRDN (a)(b) | 44,630,000 | 44,630,000 | |
Brazos River Hbr. Navigation District of Brazoria County Envir. Facilities Rev. (Merey Sweeny LP Proj.) Series 2002 A, 0.21% 12/3/12, LOC JPMorgan Chase Bank, VRDN (a)(b) | 12,500,000 | 12,500,000 | |
Brownsville Util. Sys. Rev. Participating VRDN Series Solar 06 68, 0.16% 12/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c) | 6,305,000 | 6,305,000 | |
Calhoun Port Auth. Envir. Facilities Rev. (Formosa Plastics Corp. Texas Proj.) Series 2007 A, 0.18% 12/7/12, LOC PNC Bank NA, VRDN (a)(b) | 2,700,000 | 2,700,000 | |
Converse Hsg. Fin. Corp. Multi-family Hsg. Rev. (Town Square Apts. Proj.) 0.18% 12/7/12, LOC Citibank NA, VRDN (a)(b) | 13,640,000 | 13,640,000 | |
Cypress-Fairbanks Independent School District Participating VRDN Series 86TP, 0.17% 12/7/12 (Liquidity Facility Wells Fargo & Co.) (a)(c) | 6,620,000 | 6,620,000 | |
Dallas Area Rapid Transit Sales Tax Rev. Participating VRDN Series ROC II R 12317, 0.16% 12/7/12 (Liquidity Facility Citibank NA) (a)(c) | 6,400,000 | 6,400,000 | |
Dallas Performing Arts Cultural Facilities Corp. Cultural Facility Rev. (Dallas Ctr. for the Performing Arts Foundation, Inc. Proj.) Series 2008 A, 0.17% 12/3/12, LOC Bank of America NA, VRDN (a) | 52,900,000 | 52,900,000 | |
Dallas/Fort Worth Int'l. Arpt. Facility Impt. Corp. Rev. (United Parcel Svc., Inc. Proj.) Series 2002, 0.16% 12/3/12, VRDN (a)(b) | 25,550,000 | 25,550,000 | |
Gulf Coast Waste Disp. Auth. Envir. Facilities Rev.: | |||
(Air Products Proj.): | |||
Series 2004, 0.15% 12/7/12 (Air Products & Chemicals, Inc. Guaranteed), VRDN (a) | 8,700,000 | 8,700,000 | |
Series 2005, 0.15% 12/7/12 (Air Products & Chemicals, Inc. Guaranteed), VRDN (a) | 10,300,000 | 10,300,000 | |
(Exxon Mobil Proj.) Series 2000, 0.18% 12/3/12 (Exxon Mobil Corp. Guaranteed), VRDN (a)(b) | 5,000,000 | 5,000,000 | |
Harris County Cultural Ed. Facilities Fin. Corp. Rev. (YMCA of the Greater Houston Area Proj.) Series 2008 A, 0.18% 12/3/12, LOC JPMorgan Chase Bank, VRDN (a) | 28,415,000 | 28,415,000 | |
Variable Rate Demand Note - continued | |||
Principal Amount | Value | ||
Texas - continued | |||
Harris County Health Facilities Dev. Corp. Rev. Participating VRDN Series putters 3746 Z, 0.18% 12/3/12 (Liquidity Facility JPMorgan Chase Bank) (a)(c) | $ 2,485,000 | $ 2,485,000 | |
Harris County Hsg. Fin. Corp. Multi-family Hsg. Rev. (Lafayette Village Apts. Proj.) Series 2006, 0.18% 12/7/12, LOC Fannie Mae, VRDN (a)(b) | 6,800,000 | 6,800,000 | |
Harris County Indl. Dev. Corp. (HFOTCO LLC Proj.) Series 2012, 0.18% 12/7/12, LOC Bank of America NA, VRDN (a) | 8,500,000 | 8,500,000 | |
Harris County Indl. Dev. Corp. Solid Waste Disp. Rev. (Deer Park Refining Ltd. Partnership Proj.) Series 2002, 0.2% 12/3/12, VRDN (a)(b) | 124,700,000 | 124,700,000 | |
Harris County Tex Metropolitan Tran Auth. Participating VRDN Series RBC O 5, 0.16% 12/7/12 (Liquidity Facility Royal Bank of Canada) (a)(c) | 4,000,000 | 4,000,000 | |
Houston Higher Ed. Fin. Corp. Higher Ed. Rev. (Rice Univ. Proj.) Series 2008 A, 0.17% 12/3/12, VRDN (a) | 8,800,000 | 8,800,000 | |
Houston Util. Sys. Rev. Participating VRDN: | |||
Series ROC II R 11885X, 0.16% 12/7/12 (Liquidity Facility Citibank NA) (a)(c) | 3,400,000 | 3,400,000 | |
Series ROC II R 12323, 0.17% 12/3/12 (Liquidity Facility Citibank NA) (a)(c) | 16,100,000 | 16,100,000 | |
Series ROC II R 12324, 0.17% 12/3/12 (Liquidity Facility Citibank NA) (a)(c) | 28,940,000 | 28,940,000 | |
Jewett Econ. Dev. Corp. Indl. Dev. Rev. (Nucor Corp. Proj.) 0.45% 12/7/12, VRDN (a)(b) | 2,750,000 | 2,750,000 | |
Lower Neches Valley Auth. Indl. Dev. Corp. Exempt Facilities Rev.: | |||
(ExxonMobil Proj.): | |||
Series 2001 B, 0.18% 12/3/12 (Exxon Mobil Corp. Guaranteed), VRDN (a)(b) | 71,450,000 | 71,450,000 | |
Series 2001 B2, 0.18% 12/3/12 (Exxon Mobil Corp. Guaranteed), VRDN (a)(b) | 17,780,000 | 17,780,000 | |
(Onyx Envir. Svcs. Proj.) Series 2003, 0.22% 12/7/12, LOC Bank of America NA, VRDN (a)(b) | 8,610,000 | 8,610,000 | |
Midland Independent School District Participating VRDN Series putters 4224, 0.18% 12/3/12 (Liquidity Facility JPMorgan Chase Bank) (a)(c) | 4,200,000 | 4,200,000 | |
North Texas Tollway Auth. Rev. Series 2011 A, 0.17% 12/7/12, LOC Morgan Stanley Bank, West Valley City Utah, VRDN (a) | 5,000,000 | 5,000,000 | |
Port Arthur Navigation District Envir. Facilities Rev.: | |||
(Motiva Enterprises LLC Proj.): | |||
Series 2001 A, 0.18% 12/3/12, VRDN (a) | 20,400,000 | 20,400,000 | |
Variable Rate Demand Note - continued | |||
Principal Amount | Value | ||
Texas - continued | |||
Port Arthur Navigation District Envir. Facilities Rev.: - continued | |||
(Motiva Enterprises LLC Proj.): | |||
Series 2004, 0.2% 12/7/12, VRDN (a)(b) | $ 16,540,000 | $ 16,540,000 | |
Series 2010 D, 0.18% 12/3/12, VRDN (a) | 29,175,000 | 29,175,000 | |
Port Arthur Navigation District Indl. Dev. Corp. Exempt Facilities Rev. (Air Products Proj.): | |||
Series 2002, 0.18% 12/7/12, VRDN (a)(b) | 8,000,000 | 8,000,000 | |
Series 2012, 0.19% 12/7/12 (Total SA Guaranteed), VRDN (a) | 5,000,000 | 5,000,000 | |
San Antonio Indl. Dev. Auth. Indl. Dev. Rev. (Tindall Corp. Proj.) Series 2008 A, 0.23% 12/7/12, LOC Wells Fargo Bank NA, VRDN (a)(b) | 1,600,000 | 1,600,000 | |
Tarrant County Cultural Ed. Facilities Fin. Corp. Hosp. Rev. (Methodist Hospitals of Dallas Proj.) Series 2008, 0.18% 12/3/12, LOC JPMorgan Chase Bank, VRDN (a) | 9,320,000 | 9,320,000 | |
Texas A&M Univ. Rev. Participating VRDN Series ROC II R 11920, 0.17% 12/7/12 (Liquidity Facility Citibank NA) (a)(c) | 2,880,000 | 2,880,000 | |
Texas Gen. Oblig.: | |||
(Veterans' Hsg. Assistance Prog.) Fund II Series 2005 B, 0.16% 12/7/12 (Liquidity Facility State Street Bank & Trust Co., Boston), VRDN (a)(b) | 12,000,000 | 12,000,000 | |
Participating VRDN: | |||
Series Putters 4206, 0.2% 12/3/12 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | 14,940,000 | 14,940,000 | |
Series Putters 4262, 0.18% 12/3/12 (Liquidity Facility JPMorgan Chase Bank) (a)(c) | 63,300,000 | 63,300,000 | |
Series Putters 4263, 0.18% 12/3/12 (Liquidity Facility JPMorgan Chase Bank) (a)(c) | 4,000,000 | 4,000,000 | |
Series Putters 4264, 0.18% 12/3/12 (Liquidity Facility JPMorgan Chase Bank) (a)(c) | 106,000,000 | 106,000,000 | |
| 869,385,000 | ||
Utah - 0.7% | |||
Emery County Poll. Cont. Rev. (PacifiCorp Proj.) Series 1994, 0.18% 12/7/12, LOC Wells Fargo Bank NA, VRDN (a) | 7,300,000 | 7,300,000 | |
Utah Hsg. Corp. Single Family Mtg. Rev.: | |||
Series 2002 C2, 0.18% 12/7/12 (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac), VRDN (a)(b) | 6,105,000 | 6,105,000 | |
Series 2002 E, 0.18% 12/7/12 (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac), VRDN (a)(b) | 4,845,000 | 4,845,000 | |
Series 2005 A, 0.18% 12/7/12 (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac), VRDN (a)(b) | 5,805,000 | 5,805,000 | |
Variable Rate Demand Note - continued | |||
Principal Amount | Value | ||
Utah - continued | |||
Utah Hsg. Corp. Single Family Mtg. Rev.: - continued | |||
Series 2005 F, 0.18% 12/7/12 (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac), VRDN (a)(b) | $ 6,810,000 | $ 6,810,000 | |
Series 2005 H, 0.18% 12/7/12 (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac), VRDN (a)(b) | 4,520,000 | 4,520,000 | |
Utah Hsg. Fin. Agcy. Series 2000 C, 0.18% 12/7/12 (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac), VRDN (a)(b) | 4,635,000 | 4,635,000 | |
| 40,020,000 | ||
Virginia - 1.9% | |||
Albemarle Econ. Dev. Auth. Health Svcs. Rev. (The Univ. of Virginia Health Svcs. Foundation Proj.) Series 2009, 0.17% 12/3/12, LOC Bank of America NA, VRDN (a) | 19,800,000 | 19,800,000 | |
King George County Indl. Dev. Auth. Exempt Facilities Rev. (Birchwood Pwr. Partners Proj.): | |||
Series 1994 A, 0.24% 12/3/12, LOC Bank of Nova Scotia New York Branch, VRDN (a)(b) | 8,700,000 | 8,700,000 | |
Series 1994 B, 0.24% 12/3/12, LOC Bank of Nova Scotia New York Branch, VRDN (a)(b) | 9,000,000 | 9,000,000 | |
Series 1995, 0.19% 12/3/12, LOC Bank of Nova Scotia New York Branch, VRDN (a)(b) | 7,500,000 | 7,500,000 | |
Series 1996 A, 0.19% 12/3/12, LOC Bank of Nova Scotia New York Branch, VRDN (a)(b) | 9,200,000 | 9,200,000 | |
Series 1997, 0.19% 12/3/12, LOC Bank of Nova Scotia New York Branch, VRDN (a)(b) | 9,300,000 | 9,300,000 | |
Petersburg Indl. Dev. Auth. Rev. (Rebar Hldgs. LLC Proj.) 0.38% 12/7/12, LOC Wells Fargo Bank NA, VRDN (a)(b) | 1,300,000 | 1,300,000 | |
Smyth County Indl. Dev. Auth. Hosp. Rev. Series 2011 D, 0.17% 12/7/12, LOC Mizuho Corporate Bank Ltd., VRDN (a) | 13,855,000 | 13,855,000 | |
Virginia Commonwealth Trans. Board Rev. Participating VRDN Series Putters 4053, 0.18% 12/3/12 (Liquidity Facility JPMorgan Chase & Co.) (a)(c) | 7,000,000 | 7,000,000 | |
Virginia Commonwealth Univ. Health Sys. Auth.: | |||
Series 2008 B, 0.17% 12/3/12, LOC Branch Banking & Trust Co., VRDN (a) | 2,000,000 | 2,000,000 | |
Series 2008 C, 0.18% 12/3/12, LOC Branch Banking & Trust Co., VRDN (a) | 11,700,000 | 11,700,000 | |
Virginia Hsg. Dev. Auth. Commonwealth Mtg. Rev. Participating VRDN Series BA 1047, 0.26% 12/7/12 (Liquidity Facility Bank of America NA) (a)(b)(c) | 5,600,000 | 5,600,000 | |
| 104,955,000 | ||
Variable Rate Demand Note - continued | |||
Principal Amount | Value | ||
Washington - 1.3% | |||
Everett Gen. Oblig. Series 2001, 0.16% 12/7/12, LOC Bank of New York, New York, VRDN (a) | $ 9,900,000 | $ 9,900,000 | |
King County Swr. Rev. Participating VRDN Series ROC II R 11962, 0.16% 12/7/12 (Liquidity Facility Citibank NA) (a)(c) | 2,200,000 | 2,200,000 | |
Port of Seattle Rev. Participating VRDN Series O 16, 0.19% 12/7/12 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | 5,285,000 | 5,285,000 | |
Washington Econ. Dev. Fin. Auth. Econ. Dev. Rev. (Mount Ainstar Resort Proj.) Series 2003 C, 0.22% 12/3/12, LOC U.S. Bank NA, Cincinnati, VRDN (a)(b) | 17,895,000 | 17,895,000 | |
Washington Health Care Facilities Auth. Rev.: | |||
(Southwest Washington Med. Ctr.) Series 2008 A, 0.17% 12/7/12, LOC Union Bank of California, VRDN (a) | 6,500,000 | 6,500,000 | |
Participating VRDN: | |||
Series Putters 4728, 0.19% 12/7/12 (Liquidity Facility Bank of America NA) (a)(c) | 2,100,000 | 2,100,000 | |
Series Putters 4730, 0.19% 12/7/12 (Liquidity Facility Bank of America NA) (a)(c) | 4,440,000 | 4,440,000 | |
Washington Hsg. Fin. Commission Multi-family Hsg. Rev. (Merrill Gardens at Tacoma Proj.) Series 2006 A, 0.17% 12/7/12, LOC Fannie Mae, VRDN (a)(b) | 17,640,000 | 17,640,000 | |
Washington Hsg. Fin. Commission Nonprofit Hsg. Rev. (Horizon House Proj.) Series 2005, 0.18% 12/7/12, LOC Wells Fargo Bank NA, VRDN (a) | 4,540,000 | 4,540,000 | |
| 70,500,000 | ||
West Virginia - 0.6% | |||
West Virginia Econ. Dev. Auth. Energy (Morgantown Energy Associates Proj.) Series 2011, 0.19% 12/7/12, LOC Union Bank of California, VRDN (a)(b) | 3,590,000 | 3,590,000 | |
West Virginia Econ. Dev. Auth. Solid Waste Disp. Facilities Rev.: | |||
(Appalachian Pwr. Co. - Amos Proj.) Series 2008 B, 0.2% 12/7/12, LOC Mizuho Corporate Bank Ltd., VRDN (a)(b) | 4,500,000 | 4,500,000 | |
(Appalachian Pwr. Co. - Mountaineer Proj.) Series 2008 A, 0.16% 12/7/12, LOC Mizuho Corporate Bank Ltd., VRDN (a)(b) | 10,400,000 | 10,400,000 | |
West Virginia Hosp. Fin. Auth. Hosp. Rev. (Cabell Huntington Hosp. Proj.) Series 2008 B, 0.18% 12/7/12, LOC Branch Banking & Trust Co., VRDN (a) | 12,700,000 | 12,700,000 | |
| 31,190,000 | ||
Wisconsin - 1.2% | |||
Wisconsin Ctr. District Tax Rev. Series 2001 A, 0.17% 12/7/12, LOC U.S. Bank NA, Cincinnati, VRDN (a) | 10,100,000 | 10,100,000 | |
Variable Rate Demand Note - continued | |||
Principal Amount | Value | ||
Wisconsin - continued | |||
Wisconsin Gen. Oblig. Participating VRDN Series WF 11-14C, 0.19% 12/7/12 (Liquidity Facility Wells Fargo Bank NA) (a)(c) | $ 4,000,000 | $ 4,000,000 | |
Wisconsin Health & Edl. Facilities Auth. Rev.: | |||
(Froedtert & Cmnty. Health, Inc. Proj.) Series 2009 B, 0.19% 12/3/12, LOC U.S. Bank NA, Cincinnati, VRDN (a) | 5,030,000 | 5,030,000 | |
(Nat'l. Regency of New Berlin, Inc. Proj.) 0.19% 12/3/12, LOC JPMorgan Chase Bank, VRDN (a) | 12,300,000 | 12,300,000 | |
(ProHealth Care, Inc. Proj.) Series 2008 B, 0.19% 12/3/12, LOC JPMorgan Chase Bank, VRDN (a) | 22,380,000 | 22,380,000 | |
Wisconsin Hsg. and Econ. Dev. Auth. Home Ownership Rev. Series 2002 I, 0.2% 12/7/12 (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac), VRDN (a)(b) | 3,390,000 | 3,390,000 | |
Wisconsin Hsg. and Econ. Dev. Auth. Multi-family Hsg. Rev. Series 2007 C, 0.18% 12/7/12 (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac), VRDN (a)(b) | 6,165,000 | 6,165,000 | |
| 63,365,000 | ||
Wyoming - 0.5% | |||
Laramie County Indl. Dev. Rev. (Cheyenne Lt., Fuel & Pwr. Co. Proj.) Series 2009 B, 0.23% 12/7/12, LOC Wells Fargo Bank NA, VRDN (a)(b) | 3,500,000 | 3,500,000 | |
Sublette County Poll. Cont. Rev. (Exxon Corp. Proj.): | |||
Series 1987 A, 0.18% 12/3/12 (Exxon Mobil Corp. Guaranteed), VRDN (a)(b) | 11,500,000 | 11,500,000 | |
Series 1987 B, 0.18% 12/3/12 (Exxon Mobil Corp. Guaranteed), VRDN (a)(b) | 11,000,000 | 11,000,000 | |
| 26,000,000 | ||
TOTAL VARIABLE RATE DEMAND NOTE |
| ||
Other Municipal Debt - 0.4% | |||
|
|
|
|
Massachusetts - 0.1% | |||
Massachusetts State Dev. Fing. Agcy. Poll. Cont. Rev. Bonds (Massachusetts Elec. Co. Proj.) Series 2004, 0.4% tender 12/4/12, CP mode | 5,800,000 | 5,800,000 | |
New Hampshire - 0.2% | |||
New Hampshire Bus. Fin. Auth. Poll. Cont. Rev. Bonds (New England Pwr. Co. Proj.) Series 1990 A, 0.45% tender 12/4/12, CP mode (b) | 10,600,000 | 10,600,000 | |
Other Municipal Debt - continued | |||
Principal Amount | Value | ||
Texas - 0.1% | |||
Houston Gen. Oblig. Series 2012 A, 0.27% 12/4/12, LOC Union Bank of California, CP | $ 4,400,000 | $ 4,400,000 | |
TOTAL OTHER MUNICIPAL DEBT |
| ||
TOTAL INVESTMENT PORTFOLIO - 100.0% (Cost $5,473,433,575) | 5,473,433,575 | ||
NET OTHER ASSETS (LIABILITIES) - 0.0% | 406,842 | ||
NET ASSETS - 100% | $ 5,473,840,417 |
Security Type Abbreviations | ||
CP | - | COMMERCIAL PAPER |
VRDN | - | VARIABLE RATE DEMAND NOTE (A debt instrument that is payable upon demand, either daily, weekly or monthly) |
Legend |
(a) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(b) Private activity obligations whose interest is subject to the federal alternative minimum tax for individuals. |
(c) Provides evidence of ownership in one or more underlying municipal bonds. |
Other Information |
The date shown for securities represents the date when principal payments must be paid, taking into account any call options exercised by the issuer and any permissible maturity shortening features other than interest rate resets. |
All investments are categorized as Level 2 under the Fair Value Hierarchy. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, please refer to the Security Valuation section in the accompanying Notes to Financial Statements. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
| November 30, 2012 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value - See accompanying schedule: Unaffiliated issuers (cost $5,473,433,575) |
| $ 5,473,433,575 |
Interest receivable | 1,217,872 | |
Total assets | 5,474,651,447 | |
|
|
|
Liabilities | ||
Payable to custodian bank | $ 168 | |
Distributions payable | 794,856 | |
Other payables and accrued expenses | 16,006 | |
Total liabilities | 811,030 | |
|
|
|
Net Assets | $ 5,473,840,417 | |
Net Assets consist of: |
| |
Paid in capital | $ 5,473,836,205 | |
Distributions in excess of net investment income | (55) | |
Accumulated undistributed net realized gain (loss) on investments | 4,267 | |
Net Assets, for 5,473,311,035 shares outstanding | $ 5,473,840,417 | |
Net Asset Value, offering price and redemption price per share ($5,473,840,417 ÷ 5,473,311,035 shares) | $ 1.00 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Operations
Six months ended November 30, 2012 (Unaudited) | ||
|
|
|
Investment Income |
|
|
Interest |
| $ 4,330,832 |
|
|
|
Expenses | ||
Custodian fees and expenses | $ 30,412 | |
Independent trustees' compensation | 8,096 | |
Total expenses before reductions | 38,508 | |
Expense reductions | (8,379) | 30,129 |
Net investment income (loss) | 4,300,703 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers |
| 11,440 |
Net increase in net assets resulting from operations | $ 4,312,143 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Changes in Net Assets
| Six months ended | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 4,300,703 | $ 6,573,789 |
Net realized gain (loss) | 11,440 | 92,128 |
Net increase in net assets resulting | 4,312,143 | 6,665,917 |
Distributions to shareholders from net investment income | (4,300,758) | (6,573,834) |
Distributions to shareholders from net realized gain | (40,977) | - |
Total distributions | (4,341,735) | (6,573,834) |
Affiliated share transactions at net asset value of $1.00 per share | 9,567,254,000 | 10,180,047,000 |
Cost of shares redeemed | (7,957,012,000) | (11,343,143,000) |
Net increase (decrease) in net assets and shares resulting from share transactions | 1,610,242,000 | (1,163,096,000) |
Total increase (decrease) in net assets | 1,610,212,408 | (1,163,003,917) |
|
|
|
Net Assets | ||
Beginning of period | 3,863,628,009 | 5,026,631,926 |
End of period (including distributions in excess of net investment income of $55 and undistributed net investment income of $0, respectively) | $ 5,473,840,417 | $ 3,863,628,009 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights
| Six months ended | Years ended May 31, | ||||
| (Unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 |
Income from Investment |
|
|
|
|
| |
Net investment income (loss) | .001 | .001 | .003 | .003 | .013 | .032 |
Net realized and unrealized gain (loss) F | - | - | - | - | - | - |
Total from investment operations | .001 | .001 | .003 | .003 | .013 | .032 |
Distributions from net investment income | (.001) | (.001) | (.003) | (.003) | (.013) | (.032) |
Distributions from net realized gain | - F | - | - | - | - | - F |
Total distributions | (.001) | (.001) | (.003) | (.003) | (.013) | (.032) |
Net asset value, end of period | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 |
Total Return B, C | .10% | .14% | .26% | .27% | 1.34% | 3.23% |
Ratios to Average Net Assets E |
|
|
|
|
| |
Expenses before reductions D | -% A | -% | -% | -% | -% | -% |
Expenses net of fee waivers, if any D | -% A | -% | -% | -% | -% | -% |
Expenses net of all reductions D | -% A | -% | -% | -% | -% | -% |
Net investment income (loss) | .19% A | .14% | .26% | .27% | 1.30% | 3.03% |
Supplemental Data |
|
|
|
|
| |
Net assets, end of period (000 omitted) | $ 5,473,840 | $ 3,863,628 | $ 5,026,632 | $ 4,189,659 | $ 2,777,836 | $ 1,267,883 |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Amount represents less than .01%.
E Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed or waived or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements, waivers or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement and waivers but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.
F Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended November 30, 2012 (Unaudited)
1. Organization.
Fidelity® Municipal Cash Central Fund (the Fund) is a fund of Fidelity Revere Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. Shares of the Fund are only offered to other investment companies and accounts (the Investing Funds) managed by Fidelity Management & Research Company (FMR), or its affiliates.
2. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Security Valuation. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
As permitted by compliance with certain conditions under Rule 2a-7 of the 1940 Act, securities are valued at amortized cost, which approximates fair value. 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. Securities held by a money market fund are generally high quality and liquid; however, they are reflected as Level 2 because the inputs used to determine fair value are not quoted prices in an active market.
Investment Transactions and Income. Security transactions are accounted for as of trade date. Gains and losses on securities sold are determined on the basis of identified cost. Interest income is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
2. Significant Accounting Policies - continued
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. A fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. There were no significant book-to-tax differences during the period.
The Fund purchases municipal securities whose interest, in the opinion of the issuer, is free from federal income tax. There is no assurance that the IRS will agree with this opinion. In the event the IRS determines that the issuer does not comply with relevant tax requirements, interest payments from a security could become federally taxable, possibly retroactively to the date the security was issued.
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation | $ - |
Gross unrealized depreciation | - |
Net unrealized appreciation (depreciation) on securities and other investments | $ - |
|
|
Tax cost | $ 5,473,433,575 |
Semiannual Report
3. Fees and Other Transactions with Affiliates.
Management Fee and Expense Contract. Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR, provides the Fund with investment management services. The Fund does not pay any fees for these services. Pursuant to the Fund's management contract with FIMM, FMR pays FIMM a portion of the management fees it receives from the Investing Funds. In addition, under an expense contract, FMR also pays all other expenses of the Fund, excluding custody fees, the compensation of the independent Trustees, and certain exceptions such as interest expense.
4. Expense Reductions.
FMR has voluntarily agreed to reimburse a portion of the Fund's operating expenses. For the period, the reimbursement reduced the expenses by $8,096.
In addition, through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $283.
5. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
At the end of the period, mutual funds managed by FMR or FMR affiliate were the owners of all the outstanding shares of the fund.
Semiannual Report
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Municipal Cash Central Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract and sub-advisory agreements (together, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established three standing committees, Operations, Audit, and Governance and Nominating, each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and, among other matters, considers matters specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to consider matters specifically related to the Board's annual consideration of the renewal of Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through ad hoc joint committees to discuss certain matters relevant to the Fidelity funds.
At its September 2012 meeting, the Board of Trustees, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant and reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders and the fact that no fee is payable under the management contract is fair and reasonable.
Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the investment adviser, Fidelity Investments Money Management, Inc., and the sub-advisers (together, the Investment Advisers), including the backgrounds of the fund's investment personnel, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the portfolio manager compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund.
Semiannual Report
Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staff, including its size, education, experience, and resources, as well as the Investment Advisers' approach to recruiting, managing, and compensating investment personnel. The Board also noted that Fidelity Management & Research Company (FMR) has continued to increase the resources devoted to non U.S. offices, including expansion of Fidelity's global investment organization. The Board noted that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. The Board also believes that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered the Investment Advisers' trading and risk management capabilities and resources, which are an integral part of the investment management process.
Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory and administrative services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.
Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. The Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance, but did not consider performance to be a material factor in its decision to renew the fund's Advisory Contracts, as the fund is not publicly offered as a stand-alone investment product. In this regard, the Board noted that the fund is designed to offer a liquid investment option for other investment companies and accounts managed by FMR or its affiliates and ultimately to enhance the performance of those investment companies and accounts.
Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should benefit the fund's shareholders.
Competitiveness of Management Fee and Total Expense Ratio. The Board considered that while the fund does not pay a management fee, FMR pays a management fee on behalf of the fund and receives fees for providing services to funds that invest in the fund. The Board also noted that FMR bears all expenses of the fund, except expenses related to the fund's investment activities (primarily custody expenses). Based on its review, the Board concluded that the management fee paid on behalf of the fund and the fund's total expense ratio were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Semiannual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
Costs of the Services and Profitability. The Board considered the level of Fidelity's profits in respect of all the Fidelity funds, as well as the profitability of each fund that invests in this fund.
PricewaterhouseCoopers LLP (PwC), independent registered public accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of Fidelity's methodologies used in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures surrounding the mathematical accuracy of fund profitability and its conformity to allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
The Board also reviewed Fidelity's non-fund businesses and fall-out benefits related to the mutual fund business as well as cases where Fidelity's affiliates may benefit from or be related to the fund's business.
The Board concluded that the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund were not relevant to the renewal of the Advisory Contracts because the fund pays no advisory fees and FMR bears all expenses of the fund, except expenses related to the fund's investment activities.
Economies of Scale. The Board concluded that because the fund pays no advisory fees and FMR bears all expenses of the fund, except expenses related to the fund's investment activities, economies of scale cannot be realized by the fund.
Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Fidelity funds' Advisory Contracts, the Board requested and received additional information on certain topics, including: (i) Fidelity's fund profitability methodology, profitability trends for certain funds, and the impact of certain factors on fund profitability results; (ii) portfolio manager changes that have occurred during the past year and the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (iii) Fidelity's compensation structure for portfolio managers, research analysts, and other key personnel, including its effects on fund profitability, the rationale for the compensation structure, and the extent to which current market conditions have affected retention and recruitment; (iv) the compensation paid to fund sub-advisers on behalf of the Fidelity funds; (v) Fidelity's fee structures, including the group fee structure, and the rationale for recommending different fees among different categories of funds and classes; (vi) Fidelity's voluntary waiver of its fees to maintain minimum yields for certain money market funds and classes as well as contractual waivers in place for certain funds; (vii) regulatory and industry developments, including those affecting money market funds and target date funds, and the potential impact to Fidelity; (viii) Fidelity's transfer agent fees, expenses, and services, and drivers for determining the transfer agent fee structure of different funds and classes; (ix) management fee rates charged by FMR or Fidelity entities to other Fidelity clients; (x) the allocation of and historical trends in Fidelity's realization of fall-out benefits; and (xi) explanations regarding the relative total expense ratios of certain funds and classes, total expense competitive trends, and actions that might be taken by FMR to reduce total expense ratios for certain funds and classes or to achieve further economies of scale.
Semiannual Report
Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board ultimately concluded that the advisory fee structures are fair and reasonable, and that the fund's Advisory Contracts should be renewed.
Semiannual Report
Fidelity® Tax-Free
Cash Central Fund
Semiannual Report
November 30, 2012
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
TFC-SANN-0113 1.810806.108
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2012 to November 30, 2012).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the 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 the 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 and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
| Annualized Expense Ratio | Beginning | Ending | Expenses Paid |
Actual | .0018% | $ 1,000.00 | $ 1,000.90 | $ .01 |
Hypothetical (5% return per year before expenses) |
| $ 1,000.00 | $ 1,025.06 | $ .01 |
* Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).
Semiannual Report
Investment Changes (Unaudited)
Effective Maturity Diversification | |||
Days | % of fund's investments 11/30/12 | % of fund's investments 5/31/12 | % of fund's |
1 - 7 | 100.0 | 100.0 | 100.0 |
Effective maturity is determined in accordance with the requirements of Rule 2a-7 under the Investment Company Act of 1940. |
Weighted Average Maturity | |||
| 11/30/12 | 5/31/12 | 11/30/11 |
Fidelity Tax-Free Cash Central Fund | 4 Days | 3 Days | 3 Days |
All Tax-Free Money Market Funds Average* | 35 Days | 24 Days | 33 Days |
This is a weighted average of all the maturities of the securities held in a fund. Weighted Average Maturity (WAM) can be used as a measure of sensitivity to interest rate changes and market changes. Generally, the longer the maturity, the greater the sensitivity to such changes. WAM is based on the dollar-weighted average length of time until principal payments must be paid. Depending on the types of securities held in a fund, certain maturity shortening devices (e.g., demand features, interest rate resets, and call options) may be taken into account when calculating the WAM. |
Weighted Average Life | |||
| 11/30/12 | 5/31/12 | 11/30/11 |
Fidelity Tax-Free Cash Central Fund | 4 Days | 3 Days | 3 Days |
Weighted Average Life (WAL) is the weighted average of the life of the securities held in a fund or portfolio and can be used as a measure of sensitivity to changes in liquidity and/or credit risk. Generally, the higher the value, the greater the sensitivity. WAL is based on the dollar-weighted average length of time until principal payments must be paid, taking into account any call options exercised by the issuer and any permissible maturity shortening features other than interest rate resets. The difference between WAM and WAL is that WAM takes into account interest rate resets and WAL does not. WAL for money market funds is not the same as WAL of a mortgage- or asset-backed security. |
Asset Allocation (% of fund's net assets) | |||||||
As of November 30, 2012 | As of May 31, 2012 | ||||||
Variable Rate |
| Variable Rate |
| ||||
Other Municipal |
| Other Municipal |
| ||||
Net Other Assets** (Liabilities) (0.3)% |
| Net Other Assets** (Liabilities) (0.5)% |
|
* Source: iMoneyNet, Inc.
** Net Other Assets (Liabilities) are not included in the pie chart
Semiannual Report
Investments November 30, 2012 (Unaudited)
Showing Percentage of Net Assets
Variable Rate Demand Note - 100.2% | |||
Principal Amount | Value | ||
Alabama - 4.1% | |||
Columbia Indl. Dev. Board Poll. Cont. Rev. (Alabama Pwr. Co. Proj.): | |||
Series 1995 C, 0.17% 12/3/12, VRDN (a) | $ 8,000,000 | $ 8,000,000 | |
Series 1995 D, 0.2% 12/3/12, VRDN (a) | 7,000,000 | 7,000,000 | |
Mobile Indl. Dev. Board Poll. Cont. Rev. (Alabama Pwr. Co. Barry Plant Proj.) Series 2009, 0.19% 12/3/12, VRDN (a) | 4,200,000 | 4,200,000 | |
Wilsonville Indl. Dev. Board Poll. Cont. Rev. (Alabama Pwr. Co. Proj.) Series D, 0.18% 12/3/12, VRDN (a) | 18,150,000 | 18,150,000 | |
| 37,350,000 | ||
Alaska - 0.2% | |||
Alaska Indl. Dev. & Export Auth. Rev. (Greater Fairbanks Cmnty. Hosp. Foundation Proj.) Series 2009 A, 0.17% 12/7/12, LOC Union Bank of California, VRDN (a) | 1,400,000 | 1,400,000 | |
Arizona - 0.2% | |||
Pima County Indl. Dev. Auth. Indl. Rev. (Tucson Elec. Pwr. Co. Proj.) Series 1982 A, 0.18% 12/7/12, LOC Wells Fargo Bank NA, VRDN (a) | 1,600,000 | 1,600,000 | |
California - 4.7% | |||
California Dept. of Wtr. Resources Pwr. Supply Rev. Participating VRDN Series Putters 4059, 0.18% 12/3/12 (Liquidity Facility JPMorgan Chase & Co.) (a)(b) | 2,935,000 | 2,935,000 | |
California Edl. Facilities Auth. Rev. Participating VRDN Series MS 3144, 0.16% 12/3/12 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b) | 6,355,000 | 6,355,000 | |
California Gen. Oblig. Participating VRDN Series Putters 4265, 0.18% 12/3/12 (Liquidity Facility JPMorgan Chase & Co.) (a)(b) | 4,100,000 | 4,100,000 | |
California Statewide Cmntys. Dev. Auth. Gas Supply Rev. Series 2010, 0.15% 12/7/12 (Liquidity Facility Royal Bank of Canada), VRDN (a) | 2,000,000 | 2,000,000 | |
Foothill-De Anza Cmnty. College District Participating VRDN Series MS 3288, 0.22% 12/7/12 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b) | 2,000,000 | 2,000,000 | |
Los Angeles Cmnty. College District Participating VRDN: | |||
Series MS 3096, 0.19% 12/7/12 (Liquidity Facility Deutsche Bank AG) (a)(b) | 2,000,000 | 2,000,000 | |
Series ROC II R 11727, 0.16% 12/7/12 (Liquidity Facility Citibank NA) (a)(b) | 3,000,000 | 3,000,000 | |
Los Angeles Dept. of Wtr. & Pwr. Wtrwks. Rev. Participating VRDN Series ROC II R 12322, 0.17% 12/3/12 (Liquidity Facility Citibank NA) (a)(b) | 11,400,000 | 11,400,000 | |
Metropolitan Wtr. District of Southern California Wtrwks. Rev. Participating VRDN Series EGL 07 0044, 0.16% 12/7/12 (Liquidity Facility Citibank NA) (a)(b) | 4,250,000 | 4,250,000 | |
Variable Rate Demand Note - continued | |||
Principal Amount | Value | ||
California - continued | |||
Northern California Pwr. Agcy. Rev. (Hydroelectric #1 Proj.) Series 2008 A, 0.16% 12/7/12, LOC Citibank NA, VRDN (a) | $ 2,100,000 | $ 2,100,000 | |
Wells Fargo Stage Trs Var States Participating VRDN Series WF 12 74C, 0.19% 12/7/12 (Liquidity Facility Wells Fargo Bank NA) (a)(b) | 2,300,000 | 2,300,000 | |
| 42,440,000 | ||
Colorado - 0.8% | |||
Colorado Gen. Fdg. Rev. Participating VRDN Series Putters 4251, 0.18% 12/3/12 (Liquidity Facility JPMorgan Chase & Co.) (a)(b) | 4,085,000 | 4,085,000 | |
Colorado Hsg. & Fin. Auth. Series 2001 AA2, 0.17% 12/7/12 (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac), VRDN (a) | 3,000,000 | 3,000,000 | |
| 7,085,000 | ||
District Of Columbia - 1.2% | |||
District of Columbia Rev.: | |||
(American Psychological Assoc. Proj.) Series 2003, 0.22% 12/7/12, LOC Bank of America NA, VRDN (a) | 7,130,000 | 7,130,000 | |
(Medlantic/Helix Proj.) Series 1998 A Tranche I, 0.18% 12/3/12, LOC Wells Fargo Bank NA, VRDN (a) | 3,500,000 | 3,500,000 | |
| 10,630,000 | ||
Florida - 14.7% | |||
Broward County Edl. Facilities Auth. Rev. (Nova Southeastern Univ. Proj.) Series 2008 A, 0.17% 12/3/12, LOC Bank of America NA, VRDN (a) | 43,200,000 | 43,200,000 | |
Florida Board of Ed. Participating VRDN Series MT 787, 0.19% 12/7/12 (Liquidity Facility Bank of America NA) (a)(b) | 5,115,000 | 5,115,000 | |
Florida Hsg. Fin. Corp. Multi-family Mtg. Rev. (Mariner's Cay Apts. Proj.) Series 2008 M, 0.17% 12/7/12, LOC Fannie Mae, VRDN (a) | 2,700,000 | 2,700,000 | |
JEA Wtr. & Swr. Sys. Rev. Participating VRDN Series Putters 4095, 0.2% 12/3/12 (Liquidity Facility JPMorgan Chase Bank) (a)(b) | 29,575,000 | 29,575,000 | |
North Broward Hosp. District Rev. Series 2005 A, 0.15% 12/7/12, LOC Wells Fargo Bank NA, VRDN (a) | 8,745,000 | 8,745,000 | |
Orange County Health Facilities Auth. Rev. (Orlando Reg'l. Health Care Sys. Proj.) Series 2008 E, 0.17% 12/7/12, LOC Branch Banking & Trust Co., VRDN (a) | 4,500,000 | 4,500,000 | |
Variable Rate Demand Note - continued | |||
Principal Amount | Value | ||
Florida - continued | |||
Orange County Hsg. Fin. Auth. Multi-family Rev. (Heather Glen Apts. Proj.) Series 2001, 0.19% 12/7/12, LOC Fannie Mae, VRDN (a) | $ 1,900,000 | $ 1,900,000 | |
Orlando & Orange County Expressway Auth. Rev. Series 2003 D, 0.16% 12/7/12, LOC Barclays Bank PLC NY Branch, VRDN (a) | 4,300,000 | 4,300,000 | |
Pinellas County Health Facilities Auth. Rev. (BayCare Health Sys. Proj.): | |||
Series 2009 A1, 0.19% 12/3/12, LOC U.S. Bank NA, Cincinnati, VRDN (a) | 8,505,000 | 8,505,000 | |
Series 2009 A3, 0.18% 12/7/12, LOC Wells Fargo Bank NA, VRDN (a) | 10,275,000 | 10,275,000 | |
South Florida Wtr. Mgmt. District Ctfs. of Prtn. Participating VRDN Series ROC II R 12313, 0.17% 12/3/12 (Liquidity Facility Citibank NA) (a)(b) | 9,600,000 | 9,600,000 | |
Univ. of North Florida Parking Sys. Rev. Series 1998, 0.18% 12/3/12, LOC Wells Fargo Bank NA, VRDN (a) | 4,700,000 | 4,700,000 | |
| 133,115,000 | ||
Georgia - 2.3% | |||
Athens-Clarke County Unified Govt. Dev. Auth. Rev. (Univ. of Georgia Athletic Assoc. Proj.) Series 2003, 0.17% 12/3/12, LOC Bank of America NA, VRDN (a) | 4,970,000 | 4,970,000 | |
DeKalb County Hsg. Auth. Multi-family Hsg. Rev. (Timber Trace Apts. Proj.) Series 2003, 0.17% 12/7/12, LOC Freddie Mac, VRDN (a) | 2,265,000 | 2,265,000 | |
Glynn-Brunswick Memorial Hosp. Auth. Rev. (Southeast Georgia Health Sys. Proj.) Series 2008 B, 0.18% 12/7/12, LOC Branch Banking & Trust Co., VRDN (a) | 5,685,000 | 5,685,000 | |
Main Street Natural Gas, Inc. Georgia Gas Proj. Rev. Series 2010 A, 0.16% 12/7/12 (Liquidity Facility Royal Bank of Canada), VRDN (a) | 2,800,000 | 2,800,000 | |
Roswell Hsg. Auth. Multi-family Hsg. Rev. (Azalea Park Apts. Proj.) Series 1996, 0.16% 12/7/12, LOC Fannie Mae, VRDN (a) | 5,500,000 | 5,500,000 | |
| 21,220,000 | ||
Idaho - 0.1% | |||
Idaho Hsg. & Fin. Assoc. Single Family Mtg. Series C, 0.18% 12/7/12 (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac), VRDN (a) | 1,300,000 | 1,300,000 | |
Illinois - 5.0% | |||
Chicago Gen. Oblig. Series 2007 F, 0.18% 12/3/12, LOC JPMorgan Chase Bank, VRDN (a) | 5,200,000 | 5,200,000 | |
Variable Rate Demand Note - continued | |||
Principal Amount | Value | ||
Illinois - continued | |||
Chicago Wtr. Rev. Series 2004 A3, 0.17% 12/7/12, LOC State Street Bank & Trust Co., Boston, VRDN (a) | $ 7,285,000 | $ 7,285,000 | |
Illinois Fin. Auth. Rev.: | |||
(Provena Health Proj.): | |||
Series 2009 B, 0.18% 12/3/12, LOC JPMorgan Chase Bank, VRDN (a) | 3,670,000 | 3,670,000 | |
Series 2010 C, 0.18% 12/3/12, LOC JPMorgan Chase Bank, VRDN (a) | 7,545,000 | 7,545,000 | |
Series 2010 D, 0.17% 12/7/12, LOC Union Bank of California, VRDN (a) | 1,950,000 | 1,950,000 | |
Series 2009 D1, 0.16% 12/3/12, LOC PNC Bank NA, VRDN (a) | 13,100,000 | 13,100,000 | |
Romeoville Gen. Oblig. Rev. (Lewis Univ. Proj.) Series 2006, 0.19% 12/3/12, LOC Wells Fargo Bank NA, VRDN (a) | 6,600,000 | 6,600,000 | |
| 45,350,000 | ||
Indiana - 2.1% | |||
Indiana Fin. Auth. Hosp. Rev. (Parkview Health Sys. Oblig. Group Proj.) Series 2009 D, 0.16% 12/7/12, LOC Wells Fargo Bank NA, VRDN (a) | 4,750,000 | 4,750,000 | |
Indiana Health & Edl. Facilities Fing. Auth. Hosp. Rev. (Howard Reg'l. Health Sys. Proj.) Series B, 0.17% 12/3/12, LOC BMO Harris Bank NA, VRDN (a) | 8,190,000 | 8,190,000 | |
Indiana Health Facility Fing. Auth. Rev. (Fayette Memorial Hosp. Assoc. Proj.): | |||
Series A, 0.19% 12/3/12, LOC U.S. Bank NA, Cincinnati, VRDN (a) | 4,030,000 | 4,030,000 | |
Series B, 0.19% 12/3/12, LOC U.S. Bank NA, Cincinnati, VRDN (a) | 1,680,000 | 1,680,000 | |
| 18,650,000 | ||
Iowa - 1.1% | |||
Iowa Fin. Auth. Health Facilities Rev. (Iowa Health Sys. Proj.): | |||
Series 2009 A, 0.18% 12/3/12, LOC JPMorgan Chase Bank, VRDN (a) | 2,550,000 | 2,550,000 | |
Series 2009 B, 0.18% 12/3/12, LOC JPMorgan Chase Bank, VRDN (a) | 2,300,000 | 2,300,000 | |
Iowa Fin. Auth. Private College Rev. (Morningside College Proj.) 0.19% 12/3/12, LOC U.S. Bank NA, Cincinnati, VRDN (a) | 2,120,000 | 2,120,000 | |
Iowa Higher Ed. Ln. Auth. Rev. (Saint Ambrose Univ. Proj.) 0.19% 12/3/12, LOC Northern Trust Co., VRDN (a) | 3,100,000 | 3,100,000 | |
| 10,070,000 | ||
Variable Rate Demand Note - continued | |||
Principal Amount | Value | ||
Kansas - 0.7% | |||
Kansas Dev. Fin. Auth. Health Facilities Rev. (KU Health Sys. Proj.) Series 2011 J, 0.19% 12/3/12, LOC U.S. Bank NA, Cincinnati, VRDN (a) | $ 2,000,000 | $ 2,000,000 | |
Univ. of Kansas Hosp. Auth. Health Facilities Rev. (KU Health Sys. Proj.) Series 2004, 0.19% 12/3/12, LOC U.S. Bank NA, Cincinnati, VRDN (a) | 4,125,000 | 4,125,000 | |
| 6,125,000 | ||
Kentucky - 1.7% | |||
Kentucky Econ. Dev. Fin. Auth. Hosp. Rev. (Baptist Healthcare Sys. Proj.) Series 2009 B1, 0.2% 12/3/12, LOC JPMorgan Chase Bank, VRDN (a) | 13,210,000 | 13,210,000 | |
Louisville & Jefferson County Metropolitan Govt. Multi-family Hsg. Rev. (Waterford Place Apts. Proj.) Series 2003, 0.17% 12/7/12, LOC Freddie Mac, VRDN (a) | 2,650,000 | 2,650,000 | |
| 15,860,000 | ||
Louisiana - 3.4% | |||
Louisiana Hsg. Fin. Agcy. Rev. (Canterbury House Apts. Proj.) Series 2007, 0.18% 12/7/12, LOC Fannie Mae, VRDN (a) | 4,800,000 | 4,800,000 | |
Louisiana Pub. Facilities Auth. Hosp. Rev. (Franciscan Missionaries of Our Lady Health Sys. Proj.) Series 2005 D, 0.18% 12/3/12, LOC U.S. Bank NA, Cincinnati, VRDN (a) | 1,800,000 | 1,800,000 | |
Louisiana Pub. Facilities Auth. Rev.: | |||
(Air Products & Chemicals, Inc. Proj.): | |||
Series 2004, 0.17% 12/7/12, VRDN (a) | 7,100,000 | 7,100,000 | |
Series 2009 A, 0.17% 12/7/12, VRDN (a) | 12,800,000 | 12,800,000 | |
(C-Port LLC Proj.) Series 2008, 0.21% 12/7/12, LOC Bank of America NA, VRDN (a) | 4,200,000 | 4,200,000 | |
| 30,700,000 | ||
Maryland - 1.8% | |||
Maryland Health & Higher Edl. Facilities Auth. Rev. (Mercy Med. Ctr. Proj.) Series 2007 D, 0.18% 12/7/12, LOC Wells Fargo Bank NA, VRDN (a) | 16,000,000 | 16,000,000 | |
Massachusetts - 5.9% | |||
Massachusetts Dev. Fin. Agcy. Rev. (New England Deaconess Assoc. Proj.) Series 2011 B, 0.18% 12/7/12, LOC Manufacturers & Traders Trust Co., VRDN (a) | 3,600,000 | 3,600,000 | |
Massachusetts Gen. Oblig. Participating VRDN Series Clipper 07 41, 0.19% 12/7/12 (Liquidity Facility State Street Bank & Trust Co., Boston) (a)(b) | 5,000,000 | 5,000,000 | |
Variable Rate Demand Note - continued | |||
Principal Amount | Value | ||
Massachusetts - continued | |||
Massachusetts School Bldg. Auth. Dedicated Sales Tax Rev. Participating VRDN: | |||
Series EGL 07 0031, 0.16% 12/7/12 (Liquidity Facility Citibank NA) (a)(b) | $ 1,000,000 | $ 1,000,000 | |
Series MS 3228X, 0.22% 12/7/12 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b) | 2,500,000 | 2,500,000 | |
Massachusetts Wtr. Resources Auth. Wtr. & Swr. Rev.: | |||
Series 2002 C, 0.17% 12/3/12, LOC Landesbank Hessen-Thuringen, VRDN (a) | 2,665,000 | 2,665,000 | |
Series 2002 D, 0.19% 12/3/12, LOC Landesbank Baden-Wuert, VRDN (a) | 38,275,000 | 38,275,000 | |
| 53,040,000 | ||
Michigan - 3.3% | |||
Chelsea Econ. Dev. Corp. Ltd. Oblig. Rev. (Silver Maples of Chelsea Proj.) 0.17% 12/7/12, LOC Comerica Bank, VRDN (a) | 2,885,000 | 2,885,000 | |
Farmington Hills Hosp. Fin. Auth. Hosp. Rev. (Botsford Gen. Hosp. Proj.) Series 2008 A, 0.19% 12/3/12, LOC U.S. Bank NA, Cincinnati, VRDN (a) | 3,700,000 | 3,700,000 | |
Kent Hosp. Fin. Auth. Hosp. Facilities Rev. (Spectrum Health Sys. Proj.) Series 2008 B3, 0.15% 12/7/12 (Liquidity Facility Wells Fargo Bank NA), VRDN (a) | 3,700,000 | 3,700,000 | |
Michigan Hosp. Fin. Auth. Rev. Participating VRDN Series ROC II R 11676, 0.17% 12/7/12 (Liquidity Facility Citibank NA) (a)(b) | 1,000,000 | 1,000,000 | |
Michigan Hsg. Dev. Auth. Single Family Mtg. Rev. Series 2009 D, 0.16% 12/7/12 (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac), VRDN (a) | 2,900,000 | 2,900,000 | |
Michigan Strategic Fund Ltd. Oblig. Rev.: | |||
(Air Products and Chemicals, Inc. Proj.) Series 2007 V1, 0.17% 12/3/12, VRDN (a) | 7,750,000 | 7,750,000 | |
(Henry Ford Museum & Greenfield Village Projs.) Series 2002, 0.19% 12/3/12, LOC Comerica Bank, VRDN (a) | 7,500,000 | 7,500,000 | |
| 29,435,000 | ||
Mississippi - 2.4% | |||
Jackson County Poll. Cont. Rev. (Chevron U.S.A., Inc. Proj.) Series 1993 0.18% 12/3/12, VRDN (a) | 9,500,000 | 9,500,000 | |
Mississippi Bus. Fin. Corp.: | |||
(Chevron U.S.A., Inc. Proj.) Series 2007 A, 0.16% 12/3/12 (Chevron Corp. Guaranteed), VRDN (a) | 6,300,000 | 6,300,000 | |
Variable Rate Demand Note - continued | |||
Principal Amount | Value | ||
Mississippi - continued | |||
Mississippi Bus. Fin. Corp.: - continued | |||
(Chevron USA, Inc. Proj.) Series 2007 C, 0.18% 12/3/12 (Chevron Corp. Guaranteed), VRDN (a) | $ 2,550,000 | $ 2,550,000 | |
Mississippi Gen. Oblig. Participating VRDN Series ROC II-R 11987, 0.16% 12/7/12 (Liquidity Facility Citibank NA) (a)(b) | 3,600,000 | 3,600,000 | |
| 21,950,000 | ||
Missouri - 5.4% | |||
Kansas City Indl. Dev. Auth. (Ewing Marion Kauffman Foundation Prog.): | |||
Series A, 0.19% 12/3/12, VRDN (a) | 14,050,000 | 14,050,000 | |
0.19% 12/3/12, VRDN (a) | 3,000,000 | 3,000,000 | |
Missouri Dev. Fin. Board Lease Rev. (Missouri Assoc. of Muni. Utils. Proj.) 0.19% 12/3/12, LOC U.S. Bank NA, Cincinnati, VRDN (a) | 2,400,000 | 2,400,000 | |
Missouri Health & Edl. Facilities Auth. Edl. Facilities Rev.: | |||
(DeSmet Jesuit High School Proj.) Series 2002, 0.19% 12/3/12, LOC U.S. Bank NA, Cincinnati, VRDN (a) | 5,200,000 | 5,200,000 | |
Series 2011 B, 0.19% 12/3/12, LOC Northern Trust Co., VRDN (a) | 2,000,000 | 2,000,000 | |
Series 2012, 0.17% 12/3/12, LOC PNC Bank NA, VRDN (a) | 1,700,000 | 1,700,000 | |
Missouri Health & Edl. Facilities Auth. Rev. (Ascension Health Cr. Group Proj.) Series 2003 C2, 0.15% 12/7/12, VRDN (a) | 20,335,000 | 20,335,000 | |
| 48,685,000 | ||
Montana - 1.1% | |||
Helena Higher Ed. Rev. (Carroll College Campus Hsg. Proj.) 0.19% 12/3/12, LOC U.S. Bank NA, Cincinnati, VRDN (a) | 9,600,000 | 9,600,000 | |
Nebraska - 0.4% | |||
Central Plains Energy Proj. Rev. (Nebraska Gas Proj.) Series 2009, 0.16% 12/7/12 (Liquidity Facility Royal Bank of Canada), VRDN (a) | 3,400,000 | 3,400,000 | |
Nevada - 0.8% | |||
Clark County Fuel Tax Participating VRDN ROC II R 11836, 0.16% 12/7/12 (Liquidity Facility Citibank NA) (a)(b) | 7,500,000 | 7,500,000 | |
New Mexico - 0.8% | |||
New Mexico Muni. Energy Acquisition Auth. Gas Supply Rev. Series 2009, 0.16% 12/7/12 (Liquidity Facility Royal Bank of Canada), VRDN (a) | 7,385,000 | 7,385,000 | |
Variable Rate Demand Note - continued | |||
Principal Amount | Value | ||
New York - 7.7% | |||
New York City Gen. Oblig.: | |||
Series 2006 I5, 0.18% 12/3/12, LOC California Pub. Employees Retirement Sys., VRDN (a) | $ 4,000,000 | $ 4,000,000 | |
Series 2012 G6, 0.18% 12/3/12 (Liquidity Facility Mizuho Corporate Bank Ltd.), VRDN (a) | 9,900,000 | 9,900,000 | |
Series 2013 A2, 0.17% 12/3/12 (Liquidity Facility Mizuho Corp. Bank Ltd. Branch), VRDN (a) | 3,300,000 | 3,300,000 | |
Series A10, 0.17% 12/3/12, LOC JPMorgan Chase Bank, VRDN (a) | 8,035,000 | 8,035,000 | |
New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev.: | |||
Series 2006 AA, 0.18% 12/3/12 (Liquidity Facility State Street Bank & Trust Co., Boston), VRDN (a) | 1,850,000 | 1,850,000 | |
Series 2009 BB1, 0.2% 12/3/12 (Liquidity Facility Landesbank Hessen-Thuringen), VRDN (a) | 6,400,000 | 6,400,000 | |
Series 2009 BB2, 0.2% 12/3/12 (Liquidity Facility Landesbank Hessen-Thuringen), VRDN (a) | 7,000,000 | 7,000,000 | |
Series 2012 B2, 0.17% 12/3/12 (Liquidity Facility California Pub. Employees Retirement Sys.), VRDN (a) | 11,300,000 | 11,300,000 | |
New York City Transitional Fin. Auth. Rev.: | |||
Series 2001 B, 0.19% 12/3/12 (Liquidity Facility Landesbank Baden-Wuert), VRDN (a) | 1,000,000 | 1,000,000 | |
Series 2013 A5, 0.16% 12/3/12 (Liquidity Facility U.S. Bank NA, Cincinnati), VRDN (a) | 6,500,000 | 6,500,000 | |
Series 2013 A6, 0.16% 12/3/12 (Liquidity Facility California Teachers Retirement Sys.), VRDN (a) | 2,800,000 | 2,800,000 | |
New York Urban Dev. Corp. Rev. Series 2008 A1, 0.16% 12/7/12, LOC Wells Fargo Bank NA, VRDN (a) | 4,800,000 | 4,800,000 | |
Triborough Bridge & Tunnel Auth. Revs. Series 2005 B2 B, 0.16% 12/3/12, LOC California Teachers Retirement Sys., VRDN (a) | 2,635,000 | 2,635,000 | |
| 69,520,000 | ||
North Carolina - 3.1% | |||
North Carolina Cap. Facilities Fin. Agcy. Rev. Participating VRDN Series Putters 3248, 0.18% 12/3/12 (Liquidity Facility JPMorgan Chase Bank) (a)(b) | 2,390,000 | 2,390,000 | |
North Carolina Med. Care Commission Health Care Facilities Rev.: | |||
(Cape Fear Valley Health Sys. Proj.) Series 2008 A1, 0.17% 12/7/12, LOC Branch Banking & Trust Co., VRDN (a) | 2,875,000 | 2,875,000 | |
(WakeMed Proj.) Series 2009 C, 0.18% 12/7/12, LOC Wells Fargo Bank NA, VRDN (a) | 20,625,000 | 20,625,000 | |
Variable Rate Demand Note - continued | |||
Principal Amount | Value | ||
North Carolina - continued | |||
North Carolina Med. Care Commission Health Care Facilities Rev.: - continued | |||
Participating VRDN Series BC 10 31W, 0.18% 12/7/12 (Liquidity Facility Barclays Bank PLC) (a)(b) | $ 1,875,000 | $ 1,875,000 | |
Parson County Indl. Facilities and Poll. Cont. Fing. Auth. (CertainTeed Gypsum NC, Inc. Proj.) Series 2010, 0.3% 12/7/12, LOC Cr. Industriel et Commercial, VRDN (a) | 400,000 | 400,000 | |
| 28,165,000 | ||
Ohio - 3.2% | |||
Alliance Hosp. Rev. (Alliance Obligated Group Proj.) Series 2003, 0.18% 12/3/12, LOC JPMorgan Chase Bank, VRDN (a) | 8,785,000 | 8,785,000 | |
Cleveland Arpt. Sys. Rev. Series 2008 D, 0.18% 12/7/12, LOC PNC Bank NA, VRDN (a) | 5,975,000 | 5,975,000 | |
Ohio Air Quality Dev. Auth. Rev. (FirstEnergy Nuclear Generation Corp. Proj.) Series 2006 B, 0.19% 12/3/12, LOC Wells Fargo Bank NA, VRDN (a) | 1,200,000 | 1,200,000 | |
Ohio Higher Edl. Facility Commission Rev. Series 2008 B1, 0.19% 12/3/12, LOC U.S. Bank NA, Cincinnati, VRDN (a) | 3,800,000 | 3,800,000 | |
Ohio Wtr. Dev. Auth. Poll. Cont. Facilities Rev. Series 2010 C, 0.18% 12/3/12, LOC UBS AG, VRDN (a) | 8,900,000 | 8,900,000 | |
| 28,660,000 | ||
Oregon - 1.7% | |||
Multnomah County Hosp. Facilities Auth. Rev. (Mirabella at South Waterfront Proj.) Series 2008 A, 0.24% 12/3/12, LOC Bank of Scotland PLC, VRDN (a) | 3,400,000 | 3,400,000 | |
Salem Hosp. Facility Auth. Rev. (Salem Hosp. Proj.) Series 2008 C, 0.17% 12/7/12, LOC Bank of America NA, VRDN (a) | 12,150,000 | 12,150,000 | |
| 15,550,000 | ||
Pennsylvania - 4.6% | |||
Allegheny County Hosp. Dev. Auth. Rev. (Jefferson Reg'l. Med. Ctr. Proj.) Series 2008 A, 0.18% 12/7/12, LOC PNC Bank NA, VRDN (a) | 5,900,000 | 5,900,000 | |
Allegheny County Indl. Dev. Auth. Health Care Rev. (Vincentian Collaborative Sys. Proj.) Series 2008 A, 0.17% 12/7/12, LOC PNC Bank NA, VRDN (a) | 4,300,000 | 4,300,000 | |
Allegheny County Indl. Dev. Auth. Rev.: | |||
(Jewish Home & Hosp. for Aged Proj.) Series 1996 B, 0.18% 12/7/12, LOC PNC Bank NA, VRDN (a) | 2,250,000 | 2,250,000 | |
(Our Lady of the Sacred Heart High School Proj.) Series 2002, 0.18% 12/7/12, LOC PNC Bank NA, VRDN (a) | 3,410,000 | 3,410,000 | |
Variable Rate Demand Note - continued | |||
Principal Amount | Value | ||
Pennsylvania - continued | |||
Haverford Township School District Series 2009, 0.17% 12/7/12, LOC TD Banknorth, NA, VRDN (a) | $ 6,960,000 | $ 6,960,000 | |
Lancaster County Hosp. Auth. Health Ctr. Rev. (Masonic Homes Proj.) Series 2008 D, 0.19% 12/3/12, LOC JPMorgan Chase Bank, VRDN (a) | 3,250,000 | 3,250,000 | |
Pennsylvania Higher Edl. Facilities Auth. Rev. (King's College Proj.) Series 2002 J3, 0.18% 12/7/12, LOC PNC Bank NA, VRDN (a) | 725,000 | 725,000 | |
RBC Muni. Products, Inc. Trust Participating VRDN Series RBC E 29, 0.16% 12/7/12 (Liquidity Facility Royal Bank of Canada) (a)(b) | 1,495,000 | 1,495,000 | |
Somerset County Gen. Oblig. Series 2009 C, 0.18% 12/7/12, LOC PNC Bank NA, VRDN (a) | 2,300,000 | 2,300,000 | |
Southeastern Pennsylvania Trans. Auth. Rev. Series 2007, 0.16% 12/3/12, LOC PNC Bank NA, VRDN (a) | 10,200,000 | 10,200,000 | |
Wilkes Barre Gen. Oblig. Series 2004 B, 0.18% 12/7/12, LOC PNC Bank NA, VRDN (a) | 1,200,000 | 1,200,000 | |
| 41,990,000 | ||
South Carolina - 0.2% | |||
South Carolina Jobs-Econ. Dev. Auth. (AnMed Health Proj.) Series 2009 A, 0.15% 12/7/12, LOC Branch Banking & Trust Co., VRDN (a) | 2,250,000 | 2,250,000 | |
Tennessee - 0.8% | |||
Indl. Dev. Board of Blount County and Cities of Alcoa and Maryville (Maryville Civic Arts Ctr. Proj.) Series 2009 A, 0.18% 12/7/12, LOC Branch Banking & Trust Co., VRDN (a) | 700,000 | 700,000 | |
Memphis Health, Edl. & Hsg. Facilities Board (Watergrove Apts. Proj.) Series 2004, 0.16% 12/7/12, LOC Freddie Mac, VRDN (a) | 3,200,000 | 3,200,000 | |
Rutherford County Health & Edl. Facilities Board Rev. Participating VRDN BC 10 25W, 0.18% 12/7/12 (Liquidity Facility Barclays Bank PLC) (a)(b) | 3,000,000 | 3,000,000 | |
| 6,900,000 | ||
Texas - 6.4% | |||
Cypress-Fairbanks Independent School District Participating VRDN Series 86TP, 0.17% 12/7/12 (Liquidity Facility Wells Fargo & Co.) (a)(b) | 4,980,000 | 4,980,000 | |
Frisco Independent School District Participating VRDN Series ROC II R 11960, 0.16% 12/7/12 (Liquidity Facility Citibank NA) (a)(b) | 2,600,000 | 2,600,000 | |
Variable Rate Demand Note - continued | |||
Principal Amount | Value | ||
Texas - continued | |||
Houston Util. Sys. Rev. Participating VRDN Series ROC II R 12323, 0.17% 12/3/12 (Liquidity Facility Citibank NA) (a)(b) | $ 18,200,000 | $ 18,200,000 | |
Medina Valley Texas Independent School District Participating VRDN Series ROC II R 11969, 0.16% 12/7/12 (Liquidity Facility Citibank NA) (a)(b) | 2,960,000 | 2,960,000 | |
Port Arthur Navigation District Envir. Facilities Rev.: | |||
(Motiva Enterprises LLC Proj.) Series 2001 A, 0.18% 12/3/12, VRDN (a) | 10,725,000 | 10,725,000 | |
Series 2010 D, 0.18% 12/3/12, VRDN (a) | 11,100,000 | 11,100,000 | |
Texas Gen. Oblig. Participating VRDN: | |||
Series Putters 4262, 0.18% 12/3/12 (Liquidity Facility JPMorgan Chase Bank) (a)(b) | 3,800,000 | 3,800,000 | |
Series SG 152, 0.2% 12/3/12 (Liquidity Facility Societe Generale) (a)(b) | 3,500,000 | 3,500,000 | |
| 57,865,000 | ||
Utah - 1.8% | |||
Murray City Hosp. Rev. (IHC Health Svcs., Inc. Proj.) Series 2005 A, 0.18% 12/3/12 (Liquidity Facility JPMorgan Chase Bank), VRDN (a) | 7,285,000 | 7,285,000 | |
Weber County Hosp. Rev. (IHC Health Svcs., Inc. Proj.) Series C, 0.19% 12/3/12 (Liquidity Facility Landesbank Hessen-Thuringen), VRDN (a) | 8,975,000 | 8,975,000 | |
| 16,260,000 | ||
Virginia - 0.2% | |||
Virginia Commonwealth Univ. Health Sys. Auth. Series 2008 C, 0.18% 12/3/12, LOC Branch Banking & Trust Co., VRDN (a) | 2,300,000 | 2,300,000 | |
Washington - 2.9% | |||
King County Gen. Oblig. Participating VRDN Series ROC II R 11731, 0.16% 12/7/12 (Liquidity Facility Citibank NA) (a)(b) | 9,815,000 | 9,815,000 | |
Washington Gen. Oblig. Participating VRDN: | |||
Series Clipper 05 39, 0.17% 12/7/12 (Liquidity Facility State Street Bank & Trust Co., Boston) (a)(b) | 2,000,000 | 2,000,000 | |
Series ROC II R 11891, 0.16% 12/7/12 (Liquidity Facility Citibank NA) (a)(b) | 5,000,000 | 5,000,000 | |
Series ROC II R 11924, 0.17% 12/7/12 (Liquidity Facility Citibank NA) (a)(b) | 3,960,000 | 3,960,000 | |
Washington Health Care Facilities Auth. Rev.: | |||
(Southwest Washington Med. Ctr.) Series 2008 A, 0.17% 12/7/12, LOC Union Bank of California, VRDN (a) | 1,600,000 | 1,600,000 | |
Variable Rate Demand Note - continued | |||
Principal Amount | Value | ||
Washington - continued | |||
Washington Health Care Facilities Auth. Rev.: - continued | |||
Participating VRDN Series Putters 4728, 0.19% 12/7/12 (Liquidity Facility Bank of America NA) (a)(b) | $ 500,000 | $ 500,000 | |
Washington Hsg. Fin. Commission Multi-family Hsg. Rev. (The Cambridge Apts. Proj.) Series 2009, 0.16% 12/7/12, LOC Fannie Mae, VRDN (a) | 1,200,000 | 1,200,000 | |
Washington Hsg. Fin. Commission Nonprofit Hsg. Rev. (Emerald Heights Proj.) Series 2003, 0.19% 12/3/12, LOC Bank of America NA, VRDN (a) | 1,820,000 | 1,820,000 | |
| 25,895,000 | ||
West Virginia - 2.1% | |||
West Virginia Econ. Dev. Auth. Solid Waste Disp. Facilities Rev. (Appalachian Pwr. Co. - Amos Proj.) Series 2009 B, 0.17% 12/7/12, LOC Sumitomo Mitsui Banking Corp., VRDN (a) | 3,000,000 | 3,000,000 | |
West Virginia Hosp. Fin. Auth. Hosp. Rev. (West Virginia United Health Sys. Proj.) Series 2008 B, 0.18% 12/3/12, LOC JPMorgan Chase Bank, VRDN (a) | 15,935,000 | 15,935,000 | |
| 18,935,000 | ||
Wisconsin - 1.3% | |||
Wisconsin Health & Edl. Facilities Auth. Rev.: | |||
(Froedtert & Cmnty. Health, Inc. Proj.) Series 2009 B, 0.19% 12/3/12, LOC U.S. Bank NA, Cincinnati, VRDN (a) | 1,055,000 | 1,055,000 | |
(ProHealth Care, Inc. Proj.) Series 2008 A, 0.19% 12/3/12, LOC U.S. Bank NA, Cincinnati, VRDN (a) | 8,815,000 | 8,815,000 | |
Wisconsin Hsg. and Econ. Dev. Auth. Multi-family Hsg. Rev. Series 2006 B, 0.16% 12/7/12 (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac), VRDN (a) | 1,615,000 | 1,615,000 | |
| 11,485,000 | ||
TOTAL VARIABLE RATE DEMAND NOTE |
| ||
Other Municipal Debt - 0.1% | |||
Principal Amount | Value | ||
Texas - 0.1% | |||
Houston Gen. Oblig. Series 2012 A, 0.27% 12/4/12, LOC Union Bank of California, CP | $ 1,300,000 | $ 1,300,000 | |
TOTAL INVESTMENT PORTFOLIO - 100.3% (Cost $906,965,000) | 906,965,000 | ||
NET OTHER ASSETS (LIABILITIES) - (0.3)% | (2,953,842) | ||
NET ASSETS - 100% | $ 904,011,158 |
Security Type Abbreviations | ||
CP | - | COMMERCIAL PAPER |
VRDN | - | VARIABLE RATE DEMAND NOTE (A debt instrument that is payable upon demand, either daily, weekly or monthly) |
Legend |
(a) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(b) Provides evidence of ownership in one or more underlying municipal bonds. |
Other Information |
The date shown for securities represents the date when principal payments must be paid, taking into account any call options exercised by the issuer and any permissible maturity shortening features other than interest rate resets. |
All investments are categorized as Level 2 under the Fair Value Hierarchy which are categorized as Level 2. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, please refer to the Security Valuation section in the accompanying Notes to Financial Statements. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
| November 30, 2012 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value - See accompanying schedule: Unaffiliated issuers (cost $906,965,000) |
| $ 906,965,000 |
Cash |
| 1,394 |
Interest receivable | 190,999 | |
Total assets | 907,157,393 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 3,000,506 | |
Distributions payable | 141,632 | |
Other payables and accrued expenses | 4,097 | |
Total liabilities | 3,146,235 | |
|
|
|
Net Assets | $ 904,011,158 | |
Net Assets consist of: |
| |
Paid in capital | $ 903,990,181 | |
Accumulated undistributed net realized gain (loss) on investments | 20,977 | |
Net Assets, for 903,720,373 shares outstanding | $ 904,011,158 | |
Net Asset Value, offering price and redemption price per share ($904,011,158 ÷ 903,720,373 shares) | $ 1.00 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Operations
Six months ended November 30, 2012 (Unaudited) | ||
|
|
|
Investment Income |
|
|
Interest |
| $ 790,493 |
|
|
|
Expenses | ||
Custodian fees and expenses | $ 8,181 | |
Independent trustees' compensation | 1,680 | |
Total expenses before reductions | 9,861 | |
Expense reductions | (1,683) | 8,178 |
Net investment income (loss) | 782,315 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers |
| 3,279 |
Net increase in net assets resulting from operations | $ 785,594 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Changes in Net Assets
| Six months ended November 30, 2012 | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 782,315 | $ 1,612,679 |
Net realized gain (loss) | 3,279 | 64,753 |
Net increase in net assets resulting | 785,594 | 1,677,432 |
Distributions to shareholders from net investment income | (782,315) | (1,612,679) |
Affiliated share transactions at net asset value of $1.00 per share | 2,905,824,000 | 4,348,366,500 |
Cost of shares redeemed | (3,022,987,500) | (4,903,418,000) |
Net increase (decrease) in net assets and shares resulting from share transactions | (117,163,500) | (555,051,500) |
Total increase (decrease) in net assets | (117,160,221) | (554,986,747) |
|
|
|
Net Assets | ||
Beginning of period | 1,021,171,379 | 1,576,158,126 |
End of period | $ 904,011,158 | $ 1,021,171,379 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights
| Six months ended | Years ended May 31, | ||||
| (Unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) | .001 | .001 | .002 | .002 | .012 | .031 |
Net realized and unrealized gain (loss) F | - | - | - | - | - | - |
Total from investment operations | .001 | .001 | .002 | .002 | .012 | .031 |
Distributions from net investment income | (.001) | (.001) | (.002) | (.002) | (.012) | (.031) |
Distributions from net realized gain | - | - | - | - | - | - F |
Total distributions | (.001) | (.001) | (.002) | (.002) | (.012) | (.031) |
Net asset value, end of period | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 |
Total Return B,C | .09% | .12% | .23% | .22% | 1.24% | 3.16% |
Ratios to Average Net Assets E |
|
|
|
|
| |
Expenses before reductions D | -% A | -% | -% | -% | -% | -% |
Expenses net of fee waivers, if any D | -% A | -% | -% | -% | -% | -% |
Expenses net of all reductions D | -% A | -% | -% | -% | -% | -% |
Net investment income (loss) | .17% A | .12% | .23% | .22% | 1.32% | 3.04% |
Supplemental Data |
|
|
|
|
| |
Net assets, end of period (000 omitted) | $ 904,011 | $ 1,021,171 | $ 1,576,158 | $ 1,275,379 | $ 789,306 | $ 674,963 |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Amount represents less than .01%.
E Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed or waived or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements, waivers or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement and waivers but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.
F Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended November 30, 2012 (Unaudited)
1. Organization.
Fidelity® Tax-Free Cash Central Fund (the Fund) is a fund of Fidelity Revere Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. Shares of the Fund are only offered to other investment companies and accounts (the Investing Funds) managed by Fidelity Management & Research Company (FMR), or its affiliates.
2. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Security Valuation. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
As permitted by compliance with certain conditions under Rule 2a-7 of the 1940 Act, securities are valued at amortized cost, which approximates fair value. 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. Securities held by a money market fund are generally high quality and liquid; however, they are reflected as Level 2 because the inputs used to determine fair value are not quoted prices in an active market.
Investment Transactions and Income. Security transactions are accounted for as of trade date. Gains and losses on securities sold are determined on the basis of identified cost. Interest income is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
2. Significant Accounting Policies - continued
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. A fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. There were no significant book-to-tax differences during the period.
The Fund purchases municipal securities whose interest, in the opinion of the issuer, is free from federal income tax. There is no assurance that the IRS will agree with this opinion. In the event the IRS determines that the issuer does not comply with relevant tax requirements, interest payments from a security could become federally taxable, possibly retroactively to the date the security was issued.
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation | $ - |
Gross unrealized depreciation | - |
Net unrealized appreciation (depreciation) on securities and other investments | $ - |
Tax cost | $ 906,965,000 |
3. Fees and Other Transactions with Affiliates.
Management Fee and Expense Contract. Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR, provides the Fund with investment management services. The Fund does not pay any fees for these services. Pursuant to the Fund's management contract with FIMM, FMR pays FIMM a portion of the management fees it receives from the Investing Funds. In addition, under an expense contract, FMR also pays all other expenses of the Fund, excluding custody fees, the compensation of the independent Trustees, and certain exceptions such as interest expense.
Semiannual Report
4. Expense Reductions.
FMR has voluntarily agreed to reimburse a portion of the Fund's operating expenses. For the period, the reimbursement reduced the expenses by $1,680.
In addition, through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $3.
5. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
At the end of the period, mutual funds managed by FMR or an FMR affiliate were the owners of record of all of the outstanding shares of the Fund.
Semiannual Report
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Tax-Free Cash Central Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract and sub-advisory agreements (together, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established three standing committees, Operations, Audit, and Governance and Nominating, each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and, among other matters, considers matters specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to consider matters specifically related to the Board's annual consideration of the renewal of Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through ad hoc joint committees to discuss certain matters relevant to the Fidelity funds.
At its September 2012 meeting, the Board of Trustees, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant and reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders and the fact that no fee is payable under the management contract is fair and reasonable.
Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the investment adviser, Fidelity Investments Money Management, Inc., and the sub-advisers (together, the Investment Advisers), including the backgrounds of the fund's investment personnel, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the portfolio manager compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund.
Semiannual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staff, including its size, education, experience, and resources, as well as the Investment Advisers' approach to recruiting, managing, and compensating investment personnel. The Board also noted that Fidelity Management & Research Company (FMR) has continued to increase the resources devoted to non U.S. offices, including expansion of Fidelity's global investment organization. The Board noted that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. The Board also believes that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered the Investment Advisers' trading and risk management capabilities and resources, which are an integral part of the investment management process.
Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory and administrative services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.
Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. The Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance, but did not consider performance to be a material factor in its decision to renew the fund's Advisory Contracts, as the fund is not publicly offered as a stand-alone investment product. In this regard, the Board noted that the fund is designed to offer a liquid investment option for other investment companies and accounts managed by FMR or its affiliates and ultimately to enhance the performance of those investment companies and accounts.
Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should benefit the fund's shareholders.
Competitiveness of Management Fee and Total Expense Ratio. The Board considered that while the fund does not pay a management fee, FMR pays a management fee on behalf of the fund and receives fees for providing services to funds that invest in the fund. The Board also noted that FMR bears all expenses of the fund, except expenses related to the fund's investment activities (primarily custody expenses). Based on its review, the Board concluded that the management fee paid on behalf of the fund and the fund's total expense ratio were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Semiannual Report
Costs of the Services and Profitability. The Board considered the level of Fidelity's profits in respect of all the Fidelity funds, as well as the profitability of each fund that invests in this fund.
PricewaterhouseCoopers LLP (PwC), independent registered public accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of Fidelity's methodologies used in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures surrounding the mathematical accuracy of fund profitability and its conformity to allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
The Board also reviewed Fidelity's non-fund businesses and fall-out benefits related to the mutual fund business as well as cases where Fidelity's affiliates may benefit from or be related to the fund's business.
The Board concluded that the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund were not relevant to the renewal of the Advisory Contracts because the fund pays no advisory fees and FMR bears all expenses of the fund, except expenses related to the fund's investment activities.
Economies of Scale. The Board concluded that because the fund pays no advisory fees and FMR bears all expenses of the fund, except expenses related to the fund's investment activities, economies of scale cannot be realized by the fund.
Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Fidelity funds' Advisory Contracts, the Board requested and received additional information on certain topics, including: (i) Fidelity's fund profitability methodology, profitability trends for certain funds, and the impact of certain factors on fund profitability results; (ii) portfolio manager changes that have occurred during the past year and the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (iii) Fidelity's compensation structure for portfolio managers, research analysts, and other key personnel, including its effects on fund profitability, the rationale for the compensation structure, and the extent to which current market conditions have affected retention and recruitment; (iv) the compensation paid to fund sub-advisers on behalf of the Fidelity funds; (v) Fidelity's fee structures, including the group fee structure, and the rationale for recommending different fees among different categories of funds and classes; (vi) Fidelity's voluntary waiver of its fees to maintain minimum yields for certain money market funds and classes as well as contractual waivers in place for certain funds; (vii) regulatory and industry developments, including those affecting money market funds and target date funds, and the potential impact to Fidelity; (viii) Fidelity's transfer agent fees, expenses, and services, and drivers for determining the transfer agent fee structure of different funds and classes; (ix) management fee rates charged by FMR or Fidelity entities to other Fidelity clients; (x) the allocation of and historical trends in Fidelity's realization of fall-out benefits; and (xi) explanations regarding the relative total expense ratios of certain funds and classes, total expense competitive trends, and actions that might be taken by FMR to reduce total expense ratios for certain funds and classes or to achieve further economies of scale.
Semiannual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board ultimately concluded that the advisory fee structures are fair and reasonable, and that the fund's Advisory Contracts should be renewed.
Semiannual Report
Item 2. Code of Ethics
Not applicable.
Item 3. Audit Committee Financial Expert
Not applicable.
Item 4. Principal Accountant Fees and Services
Not applicable.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Investments
(a) Not applicable.
(b) Not applicable
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Revere Street Trust's Board of Trustees.
Item 11. Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Revere Street Trust's (the "Trust") disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) 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 Trust's internal control over financial reporting.
Item 12. Exhibits
(a) | (1) | Not applicable. |
(a) | (2) | Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
(a) | (3) | Not applicable. |
(b) |
| Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as 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, thereunto duly authorized.
Fidelity Revere Street Trust
By: | /s/John R. Hebble |
| John R. Hebble |
| President and Treasurer |
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Date: | January 25, 2013 |
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/John R. Hebble |
| John R. Hebble |
| President and Treasurer |
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Date: | January 25, 2013 |
By: | /s/Christine Reynolds |
| Christine Reynolds |
| Chief Financial Officer |
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Date: | January 25, 2013 |