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 811-03320
Fidelity Colchester Street Trust
(Exact name of registrant as specified in charter)
245 Summer St., Boston, MA 02210
(Address of principal executive offices) (Zip code)
Cynthia Lo Bessette, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant's telephone number, including area code:
617-563-7000
Date of fiscal year end: | March 31 |
Date of reporting period: | September 30, 2019 |
Item 1.
Reports to Stockholders
Fidelity® Investments Money Market Funds
Treasury Only Portfolio
Treasury Portfolio
Government Portfolio
Money Market Portfolio
Prime Money Market Portfolio
Prime Reserves Portfolio
Tax-Exempt Portfolio
Semi-Annual Report
September 30, 2019
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Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of a fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a financial advisor, broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a fund electronically, by contacting your financial intermediary. For Fidelity customers, visit Fidelity's web site or call Fidelity using the contact information listed below.
You may elect to receive all future reports in paper free of charge. If you wish to continue receiving paper copies of your shareholder reports, you may contact your financial intermediary or, if you are a Fidelity customer, visit Fidelity’s website, or call Fidelity at the applicable toll-free number listed below. Your election to receive reports in paper will apply to all funds held with the fund complex/your financial intermediary.
Account Type | Website | Phone Number |
Brokerage, Mutual Fund, or Annuity Contracts: | fidelity.com/mailpreferences | 1-800-343-3548 |
Employer Provided Retirement Accounts: | netbenefits.fidelity.com/preferences (choose 'no' under Required Disclosures to continue to print) | 1-800-343-0860 |
Advisor Sold Accounts Serviced Through Your Financial Intermediary: | Contact Your Financial Intermediary | Your Financial Intermediary's phone number |
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Contents
Treasury Only Portfolio | |
Treasury Portfolio | |
Government Portfolio | |
Money Market Portfolio | |
Prime Money Market Portfolio | |
Prime Reserves Portfolio | |
Tax-Exempt Portfolio | |
Board Approval of Investment Advisory Contracts and Management Fees |
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 1-877-297-2952 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2019 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Funds. This report is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by an effective prospectus.
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-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT 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.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Funds nor Fidelity Distributors Corporation is a bank.
Treasury Only Portfolio
Investment Summary/Performance (Unaudited)
Effective Maturity Diversification as of September 30, 2019
Days | % of fund's investments 9/30/19 |
1 - 7 | 14.9 |
8 - 30 | 27.1 |
31 - 60 | 37.3 |
61 - 90 | 15.2 |
91 - 180 | 5.5 |
Effective maturity is determined in accordance with the requirements of Rule 2a-7 under the Investment Company Act of 1940.
Asset Allocation (% of fund's net assets)
As of September 30, 2019 | ||
U.S. Treasury Debt | 105.6% | |
Net Other Assets (Liabilities)* | (5.6)% |
* Net Other Assets (Liabilities) are not included in the pie chart
Current 7-Day Yields
9/30/19 | |
Class I | 1.86% |
Class II | 1.71% |
Class III | 1.61% |
Class IV | 1.36% |
Select Class | 1.81% |
Institutional Class | 1.90% |
Yield refers to the income paid by the Fund over a given period. Yield for money market funds is usually for seven-day periods, as it is here, though it is expressed as an annual percentage rate. Past performance is no guarantee of future results. Yield will vary and it's possible to lose money investing in the Fund. A portion of the Fund's expenses was reimbursed and/or waived. Absent such reimbursements and/or waivers the yield for the period ending September 30, 2019, the most recent period shown in the table, would have been 1.83% for Class I, 1.67% for Class II, 1.57% for Class III, 1.32% for Class IV, 1.77% for Select Class, and 1.86% for Institutional Class.
Treasury Only Portfolio
Schedule of Investments September 30, 2019 (Unaudited)
Showing Percentage of Net Assets
U.S. Treasury Debt - 105.6% | ||||
Yield(a) | Principal Amount (000s) | Value (000s) | ||
U.S. Treasury Obligations - 105.6% | ||||
U.S. Treasury Bills | ||||
10/1/19 to 3/19/20 | 1.55 to 2.42% | $22,060,080 | $22,008,071 | |
U.S. Treasury Notes | ||||
10/15/19 to 7/31/21 | 1.91 to 2.35 (b) | 3,784,965 | 3,783,677 | |
TOTAL U.S. TREASURY DEBT | ||||
(Cost $25,791,748) | 25,791,748 | |||
TOTAL INVESTMENT IN SECURITIES - 105.6% | ||||
(Cost $25,791,748) | 25,791,748 | |||
NET OTHER ASSETS (LIABILITIES) - (5.6)% | (1,378,096) | |||
NET ASSETS - 100% | $24,413,652 |
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.
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) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
Investment Valuation
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 Investment Valuation section in the accompanying Notes to Financial Statements.
See accompanying notes which are an integral part of the financial statements.
Treasury Only Portfolio
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts) | September 30, 2019 (Unaudited) | |
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $25,791,748) | $25,791,748 | |
Receivable for fund shares sold | 51,770 | |
Interest receivable | 16,910 | |
Prepaid expenses | 43 | |
Receivable from investment adviser for expense reductions | 718 | |
Total assets | 25,861,189 | |
Liabilities | ||
Payable for investments purchased | $1,395,940 | |
Payable for fund shares redeemed | 33,300 | |
Distributions payable | 13,723 | |
Accrued management fee | 2,799 | |
Distribution and service plan fees payable | 298 | |
Other affiliated payables | 962 | |
Other payables and accrued expenses | 515 | |
Total liabilities | 1,447,537 | |
Net Assets | $24,413,652 | |
Net Assets consist of: | ||
Paid in capital | $24,413,363 | |
Total accumulated earnings (loss) | 289 | |
Net Assets | $24,413,652 | |
Net Asset Value and Maximum Offering Price | ||
Class I: | ||
Net Asset Value, offering price and redemption price per share ($8,147,803 ÷ 8,146,422 shares) | $1.00 | |
Class II: | ||
Net Asset Value, offering price and redemption price per share ($614,490 ÷ 614,547 shares) | $1.00 | |
Class III: | ||
Net Asset Value, offering price and redemption price per share ($895,759 ÷ 895,536 shares) | $1.00 | |
Class IV: | ||
Net Asset Value, offering price and redemption price per share ($62,322 ÷ 62,314 shares) | $1.00 | |
Select Class: | ||
Net Asset Value, offering price and redemption price per share ($253,651 ÷ 253,655 shares) | $1.00 | |
Institutional Class: | ||
Net Asset Value, offering price and redemption price per share ($14,439,627 ÷ 14,439,257 shares) | $1.00 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Amounts in thousands | Six months ended September 30, 2019 (Unaudited) | |
Investment Income | ||
Interest | $259,317 | |
Expenses | ||
Management fee | $15,783 | |
Transfer agent fees | 4,783 | |
Distribution and service plan fees | 1,924 | |
Accounting fees and expenses | 667 | |
Custodian fees and expenses | 95 | |
Independent trustees' fees and expenses | 44 | |
Registration fees | 507 | |
Audit | 21 | |
Legal | 10 | |
Miscellaneous | 41 | |
Total expenses before reductions | 23,875 | |
Expense reductions | (4,258) | |
Total expenses after reductions | 19,617 | |
Net investment income (loss) | 239,700 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 261 | |
Total net realized gain (loss) | 261 | |
Net increase in net assets resulting from operations | $239,961 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Amounts in thousands | Six months ended September 30, 2019 (Unaudited) | Year ended March 31, 2019 |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $239,700 | $339,073 |
Net realized gain (loss) | 261 | 84 |
Net increase in net assets resulting from operations | 239,961 | 339,157 |
Distributions to shareholders | (239,427) | (339,391) |
Share transactions - net increase (decrease) | 3,706,650 | 5,672,987 |
Total increase (decrease) in net assets | 3,707,184 | 5,672,753 |
Net Assets | ||
Beginning of period | 20,706,468 | 15,033,715 |
End of period | $24,413,652 | $20,706,468 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Treasury Only Portfolio Class I
Six months ended (Unaudited) September 30, | Years endedMarch 31, | |||||
2019 | 2019 | 2018 | 2017 | 2016 | 2015 | |
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) | .011 | .019 | .009 | .002 | –A | –A |
Net realized and unrealized gain (loss)A | – | – | – | – | – | – |
Total from investment operations | .011 | .019 | .009 | .002 | –A | –A |
Distributions from net investment income | (.011) | (.019) | (.009) | (.002) | –A | –A |
Total distributions | (.011) | (.019) | (.009) | (.002) | –A | –A |
Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total ReturnB,C | 1.07% | 1.96% | .93% | .23% | .04% | .01% |
Ratios to Average Net AssetsD | ||||||
Expenses before reductions | .21%E | .21% | .21% | .21% | .21% | .21% |
Expenses net of fee waivers, if any | .18%E | .18% | .18% | .18% | .11% | .05% |
Expenses net of all reductions | .18%E | .18% | .18% | .18% | .11% | .05% |
Net investment income (loss) | 2.12%E | 1.97% | .93% | .24% | .05% | - %F |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $8,148 | $7,033 | $6,976 | $7,638 | $10,035 | $9,402 |
A Amount represents less than $.0005 per share.
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 Expense ratios reflect operating expenses of the class. 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 class 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 class.
E Annualized
F Amount represents less than .005%.
See accompanying notes which are an integral part of the financial statements.
Treasury Only Portfolio Class II
Six months ended (Unaudited) September 30, | Years endedMarch 31, | |||||
2019 | 2019 | 2018 | 2017 | 2016 | 2015 | |
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) | .010 | .018 | .008 | .001 | –A | –A |
Net realized and unrealized gain (loss)A | – | – | – | – | – | – |
Total from investment operations | .010 | .018 | .008 | .001 | –A | –A |
Distributions from net investment income | (.010) | (.018) | (.008) | (.001) | –A | –A |
Total distributions | (.010) | (.018) | (.008) | (.001) | –A | –A |
Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total ReturnB,C | .99% | 1.81% | .78% | .09% | .01% | .01% |
Ratios to Average Net AssetsD | ||||||
Expenses before reductions | .36%E | .36% | .36% | .36% | .36% | .36% |
Expenses net of fee waivers, if any | .33%E | .33% | .33% | .33% | .13% | .05% |
Expenses net of all reductions | .33%E | .33% | .33% | .33% | .13% | .05% |
Net investment income (loss) | 1.97%E | 1.82% | .78% | .09% | .03% | - %F |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $614 | $525 | $261 | $159 | $307 | $310 |
A Amount represents less than $.0005 per share.
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 Expense ratios reflect operating expenses of the class. 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 class 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 class.
E Annualized
F Amount represents less than .005%.
See accompanying notes which are an integral part of the financial statements.
Treasury Only Portfolio Class III
Six months ended (Unaudited) September 30, | Years endedMarch 31, | |||||
2019 | 2019 | 2018 | 2017 | 2016 | 2015 | |
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) | .009 | .017 | .007 | –A | –A | –A |
Net realized and unrealized gain (loss)A | – | – | – | – | – | – |
Total from investment operations | .009 | .017 | .007 | –A | –A | –A |
Distributions from net investment income | (.009) | (.017) | (.007) | –A | –A | –A |
Total distributions | (.009) | (.017) | (.007) | –A | –A | –A |
Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total ReturnB,C | .94% | 1.70% | .68% | .04% | .01% | .01% |
Ratios to Average Net AssetsD | ||||||
Expenses before reductions | .46%E | .46% | .46% | .46% | .46% | .46% |
Expenses net of fee waivers, if any | .43%E | .43% | .43% | .38% | .15% | .05% |
Expenses net of all reductions | .43%E | .43% | .43% | .38% | .15% | .05% |
Net investment income (loss) | 1.87%E | 1.72% | .68% | .04% | .01% | - %F |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $896 | $1,044 | $929 | $921 | $831 | $635 |
A Amount represents less than $.0005 per share.
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 Expense ratios reflect operating expenses of the class. 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 class 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 class.
E Annualized
F Amount represents less than .005%.
See accompanying notes which are an integral part of the financial statements.
Treasury Only Portfolio Class IV
Six months ended (Unaudited) September 30, | Years endedMarch 31, | |||||
2019 | 2019 | 2018 | 2017 | 2016 | 2015 | |
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) | .008 | .014 | .004 | –A | –A | –A |
Net realized and unrealized gain (loss)A | – | – | – | – | – | – |
Total from investment operations | .008 | .014 | .004 | –A | –A | –A |
Distributions from net investment income | (.008) | (.014) | (.004) | –A | –A | –A |
Total distributions | (.008) | (.014) | (.004) | –A | –A | –A |
Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total ReturnB,C | .82% | 1.45% | .42% | .01% | .01% | .01% |
Ratios to Average Net AssetsD | ||||||
Expenses before reductions | .71%E | .71% | .71% | .72% | .71% | .71% |
Expenses net of fee waivers, if any | .68%E | .68% | .68% | .37% | .14% | .04% |
Expenses net of all reductions | .68%E | .68% | .68% | .37% | .14% | .04% |
Net investment income (loss) | 1.62%E | 1.47% | .43% | .05% | .02% | .01% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $62 | $155 | $116 | $32 | $338 | $114 |
A Amount represents less than $.0005 per share.
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 Expense ratios reflect operating expenses of the class. 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 class 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 class.
E Annualized
See accompanying notes which are an integral part of the financial statements.
Treasury Only Portfolio Select Class
Six months ended (Unaudited) September 30, | Years endedMarch 31, | |||||
2019 | 2019 | 2018 | 2017 | 2016 | 2015 | |
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) | .010 | .019 | .009 | .002 | –A | –A |
Net realized and unrealized gain (loss)A | – | – | – | – | – | – |
Total from investment operations | .010 | .019 | .009 | .002 | –A | –A |
Distributions from net investment income | (.010) | (.019) | (.009) | (.002) | –A | –A |
Total distributions | (.010) | (.019) | (.009) | (.002) | –A | –A |
Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total ReturnB,C | 1.04% | 1.91% | .88% | .18% | .03% | .01% |
Ratios to Average Net AssetsD | ||||||
Expenses before reductions | .26%E | .26% | .26% | .26% | .27% | .26% |
Expenses net of fee waivers, if any | .23%E | .23% | .23% | .23% | .12% | .05% |
Expenses net of all reductions | .23%E | .23% | .23% | .23% | .12% | .05% |
Net investment income (loss) | 2.07%E | 1.92% | .88% | .19% | .04% | - %F |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $254 | $176 | $121 | $94 | $180 | $194 |
A Amount represents less than $.0005 per share.
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 Expense ratios reflect operating expenses of the class. 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 class 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 class.
E Annualized
F Amount represents less than .005%.
See accompanying notes which are an integral part of the financial statements.
Treasury Only Portfolio Institutional Class
Six months ended (Unaudited) September 30, | Years endedMarch 31, | |||||
2019 | 2019 | 2018 | 2017 | 2016 | 2015 A | |
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) | .011 | .020 | .010 | .003 | .001 | –B |
Net realized and unrealized gain (loss)B | – | – | – | – | – | – |
Total from investment operations | .011 | .020 | .010 | .003 | .001 | –B |
Distributions from net investment income | (.011) | (.020) | (.010) | (.003) | (.001) | –B |
Total distributions | (.011) | (.020) | (.010) | (.003) | (.001) | –B |
Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total ReturnC,D | 1.09% | 2.00% | .97% | .27% | .05% | .01% |
Ratios to Average Net AssetsE | ||||||
Expenses before reductions | .18%F | .18% | .18% | .18% | .18% | .19%F |
Expenses net of fee waivers, if any | .14%F | .14% | .14% | .14% | .12% | .04%F |
Expenses net of all reductions | .14%F | .14% | .14% | .14% | .12% | .04%F |
Net investment income (loss) | 2.16%F | 2.01% | .97% | .28% | .04% | - %F,G |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $14,440 | $11,774 | $6,631 | $4,894 | $1,932 | $126 |
A For the period May 14, 2014 (commencement of sale of shares) to March 31, 2015.
B Amount represents less than $.0005 per share.
C Total returns for periods of less than one year are not annualized.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Expense ratios reflect operating expenses of the class. 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 class during periods when reimbursements, waivers or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. 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 class.
F Annualized
G Amount represents less than .005%.
See accompanying notes which are an integral part of the financial statements.
Treasury Portfolio
Investment Summary/Performance (Unaudited)
Effective Maturity Diversification as of September 30, 2019
Days | % of fund's investments 9/30/19 |
1 - 7 | 68.0 |
8 - 30 | 5.3 |
31 - 60 | 4.8 |
61 - 90 | 4.1 |
91 - 180 | 13.6 |
> 180 | 4.2 |
Effective maturity is determined in accordance with the requirements of Rule 2a-7 under the Investment Company Act of 1940.
Asset Allocation (% of fund's net assets)
As of September 30, 2019 | ||
U.S. Treasury Debt | 33.1% | |
Repurchase Agreements | 66.8% | |
Net Other Assets (Liabilities) | 0.1% |
Current 7-Day Yields
9/30/19 | |
Class I | 1.82% |
Class II | 1.67% |
Class III | 1.58% |
Class IV | 1.33% |
Select Class | 1.77% |
Institutional Class | 1.86% |
Yield refers to the income paid by the Fund over a given period. Yield for money market funds is usually for seven-day periods, as it is here, though it is expressed as an annual percentage rate. Past performance is no guarantee of future results. Yield will vary and it's possible to lose money investing in the Fund. A portion of the Fund's expenses was reimbursed and/or waived. Absent such reimbursements and/or waivers the yield for the period ending September 30, 2019, the most recent period shown in the table, would have been 1.79% for Class I, 1.64% for Class II, 1.54% for Class III, 1.28% for Class IV, 1.74% for Select Class, and 1.82% for Institutional Class.
Treasury Portfolio
Schedule of Investments September 30, 2019 (Unaudited)
Showing Percentage of Net Assets
U.S. Treasury Debt - 33.1% | ||||
Yield(a) | Principal Amount (000s) | Value (000s) | ||
U.S. Treasury Obligations - 33.1% | ||||
U.S. Treasury Bills | ||||
10/8/19 to 8/13/20 | 1.83 to 2.43% | $5,538,900 | $5,510,553 | |
U.S. Treasury Notes | ||||
10/15/19 to 7/31/21 | 1.83 to 2.42 (b) | 4,147,500 | 4,145,565 | |
TOTAL U.S. TREASURY DEBT | ||||
(Cost $9,656,118) | 9,656,118 |
U.S. Treasury Repurchase Agreement - 66.8% | |||
Maturity Amount (000s) | Value (000s) | ||
In a joint trading account at: | |||
2.25% dated 9/30/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations) # | $6,429,352 | $6,428,951 | |
2.35% dated 9/30/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations) # | 151,692 | 151,682 | |
With: | |||
Barclays Bank PLC at: | |||
1.8%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $428,421,446, 2.00% - 2.63%, 2/28/23 - 8/15/25) | 420,021 | 420,000 | |
2.35%, dated 9/30/19 due 10/1/19 | |||
(Collateralized by U.S. Treasury Obligations valued at $1,250,648,205, 1.50% - 3.13%, 6/15/21 - 8/15/45) | 1,222,080 | 1,222,000 | |
(Collateralized by U.S. Treasury Obligations valued at $939,481,404, 0.00% - 2.88%, 6/18/20 - 1/31/24) | 921,060 | 921,000 | |
BMO Harris Bank NA at: | |||
1.97%, dated 9/30/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $30,718,541, 2.38%, 3/15/22) | 30,025 | 30,000 | |
1.98%, dated 9/25/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $16,392,338, 3.63%, 2/15/20) | 16,026 | 16,000 | |
2%, dated: | |||
9/24/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $16,392,338, 3.63%, 2/15/20) | 16,025 | 16,000 | |
9/26/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $30,717,355, 3.13%, 5/15/21) | 30,053 | 30,000 | |
2.06%, dated 9/9/19 due 10/3/19 (Collateralized by U.S. Treasury Obligations valued at $32,800,915, 1.88% - 3.63%, 1/31/22 - 8/15/43) | 32,044 | 32,000 | |
2.07%, dated 8/23/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $31,920,805, 2.50% - 3.63%, 8/15/23 - 8/15/43) | 31,082 | 31,000 | |
2.08%, dated 8/22/19 due 10/4/19 (Collateralized by U.S. Treasury Obligations valued at $31,774,253, 2.13% - 3.63%, 8/15/21 - 8/15/43) | 31,077 | 31,000 | |
2.1%, dated 8/28/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $30,787,006, 2.25% - 3.63%, 8/15/27 - 8/15/48) | 30,060 | 30,000 | |
BNP Paribas, SA at: | |||
1.97%, dated 9/23/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $112,764,953, 0.00% - 6.88%, 11/7/19 - 5/15/48) | 110,181 | 110,000 | |
2%, dated: | |||
8/20/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $37,993,394, 0.00% - 4.38%, 11/7/19 - 5/15/48) | 37,189 | 37,000 | |
9/5/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $64,882,577, 0.00% - 8.00%, 11/7/19 - 2/15/49) | 63,308 | 63,000 | |
9/13/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $81,579,550, 0.00% - 3.00%, 12/5/19 - 6/30/26) | 80,300 | 79,900 | |
9/16/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $70,470,152, 0.00% - 6.00%, 11/7/19 - 11/15/46) | 69,349 | 69,000 | |
9/19/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $385,467,033, 0.00% - 6.00%, 11/7/19 - 8/15/42) | 378,885 | 377,000 | |
2.01%, dated: | |||
8/29/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $31,678,914, 0.00% - 8.00%, 12/5/19 - 11/15/47) | 31,106 | 31,000 | |
9/6/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $167,663,592, 0.00% - 6.00%, 11/7/19 - 5/15/48) | 164,797 | 164,000 | |
9/16/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $70,439,032, 0.00% - 2.75%, 2/20/20 - 12/31/21) | 69,231 | 69,000 | |
9/20/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $74,505,834, 0.00% - 4.38%, 11/7/19 - 2/15/46) | 73,367 | 73,000 | |
2.02%, dated 9/9/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $32,728,966, 0.00% - 4.63%, 11/7/19 - 5/15/44) | 32,108 | 32,000 | |
2.03%, dated: | |||
8/26/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $91,596,607, 2.25% - 7.50%, 6/15/21 - 5/15/48) | 89,301 | 89,000 | |
8/27/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $61,478,639, 0.00% - 6.88%, 11/7/19 - 8/15/41) | 60,210 | 60,000 | |
2.04%, dated: | |||
9/11/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $65,940,180, 0.00% - 5.25%, 11/7/19 - 8/15/46) | 64,109 | 64,000 | |
9/12/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $241,030,802, 0.00% - 7.63%, 12/5/19 - 5/15/48) | 236,388 | 236,000 | |
2.17%, dated 7/17/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $110,664,704, 0.00% - 4.63%, 11/7/19 - 11/15/40) | 108,586 | 108,000 | |
2.19%, dated: | |||
7/11/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $112,290,716, 0.00% - 6.25%, 11/7/19 - 2/15/49) | 109,610 | 109,000 | |
7/12/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $100,747,469, 0.00% - 4.38%, 11/7/19 - 11/15/47) | 98,537 | 98,000 | |
2.21%, dated: | |||
7/10/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $65,614,289, 1.25% - 4.63%, 4/30/21 - 11/15/48) | 64,354 | 64,000 | |
8/1/19 due 10/3/19 (Collateralized by U.S. Treasury Obligations valued at $45,048,216, 0.00% - 4.38%, 11/7/19 - 5/15/41) | 44,170 | 44,000 | |
BofA Securities, Inc. at 1.95%, dated 9/19/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $31,640,568, 1.63%, 9/30/26) | 31,055 | 31,000 | |
CIBC Bank U.S.A. at: | |||
1.93%, dated 9/27/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $46,930,152, 2.13% - 2.88%, 12/31/20 - 8/15/28) | 46,084 | 46,000 | |
1.95%, dated 9/19/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $56,139,559, 1.13% - 2.88%, 2/28/21 - 11/15/46) | 55,095 | 55,000 | |
1.96%, dated 9/27/19 due 10/4/19 (Collateralized by U.S. Treasury Obligations valued at $46,930,299, 1.50% - 3.75%, 11/15/21 - 8/15/41) | 46,018 | 46,000 | |
2.04%, dated 9/3/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $48,936,659, 1.13% - 2.88%, 12/15/20 - 11/15/46) | 48,017 | 47,900 | |
2.05%, dated: | |||
9/3/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $22,476,171, 1.13% - 2.88%, 12/31/20 - 11/15/46) | 22,043 | 22,000 | |
9/12/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $32,675,375, 1.13% - 2.88%, 7/31/21 - 2/15/29) | 32,047 | 32,000 | |
2.07%, dated 8/22/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $16,358,348, 1.13% - 4.50%, 12/31/20 - 11/15/46) | 16,051 | 16,000 | |
Credit AG at: | |||
2%, dated 9/19/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $51,534,334, 3.38%, 11/15/48) | 50,089 | 50,000 | |
2.02%, dated 9/16/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $36,648,904, 5.38%, 2/15/31) | 35,960 | 35,900 | |
2.03%, dated 9/19/19 due 10/21/19 (Collateralized by U.S. Treasury Obligations valued at $65,964,712, 3.38%, 11/15/48) | 64,115 | 64,000 | |
Credit Agricole CIB at: | |||
2.06%, dated 9/26/19 due 10/3/19 (Collateralized by U.S. Treasury Obligations valued at $192,493,861, 1.63%, 2/15/26) | 188,075 | 188,000 | |
2.2%, dated 9/30/19 due 10/2/19 (Collateralized by U.S. Treasury Obligations valued at $185,694,030, 1.50% - 2.63%, 1/31/22 - 6/30/23) | 182,022 | 182,000 | |
Deutsche Bank AG, New York at 2.38%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $176,471,695, 2.88%, 11/30/23) | 173,011 | 173,000 | |
Deutsche Bank Securities, Inc. at 2.38%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $6,120,450, 7.88%, 2/15/21) | 6,000 | 6,000 | |
DNB Bank ASA at 2.35%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $125,468,203, 1.88% - 2.88%, 4/30/21 - 7/31/25) | 123,008 | 123,000 | |
Fixed Income Clearing Corp. - BNYM at 2.35%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $1,166,880,031, 2.00% - 2.63%, 2/28/23 - 11/15/26) | 1,144,075 | 1,144,000 | |
HSBC Securities, Inc. at: | |||
2.14%, dated 9/25/19 due 10/2/19 (Collateralized by U.S. Treasury Obligations valued at $104,077,159, 1.96% - 2.88%, 7/31/20 - 7/31/25) | 102,042 | 102,000 | |
2.36%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $61,817,287, 2.75%, 5/31/23) | 60,004 | 60,000 | |
ING Financial Markets LLC at: | |||
1.93%, dated 9/23/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $126,534,300, 1.25% - 2.88%, 5/15/20 - 2/15/45) | 124,093 | 124,000 | |
2.35%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $62,282,343, 2.63%, 7/31/20) | 61,004 | 61,000 | |
J.P. Morgan Securities, LLC at 1.85%, dated 8/15/19 due 12/13/19 (Collateralized by U.S. Treasury Obligations valued at $31,710,858, 0.00% - 3.13%, 1/2/20 - 11/15/41)(b)(c)(d) | 31,191 | 31,000 | |
Lloyds Bank Corp. Markets PLC at: | |||
2.03%, dated 9/3/19 due 10/31/19 (Collateralized by U.S. Treasury Obligations valued at $25,604,563, 1.38% - 3.13%, 10/31/20 - 5/15/48) | 25,082 | 25,000 | |
2.06%, dated 9/18/19 due 10/18/19 (Collateralized by U.S. Treasury Obligations valued at $31,684,243, 2.00%, 2/15/23) | 31,053 | 31,000 | |
Lloyds Bank PLC at: | |||
2%, dated 9/20/19 due 11/20/19 (Collateralized by U.S. Treasury Obligations valued at $12,279,331, 6.00%, 2/15/26) | 12,041 | 12,000 | |
2.04%, dated 9/25/19 due 10/25/19 (Collateralized by U.S. Treasury Obligations valued at $31,662,326, 6.75%, 8/15/26) | 31,053 | 31,000 | |
2.05%, dated: | |||
9/12/19 due 10/15/19 (Collateralized by U.S. Treasury Obligations valued at $16,381,454, 6.75%, 8/15/26) | 16,030 | 16,000 | |
9/27/19 due 10/28/19 (Collateralized by U.S. Treasury Obligations valued at $30,623,360, 6.00%, 2/15/26) | 30,053 | 30,000 | |
Mitsubishi UFJ Securities (U.S.A.), Inc. at 2.1%, dated 9/19/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $16,491,583, 2.75% - 3.63%, 8/15/42 - 2/15/44) | 16,027 | 16,000 | |
Morgan Stanley & Co., LLC at 2.35%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $273,781,487, 0.00% - 2.13%, 10/15/19 - 7/31/21) | 269,018 | 269,000 | |
MUFG Securities (Canada), Ltd. at: | |||
2.05%, dated 9/27/19 due 10/4/19 (Collateralized by U.S. Treasury Obligations valued at $48,971,225, 1.63% - 2.75%, 4/30/21 - 2/15/26) | 48,019 | 48,000 | |
2.07%, dated 9/24/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $25,510,296, 2.00% - 2.88%, 12/15/21 - 7/31/25) | 25,010 | 25,000 | |
2.08%, dated 9/26/19 due 10/3/19 (Collateralized by U.S. Treasury Obligations valued at $12,243,556, 1.63%, 5/15/26) | 12,005 | 12,000 | |
2.35%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $1,451,554,777, 1.38% - 3.50%, 10/31/20 - 2/15/39) | 1,423,093 | 1,423,000 | |
MUFG Securities EMEA PLC at: | |||
1.96%, dated 9/24/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $48,985,955, 2.00% - 2.75%, 8/15/21 - 8/15/25) | 48,094 | 48,000 | |
2%, dated 9/24/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $36,744,759, 1.38% - 1.63%, 3/31/20 - 4/30/23) | 36,044 | 36,000 | |
2.04%, dated 9/16/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $22,482,511, 2.00%, 8/15/25) | 22,040 | 22,000 | |
2.05%, dated 9/20/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $25,539,431, 2.00%, 5/31/24) | 25,044 | 25,000 | |
2.06%, dated: | |||
9/4/19 due 10/4/19 (Collateralized by U.S. Treasury Obligations valued at $42,934,682, 1.63% - 6.50%, 7/31/22 - 11/15/26) | 42,072 | 42,000 | |
9/25/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $50,998,942, 2.00% - 2.25%, 3/31/21 - 7/31/22) | 50,040 | 50,000 | |
9/27/19 due 10/4/19 (Collateralized by U.S. Treasury Obligations valued at $83,677,682, 1.38% - 1.63%, 1/31/21 - 8/15/22) | 82,033 | 82,000 | |
2.07%, dated 8/23/19 due 10/4/19 (Collateralized by U.S. Treasury Obligations valued at $96,117,032, 1.38% - 2.25%, 2/15/21 - 7/31/22) | 94,227 | 94,000 | |
2.08%, dated: | |||
9/25/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $24,491,892, 2.13%, 8/15/21) | 24,017 | 24,000 | |
9/27/19 due 10/3/19 (Collateralized by U.S. Treasury Obligations valued at $50,043,249, 2.75%, 8/31/23) | 49,017 | 49,000 | |
2.09%, dated 8/19/19 due 10/4/19 (Collateralized by U.S. Treasury Obligations valued at $24,533,727, 1.38% - 2.00%, 3/31/20 - 7/31/22) | 24,064 | 24,000 | |
2.4%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $56,179,323, 1.75% - 2.50%, 1/15/22 - 2/15/46) | 55,004 | 55,000 | |
2.55%, dated 9/30/19 due 10/1/19 | |||
(Collateralized by U.S. Treasury Obligations valued at $62,297,931, 2.88%, 7/31/25) | 61,004 | 61,000 | |
(Collateralized by U.S. Treasury Obligations valued at $40,850,379, 2.25%, 8/15/27) | 40,003 | 40,000 | |
Natixis SA at: | |||
2.06%, dated 9/6/19 due 10/4/19 (Collateralized by U.S. Treasury Obligations valued at $183,169,267, 0.00% - 3.63%, 10/17/19 - 2/15/49) | 179,287 | 179,000 | |
2.11%, dated 8/8/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $65,494,186, 0.00% - 8.13%, 10/17/19 - 8/15/49) | 64,229 | 64,000 | |
2.19%, dated 7/22/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $34,829,891, 2.00% - 8.13%, 11/15/20 - 5/15/27) | 34,182 | 34,000 | |
Norinchukin Bank at: | |||
2.03%, dated 9/24/19 due 12/16/19 (Collateralized by U.S. Treasury Obligations valued at $31,941,087, 2.00% - 2.63%, 11/15/20 - 11/15/26) | 31,145 | 31,000 | |
2.07%, dated: | |||
9/5/19 due 12/5/19 (Collateralized by U.S. Treasury Obligations valued at $48,362,987, 2.00%, 11/15/26) | 47,246 | 47,000 | |
9/9/19 due 12/9/19 (Collateralized by U.S. Treasury Obligations valued at $33,000,103, 2.63%, 11/15/20) | 32,167 | 32,000 | |
9/18/19 due 12/18/19 (Collateralized by U.S. Treasury Obligations valued at $30,762,517, 3.63%, 2/15/20) | 30,157 | 30,000 | |
2.09%, dated 8/20/19 due 11/22/19 (Collateralized by U.S. Treasury Obligations valued at $32,006,011, 1.50% - 2.63%, 11/15/20 - 8/15/26) | 31,169 | 31,000 | |
2.1%, dated 8/16/19 due 11/19/19 (Collateralized by U.S. Treasury Obligations valued at $16,394,779, 1.50% - 3.63%, 2/15/20 - 8/15/26) | 16,089 | 16,000 | |
2.26%, dated 7/19/19 due 10/18/19 (Collateralized by U.S. Treasury Obligations valued at $35,933,655, 1.50% - 2.00%, 8/15/26 - 11/15/26) | 35,200 | 35,000 | |
2.3%, dated 7/17/19 due 10/17/19 (Collateralized by U.S. Treasury Obligations valued at $13,454,174, 1.50% - 2.63%, 11/15/20 - 8/15/26) | 13,076 | 13,000 | |
Prudential Insurance Co. of America at 2.37%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $91,955,490, 0.00% - 7.50%, 10/31/19 - 2/15/36) | 90,202 | 90,196 | |
RBC Dominion Securities at: | |||
1.9%, dated 9/23/19 due 10/7/19 | |||
(Collateralized by U.S. Treasury Obligations valued at $64,287,138, 1.75% - 6.13%, 2/29/20 - 5/15/46) | 63,047 | 63,000 | |
(Collateralized by U.S. Treasury Obligations valued at $31,633,425, 0.00% - 4.63%, 12/5/19 - 2/15/40) | 31,025 | 31,000 | |
1.95%, dated 9/19/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $65,323,473, 0.00% - 6.13%, 12/5/19 - 11/15/44) | 64,114 | 64,000 | |
1.98%, dated 9/24/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $95,917,009, 0.00% - 2.88%, 12/5/19 - 2/29/24) | 94,078 | 94,000 | |
2%, dated 8/16/19 due 10/7/19 | |||
(Collateralized by U.S. Treasury Obligations valued at $31,700,972, 0.00% - 6.13%, 12/5/19 - 11/15/43) | 31,157 | 31,000 | |
(Collateralized by U.S. Treasury Obligations valued at $31,700,968, 0.00% - 6.13%, 12/5/19 - 2/15/49) | 31,162 | 31,000 | |
2.01%, dated 8/15/19 due 10/7/19 | |||
(Collateralized by U.S. Treasury Obligations valued at $32,726,138, 0.00% - 6.50%, 12/5/19 - 11/15/44) | 32,161 | 32,000 | |
(Collateralized by U.S. Treasury Obligations valued at $32,725,782, 0.00% - 3.75%, 12/5/19 - 2/15/49) | 32,163 | 32,000 | |
(Collateralized by U.S. Treasury Obligations valued at $49,131,109, 0.00% - 8.75%, 12/5/19 - 11/15/44) | 48,146 | 47,900 | |
2.02%, dated: | |||
9/11/19 due 10/7/19 | |||
(Collateralized by U.S. Treasury Obligations valued at $32,676,698, 0.00% - 6.13%, 12/5/19 - 2/15/41) | 32,075 | 32,000 | |
(Collateralized by U.S. Treasury Obligations valued at $32,676,673, 0.00% - 2.88%, 12/5/19 - 1/31/26) | 32,077 | 32,000 | |
9/12/19 due 10/7/19 | |||
(Collateralized by U.S. Treasury Obligations valued at $40,843,563, 0.00% - 6.13%, 12/5/19 - 5/15/47) | 40,105 | 40,000 | |
(Collateralized by U.S. Treasury Obligations valued at $32,989,230, 0.00% - 2.88%, 12/5/19 - 11/15/46) | 32,083 | 32,000 | |
9/16/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $70,439,739, 0.00% - 4.63%, 12/5/19 - 11/15/44) | 69,112 | 69,000 | |
9/20/19 due 10/7/19 | |||
(Collateralized by U.S. Treasury Obligations valued at $32,853,917, 0.00% - 3.63%, 12/5/19 - 2/15/49) | 31,957 | 31,900 | |
(Collateralized by U.S. Treasury Obligations valued at $32,558,142, 0.00% - 6.13%, 12/5/19 - 11/15/27) | 31,961 | 31,900 | |
(Collateralized by U.S. Treasury Obligations valued at $32,558,084, 1.75% - 2.75%, 2/29/20 - 6/30/25) | 31,963 | 31,900 | |
2.04%, dated: | |||
9/10/19 due 10/7/19 | |||
(Collateralized by U.S. Treasury Obligations valued at $16,339,566, 0.00% - 3.13%, 12/5/19 - 11/15/44) | 16,027 | 16,000 | |
(Collateralized by U.S. Treasury Obligations valued at $16,344,237, 0.00% - 3.00%, 12/5/19 - 2/15/49) | 16,026 | 16,000 | |
9/11/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $32,686,590, 0.00% - 4.75%, 12/5/19 - 2/15/45) | 32,054 | 32,000 | |
9/13/19 due 10/7/19 | |||
(Collateralized by U.S. Treasury Obligations valued at $31,665,599, 0.00% - 6.13%, 12/5/19 - 2/15/49) | 31,042 | 31,000 | |
(Collateralized by U.S. Treasury Obligations valued at $31,652,310, 1.88% - 6.13%, 2/29/20 - 2/15/40) | 31,044 | 31,000 | |
2.14%, dated 9/25/19 due 10/2/19 (Collateralized by U.S. Treasury Obligations valued at $59,181,203, 0.00% - 3.75%, 12/5/19 - 2/15/49) | 58,024 | 58,000 | |
RBC Financial Group at 1.96%, dated 9/19/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $94,921,984, 0.00% - 6.25%, 9/10/20 - 6/30/25) | 93,238 | 93,000 | |
RBS Securities, Inc. at 2.38%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $94,866,276, 2.75%, 7/31/23) | 93,006 | 93,000 | |
Societe Generale at: | |||
2.05%, dated 9/6/19 due 11/5/19 (Collateralized by U.S. Treasury Obligations valued at $63,585,095, 0.00% - 8.50%, 10/3/19 - 5/15/47) | 62,212 | 62,000 | |
2.1%, dated 9/6/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $126,763,774, 0.00% - 8.00%, 10/31/19 - 5/15/48) | 124,224 | 124,000 | |
TD Securities (U.S.A.) at 2.35%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $1,087,906,999, 0.00% - 8.75%, 10/3/19 - 8/15/49) | 1,060,069 | 1,060,000 | |
TOTAL U.S. TREASURY REPURCHASE AGREEMENT | |||
(Cost $19,511,129) | 19,511,129 | ||
TOTAL INVESTMENT IN SECURITIES - 99.9% | |||
(Cost $29,167,247) | 29,167,247 | ||
NET OTHER ASSETS (LIABILITIES) - 0.1% | 30,616 | ||
NET ASSETS - 100% | $29,197,863 |
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.
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) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(c) The maturity amount is based on the rate at period end.
(d) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
Investment Valuation
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 Investment Valuation section in the accompanying Notes to Financial Statements.
Other Information
# Additional information on each counterparty to the repurchase agreement is as follows:
Repurchase Agreement / Counterparty | Value (000s) |
$6,428,951,000 due 10/01/19 at 2.25% | |
Citibank NA | $403,343 |
Citigroup Global Markets, Inc. | 1,050,851 |
JP Morgan Securities LLC | 469,395 |
Nomura Securities International, Inc. | 46,760 |
RBC Dominion Securities, Inc. | 1,526,769 |
Sumitomo Mitsui Banking Corp. NY | 2,837,175 |
Wells Fargo Securities LLC | 94,658 |
$6,428,951 | |
$151,682,000 due 10/01/19 at 2.35% | |
JP Morgan Securities LLC | $151,682 |
$151,682 |
See accompanying notes which are an integral part of the financial statements.
Treasury Portfolio
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts) | September 30, 2019 (Unaudited) | |
Assets | ||
Investment in securities, at value (including repurchase agreements of $19,511,129) — See accompanying schedule: Unaffiliated issuers (cost $29,167,247) | $29,167,247 | |
Receivable for investments sold | 155,774 | |
Receivable for fund shares sold | 42,918 | |
Interest receivable | 25,487 | |
Prepaid expenses | 54 | |
Receivable from investment adviser for expense reductions | 885 | |
Other receivables | 240 | |
Total assets | 29,392,605 | |
Liabilities | ||
Payable for investments purchased | $155,540 | |
Payable for fund shares redeemed | 10,034 | |
Distributions payable | 22,627 | |
Accrued management fee | 3,456 | |
Distribution and service plan fees payable | 1,130 | |
Other affiliated payables | 1,228 | |
Other payables and accrued expenses | 727 | |
Total liabilities | 194,742 | |
Net Assets | $29,197,863 | |
Net Assets consist of: | ||
Paid in capital | $29,197,967 | |
Total accumulated earnings (loss) | (104) | |
Net Assets | $29,197,863 | |
Net Asset Value and Maximum Offering Price | ||
Class I: | ||
Net Asset Value, offering price and redemption price per share ($8,671,658 ÷ 8,668,126 shares) | $1.00 | |
Class II: | ||
Net Asset Value, offering price and redemption price per share ($800,911 ÷ 800,339 shares) | $1.00 | |
Class III: | ||
Net Asset Value, offering price and redemption price per share ($2,587,532 ÷ 2,587,206 shares) | $1.00 | |
Class IV: | ||
Net Asset Value, offering price and redemption price per share ($1,210,695 ÷ 1,210,344 shares) | $1.00 | |
Select Class: | ||
Net Asset Value, offering price and redemption price per share ($244,516 ÷ 244,458 shares) | $1.00 | |
Institutional Class: | ||
Net Asset Value, offering price and redemption price per share ($15,682,551 ÷ 15,682,562 shares) | $1.00 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Amounts in thousands | Six months ended September 30, 2019 (Unaudited) | |
Investment Income | ||
Interest | $330,013 | |
Expenses | ||
Management fee | $19,584 | |
Transfer agent fees | 6,421 | |
Distribution and service plan fees | 6,597 | |
Accounting fees and expenses | 745 | |
Custodian fees and expenses | 64 | |
Independent trustees' fees and expenses | 54 | |
Registration fees | 541 | |
Audit | 25 | |
Legal | 12 | |
Miscellaneous | 60 | |
Total expenses before reductions | 34,103 | |
Expense reductions | (4,899) | |
Total expenses after reductions | 29,204 | |
Net investment income (loss) | 300,809 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (1) | |
Total net realized gain (loss) | (1) | |
Net increase in net assets resulting from operations | $300,808 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Amounts in thousands | Six months ended September 30, 2019 (Unaudited) | Year ended March 31, 2019 |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $300,809 | $457,388 |
Net realized gain (loss) | (1) | 23 |
Net increase in net assets resulting from operations | 300,808 | 457,411 |
Distributions to shareholders | (300,396) | (457,872) |
Share transactions - net increase (decrease) | 4,267,012 | 1,421,770 |
Total increase (decrease) in net assets | 4,267,424 | 1,421,309 |
Net Assets | ||
Beginning of period | 24,930,439 | 23,509,130 |
End of period | $29,197,863 | $24,930,439 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Treasury Portfolio Class I
Six months ended (Unaudited) September 30, | Years endedMarch 31, | |||||
2019 | 2019 | 2018 | 2017 | 2016 | 2015 | |
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) | .011 | .019 | .009 | .003 | .001 | –A |
Net realized and unrealized gain (loss)A | – | – | – | – | – | – |
Total from investment operations | .011 | .019 | .009 | .003 | .001 | –A |
Distributions from net investment income | (.011) | (.019) | (.009) | (.003) | (.001) | –A |
Total distributions | (.011) | (.019) | (.009) | (.003) | (.001) | –A |
Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total ReturnB,C | 1.10% | 1.96% | .95% | .27% | .05% | .01% |
Ratios to Average Net AssetsD | ||||||
Expenses before reductions | .21%E | .21% | .21% | .21% | .21% | .21% |
Expenses net of fee waivers, if any | .18%E | .18% | .18% | .18% | .13% | .07% |
Expenses net of all reductions | .18%E | .18% | .18% | .18% | .13% | .07% |
Net investment income (loss) | 2.18%E | 1.96% | .96% | .27% | .05% | .01% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $8,672 | $9,862 | $8,244 | $8,308 | $9,639 | $11,727 |
A Amount represents less than $.0005 per share.
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 Expense ratios reflect operating expenses of the class. 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 class 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 class.
E Annualized
See accompanying notes which are an integral part of the financial statements.
Treasury Portfolio Class II
Six months ended (Unaudited) September 30, | Years endedMarch 31, | |||||
2019 | 2019 | 2018 | 2017 | 2016 | 2015 | |
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) | .010 | .018 | .008 | .001 | –A | –A |
Net realized and unrealized gain (loss)A | – | – | – | – | – | – |
Total from investment operations | .010 | .018 | .008 | .001 | –A | –A |
Distributions from net investment income | (.010) | (.018) | (.008) | (.001) | –A | –A |
Total distributions | (.010) | (.018) | (.008) | (.001) | –A | –A |
Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total ReturnB,C | 1.02% | 1.81% | .80% | .12% | .01% | .01% |
Ratios to Average Net AssetsD | ||||||
Expenses before reductions | .36%E | .36% | .36% | .36% | .36% | .36% |
Expenses net of fee waivers, if any | .33%E | .33% | .33% | .33% | .22% | .07% |
Expenses net of all reductions | .33%E | .33% | .33% | .33% | .22% | .07% |
Net investment income (loss) | 2.03%E | 1.81% | .81% | .12% | .01% | .01% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $801 | $659 | $116 | $363 | $557 | $70 |
A Amount represents less than $.0005 per share.
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 Expense ratios reflect operating expenses of the class. 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 class 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 class.
E Annualized
See accompanying notes which are an integral part of the financial statements.
Treasury Portfolio Class III
Six months ended (Unaudited) September 30, | Years endedMarch 31, | |||||
2019 | 2019 | 2018 | 2017 | 2016 | 2015 | |
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) | .010 | .017 | .007 | .001 | –A | –A |
Net realized and unrealized gain (loss)A | – | – | – | – | – | – |
Total from investment operations | .010 | .017 | .007 | .001 | –A | –A |
Distributions from net investment income | (.010) | (.017) | (.007) | (.001) | –A | –A |
Total distributions | (.010) | (.017) | (.007) | (.001) | –A | –A |
Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total ReturnB,C | .97% | 1.71% | .70% | .05% | .01% | .01% |
Ratios to Average Net AssetsD | ||||||
Expenses before reductions | .46%E | .46% | .46% | .46% | .46% | .46% |
Expenses net of fee waivers, if any | .43%E | .43% | .43% | .39% | .17% | .07% |
Expenses net of all reductions | .43%E | .43% | .43% | .39% | .17% | .07% |
Net investment income (loss) | 1.93%E | 1.71% | .71% | .06% | .02% | .01% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $2,588 | $2,448 | $2,803 | $2,563 | $2,862 | $2,866 |
A Amount represents less than $.0005 per share.
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 Expense ratios reflect operating expenses of the class. 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 class 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 class.
E Annualized
See accompanying notes which are an integral part of the financial statements.
Treasury Portfolio Class IV
Six months ended (Unaudited) September 30, | Years endedMarch 31, | |||||
2019 | 2019 | 2018 | 2017 | 2016 | 2015 | |
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) | .008 | .014 | .004 | –A | –A | –A |
Net realized and unrealized gain (loss)A | – | – | – | – | – | – |
Total from investment operations | .008 | .014 | .004 | –A | –A | –A |
Distributions from net investment income | (.008) | (.014) | (.004) | –A | –A | –A |
Total distributions | (.008) | (.014) | (.004) | –A | –A | –A |
Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total ReturnB,C | .84% | 1.46% | .45% | .01% | .01% | .01% |
Ratios to Average Net AssetsD | ||||||
Expenses before reductions | .71%E | .71% | .71% | .71% | .71% | .71% |
Expenses net of fee waivers, if any | .68%E | .68% | .68% | .43% | .18% | .07% |
Expenses net of all reductions | .68%E | .68% | .68% | .43% | .18% | .07% |
Net investment income (loss) | 1.68%E | 1.46% | .46% | .02% | .01% | .01% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $1,211 | $1,217 | $926 | $793 | $905 | $621 |
A Amount represents less than $.0005 per share.
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 Expense ratios reflect operating expenses of the class. 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 class 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 class.
E Annualized
See accompanying notes which are an integral part of the financial statements.
Treasury Portfolio Select Class
Six months ended (Unaudited) September 30, | Years endedMarch 31, | |||||
2019 | 2019 | 2018 | 2017 | 2016 | 2015 | |
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) | .011 | .019 | .009 | .002 | –A | –A |
Net realized and unrealized gain (loss)A | – | – | – | – | – | – |
Total from investment operations | .011 | .019 | .009 | .002 | –A | –A |
Distributions from net investment income | (.011) | (.019) | (.009) | (.002) | –A | –A |
Total distributions | (.011) | (.019) | (.009) | (.002) | –A | –A |
Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total ReturnB,C | 1.07% | 1.91% | .90% | .22% | .04% | .01% |
Ratios to Average Net AssetsD | ||||||
Expenses before reductions | .26%E | .26% | .26% | .26% | .26% | .26% |
Expenses net of fee waivers, if any | .23%E | .23% | .23% | .23% | .15% | .07% |
Expenses net of all reductions | .23%E | .23% | .23% | .23% | .15% | .07% |
Net investment income (loss) | 2.13%E | 1.91% | .91% | .22% | .04% | .01% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $245 | $239 | $377 | $276 | $287 | $225 |
A Amount represents less than $.0005 per share.
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 Expense ratios reflect operating expenses of the class. 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 class 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 class.
E Annualized
See accompanying notes which are an integral part of the financial statements.
Treasury Portfolio Institutional Class
Six months ended (Unaudited) September 30, | Years endedMarch 31, | |||||
2019 | 2019 | 2018 | 2017 | 2016 | 2015 A | |
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) | .011 | .020 | .010 | .003 | .001 | –B |
Net realized and unrealized gain (loss)B | – | – | – | – | – | – |
Total from investment operations | .011 | .020 | .010 | .003 | .001 | –B |
Distributions from net investment income | (.011) | (.020) | (.010) | (.003) | (.001) | –B |
Total distributions | (.011) | (.020) | (.010) | (.003) | (.001) | –B |
Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total ReturnC,D | 1.12% | 2.00% | .99% | .31% | .07% | .01% |
Ratios to Average Net AssetsE | ||||||
Expenses before reductions | .18%F | .18% | .18% | .18% | .18% | .18%F |
Expenses net of fee waivers, if any | .14%F | .14% | .14% | .14% | .13% | .07%F |
Expenses net of all reductions | .14%F | .14% | .14% | .14% | .13% | .07%F |
Net investment income (loss) | 2.22%F | 2.00% | 1.00% | .31% | .11% | - %F,G |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $15,683 | $10,505 | $11,044 | $6,645 | $3,205 | $669 |
A For the period May 14, 2014 (commencement of sale of shares) to March 31, 2015.
B Amount represents less than $.0005 per share.
C Total returns for periods of less than one year are not annualized.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Expense ratios reflect operating expenses of the class. 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 class during periods when reimbursements, waivers or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. 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 class.
F Annualized
G Amount represents less than .005%.
See accompanying notes which are an integral part of the financial statements.
Government Portfolio
Investment Summary/Performance (Unaudited)
Effective Maturity Diversification as of September 30, 2019
Days | % of fund's investments 9/30/19 |
1 - 7 | 62.9 |
8 - 30 | 19.5 |
31 - 60 | 5.1 |
61 - 90 | 5.1 |
91 - 180 | 6.2 |
> 180 | 1.2 |
Effective maturity is determined in accordance with the requirements of Rule 2a-7 under the Investment Company Act of 1940.
Asset Allocation (% of fund's net assets)
As of September 30, 2019 | ||
U.S. Treasury Debt | 10.4% | |
U.S. Government Agency Debt | 44.7% | |
Repurchase Agreements | 45.6% | |
Net Other Assets (Liabilities)* | (0.7)% |
* Net Other Assets (Liabilities) are not included in the pie chart
Current 7-Day Yields
9/30/19 | |
Class I | 1.86% |
Class II | 1.71% |
Class III | 1.61% |
Select Class | 1.81% |
Institutional Class | 1.90% |
Yield refers to the income paid by the Fund over a given period. Yield for money market funds is usually for seven-day periods, as it is here, though it is expressed as an annual percentage rate. Past performance is no guarantee of future results. Yield will vary and it's possible to lose money investing in the Fund. A portion of the Fund's expenses was reimbursed and/or waived. Absent such reimbursements and/or waivers the yield for the period ending September 30, 2019, the most recent period shown in the table, would have been 1.84% for Class I, 1.68% for Class II, 1.58% for Class III, 1.79% for Select Class, and 1.87% for Institutional Class.
Government Portfolio
Schedule of Investments September 30, 2019 (Unaudited)
Showing Percentage of Net Assets
U.S. Treasury Debt - 10.4% | ||||
Yield(a) | Principal Amount (000s) | Value (000s) | ||
U.S. Treasury Obligations - 10.4% | ||||
U.S. Treasury Bills | ||||
10/10/19 to 3/26/20 | 1.84 to 2.43% | $8,747,699 | $8,696,582 | |
U.S. Treasury Notes | ||||
10/31/19 to 5/31/20 | 1.83 to 2.42 (b) | 4,994,000 | 4,989,397 | |
TOTAL U.S. TREASURY DEBT | ||||
(Cost $13,685,979) | 13,685,979 | |||
U.S. Government Agency Debt - 44.7% | ||||
Federal Agencies - 44.7% | ||||
Fannie Mae | ||||
10/9/19 to 1/29/21 | 1.83 to 2.18 (b) | 2,998,486 | 2,998,664 | |
Federal Farm Credit Bank | ||||
10/1/19 to 8/12/20 | 1.95 to 2.07 (b) | 2,611,900 | 2,611,825 | |
Federal Home Loan Bank | ||||
10/2/19 to 7/23/21 | 1.83 to 2.47 (b) | 41,238,050 | 41,220,591 | |
Freddie Mac | ||||
11/12/19 to 2/19/21 | 1.82 to 2.20 (b) | 11,945,637 | 11,938,321 | |
TOTAL U.S. GOVERNMENT AGENCY DEBT | ||||
(Cost $58,769,401) | 58,769,401 |
U.S. Government Agency Repurchase Agreement - 19.1% | |||
Maturity Amount (000s) | Value (000s) | ||
In a joint trading account at: | |||
2.29% dated 9/30/19 due 10/1/19 (Collateralized by U.S. Government Obligations) # | $2,843,245 | $2,843,064 | |
2.38% dated 9/30/19 due 10/1/19 (Collateralized by U.S. Government Obligations) # | 7,997,399 | 7,996,871 | |
With: | |||
Barclays Bank PLC at 2%, dated 9/27/19 due 10/2/19 (Collateralized by U.S. Government Obligations valued at $806,999,294, 3.00% - 5.00%, 5/20/45 - 4/20/49) | 791,220 | 791,000 | |
BMO Capital Markets Corp. at: | |||
1.95%, dated 9/27/19 due 10/7/19 (Collateralized by U.S. Government Obligations valued at $122,426,520, 1.00% - 6.00%, 10/24/19 - 8/20/69) | 120,215 | 120,000 | |
2.08%, dated 9/9/19 due 10/3/19 (Collateralized by U.S. Government Obligations valued at $92,937,985, 1.90% - 5.50%, 10/25/19 - 5/20/69) | 91,126 | 91,000 | |
BMO Harris Bank NA at 2.08%, dated 9/9/19 due 10/3/19 (Collateralized by U.S. Government Obligations valued at $311,495,443, 2.09% - 8.00%, 7/1/20 - 7/20/69) | 305,423 | 305,000 | |
BNP Paribas, SA at: | |||
2.01%, dated 9/19/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $491,071,084, 0.00% - 3.00%, 12/5/19 - 5/15/48) | 483,417 | 481,000 | |
2.02%, dated: | |||
9/6/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $200,646,838, 0.00% - 7.00%, 11/15/19 - 6/20/49) | 195,851 | 194,900 | |
9/20/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $286,164,366, 0.00% - 7.50%, 11/15/19 - 8/20/49) | 280,308 | 278,900 | |
2.04%, dated 8/27/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $301,586,643, 0.00% - 6.63%, 12/5/19 - 6/20/49) | 293,829 | 292,800 | |
2.05%, dated 9/10/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $237,627,650, 0.00% - 8.00%, 12/5/19 - 8/1/49) | 231,395 | 231,000 | |
2.18%, dated 7/23/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $293,119,852, 0.00% - 5.25%, 11/7/19 - 1/1/58) | 286,453 | 284,900 | |
2.22%, dated 8/1/19 due 10/3/19 (Collateralized by U.S. Treasury Obligations valued at $294,252,377, 0.00% - 6.00%, 11/7/19 - 8/20/49) | 287,111 | 286,000 | |
BofA Securities, Inc. at: | |||
1.95%, dated 9/30/19 due 10/7/19 (Collateralized by U.S. Government Obligations valued at $295,714,017, 1.50% - 10.00%, 10/20/20 - 8/15/60) | 290,371 | 289,900 | |
1.97%, dated 9/19/19 due 10/7/19 (Collateralized by Mortgage Loan Obligations valued at $614,443,220, 4.00% - 4.50%, 9/1/48 - 8/1/49) | 603,087 | 602,000 | |
CIBC Bank U.S.A. at: | |||
1.96%, dated 9/19/19 due 10/7/19 (Collateralized by U.S. Government Obligations valued at $560,345,854, 2.70% - 4.54%, 7/1/20 - 2/1/57) | 549,956 | 549,000 | |
2.01%, dated 9/16/19 due 10/7/19 (Collateralized by U.S. Government Obligations valued at $184,774,620, 3.00% - 4.50%, 1/1/38 - 10/1/48) | 181,586 | 181,000 | |
2.03%, dated 9/16/19 due 10/7/19 (Collateralized by U.S. Government Obligations valued at $184,776,158, 3.01% - 4.50%, 3/1/27 - 8/1/49) | 181,306 | 181,000 | |
Citibank NA at: | |||
2.09%, dated 9/24/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $58,163,663, 0.63% - 2.88%, 1/31/20 - 9/6/24) | 57,023 | 57,000 | |
2.1%, dated 9/24/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $349,823,693, 0.00% - 8.13%, 10/15/19 - 2/15/49) | 342,140 | 342,000 | |
Deutsche Bank AG, New York at 2.39%, dated 9/30/19 due 10/1/19 (Collateralized by Mortgage Loan Obligations valued at $154,510,258, 3.35%, 6/15/24) | 150,010 | 150,000 | |
Goldman Sachs & Co. at: | |||
1.93%, dated 9/26/19 due 10/3/19 (Collateralized by U.S. Government Obligations valued at $608,082,956, 2.50% - 8.50%, 1/1/25 - 4/1/56) | 596,224 | 596,000 | |
2.15%, dated 9/25/19 due 10/2/19 (Collateralized by U.S. Government Obligations valued at $460,184,841, 2.00% - 7.50%, 7/1/23 - 5/15/53) | 451,189 | 451,000 | |
HSBC Securities, Inc. at: | |||
2.05%, dated 9/27/19 due 10/4/19 (Collateralized by U.S. Government Obligations valued at $69,375,799, 4.00%, 5/1/47 - 6/1/49) | 68,027 | 68,000 | |
2.15%, dated 9/25/19 due 10/2/19 (Collateralized by U.S. Government Obligations valued at $376,514,870, 4.00% - 4.50%, 6/1/43 - 3/1/56) | 369,154 | 369,000 | |
ING Financial Markets LLC at: | |||
2%, dated 8/29/19 due 11/27/19 (Collateralized by U.S. Government Obligations valued at $158,389,850, 2.98% - 4.77%, 11/1/24 - 3/1/49) | 155,775 | 155,000 | |
2.05%, dated: | |||
9/16/19 due 10/16/19 (Collateralized by U.S. Government Obligations valued at $77,586,215, 3.00% - 4.00%, 4/1/49 - 9/1/49) | 76,130 | 76,000 | |
9/20/19 due 10/21/19 (Collateralized by U.S. Government Obligations valued at $30,619,168, 2.50% - 5.50%, 3/1/26 - 10/1/48) | 30,053 | 30,000 | |
2.06%, dated 9/18/19 due 10/18/19 (Collateralized by U.S. Government Obligations valued at $61,245,526, 4.00%, 2/1/49) | 60,103 | 60,000 | |
2.08%, dated 8/20/19 due 10/18/19 (Collateralized by U.S. Government Obligations valued at $63,393,463, 4.00%, 11/1/48) | 62,211 | 62,000 | |
2.1%, dated: | |||
9/4/19 due 10/7/19: | |||
(Collateralized by U.S. Government Obligations valued at $126,679,206, 4.00% - 4.50%, 3/1/48 - 4/1/49) | 124,239 | 124,000 | |
(Collateralized by U.S. Government Obligations valued at $126,679,206, 3.50% - 4.50%, 8/1/35 - 9/1/48) | 124,239 | 124,000 | |
9/17/19 due 12/17/19: | |||
(Collateralized by U.S. Government Obligations valued at $119,437,461, 3.50% - 4.00%, 9/1/42 - 7/1/52) | 117,621 | 117,000 | |
(Collateralized by U.S. Government Obligations valued at $119,437,461, 3.50% - 4.00%, 8/1/48 - 7/1/52) | 117,621 | 117,000 | |
9/24/19 due 10/1/19 (Collateralized by U.S. Government Obligations valued at $58,163,741, 4.00%, 2/1/49) | 57,023 | 57,000 | |
2.3%, dated: | |||
7/9/19 due 10/8/19 (Collateralized by U.S. Government Obligations valued at $89,216,238, 3.50%, 2/1/47 - 4/1/49) | 87,506 | 87,000 | |
7/10/19 due 10/7/19 (Collateralized by U.S. Government Obligations valued at $151,760,508, 3.00% - 5.00%, 6/1/28 - 7/1/49) | 148,842 | 148,000 | |
J.P. Morgan Securities, LLC at 2.15%, dated 9/25/19 due 10/2/19 (Collateralized by U.S. Government Obligations valued at $114,280,936, 2.50% - 7.50%, 6/1/23 - 6/1/49) | 112,047 | 112,000 | |
Mitsubishi UFJ Securities (U.S.A.), Inc. at: | |||
2.04%, dated: | |||
9/16/19 due 11/15/19 (Collateralized by U.S. Government Obligations valued at $201,110,799, 2.35% - 5.00%, 6/1/25 - 9/1/49) | 197,670 | 197,000 | |
9/17/19 due 11/19/19 (Collateralized by U.S. Government Obligations valued at $192,932,939, 2.50% - 6.00%, 5/1/31 - 6/1/56) | 189,675 | 189,000 | |
2.07%, dated 9/13/19 due 11/14/19 (Collateralized by U.S. Government Obligations valued at $217,484,864, 2.50% - 5.54%, 1/1/24 - 8/1/50) | 213,759 | 213,000 | |
2.08%, dated 9/12/19 due: | |||
11/12/19 (Collateralized by U.S. Government Obligations valued at $171,548,115, 2.50% - 5.00%, 3/1/24 - 9/1/49) | 168,592 | 168,000 | |
11/13/19 (Collateralized by U.S. Government Obligations valued at $263,448,891, 3.00% - 4.91%, 11/1/23 - 10/1/49) | 258,924 | 258,000 | |
2.11%, dated 9/9/19 due 11/8/19 (Collateralized by Mortgage Loan Obligations valued at $153,197,285, 2.91% - 4.84%, 6/1/29 - 3/1/49) | 150,528 | 150,000 | |
Morgan Stanley & Co., LLC at 2.37%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Government Obligations valued at $588,578,749, 0.00% - 9.50%, 7/16/20 - 9/20/49) | 577,038 | 577,000 | |
MUFG Securities (Canada), Ltd. at: | |||
2.04%, dated 9/16/19 due 11/15/19 (Collateralized by U.S. Government Obligations valued at $169,463,923, 4.00% - 5.00%, 4/1/47 - 3/1/49) | 166,564 | 166,000 | |
2.07%, dated 9/12/19 due 11/12/19 (Collateralized by U.S. Government Obligations valued at $155,209,381, 4.00% - 4.50%, 4/1/47 - 4/1/49) | 152,533 | 152,000 | |
2.11%, dated 9/9/19 due 11/8/19 (Collateralized by U.S. Government Obligations valued at $107,238,100, 4.00% - 4.50%, 4/1/47 - 12/1/48) | 105,369 | 105,000 | |
2.37%, dated 9/30/19 due 10/1/19 (Collateralized by Mortgage Loan Obligations valued at $34,682,283, 3.50% - 4.50%, 5/1/46 - 8/1/49) | 34,002 | 34,000 | |
RBC Financial Group at 1.97%, dated 9/19/19 due 10/7/19: | |||
(Collateralized by U.S. Government Obligations valued at $879,817,368, 2.36% - 7.00%, 10/20/23 - 6/1/51) | 864,217 | 862,000 | |
(Collateralized by U.S. Government Obligations valued at $1,714,387,337, 2.33% - 7.00%, 3/1/27 - 10/15/58) | 1,682,215 | 1,677,900 | |
Sumitomo Mitsui Trust Bank Ltd. at: | |||
1.99%, dated 9/26/19 due 10/7/19 (Collateralized by U.S. Government Obligations valued at $192,855,761, 3.50%, 7/1/47 - 9/1/47) | 188,803 | 188,658 | |
2.04%, dated 9/24/19 due 10/7/19 (Collateralized by U.S. Government Obligations valued at $103,321,869, 3.00%, 1/1/47) | 101,080 | 101,000 | |
2.05%, dated: | |||
9/27/19 due 10/7/19 (Collateralized by U.S. Government Obligations valued at $193,552,576, 2.00% - 3.50%, 1/15/21 - 7/1/47) | 189,373 | 189,223 | |
10/1/19 due 10/7/19(c) | 126,100 | 126,000 | |
2.08%, dated 9/17/19 due 10/1/19 (Collateralized by U.S. Government Obligations valued at $129,962,626, 2.00% - 3.50%, 1/15/21 - 1/1/48) | 127,103 | 127,000 | |
TD Securities (U.S.A.) at 2.38%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Government Obligations valued at $232,575,375, 3.50% - 4.50%, 1/1/44 - 11/1/48) | 228,015 | 228,000 | |
TOTAL U.S. GOVERNMENT AGENCY REPURCHASE AGREEMENT | |||
(Cost $25,010,116) | 25,010,116 | ||
U.S. Treasury Repurchase Agreement - 26.5% | |||
With: | |||
Barclays Bank PLC at 2.35%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $2,348,727,890, 0.00% - 6.00%, 12/19/19 - 2/15/45) | 2,300,150 | 2,300,000 | |
BMO Harris Bank NA at: | |||
1.97%, dated 9/30/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $139,008,928, 2.50%, 2/28/21) | 135,911 | 135,800 | |
1.98%, dated 9/25/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $68,429,422, 3.63%, 2/15/20) | 66,910 | 66,800 | |
2%, dated: | |||
9/24/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $68,429,422, 3.63%, 2/15/20) | 66,904 | 66,800 | |
9/26/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $137,392,725, 2.25%, 2/15/27) | 134,238 | 134,000 | |
2.06%, dated 9/9/19 due 10/3/19 (Collateralized by U.S. Treasury Obligations valued at $139,754,812, 2.13% - 3.63%, 3/31/21 - 8/15/43) | 137,088 | 136,900 | |
2.07%, dated 8/23/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $143,505,397, 2.00% - 3.63%, 11/15/26 - 8/15/48) | 140,270 | 139,900 | |
2.08%, dated 8/22/19 due 10/4/19 (Collateralized by U.S. Treasury Obligations valued at $143,357,824, 1.63% - 3.63%, 5/15/26 - 8/15/43) | 140,348 | 140,000 | |
2.1%, dated 8/28/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $137,338,891, 3.63%, 2/15/20) | 134,166 | 133,900 | |
BNP Paribas, SA at: | |||
1.97%, dated 9/23/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $482,359,352, 0.00% - 7.63%, 11/7/19 - 5/15/48) | 471,773 | 471,000 | |
2%, dated: | |||
8/20/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $170,889,668, 1.63% - 6.50%, 7/31/20 - 2/15/46) | 167,753 | 166,900 | |
9/5/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $276,207,444, 0.00% - 5.25%, 11/7/19 - 2/15/46) | 271,320 | 270,000 | |
9/13/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $355,756,198, 0.00% - 6.25%, 11/7/19 - 5/15/48) | 348,735 | 347,000 | |
9/16/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $313,861,631, 0.00% - 5.25%, 11/7/19 - 11/15/46) | 307,547 | 306,000 | |
9/19/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $1,616,723,361, 0.00% - 8.75%, 10/10/19 - 2/15/49) | 1,587,900 | 1,580,000 | |
2.01%, dated: | |||
8/29/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $142,173,448, 0.00% - 5.25%, 11/7/19 - 11/15/46) | 139,473 | 139,000 | |
9/6/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $716,026,487, 0.00% - 7.63%, 11/7/19 - 8/15/47) | 704,405 | 701,000 | |
9/16/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $314,435,119, 0.00% - 6.25%, 11/7/19 - 5/15/49) | 307,025 | 306,000 | |
9/20/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $314,495,921, 0.00% - 8.13%, 10/10/19 - 2/15/46) | 309,447 | 307,900 | |
2.02%, dated 9/9/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $140,020,226, 0.00% - 6.00%, 11/7/19 - 5/15/48) | 137,461 | 137,000 | |
2.03%, dated: | |||
8/26/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $406,856,746, 0.00% - 7.63%, 10/31/19 - 8/15/46) | 398,343 | 397,000 | |
8/27/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $270,842,890, 0.00% - 4.38%, 11/7/19 - 2/15/46) | 265,926 | 265,000 | |
2.04%, dated: | |||
9/11/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $281,075,257, 0.00% - 6.00%, 12/5/19 - 5/15/48) | 274,466 | 274,000 | |
9/12/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $1,050,739,267, 0.00% - 6.25%, 11/7/19 - 11/15/46) | 1,028,688 | 1,027,000 | |
2.17%, dated 7/17/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $431,156,942, 0.00% - 7.63%, 11/7/19 - 2/15/49) | 422,279 | 420,000 | |
2.19%, dated: | |||
7/11/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $455,001,685, 0.00% - 5.25%, 11/7/19 - 11/15/46) | 445,479 | 443,000 | |
7/12/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $401,712,933, 1.75% - 6.25%, 5/31/22 - 11/15/46) | 393,040 | 390,900 | |
2.21%, dated: | |||
7/10/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $273,831,280, 0.00% - 6.00%, 11/7/19 - 11/15/48) | 268,475 | 267,000 | |
8/1/19 due 10/3/19 (Collateralized by U.S. Treasury Obligations valued at $168,035,128, 0.00% - 5.25%, 11/7/19 - 8/15/46) | 164,534 | 163,900 | |
BofA Securities, Inc. at 1.95%, dated 9/19/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $135,748,248, 2.03%, 1/31/21) | 133,238 | 133,000 | |
CIBC Bank U.S.A. at: | |||
1.93%, dated 9/27/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $206,900,415, 2.00% - 2.63%, 5/15/22 - 12/31/25) | 203,170 | 202,800 | |
1.95%, dated 9/19/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $236,803,039, 1.13% - 2.88%, 12/31/20 - 11/15/46) | 232,402 | 232,000 | |
1.96%, dated 9/27/19 due 10/4/19 (Collateralized by U.S. Treasury Obligations valued at $206,906,231, 1.13% - 3.75%, 2/28/21 - 8/15/41) | 202,877 | 202,800 | |
2.04%, dated 9/3/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $215,640,603, 1.13% - 4.25%, 12/31/20 - 11/15/46) | 211,514 | 211,000 | |
2.05%, dated: | |||
9/3/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $101,145,805, 1.13% - 4.50%, 7/31/21 - 11/15/46) | 99,192 | 99,000 | |
9/12/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $141,729,258, 1.13% - 2.88%, 5/31/20 - 8/31/26) | 139,006 | 138,800 | |
2.07%, dated 8/22/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $71,572,634, 1.13% - 4.50%, 5/31/20 - 11/15/46) | 70,221 | 70,000 | |
Credit AG at: | |||
2%, dated 9/19/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $214,342,896, 1.13% - 2.00%, 8/31/21 - 10/31/22) | 210,373 | 210,000 | |
2.02%, dated 9/16/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $160,978,999, 1.88% - 3.88%, 2/28/22 - 8/15/40) | 157,264 | 157,000 | |
2.03%, dated 9/19/19 due 10/21/19 (Collateralized by U.S. Treasury Obligations valued at $275,586,379, 1.63% - 2.88%, 11/15/22 - 11/30/23) | 270,487 | 270,000 | |
Credit Agricole CIB at: | |||
2.06%, dated 9/26/19 due 10/3/19 (Collateralized by U.S. Treasury Obligations valued at $819,231,031, 1.63% - 2.88%, 3/31/23 - 2/15/26) | 803,322 | 803,000 | |
2.2%, dated 9/30/19 due 10/2/19 (Collateralized by U.S. Treasury Obligations valued at $830,909,858, 1.63% - 2.63%, 6/30/23 - 5/15/26) | 814,099 | 814,000 | |
Deutsche Bank AG, New York at 2.38%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $792,519,046, 2.13% - 2.75%, 9/30/21 - 8/15/42) | 774,051 | 774,000 | |
Deutsche Bank Securities, Inc. at 2.38%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $26,521,829, 1.50% - 7.25%, 11/30/21 - 8/15/22) | 26,002 | 26,000 | |
DNB Bank ASA at 2.35%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $561,036,644, 1.88% - 2.50%, 2/28/21 - 11/15/26) | 550,036 | 550,000 | |
Fixed Income Clearing Corp. - BNYM at 2.35%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $5,213,220,037, 0.13% - 2.75%, 12/31/20 - 7/15/27) | 5,111,334 | 5,111,000 | |
HSBC Securities, Inc. at: | |||
2.14%, dated 9/25/19 due 10/2/19 (Collateralized by U.S. Treasury Obligations valued at $455,082,328, 1.50% - 4.75%, 6/15/20 - 2/15/37) | 446,186 | 446,000 | |
2.36%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $274,962,505, 2.25%, 11/15/24) | 267,018 | 267,000 | |
ING Financial Markets LLC at 2.35%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $276,846,954, 2.38%, 4/15/21 - 4/30/26) | 271,018 | 271,000 | |
J.P. Morgan Securities, LLC at 1.85%, dated 8/15/19 due 12/13/19 (Collateralized by U.S. Treasury Obligations valued at $141,164,461, 1.75%, 6/30/22)(b)(d)(e) | 138,851 | 138,000 | |
Lloyds Bank Corp. Markets PLC at: | |||
2.03%, dated 9/3/19 due 10/31/19 (Collateralized by U.S. Treasury Obligations valued at $113,498,892, 1.50% - 3.13%, 5/31/20 - 5/15/48) | 111,363 | 111,000 | |
2.06%, dated 9/18/19 due 10/18/19 (Collateralized by U.S. Treasury Obligations valued at $138,777,095, 2.00% - 2.63%, 3/15/21 - 12/31/25) | 136,233 | 136,000 | |
Lloyds Bank PLC at: | |||
2%, dated 9/20/19 due 11/20/19 (Collateralized by U.S. Treasury Obligations valued at $55,204,296, 6.00%, 2/15/26) | 54,183 | 54,000 | |
2.04%, dated 9/25/19 due 10/25/19 (Collateralized by U.S. Treasury Obligations valued at $136,782,215, 1.00% - 6.75%, 11/30/19 - 8/15/26) | 134,228 | 134,000 | |
2.05%, dated: | |||
9/12/19 due 10/15/19 (Collateralized by U.S. Treasury Obligations valued at $69,520,154, 6.75%, 8/15/26) | 68,128 | 68,000 | |
9/27/19 due 10/28/19 (Collateralized by U.S. Treasury Obligations valued at $136,697,083, 1.00% - 6.00%, 11/30/19 - 2/15/26) | 134,237 | 134,000 | |
Mitsubishi UFJ Securities (U.S.A.), Inc. at 2.1%, dated 9/19/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $69,058,308, 0.00% - 4.75%, 3/5/20 - 8/15/45) | 67,113 | 67,000 | |
MUFG Securities (Canada), Ltd. at: | |||
2.05%, dated 9/27/19 due 10/4/19 (Collateralized by U.S. Treasury Obligations valued at $213,228,631, 1.38% - 3.38%, 11/15/19 - 2/15/27) | 209,083 | 209,000 | |
2.07%, dated 9/24/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $106,122,761, 1.38% - 2.88%, 8/15/20 - 8/31/25) | 104,042 | 104,000 | |
2.08%, dated 9/26/19 due 10/3/19 (Collateralized by U.S. Treasury Obligations valued at $52,545,184, 1.13% - 2.88%, 8/31/21 - 5/15/28) | 51,521 | 51,500 | |
MUFG Securities EMEA PLC at: | |||
1.96%, dated 9/24/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $209,110,770, 2.00% - 2.75%, 5/31/23 - 5/31/24) | 205,402 | 205,000 | |
2%, dated 9/24/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $158,236,614, 2.00% - 2.75%, 11/30/22 - 2/15/28) | 155,189 | 155,000 | |
2.04%, dated 9/16/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $98,046,171, 1.38% - 2.63%, 11/15/20 - 9/30/23) | 96,174 | 96,000 | |
2.05%, dated 9/20/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $107,259,861, 2.00%, 5/31/24) | 105,185 | 105,000 | |
2.06%, dated: | |||
9/4/19 due 10/4/19 (Collateralized by U.S. Treasury Obligations valued at $188,103,419, 1.63% - 6.50%, 2/15/21 - 2/15/29) | 184,316 | 184,000 | |
9/25/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $216,140,010, 1.75% - 2.88%, 3/31/21 - 9/30/23) | 212,070 | 211,900 | |
9/27/19 due 10/4/19 (Collateralized by U.S. Treasury Obligations valued at $356,959,977, 1.13% - 2.88%, 2/29/20 - 2/15/28) | 350,140 | 350,000 | |
2.07%, dated 8/23/19 due 10/4/19 (Collateralized by U.S. Treasury Obligations valued at $430,239,435, 1.38% - 2.75%, 2/15/21 - 3/31/25) | 422,017 | 421,000 | |
2.08%, dated: | |||
9/25/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $106,176,551, 2.00% - 2.75%, 11/15/20 - 8/31/25) | 104,072 | 104,000 | |
9/27/19 due 10/3/19 (Collateralized by U.S. Treasury Obligations valued at $212,135,095, 2.75% - 2.88%, 4/30/23 - 5/31/25) | 208,072 | 208,000 | |
2.09%, dated 8/19/19 due 10/4/19 (Collateralized by U.S. Treasury Obligations valued at $106,332,705, 1.38% - 2.63%, 3/31/20 - 3/31/25) | 104,278 | 104,000 | |
2.4%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $251,977,535, 2.13% - 2.88%, 3/31/24 - 2/15/46) | 247,016 | 247,000 | |
2.55%, dated 9/30/19 due 10/1/19: | |||
(Collateralized by U.S. Treasury Obligations valued at $274,298,664, 2.00% - 2.25%, 7/31/22 - 2/15/27) | 269,019 | 269,000 | |
(Collateralized by U.S. Treasury Obligations valued at $178,613,925, 1.50% - 2.88%, 9/30/21 - 8/15/28) | 175,012 | 175,000 | |
Natixis SA at: | |||
2.06%, dated 9/6/19 due 10/4/19 (Collateralized by U.S. Treasury Obligations valued at $782,518,306, 0.00% - 8.13%, 10/17/19 - 2/15/49) | 767,127 | 765,900 | |
2.11%, dated 8/8/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $269,011,969, 0.00% - 4.25%, 10/17/19 - 5/15/47) | 263,840 | 262,900 | |
2.19%, dated 7/22/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $129,406,413, 0.00% - 8.13%, 10/17/19 - 2/15/49) | 126,675 | 126,000 | |
Norinchukin Bank at: | |||
2.03%, dated 9/24/19 due 12/16/19 (Collateralized by U.S. Treasury Obligations valued at $136,726,360, 1.50% - 3.63%, 2/15/20 - 8/15/26) | 134,627 | 134,000 | |
2.07%, dated: | |||
9/5/19 due 12/5/19 (Collateralized by U.S. Treasury Obligations valued at $208,744,870, 2.00% - 3.63%, 2/15/20 - 11/15/26) | 204,062 | 203,000 | |
9/9/19 due 12/9/19 (Collateralized by U.S. Treasury Obligations valued at $138,637,102, 1.50% - 3.63%, 2/15/20 - 8/15/26) | 135,706 | 135,000 | |
9/18/19 due 12/18/19 (Collateralized by U.S. Treasury Obligations valued at $139,086,116, 1.50% - 3.63%, 2/15/20 - 8/15/26) | 136,712 | 136,000 | |
2.09%, dated 8/20/19 due 11/22/19 (Collateralized by U.S. Treasury Obligations valued at $143,455,088, 2.63% - 3.63%, 2/15/20 - 11/15/20) | 139,759 | 139,000 | |
2.1%, dated 8/16/19 due 11/19/19 (Collateralized by U.S. Treasury Obligations valued at $70,748,532, 1.50% - 3.63%, 2/15/20 - 8/15/26) | 69,382 | 69,000 | |
2.26%, dated 7/19/19 due 10/18/19 (Collateralized by U.S. Treasury Obligations valued at $130,387,162, 1.50% - 3.63%, 2/15/20 - 8/15/26) | 127,726 | 127,000 | |
2.3%, dated 7/17/19 due 10/17/19 (Collateralized by U.S. Treasury Obligations valued at $52,371,079, 1.50% - 3.63%, 2/15/20 - 8/15/26) | 51,300 | 51,000 | |
Prudential Insurance Co. of America at 2.37%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $509,322,292, 0.00% - 8.75%, 7/31/20 - 2/15/31) | 499,480 | 499,447 | |
RBC Dominion Securities at: | |||
1.9%, dated 9/23/19 due 10/7/19: | |||
(Collateralized by U.S. Treasury Obligations valued at $274,495,923, 0.00% - 2.88%, 12/5/19 - 5/15/46) | 269,199 | 269,000 | |
(Collateralized by U.S. Treasury Obligations valued at $137,758,218, 0.00% - 4.63%, 12/5/19 - 2/15/40) | 135,107 | 135,000 | |
1.95%, dated 9/19/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $275,590,149, 0.00% - 6.50%, 12/5/19 - 11/15/46) | 270,483 | 270,000 | |
1.98%, dated 9/24/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $412,336,095, 0.00% - 8.75%, 12/5/19 - 2/15/46) | 404,333 | 404,000 | |
2%, dated 8/16/19 due 10/7/19: | |||
(Collateralized by U.S. Treasury Obligations valued at $140,129,886, 0.00% - 6.13%, 12/5/19 - 5/15/46) | 137,693 | 137,000 | |
(Collateralized by U.S. Treasury Obligations valued at $140,843,097, 0.00% - 6.50%, 12/5/19 - 5/15/46) | 137,715 | 137,000 | |
2.01%, dated 8/15/19 due 10/7/19: | |||
(Collateralized by U.S. Treasury Obligations valued at $143,176,443, 0.00% - 6.13%, 12/5/19 - 11/15/44) | 140,704 | 140,000 | |
(Collateralized by U.S. Treasury Obligations valued at $143,176,337, 0.00% - 4.25%, 12/5/19 - 11/15/44) | 140,711 | 140,000 | |
(Collateralized by U.S. Treasury Obligations valued at $213,794,906, 1.38% - 6.50%, 2/15/20 - 2/15/49) | 210,074 | 209,000 | |
2.02%, dated: | |||
9/11/19 due 10/7/19: | |||
(Collateralized by U.S. Treasury Obligations valued at $139,899,651, 0.00% - 4.75%, 12/5/19 - 11/15/46) | 137,323 | 137,000 | |
(Collateralized by U.S. Treasury Obligations valued at $139,994,064, 0.00% - 4.75%, 12/5/19 - 2/15/41) | 137,331 | 137,000 | |
9/12/19 due 10/7/19: | |||
(Collateralized by U.S. Treasury Obligations valued at $177,184,902, 0.00% - 4.75%, 12/5/19 - 5/15/47) | 173,456 | 173,000 | |
(Collateralized by U.S. Treasury Obligations valued at $142,250,403, 0.00% - 6.13%, 12/5/19 - 5/15/49) | 139,359 | 139,000 | |
9/16/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $312,965,205, 0.00% - 6.50%, 12/5/19 - 5/15/49) | 306,498 | 306,000 | |
9/20/19 due 10/7/19: | |||
(Collateralized by U.S. Treasury Obligations valued at $136,261,501, 0.00% - 6.13%, 12/5/19 - 11/15/46) | 133,239 | 133,000 | |
(Collateralized by U.S. Treasury Obligations valued at $135,743,820, 0.00% - 4.63%, 10/10/19 - 2/15/45) | 133,254 | 133,000 | |
(Collateralized by U.S. Treasury Obligations valued at $135,743,825, 0.00% - 4.63%, 12/5/19 - 2/15/40) | 133,261 | 133,000 | |
2.04%, dated: | |||
9/10/19 due 10/7/19: | |||
(Collateralized by U.S. Treasury Obligations valued at $69,354,636, 0.00% - 6.13%, 12/5/19 - 11/15/48) | 68,015 | 67,900 | |
(Collateralized by U.S. Treasury Obligations valued at $69,433,522, 0.00% - 6.13%, 12/5/19 - 11/15/44) | 68,012 | 67,900 | |
9/11/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $141,838,647, 0.00% - 6.50%, 12/5/19 - 2/15/40) | 139,136 | 138,900 | |
9/13/19 due 10/7/19: | |||
(Collateralized by U.S. Treasury Obligations valued at $140,594,548, 0.00% - 4.75%, 12/5/19 - 11/15/45) | 137,186 | 137,000 | |
(Collateralized by U.S. Treasury Obligations valued at $139,882,550, 0.00% - 6.13%, 12/5/19 - 2/15/41) | 137,194 | 137,000 | |
2.14%, dated 9/25/19 due 10/2/19 (Collateralized by U.S. Treasury Obligations valued at $262,233,538, 0.00% - 3.13%, 12/5/19 - 11/15/28) | 257,107 | 257,000 | |
RBC Financial Group at 1.96%, dated 9/19/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $399,999,173, 0.00% - 6.25%, 9/10/20 - 8/15/46) | 392,903 | 391,900 | |
RBS Securities, Inc. at 2.38%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $426,459,211, 1.75% - 4.63%, 6/30/24 - 2/15/40) | 417,028 | 417,000 | |
Societe Generale at: | |||
2.05%, dated 9/6/19 due 11/5/19 (Collateralized by U.S. Treasury Obligations valued at $272,782,602, 0.00% - 8.00%, 10/3/19 - 5/15/47) | 266,909 | 266,000 | |
2.1%, dated 9/6/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $545,310,729, 0.00% - 8.75%, 10/3/19 - 5/15/49) | 533,964 | 533,000 | |
TOTAL U.S. TREASURY REPURCHASE AGREEMENT | |||
(Cost $34,857,347) | 34,857,347 | ||
TOTAL INVESTMENT IN SECURITIES - 100.7% | |||
(Cost $132,322,843) | 132,322,843 | ||
NET OTHER ASSETS (LIABILITIES) - (0.7)% | (897,764) | ||
NET ASSETS - 100% | $131,425,079 |
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.
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) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(c) Represents a forward settling transaction and therefore no collateral securities had been allocated as of period end. The agreement contemplated the delivery of U.S. Government Obligations as collateral on settlement date.
(d) The maturity amount is based on the rate at period end.
(e) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
Investment Valuation
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 Investment Valuation section in the accompanying Notes to Financial Statements.
Other Information
# Additional information on each counterparty to the repurchase agreement is as follows:
Repurchase Agreement / Counterparty | Value (000s) |
$2,843,064,000 due 10/01/19 at 2.29% | |
BofA Securities, Inc. | $71,209 |
Citigroup Global Markets, Inc. | 96,208 |
ING Financial Markets LLC | 10,182 |
JP Morgan Securities LLC | 1,289,816 |
Mitsubishi UFJ Securities (USA), Inc. | 4,967 |
Nomura Securities International, Inc. | 114,968 |
RBC Dominion Securities, Inc. | 462,085 |
Sumitomo Mitsui Banking Corp. NY | 710,781 |
Sumitomo Mitsui Banking Corp. | 21,464 |
Wells Fargo Securities LLC | 61,384 |
$2,843,064 | |
$7,996,871,000 due 10/01/19 at 2.38% | |
Citibank NA | $228,639 |
HSBC Securities (USA), Inc. | 171,479 |
ING Financial Markets LLC | 106,452 |
JP Morgan Securities LLC | 1,307,673 |
Mitsubishi UFJ Securities (USA), Inc. | 114,424 |
Mizuho Securities USA, Inc. | 411,551 |
Nomura Securities International, Inc. | 340,672 |
Sumitomo Mitsui Banking Corp. NY | 1,387,705 |
Sumitomo Mitsui Banking Corp. | 1,642,117 |
Wells Fargo Securities LLC | 2,286,159 |
$7,996,871 |
See accompanying notes which are an integral part of the financial statements.
Government Portfolio
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts) | September 30, 2019 (Unaudited) | |
Assets | ||
Investment in securities, at value (including repurchase agreements of $59,867,462) — See accompanying schedule: Unaffiliated issuers (cost $132,322,843) | $132,322,843 | |
Cash | 348 | |
Receivable for fund shares sold | 553,145 | |
Interest receivable | 147,550 | |
Prepaid expenses | 227 | |
Receivable from investment adviser for expense reductions | 3,424 | |
Other receivables | 826 | |
Total assets | 133,028,363 | |
Liabilities | ||
Payable for investments purchased | $722,499 | |
Payable for fund shares redeemed | 761,286 | |
Distributions payable | 94,347 | |
Accrued management fee | 15,023 | |
Distribution and service plan fees payable | 722 | |
Other affiliated payables | 4,483 | |
Other payables and accrued expenses | 4,924 | |
Total liabilities | 1,603,284 | |
Net Assets | $131,425,079 | |
Net Assets consist of: | ||
Paid in capital | $131,425,603 | |
Total accumulated earnings (loss) | (524) | |
Net Assets | $131,425,079 | |
Net Asset Value and Maximum Offering Price | ||
Class I: | ||
Net Asset Value, offering price and redemption price per share ($35,260,154 ÷ 35,249,225 shares) | $1.00 | |
Class II: | ||
Net Asset Value, offering price and redemption price per share ($629,969 ÷ 629,632 shares) | $1.00 | |
Class III: | ||
Net Asset Value, offering price and redemption price per share ($3,056,140 ÷ 3,054,594 shares) | $1.00 | |
Select Class: | ||
Net Asset Value, offering price and redemption price per share ($292,243 ÷ 292,206 shares) | $1.00 | |
Institutional Class: | ||
Net Asset Value, offering price and redemption price per share ($92,186,573 ÷ 92,188,155 shares) | $1.00 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Amounts in thousands | Six months ended September 30, 2019 (Unaudited) | |
Investment Income | ||
Interest | $1,389,166 | |
Expenses | ||
Management fee | $82,317 | |
Transfer agent fees | 23,076 | |
Distribution and service plan fees | 4,530 | |
Accounting fees and expenses | 1,596 | |
Custodian fees and expenses | 317 | |
Independent trustees' fees and expenses | 230 | |
Registration fees | 3,735 | |
Audit | 25 | |
Legal | 52 | |
Miscellaneous | 273 | |
Total expenses before reductions | 116,151 | |
Expense reductions | (21,907) | |
Total expenses after reductions | 94,244 | |
Net investment income (loss) | 1,294,922 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 18 | |
Total net realized gain (loss) | 18 | |
Net increase in net assets resulting from operations | $1,294,940 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Amounts in thousands | Six months ended September 30, 2019 (Unaudited) | Year ended March 31, 2019 |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $1,294,922 | $2,183,497 |
Net realized gain (loss) | 18 | 206 |
Net increase in net assets resulting from operations | 1,294,940 | 2,183,703 |
Distributions to shareholders | (1,293,013) | (2,185,195) |
Share transactions - net increase (decrease) | 22,353,601 | 8,002,805 |
Total increase (decrease) in net assets | 22,355,528 | 8,001,313 |
Net Assets | ||
Beginning of period | 109,069,551 | 101,068,238 |
End of period | $131,425,079 | $109,069,551 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Government Portfolio Class I
Six months ended (Unaudited) September 30, | Years endedMarch 31, | |||||
2019 | 2019 | 2018 | 2017 | 2016 | 2015 | |
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) | .011 | .020 | .009 | .003 | .001 | –A |
Net realized and unrealized gain (loss)A | – | – | – | – | – | – |
Total from investment operations | .011 | .020 | .009 | .003 | .001 | –A |
Distributions from net investment income | (.011) | (.020) | (.009) | (.003) | (.001) | –A |
Total distributions | (.011) | (.020) | (.009) | (.003) | (.001) | –A |
Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total ReturnB,C | 1.10% | 1.97% | .95% | .31% | .06% | .01% |
Ratios to Average Net AssetsD | ||||||
Expenses before reductions | .21%E | .21% | .20% | .21% | .21% | .21% |
Expenses net of fee waivers, if any | .18%E | .18% | .18% | .18% | .16% | .11% |
Expenses net of all reductions | .18%E | .18% | .18% | .18% | .16% | .11% |
Net investment income (loss) | 2.18%E | 1.96% | .95% | .33% | .08% | .01% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $35,260 | $29,352 | $31,829 | $31,498 | $22,047 | $19,333 |
A Amount represents less than $.0005 per share.
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 Expense ratios reflect operating expenses of the class. 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 class 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 class.
E Annualized
See accompanying notes which are an integral part of the financial statements.
Government Portfolio Class II
Six months ended (Unaudited) September 30, | Years endedMarch 31, | |||||
2019 | 2019 | 2018 | 2017 | 2016 | 2015 | |
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) | .010 | .018 | .008 | .002 | –A | –A |
Net realized and unrealized gain (loss)A | – | – | – | – | – | – |
Total from investment operations | .010 | .018 | .008 | .002 | –A | –A |
Distributions from net investment income | (.010) | (.018) | (.008) | (.002) | –A | –A |
Total distributions | (.010) | (.018) | (.008) | (.002) | –A | –A |
Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total ReturnB,C | 1.02% | 1.82% | .80% | .16% | .02% | .01% |
Ratios to Average Net AssetsD | ||||||
Expenses before reductions | .36%E | .36% | .35% | .36% | .36% | .36% |
Expenses net of fee waivers, if any | .33%E | .33% | .33% | .33% | .20% | .11% |
Expenses net of all reductions | .33%E | .33% | .33% | .33% | .20% | .11% |
Net investment income (loss) | 2.03%E | 1.81% | .80% | .18% | .04% | .01% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $630 | $836 | $744 | $909 | $485 | $539 |
A Amount represents less than $.0005 per share.
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 Expense ratios reflect operating expenses of the class. 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 class 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 class.
E Annualized
See accompanying notes which are an integral part of the financial statements.
Government Portfolio Class III
Six months ended (Unaudited) September 30, | Years endedMarch 31, | |||||
2019 | 2019 | 2018 | 2017 | 2016 | 2015 | |
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) | .010 | .017 | .007 | .001 | –A | –A |
Net realized and unrealized gain (loss)A | – | – | – | – | – | – |
Total from investment operations | .010 | .017 | .007 | .001 | –A | –A |
Distributions from net investment income | (.010) | (.017) | (.007) | (.001) | –A | –A |
Total distributions | (.010) | (.017) | (.007) | (.001) | –A | –A |
Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total ReturnB,C | .97% | 1.72% | .70% | .07% | .01% | .01% |
Ratios to Average Net AssetsD | ||||||
Expenses before reductions | .46%E | .46% | .46% | .46% | .46% | .46% |
Expenses net of fee waivers, if any | .43%E | .43% | .43% | .43% | .21% | .11% |
Expenses net of all reductions | .43%E | .43% | .43% | .43% | .21% | .11% |
Net investment income (loss) | 1.93%E | 1.71% | .70% | .09% | .03% | .01% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $3,056 | $3,397 | $3,351 | $3,038 | $1,957 | $2,120 |
A Amount represents less than $.0005 per share.
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 Expense ratios reflect operating expenses of the class. 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 class 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 class.
E Annualized
See accompanying notes which are an integral part of the financial statements.
Government Portfolio Select Class
Six months ended (Unaudited) September 30, | Years endedMarch 31, | |||||
2019 | 2019 | 2018 | 2017 | 2016 | 2015 | |
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) | .011 | .019 | .009 | .003 | –A | –A |
Net realized and unrealized gain (loss)A | – | – | – | – | – | – |
Total from investment operations | .011 | .019 | .009 | .003 | –A | –A |
Distributions from net investment income | (.011) | (.019) | (.009) | (.003) | –A | –A |
Total distributions | (.011) | (.019) | (.009) | (.003) | –A | –A |
Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total ReturnB,C | 1.07% | 1.92% | .90% | .26% | .05% | .01% |
Ratios to Average Net AssetsD | ||||||
Expenses before reductions | .26%E | .25% | .26% | .26% | .26% | .26% |
Expenses net of fee waivers, if any | .23%E | .23% | .23% | .23% | .17% | .11% |
Expenses net of all reductions | .23%E | .23% | .23% | .23% | .17% | .11% |
Net investment income (loss) | 2.13%E | 1.91% | .90% | .28% | .07% | - %F |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $292 | $335 | $450 | $641 | $286 | $686 |
A Amount represents less than $.0005 per share.
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 Expense ratios reflect operating expenses of the class. 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 class 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 class.
E Annualized
F Amount represents less than .005%.
See accompanying notes which are an integral part of the financial statements.
Government Portfolio Institutional Class
Six months ended (Unaudited) September 30, | Years endedMarch 31, | |||||
2019 | 2019 | 2018 | 2017 | 2016 | 2015 A | |
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) | .011 | .020 | .010 | .004 | .001 | –B |
Net realized and unrealized gain (loss)B | – | – | – | – | – | – |
Total from investment operations | .011 | .020 | .010 | .004 | .001 | –B |
Distributions from net investment income | (.011) | (.020) | (.010) | (.004) | (.001) | –B |
Total distributions | (.011) | (.020) | (.010) | (.004) | (.001) | –B |
Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total ReturnC,D | 1.12% | 2.01% | .99% | .35% | .08% | .01% |
Ratios to Average Net AssetsE | ||||||
Expenses before reductions | .18%F | .18% | .18% | .18% | .18% | .18%F |
Expenses net of fee waivers, if any | .14%F | .14% | .14% | .14% | .14% | .11%F |
Expenses net of all reductions | .14%F | .14% | .14% | .14% | .14% | .11%F |
Net investment income (loss) | 2.22%F | 2.00% | .99% | .37% | .10% | - %F,G |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $92,187 | $75,150 | $64,695 | $58,310 | $19,281 | $1,508 |
A For the period May 14, 2014 (commencement of sale of shares) to March 31, 2015.
B Amount represents less than $.0005 per share.
C Total returns for periods of less than one year are not annualized.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Expense ratios reflect operating expenses of the class. 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 class during periods when reimbursements, waivers or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. 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 class.
F Annualized
G Amount represents less than .005%.
See accompanying notes which are an integral part of the financial statements.
Money Market Portfolio
Investment Summary/Performance (Unaudited)
Effective Maturity Diversification as of September 30, 2019
Days | % of fund's investments 9/30/19 |
1 - 7 | 40.0 |
8 - 30 | 16.1 |
31 - 60 | 15.0 |
61 - 90 | 8.4 |
91 - 180 | 20.2 |
> 180 | 0.3 |
Effective maturity is determined in accordance with the requirements of Rule 2a-7 under the Investment Company Act of 1940.
Asset Allocation (% of fund's net assets)
As of September 30, 2019 | ||
Certificates of Deposit | 29.5% | |
Commercial Paper | 35.7% | |
U.S. Treasury Debt | 0.3% | |
U.S. Government Agency Debt | 2.5% | |
Non-Negotiable Time Deposit | 7.5% | |
Other Instruments | 0.8% | |
Repurchase Agreements | 24.8% | |
Net Other Assets (Liabilities)* | (1.1)% |
* Net Other Assets (Liabilities) are not included in the pie chart
Current 7-Day Yields
9/30/19 | |
Class I | 1.99% |
Class II | 1.85% |
Class III | 1.75% |
Select Class | 1.95% |
Institutional Class | 2.03% |
Yield refers to the income paid by the Fund over a given period. Yield for money market funds is usually for seven-day periods, as it is here, though it is expressed as an annual percentage rate. Past performance is no guarantee of future results. Yield will vary and it's possible to lose money investing in the Fund. A portion of the Fund's expenses was reimbursed and/or waived. Absent such reimbursements and/or waivers the yield for the period ending September 30, 2019, the most recent period shown in the table, would have been 1.95% for Class I, 1.80% for Class II, 1.70% for Class III, 1.90% for Select Class, and 1.98% for Institutional Class.
Money Market Portfolio
Schedule of Investments September 30, 2019 (Unaudited)
Showing Percentage of Net Assets
Certificate of Deposit - 29.5% | ||||
Yield(a) | Principal Amount (000s) | Value (000s) | ||
Domestic Certificates Of Deposit - 0.4% | ||||
First Republic Bank (CD) | ||||
10/7/19 | 2.05 % | $130,000 | $130,000 | |
State Street Bank & Trust Co., Boston | ||||
11/21/19 | 2.05 (b)(c) | 133,000 | 133,000 | |
263,000 | ||||
London Branch, Eurodollar, Foreign Banks - 12.7% | ||||
CIC London Branch | ||||
11/12/19 to 1/27/20 | 2.16 to 2.36 | 749,000 | 744,755 | |
Commonwealth Bank of Australia London Branch | ||||
2/28/20 to 3/10/20 | 2.00 | 308,000 | 308,000 | |
DZ Bank AG London Branch | ||||
10/11/19 to 1/30/20 | 2.09 to 2.40 | 3,395,000 | 3,381,689 | |
KBC Bank NV London | ||||
11/29/19 to 12/30/19 | 2.10 to 2.15 | 956,000 | 951,833 | |
Mitsubishi UFJ Trust & Banking Corp. | ||||
10/18/19 to 2/7/20 | 2.17 to 2.41 | 962,500 | 958,669 | |
Mizuho Bank Ltd. London Branch | ||||
10/31/19 to 1/16/20 | 2.15 to 2.35 | 1,389,000 | 1,382,882 | |
Sumitomo Mitsui Trust Bank Ltd. London Branch | ||||
11/15/19 to 2/7/20 | 2.15 to 2.23 | 911,000 | 906,818 | |
8,634,646 | ||||
New York Branch, Yankee Dollar, Foreign Banks - 16.4% | ||||
Bank of Montreal | ||||
11/22/19 to 4/17/20 | 2.14 to 2.24 (b)(c) | 1,649,500 | 1,649,500 | |
Bank of Nova Scotia | ||||
10/15/19 to 3/16/20 | 1.99 to 2.38 (b) | 1,727,000 | 1,727,000 | |
Credit Agricole CIB | ||||
10/4/19 to 12/12/19 | 2.10 to 2.32 | 1,636,000 | 1,636,000 | |
Landesbank Baden-Wuerttemberg New York Branch | ||||
10/1/19 | 1.96 | 576,000 | 576,000 | |
Mitsubishi UFJ Trust & Banking Corp. | ||||
10/16/19 to 1/14/20 | 2.11 to 2.38 | 844,650 | 844,650 | |
Mizuho Corporate Bank Ltd. | ||||
10/15/19 to 1/31/20 | 2.12 to 2.32 (b) | 1,492,000 | 1,492,000 | |
Sumitomo Mitsui Banking Corp. | ||||
10/3/19 to 1/21/20 | 2.10 to 2.79 (b) | 2,162,750 | 2,162,750 | |
Sumitomo Mitsui Trust Bank Ltd. | ||||
11/18/19 to 1/23/20 | 2.11 to 2.30 | 446,000 | 446,000 | |
Toronto-Dominion Bank | ||||
1/13/20 to 3/11/20 | 2.00 to 2.30 | 569,000 | 569,000 | |
11,102,900 | ||||
TOTAL CERTIFICATE OF DEPOSIT | ||||
(Cost $20,000,546) | 20,000,546 | |||
Financial Company Commercial Paper - 32.8% | ||||
Bank of Montreal | �� | |||
12/23/19 | 2.15 | 464,000 | 461,712 | |
Bank of Nova Scotia | ||||
11/20/19 to 3/20/20 | 2.16 to 2.19 (b)(c) | 1,227,000 | 1,227,000 | |
BNP Paribas Fortis | ||||
12/5/19 | 2.10 | 115,000 | 114,566 | |
BNP Paribas SA | ||||
12/6/19 | 2.11 | 232,000 | 231,107 | |
BPCE SA | ||||
10/4/19 to 12/12/19 | 2.13 to 2.50 | 2,714,000 | 2,705,809 | |
Canadian Imperial Bank of Commerce | ||||
10/15/19 to 3/19/20 | 1.99 to 2.62 (b) | 2,246,000 | 2,232,948 | |
Citigroup Global Markets, Inc. | ||||
2/10/20 | 2.03 | 62,000 | 61,543 | |
Credit Suisse AG | ||||
11/6/19 to 1/27/20 | 2.07 to 2.35 | 2,635,000 | 2,624,907 | |
DNB Bank ASA | ||||
10/3/19 to 3/2/20 | 2.00 to 2.42 (b) | 1,908,400 | 1,898,435 | |
J.P. Morgan Securities, LLC | ||||
10/16/19 to 12/2/19 | 2.16 to 2.34 (b)(c) | 812,000 | 812,000 | |
Mitsubishi UFJ Trust & Banking Corp. | ||||
11/1/19 to 1/21/20 | 2.11 to 2.37 | 679,250 | 676,634 | |
Natexis Banques Populaires New York Branch | ||||
12/16/19 | 2.12 | 274,000 | 272,785 | |
National Australia Bank Ltd. | ||||
11/12/19 to 4/1/20 | 2.05 to 2.15 (b) | 398,000 | 396,287 | |
National Bank of Canada | ||||
11/8/19 | 2.14 (b)(c) | 224,000 | 224,000 | |
Ontario Teachers' Finance Trust | ||||
3/30/20 | 2.00 (d) | 52,000 | 51,485 | |
Royal Bank of Canada | ||||
11/22/19 to 4/15/20 | 2.14 to 2.21 (b)(c) | 1,404,500 | 1,404,500 | |
Sumitomo Mitsui Trust Bank Ltd. | ||||
10/28/19 to 1/10/20 | 2.12 to 2.32 | 1,814,000 | 1,807,840 | |
Svenska Handelsbanken AB | ||||
2/12/20 to 3/16/20 | 2.00 to 2.02 | 1,382,000 | 1,370,716 | |
The Toronto-Dominion Bank | ||||
10/1/19 to 2/6/20 | 2.14 to 2.62 (b) | 2,660,000 | 2,659,724 | |
Toyota Motor Credit Corp. | ||||
12/11/19 to 2/24/20 | 2.15 to 2.19 (b) | 434,500 | 432,585 | |
UBS AG London Branch | ||||
1/24/20 to 1/29/20 | 2.38 to 2.38 | 540,000 | 535,826 | |
TOTAL FINANCIAL COMPANY COMMERCIAL PAPER | ||||
(Cost $22,202,409) | 22,202,409 | |||
Asset Backed Commercial Paper - 1.6% | ||||
Atlantic Asset Securitization Corp. (Liquidity Facility Credit Agricole CIB) | ||||
1/13/20 | 2.14 | 62,000 | 61,618 | |
1/21/20 | 2.15 | 49,000 | 48,675 | |
1/22/20 | 2.15 | 49,000 | 48,672 | |
1/23/20 | 2.15 | 49,000 | 48,669 | |
11/12/19 | 2.16 | 53,000 | 52,867 | |
11/19/19 | 2.15 | 14,000 | 13,959 | |
11/25/19 | 2.15 | 64,000 | 63,791 | |
11/26/19 | 2.15 | 66,000 | 65,780 | |
2/3/20 | 2.15 | 56,000 | 55,586 | |
2/7/20 | 2.15 | 116,000 | 115,115 | |
Gotham Funding Corp. (Liquidity Facility Bank of Tokyo-Mitsubishi UFJ Ltd.) | ||||
1/6/20 | 2.16 | 129,000 | 128,253 | |
12/12/19 | 2.18 | 75,000 | 74,675 | |
12/13/19 | 2.18 | 129,000 | 128,432 | |
Liberty Street Funding LLC (Liquidity Facility Bank of Nova Scotia) | ||||
10/3/19 | 2.46 | 24,000 | 23,997 | |
10/7/19 | 2.46 | 24,000 | 23,990 | |
10/9/19 | 2.35 | 24,000 | 23,988 | |
12/11/19 | 2.12 | 44,000 | 43,817 | |
12/20/19 | 2.12 | 29,000 | 28,865 | |
12/20/19 | 2.12 | 14,000 | 13,935 | |
TOTAL ASSET BACKED COMMERCIAL PAPER | ||||
(Cost $1,064,684) | 1,064,684 | |||
Non-Financial Company Commercial Paper - 1.3% | ||||
American Electric Power Co., Inc. | ||||
10/8/19 to 10/10/19 | 2.26 to 2.27 | 127,750 | 127,687 | |
Bell Canada | ||||
10/11/19 | 2.25 | 28,000 | 27,983 | |
Dominion Energy, Inc. | ||||
10/9/19 to 10/16/19 | 2.25 to 2.25 | 113,345 | 113,269 | |
Sempra Global | ||||
10/3/19 | 2.50 | 25,500 | 25,496 | |
10/3/19 | 2.50 | 20,000 | 19,997 | |
10/30/19 | 2.25 | 21,000 | 20,962 | |
10/4/19 | 2.50 | 37,500 | 37,492 | |
UnitedHealth Group, Inc. | ||||
10/1/19 to 10/4/19 | 2.13 to 2.25 | 422,000 | 421,966 | |
Ventas Realty LP | ||||
10/1/19 to 10/18/19 | 2.27 to 2.28 | 60,750 | 60,713 | |
TOTAL NON-FINANCIAL COMPANY COMMERCIAL PAPER | ||||
(Cost $855,565) | 855,565 | |||
U.S. Treasury Debt - 0.3% | ||||
U.S. Treasury Obligations - 0.3% | ||||
U.S. Treasury Notes | ||||
7/31/21 | ||||
(Cost $192,788) | 2.13 (b)(c) | 193,000 | 192,788 | |
Other Instrument - 0.8% | ||||
Master Notes - 0.8% | ||||
Toyota Motor Credit Corp. | ||||
10/7/19 | ||||
(Cost $567,000) | 2.22 (b)(c)(e) | 567,000 | 567,000 | |
U.S. Government Agency Debt - 2.5% | ||||
Federal Agencies - 2.5% | ||||
Federal Home Loan Bank | ||||
11/12/19 to 11/21/19 | ||||
(Cost $1,729,656) | 1.94 to 1.96 | 1,734,000 | 1,729,656 | |
Non-Negotiable Time Deposit - 7.5% | ||||
Time Deposits - 7.5% | ||||
Barclays Bank PLC | ||||
10/1/19 | 2.39 | 1,915,000 | 1,915,000 | |
Credit Agricole CIB | ||||
10/3/19 to 10/7/19 | 2.00 to 2.05 | 1,148,000 | 1,148,000 | |
Landesbank Hessen-Thuringen London Branch | ||||
10/2/19 to 10/3/19 | 1.98 to 2.05 | 711,000 | 711,000 | |
Royal Bank of Canada | ||||
10/4/19 | 2.05 | 461,000 | 461,000 | |
Societe Generale | ||||
10/3/19 | 2.00 | 877,000 | 877,000 | |
TOTAL NON-NEGOTIABLE TIME DEPOSIT | ||||
(Cost $5,112,000) | 5,112,000 |
U.S. Government Agency Repurchase Agreement - 10.4% | |||
Maturity Amount (000s) | Value (000s) | ||
In a joint trading account at: | |||
2.36% dated 9/30/19 due 10/1/19 (Collateralized by U.S. Government Obligations) # | $486,960 | $486,928 | |
2.38% dated 9/30/19 due 10/1/19 (Collateralized by U.S. Government Obligations) # | 4,333,686 | 4,333,400 | |
With: | |||
Barclays Bank PLC at 2%, dated 9/27/19 due 10/2/19 (Collateralized by U.S. Government Obligations valued at $427,474,974, 3.50% - 4.50%, 5/20/46 - 6/20/49) | 419,116 | 419,000 | |
Citibank NA at: | |||
2.09%, dated 9/24/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $30,613,258, 0.00% - 2.88%, 7/15/21 - 9/25/34) | 30,012 | 30,000 | |
2.1%, dated 9/24/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $186,964,885, 0.00% - 10.00%, 10/10/19 - 2/15/49) | 183,075 | 183,000 | |
Deutsche Bank AG, New York at 2.39%, dated 9/30/19 due 10/1/19 (Collateralized by Mortgage Loan Obligations valued at $80,345,334, 3.35% - 3.75%, 6/15/24 - 11/15/46) | 78,005 | 78,000 | |
Goldman Sachs & Co. at 2.15%, dated 9/25/19 due 10/2/19 (Collateralized by U.S. Government Obligations valued at $243,867,355, 2.50% - 5.00%, 1/1/26 - 12/20/65) | 239,100 | 239,000 | |
HSBC Securities, Inc. at: | |||
2.05%, dated 9/27/19 due 10/4/19 (Collateralized by U.S. Government Obligations valued at $36,728,364, 3.50% - 4.50%, 1/1/42 - 9/1/49) | 36,014 | 36,000 | |
2.15%, dated 9/25/19 due 10/2/19 (Collateralized by U.S. Government Obligations valued at $199,991,638, 3.46% - 4.50%, 4/1/30 - 8/1/49) | 196,082 | 196,000 | |
ING Financial Markets LLC at 2.1%, dated 9/24/19 due 10/1/19 (Collateralized by U.S. Government Obligations valued at $30,612,495, 3.00% - 5.50%, 11/1/29 - 1/1/49) | 30,012 | 30,000 | |
J.P. Morgan Securities, LLC at 2.15%, dated 9/25/19 due 10/2/19 (Collateralized by U.S. Government Obligations valued at $60,201,565, 4.00%, 2/1/42) | 59,025 | 59,000 | |
Morgan Stanley & Co., LLC at 2.37%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Government Obligations valued at $306,020,192, 0.00% - 7.75%, 2/13/20 - 9/20/49) | 300,020 | 300,000 | |
MUFG Securities (Canada), Ltd. at 2.37%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Government Obligations valued at $18,361,209, 4.00% - 4.50%, 4/1/47 - 11/1/47) | 18,001 | 18,000 | |
Nomura Securities International, Inc. at 2.02%, dated: | |||
9/26/19 due 10/3/19 (Collateralized by U.S. Government Obligations valued at $177,529,793, 0.00% - 9.50%, 11/1/19 - 2/20/66) | 174,068 | 174,000 | |
9/27/19 due 10/4/19 (Collateralized by U.S. Government Obligations valued at $322,392,344, 3.00% - 4.50%, 12/20/47 - 9/1/49) | 316,124 | 316,000 | |
TD Securities (U.S.A.) at 2.38%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Government Obligations valued at $121,388,025, 4.00%, 4/1/47 - 4/1/49) | 119,008 | 119,000 | |
TOTAL U.S. GOVERNMENT AGENCY REPURCHASE AGREEMENT | |||
(Cost $7,017,328) | 7,017,328 | ||
U.S. Treasury Repurchase Agreement - 8.6% | |||
With: | |||
Barclays Bank PLC at 2.35%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $602,699,516, 2.63% - 2.88%, 7/31/20 - 11/15/46) | 590,039 | 590,000 | |
Commerz Markets LLC at: | |||
2.05%, dated: | |||
9/26/19 due 10/3/19 (Collateralized by U.S. Treasury Obligations valued at $154,063,915, 1.75% - 3.13%, 3/31/22 - 11/15/28) | 151,060 | 151,000 | |
9/27/19 due 10/4/19 (Collateralized by U.S. Treasury Obligations valued at $154,565,214, 2.50% - 2.88%, 2/15/22 - 6/30/25) | 151,560 | 151,500 | |
2.25%, dated 9/25/19 due 10/2/19 (Collateralized by U.S. Treasury Obligations valued at $308,155,521, 1.38% - 3.00%, 11/30/20 - 8/15/27) | 302,132 | 302,000 | |
2.38%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $831,355,036, 1.13% - 3.13%, 11/30/20 - 5/15/29) | 815,054 | 815,000 | |
Credit AG at 2%, dated 9/19/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $111,254,189, 0.00%, 9/10/20) | 109,194 | 109,000 | |
Deutsche Bank AG, New York at: | |||
2.19%, dated 9/25/19 due 10/2/19 (Collateralized by U.S. Treasury Obligations valued at $154,076,227, 2.13%, 3/31/24) | 151,064 | 151,000 | |
2.38%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $411,087,188, 2.63% - 2.75%, 6/15/21 - 5/31/23) | 403,027 | 403,000 | |
Deutsche Bank Securities, Inc. at 2.38%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $13,260,900, 1.38% - 7.25%, 2/15/20 - 8/15/22) | 13,001 | 13,000 | |
Fixed Income Clearing Corp. - BNYM at 2.35%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $153,000,054, 1.13% - 1.88%, 6/30/21 - 1/31/22) | 150,010 | 150,000 | |
HSBC Securities, Inc. at 2.14%, dated 9/25/19 due 10/2/19 (Collateralized by U.S. Treasury Obligations valued at $240,805,897, 1.38% - 2.25%, 4/30/21 - 4/30/24) | 236,098 | 236,000 | |
MUFG Securities (Canada), Ltd. at: | |||
2.05%, dated 9/27/19 due 10/4/19 (Collateralized by U.S. Treasury Obligations valued at $112,225,632, 2.00% - 2.88%, 9/30/23 - 5/31/26) | 110,044 | 110,000 | |
2.07%, dated 9/24/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $57,143,071, 1.63% - 4.50%, 4/30/21 - 8/15/39) | 56,023 | 56,000 | |
2.08%, dated 9/26/19 due 10/3/19 (Collateralized by U.S. Treasury Obligations valued at $27,548,003, 1.38% - 2.88%, 1/31/21 - 5/31/25) | 27,011 | 27,000 | |
MUFG Securities EMEA PLC at: | |||
1.96%, dated 9/24/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $110,274,304, 2.00% - 2.75%, 8/15/21 - 8/15/25) | 108,212 | 108,000 | |
2%, dated 9/24/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $83,740,276, 1.38% - 2.75%, 4/30/23 - 2/15/28) | 82,100 | 82,000 | |
2.04%, dated 9/16/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $50,007,635, 2.00% - 2.63%, 11/15/20 - 8/15/25) | 49,089 | 49,000 | |
2.05%, dated 9/20/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $56,187,160, 2.00%, 5/31/24) | 55,097 | 55,000 | |
2.06%, dated: | |||
9/25/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $115,252,251, 2.00% - 2.25%, 3/31/21 - 7/31/22) | 113,091 | 113,000 | |
9/27/19 due 10/4/19 (Collateralized by U.S. Treasury Obligations valued at $189,585,050, 1.13% - 4.25%, 11/30/20 - 11/15/40) | 185,374 | 185,300 | |
2.08%, dated: | |||
9/25/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $56,160,070, 2.00% - 2.63%, 11/15/20 - 7/31/22) | 55,038 | 55,000 | |
9/27/19 due 10/3/19 (Collateralized by U.S. Treasury Obligations valued at $112,190,216, 2.75% - 2.88%, 8/31/23 - 5/31/25) | 110,038 | 110,000 | |
2.4%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $131,618,143, 1.75% - 2.50%, 6/15/22 - 2/15/46) | 129,009 | 129,000 | |
2.55%, dated 9/30/19 due 10/1/19: | |||
(Collateralized by U.S. Treasury Obligations valued at $143,779,039, 2.25% - 2.88%, 7/31/25 - 2/15/27) | 141,010 | 141,000 | |
(Collateralized by U.S. Treasury Obligations valued at $93,813,640, 2.25% - 2.88%, 8/15/27 - 8/15/28) | 92,007 | 92,000 | |
Nomura Securities International, Inc. at 2%, dated 9/26/19 due 10/3/19 (Collateralized by U.S. Treasury Obligations valued at $772,883,090, 0.00% - 6.88%, 10/8/19 - 11/15/45) | 757,294 | 757,000 | |
RBS Securities, Inc. at 2.38%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $221,354,723, 1.13% - 1.88%, 9/30/21 - 7/31/26) | 217,014 | 217,000 | |
SMBC Nikko Securities America, Inc. at 2.38%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $484,738,978, 1.63% - 2.63%, 3/31/22 - 5/15/26) | 475,031 | 475,000 | |
TOTAL U.S. TREASURY REPURCHASE AGREEMENT | |||
(Cost $5,832,800) | 5,832,800 | ||
Other Repurchase Agreement - 5.8% | |||
Other Repurchase Agreement - 5.8% | |||
With: | |||
Citigroup Global Markets, Inc. at 2.61%, dated: | |||
8/13/19 due 11/12/19 (Collateralized by Corporate Obligations valued at $53,104,034, 2.47% - 7.10%, 1/11/23 - 3/15/39) | 49,323 | 49,000 | |
8/26/19 due 11/25/19 (Collateralized by Municipal Bond Obligations valued at $156,875,869, 0.00% - 7.47%, 7/1/20 - 10/1/57) | 147,970 | 147,000 | |
Credit Suisse Securities (U.S.A.) LLC at 2.4%, dated 9/23/19 due 1/31/20 (Collateralized by Mortgage Loan Obligations valued at $27,614,720, 0.00% - 9.79%, 8/15/21 - 7/25/59) | 24,208 | 24,000 | |
ING Financial Markets LLC at 2.36%, dated 9/3/19 due 10/1/19 (Collateralized by Equity Securities valued at $159,051,441) | 147,597 | 147,000 | |
J.P. Morgan Securities, LLC at: | |||
2.03%, dated 9/27/19 due 10/4/19 (Collateralized by U.S. Government Obligations valued at $252,406,919, 0.00% - 6.00%, 12/25/21 - 7/16/61) | 245,097 | 245,000 | |
2.08%, dated 9/27/19 due 10/7/19 (Collateralized by Equity Securities valued at $1,087,812,254), (b)(c)(f) | 1,008,804 | 1,007,000 | |
2.12%, dated 9/20/19 due 10/7/19 (Collateralized by Corporate Obligations valued at $264,576,934, 2.90% - 10.00%, 3/1/21 - 2/26/55)(b)(c)(f) | 245,404 | 245,000 | |
Mizuho Securities U.S.A., Inc. at: | |||
2.08%, dated 9/24/19 due 10/7/19 (Collateralized by Equity Securities valued at $132,780,041) | 123,099 | 123,000 | |
2.2%, dated 9/23/19 due 10/7/19 (Collateralized by Mortgage Loan Obligations valued at $25,212,320, 4.40%, 3/17/49) | 24,021 | 24,000 | |
Royal Bank of Canada at 2.11%, dated 9/24/19 due 10/7/19 (Collateralized by Corporate Obligations valued at $892,866,173, 1.75% - 3.35%, 4/9/20 - 1/16/25) | 851,345 | 850,000 | |
Societe Generale at: | |||
2.05%, dated 9/30/19 due 10/1/19 (Collateralized by Corporate Obligations valued at $212,750,374, 2.20% - 12.00%, 11/19/19 - 6/5/2115) | 197,011 | 197,000 | |
2.17%, dated 10/1/19 due 11/1/19(g) | 147,275 | 147,000 | |
2.3%, dated 10/1/19 due 11/1/19(g) | 147,291 | 147,000 | |
2.31%, dated 8/30/19 due 10/1/19 (Collateralized by Corporate Obligations valued at $154,666,932, 2.25% - 6.39%, 11/19/19 - 1/15/50) | 147,302 | 147,000 | |
2.42%, dated 8/30/19 due 10/1/19 (Collateralized by Corporate Obligations valued at $158,572,629, 2.90% - 12.00%, 11/15/19 - 2/28/57) | 147,316 | 147,000 | |
Wells Fargo Securities, LLC at: | |||
1.97%, dated 9/30/19 due 10/7/19 (Collateralized by Commercial Paper valued at $76,224,171, 12/5/19 - 12/17/19) | 74,028 | 74,000 | |
2%, dated 9/24/19 due 10/1/19 (Collateralized by Commercial Paper valued at $126,618,185, 11/8/19) | 123,048 | 123,000 | |
2.03%, dated 9/27/19 due 10/4/19 (Collateralized by Equity Securities valued at $132,869,973) | 123,049 | 123,000 | |
TOTAL OTHER REPURCHASE AGREEMENT | |||
(Cost $3,966,000) | 3,966,000 | ||
TOTAL INVESTMENT IN SECURITIES - 101.1% | |||
(Cost $68,540,776) | 68,540,776 | ||
NET OTHER ASSETS (LIABILITIES) - (1.1)% | (762,579) | ||
NET ASSETS - 100% | $67,778,197 |
Security Type Abbreviations
CP – COMMERCIAL PAPER
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.
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) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(c) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(d) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $51,485,000 or 0.1% of net assets.
(e) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $567,000,000 or 0.8% of net assets.
(f) The maturity amount is based on the rate at period end.
(g) Represents a forward settling transaction and therefore no collateral securities had been allocated as of period end. The agreement contemplated the delivery of U.S. Treasury Obligations as collateral on settlement date.
Additional information on each restricted holding is as follows:
Security | Acquisition Date | Cost |
Toyota Motor Credit Corp. 2.22%, 10/7/19 | 6/3/19 | $567,000,000 |
Investment Valuation
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 Investment Valuation section in the accompanying Notes to Financial Statements.
Other Information
# Additional information on each counterparty to the repurchase agreement is as follows:
Repurchase Agreement / Counterparty | Value (000s) |
$486,928,000 due 10/01/19 at 2.36% | |
ING Financial Markets LLC | $5,306 |
JP Morgan Securities LLC | 404,474 |
Mitsubishi UFJ Securities (USA), Inc. | 2,588 |
Sumitomo Mitsui Banking Corp. NY | 31,390 |
Sumitomo Mitsui Banking Corp. | 11,185 |
Wells Fargo Securities LLC | 31,985 |
$486,928 | |
$4,333,400,000 due 10/01/19 at 2.38% | |
BNY Mellon Capital Markets LLC | $236,525 |
Citibank NA | 119,137 |
HSBC Securities (USA), Inc. | 89,353 |
ING Financial Markets LLC | 55,469 |
JP Morgan Securities LLC | 611,326 |
Mitsubishi UFJ Securities (USA), Inc. | 59,623 |
Mizuho Securities USA, Inc. | 214,447 |
Nomura Securities International, Inc. | 177,515 |
Sumitomo Mitsui Banking Corp. NY | 723,093 |
Sumitomo Mitsui Banking Corp. | 855,660 |
Wells Fargo Securities LLC | 1,191,252 |
$4,333,400 |
See accompanying notes which are an integral part of the financial statements.
Money Market Portfolio
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts) | September 30, 2019 (Unaudited) | |
Assets | ||
Investment in securities, at value (including repurchase agreements of $16,816,128) — See accompanying schedule: Unaffiliated issuers (cost $68,540,776) | $68,540,776 | |
Cash | 1 | |
Receivable for investments sold | 1,136 | |
Receivable for fund shares sold | 199,334 | |
Interest receivable | 44,483 | |
Prepaid expenses | 118 | |
Receivable from investment adviser for expense reductions | 2,150 | |
Other receivables | 904 | |
Total assets | 68,788,902 | |
Liabilities | ||
Payable for investments purchased | $753,622 | |
Payable for fund shares redeemed | 235,883 | |
Distributions payable | 8,983 | |
Accrued management fee | 7,827 | |
Distribution and service plan fees payable | 70 | |
Other affiliated payables | 2,511 | |
Other payables and accrued expenses | 1,809 | |
Total liabilities | 1,010,705 | |
Net Assets | $67,778,197 | |
Net Assets consist of: | ||
Paid in capital | $67,778,105 | |
Total accumulated earnings (loss) | 92 | |
Net Assets | $67,778,197 | |
Net Asset Value and Maximum Offering Price | ||
Class I: | ||
Net Asset Value, offering price and redemption price per share ($25,716,931 ÷ 25,709,518 shares) | $1.00 | |
Class II: | ||
Net Asset Value, offering price and redemption price per share ($505,150 ÷ 505,054 shares) | $1.00 | |
Class III: | ||
Net Asset Value, offering price and redemption price per share ($27,357 ÷ 27,363 shares) | $1.00 | |
Select Class: | ||
Net Asset Value, offering price and redemption price per share ($42,202 ÷ 42,195 shares) | $1.00 | |
Institutional Class: | ||
Net Asset Value, offering price and redemption price per share ($41,486,557 ÷ 41,473,366 shares) | $1.00 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Amounts in thousands | Six months ended September 30, 2019 (Unaudited) | |
Investment Income | ||
Interest (including $255 from affiliated interfund lending) | $766,831 | |
Expenses | ||
Management fee | $42,976 | |
Transfer agent fees | 12,830 | |
Distribution and service plan fees | 400 | |
Accounting fees and expenses | 1,063 | |
Custodian fees and expenses | 233 | |
Independent trustees' fees and expenses | 118 | |
Registration fees | 1,432 | |
Audit | 24 | |
Legal | 25 | |
Interest | 765 | |
Miscellaneous | 100 | |
Total expenses before reductions | 59,966 | |
Expense reductions | (10,868) | |
Total expenses after reductions | 49,098 | |
Net investment income (loss) | 717,733 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 16 | |
Total net realized gain (loss) | 16 | |
Net increase in net assets resulting from operations | $717,749 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Amounts in thousands | Six months ended September 30, 2019 (Unaudited) | Year ended March 31, 2019 |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $717,733 | $909,119 |
Net realized gain (loss) | 16 | 339 |
Net increase in net assets resulting from operations | 717,749 | 909,458 |
Distributions to shareholders | (716,542) | (910,234) |
Share transactions - net increase (decrease) | 12,201,369 | 26,901,641 |
Total increase (decrease) in net assets | 12,202,576 | 26,900,865 |
Net Assets | ||
Beginning of period | 55,575,621 | 28,674,756 |
End of period | $67,778,197 | $55,575,621 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Money Market Portfolio Class I
Six months ended (Unaudited) September 30, | Years endedMarch 31, | |||||
2019 | 2019 | 2018 | 2017 | 2016 | 2015 | |
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) | .012 | .022 | .013 | .006 | .002 | .001 |
Net realized and unrealized gain (loss)A | – | – | – | – | – | – |
Total from investment operations | .012 | .022 | .013 | .006 | .002 | .001 |
Distributions from net investment income | (.012) | (.022) | (.013) | (.006) | (.002) | (.001) |
Total distributions | (.012) | (.022) | (.013) | (.006) | (.002) | (.001) |
Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total ReturnB,C | 1.17% | 2.23% | 1.29% | .63% | .18% | .06% |
Ratios to Average Net AssetsD | ||||||
Expenses before reductions | .21%E | .21% | .21% | .21% | .21% | .21% |
Expenses net of fee waivers, if any | .18%E | .18% | .18% | .18% | .18% | .18% |
Expenses net of all reductions | .18%E | .18% | .18% | .18% | .18% | .18% |
Net investment income (loss) | 2.31%E | 2.25% | 1.31% | .56% | .17% | .05% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $25,717 | $22,140 | $12,545 | $7,631 | $19,911 | $21,651 |
A Amount represents less than $.0005 per share.
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 Expense ratios reflect operating expenses of the class. 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 class 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 class.
E Annualized
See accompanying notes which are an integral part of the financial statements.
Money Market Portfolio Class II
Six months ended (Unaudited) September 30, | Years endedMarch 31, | |||||
2019 | 2019 | 2018 | 2017 | 2016 | 2015 | |
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) | .011 | .021 | .011 | .005 | .001 | –A |
Net realized and unrealized gain (loss)A | – | – | – | – | – | – |
Total from investment operations | .011 | .021 | .011 | .005 | .001 | –A |
Distributions from net investment income | (.011) | (.021) | (.011) | (.005) | (.001) | –A |
Total distributions | (.011) | (.021) | (.011) | (.005) | (.001) | –A |
Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total ReturnB,C | 1.09% | 2.08% | 1.14% | .48% | .06% | .01% |
Ratios to Average Net AssetsD | ||||||
Expenses before reductions | .36%E | .36% | .36% | .36% | .36% | .36% |
Expenses net of fee waivers, if any | .33%E | .33% | .33% | .33% | .30% | .22% |
Expenses net of all reductions | .33%E | .33% | .33% | .33% | .30% | .22% |
Net investment income (loss) | 2.16%E | 2.10% | 1.16% | .41% | .06% | .01% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $505 | $368 | $68 | $14 | $76 | $95 |
A Amount represents less than $.0005 per share.
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 Expense ratios reflect operating expenses of the class. 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 class 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 class.
E Annualized
See accompanying notes which are an integral part of the financial statements.
Money Market Portfolio Class III
Six months ended (Unaudited) September 30, | Years endedMarch 31, | |||||
2019 | 2019 | 2018 | 2017 | 2016 | 2015 | |
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) | .010 | .020 | .010 | .004 | –A | –A |
Net realized and unrealized gain (loss)A | – | – | – | – | – | – |
Total from investment operations | .010 | .020 | .010 | .004 | –A | –A |
Distributions from net investment income | (.010) | (.020) | (.010) | (.004) | –A | –A |
Total distributions | (.010) | (.020) | (.010) | (.004) | –A | –A |
Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total ReturnB,C | 1.04% | 1.98% | 1.04% | .38% | .03% | .01% |
Ratios to Average Net AssetsD | ||||||
Expenses before reductions | .46%E | .46% | .46% | .46% | .46% | .46% |
Expenses net of fee waivers, if any | .43%E | .43% | .43% | .43% | .32% | .23% |
Expenses net of all reductions | .43%E | .43% | .43% | .43% | .32% | .23% |
Net investment income (loss) | 2.06%E | 2.00% | 1.06% | .31% | .03% | .01% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $27 | $33 | $132 | $91 | $1,129 | $1,454 |
A Amount represents less than $.0005 per share.
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 Expense ratios reflect operating expenses of the class. 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 class 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 class.
E Annualized
See accompanying notes which are an integral part of the financial statements.
Money Market Portfolio Select Class
Six months ended (Unaudited) September 30, | Years endedMarch 31, | |||||
2019 | 2019 | 2018 | 2017 | 2016 | 2015 | |
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) | .011 | .022 | .012 | .006 | .001 | –A |
Net realized and unrealized gain (loss)A | – | – | – | – | – | – |
Total from investment operations | .011 | .022 | .012 | .006 | .001 | –A |
Distributions from net investment income | (.011) | (.022) | (.012) | (.006) | (.001) | –A |
Total distributions | (.011) | (.022) | (.012) | (.006) | (.001) | –A |
Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total ReturnB,C | 1.14% | 2.18% | 1.24% | .58% | .13% | .02% |
Ratios to Average Net AssetsD | ||||||
Expenses before reductions | .26%E | .26% | .26% | .26% | .26% | .26% |
Expenses net of fee waivers, if any | .23%E | .23% | .23% | .23% | .23% | .22% |
Expenses net of all reductions | .23%E | .23% | .23% | .23% | .23% | .22% |
Net investment income (loss) | 2.26%E | 2.20% | 1.26% | .51% | .12% | .01% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $42 | $33 | $16 | $12 | $224 | $407 |
A Amount represents less than $.0005 per share.
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 Expense ratios reflect operating expenses of the class. 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 class 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 class.
E Annualized
See accompanying notes which are an integral part of the financial statements.
See accompanying notes which are an integral part of the financial statements.
Money Market Portfolio Institutional Class
Six months ended (Unaudited) September 30, | Years endedMarch 31, | |||||
2019 | 2019 | 2018 | 2017 | 2016 | 2015 | |
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) | .012 | .022 | .013 | .007 | .002 | .001 |
Net realized and unrealized gain (loss) | –A | .001 | –A | –A | –A | –A |
Total from investment operations | .012 | .023 | .013 | .007 | .002 | .001 |
Distributions from net investment income | (.012) | (.023) | (.013) | (.007) | (.002) | (.001) |
Total distributions | (.012) | (.023) | (.013) | (.007) | (.002) | (.001) |
Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total ReturnB,C | 1.19% | 2.28% | 1.33% | .67% | .22% | .10% |
Ratios to Average Net AssetsD | ||||||
Expenses before reductions | .18%E | .18% | .18% | .18% | .18% | .18% |
Expenses net of fee waivers, if any | .14%E | .14% | .14% | .14% | .14% | .14% |
Expenses net of all reductions | .14%E | .14% | .14% | .14% | .14% | .14% |
Net investment income (loss) | 2.35%E | 2.29% | 1.35% | .60% | .21% | .09% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $41,487 | $33,002 | $15,913 | $10,043 | $21,863 | $36,919 |
A Amount represents less than $.0005 per share.
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 Expense ratios reflect operating expenses of the class. 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 class 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 class.
E Annualized
See accompanying notes which are an integral part of the financial statements.
Prime Money Market Portfolio
Investment Summary/Performance (Unaudited)
Effective Maturity Diversification as of September 30, 2019
Days | % of fund's investments 9/30/19 |
1 - 7 | 44.4 |
8 - 30 | 12.6 |
31 - 60 | 13.4 |
61 - 90 | 9.7 |
91 - 180 | 19.5 |
> 180 | 0.4 |
Effective maturity is determined in accordance with the requirements of Rule 2a-7 under the Investment Company Act of 1940.
Asset Allocation (% of fund's net assets)
As of September 30, 2019 | ||
Certificates of Deposit | 22.5% | |
Commercial Paper | 30.8% | |
Variable Rate Demand Notes (VRDNs) | 0.3% | |
U.S. Treasury Debt | 4.2% | |
U.S. Government Agency Debt | 2.8% | |
Non-Negotiable Time Deposit | 14.0% | |
Other Instruments | 1.0% | |
Repurchase Agreements | 24.2% | |
Net Other Assets (Liabilities) | 0.2% |
Current 7-Day Yields
9/30/19 | |
Class I | 1.95% |
Class II | 1.80% |
Class III | 1.70% |
Class IV | 1.44% |
Select Class | 1.90% |
Institutional Class | 1.99% |
Yield refers to the income paid by the Fund over a given period. Yield for money market funds is usually for seven-day periods, as it is here, though it is expressed as an annual percentage rate. Past performance is no guarantee of future results. Yield will vary and it's possible to lose money investing in the Fund. A portion of the Fund's expenses was reimbursed and/or waived. Absent such reimbursements and/or waivers the yield for the period ending September 30, 2019, the most recent period shown in the table, would have been 1.92% for Class I, 1.77% for Class II, 1.66% for Class III, 1.43% for Class IV, 1.87% for Select Class, and 1.95% for Institutional Class.
Prime Money Market Portfolio
Schedule of Investments September 30, 2019 (Unaudited)
Showing Percentage of Net Assets
Certificate of Deposit - 22.5% | ||||
Yield(a) | Principal Amount (000s) | Value (000s) | ||
Domestic Certificates Of Deposit - 0.2% | ||||
State Street Bank & Trust Co., Boston | ||||
11/21/19 | 2.05 (b)(c)% | $19,000 | $19,005 | |
London Branch, Eurodollar, Foreign Banks - 9.8% | ||||
CIC London Branch | ||||
11/12/19 | 2.36 | 34,000 | 33,920 | |
Commonwealth Bank of Australia London Branch | ||||
2/28/20 to 3/10/20 | 2.00 | 45,000 | 44,998 | |
DZ Bank AG London Branch | ||||
10/15/19 to 1/30/20 | 2.09 to 2.40 | 358,000 | 356,221 | |
KBC Bank NV London | ||||
11/29/19 to 12/30/19 | 2.10 to 2.15 | 134,000 | 133,402 | |
Mitsubishi UFJ Trust & Banking Corp. | ||||
11/14/19 to 2/7/20 | 2.18 to 2.23 | 79,000 | 78,552 | |
Mizuho Bank Ltd. London Branch | ||||
12/2/19 to 1/16/20 | 2.15 to 2.32 | 137,000 | 136,327 | |
Sumitomo Mitsui Trust Bank Ltd. London Branch | ||||
11/15/19 to 1/17/20 | 2.15 to 2.23 | 80,000 | 79,798 | |
863,218 | ||||
New York Branch, Yankee Dollar, Foreign Banks - 12.5% | ||||
Bank of Montreal | ||||
11/25/19 to 3/9/20 | 2.14 to 2.17 (b)(c) | 96,500 | 96,479 | |
Bank of Nova Scotia | ||||
10/15/19 to 3/16/20 | 2.02 to 2.38 (b) | 292,000 | 292,003 | |
Credit Agricole CIB | ||||
11/6/19 to 12/12/19 | 2.10 to 2.32 | 146,000 | 146,016 | |
Mitsubishi UFJ Trust & Banking Corp. | ||||
12/5/19 to 1/14/20 | 2.11 to 2.14 | 50,250 | 50,249 | |
Mizuho Corporate Bank Ltd. | ||||
10/15/19 | 2.12 (b)(c) | 29,000 | 28,999 | |
Sumitomo Mitsui Banking Corp. | ||||
10/3/19 to 1/21/20 | 2.10 to 2.79 (b) | 247,000 | 247,017 | |
Sumitomo Mitsui Trust Bank Ltd. | ||||
1/21/20 to 1/23/20 | 2.11 | 127,000 | 126,995 | |
Toronto-Dominion Bank | ||||
1/13/20 to 3/11/20 | 2.00 to 2.30 | 110,000 | 110,062 | |
1,097,820 | ||||
TOTAL CERTIFICATE OF DEPOSIT | ||||
(Cost $1,979,889) | 1,980,043 | |||
Financial Company Commercial Paper - 28.8% | ||||
Bank of Montreal | ||||
12/23/19 | 2.15 | 65,000 | 64,685 | |
Bank of Nova Scotia | ||||
11/20/19 to 3/20/20 | 2.16 to 2.19 (b)(c) | 167,000 | 166,965 | |
BNP Paribas Fortis | ||||
12/5/19 | 2.10 | 16,000 | 15,939 | |
BNP Paribas SA | ||||
12/6/19 | 2.11 | 33,000 | 32,873 | |
BPCE SA | ||||
10/4/19 to 12/12/19 | 2.13 to 2.50 | 407,000 | 405,806 | |
Canadian Imperial Bank of Commerce | ||||
10/18/19 to 3/19/20 | 1.99 to 2.62 | 246,700 | 244,815 | |
Citigroup Global Markets, Inc. | ||||
2/10/20 | 2.03 | 9,000 | 8,936 | |
Credit Suisse AG | ||||
11/14/19 to 1/10/20 | 2.07 to 2.35 | 197,000 | 196,188 | |
DNB Bank ASA | ||||
10/4/19 to 3/2/20 | 2.00 to 2.42 | 161,000 | 159,942 | |
J.P. Morgan Securities, LLC | ||||
10/16/19 to 12/2/19 | 2.16 to 2.34 (b)(c) | 133,000 | 133,002 | |
Mitsubishi UFJ Trust & Banking Corp. | ||||
11/4/19 to 1/21/20 | 2.11 to 2.21 | 49,000 | 48,726 | |
Natexis Banques Populaires New York Branch | ||||
12/16/19 | 2.12 | 42,000 | 41,811 | |
National Australia Bank Ltd. | ||||
11/12/19 to 4/1/20 | 2.05 to 2.15 (b) | 60,000 | 59,772 | |
National Bank of Canada | ||||
11/8/19 | 2.14 (b)(c) | 37,000 | 36,999 | |
Ontario Teachers' Finance Trust | ||||
1/6/20 to 5/1/20 | 1.99 to 2.04 (d) | 65,000 | 64,564 | |
Royal Bank of Canada | ||||
3/9/20 to 4/15/20 | 2.17 to 2.21 (b)(c) | 103,000 | 102,959 | |
Sumitomo Mitsui Trust Bank Ltd. | ||||
10/28/19 to 1/10/20 | 2.12 to 2.32 | 166,000 | 165,278 | |
Svenska Handelsbanken AB | ||||
2/12/20 to 3/16/20 | 2.00 to 2.02 | 203,000 | 201,317 | |
The Toronto-Dominion Bank | ||||
10/15/19 to 2/6/20 | 2.14 to 2.62 (b) | 328,600 | 328,565 | |
Toyota Motor Credit Corp. | ||||
12/11/19 to 12/12/19 | 2.15(b)(c) | 35,000 | 35,000 | |
UBS AG London Branch | ||||
1/24/20 | 2.38 | 26,000 | 25,834 | |
TOTAL FINANCIAL COMPANY COMMERCIAL PAPER | ||||
(Cost $2,539,943) | 2,539,976 | |||
Asset Backed Commercial Paper - 1.3% | ||||
Atlantic Asset Securitization Corp. (Liquidity Facility Credit Agricole CIB) | ||||
11/12/19 | 2.16 | 7,000 | 6,983 | |
11/19/19 | 2.15 | 2,000 | 1,994 | |
11/25/19 | 2.15 | 9,000 | 8,971 | |
11/26/19 | 2.15 | 9,000 | 8,970 | |
Gotham Funding Corp. (Liquidity Facility Bank of Tokyo-Mitsubishi UFJ Ltd.) | ||||
1/6/20 | 2.16 | 19,000 | 18,887 | |
12/12/19 | 2.18 | 11,000 | 10,953 | |
12/13/19 | 2.18 | 19,000 | 18,917 | |
Liberty Street Funding LLC (Liquidity Facility Bank of Nova Scotia) | ||||
10/2/19 | 2.44 | 20,000 | 19,998 | |
10/3/19 | 2.46 | 4,000 | 3,999 | |
10/7/19 | 2.46 | 4,000 | 3,998 | |
12/5/19 | 2.12 | 10,000 | 9,962 | |
TOTAL ASSET BACKED COMMERCIAL PAPER | ||||
(Cost $113,633) | 113,632 | |||
Non-Financial Company Commercial Paper - 0.7% | ||||
UnitedHealth Group, Inc. | ||||
10/1/19 to 10/3/19 | ||||
(Cost $63,695) | 2.13 to 2.25 | 63,700 | 63,691 | |
U.S. Treasury Debt - 4.2% | ||||
U.S. Treasury Obligations - 4.2% | ||||
U.S. Treasury Bills | ||||
11/19/19 | 1.96 | 270,000 | 269,349 | |
U.S. Treasury Notes | ||||
7/31/21 | 2.13 (b)(c) | 100,000 | 99,913 | |
TOTAL U.S. TREASURY DEBT | ||||
(Cost $369,173) | 369,262 | |||
Other Instrument - 1.0% | ||||
Master Notes - 1.0% | ||||
Toyota Motor Credit Corp. | ||||
10/7/19 | ||||
(Cost $87,000) | 2.22 (b)(c)(e) | 87,000 | 87,000 | |
Variable Rate Demand Note - 0.3% | ||||
Florida - 0.3% | ||||
Florida Timber Fin. III LLC Taxable, LOC Wells Fargo Bank NA, VRDN | ||||
10/7/19 | ||||
(Cost $25,155) | 2.10 (b) | 25,155 | 25,155 | |
U.S. Government Agency Debt - 2.8% | ||||
Federal Agencies - 2.8% | ||||
Federal Home Loan Bank | ||||
11/12/19 to 11/21/19 | ||||
(Cost $242,392) | 1.94 to 1.96 | 243,000 | 242,409 | |
Non-Negotiable Time Deposit - 14.0% | ||||
Time Deposits - 14.0% | ||||
Abn Amro Bank NV(TD) | ||||
10/1/19 | 2.00 | 360,000 | 360,000 | |
Barclays Bank PLC | ||||
10/1/19 | 2.39 | 254,000 | 254,000 | |
Credit Agricole CIB | ||||
10/1/19 to 10/7/19 | 2.00 to 2.05 | 291,000 | 290,999 | |
Landesbank Hessen-Thuringen London Branch | ||||
10/2/19 to 10/3/19 | 1.98 to 2.05 | 99,000 | 99,000 | |
Royal Bank of Canada | ||||
10/4/19 | 2.05 | 102,000 | 102,000 | |
Societe Generale | ||||
10/3/19 | 2.00 | 123,000 | 123,000 | |
TOTAL NON-NEGOTIABLE TIME DEPOSIT | ||||
(Cost $1,229,000) | 1,228,999 |
U.S. Government Agency Repurchase Agreement - 12.5% | |||
Maturity Amount (000s) | Value (000s) | ||
In a joint trading account at: | |||
2.06% dated 9/30/19 due 10/1/19 (Collateralized by U.S. Government Obligations) # | $474,007 | $473,980 | |
2.39% dated 9/30/19 due 10/1/19 (Collateralized by U.S. Government Obligations) # | 356,831 | 356,807 | |
With: | |||
Barclays Bank PLC at 2%, dated 9/27/19 due 10/2/19 (Collateralized by U.S. Government Obligations valued at $60,193,374, 3.50%, 7/20/47) | 59,016 | 59,000 | |
BNP Paribas, SA at 2.04%, dated 8/27/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $21,659,019, 0.00% - 3.50%, 11/7/19 - 5/15/48) | 21,074 | 21,000 | |
BofA Securities, Inc. at 1.95%, dated 9/30/19 due 10/7/19 (Collateralized by U.S. Government Obligations valued at $20,401,105, 4.00%, 6/20/47) | 20,033 | 20,000 | |
Citibank NA at: | |||
2.09%, dated 9/24/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $4,081,819, 0.63% - 2.88%, 1/31/20 - 9/25/34) | 4,002 | 4,000 | |
2.1%, dated 9/24/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $25,510,413, 0.00% - 7.00%, 3/12/20 - 10/1/39) | 25,010 | 25,000 | |
Deutsche Bank AG, New York at 2.39%, dated 9/30/19 due 10/1/19 (Collateralized by Mortgage Loan Obligations valued at $10,300,684, 3.75%, 11/15/46) | 10,001 | 10,000 | |
Goldman Sachs & Co. at 2.15%, dated 9/25/19 due 10/2/19 (Collateralized by U.S. Government Obligations valued at $33,672,062, 3.00% - 5.50%, 7/15/36 - 10/1/49) | 33,014 | 33,000 | |
HSBC Securities, Inc. at: | |||
2.05%, dated 9/27/19 due 10/4/19 (Collateralized by U.S. Government Obligations valued at $5,101,162, 3.50%, 6/1/32) | 5,002 | 5,000 | |
2.15%, dated 9/25/19 due 10/2/19 (Collateralized by U.S. Government Obligations valued at $27,549,869, 3.50%, 6/1/49) | 27,011 | 27,000 | |
ING Financial Markets LLC at 2.1%, dated 9/24/19 due 10/1/19 (Collateralized by U.S. Government Obligations valued at $4,081,666, 4.00%, 7/1/33) | 4,002 | 4,000 | |
J.P. Morgan Securities, LLC at 2.15%, dated 9/25/19 due 10/2/19 (Collateralized by U.S. Government Obligations valued at $8,162,925, 3.50%, 10/1/49) | 8,003 | 8,000 | |
Morgan Stanley & Co., LLC at 2.37%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Government Obligations valued at $40,802,739, 0.00% - 8.00%, 10/15/19 - 9/20/49) | 40,003 | 40,000 | |
MUFG Securities (Canada), Ltd. at 2.37%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Government Obligations valued at $2,040,408, 4.50%, 11/1/47) | 2,000 | 2,000 | |
TD Securities (U.S.A.) at 2.38%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Government Obligations valued at $16,321,079, 4.00%, 7/1/48) | 16,001 | 16,000 | |
TOTAL U.S. GOVERNMENT AGENCY REPURCHASE AGREEMENT | |||
(Cost $1,104,787) | 1,104,787 | ||
U.S. Treasury Repurchase Agreement - 4.9% | |||
With: | |||
BMO Harris Bank NA at 2.1%, dated 8/28/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $9,357,764, 2.25% - 3.63%, 8/15/27 - 8/15/48) | 9,018 | 9,000 | |
BNP Paribas, SA at 2.03%, dated: | |||
8/26/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $28,700,035, 0.00% - 8.13%, 12/5/19 - 2/15/48) | 28,095 | 28,000 | |
8/27/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $19,608,175, 2.13% - 4.75%, 7/31/24 - 11/15/48) | 19,066 | 19,000 | |
Credit AG at: | |||
2%, dated 9/19/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $16,491,080, 3.00%, 11/15/44) | 16,028 | 16,000 | |
2.02%, dated 9/16/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $12,370,497, 3.00%, 11/15/44) | 12,020 | 12,000 | |
Deutsche Bank AG, New York at 2.38%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $54,063,659, 2.13%, 3/31/24) | 53,004 | 53,000 | |
Deutsche Bank Securities, Inc. at 2.38%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $2,040,223, 7.88%, 2/15/21) | 2,000 | 2,000 | |
HSBC Securities, Inc. at 2.14%, dated 9/25/19 due 10/2/19 (Collateralized by U.S. Treasury Obligations valued at $33,672,020, 1.88%, 12/15/20) | 33,014 | 33,000 | |
MUFG Securities (Canada), Ltd. at: | |||
2.05%, dated 9/27/19 due 10/4/19 (Collateralized by U.S. Treasury Obligations valued at $15,303,540, 1.63%, 5/15/26) | 15,006 | 15,000 | |
2.07%, dated 9/24/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $8,163,307, 1.50% - 2.75%, 4/30/21 - 8/15/26) | 8,003 | 8,000 | |
2.08%, dated 9/26/19 due 10/3/19 (Collateralized by U.S. Treasury Obligations valued at $4,081,210, 2.75%, 8/31/23) | 4,002 | 4,000 | |
MUFG Securities EMEA PLC at: | |||
1.96%, dated 9/24/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $15,326,129, 2.13%, 8/15/21) | 15,029 | 15,000 | |
2%, dated 9/24/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $11,225,045, 1.38% - 2.00%, 3/31/20 - 4/30/23) | 11,013 | 11,000 | |
2.04%, dated 9/16/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $7,225,679, 2.00%, 7/31/22 - 8/15/25) | 7,013 | 7,000 | |
2.05%, dated 9/20/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $8,207,720, 2.00%, 5/31/24) | 8,014 | 8,000 | |
2.06%, dated: | |||
9/4/19 due 10/4/19 (Collateralized by U.S. Treasury Obligations valued at $13,414,771, 2.00% - 2.13%, 7/31/22 - 5/15/25) | 13,022 | 13,000 | |
9/25/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $16,323,299, 2.00% - 2.25%, 3/31/21 - 7/31/22) | 16,013 | 16,000 | |
9/27/19 due 10/4/19 (Collateralized by U.S. Treasury Obligations valued at $26,574,791, 1.50% - 2.00%, 1/31/22 - 6/30/24) | 26,010 | 26,000 | |
2.08%, dated: | |||
9/25/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $8,171,734, 2.00% - 2.13%, 8/15/21 - 7/31/22) | 8,006 | 8,000 | |
9/27/19 due 10/3/19 (Collateralized by U.S. Treasury Obligations valued at $15,341,750, 2.75%, 8/31/23) | 15,005 | 15,000 | |
2.4%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $17,418,609, 2.50%, 1/15/22 - 2/15/46) | 17,001 | 17,000 | |
2.55%, dated 9/30/19 due 10/1/19 | |||
(Collateralized by U.S. Treasury Obligations valued at $20,425,495, 2.88%, 7/31/25) | 20,001 | 20,000 | |
(Collateralized by U.S. Treasury Obligations valued at $13,276,350, 2.25%, 8/15/27) | 13,001 | 13,000 | |
Natixis SA at 2.11%, dated 8/8/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $19,441,339, 1.50% - 8.13%, 3/31/21 - 11/15/26) | 19,068 | 19,000 | |
RBC Dominion Securities at 2.14%, dated 9/25/19 due 10/2/19 (Collateralized by U.S. Treasury Obligations valued at $19,386,970, 0.00% - 2.88%, 12/5/19 - 5/31/24) | 19,008 | 19,000 | |
RBS Securities, Inc. at 2.38%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $29,582,042, 0.00%, 5/21/20) | 29,002 | 29,000 | |
TOTAL U.S. TREASURY REPURCHASE AGREEMENT | |||
(Cost $435,000) | 435,000 | ||
Other Repurchase Agreement - 6.8% | |||
Other Repurchase Agreement - 6.8% | |||
With: | |||
Citigroup Global Markets, Inc. at 2.61%, dated: | |||
8/13/19 due 11/12/19 (Collateralized by Corporate Obligations valued at $7,593,518, 3.76% - 4.15%, 7/5/33 - 5/24/34) | 7,046 | 7,000 | |
8/26/19 due 11/25/19 (Collateralized by Commercial Paper valued at $20,653,767, 10/4/19 - 12/30/19) | 20,132 | 20,000 | |
Credit Suisse Securities (U.S.A.) LLC at 2.4%, dated 9/23/19 due 1/31/20 (Collateralized by Mortgage Loan Obligations valued at $4,602,453, 0.00%, 10/29/46) | 4,035 | 4,000 | |
ING Financial Markets LLC at 2.36%, dated 9/3/19 due 10/1/19 (Collateralized by Equity Securities valued at $21,639,659) | 20,081 | 20,000 | |
J.P. Morgan Securities, LLC at: | |||
2.03%, dated 9/27/19 due 10/4/19 (Collateralized by U.S. Government Obligations valued at $35,027,899, 0.00% - 6.21%, 8/25/22 - 5/25/58) | 34,013 | 34,000 | |
2.08%, dated 9/27/19 due 10/7/19 (Collateralized by Equity Securities valued at $150,154,820)(b)(c)(f) | 139,080 | 139,000 | |
2.12%, dated 9/20/19 due 10/7/19 (Collateralized by Corporate Obligations valued at $37,643,968, 2.90% - 11.50%, 11/1/25 - 3/1/50)(b)(c)(f) | 35,035 | 35,000 | |
Mizuho Securities U.S.A., Inc. at: | |||
2.08%, dated 9/24/19 due 10/7/19 (Collateralized by Equity Securities valued at $18,367,527) | 17,014 | 17,000 | |
2.2%, dated 9/23/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $3,061,507, 2.75%, 4/30/23 - 2/15/24) | 3,003 | 3,000 | |
Royal Bank of Canada at 2.11%, dated 9/24/19 due 10/7/19 (Collateralized by Corporate Obligations valued at $178,573,235, 1.85% - 3.45%, 4/14/21 - 12/4/23) | 170,269 | 170,000 | |
Societe Generale at: | |||
2.05%, dated 9/30/19 due 10/1/19 (Collateralized by Corporate Obligations valued at $28,045,097, 3.75% - 10.75%, 2/15/21 - 6/15/47) | 26,001 | 26,000 | |
2.17%, dated 10/1/19 due 11/1/19(g) | 20,037 | 20,000 | |
2.3%, dated 10/1/19 due 11/1/19(g) | 20,040 | 20,000 | |
2.31%, dated 8/30/19 due 10/1/19 (Collateralized by Corporate Obligations valued at $21,043,121, 2.45% - 4.63%, 11/21/19 - 2/24/28) | 20,041 | 20,000 | |
2.42%, dated 8/30/19 due 10/1/19 (Collateralized by Corporate Obligations valued at $21,646,464, 4.50% - 12.00%, 10/1/20 - 3/15/33) | 20,043 | 20,000 | |
Wells Fargo Securities, LLC at: | |||
1.97%, dated 9/30/19 due 10/7/19 (Collateralized by Commercial Paper valued at $10,300,565, 12/5/19) | 10,004 | 10,000 | |
2%, dated 9/24/19 due 10/1/19 (Collateralized by Commercial Paper valued at $17,516,810, 11/4/19 - 11/7/19) | 17,007 | 17,000 | |
2.03%, dated 9/27/19 due 10/4/19 (Collateralized by Equity Securities valued at $18,364,150) | 17,007 | 17,000 | |
TOTAL OTHER REPURCHASE AGREEMENT | |||
(Cost $599,000) | 599,000 | ||
TOTAL INVESTMENT IN SECURITIES - 99.8% | |||
(Cost $8,788,667) | 8,788,954 | ||
NET OTHER ASSETS (LIABILITIES) - 0.2% | 14,540 | ||
NET ASSETS - 100% | $8,803,494 |
Security Type Abbreviations
CP – COMMERCIAL PAPER
VRDN – VARIABLE RATE DEMAND NOTE (A debt instrument that is payable upon demand, either daily, weekly or monthly)
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.
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) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(c) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(d) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $64,564,000 or 0.7% of net assets.
(e) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $87,000,000 or 1.0% of net assets.
(f) The maturity amount is based on the rate at period end.
(g) Represents a forward settling transaction and therefore no collateral securities had been allocated as of period end. The agreement contemplated the delivery of U.S. Treasury Obligations as collateral on settlement date.
Additional information on each restricted holding is as follows:
Security | Acquisition Date | Cost |
Toyota Motor Credit Corp. 2.22%, 10/7/19 | 6/3/19 | $87,000,000 |
Investment Valuation
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 Investment Valuation section in the accompanying Notes to Financial Statements.
Other Information
# Additional information on each counterparty to the repurchase agreement is as follows:
Repurchase Agreement / Counterparty | Value (000s) |
$473,980,000 due 10/01/19 at 2.06% | |
BofA Securities, Inc. | $4,852 |
Citigroup Global Markets, Inc. | 6,654 |
ING Financial Markets LLC | 704 |
JP Morgan Securities LLC | 89,205 |
Mitsubishi UFJ Securities (USA), Inc. | 344 |
Nomura Securities International, Inc. | 7,951 |
RBC Dominion Securities, Inc. | 31,958 |
Sumitomo Mitsui Banking Corp. NY | 326,582 |
Sumitomo Mitsui Banking Corp. | 1,485 |
Wells Fargo Securities LLC | 4,245 |
$473,980 | |
$356,807,000 due 10/01/19 at 2.39% | |
Citibank NA | $15,813 |
HSBC Securities (USA), Inc. | 11,860 |
JP Morgan Securities LLC | 39,624 |
Mizuho Securities USA, Inc. | 28,463 |
Nomura Securities International, Inc. | 23,561 |
Sumitomo Mitsui Banking Corp. | 79,373 |
Wells Fargo Securities LLC | 158,113 |
$356,807 |
See accompanying notes which are an integral part of the financial statements.
Prime Money Market Portfolio
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts) | September 30, 2019 (Unaudited) | |
Assets | ||
Investment in securities, at value (including repurchase agreements of $2,138,787) — See accompanying schedule: Unaffiliated issuers (cost $8,788,667) | $8,788,954 | |
Receivable for investments sold | 76,070 | |
Interest receivable | 5,573 | |
Prepaid expenses | 19 | |
Receivable from investment adviser for expense reductions | 332 | |
Other receivables | 424 | |
Total assets | 8,871,372 | |
Liabilities | ||
Payable for investments purchased | $61,773 | |
Distributions payable | 4,162 | |
Accrued management fee | 1,118 | |
Distribution and service plan fees payable | 5 | |
Other affiliated payables | 317 | |
Other payables and accrued expenses | 503 | |
Total liabilities | 67,878 | |
Net Assets | $8,803,494 | |
Net Assets consist of: | ||
Paid in capital | $8,803,174 | |
Total accumulated earnings (loss) | 320 | |
Net Assets | $8,803,494 | |
Net Asset Value and Maximum Offering Price | ||
Class I: | ||
Net Asset Value, offering price and redemption price per share ($479,233.113 ÷ 479,057.840 shares) | $1.0004 | |
Class II: | ||
Net Asset Value, offering price and redemption price per share ($19,077.311 ÷ 19,072.027 shares) | $1.0003 | |
Class III: | ||
Net Asset Value, offering price and redemption price per share ($13,194.354 ÷ 13,190.286 shares) | $1.0003 | |
Class IV: | ||
Net Asset Value, offering price and redemption price per share ($20.707 ÷ 20.684 shares) | $1.0011 | |
Select Class: | ||
Net Asset Value, offering price and redemption price per share ($12,722.638 ÷ 12,717.193 shares) | $1.0004 | |
Institutional Class: | ||
Net Asset Value, offering price and redemption price per share ($8,279,245.406 ÷ 8,276,977.329 shares) | $1.0003 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Amounts in thousands | Six months ended September 30, 2019 (Unaudited) | |
Investment Income | ||
Interest | $115,534 | |
Expenses | ||
Management fee | $6,520 | |
Transfer agent fees | 1,484 | |
Distribution and service plan fees | 29 | |
Accounting fees and expenses | 384 | |
Custodian fees and expenses | 60 | |
Independent trustees' fees and expenses | 19 | |
Registration fees | 63 | |
Audit | 24 | |
Legal | 5 | |
Miscellaneous | 26 | |
Total expenses before reductions | 8,614 | |
Expense reductions | (1,939) | |
Total expenses after reductions | 6,675 | |
Net investment income (loss) | 108,859 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 34 | |
Total net realized gain (loss) | 34 | |
Change in net unrealized appreciation (depreciation) on investment securities | (638) | |
Net increase in net assets resulting from operations | $108,255 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Amounts in thousands | Six months ended September 30, 2019 (Unaudited) | Year ended March 31, 2019 |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $108,859 | $229,631 |
Net realized gain (loss) | 34 | 200 |
Change in net unrealized appreciation (depreciation) | (638) | 1,399 |
Net increase in net assets resulting from operations | 108,255 | 231,230 |
Distributions to shareholders | (108,621) | (229,870) |
Share transactions - net increase (decrease) | (93,809) | (2,804,232) |
Total increase (decrease) in net assets | (94,175) | (2,802,872) |
Net Assets | ||
Beginning of period | 8,897,669 | 11,700,541 |
End of period | $8,803,494 | $8,897,669 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Prime Money Market Portfolio Class I
Six months ended (Unaudited) September 30, | Years endedMarch 31, | |||||
2019 | 2019 | 2018 | 2017 A | 2016 | 2015 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $1.0004 | $1.0003 | $1.0005 | $1.0000 | $1.00 | $1.00 |
Income from Investment Operations | ||||||
Net investment income (loss) | .0115 | .0215 | .0122 | .0056 | .002 | –B |
Net realized and unrealized gain (loss) | –B | .0001 | (.0002) | .0007 | –B | –B |
Total from investment operations | .0115 | .0216 | .0120 | .0063 | .002 | –B |
Distributions from net investment income | (.0115) | (.0215) | (.0122) | (.0056) | (.002) | –B |
Distributions from net realized gain | – | – | – | (.0002) | – | – |
Total distributions | (.0115) | (.0215) | (.0122) | (.0058) | (.002) | –B |
Net asset value, end of period | $1.0004 | $1.0004 | $1.0003 | $1.0005 | $1.00 | $1.00 |
Total ReturnC,D | 1.16% | 2.19% | 1.21% | .64% | .17% | .01% |
Ratios to Average Net AssetsE | ||||||
Expenses before reductions | .21%F | .21% | .21% | .21% | .21% | .21% |
Expenses net of fee waivers, if any | .18%F | .18% | .18% | .18% | .18% | .19% |
Expenses net of all reductions | .18%F | .18% | .18% | .18% | .18% | .19% |
Net investment income (loss) | 2.30%F | 2.14% | 1.24% | .45% | .18% | .01% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $479 | $623 | $714 | $866 | $9,638 | $6,236 |
A Beginning October 3, 2016 the Fund began selling and redeeming class shares based upon the market-based value of the securities held rounded to the fourth decimal place; a "floating" net asset value.
B Amount represents less than $.00005 or $.0005 per share.
C Total returns for periods of less than one year are not annualized.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Expense ratios reflect operating expenses of the class. 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 class 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 class.
F Annualized
See accompanying notes which are an integral part of the financial statements.
Prime Money Market Portfolio Class II
Six months ended (Unaudited) September 30, | Years endedMarch 31, | |||||
2019 | 2019 | 2018 | 2017 A | 2016 | 2015 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period�� | $1.0003 | $1.0002 | $1.0004 | $1.0000 | $1.00 | $1.00 |
Income from Investment Operations | ||||||
Net investment income (loss) | .0108 | .0200 | .0107 | .0041 | .001 | –B |
Net realized and unrealized gain (loss) | (.0001) | .0001 | (.0002) | .0008 | –B | –B |
Total from investment operations | .0107 | .0201 | .0105 | .0049 | .001 | –B |
Distributions from net investment income | (.0107) | (.0200) | (.0107) | (.0041) | (.001) | –B |
Distributions from net realized gain | – | – | – | (.0004) | – | – |
Total distributions | (.0107) | (.0200) | (.0107) | (.0045) | (.001) | –B |
Net asset value, end of period | $1.0003 | $1.0003 | $1.0002 | $1.0004 | $1.00 | $1.00 |
Total ReturnC,D | 1.08% | 2.03% | 1.06% | .49% | .06% | .01% |
Ratios to Average Net AssetsE | ||||||
Expenses before reductions | .36%F | .36% | .36% | .36% | .36% | .36% |
Expenses net of fee waivers, if any | .33%F | .33% | .33% | .33% | .28% | .20% |
Expenses net of all reductions | .33%F | .33% | .33% | .33% | .28% | .20% |
Net investment income (loss) | 2.15%F | 1.99% | 1.09% | .30% | .09% | .01% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $19 | $10 | $39 | $28 | $245 | $454 |
A Beginning October 3, 2016 the Fund began selling and redeeming class shares based upon the market-based value of the securities held rounded to the fourth decimal place; a "floating" net asset value.
B Amount represents less than $.0005 per share.
C Total returns for periods of less than one year are not annualized.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Expense ratios reflect operating expenses of the class. 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 class 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 class.
F Annualized
See accompanying notes which are an integral part of the financial statements.
Prime Money Market Portfolio Class III
Six months ended (Unaudited) September 30, | Years endedMarch 31, | |||||
2019 | 2019 | 2018 | 2017 A | 2016 | 2015 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $1.0004 | $1.0003 | $1.0004 | $1.0000 | $1.00 | $1.00 |
Income from Investment Operations | ||||||
Net investment income (loss) | .0103 | .0190 | .0097 | .0031 | –B | –B |
Net realized and unrealized gain (loss) | (.0002) | .0001 | (.0001) | .0006 | –B | –B |
Total from investment operations | .0101 | .0191 | .0096 | .0037 | –B | –B |
Distributions from net investment income | (.0102) | (.0190) | (.0097) | (.0031) | –B | –B |
Distributions from net realized gain | – | – | – | (.0002) | – | – |
Total distributions | (.0102) | (.0190) | (.0097) | (.0033) | –B | –B |
Net asset value, end of period | $1.0003 | $1.0004 | $1.0003 | $1.0004 | $1.00 | $1.00 |
Total ReturnC,D | 1.02% | 1.93% | .97% | .37% | .04% | .01% |
Ratios to Average Net AssetsE | ||||||
Expenses before reductions | .46%F | .46% | .46% | .45% | .46% | .46% |
Expenses net of fee waivers, if any | .43%F | .43% | .43% | .43% | .31% | .20% |
Expenses net of all reductions | .43%F | .43% | .43% | .43% | .31% | .20% |
Net investment income (loss) | 2.05%F | 1.89% | .99% | .20% | .06% | .01% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $13 | $13 | $8 | $8 | $894 | $1,011 |
A Beginning October 3, 2016 the Fund began selling and redeeming class shares based upon the market-based value of the securities held rounded to the fourth decimal place; a "floating" net asset value.
B Amount represents less than $.0005 per share.
C Total returns for periods of less than one year are not annualized.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Expense ratios reflect operating expenses of the class. 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 class 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 class.
F Annualized
See accompanying notes which are an integral part of the financial statements.
Prime Money Market Portfolio Class IV
Six months ended (Unaudited) September 30, | Years endedMarch 31, | |||||
2019 | 2019 | 2018 | 2017 A | 2016 | 2015 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $1.0012 | $1.0010 | $1.0012 | $1.0000 | $1.00 | $1.00 |
Income from Investment Operations | ||||||
Net investment income (loss) | .0091 | .0166 | .0071 | .0009 | –B | –B |
Net realized and unrealized gain (loss) | (.0002) | .0002 | (.0002) | .0012 | –B | –B |
Total from investment operations | .0089 | .0168 | .0069 | .0021 | –B | –B |
Distributions from net investment income | (.0090) | (.0166) | (.0071) | (.0009) | –B | –B |
Total distributions | (.0090) | (.0166) | (.0071) | (.0009) | –B | –B |
Net asset value, end of period | $1.0011 | $1.0012 | $1.0010 | $1.0012 | $1.00 | $1.00 |
Total ReturnC,D | .89% | 1.68% | .71% | .21% | .01% | .01% |
Ratios to Average Net AssetsE | ||||||
Expenses before reductions | .71%F | .71% | .71% | .70% | .71% | .71% |
Expenses net of fee waivers, if any | .68%F | .68% | .68% | .58% | .33% | .20% |
Expenses net of all reductions | .68%F | .68% | .68% | .58% | .33% | .20% |
Net investment income (loss) | 1.81%F | 1.64% | .74% | .05% | .03% | .01% |
Supplemental Data�� | ||||||
Net assets, end of period (in millions) | $–G | $–G | $–G | $–G | $184 | $207 |
A Beginning October 3, 2016 the Fund began selling and redeeming class shares based upon the market-based value of the securities held rounded to the fourth decimal place; a "floating" net asset value.
B Amount represents less than $.0005 per share.
C Total returns for periods of less than one year are not annualized.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Expense ratios reflect operating expenses of the class. 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 class 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 class.
F Annualized
G Amount represents less than $500,000.
See accompanying notes which are an integral part of the financial statements.
Prime Money Market Portfolio Select Class
Six months ended (Unaudited) September 30, | Years endedMarch 31, | |||||
2019 | 2019 | 2018 | 2017 A | 2016 | 2015 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $1.0005 | $1.0004 | $1.0006 | $1.0000 | $1.00 | $1.00 |
Income from Investment Operations | ||||||
Net investment income (loss) | .0113 | .0210 | .0117 | .0051 | .001 | –B |
Net realized and unrealized gain (loss) | (.0001) | .0001 | (.0002) | .0007 | –B | –B |
Total from investment operations | .0112 | .0211 | .0115 | .0058 | .001 | –B |
Distributions from net investment income | (.0113) | (.0210) | (.0117) | (.0051) | (.001) | –B |
Distributions from net realized gain | – | – | – | –B | – | – |
Total distributions | (.0113) | (.0210) | (.0117) | (.0052)C | (.001) | –B |
Net asset value, end of period | $1.0004 | $1.0005 | $1.0004 | $1.0006 | $1.00 | $1.00 |
Total ReturnD,E | 1.12% | 2.13% | 1.16% | .58% | .12% | .01% |
Ratios to Average Net AssetsF | ||||||
Expenses before reductions | .26%G | .26% | .26% | .26% | .26% | .26% |
Expenses net of fee waivers, if any | .23%G | .23% | .23% | .23% | .23% | .20% |
Expenses net of all reductions | .23%G | .23% | .23% | .23% | .23% | .20% |
Net investment income (loss) | 2.25%G | 2.09% | 1.19% | .40% | .13% | .01% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $13 | $13 | $31 | $28 | $771 | $1,068 |
A Beginning October 3, 2016 the Fund began selling and redeeming class shares based upon the market-based value of the securities held rounded to the fourth decimal place; a "floating" net asset value.
B Amount represents less than $.00005 or $.0005 per share.
C Total distributions of $.0052 per share is comprised of distributions from net investment income of $.00514 and distributions from net realized gain of $.00002 per share.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F Expense ratios reflect operating expenses of the class. 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 class 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 class.
G Annualized
See accompanying notes which are an integral part of the financial statements.
Prime Money Market Portfolio Institutional Class
Six months ended (Unaudited) September 30, | Years endedMarch 31, | |||||
2019 | 2019 | 2018 | 2017 A | 2016 | 2015 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $1.0003 | $1.0002 | $1.0004 | $1.0000 | $1.00 | $1.00 |
Income from Investment Operations | ||||||
Net investment income (loss) | .0117 | .0219 | .0126 | .0060 | .002 | .001 |
Net realized and unrealized gain (loss) | –B | .0001 | (.0002) | .0006 | –B | –B |
Total from investment operations | .0117 | .0220 | .0124 | .0066 | .002 | .001 |
Distributions from net investment income | (.0117) | (.0219) | (.0126) | (.0060) | (.002) | (.001) |
Distributions from net realized gain | – | – | – | (.0002) | – | – |
Total distributions | (.0117) | (.0219) | (.0126) | (.0062) | (.002) | (.001) |
Net asset value, end of period | $1.0003 | $1.0003 | $1.0002 | $1.0004 | $1.00 | $1.00 |
Total ReturnC,D | 1.17% | 2.24% | 1.25% | .66% | .21% | .07% |
Ratios to Average Net AssetsE | ||||||
Expenses before reductions | .18%F | .18% | .18% | .18% | .18% | .18% |
Expenses net of fee waivers, if any | .14%F | .14% | .14% | .14% | .14% | .14% |
Expenses net of all reductions | .14%F | .14% | .14% | .14% | .14% | .14% |
Net investment income (loss) | 2.34%F | 2.18% | 1.28% | .49% | .22% | .07% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $8,279 | $8,238 | $10,909 | $9,346 | $46,487 | $32,529 |
A Beginning October 3, 2016 the Fund began selling and redeeming class shares based upon the market-based value of the securities held rounded to the fourth decimal place; a "floating" net asset value.
B Amount represents less than $.00005 or $.0005 per share.
C Total returns for periods of less than one year are not annualized.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Expense ratios reflect operating expenses of the class. 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 class 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 class.
F Annualized
See accompanying notes which are an integral part of the financial statements.
Prime Reserves Portfolio
Investment Summary/Performance (Unaudited)
Effective Maturity Diversification as of September 30, 2019
Days | % of fund's investments 9/30/19 |
1 - 7 | 45.5 |
8 - 30 | 12.1 |
31 - 60 | 13.6 |
61 - 90 | 10.1 |
91 - 180 | 18.4 |
> 180 | 0.4 |
Effective maturity is determined in accordance with the requirements of Rule 2a-7 under the Investment Company Act of 1940.
Asset Allocation (% of fund's net assets)
As of September 30, 2019 | ||
Certificates of Deposit | 21.7% | |
Commercial Paper | 33.7% | |
U.S. Treasury Debt | 2.7% | |
U.S. Government Agency Debt | 2.6% | |
Non-Negotiable Time Deposit | 6.6% | |
Other Instruments | 0.9% | |
Repurchase Agreements | 35.2% | |
Net Other Assets (Liabilities)* | (3.4)% |
* Net Other Assets (Liabilities) are not included in the pie chart
Current 7-Day Yields
9/30/19 | |
Class I | 1.97% |
Class II | 1.82% |
Class III | 1.72% |
Select Class | 1.92% |
Institutional Class | 2.01% |
Yield refers to the income paid by the Fund over a given period. Yield for money market funds is usually for seven-day periods, as it is here, though it is expressed as an annual percentage rate. Past performance is no guarantee of future results. Yield will vary and it's possible to lose money investing in the Fund. A portion of the Fund's expenses was reimbursed and/or waived. Absent such reimbursements and/or waivers the yield for the period ending September 30, 2019, the most recent period shown in the table, would have been 1.91% for Class I, 1.76% for Class II, 1.66% for Class III, 1.86% for Select Class, and 1.95% for Institutional Class.
Prime Reserves Portfolio
Schedule of Investments September 30, 2019 (Unaudited)
Showing Percentage of Net Assets
Certificate of Deposit - 21.7% | ||||
Yield(a) | Principal Amount (000s) | Value (000s) | ||
Domestic Certificates Of Deposit - 0.4% | ||||
First Republic Bank (CD) | ||||
10/7/19 | 2.05 % | $16,000 | $16,000 | |
State Street Bank & Trust Co., Boston | ||||
11/21/19 | 2.05 (b)(c) | 17,000 | 17,004 | |
33,004 | ||||
London Branch, Eurodollar, Foreign Banks - 10.5% | ||||
CIC London Branch | ||||
11/12/19 to 1/27/20 | 2.16 to 2.36 | 95,000 | 94,511 | |
Commonwealth Bank of Australia London Branch | ||||
2/28/20 to 3/10/20 | 2.00 | 39,000 | 38,998 | |
DZ Bank AG London Branch | ||||
10/29/19 to 1/30/20 | 2.09 to 2.37 | 293,000 | 291,438 | |
KBC Bank NV London | ||||
11/29/19 to 12/30/19 | 2.10 to 2.15 | 120,000 | 119,464 | |
Mitsubishi UFJ Trust & Banking Corp. | ||||
11/14/19 to 2/7/20 | 2.17 to 2.23 | 81,000 | 80,582 | |
Mizuho Bank Ltd. London Branch | ||||
10/31/19 to 1/16/20 | 2.15 to 2.35 | 162,000 | 161,268 | |
Sumitomo Mitsui Trust Bank Ltd. London Branch | ||||
11/15/19 to 2/7/20 | 2.15 to 2.23 | 114,000 | 113,487 | |
899,748 | ||||
New York Branch, Yankee Dollar, Foreign Banks - 10.8% | ||||
Bank of Montreal | ||||
11/22/19 to 4/17/20 | 2.14 to 2.21 (b)(c) | 128,000 | 127,975 | |
Bank of Nova Scotia | ||||
10/15/19 to 3/16/20 | 1.99 to 2.38 (b) | 236,000 | 235,994 | |
Credit Agricole CIB | ||||
11/6/19 to 12/12/19 | 2.10 to 2.32 | 125,000 | 125,014 | |
Mitsubishi UFJ Trust & Banking Corp. | ||||
12/5/19 | 2.14 | 24,000 | 24,000 | |
Mizuho Corporate Bank Ltd. | ||||
10/15/19 to 1/31/20 | 2.12 to 2.32 (b) | 140,000 | 140,021 | |
Sumitomo Mitsui Banking Corp. | ||||
10/3/19 to 1/21/20 | 2.10 to 2.79 (b) | 177,000 | 177,014 | |
Sumitomo Mitsui Trust Bank Ltd. | ||||
11/18/19 | 2.30 | 39,000 | 39,012 | |
Toronto-Dominion Bank | ||||
3/11/20 | 2.00 | 48,500 | 48,493 | |
917,523 | ||||
TOTAL CERTIFICATE OF DEPOSIT | ||||
(Cost $1,850,124) | 1,850,275 | |||
Financial Company Commercial Paper - 30.2% | ||||
Bank of Montreal | ||||
12/23/19 | 2.15 | 59,000 | 58,714 | |
Bank of Nova Scotia | ||||
11/20/19 to 2/18/20 | 2.16 to 2.18 (b)(c) | 145,000 | 144,976 | |
BNP Paribas Fortis | ||||
12/5/19 | 2.10 | 15,000 | 14,943 | |
BNP Paribas SA | ||||
12/6/19 | 2.11 | 29,000 | 28,888 | |
BPCE SA | ||||
10/4/19 to 12/12/19 | 2.13 to 2.50 | 398,000 | 396,711 | |
Canadian Imperial Bank of Commerce | ||||
10/15/19 to 3/19/20 | 1.99 to 2.62 (b) | 290,000 | 288,366 | |
Citigroup Global Markets, Inc. | ||||
2/10/20 | 2.03 | 8,000 | 7,943 | |
Credit Suisse AG | ||||
11/6/19 to 1/27/20 | 2.07 to 2.35 | 207,000 | 206,086 | |
DNB Bank ASA | ||||
10/3/19 to 3/2/20 | 2.00 to 2.42 (b) | 247,000 | 245,704 | |
J.P. Morgan Securities, LLC | ||||
10/16/19 to 12/2/19 | 2.16 to 2.34 (b)(c) | 107,000 | 107,002 | |
Mitsubishi UFJ Trust & Banking Corp. | ||||
11/4/19 to 1/22/20 | 2.11 to 2.37 | 55,000 | 54,733 | |
Natexis Banques Populaires New York Branch | ||||
12/16/19 | 2.12 | 25,000 | 24,887 | |
National Australia Bank Ltd. | ||||
11/12/19 to 4/1/20 | 2.05 to 2.15 (b) | 52,000 | 51,783 | |
National Bank of Canada | ||||
11/8/19 | 2.14 (b)(c) | 29,000 | 28,999 | |
Ontario Teachers' Finance Trust | ||||
1/6/20 to 5/1/20 | 1.99 to 2.04 (d) | 56,400 | 56,017 | |
Royal Bank of Canada | ||||
3/9/20 to 4/15/20 | 2.17 to 2.21 (b)(c) | 132,000 | 131,947 | |
Sumitomo Mitsui Trust Bank Ltd. | ||||
10/28/19 to 1/10/20 | 2.12 to 2.32 | 177,000 | 176,369 | |
Svenska Handelsbanken AB | ||||
2/12/20 to 3/16/20 | 2.00 to 2.02 | 175,000 | 173,552 | |
The Toronto-Dominion Bank | ||||
10/15/19 to 2/6/20 | 2.14 to 2.62 (b) | 279,000 | 278,977 | |
Toyota Motor Credit Corp. | ||||
12/11/19 to 12/12/19 | 2.15(b)(c) | 28,000 | 28,000 | |
UBS AG London Branch | ||||
1/24/20 to 1/29/20 | 2.38 | 70,000 | 69,542 | |
TOTAL FINANCIAL COMPANY COMMERCIAL PAPER | ||||
(Cost $2,574,039) | 2,574,139 | |||
Asset Backed Commercial Paper - 1.6% | ||||
Atlantic Asset Securitization Corp. (Liquidity Facility Credit Agricole CIB) | ||||
1/21/20 | 2.15 | 6,000 | 5,960 | |
1/22/20 | 2.15 | 6,000 | 5,960 | |
1/23/20 | 2.15 | 6,000 | 5,959 | |
11/12/19 | 2.16 | 7,000 | 6,983 | |
11/19/19 | 2.15 | 2,000 | 1,994 | |
11/25/19 | 2.15 | 8,000 | 7,974 | |
11/26/19 | 2.15 | 8,000 | 7,974 | |
Gotham Funding Corp. (Liquidity Facility Bank of Tokyo-Mitsubishi UFJ Ltd.) | ||||
12/12/19 | 2.18 | 9,000 | 8,961 | |
Liberty Street Funding LLC (Liquidity Facility Bank of Nova Scotia) | ||||
12/16/19 | 2.11 | 23,000 | 22,897 | |
12/19/19 | 2.12 | 14,000 | 13,935 | |
12/19/19 | 2.12 | 14,000 | 13,935 | |
12/23/19 | 2.12 | 28,000 | 27,864 | |
12/5/19 | 2.12 | 9,000 | 8,965 | |
TOTAL ASSET BACKED COMMERCIAL PAPER | ||||
(Cost $139,363) | 139,361 | |||
Non-Financial Company Commercial Paper - 1.9% | ||||
American Electric Power Co., Inc. | ||||
10/1/19 to 10/10/19 | 2.26 to 2.27 | 17,000 | 16,995 | |
Bell Canada | ||||
10/11/19 | 2.25 | 4,000 | 3,997 | |
Dominion Energy, Inc. | ||||
10/9/19 to 10/16/19 | 2.25 | 13,000 | 12,990 | |
Eversource Energy | ||||
10/1/19 | 2.23 | 12,000 | 11,999 | |
Sempra Global | ||||
10/1/19 | 2.30 | 3,000 | 3,000 | |
10/29/19 | 2.25 | 3,000 | 2,995 | |
10/3/19 | 2.50 | 11,000 | 10,998 | |
Suncor Energy, Inc. | ||||
10/1/19 | 2.49 | 17,000 | 16,999 | |
11/29/19 | 2.25 | 8,750 | 8,718 | |
TransCanada PipeLines Ltd. | ||||
10/9/19 | 2.32 | 3,250 | 3,248 | |
Tyson Foods, Inc. | ||||
10/7/19 | 2.22 | 11,000 | 10,995 | |
UnitedHealth Group, Inc. | ||||
10/1/19 to 10/4/19 | 2.13 to 2.25 | 54,600 | 54,592 | |
Ventas Realty LP | ||||
10/1/19 to 10/18/19 | 2.27 to 2.28 | 7,000 | 6,995 | |
TOTAL NON-FINANCIAL COMPANY COMMERCIAL PAPER | ||||
(Cost $164,531) | 164,521 | |||
U.S. Treasury Debt - 2.7% | ||||
U.S. Treasury Obligations - 2.7% | ||||
U.S. Treasury Bills | ||||
11/19/19 | ||||
(Cost $229,390) | 1.96 | 230,000 | 229,445 | |
Other Instrument - 0.9% | ||||
Master Notes - 0.9% | ||||
Toyota Motor Credit Corp. | ||||
10/7/19 | ||||
(Cost $73,000) | 2.22 (b)(c)(e) | 73,000 | 73,000 | |
U.S. Government Agency Debt - 2.6% | ||||
Federal Agencies - 2.6% | ||||
Federal Home Loan Bank | ||||
11/12/19 to 11/21/19 | ||||
(Cost $217,454) | 1.94 to 1.96 | 218,000 | 217,469 | |
Non-Negotiable Time Deposit - 6.6% | ||||
Time Deposits - 6.6% | ||||
Barclays Bank PLC | ||||
10/1/19 | 2.39 | 241,600 | 241,600 | |
Credit Agricole CIB | ||||
10/3/19 to 10/7/19 | 2.00 to 2.05 | 145,410 | 145,410 | |
Landesbank Hessen-Thuringen London Branch | ||||
10/2/19 to 10/3/19 | 1.98 to 2.05 | 90,000 | 90,000 | |
Royal Bank of Canada | ||||
10/4/19 | 2.05 | 87,000 | 87,000 | |
TOTAL NON-NEGOTIABLE TIME DEPOSIT | ||||
(Cost $564,010) | 564,010 |
U.S. Government Agency Repurchase Agreement - 9.3% | |||
Maturity Amount (000s) | Value (000s) | ||
In a joint trading account at 2.38% dated 9/30/19 due 10/1/19 (Collateralized by U.S. Government Obligations) # | $506,380 | $506,347 | |
With: | |||
Barclays Bank PLC at 2%, dated 9/27/19 due 10/2/19 (Collateralized by U.S. Government Obligations valued at $54,072,013, 3.50%, 7/20/47 - 10/20/48) | 53,015 | 53,000 | |
BNP Paribas, SA at 2.04%, dated 8/27/19 due 10/7/19 (Collateralized by U.S. Government Obligations valued at $19,456,487, 0.00% - 4.13%, 11/7/19 - 12/20/47) | 19,067 | 19,000 | |
BofA Securities, Inc. at 1.95%, dated 9/30/19 due 10/7/19 (Collateralized by U.S. Government Obligations valued at $19,381,050, 3.00% - 4.00%, 8/1/42 - 12/1/47) | 19,031 | 19,000 | |
Deutsche Bank AG, New York at 2.39%, dated 9/30/19 due 10/1/19 (Collateralized by Mortgage Loan Obligations valued at $10,300,684, 3.75%, 11/15/46) | 10,001 | 10,000 | |
Goldman Sachs & Co. at 2.15%, dated 9/25/19 due 10/2/19 (Collateralized by U.S. Government Obligations valued at $30,610,965, 3.50% - 7.50%, 11/1/31 - 10/20/48) | 30,013 | 30,000 | |
HSBC Securities, Inc. at: | |||
2.05%, dated 9/27/19 due 10/4/19 (Collateralized by U.S. Government Obligations valued at $4,080,930, 3.00% - 4.00%, 7/1/48 - 6/1/49) | 4,002 | 4,000 | |
2.15%, dated 9/25/19 due 10/2/19 (Collateralized by U.S. Government Obligations valued at $25,509,138, 4.00%, 10/1/47 - 12/1/48) | 25,010 | 25,000 | |
J.P. Morgan Securities, LLC at 2.15%, dated 9/25/19 due 10/2/19 (Collateralized by U.S. Government Obligations valued at $8,162,924, 2.97% - 4.00%, 2/1/27 - 9/1/28) | 8,003 | 8,000 | |
Morgan Stanley & Co., LLC at 2.37%, dated 9/30/19 due 10/1/19 (Collateralized by Mortgage Loan Obligations valued at $38,762,552, 0.00% - 9.00%, 6/1/20 - 9/1/49) | 38,003 | 38,000 | |
MUFG Securities (Canada), Ltd. at 2.37%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Government Obligations valued at $2,040,510, 4.50%, 11/1/47) | 2,000 | 2,000 | |
Nomura Securities International, Inc. at 2.02%, dated: | |||
9/26/19 due 10/3/19 (Collateralized by U.S. Government Obligations valued at $22,446,326, 0.00% - 5.50%, 6/18/20 - 4/1/56) | 22,009 | 22,000 | |
9/27/19 due 10/4/19 (Collateralized by U.S. Government Obligations valued at $40,809,158, 2.91% - 4.50%, 2/1/29 - 6/15/59) | 40,016 | 40,000 | |
TD Securities (U.S.A.) at 2.38%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Government Obligations valued at $15,301,012, 4.00%, 7/1/48) | 15,001 | 15,000 | |
TOTAL U.S. GOVERNMENT AGENCY REPURCHASE AGREEMENT | |||
(Cost $791,347) | 791,347 | ||
U.S. Treasury Repurchase Agreement - 19.8% | |||
With: | |||
Barclays Bank PLC at 2.35%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $132,608,711, 2.75%, 11/30/20) | 130,008 | 130,000 | |
BMO Harris Bank NA at 2.1%, dated 8/28/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $8,201,697, 2.00% - 3.63%, 11/15/21 - 8/15/43) | 8,016 | 8,000 | |
BNP Paribas, SA at 2.03%, dated: | |||
8/26/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $26,820,004, 0.00% - 4.38%, 11/7/19 - 8/15/46) | 26,088 | 26,000 | |
8/27/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $17,374,297, 1.63% - 4.38%, 10/15/21 - 8/15/48) | 17,059 | 17,000 | |
Commerz Markets LLC at: | |||
2.05%, dated: | |||
9/26/19 due 10/3/19 (Collateralized by U.S. Treasury Obligations valued at $19,385,554, 1.75% - 2.75%, 3/31/22 - 2/28/25) | 19,008 | 19,000 | |
9/27/19 due 10/4/19 (Collateralized by U.S. Treasury Obligations valued at $19,384,491, 1.38% - 2.75%, 5/31/21 - 6/30/25) | 19,008 | 19,000 | |
2.25%, dated 9/25/19 due 10/2/19 (Collateralized by U.S. Treasury Obligations valued at $38,774,880, 1.38% - 2.75%, 5/31/21 - 5/15/29) | 38,017 | 38,000 | |
2.38%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $105,066,959, 2.88% - 3.13%, 11/30/23 - 11/15/28) | 103,007 | 103,000 | |
Credit AG at: | |||
2%, dated 9/19/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $14,429,724, 3.00%, 11/15/44) | 14,025 | 14,000 | |
2.02%, dated 9/16/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $10,308,787, 3.00%, 11/15/44) | 10,017 | 10,000 | |
Deutsche Bank AG, New York at: | |||
2.19%, dated 9/25/19 due 10/2/19 (Collateralized by U.S. Treasury Obligations valued at $19,387,093, 2.13%, 3/31/24) | 19,008 | 19,000 | |
2.38%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $52,023,452, 2.13%, 3/31/24) | 51,003 | 51,000 | |
Deutsche Bank Securities, Inc. at 2.38%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $2,040,223, 7.88%, 2/15/21) | 2,000 | 2,000 | |
Fixed Income Clearing Corp. - BNYM at 2.35%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $280,500,009, 0.13% - 1.13%, 4/15/21 - 6/30/21) | 275,018 | 275,000 | |
HSBC Securities, Inc. at 2.14%, dated 9/25/19 due 10/2/19 (Collateralized by U.S. Treasury Obligations valued at $30,610,916, 1.38% - 5.38%, 10/31/19 - 2/15/49) | 30,012 | 30,000 | |
J.P. Morgan Securities, LLC at 2.35%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $125,468,212, 1.13% - 2.88%, 6/30/21 - 5/15/28) | 123,008 | 123,000 | |
MUFG Securities (Canada), Ltd. at: | |||
2.05%, dated 9/27/19 due 10/4/19 (Collateralized by U.S. Treasury Obligations valued at $14,283,273, 1.63% - 2.63%, 12/31/23 - 5/31/26) | 14,006 | 14,000 | |
2.08%, dated 9/26/19 due 10/3/19 (Collateralized by U.S. Treasury Obligations valued at $3,060,928, 2.50% - 3.50%, 3/31/23 - 2/15/39) | 3,001 | 3,000 | |
MUFG Securities EMEA PLC at: | |||
1.96%, dated 9/24/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $14,304,387, 2.13%, 8/15/21) | 14,027 | 14,000 | |
2%, dated 9/24/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $10,201,284, 1.38% - 2.00%, 3/31/20 - 7/31/22) | 10,012 | 10,000 | |
2.04%, dated 9/16/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $6,194,223, 2.00%, 7/31/22 - 8/15/25) | 6,011 | 6,000 | |
2.05%, dated 9/20/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $7,181,768, 2.00%, 5/31/24) | 7,012 | 7,000 | |
2.06%, dated: | |||
9/4/19 due 10/4/19 (Collateralized by U.S. Treasury Obligations valued at $12,387,080, 2.00% - 2.13%, 7/31/22 - 5/15/25) | 12,021 | 12,000 | |
9/25/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $14,284,080, 2.00% - 2.25%, 3/31/21 - 7/31/22) | 14,011 | 14,000 | |
9/27/19 due 10/4/19 (Collateralized by U.S. Treasury Obligations valued at $23,529,588, 2.00%, 6/30/24) | 23,009 | 23,000 | |
2.08%, dated: | |||
9/25/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $7,150,902, 2.00% - 2.13%, 8/15/21 - 7/31/22) | 7,005 | 7,000 | |
9/27/19 due 10/3/19 (Collateralized by U.S. Treasury Obligations valued at $14,318,980, 2.75%, 8/31/23) | 14,005 | 14,000 | |
2.4%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $16,368,372, 2.50%, 1/15/22 - 2/15/46) | 16,001 | 16,000 | |
2.55%, dated 9/30/19 due 10/1/19: | |||
(Collateralized by U.S. Treasury Obligations valued at $18,382,924, 2.88%, 7/31/25) | 18,001 | 18,000 | |
(Collateralized by U.S. Treasury Obligations valued at $12,255,019, 2.25%, 8/15/27) | 12,001 | 12,000 | |
Natixis SA at 2.11%, dated 8/8/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $17,486,471, 0.00% - 8.13%, 10/17/19 - 11/15/48) | 17,061 | 17,000 | |
Nomura Securities International, Inc. at 2%, dated 9/26/19 due 10/3/19 (Collateralized by U.S. Treasury Obligations valued at $97,947,738, 2.00% - 6.63%, 7/15/21 - 2/15/44) | 96,037 | 96,000 | |
RBC Dominion Securities at 2.14%, dated 9/25/19 due 10/2/19 (Collateralized by U.S. Treasury Obligations valued at $17,346,185, 0.00% - 2.88%, 12/5/19 - 5/31/24) | 17,007 | 17,000 | |
RBS Securities, Inc. at 2.38%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $27,541,850, 0.00%, 5/21/20) | 27,002 | 27,000 | |
SMBC Nikko Securities America, Inc. at 2.38%, dated 9/30/19 due 10/1/19 (Collateralized by U.S. Treasury Obligations valued at $484,748,484, 1.38% - 2.63%, 7/15/20 - 5/15/27) | 475,031 | 475,000 | |
TOTAL U.S. TREASURY REPURCHASE AGREEMENT | |||
(Cost $1,686,000) | 1,686,000 | ||
Other Repurchase Agreement - 6.1% | |||
Other Repurchase Agreement - 6.1% | |||
With: | |||
Citigroup Global Markets, Inc. at 2.61%, dated: | |||
8/13/19 due 11/12/19 (Collateralized by Corporate Obligations valued at $6,581,724, 3.12% - 5.62%, 1/27/20 - 1/4/40) | 6,040 | 6,000 | |
8/26/19 due 11/25/19 (Collateralized by Commercial Paper valued at $19,621,079, 10/4/19 - 12/18/19) | 19,125 | 19,000 | |
Credit Suisse Securities (U.S.A.) LLC at 2.4%, dated 9/23/19 due 1/31/20 (Collateralized by Mortgage Loan Obligations valued at $3,451,840, 0.00%, 11/27/54) | 3,026 | 3,000 | |
ING Financial Markets LLC at 2.36%, dated 9/3/19 due 10/1/19 (Collateralized by Equity Securities valued at $20,557,708) | 19,077 | 19,000 | |
J.P. Morgan Securities, LLC at: | |||
2.03%, dated 9/27/19 due 10/4/19 (Collateralized by U.S. Government Obligations valued at $31,937,202, 3.50% - 6.00%, 6/25/36 - 9/20/49) | 31,012 | 31,000 | |
2.08%, dated 9/27/19 due 10/7/19 (Collateralized by Equity Securities valued at $137,191,814), (b)(c)(f) | 127,227 | 127,000 | |
2.12%, dated 9/20/19 due 10/7/19 (Collateralized by Corporate Obligations valued at $32,571,384, 2.90% - 5.50%, 10/1/26 - 9/15/79), (b)(c)(f) | 31,051 | 31,000 | |
Mizuho Securities U.S.A., Inc. at: | |||
2.08%, dated 9/24/19 due 10/7/19 (Collateralized by Equity Securities valued at $17,286,992) | 16,013 | 16,000 | |
2.2%, dated 9/23/19 due 10/7/19 (Collateralized by U.S. Treasury Obligations valued at $3,061,542, 2.75%, 2/15/24) | 3,003 | 3,000 | |
Royal Bank of Canada at 2.11%, dated 9/24/19 due 10/7/19 (Collateralized by Corporate Obligations valued at $130,253,419, 2.00% - 3.45%, 5/28/21 - 1/16/25) | 124,196 | 124,000 | |
Societe Generale at: | |||
2.05%, dated 9/30/19 due 10/1/19 (Collateralized by Corporate Obligations valued at $27,000,788, 2.45% - 12.00%, 2/21/20 - 4/3/49) | 25,001 | 25,000 | |
2.17%, dated 10/1/19 due 11/1/19(g) | 19,036 | 19,000 | |
2.3%, dated 10/1/19 due 11/1/19(g) | 19,038 | 19,000 | |
2.31%, dated 8/30/19 due 10/1/19 (Collateralized by Corporate Obligations valued at $19,990,965, 2.65% - 5.40%, 11/19/19 - 6/19/59) | 19,039 | 19,000 | |
2.42%, dated 8/30/19 due 10/1/19 (Collateralized by Corporate Obligations valued at $20,434,150, 2.45% - 12.00%, 11/19/19 - 6/10/75) | 19,041 | 19,000 | |
Wells Fargo Securities, LLC at: | |||
1.97%, dated 9/30/19 due 10/7/19 (Collateralized by Commercial Paper valued at $9,270,507, 11/8/19) | 9,003 | 9,000 | |
2%, dated 9/24/19 due 10/1/19 (Collateralized by Commercial Paper valued at $16,486,410, 11/7/19 - 11/8/19) | 16,006 | 16,000 | |
2.03%, dated 9/27/19 due 10/4/19 (Collateralized by Equity Securities valued at $17,283,935) | 16,006 | 16,000 | |
TOTAL OTHER REPURCHASE AGREEMENT | |||
(Cost $521,000) | 521,000 | ||
TOTAL INVESTMENT IN SECURITIES - 103.4% | |||
(Cost $8,810,258) | 8,810,567 | ||
NET OTHER ASSETS (LIABILITIES) - (3.4)% | (289,812) | ||
NET ASSETS - 100% | $8,520,755 |
Security Type Abbreviations
CP – COMMERCIAL PAPER
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.
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) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(c) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(d) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $56,017,000 or 0.7% of net assets.
(e) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $73,000,000 or 0.9% of net assets.
(f) The maturity amount is based on the rate at period end.
(g) Represents a forward settling transaction and therefore no collateral securities had been allocated as of period end. The agreement contemplated the delivery of U.S. Treasury Obligations as collateral on settlement date.
Additional information on each restricted holding is as follows:
Security | Acquisition Date | Cost |
Toyota Motor Credit Corp. 2.22%, 10/7/19 | 6/3/19 | $73,000,000 |
Investment Valuation
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 Investment Valuation section in the accompanying Notes to Financial Statements.
Other Information
# Additional information on each counterparty to the repurchase agreement is as follows:
Repurchase Agreement / Counterparty | Value (000s) |
$506,347,000 due 10/01/19 at 2.38% | |
BNY Mellon Capital Markets LLC | $29,821 |
Citibank NA | 15,021 |
HSBC Securities (USA), Inc. | 11,266 |
ING Financial Markets LLC | 6,993 |
JP Morgan Securities LLC | 37,639 |
Mitsubishi UFJ Securities (USA), Inc. | 6,949 |
Mizuho Securities USA, Inc. | 27,037 |
Nomura Securities International, Inc. | 22,381 |
Sumitomo Mitsui Banking Corp. NY | 91,167 |
Sumitomo Mitsui Banking Corp. | 107,881 |
Wells Fargo Securities LLC | 150,192 |
$506,347 |
See accompanying notes which are an integral part of the financial statements.
Prime Reserves Portfolio
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts) | September 30, 2019 (Unaudited) | |
Assets | ||
Investment in securities, at value (including repurchase agreements of $2,998,347) — See accompanying schedule: Unaffiliated issuers (cost $8,810,258) | $8,810,567 | |
Cash | 1 | |
Receivable for investments sold | 152 | |
Receivable for fund shares sold | 36,831 | |
Interest receivable | 4,366 | |
Prepaid expenses | 15 | |
Receivable from investment adviser for expense reductions | 308 | |
Total assets | 8,852,240 | |
Liabilities | ||
Payable for investments purchased | $104,293 | |
Payable for fund shares redeemed | 100,216 | |
Distributions payable | 2,109 | |
Accrued management fee | 988 | |
Distribution and service plan fees payable | 2 | |
Payable for reverse repurchase agreement | 123,000 | |
Other affiliated payables | 367 | |
Other payables and accrued expenses | 510 | |
Total liabilities | 331,485 | |
Net Assets | $8,520,755 | |
Net Assets consist of: | ||
Paid in capital | $8,520,408 | |
Total accumulated earnings (loss) | 347 | |
Net Assets | $8,520,755 | |
Net Asset Value and Maximum Offering Price | ||
Class I: | ||
Net Asset Value, offering price and redemption price per share ($3,948,887.4 ÷ 3,947,864.11 shares) | $1.0003 | |
Class II: | ||
Net Asset Value, offering price and redemption price per share ($15,235.9 ÷ 15,231.36 shares) | $1.0003 | |
Class III: | ||
Net Asset Value, offering price and redemption price per share ($1,122.4 ÷ 1,122.17 shares) | $1.0002 | |
Select Class: | ||
Net Asset Value, offering price and redemption price per share ($3,287.6 ÷ 3,286.69 shares) | $1.0003 | |
Institutional Class: | ||
Net Asset Value, offering price and redemption price per share ($4,552,221.7 ÷ 4,551,018.38 shares) | $1.0003 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Amounts in thousands | Six months ended September 30, 2019 (Unaudited) | |
Investment Income | ||
Interest (including $64 from affiliated interfund lending) | $98,395 | |
Expenses | ||
Management fee | $5,528 | |
Transfer agent fees | 1,720 | |
Distribution and service plan fees | 12 | |
Accounting fees and expenses | 327 | |
Custodian fees and expenses | 56 | |
Independent trustees' fees and expenses | 15 | |
Registration fees | 561 | |
Audit | 24 | |
Legal | 3 | |
Interest | 132 | |
Miscellaneous | 15 | |
Total expenses before reductions | 8,393 | |
Expense reductions | (1,989) | |
Total expenses after reductions | 6,404 | |
Net investment income (loss) | 91,991 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 1 | |
Total net realized gain (loss) | 1 | |
Change in net unrealized appreciation (depreciation) on investment securities | (248) | |
Net increase in net assets resulting from operations | $91,744 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Amounts in thousands | Six months ended September 30, 2019 (Unaudited) | Year ended March 31, 2019 |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $91,991 | $131,671 |
Net realized gain (loss) | 1 | 29 |
Change in net unrealized appreciation (depreciation) | (248) | 828 |
Net increase in net assets resulting from operations | 91,744 | 132,528 |
Distributions to shareholders | (91,838) | (131,823) |
Share transactions - net increase (decrease) | 1,060,451 | 3,171,734 |
Total increase (decrease) in net assets | 1,060,357 | 3,172,439 |
Net Assets | ||
Beginning of period | 7,460,398 | 4,287,959 |
End of period | $8,520,755 | $7,460,398 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Prime Reserves Portfolio Class I
Six months ended (Unaudited) September 30, | Years endedMarch 31, | |||
2019 | 2019 | 2018 | 2017 A,B | |
Selected Per–Share Data | ||||
Net asset value, beginning of period | $1.0003 | $1.0001 | $1.0002 | $1.0000 |
Income from Investment Operations | ||||
Net investment income (loss) | .0116 | .0217 | .0123 | .0047 |
Net realized and unrealized gain (loss) | –C | .0002 | (.0001) | .0002 |
Total from investment operations | .0116 | .0219 | .0122 | .0049 |
Distributions from net investment income | (.0116) | (.0217) | (.0123) | (.0047) |
Total distributions | (.0116) | (.0217) | (.0123) | (.0047) |
Net asset value, end of period | $1.0003 | $1.0003 | $1.0001 | $1.0002 |
Total ReturnD,E | 1.16% | 2.21% | 1.23% | .49% |
Ratios to Average Net AssetsF | ||||
Expenses before reductions | .23%G | .22% | .22% | .25%G |
Expenses net of fee waivers, if any | .18%G | .18% | .18% | .18%G |
Expenses net of all reductions | .18%G | .18% | .18% | .18%G |
Net investment income (loss) | 2.31%G | 2.20% | 1.29% | .68%G |
Supplemental Data | ||||
Net assets, end of period (in millions) | $3,949 | $3,297 | $1,852 | $540 |
A For the period June 2, 2016 (commencement of operations) to March 31, 2017.
B Beginning October 3, 2016 the Fund began selling and redeeming class shares based upon the market-based value of the securities held rounded to the fourth decimal place; a "floating" net asset value.
C Amount represents less than $.00005 per share.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F Expense ratios reflect operating expenses of the class. 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 class during periods when reimbursements, waivers or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. 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 class.
G Annualized
See accompanying notes which are an integral part of the financial statements.
Prime Reserves Portfolio Class II
Six months ended (Unaudited) September 30, | Years endedMarch 31, | |||
2019 | 2019 | 2018 | 2017 A,B | |
Selected Per–Share Data | ||||
Net asset value, beginning of period | $1.0003 | $1.0001 | $1.0002 | $1.0000 |
Income from Investment Operations | ||||
Net investment income (loss) | .0108 | .0202 | .0108 | .0034 |
Net realized and unrealized gain (loss) | –C | .0002 | (.0001) | .0002 |
Total from investment operations | .0108 | .0204 | .0107 | .0036 |
Distributions from net investment income | (.0108) | (.0202) | (.0108) | (.0034) |
Total distributions | (.0108) | (.0202) | (.0108) | (.0034) |
Net asset value, end of period | $1.0003 | $1.0003 | $1.0001 | $1.0002 |
Total ReturnD,E | 1.08% | 2.06% | 1.08% | .36% |
Ratios to Average Net AssetsF | ||||
Expenses before reductions | .38%G | .38% | .37% | .56%G |
Expenses net of fee waivers, if any | .33%G | .33% | .33% | .33%G |
Expenses net of all reductions | .33%G | .33% | .33% | .33%G |
Net investment income (loss) | 2.16%G | 2.05% | 1.14% | .53%G |
Supplemental Data | ||||
Net assets, end of period (in millions) | $15 | $16 | $1 | $1 |
A For the period June 2, 2016 (commencement of operations) to March 31, 2017.
B Beginning October 3, 2016 the Fund began selling and redeeming class shares based upon the market-based value of the securities held rounded to the fourth decimal place; a "floating" net asset value.
C Amount represents less than $.00005 per share.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F Expense ratios reflect operating expenses of the class. 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 class during periods when reimbursements, waivers or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. 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 class.
G Annualized
See accompanying notes which are an integral part of the financial statements.
Prime Reserves Portfolio Class III
Six months ended (Unaudited) September 30, | Years endedMarch 31, | |||
2019 | 2019 | 2018 | 2017 A,B | |
Selected Per–Share Data | ||||
Net asset value, beginning of period | $1.0003 | $1.0000 | $1.0002 | $1.0000 |
Income from Investment Operations | ||||
Net investment income (loss) | .0103 | .0192 | .0098 | .0026 |
Net realized and unrealized gain (loss) | (.0001) | .0003 | (.0002) | .0002 |
Total from investment operations | .0102 | .0195 | .0096 | .0028 |
Distributions from net investment income | (.0103) | (.0192) | (.0098) | (.0026) |
Total distributions | (.0103) | (.0192) | (.0098) | (.0026) |
Net asset value, end of period | $1.0002 | $1.0003 | $1.0000 | $1.0002 |
Total ReturnC,D | 1.02% | 1.97% | .97% | .28% |
Ratios to Average Net AssetsE | ||||
Expenses before reductions | .48%F | .47% | .47% | .66%F |
Expenses net of fee waivers, if any | .43%F | .43% | .43% | .43%F |
Expenses net of all reductions | .43%F | .43% | .43% | .43%F |
Net investment income (loss) | 2.06%F | 1.95% | 1.03% | .43%F |
Supplemental Data | ||||
Net assets, end of period (in millions) | $1 | $4 | $1 | $1 |
A For the period June 2, 2016 (commencement of operations) to March 31, 2017.
B Beginning October 3, 2016 the Fund began selling and redeeming class shares based upon the market-based value of the securities held rounded to the fourth decimal place; a "floating" net asset value.
C Total returns for periods of less than one year are not annualized.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Expense ratios reflect operating expenses of the class. 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 class during periods when reimbursements, waivers or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. 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 class.
F Annualized
See accompanying notes which are an integral part of the financial statements.
Prime Reserves Portfolio Select Class
Six months ended (Unaudited) September 30, | Years endedMarch 31, | |||
2019 | 2019 | 2018 | 2017 A,B | |
Selected Per–Share Data | ||||
Net asset value, beginning of period | $1.0003 | $1.0001 | $1.0002 | $1.0000 |
Income from Investment Operations | ||||
Net investment income (loss) | .0113 | .0212 | .0118 | .0043 |
Net realized and unrealized gain (loss) | –C | .0002 | (.0001) | .0002 |
Total from investment operations | .0113 | .0214 | .0117 | .0045 |
Distributions from net investment income | (.0113) | (.0212) | (.0118) | (.0043) |
Total distributions | (.0113) | (.0212) | (.0118) | (.0043) |
Net asset value, end of period | $1.0003 | $1.0003 | $1.0001 | $1.0002 |
Total ReturnD,E | 1.14% | 2.16% | 1.18% | .45% |
Ratios to Average Net AssetsF | ||||
Expenses before reductions | .28%G | .27% | .27% | .45%G |
Expenses net of fee waivers, if any | .23%G | .23% | .23% | .23%G |
Expenses net of all reductions | .23%G | .23% | .23% | .23%G |
Net investment income (loss) | 2.26%G | 2.15% | 1.24% | .63%G |
Supplemental Data | ||||
Net assets, end of period (in millions) | $3 | $3 | $5 | $1 |
A For the period June 2, 2016 (commencement of operations) to March 31, 2017.
B Beginning October 3, 2016 the Fund began selling and redeeming class shares based upon the market-based value of the securities held rounded to the fourth decimal place; a "floating" net asset value.
C Amount represents less than $.00005 per share.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F Expense ratios reflect operating expenses of the class. 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 class during periods when reimbursements, waivers or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. 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 class.
G Annualized
See accompanying notes which are an integral part of the financial statements.
Prime Reserves Portfolio Institutional Class
Six months ended (Unaudited) September 30, | Years endedMarch 31, | |||
2019 | 2019 | 2018 | 2017 A,B | |
Selected Per–Share Data | ||||
Net asset value, beginning of period | $1.0003 | $1.0001 | $1.0002 | $1.0000 |
Income from Investment Operations | ||||
Net investment income (loss) | .0118 | .0221 | .0127 | .0050 |
Net realized and unrealized gain (loss) | –C | .0002 | (.0001) | .0002 |
Total from investment operations | .0118 | .0223 | .0126 | .0052 |
Distributions from net investment income | (.0118) | (.0221) | (.0127) | (.0050) |
Total distributions | (.0118) | (.0221) | (.0127) | (.0050) |
Net asset value, end of period | $1.0003 | $1.0003 | $1.0001 | $1.0002 |
Total ReturnD,E | 1.18% | 2.25% | 1.27% | .52% |
Ratios to Average Net AssetsF | ||||
Expenses before reductions | .20%G | .19% | .19% | .24%G |
Expenses net of fee waivers, if any | .14%G | .14% | .14% | .14%G |
Expenses net of all reductions | .14%G | .14% | .14% | .14%G |
Net investment income (loss) | 2.35%G | 2.24% | 1.33% | .72%G |
Supplemental Data | ||||
Net assets, end of period (in millions) | $4,552 | $4,140 | $2,429 | $965 |
A For the period June 2, 2016 (commencement of operations) to March 31, 2017.
B Beginning October 3, 2016 the Fund began selling and redeeming class shares based upon the market-based value of the securities held rounded to the fourth decimal place; a "floating" net asset value.
C Amount represents less than $.00005 per share.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F Expense ratios reflect operating expenses of the class. 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 class during periods when reimbursements, waivers or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. 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 class.
G Annualized
See accompanying notes which are an integral part of the financial statements.
Tax-Exempt Portfolio
Investment Summary/Performance (Unaudited)
Effective Maturity Diversification as of September 30, 2019
Days | % of fund's investments 9/30/19 |
1 - 7 | 86.5 |
8 - 30 | 2.2 |
31 - 60 | 3.4 |
61 - 90 | 1.6 |
91 - 180 | 0.8 |
> 180 | 5.5 |
Effective maturity is determined in accordance with the requirements of Rule 2a-7 under the Investment Company Act of 1940.
Asset Allocation (% of fund's net assets)
As of September 30, 2019 | ||
Variable Rate Demand Notes (VRDNs) | 32.3% | |
Tender Option Bond | 48.9% | |
Other Municipal Security | 12.4% | |
Investment Companies | 5.6% | |
Net Other Assets (Liabilities) | 0.8% |
Current 7-Day Yields
9/30/19 | |
Class I | 1.41% |
Class II | 1.26% |
Class III | 1.16% |
Select Class | 1.36% |
Yield refers to the income paid by the Fund over a given period. Yield for money market funds is usually for seven-day periods, as it is here, though it is expressed as an annual percentage rate. Past performance is no guarantee of future results. Yield will vary and it's possible to lose money investing in the Fund. A portion of the Fund's expenses was reimbursed and/or waived. Absent such reimbursements and/or waivers the yield for the period ending September 30, 2019, the most recent period shown in the table, would have been 1.37% for Class I, 1.22% for Class II, 1.12% for Class III, and 1.32% for Select Class.
Tax-Exempt Portfolio
Schedule of Investments September 30, 2019 (Unaudited)
Showing Percentage of Net Assets
Variable Rate Demand Note - 32.3% | |||
Principal Amount (000s) | Value (000s) | ||
Alabama - 2.7% | |||
Columbia Indl. Dev. Board Poll. Cont. Rev. (Alabama Pwr. Co. Proj.): | |||
Series 2014 A, 1.83% 10/1/19, VRDN (a) | $44,585 | $44,585 | |
Series 2014 B, 1.83% 10/1/19, VRDN (a) | 39,110 | 39,110 | |
Eutaw Indl. Dev. Board Poll. Cont. Rev. (Alabama Pwr. Co. Proj.) 1.83% 10/1/19, VRDN (a) | 3,400 | 3,400 | |
Mobile Downtown Redev. Auth. Gulf Opportunity Zone: | |||
Series 2011 A, 1.63% 10/7/19, LOC Bank of America NA, VRDN (a)(b) | 11,400 | 11,400 | |
Series 2011 B, 1.63% 10/7/19, LOC Societe Generale, VRDN (a)(b) | 5,485 | 5,485 | |
Mobile Indl. Dev. Board Dock & Wharf Rev. (Holnam, Inc. Proj.) Series 1999 A, 1.56% 10/7/19, LOC Bayerische Landesbank, VRDN (a) | 33,391 | 33,391 | |
Mobile Indl. Dev. Board Poll. Cont. Rev. (Alabama Pwr. Co. Barry Plant Proj.): | |||
Series 2007 C, 1.68% 10/7/19, VRDN (a) | 12,350 | 12,350 | |
Series 2009, 1.83% 10/1/19, VRDN (a) | 16,770 | 16,770 | |
Mobile Indl. Dev. Board Solid Waste Disp. Rev. (Alabama Pwr. Co. Barry Plant Proj.) Second Series 2009, 1.8% 10/1/19, VRDN (a) | 7,800 | 7,800 | |
West Jefferson Indl. Dev. Series 2008, 1.68% 10/7/19, VRDN (a) | 9,000 | 9,000 | |
183,291 | |||
Alaska - 2.6% | |||
Valdez Marine Term. Rev.: | |||
(ConocoPhillips Proj.) Series 1994 A, 1.66% 10/7/19 (ConocoPhillips Co. Guaranteed), VRDN (a) | 45,500 | 45,500 | |
(ExxonMobil Proj.) Series 2001, 1.87% 10/1/19 (Exxon Mobil Corp. Guaranteed), VRDN (a) | 9,495 | 9,495 | |
(Phillips Trans. Alaska, Inc. Proj.): | |||
Series 1994 B, 1.66% 10/7/19 (ConocoPhillips Co. Guaranteed), VRDN (a) | 49,800 | 49,800 | |
Series 1994 C, 1.55% 10/7/19 (ConocoPhillips Co. Guaranteed), VRDN (a) | 61,400 | 61,400 | |
Series 2002, 1.66% 10/7/19 (ConocoPhillips Co. Guaranteed), VRDN (a) | 8,200 | 8,200 | |
174,395 | |||
Arizona - 1.3% | |||
Arizona Health Facilities Auth. Rev.: | |||
(Banner Health Sys. Proj.) Series 2008 E, 1.63% 10/7/19, LOC Bank of America NA, VRDN (a) | 3,050 | 3,050 | |
(Catholic Healthcare West Proj.): | |||
Series 2008 A, 1.65% 10/7/19, LOC JPMorgan Chase Bank, VRDN (a) | 5,715 | 5,715 | |
Series 2009 F, 1.7% 10/7/19, LOC Mizuho Corporate Bank Ltd., VRDN (a) | 21,000 | 21,000 | |
Maricopa County Poll. Cont. Rev. (Arizona Pub. Svc. Co. Palo Verde Proj.) Series 2009 A, 1.65% 10/7/19, VRDN (a) | 2,500 | 2,500 | |
Maricopa County Rev. Series 2019 E, 1.52% 10/7/19, VRDN (a) | 53,900 | 53,900 | |
Tempe Indl. Dev. Auth. Rev. (ASUF Brickyard Proj.) Series 2004 A, 1.62% 10/7/19, LOC Bank of America NA, VRDN (a) | 3,925 | 3,925 | |
90,090 | |||
Colorado - 0.8% | |||
Colorado Health Facilities Auth. Rev.: | |||
(Boulder Cmnty. Hosp. Proj.) Series 2000, 1.62% 10/7/19, LOC JPMorgan Chase Bank, VRDN (a) | 7,980 | 7,980 | |
1.65% 10/3/19, VRDN (a) | 17,010 | 17,010 | |
Colorado Univ. Co. Hosp. Auth. Rev.: | |||
Series 2017 B1, 1.54% 10/7/19, VRDN (a) | 26,670 | 26,670 | |
Series 2017 B2, 1.54% 10/7/19, VRDN (a) | 2,870 | 2,870 | |
54,530 | |||
Connecticut - 1.9% | |||
Connecticut Gen. Oblig. Series 2016 C, 1.69% 10/7/19 (Liquidity Facility Bank of America NA), VRDN (a) | 56,660 | 56,660 | |
Connecticut Health & Edl. Facilities Auth. Rev.: | |||
Series 2014 C, 1.55% 10/7/19, VRDN (a) | 23,170 | 23,170 | |
Series 2014 D, 1.58% 10/7/19, VRDN (a) | 48,500 | 48,500 | |
128,330 | |||
Delaware - 0.2% | |||
Delaware Econ. Dev. Auth. Rev. (Delmarva Pwr. & Lt. Co. Proj.): | |||
Series 1993 C, 1.82% 10/7/19, VRDN (a) | 9,400 | 9,400 | |
Series 1999 A, 1.7% 10/7/19, VRDN (a) | 1,900 | 1,900 | |
11,300 | |||
District Of Columbia - 0.6% | |||
District of Columbia Rev. (The AARP Foundation Proj.) Series 2004, 1.63% 10/7/19, LOC Bank of America NA, VRDN (a) | 2,635 | 2,635 | |
FHLMC District of Columbia Hsg. Fin. Agcy. Multi-family Hsg. Rev.: | |||
(Park 7 at Minnesota Benning Proj.) Series 2012, 1.64% 10/7/19, LOC Freddie Mac, VRDN (a) | 35,760 | 35,760 | |
(Pentacle Apts. Proj.) Series 2008, 1.63% 10/7/19, LOC Freddie Mac, VRDN (a) | 2,855 | 2,855 | |
41,250 | |||
Florida - 0.1% | |||
Martin County Poll. Cont. Rev. (Florida Pwr. & Lt. Co. Proj.) Series 2000, 1.78% 10/1/19, VRDN (a) | 2,000 | 2,000 | |
Mississippi Bus. Fin. Corp. Poll. Cont. Rev. (Gulf Pwr. Co. Proj.) Series 2014, 1.8% 10/1/19, VRDN (a) | 2,060 | 2,060 | |
Orange County Health Facilities Auth. Rev. (Orlando Reg'l. Health Care Sys. Proj.) Series 2008 E, 1.53% 10/7/19, LOC TD Banknorth, NA, VRDN (a) | 925 | 925 | |
Palm Beach County Rev. (Raymond F. Kravis Ctr. Proj.) Series 2002, 1.62% 10/7/19, LOC Northern Trust Co., VRDN (a) | 1,000 | 1,000 | |
FNMA Volusia County Hsg. Fin. Auth. Multi-family Hsg. Rev. (Fisherman's Landing Apts. Proj.) 1.62% 10/7/19, LOC Fannie Mae, VRDN (a) | 875 | 875 | |
6,860 | |||
Georgia - 2.5% | |||
Burke County Indl. Dev. Auth. Poll. Cont. Rev.: | |||
(Georgia Pwr. Co. Plant Vogtle Proj.): | |||
First Series 2009, 1.82% 10/1/19, VRDN (a) | 33,740 | 33,740 | |
Series 2018, 1.82% 10/1/19, VRDN (a) | 11,620 | 11,620 | |
(Oglethorpe Pwr. Corp. Proj.): | |||
Series 2010 A, 1.64% 10/7/19, LOC Bank of America NA, VRDN (a) | 12,075 | 12,075 | |
Series 2010 B, 1.64% 10/7/19, LOC Bank of America NA, VRDN (a) | 26,845 | 26,845 | |
Coweta County Dev. Auth. Poll. Cont. Rev. (Georgia Pwr. Co. Plant Yates Proj.) Series 2006, 1.82% 10/1/19, VRDN (a) | 2,800 | 2,800 | |
Effingham County Indl. Dev. Auth. Poll Cont. 1.84% 10/1/19, VRDN (a) | 9,600 | 9,600 | |
Heard County Dev. Auth. Poll. Cont. Rev. (Georgia Pwr. Co. Plant Wansley Proj.) First Series 1997, 1.83% 10/1/19, VRDN (a) | 28,100 | 28,100 | |
Monroe County Dev. Auth. Poll. Cont. Rev.: | |||
(Georgia Pwr. Co. Plant Scherer Proj.) Series 2008, 1.82% 10/1/19, VRDN (a) | 9,800 | 9,800 | |
(Gulf Pwr. Co. Plant Scherer Proj.) Series 2010, 1.8% 10/1/19, VRDN (a) | 6,000 | 6,000 | |
(Oglethorpe Pwr. Corp. Proj.) Series 2009 B, 1.65% 10/7/19, LOC JPMorgan Chase Bank, VRDN (a) | 21,450 | 21,450 | |
(Oglethorpe Pwr. Corp. Scherer Proj.) Series 2009 A, 1.65% 10/7/19, LOC JPMorgan Chase Bank, VRDN (a) | 2,320 | 2,320 | |
Series 2010 A, 1.62% 10/7/19, LOC Bank of Montreal, VRDN (a) | 6,710 | 6,710 | |
171,060 | |||
Illinois - 4.2% | |||
Chicago O'Hare Int'l. Arpt. Rev. Series 2005 C, 1.63% 10/7/19, LOC Bank of America NA, VRDN (a) | 69,900 | 69,900 | |
Illinois Dev. Fin. Auth. Rev. (Lyric Opera of Chicago Proj.) 1.63% 10/7/19, LOC BMO Harris Bank NA, LOC Northern Trust Co., VRDN (a) | 28,300 | 28,300 | |
Illinois Fin. Auth. Rev.: | |||
(Edward Hosp. Obligated Group Proj.): | |||
Series 2008 B2, 1.64% 10/7/19, LOC JPMorgan Chase Bank, VRDN (a) | 41,020 | 41,020 | |
Series 2008 C, 1.64% 10/7/19, LOC JPMorgan Chase Bank, VRDN (a) | 4,900 | 4,900 | |
(The Carle Foundation Proj.) Series 2009 E, 1.64% 10/7/19, LOC JPMorgan Chase Bank, VRDN (a) | 11,900 | 11,900 | |
Illinois Toll Hwy. Auth. Toll Hwy. Rev.: | |||
Series 2007 A 1B, 1.62% 10/7/19, LOC Bank of America NA, VRDN (a) | 40,375 | 40,375 | |
Series 2007 A 2D, 1.63% 10/7/19, LOC Bank of America NA, VRDN (a) | 24,310 | 24,310 | |
Series 2007 A1, 1.64% 10/7/19, LOC Landesbank Hessen-Thuringen, VRDN (a) | 58,490 | 58,490 | |
Univ. of Illinois Rev. (UIC South Campus Dev. Proj.) Series 2008, 1.65% 10/7/19, LOC JPMorgan Chase Bank, VRDN (a) | 1,735 | 1,735 | |
FHLMC Illinois Hsg. Dev. Auth. Multi-family Hsg. Rev. 1.55% 10/7/19, LOC Freddie Mac, VRDN (a) | 4,710 | 4,710 | |
285,640 | |||
Indiana - 0.8% | |||
Indiana Dev. Fin. Auth. Econ. (Archer-Daniels-Midland Co. Proj.) Series 2012, 1.65% 10/7/19 (Archer Daniels Midland Co. Guaranteed), VRDN (a) | 10,200 | 10,200 | |
Indiana Dev. Fin. Auth. Envir. Rev. (Duke Energy Indiana, Inc. Proj.) Series 2009 A3, 1.65% 10/7/19, LOC Mizuho Bank Ltd., VRDN (a) | 5,185 | 5,185 | |
Indiana Fin. Auth. Health Sys. Rev. (Sisters of Saint Francis Health Svcs., Inc. Obligated Group Proj.) Series 2008 F, 1.59% 10/7/19, LOC Bank of New York, New York, VRDN (a) | 7,375 | 7,375 | |
Indiana Fin. Auth. Hosp. Rev. (Parkview Health Sys. Oblig. Group Proj.) Series 2009 C, 1.59% 10/7/19, LOC Sumitomo Mitsui Banking Corp., VRDN (a) | 3,770 | 3,770 | |
Indiana Fin. Auth. Rev. Series 2008 E7, 1.6% 10/7/19, VRDN (a) | 13,700 | 13,700 | |
Lawrenceburg Poll. Cont. Rev. (Indiana Michigan Pwr. Co. Proj.): | |||
Series H, 1.71% 10/7/19, VRDN (a) | 10,250 | 10,250 | |
Series I, 1.71% 10/1/19, VRDN (a) | 2,400 | 2,400 | |
52,880 | |||
Iowa - 0.9% | |||
Iowa Fin. Auth. Econ. Dev. Rev. Series 2011 A, 1.61% 10/7/19, VRDN (a) | 24,100 | 24,100 | |
Iowa Fin. Auth. Midwestern (Archer-Daniels-Midland Co. Proj.) Series 2012, 1.65% 10/7/19 (Archer Daniels Midland Co. Guaranteed), VRDN (a) | 16,160 | 16,160 | |
Iowa Fin. Auth. Midwestern Disaster Area Econ. Dev. Series 2012 A, 1.62% 10/7/19, VRDN (a) | 13,800 | 13,800 | |
Iowa Fin. Auth. Rev. Series 2018 D, 1.58% 10/7/19, LOC JPMorgan Chase Bank, VRDN (a) | 5,550 | 5,550 | |
59,610 | |||
Kansas - 0.4% | |||
Burlington Envir. Impt. Rev. (Kansas City Pwr. and Lt. Co. Proj.): | |||
Series 2007 A, 1.8% 10/7/19, VRDN (a) | 6,300 | 6,300 | |
Series 2007 B, 1.8% 10/7/19, VRDN (a) | 4,900 | 4,900 | |
St. Mary's Kansas Poll. Cont. Rev. Series 1994, 1.76% 10/7/19, VRDN (a) | 16,400 | 16,400 | |
Wamego Kansas Poll. Cont. Rfdg. Rev. (Kansas Gas & Elec. Co. Proj.) Series 1994, 1.76% 10/7/19, VRDN (a) | 1,700 | 1,700 | |
29,300 | |||
Kentucky - 0.3% | |||
Louisville & Jefferson County Series 2013 C, 1.59% 10/7/19, LOC PNC Bank NA, VRDN (a) | 21,100 | 21,100 | |
Louisiana - 2.0% | |||
East Baton Rouge Parish Indl. Dev. Board Rev. (ExxonMobil Proj.) Series 2010 A, 1.87% 10/1/19 (Exxon Mobil Corp. Guaranteed), VRDN (a) | 8,000 | 8,000 | |
East Baton Rouge Parish Pub. Impt. Sales Tax Rev. Series 2008 A, 1.63% 10/7/19, LOC Citibank NA, VRDN (a) | 17,185 | 17,185 | |
Louisiana Pub. Facilities Auth. Rev. (Christus Health Proj.) Series 2009 B1, 1.6% 10/7/19, LOC Bank of New York, New York, VRDN (a) | 8,210 | 8,210 | |
Saint James Parish Gen. Oblig.: | |||
(Nucor Steel Louisiana LLC Proj.): | |||
Series 2010 A1, 1.77% 10/7/19, VRDN (a) | 13,300 | 13,300 | |
Series 2010 B1, 1.7% 10/7/19, VRDN (a) | 14,200 | 14,200 | |
(NuStar Logistics, L.P. Proj.): | |||
Series 2010 A, 1.58% 10/7/19, LOC Bank of Tokyo-Mitsubishi UFJ Ltd., VRDN (a) | 15,700 | 15,700 | |
Series 2010 B, 1.58% 10/7/19, LOC Bank of Tokyo-Mitsubishi UFJ Ltd., VRDN (a) | 24,200 | 24,200 | |
Series 2010, 1.58% 10/7/19, LOC Mizuho Bank Ltd., VRDN (a) | 36,600 | 36,600 | |
FHLMC Louisiana Hsg. Fin. Auth. Multi-family Hsg. Rev. (The Reserve at Jefferson Proj.) Series 2008, 1.6% 10/7/19, LOC Freddie Mac, VRDN (a) | 2,270 | 2,270 | |
139,665 | |||
Michigan - 0.2% | |||
Grand Traverse County Hosp. Fin. Auth. Series 2011 B, 1.64% 10/7/19, LOC JPMorgan Chase Bank, VRDN (a) | 7,575 | 7,575 | |
Kent Hosp. Fin. Auth. Hosp. Facilities Rev. (Spectrum Health Sys. Proj.) Series 2008 C, 1.6% 10/7/19, LOC Bank of New York, New York, VRDN (a) | 3,820 | 3,820 | |
Michigan Strategic Fund Ltd. Oblig. Rev. (The Kroger Co. Recovery Zone Facilities Bond Proj.) Series 2010, 1.62% 10/7/19, LOC Bank of Tokyo-Mitsubishi UFJ Ltd., VRDN (a) | 2,800 | 2,800 | |
14,195 | |||
Minnesota - 0.4% | |||
Minneapolis Health Care Sys. Rev. (Fairview Health Svcs.) Series 2018 B, 1.65% 10/7/19, LOC JPMorgan Chase Bank, VRDN (a) | 28,620 | 28,620 | |
Missouri - 0.6% | |||
Missouri Health & Edl. Facilities Auth. Rev.: | |||
(Ascension Health Cr. Group Proj.) Series 2003 C3, 1.62% 10/7/19, VRDN (a) | 34,695 | 34,695 | |
(Ascension Health Sr. Cr. Group Proj.) Series 2008 C4, 1.62% 10/7/19, VRDN (a) | 7,540 | 7,540 | |
42,235 | |||
New York - 1.0% | |||
New York City Transitional Fin. Auth. Rev.: | |||
Series 2003 1A, 1.62% 10/7/19 (Liquidity Facility Landesbank Hessen-Thuringen), VRDN (a) | 11,000 | 11,000 | |
Subseries F5, 1.64% 10/7/19, LOC Sumitomo Mitsui Banking Corp., VRDN (a) | 50,000 | 50,000 | |
New York Hsg. Fin. Agcy. Rev. Series 2015 A, 1.65% 10/7/19, LOC Landesbank Hessen-Thuringen, VRDN (a) | 10,150 | 10,150 | |
71,150 | |||
North Carolina - 1.2% | |||
Parson County Indl. Facilities and Poll. Cont. Fing. Auth. (CertainTeed Gypsum NC, Inc. Proj.) Series 2010, 1.64% 10/7/19, LOC Cr. Industriel et Commercial, VRDN (a) | 52,800 | 52,800 | |
Raleigh Combined Enterprise Sys. Rev.: | |||
Series 2008 A, 1.63% 10/7/19 (Liquidity Facility Bank of America NA), VRDN (a) | 26,600 | 26,600 | |
Series 2008 B, 1.63% 10/7/19 (Liquidity Facility Bank of America NA), VRDN (a) | 1,200 | 1,200 | |
80,600 | |||
Ohio - 2.1% | |||
Allen County Hosp. Facilities Rev. Series 2012 B, 1.61% 10/7/19, VRDN (a) | 64,840 | 64,840 | |
Cuyahoga County Health Care Facilities Rev. (The A.M. McGregor Home Proj.) Series 2014, 1.65% 10/7/19, LOC Northern Trust Co., VRDN (a) | 1,795 | 1,795 | |
Franklin County Hosp. Facilities Rev. Series 2018 D, 1.52% 10/7/19, VRDN (a) | 3,000 | 3,000 | |
Hamilton County Student Hsg. Rev. (Block 3 Proj.) Series 2004, 1.63% 10/7/19, LOC RBS Citizens NA, VRDN (a) | 28,865 | 28,865 | |
Ohio Hosp. Facilities Rev. Series 2019 D2, 1.56% 10/7/19, VRDN (a) | 19,100 | 19,100 | |
Ohio Hosp. Rev. Series 2018 B, 1.6% 10/7/19, LOC PNC Bank NA, VRDN (a) | 24,150 | 24,150 | |
141,750 | |||
Pennsylvania - 0.3% | |||
Allegheny County Indl. Dev. Auth. Rev. Series 2002, 1.63% 10/7/19, LOC RBS Citizens NA, VRDN (a) | 4,100 | 4,100 | |
Lancaster Indl. Dev. Auth. Rev. (Mennonite Home Proj.) 1.68% 10/7/19, LOC Manufacturers & Traders Trust Co., VRDN (a) | 505 | 505 | |
Washington County Hosp. Auth. Rev.: | |||
(Monongahela Valley Hosp. Proj.) Series 2018 C, 1.63% 10/7/19, LOC RBS Citizens NA, VRDN (a) | 2,645 | 2,645 | |
(Washington Hosp. Proj.) Series 2007 B, 1.6% 10/7/19, LOC PNC Bank NA, VRDN (a) | 14,255 | 14,255 | |
21,505 | |||
Rhode Island - 0.2% | |||
Rhode Island Health and Edl. Bldg. Corp. Higher Ed. Facility Rev. (Bryant Univ. Proj.) Series 2008, 1.56% 10/7/19, LOC TD Banknorth, NA, VRDN (a) | 16,575 | 16,575 | |
Tennessee - 0.3% | |||
Clarksville Pub. Bldg. Auth. Rev. (Tennessee Muni. Bond Fund Proj.): | |||
Series 1994, 1.63% 10/7/19, LOC Bank of America NA, VRDN (a) | 710 | 710 | |
Series 2003, 1.87% 10/1/19, LOC Bank of America NA, VRDN (a) | 7,255 | 7,255 | |
Series 2005, 1.87% 10/1/19, LOC Bank of America NA, VRDN (a) | 6,645 | 6,645 | |
Montgomery County Pub. Bldg. Auth. Pooled Fing. Rev. (Tennessee County Ln. Pool Prog.) Series 1999, 1.63% 10/7/19, LOC Bank of America NA, VRDN (a) | 8,630 | 8,630 | |
23,240 | |||
Texas - 3.4% | |||
Gulf Coast Waste Disp. Auth. Poll. Cont. Rev. 1.87% 10/1/19 (Exxon Mobil Corp. Guaranteed), VRDN (a) | 4,000 | 4,000 | |
Harris County Cultural Ed. Facilities Fin. Corp. Rev.: | |||
Series 2014 C, 1.62% 10/7/19, VRDN (a) | 29,550 | 29,550 | |
Series 2015 C, 1.62% 10/7/19, VRDN (a) | 16,175 | 16,175 | |
Series 2016 C, 1.62% 10/7/19, VRDN (a) | 32,850 | 32,850 | |
Port Arthur Navigation District Exempt Facilities (Var-Total Petrochemicals Proj.) Series 2009, 1.6% 10/7/19 (Total SA Guaranteed), VRDN (a) | 400 | 400 | |
Port Arthur Navigation District Indl. Dev. Corp. Exempt Facilities Rev.: | |||
(Air Products Proj.) Series 2012, 1.6% 10/7/19 (Total SA Guaranteed), VRDN (a) | 1,600 | 1,600 | |
(Total Petrochemicals & Refining U.S.A., Inc. Proj.) Series 2012 B, 1.6% 10/7/19 (Total SA Guaranteed), VRDN (a) | 900 | 900 | |
(Total Petrochemicals and Refining U.S.A., Inc. Proj.) Series 2012 A, 1.6% 10/7/19 (Total SA Guaranteed), VRDN (a) | 4,100 | 4,100 | |
Tarrant County Cultural Ed. Facilities Fin. Corp. Rev. (Christus Health Proj.) Series 2008 C3, 1.6% 10/7/19, LOC Bank of Montreal, VRDN (a) | 19,100 | 19,100 | |
Texas Gen. Oblig.: | |||
(Texas Veterans Land Board Proj.) Series 2017, 1.62% 10/7/19 (Liquidity Facility Sumitomo Mitsui Banking Corp.), VRDN (a) | 8,800 | 8,800 | |
Series 2011 A, 1.62% 10/7/19 (Liquidity Facility State Street Bank & Trust Co., Boston), VRDN (a) | 2,750 | 2,750 | |
Series 2012 B, 1.62% 10/7/19 (Liquidity Facility State Street Bank & Trust Co., Boston), VRDN (a) | 1,000 | 1,000 | |
Series 2013 A, 1.62% 10/7/19 (Liquidity Facility State Street Bank & Trust Co., Boston), VRDN (a) | 7,700 | 7,700 | |
Series 2013 B, 1.62% 10/7/19 (Liquidity Facility State Street Bank & Trust Co., Boston), VRDN (a) | 39,560 | 39,560 | |
Series 2015 A, 1.62% 10/7/19 (Liquidity Facility State Street Bank & Trust Co., Boston), VRDN (a) | 23,145 | 23,145 | |
Series 2019, 1.65% 10/7/19 (Liquidity Facility JPMorgan Chase Bank), VRDN (a) | 38,900 | 38,900 | |
230,530 | |||
Utah - 0.2% | |||
Emery County Poll. Cont. Rev. (PacifiCorp Proj.) Series 1994, 1.56% 10/7/19, VRDN (a) | 13,160 | 13,160 | |
Virginia - 0.1% | |||
Loudoun County Indl. Dev. Auth. (Howard Hughes Med. Institute Proj.) Series 2003 F, 1.57% 10/7/19, VRDN (a) | 4,630 | 4,630 | |
Newport News Indl. Dev. Auth. (CNU Warwick LLC Student Apts. Proj.) 1.62% 10/7/19, LOC Bank of America NA, VRDN (a) | 675 | 675 | |
5,305 | |||
Washington - 0.5% | |||
Snohomish County Hsg. Auth. Hsg. Rev. (Ebey Arms Centerhouse Proj.) Series 2003, 1.64% 10/7/19, LOC Bank of America NA, VRDN (a) | 6,030 | 6,030 | |
FHLMC Washington Hsg. Fin. Commission Multi-family Hsg. Rev.: | |||
(Discovery Heights Apt. Proj.) Series 2010, 1.64% 10/7/19, LOC Freddie Mac, VRDN (a) | 10,965 | 10,965 | |
(Willow Tree Grove Apts. Proj.) Series 2011, 1.64% 10/7/19, LOC Freddie Mac, VRDN (a) | 17,700 | 17,700 | |
34,695 | |||
West Virginia - 0.1% | |||
West Virginia Hosp. Fin. Auth. Hosp. Rev. Series A, 1.59% 10/7/19, LOC Branch Banking & Trust Co., VRDN (a) | 4,200 | 4,200 | |
Wyoming - 0.4% | |||
Converse County Poll. Cont. Rev. (PacifiCorp Projs.): | |||
Series 1992, 1.7% 10/7/19, VRDN (a) | 10,500 | 10,500 | |
Series 1994, 1.69% 10/7/19, VRDN (a) | 3,600 | 3,600 | |
Lincoln County Poll. Cont. Rev. (PacifiCorp Proj.) Series 1994, 1.67% 10/7/19, VRDN (a) | 2,300 | 2,300 | |
Sweetwater County Poll. Cont. Rev. (PacifiCorp Proj.): | |||
Series 1992 A, 1.7% 10/7/19, VRDN (a) | 3,700 | 3,700 | |
Series 1992 B, 1.7% 10/7/19, VRDN (a) | 4,100 | 4,100 | |
Series 1994, 1.7% 10/7/19, VRDN (a) | 3,600 | 3,600 | |
27,800 | |||
TOTAL VARIABLE RATE DEMAND NOTE | |||
(Cost $2,204,861) | 2,204,861 | ||
Tender Option Bond - 48.9% | |||
Alabama - 0.4% | |||
Alabama Spl. Care Facilities Fing. Auth. Birmingham Rev. Participating VRDN Series 16 ZM0206, 1.61% 10/7/19 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(d) | 11,515 | 11,515 | |
Alabama Spl. Care Facilities Fing. Auth. Mobile Rev. Participating VRDN Series Floaters ZF 27 70, 1.61% 10/7/19 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(d) | 6,440 | 6,440 | |
Black Belt Energy Gas District Participating VRDN Series Floaters XL 00 98, 1.67% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 1,400 | 1,400 | |
Homewood Participating VRDN Series Floaters G 37, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 2,875 | 2,875 | |
Southeast Alabama Gas Supply District Participating VRDN Series Floaters XG 02 03, 1.62% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 6,750 | 6,750 | |
28,980 | |||
Arizona - 0.9% | |||
Arizona Board of Regents Arizona State Univ. Rev. Participating VRDN Series 33 85X, 1.61% 10/7/19 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(d) | 4,800 | 4,800 | |
Arizona Tourism & Sports Auth. Tax Rev. Participating VRDN Series Floaters E85, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 35,950 | 35,950 | |
Lake Havasu City Ariz Participating VRDN Series Floaters G 103, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 4,750 | 4,750 | |
Mesa Util. Sys. Rev.: | |||
Bonds Series Solar 17 0026, 1.7%, tender 12/12/19 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d) | 1,105 | 1,105 | |
Participating VRDN Series Floaters XL 00 71, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 4,000 | 4,000 | |
Rowan Univ. Participating VRDN Series 2016 XF 2337, 1.62% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 4,220 | 4,220 | |
Salt River Proj. Agricultural Impt. & Pwr. District Elec. Sys. Rev.: | |||
Bonds Series 2016 22, 1.71%, tender 11/7/19 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d) | 5,525 | 5,525 | |
Participating VRDN Series Floaters XF 21 92, 1.61% 10/7/19 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(d) | 2,600 | 2,600 | |
Salt Verde Finl. Corp. Sr. Gas Rev. Participating VRDN Series Floaters XF 25 37, 1.62% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 1,200 | 1,200 | |
64,150 | |||
Arkansas - 0.3% | |||
Arkansas Dev. Fin. Auth. Health C Participating VRDN Series Floaters BAML 50 05, 1.63% 10/7/19 (Liquidity Facility Bank of America NA) (a)(c)(d) | 22,720 | 22,720 | |
California - 1.3% | |||
Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev. Participating VRDN Series XF 10 44, 1.68% 10/7/19 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(c)(d) | 1,600 | 1,600 | |
California Health Facilities Fing. Auth. Participating VRDN Series Floaters XG 00 49, 1.68% 10/7/19 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(c)(d) | 19,375 | 19,375 | |
Dignity Health Participating VRDN: | |||
Series 17 04, 1.7% 11/12/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d)(e) | 2,590 | 2,590 | |
Series DBE 80 11, 1.8% 10/7/19 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(c)(d) | 49,945 | 49,945 | |
San Francisco City & County Arpts. Commission Int'l. Arpt. Rev. Participating VRDN Series XF 10 32, 1.68% 10/7/19 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(c)(d) | 445 | 445 | |
Univ. of California Revs. Participating VRDN: | |||
Series Spears DB 80 19, 1.73% 10/7/19 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(c)(d) | 10,000 | 10,000 | |
Series Spears DB 80 20, 1.73% 10/7/19 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(c)(d) | 4,200 | 4,200 | |
88,155 | |||
Colorado - 2.7% | |||
Boulder Valley Co. School District Re2 Participating VRDN Series Floaters G 16, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 6,100 | 6,100 | |
Boulder, Larimer & Weld Counties St. Vrain Valley School District # RE-1J Participating VRDN Series Floaters G 57, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 1,900 | 1,900 | |
Children's Hosp. Assoc., Co. Participating VRDN Series Floaters XF 23 05, 1.62% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 745 | 745 | |
Colorado Health Facilities Auth. Participating VRDN: | |||
Series Floaters XF 06 67, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 6,045 | 6,045 | |
Series Floaters XF 06 68, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 3,750 | 3,750 | |
Series XF 08 05, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 1,900 | 1,900 | |
Series XG 02 51, 1.63% 10/7/19 (Liquidity Facility Bank of America NA) (a)(b)(c)(d) | 4,700 | 4,700 | |
Series XM 07 52, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 2,400 | 2,400 | |
Series XM 07 67, 1.62% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 1,480 | 1,480 | |
Series XX 11 05, 1.62% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(b)(c)(d) | 3,700 | 3,700 | |
Colorado Health Facilities Auth. Rev. Participating VRDN Series Floaters XF 10 25, 1.62% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 5,205 | 5,205 | |
Colorado Reg'l. Trans. District Sales Tax Rev. Participating VRDN Series Floaters 16 XF1031, 1.68% 10/7/19 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(c)(d) | 21,310 | 21,310 | |
Colorado State Bldg. Excellent Schools Today Ctfs. of Prtn. Participating VRDN Series Floaters XF 07 25, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 5,250 | 5,250 | |
Colorado State Univ. Board of Governors Enterprise Sys. Rev. Participating VRDN Series Floaters XF 25 13, 1.61% 10/7/19 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(d) | 7,500 | 7,500 | |
Colorado Univ. Co. Hosp. Auth. Rev. Participating VRDN Series EGL 17 0002, 1.61% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 34,165 | 34,165 | |
Commonspirit Health Participating VRDN: | |||
Series Floaters XF 10 01, 1.62% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 3,800 | 3,800 | |
Series Floaters XF 10 03, 1.62% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 9,200 | 9,200 | |
Denver City & County Arpt. Rev. Participating VRDN Series Floaters XF 10 36, 1.68% 10/7/19 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(c)(d) | 2,450 | 2,450 | |
Denver City & County Board Wtr. Rev. Bonds Series Solar 17 0032, 1.7%, tender 12/5/19 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d) | 870 | 870 | |
Denver City & County Wastewtr. Dept. of Pub. Works Participating VRDN Series 2016 12, 1.76% 10/1/19 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d) | 7,200 | 7,200 | |
Univ. of Colorado Enterprise Sys. Rev.: | |||
Bonds Series Solar 0065, 1.7%, tender 12/19/19 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d) | 2,180 | 2,180 | |
Participating VRDN Series Floaters XM 03 85, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 1,850 | 1,850 | |
Participating VRDN: | |||
Series Putters 15 XM0007, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 6,900 | 6,900 | |
Series RBC E 55, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 33,950 | 33,950 | |
Series XM 03 05, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 7,850 | 7,850 | |
Weld County Colo School District # 4 Participating VRDN Series RBC G 58, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 2,800 | 2,800 | |
185,200 | |||
Connecticut - 1.5% | |||
Connecticut Gen. Oblig. Participating VRDN: | |||
Series 2017, 1.64% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 3,530 | 3,530 | |
Series Floaters 014, 1.73% 11/12/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d)(e) | 5,960 | 5,960 | |
Series Floaters 016, 1.62% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 67,030 | 67,030 | |
Series Floaters G3, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 2,800 | 2,800 | |
Series Floaters XL 00 66, 1.64% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 3,175 | 3,175 | |
Series Floaters XM 07 07, 1.64% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 4,100 | 4,100 | |
Series XM 07 62, 1.64% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 3,025 | 3,025 | |
Connecticut Hsg. Fin. Auth. Participating VRDN Series Floaters ZF 06 54, 1.61% 10/7/19 (Liquidity Facility Bank of America NA) (a)(c)(d) | 3,750 | 3,750 | |
Connecticut Muni. Elec. Energy Coop. Pwr. Supply Sys. Rev. Participating VRDN Series XG 00 59, 1.68% 10/7/19 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(c)(d) | 3,000 | 3,000 | |
Connecticut Spl. Tax Oblig. Participating VRDN Series Floaters 16 YX1026, 1.64% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 2,500 | 2,500 | |
Connecticut Spl. Tax Oblig. Trans. Infrastructure Rev.: | |||
Bonds Series Floaters G 110, 1.76%, tender 4/1/20 (Liquidity Facility Royal Bank of Canada) (a)(c)(d)(e) | 3,150 | 3,150 | |
Participating VRDN Series Floaters YX 10 77, 1.64% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 1,000 | 1,000 | |
State of Connecticut Gen. Oblig. Bonds Participating VRDN Series Floaters XM 03 39, 1.64% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 1,400 | 1,400 | |
104,420 | |||
District Of Columbia - 0.9% | |||
Children's Nat'l. Med. Ctr., Participating VRDN Series 2015 XF 1047, 1.68% 10/7/19 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(c)(d) | 1,200 | 1,200 | |
District of Columbia Gen. Oblig.: | |||
Bonds: | |||
Series 2016 23, 1.71%, tender 10/31/19 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d) | 3,595 | 3,595 | |
Series Solar 0035, 1.71%, tender 11/28/19 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d) | 525 | 525 | |
Participating VRDN: | |||
Series Floaters E 108, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 8,995 | 8,995 | |
Series Floaters E 109, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 4,945 | 4,945 | |
Series Floaters G73, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 5,000 | 5,000 | |
Series Floaters YX 10 39, 1.61% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 6,655 | 6,655 | |
Series MS 4301, 1.61% 10/7/19 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(d) | 2,250 | 2,250 | |
District of Columbia Income Tax Rev. Participating VRDN: | |||
Series Floaters XM 04 12, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 5,655 | 5,655 | |
Series Floaters XM 04 37, 1.61% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 18,900 | 18,900 | |
Series XF 23 41, 1.62% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 1,385 | 1,385 | |
59,105 | |||
Florida - 3.0% | |||
Alachua County Health Facilities Auth. Health Facilities Rev. Participating VRDN Series BAML 7006, 1.63% 10/2/19 (Liquidity Facility Bank of America NA) (a)(c)(d) | 2,430 | 2,430 | |
Brevard County School Board Ctfs. of Prtn. Participating VRDN Series D 0001, 1.63% 10/7/19 (Liquidity Facility Citibank NA) (a)(b)(c)(d) | 5,000 | 5,000 | |
Cape Coral Wtr. & Swr. Rev. Participating VRDN Series Floaters YX 10 71, 1.62% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 4,900 | 4,900 | |
Central Florida Expressway Auth. Rev. Participating VRDN Series Floaters E 62, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 55,800 | 55,800 | |
Florida Board of Ed. Pub. Ed. Cap. Outlay Bonds: | |||
Series Solar 0049, 1.7%, tender 12/12/19 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d) | 800 | 800 | |
Series Solar 0054, 1.7%, tender 12/19/19 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d) | 600 | 600 | |
Florida Dept. of Trans. Tpk. Rev. Bonds Series Solar 17 02, 1.71%, tender 10/31/19 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d) | 3,900 | 3,900 | |
Florida Dev. Fin. Corp. Healthcare Facility Rev. Participating VRDN Series Floaters BAML 70 04, 1.63% 10/7/19 (Liquidity Facility Bank of America NA) (a)(c)(d) | 25,770 | 25,770 | |
Florida Gen. Oblig.: | |||
Bonds: | |||
Series Solar 042, 1.7%, tender 12/12/19 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d) | 1,975 | 1,975 | |
Series Solar 2017 37, 1.71%, tender 10/3/19 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d) | 1,080 | 1,080 | |
Participating VRDN Series Floaters XF 06 80, 1.61% 10/7/19 (Liquidity Facility Toronto-Dominion Bank) (a)(c)(d) | 2,300 | 2,300 | |
Fort Myers Util. Sys. Rev. Participating VRDN: | |||
Series XF 08 13, 1.68% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 1,170 | 1,170 | |
Series XF 08 14, 1.65% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 3,000 | 3,000 | |
Gainesville Utils. Sys. Rev. Bonds Series Solar 0061, 1.76%, tender 11/7/19 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d) | 4,745 | 4,745 | |
Lee Memorial Health Sys. Hosp. Rev. Participating VRDN Series Floaters XG 02 34, 1.63% 10/7/19 (Liquidity Facility Bank of America NA) (a)(c)(d) | 1,000 | 1,000 | |
Martin County Health Facilities Participating VRDN Series Floaters XF 07 76, 1.62% 10/7/19 (Liquidity Facility Bank of America NA) (a)(c)(d) | 1,000 | 1,000 | |
Miami Beach Resort Tax Rev. Participating VRDN Series 15 XF0260, 1.62% 10/7/19 (Liquidity Facility Toronto-Dominion Bank) (a)(c)(d) | 7,660 | 7,660 | |
Miami-Dade County Aviation Rev. Participating VRDN Series XG 00 65 1.68% 10/7/19 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(c)(d) | 1,400 | 1,400 | |
Miami-Dade County Edl. Facilities Rev. Participating VRDN Series Floaters XG 01 92, 1.62% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 2,575 | 2,575 | |
Miami-Dade County Expressway Auth. Participating VRDN: | |||
Series Floaters XG 02 52, 1.63% 10/7/19 (Liquidity Facility Bank of America NA) (a)(c)(d) | 3,500 | 3,500 | |
Series XG 00 99, 1.68% 10/7/19 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(c)(d) | 1,300 | 1,300 | |
Miami-Dade County Gen. Oblig. Participating VRDN: | |||
Series Floaters E 70, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 27,965 | 27,965 | |
Series Floaters XM 07 09, 1.63% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 1,950 | 1,950 | |
Series XM 04 70, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 10,530 | 10,530 | |
Miami-Dade County Wtr. & Swr. Rev. Participating VRDN Series Floaters XF 07 49, 1.63% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 4,700 | 4,700 | |
Palm Beach County Solid Waste Auth. Rev. Participating VRDN Series ROC II 14003, 1.61% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 1,670 | 1,670 | |
Tallahassee Memorial Healthcare Participating VRDN Series Floaters ML 70 01, 1.63% 10/7/19 (Liquidity Facility Bank of America NA) (a)(c)(d) | 7,800 | 7,800 | |
Tampa Health Sys. Rev. Participating VRDN: | |||
Series 16 XF2214, 1.61% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 4,800 | 4,800 | |
Series Floaters XF 25 52, 1.61% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 10,400 | 10,400 | |
201,720 | |||
Georgia - 0.5% | |||
Atlanta Wtr. & Wastewtr. Rev. Participating VRDN Series Floaters XF 26 49, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 4,000 | 4,000 | |
Brookhaven Dev. Auth. Rev. Participating VRDN: | |||
Series XG 02 44, 1.63% 10/7/19 (Liquidity Facility Bank of America NA) (a)(c)(d) | 3,200 | 3,200 | |
Series XM 07 51, 1.63% 10/7/19 (Liquidity Facility Bank of America NA) (a)(c)(d) | 1,500 | 1,500 | |
Burke County Indl. Dev. Auth. Poll. Cont. Rev. Participating VRDN Series Floaters E 107, 1.64% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 4,500 | 4,500 | |
Clarke County Hosp. Auth. Participating VRDN Series 2017 ZF 2413, 1.62% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 900 | 900 | |
Fayette County Hosp. Auth. Rev. Participating VRDN Series Floaters XF 06 44, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 2,300 | 2,300 | |
Main Street Natural Gas, Inc. Participating VRDN Series Floaters XF 07 51, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 5,100 | 5,100 | |
Metropolitan Atlanta Rapid Transit Auth. Sales Tax Rev. Bonds Series Solar 0047, 1.71%, tender 11/14/19 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d) | 1,700 | 1,700 | |
Muni. Elec. Auth. of Georgia Participating VRDN Series XG 02 54, 1.63% 10/7/19 (Liquidity Facility Bank of America NA) (a)(c)(d) | 3,000 | 3,000 | |
Private Colleges & Univs. Auth. Rev. Participating VRDN Series Floaters XM 04 35, 1.61% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 1,000 | 1,000 | |
Wyandotte County Unified School District 500 Participating VRDN Series Floater 2018 G23A, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 7,900 | 7,900 | |
35,100 | |||
Hawaii - 0.3% | |||
Eclipse Fdg. Trust Various States Bonds Series 2019, 1.71%, tender 11/21/19 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d) | 4,000 | 4,000 | |
Hawaii Gen. Oblig.: | |||
Bonds Series Solar 17 0031, 1.71%, tender 10/17/19 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d) | 985 | 985 | |
Participating VRDN Series Floaters XM 04 29, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 6,665 | 6,665 | |
Honolulu City & County Gen. Oblig.: | |||
Bonds Series 2016, 1.71%, tender 11/14/19 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d) | 6,505 | 6,505 | |
Participating VRDN Series Floaters XM 07 18, 1.61% 10/7/19 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(d) | 3,590 | 3,590 | |
21,745 | |||
Illinois - 3.6% | |||
Berwyn Muni. Securitization Corp. Participating VRDN Series Floaters 005, 1.62% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 14,190 | 14,190 | |
Chicago Board of Ed. Participating VRDN Series Floaters XG 02 17, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 5,625 | 5,625 | |
Chicago Gen. Oblig. Participating VRDN Series Floaters XL 01 05, 1.64% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 6,315 | 6,315 | |
Chicago O'Hare Int'l. Arpt. Rev. Participating VRDN: | |||
Series Floaters XF 07 36, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 8,295 | 8,295 | |
Series Spears DBE 80 22, 1.78% 10/7/19 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(c)(d) | 12,325 | 12,325 | |
Chicago Transit Auth. Participating VRDN Series Floaters XM 04 50, 1.62% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 11,235 | 11,235 | |
Chicago Wastewtr. Transmission Rev. Participating VRDN Series Floaters XL 00 94, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 4,575 | 4,575 | |
City of Chicago Gen. Oblig. Bonds Participating VRDN Series Floaters XF 23 42, 1.64% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 500 | 500 | |
Cook County Ill Sales Tax Rev. Participating VRDN Series Floaters XF 25 01, 1.64% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 873 | 873 | |
Deutsche Bank Spears/Lifers Trust Participating VRDN Series Floaters XF 10 12, 1.64% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 9,400 | 9,400 | |
Illinois Fin. Auth. Rev. Participating VRDN: | |||
Series 15 XF0253, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 5,100 | 5,100 | |
Series 15 XM0050, 1.61% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 3,500 | 3,500 | |
Series 17 XM 0492, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 5,250 | 5,250 | |
Series Floaters 017, 1.73% 11/12/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d)(e) | 11,820 | 11,820 | |
Series Floaters XF 25 00, 1.61% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 7,580 | 7,580 | |
Series Floaters XF 25 35, 1.61% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 8,400 | 8,400 | |
Series Floaters XL 00 86, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 7,360 | 7,360 | |
Series MS 3332, 1.61% 10/7/19 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(d) | 400 | 400 | |
Series XF 23 38, 1.62% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 2,975 | 2,975 | |
Illinois Gen. Oblig. Participating VRDN: | |||
Series Floaters XF 10 43, 1.64% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 3,000 | 3,000 | |
Series Floaters XL 00 54, 1.64% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 10,400 | 10,400 | |
Series Floaters XX 10 81, 1.64% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 5,800 | 5,800 | |
Series Floaters YX 10 72, 1.64% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 9,510 | 9,510 | |
Series Floaters YX 10 86, 1.64% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 2,500 | 2,500 | |
Series XF 28 41, 1.64% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 5,600 | 5,600 | |
Series XM 07 59, 1.7% 10/7/19 (Liquidity Facility Bank of America NA) (a)(c)(d) | 4,600 | 4,600 | |
Illinois Toll Hwy. Auth. Toll Hwy. Rev. Participating VRDN: | |||
Series 15 XF0277, 1.66% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 1,500 | 1,500 | |
Series 15 XF2202, 1.61% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 5,720 | 5,720 | |
Series 15 XM 0078, 1.66% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 5,180 | 5,180 | |
Series Floaters E100, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 30,255 | 30,255 | |
Series Floaters XF 27 67, 1.61% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 9,600 | 9,600 | |
Series Floaters ZF 03 73, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 6,110 | 6,110 | |
Series Floaters ZF 28 24, 1.61% 10/7/19 (Liquidity Facility Wells Fargo Bank NA) (a)(c)(d) | 6,000 | 6,000 | |
Series XM 07 47, 1.63% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 2,700 | 2,700 | |
Series ZF 24 03, 1.61% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 6,665 | 6,665 | |
Series ZF 24 04, 1.61% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 3,165 | 3,165 | |
244,023 | |||
Indiana - 0.5% | |||
Hamilton County HealthCare Facilities Rev. Participating VRDN Series XF 10 26, 1.68% 10/7/19 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(c)(d) | 3,500 | 3,500 | |
Indiana Fin. Auth. Health Sys. Rev. Participating VRDN Series Floaters XL 01 08, 1.6% 10/7/19 (Liquidity Facility Cr. Suisse AG) (a)(c)(d) | 10,500 | 10,500 | |
Indiana Fin. Auth. Rev. Participating VRDN: | |||
Series 15 XF0106, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 13,955 | 13,955 | |
Series Floaters XF 00 50, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 4,600 | 4,600 | |
32,555 | |||
Iowa - 0.1% | |||
RIB Floater Trust Various States Participating VRDN Series Floaters 007, 1.63% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 3,445 | 3,445 | |
Kansas - 0.3% | |||
Johnson County Unified School District #512 Participating VRDN Series Floaters G 90, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 3,950 | 3,950 | |
Kansas Dev. Fin. Agcy. Participating VRDN Series Floaters XM 02 92, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 6,225 | 6,225 | |
Univ. of Kansas Hosp. Auth. Health Facilities Rev. Participating VRDN: | |||
Series Floaters XF 25 43, 1.61% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 4,035 | 4,035 | |
Series Floaters XM 07 25, 1.6% 10/7/19 (Liquidity Facility Cr. Suisse AG) (a)(c)(d) | 7,100 | 7,100 | |
21,310 | |||
Kentucky - 0.3% | |||
Kentucky Econ. Dev. Fin. Auth. Participating VRDN: | |||
Series Floaters XF 10 24, 1.62% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 2,920 | 2,920 | |
Series Floaters XF 24 85, 1.64% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 11,400 | 11,400 | |
Kentucky Econ. Dev. Fin. Auth. Hosp. Rev. Participating VRDN Series Floaters XG 01 23, 1.62% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 5,195 | 5,195 | |
19,515 | |||
Louisiana - 0.8% | |||
Louisiana Gas & Fuel Tax Rev. Participating VRDN: | |||
Series EGL 14 0049, 1.62% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 13,600 | 13,600 | |
Series Floaters XF 24 91, 1.61% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 8,250 | 8,250 | |
Series Floaters ZF 26 35, 1.61% 10/7/19 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(d) | 2,830 | 2,830 | |
Louisiana Local Govt. Envir. Facilities Participating VRDN Series 2016 XF 2336, 1.61% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 18,560 | 18,560 | |
New Orl Wtr. Participating VRDN Series XM 07 35, 1.63% 10/7/19 (Liquidity Facility Bank of America NA) (a)(c)(d) | 1,500 | 1,500 | |
New Orleans Swr. Svc. Rev. Participating VRDN Series Floaters XM 07 38, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 3,000 | 3,000 | |
Touro Infirmary Participating VRDN Series Floaters ML 70 03, 1.63% 10/7/19 (Liquidity Facility Bank of America NA) (a)(c)(d) | 5,815 | 5,815 | |
53,555 | |||
Maryland - 0.5% | |||
Baltimore County Gen. Oblig.: | |||
Bonds Series Solar 17 22, 1.71%, tender 10/24/19 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d) | 11,795 | 11,795 | |
Participating VRDN Series Floaters XF 06 42, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 3,900 | 3,900 | |
Baltimore Proj. Rev. Bonds Series Floaters G 28, 1.78%, tender 1/2/20 (Liquidity Facility Royal Bank of Canada) (a)(c)(d)(e) | 1,000 | 1,000 | |
Maryland Health & Higher Edl. Facilities Auth. Rev. Participating VRDN: | |||
Series Floaters XG 01 77, 1.62% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 1,900 | 1,900 | |
Series Floaters XG 02 16, 1.63% 10/7/19 (Liquidity Facility Bank of America NA) (a)(c)(d) | 2,605 | 2,605 | |
Series XF 10 21, 1.68% 10/7/19 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(c)(d) | 1,960 | 1,960 | |
Montgomery County Gen. Oblig. Participating VRDN Series 2017 ZF 2416, 1.61% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 7,500 | 7,500 | |
30,660 | |||
Massachusetts - 1.0% | |||
Boston Gen. Oblig. Participating VRDN Series Floaters XF 26 08, 1.6% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 1,600 | 1,600 | |
Massachusetts Commonwealth Trans. Fund Rev. Participating VRDN Series Floaters ZF 25 67, 1.6% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 2,070 | 2,070 | |
Massachusetts Dev. Fin. Agcy. Rev. Participating VRDN: | |||
Series 2016 XF2207, 1.6% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 1,600 | 1,600 | |
Series Floaters E 130, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 1,400 | 1,400 | |
Massachusetts Gen. Oblig. Participating VRDN: | |||
Series Clipper 09 67, 1.61% 10/7/19 (Liquidity Facility State Street Bank & Trust Co., Boston) (a)(c)(d) | 36,400 | 36,400 | |
Series Clipper 09 69, 1.61% 10/7/19 (Liquidity Facility State Street Bank & Trust Co., Boston) (a)(c)(d) | 4,075 | 4,075 | |
Series Floaters XF 25 74, 1.6% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 2,300 | 2,300 | |
Massachusetts Wtr. Resources Auth. Wtr. & Swr. Rev. Participating VRDN: | |||
Series D 004, 1.61% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 4,520 | 4,520 | |
Series D 009, 1.61% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 3,395 | 3,395 | |
Series D 011, 1.61% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 10,060 | 10,060 | |
Univ. of Massachusetts Bldg. Auth. Facilities Rev. Participating VRDN Series Floaters XF 25 88, 1.6% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 3,700 | 3,700 | |
71,120 | |||
Michigan - 2.1% | |||
Eastern Michigan Univ. Revs. Participating VRDN Series Floaters 009, 1.62% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 40,245 | 40,245 | |
Lansing Board of Wtr. & Lt. Util. Rev. Participating VRDN Series ZF 07 85, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 6,675 | 6,675 | |
Michigan Bldg. Auth. Rev. Participating VRDN: | |||
Series Floaters XF 26 09, 1.62% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 3,240 | 3,240 | |
Series Floaters XM 04 65, 1.61% 10/7/19 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(d) | 8,135 | 8,135 | |
Michigan Fin. Auth. Rev. Participating VRDN: | |||
Series 15 XF0126, 1.63% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 4,500 | 4,500 | |
Series 16 XM0223, 1.61% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 16,385 | 16,385 | |
Series Floaters XF 05 96, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 3,775 | 3,775 | |
Series Floaters XF 05 97, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 2,000 | 2,000 | |
Series Floaters XF 07 42, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 3,900 | 3,900 | |
Series Floaters XF 26 48, 1.61% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 2,400 | 2,400 | |
Series Floaters XG 01 58, 1.61% 10/7/19 (Liquidity Facility Bank of America NA) (a)(c)(d) | 1,900 | 1,900 | |
Series Floaters ZF 07 83, 1.68% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 3,000 | 3,000 | |
Series Floaters ZF 28 12, 1.61% 10/7/19 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(d) | 2,150 | 2,150 | |
Series Floaters ZF 28 25, 1.66% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 1,400 | 1,400 | |
Series RBC 2016 XM0132, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 3,100 | 3,100 | |
Series RBC 2016 ZM0131, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 5,000 | 5,000 | |
Series XF 07 82, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 4,370 | 4,370 | |
Series XM 04 72, 1.61% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 2,000 | 2,000 | |
Series XM 07 48, 1.68% 10/7/19 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(d) | 5,050 | 5,050 | |
Series XX 1043, 1.61% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 8,620 | 8,620 | |
Michigan Hsg. Dev. Auth. Single Family Mtg. Rev. Participating VRDN Series Floaters ZF 07 87, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(b)(c)(d) | 1,800 | 1,800 | |
Trenton Pub. Schools School District Participating VRDN Series Floaters CTFS G 102, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 1,900 | 1,900 | |
Univ. of Michigan Rev. Participating VRDN: | |||
Series Floaters XF 25 48, 1.61% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 4,000 | 4,000 | |
Series Floaters XF 27 53, 1.6% 10/7/19 (Liquidity Facility Cr. Suisse AG) (a)(c)(d) | 4,000 | 4,000 | |
Series Floaters ZF 05 90, 1.61% 10/7/19 (Liquidity Facility Toronto-Dominion Bank) (a)(c)(d) | 2,365 | 2,365 | |
141,910 | |||
Minnesota - 0.1% | |||
Minnesota State Gen. Fdg. Rev. Participating VRDN Series 15 ZF0175, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 3,335 | 3,335 | |
Pittsburg WTSW Participating VRDN Series Floaters ZF 03 20, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 1,750 | 1,750 | |
5,085 | |||
Mississippi - 0.4% | |||
Mississippi Gen. Oblig. Participating VRDN: | |||
Series Floaters CTFS G 100, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 3,350 | 3,350 | |
Series Floaters G67, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 1,750 | 1,750 | |
Series ROC II R 14027, 1.61% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 3,680 | 3,680 | |
Mississippi Hosp. Equip. & Facilities Auth. Participating VRDN Series Floaters BAML 50 06, 1.63% 10/7/19 (Liquidity Facility Bank of America NA)(a)(b)(c)(d) | 18,565 | 18,565 | |
27,345 | |||
Missouri - 1.6% | |||
Deutsche Bank Spears/Lifers Trust Participating VRDN Series Floaters XF 10 15, 1.62% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 15,805 | 15,805 | |
Mercy Health Participating VRDN Series Floaters XL 00 80, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 4,165 | 4,165 | |
Missouri Health & Edl. Facilities Auth. Edl. Facilities Rev. Participating VRDN: | |||
Series Floaters XF 06 75, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 4,460 | 4,460 | |
Series Floaters XG 01 57, 1.62% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 13,190 | 13,190 | |
Series XL 00 37, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 1,020 | 1,020 | |
Missouri Health & Edl. Facilities Auth. Rev. Participating VRDN Series Floaters C16, 1.64% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 19,500 | 19,500 | |
Missouri Health & Edl. Facilities Rev. Participating VRDN: | |||
Series Floaters XF 07 63, 1.63% 10/7/19 (Liquidity Facility Bank of America NA) (a)(c)(d) | 2,830 | 2,830 | |
Series Floaters XG 01 84, 1.63% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 1,500 | 1,500 | |
Missouri Hefa Edl. Facilities Rev. Participating VRDN: | |||
Series 15 XF 0046 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 2,250 | 2,250 | |
Series Floaters 14, 1.62% 10/3/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 21,200 | 21,200 | |
Series Floaters 17 010, 1.62% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 15,960 | 15,960 | |
Series Floaters C17, 1.62% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 5,200 | 5,200 | |
Series Floaters XG 02 38, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c)(d) | 1,100 | 1,100 | |
Series Floaters XM 05 75, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 3,800 | 3,800 | |
111,980 | |||
Nebraska - 0.4% | |||
Douglas County School District #1 Bonds: | |||
Series Solar 00 27, 1.71%, tender 10/3/19 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d) | 16,740 | 16,740 | |
Series Solar 0059, 1.71%, tender 10/3/19 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d) | 1,635 | 1,635 | |
Nebraska Invt. Fin. Auth. Single Family Hsg. Rev. Participating VRDN Series XF 26 71, 1.61% 10/7/19 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(d) | 2,525 | 2,525 | |
Omaha Pub. Pwr. District Elec. Rev. Participating VRDN Series Floaters XX 10 04, 1.62% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 2,985 | 2,985 | |
23,885 | |||
Nevada - 0.5% | |||
Clark County Fuel Tax: | |||
Bonds: | |||
Series Solar 0068, 1.71%, tender 10/3/19 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d) | 1,285 | 1,285 | |
Series Solar 17 25, 1.7%, tender 12/19/19 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d) | 995 | 995 | |
Participating VRDN: | |||
Series Floaters XF 25 80, 1.61% 10/7/19 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(d) | 10,825 | 10,825 | |
Series Floaters ZF 27 33, 1.61% 10/7/19 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(d) | 7,070 | 7,070 | |
Series Floaters ZM 06 33, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 4,095 | 4,095 | |
Series Floaters ZM 06 39, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 1,845 | 1,845 | |
Series XM 06 38, 1.61% 10/7/19 (Liquidity Facility Wells Fargo Bank NA) (a)(c)(d) | 7,200 | 7,200 | |
Las Vegas Valley Wtr. District Wtr. Impt. Gen. Oblig. Participating VRDN Series 16 ZF0382, 1.62% 10/7/19 (Liquidity Facility Toronto-Dominion Bank) (a)(c)(d) | 2,185 | 2,185 | |
35,500 | |||
New Jersey - 0.4% | |||
New Jersey Econ. Dev. Auth. Rev. Participating VRDN: | |||
Series Floaters 011, 1.73% 11/12/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 2,385 | 2,385 | |
Series Floaters 012, 1.73% 11/12/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 8,900 | 8,900 | |
Series Floaters XL 00 52, 1.61% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 8,725 | 8,725 | |
Union County Impt. Auth. Participating VRDN Series XF 10 19, 1.61% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 6,000 | 6,000 | |
26,010 | |||
New York - 4.8% | |||
New York City Gen. Oblig. Participating VRDN: | |||
Series 15 ZF0198, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 3,690 | 3,690 | |
Series E 133, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 3,125 | 3,125 | |
Series Floaters E86, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 14,165 | 14,165 | |
Series Floaters E87, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 5,000 | 5,000 | |
Series Floaters XF 06 40, 1.6% 10/7/19 (Liquidity Facility Toronto-Dominion Bank) (a)(c)(d) | 17,235 | 17,235 | |
New York City Muni. Wtr. Fin. Auth. Participating VRDN Series ZF 23 15, 1.61% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 31,775 | 31,775 | |
New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev. Participating VRDN: | |||
Series 15 XF0129, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 8,535 | 8,535 | |
Series Floaters E 129, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 62,700 | 62,700 | |
Series Floaters XF 26 01, 1.6% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 4,800 | 4,800 | |
Series Floaters XF 27 57, 1.6% 10/7/19 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(d) | 16,375 | 16,375 | |
Series Putters 15 XM0002, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 9,520 | 9,520 | |
New York City Transitional Fin. Auth. Rev. Participating VRDN: | |||
Series Floaters XF 27 82, 1.6% 10/7/19 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(d) | 27,130 | 27,130 | |
Series Floaters E99, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 7,000 | 7,000 | |
Series Floaters XF 06 76, 1.6% 10/7/19 (Liquidity Facility Toronto-Dominion Bank) (a)(c)(d) | 3,500 | 3,500 | |
Series Floaters XF 07 17, 1.61% 10/7/19 (Liquidity Facility Toronto-Dominion Bank) (a)(c)(d) | 4,925 | 4,925 | |
Series Floaters ZF 26 37, 1.6% 10/7/19 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(d) | 3,200 | 3,200 | |
Series ROC II R 11902, 1.61% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 7,400 | 7,400 | |
Series ROC II R 14022, 1.61% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 5,000 | 5,000 | |
Series XF 06 37, 1.6% 10/7/19 (Liquidity Facility Toronto-Dominion Bank) (a)(c)(d) | 8,760 | 8,760 | |
New York Dorm. Auth. Personal Income Tax Rev. Participating VRDN: | |||
Series 15 XF1030, 1.61% 10/7/19 (Liquidity Facility Wells Fargo Bank NA) (a)(c)(d) | 4,700 | 4,700 | |
Series ROC II R 14005, 1.61% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 14,030 | 14,030 | |
New York Dorm. Auth. Revs. Participating VRDN: | |||
ROC II R 11944, 1.6% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 13,000 | 13,000 | |
Series Floaters XM 03 67, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 9,000 | 9,000 | |
New York Envir. Facilities Corp. Clean Wtr. & Drinking Wtr. Participating VRDN Series 16 XM0215, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 4,425 | 4,425 | |
New York Gen. Oblig. Participating VRDN Series Floaters XG 01 05, 1.61% 10/7/19 (Liquidity Facility Bank of America NA) (a)(c)(d) | 7,480 | 7,480 | |
New York Metropolitan Trans. Auth. Rev. Participating VRDN Series RBC E 126, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 14,520 | 14,520 | |
New York Sales Tax Asset Receivables Corp. Participating VRDN Series 2015 ZF0209, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 5,250 | 5,250 | |
New York Thruway Auth. Second Gen. Hwy. & Bridge Trust Fund Participating VRDN Series ROC II R 11997, 1.6% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 2,000 | 2,000 | |
Triborough Bridge & Tunnel Auth. Revs. Participating VRDN: | |||
Series Floaters XF 06 36, 1.6% 10/7/19 (Liquidity Facility Toronto-Dominion Bank) (a)(c)(d) | 5,500 | 5,500 | |
Series Floaters ZF 26 32, 1.6% 10/7/19 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(d) | 2,600 | 2,600 | |
Series XM 04 76, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 2,195 | 2,195 | |
328,535 | |||
North Carolina - 1.7% | |||
Charlotte Gen. Oblig. Participating VRDN Series Floaters XL 00 47, 1.61% 10/7/19 (Liquidity Facility Bank of America NA) (a)(c)(d) | 1,000 | 1,000 | |
Charlotte Int'l. Arpt. Rev. Participating VRDN: | |||
Series Floaters XG 02 07, 1.61% 10/7/19 (Liquidity Facility Bank of America NA) (a)(c)(d) | 3,500 | 3,500 | |
Series Floaters ZM 05 34, 1.61% 10/7/19 (Liquidity Facility Wells Fargo Bank NA) (a)(c)(d) | 2,900 | 2,900 | |
Greensboro Combined Enterprise Sys. Rev. Bonds Series Solar 0045, 1.71%, tender 11/21/19 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d) | 700 | 700 | |
North Carolina Cap. Facilities Fin. Agcy. Rev. Participating VRDN: | |||
Series Floaters XL 00 55, 1.6% 10/7/19 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(d) | 44,755 | 44,755 | |
Series MS 15 ZM0105, 1.61% 10/7/19 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(d) | 2,185 | 2,185 | |
North Carolina Cap. Facilities Fin. Agcy. Rev. Bonds Participating VRDN Series Floaters ZM 00 98, 1.61% 10/7/19 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(d) | 3,335 | 3,335 | |
North Carolina Gen. Oblig.: | |||
Bonds Series 008, 1.7%, tender 12/26/19 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d)(f) | 1,600 | 1,600 | |
Participating VRDN Series 15 XF0140, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 1,000 | 1,000 | |
North Carolina Hsg. Fin. Agcy. Participating VRDN Series Floaters YX 10 52, 1.61% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 9,245 | 9,245 | |
North Carolina Hsg. Fin. Agcy. Home Ownership Rev. Participating VRDN: | |||
Series Floaters YX 10 88, 1.61% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 3,180 | 3,180 | |
Series Floaters ZM 05 63, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 4,145 | 4,145 | |
North Carolina Med. Care Commission Participating VRDN Series XM 02 98, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 4,765 | 4,765 | |
North Carolina Med. Care Commission Health Care Facilities Rev. Participating VRDN: | |||
Series Floaters XF 07 92, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 3,750 | 3,750 | |
Series Floaters XF 07 93, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 7,100 | 7,100 | |
Series Floaters XM 04 44, 1.61% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 12,000 | 12,000 | |
Series XF 28 34, 1.6% 10/7/19 (Liquidity Facility Cr. Suisse AG) (a)(c)(d) | 5,030 | 5,030 | |
Series XM 07 76, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 2,120 | 2,120 | |
Series XM 07 77, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 4,630 | 4,630 | |
116,940 | |||
North Dakota - 0.0% | |||
North Dakota Hsg. Fin. Agcy. Rev. Participating VRDN Series RBC E58, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 3,000 | 3,000 | |
Ohio - 1.9% | |||
Allen County Hosp. Facilities Rev. Participating VRDN Series Floaters E 134, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 15,200 | 15,200 | |
Berea Ohio City School District Participating VRDN Series RBC G 54, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 2,400 | 2,400 | |
Cleveland Wtr. Rev. Participating VRDN Series Floaters E 119, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 3,700 | 3,700 | |
Cuyahoga County Ctfs. of Prtn. Participating VRDN Series Floaters XG 02 06, 1.7% 10/7/19 (Liquidity Facility Bank of America NA) (a)(c)(d) | 955 | 955 | |
Eclipse Fdg. Trust Various States Bonds Series 0005, 1.59%, tender 12/12/19 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d) | 3,000 | 3,000 | |
Elyria City School District Participating VRDN Series Floaters G 107, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 4,985 | 4,985 | |
Erie County Hosp. Facilities Rev. Participating VRDN Series BAML 5019, 1.63% 10/7/19 (Liquidity Facility Bank of America NA) (a)(c)(d) | 10,935 | 10,935 | |
Hamilton County HealthCare Facilities Rev. Participating VRDN Series XF 10 50, 1.68% 10/7/19 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(c)(d) | 400 | 400 | |
Kettering Med. Ctr., Inc., Participating VRDN Series Floaters BAML 50 03, 1.63% 10/7/19 (Liquidity Facility Bank of America NA) (a)(c)(d) | 18,650 | 18,650 | |
Lakewood City School District Bonds Series Solar 0067, 1.71%, tender 11/21/19 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d) | 1,910 | 1,910 | |
Lucas County Gen. Oblig. Bonds Series 2016 26, 1.71%, tender 11/21/19 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d) | 6,490 | 6,490 | |
Middletown Hosp. Facilities Rev. Participating VRDN Series Floaters 00 31 44, 1.73% 11/12/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d)(e) | 2,175 | 2,175 | |
Montgomery County Hosp. Rev. Participating VRDN: | |||
Series Floaters BAML 50 02, 1.63% 10/7/19 (Liquidity Facility Bank of America NA) (a)(c)(d) | 4,700 | 4,700 | |
Series Floaters E 131, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(b)(c)(d) | 7,740 | 7,740 | |
Series Floaters E 132, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 16,200 | 16,200 | |
Northeast Ohio Reg'l. Swr. District Wastewtr. Rev. Participating VRDN: | |||
Series Floaters ZF 05 85, 1.61% 10/7/19 (Liquidity Facility Toronto-Dominion Bank) (a)(c)(d) | 3,170 | 3,170 | |
Series Floaters ZF 06 70, 1.61% 10/7/19 (Liquidity Facility Bank of America NA) (a)(c)(d) | 2,000 | 2,000 | |
Ohio Gen. Oblig. Participating VRDN Series Floaters XF 25 91, 1.6% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 4,000 | 4,000 | |
Ohio Higher Edl. Facility Commission Rev. Participating VRDN Series 2017, 1.73% 11/12/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d)(e) | 2,700 | 2,700 | |
Ohio Hsg. Fin. Agcy. Residential Mtg. Rev. Participating VRDN: | |||
Series Floaters XF 27 11, 1.61% 10/7/19 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(d) | 4,460 | 4,460 | |
Series Floaters XF 27 83, 1.61% 10/7/19 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(d) | 2,825 | 2,825 | |
Ohio Univ. Gen. Receipts Athens Bonds Series Floaters G 27, 1.78%, tender 12/2/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d)(e) | 900 | 900 | |
Ohio Wtr. Dev. Auth. Rev. Participating VRDN Series D 012, 1.61% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 4,875 | 4,875 | |
OhioHealth Corp. Participating VRDN Series Floaters XM 04 51, 1.62% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 1,500 | 1,500 | |
Univ. of Cincinnati Gen. Receipts Participating VRDN Series Floaters ZM 06 46, 1.61% 10/7/19 (Liquidity Facility Wells Fargo Bank NA) (a)(c)(d) | 1,900 | 1,900 | |
127,770 | |||
Oklahoma - 0.4% | |||
Edmond Pub. Works Auth. Sales Tax & Util. Sys. Rev. Participating VRDN Series Floaters XM 05 59, 1.64% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 3,365 | 3,365 | |
Oklahoma Dev. Fin. Auth. Health Sys. Rev. Participating VRDN: | |||
Series Floaters XG 02 10, 1.63% 10/7/19 (Liquidity Facility Bank of America NA) (a)(c)(d) | 3,015 | 3,015 | |
Series Floaters XX 10 96, 1.62% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 17,235 | 17,235 | |
Oklahoma St Wtr. Resources Board Rev. Fund Bonds Series 2016, 1.71%, tender 11/21/19 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d) | 595 | 595 | |
24,210 | |||
Oregon - 0.2% | |||
Clackamas County School District #7J Bonds Series Solar 0053, 1.7%, tender 12/26/19 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d) | 1,785 | 1,785 | |
Oregon Facilities Auth. Rev. Participating VRDN Series DB 15 XF1049, 1.61% 10/7/19 (Liquidity Facility Wells Fargo Bank NA) (a)(c)(d) | 3,470 | 3,470 | |
Oregon Gen. Oblig. Participating VRDN Series ROC II R 11949, 1.61% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 3,000 | 3,000 | |
Portland Wtr. Sys. Rev. Bonds Series 2016 24, 1.7%, tender 12/5/19 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d) | 875 | 875 | |
State of Oregon Participating VRDN Series Floaters G 91, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 3,950 | 3,950 | |
Tigard-Tualatin School District No. 23J Participating VRDN Series Floaters G69, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 2,800 | 2,800 | |
15,880 | |||
Pennsylvania - 1.9% | |||
Allegheny County Participating VRDN Series Floaters XM 06 63, 1.68% 10/7/19 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(d) | 1,800 | 1,800 | |
Allegheny County Hosp. Dev. Auth. Rev.: | |||
Bonds Series Floaters E72, 1.75%, tender 12/2/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d)(e) | 11,600 | 11,600 | |
Participating VRDN: | |||
Series Floaters E 111, 1.75% 10/1/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 7,900 | 7,900 | |
Series Floaters XX 10 94, 1.61% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 6,670 | 6,670 | |
Berks County Muni. Auth. Rev. Participating VRDN Series Floaters 001, 1.73% 11/12/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d)(e) | 4,600 | 4,600 | |
Delaware Valley Reg'l. Fin. Auth. Local Govt. Rev. Participating VRDN Series Floaters XG 02 01, 1.62% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 9,200 | 9,200 | |
Geisinger Auth. Health Sys. Rev. Participating VRDN: | |||
Series 15 ZF0174, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 1,000 | 1,000 | |
Series Floaters YX 10 49, 1.61% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 10,430 | 10,430 | |
1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 6,285 | 6,285 | |
Lehigh County Gen. Purp. Hosp. Rev. Participating VRDN Series Floaters 2019 003, 1.73% 11/12/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d)(e) | 5,020 | 5,020 | |
Montgomery County Higher Ed. & Health Auth. Rev. Participating VRDN Series Floaters ZF 07 95, 1.63% 10/7/19 (Liquidity Facility Bank of America NA) (a)(c)(d) | 465 | 465 | |
Pennsylvania Econ. Dev. Fing. Auth. Rev. Participating VRDN Series Floaters 16 YX1028, 1.68% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 1,000 | 1,000 | |
Pennsylvania Gen. Oblig. Participating VRDN: | |||
Series Floaters XF 24 54, 1.61% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 5,630 | 5,630 | |
Series Floaters XG 01 80, 1.61% 10/7/19 (Liquidity Facility Bank of America NA) (a)(c)(d) | 5,255 | 5,255 | |
Pennsylvania Higher Edl. Facilities Auth. Rev. Bonds Series 2016 E75, 1.75%, tender 12/2/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d)(e) | 3,295 | 3,295 | |
Pennsylvania Tpk. Commission Tpk. Rev. Participating VRDN: | |||
Series DBE 8032, 1.83% 10/7/19 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(c)(d) | 900 | 900 | |
Series Floaters E 101, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 30,500 | 30,500 | |
Philadelphia Auth. For Indl. Participating VRDN Series XG 02 53, 1.63% 10/7/19 (Liquidity Facility Bank of America NA) (a)(c)(d) | 2,100 | 2,100 | |
Philadelphia Wtr. & Wastewtr. Rev. Participating VRDN: | |||
Series 2017, 1.61% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 3,760 | 3,760 | |
Series Floaters XF 07 19, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 2,000 | 2,000 | |
Westmoreland County Muni. Auth. Muni. Svc. Rev. Participating VRDN Series Floaters YX 10 75, 1.61% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 8,595 | 8,595 | |
128,005 | |||
Rhode Island - 0.1% | |||
Rhode Island Health and Edl. Bldg. Corp. Higher Ed. Facility Rev. Participating VRDN Series Floaters XM 07 21, 1.61% 10/7/19 (Liquidity Facility Wells Fargo Bank NA) (a)(c)(d) | 5,550 | 5,550 | |
South Carolina - 1.3% | |||
Berkeley County School District Bonds Series Solar 17 0030, 1.71%, tender 11/14/19 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d) | 595 | 595 | |
Columbia Wtrwks. & Swr. Rev.: | |||
Bonds Series 2016 21, 1.71%, tender 10/10/19 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d) | 985 | 985 | |
Participating VRDN Series Floaters XM 04 42, 1.62% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 3,000 | 3,000 | |
Lancaster County School District Bonds Series Solar 17 21, 1.71%, tender 12/5/19 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d) | 595 | 595 | |
Lexington County School District #1 Bonds Series Solar 0058, 1.71%, tender 10/31/19 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d) | 1,100 | 1,100 | |
Richland County School District #2 Gen. Oblig. Bonds Series 00 10, 1.7%, tender 12/26/19 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d)(e) | 3,670 | 3,670 | |
South Carolina Jobs-Econ. Dev. Auth. Participating VRDN: | |||
Series 2018 Floaters XL 00 79, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 4,800 | 4,800 | |
Series Floaters BAML 50 04, 1.63% 10/7/19 (Liquidity Facility Bank of America NA) (a)(c)(d) | 8,030 | 8,030 | |
Series Floaters XF 07 43, 1.63% 10/7/19 (Liquidity Facility Bank of America NA) (a)(c)(d) | 6,950 | 6,950 | |
South Carolina Pub. Svc. Auth. Rev. Participating VRDN: | |||
Series 2017 XF 2425, 1.62% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 26,215 | 26,215 | |
Series Floaters XG 01 49, 1.62% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 11,315 | 11,315 | |
Series Floaters XG 02 20, 1.62% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 4,960 | 4,960 | |
South Carolina Trans. Infrastructure Bank Rev.: | |||
Bonds Series Floaters G 109, 1.78%, tender 4/1/20 (Liquidity Facility Royal Bank of Canada) (a)(c)(d)(e) | 1,100 | 1,100 | |
Participating VRDN Series Floaters XM 06 91, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 15,000 | 15,000 | |
88,315 | |||
Tennessee - 1.3% | |||
Greeneville Health & Edl. Facilities Board Participating VRDN: | |||
Series Floaters XF 25 76, 1.62% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 13,190 | 13,190 | |
Series Floaters XG 01 94, 1.62% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 5,535 | 5,535 | |
Nashville and Davidson County Metropolitan Govt. Health & Edl. Facilities Board Rev. Participating VRDN: | |||
Series Floaters XG 01 45, 1.62% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 3,985 | 3,985 | |
Series Floaters XL 00 62, 1.64% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 1,100 | 1,100 | |
Rutherford County Health & Edl. Facilities Board Rev. Participating VRDN: | |||
Series 2014 ZF0208, 1.68% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 2,500 | 2,500 | |
Series Floaters XM 04 46, 1.61% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 4,500 | 4,500 | |
Sullivan County Health, Ed. and Hsg. Board Participating VRDN Series Floaters BAML 50 01, 1.63% 10/7/19 (Liquidity Facility Bank of America NA) (a)(c)(d) | 49,745 | 49,745 | |
Vanderbilt Hosp. Participating VRDN 1.62% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 8,300 | 8,300 | |
88,855 | |||
Texas - 6.1% | |||
Abilene Participating VRDN Series Floaters G31, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 9,355 | 9,355 | |
Alamo Cmnty. College District Rev. Bonds Series G-111, 1.78%, tender 5/1/20 (Liquidity Facility Royal Bank of Canada) (a)(c)(d)(e) | 300 | 300 | |
Aldine Independent School District Participating VRDN Series Floaters XL 00 87, 1.61% 10/7/19 (Liquidity Facility Wells Fargo Bank NA) (a)(c)(d) | 5,600 | 5,600 | |
Bexar County Gen. Oblig. Participating VRDN Series Floaters G12, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 4,250 | 4,250 | |
Brazos County Health Facilities Dev. Corp. Participating VRDN Series BAML 50 21, 1.71% 10/7/19 (Liquidity Facility Bank of America NA) (a)(c)(d) | 3,000 | 3,000 | |
Brazosport Independent School District Bonds Series 00 07, 1.7%, tender 1/2/20 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d) | 1,725 | 1,725 | |
City of Dallas Wtrwks. & Swr. Sys. Rev. Participating VRDN Series XM 02 88, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 5,000 | 5,000 | |
Dallas County Util. and Reclamation District Participating VRDN Series Floaters CTFS G 99, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 2,375 | 2,375 | |
Dallas Wtrwks. & Swr. Sys. Rev. Participating VRDN Series Floaters ZF 26 97, 1.6% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 6,000 | 6,000 | |
Denton Independent School District Participating VRDN Series Floaters XF 06 48, 1.61% 10/7/19 (Liquidity Facility Toronto-Dominion Bank) (a)(c)(d) | 6,195 | 6,195 | |
Eclipse Fdg. Trust Various States Bonds Series 2019, 1.71%, tender 12/5/19 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d) | 3,620 | 3,620 | |
El Paso Gen. Oblig. Participating VRDN Series RBC G 59, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 2,500 | 2,500 | |
Frisco Independent School District Bonds Series Solar 0002, 1.71%, tender 11/21/19 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d) | 1,100 | 1,100 | |
Harris County Gen. Oblig. Participating VRDN Series Clipper 09 73, 1.61% 10/7/19 (Liquidity Facility State Street Bank & Trust Co., Boston) (a)(c)(d) | 39,700 | 39,700 | |
Harris County Health Facilities Dev. Corp. Rev. Participating VRDN Series 16 ZF 03 12, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 9,870 | 9,870 | |
Harris County Metropolitan Trans. Auth. Participating VRDN Series 16 ZM0164, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 9,500 | 9,500 | |
Hays Consolidated Independent School District Bonds Series Solar 0050, 1.71%, tender 10/10/19 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d) | 780 | 780 | |
Houston Cmnty. College Sys. Rev. Participating VRDN Series Floaters ZF 06 19, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 6,665 | 6,665 | |
Houston Gen. Oblig. Participating VRDN Series Floater 2018 G21, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 6,100 | 6,100 | |
Houston Util. Sys. Rev. Participating VRDN Series 16 XM 0235, 1.61% 10/7/19 (Liquidity Facility Bank of America NA) (a)(c)(d) | 2,405 | 2,405 | |
Humble Independent School District Participating VRDN Series Floaters XF 26 63, 1.61% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 6,600 | 6,600 | |
Hutto Independent School District Participating VRDN Series Floaters G 76, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 6,655 | 6,655 | |
Klein Independent School District Participating VRDN Series ROCS II R 11942, 1.61% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 5,145 | 5,145 | |
Lamar Consolidated Independent School District Participating VRDN Series Floaters G 18, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 9,200 | 9,200 | |
Laredo Gen. Oblig. Participating VRDN Series RBC G 60, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 4,620 | 4,620 | |
Leander Independent School District Participating VRDN: | |||
Series Floaters G 62, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 2,500 | 2,500 | |
Series Floaters G34, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 2,000 | 2,000 | |
Lower Colorado River Auth. Rev. Participating VRDN Series Floaters E 128, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 2,140 | 2,140 | |
Midlothian Independent School District Participating VRDN Series Floaters ZM 06 02, 1.61% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 3,900 | 3,900 | |
New Caney Independent School District Participating VRDN Series XM 07 55, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 2,500 | 2,500 | |
New Hope Cultural Ed. Facilities Finc Participating VRDN: | |||
Series Floaters XF 05 99, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 6,040 | 6,040 | |
Series Floaters XF 07 10, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 3,985 | 3,985 | |
North Texas Tollway Auth. Rev. Bonds Series G-112, 1.78%, tender 1/2/20 (Liquidity Facility Royal Bank of Canada) (a)(c)(d)(e) | 2,930 | 2,930 | |
Northwest Independent School District Participating VRDN Series Floaters G 94, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 4,750 | 4,750 | |
Princeton Independent School District Participating VRDN Series Floaters G14, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 5,000 | 5,000 | |
San Antonio Elec. & Gas Sys. Rev. Participating VRDN Series Floaters XM 03 77, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 26,625 | 26,625 | |
San Antonio Gen. Oblig. Participating VRDN Series Floaters ZF 25 71, 1.61% 10/7/19 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(d) | 5,500 | 5,500 | |
San Antonio Pub. Facilities Corp. and Rfdg. Lease Participating VRDN Series Floaters XF 06 41, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 3,750 | 3,750 | |
San Antonio Pub. Facilities Corp. Lease Rev. Participating VRDN Series 16 ZF 0456, 1.61% 10/7/19 (Liquidity Facility Bank of America NA) (a)(c)(d) | 7,465 | 7,465 | |
San Antonio Wtr. Sys. Rev. Participating VRDN Series Floaters ZF 28 14, 1.62% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(b)(c)(d) | 1,755 | 1,755 | |
Spring Branch Independent School District Participating VRDN Series Floaters XM 07 16, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 6,180 | 6,180 | |
Tarrant County Cultural Ed. Facilities Fin. Corp. Hosp. Rev. Participating VRDN: | |||
Series 16 XF0411, 1.63% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 2,000 | 2,000 | |
Series 16 ZF 0282, 1.62% 10/7/19 (Liquidity Facility Toronto-Dominion Bank) (a)(c)(d) | 7,760 | 7,760 | |
Series Floaters XF 27 38, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 7,700 | 7,700 | |
Tarrant County Cultural Ed. Facilities Fin. Corp. Rev. Participating VRDN: | |||
Series Floaters XM 04 02, 1.61% 10/7/19 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(d) | 2,100 | 2,100 | |
Series Floaters XM 06 98, 1.62% 10/7/19 (Liquidity Facility Cr. Suisse AG) (a)(c)(d) | 2,785 | 2,785 | |
Tarrant County Health Facilities Dev. Corp. Hosp. Rev. Participating VRDN Series Putters 0028, 1.63% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 1,150 | 1,150 | |
Texas A&M Univ. Rev. Participating VRDN Series Floaters XM 04 43, 1.61% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 11,430 | 11,430 | |
Texas Gen. Oblig. Participating VRDN: | |||
Series 2016 9, 1.75% 10/1/19 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d) | 16,450 | 16,450 | |
Series Floaters G 65, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 7,800 | 7,800 | |
Series Floaters XF 07 32, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 8,925 | 8,925 | |
Series Floaters XM 04 04, 1.61% 10/7/19 (Liquidity Facility Wells Fargo Bank NA) (a)(c)(d) | 7,500 | 7,500 | |
Series MS 3390, 1.61% 10/7/19 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(d) | 4,000 | 4,000 | |
Texas State Univ. Sys. Fing. Rev. Participating VRDN Series Floaters XF 06 61, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 3,750 | 3,750 | |
Texas Wtr. Dev. Board Rev. Participating VRDN: | |||
Series Floaters XF 07 13, 1.62% 10/7/19 (Liquidity Facility Toronto-Dominion Bank) (a)(c)(d) | 3,600 | 3,600 | |
Series Floaters XF 07 14, 1.61% 10/7/19 (Liquidity Facility Toronto-Dominion Bank) (a)(c)(d) | 3,750 | 3,750 | |
Series Floaters XF 25 57, 1.61% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 6,720 | 6,720 | |
Series Floaters XF 27 17, 1.6% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 10,190 | 10,190 | |
Series Floaters XF 27 30, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 5,200 | 5,200 | |
Series Floaters XG 02 11, 1.61% 10/7/19 (Liquidity Facility Bank of America NA) (a)(c)(d) | 10,000 | 10,000 | |
Series Floaters XM 06 85, 1.6% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 34,785 | 34,785 | |
Series Floaters ZM 05 87, 1.61% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 3,750 | 3,750 | |
Series XF 06 25, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 2,700 | 2,700 | |
Wells Fargo Stage Trs Var States Participating VRDN Series Floaters XF 23 21, 1.61% 10/7/19 (Liquidity Facility Wells Fargo Bank NA) (a)(c)(d) | 2,400 | 2,400 | |
Whitehouse Independent School District Participating VRDN Series Floaters G10, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 2,700 | 2,700 | |
Williamson County Gen. Oblig. Participating VRDN Series Floaters G70, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 4,000 | 4,000 | |
418,425 | |||
Utah - 0.1% | |||
Utah County Hosp. Rev. Participating VRDN: | |||
Series Floaters XF 26 28, 1.61% 10/7/19 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(d) | 4,300 | 4,300 | |
Series Floaters XG 01 71, 1.64% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 3,050 | 3,050 | |
Series Floaters XM 07 32, 1.61% 10/7/19 (Liquidity Facility Wells Fargo Bank NA) (a)(c)(d) | 1,920 | 1,920 | |
9,270 | |||
Vermont - 0.0% | |||
Vermont Edl. and Health Buildings Fing. Agcy. Participating VRDN Series XF 23 61, 1.62% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 2,225 | 2,225 | |
Virginia - 1.3% | |||
Fairfax County Indl. Dev. Auth. Participating VRDN: | |||
Series 15 ZF0166, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 7,500 | 7,500 | |
Series Floaters XG 01 91, 1.61% 10/7/19 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(d) | 16,400 | 16,400 | |
Series MS 3309, 1.61% 10/7/19 (Liquidity Facility Cr. Suisse AG) (a)(c)(d) | 2,300 | 2,300 | |
Hampton Roads Sanitation District Wastewtr. Rev. Bonds Series Solar 0064, 1.71%, tender 10/31/19 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d) | 2,300 | 2,300 | |
Loudoun County Gen. Oblig. Bonds Series Solar 2017 38, 1.71%, tender 10/10/19 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d) | 700 | 700 | |
Lynchburg Econ. Dev. Participating VRDN Series Floaters XG 01 47, 1.62% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 1,040 | 1,040 | |
Suffolk Econ. Dev. Auth. Hosp. Facilities Rev. Bonds Series EGL 17 0005, 1.78%, tender 10/5/19 (Liquidity Facility Citibank NA) (a)(c)(d)(e) | 35,090 | 35,090 | |
Univ. of Virginia Gen. Rev.: | |||
Bonds Series Solar 17 17, 1.71%, tender 11/28/19 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d) | 590 | 590 | |
Participating VRDN: | |||
Series 15 ZF0173, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 5,000 | 5,000 | |
Series Floaters XF 06 26, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 3,125 | 3,125 | |
Virginia Commonwealth Trans. Board Rev. Participating VRDN Series Floaters XF 06 59, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 3,400 | 3,400 | |
Virginia Gen. Oblig. Bonds Series 2016 11, 1.71%, tender 10/31/19 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d) | 495 | 495 | |
Virginia Pub. Bldg. Auth. Pub. Facilities Rev. Bonds Series Floaters G 40, 1.78%, tender 2/3/20 (Liquidity Facility Royal Bank of Canada) (a)(c)(d)(e) | 1,800 | 1,800 | |
Virginia Small Bus. Fing. Auth. Health Care Facilities Rev. Participating VRDN: | |||
Series Floaters XM 04 48, 1.61% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 7,500 | 7,500 | |
1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 1,015 | 1,015 | |
88,255 | |||
Washington - 2.6% | |||
Central Puget Sound Reg'l. Trans. Auth. Sales & Use Tax Rev. Participating VRDN: | |||
Series 15 XF2158, 1.61% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 8,655 | 8,655 | |
Series Floaters XF 05 33, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 2,250 | 2,250 | |
Centralia School District No. 401 Participating VRDN Series Floaters G74, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 4,500 | 4,500 | |
Commonspirit Health Participating VRDN Series XF 1017, 1.62% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 9,700 | 9,700 | |
King & Snohomish Counties School District #417 Northshore Participating VRDN Series Floaters G 83, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 4,135 | 4,135 | |
King County Pub. Hosp. District #2 Participating VRDN Series Floaters G 79, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 1,955 | 1,955 | |
King County Shoreline School District # 412 Gen. Oblig. Participating VRDN Series Floaters XF 27 29, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 8,000 | 8,000 | |
King County Swr. Rev. Participating VRDN: | |||
Series EGL 14 0047, 1.6% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 36,085 | 36,085 | |
Series Putters 15 XM0012, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 8,105 | 8,105 | |
Series ROC II R 11962, 1.61% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 2,200 | 2,200 | |
Seattle Muni. Lt. & Pwr. Rev.: | |||
Bonds: | |||
Series Solar 0055, 1.7%, tender 12/26/19 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d) | 1,670 | 1,670 | |
Series Solar 17 19, 1.71%, tender 11/28/19 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d) | 595 | 595 | |
Participating VRDN: | |||
Series Floaters FG 02 26, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 5,455 | 5,455 | |
Series Floaters XF 06 64, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 5,165 | 5,165 | |
Series Floaters XF 06 65, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 3,000 | 3,000 | |
Seattle Wtr. Sys. Rev. Bonds Series Solar 17 5, 1.71%, tender 10/24/19 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d) | 1,175 | 1,175 | |
Washington Convention Ctr. Pub. Facilities Participating VRDN: | |||
Series Floaters XM 06 80, 1.64% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 7,000 | 7,000 | |
Series Floaters XM 06 81, 1.64% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 11,970 | 11,970 | |
Washington Gen. Oblig. Participating VRDN: | |||
Series 15 ZM0121, 1.61% 10/7/19 (Liquidity Facility Royal Bank of Canada) (a)(c)(d) | 5,000 | 5,000 | |
Series Floaters XF 25 39, 1.61% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 3,900 | 3,900 | |
Series Floaters XM 06 94, 1.61% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 4,985 | 4,985 | |
Series MS 33 864X, 1.61% 10/7/19 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(d) | 1,700 | 1,700 | |
Series ROC II R 14074, 1.61% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 3,900 | 3,900 | |
Series XF 0294, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 6,000 | 6,000 | |
1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 2,250 | 2,250 | |
Washington Health Care Facilities Auth. Rev. Participating VRDN: | |||
Series 15 XF0132, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 9,205 | 9,205 | |
Series 15 XF0148, 1.61% 10/7/19 (Liquidity Facility Bank of America NA) (a)(c)(d) | 6,465 | 6,465 | |
Series 2015 XF0150, 1.61% 10/7/19 (Liquidity Facility Bank of America NA) (a)(c)(d) | 3,655 | 3,655 | |
Series Floaters XF 25 27, 1.61% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 2,875 | 2,875 | |
Washington State Motor Vehicle Fuel Tax Auth. Gen. Oblig. Participating VRDN Series XL 00 39, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 2,530 | 2,530 | |
174,080 | |||
Wisconsin - 0.8% | |||
Agnesian Healthcare Participating VRDN Series Floaters XF 24 83, 1.62% 10/7/19 (Liquidity Facility Barclays Bank PLC) (a)(c)(d) | 4,215 | 4,215 | |
Milwaukee Metropolitan Swr. District Bonds Series Solar 0036, 1.7%, tender 12/12/19 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(c)(d) | 700 | 700 | |
Wisconsin Gen. Oblig. Participating VRDN Series Clipper 09 36, 1.62% 10/7/19 (Liquidity Facility State Street Bank & Trust Co., Boston) (a)(c)(d) | 4,955 | 4,955 | |
Wisconsin Health & Edl. Facilities Participating VRDN: | |||
Series Floaters XF 06 14, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 4,810 | 4,810 | |
Series Floaters XF 07 41, 1.61% 10/7/19 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(d) | 4,100 | 4,100 | |
Series Floaters XF 24 18, 1.61% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 5,000 | 5,000 | |
Series Floaters XF 25 41, 1.61% 10/7/19 (Liquidity Facility Citibank NA) (a)(c)(d) | 6,600 | 6,600 | |
Series Floaters XG 02 40, 1.62% 10/7/19 (Liquidity Facility Bank of America NA) (a)(c)(d) | 1,870 | 1,870 | |
Series Floaters ZF 26 36, 1.61% 10/7/19 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(d) | 4,800 | 4,800 | |
Series XM 04 79, 1.61% 10/7/19 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(d) | 4,500 | 4,500 | |
Wisconsin Health & Edl. Facilities Auth. Rev. Participating VRDN Series Floaters 3184, 1.61% 10/7/19 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(d) | 7,260 | 7,260 | |
Wisconsin Hsg. & Econ. Dev. Auth. Participating VRDN Series Floaters YX 26 90, 1.61% 10/7/19 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(d) | 4,465 | 4,465 | |
53,275 | |||
TOTAL TENDER OPTION BOND | |||
(Cost $3,331,783) | 3,331,783 | ||
Other Municipal Security - 12.4% | |||
Alabama - 0.1% | |||
Huntsville Health Care Auth. Rev. Series 2019, 1.42% 10/9/19, CP | 9,000 | 9,000 | |
California - 0.1% | |||
California Statewide Cmntys. Dev. Auth. Gas Supply Rev. Bonds: | |||
Series 2010 A, SIFMA Municipal Swap Index + 0.100% 1.68%, tender 1/2/20 (Liquidity Facility Royal Bank of Canada) (a)(f) | 5,670 | 5,670 | |
Series 2010 B, SIFMA Municipal Swap Index + 0.100% 1.68%, tender 1/2/20 (Liquidity Facility Royal Bank of Canada) (a)(f) | 2,410 | 2,410 | |
8,080 | |||
Colorado - 0.0% | |||
Colorado Gen. Fdg. Rev. TRAN Series 2019, 5% 6/26/20 | 340 | 349 | |
Connecticut - 0.5% | |||
Connecticut Gen. Oblig. Bonds: | |||
Series 2012 A, 2.83% 4/15/20 (a)(f) | 2,200 | 2,212 | |
Series 2012 C, 5% 6/1/20 | 2,790 | 2,859 | |
Series 2013 A, 5% 10/15/19 | 4,100 | 4,105 | |
Series 2014 H, 5% 11/15/19 | 1,100 | 1,104 | |
Series 2017 A, 5% 4/15/20 | 2,775 | 2,830 | |
Connecticut Spl. Tax Oblig. Trans. Infrastructure Rev. Bonds: | |||
Series 2010 A, 5% 11/1/19 | 1,000 | 1,003 | |
Series 2013 A, 5% 10/1/19 | 2,100 | 2,100 | |
Series 2018 A, 5% 1/1/20 | 1,425 | 1,436 | |
Series 2018 B, 5% 10/1/19 | 8,500 | 8,500 | |
Hbr. Point Infra Impt. District Bonds Series 2010 A, 7.875% 4/1/20 (Pre-Refunded to 4/1/20 @ 100) | 905 | 934 | |
Milford Gen. Oblig. BAN Series 2018, 3% 11/4/19 | 4,980 | 4,984 | |
North Haven Gen. Oblig. BAN Series 2018, 3% 11/7/19 | 5,400 | 5,405 | |
37,472 | |||
Florida - 1.3% | |||
Miami-Dade County School District TAN Series 2019: | |||
2% 2/27/20 | 11,300 | 11,328 | |
3% 2/27/20 | 20,000 | 20,136 | |
Palm Beach County School District TAN Series 2019, 2.25% 8/28/20 (g) | 45,700 | 46,087 | |
Polk County Indl. Dev. Auth. Health Sys. Rev. Bonds: | |||
Series 2014 A, SIFMA Municipal Swap Index + 0.300% 1.88%, tender 4/27/20 (a)(f) | 1,000 | 1,000 | |
Series 2014 A1, SIFMA Municipal Swap Index + 0.250% 1.83%, tender 4/27/20 (a)(f) | 3,800 | 3,800 | |
Tampa Health Sys. Rev. Bonds Series 2012 B, SIFMA Municipal Swap Index + 0.300% 1.88%, tender 4/27/20 (a)(f) | 5,300 | 5,300 | |
87,651 | |||
Georgia - 0.5% | |||
Atlanta Arpt. Rev. Series K1, 1.45% 10/1/19, LOC PNC Bank NA, CP | 4,409 | 4,409 | |
Main Street Natural Gas, Inc. Georgia Gas Proj. Rev. Bonds: | |||
Series 2010 A1, SIFMA Municipal Swap Index + 0.100% 1.68%, tender 10/1/19 (Liquidity Facility Royal Bank of Canada) (a)(f) | 19,465 | 19,465 | |
Series 2010 A2, SIFMA Municipal Swap Index + 0.100% 1.68%, tender 12/2/19 (Liquidity Facility Royal Bank of Canada) (a)(f) | 10,855 | 10,855 | |
34,729 | |||
Illinois - 0.5% | |||
Illinois Fin. Auth. Ed. Rev. Series 2019, 1.43% 10/17/19, LOC PNC Bank NA, CP | 20,440 | 20,440 | |
Illinois Fin. Auth. Rev. Bonds: | |||
(Advocate Health Care Network Proj.) Series 2011 B, SIFMA Municipal Swap Index + 0.300% 1.88%, tender 4/27/20 (a)(f) | 600 | 600 | |
Series 2012 H, 1.43% tender 10/24/19, CP mode | 13,900 | 13,900 | |
34,940 | |||
Kansas - 0.0% | |||
Wichita Gen. Oblig. BAN Series 2019 296, 3% 10/15/19 | 1,150 | 1,151 | |
Kentucky - 1.4% | |||
Jefferson County Poll. Cont. Rev. Bonds Series 2001 A, 1.46% tender 10/9/19, CP mode | 9,700 | 9,700 | |
Kentucky Asset/Liability Commission Gen. Fund Rev. TRAN Series 2019 A, 3% 6/25/20 | 84,700 | 85,678 | |
95,378 | |||
Massachusetts - 0.6% | |||
Massachusetts Indl. Fin. Agcy. Poll. Cont. Rev. Bonds Series 1992, 1.4% tender 10/24/19, CP mode | 13,270 | 13,270 | |
Somerville Gen. Oblig. BAN Series A, 2.25% 6/5/20 | 25,751 | 25,878 | |
39,148 | |||
Michigan - 0.0% | |||
Kent Hosp. Fin. Auth. Hosp. Facilities Rev. Bonds (Spectrum Health Sys. Proj.) Series 2015 A, SIFMA Municipal Swap Index + 0.250% 1.83%, tender 4/27/20 (a)(f) | 500 | 500 | |
Michigan Hosp. Fin. Auth. Rev. Bonds Series 2010 F4, 1.95%, tender 4/1/20 (a) | 1,285 | 1,289 | |
1,789 | |||
Montana - 0.2% | |||
Montana Board of Invt. Bonds: | |||
(INTERCAP Revolving Prog.) Series 2010, 1.87%, tender 3/2/20 (a) | 6,335 | 6,335 | |
Series 2007, 1.87%, tender 3/2/20 (a) | 6,165 | 6,165 | |
12,500 | |||
Nebraska - 0.2% | |||
Central Plains Energy Proj. Bonds Series 2014, 5%, tender 12/1/19 (Liquidity Facility Royal Bank of Canada) (a) | 1,475 | 1,484 | |
Omaha Pub. Pwr. District Elec. Rev. Series A, 1.4% 11/13/19, CP | 9,800 | 9,800 | |
11,284 | |||
New Hampshire - 0.4% | |||
New Hampshire Bus. Fin. Auth. Poll. Cont. Rev. Bonds Series 1990 B: | |||
1.44% tender 10/30/19, CP mode | 23,600 | 23,600 | |
1.47% tender 10/17/19, CP mode | 2,900 | 2,900 | |
26,500 | |||
New Jersey - 0.8% | |||
Bergen County Gen. Oblig. BAN Series 2018 B, 3.25% 12/12/19 | 26,300 | 26,366 | |
Burlington County Bridge Commission Lease Rev. BAN (Governmental Leasing Prog.) Series 2018 1, 3.25% 11/26/19 | 3,600 | 3,606 | |
Camden County BAN Series 2018 A, 3% 10/23/19 | 5,196 | 5,199 | |
Hudson County Impt. Auth. Rev. BAN Series 2019 C, 2.5% 9/18/20 (Hudson County Gen. Oblig. Guaranteed) | 1,400 | 1,414 | |
Montgomery Township Gen. Oblig. BAN Series 2019, 2% 8/28/20 | 2,900 | 2,919 | |
New Jersey Econ. Dev. Auth. Rev. Bonds Series 2011 EE, 5% 9/1/20 (Escrowed to Maturity) | 3,570 | 3,689 | |
Ocean City Gen. Oblig. Bonds Series 2019, 4% 9/15/20 (g) | 3,690 | 3,779 | |
Wayne Township Wtr. Util. BAN Series 2019, 2.5% 6/24/20 | 7,700 | 7,756 | |
54,728 | |||
Ohio - 0.2% | |||
American Muni. Pwr. BAN Series 2018, 3% 12/5/19 (Ohio Gen. Oblig. Guaranteed) | 1,435 | 1,437 | |
Belmont County BAN Series 2019, 2% 8/27/20 | 1,505 | 1,514 | |
Fairfield County Gen. Oblig. BAN Series 2018, 3% 4/29/20 | 2,000 | 2,013 | |
Hudson City Gen. Oblig. BAN Series 2018, 3.5% 12/19/19 | 2,100 | 2,106 | |
Lake County Gen. Oblig. BAN Series 2019, 3% 1/16/20 | 3,000 | 3,008 | |
Mayfield Heights Gen. Oblig. BAN Series 2019, 3% 4/2/20 (Ohio Gen. Oblig. Guaranteed) | 1,600 | 1,609 | |
Newark Gen. Oblig. BAN Series 2019, 2.25% 10/1/20 (g) | 1,000 | 1,007 | |
Union Township Clermont County Gen. Oblig. BAN Series 2019, 2.25% 9/2/20 (Ohio Gen. Oblig. Guaranteed) | 2,000 | 2,016 | |
14,710 | |||
Oklahoma - 0.1% | |||
Oklahoma City Wtr. Utils. Trust Wtr. and Swr. Rev. Series A, 1.55% 10/3/19 (Liquidity Facility State Street Bank & Trust Co., Boston), CP | 4,800 | 4,800 | |
Oklahoma Dev. Fin. Auth. Health Sys. Rev. Bonds Series 2015 B, SIFMA Municipal Swap Index + 0.350% 1.93%, tender 4/27/20 (a)(f) | 1,590 | 1,590 | |
6,390 | |||
Pennsylvania - 0.0% | |||
Pennsylvania Econ. Dev. Fing. Auth. Health Sys. Rev. Bonds Series 2009 A, 6.25% 10/15/19 (Pre-Refunded to 10/15/19 @ 100) | 1,035 | 1,037 | |
South Carolina - 0.2% | |||
Charleston County School District BAN Series 2019 A, 2.5% 11/15/19 | 12,035 | 12,049 | |
Tennessee - 1.0% | |||
Metropolitan Govt. Nashville & Davidson County Wtr. & Swr. Sys. Rev.: | |||
Series 2018 A, 1.43% 11/20/19, LOC State Street Bank & Trust Co., Boston, CP | 29,900 | 29,900 | |
Series A: | |||
1.4% 11/13/19, LOC State Street Bank & Trust Co., Boston, CP | 25,000 | 25,000 | |
1.43% 12/4/19, LOC State Street Bank & Trust Co., Boston, CP | 10,000 | 10,000 | |
64,900 | |||
Texas - 3.9% | |||
Austin Elec. Util. Sys. Rev. Series A, 1.72% 10/2/19 (Liquidity Facility JPMorgan Chase Bank), CP | 5,800 | 5,800 | |
Brownsville Util. Sys. Rev. Series A, 1.56% 11/7/19, LOC MUFG Union Bank NA, CP | 2,900 | 2,900 | |
Garland Series 15, 1.52% 12/3/19, LOC Citibank NA, CP | 2,900 | 2,900 | |
Garland Util. Sys. Rev.: | |||
Series 18, 1.48% 12/3/19, LOC Bank of America NA, CP | 3,000 | 3,000 | |
Series 2018, 1.35% 11/1/19, LOC Bank of America NA, CP | 8,100 | 8,100 | |
Harris County Cultural Ed. Facilities Fin. Corp. Rev. Bonds: | |||
(Texas Children's Hosp. Proj.) Series 2015 2, SIFMA Municipal Swap Index + 0.200% 1.78%, tender 4/27/20 (a)(f) | 2,900 | 2,900 | |
Series 2014 B, 2.16%, tender 12/1/19 (a) | 4,900 | 4,901 | |
Harris County Flood District Cont. Ctfs. of Prtn. Series H: | |||
1.37% 11/7/19 (Liquidity Facility JPMorgan Chase Bank), CP | 4,300 | 4,300 | |
1.38% 11/7/19 (Liquidity Facility JPMorgan Chase Bank), CP | 20,560 | 20,560 | |
1.57% 10/10/19 (Liquidity Facility JPMorgan Chase Bank), CP | 2,900 | 2,900 | |
Harris County Metropolitan Trans. Auth.: | |||
Series 2019, 1.68% 10/3/19 (Liquidity Facility JPMorgan Chase Bank), CP | 18,400 | 18,400 | |
Series A1: | |||
1.42% 12/11/19 (Liquidity Facility JPMorgan Chase Bank), CP | 19,950 | 19,950 | |
1.59% 10/24/19 (Liquidity Facility JPMorgan Chase Bank), CP | 10,450 | 10,450 | |
Series A3, 1.41% 10/17/19 (Liquidity Facility State Street Bank & Trust Co., Boston), CP | 13,000 | 13,000 | |
Lower Colorado River Auth. Rev. Series B, 1.5% 10/3/19, LOC State Street Bank & Trust Co., Boston, CP | 6,500 | 6,500 | |
Tarrant County Cultural Ed. Facilities Fin. Corp. Hosp. Rev. Bonds (Baylor Health Care Sys. Proj.): | |||
Series 2011 B, BMA Municipal Swap Index + 0.300% 1.88%, tender 4/27/20 (a)(f) | 8,400 | 8,400 | |
Series 2013 B, SIFMA Municipal Swap Index + 0.300% 1.88%, tender 4/27/20 (a)(f) | 2,400 | 2,400 | |
Texas Gen. Oblig. TRAN Series 2019, 4% 8/27/20 | 114,100 | 116,860 | |
Univ. of Texas Board of Regents Sys. Rev. Series A, 1.48% 11/7/19 (Liquidity Facility Univ. of Texas Invt. Mgmt. Co.), CP | 5,600 | 5,600 | |
Univ. of Texas Permanent Univ. Fund Rev. Series 2019, 1.55% 10/22/19, CP | 3,800 | 3,800 | |
263,621 | |||
Wisconsin - 0.4% | |||
Madison Metropolitan School District TRAN Series 2019, 2.25% 9/4/20 | 27,100 | 27,330 | |
TOTAL OTHER MUNICIPAL SECURITY | |||
(Cost $844,736) | 844,736 | ||
Shares (000s) | Value (000s) | ||
Investment Company - 5.6% | |||
Fidelity Tax-Free Cash Central Fund 1.66% (h)(i) | 382,364 | ||
(Cost $382,398) | 382,398 | ||
TOTAL INVESTMENT IN SECURITIES - 99.2% | |||
(Cost $6,763,778) | 6,763,778 | ||
NET OTHER ASSETS (LIABILITIES) - 0.8% | 57,568 | ||
NET ASSETS - 100% | $6,821,346 |
Security Type Abbreviations
BAN – BOND ANTICIPATION NOTE
CP – COMMERCIAL PAPER
TAN – TAX ANTICIPATION NOTE
TRAN – TAX AND REVENUE ANTICIPATION N
VRDN – VARIABLE RATE DEMAND NOTE (A debt instrument that is payable upon demand, either daily, weekly or monthly)
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.
Legend
(a) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $61,245,000 or 0.9% of net assets.
(c) Provides evidence of ownership in one or more underlying municipal bonds.
(d) Coupon rates are determined by re-marketing agents based on current market conditions.
(e) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $99,700,000 or 1.5% of net assets.
(f) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(g) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(h) Information in this report regarding holdings by state and security types does not reflect the holdings of the Fidelity Tax-Free Cash Central Fund.
(i) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
Additional information on each restricted holding is as follows:
Security | Acquisition Date | Cost (000s) |
Alamo Cmnty. College District Rev. Bonds Series G-111, 1.78%, tender 5/1/20 (Liquidity Facility Royal Bank of Canada) | 9/26/19 | $300 |
Allegheny County Hosp. Dev. Auth. Rev. Bonds Series Floaters E72, 1.75%, tender 12/2/19 (Liquidity Facility Royal Bank of Canada) | 6/1/16 - 1/19/18 | $11,600 |
Baltimore Proj. Rev. Bonds Series Floaters G 28, 1.78%, tender 1/2/20 (Liquidity Facility Royal Bank of Canada) | 7/12/18 | $1,000 |
Berks County Muni. Auth. Rev. Participating VRDN Series Floaters 001, 1.73% 11/12/19 (Liquidity Facility Barclays Bank PLC) | 1/18/18 - 1/18/19 | $4,600 |
Connecticut Gen. Oblig. Participating VRDN Series Floaters 014, 1.73% 11/12/19 (Liquidity Facility Barclays Bank PLC) | 6/29/17 - 11/21/18 | $5,960 |
Connecticut Spl. Tax Oblig. Trans. Infrastructure Rev. Bonds Series Floaters G 110, 1.76%, tender 4/1/20 (Liquidity Facility Royal Bank of Canada) | 5/16/19 | $3,150 |
Dignity Health Participating VRDN Series 17 04, 1.7% 11/12/19 (Liquidity Facility Barclays Bank PLC) | 10/5/17 - 1/18/19 | $2,590 |
Illinois Fin. Auth. Rev. Participating VRDN Series Floaters 017, 1.73% 11/12/19 (Liquidity Facility Barclays Bank PLC) | 8/16/18 - 3/4/19 | $11,820 |
Lehigh County Gen. Purp. Hosp. Rev. Participating VRDN Series Floaters 2019 003, 1.73% 11/12/19 (Liquidity Facility Barclays Bank PLC) | 1/17/19 | $5,020 |
Middletown Hosp. Facilities Rev. Participating VRDN Series Floaters 00 31 44, 1.73% 11/12/19 (Liquidity Facility Barclays Bank PLC) | 9/14/17 - 4/5/19 | $2,175 |
North Texas Tollway Auth. Rev. Bonds Series G-112, 1.78%, tender 1/2/20 (Liquidity Facility Royal Bank of Canada) | 6/6/19 | $2,930 |
Ohio Higher Edl. Facility Commission Rev. Participating VRDN Series 2017, 1.73% 11/12/19 (Liquidity Facility Barclays Bank PLC) | 3/9/17 - 7/13/18 | $2,700 |
Ohio Univ. Gen. Receipts Athens Bonds Series Floaters G 27, 1.78%, tender 12/2/19 (Liquidity Facility Royal Bank of Canada) | 7/12/18 | $900 |
Pennsylvania Higher Edl. Facilities Auth. Rev. Bonds Series 2016 E75, 1.75%, tender 12/2/19 (Liquidity Facility Royal Bank of Canada) | 2/2/18 - 10/9/18 | $3,295 |
Richland County School District #2 Gen. Oblig. Bonds Series 00 10, 1.7%, tender 12/26/19 (Liquidity Facility U.S. Bank NA, Cincinnati) | 9/26/19 | $3,670 |
South Carolina Trans. Infrastructure Bank Rev. Bonds Series Floaters G 109, 1.78%, tender 4/1/20 (Liquidity Facility Royal Bank of Canada) | 5/16/19 | $1,100 |
Suffolk Econ. Dev. Auth. Hosp. Facilities Rev. Bonds Series EGL 17 0005, 1.78%, tender 10/5/19 (Liquidity Facility Citibank NA) | 5/18/17 - 9/7/18 | $35,090 |
Virginia Pub. Bldg. Auth. Pub. Facilities Rev. Bonds Series Floaters G 40, 1.78%, tender 2/3/20 (Liquidity Facility Royal Bank of Canada) | 8/2/18 | $1,800 |
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
Fund | Income earned |
(Amounts in thousands) | |
Fidelity Tax-Free Cash Central Fund | $2,589 |
Total | $2,589 |
Amounts in the income column in the above table exclude any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.
Investment Valuation
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 Investment Valuation section in the accompanying Notes to Financial Statements.
See accompanying notes which are an integral part of the financial statements.
Tax-Exempt Portfolio
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts) | September 30, 2019 (Unaudited) | |
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $6,381,380) | $6,381,380 | |
Fidelity Central Funds (cost $382,398) | 382,398 | |
Total Investment in Securities (cost $6,763,778) | $6,763,778 | |
Cash | 8 | |
Receivable for investments sold | 90,405 | |
Receivable for fund shares sold | 75,082 | |
Interest receivable | 18,866 | |
Distributions receivable from Fidelity Central Funds | 441 | |
Prepaid expenses | 13 | |
Receivable from investment adviser for expense reductions | 207 | |
Other receivables | 62 | |
Total assets | 6,948,862 | |
Liabilities | ||
Payable for investments purchased | ||
Regular delivery | $42,530 | |
Delayed delivery | 50,874 | |
Payable for fund shares redeemed | 31,647 | |
Distributions payable | 1,178 | |
Accrued management fee | 785 | |
Other affiliated payables | 383 | |
Other payables and accrued expenses | 119 | |
Total liabilities | 127,516 | |
Net Assets | $6,821,346 | |
Net Assets consist of: | ||
Paid in capital | $6,820,940 | |
Total accumulated earnings (loss) | 406 | |
Net Assets | $6,821,346 | |
Net Asset Value and Maximum Offering Price | ||
Class I: | ||
Net Asset Value, offering price and redemption price per share ($6,817,125 ÷ 6,815,414 shares) | $1.00 | |
Class II: | ||
Net Asset Value, offering price and redemption price per share ($391 ÷ 391 shares) | $1.00 | |
Class III: | ||
Net Asset Value, offering price and redemption price per share ($1,061 ÷ 1,061 shares) | $1.00 | |
Select Class: | ||
Net Asset Value, offering price and redemption price per share ($2,769 ÷ 2,767 shares) | $1.00 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Amounts in thousands | Six months ended September 30, 2019 (Unaudited) | |
Investment Income | ||
Interest | $52,480 | |
Income from Fidelity Central Funds | 2,589 | |
Total income | 55,069 | |
Expenses | ||
Management fee | $4,807 | |
Transfer agent fees | 2,060 | |
Distribution and service plan fees | 3 | |
Accounting fees and expenses | 287 | |
Custodian fees and expenses | 26 | |
Independent trustees' fees and expenses | 14 | |
Registration fees | 128 | |
Audit | 21 | |
Legal | 3 | |
Miscellaneous | 15 | |
Total expenses before reductions | 7,364 | |
Expense reductions | (1,166) | |
Total expenses after reductions | 6,198 | |
Net investment income (loss) | 48,871 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 321 | |
Fidelity Central Funds | 2 | |
Total net realized gain (loss) | 323 | |
Net increase in net assets resulting from operations | $49,194 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Amounts in thousands | Six months ended September 30, 2019 (Unaudited) | Year ended March 31, 2019 |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $48,871 | $87,710 |
Net realized gain (loss) | 323 | 197 |
Net increase in net assets resulting from operations | 49,194 | 87,907 |
Distributions to shareholders | (48,861) | (87,704) |
Share transactions - net increase (decrease) | (304,208) | 2,632,164 |
Total increase (decrease) in net assets | (303,875) | 2,632,367 |
Net Assets | ||
Beginning of period | 7,125,221 | 4,492,854 |
End of period | $6,821,346 | $7,125,221 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Tax-Exempt Portfolio Class I
Six months ended (Unaudited) September 30, | Years endedMarch 31, | |||||
2019 | 2019 | 2018 | 2017 | 2016 | 2015 | |
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) | .007 | .014 | .008 | .004 | –A | –A |
Net realized and unrealized gain (loss) | –A | –A | –A | .001 | .001 | –A |
Total from investment operations | .007 | .014 | .008 | .005 | .001 | –A |
Distributions from net investment income | (.007) | (.014) | (.008) | (.004) | –A | –A |
Distributions from net realized gain | – | – | – | (.001) | (.001) | –A |
Total distributions | (.007) | (.014) | (.008) | (.005) | (.001) | –A |
Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total ReturnB,C | .71% | 1.40% | .84% | .50% | .08% | .03% |
Ratios to Average Net AssetsD,E | ||||||
Expenses before reductions | .21%F | .22% | .22% | .22% | .22% | .22% |
Expenses net of fee waivers, if any | .18%F | .18% | .18% | .18% | .05% | .06% |
Expenses net of all reductions | .18%F | .18% | .18% | .18% | .05% | .06% |
Net investment income (loss) | 1.42%F | 1.40% | .86% | .44% | .01% | .01% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $6,817 | $7,113 | $4,488 | $2,262 | $1,429 | $2,166 |
A Amount represents less than $.0005 per share.
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 Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
E Expense ratios reflect operating expenses of the class. 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 class 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 class.
F Annualized
See accompanying notes which are an integral part of the financial statements.
Tax-Exempt Portfolio Class II
Six months ended (Unaudited) September 30, | Years endedMarch 31, | |||||
2019 | 2019 | 2018 | 2017 | 2016 | 2015 | |
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) | .006 | .012 | .007 | .003 | –A | –A |
Net realized and unrealized gain (loss) | –A | –A | –A | –A | .001 | –A |
Total from investment operations | .006 | .012 | .007 | .003 | .001 | –A |
Distributions from net investment income | (.006) | (.012) | (.007) | (.003) | –A | –A |
Distributions from net realized gain | – | – | – | (.001) | (.001) | –A |
Total distributions | (.006) | (.012) | (.007) | (.003)B | (.001) | –A |
Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total ReturnC,D | .64% | 1.24% | .69% | .35% | .08% | .03% |
Ratios to Average Net AssetsE,F | ||||||
Expenses before reductions | .37%G | .36% | .37% | .37% | .37% | .37% |
Expenses net of fee waivers, if any | .33%G | .33% | .33% | .33% | .06% | .06% |
Expenses net of all reductions | .33%G | .33% | .33% | .33% | .05% | .06% |
Net investment income (loss) | 1.27%G | 1.25% | .71% | .29% | .01% | .01% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $–H | $–H | $–H | $–H | $1 | $12 |
A Amount represents less than $.0005 per share.
B Total distributions of $.003 per share is comprised of distributions from net investment income of $.0027 and distributions from net realized gain of $.0007 per share.
C Total returns for periods of less than one year are not annualized.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Expense ratios reflect operating expenses of the class. 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 class 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 class.
G Annualized
H Amount represents less than $500,000.
See accompanying notes which are an integral part of the financial statements.
Tax-Exempt Portfolio Class III
Six months ended (Unaudited) September 30, | Years endedMarch 31, | |||||
2019 | 2019 | 2018 | 2017 | 2016 | 2015 | |
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) | .006 | .011 | .006 | .002 | –A | –A |
Net realized and unrealized gain (loss) | –A | –A | –A | .001 | .001 | –A |
Total from investment operations | .006 | .011 | .006 | .003 | .001 | –A |
Distributions from net investment income | (.006) | (.011) | (.006) | (.002) | –A | –A |
Distributions from net realized gain | – | – | – | (.001) | (.001) | –A |
Total distributions | (.006) | (.011) | (.006) | (.003) | (.001) | –A |
Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total ReturnB,C | .59% | 1.14% | .59% | .25% | .08% | .03% |
Ratios to Average Net AssetsD,E | ||||||
Expenses before reductions | .46%F | .46% | .46% | .47% | .47% | .47% |
Expenses net of fee waivers, if any | .43%F | .43% | .43% | .39% | .06% | .06% |
Expenses net of all reductions | .43%F | .43% | .43% | .39% | .06% | .06% |
Net investment income (loss) | 1.17%F | 1.15% | .61% | .23% | .01% | .01% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $1 | $2 | $3 | $5 | $215 | $285 |
A Amount represents less than $.0005 per share.
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 Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
E Expense ratios reflect operating expenses of the class. 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 class 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 class.
F Annualized
See accompanying notes which are an integral part of the financial statements.
Tax-Exempt Portfolio Select Class
Six months ended (Unaudited) September 30, | Years endedMarch 31, | |||||
2019 | 2019 | 2018 | 2017 | 2016 | 2015 | |
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) | .007 | .013 | .008 | .004 | –A | –A |
Net realized and unrealized gain (loss) | –A | –A | –A | –A | .001 | –A |
Total from investment operations | .007 | .013 | .008 | .004 | .001 | –A |
Distributions from net investment income | (.007) | (.013) | (.008) | (.004) | –A | –A |
Distributions from net realized gain | – | – | – | (.001) | (.001) | –A |
Total distributions | (.007) | (.013) | (.008) | (.004)B | (.001) | –A |
Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total ReturnC,D | .69% | 1.35% | .79% | .44% | .08% | .03% |
Ratios to Average Net AssetsE,F | ||||||
Expenses before reductions | .27%G | .27% | .27% | .27% | .27% | .27% |
Expenses net of fee waivers, if any | .23%G | .23% | .23% | .23% | .06% | .06% |
Expenses net of all reductions | .23%G | .23% | .23% | .23% | .06% | .06% |
Net investment income (loss) | 1.37%G | 1.35% | .81% | .39% | .01% | .01% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $3 | $10 | $1 | $–H | $4 | $4 |
A Amount represents less than $.0005 per share.
B Total distributions of $.004 per share is comprised of distributions from net investment income of $.0037 and distributions from net realized gain of $.0007 per share.
C Total returns for periods of less than one year are not annualized.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Expense ratios reflect operating expenses of the class. 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 class 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 class.
G Annualized
H Amount represents less than $500,000.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements (Unaudited)
For the period ended September 30, 2019
(Amounts in thousands except percentages)
1. Organization.
Treasury Only Portfolio, Treasury Portfolio, Government Portfolio, Money Market Portfolio, Prime Money Market Portfolio, Prime Reserves Portfolio and Tax-Exempt Portfolio (the Funds) are funds of Fidelity Colchester Street Trust (the Trust). Each Fund 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. Each Fund offers Class I, Class II, Class III and Select Class shares. Prime Money Market Portfolio, Treasury Only Portfolio and Treasury Portfolio also offer Class IV and Institutional Class shares. Government Portfolio, Money Market Portfolio and Prime Reserves Portfolio also offer Institutional Class shares. Shares of Money Market Portfolio and Tax-Exempt Portfolio are only available for purchase by retail shareholders. All classes have equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Each Fund except for Tax-Exempt Portfolio offers conversion privileges from Class I to Institutional Class for eligible shareholders.
In accordance with amendments to Rule 2a-7 of the 1940 Act, Prime Money Market Portfolio and Prime Reserves Portfolio (the Institutional Funds) have each been designated an institutional money market fund, and the value of their shares are calculated to four decimal places that fluctuates based upon changes in the value of their investments.
2. Investments in Fidelity Central Funds.
The Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Funds' Schedules of Investments list each of the Fidelity Central Funds held as of period end, if any, as an investment of each Fund, but do not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, each Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date ranged from less than .005% to .01%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC website or upon request.
3. Significant Accounting Policies.
Each Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investments Companies. 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 Funds:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of each Institutional Fund's investments to the Fair Value Committee (the Committee) established by the Institutional Funds' investment adviser. In accordance with valuation policies and procedures approved by the Board, each Institutional Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Institutional Funds' valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing each Institutional Fund's investments and ratifies the fair value determinations of the Committee.
Each 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)
Valuation techniques used to value each Institutional Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Municipal securities, U.S. government and government agency obligations, commercial paper, certificates of deposit, master notes and other short-term securities are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
For Treasury Only Portfolio, Treasury Portfolio, Government Portfolio, Money Market Portfolio and Tax-Exempt Portfolio 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, including the Funds' investment activity in the Fidelity Central Funds, are accounted for as of trade date. Gains and losses on securities sold are determined on the basis of identified cost. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations.
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of each Fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of each Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. 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), certain independent Trustees have elected 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 each Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in each accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, respectively.
Treasury Portfolio | $239 |
Government Portfolio | 826 |
Money Market Portfolio | 903 |
Prime Money Market Portfolio | 423 |
Tax-Exempt Portfolio | 60 |
Income Tax Information and Distributions to Shareholders. Each year, each 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 U.S. Federal income taxes is required. Each Fund files a U.S. federal tax return, in addition to state and local tax returns as required. Each 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.
Distributions 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 declared separately for each class. 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. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to deferred trustees compensation, capital loss carryforwards, losses deferred due to wash sales and excise tax regulations.
The Tax-Exempt Portfolio 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.
As of period end, the cost and unrealized appreciation (depreciation) in securities for federal income tax purposes were as follows for each Fund:
Tax cost | Gross unrealized appreciation | Gross unrealized depreciation | Net unrealized appreciation (depreciation) | |
Treasury Only Portfolio | $25,791,748 | $– | $– | $– |
Treasury Portfolio | 29,167,247 | – | – | – |
Government Portfolio | 132,322,843 | – | – | – |
Money Market Portfolio | 68,540,776 | – | – | – |
Prime Money Market Portfolio | 8,788,667 | 510 | (223) | 287 |
Prime Reserves Portfolio | 8,810,258 | 539 | (230) | 309 |
Tax-Exempt Portfolio | 6,763,778 | – | – | – |
Capital loss carryforwards are only available to offset future capital gains of the Funds to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Funds are 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. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.
No expiration | |
Short-term | |
Government Portfolio | $(166) |
Repurchase Agreements. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission (the SEC), the Funds along with other registered investment companies having management contracts with Fidelity Management and Research Company (FMR), an affiliate of SelectCo, or other affiliated entities of FMR, are permitted to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Funds may also invest directly with institutions in repurchase agreements. For Treasury Only Portfolio, Treasury Portfolio and Government Portfolio, repurchase agreements may be collateralized by cash or government securities. For Prime Money Market Portfolio, Money Market Portfolio, Prime Reserves Portfolio and Tax-Exempt Portfolio, repurchase agreements may be collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. Each applicable 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 their yield, the Funds may enter into reverse repurchase transactions under master repurchase agreements whereby the Fund sells securities to a counterparty in return for cash and agrees to repurchase those securities at a future date and agreed upon price. During the period that reverse repurchase transactions are outstanding, each applicable fund identifies the securities as pledged in its records with an initial value at least equal to its principal obligation under the agreement. The cash proceeds received by the Funds may be invested in other securities. To the extent cash proceeds received from the counterparty exceed the value of the securities sold, the counterparty may request additional collateral from the Fund. If the counterparty defaults on its obligation, because of insolvency or other reasons, the Fund could experience delays and costs in recovering the securities sold. Information regarding securities sold under a reverse repurchase agreement, if any, is included at the end of each applicable Fund's Schedule of Investments and the cash proceeds are recorded as a liability in each applicable fund's accompanying Statement of Assets and Liabilities. The Fund continues to receive interest and dividend payments on the securities sold during the term of the reverse repurchase agreement. At period end, there were no reverse repurchase agreements outstanding. During the period, the average principal balance of reverse repurchase transactions and the weighted average interest rate with payments included in the Statement of Operations as a component of interest expense is as follows:
Average Loan Balance | Weighted Average Interest Rate | |
Money Market Portfolio | $77,133 | 2.10% |
Prime Reserves Portfolio | 13,543 | 1.94% |
Delayed Delivery Transactions and When-Issued Securities. During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The securities purchased on a delayed delivery or when-issued basis are identified as such in each applicable Fund's Schedule of Investments. Certain Funds may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Restricted Securities. The Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of each applicable Fund's Schedule of Investments.
4. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company (the investment adviser) and its affiliates provide the Funds with investment management related services for which the Funds pay a monthly management fee that is based on an annual rate of .14% of average net assets.
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Funds have adopted separate Distribution and Service Plans for each class of shares. Class II, Class III and Select Class of each Fund pays Fidelity Distributors Corporation (FDC), an affiliate of the investment adviser, a Service fee based on an annual percentage of each class' average net assets. Class IV of Treasury Only Portfolio, Treasury Portfolio and Prime Money Market Portfolio pays FDC separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. FDC may pay financial intermediaries for selling shares of the Funds and providing shareholder support services. For the period, the Distribution and Service fee rates, total fees and amounts retained by FDC were as follows:
Distribution Fee | Service Fee | |
Class II | .00% | .15% |
Class III | .00% | .25% |
Class IV | .25% | .25% |
Select Class | .00% | .05% |
Total Fees | Retained by FDC | |
Treasury Only Portfolio: | ||
Class II | $455 | $– |
Class III | 1,132 | – |
Class IV | 268 | –(a) |
Select Class | 69 | 3 |
$1,924 | $3 | |
Treasury Portfolio: | ||
Class II | $515 | $– |
Class III | 3,101 | – |
Class IV | 2,921 | – |
Select Class | 60 | – |
$6,597 | $– | |
Government Portfolio: | ||
Class II | $607 | $– |
Class III | 3,829 | – |
Select Class | 94 | 1 |
$4,530 | $1 | |
Money Market Portfolio: | ||
Class II | $353 | $– |
Class III | 38 | – |
Select Class | 9 | 1 |
$400 | $1 | |
Prime Money Market Portfolio: | ||
Class II | $9 | $– |
Class III | 17 | –(a) |
Class IV | –(a) | –(a) |
Select Class | 3 | –(a) |
$29 | $–(a) | |
Prime Reserves Portfolio: | ||
Class II | $9 | $1 |
Class III | 2 | 2 |
Select Class | 1 | 1 |
$12 | $4 | |
Tax-Exempt Portfolio: | ||
Class II | $–(a) | $–(a) |
Class III | 2 | – |
Select Class | 1 | 1 |
$3 | $1 |
(a) In the amount of less than five hundred dollars.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for the Funds. FIIOC receives asset-based fees with respect to each account. FIIOC pays for typesetting, printing and mailing of all shareholder reports, except proxy statements. Each class, with the exception of Institutional Class, pays a transfer agent fee equal to an annual rate of .06% of class-level average net assets. Institutional Class pays a transfer agent fee equal to an annual rate of .03% of class-level average net assets. For the period, transfer agent fees for each class were as follows:
Treasury Only Portfolio | |
Class I | $2,234 |
Class II | 182 |
Class III | 272 |
Class IV | 32 |
Select Class | 82 |
Institutional Class | 1,981 |
$4,783 | |
Treasury Portfolio | |
Class I | $3,076 |
Class II | 206 |
Class III | 744 |
Class IV | 350 |
Select Class | 73 |
Institutional Class | 1,972 |
$6,421 | |
Government Portfolio | |
Class I | $9,599 |
Class II | 243 |
Class III | 919 |
Select Class | 113 |
Institutional Class | 12,202 |
$23,076 | |
Money Market Portfolio | |
Class I | $7,080 |
Class II | 141 |
Class III | 9 |
Select Class | 11 |
Institutional Class | 5,589 |
$12,830 | |
Prime Money Market Portfolio | |
Class I | $163 |
Class II | 4 |
Class III | 4 |
Class IV | –(a) |
Select Class | 4 |
Institutional Class | 1,309 |
$1,484 | |
Prime Reserves Portfolio | |
Class I | $1,066 |
Class II | 4 |
Class III | –(a) |
Select Class | 1 |
Institutional Class | 649 |
$1,720 | |
Tax-Exempt Portfolio | |
Class I | $2,059 |
Class II | –(a) |
Class III | –(a) |
Select Class | 1 |
$2,060 |
(a) In the amount of less than five hundred dollars.
Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains each Fund's accounting records. The fee is based on the level of average net assets for each month. For the period, the fees were equivalent to the following annualized rates:
% of Average Net Assets | |
Treasury Only Portfolio | .01 |
Treasury Portfolio | .01 |
Government Portfolio | –(a) |
Money Market Portfolio | –(a) |
Prime Money Market Portfolio | .01 |
Prime Reserves Portfolio | .01 |
Tax-Exempt Portfolio | .01 |
(a) Amount represents less than .005%.
Interfund Lending Program. Pursuant to an Exemptive Order issued by the SEC, the Funds, along with other registered investment companies having management contracts with Fidelity Management & Research Company (FMR) or other affiliated entities of 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. At period end, there were no interfund loans outstanding. Each applicable fund's activity in this program during the period for which loans were outstanding was as follows:
Average Loan Balance | Weighted Average Interest Rate | ||
Money Market Portfolio | Lender | $60,325 | 2.38% |
Prime Reserves Portfolio | Lender | 10,897 | 2.58% |
Interfund Trades. The Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act.
Other. During the period, the investment adviser reimbursed the Funds for certain losses as follows:
Amount | |
Government Portfolio | $4 |
5. Expense Reductions.
The investment adviser contractually agreed to reimburse funds to the extent annual operating expenses exceeded certain levels of average net assets as noted in the table below. This reimbursement will remain in place through July 31, 2020. Some expenses, for example the compensation of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement.
The following classes of each applicable Fund were in reimbursement during the period:
Expense Limitations | Reimbursement | |
Treasury Only Portfolio | ||
Class I | .18% | $1,187 |
Class II | .33% | 96 |
Class III | .43% | 145 |
Class IV | .68% | 18 |
Select Class | .23% | 45 |
Institutional Class | .14% | 2,764 |
Treasury Portfolio | ||
Class I | .18% | $1,550 |
Class II | .33% | 104 |
Class III | .43% | 374 |
Class IV | .68% | 173 |
Select Class | .23% | 36 |
Institutional Class | .14% | 2,649 |
Government Portfolio | ||
Class I | .18% | $4,877 |
Class II | .33% | 119 |
Class III | .43% | 466 |
Select Class | .23% | 57 |
Institutional Class | .14% | 16,385 |
Money Market Portfolio | ||
Class I | .18% | $3,458 |
Class II | .33% | 69 |
Class III | .43% | 4 |
Select Class | .23% | 5 |
Institutional Class | .14% | 7,332 |
Prime Money Market Portfolio | ||
Class I | .18% | $88 |
Class II | .33% | 2 |
Class III | .43% | 2 |
Class IV | .68% | –(a) |
Select Class | .23% | 2 |
Institutional Class | .14% | 1,845 |
Prime Reserves Portfolio | ||
Class I | .18% | $797 |
Class II | .33% | 3 |
Class III | .43% | –(a) |
Select Class | .23% | 1 |
Institutional Class | .14% | 1,188 |
Tax-Exempt Portfolio | ||
Class I | .18% | $1,163 |
Class II | .33% | –(a) |
Class III | .43% | –(a) |
Select Class | .23% | 1 |
(a) In the amount of less than five hundred dollars.
In addition, through arrangements with each applicable Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce each applicable Fund's or class' expenses. All of the applicable expense reductions are noted in the table below.
Custodian credits | |
Treasury Only Portfolio | $3 |
Treasury Portfolio | 13 |
Government Portfolio | 3 |
Tax-Exempt Portfolio | 2 |
6. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended September 30, 2019 | Year ended March 31, 2019 | |
Treasury Only Portfolio | ||
Distributions to shareholders | ||
Class I | $78,755 | $143,374 |
Class II | 5,966 | 7,351 |
Class III | 8,527 | 16,970 |
Class IV | 893 | 1,785 |
Select Class | 2,779 | 2,748 |
Institutional Class | 142,507 | 167,163 |
Total | $239,427 | $339,391 |
Treasury Portfolio | ||
Distributions to shareholders | ||
Class I | $111,879 | $187,753 |
Class II | 6,945 | 7,941 |
Class III | 23,988 | 44,799 |
Class IV | 9,833 | 14,278 |
Select Class | 2,581 | 4,465 |
Institutional Class | 145,170 | 198,636 |
Total | $300,396 | $457,872 |
Government Portfolio | ||
Distributions to shareholders | ||
Class I | $347,892 | $628,979 |
Class II | 8,221 | 15,863 |
Class III | 29,689 | 55,962 |
Select Class | 3,951 | 10,424 |
Institutional Class | 903,260 | 1,473,967 |
Total | $1,293,013 | $2,185,195 |
Money Market Portfolio | ||
Distributions to shareholders | ||
Class I | $272,956 | $366,046 |
Class II | 5,098 | 4,372 |
Class III | 317 | 3,201 |
Select Class | 394 | 302 |
Institutional Class | 437,777 | 536,313 |
Total | $716,542 | $910,234 |
Prime Money Market Portfolio | ||
Distributions to shareholders | ||
Class I | $6,285 | $17,365 |
Class II | 125 | 347 |
Class III | 137 | 191 |
Class IV | – | –(a) |
Select Class | 146 | 418 |
Institutional Class | 101,928 | 211,549 |
Total | $108,621 | $229,870 |
Prime Reserves Portfolio | ||
Distributions to shareholders | ||
Class I | $40,938 | $57,391 |
Class II | 136 | 116 |
Class III | 15 | 46 |
Select Class | 30 | 132 |
Institutional Class | 50,719 | 74,138 |
Total | $91,838 | $131,823 |
Tax-Exempt Portfolio | ||
Distributions to shareholders | ||
Class I | $48,822 | $87,375 |
Class II | 3 | 7 |
Class III | 8 | 40 |
Select Class | 28 | 282 |
Total | $48,861 | $87,704 |
(a) In the amount of less than five hundred dollars.
7. Share Transactions.
Share Transactions may contain automatic conversions between classes or exchanges between affiliated funds:
Shares | Shares | Dollars | Dollars | |
Six months ended September 30, 2019 | Year ended March 31, 2019 | Six months ended September 30, 2019 | Year ended March 31, 2019 | |
Treasury Only Portfolio | ||||
Class I | ||||
Shares sold | 9,132,837 | 16,867,872 | $9,132,837 | $16,867,872 |
Reinvestment of distributions | 40,389 | 81,692 | 40,389 | 81,692 |
Shares redeemed | (8,058,954) | (16,892,500) | (8,058,954) | (16,892,500) |
Net increase (decrease) | 1,114,272 | 57,064 | $1,114,272 | $57,064 |
Class II | ||||
Shares sold | 686,587 | 1,124,688 | $686,587 | $1,124,688 |
Reinvestment of distributions | 679 | 1,083 | 679 | 1,083 |
Shares redeemed | (597,443) | (862,345) | (597,443) | (862,345) |
Net increase (decrease) | 89,823 | 263,426 | $89,823 | $263,426 |
Class III | ||||
Shares sold | 1,968,355 | 4,277,368 | $1,968,355 | $4,277,368 |
Reinvestment of distributions | 3,403 | 7,234 | 3,403 | 7,234 |
Shares redeemed | (2,119,738) | (4,169,447) | (2,119,738) | (4,169,447) |
Net increase (decrease) | (147,980) | 115,155 | $(147,980) | $115,155 |
Class IV | ||||
Shares sold | 108,836 | 384,846 | $108,836 | $384,846 |
Reinvestment of distributions | 893 | 1,785 | 893 | 1,785 |
Shares redeemed | (202,811) | (347,070) | (202,811) | (347,070) |
Net increase (decrease) | (93,082) | 39,561 | $(93,082) | $39,561 |
Select Class | ||||
Shares sold | 1,506,296 | 1,198,584 | $1,506,296 | $1,198,584 |
Reinvestment of distributions | 1,318 | 1,346 | 1,318 | 1,346 |
Shares redeemed | (1,429,703) | (1,144,783) | (1,429,703) | (1,144,783) |
Net increase (decrease) | 77,911 | 55,147 | $77,911 | $55,147 |
Institutional Class | ||||
Shares sold | 13,132,622 | 22,039,510 | $13,132,622 | $22,039,510 |
Reinvestment of distributions | 103,827 | 108,627 | 103,827 | 108,627 |
Shares redeemed | (10,570,743) | (17,005,503) | (10,570,743) | (17,005,503) |
Net increase (decrease) | 2,665,706 | 5,142,634 | $2,665,706 | $5,142,634 |
Treasury Portfolio | ||||
Class I | ||||
Shares sold | 31,218,396 | 59,788,639 | $31,218,395 | $59,788,640 |
Reinvestment of distributions | 29,453 | 67,559 | 29,453 | 67,559 |
Shares redeemed | (32,438,223) | (58,238,210) | (32,438,223) | (58,238,210) |
Net increase (decrease) | (1,190,374) | 1,617,988 | $(1,190,375) | $1,617,989 |
Class II | ||||
Shares sold | 1,076,830 | 2,324,146 | $1,076,830 | $2,324,146 |
Reinvestment of distributions | 2,327 | 1,169 | 2,327 | 1,169 |
Shares redeemed | (937,089) | (1,782,931) | (937,089) | (1,782,931) |
Net increase (decrease) | 142,068 | 542,384 | $142,068 | $542,384 |
Class III | ||||
Shares sold | 5,110,898 | 8,198,113 | $5,110,898 | $8,198,113 |
Reinvestment of distributions | 2,137 | 4,094 | 2,137 | 4,094 |
Shares redeemed | (4,973,446) | (8,556,713) | (4,973,446) | (8,556,713) |
Net increase (decrease) | 139,589 | (354,506) | $139,589 | $(354,506) |
Class IV | ||||
Shares sold | 704,017 | 1,734,007 | $704,017 | $1,734,007 |
Reinvestment of distributions | 237 | 347 | 237 | 347 |
Shares redeemed | (710,810) | (1,442,914) | (710,810) | (1,442,914) |
Net increase (decrease) | (6,556) | 291,440 | $(6,556) | $291,440 |
Select Class | ||||
Shares sold | 521,588 | 910,548 | $521,588 | $910,548 |
Reinvestment of distributions | 888 | 1,158 | 888 | 1,158 |
Shares redeemed | (516,971) | (1,049,717) | (516,971) | (1,049,717) |
Net increase (decrease) | 5,505 | (138,011) | $5,505 | $(138,011) |
Institutional Class | ||||
Shares sold | 74,180,569 | 122,810,974 | $74,180,569 | $122,810,974 |
Reinvestment of distributions | 112,082 | 151,540 | 112,082 | 151,540 |
Shares redeemed | (69,115,870) | (123,500,040) | (69,115,870) | (123,500,040) |
Net increase (decrease) | 5,176,781 | (537,526) | $5,176,781 | $(537,526) |
Government Portfolio | ||||
Class I | ||||
Shares sold | 148,752,756 | 289,390,945 | $148,752,756 | $289,390,945 |
Reinvestment of distributions | 101,207 | 179,727 | 101,207 | 179,727 |
Shares redeemed | (142,947,287) | (292,046,252) | (142,947,287) | (292,046,252) |
Net increase (decrease) | 5,906,676 | (2,475,580) | $5,906,676 | $(2,475,580) |
Class II | ||||
Shares sold | 1,919,516 | 2,560,684 | $1,919,516 | $2,560,684 |
Reinvestment of distributions | 488 | 1,804 | 488 | 1,804 |
Shares redeemed | (2,126,304) | (2,470,042) | (2,126,304) | (2,470,042) |
Net increase (decrease) | (206,300) | 92,446 | $(206,300) | $92,446 |
Class III | ||||
Shares sold | 5,921,046 | 11,579,703 | $5,921,046 | $11,579,703 |
Reinvestment of distributions | 9,064 | 16,752 | 9,064 | 16,752 |
Shares redeemed | (6,270,748) | (11,550,866) | (6,270,748) | (11,550,866) |
Net increase (decrease) | (340,638) | 45,589 | $(340,638) | $45,589 |
Select Class | ||||
Shares sold | 3,828,491 | 6,131,529 | $3,828,491 | $6,131,529 |
Reinvestment of distributions | 3,089 | 6,069 | 3,089 | 6,069 |
Shares redeemed | (3,874,152) | (6,252,278) | (3,874,152) | (6,252,278) |
Net increase (decrease) | (42,572) | (114,680) | $(42,572) | $(114,680) |
Institutional Class | ||||
Shares sold | 326,230,217 | 609,674,828 | $326,230,217 | $609,674,828 |
Reinvestment of distributions | 600,431 | 1,007,890 | 600,431 | 1,007,890 |
Shares redeemed | (309,794,213) | (600,227,688) | (309,794,213) | (600,227,688) |
Net increase (decrease) | 17,036,435 | 10,455,030 | $17,036,435 | $10,455,030 |
Money Market Portfolio | ||||
Class I | ||||
Shares sold | 14,183,335 | 25,813,993 | $14,183,335 | $25,813,993 |
Reinvestment of distributions | 246,037 | 324,970 | 246,037 | 324,970 |
Shares redeemed | (10,852,190) | (16,543,114) | (10,852,190) | (16,543,114) |
Net increase (decrease) | 3,577,182 | 9,595,849 | $3,577,182 | $9,595,849 |
Class II | ||||
Shares sold | 309,619 | 587,214 | $309,619 | $587,214 |
Reinvestment of distributions | 4,790 | 4,163 | 4,790 | 4,163 |
Shares redeemed | (177,022) | (291,834) | (177,022) | (291,834) |
Net increase (decrease) | 137,387 | 299,543 | $137,387 | $299,543 |
Class III | ||||
Shares sold | 5,426 | 284,097 | $5,426 | $284,097 |
Reinvestment of distributions | 283 | 2,976 | 283 | 2,976 |
Shares redeemed | (11,638) | (385,995) | (11,638) | (385,995) |
Net increase (decrease) | (5,929) | (98,922) | $(5,929) | $(98,922) |
Select Class | ||||
Shares sold | 14,186 | 29,862 | $14,186 | $29,862 |
Reinvestment of distributions | 394 | 302 | 394 | 302 |
Shares redeemed | (5,336) | (13,181) | (5,336) | (13,181) |
Net increase (decrease) | 9,244 | 16,983 | $9,244 | $16,983 |
Institutional Class | ||||
Shares sold | 26,364,535 | 40,205,108 | $26,364,535 | $40,205,108 |
Reinvestment of distributions | 406,977 | 492,002 | 406,977 | 492,002 |
Shares redeemed | (18,288,027) | (23,608,922) | (18,288,027) | (23,608,922) |
Net increase (decrease) | 8,483,485 | 17,088,188 | $8,483,485 | $17,088,188 |
Prime Money Market Portfolio | ||||
Class I | ||||
Shares sold | 2,125,481 | 7,333,547 | $2,126,355 | $7,336,948 |
Reinvestment of distributions | 4,508 | 11,275 | 4,510 | 11,280 |
Shares redeemed | (2,273,991) | (7,435,118) | (2,274,924) | (7,438,548) |
Net increase (decrease) | (144,002) | (90,296) | $(144,059) | $(90,320) |
Class II | ||||
Shares sold | 19,073 | 88,992 | $19,079 | $89,024 |
Reinvestment of distributions | 81 | 190 | 81 | 190 |
Shares redeemed | (10,041) | (118,426) | (10,044) | (118,470) |
Net increase (decrease) | 9,113 | (29,244) | $9,116 | $(29,256) |
Class III | ||||
Shares sold | 702 | 8,262 | $702 | $8,265 |
Reinvestment of distributions | 134 | 186 | 134 | 186 |
Shares redeemed | (906) | (2,886) | (906) | (2,887) |
Net increase (decrease) | (70) | 5,562 | $(70) | $5,564 |
Class IV | ||||
Shares sold | – | – | $– | $– |
Reinvestment of distributions | –(a) | –(a) | –(b) | –(b) |
Shares redeemed | – | – | – | – |
Net increase (decrease) | –(a) | –(a) | $–(b) | $–(b) |
Select Class | ||||
Shares sold | 16 | 430 | $16 | $431 |
Reinvestment of distributions | 139 | 396 | 139 | 396 |
Shares redeemed | (405) | (18,981) | (405) | (18,990) |
Net increase (decrease) | (250) | (18,155) | $(250) | $(18,163) |
Institutional Class | ||||
Shares sold | 26,735,098 | 61,720,399 | $26,743,319 | $61,741,607 |
Reinvestment of distributions | 73,661 | 146,685 | 73,684 | 146,738 |
Shares redeemed | (26,767,236) | (64,538,078) | (26,775,549) | (64,560,402) |
Net increase (decrease) | 41,523 | (2,670,994) | $41,454 | $(2,672,057) |
Prime Reserves Portfolio | ||||
Class I | ||||
Shares sold | 2,387,956 | 4,314,991 | $2,388,631 | $4,316,094 |
Reinvestment of distributions | 32,097 | 43,430 | 32,106 | 43,442 |
Shares redeemed | (1,768,708) | (2,913,383) | (1,769,213) | (2,914,100) |
Net increase (decrease) | 651,345 | 1,445,038 | $651,524 | $1,445,436 |
Class II | ||||
Shares sold | 11,306 | 15,243 | $11,309 | $15,246 |
Reinvestment of distributions | 136 | 116 | 136 | 116 |
Shares redeemed | (12,169) | (414) | (12,172) | (414) |
Net increase (decrease) | (727) | 14,945 | $(727) | $14,948 |
Class III | ||||
Shares sold | 28 | 3,311 | $28 | $3,312 |
Reinvestment of distributions | 15 | 46 | 15 | 46 |
Shares redeemed | (2,980) | (310) | (2,981) | (310) |
Net increase (decrease) | (2,937) | 3,047 | $(2,938) | $3,048 |
Select Class | ||||
Shares sold | 2,920 | 10,080 | $2,921 | $10,083 |
Reinvestment of distributions | 29 | 132 | 29 | 132 |
Shares redeemed | (2,743) | (11,976) | (2,744) | (11,979) |
Net increase (decrease) | 206 | (1,764) | $206 | $(1,764) |
Institutional Class | ||||
Shares sold | 3,281,998 | 6,228,311 | $3,282,979 | $6,229,892 |
Reinvestment of distributions | 46,068 | 65,958 | 46,081 | 65,975 |
Shares redeemed | (2,915,807) | (4,584,674) | (2,916,674) | (4,585,801) |
Net increase (decrease) | 412,259 | 1,709,595 | $412,386 | $1,710,066 |
Tax-Exempt Portfolio | ||||
Class I | ||||
Shares sold | 4,381,546 | 10,545,923 | $4,381,546 | $10,545,923 |
Reinvestment of distributions | 40,232 | 69,305 | 40,232 | 69,305 |
Shares redeemed | (4,718,463) | (7,990,114) | (4,718,463) | (7,990,114) |
Net increase (decrease) | (296,685) | 2,625,114 | $(296,685) | $2,625,114 |
Class II | ||||
Shares sold | 1,000 | 1,261 | $1,000 | $1,261 |
Reinvestment of distributions | 2 | 5 | 2 | 5 |
Shares redeemed | (1,000) | (1,261) | (1,000) | (1,261) |
Net increase (decrease) | 2 | 5 | $2 | $5 |
Class III | ||||
Shares sold | 1,390 | 57,855 | $1,390 | $57,855 |
Reinvestment of distributions | 2 | 25 | 2 | 25 |
Shares redeemed | (1,880) | (59,494) | (1,880) | (59,494) |
Net increase (decrease) | (488) | (1,614) | $(488) | $(1,614) |
Select Class | ||||
Shares sold | 2 | 29,139 | $3 | $29,139 |
Reinvestment of distributions | 10 | 19 | 10 | 19 |
Shares redeemed | (7,050) | (20,499) | (7,050) | (20,499) |
Net increase (decrease) | (7,037) | 8,659 | $(7,037) | $8,659 |
(a) In the amount of less than five hundred shares.
(b) In the amount of less than five hundred dollars.
8. Other.
The Funds' 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 Funds. In the normal course of business, the Funds may also enter into contracts that provide general indemnifications. The Funds' maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Funds. The risk of material loss from such claims is considered remote.
Shareholder Expense Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds 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 (April 1, 2019 to September 30, 2019).
Actual Expenses
The first line of the accompanying table for each Class of each fund 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 for a Class of the fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, each Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each Class of each fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' 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. In addition, each Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
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-A | Beginning Account Value April 1, 2019 | Ending Account Value September 30, 2019 | Expenses Paid During Period-B April 1, 2019 to September 30, 2019 | |
Treasury Only Portfolio | ||||
Class I | .18% | |||
Actual | $1,000.00 | $1,010.70 | $.90 | |
Hypothetical-C | $1,000.00 | $1,024.10 | $.91 | |
Class II | .33% | |||
Actual | $1,000.00 | $1,009.90 | $1.66 | |
Hypothetical-C | $1,000.00 | $1,023.35 | $1.67 | |
Class III | .43% | |||
Actual | $1,000.00 | $1,009.40 | $2.16 | |
Hypothetical-C | $1,000.00 | $1,022.85 | $2.17 | |
Class IV | .68% | |||
Actual | $1,000.00 | $1,008.20 | $3.41 | |
Hypothetical-C | $1,000.00 | $1,021.60 | $3.44 | |
Select Class | .23% | |||
Actual | $1,000.00 | $1,010.40 | $1.16 | |
Hypothetical-C | $1,000.00 | $1,023.85 | $1.16 | |
Institutional Class | .14% | |||
Actual | $1,000.00 | $1,010.90 | $.70 | |
Hypothetical-C | $1,000.00 | $1,024.30 | $.71 | |
Treasury Portfolio | ||||
Class I | .18% | |||
Actual | $1,000.00 | $1,011.00 | $.90 | |
Hypothetical-C | $1,000.00 | $1,024.10 | $.91 | |
Class II | .33% | |||
Actual | $1,000.00 | $1,010.20 | $1.66 | |
Hypothetical-C | $1,000.00 | $1,023.35 | $1.67 | |
Class III | .43% | |||
Actual | $1,000.00 | $1,009.70 | $2.16 | |
Hypothetical-C | $1,000.00 | $1,022.85 | $2.17 | |
Class IV | .68% | |||
Actual | $1,000.00 | $1,008.40 | $3.41 | |
Hypothetical-C | $1,000.00 | $1,021.60 | $3.44 | |
Select Class | .23% | |||
Actual | $1,000.00 | $1,010.70 | $1.16 | |
Hypothetical-C | $1,000.00 | $1,023.85 | $1.16 | |
Institutional Class | .14% | |||
Actual | $1,000.00 | $1,011.20 | $.70 | |
Hypothetical-C | $1,000.00 | $1,024.30 | $.71 | |
Government Portfolio | ||||
Class I | .18% | |||
Actual | $1,000.00 | $1,011.00 | $.90 | |
Hypothetical-C | $1,000.00 | $1,024.10 | $.91 | |
Class II | .33% | |||
Actual | $1,000.00 | $1,010.20 | $1.66 | |
Hypothetical-C | $1,000.00 | $1,023.35 | $1.67 | |
Class III | .43% | |||
Actual | $1,000.00 | $1,009.70 | $2.16 | |
Hypothetical-C | $1,000.00 | $1,022.85 | $2.17 | |
Select Class | .23% | |||
Actual | $1,000.00 | $1,010.70 | $1.16 | |
Hypothetical-C | $1,000.00 | $1,023.85 | $1.16 | |
Institutional Class | .14% | |||
Actual | $1,000.00 | $1,011.20 | $.70 | |
Hypothetical-C | $1,000.00 | $1,024.30 | $.71 | |
Money Market Portfolio | ||||
Class I | .18% | |||
Actual | $1,000.00 | $1,011.70 | $.91 | |
Hypothetical-C | $1,000.00 | $1,024.10 | $.91 | |
Class II | .33% | |||
Actual | $1,000.00 | $1,010.90 | $1.66 | |
Hypothetical-C | $1,000.00 | $1,023.35 | $1.67 | |
Class III | .43% | |||
Actual | $1,000.00 | $1,010.40 | $2.16 | |
Hypothetical-C | $1,000.00 | $1,022.85 | $2.17 | |
Select Class | .23% | |||
Actual | $1,000.00 | $1,011.40 | $1.16 | |
Hypothetical-C | $1,000.00 | $1,023.85 | $1.16 | |
Institutional Class | .14% | |||
Actual | $1,000.00 | $1,011.90 | $.70 | |
Hypothetical-C | $1,000.00 | $1,024.30 | $.71 | |
Prime Money Market Portfolio | ||||
Class I | .18% | |||
Actual | $1,000.00 | $1,011.60 | $.91 | |
Hypothetical-C | $1,000.00 | $1,024.10 | $.91 | |
Class II | .33% | |||
Actual | $1,000.00 | $1,010.80 | $1.66 | |
Hypothetical-C | $1,000.00 | $1,023.35 | $1.67 | |
Class III | .43% | |||
Actual | $1,000.00 | $1,010.20 | $2.16 | |
Hypothetical-C | $1,000.00 | $1,022.85 | $2.17 | |
Class IV | .68% | |||
Actual | $1,000.00 | $1,008.90 | $3.42 | |
Hypothetical-C | $1,000.00 | $1,021.60 | $3.44 | |
Select Class | .23% | |||
Actual | $1,000.00 | $1,011.20 | $1.16 | |
Hypothetical-C | $1,000.00 | $1,023.85 | $1.16 | |
Institutional Class | .14% | |||
Actual | $1,000.00 | $1,011.70 | $.70 | |
Hypothetical-C | $1,000.00 | $1,024.30 | $.71 | |
Prime Reserves Portfolio | ||||
Class I | .18% | |||
Actual | $1,000.00 | $1,011.60 | $.91 | |
Hypothetical-C | $1,000.00 | $1,024.10 | $.91 | |
Class II | .33% | |||
Actual | $1,000.00 | $1,010.80 | $1.66 | |
Hypothetical-C | $1,000.00 | $1,023.35 | $1.67 | |
Class III | .43% | |||
Actual | $1,000.00 | $1,010.20 | $2.16 | |
Hypothetical-C | $1,000.00 | $1,022.85 | $2.17 | |
Select Class | .23% | |||
Actual | $1,000.00 | $1,011.40 | $1.16 | |
Hypothetical-C | $1,000.00 | $1,023.85 | $1.16 | |
Institutional Class | .14% | |||
Actual | $1,000.00 | $1,011.80 | $.70 | |
Hypothetical-C | $1,000.00 | $1,024.30 | $.71 | |
Tax-Exempt Portfolio | ||||
Class I | .18% | |||
Actual | $1,000.00 | $1,007.10 | $.90 | |
Hypothetical-C | $1,000.00 | $1,024.10 | $.91 | |
Class II | .33% | |||
Actual | $1,000.00 | $1,006.40 | $1.66 | |
Hypothetical-C | $1,000.00 | $1,023.35 | $1.67 | |
Class III | .43% | |||
Actual | $1,000.00 | $1,005.90 | $2.16 | |
Hypothetical-C | $1,000.00 | $1,022.85 | $2.17 | |
Select Class | .23% | |||
Actual | $1,000.00 | $1,006.90 | $1.15 | |
Hypothetical-C | $1,000.00 | $1,023.85 | $1.16 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/ 366 (to reflect the one-half year period).
C 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
FIMM Funds: Government Portfolio / Money Market Portfolio / Prime Money Market Portfolio / Prime Reserves Portfolio / Tax-Exempt Portfolio / Treasury Portfolio / Treasury Only Portfolio
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for each fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. 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 each fund's Advisory Contracts, including the services and support provided to each fund and its shareholders. The Board has established four standing committees (Committees) — Operations, Audit, Fair Valuation, 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 considers, among other matters, information specifically related to the annual consideration of the renewal of each fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of each fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.
At its September 2019 meeting, the Board unanimously determined to renew each fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to each fund and its shareholders (including the investment performance of each fund); (ii) the competitiveness of each fund's management fee and total expense ratio relative to peer funds; (iii) the total costs of the services provided by and the profits realized by Fidelity from its relationships with each fund; and (iv) the extent to which, if any, economies of scale exist and are realized as each fund grows, and whether any economies of scale are appropriately shared with fund shareholders.
In considering whether to renew the Advisory Contracts for each fund, the Board 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 was in the best interests of each fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of each fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that each fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in that fund, which is part of the Fidelity family of funds.
Approval of Amended and Restated Advisory Contracts. At its September 2019 meeting, the Board also unanimously determined to approve amended and restated management contracts and sub-advisory agreements (Amended and Restated Contracts) in connection with an upcoming consolidation of certain of Fidelity's advisory businesses. The Board considered that, on or about January 1, 2020, Fidelity Investments Money Management, Inc. (FIMM) expects to merge with and into FMR and, after the merger, FMR expects to redomicile as a Delaware limited liability company. The Board also approved the termination of the sub-advisory agreements with FIMM upon the completion of the merger. The Board noted that references to FMR in the Amended and Restated Contracts would be updated to reflect FMR's new form of organization and domicile. The Board also approved amendments that clarify that each fund pays its non-operating expenses, including brokerage commissions and fees and expenses associated with the fund's securities lending program, if applicable. The Board also noted Fidelity's assurance that neither the planned consolidation nor the Amended and Restated Contracts will change the investment processes, the level or nature of services provided, the resources and personnel allocated, trading and compliance operations, or any fees or expenses paid by the funds.
Nature, Extent, and Quality of Services Provided. The Board considered Fidelity's staffing as it relates to the funds, including the backgrounds of investment personnel of Fidelity, and also considered the funds' investment objectives, strategies, and related investment philosophies. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of each fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, managing, and compensating investment personnel. The Board noted that Fidelity has continued to increase the resources devoted to non-U.S. offices, including expansion of Fidelity's global investment organization. The Board also 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. Further, the Board considered 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 Fidelity's trading, risk management, compliance, and technology and operations capabilities and resources, which are integral parts of the investment management process.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder 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 each fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, each fund's compliance policies and procedures.The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools, and the expanded availability of Fidelity Investor Centers.Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest, and to the support of the senior management team that oversees asset management; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds with innovative structures, strategies and pricing and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain funds and share classes; (vi) reducing management fees and total expenses for certain target date funds and index funds; (vii) lowering expense caps for certain existing funds and classes, and converting certain voluntary expense caps to contractual caps, to reduce expenses borne by shareholders; (viii) rationalizing product lines and gaining increased efficiencies from fund mergers, liquidations, and share class consolidations; (ix) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (x) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including retirement income goals.Investment Performance. The Board considered whether each fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.The Board took into account discussions that occur at Board meetings throughout the year with representatives of the Investment Advisers about fund investment performance. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for each fund for different time periods, measured against a peer group of funds with similar objectives (peer group).In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that fund performance should be evaluated based on gross performance (before fees and expenses but after transaction costs) compared to the gross performance of appropriate peer groups, over appropriate time periods that may include full market cycles, taking into account relevant factors including the following: general market conditions; expectations for interest rate levels and credit conditions; issuer-specific information including credit quality; the fund's market value NAV over time and its resilience under various stressed conditions; and fund cash flows and other factors.The Board recognizes that in interest rate environments where many competitors waive fees to maintain a minimum yield, relative money market fund performance on a net basis (after fees and expenses) may not be particularly meaningful due to miniscule performance differences among competitor funds. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its peer group for certain periods.The Independent Trustees recognize that shareholders evaluate performance on a net basis over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net cumulative calendar year total return information for each fund and an appropriate peer group for the most recent one-, three-, and five-year periods (for the most recent one-year period for Prime Reserves Portfolio).Based on its review, the Board concluded that the nature, extent, and quality of services provided to each fund under the Advisory Contracts should continue to benefit the shareholders of each fund.Competitiveness of Management Fee and Total Expense Ratio. The Board considered each fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.Management Fee. The Board considered two proprietary management fee comparisons for the 12-month (or shorter) periods shown in basis points (BP) in the charts below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group" and is broader than the Lipper peer group used by the Board for performance comparisons for each fund (except Prime Reserves Portfolio). The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than a fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than a fund. The funds' actual TMG %s and the number of funds in the Total Mapped Group are in the charts below. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which a fund's management fee rate ranked, is also included in the charts and was considered by the Board.Government Portfolio
![](https://capedge.com/proxy/N-CSRS/0001379491-19-004944/img534606013.jpg)
Money Market Portfolio
![](https://capedge.com/proxy/N-CSRS/0001379491-19-004944/img534606184.jpg)
Prime Money Market Portfolio
![](https://capedge.com/proxy/N-CSRS/0001379491-19-004944/img534606336.jpg)
Prime Reserves Portfolio
![](https://capedge.com/proxy/N-CSRS/0001379491-19-004944/img534606447.jpg)
Tax-Exempt Portfolio
![](https://capedge.com/proxy/N-CSRS/0001379491-19-004944/img534606577.jpg)
Treasury Portfolio
![](https://capedge.com/proxy/N-CSRS/0001379491-19-004944/img534606715.jpg)
Treasury Only Portfolio
![](https://capedge.com/proxy/N-CSRS/0001379491-19-004944/img534606880.jpg)
IMM-SANN-1119
1.537280.122
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 Colchester 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 Colchester 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 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.
Disclosure of Securities Lending Activities for Closed-End Management
Investment Companies
Not applicable.
Item 13.
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 Colchester Street Trust
By: | /s/Laura M. Del Prato |
Laura M. Del Prato | |
President and Treasurer | |
Date: | November 25, 2019 |
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/Laura M. Del Prato |
Laura M. Del Prato | |
President and Treasurer | |
Date: | November 25, 2019 |
By: | /s/John J. Burke III |
John J. Burke III | |
Chief Financial Officer | |
Date: | November 25, 2019 |