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
Annual Report
March 31, 2020
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Contents
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NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
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Note to Shareholders:
Early in 2020, the outbreak and spread of a new coronavirus emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. The virus causes a respiratory disease known as COVID-19. On March 11, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread.
In the weeks following, as the crisis worsened, we witnessed an escalating human tragedy with wide-scale social and economic consequences from coronavirus-containment measures. The outbreak of COVID-19 prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. Amid the turmoil, the U.S. government took unprecedented action – in concert with the U.S. Federal Reserve and central banks around the world – to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.
The situation continues to unfold, and the extent and duration of its impact on financial markets and the economy remain highly uncertain. Extreme events such as the coronavirus crisis are “exogenous shocks” that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets.
Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we’re taking extra steps to be responsive to customer needs. We encourage you to visit our websites, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
Treasury Only Portfolio
Investment Summary/Performance (Unaudited)
Effective Maturity Diversification as of March 31, 2020
| Days | % of fund's investments 3/31/20 |
| 1 - 7 | 21.5 |
| 8 - 30 | 31.8 |
| 31 - 60 | 24.4 |
| 61 - 90 | 12.1 |
| 91 - 180 | 9.9 |
| > 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 March 31, 2020 |
| | U.S. Treasury Debt | 106.8% |
| | Net Other Assets (Liabilities)* | (6.8)% |
* Net Other Assets (Liabilities) are not included in the pie chart
Current 7-Day Yields
| | 3/31/20 |
| Class I | 0.49% |
| Class II | 0.34% |
| Class III | 0.24% |
| Class IV | 0.02% |
| Select Class | 0.44% |
| Institutional Class | 0.53% |
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 March 31, 2020, the most recent period shown in the table, would have been 0.30% for Class I, 0.16% for Class II, 0.06% for Class III, (0.19)% for Class IV, 0.25% for Select Class and 0.33% for Institutional Class.
Treasury Only Portfolio
Schedule of Investments March 31, 2020
Showing Percentage of Net Assets
| U.S. Treasury Debt - 106.8% | | | | |
| | | Yield(a) | Principal Amount (000s) | Value (000s) |
| U.S. Treasury Inflation Protected Obligations - 6.7% | | | | |
| U.S. Treasury Notes | | | | |
| 4/15/20 | | 0.15 to 0.82% | $2,925,551 | $2,929,398 |
| U.S. Treasury Obligations - 100.1% | | | | |
| U.S. Treasury Bills | | | | |
| 4/2/20 to 9/24/20 | | 0.00 to 1.70 | 32,098,858 | 32,083,439 |
| U.S. Treasury Bonds | | | | |
| 5/15/20 | | 0.05 | 18,000 | 18,189 |
| U.S. Treasury Notes | | | | |
| 4/15/20 to 1/31/22 | | 0.02 to 1.62 (b) | 11,700,527 | 11,707,392 |
| | | | | 43,809,020 |
| TOTAL U.S. TREASURY DEBT | | | | |
| (Cost $46,738,418) | | | | 46,738,418 |
| TOTAL INVESTMENT IN SECURITIES - 106.8% | | | | |
| (Cost $46,738,418) | | | | 46,738,418 |
| NET OTHER ASSETS (LIABILITIES) - (6.8)% | | | | (2,966,642) |
| NET ASSETS - 100% | | | | $43,771,776 |
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) | | March 31, 2020 |
| Assets | | |
Investment in securities, at value — See accompanying schedule:
Unaffiliated issuers (cost $46,738,418) | | $46,738,418 |
| Cash | | 2,631,275 |
| Receivable for fund shares sold | | 124,433 |
| Interest receivable | | 45,945 |
| Prepaid expenses | | 14 |
| Receivable from investment adviser for expense reductions | | 2,263 |
| Total assets | | 49,542,348 |
| Liabilities | | |
| Payable for investments purchased | $5,589,541 | |
| Payable for fund shares redeemed | 164,716 | |
| Distributions payable | 8,321 | |
| Accrued management fee | 4,042 | |
| Distribution and service plan fees payable | 326 | |
| Other affiliated payables | 1,352 | |
| Other payables and accrued expenses | 2,274 | |
| Total liabilities | | 5,770,572 |
| Net Assets | | $43,771,776 |
| Net Assets consist of: | | |
| Paid in capital | | $43,771,241 |
| Total accumulated earnings (loss) | | 535 |
| Net Assets | | $43,771,776 |
| Net Asset Value and Maximum Offering Price | | |
| Class I: | | |
| Net Asset Value, offering price and redemption price per share ($15,057,510 ÷ 15,055,213 shares) | | $1.00 |
| Class II: | | |
| Net Asset Value, offering price and redemption price per share ($830,477 ÷ 830,574 shares) | | $1.00 |
| Class III: | | |
| Net Asset Value, offering price and redemption price per share ($824,353 ÷ 824,193 shares) | | $1.00 |
| Class IV: | | |
| Net Asset Value, offering price and redemption price per share ($109,174 ÷ 109,163 shares) | | $1.00 |
| Select Class: | | |
| Net Asset Value, offering price and redemption price per share ($399,161 ÷ 399,179 shares) | | $1.00 |
| Institutional Class: | | |
| Net Asset Value, offering price and redemption price per share ($26,551,101 ÷ 26,551,001 shares) | | $1.00 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
| Amounts in thousands | | Year ended March 31, 2020 |
| Investment Income | | |
| Interest | | $491,333 |
| Expenses | | |
| Management fee | $36,187 | |
| Transfer agent fees | 10,936 | |
| Distribution and service plan fees | 3,772 | |
| Accounting fees and expenses | 1,423 | |
| Custodian fees and expenses | 223 | |
| Independent trustees' fees and expenses | 93 | |
| Registration fees | 2,547 | |
| Audit | 43 | |
| Legal | 24 | |
| Miscellaneous | 71 | |
| Total expenses before reductions | 55,319 | |
| Expense reductions | (11,068) | |
| Total expenses after reductions | | 44,251 |
| Net investment income (loss) | | 447,082 |
| Realized and Unrealized Gain (Loss) | | |
| Net realized gain (loss) on: | | |
| Investment securities: | | |
| Unaffiliated issuers | | 223 |
| Total net realized gain (loss) | | 223 |
| Net increase in net assets resulting from operations | | $447,305 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
| Amounts in thousands | Year ended March 31, 2020 | Year ended March 31, 2019 |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net investment income (loss) | $447,082 | $339,073 |
| Net realized gain (loss) | 223 | 84 |
| Net increase in net assets resulting from operations | 447,305 | 339,157 |
| Distributions to shareholders | (446,239) | (339,391) |
| Share transactions - net increase (decrease) | 23,064,242 | 5,672,987 |
| Total increase (decrease) in net assets | 23,065,308 | 5,672,753 |
| Net Assets | | |
| Beginning of period | 20,706,468 | 15,033,715 |
| End of period | $43,771,776 | $20,706,468 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Treasury Only Portfolio Class I
| Years ended March 31, | 2020 | 2019 | 2018 | 2017 | 2016 |
| Selected Per–Share Data | | | | | |
| Net asset value, beginning of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Income from Investment Operations | | | | | |
| Net investment income (loss) | .018 | .019 | .009 | .002 | –A |
| Net realized and unrealized gain (loss)A | – | – | – | – | – |
| Total from investment operations | .018 | .019 | .009 | .002 | –A |
| Distributions from net investment income | (.018) | (.019) | (.009) | (.002) | –A |
| Total distributions | (.018) | (.019) | (.009) | (.002) | –A |
| Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Total ReturnB | 1.80% | 1.96% | .93% | .23% | .04% |
| Ratios to Average Net AssetsC | | | | | |
| Expenses before reductions | .22% | .21% | .21% | .21% | .21% |
| Expenses net of fee waivers, if any | .18% | .18% | .18% | .18% | .11% |
| Expenses net of all reductions | .18% | .18% | .18% | .18% | .11% |
| Net investment income (loss) | 1.72% | 1.97% | .93% | .24% | .05% |
| Supplemental Data | | | | | |
| Net assets, end of period (in millions) | $15,058 | $7,033 | $6,976 | $7,638 | $10,035 |
A Amount represents less than $.0005 per share.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C 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.
See accompanying notes which are an integral part of the financial statements.
Treasury Only Portfolio Class II
| Years ended March 31, | 2020 | 2019 | 2018 | 2017 | 2016 |
| Selected Per–Share Data | | | | | |
| Net asset value, beginning of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Income from Investment Operations | | | | | |
| Net investment income (loss) | .016 | .018 | .008 | .001 | –A |
| Net realized and unrealized gain (loss)A | – | – | – | – | – |
| Total from investment operations | .016 | .018 | .008 | .001 | –A |
| Distributions from net investment income | (.016) | (.018) | (.008) | (.001) | –A |
| Total distributions | (.016) | (.018) | (.008) | (.001) | –A |
| Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Total ReturnB | 1.65% | 1.81% | .78% | .09% | .01% |
| Ratios to Average Net AssetsC | | | | | |
| Expenses before reductions | .37% | .36% | .36% | .36% | .36% |
| Expenses net of fee waivers, if any | .33% | .33% | .33% | .33% | .13% |
| Expenses net of all reductions | .33% | .33% | .33% | .33% | .13% |
| Net investment income (loss) | 1.57% | 1.82% | .78% | .09% | .03% |
| Supplemental Data | | | | | |
| Net assets, end of period (in millions) | $830 | $525 | $261 | $159 | $307 |
A Amount represents less than $.0005 per share.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C 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.
See accompanying notes which are an integral part of the financial statements.
Treasury Only Portfolio Class III
| Years ended March 31, | 2020 | 2019 | 2018 | 2017 | 2016 |
| Selected Per–Share Data | | | | | |
| Net asset value, beginning of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Income from Investment Operations | | | | | |
| Net investment income (loss) | .015 | .017 | .007 | –A | –A |
| Net realized and unrealized gain (loss)A | – | – | – | – | – |
| Total from investment operations | .015 | .017 | .007 | –A | –A |
| Distributions from net investment income | (.015) | (.017) | (.007) | –A | –A |
| Total distributions | (.015) | (.017) | (.007) | –A | –A |
| Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Total ReturnB | 1.54% | 1.70% | .68% | .04% | .01% |
| Ratios to Average Net AssetsC | | | | | |
| Expenses before reductions | .47% | .46% | .46% | .46% | .46% |
| Expenses net of fee waivers, if any | .43% | .43% | .43% | .38% | .15% |
| Expenses net of all reductions | .43% | .43% | .43% | .38% | .15% |
| Net investment income (loss) | 1.47% | 1.72% | .68% | .04% | .01% |
| Supplemental Data | | | | | |
| Net assets, end of period (in millions) | $824 | $1,044 | $929 | $921 | $831 |
A Amount represents less than $.0005 per share.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C 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.
See accompanying notes which are an integral part of the financial statements.
Treasury Only Portfolio Class IV
| Years ended March 31, | 2020 | 2019 | 2018 | 2017 | 2016 |
| Selected Per–Share Data | | | | | |
| Net asset value, beginning of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Income from Investment Operations | | | | | |
| Net investment income (loss) | .013 | .014 | .004 | –A | –A |
| Net realized and unrealized gain (loss)A | – | – | – | – | – |
| Total from investment operations | .013 | .014 | .004 | –A | –A |
| Distributions from net investment income | (.013) | (.014) | (.004) | –A | –A |
| Total distributions | (.013) | (.014) | (.004) | –A | –A |
| Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Total ReturnB | 1.29% | 1.45% | .42% | .01% | .01% |
| Ratios to Average Net AssetsC | | | | | |
| Expenses before reductions | .72% | .71% | .71% | .72% | .71% |
| Expenses net of fee waivers, if any | .68% | .68% | .68% | .37% | .14% |
| Expenses net of all reductions | .68% | .68% | .68% | .37% | .14% |
| Net investment income (loss) | 1.22% | 1.47% | .43% | .05% | .02% |
| Supplemental Data | | | | | |
| Net assets, end of period (in millions) | $109 | $155 | $116 | $32 | $338 |
A Amount represents less than $.0005 per share.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C 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.
See accompanying notes which are an integral part of the financial statements.
Treasury Only Portfolio Select Class
| Years ended March 31, | 2020 | 2019 | 2018 | 2017 | 2016 |
| Selected Per–Share Data | | | | | |
| Net asset value, beginning of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Income from Investment Operations | | | | | |
| Net investment income (loss) | .017 | .019 | .009 | .002 | –A |
| Net realized and unrealized gain (loss)A | – | – | – | – | – |
| Total from investment operations | .017 | .019 | .009 | .002 | –A |
| Distributions from net investment income | (.017) | (.019) | (.009) | (.002) | –A |
| Total distributions | (.017) | (.019) | (.009) | (.002) | –A |
| Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Total ReturnB | 1.75% | 1.91% | .88% | .18% | .03% |
| Ratios to Average Net AssetsC | | | | | |
| Expenses before reductions | .27% | .26% | .26% | .26% | .27% |
| Expenses net of fee waivers, if any | .23% | .23% | .23% | .23% | .12% |
| Expenses net of all reductions | .23% | .23% | .23% | .23% | .12% |
| Net investment income (loss) | 1.67% | 1.92% | .88% | .19% | .04% |
| Supplemental Data | | | | | |
| Net assets, end of period (in millions) | $399 | $176 | $121 | $94 | $180 |
A Amount represents less than $.0005 per share.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C 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.
See accompanying notes which are an integral part of the financial statements.
Treasury Only Portfolio Institutional Class
| Years ended March 31, | 2020 | 2019 | 2018 | 2017 | 2016 |
| Selected Per–Share Data | | | | | |
| Net asset value, beginning of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Income from Investment Operations | | | | | |
| Net investment income (loss) | .018 | .020 | .010 | .003 | .001 |
| Net realized and unrealized gain (loss)A | – | – | – | – | – |
| Total from investment operations | .018 | .020 | .010 | .003 | .001 |
| Distributions from net investment income | (.018) | (.020) | (.010) | (.003) | (.001) |
| Total distributions | (.018) | (.020) | (.010) | (.003) | (.001) |
| Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Total ReturnB | 1.84% | 2.00% | .97% | .27% | .05% |
| Ratios to Average Net AssetsC | | | | | |
| Expenses before reductions | .19% | .18% | .18% | .18% | .18% |
| Expenses net of fee waivers, if any | .14% | .14% | .14% | .14% | .12% |
| Expenses net of all reductions | .14% | .14% | .14% | .14% | .12% |
| Net investment income (loss) | 1.76% | 2.01% | .97% | .28% | .04% |
| Supplemental Data | | | | | |
| Net assets, end of period (in millions) | $26,551 | $11,774 | $6,631 | $4,894 | $1,932 |
A Amount represents less than $.0005 per share.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C 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.
See accompanying notes which are an integral part of the financial statements.
Treasury Portfolio
Investment Summary/Performance (Unaudited)
Effective Maturity Diversification as of March 31, 2020
| Days | % of fund's investments 3/31/20 |
| 1 - 7 | 74.7 |
| 8 - 30 | 5.3 |
| 31 - 60 | 5.1 |
| 61 - 90 | 5.5 |
| 91 - 180 | 8.7 |
| > 180 | 0.7 |
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 March 31, 2020 |
| | U.S. Treasury Debt | 41.5% |
| | Repurchase Agreements | 62.3% |
| | Net Other Assets (Liabilities)* | (3.8)% |
* Net Other Assets (Liabilities) are not included in the pie chart
Current 7-Day Yields
| | 3/31/20 |
| Class I | 0.26% |
| Class II | 0.11% |
| Class III | 0.01% |
| Class IV | 0.01% |
| Select Class | 0.21% |
| Institutional Class | 0.30% |
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 March 31, 2020, the most recent period shown in the table, would have been 0.14% for Class I, 0.00% for Class II, (0.10)% for Class III, (0.35)% for Class IV, 0.10% for Select Class and 0.17% for Institutional Class.
Treasury Portfolio
Schedule of Investments March 31, 2020
Showing Percentage of Net Assets
| U.S. Treasury Debt - 41.5% | | | | |
| | | Yield(a) | Principal Amount (000s) | Value (000s) |
| U.S. Treasury Inflation Protected Obligations - 2.1% | | | | |
| U.S. Treasury Notes | | | | |
| 4/15/20 | | 0.50 to 0.90% | $774,418 | $775,420 |
| U.S. Treasury Obligations - 39.4% | | | | |
| U.S. Treasury Bills | | | | |
| 4/2/20 to 9/10/20 | | 0.04 to 1.86 | 5,567,200 | 5,560,408 |
| U.S. Treasury Notes | | | | |
| 4/30/20 to 1/31/22 | | 0.13 to 1.89 (b) | 8,933,516 | 8,939,173 |
| | | | | 14,499,581 |
| TOTAL U.S. TREASURY DEBT | | | | |
| (Cost $15,275,001) | | | | 15,275,001 |
| U.S. Treasury Repurchase Agreement - 62.3% | | | |
| | | Maturity Amount (000s) | Value (000s) |
| In a joint trading account at: | | | |
| 0.01% dated 3/31/20 due 4/1/20 (Collateralized by U.S. Treasury Obligations)# | | $1,875,943 | $1,875,942 |
| 0.01% dated 3/31/20 due 4/1/20 (Collateralized by U.S. Treasury Obligations)# | | 515,766 | 515,766 |
| With: | | | |
| Barclays Bank PLC at: | | | |
| 0.01%, dated 3/31/20 due 4/1/20 | | | |
| (Collateralized by U.S. Treasury Obligations valued at $551,785,063, 2.25% - 3.00%, 6/30/23 - 11/15/45) | | 540,000 | 540,000 |
| (Collateralized by U.S. Treasury Obligations valued at $59,740,103, 3.75%, 11/15/43) | | 58,000 | 58,000 |
| 0.72%, dated 3/12/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $29,881,988, 3.75%, 11/15/43) | | 29,021 | 29,000 |
| BMO Harris Bank NA at: | | | |
| 0.5%, dated 3/17/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $39,132,330, 2.63% - 4.38%, 1/31/26 - 5/15/41) | | 38,016 | 38,000 |
| 1.6%, dated 2/10/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $24,663,346, 2.75% - 4.38%, 8/31/23 - 5/15/41) | | 24,097 | 24,000 |
| BNP Paribas, SA at: | | | |
| 0.03%, dated: | | | |
| 3/30/20 due 4/6/20 (Collateralized by U.S. Treasury Obligations valued at $48,405,655, 0.04% - 4.25%, 7/31/20 - 8/15/49) | | 47,000 | 47,000 |
| 3/31/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $87,720,151, 0.05% - 7.63%, 10/31/20 - 8/15/49) | | 86,001 | 86,000 |
| 0.05%, dated 3/24/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $122,203,679, 0.00% - 8.75%, 4/14/20 - 8/15/49) | | 119,002 | 119,000 |
| 0.16%, dated 3/19/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $124,447,252, 0.00% - 8.75%, 4/7/20 - 8/15/46) | | 122,016 | 122,000 |
| 0.17%, dated 3/18/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $75,923,246, 0.00% - 5.25%, 4/14/20 - 2/15/50) | | 74,021 | 74,000 |
| 0.46%, dated 3/10/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $190,010,216, 0.00% - 8.13%, 4/7/20 - 2/15/50) | | 186,214 | 186,000 |
| 0.5%, dated 3/11/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $231,444,334, 0.00% - 8.75%, 4/14/20 - 2/15/49) | | 226,283 | 226,000 |
| 0.62%, dated 3/6/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $134,801,506, 0.00% - 7.63%, 4/14/20 - 8/15/46) | | 132,207 | 132,000 |
| 1.61%, dated: | | | |
| 2/7/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $36,810,323, 0.00% - 6.13%, 4/14/20 - 8/15/49) | | 36,097 | 36,000 |
| 2/10/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $24,535,842, 1.38% - 7.50%, 4/30/22 - 11/15/49) | | 24,068 | 24,000 |
| 2/11/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $61,437,207, 0.00% - 3.50%, 4/21/20 - 8/15/44) | | 60,169 | 60,000 |
| 2/18/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $112,477,178, 0.00% - 8.75%, 5/15/20 - 8/15/46) | | 110,443 | 110,000 |
| 2/19/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $28,758,763, 0.00% - 8.75%, 5/15/20 - 8/15/49) | | 28,113 | 28,000 |
| CIBC Bank U.S.A. at: | | | |
| 0.16%, dated: | | | |
| 3/19/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $140,771,083, 1.50% - 3.13%, 11/30/21 - 5/15/48) | | 138,026 | 138,000 |
| 3/20/20 due 4/7/20 | | | |
| (Collateralized by U.S. Treasury Obligations valued at $27,541,934, 1.50% - 3.13%, 11/30/21 - 5/15/48) | | 27,004 | 27,000 |
| (Collateralized by U.S. Treasury Obligations valued at $27,541,557, 1.50% - 3.13%, 3/15/21 - 5/15/48) | | 27,003 | 27,000 |
| 1.5%, dated 3/2/20 due 4/1/20 (Collateralized by U.S. Treasury Obligations valued at $6,152,235, 1.50% - 3.63%, 3/15/21 - 8/15/45) | | 6,008 | 6,000 |
| Credit AG at 0.25%, dated: | | | |
| 3/19/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $55,085,059, 2.13%, 5/31/26) | | 54,012 | 54,000 |
| 3/23/20 due 4/7/20 | | | |
| (Collateralized by U.S. Treasury Obligations valued at $115,267,212, 5.38%, 2/15/31) | | 113,025 | 113,000 |
| (Collateralized by U.S. Treasury Obligations valued at $118,327,482, 1.38% - 5.38%, 9/15/20 - 2/15/31) | | 116,025 | 116,000 |
| Credit Agricole CIB at: | | | |
| 0.02%, dated 3/31/20 due 4/1/20 (Collateralized by U.S. Treasury Obligations valued at $118,632,566, 1.38% - 2.13%, 9/15/20 - 2/15/26) | | 116,000 | 116,000 |
| 0.05%, dated 3/31/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $96,923,711, 1.38%, 9/15/20 - 10/31/20) | | 95,001 | 95,000 |
| Credit Suisse AG, New York at 0.01%, dated 3/31/20 due 4/1/20 (Collateralized by U.S. Treasury Obligations valued at $59,160,061, 0.00% - 6.63%, 7/16/20 - 8/15/29) | | 58,000 | 58,000 |
| Deutsche Bank AG, New York at 0.01%, dated 3/31/20 due 4/1/20 (Collateralized by U.S. Treasury Obligations valued at $166,860,138, 2.50% - 3.38%, 2/15/46 - 11/15/48) | | 162,000 | 162,000 |
| Deutsche Bank Securities, Inc. at 0.01%, dated 3/31/20 due 4/1/20 (Collateralized by U.S. Treasury Obligations valued at $7,140,072, 2.75%, 2/28/25) | | 7,000 | 7,000 |
| DNB Bank ASA at 0.1%, dated 3/25/20 due 4/1/20 (Collateralized by U.S. Treasury Obligations valued at $151,983,005, 1.13% - 2.63%, 9/30/22 - 2/28/27) | | 149,003 | 149,000 |
| Federal Reserve Bank of New York at 0%, dated 3/31/20 due 4/1/20 (Collateralized by U.S. Treasury Obligations valued at $12,760,000,148, 3.00% - 6.13%, 11/15/27 - 2/15/43) | | 12,760,000 | 12,760,000 |
| Fixed Income Clearing Corp. - BNYM at 0.01%, dated 3/31/20 due 4/1/20 (Collateralized by U.S. Treasury Obligations valued at $894,540,096, 1.50% - 2.75%, 12/31/22 - 5/15/29) | | 877,000 | 877,000 |
| HSBC Securities, Inc. at 0.01%, dated 3/31/20 due 4/1/20 (Collateralized by U.S. Treasury Obligations valued at $74,104,961, 2.00%, 11/15/26) | | 72,000 | 72,000 |
| ING Financial Markets LLC at: | | | |
| 0.01%, dated 3/31/20 due 4/1/20 (Collateralized by U.S. Treasury Obligations valued at $148,014,291, 2.63%, 12/15/21) | | 145,000 | 145,000 |
| 0.03%, dated 3/27/20 due 4/3/20 (Collateralized by U.S. Treasury Obligations valued at $12,240,097, 0.38% - 2.00%, 9/30/21 - 3/31/22) | | 12,000 | 12,000 |
| 0.05%, dated 3/26/20 due 4/2/20 (Collateralized by U.S. Treasury Obligations valued at $18,360,245, 0.00% - 2.88%, 4/23/20 - 5/15/28) | | 18,000 | 18,000 |
| Lloyds Bank Corp. Markets PLC at 1.63%, dated: | | | |
| 1/8/20 due 4/9/20 (Collateralized by U.S. Treasury Obligations valued at $25,852,053, 1.50% - 2.13%, 9/30/21 - 2/15/30) | | 24,100 | 24,000 |
| 2/25/20 due 4/2/20 (Collateralized by U.S. Treasury Obligations valued at $32,696,709, 1.88%, 4/30/22) | | 32,054 | 32,000 |
| Lloyds Bank PLC at: | | | |
| 0.27%, dated 4/2/20 due 5/4/20(c) | | 58,014 | 58,000 |
| 0.33%, dated 3/25/20 due 4/27/20 (Collateralized by U.S. Treasury Obligations valued at $28,696,698, 6.00% - 6.75%, 2/15/26 - 8/15/26) | | 28,008 | 28,000 |
| 0.39%, dated 3/20/20 due 4/21/20 (Collateralized by U.S. Treasury Obligations valued at $28,560,014, 6.00%, 2/15/26) | | 28,010 | 28,000 |
| 0.54%, dated 3/12/20 due 6/12/20 (Collateralized by U.S. Treasury Obligations valued at $28,564,649, 1.75%, 7/15/22) | | 28,039 | 28,000 |
| 0.65%, dated 3/16/20 due 5/15/20 (Collateralized by U.S. Treasury Obligations valued at $39,792,394, 1.75%, 11/30/21) | | 39,042 | 39,000 |
| 0.83%, dated 3/9/20 due 6/9/20 (Collateralized by U.S. Treasury Obligations valued at $28,590,642, 2.13%, 6/30/21) | | 28,059 | 28,000 |
| 1.01%, dated 3/5/20 due 4/6/20 (Collateralized by U.S. Treasury Obligations valued at $17,358,871, 2.63%, 5/15/21) | | 17,015 | 17,000 |
| 1.59%, dated 3/2/20 due 4/2/20 (Collateralized by U.S. Treasury Obligations valued at $62,282,947, 2.00%, 4/30/24) | | 61,084 | 61,000 |
| 1.63%, dated: | | | |
| 2/18/20 due 5/18/20 (Collateralized by U.S. Treasury Obligations valued at $31,693,405, 2.63%, 5/15/21) | | 31,126 | 31,000 |
| 2/19/20 due 5/19/20 (Collateralized by U.S. Treasury Obligations valued at $21,452,575, 1.63% - 6.00%, 2/15/26 - 9/30/26) | | 21,086 | 21,000 |
| 2/21/20 due 5/21/20 (Collateralized by U.S. Treasury Obligations valued at $69,457,528, 1.63%, 9/30/26) | | 68,277 | 68,000 |
| 1.64%, dated 1/15/20 due 4/15/20 (Collateralized by U.S. Treasury Obligations valued at $30,720,632, 2.75%, 11/15/23) | | 30,124 | 30,000 |
| Mitsubishi UFJ Securities (U.S.A.), Inc. at: | | | |
| 0.01%, dated 4/1/20 due 4/7/20(c) | | 143,000 | 143,000 |
| 1.13%, dated 3/4/20 due 4/1/20 (Collateralized by U.S. Treasury Obligations valued at $14,292,568, 2.25% - 2.88%, 11/30/25 - 11/15/27) | | 14,012 | 14,000 |
| Mizuho Bank, Ltd. at 0.01%, dated 3/31/20 due 4/1/20 (Collateralized by U.S. Treasury Obligations valued at $81,903,834, 2.38%, 5/15/29) | | 80,000 | 80,000 |
| MUFG Securities (Canada), Ltd. at 0.01%, dated 3/26/20 due 4/2/20 (Collateralized by U.S. Treasury Obligations valued at $61,200,180, 1.38% - 3.00%, 3/15/21 - 2/15/49) | | 60,000 | 60,000 |
| MUFG Securities EMEA PLC at: | | | |
| 0.01%, dated: | | | |
| 3/31/20 due 4/1/20 | | | |
| (Collateralized by U.S. Treasury Obligations valued at $132,578,192, 1.75% - 3.00%, 7/15/22 - 2/15/47) | | 130,000 | 130,000 |
| (Collateralized by U.S. Treasury Obligations valued at $124,716,418, 1.38% - 2.25%, 8/31/23 - 8/15/46) | | 122,000 | 122,000 |
| (Collateralized by U.S. Treasury Obligations valued at $63,434,238, 2.00% - 2.88%, 2/15/22 - 8/15/46) | | 62,000 | 62,000 |
| 4/1/20 due 4/2/20(c) | | 117,000 | 117,000 |
| 0.13%, dated 3/26/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $22,435,018, 2.25% - 2.75%, 4/30/21 - 11/15/23) | | 22,002 | 22,000 |
| 0.18%, dated: | | | |
| 3/24/20 due 4/6/20 (Collateralized by U.S. Treasury Obligations valued at $5,099,750, 1.63%, 10/31/26) | | 5,000 | 5,000 |
| 3/25/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $8,159,527, 1.38% - 2.50%, 2/28/21 - 1/31/24) | | 8,001 | 8,000 |
| 0.2%, dated 3/19/20 due 4/2/20 (Collateralized by U.S. Treasury Obligations valued at $173,361,447, 2.00% - 2.50%, 10/31/22 - 2/28/26) | | 170,013 | 170,000 |
| 0.22%, dated 3/23/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $39,773,495, 2.13% - 2.25%, 5/15/25 - 8/15/46) | | 39,005 | 39,000 |
| 0.23%, dated 3/19/20 due 4/6/20 (Collateralized by U.S. Treasury Obligations valued at $100,959,463, 1.13% - 1.50%, 6/30/21 - 10/15/22) | | 99,011 | 99,000 |
| 0.25%, dated 3/20/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $28,559,340, 2.00% - 3.00%, 2/15/23 - 2/15/47) | | 28,005 | 28,000 |
| Natixis SA at 0.72%, dated 3/11/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $236,669,059, 1.13% - 4.50%, 5/15/20 - 5/15/46) | | 231,125 | 231,000 |
| Norinchukin Bank at: | | | |
| 0.4%, dated 3/18/20 due 4/17/20 (Collateralized by U.S. Treasury Obligations valued at $27,544,084, 2.63%, 11/15/20) | | 27,009 | 27,000 |
| 0.57%, dated 3/10/20 due 6/10/20 (Collateralized by U.S. Treasury Obligations valued at $19,386,472, 1.50%, 8/15/26) | | 19,028 | 19,000 |
| 0.85%, dated 3/5/20 due 6/5/20 (Collateralized by U.S. Treasury Obligations valued at $42,866,372, 2.38%, 5/15/27) | | 42,091 | 42,000 |
| 1.56%, dated 2/27/20 due 5/28/20 (Collateralized by U.S. Treasury Obligations valued at $15,321,895, 1.50%, 8/15/26) | | 15,059 | 15,000 |
| 1.64%, dated 2/25/20 due 5/26/20 (Collateralized by U.S. Treasury Obligations valued at $32,692,112, 2.63%, 11/15/20) | | 32,133 | 32,000 |
| 1.66%, dated: | | | |
| 2/18/20 due 5/19/20 (Collateralized by U.S. Treasury Obligations valued at $9,197,867, 2.00%, 11/15/26) | | 9,038 | 9,000 |
| 2/19/20 due 5/19/20 (Collateralized by U.S. Treasury Obligations valued at $15,329,005, 2.63%, 11/15/20) | | 15,062 | 15,000 |
| 2/21/20 due 5/22/20 (Collateralized by U.S. Treasury Obligations valued at $47,004,411, 1.50%, 8/15/26) | | 46,193 | 46,000 |
| Prudential Insurance Co. of America at: | | | |
| 0.04%, dated 3/31/20 due 4/1/20 (Collateralized by U.S. Treasury Obligations valued at $46,054,614, 0.00% - 2.38%, 7/31/20 - 5/15/29) | | 45,152 | 45,152 |
| 0.21%, dated 3/23/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $99,279,637, 0.00% - 7.25%, 4/30/20 - 11/15/28) | | 97,374 | 97,356 |
| RBC Dominion Securities at: | | | |
| 0.2%, dated 3/23/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $262,427,711, 0.00% - 7.63%, 4/28/20 - 11/15/48) | | 257,031 | 257,000 |
| 0.22%, dated 3/20/20 due: | | | |
| 4/3/20 (Collateralized by U.S. Treasury Obligations valued at $144,850,685, 0.00% - 7.25%, 5/5/20 - 11/15/42) | | 142,012 | 142,000 |
| 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $173,444,577, 0.00% - 7.63%, 4/28/20 - 5/15/46) | | 170,032 | 170,000 |
| 0.35%, dated 3/19/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $332,562,105, 0.50% - 7.63%, 4/30/22 - 11/30/25) | | 326,105 | 326,000 |
| 0.55%, dated 3/17/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $117,401,642, 0.00% - 3.75%, 4/28/20 - 2/15/48) | | 115,053 | 115,000 |
| 0.87%, dated 3/5/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $58,657,345, 0.00% - 6.13%, 4/9/20 - 5/15/49) | | 57,084 | 57,000 |
| 1.61%, dated: | | | |
| 2/4/20 due 4/3/20 (Collateralized by U.S. Treasury Obligations valued at $61,656,572, 0.00% - 6.25%, 4/28/20 - 8/15/47) | | 60,158 | 60,000 |
| 2/5/20 due 4/6/20 (Collateralized by U.S. Treasury Obligations valued at $61,355,989, 0.50% - 3.63%, 1/31/21 - 8/15/47) | | 60,164 | 60,000 |
| RBC Financial Group at 0.16%, dated 3/19/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $80,584,676, 1.13% - 3.00%, 2/28/21 - 8/15/28) | | 79,016 | 79,000 |
| Societe Generale at 0.06%, dated 3/27/20 due 4/3/20 | | | |
| (Collateralized by U.S. Treasury Obligations valued at $60,180,533, 0.00% - 8.75%, 4/2/20 - 8/15/46) | | 59,001 | 59,000 |
| (Collateralized by U.S. Treasury Obligations valued at $60,180,995, 0.00% - 8.00%, 4/2/20 - 5/15/48) | | 59,001 | 59,000 |
| TD Securities (U.S.A.) at 0.03%, dated 3/31/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $66,300,114, 1.13% - 3.63%, 10/15/20 - 11/15/28) | | 65,000 | 65,000 |
| TOTAL U.S. TREASURY REPURCHASE AGREEMENT | | | |
| (Cost $22,902,216) | | | 22,902,216 |
| TOTAL INVESTMENT IN SECURITIES - 103.8% | | | |
| (Cost $38,177,217) | | | 38,177,217 |
| NET OTHER ASSETS (LIABILITIES) - (3.8)% | | | (1,398,151) |
| NET ASSETS - 100% | | | $36,779,066 |
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. Treasury Obligations as collateral on settlement date.
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) |
| $1,875,942,000 due 4/01/20 at 0.01% | |
| BNP Paribas, S.A. | $352,160 |
| Bank of Nova Scotia | 26,413 |
| BofA Securities, Inc. | 10,036 |
| Citibank NA | 39,620 |
| HSBC Securities (USA), Inc. | 253,567 |
| ING Financial Markets LLC | 8,008 |
| JP Morgan Securities LLC | 14,846 |
| Mitsubishi UFJ Securities (USA), Inc. | 1,292 |
| Sumitomo Mitsu Banking Corp. NY | 1,170,000 |
| | $1,875,942 |
| $515,766,000 due 4/01/20 at 0.01% | |
| BofA Securities, Inc. | $9,463 |
| Citigroup Global Markets, Inc. | 35,413 |
| ING Financial Markets LLC | 5,224 |
| JP Morgan Securities LLC | 42,049 |
| Mitsubishi UFJ Securities (USA), Inc. | 16,440 |
| Nomura Securities International, Inc. | 41,750 |
| Societe Generale (PARIS) | 57,920 |
| Sumitomo Mitsu Banking Corp. NY | 307,507 |
| | $515,766 |
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) | | March 31, 2020 |
| Assets | | |
Investment in securities, at value (including repurchase agreements of $22,902,216) — See accompanying schedule:
Unaffiliated issuers (cost $38,177,217) | | $38,177,217 |
| Receivable for fund shares sold | | 27,767 |
| Interest receivable | | 31,373 |
| Prepaid expenses | | 18 |
| Receivable from investment adviser for expense reductions | | 1,458 |
| Other receivables | | 260 |
| Total assets | | 38,238,093 |
| Liabilities | | |
| Payable to custodian bank | $2,521 | |
| Payable for investments purchased | 1,403,841 | |
| Payable for fund shares redeemed | 35,585 | |
| Distributions payable | 9,319 | |
| Accrued management fee | 3,883 | |
| Distribution and service plan fees payable | 950 | |
| Other affiliated payables | 1,354 | |
| Other payables and accrued expenses | 1,574 | |
| Total liabilities | | 1,459,027 |
| Net Assets | | $36,779,066 |
| Net Assets consist of: | | |
| Paid in capital | | $36,778,901 |
| Total accumulated earnings (loss) | | 165 |
| Net Assets | | $36,779,066 |
| Net Asset Value and Maximum Offering Price | | |
| Class I: | | |
| Net Asset Value, offering price and redemption price per share ($12,043,183 ÷ 12,038,706 shares) | | $1.00 |
| Class II: | | |
| Net Asset Value, offering price and redemption price per share ($884,419 ÷ 883,824 shares) | | $1.00 |
| Class III: | | |
| Net Asset Value, offering price and redemption price per share ($2,468,702 ÷ 2,468,474 shares) | | $1.00 |
| Class IV: | | |
| Net Asset Value, offering price and redemption price per share ($1,032,523 ÷ 1,032,242 shares) | | $1.00 |
| Select Class: | | |
| Net Asset Value, offering price and redemption price per share ($424,315 ÷ 424,222 shares) | | $1.00 |
| Institutional Class: | | |
| Net Asset Value, offering price and redemption price per share ($19,925,924 ÷ 19,926,501 shares) | | $1.00 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
| Amounts in thousands | | Year ended March 31, 2020 |
| Investment Income | | |
| Interest | | $577,800 |
| Expenses | | |
| Management fee | $41,473 | |
| Transfer agent fees | 13,248 | |
| Distribution and service plan fees | 13,047 | |
| Accounting fees and expenses | 1,522 | |
| Custodian fees and expenses | 158 | |
| Independent trustees' fees and expenses | 110 | |
| Registration fees | 1,508 | |
| Audit | 49 | |
| Legal | 30 | |
| Miscellaneous | 96 | |
| Total expenses before reductions | 71,241 | |
| Expense reductions | (10,890) | |
| Total expenses after reductions | | 60,351 |
| Net investment income (loss) | | 517,449 |
| Realized and Unrealized Gain (Loss) | | |
| Net realized gain (loss) on: | | |
| Investment securities: | | |
| Unaffiliated issuers | | 50 |
| Total net realized gain (loss) | | 50 |
| Net increase in net assets resulting from operations | | $517,499 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
| Amounts in thousands | Year ended March 31, 2020 | Year ended March 31, 2019 |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net investment income (loss) | $517,449 | $457,388 |
| Net realized gain (loss) | 50 | 23 |
| Net increase in net assets resulting from operations | 517,499 | 457,411 |
| Distributions to shareholders | (516,818) | (457,872) |
| Share transactions - net increase (decrease) | 11,847,946 | 1,421,770 |
| Total increase (decrease) in net assets | 11,848,627 | 1,421,309 |
| Net Assets | | |
| Beginning of period | 24,930,439 | 23,509,130 |
| End of period | $36,779,066 | $24,930,439 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Treasury Portfolio Class I
| Years ended March 31, | 2020 | 2019 | 2018 | 2017 | 2016 |
| Selected Per–Share Data | | | | | |
| Net asset value, beginning of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Income from Investment Operations | | | | | |
| Net investment income (loss) | .018 | .019 | .009 | .003 | .001 |
| Net realized and unrealized gain (loss)A | – | – | – | – | – |
| Total from investment operations | .018 | .019 | .009 | .003 | .001 |
| Distributions from net investment income | (.018) | (.019) | (.009) | (.003) | (.001) |
| Total distributions | (.018) | (.019) | (.009) | (.003) | (.001) |
| Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Total ReturnB | 1.82% | 1.96% | .95% | .27% | .05% |
| Ratios to Average Net AssetsC | | | | | |
| Expenses before reductions | .21% | .21% | .21% | .21% | .21% |
| Expenses net of fee waivers, if any | .18% | .18% | .18% | .18% | .13% |
| Expenses net of all reductions | .18% | .18% | .18% | .18% | .13% |
| Net investment income (loss) | 1.77% | 1.96% | .96% | .27% | .05% |
| Supplemental Data | | | | | |
| Net assets, end of period (in millions) | $12,043 | $9,862 | $8,244 | $8,308 | $9,639 |
A Amount represents less than $.0005 per share.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C 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.
See accompanying notes which are an integral part of the financial statements.
Treasury Portfolio Class II
| Years ended March 31, | 2020 | 2019 | 2018 | 2017 | 2016 |
| Selected Per–Share Data | | | | | |
| Net asset value, beginning of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Income from Investment Operations | | | | | |
| Net investment income (loss) | .017 | .018 | .008 | .001 | –A |
| Net realized and unrealized gain (loss)A | – | – | – | – | – |
| Total from investment operations | .017 | .018 | .008 | .001 | –A |
| Distributions from net investment income | (.017) | (.018) | (.008) | (.001) | –A |
| Total distributions | (.017) | (.018) | (.008) | (.001) | –A |
| Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Total ReturnB | 1.67% | 1.81% | .80% | .12% | .01% |
| Ratios to Average Net AssetsC | | | | | |
| Expenses before reductions | .36% | .36% | .36% | .36% | .36% |
| Expenses net of fee waivers, if any | .33% | .33% | .33% | .33% | .22% |
| Expenses net of all reductions | .33% | .33% | .33% | .33% | .22% |
| Net investment income (loss) | 1.62% | 1.81% | .81% | .12% | .01% |
| Supplemental Data | | | | | |
| Net assets, end of period (in millions) | $884 | $659 | $116 | $363 | $557 |
A Amount represents less than $.0005 per share.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C 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.
See accompanying notes which are an integral part of the financial statements.
Treasury Portfolio Class III
| Years ended March 31, | 2020 | 2019 | 2018 | 2017 | 2016 |
| Selected Per–Share Data | | | | | |
| Net asset value, beginning of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Income from Investment Operations | | | | | |
| Net investment income (loss) | .016 | .017 | .007 | .001 | –A |
| Net realized and unrealized gain (loss)A | – | – | – | – | – |
| Total from investment operations | .016 | .017 | .007 | .001 | –A |
| Distributions from net investment income | (.016) | (.017) | (.007) | (.001) | –A |
| Total distributions | (.016) | (.017) | (.007) | (.001) | –A |
| Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Total ReturnB | 1.56% | 1.71% | .70% | .05% | .01% |
| Ratios to Average Net AssetsC | | | | | |
| Expenses before reductions | .46% | .46% | .46% | .46% | .46% |
| Expenses net of fee waivers, if any | .43% | .43% | .43% | .39% | .17% |
| Expenses net of all reductions | .43% | .43% | .43% | .39% | .17% |
| Net investment income (loss) | 1.52% | 1.71% | .71% | .06% | .02% |
| Supplemental Data | | | | | |
| Net assets, end of period (in millions) | $2,469 | $2,448 | $2,803 | $2,563 | $2,862 |
A Amount represents less than $.0005 per share.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C 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.
See accompanying notes which are an integral part of the financial statements.
Treasury Portfolio Class IV
| Years ended March 31, | 2020 | 2019 | 2018 | 2017 | 2016 |
| Selected Per–Share Data | | | | | |
| Net asset value, beginning of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Income from Investment Operations | | | | | |
| Net investment income (loss) | .013 | .014 | .004 | –A | –A |
| Net realized and unrealized gain (loss)A | – | – | – | – | – |
| Total from investment operations | .013 | .014 | .004 | –A | –A |
| Distributions from net investment income | (.013) | (.014) | (.004) | –A | –A |
| Total distributions | (.013) | (.014) | (.004) | –A | –A |
| Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Total ReturnB | 1.32% | 1.46% | .45% | .01% | .01% |
| Ratios to Average Net AssetsC | | | | | |
| Expenses before reductions | .71% | .71% | .71% | .71% | .71% |
| Expenses net of fee waivers, if any | .67% | .68% | .68% | .43% | .18% |
| Expenses net of all reductions | .67% | .68% | .68% | .43% | .18% |
| Net investment income (loss) | 1.28% | 1.46% | .46% | .02% | .01% |
| Supplemental Data | | | | | |
| Net assets, end of period (in millions) | $1,033 | $1,217 | $926 | $793 | $905 |
A Amount represents less than $.0005 per share.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C 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.
See accompanying notes which are an integral part of the financial statements.
Treasury Portfolio Select Class
| Years ended March 31, | 2020 | 2019 | 2018 | 2017 | 2016 |
| Selected Per–Share Data | | | | | |
| Net asset value, beginning of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Income from Investment Operations | | | | | |
| Net investment income (loss) | .018 | .019 | .009 | .002 | –A |
| Net realized and unrealized gain (loss)A | – | – | – | – | – |
| Total from investment operations | .018 | .019 | .009 | .002 | –A |
| Distributions from net investment income | (.018) | (.019) | (.009) | (.002) | –A |
| Total distributions | (.018) | (.019) | (.009) | (.002) | –A |
| Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Total ReturnB | 1.77% | 1.91% | .90% | .22% | .04% |
| Ratios to Average Net AssetsC | | | | | |
| Expenses before reductions | .26% | .26% | .26% | .26% | .26% |
| Expenses net of fee waivers, if any | .23% | .23% | .23% | .23% | .15% |
| Expenses net of all reductions | .23% | .23% | .23% | .23% | .15% |
| Net investment income (loss) | 1.72% | 1.91% | .91% | .22% | .04% |
| Supplemental Data | | | | | |
| Net assets, end of period (in millions) | $424 | $239 | $377 | $276 | $287 |
A Amount represents less than $.0005 per share.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C 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.
See accompanying notes which are an integral part of the financial statements.
Treasury Portfolio Institutional Class
| Years ended March 31, | 2020 | 2019 | 2018 | 2017 | 2016 |
| Selected Per–Share Data | | | | | |
| Net asset value, beginning of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Income from Investment Operations | | | | | |
| Net investment income (loss) | .018 | .020 | .010 | .003 | .001 |
| Net realized and unrealized gain (loss)A | – | – | – | – | – |
| Total from investment operations | .018 | .020 | .010 | .003 | .001 |
| Distributions from net investment income | (.018) | (.020) | (.010) | (.003) | (.001) |
| Total distributions | (.018) | (.020) | (.010) | (.003) | (.001) |
| Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Total ReturnB | 1.86% | 2.00% | .99% | .31% | .07% |
| Ratios to Average Net AssetsC | | | | | |
| Expenses before reductions | .18% | .18% | .18% | .18% | .18% |
| Expenses net of fee waivers, if any | .14% | .14% | .14% | .14% | .13% |
| Expenses net of all reductions | .14% | .14% | .14% | .14% | .13% |
| Net investment income (loss) | 1.81% | 2.00% | 1.00% | .31% | .11% |
| Supplemental Data | | | | | |
| Net assets, end of period (in millions) | $19,926 | $10,505 | $11,044 | $6,645 | $3,205 |
A Amount represents less than $.0005 per share.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C 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.
See accompanying notes which are an integral part of the financial statements.
Government Portfolio
Investment Summary/Performance (Unaudited)
Effective Maturity Diversification as of March 31, 2020
| Days | % of fund's investments 3/31/20 |
| 1 - 7 | 67.8 |
| 8 - 30 | 13.8 |
| 31 - 60 | 4.5 |
| 61 - 90 | 4.0 |
| 91 - 180 | 7.5 |
| > 180 | 2.4 |
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 March 31, 2020 |
| | U.S. Treasury Debt | 11.2% |
| | U.S. Government Agency Debt | 39.2% |
| | Repurchase Agreements | 50.9% |
| | Variable Rate Demand Notes (VRDNs) | 0.1% |
| | Net Other Assets (Liabilities)* | (1.4)% |
* Net Other Assets (Liabilities) are not included in the pie chart
Current 7-Day Yields
| | 3/31/20 |
| Class I | 0.30% |
| Class II | 0.15% |
| Class III | 0.05% |
| Select Class | 0.25% |
| Institutional Class | 0.34% |
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 March 31, 2020, the most recent period shown in the table, would have been 0.14% for Class I, 0.00 for Class II, (0.11)% for Class III, 0.09% for Select Class and 0.17% for Institutional Class.
Government Portfolio
Schedule of Investments March 31, 2020
Showing Percentage of Net Assets
| U.S. Treasury Debt - 11.2% | | | | |
| | | Yield(a) | Principal Amount (000s) | Value (000s) |
| U.S. Treasury Inflation Protected Obligations - 2.1% | | | | |
| U.S. Treasury Notes | | | | |
| 4/15/20 | | 0.50 to 0.90% | $3,621,095 | $3,625,781 |
| U.S. Treasury Obligations - 9.1% | | | | |
| U.S. Treasury Bills | | | | |
| 4/7/20 to 9/10/20 | | 0.08 to 1.70 | 3,132,000 | 3,127,762 |
| U.S. Treasury Notes | | | | |
| 4/30/20 to 1/31/22 | | 0.12 to 1.83 (b) | 12,482,800 | 12,516,023 |
| | | | | 15,643,785 |
| TOTAL U.S. TREASURY DEBT | | | | |
| (Cost $19,269,566) | | | | 19,269,566 |
|
| Variable Rate Demand Note - 0.1% | | | | |
| California - 0.0% | | | | |
| FHLMC California Statewide Cmntys. Dev. Auth. Multi-family Hsg. Rev. (Heritage Park Apts. Proj.) Series 2008 C, 2.5% 4/7/20, LOC Freddie Mac, VRDN | | | | |
| 4/7/20 | | 2.50 (b)(c) | 8,600 | 8,600 |
| FNMA Contra Costa County Multi-family Hsg. Rev. (Park Regency Proj.) Series 2003 F, 2.75% 4/7/20, LOC Fannie Mae, VRDN | | | | |
| 4/7/20 | | 2.75 (b)(c) | 50,000 | 50,000 |
| | | | | 58,600 |
| New York - 0.1% | | | | |
| FHLMC New York Hsg. Fin. Agcy. Rev. (Clinton Green North Hsg. Proj.) Series 2005 A, 4.95% 4/7/20, LOC Freddie Mac, VRDN | | | | |
| 4/7/20 | | 4.95 (b)(c) | 28,400 | 28,400 |
| FHLMC New York Hsg. Fin. Agcy. Rev. (Clinton Green South Hsg. Proj.) Series 2005 A, 4.95% 4/7/20, LOC Freddie Mac, VRDN | | | | |
| 4/7/20 | | 4.95 (b)(c) | 14,000 | 14,000 |
| FNMA New York City Hsg. Dev. Corp. Multi-family Rental Hsg. Rev. (155 West 21st Street Dev. Proj.) Series 2007 A, 4.95% 4/7/20, LOC Fannie Mae, VRDN | | | | |
| 4/7/20 | | 4.95 (b)(c) | 11,000 | 11,000 |
| FNMA New York City Hsg. Dev. Corp. Multi-family Rental Hsg. Rev. (90 West Street Proj.) Series 2006 A, 4.9% 4/7/20, LOC Fannie Mae, VRDN | | | | |
| 4/7/20 | | 4.90 (b) | 8,000 | 8,000 |
| FNMA New York City Hsg. Dev. Corp. Multi-family Rental Hsg. Rev. (Two Gold Street Proj.) Series 2006 A, 4.9% 4/7/20, LOC Fannie Mae, VRDN | | | | |
| 4/7/20 | | 4.90 (b) | 12,000 | 12,000 |
| FNMA New York Hsg. Fin. Agcy. Rev. (316 Eleventh Ave. Hsg. Proj.) Series 2007 A, 4.95% 4/7/20, LOC Fannie Mae, VRDN | | | | |
| 4/7/20 | | 4.95 (b)(c) | 7,500 | 7,500 |
| FNMA New York Hsg. Fin. Agcy. Rev. (600 West and 42nd St. Hsg. Proj.) Series 2007 A, 4.6% 4/7/20, LOC Fannie Mae, VRDN | | | | |
| 4/7/20 | | 4.60 (b)(c) | 19,800 | 19,800 |
| FNMA New York Hsg. Fin. Agcy. Rev. (750 Sixth Avenue Hsg. Proj.) Series 1999 A, 4.95% 4/7/20, LOC Fannie Mae, VRDN | | | | |
| 4/7/20 | | 4.95 (b)(c) | 8,200 | 8,200 |
| FNMA New York Hsg. Fin. Agcy. Rev. (Tribeca Park Proj.) Series 1997 A, 4.75% 4/7/20, LOC Fannie Mae, VRDN | | | | |
| 4/7/20 | | 4.75 (b)(c) | 13,000 | 13,000 |
| FNMA New York Hsg. Fin. Agcy. Rev. (West 23rd Street Hsg. Proj.) Series 2001 A, 2.75% 4/7/20, LOC Fannie Mae, VRDN | | | | |
| 4/7/20 | | 2.75 (b)(c) | 5,800 | 5,800 |
| FNMA New York Hsg. Fin. Agcy. Rev. Series 2004 A, 4.6% 4/7/20, LOC Fannie Mae, VRDN | | | | |
| 4/7/20 | | 4.60 (b)(c) | 17,200 | 17,200 |
| FNMA New York Hsg. Fin. Agcy. Rev. Series 2009 A, 4.01% 4/7/20, LOC Fannie Mae, VRDN | | | | |
| 4/7/20 | | 4.01 (b) | 18,500 | 18,500 |
| | | | | 163,400 |
| TOTAL VARIABLE RATE DEMAND NOTE | | | | |
| (Cost $222,000) | | | | 222,000 |
|
| U.S. Government Agency Debt - 39.2% | | | | |
| Federal Agencies - 39.2% | | | | |
| Fannie Mae | | | | |
| 4/30/20 to 3/11/22 | | 0.02 to 0.74 (b) | 8,331,968 | 8,330,293 |
| Federal Farm Credit Bank | | | | |
| 4/17/20 to 3/11/21 | | 0.09 to 1.66 (b) | 3,406,260 | 3,405,697 |
| Federal Home Loan Bank | | | | |
| 4/3/20 to 2/10/22 | | 0.03 to 1.68 (b) | 46,048,794 | 46,033,264 |
| Freddie Mac | | | | |
| 4/6/20 to 3/11/22 | | 0.01 to 1.63 (b) | 9,942,545 | 9,941,313 |
| TOTAL U.S. GOVERNMENT AGENCY DEBT | | | | |
| (Cost $67,710,567) | | | | 67,710,567 |
| U.S. Government Agency Repurchase Agreement - 17.2% | | | |
| | | Maturity Amount (000s) | Value (000s) |
| In a joint trading account at: | | | |
| 0.01% dated 3/31/20 due 4/1/20 (Collateralized by U.S. Government Obligations) # | | $1,860,752 | $1,860,751 |
| 0.02% dated 3/31/20 due 4/1/20 (Collateralized by U.S. Government Obligations) # | | 18,691,741 | 18,691,733 |
| With: | | | |
| Barclays Bank PLC at 0.13%, dated 3/26/20 due 4/7/20 (Collateralized by U.S. Government Obligations valued at $308,046,675, 4.50%, 7/1/48 - 8/1/48) | | 302,035 | 302,000 |
| BNP Paribas, SA at: | | | |
| 0.04%, dated 3/30/20 due 4/6/20 (Collateralized by U.S. Government Obligations valued at $110,406,472, 0.00% - 6.00%, 10/13/20 - 12/1/49) | | 108,001 | 108,000 |
| 0.18%, dated 3/19/20 due 4/7/20 (Collateralized by U.S. Government Obligations valued at $294,783,186, 0.00% - 7.00%, 4/4/20 - 4/1/50) | | 287,042 | 287,000 |
| 0.63%, dated 3/9/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $498,369,663, 0.00% - 8.00%, 10/13/20 - 12/1/49) | | 487,750 | 487,000 |
| BofA Securities, Inc. at 1.03%, dated 3/4/20 due 4/3/20 (Collateralized by U.S. Government Obligations valued at $284,807,980, 3.00% - 3.50%, 8/20/49 - 3/20/50) | | 279,239 | 279,000 |
| CIBC Bank U.S.A. at 0.18%, dated 3/19/20 due 4/7/20 (Collateralized by U.S. Government Obligations valued at $104,046,763, 3.50% - 4.46%, 10/1/38 - 1/1/50) | | 102,014 | 102,000 |
| Citibank NA at: | | | |
| 0.03%, dated 3/31/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $79,177,582, 0.00% - 9.00%, 4/25/20 - 3/20/50) | | 77,000 | 77,000 |
| 0.04%, dated 3/31/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $472,491,484, 0.38% - 7.63%, 5/31/20 - 11/15/46) | | 463,004 | 463,000 |
| Citigroup Global Capital Markets, Inc. at 0.04%, dated 3/31/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $315,402,547, 0.15% - 3.38%, 12/31/21 - 5/15/44) | | 309,002 | 309,000 |
| Deutsche Bank AG, New York at 0.02%, dated 3/31/20 due 4/1/20 (Collateralized by U.S. Government Obligations valued at $222,480,124, 3.05% - 3.35%, 6/15/24 - 4/15/45) | | 216,000 | 216,000 |
| Goldman Sachs & Co. at 0.01%, dated 3/31/20 due 4/1/20 (Collateralized by U.S. Government Obligations valued at $564,060,157, 2.50% - 6.50%, 12/20/38 - 3/15/57) | | 553,000 | 553,000 |
| HSBC Securities, Inc. at 0.04%, dated 3/27/20 due 4/3/20 (Collateralized by U.S. Government Obligations valued at $313,141,740, 2.50% - 4.50%, 5/1/32 - 4/1/50) | | 307,002 | 307,000 |
| ING Financial Markets LLC at: | | | |
| 0.03%, dated 3/27/20 due 4/3/20 (Collateralized by U.S. Treasury Obligations valued at $78,646,963, 0.00% - 4.50%, 4/23/20 - 2/1/49) | | 77,000 | 77,000 |
| 1.64%, dated: | | | |
| 1/10/20 due: | | | |
| 4/9/20 | | | |
| (Collateralized by U.S. Government Obligations valued at $190,428,710, 3.00% - 5.50%, 9/1/29 - 12/1/49) | | 186,763 | 186,000 |
| (Collateralized by U.S. Government Obligations valued at $146,404,869, 3.00% - 4.50%, 3/20/49 - 7/20/49) | | 143,586 | 143,000 |
| 4/13/20 (Collateralized by U.S. Government Obligations valued at $204,762,054, 3.00% - 3.50%, 10/1/45 - 12/1/49) | | 200,856 | 200,000 |
| 1/21/20 due 4/16/20 (Collateralized by U.S. Treasury Obligations valued at $86,980,480, 0.50% - 3.50%, 11/15/22 - 4/1/49) | | 85,333 | 85,000 |
| 1/27/20 due 4/27/20 (Collateralized by U.S. Treasury Obligations valued at $87,979,834, 0.00% - 4.50%, 4/23/20 - 6/20/48) | | 86,357 | 86,000 |
| 1.65%, dated: | | | |
| 1/30/20 due 4/29/20 (Collateralized by U.S. Treasury Obligations valued at $58,548,944, 0.00% - 4.50%, 9/10/20 - 7/1/48) | | 57,235 | 57,000 |
| 2/14/20 due 4/29/20 (Collateralized by U.S. Government Obligations valued at $146,174,207, 3.00% - 3.50%, 6/20/49 - 7/20/49) | | 143,492 | 143,000 |
| Mitsubishi UFJ Securities (U.S.A.), Inc. at: | | | |
| 0.25%, dated 3/31/20 due 6/1/20 (Collateralized by U.S. Government Obligations valued at $199,921,388, 2.00% - 5.00%, 2/1/28 - 4/1/50) | | 196,084 | 196,000 |
| 0.4%, dated: | | | |
| 3/25/20 due 5/27/20 (Collateralized by U.S. Government Obligations valued at $256,039,913, 2.33% - 4.51%, 1/1/27 - 4/1/50) | | 251,176 | 251,000 |
| 3/26/20 due 5/28/20 (Collateralized by U.S. Government Obligations valued at $211,154,076, 2.00% - 5.54%, 1/1/24 - 3/1/50) | | 207,145 | 207,000 |
| 0.5%, dated: | | | |
| 3/23/20 due 5/22/20 (Collateralized by U.S. Government Obligations valued at $153,019,125, 2.33% - 4.00%, 12/1/29 - 4/1/50) | | 150,125 | 150,000 |
| 3/24/20 due 5/26/20 (Collateralized by U.S. Government Obligations valued at $165,258,360, 2.00% - 5.00%, 11/1/26 - 4/1/50) | | 162,142 | 162,000 |
| 1.15%, dated 3/4/20 due 4/1/20 (Collateralized by U.S. Government Obligations valued at $180,701,483, 2.00% - 6.00%, 11/1/22 - 3/1/50) | | 177,158 | 177,000 |
| Morgan Stanley & Co., LLC at 0.01%, dated 3/31/20 due 4/1/20 (Collateralized by U.S. Treasury Obligations valued at $921,358,999, 0.00% - 8.50%, 4/14/20 - 1/1/50) | | 903,000 | 903,000 |
| MUFG Securities (Canada), Ltd. at: | | | |
| 0.2%, dated 3/31/20 due 6/1/20 (Collateralized by U.S. Government Obligations valued at $169,320,941, 1.50% - 4.50%, 10/31/21 - 1/1/50) | | 166,057 | 166,000 |
| 0.5%, dated 3/24/20 due 5/22/20 (Collateralized by U.S. Government Obligations valued at $150,976,774, 3.50% - 4.50%, 2/1/46 - 1/1/50) | | 148,121 | 148,000 |
| RBC Financial Group at 0.18%, dated 3/19/20 due 4/7/20 (Collateralized by U.S. Government Obligations valued at $361,916,253, 2.00% - 4.50%, 1/20/35 - 4/1/59) | | 354,081 | 354,000 |
| Sumitomo Mitsui Trust Bank Ltd. at: | | | |
| 0.3%, dated: | | | |
| 3/27/20 due 4/7/20 (Collateralized by U.S. Government Obligations valued at $55,706,336, 3.50%, 1/1/48) | | 54,013 | 54,000 |
| 3/31/20 due 4/7/20 (Collateralized by U.S. Government Obligations valued at $196,106,839, 3.00%, 10/20/46) | | 190,044 | 190,000 |
| 0.45%, dated: | | | |
| 3/24/20 due 4/7/20 (Collateralized by U.S. Government Obligations valued at $100,247,374, 3.50%, 9/20/45) | | 98,034 | 98,000 |
| 3/26/20 due 4/7/20 (Collateralized by U.S. Government Obligations valued at $192,206,998, 3.00%, 12/1/46) | | 188,066 | 188,000 |
| TD Securities (U.S.A.) at 0.04%, dated 3/31/20 due 4/7/20 (Collateralized by U.S. Government Obligations valued at $787,440,875, 3.00% - 5.00%, 4/1/27 - 2/1/50) | | 772,006 | 772,000 |
| Wells Fargo Securities, LLC at 0.06%, dated 3/27/20 due 4/3/20 (Collateralized by U.S. Treasury Obligations valued at $626,285,299, 2.38% - 3.00%, 9/30/25 - 5/15/29) | | 614,007 | 614,000 |
| TOTAL U.S. GOVERNMENT AGENCY REPURCHASE AGREEMENT | | | |
| (Cost $29,649,484) | | | 29,649,484 |
|
| U.S. Treasury Repurchase Agreement - 33.7% | | | |
| With: | | | |
| Barclays Bank PLC at: | | | |
| 0.01%, dated 3/31/20 due 4/1/20 | | | |
| (Collateralized by U.S. Treasury Obligations valued at $2,558,453,795, 1.63% - 4.25%, 3/31/22 - 11/15/48) | | 2,503,001 | 2,503,000 |
| (Collateralized by U.S. Treasury Obligations valued at $279,130,175, 2.75%, 11/15/47) | | 271,000 | 271,000 |
| 0.72%, dated 3/12/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $137,755,153, 2.50%, 2/15/22) | | 135,097 | 135,000 |
| BMO Harris Bank NA at 1.6%, dated 2/10/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $105,237,968, 1.75% - 3.63%, 12/31/20 - 8/15/45) | | 103,316 | 102,900 |
| BNP Paribas, SA at: | | | |
| 0.03%, dated: | | | |
| 3/30/20 due 4/6/20 (Collateralized by U.S. Treasury Obligations valued at $225,355,139, 0.00% - 7.63%, 4/14/20 - 8/15/49) | | 220,001 | 220,000 |
| 3/31/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $406,217,482, 0.00% - 6.88%, 4/14/20 - 2/15/48) | | 398,002 | 398,000 |
| 0.05%, dated 3/24/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $554,459,945, 0.00% - 8.00%, 4/14/20 - 11/15/49) | | 542,011 | 542,000 |
| 0.16%, dated 3/19/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $607,154,777, 0.05% - 5.25%, 10/31/20 - 8/15/49) | | 591,076 | 591,000 |
| 0.46%, dated 3/10/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $891,770,349, 0.00% - 8.75%, 4/30/20 - 8/15/49) | | 869,999 | 869,000 |
| 0.5%, dated 3/11/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $1,121,041,155, 0.00% - 8.75%, 4/7/20 - 8/15/48) | | 1,096,369 | 1,095,000 |
| 0.62%, dated 3/6/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $624,267,046, 0.00% - 8.75%, 4/14/20 - 11/15/49) | | 610,956 | 610,000 |
| 1.61%, dated: | | | |
| 2/7/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $157,632,162, 0.00% - 7.88%, 4/14/20 - 2/15/48) | | 154,313 | 153,900 |
| 2/10/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $105,095,239, 0.00% - 6.75%, 5/14/20 - 11/15/49) | | 103,090 | 102,800 |
| 2/11/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $262,774,823, 0.00% - 8.75%, 4/14/20 - 8/15/49) | | 256,621 | 255,900 |
| 2/18/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $466,339,898, 0.14% - 7.50%, 3/31/21 - 11/15/49) | | 455,827 | 454,000 |
| 2/19/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $121,058,488, 0.00% - 8.75%, 4/14/20 - 8/15/49) | | 118,475 | 118,000 |
| CIBC Bank U.S.A. at: | | | |
| 0.16%, dated: | | | |
| 3/19/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $683,448,959, 1.38% - 3.13%, 3/15/21 - 5/15/48) | | 670,125 | 670,000 |
| 3/20/20 due 4/7/20 | | | |
| (Collateralized by U.S. Treasury Obligations valued at $133,627,223, 1.38% - 3.13%, 3/15/21 - 5/15/48) | | 131,019 | 131,000 |
| (Collateralized by U.S. Treasury Obligations valued at $133,627,327, 1.50% - 3.13%, 3/15/21 - 5/15/48) | | 131,015 | 131,000 |
| 1.5%, dated 3/2/20 due 4/1/20 (Collateralized by U.S. Treasury Obligations valued at $25,775,934, 1.50% - 3.63%, 11/30/21 - 8/15/45) | | 25,031 | 25,000 |
| Credit AG at 0.25%, dated: | | | |
| 3/19/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $268,304,969, 2.75% - 3.63%, 5/31/23 - 2/15/44) | | 263,058 | 263,000 |
| 3/23/20 due 4/7/20 | | | |
| (Collateralized by U.S. Treasury Obligations valued at $549,280,375, 1.63% - 2.88%, 5/15/22 - 5/15/49) | | 536,119 | 536,000 |
| (Collateralized by U.S. Treasury Obligations valued at $550,834,487, 1.63% - 2.75%, 11/15/22 - 6/30/25) | | 540,116 | 540,000 |
| Credit Agricole CIB at: | | | |
| 0.02%, dated 3/31/20 due 4/1/20 (Collateralized by U.S. Treasury Obligations valued at $551,070,901, 0.00% - 2.38%, 7/16/20 - 8/15/24) | | 540,000 | 540,000 |
| 0.05%, dated 3/31/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $451,227,574, 1.38% - 2.50%, 9/15/20 - 1/31/25) | | 442,004 | 442,000 |
| Credit Suisse AG, New York at 0.01%, dated 3/31/20 due 4/1/20 (Collateralized by U.S. Treasury Obligations valued at $273,360,089, 0.50% - 7.13%, 12/31/21 - 11/15/29) | | 268,000 | 268,000 |
| Deutsche Bank AG, New York at 0.01%, dated 3/31/20 due 4/1/20 (Collateralized by U.S. Treasury Obligations valued at $763,980,245, 1.75% - 4.38%, 9/15/21 - 11/15/39) | | 749,000 | 749,000 |
| Deutsche Bank Securities, Inc. at 0.01%, dated 3/31/20 due 4/1/20 (Collateralized by U.S. Treasury Obligations valued at $34,680,079, 2.38% - 2.75%, 2/28/25 - 5/15/27) | | 34,000 | 34,000 |
| DNB Bank ASA at 0.1%, dated 3/25/20 due 4/1/20 (Collateralized by U.S. Treasury Obligations valued at $692,593,554, 1.13% - 2.88%, 7/15/22 - 2/15/29) | | 679,013 | 679,000 |
| Federal Reserve Bank of New York at 0%, dated 3/31/20 due 4/1/20 (Collateralized by U.S. Treasury Obligations valued at $18,660,000,116, 2.75% - 4.50%, 5/15/38 - 5/15/48) | | 18,660,000 | 18,660,000 |
| Fixed Income Clearing Corp. - BNYM at 0.01%, dated 3/31/20 due 4/1/20 (Collateralized by U.S. Treasury Obligations valued at $4,148,340,031, 1.50% - 2.88%, 12/31/22 - 5/15/28) | | 4,067,001 | 4,067,000 |
| Fixed Income Clearing Corp. - SSB at 0.01%, dated 3/31/20 due 4/1/20 (Collateralized by U.S. Treasury Obligations valued at $5,528,343,828, 1.25% - 2.75%, 4/30/23 - 8/31/23) | | 5,423,002 | 5,423,000 |
| HSBC Securities, Inc. at 0.01%, dated 3/31/20 due 4/1/20 (Collateralized by U.S. Treasury Obligations valued at $343,665,287, 2.50%, 5/15/24) | | 334,000 | 334,000 |
| ING Financial Markets LLC at: | | | |
| 0.01%, dated 3/31/20 due 4/1/20 (Collateralized by U.S. Treasury Obligations valued at $688,584,095, 1.50% - 3.13%, 5/15/21 - 7/31/24) | | 675,000 | 675,000 |
| 0.03%, dated 3/27/20 due 4/3/20 (Collateralized by U.S. Treasury Obligations valued at $56,135,731, 0.00% - 3.13%, 4/23/20 - 5/15/48) | | 55,000 | 55,000 |
| 0.05%, dated 3/26/20 due 4/2/20 (Collateralized by U.S. Treasury Obligations valued at $82,653,370, 0.00% - 3.13%, 4/23/20 - 8/15/49) | | 81,001 | 81,000 |
| Lloyds Bank Corp. Markets PLC at 1.63%, dated: | | | |
| 1/8/20 due 4/9/20 (Collateralized by U.S. Treasury Obligations valued at $104,449,972, 1.63% - 1.75%, 5/15/22 - 2/15/26) | | 102,425 | 102,000 |
| 2/25/20 due 4/2/20 (Collateralized by U.S. Treasury Obligations valued at $128,669,096, 1.50%, 9/30/21) | | 126,211 | 126,000 |
| Lloyds Bank PLC at: | | | |
| 0.27%, dated 4/2/20 due 5/4/20(d) | | 271,065 | 271,000 |
| 0.33%, dated 3/25/20 due 4/27/20 (Collateralized by U.S. Treasury Obligations valued at $135,035,222, 1.63% - 6.75%, 11/15/22 - 8/15/26) | | 132,040 | 132,000 |
| 0.39%, dated 3/20/20 due 4/21/20 (Collateralized by U.S. Treasury Obligations valued at $136,679,164, 6.00%, 2/15/26) | | 134,046 | 134,000 |
| 0.54%, dated 3/12/20 due 6/12/20 (Collateralized by U.S. Treasury Obligations valued at $139,799,797, 1.75% - 6.00%, 3/15/22 - 2/15/26) | | 137,189 | 137,000 |
| 0.83%, dated 3/9/20 due 6/9/20 (Collateralized by U.S. Treasury Obligations valued at $128,608,170, 2.13%, 6/30/21) | | 126,267 | 126,000 |
| 1.01%, dated 3/5/20 due 4/6/20 (Collateralized by U.S. Treasury Obligations valued at $77,583,597, 6.00%, 2/15/26) | | 76,068 | 76,000 |
| 1.59%, dated 3/2/20 due 4/2/20 (Collateralized by U.S. Treasury Obligations valued at $258,324,730, 1.63% - 6.00%, 11/15/22 - 2/15/26) | | 253,346 | 253,000 |
| 1.63%, dated: | | | |
| 2/18/20 due 5/18/20 (Collateralized by U.S. Treasury Obligations valued at $129,851,164, 2.63%, 5/15/21) | | 127,518 | 127,000 |
| 2/19/20 due 5/19/20 (Collateralized by U.S. Treasury Obligations valued at $90,905,678, 3.00%, 9/30/25) | | 89,363 | 89,000 |
| 2/21/20 due 5/21/20 (Collateralized by U.S. Treasury Obligations valued at $283,975,530, 1.63% - 2.75%, 2/28/25 - 9/30/26) | | 279,133 | 278,000 |
| 1.64%, dated 1/15/20 due 4/15/20 (Collateralized by U.S. Treasury Obligations valued at $132,098,148, 2.75%, 11/15/23) | | 129,535 | 129,000 |
| Mitsubishi UFJ Securities (U.S.A.), Inc. at 1.13%, dated 3/4/20 due 4/1/20 (Collateralized by U.S. Treasury Obligations valued at $62,274,737, 1.88% - 8.13%, 5/15/21 - 12/31/25) | | 61,054 | 61,000 |
| Mizuho Bank, Ltd. at 0.01%, dated 3/31/20 due 4/1/20 (Collateralized by U.S. Treasury Obligations valued at $379,167,255, 2.38%, 5/15/29) | | 371,000 | 371,000 |
| MUFG Securities (Canada), Ltd. at 0.01%, dated 3/26/20 due 4/2/20 (Collateralized by U.S. Treasury Obligations valued at $276,420,471, 1.13% - 3.00%, 10/15/20 - 2/15/49) | | 271,001 | 271,000 |
| MUFG Securities EMEA PLC at: | | | |
| 0.01%, dated: | | | |
| 3/31/20 due 4/1/20 | | | |
| (Collateralized by U.S. Treasury Obligations valued at $618,958,723, 1.50% - 2.88%, 3/31/24 - 5/31/25) | | 607,000 | 607,000 |
| (Collateralized by U.S. Treasury Obligations valued at $575,754,931, 1.13% - 3.13%, 9/30/21 - 8/15/46) | | 564,000 | 564,000 |
| (Collateralized by U.S. Treasury Obligations valued at $293,305,392, 1.25% - 2.88%, 10/31/21 - 8/15/46) | | 286,600 | 286,600 |
| 4/1/20 due 4/2/20(d) | | 542,000 | 542,000 |
| 0.13%, dated 3/26/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $101,979,353, 2.25%, 4/30/21) | | 100,008 | 100,000 |
| 0.18%, dated: | | | |
| 3/24/20 due 4/6/20 (Collateralized by U.S. Treasury Obligations valued at $22,434,645, 1.50% - 2.25%, 11/15/24 - 1/31/27) | | 22,001 | 22,000 |
| 3/25/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $35,692,198, 1.38% - 2.25%, 5/31/21 - 1/31/24) | | 35,004 | 35,000 |
| 0.2%, dated 3/19/20 due 4/2/20 (Collateralized by U.S. Treasury Obligations valued at $841,359,523, 2.00% - 2.50%, 2/28/26 - 11/15/26) | | 825,064 | 825,000 |
| 0.22%, dated 3/23/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $188,657,980, 1.75% - 2.88%, 12/31/21 - 5/15/28) | | 185,025 | 185,000 |
| 0.23%, dated 3/19/20 due 4/6/20 (Collateralized by U.S. Treasury Obligations valued at $491,538,301, 1.50% - 2.38%, 10/31/21 - 8/31/24) | | 482,055 | 482,000 |
| 0.25%, dated 3/20/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $137,217,095, 2.00% - 3.00%, 7/31/22 - 2/15/47) | | 134,022 | 134,000 |
| Natixis SA at 0.72%, dated 3/11/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $1,100,461,095, 0.38% - 4.75%, 5/15/20 - 8/15/48) | | 1,078,582 | 1,078,000 |
| Norinchukin Bank at: | | | |
| 0.4%, dated 3/18/20 due 4/17/20 (Collateralized by U.S. Treasury Obligations valued at $135,679,637, 2.38%, 5/15/27) | | 133,044 | 133,000 |
| 0.57%, dated 3/10/20 due 6/10/20 (Collateralized by U.S. Treasury Obligations valued at $95,912,002, 2.00%, 11/15/26) | | 94,137 | 94,000 |
| 0.85%, dated 3/5/20 due 6/5/20 (Collateralized by U.S. Treasury Obligations valued at $192,898,380, 2.00%, 11/15/26) | | 189,411 | 189,000 |
| 1.56%, dated 2/27/20 due 5/28/20 (Collateralized by U.S. Treasury Obligations valued at $64,351,915, 1.50%, 8/15/26) | | 63,248 | 63,000 |
| 1.64%, dated 2/25/20 due 5/26/20 (Collateralized by U.S. Treasury Obligations valued at $128,725,035, 1.50%, 8/15/26) | | 126,522 | 126,000 |
| 1.66%, dated: | | | |
| 2/18/20 due 5/19/20 (Collateralized by U.S. Treasury Obligations valued at $38,835,074, 1.50%, 8/15/26) | | 38,159 | 38,000 |
| 2/19/20 due 5/19/20 (Collateralized by U.S. Treasury Obligations valued at $64,381,602, 1.50%, 8/15/26) | | 63,261 | 63,000 |
| 2/21/20 due 5/22/20 (Collateralized by U.S. Treasury Obligations valued at $185,973,907, 1.50%, 8/15/26) | | 182,764 | 182,000 |
| Prudential Insurance Co. of America at: | | | |
| 0.04%, dated 3/31/20 due 4/1/20 (Collateralized by U.S. Treasury Obligations valued at $214,369,486, 0.00% - 2.38%, 7/31/20 - 11/15/29) | | 210,201 | 210,201 |
| 0.21%, dated 3/23/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $465,095,689, 0.00% - 8.75%, 7/31/20 - 2/15/31) | | 456,155 | 456,072 |
| RBC Dominion Securities at: | | | |
| 0.2%, dated 3/23/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $1,222,179,134, 0.00% - 7.63%, 4/16/20 - 11/15/49) | | 1,198,146 | 1,198,000 |
| 0.22%, dated 3/20/20 due: | | | |
| 4/3/20 (Collateralized by U.S. Treasury Obligations valued at $683,450,148, 0.14% - 7.25%, 10/31/20 - 11/15/49) | | 670,057 | 670,000 |
| 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $820,358,830, 0.50% - 7.25%, 5/31/20 - 11/15/49) | | 804,152 | 804,000 |
| 0.35%, dated 3/19/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $1,610,212,424, 0.00% - 7.63%, 5/31/20 - 8/15/49) | | 1,576,506 | 1,576,000 |
| 0.87%, dated 3/5/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $263,635,144, 0.00% - 7.63%, 4/9/20 - 11/15/47) | | 258,380 | 258,000 |
| 1.61%, dated: | | | |
| 2/4/20 due 4/3/20 (Collateralized by U.S. Treasury Obligations valued at $262,186,016, 0.00% - 7.63%, 4/28/20 - 8/15/49) | | 255,673 | 255,000 |
| 2/5/20 due 4/6/20 (Collateralized by U.S. Treasury Obligations valued at $262,111,135, 0.00% - 7.63%, 5/5/20 - 8/15/49) | | 256,698 | 256,000 |
| RBC Financial Group at 0.16%, dated 3/19/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $388,642,456, 1.50% - 3.63%, 2/15/21 - 11/30/26) | | 381,078 | 381,000 |
| Societe Generale at 0.06%, dated 3/27/20 due 4/3/20 | | | |
| (Collateralized by U.S. Treasury Obligations valued at $278,435,712, 0.00% - 8.13%, 4/2/20 - 5/15/48) | | 272,003 | 272,000 |
| (Collateralized by U.S. Treasury Obligations valued at $277,580,758, 0.00% - 8.75%, 4/2/20 - 8/15/46) | | 272,003 | 272,000 |
| TD Securities (U.S.A.) at 0.03%, dated 3/31/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $307,020,293, 1.50% - 2.38%, 11/30/21 - 6/30/24) | | 301,002 | 301,000 |
| TOTAL U.S. TREASURY REPURCHASE AGREEMENT | | | |
| (Cost $58,065,373) | | | 58,065,373 |
| TOTAL INVESTMENT IN SECURITIES - 101.4% | | | |
| (Cost $174,916,990) | | | 174,916,990 |
| NET OTHER ASSETS (LIABILITIES) - (1.4)% | | | (2,346,469) |
| NET ASSETS - 100% | | | $172,570,521 |
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) Private activity obligations whose interest is subject to the federal alternative minimum tax for individuals.
(d) 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.
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) |
| $1,860,751,000 due 4/01/20 at 0.01% | |
| Bank Of America, N.A. | $33,533 |
| BofA Securities, Inc. | 47,235 |
| Citibank NA | 64,755 |
| Citigroup Global Markets, Inc. | 164,178 |
| ING Financial Markets LLC | 24,218 |
| JP Morgan Securities LLC | 241,364 |
| Mitsubishi UFJ Securities Hldgs Ltd | 76,218 |
| Mizuho Securities USA, Inc. | 69,557 |
| Nomura Securities International, Inc. | 193,561 |
| Societe Generale (PARIS) | 268,530 |
| Sumitomo Mitsu Banking Corp. NY | 247,496 |
| Wells Fargo Securities LLC | 430,106 |
| | $1,860,751 |
| $18,691,733,000 due 4/01/20 at 0.02% | |
| BNP Paribas, S.A. | $1,725,542 |
| Bank Of America, N.A. | 1,009,933 |
| Bank of Nova Scotia | 122,457 |
| BofA Securities, Inc. | 532,028 |
| Citibank NA | 430,010 |
| Citigroup Global Markets, Inc. | 405,323 |
| HSBC Securities (USA), Inc. | 1,448,632 |
| ING Financial Markets LLC | 91,739 |
| JP Morgan Securities LLC | 3,914,684 |
| Mitsubishi UFJ Securities Hldgs Ltd | 891,862 |
| Mitsubishi UFJ Securities (USA), Inc. | 109,219 |
| Mizuho Securities USA, Inc. | 320,223 |
| Nomura Securities International | 2,515,490 |
| Societe Generale (PARIS) | 567,102 |
| Sumitomo Mitsu Banking Corp. NY | 354,962 |
| Sumitomo Mitsui Banking Corp. | 3,107,115 |
| Wells Fargo Securities LLC | 1,145,412 |
| | $18,691,733 |
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) | | March 31, 2020 |
| Assets | | |
Investment in securities, at value (including repurchase agreements of $87,714,857) — See accompanying schedule:
Unaffiliated issuers (cost $174,916,990) | | $174,916,990 |
| Receivable for fund shares sold | | 595,607 |
| Interest receivable | | 128,873 |
| Prepaid expenses | | 76 |
| Receivable from investment adviser for expense reductions | | 8,390 |
| Other receivables | | 914 |
| Total assets | | 175,650,850 |
| Liabilities | | |
| Payable to custodian bank | $4,945 | |
| Payable for investments purchased | 1,380,979 | |
| Payable for fund shares redeemed | 1,616,072 | |
| Distributions payable | 43,785 | |
| Accrued management fee | 18,037 | |
| Distribution and service plan fees payable | 872 | |
| Other affiliated payables | 5,367 | |
| Other payables and accrued expenses | 10,272 | |
| Total liabilities | | 3,080,329 |
| Net Assets | | $172,570,521 |
| Net Assets consist of: | | |
| Paid in capital | | $172,569,683 |
| Total accumulated earnings (loss) | | 838 |
| Net Assets | | $172,570,521 |
| Net Asset Value and Maximum Offering Price | | |
| Class I: | | |
| Net Asset Value, offering price and redemption price per share ($45,360,375 ÷ 45,346,382 shares) | | $1.00 |
| Class II: | | |
| Net Asset Value, offering price and redemption price per share ($697,000 ÷ 696,631 shares) | | $1.00 |
| Class III: | | |
| Net Asset Value, offering price and redemption price per share ($3,703,755 ÷ 3,701,906 shares) | | $1.00 |
| Select Class: | | |
| Net Asset Value, offering price and redemption price per share ($497,869 ÷ 497,805 shares) | | $1.00 |
| Institutional Class: | | |
| Net Asset Value, offering price and redemption price per share ($122,311,522 ÷ 122,315,168 shares) | | $1.00 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
| Amounts in thousands | | Year ended March 31, 2020 |
| Investment Income | | |
| Interest | | $2,483,108 |
| Expenses | | |
| Management fee | $178,327 | |
| Transfer agent fees | 49,832 | |
| Distribution and service plan fees | 9,541 | |
| Accounting fees and expenses | 3,379 | |
| Custodian fees and expenses | 739 | |
| Independent trustees' fees and expenses | 472 | |
| Registration fees | 9,331 | |
| Audit | 49 | |
| Legal | 130 | |
| Miscellaneous | 425 | |
| Total expenses before reductions | 252,225 | |
| Expense reductions | (48,587) | |
| Total expenses after reductions | | 203,638 |
| Net investment income (loss) | | 2,279,470 |
| Realized and Unrealized Gain (Loss) | | |
| Net realized gain (loss) on: | | |
| Investment securities: | | |
| Unaffiliated issuers | | 370 |
| Total net realized gain (loss) | | 370 |
| Net increase in net assets resulting from operations | | $2,279,840 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
| Amounts in thousands | Year ended March 31, 2020 | Year ended March 31, 2019 |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net investment income (loss) | $2,279,470 | $2,183,497 |
| Net realized gain (loss) | 370 | 206 |
| Net increase in net assets resulting from operations | 2,279,840 | 2,183,703 |
| Distributions to shareholders | (2,276,551) | (2,185,195) |
| Share transactions - net increase (decrease) | 63,497,681 | 8,002,805 |
| Total increase (decrease) in net assets | 63,500,970 | 8,001,313 |
| Net Assets | | |
| Beginning of period | 109,069,551 | 101,068,238 |
| End of period | $172,570,521 | $109,069,551 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Government Portfolio Class I
| Years ended March 31, | 2020 | 2019 | 2018 | 2017 | 2016 |
| Selected Per–Share Data | | | | | |
| Net asset value, beginning of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Income from Investment Operations | | | | | |
| Net investment income (loss) | .018 | .020 | .009 | .003 | .001 |
| Net realized and unrealized gain (loss)A | – | – | – | – | – |
| Total from investment operations | .018 | .020 | .009 | .003 | .001 |
| Distributions from net investment income | (.018) | (.020) | (.009) | (.003) | (.001) |
| Total distributions | (.018) | (.020) | (.009) | (.003) | (.001) |
| Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Total ReturnB | 1.83% | 1.97% | .95% | .31% | .06% |
| Ratios to Average Net AssetsC | | | | | |
| Expenses before reductions | .21% | .21% | .20% | .21% | .21% |
| Expenses net of fee waivers, if any | .18% | .18% | .18% | .18% | .16% |
| Expenses net of all reductions | .18% | .18% | .18% | .18% | .16% |
| Net investment income (loss) | 1.77% | 1.96% | .95% | .33% | .08% |
| Supplemental Data | | | | | |
| Net assets, end of period (in millions) | $45,360 | $29,352 | $31,829 | $31,498 | $22,047 |
A Amount represents less than $.0005 per share.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C 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.
See accompanying notes which are an integral part of the financial statements.
Government Portfolio Class II
| Years ended March 31, | 2020 | 2019 | 2018 | 2017 | 2016 |
| Selected Per–Share Data | | | | | |
| Net asset value, beginning of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Income from Investment Operations | | | | | |
| Net investment income (loss) | .017 | .018 | .008 | .002 | –A |
| Net realized and unrealized gain (loss)A | – | – | – | – | – |
| Total from investment operations | .017 | .018 | .008 | .002 | –A |
| Distributions from net investment income | (.017) | (.018) | (.008) | (.002) | –A |
| Total distributions | (.017) | (.018) | (.008) | (.002) | –A |
| Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Total ReturnB | 1.68% | 1.82% | .80% | .16% | .02% |
| Ratios to Average Net AssetsC | | | | | |
| Expenses before reductions | .36% | .36% | .35% | .36% | .36% |
| Expenses net of fee waivers, if any | .33% | .33% | .33% | .33% | .20% |
| Expenses net of all reductions | .33% | .33% | .33% | .33% | .20% |
| Net investment income (loss) | 1.62% | 1.81% | .80% | .18% | .04% |
| Supplemental Data | | | | | |
| Net assets, end of period (in millions) | $697 | $836 | $744 | $909 | $485 |
A Amount represents less than $.0005 per share.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C 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.
See accompanying notes which are an integral part of the financial statements.
Government Portfolio Class III
| Years ended March 31, | 2020 | 2019 | 2018 | 2017 | 2016 |
| Selected Per–Share Data | | | | | |
| Net asset value, beginning of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Income from Investment Operations | | | | | |
| Net investment income (loss) | .016 | .017 | .007 | .001 | –A |
| Net realized and unrealized gain (loss)A | – | – | – | – | – |
| Total from investment operations | .016 | .017 | .007 | .001 | –A |
| Distributions from net investment income | (.016) | (.017) | (.007) | (.001) | –A |
| Total distributions | (.016) | (.017) | (.007) | (.001) | –A |
| Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Total ReturnB | 1.57% | 1.72% | .70% | .07% | .01% |
| Ratios to Average Net AssetsC | | | | | |
| Expenses before reductions | .46% | .46% | .46% | .46% | .46% |
| Expenses net of fee waivers, if any | .43% | .43% | .43% | .43% | .21% |
| Expenses net of all reductions | .43% | .43% | .43% | .43% | .21% |
| Net investment income (loss) | 1.52% | 1.71% | .70% | .09% | .03% |
| Supplemental Data | | | | | |
| Net assets, end of period (in millions) | $3,704 | $3,397 | $3,351 | $3,038 | $1,957 |
A Amount represents less than $.0005 per share.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C 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.
See accompanying notes which are an integral part of the financial statements.
Government Portfolio Select Class
| Years ended March 31, | 2020 | 2019 | 2018 | 2017 | 2016 |
| Selected Per–Share Data | | | | | |
| Net asset value, beginning of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Income from Investment Operations | | | | | |
| Net investment income (loss) | .018 | .019 | .009 | .003 | –A |
| Net realized and unrealized gain (loss)A | – | – | – | – | – |
| Total from investment operations | .018 | .019 | .009 | .003 | –A |
| Distributions from net investment income | (.018) | (.019) | (.009) | (.003) | –A |
| Total distributions | (.018) | (.019) | (.009) | (.003) | –A |
| Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Total ReturnB | 1.78% | 1.92% | .90% | .26% | .05% |
| Ratios to Average Net AssetsC | | | | | |
| Expenses before reductions | .26% | .25% | .26% | .26% | .26% |
| Expenses net of fee waivers, if any | .23% | .23% | .23% | .23% | .17% |
| Expenses net of all reductions | .23% | .23% | .23% | .23% | .17% |
| Net investment income (loss) | 1.72% | 1.91% | .90% | .28% | .07% |
| Supplemental Data | | | | | |
| Net assets, end of period (in millions) | $498 | $335 | $450 | $641 | $286 |
A Amount represents less than $.0005 per share.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C 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.
See accompanying notes which are an integral part of the financial statements.
Government Portfolio Institutional Class
| Years ended March 31, | 2020 | 2019 | 2018 | 2017 | 2016 |
| Selected Per–Share Data | | | | | |
| Net asset value, beginning of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Income from Investment Operations | | | | | |
| Net investment income (loss) | .019 | .020 | .010 | .004 | .001 |
| Net realized and unrealized gain (loss)A | – | – | – | – | – |
| Total from investment operations | .019 | .020 | .010 | .004 | .001 |
| Distributions from net investment income | (.019) | (.020) | (.010) | (.004) | (.001) |
| Total distributions | (.019) | (.020) | (.010) | (.004) | (.001) |
| Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Total ReturnB | 1.87% | 2.01% | .99% | .35% | .08% |
| Ratios to Average Net AssetsC | | | | | |
| Expenses before reductions | .18% | .18% | .18% | .18% | .18% |
| Expenses net of fee waivers, if any | .14% | .14% | .14% | .14% | .14% |
| Expenses net of all reductions | .14% | .14% | .14% | .14% | .14% |
| Net investment income (loss) | 1.81% | 2.00% | .99% | .37% | .10% |
| Supplemental Data | | | | | |
| Net assets, end of period (in millions) | $122,312 | $75,150 | $64,695 | $58,310 | $19,281 |
A Amount represents less than $.0005 per share.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C 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.
See accompanying notes which are an integral part of the financial statements.
Money Market Portfolio
Investment Summary/Performance (Unaudited)
Effective Maturity Diversification as of March 31, 2020
| Days | % of fund's investments 3/31/20 |
| 1 - 7 | 43.3 |
| 8 - 30 | 19.0 |
| 31 - 60 | 16.9 |
| 61 - 90 | 7.9 |
| 91 - 180 | 12.9 |
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 March 31, 2020 |
| | Certificates of Deposit | 36.4% |
| | Commercial Paper | 33.8% |
| | Variable Rate Demand Notes (VRDNs) | 0.3% |
| | U.S. Treasury Debt | 0.5% |
| | Non-Negotiable Time Deposit | 14.5% |
| | Other Instruments | 0.4% |
| | Repurchase Agreements | 14.1% |
Current 7-Day Yields
| | 3/31/20 |
| Class I | 0.93% |
| Class II | 0.78% |
| Class III | 0.68% |
| Select Class | 0.88% |
| Institutional Class | 0.97% |
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.
Money Market Portfolio
Schedule of Investments March 31, 2020
Showing Percentage of Net Assets
| Certificate of Deposit - 36.4% | | | | |
| | | Yield(a) | Principal Amount (000s) | Value (000s) |
| Domestic Certificates Of Deposit - 0.8% | | | | |
| HSBC Bank U.S.A. NA | | | | |
| 4/23/20 to 4/24/20 | | 2.02% | $344,000 | $344,000 |
| Wells Fargo Bank NA | | | | |
| 7/27/20 | | 1.06 (b)(c) | 170,000 | 170,000 |
| | | | | 514,000 |
| London Branch, Eurodollar, Foreign Banks - 15.1% | | | | |
| Bank of Montreal London Branch | | | | |
| 7/20/20 | | 1.54 | 123,000 | 123,000 |
| Credit Agricole SA London Branch | | | | |
| 5/4/20 to 7/3/20 | | 1.48 to 1.79 | 610,000 | 610,000 |
| DZ Bank AG London Branch | | | | |
| 4/6/20 to 6/22/20 | | 1.66 to 1.91 | 3,436,000 | 3,429,445 |
| KBC Bank NV London | | | | |
| 4/21/20 to 6/29/20 | | 1.61 to 1.76 | 2,451,000 | 2,445,899 |
| Landesbank Hessen-Thueringen London Branch | | | | |
| 4/7/20 | | 0.70 | 979,000 | 979,000 |
| Mitsubishi UFJ Trust & Banking Corp. | | | | |
| 5/20/20 | | 1.69 | 98,000 | 97,776 |
| Mizuho Bank Ltd. London Branch | | | | |
| 5/5/20 to 6/2/20 | | 1.62 to 1.73 | 785,000 | 783,169 |
| Rabobank Nederland London Branch | | | | |
| 6/19/20 to 6/22/20 | | 1.66 | 489,000 | 487,198 |
| Sumitomo Mitsui Trust Bank Ltd. London Branch | | | | |
| 5/7/20 to 5/29/20 | | 1.74 to 1.82 | 434,000 | 433,029 |
| | | | | 9,388,516 |
| New York Branch, Yankee Dollar, Foreign Banks - 20.5% | | | | |
| Bank of Montreal | | | | |
| 4/1/20 to 11/17/20 | | 0.85 to 1.77 (b) | 2,838,650 | 2,838,650 |
| Bank of Nova Scotia | | | | |
| 9/3/20 | | 1.55 (b)(c) | 250,000 | 250,000 |
| Bank of Tokyo-Mitsubishi UFJ Ltd. | | | | |
| 6/30/20 to 7/16/20 | | 1.00 to 1.60 | 972,000 | 972,000 |
| Barclays Bank PLC | | | | |
| 5/4/20 | | 1.75 | 180,000 | 180,000 |
| Mitsubishi UFJ Trust & Banking Corp. | | | | |
| 5/13/20 to 7/7/20 | | 0.66 to 1.46 (b) | 1,100,600 | 1,100,600 |
| Mizuho Corporate Bank Ltd. | | | | |
| 5/13/20 to 7/1/20 | | 0.92 to 1.46 (b) | 1,449,600 | 1,449,600 |
| Natexis Banques Populaires New York Branch | | | | |
| 4/24/20 to 6/5/20 | | 1.06 to 1.81 | 1,500,000 | 1,500,000 |
| Royal Bank of Canada | | | | |
| 8/27/20 to 9/10/20 | | 0.98 to 1.72 (b)(c) | 386,000 | 386,000 |
| Sumitomo Mitsui Banking Corp. | | | | |
| 5/7/20 to 7/8/20 | | 0.74 to 1.47 (b) | 2,069,000 | 2,069,000 |
| Sumitomo Mitsui Trust Bank Ltd. | | | | |
| 4/3/20 to 7/2/20 | | 0.85 to 1.98 (b) | 1,485,400 | 1,485,400 |
| Svenska Handelsbanken, Inc. | | | | |
| 8/11/20 | | 0.77 (b)(c) | 464,000 | 464,000 |
| | | | | 12,695,250 |
| TOTAL CERTIFICATE OF DEPOSIT | | | | |
| (Cost $22,597,766) | | | | 22,597,766 |
|
| Financial Company Commercial Paper - 31.1% | | | | |
| Australia & New Zealand Banking Group Ltd. | | | | |
| 4/20/20 | | 1.95 | 386,000 | 385,607 |
| Bank of Nova Scotia | | | | |
| 7/15/20 to 11/13/20 | | 0.98 to 1.78 (b)(c) | 2,165,000 | 2,165,000 |
| Barclays Bank PLC/Barclays U.S. CCP Funding LLC | | | | |
| 4/1/20 to 5/4/20 | | 1.66 to 2.50 (d) | 378,000 | 377,852 |
| BNP Paribas Fortis | | | | |
| 4/3/20 | | 0.50 | 45,000 | 44,999 |
| BNP Paribas New York Branch | | | | |
| 4/1/20 to 4/3/20 | | 0.04 to 0.50 | 347,000 | 346,997 |
| BPCE SA | | | | |
| 6/24/20 | | 1.61 | 170,000 | 169,365 |
| Canadian Imperial Bank of Commerce | | | | |
| 4/6/20 to 9/14/20 | | 0.40 to 1.09 (b) | 2,144,000 | 2,140,435 |
| Citigroup Global Markets, Inc. | | | | |
| 4/14/20 to 8/5/20 | | 0.86 to 1.98 | 570,000 | 568,546 |
| Credit Suisse AG | | | | |
| 4/21/20 to 4/22/20 | | 2.03 | 362,000 | 361,584 |
| Federation des caisses Desjardin | | | | |
| 4/1/20 to 8/28/20 | | 0.07 to 1.95 | 801,000 | 798,853 |
| J.P. Morgan Securities, LLC | | | | |
| 4/27/20 | | 1.90 | 219,000 | 218,703 |
| Landesbank Baden-Wurttemberg | | | | |
| 4/1/20 | | 0.05 | 975,000 | 975,000 |
| Mitsubishi UFJ Trust & Banking Corp. | | | | |
| 5/11/20 to 5/18/20 | | 1.69 to 1.71 | 268,000 | 267,453 |
| Natexis Banques Populaires New York Branch | | | | |
| 6/24/20 | | 1.61 | 215,400 | 214,596 |
| National Australia Bank Ltd. | | | | |
| 4/1/20 | | 2.05 | 166,000 | 166,000 |
| National Bank of Canada | | | | |
| 5/8/20 | | 1.90 | 239,000 | 238,538 |
| Nationwide Building Society | | | | |
| 4/1/20 | | 1.63 | 83,000 | 83,000 |
| Rabobank Nederland New York Branch | | | | |
| 4/1/20 | | 0.05 | 234,000 | 234,000 |
| Royal Bank of Canada | | | | |
| 4/15/20 to 9/14/20 | | 0.88 to 1.76 (b) | 2,998,600 | 2,992,053 |
| Societe Generale | | | | |
| 4/3/20 to 4/7/20 | | 0.24 to 0.49 | 2,012,000 | 2,011,927 |
| Sumitomo Mitsui Trust Bank Ltd. | | | | |
| 4/2/20 to 5/5/20 | | 1.64 to 1.90 | 883,898 | 883,233 |
| Svenska Handelsbanken AB | | | | |
| 9/4/20 | | 0.92 | 484,000 | 482,081 |
| The Toronto-Dominion Bank | | | | |
| 5/4/20 to 11/10/20 | | 0.94 to 2.08 (b) | 2,938,000 | 2,936,722 |
| Toyota Motor Credit Corp. | | | | |
| 7/2/20 | | 1.96 (b)(c) | 86,600 | 86,600 |
| UBS AG London Branch | | | | |
| 4/23/20 | | 2.02 | 183,000 | 182,776 |
| TOTAL FINANCIAL COMPANY COMMERCIAL PAPER | | | | |
| (Cost $19,331,920) | | | | 19,331,920 |
|
| Asset Backed Commercial Paper - 1.6% | | | | |
| Atlantic Asset Securitization Corp. (Liquidity Facility Credit Agricole CIB) | | | | |
| | | | | |
| 4/1/20 | | 0.07 | 47,000 | 47,000 |
| 4/3/20 | | 1.90 | 123,000 | 122,987 |
| Autobahn Funding Co. LLC (Liquidity Facility DZ BANK AG) | | | | |
| 4/1/20 | | 1.60 | 19,000 | 19,000 |
| Gotham Funding Corp. (Liquidity Facility Bank of Tokyo-Mitsubishi UFJ Ltd.) | | | | |
| 4/3/20 | | 2.00 | 45,000 | 44,995 |
| Liberty Street Funding LLC (Liquidity Facility Bank of Nova Scotia) | | | | |
| | | | | |
| 4/2/20 | | 2.07 | 26,000 | 25,999 |
| 4/2/20 | | 2.07 | 26,000 | 25,999 |
| 4/3/20 | | 2.07 | 54,000 | 53,994 |
| Manhattan Asset Funding Co. LLC (Liquidity Facility Sumitomo Mitsui Banking Corp.) | | | | |
| 5/7/20 | | 1.60 | 26,000 | 25,958 |
| Sheffield Receivables Corp. (Liquidity Facility Barclays Bank PLC) | | | | |
| | | | | |
| 4/1/20 | | 2.50 | 220,000 | 220,000 |
| 4/1/20 | | 2.50 | 100,000 | 100,000 |
| 4/2/20 | | 2.00 | 200,000 | 199,989 |
| 5/11/20 | | 1.69 | 87,000 | 86,838 |
| 5/11/20 | | 1.69 | 43,000 | 42,920 |
| TOTAL ASSET BACKED COMMERCIAL PAPER | | | | |
| (Cost $1,015,679) | | | | 1,015,679 |
|
| Non-Financial Company Commercial Paper - 1.1% | | | | |
| American Electric Power Co., Inc. | | | | |
| 4/1/20 to 4/8/20 | | 1.75 to 1.76 | 228,000 | 227,976 |
| Dominion Energy, Inc. | | | | |
| 4/1/20 to 4/27/20 | | 1.45 to 1.76 | 225,900 | 225,775 |
| Duke Energy Corp. | | | | |
| 4/8/20 | | 1.75 | 23,650 | 23,642 |
| Sempra Global | | | | |
| 4/2/20 | | 1.86 | 33,000 | 32,998 |
| 4/3/20 | | 1.86 | 23,000 | 22,998 |
| 4/7/20 | | 1.86 | 23,000 | 22,993 |
| 4/9/20 | | 1.78 | 23,650 | 23,641 |
| TransCanada PipeLines Ltd. | | | | |
| 4/2/20 to 4/13/20 | | 1.75 to 1.81 | 85,005 | 84,988 |
| TOTAL NON-FINANCIAL COMPANY COMMERCIAL PAPER | | | | |
| (Cost $665,011) | | | | 665,011 |
|
| U.S. Treasury Debt - 0.5% | | | | |
| U.S. Treasury Obligations - 0.5% | | | | |
| U.S. Treasury Notes | | | | |
| 7/31/21 to 10/31/21 | | | | |
| (Cost $309,883) | | 0.31 to 0.39 (b)(c) | 310,000 | 309,883 |
|
| Other Instrument - 0.4% | | | | |
| Master Notes - 0.4% | | | | |
| Toyota Motor Credit Corp. | | | | |
| 4/7/20 | | | | |
| (Cost $228,000) | | 0.93 (b)(c)(e) | 228,000 | 228,000 |
|
| Variable Rate Demand Note - 0.3% | | | | |
| Arizona - 0.0% | | | | |
| Arizona Health Facilities Auth. Rev. (Catholic Healthcare West Proj.) Series 2008 B, 4.75% 4/7/20, LOC Barclays Bank PLC, VRDN | | | | |
| 4/7/20 | | 4.75 (b) | 13,795 | 13,795 |
| California - 0.1% | | | | |
| California Health Facilities Fing. Auth. Rev. (Catholic Healthcare West Proj.) Series 2005 H, 5.35% 4/7/20, LOC Sumitomo Mitsui Banking Corp., VRDN | | | | |
| 4/7/20 | | 5.35 (b) | 32,900 | 32,900 |
| Illinois - 0.1% | | | | |
| Chicago O'Hare Int'l. Arpt. Rev. Series 2005 D, 5.03% 4/7/20, LOC Barclays Bank PLC, VRDN | | | | |
| 4/7/20 | | 5.03 (b) | 41,600 | 41,600 |
| Illinois Dev. Fin. Auth. Rev. (Lyric Opera of Chicago Proj.) 5.1% 4/7/20, LOC BMO Harris Bank NA, LOC Northern Trust Co., VRDN | | | | |
| 4/7/20 | | 5.10 (b) | 21,400 | 21,400 |
| | | | | 63,000 |
| Louisiana - 0.0% | | | | |
| Louisiana Offshore Term. Auth. Deepwater Port Rev. (LOOP LLC Proj.) Series 2013 B, 5.01% 4/7/20, LOC JPMorgan Chase Bank, VRDN | | | | |
| 4/7/20 | | 5.01 (b) | 13,900 | 13,900 |
| Nevada - 0.0% | | | | |
| Clark County Arpt. Rev. Series 2008 B2, 5.2% 4/7/20, LOC State Street Bank & Trust Co., Boston, VRDN | | | | |
| 4/7/20 | | 5.20 (b)(f) | 14,285 | 14,285 |
| Clark County Arpt. Rev. Series 2008 D 2A, 3.7% 4/7/20, LOC Wells Fargo Bank NA, VRDN | | | | |
| 4/7/20 | | 3.70 (b) | 10,900 | 10,900 |
| | | | | 25,185 |
| New York - 0.1% | | | | |
| New York City Gen. Oblig. Series D5, 4.5% 4/7/20, LOC PNC Bank NA, VRDN | | | | |
| 4/7/20 | | 4.50 (b) | 11,900 | 11,900 |
| New York City Hsg. Dev. Corp. Multi-family Mtg. Rev. (Related-Upper East Proj.) Series A, 4.75% 4/7/20, LOC Landesbank Baden-Wurttemberg, VRDN | | | | |
| 4/7/20 | | 4.75 (b)(f) | 23,500 | 23,500 |
| | | | | 35,400 |
| Pennsylvania - 0.0% | | | | |
| Philadelphia Gas Works Rev. (1998 Gen. Ordinance Proj.) Eighth Series C, 4.5% 4/7/20, LOC Barclays Bank PLC, VRDN | | | | |
| 4/7/20 | | 4.50 (b) | 11,300 | 11,300 |
| Wisconsin - 0.0% | | | | |
| Green Bay Redev. Auth. (Green Bay Packaging, Inc. Proj.) 3.8% 4/7/20, LOC Wells Fargo Bank NA, VRDN | | | | |
| 4/7/20 | | 3.80 (b)(d)(f) | 18,700 | 18,700 |
| TOTAL VARIABLE RATE DEMAND NOTE | | | | |
| (Cost $214,180) | | | | 214,180 |
|
| Non-Negotiable Time Deposit - 14.5% | | | | |
| Time Deposits - 14.5% | | | | |
| Abn Amro Bank NV(TD) | | | | |
| 4/1/20 | | 0.08 | 438,000 | 438,000 |
| Australia & New Zealand Banking Group Ltd. | | | | |
| 4/1/20 | | 0.05 | 488,000 | 488,000 |
| Bank of Nova Scotia | | | | |
| 4/1/20 | | 0.08 | 702,000 | 702,000 |
| Barclays Bank PLC | | | | |
| 4/1/20 | | 0.25 | 2,559,000 | 2,559,000 |
| Credit Agricole CIB | | | | |
| 4/1/20 | | 0.06 | 815,000 | 815,000 |
| Credit Industriel et Commercial | | | | |
| 4/1/20 | | 0.04 | 174,000 | 174,000 |
| Credit Suisse AG | | | | |
| 4/1/20 | | 0.10 | 955,000 | 955,000 |
| Landesbank Hessen-Thuringen London Branch | | | | |
| 4/3/20 | | 0.50 | 463,000 | 463,000 |
| Mizuho Bank Ltd. | | | | |
| 4/1/20 | | 0.03 | 194,000 | 194,000 |
| Societe Generale | | | | |
| 4/1/20 | | 0.06 | 45,000 | 45,000 |
| Svenska Handelsbanken AB | | | | |
| 4/1/20 | | 0.03 | 2,170,000 | 2,170,000 |
| TOTAL NON-NEGOTIABLE TIME DEPOSIT | | | | |
| (Cost $9,003,000) | | | | 9,003,000 |
| Other Municipal Security - 0.0% | | | |
| | | Principal Amount (000s) | Value (000s) |
| Georgia - 0.0% | | | |
| Atlanta Arpt. Rev.: | | | |
| Series K1, 4.125% 4/1/20, LOC PNC Bank NA, CP | | $21,000 | $21,000 |
| Series K2, 4.125% 4/1/20, LOC PNC Bank NA, CP (f) | | 14,000 | 14,000 |
| TOTAL OTHER MUNICIPAL SECURITY | | | |
| (Cost $35,000) | | | 35,000 |
|
| Interfund Loans - 0.0% | | | |
| With: | | | |
| Fidelity International Enhanced Index Fund, at .29% due 4/1/2020(g) | | | |
| (Cost $7,082) | | 7,082 | 7,082 |
| | | Maturity Amount (000s) | Value (000s) |
|
| U.S. Government Agency Repurchase Agreement - 1.2% | | | |
| In a joint trading account at: | | | |
| 0.02% dated 3/31/20 due 4/1/20 (Collateralized by U.S. Government Obligations)# | | 312,053 | 312,053 |
| 0.02% dated 3/31/20 due 4/1/20 (Collateralized by U.S. Government Obligations)# | | 437,460 | 437,460 |
| TOTAL U.S. GOVERNMENT AGENCY REPURCHASE AGREEMENT | | | |
| (Cost $749,513) | | | 749,513 |
|
| U.S. Treasury Repurchase Agreement - 3.3% | | | |
| With: | | | |
| BNP Paribas, SA at 1.61%, dated 2/18/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $280,016,487, 0.05% - 7.50%, 10/31/20 - 11/15/49) | | 274,099 | 273,000 |
| Credit Agricole CIB at 0.02%, dated 3/31/20 due 4/1/20 (Collateralized by U.S. Treasury Obligations valued at $196,318,777, 1.38% - 5.25%, 9/15/20 - 2/15/29) | | 192,000 | 192,000 |
| HSBC Securities, Inc. at 0.01%, dated 3/31/20 due 4/1/20 (Collateralized by U.S. Treasury Obligations valued at $121,641,967, 1.88%, 8/31/24) | | 119,000 | 119,000 |
| ING Financial Markets LLC at 0.01%, dated 3/31/20 due 4/1/20 (Collateralized by U.S. Treasury Obligations valued at $246,090,392, 1.63%, 12/31/21) | | 241,000 | 241,000 |
| Mizuho Bank, Ltd. at 0.01%, dated 3/31/20 due 4/1/20 (Collateralized by U.S. Treasury Obligations valued at $134,961,764, 2.38%, 5/15/29) | | 132,000 | 132,000 |
| MUFG Securities EMEA PLC at 0.01%, dated 3/31/20 due 4/1/20 | | | |
| (Collateralized by U.S. Treasury Obligations valued at $205,873,271, 1.38% - 2.75%, 5/31/23 - 8/15/46) | | 201,000 | 201,000 |
| (Collateralized by U.S. Treasury Obligations valued at $104,479,832, 2.25% - 2.88%, 9/30/23 - 8/15/46) | | 102,000 | 102,000 |
| SMBC Nikko Securities America, Inc. at 0.02%, dated 3/31/20 due 4/1/20 (Collateralized by U.S. Treasury Obligations valued at $788,579,350, 1.75% - 2.75%, 2/28/21 - 11/15/24) | | 770,000 | 770,000 |
| TOTAL U.S. TREASURY REPURCHASE AGREEMENT | | | |
| (Cost $2,030,000) | | | 2,030,000 |
|
| Other Repurchase Agreement - 9.6% | | | |
| Other Repurchase Agreement - 9.6% | | | |
| With: | | | |
| BMO Capital Markets Corp. at 0.43%, dated 3/31/20 due 4/1/20 (Collateralized by Corporate Obligations valued at $163,098,499, 2.38% - 11.00%, 5/1/20 - 04/05/50) | | 154,002 | 154,000 |
| BNP Paribas at 0.33%, dated 3/31/20 due 4/1/20 (Collateralized by Corporate Obligations valued at $271,928,785, 0.00% - 8.10%, 1/22/21 - 8/16/77) | | 259,002 | 259,000 |
| BofA Securities, Inc. at 0.58%, dated 3/31/20 due 4/1/20 (Collateralized by Mortgage Loan Obligations valued at $135,702,187, 3.64%, 10/25/59) | | 118,002 | 118,000 |
| Citigroup Global Markets, Inc. at: | | | |
| 1.01%, dated 10/18/19 due 4/15/20 (Collateralized by Corporate Obligations valued at $105,881,123, 1.65% - 7.10%, 7/5/33 - 10/6/46)(b)(c)(h) | | 98,495 | 98,000 |
| 1.21%, dated 11/12/19 due 5/5/20 (Collateralized by Corporate Obligations valued at $161,028,321, 0.00% - 7.83%, 6/15/30 - 1/1/99)(b)(c)(h) | | 149,876 | 149,000 |
| 1.81%, dated 3/4/20 due 5/5/20 (Collateralized by Mortgage Loan Obligations valued at $105,113,674, 0.27% - 6.00%, 12/25/32 - 12/16/72)(b)(c)(h) | | 100,312 | 100,000 |
| 2.07%, dated 2/24/20 due 5/27/20 (Collateralized by U.S. Treasury Obligations valued at $155,091,857, 0.00% - 7.60%, 7/1/20 - 7/1/42) | | 151,807 | 151,000 |
| Credit AG CIB Paris at 0.8%, dated: | | | |
| 3/27/20 due 4/3/20 (Collateralized by Corporate Obligations valued at $52,506,441, 3.00% - 4.25%, 7/15/22 - 3/15/29) | | 50,008 | 50,000 |
| 3/31/20 due 4/6/20 (Collateralized by Corporate Obligations valued at $98,545,255, 1.71% - 6.15%, 6/30/20 - 1/21/50) | | 94,013 | 94,000 |
| 4/1/20 due 4/7/20(i) | | 94,013 | 94,000 |
| Credit Suisse Securities (U.S.A.) LLC at 1.66%, dated 3/2/20 due 6/4/20 (Collateralized by Corporate Obligations valued at $132,483,015, 0.00% - 6.01%, 11/15/22 - 6/17/69) | | 126,872 | 126,000 |
| Deutsche Bank AG at 0.58%, dated 3/31/20 due 4/1/20 (Collateralized by Municipal Bond Obligations valued at $171,425,105, 0.00% - 5.25%, 1/1/22 - 11/1/59) | | 162,963 | 162,960 |
| HSBC Securities, Inc. at 0.43%, dated 3/31/20 due 4/1/20 (Collateralized by Corporate Obligations valued at $270,436,611, 0.75% - 9.63%, 1/15/21 - 4/8/68) | | 259,003 | 259,000 |
| ING Financial Markets LLC at: | | | |
| 0.25%, dated 3/31/20 due 4/1/20 (Collateralized by Corporate Obligations valued at $49,350,567, 1.38% - 5.00%, 6/15/20 - 7/29/49) | | 47,000 | 47,000 |
| 0.3%, dated 3/31/20 due 4/1/20 | | | |
| (Collateralized by Equity Securities valued at $50,760,448) | | 47,000 | 47,000 |
| (Collateralized by Equity Securities valued at $74,520,658) | | 69,001 | 69,000 |
| 1.32%, dated 3/5/20 due 5/4/20 (Collateralized by Equity Securities valued at $163,241,461) | | 151,332 | 151,000 |
| J.P. Morgan Securities, LLC at 0.34%, dated 3/12/20 due 4/7/20 (Collateralized by Equity Securities valued at $563,954,967)(b)(c)(h) | | 522,128 | 522,000 |
| Mitsubishi UFJ Securities (U.S.A.), Inc. at: | | | |
| 0.38%, dated 3/31/20 due 4/1/20 (Collateralized by Equity Securities valued at $153,361,619) | | 142,001 | 142,000 |
| 0.63%, dated 3/31/20 due 4/1/20 (Collateralized by Corporate Obligations valued at $12,887,593, 0.00% - 6.50%, 2/15/22 - 2/15/35) | | 12,000 | 12,000 |
| Mizuho Securities U.S.A., Inc. at: | | | |
| 0.53%, dated 3/31/20 due 4/1/20 (Collateralized by U.S. Government Obligations valued at $72,006,881, 3.00% - 6.00%, 12/20/26 - 3/20/50) | | 70,001 | 70,000 |
| 0.58%, dated 3/31/20 due 4/1/20 | | | |
| (Collateralized by U.S. Government Obligations valued at $23,460,379, 3.00% - 4.00%, 8/1/48 - 8/1/49) | | 23,000 | 23,000 |
| (Collateralized by Equity Securities valued at $406,962,236) | | 377,006 | 377,000 |
| 1.08%, dated 3/31/20 due 4/1/20 (Collateralized by U.S. Government Obligations valued at $149,354,481, 0.11% - 6.00%, 7/16/33 - 11/16/60) | | 145,004 | 145,000 |
| 2.08%, dated 2/25/20 due 4/27/20 (Collateralized by Municipal Bond Obligations valued at $81,075,230, 3.51% - 5.95%, 9/2/45 - 9/1/46) | | 75,269 | 75,000 |
| Morgan Stanley & Co., Inc. at 2.08%, dated 2/5/20 due 5/5/20 (Collateralized by Corporate Obligations valued at $27,090,664, 0.00% - 9.85%, 11/15/23 - 7/17/58) | | 25,130 | 25,000 |
| RBS Securities, Inc. at 0.35%, dated 3/31/20 due 4/1/20 (Collateralized by Corporate Obligations valued at $154,335,694, 0.99% - 5.88%, 4/8/20 - 5/11/42) | | 147,001 | 147,000 |
| Societe Generale at: | | | |
| 0.45%, dated 3/31/20 due 4/1/20 (Collateralized by Corporate Obligations valued at $271,953,401, 0.68% - 8.35%, 4/15/20 - 12/15/66) | | 259,003 | 259,000 |
| 0.5%, dated 3/31/20 due 4/1/20 (Collateralized by Corporate Obligations valued at $354,432,282, 3.09% - 11.13%, 6/1/21 - 3/24/51) | | 329,005 | 329,000 |
| 0.55%, dated 3/31/20 due 4/1/20 (Collateralized by Corporate Obligations valued at $301,839,507, 0.68% - 12.00%, 5/5/20 - 10/15/93) | | 283,004 | 283,000 |
| 0.6%, dated 3/31/20 due 4/7/20 (Collateralized by Corporate Obligations valued at $152,993,326, 2.67% - 12.00%, 3/8/21 - 12/29/49) | | 142,017 | 142,000 |
| 0.65%, dated 3/31/20 due 4/7/20 (Collateralized by Corporate Obligations valued at $50,671,863, 0.97% - 12.00%, 10/1/20 - 10/15/93) | | 47,006 | 47,000 |
| Wells Fargo Securities, LLC at: | | | |
| 0.55%, dated 3/31/20 due 4/1/20 (Collateralized by Corporate Obligations valued at $243,082,940, 0.23% - 7.63%, 5/5/20 - 6/14/46) | | 236,004 | 236,000 |
| 0.75%, dated 3/31/20 due 4/1/20 | | | |
| (Collateralized by Corporate Obligations valued at $493,510,328, 2.63% - 6.02%, 6/1/21 - 5/15/58) | | 470,010 | 470,000 |
| (Collateralized by Corporate Obligations valued at $150,292,856, 0.00% - 8.63%, 12/15/20 - 8/17/61) | | 142,003 | 142,000 |
| (Collateralized by Corporate Obligations valued at $150,417,879, 2.20% - 8.88%, 6/15/20 - 12/1/49) | | 142,003 | 142,000 |
| 0.8%, dated 3/30/20 due 4/6/20 (Collateralized by Corporate Obligations valued at $247,811,873, 0.25% - 9.25%, 5/15/20 - 4/8/68) | | 236,037 | 236,000 |
| TOTAL OTHER REPURCHASE AGREEMENT | | | |
| (Cost $5,952,960) | | | 5,952,960 |
| | | | |
| TOTAL INVESTMENT IN SECURITIES - 100.0% | | | |
| (Cost $62,139,994) | | | 62,139,994 |
| NET OTHER ASSETS (LIABILITIES) - 0.0% | | | (21,208) |
| NET ASSETS - 100% | | | $62,118,786 |
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 $396,552,000 or 0.6% of net assets.
(e) Restricted securities (including private placements) - 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 $228,000,000 or 0.4% of net assets.
(f) Private activity obligations whose interest is subject to the federal alternative minimum tax for individuals.
(g) Loan is with an affiliated fund.
(h) The maturity amount is based on the rate at period end.
(i) 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 (000s) |
| Toyota Motor Credit Corp. 0.93%, 4/7/20 | 3/2/20 | $228,000 |
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) |
| $312,053,000 due 4/01/20 at 0.02% | |
| BNP Paribas, S.A. | $33,119 |
| Bank Of America, N.A. | 254,386 |
| JP Morgan Securities LLC | 24,548 |
| | $312,053 |
| $437,460,000 due 4/01/20 at 0.02% | |
| Bank Of America, N.A. | $11,959 |
| BofA Securities, Inc. | 15,646 |
| Citibank NA | 23,094 |
| Citigroup Global Markets, Inc. | 17,629 |
| ING Financial Markets LLC | 8,637 |
| JP Morgan Securities LLC | 86,080 |
| Mitsubishi UFJ Securities Hldgs Ltd | 27,183 |
| Mizuho Securities USA, Inc. | 24,807 |
| Nomura Securities International | 69,032 |
| Wells Fargo Securities LLC | 153,393 |
| | $437,460 |
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) | | March 31, 2020 |
| Assets | | |
Investment in securities, at value (including repurchase agreements of $8,732,473) — See accompanying schedule:
Unaffiliated issuers (cost $62,132,912) | $62,132,912 | |
| Affiliated issuers (cost $7,082) | 7,082 | |
| Total Investment in Securities (cost $62,139,994) | | $62,139,994 |
| Cash | | 1 |
| Receivable for investments sold | | 46,105 |
| Receivable for fund shares sold | | 380,296 |
| Interest receivable | | 31,149 |
| Prepaid expenses | | 39 |
| Receivable from investment adviser for expense reductions | | 651 |
| Other receivables | | 956 |
| Total assets | | 62,599,191 |
| Liabilities | | |
| Payable for investments purchased | $94,000 | |
| Payable for fund shares redeemed | 368,163 | |
| Distributions payable | 5,528 | |
| Accrued management fee | 8,377 | |
| Distribution and service plan fees payable | 68 | |
| Other affiliated payables | 2,716 | |
| Other payables and accrued expenses | 1,553 | |
| Total liabilities | | 480,405 |
| Net Assets | | $62,118,786 |
| Net Assets consist of: | | |
| Paid in capital | | $62,118,673 |
| Total accumulated earnings (loss) | | 113 |
| Net Assets | | $62,118,786 |
| Net Asset Value and Maximum Offering Price | | |
| Class I: | | |
| Net Asset Value, offering price and redemption price per share ($25,801,023 ÷ 25,792,760 shares) | | $1.00 |
| Class II: | | |
| Net Asset Value, offering price and redemption price per share ($394,462 ÷ 394,370 shares) | | $1.00 |
| Class III: | | |
| Net Asset Value, offering price and redemption price per share ($12,534 ÷ 12,535 shares) | | $1.00 |
| Select Class: | | |
| Net Asset Value, offering price and redemption price per share ($59,239 ÷ 59,225 shares) | | $1.00 |
| Institutional Class: | | |
| Net Asset Value, offering price and redemption price per share ($35,851,528 ÷ 35,839,045 shares) | | $1.00 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
| Amounts in thousands | | Year ended March 31, 2020 |
| Investment Income | | |
| Interest (including $488 from affiliated interfund lending) | | $1,444,210 |
| Expenses | | |
| Management fee | $94,353 | |
| Transfer agent fees | 28,156 | |
| Distribution and service plan fees | 861 | |
| Accounting fees and expenses | 2,240 | |
| Custodian fees and expenses | 674 | |
| Independent trustees' fees and expenses | 249 | |
| Registration fees | 1,654 | |
| Audit | 48 | |
| Legal | 65 | |
| Interest | 765 | |
| Miscellaneous | 179 | |
| Total expenses before reductions | 129,244 | |
| Expense reductions | (22,525) | |
| Total expenses after reductions | | 106,719 |
| Net investment income (loss) | | 1,337,491 |
| Realized and Unrealized Gain (Loss) | | |
| Net realized gain (loss) on: | | |
| Investment securities: | | |
| Unaffiliated issuers | | 129 |
| Total net realized gain (loss) | | 129 |
| Net increase in net assets resulting from operations | | $1,337,620 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
| Amounts in thousands | Year ended March 31, 2020 | Year ended March 31, 2019 |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net investment income (loss) | $1,337,491 | $909,119 |
| Net realized gain (loss) | 129 | 339 |
| Net increase in net assets resulting from operations | 1,337,620 | 909,458 |
| Distributions to shareholders | (1,336,263) | (910,234) |
| Share transactions - net increase (decrease) | 6,541,808 | 26,901,641 |
| Total increase (decrease) in net assets | 6,543,165 | 26,900,865 |
| Net Assets | | |
| Beginning of period | 55,575,621 | 28,674,756 |
| End of period | $62,118,786 | $55,575,621 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Money Market Portfolio Class I
| Years ended March 31, | 2020 | 2019 | 2018 | 2017 | 2016 |
| Selected Per–Share Data | | | | | |
| Net asset value, beginning of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Income from Investment Operations | | | | | |
| Net investment income (loss) | .020 | .022 | .013 | .006 | .002 |
| Net realized and unrealized gain (loss)A | – | – | – | – | – |
| Total from investment operations | .020 | .022 | .013 | .006 | .002 |
| Distributions from net investment income | (.020) | (.022) | (.013) | (.006) | (.002) |
| Total distributions | (.020) | (.022) | (.013) | (.006) | (.002) |
| Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Total ReturnB | 2.01% | 2.23% | 1.29% | .63% | .18% |
| Ratios to Average Net AssetsC | | | | | |
| Expenses before reductions | .21% | .21% | .21% | .21% | .21% |
| Expenses net of fee waivers, if any | .18% | .18% | .18% | .18% | .18% |
| Expenses net of all reductions | .18% | .18% | .18% | .18% | .18% |
| Net investment income (loss) | 1.96% | 2.25% | 1.31% | .56% | .17% |
| Supplemental Data | | | | | |
| Net assets, end of period (in millions) | $25,801 | $22,140 | $12,545 | $7,631 | $19,911 |
A Amount represents less than $.0005 per share.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C 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.
See accompanying notes which are an integral part of the financial statements.
Money Market Portfolio Class II
| Years ended March 31, | 2020 | 2019 | 2018 | 2017 | 2016 |
| Selected Per–Share Data | | | | | |
| Net asset value, beginning of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Income from Investment Operations | | | | | |
| Net investment income (loss) | .018 | .021 | .011 | .005 | .001 |
| Net realized and unrealized gain (loss)A | – | – | – | – | – |
| Total from investment operations | .018 | .021 | .011 | .005 | .001 |
| Distributions from net investment income | (.018) | (.021) | (.011) | (.005) | (.001) |
| Total distributions | (.018) | (.021) | (.011) | (.005) | (.001) |
| Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Total ReturnB | 1.86% | 2.08% | 1.14% | .48% | .06% |
| Ratios to Average Net AssetsC | | | | | |
| Expenses before reductions | .36% | .36% | .36% | .36% | .36% |
| Expenses net of fee waivers, if any | .33% | .33% | .33% | .33% | .30% |
| Expenses net of all reductions | .33% | .33% | .33% | .33% | .30% |
| Net investment income (loss) | 1.81% | 2.10% | 1.16% | .41% | .06% |
| Supplemental Data | | | | | |
| Net assets, end of period (in millions) | $394 | $368 | $68 | $14 | $76 |
A Amount represents less than $.0005 per share.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C 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.
See accompanying notes which are an integral part of the financial statements.
Money Market Portfolio Class III
| Years ended March 31, | 2020 | 2019 | 2018 | 2017 | 2016 |
| Selected Per–Share Data | | | | | |
| Net asset value, beginning of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Income from Investment Operations | | | | | |
| Net investment income (loss) | .017 | .020 | .010 | .004 | –A |
| Net realized and unrealized gain (loss)A | – | – | – | – | – |
| Total from investment operations | .017 | .020 | .010 | .004 | –A |
| Distributions from net investment income | (.017) | (.020) | (.010) | (.004) | –A |
| Total distributions | (.017) | (.020) | (.010) | (.004) | –A |
| Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Total ReturnB | 1.76% | 1.98% | 1.04% | .38% | .03% |
| Ratios to Average Net AssetsC | | | | | |
| Expenses before reductions | .46% | .46% | .46% | .46% | .46% |
| Expenses net of fee waivers, if any | .43% | .43% | .43% | .43% | .32% |
| Expenses net of all reductions | .43% | .43% | .43% | .43% | .32% |
| Net investment income (loss) | 1.71% | 2.00% | 1.06% | .31% | .03% |
| Supplemental Data | | | | | |
| Net assets, end of period (in millions) | $13 | $33 | $132 | $91 | $1,129 |
A Amount represents less than $.0005 per share.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C 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.
See accompanying notes which are an integral part of the financial statements.
Money Market Portfolio Select Class
| Years ended March 31, | 2020 | 2019 | 2018 | 2017 | 2016 |
| Selected Per–Share Data | | | | | |
| Net asset value, beginning of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Income from Investment Operations | | | | | |
| Net investment income (loss) | .019 | .022 | .012 | .006 | .001 |
| Net realized and unrealized gain (loss)A | – | – | – | – | – |
| Total from investment operations | .019 | .022 | .012 | .006 | .001 |
| Distributions from net investment income | (.019) | (.022) | (.012) | (.006) | (.001) |
| Total distributions | (.019) | (.022) | (.012) | (.006) | (.001) |
| Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Total ReturnB | 1.96% | 2.18% | 1.24% | .58% | .13% |
| Ratios to Average Net AssetsC | | | | | |
| Expenses before reductions | .26% | .26% | .26% | .26% | .26% |
| Expenses net of fee waivers, if any | .23% | .23% | .23% | .23% | .23% |
| Expenses net of all reductions | .23% | .23% | .23% | .23% | .23% |
| Net investment income (loss) | 1.91% | 2.20% | 1.26% | .51% | .12% |
| Supplemental Data | | | | | |
| Net assets, end of period (in millions) | $59 | $33 | $16 | $12 | $224 |
A Amount represents less than $.0005 per share.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C 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.
See accompanying notes which are an integral part of the financial statements.
Money Market Portfolio Institutional Class
| Years ended March 31, | 2020 | 2019 | 2018 | 2017 | 2016 |
| Selected Per–Share Data | | | | | |
| Net asset value, beginning of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Income from Investment Operations | | | | | |
| Net investment income (loss) | .020 | .022 | .013 | .007 | .002 |
| Net realized and unrealized gain (loss) | –A | .001 | –A | –A | –A |
| Total from investment operations | .020 | .023 | .013 | .007 | .002 |
| Distributions from net investment income | (.020) | (.023) | (.013) | (.007) | (.002) |
| Total distributions | (.020) | (.023) | (.013) | (.007) | (.002) |
| Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Total ReturnB | 2.05% | 2.28% | 1.33% | .67% | .22% |
| Ratios to Average Net AssetsC | | | | | |
| Expenses before reductions | .18% | .18% | .18% | .18% | .18% |
| Expenses net of fee waivers, if any | .14% | .14% | .14% | .14% | .14% |
| Expenses net of all reductions | .14% | .14% | .14% | .14% | .14% |
| Net investment income (loss) | 2.00% | 2.29% | 1.35% | .60% | .21% |
| Supplemental Data | | | | | |
| Net assets, end of period (in millions) | $35,852 | $33,002 | $15,913 | $10,043 | $21,863 |
A Amount represents less than $.0005 per share.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C 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.
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 March 31, 2020
| Days | % of fund's investments 3/31/20 |
| 1 - 7 | 62.1 |
| 8 - 30 | 9.4 |
| 31 - 60 | 13.8 |
| 61 - 90 | 9.4 |
| 91 - 180 | 5.3 |
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 March 31, 2020 |
| | Certificates of Deposit | 23.4% |
| | Commercial Paper | 24.8% |
| | Variable Rate Demand Notes (VRDNs) | 0.4% |
| | Non-Negotiable Time Deposit | 8.2% |
| | Other Instruments | 0.5% |
| | Repurchase Agreements | 42.9% |
| | Net Other Assets (Liabilities)* | (0.2)% |
* Net Other Assets (Liabilities) are not included in the pie chart
Current 7-Day Yields
| | 3/31/20 |
| Class I | 0.57% |
| Class II | 0.42% |
| Class III | 0.32% |
| Class IV | 0.05% |
| Select Class | 0.52% |
| Institutional Class | 0.61% |
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 March 31, 2020, the most recent period shown in the table, would have been 0.54% for Class I, 0.39% for Class II, 0.29% for Class III, 0.49% for Select Class and 0.56% for Institutional Class.
Prime Money Market Portfolio
Schedule of Investments March 31, 2020
Showing Percentage of Net Assets
| Certificate of Deposit - 23.4% | | | | |
| | | Yield(a) | Principal Amount (000s) | Value (000s) |
| Domestic Certificates Of Deposit - 0.4% | | | | |
| Wells Fargo Bank NA | | | | |
| 7/27/20 | | 1.06 (b)(c)% | $21,000 | $20,987 |
| London Branch, Eurodollar, Foreign Banks - 10.1% | | | | |
| Bank of Montreal London Branch | | | | |
| 7/20/20 | | 1.54 | 15,000 | 15,005 |
| Credit Agricole SA London Branch | | | | |
| 5/4/20 | | 1.74 | 30,000 | 30,011 |
| DZ Bank AG London Branch | | | | |
| 4/6/20 | | 1.91 | 62,000 | 61,997 |
| KBC Bank NV London | | | | |
| 5/18/20 to 5/19/20 | | 1.66 | 90,000 | 89,830 |
| Landesbank Hessen-Thueringen London Branch | | | | |
| 4/7/20 | | 0.70 | 97,000 | 97,002 |
| Mitsubishi UFJ Trust & Banking Corp. | | | | |
| 5/20/20 | | 1.69 | 12,000 | 11,976 |
| Mizuho Bank Ltd. London Branch | | | | |
| 5/5/20 to 6/2/20 | | 1.62 to 1.73 | 94,000 | 93,840 |
| Rabobank Nederland London Branch | | | | |
| 6/19/20 to 6/22/20 | | 1.66 | 60,000 | 59,808 |
| Sumitomo Mitsui Trust Bank Ltd. London Branch | | | | |
| 5/7/20 to 5/18/20 | | 1.74 to 1.82 | 98,000 | 97,797 |
| | | | | 557,266 |
| New York Branch, Yankee Dollar, Foreign Banks - 12.9% | | | | |
| Bank of Montreal | | | | |
| 11/17/20 | | 1.74 (b)(c) | 30,000 | 29,858 |
| Bank of Nova Scotia | | | | |
| 8/20/20 to 9/3/20 | | 1.55 to 1.78 (b)(c) | 111,615 | 111,378 |
| Mitsubishi UFJ Trust & Banking Corp. | | | | |
| 5/13/20 to 6/12/20 | | 0.85 to 1.10 (b)(c) | 65,000 | 65,003 |
| Mizuho Corporate Bank Ltd. | | | | |
| 5/13/20 to 6/10/20 | | 0.92 to 0.96 (b)(c) | 79,000 | 79,037 |
| Royal Bank of Canada | | | | |
| 9/4/20 to 9/10/20 | | 0.98 to 1.34 (b)(c) | 122,000 | 121,707 |
| Sumitomo Mitsui Banking Corp. | | | | |
| 5/7/20 to 6/10/20 | | 0.74 to 1.47 (b)(c) | 162,600 | 162,612 |
| Sumitomo Mitsui Trust Bank Ltd. | | | | |
| 5/11/20 to 5/22/20 | | 0.85 to 1.04 (b)(c) | 79,000 | 79,015 |
| Svenska Handelsbanken, Inc. | | | | |
| 8/11/20 | | 0.77 (b)(c) | 57,000 | 56,939 |
| | | | | 705,549 |
| TOTAL CERTIFICATE OF DEPOSIT | | | | |
| (Cost $1,284,319) | | | | 1,283,802 |
|
| Financial Company Commercial Paper - 24.2% | | | | |
| Bank of Nova Scotia | | | | |
| 8/13/20 to 11/13/20 | | 1.05 to 1.73 (b)(c) | 180,000 | 179,692 |
| BNP Paribas Fortis | | | | |
| 4/3/20 | | 0.50 | 4,000 | 4,000 |
| BNP Paribas New York Branch | | | | |
| 4/3/20 | | 0.50 | 11,000 | 11,000 |
| BPCE SA | | | | |
| 6/24/20 | | 1.61 | 20,000 | 19,951 |
| Canadian Imperial Bank of Commerce | | | | |
| 4/6/20 to 9/10/20 | | 0.40 to 1.09 (b) | 157,000 | 156,562 |
| Citigroup Global Markets, Inc. | | | | |
| 8/3/20 to 8/5/20 | | 0.86 | 51,900 | 51,630 |
| Federation des caisses Desjardin | | | | |
| 4/1/20 to 8/28/20 | | 0.07 to 1.60 | 27,000 | 26,870 |
| Mitsubishi UFJ Trust & Banking Corp. | | | | |
| 5/11/20 to 5/18/20 | | 1.69 to 1.71 | 34,000 | 33,949 |
| National Australia Bank Ltd. | | | | |
| 4/1/20 | | 2.05 | 22,000 | 21,999 |
| National Bank of Canada | | | | |
| 5/8/20 to 8/3/20 | | 1.60 to 1.90 (b) | 91,000 | 90,915 |
| Ontario Teachers' Finance Trust | | | | |
| 5/1/20 | | 1.99 (d) | 13,000 | 12,987 |
| Rabobank Nederland New York Branch | | | | |
| 4/1/20 | | 0.05 | 22,000 | 22,000 |
| Royal Bank of Canada | | | | |
| 4/15/20 to 9/14/20 | | 0.88 to 1.76 (b) | 182,000 | 181,237 |
| Societe Generale | | | | |
| 4/3/20 to 4/7/20 | | 0.24 to 0.49 | 173,000 | 172,997 |
| Sumitomo Mitsui Trust Bank Ltd. | | | | |
| 4/2/20 to 5/5/20 | | 1.64 to 1.90 | 75,000 | 74,957 |
| Svenska Handelsbanken AB | | | | |
| 9/4/20 | | 0.92 | 53,000 | 52,703 |
| The Toronto-Dominion Bank | | | | |
| 8/18/20 to 11/10/20 | | 0.94 to 1.93 (b)(c) | 205,700 | 205,148 |
| Toyota Motor Credit Corp. | | | | |
| 7/2/20 | | 1.96 (b)(c) | 11,000 | 10,979 |
| TOTAL FINANCIAL COMPANY COMMERCIAL PAPER | | | | |
| (Cost $1,331,161) | | | | 1,329,576 |
|
| Asset Backed Commercial Paper - 0.6% | | | | |
| Autobahn Funding Co. LLC (Liquidity Facility DZ BANK AG) | | | | |
| 4/1/20 | | 1.60 | 2,000 | 2,000 |
| Gotham Funding Corp. (Liquidity Facility Bank of Tokyo-Mitsubishi UFJ Ltd.) | | | | |
| 4/3/20 | | 2.00 | 5,000 | 5,000 |
| Manhattan Asset Funding Co. LLC (Liquidity Facility Sumitomo Mitsui Banking Corp.) | | | | |
| 4/1/20 | | 0.15 | 24,000 | 24,000 |
| TOTAL ASSET BACKED COMMERCIAL PAPER | | | | |
| (Cost $30,999) | | | | 31,000 |
|
| Other Instrument - 0.5% | | | | |
| Master Notes - 0.5% | | | | |
| Toyota Motor Credit Corp. | | | | |
| 4/7/20 | | | | |
| (Cost $27,000) | | 0.93 (b)(c)(e) | 27,000 | 27,000 |
|
| Variable Rate Demand Note - 0.4% | | | | |
| Florida - 0.4% | | | | |
| Florida Timber Fin. III LLC Taxable, LOC Wells Fargo Bank NA, VRDN | | | | |
| 4/7/20 | | | | |
| (Cost $25,155) | | 1.20 (b) | 25,155 | 25,155 |
|
| Non-Negotiable Time Deposit - 8.2% | | | | |
| Time Deposits - 8.2% | | | | |
| Barclays Bank PLC | | | | |
| 4/1/20 | | 0.25 | 290,000 | 290,000 |
| Credit Agricole CIB | | | | |
| 4/1/20 | | 0.06 | 76,000 | 76,000 |
| Credit Suisse AG | | | | |
| 4/1/20 | | 0.10 | 38,000 | 38,000 |
| Landesbank Hessen-Thuringen London Branch | | | | |
| 4/3/20 | | 0.50 | 46,000 | 46,000 |
| TOTAL NON-NEGOTIABLE TIME DEPOSIT | | | | |
| (Cost $450,000) | | | | 450,000 |
| U.S. Government Agency Repurchase Agreement - 26.4% | | | |
| | | Maturity Amount (000s) | Value (000s) |
| In a joint trading account at: | | | |
| 0.01% dated 3/31/20 due 4/1/20 (Collateralized by U.S. Government Obligations) # | | $763,173 | $763,173 |
| 0.02% dated 3/31/20 due 4/1/20 (Collateralized by U.S. Government Obligations) # | | 683,664 | 683,664 |
| TOTAL U.S. GOVERNMENT AGENCY REPURCHASE AGREEMENT | | | |
| (Cost $1,446,837) | | | 1,446,837 |
|
| U.S. Treasury Repurchase Agreement - 2.1% | | | |
| With: | | | |
| BNP Paribas, SA at 1.61%, dated 2/18/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $33,858,578, 0.00% - 7.50%, 4/21/20 - 8/15/49) | | 33,133 | 33,000 |
| Credit Agricole CIB at 0.02%, dated 3/31/20 due 4/1/20 (Collateralized by U.S. Treasury Obligations valued at $18,413,359, 1.38% - 1.63%, 9/15/20 - 2/15/26) | | 18,000 | 18,000 |
| HSBC Securities, Inc. at 0.01%, dated 3/31/20 due 4/1/20 (Collateralized by U.S. Treasury Obligations valued at $11,318,679, 2.50%, 5/15/24) | | 11,000 | 11,000 |
| ING Financial Markets LLC at 0.01%, dated 3/31/20 due 4/1/20 (Collateralized by U.S. Treasury Obligations valued at $22,472,675, 1.38%, 6/30/23) | | 22,000 | 22,000 |
| MUFG Securities EMEA PLC at 0.01%, dated 3/31/20 due 4/1/20 | | | |
| (Collateralized by U.S. Treasury Obligations valued at $19,427,164, 1.50% - 2.25%, 9/30/21 - 8/15/46) | | 19,000 | 19,000 |
| (Collateralized by U.S. Treasury Obligations valued at $10,231,705, 2.00% - 2.25%, 5/31/24 - 8/15/46) | | 10,000 | 10,000 |
| TOTAL U.S. TREASURY REPURCHASE AGREEMENT | | | |
| (Cost $113,000) | | | 113,000 |
|
| Other Repurchase Agreement - 14.4% | | | |
| Other Repurchase Agreement - 14.4% | | | |
| With: | | | |
| BMO Capital Markets Corp. at: | | | |
| 0.41%, dated 3/31/20 due 4/1/20 (Collateralized by Equity Securities valued at $200,882,294) | | 186,002 | 186,000 |
| 0.43%, dated 3/31/20 due 4/1/20 (Collateralized by Corporate Obligations valued at $62,485,899, 3.20% - 8.25%, 8/15/20 - 3/25/50) | | 58,001 | 58,000 |
| BNP Paribas at 0.33%, dated 3/31/20 due 4/1/20 (Collateralized by Corporate Obligations valued at $25,100,047, 0.15% - 6.02%, 6/1/21 - 4/1/59) | | 24,000 | 24,000 |
| BofA Securities, Inc. at 0.58%, dated 3/31/20 due 4/1/20 (Collateralized by Mortgage Loan Obligations valued at $12,650,204, 6.00% - 6.50%, 2/27/37 - 7/27/37) | | 11,000 | 11,000 |
| Citigroup Global Markets, Inc. at: | | | |
| 1.01%, dated 10/18/19 due 4/15/20 (Collateralized by Corporate Obligations valued at $14,045,526, 0.00% - 5.27%, 10/3/45 - 10/8/47)(b)(c)(f) | | 13,066 | 13,000 |
| 1.21%, dated 11/12/19 due 5/5/20 (Collateralized by Corporate Obligations valued at $20,533,299, 0.62% - 3.13%, 11/5/35 - 11/25/47)(b)(c)(f) | | 19,112 | 19,000 |
| 1.81%, dated 3/4/20 due 5/5/20 (Collateralized by Mortgage Loan Obligations valued at $11,562,504, 0.03% - 6.21%, 10/25/28 - 9/15/62)(b)(c)(f) | | 11,024 | 10,990 |
| 2.07%, dated 2/24/20 due 5/27/20 (Collateralized by Municipal Bond Obligations valued at $19,479,097, 0.00% - 1.63%, 10/31/26 - 7/1/40) | | 18,096 | 18,000 |
| Credit AG CIB Paris at 0.8%, dated: | | | |
| 3/27/20 due 4/3/20 (Collateralized by Corporate Obligations valued at $5,251,113, 2.91% - 5.10%, 10/2/23 - 10/16/44) | | 5,001 | 5,000 |
| 3/31/20 due 4/6/20 (Collateralized by Corporate Obligations valued at $9,450,403, 5.10% - 7.88%, 5/22/22 - 10/16/44) | | 9,001 | 9,000 |
| 4/1/20 due 4/7/20(g) | | 9,001 | 9,000 |
| Credit Suisse Securities (U.S.A.) LLC at 1.66%, dated 3/2/20 due 6/4/20 (Collateralized by Corporate Obligations valued at $15,771,787, 0.08% - 5.03%, 4/20/31 - 1/17/73) | | 15,104 | 15,026 |
| HSBC Securities, Inc. at 0.43%, dated 3/31/20 due 4/1/20 (Collateralized by Corporate Obligations valued at $25,139,706, 2.00% - 6.75%, 2/16/22 - 9/30/2110) | | 24,000 | 24,000 |
| ING Financial Markets LLC at: | | | |
| 0.25%, dated 3/31/20 due 4/1/20 (Collateralized by Corporate Obligations valued at $4,200,607, 1.63% - 5.00%, 6/9/21 - 7/29/49) | | 4,000 | 4,000 |
| 0.3%, dated 3/31/20 due 4/1/20 | | | |
| (Collateralized by Equity Securities valued at $4,320,071) | | 4,000 | 4,000 |
| (Collateralized by Equity Securities valued at $6,480,071) | | 6,000 | 6,000 |
| 1.32%, dated 3/5/20 due 5/4/20 (Collateralized by Equity Securities valued at $18,378,184) | | 17,037 | 17,000 |
| J.P. Morgan Securities, LLC at 0.34%, dated 3/12/20 due 4/7/20 (Collateralized by Equity Securities valued at $64,822,410)(b)(c)(f) | | 60,015 | 60,000 |
| Mitsubishi UFJ Securities (U.S.A.), Inc. at: | | | |
| 0.38%, dated 3/31/20 due 4/1/20 (Collateralized by Equity Securities valued at $14,040,149) | | 13,000 | 13,000 |
| 0.63%, dated 3/31/20 due 4/1/20 (Collateralized by Corporate Obligations valued at $1,050,019, 0.88% - 6.38%, 2/15/22 - 3/1/25) | | 1,000 | 1,000 |
| Mizuho Securities U.S.A., Inc. at: | | | |
| 0.53%, dated 3/31/20 due 4/1/20 (Collateralized by U.S. Government Obligations valued at $7,140,105, 3.00%, 3/1/50) | | 7,000 | 7,000 |
| 0.58%, dated 3/31/20 due 4/1/20 (Collateralized by U.S. Government Obligations valued at $2,040,033, 3.00%, 3/1/50) | | | |
| (Collateralized by U.S. Government Obligations valued at $2,040,033, 3.00%, 3/1/50) | | 2,000 | 2,000 |
| (Collateralized by Equity Securities valued at $37,800,642) | | 35,001 | 35,000 |
| 1.08%, dated 3/31/20 due 4/1/20 (Collateralized by U.S. Government Obligations valued at $14,310,103, 2.35% - 3.00%, 2/25/30 - 3/1/50) | | 14,000 | 14,000 |
| 2.08%, dated 2/25/20 due 4/27/20 (Collateralized by Municipal Bond Obligations valued at $9,469,657, 3.51%, 9/1/46) | | 9,032 | 9,000 |
| Morgan Stanley & Co., Inc. at 2.08%, dated 2/5/20 due 5/5/20 (Collateralized by Mortgage Loan Obligations valued at $3,173,374, 1.68% - 5.90%, 6/15/23 - 5/15/36) | | 3,016 | 3,004 |
| Societe Generale at: | | | |
| 0.45%, dated 3/31/20 due 4/1/20 (Collateralized by Corporate Obligations valued at $25,033,858, 1.00% - 6.15%, 3/9/21 - 12/15/60) | | 24,000 | 24,000 |
| 0.5%, dated 3/31/20 due 4/1/20 (Collateralized by Corporate Obligations valued at $32,508,824, 0.68% - 9.75%, 11/16/20 - 9/10/58) | | 31,000 | 31,000 |
| 0.55%, dated 3/31/20 due 4/1/20 (Collateralized by Corporate Obligations valued at $27,735,573, 0.98% - 10.50%, 6/1/21 - 3/24/51) | | 26,000 | 26,000 |
| 0.6%, dated 3/31/20 due 4/7/20 (Collateralized by Corporate Obligations valued at $14,040,411, 4.25% - 9.00%, 10/1/20 - 10/27/27) | | 13,002 | 13,000 |
| 0.65%, dated 3/31/20 due 4/7/20 (Collateralized by Corporate Obligations valued at $4,260,002, 0.98% - 9.00%, 11/15/21 - 2/25/50) | | 4,001 | 4,000 |
| Wells Fargo Securities, LLC at: | | | |
| 0.55%, dated 3/31/20 due 4/1/20 (Collateralized by Corporate Obligations valued at $22,440,541, 0.23%, 8/21/20) | | 22,000 | 22,000 |
| 0.75%, dated 3/31/20 due 4/1/20 | | | |
| (Collateralized by Corporate Obligations valued at $47,521,520, 0.25% - 5.00%, 6/15/21 - 11/15/29) | | 44,001 | 44,000 |
| (Collateralized by Corporate Obligations valued at $14,040,293, 1.49% - 6.90%, 1/2/24 - 4/7/52) | | 13,000 | 13,000 |
| (Collateralized by Corporate Obligations valued at $14,040,477, 3.45% - 11.00%, 3/15/21 - 9/15/25) | | 13,000 | 13,000 |
| 0.8%, dated 3/30/20 due 4/6/20 (Collateralized by Corporate Obligations valued at $23,762,051, 0.25% - 4.88%, 7/1/20 - 2/1/26) | | 22,003 | 22,000 |
| TOTAL OTHER REPURCHASE AGREEMENT | | | |
| (Cost $789,000) | | | 789,020 |
| TOTAL INVESTMENT IN SECURITIES - 100.2% | | | |
| (Cost $5,497,471) | | | 5,495,390 |
| NET OTHER ASSETS (LIABILITIES) - (0.2)% | | | (9,419) |
| NET ASSETS - 100% | | | $5,485,971 |
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 $12,987,000 or 0.2% of net assets.
(e) Restricted securities (including private placements) - 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 $27,000,000 or 0.5% 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 (000s) |
| Toyota Motor Credit Corp. 0.93%, 4/7/20 | 3/2/20 | $27,000 |
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) |
| $763,173,000 due 4/01/20 at 0.01% | |
| Sumitomo Mitsu Banking Corp. NY | $745,735 |
| Wells Fargo Securities LLC | 17,438 |
| | $763,173 |
| $683,664,000 due 4/01/20 at 0.02% | |
| BNP Paribas, S.A. | $57,402 |
| Bank Of America, N.A. | 33,597 |
| Bank of Nova Scotia | 4,074 |
| BofA Securities, Inc. | 17,699 |
| Citibank NA | 14,304 |
| Citigroup Global Markets, Inc. | 17,035 |
| HSBC Securities (USA), Inc. | 48,190 |
| ING Financial Markets LLC | 3,052 |
| JP Morgan Securities LLC | 130,227 |
| Mitsubishi UFJ Securities Hldgs Ltd | 29,669 |
| Mitsubishi UFJ Securities (USA), Inc. | 3,633 |
| Mizuho Securities USA, Inc. | 10,653 |
| Nomura Securities International, Inc. | 83,680 |
| Societe Generale (PARIS) | 27,798 |
| Sumitomo Mitsu Banking Corp. NY | 47,540 |
| Sumitomo Mitsui Banking Corp. | 103,362 |
| Wells Fargo Securities LLC | 51,749 |
| | $683,664 |
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) | | March 31, 2020 |
| Assets | | |
Investment in securities, at value (including repurchase agreements of $2,348,857) — See accompanying schedule:
Unaffiliated issuers (cost $5,497,471) | | $5,495,390 |
| Interest receivable | | 1,921 |
| Prepaid expenses | | 6 |
| Receivable from investment adviser for expense reductions | | 253 |
| Other receivables | | 435 |
| Total assets | | 5,498,005 |
| Liabilities | | |
| Payable for investments purchased | $9,000 | |
| Distributions payable | 1,430 | |
| Accrued management fee | 874 | |
| Distribution and service plan fees payable | 4 | |
| Other affiliated payables | 250 | |
| Other payables and accrued expenses | 476 | |
| Total liabilities | | 12,034 |
| Net Assets | | $5,485,971 |
| Net Assets consist of: | | |
| Paid in capital | | $5,488,049 |
| Total accumulated earnings (loss) | | (2,078) |
| Net Assets | | $5,485,971 |
| Net Asset Value and Maximum Offering Price | | |
| Class I: | | |
| Net Asset Value, offering price and redemption price per share ($349,731.066 ÷ 349,673.499 shares) | | $1.0002 |
| Class II: | | |
| Net Asset Value, offering price and redemption price per share ($13,235.263 ÷ 13,234.132 shares) | | $1.0001 |
| Class III: | | |
| Net Asset Value, offering price and redemption price per share ($5,861.673 ÷ 5,861.037 shares) | | $1.0001 |
| Class IV: | | |
| Net Asset Value, offering price and redemption price per share ($20.817 ÷ 20.798 shares) | | $1.0009 |
| Select Class: | | |
| Net Asset Value, offering price and redemption price per share ($12,833.166 ÷ 12,830.084 shares) | | $1.0002 |
| Institutional Class: | | |
| Net Asset Value, offering price and redemption price per share ($5,104,289.053 ÷ 5,103,886.165 shares) | | $1.0001 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
| Amounts in thousands | | Year ended March 31, 2020 |
| Investment Income | | |
| Interest | | $196,342 |
| Expenses | | |
| Management fee | $12,803 | |
| Transfer agent fees | 2,908 | |
| Distribution and service plan fees | 58 | |
| Accounting fees and expenses | 753 | |
| Custodian fees and expenses | 121 | |
| Independent trustees' fees and expenses | 36 | |
| Registration fees | 99 | |
| Audit | 48 | |
| Legal | 11 | |
| Interest | 1 | |
| Miscellaneous | 40 | |
| Total expenses before reductions | 16,878 | |
| Expense reductions | (3,786) | |
| Total expenses after reductions | | 13,092 |
| Net investment income (loss) | | 183,250 |
| Realized and Unrealized Gain (Loss) | | |
| Net realized gain (loss) on: | | |
| Investment securities: | | |
| Unaffiliated issuers | | 614 |
| Total net realized gain (loss) | | 614 |
| Change in net unrealized appreciation (depreciation) on investment securities | | (3,006) |
| Net increase in net assets resulting from operations | | $180,858 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
| Amounts in thousands | Year ended March 31, 2020 | Year ended March 31, 2019 |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net investment income (loss) | $183,250 | $229,631 |
| Net realized gain (loss) | 614 | 200 |
| Change in net unrealized appreciation (depreciation) | (3,006) | 1,399 |
| Net increase in net assets resulting from operations | 180,858 | 231,230 |
| Distributions to shareholders | (183,008) | (229,870) |
| Share transactions - net increase (decrease) | (3,409,548) | (2,804,232) |
| Total increase (decrease) in net assets | (3,411,698) | (2,802,872) |
| Net Assets | | |
| Beginning of period | 8,897,669 | 11,700,541 |
| End of period | $5,485,971 | $8,897,669 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Prime Money Market Portfolio Class I
| Years ended March 31, | 2020 | 2019 | 2018 | 2017A | 2016 |
| Selected Per–Share Data | | | | | |
| Net asset value, beginning of period | $1.0004 | $1.0003 | $1.0005 | $1.0000 | $1.00 |
| Income from Investment Operations | | | | | |
| Net investment income (loss) | .0195 | .0215 | .0122 | .0056 | .002 |
| Net realized and unrealized gain (loss) | (.0002) | .0001 | (.0002) | .0007 | –B |
| Total from investment operations | .0193 | .0216 | .0120 | .0063 | .002 |
| Distributions from net investment income | (.0195) | (.0215) | (.0122) | (.0056) | (.002) |
| Distributions from net realized gain | – | – | – | (.0002) | – |
| Total distributions | (.0195) | (.0215) | (.0122) | (.0058) | (.002) |
| Net asset value, end of period | $1.0002 | $1.0004 | $1.0003 | $1.0005 | $1.00 |
| Total ReturnC | 1.95% | 2.19% | 1.21% | .64% | .17% |
| Ratios to Average Net AssetsD | | | | | |
| Expenses before reductions | .21% | .21% | .21% | .21% | .21% |
| Expenses net of fee waivers, if any | .18% | .18% | .18% | .18% | .18% |
| Expenses net of all reductions | .18% | .18% | .18% | .18% | .18% |
| Net investment income (loss) | 1.97% | 2.14% | 1.24% | .45% | .18% |
| Supplemental Data | | | | | |
| Net assets, end of period (in millions) | $350 | $623 | $714 | $866 | $9,638 |
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 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.
See accompanying notes which are an integral part of the financial statements.
Prime Money Market Portfolio Class II
| Years ended March 31, | 2020 | 2019 | 2018 | 2017A | 2016 |
| Selected Per–Share Data | | | | | |
| Net asset value, beginning of period | $1.0003 | $1.0002 | $1.0004 | $1.0000 | $1.00 |
| Income from Investment Operations | | | | | |
| Net investment income (loss) | .0180 | .0200 | .0107 | .0041 | .001 |
| Net realized and unrealized gain (loss) | (.0002) | .0001 | (.0002) | .0008 | –B |
| Total from investment operations | .0178 | .0201 | .0105 | .0049 | .001 |
| Distributions from net investment income | (.0180) | (.0200) | (.0107) | (.0041) | (.001) |
| Distributions from net realized gain | – | – | – | (.0004) | – |
| Total distributions | (.0180) | (.0200) | (.0107) | (.0045) | (.001) |
| Net asset value, end of period | $1.0001 | $1.0003 | $1.0002 | $1.0004 | $1.00 |
| Total ReturnC | 1.79% | 2.03% | 1.06% | .49% | .06% |
| Ratios to Average Net AssetsD | | | | | |
| Expenses before reductions | .36% | .36% | .36% | .36% | .36% |
| Expenses net of fee waivers, if any | .33% | .33% | .33% | .33% | .28% |
| Expenses net of all reductions | .33% | .33% | .33% | .33% | .28% |
| Net investment income (loss) | 1.82% | 1.99% | 1.09% | .30% | .09% |
| Supplemental Data | | | | | |
| Net assets, end of period (in millions) | $13 | $10 | $39 | $28 | $245 |
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 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.
See accompanying notes which are an integral part of the financial statements.
Prime Money Market Portfolio Class III
| Years ended March 31, | 2020 | 2019 | 2018 | 2017A | 2016 |
| Selected Per–Share Data | | | | | |
| Net asset value, beginning of period | $1.0004 | $1.0003 | $1.0004 | $1.0000 | $1.00 |
| Income from Investment Operations | | | | | |
| Net investment income (loss) | .0170 | .0190 | .0097 | .0031 | –B |
| Net realized and unrealized gain (loss) | (.0003) | .0001 | (.0001) | .0006 | –B |
| Total from investment operations | .0167 | .0191 | .0096 | .0037 | –B |
| Distributions from net investment income | (.0170) | (.0190) | (.0097) | (.0031) | –B |
| Distributions from net realized gain | – | – | – | (.0002) | – |
| Total distributions | (.0170) | (.0190) | (.0097) | (.0033) | –B |
| Net asset value, end of period | $1.0001 | $1.0004 | $1.0003 | $1.0004 | $1.00 |
| Total ReturnC | 1.68% | 1.93% | .97% | .37% | .04% |
| Ratios to Average Net AssetsD | | | | | |
| Expenses before reductions | .46% | .46% | .46% | .45% | .46% |
| Expenses net of fee waivers, if any | .43% | .43% | .43% | .43% | .31% |
| Expenses net of all reductions | .43% | .43% | .43% | .43% | .31% |
| Net investment income (loss) | 1.72% | 1.89% | .99% | .20% | .06% |
| Supplemental Data | | | | | |
| Net assets, end of period (in millions) | $6 | $13 | $8 | $8 | $894 |
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 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.
See accompanying notes which are an integral part of the financial statements.
Prime Money Market Portfolio Class IV
| Years ended March 31, | 2020 | 2019 | 2018 | 2017 A | 2016 |
| Selected Per–Share Data | | | | | |
| Net asset value, beginning of period | $1.0012 | $1.0010 | $1.0012 | $1.0000 | $1.00 |
| Income from Investment Operations | | | | | |
| Net investment income (loss) | .0146 | .0166 | .0071 | .0009 | –B |
| Net realized and unrealized gain (loss) | (.0004) | .0002 | (.0002) | .0012 | –B |
| Total from investment operations | .0142 | .0168 | .0069 | .0021 | –B |
| Distributions from net investment income | (.0145) | (.0166) | (.0071) | (.0009) | –B |
| Total distributions | (.0145) | (.0166) | (.0071) | (.0009) | –B |
| Net asset value, end of period | $1.0009 | $1.0012 | $1.0010 | $1.0012 | $1.00 |
| Total ReturnC | 1.43% | 1.68% | .71% | .21% | .01% |
| Ratios to Average Net AssetsD | | | | | |
| Expenses before reductions | .71% | .71% | .71% | .70% | .71% |
| Expenses net of fee waivers, if any | .68% | .68% | .68% | .58% | .33% |
| Expenses net of all reductions | .68% | .68% | .68% | .58% | .33% |
| Net investment income (loss) | 1.47% | 1.64% | .74% | .05% | .03% |
| Supplemental Data | | | | | |
| Net assets, end of period (in millions) | $–E | $–E | $–E | $–E | $184 |
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 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 Amount represents less than $500,000.
See accompanying notes which are an integral part of the financial statements.
Prime Money Market Portfolio Select Class
| Years ended March 31, | 2020 | 2019 | 2018 | 2017 A | 2016 |
| Selected Per–Share Data | | | | | |
| Net asset value, beginning of period | $1.0005 | $1.0004 | $1.0006 | $1.0000 | $1.00 |
| Income from Investment Operations | | | | | |
| Net investment income (loss) | .0190 | .0210 | .0117 | .0051 | .001 |
| Net realized and unrealized gain (loss) | (.0003) | .0001 | (.0002) | .0007 | –B |
| Total from investment operations | .0187 | .0211 | .0115 | .0058 | .001 |
| Distributions from net investment income | (.0190) | (.0210) | (.0117) | (.0051) | (.001) |
| Distributions from net realized gain | – | – | – | –B | – |
| Total distributions | (.0190) | (.0210) | (.0117) | (.0052)C | (.001) |
| Net asset value, end of period | $1.0002 | $1.0005 | $1.0004 | $1.0006 | $1.00 |
| Total ReturnD | 1.89% | 2.13% | 1.16% | .58% | .12% |
| Ratios to Average Net AssetsE | | | | | |
| Expenses before reductions | .26% | .26% | .26% | .26% | .26% |
| Expenses net of fee waivers, if any | .23% | .23% | .23% | .23% | .23% |
| Expenses net of all reductions | .23% | .23% | .23% | .23% | .23% |
| Net investment income (loss) | 1.92% | 2.09% | 1.19% | .40% | .13% |
| Supplemental Data | | | | | |
| Net assets, end of period (in millions) | $13 | $13 | $31 | $28 | $771 |
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 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.
See accompanying notes which are an integral part of the financial statements.
Prime Money Market Portfolio Institutional Class
| Years ended March 31, | 2020 | 2019 | 2018 | 2017 A | 2016 |
| Selected Per–Share Data | | | | | |
| Net asset value, beginning of period | $1.0003 | $1.0002 | $1.0004 | $1.0000 | $1.00 |
| Income from Investment Operations | | | | | |
| Net investment income (loss) | .0199 | .0219 | .0126 | .0060 | .002 |
| Net realized and unrealized gain (loss) | (.0002) | .0001 | (.0002) | .0006 | –B |
| Total from investment operations | .0197 | .0220 | .0124 | .0066 | .002 |
| Distributions from net investment income | (.0199) | (.0219) | (.0126) | (.0060) | (.002) |
| Distributions from net realized gain | – | – | – | (.0002) | – |
| Total distributions | (.0199) | (.0219) | (.0126) | (.0062) | (.002) |
| Net asset value, end of period | $1.0001 | $1.0003 | $1.0002 | $1.0004 | $1.00 |
| Total ReturnC | 1.98% | 2.24% | 1.25% | .66% | .21% |
| Ratios to Average Net AssetsD | | | | | |
| Expenses before reductions | .18% | .18% | .18% | .18% | .18% |
| Expenses net of fee waivers, if any | .14% | .14% | .14% | .14% | .14% |
| Expenses net of all reductions | .14% | .14% | .14% | .14% | .14% |
| Net investment income (loss) | 2.01% | 2.18% | 1.28% | .49% | .22% |
| Supplemental Data | | | | | |
| Net assets, end of period (in millions) | $5,104 | $8,238 | $10,909 | $9,346 | $46,487 |
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 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.
See accompanying notes which are an integral part of the financial statements.
Prime Reserves Portfolio
Investment Summary/Performance (Unaudited)
Effective Maturity Diversification as of March 31, 2020
| Days | % of fund's investments 3/31/20 |
| 1 - 7 | 57.3 |
| 8 - 30 | 13.9 |
| 31 - 60 | 17.8 |
| 61 - 90 | 7.3 |
| 91 - 180 | 3.7 |
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 March 31, 2020 |
| | Interfund Loans | 0.1% |
| | Certificates of Deposit | 29.8% |
| | Commercial Paper | 24.4% |
| | U.S. Treasury Debt | 2.2% |
| | Non-Negotiable Time Deposit | 15.0% |
| | Other Instruments | 0.4% |
| | Repurchase Agreements | 29.6% |
| | Net Other Assets (Liabilities)* | (1.5)% |
* Net Other Assets (Liabilities) are not included in the pie chart
Current 7-Day Yields
| | 3/31/20 |
| Class I | 0.70% |
| Class II | 0.55% |
| Class III | 0.45% |
| Select Class | 0.65% |
| Institutional Class | 0.74% |
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.
Prime Reserves Portfolio
Schedule of Investments March 31, 2020
Showing Percentage of Net Assets
| Certificate of Deposit - 29.8% | | | | |
| | | Yield(a) | Principal Amount (000s) | Value (000s) |
| Domestic Certificates Of Deposit - 0.3% | | | | |
| Wells Fargo Bank NA | | | | |
| 7/27/20 | | 1.06 (b)(c)% | $22,000 | $21,987 |
| London Branch, Eurodollar, Foreign Banks - 16.4% | | | | |
| Bank of Montreal London Branch | | | | |
| 7/20/20 | | 1.54 | 16,000 | 16,006 |
| Credit Agricole SA London Branch | | | | |
| 5/4/20 to 7/3/20 | | 1.48 to 1.79 | 78,000 | 78,027 |
| DZ Bank AG London Branch | | | | |
| 4/6/20 to 6/22/20 | | 1.66 to 1.91 | 437,000 | 436,441 |
| KBC Bank NV London | | | | |
| 4/21/20 to 6/29/20 | | 1.61 to 1.76 | 314,000 | 313,446 |
| Mitsubishi UFJ Trust & Banking Corp. | | | | |
| 5/20/20 | | 1.69 | 13,000 | 12,974 |
| Mizuho Bank Ltd. London Branch | | | | |
| 5/5/20 to 6/2/20 | | 1.62 to 1.73 | 97,000 | 96,834 |
| Rabobank Nederland London Branch | | | | |
| 6/19/20 to 6/22/20 | | 1.66 | 62,000 | 61,801 |
| Sumitomo Mitsui Trust Bank Ltd. London Branch | | | | |
| 5/7/20 to 5/29/20 | | 1.74 to 1.82 | 121,000 | 120,733 |
| | | | | 1,136,262 |
| New York Branch, Yankee Dollar, Foreign Banks - 13.1% | | | | |
| Bank of Montreal | | | | |
| 4/17/20 to 11/17/20 | | 0.99 to 1.77 (b)(c) | 168,000 | 167,704 |
| Bank of Nova Scotia | | | | |
| 8/20/20 | | 1.78 (b)(c) | 60,000 | 59,883 |
| Mitsubishi UFJ Trust & Banking Corp. | | | | |
| 5/13/20 to 6/19/20 | | 0.66 to 1.10 (b)(c) | 91,000 | 90,985 |
| Mizuho Corporate Bank Ltd. | | | | |
| 5/13/20 to 6/10/20 | | 0.92 to 0.96 (b)(c) | 82,000 | 82,038 |
| Royal Bank of Canada | | | | |
| 8/27/20 to 9/10/20 | | 0.98 to 1.72 (b)(c) | 141,000 | 140,668 |
| Sumitomo Mitsui Banking Corp. | | | | |
| 5/8/20 to 6/10/20 | | 0.74 to 1.47 (b)(c) | 221,200 | 221,231 |
| Sumitomo Mitsui Trust Bank Ltd. | | | | |
| 5/11/20 to 5/22/20 | | 0.85 to 1.04 (b)(c) | 82,000 | 82,016 |
| Svenska Handelsbanken, Inc. | | | | |
| 8/11/20 | | 0.77 (b)(c) | 59,600 | 59,536 |
| | | | | 904,061 |
| TOTAL CERTIFICATE OF DEPOSIT | | | | |
| (Cost $2,062,548) | | | | 2,062,310 |
|
| Financial Company Commercial Paper - 22.4% | | | | |
| Bank of Nova Scotia | | | | |
| 7/24/20 to 11/13/20 | | 1.05 to 1.73 (b)(c) | 91,000 | 90,981 |
| BNP Paribas Fortis | | | | |
| 4/3/20 | | 0.50 | 5,000 | 5,000 |
| BNP Paribas New York Branch | | | | |
| 4/1/20 to 4/3/20 | | 0.04 to 0.50 | 40,000 | 40,000 |
| BPCE SA | | | | |
| 6/24/20 | | 1.61 | 22,000 | 21,946 |
| Canadian Imperial Bank of Commerce | | | | |
| 4/6/20 to 9/10/20 | | 0.40 to 1.09 (b) | 132,000 | 131,544 |
| Citigroup Global Markets, Inc. | | | | |
| 8/3/20 to 8/5/20 | | 0.86 | 50,000 | 49,740 |
| Federation des caisses Desjardin | | | | |
| 4/1/20 to 8/28/20 | | 0.07 to 1.61 | 37,000 | 36,839 |
| Landesbank Baden-Wurttemberg | | | | |
| 4/1/20 | | 0.05 | 111,000 | 111,000 |
| Mitsubishi UFJ Trust & Banking Corp. | | | | |
| 5/11/20 to 5/18/20 | | 1.69 to 1.71 | 34,000 | 33,949 |
| National Australia Bank Ltd. | | | | |
| 4/1/20 | | 2.05 | 21,000 | 20,999 |
| National Bank of Canada | | | | |
| 5/8/20 to 8/3/20 | | 1.60 to 1.90 (b) | 94,000 | 93,913 |
| Ontario Teachers' Finance Trust | | | | |
| 5/1/20 | | 1.99 (d) | 12,000 | 11,988 |
| Rabobank Nederland New York Branch | | | | |
| 4/1/20 | | 0.05 | 27,000 | 27,000 |
| Royal Bank of Canada | | | | |
| 4/15/20 to 9/4/20 | | 0.88 to 1.76 (b) | 191,000 | 190,564 |
| Societe Generale | | | | |
| 4/3/20 to 4/7/20 | | 0.24 to 0.49 | 229,000 | 228,996 |
| Sumitomo Mitsui Trust Bank Ltd. | | | | |
| 4/2/20 to 5/5/20 | | 1.64 to 1.90 | 76,000 | 75,955 |
| Svenska Handelsbanken AB | | | | |
| 9/4/20 | | 0.92 | 61,000 | 60,658 |
| The Toronto-Dominion Bank | | | | |
| 8/18/20 to 11/10/20 | | 0.94 to 1.93 (b)(c) | 287,000 | 286,252 |
| Toyota Motor Credit Corp. | | | | |
| 7/2/20 | | 1.96 (b)(c) | 11,000 | 10,979 |
| UBS AG London Branch | | | | |
| 4/23/20 | | 2.02 | 22,000 | 21,984 |
| TOTAL FINANCIAL COMPANY COMMERCIAL PAPER | | | | |
| (Cost $1,551,727) | | | | 1,550,287 |
|
| Asset Backed Commercial Paper - 0.6% | | | | |
| Atlantic Asset Securitization Corp. (Liquidity Facility Credit Agricole CIB) | | | | |
| 4/1/20 | | 0.07 | 5,000 | 5,000 |
| Gotham Funding Corp. (Liquidity Facility Bank of Tokyo-Mitsubishi UFJ Ltd.) | | | | |
| 4/3/20 | | 2.00 | 5,000 | 5,000 |
| Manhattan Asset Funding Co. LLC (Liquidity Facility Sumitomo Mitsui Banking Corp.) | | | | |
| 4/1/20 | | 0.15 | 29,511 | 29,511 |
| TOTAL ASSET BACKED COMMERCIAL PAPER | | | | |
| (Cost $39,510) | | | | 39,511 |
|
| Non-Financial Company Commercial Paper - 1.4% | | | | |
| American Electric Power Co., Inc. | | | | |
| 4/1/20 to 4/9/20 | | 1.75 to 1.76 | 29,650 | 29,642 |
| Dominion Energy, Inc. | | | | |
| 4/2/20 to 4/8/20 | | 1.40 to 1.76 | 43,300 | 43,282 |
| Duke Energy Corp. | | | | |
| 4/8/20 | | 1.75 | 3,000 | 2,998 |
| Sempra Global | | | | |
| 4/2/20 | | 1.86 | 4,000 | 3,999 |
| 4/3/20 | | 1.86 | 3,000 | 2,999 |
| 4/7/20 | | 1.86 | 3,000 | 2,998 |
| 4/9/20 | | 1.78 | 3,000 | 2,998 |
| TransCanada PipeLines Ltd. | | | | |
| 4/2/20 to 4/13/20 | | 1.75 to 1.81 | 11,000 | 10,995 |
| TOTAL NON-FINANCIAL COMPANY COMMERCIAL PAPER | | | | |
| (Cost $99,932) | | | | 99,911 |
|
| U.S. Treasury Debt - 2.2% | | | | |
| U.S. Treasury Obligations - 2.2% | | | | |
| U.S. Treasury Notes | | | | |
| 10/31/21 | | | | |
| (Cost $155,089) | | 0.39 (b)(c) | 155,000 | 155,435 |
|
| Other Instrument - 0.4% | | | | |
| Master Notes - 0.4% | | | | |
| Toyota Motor Credit Corp. | | | | |
| 4/7/20 | | | | |
| (Cost $29,000) | | 0.93 (b)(c)(e) | 29,000 | 29,000 |
|
| Non-Negotiable Time Deposit - 15.0% | | | | |
| Time Deposits - 15.0% | | | | |
| Abn Amro Bank NV(TD) | | | | |
| 4/1/20 | | 0.08 | 50,000 | 50,000 |
| Australia & New Zealand Banking Group Ltd. | | | | |
| 4/1/20 | | 0.05 | 56,000 | 56,000 |
| Bank of Nova Scotia | | | | |
| 4/1/20 | | 0.08 | 204,000 | 204,000 |
| Barclays Bank PLC | | | | |
| 4/1/20 | | 0.25 | 355,000 | 355,000 |
| Credit Agricole CIB | | | | |
| 4/1/20 | | 0.06 | 93,000 | 93,000 |
| Credit Industriel et Commercial | | | | |
| 4/1/20 | | 0.04 | 20,000 | 20,000 |
| Credit Suisse AG | | | | |
| 4/1/20 | | 0.10 | 109,000 | 109,000 |
| Landesbank Hessen-Thuringen London Branch | | | | |
| 4/3/20 | | 0.50 | 53,000 | 53,000 |
| Mizuho Bank Ltd. | | | | |
| 4/1/20 | | 0.03 | 95,000 | 95,000 |
| TOTAL NON-NEGOTIABLE TIME DEPOSIT | | | | |
| (Cost $1,035,000) | | | | 1,035,000 |
|
| Interfund Loans - 0.1% | | | | |
| With: | | | | |
| Fidelity Total Market Index Fund, at .29% due 4/1/2020(f) | | | | |
| (Cost $8,923) | | | 8,923 | 8,923 |
| U.S. Government Agency Repurchase Agreement - 4.4% | | | |
| | | Maturity Amount (000s) | Value (000s) |
| In a joint trading account at 0.02% dated 3/31/20 due 4/1/20 (Collateralized by (U.S. Government Obligations)) # | | $298,525 | $298,525 |
| With Deutsche Bank AG, New York at 0.02%, dated 3/31/20 due 4/1/20 (Collateralized by U.S. Government Obligations valued at $9,180,006, 3.00%, 10/1/49) | | 9,000 | 9,000 |
| TOTAL U.S. GOVERNMENT AGENCY REPURCHASE AGREEMENT | | �� | |
| (Cost $307,525) | | | 307,525 |
|
| U.S. Treasury Repurchase Agreement - 13.1% | | | |
| With: | | | |
| BNP Paribas, SA at 1.61%, dated 2/18/20 due 4/7/20 (Collateralized by U.S. Treasury Obligations valued at $35,772,943, 0.14% - 5.50%, 4/30/21 - 8/15/45) | | 35,141 | 35,000 |
| Credit Agricole CIB at 0.02%, dated 3/31/20 due 4/1/20 (Collateralized by U.S. Treasury Obligations valued at $22,508,214, 1.38% - 1.63%, 9/15/20 - 2/15/26) | | 22,000 | 22,000 |
| HSBC Securities, Inc. at 0.01%, dated 3/31/20 due 4/1/20 (Collateralized by U.S. Treasury Obligations valued at $14,410,216, 2.00%, 11/15/26) | | 14,000 | 14,000 |
| ING Financial Markets LLC at 0.01%, dated 3/31/20 due 4/1/20 (Collateralized by U.S. Treasury Obligations valued at $27,572,563, 1.38%, 6/30/23) | | 27,000 | 27,000 |
| MUFG Securities EMEA PLC at 0.01%, dated 3/31/20 due 4/1/20 | | | |
| (Collateralized by U.S. Treasury Obligations valued at $23,533,277, 1.50% - 2.25%, 9/30/21 - 8/15/46) | | 23,000 | 23,000 |
| (Collateralized by U.S. Treasury Obligations valued at $12,280,424, 2.00% - 2.25%, 5/31/24 - 8/15/46) | | 12,000 | 12,000 |
| SMBC Nikko Securities America, Inc. at 0.02%, dated 3/31/20 due 4/1/20 (Collateralized by U.S. Treasury Obligations valued at $788,281,879, 1.13% - 2.25%, 4/30/21 - 2/15/26) | | 770,000 | 770,000 |
| TOTAL U.S. TREASURY REPURCHASE AGREEMENT | | | |
| (Cost $903,000) | | | 903,000 |
|
| Other Repurchase Agreement - 12.1% | | | |
| Other Repurchase Agreement - 12.1% | | | |
| With: | | | |
| BMO Capital Markets Corp. at: | | | |
| 0.41%, dated 3/31/20 due 4/1/20 (Collateralized by Equity Securities valued at $107,282,608) | | 100,001 | 100,000 |
| 0.43%, dated 3/31/20 due 4/1/20 (Collateralized by Corporate Obligations valued at $75,467,247, 2.98% - 10.75%, 4/15/20 - 7/15/46) | | 70,001 | 70,000 |
| BNP Paribas at 0.33%, dated 3/31/20 due 4/1/20 (Collateralized by Corporate Obligations valued at $31,497,969, 0.52% - 5.13%, 10/14/21 - 7/20/45) | | 30,000 | 30,000 |
| BofA Securities, Inc. at 0.58%, dated 3/31/20 due 4/1/20 (Collateralized by Mortgage Loan Obligations valued at $14,950,241, 4.40% - 6.00%, 2/27/37 - 5/27/37) | | 13,000 | 13,000 |
| Citigroup Global Markets, Inc. at: | | | |
| 1.01%, dated 10/18/19 due 4/15/20 (Collateralized by Corporate Obligations valued at $12,965,111, 1.44% - 5.27%, 7/5/33 - 4/26/50)(b)(c)(g) | | 12,061 | 12,000 |
| 1.21%, dated 11/12/19 due 5/5/20 (Collateralized by Corporate Obligations valued at $20,675,600, 3.63% - 5.19%, 11/30/32 - 12/23/34)(b)(c)(g) | | 19,112 | 19,000 |
| 1.81%, dated 3/4/20 due 5/5/20 (Collateralized by Corporate Obligations valued at $13,664,778, 0.23% - 6.00%, 10/20/28 - 12/16/72)(b)(c)(g) | | 13,029 | 12,989 |
| 2.07%, dated 2/24/20 due 5/27/20 (Collateralized by Municipal Bond Obligations valued at $20,561,254, 0.00% - 2.25%, 7/1/20 - 7/1/36) | | 19,102 | 19,000 |
| Credit AG CIB Paris at 0.8%, dated: | | | |
| 3/31/20 due 4/6/20 (Collateralized by Corporate Obligations valued at $11,550,712, 3.05% - 7.88%, 5/22/22 - 9/1/22) | | 11,001 | 11,000 |
| 4/1/20 due 4/7/20(h) | | 11,001 | 11,000 |
| Credit Suisse Securities (U.S.A.) LLC at 1.66%, dated 3/2/20 due 6/4/20 (Collateralized by Mortgage Loan Obligations valued at $16,823,240, 1.47% - 4.70%, 11/15/22 - 10/15/77) | | 16,111 | 16,027 |
| Deutsche Bank AG at 0.58%, dated 3/31/20 due 4/1/20 (Collateralized by Municipal Bond Obligations valued at $19,950,322, 4.00%, 11/1/45) | | 19,000 | 19,000 |
| HSBC Securities, Inc. at 0.43%, dated 3/31/20 due 4/1/20 (Collateralized by Corporate Obligations valued at $31,252,769, 1.63% - 4.75%, 5/12/20 - 8/15/47) | | 30,000 | 30,000 |
| ING Financial Markets LLC at: | | | |
| 0.25%, dated 3/31/20 due 4/1/20 (Collateralized by Corporate Obligations valued at $5,250,193, 2.75% - 4.45%, 10/1/20 - 7/29/49) | | 5,000 | 5,000 |
| 0.3%, dated 3/31/20 due 4/1/20 (Collateralized by Equity Securities valued at $5,400,055) | | 5,000 | 5,000 |
| 1.32%, dated 3/5/20 due 5/4/20 (Collateralized by Equity Securities valued at $20,540,315) | | 19,042 | 19,000 |
| J.P. Morgan Securities, LLC at 0.34%, dated 3/12/20 due 4/7/20 (Collateralized by Equity Securities valued at $70,224,278)(b)(c)(g) | | 65,016 | 65,000 |
| Mitsubishi UFJ Securities (U.S.A.), Inc. at: | | | |
| 0.38%, dated 3/31/20 due 4/1/20 (Collateralized by Equity Securities valued at $17,280,188) | | 16,000 | 16,000 |
| 0.63%, dated 3/31/20 due 4/1/20 (Collateralized by Corporate Obligations valued at $1,050,019, 0.00% - 6.38%, 8/15/23 - 3/1/25) | | 1,000 | 1,000 |
| Mizuho Securities U.S.A., Inc. at: | | | |
| 0.53%, dated 3/31/20 due 4/1/20 (Collateralized by U.S. Government Obligations valued at $8,160,120, 3.00%, 3/1/50) | | 8,000 | 8,000 |
| 0.58%, dated 3/31/20 due 4/1/20 | | | |
| (Collateralized by U.S. Government Obligations valued at $3,060,050, 3.00%, 3/1/50) | | 3,000 | 3,000 |
| (Collateralized by Equity Securities valued at $46,440,790) | | 43,001 | 43,000 |
| 1.08%, dated 3/31/20 due 4/1/20 (Collateralized by U.S. Government Obligations valued at $17,340,521, 2.50% - 3.00%, 11/1/49 - 12/1/49) | | 17,001 | 17,000 |
| 2.08%, dated 2/25/20 due 4/27/20 (Collateralized by Municipal Bond Obligations valued at $10,521,841, 4.62%, 9/1/46) | | 10,036 | 10,000 |
| Morgan Stanley & Co., Inc. at 2.08%, dated 2/5/20 due 5/5/20 (Collateralized by Mortgage Loan Obligations valued at $3,250,508, 1.47% - 5.78%, 9/15/32 - 12/17/46) | | 3,016 | 3,004 |
| RBS Securities, Inc. at 0.35%, dated 3/31/20 due 4/1/20 (Collateralized by Corporate Obligations valued at $17,850,908, 1.95% - 5.46%, 10/19/20 - 2/11/31) | | 17,000 | 17,000 |
| Societe Generale at: | | | |
| 0.45%, dated 3/31/20 due 4/1/20 (Collateralized by Corporate Obligations valued at $31,500,395, 0.68% - 3.88%, 11/4/20 - 8/15/29) | | 30,000 | 30,000 |
| 0.5%, dated 3/31/20 due 4/1/20 (Collateralized by Corporate Obligations valued at $40,714,458, 0.00% - 10.50%, 2/15/21 - 6/20/49) | | 38,001 | 38,000 |
| 0.55%, dated 3/31/20 due 4/1/20 (Collateralized by Corporate Obligations valued at $34,140,573, 0.98% - 10.50%, 8/15/21 - 7/17/47) | | 32,000 | 32,000 |
| 0.6%, dated 3/31/20 due 4/7/20 (Collateralized by Corporate Obligations valued at $17,280,288, 4.88% - 8.88%, 6/1/21 - 2/15/30) | | 16,002 | 16,000 |
| 0.65%, dated 3/31/20 due 4/7/20 (Collateralized by Corporate Obligations valued at $5,286,718, 4.63% - 8.15%, 7/17/28 - 3/24/51) | | 5,001 | 5,000 |
| Wells Fargo Securities, LLC at: | | | |
| 0.55%, dated 3/31/20 due 4/1/20 (Collateralized by Commercial Paper valued at $27,810,425, 0.00%, 5/4/20 - 6/15/20) | | 27,000 | 27,000 |
| 0.75%, dated 3/31/20 due 4/1/20 | | | |
| (Collateralized by Corporate Obligations valued at $58,321,216, 0.00% - 2.25%, 7/15/20 - 8/15/28) | | 54,001 | 54,000 |
| (Collateralized by Corporate Obligations valued at $17,280,360, 3.70% - 10.08%, 4/20/26 - 4/25/56) | | 16,000 | 16,000 |
| (Collateralized by Corporate Obligations valued at $17,280,903, 0.00% - 7.75%, 9/15/21 - 2/28/57) | | 16,000 | 16,000 |
| 0.8%, dated 3/30/20 due 4/6/20 (Collateralized by Corporate Obligations valued at $29,161,296, 2.25%, 7/1/23) | | 27,004 | 27,000 |
| TOTAL OTHER REPURCHASE AGREEMENT | | | |
| (Cost $836,000) | | | 836,020 |
| TOTAL INVESTMENT IN SECURITIES - 101.5% | | | |
| (Cost $7,028,254) | | | 7,026,922 |
| NET OTHER ASSETS (LIABILITIES) - (1.5)% | | | (105,427) |
| NET ASSETS - 100% | | | $6,921,495 |
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 $11,988,000 or 0.2% of net assets.
(e) Restricted securities (including private placements) - 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 $29,000,000 or 0.4% of net assets.
(f) Loan is with an affiliated fund.
(g) The maturity amount is based on the rate at period end.
(h) 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 (000s) |
| Toyota Motor Credit Corp. 0.93%, 4/7/20 | 3/2/20 | $29,000 |
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) |
| $298,525,000 due 4/01/20 at 0.02% | |
| BNP Paribas, S.A. | $3,777 |
| Bank Of America, N.A. | 41,073 |
| Citibank NA | 10,018 |
| JP Morgan Securities LLC | 95,460 |
| Mizuho Securities USA, Inc. | 13,023 |
| Nomura Securities International, Inc. | 44,919 |
| Societe Generale (PARIS) | 23,064 |
| Sumitomo Mitsui Banking Corp. | 20,608 |
| Wells Fargo Securities LLC | 46,583 |
| | $298,525 |
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) | | March 31, 2020 |
| Assets | | |
Investment in securities, at value (including repurchase agreements of $2,046,545) — See accompanying schedule:
Unaffiliated issuers (cost $7,019,331) | $7,017,999 | |
| Affiliated issuers (cost $8,923) | 8,923 | |
| Total Investment in Securities (cost $7,028,254) | | $7,026,922 |
| Cash | | 1 |
| Receivable for fund shares sold | | 53,052 |
| Interest receivable | | 2,597 |
| Prepaid expenses | | 5 |
| Receivable from investment adviser for expense reductions | | 101 |
| Total assets | | 7,082,678 |
| Liabilities | | |
| Payable for investments purchased | $11,000 | |
| Payable for fund shares redeemed | 147,187 | |
| Distributions payable | 1,098 | |
| Accrued management fee | 1,017 | |
| Distribution and service plan fees payable | 3 | |
| Other affiliated payables | 376 | |
| Other payables and accrued expenses | 502 | |
| Total liabilities | | 161,183 |
| Net Assets | | $6,921,495 |
| Net Assets consist of: | | |
| Paid in capital | | $6,922,793 |
| Total accumulated earnings (loss) | | (1,298) |
| Net Assets | | $6,921,495 |
| Net Asset Value and Maximum Offering Price | | |
| Class I: | | |
| Net Asset Value, offering price and redemption price per share ($3,405,683.705 ÷ 3,405,408.077 shares) | | $1.0001 |
| Class II: | | |
| Net Asset Value, offering price and redemption price per share ($15,907.527 ÷ 15,905.935 shares) | | $1.0001 |
| Class III: | | |
| Net Asset Value, offering price and redemption price per share ($2,011.345 ÷ 2,011.206 shares) | | $1.0001 |
| Select Class: | | |
| Net Asset Value, offering price and redemption price per share ($12,023.622 ÷ 12,022.496 shares) | | $1.0001 |
| Institutional Class: | | |
| Net Asset Value, offering price and redemption price per share ($3,485,868.569 ÷ 3,485,470.191 shares) | | $1.0001 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
| Amounts in thousands | | Year ended March 31, 2020 |
| Investment Income | | |
| Interest (including $286 from affiliated interfund lending) | | $181,277 |
| Expenses | | |
| Management fee | $11,977 | |
| Transfer agent fees | 3,732 | |
| Distribution and service plan fees | 28 | |
| Accounting fees and expenses | 706 | |
| Custodian fees and expenses | 130 | |
| Independent trustees' fees and expenses | 32 | |
| Registration fees | 721 | |
| Audit | 48 | |
| Legal | 8 | |
| Interest | 272 | |
| Miscellaneous | 26 | |
| Total expenses before reductions | 17,680 | |
| Expense reductions | (3,828) | |
| Total expenses after reductions | | 13,852 |
| Net investment income (loss) | | 167,425 |
| Realized and Unrealized Gain (Loss) | | |
| Net realized gain (loss) on: | | |
| Investment securities: | | |
| Unaffiliated issuers | | 19 |
| Total net realized gain (loss) | | 19 |
| Change in net unrealized appreciation (depreciation) on investment securities | | (1,889) |
| Net increase in net assets resulting from operations | | $165,555 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
| Amounts in thousands | Year ended March 31, 2020 | Year ended March 31, 2019 |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net investment income (loss) | $167,425 | $131,671 |
| Net realized gain (loss) | 19 | 29 |
| Change in net unrealized appreciation (depreciation) | (1,889) | 828 |
| Net increase in net assets resulting from operations | 165,555 | 132,528 |
| Distributions to shareholders | (167,275) | (131,823) |
| Share transactions - net increase (decrease) | (537,183) | 3,171,734 |
| Total increase (decrease) in net assets | (538,903) | 3,172,439 |
| Net Assets | | |
| Beginning of period | 7,460,398 | 4,287,959 |
| End of period | $6,921,495 | $7,460,398 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Prime Reserves Portfolio Class I
| Years ended March 31, | 2020 | 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) | .0196 | .0217 | .0123 | .0047 |
| Net realized and unrealized gain (loss) | (.0002) | .0002 | (.0001) | .0002 |
| Total from investment operations | .0194 | .0219 | .0122 | .0049 |
| Distributions from net investment income | (.0196) | (.0217) | (.0123) | (.0047) |
| Total distributions | (.0196) | (.0217) | (.0123) | (.0047) |
| Net asset value, end of period | $1.0001 | $1.0003 | $1.0001 | $1.0002 |
| Total ReturnC,D | 1.96% | 2.21% | 1.23% | .49% |
| Ratios to Average Net AssetsE | | | | |
| Expenses before reductions | .22% | .22% | .22% | .25%F |
| Expenses net of fee waivers, if any | .18% | .18% | .18% | .18%F |
| Expenses net of all reductions | .18% | .18% | .18% | .18%F |
| Net investment income (loss) | 1.94% | 2.20% | 1.29% | .68%F |
| Supplemental Data | | | | |
| Net assets, end of period (in millions) | $3,406 | $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 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 Class II
| Years ended March 31, | 2020 | 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) | .0181 | .0202 | .0108 | .0034 |
| Net realized and unrealized gain (loss) | (.0002) | .0002 | (.0001) | .0002 |
| Total from investment operations | .0179 | .0204 | .0107 | .0036 |
| Distributions from net investment income | (.0181) | (.0202) | (.0108) | (.0034) |
| Total distributions | (.0181) | (.0202) | (.0108) | (.0034) |
| Net asset value, end of period | $1.0001 | $1.0003 | $1.0001 | $1.0002 |
| Total ReturnC,D | 1.81% | 2.06% | 1.08% | .36% |
| Ratios to Average Net AssetsE | | | | |
| Expenses before reductions | .37% | .38% | .37% | .56%F |
| Expenses net of fee waivers, if any | .33% | .33% | .33% | .33%F |
| Expenses net of all reductions | .33% | .33% | .33% | .33%F |
| Net investment income (loss) | 1.79% | 2.05% | 1.14% | .53%F |
| Supplemental Data | | | | |
| Net assets, end of period (in millions) | $16 | $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 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 Class III
| Years ended March 31, | 2020 | 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) | .0171 | .0192 | .0098 | .0026 |
| Net realized and unrealized gain (loss) | (.0002) | .0003 | (.0002) | .0002 |
| Total from investment operations | .0169 | .0195 | .0096 | .0028 |
| Distributions from net investment income | (.0171) | (.0192) | (.0098) | (.0026) |
| Total distributions | (.0171) | (.0192) | (.0098) | (.0026) |
| Net asset value, end of period | $1.0001 | $1.0003 | $1.0000 | $1.0002 |
| Total ReturnC,D | 1.70% | 1.97% | .97% | .28% |
| Ratios to Average Net AssetsE | | | | |
| Expenses before reductions | .47% | .47% | .47% | .66%F |
| Expenses net of fee waivers, if any | .43% | .43% | .43% | .43%F |
| Expenses net of all reductions | .43% | .43% | .43% | .43%F |
| Net investment income (loss) | 1.69% | 1.95% | 1.03% | .43%F |
| Supplemental Data | | | | |
| Net assets, end of period (in millions) | $2 | $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
| Years ended March 31, | 2020 | 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) | .0191 | .0212 | .0118 | .0043 |
| Net realized and unrealized gain (loss) | (.0002) | .0002 | (.0001) | .0002 |
| Total from investment operations | .0189 | .0214 | .0117 | .0045 |
| Distributions from net investment income | (.0191) | (.0212) | (.0118) | (.0043) |
| Total distributions | (.0191) | (.0212) | (.0118) | (.0043) |
| Net asset value, end of period | $1.0001 | $1.0003 | $1.0001 | $1.0002 |
| Total ReturnC,D | 1.91% | 2.16% | 1.18% | .45% |
| Ratios to Average Net AssetsE | | | | |
| Expenses before reductions | .27% | .27% | .27% | .45%F |
| Expenses net of fee waivers, if any | .23% | .23% | .23% | .23%F |
| Expenses net of all reductions | .23% | .23% | .23% | .23%F |
| Net investment income (loss) | 1.89% | 2.15% | 1.24% | .63%F |
| Supplemental Data | | | | |
| Net assets, end of period (in millions) | $12 | $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 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 Institutional Class
| Years ended March 31, | 2020 | 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) | .0200 | .0221 | .0127 | .0050 |
| Net realized and unrealized gain (loss) | (.0002) | .0002 | (.0001) | .0002 |
| Total from investment operations | .0198 | .0223 | .0126 | .0052 |
| Distributions from net investment income | (.0200) | (.0221) | (.0127) | (.0050) |
| Total distributions | (.0200) | (.0221) | (.0127) | (.0050) |
| Net asset value, end of period | $1.0001 | $1.0003 | $1.0001 | $1.0002 |
| Total ReturnC,D | 2.00% | 2.25% | 1.27% | .52% |
| Ratios to Average Net AssetsE | | | �� | |
| Expenses before reductions | .19% | .19% | .19% | .24%F |
| Expenses net of fee waivers, if any | .14% | .14% | .14% | .14%F |
| Expenses net of all reductions | .14% | .14% | .14% | .14%F |
| Net investment income (loss) | 1.98% | 2.24% | 1.33% | .72%F |
| Supplemental Data | | | | |
| Net assets, end of period (in millions) | $3,486 | $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 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.
Tax-Exempt Portfolio
Investment Summary/Performance (Unaudited)
Effective Maturity Diversification as of March 31, 2020
| Days | % of fund's investments 3/31/20 |
| 1 - 7 | 78.4 |
| 8 - 30 | 1.5 |
| 31 - 60 | 2.8 |
| 61 - 90 | 5.9 |
| 91 - 180 | 8.5 |
| > 180 | 2.9 |
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 March 31, 2020 |
| | Variable Rate Demand Notes (VRDNs) | 22.6% |
| | Tender Option Bond | 49.9% |
| | Other Municipal Security | 19.5% |
| | Investment Companies | 5.8% |
| | Net Other Assets (Liabilities) | 2.2% |
Current 7-Day Yields
| | 3/31/20 |
| Class I | 3.59% |
| Class II | 3.44% |
| Class III | 3.34% |
| Select Class | 3.54% |
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 March 31, 2020, the most recent period shown in the table, would have been 3.56% for Class I, 3.42% for Class II, 3.32% for Class III, and 3.51% for Select Class.
Tax-Exempt Portfolio
Schedule of Investments March 31, 2020
Showing Percentage of Net Assets
| Variable Rate Demand Note - 22.6% | | | |
| | | Principal Amount (000s) | Value (000s) |
| Alabama - 1.9% | | | |
| Columbia Indl. Dev. Board Poll. Cont. Rev. (Alabama Pwr. Co. Proj.): | | | |
| Series 2014 A, 0.9% 4/1/20, VRDN (a) | | $13,680 | $13,680 |
| Series 2014 B, 0.9% 4/1/20, VRDN (a) | | 39,110 | 39,110 |
| Eutaw Indl. Dev. Board Poll. Cont. Rev. (Alabama Pwr. Co. Proj.) 0.9% 4/1/20, VRDN (a) | | 3,400 | 3,400 |
| Mobile Indl. Dev. Board Dock & Wharf Rev. (Holnam, Inc. Proj.) Series 1999 A, 5.5% 4/7/20, LOC Bayerische Landesbank, VRDN (a) | | 14,000 | 14,000 |
| Mobile Indl. Dev. Board Poll. Cont. Rev. (Alabama Pwr. Co. Barry Plant Proj.): | | | |
| Series 2007 C, 4.9% 4/7/20, VRDN (a) | | 12,350 | 12,350 |
| Series 2009, 0.9% 4/1/20, VRDN (a) | | 33,685 | 33,685 |
| Mobile Indl. Dev. Board Solid Waste Disp. Rev. (Alabama Pwr. Co. Barry Plant Proj.) Second Series 2009, 0.86% 4/1/20, VRDN (a) | | 4,500 | 4,500 |
| Wilsonville Indl. Dev. Board Poll. Cont. Rev. (Alabama Pwr. Co. Proj.) Series D, 0.85% 4/1/20, VRDN (a) | | 1,100 | 1,100 |
| | | | 121,825 |
| Alaska - 2.0% | | | |
| Valdez Marine Term. Rev.: | | | |
| (ConocoPhillips Proj.) Series 1994 A, 4.35% 4/7/20 (ConocoPhillips Co. Guaranteed), VRDN (a) | | 39,200 | 39,200 |
| (Phillips Trans. Alaska, Inc. Proj.): | | | |
| Series 1994 B, 4.9% 4/7/20 (ConocoPhillips Co. Guaranteed), VRDN (a) | | 53,400 | 53,400 |
| Series 1994 C, 6% 4/7/20 (ConocoPhillips Co. Guaranteed), VRDN (a) | | 32,300 | 32,300 |
| Series 2002, 4.35% 4/7/20 (ConocoPhillips Co. Guaranteed), VRDN (a) | | 8,200 | 8,200 |
| | | | 133,100 |
| Arizona - 1.5% | | | |
| Arizona Health Facilities Auth. Rev. (Catholic Healthcare West Proj.) Series 2009 F, 4.5% 4/7/20, LOC Mizuho Corporate Bank Ltd., VRDN (a) | | 37,200 | 37,200 |
| Maricopa County Poll. Cont. Rev. (Arizona Pub. Svc. Co. Palo Verde Proj.) Series 2009 A, 5.05% 4/7/20, VRDN (a) | | 11,200 | 11,200 |
| Maricopa County Rev. (Banner Health Sys. Proj.) 4.97% 4/7/20, VRDN (a) | | 48,000 | 48,000 |
| | | | 96,400 |
| California - 0.3% | | | |
| California Health Facilities Fing. Auth. Rev. (Catholic Healthcare West Proj.) Series 2004 K, 5.25% 4/7/20, LOC Mizuho Corporate Bank Ltd., VRDN (a) | | 8,700 | 8,700 |
| San Francisco City & County Arpts. Commission Int'l. Arpt. Rev. Series 2018 C, 5.5% 4/7/20, LOC Sumitomo Mitsui Banking Corp., VRDN (a) | | 10,305 | 10,305 |
| | | | 19,005 |
| Colorado - 0.4% | | | |
| Colorado Univ. Co. Hosp. Auth. Rev.: | | | |
| Series 2017 B2, 5.1% 4/7/20, VRDN (a) | | 3,940 | 3,940 |
| Series 2019 A, 5.1% 4/7/20, VRDN (a) | | 20,755 | 20,755 |
| | | | 24,695 |
| Connecticut - 1.3% | | | |
| Connecticut Gen. Oblig. Series 2016 C, 5.2% 4/7/20 (Liquidity Facility Bank of America NA), VRDN (a) | | 84,255 | 84,255 |
| Connecticut Health & Edl. Facilities Auth. Rev. Series 2007 D, 5.27% 4/7/20, LOC Bank of America NA, VRDN (a) | | 3,255 | 3,255 |
| | | | 87,510 |
| Delaware - 0.2% | | | |
| Delaware Econ. Dev. Auth. Rev. (Delmarva Pwr. & Lt. Co. Proj.): | | | |
| Series 1993 C, 5.36% 4/7/20, VRDN (a) | | 9,400 | 9,400 |
| Series 1999 A, 4.35% 4/7/20, VRDN (a) | | 1,900 | 1,900 |
| | | | 11,300 |
| District Of Columbia - 0.1% | | | |
| District of Columbia Rev. (The AARP Foundation Proj.) Series 2004, 4.94% 4/7/20, LOC Bank of America NA, VRDN (a) | | 2,635 | 2,635 |
| FHLMC District of Columbia Hsg. Fin. Agcy. Multi-family Hsg. Rev. (Pentacle Apts. Proj.) Series 2008, 5.2% 4/7/20, LOC Freddie Mac, VRDN (a) | | 2,855 | 2,855 |
| | | | 5,490 |
| Florida - 0.5% | | | |
| Escambia County Poll. Cont. Rev. (Gulf Pwr. Co. Proj.) Series 1997, 1.55% 4/1/20, VRDN (a) | | 20,000 | 20,000 |
| Martin County Poll. Cont. Rev. (Florida Pwr. & Lt. Co. Proj.) Series 2000, 1.2% 4/1/20, VRDN (a) | | 9,000 | 9,000 |
| Palm Beach County Rev. (Raymond F. Kravis Ctr. Proj.) Series 2002, 3.75% 4/7/20, LOC Northern Trust Co., VRDN (a) | | 2,350 | 2,350 |
| FNMA Volusia County Hsg. Fin. Auth. Multi-family Hsg. Rev. (Fisherman's Landing Apts. Proj.) 4.55% 4/7/20, LOC Fannie Mae, VRDN (a) | | 3,915 | 3,915 |
| | | | 35,265 |
| Georgia - 2.1% | | | |
| Burke County Indl. Dev. Auth. Poll. Cont. Rev. (Georgia Pwr. Co. Plant Vogtle Proj.): | | | |
| First Series 2009, 1.1% 4/1/20, VRDN (a) | | 36,240 | 36,240 |
| Series 2018, 1.5% 4/1/20, VRDN (a) | | 15,020 | 15,020 |
| Coweta County Dev. Auth. Poll. Cont. Rev. (Georgia Pwr. Co. Plant Yates Proj.) Series 2006, 1.02% 4/1/20, VRDN (a) | | 1,250 | 1,250 |
| Effingham County Indl. Dev. Auth. Poll Cont. 1.07% 4/1/20, VRDN (a) | | 2,200 | 2,200 |
| Heard County Dev. Auth. Poll. Cont. Rev. (Georgia Pwr. Co. Plant Wansley Proj.) First Series 1997, 1% 4/1/20, VRDN (a) | | 33,500 | 33,500 |
| Monroe County Dev. Auth. Poll. Cont. Rev.: | | | |
| (Georgia Pwr. Co. Plant Scherer Proj.): | | | |
| Series 1997, 1.02% 4/1/20, VRDN (a) | | 9,100 | 9,100 |
| Series 2008, 1.02% 4/1/20, VRDN (a) | | 21,800 | 21,800 |
| (Gulf Pwr. Co. Plant Scherer Proj.) Series 2010, 1.55% 4/1/20, VRDN (a) | | 4,925 | 4,925 |
| (Oglethorpe Pwr. Corp. Proj.) Series 2009 B, 5% 4/7/20, LOC JPMorgan Chase Bank, VRDN (a) | | 15,900 | 15,900 |
| | | | 139,935 |
| Illinois - 0.1% | | | |
| Illinois Fin. Auth. Rev. (Chicago Symphony Orchestra Proj.) Series 2008, 4.5% 4/7/20, LOC PNC Bank NA, VRDN (a) | | 9,350 | 9,350 |
| Indiana - 0.9% | | | |
| Indiana Dev. Fin. Auth. Envir. Rev.: | | | |
| (Duke Energy Indiana, Inc. Proj.) Series 2009 A3, 5.63% 4/7/20, LOC Mizuho Bank Ltd., VRDN (a) | | 26,565 | 26,565 |
| Series 2005, 4.45% 4/7/20, LOC Rabobank Nederland New York Branch, VRDN (a) | | 22,140 | 22,140 |
| Lawrenceburg Poll. Cont. Rev. (Indiana Michigan Pwr. Co. Proj.) Series H, 4.85% 4/7/20, VRDN (a) | | 10,550 | 10,550 |
| | | | 59,255 |
| Iowa - 0.2% | | | |
| Iowa Fin. Auth. Midwestern Disaster Area Econ. Dev. Series 2012 A, 5.38% 4/7/20, VRDN (a) | | 13,800 | 13,800 |
| Kansas - 0.5% | | | |
| Burlington Envir. Impt. Rev. (Kansas City Pwr. and Lt. Co. Proj.): | | | |
| Series 2007 A, 5.18% 4/7/20, VRDN (a) | | 6,300 | 6,300 |
| Series 2007 B, 5.18% 4/7/20, VRDN (a) | | 10,700 | 10,700 |
| St. Mary's Kansas Poll. Cont. Rev. Series 1994, 6% 4/7/20, VRDN (a) | | 16,400 | 16,400 |
| Wamego Kansas Poll. Cont. Rfdg. Rev. (Kansas Gas & Elec. Co. Proj.) Series 1994, 6% 4/7/20, VRDN (a) | | 1,700 | 1,700 |
| | | | 35,100 |
| Louisiana - 2.7% | | | |
| Louisiana Pub. Facilities Auth. Rev. (Air Products & Chemicals, Inc. Proj.): | | | |
| Series 2004, 4.3% 4/7/20, VRDN (a) | | 15,250 | 15,250 |
| Series 2007, 0.7% 4/1/20, VRDN (a) | | 3,825 | 3,825 |
| Series 2008 A, 0.9% 4/1/20, VRDN (a) | | 16,700 | 16,700 |
| Saint James Parish Gen. Oblig.: | | | |
| (Nucor Steel Louisiana LLC Proj.): | | | |
| Series 2010 A1, 7.5% 4/7/20, VRDN (a) | | 21,280 | 21,280 |
| Series 2010 B1, 7.5% 4/7/20, VRDN (a) | | 22,100 | 22,100 |
| (NuStar Logistics, L.P. Proj.): | | | |
| Series 2010 A, 8% 4/7/20, LOC Bank of Tokyo-Mitsubishi UFJ Ltd., VRDN (a) | | 13,600 | 13,600 |
| Series 2010 B, 8% 4/7/20, LOC Bank of Tokyo-Mitsubishi UFJ Ltd., VRDN (a) | | 13,800 | 13,800 |
| Series 2010, 8% 4/7/20, LOC Mizuho Bank Ltd., VRDN (a) | | 69,800 | 69,800 |
| | | | 176,355 |
| Michigan - 0.0% | | | |
| Michigan Strategic Fund Ltd. Oblig. Rev. (The Kroger Co. Recovery Zone Facilities Bond Proj.) Series 2010, 5.29% 4/7/20, LOC Bank of Tokyo-Mitsubishi UFJ Ltd., VRDN (a) | | 3,500 | 3,500 |
| Mississippi - 0.5% | | | |
| Jackson County Poll. Cont. Rev. (Chevron U.S.A., Inc. Proj.) Series 1993 0.65% 4/1/20, VRDN (a) | | 7,965 | 7,965 |
| Mississippi Bus. Fin. Corp. (Chevron U.S.A., Inc. Proj.): | | | |
| Series 2007 A, 0.85% 4/1/20 (Chevron Corp. Guaranteed), VRDN (a) | | 10,800 | 10,800 |
| Series 2007 C, 0.65% 4/1/20 (Chevron Corp. Guaranteed), VRDN (a) | | 7,110 | 7,110 |
| Series 2011 D, 0.65% 4/1/20, VRDN (a) | | 8,730 | 8,730 |
| | | | 34,605 |
| Missouri - 0.2% | | | |
| Missouri Health & Edl. Facilities Auth. Rev. (Ascension Health Cr. Group Proj.) Series 2003 C2, 4.95% 4/7/20, VRDN (a) | | 12,765 | 12,765 |
| New York - 0.6% | | | |
| New York City Gen. Oblig.: | | | |
| Series 2006 E2, 0.8% 4/1/20, LOC Bank of America NA, VRDN (a) | | 2,240 | 2,240 |
| Series 2008 J6, 0.73% 4/1/20, LOC Landesbank Hessen-Thuringen, VRDN (a) | | 8,850 | 8,850 |
| Series 2012 G6, 0.7% 4/1/20 (Liquidity Facility Mizuho Bank Ltd.), VRDN (a) | | 1,740 | 1,740 |
| New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev.: | | | |
| Series 2009 BB2, 1% 4/1/20 (Liquidity Facility Landesbank Hessen-Thuringen), VRDN (a) | | 1,700 | 1,700 |
| Series FF, 0.8% 4/1/20 (Liquidity Facility Bank of America NA), VRDN (a) | | 2,000 | 2,000 |
| New York City Transitional Fin. Auth. Rev.: | | | |
| Series 2003 A2, 1.05% 4/2/20 (Liquidity Facility Bank of Tokyo-Mitsubishi UFJ Ltd.), VRDN (a) | | 9,525 | 9,525 |
| Series 2010 G6, 0.85% 4/1/20 (Liquidity Facility Barclays Bank PLC), VRDN (a) | | 4,250 | 4,250 |
| Series 2019 C4, 0.85% 4/1/20 (Liquidity Facility Barclays Bank PLC), VRDN (a) | | 7,890 | 7,890 |
| | | | 38,195 |
| North Carolina - 0.5% | | | |
| Greensboro Combined Enterprise Sys. Rev. Series 2014 A, 4.96% 4/7/20 (Liquidity Facility Bank of America NA), VRDN (a) | | 20,680 | 20,671 |
| Lower Cape Fear Wtr. & Swr. Auth. Rev. (Bladen Bluffs Proj.) Series 2010, 4.86% 4/7/20, LOC Rabobank Nederland New York Branch, VRDN (a) | | 10,155 | 10,150 |
| | | | 30,821 |
| Ohio - 0.6% | | | |
| Cuyahoga County Health Care Facilities Rev. (The A.M. McGregor Home Proj.) Series 2014, 4.95% 4/7/20, LOC Northern Trust Co., VRDN (a) | | 1,795 | 1,795 |
| Hamilton County Student Hsg. Rev. (Block 3 Proj.) Series 2004, 4.25% 4/7/20, LOC RBS Citizens NA, VRDN (a) | | 32,930 | 32,930 |
| Ohio State Univ. Gen. Receipts Series 2001, 4.73% 4/7/20, VRDN (a) | | 4,900 | 4,900 |
| | | | 39,625 |
| Pennsylvania - 0.1% | | | |
| Allegheny County Indl. Dev. Auth. Rev. Series 2002, 4.25% 4/7/20, LOC RBS Citizens NA, VRDN (a) | | 4,100 | 4,100 |
| Lancaster Indl. Dev. Auth. Rev. (Mennonite Home Proj.) 4.81% 4/7/20, LOC Manufacturers & Traders Trust Co., VRDN (a) | | 505 | 505 |
| Washington County Hosp. Auth. Rev. (Monongahela Valley Hosp. Proj.) Series 2018 C, 4.25% 4/7/20, LOC RBS Citizens NA, VRDN (a) | | 2,645 | 2,645 |
| | | | 7,250 |
| Tennessee - 0.1% | | | |
| Clarksville Pub. Bldg. Auth. Rev. (Tennessee Muni. Bond Fund Proj.) Series 1994, 4.91% 4/7/20, LOC Bank of America NA, VRDN (a) | | 710 | 710 |
| Montgomery County Pub. Bldg. Auth. Pooled Fing. Rev. (Tennessee County Ln. Pool Prog.) Series 1999, 4.9% 4/7/20, LOC Bank of America NA, VRDN (a) | | 8,630 | 8,630 |
| | | | 9,340 |
| Texas - 3.4% | | | |
| Harris County Cultural Ed. Facilities Fin. Corp. Rev.: | | | |
| Series 2014 C, 4.95% 4/7/20, VRDN (a) | | 21,985 | 21,985 |
| Series 2014 D, 5.15% 4/7/20, VRDN (a) | | 8,800 | 8,800 |
| Series 2016 C, 4.95% 4/7/20, VRDN (a) | | 38,910 | 38,910 |
| Series 2016 D, 5.15% 4/7/20, VRDN (a) | | 10,335 | 10,335 |
| Series 2019 F, 5.15% 4/7/20, VRDN (a) | | 48,300 | 48,300 |
| Port Arthur Navigation District Exempt Facilities (Var-Total Petrochemicals Proj.) Series 2009, 7.05% 4/7/20 (Total SA Guaranteed), VRDN (a) | | 700 | 700 |
| Port Arthur Navigation District Indl. Dev. Corp. Exempt Facilities Rev.: | | | |
| (Air Products Proj.): | | | |
| Series 2005, 0.9% 4/1/20 (Air Products & Chemicals, Inc. Guaranteed), VRDN (a) | | 7,100 | 7,100 |
| Series 2010 A, 7.05% 4/7/20 (Total SA Guaranteed), VRDN (a) | | 3,000 | 3,000 |
| Series 2012, 7.05% 4/7/20 (Total SA Guaranteed), VRDN (a) | | 17,000 | 17,000 |
| (Total Petrochemicals & Refining U.S.A., Inc. Proj.) Series 2012 B, 7.05% 4/7/20 (Total SA Guaranteed), VRDN (a) | | 4,200 | 4,200 |
| (Total Petrochemicals and Refining U.S.A., Inc. Proj.) Series 2012 A, 7.05% 4/7/20 (Total SA Guaranteed), VRDN (a) | | 4,100 | 4,100 |
| Texas Gen. Oblig.: | | | |
| Series 2011 A, 5.05% 4/7/20 (Liquidity Facility State Street Bank & Trust Co., Boston), VRDN (a) | | 2,665 | 2,665 |
| Series 2012 B, 5.05% 4/7/20 (Liquidity Facility State Street Bank & Trust Co., Boston), VRDN (a) | | 1,000 | 1,000 |
| Series 2013 B, 5.05% 4/7/20 (Liquidity Facility State Street Bank & Trust Co., Boston), VRDN (a) | | 52,580 | 52,580 |
| | | | 220,675 |
| Utah - 0.8% | | | |
| Emery County Poll. Cont. Rev. (PacifiCorp Proj.) Series 1994, 3.78% 4/7/20, VRDN (a) | | 54,460 | 54,460 |
| Virginia - 0.2% | | | |
| Norfolk Econ. Dev. Auth. Hosp. Facilities Rev. Series 2016, 5.25% 4/7/20, VRDN (a) | | 10,255 | 10,255 |
| Washington - 0.4% | | | |
| Port of Vancouver Rev. (United Grain Corp. of Oregon Proj.) Series 2009, 4.9% 4/7/20, LOC Bank of America NA, VRDN (a) | | 25,000 | 25,000 |
| Wyoming - 0.5% | | | |
| Converse County Poll. Cont. Rev. (PacifiCorp Projs.): | | | |
| Series 1992, 5.05% 4/7/20, VRDN (a) | | 14,300 | 14,300 |
| Series 1994, 4.65% 4/7/20, VRDN (a) | | 3,600 | 3,600 |
| Lincoln County Poll. Cont. Rev. (PacifiCorp Proj.) Series 1994, 4.65% 4/7/20, VRDN (a) | | 2,300 | 2,300 |
| Sweetwater County Poll. Cont. Rev. (PacifiCorp Proj.): | | | |
| Series 1992 A, 5.05% 4/7/20, VRDN (a) | | 3,700 | 3,700 |
| Series 1992 B, 5.05% 4/7/20, VRDN (a) | | 4,100 | 4,100 |
| Series 1994, 4.65% 4/7/20, VRDN (a) | | 5,800 | 5,800 |
| | | | 33,800 |
| TOTAL VARIABLE RATE DEMAND NOTE | | | |
| (Cost $1,488,676) | | | 1,488,676 |
|
| Tender Option Bond - 49.9% | | | |
| Alabama - 0.6% | | | |
| Alabama Spl. Care Facilities Fing. Auth. Birmingham Rev. Participating VRDN Series 16 ZM0206, 4.81% 4/7/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(c) | | 11,515 | 11,515 |
| Alabama Spl. Care Facilities Fing. Auth. Mobile Rev. Participating VRDN: | | | |
| Series 16 ZM0205, 2% 4/1/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(c) | | 5,960 | 5,960 |
| Series Floaters ZF 27 70, 2% 4/1/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(c) | | 6,440 | 6,440 |
| Homewood Participating VRDN Series Floaters G 37, 3.75% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 2,875 | 2,875 |
| Southeast Alabama Gas Supply District Participating VRDN Series Floaters XG 02 03, 2.92% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 11,250 | 11,250 |
| | | | 38,040 |
| Alaska - 0.2% | | | |
| Alaska Indl. Dev. & Expt. Auth. Rev. Participating VRDN Series 16 XM 0236, 5.03% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c) | | 10,545 | 10,545 |
| Arizona - 0.9% | | | |
| Arizona Board of Regents Arizona State Univ. Rev. Participating VRDN Series 33 85X, 2% 4/1/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(c) | | 4,800 | 4,800 |
| Arizona Health Facilities Auth. Rev. Participating VRDN Series Floaters XF 20 46, 4.81% 4/7/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(c) | | 4,705 | 4,705 |
| Arizona Trans. Board Hwy. Rev. Participating VRDN Series Floaters XX 10 05, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 2,340 | 2,340 |
| Lake Havasu City Ariz Participating VRDN Series Floaters G 103, 3.29% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 4,750 | 4,750 |
| Maricopa County Rev. Participating VRDN: | | | |
| Series Floaters YX 10 32, 4.86% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 16,850 | 16,850 |
| Series ZM 06 51, 4.81% 4/7/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(c) | | 4,000 | 4,000 |
| Mesa Util. Sys. Rev. Participating VRDN: | | | |
| Series Floaters XL 00 71, 4.61% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 7,000 | 7,000 |
| Series Solar 17 0026, 4.76% 4/7/20 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(b)(c) | | 3,170 | 3,170 |
| Rowan Univ. Participating VRDN Series 2016 XF 2337, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 4,220 | 4,220 |
| Salt River Proj. Agricultural Impt. & Pwr. District Elec. Sys. Rev. Participating VRDN: | | | |
| Series Floaters XF 21 92, 4.31% 4/7/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(c) | | 2,600 | 2,600 |
| Series ROC II R 14060, 3% 4/1/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 4,000 | 4,000 |
| Salt Verde Finl. Corp. Sr. Gas Rev. Participating VRDN Series Floaters XF 25 37, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 1,200 | 1,200 |
| | | | 59,635 |
| California - 1.5% | | | |
| California Gen. Oblig. Participating VRDN: | | | |
| Series Spears DB 80 17, 3.2% 4/7/20 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(b)(c) | | 1,900 | 1,900 |
| Series Spears DB 80 18, 3.33% 4/7/20 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(b)(c) | | 3,100 | 3,100 |
| Dignity Health Participating VRDN: | | | |
| Series 17 04, 5% 5/12/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 2,590 | 2,590 |
| Series DBE 80 11, 4.01% 4/7/20 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(b)(c) | | 49,945 | 49,945 |
| Los Angeles Dept. of Wtr. & Pwr. Rev. Participating VRDN Series MS 3345, 4.81% 4/7/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(c) | | 7,060 | 7,060 |
| Los Angeles Dept. of Wtr. & Pwr. Wtrwks. Rev. Participating VRDN Series DB 8028, 3.059% 4/7/20 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(b)(c) | | 11,200 | 11,200 |
| Sacramento City Fing. Auth. Rev. Participating VRDN Series Floaters XG 01 00, 4.81% 4/7/20 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(b)(c) | | 10,000 | 10,000 |
| Univ. of California Revs. Participating VRDN: | | | |
| Series Spears DB 80 19, 3.2% 4/7/20 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(b)(c) | | 10,000 | 10,000 |
| Series Spears DB 80 20, 3.37% 4/7/20 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(b)(c) | | 5,410 | 5,410 |
| | | | 101,205 |
| Colorado - 3.2% | | | |
| Boulder Valley Co. School District Re2 Participating VRDN Series Floaters G 16, 3.39% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 6,100 | 6,100 |
| Boulder, Larimer & Weld Counties St. Vrain Valley School District # RE-1J Participating VRDN Series Floaters G 57, 3.74% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 1,900 | 1,900 |
| Cherry Creek School District No. 5 Gen. Oblig. Participating VRDN Series Solar 17 3, 4.76% 4/7/20 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(b)(c) | | 7,350 | 7,350 |
| Children's Hosp. Assoc., Co. Participating VRDN Series Floaters XF 23 05, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 745 | 745 |
| Colorado Health Facilities Auth. Participating VRDN: | | | |
| Series Floaters XF 06 67, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 6,045 | 6,045 |
| Series XF 08 05, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 4,750 | 4,750 |
| Series XF 28 49, 2% 4/1/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(c) | | 3,935 | 3,935 |
| Series XG 02 51, 4% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c)(d) | | 6,450 | 6,450 |
| Series ZF 08 09, 5.05% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c)(d) | | 2,550 | 2,550 |
| Colorado Health Facilities Auth. Rev. Participating VRDN Series Floaters XF 10 25, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 5,205 | 5,205 |
| Colorado Reg'l. Trans. District Sales Tax Rev. Participating VRDN Series Floaters 16 XF1031, 4.49% 4/7/20 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(b)(c) | | 21,310 | 21,310 |
| Colorado State Bldg. Excellent Schools Today Ctfs. of Prtn. Participating VRDN Series Floaters XF 07 25, 4.76% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 5,250 | 5,250 |
| Colorado State Univ. Board of Governors Enterprise Sys. Rev. Participating VRDN: | | | |
| Series E 143, 4.76% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 63,320 | 63,320 |
| Series Floaters XF 25 13, 4.18% 4/7/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(c) | | 7,500 | 7,500 |
| Colorado Univ. Co. Hosp. Auth. Rev. Participating VRDN Series EGL 17 0002, 5.21% 4/7/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 34,165 | 34,165 |
| CommonSpirit Health Participating VRDN: | | | |
| Series Floaters XF 10 01, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 3,800 | 3,800 |
| Series Floaters XF 10 03, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 9,200 | 9,200 |
| Tender Option Bond Trust Receipts Participating VRDN Series XG 00 68, 3.63% 4/7/20 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(b)(c) | | 1,705 | 1,705 |
| Univ. of Colorado Enterprise Sys. Rev.: | | | |
| Participating VRDN Series Floaters XM 03 85, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 1,850 | 1,850 |
| Participating VRDN: | | | |
| Series Floaters XM 06 71, 4.74% 4/7/20 (Liquidity Facility Wells Fargo Bank NA) (a)(b)(c) | | 3,335 | 3,335 |
| Series Putters 15 XM0007, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 6,900 | 6,900 |
| Series Solar 0065, 4.76% 4/7/20 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(b)(c) | | 4,650 | 4,650 |
| Weld County School District No. 4 Participating VRDN Series RBC G 58, 3.92% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 2,800 | 2,800 |
| | | | 210,815 |
| Connecticut - 0.9% | | | |
| Connecticut Gen. Oblig. Participating VRDN: | | | |
| Series 2017, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 10,410 | 10,410 |
| Series Floaters 014, 5% 5/12/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 5,960 | 5,960 |
| Series Floaters G3, 3.86% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 2,800 | 2,800 |
| Series Floaters G66, 3.91% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 1,000 | 1,000 |
| Series Floaters XL 00 66, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 2,510 | 2,510 |
| Series Floaters YX 10 95, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 8,925 | 8,925 |
| Series XM 07 62, 3.64% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 9,925 | 9,925 |
| Connecticut Health & Edl. Facilities Auth. Rev. Participating VRDN Series Floaters XM 04 49, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 3,040 | 3,040 |
| Connecticut Hsg. Fin. Auth. Participating VRDN Series Floaters ZF 06 54, 4.57% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c) | | 3,750 | 3,750 |
| Connecticut Muni. Elec. Energy Coop. Pwr. Supply Sys. Rev. Participating VRDN Series XG 00 59, 3.77% 4/7/20 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(b)(c) | | 3,000 | 3,000 |
| Connecticut Spl. Tax Oblig. Trans. Infrastructure Rev.: | | | |
| Bonds Series Floaters G 110, 3.41%, tender 10/1/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c)(e) | | 3,150 | 3,150 |
| Participating VRDN Series Floaters YX 10 77, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 1,000 | 1,000 |
| State of Connecticut Gen. Oblig. Bonds Participating VRDN Series Floaters XM 03 39, 4.77% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 1,400 | 1,400 |
| | | | 56,870 |
| District Of Columbia - 1.8% | | | |
| District of Columbia Gen. Oblig. Participating VRDN: | | | |
| Series Floaters E 108, 4.76% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 19,995 | 19,995 |
| Series Floaters E 109, 4.76% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 11,030 | 11,030 |
| Series Floaters G73, 3.83% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 5,000 | 5,000 |
| Series Floaters XF 05 47, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 4,665 | 4,665 |
| Series Floaters YX 10 39, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 13,315 | 13,315 |
| Series MS 4301, 2% 4/1/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(c) | | 2,250 | 2,250 |
| Series Solar 0035, 4.76% 4/7/20 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(b)(c) | | 520 | 520 |
| Series XF 27 59, 4.7% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 9,600 | 9,600 |
| District of Columbia Income Tax Rev. Participating VRDN: | | | |
| Series Floaters XM 04 37, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 18,900 | 18,900 |
| Series XF 23 41, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 1,385 | 1,385 |
| Metropolitan Washington Arpts. Auth. Dulles Toll Road Rev. Participating VRDN: | | | |
| Series XF 08 53, 3.36% 4/7/20 (Liquidity Facility Toronto-Dominion Bank) (a)(b)(c) | | 18,890 | 18,890 |
| Series XG 02 67, 3.47% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c)(d) | | 11,795 | 11,795 |
| | | | 117,345 |
| Florida - 2.9% | | | |
| Cape Coral Wtr. & Swr. Rev. Participating VRDN Series Floaters YX 10 71, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 4,900 | 4,900 |
| Escambia County Health Facilities Auth. Health Facilities Rev. Participating VRDN: | | | |
| Series XG 02 75, 3% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c) | | 20,150 | 20,150 |
| Series XG 02 81, 3.13% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c) | | 370 | 370 |
| Series ZF 08 84, 5.05% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c) | | 1,185 | 1,185 |
| Florida Gen. Oblig. Participating VRDN: | | | |
| Series Floaters XF 06 80, 4.31% 4/7/20 (Liquidity Facility Toronto-Dominion Bank) (a)(b)(c) | | 2,300 | 2,300 |
| Series Solar 042, 3.48% 4/7/20 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(b)(c) | | 10,100 | 10,100 |
| Series Solar 2017 37, 3.45% 4/7/20 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(b)(c) | | 3,920 | 3,920 |
| Fort Myers Util. Sys. Rev. Participating VRDN Series XF 08 13, 3.53% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 1,170 | 1,170 |
| Gainesville Utils. Sys. Rev. Participating VRDN Series YX 11 18, 2.75% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 10,335 | 10,335 |
| Jacksonville Elec. Auth. Elec. Sys. Rev. Participating VRDN Series 2019, 5.01% 5/12/20 (Liquidity Facility Wells Fargo Bank NA) (a)(b)(c) | | 20,405 | 20,405 |
| Lee Memorial Health Sys. Hosp. Rev. Participating VRDN Series Floaters XG 02 34, 4.22% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c) | | 770 | 770 |
| Martin County Health Facilities Participating VRDN Series Floaters XL 01 07, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 3,750 | 3,750 |
| Miami Beach Resort Tax Rev. Participating VRDN Series 15 XF0260, 4.14% 4/7/20 (Liquidity Facility Toronto-Dominion Bank) (a)(b)(c) | | 7,660 | 7,660 |
| Miami-Dade County Edl. Facilities Rev. Participating VRDN Series Floaters XG 01 92, 4.61% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 2,575 | 2,575 |
| Miami-Dade County Expressway Auth. Participating VRDN: | | | |
| Series Floaters XG 02 52, 1.87% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c) | | 3,500 | 3,500 |
| Series XG 00 99, 2.99% 4/7/20 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(b)(c) | | 1,300 | 1,300 |
| Miami-Dade County Gen. Oblig. Participating VRDN: | | | |
| Series Floaters E 70, 4.76% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 64,050 | 64,050 |
| Series Floaters XM 07 09, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 1,950 | 1,950 |
| Miami-Dade County Wtr. & Swr. Rev. Participating VRDN Series XX 11 09, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 3,890 | 3,890 |
| Palm Beach County Health Facilities Auth. Hosp. Rev. Participating VRDN Series XM 07 82, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 1,400 | 1,400 |
| Palm Beach County Solid Waste Auth. Rev. Participating VRDN Series ROC II 14003, 3% 4/1/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 1,970 | 1,970 |
| St. Petersburg Pub. Util. Rev. Bonds Series 00 16, 2.76%, tender 4/2/20 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(b)(c) | | 5,100 | 5,100 |
| Tampa Health Sys. Rev. Participating VRDN: | | | |
| Series 16 XF2214, 3% 4/1/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 4,800 | 4,800 |
| Series Floaters XF 25 52, 3% 4/1/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 10,400 | 10,400 |
| | | | 187,950 |
| Georgia - 1.3% | | | |
| Atlanta Wtr. & Wastewtr. Rev. Participating VRDN: | | | |
| Series Floaters XF 07 05, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 3,200 | 3,200 |
| Series Floaters XF 26 49, 4.38% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 4,000 | 4,000 |
| Brookhaven Dev. Auth. Rev. Participating VRDN: | | | |
| Series XG 02 44, 3.4% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c) | | 995 | 995 |
| Series XM 07 51, 3.3% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c) | | 1,500 | 1,500 |
| Burke County Indl. Dev. Auth. Poll. Cont. Rev. Participating VRDN Series Floaters E 107, 4.78% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 4,500 | 4,500 |
| Clarke County Hosp. Auth. Participating VRDN Series 2017 ZF 2413, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 900 | 900 |
| Fayette County Hosp. Auth. Rev. Participating VRDN Series Floaters XF 06 44, 4.75% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 2,300 | 2,300 |
| Georgia Muni. Elec. Auth. Pwr. Rev. Participating VRDN: | | | |
| Series XF 08 23, 3.92% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c) | | 3,175 | 3,175 |
| Series XF 08 30, 3.79% 4/7/20 (Liquidity Facility Toronto-Dominion Bank) (a)(b)(c) | | 14,325 | 14,325 |
| Series XF 28 47, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 3,610 | 3,610 |
| Series XG 02 56, 4.12% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c) | | 10,140 | 10,140 |
| Series XG 02 57, 3.22% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c)(d) | | 1,635 | 1,635 |
| Series XL 01 18, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 4,985 | 4,985 |
| Main Street Natural Gas, Inc. Participating VRDN Series Floaters XF 07 51, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 7,730 | 7,730 |
| Muni. Elec. Auth. of Georgia Participating VRDN Series XG 02 54, 4.04% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c) | | 11,855 | 11,855 |
| Private Colleges & Univs. Auth. Rev. Participating VRDN Series Floaters XM 04 35, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 1,000 | 1,000 |
| Wyandotte County Unified School District 500 Participating VRDN Series Floater 2018 G23A, 3.6% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 7,900 | 7,900 |
| | | | 83,750 |
| Hawaii - 0.4% | | | |
| Eclipse Fdg. Trust Various States Bonds Series 2019, 2.64%, tender 4/2/20 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(b)(c) | | 12,385 | 12,385 |
| Hawaii Gen. Oblig. Participating VRDN Series Solar 17 0031, 4.76% 4/7/20 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(b)(c) | | 985 | 985 |
| Honolulu City & County Gen. Oblig. Participating VRDN Series Floaters XM 07 18, 4.81% 4/7/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(c) | | 3,590 | 3,590 |
| Honolulu City and County Wastewtr. Sys. Participating VRDN Series 15 XM0080, 3% 4/1/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 7,960 | 7,960 |
| | | | 24,920 |
| Illinois - 4.1% | | | |
| Chicago Board of Ed. Participating VRDN Series Floaters XG 02 17, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 5,625 | 5,625 |
| Chicago Gen. Oblig. Participating VRDN Series Floaters XL 01 05, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 6,315 | 6,315 |
| Chicago O'Hare Int'l. Arpt. Rev. Participating VRDN: | | | |
| Series Floaters XF 07 36, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 8,295 | 8,295 |
| Series Spears DBE 80 22, 3.56% 4/7/20 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(b)(c) | | 12,325 | 12,325 |
| Chicago Transit Auth. Participating VRDN Series Floaters XM 04 50, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 11,935 | 11,935 |
| Chicago Wastewtr. Transmission Rev. Participating VRDN Series Floaters XL 00 94, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 11,170 | 11,170 |
| City of Chicago Gen. Oblig. Bonds Participating VRDN Series Floaters XF 23 42, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 500 | 500 |
| Cook County Ill Sales Tax Rev. Participating VRDN Series Floaters XF 25 01, 3.25% 4/1/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 873 | 873 |
| Deutsche Bank Spears/Lifers Trust Participating VRDN Series Floaters XF 10 12, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 9,400 | 9,400 |
| Illinois Fin. Auth. Rev. Participating VRDN: | | | |
| Series 15 XF0253, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 5,100 | 5,100 |
| Series 15 XM0050, 5.25% 4/7/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 13,300 | 13,300 |
| Series 17 XM 0492, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 23,850 | 23,850 |
| Series Floaters 017, 5% 5/12/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 11,820 | 11,820 |
| Series Floaters XF 25 00, 3% 4/1/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 7,580 | 7,580 |
| Series Floaters XF 25 35, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 8,400 | 8,400 |
| Series Floaters XL 00 86, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 7,360 | 7,360 |
| Series MS 3332, 2% 4/1/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(c) | | 400 | 400 |
| Series XF 07 11, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 9,900 | 9,900 |
| Series XF 23 38, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 11,975 | 11,975 |
| Illinois Gen. Oblig. Participating VRDN: | | | |
| Series Floaters XF 10 43, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 3,000 | 3,000 |
| Series Floaters XL 00 54, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 10,400 | 10,400 |
| Series Floaters XX 10 81, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 7,400 | 7,400 |
| Series Floaters YX 10 72, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 9,510 | 9,510 |
| Series Floaters YX 10 86, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 2,500 | 2,500 |
| Series XF 28 41, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 2,800 | 2,800 |
| Series XM 07 59, 3.21% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c) | | 4,600 | 4,600 |
| Illinois Toll Hwy. Auth. Toll Hwy. Rev. Participating VRDN: | | | |
| Series 15 XF0277, 4.79% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 1,500 | 1,500 |
| Series 15 XF2202, 3% 4/1/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 5,720 | 5,720 |
| Series 15 XM 0078, 4.76% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 5,180 | 5,180 |
| Series Floaters XF 27 67, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 9,600 | 9,600 |
| Series Floaters ZF 03 73, 4.66% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 15,315 | 15,315 |
| Series Floaters ZF 28 24, 4.74% 4/7/20 (Liquidity Facility Wells Fargo Bank NA) (a)(b)(c) | | 8,000 | 8,000 |
| Series XF 08 01, 4.03% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 2,000 | 2,000 |
| Series XM 07 47, 4% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 2,700 | 2,700 |
| Series ZF 24 03, 3% 4/1/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 6,665 | 6,665 |
| Series ZF 24 04, 3% 4/1/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 3,165 | 3,165 |
| Metropolitan Pier & Exposition Participating VRDN Series XF 10 46, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 4,500 | 4,500 |
| | | | 270,678 |
| Indiana - 0.0% | | | |
| Indiana Fin. Auth. Rev. Participating VRDN Series 15 XF0106, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 2,260 | 2,260 |
| Iowa - 0.1% | | | |
| RIB Floater Trust Various States Participating VRDN Series Floaters 007, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 3,420 | 3,420 |
| Kansas - 0.2% | | | |
| Kansas Dev. Fin. Agcy. Participating VRDN Series ROC II R 14067, 5.25% 4/7/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 7,500 | 7,500 |
| Leavenworth County Unified School District No. 464 Participating VRDN Series XF 08 35, 3.3% 4/7/20 (Liquidity Facility Toronto-Dominion Bank) (a)(b)(c) | | 3,755 | 3,755 |
| Univ. of Kansas Hosp. Auth. Health Facilities Rev. Participating VRDN Series Floaters XF 25 43, 4.75% 4/7/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 4,035 | 4,035 |
| | | | 15,290 |
| Kentucky - 0.4% | | | |
| Kentucky Econ. Dev. Fin. Auth. Participating VRDN: | | | |
| Series Floaters XF 10 24, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 5,320 | 5,320 |
| Series Floaters XF 24 85, 3.25% 4/1/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 11,400 | 11,400 |
| Kentucky Econ. Dev. Fin. Auth. Hosp. Rev. Participating VRDN Series Floaters XG 01 23, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 5,195 | 5,195 |
| Kentucky State Property & Buildings Commission Rev. Bonds Series G 116, 1.92%, tender 11/2/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c)(e) | | 1,400 | 1,400 |
| | | | 23,315 |
| Louisiana - 0.7% | | | |
| Louisiana Gas & Fuel Tax Rev. Participating VRDN: | | | |
| Series EGL 14 0049, 5.21% 4/7/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 13,600 | 13,600 |
| Series Floaters XF 24 91, 4.85% 4/7/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 8,250 | 8,250 |
| Series Floaters ZF 26 35, 2% 4/1/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(c) | | 4,930 | 4,930 |
| Louisiana Local Govt. Envir. Facilities Participating VRDN Series 2016 XF 2336, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 12,500 | 12,500 |
| New Orleans Swr. Svc. Rev. Participating VRDN Series Floaters XM 07 38, 4.26% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 3,000 | 3,000 |
| New Orleans Wtr. Participating VRDN Series XM 07 35, 4.44% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c) | | 1,500 | 1,500 |
| | | | 43,780 |
| Maryland - 0.8% | | | |
| Baltimore County Gen. Oblig. Participating VRDN: | | | |
| Series Floaters XF 06 42, 4.35% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 3,900 | 3,900 |
| Series Solar 17 22, 3.55% 4/7/20 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(b)(c) | | 11,740 | 11,740 |
| Baltimore Proj. Rev. Bonds Series Floaters G 28, 3.58%, tender 7/1/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c)(e) | | 1,000 | 1,000 |
| Maryland Health & Higher Edl. Facilities Auth. Rev. Participating VRDN: | | | |
| Series 15 XF0130, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 7,310 | 7,310 |
| Series Floaters XG 01 77, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 1,900 | 1,900 |
| Series Floaters XG 02 16, 4.43% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c) | | 2,605 | 2,605 |
| Montgomery County Gen. Oblig. Participating VRDN: | | | |
| Series 15 XF0110, 4.6% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 15,975 | 15,975 |
| Series 2017 ZF 2416, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 7,500 | 7,500 |
| | | | 51,930 |
| Massachusetts - 0.7% | | | |
| Massachusetts Dev. Fin. Agcy. Rev. Participating VRDN Series Floaters E 130, 4.76% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 1,400 | 1,400 |
| Massachusetts Gen. Oblig. Bonds: | | | |
| Series Clipper 09 67, 2.16%, tender 8/20/20 (Liquidity Facility State Street Bank & Trust Co., Boston) (a)(b)(c)(e) | | 36,400 | 36,400 |
| Series Clipper 09 69, 4.2%, tender 4/2/20 (Liquidity Facility State Street Bank & Trust Co., Boston) (a)(b)(c)(e) | | 5,475 | 5,475 |
| Massachusetts Spl. Oblig. Dedicated Tax Rev. Bonds Series Floaters G 29, 4.16%, tender 7/1/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c)(e) | | 500 | 500 |
| | | | 43,775 |
| Michigan - 1.5% | | | |
| Lansing Board of Wtr. & Lt. Util. Rev. Participating VRDN Series ZF 07 85, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 6,675 | 6,675 |
| Michigan Bldg. Auth. Rev. Participating VRDN: | | | |
| Series Floaters XF 26 09, 3% 4/1/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 3,240 | 3,240 |
| Series Floaters XM 04 65, 4.81% 4/7/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(c) | | 8,135 | 8,135 |
| Series Floaters XM 07 43, 3.58% 4/7/20 (Liquidity Facility Wells Fargo Bank NA) (a)(b)(c) | | 1,200 | 1,200 |
| Series Floaters ZF 26 40, 4.78% 4/7/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(c) | | 3,600 | 3,600 |
| Series ZF 08 19, 4.21% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 2,400 | 2,400 |
| Michigan Fin. Auth. Rev. Participating VRDN: | | | |
| Series 15 XF0126, 3.82% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 4,500 | 4,500 |
| Series Floaters XF 05 96, 4.57% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 3,775 | 3,775 |
| Series Floaters XF 05 97, 4.16% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 2,000 | 2,000 |
| Series Floaters XF 07 42, 4.22% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 3,900 | 3,900 |
| Series Floaters XF 26 48, 3% 4/1/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 2,400 | 2,400 |
| Series Floaters XG 01 58, 2.75% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c) | | 1,900 | 1,900 |
| Series Floaters ZF 07 83, 4.81% 4/1/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 11,675 | 11,675 |
| Series Floaters ZF 28 12, 4.81% 4/7/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(c) | | 2,650 | 2,650 |
| Series Floaters ZF 28 25, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 1,400 | 1,400 |
| Series RBC 2016 ZM0131, 4.76% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 5,000 | 5,000 |
| Series XF 07 82, 4.18% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 6,070 | 6,070 |
| Series XF 28 61, 3.02% 4/7/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(c) | | 7,765 | 7,765 |
| Series XM 04 72, 4.65% 4/7/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 2,000 | 2,000 |
| Series XM 07 48, 4.45% 4/7/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(c) | | 4,050 | 4,050 |
| Series XX 1043, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 4,500 | 4,500 |
| Trenton Pub. Schools School District Participating VRDN Series Floaters CTFS G 102, 4.25% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 1,900 | 1,900 |
| Univ. of Michigan Rev. Participating VRDN: | | | |
| Series 15 XF2205, 3% 4/1/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 2,900 | 2,900 |
| Series Floaters XF 25 48, 3% 4/1/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 4,000 | 4,000 |
| Series Floaters ZF 05 90, 4.19% 4/7/20 (Liquidity Facility Toronto-Dominion Bank) (a)(b)(c) | | 2,565 | 2,565 |
| | | | 100,200 |
| Minnesota - 0.1% | | | |
| Minnesota State Gen. Fdg. Rev. Participating VRDN Series 15 ZF0175, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 3,335 | 3,335 |
| Moorhead ISD No. 152 Bonds Series Solar 00 02, 2.58%, tender 4/2/20 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(b)(c)(e) | | 3,120 | 3,120 |
| Pittsburg WTSW Participating VRDN Series Floaters ZF 03 20, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 1,750 | 1,750 |
| | | | 8,205 |
| Mississippi - 0.2% | | | |
| Mississippi Gen. Oblig. Participating VRDN: | | | |
| Series Floaters CTFS G 100, 3.34% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 3,350 | 3,350 |
| Series Floaters G67, 3.59% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 1,750 | 1,750 |
| Series ROC II R 14027, 3% 4/1/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 11,040 | 11,040 |
| | | | 16,140 |
| Missouri - 1.7% | | | |
| Deutsche Bank Spears/Lifers Trust Participating VRDN Series Floaters XF 10 15, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 15,805 | 15,805 |
| Mercy Health Participating VRDN Series Floaters XL 00 80, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 4,165 | 4,165 |
| Missouri Health & Edl. Facilities Auth. Edl. Facilities Rev. Participating VRDN: | | | |
| Series Floaters XF 06 75, 4.33% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 4,460 | 4,460 |
| Series Floaters XG 01 57, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 13,190 | 13,190 |
| Series XL 00 37, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 2,935 | 2,935 |
| Missouri Health & Edl. Facilities Auth. Rev. Participating VRDN Series Floaters C16, 4.76% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 19,500 | 19,500 |
| Missouri Health & Edl. Facilities Rev. Participating VRDN: | | | |
| Series Floaters XF 07 63, 4.37% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c) | | 2,830 | 2,830 |
| Series Floaters XG 01 84, 4.95% 4/7/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 1,500 | 1,500 |
| Missouri Health and Edl. Facilities Rev. Participating VRDN: | | | |
| Series Floaters 14, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 25,200 | 25,200 |
| Series Floaters 17 010, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 18,700 | 18,700 |
| Series Floaters C17, 4.2% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 5,200 | 5,200 |
| | | | 113,485 |
| Nebraska - 0.5% | | | |
| Douglas County School District #1 Participating VRDN: | | | |
| Series Solar 00 27, 3.8% 4/7/20 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(b)(c) | | 17,690 | 17,690 |
| Series Solar 0059, 3.34% 4/7/20 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(b)(c) | | 8,895 | 8,895 |
| Nebraska Invt. Fin. Auth. Single Family Hsg. Rev. Participating VRDN Series XF 26 71, 4.81% 4/7/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(c) | | 4,855 | 4,855 |
| | | | 31,440 |
| Nevada - 0.8% | | | |
| Clark County Fuel Tax Participating VRDN: | | | |
| Series Floaters XF 25 80, 2% 4/1/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(c) | | 10,825 | 10,825 |
| Series Floaters ZF 27 33, 4.81% 4/7/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(c) | | 17,070 | 17,070 |
| Series Floaters ZM 06 33, 4.76% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 4,095 | 4,095 |
| Series Floaters ZM 06 39, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 1,845 | 1,845 |
| Series Solar 0068, 3.19% 4/7/20 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(b)(c) | | 6,275 | 6,275 |
| Series XM 06 38, 4.74% 4/7/20 (Liquidity Facility Wells Fargo Bank NA) (a)(b)(c) | | 7,200 | 7,200 |
| Las Vegas Valley Wtr. District Wtr. Impt. Gen. Oblig. Participating VRDN Series 16 ZF0382, 4.12% 4/7/20 (Liquidity Facility Toronto-Dominion Bank) (a)(b)(c) | | 2,185 | 2,185 |
| | | | 49,495 |
| New Jersey - 1.1% | | | |
| New Jersey Econ. Dev. Auth. Participating VRDN Series XF 28 53, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c)(d) | | 5,470 | 5,470 |
| New Jersey Econ. Dev. Auth. Lease Rev. Participating VRDN Series Floaters XF 25 25, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 10,000 | 10,000 |
| New Jersey Econ. Dev. Auth. Rev. Participating VRDN: | | | |
| Series Floaters 011, 3.28% 5/12/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 4,910 | 4,910 |
| Series Floaters 012, 4.17% 5/12/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 12,800 | 12,800 |
| Series XG 02 60, 4.47% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c) | | 12,025 | 12,025 |
| Series XG 02 61, 3.08% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c) | | 6,500 | 6,500 |
| New Jersey Trans. Trust Fund Auth. Participating VRDN: | | | |
| Series Floaters XF 23 70, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 6,625 | 6,625 |
| Series Floaters XG 02 24, 5.03% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c) | | 2,435 | 2,435 |
| Series Floaters XG 02 29, 4.45% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c) | | 1,200 | 1,200 |
| Series Floaters XX 10 93, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 2,100 | 2,100 |
| Union County Impt. Auth. Participating VRDN Series XF 10 19, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 6,000 | 6,000 |
| | | | 70,065 |
| New York - 3.3% | | | |
| New York City Gen. Oblig. Participating VRDN: | | | |
| Series 15 ZF0198, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 3,690 | 3,690 |
| Series E 133, 4.76% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 3,125 | 3,125 |
| Series Floaters E86, 4.76% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 14,165 | 14,165 |
| Series Floaters E87, 4.76% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 5,000 | 5,000 |
| Series Floaters XF 06 40, 4.05% 4/7/20 (Liquidity Facility Toronto-Dominion Bank) (a)(b)(c) | | 6,800 | 6,800 |
| Series ROC II R 14045, 4.88% 4/7/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 26,070 | 26,070 |
| New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev. Participating VRDN: | | | |
| Series 15 XF0129, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 8,535 | 8,535 |
| Series Floaters E 129, 4.76% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 62,700 | 62,700 |
| Series Putters 15 XM0002, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 9,520 | 9,520 |
| New York City Transitional Fin. Auth. Rev. Participating VRDN: | | | |
| Series Floaters E99, 4.76% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 7,000 | 7,000 |
| Series Floaters XF 07 17, 4.78% 4/7/20 (Liquidity Facility Toronto-Dominion Bank) (a)(b)(c) | | 4,925 | 4,925 |
| Series MS 3360, 4.81% 4/7/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(c) | | 6,800 | 6,800 |
| Series ROC II R 11902, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 6,170 | 6,170 |
| Series ROC II R 14022, 3% 4/1/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 5,000 | 5,000 |
| New York Dorm. Auth. Personal Income Tax Rev. Participating VRDN: | | | |
| Series 15 XF1030, 4.1% 4/7/20 (Liquidity Facility Wells Fargo Bank NA) (a)(b)(c) | | 4,700 | 4,700 |
| Series ROC II R 14005, 3% 4/1/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 14,030 | 14,030 |
| New York Dorm. Auth. Revs. Participating VRDN Series Floaters XM 03 67, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 9,000 | 9,000 |
| New York Metropolitan Trans. Auth. Rev. Participating VRDN Series RBC E 126, 5% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 14,520 | 14,520 |
| New York Sales Tax Asset Receivables Corp. Participating VRDN Series 2015 ZF0209, 4.54% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 5,250 | 5,250 |
| New York Thruway Auth. Second Gen. Hwy. & Bridge Trust Fund Participating VRDN Series ROC II R 11997, 3% 4/1/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 2,000 | 2,000 |
| | | | 219,000 |
| New York And New Jersey - 0.1% | | | |
| Port Auth. of New York & New Jersey Participating VRDN Series Floaters XF 06 97, 5.02% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c) | | 5,835 | 5,835 |
| North Carolina - 1.0% | | | |
| Charlotte Gen. Oblig. Participating VRDN Series Floaters XL 00 47, 4.684% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c) | | 1,000 | 1,000 |
| Charlotte Int'l. Arpt. Rev. Participating VRDN: | | | |
| Series Floaters XG 02 07, 4.33% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c) | | 3,500 | 3,500 |
| Series Floaters ZM 05 34, 3.98% 4/7/20 (Liquidity Facility Wells Fargo Bank NA) (a)(b)(c) | | 7,500 | 7,500 |
| Charlotte Wtr. & Swr. Sys. Rev. Participating VRDN Series Floaters XG 01 70, 4.76% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 3,000 | 3,000 |
| Greensboro Combined Enterprise Sys. Rev. Participating VRDN Series Solar 0045, 4.76% 4/7/20 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(b)(c) | | 4,805 | 4,805 |
| North Carolina Cap. Facilities Fin. Agcy. Rev. Participating VRDN Series MS 15 ZM0105, 2% 4/1/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(c) | | 2,185 | 2,185 |
| North Carolina Cap. Facilities Fin. Agcy. Rev. Bonds Participating VRDN Series Floaters ZM 00 98, 2% 4/1/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(c) | | 3,335 | 3,335 |
| North Carolina Gen. Oblig. Bonds Series 008, 2.43%, tender 4/2/20 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(b)(c) | | 4,395 | 4,395 |
| North Carolina Hsg. Fin. Agcy. Participating VRDN Series Floaters YX 10 52, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 7,060 | 7,060 |
| North Carolina Hsg. Fin. Agcy. Home Ownership Rev. Participating VRDN Series Floaters ZM 05 63, 4.76% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 4,030 | 4,030 |
| North Carolina Med. Care Commission Participating VRDN Series XM 02 98, 4.76% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 4,765 | 4,765 |
| North Carolina Med. Care Commission Health Care Facilities Rev. Participating VRDN: | | | |
| Series Floaters XF 07 92, 4.54% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 3,750 | 3,750 |
| Series Floaters XM 04 44, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 8,100 | 8,100 |
| Series XF 08 85, 2.39% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c) | | 5,980 | 5,980 |
| | | | 63,405 |
| North Dakota - 0.0% | | | |
| North Dakota Hsg. Fin. Agcy. Rev. Participating VRDN Series RBC E58, 4.76% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 3,000 | 3,000 |
| Ohio - 1.8% | | | |
| Allen County Hosp. Facilities Rev. Participating VRDN Series Floaters E 134, 4.76% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 23,500 | 23,500 |
| Berea Ohio City School District Participating VRDN Series RBC G 54, 4.13% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 2,400 | 2,400 |
| Cleveland Wtr. Rev. Participating VRDN Series Floaters E 119, 4.76% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 3,700 | 3,700 |
| Cuyahoga County Ctfs. of Prtn. Participating VRDN Series Floaters XG 02 06, 5.12% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c) | | 955 | 955 |
| Eclipse Fdg. Trust Various States Bonds Series 0005, 2.61%, tender 4/2/20 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(b)(c) | | 10,760 | 10,760 |
| Elyria City School District Participating VRDN Series Floaters G 107, 4.1% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 4,985 | 4,985 |
| Erie County Hosp. Facilities Rev. Participating VRDN Series BAML 5019, 4.78% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c) | | 15,935 | 15,935 |
| Hamilton County HealthCare Facilities Rev. Participating VRDN Series XF 10 50, 4.5% 4/7/20 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(b)(c) | | 400 | 400 |
| Middletown Hosp. Facilities Rev. Participating VRDN Series Floaters 00 31 44, 5% 5/12/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 2,175 | 2,175 |
| Montgomery County Hosp. Rev. Participating VRDN: | | | |
| Series Floaters E 131, 4.76% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c)(d) | | 7,740 | 7,740 |
| Series Floaters E 132, 4.76% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 21,000 | 21,000 |
| Northeast Ohio Reg'l. Swr. District Wastewtr. Rev. Participating VRDN: | | | |
| Series Floaters ZF 05 85, 4.68% 4/7/20 (Liquidity Facility Toronto-Dominion Bank) (a)(b)(c) | | 3,170 | 3,170 |
| Series Floaters ZF 06 70, 5.03% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c) | | 2,000 | 2,000 |
| Ohio Hosp. Rev. Participating VRDN Series 002, 5% 5/12/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 4,400 | 4,400 |
| Ohio Hsg. Fin. Agcy. Residential Mtg. Rev. Participating VRDN: | | | |
| Series Floaters XF 27 11, 4.81% 4/7/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(c) | | 6,975 | 6,975 |
| Series Floaters XF 27 83, 4.81% 4/7/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(c) | | 2,730 | 2,730 |
| Ohio Univ. Gen. Receipts Athens Bonds Series Floaters G 27, 3.87%, tender 6/1/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c)(e) | | 900 | 900 |
| OhioHealth Corp. Participating VRDN Series Floaters XM 04 51, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 1,500 | 1,500 |
| Univ. of Cincinnati Gen. Receipts Participating VRDN Series Floaters ZM 06 46, 4.74% 4/7/20 (Liquidity Facility Wells Fargo Bank NA) (a)(b)(c) | | 1,900 | 1,900 |
| | | | 117,125 |
| Oklahoma - 0.4% | | | |
| Edmond Pub. Works Auth. Sales Tax & Util. Sys. Rev. Participating VRDN Series Floaters XM 05 59, 3.1% 4/1/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 3,965 | 3,965 |
| Norman Reg'l. Hosp. Auth. Hosp. Rev. Participating VRDN Series XG 02 64, 3.96% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c)(d) | | 2,065 | 2,065 |
| Oklahoma Dev. Fin. Auth. Health Sys. Rev. Participating VRDN: | | | |
| Series Floaters XG 02 10, 4% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c) | | 3,015 | 3,015 |
| Series Floaters XX 10 96, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 18,935 | 18,935 |
| | | | 27,980 |
| Oregon - 0.5% | | | |
| Clackamas County School District #7J Participating VRDN Series Solar 0053, 4.76% 4/7/20 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(b)(c) | | 11,055 | 11,055 |
| Oregon Facilities Auth. Rev. Participating VRDN Series DB 15 XF1049, 4.19% 4/7/20 (Liquidity Facility Wells Fargo Bank NA) (a)(b)(c) | | 3,470 | 3,470 |
| Oregon Gen. Oblig. Participating VRDN Series ROC II R 11949, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 2,450 | 2,450 |
| Oregon State Dept. of Administrative Svcs. Lottery Rev. Participating VRDN Series ROC II R 14051, 3% 4/1/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 8,000 | 8,000 |
| Portland Wtr. Sys. Rev. Participating VRDN Series 2016 24, 3.8% 4/7/20 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(b)(c) | | 870 | 870 |
| Salem Hosp. Facility Auth. Rev. Participating VRDN Series XM 08 13, 2.88% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 3,375 | 3,375 |
| State of Oregon Participating VRDN Series Floaters G 91, 3.56% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 3,950 | 3,950 |
| Tigard-Tualatin School District No. 23J Participating VRDN Series Floaters G69, 3.89% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 2,800 | 2,800 |
| | | | 35,970 |
| Pennsylvania - 1.3% | | | |
| Allegheny County Participating VRDN Series Floaters XM 06 63, 4.88% 4/7/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(c) | | 1,800 | 1,800 |
| Allegheny County Hosp. Dev. Auth. Rev. Bonds Series Floaters E72, 4.88%, tender 6/1/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c)(e) | | 11,600 | 11,600 |
| Allegheny County Sanitation Auth. Swr. Rev. Participating VRDN Series Floaters XM 00 82, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 1,000 | 1,000 |
| Geisinger Auth. Health Sys. Rev. Participating VRDN: | | | |
| Series 15 ZF0174, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 1,000 | 1,000 |
| 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 6,285 | 6,285 |
| Lehigh County Gen. Purp. Hosp. Rev. Participating VRDN: | | | |
| Series Floaters 2019 003, 5% 5/12/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 5,020 | 5,020 |
| Series ZF 08 33, 4.55% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c) | | 5,000 | 5,000 |
| Montgomery County Higher Ed. & Health Auth. Rev. Participating VRDN Series Floaters ZF 07 95, 5.05% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c) | | 465 | 465 |
| Pennsylvania Gen. Oblig. Participating VRDN: | | | |
| Series Floaters XF 24 54, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 5,630 | 5,630 |
| Series Floaters ZF 06 71, 5.03% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c) | | 1,330 | 1,330 |
| Series Floaters ZM 06 50, 5.03% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c) | | 2,000 | 2,000 |
| Pennsylvania Tpk. Commission Tpk. Rev. Participating VRDN: | | | |
| Series DBE 8032, 3.54% 4/7/20 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(b)(c) | | 900 | 900 |
| Series Floaters E 101, 4.76% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 30,500 | 30,500 |
| Philadelphia Auth. for Indl. Dev. Participating VRDN Series XG 02 53, 4.07% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c) | | 2,100 | 2,100 |
| Philadelphia Wtr. & Wastewtr. Rev. Participating VRDN: | | | |
| Series 2017, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 3,760 | 3,760 |
| Series Floaters XF 07 19, 4.76% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 2,000 | 2,000 |
| Westmoreland County Muni. Auth. Muni. Svc. Rev. Participating VRDN Series Floaters YX 10 75, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 5,595 | 5,595 |
| | | | 85,985 |
| Rhode Island - 0.1% | | | |
| Rhode Island Health and Edl. Bldg. Corp. Higher Ed. Facility Rev. Participating VRDN Series Floaters XM 07 21, 4.74% 4/7/20 (Liquidity Facility Wells Fargo Bank NA) (a)(b)(c) | | 5,550 | 5,550 |
| South Carolina - 2.2% | | | |
| Columbia Wtrwks. & Swr. Rev. Participating VRDN Series 2016 21, 4.76% 4/7/20 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(b)(c) | | 980 | 980 |
| Lancaster County School District Participating VRDN: | | | |
| Series Solar 17 21, 4.76% 4/7/20 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(b)(c) | | 4,150 | 4,150 |
| Series XF 25 28, 4.76% 4/7/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(c) | | 9,415 | 9,415 |
| Lexington County School District #1: | | | |
| Bonds Series Solar 13, 2.64%, tender 4/2/20 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(b)(c) | | 23,585 | 23,585 |
| Participating VRDN Series Solar 0058, 3.18% 4/7/20 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(b)(c) | | 2,550 | 2,550 |
| South Carolina Jobs-Econ. Dev. Auth. Participating VRDN: | | | |
| Series 2018 Floaters XL 00 79, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 4,800 | 4,800 |
| Series Floaters BAML 50 04, 3.38% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c) | | 8,030 | 8,030 |
| Series Floaters XF 07 43, 5.05% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c) | | 6,950 | 6,950 |
| South Carolina Pub. Svc. Auth. Rev. Participating VRDN: | | | |
| Series 2017 XF 2425, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 28,715 | 28,715 |
| Series Floaters XG 01 49, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 27,505 | 27,505 |
| Series Floaters XG 02 20, 4.76% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 4,960 | 4,960 |
| South Carolina Trans. Infrastructure Bank Rev.: | | | |
| Bonds Series Floaters G 109, 3.35%, tender 10/1/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c)(e) | | 1,100 | 1,100 |
| Participating VRDN Series Floaters XM 06 91, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 23,780 | 23,780 |
| | | | 146,520 |
| Tennessee - 0.6% | | | |
| Greeneville Health & Edl. Facilities Board Participating VRDN: | | | |
| Series Floaters XF 25 76, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 13,190 | 13,190 |
| Series Floaters XG 01 94, 4.75% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 5,535 | 5,535 |
| Nashville and Davidson County Metropolitan Govt. Health & Edl. Facilities Board Rev. Participating VRDN: | | | |
| Series Floaters XG 01 45, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 9,470 | 9,470 |
| Series Floaters XL 00 62, 4.57% 4/7/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 1,100 | 1,100 |
| Rutherford County Health & Edl. Facilities Board Rev. Participating VRDN Series 2014 ZF0208, 4.81% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 2,500 | 2,500 |
| Tennessee Gen. Oblig. Participating VRDN Series XF 08 04, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 1,690 | 1,690 |
| Vanderbilt Hosp. Participating VRDN 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 8,500 | 8,500 |
| | | | 41,985 |
| Texas - 5.7% | | | |
| Alamo Cmnty. College District Rev. Bonds Series G-111, 3.29%, tender 11/2/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c)(e) | | 1,000 | 1,000 |
| Aldine Independent School District Participating VRDN Series Floaters XL 00 87, 4.74% 4/7/20 (Liquidity Facility Wells Fargo Bank NA) (a)(b)(c) | | 6,600 | 6,600 |
| Bexar County Gen. Oblig. Participating VRDN Series Floaters G12, 3.28% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 4,250 | 4,250 |
| Brazos County Health Facilities Dev. Corp. Participating VRDN Series BAML 50 21, 4.88% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c) | | 3,415 | 3,415 |
| City of Dallas Wtrwks. & Swr. Sys. Rev. Participating VRDN Series XM 02 88, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 5,000 | 5,000 |
| Dallas County Util. and Reclamation District Participating VRDN Series Floaters CTFS G 99, 3.22% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 2,375 | 2,375 |
| Dallas Wtrwks. & Swr. Sys. Rev. Participating VRDN Series XF 27 28, 4.68% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 7,640 | 7,640 |
| El Paso Gen. Oblig. Participating VRDN Series RBC G 59, 3.88% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 2,500 | 2,500 |
| Galena Park Independent School District Bonds Series 00 15, 2.65%, tender 4/2/20 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(b)(c) | | 5,095 | 5,095 |
| Harris County Gen. Oblig. Bonds Series Clipper 09 73, 4.38%, tender 8/20/20 (Liquidity Facility State Street Bank & Trust Co., Boston) (a)(b)(c)(e) | | 39,700 | 39,700 |
| Harris County Health Facilities Dev. Corp. Rev. Participating VRDN Series 16 ZF 03 12, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 9,870 | 9,870 |
| Harris County Metropolitan Trans. Auth. Participating VRDN Series 16 ZM0164, 4.76% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 9,500 | 9,500 |
| Houston Cmnty. College Sys. Rev. Participating VRDN Series Floaters ZF 06 19, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 6,665 | 6,665 |
| Houston Gen. Oblig. Participating VRDN Series Floater 2018 G21, 3.27% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 6,100 | 6,100 |
| Houston Higher Ed. Fin. Corp. Higher Ed. Rev. Participating VRDN Series ROC II R 11860, 3% 4/1/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 6,000 | 6,000 |
| Houston Util. Sys. Rev. Participating VRDN Series 16 XM 0235, 5% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c) | | 2,405 | 2,405 |
| Humble Independent School District Participating VRDN Series Floaters XF 26 63, 3% 4/1/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 6,600 | 6,600 |
| Hutto Independent School District Participating VRDN Series Floaters G 76, 4.01% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 6,655 | 6,655 |
| Klein Independent School District Participating VRDN Series ROCS II R 11942, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 4,200 | 4,200 |
| Lamar Consolidated Independent School District Participating VRDN Series Floaters G 18, 3.35% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 9,200 | 9,200 |
| Leander Independent School District Participating VRDN Series Floaters G34, 3.26% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 2,000 | 2,000 |
| Lower Colorado River Auth. Rev. Participating VRDN Series E 139, 4.76% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 45,125 | 45,125 |
| Midlothian Independent School District Participating VRDN Series Floaters ZM 06 02, 3% 4/1/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 3,900 | 3,900 |
| New Hope Cultural Ed. Facilities Fin. Corp. Participating VRDN: | | | |
| Series Floaters XF 05 99, 4.24% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 12,040 | 12,040 |
| Series Floaters XF 07 10, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 3,985 | 3,985 |
| North Ft. Bend Wtr. Auth. Participating VRDN Series XF 08 16, 3.77% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 4,225 | 4,225 |
| North Texas Tollway Auth. Rev. Bonds Series G-112, 3.26%, tender 7/1/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c)(e) | | 2,930 | 2,930 |
| Northwest Independent School District Participating VRDN Series Floaters G 94, 3.66% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 4,750 | 4,750 |
| Pflugerville Independent School District Participating VRDN Series 2017, 4.19% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 2,500 | 2,500 |
| Princeton Independent School District Participating VRDN Series Floaters G14, 3.34% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 5,000 | 5,000 |
| San Antonio Elec. & Gas Sys. Rev. Participating VRDN Series Floaters XM 03 77, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 26,625 | 26,625 |
| San Antonio Gen. Oblig. Participating VRDN Series Floaters ZF 25 71, 4.81% 4/7/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(c) | | 5,500 | 5,500 |
| San Antonio Pub. Facilities Corp. and Rfdg. Lease Participating VRDN Series Floaters XF 06 41, 4.29% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 3,750 | 3,750 |
| San Antonio Pub. Facilities Corp. Lease Rev. Participating VRDN Series 16 ZF 0456, 5.03% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c) | | 7,465 | 7,465 |
| San Antonio Wtr. Sys. Rev. Participating VRDN Series Floaters ZF 28 14, 5% 4/7/20 (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, 4.74% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 6,180 | 6,180 |
| Tarrant County Cultural Ed. Facilities Fin. Corp. Hosp. Rev. Participating VRDN: | | | |
| Series 16 XF0411, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 2,000 | 2,000 |
| Series 16 ZF 0282, 4.64% 4/7/20 (Liquidity Facility Toronto-Dominion Bank) (a)(b)(c) | | 7,760 | 7,760 |
| Series E 141, 4.76% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 22,120 | 22,120 |
| Series Floaters XF 27 38, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 7,700 | 7,700 |
| Series XG 02 78, 2.79% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c) | | 820 | 820 |
| Tarrant County Cultural Ed. Facilities Fin. Corp. Rev. Participating VRDN: | | | |
| Series Floaters XM 04 02, 4.81% 4/7/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(c) | | 5,000 | 5,000 |
| Series Floaters XM 06 98, 4.75% 4/7/20 (Liquidity Facility Cr. Suisse AG) (a)(b)(c) | | 2,785 | 2,785 |
| Texas Gen. Oblig. Participating VRDN Series MS 3390, 3.73% 4/7/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(c) | | 4,000 | 4,000 |
| Texas State Univ. Sys. Fing. Rev. Participating VRDN Series Floaters XF 06 61, 4.28% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 3,750 | 3,750 |
| Texas Wtr. Dev. Board Rev. Participating VRDN: | | | |
| Series Floaters XF 07 13, 4.44% 4/7/20 (Liquidity Facility Toronto-Dominion Bank) (a)(b)(c) | | 4,400 | 4,400 |
| Series Floaters XF 25 57, 3% 4/1/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 6,720 | 6,720 |
| Series Floaters XF 27 30, 4.67% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 5,200 | 5,200 |
| Series Floaters XG 02 11, 4.55% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c) | | 10,000 | 10,000 |
| Series Floaters ZM 05 87, 3% 4/1/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 3,750 | 3,750 |
| Wells Fargo Stage Trs Var States Participating VRDN Series Floaters XF 23 21, 4.74% 4/7/20 (Liquidity Facility Wells Fargo Bank NA) (a)(b)(c) | | 2,400 | 2,400 |
| Whitehouse Independent School District Participating VRDN Series Floaters G10, 3.88% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 2,700 | 2,700 |
| Williamson County Gen. Oblig. Participating VRDN Series Floaters G70, 3.68% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 4,000 | 4,000 |
| | | | 377,605 |
| Utah - 0.2% | | | |
| Intermountain Pwr. Agcy. Pwr. Supply Rev. Participating VRDN Series E 142, 4.76% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 2,280 | 2,280 |
| Utah County Hosp. Rev. Participating VRDN: | | | |
| Series Floaters XF 26 28, 2% 4/1/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(c) | | 4,300 | 4,300 |
| Series Floaters XG 01 71, 4.2% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 3,050 | 3,050 |
| Series Floaters XM 07 32, 4.74% 4/7/20 (Liquidity Facility Wells Fargo Bank NA) (a)(b)(c) | | 1,920 | 1,920 |
| | | | 11,550 |
| Vermont - 0.0% | | | |
| Vermont Edl. and Health Buildings Fing. Agcy. Participating VRDN Series XF 23 61, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 2,550 | 2,550 |
| Virginia - 1.8% | | | |
| Fairfax County Indl. Dev. Auth. Participating VRDN: | | | |
| Series 15 ZF0166, 4.2% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 7,500 | 7,500 |
| Series Floaters XG 01 91, 4.36% 4/7/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(c) | | 16,400 | 16,400 |
| Series MS 3309, 3.57% 4/7/20 (Liquidity Facility Cr. Suisse AG) (a)(b)(c) | | 2,300 | 2,300 |
| Hampton Roads Sanitation District Wastewtr. Rev. Participating VRDN Series Solar 0064, 3.35% 4/7/20 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(b)(c) | | 4,900 | 4,900 |
| Loudoun County Gen. Oblig. Participating VRDN Series Solar 2017 38, 4.76% 4/7/20 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(b)(c) | | 700 | 700 |
| Lynchburg Econ. Dev. Participating VRDN Series Floaters XG 01 47, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 1,040 | 1,040 |
| Suffolk Econ. Dev. Auth. Hosp. Facilities Rev. Participating VRDN Series EGL 17 0005, 5.21% 4/7/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 54,935 | 54,935 |
| Univ. of Virginia Gen. Rev. Participating VRDN: | | | |
| Series 15 ZF0173, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 5,000 | 5,000 |
| Series Floaters XF 06 26, 4.41% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 5,625 | 5,625 |
| Series Solar 17 17, 4.76% 4/7/20 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(b)(c) | | 1,860 | 1,860 |
| Virginia Commonwealth Trans. Board Rev. Participating VRDN Series Floaters XF 06 59, 4.52% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 3,400 | 3,400 |
| Virginia Pub. Bldg. Auth. Pub. Facilities Rev. Bonds Series Floaters G 40, 3.14%, tender 8/3/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c)(e) | | 1,800 | 1,800 |
| Virginia Small Bus. Fing. Auth. Health Care Facilities Rev. Participating VRDN: | | | |
| Series Floaters XM 04 48, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 7,500 | 7,500 |
| 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 7,815 | 7,815 |
| | | | 120,775 |
| Washington - 3.3% | | | |
| Central Puget Sound Reg'l. Trans. Auth. Sales & Use Tax Rev. Participating VRDN: | | | |
| Series 15 XF2158, 3% 4/1/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 8,655 | 8,655 |
| Series Floaters XF 05 33, 4.22% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 2,250 | 2,250 |
| Series Floaters XF 23 97, 3% 4/1/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 5,335 | 5,335 |
| Central Puget Sound Reg'l. Trans. Auth. Sales Tax & Motor Vehicle Excise Tax Rev. Participating VRDN Series ZF 09 02, 4.1% 4/7/20 (Liquidity Facility Toronto-Dominion Bank) (a)(b)(c) | | 5,100 | 5,100 |
| Centralia School District No. 401 Participating VRDN Series Floaters G74, 4.24% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 4,500 | 4,500 |
| CommonSpirit Health Participating VRDN Series XF 1017, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 22,200 | 22,200 |
| King & Snohomish Counties School District #417 Northshore Participating VRDN Series Floaters G 83, 3.47% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 4,135 | 4,135 |
| King County Pub. Hosp. District #2 Participating VRDN Series Floaters G 79, 3.67% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 1,955 | 1,955 |
| King County Shoreline School District # 412 Gen. Oblig. Participating VRDN Series Floaters XF 27 29, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 8,000 | 8,000 |
| King County Swr. Rev. Participating VRDN: | | | |
| Series EGL 14 0047, 5.21% 4/7/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 36,085 | 36,085 |
| Series Putters 15 XM0012, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 8,105 | 8,105 |
| Series ROC II R 11962, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 1,775 | 1,775 |
| Pierce County School District #10 Tacoma Participating VRDN Series 15 XF2166, 3% 4/1/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 5,350 | 5,350 |
| Port of Seattle Gen. Oblig. Participating VRDN Series 2017 ZF 2411, 3% 4/1/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 7,500 | 7,500 |
| Seattle Muni. Lt. & Pwr. Rev. Participating VRDN: | | | |
| Series Floaters FG 02 26, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 8,555 | 8,555 |
| Series Floaters XF 06 64, 4.48% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 5,165 | 5,165 |
| Washington Convention Ctr. Pub. Facilities Participating VRDN: | | | |
| Series Floaters XM 06 80, 5% 4/7/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 8,800 | 8,800 |
| Series Floaters XM 06 81, 5% 4/7/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 11,970 | 11,970 |
| Washington Gen. Oblig. Participating VRDN: | | | |
| Series 15 ZM0121, 4.76% 4/7/20 (Liquidity Facility Royal Bank of Canada) (a)(b)(c) | | 5,000 | 5,000 |
| Series Floaters XF 25 39, 3.25% 4/1/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 8,000 | 8,000 |
| Series Floaters XM 06 94, 5% 4/7/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 4,985 | 4,985 |
| Series MS 33 864X, 4.81% 4/7/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(c) | | 1,700 | 1,700 |
| Series ROC II R 14074, 3% 4/1/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 3,900 | 3,900 |
| Series XF 0294, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 6,000 | 6,000 |
| 4.18% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 2,250 | 2,250 |
| Washington Health Care Facilities Auth. Rev. Participating VRDN: | | | |
| Series 15 XF0132, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 9,205 | 9,205 |
| Series 15 XF0148, 4.48% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c) | | 6,465 | 6,465 |
| Series 2015 XF0150, 4.34% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c) | | 3,655 | 3,655 |
| Series Floaters XF 25 27, 4.66% 4/7/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 2,875 | 2,875 |
| Series XX 11 06, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 4,300 | 4,300 |
| Washington Higher Ed. Facilities Auth. Rev. Participating VRDN Series XG 02 74, 3.24% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c) | | 2,100 | 2,100 |
| Washington State Motor Vehicle Fuel Tax Auth. Gen. Oblig. Participating VRDN Series XL 00 39, 4.75% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 2,530 | 2,530 |
| | | | 218,400 |
| Wisconsin - 1.0% | | | |
| Agnesian Healthcare Participating VRDN Series Floaters XF 24 83, 5% 4/7/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(c) | | 4,215 | 4,215 |
| Wisconsin Gen. Oblig. Participating VRDN Series Clipper 09 36, 3.82% 5/1/20 (Liquidity Facility State Street Bank & Trust Co., Boston) (a)(b)(c)(e) | | 4,955 | 4,955 |
| Wisconsin Health & Edl. Facilities Participating VRDN: | | | |
| Series Floaters XF 07 41, 4.76% 4/7/20 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(c) | | 4,100 | 4,100 |
| Series Floaters XF 24 18, 5.25% 4/7/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 5,000 | 5,000 |
| Series Floaters XF 25 41, 5% 4/7/20 (Liquidity Facility Citibank NA) (a)(b)(c) | | 6,600 | 6,600 |
| Series Floaters XG 02 40, 3.62% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c) | | 1,870 | 1,870 |
| Series Floaters ZF 26 36, 4.81% 4/7/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(c) | | 4,800 | 4,800 |
| Series XF 22 24, 3.73% 4/7/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(c) | | 9,000 | 9,000 |
| Series XM 04 79, 2% 4/1/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(c) | | 9,000 | 9,000 |
| Series ZF 08 77, 5.05% 4/7/20 (Liquidity Facility Bank of America NA) (a)(b)(c) | | 940 | 940 |
| Wisconsin Health & Edl. Facilities Auth. Rev. Participating VRDN Series Floaters 3184, 4.28% 4/7/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(c) | | 6,444 | 6,444 |
| Wisconsin Hsg. & Econ. Dev. Auth. Participating VRDN Series Floaters YX 26 90, 4.81% 4/7/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(c) | | 6,955 | 6,955 |
| | | | 63,879 |
| TOTAL TENDER OPTION BOND | | | |
| (Cost $3,281,667) | | | 3,281,667 |
|
| Other Municipal Security - 19.5% | | | |
| Alabama - 0.5% | | | |
| Huntsville Health Care Auth. Rev. Series 2020: | | | |
| 1.03% 5/21/20, CP | | 22,500 | 22,500 |
| 1.08% 5/7/20, CP | | 9,400 | 9,400 |
| | | | 31,900 |
| Arizona - 0.1% | | | |
| Salt River Proj. Agricultural Impt. & Pwr. District Elec. Sys. Rev. Series C, 0.91% 6/2/20, CP | | 9,000 | 9,000 |
| California - 0.4% | | | |
| California Gen. Oblig. Bonds Series 2020, 2% 3/1/21 | | 15,245 | 15,435 |
| California Statewide Cmntys. Dev. Auth. Gas Supply Rev. Bonds: | | | |
| Series 2010 A, SIFMA Municipal Swap Index + 0.100% 4.81%, tender 7/1/20 (Liquidity Facility Royal Bank of Canada) (a)(f) | | 5,540 | 5,540 |
| Series 2010 B, SIFMA Municipal Swap Index + 0.100% 4.81%, tender 7/1/20 (Liquidity Facility Royal Bank of Canada) (a)(f) | | 2,410 | 2,410 |
| | | | 23,385 |
| Colorado - 0.6% | | | |
| Colorado Ed. Ln. Prog. TRAN: | | | |
| Series 2019 A, 3% 6/29/20 | | 1,775 | 1,783 |
| Series 2019 B: | | | |
| 1.5% 6/29/20 | | 6,700 | 6,713 |
| 5% 6/29/20 | | 3,100 | 3,129 |
| 1.75% 6/29/20 | | 19,470 | 19,515 |
| Colorado Gen. Fdg. Rev. TRAN Series 2019: | | | |
| 3% 6/26/20 | | 1,700 | 1,709 |
| 5% 6/26/20 | | 9,535 | 9,612 |
| | | | 42,461 |
| Connecticut - 0.6% | | | |
| Bethel Gen. Oblig. BAN Series 2020, 2% 7/24/20 | | 11,300 | 11,329 |
| Brookfield Gen. Oblig. BAN Series 2019, 2.25% 11/13/20 | | 1,135 | 1,142 |
| Connecticut Gen. Oblig. Bonds: | | | |
| Series 2012 A, 5.96% 4/15/20 (a)(f) | | 2,200 | 2,201 |
| Series 2012 C, 5% 6/1/20 | | 2,790 | 2,807 |
| Series 2017 A, 5% 4/15/20 | | 2,775 | 2,779 |
| Connecticut Health & Edl. Facilities Auth. Rev. Bonds: | | | |
| Series 2010 A, 1.8%, tender 2/9/21 (a) | | 2,100 | 2,122 |
| Series 2017 B, 5%, tender 7/1/20 (a) | | 5,200 | 5,254 |
| Connecticut Spl. Tax Oblig. Trans. Infrastructure Rev. Bonds Series 2016 A, 5% 9/1/20 | | 2,740 | 2,789 |
| Greenwich Gen. Oblig. BAN Series 2020, 1.5% 1/14/21 | | 5,100 | 5,106 |
| Hbr. Point Infrastructure Impt. District Bonds Series 2010 A, 7.875% 4/1/20 (Pre-Refunded to 4/1/20 @ 100) | | 905 | 905 |
| Town of Somers BAN Series 2019, 2% 10/15/20 | | 1,700 | 1,706 |
| | | | 38,140 |
| Florida - 1.4% | | | |
| Jacksonville Gen. Oblig. Series A, 1.02% 4/8/20, LOC Bank of America NA, CP | | 14,450 | 14,450 |
| Miami-Dade County Aviation Rev. Bonds Series 2010 A1, 5.5% 10/1/20 (Pre-Refunded to 10/1/20 @ 100) | | 1,585 | 1,623 |
| Orlando & Orange County Expressway Auth. Rev. Bonds Series 2010 C, 5% 7/1/20 (Pre-Refunded to 7/1/20 @ 100) | | 3,255 | 3,287 |
| Palm Beach County School District TAN Series 2019, 2.25% 8/28/20 | | 45,700 | 45,875 |
| Pinellas County School District TAN Series 2019, 2.25% 6/30/20 | | 16,400 | 16,440 |
| Polk County Indl. Dev. Auth. Health Sys. Rev. Bonds: | | | |
| Series 2014 A, SIFMA Municipal Swap Index + 0.300% 5.01%, tender 10/27/20 (a)(f) | | 1,000 | 1,000 |
| Series 2014 A1, SIFMA Municipal Swap Index + 0.250% 4.96%, tender 10/27/20 (a)(f) | | 3,800 | 3,800 |
| Tampa Health Sys. Rev. Bonds Series 2012 B, SIFMA Municipal Swap Index + 0.300% 5.01%, tender 10/27/20 (a)(f) | | 5,300 | 5,300 |
| | | | 91,775 |
| Georgia - 0.5% | | | |
| Main Street Natural Gas, Inc. Georgia Gas Proj. Rev. Bonds: | | | |
| Series 2010 A1, SIFMA Municipal Swap Index + 0.100% 4.81%, tender 6/1/20 (Liquidity Facility Royal Bank of Canada) (a)(f) | | 19,150 | 19,150 |
| Series 2010 A2, SIFMA Municipal Swap Index + 0.100% 4.81%, tender 6/1/20 (Liquidity Facility Royal Bank of Canada) (a)(f) | | 10,855 | 10,855 |
| | | | 30,005 |
| Illinois - 0.9% | | | |
| Chicago O'Hare Int'l. Arpt. Rev. Bonds Series 2011 A, 5.75% 1/1/21 (Pre-Refunded to 1/1/21 @ 100) | | 2,200 | 2,279 |
| Illinois Fin. Auth. Rev. Bonds: | | | |
| (Advocate Health Care Network Proj.) Series 2011 B, SIFMA Municipal Swap Index + 0.300% 5.01%, tender 10/27/20 (a)(f) | | 600 | 600 |
| Series 2020: | | | |
| 1.06% tender 6/17/20, CP mode | | 9,600 | 9,600 |
| 1.08% tender 7/9/20, CP mode | | 25,700 | 25,700 |
| Series H, 1.18% tender 6/4/20, CP mode | | 23,185 | 23,185 |
| | | | 61,364 |
| Kansas - 0.2% | | | |
| Wichita Gen. Oblig. BAN Series 2020, 2.25% 10/15/20 (g) | | 11,875 | 11,919 |
| Kentucky - 1.6% | | | |
| Jefferson County Poll. Cont. Rev. Bonds Series 2001 A, 1.2% tender 4/2/20, CP mode | | 6,500 | 6,500 |
| Kentucky Asset/Liability Commission Gen. Fund Rev. TRAN Series 2019 A, 3% 6/25/20 | | 85,300 | 85,613 |
| Kentucky Econ. Dev. Fin. Auth. Hosp. Rev. Bonds: | | | |
| Series 2010 A, 6.5% 6/1/20 (Pre-Refunded to 6/1/20 @ 100) | | 11,750 | 11,859 |
| Series 2012 A, 6.375% 6/1/20 (Pre-Refunded to 6/1/20 @ 100) | | 2,700 | 2,725 |
| Kentucky State Property & Buildings Commission Rev. Bonds (Kentucky St Proj.) Series D, 5% 5/1/20 | | 1,300 | 1,304 |
| | | | 108,001 |
| Louisiana - 0.2% | | | |
| Louisiana Local Govt. Envir. Facilities Bonds: | | | |
| (LCTCS Facilities Corp. Proj.) Series 2010, 5% 10/1/20 (Pre-Refunded to 10/1/20 @ 100) | | 2,615 | 2,669 |
| (Woman's Hosp. Foundation Proj.) Series 2010 A, 6% 10/1/20 (Pre-Refunded to 10/1/20 @ 100) | | 8,465 | 8,683 |
| | | | 11,352 |
| Maryland - 0.1% | | | |
| Maryland Econ. Dev. Auth. Rev. Bonds: | | | |
| (Term. Proj.) Series B, 5.75% 6/1/20 (Pre-Refunded to 6/1/20 @ 100) | | 1,575 | 1,587 |
| (Trans. Facilities Proj.) Series A, 5.75% 6/1/20 (Pre-Refunded to 6/1/20 @ 100) | | 1,500 | 1,511 |
| | | | 3,098 |
| Massachusetts - 1.4% | | | |
| Massachusetts Health & Edl. Facilities Auth. Rev. Series EE: | | | |
| 0.97% 4/3/20, CP | | 3,000 | 3,000 |
| 1.06% 7/16/20, CP | | 23,500 | 23,500 |
| Massachusetts Indl. Fin. Agcy. Poll. Cont. Rev. Bonds: | | | |
| Series 1992, 1.1% tender 4/14/20, CP mode | | 190 | 190 |
| Series 2020, 1.17% tender 4/9/20, CP mode | | 20,200 | 20,200 |
| Massachusetts Wtr. Resources Auth. Wtr. & Swr. Rev. Series 1999, 1.14% 8/13/20, LOC State Street Bank & Trust Co., Boston, CP | | 21,100 | 21,100 |
| Somerville Gen. Oblig. BAN Series A, 2.25% 6/5/20 | | 25,751 | 25,784 |
| | | | 93,774 |
| Michigan - 0.0% | | | |
| Kent Hosp. Fin. Auth. Hosp. Facilities Rev. Bonds (Spectrum Health Sys. Proj.) Series 2015 A, SIFMA Municipal Swap Index + 0.250% 4.96%, tender 10/27/20 (a)(f) | | 500 | 500 |
| Michigan Hosp. Fin. Auth. Rev. Bonds Series 2010 F4, 1.95%, tender 4/1/20 (a) | | 1,285 | 1,285 |
| | | | 1,785 |
| Minnesota - 0.1% | | | |
| Minnesota Gen. Oblig. Bonds Series 2010 A, 5% 8/1/20 (Pre-Refunded to 8/1/20 @ 100) | | 5,300 | 5,373 |
| Missouri - 0.2% | | | |
| Curators of the Univ. of Missouri Series A, 0.9% 6/5/20, CP | | 1,300 | 1,300 |
| Kirkwood Indl. Dev. Retirement Commission Bonds (Aberdeen Heights Proj.) Series 2010 A: | | | |
| 8% 5/15/20 (Pre-Refunded to 5/15/20 @ 100) | | 1,720 | 1,734 |
| 8.25% 5/15/20 (Pre-Refunded to 5/15/20 @ 100) | | 3,000 | 3,025 |
| 8.25% 5/15/20 (Pre-Refunded to 5/15/20 @ 100) | | 4,500 | 4,538 |
| | | | 10,597 |
| Nebraska - 0.4% | | | |
| Central Plains Energy Proj. Gas Supply Bonds Series 2019, 4% 8/1/20 (Royal Bank of Canada Guaranteed) | | 800 | 807 |
| Omaha Pub. Pwr. District Elec. Rev. Series A: | | | |
| 0.63% 7/8/20, CP | | 2,300 | 2,300 |
| 1.05% 6/4/20, CP | | 5,000 | 5,000 |
| 1.19% 6/1/20, CP | | 9,400 | 9,400 |
| 1.19% 6/10/20, CP | | 6,750 | 6,750 |
| | | | 24,257 |
| Nevada - 0.1% | | | |
| Truckee Meadows Wtr. Auth. Wtr. Rev. Series 2006 B, 0.89% 6/2/20, LOC Wells Fargo Bank NA, CP | | 3,910 | 3,910 |
| New Hampshire - 0.2% | | | |
| New Hampshire Bus. Fin. Auth. Poll. Cont. Rev. Bonds Series 1990 B: | | | |
| 1.22% tender 4/9/20, CP mode | | 1,900 | 1,900 |
| 1.45% tender 6/11/20, CP mode | | 9,500 | 9,500 |
| | | | 11,400 |
| New Jersey - 1.1% | | | |
| Burlington County Bridge Commission Lease Rev. BAN (Governmental Leasing Prog.) Series 2019 C1: | | | |
| 3% 11/20/20 | | 12,300 | 12,435 |
| 3% 11/20/20 | | 13,300 | 13,446 |
| Camden County BAN Series 2019 A, 2% 10/21/20 | | 15,261 | 15,326 |
| Fort Lee Gen. Oblig. BAN Series 2019 A, 2.25% 11/6/20 | | 8,182 | 8,230 |
| Hudson County Impt. Auth. Rev. BAN Series 2019 C, 2.5% 9/18/20 (Hudson County Gen. Oblig. Guaranteed) | | 1,400 | 1,407 |
| Montgomery Township Gen. Oblig. BAN Series 2019, 2% 8/28/20 | | 2,900 | 2,908 |
| New Jersey Econ. Dev. Auth. Rev. Bonds: | | | |
| Series 2011 EE, 5% 9/1/20 (Escrowed to Maturity) | | 3,570 | 3,624 |
| Series 2012 II, 5% 3/1/21 (Escrowed to Maturity) | | 2,950 | 3,063 |
| Ocean City Gen. Oblig. Bonds Series 2019, 4% 9/15/20 | | 3,690 | 3,734 |
| Wayne Township Wtr. Util. BAN Series 2019, 2.5% 6/24/20 | | 7,700 | 7,718 |
| | | | 71,891 |
| New York - 0.3% | | | |
| New York Dorm. Auth. Sales Tax Rev. Bonds Series 2015 A, 5% 3/15/21 | | 10,400 | 10,819 |
| New York Pwr. Auth. Series 1, 1.05% 5/7/20, CP | | 5,900 | 5,900 |
| New York Urban Dev. Corp. Rev. Bonds Series 2016 A, 5% 3/15/21 | | 4,500 | 4,648 |
| | | | 21,367 |
| Ohio - 0.6% | | | |
| Avon Local School District BAN Series 2019, 2% 9/30/20 | | 3,505 | 3,517 |
| Belmont County BAN Series 2019: | | | |
| 2% 8/27/20 | | 1,505 | 1,509 |
| 2% 8/27/20 | | 2,000 | 2,006 |
| East Knox Local School District BAN Series 2019, 2.375% 6/11/20 | | 2,150 | 2,154 |
| Fairborn Gen. Oblig. BAN Series 2020 B, 2% 3/18/21 | | 1,200 | 1,213 |
| Fairfield County Gen. Oblig. BAN Series 2018, 3% 4/29/20 | | 2,000 | 2,002 |
| Finneytown Local School District BAN Series 2020, 2.25% 4/15/20 | | 3,250 | 3,251 |
| Hudson City Gen. Oblig. BAN Series 2019, 2% 12/18/20 | | 4,625 | 4,649 |
| Lake County Gen. Oblig. BAN Series 2020, 2.25% 1/15/21 (Ohio Gen. Oblig. Guaranteed) | | 2,975 | 3,001 |
| Marysville Gen. Oblig. BAN Series 2020, 2% 3/25/21 | | 1,265 | 1,279 |
| Mayfield Heights Gen. Oblig. BAN Series 2019, 3% 4/2/20 (Ohio Gen. Oblig. Guaranteed) | | 1,600 | 1,600 |
| Newark Gen. Oblig. BAN Series 2019, 2.25% 10/1/20 | | 1,000 | 1,004 |
| Southwest Local School District BAN Series 2019, 2% 11/12/20 (Ohio Gen. Oblig. Guaranteed) | | 3,550 | 3,565 |
| Sycamore Cmnty. School District BAN Series 2019, 2.25% 4/15/20 | | 7,800 | 7,803 |
| Union Township Clermont County Gen. Oblig. BAN Series 2019, 2.25% 9/2/20 (Ohio Gen. Oblig. Guaranteed) | | 2,000 | 2,007 |
| Village of Obetz BAN Series 2019 B, 2% 11/20/20 | | 1,000 | 1,004 |
| | | | 41,564 |
| Oklahoma - 0.0% | | | |
| Oklahoma Dev. Fin. Auth. Health Sys. Rev. Bonds Series 2015 B, SIFMA Municipal Swap Index + 0.350% 5.06%, tender 10/27/20 (a)(f) | | 1,590 | 1,590 |
| Pennsylvania - 0.0% | | | |
| Montgomery County Indl. Dev. Auth. Rev. Bonds (New Reg'l. Med. Ctr. Proj.) Series 2010, 5% 8/1/20 (Pre-Refunded to 8/1/20 @ 100) | | 1,600 | 1,623 |
| Tennessee - 0.5% | | | |
| Memphis Gen. Oblig. Series A, 0.98% 5/20/20 (Liquidity Facility State Street Bank & Trust Co., Boston), CP | | 29,700 | 29,700 |
| Nashville and Davidson County Metropolitan Govt. Gen. Oblig. Series B2, 1.1% 6/17/20 (Liquidity Facility MUFG Union Bank NA), CP | | 3,300 | 3,300 |
| Nashville and Davidson County Metropolitan Govt. Health & Edl. Facilities Board Rev. Bonds Series 2001 B, 1.55%, tender 11/3/20 (a) | | 2,400 | 2,403 |
| | | | 35,403 |
| Texas - 6.7% | | | |
| Austin Elec. Util. Sys. Rev. Series A: | | | |
| 0.92% 6/2/20 (Liquidity Facility JPMorgan Chase Bank), CP | | 12,700 | 12,700 |
| 1.18% 6/2/20 (Liquidity Facility JPMorgan Chase Bank), CP | | 4,400 | 4,400 |
| Brownsville Util. Sys. Rev. Series A, 1.29% 5/5/20, LOC Bank of America NA, CP | | 3,100 | 3,100 |
| Garland Util. Sys. Rev. Series 2018, 1.08% 5/6/20, LOC Bank of America NA, CP | | 4,000 | 4,000 |
| Harris County Cultural Ed. Facilities Fin. Corp. Rev. Bonds: | | | |
| (Texas Children's Hosp. Proj.) Series 2015 2, SIFMA Municipal Swap Index + 0.200% 4.91%, tender 10/27/20 (a)(f) | | 2,900 | 2,900 |
| Series 2016 B3, 1.22% tender 5/4/20, CP mode | | 26,900 | 26,900 |
| Harris County Gen. Oblig. Series D2, 1.16% 4/2/20 (Liquidity Facility State Street Bank & Trust Co., Boston), CP | | 3,600 | 3,600 |
| Harris County Metropolitan Trans. Auth.: | | | |
| Series A1: | | | |
| 1.2% 6/3/20 (Liquidity Facility JPMorgan Chase Bank), CP | | 19,600 | 19,600 |
| 1.45% 4/9/20 (Liquidity Facility JPMorgan Chase Bank), CP | | 16,750 | 16,750 |
| Series A3, 1.18% 4/9/20 (Liquidity Facility State Street Bank & Trust Co., Boston), CP | | 8,300 | 8,300 |
| Houston Gen. Oblig.: | | | |
| Series E1, 1.17% 4/7/20, LOC Citibank NA, CP | | 3,300 | 3,300 |
| TRAN Series 2019, 3% 6/26/20 | | 1,700 | 1,708 |
| Lower Colorado River Auth. Rev.: | | | |
| Series 2020, 1.16% 4/9/20, LOC JPMorgan Chase Bank, LOC State Street Bank & Trust Co., Boston, CP | | 7,100 | 7,100 |
| Series B: | | | |
| 1.23% 6/10/20, LOC State Street Bank & Trust Co., Boston, CP | | 6,768 | 6,768 |
| 1.26% 6/10/20, LOC State Street Bank & Trust Co., Boston, CP | | 1,500 | 1,500 |
| Tarrant County Cultural Ed. Facilities Fin. Corp. Hosp. Rev. Bonds (Baylor Health Care Sys. Proj.): | | | |
| Series 2011 B, BMA Municipal Swap Index + 0.300% 5.01%, tender 10/27/20 (a)(f) | | 8,400 | 8,400 |
| Series 2013 B, SIFMA Municipal Swap Index + 0.300% 5.01%, tender 10/27/20 (a)(f) | | 2,400 | 2,400 |
| Texas Gen. Oblig. TRAN Series 2019, 4% 8/27/20 | | 231,445 | 233,954 |
| Texas Trans. Commission State Hwy. Fund Rev. Bonds Series 2014 A, 5% 4/1/21 | | 9,400 | 9,739 |
| Univ. of Texas Board of Regents Sys. Rev. Series A: | | | |
| 1.08% 6/5/20 (Liquidity Facility Univ. of Texas Invt. Mgmt. Co.), CP | | 15,300 | 15,300 |
| 1.15% 7/9/20 (Liquidity Facility Univ. of Texas Invt. Mgmt. Co.), CP | | 22,336 | 22,336 |
| Univ. of Texas Permanent Univ. Fund Rev. Series A, 1.08% 6/9/20, CP | | 25,000 | 25,000 |
| | | | 439,755 |
| Virginia - 0.2% | | | |
| Norfolk Econ. Dev. Auth. Rev. Series 1997, 0.9% 6/2/20, CP | | 16,200 | 16,200 |
| Wisconsin - 0.6% | | | |
| Madison Metropolitan School District TRAN Series 2019, 2.25% 9/4/20 | | 27,100 | 27,206 |
| Milwaukee Gen. Oblig. Bonds Series 2019 N3, 5% 4/1/20 | | 100 | 100 |
| Wisconsin Health & Edl. Facilities Auth. Rev. Bonds Series 2010 A: | | | |
| 5.5% 4/15/20 (Pre-Refunded to 4/15/20 @ 100) | | 9,480 | 9,496 |
| 5.625% 4/15/20 (Pre-Refunded to 4/15/20 @ 100) | | 2,200 | 2,204 |
| | | | 39,006 |
| TOTAL OTHER MUNICIPAL SECURITY | | | |
| (Cost $1,281,895) | | | 1,281,895 |
| | | Shares (000s) | Value (000s) |
|
| Investment Company - 5.8% | | | |
| Fidelity Tax-Free Cash Central Fund 2.27% (h) | | | |
| (Cost $378,884) | | 378,841 | 378,884 |
| TOTAL INVESTMENT IN SECURITIES - 97.8% | | | |
| (Cost $6,431,122) | | | 6,431,122 |
| NET OTHER ASSETS (LIABILITIES) - 2.2% | | | 141,914 |
| NET ASSETS - 100% | | | $6,573,036 |
Security Type Abbreviations
BAN – BOND ANTICIPATION NOTE
CP – COMMERCIAL PAPER
TAN – TAX ANTICIPATION NOTE
TRAN – TAX AND REVENUE ANTICIPATION NOTE
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) Provides evidence of ownership in one or more underlying municipal bonds.
(c) Coupon rates are determined by re-marketing agents based on current market conditions.
(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 $39,460,000 or 0.6% of net assets.
(e) Restricted securities (including private placements) - 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 $115,030,000 or 1.8% 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) 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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, 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, 3.29%, tender 11/2/20 (Liquidity Facility Royal Bank of Canada) | 9/26/19 - 11/6/19 | $1,000 |
| Allegheny County Hosp. Dev. Auth. Rev. Bonds Series Floaters E72, 4.88%, tender 6/1/20 (Liquidity Facility Royal Bank of Canada) | 6/1/16 - 1/19/18 | $11,600 |
| Baltimore Proj. Rev. Bonds Series Floaters G 28, 3.58%, tender 7/1/20 (Liquidity Facility Royal Bank of Canada) | 7/12/18 | $1,000 |
| Connecticut Spl. Tax Oblig. Trans. Infrastructure Rev. Bonds Series Floaters G 110, 3.41%, tender 10/1/20 (Liquidity Facility Royal Bank of Canada) | 5/16/19 | $3,150 |
| Harris County Gen. Oblig. Bonds Series Clipper 09 73, 4.38%, tender 8/20/20 (Liquidity Facility State Street Bank & Trust Co., Boston) | 9/13/07 - 10/16/18 | $39,700 |
| Kentucky State Property & Buildings Commission Rev. Bonds Series G 116, 1.92%, tender 11/2/20 (Liquidity Facility Royal Bank of Canada) | 2/6/20 | $1,400 |
| Massachusetts Gen. Oblig. Bonds Series Clipper 09 67, 2.16%, tender 8/20/20 (Liquidity Facility State Street Bank & Trust Co., Boston) | 10/16/18 | $36,400 |
| Massachusetts Gen. Oblig. Bonds Series Clipper 09 69, 4.2%, tender 4/2/20 (Liquidity Facility State Street Bank & Trust Co., Boston) | 9/28/16 - 11/6/19 | $5,475 |
| Massachusetts Spl. Oblig. Dedicated Tax Rev. Bonds Series Floaters G 29, 4.16%, tender 7/1/20 (Liquidity Facility Royal Bank of Canada) | 11/26/19 | $500 |
| Moorhead ISD No. 152 Bonds Series Solar 00 02, 2.58%, tender 4/2/20 (Liquidity Facility U.S. Bank NA, Cincinnati) | 2/12/20 | $3,120 |
| North Texas Tollway Auth. Rev. Bonds Series G-112, 3.26%, tender 7/1/20 (Liquidity Facility Royal Bank of Canada) | 6/6/19 | $2,930 |
| Ohio Univ. Gen. Receipts Athens Bonds Series Floaters G 27, 3.87%, tender 6/1/20 (Liquidity Facility Royal Bank of Canada) | 7/12/18 | $900 |
| South Carolina Trans. Infrastructure Bank Rev. Bonds Series Floaters G 109, 3.35%, tender 10/1/20 (Liquidity Facility Royal Bank of Canada) | 5/16/19 | $1,100 |
| Virginia Pub. Bldg. Auth. Pub. Facilities Rev. Bonds Series Floaters G 40, 3.14%, tender 8/3/20 (Liquidity Facility Royal Bank of Canada) | 8/2/18 | $1,800 |
| Wisconsin Gen. Oblig. Participating VRDN Series Clipper 09 36, 3.82% 4/2/20 (Liquidity Facility State Street Bank & Trust Co., Boston) | 9/15/16 - 10/16/18 | $4,955 |
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 | $4,669 |
| Total | $4,669 |
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) | | March 31, 2020 |
| Assets | | |
Investment in securities, at value — See accompanying schedule:
Unaffiliated issuers (cost $6,052,238) | $6,052,238 | |
| Fidelity Central Funds (cost $378,884) | 378,884 | |
| Total Investment in Securities (cost $6,431,122) | | $6,431,122 |
| Cash | | 82,922 |
| Receivable for investments sold | | 62,385 |
| Receivable for fund shares sold | | 190,929 |
| Interest receivable | | 31,181 |
| Distributions receivable from Fidelity Central Funds | | 783 |
| Prepaid expenses | | 4 |
| Receivable from investment adviser for expense reductions | | 173 |
| Other receivables | | 68 |
| Total assets | | 6,799,567 |
| Liabilities | | |
| Payable for investments purchased | | |
| Regular delivery | $191,097 | |
| Delayed delivery | 11,919 | |
| Payable for fund shares redeemed | 20,036 | |
| Distributions payable | 2,166 | |
| Accrued management fee | 817 | |
| Distribution and service plan fees payable | 1 | |
| Other affiliated payables | 399 | |
| Other payables and accrued expenses | 96 | |
| Total liabilities | | 226,531 |
| Net Assets | | $6,573,036 |
| Net Assets consist of: | | |
| Paid in capital | | $6,572,852 |
| Total accumulated earnings (loss) | | 184 |
| Net Assets | | $6,573,036 |
| Net Asset Value and Maximum Offering Price | | |
| Class I: | | |
| Net Asset Value, offering price and redemption price per share ($6,568,420 ÷ 6,566,701 shares) | | $1.00 |
| Class II: | | |
| Net Asset Value, offering price and redemption price per share ($394 ÷ 394 shares) | | $1.00 |
| Class III: | | |
| Net Asset Value, offering price and redemption price per share ($1,547 ÷ 1,547 shares) | | $1.00 |
| Select Class: | | |
| Net Asset Value, offering price and redemption price per share ($2,675 ÷ 2,673 shares) | | $1.00 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
| Amounts in thousands | | Year ended March 31, 2020 |
| Investment Income | | |
| Interest | | $100,997 |
| Income from Fidelity Central Funds | | 4,666 |
| Total income | | 105,663 |
| Expenses | | |
| Management fee | $9,744 | |
| Transfer agent fees | 4,176 | |
| Distribution and service plan fees | 7 | |
| Accounting fees and expenses | 582 | |
| Custodian fees and expenses | 52 | |
| Independent trustees' fees and expenses | 27 | |
| Registration fees | 203 | |
| Audit | 42 | |
| Legal | 7 | |
| Miscellaneous | 24 | |
| Total expenses before reductions | 14,864 | |
| Expense reductions | (2,307) | |
| Total expenses after reductions | | 12,557 |
| Net investment income (loss) | | 93,106 |
| Realized and Unrealized Gain (Loss) | | |
| Net realized gain (loss) on: | | |
| Investment securities: | | |
| Unaffiliated issuers | 692 | |
| Fidelity Central Funds | 3 | |
| Capital gain distributions from Fidelity Central Funds | 3 | |
| Total net realized gain (loss) | | 698 |
| Net increase in net assets resulting from operations | | $93,804 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
| Amounts in thousands | Year ended March 31, 2020 | Year ended March 31, 2019 |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net investment income (loss) | $93,106 | $87,710 |
| Net realized gain (loss) | 698 | 197 |
| Net increase in net assets resulting from operations | 93,804 | 87,907 |
| Distributions to shareholders | (93,463) | (87,704) |
| Share transactions - net increase (decrease) | (552,526) | 2,632,164 |
| Total increase (decrease) in net assets | (552,185) | 2,632,367 |
| Net Assets | | |
| Beginning of period | 7,125,221 | 4,492,854 |
| End of period | $6,573,036 | $7,125,221 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Tax-Exempt Portfolio Class I
| Years ended March 31, | 2020 | 2019 | 2018 | 2017 | 2016 |
| Selected Per–Share Data | | | | | |
| Net asset value, beginning of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Income from Investment Operations | | | | | |
| Net investment income (loss) | .013 | .014 | .008 | .004 | –A |
| Net realized and unrealized gain (loss) | .001 | –A | –A | .001 | .001 |
| Total from investment operations | .014 | .014 | .008 | .005 | .001 |
| Distributions from net investment income | (.013) | (.014) | (.008) | (.004) | –A |
| Distributions from net realized gain | –A | – | – | (.001) | (.001) |
| Total distributions | (.014)B | (.014) | (.008) | (.005) | (.001) |
| Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Total ReturnC | 1.36% | 1.40% | .84% | .50% | .08% |
| Ratios to Average Net AssetsD,E | | | | | |
| Expenses before reductions | .21% | .22% | .22% | .22% | .22% |
| Expenses net of fee waivers, if any | .18% | .18% | .18% | .18% | .05% |
| Expenses net of all reductions | .18% | .18% | .18% | .18% | .05% |
| Net investment income (loss) | 1.34% | 1.40% | .86% | .44% | .01% |
| Supplemental Data | | | | | |
| Net assets, end of period (in millions) | $6,568 | $7,113 | $4,488 | $2,262 | $1,429 |
A Amount represents less than $.0005 per share.
B Total distributions of $.014 per share is comprised of distributions from net investment income of $.013472 and distributions from net realized gain of $.00005 per share.
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.
See accompanying notes which are an integral part of the financial statements.
Tax-Exempt Portfolio Class II
| Years ended March 31, | 2020 | 2019 | 2018 | 2017 | 2016 |
| Selected Per–Share Data | | | | | |
| Net asset value, beginning of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Income from Investment Operations | | | | | |
| Net investment income (loss) | .012 | .012 | .007 | .003 | –A |
| Net realized and unrealized gain (loss) | –A | –A | –A | –A | .001 |
| Total from investment operations | .012 | .012 | .007 | .003 | .001 |
| Distributions from net investment income | (.012) | (.012) | (.007) | (.003) | –A |
| Distributions from net realized gain | –A | – | – | (.001) | (.001) |
| Total distributions | (.012) | (.012) | (.007) | (.003)B | (.001) |
| Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Total ReturnC | 1.21% | 1.24% | .69% | .35% | .08% |
| Ratios to Average Net AssetsD,E | | | | | |
| Expenses before reductions | .36% | .36% | .37% | .37% | .37% |
| Expenses net of fee waivers, if any | .33% | .33% | .33% | .33% | .06% |
| Expenses net of all reductions | .33% | .33% | .33% | .33% | .05% |
| Net investment income (loss) | 1.19% | 1.25% | .71% | .29% | .01% |
| Supplemental Data | | | | | |
| Net assets, end of period (in millions) | $–F | $–F | $–F | $–F | $1 |
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 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 Amount represents less than $500,000.
See accompanying notes which are an integral part of the financial statements.
Tax-Exempt Portfolio Class III
| Years ended March 31, | 2020 | 2019 | 2018 | 2017 | 2016 |
| Selected Per–Share Data | | | | | |
| Net asset value, beginning of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Income from Investment Operations | | | | | |
| Net investment income (loss) | .011 | .011 | .006 | .002 | –A |
| Net realized and unrealized gain (loss) | –A | –A | –A | .001 | .001 |
| Total from investment operations | .011 | .011 | .006 | .003 | .001 |
| Distributions from net investment income | (.011) | (.011) | (.006) | (.002) | –A |
| Distributions from net realized gain | –A | – | – | (.001) | (.001) |
| Total distributions | (.011) | (.011) | (.006) | (.003) | (.001) |
| Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Total ReturnB | 1.11% | 1.14% | .59% | .25% | .08% |
| Ratios to Average Net AssetsC,D | | | | | |
| Expenses before reductions | .46% | .46% | .46% | .47% | .47% |
| Expenses net of fee waivers, if any | .43% | .43% | .43% | .39% | .06% |
| Expenses net of all reductions | .43% | .43% | .43% | .39% | .06% |
| Net investment income (loss) | 1.09% | 1.15% | .61% | .23% | .01% |
| Supplemental Data | | | | | |
| Net assets, end of period (in millions) | $2 | $2 | $3 | $5 | $215 |
A Amount represents less than $.0005 per share.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C 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.
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.
See accompanying notes which are an integral part of the financial statements.
Tax-Exempt Portfolio Select Class
| Years ended March 31, | 2020 | 2019 | 2018 | 2017 | 2016 |
| Selected Per–Share Data | | | | | |
| Net asset value, beginning of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Income from Investment Operations | | | | | |
| Net investment income (loss) | .013 | .013 | .008 | .004 | –A |
| Net realized and unrealized gain (loss) | –A | –A | –A | –A | .001 |
| Total from investment operations | .013 | .013 | .008 | .004 | .001 |
| Distributions from net investment income | (.013) | (.013) | (.008) | (.004) | –A |
| Distributions from net realized gain | –A | – | – | (.001) | (.001) |
| Total distributions | (.013) | (.013) | (.008) | (.004)B | (.001) |
| Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Total ReturnC | 1.31% | 1.35% | .79% | .44% | .08% |
| Ratios to Average Net AssetsD,E | | | | | |
| Expenses before reductions | .26% | .27% | .27% | .27% | .27% |
| Expenses net of fee waivers, if any | .23% | .23% | .23% | .23% | .06% |
| Expenses net of all reductions | .23% | .23% | .23% | .23% | .06% |
| Net investment income (loss) | 1.29% | 1.35% | .81% | .39% | .01% |
| Supplemental Data | | | | | |
| Net assets, end of period (in millions) | $3 | $10 | $1 | $–F | $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 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 Amount represents less than $500,000.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended March 31, 2020
(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. Effective after the close of business on March 31, 2020, Treasury Only Portfolio and Treasury Portfolio are closed to new accounts with certain exceptions. 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 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.
Effective January 1, 2020:
Investment advisers Fidelity Investments Money Management, Inc., FMR Co., Inc., and Fidelity SelectCo, LLC, merged with and into Fidelity Management & Research Company. In connection with the merger transactions, the resulting, merged investment adviser was then redomiciled from Massachusetts to Delaware, changed its corporate structure from a corporation to a limited liability company, and changed its name to "Fidelity Management & Research Company LLC".
Broker-dealer Fidelity Distributors Corporation merged with and into Fidelity Investments Institutional Services Company, Inc. ("FIISC"). FIISC was then redomiciled from Massachusetts to Delaware, changed its corporate structure from a corporation to a limited liability company, and changed its name to "Fidelity Distributors Company LLC".
Fidelity Investments Institutional Operations Company, Inc. converted from a Massachusetts corporation to a Massachusetts LLC, and changed its name to "Fidelity Investments Institutional Operations Company LLC".
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 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, which are not covered by the Funds' Report of Independent Registered Public Accounting Firm, 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 | 260 |
| Government Portfolio | 913 |
| Money Market Portfolio | 956 |
| Prime Money Market Portfolio | 433 |
| Tax-Exempt Portfolio | 64 |
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. As of March 31, 2020, each Fund did not have any unrecognized tax benefits in the financial statements; nor is each Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. 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. In addition, certain Funds claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
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 the short-term gain distributions from the Fidelity Central Funds, deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales.
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 | $46,738,418 | $– | $– | $– |
| Treasury Portfolio | 38,177,217 | – | – | – |
| Government Portfolio | 174,916,990 | – | – | – |
| Money Market Portfolio | 62,139,994 | – | – | – |
| Prime Money Market Portfolio | 5,497,471 | 380 | (2,461) | (2,081) |
| Prime Reserves Portfolio | 7,028,254 | 1,134 | (2,466) | (1,332) |
| Tax-Exempt Portfolio | 6,431,122 | – | – | – |
The tax-based components of distributable earnings as of period end were as follows for each Fund:
| | Undistributed tax-exempt income | Undistributed ordinary income | Undistributed long-term capital gain | Net unrealized appreciation (depreciation) on securities and other investments |
| Treasury Only Portfolio | $– | $211 | $– | $– |
| Treasury Portfolio | – | 217 | – | – |
| Government Portfolio | – | 786 | – | – |
| Money Market Portfolio | – | 1,070 | – | – |
| Prime Money Market Portfolio | – | 436 | – | (2,081) |
| Prime Reserves Portfolio | – | 34 | – | (1,332) |
| Tax-Exempt Portfolio | 63 | 115 | 70 | – |
The tax character of distributions paid was as follows:
| March 31, 2020 | | | | |
| | Tax-Exempt Income | Ordinary Income | Long-term Capital Gains | Total |
| Treasury Only Portfolio | $– | $446,239 | $– | $446,239 |
| Treasury Portfolio | – | 516,818 | – | 516,818 |
| Government Portfolio | – | 2,276,551 | – | 2,276,551 |
| Money Market Portfolio | – | 1,336,263 | – | 1,336,263 |
| Prime Money Market Portfolio | – | 183,008 | – | 183,008 |
| Prime Reserves Portfolio | – | 167,275 | – | 167,275 |
| Tax-Exempt Portfolio | 93,112 | 70 | 281 | 93,463 |
| March 31, 2019 | | | |
| | Tax-Exempt Income | Ordinary Income | Total |
| Treasury Only Portfolio | $– | $339,391 | $339,391 |
| Treasury Portfolio | – | 457,872 | 457,872 |
| Government Portfolio | – | 2,185,195 | 2,185,195 |
| Money Market Portfolio | – | 910,234 | 910,234 |
| Prime Money Market Portfolio | – | 229,870 | 229,870 |
| Prime Reserves Portfolio | – | 131,823 | 131,823 |
| Tax-Exempt Portfolio | 87,704 | – | 87,704 |
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 LLC (FMR), 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 Money Market Portfolio | 17,000 | 1.77% |
| Prime Reserves Portfolio | 30,610 | 1.50% |
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 (including Private Placements). 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 LLC (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 Company LLC (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 | $988 | $– |
| Class III | 2,163 | – |
| Class IV | 472 | 1 |
| Select Class | 149 | 7 |
| | $3,772 | $8 |
Treasury Portfolio:
| | |
| Class II | $1,147 | $– |
| Class III | 6,085 | – |
| Class IV | 5,692 | – |
| Select Class | 123 | – |
| | $13,047 | $– |
Government Portfolio:
| | |
| Class II | $1,206 | $– |
| Class III | 8,148 | – |
| Select Class | 187 | 2 |
| | $9,541 | $2 |
Money Market Portfolio:
| | |
| Class II | $754 | $– |
| Class III | 86 | – |
| Select Class | 21 | 2 |
| | $861 | $2 |
Prime Money Market Portfolio:
| | |
| Class II | $21 | $–(a) |
| Class III | 31 | 1 |
| Class IV | –(a) | –(a) |
| Select Class | 6 | –(a) |
| | $58 | $1 |
Prime Reserves Portfolio:
| | |
| Class II | $22 | $1 |
| Class III | 4 | 4 |
| Select Class | 2 | 1 |
| | $28 | $6 |
Tax-Exempt Portfolio:
| | |
| Class II | $1 | $–(a) |
| Class III | 4 | – |
| Select Class | 2 | 1 |
| | $7 | $1 |
(a) In the amount of less than five hundred dollars.
During the period, the investment adviser or its affiliates waived a portion of these fees.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company LLC (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 | $5,213 |
| Class II | 395 |
| Class III | 519 |
| Class IV | 57 |
| Select Class | 179 |
| Institutional Class | 4,573 |
| | $10,936 |
| Treasury Portfolio | |
| Class I | $5,972 |
| Class II | 459 |
| Class III | 1,460 |
| Class IV | 683 |
| Select Class | 148 |
| Institutional Class | 4,526 |
| | $13,248 |
| | |
| Government Portfolio | |
| Class I | $20,576 |
| Class II | 482 |
| Class III | 1,956 |
| Select Class | 225 |
| Institutional Class | 26,593 |
| | $49,832 |
| Money Market Portfolio | |
| Class I | $15,527 |
| Class II | 301 |
| Class III | 21 |
| Select Class | 26 |
| Institutional Class | 12,281 |
| | $28,156 |
| Prime Money Market Portfolio | |
| Class I | $306 |
| Class II | 8 |
| Class III | 7 |
| Class IV | –(a) |
| Select Class | 8 |
| Institutional Class | 2,579 |
| | $2,908 |
| Prime Reserves Portfolio | |
| Class I | $2,319 |
| Class II | 9 |
| Class III | 1 |
| Select Class | 2 |
| Institutional Class | 1,401 |
| | $3,732 |
| Tax-Exempt Portfolio | |
| Class I | $4,173 |
| Class II | –(a) |
| Class III | 1 |
| Select Class | 2 |
| | $4,176 |
(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 accounting fee is based on the level of average net assets for each month. For the period, the fees were equivalent to the following annual 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, each fund, along with other registered investment companies having management contracts with Fidelity Management & Research Company LLC (FMR), or other affiliated entities of FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing each fund to borrow from, or lend money to, other participating affiliated funds. At period end, Treasury Only Portfolio, Treasury Portfolio, Government Portfolio, Prime Money Market Portfolio and Tax-Exempt Portfolio had no interfund loans outstanding. Any open loans at period end are presented under the caption "Interfund Loans" in the Schedule of Investments with accrued interest included in Other affiliated receivables on the Statement of Assets and Liabilities. 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 | $41,978 | 1.93% |
| Prime Reserves Portfolio | Lender | $28,163 | 1.62% |
Interfund Trades. 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 |
| Treasury Portfolio | $2 |
| Government Portfolio | $8 |
| Money Market Portfolio | $2 |
| Tax-Exempt Portfolio | $3 |
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, 2021. 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% | $3,210 |
| Class II | .33% | 233 |
| Class III | .43% | 296 |
| Class IV | .68% | 36 |
| Select Class | .23% | 111 |
| Institutional Class | .14% | 7,151 |
| Treasury Portfolio | | |
| Class I | .18% | $3,121 |
| Class II | .33% | 239 |
| Class III | .43% | 755 |
| Class IV | .68% | 352 |
| Select Class | .23% | 79 |
| Institutional Class | .14% | 6,250 |
| Government Portfolio | | |
| Class I | .18% | $10,656 |
| Class II | .33% | 235 |
| Class III | .43% | 984 |
| Select Class | .23% | 117 |
| Institutional Class | .14% | 36,457 |
| Money Market Portfolio | | |
| Class I | .18% | $7,040 |
| Class II | .33% | 139 |
| Class III | .43% | 10 |
| Select Class | .23% | 11 |
| Institutional Class | .14% | 15,325 |
| Prime Money Market Portfolio | | |
| Class I | .18% | $164 |
| Class II | .33% | 4 |
| Class III | .43% | 4 |
| Class IV | .68% | –(a) |
| Select Class | .23% | 4 |
| Institutional Class | .14% | 3,610 |
| Prime Reserves Portfolio | | |
| Class I | .18% | $1,514 |
| Class II | .33% | 6 |
| Class III | .43% | 1 |
| Select Class | .23% | 1 |
| Institutional Class | .14% | 2,306 |
| Tax-Exempt Portfolio | | |
| Class I | .18% | $2,300 |
| Class II | .33% | –(a) |
| Class III | .43% | 1 |
| Select Class | .23% | 1 |
(a) In the amount of less than five hundred dollars.
Additionally, the investment adviser or its affiliates voluntarily agreed to waive certain fees in order to avoid a negative yield. Such arrangements may be discontinued by the investment adviser at any time. For the period, the amount of the waiver for each class was as follows:
| Treasury Only Portfolio | |
| Class IV | $1 |
| Treasury Portfolio | |
| Class III | $1 |
| Class IV | $73 |
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 | $30 |
| Treasury Portfolio | 20 |
| Government Portfolio | 138 |
| Tax-Exempt Portfolio | 5 |
6. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
| | Year ended
March 31, 2020 | Year ended
March 31, 2019 |
| Treasury Only Portfolio | | |
| Distributions to shareholders | | |
| Class I | $148,588 | $143,374 |
| Class II | 10,475 | 7,351 |
| Class III | 13,499 | 16,970 |
| Class IV | 1,253 | 1,785 |
| Select Class | 4,878 | 2,748 |
| Institutional Class | 267,546 | 167,163 |
| Total | $446,239 | $339,391 |
| Treasury Portfolio | | |
| Distributions to shareholders | | |
| Class I | $179,055 | $187,753 |
| Class II | 12,251 | 7,941 |
| Class III | 38,025 | 44,799 |
| Class IV | 15,079 | 14,278 |
| Select Class | 4,210 | 4,465 |
| Institutional Class | 268,198 | 198,636 |
| Total | $516,818 | $457,872 |
| Government Portfolio | | |
| Distributions to shareholders | | |
| Class I | $606,674 | $628,979 |
| Class II | 13,431 | 15,863 |
| Class III | 49,956 | 55,962 |
| Select Class | 6,449 | 10,424 |
| Institutional Class | 1,600,041 | 1,473,967 |
| Total | $2,276,551 | $2,185,195 |
| Money Market Portfolio | | |
| Distributions to shareholders | | |
| Class I | $506,813 | $366,046 |
| Class II | 9,161 | 4,372 |
| Class III | 598 | 3,201 |
| Select Class | 798 | 302 |
| Institutional Class | 818,893 | 536,313 |
| Total | $1,336,263 | $910,234 |
| Prime Money Market Portfolio | | |
| Distributions to shareholders | | |
| Class I | $10,159 | $17,365 |
| Class II | 241 | 347 |
| Class III | 216 | 191 |
| Select Class | 245 | 418 |
| Institutional Class | 172,147 | 211,549 |
| Total | $183,008 | $229,870 |
| Prime Reserves Portfolio | | |
| Distributions to shareholders | | |
| Class I | $74,748 | $57,391 |
| Class II | 263 | 116 |
| Class III | 24 | 46 |
| Select Class | 60 | 132 |
| Institutional Class | 92,180 | 74,138 |
| Total | $167,275 | $131,823 |
| Tax-Exempt Portfolio | | |
| Distributions to shareholders | | |
| Class I | $93,393 | $87,375 |
| Class II | 5 | 7 |
| Class III | 20 | 40 |
| Select Class | 45 | 282 |
| Total | $93,463 | $87,704 |
7. Share Transactions.
Share Transactions may contain automatic conversions between classes or exchanges between affiliated funds:
| | Shares | Shares | Dollars | Dollars |
| | Year ended March 31, 2020 | Year ended March 31, 2019 | Year ended March 31, 2020 | Year ended March 31, 2019 |
| Treasury Only Portfolio | | | | |
| Class I | | | | |
| Shares sold | 26,696,080 | 16,867,872 | $26,696,080 | $16,867,872 |
| Reinvestment of distributions | 77,269 | 81,692 | 77,269 | 81,692 |
| Shares redeemed | (18,750,286) | (16,892,500) | (18,750,286) | (16,892,500) |
| Net increase (decrease) | 8,023,063 | 57,064 | $8,023,063 | $57,064 |
| Class II | | | | |
| Shares sold | 1,362,899 | 1,124,688 | $1,362,899 | $1,124,688 |
| Reinvestment of distributions | 1,164 | 1,083 | 1,164 | 1,083 |
| Shares redeemed | (1,058,213) | (862,345) | (1,058,213) | (862,345) |
| Net increase (decrease) | 305,850 | 263,426 | $305,850 | $263,426 |
| Class III | | | | |
| Shares sold | 3,902,591 | 4,277,368 | $3,902,591 | $4,277,368 |
| Reinvestment of distributions | 5,507 | 7,234 | 5,507 | 7,234 |
| Shares redeemed | (4,127,421) | (4,169,447) | (4,127,421) | (4,169,447) |
| Net increase (decrease) | (219,323) | 115,155 | $(219,323) | $115,155 |
| Class IV | | | | |
| Shares sold | 291,484 | 384,846 | $291,484 | $384,846 |
| Reinvestment of distributions | 1,253 | 1,785 | 1,253 | 1,785 |
| Shares redeemed | (338,970) | (347,070) | (338,970) | (347,070) |
| Net increase (decrease) | (46,233) | 39,561 | $(46,233) | $39,561 |
| Select Class | | | | |
| Shares sold | 3,077,527 | 1,198,584 | $3,077,527 | $1,198,584 |
| Reinvestment of distributions | 2,086 | 1,346 | 2,086 | 1,346 |
| Shares redeemed | (2,856,178) | (1,144,783) | (2,856,178) | (1,144,783) |
| Net increase (decrease) | 223,435 | 55,147 | $223,435 | $55,147 |
| Institutional Class | | | | |
| Shares sold | 42,190,257 | 22,039,510 | $42,190,257 | $22,039,510 |
| Reinvestment of distributions | 199,985 | 108,627 | 199,985 | 108,627 |
| Shares redeemed | (27,612,792) | (17,005,503) | (27,612,792) | (17,005,503) |
| Net increase (decrease) | 14,777,450 | 5,142,634 | $14,777,450 | $5,142,634 |
| Treasury Portfolio | | | | |
| Class I | | | | |
| Shares sold | 67,143,968 | 59,788,639 | $67,143,968 | $59,788,640 |
| Reinvestment of distributions | 50,086 | 67,559 | 50,086 | 67,559 |
| Shares redeemed | (65,013,848) | (58,238,210) | (65,013,849) | (58,238,210) |
| Net increase (decrease) | 2,180,206 | 1,617,988 | $2,180,205 | $1,617,989 |
| Class II | | | | |
| Shares sold | 2,093,014 | 2,324,146 | $2,093,014 | $2,324,146 |
| Reinvestment of distributions | 4,128 | 1,169 | 4,128 | 1,169 |
| Shares redeemed | (1,871,589) | (1,782,931) | (1,871,589) | (1,782,931) |
| Net increase (decrease) | 225,553 | 542,384 | $225,553 | $542,384 |
| Class III | | | | |
| Shares sold | 8,928,324 | 8,198,113 | $8,928,324 | $8,198,113 |
| Reinvestment of distributions | 3,276 | 4,094 | 3,276 | 4,094 |
| Shares redeemed | (8,910,743) | (8,556,713) | (8,910,743) | (8,556,713) |
| Net increase (decrease) | 20,857 | (354,506) | $20,857 | $(354,506) |
| Class IV | | | | |
| Shares sold | 1,346,298 | 1,734,007 | $1,346,298 | $1,734,007 |
| Reinvestment of distributions | 447 | 347 | 447 | 347 |
| Shares redeemed | (1,531,403) | (1,442,914) | (1,531,403) | (1,442,914) |
| Net increase (decrease) | (184,658) | 291,440 | $(184,658) | $291,440 |
| Select Class | | | | |
| Shares sold | 1,157,697 | 910,548 | $1,157,697 | $910,548 |
| Reinvestment of distributions | 1,590 | 1,158 | 1,590 | 1,158 |
| Shares redeemed | (974,018) | (1,049,717) | (974,018) | (1,049,717) |
| Net increase (decrease) | 185,269 | (138,011) | $185,269 | $(138,011) |
| Institutional Class | | | | |
| Shares sold | 157,140,491 | 122,810,974 | $157,140,491 | $122,810,974 |
| Reinvestment of distributions | 198,369 | 151,540 | 198,369 | 151,540 |
| Shares redeemed | (147,918,140) | (123,500,040) | (147,918,140) | (123,500,040) |
| Net increase (decrease) | 9,420,720 | (537,526) | $9,420,720 | $(537,526) |
| Government Portfolio | | | | |
| Class I | | | | |
| Shares sold | 331,700,399 | 289,390,945 | $331,700,399 | $289,390,945 |
| Reinvestment of distributions | 180,769 | 179,727 | 180,769 | 179,727 |
| Shares redeemed | (315,877,335) | (292,046,252) | (315,877,335) | (292,046,252) |
| Net increase (decrease) | 16,003,833 | (2,475,580) | $16,003,833 | $(2,475,580) |
| Class II | | | | |
| Shares sold | 3,337,562 | 2,560,684 | $3,337,562 | $2,560,684 |
| Reinvestment of distributions | 708 | 1,804 | 708 | 1,804 |
| Shares redeemed | (3,477,571) | (2,470,042) | (3,477,571) | (2,470,042) |
| Net increase (decrease) | (139,301) | 92,446 | $(139,301) | $92,446 |
| Class III | | | | |
| Shares sold | 11,920,017 | 11,579,703 | $11,920,017 | $11,579,703 |
| Reinvestment of distributions | 15,231 | 16,752 | 15,231 | 16,752 |
| Shares redeemed | (11,628,574) | (11,550,866) | (11,628,574) | (11,550,866) |
| Net increase (decrease) | 306,674 | 45,589 | $306,674 | $45,589 |
| Select Class | | | | |
| Shares sold | 4,684,954 | 6,131,529 | $4,684,954 | $6,131,529 |
| Reinvestment of distributions | 4,545 | 6,069 | 4,545 | 6,069 |
| Shares redeemed | (4,526,472) | (6,252,278) | (4,526,472) | (6,252,278) |
| Net increase (decrease) | 163,027 | (114,680) | $163,027 | $(114,680) |
| Institutional Class | | | | |
| Shares sold | 711,703,161 | 609,674,828 | $711,703,161 | $609,674,828 |
| Reinvestment of distributions | 1,060,073 | 1,007,890 | 1,060,073 | 1,007,890 |
| Shares redeemed | (665,599,786) | (600,227,688) | (665,599,786) | (600,227,688) |
| Net increase (decrease) | 47,163,448 | 10,455,030 | $47,163,448 | $10,455,030 |
| Money Market Portfolio | | | | |
| Class I | | | | |
| Shares sold | 32,421,842 | 25,813,993 | $32,421,843 | $25,813,993 |
| Reinvestment of distributions | 456,232 | 324,970 | 456,232 | 324,970 |
| Shares redeemed | (29,217,650) | (16,543,114) | (29,217,650) | (16,543,114) |
| Net increase (decrease) | 3,660,424 | 9,595,849 | $3,660,425 | $9,595,849 |
| Class II | | | | |
| Shares sold | 540,837 | 587,214 | $540,837 | $587,214 |
| Reinvestment of distributions | 8,567 | 4,163 | 8,567 | 4,163 |
| Shares redeemed | (522,701) | (291,834) | (522,701) | (291,834) |
| Net increase (decrease) | 26,703 | 299,543 | $26,703 | $299,543 |
| Class III | | | | |
| Shares sold | 33,165 | 284,097 | $33,165 | $284,097 |
| Reinvestment of distributions | 541 | 2,976 | 541 | 2,976 |
| Shares redeemed | (54,463) | (385,995) | (54,463) | (385,995) |
| Net increase (decrease) | (20,757) | (98,922) | $(20,757) | $(98,922) |
| Select Class | | | | |
| Shares sold | 44,118 | 29,862 | $44,118 | $29,862 |
| Reinvestment of distributions | 798 | 302 | 798 | 302 |
| Shares redeemed | (18,642) | (13,181) | (18,642) | (13,181) |
| Net increase (decrease) | 26,274 | 16,983 | $26,274 | $16,983 |
| Institutional Class | | | | |
| Shares sold | 56,397,251 | 40,205,108 | $56,397,251 | $40,205,108 |
| Reinvestment of distributions | 761,244 | 492,002 | 761,244 | 492,002 |
| Shares redeemed | (54,309,331) | (23,608,922) | (54,309,332) | (23,608,922) |
| Net increase (decrease) | 2,849,164 | 17,088,188 | $2,849,163 | $17,088,188 |
| Prime Money Market Portfolio | | | | |
| Class I | | | | |
| Shares sold | 3,621,994 | 7,333,547 | $3,623,574 | $7,336,948 |
| Reinvestment of distributions | 7,322 | 11,275 | 7,325 | 11,280 |
| Shares redeemed | (3,902,703) | (7,435,118) | (3,904,318) | (7,438,548) |
| Net increase (decrease) | (273,387) | (90,296) | $(273,419) | $(90,320) |
| Class II | | | | |
| Shares sold | 46,398 | 88,992 | $46,415 | $89,024 |
| Reinvestment of distributions | 175 | 190 | 175 | 190 |
| Shares redeemed | (43,298) | (118,426) | (43,315) | (118,470) |
| Net increase (decrease) | 3,275 | (29,244) | $3,275 | $(29,256) |
| Class III | | | | |
| Shares sold | 2,093 | 8,262 | $2,093 | $8,265 |
| Reinvestment of distributions | 210 | 186 | 210 | 186 |
| Shares redeemed | (9,702) | (2,886) | (9,705) | (2,887) |
| Net increase (decrease) | (7,399) | 5,562 | $(7,402) | $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 | 31 | 430 | $32 | $431 |
| Reinvestment of distributions | 236 | 396 | 236 | 396 |
| Shares redeemed | (404) | (18,981) | (405) | (18,990) |
| Net increase (decrease) | (137) | (18,155) | $(137) | $(18,163) |
| Institutional Class | | | | |
| Shares sold | 53,822,058 | 61,720,399 | $53,840,609 | $61,741,607 |
| Reinvestment of distributions | 125,437 | 146,685 | 125,482 | 146,738 |
| Shares redeemed | (57,079,063) | (64,538,078) | (57,097,956) | (64,560,402) |
| Net increase (decrease) | (3,131,568) | (2,670,994) | $(3,131,865) | $(2,672,057) |
| Prime Reserves Portfolio | | | | |
| Class I | | | | |
| Shares sold | 5,060,469 | 4,314,991 | $5,062,070 | $4,316,094 |
| Reinvestment of distributions | 58,041 | 43,430 | 58,061 | 43,442 |
| Shares redeemed | (5,009,621) | (2,913,383) | (5,011,109) | (2,914,100) |
| Net increase (decrease) | 108,889 | 1,445,038 | $109,022 | $1,445,436 |
| Class II | | | | |
| Shares sold | 22,602 | 15,243 | $22,609 | $15,246 |
| Reinvestment of distributions | 262 | 116 | 263 | 116 |
| Shares redeemed | (22,916) | (414) | (22,922) | (414) |
| Net increase (decrease) | (52) | 14,945 | $(50) | $14,948 |
| Class III | | | | |
| Shares sold | 939 | 3,311 | $940 | $3,312 |
| Reinvestment of distributions | 23 | 46 | 23 | 46 |
| Shares redeemed | (3,010) | (310) | (3,011) | (310) |
| Net increase (decrease) | (2,048) | 3,047 | $(2,048) | $3,048 |
| Select Class | | | | |
| Shares sold | 13,648 | 10,080 | $13,656 | $10,083 |
| Reinvestment of distributions | 49 | 132 | 49 | 132 |
| Shares redeemed | (4,756) | (11,976) | (4,758) | (11,979) |
| Net increase (decrease) | 8,941 | (1,764) | $8,947 | $(1,764) |
| Institutional Class | | | | |
| Shares sold | 6,944,866 | 6,228,311 | $6,947,230 | $6,229,892 |
| Reinvestment of distributions | 84,040 | 65,958 | 84,067 | 65,975 |
| Shares redeemed | (7,682,195) | (4,584,674) | (7,684,351) | (4,585,801) |
| Net increase (decrease) | (653,289) | 1,709,595 | $(653,054) | $1,710,066 |
| Tax-Exempt Portfolio | | | | |
| Class I | | | | |
| Shares sold | 10,223,512 | 10,545,923 | $10,223,512 | $10,545,923 |
| Reinvestment of distributions | 77,215 | 69,305 | 77,215 | 69,305 |
| Shares redeemed | (10,846,125) | (7,990,114) | (10,846,125) | (7,990,114) |
| Net increase (decrease) | (545,398) | 2,625,114 | $(545,398) | $2,625,114 |
| Class II | | | | |
| Shares sold | 1,000 | 1,261 | $1,000 | $1,261 |
| Reinvestment of distributions | 5 | 5 | 5 | 5 |
| Shares redeemed | (1,000) | (1,261) | (1,000) | (1,261) |
| Net increase (decrease) | 5 | 5 | $5 | $5 |
| Class III | | | | |
| Shares sold | 8,882 | 57,855 | $8,882 | $57,855 |
| Reinvestment of distributions | 4 | 25 | 4 | 25 |
| Shares redeemed | (8,888) | (59,494) | (8,888) | (59,494) |
| Net increase (decrease) | (2) | (1,614) | $(2) | $(1,614) |
| Select Class | | | | |
| Shares sold | 4 | 29,139 | $4 | $29,139 |
| Reinvestment of distributions | 17 | 19 | 17 | 19 |
| Shares redeemed | (7,152) | (20,499) | (7,152) | (20,499) |
| Net increase (decrease) | (7,131) | 8,659 | $(7,131) | $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.
9. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Funds' performance.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Colchester Street Trust and the Shareholders of Treasury Only Portfolio, Treasury Portfolio, Government Portfolio, Money Market Portfolio, Prime Money Market Portfolio, Prime Reserves Portfolio and Tax-Exempt Portfolio :
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statements of assets and liabilities of Treasury Only Portfolio, Treasury Portfolio, Government Portfolio, Money Market Portfolio, Prime Money Market Portfolio, Prime Reserves Portfolio and Tax-Exempt Portfolio (the "Funds"), each a fund of Fidelity Colchester Street Trust, including the schedules of investments, as of March 31, 2020, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended for the Funds, except Prime Reserves Portfolio; the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the three years in the period then ended and from June 2, 2016 to March 31, 2017 for the Prime Reserves Portfolio; and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the Funds as of March 31, 2020, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended (or for the period mentioned above), in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of March 31, 2020, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ Deloitte & Touche LLP
Boston, Massachusetts
May 11, 2020
We have served as the auditor of one or more of the Fidelity investment companies since 1999.
Trustees and Officers
The Trustees, Members of the Advisory Board (if any), and officers of the trust and funds, as applicable, are listed below. The Board of Trustees governs each fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee each fund's activities, review contractual arrangements with companies that provide services to each fund, oversee management of the risks associated with such activities and contractual arrangements, and review each fund's performance. Each of the Trustees oversees 279 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the funds is referred to herein as an Independent Trustee. Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
Each fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-877-297-2952.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing each fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the funds, is provided below.
Board Structure and Oversight Function. Abigail P. Johnson is an interested person and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the funds. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Arthur E. Johnson serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The funds' Board oversees Fidelity's investment-grade bond, money market, asset allocation and certain equity funds, and other Boards oversee Fidelity's high income and other equity funds. The asset allocation funds may invest in Fidelity® funds that are overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity® funds overseen by each Board.
The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, each fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the funds' activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the funds' business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the funds are carried out by or through FMR, its affiliates, and other service providers, the funds' exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the funds' activities, oversight is exercised primarily through the Operations and Audit Committees. In addition, an ad hoc Board committee of Independent Trustees has worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board. The Operations Committee also worked and continues to work with FMR to enhance the stress tests required under SEC regulations for money market funds. Appropriate personnel, including but not limited to the funds' Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the funds' Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity® funds. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Abigail P. Johnson (1961)
Year of Election or Appointment: 2009
Trustee
Chairman of the Board of Trustees
Ms. Johnson also serves as Trustee of other Fidelity® funds. Ms. Johnson serves as Chairman (2016-present), Chief Executive Officer (2014-present), and Director (2007-present) of FMR LLC (diversified financial services company), President of Fidelity Financial Services (2012-present) and President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is Chairman and Director of Fidelity Management & Research Company LLC (investment adviser firm, 2011-present). Previously, Ms. Johnson served as Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-2019), Vice Chairman (2007-2016) and President (2013-2016) of FMR LLC, President and a Director of Fidelity Management & Research Company (2001-2005), a Trustee of other investment companies advised by Fidelity Management & Research Company, Fidelity Investments Money Management, Inc. (investment adviser firm), and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity® funds (2001-2005), and managed a number of Fidelity® funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related.
Jennifer Toolin McAuliffe (1959)
Year of Election or Appointment: 2016
Trustee
Ms. McAuliffe also serves as Trustee of other Fidelity® funds. Previously, Ms. McAuliffe served as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company), Director of Research for FIL’s credit and quantitative teams in London, Hong Kong and Tokyo and Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe previously served as a member of the Advisory Board of certain Fidelity® funds (2016). Ms. McAuliffe was previously a lawyer at Ropes & Gray LLP and currently serves as director or trustee of several not-for-profit entities.
* Determined to be an “Interested Trustee” by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for each fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Elizabeth S. Acton (1951)
Year of Election or Appointment: 2015
Trustee
Ms. Acton also serves as Trustee of other Fidelity® funds. Prior to her retirement, Ms. Acton served as Executive Vice President, Finance (2011-2012), Executive Vice President, Chief Financial Officer (2002-2011) and Treasurer (2004-2005) of Comerica Incorporated (financial services). Prior to joining Comerica, Ms. Acton held a variety of positions at Ford Motor Company (1983-2002), including Vice President and Treasurer (2000-2002) and Executive Vice President and Chief Financial Officer of Ford Motor Credit Company (1998-2000). Ms. Acton currently serves as a member of the Board and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). Ms. Acton previously served as a member of the Advisory Board of certain Fidelity® funds (2013-2016).
Ann E. Dunwoody (1953)
Year of Election or Appointment: 2018
Trustee
General Dunwoody also serves as Trustee of other Fidelity® funds. General Dunwoody (United States Army, Retired) was the first woman in U.S. military history to achieve the rank of four-star general and prior to her retirement in 2012 held a variety of positions within the U.S. Army, including Commanding General, U.S. Army Material Command (2008-2012). General Dunwoody currently serves as President of First to Four LLC (leadership and mentoring services, 2012-present), a member of the Board and Nomination and Corporate Governance Committees of Kforce Inc. (professional staffing services, 2016-present) and a member of the Board of Automattic Inc. (software engineering, 2018-present). Previously, General Dunwoody served as a member of the Advisory Board and Nominating and Corporate Governance Committee of L3 Technologies, Inc. (communication, electronic, sensor and aerospace systems, 2013-2019) and a member of the Board and Audit and Sustainability and Corporate Responsibility Committees of Republic Services, Inc. (waste collection, disposal and recycling, 2013-2016). Ms. Dunwoody also serves on several boards for non-profit organizations, including as a member of the Board, Chair of the Nomination and Governance Committee and a member of the Audit Committee of Logistics Management Institute (consulting non-profit, 2012-present), a member of the Council of Trustees for the Association of the United States Army (advocacy non-profit, 2013-present), a member of the Board of Florida Institute of Technology (2015-present) and a member of the Board of ThanksUSA (military family education non-profit, 2014-present). General Dunwoody previously served as a member of the Advisory Board of certain Fidelity® funds (2018).
John Engler (1948)
Year of Election or Appointment: 2015
Trustee
Mr. Engler also serves as Trustee of other Fidelity® funds. Previously, Mr. Engler served as Governor of Michigan (1991-2003), President of the Business Roundtable (2011-2017) and interim President of Michigan State University (2018-2019). Mr. Engler currently serves as a member of the Board of K12 Inc. (technology-based education company, 2012-present). Previously, Mr. Engler served as a member of the Board of Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-2019) and Trustee of The Munder Funds (2003-2014). Mr. Engler previously served as a member of the Advisory Board of certain Fidelity® funds (2014-2016).
Robert F. Gartland (1951)
Year of Election or Appointment: 2010
Trustee
Mr. Gartland also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007), including Managing Director (1987-2007) and Chase Manhattan Bank (1975-1978). Mr. Gartland previously served as Chairman and an investor in Gartland & Mellina Group Corp. (consulting, 2009-2019), as a member of the Board of National Securities Clearing Corporation (1993-1996) and as Chairman of TradeWeb (2003-2004).
Arthur E. Johnson (1947)
Year of Election or Appointment: 2008
Trustee
Chairman of the Independent Trustees
Mr. Johnson also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). Mr. Johnson currently serves as a member of the Board of Booz Allen Hamilton (management consulting, 2011-present). Mr. Johnson previously served as a member of the Board of Eaton Corporation plc (diversified power management, 2009-2019) and a member of the Board of AGL Resources, Inc. (holding company, 2002-2016). Mr. Johnson previously served as Vice Chairman (2015-2018) of the Independent Trustees of certain Fidelity® funds. Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson.
Michael E. Kenneally (1954)
Year of Election or Appointment: 2009
Trustee
Vice Chairman of the Independent Trustees
Mr. Kenneally also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Kenneally served as Chairman and Global Chief Executive Officer of Credit Suisse Asset Management and Executive Vice President and Chief Investment Officer of Bank of America Corporation. Earlier roles at Bank of America included Director of Research, Senior Portfolio Manager for various institutional equity accounts and mutual funds and Portfolio Manager for a number of institutional fixed-income clients. Mr. Kenneally began his career as a Research Analyst in 1983 and was awarded the Chartered Financial Analyst (CFA) designation in 1991.
Marie L. Knowles (1946)
Year of Election or Appointment: 2001
Trustee
Ms. Knowles also serves as Trustee of other Fidelity® funds. Prior to her retirement, Ms. Knowles held several positions at Atlantic Richfield Company (diversified energy), including Executive Vice President and Chief Financial Officer (1996-2000), Senior Vice President (1993-1996) and President of ARCO Transportation Company (pipeline and tanker operations, 1993-1996). Ms. Knowles currently serves as a member of the Board of McKesson Corporation (healthcare service, since 2002), a member of the Board of the Santa Catalina Island Company (real estate, 2009-present), a member of the Investment Company Institute Board of Governors and a member of the Governing Council of the Independent Directors Council (2014-present). Ms. Knowles also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. Ms. Knowles previously served as Chairman (2015-2018) and Vice Chairman (2012-2015) of the Independent Trustees of certain Fidelity® funds.
Mark A. Murray (1954)
Year of Election or Appointment: 2016
Trustee
Mr. Murray also serves as Trustee of other Fidelity® funds. Mr. Murray currently serves as Vice Chairman of Meijer, Inc. (regional retail chain, 2013-present). Previously, Mr. Murray served as Co-Chief Executive Officer (2013-2016) and President (2006-2013) of Meijer, Inc. Mr. Murray serves as a member of the Board and Nuclear Review and Public Policy and Responsibility Committees of DTE Energy Company (diversified energy company, 2009-present) and a member of the Board and Audit Committee and Chairman of the Nominating and Corporate Governance Committee of Universal Forest Products, Inc. (manufacturer and distributor of wood and wood-alternative products, 2004-2016). Mr. Murray previously served as a member of the Board of Spectrum Health (not-for-profit health system, 2015-2019). Mr. Murray also serves as a member of the Board of many community and professional organizations. Mr. Murray previously served as a member of the Advisory Board of certain Fidelity® funds (2016).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for each fund.
Advisory Board Members and Officers:
Correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Elizabeth Paige Baumann (1968)
Year of Election or Appointment: 2017
Anti-Money Laundering (AML) Officer
Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer (2012-present) and Senior Vice President (2014-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as AML Officer of certain funds (2017-2019), as AML Officer of the funds (2012-2016), and Vice President (2007-2014) and Deputy Anti-Money Laundering Officer (2007-2012) of FMR LLC.
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as Assistant Treasurer of other funds. Mr. Brown is an employee of Fidelity Investments (2013-present).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as Assistant Treasurer of other funds. Mr. Davis serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
President and Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato is an employee of Fidelity Investments (2017-present). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity® funds (2016-2020) and Assistant Treasurer of certain Fidelity® funds (2016-2018).
Cynthia Lo Bessette (1969)
Year of Election or Appointment: 2019
Secretary and Chief Legal Officer (CLO)
Ms. Lo Bessette also serves as an officer of other funds. Ms. Lo Bessette serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company LLC (investment adviser firm, 2019-present); and CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present). She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as CLO, Secretary, and Senior Vice President of FMR Co., Inc. (investment adviser firm, 2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2019). Prior to joining Fidelity Investments, Ms. Lo Bessette was Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).
Chris Maher (1972)
Year of Election or Appointment: 2013
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
John B. McGinty, Jr. (1962)
Year of Election or Appointment: 2016
Chief Compliance Officer
Mr. McGinty also serves as Chief Compliance Officer of other funds. Mr. McGinty is Senior Vice President of Asset Management Compliance for Fidelity Investments and is an employee of Fidelity Investments (2016-present). Previously, Mr. McGinty served as Chief Compliance Officer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2019). Prior to joining Fidelity Investments, Mr. McGinty served as Vice President, Senior Attorney at Eaton Vance Management (investment management firm, 2015-2016), and prior to Eaton Vance as global CCO for all firm operations and registered investment companies at GMO LLC (investment management firm, 2009-2015). Before joining GMO LLC, Mr. McGinty served as Senior Vice President, Deputy General Counsel for Fidelity Investments (2007-2009).
Jason P. Pogorelec (1975)
Year of Election or Appointment: 2015
Assistant Secretary
Mr. Pogorelec also serves as Assistant Secretary of other funds. Mr. Pogorelec serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2006-present).
Nancy D. Prior (1967)
Year of Election or Appointment: 2014
Vice President
Ms. Prior also serves as Vice President of other funds. Ms. Prior serves as President of Fixed Income (2014-present), and is an employee of Fidelity Investments (2002-present). Previously, Ms. Prior served as President (2016-2019) and Director (2014-2019) of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm), Vice President of Global Asset Allocation Funds (2017-2019); Vice Chairman of FIAM LLC (investment adviser firm, 2014-2018), a Director of FMR Investment Management (UK) Limited (investment adviser firm, 2015-2018), President Multi-Asset Class Strategies of FMR's Global Asset Allocation Division (2017-2018), Vice President of Fidelity's Money Market Funds (2012-2014), and President, Money Market and Short Duration Bond Group of Fidelity Management & Research Company (FMR) (investment adviser firm, 2013-2014).
Stacie M. Smith (1974)
Year of Election or Appointment: 2013
Assistant Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
Marc L. Spector (1972)
Year of Election or Appointment: 2016
Deputy Treasurer
Mr. Spector also serves as an officer of other funds. Mr. Spector serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche LLP (accounting firm, 2005-2013).
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as Assistant Treasurer of other funds. Mr. Wegmann is an employee of Fidelity Investments (2011-present).
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 (October 1, 2019 to March 31, 2020).
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
October 1, 2019 | Ending
Account Value
March 31, 2020 | Expenses Paid
During Period-B
October 1, 2019
to March 31, 2020 |
| Treasury Only Portfolio | | | | |
| Class I | .18% | | | |
| Actual | | $1,000.00 | $1,007.20 | $.90 |
| Hypothetical-C | | $1,000.00 | $1,024.10 | $.91 |
| Class II | .33% | | | |
| Actual | | $1,000.00 | $1,006.50 | $1.66 |
| Hypothetical-C | | $1,000.00 | $1,023.35 | $1.67 |
| Class III | .43% | | | |
| Actual | | $1,000.00 | $1,006.00 | $2.16 |
| Hypothetical-C | | $1,000.00 | $1,022.85 | $2.17 |
| Class IV | .68% | | | |
| Actual | | $1,000.00 | $1,004.70 | $3.41 |
| Hypothetical-C | | $1,000.00 | $1,021.60 | $3.44 |
| Select Class | .23% | | | |
| Actual | | $1,000.00 | $1,007.00 | $1.15 |
| Hypothetical-C | | $1,000.00 | $1,023.85 | $1.16 |
| Institutional Class | .14% | | | |
| Actual | | $1,000.00 | $1,007.40 | $.70 |
| Hypothetical-C | | $1,000.00 | $1,024.30 | $.71 |
| Treasury 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 |
| Class IV | .67% | | | |
| Actual | | $1,000.00 | $1,004.70 | $3.36 |
| Hypothetical-C | | $1,000.00 | $1,021.65 | $3.39 |
| Select Class | .23% | | | |
| Actual | | $1,000.00 | $1,006.90 | $1.15 |
| Hypothetical-C | | $1,000.00 | $1,023.85 | $1.16 |
| Institutional Class | .14% | | | |
| Actual | | $1,000.00 | $1,007.30 | $.70 |
| Hypothetical-C | | $1,000.00 | $1,024.30 | $.71 |
| Government Portfolio | | | | |
| Class I | .18% | | | |
| Actual | | $1,000.00 | $1,007.20 | $.90 |
| Hypothetical-C | | $1,000.00 | $1,024.10 | $.91 |
| Class II | .33% | | | |
| Actual | | $1,000.00 | $1,006.50 | $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 | $1,007.00 | $1.15 |
| Hypothetical-C | | $1,000.00 | $1,023.85 | $1.16 |
| Institutional Class | .14% | | | |
| Actual | | $1,000.00 | $1,007.40 | $.70 |
| Hypothetical-C | | $1,000.00 | $1,024.30 | $.71 |
| Money Market Portfolio | | | | |
| Class I | .18% | | | |
| Actual | | $1,000.00 | $1,008.40 | $.90 |
| Hypothetical-C | | $1,000.00 | $1,024.10 | $.91 |
| Class II | .33% | | | |
| Actual | | $1,000.00 | $1,007.60 | $1.66 |
| Hypothetical-C | | $1,000.00 | $1,023.35 | $1.67 |
| Class III | .43% | | | |
| Actual | | $1,000.00 | $1,007.10 | $2.16 |
| Hypothetical-C | | $1,000.00 | $1,022.85 | $2.17 |
| Select Class | .23% | | | |
| Actual | | $1,000.00 | $1,008.10 | $1.15 |
| Hypothetical-C | | $1,000.00 | $1,023.85 | $1.16 |
| Institutional Class | .14% | | | |
| Actual | | $1,000.00 | $1,008.60 | $.70 |
| Hypothetical-C | | $1,000.00 | $1,024.30 | $.71 |
| Prime Money Market Portfolio | | | | |
| Class I | .18% | | | |
| Actual | | $1,000.00 | $1,007.80 | $.90 |
| Hypothetical-C | | $1,000.00 | $1,024.10 | $.91 |
| Class II | .33% | | | |
| Actual | | $1,000.00 | $1,007.10 | $1.66 |
| Hypothetical-C | | $1,000.00 | $1,023.35 | $1.67 |
| Class III | .43% | | | |
| Actual | | $1,000.00 | $1,006.60 | $2.16 |
| Hypothetical-C | | $1,000.00 | $1,022.85 | $2.17 |
| Class IV | .68% | | | |
| Actual | | $1,000.00 | $1,005.30 | $3.41 |
| Hypothetical-C | | $1,000.00 | $1,021.60 | $3.44 |
| Select Class | .23% | | | |
| Actual | | $1,000.00 | $1,007.60 | $1.15 |
| Hypothetical-C | | $1,000.00 | $1,023.85 | $1.16 |
| Institutional Class | .14% | | | |
| Actual | | $1,000.00 | $1,008.00 | $.70 |
| Hypothetical-C | | $1,000.00 | $1,024.30 | $.71 |
| Prime Reserves Portfolio | | | | |
| Class I | .18% | | | |
| Actual | | $1,000.00 | $1,007.90 | $.90 |
| Hypothetical-C | | $1,000.00 | $1,024.10 | $.91 |
| Class II | .33% | | | |
| Actual | | $1,000.00 | $1,007.10 | $1.66 |
| Hypothetical-C | | $1,000.00 | $1,023.35 | $1.67 |
| Class III | .43% | | | |
| Actual | | $1,000.00 | $1,006.70 | $2.16 |
| Hypothetical-C | | $1,000.00 | $1,022.85 | $2.17 |
| Select Class | .23% | | | |
| Actual | | $1,000.00 | $1,007.60 | $1.15 |
| Hypothetical-C | | $1,000.00 | $1,023.85 | $1.16 |
| Institutional Class | .14% | | | |
| Actual | | $1,000.00 | $1,008.10 | $.70 |
| Hypothetical-C | | $1,000.00 | $1,024.30 | $.71 |
| Tax-Exempt Portfolio | | | | |
| Class I | .18% | | | |
| Actual | | $1,000.00 | $1,006.40 | $.90 |
| Hypothetical-C | | $1,000.00 | $1,024.10 | $.91 |
| Class II | .33% | | | |
| Actual | | $1,000.00 | $1,005.70 | $1.65 |
| Hypothetical-C | | $1,000.00 | $1,023.35 | $1.67 |
| Class III | .43% | | | |
| Actual | | $1,000.00 | $1,005.20 | $2.16 |
| Hypothetical-C | | $1,000.00 | $1,022.85 | $2.17 |
| Select Class | .23% | | | |
| Actual | | $1,000.00 | $1,006.20 | $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
Distributions (Unaudited)
The funds hereby designate as capital gain dividend the amounts noted below for the taxable year ended March 31, 2020, or, if subsequently determined to be different, the net capital gain of such year.
| Tax-Exempt Portfolio | $285,512 |
|
A percentage of the dividends distributed during the fiscal year for the following funds were derived from interest on U.S. Government securities which is generally exempt from state income tax:
| Treasury Only Portfolio | 100.0% |
| Treasury Portfolio | 33.70% |
| Government Portfolio | 46.65% |
| Money Market Portfolio | 1.61% |
| Prime Money Market Portfolio | 4.96% |
| Prime Reserves Portfolio | 2.80% |
|
The funds hereby designate the amounts noted below as distributions paid during the period January 1, 2020 to March 31, 2020 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders:
| Treasury Only Portfolio | $94,532,880 |
| Treasury Portfolio | $72,171,188 |
| Government Portfolio | $354,535,950 |
| Money Market Portfolio | $144,119,060 |
| Prime Money Market Portfolio | $18,417,009 |
| Prime Reserves Portfolio | $18,864,979 |
|
During fiscal year ended 2020, 100% of Tax-Exempt Portfolio's income dividends were free from federal income tax, and 0.00% of the fund's income dividends were subject to the federal alternative minimum tax.
The funds will notify shareholders in January 2021 of amounts for use in preparing 2020 income tax returns.
IMM-ANN-0520
1.701843.122
