UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D. C. 20549
FORM N-CSRS
Investment Company Act file number | 811-03495 |
DWS Money Market Trust
(Exact Name of Registrant as Specified in Charter)
345 Park Avenue
New York, NY 10154-0004
(Address of Principal Executive Offices) (Zip Code)
Registrant’s Telephone Number, including Area Code: (212) 454-7190
Paul Schubert
345 Park Avenue
New York, NY 10154-0004
(Name and Address of Agent for Service)
Date of fiscal year end: | 12/31 |
Date of reporting period: | 6/30/2010 |
ITEM 1. | REPORT TO STOCKHOLDERS |
| |
JUNE 30, 2010 Semiannual Report
to Shareholders |
|
DWS Money Market Series |
 |
Contents
DWS Money Market Series 5 Information About Your Fund's Expenses 7 Portfolio Summary 8 Statement of Assets and Liabilities 9 Statement of Operations 10 Statement of Changes in Net Assets 11 Financial Highlights 12 Notes to Financial Statements Cash Management Portfolio 17 Investment Portfolio 30 Statement of Assets and Liabilities 31 Statement of Operations 32 Statement of Changes in Net Assets 33 Financial Highlights 34 Notes to Financial Statements 38 Summary of Management Fee Evaluation by Independent Fee Consultant 43 Account Management Resources 45 Privacy Statement |
This report must be preceded or accompanied by a prospectus. To obtain a summary prospectus, if available, or prospectus for any of our funds, refer to the Account Management Resources information provided in the back of this booklet. We advise you to consider the fund's objectives, risks, charges and expenses carefully before investing. The summary prospectus and prospectus contain this and other important information about the fund. Please read the prospectus carefully before you invest.
An investment in this fund is not insured or guaranteed by the Federal Deposit Insurance Corporation (FDIC) or by any other government agency. Although the fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the fund. The share price of money market funds can fall below the $1.00 share price. You should not rely on or expect the Advisor to enter into support agreements or take other actions to maintain the fund's $1.00 share price. The credit quality of the fund's holdings can change rapidly in certain markets, and the default of a single holding could have an adverse impact on the fund's share price. The fund's share price can also be negatively affected during periods of high redemption pressures and/or illiquid markets. The actions of a few large investors of the fund may have a significant adverse effect on the price of the fund. See the prospectus for specific details regarding the fund's risk profile.
DWS Investments is part of Deutsche Bank's Asset Management division and, within the US, represents the retail asset management activities of Deutsche Bank AG, Deutsche Bank Trust Company Americas, Deutsche Investment Management Americas Inc. and DWS Trust Company.
NOT FDIC/NCUA INSURED NO BANK GUARANTEE MAY LOSE VALUE NOT A DEPOSIT NOT INSURED BY ANY FEDERAL GOVERNMENT AGENCY
Information About Your Fund's Expenses
As an investor of the Fund, you incur two types of costs: ongoing expenses and transaction costs. Ongoing expenses include management fees and other Fund expenses. Examples of transaction costs include sales charges (loads), redemption fees and account maintenance fees, which are not shown in this section. The following tables are intended to help you understand your ongoing expenses (in dollars) of investing in the Fund and to help you compare these expenses with the ongoing expenses of investing in other mutual funds. In the most recent six-month period, the Fund limited these expenses; had it not done so, expenses would have been higher. The example in the table is based on an investment of $1,000 invested at the beginning of the six-month period and held for the entire period (January 1, 2010 to June 30, 2010).
The tables illustrate your Fund's expenses in two ways:
• Actual Fund Return. This helps you estimate the actual dollar amount of ongoing expenses (but not transaction costs) paid on a $1,000 investment in the Fund using the Fund's actual return during the period. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the "Expenses Paid per $1,000" line under the share class you hold.
• Hypothetical 5% Fund Return. This helps you to compare your Fund's ongoing expenses (but not transaction costs) with those of other mutual funds using the Fund's actual expense ratio and a hypothetical rate of return of 5% per year before expenses. Examples using a 5% hypothetical fund return may be found in the shareholder reports of other mutual funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period.
Please note that the expenses shown in these tables are meant to highlight your ongoing expenses only and do not reflect any transaction costs. The "Expenses Paid per $1,000" line of the tables is useful in comparing ongoing expenses only and will not help you determine the relative total expense of owning different funds. If these transaction costs had been included, your costs would have been higher.
Expenses and Value of a $1,000 Investment for the six months ended June 30, 2010 |
Actual Fund Return* | Institutional Shares |
Beginning Account Value 1/1/10 | $ 1,000.00 |
Ending Account Value 6/30/10 | $ 1,000.70 |
Expenses Paid per $1,000** | $ .74 |
Hypothetical 5% Fund Return* | Institutional Shares |
Beginning Account Value 1/1/10 | $ 1,000.00 |
Ending Account Value 6/30/10 | $ 1,024.05 |
Expenses Paid per $1,000** | $ .75 |
* Expenses include amounts allocated proportionally from the master portfolio.
** Expenses are equal to the Fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by 365.
Annualized Expense Ratio | Institutional Shares |
DWS Money Market Series | .15% |
For more information, please refer to the Fund's prospectus.
Portfolio Summary
Asset Allocation (As a % of Investment Portfolio) | 6/30/10 | 12/31/09 |
| | |
Commercial Paper | 35% | 47% |
Time Deposits | 18% | 10% |
Certificates of Deposit and Bank Notes | 17% | 21% |
Short-Term Notes | 13% | 11% |
Government & Agency Obligations | 10% | 6% |
Municipal Bonds and Notes | 4% | 5% |
Repurchase Agreements | 2% | — |
Supranational | 1% | — |
| 100% | 100% |
Weighted Average Maturity | | |
| | |
DWS Money Market Series | 30 days | 46 days |
First Tier Institutional Money Fund Average* | 31 days | 42 days |
* The Fund is compared to its respective iMoneyNet Category: First Tier Institutional Money Fund Average — Category includes a widely recognized composite of money market funds that invest in only first tier (highest rating) securities. Portfolio Holdings of First Tier funds include US Treasury, US Other, Repos, Time Deposits, Domestic Bank Obligations, Foreign Bank Obligations, First Tier Commercial Paper, Floating Rate Notes and Asset Backed Commercial Paper.
Weighted average maturity, also known as effective maturity, is the weighted average of the bonds held by the Fund taking into consideration any maturity shortening features.
Asset allocation and weighted average maturity are subject to change.
For more complete details about the Portfolio's holdings, see page 17. A quarterly Fact Sheet is available upon request. Please see the Account Management Resources section for contact information.
Following the Fund's fiscal first and third quarter-end, a complete portfolio holdings listing is filed with the SEC on Form N-Q. The form will be available on the SEC's Web site at www.sec.gov, and it also may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. Information on the operation of the SEC's Public Reference Room may be obtained by calling (800) SEC-0330. A complete list of the Portfolio's holdings is also posted on www.dws-investments.com from time to time. Please see the Fund's current prospectus for more information.
Statement of Assets and Liabilities
as of June 30, 2010 (Unaudited) |
Assets |
Investments in Cash Management Portfolio, at value | $ 20,617,564,799 |
Receivable for Fund shares sold | 424,098 |
Due from Advisor | 191,421 |
Other assets | 27,378 |
Total assets | 20,618,207,696 |
Liabilities |
Distributions payable | 1,050,096 |
Payable for Fund shares redeemed | 567,426 |
Other accrued expenses and payables | 309,574 |
Total liabilities | 1,927,096 |
Net assets, at value | $ 20,616,280,600 |
Net Assets Consist of |
Accumulated net realized gain (loss) | (3,272,331) |
Paid-in capital | 20,619,552,931 |
Net assets, at value | $20,616,280,600 |
Net Asset Value |
Institutional Shares Net Asset Value, offering and redemption price per share ($20,616,280,600 ÷ 20,619,630,594 outstanding shares of beneficial interest, $.001 par value, unlimited number of shares authorized) | $ 1.00 |
The accompanying notes are an integral part of the financial statements.
Statement of Operations
for the six months ended June 30, 2010 (Unaudited) |
Investment Income | |
Income and expenses allocated from Cash Management Portfolio: Interest | 37,047,403 |
Expenses* | (19,502,403) |
Net investment income allocated from Cash Management Portfolio | 17,545,000 |
Expenses: Administration fee | 12,998,549 |
Services to shareholders | 835,634 |
Professional fees | 12,015 |
Registration fees | 206,988 |
Trustees' fees and expenses | 18,827 |
Reports to shareholders | 38,450 |
Other | 146,584 |
Total expenses before expense reductions | 14,257,047 |
Expense reductions | (14,257,047) |
Total expenses after expense reductions | — |
Net investment income | 17,545,000 |
Net realized gain (loss) allocated from Cash Management Portfolio | (2,690,776) |
Net increase (decrease) in net assets resulting from operations | $ 14,854,224 |
* Net of $2,534,631 Advisor reimbursement allocated from Cash Management Portfolio for the six months ended June 30, 2010.
The accompanying notes are an integral part of the financial statements.
Statement of Changes in Net Assets
Increase (Decrease) in Net Assets | Six Months Ended June 30, 2010
(Unaudited) | Year Ended December 31, 2009 |
Operations: Net investment income | $ 17,545,000 | $ 91,167,303 |
Net realized gain (loss) | (2,690,776) | 2,132,668 |
Net increase (decrease) in net assets resulting from operations | 14,854,224 | 93,299,971 |
Distributions to shareholders from: Net investment income: Institutional Shares | (17,545,000) | (94,637,731) |
Fund share transactions: Proceeds from shares sold | 128,759,501,455 | 201,274,849,346 |
Reinvestment of distributions | 9,561,385 | 53,854,707 |
Cost of shares redeemed | (140,132,075,077) | (189,202,323,584) |
Net increase (decrease) in net assets from Fund share transactions | (11,363,012,237) | 12,126,380,469 |
Increase (decrease) in net assets | (11,365,703,013) | 12,125,042,709 |
Net assets at beginning of period | 31,981,983,613 | 19,856,940,904 |
Net assets at end of period (including undistributed net investment income of $0 and $0, respectively) | $ 20,616,280,600 | $ 31,981,983,613 |
The accompanying notes are an integral part of the financial statements.
Financial Highlights
Institutional Shares Years Ended December 31, | 2010a | 2009 | 2008 | 2007b | 2007d | 2006d | 2005d |
Selected Per Share Data |
Net asset value, beginning of period | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 |
Income from investment operations: Net investment income | .001 | .004 | .028 | .030 | .052 | .039 | .020 |
Net realized gain (loss)*** | — | — | — | — | — | — | — |
Total from investment operations | .001 | .004 | .028 | .030 | .052 | .039 | .020 |
Less distributions from: Net investment income | (.001) | (.004) | (.028) | (.030) | (.052) | (.039) | (.020) |
Net asset value, end of period | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 |
Total Return (%)c | .07** | .44 | 2.80 | 3.08** | 5.37 | 4.02 | 1.98 |
Ratios to Average Net Assets and Supplemental Data |
Net assets, end of period ($ millions) | 20,616 | 31,982 | 19,857 | 21,262 | 17,469 | 8,637 | 12,214 |
Ratio of expenses before expense reductions, including expenses allocated from Cash Management Portfolio (%)e | .28* | .30 | .29 | .26* | .24 | .28 | .27 |
Ratio of expenses after expense reductions, including expenses allocated from Cash Management Portfolio (%)e | .15* | .17 | .14 | .12* | .10 | .12 | .13 |
Ratio of net investment income (%) | .14* | .39 | 2.83 | 5.18* | 5.26 | 3.89 | 1.99 |
a For the six months ended June 30, 2010 (Unaudited). b For the period from June 1, 2007 through December 31, 2007. c Total returns would have been lower had certain expenses not been reduced. d For the years ended May 31. e On July 30, 2007, DWS Money Market Series became a feeder of Cash Management Portfolio. Expense ratios disclosed prior to December 31, 2007 are for DWS Money Market Series as a stand-alone fund. * Annualized ** Not annualized *** Amount is less than $.0005. |
Notes to Financial Statements (Unaudited)
A. Organization and Significant Accounting Policies
DWS Money Market Series (the "Fund") is a diversified investment portfolio of DWS Money Market Trust (the "Trust"), which is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company organized as a Massachusetts business trust.
The Fund, a feeder fund, seeks to achieve its investment objective by investing all of its investable assets in a master portfolio, the Cash Management Portfolio (the "Portfolio''), an open-end management investment company registered under the 1940 Act and organized as a New York Trust advised by Deutsche Investment Management Americas Inc. ("DIMA" or the "Advisor''), an indirect, wholly owned subsidiary of Deutsche Bank AG. A master/feeder fund structure is one in which a fund (a "feeder fund"), instead of investing directly in a portfolio of securities, invests most or all of its investment assets in a separate registered investment company (the "master fund") with substantially the same investment objective and policies as the feeder fund. Such a structure permits the pooling of assets of two or more feeder funds, preserving separate identities or distribution channels at the feeder fund level. At June 30, 2010, the Fund owned approximately 72% of the Portfolio.
The Fund's financial statements are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates. Actual results could differ from those estimates. The policies described below are followed consistently by the Fund in the preparation of its financial statements. The financial statements of the Portfolio, including the Investment Portfolio, are contained elsewhere in this report and should be read in conjunction with the Fund's financial statements.
Security Valuation. The Fund records its investment in the Portfolio at value, which reflects its proportionate interest in the net assets of the Portfolio. Valuation of the securities held by the Portfolio is discussed in the notes to the Portfolio's financial statements included elsewhere in this report.
Disclosure about the classification of fair value measurements is included in a table following the Portfolio's Investment Portfolio.
Federal Income Taxes. The Fund's policy is to comply with the requirements of the Internal Revenue Code, as amended, which are applicable to regulated investment companies and to distribute all of its taxable income to its shareholders.
At December 31, 2009, the Fund had a net tax basis capital loss carryforward of approximately $582,000, which may be applied against any realized net taxable capital gains of each succeeding year until fully utilized December 31, 2016 (the expiration date), whichever occurs first.
The Fund has reviewed the tax positions for the open tax years as of December 31, 2009 and has determined that no provision for income tax is required in the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal periods/years remain open subject to examination by the Internal Revenue Service.
Distribution of Income and Gains. Net investment income of the Fund is declared as a daily dividend and is distributed to shareholders monthly. The Fund may take into account capital gains and losses in its daily dividend declarations. The Fund may also make additional distributions for tax purposes if necessary.
Permanent book and tax differences relating to shareholder distributions will result in reclassifications to paid in capital. Temporary book and tax differences will reverse in a subsequent period. There were no significant book to tax differences for the Fund.
The tax character of current year distributions will be determined at the end of the current fiscal year.
Contingencies. In the normal course of business, the Fund may enter into contracts with service providers that contain general indemnification clauses. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet been made. However, based on experience, the Fund expects the risk of loss to be remote.
Other. The Fund receives a daily allocation of the Portfolio's net investment income and net realized gains and losses in proportion to its investment in the Portfolio. Expenses directly attributed to a fund are charged to that fund, while expenses which are attributable to the Trust are allocated among the funds in the Trust on the basis of relative net assets.
B. Fees and Transactions with Affiliates
Management Agreement. Under the Investment Management Agreement with Deutsche Investment Management Americas Inc. ("DIMA" or the "Advisor"), an indirect, wholly owned subsidiary of Deutsche Bank AG, the Advisor serves as the Investment Manager to the Fund. The Advisor receives a management fee from the Portfolio pursuant to the master/feeder structure listed above in Note A.
Pursuant to the Investment Management Agreement, the Fund pays no management fee to the Advisor so long as the Fund is a feeder fund that invests substantially all of its assets in the Portfolio. In the event the Board of Trustees determines it is in the best interest of the Fund to withdraw its investment from the Portfolio, the Advisor may become responsible for directly managing the assets of the Fund under the Investment Management Agreement. In such event, the Fund would pay the Advisor a management fee as follows:
First $1.5 billion of the Fund's average daily net assets | .1500% |
Next $1.75 billion of such net assets | .1500% |
Next $1.75 billion of such net assets | .1350% |
Over $5 billion of such net assets | .1200% |
Administration Fee. Pursuant to an Administrative Services Agreement, DIMA provides most administrative services to the Fund. For all services provided under the Administrative Services Agreement, the Fund pays the Advisor an annual fee ("Administration Fee") of 0.10% of the Fund's average daily net assets, computed and accrued daily and payable monthly.
For the period from January 1, 2010 through July 29, 2010, DIMA has contractually agreed to waive its fees and/or reimburse certain operating expenses of the Fund, including expenses of the Portfolio, to the extent necessary to maintain the operating expenses (excluding certain expenses such as extraordinary expenses, taxes, brokerage and interest) at 0.15%.
Effective from July 30, 2010 through September 30, 2010, DIMA has contractually agreed to waive its fees and/or reimburse certain operating expenses of the Fund, including expenses of the Portfolio, to the extent necessary to maintain the operating expenses (excluding certain expenses such as extraordinary expenses, taxes, brokerage and interest) at 0.18%.
Accordingly, for the six months ended June 30, 2010, the Administration Fee was $12,998,549, all of which was waived.
In addition, for the six months ended June 30, 2010, the Advisor reimbursed the Fund $536,226 of other expenses.
Service Provider Fees. DWS Investments Service Company ("DISC"), an affiliate of the Advisor, is the transfer agent, dividend-paying agent and shareholder service agent of the Fund. Pursuant to a sub-transfer agency agreement between DISC and DST Systems. Inc. ("DST"), DISC has delegated certain transfer agent, dividend-paying agent and shareholder service agent functions to DST. DISC compensates DST out of the shareholder servicing fee it receives from the Fund. For the six months ended June 30, 2010, the amounts charged to the Fund by DISC aggregated $722,272, all of which was waived.
Typesetting and Filing Service Fees. Under an agreement with DIMA, DIMA is compensated for providing typesetting and certain regulatory filing services to the Fund. For the six months ended June 30, 2010, the amount charged to the Fund by DIMA included in the Statement of Operations under "reports to shareholders" aggregated $11,641, of which $10,337 is unpaid.
Trustees' Fees and Expenses. The Fund paid each Trustee not affiliated with the Advisor retainer fees plus specified amounts for various committee services and for the Board Chairperson.
C. Share Transactions
The following table summarizes share and dollar activity in the Fund:
| Six Months Ended June 30, 2010 | Year Ended December 31, 2009 |
| Shares | Dollars | Shares | Dollars |
Shares sold |
Institutional Shares | 128,759,501,455 | $ 128,759,501,455 | 201,274,849,346 | $ 201,274,849,346 |
| | $ 128,759,501,455 | | $ 201,274,849,346 |
Shares issued to shareholders in reinvestment of distributions |
Institutional Shares | 9,561,385 | $ 9,561,385 | 53,854,707 | $ 53,854,707 |
| | $ 9,561,385 | | $ 53,854,707 |
Shares redeemed |
Institutional Shares | (140,132,075,077) | $ (140,132,075,077) | (189,202,323,584) | $ (189,202,323,584) |
| | $ (140,132,075,077) | | $ (189,202,323,584) |
Net increase (decrease) |
Institutional Shares | (11,363,012,237) | $ (11,363,012,237) | 12,126,380,469 | $ 12,126,380,469 |
| | $ (11,363,012,237) | | $ 12,126,380,469 |
D. Review for Subsequent Events
Management has evaluated the events and transactions subsequent to period end through the date the financial statements were available to be issued, and has determined that there were no material events that would require disclosure in the Fund's financial statements.
(The following financial statements of the Cash Management Portfolio should be read in conjunction with the Fund's financial statements.)
Investment Portfolio as of June 30, 2010 (Unaudited)
| Principal Amount ($) | Value ($) |
| |
Certificates of Deposit and Bank Notes 16.9% |
Bank of Nova Scotia: |
| 0.28%, 8/2/2010 | 50,000,000 | 49,999,556 |
| 0.46%, 8/31/2010 | 42,000,000 | 42,002,131 |
Bank of Tokyo-Mitsubishi UFJ Ltd.: |
| 0.3%, 7/13/2010 | 28,000,000 | 28,000,000 |
| 0.3%, 7/19/2010 | 150,000,000 | 150,000,000 |
| 0.32%, 7/21/2010 | 50,000,000 | 50,000,000 |
| 0.39%, 7/23/2010 | 125,000,000 | 125,000,000 |
| 0.45%, 7/30/2010 | 35,000,000 | 35,000,282 |
Credit Agricole SA: |
| 0.35%, 8/2/2010 | 200,000,000 | 200,000,000 |
| 0.54%, 8/6/2010 | 300,000,000 | 300,000,000 |
Credit Industriel et Commercial, 0.445%, 7/21/2010 | 157,000,000 | 157,000,000 |
Dexia Credit Local, 0.45%, 7/6/2010 | 115,000,000 | 115,000,000 |
DnB NOR Bank ASA, 0.46%, 8/24/2010 | 112,400,000 | 112,400,000 |
Intesa Sanpaolo SpA: |
| 0.3%, 8/2/2010 | 100,000,000 | 100,000,000 |
| 0.33%, 7/7/2010 | 275,000,000 | 275,000,000 |
KBC Bank NV: |
| 0.5%, 7/15/2010 | 200,000,000 | 200,000,000 |
| 0.52%, 7/23/2010 | 93,500,000 | 93,500,000 |
| 0.6%, 8/16/2010 | 80,000,000 | 80,000,000 |
| 0.6%, 8/24/2010 | 300,000,000 | 300,000,000 |
| 0.66%, 8/17/2010 | 175,000,000 | 175,000,000 |
Landeskreditbank Baden-Wuerttemberg Foerderbank, 4.25%, 9/15/2010 | 113,000,000 | 113,889,471 |
Mizuho Corporate Bank Ltd.: |
| 0.42%, 7/12/2010 | 65,000,000 | 65,000,000 |
| 0.5%, 10/4/2010 | 150,000,000 | 150,000,000 |
Natixis: |
| 0.37%, 7/6/2010 | 100,000,000 | 100,000,139 |
| 0.44%, 8/17/2010 | 169,500,000 | 169,500,000 |
| 0.53%, 8/2/2010 | 170,000,000 | 170,000,000 |
Nordea Bank Finland PLC: |
| 0.31%, 8/4/2010 | 100,000,000 | 100,000,000 |
| 0.45%, 8/24/2010 | 140,000,000 | 140,000,000 |
| 0.75%, 9/23/2010 | 75,500,000 | 75,500,000 |
NRW.Bank, 5.375%, 7/19/2010 | 25,000,000 | 25,062,000 |
Skandinaviska Enskilda Banken AB, 0.4%, 7/15/2010 | 257,750,000 | 257,750,000 |
Sumitomo Mitsui Banking Corp.: |
| 0.41%, 7/8/2010 | 123,000,000 | 123,000,000 |
| 0.42%, 7/7/2010 | 84,700,000 | 84,700,000 |
| 0.42%, 7/12/2010 | 150,000,000 | 150,000,000 |
Svensk Exportkredit AB, 4.5%, 9/27/2010 | 30,000,000 | 30,276,424 |
Svenska Handelsbanken AB: |
| 0.45%, 9/23/2010 | 55,000,000 | 55,001,282 |
| 0.46%, 8/24/2010 | 316,000,000 | 316,000,000 |
UBS AG, 0.56%, 10/1/2010 | 125,000,000 | 125,000,000 |
Total Certificates of Deposit and Bank Notes (Cost $4,838,581,285) | 4,838,581,285 |
|
Commercial Paper 35.0% |
Issued at Discount** |
Alpine Securitization, 144A, 0.35%, 7/9/2010 | 200,000,000 | 199,984,444 |
Amstel Funding Corp.: |
| 0.55%, 7/26/2010 | 58,000,000 | 57,977,847 |
| 0.57%, 8/23/2010 | 15,000,000 | 14,987,413 |
| 0.65%, 7/26/2010 | 147,800,000 | 147,733,285 |
Argento Variable Funding: |
| 144A, 0.34%, 7/23/2010 | 89,350,000 | 89,331,435 |
| 144A, 0.39%, 8/24/2010 | 150,800,000 | 150,711,782 |
| 144A, 0.4%, 8/24/2010 | 100,000,000 | 99,940,000 |
AT&T, Inc., 0.19%, 7/13/2010 | 100,000,000 | 99,993,667 |
BPCE SA: |
| 0.41%, 8/4/2010 | 161,500,000 | 161,437,464 |
| 0.64%, 9/24/2010 | 100,000,000 | 99,848,889 |
Cancara Asset Securitisation LLC: |
| 144A, 0.31%, 7/19/2010 | 79,000,000 | 78,987,755 |
| 144A, 0.56%, 9/7/2010 | 65,000,000 | 64,931,244 |
Citibank Credit Card Issuance Trust, 144A, 0.39%, 7/6/2010 | 95,000,000 | 94,994,854 |
Danske Corp.: |
| 144A, 0.42%, 7/26/2010 | 150,000,000 | 149,956,250 |
| 144A, 0.6%, 10/25/2010 | 140,000,000 | 139,729,333 |
DnB NOR Bank ASA, 0.2%, 7/6/2010 | 6,291,000 | 6,290,825 |
ENI Finance USA, Inc., 0.38%, 7/15/2010 | 125,000,000 | 124,981,528 |
Fairway Finance LLC, 144A, 0.48%, 9/7/2010 | 2,105,000 | 2,103,091 |
General Electric Capital Corp.: |
| 0.37%, 8/18/2010 | 175,000,000 | 174,913,667 |
| 0.46%, 9/7/2010 | 150,000,000 | 149,869,667 |
| 0.48%, 9/8/2010 | 100,000,000 | 99,908,000 |
| 0.52%, 10/14/2010 | 123,000,000 | 122,813,450 |
General Electric Capital Services, Inc.: |
| 0.45%, 9/23/2010 | 100,000,000 | 99,895,000 |
| 0.52%, 10/15/2010 | 100,000,000 | 99,846,889 |
Grampian Funding LLC: |
| 144A, 0.31%, 7/12/2010 | 100,000,000 | 99,990,528 |
| 144A, 0.32%, 7/1/2010 | 75,000,000 | 75,000,000 |
| 144A, 0.32%, 7/21/2010 | 75,000,000 | 74,986,667 |
| 144A, 0.32%, 7/22/2010 | 54,000,000 | 53,989,920 |
| 144A, 0.45%, 7/27/2010 | 100,000,000 | 99,967,500 |
| 144A, 0.49%, 8/2/2010 | 305,000,000 | 304,867,155 |
Hannover Funding Co., LLC: |
| 0.37%, 7/22/2010 | 56,350,000 | 56,337,838 |
| 0.5%, 7/23/2010 | 28,000,000 | 27,991,444 |
| 0.52%, 8/3/2010 | 27,700,000 | 27,686,796 |
| 0.52%, 8/19/2010 | 73,000,000 | 72,948,332 |
ING (US) Funding LLC, 0.3%, 7/1/2010 | 5,000,000 | 5,000,000 |
Johnson & Johnson: |
| 144A, 0.17%, 8/5/2010 | 47,500,000 | 47,492,149 |
| 144A, 0.22%, 7/1/2010 | 100,000,000 | 100,000,000 |
| 144A, 0.22%, 8/2/2010 | 100,000,000 | 99,980,444 |
| 144A, 0.29%, 8/9/2010 | 50,000,000 | 49,984,292 |
JPMorgan Chase & Co., 0.25%, 7/26/2010 | 182,750,000 | 182,718,273 |
KBC Financial Products International Ltd.: |
| 144A, 0.45%, 7/23/2010 | 50,000,000 | 49,986,250 |
| 144A, 0.49%, 7/26/2010 | 46,548,000 | 46,532,161 |
| 144A, 0.5%, 8/9/2010 | 50,000,000 | 49,972,917 |
| 144A, 0.5%, 8/10/2010 | 38,500,000 | 38,478,611 |
Liberty Street Funding LLC, 144A, 0.34%, 7/1/2010 | 42,000,000 | 42,000,000 |
LMA Americas LLC, 144A, 0.4%, 7/20/2010 | 40,000,000 | 39,991,556 |
Microsoft Corp.: |
| 0.18%, 7/28/2010 | 25,000,000 | 24,996,625 |
| 0.19%, 7/21/2010 | 72,000,000 | 71,992,400 |
Natixis Commercial Paper Corp., 0.42%, 8/19/2010 | 150,000,000 | 149,914,250 |
Nestle Capital Corp.: |
| 0.27%, 9/13/2010 | 41,125,000 | 41,102,176 |
| 0.29%, 9/21/2010 | 100,000,000 | 99,933,944 |
Nestle Finance International Ltd.: |
| 0.26%, 7/13/2010 | 83,000,000 | 82,992,807 |
| 0.27%, 8/24/2010 | 100,000,000 | 99,959,500 |
| 0.27%, 8/25/2010 | 98,650,000 | 98,609,307 |
New York Life Capital Corp.: |
| 144A, 0.26%, 7/8/2010 | 5,000,000 | 4,999,747 |
| 144A, 0.26%, 7/13/2010 | 15,005,000 | 15,003,700 |
| 144A, 0.26%, 7/23/2010 | 39,537,000 | 39,530,718 |
| 144A, 0.27%, 7/1/2010 | 70,019,000 | 70,019,000 |
Nieuw Amsterdam Receivables Corp.: |
| 144A, 0.36%, 7/20/2010 | 50,000,000 | 49,990,500 |
| 144A, 0.4%, 7/1/2010 | 169,771,000 | 169,771,000 |
| 144A, 0.4%, 7/12/2010 | 125,000,000 | 124,984,722 |
| 144A, 0.4%, 7/16/2010 | 100,000,000 | 99,983,333 |
| 144A, 0.45%, 8/2/2010 | 100,000,000 | 99,960,000 |
NRW.Bank: |
| 0.25%, 7/6/2010 | 21,000,000 | 20,999,271 |
| 0.29%, 7/6/2010 | 68,000,000 | 67,997,261 |
| 0.31%, 7/22/2010 | 100,000,000 | 99,981,917 |
| 0.4%, 9/14/2010 | 140,000,000 | 139,883,333 |
| 0.42%, 10/6/2010 | 38,000,000 | 37,956,997 |
| 0.45%, 7/8/2010 | 188,500,000 | 188,483,506 |
PepsiCo, Inc.: |
| 0.15%, 7/16/2010 | 50,000,000 | 49,996,875 |
| 0.16%, 7/15/2010 | 50,000,000 | 49,996,889 |
| 0.16%, 7/16/2010 | 50,000,000 | 49,996,667 |
Procter & Gamble Co., 0.16%, 7/30/2010 | 50,000,000 | 49,993,556 |
Procter & Gamble International Funding SCA: |
| 144A, 0.17%, 7/21/2010 | 50,000,000 | 49,995,278 |
| 144A, 0.18%, 7/7/2010 | 2,000,000 | 1,999,940 |
| 144A, 0.18%, 7/15/2010 | 30,000,000 | 29,997,900 |
| 144A, 0.2%, 7/2/2010 | 60,000,000 | 59,999,667 |
| 144A, 0.27%, 7/16/2010 | 92,000,000 | 91,989,650 |
Regency Markets No. 1 LLC, 144A, 0.37%, 7/20/2010 | 100,000,000 | 99,980,472 |
Romulus Funding Corp.: |
| 144A, 0.45%, 7/12/2010 | 35,000,000 | 34,995,188 |
| 144A, 0.45%, 7/13/2010 | 35,000,000 | 34,994,750 |
| 144A, 0.47%, 7/7/2010 | 25,000,000 | 24,998,042 |
| 144A, 0.5%, 7/7/2010 | 50,000,000 | 49,995,833 |
| 144A, 0.5%, 7/16/2010 | 64,040,000 | 64,026,658 |
| 144A, 0.5%, 7/23/2010 | 25,000,000 | 24,992,361 |
| 144A, 0.51%, 7/2/2010 | 112,000,000 | 111,998,413 |
Salisbury Receivables Co., LLC, 144A, 0.34%, 7/22/2010 | 43,500,000 | 43,491,372 |
Scaldis Capital LLC: |
| 0.4%, 7/12/2010 | 150,000,000 | 149,981,667 |
| 0.4%, 7/20/2010 | 50,000,000 | 49,989,444 |
| 0.49%, 8/5/2010 | 92,000,000 | 91,956,172 |
Sheffield Receivables Corp.: |
| 144A, 0.3%, 7/23/2010 | 100,000,000 | 99,981,667 |
| 144A, 0.35%, 8/3/2010 | 110,000,000 | 109,964,708 |
| 144A, 0.4%, 7/20/2010 | 100,000,000 | 99,978,889 |
| 144A, 0.42%, 8/3/2010 | 61,000,000 | 60,976,515 |
| 144A, 0.42%, 8/4/2010 | 50,000,000 | 49,980,167 |
Skandinaviska Enskilda Banken AB, 0.23%, 7/7/2010 | 247,350,000 | 247,340,518 |
Standard Chartered Bank, 0.62%, 9/10/2010 | 75,000,000 | 74,908,292 |
Starbird Funding Corp.: |
| 144A, 0.05%, 7/1/2010 | 125,000,000 | 125,000,000 |
| 144A, 0.3%, 7/19/2010 | 50,000,000 | 49,992,500 |
| 144A, 0.3%, 7/20/2010 | 50,000,000 | 49,992,083 |
| 144A, 0.3%, 7/22/2010 | 8,000,000 | 7,998,600 |
Straight-A Funding LLC: |
| 144A, 0.24%, 7/1/2010 | 41,771,000 | 41,771,000 |
| 144A, 0.25%, 7/6/2010 | 70,000,000 | 69,997,570 |
| 144A, 0.25%, 7/8/2010 | 59,776,000 | 59,773,094 |
| 144A, 0.26%, 7/12/2010 | 100,072,000 | 100,064,050 |
| 144A, 0.3%, 8/2/2010 | 130,858,000 | 130,823,104 |
| 144A, 0.32%, 7/19/2010 | 50,000,000 | 49,992,000 |
| 144A, 0.35%, 7/13/2010 | 80,061,000 | 80,051,660 |
| 144A, 0.35%, 8/24/2010 | 80,000,000 | 79,958,000 |
| 144A, 0.4%, 8/13/2010 | 37,000,000 | 36,982,322 |
| 144A, 0.4%, 9/14/2010 | 123,055,000 | 122,952,454 |
| 144A, 0.42%, 9/2/2010 | 30,062,000 | 30,039,904 |
| 144A, 0.43%, 8/23/2010 | 100,000,000 | 99,936,694 |
Tasman Funding, Inc.: |
| 144A, 0.39%, 7/22/2010 | 69,919,000 | 69,903,093 |
| 144A, 0.4%, 7/1/2010 | 73,556,000 | 73,556,000 |
| 144A, 0.42%, 7/1/2010 | 20,000,000 | 20,000,000 |
Tempo Finance Corp.: |
| 144A, 0.38%, 7/1/2010 | 18,000,000 | 18,000,000 |
| 144A, 0.4%, 7/6/2010 | 56,400,000 | 56,396,867 |
Total Capital Canada Ltd., 144A, 0.42%, 9/3/2010 | 21,180,000 | 21,164,186 |
Toyota Credit Canada, Inc., 0.47%, 8/6/2010 | 18,000,000 | 17,991,540 |
Toyota Credit de Puerto Rico, 0.4%, 8/30/2010 | 50,000,000 | 49,966,667 |
Toyota Motor Credit Corp.: |
| 0.37%, 7/15/2010 | 90,000,000 | 89,987,050 |
| 0.4%, 7/22/2010 | 78,000,000 | 77,981,800 |
| 0.57%, 9/9/2010 | 75,000,000 | 74,916,875 |
| 0.58%, 9/2/2010 | 40,200,000 | 40,159,197 |
Victory Receivables Corp.: |
| 144A, 0.4%, 7/8/2010 | 68,464,000 | 68,458,808 |
| 144A, 0.5%, 9/22/2010 | 132,000,000 | 131,847,833 |
Walt Disney Co., 0.18%, 7/30/2010 | 20,000,000 | 19,997,100 |
Total Commercial Paper (Cost $10,000,266,227) | 10,000,266,227 |
|
Government & Agency Obligations 10.5% |
Other Government Related 0.3% |
Bank of America NA, FDIC Guaranteed, 1.7%, 12/23/2010 | 50,000,000 | 50,314,689 |
JPMorgan Chase & Co., FDIC Guaranteed, 2.625%, 12/1/2010 | 40,000,000 | 40,378,058 |
| 90,692,747 |
US Government Sponsored Agencies 8.8% |
Federal Home Loan Bank: |
| 0.072%**, 7/2/2010 | 2,687,000 | 2,686,990 |
| 0.25%*, 7/13/2010 | 500,000,000 | 500,000,840 |
| 0.25%, 12/21/2010 | 12,000,000 | 11,994,510 |
| Step-up Coupon, 0.25% to 8/10/2010, 0.55% to 2/10/2011 | 62,595,000 | 62,590,839 |
| Step-up Coupon, 0.25% to 7/16/2010, 0.375% to 10/16/2010, 0.5% to 1/16/2011, 0.875% to 4/16/2011, 1.125% to 5/11/2011 | 100,000,000 | 100,000,000 |
| 0.27%, 10/26/2010 | 100,000,000 | 99,991,497 |
| Step-up Coupon, 0.3% to 8/5/2010, 0.4% to 11/5/2010, 0.6% to 2/5/2011, 0.8% to 5/5/2011, 1.0% to 5/19/2011 | 100,000,000 | 100,000,000 |
| 0.375%, 10/26/2010 | 17,600,000 | 17,605,148 |
| 0.48%, 10/25/2010 | 22,500,000 | 22,514,018 |
| 0.5%, 7/13/2010 | 60,750,000 | 60,748,063 |
| 0.5%, 11/23/2010 | 20,000,000 | 20,011,508 |
| 0.52%, 4/12/2011 | 22,500,000 | 22,500,000 |
| 0.55%, 7/29/2010 | 98,450,000 | 98,447,961 |
| 1.3%, 4/5/2012 | 125,000,000 | 125,024,207 |
Federal Home Loan Mortgage Corp.: |
| 0.177%**, 7/13/2010 | 50,000,000 | 49,996,833 |
| 0.191%**, 8/16/2010 | 36,200,000 | 36,190,980 |
| 0.206%**, 8/24/2010 | 47,500,000 | 47,485,038 |
| 0.222%**, 7/12/2010 | 56,020,000 | 56,015,892 |
| 0.227%**, 9/1/2010 | 34,518,000 | 34,504,327 |
| 0.278%**, 10/26/2010 | 72,700,000 | 72,633,843 |
| 0.328%**, 12/7/2010 | 20,000,000 | 19,970,850 |
| 0.328%**, 12/17/2010 | 20,000,000 | 19,969,017 |
| 0.338%**, 12/15/2010 | 40,000,000 | 39,936,911 |
| 1.43%, 9/3/2010 | 97,500,000 | 97,636,087 |
Federal National Mortgage Association: |
| 0.204%**, 8/2/2010 | 240,000,000 | 239,955,200 |
| 0.21%**, 7/1/2010 | 55,000,000 | 55,000,000 |
| 0.217%**, 8/25/2010 | 200,000,000 | 199,932,778 |
| 0.268%**, 10/25/2010 | 100,000,000 | 99,913,000 |
| 0.278%**, 11/1/2010 | 47,350,000 | 47,304,702 |
| 0.299%**, 1/18/2011 | 87,500,000 | 87,353,438 |
| 0.488%**, 4/7/2011 | 3,235,000 | 3,222,671 |
| 0.535%**, 8/5/2010 | 18,400,000 | 18,390,161 |
| 5.5%, 3/15/2011 | 33,050,000 | 34,202,984 |
| 2,503,730,293 |
US Treasury Obligations 1.4% |
US Treasury Bills: |
| 0.065%**, 7/22/2010 | 2,240,000 | 2,239,915 |
| 0.075%**, 8/5/2010 | 958,000 | 957,930 |
| 0.085%**, 8/12/2010 | 3,191,000 | 3,190,684 |
| 0.09%**, 8/12/2010 | 800,000 | 799,916 |
| 0.109%**, 7/15/2010 | 3,120,000 | 3,119,866 |
| 0.119%**, 7/22/2010 | 4,812,000 | 4,811,663 |
| 0.125%**, 9/23/2010 | 2,219,000 | 2,218,353 |
| 0.14%**, 8/26/2010 | 32,000,000 | 31,993,031 |
| 0.145%**, 8/5/2010 | 2,250,000 | 2,249,683 |
| 0.149%**, 7/1/2010 | 4,308,000 | 4,308,000 |
| 0.15%**, 7/8/2010 | 976,000 | 975,972 |
| 0.15%**, 7/29/2010 | 2,806,000 | 2,805,673 |
| 0.154%**, 7/29/2010 | 9,445,000 | 9,443,861 |
| 0.155%**, 7/15/2010 | 466,000 | 465,972 |
| 0.19%**, 11/4/2010 | 17,878,000 | 17,866,111 |
| 0.43%**, 7/29/2010 | 10,000,000 | 9,996,656 |
| 0.49%**, 7/29/2010 | 1,100,000 | 1,099,581 |
US Treasury Notes: |
| 1.125%, 6/30/2011 | 276,200,000 | 278,127,342 |
| 1.25%, 11/30/2010 | 25,000,000 | 25,099,279 |
| 4.5%, 2/28/2011 | 14,850,000 | 15,254,041 |
| 417,023,529 |
Total Government & Agency Obligations (Cost $3,011,446,569) | 3,011,446,569 |
|
Short-Term Notes* 12.7% |
ASB Finance Ltd.: |
| 144A, 0.469%, 1/14/2011 | 50,000,000 | 50,002,722 |
| 144A, 0.48%, 12/3/2010 | 100,000,000 | 100,003,474 |
Bank of Nova Scotia, 0.357%, 11/23/2010 | 35,700,000 | 35,700,000 |
Barclays Bank PLC, 0.517%, 10/22/2010 | 307,450,000 | 307,450,000 |
Bayerische Landesbank, 0.407%, 7/25/2011 | 40,000,000 | 39,988,735 |
Canadian Imperial Bank of Commerce: |
| 0.23%, 8/25/2010 | 190,500,000 | 190,500,000 |
| 0.24%, 7/26/2010 | 35,000,000 | 35,000,000 |
| 0.349%, 10/15/2010 | 50,000,000 | 50,000,000 |
| 0.35%, 11/8/2010 | 125,000,000 | 125,000,000 |
| 0.35%, 12/13/2010 | 100,000,000 | 100,000,000 |
| 0.47%, 11/22/2010 | 35,000,000 | 35,000,000 |
Dexia Credit Local, 1.054%, 4/18/2011 | 115,000,000 | 115,009,714 |
Intesa Sanpaolo SpA, 0.275%, 10/18/2010 | 75,000,000 | 74,996,573 |
JPMorgan Chase Bank NA, 0.347%, 7/28/2011 | 191,200,000 | 191,200,000 |
Kreditanstalt fuer Wiederaufbau, 0.811%, 3/2/2011 | 7,860,000 | 7,877,936 |
National Australia Bank Ltd.: |
| 144A, 0.377%, 1/27/2011 | 160,000,000 | 160,000,000 |
| 0.4%, 7/12/2010 | 133,000,000 | 133,000,000 |
Natixis: |
| 0.29%, 8/5/2010 | 300,000,000 | 300,000,000 |
| 0.399%, 12/14/2010 | 38,000,000 | 38,000,000 |
Rabobank Nederland NV: |
| 0.337%, 11/22/2010 | 52,500,000 | 52,500,000 |
| 0.35%, 3/11/2011 | 50,000,000 | 50,000,000 |
| 0.405%, 4/26/2011 | 100,000,000 | 100,000,000 |
| 144A, 0.435%, 6/16/2011 | 75,000,000 | 75,000,000 |
| 144A, 0.791%, 4/7/2011 | 278,000,000 | 278,000,000 |
Royal Bank of Canada: |
| 0.347%, 2/24/2011 | 50,000,000 | 50,000,000 |
| 0.349%, 3/14/2011 | 50,000,000 | 50,000,000 |
| 0.35%, 3/10/2011 | 100,000,000 | 100,000,000 |
| 0.425%, 11/24/2010 | 70,000,000 | 70,000,000 |
Toronto-Dominion Bank, 0.35%, 2/4/2011 | 208,000,000 | 208,000,000 |
UBS AG: |
| 0.354%, 7/8/2010 | 4,000,000 | 4,000,015 |
| 1.24%, 7/1/2010 | 500,000 | 500,000 |
Westpac Banking Corp.: |
| 0.24%, 10/12/2010 | 100,000,000 | 100,000,000 |
| 0.26%, 1/10/2011 | 130,000,000 | 130,000,000 |
| 0.341%, 7/6/2010 | 119,350,000 | 119,350,000 |
| 144A, 0.375%, 7/2/2010 | 50,000,000 | 50,000,000 |
| 144A, 0.398%, 12/13/2010 | 100,000,000 | 100,000,000 |
Total Short-Term Notes (Cost $3,626,079,169) | 3,626,079,169 |
|
Supranational 0.5% |
Inter-American Development Bank, 0.333%**, 8/16/2010 (Cost $147,935,702) | 148,000,000 | 147,935,702 |
|
Time Deposits 18.0% |
Bank of Nova Scotia, 0.02%, 7/1/2010 | 530,000,000 | 530,000,000 |
Banque Federative du Credit Mutuel, 0.26%, 7/1/2010 | 850,000,000 | 850,000,000 |
Citibank NA, 0.06%, 7/1/2010 | 537,438,423 | 537,438,423 |
JPMorgan Chase Bank NA, 0.01%, 7/1/2010 | 700,000,000 | 700,000,000 |
National Australia Bank Ltd., 0.03%, 7/1/2010 | 400,000,000 | 400,000,000 |
Natixis, 0.12%, 7/1/2010 | 266,000,000 | 266,000,000 |
Societe Generale, 0.05%, 7/1/2010 | 900,000,000 | 900,000,000 |
Svenska Handelsbanken AB, 0.02%, 7/1/2010 | 450,000,000 | 450,000,000 |
UBS AG, 0.09%, 7/1/2010 | 250,000,000 | 250,000,000 |
Wells Fargo Bank NA, 0.01%, 7/1/2010 | 271,900,000 | 271,900,000 |
Total Time Deposits (Cost $5,155,338,423) | 5,155,338,423 |
|
Municipal Bonds and Notes 3.7% |
Alaska, State Housing Finance Corp., Capital Project, Series C, 0.23%***, 7/1/2022 | 39,295,000 | 39,295,000 |
Appleton, WI, Redevelopment Authority Revenue, Fox Cities Performing Arts Center, Inc., Series B, 0.25%***, 6/1/2036, JPMorgan Chase Bank (a) | 18,400,000 | 18,400,000 |
Arizona, Health Facilities Authority Revenue, Banner Health System, Series B, 0.2%***, 1/1/2035, Scotiabank (a) | 12,160,000 | 12,160,000 |
California, Housing Finance Agency Revenue, Series A, AMT, 0.25%***, 8/1/2035 | 10,000,000 | 10,000,000 |
Chicago, IL, Midway Airport Revenue, Series A-2, 0.32%***, 1/1/2025, JPMorgan Chase Bank (a) (b) | 8,000,000 | 8,000,000 |
Colorado, Educational & Cultural Facilities Authority Revenue, Linfield Christian School Project, 0.28%***, 5/1/2030, Evangelical Christian Credit Union (a) | 16,200,000 | 16,200,000 |
Colorado, Health Facilities Authority Revenue, Fraiser Meadows Community Project, 0.28%***, 6/1/2038, JPMorgan Chase Bank (a) | 14,000,000 | 14,000,000 |
Colorado, Housing & Finance Authority, Series I-A1, 144A, 0.33%***, 10/1/2036 | 8,000,000 | 8,000,000 |
Colorado, Housing & Finance Authority, Single Family Program, Series I-A1, 0.42%***, 11/1/2034 | 9,800,000 | 9,800,000 |
Colorado, Housing Finance Authority, Single Family Mortgage Revenue: | |
| "I", Series B1, 0.31%***, 5/1/2038 | 44,535,000 | 44,535,000 |
| "I", Series A-2, 0.33%***, 5/1/2038 | 27,145,000 | 27,145,000 |
District of Columbia, Anacostia Waterfront Corp., Pilot Revenue, Series F02, 144A, 0.23%***, 9/30/2022 | 44,985,000 | 44,985,000 |
Florida, Jacksonville Electric Authority, Electric Systems Revenue, 0.34%, 8/6/2010 | 33,200,000 | 33,200,000 |
Georgia, Private Colleges & Universities Authority Revenue, Emory University: | |
| Series C1, 0.2%***, 9/1/2036 | 17,300,000 | 17,300,000 |
| Series B-2, 0.21%***, 9/1/2035 | 16,500,000 | 16,500,000 |
Harris County, TX, Health Facilities Development Corp., Hospital Revenue, Baylor College of Medicine, Series B, 0.2%***, 11/15/2047, Northern Trust Co. (a) | 10,000,000 | 10,000,000 |
Illinois, Finance Authority Revenue, Rehabilitation Institute of Chicago, Series B, 0.27%***, 4/1/2032, JPMorgan Chase Bank (a) | 17,600,000 | 17,600,000 |
Illinois, Finance Authority, Pollution Control Revenue, Commonwealth Edison Co., Series F, 144A, 0.22%***, 3/1/2017, JPMorgan Chase Bank (a) | 10,100,000 | 10,100,000 |
Iowa, Finance Authority, Multi-Family Revenue, Windsor on the River LLC, Series A, AMT, 0.35%***, 5/1/2042, Wells Fargo Bank NA (a) | 17,000,000 | 17,000,000 |
Kansas, State Department of Transportation Highway Revenue, Series C-3, 0.2%***, 9/1/2023 | 9,675,000 | 9,675,000 |
Los Angeles County, CA, Multifamily Housing Authority Revenue, Canyon Country Villas Project, Series H, 0.25%***, 12/1/2032 | 15,800,000 | 15,800,000 |
Maine, State Housing Authority, Mortgage Purchase Revenue, Series D, AMT, 0.37%***, 11/15/2042 | 10,000,000 | 10,000,000 |
Massachusetts, State Health & Educational Facilities Authority Revenue, Boston University, Series N, 0.28%***, 10/1/2034, Bank of America NA (a) | 13,600,000 | 13,600,000 |
Michigan, State University Revenues, Series A, 0.2%***, 8/15/2030 | 20,295,000 | 20,295,000 |
Missouri, Bi-State Development Agency, Illinois Metropolitan District Revenue, Metrolink, Series A, 0.22%***, 10/1/2035, JPMorgan Chase Bank (a) | 8,000,000 | 8,000,000 |
Missouri, State Health & Educational Facilities Authority Revenue, Lutheran Senior Services Project, 0.27%***, 2/1/2039, US Bank NA (a) | 9,000,000 | 9,000,000 |
Nashville & Davidson County, TN, Metropolitan Government, Health & Educational Facilities Board Revenue, Vanderbilt University, Series A, 0.22%***, 10/1/2030 | 24,850,000 | 24,850,000 |
New Hampshire, Health & Education Facilities Authority Revenue, Phillips Exeter Academy, 0.31%***, 9/1/2042 | 20,000,000 | 20,000,000 |
New Hampshire, Health & Education Facilities Authority Revenue, RiverWoods Co. at Exeter, 0.28%***, 3/1/2038, Bank of America NA (a) | 17,700,000 | 17,700,000 |
New Jersey, State Transportation Trust Fund Authority, Transportation Systems, Series D, 0.21%***, 6/15/2032, Sumitomo Mitsui Banking (a) | 23,000,000 | 23,000,000 |
New York, State Dormitory Authority Revenues, Non-State Supported Debt, St. John's University: | |
| Series B-1, 0.26%***, 7/1/2034, Bank of America NA (a) | 28,195,000 | 28,195,000 |
| Series B-2, 0.27%***, 7/1/2037, Bank of America NA (a) | 32,000,000 | 32,000,000 |
New York, State Energy Research & Development Authority Facilities Revenue, Consolidated Edison Co. of New York, Inc., Series C-3, 144A, AMT, 0.23%***, 11/1/2039, Mizuho Corporate Bank (a) | 27,000,000 | 27,000,000 |
New York, State Housing Finance Agency Revenue, 316 Eleventh Avenue Housing, Series A, AMT, 0.25%***, 5/15/2041 | 48,500,000 | 48,500,000 |
New York, State Housing Finance Agency Revenue, Helena Housing, Series A, AMT, 0.23%***, 5/15/2036 | 51,500,000 | 51,500,000 |
New York, NY, General Obligation: |
| Series A-5, 0.19%***, 8/1/2031, Bank of Nova Scotia (a) | 14,320,000 | 14,320,000 |
| Series J12, 0.5%***, 8/1/2029 | 50,280,000 | 50,280,000 |
North Carolina, Capital Facilities Finance Agency, Educational Facilities Revenue, Charlotte Country Day School, 144A, 0.3%***, 8/1/2033, Bank of America NA (a) | 8,075,000 | 8,075,000 |
North Carolina, Capital Facilities Finance Agency, Educational Facilities Revenue, Forsyth Country Day School, 0.34%***, 12/1/2031, Branch Banking & Trust (a) | 12,775,000 | 12,775,000 |
North Texas, Tollway Authority Revenue, Series D, 0.22%***, 1/1/2049, JPMorgan Chase Bank (a) | 27,000,000 | 27,000,000 |
Oklahoma, State Turnpike Authority Revenue: |
| Series D, 0.27%***, 1/1/2028 | 10,410,000 | 10,410,000 |
| Series C, 0.3%***, 1/1/2028 | 10,000,000 | 10,000,000 |
Rhode Island, Health & Educational Building Corp., Higher Education Facility Revenue, Rhode Island School of Design, Series B, 0.22%***, 8/15/2036, Bank of America NA (a) | 14,100,000 | 14,100,000 |
Riverside County, CA, Certificates of Participation, Public Safety, Communication & Woodcrest Library, 0.28%***, 11/1/2039, Bank of America NA (a) | 5,000,000 | 5,000,000 |
San Francisco, CA, City & County Airports Commission, International Airport Revenue, Series A-3, AMT, 0.22%***, 5/1/2030, JPMorgan Chase Bank (a) | 13,000,000 | 13,000,000 |
Texas, Alliance Airport Authority, Inc., Special Facilities Revenue, Series 2088, 144A, AMT, 0.31%***, 4/1/2021 | 24,570,000 | 24,570,000 |
Texas, State Veterans Housing Assistance Fund II, Series C, 0.34%***, 6/1/2031 | 11,700,000 | 11,700,000 |
Texas, University of Houston Revenues, Consolidated Systems, 0.27%***, 2/15/2024 | 9,205,000 | 9,205,000 |
Travis County, TX, Health Facilities Development Corp., Retirement Facilities Revenue, Longhorn Village Project, Series B, 0.27%***, 7/1/2037, Bank of Scotland (a) | 32,145,000 | 32,145,000 |
Virginia, Chesapeake Bay Bridge & Tunnel District Revenue, Series A, 0.34%***, 5/28/2021, Branch Banking & Trust (a) | 18,200,000 | 18,200,000 |
Washington, Wells Fargo Stage Trust, Series 21C, 144A, 0.3%***, 12/1/2037 | 10,385,000 | 10,385,000 |
West Virginia, State Hospital Finance Authority Revenue, Cabell Huntington Hospital, Series A, 0.33%***, 1/1/2034, Branch Banking & Trust (a) | 13,480,000 | 13,480,000 |
Wisconsin, Housing & Economic Development Authority Revenue, Series A, 0.32%***, 5/1/2042 | 14,035,000 | 14,035,000 |
Wisconsin, Housing & Economic Development Authority, Home Ownership Revenue, Series B, 0.31%***, 3/1/2033 (b) | 15,975,000 | 15,975,000 |
Wisconsin, University Hospitals & Clinics Authority Revenue, Series B, 0.23%***, 4/1/2029, US Bank NA (a) | 5,330,000 | 5,330,000 |
Total Municipal Bonds and Notes (Cost $1,053,320,000) | 1,053,320,000 |
|
Repurchase Agreements 2.8% |
Banc of America Securities LLC, 0.03%, dated 6/30/2010, to be repurchased at $301,427,694 on 7/1/2010 (c) | 301,427,443 | 301,427,443 |
BNP Paribas, 0.01%, dated 6/30/2010, to be repurchased at $89,797,175 on 7/1/2010 (d) | 89,797,150 | 89,797,150 |
BNP Paribas, 0.04%, dated 6/30/2010, to be repurchased at $243,137,605 on 7/1/2010 (e) | 243,137,335 | 243,137,335 |
JPMorgan Securities, Inc., 0.02%, dated 6/30/2010, to be repurchased at $116,439,825 on 7/1/2010 (f) | 116,439,760 | 116,439,760 |
The Goldman Sachs & Co., 0.03%, dated 6/30/2010, to be repurchased at $31,842,039 on 7/1/2010 (g) | 31,842,012 | 31,842,012 |
Total Repurchase Agreements (Cost $782,643,700) | 782,643,700 |
| % of Net Assets | Value ($) |
| |
Total Investment Portfolio (Cost $28,615,611,075)+ | 100.1 | 28,615,611,075 |
Other Assets and Liabilities, Net | (0.1) | (32,802,719) |
Net Assets | 100.0 | 28,582,808,356 |
* These securities are shown at their current rate as of June 30, 2010. Floating rate securities' yields vary with a designated market index or market rate, such as the coupon-equivalent of the US Treasury bill rate.
** Annualized yield at time of purchase; not a coupon rate.
*** Variable rate demand notes are securities whose interest rates are reset periodically at market levels. These securities are often payable on demand and are shown at their current rates as of June 30, 2010.
+ The cost for federal income tax purposes was $28,615,611,075.
(a) Security incorporates a letter of credit from the bank listed.
(b) Federal and state taxable issue.
(c) Collateralized by:
Principal Amount ($) | Security | Rate (%) | Maturity Date | Collateral Value ($) |
10,160,000 | Federal Farm Credit Bank | 0.597-0.666 | 11/4/2010-
1/24/2011 | 10,181,829 |
132,725,000 | Federal Home Loan Bank | 0.243-6.0 | 10/28/2010-
11/2/2029 | 135,092,601 |
99,812,000 | Federal National Mortgage Association | Zero Coupon- 3.05 | 9/22/2010-
3/2/2040 | 85,572,263 |
538,000 | International Bank for Reconstruction & Development | Zero Coupon- 9.25 | 8/15/2011-
7/15/2017 | 578,986 |
16,300,000 | Residual Funding STRIPS | Zero Coupon | 10/15/2020 | 11,023,690 |
61,408,000 | Resolution Funding Corp. STRIPS | Zero Coupon | 10/15/2011-
1/15/2026 | 50,183,138 |
3,462,000 | Tennessee Valley Authority | 5.25 | 9/15/2039 | 3,840,682 |
11,325,000 | World Bank | Zero Coupon | 8/2/2010-
8/16/2010 | 11,323,868 |
Total Collateral Value | 307,797,057 |
(d) Collateralized by $87,903,800 US Treasury Notes, with various coupon rates from 2.625-4.25%, with various maturity dates of 1/15/2011-12/31/2014 with a value of $91,593,096.
(e) Collateralized by:
Principal Amount ($) | Security | Rate (%) | Maturity Date | Collateral Value ($) |
34,918,596 | Federal Home Loan Mortgage Corp. | 4.5-5.5 | 1/1/2027-
12/1/2039 | 37,380,953 |
144,905,885 | Federal National Mortgage Association | 4.0-6.5 | 10/1/2019-
8/1/2047 | 154,197,006 |
54,135,490 | Government National Mortgage Association | 4.5-5.5 | 11/15/2033-
6/15/2040 | 58,282,103 |
Total Collateral Value | 249,860,062 |
(f) Collateralized by $136,909,806 US Treasury STRIPS, Zero Coupon, with various maturity dates of 5/15/2014-11/15/2023 with a value of $118,769,993.
(g) Collateralized by:
Principal Amount ($) | Security | Rate (%) | Maturity Date | Collateral Value ($) |
238,301 | Federal Home Loan Mortgage Corp. | 3.12-
4.505 | 2/1/2033-
6/1/2039 | 250,760 |
29,501,463 | Federal National Mortgage Association | 4.0-8.0 | 6/1/2012-
2/1/2050 | 32,228,092 |
Total Collateral Value | 32,478,852 |
144A: 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.
AMT: Subject to alternative minimum tax.
FDIC: Federal Deposit Insurance Corp.
STRIPS: Separate Trading of Registered Interest and Principal Securities
Fair Value Measurements
Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds and credit risk). Level 3 includes significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Securities held by a money market fund are reflected as Level 2 because the securities are valued at amortized cost (which approximates fair value) and, accordingly, the inputs used to determine value are not quoted prices in an active market.
The following is a summary of the inputs used as of June 30, 2010 in valuing the Fund's investments. For information on the Fund's policy regarding the valuation of investments, please refer to the Security Valuation section of Note A in the accompanying Notes to Financial Statements.
Assets | Level 1 | Level 2 | Level 3 | Total |
|
Investments in Securities (h) | $ — | $ 27,832,967,375 | $ — | $ 27,832,967,375 |
Repurchase Agreements | $ — | $ 782,643,700 | $ — | $ 782,643,700 |
Total | $ — | $ 28,615,611,075 | $ — | $ 28,615,611,075 |
There have been no significant transfers in and out of Level 1 and Level 2 fair value measurements during the period ended June 30, 2010.
(h) See Investment Portfolio for additional detailed categorizations.
The accompanying notes are an integral part of the financial statements.
Statement of Assets and Liabilities
as of June 30, 2010 (Unaudited) |
Assets |
Investments in securities, valued at amortized cost | $ 28,615,611,075 |
Cash | 65,468,416 |
Receivable for investments sold | 9,540,000 |
Interest receivable | 9,934,631 |
Other assets | 605,272 |
Total assets | 28,701,159,394 |
Liabilities |
Accrued advisory fee | 1,673,614 |
Payable for investments purchased | 115,388,502 |
Other accrued expenses and payables | 1,288,922 |
Total liabilities | 118,351,038 |
Net assets, at value | $ 28,582,808,356 |
The accompanying notes are an integral part of the financial statements.
Statement of Operations
for the six months ended June 30, 2010 (Unaudited) |
Investment Income |
Income: Interest | $ 49,713,273 |
Expenses: Advisory fee | 21,639,409 |
Administration fee | 5,228,542 |
Custodian fee | 1,024,275 |
Professional fees | 363,636 |
Trustees' fees and expenses | 753,110 |
Other | 531,857 |
Total expenses before expense reductions | 29,540,829 |
Expense reductions | (3,398,118) |
Total expenses after expense reductions | 26,142,711 |
Net investment income | 23,570,562 |
Net realized gain (loss) | (88,668) |
Net increase (decrease) in net assets resulting from operations | $ 23,481,894 |
The accompanying notes are an integral part of the financial statements.
Statement of Changes in Net Assets
Increase (Decrease) in Net Assets | Six Months Ended June 30, 2010
(Unaudited) | Year Ended December 31, 2009 |
Operations: Net investment income | $ 23,570,562 | $ 141,843,060 |
Net realized gain (loss) | (88,668) | 2,999,242 |
Net increase (decrease) in net assets resulting from operations | 23,481,894 | 144,842,302 |
Capital transactions in shares of beneficial interest: Proceeds from capital invested | 161,307,263,464 | 296,774,683,917 |
Value of capital withdrawn | (175,213,869,386) | (284,106,783,365) |
Net increase (decrease) in net assets from capital transactions in shares of beneficial interest | (13,906,605,922) | 12,667,900,552 |
Increase (decrease) in net assets | (13,883,124,028) | 12,812,742,854 |
Net assets at beginning of period | 42,465,932,384 | 29,653,189,530 |
Net assets at end of period | $ 28,582,808,356 | $ 42,465,932,384 |
The accompanying notes are an integral part of the financial statements.
Financial Highlights
Years Ended December 31, | 2010a | 2009 | 2008 | 2007 | 2006 | 2005 |
Ratios to Average Net Assets and Supplemental Data |
Net assets, end of period ($ millions) | 28,583 | 42,466 | 29,653 | 33,739 | 8,877 | 9,931 |
Ratio of expenses before expense reductions (%) | .17* | .16 | .17 | .17 | .20 | .21 |
Ratio of expenses after expense reductions (%) | .15* | .14 | .13 | .14 | .18 | .18 |
Ratio of net investment income (%) | .14* | .43 | 2.85 | 5.14 | 4.83 | 3.08 |
Total Return (%)b,c | .07** | .48 | 2.81 | 5.31 | 4.97 | 3.15 |
a For the six months ended June 30, 2010 (Unaudited). b Total return would have been lower had certain expenses not been reduced. c Total return for the Portfolio was derived from the performance of Cash Reserves Fund Institutional. * Annualized ** Not annualized |
Notes to Financial Statements (Unaudited)
A. Organization and Significant Accounting Policies
Cash Management Portfolio (the "Portfolio'') is registered under the Investment Company Act of 1940, as amended (the "1940 Act''), as an open-end management investment company organized as a New York business trust.
A master/feeder fund structure is one in which a fund (a "feeder fund"), instead of investing directly in a portfolio of securities, invests most or all of its investment assets in a separate registered investment company (the "master fund") with substantially the same investment objective and policies as the feeder fund. Such a structure permits the pooling of assets of two or more feeder funds, preserving separate identities or distribution channels at the feeder fund level. The Portfolio may have several feeder funds, including affiliated DWS feeder funds, with a significant ownership percentage of the Portfolio's net assets. Investment activities of these feeder funds could have a material impact on the Portfolio. As of June 30, 2010, Cash Management Fund, Cash Reserves Fund Institutional Shares, Cash Reserves Fund — Prime Series and DWS Money Market Series owned approximately 10%, 12%, 4% and 72%, respectively, of the Portfolio.
The Portfolio's financial statements are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates. Actual results could differ from those estimates. The policies described below are followed consistently by the Portfolio in the preparation of its financial statements.
Security Valuation. Various inputs are used in determining the value of the Portfolios' investments. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, and credit risk). Level 3 includes significant unobservable inputs (including the Portfolios' own assumptions in determining the fair value of investments). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The Portfolio values all securities utilizing the amortized cost method permitted in accordance with Rule 2a-7 under the 1940 Act and certain conditions therein. Under this method, which does not take into account unrealized capital gains or losses on securities, an instrument is initially valued at its cost and thereafter assumes a constant accretion/amortization rate to maturity of any discount or premium. Securities held by a money market portfolio are reflected as Level 2 because the securities are valued at amortized cost (which approximates fair value) and, accordingly, the inputs used to determine value are not quoted prices in an active market.
Repurchase Agreements. The Portfolio may enter into repurchase agreements with certain banks and broker/dealers whereby the Portfolio, through its custodian or sub-custodian bank, receives delivery of the underlying securities, the amount of which at the time of purchase and each subsequent business day is required to be maintained at such a level that the value is equal to at least the principal amount of the repurchase price plus accrued interest. The custodian bank holds the collateral in a separate account until the agreement matures. If the value of the securities falls below the principal amount of the repurchase agreement plus accrued interest, the financial institution deposits additional collateral by the following business day. If the financial institution either fails to deposit the required additional collateral or fails to repurchase the securities as agreed, the Portfolio has the right to sell the securities and recover any resulting loss from the financial institution. If the financial institution enters into bankruptcy, the Portfolio's claims on the collateral may be subject to legal proceedings.
Federal Income Taxes. The Portfolio is considered a Partnership under the Internal Revenue Code, as amended. Therefore, no federal income tax provision is necessary.
It is intended that the Portfolio's assets, income and distributions will be managed in such a way that an investor in the Portfolio will be able to satisfy the requirements of Subchapter M of the Code, assuming that the investor invested all of its assets in the Portfolio.
The Portfolio has reviewed the tax positions for the open tax years as of December 31, 2009 and has determined that no provision for income tax is required in the Portfolio's financial statements. The Portfolio's federal tax returns for the prior three fiscal years remain open subject to examination by the Internal Revenue Service.
Contingencies. In the normal course of business, the Portfolio may enter into contracts with service providers that contain general indemnification clauses. The Portfolio's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Portfolio that have not yet been made. However, based on experience, the Portfolio expects the risk of loss to be remote.
Other. Investment transactions are accounted for on trade date. Interest income is recorded on the accrual basis. Distributions of income and capital gains from investment companies are recorded on the ex-dividend date. Realized gains and losses from investment transactions are recorded on an identified cost basis. All discounts and premiums are accreted/amortized for both tax and financial reporting purposes.
The Portfolio makes a daily allocation of its net investment income and realized gains and losses from securities transactions to its investors in proportion to their investment in the Portfolio.
B. Fees and Transactions with Affiliates
Management Agreement. Under the Investment Management Agreement with Deutsche Investment Management Americas Inc. ("DIMA" or the "Advisor"), an indirect, wholly owned subsidiary of Deutsche Bank AG, the Advisor serves as the investment manager to the Portfolio.
Under the Advisor Agreement, the Portfolio pays the Advisor a monthly advisory fee based on its average daily net assets, computed and accrued daily and payable monthly, at the following annual rates:
First $3.0 billion of the Portfolio's average daily net assets | .1500% |
Next $4.5 billion of such net assets | .1325% |
Over $7.5 billion of such net assets | .1200% |
For the period from January 1, 2010 through July 29, 2010, the Advisor has contractually agreed to reimburse certain operating expenses to the extent necessary to maintain operating expenses (excluding certain expenses such as extraordinary expenses, taxes, brokerage and interest) at 0.15%.
For the six months ended June 30, 2010, the Advisor waived a portion of its management fee aggregating $3,393,636 and the amount charged aggregated $18,245,773, which was equivalent to an annualized effective rate of 0.10% of the Portfolio's average daily net assets.
Administration Fee. Pursuant to an Administrative Services Agreement, DIMA provides most administrative services to the Portfolio. For all services provided under the Administrative Services Agreement, the Portfolio pays the Advisor an annual fee ("Administration Fee") of 0.03% of the Portfolio's average daily net assets, computed and accrued daily and payable monthly. For the six months ended June 30, 2010, the Administration Fee was $5,228,542, of which $711,297 is unpaid.
Trustees' Fees and Expenses. The Portfolio paid each Trustee not affiliated with the Advisor retainer fees plus specified amounts for various committee services and for the Board Chairperson.
C. Fee Reductions
The Portfolio has entered into an arrangement with its custodian whereby credits realized as a result of uninvested cash balances are used to reduce a portion of the Portfolio's custodian expenses. During the six months ended June 30, 2010, the Portfolio's custodian fee was reduced by $4,482 for custody credits earned.
D. Line of Credit
The Portfolio and other affiliated funds (the "Participants") share in a $450 million revolving credit facility provided by a syndication of banks. The Portfolio may borrow for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. The Participants are charged an annual commitment fee which is allocated based on net assets, among each of the Participants. Interest is calculated at a rate per annum equal to the sum of the Federal Funds Rate plus 1.25 percent plus if LIBOR exceeds the Federal Funds Rate the amount of such excess. The Portfolio may borrow up to a maximum of 33 percent of its net assets under the agreement.
E. Review for Subsequent Events
Management has evaluated the events and transactions subsequent to period end through the date the financial statements were available to be issued, and has determined that there were no material events that would require disclosure in the Fund's financial statements.
Summary of Management Fee Evaluation by Independent Fee Consultant
October 9, 2009, As Revised November 20, 2009
Pursuant to an Order entered into by Deutsche Investment Management Americas and affiliates (collectively, "DeAM") with the Attorney General of New York, I, Thomas H. Mack, have been appointed the Independent Fee Consultant for the DWS Funds (formerly the DWS Scudder Funds). My duties include preparing an annual written evaluation of the management fees DeAM charges the Funds, considering among other factors the management fees charged by other mutual fund companies for like services, management fees DeAM charges other clients for like services, DeAM's costs of supplying services under the management agreements and related profit margins, possible economies of scale if a Fund grows larger, and the nature and quality of DeAM's services, including fund performance. This report summarizes my evaluation for 2009, including my qualifications, the evaluation process for each of the DWS Funds, consideration of certain complex-level factors, and my conclusions. I served in substantially the same capacity in 2007 and 2008.
Qualifications
For more than 35 years I have served in various professional capacities within the investment management business. I have held investment analysis and advisory positions, including securities analyst, portfolio strategist and director of investment policy with a large investment firm. I have also performed business management functions, including business development, financial management and marketing research and analysis.
Since 1991, I have been an independent consultant within the asset management industry. I have provided services to over 125 client organizations, including investment managers, mutual fund boards, product distributors and related organizations. Over the past ten years I have completed a number of assignments for mutual fund boards, specifically including assisting boards with management contract renewal.
I hold a Master of Business Administration degree, with highest honors, from Harvard University and Master of Science and Bachelor of Science (highest honors) degrees from the University of California at Berkeley. I am an independent director and audit committee financial expert for two closed-end mutual funds and serve in various leadership and financial oversight capacities with non-profit organizations.
Evaluation of Fees for each DWS Fund
My work focused primarily on evaluating, fund-by-fund, the fees charged to each of the 124 publicly offered Fund portfolios in the DWS Fund family. For each Fund, I considered each of the key factors mentioned above, as well as any other relevant information. In doing so I worked closely with the Funds' Independent Directors in their annual contract renewal process, as well as in their approval of contracts for several new funds (documented separately).
In evaluating each Fund's fees, I reviewed comprehensive materials provided by or on behalf of DeAM, including expense information prepared by Lipper Analytical, comparative performance information, profitability data, manager histories, and other materials. I also accessed certain additional information from the Lipper, Strategic Insight, and Morningstar databases and drew on my industry knowledge and experience.
To facilitate evaluating this considerable body of information, I prepared for each Fund a document summarizing the key data elements in each area as well as additional analytics discussed below. This made it possible to consider each key data element in the context of the others.
In the course of contract renewal, DeAM agreed to implement a number of fee and expense adjustments requested by the Independent Directors which will favorably impact future fees and expenses, and my evaluation includes the effects of these changes.
Fees and Expenses Compared with Other Funds
The competitive fee and expense evaluation for each fund focused on two primary comparisons:
The Fund's contractual management fee (the advisory fee plus the administration fee where applicable) compared with those of a group of typically 12-15 funds in the same Lipper investment category (e.g. Large Capitalization Growth) having similar distribution arrangements and being of similar size.
The Fund's total expenses compared with a broader universe of funds from the same Lipper investment category and having similar distribution arrangements.
These two comparisons provide a view of not only the level of the fee compared with funds of similar scale but also the total expense the Fund bears for all the services it receives, in comparison with the investment choices available in the Fund's investment category and distribution channel. The principal figure-of-merit used in these comparisons was the subject Fund's percentile ranking against peers.
DeAM's Fees for Similar Services to Others
DeAM provided management fee schedules for all of its US domiciled fund and non-fund investment management accounts in any of the investment categories where there is a DWS Fund. These similar products included the other DWS Funds, non-fund pooled accounts, institutional accounts and sub-advisory accounts. Using this information, I calculated for each Fund the fee that would be charged to each similar product, at the subject Fund's asset level.
Evaluating information regarding non-fund products is difficult because there are varying levels of services required for different types of accounts, with mutual funds generally requiring considerably more regulatory and administrative types of service as well as having more frequent cash flows than other types of accounts. Also, while mutual fund fees for similar fund products can be expected to be similar, there will be some differences due to different pricing conditions in different distribution channels (e.g. retail funds versus those used in variable insurance products), differences in underlying investment processes and other factors.
Costs and Profit Margins
DeAM provided a detailed profitability analysis for each Fund. After making some adjustments so that the presentation would be more comparable to the available industry figures, I reviewed profit margins from investment management alone, from investment management plus other fund services (excluding distribution) provided to the Funds by DeAM (principally shareholder services), and DeAM profits from all sources, including distribution. A later section comments on overall profitability.
Economies of Scale
Economies of scale — an expected decline in management cost per dollar of fund assets as fund assets grow — are very rarely quantified and documented because of inherent difficulties in collecting and analyzing relevant data. However, in virtually every investment category that I reviewed, larger funds tend to have lower fees and lower total expenses than smaller funds. To see how each DWS Fund compares with this industry observation, I reviewed:
The trend in Fund assets over the last five years and the accompanying trend in total expenses. This shows if the Fund has grown and, if so, whether total expense (management fees as well as other expenses) have declined as a percent of assets.
Whether the Fund has break-points in its management fee schedule, the extent of the fee reduction built into the schedule and the asset levels where the breaks take effect, and in the case of a sub-advised Fund how the Fund's break-points compare with those of the sub-advisory fee schedule.
How the Fund's contractual fee schedule compares with trends in the industry data. To accomplish this, I constructed a chart showing how actual latest-fiscal-year contractual fees of the Fund and of other similar funds relate to average fund assets, with the subject Fund's contractual fee schedule superimposed.
Quality of Service — Performance
The quality-of-service evaluation focused on investment performance, which is the principal result of the investment management service. Each Fund's performance was reviewed over the past 1, 3, 5 and 10 years, as applicable, and compared with that of other funds in the same investment category and with a suitable market index.
In addition, I calculated and reviewed risk-adjusted returns relative to an index of similar mutual funds' returns and a suitable market index. The risk-adjusted returns analysis provides a way of determining the extent to which the Fund's return comparisons are mainly the product of investment value-added (or lack thereof) or alternatively taking considerably more or less risk than is typical in its investment category.
I also received and considered the history of portfolio manager changes for each Fund, as this provided an important context for evaluating the performance results.
Complex-Level Considerations
While this evaluation was conducted mainly at the individual fund level, there are some issues relating to the reasonableness of fees that can alternatively be considered across the whole fund complex:
I reviewed DeAM's profitability analysis for all DWS Funds, with a view toward determining if the allocation procedures used were reasonable and how profit levels compared with public data for other investment managers.
I considered whether DeAM and affiliates receive any significant ancillary or "fall-out" benefits that should be considered in interpreting the direct profitability results. These would be situations where serving as the investment manager of the Funds is beneficial to another part of the Deutsche Bank organization.
I considered how aggregated DWS Fund expenses had varied over the years, by asset class and in the context of trends in asset levels.
I reviewed the structure of the DeAM organization, trends in staffing levels, and information on compensation of investment management and other professionals compared with industry data.
Findings
Based on the process and analysis discussed above, which included reviewing a wide range of information from management and external data sources and considering among other factors the fees DeAM charges other clients, the fees charged by other fund managers, DeAM's costs and profits associated with managing the Funds, economies of scale, possible fall-out benefits, and the nature and quality of services provided, in my opinion the management fees charged the DWS Funds are reasonable.
Thomas H. Mack
Account Management Resources
For shareholders of Institutional Shares and Institutional Shares MGD: |
For More Information | (800) 730-1313 To speak with a DWS Investments service representative. |
Web Site | www.moneyfunds.deam-us.db.com View your account transactions and balances, trade shares, monitor your asset allocation, 24 hours a day. Obtain prospectuses and applications, blank forms, interactive worksheets, news about DWS funds, subscription to fund updates by e-mail, retirement planning information, and more. |
Written Correspondence | DWS Investments Service Company
Institutional Money Funds — Client Services PO Box 219210
Kansas City, MO 64121-9210 ifunds@dws.com |
Proxy Voting | The fund's policies and procedures for voting proxies for portfolio securities and information about how the fund voted proxies related to its portfolio securities during the 12-month period ended June 30 are available on our Web site — www.dws-investments.com (click on "proxy voting"at the bottom of the page) — or on the SEC's Web site — www.sec.gov. To obtain a written copy of the fund's policies and procedures without charge, upon request, call us toll free at (800) 621-1048. |
Principal Underwriter | If you have questions, comments or complaints, contact: DWS Investments Distributors, Inc. 222 South Riverside Plaza
Chicago, IL 60606-5808 (800) 621-1148 |
| Institutional Shares | Institutional Shares MGD |
Nasdaq Symbol | ICAXX | MCAXX |
Fund Number | 2403 | 2023 |
For shareholders of Institutional Shares PS and Institutional Shares PRS: |
For More Information | (800) 728-3337 To speak with a DWS Investments service representative. |
Web Site | www.dws-investments.com View your account transactions and balances, trade shares, monitor your asset allocation, 24 hours a day. Obtain prospectuses and applications, blank forms, interactive worksheets, news about DWS funds, subscription to fund updates by e-mail, retirement planning information, and more. |
Written Correspondence | DWS Investments PO Box 219151
Kansas City, MO 64121-9151 |
Proxy Voting | The fund's policies and procedures for voting proxies for portfolio securities and information about how the fund voted proxies related to its portfolio securities during the 12-month period ended June 30 are available on our Web site — www.dws-investments.com (click on "proxy voting"at the bottom of the page) — or on the SEC's Web site — www.sec.gov. To obtain a written copy of the fund's policies and procedures without charge, upon request, call us toll free at (800) 621-1048. |
Principal Underwriter | If you have questions, comments or complaints, contact: DWS Investments Distributors, Inc. 222 South Riverside Plaza
Chicago, IL 60606-5808 (800) 621-1148 |
| Institutional Shares PS | Institutional Shares PRS |
Nasdaq Symbol | SPMXX | SCRXX |
Fund Number | 2402 | 2309 |
Privacy Statement
Dear Valued Client:
Your confidence is important to us. So we want to make sure you know our policies regarding the handling of our clients' private information. The following information is issued by DWS Investments Distributors, Inc., Deutsche Investment Management Americas Inc., DeAM Investor Services, Inc., DWS Trust Company and the DWS Funds.
We consider privacy fundamental to our client relationships and adhere to the policies and practices described below to protect current and former clients' information. We never sell customer lists or individual client information. Internal policies are in place to protect confidentiality, while allowing client needs to be served. Only individuals who need to do so in carrying out their job responsibilities may access client information. We maintain physical, electronic and procedural safeguards that comply with federal and state standards to protect confidentiality. These safeguards extend to all forms of interaction with us, including the Internet.
In the normal course of business, clients give us nonpublic personal information on applications and other forms, on our Web sites, and through transactions with us or our affiliates. Examples of the nonpublic personal information collected are name, address, Social Security number, and transaction and balance information. To be able to serve our clients, certain of this client information is shared with affiliated and nonaffiliated third-party service providers such as transfer agents, custodians and broker-dealers to assist us in processing transactions and servicing your account.
In addition, we may disclose the information we collect to companies that perform marketing services on our behalf or to other financial institutions with which we have joint marketing agreements. These organizations may only use client information for the purpose designated by the companies listed above. Additional requirements beyond federal law may be imposed by certain states. To the extent that these state laws apply, we will comply with them before we share information about you.
We may also disclose nonpublic personal information about you to other parties as required or permitted by law. For example, we are required to or may provide information to government entities or regulatory bodies in response to requests for information or subpoenas, to private litigants in certain circumstances, to law enforcement authorities, or any time we believe it necessary to protect the firm.
At any time, if you have questions about our policy, please write to us at:
DWS Investments
Attention: Correspondence — Chicago
P.O. Box 219415
Kansas City, MO 64121-9415 | Rev. 09/2009 |
Notes
Notes
Notes
Notes
| |
ITEM 2. | CODE OF ETHICS |
| |
| Not applicable. |
| |
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT |
| |
| Not applicable. |
| |
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES |
| |
| Not applicable. |
| |
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS |
| |
| Not Applicable |
| |
ITEM 6. | SCHEDULE OF INVESTMENTS |
| |
| Not Applicable |
| |
ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES |
| |
| Not applicable. |
| |
ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES |
| |
| Not applicable. |
| |
ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS |
| |
| Not applicable. |
| |
ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS |
| |
| There were no material changes to the procedures by which shareholders may recommend nominees to the Fund’s Board. The primary function of the Nominating and Governance Committee is to identify and recommend individuals for membership on the Board and oversee the administration of the Board Governance Guidelines. Shareholders may recommend candidates for Board positions by forwarding their correspondence by U.S. mail or courier service to Paul K. Freeman, Independent Chairman, DWS Funds, P.O. Box 101833, Denver, CO 80250-1833. |
| |
ITEM 11. | CONTROLS AND PROCEDURES |
| |
| (a) The Chief Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on the evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report. |
| |
| (b) There have been no changes in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal controls over financial reporting. |
| |
ITEM 12. | EXHIBITS |
| |
| (a)(1) Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
| |
| (b) Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
Form N-CSRS Item F
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: | DWS Money Market Series, a series of DWS Money Market Trust |
| |
| |
By: | /s/Michael G. Clark Michael G. Clark President |
| |
Date: | August 30, 2010 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/Michael G. Clark Michael G. Clark President |
| |
Date: | August 30, 2010 |
| |
| |
| |
By: | /s/Paul Schubert Paul Schubert Chief Financial Officer and Treasurer |
| |
Date: | August 30, 2010 |
