UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D. C. 20549
FORM N-CSRS
Investment Company Act file number: 811-06073
Cash Management Portfolio
(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: (201) 593-6408
Paul Schubert
100 Plaza One
Jersey City, NJ 07311
(Name and Address of Agent for Service)
Date of fiscal year end: | 12/31 |
Date of reporting period: | 6/30/2011 |
ITEM 1. | REPORT TO STOCKHOLDERS |
Investment Portfolio as of June 30, 2011 (Unaudited)
Principal Amount ($) | Value ($) | |||||||
Certificates of Deposit and Bank Notes 17.9% | ||||||||
ANZ National International Ltd., 144A, 3.25%, 4/2/2012 | 49,000,000 | 50,008,868 | ||||||
Bank Nederlandse Gemeenten NV, 6.0%, 3/26/2012 | 35,000,000 | 36,441,156 | ||||||
Bank of Montreal, 0.12%, 7/25/2011 | 100,000,000 | 100,000,000 | ||||||
Bank of Nova Scotia, 0.16%, 7/8/2011 | 100,000,000 | 100,000,000 | ||||||
BNP Paribas: | ||||||||
0.26%, 8/2/2011 | 200,000,000 | 200,000,000 | ||||||
0.33%, 8/15/2011 | 50,000,000 | 50,005,617 | ||||||
0.35%, 8/8/2011 | 387,000,000 | 387,001,670 | ||||||
Commonwealth Bank of Australia, 144A, 2.4%, 1/12/2012 | 43,132,000 | 43,583,446 | ||||||
Credit Agricole SA: | ||||||||
0.3%, 8/4/2011 | 125,000,000 | 125,000,000 | ||||||
0.39%, 7/22/2011 | 200,000,000 | 200,000,000 | ||||||
Dexia Credit Local, 144A, 2.375%, 9/23/2011 | 108,000,000 | 108,444,133 | ||||||
HSBC Bank PLC, 0.86%, 7/12/2011 | 55,750,000 | 55,757,284 | ||||||
International Finance Corp., 3.0%, 11/15/2011 | 15,000,000 | 15,145,553 | ||||||
Intesa Sanpaolo SpA, 0.25%, 7/5/2011 | 115,000,000 | 115,000,000 | ||||||
Lloyds TSB Bank PLC: | ||||||||
0.23%, 8/1/2011 | 69,000,000 | 69,000,000 | ||||||
0.27%, 7/1/2011 | 150,000,000 | 150,000,000 | ||||||
Mizuho Corporate Bank Ltd.: | ||||||||
0.18%, 7/25/2011 | 50,000,000 | 50,000,000 | ||||||
0.19%, 7/8/2011 | 150,000,000 | 150,000,000 | ||||||
National Australia Bank Ltd., 0.265%, 12/13/2011 | 100,000,000 | 100,002,288 | ||||||
National Bank of Canada, 0.18%, 8/30/2011 | 120,000,000 | 120,000,000 | ||||||
Natixis, 0.21%, 7/1/2011 | 200,000,000 | 200,000,000 | ||||||
Nederlandse Waterschapsbank NV, 1.375%, 2/17/2012 | 44,700,000 | 44,979,201 | ||||||
Nordea Bank Finland PLC: | ||||||||
0.28%, 7/5/2011 | 60,250,000 | 60,250,033 | ||||||
0.67%, 7/20/2011 | 31,000,000 | 31,004,393 | ||||||
Rabobank Nederland NV, 0.34%, 9/23/2011 | 45,000,000 | 45,001,044 | ||||||
Royal Bank of Scotland NV: | ||||||||
0.29%, 7/29/2011 | 37,000,000 | 37,000,000 | ||||||
0.31%, 7/1/2011 | 121,000,000 | 121,000,000 | ||||||
Royal Bank of Scotland PLC, 144A, 3.0%, 12/9/2011 | 100,000,000 | 101,135,167 | ||||||
Skandinaviska Enskilda Banken AB: | ||||||||
0.18%, 8/23/2011 | 50,000,000 | 50,000,000 | ||||||
0.2%, 8/17/2011 | 134,000,000 | 134,000,000 | ||||||
0.2%, 8/23/2011 | 174,500,000 | 174,500,000 | ||||||
0.215%, 7/8/2011 | 200,000,000 | 200,000,000 | ||||||
0.24%, 7/1/2011 | 330,000,000 | 330,000,000 | ||||||
Societe Generale: | ||||||||
0.2%, 7/5/2011 | 113,000,000 | 113,000,000 | ||||||
0.24%, 9/1/2011 | 132,000,000 | 132,000,000 | ||||||
0.29%, 7/7/2011 | 50,000,000 | 50,000,250 | ||||||
Sumitomo Mitsui Banking Corp.: | ||||||||
0.19%, 7/6/2011 | 173,000,000 | 173,000,000 | ||||||
0.19%, 7/8/2011 | 78,200,000 | 78,200,000 | ||||||
Svenska Handelsbanken AB: | ||||||||
0.24%, 7/6/2011 | 150,000,000 | 150,000,000 | ||||||
0.28%, 7/14/2011 | 50,000,000 | 50,000,180 | ||||||
Toronto-Dominion Bank, 0.17%, 8/2/2011 | 270,000,000 | 270,000,000 | ||||||
Total Certificates of Deposit and Bank Notes (Cost $4,770,460,283) | 4,770,460,283 | |||||||
Commercial Paper 26.8% | ||||||||
Issued at Discount** | ||||||||
Abbey National North America LLC, 0.35%, 8/29/2011 | 79,366,000 | 79,320,475 | ||||||
Argento Variable Funding: | ||||||||
144A, 0.25%, 8/4/2011 | 100,000,000 | 99,976,389 | ||||||
144A, 0.25%, 8/8/2011 | 150,000,000 | 149,960,417 | ||||||
144A, 0.26%, 8/1/2011 | 173,000,000 | 172,961,267 | ||||||
144A, 0.31%, 7/5/2011 | 98,000,000 | 97,996,624 | ||||||
Bank of Nova Scotia, 0.255%, 10/13/2011 | 10,000,000 | 9,992,633 | ||||||
Barclays Bank PLC: | ||||||||
0.22%, 9/1/2011 | 66,500,000 | 66,474,804 | ||||||
0.3%, 8/8/2011 | 260,000,000 | 259,917,667 | ||||||
0.3%, 8/10/2011 | 50,000,000 | 49,983,333 | ||||||
0.36%, 7/1/2011 | 250,000,000 | 250,000,000 | ||||||
BPCE SA: | ||||||||
0.27%, 7/26/2011 | 83,678,000 | 83,662,310 | ||||||
0.27%, 7/29/2011 | 115,000,000 | 114,975,850 | ||||||
Caisse d'Amortissement de la Dette Sociale: | ||||||||
0.21%, 7/7/2011 | 125,250,000 | 125,245,616 | ||||||
0.22%, 8/5/2011 | 9,501,000 | 9,498,968 | ||||||
0.24%, 9/19/2011 | 23,332,000 | 23,319,556 | ||||||
0.25%, 7/25/2011 | 38,000,000 | 37,993,667 | ||||||
DnB NOR Bank ASA, 0.21%, 10/3/2011 | 125,000,000 | 124,931,458 | ||||||
Erste Abwicklungsanstalt: | ||||||||
0.33%, 11/8/2011 | 70,000,000 | 69,916,583 | ||||||
0.36%, 12/14/2011 | 85,500,000 | 85,358,070 | ||||||
0.37%, 1/9/2012 | 50,000,000 | 49,901,333 | ||||||
0.37%, 1/17/2012 | 50,000,000 | 49,897,222 | ||||||
0.39%, 2/16/2012 | 50,000,000 | 49,875,417 | ||||||
0.4%, 3/14/2012 | 35,000,000 | 34,900,056 | ||||||
General Electric Capital Corp.: | ||||||||
0.16%, 8/23/2011 | 98,000,000 | 97,976,916 | ||||||
0.19%, 7/18/2011 | 100,000,000 | 99,991,028 | ||||||
General Electric Capital Services, Inc., 0.27%, 10/17/2011 | 25,000,000 | 24,979,750 | ||||||
Grampian Funding LLC: | ||||||||
144A, 0.25%, 8/9/2011 | 99,000,000 | 98,973,187 | ||||||
144A, 0.26%, 7/14/2011 | 71,000,000 | 70,993,334 | ||||||
144A, 0.26%, 7/19/2011 | 23,000,000 | 22,997,010 | ||||||
144A, 0.27%, 7/13/2011 | 150,000,000 | 149,986,500 | ||||||
144A, 0.28%, 7/7/2011 | 27,000,000 | 26,998,740 | ||||||
144A, 0.28%, 7/8/2011 | 345,000,000 | 344,981,217 | ||||||
144A, 0.28%, 7/11/2011 | 98,241,000 | 98,233,359 | ||||||
Johnson & Johnson: | ||||||||
144A, 0.17%, 7/18/2011 | 69,750,000 | 69,744,401 | ||||||
144A, 0.19%, 8/22/2011 | 50,000,000 | 49,986,278 | ||||||
144A, 0.2%, 8/22/2011 | 100,000,000 | 99,971,111 | ||||||
144A, 0.2%, 8/30/2011 | 100,000,000 | 99,966,667 | ||||||
144A, 0.22%, 10/4/2011 | 500,000 | 499,710 | ||||||
144A, 0.22%, 11/10/2011 | 100,000,000 | 99,919,333 | ||||||
144A, 0.23%, 8/5/2011 | 50,000,000 | 49,988,819 | ||||||
144A, 0.23%, 8/8/2011 | 50,000,000 | 49,987,861 | ||||||
Kells Funding LLC: | ||||||||
144A, 0.3%, 1/26/2012 | 25,000,000 | 24,956,458 | ||||||
144A, 0.35%, 2/17/2012 | 43,100,000 | 43,003,205 | ||||||
144A, 0.37%, 3/19/2012 | 25,700,000 | 25,630,796 | ||||||
144A, 0.37%, 4/10/2012 | 80,000,000 | 79,766,489 | ||||||
144A, 0.38%, 4/17/2012 | 25,000,000 | 24,923,208 | ||||||
144A, 0.39%, 7/5/2011 | 35,650,000 | 35,648,455 | ||||||
144A, 0.39%, 9/1/2011 | 50,000,000 | 49,966,417 | ||||||
144A, 0.39%, 9/6/2011 | 97,500,000 | 97,429,231 | ||||||
144A, 0.4%, 7/1/2011 | 44,850,000 | 44,850,000 | ||||||
LMA Americas LLC, 144A, 0.25%, 7/5/2011 | 107,840,000 | 107,837,004 | ||||||
Natixis Commercial Paper Corp.: | ||||||||
0.28%, 8/10/2011 | 100,000,000 | 99,968,889 | ||||||
0.34%, 7/1/2011 | 150,000,000 | 150,000,000 | ||||||
New York Life Capital Corp., 144A, 0.16%, 7/1/2011 | 21,000,000 | 21,000,000 | ||||||
NRW.Bank: | ||||||||
0.22%, 7/14/2011 | 94,000,000 | 93,992,532 | ||||||
0.24%, 11/1/2011 | 162,500,000 | 162,366,750 | ||||||
Rabobank USA Financial Corp.: | ||||||||
0.25%, 9/8/2011 | 4,250,000 | 4,247,964 | ||||||
0.34%, 10/11/2011 | 65,000,000 | 64,937,383 | ||||||
Salisbury Receivables Co., LLC, 144A, 0.13%, 7/18/2011 | 50,000,000 | 49,996,931 | ||||||
Sanofi: | ||||||||
0.26%, 7/14/2011 | 26,500,000 | 26,497,512 | ||||||
0.3%, 8/15/2011 | 260,000,000 | 259,902,500 | ||||||
0.3%, 8/16/2011 | 72,000,000 | 71,972,400 | ||||||
0.31%, 8/18/2011 | 75,000,000 | 74,969,000 | ||||||
SBAB Bank AB: | ||||||||
144A, 0.32%, 8/3/2011 | 50,000,000 | 49,985,333 | ||||||
144A, 0.35%, 7/19/2011 | 21,247,000 | 21,243,282 | ||||||
144A, 0.37%, 7/14/2011 | 50,000,000 | 49,993,319 | ||||||
144A, 0.39%, 7/5/2011 | 31,000,000 | 30,998,657 | ||||||
144A, 0.39%, 7/7/2011 | 80,000,000 | 79,994,800 | ||||||
Scaldis Capital LLC, 0.21%, 7/27/2011 | 4,000,000 | 3,999,393 | ||||||
Shell International Finance BV, 0.345%, 7/5/2011 | 98,100,000 | 98,096,239 | ||||||
Straight-A Funding LLC: | ||||||||
144A, 0.12%, 7/12/2011 | 159,000,000 | 158,994,170 | ||||||
144A, 0.15%, 8/16/2011 | 25,612,000 | 25,607,091 | ||||||
Swedbank AB: | ||||||||
0.26%, 7/13/2011 | 4,250,000 | 4,249,632 | ||||||
0.26%, 7/25/2011 | 133,000,000 | 132,976,947 | ||||||
0.26%, 7/27/2011 | 126,000,000 | 125,976,340 | ||||||
0.26%, 8/1/2011 | 22,000,000 | 21,995,074 | ||||||
0.27%, 7/11/2011 | 33,000,000 | 32,997,525 | ||||||
0.27%, 7/26/2011 | 88,400,000 | 88,383,425 | ||||||
0.29%, 7/7/2011 | 39,707,000 | 39,705,081 | ||||||
0.3%, 7/6/2011 | 50,000,000 | 49,997,917 | ||||||
0.32%, 7/7/2011 | 25,000,000 | 24,998,667 | ||||||
0.34%, 7/1/2011 | 32,000,000 | 32,000,000 | ||||||
0.34%, 7/5/2011 | 35,000,000 | 34,998,678 | ||||||
0.34%, 7/6/2011 | 150,000,000 | 149,992,917 | ||||||
Tasman Funding, Inc.: | ||||||||
144A, 0.23%, 9/6/2011 | 25,047,000 | 25,036,278 | ||||||
144A, 0.28%, 7/7/2011 | 55,067,000 | 55,064,430 | ||||||
Toronto Dominion Holdings USA, Inc., 0.135%, 7/15/2011 | 250,000 | 249,987 | ||||||
Total Capital Canada Ltd., 144A, 0.31%, 9/15/2011 | 15,000,000 | 14,990,183 | ||||||
UOB Funding LLC: | ||||||||
0.23%, 8/16/2011 | 41,000,000 | 40,987,951 | ||||||
0.32%, 7/20/2011 | 50,000,000 | 49,991,556 | ||||||
0.42%, 10/13/2011 | 45,000,000 | 44,945,400 | ||||||
Victory Receivables Corp.: | ||||||||
144A, 0.18%, 7/5/2011 | 103,192,000 | 103,189,936 | ||||||
144A, 0.18%, 7/6/2011 | 80,000,000 | 79,998,000 | ||||||
144A, 0.18%, 7/14/2011 | 40,000,000 | 39,997,400 | ||||||
Walt Disney Co.: | ||||||||
0.08%, 7/8/2011 | 25,000,000 | 24,999,611 | ||||||
0.11%, 8/5/2011 | 10,000,000 | 9,998,931 | ||||||
0.14%, 7/29/2011 | 20,000,000 | 19,997,822 | ||||||
Westpac Banking Corp.: | ||||||||
0.19%, 7/29/2011 | 46,900,000 | 46,893,069 | ||||||
0.225%, 9/6/2011 | 30,000,000 | 29,987,437 | ||||||
0.31%, 11/7/2011 | 3,700,000 | 3,695,890 | ||||||
Total Commercial Paper (Cost $7,113,306,428) | 7,113,306,428 | |||||||
Government & Agency Obligations 5.2% | ||||||||
Foreign Government Obligations 0.3% | ||||||||
Kingdom of Denmark, 2.75%, 11/15/2011 | 88,200,000 | 88,962,184 | ||||||
Other Government Related (a) 0.9% | ||||||||
European Investment Bank, 0.11%, 8/15/2011 | 200,000,000 | 199,972,500 | ||||||
International Bank for Reconstruction & Development: | ||||||||
0.059%**, 8/8/2011 | 33,000,000 | 32,997,910 | ||||||
0.24%*, 7/13/2011 | 6,500,000 | 6,500,066 | ||||||
239,470,476 | ||||||||
US Government Sponsored Agencies 3.1% | ||||||||
Federal Farm Credit Bank: | ||||||||
0.17%*, 11/2/2011 | 60,000,000 | 59,998,981 | ||||||
0.258%**, 10/20/2011 | 39,000,000 | 38,968,735 | ||||||
0.318%**, 12/16/2011 | 10,000,000 | 9,985,067 | ||||||
Federal Home Loan Bank: | ||||||||
0.001%**, 7/1/2011 | 1,343,000 | 1,343,000 | ||||||
0.089%**, 9/21/2011 | 40,000,000 | 39,991,800 | ||||||
0.13%, 1/23/2012 | 11,000,000 | 10,997,956 | ||||||
0.237%*, 10/6/2011 | 40,000,000 | 40,011,249 | ||||||
0.25%, 10/28/2011 | 42,000,000 | 41,998,867 | ||||||
0.26%, 11/23/2011 | 28,000,000 | 27,996,218 | ||||||
0.26%, 11/29/2011 | 27,055,000 | 27,053,511 | ||||||
0.267%**, 9/12/2011 | 18,000,000 | 17,990,145 | ||||||
Federal Home Loan Mortgage Corp.: | ||||||||
0.119%**, 1/11/2012 | 25,000,000 | 24,983,833 | ||||||
0.129%**, 10/24/2011 | 35,000,000 | 34,985,465 | ||||||
0.15%*, 2/10/2012 | 41,200,000 | 41,207,994 | ||||||
Federal National Mortgage Association: | ||||||||
0.028%**, 7/14/2011 | 75,000,000 | 74,999,187 | ||||||
0.077%**, 7/21/2011 | 30,000,000 | 29,998,667 | ||||||
0.086%*, 7/27/2011 | 33,800,000 | 33,798,410 | ||||||
0.118%**, 8/22/2011 | 70,000,000 | 69,987,867 | ||||||
0.147%**, 8/22/2011 | 107,000,000 | 106,976,817 | ||||||
0.149%**, 10/20/2011 | 20,000,000 | 19,990,750 | ||||||
0.165%**, 9/14/2011 | 52,500,000 | 52,481,953 | ||||||
0.189%**, 1/3/2012 | 20,000,000 | 19,980,367 | ||||||
825,726,839 | ||||||||
US Treasury Obligations 0.9% | ||||||||
US Treasury Bills: | ||||||||
0.005%**, 7/14/2011 | 3,951,000 | 3,950,993 | ||||||
0.005%**, 9/1/2011 | 3,100,000 | 3,099,973 | ||||||
0.01%**, 8/11/2011 | 941,000 | 940,989 | ||||||
0.015%**, 8/11/2011 | 8,061,000 | 8,060,862 | ||||||
0.02%**, 8/4/2011 | 2,000,000 | 1,999,962 | ||||||
0.03%**, 8/25/2011 | 35,151,000 | 35,149,389 | ||||||
0.03%**, 9/8/2011 | 8,702,000 | 8,701,500 | ||||||
0.035%**, 9/15/2011 | 12,855,000 | 12,854,050 | ||||||
0.037%**, 8/11/2011 | 1,703,000 | 1,702,930 | ||||||
0.04%**, 8/18/2011 | 8,550,000 | 8,549,544 | ||||||
0.045%**, 8/25/2011 | 496,000 | 495,966 | ||||||
0.045%**, 12/8/2011 | 1,656,000 | 1,655,669 | ||||||
0.05%**, 11/17/2011 | 3,499,000 | 3,498,325 | ||||||
0.05%**, 11/25/2011 | 45,000,000 | 44,990,813 | ||||||
0.065%**, 7/14/2011 | 448,000 | 447,989 | ||||||
0.08%**, 7/7/2011 | 2,983,000 | 2,982,960 | ||||||
0.095%**, 7/7/2011 | 2,000,000 | 1,999,968 | ||||||
0.115%**, 10/13/2011 | 10,496,000 | 10,492,513 | ||||||
0.16%**, 9/29/2011 | 10,000,000 | 9,996,000 | ||||||
US Treasury Notes: | ||||||||
4.5%, 11/30/2011 | 34,500,000 | 35,099,825 | ||||||
4.625%, 8/31/2011 | 31,000,000 | 31,228,519 | ||||||
227,898,739 | ||||||||
Total Government & Agency Obligations (Cost $1,382,058,238) | 1,382,058,238 | |||||||
Short-Term Notes* 17.6% | ||||||||
Abbey National Treasury Services PLC, 0.38%, 9/2/2011 | 213,500,000 | 213,500,000 | ||||||
Australia & New Zealand Banking Group Ltd., 144A, 0.31%, 1/20/2012 | 72,000,000 | 72,000,000 | ||||||
Bank of Nova Scotia: | ||||||||
0.17%, 11/4/2011 | 135,000,000 | 135,000,000 | ||||||
0.2%, 8/25/2011 | 150,000,000 | 150,000,000 | ||||||
0.25%, 9/12/2011 | 104,450,000 | 104,450,000 | ||||||
0.33%, 12/8/2011 | 85,000,000 | 85,000,000 | ||||||
Barclays Bank PLC, 0.505%, 7/19/2011 | 166,000,000 | 166,000,000 | ||||||
Bayerische Landesbank, 0.245%, 7/23/2012 | 40,000,000 | 40,000,000 | ||||||
Caisse d'Amortissement de la Dette Sociale, 144A, 0.273%, 5/25/2012 | 315,000,000 | 314,968,616 | ||||||
Canadian Imperial Bank of Commerce: | ||||||||
0.18%, 8/8/2011 | 163,000,000 | 163,000,000 | ||||||
0.265%, 4/26/2012 | 200,000,000 | 200,000,000 | ||||||
0.269%, 10/11/2011 | 15,000,000 | 15,001,689 | ||||||
Commonwealth Bank of Australia: | ||||||||
144A, 0.288%, 2/3/2012 | 135,000,000 | 135,000,000 | ||||||
144A, 0.29%, 4/30/2012 | 40,000,000 | 40,000,000 | ||||||
General Electric Capital Corp., 0.33%, 8/15/2011 | 94,895,000 | 94,904,699 | ||||||
International Business Machines Corp., 0.852%, 7/28/2011 | 33,980,000 | 33,996,248 | ||||||
JPMorgan Chase Bank NA, 0.275%, 7/9/2012 | 250,000,000 | 250,000,000 | ||||||
Kells Funding LLC: | ||||||||
144A, 0.279%, 5/4/2012 | 125,000,000 | 125,000,000 | ||||||
144A, 0.285%, 1/19/2012 | 27,000,000 | 27,000,000 | ||||||
144A, 0.287%, 8/15/2011 | 125,000,000 | 125,000,000 | ||||||
144A, 0.289%, 1/9/2012 | 64,000,000 | 63,997,244 | ||||||
144A, 0.291%, 2/27/2012 | 56,000,000 | 56,000,000 | ||||||
144A, 0.315%, 2/24/2012 | 147,500,000 | 147,500,000 | ||||||
144A, 0.323%, 4/16/2012 | 150,000,000 | 150,000,000 | ||||||
Lloyds TSB Bank PLC, 0.265%, 5/11/2012 | 140,000,000 | 140,000,000 | ||||||
Metropolitan Life Global Funding I, 144A, 2.304%, 7/1/2011 | 40,000,000 | 40,000,000 | ||||||
Nordea Bank Finland PLC, 0.523%, 2/3/2012 | 35,000,000 | 35,042,458 | ||||||
Rabobank Nederland NV: | ||||||||
0.26%, 5/16/2012 | 50,000,000 | 50,000,000 | ||||||
0.269%, 1/10/2012 | 108,250,000 | 108,250,000 | ||||||
0.28%, 4/24/2012 | 133,000,000 | 133,000,000 | ||||||
0.29%, 8/8/2011 | 238,200,000 | 238,200,000 | ||||||
144A, 0.33%, 6/15/2012 | 75,000,000 | 75,000,000 | ||||||
144A, 0.396%, 9/28/2011 | 82,000,000 | 82,029,893 | ||||||
Royal Bank of Canada: | ||||||||
0.27%, 8/16/2011 | 20,000,000 | 20,002,271 | ||||||
0.29%, 8/12/2011 | 115,000,000 | 115,000,000 | ||||||
0.923%, 7/29/2011 | 2,000,000 | 2,001,048 | ||||||
Societe Generale, 0.19%, 8/1/2011 | 26,000,000 | 26,000,000 | ||||||
Svenska Handelsbanken AB: | ||||||||
144A, 0.291%, 6/29/2012 | 80,000,000 | 80,000,000 | ||||||
144A, 0.403%, 11/9/2011 | 19,000,000 | 19,000,000 | ||||||
Toronto-Dominion Bank, 0.209%, 5/11/2012 | 130,500,000 | 130,500,000 | ||||||
Westpac Banking Corp.: | ||||||||
0.25%, 10/12/2011 | 132,000,000 | 132,000,000 | ||||||
0.264%, 2/13/2012 | 49,000,000 | 49,000,000 | ||||||
0.27%, 11/21/2011 | 100,000,000 | 100,000,000 | ||||||
0.279%, 5/9/2012 | 60,000,000 | 60,000,000 | ||||||
144A, 0.323%, 10/28/2011 | 46,000,000 | 46,003,465 | ||||||
0.34%, 1/10/2012 | 85,000,000 | 85,000,000 | ||||||
Total Short-Term Notes (Cost $4,673,347,631) | 4,673,347,631 | |||||||
Time Deposits 11.4% | ||||||||
Bank of Nova Scotia, 0.0001%, 7/1/2011 | 200,000,000 | 200,000,000 | ||||||
Barclays Bank PLC, 0.02%, 7/1/2011 | 325,000,000 | 325,000,000 | ||||||
Citibank NA: | ||||||||
0.07%, 7/1/2011 | 25,000,000 | 25,000,000 | ||||||
0.09%, 7/5/2011 | 11,508,176 | 11,508,176 | ||||||
0.12%, 7/7/2011 | 150,000,000 | 150,000,000 | ||||||
KBC Bank NV, 0.0001%, 7/1/2011 | 600,000,000 | 600,000,000 | ||||||
National Australia Bank Ltd., 0.01%, 7/1/2011 | 25,000,000 | 25,000,000 | ||||||
State Street Euro Dollar, 0.01%, 7/1/2011 | 1,100,000,000 | 1,100,000,000 | ||||||
Svenska Handelsbanken AB, 0.0001%, 7/1/2011 | 600,000,000 | 600,000,000 | ||||||
Total Time Deposits (Cost $3,036,508,176) | 3,036,508,176 | |||||||
Municipal Investments 18.0% | ||||||||
Albemarle County, VA, Economic Development Authority, Hospital Revenue, Martha Jefferson Hospital, Series B, 0.08%***, 10/1/2048, LOC: Branch Banking & Trust | 6,000,000 | 6,000,000 | ||||||
Allegheny County, PA, RBC Municipal Products, Inc. Trust Certificates, Series E-16, 144A, 0.09%***, 4/15/2039, LIQ: Royal Bank of Canada, LOC: Royal Bank of Canada | 22,490,000 | 22,490,000 | ||||||
Appleton, WI, Redevelopment Authority Revenue, Fox Cities Performing Arts Center, Inc., Series B, 0.1%***, 6/1/2036, LOC: JPMorgan Chase Bank | 18,400,000 | 18,400,000 | ||||||
Arizona, Board of Regents, State University Systems Revenue, Series A, 0.05%***, 7/1/2034, LOC: Lloyds TSB Bank PLC | 4,315,000 | 4,315,000 | ||||||
Arizona, Health Facilities Authority Revenue, Banner Health System, Series B, 0.04%***, 1/1/2035, LOC: Scotiabank | 13,460,000 | 13,460,000 | ||||||
Arizona, Health Facilities Authority Revenue, Catholic West: | ||||||||
Series A, 0.07%***, 7/1/2035, LOC: JPMorgan Chase Bank | 18,300,000 | 18,300,000 | ||||||
Series B, 0.09%***, 7/1/2035, LOC: Bank of America NA | 19,000,000 | 19,000,000 | ||||||
Atlanta, GA, Airport Revenue, 0.3%, 8/4/2011 | 50,000,000 | 50,000,000 | ||||||
Beaver County, PA, Industrial Development Authority, Pollution Control Revenue, FirstEnergy Nuclear Generation Corp., Series B, 0.06%***, 12/1/2035, GTY: FirstEnergy Solutions, LOC: Citibank NA | 9,795,000 | 9,795,000 | ||||||
BlackRock Municipal Intermediate Duration Fund, Inc., Series W-7-2871, 144A, AMT, 0.24%***, 3/1/2041, LIQ: JPMorgan Chase Bank | 30,000,000 | 30,000,000 | ||||||
BlackRock MuniHoldings New Jersey Quality Fund, Inc., Series W-7-1727, 144A, 0.29%***, 7/1/2041, LIQ: Bank of America NA | 30,000,000 | 30,000,000 | ||||||
BlackRock MuniHoldings New York Quality Fund, Inc., Series W-7-2436, 144A, 0.29%***, 7/1/2041, LIQ: Bank of America NA | 40,000,000 | 40,000,000 | ||||||
BlackRock MuniYield Fund, Inc., Series W-7-2514, 144A, 0.29%***, 7/1/2041, LIQ: Bank of America NA | 25,000,000 | 25,000,000 | ||||||
BlackRock MuniYield Quality Fund III, Inc., 144A, 0.29%***, 6/1/2041, LIQ: Citibank NA | 44,500,000 | 44,500,000 | ||||||
BlackRock MuniYield California Quality Fund, Inc., Series W-7-1665, 144A, AMT, 0.29%***, 5/1/2041, LIQ: Citibank NA | 13,500,000 | 13,500,000 | ||||||
BlackRock MuniYield New York Quality Fund, Inc., Series W-7-2477, 144A, AMT, 0.29%***, 5/1/2041, LIQ: Citibank NA | 26,300,000 | 26,300,000 | ||||||
Blount County, TN, Public Building Authority, Local Government Public Improvement: | ||||||||
Series E-5-A, 0.1%***, 6/1/2030, LOC: Branch Banking & Trust | 45,100,000 | 45,100,000 | ||||||
Series E-5-B, 0.1%***, 6/1/2042, LOC: Branch Banking & Trust | 12,785,000 | 12,785,000 | ||||||
California, ABAG Finance Authority for Non-Profit Corporations, Multi-Family Housing Revenue, Crossing Apartments, Series A, AMT, 0.08%***, 12/15/2037, LIQ: Fannie Mae | 9,000,000 | 9,000,000 | ||||||
California, Bay Area Toll Authority, Toll Bridge Revenue: | ||||||||
Series D-2, 0.03%***, 4/1/2047, LOC: JPMorgan Chase Bank | 39,200,000 | 39,200,000 | ||||||
Series A-1, 144A, 0.04%***, 4/1/2047, LOC: Bank of America NA | 21,000,000 | 21,000,000 | ||||||
Series A-2, 0.04%***, 4/1/2047, LOC: Union Bank NA | 20,500,000 | 20,500,000 | ||||||
California, Bay Area Toll Authority, Toll Bridge Revenue, San Francisco Bay Area: | ||||||||
Series D-1, 0.03%***, 4/1/2045, LOC: Lloyds TSB Bank PLC | 10,500,000 | 10,500,000 | ||||||
Series C-1, 0.04%***, 4/1/2047, LOC: JPMorgan Chase Bank | 48,750,000 | 48,750,000 | ||||||
Series E-3, 0.04%***, 4/1/2047, LOC: Bank of America NA | 25,000,000 | 25,000,000 | ||||||
California, Board of Regents, State University Systems Revenue, 0.17%, 7/7/2011 | 25,831,000 | 25,830,268 | ||||||
California, Housing Finance Agency Revenue, Series A, AMT, 0.07%***, 8/1/2035, LOC: Fannie Mae & Freddie Mac | 8,435,000 | 8,435,000 | ||||||
California, Housing Finance Agency Revenue, Home Mortgage, Series D, 144A, AMT, 0.07%***, 2/1/2040, LOC: Fannie Mae & Freddie Mac | 29,325,000 | 29,325,000 | ||||||
California, Housing Finance Agency Revenue, Multi-Family Housing: | ||||||||
Series A, AMT, 0.06%***, 2/1/2041, LOC: Fannie Mae, Freddie Mac | 20,345,000 | 20,345,000 | ||||||
Series C, AMT, 0.06%***, 2/1/2033, LOC: Fannie Mae, Freddie Mac | 13,500,000 | 13,500,000 | ||||||
Series C, AMT, 0.06%***, 8/1/2037, LOC: Fannie Mae, Freddie Mac | 15,470,000 | 15,470,000 | ||||||
Series III-D, AMT, 0.06%***, 2/1/2038, LOC: Fannie Mae, Freddie Mac | 17,125,000 | 17,125,000 | ||||||
California, State General Obligation, Series B-1, 0.06%***, 5/1/2040, LOC: Bank of America NA | 20,000,000 | 20,000,000 | ||||||
California, Statewide Communities Development Authority Revenue, Series 2089, 144A, 0.09%***, 10/1/2036, GTY: Wells Fargo & Co., LIQ: Wells Fargo Bank NA | 6,440,000 | 6,440,000 | ||||||
California, Statewide Communities Development Authority Revenue, LA County Museum of Art, Series B, 0.05%***, 12/1/2037, LOC: Union Bank NA | 35,000,000 | 35,000,000 | ||||||
California, Statewide Communities Development Authority Revenue, Retirement Housing Foundation, 0.08%***, 9/1/2030, LOC: KBC Bank NV | 35,560,000 | 35,560,000 | ||||||
California, Statewide Communities Development Authority, Multi-Family Housing Revenue, Bay Vista At Meadow Park, Series NN-1, AMT, 0.08%***, 11/15/2037, LIQ: Fannie Mae | 29,320,000 | 29,320,000 | ||||||
California, Wells Fargo Stage Trust, Series 25C, 144A, 0.09%***, 11/1/2041, GTY: Wells Fargo Bank NA, LIQ: Wells Fargo Bank NA | 3,525,000 | 3,525,000 | ||||||
Carroll County, KY, Environmental Facilities Revenue, Utilities Company Project, Series A, AMT, 0.1%***, 2/1/2032, LOC: Sumitomo Mitsui Banking | 40,000,000 | 40,000,000 | ||||||
Channahon, IL, Morris Hospital Revenue, 0.08%***, 12/1/2034, LOC: US Bank NA | 5,220,000 | 5,220,000 | ||||||
Clark County, NV, Passenger Facility Charge Revenue, McCarran International Airport, Series F-2, 0.11%***, 7/1/2022, LOC: Union Bank NA | 18,000,000 | 18,000,000 | ||||||
Cleveland, OH, Airport Systems Revenue, Series D, 0.08%***, 1/1/2024, LOC: PNC Bank NA | 11,000,000 | 11,000,000 | ||||||
Cleveland-Cuyahoga County, OH, Port Authority Revenue, Carnegie/89th Garage Project, 0.07%***, 1/1/2037, LOC: JPMorgan Chase Bank | 18,125,000 | 18,125,000 | ||||||
Cohoes, NY, Industrial Development Agency, Urban Cultural Park Facility Revenue, Eddy Cohoes Project, 0.06%***, 12/1/2033, LOC: Bank of America NA | 18,000,000 | 18,000,000 | ||||||
Colorado, Educational & Cultural Facilities Authority Revenue, Fremont Christian School Project, 0.06%***, 6/1/2038, LOC: US Bank NA | 12,500,000 | 12,500,000 | ||||||
Colorado, Health Facilities Authority Revenue, Covenant Retirement, Series A, 0.08%***, 12/1/2029, LOC: LaSalle Bank NA | 12,900,000 | 12,900,000 | ||||||
Colorado, Health Facilities Authority Revenue, Fraiser Meadows Community Project, 0.08%***, 6/1/2038, LOC: JPMorgan Chase Bank | 14,000,000 | 14,000,000 | ||||||
Colorado, Housing & Finance Authority, Series I-A1, 144A, 0.13%***, 10/1/2036, LIQ: Barclays Bank PLC (b) | 20,690,000 | 20,690,000 | ||||||
Colorado, Housing Finance Authority, Single Family Mortgage Revenue: | ||||||||
"I", Series B-1, 0.14%***, 5/1/2038, LOC: Fannie Mae & Freddie Mac (b) | 33,525,000 | 33,525,000 | ||||||
"I", Series A-2, 0.15%***, 5/1/2038, LOC: Fannie Mae & Freddie Mac (b) | 25,280,000 | 25,280,000 | ||||||
Colorado, Meridian Village Metropolitan, RBC Municipal Products, Inc. Trust, Series C-11, 144A, 0.09%***, 12/1/2031, LIQ: Royal Bank of Canada, LOC: Royal Bank of Canada | 17,580,000 | 17,580,000 | ||||||
Colorado Springs, CO, Utilities Revenue, Series C, 0.07%***, 11/1/2040, SPA: JPMorgan Chase Bank | 29,750,000 | 29,750,000 | ||||||
Columbus, OH, Regional Airport Authority Revenue, Pooled Financing Program, Series A, 0.09%***, 1/1/2030, LOC: US Bank NA | 8,535,000 | 8,535,000 | ||||||
Contra Costa County, CA, Multi-Family Housing Revenue, Creekview Apartments, Series B, 144A, AMT, 0.08%***, 7/1/2036, LIQ: Freddie Mac | 6,000,000 | 6,000,000 | ||||||
Cuyahoga County, OH, Housing Revenue, Euclid Avenue Housing Corp., Series A, 0.08%***, 8/1/2042, LOC: PNC Bank NA | 10,000,000 | 10,000,000 | ||||||
District of Columbia, University Revenue, Wells Fargo Stage Trust, Series 57C, 144A, 0.1%***, 4/1/2034, GTY: Wells Fargo Bank NA, LIQ: Wells Fargo Bank NA | 24,995,000 | 24,995,000 | ||||||
Erie County, PA, Hospital Authority, Health Facilities Revenue, St. Mary's Home Erie Project, Series A, 0.13%***, 7/1/2038, LOC: Bank of America NA | 8,200,000 | 8,200,000 | ||||||
Florida, Development Finance Corp., Enterprise Board Industrial Development Program, Out of Door Academy, 0.11%***, 7/1/2038, LOC: Northern Trust Co. | 12,910,000 | 12,910,000 | ||||||
Florida, Gulf Coast University Financing Corp., Capital Improvement Revenue, Housing Project, Series A, 0.06%***, 2/1/2038, LOC: Bank of America NA | 21,165,000 | 21,165,000 | ||||||
Florida, Halifax Hospital Medical Center Revenue, 0.08%***, 6/1/2048, LOC: JPMorgan Chase & Co. | 35,000,000 | 35,000,000 | ||||||
Florida, Housing Finance Corp., Multi-Family Revenue, Victoria Park, Series J-1, 0.1%***, 10/15/2032, LIQ: Fannie Mae | 8,920,000 | 8,920,000 | ||||||
Florida, Keys Aqueduct Authority Water Revenue, 0.05%***, 9/1/2035, LOC: TD Bank NA | 16,200,000 | 16,200,000 | ||||||
Florida, Sunshine State Governmental Financing Commission Revenue, Miami Dade County Program, Series B, 0.07%***, 9/1/2032, LOC: JPMorgan Chase Bank | 28,500,000 | 28,500,000 | ||||||
Fort Smith, AR, Mitsubishi Power Systems Revenue, Recovery Zone Facility Bonds, 0.13%***, 10/1/2040, LOC: Bank of Tokyo-Mitsubishi UFJ | 8,000,000 | 8,000,000 | ||||||
Fremont, CA, Certificates of Participation, 0.06%***, 8/1/2038, LOC: US Bank NA | 21,000,000 | 21,000,000 | ||||||
Galveston County, TX, General Obligation, Series R-11275WF, 144A, 0.08%***, 8/1/2023, GTY: Wells Fargo & Co., INS: NATL, LIQ: Wells Fargo & Co. | 9,430,000 | 9,430,000 | ||||||
Georgia, Main Street Natural Gas, Inc., Gas Project Revenue, Series A, 0.09%***, 8/1/2040, SPA: Royal Bank of Canada | 19,800,000 | 19,800,000 | ||||||
Georgia, Metropolitan Rapid Transportation Authority, Sales Tax Revenue, Series A, 144A, 0.06%***, 7/1/2025, LOC: JPMorgan Chase Bank | 10,600,000 | 10,600,000 | ||||||
Georgia, Private Colleges & Universities Authority Revenue, Emory University, Series C-4, 0.04%***, 9/1/2036 | 18,600,000 | 18,600,000 | ||||||
Georgia, Private Colleges & Universities Authority Revenue, Mercer University Project, Series A, 0.09%***, 10/1/2036, LOC: Branch Banking & Trust | 11,040,000 | 11,040,000 | ||||||
Harris County, TX, Cultural Education Facilities Finance Corp. Revenue, Memorial Hermann Hospital Systems, Series D-3, 0.1%***, 6/1/2029, LOC: Bank of America NA | 15,100,000 | 15,100,000 | ||||||
Hawaii, Pacific Health Special Purpose Revenue, Department of Budget & Finance: | ||||||||
Series B-1, 0.07%***, 7/1/2033, LOC: JPMorgan Chase Bank | 25,000,000 | 25,000,000 | ||||||
Series B-2, 0.07%***, 7/1/2033, LOC: JPMorgan Chase Bank | 25,000,000 | 25,000,000 | ||||||
Highlands County, FL, Health Facilities Authority Revenue, Adventist Health Hospital: | ||||||||
Series F, 0.06%***, 11/15/2035, LOC: Wells Fargo Bank NA | 11,000,000 | 11,000,000 | ||||||
Series D, 0.08%***, 11/15/2037, LOC: Bank of America NA | 31,410,000 | 31,410,000 | ||||||
Houston, TX, RBC Municipal Products, Inc. Trust Certificates, Utility Systems Revenue, Series E-14, 144A, 0.09%***, 5/15/2034, LIQ: Royal Bank of Canada, LOC: Royal Bank of Canada | 24,070,000 | 24,070,000 | ||||||
Houston, TX, Water & Sewer System Revenue, Series 27TPZ, 144A, 0.08%***, 12/1/2028, GTY: Wells Fargo Bank NA, INS: AGMC, LIQ: Wells Fargo Bank NA, LOC: Wells Fargo Bank NA | 15,130,000 | 15,130,000 | ||||||
Idaho, Health Facilities Authority Revenue, St. Luke's Health Systems Project, Series A, 0.08%***, 11/1/2043, LOC: Wells Fargo Bank NA | 10,000,000 | 10,000,000 | ||||||
Illinois, Development Finance Authority Revenue, Chicago Symphony Project, 0.08%***, 12/1/2033, LOC: Bank One NA | 12,500,000 | 12,500,000 | ||||||
Illinois, Eclipse Funding Trust, Solar Eclipse, Springfield Electric Revenue, Series 2006-0007, 144A, 0.08%***, 3/1/2030, LIQ: US Bank NA, LOC: US Bank NA | 22,550,000 | 22,550,000 | ||||||
Illinois, Educational Facilities Authority Revenues, Field Museum of Natural History, 144A, 0.09%***, 11/1/2032, LOC: Bank of America NA | 28,900,000 | 28,900,000 | ||||||
Illinois, Finance Authority Revenue: | ||||||||
Series A, 0.08%***, 11/15/2022, INS: Radian, LOC: JPMorgan Chase Bank | 12,085,000 | 12,085,000 | ||||||
Series 15C, 144A, 0.1%***, 10/1/2040, GTY: Wells Fargo Bank NA, LIQ: Wells Fargo Bank NA | 24,405,000 | 24,405,000 | ||||||
Illinois, Finance Authority Revenue, Rehabilitation Institute of Chicago, Series A, 0.06%***, 4/1/2039, LOC: JPMorgan Chase Bank | 13,280,000 | 13,280,000 | ||||||
Illinois, State Toll Highway Authority Revenue, Series A-1A, 0.09%***, 1/1/2031, INS: AGMC, SPA: JPMorgan Chase Bank | 51,500,000 | 51,500,000 | ||||||
Indiana, Finance Authority Hospital Revenue, Community Foundation of Northwest Indiana, 0.06%***, 8/1/2029, LOC: Harris NA | 6,195,000 | 6,195,000 | ||||||
Indiana, Finance Authority Hospital Revenue, Parkview Health Systems, Series B, 0.06%***, 11/1/2039, LOC: Wells Fargo Bank NA | 12,490,000 | 12,490,000 | ||||||
Indiana, Finance Authority Hospital Revenue, Indiana University Health: | ||||||||
Series A, 0.05%***, 3/1/2033, LOC: Northern Trust Co. | 16,550,000 | 16,550,000 | ||||||
Series J, 0.14%***, 3/1/2033, LOC: JPMorgan Chase Bank (b) | 15,625,000 | 15,625,000 | ||||||
Indiana, IPS Multi-School Building Corp., Series R-885WF, 144A, 0.09%***, 1/15/2025, GTY: Wells Fargo & Co., INS: AGMC, LIQ: Wells Fargo & Co. | 7,545,000 | 7,545,000 | ||||||
Indiana, State Finance Authority Revenue, Ascension Health Credit Group, Series E-7, 0.06%***, 11/15/2033 | 23,600,000 | 23,600,000 | ||||||
Indiana, Wells Fargo Stage Trust, Series 41C, 144A, 0.1%***, 1/1/2021, GTY: Wells Fargo Bank NA, LIQ: Wells Fargo Bank NA | 16,785,000 | 16,785,000 | ||||||
Irvine Ranch, CA, Water District, 0.05%***, 1/1/2021, LOC: Sumitomo Mitsui Banking | 7,300,000 | 7,300,000 | ||||||
Jacksonville, FL, Electronic Systems Revenue, 0.15%, 7/6/2011 | 32,000,000 | 32,000,000 | ||||||
Johnson City, TN, Health & Educational Facilities Board Hospital Revenue, Series B-3, 0.16%***, 7/1/2033, LOC: Mizuho Corporate Bank (b) | 19,050,000 | 19,050,000 | ||||||
Kansas, State Department of Transportation Highway Revenue: | ||||||||
Series A-5, 0.05%***, 9/1/2015, SPA: US Bank NA | 16,650,000 | 16,650,000 | ||||||
Series C-2, 0.05%***, 9/1/2022, SPA: JPMorgan Chase Bank | 10,000,000 | 10,000,000 | ||||||
Series C-3, 0.05%***, 9/1/2023, SPA: JPMorgan Chase Bank | 14,500,000 | 14,500,000 | ||||||
Kansas City, MO, Industrial Development Authority, Student Housing Facilities Revenue, Oak Street West Student, 144A, 0.09%***, 8/1/2038, LOC: Bank of America NA | 30,160,000 | 30,160,000 | ||||||
Kansas City, MO, Special Obligation, H. Roe Bartle Scout Reservation, Series E, 0.09%***, 4/15/2034, LOC: Bank of America NA | 27,500,000 | 27,500,000 | ||||||
Knox County, TN, Health Education & Housing Facilities Board, Hospital Facilities Revenue, Covenant Health, Series B, 0.09%***, 1/1/2033, LOC: Bank of America NA | 24,000,000 | 24,000,000 | ||||||
Ladysmith, WI, Industrial Development Revenue, Indeck Ladysmith LLC Project, Series A, 0.08%***, 8/1/2027, LOC: Wells Fargo Bank NA | 8,400,000 | 8,400,000 | ||||||
Lincoln County, WY, Pollution Control Revenue, Pacificorp Project, 0.08%***, 1/1/2016, LOC: Wells Fargo Bank NA | 11,250,000 | 11,250,000 | ||||||
Los Angeles County, CA, Multi-Family Housing Authority Revenue, Canyon Country Villas Project, Series H, 0.06%***, 12/1/2032, LIQ: Freddie Mac | 13,300,000 | 13,300,000 | ||||||
Maine, State Housing Authority, Mortgage Purchase Revenue, Series D, AMT, 0.11%***, 11/15/2042, SPA: KBC Bank NV | 10,000,000 | 10,000,000 | ||||||
Maricopa County, AZ, Industrial Development Authority, Senior Living Facilities Revenue, Christian Care Apartments, Series A, 0.08%***, 9/15/2035, LIQ: Fannie Mae | 10,960,000 | 10,960,000 | ||||||
Maryland, State Health & Higher Educational Facilities Authority Revenue, Suburban Hospital, 0.08%***, 7/1/2029, LOC: PNC Bank NA | 10,560,000 | 10,560,000 | ||||||
Maryland, State Health & Higher Educational Facilities Authority Revenue, Upper Chesapeake Hospital, Series B, 0.1%***, 1/1/2043, LOC: Branch Banking & Trust | 17,605,000 | 17,605,000 | ||||||
Massachusetts, State Department of Transportation, Metropolitan Highway Systems Revenue, Contract Assistance: | ||||||||
Series A-1, 0.05%***, 1/1/2029, SPA: TD Bank NA | 28,900,000 | 28,900,000 | ||||||
Series A-3, 0.06%***, 1/1/2039, LOC: Bank of America NA | 38,845,000 | 38,845,000 | ||||||
Series A-4, 0.03%***, 1/1/2039, SPA: Barclays Bank PLC | 14,950,000 | 14,950,000 | ||||||
Massachusetts, State Development Finance Agency Revenue, Clark University, 0.07%***, 10/1/2038, LOC: TD Bank NA | 4,725,000 | 4,725,000 | ||||||
Massachusetts, State Development Finance Agency Revenue, The Fay School, Inc., 0.09%***, 4/1/2038, LOC: TD Bank NA | 5,400,000 | 5,400,000 | ||||||
Massachusetts, State Development Finance Agency Revenue, Wentworth Institute of Technology, 0.08%***, 10/1/2030, LOC: RBS Citizens NA | 27,355,000 | 27,355,000 | ||||||
Massachusetts, State General Obligation: | ||||||||
Series A, 0.05%***, 9/1/2016, SPA: JPMorgan Chase Bank | 31,845,000 | 31,845,000 | ||||||
Series B, 0.07%***, 3/1/2026, SPA: Bank of America NA | 10,500,000 | 10,500,000 | ||||||
Massachusetts, State Health & Educational Facilities Authority Revenue, Hillcrest Extended Care Services, Inc., Series A, 0.12%***, 10/1/2026, LOC: Bank of America NA | 6,685,000 | 6,685,000 | ||||||
Massachusetts, State Water Resources Authority: | ||||||||
Series C-1, 0.06%***, 11/1/2026, SPA: Bank of America NA | 20,900,000 | 20,900,000 | ||||||
Series C-2, 0.06%***, 11/1/2026, SPA: Barclays Bank PLC | 20,800,000 | 20,800,000 | ||||||
Series A-3, 0.06%***, 8/1/2037, SPA: Wells Fargo Bank NA | 22,300,000 | 22,300,000 | ||||||
Michigan, Finance Authority, School Loan: | ||||||||
Series C, 0.15%***, 9/1/2050, LOC: Bank of Montreal (b) | 21,000,000 | 21,000,000 | ||||||
Series B, 0.16%***, 9/1/2050, LOC: PNC Bank NA (b) | 25,000,000 | 25,000,000 | ||||||
Michigan, Higher Education Facilities Authority Revenue, Limited Obligation, Hope College, Series B, 0.1%***, 4/1/2032, LOC: PNC Bank NA | 17,430,000 | 17,430,000 | ||||||
Michigan, RBC Municipal Products, Inc. Trust, Series L-25, 144A, AMT, 0.13%***, 9/1/2033, LIQ: Royal Bank of Canada, LOC: Royal Bank of Canada | 25,000,000 | 25,000,000 | ||||||
Minnesota, State Housing Finance Agency, Residential Housing: | ||||||||
Series C, AMT, 0.08%***, 1/1/2037, SPA: State Street Bank & Trust Co. | 17,805,000 | 17,805,000 | ||||||
Series I, AMT, 0.09%***, 1/1/2036, SPA: Lloyds TSB Bank PLC | 28,960,000 | 28,960,000 | ||||||
Minnesota, State Housing Finance Agency, Residential Housing Finance, Series M, AMT, 0.08%***, 1/1/2036, SPA: Lloyds TSB Bank PLC | 7,780,000 | 7,780,000 | ||||||
Minnesota, State Office of Higher Education Revenue, Supplementary Student, Series A, 0.16%***, 12/1/2043, LOC: US Bank NA (b) | 11,500,000 | 11,500,000 | ||||||
Mississippi, Business Finance Corp., Gulf Opportunity Zone, Chevron USA, Inc.: | ||||||||
Series C, 0.05%***, 12/1/2030, GTY: Chevron Corp. | 10,000,000 | 10,000,000 | ||||||
Series B, 0.06%***, 12/1/2030, GTY: Chevron Corp. | 10,000,000 | 10,000,000 | ||||||
Monroe County, GA, Development Authority Pollution Control Revenue, Oglethorpe Power Corp., Series B, 0.06%***, 1/1/2036, LOC: JPMorgan Chase Bank | 10,330,000 | 10,330,000 | ||||||
Nashville & Davidson County, TN, Metropolitan Government, Health & Educational Facilities Board Revenue, Vanderbilt University, Series A, 0.06%***, 10/1/2030 | 24,150,000 | 24,150,000 | ||||||
Nevada, Housing Division, Multi-Unit Housing, Apache Project, Series A, AMT, 0.08%***, 10/15/2032, LIQ: Fannie Mae | 11,815,000 | 11,815,000 | ||||||
Nevada, Housing Division, Single Family Mortgage Revenue, Series A, AMT, 0.13%***, 10/1/2039, SPA: JPMorgan Chase Bank | 10,000,000 | 10,000,000 | ||||||
New Jersey, Health Care Facilities Financing Authority Revenue, Southern Ocean County Hospital, 144A, 0.05%***, 7/1/2036, LOC: Wells Fargo Bank NA | 5,245,000 | 5,245,000 | ||||||
New Jersey, State Educational Facilities Authority Revenue, Seton Hall University, Series D, 0.05%***, 7/1/2037, LOC: TD Bank NA | 13,480,000 | 13,480,000 | ||||||
New Mexico, Educational Assistance Foundation, Series A-1, AMT, 0.14%***, 4/1/2034, LOC: Royal Bank of Canada | 23,080,000 | 23,080,000 | ||||||
New York, Eagle Tax-Exempt Trust, Class A, 144A, 0.09%***, 6/15/2035, LIQ: Citibank NA | 9,475,000 | 9,475,000 | ||||||
New York, Metropolitan Transportation Authority, 0.26%, 7/6/2011 | 30,500,000 | 30,500,000 | ||||||
New York, Metropolitan Transportation Authority, Dedicated Tax Fund, Series A-1, 0.05%***, 11/1/2031, LOC: Morgan Stanley Bank | 19,000,000 | 19,000,000 | ||||||
New York, State Dormitory Authority Revenues, Non-State Supported Debt, St. John's University, Series B-2, 0.04%***, 7/1/2037, LOC: Bank of America NA | 32,000,000 | 32,000,000 | ||||||
New York, State Dormitory Authority Revenues, Secondary Issues, Series R-12121, 0.09%***, 4/1/2015, LIQ: Citibank NA | 15,830,000 | 15,830,000 | ||||||
New York, State Dormitory Authority Revenues, State Supported Debt, City University of New York, Series D, 0.06%***, 7/1/2031, LOC: TD Bank NA | 12,300,000 | 12,300,000 | ||||||
New York, State Energy Research & Development Authority Facilities Revenue, Consolidated Edison Co. of New York, Inc.: | ||||||||
Series A-1, 144A, 0.06%***, 5/1/2039, LOC: Mizuho Corporate Bank | 22,800,000 | 22,800,000 | ||||||
Series A-2, 144A, 0.06%***, 5/1/2039, LOC: Mizuho Corporate Bank | 21,100,000 | 21,100,000 | ||||||
Series C-1, 144A, AMT, 0.08%***, 11/1/2039, LOC: Mizuho Corporate Bank | 11,200,000 | 11,200,000 | ||||||
Series C-3, 144A, AMT, 0.08%***, 11/1/2039, LOC: Mizuho Corporate Bank | 23,800,000 | 23,800,000 | ||||||
New York, State Environmental Facilities Corp., Clean Water & Drinking, Series R-12273, 144A, 0.09%***, 11/15/2011, SPA: Citibank NA | 13,010,000 | 13,010,000 | ||||||
New York, State Housing Finance Agency Revenue, 100 Maiden Lane Properties, Series A, 0.07%***, 5/15/2037, LIQ: Fannie Mae | 29,660,000 | 29,660,000 | ||||||
New York, State Housing Finance Agency Revenue, 316 Eleventh Avenue Housing, Series A, AMT, 0.07%***, 5/15/2041, LIQ: Fannie Mae | 48,500,000 | 48,500,000 | ||||||
New York, State Housing Finance Agency Revenue, 88 Leonard Street, Series A, 144A, 0.12%***, 11/1/2037, LOC: Landesbank Hessen-Thuringen (b) | 11,650,000 | 11,650,000 | ||||||
New York, State Housing Finance Agency Revenue, Capitol Green Apartments, Series A, AMT, 0.1%***, 5/15/2036, LIQ: Fannie Mae | 5,250,000 | 5,250,000 | ||||||
New York, State Housing Finance Agency Revenue, Helena Housing, Series A, AMT, 0.07%***, 5/15/2036, LIQ: Fannie Mae | 61,950,000 | 61,950,000 | ||||||
New York, State Housing Finance Agency Revenue, Historic Front Street, Series A, 0.07%***, 11/1/2036, LOC: Landesbank Hessen-Thuringen | 10,000,000 | 10,000,000 | ||||||
New York, State Housing Finance Agency Revenue, Rip Van Winkle House LLC, Series A, 144A, AMT, 0.1%***, 11/1/2034, LIQ: Freddie Mac | 7,400,000 | 7,400,000 | ||||||
New York, State Housing Finance Agency Revenue, West 38 Street, Series A, AMT, 0.07%***, 5/15/2033, LIQ: Fannie Mae | 16,000,000 | 16,000,000 | ||||||
New York, State Housing Finance Agency, Affordable Housing Revenue, Clinton Park Housing, Series A, 0.04%***, 11/1/2044, LOC: Wells Fargo Bank NA | 23,000,000 | 23,000,000 | ||||||
New York, Triborough Bridge & Tunnel Authority Revenues, Series C, 144A, 0.06%***, 1/1/2032, SPA: JPMorgan Chase Bank | 86,590,000 | 86,590,000 | ||||||
New York, Wells Fargo Stage Trust, Series 11C, 144A, 0.1%***, 11/15/2037, LIQ: Wells Fargo Bank NA | 15,110,000 | 15,110,000 | ||||||
New York City, NY, Health & Hospital Corp. Revenue, Health Systems, Series C, 144A, 0.05%***, 2/15/2031, LOC: TD Bank NA | 15,420,000 | 15,420,000 | ||||||
New York City, NY, Transitional Finance Authority Revenue, Series 3866, 144A, 0.06%***, 8/1/2011, LIQ: JPMorgan Chase & Co. | 50,000,000 | 50,000,000 | ||||||
New York City, NY, Transitional Finance Authority Revenue, Future Tax Secured: | ||||||||
Series B-3, 0.05%***, 11/1/2028, SPA: JPMorgan Chase Bank | 10,190,000 | 10,190,000 | ||||||
Series G-5, 0.06%***, 5/1/2034, SPA: Barclays Bank PLC | 52,000,000 | 52,000,000 | ||||||
New York, NY, General Obligation: | ||||||||
Series C-3A, 0.04%***, 8/1/2020, LIQ: Bank of Nova Scotia | 57,000,000 | 57,000,000 | ||||||
Series C-3B, 0.05%***, 8/1/2020, LIQ: Lloyds TSB Bank PLC | 27,000,000 | 27,000,000 | ||||||
Series A-6, 144A, 0.06%***, 8/1/2031, LOC: Mizuho Corporate Bank | 32,000,000 | 32,000,000 | ||||||
North Carolina, Capital Facilities Finance Agency, Educational Facilities Revenue, Forsyth Country Day School, 0.1%***, 12/1/2031, LOC: Branch Banking & Trust | 12,575,000 | 12,575,000 | ||||||
North Carolina, Medical Care Commission, Health Care Facilities Revenue, First Mortgage Deerfield Episcopal Retirement Community, Inc., Series B, 0.1%***, 11/1/2038, LOC: Branch Banking & Trust | 10,035,000 | 10,035,000 | ||||||
North Texas, Higher Education Authority, Inc., Student Loan Revenue, Series B, AMT, 0.09%***, 12/1/2035, LOC: Bank of America NA | 10,000,000 | 10,000,000 | ||||||
Nuveen Select Quality Municipal Fund, Inc., Series 1-2525, 144A, 0.29%*, 5/5/2041, LIQ: Barclays Bank PLC | 40,000,000 | 40,000,000 | ||||||
Ohio, Housing Finance Agency, Residential Mortgage-Backed Revenue, Series F, AMT, 0.07%***, 3/1/2037, SPA: Citibank NA | 31,930,000 | 31,930,000 | ||||||
Ohio, State Housing Finance Agency, Residential Mortgage Revenue, Mortgage-Backed Securities Program, Series N, AMT, 0.07%***, 9/1/2036, SPA: State Street Bank & Trust Co. | 68,405,000 | 68,405,000 | ||||||
Ohio, Water Development Authority, Pollution Control Facilities Revenue, Series 12C, 144A, 0.1%***, 3/1/2031, GTY: Wells Fargo Bank NA, LIQ: Wells Fargo Bank NA | 29,995,000 | 29,995,000 | ||||||
Oklahoma, Development Finance Authority, Continuing Care Retirement, Inverness Village Project, Series A, 0.1%***, 1/1/2042, LOC: KBC Bank NV | 15,480,000 | 15,480,000 | ||||||
Oklahoma, State Turnpike Authority Revenue: | ||||||||
Series B, 0.09%***, 1/1/2028, SPA: Royal Bank of Canada | 20,330,000 | 20,330,000 | ||||||
Series D, 0.09%***, 1/1/2028, SPA: Royal Bank of Canada | 24,060,000 | 24,060,000 | ||||||
Oregon, State Facilities Authority Revenue, Childpeace Montessori, Series A, 0.09%***, 10/1/2037, LOC: Bank of The West | 7,000,000 | 7,000,000 | ||||||
Oklahoma, Wells Fargo Stage Trust, Series 67C, 144A, 0.1%***, 9/1/2037, LIQ: Wells Fargo Bank NA | 14,415,000 | 14,415,000 | ||||||
Palm Beach County, FL, Solid Waste Authority Revenue, 1.0%, Mandatory Put 1/12/2012 @ 100, 10/1/2031 | 100,000,000 | 100,307,895 | ||||||
Philadelphia, PA, Airport Revenue, Series C, AMT, 0.08%***, 6/15/2025, LOC: TD Bank NA | 14,765,000 | 14,765,000 | ||||||
Piedmont, SC, Municipal Power Agency, Electric Revenue: | ||||||||
Series B, 0.04%***, 1/1/2034, LOC: US Bank NA | 9,000,000 | 9,000,000 | ||||||
Series C, 0.06%***, 1/1/2034, LOC: TD Bank NA | 6,000,000 | 6,000,000 | ||||||
Pinellas County, FL, Health Facilities Authority Revenue, Baycare Health Systems, Series A2, 0.08%***, 11/1/2038, LOC: Northern Trust Co. | 9,750,000 | 9,750,000 | ||||||
Raleigh Durham, NC, Airport Authority Revenue, Series C, 0.08%***, 5/1/2036, LOC: US Bank NA | 10,595,000 | 10,595,000 | ||||||
Sacramento County, CA, Multi-Family Housing Authority Revenue, Sierra Sunrise Senior Apartments, Series D, AMT, 0.1%***, 7/1/2036, LOC: Citibank NA | 6,096,000 | 6,096,000 | ||||||
Salem, OR, Hospital Facility Authority Revenue, Salem Hospital Project, Series C, 0.07%***, 8/15/2036, LOC: Bank of America NA | 12,500,000 | 12,500,000 | ||||||
San Jose, CA, Financing Authority Lease Revenue, Hayes Mansion, Series D, 0.15%***, 6/1/2025, LOC: US Bank NA (b) | 40,985,000 | 40,985,000 | ||||||
San Jose, CA, Financing Authority Lease Revenue, Ice Center, Series E1, 0.15%***, 6/1/2025, LOC: Bank of America NA (b) | 12,460,000 | 12,460,000 | ||||||
Santa Clara, CA, Electric Revenue, Series B, 0.06%***, 7/1/2027, LOC: Bank of America NA | 13,960,000 | 13,960,000 | ||||||
Sarasota County, FL, Public Hospital District Revenue, Sarasota Memorial Hospital, Series B, 0.08%***, 7/1/2037, LOC: Bank of America NA | 26,665,000 | 26,665,000 | ||||||
Southern California, Metropolitan Water District, Waterworks Revenue, Series B, 0.05%***, 7/1/2028, SPA: Landesbank Hessen-Thuringen | 7,000,000 | 7,000,000 | ||||||
St. James Parish, LA, Nustar Logistics, Series A, 0.1%***, 10/1/2040, LOC: JPMorgan Chase Bank | 12,500,000 | 12,500,000 | ||||||
Tarrant County, TX, Cultural Education Facilities Finance Corp., Retirement Facilities, Northwest Senior Edgemere Project, Series B, 144A, 0.08%***, 11/15/2036, LOC: LaSalle Bank NA | 9,330,000 | 9,330,000 | ||||||
Texas, A & M University of Texas Permanent Fund: | ||||||||
Series A, 0.25%, 7/7/2011 | 25,000,000 | 25,000,000 | ||||||
Series A, 0.26%, 8/3/2011 | 20,000,000 | 20,000,000 | ||||||
Texas, Alliance Airport Authority, Inc., Special Facilities Revenue, Series 2088, 144A, AMT, 0.09%***, 4/1/2021, GTY: Wells Fargo & Co., LIQ: Wells Fargo & Co. | 24,570,000 | 24,570,000 | ||||||
Texas, Capital Area Housing Finance Corp., Cypress Creek at River Apartments, AMT, 0.11%***, 10/1/2039, LOC: Citibank NA | 10,895,000 | 10,895,000 | ||||||
Texas, State General Obligation: | ||||||||
Series D, 0.17%***, 12/1/2030, LOC: Lloyds TSB Bank PLC | 16,480,000 | 16,480,000 | ||||||
Series E, 0.17%***, 6/1/2032, LOC: Sumitomo Mitsui Banking (b) | 24,725,000 | 24,725,000 | ||||||
Texas, State Tax & Revenue Anticipation Notes: | ||||||||
Series 3812, 144A, 0.06%***, 8/31/2011, LIQ: JPMorgan Chase & Co. | 103,000,000 | 103,000,000 | ||||||
2.0%, 8/31/2011 | 109,765,000 | 110,066,319 | ||||||
Texas, State Veterans Housing Assistance Fund II: | ||||||||
Series A, 144A, AMT, 0.1%***, 6/1/2034, SPA: Landesbank Hessen-Thuringen | 12,515,000 | 12,515,000 | ||||||
Series C, 0.17%***, 6/1/2031, SPA: JPMorgan Chase & Co. (b) | 11,480,000 | 11,480,000 | ||||||
Texas, University of Houston Revenues, Consolidated Systems, 0.08%***, 2/15/2024 | 9,625,000 | 9,625,000 | ||||||
Texas, Wells Fargo Stage Trust, Series 20C, 144A, AMT, 0.1%***, 5/1/2038, GTY: Wells Fargo Bank NA, LIQ: Wells Fargo Bank NA | 16,120,000 | 16,120,000 | ||||||
Travis County, TX, Health Facilities Development Corp., Retirement Facilities Revenue, Longhorn Village Project, Series B, 0.08%***, 7/1/2037, LOC: Bank of Scotland | 22,230,000 | 22,230,000 | ||||||
Tulsa, OK, Airports Improvement Trust, Special Facility Revenue, Bizjet International Sales & Support, Inc., 144A, AMT, 0.09%***, 8/1/2018, LOC: Landesbank Hessen-Thuringen | 7,000,000 | 7,000,000 | ||||||
Union County, NC, Enterprise Systems Revenue, 0.05%***, 6/1/2034, LOC: Bank of America NA | 13,700,000 | 13,700,000 | ||||||
University of New Mexico, Systems Improvement Revenues, 0.09%***, 6/1/2026, SPA: JPMorgan Chase Bank | 33,625,000 | 33,625,000 | ||||||
University of Texas, Financing Systems Revenues, Series B, 0.04%***, 8/1/2025, LIQ: University of Texas Investment Management Co. | 51,180,000 | 51,180,000 | ||||||
University of Washington, 0.24%, 7/7/2011 | 20,000,000 | 20,000,000 | ||||||
Vermont, Educational & Health Buildings, Financing Agency Revenue, Norwich University Project, 0.07%***, 9/1/2038, LOC: TD Bank NA | 9,600,000 | 9,600,000 | ||||||
Vermont, State Student Assistance Corp., Education Loan Revenue, Series C-2, 144A, AMT, 0.1%***, 12/15/2040, LOC: Lloyds Bank | 32,170,000 | 32,170,000 | ||||||
Vermont, State Student Assistance Corp., Education Loan Revenue., Series B-1, AMT, 0.08%***, 12/15/2039, LOC: Bank of New York Mellon | 60,625,000 | 60,625,000 | ||||||
Washington, State Economic Development Finance Authority, Solid Waste Disposal Revenue, Waste Management, Inc. Project, Series D, AMT, 0.11%***, 7/1/2030, LOC: JPMorgan Chase Bank | 20,000,000 | 20,000,000 | ||||||
Washington, State General Obligation, Series 16C, 144A, 0.1%***, 2/1/2036, LIQ: Wells Fargo Bank NA | 10,700,000 | 10,700,000 | ||||||
Washington, State Health Care Facilities Authority, Swedish Health Services, Series B, 0.07%***, 11/15/2046, LOC: Citibank NA | 13,000,000 | 13,000,000 | ||||||
Washington, State Housing Finance Commission, Multi-Family Revenue, New Tacoma Apartments Project, 0.08%***, 1/1/2040, LOC: Wells Fargo Bank NA | 11,400,000 | 11,400,000 | ||||||
Washington, State Housing Finance Commission, Nonprofit Revenue, St. Thomas School Project, Series B, 0.08%***, 7/1/2036, LOC: Bank of America NA | 10,510,000 | 10,510,000 | ||||||
Washington County, AL, Industrial Development Authority Revenue, Bay Gas Storage Co., Ltd. Project, 144A, 0.07%***, 8/1/2037, LOC: UBS AG | 9,165,000 | 9,165,000 | ||||||
West Virginia, Economic Development Authority, Solid Waste Disposal Facilities, Appalachian Power Co., Series A, 0.08%***, 12/1/2042, LOC: Sumitomo Mitsui Banking | 10,800,000 | 10,800,000 | ||||||
Wisconsin, Housing & Economic Development Authority, Home Ownership Revenue, Series B, 0.14%***, 3/1/2033, LOC: Fannie Mae & Freddie Mac (b) | 14,610,000 | 14,610,000 | ||||||
Wisconsin, State Health & Educational Facilities Authority Revenue, Wheaton Franciscan Systems, 0.08%***, 8/15/2036, LOC: PNC Bank NA | 34,000,000 | 34,000,000 | ||||||
Woodstock, IL, Multi-Family Housing Revenue, Willow Brooke Apartments, AMT, 0.11%***, 4/1/2042, LOC: Wells Fargo Bank NA | 25,905,000 | 25,905,000 | ||||||
Wyoming, Student Loan Corp. Revenue, Series A-3, 0.09%***, 12/1/2043, LOC: Royal Bank of Canada | 40,000,000 | 40,000,000 | ||||||
Total Municipal Investments (Cost $4,788,540,482) | 4,788,540,482 | |||||||
Repurchase Agreements 0.8% | ||||||||
BNP Paribas, 0.01%, dated 6/30/2011, to be repurchased at $15,000,004 on 7/1/2011 (c) | 15,000,000 | 15,000,000 | ||||||
BNP Paribas, 0.03%, dated 6/30/2011, to be repurchased at $50,000,042 on 7/1/2011 (d) | 50,000,000 | 50,000,000 | ||||||
JPMorgan Securities, Inc., 0.0001%, dated 6/30/2011, to be repurchased at $10,000,000 on 7/1/2011 (e) | 10,000,000 | 10,000,000 | ||||||
Merrill Lynch & Co., Inc., 0.05%, dated 6/30/2011, to be repurchased at $20,255,584 on 7/1/2011 (f) | 20,255,556 | 20,255,556 | ||||||
Morgan Stanley & Co., Inc., 0.05%, dated 6/30/2011, to be repurchased at $98,000,136 on 7/1/2011 (g) | 98,000,000 | 98,000,000 | ||||||
The Goldman Sachs & Co., 0.03%, dated 6/30/2011, to be repurchased at $9,000,008 on 7/1/2011 (h) | 9,000,000 | 9,000,000 | ||||||
Total Repurchase Agreements (Cost $202,255,556) | 202,255,556 |
% of Net Assets | Value ($) | |||||||
Total Investment Portfolio (Cost $25,966,476,794)+ | 97.7 | 25,966,476,794 | ||||||
Other Assets and Liabilities, Net | 2.3 | 607,925,207 | ||||||
Net Assets | 100.0 | 26,574,402,001 |
* These securities are shown at their current rate as of June 30, 2011. 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 and variable rate demand preferred shares 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, 2011.
+ The cost for federal income tax purposes was $25,966,476,794.
(a) Government-backed debt issued by financial companies or government sponsored enterprises.
(b) Taxable issue.
(c) Collateralized by $11,673,400 US Treasury Inflation Indexed Note, 1.875%, maturing on 7/15/2013 with a value of $15,300,054.
(d) Collateralized by:
Principal Amount ($) | Security | Rate (%) | Maturity Date | Collateral Value ($) | ||||||||
3,598,000 | Tennessee Valley Authority | 4.5-6.75 | 7/18/2017- 9/15/2039 | 4,317,239 | ||||||||
1,522,000 | Federal National Mortgage Association | 0.146 | 9/19/2011 | 1,522,167 | ||||||||
35,075,000 | Federal Home Loan Bank | 1.0-6.8 | 7/23/2013- 9/3/2030 | 35,452,121 | ||||||||
9,714,000 | Federal Farm Credit Bank | 0.156-0.205 | 9/7/2012- 9/16/2013 | 9,712,499 | ||||||||
Total Collateral Value | 51,004,026 |
(e) Collateralized by $10,215,000 US Treasury Note, 1.375%, maturing on 11/30/2015 with a value of $10,203,517.
(f) Collateralized by:
Principal Amount ($) | Security | Rate (%) | Maturity Date | Collateral Value ($) | ||||||||
2,317,000 | Tennessee Valley Authority | 4.625 | 9/15/2060 | 2,209,305 | ||||||||
18,460,000 | Federal Home Loan Bank | 0.136 | 11/26/2012 | 18,451,693 | ||||||||
Total Collateral Value | 20,660,998 |
(g) Collateralized by $93,667,371 Federal National Mortgage Association, 3.321-6.0%, maturing on 4/1/2033-5/1/2041 with a value of $100,447,963.
(h) Collateralized by:
Principal Amount ($) | Security | Rate (%) | Maturity Date | Collateral Value ($) | ||||||||
7,201,637 | Federal National Mortgage Association | 3.494-7.0 | 9/1/2013- 4/1/2041 | 7,897,865 | ||||||||
1,179,618 | Federal Home Loan Mortgage Corp. | 5.5 | 7/1/2021- 11/1/2021 | 1,282,135 | ||||||||
Total Collateral Value | 9,180,000 |
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.
AGMC: Assured Guaranty Municipal Corp.
AMT: Subject to alternative minimum tax.
GTY: Guaranty Agreement
INS: Insured
LIQ: Liquidity Facility
LOC: Letter of Credit
NATL: National Public Finance Guarantee Corp.
Radian: Radian Asset Assurance, Inc.
SPA: Standby Bond Purchase Agreement
Fair Value Measurements
Various inputs are used in determining the value of the Portfolio'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 Portfolio'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 the 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.
The following is a summary of the inputs used as of June 30, 2011 in valuing the Portfolio's investments. For information on the Portfolio'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 (i) | $ | — | $ | 25,764,221,238 | $ | — | $ | 25,764,221,238 | ||||||||
Repurchase Agreements | — | 202,255,556 | — | 202,255,556 | ||||||||||||
Total | $ | — | $ | 25,966,476,794 | $ | — | $ | 25,966,476,794 |
There have been no transfers between Level 1 and Level 2 fair value measurements during the six months ended June 30, 2011.
(i) See Investment Portfolio for additional detailed categorizations.
The accompanying notes are an integral part of the financial statements.
as of June 30, 2011 (Unaudited) | ||||
Assets | ||||
Investments in non-affiliated securities, valued at amortized cost | $ | 25,966,476,794 | ||
Cash | 754,682,306 | |||
Receivable for investments sold | 7,510,000 | |||
Interest receivable | 12,234,912 | |||
Other assets | 265,283 | |||
Total assets | 26,741,169,295 | |||
Liabilities | ||||
Payable for investments purchased | 162,366,750 | |||
Accrued management fee | 2,810,573 | |||
Other accrued expenses and payables | 1,589,971 | |||
Total liabilities | 166,767,294 | |||
Net assets, at value | $ | 26,574,402,001 |
The accompanying notes are an integral part of the financial statements.
for the six months ended June 30, 2011 (Unaudited) | ||||
Investment Income | ||||
Income: Interest | $ | 41,709,869 | ||
Expenses: Management fee | 18,276,994 | |||
Administration fee | 4,387,938 | |||
Professional fees | 225,734 | |||
Reports to shareholders | 10,164 | |||
Custodian fee | 363,800 | |||
Trustees' fees and expenses | 444,575 | |||
Other | 522,815 | |||
Total expenses before expense reductions | 24,232,020 | |||
Expense reductions | (833,440 | ) | ||
Total expenses after expense reductions | 23,398,580 | |||
Net investment income | 18,311,289 | |||
Net realized gain (loss) from investments | 1,618,954 | |||
Net increase (decrease) in net assets resulting from operations | $ | 19,930,243 |
The accompanying notes are an integral part of the financial statements.
Increase (Decrease) in Net Assets | Six Months Ended June 30, 2011 (Unaudited) | Year Ended December 31, 2010 | ||||||
Operations: Net investment income | $ | 18,311,289 | $ | 54,765,972 | ||||
Net realized gain (loss) | 1,618,954 | 1,171,699 | ||||||
Net increase (decrease) in net assets resulting from operations | 19,930,243 | 55,937,671 | ||||||
Capital transactions in shares of beneficial interest: Proceeds from capital invested | 139,508,704,551 | 321,400,411,976 | ||||||
Value of capital withdrawn | (147,386,107,249 | ) | (329,490,407,575 | ) | ||||
Net increase (decrease) in net assets from capital transactions in shares of beneficial interest | (7,877,402,698 | ) | (8,089,995,599 | ) | ||||
Increase (decrease) in net assets | (7,857,472,455 | ) | (8,034,057,928 | ) | ||||
Net assets at beginning of period | 34,431,874,456 | 42,465,932,384 | ||||||
Net assets at end of period | $ | 26,574,402,001 | $ | 34,431,874,456 |
The accompanying notes are an integral part of the financial statements.
Six Months Ended 6/30/11 (Unaudited) | Years Ended December 31, | |||||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||||
Ratios to Average Net Assets and Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period ($ millions) | 26,574 | 34,432 | 42,466 | 29,653 | 33,739 | 8,877 | ||||||||||||||||||
Ratio of expenses before expense reductions (%) | .17 | * | .17 | .16 | .17 | .17 | .20 | |||||||||||||||||
Ratio of expenses after expense reductions (%) | .16 | * | .16 | .14 | .13 | .14 | .18 | |||||||||||||||||
Ratio of net investment income (%) | .13 | * | .16 | .43 | 2.85 | 5.14 | 4.83 | |||||||||||||||||
Total Return (%)a,b | .07 | ** | .17 | .48 | 2.81 | 5.31 | 4.97 | |||||||||||||||||
a Total return would have been lower had certain expenses not been reduced. b Total return for the Portfolio was derived from the performance of Cash Reserves Fund Institutional. * Annualized ** Not annualized |
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.
The Portfolio is a master fund; 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, 2011, Cash Management Fund, Cash Reserves Fund Institutional, Cash Reserves Fund — Prime Series and DWS Money Market Series owned approximately 7%, 9%, 4% and 77%, 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 Portfolio'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 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 the 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 a 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, 2010 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 an 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 determines the securities, instruments and other contracts relating to investments to be purchased, sold or entered into by the Portfolio.
Under the Investment Management Agreement, the Portfolio pays the Advisor a monthly management 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 | % |
The Advisor has voluntarily agreed to waive total operating expenses at 0.16% of its average daily net assets (excluding certain expenses such as extraordinary expenses, taxes, brokerage and interest). This voluntary waiver or reimbursement may be terminated at any time at the option of the Advisor.
For the six months ended June 30, 2011, the Advisor waived a portion of its management fee aggregating $833,440, and the amount charged aggregated $17,443,554, which was equivalent to an annualized effective rate of 0.12% 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, 2011, the Administration Fee was $4,387,938, of which $671,447 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. 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. The Fund had no outstanding loans at June 30, 2011.
October 3, 2010
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 2010, 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, 2008, and 2009.
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 have served 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 118 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 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
October 4, 2010
Pursuant to an Order entered into by Deutsche Asset Management (DeAM) with the Attorney General of New York, I, Thomas H. Mack, have been appointed the Independent Fee Consultant for the DWS Funds and have as part of my duties evaluated the reasonableness of a proposed pass-through to the funds of certain reporting costs associated with new regulations for money funds. My evaluation considered the following:
• My recently completed annual evaluation (please see my summary report of October 3, 2010), concluding that the prospective fees and expenses of all the DWS-sponsored money funds are reasonable.
• The fact that in my opinion the services DWS would provide under the combination of the Advisory and proposed Administration Agreements continues to be comparable with those typically provided to competitive funds under their management agreements.
• Management's analysis showing that the maximum total expense ratio impact of this change on any fund share class would be 1.3 basis points, which in my opinion is not material to my conclusions about the reasonableness of expenses.
Based on the foregoing considerations, in my opinion the proposed fees and expenses for the affected DWS-sponsored money funds are reasonable.
Thomas H. Mack
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: | Cash Management Portfolio |
By: | /s/W. Douglas Beck W. Douglas Beck President |
Date: | August 29, 2011 |
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/W. Douglas Beck W. Douglas Beck President |
Date: | August 29, 2011 |
By: | /s/Paul Schubert Paul Schubert Chief Financial Officer and Treasurer |
Date: | August 29, 2011 |