Monthly Money Market Holdings Report

Transcription

1 Monthly Money Market Holdings Report Mount Vernon Securities Lending Trust Prime Portfolio Unaudited Money Market Fund Holdings as-of 3/31/2011 Weighted Average Maturity (WAM) 13 Days Weighted Average Life (WAL) 74 Days Issuer Name Category CUSIP Principal Amount Final Legal Coupon/Yield 1 Atlantic Asset Securitization Asset Backed Commercial Paper 04821URB 15,000, /11/2011 4/11/ % 14,998, Atlantic Asset Securitization Asset Backed Commercial Paper 04821URC8 37,200, /12/2011 4/12/ % 37,196, Atlantic Asset Securitization Asset Backed Commercial Paper 04821US29 25,000, /2/2011 5/2/ % 24,994, Atlantic Asset Securitization Asset Backed Commercial Paper 04821UT10 15,000, /1/2011 6/1/ % 14,993, Barton Capital Asset Backed Commercial Paper 06945MRB4 53,750, /11/2011 4/11/ % 53,745, Chariot Funding Asset Backed Commercial Paper 15963UR65 22,000, /6/2011 4/6/ % 21,999, Fairway Finance Asset Backed Commercial Paper 30601YHV0 19,000, /11/2011 9/9/ % 19,000, Fairway Finance Asset Backed Commercial Paper 30601YHR9 25,000, /11/2011 5/9/ % 25,000, Fairway Finance Asset Backed Commercial Paper 30601YHS7 25,000, /19/2011 8/19/ % 25,000, Grampian Funding Asset Backed Commercial Paper 38501AAA9 65,000, /4/2011 9/2/ % 65,000, Liberty Street Funding Asset Backed Commercial Paper 53127UR10 60,000, /1/2011 4/1/ % 60,000, Sheffield Receivables Asset Backed Commercial Paper 82124MRC6 15,000, /12/2011 4/12/ % 14,998, Sheffield Receivables Asset Backed Commercial Paper 82124MRF9 36,000, /15/2011 4/15/ % 35,995, Starbird Funding Asset Backed Commercial Paper 85520MR13 35,000, /1/2011 4/1/ % 35,000, Starbird Funding Asset Backed Commercial Paper 85520MR47 23,000, /4/2011 4/4/ % 22,999, Starbird Funding Asset Backed Commercial Paper 85520MRB1 15,000, /11/2011 4/11/ % 14,998, Thames Asset Global Securitization Asset Backed Commercial Paper 88324MRD9 12,000, /13/2011 4/13/ % 11,999, Thunder Bay Funding Asset Backed Commercial Paper 88602UR44 19,099, /4/2011 4/4/ % 19,098, Thunder Bay Funding Asset Backed Commercial Paper 88602UR51 30,000, /5/2011 4/5/ % 29,999, Australia & New Zealand Banking Group/NY Certificate of Deposit 05252V4Z5 50,000, /7/2011 4/7/ % 50,000, Australia & New Zealand Banking Group/NY Certificate of Deposit 05252V5B7 50,000, /12/2011 4/12/ % 50,000, Page 1 of 7

2 Issuer Name (continued) Category CUSIP Principal Amount Final Legal Coupon/Yield 1 Bank of Montreal/Chicago Certificate of Deposit 06366UZZ4 10,000, /1/2011 4/1/ % 10,000, Bank of Nova Scotia/Houston Certificate of Deposit 06417DA54 25,000, /1/2011 8/18/ % 25,000, Bank of Nova Scotia/Houston Certificate of Deposit 06417DGY5 50,000, /1/2011 7/12/ % 50,000, Bank of Nova Scotia/Houston Certificate of Deposit 06417DXM2 50,000, /1/2011 1/20/ % 50,000, Bank of Nova Scotia/Houston Certificate of Deposit 06417DPB5 10,000, /1/2011 9/29/ % 10,000, Bank of Nova Scotia/Houston Certificate of Deposit 06417DE84 100,000, /11/2011 6/9/ % 100,000, Barclays Bank/NY Certificate of Deposit 06740MQY2 50,000, /1/2011 4/21/ % 50,000, Barclays Bank/NY Certificate of Deposit 06740MKV4 10,000, /19/2011 7/19/ % 10,000, Barclays Bank/NY Certificate of Deposit 06740MUX9 55,000, /25/2011 7/25/ % 55,000, BNP Paribas/NY Certificate of Deposit 0556M5R56 65,000, /1/2011 2/6/ % 65,000, Canadian Imperial Bank of Commerce/NY Certificate of Deposit 13606XT73 25,000, /1/2011 6/10/ % 25,000, Canadian Imperial Bank of Commerce/NY Certificate of Deposit 13606XQ92 65,000, /1/2011 8/8/ % 65,000, Canadian Imperial Bank of Commerce/NY Certificate of Deposit 13606XG77 65,000, /1/2011 4/27/ % 65,000, Credit Agricole Corporate & Investment Bank/NY Certificate of Deposit 22532YA97 35,000, /11/2011 4/11/ % 35,000, Credit Agricole Corporate & Investment Bank/NY Certificate of Deposit 22532YB54 40,000, /11/2011 4/11/ % 40,000, Credit Agricole Corporate & Investment Bank/NY Certificate of Deposit 22532XBJ6 60,000, /18/2011 7/18/ % 60,000, Credit Suisse/NY Certificate of Deposit 22550CA68 28,400, /1/2011 6/3/ % 28,400, Credit Suisse/NY Certificate of Deposit 22550CTU5 60,000, /1/2011 4/15/ % 60,000, Credit Suisse/NY Certificate of Deposit 22550CYQ8 40,000, /11/2011 8/10/ % 40,000, Credit Suisse/NY Certificate of Deposit 22550CQN4 21,500, /26/2011 7/22/ % 21,501, Deutsche Bank/NY Certificate of Deposit 25152XMH0 60,000, /1/2011 7/6/ % 60,000, DnB NOR Bank/NY Certificate of Deposit 25600TWP8 60,000, /8/2011 6/8/ % 60,000, Lloyds TSB Bank/NY Certificate of Deposit 53943NG44 60,000, /2/2011 5/2/ % 60,000, Lloyds TSB Bank/NY Certificate of Deposit 53944AP82 15,000, /10/2011 6/10/ % 14,999, Lloyds TSB Bank/NY Certificate of Deposit 53944AL52 60,000, /14/2011 7/14/ % 60,000, National Australia Bank/NY Certificate of Deposit 63252XNA4 18,000, /11/ /9/ % 18,000, National Australia Bank/NY Certificate of Deposit 63252XMQ0 65,000, /15/2011 4/15/ % 65,000, Natixis/NY Certificate of Deposit 63873B3C9 65,000, /15/2011 8/15/ % 65,000, Nordea Bank Finland/NY Certificate of Deposit 65557VMX6 45,000, /11/2011 4/11/ % 45,000, Page 2 of 7

3 Issuer Name (continued) Category CUSIP Principal Amount Final Legal Coupon/Yield 1 Nordea Bank Finland/NY Certificate of Deposit 65557VHS3 60,000, /13/2011 4/13/ % 60,000, Nordea Bank Finland/NY Certificate of Deposit 65557VJG7 50,000, /13/2011 7/13/ % 50,000, Rabobank Nederland/NY Certificate of Deposit 74977MPR0 60,000, /11/ /10/ % 59,998, Rabobank Nederland/NY Certificate of Deposit 74977MEN1 50,000, /13/2011 5/13/ % 50,000, Rabobank Nederland/NY Certificate of Deposit 74977MNQ4 60,000, /19/2011 4/19/ % 60,000, Rabobank Nederland/NY Certificate of Deposit 74977MET8 9,687, /26/2011 4/26/ % 9,687, Rabobank Nederland/NY Certificate of Deposit 74977MTK1 10,000, /28/2011 3/30/ % 10,000, Royal Bank of Canada/NY Certificate of Deposit 78009JQ81 10,000, /1/2011 8/5/ % 10,000, Royal Bank of Canada/NY Certificate of Deposit 78009JY58 50,000, /1/2011 6/7/ % 50,000, Royal Bank of Canada/NY Certificate of Deposit 78009J3D5 50,000, /6/2011 3/5/ % 49,982, Royal Bank of Scotland/CT Certificate of Deposit 78011HW68 60,000, /1/2011 7/14/ % 60,000, Royal Bank of Scotland/CT Certificate of Deposit 78011H2E4 10,000, /18/2011 9/12/ % 10,000, Royal Bank of Scotland/CT Certificate of Deposit 78011HR80 60,000, /25/ /25/ % 60,000, Societe Generale/NY Certificate of Deposit 83369RJS1 60,000, /1/2011 5/16/ % 60,000, Societe Generale/NY Certificate of Deposit 83369RTY7 35,000, /4/2011 9/6/ % 35,000, Societe Generale/NY Certificate of Deposit 83369RQP9 65,000, /3/2011 2/3/ % 65,000, Svenska Handelsbanken/NY Certificate of Deposit 86959BLX1 50,000, /13/2011 4/13/ % 50,000, Svenska Handelsbanken/NY Certificate of Deposit 86959BQY4 12,150, /7/2011 6/7/ % 12,150, Toronto Dominion Bank/NY Certificate of Deposit 89112YDL4 8,300, /19/2011 5/19/ % 8,300, Toronto Dominion Bank/NY Certificate of Deposit 89112YME0 62,300, /28/ /28/ % 62,300, Toronto Dominion Bank/NY Certificate of Deposit 89112YWD1 17,900, /7/2011 7/7/ % 17,900, UBS/Stamford Certificate of Deposit 90267AZS8 60,000, /4/2011 7/5/ % 60,000, Westpac Banking/NY Certificate of Deposit 96121H7G3 30,000, /1/2011 5/9/ % 30,000, Westpac Banking/NY Certificate of Deposit 96121H6X7 10,000, /1/ /21/ % 10,000, Westpac Banking/NY Certificate of Deposit 96121TCB2 64,000, /1/2011 8/31/ % 64,000, Australia & New Zealand Banking Group Banco Bilbao Vizcaya Argentaria/London Paper 05253MAL8 50,000, /4/2011 2/2/ % 50,000, Paper 05950YRB2 65,000, /11/2011 4/11/ % 64,991, Page 3 of 7

4 Issuer Name (continued) Category CUSIP Principal Amount Final Legal Coupon/Yield 1 Banco Bilbao Vizcaya Argentaria/London Commonwealth Bank of Australia Commonwealth Bank of Australia Commonwealth Bank of Australia Danske DnB NOR Bank DnB NOR Bank ING (US) Funding Royal Bank of Scotland Santander Santander Santander Paper 05950YS96 90,000, /9/2011 5/9/ % 89,948, Paper 20272AAG1 20,000, /4/2011 7/29/ % 20,000, Paper 20272AAS5 18,000, /9/ /4/ % 17,999, Paper 20272AAA4 40,000, /13/2011 5/13/ % 40,000, Paper 2363F7R42 20,000, /4/2011 4/4/ % 19,999, Paper 2332K1R77 50,000, /7/2011 4/7/ % 49,998, Paper 2332K4BD5 10,000, /26/2011 8/22/ % 10,000, Paper 4497W1U53 25,000, /5/2011 7/5/ % 24,973, Paper 7562E1R71 10,550, /7/2011 4/7/ % 10,549, Paper 7562E1RJ5 30,000, /18/2011 4/18/ % 29,996, Paper 7562E1RM8 28,600, /21/2011 4/21/ % 28,595, Paper 7562E1UN2 30,000, /22/2011 7/22/ % 29,958, Paper 7562E1UV4 30,000, /29/2011 7/29/ % 29,955, Paper 7562E1V43 7,500, /4/2011 8/4/ % 7,488, Paper 78009URJ1 22,650, /18/2011 4/18/ % 22,646, Paper 80280PCX3 50,000, /18/2011 4/18/ % 49,990, Paper 80280PDJ3 20,000, /20/2011 4/20/ % 19,994, Paper 80280PDF1 65,000, /25/2011 4/25/ % 64,974, Page 4 of 7

5 Issuer Name (continued) Category CUSIP Principal Amount Final Legal Coupon/Yield 1 Toyota Motor Credit Westpac Banking Paper 89233HUB 60,000, /11/2011 7/11/ % 59,939, Paper 9612C4BR1 65,000, /15/2011 8/15/ % 65,000, Federal Farm Credit Bank Government Agency Debt 31331JYR8 150,000, /1/2011 8/17/ % 150,000, Federal Farm Credit Bank Government Agency Debt 31331G5S4 45,000, /1/2011 6/7/ % 44,987, Federal Home Loan Bank Government Agency Debt 3133XYM28 183,000, /1/2011 6/13/ % 183,000, Federal Home Loan Bank Government Agency Debt 3133XYLH6 100,000, /1/2011 6/2/ % 100,000, Federal Home Loan Bank Government Agency Debt 3133XYRG2 100,000, /1/2011 6/1/ % 100,000, Federal Home Loan Bank Government Agency Debt 3133XYP66 100,000, /1/2011 6/10/ % 100,000, Federal Home Loan Bank Government Agency Debt HJ8 100,000, /1/ /20/ % 100,000, Federal Home Loan Bank Government Agency Debt 3133XYGW9 145,000, /1/2011 5/12/ % 145,000, Federal Home Loan Bank Government Agency Debt LV8 50,000, /1/2011 8/12/ % 50,000, Federal Home Loan Mortgage Corporation Government Agency Debt 3128X9MQ0 100,000, /1/ /9/ % 99,950, Deutsche Bank Securities Goldman Sachs & Co. ING Financial Markets Jefferies & Company Agreement CR ,000, /1/2011 4/1/ % 200,000, Agreement CR ,000, /1/2011 4/1/ % 350,000, Agreement CR ,000, /1/2011 4/1/ % 500,000, Agreement CR ,000, /1/2011 4/1/ % 250,000, DWS Money Market Series, Institutional Shares Investment Company 23337T201 88,059, /7/2011 4/7/ % 88,059, Goldman Sachs Financial Square Money Market Fund Investment Company 38141W ,613, /7/2011 4/7/ % 101,613, HSBC Prime Money Market Fund Investment Company ,000, /7/2011 4/7/ % 80,000, Australia & New Zealand Banking Group Other Note 05252AAU5 10,000, /28/2011 1/30/ % 10,013, Australia & New Zealand Banking Group Other Note 05252AAV3 50,000, /28/2011 7/29/ % 49,998, Australia & New Zealand Banking Group Other Note 05252AAG6 14,050, /4/2011 8/4/ % 14,079, Bank of America Securities - Master Note Other Note 9AMRPL4E9 130,000, /1/2011 4/1/ % 130,000, Commonwealth Bank of Australia Other Note 20271FAP1 11,000, /27/2011 4/27/ % 11,000, Commonwealth Bank of Australia Other Note 2027A0DQ9 33,500, /4/ /4/ % 33,552, Page 5 of 7

6 Issuer Name (continued) Category CUSIP Principal Amount Final Legal Coupon/Yield 1 General Electric Capital Other Note 36962G2M5 10,000, /11/2011 4/10/ % 10,007, General Electric Capital Other Note 36962GW42 3,500, /28/2011 4/28/ % 3,500, General Electric Capital Other Note 36962G2N3 50,000, /16/2011 8/15/ % 49,989, General Electric Capital Other Note 36962G2Y9 10,000, /23/2011 5/23/ % 9,999, General Electric Capital Other Note 36962GM76 5,502, /23/ /21/ % 5,507, Met Life Global Funding Other Note 59217GAB5 14,890, /11/2011 4/10/ % 14,946, Met Life Global Funding Other Note 59217ECB8 69,100, /13/2011 7/13/ % 69,179, Met Life Global Funding Other Note 59217EBV5 19,436, /10/2011 6/10/ % 19,507, Met Life Global Funding Other Note 59217EAP9 32,910, /15/2011 3/15/ % 32,945, National Australia Bank Other Note 6325C0BJ9 20,000, /27/2011 1/23/ % 20,030, National Australia Bank Other Note 6325C0BL4 50,000, /19/2011 8/19/ % 50,000, National Australia Bank Other Note 6325C0AC5 16,900, /15/2011 6/15/ % 16,903, Nordea Bank Other Note 65557NAF6 65,000, /18/2011 4/18/ % 65,000, Rabobank Nederland Other Note 74977RBT0 10,000, /5/2011 8/5/ % 10,007, Svenska Handelsbanken Other Note 86959JBG2 3,300, /9/2011 6/9/ % 3,300, Svenska Handelsbanken Other Note 86959JBA5 50,000, /9/2011 4/9/ % 50,000, Westpac Banking Other Note 91621CAX9 53,250, /14/ /14/ % 53,250, Westpac Banking Other Note 9612E0AV9 4,900, /19/2011 4/19/ % 4,900, BNP Paribas Securities Other Repurchase Agreement CR ,000, /1/2011 4/1/ % 145,000, Deutsche Bank Securities Other Repurchase Agreement CR ,000, /1/2011 4/1/ % 50,000, ING Financial Markets Other Repurchase Agreement CR ,000, /1/2011 4/1/ % 100,000, JP Morgan Securities Other Repurchase Agreement CR ,000, /1/2011 4/1/ % 100,000, RBC Capital Markets Other Repurchase Agreement CR ,000, /1/2011 4/1/ % 100,000, Abag Finance Authority for Nonprofit, Point Loma Nazarene University Variable Rate Demand Note 00037CNH9 16,930, /7/2011 4/7/ % 16,930, Albemarle County Economic Development, Martha Jefferson Hospital Variable Rate Demand Note AA8 9,100, /1/2011 4/1/ % 9,100, Aurora Children's Hospital, Class C Variable Rate Demand Note 05155XBV0 8,240, /7/2011 4/7/ % 8,240, California Infrastructure & Economic Development, Orange County Performing Arts Variable Rate Demand Note 13033WM91 28,700, /7/2011 4/7/ % 28,700, Calleguas-Las Virgines Municipal Water District, Public Financing Authority Variable Rate Demand Note 13124CEC7 17,240, /7/2011 4/7/ % 17,240, Page 6 of 7

7 Issuer Name (continued) Category CUSIP Principal Amount Final Legal Coupon/Yield 1 District of Columbia Revenue, Carnegie Endow International Peace Variable Rate Demand Note 25483VAE4 33,250, /7/2011 4/7/ % 33,250, Halifax Hospital Medical Center Variable Rate Demand Note HE4 19,500, /7/2011 4/7/ % 19,500, Illinois Finance Authority, Carle Foundation Variable Rate Demand Note 45200FVG1 10,500, /7/2011 4/7/ % 10,500, Illinois State Toll Highway Authority Variable Rate Demand Note GL7 12,000, /7/2011 4/7/ % 12,000, Maryland Health & Higher Education, University of Maryland Medical Systems Variable Rate Demand Note G74 4,055, /7/2011 4/7/ % 4,055, Michigan State Building Authority Variable Rate Demand Note U56 11,800, /7/2011 4/7/ % 11,800, Minneapolis & St. Paul Housing, Alliance Health Systems Variable Rate Demand Note FQ5 12,600, /7/2011 4/7/ % 12,600, New Hampshire Higher Educational & Health, Hunt Community Variable Rate Demand Note W9 9,795, /7/2011 4/7/ % 9,795, North Broward Hospital District Variable Rate Demand Note CP7 19,000, /7/2011 4/7/ % 19,000, South Carolina Economic Revenue Authority, Sisters of Charity Providence Variable Rate Demand Note 83703EGR0 9,700, /7/2011 4/7/ % 9,700, St. Joseph County Hospital Authority, Memorial Health System Variable Rate Demand Note 79061BCW3 12,900, /7/2011 4/7/ % 12,900, Vermont State Student Assistance Variable Rate Demand Note 92428CFL3 6,300, /7/2011 4/7/ % 6,300, ¹Represents either the annualized yield at the date of purchase, the stated coupon rate, or, for floating rate securities, the rate at period-end The information contained in this report relates to Mount Vernon Securities Lending Prime Portfolio (the "Portfolio"), a series of Mount Vernon Securities Lending Trust (the "Trust"). Shares of the Portfolio have not been registered under the Securities Act of 1933, as amended (the "1933 Act"), and, because they are offered only on a private placement basis to a limited number of qualified investors who participate in U.S. Bank's securities lending program, it is anticipated that they will be exempt from the registration provisions of the 1933 Act. Shares of the Portfolio may not be transferred or resold without registration under the 1933 Act, or pursuant to an exemption from such registration. However, shares of the Portfolio may be redeemed in accordance with the terms of the Trust's Agreement and Declaration of Trust and the Trust's offering memorandum. Effective November 30, 2010, the Portfolio is required to provide the Securities and Exchange Commission ( SEC ) with a monthly electronic filing of more detailed portfolio holdings information on Form N-MFP. The SEC will make the Form N-MFP available to the public 60 days after the end of the month to which the filing pertains. Beginning on or about January 31, 2011, you may access the Portfolio s publicly available Form N-MFP filings on the SEC s website by clicking here. The fund s holdings are as of the date indicated and are subject to change without notice. The listing of holdings does not constitute a recommendation of any individual security. Current and future holdings are subject to risk. Security names may not represent the official legal name. Please read the fund s most recent annual report for an audited portfolio holdings list. An investment in money market funds is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency. Although these funds seek to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in these funds. U.S. Bancorp Asset Management, Inc., is a registered investment advisor and subsidiary of U.S. Bank National Association, manages the portfolio. NOT FDIC INSURED NO BANK GUARANTEE MAY LOSE VALUE Page 7 of 7