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 9/30/2015 Weighted Average Maturity (WAM) 12 Days Weighted Average Life (WAL) 78 Days Issuer Name Category CUSIP Principal Amount Final Legal Coupon/Yield Amortized Cost Atlantic Asset Securitization Corp Asset Backed Commercial Paper 04821QCT6 50,000, /22/ /4/ % 50,000, Barton Capital LLC Asset Backed Commercial Paper 06945JDG5 50,000, /23/ /4/ % 50,000, Fairway Finance Corp Asset Backed Commercial Paper 30601YQV0 40,000, /5/ /7/ % 40,000, Gotham Funding Corp Asset Backed Commercial Paper 38346MXM1 50,000, /21/ /21/ % 49,994, Kells Funding LLC Asset Backed Commercial Paper 48802TRP2 70,000, /19/ /19/ % 69,994, Kells Funding LLC Asset Backed Commercial Paper 48803AKY0 50,000, /22/2015 2/22/ % 49,998, Manhattan Asset Funding Co Asset Backed Commercial Paper 56274MXM9 21,000, /21/ /21/ % 20,997, Manhattan Asset Funding Co Asset Backed Commercial Paper 56274MXU1 36,000, /28/ /28/ % 35,994, Old Line Funding LLC Asset Backed Commercial Paper 67984YAV6 35,000, /26/ /24/ % 35,000, Old Line Funding LLC Asset Backed Commercial Paper 67984VAV2 35,000, /26/2015 1/25/ % 35,000, Thunder Bay Funding LLC Asset Backed Commercial Paper 88603YAQ4 25,000, /5/2015 2/5/ % 25,000, Thunder Bay Funding LLC Asset Backed Commercial Paper 88603YAN1 25,000, /6/ /9/ % 25,000, Thunder Bay Funding LLC Asset Backed Commercial Paper 88603YAR2 30,000, /13/2015 3/10/ % 30,000, Banco del Estado de Chile/NY Certificate of Deposit 05962P6Z7 44,000, /13/ /10/ % 44,000, Banco del Estado de Chile/NY Certificate of Deposit 05969YDF7 50,000, /15/2015 3/15/ % 50,000, Banco Del Estado De Chile/NY Certificate of Deposit 05969YEA7 100,000, /7/ /7/ % 100,000, Bank of Montreal/Chicago Certificate of Deposit 06366LCP1 73,500, /19/2015 1/15/ % 73,500, Bank of Montreal/Chicago Certificate of Deposit 06427EEN7 25,000, /26/2015 4/25/ % 25,000, Bank of Montreal/Chicago Certificate of Deposit 06366C7C6 25,000, /26/2015 4/25/ % 25,000, Bank of Montreal/Chicago Certificate of Deposit 06366C7D4 20,000, /26/2015 7/25/ % 20,000, Bank of Nova Scotia/Houston Certificate of Deposit 06417H5T9 40,000, /1/2015 3/11/ % 40,000, Bank of Nova Scotia/Houston Certificate of Deposit 06417H4H6 30,000, /1/2015 2/12/ % 30,000, Bank of Nova Scotia/Houston Certificate of Deposit 06417HE85 50,000, /1/2015 3/24/ % 50,000, Bank of Nova Scotia/Houston Certificate of Deposit 06417H6N1 55,000, /1/2015 6/28/ % 55,000, Bank of Tokyo-Mitsubishi UFJ Ltd/NY Certificate of Deposit 06538J6G6 25,000, /19/ /19/ % 25,000, BNP Paribas/NY Certificate of Deposit 05567VT21 100,000, /2/ /2/ % 100,000, BNP Paribas/NY Certificate of Deposit 05567VT39 75,000, /6/ /6/ % 75,000, Canadian Imperial Bank of Commerce/NY Certificate of Deposit 13606JZQ5 50,000, /1/ /19/ % 50,000, Canadian Imperial Bank of Commerce/NY Certificate of Deposit 13606ACN6 60,000, /1/2015 3/22/ % 60,000, Canadian Imperial Bank of Commerce/NY Certificate of Deposit 13606JYA1 45,750, /1/2015 9/16/ % 45,750, Canadian Imperial Bank of Commerce/NY Certificate of Deposit 13606ACW6 70,000, /2/ /2/ % 70,000, Credit Agricole Corporate & Investment Bank/NY Certificate of Deposit 22533M4U2 50,000, /7/ /7/ % 50,000, Credit Suisse AG/NY Certificate of Deposit 22549V4X8 50,000, /1/2015 3/1/ % 50,000, Credit Suisse AG/NY Certificate of Deposit 22549VNP4 40,000, /26/ /25/ % 40,000, DnB NOR Bank ASA/NY Certificate of Deposit 23290QZR7 25,000, /27/ /27/ % 25,000, DZ Bank/NY Certificate of Deposit 23328ALR3 50,000, /18/ /18/ % 50,000, HSBC Bank USA Certificate of Deposit 40428AM46 25,000, /6/2015 1/6/ % 25,000, HSBC Bank USA Certificate of Deposit 40428AE86 45,000, /13/ /13/ % 45,000, Lloyds Bank PLC Certificate of Deposit 53943NL30 50,000, /19/2015 3/18/ % 50,000, Mitsubishi UFJ Trust & Banking Corp/NY Certificate of Deposit 60682AYN0 40,000, /19/2015 1/19/ % 40,000, Mitsubishi UFJ Trust & Banking Corp/NY Certificate of Deposit 60682AVY9 49,000, /19/ /19/ % 49,000, September 30, 2015 Page 1 of 5

2 Issuer Name (continued) Category CUSIP Principal Amount Final Legal Coupon/Yield Amortized Cost Nordea Bank Finland Plc/NY Certificate of Deposit 65558LGW6 25,000, /13/2015 8/12/ % 25,000, Nordea Bank Finland Plc/NY Certificate of Deposit 65558LEP3 25,000, /13/ /13/ % 25,000, Nordea Bank Finland Plc/NY Certificate of Deposit 65558LGJ5 24,000, /23/ /23/ % 23,999, Nordea Bank Finland Plc/NY Certificate of Deposit 65558LDP4 25,000, /23/ /23/ % 25,000, Rabobank Nederland NV/NY Certificate of Deposit 21684BWM2 8,300, /5/ /5/ % 8,299, Rabobank Nederland NV/NY Certificate of Deposit 21684BE26 29,000, /22/2015 2/22/ % 29,000, Rabobank Nederland NV/NY Certificate of Deposit 21684BYD0 25,000, /26/2015 1/25/ % 25,000, Rabobank Nederland NV/NY Certificate of Deposit 21684BZD9 40,000, /26/2015 4/25/ % 40,000, Rabobank Nederland NV/NY Certificate of Deposit 21684BSG0 50,000, /30/2015 1/29/ % 50,000, Royal Bank of Canada/NY Certificate of Deposit 78009NJE7 58,500, /5/ /3/ % 58,500, Skandinaviska Enskilda Banken AB/NY Certificate of Deposit 83051H2E5 40,000, /5/ /5/ % 40,000, Skandinaviska Enskilda Banken AB/NY Certificate of Deposit 83051H4Z6 25,000, /22/2015 2/22/ % 25,000, Skandinaviska Enskilda Banken AB/NY Certificate of Deposit 83051H4Y9 25,000, /22/2015 2/22/ % 25,000, State Street Bank & Trust Certificate of Deposit 8574P1FM3 40,000, /13/2015 2/12/ % 40,000, State Street Bank & Trust Certificate of Deposit 8574P1EB8 50,000, /20/ /20/ % 50,000, Sumitomo Mitsui Banking Corp/NY Certificate of Deposit 86563R6C7 19,400, /1/ /1/ % 19,400, Sumitomo Mitsui Banking Corp/NY Certificate of Deposit 86563R4X3 30,000, /19/ /19/ % 30,000, Sumitomo Mitsui Banking Corp/NY Certificate of Deposit 86563R5A2 40,000, /19/ /17/ % 40,000, Sumitomo Mitsui Banking Corp/NY Certificate of Deposit 86563RNX2 25,000, /22/ /22/ % 25,000, Sumitomo Mitsui Banking Corp/NY Certificate of Deposit 86563RK64 15,000, /28/ /28/ % 15,000, Svenska Handelsbanken AB Certificate of Deposit 86958DXB3 34,800, /26/ /26/ % 34,802, Swedbank/NY Certificate of Deposit 87019T6N7 33,000, /2/ /2/ % 33,000, Swedbank/NY Certificate of Deposit 87019T6V9 89,000, /6/ /6/ % 89,000, Swedbank/NY Certificate of Deposit 87019T6X5 84,000, /7/ /7/ % 84,000, Swedbank/NY Certificate of Deposit 87019TN81 25,000, /16/ /16/ % 25,000, Toronto-Dominion Bank/NY Certificate of Deposit 89113EA97 50,000, /1/2015 4/1/ % 50,000, Toronto-Dominion Bank/NY Certificate of Deposit 89112UYU9 50,000, /5/ /5/ % 50,000, Toronto-Dominion Bank/NY Certificate of Deposit 89112UYQ8 23,000, /6/ /6/ % 23,000, Toronto-Dominion Bank/NY Certificate of Deposit 89113ERU2 25,000, /8/2015 6/8/ % 25,000, Toronto-Dominion Bank/NY Certificate of Deposit 89112UM73 29,500, /19/ /18/ % 29,500, UBS AG of Stamford, Connecticut Certificate of Deposit 90267R2C2 50,000, /28/2015 3/4/ % 50,000, Wells Fargo Bank Certificate of Deposit 94988EHT8 29,000, /1/2015 2/1/ % 29,000, Wells Fargo Bank Certificate of Deposit 94988EC63 50,000, /1/ /30/ % 50,000, Wells Fargo Bank Certificate of Deposit 94988EJ82 10,000, /1/2015 2/18/ % 10,000, Westpac Banking Corp/NY Certificate of Deposit 96121TC89 50,000, /9/2015 1/11/ % 50,000, Westpac Banking Corp/NY Certificate of Deposit 96121TXM5 13,450, /26/ /26/ % 13,450, ANZ National International Ltd Paper 00182HCP5 50,000, /5/ /5/ % 50,000, ANZ National International Ltd Paper 00182HDH2 50,000, /13/2015 1/12/ % 50,000, Paper 20272ALZ7 25,000, /8/2015 4/29/ % 25,000, Paper 20272ANR3 25,000, /14/2015 4/14/ % 25,000, Paper 20272AKB1 25,000, /23/ /23/ % 25,000, Paper 20272ANE2 17,000, /26/2015 2/24/ % 17,000, Paper 40433FFC8 25,000, /8/2015 2/8/ % 25,000, September 30, 2015 Page 2 of 6

3 Issuer Name (continued) Category CUSIP Principal Amount Final Legal Coupon/Yield Amortized Cost Paper 40433FFJ3 50,000, /19/2015 9/16/ % 50,000, Paper 40433FEJ4 25,000, /20/ /20/ % 25,000, JP Morgan Securities LLC Paper 46640ECB2 25,000, /27/2015 5/27/ % 25,000, Macquarie Bank LTD Paper 55607NDV9 15,000, /1/ /15/ % 15,000, Macquarie Bank LTD Paper 55607NDJ6 45,000, /13/ /12/ % 45,000, National Australia Bank Paper 63254GAC9 12,000, /6/ /5/ % 12,000, National Australia Bank Paper 63254GAJ4 50,000, /20/ /20/ % 50,000, Paper 8672E3XF8 36,000, /15/ /15/ % 35,994, Paper 8672E3Y91 10,000, /9/ /9/ % 9,995, Paper 8672E3Z82 14,600, /8/ /8/ % 14,590, Paper 8672E2A57 5,500, /5/2016 1/5/ % 5,492, Paper 8672E2A65 30,000, /6/2016 1/6/ % 29,963, Paper 8672E2B98 10,000, /9/2016 2/9/ % 9,980, BNP Paribas Securities Corp Agreement CR ,000, /1/ /1/ % 200,000, ING Financial Markets LLC Agreement CR ,000, /1/ /1/ % 250,000, Societe Generale/NY Agreement CR ,000, /1/ /1/ % 350,000, Dreyfus Institutional Cash Advantage Investment Company 26200V104 14,571, /7/ /7/ % 14,571, DWS Money Market Series-Institutional Investment Company 23337T ,756, /7/ /7/ % 106,756, Goldman Sachs Financial Square Money Market Fund Investment Company 38141W ,662, /7/ /7/ % 106,662, Toyota Motor Credit Corp Other Commercial Paper 89233AFB0 30,000, /6/ /3/ % 30,000, Toyota Motor Credit Corp Other Commercial Paper 89233AFX2 25,000, /19/ /16/ % 25,000, Toyota Motor Credit Corp Other Commercial Paper 89233AJN0 30,000, /26/2015 6/20/ % 30,000, Toyota Motor Credit Corp Other Commercial Paper 89233AFT1 25,000, /28/2015 1/22/ % 25,000, Bank of America Other Note 06053PJZ1 25,000, /1/2015 2/1/ % 25,000, Bank of America Other Note 06053PJR9 25,000, /9/2015 2/9/ % 25,000, IBM Corp Other Note HV6 29,550, /5/2015 2/5/ % 29,559, JP Morgan Chase Bank Other Note 48125LLP5 25,000, /22/ /21/ % 24,988, New York Life Global Funding Other Note 64952WBV4 11,500, /29/ /29/ % 11,500, PNC Bank Other Note 69349LAJ7 4,350, /28/2015 1/28/ % 4,352, Shell International Finance BV Other Note BB7 2,580, /10/ /10/ % 2,580, Svenska Handelsbanken AB Other Note 86959JCN6 54,250, /5/ /3/ % 54,247, Svenska Handelsbanken AB Other Note 86959JDE5 35,000, /15/2015 3/15/ % 35,000, Total Capital SA Other Note 89152UAA0 1,500, /2/ /2/ % 1,500, Wells Fargo Bank Other Note 94985HY24 47,000, /20/2015 8/19/ % 47,000, Westpac Banking Corp Other Note 91621CCH 53,250, /1/2015 9/30/ % 53,250, September 30, 2015 Page 3 of 6

4 Issuer Name (continued) Category CUSIP Principal Amount Final Legal Coupon/Yield Amortized Cost BNP Paribas Prime Brokerage Inc Other Repurchase Agreement CR69999G1 25,000, /1/ /4/ % 25,000, BNP Paribas Securities Corp Other Repurchase Agreement CR69999A4 40,000, /1/ /4/ % 40,000, HSBC Securities (USA) Inc Other Repurchase Agreement CR ,000, /1/ /1/ % 65,000, ING Financial Markets LLC Other Repurchase Agreement CR ,000, /1/ /1/ % 35,000, JP Morgan Securities LLC Other Repurchase Agreement CR49929P8 100,000, /1/ /4/ % 100,000, Federal Reserve Bank of New York Treasury Repurchase Agreement CR ,000, /1/ /1/ % 150,000, Societe Generale/NY Treasury Repurchase Agreement CR ,000, /1/ /1/ % 115,000, California Health Facilities Financing Authority Revenue, Catholic Healthcare, Series C Variable Rate Demand Note 13033HXN1 14,200, /7/ /7/ % 14,200, Minnesota State Housing Finance Agency, Series 2007E Variable Rate Demand Note 60415NJ78 2,015, /7/ /7/ % 2,015, Yavapai County Industrial Development Authority Revenue, Drake Cement LLC Project Variable Rate Demand Note 98521YAB5 3,125, /7/ /7/ % 3,125, ,690,610, ,690,512, PORTFOLIO MATURITY 1,2 Overnight 33.5% 2-7 days 22.7% 8-29 days 39.3% days 2.5% days 1.8% 121+ days 0.2% PORTFOLIO ALLOCATION 2 Asset Backed Commercial Paper 9.1% Certificates of Deposit 46.2% Paper 9.6% Agreements 14.1% Investment Companies 4.0% Other Commercial Paper 1.9% Other Notes 5.5% Other Repurchase Agreements 4.6% Treasury Repurchase Agreements 4.7% Variable Rate Demand Notes 0.3% BANK EXPOSURE BY COUNTRY OF DOMICILE 2,3 Australia 9.4% Canada 17.1% Chile 3.4% France 6.9% Germany 0.9% Japan 6.2% Netherlands 3.3% Norway 0.4% Sweden 9.6% Switzerland 2.5% United Kingdom 5.0% United States 7.8% September 30, 2015 Page 4 of 6

5 1 Calculated using maturity date as defined below 2 Shown as a percentage of amortized cost 3 Some securities held by the fund may not have bank exposure, therefore the chart provided may not include the fund's entire investment portfolio Terms: Weighted Average Maturity (WAM): The average time to maturity of all the securities held in the fund, weighted by each security s percentage of total investments. WAM measures a fund s sensitivity to interest rate changes. Weighted Average Life (WAL): The average time to final legal maturity of all the securities held in the fund, weighted by each security s percentage of total investments. WAL measures a fund s sensitivity to potential credit spread changes. : The earlier of the date the principal amount must unconditionally be paid, the next interest rate reset date, or in the case of a security called for redemption, the date on which the redemption payment must be made. Final Legal : The date the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made. Coupon/Yield: Represents either the annualized yield at the date of purchase, the stated coupon rate, or, for floating rate securities, the rate at period-end. Amortized Cost: Pursuant to Rule 2a-7, portfolio securities are valued at the fund s acquisition cost adjusted for amortization of premium or accretion of discount rather than at their current market value. Bank Exposure: The combination of either direct exposure when an investment is issued by a bank, or indirect exposure where a bank provides full liquidity and/or other credit support to a security. 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., a registered investment advisor and subsidiary of U.S. Bank National Association, manages the portfolio. U.S. Bank is not responsible for and does not guarantee the products, service or performance of its affiliates and third party providers. NOT FDIC INSURED NO BANK GUARANTEE MAY LOSE VALUE September 30, 2015 Page 5 of 6