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 9/28/2012 Weighted Average Maturity (WAM) 22 Days Weighted Average Life (WAL) 88 Days Issuer Name Category CUSIP Principal Amount Final Legal Bryant Park Funding Asset Backed Commercial Paper 11765JK17 9,005, /1/ /1/ % 9,005, Bryant Park Funding Asset Backed Commercial Paper 11765JLD0 37,500, /13/ /13/ % 37,491, Fairway Finance Asset Backed Commercial Paper 30601YLA1 60,000, /12/2012 1/8/ % 60,000, Fairway Finance Asset Backed Commercial Paper 30601YKP9 39,000, /15/ /15/ % 39,000, Liberty Street Funding Asset Backed Commercial Paper 53127TK10 35,000, /1/ /1/ % 35,000, Liberty Street Funding Asset Backed Commercial Paper 53127TK28 5,000, /2/ /2/ % 4,999, Liberty Street Funding Asset Backed Commercial Paper 53127TKB8 30,000, /11/ /11/ % 29,998, Manhattan Asset Funding Company Asset Backed Commercial Paper 56274LK11 20,000, /1/ /1/ % 20,000, Manhattan Asset Funding Company Asset Backed Commercial Paper 56274LKH6 23,494, /17/ /17/ % 23,491, Manhattan Asset Funding Company Asset Backed Commercial Paper 56274LKV5 20,000, /29/ /29/ % 19,996, Nieuw Amsterdam Receivables Asset Backed Commercial Paper 65409RK90 37,750, /9/ /9/ % 37,747, Nieuw Amsterdam Receivables Asset Backed Commercial Paper 65409RKA7 3,000, /10/ /10/ % 2,999, Nieuw Amsterdam Receivables Asset Backed Commercial Paper 65409RKK5 20,000, /19/ /19/ % 19,997, Bank of Montreal/Chicago Certificate of Deposit 06366V5N2 99,000, /4/ /4/ % 99,000, Bank of Nova Scotia/Houston Certificate of Deposit 06417E6E8 60,000, /1/2012 8/15/ % 60,000, Bank of Nova Scotia/Houston Certificate of Deposit 06417EL76 49,000, /9/2012 3/6/ % 49,000, Bank of Nova Scotia/Houston Certificate of Deposit 06417FBH2 60,000, /7/2012 3/7/ % 60,000, Canadian Imperial Bank of Commerce/NY Certificate of Deposit 13606YLJ3 40,000, /1/2012 1/15/ % 40,000, Canadian Imperial Bank of Commerce/NY Certificate of Deposit 13606X2E7 4,100, /5/ /5/ % 4,101, Canadian Imperial Bank of Commerce/NY Certificate of Deposit 13606X3M8 17,000, /7/ /7/ % 17,009, Credit Suisse/NY Certificate of Deposit 22550DUY3 25,000, /9/ /9/ % 25,000, Page 1 of 9

2 Issuer Name (continued) Category CUSIP Principal Amount Final Legal Credit Suisse/NY Certificate of Deposit 22550DVF3 25,000, /22/ /22/ % 25,000, Credit Suisse/NY Certificate of Deposit 22550DZA0 20,500, /13/ /13/ % 20,500, Credit Suisse/NY Certificate of Deposit 22550DYX1 25,000, /27/ /27/ % 25,000, DnB Bank/NY Certificate of Deposit 23330LFL5 50,000, /9/ /7/ % 50,000, National Australia Bank/NY Certificate of Deposit 63253THH4 37,650, /12/ /12/ % 37,650, National Australia Bank/NY Certificate of Deposit 63253TNH7 39,000, /12/2012 4/12/ % 39,000, National Australia Bank/NY Certificate of Deposit 63253TNL8 20,000, /12/ /12/ % 20,000, National Australia Bank/NY Certificate of Deposit 63253TPK8 25,000, /29/2012 5/29/ % 25,000, Nordea Bank Finland/NY Certificate of Deposit 65558EBD9 50,000, /1/2012 8/1/ % 50,000, Nordea Bank Finland/NY Certificate of Deposit 65557VLH2 3,400, /7/2012 2/7/ % 3,406, Nordea Bank Finland/NY Certificate of Deposit 65558EBU1 40,000, /15/2013 2/15/ % 40,000, Rabobank Nederland/NY Certificate of Deposit 74977M7L3 50,000, /12/2012 7/12/ % 50,000, Rabobank Nederland/NY Certificate of Deposit 74977MX67 25,000, /18/2012 1/18/ % 25,003, Rabobank Nederland/NY Certificate of Deposit 74977MM85 25,000, /16/ /16/ % 25,001, Rabobank Nederland/NY Certificate of Deposit 74977M2T1 25,000, /19/ /19/ % 25,003, Rabobank Nederland/NY Certificate of Deposit 74977M5G6 25,000, /26/2013 3/26/ % 25,000, Royal Bank of Canada/NY Certificate of Deposit 78009NEK8 60,000, /1/2012 3/5/ % 60,000, Royal Bank of Canada/NY Certificate of Deposit 78009NJE7 58,500, /4/ /4/ % 58,500, Royal Bank of Canada/NY Certificate of Deposit 78009JZA6 11,625, /29/2012 1/28/ % 11,637, Skandinaviska Enskilda Banken/NY Certificate of Deposit 83051A2S9 50,000, /11/ /11/ % 50,000, Skandinaviska Enskilda Banken/NY Certificate of Deposit 83051A7J4 55,150, /12/2012 3/12/ % 55,150, Sumitomo Mitsui Bank/NY Certificate of Deposit 86562DCE8 55,000, /1/2012 4/12/ % 55,000, Sumitomo Mitsui Bank/NY Certificate of Deposit 86562DQE3 45,000, /13/ /13/ % 45,000, Svenska Handelsbanken/NY Certificate of Deposit 86958CDE 50,000, /2/ /2/ % 50,000, Svenska Handelsbanken/NY Certificate of Deposit 86958CEK6 30,000, /19/ /19/ % 29,999, Svenska Handelsbanken/NY Certificate of Deposit 86958CFT6 25,000, /14/ /14/ % 25,000, Toronto-Dominion Bank/NY Certificate of Deposit 89112XA70 60,000, /22/ /20/ % 60,000, Toronto-Dominion Bank/NY Certificate of Deposit 89112X3A1 60,000, /30/2012 5/30/ % 60,000, Page 2 of 9

3 Issuer Name (continued) Category CUSIP Principal Amount Final Legal Toronto-Dominion Bank/NY Certificate of Deposit 89112XNA9 60,000, /2/2012 2/4/ % 60,000, Westpac Banking/NY Certificate of Deposit 96121TMT2 58,500, /5/ /5/ % 58,500, Westpac Banking/NY Certificate of Deposit 96121TLW6 10,600, /22/ /21/ % 10,600, Australia & New Zealand Banking Group Commonwealth Bank of Australia Commonwealth Bank of Australia Commonwealth Bank of Australia Commonwealth Bank of Australia DNB Bank DNB Bank MetLife Short Term Funding Nordea North America Reckitt Benckiser Treasury Services Reckitt Benckiser Treasury Services Reckitt Benckiser Treasury Services Skandinaviska Enskilda Banken Funding Svenska Handlesbanken Svenska Handlesbanken Toyota Motor Credit Paper 05253MAW4 53,700, /1/2012 5/1/ % 53,700, Paper 20272ACU8 50,000, /9/ /10/ % 49,998, Paper 20272ABP0 50,000, /16/ /16/ % 50,000, Paper 20272ACJ3 9,000, /23/2012 5/17/ % 9,000, Paper 20272ACL8 50,000, /26/2012 5/17/ % 50,000, Paper 2332K0KC5 25,000, /12/ /12/ % 24,997, Paper 2332K0LM2 35,000, /21/ /21/ % 34,988, Paper 59157TLD3 30,000, /13/ /13/ % 29,992, Paper 6555P0PR4 35,000, /25/2013 2/25/ % 34,948, Paper 7562E0L12 25,000, /1/ /1/ % 24,993, Paper 7562E0L53 10,000, /5/ /5/ % 9,997, Paper 7562E0L87 25,260, /8/ /8/ % 25,250, Paper 83050TKK6 15,000, /19/ /19/ % 14,997, Paper 86958FKK2 25,600, /19/ /19/ % 25,596, Paper 86958FQ75 17,800, /7/2013 3/7/ % 17,775, Paper 89233GL53 30,000, /5/ /5/ % 29,988, Page 3 of 9

4 Issuer Name (continued) Category CUSIP Principal Amount Final Legal Toyota Motor Credit Westpac Banking Paper 89233GPK6 35,000, /19/2013 2/19/ % 34,953, Paper 9612C4CT6 49,500, /1/2012 3/4/ % 49,500, Federal Home Loan Bank Government Agency Debt ZD2 65,000, /1/ /15/ % 65,000, Federal Home Loan Bank Government Agency Debt VN4 125,000, /15/2012 4/15/ % 124,943, Deutsche Bank Securities HSBC Securities (USA) ING Financial Markets Societe Generale/NY Government Agency Repurchase Agreement CR ,000, /1/ /1/ % 350,000, Government Agency Repurchase Agreement CR ,000, /1/ /1/ % 200,000, Government Agency Repurchase Agreement CR ,000, /1/ /1/ % 300,000, Government Agency Repurchase Agreement CR ,000, /1/ /1/ % 250,000, Goldman Sachs Financial Square Money Market Fund Investment Company 38141W232 61,339, /5/ /5/ % 61,339, HSBC Investor Prime Money Market Fund Investment Company ,274, /5/ /5/ % 16,274, J.P. Morgan Prime Money Market Fund, Capital Shares Investment Company 4812A0367 7,086, /5/ /5/ % 7,086, American Honda Finance Other Note 02666QH55 13,900, /7/ /7/ % 13,906, Australia & New Zealand Banking Group Other Note 05252ABR1 49,000, /1/ /4/ % 49,000, Commonwealth Bank of Australia Other Note 2027A0DS5 14,000, /20/ /20/ % 14,009, General Electric Capital Other Note 36962G4V3 5,100, /9/2012 1/7/ % 5,108, General Electric Capital Other Note 36962GZ64 7,000, /15/2012 1/15/ % 7,004, General Electric Capital Other Note 36962G4K7 2,150, /15/2012 1/15/ % 2,154, General Electric Capital Other Note 36962GV50 23,644, /22/2012 3/20/ % 23,649, General Electric Capital Other Note 36962GZ49 33,887, /1/ /1/ % 33,885, General Electric Capital Other Note 36962G2U7 22,050, /8/2012 5/8/ % 22,070, General Electric Capital Other Note 36962G4A9 825, /23/2012 5/22/ % 829, General Electric Capital Other Note 36962G5K6 31,500, /19/2012 6/19/ % 31,637, Golden West Financial (Wells Fargo) Other Note AQ9 14,450, /1/ /1/ % 14,450, International Finance Corporation Other Note 45950VBP0 4,000, /1/2012 1/30/ % 4,000, International Finance Corporation Other Note 45950VBM7 10,000, /25/2012 1/25/ % 10,000, Page 4 of 9

5 Issuer Name (continued) Category CUSIP Principal Amount Final Legal Metropolitan Life Global Funding Other Note 59217FCA7 38,000, /10/2012 3/8/ % 38,000, Metropolitan Life Institutional Funding Other Note 59157BAJ1 49,850, /3/2012 4/3/ % 49,850, Metropolitan Life Institutional Funding Other Note 59157BAG7 18,800, /7/ /7/ % 18,817, Metropolitan Life Institutional Funding Other Note 59157BAK8 10,000, /12/2012 9/12/ % 10,000, Nordea Bank Other Note 65557NAR0 39,000, /16/ /16/ % 39,007, Svenska Handelsbanken Other Note 86959JCN6 50,000, /4/ /4/ % 50,000, Total Capital Canada Other Note 89153UAC5 25,760, /13/2012 5/13/ % 25,791, Toyota Motor Credit Other Note 89233P5U6 7,050, /15/2012 1/14/ % 7,057, Westpac Banking Other Note 91621CCH2 53,250, /3/ /1/ % 53,250, J.P. Morgan Securities Other Repurchase Agreement CR ,500, /17/ /17/ % 117,500, Credit Suisse Securities (USA) Treasury Repurchase Agreement CR ,457, /1/ /1/ % 30,457, Aurora Hospital Revenue, The Children's Hospital Association, Series 2008C Variable Rate Demand Note 05155XBV0 13,980, /5/ /5/ % 13,980, California Health Facilities Financing Authority, St. Joseph Health System, Series 2011D Variable Rate Demand Note 13033LPE1 37,200, /5/ /5/ % 37,200, Colorado Springs, Colorado Springs Fine Arts Center, Series 2006 Variable Rate Demand Note CV5 4,845, /5/ /5/ % 4,845, District of Columbia, Carnegie Endowment for International Peace, Series 2006 Variable Rate Demand Note 25483VAE4 33,250, /5/ /5/ % 33,250, District of Columbia, Georgetown University, Series 2009C Variable Rate Demand Note 25484JBA7 8,250, /5/ /5/ % 8,250, District of Columbia, The House on F Street, Series 2001 Variable Rate Demand Note 25476PAC0 7,500, /5/ /5/ % 7,500, Franklin County, Health Care Facilities Improvement Revenue, Ohio Presbyterian Retirement Services, Series 2006A Variable Rate Demand Note HF2 18,250, /5/ /5/ % 18,250, Halifax Hospital Medical Center, Daytona Beach, Series 2008 Variable Rate Demand Note HE4 49,600, /5/ /5/ % 49,600, Hamilton County Hospital Facilities, Elizabeth Gamble Deaconess Home Association, Series 2002B Variable Rate Demand Note J38 7,600, /5/ /5/ % 7,600, Illinois Development Finance Authority, Lyric Opera of Chicago, Series 1994 Variable Rate Demand Note PR2 4,000, /5/ /5/ % 4,000, Illinois Finance Authority, The Carle Foundation, Series 2009C Variable Rate Demand Note 45200FVG1 10,500, /5/ /5/ % 10,500, Illinois State Toll Highway Authority, Series 2007A-1B Variable Rate Demand Note GL7 12,000, /5/ /5/ % 12,000, Indiana Development Finance Authority, Indianapolis Museum of Art, Series 2002 Variable Rate Demand Note 45504RDA1 11,400, /5/ /5/ % 11,400, Page 5 of 9

6 Issuer Name (continued) Category CUSIP Principal Amount Final Legal Indiana Finance Authority, Depauw University, Series 2008B Variable Rate Demand Note NK1 7,950, /5/ /5/ % 7,950, Indiana Finance Authority, Health System Revenue, Sisters of St. Francis Health Services, Series 2008F Variable Rate Demand Note 45470YBB6 27,000, /5/ /5/ % 27,000, Indiana Finance Authority, Health System Revenue, Sisters of St. Francis Health Services, Series 2008J Variable Rate Demand Note 45470YBN0 9,200, /5/ /5/ % 9,200, Indiana Finance Authority, Parkview Health System Obligated, Series 2009D Variable Rate Demand Note 45471AAS1 14,600, /5/ /5/ % 14,600, Iowa Finance Authority, Wesley Retirement Services, Series 2006 Variable Rate Demand Note 46246KXT4 3,195, /5/ /5/ % 3,195, Kentucky Economic Development Finance Authority, Hospital Facilities, Baptist Healthcare System, Series 2009B-3 Variable Rate Demand Note 49126KFS5 9,000, /5/ /5/ % 9,000, Louisiana Public Facilities Authority, CHRISTUS Health, Series 2009B-1 Variable Rate Demand Note C63 15,000, /5/ /5/ % 15,000, Louisiana Public Facilities Authority, CHRISTUS Health, Series 2009B-2 Variable Rate Demand Note C30 3,900, /5/ /5/ % 3,900, Maryland Health & Higher Educational Facilities Authority, University of Maryland Medical System, Series 2007A Variable Rate Demand Note G74 21,680, /5/ /5/ % 21,680, Maryland State Health & Higher Educational Facilities Authority, Peninsula Regional Medical Center, Series 1985A Variable Rate Demand Note RC5 2,750, /5/ /5/ % 2,750, Michigan State Building Authority, Series 2007I Variable Rate Demand Note U56 5,800, /5/ /5/ % 5,800, Middletown Educational Buildings Revenue, Christian Academy of Louisville, Series 2004 Variable Rate Demand Note AA4 4,555, /5/ /5/ % 4,555, Mississippi Business Finance, Gulf Opportunity Zone Industrial Development Revenue, Chevron U.S.A., Series 2010C Variable Rate Demand Note 60528ABT0 10,000, /5/ /5/ % 10,000, Mississippi Business Finance, Gulf Opportunity Zone Industrial Development Revenue, Chevron U.S.A., Series 2010F Variable Rate Demand Note 60528ABW3 25,500, /5/ /5/ % 25,500, Mississippi Business Finance, Gulf Opportunity Zone Industrial Development Revenue, Chevron U.S.A., Series 2010G Variable Rate Demand Note 60528ABX1 11,055, /1/ /1/ % 11,055, Mobile Downtown Redevelopment Authority, Austal USA, Series 2011A Variable Rate Demand Note 60715RAA8 4,000, /5/ /5/ % 4,000, Mobile Downtown Redevelopment Authority, Austal USA, Series 2011B Variable Rate Demand Note 60715RAB6 8,000, /5/ /5/ % 8,000, New Hampshire Higher Educational & Health Facilities Authority, Hunt Community, Series 1996 Variable Rate Demand Note W9 9,025, /5/ /5/ % 9,025, New York State Housing Finance Agency, Gotham West Housing, 44th Street Development, Series 2011A-2 Variable Rate Demand Note 64986UFK8 12,740, /5/ /5/ % 12,740, North Broward Hospital District, Series 2008A Variable Rate Demand Note CP7 35,920, /5/ /5/ % 35,920, Ohio State Higher Education Facility, Case Western Reserve University, Series 2008A Variable Rate Demand Note 67756BVL1 8,000, /5/ /5/ % 8,000, Page 6 of 9

7 Issuer Name (continued) Category CUSIP Principal Amount Final Legal Parma Hospital Revenue, Parma Community General Hospital, Series 2006A Variable Rate Demand Note CW5 6,030, /5/ /5/ % 6,030, Philadelphia School District/PA, Series 2010G Variable Rate Demand Note LQ3 22,075, /5/ /5/ % 22,075, Saint Paul Housing & Redevelopment Authority, Allina Health System, Series 2007C-1 Variable Rate Demand Note FQ5 18,400, /5/ /5/ % 18,400, South Carolina Jobs-Economic Development Authority, AnMed Health, Series 2009C Variable Rate Demand Note 83703FCR1 4,940, /5/ /5/ % 4,940, St. Joseph County Hospital Authority, Memorial Health System, Series 2008A Variable Rate Demand Note 79061BCW3 12,800, /5/ /5/ % 12,800, Sweetwater County Pollution Control, PacifiCorp, Series 1992A Variable Rate Demand Note CH6 1,300, /5/ /5/ % 1,300, Virginia Small Business Financing Authority, Carilion Medical Center, Series 2008B Variable Rate Demand Note AE4 11,145, /1/ /1/ % 11,145, Virginia Small Business Financing Authority, Hampton University, Series 2008A Variable Rate Demand Note KQ0 11,000, /5/ /5/ % 11,000, Wisconsin State Health & Educational Facilities Authority, Goodwill Industries of North Central Wisconsin, Series 2005 Variable Rate Demand Note 97710VXL7 4,235, /5/ /5/ % 4,235, PORTFOLIO MATURITY 1,2 Overnight 33.0% 2-7 days 18.7% 8-29 days 23.6% days 15.9% days 5.8% 121+ days 3.0% Page 7 of 9

8 PORTFOLIO ALLOCATION 2 Asset Backed Commercial Paper 6.7% Certificates of Deposit 30.3% Paper 11.3% Government Agency Debt 3.8% Government Agency Repurchase Agreements 21.8% Investment Companies 1.7% Other Notes 10.4% Other Repurchase Agreements 2.3% Treasury Repurchase Agreements 0.6% Variable Rate Demand Notes 11.1% BANK EXPOSURE BY COUNTRY OF DOMICILE 2,3 Australia 11.5% Canada 17.1% Japan 3.2% Netherlands 4.2% Norway 2.2% Sweden 9.6% Switzerland 1.9% United Kingdom 0.9% United States 11.5% 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 Page 8 of 9

9 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. : Represents either the annualized yield at the date of purchase, the stated coupon rate, or, for floating rate securities, the rate at period-end. : 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 Page 9 of 9