Vanguard Money Market Funds. August 31, 2004

Transcription

1 Vanguard Money Market Funds August 31, 2004 Annual R E P O R T Vanguard Prime Money Market Fund Vanguard Federal Money Market Fund Vanguard Treasury Money Market Fund Vanguard Admiral Treasury Money Market Fund

2 your fund report contents 1 letter from the chairman 6 report from the advisor 9 fund profiles 10 glossary of investment terms 11 performance summaries 16 about your fund s expenses 18 financial statements summary The returns of the Vanguard Money Market Funds ranged from a high of 1.0% for the Prime Money Market Fund s Institutional Shares to a low of 0.7% for the Treasury Money Market Fund in the fiscal year ended August 31, The Federal Reserve Board raised the target federal funds rate twice in June and in August which lifted money market yields somewhat from their historical lows. Significant cost advantages led our money market funds to peer-beating returns over both short- and long-term periods. vanguard s pledge to clients We recognize that your relationship with Vanguard rests on the twin pillars of trust and excellence, each of which is built upon the character of our people. Our Pledge to Clients reflects our ongoing efforts to deserve your trust and to continually improve so that we can offer you excellence in all that we do. We will: Put your interests first at all times. Continually seek to earn your trust by adhering to the highest standards of ethical behavior and fiduciary responsibility. Strive to be the highest-value provider of investment services, which means outstanding investment performance and service at the lowest possible cost. Communicate candidly not only about the rewards of investing, but also about the risks and costs. Maintain highly effective controls to safeguard your assets and protect your confidential information. Invest a majority of our personal assets alongside yours. Please note: The opinions expressed in this report are just that: informed opinions. They should not be considered promises or advice. Want less clutter in your mailbox? Just register with Vanguard.com and opt to get fund reports online.

3 letter from the chairman Dear Shareholder, Yields of money market instruments continued to languish during the fiscal year ended August 31, 2004, declining to their lowest levels ever. In the final few months of the period, though, yields began a modest upswing Total Returns Fiscal Year Ended August 31 SEC 7-Day Average Annualized Vanguard Competing Yield**: Vanguard Fund Fund Fund* 8/31/2004 Prime Money Market Investor Shares 0.8% 0.4% 1.21% Institutional Shares Federal Money Market Treasury Money Market Admiral Treasury Money Market Amid this market environment, the total returns of the Vanguard Money Market Funds relative to their mutual fund peers were excellent. The table below presents the total returns of our funds, as well as those of their average peers. The table also gives each fund s annualized yield as of August 31. Each fund continued to meet its mandate to preserve principal (the share price of each held steady at $1, as is expected but not guaranteed), provide liquidity, and generate superior relative returns. stocks hung on to first-half gains A strong rally in stock prices during the first half of the fiscal year produced solid 12- month gains, despite a volatile second-half retreat. The broad U.S. stock market, as measured by the Dow Jones Wilshire 5000 Composite Index, returned 11.5% for the 12 months. *For the Prime and Federal Money Market Funds, derived from data provided by Lipper Inc.; for the Treasury and Admiral Treasury Money Market Funds, data provided by imoneynet, Inc. **The yield of a money market fund more closely reflects the current earnings of the fund than its total return. Minimum initial investment is $10 million. Minimum initial investment is $50,000. Through February, stocks benefited from strong corporate earnings growth and a string of positive economic surprises. The environment then deteriorated, however, especially in the final months of the fiscal 1

4 year, when job growth slowed, the reported growth in second-quarter gross domestic product was revised downward, and the economy started showing the strain of a relentless rise in crude oil prices. Larger- and smaller-capitalization stocks provided roughly equal returns for the year. Value-oriented stocks (those with relatively low ratios of price to fundamental measures such as earnings) had significantly better returns than growth stocks across market capitalizations. International stocks produced by far the largest gains for U.S. investors, boosted by the weakness of the U.S. dollar (which increases returns for international investments purchased with the greenback). Impressive gains were widespread across Eurozone countries, Japan, and emerging markets. bonds mirrored stocks returns Market Barometer Bonds Stocks CPI Like stocks, the bond market seesawed in response to a rapidly changing economic picture. Bond prices rose steadily until April, when they underwent a sudden reversal, boosting yields (which move in the opposite direction from prices), in response to reports of higher-than-expected inflation and job growth. But prices jumped again in August, when signs multiplied that the recent economic surge had cooled. During the fiscal year, the yield of the 10-year U.S. Treasury note, a benchmark for longerterm interest rates, dropped to a low of 3.69% in March, climbed to 4.65% by the end of May, and ended the period at 4.12%. Average Annual Total Returns Periods Ended August 31, 2004 One Three Five Year Years Years Lehman Aggregate Bond Index 6.1% 6.2% 7.7% (Broad taxable market) Lehman Municipal Bond Index Citigroup 3-Month Treasury Bill Index Russell 1000 Index (Large-caps) 11.3% 1.2% 1.5% Russell 2000 Index (Small-caps) Dow Jones Wilshire 5000 Index (Entire market) MSCI All Country World Index ex USA (International) Consumer Price Index 2.7% 2.2% 2.5% For the full 12 months, the Lehman Brothers Aggregate Bond Index returned 6.1%. Corporate bonds provided higher returns than government issues. The yield of the 3-month Treasury bill a proxy for money market rates rose in anticipation of, and in response to, the Federal Reserve Board s June and August hikes in its target for the federal funds rate. The bill yielded 1.58% at the end of the period, up 0.61 percentage point from its August 31, 2003, level. 2

5 late rate increases were not enough to counteract low yields Changes in Yields The Federal Reserve s long campaign to stimulate the economy through low short-term interest rates lasted well into the Vanguard Money Market Funds 2004 fiscal year. As a result, investors were faced with money market yields that were disappointing. The yields of money market securities were so low that they failed to keep pace with inflation. As the fiscal year began last September, the annualized yields of all of the Vanguard Money Market Funds were below 1%. In the latter part of the fiscal year, however, money market yields began to recover in response to the Fed s 0.25-percentage-point rate hikes in June and August, which were part of the Fed s measured effort to counter inflationary pressures. SEC 7-Day Annualized Yield August 31, August 31, Money Market Fund Prime Investor Shares 1.21% 0.76% Institutional Shares Federal Treasury Admiral Treasury Despite these rate hikes, the Investor Shares of Vanguard Prime Money Market Fund, our oldest and largest money market fund, returned just 0.8% in fiscal 2004 the lowest fiscal-year return since the fund s June 1975 inception. The Prime Money Market Fund s Institutional Shares returned 1.0%, the best result among our money market funds. The returns of the fund s institutional investors are enhanced by the fact that their significant account balances create economies of scale that lower the fund s operating costs markedly. Vanguard Treasury Money Market Fund s 0.7% return, and the 0.9% return of the lower-cost Admiral Treasury Money Market Fund, reflected these funds exclusive focus on T-bills, which are typically the lowestyielding, but highest-quality, money market instruments. Vanguard Federal Money Market Fund, which seeks to enhance the returns of an all-treasury portfolio by investing in short-term securities issued by federal agencies, returned 0.8%. the funds long-term performance records are outstanding Despite the challenges of the 2004 fiscal year, the Vanguard Money Market Funds have excellent long-term performance records, in both absolute and relative terms. Indeed, long-term investors in any of our 3

6 Total Returns Ten Years Ended August 31, 2004 Final Value of a $10,000 Average Annual Total Return Initial Investment* Vanguard Average Vanguard Average Money Market Fund Fund Competing Fund Fund Competing Fund Prime Investor Shares 4.2% 3.7% $ 15,091 $ 14,320 Institutional Shares ,374,022 14,916,718 Federal ,033 14,331 Treasury ,700 14,201 Admiral Treasury ,754 71,007 *For the Prime Money Market Fund s Institutional Shares, final value of a $10 million initial investment; for the Admiral Treasury Money Market Fund, final value of a $50,000 initial investment. money market funds would have fared better than long-term investors in corresponding average peer funds. The funds long-term performance advantage is due to two important factors: the investment-management skills of our Fixed Income Group and the funds extremely low expenses. The talents of the members of our Fixed Income Group enable them to select the appropriate mix of securities that meet the funds risk-return criteria. In addition, over the long run, the consistently low costs of the Vanguard Money Market Funds mean that more of their returns are put back into shareholders accounts to continue growing. (For more on the funds expenses, see page 16.) The table above shows the average annual returns of the Vanguard Money Market Funds and those of their peer groups for the ten years ended August 31, It also displays how equal investments in our funds and those of our average competitors would have grown. In each case, the Vanguard fund produced a higher total return and created more wealth for shareholders than its average peer. is there still a role for money market funds? Over the past few years, the Federal Reserve s series of rate cuts left the returns of money market funds well below the levels consistent with long-term investors expectations. Even now, despite the recent rate hikes, money market funds returns are low by historical standards. For many investors, though, money market funds can still play an important role in a portfolio. Vanguard has always embraced the principles 4

7 of balance and diversification as essential strategies for investors when confronting the uncertainties and risks of the financial markets. A balanced portfolio that has an appropriate mix of stocks, bonds, and money market funds for your situation can enable you to pursue growth of capital, while securing some protection from the markets inevitable downturns. Money market funds can prove invaluable in that mix, as they offer liquidity and stability of principal to permit you to invest money for short-term goals. We thank you for your continued confidence in Vanguard. Sincerely, John J. Brennan chairman and chief executive officer september 10,

8 report from the advisor The Vanguard Money Market Funds provided historically low returns for much of the just-completed fiscal year, as the Federal Reserve Board s accommodative monetary policy kept money market yields at low levels. However, in the closing two months of the period, money market yields rose somewhat on the heels of two interest rate increases by the Fed. The 12-month returns of the four funds ranged from 0.7% for the Treasury Money Market Fund to 1.0% for the Institutional Shares of the Prime Money Market Fund. Each fund outperformed its average peer. the investment environment The main theme in the money markets during the majority of the period was the continuing decline of short-term interest rates. However, toward the end of the period, the Fed began to try to rein in inflationary pressures by twice raising the target for the federal funds rate by 0.25 percentage point, first from 1.00% to 1.25% in June, then from 1.25% to 1.50% in August. These two increases followed 13 decreases over the preceding 41 months. In its statement explaining the August increase, the Fed acknowledged that economic growth had slowed and inflation had been on the rise in recent months, but pointed to rising oil prices as the chief cause. The Fed said it still believed the economy Investment Philosophy appears poised to resume a stronger The funds reflect a belief that the highest pace of expansion going forward, but hedged its position by adding that it level of current income consistent with would respond to changes in economic capital preservation and liquidity can be prospects as needed to fulfill its obligation to maintain price stability. We provided by holding high-quality money market instruments issued by financial believe the financial markets have already institutions, nonfinancial corporations, the factored in further rate increases. U.S. government, and federal agencies. The U.S. economy continued to expand at a robust year-over-year pace of 4.7%, near levels last seen in the late 1990s. However, the Commerce Department reported that inflation-adjusted gross domestic product (real GDP) grew at a 2.8% annual rate in the second calendar quarter, 6

9 down from a 4.5% growth rate in the first quarter. Soft patches in economic growth late in the period were largely attributable to the most tepid increases in consumer spending in three years, which some analysts attributed to the latest spike in oil prices. Conversely, investment spending accelerated at nearly a 13.1% pace in the second calendar quarter, driven largely by capital expenditures on high-tech equipment and single-family homebuilding. Nonfarm payroll employment expanded at a fair 1.3% rate over the past year, although the pace of job growth moderated following the first calendar quarter. Nonfarm payrolls grew by an average of approximately 100,000 jobs per month in June, July, and August. The unemployment rate, which is based on a separate survey, dropped slightly in August to 5.4%, the lowest level since late Most leading indicators suggest that conditions remain promising for increased hiring. Various inflationary measures accelerated in the second calendar quarter relative to the first. The GDP price deflator among the broadest inflation measures available rose at an annual rate of 3.2% in the second calendar quarter, after going up 2.7% in the first quarter. Excluding more volatile food and energy prices, the Fed s preferred measure of inflation the personal consumption expenditure deflator stood at a year-overyear rate of 1.5% through July, compared with a rate of 1.1% at the end of Expectations for inflation over the coming 12 months remain elevated, although the Fed noted that longer-term inflation expectations have moderated somewhat and appear contained. our investment approach Budget deficits have been largely funded with increased Treasury bill issuance. The increased supply of Treasury bills has resulted in narrower spreads between Treasuries and other money market assets. For qualityconscious investors like ourselves, the opportunity to own riskless Treasuries without sacrificing much in yield is compelling, and we frequently took advantage of such opportunities. Throughout the first three quarters of the fiscal period, we kept our Treasury Money Market Funds average weighted maturities in the bullish band. This reflected our view that short-term Treasury rates would remain low and that investment returns farther out on the money market yield curve were more attractive. We kept the maturities of both the Prime and Federal Money Market Funds in the neutral band. 7

10 By the fourth fiscal quarter, our outlook for interest rates had changed. We began to see signs of higher inflation and stronger employment, which led us to believe that the Fed would begin raising interest rates. We saw this as an opportunity to shorten the funds average weighted maturities. Shortening average weighted maturity allows us to reinvest a fund s assets more frequently, which is a benefit to shareholders when interest rates are on the rise. Although it appears rather certain that interest rates will continue to rise over the coming months, we are of course unsure of the degree of increase. We are confident, though, that our funds will continue to deliver competitive returns relative to their peers because of the funds low operating costs. These low costs enable our funds to offer higherthan-average credit quality and higher-than-average net yields. Robert F. Auwaerter, principal John Hollyer, principal David R. Glocke, principal vanguard fixed income group september 21,

11 As of 8/31/2004 fund profiles These Profiles provide a snapshot of each fund s characteristics. Key terms are defined on page 10. prime money market fund Financial Attributes Yield Investor Shares 1.2% Institutional Shares 1.4% Average Weighted Maturity 36 days Average Quality* Aaa Expense Ratio Investor Shares 0.30% Institutional Shares 0.09% Distribution by Credit Quality* (% of portfolio) Aaa 38% Aa 61 A 1 Total 100% Sector Diversification (% of portfolio) Agency 17% Banker s Acceptances 1 Finance Certificates of Deposit 41 Commercial Paper 27 Treasury 6 Other 8 Total 100% federal money market fund Financial Attributes Yield 1.2% Average Weighted Maturity 38 days Average Quality* Aaa Expense Ratio 0.30% Distribution by Credit Quality* (% of portfolio) Aaa 100% Sector Diversification (% of portfolio) Agency 48% Treasury 29 Other 23 Total 100% *Moody s Investors Service. Visit our website at Vanguard.com for regularly updated fund information. 9

12 fund profiles (continued) treasury money market fund Financial Attributes Yield 1.1% Average Weighted Maturity 52 days Average Quality* Aaa Expense Ratio 0.30% Sector Diversification (% of portfolio) Treasury 100% Distribution by Credit Quality* (% of portfolio) Aaa 100% admiral treasury money market fund Financial Attributes Yield 1.3% Average Weighted Maturity 53 days Average Quality* Aaa Expense Ratio 0.13% Sector Diversification (% of portfolio) Treasury 100% Distribution by Credit Quality* (% of portfolio) Aaa 100% *Moody s Investors Service. glossary of investment terms Average Quality. An indicator of credit risk, this figure is the average of the ratings assigned to a fund s fixed income holdings by credit-rating agencies. The agencies make their judgment after appraising an issuer s ability to meet its obligations. Quality is graded on a scale, with Aaa or AAA indicating the most creditworthy bond issuers. U.S. Treasury securities are considered to have the highest credit quality. Average Weighted Maturity. The average length of time until fixed income securities held by a fund reach maturity and are repaid. The figure reflects the proportion of fund assets represented by each security. Expense Ratio. The percentage of a fund s average net assets used to pay its annual administrative and advisory expenses. These expenses directly reduce returns to investors. Yield. A snapshot of a fund s interest income. The yield is expressed as a percentage of the fund s net asset value. For money market funds, yield is based on income earned over the past seven days and is annualized, or projected forward for the coming year. 10

13 As of 8/31/2004 performance summaries Investment returns will fluctuate. All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the funds. (For the most recent performance, which may be higher or lower than that cited, visit our website at The returns shown do not reflect taxes that a shareholder would pay on fund distributions. An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the funds seek to preserve the value of your investment at $1 per share, it is possible to lose money by investing in the funds. The annualized yields shown reflect the current earnings of the funds more closely than do the average annual returns. prime money market fund Cumulative Performance August 31, 1994 August 31, 2004 $18,000 16,000 Initial investment of $10,000 14,000 12,000 10, ,000 Average Annual Total Returns Periods Ended August 31, 2004 Final Value of One Five Ten a $10,000 Year Years Years Investment Prime Money Market Fund Investor Shares 0.83% 3.05% 4.20% $15,091 Citigroup 3-Month Treasury Index ,955 Average Money Market Fund* ,320 Final Value of One Five Ten a $10,000,000 Year Years Years Investment Prime Money Market Fund Institutional Shares** 1.05% 3.26% 4.39% $15,374,022 Citigroup 3-Month Treasury Index ,954,732 Average Institutional Money Market Fund* ,916,718 Fiscal-Year Total Returns (%) August 31, 1994 August 31, 2004 Prime Money Market Fund Average Investor Shares Fund* Fiscal Total Total Year Return Return % 5.1% Prime Money Market Fund Average Investor Shares Fund* Fiscal Total Total Year Return Return % 5.3% SEC 7-Day Annualized Yield (8/31/2004): 1.21% *Returns for Average Money Market Fund and Average Institutional Money Market Fund are derived from data provided by Lipper Inc. **Prior to October 28, 1995, total returns are for Vanguard Institutional Money Market Portfolio. Note: See Financial Highlights tables on pages 34 and 35 for dividend information. 11

14 performance summaries (continued) Average Annual Total Returns for periods ended June 30, 2004 This table presents average annual total returns through the latest calendar quarter rather than through the end of the fiscal period. Securities and Exchange Commission rules require that we provide this information. One Five Ten Years Inception Date Year Years Capital Income Total Prime Money Market Fund Investor Shares 6/4/ % 3.18% 0.00% 4.26% 4.26% Institutional Shares* 10/3/ *Prior to October 28, 1995, total returns are for Vanguard Institutional Money Market Portfolio. 12

15 federal money market fund Cumulative Performance August 31, 1994 August 31, 2004 $18,000 16,000 Initial investment of $10,000 14,000 12,000 10, ,000 Average Annual Total Returns Periods Ended August 31, 2004 Final Value of One Five Ten a $10,000 Year Years Years Investment Federal Money Market Fund 0.82% 3.03% 4.16% $15,033 Citigroup 3-Month Treasury Index ,955 Average Government Money Market Fund* ,331 Fiscal-Year Total Returns (%) August 31, 1994 August 31, 2004 Federal Money Market Fund Average Fund* Fiscal Total Total Year Return Return % 5.0% Federal Money Market Fund Average Fund* Fiscal Total Total Year Return Return % 5.3% SEC 7-Day Annualized Yield (8/31/2004): 1.23% Average Annual Total Returns for periods ended June 30, 2004 This table presents average annual total returns through the latest calendar quarter rather than through the end of the fiscal period. Securities and Exchange Commission rules require that we provide this information. One Five Ten Years Inception Date Year Years Capital Income Total Federal Money Market Fund 7/13/ % 3.16% 0.00% 4.22% 4.22% *Returns for Average Government Money Market Fund are derived from data provided by Lipper Inc. Note: See Financial Highlights table on page 35 for dividend information. 13

16 performance summaries (continued) treasury money market fund Cumulative Performance August 31, 1994 August 31, 2004 $18,000 16,000 Initial investment of $10,000 14,000 12,000 10, ,000 Average Annual Total Returns Periods Ended August 31, 2004 Final Value of One Five Ten a $10,000 Year Years Years Investment Treasury Money Market Fund* 0.74% 2.83% 3.93% $14,700 Citigroup 3-Month Treasury Index ,955 imoneynet Money Fund Report s Average 100% Treasury Fund ,201 Fiscal-Year Total Returns (%) August 31, 1994 August 31, 2004 Treasury Money Market Fund* Average Fund** Fiscal Total Total Year Return Return % 5.0% Treasury Money Market Fund* Average Fund** Fiscal Total Total Year Return Return % 5.0% SEC 7-Day Annualized Yield (8/31/2004): 1.14% Average Annual Total Returns for periods ended June 30, 2004 This table presents average annual total returns through the latest calendar quarter rather than through the end of the fiscal period. Securities and Exchange Commission rules require that we provide this information. One Five Ten Years Inception Date Year Years Capital Income Total Treasury Money Market Fund* 3/9/ % 2.95% 0.00% 3.98% 3.98% 14 *Prior to December 2, 1996, known as the U.S. Treasury Portfolio. **imoneynet Money Fund Report s Average 100% Treasury Fund. Note: See Financial Highlights table on page 36 for dividend information.

17 admiral treasury money market fund Cumulative Performance August 31, 1994 August 31, 2004 Initial investment of $50, $85,000 77,500 70,000 62,500 55,000 47,500 40,000 Average Annual Total Returns Periods Ended August 31, 2004 Final Value of One Five Ten a $50,000 Year Years Years Investment Admiral Treasury Money Market Fund 0.91% 3.00% 4.10% $74,754 Citigroup 3-Month Treasury Index ,774 imoneynet Money Fund Report s Average 100% Treasury Fund ,007 Fiscal-Year Total Returns (%) August 31, 1994 August 31, 2004 Admiral Treasury Average Money Market Fund Fund* Fiscal Total Total Year Return Return % 5.0% Admiral Treasury Average Money Market Fund Fund* Fiscal Total Total Year Return Return % 5.0% SEC 7-Day Annualized Yield (8/31/2004): 1.32% Average Annual Total Returns for periods ended June 30, 2004 This table presents average annual total returns through the latest calendar quarter rather than through the end of the fiscal period. Securities and Exchange Commission rules require that we provide this information. One Five Ten Years Inception Date Year Years Capital Income Total Admiral Treasury Money Market Fund 12/14/ % 3.12% 0.00% 4.16% 4.16% *imoneynet Money Fund Report s Average 100% Treasury Fund. Note: See Financial Highlights table on page 37 for dividend information. 15

18 about your fund s expenses We believe it is important for you to understand the impact of costs on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund s gross income, directly reduce the investment return of the fund. A fund s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The table below illustrates your fund s costs in two ways: Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The Ending Account Value shown is derived from the fund s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading Expenses Paid During Period. Six Months Ended August 31, 2004 Beginning Ending Expenses Account Value Account Value Paid During Money Market Fund 2/29/2004 8/31/2004 Period* Based on Actual Fund Return Prime Investor Shares $1, $1, $1.52 Institutional Shares 1, , Federal 1, , Treasury 1, , Admiral Treasury 1, , Based on Hypothetical 5% Yearly Return Prime Investor Shares $1, $1, $1.53 Institutional Shares 1, , Federal 1, , Treasury 1, , Admiral Treasury 1, , *These calculations are based on expenses incurred in the most recent fiscal half-year. The funds annualized six-month expense ratios for that period are: for the Prime Money Market Fund, 0.30% for Investor Shares and 0.09% for Institutional Shares; for the Federal Money Market Fund, 0.30%; for the Treasury Money Market Fund, 0.30%; for the Admiral Treasury Money Market Fund, 0.13%. The dollar amounts shown as Expenses Paid are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by Based on hypothetical 5% return. This section is intended to help you compare your fund s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case because the return used is not the fund s actual return the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund s costs by comparing this hypothetical example with the

19 Expense Ratios: Your fund compared with its peer group hypothetical examples that appear in shareholder reports of other funds. Expense Expense Money Market Fund Ratio Ratio* Note that the expenses shown in the table are Prime Investor Shares 0.30% 0.87% meant to highlight and Institutional Shares help you compare ongoing costs only and do Federal Treasury not reflect any transactional costs or account Admiral Treasury *Peer groups are: for the Prime Money Market Fund Investor Shares, the Average Money maintenance fees. They Market Fund; for the Prime Money Market Fund Institutional Shares, the Average do not include your Institutional Money Market Fund; for the Federal Money Market Fund, the Average fund s low-balance fee, Government Money Market Fund; for the Treasury and Admiral Treasury Money Market which is described in the Funds, the Average U.S. Treasury Money Market Fund. Peer-group ratios are derived from data provided by Lipper Inc. and capture information through year-end prospectus (the fee does not apply to the Prime Money Market Fund s Institutional Shares). If this fee were applied to your account, your costs would be higher. Your fund does not charge transaction fees, such as purchase or redemption fees, nor does it carry a sales load. The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions. You can find more information about the fund s expenses, including annual expense ratios for the past five years, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate fund prospectus. Fund Peer-Group 17

20 As of 8/31/2004 financial statements statement of net assets This Statement provides a detailed list of each fund s holdings on the last day of the reporting period, including each security s maturity date, coupon rate or yield to maturity at the time of purchase, and statement-date market value. Securities are grouped and subtotaled by type of instrument (U.S. government obligations, commercial paper, certificates of deposit, etc.). Other assets are added to, and liabilities are subtracted from, the value of Total Investments to calculate the fund s Net Assets. Finally, Net Assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) Per Share. Each fund s objective is to maintain a constant NAV of $1.00 per share. At the end of the Statement of Net Assets of each fund, you will find a table displaying the composition of the fund s net assets. Virtually the entire amount of net assets consists of Paid-in Capital (money invested by shareholders). Undistributed Net Investment Income is usually zero because the fund distributes its net income to shareholders as a dividend each day, and Accumulated Realized Gains (Losses) are very small because the fund seldom realizes any significant gains or losses on sales of securities. Each fund provides a complete list of its holdings four times in each fiscal year, at the quarter-ends. For the second and fourth quarters, the lists appear in the fund s semiannual and annual reports to shareholders. For the first and third quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund s Forms N-Q on the SEC s website at Forms N-Q may also be reviewed and copied at the SEC s Public Reference Room (see the back cover of this report for further information). Face Market Maturity Amount Value Prime Money Market Fund Yield Date (000) (000) U.S GOVERNMENT AND AGENCY OBLIGATIONS (22.9%) Federal Home Loan Bank* 1.404% 9/3/2004 $ 163,000 $ 162,987 Federal Home Loan Bank* 1.384% 9/10/ ,000 99,966 Federal Home Loan Bank* 1.433% 9/22/ , ,596 Federal Home Loan Bank* 1.435% 10/6/ , ,860 Federal Home Loan Bank* 1.574% 10/20/ , ,684 Federal Home Loan Bank* 1.601% 11/12/ , ,075 Federal Home Loan Bank* 1.615% 11/17/ , ,593 Federal National Mortgage Assn.* 1.425% 9/8/ , ,422 Federal National Mortgage Assn.* 1.425% 9/15/2004 1,839,025 1,838,009 Federal National Mortgage Assn.* 1.445% 9/22/ , ,664 Federal National Mortgage Assn.* 1.540% 10/20/ , ,538 Federal National Mortgage Assn.* 1.591% 10/27/ , ,702 Federal National Mortgage Assn.* 1.556% 11/3/ , ,458 Federal National Mortgage Assn.* 1.696% 11/24/2004 1,000, ,057 U.S. Treasury Bill 1.510% 1.519% 11/4/2004 1,300,000 1,296,541 U.S. Treasury Bill 1.476% 1.481% 11/12/2004 1,622,000 1,617,225 TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $11,256,377) 11,256,377 COMMERCIAL PAPER (27.5%) Finance Auto (3.4%) DaimlerChrysler Rev. Auto Conduit LLC 1.521% 9/7/ ,000 61,984 DaimlerChrysler Rev. Auto Conduit LLC 1.532% 9/9/ ,000 14,995 18

21 Face Market Maturity Amount Value Yield Date (000) (000) DaimlerChrysler Rev. Auto Conduit LLC 1.462% 9/10/2004 $ 48,091 $ 48,073 DaimlerChrysler Rev. Auto Conduit LLC 1.483% 9/24/ , ,022 DaimlerChrysler Rev. Auto Conduit LLC 1.574% 10/12/ ,300 47,215 DaimlerChrysler Rev. Auto Conduit LLC 1.624% 10/18/ ,139 44,046 DaimlerChrysler Rev. Auto Conduit LLC 1.576% 10/19/ ,274 82,102 DaimlerChrysler Rev. Auto Conduit LLC 1.606% 11/3/ ,601 67,412 New Center Asset Trust 1.475% 9/17/ ,000 29,980 New Center Asset Trust 1.525% 10/6/ , ,675 New Center Asset Trust 1.566% 1.646% 11/9/ , ,968 Toyota Motor Credit 1.334% 9/2/2004 (1) 162, ,324 Toyota Motor Credit 1.485% 9/22/2004 (1) 49,000 48,958 Toyota Motor Credit 1.501% 10/4/2004 (1) 93,284 93,156 Toyota Motor Credit 1.646% 11/12/2004 (1) 79,000 78,741 Toyota Motor Credit 1.646% 11/15/2004 (1) 96,000 95,672 1,648,323 Finance Other (9.4%) American Express Credit Corp % 9/9/ ,000 96,968 American Express Credit Corp % 9/10/ , ,944 American Express Credit Corp % 9/13/ ,000 99,950 Cafco, LLC 1.484% 9/1/2004 (1) 95,000 95,000 Cafco, LLC 1.475% 9/7/2004 (1) 80,000 79,980 CRC Funding, LLC 1.484% 9/1/2004 (1) 100, ,000 CRC Funding, LLC 1.494% 9/2/2004 (1) 74,000 73,997 CRC Funding, LLC 1.494% 10/1/2004 (1) 150, ,814 CRC Funding, LLC 1.525% 10/7/2004 (1) 97,028 96,881 Delaware Funding 1.521% 9/8/2004 (1) 32,000 31,991 Delaware Funding 1.531% 9/16/2004 (1) 51,065 51,032 General Electric Capital Corp % 9/1/ , ,000 General Electric Capital Corp % 9/2/ , ,988 General Electric Capital Corp % 9/9/ , ,927 General Electric Capital Corp % 10/4/ ,000 13,981 General Electric Capital Corp % 11/9/ , ,230 GovCo Inc % 10/6/2004 (1) 43,200 43,137 GovCo Inc % 10/8/2004 (1) 51,000 50,920 GovCo Inc % 10/18/2004 (1) 45,000 44,910 GovCo Inc % 10/19/2004 (1) 55,000 54,886 GovCo Inc % 10/20/2004 (1) 15,000 14,968 GovCo Inc % 10/21/2004 (1) 107, ,768 GovCo Inc % 11/15/2004 (1) 20,500 20,429 GovCo Inc % 11/17/2004 (1) 12,000 11,957 Old Line Funding Corp % 1.403% 9/1/2004 (1) 81,353 81,353 Old Line Funding Corp % 9/2/2004 (1) 47,027 47,025 Old Line Funding Corp % 9/10/2004 (1) 24,955 24,945 Old Line Funding Corp % 9/13/2004 (1) 185, ,357 Old Line Funding Corp % 9/15/2004 (1) 53,830 53,798 Old Line Funding Corp % 1.542% 9/20/2004 (1) 147, ,177 Old Line Funding Corp % 10/15/2004 (1) 7,828 7,812 Old Line Funding Corp % 1.614% 10/20/2004 (1) 99,869 99,655 Old Line Funding Corp % 10/27/2004 (1) 16,224 16,182 Park Avenue Receivable Corp % 9/14/2004 (1) 51,061 51,033 Park Avenue Receivable Corp % 9/27/2004 (1) 52,229 52,169 Preferred Receivables Funding Co % 9/10/2004 (1) 115, ,892 19

22 Face Market Maturity Amount Value Prime Money Market Fund Yield Date (000) (000) Preferred Receivables Funding Co % 9/14/2004 (1) $ 150,000 $ 149,917 Preferred Receivables Funding Co % 9/28/2004 (1) 36,566 36,523 Triple A One Funding Corp % 9/8/2004 (1) 39,961 39,949 Triple A One Funding Corp % 9/9/2004 (1) 60,000 59,980 Triple A One Funding Corp % 9/10/2004 (1) 52,606 52,586 Triple A One Funding Corp % 9/13/2004 (1) 108, ,670 Triple A One Funding Corp % 9/14/2004 (1) 29,068 29,052 Triple A One Funding Corp % 9/15/2004 (1) 13,941 13,933 Variable Funding Capital Corp % 9/3/2004 (1) 150, ,988 Variable Funding Capital Corp % 9/10/2004 (1) 62,000 61,976 Yorktown Capital LLC 1.532% 9/10/2004 (1) 105, ,960 Yorktown Capital LLC 1.541% 9/14/2004 (1) 109, ,288 Yorktown Capital LLC 1.542% 9/17/2004 (1) 120, ,918 Yorktown Capital LLC 1.532% 9/20/2004 (1) 9,000 8,993 Yorktown Capital LLC 1.592% 9/29/2004 (1) 16,049 16,029 Yorktown Capital LLC 1.505% 10/4/2004 (1) 18,878 18,852 Yorktown Capital LLC 1.546% 10/15/2004 (1) 95,000 94,821 4,644,491 Foreign Banks (8.4%) ABN-AMRO North America Finance Inc % 9/17/ , ,874 ANZ (Delaware) Inc. 1.48% 10/6/ , ,641 Barclay s U.S. Funding 1.582% 9/29/ ,000 69,914 CBA (Delaware) Finance Inc % 9/9/ , ,926 CBA (Delaware) Finance Inc % 9/10/ ,000 14,994 CBA (Delaware) Finance Inc % 9/13/ ,939 98,889 CBA (Delaware) Finance Inc % 9/17/ , ,847 CBA (Delaware) Finance Inc % 10/6/ ,000 99,856 CBA (Delaware) Finance Inc % 10/12/ ,000 57,898 CBA (Delaware) Finance Inc % 10/25/ ,000 76,819 Danske Corp % 9/20/ , ,858 Danske Corp % 9/23/ , ,823 Danske Corp % 9/24/ , ,812 Danske Corp % 10/29/ ,000 58,853 Danske Corp % 11/22/2004 9,900 9,861 Dexia Delaware LLC 1.440% 9/13/ , ,857 Dexia Delaware LLC 1.470% 9/21/ , ,346 Dexia Delaware LLC 1.546% 10/18/ , ,753 European Investment Bank 1.274% 9/2/ , ,353 HBOS Treasury Services PLC 1.304% 9/7/ , ,962 HBOS Treasury Services PLC 1.455% 9/10/2004 4,100 4,099 HBOS Treasury Services PLC 1.606% 11/5/ ,000 49,856 ING (U.S.) Funding LLC 1.465% 9/17/ ,500 44,471 ING (U.S.) Funding LLC 1.495% 9/20/ , ,847 ING (U.S.) Funding LLC 1.475% 9/23/ ,000 54,951 Lloyds Bank 1.536% 10/19/ , ,584 Societe Generale N.A. Inc % 11/19/ ,000 53,803 UBS Finance (Delaware), Inc % 9/13/ ,900 52,874 Westpac Capital Corp % 11/2/ ,000 71,803 Westpac Trust Services New Zealand Ltd % 9/9/ , ,940 Westpac Trust Services New Zealand Ltd % 11/9/ , ,377 4,107,741 20

23 Face Market Maturity Amount Value Yield Date (000) (000) Foreign Finance Other (1.9%) Caisse d Amortissement de la Dette 1.546% 10/18/2004 $ 100,000 $ 99,799 CDC Commercial Paper Corp % 9/16/2004 (1) 100,000 99,939 CDC Commercial Paper Corp % 9/20/2004 (1) 50,000 49,962 CDC Commercial Paper Corp % 9/22/2004 (1) 250, ,789 CDC Commercial Paper Corp % 10/8/2004 (1) 185, ,715 CDC Commercial Paper Corp % 10/18/2004 (1) 50,000 49,901 CDC Commercial Paper Corp % 10/20/2004 (1) 49,500 49,392 CDC Commercial Paper Corp % 1.647% 11/17/2004 (1) 95,000 94,670 CDC Commercial Paper Corp % 11/22/2004 (1) 61,700 61,461 Fortis Funding LLC 1.581% 9/28/2004 (1) 1, ,627 Foreign Industrial (2.7%) Nestle Capital Corp % 9/22/2004 (1) 200, ,831 Network Rail Finance PLC 1.525% 10/8/2004 (1) 31,972 31,922 Network Rail Finance PLC 1.545% 10/12/2004 (1) 25,111 25,067 Network Rail Finance PLC 1.556% 10/14/2004 (1) 35,000 34,935 Network Rail Finance PLC 1.556% 10/15/2004 (1) 25,000 24,953 Network Rail Finance PLC 1.646% 11/12/2004 (1) 135, ,557 Network Rail Finance PLC 1.726% 11/22/2004 (1) 35,000 34,863 Total Capital 1.274% 9/3/2004 (1) 515, ,694 Total Capital 1.344% 1.455% 9/10/2004 (1) 222, ,325 Total Capital 1.581% 9/27/2004 (1) 97,300 97,189 1,321,336 Industrial (1.7%) Pfizer Inc % 9/30/2004 (1) 15,000 14,982 Procter & Gamble 1.465% 1.495% 9/27/2004 (1) 93,000 92,901 Procter & Gamble 1.485% 10/4/2004 (1) 66,000 65,910 Procter & Gamble 1.536% 10/25/2004 (1) 173, ,603 Wal-Mart Stores, Inc % 9/8/2004 (1) 88,000 87,974 Wal-Mart Stores, Inc % 1.502% 9/14/2004 (1) 312, ,217 Wal-Mart Stores, Inc % 10/12/2004 (1) 101, ,827 Wal-Mart Stores, Inc % 11/2/2004 (1) 11,800 11, ,180 TOTAL COMMERCIAL PAPER (Cost $13,521,698) 13,521,698 CERTIFICATES OF DEPOSIT (27.3%) Certificates of Deposit U.S. Banks (5.0%) State Street Bank & Trust 1.32% 9/7/ , ,500 State Street Bank & Trust 1.43% 9/15/ , ,500 State Street Bank & Trust 1.46% 9/21/ , ,000 State Street Bank & Trust 1.46% 9/22/ , ,000 State Street Bank & Trust 1.48% 10/4/ ,000 50,000 State Street Bank & Trust 1.64% 11/9/ , ,000 Wells Fargo Bank, NA 1.53% 9/14/ , ,000 Wells Fargo Bank, NA 1.53% 9/15/ , ,000 Wells Fargo Bank, NA 1.53% 9/17/ , ,998 Wells Fargo Bank, NA 1.56% 9/24/2004 1,250 1,250 2,457,248 21

24 Face Market Maturity Amount Value Prime Money Market Fund Yield Date (000) (000) Yankee Certificates of Deposit U.S. Branches (22.3%) Australia & New Zealand Banking Group (New York Branch) 1.51% 9/13/2004 $ 100,000 $ 100,000 Australia & New Zealand Banking Group (New York Branch) 1.45% 9/22/ ,000 98,000 Bank of Montreal (Chicago Branch) 1.45% 9/13/ , ,000 Bank of Montreal (Chicago Branch) 1.51% 9/13/ , ,000 Bank of Montreal (Chicago Branch) 1.57% 10/20/ , ,000 Bank of Montreal (Chicago Branch) 1.58% 10/25/ , ,000 BNP Paribas (New York Branch) 1.58% 10/26/ , ,000 BNP Paribas (New York Branch) 1.575% 11/9/ , ,000 Calyon (New York Branch) 1.33% 9/7/ , ,500 Calyon (New York Branch) 1.345% 9/7/ , ,000 Calyon (New York Branch) 1.485% 9/24/ ,000 19,000 Calyon (New York Branch) 1.65% 11/15/ , ,000 Canadian Imperial Bank of Commerce (New York Branch) 1.50% 9/10/ , ,000 Canadian Imperial Bank of Commerce (New York Branch) 1.59% 10/14/ , ,600 Dexia Bank (New York Branch) 1.35% 9/7/ , ,000 Dexia Bank (New York Branch) 1.46% 9/21/ , ,000 Fortis Bank NV-SA (New York Branch) 1.30% 9/1/ , ,500 Fortis Bank NV-SA (New York Branch) 1.34% 9/9/ , ,200 Fortis Bank NV-SA (New York Branch) 1.52% 9/13/ , ,000 Fortis Bank NV-SA (New York Branch) 1.47% 9/21/ ,000 32,000 Fortis Bank NV-SA (New York Branch) 1.54% 10/18/ ,000 15,000 Fortis Bank NV-SA (Stamford Branch) 1.54% 10/14/ , ,100 HBOS Treasury Services PLC (New York Branch) 1.30% 9/3/ , ,000 HSBC Bank USA (New York Branch) 1.44% 9/17/ , ,000 HSBC Bank USA (New York Branch) 1.45% 9/21/ , ,000 HSBC Bank USA (New York Branch) 1.53% 10/18/ , ,000 HSBC Bank USA (New York Branch) 1.58% 11/10/ ,000 46,997 HSBC Bank USA (New York Branch) 1.60% 11/10/ , ,004 HSH Nordbank AG (New York Branch) 1.27% 9/1/ ,000 81,000 HSH Nordbank AG (New York Branch) 1.30% 9/1/ , ,350 HSH Nordbank AG (New York Branch) 1.490% 9/13/ , ,000 HSH Nordbank AG (New York Branch) 1.64% 11/9/ , ,000 Landesbank Baden-Wuerttemberg (New York Branch) 1.35% 9/7/ , ,000 Landesbank Baden-Wuerttemberg (New York Branch) 1.38% 9/8/ , ,000 Landesbank Baden-Wuerttemberg (New York Branch) 1.48% 9/13/ , ,500 Landesbank Baden-Wuerttemberg (New York Branch) 1.50% 9/30/ , ,000 Landesbank Hessen-Thueringen (New York Branch) 1.305% 9/1/ , ,000 Lloyds Bank (New York Branch) 1.50% 9/27/ , ,000 Lloyds Bank (New York Branch) 1.09% 11/10/ ,000 89,902 Rabobank Nederlanden (New York Branch) 1.39% 9/8/ , ,000 Rabobank Nederlanden (New York Branch) 1.345% 9/9/ , ,000 22

25 Face Market Maturity Amount Value Yield Date (000) (000) Rabobank Nederlanden (New York Branch) 1.615% 11/12/2004 $ 100,000 $ 99,995 Rabobank Nederlanden (New York Branch) 1.54% 10/20/ ,100 45,096 Royal Bank of Scotland PLC (New York Branch) 1.61% 10/18/ , ,000 Societe Generale (New York Branch) 1.34% 9/9/ , ,500 UBS AG (Stamford Branch) 1.335% 9/9/ , ,500 UBS AG (Stamford Branch) 1.52% 9/27/ , ,000 10,960,744 TOTAL CERTIFICATES OF DEPOSIT (Cost $13,417,992) 13,417,992 EURODOLLAR CERTIFICATES OF DEPOSIT (13.1%) ABN-AMRO Bank NV 1.485% 9/27/ , ,998 ABN-AMRO Bank NV 1.665% 11/19/ , ,003 Barclay s Bank PLC 1.34% 9/9/ , ,000 Barclay s Bank PLC 1.60% 10/12/ , ,000 Barclay s Bank PLC 1.54% 10/15/ , ,000 Barclay s Bank PLC 1.58% 10/26/ , ,000 Barclay s Bank PLC 1.715% 11/26/ , ,000 BNP Paribas 1.43% 9/14/ ,000 19,000 BNP Paribas 1.64% 11/15/ , ,000 BNP Paribas 1.68% 11/24/ , ,971 BNP Paribas 1.71% 11/24/ , ,990 Deutsche Bank AG 1.51% 10/8/ , ,007 Deutsche Bank AG 1.61% 11/12/ , ,000 HBOS Treasury Services PLC 1.36% 9/10/ , ,000 HBOS Treasury Services PLC 1.58% 11/9/ , ,000 ING Bank N.V. 1.35% 9/10/ , ,000 ING Bank N.V. 1.51% 10/8/ , ,000 ING Bank N.V. 1.65% 11/15/ ,000 90,000 Landesbank Hessen-Thueringen 1.28% 9/13/ ,000 97,997 Landesbank Hessen-Thueringen 1.46% 9/17/ , ,002 Royal Bank of Scotland PLC 1.49% 9/27/ , ,000 Societe Generale 1.46% 9/1/ ,000 40,000 Societe Generale 1.35% 9/10/ , ,000 Societe Generale 1.58% 11/9/ , ,000 Societe Generale 1.10% 11/10/ ,000 99,892 TOTAL EURODOLLAR CERTIFICATES OF DEPOSIT (Cost $6,471,860) 6,471,860 OTHER NOTES (1.0%) Bank of America National Assn. (Cost $489,500) 1.49% 10/4/ , ,500 REPURCHASE AGREEMENTS (7.5%) Barclays Capital Inc. (Dated 8/31/2004, Repurchase Value $500,022,000, collateralized by Federal Home Loan Mortgage Corp. Discount Note, 12/10/2004 6/27/2005, Federal National Mortgage Assn. Discount Note, 1/5/2005, Federal Home Loan Mortgage Corp., 1.875%, 6/15/2006) 1.59% 9/1/ , ,000 23

26 Face Market Maturity Amount Value Prime Money Market Fund Yield Date (000) (000) Bank of America Securities, LLC (Dated 8/31/2004, Repurchase Value $500,022,000, collateralized by Federal Farm Credit Bank, 5.35%, 6/16/2014, Federal National Mortgage Assn., 4.25% 6.625%, 7/15/ /15/2030, Federal Home Loan Mortgage Corp. Discount Note, 3/1/2005 7/26/2005, Federal Home Loan Mortgage Corp., 2.25% 7.10%, 11/15/2004 8/15/2024) 1.58% 9/1/2004 $ 500,000 $ 500,000 Citigroup Global Markets (Dated 8/31/2004, Repurchase Value $500,022,000, collateralized by U.S. Treasury Bill 12/30/2004 1/13/2005, U.S. Treasury Note, 1.5% 7.5%, 2/15/ /15/2013, U.S. Treasury Bond, 6.25% 12.0%, 2/15/2006 5/15/2030, Federal National Mortgage Assn. Discount Note, 11/17/2004 1/7/2005, Federal National Mortgage Assn., 5.875%, 2/2/2006, Federal Home Loan Mortgage Corp. Discount Note, 3/15/2015, Federal Home Loan Mortgage Corp., 7.0%, 3/15/2010) 1.58% 9/1/ , ,000 Deutsche Bank Securities Inc. (Dated 8/31/2004, Repurchase Value $500,022,000, collateralized by Federal National Mortgage Assn., Discount Note, 6/24/2005, Federal National Mortgage Assn., 7.125%, 1/15/2030, Federal Home Loan Mortgage Corp. Discount Note, 9/21/2004 7/18/2005, Federal Home Loan Mortgage Corp., 1.875% 7.20%, 1/15/2005 7/15/2032) 1.58% 9/1/ , ,000 Goldman Sachs & Co. (Dated 8/31/2004, Repurchase Value $507,783,000, collateralized by Federal National Mortgage Assn., 3.25% 5.25%, 4/15/2007 2/15/2009, Federal Home Loan Mortgage Corp., 2.125% 6.625%, 8/17/2005 7/15/2032) 1.57% 9/1/ , ,761 Morgan Stanley & Co. Inc. (Dated 8/31/2004, Repurchase Value $775,034,000, collateralized by Federal National Mortgage Assn., 4.625% 6.25%, 5/2/2006 5/1/2013, Federal Home Loan Mortgage Corp., 1.625% 6.5%, 11/15/ /13/2009) 1.58% 9/1/ , ,000 Societe Generale (Dated 8/31/2004, Repurchase Value $400,018,000, collateralized by U.S. Treasury Note, 5.0% 5.875%, 11/15/2004 2/15/2011, Federal National Mortgage Assn. Discount Note, 11/17/2004 4/29/2005, Federal Home Loan Mortgage Corp., Discount Note, 7/26/2005, Federal Home Loan Mortgage Corp., 1.50%, 8/19/2005) 1.58% 9/1/ , ,000 TOTAL REPURCHASE AGREEMENTS (Cost $3,682,761) 3,682,761 24