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 2/29/2016 Weighted Average Maturity (WAM) 13 Days Weighted Average Life (WAL) 44 Days Issuer Name Category CUSIP Principal Amount Final Legal Coupon/Yield Amortized Cost Atlantic Asset Securitization Corp Asset Backed Commercial Paper 04821QDC2 40,000, /22/2016 4/4/ % 40,000, Atlantic Asset Securitization Corp Asset Backed Commercial Paper 04821TEB7 10,000, /11/2016 5/11/ % 9,987, Barton Capital LLC Asset Backed Commercial Paper 06945JEM1 60,000, /21/2016 4/4/ % 60,000, Gotham Funding Corp Asset Backed Commercial Paper 38346LCH7 43,000, /17/2016 3/17/ % 42,990, Jupiter Securitization Company LLC Asset Backed Commercial Paper 4820P5AC2 10,000, /21/2016 7/20/ % 10,000, Liberty Street Funding LLC Asset Backed Commercial Paper 53127TC76 7,190, /7/2016 3/7/ % 7,189, Manhattan Asset Funding Co Asset Backed Commercial Paper 56274LCF9 34,000, /15/2016 3/15/ % 33,993, Manhattan Asset Funding Co Asset Backed Commercial Paper 56274LCM4 10,000, /21/2016 3/21/ % 9,997, Manhattan Asset Funding Co Asset Backed Commercial Paper 56274LDF8 15,000, /15/2016 4/15/ % 14,990, Nieuw Amsterdam Rec Asset Backed Commercial Paper 65409RCJ7 40,000, /18/2016 3/18/ % 39,992, Nieuw Amsterdam Rec Asset Backed Commercial Paper 65409RE30 45,000, /3/2016 5/3/ % 44,955, Old Line Funding LLC Asset Backed Commercial Paper 67984YBE3 50,000, /22/2016 4/22/ % 50,000, Thunder Bay Funding LLC Asset Backed Commercial Paper 88603YAV3 40,000, /7/2016 4/7/ % 40,000, Thunder Bay Funding LLC Asset Backed Commercial Paper 88603YAZ4 40,000, /29/2016 6/29/ % 40,000, Banco del Estado de Chile/NY Certificate of Deposit 05969YJE4 60,000, /1/2016 3/1/ % 60,000, Banco del Estado de Chile/NY Certificate of Deposit 05969YJH7 100,000, /4/2016 3/4/ % 100,000, Banco del Estado de Chile/NY Certificate of Deposit 05969YDF7 50,000, /15/2016 3/15/ % 50,000, Bank of Montreal/Chicago Certificate of Deposit 06427EUV1 65,000, /2/2016 3/2/ % 65,000, Bank of Montreal/Chicago Certificate of Deposit 06427EKG5 40,000, /14/2016 5/13/ % 40,005, Bank of Montreal/Chicago Certificate of Deposit 06427EHM6 35,000, /21/2016 7/21/ % 35,000, Bank of Montreal/Chicago Certificate of Deposit 06366C7D4 20,000, /29/2016 7/25/ % 20,000, Bank of Montreal/Chicago Certificate of Deposit 06427EEN7 25,000, /29/2016 4/25/ % 25,000, Bank of Montreal/Chicago Certificate of Deposit 06366C7C6 25,000, /29/2016 4/25/ % 25,000, Bank of Nova Scotia/Houston Certificate of Deposit 06417H6N1 55,000, /1/2016 6/28/ % 55,000, Bank of Nova Scotia/Houston Certificate of Deposit 06417H5T9 40,000, /1/2016 3/11/ % 40,000, Bank of Nova Scotia/Houston Certificate of Deposit 06417HE85 50,000, /1/2016 3/24/ % 50,000, BNP Paribas/Chicago Certificate of Deposit 05567VY41 130,000, /1/2016 3/1/ % 130,000, BNP Paribas/NY Certificate of Deposit 05567VT88 30,000, /14/2016 4/13/ % 30,000, Canadian Imperial Bank of Commerce/NY Certificate of Deposit 13606AER5 60,000, /1/2016 4/13/ % 60,000, Canadian Imperial Bank of Commerce/NY Certificate of Deposit 13606AFJ2 15,000, /1/2016 5/19/ % 15,000, Canadian Imperial Bank of Commerce/NY Certificate of Deposit 13606JYA1 45,750, /1/2016 9/16/ % 45,750, Canadian Imperial Bank of Commerce/NY Certificate of Deposit 13606ACN6 60,000, /1/2016 3/22/ % 60,000, Credit Suisse AG/NY Certificate of Deposit 22549VJC8 50,000, /1/2016 6/1/ % 50,000, Credit Suisse AG/NY Certificate of Deposit 22549V4X8 50,000, /1/2016 3/1/ % 50,000, Credit Suisse AG/NY Certificate of Deposit 22549VEG4 10,000, /29/2016 4/25/ % 10,000, Credit Suisse AG/NY Certificate of Deposit 22549VWC3 40,000, /3/2016 6/3/ % 40,000, DNB Bank ASA/NY Certificate of Deposit 23290QV34 20,000, /2/2016 3/2/ % 20,000, DNB Bank ASA/NY Certificate of Deposit 23290Q5F 10,000, /15/2016 3/15/ % 10,000, DZ Bank/NY Certificate of Deposit 23328AMM3 50,000, /24/2016 3/24/ % 50,006, DZ Bank/NY Certificate of Deposit 23328ANG5 50,000, /20/2016 6/20/ % 50,000, DZ Bank/NY Certificate of Deposit 23328AND2 25,000, /24/2016 6/24/ % 25,000, February 29, 2016 Page 1 of 5

2 Issuer Name (continued) Category CUSIP Principal Amount Final Legal Coupon/Yield Amortized Cost HSBC Bank USA Certificate of Deposit 40428AP76 50,000, /7/2016 4/5/ % 50,000, Lloyds Bank PLC/NY Certificate of Deposit 53943NL30 50,000, /18/2016 3/18/ % 50,000, Lloyds Bank PLC/NY Certificate of Deposit 53945GME8 50,000, /17/2016 6/17/ % 50,000, Mitsubishi UFJ Trust & Banking Corp/NY Certificate of Deposit 60682AB70 60,000, /18/2016 4/18/ % 60,000, Nordea Bank Finland Plc/NY Certificate of Deposit 65558LGW6 25,000, /14/2016 8/12/ % 25,000, Rabobank Nederland NV/NY Certificate of Deposit 21684BZD9 40,000, /29/2016 4/25/ % 40,000, Royal Bank of Canada/NY Certificate of Deposit 78009NWY8 58,500, /4/ /3/ % 58,500, Skandinaviska Enskilda Banken AB/NY Certificate of Deposit 83050FAH4 50,000, /18/2016 3/18/ % 49,999, State Street Bank & Trust Certificate of Deposit 8574P1GP5 50,000, /21/2016 5/20/ % 50,012, Sumitomo Mitsui Banking Corp/NY Certificate of Deposit 86563QVT4 50,000, /7/2016 3/7/ % 50,000, Sumitomo Mitsui Banking Corp/NY Certificate of Deposit 86563QVF4 20,000, /10/2016 3/10/ % 20,000, Sumitomo Mitsui Banking Corp/NY Certificate of Deposit 86563QUN8 50,000, /22/2016 6/22/ % 50,000, Sumitomo Mitsui Banking Corp/NY Certificate of Deposit 86563QRJ1 40,000, /29/2016 5/27/ % 40,001, Svenska Handelsbanken/NY Certificate of Deposit 86958DG71 19,000, /21/2016 5/19/ % 19,000, Swedbank/NY Certificate of Deposit 87019UFB0 118,000, /1/2016 3/1/ % 118,000, Swedbank/NY Certificate of Deposit 87019UFG9 75,000, /2/2016 3/2/ % 75,000, Toronto-Dominion Bank/NY Certificate of Deposit 89113EA97 50,000, /1/2016 4/1/ % 50,000, Toronto-Dominion Bank/NY Certificate of Deposit 89113ERU2 25,000, /8/2016 6/8/ % 25,000, Toronto-Dominion Bank/NY Certificate of Deposit 89113ESK3 15,000, /16/2016 3/16/ % 14,999, Toronto-Dominion Bank/NY Certificate of Deposit 89113EG67 35,000, /21/2016 5/23/ % 35,000, Toronto-Dominion Bank/NY Certificate of Deposit 89113E3M6 25,000, /24/2016 3/24/ % 25,000, UBS AG of Stamford Certificate of Deposit 90267R5B1 40,000, /4/2016 6/6/ % 40,000, UBS AG of Stamford Certificate of Deposit 90267R2C2 50,000, /4/2016 3/4/ % 50,000, Wells Fargo Bank Certificate of Deposit 94988EMA3 50,000, /1/2016 5/27/ % 50,000, Wells Fargo Bank Certificate of Deposit 94988EJW9 30,000, /1/2016 4/4/ % 30,000, Wells Fargo Bank Certificate of Deposit 94988EKA 25,000, /15/2016 4/15/ % 24,998, ANZ New Zealand Int'l/London Paper 00182HDK5 50,000, /7/2016 5/6/ % 50,000, Bank of Tokyo-Mitsubishi UFJ Ltd/NY Paper 06538BC27 120,000, /2/2016 3/2/ % 119,998, Commonwealth Bank of Australia Paper 20272ALZ7 25,000, /8/2016 4/29/ % 25,000, Commonwealth Bank of Australia Paper 20272ANR3 25,000, /14/2016 4/14/ % 25,000, HSBC Bank PLC Paper 40433FFJ3 50,000, /18/2016 9/16/ % 50,000, HSBC Bank PLC Paper 40433FFU8 29,000, /18/2016 5/18/ % 29,000, JP Morgan Securities LLC Paper 46640ECB2 25,000, /29/2016 5/27/ % 25,000, Macquarie Bank LTD Paper 55607NDY3 55,000, /1/2016 4/6/ % 55,000, Macquarie Bank LTD Paper 55607NDZ0 45,000, /8/2016 4/8/ % 45,006, Mitsubishi UFJ Trust & Banking Corp/NY Paper 60682WCH9 25,000, /17/2016 3/17/ % 24,994, National Australia Bank Paper 63254GBF1 50,000, /7/2016 4/6/ % 50,000, Paper 8672E2CH9 35,000, /17/2016 3/17/ % 34,993, February 29, 2016 Page 2 of 5

3 Issuer Name (continued) Category CUSIP Principal Amount Final Legal Coupon/Yield Amortized Cost Paper 8672E2DD7 25,000, /13/2016 4/13/ % 24,984, Paper 8672E2DE5 25,000, /14/2016 4/14/ % 24,983, Paper 8672E2E95 10,000, /9/2016 5/9/ % 9,988, Westpac Banking Corp Paper 9612C4PU9 16,500, /1/2016 3/18/ % 16,499, Bank of Nova Scotia/NY Agreement CR ,000, /1/2016 3/1/ % 100,000, BNP Paribas Securities Corp Agreement CR ,000, /1/2016 3/1/ % 150,000, Societe Generale/New York Branch Agreement CR ,000, /1/2016 3/1/ % 450,000, Dreyfus Institutional Cash Advantage Fund Investment Company 26200V104 62,640, /7/2016 3/7/ % 62,640, Goldman Sachs Financial Square Money Market Fund Investment Company 38141W ,678, /7/2016 3/7/ % 100,678, JPMorgan Prime Money Market Fund Investment Company 4812A ,394, /7/2016 3/7/ % 101,394, Apple Inc Other Commercial Paper 03785DCH7 52,471, /17/2016 3/17/ % 52,462, Exxon Mobil Corp Other Commercial Paper 30229AC31 100,000, /3/2016 3/3/ % 99,997, Exxon Mobil Corp Other Commercial Paper 30229AC72 50,000, /7/2016 3/7/ % 49,996, Total Capital Canada LTD Other Commercial Paper 89153PCE0 80,500, /14/2016 3/14/ % 80,488, Toyota Motor Credit Corp Other Commercial Paper 89233AJU4 30,000, /7/2016 7/1/ % 30,000, Toyota Motor Credit Corp Other Commercial Paper 89233AKP3 50,000, /16/2016 5/16/ % 50,000, Toyota Motor Credit Corp Other Commercial Paper 89233AJN0 30,000, /24/2016 6/20/ % 30,000, Apple Inc Other Note AF7 11,025, /3/2016 5/3/ % 11,028, ING Bank NV Other Note AX0 5,695, /7/2016 3/7/ % 5,695, ING Bank NV Other Note AL6 46,471, /15/2016 3/15/ % 46,536, JP Morgan Chase Bank Other Note 48125LMV1 25,000, /22/ /21/ % 24,993, Skandinaviska Enskilda Banken, Cayman Islands Branch - Time Deposit Other Note CR ,000, /1/2016 3/1/ % 150,000, Svenska Handelsbanken AB Other Note 86959JDE5 35,000, /15/2016 5/13/ % 35,000, Svenska Handelsbanken AB Other Note 86959JKT4 54,250, /4/ /2/ % 54,247, Wells Fargo Bank Other Note 94985HY24 47,000, /21/2016 8/19/ % 47,000, Westpac Banking Corp Other Note 91621CCL3 53,250, /1/ /1/ % 53,250, BNP Paribas Securities Corp Other Repurchase Agreement CR69999A4 40,000, /1/2016 4/4/ % 40,000, HSBC Securities (USA) Inc Other Repurchase Agreement CR ,000, /1/2016 3/1/ % 50,000, ING Financial Markets LLC Other Repurchase Agreement CR ,000, /1/2016 3/1/ % 70,000, JP Morgan Securities LLC Other Repurchase Agreement CR49929P8 100,000, /1/2016 4/4/ % 100,000, Merrill Lynch, Pierce, Fenner & Smith Inc Other Repurchase Agreement CR ,000, /1/2016 4/4/ % 60,000, Credit Suisse Securities USA Treasury Repurchase Agreement CR ,900, /1/2016 3/1/ % 38,900, The Smithsonian Institute Variable Rate Demand Note AA6 22,500, /7/2016 3/7/ % 22,500, ,582,715, ,582,630, PORTFOLIO MATURITY 1,2 Overnight 39.4% 2-7 days 21.3% 8-29 days 30.9% days 4.1% days 4.3% 121+ days 0.0% February 29, 2016 Page 3 of 5

4 PORTFOLIO ALLOCATION 2 Asset Backed Commercial Paper 8.0% Certificates of Deposit 42.3% Paper 10.9% Agreements 12.5% Investment Companies 4.8% Other Commercial Paper 7.0% Other Notes 7.7% Other Repurchase Agreements 5.7% Treasury Repurchase Agreements 0.7% Variable Rate Demand Notes 0.4% BANK EXPOSURE BY COUNTRY OF DOMICILE 2,3 Australia 7.4% Canada 15.8% Chile 3.8% France 5.6% Germany 2.2% Japan 8.4% Netherlands 4.1% Norway 0.5% Sweden 9.4% Switzerland 4.3% United Kingdom 5.0% United States 8.0% Terms: 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 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 February 29, 2016 Page 4 of 5

5 $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 February 29, 2016 Page 5 of 5