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 2/28/2014 Weighted Average Maturity (WAM) 15 Days Weighted Average Life (WAL) 93 Days Issuer Name Category CUSIP Principal Amount Final Legal Barton Capital LLC Asset Backed Commercial Paper 06945JCD3 25,000, /21/2014 5/21/ % 25,000, Fairway Finance Corp Asset Backed Commercial Paper 30601YMZ5 29,000, /10/2014 3/10/ % 28,999, Fairway Finance Corp Asset Backed Commercial Paper 30601YNV3 24,000, /10/2014 7/8/ % 24,000, Gotham Funding Corp Asset Backed Commercial Paper 38346MC69 29,545, /6/2014 3/6/ % 29,544, Gotham Funding Corp Asset Backed Commercial Paper 38346MCR3 13,599, /25/2014 3/25/ % 13,597, Gotham Funding Corp Asset Backed Commercial Paper 38346MDB7 15,000, /11/2014 4/11/ % 14,997, Kells Funding LLC Asset Backed Commercial Paper 48803AED3 49,000, /7/2014 4/7/ % 49,000, Kells Funding LLC Asset Backed Commercial Paper 48803ADC6 10,000, /7/2014 3/7/ % 10,000, Kells Funding LLC Asset Backed Commercial Paper 48803AEJ0 50,000, /10/ /9/ % 50,000, Kells Funding LLC Asset Backed Commercial Paper 48803AFQ3 48,500, /13/2014 7/14/ % 48,500, Liberty Street Funding LLC Asset Backed Commercial Paper 53127UC32 25,000, /3/2014 3/3/ % 24,999, Liberty Street Funding LLC Asset Backed Commercial Paper 53127UC40 10,000, /4/2014 3/4/ % 9,999, Liberty Street Funding LLC Asset Backed Commercial Paper 53127UCQ1 25,000, /24/2014 3/24/ % 24,997, Manhattan Asset Funding Co Asset Backed Commercial Paper 56274MCA8 15,000, /10/2014 3/10/ % 14,999, Manhattan Asset Funding Co Asset Backed Commercial Paper 56274MD33 32,500, /3/2014 4/3/ % 32,494, Old Line Funding LLC Asset Backed Commercial Paper 67984YAC8 48,500, /3/2014 5/6/ % 48,500, Old Line Funding LLC Asset Backed Commercial Paper 67984YAE4 50,000, /17/2014 8/15/ % 50,000, Thunder Bay Funding LLC Asset Backed Commercial Paper 88603HAN8 25,000, /13/2014 4/9/ % 25,000, Thunder Bay Funding LLC Asset Backed Commercial Paper 88603YAA9 24,000, /24/2014 4/23/ % 24,000, Banco del Estado de Chile/NY Certificate of Deposit 05962PL64 50,000, /3/2014 8/15/ % 50,000, Banco del Estado de Chile/NY Certificate of Deposit 05962PG52 48,500, /17/2014 5/15/ % 48,500, Page 1 of 8

2 Issuer Name (continued) Category CUSIP Principal Amount Final Legal Bank of Montreal/Chicago Certificate of Deposit 06366BGC8 15,000, /4/2014 3/4/ % 15,000, Bank of Montreal/Chicago Certificate of Deposit 06366BGM6 50,000, /5/2014 3/5/ % 50,000, Bank of Montreal/Chicago Certificate of Deposit 06366BEW6 25,000, /17/2014 8/15/ % 25,000, Bank of Montreal/Chicago Certificate of Deposit 06366LCP1 73,500, /18/2014 8/15/ % 73,500, Bank of Montreal/Chicago Certificate of Deposit 06366AH62 50,000, /31/ /29/ % 50,000, Bank of Nova Scotia/Houston Certificate of Deposit 06417FZ29 48,500, /3/2014 8/22/ % 48,500, Bank of Nova Scotia/Houston Certificate of Deposit 06417HFT8 50,000, /3/2014 2/25/ % 50,000, Bank of Nova Scotia/Houston Certificate of Deposit 06417FVF4 7,000, /3/2014 5/13/ % 7,000, Bank of Nova Scotia/Houston Certificate of Deposit 06417EL76 49,000, /10/2014 8/6/ % 49,000, Bank of Tokyo-Mitsubishi UFJ Ltd/NY Certificate of Deposit 06538GY55 50,000, /5/2014 3/5/ % 50,000, Bank of Tokyo-Mitsubishi UFJ Ltd/NY Certificate of Deposit 06538G2E1 50,000, /7/2014 3/7/ % 50,000, Bank of Tokyo-Mitsubishi UFJ Ltd/NY Certificate of Deposit 06538GZK1 54,000, /7/2014 7/7/ % 54,000, Bank of Tokyo-Mitsubishi UFJ Ltd/NY Certificate of Deposit 06538GKX9 54,000, /7/2014 4/7/ % 54,000, BNP Paribas/NY Certificate of Deposit 05572W2F2 7,500, /6/2014 3/6/ % 7,500, BNP Paribas/NY Certificate of Deposit 05574RBL8 73,500, /7/2014 3/7/ % 73,500, Canadian Imperial Bank of Commerce/NY Certificate of Deposit 13606YF27 51,500, /3/2014 8/14/ % 51,514, Canadian Imperial Bank of Commerce/NY Certificate of Deposit 13606YYS9 45,750, /3/2014 5/16/ % 45,750, Canadian Imperial Bank of Commerce/NY Certificate of Deposit 13606Y2C9 50,000, /3/2014 2/12/ % 50,000, Canadian Imperial Bank of Commerce/NY Certificate of Deposit 13606YME3 3,420, /30/2014 7/31/ % 3,425, Citibank Certificate of Deposit 17304UNS5 50,000, /17/2014 6/17/ % 50,000, Credit Suisse/NY Certificate of Deposit 22549TKA5 48,500, /24/ /24/ % 48,500, Credit Suisse/NY Certificate of Deposit 22549THW1 25,000, /8/2014 4/8/ % 25,002, Credit Suisse/NY Certificate of Deposit 22549TVS4 25,000, /28/2014 5/28/ % 25,000, Deutsche Bank AG/NY Certificate of Deposit 25153DBU6 55,000, /3/2014 8/22/ % 55,000, Deutsche Bank AG/NY Certificate of Deposit 25153DBR3 53,500, /3/2014 4/30/ % 53,500, DnB Bank ASA/NY Certificate of Deposit 23330L5B8 50,000, /7/2014 8/7/ % 50,000, DnB Bank ASA/NY Certificate of Deposit 23330LK70 49,000, /11/2014 3/11/ % 49,000, National Australia Bank/NY Certificate of Deposit 63253TWF1 70,000, /7/2014 7/7/ % 70,000, National Australia Bank/NY Certificate of Deposit 63253TVT2 50,000, /24/ /23/ % 49,999, Page 2 of 8

3 Issuer Name (continued) Category CUSIP Principal Amount Final Legal Nordea Bank Finland PLC/NY Certificate of Deposit 65558EZK7 100,000, /3/2014 3/3/ % 100,000, Nordea Bank Finland PLC/NY Certificate of Deposit 65558EXA1 50,000, /7/2014 4/7/ % 50,000, Rabobank Nederland NV/NY Certificate of Deposit 21684BLK8 53,500, /13/2014 1/13/ % 53,500, Rabobank Nederland NV/NY Certificate of Deposit 21684BKE3 50,000, /31/2014 4/30/ % 50,000, Rabobank Nederland NV/NY Certificate of Deposit 21684BFX7 50,000, /10/2014 7/10/ % 50,000, Royal Bank of Canada/NY Certificate of Deposit 78009NJE7 58,500, /4/2014 3/4/ % 58,500, Skandinaviska Enskilda Banken AB/NY Certificate of Deposit 83051HVF0 50,000, /4/2014 8/4/ % 50,000, Skandinaviska Enskilda Banken AB/NY Certificate of Deposit 83051HRH1 50,000, /31/2014 4/30/ % 50,000, Societe Generale/NY Certificate of Deposit 83368NAZ4 48,600, /10/2014 3/10/ % 48,600, Sumitomo Mitsui Banking Corp/NY Certificate of Deposit 86562UUV2 60,000, /6/2014 3/6/ % 60,000, Sumitomo Mitsui Banking Corp/NY Certificate of Deposit 86562UVD1 50,000, /7/2014 3/7/ % 50,000, Sumitomo Mitsui Banking Corp/NY Certificate of Deposit 86562CL91 40,000, /10/2014 3/10/ % 40,000, Sumitomo Mitsui Banking Corp/NY Certificate of Deposit 86562UUJ9 15,000, /25/2014 3/25/ % 15,000, Svenska Handelsbanken AB/NY Certificate of Deposit 86958CM68 8,500, /6/2014 3/6/ % 8,500, Svenska Handelsbanken AB/NY Certificate of Deposit 86958C4Y7 25,000, /21/2014 5/21/ % 24,999, Swedbank AB/NY Certificate of Deposit 87019TJG8 100,000, /4/2014 3/4/ % 100,000, Swedbank/NY Certificate of Deposit 87019THY1 53,500, /18/2014 8/18/ % 53,498, Swedbank/NY Certificate of Deposit 87019TCR1 48,500, /20/2014 5/20/ % 48,500, Toronto-Dominion Bank/NY Certificate of Deposit 89112W5U7 23,500, /17/2014 6/17/ % 23,500, Toronto-Dominion Bank/NY Certificate of Deposit 89112TDF8 30,000, /24/2014 7/24/ % 30,000, Wells Fargo Bank Certificate of Deposit 9497P63P1 48,500, /3/2014 2/4/ % 48,500, Wells Fargo Bank Certificate of Deposit 9497P6W61 60,000, /3/2014 5/27/ % 60,000, Wells Fargo Bank Certificate of Deposit 9497P6J58 48,500, /3/2014 8/6/ % 48,500, ANZ National International Ltd ASB Finance LTD London HSBC Bank Plc Macquarie Bank LTD Paper 00182HBW1 50,000, /7/ /7/ % 50,000, Paper 0020P5DX4 42,400, /12/2014 5/12/ % 42,400, Paper 40433FCN7 53,500, /17/2014 8/15/ % 53,500, Paper 55607NCD0 53,500, /20/2014 8/20/ % 53,500, Page 3 of 8

4 Issuer Name (continued) Category CUSIP Principal Amount Final Legal Macquarie Bank LTD Macquarie Bank LTD Nederlandse Waterschapsbank NV Nederlandse Waterschapsbank NV Nederlandse Waterschapsbank NV Nederlandse Waterschapsbank NV Toyota Motor Credit Corp Paper 55607NBY5 30,000, /21/2014 5/21/ % 30,000, Paper 55607NBX7 23,500, /14/2014 5/14/ % 23,500, Paper 63975WAU2 15,500, /3/2014 7/1/ % 15,501, Paper 63975WBB3 20,000, /5/ /5/ % 20,000, Paper 63975WBD9 30,000, /24/ /23/ % 30,000, Paper 63975WAC2 20,000, /8/2014 7/7/ % 20,000, Paper 89233ABG3 25,000, /12/2014 7/25/ % 25,000, Federal Home Loan Bank Government Agency Debt J0 75,000, /3/2014 4/25/ % 75,000, BNP Paribas Securities Corp Deutsche Bank Securities Incorporated ING Financial Markets LLC Government Agency Repurchase Agreement CR ,000, /3/2014 3/3/ % 75,000, Government Agency Repurchase Agreement CR ,000, /3/2014 3/3/ % 75,000, Government Agency Repurchase Agreement CR ,000, /3/2014 3/3/ % 100,000, Dreyfus Institutional Cash Advantage Fund Investment Company 26200V104 99,314, /7/2014 3/7/ % 99,314, DWS Money Market Series Fund Investment Company 23337T201 22,496, /7/2014 3/7/ % 22,496, Goldman Sachs Financial Square Money Market Fund Investment Company 38141W232 92,147, /7/2014 3/7/ % 92,147, Bank of America Other Note 06052W2X0 50,000, /8/2014 4/8/ % 50,000, Bank of America Other Note 06052W5N9 50,000, /20/2014 6/20/ % 50,000, Barclays Bank Plc Other Note 06740BAF4 97,500, /7/2014 4/7/ % 97,500, Barclays Bank Plc Other Note 06740BAG2 97,500, /7/2014 3/7/ % 97,500, Commonwealth Bank of Australia Other Note 2027A0FP9 14,535, /17/2014 3/17/ % 14,539, General Electric Capital Corp Other Note 36962G5E0 3,760, /3/2014 6/2/ % 3,765, General Electric Capital Corp Other Note B1W8JG7 18,420, /20/2014 6/20/ % 18,422, General Electric Capital Corp Other Note 36962G5B6 28,125, /7/2014 4/7/ % 28,144, General Electric Capital Corp Other Note 36962G6T6 7,695, /9/2014 1/9/ % 7,721, Page 4 of 8

5 Issuer Name (continued) Category CUSIP Principal Amount Final Legal General Electric Capital Corp Other Note 36962G5X8 17,800, /24/2014 4/24/ % 17,818, ING Bank NV Other Note AN2 51,550, /10/2014 6/9/ % 51,743, MetLife Global Funding I Other Note 59217FCA7 38,000, /10/2014 8/8/ % 38,000, MetLife Institutional Funding II Other Note 59157BAF9 65,923, /4/2014 4/4/ % 65,979, MetLife Institutional Funding II Other Note 59157BAM4 22,185, /7/2014 1/6/ % 22,251, Nederlandse Waterschapsbank NV Other Note B5L1Z78 30,000, /27/2014 5/27/ % 30,027, New York Life Global Funding Other Note 64952WBB8 15,565, /4/2014 4/4/ % 15,569, Svenska Handelsbanken AB Other Note 86959JDE5 35,000, /17/2014 8/15/ % 35,000, Svenska Handelsbanken AB Other Note 86959JCN6 54,250, /4/2014 3/4/ % 54,245, Toyota Motor Credit Corp Other Note 89236TAP0 24,000, /14/2014 7/14/ % 24,000, Westpac Banking Corp/NY Other Note 91621CCH 53,250, /3/2014 2/27/ % 53,250, BNP Paribas Securities Corp Other Repurchase Agreement CR69999A4 80,000, /3/2014 4/4/ % 80,000, Deutsche Bank Securities Incorporated Other Repurchase Agreement CR ,000, /3/2014 3/3/ % 50,000, HSBC Securities (USA) Inc. Other Repurchase Agreement CR ,500, /3/2014 3/3/ % 16,500, ING Financial Markets LLC Other Repurchase Agreement CR ,000, /3/2014 3/3/ % 100,000, JP Morgan Securities LLC Other Repurchase Agreement CR49929P8 100,000, /3/2014 4/4/ % 100,000, SG Americas Securities LLC Other Repurchase Agreement CR ,000, /3/2014 3/3/ % 85,000, Federal Reserve Bank of New York Treasury Repurchase Agreement CR ,000, /3/2014 3/3/ % 75,000, Burlington Kansas, Environmental Improvement Revenue Refunding Bonds, Kansas City Power & Light, Series 2007A Variable Rate Demand Note AY6 34,000, /7/2014 3/7/ % 34,000, Halifax Hospital Medical Center, Daytona Beach, Series 2008 Variable Rate Demand Note HE4 44,600, /7/2014 3/7/ % 44,600, Illinois Educational Facilities Authority, National-Louis University, Series 1999B Variable Rate Demand Note Q78 9,950, /7/2014 3/7/ % 9,950, Jackson Township Industrial Development Authority Variable Rate Demand Note AH8 14,350, /7/2014 3/7/ % 14,350, Maryland Health & Higher Educational Facilities Authority, University of Maryland Medical System, Series 2007A Variable Rate Demand Note G74 13,375, /7/2014 3/7/ % 13,375, Minnesota Housing Finance Agency, Series 2007E Variable Rate Demand Note 60415NJ78 3,325, /7/2014 3/7/ % 3,325, Mobile Solid Waste Authority Waste Management, Series 2003 Variable Rate Demand Note AA3 4,175, /7/2014 3/7/ % 4,175, Northstar Student Loan Trust II, Series 2012A Variable Rate Demand Note 66705GAA1 21,300, /7/2014 3/7/ % 21,300, Pima County Industrial Development Authority Variable Rate Demand Note AC0 11,155, /7/2014 3/7/ % 11,155, Summit County Port Authority, Summa Enterprises Group, Series 2006 Variable Rate Demand Note 86605VAE9 13,145, /7/2014 3/7/ % 13,145, Page 5 of 8

6 Issuer Name (continued) Category CUSIP Principal Amount Final Legal Warren County, WKU Student Life Foundation, Series 2008 Variable Rate Demand Note AC9 12,000, /7/2014 3/7/ % 12,000, PORTFOLIO MATURITY 1,2 Overnight 30.4% 2-7 days 27.7% 8-29 days 24.8% days 13.4% days 3.7% 121+ days 0.0% PORTFOLIO ALLOCATION 2 Asset Backed Commercial Paper 10.1% Certificates of Deposit 46.2% Paper 6.7% Government Agency Debt 1.4% Government Agency Repurchase Agreements 4.6% Investment Companies 4.0% Other Notes 14.3% Other Repurchase Agreements 8.0% Treasury Repurchase Agreements 1.4% Variable Rate Demand Notes 3.3% Page 6 of 8

7 BANK EXPOSURE BY COUNTRY OF DOMICILE 2,3 Australia 7.1% Canada 16.8% Chile 1.8% France 5.9% Germany 2.9% Japan 8.8% Netherlands 7.8% Norway 1.8% Sweden 10.6% Switzerland 1.8% United Kingdom 4.9% United States 10.5% 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. : 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. Page 7 of 8

8 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 8 of 8