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 11/30/2015 Weighted Average Maturity (WAM) 13 Days Weighted Average Life (WAL) 74 Days Issuer Name Category CUSIP Principal Amount Final Legal Coupon/Yield Amortized Cost Atlantic Asset Securitization Corp Asset Backed Commercial Paper 04821UZF2 8,000, /15/ /15/ % 7,999, Atlantic Asset Securitization Corp Asset Backed Commercial Paper 04821QCT6 50,000, /30/2015 1/4/ % 50,000, Barton Capital LLC Asset Backed Commercial Paper 06945MZ17 50,000, /1/ /1/ % 50,000, Barton Capital LLC Asset Backed Commercial Paper 06945JEM1 60,000, /21/2015 4/20/ % 60,000, Fairway Finance Corp Asset Backed Commercial Paper 30601YQV0 40,000, /7/ /7/ % 40,000, Gotham Funding Corp Asset Backed Commercial Paper 38346MZM9 25,000, /21/ /21/ % 24,996, Gotham Funding Corp Asset Backed Commercial Paper 38346LA55 15,000, /5/2016 1/5/ % 14,995, Gotham Funding Corp Asset Backed Commercial Paper 38346LAK2 19,852, /19/2016 1/19/ % 19,844, Jupiter Securitization Company LLC Asset Backed Commercial Paper 4820P5AC2 10,000, /21/2015 7/20/ % 10,000, Kells Funding LLC Asset Backed Commercial Paper 48803AKY0 50,000, /22/2015 2/22/ % 49,998, Liberty Street Funding LLC Asset Backed Commercial Paper 53127UZF0 15,000, /15/ /15/ % 14,999, Liberty Street Funding LLC Asset Backed Commercial Paper 53127TA52 41,416, /5/2016 1/5/ % 41,404, Manhattan Asset Funding Co Asset Backed Commercial Paper 56274MZ39 20,000, /3/ /3/ % 19,999, Manhattan Asset Funding Co Asset Backed Commercial Paper 56274MZ70 14,500, /7/ /7/ % 14,499, Manhattan Asset Funding Co Asset Backed Commercial Paper 56274LAS3 37,000, /26/2016 1/26/ % 36,983, Nieuw Amerterdam Receivables Asset Backed Commercial Paper 65409SZ43 32,356, /4/ /4/ % 32,355, Old Line Funding LLC Asset Backed Commercial Paper 67984YBE3 50,000, /22/2015 4/22/ % 50,000, Old Line Funding LLC Asset Backed Commercial Paper 67984VAV2 35,000, /28/2015 1/25/ % 35,000, Thunder Bay Funding LLC Asset Backed Commercial Paper 88603YAV3 40,000, /7/2015 4/7/ % 40,000, Thunder Bay Funding LLC Asset Backed Commercial Paper 88603YAQ4 25,000, /7/2015 2/5/ % 25,000, Thunder Bay Funding LLC Asset Backed Commercial Paper 88603YAR2 30,000, /10/2015 3/10/ % 30,000, Banco del Estado de Chile/NY Certificate of Deposit 05969YFS7 40,000, /4/ /4/ % 40,000, Banco del Estado de Chile/NY Certificate of Deposit 05962P6Z7 44,000, /10/ /10/ % 44,000, Banco del Estado de Chile/NY Certificate of Deposit 05969YDF7 50,000, /15/2015 3/15/ % 50,000, Banco del Estado de Chile/NY Certificate of Deposit 05969YEV1 25,000, /23/ /23/ % 25,000, Bank of Montreal/Chicago Certificate of Deposit 06427ELV1 50,000, /1/ /1/ % 50,000, Bank of Montreal/Chicago Certificate of Deposit 06366LCP1 73,500, /18/2015 1/15/ % 73,500, Bank of Montreal/Chicago Certificate of Deposit 06427EHM6 35,000, /21/2015 7/21/ % 35,000, Bank of Montreal/Chicago Certificate of Deposit 06366C7D4 20,000, /29/2015 7/25/ % 20,000, Bank of Montreal/Chicago Certificate of Deposit 06366C7C6 25,000, /29/2015 4/25/ % 25,000, Bank of Montreal/Chicago Certificate of Deposit 06427EEN7 25,000, /29/2015 4/25/ % 25,000, Bank of Nova Scotia/Houston Certificate of Deposit 06417H4H6 30,000, /1/2015 2/12/ % 30,000, Bank of Nova Scotia/Houston Certificate of Deposit 06417H5T9 40,000, /1/2015 3/11/ % 40,000, Bank of Nova Scotia/Houston Certificate of Deposit 06417HE85 50,000, /1/2015 3/24/ % 50,000, Bank of Nova Scotia/Houston Certificate of Deposit 06417H6N1 55,000, /1/2015 6/28/ % 55,000, BNP Paribas/Chicago Certificate of Deposit 05567VV77 74,000, /2/ /2/ % 74,000, BNP Paribas/Chicago Certificate of Deposit 05567VV85 98,000, /4/ /4/ % 98,000, BNP Paribas/NY Certificate of Deposit 05567VT88 30,000, /14/2015 4/13/ % 30,000, Canadian Imperial Bank of Commerce/NY Certificate of Deposit 13606AFJ2 15,000, /1/2015 5/19/ % 15,000, Canadian Imperial Bank of Commerce/NY Certificate of Deposit 13606AER5 60,000, /1/2015 4/13/ % 60,000, Canadian Imperial Bank of Commerce/NY Certificate of Deposit 13606ACN6 60,000, /1/2015 3/22/ % 60,000, November 30, 2015 Page 1 of 5

2 Issuer Name (continued) Category CUSIP Principal Amount Final Legal Coupon/Yield Amortized Cost Canadian Imperial Bank of Commerce/NY Certificate of Deposit 13606JYA1 45,750, /1/2015 9/16/ % 45,750, Credit Agricole CIB/NY Certificate of Deposit 22534HAQ4 123,000, /4/ /4/ % 123,000, Credit Agricole CIB/NY Certificate of Deposit 22534HAF8 50,000, /18/ /18/ % 50,000, Credit Suisse AG/NY Certificate of Deposit 22549V4X8 50,000, /1/2015 3/1/ % 50,000, Credit Suisse AG/NY Certificate of Deposit 22549VEG4 10,000, /29/2015 4/25/ % 10,000, Credit Suisse AG/NY Certificate of Deposit 22549VJC8 50,000, /4/2016 6/1/ % 50,000, HSBC Bank USA Certificate of Deposit 40428AM46 25,000, /7/2015 1/6/ % 25,000, HSBC Bank USA Certificate of Deposit 40428AP76 50,000, /7/2015 4/5/ % 50,000, Lloyds Bank PLC Certificate of Deposit 53943NL30 50,000, /18/2015 3/18/ % 50,000, Lloyds Bank PLC Certificate of Deposit 53945GLB5 50,000, /22/ /22/ % 50,000, Mitsubishi UFJ Trust & Banking Corp/NY Certificate of Deposit 60682AYN0 40,000, /17/2015 1/19/ % 40,000, Mitsubishi UFJ Trust & Banking Corp/NY Certificate of Deposit 60682AB70 60,000, /18/2015 4/18/ % 60,000, Mitsubishi UFJ Trust & Banking Corp/NY Certificate of Deposit 60682AB88 25,000, /21/ /21/ % 25,000, Nordea Bank Finland Plc/NY Certificate of Deposit 65558LGW6 25,000, /14/2015 8/12/ % 25,000, Rabobank Nederland NV/NY Certificate of Deposit 21684BE26 29,000, /22/2015 2/22/ % 29,000, Rabobank Nederland NV/NY Certificate of Deposit 21684BZD9 40,000, /29/2015 4/25/ % 40,000, Rabobank Nederland NV/NY Certificate of Deposit 21684BYD0 25,000, /29/2015 1/25/ % 25,000, Rabobank Nederland NV/NY Certificate of Deposit 21684BSG0 50,000, /31/2015 1/29/ % 50,000, Royal Bank of Canada/NY Certificate of Deposit 78009NWY8 58,500, /4/ /3/ % 58,500, Skandinaviska Enskilda Banken AB/NY Certificate of Deposit 83051H4U7 25,000, /17/2015 2/17/ % 25,004, Skandinaviska Enskilda Banken AB/NY Certificate of Deposit 83051H4Y9 25,000, /22/2015 2/22/ % 25,000, Skandinaviska Enskilda Banken AB/NY Certificate of Deposit 83051H4Z6 25,000, /22/2015 2/22/ % 25,000, State Street Bank & Trust Certificate of Deposit 8574P1FM3 40,000, /14/2015 2/12/ % 40,000, State Street Bank & Trust Certificate of Deposit 8574P1GN0 49,000, /21/2015 5/20/ % 49,000, Sumitomo Mitsui Banking Corp/NY Certificate of Deposit 86563QHS2 50,000, /1/ /1/ % 50,000, Sumitomo Mitsui Banking Corp/NY Certificate of Deposit 86563QER7 35,000, /3/ /3/ % 35,000, Sumitomo Mitsui Banking Corp/NY Certificate of Deposit 86563QEJ5 35,000, /3/ /3/ % 35,000, Sumitomo Mitsui Banking Corp/NY Certificate of Deposit 86563R5A2 40,000, /17/ /17/ % 40,000, Svenska Handelsbanken AB Certificate of Deposit 86958DG71 19,000, /21/2015 5/19/ % 19,000, Svenska Handelsbanken AB Certificate of Deposit 86958DZW5 25,000, /29/ /29/ % 25,000, Swedbank/NY Certificate of Deposit 87019UCE7 99,000, /1/ /1/ % 99,000, Swedbank/NY Certificate of Deposit 87019UCJ6 80,000, /7/ /7/ % 80,000, Swedbank/NY Certificate of Deposit 87019T4K5 60,000, /24/2015 2/24/ % 60,004, Toronto-Dominion Bank/NY Certificate of Deposit 89113EA97 50,000, /1/2015 4/1/ % 50,000, Toronto-Dominion Bank/NY Certificate of Deposit 89113ERU2 25,000, /8/2015 6/8/ % 25,000, Toronto-Dominion Bank/NY Certificate of Deposit 89113ESK3 15,000, /16/2015 3/16/ % 14,998, Toronto-Dominion Bank/NY Certificate of Deposit 89113EG67 35,000, /21/2015 5/23/ % 35,000, UBS AG of Stamford, Connecticut Certificate of Deposit 90267R2C2 50,000, /29/2015 3/4/ % 50,000, Wells Fargo Bank Certificate of Deposit 94988EHT8 29,000, /1/2015 2/1/ % 29,000, Wells Fargo Bank Certificate of Deposit 94988EJ82 10,000, /1/2015 2/18/ % 10,000, Wells Fargo Bank Certificate of Deposit 94988EMA3 50,000, /1/2015 5/27/ % 50,000, Wells Fargo Bank Certificate of Deposit 94988EJW9 30,000, /1/2015 4/4/ % 30,000, Westpac Banking Corp/NY Certificate of Deposit 96121TC89 50,000, /9/2015 1/11/ % 50,000, Paper 00182HDK5 50,000, /7/2015 5/6/ % 50,000, Paper 00182HDH2 50,000, /14/2015 1/12/ % 50,000, Paper 0018A3ZN7 19,650, /22/ /22/ % 19,647, Bank of Tokyo-Mitsubishi UFJ Ltd/NY Paper 06538CZ12 45,000, /1/ /1/ % 45,000, November 30, 2015 Page 2 of 6

3 Issuer Name (continued) Category CUSIP Principal Amount Final Legal Coupon/Yield Amortized Cost Bank of Tokyo-Mitsubishi UFJ Ltd/NY Paper 06538CZ79 70,000, /7/ /7/ % 69,998, Paper 20272ALZ7 25,000, /8/2015 4/29/ % 25,000, Paper 20272ANR3 25,000, /14/2015 4/14/ % 25,000, Paper 20272ANE2 17,000, /24/2015 2/24/ % 17,000, Paper 40433FFC8 25,000, /8/2015 2/8/ % 25,000, Paper 40433FFJ3 50,000, /18/2015 9/16/ % 50,000, Paper 40433FFU8 29,000, /18/2015 5/18/ % 29,000, JP Morgan Securities LLC Paper 46640ECB2 25,000, /28/2015 5/27/ % 25,000, Paper 55607NDV9 15,000, /1/ /15/ % 15,000, Paper 55607NDY3 55,000, /1/2015 4/6/ % 55,000, Paper 55607LZU1 50,000, /28/ /28/ % 49,990, National Australia Bank Paper 63254GBF1 50,000, /7/2015 4/6/ % 50,000, Paper 8672E3Z82 14,600, /8/ /8/ % 14,599, Paper 8672E2A57 5,500, /5/2016 1/5/ % 5,497, Paper 8672E2A65 30,000, /6/2016 1/6/ % 29,986, Paper 8672E2B98 10,000, /9/2016 2/9/ % 9,989, Paper 8672E2DD7 25,000, /13/2016 4/13/ % 24,951, Paper 8672E2DE5 25,000, /14/2016 4/14/ % 24,950, Paper 8672E2E95 10,000, /9/2016 5/9/ % 9,972, Westpac Banking Corp/NY Paper 9612C4PU9 16,500, /1/2015 3/18/ % 16,496, Westpac Banking Corp/NY Paper 9612C4QW4 50,000, /8/ /8/ % 50,000, BNP Paribas Securities Corp Agreement CR ,000, /1/ /1/ % 275,000, ING Financial Markets LLC Agreement CR ,000, /1/ /1/ % 40,000, Societe Generale/New York Branch Agreement CR ,000, /1/ /1/ % 400,000, Dreyfus Institutional Cash Advantage Investment Company 26200V104 20,905, /7/ /7/ % 20,905, DWS Money Market Series-Institutional Investment Company 23337T ,083, /7/ /7/ % 105,083, Goldman Sachs Financial Square Money Market Fund Investment Company 38141W ,362, /7/ /7/ % 112,362, November 30, 2015 Page 3 of 6

4 Issuer Name (continued) Category CUSIP Principal Amount Final Legal Coupon/Yield Amortized Cost JPMorgan Prime Money Market Fund Investment Company 4812A ,887, /7/ /7/ % 74,887, Automatic Data Processing Other Commercial Paper 0530A3Z19 50,000, /1/ /1/ % 50,000, Toyota Motor Credit Corp Other Commercial Paper 89233AJU4 30,000, /7/2015 7/1/ % 30,000, Toyota Motor Credit Corp Other Commercial Paper 89233AKP3 50,000, /16/2015 5/16/ % 50,000, Toyota Motor Credit Corp Other Commercial Paper 89233AJN0 30,000, /24/2015 6/20/ % 30,000, Toyota Motor Credit Corp Other Commercial Paper 89233AFT1 25,000, /29/2015 1/22/ % 25,000, Walmart Stores Inc Other Commercial Paper 93114FZG2 35,000, /16/ /16/ % 34,998, Bank of America Other Note 06053PJZ1 25,000, /1/2015 2/1/ % 25,000, Bank of America Other Note 06053PJR9 25,000, /9/2015 2/9/ % 25,000, IBM Corp Other Note HV6 29,550, /5/2016 2/5/ % 29,555, JP Morgan Chase Bank Other Note 48125LMV1 25,000, /22/ /21/ % 24,990, PNC Bank Other Note 69349LAJ7 4,350, /28/2016 1/28/ % 4,351, Skandinaviska Enskilda Banken, Cayman Islands Branch - Time Deposit Other Note CR ,000, /1/ /1/ % 140,000, Svenska Handelsbanken AB Other Note 86959JDE5 35,000, /15/2015 5/13/ % 35,000, Svenska Handelsbanken AB Other Note 86959JCN6 54,250, /4/ /2/ % 54,247, Wells Fargo Bank Other Note 94985HY24 47,000, /21/2015 8/19/ % 47,000, Westpac Banking Corp Other Note 91621CCH 53,250, /1/ /30/ % 53,250, BNP Paribas Securities Corp Other Repurchase Agreement CR69999A4 40,000, /1/2015 1/4/ % 40,000, HSBC Securities (USA) Inc Other Repurchase Agreement CR ,000, /1/ /1/ % 45,000, ING Financial Markets LLC Other Repurchase Agreement CR ,000, /1/ /1/ % 25,000, JP Morgan Securities LLC Other Repurchase Agreement CR49929P8 100,000, /1/2015 1/4/ % 100,000, Merrill Lynch Pierce Fenner Smith Inc Other Repurchase Agreement CR ,000, /1/2015 1/4/ % 60,000, Credit Suisse Securities USA Treasury Repurchase Agreement CR ,200, /1/ /1/ % 33,200, California Health Facilities Financing Authority Revenue, Catholic Healthcare, Series C Variable Rate Demand Note 13033HXN1 14,200, /7/ /7/ % 14,200, Minnesota State Housing Finance Agency, Series 2007E Variable Rate Demand Note 60415NJ78 2,015, /7/ /7/ % 2,015, Yavapai County Industrial Development Authority Revenue, Drake Cement LLC Project Variable Rate Demand Note 98521YAB5 3,125, /7/ /7/ % 3,125, ,171,303, ,171,088, PORTFOLIO MATURITY 1,2 Overnight 36.3% 2-7 days 20.5% 8-29 days 34.4% days 7.2% days 0.6% 121+ days 1.0% PORTFOLIO ALLOCATION 2 Asset Backed Commercial Paper 10.8% Certificates of Deposit 43.9% Paper 12.7% Agreements 11.6% Investment Companies 5.1% Other Commercial Paper 3.6% Other Notes 7.1% Other Repurchase Agreements 4.4% Treasury Repurchase Agreements 0.5% Variable Rate Demand Notes 0.3% November 30, 2015 Page 4 of 6

5 BANK EXPOSURE BY COUNTRY OF DOMICILE 2,3 Australia 10.5% Canada 17.0% Chile 2.6% France 9.4% Japan 8.6% Netherlands 3.3% Sweden 9.9% Switzerland 2.6% United Kingdom 5.3% United States 8.8% 1 Calculated using maturity date as defined below 2 Shown as a percentage of amortized cost 3 Some securities held by the fund may not have bank exposure, therefore the chart provided may not include the fund's entire investment portfolio Terms: Weighted Average Maturity (WAM): The average time to maturity of all the securities held in the fund, weighted by each security s percentage of total investments. WAM measures a fund s sensitivity to interest rate changes. Weighted Average Life (WAL): The average time to final legal maturity of all the securities held in the fund, weighted by each security s percentage of total investments. WAL measures a fund s sensitivity to potential credit spread changes. : The earlier of the date the principal amount must unconditionally be paid, the next interest rate reset date, or in the case of a security called for redemption, the date on which the redemption payment must be made. Final Legal : The date the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made. Coupon/Yield: Represents either the annualized yield at the date of purchase, the stated coupon rate, or, for floating rate securities, the rate at period-end. Amortized Cost: Pursuant to Rule 2a-7, portfolio securities are valued at the fund s acquisition cost adjusted for amortization of premium or accretion of discount rather than at their current market value. Bank Exposure: The combination of either direct exposure when an investment is issued by a bank, or indirect exposure where a bank provides full liquidity and/or other credit support to a security. The information contained in this report relates to Mount Vernon Securities Lending Prime Portfolio (the "Portfolio"), a series of Mount Vernon Securities Lending Trust (the "Trust"). Shares of the Portfolio have not been registered under the Securities Act of 1933, as amended (the "1933 Act"), and, because they are offered only on a private placement basis to a limited number of qualified investors who participate in U.S. Bank's securities lending program, it is anticipated that they will be exempt from the registration provisions of the 1933 Act. Shares of the Portfolio may not be transferred or resold without registration under the 1933 Act, or pursuant to an exemption from such registration. However, shares of the Portfolio may be redeemed in accordance with the terms of the Trust's Agreement and Declaration of Trust and the Trust's offering memorandum. Effective November 30, 2010, the Portfolio is required to provide the Securities and Exchange Commission ( SEC ) with a monthly electronic filing of more detailed portfolio holdings information on Form N-MFP. The SEC will make the Form N-MFP available to the public 60 days after the end of the month to which the filing pertains. Beginning on or about January 31, 2011, you may access the Portfolio s publicly available Form N-MFP filings on the SEC s website by clicking here. The fund s holdings are as of the date indicated and are subject to change without notice. The listing of holdings does not constitute a recommendation of any individual security. Current and future holdings are subject to risk. Security names may not represent the official legal name. Please read the fund s most recent annual report for an audited portfolio holdings list. An investment in money market funds is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency. Although these funds seek to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in these funds. U.S. Bancorp Asset Management, Inc., a registered investment advisor and subsidiary of U.S. Bank National Association, manages the portfolio. U.S. Bank is not responsible for and does not guarantee the products, service or performance of its affiliates and third party providers. NOT FDIC INSURED NO BANK GUARANTEE MAY LOSE VALUE November 30, 2015 Page 5 of 6