UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549



FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES



Investment Company Act file number   811-03320



Fidelity Colchester Street Trust

 (Exact name of registrant as specified in charter)



245 Summer St., Boston, Massachusetts 02210

 (Address of principal executive offices)       (Zip code)



Margaret Carey, Secretary

245 Summer St.

Boston, Massachusetts  02210

(Name and address of agent for service)





Registrant's telephone number, including area code:

617-563-7000





Date of fiscal year end:

March 31





Date of reporting period:

March 31, 2024







Item 1.

Reports to Stockholders







Fidelity® Investments Money Market Funds
 
Treasury Only Portfolio
Treasury Portfolio
Government Portfolio
Money Market Portfolio
Tax-Exempt Portfolio
 
 
Annual Report
March 31, 2024

Contents

Treasury Only Portfolio

Investment Summary/Performance

Schedule of Investments

Financial Statements

Treasury Portfolio

Investment Summary/Performance

Schedule of Investments

Financial Statements

Government Portfolio

Investment Summary/Performance

Schedule of Investments

Financial Statements

Money Market Portfolio

Investment Summary/Performance

Schedule of Investments

Financial Statements

Tax-Exempt Portfolio

Investment Summary/Performance

Schedule of Investments

Financial Statements

Notes to Financial Statements

Report of Independent Registered Public Accounting Firm

Trustees and Officers

Shareholder Expense Example

Distributions

Board Approval of Investment Advisory Contracts

Proxy Voting Results

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
 
 
You may also call 1-877-297-2952 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2024 FMR LLC. All rights reserved.
 
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Funds. This report is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Funds nor Fidelity Distributors Corporation is a bank.
 
Treasury Only Portfolio
Investment Summary/Performance March 31, 2024 (Unaudited)
Current 7-Day Yields
 
 
 
Class I
5.20%
 
Class II
5.05%
 
Class III
4.95%
 
Class IV
4.70%
 
Select Class
5.15%
 
Institutional Class
5.24%
 
 
 
 
Yield refers to the income paid by the Fund over a given period. Yield for money market funds is usually for seven-day periods, as it is here, though it is expressed as an annual percentage rate. Past performance is no guarantee of future results. Yield will vary and it's possible to lose money investing in the Fund. A portion of the Fund's expenses was reimbursed and/or waived. Absent such reimbursements and/or waivers the yield for the period ending March 31, 2024, the most recent period shown in the table, would have been 5.17% for Class I, 5.02% for Class II, 4.92% for Class III, 4.67% for Class IV, 5.12% for Select Class, and 5.20% for Institutional Class.
 
 
Effective Maturity Diversification (% of Fund's Investments)
 
Days
 
1 - 7
13.3
 
8 - 30
32.5
 
31 - 60
30.1
 
61 - 90
9.2
 
91 - 180
14.9
 
 
Effective maturity is determined in accordance with the requirements of Rule 2a-7 under the Investment Company Act of 1940.
 
Asset Allocation (% of Fund's net assets)
Net Other Assets (Liabilities) - (3.9)%
 
Treasury Only Portfolio
Schedule of Investments March 31, 2024
Showing Percentage of Net Assets     
U.S. Treasury Debt - 103.9%
 
 
Yield (%)(a)
Principal
Amount (b)
(000s)
 
Value ($)
(000s)
 
U.S. Treasury Inflation Protected Obligations - 1.7%
 
 
 
 
U.S. Treasury Notes
 
 
 
 
4/15/24
 
5.35 to 5.37
1,202,998
1,203,910
 
 
 
 
 
U.S. Treasury Obligations - 102.2%
 
 
 
 
U.S. Treasury Bills
 
 
 
 
4/2/24 to 9/26/24
 
5.10 to 5.41
70,495,098
69,992,923
U.S. Treasury Notes
 
 
 
 
4/30/24 to 1/31/26 (c)
 
5.23 to 5.55
4,501,104
4,500,914
TOTAL U.S. TREASURY OBLIGATIONS
 
 
 
74,493,837
 
TOTAL U.S. TREASURY DEBT
 (Cost $75,697,747)
 
 
 
 
75,697,747
 
 
 
 
 
 
TOTAL INVESTMENT IN SECURITIES - 103.9%
 (Cost $75,697,747)
 
 
 
75,697,747
NET OTHER ASSETS (LIABILITIES) - (3.9)%  
(2,840,157)
NET ASSETS - 100.0%
72,857,590
 
 
 
 
 
The date shown for securities represents the date when principal payments must be paid, taking into account any call options exercised by the issuer and any permissible maturity shortening features other than interest rate resets.
 
Any values shown as $0 in the Schedule of Investments may reflect amounts less than $500.
 
Legend
 
(a)
Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.
 
(b)
Amount is stated in United States dollars unless otherwise noted.
 
(c)
Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
 
 
 
Investment Valuation
 
All investments are categorized as Level 2 under the Fair Value Hierarchy. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in these securities. For more information on valuation inputs, refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
 
Treasury Only Portfolio
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts)
 
 
 
March 31, 2024
 
 
 
 
 
Assets
 
 
 
 
Investment in securities, at value - See accompanying schedule
 
Unaffiliated issuers (cost $75,697,747):
 
 
 
$
75,697,747
Cash
 
 
94,935
Receivable for investments sold
 
 
496,396
Receivable for fund shares sold
 
 
226,276
Interest receivable
 
 
43,703
Prepaid expenses
 
 
21
Receivable from investment adviser for expense reductions
 
 
2,110
Other receivables
 
 
683
  Total assets
 
 
76,561,871
Liabilities
 
 
 
 
Payable for investments purchased
$
3,603,233
 
 
Payable for fund shares redeemed
76,623
 
 
Distributions payable
8,211
 
 
Accrued management fee
8,297
 
 
Distribution and service plan fees payable
1,595
 
 
Other affiliated payables
2,638
 
 
Other payables and accrued expenses
3,684
 
 
  Total liabilities
 
 
 
3,704,281
Net Assets  
 
 
$
72,857,590
Net Assets consist of:
 
 
 
 
Paid in capital
 
 
$
72,857,651
Total accumulated earnings (loss)
 
 
 
(61)
Net Assets
 
 
$
72,857,590
 
 
 
 
 
Net Asset Value and Maximum Offering Price
 
 
 
 
Class I :
 
 
 
 
Net Asset Value, offering price and redemption price per share ($18,071,175 ÷ 18,068,784 shares)
 
 
$
1.00
Class II :
 
 
 
 
Net Asset Value, offering price and redemption price per share ($2,725,724 ÷ 2,726,075 shares)
 
 
$
1.00
Class III :
 
 
 
 
Net Asset Value, offering price and redemption price per share ($2,927,914 ÷ 2,927,410 shares)
 
 
$
1.00
Class IV :
 
 
 
 
Net Asset Value, offering price and redemption price per share ($1,377,906 ÷ 1,377,819 shares)
 
 
$
1.00
Select Class :
 
 
 
 
Net Asset Value, offering price and redemption price per share ($1,961,585 ÷ 1,961,697 shares)
 
 
$
1.00
Institutional Class :
 
 
 
 
Net Asset Value, offering price and redemption price per share ($45,793,286 ÷ 45,793,708 shares)
 
 
$
1.00
Statement of Operations
Amounts in thousands
 
 
 
Year ended
March 31, 2024
Investment Income
 
 
 
 
Interest  
 
 
$
2,937,899
Expenses
 
 
 
 
Management fee
$
78,850
 
 
Transfer agent fees
23,577
 
 
Distribution and service plan fees
15,450
 
 
Accounting fees and expenses
2,029
 
 
Custodian fees and expenses
483
 
 
Independent trustees' fees and expenses
170
 
 
Registration fees
3,624
 
 
Audit
46
 
 
Legal
31
 
 
Miscellaneous
225
 
 
 Total expenses before reductions
 
124,485
 
 
 Expense reductions
 
(21,244)
 
 
 Total expenses after reductions
 
 
 
103,241
Net Investment income (loss)
 
 
 
2,834,658
Realized and Unrealized Gain (Loss)
 
 
 
 
Net realized gain (loss) on:
 
 
 
 
 Investment Securities:
 
 
 
 
   Unaffiliated issuers  
 
1,179
 
 
Total net realized gain (loss)
 
 
 
1,179
Net increase in net assets resulting from operations
 
 
$
2,835,837
Statement of Changes in Net Assets
 
Amount in thousands
 
Year ended
March 31, 2024
 
Year ended
March 31, 2023
Increase (Decrease) in Net Assets
 
 
 
 
Operations
 
 
 
Net investment income (loss)
$
2,834,658
$
904,561
Net realized gain (loss)
 
1,179
 
 
52
 
  Net increase in net assets resulting from operations
 
2,835,837
 
 
904,613
 
Distributions to shareholders
 
(2,834,993)
 
 
(904,209)
 
 
 
 
 
 
Share transactions - net increase (decrease)
 
21,241,300
 
 
17,734,453
 
Total increase (decrease) in net assets
 
21,242,144
 
 
17,734,857
 
 
 
 
 
 
Net Assets
 
 
 
 
Beginning of period
 
51,615,446
 
33,880,589
 
End of period
$
72,857,590
$
51,615,446
 
 
 
 
 
 
 
 
 
 
 
Financial Highlights
 
Treasury Only Portfolio Class I
 
Years ended March 31,
 
2024  
 
2023 
 
2022  
 
2021 
 
2020 
  Selected Per-Share Data 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) A
 
.050
 
.025
 
- B
 
- B
 
.018
     Net realized and unrealized gain (loss) B
 
-
 
-
 
-
 
-
 
-
  Total from investment operations
 
.050  
 
.025  
 
- B 
 
- B 
 
.018
  Distributions from net investment income
 
(.050)
 
(.025)
 
- B
 
- B
 
(.018)
  Distributions from net realized gain
 
-
 
-
 
- B
 
-
 
-
     Total distributions
 
(.050)
 
(.025)
 
- B
 
- B
 
(.018)
  Net asset value, end of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
 Total Return C
 
5.14
%
 
 
2.50%
 
.02%
 
.04%
 
1.80%
 Ratios to Average Net Assets A,D,E
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.21%
 
.21%
 
.21%
 
.21%
 
.22%
    Expenses net of fee waivers, if any
 
.18
%
 
 
.18%
 
.08%
 
.15%
 
.18%
    Expenses net of all reductions
 
.18%
 
.18%
 
.08%
 
.15%
 
.18%
    Net investment income (loss)
 
5.04%
 
2.53%
 
.02%
 
.05%
 
1.72%
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (in millions)
$
18,071  
$
14,612
$
12,146
$
10,871
$
15,058
 
ANet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
BAmount represents less than $.0005 per share.
 
CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
DFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses.
 
EExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
 
Treasury Only Portfolio Class II
 
Years ended March 31,
 
2024  
 
2023 
 
2022  
 
2021 
 
2020 
  Selected Per-Share Data 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) A
 
.049
 
.023
 
- B
 
- B
 
.016
     Net realized and unrealized gain (loss) B
 
-
 
-
 
-
 
-
 
-
  Total from investment operations
 
.049  
 
.023  
 
- B 
 
- B 
 
.016
  Distributions from net investment income
 
(.049)
 
(.023)
 
- B
 
- B
 
(.016)
  Distributions from net realized gain
 
-
 
-
 
- B
 
-
 
-
     Total distributions
 
(.049)
 
(.023)
 
- B
 
- B
 
(.016)
  Net asset value, end of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
 Total Return C
 
4.98
%
 
 
2.34%
 
.01%
 
.02%
 
1.65%
 Ratios to Average Net Assets A,D,E
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.36%
 
.36%
 
.36%
 
.36%
 
.37%
    Expenses net of fee waivers, if any
 
.33
%
 
 
.33%
 
.09%
 
.16%
 
.33%
    Expenses net of all reductions
 
.33%
 
.33%
 
.09%
 
.16%
 
.33%
    Net investment income (loss)
 
4.89%
 
2.38%
 
.01%
 
.03%
 
1.57%
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (in millions)
$
2,726  
$
2,196
$
1,126
$
943
$
830
 
ANet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
BAmount represents less than $.0005 per share.
 
CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
DFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses.
 
EExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
 
Treasury Only Portfolio Class III
 
Years ended March 31,
 
2024  
 
2023 
 
2022  
 
2021 
 
2020 
  Selected Per-Share Data 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) A
 
.048
 
.022
 
- B
 
- B
 
.015
     Net realized and unrealized gain (loss) B
 
-
 
-
 
-
 
-
 
-
  Total from investment operations
 
.048  
 
.022  
 
- B 
 
- B 
 
.015
  Distributions from net investment income
 
(.048)
 
(.022)
 
- B
 
- B
 
(.015)
  Distributions from net realized gain
 
-
 
-
 
- B
 
-
 
-
     Total distributions
 
(.048)
 
(.022)
 
- B
 
- B
 
(.015)
  Net asset value, end of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
 Total Return C
 
4.87
%
 
 
2.25%
 
.01%
 
.01%
 
1.54%
 Ratios to Average Net Assets A,D,E
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.46%
 
.46%
 
.46%
 
.46%
 
.47%
    Expenses net of fee waivers, if any
 
.43
%
 
 
.43%
 
.08%
 
.17%
 
.43%
    Expenses net of all reductions
 
.43%
 
.43%
 
.08%
 
.17%
 
.43%
    Net investment income (loss)
 
4.79%
 
2.28%
 
.02%
 
.02%
 
1.47%
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (in millions)
$
2,928  
$
2,484
$
1,155
$
1,349
$
824
 
ANet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
BAmount represents less than $.0005 per share.
 
CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
DFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses.
 
EExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
 
Treasury Only Portfolio Class IV
 
Years ended March 31,
 
2024  
 
2023 
 
2022  
 
2021 
 
2020 
  Selected Per-Share Data 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) A
 
.045
 
.020
 
- B
 
- B
 
.013
     Net realized and unrealized gain (loss) B
 
-
 
-
 
-
 
-
 
-
  Total from investment operations
 
.045  
 
.020  
 
- B 
 
- B 
 
.013
  Distributions from net investment income
 
(.045)
 
(.020)
 
- B
 
- B
 
(.013)
  Distributions from net realized gain
 
-
 
-
 
- B
 
-
 
-
     Total distributions
 
(.045)
 
(.020)
 
- B
 
- B
 
(.013)
  Net asset value, end of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
 Total Return C
 
4.61
%
 
 
2.02%
 
.01%
 
.01%
 
1.29%
 Ratios to Average Net Assets A,D,E
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.71%
 
.71%
 
.71%
 
.71%
 
.72%
    Expenses net of fee waivers, if any
 
.68
%
 
 
.66%
 
.08%
 
.17%
 
.68%
    Expenses net of all reductions
 
.68%
 
.66%
 
.08%
 
.17%
 
.68%
    Net investment income (loss)
 
4.54%
 
2.05%
 
.01%
 
.02%
 
1.22%
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (in millions)
$
1,378  
$
795
$
196
$
334
$
109
 
ANet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
BAmount represents less than $.0005 per share.
 
CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
DFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses.
 
EExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
 
Treasury Only Portfolio Select Class
 
Years ended March 31,
 
2024  
 
2023 
 
2022  
 
2021 
 
2020 
  Selected Per-Share Data 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) A
 
.050
 
.024
 
- B
 
- B
 
.017
     Net realized and unrealized gain (loss) B
 
-
 
-
 
-
 
-
 
-
  Total from investment operations
 
.050  
 
.024  
 
- B 
 
- B 
 
.017
  Distributions from net investment income
 
(.050)
 
(.024)
 
- B
 
- B
 
(.017)
  Distributions from net realized gain
 
-
 
-
 
- B
 
-
 
-
     Total distributions
 
(.050)
 
(.024)
 
- B
 
- B
 
(.017)
  Net asset value, end of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
 Total Return C
 
5.08
%
 
 
2.45%
 
.01%
 
.03%
 
1.75%
 Ratios to Average Net Assets A,D,E
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.26%
 
.26%
 
.26%
 
.26%
 
.27%
    Expenses net of fee waivers, if any
 
.23
%
 
 
.23%
 
.08%
 
.16%
 
.23%
    Expenses net of all reductions
 
.23%
 
.23%
 
.08%
 
.16%
 
.23%
    Net investment income (loss)
 
4.99%
 
2.49%
 
.01%
 
.03%
 
1.67%
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (in millions)
$
1,962  
$
1,271
$
325
$
264
$
399
 
ANet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
BAmount represents less than $.0005 per share.
 
CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
DFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses.
 
EExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
 
Treasury Only Portfolio Institutional Class
 
Years ended March 31,
 
2024  
 
2023 
 
2022  
 
2021 
 
2020 
  Selected Per-Share Data 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) A
 
.051
 
.025
 
- B
 
.001
 
.018
     Net realized and unrealized gain (loss) B
 
-
 
-
 
-
 
-
 
-
  Total from investment operations
 
.051  
 
.025  
 
- B 
 
.001  
 
.018
  Distributions from net investment income
 
(.051)
 
(.025)
 
- B
 
(.001)
 
(.018)
  Distributions from net realized gain
 
-
 
-
 
- B
 
-
 
-
     Total distributions
 
(.051)
 
(.025)
 
- B
 
(.001)
 
(.018)
  Net asset value, end of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
 Total Return C
 
5.18
%
 
 
2.54%
 
.02%
 
.06%
 
1.84%
 Ratios to Average Net Assets A,D,E
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.18%
 
.18%
 
.18%
 
.18%
 
.19%
    Expenses net of fee waivers, if any
 
.14
%
 
 
.14%
 
.07%
 
.13%
 
.14%
    Expenses net of all reductions
 
.14%
 
.14%
 
.07%
 
.13%
 
.14%
    Net investment income (loss)
 
5.08%
 
2.57%
 
.02%
 
.06%
 
1.76%
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (in millions)
$
45,793  
$
30,257
$
18,932
$
19,120
$
26,551
 
ANet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
BAmount represents less than $.0005 per share.
 
CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
DFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses.
 
EExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
 
Treasury Portfolio
Investment Summary/Performance March 31, 2024 (Unaudited)
Current 7-Day Yields
 
 
 
Class I
5.19%
 
Class II
5.04%
 
Class III
4.94%
 
Class IV
4.70%
 
Select Class
5.14%
 
Institutional Class
5.23%
 
 
 
 
Yield refers to the income paid by the Fund over a given period. Yield for money market funds is usually for seven-day periods, as it is here, though it is expressed as an annual percentage rate. Past performance is no guarantee of future results. Yield will vary and it's possible to lose money investing in the Fund. A portion of the Fund's expenses was reimbursed and/or waived. Absent such reimbursements and/or waivers the yield for the period ending March 31, 2024, the most recent period shown in the table, would have been 5.17% for Class I, 5.02% for Class II, 4.92% for Class III, 4.68% for Class IV, 5.12% for Select Class, and 5.20% for Institutional Class.
 
 
Effective Maturity Diversification (% of Fund's Investments)
 
Days
 
1 - 7
55.3
 
8 - 30
11.4
 
31 - 60
12.9
 
61 - 90
4.6
 
91 - 180
10.8
 
> 180
5.0
 
 
Effective maturity is determined in accordance with the requirements of Rule 2a-7 under the Investment Company Act of 1940.
 
Asset Allocation (% of Fund's net assets)
Net Other Assets (Liabilities) - (2.5)%
 
Treasury Portfolio
Schedule of Investments March 31, 2024
Showing Percentage of Net Assets     
U.S. Treasury Debt - 54.8%
 
 
Yield (%)(a)
Principal
Amount (b)
(000s)
 
Value ($)
(000s)
 
U.S. Treasury Obligations - 54.8%
 
 
 
 
U.S. Treasury Bills
 
 
 
 
4/2/24 to 12/26/24
 
4.94 to 5.51
24,953,695
24,729,695
U.S. Treasury Notes
 
 
 
 
4/30/24 to 1/31/26 (c)
 
4.80 to 5.55
8,863,969
8,805,902
 
 
 
 
 
 
TOTAL U.S. TREASURY DEBT
 (Cost $33,535,597)
 
 
 
 
33,535,597
 
 
 
 
 
U.S. Treasury Repurchase Agreement - 47.7%
 
 
Maturity
Amount ($)
(000s)
 
Value ($)
(000s)
 
In a joint trading account at:
 
 
 
 5.32% dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations) #
 
585,386
585,040
 5.33% dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations) #
 
452,186
451,918
With:
 
 
 
 ABN AMRO Bank NV at 5.33%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $86,751,356, 0.38% - 1.88%, 4/30/27 - 2/15/41)
 
85,050
85,000
 Barclays Bank PLC at:
 
 
 
5.32%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $174,445,842, 2.00% - 2.38%, 4/30/26 - 11/15/26)
 
 
171,101
171,000
5.33%, dated 3/21/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $208,326,523, 2.00% - 3.88%, 3/31/25 - 11/15/26)
 
 
205,269
204,000
 BMO Capital Markets Corp. at 5.32%, dated 3/27/24 due 4/3/24 (Collateralized by U.S. Treasury Obligations valued at $29,687,002, 0.00% - 4.50%, 9/5/24 - 2/15/54)
 
29,030
29,000
 BMO Harris Bank NA at:
 
 
 
5.31%, dated 3/25/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $28,589,585, 0.00% - 4.25%, 8/8/24 - 3/15/27)
 
 
28,029
28,000
5.32%, dated 3/28/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $29,597,519, 0.00% - 4.25%, 8/8/24 - 3/15/27)
 
 
29,030
29,000
 BNP Paribas, SA at:
 
 
 
5.36%, dated:
 
 
 
 
 2/29/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $298,253,597, 0.88% - 5.47%, 7/31/24 - 2/15/54) (c)(d)(e)
 
295,593
291,000
 3/1/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $237,846,169, 0.88% - 5.50%, 7/31/24 - 2/15/54) (c)(d)(e)
 
234,852
231,000
 3/8/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $92,127,432, 0.88% - 5.50%, 7/31/24 - 5/15/53) (c)(d)(e)
 
91,447
90,000
 3/11/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $427,304,107, 0.88% - 5.50%, 10/31/24 - 2/15/54) (c)(d)(e)
 
422,565
416,000
5.37%, dated:
 
 
 
 
 2/14/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $465,047,396, 0.50% - 5.47%, 7/31/24 - 2/15/54) (c)(d)(e)
 
460,158
452,000
 2/16/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $115,033,651, 0.50% - 5.47%, 7/31/24 - 2/15/54) (c)(d)(e)
 
114,038
112,000
 2/20/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $114,936,598, 0.88% - 5.50%, 7/31/24 - 11/15/43) (c)(d)(e)
 
114,088
112,000
 BofA Securities, Inc. at:
 
 
 
5.33%, dated 2/5/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $27,768,377, 0.38% - 4.38%, 12/31/25 - 8/15/43)
 
 
27,364
27,000
5.34%, dated 2/29/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $28,695,632, 0.38% - 3.38%, 12/31/25 - 8/15/42)
 
 
28,374
28,000
5.35%, dated 1/25/24 due 4/25/24 (Collateralized by U.S. Treasury Obligations valued at $37,085,699, 0.38% - 1.38%, 12/31/25 - 11/15/40) (c)(d)(e)
 
 
36,487
36,000
5.37%, dated 1/2/24 due 4/2/24 (Collateralized by U.S. Treasury Obligations valued at $322,500,340, 0.38% - 4.00%, 12/31/25 - 2/15/43) (c)(d)(e)
 
 
316,235
312,000
 CIBC Bank U.S.A. at 5.32%, dated:
 
 
 
3/6/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $22,516,619, 0.38% - 4.75%, 2/28/25 - 2/15/54)
 
 
22,098
22,000
3/21/24 due 4/4/24
 
 
 
 
 (Collateralized by U.S. Treasury Obligations valued at $38,805,916, 0.38% - 4.50%, 7/31/24 - 2/15/54)
 
38,140
38,000
 (Collateralized by U.S. Treasury Obligations valued at $59,230,117, 0.38% - 4.25%, 2/28/25 - 2/15/54)
 
58,120
58,000
3/27/24 due 4/4/24
 
 
 
 
 (Collateralized by U.S. Treasury Obligations valued at $38,771,612, 0.38% - 4.25%, 1/31/26 - 2/15/54)
 
38,185
38,000
 (Collateralized by U.S. Treasury Obligations valued at $20,406,164, 0.38% - 4.25%, 2/28/26 - 2/15/54)
 
20,106
20,000
 Credit AG at 5.32%, dated 3/25/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $43,885,988, 0.38%, 1/31/26)
 
43,197
43,000
 Federal Reserve Bank of New York at 5.3%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $16,281,582,445, 1.13% - 4.38%, 1/31/27 - 2/15/42)
 
16,281,582
16,272,000
 FICC ACAFB Repo Program at 5.33%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $177,094,083, 4.00% - 4.38%, 11/30/28 - 11/15/52)
 
171,101
171,000
 Ficc Citi Gc Repo (GOV REPO) at 5.33%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $58,148,682, 0.00% - 6.75%, 4/25/24 - 2/15/50)
 
57,034
57,000
 Ficc Nomura Gc Repo (GOV REPO) at 5.33%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $349,911,867, 1.25%, 12/31/26)
 
343,203
343,000
 Fixed Income Clearing Corp. - BNP at 5.34%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $378,644,772, 0.88% - 5.50%, 4/30/24 - 8/15/53)
 
371,220
371,000
 Fixed Income Clearing Corp. - BNYM at 5.32%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $2,120,580,086, 0.00% - 4.38%, 6/27/24 - 12/15/26)
 
2,080,229
2,079,000
 Fixed Income Clearing Corp. - SSB at:
 
 
 
5.31%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $174,450,639, 0.50%, 4/30/27)
 
 
171,101
171,000
5.32%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $1,456,731,942, 0.63% - 4.00%, 2/28/30 - 5/15/30)
 
 
1,428,844
1,428,000
5.35%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $118,347,214, 1.63%, 5/15/31)
 
 
116,069
116,000
 Fixed Income Clearing Corp.- Morgan Stanley & CO LLC at 5.34%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $87,752,484, 2.75%, 5/31/29)
 
86,051
86,000
 Goldman Sachs & Co. at 5.32%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $100,019,095, 0.00% - 6.88%, 4/16/24 - 1/31/29)
 
98,058
98,000
 HSBC Securities, Inc. at 5.34%, dated 3/27/24 due 4/3/24 (Collateralized by U.S. Treasury Obligations valued at $140,801,819, 0.75% - 5.47%, 10/31/25 - 8/31/26)
 
138,143
138,000
 ING Financial Markets LLC at:
 
 
 
5.33%, dated:
 
 
 
 
 3/26/24 due 4/2/24 (Collateralized by U.S. Treasury Obligations valued at $11,225,079, 0.00% - 4.00%, 9/5/24 - 8/15/49)
 
11,011
11,000
 3/28/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $6,121,656, 0.00% - 3.88%, 5/30/24 - 2/15/48)
 
6,006
6,000
5.34%, dated 3/21/24 due:
 
 
 
 
 5/1/24 (Collateralized by U.S. Treasury Obligations valued at $583,321,986, 0.00% - 4.75%, 4/4/24 - 11/15/53)
 
574,473
571,000
 5/2/24 (Collateralized by U.S. Treasury Obligations valued at $583,112,651, 0.00% - 4.75%, 4/15/24 - 11/15/53)
 
574,557
571,000
 Lloyds Bank Corp. Markets PLC at 5.35%, dated 3/28/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $120,538,547, 3.50% - 3.88%, 12/31/27 - 1/31/30)
 
118,123
118,000
 Lloyds Bank PLC at:
 
 
 
5.39%, dated:
 
 
 
 
 2/20/24 due 5/20/24 (Collateralized by U.S. Treasury Obligations valued at $26,689,181, 0.50% - 2.25%, 2/15/27 - 8/31/27)
 
26,350
26,000
 2/26/24 due 5/28/24 (Collateralized by U.S. Treasury Obligations valued at $37,978,290, 4.13%, 7/31/28)
 
37,510
37,000
 3/20/24 due 6/20/24 (Collateralized by U.S. Treasury Obligations valued at $49,012,307, 2.25% - 2.50%, 1/31/25 - 2/15/27)
 
48,661
48,000
5.4%, dated 2/29/24 due 5/31/24 (Collateralized by U.S. Treasury Obligations valued at $26,649,130, 2.25%, 8/15/27)
 
 
26,359
26,000
 Mitsubishi UFJ Securities (U.S.A.), Inc. at 5.34%, dated 3/21/24 due 6/13/24 (Collateralized by U.S. Treasury Obligations valued at $72,505,947, 1.88% - 4.88%, 10/31/30 - 2/15/32)
 
71,885
71,000
 Mizuho Bank, Ltd. at 5.33%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $146,211,909, 1.63%, 5/15/31)
 
143,085
143,000
 MUFG Securities (Canada), Ltd. at:
 
 
 
5.33%, dated 3/21/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $28,594,235, 0.00% - 6.50%, 9/19/24 - 5/15/53)
 
 
28,174
28,000
5.34%, dated 3/21/24 due 6/13/24 (Collateralized by U.S. Treasury Obligations valued at $55,145,670, 0.25% - 6.50%, 1/31/25 - 2/15/54)
 
 
54,673
54,000
 MUFG Securities EMEA PLC at:
 
 
 
5.32%, dated 3/21/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $89,022,387, 3.75% - 5.00%, 10/31/25 - 11/15/43)
 
 
87,180
87,000
5.33%, dated 3/27/24 due 4/3/24 (Collateralized by U.S. Treasury Obligations valued at $118,521,997, 1.25% - 4.00%, 2/29/28 - 3/31/28)
 
 
116,120
116,000
5.34%, dated 3/28/24 due:
 
 
 
 
 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $72,486,854, 3.13%, 2/15/43)
 
71,042
71,000
 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $59,194,565, 0.75% - 2.88%, 3/31/26 - 5/15/28)
 
58,060
58,000
 Natixis SA at 5.33%, dated 3/21/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $118,539,349, 0.25% - 4.50%, 7/31/24 - 11/15/46)
 
116,670
116,000
 NatWest Markets Securities, Inc. at:
 
 
 
5.33%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $28,655,442, 1.38% - 7.63%, 11/15/24 - 11/15/53)
 
 
28,017
28,000
5.34%, dated 3/27/24 due 4/3/24 (Collateralized by U.S. Treasury Obligations valued at $144,948,054, 0.25% - 4.25%, 4/30/24 - 5/15/51)
 
 
142,147
142,000
 Norinchukin Bank at 5.35%, dated 3/26/24 due 4/2/24 (Collateralized by U.S. Treasury Obligations valued at $56,116,683, 3.38%, 5/15/33)
 
55,057
55,000
 Prudential Insurance Co. of America at 5.34%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $91,425,830, 1.25% - 6.63%, 2/15/27 - 2/15/36)
 
89,683
89,630
 RBC Dominion Securities at:
 
 
 
5.33%, dated 3/21/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $229,987,789, 0.25% - 6.00%, 7/15/24 - 11/15/53)
 
 
226,399
225,000
5.34%, dated 3/27/24 due 4/3/24 (Collateralized by U.S. Treasury Obligations valued at $59,203,923, 1.88% - 6.00%, 2/15/26 - 2/15/44)
 
 
58,060
58,000
 SMBC Nikko Securities America, Inc. at 5.32%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $765,117,777, 0.00% - 7.63%, 4/9/24 - 8/15/52)
 
750,443
750,000
 Societe Generale at 5.33%, dated:
 
 
 
3/26/24 due 4/2/24
 
 
 
 
 (Collateralized by U.S. Treasury Obligations valued at $75,513,577, 1.38% - 1.75%, 11/15/40 - 8/15/41)
 
74,077
74,000
 (Collateralized by U.S. Treasury Obligations valued at $119,533,115, 2.25% - 3.88%, 4/30/25 - 8/15/49)
 
116,120
116,000
3/28/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $117,108,368, 1.25% - 3.88%, 4/30/25 - 11/15/50)
 
 
114,118
114,000
 Sumitomo Mitsui Trust Bank Ltd. at 5.4%, dated 3/27/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $13,371,132, 1.63% - 4.38%, 8/31/28 - 8/15/29)
 
13,027
13,000
 TD Securities (U.S.A.) at 5.33%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $108,136,085, 0.25% - 4.50%, 4/30/24 - 11/15/33)
 
106,063
106,000
 
TOTAL U.S. TREASURY REPURCHASE AGREEMENT
 (Cost $29,167,588)
 
 
29,167,588
 
 
 
 
 
TOTAL INVESTMENT IN SECURITIES - 102.5%
 (Cost $62,703,185)
 
 
 
62,703,185
NET OTHER ASSETS (LIABILITIES) - (2.5)%  
(1,503,151)
NET ASSETS - 100.0%
61,200,034
 
 
 
 
 
The date shown for securities represents the date when principal payments must be paid, taking into account any call options exercised by the issuer and any permissible maturity shortening features other than interest rate resets.
 
Any values shown as $0 in the Schedule of Investments may reflect amounts less than $500.
 
Legend
 
(a)
Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.
 
(b)
Amount is stated in United States dollars unless otherwise noted.
 
(c)
Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
 
(d)
The maturity amount is based on the rate at period end.
 
(e)
Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
 
 
 
Investment Valuation
 
All investments are categorized as Level 2 under the Fair Value Hierarchy. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in these securities. For more information on valuation inputs, refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
 
 
Other Information
# Additional information on each counterparty to the repurchase agreement is as follows:
Repurchase Agreement / Counterparty
Value ($)
 
(000's)
 
$585,040,000 due 4/01/24 at 5.32%
 
 
BofA Securities, Inc.
1,812
 
Credit Agricole CIB New York Branch
11,536
 
ING Financial Markets LLC
8,185
 
JP Morgan Securities LLC
21,848
 
Nomura Securities International
10,694
 
RBC Dominion Securities, Inc.
530,965
 
 
585,040
 
$451,918,000 due 4/01/24 at 5.33%
 
 
Bank of Nova Scotia
67,222
 
Citigroup Global Markets, Inc.
159,879
 
Credit Agricole CIB New York Branch
56,758
 
HSBC Securities (USA), Inc.
168,059
 
 
451,918
 
Treasury Portfolio
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts)
 
 
 
March 31, 2024
 
 
 
 
 
Assets
 
 
 
 
Investment in securities, at value (including repurchase agreements of $29,167,588) - See accompanying schedule
 
Unaffiliated issuers (cost $62,703,185):
 
 
 
$
62,703,185
Cash
 
 
194,677
Receivable for fund shares sold
 
 
86,074
Interest receivable
 
 
104,159
Prepaid expenses
 
 
25
Receivable from investment adviser for expense reductions
 
 
1,642
Other receivables
 
 
467
  Total assets
 
 
63,090,229
Liabilities
 
 
 
 
Payable for investments purchased
$
1,775,627
 
 
Payable for fund shares redeemed
84,977
 
 
Distributions payable
16,115
 
 
Accrued management fee
7,476
 
 
Distribution and service plan fees payable
1,313
 
 
Other affiliated payables
2,519
 
 
Other payables and accrued expenses
2,168
 
 
  Total liabilities
 
 
 
1,890,195
Net Assets  
 
 
$
61,200,034
Net Assets consist of:
 
 
 
 
Paid in capital
 
 
$
61,200,144
Total accumulated earnings (loss)
 
 
 
(110)
Net Assets
 
 
$
61,200,034
 
 
 
 
 
Net Asset Value and Maximum Offering Price
 
 
 
 
Class I :
 
 
 
 
Net Asset Value, offering price and redemption price per share ($22,862,069 ÷ 22,855,536 shares)
 
 
$
1.00
Class II :
 
 
 
 
Net Asset Value, offering price and redemption price per share ($764,718 ÷ 764,250 shares)
 
 
$
1.00
Class III :
 
 
 
 
Net Asset Value, offering price and redemption price per share ($3,988,907 ÷ 3,988,796 shares)
 
 
$
1.00
Class IV :
 
 
 
 
Net Asset Value, offering price and redemption price per share ($870,579 ÷ 870,376 shares)
 
 
$
1.00
Select Class :
 
 
 
 
Net Asset Value, offering price and redemption price per share ($258,761 ÷ 258,715 shares)
 
 
$
1.00
Institutional Class :
 
 
 
 
Net Asset Value, offering price and redemption price per share ($32,455,000 ÷ 32,457,891 shares)
 
 
$
1.00
Statement of Operations
Amounts in thousands
 
 
 
Year ended
March 31, 2024
Investment Income
 
 
 
 
Interest  
 
 
$
3,110,866
Expenses
 
 
 
 
Management fee
$
82,062
 
 
Transfer agent fees
25,884
 
 
Distribution and service plan fees
15,105
 
 
Accounting fees and expenses
2,073
 
 
Custodian fees and expenses
191
 
 
Independent trustees' fees and expenses
184
 
 
Registration fees
2,526
 
 
Audit
53
 
 
Legal
35
 
 
Miscellaneous
187
 
 
 Total expenses before reductions
 
128,300
 
 
 Expense reductions
 
(19,911)
 
 
 Total expenses after reductions
 
 
 
108,389
Net Investment income (loss)
 
 
 
3,002,477
Realized and Unrealized Gain (Loss)
 
 
 
 
Net realized gain (loss) on:
 
 
 
 
 Investment Securities:
 
 
 
 
   Unaffiliated issuers  
 
112
 
 
Total net realized gain (loss)
 
 
 
112
Net increase in net assets resulting from operations
 
 
$
3,002,589
Statement of Changes in Net Assets
 
Amount in thousands
 
Year ended
March 31, 2024
 
Year ended
March 31, 2023
Increase (Decrease) in Net Assets
 
 
 
 
Operations
 
 
 
Net investment income (loss)
$
3,002,477
$
1,015,281
Net realized gain (loss)
 
112
 
 
(66)
 
  Net increase in net assets resulting from operations
 
3,002,589
 
 
1,015,215
 
Distributions to shareholders
 
(3,002,772)
 
 
(1,014,763)
 
 
 
 
 
 
Share transactions - net increase (decrease)
 
1,689,179
 
 
35,490,794
 
Total increase (decrease) in net assets
 
1,688,996
 
 
35,491,246
 
 
 
 
 
 
Net Assets
 
 
 
 
Beginning of period
 
59,511,038
 
24,019,792
 
End of period
$
61,200,034
$
59,511,038
 
 
 
 
 
 
 
 
 
 
 
Financial Highlights
 
Treasury Portfolio Class I
 
Years ended March 31,
 
2024  
 
2023 
 
2022  
 
2021 
 
2020 
  Selected Per-Share Data 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) A
 
.051
 
.026
 
- B
 
- B
 
.018
     Net realized and unrealized gain (loss) B
 
-
 
-
 
-
 
-
 
-
  Total from investment operations
 
.051  
 
.026  
 
- B 
 
- B 
 
.018
  Distributions from net investment income
 
(.051)
 
(.026)
 
- B
 
- B
 
(.018)
  Distributions from net realized gain
 
-
 
-
 
- B
 
-
 
-
     Total distributions
 
(.051)
 
(.026)
 
- B
 
- B
 
(.018)
  Net asset value, end of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
 Total Return C
 
5.25
%
 
 
2.62%
 
.02%
 
.05%
 
1.82%
 Ratios to Average Net Assets A,D,E
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.21%
 
.21%
 
.21%
 
.21%
 
.21%
    Expenses net of fee waivers, if any
 
.18
%
 
 
.18%
 
.08%
 
.15%
 
.18%
    Expenses net of all reductions
 
.18%
 
.18%
 
.08%
 
.15%
 
.18%
    Net investment income (loss)
 
5.13%
 
2.96%
 
.01%
 
.06%
 
1.77%
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (in millions)
$
22,862  
$
22,834
$
9,402
$
10,411
$
12,043
 
ANet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
BAmount represents less than $.0005 per share.
 
CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
DFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses.
 
EExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
 
Treasury Portfolio Class II
 
Years ended March 31,
 
2024  
 
2023 
 
2022  
 
2021 
 
2020 
  Selected Per-Share Data 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) A
 
.050
 
.024
 
- B
 
- B
 
.017
     Net realized and unrealized gain (loss) B
 
-
 
-
 
-
 
-
 
-
  Total from investment operations
 
.050  
 
.024  
 
- B 
 
- B 
 
.017
  Distributions from net investment income
 
(.050)
 
(.024)
 
- B
 
- B
 
(.017)
  Distributions from net realized gain
 
-
 
-
 
- B
 
-
 
-
     Total distributions
 
(.050)
 
(.024)
 
- B
 
- B
 
(.017)
  Net asset value, end of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
 Total Return C
 
5.09
%
 
 
2.46%
 
.01%
 
.01%
 
1.67%
 Ratios to Average Net Assets A,D,E
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.36%
 
.36%
 
.36%
 
.36%
 
.36%
    Expenses net of fee waivers, if any
 
.33
%
 
 
.33%
 
.08%
 
.19%
 
.33%
    Expenses net of all reductions
 
.33%
 
.33%
 
.08%
 
.19%
 
.33%
    Net investment income (loss)
 
4.98%
 
2.81%
 
.01%
 
.02%
 
1.62%
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (in millions)
$
765  
$
513
$
411
$
648
$
884
 
ANet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
BAmount represents less than $.0005 per share.
 
CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
DFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses.
 
EExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
 
Treasury Portfolio Class III
 
Years ended March 31,
 
2024  
 
2023 
 
2022  
 
2021 
 
2020 
  Selected Per-Share Data 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) A
 
.049
 
.023
 
- B
 
- B
 
.016
     Net realized and unrealized gain (loss) B
 
-
 
-
 
-
 
-
 
-
  Total from investment operations
 
.049  
 
.023  
 
- B 
 
- B 
 
.016
  Distributions from net investment income
 
(.049)
 
(.023)
 
- B
 
- B
 
(.016)
  Distributions from net realized gain
 
-
 
-
 
- B
 
-
 
-
     Total distributions
 
(.049)
 
(.023)
 
- B
 
- B
 
(.016)
  Net asset value, end of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
 Total Return C
 
4.99
%
 
 
2.37%
 
.01%
 
.01%
 
1.56%
 Ratios to Average Net Assets A,D,E
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.46%
 
.46%
 
.46%
 
.46%
 
.46%
    Expenses net of fee waivers, if any
 
.43
%
 
 
.42%
 
.08%
 
.19%
 
.43%
    Expenses net of all reductions
 
.43%
 
.42%
 
.08%
 
.19%
 
.43%
    Net investment income (loss)
 
4.88%
 
2.71%
 
.01%
 
.02%
 
1.52%
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (in millions)
$
3,989  
$
3,041
$
2,612
$
2,309
$
2,469
 
ANet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
BAmount represents less than $.0005 per share.
 
CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
DFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses.
 
EExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
 
Treasury Portfolio Class IV
 
Years ended March 31,
 
2024  
 
2023 
 
2022  
 
2021 
 
2020 
  Selected Per-Share Data 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) A
 
.046
 
.021
 
- B
 
- B
 
.013
     Net realized and unrealized gain (loss) B
 
-
 
-
 
-
 
-
 
-
  Total from investment operations
 
.046  
 
.021  
 
- B 
 
- B 
 
.013
  Distributions from net investment income
 
(.046)
 
(.021)
 
- B
 
- B
 
(.013)
  Distributions from net realized gain
 
-
 
-
 
- B
 
-
 
-
     Total distributions
 
(.046)
 
(.021)
 
- B
 
- B
 
(.013)
  Net asset value, end of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
 Total Return C
 
4.73
%
 
 
2.14%
 
.01%
 
.01%
 
1.32%
 Ratios to Average Net Assets A,D,E
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.71%
 
.71%
 
.71%
 
.71%
 
.71%
    Expenses net of fee waivers, if any
 
.68
%
 
 
.65%
 
.08%
 
.19%
 
.67%
    Expenses net of all reductions
 
.68%
 
.65%
 
.08%
 
.19%
 
.67%
    Net investment income (loss)
 
4.63%
 
2.49%
 
.01%
 
.02%
 
1.28%
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (in millions)
$
871  
$
975
$
1,146
$
988
$
1,033
 
ANet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
BAmount represents less than $.0005 per share.
 
CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
DFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses.
 
EExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
 
Treasury Portfolio Select Class
 
Years ended March 31,
 
2024  
 
2023 
 
2022  
 
2021 
 
2020 
  Selected Per-Share Data 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) A
 
.051
 
.025
 
- B
 
- B
 
.018
     Net realized and unrealized gain (loss) B
 
-
 
-
 
-
 
-
 
-
  Total from investment operations
 
.051  
 
.025  
 
- B 
 
- B 
 
.018
  Distributions from net investment income
 
(.051)
 
(.025)
 
- B
 
- B
 
(.018)
  Distributions from net realized gain
 
-
 
-
 
- B
 
-
 
-
     Total distributions
 
(.051)
 
(.025)
 
- B
 
- B
 
(.018)
  Net asset value, end of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
 Total Return C
 
5.20
%
 
 
2.56%
 
.01%
 
.03%
 
1.77%
 Ratios to Average Net Assets A,D,E
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.26%
 
.26%
 
.26%
 
.26%
 
.26%
    Expenses net of fee waivers, if any
 
.23
%
 
 
.23%
 
.08%
 
.17%
 
.23%
    Expenses net of all reductions
 
.23%
 
.23%
 
.08%
 
.17%
 
.23%
    Net investment income (loss)
 
5.08%
 
2.91%
 
.01%
 
.03%
 
1.72%
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (in millions)
$
259  
$
214
$
254
$
198
$
424
 
ANet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
BAmount represents less than $.0005 per share.
 
CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
DFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses.
 
EExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
 
Treasury Portfolio Institutional Class
 
Years ended March 31,
 
2024  
 
2023 
 
2022  
 
2021 
 
2020 
  Selected Per-Share Data 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) A
 
.052
 
.026
 
- B
 
.001
 
.018
     Net realized and unrealized gain (loss) B
 
-
 
-
 
-
 
-
 
-
  Total from investment operations
 
.052  
 
.026  
 
- B 
 
.001  
 
.018
  Distributions from net investment income
 
(.052)
 
(.026)
 
- B
 
(.001)
 
(.018)
  Distributions from net realized gain
 
-
 
-
 
- B
 
-
 
-
     Total distributions
 
(.052)
 
(.026)
 
- B
 
(.001)
 
(.018)
  Net asset value, end of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
 Total Return C
 
5.29
%
 
 
2.66%
 
.02%
 
.07%
 
1.86%
 Ratios to Average Net Assets A,D,E
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.18%
 
.18%
 
.18%
 
.18%
 
.18%
    Expenses net of fee waivers, if any
 
.14
%
 
 
.14%
 
.07%
 
.13%
 
.14%
    Expenses net of all reductions
 
.14%
 
.14%
 
.07%
 
.13%
 
.14%
    Net investment income (loss)
 
5.17%
 
3.00%
 
.02%
 
.07%
 
1.81%
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (in millions)
$
32,455  
$
31,934
$
10,195
$
12,539
$
19,926
 
ANet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
BAmount represents less than $.0005 per share.
 
CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
DFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses.
 
EExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
 
Government Portfolio
Investment Summary/Performance March 31, 2024 (Unaudited)
Current 7-Day Yields
 
 
 
Class I
5.21%
 
Class II
5.06%
 
Class III
4.96%
 
Select Class
5.16%
 
Institutional Class
5.25%
 
 
 
 
Yield refers to the income paid by the Fund over a given period. Yield for money market funds is usually for seven-day periods, as it is here, though it is expressed as an annual percentage rate. Past performance is no guarantee of future results. Yield will vary and it's possible to lose money investing in the Fund. A portion of the Fund's expenses was reimbursed and/or waived. Absent such reimbursements and/or waivers the yield for the period ending March 31, 2024, the most recent period shown in the table, would have been 5.19% for Class I, 5.04% for Class II, 4.94% for Class III, 5.14% for Select Class, and 5.21% for Institutional Class.
 
 
Effective Maturity Diversification (% of Fund's Investments)
 
Days
 
1 - 7
56.6
 
8 - 30
10.7
 
31 - 60
10.7
 
61 - 90
7.2
 
91 - 180
12.7
 
> 180
2.1
 
 
Effective maturity is determined in accordance with the requirements of Rule 2a-7 under the Investment Company Act of 1940.
 
Asset Allocation (% of Fund's net assets)
Net Other Assets (Liabilities) - (2.1)%
 
Government Portfolio
Schedule of Investments March 31, 2024
Showing Percentage of Net Assets     
U.S. Treasury Debt - 38.8%
 
 
Yield (%)(a)
Principal
Amount (b)
(000s)
 
Value ($)
(000s)
 
U.S. Treasury Obligations - 38.8%
 
 
 
 
U.S. Treasury Bills
 
 
 
 
4/2/24 to 9/26/24
 
5.11 to 5.41
75,477,038
74,733,581
U.S. Treasury Notes
 
 
 
 
4/30/24 to 3/31/25 (c)
 
4.88 to 5.44
2,385,000
2,378,542
 
 
 
 
 
 
TOTAL U.S. TREASURY DEBT
 (Cost $77,112,123)
 
 
 
 
77,112,123
 
 
 
 
 
U.S. Government Agency Debt - 22.5%
 
 
Yield (%)(a)
Principal
Amount (b)
(000s)
 
Value ($)
(000s)
 
Federal Agencies - 22.5%
 
 
 
 
Federal Farm Credit Bank
 
 
 
 
4/12/24 to 2/20/26 (c)
 
4.84 to 5.53
6,662,267
6,662,226
Federal Home Loan Bank
 
 
 
 
11/5/24 (c)(d)(e)
 
0.00
211,000
211,000
11/5/24 (c)(d)(e)
 
0.00
259,000
259,000
4/1/24 to 1/2/26 (c)
 
4.79 to 8.72
37,671,992
37,646,274
 
 
 
 
 
 
TOTAL U.S. GOVERNMENT AGENCY DEBT
 (Cost $44,778,500)
 
 
 
 
44,778,500
 
 
 
 
 
U.S. Government Agency Repurchase Agreement - 15.7%
 
 
Maturity
Amount ($)
(000s)
 
Value ($)
(000s)
 
In a joint trading account at:
 
 
 
 5.32% dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations) #
 
482,538
482,253
 5.33% dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations) #
 
12,302,155
12,294,872
With:
 
 
 
 ABN AMRO Bank NV at 5.34%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Government Obligations valued at $309,243,397, 0.38% - 6.00%, 3/1/25 - 2/1/54)
 
303,180
303,000
 Bank of America NA at 5.41%, dated 1/5/24 due 5/6/24 (Collateralized by U.S. Government Obligations valued at $127,100,374, 2.50% - 3.50%, 4/1/42 - 5/1/51)
 
125,255
123,000
 BMO Harris Bank NA at 5.34%, dated 2/1/24 due 4/1/24 (Collateralized by U.S. Government Obligations valued at $154,361,700, 3.00% - 7.50%, 9/20/39 - 3/20/64)
 
151,335
150,000
 BNP Paribas, SA at:
 
 
 
5.32%, dated 1/17/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $193,792,359, 0.00% - 7.00%, 1/31/25 - 3/1/54)
 
 
189,515
187,000
5.36%, dated:
 
 
 
 
 3/11/24 due 4/4/24 (Collateralized by U.S. Government Obligations valued at $525,914,667, 0.00% - 7.50%, 5/15/26 - 12/20/63) (c)(e)(f)
 
522,112
514,000
 3/13/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $213,123,314, 0.00% - 7.00%, 10/31/24 - 2/15/54) (c)(e)(f)
 
210,236
207,000
 BofA Securities, Inc. at:
 
 
 
5.34%, dated 2/1/24 due 4/1/24 (Collateralized by Mortgage Loan Obligations valued at $204,786,562, 0.38% - 7.50%, 12/31/25 - 2/20/74)
 
 
200,771
199,000
5.36%, dated 1/25/24 due 4/25/24 (Collateralized by U.S. Government Obligations valued at $130,832,325, 0.38% - 8.50%, 12/1/25 - 4/20/73)
 
 
128,721
127,000
5.37%, dated 1/26/24 due 4/26/24 (Collateralized by U.S. Government Obligations valued at $130,815,398, 0.38% - 7.55%, 12/31/25 - 8/20/63) (c)(e)(f)
 
 
128,724
127,000
5.38%, dated 1/18/24 due 4/18/24 (Collateralized by U.S. Government Obligations valued at $384,151,903, 0.38% - 7.50%, 12/31/25 - 11/20/63) (c)(e)(f)
 
 
377,566
372,500
5.39%, dated 3/6/24 due 6/6/24 (Collateralized by U.S. Government Obligations valued at $269,304,333, 0.38% - 7.00%, 12/31/25 - 12/20/63)
 
 
266,623
263,000
5.4%, dated 1/2/24 due 4/2/24 (Collateralized by U.S. Government Obligations valued at $943,796,640, 0.38% - 7.50%, 9/1/25 - 11/20/63) (c)(e)(f)
 
 
925,462
913,000
 CIBC Bank U.S.A. at:
 
 
 
5.32%, dated 2/15/24 due 4/2/24 (Collateralized by U.S. Government Obligations valued at $244,302,605, 1.13% - 7.00%, 2/15/27 - 4/1/54)
 
 
239,653
238,000
5.33%, dated:
 
 
 
 
 2/20/24 due 4/4/24 (Collateralized by U.S. Government Obligations valued at $55,389,886, 3.00% - 7.00%, 7/1/28 - 3/1/54)
 
54,464
54,000
 2/21/24 due 4/4/24 (Collateralized by U.S. Government Obligations valued at $101,533,174, 2.50% - 7.00%, 11/1/40 - 3/1/54)
 
99,835
99,000
 3/13/24 due 4/4/24 (Collateralized by U.S. Government Obligations valued at $507,117,344, 2.00% - 7.50%, 7/1/28 - 3/1/54)
 
498,128
496,000
5.38%, dated 2/20/24 due 4/18/24 (Collateralized by U.S. Government Obligations valued at $13,713,270, 0.00% - 7.00%, 8/15/26 - 10/16/64)
 
 
13,113
13,000
 Citibank NA at 5.34%, dated 3/28/24 due 4/4/24 (Collateralized by U.S. Government Obligations valued at $310,125,996, 0.00% - 7.50%, 8/20/24 - 8/15/64)
 
304,316
304,000
 Citigroup Global Capital Markets, Inc. at:
 
 
 
5.34%, dated:
 
 
 
 
 3/4/24 due 4/4/24 (Collateralized by U.S. Government Obligations valued at $307,134,752, 0.00% - 7.50%, 8/31/28 - 1/20/53)
 
301,380
300,000
 3/28/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $466,209,222, 0.25% - 4.38%, 7/31/25 - 6/30/28)
 
457,475
457,000
5.37%, dated 3/21/24 due 5/21/24 (Collateralized by U.S. Government Obligations valued at $545,330,024, 0.00% - 7.05%, 4/15/26 - 12/20/69)
 
 
538,859
534,000
 FICC State Street GC (Gov. Repo) at 5.34%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Government Obligations valued at $416,097,385, 2.00% - 7.50%, 5/1/31 - 3/1/54)
 
406,241
406,000
 Goldman Sachs & Co. at:
 
 
 
5.33%, dated:
 
 
 
 
 3/25/24 due 4/1/24 (Collateralized by U.S. Government Obligations valued at $615,697,441, 2.00% - 9.00%, 4/25/24 - 9/15/64)
 
603,625
603,000
 3/26/24 due 4/2/24 (Collateralized by U.S. Government Obligations valued at $1,349,637,898, 1.38% - 6.50%, 10/31/28 - 12/15/60)
 
1,323,370
1,322,000
 3/26/24 due:
 
 
 
 4/1/24 (Collateralized by U.S. Government Obligations valued at $825,668,724, 1.38% - 6.50%, 10/31/28 - 9/15/64)
 
809,479
809,000
 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $724,628,889, 1.38% - 6.00%, 2/28/26 - 8/1/53)
 
710,736
710,000
5.34%, dated 3/27/24 due 4/3/24 (Collateralized by U.S. Treasury Obligations valued at $2,284,459,939, 0.00% - 8.50%, 4/15/24 - 9/15/57)
 
 
2,240,324
2,238,000
 ING Financial Markets LLC at 5.36%, dated:
 
 
 
3/21/24 due 5/2/24 (Collateralized by U.S. Government Obligations valued at $476,907,375, 2.00% - 8.00%, 3/1/28 - 4/1/54)
 
 
469,920
467,000
3/22/24 due 5/3/24 (Collateralized by U.S. Government Obligations valued at $203,191,550, 2.00% - 7.00%, 3/15/31 - 11/1/53)
 
 
200,244
199,000
 Mitsubishi UFJ Securities (U.S.A.), Inc. at 5.36%, dated 3/21/24 due 6/13/24 (Collateralized by U.S. Government Obligations valued at $940,538,954, 2.00% - 6.00%, 5/1/24 - 1/1/54)
 
932,519
921,000
 Morgan Stanley & Co., LLC at 5.42%, dated 3/4/24 due 4/1/24 (Collateralized by U.S. Government Obligations valued at $135,496,509, 0.00% - 7.00%, 6/13/24 - 2/25/54) (c)(e)(f)
 
131,552
131,000
 MUFG Securities (Canada), Ltd. at 5.36%, dated 3/21/24 due 6/13/24 (Collateralized by U.S. Government Obligations valued at $190,969,311, 0.63% - 6.50%, 5/15/25 - 2/15/54)
 
189,339
187,000
 RBC Dominion Securities at 5.34%, dated 3/27/24 due 4/3/24 (Collateralized by U.S. Government Obligations valued at $415,715,312, 0.00% - 8.00%, 7/1/24 - 2/1/54)
 
407,423
407,000
 RBC Financial Group at 5.33%, dated 3/21/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $2,202,199,160, 0.13% - 7.50%, 4/30/24 - 3/20/54)
 
2,158,444
2,147,000
 TD Securities (U.S.A.) at 5.34%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Government Obligations valued at $350,932,048, 4.50% - 6.50%, 11/1/48 - 3/1/54)
 
344,204
344,000
 Wells Fargo Securities, LLC at:
 
 
 
5.37%, dated:
 
 
 
 
 3/21/24 due 6/21/24 (Collateralized by U.S. Government Obligations valued at $545,576,119, 1.50% - 7.50%, 8/25/24 - 3/20/54)
 
541,328
534,000
 3/26/24 due 6/21/24 (Collateralized by U.S. Government Obligations valued at $81,673,390, 0.96% - 7.50%, 7/15/30 - 2/20/54)
 
81,038
80,000
5.38%, dated 2/21/24 due 5/21/24 (Collateralized by U.S. Government Obligations valued at $530,494,639, 3.02% - 7.00%, 8/25/24 - 6/20/53)
 
 
523,954
517,000
5.39%, dated:
 
 
 
 
 2/28/24 due 5/28/24 (Collateralized by U.S. Government Obligations valued at $270,611,653, 0.96% - 7.50%, 7/20/24 - 3/20/54)
 
267,557
264,000
 3/15/24 due 6/13/24 (Collateralized by U.S. Government Obligations valued at $277,124,783, 0.96% - 7.00%, 4/20/29 - 3/20/54)
 
274,652
271,000
 
TOTAL U.S. GOVERNMENT AGENCY REPURCHASE AGREEMENT
 (Cost $31,314,625)
 
 
31,314,625
 
 
 
 
U.S. Treasury Repurchase Agreement - 25.1%
 
 
Maturity
Amount ($)
(000s)
 
Value ($)
(000s)
 
With:
 
 
 
 ABN AMRO Bank NV at 5.33%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $278,624,965, 0.38% - 1.25%, 4/30/27 - 7/31/28)
 
273,162
273,000
 Barclays Bank PLC at:
 
 
 
5.32%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $559,042,668, 0.38% - 4.63%, 9/15/25 - 5/15/29)
 
 
548,324
548,000
5.33%, dated 3/21/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $657,658,101, 0.00% - 4.00%, 3/20/25 - 4/30/29)
 
 
648,005
644,000
 BMO Capital Markets Corp. at 5.32%, dated 3/27/24 due 4/3/24 (Collateralized by U.S. Treasury Obligations valued at $94,185,163, 0.00% - 4.25%, 9/5/24 - 2/15/54)
 
92,095
92,000
 BMO Harris Bank NA at:
 
 
 
5.31%, dated 3/25/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $90,873,768, 0.00% - 0.63%, 8/8/24 - 12/31/27)
 
 
89,092
89,000
5.32%, dated 3/28/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $92,874,934, 0.00% - 4.13%, 8/8/24 - 12/31/27)
 
 
91,094
91,000
 BNP Paribas, SA at:
 
 
 
5.36%, dated:
 
 
 
 
 2/29/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $923,385,714, 0.88% - 5.47%, 7/31/24 - 5/15/49) (c)(e)(f)
 
915,220
901,000
 3/1/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $742,448,707, 0.00% - 7.63%, 4/18/24 - 8/15/53) (c)(e)(f)
 
736,073
724,000
 3/8/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $281,595,789, 0.50% - 5.47%, 7/31/24 - 5/15/52) (c)(e)(f)
 
279,422
275,000
 3/11/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $1,322,005,196, 0.00% - 5.50%, 4/18/24 - 11/15/53) (c)(e)(f)
 
1,312,391
1,292,000
5.37%, dated:
 
 
 
 
 2/14/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $1,477,769,700, 0.38% - 5.44%, 7/31/24 - 2/15/54) (c)(e)(f)
 
1,458,864
1,433,000
 2/16/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $367,604,593, 0.00% - 5.44%, 6/30/24 - 2/15/54) (c)(e)(f)
 
364,515
358,000
 2/20/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $366,236,210, 0.88% - 5.50%, 10/31/24 - 2/15/54) (c)(e)(f)
 
362,638
356,000
 BofA Securities, Inc. at:
 
 
 
5.33%, dated 2/5/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $89,475,783, 0.38% - 4.38%, 12/31/25 - 8/15/43)
 
 
88,172
87,000
5.34%, dated 2/29/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $90,186,093, 0.38% - 1.75%, 12/31/25 - 8/15/41)
 
 
89,175
88,000
5.35%, dated 1/25/24 due 4/25/24 (Collateralized by U.S. Treasury Obligations valued at $111,256,920, 0.38% - 3.25%, 12/31/25 - 5/15/42) (c)(e)(f)
 
 
109,461
108,000
 CIBC Bank U.S.A. at 5.32%, dated:
 
 
 
3/6/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $70,620,120, 0.75% - 4.75%, 1/31/26 - 2/15/54)
 
 
69,306
69,000
3/21/24 due 4/4/24
 
 
 
 
 (Collateralized by U.S. Treasury Obligations valued at $121,532,588, 0.38% - 4.50%, 2/28/26 - 2/15/54)
 
119,440
119,000
 (Collateralized by U.S. Treasury Obligations valued at $186,881,113, 0.88% - 4.88%, 11/30/25 - 2/15/54)
 
183,379
183,000
3/27/24 due 4/4/24
 
 
 
 
 (Collateralized by U.S. Treasury Obligations valued at $122,511,187, 0.38% - 4.13%, 2/28/25 - 8/15/53)
 
119,580
119,000
 (Collateralized by U.S. Treasury Obligations valued at $65,299,488, 0.38% - 4.25%, 2/28/25 - 2/15/54)
 
64,340
64,000
 Credit AG at 5.32%, dated 3/25/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $139,822,626, 2.75%, 4/30/27)
 
137,628
137,000
 Federal Reserve Bank of New York at 5.3%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $18,798,063,514, 0.63% - 4.38%, 8/15/27 - 5/15/45)
 
18,798,063
18,787,000
 FICC ACAFB Repo Program at 5.33%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $568,051,814, 3.50% - 4.88%, 10/31/28 - 5/15/43)
 
548,325
548,000
 Ficc Citi Gc Repo (GOV REPO) at 5.33%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $185,667,487, 0.00% - 5.00%, 5/16/24 - 5/15/47)
 
182,108
182,000
 Ficc Nomura Gc Repo (GOV REPO) at 5.33%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $1,118,085,588, 0.00% - 1.75%, 6/30/24 - 3/20/25)
 
1,096,649
1,096,000
 Fixed Income Clearing Corp. - BNP at 5.34%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $1,212,479,428, 0.88% - 5.50%, 10/31/24 - 11/15/53)
 
1,188,705
1,188,000
 Fixed Income Clearing Corp. - BNYM at 5.32%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $6,785,040,003, 0.00% - 3.88%, 6/13/24 - 11/15/47)
 
6,655,932
6,652,000
 Fixed Income Clearing Corp. - SSB at:
 
 
 
5.31%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $559,041,478, 0.55% - 3.25%, 6/30/27 - 7/31/27)
 
 
548,323
548,000
5.32%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $4,660,855,903, 0.38% - 4.13%, 7/31/27 - 11/15/27)
 
 
4,571,701
4,569,000
5.35%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $373,285,304, 2.75% - 3.50%, 8/15/32 - 2/15/33)
 
 
366,218
366,000
 Fixed Income Clearing Corp.- Morgan Stanley & CO LLC at 5.34%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $279,583,604, 2.75%, 5/31/29)
 
274,163
274,000
 Goldman Sachs & Co. at 5.32%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $320,469,364, 0.00% - 2.00%, 5/14/24 - 5/15/40)
 
314,186
314,000
 ING Financial Markets LLC at 5.33%, dated:
 
 
 
3/26/24 due 4/2/24 (Collateralized by U.S. Treasury Obligations valued at $35,719,027, 0.00% - 4.25%, 9/5/24 - 5/15/51)
 
 
35,036
35,000
3/28/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $18,362,720, 0.63% - 3.50%, 12/31/24 - 2/15/42)
 
 
18,019
18,000
 Lloyds Bank Corp. Markets PLC at 5.35%, dated 3/28/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $381,628,318, 4.63%, 9/15/26)
 
374,389
374,000
 Lloyds Bank PLC at:
 
 
 
5.39%, dated:
 
 
 
 
 2/20/24 due 5/20/24 (Collateralized by U.S. Treasury Obligations valued at $83,213,532, 2.25% - 4.13%, 2/15/27 - 7/31/28)
 
82,091
81,000
 2/26/24 due 5/28/24 (Collateralized by U.S. Treasury Obligations valued at $119,065,243, 4.13%, 7/31/28)
 
117,598
116,000
 3/20/24 due 6/20/24 (Collateralized by U.S. Treasury Obligations valued at $155,335,435, 3.25%, 6/30/27)
 
154,094
152,000
5.4%, dated 2/29/24 due 5/31/24 (Collateralized by U.S. Treasury Obligations valued at $83,024,117, 2.25%, 8/15/27)
 
 
82,118
81,000
 Mitsubishi UFJ Securities (U.S.A.), Inc. at 5.34%, dated 3/21/24 due 6/13/24 (Collateralized by U.S. Treasury Obligations valued at $240,158,437, 0.00% - 4.50%, 10/31/24 - 2/15/33)
 
236,916
234,000
 Mizuho Bank, Ltd. at 5.33%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $467,829,154, 3.50%, 4/30/28)
 
457,271
457,000
 MUFG Securities (Canada), Ltd. at:
 
 
 
5.33%, dated 3/21/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $93,984,862, 0.25% - 6.50%, 7/31/24 - 2/15/54)
 
 
92,572
92,000
5.34%, dated 3/21/24 due 6/13/24 (Collateralized by U.S. Treasury Obligations valued at $178,874,811, 0.25% - 6.50%, 1/31/25 - 5/15/53)
 
 
177,181
175,000
 MUFG Securities EMEA PLC at:
 
 
 
5.32%, dated 3/21/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $285,179,884, 2.88% - 4.25%, 5/15/32 - 11/15/42)
 
 
276,571
276,000
5.33%, dated 3/27/24 due 4/3/24 (Collateralized by U.S. Treasury Obligations valued at $375,751,915, 1.25% - 4.13%, 11/30/26 - 9/30/27)
 
 
368,381
368,000
5.34%, dated 3/28/24 due:
 
 
 
 
 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $232,831,248, 3.25% - 3.88%, 5/15/42 - 2/15/43)
 
228,135
228,000
 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $186,730,736, 0.75% - 5.00%, 10/31/25 - 3/31/26)
 
183,190
183,000
 Natixis SA at 5.33%, dated 3/21/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $373,762,190, 0.00% - 5.25%, 6/27/24 - 2/15/44)
 
368,113
366,000
 NatWest Markets Securities, Inc. at:
 
 
 
5.33%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $90,833,763, 1.63% - 4.88%, 10/31/30 - 11/15/41)
 
 
89,053
89,000
5.34%, dated 3/27/24 due 4/3/24 (Collateralized by U.S. Treasury Obligations valued at $458,321,667, 0.25% - 4.88%, 6/15/24 - 5/15/46)
 
 
449,466
449,000
 Norinchukin Bank at 5.35%, dated 3/26/24 due 4/2/24 (Collateralized by U.S. Treasury Obligations valued at $178,553,078, 1.88%, 2/15/32)
 
175,182
175,000
 Prudential Insurance Co. of America at 5.34%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $281,694,549, 1.25% - 7.50%, 11/15/24 - 11/15/33)
 
276,305
276,141
 RBC Dominion Securities at:
 
 
 
5.33%, dated 3/21/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $750,093,194, 0.25% - 6.88%, 9/30/24 - 2/15/53)
 
 
738,564
734,000
5.34%, dated 3/27/24 due 4/3/24 (Collateralized by U.S. Treasury Obligations valued at $186,798,579, 0.00% - 4.63%, 6/30/24 - 2/15/53)
 
 
183,190
183,000
 SMBC Nikko Securities America, Inc. at 5.32%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $765,113,116, 0.00% - 6.88%, 6/15/24 - 11/15/43)
 
750,443
750,000
 Societe Generale at 5.33%, dated:
 
 
 
3/26/24 due 4/2/24
 
 
 
 
 (Collateralized by U.S. Treasury Obligations valued at $240,766,489, 2.38% - 3.88%, 5/15/43 - 5/15/53)
 
234,243
234,000
 (Collateralized by U.S. Treasury Obligations valued at $373,592,384, 0.38% - 4.88%, 4/30/25 - 11/15/50)
 
366,379
366,000
3/28/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $373,949,562, 0.63% - 4.63%, 2/29/28 - 8/15/51)
 
 
366,379
366,000
 Sumitomo Mitsui Trust Bank Ltd. at 5.4%, dated 3/27/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $41,343,760, 1.63%, 8/15/29)
 
40,585
40,500
 TD Securities (U.S.A.) at 5.33%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $346,851,437, 1.75% - 4.00%, 4/30/24 - 2/28/30)
 
340,201
340,000
 
TOTAL U.S. TREASURY REPURCHASE AGREEMENT
 (Cost $49,812,641)
 
 
49,812,641
 
 
 
 
 
TOTAL INVESTMENT IN SECURITIES - 102.1%
 (Cost $203,017,889)
 
 
 
203,017,889
NET OTHER ASSETS (LIABILITIES) - (2.1)%  
(4,201,514)
NET ASSETS - 100.0%
198,816,375
 
 
 
 
 
The date shown for securities represents the date when principal payments must be paid, taking into account any call options exercised by the issuer and any permissible maturity shortening features other than interest rate resets.
 
Any values shown as $0 in the Schedule of Investments may reflect amounts less than $500.
 
Legend
 
(a)
Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.
 
(b)
Amount is stated in United States dollars unless otherwise noted.
 
(c)
Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
 
(d)
Security or a portion of the security purchased on a delayed delivery or when-issued basis.
 
(e)
Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
 
(f)
The maturity amount is based on the rate at period end.
 
 
 
Investment Valuation
 
All investments are categorized as Level 2 under the Fair Value Hierarchy. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in these securities. For more information on valuation inputs, refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
 
 
Other Information
# Additional information on each counterparty to the repurchase agreement is as follows:
Repurchase Agreement / Counterparty
Value ($)
 
(000's)
 
$482,253,000 due 4/01/24 at 5.32%
 
 
BofA Securities, Inc.
4,550
 
Citigroup Global Markets, Inc.
905
 
Credit Agricole CIB New York Branch
37,145
 
HSBC Securities (USA), Inc.
163
 
ING Financial Markets LLC
26,406
 
JP Morgan Securities LLC
70,992
 
Mitsubishi UFJ Securities Holdings Ltd
832
 
Mizuho Securities USA, Inc.
667
 
Nomura Securities International
35,485
 
RBC Dominion Securities, Inc.
303,860
 
Wells Fargo Bank National Asso
1,248
 
 
482,253
 
$12,294,872,000 due 4/01/24 at 5.33%
 
 
Bank of America, N.A.
729,263
 
Bank of Nova Scotia
215,087
 
BofA Securities, Inc.
12,792
 
Citigroup Global Markets, Inc.
1,017,989
 
Credit Agricole CIB New York Branch
743,866
 
HSBC Securities (USA), Inc.
628,889
 
ING Financial Markets LLC
304,289
 
JP Morgan Securities LLC
1,091,992
 
Mitsubishi UFJ Securities Holdings Ltd
465,918
 
Mizuho Securities USA, Inc.
506,433
 
Nomura Securities International
859,785
 
RBC Dominion Securities, Inc.
1,722,223
 
Sumitomo Mitsui Banking Corp.
3,591,200
 
Wells Fargo Securities LLC
405,146
 
 
12,294,872
 
Government Portfolio
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts)
 
 
 
March 31, 2024
 
 
 
 
 
Assets
 
 
 
 
Investment in securities, at value (including repurchase agreements of $81,127,266) - See accompanying schedule
 
Unaffiliated issuers (cost $203,017,889):
 
 
 
$
203,017,889
Cash
 
 
332,614
Receivable for fund shares sold
 
 
185,689
Interest receivable
 
 
537,004
Prepaid expenses
 
 
84
Receivable from investment adviser for expense reductions
 
 
5,530
Other receivables
 
 
1,674
  Total assets
 
 
204,080,484
Liabilities
 
 
 
 
Payable for investments purchased
 
 
 
 
Regular delivery
$
4,529,220
 
 
Delayed delivery
470,000
 
 
Payable for fund shares redeemed
207,368
 
 
Distributions payable
19,481
 
 
Accrued management fee
23,532
 
 
Distribution and service plan fees payable
1,376
 
 
Other affiliated payables
6,702
 
 
Other payables and accrued expenses
6,430
 
 
  Total liabilities
 
 
 
5,264,109
Net Assets  
 
 
$
198,816,375
Net Assets consist of:
 
 
 
 
Paid in capital
 
 
$
198,817,312
Total accumulated earnings (loss)
 
 
 
(937)
Net Assets
 
 
$
198,816,375
 
 
 
 
 
Net Asset Value and Maximum Offering Price
 
 
 
 
Class I :
 
 
 
 
Net Asset Value, offering price and redemption price per share ($42,265,971 ÷ 42,254,558 shares)
 
 
$
1.00
Class II :
 
 
 
 
Net Asset Value, offering price and redemption price per share ($1,317,113 ÷ 1,316,462 shares)
 
 
$
1.00
Class III :
 
 
 
 
Net Asset Value, offering price and redemption price per share ($5,714,437 ÷ 5,711,675 shares)
 
 
$
1.00
Select Class :
 
 
 
 
Net Asset Value, offering price and redemption price per share ($217,340 ÷ 217,312 shares)
 
 
$
1.00
Institutional Class :
 
 
 
 
Net Asset Value, offering price and redemption price per share ($149,301,514 ÷ 149,306,758 shares)
 
 
$
1.00
Statement of Operations
Amounts in thousands
 
 
 
Year ended
March 31, 2024
Investment Income
 
 
 
 
Interest  
 
 
$
9,758,810
Expenses
 
 
 
 
Management fee
$
257,025
 
 
Transfer agent fees
69,381
 
 
Distribution and service plan fees
15,656
 
 
Accounting fees and expenses
4,447
 
 
Custodian fees and expenses
729
 
 
Independent trustees' fees and expenses
573
 
 
Registration fees
5,969
 
 
Audit
61
 
 
Legal
108
 
 
Miscellaneous
620
 
 
 Total expenses before reductions
 
354,569
 
 
 Expense reductions
 
(62,461)
 
 
 Total expenses after reductions
 
 
 
292,108
Net Investment income (loss)
 
 
 
9,466,702
Realized and Unrealized Gain (Loss)
 
 
 
 
Net realized gain (loss) on:
 
 
 
 
 Investment Securities:
 
 
 
 
   Unaffiliated issuers  
 
(506)
 
 
Total net realized gain (loss)
 
 
 
(506)
Net increase in net assets resulting from operations
 
 
$
9,466,196
Statement of Changes in Net Assets
 
Amount in thousands
 
Year ended
March 31, 2024
 
Year ended
March 31, 2023
Increase (Decrease) in Net Assets
 
 
 
 
Operations
 
 
 
Net investment income (loss)
$
9,466,702
$
3,269,683
Net realized gain (loss)
 
(506)
 
 
(684)
 
  Net increase in net assets resulting from operations
 
9,466,196
 
 
3,268,999
 
Distributions to shareholders
 
(9,467,184)
 
 
(3,268,145)
 
 
 
 
 
 
Share transactions - net increase (decrease)
 
26,669,281
 
 
44,414,081
 
Total increase (decrease) in net assets
 
26,668,293
 
 
44,414,935
 
 
 
 
 
 
Net Assets
 
 
 
 
Beginning of period
 
172,148,082
 
127,733,147
 
End of period
$
198,816,375
$
172,148,082
 
 
 
 
 
 
 
 
 
 
 
Financial Highlights
 
Government Portfolio Class I
 
Years ended March 31,
 
2024  
 
2023 
 
2022  
 
2021 
 
2020 
  Selected Per-Share Data 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) A
 
.051
 
.025
 
- B
 
- B
 
.018
     Net realized and unrealized gain (loss) B
 
-
 
-
 
-
 
-
 
-
  Total from investment operations
 
.051  
 
.025  
 
- B 
 
- B 
 
.018
  Distributions from net investment income
 
(.051)
 
(.025)
 
- B
 
- B
 
(.018)
  Distributions from net realized gain
 
-
 
-
 
- B
 
-
 
-
     Total distributions
 
(.051)
 
(.025)
 
- B
 
- B
 
(.018)
  Net asset value, end of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
 Total Return C
 
5.26
%
 
 
2.57%
 
.02%
 
.04%
 
1.83%
 Ratios to Average Net Assets A,D,E
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.21%
 
.21%
 
.20%
 
.20%
 
.21%
    Expenses net of fee waivers, if any
 
.18
%
 
 
.18%
 
.08%
 
.15%
 
.18%
    Expenses net of all reductions
 
.18%
 
.18%
 
.08%
 
.15%
 
.18%
    Net investment income (loss)
 
5.14%
 
2.61%
 
.01%
 
.05%
 
1.77%
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (in millions)
$
42,266  
$
44,905
$
30,836
$
33,508
$
45,360
 
ANet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
BAmount represents less than $.0005 per share.
 
CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
DFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses.
 
EExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
 
Government Portfolio Class II
 
Years ended March 31,
 
2024  
 
2023 
 
2022  
 
2021 
 
2020 
  Selected Per-Share Data 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) A
 
.050
 
.024
 
- B
 
- B
 
.017
     Net realized and unrealized gain (loss) B
 
-
 
-
 
-
 
-
 
-
  Total from investment operations
 
.050  
 
.024  
 
- B 
 
- B 
 
.017
  Distributions from net investment income
 
(.050)
 
(.024)
 
- B
 
- B
 
(.017)
  Distributions from net realized gain
 
-
 
-
 
- B
 
-
 
-
     Total distributions
 
(.050)
 
(.024)
 
- B
 
- B
 
(.017)
  Net asset value, end of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
 Total Return C
 
5.10
%
 
 
2.41%
 
.01%
 
.01%
 
1.68%
 Ratios to Average Net Assets A,D,E
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.36%
 
.36%
 
.35%
 
.35%
 
.36%
    Expenses net of fee waivers, if any
 
.33
%
 
 
.33%
 
.08%
 
.17%
 
.33%
    Expenses net of all reductions
 
.33%
 
.33%
 
.08%
 
.17%
 
.33%
    Net investment income (loss)
 
4.99%
 
2.46%
 
.01%
 
.03%
 
1.62%
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (in millions)
$
1,317  
$
942
$
959
$
1,366
$
697
 
ANet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
BAmount represents less than $.0005 per share.
 
CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
DFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses.
 
EExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
 
Government Portfolio Class III
 
Years ended March 31,
 
2024  
 
2023 
 
2022  
 
2021 
 
2020 
  Selected Per-Share Data 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) A
 
.049
 
.023
 
- B
 
- B
 
.016
     Net realized and unrealized gain (loss) B
 
-
 
-
 
-
 
-
 
-
  Total from investment operations
 
.049  
 
.023  
 
- B 
 
- B 
 
.016
  Distributions from net investment income
 
(.049)
 
(.023)
 
- B
 
- B
 
(.016)
  Distributions from net realized gain
 
-
 
-
 
- B
 
-
 
-
     Total distributions
 
(.049)
 
(.023)
 
- B
 
- B
 
(.016)
  Net asset value, end of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
 Total Return C
 
5.00
%
 
 
2.32%
 
.01%
 
.01%
 
1.57%
 Ratios to Average Net Assets A,D,E
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.46%
 
.46%
 
.45%
 
.45%
 
.46%
    Expenses net of fee waivers, if any
 
.43
%
 
 
.42%
 
.08%
 
.19%
 
.43%
    Expenses net of all reductions
 
.43%
 
.42%
 
.08%
 
.19%
 
.43%
    Net investment income (loss)
 
4.89%
 
2.37%
 
.01%
 
.02%
 
1.52%
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (in millions)
$
5,714  
$
4,189
$
3,764
$
3,234
$
3,704
 
ANet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
BAmount represents less than $.0005 per share.
 
CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
DFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses.
 
EExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
 
Government Portfolio Select Class
 
Years ended March 31,
 
2024  
 
2023 
 
2022  
 
2021 
 
2020 
  Selected Per-Share Data 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) A
 
.051
 
.025
 
- B
 
- B
 
.018
     Net realized and unrealized gain (loss) B
 
-
 
-
 
-
 
-
 
-
  Total from investment operations
 
.051  
 
.025  
 
- B 
 
- B 
 
.018
  Distributions from net investment income
 
(.051)
 
(.025)
 
- B
 
- B
 
(.018)
  Distributions from net realized gain
 
-
 
-
 
- B
 
-
 
-
     Total distributions
 
(.051)
 
(.025)
 
- B
 
- B
 
(.018)
  Net asset value, end of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
 Total Return C
 
5.21
%
 
 
2.51%
 
.01%
 
.03%
 
1.78%
 Ratios to Average Net Assets A,D,E
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.26%
 
.26%
 
.25%
 
.25%
 
.26%
    Expenses net of fee waivers, if any
 
.23
%
 
 
.23%
 
.08%
 
.17%
 
.23%
    Expenses net of all reductions
 
.23%
 
.23%
 
.08%
 
.17%
 
.23%
    Net investment income (loss)
 
5.09%
 
2.56%
 
.02%
 
.03%
 
1.72%
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (in millions)
$
217  
$
218
$
293
$
367
$
498
 
ANet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
BAmount represents less than $.0005 per share.
 
CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
DFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses.
 
EExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
 
Government Portfolio Institutional Class
 
Years ended March 31,
 
2024  
 
2023 
 
2022  
 
2021 
 
2020 
  Selected Per-Share Data 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) A
 
.052
 
.026
 
- B
 
.001
 
.019
     Net realized and unrealized gain (loss) B
 
-
 
-
 
-
 
-
 
-
  Total from investment operations
 
.052  
 
.026  
 
- B 
 
.001  
 
.019
  Distributions from net investment income
 
(.052)
 
(.026)
 
- B
 
(.001)
 
(.019)
  Distributions from net realized gain
 
-
 
-
 
- B
 
-
 
-
     Total distributions
 
(.052)
 
(.026)
 
- B
 
(.001)
 
(.019)
  Net asset value, end of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
 Total Return C
 
5.30
%
 
 
2.61%
 
.02%
 
.07%
 
1.87%
 Ratios to Average Net Assets A,D,E
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.18%
 
.18%
 
.17%
 
.17%
 
.18%
    Expenses net of fee waivers, if any
 
.14
%
 
 
.14%
 
.07%
 
.13%
 
.14%
    Expenses net of all reductions
 
.14%
 
.14%
 
.07%
 
.13%
 
.14%
    Net investment income (loss)
 
5.18%
 
2.65%
 
.02%
 
.07%
 
1.81%
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (in millions)
$
149,302  
$
121,893
$
91,881
$
92,805
$
122,312
 
ANet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
BAmount represents less than $.0005 per share.
 
CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
DFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses.
 
EExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
 
Money Market Portfolio
Investment Summary/Performance March 31, 2024 (Unaudited)
Current 7-Day Yields
 
 
 
Class I
5.28%
 
Class II
5.13%
 
Class III
5.03%
 
Select Class
5.23%
 
Institutional Class
5.32%
 
 
 
 
Yield refers to the income paid by the Fund over a given period. Yield for money market funds is usually for seven-day periods, as it is here, though it is expressed as an annual percentage rate. Past performance is no guarantee of future results. Yield will vary and it's possible to lose money investing in the Fund. A portion of the Fund's expenses was reimbursed and/or waived. Absent such reimbursements and/or waivers the yield for the period ending March 31, 2024, the most recent period shown in the table, would have been 5.25% for Class I, 5.11% for Class II, 5.01% for Class III, 5.20% for Select Class, and 5.28% for Institutional Class.
 
 
Effective Maturity Diversification (% of Fund's Investments)
 
Days
 
1 - 7
49.4
 
8 - 30
14.5
 
31 - 60
14.5
 
61 - 90
9.6
 
91 - 180
11.7
 
> 180
0.3
 
 
Effective maturity is determined in accordance with the requirements of Rule 2a-7 under the Investment Company Act of 1940.
 
Asset Allocation (% of Fund's net assets)
Net Other Assets (Liabilities) - (1.0)%
 
Money Market Portfolio
Schedule of Investments March 31, 2024
Showing Percentage of Net Assets     
Certificate of Deposit - 7.5%
 
 
Yield (%)(a)
Principal
Amount (b)
(000s)
 
Value ($)
(000s)
 
Domestic Certificates Of Deposit - 0.2%
 
 
 
 
BMO Harris Bank NA
 
 
 
 
6/4/24 to 9/10/24
 
5.40 to 5.68
235,000
235,000
 
 
 
 
 
New York Branch, Yankee Dollar, Foreign Banks - 7.3%
 
 
 
 
Bank of Montreal
 
 
 
 
7/26/24 to 9/26/24
 
5.39 to 5.46
650,000
650,000
Bank of Nova Scotia
 
 
 
 
4/11/24 to 6/7/24 (c)
 
5.72 to 5.85
791,000
791,000
Canadian Imperial Bank of Commerce
 
 
 
 
9/6/24 to 9/9/24
 
5.38 to 5.38
216,000
216,000
Commonwealth Bank of Australia New York Branch
 
 
 
 
10/4/24 (c)(d)
 
5.52
66,000
66,000
KBC Bank NV
 
 
 
 
5/6/24 to 6/5/24
 
5.40 to 5.40
530,000
530,000
Landesbank Baden-Wuerttemberg New York Branch
 
 
 
 
4/1/24 to 4/3/24
 
5.38 to 5.38
789,000
789,000
Mitsubishi UFJ Trust & Banking Corp.
 
 
 
 
4/1/24 to 6/6/24 (c)
 
5.43 to 5.55
1,456,000
1,456,000
Mizuho Corporate Bank Ltd.
 
 
 
 
4/17/24 to 5/9/24 (c)
 
5.43 to 5.44
1,866,000
1,866,000
MUFG Bank Ltd.
 
 
 
 
4/16/24 to 7/25/24 (c)
 
5.42 to 5.48
1,829,000
1,829,000
Sumitomo Mitsui Banking Corp.
 
 
 
 
6/4/24 to 6/10/24 (c)(d)
 
5.45 to 5.45
529,000
529,000
Sumitomo Mitsui Trust Bank Ltd.
 
 
 
 
5/14/24 to 5/16/24
 
5.40 to 5.40
530,000
530,000
TOTAL NEW YORK BRANCH, YANKEE DOLLAR, FOREIGN BANKS
 
 
 
9,252,000
 
TOTAL CERTIFICATE OF DEPOSIT
 (Cost $9,487,000)
 
 
 
 
9,487,000
 
 
 
 
 
Financial Company Commercial Paper - 20.2%
 
 
Yield (%)(a)
Principal
Amount (b)
(000s)
 
Value ($)
(000s)
 
Australia & New Zealand Banking Group Ltd.
 
 
 
 
4/9/24 to 8/20/24
 
5.37 to 5.78
659,000
650,578
Bank of Montreal
 
 
 
 
4/5/24 to 8/27/24 (c)
 
5.41 to 5.81
1,528,000
1,508,720
Bank of Nova Scotia
 
 
 
 
8/26/24 to 10/21/24
 
5.38 to 5.45
922,000
898,330
Barclays Bank PLC/Barclays U.S. CCP Funding LLC
 
 
 
 
4/5/24 to 5/10/24 (e)
 
5.40 to 5.45
1,267,000
1,263,393
Bedford Row Funding Corp.
 
 
 
 
4/15/24 (c)(d)
 
5.68
80,000
80,000
4/8/24 (c)(d)
 
5.68
67,000
67,000
5/13/24 (c)(d)
 
5.69
119,000
119,000
Bedford Row Funding Corp. (Liquidity Facility Royal Bank of Canada)
 
 
 
 
 
 
 
 
 
 5/16/24
 
5.59
54,000
53,632
 5/16/24
 
5.59
53,000
52,639
 5/20/24
 
5.84
172,000
170,677
 5/23/24
 
5.85
79,000
78,354
 8/20/24
 
5.39
53,000
51,911
 9/10/24
 
5.41
67,000
65,411
 9/16/24
 
5.38
98,000
95,613
 9/19/24
 
5.46
132,000
128,671
 9/3/24
 
5.38
53,000
51,807
 9/6/24
 
5.39
54,000
52,756
BofA Securities, Inc.
 
 
 
 
7/8/24 to 8/1/24
 
5.41 to 5.46
1,322,000
1,300,999
BPCE SA
 
 
 
 
6/4/24 to 6/5/24
 
5.40 to 5.40
789,000
781,460
Canadian Imperial Bank of Commerce
 
 
 
 
9/5/24 to 9/20/24
 
5.38 to 5.45
1,185,000
1,156,078
Cisco Systems, Inc.
 
 
 
 
6/26/24 to 9/4/24
 
5.40 to 5.43
1,399,000
1,375,496
Commonwealth Bank of Australia
 
 
 
 
9/30/24 (c)(d)
 
5.52
106,000
106,000
DNB Bank ASA
 
 
 
 
4/5/24 to 8/16/24
 
5.37 to 5.84
1,284,000
1,275,751
Federation des caisses Desjardin
 
 
 
 
5/14/24 to 7/11/24
 
5.37 to 5.40
318,000
314,315
Landesbank Baden-Wurttemberg
 
 
 
 
4/1/24
 
5.35
3,316,000
3,316,000
Landesbank Hessen-Thuringen
 
 
 
 
4/1/24
 
5.33
239,000
239,000
Mitsubishi UFJ Trust & Banking Corp.
 
 
 
 
5/16/24 to 6/13/24
 
5.44 to 5.44
214,000
212,112
Mizuho Bank Ltd. Singapore Branch
 
 
 
 
4/4/24 to 6/3/24
 
5.41 to 5.49
846,000
841,229
National Australia Bank Ltd.
 
 
 
 
5/8/24 to 10/2/24 (c)(d)
 
5.49 to 5.68
1,238,000
1,238,000
National Bank of Canada
 
 
 
 
5/14/24 to 9/12/24
 
5.40 to 5.70
1,427,400
1,412,751
Podium Funding Trust (Liquidity Facility Bank of Montreal)
 
 
 
 
 
 
 
 
 
 4/18/24
 
5.84
53,000
52,858
 7/11/24
 
5.39
79,000
77,836
 8/12/24
 
5.40
39,000
38,242
 8/20/24
 
5.42
105,000
102,829
 8/23/24
 
5.42
25,000
24,473
 9/16/24
 
5.45
53,000
51,687
 9/3/24
 
5.40
19,000
18,570
Royal Bank of Canada
 
 
 
 
4/1/24 to 6/7/24 (c)
 
5.57 to 5.73
1,827,000
1,826,959
Sumitomo Mitsui Trust Bank Ltd.
 
 
 
 
5/8/24 to 6/21/24
 
5.40 to 5.43
2,640,000
2,616,108
The Toronto-Dominion Bank
 
 
 
 
5/7/24 to 10/28/24 (c)
 
5.40 to 5.54
1,903,000
1,888,857
Toyota Motor Credit Corp.
 
 
 
 
5/28/24
 
5.70
106,000
105,070
 
TOTAL FINANCIAL COMPANY COMMERCIAL PAPER
 (Cost $25,761,172)
 
 
 
25,761,172
 
 
 
 
 
Asset Backed Commercial Paper - 2.1%
 
 
Yield (%)(a)
Principal
Amount (b)
(000s)
 
Value ($)
(000s)
 
Atlantic Asset Securitization LLC (Liquidity Facility Credit Agricole CIB)
 
 
 
 
 
 
 
 
 
 5/21/24
 
5.41
12,000
11,911
 6/20/24
 
5.42
31,000
30,633
Cabot Trail Funding LLC (Liquidity Facility The Toronto-Dominion Bank)
 
 
 
 
 
 
 
 
 
 5/20/24
 
5.40
39,000
38,717
 6/21/24
 
5.39
65,000
64,225
 6/3/24
 
5.41
53,000
52,505
 7/11/24
 
5.40
23,000
22,659
Gotham Funding Corp. (Liquidity Facility Bank of Tokyo-Mitsubishi UFJ Ltd.)
 
 
 
 
 
 
 
 
 
 4/11/24
 
5.43
10,000
9,985
 4/12/24
 
5.43
27,000
26,956
 4/16/24
 
5.43
6,000
5,987
 4/16/24
 
5.43
100,000
99,777
 4/18/24
 
5.43
25,000
24,937
 5/10/24
 
5.41
27,000
26,844
 5/10/24
 
5.41
25,000
24,855
 5/13/24
 
5.42
80,000
79,501
 5/15/24
 
5.42
147,000
146,039
 5/16/24
 
5.42
67,000
66,552
 5/16/24
 
5.42
53,000
52,646
 5/17/24
 
5.41
41,000
40,720
 5/6/24
 
5.42
79,000
78,589
 5/6/24
 
5.42
42,000
41,782
 5/7/24
 
5.42
15,000
14,920
 5/9/24
 
5.41
27,000
26,848
 5/9/24
 
5.41
25,000
24,859
 6/24/24
 
5.45
108,000
106,644
Liberty Street Funding LLC (Liquidity Facility Bank of Nova Scotia)
 
 
 
 
 
 
 
 
 
 5/15/24
 
5.40
33,000
32,785
 5/23/24
 
5.42
25,000
24,807
 6/17/24
 
5.43
7,840
7,750
 6/20/24
 
5.43
66,000
65,214
 6/21/24
 
5.43
31,000
30,626
 6/21/24
 
5.43
75,000
74,095
 6/24/24
 
5.44
66,000
65,175
 6/26/24
 
5.45
65,000
64,165
 6/26/24
 
5.45
27,000
26,653
 6/26/24
 
5.45
27,000
26,653
 6/26/24
 
5.45
27,000
26,653
Manhattan Asset Funding Co. LLC (Liquidity Facility Sumitomo Mitsui Banking Corp.)
 
 
 
 
 
 
 
 
 
 5/15/24
 
5.40
25,000
24,837
 5/23/24
 
5.40
27,000
26,792
 5/23/24
 
5.40
36,000
35,723
 6/18/24
 
5.43
41,000
40,525
Versailles Com Paper LLC (Liquidity Facility Natexis Banques Populaires New York Branch)
 
 
 
 
 
 
 
 
 
 6/3/24
 
5.42
54,000
53,495
 6/5/24
 
5.41
107,000
105,970
Victory Receivables Corp. (Liquidity Facility Bank of Tokyo-Mitsubishi UFJ Ltd.)
 
 
 
 
 
 
 
 
 
 4/12/24
 
5.43
132,000
131,784
 4/12/24
 
5.43
25,000
24,959
 4/16/24
 
5.43
66,000
65,853
 4/19/24
 
5.44
6,000
5,984
 4/19/24
 
5.44
100,000
99,732
 4/19/24
 
5.44
50,000
49,866
 5/10/24
 
5.41
53,000
52,693
 5/10/24
 
5.42
35,000
34,797
 5/16/24
 
5.42
27,000
26,819
 5/17/24
 
5.42
106,000
105,275
 5/21/24
 
5.42
65,000
64,517
 5/24/24
 
5.42
13,000
12,898
 6/25/24
 
5.45
41,000
40,479
 7/1/24
 
5.46
54,000
53,266
 7/1/24
 
5.46
60,699
59,874
 7/2/24
 
5.46
35,000
34,519
 
TOTAL ASSET BACKED COMMERCIAL PAPER
 (Cost $2,714,324)
 
 
 
2,714,324
 
 
 
 
 
Non-Financial Company Commercial Paper - 0.5%
 
 
Yield (%)(a)
Principal
Amount (b)
(000s)
 
Value ($)
(000s)
 
UnitedHealth Group, Inc.
 
 
 
 
4/15/24
 
5.40 to 5.40
661,000
659,618
 
TOTAL NON-FINANCIAL COMPANY COMMERCIAL PAPER
 (Cost $659,618)
 
 
 
659,618
 
 
 
 
 
U.S. Treasury Debt - 30.2%
 
 
Yield (%)(a)
Principal
Amount (b)
(000s)
 
Value ($)
(000s)
 
U.S. Treasury Obligations - 30.2%
 
 
 
 
U.S. Treasury Bills
 
 
 
 
4/2/24 to 9/19/24
 
5.27 to 5.34
38,743,391
38,473,161
 
 
 
 
 
 
TOTAL U.S. TREASURY DEBT
 (Cost $38,473,161)
 
 
 
 
38,473,161
 
 
 
 
 
Non-Negotiable Time Deposit - 8.3%
 
 
Yield (%)(a)
Principal
Amount (b)
(000s)
 
Value ($)
(000s)
 
Time Deposits - 8.3%
 
 
 
 
Barclays Bank PLC
 
 
 
 
4/1/24
 
5.37
2,637,000
2,637,000
Credit Agricole CIB
 
 
 
 
4/1/24
 
5.33
187,400
187,400
DNB Bank ASA
 
 
 
 
4/1/24
 
5.32
2,693,000
2,693,000
Mizuho Bank Ltd. Canada Branch
 
 
 
 
4/1/24
 
5.33
2,653,000
2,653,000
Royal Bank of Canada
 
 
 
 
4/1/24 to 4/2/24
 
5.32 to 5.33
2,405,268
2,405,268
 
 
 
 
 
 
TOTAL NON-NEGOTIABLE TIME DEPOSIT
 (Cost $10,575,668)
 
 
 
 
10,575,668
 
 
 
 
 
U.S. Government Agency Repurchase Agreement - 13.3%
 
 
Maturity
Amount ($)
(000s)
 
Value ($)
(000s)
 
In a joint trading account at:
 
 
 
 5.32% dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations) #
 
87,673
87,621
 5.33% dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations) #
 
9,020,644
9,015,305
With:
 
 
 
 ABN AMRO Bank NV at 5.34%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Government Obligations valued at $194,935,674, 1.00% - 6.00%, 7/31/28 - 2/1/54)
 
191,113
191,000
 BMO Harris Bank NA at 5.34%, dated 2/1/24 due 4/1/24 (Collateralized by U.S. Government Obligations valued at $95,704,254, 3.00% - 8.00%, 6/20/40 - 3/20/64)
 
93,828
93,000
 BNP Paribas, SA at:
 
 
 
5.32%, dated 1/17/24 due 4/4/24 (Collateralized by U.S. Government Obligations valued at $127,882,384, 0.88% - 7.50%, 11/15/30 - 3/1/54)
 
 
125,668
124,000
5.36%, dated:
 
 
 
 
 3/11/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $323,962,898, 0.00% - 7.00%, 10/31/24 - 12/15/58) (c)(d)(f)
 
319,971
315,000
 3/13/24 due 4/4/24 (Collateralized by U.S. Government Obligations valued at $128,895,034, 0.00% - 6.00%, 11/15/30 - 3/1/54) (c)(d)(f)
 
127,970
126,000
 BofA Securities, Inc. at 5.34%, dated 2/1/24 due 4/1/24 (Collateralized by Mortgage Loan Obligations valued at $126,576,674, 0.38% - 7.00%, 12/31/25 - 3/20/54)
 
124,095
123,000
 CIBC Bank U.S.A. at:
 
 
 
5.32%, dated 2/15/24 due 4/2/24 (Collateralized by U.S. Government Obligations valued at $154,998,760, 2.00% - 7.00%, 1/31/28 - 3/1/54)
 
 
152,049
151,000
5.33%, dated:
 
 
 
 
 2/20/24 due 4/4/24 (Collateralized by U.S. Government Obligations valued at $34,875,114, 2.00% - 7.00%, 7/1/32 - 3/1/54)
 
34,292
34,000
 2/21/24 due 4/4/24 (Collateralized by U.S. Government Obligations valued at $64,612,020, 2.50% - 7.00%, 9/1/38 - 3/1/54)
 
63,532
63,000
 3/13/24 due 4/4/24 (Collateralized by U.S. Government Obligations valued at $308,769,028, 1.50% - 7.00%, 7/1/28 - 3/1/54)
 
303,295
302,000
 Citibank NA at 5.34%, dated 3/28/24 due 4/4/24 (Collateralized by U.S. Government Obligations valued at $195,869,050, 0.00% - 6.50%, 4/25/24 - 3/15/59)
 
192,199
192,000
 Citigroup Global Capital Markets, Inc. at 5.34%, dated:
 
 
 
3/4/24 due 4/4/24 (Collateralized by U.S. Government Obligations valued at $194,518,702, 0.00% - 7.50%, 6/30/28 - 1/20/53)
 
 
190,874
190,000
3/28/24 due 4/4/24 (Collateralized by U.S. Government Obligations valued at $292,783,451, 0.00% - 5.50%, 7/31/28 - 10/20/52)
 
 
287,298
287,000
 FICC State Street GC (Gov. Repo) at 5.34%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Government Obligations valued at $260,449,620, 0.38% - 7.50%, 1/31/26 - 12/1/53)
 
255,151
255,000
 Goldman Sachs & Co. at:
 
 
 
5.33%, dated:
 
 
 
 
 3/25/24 due 4/1/24 (Collateralized by U.S. Government Obligations valued at $389,022,765, 1.63% - 7.00%, 7/15/26 - 1/20/54)
 
381,395
381,000
 3/26/24 due 4/2/24 (Collateralized by U.S. Government Obligations valued at $845,310,251, 0.00% - 7.00%, 6/27/24 - 3/1/54)
 
828,858
828,000
 3/28/24 due:
 
 
 
 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $519,487,494, 0.00% - 7.50%, 4/23/24 - 7/15/57)
 
509,301
509,000
 4/4/24 (Collateralized by U.S. Government Obligations valued at $456,210,028, 0.00% - 7.00%, 6/1/25 - 3/1/54)
 
447,463
447,000
5.34%, dated 3/27/24 due 4/3/24 (Collateralized by U.S. Treasury Obligations valued at $1,425,996,831, 0.00% - 6.50%, 6/30/25 - 8/20/53)
 
 
1,398,451
1,397,000
 RBC Dominion Securities at 5.34%, dated 3/27/24 due 4/3/24 (Collateralized by U.S. Government Obligations valued at $259,277,732, 0.00% - 8.00%, 5/1/25 - 2/1/54)
 
254,264
254,000
 RBC Financial Group at 5.33%, dated 3/21/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $1,371,268,615, 0.00% - 7.50%, 4/9/24 - 3/20/54)
 
1,346,137
1,339,000
 TD Securities (U.S.A.) at 5.34%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Government Obligations valued at $220,352,681, 2.00% - 6.50%, 6/1/50 - 10/1/53)
 
216,128
216,000
 
TOTAL U.S. GOVERNMENT AGENCY REPURCHASE AGREEMENT
 (Cost $16,919,926)
 
 
16,919,926
 
 
 
 
U.S. Treasury Repurchase Agreement - 14.5%
 
 
Maturity
Amount ($)
(000s)
 
Value ($)
(000s)
 
With:
 
 
 
 ABN AMRO Bank NV at 5.33%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $175,543,912, 0.38% - 1.25%, 11/30/26 - 7/31/28)
 
172,102
172,000
 Barclays Bank PLC at:
 
 
 
5.32%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $351,952,018, 0.00% - 4.38%, 9/19/24 - 11/30/30)
 
 
345,204
345,000
5.33%, dated 3/21/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $408,483,335, 1.00% - 2.38%, 8/15/26 - 8/15/31)
 
 
402,487
400,000
 BMO Capital Markets Corp. at 5.32%, dated 3/27/24 due 4/3/24 (Collateralized by U.S. Treasury Obligations valued at $58,287,052, 0.00% - 4.88%, 8/8/24 - 2/15/54)
 
57,059
57,000
 BMO Harris Bank NA at:
 
 
 
5.31%, dated 3/25/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $57,179,060, 0.00% - 3.75%, 8/8/24 - 6/30/30)
 
 
56,058
56,000
5.32%, dated 3/28/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $58,174,465, 0.00% - 3.75%, 7/31/24 - 6/30/30)
 
 
57,059
57,000
 BNP Paribas, SA at:
 
 
 
5.36%, dated:
 
 
 
 
 2/29/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $585,361,974, 0.88% - 5.47%, 10/31/24 - 2/15/54) (c)(d)(f)
 
580,012
571,000
 3/1/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $466,239,099, 0.88% - 5.47%, 10/31/24 - 8/15/53) (c)(d)(f)
 
462,587
455,000
 3/8/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $174,045,084, 0.88% - 5.44%, 7/31/24 - 11/15/50) (c)(d)(f)
 
172,734
170,000
 3/11/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $814,142,144, 0.88% - 5.44%, 10/31/24 - 11/15/53) (c)(d)(f)
 
806,531
794,000
5.37%, dated:
 
 
 
 
 2/14/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $931,984,863, 0.00% - 5.47%, 4/18/24 - 2/15/54) (c)(d)(f)
 
920,316
904,000
 2/16/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $232,062,447, 0.50% - 5.50%, 10/31/24 - 11/15/53) (c)(d)(f)
 
230,113
226,000
 2/20/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $232,951,880, 0.38% - 5.50%, 7/31/24 - 2/15/54) (c)(d)(f)
 
231,233
227,000
 BofA Securities, Inc. at:
 
 
 
5.33%, dated 2/5/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $56,565,170, 0.38% - 4.38%, 12/31/25 - 2/15/44)
 
 
55,741
55,000
5.34%, dated 2/29/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $57,391,162, 0.38% - 4.75%, 12/31/25 - 11/15/43)
 
 
56,748
56,000
 CIBC Bank U.S.A. at 5.32%, dated:
 
 
 
3/21/24 due 4/4/24
 
 
 
 
 (Collateralized by U.S. Treasury Obligations valued at $75,569,320, 0.38% - 4.00%, 6/15/25 - 11/15/46)
 
74,273
74,000
 (Collateralized by U.S. Treasury Obligations valued at $116,417,607, 1.13% - 4.88%, 2/28/25 - 2/15/54)
 
114,236
114,000
3/27/24 due 4/4/24
 
 
 
 
 (Collateralized by U.S. Treasury Obligations valued at $40,812,085, 0.38% - 3.88%, 1/15/26 - 11/15/41)
 
40,213
40,000
 (Collateralized by U.S. Treasury Obligations valued at $76,526,232, 0.38% - 4.75%, 2/28/26 - 8/15/53)
 
75,366
75,000
 Credit AG at 5.32%, dated 3/25/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $87,771,875, 1.25%, 9/30/28)
 
86,394
86,000
 Federal Reserve Bank of New York at 5.3%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $2,378,399,826, 0.38% - 4.25%, 4/15/24 - 11/15/41)
 
2,378,400
2,377,000
 FICC ACAFB Repo Program at 5.33%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $356,943,012, 3.88% - 4.50%, 7/15/26 - 11/15/52)
 
345,204
345,000
 Ficc Citi Gc Repo (GOV REPO) at 5.33%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $117,317,402, 0.00% - 6.13%, 4/2/24 - 11/15/47)
 
115,068
115,000
 Ficc Nomura Gc Repo (GOV REPO) at 5.33%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $703,904,299, 0.00%, 4/2/24)
 
690,409
690,000
 Fixed Income Clearing Corp. - BNP at 5.34%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $762,392,239, 0.50% - 5.38%, 7/31/24 - 2/15/54)
 
747,443
747,000
 Fixed Income Clearing Corp. - BNYM at 5.32%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $1,297,440,067, 0.25% - 4.25%, 1/15/25 - 2/28/31)
 
1,272,752
1,272,000
 Fixed Income Clearing Corp. - SSB at:
 
 
 
5.31%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $351,956,819, 2.63% - 3.25%, 5/31/27 - 6/30/27)
 
 
345,204
345,000
5.32%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $2,931,643,334, 0.63% - 4.00%, 12/31/27 - 4/30/28)
 
 
2,875,699
2,874,000
5.35%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $233,580,079, 3.88% - 4.50%, 8/15/33 - 11/15/33)
 
 
229,136
229,000
 Fixed Income Clearing Corp.- Morgan Stanley & CO LLC at 5.34%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $175,504,968, 2.75%, 5/31/29)
 
172,102
172,000
 Goldman Sachs & Co. at 5.32%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $201,058,804, 0.00% - 3.38%, 4/23/24 - 5/15/33)
 
197,116
197,000
 HSBC Securities, Inc. at 5.34%, dated 3/27/24 due 4/3/24 (Collateralized by U.S. Treasury Obligations valued at $278,542,661, 0.00% - 6.38%, 3/20/25 - 8/15/40)
 
273,283
273,000
 ING Financial Markets LLC at 5.33%, dated 3/28/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $11,221,725, 0.00% - 3.50%, 5/16/24 - 8/15/49)
 
11,011
11,000
 Lloyds Bank Corp. Markets PLC at 5.35%, dated 3/28/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $239,070,118, 1.13% - 3.50%, 4/30/28 - 1/31/30)
 
234,243
234,000
 Mizuho Bank, Ltd. at 5.33%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $293,445,578, 1.63%, 5/15/31)
 
287,170
287,000
 MUFG Securities (Canada), Ltd. at 5.33%, dated 3/21/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $58,210,164, 0.25% - 6.50%, 7/31/24 - 2/15/54)
 
57,354
57,000
 MUFG Securities EMEA PLC at:
 
 
 
5.32%, dated 3/21/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $177,094,635, 0.75% - 4.00%, 4/30/26 - 11/15/43)
 
 
171,354
171,000
5.33%, dated 3/27/24 due 4/3/24 (Collateralized by U.S. Treasury Obligations valued at $234,973,213, 0.63% - 4.13%, 9/30/27 - 2/29/28)
 
 
230,238
230,000
5.34%, dated 3/28/24 due:
 
 
 
 
 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $147,026,737, 3.13% - 3.88%, 2/15/43)
 
144,085
144,000
 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $116,326,922, 0.75%, 3/31/26)
 
114,118
114,000
 Natixis SA at 5.33%, dated 3/21/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $232,886,093, 0.00% - 5.00%, 5/16/24 - 2/15/54)
 
229,317
228,000
 NatWest Markets Securities, Inc. at:
 
 
 
5.33%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $57,153,828, 3.13% - 3.88%, 8/15/25 - 11/15/43)
 
 
56,033
56,000
5.34%, dated 3/27/24 due 4/3/24 (Collateralized by U.S. Treasury Obligations valued at $285,813,069, 0.50% - 5.00%, 11/15/24 - 8/15/48)
 
 
280,291
280,000
 RBC Dominion Securities at:
 
 
 
5.33%, dated 3/21/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $468,482,123, 0.38% - 5.00%, 6/30/24 - 5/15/52)
 
 
460,848
458,000
5.34%, dated 3/27/24 due 4/3/24 (Collateralized by U.S. Treasury Obligations valued at $116,366,718, 0.00% - 4.63%, 8/29/24 - 5/15/46)
 
 
114,118
114,000
 SMBC Nikko Securities America, Inc. at 5.32%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $765,113,069, 0.00% - 7.63%, 4/23/24 - 11/15/43)
 
750,443
750,000
 Societe Generale at 5.33%, dated:
 
 
 
3/26/24 due 4/2/24
 
 
 
 
 (Collateralized by U.S. Treasury Obligations valued at $150,446,828, 3.00%, 11/15/44 - 8/15/52)
 
146,151
146,000
 (Collateralized by U.S. Treasury Obligations valued at $233,683,787, 1.25% - 4.63%, 5/31/28 - 2/15/40)
 
229,237
229,000
3/28/24 due 4/4/24 (Collateralized by U.S. Treasury Obligations valued at $235,310,314, 0.88% - 3.88%, 11/15/30 - 5/15/49)
 
 
230,238
230,000
 TD Securities (U.S.A.) at 5.33%, dated 3/28/24 due 4/1/24 (Collateralized by U.S. Treasury Obligations valued at $218,312,418, 0.38% - 4.63%, 11/30/24 - 9/15/26)
 
214,127
214,000
 
TOTAL U.S. TREASURY REPURCHASE AGREEMENT
 (Cost $18,523,000)
 
 
18,523,000
 
 
 
 
Other Repurchase Agreement - 4.4%
 
 
Maturity
Amount ($)
(000s)
 
Value ($)
(000s)
 
Other Repurchase Agreement - 4.4%
 
 
 
With:
 
 
 
 BMO Capital Markets Corp. at:
 
 
 
5.46%, dated 3/28/24 due 4/1/24 (Collateralized by Corporate Obligations valued at $56,708,935, 1.81% - 7.00%, 3/15/25 - 6/1/50)
 
 
54,033
54,000
5.52%, dated 3/28/24 due 4/1/24 (Collateralized by Corporate Obligations valued at $58,065,713, 2.96% - 8.00%, 9/15/24 - 9/12/47)
 
 
54,033
54,000
 BNP Paribas Prime Brokerage, Inc. at 5.57%, dated 3/28/24 due 4/1/24 (Collateralized by Equity Securities valued at $405,572,743)
 
375,232
375,000
 HSBC Securities, Inc. at 5.55%, dated 3/28/24 due 4/1/24 (Collateralized by Corporate Obligations valued at $29,164,354, 0.00% - 12.75%, 1/23/25 - 12/1/61)
 
27,017
27,000
 ING Financial Markets LLC at 5.55%, dated 3/28/24 due 4/1/24 (Collateralized by Equity Securities valued at $231,155,656)
 
214,132
214,000
 J.P. Morgan Securities, LLC at:
 
 
 
5.54%, dated 2/8/24 due 4/4/24 (Collateralized by Corporate Obligations valued at $291,665,418, 0.00% - 13.38%, 8/8/24 - 6/3/47) (c)(d)(f)
 
 
271,760
268,000
5.77%, dated:
 
 
 
 
3/15/24 due 6/26/24 (Collateralized by Equity Securities valued at $581,261,368) (c)(d)(f)
 
 
547,260
537,000
3/26/24 due 6/26/24 (Collateralized by Equity Securities valued at $578,077,827) (c)(d)(f)
 
 
544,277
535,000
5.82%, dated 3/11/24 due 6/26/24 (Collateralized by Corporate Obligations valued at $752,872,009, 0.00% - 7.75%, 6/15/24 - 6/1/42) (c)(d)(f)
 
 
710,545
697,000
5.84%, dated 3/11/24 due 6/26/24 (Collateralized by Corporate Obligations valued at $423,332,416, 0.10% - 9.41%, 11/21/25 - 10/25/66) (c)(d)(f)
 
 
409,839
402,000
 Mitsubishi UFJ Securities (U.S.A.), Inc. at:
 
 
 
5.55%, dated 3/28/24 due 4/1/24 (Collateralized by Equity Securities valued at $72,371,163)
 
 
67,041
67,000
5.84%, dated 3/28/24 due 4/1/24 (Collateralized by Equity Securities valued at $10,771,758)
 
 
10,006
10,000
 Mizuho Securities U.S.A., Inc. at:
 
 
 
5.59%, dated 3/28/24 due 4/1/24 (Collateralized by Equity Securities valued at $104,776,291)
 
 
97,060
97,000
5.82%, dated 3/11/24 due 5/10/24 (Collateralized by Corporate Obligations valued at $367,557,480, 1.00% - 11.08%, 4/15/27 - 12/31/79) (c)(d)(f)
 
 
352,391
349,000
 Morgan Stanley & Co., Inc. at:
 
 
 
5.77%, dated:
 
 
 
 
3/8/24 due 5/8/24 (Collateralized by U.S. Treasury Obligations valued at $274,326,486, 0.00% - 7.25%, 5/23/24 - 2/15/44) (c)(d)(f)
 
 
269,162
268,000
3/15/24 due 5/14/24 (Collateralized by U.S. Treasury Obligations valued at $411,211,205, 0.00% - 7.25%, 6/13/24 - 1/1/49) (c)(d)(f)
 
 
403,291
402,000
5.82%, dated 3/8/24 due 5/8/24 (Collateralized by U.S. Treasury Obligations valued at $274,334,782, 0.00% - 12.88%, 4/30/24 - 11/15/43) (c)(d)(f)
 
 
269,172
268,000
 NatWest Markets Securities, Inc. at 5.57%, dated 3/28/24 due 4/1/24 (Collateralized by Corporate Obligations valued at $56,734,343, 1.20% - 6.26%, 7/8/24 - 2/15/54)
 
54,033
54,000
 RBC Capital Markets Co. at 5.82%, dated 3/13/24 due 5/13/24 (Collateralized by Corporate Obligations valued at $112,640,613, 1.16% - 11.23%, 11/16/26 - 1/15/53) (c)(d)(f)
 
108,057
107,000
 Td Securities (U.S.A.) (NON GOV) at 5.47%, dated 3/28/24 due 4/1/24 (Collateralized by Corporate Obligations valued at $281,442,888, 2.60% - 8.40%, 6/10/24 - 4/1/64)
 
268,163
268,000
 Wells Fargo Securities, LLC at:
 
 
 
5.48%, dated 3/28/24 due 4/1/24 (Collateralized by Commercial Paper valued at $301,711,015, 0.00% - 7.50%, 4/3/24 - 1/25/34)
 
 
294,179
294,000
5.78%, dated 3/15/24 due 6/12/24 (Collateralized by Corporate Obligations valued at $168,496,777, 0.00% - 8.13%, 4/4/24 - 8/15/62) (c)(d)(f)
 
 
163,301
161,000
5.87%, dated 1/19/24 due 4/18/24 (Collateralized by Corporate Obligations valued at $59,013,394, 0.00% - 7.00%, 4/1/24 - 02/15/32)
 
 
54,792
54,000
 
TOTAL OTHER REPURCHASE AGREEMENT
 (Cost $5,562,000)
 
 
 
5,562,000
 
 
 
 
 
TOTAL INVESTMENT IN SECURITIES - 101.0%
 (Cost $128,675,869)
 
 
 
128,675,869
NET OTHER ASSETS (LIABILITIES) - (1.0)%  
(1,276,781)
NET ASSETS - 100.0%
127,399,088
 
 
 
 
 
The date shown for securities represents the date when principal payments must be paid, taking into account any call options exercised by the issuer and any permissible maturity shortening features other than interest rate resets.
 
Any values shown as $0 in the Schedule of Investments may reflect amounts less than $500.
 
Legend
 
(a)
Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.
 
(b)
Amount is stated in United States dollars unless otherwise noted.
 
(c)
Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
 
(d)
Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
 
(e)
Security exempt from registration under Rule 144A of the Securities Act of 1933.  These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $1,263,393,000 or 1.0% of net assets.
 
(f)
The maturity amount is based on the rate at period end.
 
 
 
Investment Valuation
 
All investments are categorized as Level 2 under the Fair Value Hierarchy. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in these securities. For more information on valuation inputs, refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
 
 
Other Information
# Additional information on each counterparty to the repurchase agreement is as follows:
Repurchase Agreement / Counterparty
Value ($)
 
(000's)
 
$87,621,000 due 4/01/24 at 5.32%
 
 
Citigroup Global Markets, Inc.
569
 
Credit Agricole CIB New York Branch
23,364
 
HSBC Securities (USA), Inc.
103
 
ING Financial Markets LLC
16,609
 
JP Morgan Securities LLC
43,550
 
Mitsubishi UFJ Securities Holdings Ltd
524
 
Mizuho Securities USA, Inc.
420
 
Nomura Securities International
797
 
RBC Dominion Securities, Inc.
1,685
 
 
87,621
 
$9,015,305,000 due 4/01/24 at 5.33%
 
 
BNY Mellon Capital Markets LLC
159,779
 
Bank of America, N.A.
458,683
 
Bank of Nova Scotia
135,283
 
BofA Securities, Inc.
8,046
 
Citigroup Global Markets, Inc.
640,283
 
Credit Agricole CIB New York Branch
467,868
 
HSBC Securities (USA), Inc.
395,551
 
ING Financial Markets LLC
191,387
 
JP Morgan Securities LLC
686,828
 
Mitsubishi UFJ Securities Holdings Ltd
293,048
 
Mizuho Securities USA, Inc.
318,530
 
Nomura Securities International
543,641
 
RBC Dominion Securities, Inc.
1,657,924
 
Royal Bank of Canada
91,952
 
Societe Generale
123,561
 
Sumitomo Mitsui Banking Corp.
2,258,750
 
Sumitomo Mitsui Banking Corp. NY
329,367
 
Wells Fargo Securities LLC
254,824
 
 
9,015,305
 
Money Market Portfolio
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts)
 
 
 
March 31, 2024
 
 
 
 
 
Assets
 
 
 
 
Investment in securities, at value (including repurchase agreements of $41,004,926) - See accompanying schedule
 
Unaffiliated issuers (cost $128,675,869):
 
 
 
$
128,675,869
Cash
 
 
627,588
Receivable for fund shares sold
 
 
364,926
Interest receivable
 
 
146,384
Receivable for interfund loans
 
 
71,604
Prepaid expenses
 
 
46
Receivable from investment adviser for expense reductions
 
 
3,250
Other affiliated receivables
 
 
11
Other receivables
 
 
1,093
  Total assets
 
 
129,890,771
Liabilities
 
 
 
 
Payable for investments purchased
$
2,201,604
 
 
Payable for fund shares redeemed
264,466
 
 
Distributions payable
256
 
 
Accrued management fee
14,707
 
 
Distribution and service plan fees payable
17
 
 
Other affiliated payables
4,821
 
 
Other payables and accrued expenses
5,812
 
 
  Total liabilities
 
 
 
2,491,683
Net Assets  
 
 
$
127,399,088
Net Assets consist of:
 
 
 
 
Paid in capital
 
 
$
127,398,604
Total accumulated earnings (loss)
 
 
 
484
Net Assets
 
 
$
127,399,088
 
 
 
 
 
Net Asset Value and Maximum Offering Price
 
 
 
 
Class I :
 
 
 
 
Net Asset Value, offering price and redemption price per share ($55,980,005 ÷ 55,972,182 shares)
 
 
$
1.00
Class II :
 
 
 
 
Net Asset Value, offering price and redemption price per share ($85,590 ÷ 85,585 shares)
 
 
$
1.00
Class III :
 
 
 
 
Net Asset Value, offering price and redemption price per share ($18,091 ÷ 18,097 shares)
 
 
$
1.00
Select Class :
 
 
 
 
Net Asset Value, offering price and redemption price per share ($52,831 ÷ 52,827 shares)
 
 
$
1.00
Institutional Class :
 
 
 
 
Net Asset Value, offering price and redemption price per share ($71,262,571 ÷ 71,248,757 shares)
 
 
$
1.00
Statement of Operations
Amounts in thousands
 
 
 
Year ended
March 31, 2024
Investment Income
 
 
 
 
Interest (including $2,071 from affiliated interfund lending)
 
 
$
6,023,475
Expenses
 
 
 
 
Management fee
$
156,255
 
 
Transfer agent fees
48,183
 
 
Distribution and service plan fees
204
 
 
Accounting fees and expenses
3,080
 
 
Custodian fees and expenses
487
 
 
Independent trustees' fees and expenses
349
 
 
Registration fees
6,803
 
 
Audit
55
 
 
Legal
67
 
 
Miscellaneous
696
 
 
 Total expenses before reductions
 
216,179
 
 
 Expense reductions
 
(39,421)
 
 
 Total expenses after reductions
 
 
 
176,758
Net Investment income (loss)
 
 
 
5,846,717
Realized and Unrealized Gain (Loss)
 
 
 
 
Net realized gain (loss) on:
 
 
 
 
 Investment Securities:
 
 
 
 
   Unaffiliated issuers  
 
(16)
 
 
Total net realized gain (loss)
 
 
 
(16)
Net increase in net assets resulting from operations
 
 
$
5,846,701
Statement of Changes in Net Assets
 
Amount in thousands
 
Year ended
March 31, 2024
 
Year ended
March 31, 2023
Increase (Decrease) in Net Assets
 
 
 
 
Operations
 
 
 
Net investment income (loss)
$
5,846,717
$
2,148,507
Net realized gain (loss)
 
(16)
 
 
6
 
  Net increase in net assets resulting from operations
 
5,846,701
 
 
2,148,513
 
Distributions to shareholders
 
(5,846,436)
 
 
(2,148,294)
 
 
 
 
 
 
Share transactions - net increase (decrease)
 
29,869,128
 
 
58,562,981
 
Total increase (decrease) in net assets
 
29,869,393
 
 
58,563,200
 
 
 
 
 
 
Net Assets
 
 
 
 
Beginning of period
 
97,529,695
 
38,966,495
 
End of period
$
127,399,088
$
97,529,695
 
 
 
 
 
 
 
 
 
 
 
Financial Highlights
 
Money Market Portfolio Class I
 
Years ended March 31,
 
2024  
 
2023 
 
2022  
 
2021 
 
2020 
  Selected Per-Share Data 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) A
 
.052
 
.028
 
- B
 
.002
 
.020
     Net realized and unrealized gain (loss) B
 
-
 
-
 
-
 
-
 
-
  Total from investment operations
 
.052  
 
.028  
 
- B 
 
.002  
 
.020
  Distributions from net investment income
 
(.052)
 
(.028)
 
- B
 
(.002)
 
(.020)
     Total distributions
 
(.052)
 
(.028)
 
- B
 
(.002)
 
(.020)
  Net asset value, end of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
 Total Return C
 
5.33
%
 
 
2.81%
 
.02%
 
.15%
 
2.01%
 Ratios to Average Net Assets A,D,E
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.21%
 
.21%
 
.21%
 
.21%
 
.21%
    Expenses net of fee waivers, if any
 
.18
%
 
 
.18%
 
.16%
 
.18%
 
.18%
    Expenses net of all reductions
 
.18%
 
.18%
 
.16%
 
.18%
 
.18%
    Net investment income (loss)
 
5.22%
 
3.25%
 
.02%
 
.16%
 
1.96%
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (in millions)
$
55,980  
$
42,432
$
16,745
$
21,937
$
25,801
 
ANet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
BAmount represents less than $.0005 per share.
 
CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
DFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses.
 
EExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
 
Money Market Portfolio Class II
 
Years ended March 31,
 
2024  
 
2023 
 
2022  
 
2021 
 
2020 
  Selected Per-Share Data 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) A
 
.051
 
.026
 
- B
 
.001
 
.018
     Net realized and unrealized gain (loss) B
 
-
 
-
 
-
 
-
 
-
  Total from investment operations
 
.051  
 
.026  
 
- B 
 
.001  
 
.018
  Distributions from net investment income
 
(.051)
 
(.026)
 
- B
 
(.001)
 
(.018)
     Total distributions
 
(.051)
 
(.026)
 
- B
 
(.001)
 
(.018)
  Net asset value, end of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
 Total Return C
 
5.18
%
 
 
2.65%
 
.01%
 
.09%
 
1.86%
 Ratios to Average Net Assets A,D,E
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.36%
 
.36%
 
.36%
 
.36%
 
.36%
    Expenses net of fee waivers, if any
 
.33
%
 
 
.33%
 
.16%
 
.26%
 
.33%
    Expenses net of all reductions
 
.33%
 
.33%
 
.16%
 
.26%
 
.33%
    Net investment income (loss)
 
5.07%
 
3.10%
 
.01%
 
.08%
 
1.81%
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (in millions)
$
86  
$
81
$
90
$
179
$
394
 
ANet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
BAmount represents less than $.0005 per share.
 
CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
DFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses.
 
EExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
 
Money Market Portfolio Class III
 
Years ended March 31,
 
2024  
 
2023 
 
2022  
 
2021 
 
2020 
  Selected Per-Share Data 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) A
 
.050
 
.025
 
- B
 
.001
 
.017
     Net realized and unrealized gain (loss) B
 
-
 
-
 
-
 
-
 
-
  Total from investment operations
 
.050  
 
.025  
 
- B 
 
.001  
 
.017
  Distributions from net investment income
 
(.050)
 
(.025)
 
- B
 
(.001)
 
(.017)
     Total distributions
 
(.050)
 
(.025)
 
- B
 
(.001)
 
(.017)
  Net asset value, end of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
 Total Return C
 
5.07
%
 
 
2.55%
 
.01%
 
.06%
 
1.76%
 Ratios to Average Net Assets A,D,E
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.46%
 
.46%
 
.46%
 
.46%
 
.46%
    Expenses net of fee waivers, if any
 
.43
%
 
 
.43%
 
.17%
 
.27%
 
.43%
    Expenses net of all reductions
 
.43%
 
.43%
 
.17%
 
.27%
 
.43%
    Net investment income (loss)
 
4.97%
 
3.00%
 
.01%
 
.07%
 
1.71%
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (in millions)
$
18  
$
31
$
9
$
13
$
13
 
ANet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
BAmount represents less than $.0005 per share.
 
CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
DFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses.
 
EExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
 
Money Market Portfolio Select Class
 
Years ended March 31,
 
2024  
 
2023 
 
2022  
 
2021 
 
2020 
  Selected Per-Share Data 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) A
 
.052
 
.027
 
- B
 
.001
 
.019
     Net realized and unrealized gain (loss) B
 
-
 
-
 
-
 
-
 
-
  Total from investment operations
 
.052  
 
.027  
 
- B 
 
.001  
 
.019
  Distributions from net investment income
 
(.052)
 
(.027)
 
- B
 
(.001)
 
(.019)
     Total distributions
 
(.052)
 
(.027)
 
- B
 
(.001)
 
(.019)
  Net asset value, end of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
 Total Return C
 
5.28
%
 
 
2.76%
 
.02%
 
.12%
 
1.96%
 Ratios to Average Net Assets A,D,E
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.26%
 
.26%
 
.26%
 
.26%
 
.26%
    Expenses net of fee waivers, if any
 
.23
%
 
 
.23%
 
.16%
 
.21%
 
.23%
    Expenses net of all reductions
 
.23%
 
.23%
 
.16%
 
.21%
 
.23%
    Net investment income (loss)
 
5.17%
 
3.20%
 
.02%
 
.13%
 
1.91%
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (in millions)
$
53  
$
40
$
15
$
26
$
59
 
ANet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
BAmount represents less than $.0005 per share.
 
CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
DFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses.
 
EExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
 
Money Market Portfolio Institutional Class
 
Years ended March 31,
 
2024  
 
2023 
 
2022  
 
2021 
 
2020 
  Selected Per-Share Data 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) A
 
.052
 
.028
 
- B
 
.002
 
.020
     Net realized and unrealized gain (loss) B
 
-
 
-
 
-
 
-
 
-
  Total from investment operations
 
.052  
 
.028  
 
- B 
 
.002  
 
.020
  Distributions from net investment income
 
(.052)
 
(.028)
 
- B
 
(.002)
 
(.020)
     Total distributions
 
(.052)
 
(.028)
 
- B
 
(.002)
 
(.020)
  Net asset value, end of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
 Total Return C
 
5.38
%
 
 
2.85%
 
.04%
 
.19%
 
2.05%
 Ratios to Average Net Assets A,D,E
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.18%
 
.18%
 
.18%
 
.18%
 
.18%
    Expenses net of fee waivers, if any
 
.14
%
 
 
.14%
 
.14%
 
.14%
 
.14%
    Expenses net of all reductions
 
.14%
 
.14%
 
.14%
 
.14%
 
.14%
    Net investment income (loss)
 
5.26%
 
3.29%
 
.04%
 
.20%
 
2.00%
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (in millions)
$
71,263  
$
54,946
$
22,108
$
28,837
$
35,852
 
ANet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
BAmount represents less than $.0005 per share.
 
CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
DFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses.
 
EExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
 
Tax-Exempt Portfolio
Investment Summary/Performance March 31, 2024 (Unaudited)
Current 7-Day Yields
 
 
 
Class I
3.36%
 
Class II
3.21%
 
Class III
3.11%
 
Select Class
3.31%
 
 
 
 
Yield refers to the income paid by the Fund over a given period. Yield for money market funds is usually for seven-day periods, as it is here, though it is expressed as an annual percentage rate. Past performance is no guarantee of future results. Yield will vary and it's possible to lose money investing in the Fund. A portion of the Fund's expenses was reimbursed and/or waived. Absent such reimbursements and/or waivers the yield for the period ending March 31, 2024, the most recent period shown in the table, would have been 3.31% for Class I, 3.16% for Class II, 3.06% for Class III, and 3.26% for Select Class.
 
 
Effective Maturity Diversification (% of Fund's Investments)
 
Days
 
1 - 7
82.3
 
8 - 30
2.0
 
31 - 60
3.0
 
61 - 90
5.3
 
91 - 180
5.0
 
> 180
2.4
 
 
Effective maturity is determined in accordance with the requirements of Rule 2a-7 under the Investment Company Act of 1940.
 
Asset Allocation (% of Fund's net assets)
 
Tax-Exempt Portfolio
Schedule of Investments March 31, 2024
Showing Percentage of Net Assets     
Variable Rate Demand Note - 48.8%
 
 
Principal
Amount (a)
(000s)
 
Value ($)
(000s)
 
Alabama - 0.7%
 
 
 
Mobile Downtown Redev. Auth. Gulf Opportunity Zone:
 
 
 
 Series 2011 A, 3.44% 4/4/24, LOC Bank of America NA, VRDN (b)(c)
 
17,860
17,860
 Series 2011 B, 3.44% 4/4/24, LOC Bank of America NA, VRDN (b)(c)
 
39,870
39,870
TOTAL ALABAMA
 
 
57,730
Alaska - 0.4%
 
 
 
Valdez Marine Term. Rev. (Phillips Trans. Alaska, Inc. Proj.) Series 1994 B, 3.75% 4/4/24 (ConocoPhillips Co. Guaranteed), VRDN (c)
 
35,250
35,250
Arizona - 0.8%
 
 
 
Maricopa County Poll. Cont. Rev.:
 
 
 
 (Arizona Pub. Svc. Co. Palo Verde Proj.) Series 2009 A, 3.65% 4/4/24, VRDN (c)
 
13,900
13,900
 Series 2009 B, 3.65% 4/4/24, VRDN (c)
 
14,500
14,500
Maricopa County Rev. Series 2023 B, 3.45% 4/4/24, VRDN (c)
 
43,840
43,840
TOTAL ARIZONA
 
 
72,240
Colorado - 1.4%
 
 
 
Colorado Edl. & Cultural Facilities Auth. Rev. (Clyfford Still Museum Proj.) Series 2008, 3.6% 4/4/24, LOC Wells Fargo Bank NA, VRDN (c)
 
690
690
Colorado Health Facilities Auth. Rev. Bonds:
 
 
 
 Series 2020 B, 3.5% 4/4/24, LOC The Toronto-Dominion Bank, VRDN (c)
 
15,260
15,260
 Series 2022 F, 3.4% 4/4/24, VRDN (c)
 
75,300
75,300
Colorado Univ. Co. Hosp. Auth. Rev.:
 
 
 
 Series 2017 B1, 3.65% 4/4/24, VRDN (c)
 
17,815
17,815
 Series 2017 B2, 3.4% 4/4/24, VRDN (c)
 
2,530
2,530
 Series 2018 B, 3.65% 4/4/24, VRDN (c)
 
3,000
3,000
Mesa County Econ. Dev. Rev. (Leitner-Poma of America, Inc. Proj.) Series 2009, 3.6% 4/4/24, LOC Wells Fargo Bank NA, VRDN (c)
 
2,685
2,685
TOTAL COLORADO
 
 
117,280
Connecticut - 2.8%
 
 
 
Connecticut Gen. Oblig. Series 2016 C, 3.51% 4/4/24 (Liquidity Facility Bank of America NA), VRDN (c)
 
101,125
101,125
Connecticut Health & Edl. Facilities Auth. Rev.:
 
 
 
 (Gaylord Hosp. Proj.) Series B, 3.4% 4/4/24, LOC Bank of America NA, VRDN (c)
 
7,500
7,500
 Series 2013 O, 3.45% 4/4/24, VRDN (c)
 
35,460
35,460
 Series 2014 C, 3.45% 4/4/24, VRDN (c)
 
10,315
10,315
Connecticut Hsg. Fin. Auth.:
 
 
 
 (Hsg. Mtg. Fin. Prog.) Series 2018 C, 3.45% 4/4/24 (Liquidity Facility TD Banknorth, NA), VRDN (c)
 
4,085
4,085
 (Mtg. Fin. Prog.) Series C3, 3.42% 4/4/24 (Liquidity Facility Royal Bank of Canada), VRDN (c)
 
13,335
13,335
 Series 2012 C2, 3.45% 4/4/24 (Liquidity Facility Sumitomo Mitsui Banking Corp.), VRDN (c)
 
5,300
5,300
 Series 2013 B6, 3.45% 4/4/24 (Liquidity Facility Sumitomo Mitsui Banking Corp.), VRDN (c)
 
12,400
12,400
 Series 2018 A3, 3.43% 4/4/24 (Liquidity Facility Bank of America NA), VRDN (c)
 
2,100
2,100
 Series 2018 E2, 3.43% 4/4/24 (Liquidity Facility Bank of America NA), VRDN (c)
 
28,925
28,925
 Series 2022 E2, 3.43% 4/4/24 (Liquidity Facility Sumitomo Mitsui Banking Corp.), VRDN (c)
 
7,900
7,900
Connecticut Innovations, Inc. Rev. (ISO New England, Inc. Proj.) Series 2012, 3.45% 4/4/24, LOC TD Banknorth, NA, VRDN (c)
 
13,380
13,380
TOTAL CONNECTICUT
 
 
241,825
Delaware - 0.3%
 
 
 
Delaware Econ. Dev. Auth. Rev. (Delmarva Pwr. & Lt. Co. Proj.):
 
 
 
 Series 1993 C, 3.84% 4/4/24, VRDN (c)
 
9,500
9,500
 Series 1999 A, 3.95% 4/4/24, VRDN (c)
 
18,830
18,830
TOTAL DELAWARE
 
 
28,330
District Of Columbia - 0.2%
 
 
 
District of Columbia Rev.:
 
 
 
 (The AARP Foundation Proj.) Series 2004, 3.52% 4/4/24, LOC Bank of America NA, VRDN (c)
 
15,315
15,315
 (The Pew Charitable Trust Proj.) Series 2008 A, 3.45% 4/4/24, LOC PNC Bank NA, VRDN (c)
 
3,595
3,595
TOTAL DISTRICT OF COLUMBIA
 
 
18,910
Florida - 2.1%
 
 
 
Escambia County Solid Waste Disp. Rev. (Gulf Pwr. Co. Proj.) Series 2009, 3.8% 4/4/24, VRDN (c)
 
10,000
10,000
Highlands County Health Facilities Auth. Rev.:
 
 
 
 (Adventist Health Sys./Sunbelt, Inc. Prog.) Series 2007 A1, 3.4% 4/4/24, VRDN (c)
 
23,260
23,260
 Series 2021 D:
 
 
 
3.42% 4/4/24, VRDN (c)
 
 
28,450
28,450
3.5% 4/4/24, VRDN (c)
 
 
50,550
50,550
Jacksonville Poll. Cont. Rev. (Florida Pwr. & Lt. Co. Proj.) Series 1995, 3.83% 4/4/24, VRDN (c)
 
16,400
16,400
Martin County Rev. (Florida Pwr. & Lt. Co. Proj.) Series 2022, 3.55% 4/4/24, VRDN (c)
 
27,300
27,300
Mississippi Bus. Fin. Corp. Poll. Cont. Rev. (Gulf Pwr. Co. Proj.) Series 2014, 3.83% 4/4/24, VRDN (c)
 
6,000
6,000
Orange County Health Facilities Auth. Rev. (Orlando Reg'l. Health Care Sys. Proj.) Series 2008 E, 3.65% 4/4/24, LOC TD Banknorth, NA, VRDN (c)
 
6,000
6,000
Palm Beach County Rev. (Raymond F. Kravis Ctr. Proj.) Series 2002, 3.53% 4/4/24, LOC Northern Trust Co., VRDN (c)
 
14,235
14,235
Pinellas County Health Facilities Auth. Rev. (Suncoast Hospice Proj.) Series 2004, 3.55% 4/4/24, LOC Wells Fargo Bank NA, VRDN (c)
 
975
975
TOTAL FLORIDA
 
 
183,170
Georgia - 1.5%
 
 
 
Burke County Indl. Dev. Auth. Poll. Cont. Rev. (Georgia Pwr. Co. Plant Vogtle Proj.):
 
 
 
 First Series 2009, 4.2% 3/29/24, VRDN (c)
 
20,760
20,760
 Series 2018, 4.45% 3/29/24, VRDN (c)
 
14,490
14,490
Coweta County Dev. Auth. Poll. Cont. Rev. (Georgia Pwr. Co. Plant Yates Proj.) Series 2006, 4.35% 3/29/24, VRDN (c)
 
8,000
8,000
Effingham County Indl. Dev. Auth. Poll Cont. Series 2003, 4.36% 3/29/24, VRDN (c)
 
13,700
13,700
Georgia Muni. Elec. Auth. Pwr. Rev. (Proj. One) Series 2008 B, 3.7% 4/4/24, LOC PNC Bank NA, VRDN (c)
 
4,805
4,805
Monroe County Dev. Auth. Poll. Cont. Rev.:
 
 
 
 (Georgia Pwr. Co. Plant Scherer Proj.):
 
 
 
Series 1997, 4.35% 3/29/24, VRDN (c)
 
 
9,300
9,300
Series 2008, 4.35% 3/29/24, VRDN (c)
 
 
44,600
44,600
 (Gulf Pwr. Co. Plant Scherer Proj.) Series 2010, 3.6% 4/4/24, VRDN (c)
 
3,500
3,500
 Series 2002 V1, 3.55% 4/4/24, VRDN (c)
 
5,600
5,600
TOTAL GEORGIA
 
 
124,755
Hawaii - 0.1%
 
 
 
FHLMC Hawaii State Hsg. Fin. & Dev. Corp. Rev. (Lokahi Kau Apts. Proj.) Series 2008, 3.43% 4/4/24, LOC Freddie Mac, VRDN (c)
 
6,240
6,240
Illinois - 2.1%
 
 
 
Illinois Dev. Fin. Auth. Rev. (Glenwood School for Boys Proj.) Series 1998, 3.68% 4/4/24, LOC Northern Trust Co., VRDN (c)
 
4,600
4,600
Illinois Fin. Auth.:
 
 
 
 Series 2021 C, 3.65% 4/4/24, LOC Barclays Bank PLC, VRDN (c)
 
13,350
13,350
 Series 2021 D, 3.55% 4/4/24, VRDN (c)
 
48,300
48,300
Illinois Fin. Auth. Rev.:
 
 
 
 (Chicago Symphony Orchestra Proj.) Series 2008, 3.45% 4/4/24, LOC PNC Bank NA, VRDN (c)
 
15,100
15,100
 (Little Co. of Mary Hosp. Proj.):
 
 
 
Series 2008 A, 3.45% 4/4/24, LOC TD Banknorth, NA, VRDN (c)
 
 
23,450
23,450
Series 2008 B, 3.45% 4/4/24, LOC TD Banknorth, NA, VRDN (c)
 
 
15,425
15,425
 (Richard H. Driehaus Museum Proj.) Series 2005, 3.75% 4/4/24, LOC Northern Trust Co., VRDN (c)
 
3,800
3,800
 Series 2009 E2, 3.47% 4/4/24, LOC Sumitomo Mitsui Banking Corp., VRDN (c)
 
5,000
5,000
 Series 2011 B, 3.45% 4/4/24, LOC Sumitomo Mitsui Banking Corp., VRDN (c)
 
24,260
24,260
FHLMC Lake County Multi-family Hsg. Rev. (Whispering Oaks Apts. Proj.) Series 2008, 3.44% 4/4/24, LOC Freddie Mac, VRDN (c)
 
25,750
25,750
TOTAL ILLINOIS
 
 
179,035
Indiana - 2.8%
 
 
 
Indiana Dev. Fin. Auth. Econ. (Archer-Daniels-Midland Co. Proj.) Series 2012, 3.83% 4/4/24, VRDN (c)
 
19,640
19,640
Indiana Dev. Fin. Auth. Envir. Rev.:
 
 
 
 (Duke Energy Indiana, Inc. Proj.) Series 2009 A3, 3.69% 4/4/24, LOC Mizuho Bank Ltd., VRDN (c)
 
14,870
14,870
 Series 2005, 3.75% 4/4/24, LOC Rabobank Nederland New York Branch, VRDN (c)
 
11,500
11,500
Indiana Fin. Auth. Health Sys. Rev. (Sisters of Saint Francis Health Svcs., Inc. Obligated Group Proj.) Series 2008 F, 3.43% 4/4/24, LOC Barclays Bank PLC, VRDN (c)
 
16,400
16,400
Indiana Fin. Auth. Hosp. Rev. (Parkview Health Sys. Oblig. Group Proj.):
 
 
 
 Series 2009 B, 3.5% 4/4/24, LOC Sumitomo Mitsui Banking Corp., VRDN (c)
 
11,100
11,100
 Series 2009 C, 3.7% 4/4/24, LOC Sumitomo Mitsui Banking Corp., VRDN (c)
 
33,600
33,600
Indiana Fin. Auth. Rev.:
 
 
 
 (Ascension Health Proj.):
 
 
 
Series 2008 E4, 3.6% 4/4/24, VRDN (c)
 
 
19,385
19,385
Series 2008 E8, 3.59% 4/4/24, VRDN (c)
 
 
11,000
11,000
 (Ascension Health Subordinate Cr. Proj.) Series 2008 E5, 3.6% 4/4/24, VRDN (c)
 
38,190
38,190
 (Trinity Health Cr. Group Proj.) Series 2008 D1, 3.49% 4/4/24, VRDN (c)
 
13,920
13,920
 Series 2008 E7, 3.48% 4/4/24, VRDN (c)
 
35,975
35,975
Indiana Health Facility Fing. Auth. Rev. Series 2003 E6, 3.6% 4/4/24, VRDN (c)
 
15,195
15,195
TOTAL INDIANA
 
 
240,775
Iowa - 1.7%
 
 
 
Council Bluffs Poll. Cont. Series 1995, 3.75% 4/4/24, VRDN (c)
 
3,800
3,800
Iowa Fin. Auth. Econ. Dev. Rev.:
 
 
 
 Series 2009 A, 3.48% 4/4/24, VRDN (c)
 
19,300
19,300
 Series 2011 A, 3.48% 4/4/24, VRDN (c)
 
30,100
30,100
Iowa Fin. Auth. Midwestern Disaster Area Econ. Dev. Series 2012 A, 3.48% 4/4/24, VRDN (c)
 
13,800
13,800
Iowa Fin. Auth. Midwestern Disaster Area Rev.:
 
 
 
 (ADM Proj.) Series 2011, 3.8% 4/4/24, VRDN (c)
 
18,900
18,900
 (Archer-Daniels-Midland Co. Proj.) Series 2012, 3.84% 4/4/24, VRDN (c)
 
36,920
36,920
Iowa Fin. Auth. Poll. Cont. Facility Rev. (Midamerican Energy Proj.) Series 2016 A, 3.69% 4/4/24, VRDN (c)
 
8,115
8,115
Iowa Fin. Auth. Rev. Series 2018 C, 3.5% 4/4/24, LOC JPMorgan Chase Bank, VRDN (c)
 
12,465
12,465
TOTAL IOWA
 
 
143,400
Kansas - 0.6%
 
 
 
Cygne Poll. Cont. Rev. (Kansas Gas and Elec. Co. Proj.) Series 1994 B, 3.85% 4/4/24, VRDN (c)
 
1,300
1,300
Burlington Envir. Impt. Rev. (Kansas City Pwr. and Lt. Co. Proj.):
 
 
 
 Series 2007 A, 3.9% 4/4/24, VRDN (c)
 
7,600
7,600
 Series 2007 B, 3.9% 4/4/24, VRDN (c)
 
12,500
12,500
St. Mary's Kansas Poll. Cont. Rev.:
 
 
 
 (Kansas Gas and Elec. Co. Proj.) Series 1994, 3.85% 4/4/24, VRDN (c)
 
3,000
3,000
 Series 1994, 3.85% 4/4/24, VRDN (c)
 
13,300
13,300
Wamego Kansas Poll. Cont. Rfdg. Rev.:
 
 
 
 (Kansas Gas & Elec. Co. Proj.) Series 1994, 3.85% 4/4/24, VRDN (c)
 
3,500
3,500
 (Western Resources, Inc. Proj.) Series 1994, 3.85% 4/4/24, VRDN (c)
 
9,500
9,500
TOTAL KANSAS
 
 
50,700
Kentucky - 0.2%
 
 
 
Kentucky Econ. Dev. Fin. Auth. Hosp. Rev. (St. Elizabeth Med. Ctr., Inc. Proj.) Series 2009 B, 3.65% 4/4/24, LOC TD Banknorth, NA, VRDN (c)
 
7,000
7,000
Louisville & Jefferson County Series 2013 C, 3.7% 4/4/24, LOC PNC Bank NA, VRDN (c)
 
7,575
7,575
TOTAL KENTUCKY
 
 
14,575
Louisiana - 1.4%
 
 
 
Louisiana Offshore Term. Auth. Deepwater Port Rev. (LOOP LLC Proj.) Series 2013 B, 3.55% 4/4/24, LOC JPMorgan Chase Bank, VRDN (c)
 
7,340
7,340
Louisiana Pub. Facilities Auth. Rev. (Christus Health Proj.):
 
 
 
 Series 2008 B, 3.45% 4/4/24, VRDN (c)
 
18,400
18,400
 Series 2009 B1, 3.55% 4/4/24, LOC Sumitomo Mitsui Banking Corp., VRDN (c)
 
12,000
12,000
 Series 2009 B3, 3.55% 4/4/24, LOC Sumitomo Mitsui Banking Corp., VRDN (c)
 
13,200
13,200
Saint James Parish Gen. Oblig. (Nucor Steel Louisiana LLC Proj.):
 
 
 
 Series 2010 A1, 4.01% 4/4/24, VRDN (c)
 
56,500
56,500
 Series 2010 B1, 3.9% 4/4/24, VRDN (c)
 
3,785
3,785
FHLMC Louisiana Pub. Facilities Auth. Rev. (River View Villas Proj.) Series 2006, 3.46% 4/4/24, LOC Freddie Mac, VRDN (c)
 
6,500
6,500
TOTAL LOUISIANA
 
 
117,725
Massachusetts - 0.1%
 
 
 
Massachusetts Dept. of Trans. Metropolitan Hwy. Sys. Rev. Series 2022 A1, 3.45% 4/4/24 (Liquidity Facility TD Banknorth, NA), VRDN (c)
 
7,900
7,900
Michigan - 1.4%
 
 
 
Central Michigan Univ. Rev. Series 2008 A, 3.45% 4/4/24, LOC TD Banknorth, NA, VRDN (c)
 
9,300
9,300
Grand Traverse County Hosp. Fin. Auth. Series 2011 B, 3.39% 4/4/24, LOC JPMorgan Chase Bank, VRDN (c)
 
14,765
14,765
Grand Valley Michigan State Univ. Rev. Series 2008 B, 3.45% 4/4/24, LOC TD Banknorth, NA, VRDN (c)
 
17,425
17,425
Kent Hosp. Fin. Auth. Hosp. Facilities Rev. (Spectrum Health Sys. Proj.) Series 2008 B3, 3.65% 4/4/24 (Liquidity Facility Wells Fargo Bank NA), VRDN (c)
 
17,010
17,010
Michigan State Hsg. Dev. Auth. Series 2022 B, 3.64% 4/4/24, LOC Bank of America NA, VRDN (c)
 
44,170
44,170
Michigan Strategic Fund Ltd. Oblig. Rev. (The Kroger Co. Recovery Zone Facilities Bond Proj.) Series 2010, 3.49% 4/4/24, LOC Bank of Nova Scotia, VRDN (c)
 
7,660
7,660
Univ. of Michigan Rev. Series 2008 B, 3.39% 4/4/24, VRDN (c)
 
1,080
1,080
FHLMC Livonia Econ. Dev. Corp. (Madonna Univ. Proj.) Series 2009, 3.47% 4/4/24, LOC Fed. Home Ln. Bank Chicago, VRDN (c)
 
9,130
9,130
TOTAL MICHIGAN
 
 
120,540
Minnesota - 0.2%
 
 
 
Minneapolis Health Care Sys. Rev. (Fairview Health Svcs.) Series 2018 B, 3.55% 4/4/24, LOC JPMorgan Chase Bank, VRDN (c)
 
19,080
19,080
Missouri - 0.7%
 
 
 
Missouri Health & Edl. Facilities Auth. Health Facilities Rev. (BJC HealthCare Proj.) Series 2008 A, 3.4% 4/4/24 (Liquidity Facility U.S. Bank NA, Cincinnati), VRDN (c)
 
32,625
32,625
Missouri Health & Edl. Facilities Auth. Rev. (Ascension Health Cr. Group Proj.) Series 2003 C3, 3.61% 4/4/24, VRDN (c)
 
30,200
30,200
TOTAL MISSOURI
 
 
62,825
Nebraska - 0.1%
 
 
 
Nebraska Invt. Fin. Auth. Single Family Hsg. Rev.:
 
 
 
 (NE Sf Mbs Gen. 7/1/94 Proj.) Series 2017 C, 3.5% 4/4/24 (Liquidity Facility Fed. Home Ln. Bank Topeka), VRDN (c)
 
2,000
2,000
 Series 2019 C, 3.6% 4/4/24 (Liquidity Facility Fed. Home Ln. Bank Topeka), VRDN (c)
 
7,100
7,100
TOTAL NEBRASKA
 
 
9,100
Nevada - 0.7%
 
 
 
Clark County Arpt. Rev.:
 
 
 
 Series 2008 D 2B, 3.63% 4/4/24, LOC Sumitomo Mitsui Banking Corp., VRDN (c)
 
23,750
23,750
 Series 2008 D3, 3.79% 4/4/24, LOC Bank of America NA, VRDN (c)
 
35,790
35,790
TOTAL NEVADA
 
 
59,540
New York - 6.5%
 
 
 
New York City Gen. Oblig.:
 
 
 
 Series 2006 E3, 3.49% 4/4/24, LOC Bank of America NA, VRDN (c)
 
4,475
4,475
 Series 2006 E4, 3.49% 4/4/24, LOC Bank of America NA, VRDN (c)
 
18,590
18,590
 Series 2010 G4, 3.4% 4/4/24 (Liquidity Facility Barclays Bank PLC), VRDN (c)
 
48,010
48,010
 Series 2013 A5, 3.45% 4/4/24 (Liquidity Facility Sumitomo Mitsui Banking Corp.), VRDN (c)
 
25,115
25,115
 Series 2014 I3, 3.7% 4/4/24 (Liquidity Facility Citibank NA), VRDN (c)
 
9,405
9,405
 Series 2017 A, 3.46% 4/4/24 (Liquidity Facility Citibank NA), VRDN (c)
 
48,900
48,900
 Series D5, 3.45% 4/4/24, LOC PNC Bank NA, VRDN (c)
 
28,870
28,870
New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev.:
 
 
 
 Series 2013 AA-1, 3.46% 4/4/24 (Liquidity Facility PNC Bank NA), VRDN (c)
 
8,390
8,390
 Series 2015 BB3, 3.45% 4/4/24 (Liquidity Facility Sumitomo Mitsui Banking Corp.), VRDN (c)
 
17,255
17,255
 Series 2016 AA2, 3.46% 4/4/24 (Liquidity Facility PNC Bank NA), VRDN (c)
 
32,580
32,580
 Series 2016 CC, 3.48% 4/4/24 (Liquidity Facility Sumitomo Mitsui Banking Corp.), VRDN (c)
 
20,120
20,120
 Series BB3, 3.4% 4/4/24 (Liquidity Facility Sumitomo Mitsui Banking Corp.), VRDN (c)
 
34,775
34,775
New York City Transitional Fin. Auth. Rev.:
 
 
 
 Series 2013 C5, 3.42% 4/4/24 (Liquidity Facility Sumitomo Mitsui Banking Corp.), VRDN (c)
 
14,955
14,955
 Series 2014 D4, 3.46% 4/4/24 (Liquidity Facility Mizuho Corporate Bank Ltd.), VRDN (c)
 
25,600
25,600
 Series 2018 C6, 3.43% 4/4/24 (Liquidity Facility Sumitomo Mitsui Banking Corp.), VRDN (c)
 
57,450
57,450
New York Hsg. Fin. Agcy. Rev.:
 
 
 
 (8 East 102nd Street Hsg. Proj.) Series 2010 A, 3.7% 4/4/24, LOC TD Banknorth, NA, VRDN (c)
 
23,700
23,700
 Series 2010 A:
 
 
 
3.65% 4/4/24, LOC Landesbank Hessen-Thuringen, VRDN (c)
 
 
2,500
2,500
3.65% 4/4/24, LOC Landesbank Hessen-Thuringen, VRDN (c)
 
 
9,300
9,300
New York Metropolitan Trans. Auth. Rev.:
 
 
 
 Series 2005 E, 3.51% 4/4/24, LOC Bank of America NA, VRDN (c)
 
11,900
11,900
 Series 2005 E1, 3.4% 4/4/24, LOC Barclays Bank PLC, VRDN (c)
 
37,120
37,120
 Series 2012 G2, 3.42% 4/4/24, LOC TD Banknorth, NA, VRDN (c)
 
30,000
30,000
New York State Energy Research & Dev. Auth. Facilities Rev. (Consolidated Edison Co. of New York, Inc. Proj.) Series 2005 A1, 3.7% 4/4/24, LOC Mizuho Bank Ltd., VRDN (c)
 
10,100
10,100
Triborough Bridge & Tunnel Auth. Revs. Series 2005 A, 3.4% 4/4/24, LOC Barclays Bank PLC, VRDN (c)
 
9,280
9,280
FNMA:
 
 
 
 New York City Hsg. Dev. Corp. Multi-family Rental Hsg. Rev. (90 West Street Proj.) Series 2006 A, 3.45% 4/4/24, LOC Fannie Mae, VRDN (c)
 
18,675
18,675
 New York Hsg. Fin. Agcy. Rev. (10 Barclay Street Hsg. Proj.) Series 2004 A, 3.62% 4/4/24, LOC Fannie Mae, VRDN (c)
 
10,000
10,000
TOTAL NEW YORK
 
 
557,065
New York And New Jersey - 0.1%
 
 
 
Port Auth. of New York & New Jersey Series 1997 2, SIFMA Municipal Swap Index + 0.050% 3.69% 4/29/24, VRDN (c)(d)(e)
 
7,300
7,300
North Carolina - 0.5%
 
 
 
Durham County Indl. and Poll. Cont. Auth. Rev. Series 2007, 3.45% 4/4/24, LOC TD Banknorth, NA, VRDN (c)
 
18,260
18,260
Parson County Indl. Facilities and Poll. Cont. Fing. Auth. (CertainTeed Gypsum NC, Inc. Proj.) Series 2010, 3.49% 4/4/24, LOC Cr. Industriel et Commercial, VRDN (c)
 
21,590
21,590
TOTAL NORTH CAROLINA
 
 
39,850
Ohio - 5.6%
 
 
 
Cuyahoga County Health Care Facilities Rev. (The A.M. McGregor Home Proj.) Series 2014, 3.49% 4/4/24, LOC Northern Trust Co., VRDN (c)
 
4,400
4,400
Franklin County Hosp. Facilities Rev.:
 
 
 
 Series 1998, 3.4% 4/4/24, LOC Northern Trust Co., VRDN (c)
 
4,210
4,210
 Series 2009 A, 3.63% 4/4/24 (Liquidity Facility Barclays Bank PLC), VRDN (c)
 
47,575
47,575
 Series 2009 B, 3.63% 4/4/24 (Liquidity Facility Barclays Bank PLC), VRDN (c)
 
53,100
53,100
 Series 2011 C, 3.62% 4/4/24, VRDN (c)
 
8,810
8,810
 Series 2011 D, 3.62% 4/4/24, VRDN (c)
 
15,200
15,200
 Series 2013 A, 3.56% 4/4/24 (Liquidity Facility JPMorgan Chase Bank), VRDN (c)
 
16,345
16,345
 Series 2013 B, 3.56% 4/4/24 (Liquidity Facility JPMorgan Chase Bank), VRDN (c)
 
5,525
5,525
 Series 2014, 3.56% 4/4/24 (Liquidity Facility JPMorgan Chase Bank), VRDN (c)
 
3,720
3,720
 Series 2017 B, 3.56% 4/4/24 (Liquidity Facility JPMorgan Chase Bank), VRDN (c)
 
22,380
22,380
 Series 2018 C, 3.62% 4/4/24, VRDN (c)
 
11,475
11,475
 Series 2018 D, 3.64% 4/4/24, VRDN (c)
 
23,100
23,100
Hamilton County Hosp. Facilities Rev.:
 
 
 
 Series 2018 AA, 3.45% 4/4/24, VRDN (c)
 
20,955
20,955
 Series 2018 Z, 3.48% 4/4/24, VRDN (c)
 
17,955
17,955
Montgomery County Hosp. Rev. Series 2019 B, 3.45% 4/4/24, LOC PNC Bank NA, VRDN (c)
 
40,970
40,970
Ohio Cap. Facilities Lease (Adult Correctional Bldg. Fund Proj.) Series 2019 C, 3.55% 4/4/24, VRDN (c)
 
21,960
21,960
Ohio Higher Edl. Facility Commission Rev. Series 2013 B1, 3.62% 4/4/24, VRDN (c)
 
4,900
4,900
Ohio Hosp. Facilities Rev. Series 2019 D1, 3.62% 4/4/24, VRDN (c)
 
15,160
15,160
Ohio Hosp. Rev. Series 2021 D, 3.6% 4/4/24, LOC U.S. Bank NA, Cincinnati, VRDN (c)
 
10,700
10,700
Ohio Parks & Recreation Cap. Facilities (Parks and Recreation Impt. Fund Projs.) Series 2020 B, 3.6% 4/4/24, VRDN (c)
 
11,175
11,175
Ohio Spl. Oblig. Series 2022 B, 3.55% 4/4/24, VRDN (c)
 
26,700
26,700
Ohio State Univ. Gen. Receipts (Multiyear Debt Issuance Prog. II) Series 2023 D1, 3.65% 4/4/24, VRDN (c)
 
93,205
93,205
TOTAL OHIO
 
 
479,520
Pennsylvania - 2.3%
 
 
 
Delaware Valley Reg'l. Fin. Auth. Local Govt. Rev.:
 
 
 
 Series 2020 D, 3.65% 4/4/24, LOC TD Banknorth, NA, VRDN (c)
 
17,990
17,990
 Series 2022 E, 3.65% 4/4/24, LOC TD Banknorth, NA, VRDN (c)
 
4,500
4,500
Lancaster Indl. Dev. Auth. Rev. (Willow Valley Retirement Cmntys. Proj.) Series 2009 C, 3.5% 4/4/24, LOC PNC Bank NA, VRDN (c)
 
7,400
7,400
Lehigh County Gen. Purp. Hosp. Rev. Series 2019 B, 3.5% 4/4/24, LOC Bank of America NA, VRDN (c)
 
96,780
96,780
Pennsylvania Higher Edl. Facilities Auth. Rev. (Univ. of Pennsylvania Health Sys. Proj.) Series 2008 A, 3.62% 4/4/24, LOC Bank of America NA, VRDN (c)
 
24,700
24,700
Philadelphia Gas Works Rev.:
 
 
 
 (1998 Gen. Ordinance Proj.):
 
 
 
Eighth Series B, 3.42% 4/4/24, LOC TD Banknorth, NA, VRDN (c)
 
 
6,200
6,200
Fifth Series A2, 3.42% 4/4/24, LOC TD Banknorth, NA, VRDN (c)
 
 
5,125
5,125
 Series 2009 C, 3.42% 4/4/24, LOC TD Banknorth, NA, VRDN (c)
 
5,610
5,610
 Series 2009 D, 3.42% 4/4/24, LOC TD Banknorth, NA, VRDN (c)
 
1,950
1,950
Philadelphia Gen. Oblig. Series 2009 B, 3.4% 4/4/24, LOC Barclays Bank PLC, VRDN (c)
 
20,775
20,775
FNMA Montgomery County Redev. Auth. Multi-family Hsg. Rev. (Kingswood Apts. Proj.) Series 2001 A, 3.47% 4/4/24, LOC Fannie Mae, VRDN (c)
 
4,000
4,000
TOTAL PENNSYLVANIA
 
 
195,030
Rhode Island - 0.3%
 
 
 
Rhode Island Health and Edl. Bldg. Corp. Higher Ed. Facility Rev. (Bryant Univ. Proj.) Series 2008, 3.65% 4/4/24, LOC TD Banknorth, NA, VRDN (c)
 
21,885
21,885
Texas - 8.5%
 
 
 
Harris County Cultural Ed. Facilities Fin. Corp. Rev.:
 
 
 
 Series 2014 C, 3.45% 4/4/24, VRDN (c)
 
34,400
34,400
 Series 2014 D, 3.45% 4/4/24, VRDN (c)
 
27,975
27,975
 Series 2016 C, 3.45% 4/4/24, VRDN (c)
 
50,420
50,420
 Series 2016 D, 3.45% 4/4/24, VRDN (c)
 
22,910
22,910
 Series 2019 E, 3.45% 4/4/24, VRDN (c)
 
9,000
9,000
 Series 2019 F, 3.45% 4/4/24, VRDN (c)
 
29,300
29,300
Harris County Hosp. District Rev. Series 2010, 3.47% 4/4/24, LOC JPMorgan Chase Bank, VRDN (c)
 
10,675
10,675
Houston Util. Sys. Rev.:
 
 
 
 Series 2004 B2, 3.5% 4/4/24, LOC Sumitomo Mitsui Banking Corp., VRDN (c)
 
28,455
28,455
 Series 2004 B3, 3.5% 4/4/24, LOC Sumitomo Mitsui Banking Corp., VRDN (c)
 
7,650
7,650
 Series 2004 B4, 3.5% 4/4/24 (Liquidity Facility JPMorgan Chase Bank), VRDN (c)
 
21,300
21,300
 Series 2004 B5, 3.5% 4/4/24 (Liquidity Facility UBS AG), VRDN (c)
 
68,390
68,390
 Series 2004 B6, 3.5% 4/4/24, LOC Sumitomo Mitsui Banking Corp., VRDN (c)
 
27,640
27,640
Port Arthur Navigation District Exempt Facilities:
 
 
 
 (Total Petroleum Proj.) Series 2010, 3.81% 4/4/24 (TotalEnergies SE Guaranteed), VRDN (c)
 
44,800
44,800
 (Var-Total Petrochemicals Proj.) Series 2009, 3.7% 4/4/24 (TotalEnergies SE Guaranteed), VRDN (c)
 
700
700
Port Arthur Navigation District Indl. Dev. Corp. Exempt Facilities Rev.:
 
 
 
 (Air Products Proj.):
 
 
 
Series 2010 A, 3.81% 4/4/24 (TotalEnergies SE Guaranteed), VRDN (c)
 
 
38,940
38,940
Series 2012, 3.5% 4/4/24 (TotalEnergies SE Guaranteed), VRDN (c)
 
 
43,700
43,700
 (Total Petrochemicals & Refining U.S.A., Inc. Proj.) Series 2012 B, 3.7% 4/4/24 (TotalEnergies SE Guaranteed), VRDN (c)
 
4,200
4,200
 (Total Petrochemicals and Refining U.S.A., Inc. Proj.) Series 2012 A, 3.7% 4/4/24 (TotalEnergies SE Guaranteed), VRDN (c)
 
4,100
4,100
Tarrant County Cultural Ed. Facilities Fin. Corp. Rev. (Christus Health Proj.):
 
 
 
 Series 2008 C1, 3.55% 4/4/24, LOC Sumitomo Mitsui Banking Corp., VRDN (c)
 
2,400
2,400
 Series 2008 C3, 3.55% 4/4/24, LOC TD Banknorth, NA, VRDN (c)
 
21,100
21,100
 Series 2008 C4, 3.55% 4/4/24, LOC TD Banknorth, NA, VRDN (c)
 
7,820
7,820
Texas Gen. Oblig.:
 
 
 
 (Texas Veterans Land Board Proj.) Series 2017, 3.75% 4/4/24 (Liquidity Facility Sumitomo Mitsui Banking Corp.), VRDN (c)
 
52,620
52,620
 Series 2011 B, 3.75% 4/4/24 (Liquidity Facility State Street Bank & Trust Co., Boston), VRDN (c)
 
15,370
15,370
 Series 2012 B, 3.75% 4/4/24 (Liquidity Facility State Street Bank & Trust Co., Boston), VRDN (c)
 
13,835
13,835
 Series 2013 A, 3.75% 4/4/24 (Liquidity Facility State Street Bank & Trust Co., Boston), VRDN (c)
 
7,600
7,600
 Series 2013 B, 3.75% 4/4/24 (Liquidity Facility State Street Bank & Trust Co., Boston), VRDN (c)
 
38,370
38,370
 Series 2014 A, 3.75% 4/4/24 (Liquidity Facility State Street Bank & Trust Co., Boston), VRDN (c)
 
31,885
31,885
 Series 2015 A, 3.75% 4/4/24 (Liquidity Facility State Street Bank & Trust Co., Boston), VRDN (c)
 
6,745
6,745
 Series 2019, 3.6% 4/4/24 (Liquidity Facility JPMorgan Chase Bank), VRDN (c)
 
43,020
43,020
Univ. of Texas Board of Regents Sys. Rev. Series 2007 B, 3.41% 4/4/24 (Liquidity Facility Univ. of Texas Invt. Mgmt. Co.), VRDN (c)
 
13,205
13,205
TOTAL TEXAS
 
 
728,525
Utah - 0.3%
 
 
 
Emery County Poll. Cont. Rev. (PacifiCorp Proj.) Series 1994, 4.15% 4/4/24, VRDN (c)
 
27,300
27,300
Virginia - 1.2%
 
 
 
Fairfax County Indl. Dev. Auth.:
 
 
 
 (Inova Health Sys. Proj.) Series 2018 C, 3.48% 4/4/24, VRDN (c)
 
6,975
6,975
 Series 2016 C, 3.48% 4/4/24, VRDN (c)
 
8,975
8,975
Harrisonburg Econ. Dev. A Series 2023, 3.65% 4/4/24, LOC U.S. Bank NA, Cincinnati, VRDN (c)
 
25,400
25,400
Norfolk Econ. Dev. Auth. Hosp. Facilities Rev.:
 
 
 
 Series 2016 B, 3.7% 4/4/24, VRDN (c)
 
11,130
11,130
 Series 2016, 3.55% 4/4/24, VRDN (c)
 
19,045
19,045
Virginia Small Bus. Fin. Auth. Hosp. Rev. Series 2008 A, 3.47% 4/4/24, LOC PNC Bank NA, VRDN (c)
 
28,600
28,600
TOTAL VIRGINIA
 
 
100,125
Washington - 0.4%
 
 
 
Port of Vancouver Rev. (United Grain Corp. of Oregon Proj.) Series 2009, 3.55% 4/4/24, LOC Bank of America NA, VRDN (c)
 
14,400
14,400
FHLMC Washington Hsg. Fin. Commission Multi-family Hsg. Rev. (Reserve at Renton Apts. Proj.) Series 2014, 3.92% 4/4/24, LOC Fed. Home Ln. Bank, San Francisco, VRDN (c)
 
16,200
16,200
FNMA Washington Hsg. Fin. Commission Multi-family Hsg. Rev. (The Cambridge Apts. Proj.) Series 2009, 3.45% 4/4/24, LOC Fannie Mae, VRDN (c)
 
3,205
3,205
TOTAL WASHINGTON
 
 
33,805
West Virginia - 0.2%
 
 
 
West Virginia Hosp. Fin. Auth. Hosp. Rev. Series 2018 C, 3.42% 4/4/24, LOC TD Banknorth, NA, VRDN (c)
 
16,845
16,845
Wisconsin - 0.6%
 
 
 
Wisconsin Hsg. & Econ. Dev. Auth.:
 
 
 
 2019 Series B, 3.42% 4/4/24 (Liquidity Facility Fed. Home Ln. Bank Chicago), VRDN (c)
 
4,600
4,600
 Series 2021 B, 3.43% 4/4/24 (Liquidity Facility Fed. Home Ln. Bank Chicago), VRDN (c)
 
23,600
23,600
 Series 2022 B, 3.43% 4/4/24 (Liquidity Facility Fed. Home Ln. Bank Chicago), VRDN (c)
 
22,500
22,500
TOTAL WISCONSIN
 
 
50,700
 
TOTAL VARIABLE RATE DEMAND NOTE
 (Cost $4,168,875)
 
 
 
4,168,875
 
 
 
 
Tender Option Bond - 21.3%
 
 
Principal
Amount (a)
(000s)
 
Value ($)
(000s)
 
Alabama - 0.6%
 
 
 
Alabama Spl. Care Facilities Fing. Auth. Birmingham Rev. Participating VRDN Series ZF 13 98, 3.48% 4/4/24 (Liquidity Facility JPMorgan Chase Bank) (c)(f)(g)
 
1,965
1,965
Black Belt Energy Gas District Participating VRDN:
 
 
 
 Series XM 11 44, 3.5% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
6,250
6,250
 Series XM 11 50, 3.48% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
8,950
8,950
 Series ZL 04 87, 3.48% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
2,125
2,125
 Series ZL 05 08, 3.5% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
8,590
8,590
 Series ZL 05 09, 3.5% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
4,515
4,515
 Series ZL 05 18, 3.5% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
3,335
3,335
Energy Southeast Ala Coop. District Participating VRDN Series XM 11 39, 3.5% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
5,900
5,900
Jefferson County Swr. Rev. Participating VRDN Series XL 05 31, 3.49% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
4,500
4,500
Southeast Alabama Gas Supply District Participating VRDN Series XF 16 94, 3.5% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
3,125
3,125
Southeast Energy Auth. Coop. Dis Participating VRDN Series XM 11 35, 3.48% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
4,000
4,000
Southeast Energy Auth. Rev. Participating VRDN Series ZL 04 68, 3.48% 4/4/24 (Liquidity Facility JPMorgan Chase Bank) (c)(f)(g)
 
2,340
2,340
TOTAL ALABAMA
 
 
55,595
Arizona - 0.1%
 
 
 
Arizona Indl. Dev. Auth. Hosp. Rev. Participating VRDN Series XM 10 13, 3.57% 4/4/24 (Liquidity Facility JPMorgan Chase Bank) (c)(f)(g)
 
1,050
1,050
Arizona Tourism & Sports Auth. Tax Rev. Participating VRDN Series Floaters E85, 3.48% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
300
300
Jefferson County Ala Board Ed. Pubs Participating VRDN Series YX 13 19, 3.49% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
2,025
2,025
Salt Verde Finl. Corp. Sr. Gas Rev. Participating VRDN Series Floaters XF 25 37, 3.49% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
1,200
1,200
TOTAL ARIZONA
 
 
4,575
California - 0.4%
 
 
 
California Health Facilities Fing. Auth. Rev. Participating VRDN Series Floaters 013, 3.7% 5/2/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
4,665
4,665
California State Univ. Rev. Participating VRDN:
 
 
 
 Series 2022 XX 12 63, 3.47% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
3,750
3,750
 Series XM 11 40, 3.47% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
8,075
8,075
Lucile Salter Packard Children's Hosp. Participating VRDN Series Floaters XG 01 48, 3.48% 4/4/24 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (c)(f)(g)
 
2,399
2,399
San Francisco Bay Area Rapid Transit Fing. Auth. Participating VRDN Series XX 12 68, 3.47% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
2,795
2,795
Univ. of California Regents Med. Ctr. Pool Rev. Participating VRDN Series XX 12 75, 3.47% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
2,685
2,685
Univ. of California Revs. Participating VRDN:
 
 
 
 Series 2022 XX 12 58, 3.47% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
4,000
4,000
 Series Floaters YX 10 98, 3.47% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
7,600
7,600
TOTAL CALIFORNIA
 
 
35,969
Colorado - 0.4%
 
 
 
Colorado Ctfs. of Prtn. Participating VRDN Series XG 04 26, 3.48% 4/4/24 (Liquidity Facility UBS AG) (c)(f)(g)
 
2,905
2,905
Colorado Health Facilities Auth. Rev. Bonds Participating VRDN:
 
 
 
 Series 2022 XM 10 28, 3.48% 4/4/24 (Liquidity Facility JPMorgan Chase Bank) (c)(f)(g)
 
4,000
4,000
 Series 2023, 3.75% 5/2/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
12,900
12,900
 Series XF 16 19, 3.48% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
4,000
4,000
 Series XG 02 51, 3.5% 4/4/24 (Liquidity Facility Bank of America NA) (c)(f)(g)
 
720
720
 Series XM 08 29, 3.49% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
4,400
4,400
 Series XM 09 97, 3.48% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
4,665
4,665
 Series XM 11 24, 3.48% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
2,345
2,345
TOTAL COLORADO
 
 
35,935
Connecticut - 0.9%
 
 
 
Connecticut Gen. Oblig. Participating VRDN:
 
 
 
 Series 15 XF0222, 3.49% 4/4/24 (Liquidity Facility Toronto-Dominion Bank) (c)(f)(g)
 
8,000
8,000
 Series Floaters 014, 3.49% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
28,355
28,355
 Series Floaters 016, 3.49% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
25,000
25,000
 Series Floaters YX 10 95, 3.48% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
4,000
4,000
 Series XM 10 35, 3.48% 4/4/24 (Liquidity Facility JPMorgan Chase Bank) (c)(f)(g)
 
2,705
2,705
Connecticut Health & Edl. Facilities Auth. Rev. Participating VRDN Series YX 12 91, 3.49% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
8,100
8,100
TOTAL CONNECTICUT
 
 
76,160
District Of Columbia - 0.2%
 
 
 
District of Columbia Gen. Oblig. Participating VRDN Series Floaters E 108, 3.48% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
2,975
2,975
Metropolitan Washington Arpts. Auth. Dulles Toll Road Rev. Participating VRDN:
 
 
 
 Series XF 08 53, 3.49% 4/4/24 (Liquidity Facility Toronto-Dominion Bank) (c)(f)(g)
 
9,475
9,475
 Series XF 09 19, 3.48% 4/4/24 (Liquidity Facility JPMorgan Chase Bank) (c)(f)(g)
 
1,355
1,355
 Series XG 02 67, 3.5% 4/4/24 (Liquidity Facility Bank of America NA) (c)(f)(g)
 
1,715
1,715
TOTAL DISTRICT OF COLUMBIA
 
 
15,520
Florida - 1.2%
 
 
 
Broward County Convention Ctr. Participating VRDN:
 
 
 
 Series XF 16 41, 3.55% 4/4/24 (Liquidity Facility JPMorgan Chase Bank) (c)(f)(g)
 
7,700
7,700
 Series ZL 05 32, 3.47% 4/4/24 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (c)(f)(g)
 
8,100
8,100
Cape Coral Wtr. & Swr. Rev. Participating VRDN Series YX 13 17, 3.49% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
5,200
5,200
County of Broward Tourist Dev. Tax Rev. Participating VRDN:
 
 
 
 Series XL 04 12, 3.53% 4/4/24 (Liquidity Facility Wells Fargo Bank NA) (c)(f)(g)
 
4,000
4,000
 Series XL 04 29, 3.56% 4/4/24 (Liquidity Facility Wells Fargo Bank NA) (c)(f)(g)
 
1,415
1,415
Florida Dept. of Trans. Tpk. Rev. Participating VRDN Series XF 31 00, 3.48% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
4,265
4,265
Gainesville Utils. Sys. Rev. Participating VRDN Series YX 12 84, 3.48% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
7,815
7,815
Miami-Dade County Edl. Facilities Rev. Participating VRDN Series Floaters XG 01 92, 3.49% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
5,130
5,130
Miami-Dade County Expressway Auth. Participating VRDN Series Floaters XG 02 52, 3.5% 4/4/24 (Liquidity Facility Bank of America NA) (c)(f)(g)
 
7,400
7,400
Miami-Dade County Wtr. & Swr. Rev. Participating VRDN:
 
 
 
 Series XF 30 80, 3.48% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
6,000
6,000
 Series XM 11 22, 3.48% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
13,900
13,900
 Series XX 12 71, 3.48% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
6,000
6,000
Palm Beach County Health Facilities Auth. Hosp. Rev. Participating VRDN Series XG 03 70, 3.55% 4/4/24 (Liquidity Facility Bank of America NA) (c)(f)(g)
 
6,630
6,630
Pasco County Fla Hosp. Rev. Participating VRDN Series XM 11 55, 3.48% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
5,285
5,285
South Broward Hosp. District Rev. Participating VRDN Series XG 03 45, 3.48% 4/4/24 (Liquidity Facility Wells Fargo Bank NA) (c)(f)(g)
 
200
200
South Miami Health Facilities Auth. Hosp. Rev. Participating VRDN Series YX 12 86, 3.52% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
7,435
7,435
Tampa Health Sys. Rev. Participating VRDN:
 
 
 
 Series 2022 ZF 14 10, 3.48% 4/4/24 (Liquidity Facility JPMorgan Chase Bank) (c)(f)(g)
 
2,625
2,625
 Series XF 31 46, 3.5% 4/4/24 (Liquidity Facility Wells Fargo Bank NA) (c)(f)(g)
 
2,315
2,315
TOTAL FLORIDA
 
 
101,415
Georgia - 1.5%
 
 
 
Brookhaven Dev. Auth. Rev. Participating VRDN:
 
 
 
 Series XG 02 44, 3.48% 4/4/24 (Liquidity Facility Bank of America NA) (c)(f)(g)
 
170
170
 Series XX 12 80, 3.48% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
10,000
10,000
Burke County Indl. Dev. Auth. Poll. Cont. Rev. Participating VRDN:
 
 
 
 Series E 155, 3.49% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
30,695
30,695
 Series Floaters E 107, 3.5% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
15,400
15,400
Fulton County Dev. Auth. Rev. Participating VRDN Series XL 02 68, 3.55% 4/4/24 (Liquidity Facility Bank of America NA) (c)(f)(g)
 
2,130
2,130
Georgia Gen. Oblig. Participating VRDN Series 2023 D7, 3.47% 4/4/24 (Liquidity Facility Citibank NA) (c)(f)(g)
 
9,375
9,375
Georgia Muni. Elec. Auth. Pwr. Rev. Participating VRDN:
 
 
 
 Series XF 31 06, 3.49% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
8,085
8,085
 Series XG 04 70, 3.5% 4/4/24 (Liquidity Facility Bank of America NA) (c)(f)(g)
 
8,150
8,150
Main Street Natural Gas, Inc. Participating VRDN:
 
 
 
 Series Floaters XF 07 51, 3.48% 4/4/24 (Liquidity Facility JPMorgan Chase Bank) (c)(f)(g)
 
22,705
22,705
 Series XF 16 01, 3.48% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
6,800
6,800
 Series XM 11 34, 3.48% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
4,000
4,000
 Series XM 11 36, 3.48% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
2,700
2,700
 Series ZF 16 55, 3.48% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
3,105
3,105
 Series ZF 16 59, 3.48% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
2,110
2,110
Muni. Elec. Auth. of Georgia Participating VRDN Series XG 02 54, 3.5% 4/4/24 (Liquidity Facility Bank of America NA) (c)(f)(g)
 
5,305
5,305
TOTAL GEORGIA
 
 
130,730
Idaho - 0.0%
 
 
 
Idaho Hsg. & Fin. Assoc. Single Family Mtg. Participating VRDN Series XG 05 65, 3.5% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
2,150
2,150
Illinois - 3.7%
 
 
 
Chicago Board of Ed. Participating VRDN:
 
 
 
 Series Floaters XG 02 17, 3.48% 4/4/24 (Liquidity Facility JPMorgan Chase Bank) (c)(f)(g)
 
5,625
5,625
 Series XG 04 69, 3.51% 4/4/24 (Liquidity Facility Bank of America NA) (c)(f)(g)
 
3,260
3,260
Chicago Gen. Oblig. Participating VRDN:
 
 
 
 Series 2022 XF 30 42, 3.49% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
2,545
2,545
 Series 2022 XF 30 45, 3.49% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
31,330
31,330
 Series Floaters XL 01 05, 3.49% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
8,380
8,380
 Series XX 12 64, 3.49% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
18,710
18,710
 Series XX 12 65, 3.49% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
2,660
2,660
Chicago O'Hare Int'l. Arpt. Rev. Participating VRDN Series Floaters XF 07 36, 3.48% 4/4/24 (Liquidity Facility JPMorgan Chase Bank) (c)(f)(g)
 
560
560
Chicago Transit Auth. Participating VRDN Series XL 01 45, 3.49% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
8,685
8,685
Illinois Fin. Auth. Participating VRDN:
 
 
 
 Series BAML 50 45, 3.53% 4/4/24 (Liquidity Facility Bank of America NA) (c)(f)(g)
 
30,850
30,850
 Series BAML 50 47, 3.53% 4/4/24 (Liquidity Facility Bank of America NA) (c)(f)(g)
 
44,900
44,900
 Series XG 04 31, 3.49% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
1,700
1,700
Illinois Fin. Auth. Rev. Participating VRDN:
 
 
 
 Series 15 XF0253, 3.55% 4/4/24 (Liquidity Facility JPMorgan Chase Bank) (c)(f)(g)
 
4,745
4,745
 Series 17 XM 0492, 3.48% 4/4/24 (Liquidity Facility JPMorgan Chase Bank) (c)(f)(g)
 
12,265
12,265
 Series 2022 ZL 03 54, 3.48% 4/4/24 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (c)(f)(g)
 
2,500
2,500
 Series Floaters 017, 3.75% 5/2/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
18,800
18,800
 Series XF 07 11, 3.48% 4/4/24 (Liquidity Facility JPMorgan Chase Bank) (c)(f)(g)
 
9,900
9,900
 Series XF 15 40, 3.48% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
2,500
2,500
 Series YX 12 26, 3.49% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
4,575
4,575
 Series YX 13 26, 3.49% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
3,395
3,395
Illinois Gen. Oblig. Participating VRDN:
 
 
 
 Series XF 10 10, 3.49% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
10,595
10,595
 Series XL 02 60, 3.49% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
3,700
3,700
 Series XM 07 59, 3.5% 4/4/24 (Liquidity Facility Bank of America NA) (c)(f)(g)
 
1,600
1,600
 Series XM 10 48, 3.5% 4/4/24 (Liquidity Facility Bank of America NA) (c)(f)(g)
 
4,500
4,500
 Series XM 10 49, 3.5% 4/4/24 (Liquidity Facility Bank of America NA) (c)(f)(g)
 
10,100
10,100
 Series XX 11 41, 3.49% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
1,560
1,560
Illinois Hsg. Dev. Auth. Participating VRDN Series 2023, 3.48% 4/4/24 (Liquidity Facility Citibank NA) (c)(f)(g)
 
2,500
2,500
Illinois Reg'l. Trans. Auth. Participating VRDN Series XF 16 23, 3.51% 4/4/24 (Liquidity Facility JPMorgan Chase Bank) (c)(f)(g)
 
3,000
3,000
Illinois Toll Hwy. Auth. Toll Hwy. Rev. Participating VRDN:
 
 
 
 Series 15 XF0277, 3.51% 4/4/24 (Liquidity Facility JPMorgan Chase Bank) (c)(f)(g)
 
4,665
4,665
 Series Floaters ZF 03 73, 3.51% 4/2/24 (Liquidity Facility JPMorgan Chase Bank) (c)(f)(g)
 
9,525
9,525
 Series XF 15 33, 3.51% 4/4/24 (Liquidity Facility Bank of America NA) (c)(f)(g)
 
2,700
2,700
 Series ZL 03 32, 3.51% 4/4/24 (Liquidity Facility JPMorgan Chase Bank) (c)(f)(g)
 
1,310
1,310
JPMorgan Chase Bank Participating VRDN Series ZF 13 88, 3.51% 4/4/24 (Liquidity Facility JPMorgan Chase Bank) (c)(f)(g)
 
2,000
2,000
Metropolitan Pier & Exposition Participating VRDN Series Floaters XF 10 45, 3.57% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
2,120
2,120
RBC Muni. Products, Inc. Trust Participating VRDN Series 2023, 3.5% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
41,700
41,700
TOTAL ILLINOIS
 
 
319,460
Indiana - 0.0%
 
 
 
Indiana Fin. Auth. Health Facilities Rev. Participating VRDN Series XF 15 69, 3.48% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
4,000
4,000
Iowa - 0.2%
 
 
 
Iowa Fin. Auth. Rev. Participating VRDN Series BC 240 03, 3.7% 5/2/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
15,000
15,000
Iowa Fin. Auth. Single Family Mtg. Participating VRDN Series XG 05 22, 3.48% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
4,250
4,250
TOTAL IOWA
 
 
19,250
Kansas - 0.1%
 
 
 
Wyandotte County/Kansas City Unified Govt. Util. Sys. Rev. Participating VRDN Series YX 12 23, 3.49% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
5,400
5,400
Kentucky - 0.2%
 
 
 
CommonSpirit Health Participating VRDN Series MIZ 90 21, 3.55% 4/4/24 (Liquidity Facility Mizuho Cap. Markets LLC) (c)(f)(g)
 
4,500
4,500
Kentucky Bd Dev. Corp. Indl. Bldg. Participating VRDN Series XM 11 41, 3.5% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
3,000
3,000
Kentucky Econ. Dev. Fin. Auth. Hosp. Rev. Participating VRDN:
 
 
 
 Series Floaters XG 01 23, 3.49% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
440
440
 Series XF 31 81, 3.49% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
2,200
2,200
Kentucky, Inc. Pub. Energy Participating VRDN:
 
 
 
 Series XF 16 83, 3.49% 4/4/24 (Liquidity Facility Toronto-Dominion Bank) (c)(f)(g)
 
4,760
4,760
 Series XG 05 56, 3.5% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
1,875
1,875
TOTAL KENTUCKY
 
 
16,775
Louisiana - 0.1%
 
 
 
Louisiana Pub. Facilities Auth. Rev. Participating VRDN Series YX 12 95, 3.48% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
8,605
8,605
Maryland - 0.1%
 
 
 
Montgomery County Gen. Oblig. Participating VRDN Series Floaters XG 02 15, 3.49% 4/4/24 (Liquidity Facility Bank of America NA) (c)(f)(g)
 
12,020
12,020
Michigan - 0.5%
 
 
 
Holly Area School District Participating VRDN Series XG 04 86, 3.5% 4/4/24 (Liquidity Facility Wells Fargo Bank NA) (c)(f)(g)
 
6,755
6,755
Mclaren Health Care Corp. Participating VRDN Series XL 02 71, 3.55% 4/4/24 (Liquidity Facility Bank of America NA) (c)(f)(g)
 
1,010
1,010
Michigan Bldg. Auth. Rev. Participating VRDN:
 
 
 
 Series Floaters XM 04 65, 3.48% 4/4/24 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (c)(f)(g)
 
10,635
10,635
 Series XG 05 03, 3.48% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
6,635
6,635
Michigan Fin. Auth. Rev. Participating VRDN:
 
 
 
 Series XF 07 82, 3.48% 4/4/24 (Liquidity Facility JPMorgan Chase Bank) (c)(f)(g)
 
2,185
2,185
 Series XG 04 33, 3.48% 4/4/24 (Liquidity Facility JPMorgan Chase Bank) (c)(f)(g)
 
4,800
4,800
 Series ZF 30 32, 3.48% 4/4/24 (Liquidity Facility UBS AG) (c)(f)(g)
 
2,560
2,560
Michigan Hsg. Dev. Auth. Single Family Mtg. Rev. Participating VRDN:
 
 
 
 Series XF 15 81, 3.49% 4/4/24 (Liquidity Facility Toronto-Dominion Bank) (c)(f)(g)
 
2,400
2,400
 Series XL 04 67, 3.48% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
2,000
2,000
Monroe Mich Pub. Schools Participating VRDN Series XF 16 93, 3.5% 4/4/24 (Liquidity Facility Toronto-Dominion Bank) (c)(f)(g)
 
3,000
3,000
TOTAL MICHIGAN
 
 
41,980
Minnesota - 0.1%
 
 
 
Duluth Econ. Dev. Auth. Health Care Facilities Rev. Participating VRDN Series XG 05 23, 3.49% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
4,900
4,900
Missouri - 1.2%
 
 
 
Kansas City Spl. Oblig. Participating VRDN:
 
 
 
 Series XG 03 61, 3.49% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
6,090
6,090
 Series YX 11 93, 3.49% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
9,115
9,115
Missouri Health & Edl. Facilities Auth. Rev. Participating VRDN Series Floaters C16, 3.5% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
22,500
22,500
Missouri Health & Edl. Facilities Rev.:
 
 
 
 Bonds Series 2023 G 121, 3.65%, tender 6/3/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
2,900
2,900
 Participating VRDN:
 
 
 
Series Floaters 14, 3.49% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
 
53,110
53,110
Series Floaters C17, 3.49% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
 
5,200
5,200
St Louis County Spl. Oblig. Participating VRDN Series XG 03 82, 3.48% 4/4/24 (Liquidity Facility Wells Fargo Bank NA) (c)(f)(g)
 
6,000
6,000
TOTAL MISSOURI
 
 
104,915
Nebraska - 0.0%
 
 
 
Central Plains Energy Proj. Rev. Participating VRDN Series 2022 ZL 03 01, 3.5% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
480
480
Nevada - 0.3%
 
 
 
Clark County Fuel Tax Participating VRDN Series ZL 04 80, 3.48% 4/4/24 (Liquidity Facility Wells Fargo Bank NA) (c)(f)(g)(h)
 
3,275
3,275
Clark County Hwy. Impt. Rev. Participating VRDN Series XG 04 94, 3.48% 4/4/24 (Liquidity Facility UBS AG) (c)(f)(g)
 
3,995
3,995
Clark County School District Participating VRDN Series XF 14 73, 3.57% 4/4/24 (Liquidity Facility JPMorgan Chase Bank) (c)(f)(g)
 
2,235
2,235
Clark County Wtr. Reclamation District Participating VRDN Series XF 15 85, 3.48% 4/4/24 (Liquidity Facility Bank of America NA) (c)(f)(g)
 
6,400
6,400
Las Vegas Valley Wtr. District Wtr. Impt. Gen. Oblig. Participating VRDN:
 
 
 
 Series XG 05 29, 3.27% 4/4/24 (Liquidity Facility Bank of America NA) (c)(f)(g)
 
5,620
5,620
 Series ZF 31 55, 3.48% 4/4/24 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (c)(f)(g)
 
4,750
4,750
TOTAL NEVADA
 
 
26,275
New Jersey - 0.7%
 
 
 
New Jersey Econ. Dev. Auth. Rev. Participating VRDN:
 
 
 
 Series Floaters XF 10 48, 3.49% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
3,400
3,400
 Series YX 12 87, 3.49% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
2,725
2,725
New Jersey Hsg. & Mtg. Fin. Agcy. Multi-family Rev. Participating VRDN Series Floater 2024, 3.7% 5/2/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
29,300
29,300
New Jersey Tpk. Auth. Tpk. Rev. Participating VRDN Series XM 10 96, 3.5% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
7,500
7,500
New Jersey Trans. Trust Fund Auth. Participating VRDN:
 
 
 
 Series Floaters XG 02 05, 3.49% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
8,115
8,115
 Series XF 15 57, 3.48% 4/4/24 (Liquidity Facility Toronto-Dominion Bank) (c)(f)(g)
 
3,435
3,435
 Series XF 16 75, 3.49% 4/4/24 (Liquidity Facility Toronto-Dominion Bank) (c)(f)(g)
 
3,170
3,170
 Series YX 12 68, 3.49% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
5,800
5,800
TOTAL NEW JERSEY
 
 
63,445
New York - 1.3%
 
 
 
New York City Gen. Oblig. Participating VRDN:
 
 
 
 Series Floaters E87, 3.48% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
8,200
8,200
 Series Floaters E88, 3.48% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
2,000
2,000
 Series Floaters XM 07 06, 3.48% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
1,900
1,900
 Series XF 13 08, 3.48% 4/4/24 (Liquidity Facility JPMorgan Chase Bank) (c)(f)(g)
 
2,520
2,520
 Series XF 13 27, 3.48% 4/4/24 (Liquidity Facility JPMorgan Chase Bank) (c)(f)(g)
 
4,000
4,000
New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev. Participating VRDN:
 
 
 
 Series Floaters E 129, 3.48% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
22,800
22,800
 Series XF 13 36, 3.48% 4/4/24 (Liquidity Facility JPMorgan Chase Bank) (c)(f)(g)
 
6,200
6,200
 Series XF 30 66, 3.48% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
2,500
2,500
 Series XF 30 71, 3.48% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
2,670
2,670
 Series XF 31 60, 3.47% 4/4/24 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (c)(f)(g)
 
3,750
3,750
 Series XL 05 38, 3.66% 4/4/24 (Liquidity Facility Wells Fargo Bank NA) (c)(f)(g)
 
2,090
2,090
New York Metropolitan Trans. Auth. Rev. Participating VRDN:
 
 
 
 Series XF 28 78, 3.49% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
2,600
2,600
 Series XF 30 00, 3.49% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
35,095
35,095
Triborough Bridge & Tunnel Auth. Participating VRDN Series XF 13 32, 3.48% 4/4/24 (Liquidity Facility JPMorgan Chase Bank) (c)(f)(g)
 
12,090
12,090
TOTAL NEW YORK
 
 
108,415
North Carolina - 0.2%
 
 
 
Charlotte Int'l. Arpt. Rev. Participating VRDN Series XF 16 03, 3.48% 4/4/24 (Liquidity Facility Bank of America NA) (c)(f)(g)
 
2,940
2,940
North Carolina Hsg. Fin. Agcy. Home Ownership Rev. Participating VRDN Series YX 13 16, 3.48% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
10,720
10,720
TOTAL NORTH CAROLINA
 
 
13,660
North Dakota - 0.2%
 
 
 
Monroeville Fin. Auth. UPMC Rev. Participating VRDN Series YX 11 85, 3.49% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
6,550
6,550
North Dakota Hsg. Fin. Agcy. Participating VRDN Series XG 05 59, 3.48% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
5,595
5,595
Wisconsin Hsg. & Econ. Dev. Auth. Participating VRDN Series XF 16 96, 3.48% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
4,440
4,440
TOTAL NORTH DAKOTA
 
 
16,585
Ohio - 0.6%
 
 
 
Allen County Hosp. Facilities Rev. Participating VRDN:
 
 
 
 Series Floaters E 134, 3.48% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
8,010
8,010
 Series Floaters XF 25 16, 3.54% 4/4/24 (Liquidity Facility Toronto-Dominion Bank) (c)(f)(g)
 
3,600
3,600
Brunswick Ohio City School District Participating VRDN Series XF 15 47, 3.48% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
2,750
2,750
Cuyahoga County Ctfs. of Prtn. Participating VRDN Series Floaters XG 02 06, 3.55% 4/4/24 (Liquidity Facility Bank of America NA) (c)(f)(g)
 
955
955
Cuyahoga County Hosp. Rev. Participating VRDN Series Floater BAML 23 5043, 3.52% 4/4/24 (Liquidity Facility Bank of America NA) (c)(f)(g)
 
2,900
2,900
Franklin County Hosp. Facilities Rev. Participating VRDN Series XG 05 07, 3.48% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
2,810
2,810
Hamilton County Hosp. Facilities Rev. Participating VRDN Series XG 05 25, 3.48% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
6,775
6,775
Montgomery County Hosp. Rev. Participating VRDN Series Floaters E 132, 3.48% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
14,685
14,685
Ohio Higher Edl. Facility Commission Rev. Participating VRDN Series XF 31 14, 3.48% 4/4/24 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (c)(f)(g)
 
2,875
2,875
Ohio Hosp. Rev. Participating VRDN Series C18, 3.49% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
2,100
2,100
Ohio Hsg. Fin. Agcy. Residential Mtg. Rev. Participating VRDN:
 
 
 
 Series Floaters XF 27 11, 3.48% 4/4/24 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (c)(f)(g)
 
3,660
3,660
 Series XF 31 45, 3.48% 4/4/24 (Liquidity Facility Wells Fargo Bank NA) (c)(f)(g)
 
3,155
3,155
TOTAL OHIO
 
 
54,275
Oklahoma - 0.0%
 
 
 
Oklahoma Dev. Fin. Auth. Health Sys. Rev. Participating VRDN Series E 140, 3.48% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
3,300
3,300
Oregon - 0.1%
 
 
 
Beaverton School District Participating VRDN Series 2022 XF 14 19, 3.48% 4/4/24 (Liquidity Facility JPMorgan Chase Bank) (c)(f)(g)
 
1,330
1,330
Multnomah County School District #1J Portland Participating VRDN Series XF 15 30, 3.48% 4/4/24 (Liquidity Facility JPMorgan Chase Bank) (c)(f)(g)
 
9,460
9,460
TOTAL OREGON
 
 
10,790
Pennsylvania - 0.8%
 
 
 
Commonwealth Fing. Auth. Tobacco Participating VRDN Series XX 10 80, 3.49% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
1,800
1,800
Cumberland County Muni. Auth. Rev. Participating VRDN Series YX 12 73, 3.49% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
5,985
5,985
Geisinger Auth. Health Sys. Rev. Participating VRDN Series XG 04 68, 3.48% 4/4/24 (Liquidity Facility Wells Fargo Bank NA) (c)(f)(g)
 
6,760
6,760
Lehigh County Gen. Purp. Hosp. Rev. Participating VRDN Series BAML 23 50 39, 3.53% 5/2/24 (Liquidity Facility Bank of America NA) (c)(f)(g)(h)
 
11,435
11,435
Pennsylvania Econ. Dev. Fing. Auth. Participating VRDN Series XF 15 25, 3.48% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
2,860
2,860
Pennsylvania Higher Edl. Facilities Auth. Rev. Participating VRDN Series XG 02 63, 3.48% 4/4/24 (Liquidity Facility Bank of America NA) (c)(f)(g)
 
840
840
Pennsylvania State Univ. Participating VRDN Series XM 08 27, 3.48% 4/4/24 (Liquidity Facility JPMorgan Chase Bank) (c)(f)(g)
 
2,700
2,700
Pennsylvania Tpk. Commission Tpk. Rev. Participating VRDN:
 
 
 
 Series XM 10 08, 3.48% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
835
835
 Series XX 10 44, 3.49% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
6,365
6,365
Philadelphia Wtr. & Wastewtr. Rev. Participating VRDN:
 
 
 
 Series 2017, 3.49% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
6,320
6,320
 Series XF 16 06, 3.49% 4/4/24 (Liquidity Facility Toronto-Dominion Bank) (c)(f)(g)
 
4,400
4,400
Southcentral Pennsylvania Gen. Auth. Rev. Participating VRDN:
 
 
 
 Series XL 01 04, 3.48% 4/4/24 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (c)(f)(g)
 
4,320
4,320
 Series ZL 05 12, 3.48% 4/4/24 (Liquidity Facility JPMorgan Chase Bank) (c)(f)(g)
 
3,335
3,335
Southeastern Pennsylvania Trans. Auth. Rev. Participating VRDN:
 
 
 
 Series 2022 XG 04 12, 3.48% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
3,115
3,115
 Series XM 10 57, 3.5% 4/4/24 (Liquidity Facility Bank of America NA) (c)(f)(g)
 
3,600
3,600
TOTAL PENNSYLVANIA
 
 
64,670
Rhode Island - 0.0%
 
 
 
Rhode Island Health and Edl. Bldg. Corp. Higher Ed. Facility Rev. Participating VRDN Series Floaters XM 07 21, 3.48% 4/4/24 (Liquidity Facility Wells Fargo Bank NA) (c)(f)(g)
 
2,865
2,865
South Carolina - 0.7%
 
 
 
Patriots Energy Group Fing. Agcy. Participating VRDN:
 
 
 
 Series XG 05 39, 3.48% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
2,000
2,000
 Series XM 11 43, 3.5% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
3,000
3,000
 Series ZF 16 70, 3.48% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
5,295
5,295
 Series ZF 16 71, 3.48% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
2,500
2,500
 Series ZL 05 15, 3.48% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)(h)
 
2,830
2,830
 Series ZL 05 25, 3.48% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
3,300
3,300
South Carolina Jobs-Econ. Dev. Auth. Participating VRDN Series XF 15 31, 3.49% 4/4/24 (Liquidity Facility Toronto-Dominion Bank) (c)(f)(g)
 
4,635
4,635
South Carolina Pub. Svc. Auth. Rev. Participating VRDN:
 
 
 
 Series 2017 XF 2425, 3.49% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
1,135
1,135
 Series XF 15 48, 3.48% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
3,000
3,000
 Series YX 12 69, 3.49% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
4,000
4,000
South Carolina Trans. Infrastructure Bank Rev. Participating VRDN Series Floaters XM 06 91, 3.48% 4/4/24 (Liquidity Facility JPMorgan Chase Bank) (c)(f)(g)
 
27,035
27,035
TOTAL SOUTH CAROLINA
 
 
58,730
South Dakota - 0.1%
 
 
 
South Dakota Health & Edl. Facilities Auth. Rev. Participating VRDN Series 2022 XF 14 09, 3.49% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
5,625
5,625
Tennessee - 0.2%
 
 
 
Greeneville Health & Edl. Facilities Board Participating VRDN:
 
 
 
 Series Floaters XF 25 76, 3.49% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
6,700
6,700
 Series Floaters XG 01 94, 3.49% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
5,535
5,535
Metropolitan Govt. Nashville & Davidson County Sports Auth. Rev. Participating VRDN Series XG 05 17, 3.48% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
5,875
5,875
Tennessee Energy Acquisition Corp. Participating VRDN Series ZF 16 58, 3.5% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
2,470
2,470
TOTAL TENNESSEE
 
 
20,580
Texas - 2.4%
 
 
 
Aldine Independent School District Participating VRDN Series Floaters XL 00 87, 3.48% 4/4/24 (Liquidity Facility Wells Fargo Bank NA) (c)(f)(g)
 
6,600
6,600
Austin Elec. Util. Sys. Rev. Participating VRDN:
 
 
 
 Series XF 31 12, 3.48% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
8,000
8,000
 Series XG 05 34, 3.48% 4/4/24 (Liquidity Facility Wells Fargo Bank NA) (c)(f)(g)
 
5,330
5,330
Crowley Independent School Dis Participating VRDN Series XG 05 13, 3.48% 4/4/24 (Liquidity Facility Bank of America NA) (c)(f)(g)
 
2,000
2,000
Dallas Wtrwks. & Swr. Sys. Rev. Participating VRDN Series XF 27 28, 3.48% 4/4/24 (Liquidity Facility JPMorgan Chase Bank) (c)(f)(g)
 
6,395
6,395
Denton Independent School District Participating VRDN:
 
 
 
 Series XF 15 52, 3.49% 4/4/24 (Liquidity Facility Toronto-Dominion Bank) (c)(f)(g)
 
4,000
4,000
 Series XF 31 28, 3.47% 4/4/24 (Liquidity Facility UBS AG) (c)(f)(g)
 
5,150
5,150
 Series XF 31 39, 3.48% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
6,000
6,000
 Series XF 31 65, 3.47% 4/4/24 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (c)(f)(g)
 
8,000
8,000
 Series ZF 16 74, 3.48% 4/4/24 (Liquidity Facility JPMorgan Chase Bank) (c)(f)(g)
 
3,240
3,240
El Paso Wtr. & Swr. Rev. Bonds Series G 124, 3.65%, tender 9/3/24 (Liquidity Facility Royal Bank of Canada) (c)(d)(e)(f)(g)
 
2,700
2,700
Forney Independent School District Participating VRDN Series 2022 XL 03 62, 3.48% 4/4/24 (Liquidity Facility Bank of America NA) (c)(f)(g)
 
2,770
2,770
Goose Creek Consolidated Independent School District Participating VRDN Series XM 10 56, 3.48% 4/4/24 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (c)(f)(g)
 
3,750
3,750
Harris County Health Facilities Dev. Corp. Rev. Participating VRDN Series 16 ZF 03 12, 3.48% 4/4/24 (Liquidity Facility JPMorgan Chase Bank) (c)(f)(g)
 
8,430
8,430
Katy Independent School District Participating VRDN Series XF 31 16, 3.48% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
8,000
8,000
Lamar Consolidated Independent School District Participating VRDN:
 
 
 
 Series XF 16 57, 3.49% 4/4/24 (Liquidity Facility Toronto-Dominion Bank) (c)(f)(g)
 
3,100
3,100
 Series XF 31 31, 3.48% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
7,000
7,000
New Braunfels Independent School District Participating VRDN Series 2022 XM 10 63, 3.48% 4/4/24 (Liquidity Facility Bank of America NA) (c)(f)(g)
 
3,750
3,750
North Ft. Bend Wtr. Auth. Participating VRDN Series 2022 XF 30 23, 3.48% 4/4/24 (Liquidity Facility Wells Fargo Bank NA) (c)(f)(g)
 
7,620
7,620
Northwest Independent School District Participating VRDN Series XF 15 76, 3.48% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
2,675
2,675
Princeton Independent School District Participating VRDN Series XF 31 92, 3.47% 4/4/24 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (c)(f)(g)
 
3,125
3,125
Red Oak Independent School District Participating VRDN Series XG 05 12, 3.48% 4/4/24 (Liquidity Facility Bank of America NA) (c)(f)(g)
 
3,385
3,385
Royse City Independent School District Participating VRDN Series XF 16 08, 3.49% 4/4/24 (Liquidity Facility Toronto-Dominion Bank) (c)(f)(g)
 
3,200
3,200
San Antonio Wtr. Sys. Rev. Participating VRDN:
 
 
 
 Series XF 14 47, 3.48% 4/4/24 (Liquidity Facility Bank of America NA) (c)(f)(g)
 
2,000
2,000
 Series XF 31 36, 3.48% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
10,105
10,105
Spring Tex Independent School District Participating VRDN Series XF 30 89, 3.48% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
4,630
4,630
Tarrant County Cultural Ed. Facilities Fin. Corp. Hosp. Rev. Participating VRDN:
 
 
 
 Series E 141, 3.48% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
10,320
10,320
 Series XL 03 60, 3.48% 4/4/24 (Liquidity Facility Wells Fargo Bank NA) (c)(f)(g)
 
2,745
2,745
 Series ZF 16 68, 3.48% 4/4/24 (Liquidity Facility JPMorgan Chase Bank) (c)(f)(g)
 
2,260
2,260
Tarrant County Cultural Ed. Facilities Fin. Corp. Rev. Participating VRDN Series 2021 E1 50, 3.48% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
4,000
4,000
Tender Option Bond Trust Receipts Participating VRDN Series ZF 32 01, 3.47% 4/4/24 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (c)(f)(g)
 
2,890
2,890
Texas Wtr. Dev. Board Rev.:
 
 
 
 Bonds Series MS 00 17, 3.6%, tender 4/25/24 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (c)(d)(f)(g)
 
3,600
3,600
 Participating VRDN:
 
 
 
Series 2022 XM 1066, 3.47% 4/4/24 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (c)(f)(g)
 
 
9,380
9,380
Series Floaters XF 25 57, 3.49% 4/4/24 (Liquidity Facility Toronto-Dominion Bank) (c)(f)(g)
 
 
5,600
5,600
Series Floaters XF 27 30, 3.48% 4/4/24 (Liquidity Facility JPMorgan Chase Bank) (c)(f)(g)
 
 
4,310
4,310
Series Floaters XG 02 11, 3.48% 4/4/24 (Liquidity Facility Bank of America NA) (c)(f)(g)
 
 
10,000
10,000
Series XF 16 64, 3.48% 4/4/24 (Liquidity Facility Bank of America NA) (c)(f)(g)
 
 
2,000
2,000
Series XM 10 82, 3.48% 4/4/24 (Liquidity Facility JPMorgan Chase Bank) (c)(f)(g)
 
 
5,000
5,000
Waxahachie Independent School District Participating VRDN Series XF 15 53, 3.49% 4/4/24 (Liquidity Facility Toronto-Dominion Bank) (c)(f)(g)
 
4,560
4,560
Ysleta Tex Independent School District Participating VRDN Series XF 13 38, 3.48% 4/4/24 (Liquidity Facility Bank of America NA) (c)(f)(g)
 
4,000
4,000
TOTAL TEXAS
 
 
201,620
Utah - 0.0%
 
 
 
Utah County Hosp. Rev. Participating VRDN Series XM 10 03, 3.48% 4/4/24 (Liquidity Facility JPMorgan Chase Bank) (c)(f)(g)
 
2,435
2,435
Virginia - 0.8%
 
 
 
Chesapeake Bay Bridge and Tunnel District Gen. Resolution Rev. Participating VRDN Series XF 30 64, 3.49% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
4,200
4,200
Fairfax County Indl. Dev. Auth. Participating VRDN Series Floaters XG 01 91, 3.48% 4/4/24 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (c)(f)(g)
 
7,136
7,136
Hampton Roads Trans. Accountability Commission Participating VRDN:
 
 
 
 Series XM 11 49, 3.48% 4/4/24 (Liquidity Facility JPMorgan Chase Bank) (c)(f)(g)
 
5,000
5,000
 Series ZL 02 67, 3.48% 4/4/24 (Liquidity Facility Wells Fargo Bank NA) (c)(f)(g)
 
2,250
2,250
Norfolk Econ. Dev. Health Care Facilities Participating VRDN Series 2022 C20, 3.49% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
5,000
5,000
Suffolk Econ. Dev. Auth. Hosp. Facilities Rev. Participating VRDN Series MIZ 90 25, 3.55% 4/4/24 (Liquidity Facility Mizuho Cap. Markets LLC) (c)(f)(g)
 
31,320
31,320
Univ. of Virginia Gen. Rev. Participating VRDN Series XG 04 08, 3.48% 4/4/24 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (c)(f)(g)
 
3,375
3,375
Williamsburg Econ. Dev. Participating VRDN Series XF 15 46, 3.48% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)(h)
 
6,955
6,955
TOTAL VIRGINIA
 
 
65,236
Washington - 1.0%
 
 
 
Central Puget Sound Reg'l. Trans. Auth. Sales & Use Tax Rev.:
 
 
 
 Bonds Series G 123, 3.65%, tender 5/1/24 (Liquidity Facility Royal Bank of Canada) (c)(d)(f)(g)
 
2,000
2,000
 Participating VRDN Series XM 11 01, 3.46% 4/4/24 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (c)(f)(g)
 
3,245
3,245
CommonSpirit Health Participating VRDN Series XF 1017, 3.68% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
6,000
6,000
Multicare Health Sys. Participating VRDN Series E 153, 3.48% 4/4/24 (Liquidity Facility Royal Bank of Canada) (c)(f)(g)
 
20,940
20,940
Three Rivs Wash Reg'l. Wastewate Participating VRDN Series 2023, 3.57% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
1,420
1,420
Washington Convention Ctr. Pub. Facilities Participating VRDN:
 
 
 
 Series 2022 XX 12 38, 3.49% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
19,715
19,715
 Series XG 02 87, 3.49% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
2,100
2,100
Washington Gen. Oblig. Participating VRDN:
 
 
 
 Series ZF 31 73, 3.48% 4/4/24 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (c)(f)(g)
 
5,000
5,000
 Series ZL 04 90, 3.48% 4/4/24 (Liquidity Facility Wells Fargo Bank NA) (c)(f)(g)
 
1,665
1,665
 Series ZL 04 91, 3.48% 4/4/24 (Liquidity Facility Wells Fargo Bank NA) (c)(f)(g)
 
1,665
1,665
Washington Health Care Facilities Auth. Rev. Participating VRDN:
 
 
 
 Series 2015 XF0150, 3.5% 4/4/24 (Liquidity Facility Bank of America NA) (c)(f)(g)
 
3,165
3,165
 Series XF 15 14, 3.49% 4/4/24 (Liquidity Facility Toronto-Dominion Bank) (c)(f)(g)
 
4,015
4,015
 Series XF 30 62, 3.49% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
1,300
1,300
 Series XG 04 75, 3.49% 4/4/24 (Liquidity Facility Toronto-Dominion Bank) (c)(f)(g)
 
5,290
5,290
 Series XG 04 81, 3.49% 4/4/24 (Liquidity Facility Toronto-Dominion Bank) (c)(f)(g)
 
3,905
3,905
TOTAL WASHINGTON
 
 
81,425
West Virginia - 0.1%
 
 
 
West Virginia Hosp. Fin. Auth. Hosp. Rev. Participating VRDN Series XF 15 37, 3.49% 4/4/24 (Liquidity Facility Toronto-Dominion Bank) (c)(f)(g)
 
5,525
5,525
Wisconsin - 0.3%
 
 
 
Univ. of Wisconsin Hosp. & Clinics Auth. Participating VRDN Series XL 02 96, 3.48% 4/4/24 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (c)(f)(g)
 
4,000
4,000
Wisconsin Health & Edl. Facilities Participating VRDN:
 
 
 
 Series Floaters XF 07 41, 3.48% 4/4/24 (Liquidity Facility JPMorgan Chase Bank) (c)(f)(g)
 
6,820
6,820
 Series Floaters XF 25 41, 3.48% 4/4/24 (Liquidity Facility JPMorgan Chase Bank) (c)(f)(g)
 
10,000
10,000
 Series XL 04 83, 3.48% 4/4/24 (Liquidity Facility Barclays Bank PLC) (c)(f)(g)
 
2,250
2,250
TOTAL WISCONSIN
 
 
23,070
 
TOTAL TENDER OPTION BOND
 (Cost $1,824,360)
 
 
 
1,824,360
 
 
 
 
Other Municipal Security - 17.7%
 
 
Principal
Amount (a)
(000s)
 
Value ($)
(000s)
 
Alabama - 0.0%
 
 
 
Alabama Fed. Aid Hwy. Fin. Auth. Bonds Series 2015, 4% 9/1/24 (Pre-Refunded to 9/1/24 @ 100)
 
2,025
2,026
Arizona - 0.0%
 
 
 
Phoenix Civic Impt. Board Arpt. Rev. Bonds Series 2017 D, 5% 7/1/24
 
540
542
California - 1.5%
 
 
 
California Gen. Oblig. Series 2024 A2, 3.55% 6/12/24, LOC Royal Bank of Canada, CP
 
30,000
30,000
Univ. of California Revs. Series 2024:
 
 
 
 3.5% 8/5/24, CP
 
36,200
36,200
 3.53% 7/25/24, CP
 
29,000
29,000
 3.65% 7/25/24, CP
 
16,500
16,500
 3.65% 7/25/24, CP
 
16,200
16,200
TOTAL CALIFORNIA
 
 
127,900
Colorado - 0.1%
 
 
 
Colorado Ed. Ln. Prog. TRAN Series 2023 A, 5% 6/28/24
 
5,010
5,023
Connecticut - 0.3%
 
 
 
Connecticut Gen. Oblig. Bonds Series 2022 D, 5% 9/15/24
 
900
905
Danbury Gen. Oblig. BAN Series 2024, 5% 9/24/24 (b)
 
24,000
24,155
TOTAL CONNECTICUT
 
 
25,060
Florida - 0.5%
 
 
 
Broward County School Board Ctfs. of Prtn. Bonds Series 2015 A, 5% 7/1/24
 
1,775
1,780
Broward County School District TAN Series 2023, 5% 6/28/24
 
2,630
2,637
Florida Local Govt. Fin. Cmnty. Series 2024 A1, 3.5% 4/2/24, LOC JPMorgan Chase Bank, CP
 
13,900
13,900
Martin County Health Facilities Bonds Series 2015, 5% 11/15/24 (Pre-Refunded to 11/15/24 @ 100)
 
600
605
Miami-Dade County School Board Ctfs. of Prtn. Bonds:
 
 
 
 Series 2015 A, 5% 5/1/24
 
4,375
4,378
 Series 2015 B, 5% 5/1/24
 
700
701
Miami-Dade County School District TAN Series 2023, 5% 6/18/24
 
6,190
6,205
Orlando Fla Contract Tourist D Bonds Series 2014 A:
 
 
 
 5% 5/1/24 (Pre-Refunded to 5/1/24 @ 100)
 
2,620
2,622
 5.25% 5/1/24 (Pre-Refunded to 5/1/24 @ 100)
 
1,920
1,922
Polk County Indl. Dev. Auth. Health Sys. Rev. Bonds:
 
 
 
 Series 2014 A, SIFMA Municipal Swap Index + 0.300% 3.75%, tender 10/24/24 (c)(e)
 
1,000
1,000
 Series 2014 A1, SIFMA Municipal Swap Index + 0.250% 3.7%, tender 10/24/24 (c)(e)
 
3,800
3,800
Tampa Health Sys. Rev. Bonds Series 2012 B, SIFMA Municipal Swap Index + 0.300% 3.75%, tender 10/24/24 (c)(e)
 
5,300
5,300
TOTAL FLORIDA
 
 
44,850
Georgia - 0.3%
 
 
 
Clarke County Hosp. Auth. Bonds (Piedmont Heatlhcare, Inc. Proj.) Series 2016 A, 5% 7/1/24
 
730
732
Fayette County Hosp. Auth. Rev. Bonds (Piedmont Healthcare, Inc. Proj.) Series 2019 A, 5%, tender 7/1/24 (c)
 
2,000
2,003
Fulton County Dev. Auth. Bonds (Piedmont Healthcare, Inc. Proj.) Series 2016 A, 5% 7/1/24
 
1,950
1,956
Georgia Muni. Elec. Auth. Pwr. Rev. Series 2024 B, 3.45% 6/5/24, LOC TD Banknorth, NA, CP
 
10,800
10,800
Houston County Hosp. Auth. Rev. Bonds:
 
 
 
 Series 2016 A, 5% 4/1/24 (Pre-Refunded to 4/1/24 @ 100)
 
2,260
2,260
 Series 2016 B, 5% 4/1/24 (Pre-Refunded to 4/1/24 @ 100) (c)
 
2,500
2,500
Private Colleges & Univs. Auth. Rev. Bonds (The Savannah College of Art and Design Projs.) Series 2014, 5% 4/1/24 (Pre-Refunded to 4/1/24 @ 100)
 
1,165
1,165
TOTAL GEORGIA
 
 
21,416
Idaho - 0.1%
 
 
 
Idaho Health Facilities Auth. Hosp. Rev. Bonds Series 2013 ID, 3.7%, tender 5/1/24 (c)
 
7,400
7,400
Illinois - 0.8%
 
 
 
Chicago Metropolitan Wtr. Reclamation District of Greater Chicago Bonds Series 2021 C, 5% 12/1/24
 
815
821
Cook County Gen. Oblig. Bonds Series 2022 A, 5% 11/15/24
 
2,790
2,816
Illinois Fin. Auth. Rev. Bonds:
 
 
 
 (Advocate Health Care Network Proj.) Series 2011 B, SIFMA Municipal Swap Index + 0.300% 3.78%, tender 10/24/24 (c)(e)
 
600
600
 Series 2014 A, 5% 9/1/24 (Pre-Refunded to 9/1/24 @ 100)
 
500
503
 Series 2014:
 
 
 
5% 8/1/24
 
 
955
959
5% 8/1/24 (Pre-Refunded to 8/1/24 @ 100)
 
 
2,000
2,010
5% 8/1/24 (Pre-Refunded to 8/1/24 @ 100)
 
 
1,880
1,890
5% 8/1/24 (Pre-Refunded to 8/1/24 @ 100)
 
 
4,620
4,636
 Series 2016 A, 5% 8/15/24 (Escrowed to Maturity)
 
2,185
2,196
Illinois Gen. Oblig. Bonds:
 
 
 
 Series 2016, 5% 6/1/24
 
5,475
5,483
 Series 2017 D, 5% 11/1/24
 
16,120
16,217
 Series 2018 A, 4% 5/1/24
 
660
660
 Series 2018 B, 5% 10/1/24
 
610
614
 Series 2019 A, 5% 11/1/24
 
1,000
1,004
 Series 2021 A, 5% 12/1/24
 
445
449
 Series 2023 C, 5% 5/1/24
 
1,125
1,126
 Series 2023 D, 5% 7/1/24
 
1,620
1,625
Illinois Hsg. Dev. Auth. Bonds Series 2023 G, 3.5%, tender 6/4/24 (c)
 
18,600
18,600
Illinois Reg'l. Trans. Auth. Bonds Series 2017 A, 5% 7/1/24
 
745
747
Illinois Sales Tax Rev. Bonds Series 2016 C, 4% 6/15/24
 
1,610
1,610
TOTAL ILLINOIS
 
 
64,566
Kansas - 0.0%
 
 
 
Johnson County Unified School District # 233 Bonds Series 2016 A, 4% 9/1/24 (Pre-Refunded to 9/1/24 @ 100)
 
500
501
Wichita Gen. Oblig. BAN Series 2023, 5% 10/15/24
 
995
1,003
TOTAL KANSAS
 
 
1,504
Kentucky - 0.1%
 
 
 
Kentucky State Property & Buildings Commission Rev. Bonds:
 
 
 
 Series 2015, 5% 8/1/24
 
1,850
1,858
 Series 2016 B, 5% 11/1/24
 
1,000
1,009
 Series B, 5% 8/1/24
 
2,645
2,656
TOTAL KENTUCKY
 
 
5,523
Louisiana - 0.0%
 
 
 
Louisiana Gas & Fuel Tax Rev. Bonds Series 2014 B:
 
 
 
 5% 5/1/24 (Pre-Refunded to 5/1/24 @ 100)
 
655
656
 5% 5/1/24 (Pre-Refunded to 5/1/24 @ 100)
 
680
681
Louisiana Pub. Facilities Auth. Rev. Bonds (Hurricane Recovery Prog.) Series 2014:
 
 
 
 5% 6/1/24 (Pre-Refunded to 6/1/24 @ 100)
 
530
531
 5% 6/1/24 (Pre-Refunded to 6/1/24 @ 100)
 
400
401
TOTAL LOUISIANA
 
 
2,269
Maryland - 0.2%
 
 
 
Maryland Health & Higher Edl. Facilities Auth. Rev. Bonds Series 2014:
 
 
 
 5% 7/1/24 (Escrowed to Maturity)
 
500
502
 5.25% 7/1/24 (Pre-Refunded to 7/1/24 @ 100)
 
1,290
1,293
 5.25% 7/1/24 (Pre-Refunded to 7/1/24 @ 100)
 
5,500
5,515
 5.25% 7/1/24 (Pre-Refunded to 7/1/24 @ 100)
 
1,320
1,325
Montgomery County Gen. Oblig. Bonds Series 2013 MD, 3.75%, tender 6/3/24 (c)
 
5,600
5,600
TOTAL MARYLAND
 
 
14,235
Massachusetts - 0.2%
 
 
 
Ashland Gen. Oblig. BAN Series 2023, 5% 10/10/24
 
8,788
8,840
Chicopee Gen. Oblig. BAN Series 2023, 5% 6/13/24
 
3,929
3,938
Southbridge BAN Series 2023, 5% 5/31/24
 
5,000
5,010
TOTAL MASSACHUSETTS
 
 
17,788
Michigan - 1.0%
 
 
 
Kent Hosp. Fin. Auth. Hosp. Facilities Rev. Bonds (Spectrum Health Sys. Proj.) Series 2015 A, SIFMA Municipal Swap Index + 0.250% 3.7%, tender 10/24/24 (c)(e)
 
2,715
2,715
Michigan Bldg. Auth. Rev. Series 2024, 3.7% 4/25/24, LOC JPMorgan Chase Bank, CP
 
74,300
74,300
Michigan Fin. Auth. Rev. Bonds:
 
 
 
 (Mid-Michigan Health Sys. Proj.) Series 2014, 5% 6/1/24 (Pre-Refunded to 6/1/24 @ 100)
 
530
531
 Series 2013 M1, 3.75%, tender 6/3/24 (c)
 
2,100
2,100
 Series 2015 A:
 
 
 
5% 8/1/24 (Pre-Refunded to 8/1/24 @ 100)
 
 
1,380
1,386
5% 8/1/24 (Pre-Refunded to 8/1/24 @ 100)
 
 
370
372
5% 8/1/24 (Pre-Refunded to 8/1/24 @ 100)
 
 
300
301
 Series 2022 A, 5% 4/15/24
 
2,090
2,091
Michigan Hosp. Fin. Auth. Rev. Bonds:
 
 
 
 Series 2005 A3, 4% 11/1/24
 
275
276
 Series 2010 F3, 4%, tender 7/1/24 (c)
 
710
711
TOTAL MICHIGAN
 
 
84,783
Minnesota - 0.0%
 
 
 
Minnesota Gen. Oblig. Bonds:
 
 
 
 Series 2019 B, 5% 8/1/24
 
1,000
1,004
 Series 2021 A, 5% 9/1/24
 
750
753
 Series 2023 D, 5% 8/1/24
 
530
532
TOTAL MINNESOTA
 
 
2,289
Nebraska - 0.3%
 
 
 
Omaha Pub. Pwr. District Elec. Rev.:
 
 
 
 Series 2023 A, 3.7% 4/2/24, CP
 
9,950
9,950
 Series 2024 A:
 
 
 
3.57% 6/4/24, CP
 
 
5,300
5,300
3.6% 7/1/24, CP
 
 
7,500
7,500
TOTAL NEBRASKA
 
 
22,750
Nevada - 0.1%
 
 
 
Clark County School District Bonds:
 
 
 
 Series 2016 A, 5% 6/15/24
 
3,380
3,388
 Series 2016 C, 5% 6/15/24
 
1,085
1,087
 Series 2016 E, 5% 6/15/24
 
960
962
 Series 2017 A, 5% 6/15/24
 
1,250
1,253
 Series 2017 C, 5% 6/15/24
 
570
571
 Series 2020 A, 3% 6/15/24
 
575
574
Las Vegas Valley Wtr. District Wtr. Impt. Gen. Oblig. Bonds Series 2021 C, 5% 6/1/24
 
2,685
2,690
TOTAL NEVADA
 
 
10,525
New Jersey - 1.1%
 
 
 
Bergen County Impt. Auth. Rev. Bonds Series 2023, 4.5% 5/31/24 (Bergen County Gen. Oblig. Guaranteed)
 
15,800
15,825
Branchburg Township BAN Series 2023, 5% 10/10/24
 
6,300
6,336
Brick Township Gen. Oblig. BAN Series 2023, 5% 6/12/24
 
11,233
11,261
East Brunswick Township Gen. Oblig. BAN Series 2023, 5% 7/17/24
 
24,500
24,599
Florence Township BAN Series 2023, 5% 5/31/24
 
6,782
6,798
Freehold Township BAN Series 2023, 5% 10/23/24
 
17,745
17,842
Jefferson Township Gen. Oblig. BAN Series 2023, 5% 6/14/24
 
4,800
4,812
New Jersey Sports & Exposition Auth. Contract Rev. Bonds Series 2018 A, 5% 9/1/24
 
500
503
New Jersey Trans. Trust Fund Auth. Bonds:
 
 
 
 Series 2004 A, 5.75% 6/15/24
 
525
527
 Series 2006 C, 0% 12/15/24
 
1,000
974
 Series 2013 A, 5% 6/15/24
 
485
486
 Series 2023 A, 5% 6/15/24
 
360
361
Tenafly BAN Series 2023, 4.25% 5/24/24
 
7,100
7,108
Woolwich Township BAN Series 2023, 5% 5/23/24
 
2
2
TOTAL NEW JERSEY
 
 
97,434
New York - 1.2%
 
 
 
Commack Union Free School District TAN Series 2023, 5% 6/26/24
 
9,000
9,019
Half Hollow Hills Central School District of Huntington & Babylon TAN Series 2023, 4.5% 6/25/24
 
32,600
32,640
Hempstead Town Gen. Oblig. BAN Series 2023, 5% 5/24/24
 
7
7
Horseheads Central School District BAN Series 2023, 4.75% 6/21/24
 
11,451
11,479
Lancaster Central School District BAN Series 2023, 5% 6/7/24
 
12,540
12,569
Saratoga County Gen. Oblig. BAN Series 2023, 5% 9/20/24
 
26,275
26,432
Webster Town BAN Series 2023, 5% 8/28/24
 
11,300
11,358
TOTAL NEW YORK
 
 
103,504
North Carolina - 0.0%
 
 
 
North Carolina Hsg. Fin. Agcy. Home Ownership Rev. Bonds Series 2022 48, 5% 7/1/24
 
700
702
Ohio - 0.4%
 
 
 
American Muni. Pwr. BAN (City of Wapakoneta Proj.) Series 2023, 4.5% 6/21/24 (Ohio Gen. Oblig. Guaranteed)
 
2,470
2,474
Bowling Green City School District BAN Series 2023, 4.75% 6/3/24
 
3,600
3,606
Columbus Gen. Oblig. Bonds Series 2017 A, 4% 4/1/24
 
1,060
1,060
Dublin City School District BAN Series 2023, 5% 12/18/24
 
2,650
2,673
Franklin County Rev. Bonds Series 2013 OH, 3.7%, tender 5/1/24 (c)
 
11,300
11,300
Hamilton Gen. Oblig. BAN Series 2023, 4.5% 12/19/24 (Ohio Gen. Oblig. Guaranteed)
 
3,600
3,622
Ohio Gen. Oblig. Bonds Series 2014 R:
 
 
 
 5% 5/1/24 (Pre-Refunded to 5/1/24 @ 100)
 
675
676
 5% 5/1/24 (Pre-Refunded to 5/1/24 @ 100)
 
820
821
Springfield Gen. Oblig. BAN Series 2024, 4.125% 3/27/25 (Ohio Gen. Oblig. Guaranteed) (h)
 
2,915
2,933
Wyoming City School District BAN Series 2023, 5.5% 5/15/24
 
2,300
2,304
Yellow Springs Exempted Village School District BAN Series 2023, 5% 6/12/24 (Ohio Gen. Oblig. Guaranteed)
 
5,300
5,313
TOTAL OHIO
 
 
36,782
Oklahoma - 0.2%
 
 
 
Oklahoma City Wtr. Utils. Series 2024 A, 3.58% 4/4/24 (Liquidity Facility State Street Bank & Trust Co., Boston), CP
 
20,650
20,650
Oregon - 0.0%
 
 
 
Beaverton School District Bonds:
 
 
 
 Series 2014 B, 5% 6/15/24 (Pre-Refunded to 6/15/24 @ 100)
 
1,400
1,403
 Series 2022 B, 5% 6/15/24 (Oregon Gen. Oblig. Guaranteed)
 
1,680
1,684
Salem Hosp. Facility Auth. Rev. Bonds (Salem Health Projs.) Series 2019 A, 5% 5/15/24
 
330
330
TOTAL OREGON
 
 
3,417
Pennsylvania - 0.1%
 
 
 
Commonwealth Fing. Auth. Rev. Bonds Series 2015 B1, 5% 6/1/24
 
950
951
Commonwealth Fing. Auth. Tobacco Bonds Series 2018, 5% 6/1/24
 
2,020
2,024
Philadelphia Wtr. & Wastewtr. Rev. Bonds Series 2015 A, 5% 7/1/24 (Pre-Refunded to 7/1/24 @ 100)
 
650
652
TOTAL PENNSYLVANIA
 
 
3,627
South Carolina - 0.5%
 
 
 
Anderson County School District No. 004 BAN Series 2024, 4% 3/27/25
 
35,400
35,575
Berkeley County School District Bonds Series 2023 A, 5% 5/30/24
 
3,165
3,172
Charleston County School District:
 
 
 
 BAN (Sales Tax Projs. - Phase V) Series 2023 B, 5% 5/9/24
 
1,020
1,021
 TAN Series 2023, 4.5% 4/1/24
 
825
825
Greenville County School District Bonds Series 2023 B, 5% 6/25/24
 
2,355
2,361
TOTAL SOUTH CAROLINA
 
 
42,954
Tennessee - 0.2%
 
 
 
Memphis Gen. Oblig. Series 2024 A, 3.5% 6/4/24 (Liquidity Facility TD Banknorth, NA), CP
 
17,600
17,600
Texas - 7.4%
 
 
 
Austin Elec. Util. Sys. Rev. Series 2024 A:
 
 
 
 3.59% 6/17/24 (Liquidity Facility JPMorgan Chase Bank), CP
 
20,100
20,100
 3.7% 6/5/24 (Liquidity Facility JPMorgan Chase Bank), CP
 
37,300
37,300
 3.7% 6/5/24 (Liquidity Facility JPMorgan Chase Bank), CP
 
7,600
7,600
 3.7% 6/6/24 (Liquidity Facility JPMorgan Chase Bank), CP
 
13,800
13,800
 3.7% 6/6/24 (Liquidity Facility JPMorgan Chase Bank), CP
 
2,100
2,100
Dallas Independent School District Bonds Series 2014 A, 5% 8/15/24 (Pre-Refunded to 8/15/24 @ 100)
 
490
492
Fort Bend Independent School District:
 
 
 
 Bonds Series 2022 A, 5% 8/15/24 (Permanent School Fund of Texas Guaranteed)
 
1,200
1,206
 Series 2024:
 
 
 
3.6% 4/10/24 (Liquidity Facility JPMorgan Chase Bank), CP
 
 
2,500
2,500
3.6% 4/10/24 (Liquidity Facility JPMorgan Chase Bank), CP
 
 
12,700
12,700
Harris County Cultural Ed. Facilities Fin. Corp. Rev. Bonds:
 
 
 
 Series 2014 A, 5% 12/1/24
 
1,200
1,212
 Series 2023 B2, 3.7% tender 4/1/24, CP mode
 
27,625
27,625
 Series 2024 B1, 3.52% tender 6/3/24, CP mode
 
22,700
22,700
Harris County Gen. Oblig.:
 
 
 
 Series 2024 D:
 
 
 
3.7% 6/11/24 (Liquidity Facility JPMorgan Chase Bank), CP
 
 
10,100
10,100
3.75% 8/1/24 (Liquidity Facility JPMorgan Chase Bank), CP
 
 
7,620
7,620
 Series 2024 D2:
 
 
 
3.55% 6/4/24 (Liquidity Facility State Street Bank & Trust Co., Boston), CP
 
 
6,500
6,500
3.65% 5/3/24 (Liquidity Facility State Street Bank & Trust Co., Boston), CP
 
 
3,150
3,150
 Series 2024 K2, 3.5% 4/18/24, LOC Barclays Bank PLC, CP
 
2,630
2,630
Houston Higher Ed. Fin. Corp. Higher Ed. Rev. Series 2024 A, 3.65% 5/24/24, CP
 
7,000
7,000
Houston Util. Sys. Rev. Bonds Series 2014 C, 5% 5/15/24
 
1,565
1,567
Leander Independent School District Bonds:
 
 
 
 Series 2014 C:
 
 
 
0% 8/15/24 (Pre-Refunded to 8/15/24 @ 25.261)
 
 
1,335
335
0% 8/15/24 (Pre-Refunded to 8/15/24 @ 32.395)
 
 
6,700
2,187
 Series 2022, 5% 8/15/24 (Permanent School Fund of Texas Guaranteed)
 
1,200
1,205
Lower Colorado River Auth. Rev. Series 2023, 3.7% 4/16/24, LOC JPMorgan Chase Bank, LOC State Street Bank & Trust Co., Boston, CP
 
35,400
35,400
New Hope Cultural Ed. Facilities Fin. Corp. Bonds (CHF - Collegiate Hsg. Stephenville II, L.L.C. - Tarleton State Univ. Proj.) Series 2014 A, 5% 4/1/24 (Pre-Refunded to 4/1/24 @ 100)
 
1,335
1,335
Red Riv Health Facilities Dev. Corp. T Bonds (MRC The Crossings Proj.) Series 2014 A, 7.75% 11/15/24 (Pre-Refunded to 11/15/24 @ 100)
 
1,815
1,859
Tarrant County Cultural Ed. Facilities Fin. Corp. Hosp. Rev. Bonds (Baylor Health Care Sys. Proj.):
 
 
 
 Series 2011 B, SIFMA Municipal Swap Index + 0.300% 3.78%, tender 10/24/24 (c)(e)
 
8,400
8,400
 Series 2013 B, SIFMA Municipal Swap Index + 0.300% 3.78%, tender 10/24/24 (c)(e)
 
2,400
2,400
Texas A&M Univ. Rev.:
 
 
 
 Bonds Series 2016 E, 5% 5/15/24
 
610
611
 Series 2024 B:
 
 
 
3.6% 6/3/24, CP
 
 
12,900
12,900
3.6% 6/5/24, CP
 
 
18,000
18,000
Texas Pub. Fin. Auth. Rev. Series 2024 B, 3.65% 5/8/24 (Liquidity Facility Texas Gen. Oblig.), CP
 
39,775
39,775
Texas Trans. Commission State Hwy. Fund Rev. Bonds Series 2014 A:
 
 
 
 5% 4/1/24
 
1,330
1,330
 5% 4/1/24 (Pre-Refunded to 4/1/24 @ 100)
 
750
750
 5% 4/1/24 (Pre-Refunded to 4/1/24 @ 100)
 
2,130
2,130
Texas Wtr. Dev. Board Rev. Bonds:
 
 
 
 Series 2018 B, 5% 10/15/24
 
950
955
 Series 2022, 5% 8/1/24
 
640
643
Univ. of Texas Board of Regents Sys. Rev.:
 
 
 
 Series 2023 A:
 
 
 
3.65% 4/3/24 (Liquidity Facility Univ. of Texas Invt. Mgmt. Co.), CP
 
 
18,000
18,000
3.65% 4/4/24 (Liquidity Facility Univ. of Texas Invt. Mgmt. Co.), CP
 
 
18,000
18,000
3.7% 4/23/24 (Liquidity Facility Univ. of Texas Invt. Mgmt. Co.), CP
 
 
7,200
7,200
3.7% 4/24/24 (Liquidity Facility Univ. of Texas Invt. Mgmt. Co.), CP
 
 
18,100
18,100
3.7% 4/25/24 (Liquidity Facility Univ. of Texas Invt. Mgmt. Co.), CP
 
 
3,600
3,600
 Series 2024 A:
 
 
 
3.45% 9/19/24 (Liquidity Facility Univ. of Texas Invt. Mgmt. Co.), CP
 
 
13,500
13,500
3.45% 9/20/24 (Liquidity Facility Univ. of Texas Invt. Mgmt. Co.), CP
 
 
9,700
9,700
3.45% 10/16/24 (Liquidity Facility Univ. of Texas Invt. Mgmt. Co.), CP
 
 
10,300
10,300
3.48% 10/15/24 (Liquidity Facility Univ. of Texas Invt. Mgmt. Co.), CP
 
 
6,800
6,800
3.48% 10/18/24 (Liquidity Facility Univ. of Texas Invt. Mgmt. Co.), CP
 
 
3,500
3,500
3.5% 8/13/24 (Liquidity Facility Univ. of Texas Invt. Mgmt. Co.), CP
 
 
13,700
13,700
3.5% 8/14/24 (Liquidity Facility Univ. of Texas Invt. Mgmt. Co.), CP
 
 
5,000
5,000
3.5% 10/17/24 (Liquidity Facility Univ. of Texas Invt. Mgmt. Co.), CP
 
 
4,250
4,250
3.52% 7/16/24 (Liquidity Facility Univ. of Texas Invt. Mgmt. Co.), CP
 
 
13,500
13,500
3.52% 7/17/24 (Liquidity Facility Univ. of Texas Invt. Mgmt. Co.), CP
 
 
11,800
11,800
3.52% 8/15/24 (Liquidity Facility Univ. of Texas Invt. Mgmt. Co.), CP
 
 
17,900
17,900
3.53% 7/2/24 (Liquidity Facility Univ. of Texas Invt. Mgmt. Co.), CP
 
 
13,500
13,500
3.53% 7/10/24 (Liquidity Facility Univ. of Texas Invt. Mgmt. Co.), CP
 
 
13,500
13,500
3.55% 6/20/24 (Liquidity Facility Univ. of Texas Invt. Mgmt. Co.), CP
 
 
13,500
13,500
3.55% 6/21/24 (Liquidity Facility Univ. of Texas Invt. Mgmt. Co.), CP
 
 
13,500
13,500
3.55% 8/2/24 (Liquidity Facility Univ. of Texas Invt. Mgmt. Co.), CP
 
 
10,650
10,650
3.55% 8/5/24 (Liquidity Facility Univ. of Texas Invt. Mgmt. Co.), CP
 
 
8,100
8,100
3.55% 8/15/24 (Liquidity Facility Univ. of Texas Invt. Mgmt. Co.), CP
 
 
13,500
13,500
3.55% 8/15/24 (Liquidity Facility Univ. of Texas Invt. Mgmt. Co.), CP
 
 
7,400
7,400
3.58% 5/28/24 (Liquidity Facility Univ. of Texas Invt. Mgmt. Co.), CP
 
 
13,500
13,500
Univ. of Texas Permanent Univ. Fund Rev. Series 2024 A:
 
 
 
 3.5% 6/25/24, CP
 
7,200
7,200
 3.53% 5/15/24, CP
 
18,000
18,000
 3.6% 5/21/24, CP
 
10,900
10,900
TOTAL TEXAS
 
 
636,217
Utah - 0.1%
 
 
 
Utah County Hosp. Rev. Bonds:
 
 
 
 Series 2018 B2, 5%, tender 8/1/24 (c)
 
625
626
 Series 2020 B1, 5%, tender 8/1/24 (c)
 
2,935
2,949
TOTAL UTAH
 
 
3,575
Washington - 0.2%
 
 
 
King County Gen. Oblig. Series 2024 A, 3.55% 5/10/24, CP
 
18,000
18,000
Wisconsin - 0.8%
 
 
 
Madison Metropolitan School District TRAN Series 2023, 5% 9/3/24
 
15,100
15,175
Wisconsin Clean Wtr. Rev. Bonds:
 
 
 
 Series 2015 1:
 
 
 
5% 6/1/24 (Pre-Refunded to 6/1/24 @ 100)
 
 
3,305
3,311
5% 6/1/24 (Pre-Refunded to 6/1/24 @ 100)
 
 
810
811
 Series 2016 1:
 
 
 
5% 6/1/24 (Pre-Refunded to 6/1/24 @ 100)
 
 
350
350
5% 6/1/24 (Pre-Refunded to 6/1/24 @ 100)
 
 
900
902
Wisconsin Gen. Oblig.:
 
 
 
 Bonds:
 
 
 
Series 2015 1, 5% 5/1/24
 
 
235
235
Series 2015 C, 5% 5/1/24
 
 
405
405
 Series 2024:
 
 
 
3.7% 11/12/24, CP
 
 
17,200
17,200
3.8% 12/2/24, CP
 
 
18,200
18,200
3.8% 12/10/24, CP
 
 
10,254
10,254
Wisconsin Health & Edl. Facilities Bonds:
 
 
 
 Series 2013 B1, 4% 11/15/24
 
680
679
 Series 2018 B, 5%, tender 1/29/25 (c)
 
2,290
2,316
TOTAL WISCONSIN
 
 
69,838
 
TOTAL OTHER MUNICIPAL SECURITY
 (Cost $1,514,749)
 
 
 
1,514,749
 
 
 
 
Investment Company - 11.4%
 
 
Shares
Value ($)
(000s)
 
Fidelity Tax-Free Cash Central Fund 3.59% (i)(j)
 
 (Cost $972,777)
 
 
972,427
972,777
 
 
 
 
 
TOTAL INVESTMENT IN SECURITIES - 99.2%
 (Cost $8,480,761)
 
 
 
8,480,761
NET OTHER ASSETS (LIABILITIES) - 0.8%  
72,317
NET ASSETS - 100.0%
8,553,078
 
 
 
Security Type Abbreviations
BAN
-
BOND ANTICIPATION NOTE
CP
-
COMMERCIAL PAPER
TAN
-
TAX ANTICIPATION NOTE
TRAN
-
TAX AND REVENUE ANTICIPATION NOTE
VRDN
-
VARIABLE RATE DEMAND NOTE (A debt instrument that is payable upon demand, either daily, weekly or monthly)
 
 
 
The date shown for securities represents the date when principal payments must be paid, taking into account any call options exercised by the issuer and any permissible maturity shortening features other than interest rate resets.
 
Any values shown as $0 in the Schedule of Investments may reflect amounts less than $500.
 
Legend
 
(a)
Amount is stated in United States dollars unless otherwise noted.
 
(b)
Security exempt from registration under Rule 144A of the Securities Act of 1933.  These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $81,885,000 or 1.0% of net assets.
 
(c)
Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
 
(d)
Restricted securities (including private placements) - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues).  At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $15,600,000 or 0.2% of net assets.
 
(e)
Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
 
(f)
Provides evidence of ownership in one or more underlying municipal bonds.
 
(g)
Coupon rates are determined by re-marketing agents based on current market conditions.
 
(h)
Security or a portion of the security purchased on a delayed delivery or when-issued basis.
 
(i)
Information in this report regarding holdings by state and security types does not reflect the holdings of the Fidelity Tax-Free Cash Central Fund.
 
(j)
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
 
 
 
Additional information on each restricted holding is as follows:
Security
Acquisition Date
Cost ($)
(000s)
Central Puget Sound Reg'l. Trans. Auth. Sales & Use Tax Rev. Bonds Series G 123, 3.65%, tender 5/1/24 (Liquidity Facility Royal Bank of Canada)
11/01/23
2,000
 
 
 
El Paso Wtr. & Swr. Rev. Bonds Series G 124, 3.65%, tender 9/3/24 (Liquidity Facility Royal Bank of Canada)
3/01/24
2,700
 
 
 
Port Auth. of New York & New Jersey Series 1997 2, SIFMA Municipal Swap Index + 0.050% 3.69% 4/29/24, VRDN
7/15/20
7,300
 
 
 
Texas Wtr. Dev. Board Rev. Bonds Series MS 00 17, 3.6%, tender 4/25/24 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah)
10/12/23
3,600
 
 
 
Affiliated Central Funds
 
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
 
Affiliate (Amounts in thousands)
Value,
beginning
of period ($)
Purchases ($)
Sales
Proceeds ($)
Dividend
Income ($)
Realized
Gain (loss) ($)
Change in
Unrealized
appreciation
(depreciation) ($)
Value,
end
of period ($)
% ownership,
end
of period
Fidelity Tax-Free Cash Central Fund 3.59%
440,577
4,777,699
4,245,499
32,569
-
-
972,777
74.6%
Total
440,577
4,777,699
4,245,499
32,569
-
-
972,777
 
 
 
 
 
 
 
 
 
 
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
 
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
 
 
 
Investment Valuation
 
All investments are categorized as Level 2 under the Fair Value Hierarchy. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in these securities. For more information on valuation inputs, refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
 
Tax-Exempt Portfolio
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts)
 
 
 
March 31, 2024
 
 
 
 
 
Assets
 
 
 
 
Investment in securities, at value  - See accompanying schedule:
 
 
 
 
Unaffiliated issuers (cost $7,507,984)
$
7,507,984
 
 
Fidelity Central Funds (cost $972,777)
972,777
 
 
 
 
 
 
 
 
 
 
 
 
Total Investment in Securities (cost $8,480,761)
 
 
$
8,480,761
Receivable for securities sold on a delayed delivery basis
 
 
61,000
Receivable for fund shares sold
 
 
79,377
Interest receivable
 
 
46,186
Distributions receivable from Fidelity Central Funds
 
 
2,877
Prepaid expenses
 
 
3
Receivable from investment adviser for expense reductions
 
 
280
Other receivables
 
 
92
  Total assets
 
 
8,670,576
Liabilities
 
 
 
 
Payable to custodian bank
$
51,847
 
 
Payable for investments purchased
 
 
 
 
Regular delivery
46,569
 
 
Delayed delivery
14,743
 
 
Payable for fund shares redeemed
2,648
 
 
Distributions payable
83
 
 
Accrued management fee
973
 
 
Distribution and service plan fees payable
4
 
 
Other affiliated payables
474
 
 
Other payables and accrued expenses
157
 
 
  Total liabilities
 
 
 
117,498
Net Assets  
 
 
$
8,553,078
Net Assets consist of:
 
 
 
 
Paid in capital
 
 
$
8,552,453
Total accumulated earnings (loss)
 
 
 
625
Net Assets
 
 
$
8,553,078
 
 
 
 
 
Net Asset Value and Maximum Offering Price
 
 
 
 
Class I :
 
 
 
 
Net Asset Value, offering price and redemption price per share ($8,509,328 ÷ 8,504,296 shares)
 
 
$
1.00
Class II :
 
 
 
 
Net Asset Value, offering price and redemption price per share ($14,805 ÷ 14,798 shares)
 
 
$
1.00
Class III :
 
 
 
 
Net Asset Value, offering price and redemption price per share ($3,971 ÷ 3,970 shares)
 
 
$
1.00
Select Class :
 
 
 
 
Net Asset Value, offering price and redemption price per share ($24,974 ÷ 24,957 shares)
 
 
$
1.00
Statement of Operations
Amounts in thousands
 
 
 
Year ended
March 31, 2024
Investment Income
 
 
 
 
Interest  
 
 
$
216,268
Income from Fidelity Central Funds  
 
 
32,569
 Total income
 
 
 
248,837
Expenses
 
 
 
 
Management fee
$
10,060
 
 
Transfer agent fees
4,311
 
 
Distribution and service plan fees
42
 
 
Accounting fees and expenses
599
 
 
Custodian fees and expenses
63
 
 
Independent trustees' fees and expenses
22
 
 
Registration fees
373
 
 
Audit
41
 
 
Legal
4
 
 
Miscellaneous
22
 
 
 Total expenses before reductions
 
15,537
 
 
 Expense reductions
 
(2,552)
 
 
 Total expenses after reductions
 
 
 
12,985
Net Investment income (loss)
 
 
 
235,852
Realized and Unrealized Gain (Loss)
 
 
 
 
Net realized gain (loss) on:
 
 
 
 
 Investment Securities:
 
 
 
 
   Unaffiliated issuers  
 
133
 
 
 Capital gain distributions from Fidelity Central Funds
 
19
 
 
Total net realized gain (loss)
 
 
 
152
Net increase in net assets resulting from operations
 
 
$
236,004
Statement of Changes in Net Assets
 
Amount in thousands
 
Year ended
March 31, 2024
 
Year ended
March 31, 2023
Increase (Decrease) in Net Assets
 
 
 
 
Operations
 
 
 
Net investment income (loss)
$
235,852
$
106,876
Net realized gain (loss)
 
152
 
 
(61)
 
  Net increase in net assets resulting from operations
 
236,004
 
 
106,815
 
Distributions to shareholders
 
(235,748)
 
 
(106,820)
 
 
 
 
 
 
Share transactions - net increase (decrease)
 
2,240,442
 
 
1,847,410
 
Total increase (decrease) in net assets
 
2,240,698
 
 
1,847,405
 
 
 
 
 
 
Net Assets
 
 
 
 
Beginning of period
 
6,312,380
 
4,464,975
 
End of period
$
8,553,078
$
6,312,380
 
 
 
 
 
 
 
 
 
 
 
Financial Highlights
 
Tax-Exempt Portfolio Class I
 
Years ended March 31,
 
2024  
 
2023 
 
2022  
 
2021 
 
2020 
  Selected Per-Share Data 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) A
 
.033
 
.017
 
- B
 
.001
 
.013
     Net realized and unrealized gain (loss)
 
- B
 
- B
 
- B
 
- B
 
.001
  Total from investment operations
 
.033  
 
.017  
 
- B 
 
.001  
 
.014
  Distributions from net investment income
 
(.033)
 
(.017)
 
- B
 
(.001)
 
(.013)
  Distributions from net realized gain
 
-
 
-
 
-
 
-
 
- B
     Total distributions
 
(.033)
 
(.017)
 
- B
 
(.001)
 
(.014) C
  Net asset value, end of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
 Total Return D
 
3.33
%
 
 
1.72%
 
.03%
 
.12%
 
1.36%
 Ratios to Average Net Assets A,E,F
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.22%
 
.22%
 
.22%
 
.22%
 
.21%
    Expenses net of fee waivers, if any
 
.18
%
 
 
.18%
 
.10%
 
.17%
 
.18%
    Expenses net of all reductions
 
.18%
 
.18%
 
.10%
 
.17%
 
.18%
    Net investment income (loss)
 
3.28%
 
1.73%
 
.03%
 
.13%
 
1.34%
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (in millions)
$
8,509  
$
6,275
$
4,457
$
4,748
$
6,568
 
ANet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
BAmount represents less than $.0005 per share.
 
CTotal distributions per share do not sum due to rounding.
 
DTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
EFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
FExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
 
Tax-Exempt Portfolio Class II
 
Years ended March 31,
 
2024  
 
2023 
 
2022  
 
2021 
 
2020 
  Selected Per-Share Data 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) A
 
.031
 
.016
 
- B
 
.001
 
.012
     Net realized and unrealized gain (loss) B
 
-
 
-
 
-
 
-
 
-
  Total from investment operations
 
.031  
 
.016  
 
- B 
 
.001  
 
.012
  Distributions from net investment income
 
(.031)
 
(.016)
 
- B
 
(.001)
 
(.012)
  Distributions from net realized gain
 
-
 
-
 
-
 
-
 
- B
     Total distributions
 
(.031)
 
(.016)
 
- B
 
(.001)
 
(.012)
  Net asset value, end of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
 Total Return C
 
3.17
%
 
 
1.57%
 
.02%
 
.06%
 
1.21%
 Ratios to Average Net Assets A,D,E
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.37%
 
.37%
 
.37%
 
.37%
 
.36%
    Expenses net of fee waivers, if any
 
.33
%
 
 
.33%
 
.11%
 
.21%
 
.33%
    Expenses net of all reductions
 
.33%
 
.33%
 
.11%
 
.21%
 
.33%
    Net investment income (loss)
 
3.13%
 
1.58%
 
.01%
 
.08%
 
1.19%
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (in millions)
$
15  
$
17
$
- F
$
- F
$
- F
 
ANet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
BAmount represents less than $.0005 per share.
 
CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
DFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
EExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
FAmount represents less than $500,000.
 
 
Tax-Exempt Portfolio Class III
 
Years ended March 31,
 
2024  
 
2023 
 
2022  
 
2021 
 
2020 
  Selected Per-Share Data 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) A
 
.030
 
.015
 
- B
 
- B
 
.011
     Net realized and unrealized gain (loss) B
 
-
 
-
 
-
 
-
 
-
  Total from investment operations
 
.030  
 
.015  
 
- B 
 
- B 
 
.011
  Distributions from net investment income
 
(.030)
 
(.015)
 
- B
 
- B
 
(.011)
  Distributions from net realized gain
 
-
 
-
 
-
 
-
 
- B
     Total distributions
 
(.030)
 
(.015)
 
- B
 
- B
 
(.011)
  Net asset value, end of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
 Total Return C
 
3.07
%
 
 
1.46%
 
.01%
 
.05%
 
1.11%
 Ratios to Average Net Assets A,D,E
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.47%
 
.47%
 
.48%
 
.46%
 
.46%
    Expenses net of fee waivers, if any
 
.43
%
 
 
.43%
 
.13%
 
.23%
 
.43%
    Expenses net of all reductions
 
.43%
 
.43%
 
.13%
 
.23%
 
.43%
    Net investment income (loss)
 
3.04%
 
1.48%
 
(.01)%
 
.07%
 
1.09%
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (in millions)
$
4  
$
6
$
7
$
2
$
2
 
ANet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
BAmount represents less than $.0005 per share.
 
CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
DFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
EExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
 
Tax-Exempt Portfolio Select Class
 
Years ended March 31,
 
2024  
 
2023 
 
2022  
 
2021 
 
2020 
  Selected Per-Share Data 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) A
 
.032
 
.017
 
- B
 
.001
 
.013
     Net realized and unrealized gain (loss) B
 
-
 
-
 
-
 
-
 
-
  Total from investment operations
 
.032  
 
.017  
 
- B 
 
.001  
 
.013
  Distributions from net investment income
 
(.032)
 
(.017)
 
- B
 
(.001)
 
(.013)
  Distributions from net realized gain
 
-
 
-
 
-
 
-
 
- B
     Total distributions
 
(.032)
 
(.017)
 
- B
 
(.001)
 
(.013)
  Net asset value, end of period
$
1.00
$
1.00
$
1.00
$
1.00
$
1.00
 Total Return C
 
3.28
%
 
 
1.67%
 
.02%
 
.09%
 
1.31%
 Ratios to Average Net Assets A,D,E
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.27%
 
.27%
 
.27%
 
.27%
 
.26%
    Expenses net of fee waivers, if any
 
.23
%
 
 
.23%
 
.10%
 
.19%
 
.23%
    Expenses net of all reductions
 
.23%
 
.23%
 
.10%
 
.19%
 
.23%
    Net investment income (loss)
 
3.23%
 
1.68%
 
.03%
 
.11%
 
1.29%
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (in millions)
$
25  
$
15
$
1
$
3
$
3
 
ANet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
BAmount represents less than $.0005 per share.
 
CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
DFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
EExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
Notes to Financial Statements
For the period ended March 31, 2024
(Amounts in thousands except percentages)
 
1. Organization.
Treasury Only Portfolio, Treasury Portfolio, Government Portfolio, Money Market Portfolio and Tax-Exempt Portfolio (the Funds) are funds of Fidelity Colchester Street Trust (the Trust). Each Fund is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. Each Fund offers Class I, Class II, Class III and Select Class shares. Treasury Only Portfolio and Treasury Portfolio also offer Class IV and Institutional Class shares. Government Portfolio and Money Market Portfolio also offer Institutional Class shares. Shares of Money Market Portfolio and Tax-Exempt Portfolio are only available for purchase by retail shareholders. All classes have equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Each Fund except Tax-Exempt Portfolio offers conversion privileges from Class I to Institutional Class for eligible shareholders.
2. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
 
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
 
Fidelity Central Fund
Investment Manager
Investment Objective
Investment Practices
Expense RatioA
Fidelity Money Market Central Funds
Fidelity Management & Research Company LLC (FMR)
Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity.
Short-term Investments
Less than .005%
 
A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
 
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
3. Significant Accounting Policies.
Each Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. Each Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of each Fund:
 
Investment Valuation. Each Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
 
Level 1 - unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
 
As permitted by compliance with certain conditions under Rule 2a-7 of the 1940 Act, securities are valued at amortized cost, which approximates fair value. The amortized cost of an instrument is determined by valuing it at its original cost and thereafter amortizing any discount or premium from its face value at a constant rate until maturity. Securities held by a money market fund are generally high quality and liquid; however, they are reflected as Level 2 because the inputs used to determine fair value are not quoted prices in an active market.
 
Investment Transactions and Income.  Security transactions, including the Funds' investment activity in the Fidelity Central Funds, are accounted for as of trade date. Gains and losses on securities sold are determined on the basis of identified cost and for certain Funds include proceeds received from litigation. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations.
 
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of a fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of a fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred, as applicable. Certain expense reductions may also differ by class, if applicable. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds (ETFs). Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund (ETF). Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
 
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.
 
Treasury Only Portfolio
$681
Treasury Portfolio
467
Government Portfolio
1,674
Money Market Portfolio
1,092
Tax-Exempt Portfolio
88
 
 
Income Tax Information and Distributions to Shareholders. Each year, each Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of March 31, 2024, each Fund did not have any unrecognized tax benefits in the financial statements; nor is each Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. Each Fund files a U.S. federal tax return, in addition to state and local tax returns as required. Each Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
 
Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, Certain Funds claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
 
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
 
Book-tax differences are primarily due to capital loss carryforwards and losses deferred due to wash sales.
 
The Tax-Exempt Portfolio purchases municipal securities whose interest, in the opinion of the issuer, is free from federal income tax. There is no assurance that the IRS will agree with this opinion. In the event the IRS determines that the issuer does not comply with relevant tax requirements, interest payments from a security could become federally taxable, possibly retroactively to the date the security was issued.
 
As of period end, the cost and unrealized appreciation (depreciation) in securities for federal income tax purposes were as follows for each Fund:
 
 
Tax cost ($)
Gross unrealized appreciation ($)
Gross unrealized depreciation ($)
Net unrealized appreciation (depreciation)($)
Treasury Only Portfolio
75,697,747
-
-
-
Treasury Portfolio
62,703,185
-
-
-
Government Portfolio
203,017,889
-
-
-
Money Market Portfolio
128,675,869
-
-
-
Tax-Exempt Portfolio
8,480,761
-
-
-
 
The tax-based components of distributable earnings as of period end were as follows for each Fund:
 
 
Undistributed tax-exempt income ($)
Undistributed ordinary income ($)
Undistributed long-term capital gain ($)
Capital loss carryforward ($)
Net unrealized appreciation (depreciation) on securities and other investments ($)
Treasury Only Portfolio
-
231
-
-
-
Treasury Portfolio
-
-
-
 (82)
-
Government Portfolio
-
279
-
 (1,216)
-
Money Market Portfolio
-
500
-
 (16)
-
Tax-Exempt Portfolio
624
-
-
-
-
 
Capital loss carryforwards are only available to offset future capital gains of the Funds to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.
 
 
Short-term ($)
Long-term ($)
Total capital loss carryforward ($)
 
 
 
 
Treasury Portfolio
 -
 (82)
  (82)
Government Portfolio
 -
 (1,216)
  (1,216)
Money Market Portfolio
 (16)
 -
  (16)
 
The tax character of distributions paid was as follows:
 
March 31, 2024
 
 
 
 
Tax-Exempt Income ($)
Ordinary Income ($)
Total ($)
Treasury Only Portfolio
-
2,834,993
2,834,993
Treasury Portfolio
-
 3,002,772
 3,002,772
Government Portfolio
-
 9,467,184
 9,467,184
Money Market Portfolio
-
 5,846,436
 5,846,436
Tax-Exempt Portfolio
235,748
 -
 235,748
 
March 31, 2023
 
 
 
 
Tax-Exempt Income ($)
Ordinary Income ($)
Total ($)
Treasury Only Portfolio
-
904,209
904,209
Treasury Portfolio
-
 1,014,763
 1,014,763
Government Portfolio
-
 3,268,145
 3,268,145
Money Market Portfolio
-
 2,148,294
 2,148,294
Tax-Exempt Portfolio
106,820
 -
 106,820
 
Repurchase Agreements. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission, funds and other registered investment companies having management contracts with Fidelity Management and Research Company LLC, or its affiliates are permitted to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. Funds may also invest directly with institutions in repurchase agreements. For Treasury Only Portfolio, Treasury Portfolio and Government Portfolio, repurchase agreements may be collateralized by cash or government securities. For Money Market Portfolio and Tax-Exempt Portfolio, repurchase agreements may be collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The collateral balance is monitored on a daily basis to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
 
Delayed Delivery Transactions and When-Issued Securities. During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
 
Restricted Securities (including Private Placements). Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.
4. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Funds with investment management related services for which the Funds pay a monthly management fee that is based on an annual rate of .14% of average net assets.
 
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Funds have adopted separate Distribution and Service Plans for each class of shares. Class II, Class III and Select Class of each Fund pays Fidelity Distributors Company LLC (FDC), an affiliate of the investment adviser, a Service fee based on an annual percentage of each class' average net assets. Class IV of Treasury Only Portfolio and Treasury Portfolio pays FDC separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. FDC may pay financial intermediaries for selling shares of the Funds and providing shareholder support services. For the period, the Distribution and Service fee rates, total fees and amounts retained by FDC were as follows:
 
 
Distribution Fee
Service Fee
Class II
 .00%
 .15%
Class III
 .00%
 .25%
Class IV
 .25%
 .25%
Select Class
 .00%
 .05%
 
 
 
Total Fees ($)
Retained by FDC ($)
Treasury Only Portfolio:
 
 
Class II 
3,542
-
Class III 
 6,749
-
Class IV 
 4,453
-
Select Class 
                      706
-
 
15,450
-
Treasury Portfolio:
 
 
Class II 
963
-
Class III 
 9,396
-
Class IV 
 4,613
-
Select Class 
                      133
-A
 
15,105
-
Government Portfolio:
 
 
Class II 
2,108
-
Class III 
 13,445
-
Select Class 
                      103
-
 
15,656
-
Money Market Portfolio:
 
 
Class II 
124
-
Class III 
 51
-
Select Class 
                        29
-
 
204
-
Tax-Exempt Portfolio:
 
 
Class II 
23
-A
Class III 
 9
-A
Select Class 
                        10
-A
 
42
-
 
A Amount represents less than five hundred dollars.
 
Transfer Agent Fees.  Fidelity Investments Institutional Operations Company LLC (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for the Funds. FIIOC receives asset-based fees with respect to each account. FIIOC pays for typesetting, printing and mailing of all shareholder reports, except proxy statements. Each class, with the exception of Institutional Class, pays a transfer agent fee equal to an annual rate of .06% of class-level average net assets. Institutional Class pays a transfer agent fee equal to an annual rate of .03% of class-level average net assets. For the period, transfer agent fees for each class were as follows:
 
Treasury Only Portfolio
 
Class I
$8,943
Class II
 1,417
Class III
 1,620
Class IV
 534
Select Class
 847
Institutional Class
                10,216
 
$23,577
Treasury Portfolio
 
Class I
$13,245
Class II
 385
Class III
 2,255
Class IV
 554
Select Class
 159
Institutional Class
                  9,286
 
$25,884
Government Portfolio
 
Class I
$24,415
Class II
 843
Class III
 3,227
Select Class
 124
Institutional Class
                40,772
 
$69,381
Money Market Portfolio
 
Class I
$29,304
Class II
 49
Class III
 12
Select Class
 35
Institutional Class
 18,783
 
$48,183
Tax-Exempt Portfolio
 
Class I
$4,288
Class II
 9
Class III
 2
Select Class
                        12
 
$4,311
 
Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains each Fund's accounting records. The accounting fee is based on the level of average net assets for each month. For the period, the fees were equivalent to the following annual rates:
 
 
% of Average Net Assets
Treasury Only Portfolio
-A
Treasury Portfolio
-A
Government Portfolio
-A
Money Market Portfolio
-A
Tax-Exempt Portfolio
.01
 
A Amount represents less than .005%.
 
Interfund Lending Program. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission (the SEC), each Fund, along with other registered investment companies having management contracts with Fidelity Management & Research Company LLC (FMR), or other affiliated entities of FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing each Fund to borrow from, or lend money to, other participating affiliated funds. At period end, Treasury Only Portfolio, Treasury Portfolio, Government Portfolio and Tax-Exempt Portfolio had no interfund loans outstanding. Any open loans at period end are presented as Receivable for interfund loans in the Statement of Assets and Liabilities, and any accrued interest is included in Other affiliated receivables. Activity in this program during the period for which loans were outstanding was as follows:
 
 
 
 
Average Loan Balance ($)
Weighted Average Interest Rate
Money Market Portfolio
 Lender
 35,092
5.50%
 
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades during the period are noted in the table below.
 
 
Purchases ($)
Sales ($)
Realized Gain (Loss)($)
Treasury Only Portfolio
 -
 -
 -
Treasury Portfolio
 -
 -
 -
Government Portfolio
 -
 -
 -
Money Market Portfolio
 -
 -
 -
Tax-Exempt Portfolio
 201,008
 383,345
 -
 
Sub-Advisory Arrangements. Effective March 1, 2024, each Fund's sub-advisory agreements with FMR Investment Management (UK) Limited, Fidelity Management & Research (Hong Kong) Limited, and Fidelity Management & Research (Japan) Limited were amended to provide that the investment adviser pays each sub-adviser monthly fees equal to 110% of the sub-adviser's costs for providing sub-advisory services.
 
Other. During the period, the investment adviser reimbursed the Funds for certain losses as follows:
 
 
Amount ($)
Treasury Only Portfolio
 2
Money Market Portfolio
2
 
5. Expense Reductions.
The investment adviser contractually agreed to reimburse funds to the extent annual operating expenses exceeded certain levels of average net assets as noted in the table below. This reimbursement will remain in place through July 31, 2025. Some expenses, for example the compensation of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement.
 
The following classes of each applicable Fund were in reimbursement during the period:
 
 
Expense Limitations
Reimbursement ($)
Treasury Only Portfolio
 
 
Class I
.18%
 4,679
Class II
.33%
 741
Class III
.43%
 854
Class IV
.68%
 284
Select Class
.23%
 446
Institutional Class
.14%
 14,130
Treasury Portfolio
 
 
Class I
.18%
 6,314
Class II
.33%
 184
Class III
.43%
 1,084
Class IV
.68%
 262
Select Class
.23%
 76
Institutional Class
.14%
 11,925
Government Portfolio
 
 
Class I
.18%
 10,795
Class II
.33%
 369
Class III
.43%
 1,429
Select Class
.23%
 55
Institutional Class
.14%
 49,594
Money Market Portfolio
 
 
Class I
.18%
 14,479
Class II
.33%
 24
Class III
.43%
 6
Select Class
.23%
 17
Institutional Class
.14%
24,815
Tax-Exempt Portfolio
 
 
Class I
.18%
 2,525
Class II
.33%
 5
Class III
.43%
 1
Select Class
.23%
 7
 
Through arrangements with each applicable Fund's custodian and each class' transfer agent, credits realized as a result of certain uninvested cash balances were used to reduce each applicable Fund's or class' expenses. All of the applicable expense reductions are noted in the table below.
 
 
Custodian credits ($)
Transfer Agent credits ($)
 
Treasury Only Portfolio
 110
1
 
Treasury Portfolio
 66
1
 
Government Portfolio
 219
1
 
Money Market Portfolio
 80
-A
 
Tax-Exempt Portfolio
 14
-A
 
 
A Amount represents less than five hundred dollars.
6. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
 
 
Year ended
March 31, 2024
Year ended
March 31, 2023
Treasury Only Portfolio
 
 
Distributions to shareholders
 
 
Class I
$749,752
 $292,089
Class II
 114,830
 36,661
Class III
 128,732
 39,816
Class IV
 40,233
 8,738
Select Class
 70,444
 13,274
Institutional Class
          1,731,002
             513,631
Total  
$2,834,993
$904,209
Treasury Portfolio
 
 
Distributions to shareholders
 
 
Class I
$1,131,883
$406,305
Class II
 32,034
 8,604
Class III
 183,585
 62,273
Class IV
 42,660
 20,442
Select Class
 13,458
 6,353
Institutional Class
          1,599,152
             510,786
Total  
$3,002,772
$1,014,763
Government Portfolio
 
 
Distributions to shareholders
 
 
Class I
$2,087,261
$850,204
Class II
 70,272
 20,557
Class III
 263,369
 92,362
Select Class
 10,504
 5,537
Institutional Class
          7,035,778
          2,299,485
Total  
$9,467,184
$3,268,145
Money Market Portfolio
 
 
Distributions to shareholders
 
 
Class I
$2,547,512
$908,704
Class II
 4,147
 2,450
Class III
 997
 413
Select Class
 3,047
 1,028
Institutional Class
          3,290,733
          1,235,699
Total  
$5,846,436
$2,148,294
Tax-Exempt Portfolio
 
 
Distributions to shareholders
 
 
Class I
$234,515
$106,405
Class II
 484
 211
Class III
 112
 73
Select Class
                      637
                      131
Total  
$235,748
$106,820
7. Share Transactions.
Share Transactions may contain in-kind transactions, automatic conversions between classes or exchanges between affiliated funds:
 
 
Shares
Shares
Dollars
Dollars
 
Year ended
 March 31, 2024
Year ended
March 31, 2023
Year ended
 March 31, 2024
Year ended
March 31, 2023
Treasury Only Portfolio
 
 
 
 
Class I
 
 
 
 
Shares sold
37,395,469
71,045,216
$37,395,469
$71,045,216
Reinvestment of distributions
451,132
163,747
451,132
163,747
Shares redeemed
(34,387,976)
(68,743,099)
(34,387,976)
(68,743,099)
Net increase (decrease)
3,458,625
2,465,864
$3,458,625
$2,465,864
Class II
 
 
 
 
Shares sold
7,939,989
5,203,559
$7,939,989
$5,203,559
Reinvestment of distributions
4,104
1,799
4,104
1,799
Shares redeemed
(7,414,326)
(4,135,452)
(7,414,326)
(4,135,452)
Net increase (decrease)
529,767
1,069,906
$529,767
$1,069,906
Class III
 
 
 
 
Shares sold
6,498,299
5,754,811
$6,498,299
$5,754,811
Reinvestment of distributions
31,120
11,907
31,120
11,907
Shares redeemed
(6,085,724)
(4,438,239)
(6,085,724)
(4,438,239)
Net increase (decrease)
443,695
1,328,479
$443,695
$1,328,479
Class IV
 
 
 
 
Shares sold
4,096,094
1,847,197
$4,096,094
$1,847,197
Reinvestment of distributions
40,227
8,738
40,227
8,738
Shares redeemed
(3,553,469)
(1,256,999)
(3,553,469)
(1,256,999)
Net increase (decrease)
582,852
598,936
$582,852
$598,936
Select Class
 
 
 
 
Shares sold
2,444,779
2,472,295
$2,444,779
$2,472,295
Reinvestment of distributions
33,115
5,479
33,115
5,479
Shares redeemed
(1,787,402)
(1,532,071)
(1,787,402)
(1,532,071)
Net increase (decrease)
690,492
945,703
$690,492
$945,703
Institutional Class
 
 
 
 
Shares sold
84,060,436
64,828,670
$84,060,436
$64,828,670
Reinvestment of distributions
1,155,892
366,152
1,155,892
366,152
Shares redeemed
(69,680,459)
(53,869,257)
(69,680,459)
(53,869,257)
Net increase (decrease)
15,535,869
11,325,565
$15,535,869
$11,325,565
Treasury Portfolio
 
 
 
 
Class I
 
 
 
 
Shares sold
93,821,353
87,123,200
$93,821,353
$87,123,200
Reinvestment of distributions
434,699
147,955
434,699
147,955
Shares redeemed
(94,227,636)
(73,842,449)
(94,227,636)
(73,842,449)
Net increase (decrease)
28,416
13,428,706
$28,416
$13,428,706
Class II
 
 
 
 
Shares sold
1,707,481
1,710,950
$1,707,481
$1,710,950
Reinvestment of distributions
14,934
2,617
14,934
2,617
Shares redeemed
(1,470,956)
(1,611,265)
(1,470,956)
(1,611,265)
Net increase (decrease)
251,459
102,302
$251,459
$102,302
Class III
 
 
 
 
Shares sold
11,352,565
8,240,069
$11,352,565
$8,240,069
Reinvestment of distributions
23,728
7,486
23,728
7,486
Shares redeemed
(10,428,268)
(7,818,278)
(10,428,268)
(7,818,278)
Net increase (decrease)
948,025
429,277
$948,025
$429,277
Class IV
 
 
 
 
Shares sold
1,485,518
2,992,995
$1,485,518
$2,992,995
Reinvestment of distributions
975
1,570
975
1,570
Shares redeemed
(1,591,018)
(3,165,464)
(1,591,018)
(3,165,464)
Net increase (decrease)
(104,525)
(170,899)
$(104,525)
$(170,899)
Select Class
 
 
 
 
Shares sold
1,030,994
1,640,167
$1,030,994
$1,640,167
Reinvestment of distributions
6,724
3,035
6,724
3,035
Shares redeemed
(992,556)
(1,683,699)
(992,556)
(1,683,699)
Net increase (decrease)
45,162
(40,497)
$45,162
$(40,497)
Institutional Class
 
 
 
 
Shares sold
137,892,987
136,786,830
$137,892,987
$136,786,830
Reinvestment of distributions
1,128,139
327,421
1,128,139
327,421
Shares redeemed
(138,500,484)
(115,372,345)
(138,500,484)
(115,372,345)
Net increase (decrease)
520,642
21,741,906
$520,642
$21,741,906
Government Portfolio
 
 
 
 
Class I
 
 
 
 
Shares sold
355,865,809
284,824,099
$355,865,809
$284,824,099
Reinvestment of distributions
749,544
241,258
749,544
241,258
Shares redeemed
(359,253,361)
(271,000,112)
(359,253,361)
(271,000,112)
Net increase (decrease)
(2,638,008)
14,065,245
$(2,638,008)
$14,065,245
Class II
 
 
 
 
Shares sold
3,802,127
2,161,514
$3,802,127
$2,161,514
Reinvestment of distributions
2,908
653
2,908
653
Shares redeemed
(3,430,423)
(2,179,277)
(3,430,423)
(2,179,277)
Net increase (decrease)
374,612
(17,110)
$374,612
$(17,110)
Class III
 
 
 
 
Shares sold
14,237,131
9,279,947
$14,237,131
$9,279,947
Reinvestment of distributions
79,309
28,464
79,309
28,464
Shares redeemed
(12,791,629)
(8,883,759)
(12,791,629)
(8,883,759)
Net increase (decrease)
1,524,811
424,652
$1,524,811
$424,652
Select Class
 
 
 
 
Shares sold
588,167
770,569
$588,167
$770,569
Reinvestment of distributions
7,947
2,576
7,947
2,576
Shares redeemed
(597,224)
(847,393)
(597,224)
(847,393)
Net increase (decrease)
(1,110)
(74,248)
$(1,110)
$(74,248)
Institutional Class
 
 
 
 
Shares sold
672,624,741
471,547,341
$672,624,741
$471,547,341
Reinvestment of distributions
4,656,989
1,539,790
4,656,989
1,539,790
Shares redeemed
(649,872,754)
(443,071,589)
(649,872,754)
(443,071,589)
Net increase (decrease)
27,408,976
30,015,542
$27,408,976
$30,015,542
Money Market Portfolio
 
 
 
 
Class I
 
 
 
 
Shares sold
64,264,388
59,955,626
$64,264,388
$59,955,626
Reinvestment of distributions
2,175,869
778,109
2,175,869
778,109
Shares redeemed
(52,890,840)
(35,047,364)
(52,890,840)
(35,047,364)
Net increase (decrease)
13,549,417
25,686,371
$13,549,417
$25,686,371
Class II
 
 
 
 
Shares sold
79,007
69,630
$79,007
$69,630
Reinvestment of distributions
3,963
2,346
3,963
2,346
Shares redeemed
(77,882)
(81,091)
(77,882)
(81,091)
Net increase (decrease)
5,088
(9,115)
$5,088
$(9,115)
Class III
 
 
 
 
Shares sold
16,417
46,641
$16,417
$46,641
Reinvestment of distributions
860
381
860
381
Shares redeemed
(30,543)
(24,441)
(30,543)
(24,441)
Net increase (decrease)
(13,266)
22,581
$(13,266)
$22,581
Select Class
 
 
 
 
Shares sold
109,021
71,281
$109,021
$71,281
Reinvestment of distributions
2,166
850
2,166
850
Shares redeemed
(98,615)
(46,643)
(98,615)
(46,643)
Net increase (decrease)
12,572
25,488
$12,572
$25,488
Institutional Class
 
 
 
 
Shares sold
77,480,843
83,999,868
$77,480,843
$83,999,868
Reinvestment of distributions
3,112,537
1,152,023
3,112,537
1,152,023
Shares redeemed
(64,278,063)
(52,314,234)
(64,278,063)
(52,314,234)
Net increase (decrease)
16,315,317
32,837,657
$16,315,317
$32,837,657
Tax-Exempt Portfolio
 
 
 
 
Class I
 
 
 
 
Shares sold
16,867,520
14,924,698
$16,867,520
$14,924,698
Reinvestment of distributions
184,777
82,845
184,777
82,845
Shares redeemed
(14,818,348)
(13,189,237)
(14,818,348)
(13,189,237)
Net increase (decrease)
2,233,949
1,818,306
$2,233,949
$1,818,306
Class II
 
 
 
 
Shares sold
686
22,079
$686
$22,079
Reinvestment of distributions
457
165
457
165
Shares redeemed
(3,422)
(5,561)
(3,422)
(5,561)
Net increase (decrease)
(2,279)
16,683
$(2,279)
$16,683
Class III
 
 
 
 
Shares sold
3,577
11,966
$3,577
$11,966
Reinvestment of distributions
47
40
47
40
Shares redeemed
(5,275)
(13,048)
(5,275)
(13,048)
Net increase (decrease)
(1,651)
(1,042)
$(1,651)
$(1,042)
Select Class
 
 
 
 
Shares sold
45,501
34,583
$45,501
$34,583
Reinvestment of distributions
539
129
539
129
Shares redeemed
(35,617)
(21,248)
(35,617)
(21,248)
Net increase (decrease)
10,423
13,464
$10,423
$13,464
8. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
9. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Colchester Street Trust and the Shareholders of Treasury Only Portfolio, Treasury Portfolio, Government Portfolio, Money Market Portfolio, and Tax-Exempt Portfolio:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statements of assets and liabilities of Treasury Only Portfolio, Treasury Portfolio, Government Portfolio, Money Market Portfolio, and Tax-Exempt Portfolio (the "Funds"), each a fund of Fidelity Colchester Street Trust, including the schedules of investments, as of March 31, 2024, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the Funds as of March 31, 2024, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on the Funds' financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds' internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of March 31, 2024, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ Deloitte & Touche LLP
Boston, Massachusetts
May 10, 2024
We have served as the auditor of one or more of the Fidelity investment companies since 1999.
Trustees and Officers
TRUSTEES AND OFFICERS
The Trustees, Members of the Advisory Board (if any), and officers of the trust and funds, as applicable, are listed below. The Board of Trustees governs each fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee each fund's activities, review contractual arrangements with companies that provide services to each fund, oversee management of the risks associated with such activities and contractual arrangements, and review each fund's performance. Each of the Trustees oversees 314 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the funds is referred to herein as an Independent Trustee. Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The funds' Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-877-297-2952.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing each fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the funds, is provided below.
Board Structure and Oversight Function. Abigail P. Johnson is an interested person and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the funds. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Michael E. Kenneally serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The funds' Board oversees Fidelity's investment-grade bond, money market, asset allocation and certain equity funds, and other Boards oversee Fidelity's alternative investment, high income and other equity funds. The asset allocation funds may invest in Fidelity® funds that are overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity® funds overseen by each Board.
The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, each fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the funds' activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the funds' business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the funds are carried out by or through FMR, its affiliates, and other service providers, the funds' exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the funds' activities, oversight is exercised primarily through the Operations and Audit Committees. In addition, an ad hoc Board committee of Independent Trustees has worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board. The Operations Committee also worked and continues to work with FMR to enhance the stress tests required under SEC regulations for money market funds. Appropriate personnel, including but not limited to the funds' Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the funds' Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity® funds. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Abigail P. Johnson (1961)
Year of Election or Appointment: 2009
Trustee
Chairman of the Board of Trustees
Ms. Johnson also serves as Trustee of other Fidelity® funds. Ms. Johnson serves as Chairman (2016-present), Chief Executive Officer (2014-present), and Director (2007-present) of FMR LLC (diversified financial services company), President of Fidelity Financial Services (2012-present) and President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is Chairman and Director of Fidelity Management & Research Company LLC (investment adviser firm, 2011-present). Previously, Ms. Johnson served as Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-2019), Vice Chairman (2007-2016) and President (2013-2016) of FMR LLC, President and a Director of Fidelity Management & Research Company (2001-2005), a Trustee of other investment companies advised by Fidelity Management & Research Company, Fidelity Investments Money Management, Inc. (investment adviser firm), and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity® funds (2001-2005), and managed a number of Fidelity® funds.
Jennifer Toolin McAuliffe (1959)
Year of Election or Appointment: 2016
Trustee
Ms. McAuliffe also serves as Trustee of other Fidelity® funds and as Trustee of Fidelity Charitable (2020-present). Previously, Ms. McAuliffe served as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company), Director of Research for FIL's credit and quantitative teams in London, Hong Kong and Tokyo and Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe previously served as a member of the Advisory Board of certain Fidelity® funds (2016). Ms. McAuliffe was previously a lawyer at Ropes & Gray LLP and an international banker at Chemical Bank NA (now JPMorgan Chase & Co.). Ms. McAuliffe also currently serves as director or trustee of several not-for-profit entities.
Christine J. Thompson (1958)
Year of Election or Appointment: 2023
Trustee
Ms. Thompson also serves as a Trustee of other Fidelity® funds. Ms. Thompson serves as Leader of Advanced Technologies for Investment Management at Fidelity Investments (2018-present). Previously, Ms. Thompson served as Chief Investment Officer in the Bond group at Fidelity Management & Research Company (2010-2018) and held various other roles including Director of municipal bond portfolio managers and Portfolio Manager of certain Fidelity® funds.
* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for each fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Elizabeth S. Acton (1951)
Year of Election or Appointment: 2015
Trustee
Ms. Acton also serves as Trustee of other Fidelity® funds. Prior to her retirement, Ms. Acton served as Executive Vice President, Finance (2011-2012), Executive Vice President, Chief Financial Officer (2002-2011) and Treasurer (2004-2005) of Comerica Incorporated (financial services). Prior to joining Comerica, Ms. Acton held a variety of positions at Ford Motor Company (1983-2002), including Vice President and Treasurer (2000-2002) and Executive Vice President and Chief Financial Officer of Ford Motor Credit Company (1998-2000). Ms. Acton currently serves as a member of the Board and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). Ms. Acton previously served as a member of the Advisory Board of certain Fidelity® funds (2013-2016).
Laura M. Bishop (1961)
Year of Election or Appointment: 2023
Trustee
Ms. Bishop also serves as Trustee or Member of the Advisory Board of other Fidelity® funds. Prior to her retirement, Ms. Bishop held a variety of positions at United Services Automobile Association (2001-2020), including Executive Vice President and Chief Financial Officer (2014-2020) and Senior Vice President and Deputy Chief Financial Officer (2012-2014). Ms. Bishop currently serves as a member of the Audit Committee and Compensation and Personnel Committee (2021-present) of the Board of Directors of Korn Ferry (global organizational consulting). Previously, Ms. Bishop served as a Member of the Advisory Board of certain Fidelity® funds (2022-2023).    
Ann E. Dunwoody (1953)
Year of Election or Appointment: 2018
Trustee
General Dunwoody also serves as Trustee of other Fidelity® funds. General Dunwoody (United States Army, Retired) was the first woman in U.S. military history to achieve the rank of four-star general and prior to her retirement in 2012 held a variety of positions within the U.S. Army, including Commanding General, U.S. Army Material Command (2008-2012). General Dunwoody currently serves as a member of the Board, Chair of Nomination Committee and a member of the Corporate Governance Committee of Kforce Inc. (professional staffing services, 2016-present) and a member of the Board of Automattic Inc. (software engineering, 2018-present). Previously, General Dunwoody served as President of First to Four LLC (leadership and mentoring services, 2012-2022), a member of the Advisory Board and Nominating and Corporate Governance Committee of L3 Technologies, Inc. (communication, electronic, sensor and aerospace systems, 2013-2019) and a member of the Board and Audit and Sustainability and Corporate Responsibility Committees of Republic Services, Inc. (waste collection, disposal and recycling, 2013-2016). General Dunwoody also serves on several boards for non-profit organizations, including as a member of the Board, Chair of the Nomination and Governance Committee and a member of the Audit Committee of the Noble Reach Foundation (formerly Logistics Management Institute) (consulting non-profit, 2012-present) and a member of the Board of ThanksUSA (military family education non-profit, 2014-present). Previously, General Dunwoody served as a member of the Board of Florida Institute of Technology (2015-2022) and a member of the Council of Trustees for the Association of the United States Army (advocacy non-profit, 2013-2021). General Dunwoody previously served as a member of the Advisory Board of certain Fidelity® funds (2018).
Robert F. Gartland (1951)
Year of Election or Appointment: 2010
Trustee
Mr. Gartland also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007), including Managing Director (1987-2007) and Chase Manhattan Bank (1975-1978). Mr. Gartland previously served as Chairman and an investor in Gartland & Mellina Group Corp. (consulting, 2009-2019), as a member of the Board of National Securities Clearing Corporation (1993-1996) and as Chairman of TradeWeb (2003-2004).
Robert W. Helm (1957)
Year of Election or Appointment: 2023
Trustee
Mr. Helm also serves as Trustee or Member of the Advisory Board of other Fidelity® funds. Mr. Helm was formerly Deputy Chairman (2003-2020), partner (1991-2020) and an associate (1984-1991) of Dechert LLP (formerly Dechert Price & Rhoads). Mr. Helm currently serves on boards and committees of several not-for-profit organizations, including as a Trustee and member of the Executive Committee of the Baltimore Council on Foreign Affairs, a member of the Board of Directors of the St. Vincent de Paul Society of Baltimore and a member of the Life Guard Society of Mt. Vernon. Previously, Mr. Helm served as a Member of the Advisory Board of certain Fidelity® funds (2021-2023).     
Michael E. Kenneally (1954)
Year of Election or Appointment: 2009
Trustee
Chairman of the Independent Trustees
Mr. Kenneally also serves as Trustee of other Fidelity® funds and was Vice Chairman (2018-2021) of the Independent Trustees of certain Fidelity® funds. Prior to retirement in 2005, he was Chairman and Global Chief Executive Officer of Credit Suisse Asset Management, the worldwide fund management and institutional investment business of Credit Suisse Group. Previously, Mr. Kenneally was an Executive Vice President and the Chief Investment Officer for Bank of America. In this role, he was responsible for the investment management, strategy and products delivered to the bank's institutional, high-net-worth and retail clients. Earlier, Mr. Kenneally directed the organization's equity and quantitative research groups. He began his career as a research analyst and then spent more than a dozen years as a portfolio manager for endowments, pension plans and mutual funds. He earned the Chartered Financial Analyst (CFA) designation in 1991.     
Mark A. Murray (1954)
Year of Election or Appointment: 2016
Trustee
Mr. Murray also serves as Trustee of other Fidelity® funds. Previously, Mr. Murray served as Co-Chief Executive Officer (2013-2016), President (2006-2013) and Vice Chairman (2013-2020) of Meijer, Inc. Mr. Murray serves as a member of the Board (2009-present) and Public Policy and Responsibility Committee (2009-present) and Chair of the Nuclear Review Committee (2019-present) of DTE Energy Company (diversified energy company). Mr. Murray previously served as a member of the Board of Spectrum Health (not-for-profit health system, 2015-2019) and as a member of the Board and Audit Committee and Chairman of the Nominating and Corporate Governance Committee of Universal Forest Products, Inc. (manufacturer and distributor of wood and wood-alternative products, 2004-2016). Mr. Murray also serves as a member of the Board of many community and professional organizations. Mr. Murray previously served as a member of the Advisory Board of certain Fidelity® funds (2016).
Carol J. Zierhoffer (1960)
Year of Election or Appointment: 2023
Trustee
Ms. Zierhoffer also serves as Trustee or Member of the Advisory Board of other Fidelity® funds. Prior to her retirement, Ms. Zierhoffer held a variety of positions at Bechtel Corporation (engineering company, 2013-2019), including Principal Vice President and Chief Information Officer (2013-2016) and Senior Vice President and Chief Information Officer (2016-2019). Ms. Zierhoffer currently serves as a member of the Board of Directors, Audit Committee and Compensation Committee of Allscripts Healthcare Solutions, Inc. (healthcare technology, 2020-present) and as a member of the Board of Directors, Audit and Finance Committee and Nominating and Governance Committee of Atlas Air Worldwide Holdings, Inc. (aviation operating services, 2021-present). Previously, Ms. Zierhoffer served as a member of the Board of Directors and Audit Committee and as the founding Chair of the Information Technology Committee of MedAssets, Inc. (healthcare technology, 2013-2016), and as a Member of the Advisory Board of certain Fidelity® funds (2023).    
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for each fund.
Advisory Board Members and Officers:
Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations+
Lester Owens (1957)
Year of Election or Appointment: 2024
Member of the Advisory Board
Mr. Owens also serves as a Member of the Advisory Board of other Fidelity® funds. Prior to his retirement, Mr. Owens served as Senior Executive Vice President, Head of Operations, and member of the Operating Committee of Wells Fargo & Company (financial services, 2020-2023). Mr. Owens currently serves as Chairman of the Board of Directors of Robert Wood Johnson Barnabas Health, Inc. (academic healthcare system, 2022-present). Previously, Mr. Owens served as Senior Executive Vice President and Head of Operations at Bank of New York Mellon (financial services, 2019-2020) and held various roles at JPMorgan Chase & Co. (financial services, 2007-2019), including Managing Director for Wholesale Banking Operations. Mr. Owens also previously served as a member of the Board of Directors of the Depository Trust & Clearing Corporation (financial services, 2016) and as Chairman of the Board of Directors of the Clearing House Interbank Payments System (private clearing system, 2015-2016).        
Heather Bonner (1977)
Year of Election or Appointment: 2023
Assistant Treasurer
Ms. Bonner also serves as an officer of other funds. Ms. Bonner is a Senior Vice President (2022-present) and is an employee of Fidelity Investments (2022-present). Ms. Bonner serves as Senior Vice President, Vice President, Treasurer, or Director of certain Fidelity entities. Prior to joining Fidelity, Ms. Bonner served as Managing Director at AQR Capital Management (2013-2022) and was the Treasurer and Principal Financial Officer of the AQR Funds (2013-2022).
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as an officer of other funds. Mr. Brown is a Vice President (2015-present) and is an employee of Fidelity Investments. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present). Previously, Mr. Brown served as Assistant Treasurer of certain Fidelity® funds (2019-2022).     
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke is Head of Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments. Mr. Burke serves as President, Executive Vice President, or Director of certain Fidelity entities. Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
Margaret Carey (1973)
Year of Election or Appointment: 2023
Secretary and Chief Legal Officer (CLO)
Ms. Carey also serves as an officer of other funds and as CLO of certain Fidelity entities. Ms. Carey is a Senior Vice President, Deputy General Counsel (2019-present) and is an employee of Fidelity Investments.        
David J. Carter (1973)
Year of Election or Appointment: 2020
Assistant Secretary
Mr. Carter also serves as Assistant Secretary of other funds. Mr. Carter is a Senior Vice President, Deputy General Counsel (2022-present) and is an employee of Fidelity Investments. Mr. Carter serves as Chief Legal Officer of Fidelity Investments Institutional Operations Company LLC - Shareholder Division (transfer agent, 2020-present).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as an officer of other funds. Mr. Davis is a Vice President (2006-present) and is an employee of Fidelity Investments. Mr. Davis serves as Assistant Treasurer or Director of certain Fidelity entities.        
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
President and Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato is a Senior Vice President (2017-present) and is an employee of Fidelity Investments. Ms. Del Prato serves as Vice President, Assistant Treasurer, or Director of certain Fidelity entities. Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020).     
Robin Foley (1964)
Year of Election or Appointment: 2023
Vice President
Ms. Foley also serves as Vice President of other funds. Ms. Foley serves as Head of Fidelity's Fixed Income division (2023-present) and is an employee of Fidelity Investments. Previously, Ms. Foley served as Chief Investment Officer of Bonds (2017-2023).     
Christopher M. Gouveia (1973)
Year of Election or Appointment: 2023
Chief Compliance Officer
Mr. Gouveia also serves as Chief Compliance Officer of other funds. Mr. Gouveia is a Senior Vice President of Asset Management Compliance (2019-present) and is an employee of Fidelity Investments. Mr. Gouveia serves as Compliance Officer of Fidelity Management Trust Company (2023-present). Previously, Mr. Gouveia served as Chief Compliance Officer of the North Carolina Capital Management Trust (2016-2019).          
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan is a Vice President (2016-present) and is an employee of Fidelity Investments. Mr. Hogan serves as Assistant Treasurer of certain Fidelity entities. Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity® funds (2016-2020) and Assistant Treasurer of certain Fidelity® funds (2016-2018). 
Chris Maher (1972)
Year of Election or Appointment: 2013
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher is a Vice President (2008-present) and is an employee of Fidelity Investments. Mr. Maher serves as Assistant Treasurer of certain Fidelity entities. Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020).     
Brett Segaloff (1972)
Year of Election or Appointment: 2021
Anti-Money Laundering (AML) Officer
Mr. Segaloff also serves as AML Officer of other funds. Mr. Segaloff is a Vice President (2022-present) and is an employee of Fidelity Investments. Mr. Segaloff serves as Anti Money Laundering Compliance Officer or Anti Money Laundering/Bank Secrecy Act Compliance Officer of certain Fidelity entities.          
Stacie M. Smith (1974)
Year of Election or Appointment: 2013
Assistant Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith is a Senior Vice President (2016-present) and is an employee of Fidelity Investments. Ms. Smith serves as Assistant Treasurer of certain Fidelity entities and has served in other fund officer roles.
Jim Wegmann (1979)
Year of Election or Appointment: 2021
Deputy Treasurer
Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann is a Vice President (2016-present) and is an employee of Fidelity Investments. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity® funds (2019-2021).          
+ The information includes principal occupation during the last five years. 
Shareholder Expense Example  
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
 
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (October 1, 2023 to March 31, 2024).
 
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
 
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
 
 
 
 
 
Annualized Expense Ratio- A
 
Beginning Account Value October 1, 2023
 
Ending Account Value March 31, 2024
 
Expenses Paid During Period- C October 1, 2023 to March 31, 2024
Treasury Only Portfolio
 
 
 
 
 
 
 
 
 
 
Class I
 
 
 
.18%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 1,026.50
 
$ .91
 
Hypothetical-B
 
 
 
 
 
$ 1,000
 
$ 1,024.10
 
$ .91
 
Class II
 
 
 
.33%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 1,025.70
 
$ 1.67
 
Hypothetical-B
 
 
 
 
 
$ 1,000
 
$ 1,023.35
 
$ 1.67
 
Class III
 
 
 
.43%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 1,025.20
 
$ 2.18
 
Hypothetical-B
 
 
 
 
 
$ 1,000
 
$ 1,022.85
 
$ 2.17
 
Class IV
 
 
 
.68%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 1,023.90
 
$ 3.44
 
Hypothetical-B
 
 
 
 
 
$ 1,000
 
$ 1,021.60
 
$ 3.44
 
Select Class
 
 
 
.23%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 1,026.20
 
$ 1.17
 
Hypothetical-B
 
 
 
 
 
$ 1,000
 
$ 1,023.85
 
$ 1.16
 
Institutional Class
 
 
 
.14%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 1,026.70
 
$ .71
 
Hypothetical-B
 
 
 
 
 
$ 1,000
 
$ 1,024.30
 
$ .71
 
Treasury Portfolio
 
 
 
 
 
 
 
 
 
 
Class I
 
 
 
.18%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 1,026.40
 
$ .91
 
Hypothetical-B
 
 
 
 
 
$ 1,000
 
$ 1,024.10
 
$ .91
 
Class II
 
 
 
.33%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 1,025.70
 
$ 1.67
 
Hypothetical-B
 
 
 
 
 
$ 1,000
 
$ 1,023.35
 
$ 1.67
 
Class III
 
 
 
.43%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 1,025.10
 
$ 2.18
 
Hypothetical-B
 
 
 
 
 
$ 1,000
 
$ 1,022.85
 
$ 2.17
 
Class IV
 
 
 
.68%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 1,023.90
 
$ 3.44
 
Hypothetical-B
 
 
 
 
 
$ 1,000
 
$ 1,021.60
 
$ 3.44
 
Select Class
 
 
 
.23%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 1,026.20
 
$ 1.17
 
Hypothetical-B
 
 
 
 
 
$ 1,000
 
$ 1,023.85
 
$ 1.16
 
Institutional Class
 
 
 
.14%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 1,026.60
 
$ .71
 
Hypothetical-B
 
 
 
 
 
$ 1,000
 
$ 1,024.30
 
$ .71
 
Government Portfolio
 
 
 
 
 
 
 
 
 
 
Class I
 
 
 
.18%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 1,026.50
 
$ .91
 
Hypothetical-B
 
 
 
 
 
$ 1,000
 
$ 1,024.10
 
$ .91
 
Class II
 
 
 
.33%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 1,025.70
 
$ 1.67
 
Hypothetical-B
 
 
 
 
 
$ 1,000
 
$ 1,023.35
 
$ 1.67
 
Class III
 
 
 
.43%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 1,025.20
 
$ 2.18
 
Hypothetical-B
 
 
 
 
 
$ 1,000
 
$ 1,022.85
 
$ 2.17
 
Select Class
 
 
 
.23%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 1,026.20
 
$ 1.17
 
Hypothetical-B
 
 
 
 
 
$ 1,000
 
$ 1,023.85
 
$ 1.16
 
Institutional Class
 
 
 
.14%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 1,026.70
 
$ .71
 
Hypothetical-B
 
 
 
 
 
$ 1,000
 
$ 1,024.30
 
$ .71
 
Money Market Portfolio
 
 
 
 
 
 
 
 
 
 
Class I
 
 
 
.18%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 1,026.90
 
$ .91
 
Hypothetical-B
 
 
 
 
 
$ 1,000
 
$ 1,024.10
 
$ .91
 
Class II
 
 
 
.33%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 1,026.10
 
$ 1.67
 
Hypothetical-B
 
 
 
 
 
$ 1,000
 
$ 1,023.35
 
$ 1.67
 
Class III
 
 
 
.43%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 1,025.60
 
$ 2.18
 
Hypothetical-B
 
 
 
 
 
$ 1,000
 
$ 1,022.85
 
$ 2.17
 
Select Class
 
 
 
.23%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 1,026.60
 
$ 1.17
 
Hypothetical-B
 
 
 
 
 
$ 1,000
 
$ 1,023.85
 
$ 1.16
 
Institutional Class
 
 
 
.14%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 1,027.10
 
$ .71
 
Hypothetical-B
 
 
 
 
 
$ 1,000
 
$ 1,024.30
 
$ .71
 
Tax-Exempt Portfolio
 
 
 
 
 
 
 
 
 
 
Class I
 
 
 
.18%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 1,016.80
 
$ .91
 
Hypothetical-B
 
 
 
 
 
$ 1,000
 
$ 1,024.10
 
$ .91
 
Class II
 
 
 
.33%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 1,016.00
 
$ 1.66
 
Hypothetical-B
 
 
 
 
 
$ 1,000
 
$ 1,023.35
 
$ 1.67
 
Class III
 
 
 
.43%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 1,015.50
 
$ 2.17
 
Hypothetical-B
 
 
 
 
 
$ 1,000
 
$ 1,022.85
 
$ 2.17
 
Select Class
 
 
 
.23%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 1,016.50
 
$ 1.16
 
Hypothetical-B
 
 
 
 
 
$ 1,000
 
$ 1,023.85
 
$ 1.16
 
 
A   Annualized expense ratio reflects expenses net of applicable fee waivers.
 
B   5% return per year before expenses
 
C   Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/ 366 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
 
 
 
Distributions (Unaudited)
The dividend and capital gains distributions for the fund(s) are available on Fidelity.com or Institutional.Fidelity.com.
 
The funds hereby designate as capital gain dividend the amounts noted below for the taxable year ended March 31, 2024, or, if subsequently determined to be different, the net capital gain of such year.
 
Tax-Exempt Portfolio
$ 71,522
 
 
A percentage of the dividends distributed during the fiscal year for the following funds were derived from interest on U.S. Government securities which is generally exempt from state income tax.
 
Treasury Only Portfolio
95.60%
Treasury Portfolio
30.72%
Government Portfolio
41.71%
Money Market Portfolio
9.60%
 
 
The funds hereby designate the amounts noted below as distributions paid in the calendar year 2023 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders:
 
Treasury Only Portfolio
$2,361,784,685
Treasury Portfolio
$2,602,527,788
Government Portfolio
$7,780,252,013
Money Market Portfolio
$4,265,313,809
Tax-Exempt Portfolio
$198,049,818
 
 
 
The funds hereby designate the amounts noted below as distributions paid during the fiscal year ended 2024 as qualifying to be taxed as section 163(j) interest dividends:
 
Treasury Only Portfolio
$2,834,992,604
Treasury Portfolio
$3,002,772,109
Government Portfolio
$9,467,183,553
Money Market Portfolio
$5,846,435,709
 
 
 
During fiscal year ended 2024, 100% of Tax-Exempt Portfolios income dividends were free from federal income tax, and 0.00% of the fund's income dividends were subject to the federal alternative minimum tax.
 
The funds will notify shareholders in January 2025 of amounts for use in preparing 2024 income tax returns.
 
 
 
Board Approval of Investment Advisory Contracts
 
Board Approval of Investment Advisory Contracts
Government Portfolio
Money Market Portfolio
Tax-Exempt Portfolio
Treasury Only Portfolio
Treasury Portfolio
 
At its January 2024 meeting, the Board of Trustees, including the Independent Trustees (together, the Board), approved amended and restated sub-advisory agreements (the Sub-Advisory Contracts) for the fund, including the fund's sub-advisory agreements with FMR Investment Management (UK) Limited (FMR UK), Fidelity Management & Research (Hong Kong) Limited (FMR H.K.), and Fidelity Management & Research (Japan) Limited (FMR Japan). The Sub-Advisory Contracts will be effective March 1, 2024. The Board will consider the annual renewal of each fund's Sub-Advisory Contracts in September 2024, following its review of additional materials provided by FMR.
The Board considered the Sub-Advisory Contracts, which changed the arrangements for fees paid by FMR to the sub-advisers under the agreements. The Board noted that the agreements with FMR UK, FMR H.K., and FMR Japan were amended to provide that FMR will compensate each sub-adviser at a fee equal to 110% of the sub-adviser's costs incurred in providing services under the agreement. The Board considered that, under the Sub-Advisory Contracts, FMR, and not the fund, will continue to pay the sub-advisory fees to each applicable sub-adviser, and that the management fee paid by the funds under the management contracts with FMR will remain unchanged.
The Board considered that the approval of the fund's Sub-Advisory Contracts will not result in any changes in the investment process or strategies employed in the management of the fund's assets or the day-to-day management of the fund or the persons primarily responsible for such management. Further, the Board considered that the Sub-Advisory Contracts would not change the obligations and services of FMR and its affiliates on behalf of the fund, and, in particular, there would be no change in the nature and level of services provided to the fund by FMR and its affiliates.
In connection with its consideration of future renewals of the fund's advisory contracts, the Board will consider: (i) the nature, extent and quality of services provided to the funds, including shareholder and administrative services and investment performance; (ii) the competitiveness of the management fee and total expenses for the fund; (iii) the costs of the services and profitability, including the revenues earned and the expenses incurred in conducting the business of developing, marketing, distributing, managing, administering, and servicing the fund and its shareholders, to the extent applicable; and (iv) whether there have been economies of scale in respect of the Fidelity funds, whether the Fidelity funds (including the funds) have appropriately benefited from any such economies of scale, and whether there is the potential for realization of any further economies.
Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that each fund's management fee structure is fair and reasonable, and that the funds' Sub-Advisory Contracts should be approved.
Proxy Voting Results
A special meeting of shareholders was held on October 18, 2023. The results of votes taken among shareholders on the proposal before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.
Proposal 1
To elect a Board of Trustees.
 
# of
Votes
% of
Votes
Abigail P. Johnson
Affirmative
250,334,169,287.56
97.82
Withheld
5,572,265,029.21
2.18
TOTAL
255,906,434,316.77
100.00
Jennifer Toolin McAuliffe
Affirmative
250,626,463,958.74
97.94
Withheld
5,279,970,358.03
2.06
TOTAL
255,906,434,316.77
100.00
Christine J. Thompson
Affirmative
250,377,937,638.84
97.84
Withheld
5,528,496,677.93
2.16
TOTAL
255,906,434,316.77
100.00
Elizabeth S. Acton
Affirmative
250,688,695,554.44
97.96
Withheld
5,217,738,762.33
2.04
TOTAL
255,906,434,316.77
100.00
Laura M. Bishop
Affirmative
250,380,997,757.69
97.84
Withheld
5,525,436,559.08
2.16
TOTAL
255,906,434,316.77
100.00
Ann E. Dunwoody
Affirmative
250,741,178,052.55
97.98
Withheld
5,165,256,264.22
2.02
TOTAL
255,906,434,316.77
100.00
John Engler
Affirmative
251,269,466,168.48
98.19
Withheld
4,636,968,148.29
1.81
TOTAL
255,906,434,316.77
100.00
Robert F. Gartland
Affirmative
250,980,886,119.35
98.08
Withheld
4,925,548,197.42
1.92
TOTAL
255,906,434,316.77
100.00
Robert W. Helm
Affirmative
251,525,748,987.06
98.29
Withheld
4,380,685,329.71
1.71
TOTAL
255,906,434,316.77
100.00
Arthur E. Johnson
Affirmative
250,304,620,077.66
97.81
Withheld
5,601,814,239.11
2.19
TOTAL
255,906,434,316.77
100.00
Michael E. Kenneally
Affirmative
249,267,410,325.19
97.41
Withheld
6,639,023,991.58
2.59
TOTAL
255,906,434,316.77
100.00
Mark A. Murray
Affirmative
251,466,743,450.13
98.27
Withheld
4,439,690,866.64
1.73
TOTAL
255,906,434,316.77
100.00
Carol J. Zierhoffer
Affirmative
250,320,819,780.41
97.82
Withheld
5,585,614,536.36
2.18
TOTAL
255,906,434,316.77
100.00
 
 
 
Proposal 1 reflects trust-wide proposal and voting results.
 
 
 
1.701843.126
IMM-ANN-0524

Item 2.

Code of Ethics


As of the end of the period, March 31, 2024, Fidelity Colchester Street Trust (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer.  A copy of the code of ethics is filed as an exhibit to this Form N-CSR.


Item 3.

Audit Committee Financial Expert


The Board of Trustees of the trust has determined that Elizabeth S. Acton is an audit committee financial expert, as defined in Item 3 of Form N-CSR.  Ms. Acton is independent for purposes of Item 3 of Form N-CSR.  



Item 4.  

Principal Accountant Fees and Services


Fees and Services


The following table presents fees billed by Deloitte & Touche LLP, the member firms of Deloitte Touche Tohmatsu, and their respective affiliates (collectively, Deloitte Entities) in each of the last two fiscal years for services rendered to Government Portfolio, Money Market Portfolio, Tax-Exempt Portfolio, Treasury Only Portfolio and Treasury Portfolio (the Funds):


Services Billed by Deloitte Entities


March 31, 2024 FeesA


Audit Fees

Audit-Related Fees

Tax Fees

All Other Fees

Government Portfolio

$43,600

$-

$5,400

$900

Money Market Portfolio

$40,200

$-

$5,600

$900

Tax-Exempt Portfolio

$31,300

$-

$5,400

$800

Treasury Only Portfolio

$33,600

$-

$5,400

$800

Treasury Portfolio

$39,600

$-

$5,400

$900



March 31, 2023 FeesA


Audit Fees

Audit-Related Fees

Tax Fees

All Other Fees

Government Portfolio

$38,100

$-

$5,600

$900

Money Market Portfolio

$36,900

$-

$5,600

$900

Tax-Exempt Portfolio

$31,300

$-

$8,400

$700

Treasury Only Portfolio

$32,100

$-

$5,600

$800

Treasury Portfolio

$37,900

$-

$5,600

$900





A Amounts may reflect rounding.


The following table(s) present(s) fees billed by Deloitte Entities that were required to be approved by the Audit Committee for services that relate directly to the operations and financial reporting of the Fund(s) and that are rendered on behalf of Fidelity Management & Research Company LLC ("FMR") and entities controlling, controlled by, or under common control with FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund(s) (Fund Service Providers):


Services Billed by Deloitte Entities




March 31, 2024A

March 31, 2023A

Audit-Related Fees

 $75,000

 $80,000

Tax Fees

$-

$-

All Other Fees

$935,000

$-


A Amounts may reflect rounding.



Audit-Related Fees represent fees billed for assurance and related services that are reasonably related to the performance of the fund audit or the review of the fund's financial statements and that are not reported under Audit Fees.


Tax Fees represent fees billed for tax compliance, tax advice or tax planning that relate directly to the operations and financial reporting of the fund.


All Other Fees represent fees billed for services provided to the fund or Fund Service Provider, a significant portion of which are assurance related, that relate directly to the operations and financial reporting of the fund, excluding those services that are reported under Audit Fees, Audit-Related Fees or Tax Fees.  


Assurance services must be performed by an independent public accountant.


* * *


The aggregate non-audit fees billed by Deloitte Entities for services rendered to the Fund(s), FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any Fund Service Provider for each of the last two fiscal years of the Fund(s) are as follows:





Billed By

March 31, 2024A

March 31, 2023A

Deloitte Entities

$6,331,000

$818,000


A Amounts may reflect rounding.



The trust's Audit Committee has considered non-audit services that were not pre-approved that were provided by Deloitte Entities to Fund Service Providers to be compatible with maintaining the independence of Deloitte Entities in its(their) audit of the Fund(s), taking into account representations from Deloitte Entities, in accordance with Public Company Accounting Oversight Board rules, regarding its independence from the Fund(s) and its(their) related entities and FMRs review of the appropriateness and permissibility under applicable law of such non-audit services prior to their provision to the Fund(s) Service Providers.


Audit Committee Pre-Approval Policies and Procedures

 

The trusts Audit Committee must pre-approve all audit and non-audit services provided by a funds independent registered public accounting firm relating to the operations or financial reporting of the fund. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.


The Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committees consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit service provided by a fund audit firm to a Fidelity fund and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the operations and financial reporting of a Fidelity fund (Covered Service) are subject to approval by the Audit Committee before such service is provided.


All Covered Services must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chairs absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee.


Non-audit services provided by a fund audit firm to a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund are reported to the Audit Committee periodically.


Non-Audit Services Approved Pursuant to Rule 2-01(c)(7)(i)(C) and (ii) of Regulation S-X (De Minimis Exception)




There were no non-audit services approved or required to be approved by the Audit Committee pursuant to the De Minimis Exception during the Funds(s) last two fiscal years relating to services provided to (i) the Fund(s) or (ii) any Fund Service Provider that relate directly to the operations and financial reporting of the Fund(s).

The Registrant has not retained, for the preparation of the audit report on the financial statements included in the Form N-CSR, a registered public accounting firm that has a branch or office that is located in a foreign jurisdiction and that the Public Company Accounting Oversight Board (the PCAOB) has determined that the PCAOB is unable to inspect or investigate completely because of a position taken by an authority in the foreign jurisdiction.

The Registrant is not a foreign issuer, as defined in 17 CFR 240.3b-4.


Item 5.

Audit Committee of Listed Registrants


Not applicable.


Item 6.  

Investments


(a)

Not applicable.


(b)

Not applicable.


Item 7.

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies


Not applicable.


Item 8.

Portfolio Managers of Closed-End Management Investment Companies


Not applicable.


Item 9.  

Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers


Not applicable.


Item 10.

Submission of Matters to a Vote of Security Holders


There were no material changes to the procedures by which shareholders may recommend nominees to the trusts Board of Trustees.


Item 11.

Controls and Procedures




(a)(i)  The President and Treasurer and the Chief Financial Officer have concluded that the trusts disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.


(a)(ii)  There was no change in the trusts internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the trusts internal control over financial reporting.


Item 12.

Disclosure of Securities Lending Activities for Closed-End Management

Investment Companies


Not applicable.


Item 18.  

Recovery of Erroneously Awarded Compensation


(a)

Not applicable.


(b)

Not applicable.


Item 19.

Exhibits


(a)

(1)

Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH.

(a)

(2)

Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.

(a)

(3)

Not applicable.

(b)


Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT.




SIGNATURES


Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.


Fidelity Colchester Street Trust



By:

/s/Laura M. Del Prato


Laura M. Del Prato


President and Treasurer (Principal Executive Officer)



Date:

May 22, 2024


Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.



By:

/s/Laura M. Del Prato


Laura M. Del Prato


President and Treasurer (Principal Executive Officer)



Date:

May 22, 2024



By:

/s/John J. Burke III


John J. Burke III


Chief Financial Officer (Principal Financial Officer)



Date:

May 22, 2024

 







ATTACHMENTS / EXHIBITS

ATTACHMENTS / EXHIBITS

CODE.HTM

EX99CERT.HTM

EX99906CERT.HTM