N-Q 1 d435278dnq.htm READY ASSETS GOVERNMENT LIQUIDITY FUND READY ASSETS GOVERNMENT LIQUIDITY FUND

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number: 811-02556

Name of Fund:  Ready Assets Government Liquidity Fund

Fund Address:    100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, Ready Assets

            Government Liquidity Fund, 55 East 52nd Street, New York, NY 10055

Registrant’s telephone number, including area code: (800) 441-7762

Date of fiscal year end: 04/30/2018

Date of reporting period: 07/31/2017

Item 1 – Schedule of Investments

Schedule of Investments July 31, 2017 (Unaudited)

   

Ready Assets Government Liquidity Fund

(Percentages shown are based on Net Assets)

 

U.S. Government Sponsored Agency Obligations    Par
(000)		     Value  

Fannie Mae, 0.88%, 5/21/18

    $ 11,835     $ 11,801,117  

Fannie Mae Variable Rate Notes, (1 mo. LIBOR US + 0.010%), 1.24%, 8/16/17 - 10/5/17 (a)

      34,250       34,249,426  

Federal Farm Credit Bank Variable Rate Notes (a):

     

(1 mo. LIBOR US + 0.070%), 1.30%, 11/20/17

      12,500       12,499,808  

(1 mo. LIBOR US + 0.030%), 1.26%, 11/22/17

      15,000       14,999,527  

(1 mo. LIBOR US + 0.130%), 1.35%, 12/04/17

      22,000       22,000,000  

(3 mo. LIBOR US - 0.080%), 1.23%, 1/23/18

      7,110       7,110,033  

(1 mo. LIBOR US + 0.180%), 1.40%, 4/04/18

      20,000       19,998,642  

(1 mo. LIBOR US + 0.200%), 1.43%, 6/18/18

      11,085       11,086,021  

Federal Home Loan Bank, 0.88%, 3/19/18

      35,535       35,471,667  

Federal Home Loan Bank Discount Notes (b):

     

0.64%, 8/01/17

      23,475       23,475,000  

0.65%, 8/02/17

      15,120       15,119,728  

1.02%, 8/08/17 - 8/10/17

      71,555       71,536,852  

0.98%, 8/09/17 - 10/25/17

      64,015       63,962,547  

0.78%, 8/11/17

      34,910       34,902,469  

0.68%, 8/22/17

      6,900       6,897,263  

0.70%, 8/23/17

      8,005       8,001,600  

0.69%, 8/25/17

      4,830       4,827,798  

0.90%, 8/28/17

      12,870       12,861,361  

0.76%, 8/30/17

      12,730       12,722,192  

1.03%, 9/01/17 - 9/19/17

      17,605       17,584,289  

1.00%, 9/13/17 - 11/02/17

      25,660       25,617,867  

0.94%, 9/18/17 - 10/18/17

      58,010       57,909,291  

0.99%, 9/20/17 - 10/20/17

      50,285       50,208,964  

1.05%, 9/26/17

      23,505       23,466,608  

1.08%, 10/12/17 - 10/27/17

      92,640       92,420,048  

1.07%, 11/01/17

      8,650       8,626,458  

1.04%, 11/08/17

      9,000       8,974,285  

1.11%, 12/15/17

      13,500       13,443,900  

1.15%, 12/29/17

      13,000       12,938,250  

1.14%, 1/19/18 - 1/26/18

      41,180       40,953,534  

1.09%, 2/16/18

      16,780       16,679,823  

Federal Home Loan Bank Variable Rate Notes (a):

     

(3 mo. LIBOR US - 0.240%), 0.95%, 8/25/17

      11,905       11,905,000  

(3 mo. LIBOR US - 0.095%), 1.12%, 8/25/17

      14,975       14,975,000  

(1 mo. LIBOR US - 0.100%), 1.13%, 11/01/17 (c)

      20,000       20,000,000  

(3 mo. LIBOR US - 0.120%), 1.05%, 11/02/17

      12,285       12,285,000  
U.S. Government Sponsored Agency Obligations    Par
(000)		     Value  

Federal Home Loan Bank Variable Rate Notes (a) (continued):

     

(3 mo. LIBOR US - 0.060%), 1.25%, 1/26/18

    $ 11,000     $ 11,000,000  

(3 mo. LIBOR US - 0.330%), 0.91%, 3/13/18

      19,400       19,400,000  

(1 mo. LIBOR US - 0.140%), 1.08%, 4/13/18

      41,840       41,840,000  

(1 mo. LIBOR US - 0.145%), 1.08%, 4/17/18

      17,480       17,480,000  

(3 mo. LIBOR US - 0.350%), 0.83%, 5/09/18

      10,000       10,000,000  

(3 mo. LIBOR US - 0.160%), 1.04%, 5/30/18

      15,905       15,905,000  

(1 mo. LIBOR US - 0.135%), 1.09%, 6/05/18

      13,000       13,000,000  

(1 mo. LIBOR US - 0.040%), 1.18%, 7/09/18

      20,200       20,200,000  

(1 mo. LIBOR US - 0.115%), 1.11%, 10/03/18

      13,500       13,500,000  

(1 mo. LIBOR US - 0.090%), 1.14%, 1/25/19

      14,630       14,630,000  

(3 mo. LIBOR US - 0.160%), 1.11%, 6/20/19

      22,105       22,105,000  

Freddie Mac, 1.00%, 9/29/17

      13,650       13,655,974  

Freddie Mac Discount Notes (b):

     

0.80%, 8/02/17

      16,170       16,169,641  

0.83%, 8/03/17

      30,130       30,128,611  

0.65%, 9/01/17

      18,385       18,374,709  

0.73%, 10/16/17

      12,490       12,470,751  

Freddie Mac Variable Rate Notes, (3 mo. LIBOR US + 0.020%), 1.24%, 3/08/18 (a)

      16,000       16,000,000  
Total U.S. Government Sponsored Agency
Obligations — 62.2%		       1,157,371,054  
    
                  
U.S. Treasury Obligations               

U.S. Treasury Bills (b):

     

0.65%, 8/03/17

      16,000       15,999,429  

0.92%, 9/28/17

      16,480       16,455,971  

U.S. Treasury Notes:

     

0.88%, 10/15/17

      20,825       20,830,929  

(3 mo. Treasury money market yield + 0.168%), 1.35%, 10/31/17 (a)

      18,637       18,635,335  

1.00%, 2/15/18

      12,475       12,480,001  

0.75%, 2/28/18

      8,480       8,462,387  
Total U.S. Treasury Obligations — 5.0%       92,864,052  
 

 

     
                
   READY ASSETS GOVERNMENT LIQUIDITY FUND    JULY 31, 2017    1

Schedule of Investments (continued)

   

Ready Assets Government Liquidity Fund

 

              Value  
Total Repurchase Agreements — 34.2%             $ 637,000,000  

Total Investments (Cost — $1,887,235,106*) — 101.4%

 

      1,887,235,106  

Liabilities in Excess of Other Assets — (1.4)%

         (26,257,860 ) 
     

 

 

  

Net Assets — 100.0%

       $ 1,860,977,246  
     

 

 

  
 
Notes to Schedule of Investments

 

*   Cost for federal income tax purposes.

 

(a)   Floating rate security. Rate shown is the rate in effect as of period end.

 

(b)   Rates are discount rates or a range of discount rates paid at the time of purchase.

 

(c)   When-issued security.

 

     Repurchase Agreements     Collateral  
Counterparty   Coupon
Rate		     Purchase
Date		     Maturity
Date		     Par
(000)		     at Value
(000)		    

Proceeds

including
interest

     Position   Original Par     Position
Received, at
Value		  

BNP Paribas Securities Corp.

     1.04 %      7/31/17       8/01/17     $ 55,000     $ 55,000     $ 55,001,589     U.S. Treasury Obligations, 0.00% to 5.25%, due 4/15/20 to 8/15/46   $ 56,454,100     $ 56,100,005  
      1.04 %      7/31/17       8/07/17       16,000       16,000       16,003,236     U.S. Treasury Obligations, 0.00% to 3.38%, due 10/12/17 to 2/15/46     20,217,903       16,320,000  

Total BNP Paribas Securities Corp.

 

                   $ 71,000                         $ 72,420,005  

Goldman Sachs & Co.

     1.12 %      7/27/17       8/03/17       26,500       26,500       26,505,771     U.S. Government Sponsored Agency Obligations, 3.00% to 3.50%, due 3/15/43 to 7/20/47     26,113,195       27,030,000  

HSBC Securities (USA), Inc.

     1.03 %      7/25/17       8/01/17       19,000       19,000       19,003,805     U.S. Treasury Obligation,
3.75%, due 8/15/41		     16,435,000       19,385,184  
      1.03 %      7/26/17       8/02/17       15,000       15,000       15,003,004     U.S. Treasury Obligation,
3.75%, due 8/15/41		     12,975,000       15,304,093  

Total HSBC Securities (USA), Inc.

 

                   $ 34,000                         $ 34,689,277  

J.P. Morgan Securities LLC

     1.40 %1      7/31/17       9/04/17       44,000       44,000       44,059,889     U.S. Government Sponsored Agency Obligation,
3.00%, due 2/20/47		     44,995,000       44,880,523  
      1.04 %      7/31/17       8/01/17       20,000       20,000       20,000,578     U.S. Treasury Obligation,
2.00%, due 4/30/24		     20,400,000       20,401,340  

Total J.P. Morgan Securities LLC

 

                   $ 64,000                         $ 65,281,863  

Merrill Lynch, Pierce, Fenner & Smith, Inc.

     1.04 %      7/31/17       8/01/17       55,000       55,000       55,001,589     U.S. Treasury Obligation,
1.38%, due 9/30/23		     57,962,800       56,100,069  
    1.06 %      7/31/17       8/01/17       20,000       20,000       20,000,589     U.S. Treasury Obligation,
1.50%, due 5/31/20		     20,342,800       20,400,014  
      1.14 %      7/27/17       8/03/17       24,500       24,500       24,505,431     U.S. Government Sponsored Agency Obligation,
3.50%, due 6/01/47		     24,499,538       25,235,000  

Total Merrill Lynch, Pierce, Fenner & Smith, Inc.

 

                   $ 99,500                         $ 101,735,083  

1    Variable rate security. Rate as of period end and maturity is the date the principal owed can be recovered through demand.

     

 

     
                
2    READY ASSETS GOVERNMENT LIQUIDITY FUND    JULY 31, 2017   

Schedule of Investments (continued)

   

Ready Assets Government Liquidity Fund

 

     Repurchase Agreements     Collateral  
Counterparty   Coupon
Rate		     Purchase
Date		     Maturity
Date		     Par
(000)		     at Value
(000)		     Proceeds
including
interest		     Position   Original Par     Position
Received, at
Value		  

Mizuho Securities USA, Inc.

     1.06 %      7/31/17       8/01/17     $ 75,000     $ 75,000     $ 75,002,208     U.S. Government Sponsored Agency Obligations and Corporate Debt/Obligations, 0.39% to 6.37%, due 10/20/32 to 8/16/52   $ 1,743,541,456     $ 78,750,000  

Morgan Stanley & Co. LLC

     1.01 %      7/31/17       8/01/17       10,000       10,000       10,000,281     U.S. Treasury Obligation,
0.00%, due 9/14/17		     10,213,300       10,200,091  

RBC Capital Markets LLC

     1.02 %      7/31/17       8/01/17       51,000       51,000       51,001,445     U.S. Treasury Obligations, 1.00% to 2.75%, due 5/31/18 to 8/15/42     52,590,800       52,020,031  
      1.03 %      7/31/17       8/01/17       20,000       20,000       20,000,572     U.S. Government Sponsored Agency Obligations, 2.41% to 5.52%, due 4/15/36 to 6/15/52     98,147,854       21,112,145  

Total RBC Capital Markets LLC

 

   $ 71,000                         $ 73,132,176  

Societe Generale

     1.05 %      7/31/17       8/07/17       6,000       6,000       6,001,225     U.S. Treasury Obligations, 0.00% to 3.38%, due 8/15/41 to 5/15/44     5,554,000       6,120,064  

TD Securities (USA) LLC

     1.04 %      7/31/17       8/01/17       55,000       55,000       55,001,589     U.S. Treasury Obligations, 0.63% to 3.38%, due 4/30/18 to 11/15/19     55,769,200       56,100,038  
      1.05 %      7/31/17       8/01/17       112,000       112,000       112,003,267     U.S. Government Sponsored Agency Obligations and U.S. Treasury Obligations, 0.13% to 4.50%, due 4/15/19 to 5/01/47     113,828,768       114,490,196  

Total TD Securities (USA) LLC

 

   $ 167,000                         $ 170,590,234  

Wells Fargo Securities LLC

     1.05 %      7/28/17       8/04/17       13,000       13,000       13,002,654     U.S. Government Sponsored Agency Obligation, 4.00%, due 4/01/47     12,891,279       13,390,001  

Total

 

   $ 637,000                         $ 653,338,794  

 

     
                
   READY ASSETS GOVERNMENT LIQUIDITY FUND    JULY 31, 2017    3

Schedule of Investments (concluded)

   

Ready Assets Government Liquidity Fund

 

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:

 

  •  

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access

 

  •  

Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

 

  •  

Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s own assumptions used in determining the fair value of investments)

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Fund’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments is based on the pricing transparency of the investments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund’s policy regarding valuation of investments, refer to the Fund’s most recent financial statements as contained in its annual report.

The following table summarizes the Fund’s investments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3     Total  

Assets:

              
Investments:              

Short-Term Securities1

     —        $ 1,887,235,106          —     $ 1,887,235,106  

1    See above Schedule of Investments for values in each security type.

     

During the period ended July 31, 2017, there were no transfers between levels.

 

     
                
4    READY ASSETS GOVERNMENT LIQUIDITY FUND    JULY 31, 2017   

Item 2 – Controls and Procedures

 

2(a) – The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended.

 

2(b) – There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3 – Exhibits

Certifications – Attached hereto

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.

 

Ready Assets Government Liquidity Fund

                By:       /s/ John M. Perlowski
 

John M. Perlowski

Chief Executive Officer (principal executive officer) of

Ready Assets Government Liquidity Fund

                Date: September 25, 2017

 

  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/ John M. Perlowski
 

John M. Perlowski

Chief Executive Officer (principal executive officer) of

Ready Assets Government Liquidity Fund

                Date: September 25, 2017

 

                By:       /s/ Neal J. Andrews
 

Neal J. Andrews

Chief Financial Officer (principal financial officer) of

Ready Assets Government Liquidity Fund

Date: September 25, 2017