N-CSRS 1 main.htm

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 811-3518

Fidelity Newbury Street Trust
 (Exact name of registrant as specified in charter)

82 Devonshire St., Boston, Massachusetts 02109
 (Address of principal executive offices)       (Zip code)

Scott C. Goebel, Secretary

82 Devonshire St.

Boston, Massachusetts 02109
(Name and address of agent for service)

Registrant's telephone number, including area code: 617-563-7000

Date of fiscal year end:

October 31

 

 

Date of reporting period:

April 30, 2012

Item 1. Reports to Stockholders

Fidelity®
Cash Management
Funds

Treasury Fund
Prime Fund
Tax-Exempt Fund

Semiannual Report

April 30, 2012

(Fidelity Cover Art)

Contents

Shareholder Expense Example

(Click Here)

Investment Changes/Performance, Schedules of Investments & Financial Statements

 

Treasury Fund

(Click Here)

Prime Fund

(Click Here)

Tax-Exempt Fund

(Click Here)

Notes to the Financial Statements

(Click Here)

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 1-877-208-0098 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.

Treasury Fund and Prime Fund seek to obtain as high a level of current income as is consistent with the preservation of capital and liquidity by investing in high-quality, short-term money market securities. Treasury Fund invests in money market securities issued by the U.S. Treasury and backed by the full faith and credit of the U.S. Government. Prime Fund invests in a broad range of money market securities. Tax-Exempt Fund seeks to provide as high a level of current income, exempt from federal income taxes, as is consistent with liquidity and stability of principal by investing at least 80% of its assets in municipal money market securities.

An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the fund.

Interest rate increases can cause the price of a money market security to decrease.

Entities located in foreign countries can be affected by adverse political, regulatory, market, or economic developments in those countries.

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-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q 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.advisor.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.

Semiannual Report

Shareholder Expense Example

As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including 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 the Funds 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 (November 1, 2011 to April 30, 2012).

Actual Expenses

The first line of the accompanying table for each class of each fund 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 of the fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, each Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's 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 for each class of each fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' 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. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, each Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's 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.

Semiannual Report

 

Annualized Expense Ratio

Beginning
Account Value
November 1, 2011

Ending
Account Value
April 30, 2012

Expenses Paid
During Period*
November 1, 2011 to April 30, 2012

Treasury

 

 

 

 

Daily Money Class

.11%

 

 

 

Actual

 

$ 1,000.00

$ 1,000.05

$ .55 **

HypotheticalA

 

$ 1,000.00

$ 1,024.32

$ .5 5 **

Capital Reserves Class

.11%

 

 

 

Actual

 

$ 1,000.00

$ 1,000.05

$ .55 **

HypotheticalA

 

$ 1,000.00

$ 1,024.32

$ .55 **

Advisor B Class

.11%

 

 

 

Actual

 

$ 1,000.00

$ 1,000.05

$ .55 **

HypotheticalA

 

$ 1,000.00

$ 1,024.32

$ .55 **

Advisor C Class

.11%

 

 

 

Actual

 

$ 1,000.00

$ 1,000.05

$ .55 **

HypotheticalA

 

$ 1,000.00

$ 1,024.32

$ .55 **

Prime

 

 

 

 

Daily Money Class

.35%

 

 

 

Actual

 

$ 1,000.00

$ 1,000.05

$ 1.74 **

HypotheticalA

 

$ 1,000.00

$ 1,023.12

$ 1.76 **

Capital Reserves Class

.35%

 

 

 

Actual

 

$ 1,000.00

$ 1,000.05

$ 1.74 **

HypotheticalA

 

$ 1,000.00

$ 1,023.12

$ 1.76 **

Tax-Exempt

 

 

 

 

Daily Money Class

.15%

 

 

 

Actual

 

$ 1,000.00

$ 1,000.05

$ .75 **

HypotheticalA

 

$ 1,000.00

$ 1,024.12

$ .75 **

Capital Reserves Class

.15%

 

 

 

Actual

 

$ 1,000.00

$ 1,000.05

$ .75 **

HypotheticalA

 

$ 1,000.00

$ 1,024.12

$ .75 **

Fidelity Tax-Free Money Market Fund

.15%

 

 

 

Actual

 

$ 1,000.00

$ 1,000.05

$ .75 **

HypotheticalA

 

$ 1,000.00

$ 1,024.12

$ .75 **

Semiannual Report

Shareholder Expense Example - continued

A 5% return per year before expenses

* Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/ 366 (to reflect the one-half year period).

** If certain fees were not voluntarily waived by FMR or its affiliates during the period, the annualized expense ratio and the expenses paid in the actual and hypothetical examples above would have been as follows:

 

Annualized
Expense Ratio

Expenses
Paid

Treasury

 

 

Daily Money Class

.74%

 

Actual

 

$ 3.67

HypotheticalA

 

$ 3.72

Capital Reserves Class

.99%

 

Actual

 

$ 4.91

HypotheticalA

 

$ 4.97

Advisor B Class

1.50%

 

Actual

 

$ 7.43

HypotheticalA

 

$ 7.52

Advisor C Class

1.50%

 

Actual

 

$ 7.43

HypotheticalA

 

$ 7.52

Prime

 

 

Daily Money Class

.70%

 

Actual

 

$ 3.48

HypotheticalA

 

$ 3.52

Capital Reserves Class

.95%

 

Actual

 

$ 4.72

HypotheticalA

 

$ 4.77

Tax-Exempt

 

 

Daily Money Class

.70%

 

Actual

 

$ 3.48

HypotheticalA

 

$ 3.52

Capital Reserves Class

.95%

 

Actual

 

$ 4.71

HypotheticalA

 

$ 4.77

Fidelity Tax-Free Money Market Fund

.45%

 

Actual

 

$ 2.24

HypotheticalA

 

$ 2.26

A 5% return per year before expenses

Semiannual Report

Treasury Fund

Investment Changes/Performance (Unaudited)

Effective Maturity Diversification

Days

% of fund's investments 4/30/12

% of fund's investments 10/31/11

% of fund's investments 4/30/11

1 - 7

67.6

74.5

64.5

8 - 30

0.9

4.6

1.7

31 - 60

0.9

0.2

2.0

61 - 90

3.8

3.3

7.5

91 - 180

16.4

3.2

11.9

> 180

10.4

14.2

12.4

Effective maturity is determined in accordance with the requirements of Rule 2a-7 under the Investment Company Act of 1940.

Weighted Average Maturity

 

4/30/12

10/31/11

4/30/11

Treasury Fund

51 Days

49 Days

47 Days

All Taxable Money Market Funds Average*

45 Days

42 Days

45 Days

This is a weighted average of all the maturities of the securities held in a fund. Weighted Average Maturity (WAM) can be used as a measure of sensitivity to interest rate changes and market changes. Generally, the longer the maturity, the greater the sensitivity to such changes. WAM is based on the dollar-weighted average length of time until principal payments must be paid. Depending on the types of securities held in a fund, certain maturity shortening devices (e.g., demand features, interest rate resets, and call options) may be taken into account when calculating the WAM.

Weighted Average Life

 

4/30/12

10/31/11

4/30/11

Treasury Fund

51 Days

49 Days

47 Days

Weighted Average Life (WAL) is the weighted average of the life of the securities held in a fund or portfolio and can be used as a measure of sensitivity to changes in liquidity and/or credit risk. Generally, the higher the value, the greater the sensitivity. WAL is based on the dollar-weighted average length of time until 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. The difference between WAM and WAL is that WAM takes into account interest rate resets and WAL does not. WAL for money market funds is not the same as WAL of a mortgage- or asset-backed security.

Asset Allocation (% of fund's net assets)

As of April 30, 2012

As of October 31, 2011

nwb15

Treasury Debt 33.3%

 

nwb15

Treasury Debt 25.3%

 

nwb18

Repurchase
Agreements 69.2%

 

nwb18

Repurchase
Agreements 73.9%

 

nwb21

Net Other Assets (Liabilities) † (2.5)%

 

nwb23

Net Other Assets
(Liabilities) 0.8%

 

nwb25

* Source: iMoneyNet, Inc.

† Net Other Assets are not included in the pie chart.

Current and Historical Seven-Day Yields

 

4/30/12

1/31/12

11/1/11

8/2/11

5/3/11

 

 

 

 

 

 

Fidelity Daily Money Class

0.01%

0.01%

0.01%

0.01%

0.01%

 

 

 

 

 

 

Fidelity Capital Reserves Class

0.01%

0.01%

0.01%

0.01%

0.01%

 

 

 

 

 

 

Fidelity Advisor B Class

0.01%

0.01%

0.01%

0.01%

0.01%

 

 

 

 

 

 

Fidelity Advisor C Class

0.01%

0.01%

0.01%

0.01%

0.01%

Yield refers to the income paid by the fund over a given period. Yields for money market funds are usually for seven-day periods, as they are here, though they are expressed as annual percentage rates. 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 April 30, 2012, the most recent period shown in the table, would have been -0.59%, for Daily Money Class, -0.85% for Capital Reserves Class, -1.36% for Advisor B Class, and -1.36% for Advisor C Class.

Semiannual Report

Treasury Fund

Investments April 30, 2012 (Unaudited)

Showing Percentage of Net Assets

Treasury Debt - 33.3%

 

 

Yield (a)

Principal Amount (000s)

Value (000s)

U.S. Treasury Obligations - 33.3%

U.S. Treasury Bills

 

10/25/12

0.14%

$ 50,000

$ 49,966

 

8/16/12 to 11/15/12

0.11 to 0.15

519,000

518,696

U.S. Treasury Notes

 

5/15/12 to 2/28/13

0.09 to 0.22

1,093,830

1,101,296

TOTAL TREASURY DEBT


1,669,958

Treasury Repurchase Agreement - 69.2%

Maturity Amount (000s)

 

In a joint trading account at:

0.18% dated 4/30/12 due 5/1/12 (Collateralized by U.S. Treasury Obligations) #

$ 2,290,283

2,290,271

0.18% dated 4/30/12 due 5/1/12 (Collateralized by U.S. Treasury Obligations) #

51,658

51,658

With:

Barclays Capital, Inc. at:

0.13%, dated 4/23/12 due 5/7/12 (Collateralized by U.S. Treasury Obligations valued at $138,724,094, 0.38% - 2.63%, 7/31/13 - 5/31/18)

136,015

136,000

0.15%, dated 4/25/12 due 5/7/12 (Collateralized by U.S. Treasury Obligations valued at $68,382,427, 1.5% - 3%, 7/31/16 - 8/15/21)

67,008

67,000

0.16%, dated 4/11/12 due 5/7/12 (Collateralized by U.S. Treasury Obligations valued at $265,223,621, 0.25% - 3.13%, 1/31/14 - 8/15/21)

260,035

260,000

BNP Paribas Securities Corp. at 0.13%, dated 4/19/12 due 5/3/12 (Collateralized by U.S. Treasury Obligations valued at $207,977,645, 3.5% - 11.25%, 2/15/15 - 5/15/41)

203,010

203,000

Treasury Repurchase Agreement - continued

Maturity Amount (000s)

Value (000s)

With: - continued

UBS Securities LLC at 0.17%, dated 4/26/12 due 5/7/12 (Collateralized by U.S. Treasury Obligations valued at:

$204,004,890, 1.25%, 4/30/19)

$ 200,018

$ 200,000

$273,366,467, 1.25%, 4/30/19)

268,024

268,000

TOTAL TREASURY REPURCHASE AGREEMENT


3,475,929

TOTAL INVESTMENT PORTFOLIO - 102.5%

(Cost $5,145,887)

5,145,887

NET OTHER ASSETS (LIABILITIES) - (2.5)%

(125,015)

NET ASSETS - 100%

$ 5,020,872

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.

# Additional information on each counterparty to the repurchase agreement is as follows:

Repurchase Agreement / Counterparty

Value
(Amounts in thousands)

$2,290,271,000 due 5/01/12 at 0.18%

BNP Paribas Securities Corp.

$ 92,432

Barclays Capital, Inc.

134,837

Credit Agricole CIB New York Branch

539,347

Credit Suisse Securities (USA) LLC

674,184

J.P. Morgan Securities, Inc.

134,837

RBS Securities, Inc.

269,673

UBS Securities LLC

350,575

Wells Fargo Securities LLC

94,386

 

$ 2,290,271

$51,658,000 due 5/01/12 at 0.18%

Barclays Capital, Inc.

$ 14,122

Merrill Lynch, Pierce, Fenner & Smith, Inc.

10,987

RBS Securities, Inc.

26,549

 

$ 51,658

Other Information

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.

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 those securities. For more information on valuation inputs, please refer to the Security Valuation section in the accompanying Notes to Financial Statements.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Treasury Fund

Financial Statements

Statement of Assets and Liabilities

 Amounts in thousands (except per-share amounts)

April 30, 2012 (Unaudited)

 

 

 

Assets

Investment in securities, at value (including repurchase agreements of $3,475,929) - See accompanying schedule:

Unaffiliated issuers (cost $5,145,887)

 

$ 5,145,887

Receivable for fund shares sold

50,967

Interest receivable

4,827

Prepaid expenses

3

Total assets

5,201,684

 

 

 

Liabilities

Payable for investments purchased

$ 65,950

Payable for fund shares redeemed

114,313

Distributions payable

6

Accrued management fee

470

Other affiliated payables

42

Other payables and accrued expenses

31

Total liabilities

180,812

 

 

 

Net Assets

$ 5,020,872

Net Assets consist of:

 

Paid in capital

$ 5,020,887

Distributions in excess of net investment income

(24)

Accumulated undistributed net realized gain (loss) on investments

9

Net Assets

$ 5,020,872

 

 

 

Daily Money Class:
Net Asset Value, offering price and redemption price per share ($3,534,851 ÷ 3,534,493 shares)

$ 1.00

 

 

 

Capital Reserves Class:
Net Asset Value, offering price and redemption price per share ($1,350,285 ÷ 1,349,762 shares)

$ 1.00

 

 

 

Advisor B Class:
Net Asset Value and offering price per share
($31,300 ÷ 31,301 shares)A

$ 1.00

 

 

 

Advisor C Class:
Net Asset Value and offering price per share ($104,436 ÷ 104,428 shares)A

$ 1.00

A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Statement of Operations

 Amounts in thousands

Six months ended April 30, 2012 (Unaudited)

 

  

  

Investment Income

  

  

Interest

 

$ 3,165

 

 

 

Expenses

Management fee

$ 6,827

Transfer agent fees

5,475

Distribution and service plan fees

9,150

Accounting fees and expenses

232

Custodian fees and expenses

17

Independent trustees' compensation

10

Registration fees

695

Audit

26

Legal

9

Miscellaneous

11

Total expenses before reductions

22,452

Expense reductions

(19,561)

2,891

Net investment income (loss)

274

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers

 

9

Net increase in net assets resulting from operations

$ 283

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Treasury Fund
Financial Statements - continued

Statement of Changes in Net Assets

 Amounts in thousands

Six months ended April 30, 2012
(Unaudited)

Year ended
October 31,
2011

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 274

$ 364

Net realized gain (loss)

9

4

Net increase in net assets resulting
from operations

283

368

Distributions to shareholders from net investment income

(272)

(363)

Share transactions - net increase (decrease)

(204,119)

1,890,303

Total increase (decrease) in net assets

(204,108)

1,890,308

 

 

 

Net Assets

Beginning of period

5,224,980

3,334,672

End of period (including distributions in excess of net investment income of $24 and distributions in excess of net investment income of $26, respectively)

$ 5,020,872

$ 5,224,980

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Daily Money Class

 

Six months ended April 30, 2012

Years ended October 31,

 

(Unaudited)

2011

2010

2009

2008

2007

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss)

  - F

  - F

  - F

  - F

  .018

  .045

Net realized and unrealized gain (loss) F

  -

  -

  -

  -

  -

  -

Total from investment operations

  - F

  - F

  - F

  - F

  .018

  .045

Distributions from net investment income

  - F

  - F

  - F

  - F

  (.018)

  (.045)

Distributions from net realized gain

  -

  -

  - F

  -

  -

  -

Total distributions

  - F

  - F

  - F

  - F

  (.018)

  (.045)

Net asset value, end of period

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

Total Return B,C

  -% D

  .01%

  .01%

  .02%

  1.82%

  4.55%

Ratios to Average Net Assets E

 

 

 

 

 

Expenses before reductions

  .74% A

  .73%

  .72%

  .75%

  .73%

  .73%

Expenses net of fee waivers, if any

  .11% A

  .13%

  .22%

  .48%

  .65%

  .70%

Expenses net of all reductions

  .11% A

  .13%

  .22%

  .48%

  .65%

  .70%

Net investment income (loss)

  .01% A

  .01%

  .01%

  .02%

  1.64%

  4.44%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 3,535

$ 3,760

$ 2,056

$ 2,648

$ 4,129

$ 1,833

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Amount represents less than .01%.

E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed or waived or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement and waivers but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

F Amount represents less than $.001 per share.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Capital Reserves Class

 

Six months ended April 30, 2012

Years ended October 31,

 

(Unaudited)

2011

2010

2009

2008

2007

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss)

  - F

  - F

  - F

  - F

  .016

  .042

Net realized and unrealized gain (loss) F

  -

  -

  -

  -

  -

  -

Total from investment operations

  - F

  - F

  - F

  - F

  .016

  .042

Distributions from net investment income

  - F

  - F

  - F

  - F

  (.016)

  (.042)

Distributions from net realized gain

  -

  -

  - F

  -

  -

  -

Total distributions

  - F

  - F

  - F

  - F

  (.016)

  (.042)

Net asset value, end of period

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

Total Return B,C

  -% D

  .01%

  .01%

  .02%

  1.56%

  4.29%

Ratios to Average Net Assets E

 

 

 

 

 

Expenses before reductions

  .99% A

  .98%

  .97%

  1.00%

  .98%

  .97%

Expenses net of fee waivers, if any

  .11% A

  .14%

  .22%

  .48%

  .87%

  .95%

Expenses net of all reductions

  .11% A

  .14%

  .22%

  .48%

  .87%

  .95%

Net investment income (loss)

  .01% A

  .01%

  .01%

  .02%

  1.42%

  4.19%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 1,350

$ 1,300

$ 1,126

$ 1,671

$ 3,063

$ 1,848

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Amount represents less than .01%.

E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed or waived or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement and waivers but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

F Amount represents less than $.001 per share.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Advisor B Class

 

Six months ended April 30, 2012

Years ended October 31,

 

(Unaudited)

2011

2010

2009

2008

2007

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss)

  - G

  - G

  - G

  - G

  .011

  .037

Net realized and unrealized gain (loss) G

  -

  -

  -

  -

  -

  -

Total from investment operations

  - G

  - G

  - G

  - G

  .011

  .037

Distributions from net investment income

  - G

  - G

  - G

  - G

  (.011)

  (.037)

Distributions from net realized gain

  -

  -

  - G

  -

  -

  -

Total distributions

  - G

  - G

  - G

  - G

  (.011)

  (.037)

Net asset value, end of period

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

Total Return B,C,D

  -%E

  .01%

  .01%

  .02%

  1.13%

  3.77%

Ratios to Average Net Assets F

 

 

 

 

 

Expenses before reductions

  1.50% A

  1.49%

  1.48%

  1.50%

  1.49%

  1.48%

Expenses net of fee waivers, if any

  .11% A

  .14%

  .22%

  .47%

  1.29%

  1.45%

Expenses net of all reductions

  .11% A

  .14%

  .22%

  .47%

  1.29%

  1.45%

Net investment income (loss)

  .01% A

  .01%

  .01%

  .02%

  .99%

  3.69%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 31

$ 38

$ 47

$ 70

$ 96

$ 57

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Total returns do not include the effect of the contingent deferred sales charge.

E Amount represents less than .01%.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed or waived or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement and waivers but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

G Amount represents less than $.001 per share.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Advisor C Class

 

Six months ended April 30, 2012

Years ended October 31,

 

(Unaudited)

2011

2010

2009

2008

2007

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss)

  - G

  - G

  - G

  - G

  .011

  .037

Net realized and unrealized gain (loss) G

  -

  -

  -

  -

  -

  -

Total from investment operations

  - G

  - G

  - G

  - G

  .011

  .037

Distributions from net investment income

  - G

  - G

  - G

  - G

  (.011)

  (.037)

Distributions from net realized gain

  -

  -

  - G

  -

  -

  -

Total distributions

  - G

  - G

  - G

  - G

  (.011)

  (.037)

Net asset value, end of period

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

Total Return B,C,D

  -%E

  .01%

  .01%

  .02%

  1.13%

  3.78%

Ratios to Average Net Assets F

 

 

 

 

 

Expenses before reductions

  1.50%A

  1.48%

  1.48%

  1.50%

  1.48%

  1.47%

Expenses net of fee waivers, if any

  .11%A

  .14%

  .22%

  .48%

  1.28%

  1.45%

Expenses net of all reductions

  .11%A

  .14%

  .22%

  .48%

  1.28%

  1.45%

Net investment income (loss)

  .01%A

  .01%

  .01%

  .01%

  1.01%

  3.69%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 104

$ 126

$ 105

$ 138

$ 261

$ 124

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Total returns do not include the effect of the contingent deferred sales charge.

E Amount represents less than .01%.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed or waived or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement and waivers but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

G Amount represents less than $.001 per share.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Prime Fund

Investment Changes/Performance (Unaudited)

Effective Maturity Diversification

Days

% of fund's investments 4/30/12

% of fund's investments 10/31/11

% of fund's investments 4/30/11

1 - 7

29.8

32.1

30.7

8 - 30

22.6

24.1

23.2

31 - 60

12.8

11.4

10.1

61 - 90

21.1

16.9

20.5

91 - 180

9.6

11.8

8.5

> 180

4.1

3.7

7.0

Effective maturity is determined in accordance with the requirements of Rule 2a-7 under the Investment Company Act of 1940.

Weighted Average Maturity

 

4/30/12

10/31/11

4/30/11

Prime Fund

48 Days

47 Days

50 Days

All Taxable Money Market Funds Average*

45 Days

42 Days

45 Days

This is a weighted average of all the maturities of the securities held in a fund. Weighted Average Maturity (WAM) can be used as a measure of sensitivity to interest rate changes and market changes. Generally, the longer the maturity, the greater the sensitivity to such changes. WAM is based on the dollar-weighted average length of time until principal payments must be paid. Depending on the types of securities held in a fund, certain maturity shortening devices (e.g., demand features, interest rate resets, and call options) may be taken into account when calculating the WAM.

Weighted Average Life

 

4/30/12

10/31/11

4/30/11

Prime Fund

85 Days

90 Days

92 Days

Weighted Average Life (WAL) is the weighted average of the life of the securities held in a fund or portfolio and can be used as a measure of sensitivity to changes in liquidity and/or credit risk. Generally, the higher the value, the greater the sensitivity. WAL is based on the dollar-weighted average length of time until 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. The difference between WAM and WAL is that WAM takes into account interest rate resets and WAL does not. WAL for money market funds is not the same as WAL of a mortgage- or asset-backed security.

Asset Allocation (% of fund's net assets)

As of April 30, 2012A

As of October 31, 2011 B

nwb15

Certificates of
Deposit 40.8%

 

nwb15

Certificates of
Deposit 50.9%

 

nwb29

Commercial Paper 19.4%

 

nwb29

Commercial Paper 13.8%

 

nwb32

Variable Rate
Demand Notes
(VRDNs) 3.6%

 

nwb32

Variable Rate
Demand Notes
(VRDNs) 2.7%

 

nwb35

Other Notes 5.4%

 

nwb35

Other Notes 6.4%

 

nwb38

Treasury Debt 6.9%

 

nwb38

Treasury Debt 6.4%

 

nwb41

Government
Agency Debt ** 4.9%

 

nwb41

Government
Agency Debt ** 5.9%

 

nwb44

Insurance
Company Funding Agreements 0.2%

 

nwb44

Insurance
Company Funding Agreements 0.2%

 

nwb47

Other Instruments 0.0%

 

nwb47

Other Instruments 0.1%

 

nwb50

Repurchase
Agreements 18.9%

 

nwb50

Repurchase
Agreements 13.4%

 

nwb21

Net Other Assets (Liabilities) † (0.1)%

 

nwb23

Net Other Assets
(Liabilities) 0.2%

 

nwb55

A Foreign investments

57.9%

 

B Foreign investments

67.5%

 

* Source: iMoneyNet, Inc.

** Includes Federal Financing Supported Student Loan Short-Term Notes.

† Net Other Assets are not included in the pie chart.

Current and Historical Seven-Day Yields

 

4/30/12

1/31/12

11/1/11

8/2/11

5/3/11

 

 

 

 

 

 

Fidelity Daily Money Class

0.01%

0.01%

0.01%

0.01%

0.01%

 

 

 

 

 

 

Fidelity Capital Reserves Class

0.01%

0.01%

0.01%

0.01%

0.01%

 

 

 

 

 

 

 

 

 

 

 

 

Yield refers to the income paid by the fund over a given period. Yields for money market funds are usually for seven-day periods, as they are here, though they are expressed as annual percentage rates. 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 April 30, 2012, the most recent period shown in the table, would have been -0.41%, for Daily Money Class and -0.66% for Capital Reserves Class.

Semiannual Report

Prime Fund

Investments April 30, 2012 (Unaudited)

Showing Percentage of Net Assets

Certificate of Deposit - 40.8%

 

 

Yield (a)

Principal Amount (000s)

Value (000s)

Domestic Certificates Of Deposit - 0.7%

Branch Banking & Trust Co.

 

5/3/12 to 11/1/12

0.35 to 0.42%

$ 122,000

$ 122,000

London Branch, Eurodollar, Foreign Banks - 5.9%

ABN AMRO Bank NV

 

5/18/12

0.30

73,000

73,000

Australia & New Zealand Banking Group Ltd.

 

6/6/12

0.61

33,000

33,000

Commonwealth Bank of Australia

 

8/8/12

0.40

78,000

78,000

HSBC Bank PLC

 

5/3/12 to 5/31/12

0.50 to 0.51

89,000

89,000

ING Bank NV

 

5/14/12 to 6/1/12

0.37 to 0.40

356,000

356,000

Mitsubishi UFJ Trust & Banking Corp.

 

5/3/12

0.51

38,000

38,000

National Australia Bank Ltd.

 

9/10/12 to 10/11/12

0.35 to 0.40 (d)

352,000

352,000

 

 

1,019,000

New York Branch, Yankee Dollar, Foreign Banks - 34.2%

Bank of Montreal Chicago CD Program

 

5/23/12 to 5/6/13

0.16 to 0.67 (d)

570,000

570,042

Bank of Nova Scotia

 

7/5/12 to 5/10/13

0.31 to 0.77 (d)

628,000

628,017

Bank of Tokyo-Mitsubishi UFJ Ltd.

 

5/10/12 to 9/21/12

0.25 to 0.50 (d)

329,000

329,001

Canadian Imperial Bank of Commerce

 

10/1/12

0.50

166,000

166,000

 

9/24/12 to 5/17/13

0.41 to 0.56 (d)

341,000

341,000

DnB NOR Bank ASA

 

7/13/12

0.26

200,000

199,998

Mitsubishi UFJ Trust & Banking Corp.

 

5/10/12 to 7/27/12

0.41 to 0.50

309,000

309,000

Mizuho Corporate Bank Ltd.

 

5/3/12 to 7/3/12

0.18 to 0.40

615,000

615,000

National Bank Canada

 

7/6/12 to 2/4/13

0.35 to 0.64 (d)

179,000

179,000

Certificate of Deposit - continued

 

 

Yield (a)

Principal Amount (000s)

Value (000s)

New York Branch, Yankee Dollar, Foreign Banks - continued

Nordea Bank Finland PLC

 

6/15/12

0.36%

$ 12,000

$ 12,000

Rabobank Nederland New York Branch

 

6/1/12 to 6/14/12

0.29 to 0.50 (d)

432,000

432,000

Royal Bank of Canada

 

2/11/13 to 5/1/13

0.58 to 0.83 (d)

204,000

204,000

Societe Generale

 

5/2/12

0.35

61,000

61,000

Sumitomo Mitsui Banking Corp.

 

5/8/12 to 7/3/12

0.35 to 0.40 (d)

745,000

745,002

Sumitomo Trust & Banking Co. Ltd.

 

5/8/12 to 8/3/12

0.45 to 0.50

305,000

305,000

Svenska Handelsbanken, Inc.

 

7/19/12

0.27

175,000

175,002

Toronto-Dominion Bank

 

10/19/12 to 2/4/13

0.44 to 0.54 (d)

247,000

247,000

UBS AG

 

6/22/12

0.35

359,000

359,000

 

 

5,877,062

TOTAL CERTIFICATE OF DEPOSIT

7,018,062

Financial Company Commercial Paper - 16.1%

 

Barclays Bank PLC

 

5/2/12 to 5/22/12

0.74 to 0.78 (b)

189,000

189,000

Barclays Bank PLC/Barclays U.S. CCP Funding LLC

 

5/2/12 to 5/21/12

0.37 to 0.38

65,000

64,992

BNP Paribas Finance, Inc.

 

5/2/12 to 6/4/12

0.37

358,000

357,936

BP Capital Markets PLC

 

6/8/12

0.25

30,000

29,992

Caisse d'Amort de la Dette Sociale

 

5/25/12

0.54 (b)(d)

58,000

58,000

Commonwealth Bank of Australia

 

5/22/12 to 6/15/12

0.55 to 0.62

102,000

101,941

Financial Company Commercial Paper - continued

 

 

Yield (a)

Principal Amount (000s)

Value (000s)

Credit Suisse New York Branch

 

6/11/12

0.30%

$ 177,000

$ 176,940

DNB Bank ASA

 

6/11/12 to 7/11/12

0.25 to 0.40

240,000

239,886

JPMorgan Chase & Co.

 

8/1/12 to 11/1/12

0.29 to 0.30 (d)

454,000

453,855

Mitsubishi UFJ Trust & Banking Corp.

 

5/2/12 to 5/3/12

0.40 to 0.46

19,000

19,000

Rabobank USA Financial Corp.

 

6/6/12

0.37

31,000

30,989

Skandinaviska Enskilda Banken AB

 

5/7/12 to 5/16/12

0.40

184,000

183,982

Societe Generale North America, Inc.

 

5/2/12

0.35

59,000

58,999

Svenska Handelsbanken, Inc.

 

6/15/12 to 7/10/12

0.26 to 0.32

458,800

458,574

Toyota Motor Credit Corp.

 

7/2/12

0.32

149,000

148,918

UBS Finance, Inc.

 

5/4/12

0.50

190,000

189,992

TOTAL FINANCIAL COMPANY COMMERCIAL PAPER

2,762,996

Asset Backed Commercial Paper - 3.3%

 

Autobahn Funding Co. LLC (Liquidity Facility DZ BANK AG)

 

5/11/12

0.48

38,000

37,995

 

5/18/12

0.48

6,000

5,999

General Electric Co.

 

6/27/12

0.21

280,000

279,907

Market Street Funding LLC (Liquidity Facility PNC Bank NA)

 

7/19/12

0.23

92,000

91,954

 

7/25/12

0.23

88,000

87,952

 

7/26/12

0.23

13,000

12,993

 

8/3/12

0.24

56,056

56,021

TOTAL ASSET BACKED COMMERCIAL PAPER

572,821

Other Commercial Paper - 0.0%

 

 

Yield (a)

Principal Amount (000s)

Value (000s)

Texas Instruments International Management Co. S.a.r.L.

 

7/9/12

0.43%

$ 6,000

$ 5,995

Treasury Debt - 6.9%

 

U.S. Treasury Obligations - 6.9%

U.S. Treasury Bills

 

8/9/12 to 4/4/13

0.10 to 0.18

269,000

268,785

U.S. Treasury Notes

 

6/30/12 to 4/15/13

0.11 to 0.23

921,720

927,412

TOTAL TREASURY DEBT

1,196,197

Other Note - 5.4%

 

Medium-Term Notes - 5.4%

Royal Bank of Canada

 

5/1/13 to 5/15/13

0.52 to 0.70 (b)(d)

400,000

400,000

 

5/6/13

0.58 (d)

176,000

175,959

Westpac Banking Corp.

 

5/23/12 to 6/14/12

0.38 to 0.62 (b)(d)

358,000

358,000

TOTAL OTHER NOTE

933,959

Variable Rate Demand Note - 3.6%

 

California - 0.7%

California Gen. Oblig. Series 2003 C1, LOC Bank of America NA, VRDN

 

5/7/12

0.25 (d)

9,400

9,400

California Gen. Oblig. Series 2005 B1, LOC Bank of America NA, VRDN

 

5/7/12

0.25 (d)

24,000

24,000

Variable Rate Demand Note - continued

 

 

Yield (a)

Principal Amount (000s)

Value (000s)

California - continued

California Health Facilities Fing. Auth. Rev. (Catholic Healthcare West Proj.) Series 2005 I, LOC Bank of America NA, VRDN

 

5/7/12

0.32% (d)

$ 30,970

$ 30,970

California Statewide Cmntys. Dev. Auth. Multi-family Hsg. Rev. (Wilshire Court Proj.) Series AAA, LOC Fannie Mae, VRDN

 

5/7/12

0.23 (d)(e)

15,000

15,000

Richmond Multifamily Hsg. Rev. (Baycliff Apts. Proj.) Series 2004 A, LOC Fannie Mae, VRDN

 

5/7/12

0.22 (d)(e)

28,800

28,800

Southern California Pub. Pwr. Auth. Rev. (Palo Verde Proj.) Series 2008 B, LOC Citibank NA, VRDN

 

5/7/12

0.27 (d)

8,680

8,680

 

 

116,850

Georgia - 0.3%

Burke County Indl. Dev. Auth. Poll. Cont. Rev. (Oglethorpe Pwr. Corp. Proj.) Series 2010 B, LOC Bank of America NA, VRDN

 

5/7/12

0.28 (d)

10,105

10,105

Metropolitan Atlanta Rapid Transit Auth. Sales Tax Rev. Series 2000 A, LOC JPMorgan Chase Bank, VRDN

 

5/7/12

0.22 (d)

32,660

32,660

 

 

42,765

Illinois - 0.5%

Illinois Dev. Fin. Auth. Solid Waste Disp. Rev. (Waste Mgmt., Inc. Proj.) LOC JPMorgan Chase Bank, VRDN

 

5/7/12

0.28 (d)(e)

20,000

20,000

Illinois Fin. Auth. Rev. (Museum of Science & Industry Proj.) Series 2009 A, LOC Bank of America NA, VRDN

 

5/7/12

0.34 (d)

15,000

15,000

Illinois Fin. Auth. Rev. (Rehabilitation Institute of Chicago Proj.) Series 2009 B, LOC JPMorgan Chase Bank, VRDN

 

5/7/12

0.23 (d)

16,000

16,000

Illinois Fin. Auth. Rev. Series 2009 A, LOC JPMorgan Chase Bank, VRDN

 

5/7/12

0.23 (d)

9,000

9,000

Lake County Multi-family Hsg. Rev. (Whispering Oaks Apts. Proj.) Series 2008, LOC Freddie Mac, VRDN

 

5/7/12

0.23 (d)

19,500

19,500

 

 

79,500

Variable Rate Demand Note - continued

 

 

Yield (a)

Principal Amount (000s)

Value (000s)

Indiana - 0.3%

Elkhart County Hosp. Auth. Rev. (Elkhart Gen. Hosp. Proj.) Series 2008, LOC JPMorgan Chase Bank, VRDN

 

5/7/12

0.25% (d)

$ 29,325

$ 29,325

Indiana Dev. Fin. Auth. Envir. Rev. (Duke Energy Indiana, Inc. Proj.) Series 2009 A3, LOC Mizuho Corporate Bank Ltd., VRDN

 

5/7/12

0.25 (d)

25,425

25,425

 

 

54,750

Massachusetts - 0.2%

Massachusetts Wtr. Resources Auth. Wtr. & Swr. Rev. Series 2008 B, (Liquidity Facility Bank of America NA), VRDN

 

5/7/12

0.32 (d)

30,000

30,000

Michigan - 0.1%

Grand Valley Michigan State Univ. Rev. Series 2008 B, LOC U.S. Bank NA, Cincinnati, VRDN

 

5/7/12

0.23 (d)

6,500

6,500

Michigan Bldg. Auth. Rev. Participating VRDN Series Solar 06 21, (Liquidity Facility U.S. Bank NA, Cincinnati)

 

5/7/12

0.23 (d)(f)

14,430

14,430

 

 

20,930

New York - 0.6%

New York City Hsg. Dev. Corp. Multi-family Rental Hsg. Rev. Series 2002 A, LOC Fannie Mae, VRDN

 

5/7/12

0.24 (d)(e)

12,500

12,500

New York Hsg. Fin. Agcy. Rev. (750 Sixth Avenue Hsg. Proj.) Series 1999 A, LOC Fannie Mae, VRDN

 

5/7/12

0.23 (d)(e)

21,000

21,000

New York Hsg. Fin. Agcy. Rev. (Clinton Green North Hsg. Proj.) Series 2006 A, LOC Freddie Mac, VRDN

 

5/7/12

0.23 (d)(e)

13,000

13,000

New York Hsg. Fin. Agcy. Rev. (Clinton Green South Hsg. Proj.) Series 2006 A, LOC Freddie Mac, VRDN

 

5/7/12

0.23 (d)(e)

14,500

14,500

New York Hsg. Fin. Agcy. Rev. (Theatre Row Tower Hsg. Proj.) Series 2000 A, LOC Freddie Mac, VRDN

 

5/7/12

0.23 (d)(e)

50,000

50,000

 

 

111,000

Variable Rate Demand Note - continued

 

 

Yield (a)

Principal Amount (000s)

Value (000s)

Non State Specific - 0.2%

LP Pinewood SPV LLC Taxable 0.21% 5/7/12, LOC Wells Fargo Bank NA, VRDN

 

5/7/12

0.21% (d)

$ 33,000

$ 33,000

Ohio - 0.1%

Columbus Swr. Sys. Rev. Participating VRDN Series BBT 08 13, (Liquidity Facility Branch Banking & Trust Co.)

 

5/7/12

0.24 (d)(f)

12,315

12,315

Oregon - 0.0%

Oregon Health and Science Univ. Spl. Rev. Series 2009 B2, LOC U.S. Bank NA, Cincinnati, VRDN

 

5/7/12

0.24 (d)

5,520

5,520

Pennsylvania - 0.4%

Pennsylvania Higher Edl. Facilities Auth. Rev. (Thomas Jefferson Univ. Proj.) Series 2008 B, LOC JPMorgan Chase Bank, VRDN

 

5/7/12

0.23 (d)

19,800

19,800

Pennsylvania Higher Edl. Facilities Auth. Rev. (Univ. of Pennsylvania Health Sys. Proj.) Series 2008 A, LOC Bank of America NA, VRDN

 

5/7/12

0.23 (d)

9,200

9,200

Pennsylvania Hsg. Fin. Agcy. Single Family Mtg. Rev. Series 2005 97C, (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac), VRDN

 

5/7/12

0.23 (d)(e)

28,500

28,500

Philadelphia Arpt. Rev. Series 2005 C1, LOC TD Banknorth, NA, VRDN

 

5/7/12

0.23 (d)(e)

6,700

6,700

 

 

64,200

Texas - 0.2%

North Texas Tollway Auth. Rev. Series 2009 D, LOC JPMorgan Chase Bank, VRDN

 

5/7/12

0.25 (d)

28,000

28,000

Univ. of Texas Board of Regents Sys. Rev. Participating VRDN Series Putters 1646, (Liquidity Facility JPMorgan Chase Bank)

 

5/7/12

0.25 (d)(f)

13,055

13,055

 

 

41,055

TOTAL VARIABLE RATE DEMAND NOTE

611,885

Government Agency Debt - 4.9%

 

 

Yield (a)

Principal Amount (000s)

Value (000s)

Federal Agencies - 0.9%

Federal Home Loan Bank

 

5/16/12 to 11/28/12

0.16 to 0.41%

$ 151,167

$ 151,157

Other Government Related - 4.0%

Straight-A Funding LLC (Liquidity Facility Federal Financing Bank)

 

7/6/12

0.18 (c)

59,759

59,740

 

7/10/12

0.18 (c)

36,716

36,704

 

7/11/12

0.18 (c)

69,680

69,657

 

7/12/12

0.18 (c)

14,000

13,995

 

7/13/12

0.18 (c)

17,000

16,994

 

7/16/12

0.18 (c)

56,630

56,610

 

7/23/12

0.18 (c)

91,000

90,965

 

7/23/12

0.18 (c)

100,000

99,961

 

7/26/12

0.18 (c)

62,287

62,261

 

7/30/12

0.18 (c)

179,000

178,924

 

 

685,811

TOTAL GOVERNMENT AGENCY DEBT

836,968

Insurance Company Funding Agreement - 0.2%

 

Medium-Term Notes - 0.2%

Metropolitan Life Insurance Co.

 

7/20/12

0.80 (d)(g)

35,000

35,000

Other Instrument - 0.0%

 

Asset-Backed Securities - 0.0%

Huntington Auto Trust 2011-1

 

9/17/12

0.36 (b)

1,837

1,837

Government Agency Repurchase Agreement - 14.5%

Maturity Amount (000s)

 

In a joint trading account at:

0.2% dated 4/30/12 due 5/1/12 (Collateralized by U.S. Government Obligations) #

$ 48,934

48,934

Government Agency Repurchase Agreement - continued

Maturity Amount (000s)

Value (000s)

In a joint trading account at: - continued

0.21% dated 4/30/12 due 5/1/12 (Collateralized by U.S. Government Obligations) #

$ 1,502,412

$ 1,502,403

With:

Barclays Capital, Inc. at:

0.19%, dated 3/16/12 due 5/7/12 (Collateralized by U.S. Government Obligations valued at $61,214,859, 3% - 6.5%, 6/1/20 - 2/1/42)

60,019

60,000

0.2%, dated:

3/22/12 due 5/7/12 (Collateralized by U.S. Government Obligations valued at $55,092,240, 3% - 7%, 6/1/20 - 9/1/41)

54,027

54,000

3/23/12 due 5/7/12 (Collateralized by U.S. Government Obligations valued at $28,566,189, 3% - 7.5%, 4/1/18 - 3/1/42)

28,014

28,000

4/12/12 due 5/7/12 (Collateralized by U.S. Government Obligations valued at $124,453,136, 2.56% - 8%, 7/1/14 - 5/1/42)

122,022

122,000

Citibank NA at 0.13%, dated 4/24/12 due 5/1/12 (Collateralized by U.S. Government Obligations valued at $157,083,971, 4% - 4.5%, 9/15/24 - 6/20/41)

154,004

154,000

Credit Suisse Securities (USA) LLC at:

0.13%, dated 4/24/12 due 5/1/12 (Collateralized by U.S. Government Obligations valued at $105,062,962, 5% - 5.5%, 5/1/34 - 7/1/35)

103,003

103,000

0.19%, dated 4/30/12 due 5/7/12 (Collateralized by U.S. Government Obligations valued at $98,943,548, 3.5% - 5%, 1/1/26 - 3/1/42)

97,004

97,000

ING Financial Markets LLC at:

0.17%, dated 4/23/12 due 5/7/12 (Collateralized by U.S. Government Obligations valued at $81,047,853, 1.37% - 6%, 1/15/22 - 10/1/44)

79,011

79,000

0.2%, dated 4/16/12 due 5/7/12 (Collateralized by U.S. Government Obligations valued at $43,263,108, 3.3% - 4%, 8/15/41 - 1/25/42)

42,007

42,000

UBS Securities LLC at:

0.13%, dated 4/24/12 due 5/1/12 (Collateralized by U.S. Government Obligations valued at $52,021,315, 3% - 4.5%, 3/1/22 - 12/1/40)

51,001

51,000

0.2%, dated 4/25/12 due 5/7/12 (Collateralized by U.S. Government Obligations valued at $157,085,236, 3.5% - 4%, 8/1/25 - 4/1/42)

154,026

154,000

TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENT

2,495,337

Other Repurchase Agreement - 4.4%

Maturity Amount (000s)

Value (000s)

Other Repurchase Agreement - 4.4%

With:

Credit Suisse Securities (USA) LLC at:

0.24%, dated 4/24/12 due 5/1/12 (Collateralized by U.S. Government Obligations valued at $32,966,151, 1.34% - 47.59%, 5/25/35 - 9/15/41)

$ 32,001

$ 32,000

0.29%, dated 4/30/12 due 5/1/12 (Collateralized by Equity Securities valued at $77,762,831)

72,001

72,000

0.32%, dated 4/25/12 due 5/2/12 (Collateralized by Equity Securities valued at $131,770,743)

122,008

122,000

0.46%, dated 4/30/12 due 5/1/12 (Collateralized by Corporate Obligations valued at $17,282,851, 7.7% - 10.5%, 12/15/16 - 2/15/27)

16,000

16,000

0.87%, dated 4/12/12 due 7/11/12 (Collateralized by Mortgage Loan Obligations valued at $65,908,846, 0.33% - 6.39%, 12/15/20 - 2/12/51)

61,133

61,000

0.9%, dated:

4/3/12 due 7/3/12 (Collateralized by Corporate Obligations valued at $16,212,212, 0.34% - 3.86%, 12/25/31 - 9/25/47)

15,034

15,000

4/18/12 due 7/18/12 (Collateralized by Corporate Obligations valued at $49,694,904, 0.35% - 6%, 3/15/20 - 6/25/37)

46,105

46,000

4/24/12 due 7/23/12 (Collateralized by Corporate Obligations valued at $33,485,029, 0.41% - 7.41%, 1/15/19 - 9/25/47)

31,070

31,000

0.94%, dated:

2/17/12 due 5/17/12 (Collateralized by Corporate Obligations valued at $33,543,815, 0.38% - 6%, 11/15/32 - 12/18/49)

31,073

31,000

2/21/12 due 5/22/12 (Collateralized by Corporate Obligations valued at $33,540,612, 0.41% - 6.21%, 3/25/36 - 9/25/47)

31,074

31,000

2/24/12 due 5/25/12 (Collateralized by Corporate Obligations valued at $16,229,066, 0% - 6.57%, 6/25/35 - 9/25/47)

15,036

15,000

0.95%, dated 2/10/12 due 5/10/12 (Collateralized by Corporate Obligations valued at $16,239,524, 0.69% - 3.86%, 12/25/32 - 1/25/36)

15,036

15,000

0.97%, dated:

2/1/12 due 5/1/12 (Collateralized by Corporate Obligations valued at $64,959,356, 1% - 6%, 2/15/13 - 3/15/37)

60,146

60,000

2/3/12 due 5/3/12 (Collateralized by Corporate Obligations valued at $34,641,340, 0.39% - 7%, 4/25/34 - 2/25/47)

32,078

32,000

Other Repurchase Agreement - continued

Maturity Amount (000s)

Value (000s)

Other Repurchase Agreement - continued

With: - continued

Goldman Sachs & Co. at:

0.23%, dated 4/25/12 due 5/2/12 (Collateralized by U.S. Treasury Obligations valued at $11,330,437, 0%, 5/15/17 - 2/15/20)

$ 11,000

$ 11,000

0.27%, dated 4/25/12 due 5/2/12 (Collateralized by U.S. Treasury Obligations valued at $32,961,484, 0% - 4.25%, 5/15/27 - 5/15/39)

32,002

32,000

RBC Capital Markets Co. at:

0.28%, dated 4/25/12 due 5/2/12 (Collateralized by U.S. Government Obligations valued at $13,447,592, 5.81% - 6.91%, 1/15/36 - 11/25/39)

13,001

13,000

0.62%, dated 4/4/12 due 5/7/12 (Collateralized by Mortgage Loan Obligations valued at $17,098,690, 0% - 6.5%, 9/25/34 - 2/12/51)

16,025

16,000

0.64%, dated 3/12/12 due 5/7/12 (Collateralized by Corporate Obligations valued at:

$17,295,360, 0.34% - 2.63%, 3/25/36 - 12/25/36)

16,026

16,000

$7,636,869, 4.09% - 15%, 4/1/14 - 12/1/18)

7,011

7,000

Royal Bank of Scotland PLC at:

0.6%, dated 4/25/12 due 5/2/12 (Collateralized by Corporate Obligations valued at $64,729,008, 0.37% - 4.9%, 2/25/16 - 1/25/36)

61,007

61,000

0.67%, dated 4/12/12 due 5/7/12 (Collateralized by Corporate Obligations valued at $32,563,370, 3.39%, 9/15/43)

31,017

31,000

TOTAL OTHER REPURCHASE AGREEMENT

766,000

TOTAL INVESTMENT PORTFOLIO - 100.1%

(Cost $17,237,057)

17,237,057

NET OTHER ASSETS (LIABILITIES) - (0.1)%

(23,939)

NET ASSETS - 100%

$ 17,213,118

Security Type Abbreviations

CP

-

COMMERCIAL PAPER

VRDN

-

VARIABLE RATE DEMAND NOTE (A debt instrument that is payable upon demand, either daily, weekly or monthly)

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) 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 $1,006,837,000 or 5.8% of net assets.

(c) The Federal Financing Bank (FFB), an instrumentality of the U.S. Government acting under the supervision of the Secretary of the Treasury, has entered into a Liquidity Loan Agreement with Straight-A Funding LLC (Issuer), pursuant to which the FFB has committed, subject to certain conditions, to provide financing to the Issuer to cover any payment deficiencies in respect of notes on their legal final maturity dates. At the end of the period, these securities amounted to $685,811,000 or 4.0% of net assets.

(d) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

(e) Private activity obligations whose interest is subject to the federal alternative minimum tax for individuals.

(f) Provides evidence of ownership in one or more underlying municipal bonds.

(g) Restricted securities - 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 $35,000,000 or 0.2% of net assets.

Additional information on each restricted holding is as follows:

Security

Acquisition Date

Cost
(000s)

Metropolitan Life Insurance Co. 0.8%, 7/20/12

3/26/02

$ 35,000

# Additional information on each counterparty to the repurchase agreement is as follows:

Repurchase Agreement / Counterparty

Value
(Amounts in thousands)

$48,934,000 due 5/01/12 at 0.20%

Barclays Capital, Inc.

$ 17,476

Merrill Lynch, Pierce, Fenner & Smith, Inc.

8,156

UBS Securities LLC

23,302

 

$ 48,934

$1,502,403,000 due 5/01/12 at 0.21%

BNP Paribas Securities Corp.

$ 71,390

Bank of America NA

594,914

Barclays Capital, Inc.

111,546

Citibank NA

133,856

Deutsche Bank Securities, Inc.

74,364

HSBC Securities (USA), Inc.

32,966

ING Financial Markets LLC

132,368

J.P. Morgan Securities, Inc.

89,237

Morgan Stanley & Co., Inc.

8,924

Societe Generale

59,491

UBS Securities LLC

29,746

Wells Fargo Securities LLC

163,601

 

$ 1,502,403

Other Information

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.

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 those securities. For more information on valuation inputs, please refer to the Security Valuation section in the accompanying Notes to Financial Statements.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Prime Fund

Financial Statements

Statement of Assets and Liabilities

 Amounts in thousands (except per-share amounts)

April 30, 2012 (Unaudited)

 

 

 

Assets

Investment in securities, at value (including repurchase agreements of $3,261,337) - See accompanying schedule:

Unaffiliated issuers (cost $17,237,057)

 

$ 17,237,057

Receivable for fund shares sold

223,113

Interest receivable

8,245

Prepaid expenses

14

Receivable from investment adviser for expense reductions

687

Other receivables

281

Total assets

17,469,397

 

 

 

Liabilities

Payable for fund shares redeemed

$ 250,736

Distributions payable

12

Accrued management fee

3,618

Other affiliated payables

1,552

Other payables and accrued expenses

361

Total liabilities

256,279

 

 

 

Net Assets

$ 17,213,118

Net Assets consist of:

 

Paid in capital

$ 17,213,364

Distributions in excess of net investment income

(339)

Accumulated undistributed net realized gain (loss) on investments

93

Net Assets

$ 17,213,118

 

 

 

Daily Money Class:
Net Asset Value, offering price and redemption price per share ($8,083,112 ÷ 8,081,580 shares)

$ 1.00

 

 

 

Capital Reserves Class:
Net Asset Value, offering price and redemption price per share ($9,130,006 ÷ 9,127,828 shares)

$ 1.00

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Statement of Operations

 Amounts in thousands

Six months ended April 30, 2012 (Unaudited)

 

  

  

Investment Income

  

  

Interest

 

$ 31,901

 

 

 

Expenses

Management fee

$ 22,154

Transfer agent fees

17,754

Distribution and service plan fees

33,809

Accounting fees and expenses

568

Custodian fees and expenses

98

Independent trustees' compensation

33

Registration fees

2,310

Audit

37

Legal

31

Miscellaneous

48

Total expenses before reductions

76,842

Expense reductions

(45,824)

31,018

Net investment income (loss)

883

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers

 

93

Net increase in net assets resulting from operations

$ 976

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Prime Fund
Financial Statements - continued

Statement of Changes in Net Assets

 Amounts in thousands

Six months ended April 30, 2012
(Unaudited)

Year ended
October 31,
2011

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 883

$ 1,799

Net realized gain (loss)

93

225

Net increase in net assets resulting
from operations

976

2,024

Distributions to shareholders from net investment income

(882)

(1,801)

Share transactions - net increase (decrease)

(288,656)

(416,247)

Total increase (decrease) in net assets

(288,562)

(416,024)

 

 

 

Net Assets

Beginning of period

17,501,680

17,917,704

End of period (including distributions in excess of net investment income of $339 and distributions in excess of net investment income of $340, respectively)

$ 17,213,118

$ 17,501,680

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Daily Money Class

 

Six months ended April 30, 2012

Years ended October 31,

 

(Unaudited)

2011

2010

2009

2008

2007

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss)

  - F

  - F

  - F

  .006

  .029

  .047

Net realized and unrealized gain (loss) F

  -

  -

  -

  -

  -

  -

Total from investment operations

  - F

  - F

  - F

  .006

  .029

  .047

Distributions from net investment income

  - F

  - F

  - F

  (.006)

  (.029)

  (.047)

Distributions from net realized gain

  -

  -

  - F

  -

  -

  -

Total distributions

  - F

  - F

  - F

  (.006)

  (.029)

  (.047)

Net asset value, end of period

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

Total Return B,C

  -% D

  .01%

  .02%

  .57%

  2.97%

  4.82%

Ratios to Average Net AssetsE

 

 

 

 

 

Expenses before reductions

  .74% A

  .74%

  .73%

  .77%

  .74%

  .74%

Expenses net of fee waivers, if any

  .35% A

  .34%

  .41%

  .70%

  .70%

  .70%

Expenses net of all reductions

  .35% A

  .34%

  .41%

  .70%

  .70%

  .70%

Net investment income (loss)

  .01% A

  .01%

  .01%

  .57%

  2.90%

  4.72%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 8,083

$ 8,463

$ 8,748

$ 9,794

$ 9,562

$ 8,467

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Amount represents less than .01%.

E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed or waived or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement and waivers but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

F Amount represents less than $.001 per share.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Capital Reserves Class

 

Six months ended April 30, 2012

Years ended October 31,

 

(Unaudited)

2011

2010

2009

2008

2007

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss)

  - F

  - F

  - F

  .004

  .027

  .045

Net realized and unrealized gain (loss) F

  -

  -

  -

  -

  -

  -

Total from investment operations

  - F

  - F

  - F

  .004

  .027

  .045

Distributions from net investment income

  - F

  - F

  - F

  (.004)

  (.027)

  (.045)

Distributions from net realized gain

  -

  -

  - F

  -

  -

  -

Total distributions

  - F

  - F

  - F

  (.004)

  (.027)

  (.045)

Net asset value, end of period

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

Total Return B,C

  -% D

  .01%

  .02%

  .41%

  2.71%

  4.56%

Ratios to Average Net Assets E

 

 

 

 

 

Expenses before reductions

  .99% A

  .99%

  .98%

  1.02%

  .99%

  .99%

Expenses net of fee waivers, if any

  .35% A

  .34%

  .41%

  .86%

  .95%

  .95%

Expenses net of all reductions

  .35% A

  .34%

  .41%

  .86%

  .95%

  .95%

Net investment income (loss)

  .01% A

  .01%

  .01%

  .40%

  2.65%

  4.47%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 9,130

$ 9,039

$ 9,169

$ 11,750

$ 13,342

$ 10,829

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Amount represents less than .01%.

E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed or waived or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement and waivers but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

F Amount represents less than $.001 per share.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Tax-Exempt Fund

Investment Changes/Performance (Unaudited)

Effective Maturity Diversification

Days

% of fund's investments 4/30/12

% of fund's investments 10/31/11

% of fund's investments 4/30/11

1 - 7

75.7

84.4

81.9

8 - 30

4.0

1.2

3.1

31 - 60

7.2

2.3

5.1

61 - 90

4.0

3.1

5.2

91 - 180

6.6

2.3

3.6

> 180

2.5

6.7

1.1

Effective maturity is determined in accordance with the requirements of Rule 2a-7 under the Investment Company Act of 1940.

Weighted Average Maturity

 

4/30/12

10/31/11

4/30/11

Tax-Exempt Fund

26 Days

29 Days

19 Days

All Tax-Free Money Market Funds Average*

26 Days

33 Days

26 Days

This is a weighted average of all the maturities of the securities held in a fund. Weighted Average Maturity (WAM) can be used as a measure of sensitivity to interest rate changes and market changes. Generally, the longer the maturity, the greater the sensitivity to such changes. WAM is based on the dollar-weighted average length of time until principal payments must be paid. Depending on the types of securities held in a fund, certain maturity shortening devices (e.g., demand features, interest rate resets, and call options) may be taken into account when calculating the WAM.

Weighted Average Life

 

4/30/12

10/31/11

4/30/11

Tax-Exempt Fund

26 Days

29 Days

19 Days

Weighted Average Life (WAL) is the weighted average of the life of the securities held in a fund or portfolio and can be used as a measure of sensitivity to changes in liquidity and/or credit risk. Generally, the higher the value, the greater the sensitivity. WAL is based on the dollar-weighted average length of time until 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. The difference between WAM and WAL is that WAM takes into account interest rate resets and WAL does not. WAL for money market funds is not the same as WAL of a mortgage- or asset-backed security.

Asset Allocation (% of fund's net assets)

As of April 30, 2012

As of October 31, 2011

nwb15

Variable Rate
Demand Notes
(VRDNs) 68.5%

 

nwb15

Variable Rate
Demand Notes
(VRDNs) 67.8%

 

nwb59

Other
Municipal Debt 26.7%

 

nwb59

Other
Municipal Debt 18.0%

 

nwb62

Investment
Companies 3.2%

 

nwb62

Investment
Companies 14.6%

 

nwb23

Net Other Assets (Liabilities) 1.6%

 

nwb21

Net Other Assets
(Liabilities) † (0.4)%

 

nwb67

* Source: iMoneyNet, Inc.

† Net Other Assets are not included in the pie chart.

Current and Historical Seven-Day Yields

 

4/30/12

1/30/12

10/31/11

8/1/11

5/2/11

 

 

 

 

 

 

Fidelity Daily Money Class

0.01%

0.01%

0.01%

0.01%

0.01%

 

 

 

 

 

 

 

 

 

 

 

 

Fidelity Capital Reserves Class

0.01%

0.01%

0.01%

0.01%

0.01%

 

 

 

 

 

 

Fidelity Tax-Free Money Market Class

0.01%

0.01%

0.01%

0.01%

0.01%

Yield refers to the income paid by the fund over a given period. Yields for money market funds are usually for seven-day periods, as they are here, though they are expressed as annual percentage rates. 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 April 30, 2012, the most recent period shown in the table, would have been -0.48%, for Daily Money Class, -0.73% for Capital Reserves Class and -0.22% for Tax-Free Money Market.

Semiannual Report

Tax-Exempt Fund

Investments April 30, 2012 (Unaudited)

Showing Percentage of Net Assets

Variable Rate Demand Note - 68.5%

Principal Amount (000s)

Value (000s)

Alabama - 0.5%

Birmingham Spl. Care Facilities Auth. Rev. (Methodist Home for the Aging Proj.) Series 2010, 0.25% 5/7/12, LOC Branch Banking & Trust Co., VRDN (a)

$ 5,225

$ 5,225

Columbia Indl. Dev. Board Poll. Cont. Rev. (Alabama Pwr. Co. Proj.):

Series 1995 C, 0.28% 5/1/12, VRDN (a)

9,000

9,000

Series 1995 E, 0.29% 5/1/12, VRDN (a)

8,900

8,900

Daphne-Villa Mercy Spl. Care Facilities Fing. Auth. Rev. (Mercy Med. Hosp. Proj.) 0.25% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

2,900

2,900

Mobile Indl. Dev. Board Dock & Wharf Rev. (Holnam, Inc. Proj.):

Series 1999 A, 0.29% 5/7/12, LOC Bayerische Landesbank Girozentrale, VRDN (a)

3,455

3,455

Series 1999 B, 0.23% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

5,800

5,800

Mobile Indl. Dev. Board Exempt Facilities Rev. Series 1997, 0.25% 5/7/12 (Kimberly-Clark Corp. Guaranteed), VRDN (a)

4,000

4,000

Mobile Indl. Dev. Board Solid Waste Disp. Rev. (Alabama Pwr. Co. Barry Plant Proj.) Second Series 2009, 0.29% 5/2/12, VRDN (a)

1,700

1,700

 

40,980

Alaska - 1.4%

Alaska Hsg. Fin. Corp. Participating VRDN Series Solar 06 22, 0.23% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

4,515

4,515

Alaska Indl. Dev. & Export Auth. Rev.:

(Greater Fairbanks Cmnty. Hosp. Foundation Proj.) Series 2009 A, 0.25% 5/7/12, LOC Union Bank of California, VRDN (a)

32,725

32,725

Participating VRDN Series WF 11 132C, 0.25% 5/7/12 (Liquidity Facility Wells Fargo Bank NA) (a)(d)

8,680

8,680

Anchorage Wastewtr. Rev. Participating VRDN Series Solar 07 97, 0.24% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

24,680

24,680

Eclipse Fdg. Trust Cus. Rpt. Various States Participating VRDN Series Solar 06 33, 0.24% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

12,075

12,075

Valdez Marine Term. Rev.:

(ConocoPhillips Proj.) Series 1994 A, 0.3% 5/7/12 (ConocoPhillips Guaranteed), VRDN (a)

12,000

12,000

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Alaska - continued

Valdez Marine Term. Rev.: - continued

(Phillips Trans. Alaska, Inc. Proj.):

Series 1994 B, 0.26% 5/7/12 (ConocoPhillips Guaranteed), VRDN (a)

$ 13,105

$ 13,105

Series 1994 C, 0.3% 5/7/12 (ConocoPhillips Guaranteed), VRDN (a)

4,500

4,500

 

112,280

Arizona - 1.8%

Arizona Health Facilities Auth. Rev.:

(Banner Health Sys. Proj.) Series 2008 F, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

4,160

4,160

(Catholic Healthcare West Proj.) Series 2005 B, 0.24% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

10,980

10,980

Arizona Health Facilities Auth. Sr. Living Rev. (Royal Oaks Life Care Cmnty. Proj.) Series 2008, 0.38% 5/7/12, LOC Bank of America NA, VRDN (a)

4,575

4,575

Arizona School Facilities Board Rev. Participating VRDN Series BC 11 102W, 0.27% 5/7/12 (Liquidity Facility Barclays Bank PLC) (a)(d)

6,500

6,500

Arizona Trans. Board Excise Tax Rev. Participating VRDN Series MT 726, 0.31% 5/7/12 (Liquidity Facility Bank of America NA) (a)(d)

14,120

14,120

Glendale Indl. Dev. Auth. (Midwestern Univ. Proj.) Series 2008, 0.26% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

6,400

6,400

Maricopa County Indl. Dev. Auth. Rev. (Valley of the Sun YMCA Proj.) Series 2008, 0.25% 5/7/12, LOC U.S. Bank NA, Cincinnati, VRDN (a)

5,900

5,900

Pima County Indl. Dev. Auth. Indl. Rev. (Tucson Elec. Pwr. Co. Proj.) Series 1982 A, 0.25% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

8,100

8,100

Pima County Indl. Dev. Auth. Rev. (Broadway Proper Congregate Proj.) Series 2000 A, 0.24% 5/7/12, LOC Fed. Home Ln. Bank, San Francisco, VRDN (a)

4,200

4,200

Salt River Proj. Agricultural Impt. & Pwr. District Elec. Sys. Rev. Participating VRDN:

Series BC 10 21W, 0.27% 5/7/12 (Liquidity Facility Barclays Bank PLC) (a)(d)

5,000

5,000

Series EGL 06 0141, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

16,500

16,500

Series EGL 06 14 Class A, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

11,200

11,200

Series EGL 07 0012, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

13,850

13,850

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Arizona - continued

Salt River Proj. Agricultural Impt. & Pwr. District Elec. Sys. Rev. Participating VRDN: - continued

Series MS 3078, 0.4% 5/7/12 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(d)

$ 4,500

$ 4,500

Series Putters 3242, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

2,540

2,540

Series Putters 3708Z, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

8,695

8,695

Series RBC O1, 0.25% 5/7/12 (Liquidity Facility Royal Bank of Canada) (a)(d)

3,300

3,300

Series WF 09 40C, 0.25% 5/7/12 (Liquidity Facility Wells Fargo & Co.) (a)(d)

3,345

3,345

Tempe Transit Excise Tax Rev. Series 2006, 0.25% 5/7/12 (Liquidity Facility Royal Bank of Canada), VRDN (a)

5,620

5,620

Yuma Indl. Dev. Auth. Hosp. Rev. (Yuma Reg'l. Med. Ctr. Proj.) Series 2008, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

10,300

10,300

 

149,785

California - 4.5%

ABAG Fin. Auth. for Nonprofit Corps. Rev. (Schools of the Sacred Heart - San Francisco Proj.) Series 2008 B, 0.35% 5/7/12, LOC Bank of America NA, VRDN (a)

2,000

2,000

California Edl. Facilities Auth. Rev. Participating VRDN Series EGL 07 0066, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

4,200

4,200

California Gen. Oblig.:

Series 2004 A6, 0.25% 5/7/12, LOC Citibank NA, LOC California Teachers Retirement Sys., VRDN (a)

21,700

21,700

Series 2004 A7, 0.24% 5/7/12, LOC Citibank NA, LOC California Teachers Retirement Sys., VRDN (a)

6,040

6,040

Series 2004 B5, 0.23% 5/7/12, LOC Citibank NA, VRDN (a)

28,300

28,300

Series 2005 A2-1, 0.28% 5/7/12, LOC Barclays Bank PLC, VRDN (a)

20,000

20,000

Series 2005 B1, 0.25% 5/7/12, LOC Bank of America NA, VRDN (a)

12,500

12,500

Series B6, 0.25% 5/7/12, LOC Citibank NA, VRDN (a)

9,200

9,200

California Health Facilities Fing. Auth. Rev.:

(Catholic Healthcare West Proj.) Series 2004 K, 0.34% 5/7/12, LOC Bank of America NA, VRDN (a)

8,000

8,000

(Scripps Health Proj.) Series 2008 D, 0.27% 5/7/12, LOC Bank of America NA, VRDN (a)

28,810

28,810

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

California - continued

California Health Facilities Fing. Auth. Rev.: - continued

Participating VRDN:

Series Putters 3878 Q, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

$ 2,000

$ 2,000

Series Putters 4039, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

3,000

3,000

California Hsg. Fin. Agcy. Rev. (Multifamily Hsg. Prog.) Series 2000 D, 0.23% 5/7/12 (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac), VRDN (a)

3,865

3,865

California Infrastructure & Econ. Dev. Bank Rev. (The Contemporary Jewish Museum Proj.) Series 2006, 0.3% 5/1/12, LOC Bank of America NA, VRDN (a)

4,900

4,900

California Poll. Cont. Fing. Auth. Solid Waste Disp. Rev. (Recology, Inc. Proj.) Series 2010 A, 0.26% 5/7/12, LOC Bank of America NA, VRDN (a)

7,000

7,000

California Statewide Cmntys. Dev. Auth. Gas Supply Rev. Series 2010, 0.24% 5/7/12 (Liquidity Facility Royal Bank of Canada), VRDN (a)

11,200

11,200

California Statewide Cmntys. Dev. Auth. Rev. (American Baptist Homes of the West Proj.) Series 2006, 0.36% 5/7/12, LOC Bank of America NA, VRDN (a)

8,800

8,800

East Bay Muni. Util. District Wtr. Sys. Rev. Participating VRDN Series ROC II R 11950, 0.26% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

3,000

3,000

Eastern Muni. Wtr. District Wtr. and Swr. Rev. Ctfs. of Prtn. Participating VRDN Series ROC II R 11766, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

11,370

11,370

El Dorado Irrigation District Rev. Ctfs. of Prtn. Series 2008 A, 0.23% 5/7/12, LOC Citibank NA, VRDN (a)

28,960

28,960

Los Angeles Cmnty. College District Participating VRDN Series ROC II R 11727, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

4,500

4,500

Los Angeles Dept. Arpt. Rev. Participating VRDN Series Putters 4079Z, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

7,925

7,925

Los Angeles Dept. of Wtr. & Pwr. Rev. Participating VRDN Series Putters 3332, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

6,660

6,660

Los Angeles Gen. Oblig. Participating VRDN Series Putters 3930, 0.25% 5/1/12 (Liquidity Facility JPMorgan Chase & Co.) (a)(d)

6,700

6,700

Modesto Pub. Fing. Auth. Lease Rev. Series 2008 B, 0.26% 5/7/12, LOC Bank of America NA, VRDN (a)

5,000

5,000

Orange County Wtr. District Rev. Ctfs. of Prtn. Series 2003 A, 0.23% 5/7/12, LOC Citibank NA, VRDN (a)

5,625

5,625

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

California - continued

Riverside Elec. Rev.:

Series 2008 A, 0.24% 5/7/12, LOC Bank of America NA, VRDN (a)

$ 12,700

$ 12,700

Series 2008 C, 0.24% 5/7/12, LOC Bank of America NA, VRDN (a)

1,000

1,000

San Diego County Wtr. Auth. Wtr. Rev. Participating VRDN:

Series Putters 2903Z, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

6,850

6,850

Series Putters 3028, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

8,715

8,715

Series WF 08 29C, 0.25% 5/7/12 (Liquidity Facility Wells Fargo & Co.) (a)(d)

7,500

7,500

San Francisco Bay Area Rapid Transit Fing. Auth. Participating VRDN Series ROC II R 12318, 0.27% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

2,000

2,000

San Jose Multi-family Hsg. Rev. (Las Ventanas Apts. Proj.) Series 2008 B, 0.24% 5/7/12, LOC Freddie Mac, VRDN (a)

8,400

8,400

Santa Clara Elec. Rev. Series 2008 B. 0.27% 5/7/12, LOC Bank of America NA, VRDN (a)

27,760

27,760

Sonoma County Gen. Oblig. Participating VRDN Series Putters 4000, 0.25% 5/1/12 (Liquidity Facility JPMorgan Chase & Co.) (a)(d)

7,500

7,500

Southern California Pub. Pwr. Auth. Rev. (Palo Verde Proj.) Series 2008 B, 0.27% 5/7/12, LOC Citibank NA, VRDN (a)

8,970

8,970

Univ. of California Revs. Participating VRDN Series Putters 3365, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

4,055

4,055

Whittier Gen. Oblig. (Whittier College Proj.) Series 2008, 0.24% 5/7/12, LOC U.S. Bank NA, Cincinnati, VRDN (a)

9,200

9,200

 

365,905

Colorado - 1.8%

Aurora Hosp. Rev. (Children's Hosp. Assoc. Proj.) Series 2008 C, 0.25% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

12,800

12,800

Colorado Edl. & Cultural Facilities Auth. Rev. (Clyfford Still Museum Proj.) Series 2008, 0.24% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

5,800

5,800

Colorado Health Facilities Auth. Rev.:

(Boulder Cmnty. Hosp. Proj.) Series 2000, 0.26% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

32,930

32,930

Participating VRDN:

Series BA 08 1090, 0.31% 5/7/12 (Liquidity Facility Bank of America NA) (a)(d)

4,675

4,675

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Colorado - continued

Colorado Health Facilities Auth. Rev.: - continued

Series Putters 2999, 0.27% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

$ 6,250

$ 6,250

Colorado Reg'l. Trans. District Sales Tax Rev. Participating VRDN:

Series EGL 07 0036, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

12,500

12,500

Series EGL 07 0039, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

17,575

17,575

Series EGL 07 0040, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

9,800

9,800

Series MT 741, 0.31% 5/7/12 (Liquidity Facility Bank of America NA) (a)(d)

13,205

13,205

Denver Urban Renewal Auth. Tax Increment Rev. Series 2008 A1, 0.26% 5/7/12, LOC U.S. Bank NA, Cincinnati, VRDN (a)

6,500

6,500

Midcities Metropolitan District # 1 (Broomfield City & County Proj.) Series 2004 B, 0.7% 5/7/12, LOC BNP Paribas SA, VRDN (a)

2,900

2,900

Moffat County Poll. Cont. Rev. (PacifiCorp Proj.) Series 1994, 0.24% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

9,400

9,400

Univ. of Colorado Hosp. Auth. Rev. Series 2004 A, 0.27% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

9,400

9,400

 

143,735

Connecticut - 0.5%

Connecticut Gen. Oblig.:

Participating VRDN Series WF 11 89C, 0.25% 5/7/12 (Liquidity Facility Wells Fargo Bank NA) (a)(d)

7,000

7,000

Series 2004 A, 0.24% 5/7/12 (Liquidity Facility Landesbank Hessen-Thuringen), VRDN (a)

3,500

3,500

Connecticut Health & Edl. Facilities Auth. Rev. Participating VRDN:

Series EGL 7 05 3031, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

22,900

22,900

Series Putters 3363, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

4,800

4,800

 

38,200

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Delaware - 0.1%

Delaware Econ. Dev. Auth. Rev. (Delmarva Pwr. & Lt. Co. Proj.):

Series 1993 C, 0.47% 5/7/12, VRDN (a)

$ 3,500

$ 3,500

Series 1999 A, 0.49% 5/7/12, VRDN (a)

2,800

2,800

 

6,300

District Of Columbia - 0.7%

District of Columbia Gen. Oblig. Series 2008 C, 0.24% 5/7/12, LOC TD Banknorth, NA, VRDN (a)

7,900

7,900

District of Columbia Hsg. Fin. Agcy. Multi-family Hsg. Rev. (Pentacle Apts. Proj.) Series 2008, 0.24% 5/7/12, LOC Freddie Mac, VRDN (a)

3,635

3,635

District of Columbia Income Tax Rev. Participating VRDN Series WF 11 145C, 0.25% 5/7/12 (Liquidity Facility Wells Fargo Bank NA) (a)(d)

13,610

13,610

District of Columbia Rev.:

(American Society for Microbiology Proj.) Series 1999 A, 0.24% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

12,145

12,145

(American Univ. Proj.) Series 2008, 0.28% 5/1/12, LOC Bank of America NA, VRDN (a)

2,600

2,600

(The AARP Foundation Proj.) Series 2004, 0.32% 5/7/12, LOC Bank of America NA, VRDN (a)

8,500

8,500

(The Phillips Collection Issue Proj.) Series 2003, 0.49% 5/7/12, LOC Bank of America NA, VRDN (a)

4,905

4,905

District of Columbia Univ. Rev. (Georgetown Univ. Proj.) Series 2007 C1, 0.24% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

3,435

3,435

 

56,730

Florida - 4.9%

Broward County Fin. Auth. Multi-family Hsg. Rev. (Reflections Apts. Proj.) Series 1999, 0.25% 5/7/12, LOC Freddie Mac, VRDN (a)

5,940

5,940

Davie Gen. Oblig. Rev. (United Jewish Cmnty. Proj.) 0.31% 5/7/12, LOC Bank of America NA, VRDN (a)

1,890

1,890

Florida Board of Ed. Pub. Ed. Cap. Outlay Participating VRDN:

Series BBT 08 16, 0.23% 5/7/12 (Liquidity Facility Branch Banking & Trust Co.) (a)(d)

10,740

10,740

Series EGL 07 0049, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

29,585

29,585

Series EGL 7050054 Class A, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

18,840

18,840

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Florida - continued

Florida Board of Ed. Pub. Ed. Cap. Outlay Participating VRDN: - continued

Series MS 3059, 0.4% 5/7/12 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(d)

$ 5,615

$ 5,615

Series MT 728, 0.31% 5/7/12 (Liquidity Facility Bank of America NA) (a)(d)

10,000

10,000

Series Putters 3834 Z, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

9,000

9,000

Florida Gen. Oblig. Participating VRDN Series PZ 130, 0.27% 5/7/12 (Liquidity Facility Wells Fargo & Co.) (a)(d)

2,860

2,860

Florida Hsg. Fin. Corp. Multi-family Mtg. Rev.:

(Tuscany Pointe Apts. Proj.) Series 2005 D, 0.26% 5/7/12, LOC Fannie Mae, VRDN (a)

850

850

(Victoria Park Apts. Proj.) Series 2002 J, 0.26% 5/7/12, LOC Fannie Mae, VRDN (a)

5,850

5,850

Florida Muni. Ln. Council Rev. Participating VRDN Series Solar 06 81, 0.24% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

9,370

9,370

Florida Muni. Pwr. Agcy. Rev. (All-Requirements Pwr. Supply Proj.) Series 2008 C, 0.28% 5/1/12, LOC Bank of America NA, VRDN (a)

2,200

2,200

Fort Myers Util. Sys. Rev. Participating VRDN Series Solar 06 53, 0.23% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

12,590

12,590

Highlands County Health Facilities Auth. Rev. (Adventist Health Sys./Sunbelt, Inc. Prog.) Series 2003 B, 0.24% 5/7/12, LOC PNC Bank NA, VRDN (a)

1,965

1,965

Jacksonville Health Facilities Auth. Hosp. Rev. (Baptist Med. Ctr. Proj.):

Series 2007 B, 0.24% 5/7/12, LOC Branch Banking & Trust Co., VRDN (a)

4,800

4,800

Series 2007 E, 0.24% 5/7/12, LOC Branch Banking & Trust Co., VRDN (a)

6,200

6,200

Jacksonville Hsg. Fin. Auth. Multi-family Hsg. Rev. (Augustine Apts. Proj.) 0.25% 5/7/12, LOC Fannie Mae, VRDN (a)

3,300

3,300

Orange County Health Facilities Auth. Rev. (The Nemours Foundation Proj.) Series 2009 B, 0.3% 5/7/12, LOC Bank of America NA, VRDN (a)

30,000

30,000

Orange County Indl. Dev. Auth. Indl. Dev. Rev. (Central Florida YMCA Proj.) Series 2002 A, 0.31% 5/7/12, LOC Bank of America NA, VRDN (a)

8,900

8,900

Orange County Sales Tax Rev. Participating VRDN Series WF 12 20C 0.25% 5/7/12 (Liquidity Facility Wells Fargo Bank NA) (a)(d)

15,900

15,900

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Florida - continued

Orlando & Orange County Expressway Auth. Rev.:

Series 2003 C2, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

$ 25,300

$ 25,300

Series 2008 B1, 0.24% 5/7/12, LOC Bank of America NA, VRDN (a)

24,525

24,525

Palm Beach County Rev.:

(Hospice of Palm Beach Proj.) Series 2001, 0.26% 5/7/12, LOC Northern Trust Co., VRDN (a)

6,500

6,500

(Morse Oblig. Group Proj.) Series 2003, 0.23% 5/7/12, LOC TD Banknorth, NA, VRDN (a)

1,035

1,035

(Planned Parenthood Proj.) Series 2002, 0.26% 5/7/12, LOC Northern Trust Co., VRDN (a)

2,700

2,700

(Raymond F. Kravis Ctr. Proj.) Series 2002, 0.24% 5/7/12, LOC Northern Trust Co., VRDN (a)

13,190

13,190

Palm Beach County Wtr. & Swr. Rev. Participating VRDN Series Putters 2622, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

1,775

1,775

Panama City Gen. Oblig. Participating VRDN Series Solar 2006 129, 0.24% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

8,920

8,920

Pinellas County Health Facilities Auth. Rev. (BayCare Health Sys. Proj.):

Series 2009 A2, 0.24% 5/7/12, LOC Northern Trust Co., VRDN (a)

15,750

15,750

Series 2009 A3, 0.24% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

13,875

13,875

Pinellas County Hsg. Fin. Auth. (Booker Creek Apts. Proj.) Series 2009, 0.26% 5/7/12, LOC Freddie Mac, VRDN (a)

5,150

5,150

Saint Petersburg Health Facilities Auth. Rev. (All Children's Hosp. Proj.):

Series 2005 A1, 0.24% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

12,100

12,100

Series 2005 A2, 0.24% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

6,100

6,100

Series 2005 B1, 0.24% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

14,650

14,650

Series 2005 B2, 0.24% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

8,625

8,625

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Florida - continued

South Florida Wtr. Mgmt. District Ctfs. of Prtn. Participating VRDN Series ROC II R 12313, 0.25% 5/1/12 (Liquidity Facility Citibank NA) (a)(d)

$ 25,900

$ 25,900

Sunshine State Govt. Fing. Commission Rev. Series 2011 C, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

18,850

18,850

 

401,340

Georgia - 2.7%

Burke County Indl. Dev. Auth. Poll. Cont. Rev.:

(Georgia Pwr. Co. Plant Vogtle Proj.) Second Series 1995, 0.33% 5/1/12, VRDN (a)

4,000

4,000

(Oglethorpe Pwr. Corp. Projects) Series 2010 A, 0.28% 5/7/12, LOC Bank of America NA, VRDN (a)

5,000

5,000

Clarke County Indl. Dev. Auth. Hosp. Facilities Rev. Participating VRDN Series Solar 07 31, 0.24% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

16,600

16,600

Cobb County Dev. Auth. Rev. (Presbyterian Village, Austell, Inc. Obligated Group Proj.) Series 2004 B, 0.24% 5/7/12, LOC Branch Banking & Trust Co., VRDN (a)

6,800

6,800

DeKalb County Hsg. Auth. Multi-family Hsg. Rev. (Timber Trace Apts. Proj.) Series 2003, 0.25% 5/7/12, LOC Freddie Mac, VRDN (a)

18,175

18,175

Fulton County Dev. Auth.:

(Mount Vernon Presbyterian School Proj.) Series 2005, 0.25% 5/7/12, LOC Branch Banking & Trust Co., VRDN (a)

5,300

5,300

(Pace Academy, Inc. Proj.) Series 2008, 0.34% 5/7/12, LOC Bank of America NA, VRDN (a)

15,600

15,600

Participating VRDN Series Solar 07 72, 0.23% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

11,520

11,520

Fulton County Residential Care Facilities (Lenbrook Proj.) Series 2008 C, 0.25% 5/7/12, LOC Bank of Scotland PLC, VRDN (a)

4,625

4,625

Georgia Gen. Oblig. Participating VRDN:

Series MT 729, 0.31% 5/7/12 (Liquidity Facility Bank of America NA) (a)(d)

7,500

7,500

Series PZ 271, 0.27% 5/7/12 (Liquidity Facility Wells Fargo & Co.) (a)(d)

9,873

9,873

Gwinnet County Hosp. Auth. Rev. (Gwinnett Hosp. Sys., Inc. Proj.) Series 2009 A, 0.25% 5/7/12, LOC Fed. Home Ln. Bank Atlanta, VRDN (a)

17,045

17,045

Gwinnett County Wtr. & Swr. Auth. Rev. Participating VRDN Series ROC II R 11910, 0.26% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

4,250

4,250

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Georgia - continued

Heard County Dev. Auth. Poll. Cont. Rev. (Georgia Pwr. Co. Plant Wansley Proj.) First Series 1997, 0.33% 5/1/12, VRDN (a)

$ 10,500

$ 10,500

Main Street Natural Gas, Inc. Georgia Gas Proj. Rev. Series 2010 A, 0.25% 5/7/12 (Liquidity Facility Royal Bank of Canada), VRDN (a)

21,360

21,360

Metropolitan Atlanta Rapid Transit Auth. Sales Tax Rev. Participating VRDN:

Series Putters 3755, 0.27% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

2,500

2,500

Series Putters 4016, 0.27% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

6,500

6,500

Series Solar 08 0001, 0.23% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

10,225

10,225

Monroe County Dev. Auth. Poll. Cont. Rev. (Oglethorpe Pwr. Corp. Proj.) Series 2009 B, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

1,000

1,000

Muni. Elec. Auth. of Georgia Series 1985 B, 0.25% 5/7/12, LOC Barclays Bank PLC, VRDN (a)

10,000

10,000

Private Colleges & Univs. Auth. Rev.:

(Mercer Univ. Proj.) Series 2011 A, 0.26% 5/7/12, LOC Branch Banking & Trust Co., VRDN (a)

10,000

10,000

Participating VRDN Series WF 11 32C, 0.25% 5/7/12 (Liquidity Facility Wells Fargo Bank NA) (a)(d)

5,800

5,800

Smyrna Hsg. Fin. Auth. Multi-family Hsg. Rev. (The Hills of Post Village Proj.) Series 1995, 0.25% 5/7/12, LOC Fannie Mae, VRDN (a)

2,200

2,200

Thomasville Hosp. Auth. Rev. (Archbold Memorial Hosp. Proj.):

Series 2009 A, 0.25% 5/7/12, LOC Branch Banking & Trust Co., VRDN (a)

5,150

5,150

Series 2009 B, 0.25% 5/7/12, LOC Branch Banking & Trust Co., VRDN (a)

3,900

3,900

 

215,423

Hawaii - 0.2%

Hawaii Gen. Oblig. Participating VRDN Series MT 4718, 0.31% 5/7/12 (Liquidity Facility Bank of America NA) (a)(d)

5,000

5,000

Honolulu City and County Wastewtr. Sys. Participating VRDN:

Series ROC II R 11989, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

5,550

5,550

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Hawaii - continued

Honolulu City and County Wastewtr. Sys. Participating VRDN: - continued

Series ROC II R 12325, 0.25% 5/1/12 (Liquidity Facility Citibank NA) (a)(d)

$ 2,000

$ 2,000

Series WF 11 119C, 0.25% 5/7/12 (Liquidity Facility Wells Fargo Bank NA) (a)(d)

5,670

5,670

 

18,220

Idaho - 0.4%

Idaho Health Facilities Auth. Rev. (St. Luke's Health Sys. Proj.) Series 2009 A, 0.24% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

27,000

27,000

Idaho Hsg. & Fin. Assoc. Single Family Mtg. Series A, 0.24% 5/7/12 (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac), VRDN (a)

4,200

4,200

 

31,200

Illinois - 6.0%

Bridgeview Gen. Oblig. Subseries 2008 A1, 0.26% 5/7/12, LOC Northern Trust Co., VRDN (a)

17,500

17,500

Chicago Gen. Oblig. Participating VRDN Series Solar 06 38, 0.24% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

13,200

13,200

Chicago Metropolitan Wtr. Reclamation District Greater Chicago Participating VRDN:

Series BBT 08 60, 0.23% 5/7/12 (Liquidity Facility Branch Banking & Trust Co.) (a)(d)

9,385

9,385

Series Clipper 07 12, 0.28% 5/7/12 (Liquidity Facility State Street Bank & Trust Co., Boston) (a)(d)

10,350

10,350

Series Solar 06 75, 0.24% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

7,400

7,400

Chicago Park District Gen. Oblig. Participating VRDN Series Putters 3842, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

4,000

4,000

Chicago Wtr. Rev.:

Series 2004 A1, 0.26% 5/7/12, LOC California Pub. Employees Retirement Sys., VRDN (a)

19,575

19,575

Series 2004 A2, 0.26% 5/7/12, LOC California Pub. Employees Retirement Sys., VRDN (a)

34,005

34,005

Series 2004 A3, 0.24% 5/7/12, LOC State Street Bank & Trust Co., Boston, VRDN (a)

11,420

11,420

DuPage County Rev. (Morton Arboretum Proj.) 0.31% 5/7/12, LOC Bank of America NA, VRDN (a)

6,200

6,200

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Illinois - continued

Illinois Dev. Fin. Auth. Rev.:

(Glenwood School for Boys Proj.) Series 1998, 0.24% 5/7/12, LOC BMO Harris Bank NA, VRDN (a)

$ 3,000

$ 3,000

(Lyric Opera of Chicago Proj.) 0.24% 5/7/12, LOC JPMorgan Chase Bank, LOC BMO Harris Bank NA, VRDN (a)

10,200

10,200

Illinois Edl. Facilities Auth. Revs.:

(Elmhurst College Proj.) Series 2003, 0.24% 5/7/12, LOC BMO Harris Bank NA, VRDN (a)

2,550

2,550

Participating VRDN Series ROC II R 12278, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

5,200

5,200

Illinois Fin. Auth. Rev.:

(Chicago Historical Society Proj.) Series 2006, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

31,175

31,175

(Chicago Symphony Orchestra Proj.) Series 2008, 0.24% 5/7/12, LOC U.S. Bank NA, Cincinnati, VRDN (a)

5,985

5,985

(Edward Hosp. Obligated Group Proj.):

Series 2008 B2, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

10,825

10,825

Series 2008 C, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

11,235

11,235

(Little Co. of Mary Hosp. Proj.):

Series 2008 A, 0.26% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

15,845

15,845

Series 2008 B, 0.26% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

10,800

10,800

(North Central College Proj.) Series 2008, 0.34% 5/7/12, LOC Bank of America NA, VRDN (a)

8,500

8,500

(Northwest Cmnty. Hosp. Proj.):

Series 2008 B, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

33,130

33,130

Series 2008 C, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

15,700

15,700

(OSF Healthcare Sys. Proj.):

Series 2009 C, 0.25% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

21,000

21,000

Series 2009 D, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

25,000

25,000

(Rockford Mem. Hosp. Proj.) 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

20,200

20,200

(Rush Univ. Med. Ctr. Proj.) Series 2008 A, 0.24% 5/7/12, LOC Northern Trust Co., VRDN (a)

9,500

9,500

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Illinois - continued

Illinois Fin. Auth. Rev.: - continued

(Swedish Covenant Hosp. Proj.) Series 2008 A, 0.31% 5/7/12, LOC Bank of America NA, VRDN (a)

$ 11,000

$ 11,000

(Trinity Int'l. Univ. Proj.) Series 2009, 0.24% 5/7/12, LOC Fed. Home Ln. Bank Chicago, VRDN (a)

10,000

10,000

Participating VRDN:

Series EGL 06 115, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

10,000

10,000

Series EGL 06 118, Class A, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

12,570

12,570

Series Putters 3288Z, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

3,000

3,000

Series Putters 3764, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

2,000

2,000

Illinois Health Facilities Auth. Rev. (Herman M. Finch Univ. of Health Sciences/The Chicago Med. School Proj.) Series 2003, 0.27% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

5,000

5,000

Illinois Sales Tax Rev. Participating VRDN:

Series MS 3283 X, 0.4% 5/7/12 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(d)

3,810

3,810

Series WF 11 125C, 0.25% 5/7/12 (Liquidity Facility Wells Fargo Bank NA) (a)(d)

8,790

8,790

Illinois Toll Hwy. Auth. Toll Hwy. Rev.:

Series 2007 A 1B, 0.23% 5/7/12, LOC PNC Bank NA, VRDN (a)

17,000

17,000

Series 2007 A 2D, 0.23% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

11,200

11,200

Metropolitan Pier & Exposition Participating VRDN Series MS 3215, 0.4% 5/7/12 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(d)

1,700

1,700

Quincy Hosp. Rev. (Blessing Hosp. Proj.) Series 2004, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

3,900

3,900

Univ. of Illinois Rev. Series 2008, 0.24% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

13,875

13,875

 

486,725

Indiana - 2.5%

Elkhart County Hosp. Auth. Rev. (Elkhart Gen. Hosp. Proj.) Series 2008, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

15,575

15,575

Hamilton Southeastern Consolidated School Bldg. Corp. Participating VRDN Series Solar 07 06, 0.24% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

11,515

11,515

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Indiana - continued

Indiana Dev. Fin. Auth. Envir. Rev.:

(Duke Energy Indiana, Inc. Proj.) Series 2009 A3, 0.25% 5/7/12, LOC Mizuho Corporate Bank Ltd., VRDN (a)

$ 15,425

$ 15,425

Series 2005, 0.29% 5/7/12, LOC Royal Bank of Scotland PLC, VRDN (a)

10,950

10,950

Indiana Dev. Fin. Auth. Rev. (Indianapolis Museum of Art, Inc. Proj.) Series 2001, 0.24% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

17,400

17,400

Indiana Edl. Facilities Auth. Rev. (Hanover College Proj.) Series 2004 B, 0.26% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

4,400

4,400

Indiana Fin. Auth. Health Sys. Rev. (Sisters of Saint Francis Health Svcs., Inc. Obligated Group Proj.) Series 2008 A, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

17,100

17,100

Indiana Fin. Auth. Hosp. Rev. (Parkview Health Sys. Oblig. Group Proj.) Series 2009 C, 0.23% 5/7/12, LOC PNC Bank NA, VRDN (a)

24,700

24,700

Indiana Fin. Auth. Rev.:

(Columbus Reg'l. Hosp. Proj.) Series 2009 A, 0.24% 5/7/12, LOC PNC Bank NA, VRDN (a)

20,715

20,715

Participating VRDN Series BBT 08 12, 0.24% 5/7/12 (Liquidity Facility Branch Banking & Trust Co.) (a)(d)

11,710

11,710

Indiana Health & Edl. Facilities Fing. Auth. Rev. Participating VRDN Series Solar 07 63, 0.23% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

15,400

15,400

Lawrenceburg Poll. Cont. Rev. (Indiana Michigan Pwr. Co. Proj.) Series 2008 H, 0.25% 5/7/12, LOC Bank of Nova Scotia New York Branch, VRDN (a)

26,000

26,000

Richmond Econ. Dev. Rev. (Friends Fellowship Cmnty. Proj.) Series 1997, 0.25% 5/7/12, LOC U.S. Bank NA, Cincinnati, VRDN (a)

3,600

3,600

Saint Joseph County Hosp. Auth. Health Sys. Rev. (Memorial Health Sys. Proj.) Series 2008 A, 0.23% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

4,700

4,700

 

199,190

Iowa - 0.2%

Iowa Fin. Auth. Poll. Cont. Facility Rev. (MidAmerican Energy Proj.) Series 2008 B, 0.27% 5/7/12, VRDN (a)

18,500

18,500

Kansas - 0.1%

Univ. of Kansas Hosp. Auth. Health Facilities Rev. (KU Health Sys. Proj.) Series 2004, 0.28% 5/1/12, LOC U.S. Bank NA, Cincinnati, VRDN (a)

11,035

11,035

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Kentucky - 0.7%

Kentucky Econ. Dev. Fin. Auth. Participating VRDN Series MS 3125, 0.4% 5/7/12 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(d)

$ 11,250

$ 11,250

Kentucky Econ. Dev. Fin. Auth. Hosp. Rev. (St. Elizabeth Med. Ctr., Inc. Proj.) Series 2009 B, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

5,300

5,300

Kentucky Econ. Dev. Fin. Auth. Rev. (Ashland Hosp. Corp./King's Daughters Med. Ctr. Proj.) Series 2008 A, 0.25% 5/7/12, LOC Branch Banking & Trust Co., VRDN (a)

22,000

22,000

Louisville & Jefferson County Metropolitan Swr. District Swr. & Drain Sys. Rev. Participating VRDN Series Solar 06 87, 0.24% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

18,080

18,080

 

56,630

Louisiana - 1.9%

Ascension Parish Indl. Dev. Board Rev. (IMTT-Geismar Proj.) Series 2007, 0.25% 5/7/12, LOC Fed. Home Ln. Bank Atlanta, VRDN (a)

34,000

34,000

Louisiana Gas & Fuel Tax Rev. Participating VRDN Series Solar 06 133, 0.23% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

3,300

3,300

Louisiana Gen. Oblig. Participating VRDN Series Putters 4120, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

18,585

18,585

Louisiana Offshore Term. Auth. Deepwater Port Rev. (LOOP LLC Proj.) Series 2003 B, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

12,375

12,375

Louisiana Pub. Facilities Auth. Hosp. Rev. (Franciscan Missionaries of Our Lady Health Sys. Proj.) Series 2008 A, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

9,000

9,000

Louisiana Pub. Facilities Auth. Rev.:

(Air Products & Chemicals, Inc. Proj.) Series 2009 A, 0.25% 5/7/12, VRDN (a)

15,115

15,115

(C-Port LLC Proj.) Series 2008, 0.34% 5/7/12, LOC Bank of America NA, VRDN (a)

14,400

14,400

(Int'l.-Matex Tank Terminals Proj.) Series 2007, 0.25% 5/7/12, LOC Fed. Home Ln. Bank Atlanta, VRDN (a)

20,000

20,000

St. James Parish Gen. Oblig. (NuStar Logistics LP Proj.):

Series 2010 A, 0.27% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

12,500

12,500

Series 2010 B, 0.27% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

13,400

13,400

 

152,675

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Maine - 0.1%

Maine Health & Higher Ed. Facilities Auth. Rev. Series 2008 B, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

$ 9,100

$ 9,100

Maryland - 1.2%

Anne Arundel County Gen. Oblig. Participating VRDN Series BBT 08 10, 0.24% 5/7/12 (Liquidity Facility Branch Banking & Trust Co.) (a)(d)

13,675

13,675

Baltimore County Gen. Oblig. Participating VRDN Series WF 11 137C, 0.25% 5/7/12 (Liquidity Facility Wells Fargo Bank NA) (a)(d)

7,115

7,115

Maryland Cmnty. Dev. Administration Multi-family Dev. Rev. (Avalon Lea Apt. Proj.) Series 1997, 0.27% 5/7/12, LOC Fannie Mae, VRDN (a)

9,400

9,400

Maryland Econ. Dev. Auth. Rev. (Associated Projs.) Series A, 0.31% 5/7/12, LOC Bank of America NA, VRDN (a)

4,470

4,470

Maryland Health & Higher Edl. Facilities Auth. Rev.:

(Anne Arundel Health Sys. Proj.) Series 2009 B, 0.3% 5/7/12, LOC Bank of America NA, VRDN (a)

3,700

3,700

(Mercy Med. Ctr. Proj.) Series 2007 D, 0.24% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

18,100

18,100

(Univ. of Maryland Med. Sys. Proj.):

Series 2008 A, 0.35% 5/7/12, LOC Citizens Bank of Pennsylvania, VRDN (a)

14,200

14,200

Series 2008 B, 0.28% 5/7/12, LOC Bank of America NA, VRDN (a)

12,200

12,200

Participating VRDN Series BBT 08 46, 0.23% 5/7/12 (Liquidity Facility Branch Banking & Trust Co.) (a)(d)

3,820

3,820

Montgomery County Econ. Dev. Rev. (Georgetown Preparatory School, Inc. Proj.) Series 2005, 0.34% 5/7/12, LOC Bank of America NA, VRDN (a)

5,445

5,445

Montgomery County Hsg. Opportunities Commission Series 2002 C, 0.24% 5/7/12 (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac), VRDN (a)

7,965

7,965

 

100,090

Massachusetts - 1.2%

Massachusetts Bay Trans. Auth. Sales Tax Rev. Participating VRDN Series PT 4368, 0.24% 5/7/12 (Liquidity Facility Wells Fargo & Co.) (a)(d)

5,000

5,000

Massachusetts Dev. Fin. Agcy. Rev. (Lasell Village Proj.) Series 2007, 0.39% 5/7/12, LOC Bank of America NA, VRDN (a)

13,580

13,580

Massachusetts Gen. Oblig.:

Participating VRDN Series Clipper 07 41, 0.28% 5/7/12 (Liquidity Facility State Street Bank & Trust Co., Boston) (a)(d)

16,000

16,000

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Massachusetts - continued

Massachusetts Gen. Oblig.: - continued

Series 2006 B, 0.3% 5/1/12 (Liquidity Facility Bank of America NA), VRDN (a)

$ 1,590

$ 1,590

Massachusetts Health & Edl. Facilities Auth. Rev. (Southcoast Health Sys. Obligated Group Proj.) Series 2008 C, 0.3% 5/7/12, LOC Bank of America NA, VRDN (a)

4,400

4,400

Massachusetts School Bldg. Auth. Dedicated Sales Tax Rev. Participating VRDN:

Series BC 11 113B, 0.24% 5/7/12 (Liquidity Facility Barclays Bank PLC) (a)(d)

1,000

1,000

Series EGL 07 0031, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

13,000

13,000

Series Putters 2479Z, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

3,755

3,755

Series Putters 2857, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

10,255

10,255

Series WF 11 124C, 0.25% 5/7/12 (Liquidity Facility Wells Fargo Bank NA) (a)(d)

6,835

6,835

Massachusetts St Wtr. Resources Auth. Participating VRDN Series Putters 3690, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

1,200

1,200

RBC Muni. Products, Inc. Trust Participating VRDN Series RBC E 32, 0.23% 5/7/12 (Liquidity Facility Royal Bank of Canada) (a)(d)

21,705

21,705

 

98,320

Michigan - 1.4%

Grand Traverse County Hosp. Series 2011 B, 0.26% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

5,000

5,000

Michigan Fin. Auth. Rev.:

Participating VRDN Series ROC II R 11988, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

6,750

6,750

Series 2011 L, 0.27% 5/7/12, LOC Citibank NA, VRDN (a)

12,200

12,200

Michigan Hosp. Fin. Auth. Rev.:

(Henry Ford Health Sys. Proj.) Series 2007, 0.23% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

8,665

8,665

(McLaren Health Care Corp. Proj.):

Series 2008 B2, 0.23% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

16,590

16,590

Series 2008 B3, 0.23% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

2,000

2,000

Participating VRDN Series ROC II R 11676, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

8,650

8,650

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Michigan - continued

Michigan Strategic Fund Ltd. Oblig. Rev. (Van Andel Research Institute Proj.) Series 2008, 0.32% 5/7/12, LOC Bank of America NA, VRDN (a)

$ 52,000

$ 52,000

Wayne County Arpt. Auth. Rev. 0.23% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

5,000

5,000

 

116,855

Minnesota - 0.4%

Bloomington Sr. Hsg. Rev. (Presbyterian Homes Proj.) Series 2008, 0.26% 5/7/12, LOC Freddie Mac, VRDN (a)

5,000

5,000

Edina Minn Multifamily Rev. (Edina Park Plaza Proj.) Series 1999, 0.25% 5/7/12, LOC Freddie Mac, VRDN (a)

3,940

3,940

Minneapolis & Saint Paul Hsg. & Redev. Auth. Health Care Sys. Rev. (Allina Health Sys. Proj.) Series 2007 C1, 0.23% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

4,025

4,025

Minnesota Gen. Oblig. Participating VRDN Series Putters 3845, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

3,400

3,400

Minnetonka Multi-family Hsg. Rev. (Cliffs at Ridgedale Proj.) Series 1995, 0.26% 5/7/12, LOC Fannie Mae, VRDN (a)

2,550

2,550

Oak Park Heights Multi-Family Rev. 0.26% 5/7/12, LOC Freddie Mac, VRDN (a)

6,830

6,830

Rochester Health Care Facilities Rev. Participating VRDN Series WF11 49 C, 0.25% 5/7/12 (Liquidity Facility Wells Fargo Bank NA) (a)(d)

5,225

5,225

St. Paul Port Auth. District Cooling Rev.:

Series 2009 11DD, 0.26% 5/7/12, LOC Deutsche Bank AG, VRDN (a)

1,000

1,000

Series 2009 9BB, 0.26% 5/7/12, LOC Deutsche Bank AG, VRDN (a)

3,000

3,000

 

34,970

Mississippi - 0.7%

Mississippi Dev. Bank Spl. Oblig.:

(Harrison County Proj.) Series 2008 A2, 0.31% 5/7/12, LOC Bank of America NA, VRDN (a)

13,525

13,525

Participating VRDN Series Solar 06 0153, 0.24% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

13,225

13,225

Mississippi Gen. Oblig.:

Participating VRDN:

Series ROC II-R 11987, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

6,300

6,300

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Mississippi - continued

Mississippi Gen. Oblig.: - continued

Series WF 11 117C, 0.25% 5/7/12 (Liquidity Facility Wells Fargo Bank NA) (a)(d)

$ 3,260

$ 3,260

0.3% 5/7/12 (Liquidity Facility Bank of America NA), VRDN (a)

16,700

16,700

 

53,010

Missouri - 0.6%

Cape Girardeau County Indl. Dev. Auth. (St. Francis Med. Ctr. Proj.) Series 2009 B, 0.26% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

6,845

6,845

Missouri Health & Edl. Facilities Auth. Edl. Facilities Rev.:

(Christian Brothers College Proj.) Series 2002 A, 0.25% 5/7/12, LOC TD Banknorth, NA, VRDN (a)

25,040

25,040

Participating VRDN:

Series EGL 07 0001, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

8,470

8,470

Series Putters 3929, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

2,785

2,785

Missouri Health & Edl. Facilities Auth. Health Facilities Rev. (SSM Health Care Sys. Proj.) Series 2005 A1, 0.26% 5/7/12, LOC Bank of America NA, VRDN (a)

3,200

3,200

Missouri Health & Edl. Facilities Auth. Rev. (Lutheran Sr. Svcs. Proj.) Series 2008, 0.24% 5/7/12, LOC PNC Bank NA, VRDN (a)

2,575

2,575

Missouri Highways & Trans. Commission State Road Rev. Series 2005 B, 0.25% 5/7/12, LOC State Street Bank & Trust Co., Boston, VRDN (a)

3,775

3,775

 

52,690

Nebraska - 0.6%

Central Plains Energy Proj. Rev. (Nebraska Gas Proj.) Series 2009, 0.25% 5/7/12 (Liquidity Facility Royal Bank of Canada), VRDN (a)

16,000

16,000

Nebraska Pub. Pwr. Generation Agcy. Rev. Participating VRDN Series Solar 07 20, 0.24% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

7,000

7,000

Omaha Pub. Pwr. District Elec. Rev. Participating VRDN Series BBT 2060, 0.24% 5/7/12 (Liquidity Facility Branch Banking & Trust Co.) (a)(d)

22,905

22,905

 

45,905

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Nevada - 1.9%

Clark County Arpt. Rev.:

Series 2008 D1, 0.25% 5/7/12, LOC Citibank NA, VRDN (a)

$ 4,000

$ 4,000

Series 2008 D3, 0.27% 5/7/12, LOC Bank of America NA, VRDN (a)

10,000

10,000

Clark County Fuel Tax Participating VRDN Series ROC II R 11507, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

4,500

4,500

Clark County Indl. Dev. Rev. (Southwest Gas Corp. Proj.) Series 2009 A, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

2,000

2,000

Clark County McCarran Int'l. Arpt. Passenger Facility Charge Rev. Series 2010 F2, 0.24% 5/7/12, LOC Union Bank of California, VRDN (a)

3,500

3,500

Clark County Wtr. Reclamation District Participating VRDN:

Series Putters 3366Z, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

6,085

6,085

Series Putters 3489Z, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

11,965

11,965

Eclipse Fdg. Trust Cus. Rpt. Various States Participating VRDN 0.24% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

10,200

10,200

Reno Cap. Impt. Rev. Series 2005 A, 0.32% 5/7/12, LOC Bank of America NA, VRDN (a)

1,400

1,400

Reno Hosp. Rev. (Renown Reg'l. Med. Ctr. Proj.):

Series 2008 A, 0.25% 5/7/12, LOC Union Bank of California, VRDN (a)

10,915

10,915

Series 2008 B, 0.26% 5/7/12, LOC Union Bank of California, VRDN (a)

42,625

42,625

Series 2009 A, 0.25% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

28,385

28,385

Series 2009 B, 0.26% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

20,860

20,860

 

156,435

New Mexico - 0.9%

New Mexico Muni. Energy Acquisition Auth. Gas Supply Rev. Series 2009, 0.25% 5/7/12 (Liquidity Facility Royal Bank of Canada), VRDN (a)

72,695

72,695

New York - 5.3%

Monroe County Indl. Dev. Agcy. Civic Facility Rev. (Margaret Woodbury Strong Museum Proj.) Series 2005, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

9,000

9,000

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

New York - continued

Nassau County Indl. Dev. Agcy. (Amsterdam at Harborside Proj.) Series 2007 C, 0.35% 5/7/12, LOC Bank of America NA, VRDN (a)

$ 12,590

$ 12,590

New York City Gen. Oblig.:

Participating VRDN:

Series Putters 2951, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

1,400

1,400

Series Putters 3282, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

3,350

3,350

Series Putters 4052, 0.25% 5/1/12 (Liquidity Facility JPMorgan Chase & Co.) (a)(d)

6,555

6,555

Series ROC II R 14000X, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

1,600

1,600

Series 1995 F3, 0.26% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

12,400

12,400

Series 2004 A3, 0.3% 5/7/12, LOC Morgan Stanley Bank, West Valley City Utah, VRDN (a)

2,000

2,000

Series 2006 E2, 0.26% 5/1/12, LOC Bank of America NA, VRDN (a)

1,200

1,200

Series 2008 J8, 0.32% 5/1/12, LOC Landesbank Baden-Wuert, VRDN (a)

18,615

18,615

Series 2012 G3, 0.23% 5/7/12 (Liquidity Facility Citibank NA), VRDN (a)

50,000

50,000

New York City Health & Hosp. Corp. Rev. Series 2008 D, 0.26% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

4,105

4,105

New York City Hsg. Dev. Corp. Multi-family Hsg. Mtg. Rev.:

(Beekman Tower Proj.) Series 2008 A, 0.25% 5/7/12, LOC RBS Citizens NA, VRDN (a)

33,300

33,300

(Elliott Chelsea Dev. Proj.) Series 2010 A, 0.25% 5/7/12, LOC Citibank NA, VRDN (a)

22,120

22,120

New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev.:

Participating VRDN:

Series EGL 06 69 Class A, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

16,270

16,270

Series PT 3992, 0.24% 5/7/12 (Liquidity Facility Wells Fargo & Co.) (a)(d)

3,495

3,495

Series ROC II R 11904, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

4,000

4,000

Series ROC II R 11930, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

9,715

9,715

Series ROC II R380, 0.28% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

13,305

13,305

Series 2008 BB2, 0.24% 5/7/12 (Liquidity Facility Bank of America NA), VRDN (a)

10,900

10,900

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

New York - continued

New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev.: - continued

Series FF, 0.26% 5/1/12 (Liquidity Facility Bank of America NA), VRDN (a)

$ 7,075

$ 7,075

New York City Transitional Fin. Auth. Rev. Participating VRDN Series ROC II R 11902, 0.27% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

3,600

3,600

New York City Trust Cultural Resources Rev. (Lincoln Ctr. for the Performing Arts, Inc. Proj.) Series 2008 A2, 0.3% 5/1/12, LOC Bank of America NA, VRDN (a)

1,350

1,350

New York Dorm. Auth. Revs.:

(City Univ. Proj.) Series 2008 C, 0.26% 5/7/12, LOC Bank of America NA, VRDN (a)

6,400

6,400

(North Shore - Long Island Jewish Obligated Group Proj.):

Series 2009 C, 0.23% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

28,100

28,100

Series 2009 D, 0.29% 5/7/12, LOC Bank of America NA, VRDN (a)

11,300

11,300

(Univ. of Rochester Proj.) Series 2008 A1, 0.29% 5/7/12, LOC Bank of America NA, VRDN (a)

1,500

1,500

Participating VRDN:

Series EGL 06 47 Class A, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

15,500

15,500

Series EGL 07 0066, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

6,600

6,600

Series EGL 07 96, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

15,000

15,000

Series ROC II R 11722, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

1,100

1,100

Series ROC II R 11735, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

10,395

10,395

Series ROC II R 11975, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

2,000

2,000

New York Hsg. Fin. Agcy. Rev. Series 2010 A, 0.29% 5/7/12, LOC Bank of America NA, VRDN (a)

15,000

15,000

New York Hsg. Fin. Svc. Contract Rev. Series 2003 M1, 0.26% 5/7/12, LOC Bank of America NA, VRDN (a)

31,350

31,350

New York Liberty Dev. Corp. Lib Participating VRDN:

Series Putters 4011 Z, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

8,880

8,880

Series Putters 4083, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

5,910

5,910

New York Metropolitan Trans. Auth. Rev. Series 2011 B, 0.24% 5/7/12, LOC Bank of America NA, VRDN (a)

1,800

1,800

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

New York - continued

New York Thruway Auth. Gen. Rev. Participating VRDN Series Solar 06 17, 0.24% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

$ 15,000

$ 15,000

New York Thruway Auth. Second Gen. Hwy. & Bridge Trust Fund Participating VRDN Series ROC II R 11997, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

2,500

2,500

 

426,280

North Carolina - 4.4%

Charlotte Gen. Oblig. Participating VRDN Series ROC II R 11905, 0.26% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

6,700

6,700

Charlotte Int'l. Arpt. Rev. Series 2010 C, 0.25% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

11,600

11,600

Charlotte Wtr. & Swr. Sys. Rev.:

Participating VRDN Series Putters 3443, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

6,100

6,100

Series 2002 C, 0.25% 5/7/12 (Liquidity Facility Bank of America NA), VRDN (a)

26,515

26,515

Charlotte-Mecklenburg Hosp. Auth. Health Care Sys. Rev. Series 2007 G, 0.3% 5/7/12, LOC Bank of America NA, VRDN (a)

5,300

5,300

North Carolina Cap. Facilities Fin. Agcy. Cap. Facilities Rev. (Guilford College Proj.) Series 2005 A, 0.25% 5/7/12, LOC Branch Banking & Trust Co., VRDN (a)

6,275

6,275

North Carolina Cap. Facilities Fin. Agcy. Edl. Facilities Rev.:

(Campbell Univ. Proj.) Series 2009, 0.25% 5/7/12, LOC Branch Banking & Trust Co., VRDN (a)

6,100

6,100

(High Point Univ. Rev.) Series 2006, 0.25% 5/7/12, LOC Branch Banking & Trust Co., VRDN (a)

9,530

9,530

Series 2011, 0.31% 5/7/12, LOC Bank of America NA, VRDN (a)

19,200

19,200

North Carolina Cap. Facilities Fin. Agcy. Rev.:

Participating VRDN:

Series EGL 06 0139, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

2,800

2,800

Series EGL 07 0015, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

10,890

10,890

Series Putters 3331, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

1,250

1,250

Series Putters 3333, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

1,500

1,500

Series 2011, 0.31% 5/7/12, LOC Bank of America NA, VRDN (a)

10,000

10,000

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

North Carolina - continued

North Carolina Gen. Oblig. Series 2002 E, 0.27% 5/7/12 (Liquidity Facility Landesbank Hessen-Thuringen), VRDN (a)

$ 4,300

$ 4,300

North Carolina Med. Care Commission Health Care Facilities Rev.:

(Cape Fear Valley Health Sys. Proj.):

Series 2008 A1, 0.24% 5/7/12, LOC Branch Banking & Trust Co., VRDN (a)

73,125

73,125

Series 2008 A2, 0.24% 5/7/12, LOC Branch Banking & Trust Co., VRDN (a)

75,800

75,800

(Univ. Health Systems of Eastern Carolina):

Series 2008 B, 0.24% 5/7/12, LOC Branch Banking & Trust Co., VRDN (a)

2,420

2,420

Series 2008 B1, 0.22% 5/7/12, LOC Branch Banking & Trust Co., VRDN (a)

9,190

9,190

Participating VRDN Series ROC II R 11806, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

4,000

4,000

North Carolina Ports Auth. Port Facilities Rev. Series 2008, 0.25% 5/7/12, LOC Branch Banking & Trust Co., VRDN (a)

3,500

3,500

Raleigh Durham Arpt. Auth. Arpt. Rev. Series 2008 C, 0.27% 5/7/12, LOC U.S. Bank NA, Cincinnati, VRDN (a)

10,500

10,500

Sampson County Gen. Oblig. Participating VRDN Series Solar 06 0160, 0.24% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

4,130

4,130

Univ. of North Carolina at Chapel Hill Rev. Participating VRDN:

Series BBT 08 19, 0.23% 5/7/12 (Liquidity Facility Branch Banking & Trust Co.) (a)(d)

25,565

25,565

Series EGL 05 3014 Class A, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

22,700

22,700

 

358,990

Ohio - 0.8%

Cleveland Arpt. Sys. Rev. Series 2008 D, 0.24% 5/7/12, LOC PNC Bank NA, VRDN (a)

5,975

5,975

Franklin County Health Care Facilities Rev. (Presbyterian Retirement Svcs. Proj.) Series 2005 B, 0.26% 5/7/12, LOC PNC Bank NA, VRDN (a)

14,385

14,385

Hamilton County Hosp. Facilities Rev. (Children's Hosp. Med. Ctr. Proj.) Series 2000, 0.26% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

1,010

1,010

Lancaster Port Auth. Gas Rev. 0.25% 5/7/12 (Liquidity Facility Royal Bank of Canada), VRDN (a)

6,635

6,635

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Ohio - continued

Middletown Hosp. Facilities Rev. (Atrium Med. Ctr. Obligated Group Proj.) Series 2008 A, 0.24% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

$ 4,615

$ 4,615

Ohio Air Quality Dev. Auth. Rev. (Cincinnati Gas & Elec. Co. Proj.) Series A, 0.44% 5/7/12, VRDN (a)

4,400

4,400

Ohio Gen. Oblig. Participating VRDN Series BBT 3, 0.23% 5/7/12 (Liquidity Facility Branch Banking & Trust Co.) (a)(d)

5,705

5,705

Ohio Higher Edl. Facility Commission Rev. (Ohio Northern Univ. Proj.) Series 2008 A, 0.23% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

10,000

10,000

Richland County Health Care Facilities Rev. (Wesleyan Sr. Living Proj.) Series 2004 A, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

2,625

2,625

Warren County Health Care Facilities Rev. (Otterbein Homes Proj.) Series 2007, 0.25% 5/7/12, LOC U.S. Bank NA, Cincinnati, VRDN (a)

6,150

6,150

 

61,500

Oklahoma - 0.2%

Univ. Hospitals Trust Rev. Series 2005 A, 0.29% 5/7/12, LOC Bank of America NA, VRDN (a)

16,350

16,350

Oregon - 1.0%

Oregon Health and Science Univ. Spl. Rev. Series 2009 B1, 0.25% 5/7/12, LOC U.S. Bank NA, Cincinnati, VRDN (a)

26,615

26,615

Port of Portland Arpt. Rev. Series 2009 A1, 0.3% 5/7/12, LOC Bank of America NA, VRDN (a)

6,410

6,410

Salem Hosp. Facility Auth. Rev. (Salem Hosp. Proj.):

Series 2008 B, 0.23% 5/7/12, LOC U.S. Bank NA, Cincinnati, VRDN (a)

37,000

37,000

Series 2008 C, 0.28% 5/7/12, LOC Bank of America NA, VRDN (a)

12,500

12,500

 

82,525

Pennsylvania - 3.0%

Allegheny County Series C-58 A, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

4,350

4,350

Allegheny County Indl. Dev. Auth. Health Care Rev. (Vincentian Collaborative Sys. Proj.) Series 2008 A, 0.26% 5/7/12, LOC PNC Bank NA, VRDN (a)

8,105

8,105

Allegheny County Indl. Dev. Auth. Rev. (United Jewish Federation Proj.) Series 1996 A, 0.26% 5/7/12, LOC PNC Bank NA, VRDN (a)

5,400

5,400

Berks County Indl. Dev. Auth. Rev. (Kutztown Univ. Foundation, Inc. Proj.) Series 2004, 0.24% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

8,100

8,100

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Pennsylvania - continued

Chester County Health & Ed. Auth. Rev. (Jenner's Pond Proj.) Series 2006, 0.24% 5/7/12, LOC Citizens Bank of Pennsylvania, VRDN (a)

$ 13,175

$ 13,175

Chester County Indl. Dev. Auth. Student Hsg. Rev. (West Chester Univ. Proj.):

Series 2008 A1, 0.25% 5/7/12, LOC Citizens Bank of Pennsylvania, VRDN (a)

16,200

16,200

Series 2008 A2, 0.24% 5/7/12, LOC TD Banknorth, NA, VRDN (a)

16,200

16,200

Cumberland County Muni. Auth. Rev. (Presbyterian Homes Proj.) Series 2008 B, 0.29% 5/7/12, LOC Bank of America NA, VRDN (a)

16,600

16,600

Geisinger Auth. Health Sys. Rev. Participating VRDN Series Putters 3446, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

2,020

2,020

Harveys Lake Gen. Muni. Auth. (Misericordia Univ. Proj.) 0.26% 5/7/12, LOC PNC Bank NA, VRDN (a)

8,800

8,800

Lehigh County Gen. Purp. Auth. (Muhlenberg College Proj.) Series 2008, 0.31% 5/7/12, LOC Bank of America NA, VRDN (a)

17,895

17,895

Northeastern Pennsylvania Hosp. and Ed. Auth. Rev. (The Commonwealth Med. College Proj.) Series 2009, 0.24% 5/7/12, LOC PNC Bank NA, VRDN (a)

5,425

5,425

Pennsylvania Gen. Oblig. Participating VRDN:

Series Putters 3352Z, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

3,000

3,000

Series ROC II R 11505, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

4,100

4,100

Series WF 11 121C, 0.25% 5/7/12 (Liquidity Facility Wells Fargo Bank NA) (a)(d)

4,755

4,755

Pennsylvania Higher Edl. Facilities Auth. Rev.:

(Indiana Univ. of Pennsylvania Student Hsg. Proj.) Series 2008, 0.23% 5/7/12, LOC Fed. Home Ln. Bank Pittsburgh, VRDN (a)

26,260

26,260

(Keystone College Proj.) Series 2001 H5, 0.26% 5/7/12, LOC PNC Bank NA, VRDN (a)

3,250

3,250

(King's College Proj.) Series 2001 H6, 0.26% 5/7/12, LOC PNC Bank NA, VRDN (a)

3,825

3,825

(Marywood Univ. Proj.) Series 2005 A, 0.26% 5/7/12, LOC PNC Bank NA, VRDN (a)

4,735

4,735

(Univ. of Pennsylvania Health Sys. Proj.) Series 2008 A, 0.23% 5/7/12, LOC Bank of America NA, VRDN (a)

2,900

2,900

Participating VRDN Series Putters 4066, 0.25% 5/1/12 (Liquidity Facility JPMorgan Chase & Co.) (a)(d)

3,810

3,810

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Pennsylvania - continued

RBC Muni. Products, Inc. Trust Participating VRDN Series RBC E 22, 0.25% 5/7/12 (Liquidity Facility Royal Bank of Canada) (a)(d)

$ 13,400

$ 13,400

Schuylkill County Indl. Dev. Auth. Resource Recovery Rev. (Integrys Energy Group, Inc. Proj.) 0.24% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

19,800

19,800

Somerset County Gen. Oblig. Series 2009 A, 0.26% 5/7/12, LOC PNC Bank NA, VRDN (a)

3,470

3,470

South Fork Muni. Auth. Hosp. Rev. (Conemaugh Health Ctr. Proj.) Series A, 0.23% 5/7/12, LOC PNC Bank NA, VRDN (a)

11,125

11,125

Univ. of Pittsburgh Commonwealth Sys. of Higher Ed. Participating VRDN Series WF 09 38C, 0.25% 5/7/12 (Liquidity Facility Wells Fargo & Co.) (a)(d)

6,000

6,000

Washington County Hosp. Auth. Rev. (Washington Hosp. Proj.) Series 2007 B, 0.26% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

10,000

10,000

 

242,700

Puerto Rico - 0.0%

Puerto Rico Commonwealth Pub. Impt. Gen. Oblig. Series 2003 C5-2, 0.25% 5/7/12, LOC Barclays Bank PLC NY Branch, VRDN (a)

1,000

1,000

Rhode Island - 0.5%

Narragansett Bay Commission Wastewtr. Sys. Rev.:

Participating VRDN Series Solar 07 16, 0.24% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

12,330

12,330

Series 2008 A, 0.24% 5/7/12, LOC U.S. Bank NA, Cincinnati, VRDN (a)

9,400

9,400

Rhode Island Health & Edl. Bldg. Corp. Hosp. Fing. Rev. (Care New England Health Sys. Proj.) Series 2008 B, 0.25%, LOC JPMorgan Chase Bank, VRDN (a)

3,165

3,165

Rhode Island Health and Edl. Bldg. Corp. Higher Ed. Facility Rev.:

(New England Institute of Technology Proj.) Series 2008, 0.23% 5/7/12, LOC TD Banknorth, NA, VRDN (a)

4,660

4,660

(Rhode Island School of Design Proj.) Series 2008 B, 0.27% 5/7/12, LOC TD Banknorth, NA, VRDN (a)

9,400

9,400

(Roger Williams Univ. Proj.) Series 2008 B, 0.31% 5/7/12, LOC Bank of America NA, VRDN (a)

4,900

4,900

 

43,855

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

South Carolina - 0.2%

Columbia Wtrwks. & Swr. Rev. Participating VRDN Series BC 10 43W, 0.27% 5/7/12 (Liquidity Facility Barclays Bank PLC) (a)(d)

$ 1,875

$ 1,875

Florence County Hosp. Rev. (McLeod Reg'l. Med. Ctr. Proj.) Series 2010 B, 0.24% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

3,800

3,800

Oconee County Poll. Cont. Rev. (Duke Energy Corp. Proj.) Series 1999 A, 0.32% 5/1/12, VRDN (a)

4,500

4,500

South Carolina Edl. Facilities Auth. for Private Nonprofit Institutions of Higher Learning Edl. Facilities Rev. (Claflin Univ. Proj.) 0.31% 5/7/12, LOC Bank of America NA, VRDN (a)

900

900

South Carolina Gen. Oblig. Participating VRDN Series ROC II R 692W, 0.24% 5/7/12 (Liquidity Facility Wells Fargo & Co.) (a)(d)

4,115

4,115

South Carolina Jobs-Econ. Dev. Auth. Econ. Dev. Rev. (Bon Secours Health Sys. Proj.) Series 2008 D, 0.24% 5/7/12, LOC Citibank NA, VRDN (a)

4,710

4,710

 

19,900

Tennessee - 1.5%

Blount County Pub. Bldg. Auth. (Local Govt. Pub. Impt. Proj.) Series 2008 E1A, 0.25% 5/7/12, LOC Branch Banking & Trust Co., VRDN (a)

6,000

6,000

Chattanooga Health Ed. & Hsg. Facility Board Rev. (Southern Adventist Univ. Proj.) 0.34% 5/7/12, LOC Bank of America NA, VRDN (a)

7,495

7,495

Clarksville Pub. Bldg. Auth. Rev. (Tennessee Muni. Bond Fund Proj.):

Series 1994, 0.37% 5/7/12, LOC Bank of America NA, VRDN (a)

2,100

2,100

Series 2005, 0.33% 5/1/12, LOC Bank of America NA, VRDN (a)

1,950

1,950

Series 2008, 0.33% 5/1/12, LOC Bank of America NA, VRDN (a)

16,500

16,500

Indl. Dev. Board of Blount County and Cities of Alcoa and Maryville (Maryville Civic Arts Ctr. Proj.) Series 2009 B, 0.25% 5/7/12, LOC Branch Banking & Trust Co., VRDN (a)

4,085

4,085

Knox County Health Edl. & Hsg. Facilities Board Hosp. Facilities Rev.:

Series 2011 A, 0.26% 5/7/12, LOC Bank of America NA, VRDN (a)

4,975

4,975

Series 2011 B, 0.26% 5/7/12, LOC Bank of America NA, VRDN (a)

8,500

8,500

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Tennessee - continued

Metropolitan Govt. Nashville & Davidson County Indl. Dev. Board Rev. (Nashville Symphony Hall Proj.) Series 2004, 0.31% 5/7/12, LOC Bank of America NA, VRDN (a)

$ 22,100

$ 22,100

Montgomery County Pub. Bldg. Auth. Pooled Fing. Rev. (Tennessee County Ln. Pool Prog.):

Series 2004, 0.33% 5/1/12, LOC Bank of America NA, VRDN (a)

5,445

5,445

Series 2006, 0.33% 5/1/12, LOC Bank of America NA, VRDN (a)

1,100

1,100

Nashville and Davidson County Metropolitan Govt. Gen. Oblig. Participating VRDN Series Putters 2631, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

20,000

20,000

Shelby County Gen. Oblig. Series 2004 B, 0.27% 5/7/12 (Liquidity Facility Landesbank Hessen-Thuringen), VRDN (a)

9,675

9,675

Shelby County Health Edl. & Hsg. Facilities Board Rev. (Trezevant Manor Proj.) Series A, 0.4% 5/7/12, LOC Bank of America NA, VRDN (a)

9,400

9,400

 

119,325

Texas - 4.9%

Birdville Independent School District Participating VRDN Series MT 720, 0.31% 5/7/12 (Liquidity Facility Bank of America NA) (a)(d)

3,895

3,895

Board of Regents of The Texas A&M Univ. Sys. Permanent Univ. Fund Participating VRDN Series WF 10 53C, 0.25% 5/7/12 (Liquidity Facility Wells Fargo Bank NA) (a)(d)

5,555

5,555

Comal Independent School District Participating VRDN Series ROC II R 11907, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

2,805

2,805

Dallas Area Rapid Transit Sales Tax Rev. Participating VRDN Series ROC II R 12317, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

4,000

4,000

Dallas Performing Arts Cultural Facilities Corp. Cultural Facility Rev. (Dallas Ctr. for the Performing Arts Foundation, Inc. Proj.) Series 2008 A, 0.31% 5/1/12, LOC Bank of America NA, VRDN (a)

2,250

2,250

Dallas Wtr. & Swr. Sys. Rev. Participating VRDN Series Solar 06 60, 0.24% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

11,400

11,400

Fort Bend Independent School District Participating VRDN Series WF 09 49C, 0.25% 5/7/12 (Liquidity Facility Wells Fargo & Co.) (a)(d)

4,925

4,925

Friendswood Independent School District Participating VRDN Series BA 08 3036X, 0.35% 5/7/12 (Liquidity Facility Bank of America NA) (a)(d)

8,635

8,635

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Texas - continued

Harris County Cultural Ed. Facilities Fin. Corp. Rev. (Memorial Hermann Healthcare Sys. Proj.):

Series 2008 C, 0.25% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

$ 7,000

$ 7,000

Series 2008 D1, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

6,500

6,500

Harris County Gen. Oblig. Participating VRDN Series RBC E 18, 0.25% 5/7/12 (Liquidity Facility Royal Bank of Canada) (a)(d)

11,000

11,000

Harris County Tex Indl. Dev. Corp. (HFOTCO LLC Proj.) Series 2010, 0.34% 5/7/12, LOC Bank of America NA, VRDN (a)

1,600

1,600

Harris County Tex Metropolitan Tran Auth. Participating VRDN Series WF 11 104 C, 0.25% 5/7/12 (Liquidity Facility Wells Fargo Bank NA) (a)(d)

30,920

30,920

Houston Gen. Oblig. Participating VRDN:

Series BC 11 116B, 0.27% 5/7/12 (Liquidity Facility Barclays Bank PLC) (a)(d)

7,850

7,850

Series MT 788, 0.31% 5/7/12 (Liquidity Facility Bank of America NA) (a)(d)

10,515

10,515

Houston Higher Ed. Fin. Corp. Higher Ed. Rev. Participating VRDN Series MS 06 2042, 0.24% 5/7/12 (Liquidity Facility Wells Fargo & Co.) (a)(d)

18,870

18,870

Houston Independent School District Participating VRDN Series MT 732, 0.31% 5/7/12 (Liquidity Facility Bank of America NA) (a)(d)

9,805

9,805

Houston Util. Sys. Rev. Participating VRDN:

Series ROC II R 12267, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

7,955

7,955

Series ROC II R 12323, 0.25% 5/1/12 (Liquidity Facility Citibank NA) (a)(d)

12,150

12,150

Series Solar 06 70, 0.23% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

4,000

4,000

Humble Independent School District Participating VRDN Series MT 733, 0.31% 5/7/12 (Liquidity Facility Bank of America NA) (a)(d)

8,475

8,475

Irving Independent School District Participating VRDN Series PT 3954, 0.24% 5/7/12 (Liquidity Facility Wells Fargo & Co.) (a)(d)

17,835

17,835

Katy Independent School District Series 2004 C, 0.36% 5/7/12 (Permanent School Fund of Texas Guaranteed), VRDN (a)

3,900

3,900

Keller Independent School District Participating VRDN Series WF11 55 C, 0.25% 5/7/12 (Liquidity Facility Wells Fargo Bank NA) (a)(d)

5,645

5,645

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Texas - continued

Mansfield Independent School District Participating VRDN Series Putters 754, 0.31% 5/7/12 (Liquidity Facility Bank of America NA) (a)(d)

$ 12,745

$ 12,745

North Texas Tollway Auth. Rev.:

Participating VRDN:

Series ROC II R 11947, 0.26% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

7,200

7,200

Series ROC II R 14006, 0.26% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

4,940

4,940

Series 2009 D, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

7,500

7,500

Series 2011 A, 0.34% 5/7/12, LOC Morgan Stanley Bank, West Valley City Utah, VRDN (a)

4,600

4,600

Plano Gen. Oblig. Participating VRDN Series MS 06 1862, 0.24% 5/7/12 (Liquidity Facility Wells Fargo & Co.) (a)(d)

8,745

8,745

Plano Independent School District Participating VRDN Series WF 12 3C, 0.25% 5/7/12 (Liquidity Facility Wells Fargo Bank NA) (a)(d)

3,615

3,615

RBC Muni. Products, Inc. Trust Participating VRDN Series RBC E 27, 0.25% 5/7/12 (Liquidity Facility Royal Bank of Canada) (a)(d)

13,000

13,000

San Antonio Elec. & Gas Sys. Rev. Participating VRDN Series BBT 08 26, 0.23% 5/7/12 (Liquidity Facility Branch Banking & Trust Co.) (a)(d)

5,300

5,300

San Antonio Hotel Occupancy Tax Rev. Series 2008, 0.25% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

32,610

32,610

San Antonio Wtr. Sys. Rev. Participating VRDN Series EGL 06 5, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

3,000

3,000

Tarrant County Cultural Ed. Facilities Fin. Corp. Hosp. Rev. (Baylor Health Care Sys. Proj.) Series 2011 C, 0.25% 5/7/12, LOC Northern Trust Co., VRDN (a)

1,000

1,000

Tarrant County Cultural Ed. Facilities Fin. Corp. Rev. (Christus Health Proj.):

Series 2008 C1, 0.3% 5/7/12, LOC Bank of America NA, VRDN (a)

1,000

1,000

Series 2008 C2, 0.3% 5/7/12, LOC Bank of America NA, VRDN (a)

5,900

5,900

Series 2008 C4, 0.31% 5/7/12, LOC Bank of America NA, VRDN (a)

13,600

13,600

Tarrant County Health Facilities Dev. Corp. Rev. (Carter Blood Care Proj.) Series 1998, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

1,000

1,000

Texas A&M Univ. Rev. Participating VRDN Series BC 10 39W, 0.27% 5/7/12 (Liquidity Facility Barclays Bank PLC) (a)(d)

2,000

2,000

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Texas - continued

Texas Gen. Oblig. Participating VRDN:

Series EGL 07 90, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

$ 12,000

$ 12,000

Series Putters 3480, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

7,495

7,495

Series Putters 3946, 0.25% 5/1/12 (Liquidity Facility JPMorgan Chase & Co.) (a)(d)

2,900

2,900

Series Putters 3953, 0.25% 5/1/12 (Liquidity Facility JPMorgan Chase & Co.) (a)(d)

1,000

1,000

Series Solar 06 57, 0.24% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

1,000

1,000

Texas Southmost College District Participating VRDN Series Solar 06 61, 0.23% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

10,595

10,595

Texas Trans. Commission State Hwy. Fund Rev. Participating VRDN Series MT 780, 0.35% 5/7/12 (Liquidity Facility Bank of America NA) (a)(d)

5,050

5,050

Texas Wtr. Dev. Board Rev. Participating VRDN Series BA 08 1128, 0.31% 5/7/12 (Liquidity Facility Bank of America NA) (a)(d)

10,000

10,000

Univ. of Texas Board of Regents Sys. Rev. Participating VRDN Series Putters 1646, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

5,350

5,350

Univ. of Texas Permanent Univ. Fund Rev. Participating VRDN Series BBT 08 59, 0.23% 5/7/12 (Liquidity Facility Branch Banking & Trust Co.) (a)(d)

6,000

6,000

 

396,630

Utah - 0.5%

Carbon County Poll. Cont. Rev. (PacifiCorp Proj.) Series 1994, 0.24% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

1,800

1,800

Emery County Poll. Cont. Rev. (PacifiCorp Proj.) Series 1994, 0.25% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

19,440

19,440

Utah State Board of Regents Rev. Participating VRDN Series Solar 06 140, 0.24% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

9,900

9,900

Utah Transit Auth. Sales Tax Rev. Participating VRDN Series BBT 08 27, 0.23% 5/7/12 (Liquidity Facility Branch Banking & Trust Co.) (a)(d)

5,640

5,640

 

36,780

Virginia - 2.0%

Albemarle County Indl. Dev. Auth. 0.24% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

5,800

5,800

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Virginia - continued

Fairfax County Econ. Dev. Auth. Student Hsg. Rev. (George Mason Univ. Foundation, Inc., Proj.) Series 2003, 0.29% 5/7/12, LOC Bank of America NA, VRDN (a)

$ 4,400

$ 4,400

Fauquier County Indl. Dev. Auth. Rev. (Highland School Proj.) Series 2008, 0.25% 5/7/12, LOC Branch Banking & Trust Co., VRDN (a)

4,050

4,050

Hanover County Econ. Dev. Auth. Rev. (Bon Secours Health Sys. Proj.):

Series 2008 D1, 0.24% 5/7/12, LOC Citibank NA, VRDN (a)

21,900

21,900

Series 2008 D2, 0.25% 5/7/12, LOC U.S. Bank NA, Cincinnati, VRDN (a)

37,215

37,215

Lexington Indl. Dev. Auth. Edl. Facilities Rev. Series 2010, 0.25% 5/7/12, VRDN (a)

7,835

7,835

Newport News Indl. Dev. Auth. (CNU Warwick LLC Student Apts. Proj.) 0.34% 5/7/12, LOC Bank of America NA, VRDN (a)

7,905

7,905

Richmond Pub. Util. Rev. Participating VRDN:

Series MT 755, 0.35% 5/7/12 (Liquidity Facility Bank of America NA) (a)(d)

4,985

4,985

Series MT 777, 0.31% 5/7/12 (Liquidity Facility Bank of America NA) (a)(d)

7,485

7,485

Series ROC II R 10410, 0.27% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

2,400

2,400

Univ. of Virginia Gen. Rev. Participating VRDN:

Series BBT 08 30, 0.23% 5/7/12 (Liquidity Facility Branch Banking & Trust Co.) (a)(d)

7,500

7,500

Series EGL 06 17 Class A, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

14,775

14,775

Virginia Commonwealth Trans. Board Rev. Participating VRDN:

Series Putters 4053, 0.25% 5/1/12 (Liquidity Facility JPMorgan Chase & Co.) (a)(d)

3,995

3,995

Series WF 11 93C, 0.25% 5/7/12 (Liquidity Facility Wells Fargo Bank NA) (a)(d)

8,710

8,710

Virginia Resources Auth. Clean Wtr. Rev. Participating VRDN:

Series BBT 08 48, 0.23% 5/7/12 (Liquidity Facility Branch Banking & Trust Co.) (a)(d)

3,915

3,915

Series MS 06 1860, 0.24% 5/7/12 (Liquidity Facility Wells Fargo & Co.) (a)(d)

2,360

2,360

Series Putters 3036, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

3,365

3,365

Series ROC II R 11923, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

5,940

5,940

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Virginia - continued

Virginia Small Bus. Fing. Auth. Health Care Facilities Rev. Participating VRDN:

Series BC 10 17W, 0.27% 5/7/12 (Liquidity Facility Barclays Bank PLC) (a)(d)

$ 5,000

$ 5,000

Series Putters 3791Z, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

3,350

3,350

 

162,885

Washington - 3.0%

Cascade Wtr. Alliance Wtr. Sys. Rev. Participating VRDN Series Solar 06 73 0.23% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

17,110

17,110

Central Puget Sound Reg'l. Trans. Auth. Sales & Use Tax Rev. Participating VRDN Series Putters 2866, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

8,285

8,285

Eclipse Fdg. Trust Cus. Rpt. Various States Participating VRDN Series Solar 07 106, 0.24% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

3,350

3,350

Pierce County Econ. Dev. Corp. Spl. Rev. (Weyerhaeuser Real Estate Proj.) Series 1997 A, 0.34% 5/7/12, LOC Bank of America NA, VRDN (a)

5,750

5,750

Seattle Muni. Lt. & Pwr. Rev. Participating VRDN Series Putters 3859, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

5,000

5,000

Seattle Wtr. Sys. Rev. Participating VRDN Series MS 06 2170, 0.24% 5/7/12 (Liquidity Facility Wells Fargo & Co.) (a)(d)

5,060

5,060

Snohomish County Pub. Hosp. District #2 (Stevens Health Care Proj.) Series 1999, 0.53% 5/7/12, LOC Bank of America NA, VRDN (a)

8,000

8,000

Vancouver Hsg. Auth. Rev. Series 2008, 0.29% 5/7/12, LOC Freddie Mac, VRDN (a)

8,800

8,800

Washington Econ. Dev. Fin. Auth. Econ. Dev. Rev. (Puget Sound Blood Ctr. Proj.) Series 2008 D, 0.24% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

6,240

6,240

Washington Gen. Oblig. Participating VRDN:

Series BA 08 1121, 0.35% 5/7/12 (Liquidity Facility Bank of America NA) (a)(d)

6,665

6,665

Series BA 1212, 0.31% 5/7/12 (Liquidity Facility Bank of America NA) (a)(d)

4,640

4,640

Series DB 599, 0.33% 5/7/12 (Liquidity Facility Deutsche Bank AG) (a)(d)

4,910

4,910

Series DB 606, 0.33% 5/7/12 (Liquidity Facility Deutsche Bank AG) (a)(d)

5,970

5,970

Series Putters 3054, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

1,000

1,000

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Washington - continued

Washington Gen. Oblig. Participating VRDN: - continued

Series Putters 3856, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

$ 8,500

$ 8,500

Series Putters 3872, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

4,000

4,000

Series Putters 4054, 0.25% 5/1/12 (Liquidity Facility JPMorgan Chase & Co.) (a)(d)

6,405

6,405

Series WF 11-16C, 0.25% 5/7/12 (Liquidity Facility Wells Fargo Bank NA) (a)(d)

7,315

7,315

Washington Health Care Facilities Auth.:

(Fred Hutchinson Cancer Ctr. Proj.) Series 2011 B, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

11,505

11,505

(Swedish Health Svcs. Proj.) Series 2011 B, 0.28% 5/7/12, LOC Citibank NA, VRDN (a)

7,200

7,200

Washington Health Care Facilities Auth. Rev.:

(Children's Hosp. Reg'l. Med. Ctr. Proj.) Series 2008 A, 0.32% 5/7/12, LOC Bank of America NA, VRDN (a)

4,755

4,755

(MultiCare Health Sys. Proj.) Series 2009 A, 0.23% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

9,000

9,000

(Southwest Washington Med. Ctr. Proj.) Series 2008 B, 0.3% 5/7/12, LOC Bank of America NA, VRDN (a)

6,670

6,670

(Southwest Washington Med. Ctr.) Series 2008 A, 0.25% 5/7/12, LOC Union Bank of California, VRDN (a)

9,200

9,200

Washington Higher Ed. Facilities Auth. Rev. (Seattle Pacific Univ. Proj.) Series 2008, 0.23% 5/7/12, LOC U.S. Bank NA, Cincinnati, VRDN (a)

16,200

16,200

Washington Hsg. Fin. Commission Multi-family Hsg. Rev.:

(Discovery Heights Apt. Proj.) Series 2010, 0.28% 5/7/12, LOC Bank of America NA, VRDN (a)

16,000

16,000

(New Haven Apts. Proj.) Series 2009, 0.23% 5/7/12, LOC Fannie Mae, VRDN (a)

8,000

8,000

(The Cambridge Apts. Proj.) Series 2009, 0.23% 5/7/12, LOC Fannie Mae, VRDN (a)

6,600

6,600

(Washington Terrace Sr. Apts. Proj.) Series 2010, 0.23% 5/7/12, LOC Fannie Mae, VRDN (a)

3,750

3,750

Washington Hsg. Fin. Commission Nonprofit Hsg. Rev. (Emerald Heights Proj.) Series 2003, 0.32% 5/1/12, LOC Bank of America NA, VRDN (a)

14,000

14,000

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Washington - continued

Washington Hsg. Fin. Commission Nonprofit Rev.:

(United Way King County Proj.) 0.39% 5/7/12, LOC Bank of America NA, VRDN (a)

$ 1,400

$ 1,400

(YMCA of Pierce and Kitsap Countries Proj.) Series 2010 B, 0.24% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

9,800

9,800

 

241,080

West Virginia - 0.5%

West Virginia Econ. Dev. Auth. Solid Waste Disp. Facilities Rev. (Appalachian Pwr. Co. - Amos Proj.) Series 2009 A, 0.24% 5/7/12, LOC Sumitomo Mitsui Banking Corp., VRDN (a)

10,800

10,800

West Virginia Hosp. Fin. Auth. Hosp. Rev. (West Virginia United Health Sys. Proj.):

Series 2008 D, 0.34% 5/7/12, LOC Bank of America NA, VRDN (a)

3,500

3,500

Series 2009 A, 0.25% 5/7/12, LOC Branch Banking & Trust Co., VRDN (a)

4,700

4,700

Series 2009 B, 0.25% 5/7/12, LOC Branch Banking & Trust Co., VRDN (a)

2,900

2,900

West Virginia Hosp. Fin. Auth. Rev. (Charleston Area Med. Ctr., Inc. Proj.) Series 2008 A, 0.25% 5/7/12, LOC Branch Banking & Trust Co., VRDN (a)

22,800

22,800

 

44,700

Wisconsin - 0.7%

Appleton Redev. Auth. Rev. (Fox Cities Performing Arts Ctr. Proj.) Series 2001 B, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

9,200

9,200

Wisconsin Gen. Oblig. Participating VRDN:

Series BBT 08 47, 0.23% 5/7/12 (Liquidity Facility Branch Banking & Trust Co.) (a)(d)

6,400

6,400

Series Solar 07 4, 0.24% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

24,235

24,235

Wisconsin Health & Edl. Facilities Auth. Rev. Participating VRDN:

ROC II R 11837, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

5,255

5,255

Series MS 3259. 0.4% 5/7/12 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(d)

5,000

5,000

Wisconsin Hsg. and Econ. Dev. Auth. Multifamily Hsg. Rev. Series 2006 A, 0.25% 5/7/12 (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac), VRDN (a)

5,055

5,055

 

55,145

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Wyoming - 0.1%

Sweetwater County Poll. Cont. Rev. (PacifiCorp Proj.) Series 1994, 0.24% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

$ 6,250

$ 6,250

TOTAL VARIABLE RATE DEMAND NOTE


5,560,818

Other Municipal Debt - 26.7%

 

 

 

 

Alaska - 0.1%

Anchorage Gen. Oblig. Bonds Series D, 5% 12/1/12

3,590

3,687

North Slope Borough Gen. Oblig. Bonds Series 2011 B, 2% 6/30/12

4,550

4,562

 

8,249

Arizona - 0.6%

Arizona Trans. Board Hwy. Rev. Bonds Series 2002 B, 5.25% 7/1/12 (Pre-Refunded to 7/1/12 @ 100)

1,185

1,195

Phoenix Civic Impt. Corp. Wastewtr. Sys. Rev.:

Series 2012 A, 0.15% 8/8/12, LOC Royal Bank of Canada, CP

13,400

13,400

Series 2012 B, 0.15% 9/4/12, LOC Wells Fargo Bank NA, CP

15,500

15,500

Pima County Reg'l. Trans. Auth. Excise Tax Rev. Bonds Series 2011, 1.5% 6/1/12

3,485

3,488

Salt River Proj. Agricultural Impt. & Pwr. District Elec. Sys. Rev. Series C, 0.2% 8/16/12, CP

12,900

12,900

 

46,483

Arkansas - 0.0%

Univ. of Arkansas Various Facility Rev. Bonds Bonds Series 2012 A, 1% 11/1/12

4,525

4,542

California - 1.0%

Belmont Redwood Shores CA School District Bonds Series WF 11 105 C, 0.2%, tender 7/25/12 (Liquidity Facility Wells Fargo Bank NA) (a)(d)(e)

10,350

10,350

California Econ. Recovery Bonds Series 2004 A, 5.25% 7/1/12

30,985

31,248

Sacramento Muni. Util. District Elec. Rev. Series 2011 L1:

0.23% 5/11/12, LOC Barclays Bank PLC NY Branch, CP

13,000

13,000

0.25% 7/19/12, LOC Barclays Bank PLC NY Branch, CP

27,000

27,000

 

81,598

Other Municipal Debt - continued

Principal Amount (000s)

Value (000s)

Colorado - 0.2%

Denver City & County Wastewtr. Dept. of Pub. Works Bonds Series 2012, 2% 11/1/12

$ 1,870

$ 1,887

Jefferson County School District #R1 TAN Series 2011A, 1.5% 6/29/12

14,750

14,780

 

16,667

Connecticut - 0.3%

Connecticut Dev. Auth. Poll. Cont. Rev. Bonds (New England Pwr. Co. Proj.) Series 1999, 0.4% tender 5/1/12, CP mode

11,235

11,235

Connecticut Gen. Oblig. Bonds Series 2010 C, 5% 12/1/12

2,765

2,843

New Milford Gen. Oblig. BAN 1% 7/26/12

7,040

7,054

 

21,132

District Of Columbia - 0.0%

District of Columbia Gen. Oblig. TRAN 2% 9/28/12

1,000

1,008

Florida - 1.8%

Collier County Spl. Oblig. Rev. Bonds Series 2011, 2.5% 10/1/12

6,120

6,177

Florida Dept. of Envir. Protection Rev. Bonds:

Series 2002 A, 5% 7/1/12

1,700

1,713

Series 2004 A, 5% 7/1/12

1,745

1,758

Florida Hurricane Catastrophe Fund Fin. Corp. Rev. Bonds Series 2006 A:

5% 7/1/12

7,000

7,055

5% 7/1/12

1,260

1,270

5.25% 7/1/12

1,925

1,940

Florida Local Govt. Fin. Cmnty. Series 2011 A1, 0.13% 5/1/12, LOC JPMorgan Chase Bank, CP

7,000

7,000

Hillsborough County Cap. Impt. Prog. Rev. Series A, 0.18% 7/12/12, LOC State Street Bank & Trust Co., Boston, CP

9,700

9,700

Jacksonville Elec. Auth. Elec. Sys. Rev. Series C1, 0.16% 8/2/12, CP

43,000

43,000

Jacksonville Poll. Cont. Rev. Bonds (Florida Pwr. & Lt. Co. Proj.):

Series 1992, 0.25% tender 6/7/12, CP mode

6,200

6,200

Series 1994, 0.25% tender 6/7/12, CP mode

9,560

9,560

Orlando & Orange County Expressway Auth. Rev. Bonds Series 2003 A, 5% 7/1/12

2,000

2,015

Palm Beach County Solid Waste Auth. Rev. Bonds:

Series 2011, 2% 10/1/12

8,650

8,711

Series WF 11 118, 0.2%, tender 7/25/12 (Liquidity Facility Wells Fargo Bank NA) (a)(d)(e)

26,185

26,185

Other Municipal Debt - continued

Principal Amount (000s)

Value (000s)

Florida - continued

Pinellas County School District TAN Series 2011, 1% 6/30/12

$ 12,000

$ 12,015

Tampa Health Sys. Rev. Bonds Series 2012 B, 0%, tender 11/29/12 (a)

4,800

4,800

 

149,099

Georgia - 0.2%

Georgia Muni. Gas Auth. Rev. BAN (Gas Portfolio III Proj.) Series K, 2% 5/23/12

12,050

12,060

Muni. Elec. Auth. of Georgia Bonds (Gen. Resolution Projs.) Series 1985 A, 0.26% tender 7/20/12, LOC Barclays Bank PLC, CP mode

7,500

7,500

 

19,560

Hawaii - 0.0%

Hawaii Gen. Oblig. Bonds Series 2011 EB, 2% 12/1/12

2,290

2,313

Idaho - 1.4%

Idaho Gen. Oblig. TAN Series 2011, 2% 6/29/12

103,000

103,288

Idaho Hsg. & Fin. Assoc. Unemployment Compensation Bonds Series 2011, 2% 8/15/12

9,000

9,045

 

112,333

Kentucky - 0.1%

Jefferson County Poll. Cont. Rev. Bonds (Louisville Gas & Elec. Co. Proj.) Series 2001 A, 0.35% tender 5/7/12, CP mode

3,100

3,100

Trimble County Poll. Cont. Rev. Bonds (Louisville Gas & Elec. Co. Proj.) Series 2001 A, 0.32% tender 5/1/12, CP mode

6,500

6,500

 

9,600

Louisiana - 0.1%

Louisiana Gen. Oblig. Bonds Series 2012 A, 2% 8/1/12

7,120

7,153

Maryland - 0.8%

Baltimore County Gen. Oblig.:

Bonds Series 2011, 3% 2/1/13

2,900

2,961

Series 2011:

0.15% 5/21/12 (Liquidity Facility Mizuho Corporate Bank Ltd.), CP

21,400

21,400

0.16% 6/5/12 (Liquidity Facility Mizuho Corporate Bank Ltd.), CP

12,800

12,800

0.16% 6/5/12 (Liquidity Facility Mizuho Corporate Bank Ltd.), CP

8,500

8,500

Maryland Gen. Oblig. Bonds:

(State & Local Facilities Ln. Prog.) Second Series 2003, 5% 8/1/12

2,000

2,025

First Series of 2002 A, 5.5% 3/1/13

2,180

2,276

Other Municipal Debt - continued

Principal Amount (000s)

Value (000s)

Maryland - continued

Maryland Gen. Oblig. Bonds: - continued

Third Series 2009 C, 5% 11/1/12

$ 8,205

$ 8,402

Univ. of Maryland Sys. Auxiliary Facility & Tuition Rev. Bonds Series 2009 A, 5% 4/1/13

2,000

2,088

Washington Suburban San. District Bonds Series 2004, 5% 6/1/12

1,500

1,506

 

61,958

Massachusetts - 1.7%

Massachusetts Gen. Oblig.:

Bonds Series 2012 A, 0.22% 9/1/12 (a)

8,705

8,704

RAN Series 2011 B, 2% 5/31/12

100,000

100,151

Massachusetts Indl. Fin. Agcy. Poll. Cont. Rev. Bonds (New England Pwr. Co. Proj.):

Series 1992, 0.4% tender 5/17/12, CP mode

10,000

10,000

Series 1993 A, 0.4% tender 5/2/12, CP mode

18,100

18,100

 

136,955

Michigan - 2.3%

Michigan Bldg. Auth. Rev. Series 6, 0.19% 6/28/12, LOC State Street Bank & Trust Co., Boston, LOC U.S. Bank NA, Cincinnati, CP

13,905

13,905

Michigan Fin. Auth. Rev. RAN Series 2011 C3, 2% 8/20/12, LOC Bank of Nova Scotia New York Branch

15,200

15,278

Michigan Gen. Oblig. Bonds Series 2002, 5.25% 12/1/12

7,400

7,618

Michigan Hosp. Fin. Auth. Rev. Bonds (Trinity Health Sys. Proj.):

Series 2008 C:

0.14% tender 5/7/12, CP mode

24,000

24,000

0.14% tender 5/15/12, CP mode

30,500

30,500

0.16% tender 5/15/12, CP mode

14,300

14,300

Series B, 0.12% tender 5/14/12, CP mode

23,420

23,420

Series C, 0.12% tender 5/15/12, CP mode

60,000

60,000

 

189,021

Minnesota - 0.2%

Metropolitan Council Gen. Oblig. Rev. Bonds Series 2011 C, 0.25% 3/1/13

10,000

10,000

Univ. of Minnesota Gen. Oblig. Series 2009 D, 0.2% 7/17/12, CP

3,500

3,500

 

13,500

Other Municipal Debt - continued

Principal Amount (000s)

Value (000s)

Mississippi - 0.1%

Mississippi Gen. Oblig. Bonds Series 2006 D, 5% 11/1/12

$ 1,920

$ 1,966

Mississippi Hosp. Equip. & Facilities Auth. Bonds (Baptist Memorial Health Care Proj.) Series 2004 B2, 0.19%, tender 7/11/12 (a)(e)

8,600

8,600

 

10,566

Missouri - 0.3%

Curators of the Univ. of Missouri Series A, 0.2% 5/15/12, CP

3,500

3,500

Missouri Health & Edl. Facilities Auth. Health Facilities Rev. Bonds (CoxHealth Proj.):

0.16% tender 5/7/12, LOC Bank of Nova Scotia New York Branch, CP mode

11,000

11,000

0.21% tender 5/4/12, LOC Bank of Nova Scotia New York Branch, CP mode

13,000

13,000

 

27,500

Montana - 0.0%

Montana Board of Invt. Bonds:

(INTERCAP Revolving Prog.) Series 2010, 0.22%, tender 3/1/13 (a)

2,675

2,675

Series 1998, 0.22%, tender 3/1/13 (a)

1,000

1,000

 

3,675

Nebraska - 0.4%

Nebraska Pub. Pwr. District Rev. Series A:

0.16% 8/8/12, CP

9,500

9,500

0.18% 5/8/12, CP

13,700

13,700

0.19% 5/9/12, CP

5,650

5,650

Omaha Pub. Pwr. District Elec. Rev. Series A, 0.12% 6/11/12, CP

3,500

3,500

 

32,350

Nevada - 0.1%

Clark County School District Bonds Series 2007 B, 5% 6/15/12

2,140

2,152

Truckee Meadows Wtr. Auth. Wtr. Rev. Series 2006 B:

0.27% 5/1/12, LOC Lloyds TSB Bank PLC, CP

3,700

3,700

0.29% 5/3/12, LOC Lloyds TSB Bank PLC, CP

2,100

2,100

 

7,952

New Jersey - 1.5%

Montgomery Township Gen. Oblig. BAN 2% 9/7/12

14,386

14,462

Other Municipal Debt - continued

Principal Amount (000s)

Value (000s)

New Jersey - continued

New Jersey Gen. Oblig. TRAN Series 2012 C, 2% 6/21/12

$ 82,695

$ 82,897

North Brunswick Township Gen. Oblig. BAN Series 2011 A, 1.5% 8/9/12

21,600

21,672

 

119,031

New York - 1.9%

Huntington Union Free School District TAN 1.5% 6/27/12

13,500

13,526

New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev.:

Series 7, 0.28% 1/22/13, CP

4,800

4,800

Series 8, 0.18% 12/17/12, CP

8,600

8,600

New York Dorm. Auth. Revs. Series 1998, 0.18% 5/3/12, CP

6,500

6,500

New York Metropolitan Trans. Auth. Rev. Series 2C, 0.15% 8/2/12, LOC Royal Bank of Canada, CP

15,800

15,800

New York Pwr. Auth. Series 1:

0.25% 5/1/12, CP

1,087

1,087

0.25% 5/18/12, CP

13,400

13,400

New York State Gen. Oblig. Bonds Series 2011 C, 5% 9/1/12

10,000

10,160

New York Thruway Auth. Svc. Contract Rev. Bonds Series 2012 A, 2% 4/1/13

20,200

20,536

South Huntington Union Free School District TAN 1.5% 6/28/12

12,500

12,524

Suffolk County Wtr. Auth. BAN Series 2012 A, 2% 1/15/13

10,900

11,038

Syosset Central School District TAN 1.5% 6/22/12

12,500

12,522

Tarrytown BAN Series 2011 D, 1.5% 10/19/12

8,188

8,235

West Babylon Union Free School District TAN 1.5% 6/22/12

15,000

15,025

 

153,753

North Carolina - 1.0%

Board of Governors of the Univ. of North Carolina Series D:

0.11% 5/21/12, CP

11,010

11,010

0.13% 5/14/12, CP

10,000

10,000

0.15% 5/21/12, CP

7,100

7,100

0.15% 7/9/12, CP

14,800

14,800

0.18% 5/22/12, CP

11,600

11,600

Charlotte Wtr. & Swr. Sys. Rev. Bonds:

Series 2009 B, 4% 7/1/12

1,000

1,006

Series 2011, 1.5% 6/1/12

3,320

3,324

Guilford County Gen. Oblig. Bonds Series 2012 A, 2% 3/1/13

3,645

3,700

Other Municipal Debt - continued

Principal Amount (000s)

Value (000s)

North Carolina - continued

Mecklenburg County Pub. Facilities Corp. Bonds Series 2009, 5% 3/1/13

$ 3,920

$ 4,076

North Carolina Gen. Oblig. Bonds Series 2007 A, 5% 3/1/13

13,525

14,066

 

80,682

Ohio - 0.4%

Ohio Gen. Oblig. Bonds Series 2012 A, 2% 2/1/13

1,060

1,074

Ohio Higher Edl. Facility Commission Rev. Bonds (The Cleveland Clinic Foundation Proj.):

Series 2008 B5, 0.14% tender 8/9/12, CP mode

3,000

3,000

Series 2008 B6:

0.14% tender 8/9/12, CP mode

15,000

15,000

0.28% tender 6/22/12, CP mode

10,000

10,000

 

29,074

Oregon - 1.5%

Clackamas County Hosp. Facility Auth. Bonds (Providence Health Sys. Proj.):

Series 2003 E:

0.16% tender 5/8/12, CP mode

8,000

8,000

0.2% tender 8/3/12, CP mode

10,000

10,000

Series 2003 G, 0.13% tender 6/5/12, CP mode

14,275

14,275

Series F, 0.15% tender 8/6/12, CP mode

10,000

10,000

Oregon Gen. Oblig. TAN Series 2011 A, 2% 6/29/12

76,400

76,617

 

118,892

Pennsylvania - 0.2%

Univ. of Pittsburgh Commonwealth Sys. of Higher Ed. Bonds (Univ. Cap. Proj.) Series 2005 B, 0.17% tender 7/2/12, CP mode

13,300

13,300

Rhode Island - 0.0%

Rhode Island & Providence Plantations Bonds Series 2004 B, 5% 8/1/12

2,000

2,024

South Carolina - 0.6%

Darlington County School District Bonds 5% 3/1/13

1,280

1,331

Greenville County School District Bonds Series 2011, 1.5% 6/1/12

16,900

16,918

Horry County School District Bonds Series 2002 A, 5.125% 3/1/13

1,000

1,041

South Carolina Pub. Svc. Auth. Rev.:

Bonds Series 2002 D, 5.25% 1/1/13

2,000

2,067

Series 2010 A:

0.15% 5/4/12, CP

11,887

11,887

Other Municipal Debt - continued

Principal Amount (000s)

Value (000s)

South Carolina - continued

South Carolina Pub. Svc. Auth. Rev.: - continued

0.15% 7/19/12, CP

$ 5,458

$ 5,458

Series 2010 B:

0.15% 5/4/12, CP

1,157

1,157

0.15% 7/19/12, CP

1,553

1,553

York County Poll. Cont. Rev. Bonds (Duke Energy Corp. Proj.) 0.4% tender 5/1/12, CP mode

7,000

7,000

 

48,412

Texas - 4.2%

Boerne Independent School District Bonds Series 2012, 2% 2/1/13 (Permanent School Fund of Texas Guaranteed)

3,880

3,933

Brownsville Util. Sys. Rev. Series A, 0.15% 7/19/12, LOC State Street Bank & Trust Co., Boston, CP

7,500

7,500

Dallas Independent School District Bonds Series 2005, 5.25% 8/15/12 (Permanent School Fund of Texas Guaranteed)

2,185

2,217

Dallas Wtrwks. & Swr. Sys. Rev. Bonds Series 2010, 3% 10/1/12

4,435

4,486

Frisco Independent School District Bonds Series WF 11 1C, 0.2%, tender 7/25/12 (Liquidity Facility Wells Fargo Bank NA) (a)(d)(e)

6,870

6,870

Harris County Gen. Oblig.:

Bonds Series 2011 A, 2%, tender 8/15/12 (a)

9,100

9,145

Series A1, 0.15% 7/19/12 (Liquidity Facility State Street Bank & Trust Co., Boston), CP

9,005

9,005

Series D, 0.2% 8/8/12 (Liquidity Facility JPMorgan Chase Bank), CP

1,000

1,000

Harris County Metropolitan Trans. Auth.:

Series A1:

0.15% 5/4/12 (Liquidity Facility JPMorgan Chase Bank), CP

28,150

28,150

0.17% 8/23/12 (Liquidity Facility JPMorgan Chase Bank), CP

15,400

15,400

0.19% 9/6/12 (Liquidity Facility JPMorgan Chase Bank), CP

11,750

11,750

Series A3, 0.13% 5/24/12 (Liquidity Facility State Street Bank & Trust Co., Boston), CP

9,000

9,000

Houston Gen. Oblig.:

Bonds Series 2010 A, 4% 3/1/13

5,805

5,989

Series A, 0.28% 5/1/12, LOC Union Bank of California, CP

7,600

7,600

Lower Colorado River Auth. Rev. 0.21% 8/14/12, LOC JPMorgan Chase Bank, LOC State Street Bank & Trust Co., Boston, CP

4,850

4,850

Other Municipal Debt - continued

Principal Amount (000s)

Value (000s)

Texas - continued

Lower Colorado River Auth. Transmission Contract Rev. Bonds (LCRA Transmission Corp. Proj.) Series 2011 B, 1.5% 5/15/12

$ 4,395

$ 4,397

North Central Texas Health Facilities Dev. Corp. Bonds Series WF 09 33C, 0.2%, tender 7/25/12 (Liquidity Facility Wells Fargo & Co.) (a)(d)(e)

7,270

7,270

San Antonio Elec. & Gas Sys. Rev.:

Bonds Series 2006 A, 5% 2/1/13

1,200

1,243

Series A, 0.26% 5/29/12, CP

17,500

17,500

San Antonio Wtr. Sys. Rev.:

Bonds Series 2011 A, 3% 5/15/13

1,000

1,028

Series 2001 A:

0.16% 5/1/12, CP

9,287

9,287

0.16% 5/1/12, CP

10,000

10,000

0.16% 5/4/12, CP

9,500

9,500

0.32% 5/24/12, CP

2,600

2,600

Texas A&M Univ. Rev. Series 1993 B, 0.16% 5/4/12, CP

16,200

16,200

Texas Gen. Oblig.:

Bonds Series 2011, 3% 10/1/12

1,600

1,619

Series 2011 B:

0.17% 8/30/12 (Liquidity Facility Texas Comptroller Pub. Accounts), CP

11,100

11,100

0.17% 8/30/12 (Liquidity Facility Texas Comptroller Pub. Accounts), CP

5,400

5,400

0.17% 8/30/12 (Liquidity Facility Texas Comptroller Pub. Accounts), CP

8,300

8,300

0.17% 8/30/12 (Liquidity Facility Texas Comptroller Pub. Accounts), CP

5,200

5,200

0.17% 8/30/12 (Liquidity Facility Texas Comptroller Pub. Accounts), CP

14,500

14,500

0.18% 8/30/12 (Liquidity Facility Texas Comptroller Pub. Accounts), CP

8,500

8,500

0.18% 8/30/12 (Liquidity Facility Texas Comptroller Pub. Accounts), CP

7,800

7,800

0.18% 8/30/12 (Liquidity Facility Texas Comptroller Pub. Accounts), CP

14,000

14,000

TRAN Series 2011 A, 2.5% 8/30/12

29,385

29,613

Texas Pub. Fin. Auth. Rev. Bonds Series 2010 A, 5% 7/1/12

5,000

5,040

Texas Trans. Commission State Hwy. Fund Rev. Bonds Series 2007, 5% 4/1/13

1,000

1,044

Univ. of Texas Board of Regents Sys. Rev.:

Bonds Series 2010 A, 4% 8/15/12

1,950

1,971

Other Municipal Debt - continued

Principal Amount (000s)

Value (000s)

Texas - continued

Univ. of Texas Board of Regents Sys. Rev.: - continued

Series 2002 A, 0.14% 8/6/12 (Liquidity Facility Univ. of Texas Invt. Mgmt. Co.), CP

$ 10,000

$ 10,000

Victoria Independent School District Bonds Series WF 08 26C, 0.2%, tender 7/25/12 (Liquidity Facility Wells Fargo & Co.) (a)(d)(e)

12,320

12,320

 

342,327

Utah - 0.8%

Intermountain Pwr. Agcy. Pwr. Supply Rev.:

Series 1997 B1, 0.15% 8/15/12 (Liquidity Facility Bank of Nova Scotia), CP

6,800

6,800

Series 1997 B2, 0.12% 6/5/12 (Liquidity Facility Bank of Nova Scotia), CP

5,160

5,160

Series 1997 B3, 0.15% 8/16/12 (Liquidity Facility JPMorgan Chase Bank), CP

40,700

40,700

Series 1998 B4, 0.16% 8/9/12 (Liquidity Facility JPMorgan Chase Bank), CP

2,940

2,940

Utah Gen. Oblig. Bonds Series 2002 B, 5.375% 7/1/12

7,200

7,262

 

62,862

Virginia - 1.1%

Fairfax County Gen. Oblig. Bonds Series 2004 B, 5% 10/1/12

1,000

1,020

Fairfax County Indl. Dev. Auth. Bonds Series 2009 A, 4% 5/15/12

1,000

1,001

Norfolk Econ. Dev. Auth. Hosp. Facilities Rev. Bonds (Sentara Healthcare Proj.):

Series 2010 C, 0.37%, tender 11/26/12 (a)

17,345

17,345

Series 2012 A, 0.33%, tender 11/26/12 (a)

13,145

13,145

Norfolk Econ. Dev. Auth. Rev. Series 1997, 0.18% 6/7/12, CP

8,700

8,700

Univ. of Virginia Gen. Rev.:

Bonds Series A:

0.13% tender 7/19/12, CP mode

11,010

11,010

0.13% tender 7/19/12, CP mode

11,000

11,000

Series 2003 A, 0.14% 7/16/12, CP

5,000

5,000

Virginia College Bldg. Auth. Edl. Facilities Rev. Bonds:

Series 2009 D, 5% 2/1/13

4,130

4,279

Series 2011 A, 3% 9/1/12

3,375

3,406

Virginia Commonwealth Trans. Board Rev. Bonds (Trans. Cap. Projects) Series 2010 A1, 5% 5/15/12

3,550

3,556

Other Municipal Debt - continued

Principal Amount (000s)

Value (000s)

Virginia - continued

Virginia Pub. Bldg. Auth. Pub. Facilities Rev. Bonds Series 2010 B1, 4% 8/1/12

$ 3,825

$ 3,861

Virginia Pub. School Auth. Bonds:

(Resolution Proj.) Series 2009 C, 4% 8/1/12

1,500

1,514

Series 1997 B, 5% 8/1/12

5,080

5,141

 

89,978

Washington - 0.7%

Central Puget Sound Reg'l. Trans. Auth. Sales & Use Tax Rev. Bonds Series WF 11 38, 0.2%, tender 7/25/12 (Liquidity Facility Wells Fargo Bank NA) (a)(d)(e)

9,950

9,950

Energy Northwest Elec. Rev. Bonds Series 2008 D, 5% 7/1/12

3,505

3,533

King County Swr. Rev. Bonds Series 2010, 4% 1/1/13

3,080

3,158

Seattle Muni. Lt. & Pwr. Rev. Bonds Series 2008, 5% 4/1/13

3,000

3,131

Washington Gen. Oblig. Bonds:

Series 2011 C, 5% 7/1/12

5,100

5,140

Series 2012 D, 2% 2/1/13

9,835

9,969

Series 2012 E, 4% 2/1/13

4,080

4,197

Washington Pub. Pwr. Supply Sys. Nuclear Proj. #2 Rev. Bonds 5.4% 7/1/12 (Bonneville Pwr. Administration Guaranteed)

15,400

15,531

 

54,609

Wisconsin - 1.1%

Milwaukee Gen. Oblig.:

Bonds Series 2011 N3, 4% 5/15/12

11,300

11,316

Series C2, 0.18% 8/9/12, LOC State Street Bank & Trust Co., Boston, CP

4,000

4,000

Wisconsin Gen. Oblig.:

Bonds:

Series 1:

5% 5/1/12

6,000

6,000

5% 5/1/12

1,250

1,250

Series 2004 E, 4.25% 5/1/12

1,125

1,125

Series 2005 A, 0.15% 8/16/12 (Liquidity Facility State Street Bank & Trust Co., Boston) (Liquidity Facility California Teachers Retirement Sys.), CP

2,500

2,500

Series 2006 A:

0.15% 8/16/12 (Liquidity Facility State Street Bank & Trust Co., Boston) (Liquidity Facility California Teachers Retirement Sys.), CP

3,250

3,250

0.2% 8/10/12 (Liquidity Facility State Street Bank & Trust Co., Boston) (Liquidity Facility California Teachers Retirement Sys.), CP

13,900

13,900

Other Municipal Debt - continued

Principal Amount (000s)

Value (000s)

Wisconsin - continued

Wisconsin Gen. Oblig.: - continued

TAN Series 2011, 2% 6/15/12

$ 20,800

$ 20,845

Wisconsin Trans. Rev.:

Series 1997, 0.15% 8/16/12 (Liquidity Facility State Street Bank & Trust Co., Boston) (Liquidity Facility California Teachers Retirement Sys.), CP

10,341

10,341

Series 2006 A:

0.14% 8/9/12 (Liquidity Facility State Street Bank & Trust Co., Boston) (Liquidity Facility California Teachers Retirement Sys.), CP

9,850

9,850

0.2% 8/10/12 (Liquidity Facility State Street Bank & Trust Co., Boston) (Liquidity Facility California Teachers Retirement Sys.), CP

2,000

2,000

 

86,377

TOTAL OTHER MUNICIPAL DEBT


2,164,535

Investment Company - 3.2%

 

 

 

 

Fidelity Tax-Free Cash Central Fund, 0.25% (b)(c)

262,677


262,677

TOTAL INVESTMENT PORTFOLIO - 98.4%

(Cost $7,988,030)

7,988,030

NET OTHER ASSETS (LIABILITIES) - 1.6%

128,471

NET ASSETS - 100%

$ 8,116,501

Security Type Abbreviations

BAN

-

BOND ANTICIPATION NOTE

CP

-

COMMERCIAL PAPER

RAN

-

REVENUE ANTICIPATION NOTE

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)

Legend

(a) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

(b) Information in this report regarding holdings by state and security types does not reflect the holdings of the Fidelity Tax-Free Cash Central Fund.

(c) Affiliated fund that is 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 are available on the SEC's website or upon request.

(d) Provides evidence of ownership in one or more underlying municipal bonds.

(e) Restricted securities - 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 $81,545,000 or 1.0% of net assets.

Additional information on each restricted holding is as follows:

Security

Acquisition Date

Cost
(000s)

Belmont Redwood Shores CA School District Bonds Series WF 11 105 C, 0.2%, tender 7/25/12 (Liquidity Facility Wells Fargo Bank NA)

9/29/11

$ 10,350

Central Puget Sound Reg'l. Trans. Auth. Sales & Use Tax Rev. Bonds Series WF 11 38, 0.2%, tender 7/25/12 (Liquidity Facility Wells Fargo Bank NA)

3/24/11

$ 9,950

Security

Acquisition Date

Cost
(000s)

Frisco Independent School District Bonds Series WF 11 1C, 0.2%, tender 7/25/12 (Liquidity Facility Wells Fargo Bank NA)

1/25/12

$ 6,870

Mississippi Hosp. Equip. & Facilities Auth. Bonds (Baptist Memorial Health Care Proj.) Series 2004 B2, 0.19%, tender 7/11/12

1/5/12

$ 8,600

North Central Texas Health Facilities Dev. Corp. Bonds Series WF 09 33C, 0.2%, tender 7/25/12 (Liquidity Facility Wells Fargo & Co.)

8/18/11

$ 7,270

Palm Beach County Solid Waste Auth. Rev. Bonds Series WF 11 118, 0.2%, tender 7/25/12 (Liquidity Facility Wells Fargo Bank NA)

10/27/11 - 12/2/11

$ 26,185

Victoria Independent School District Bonds Series WF 08 26C, 0.2%, tender 7/25/12 (Liquidity Facility Wells Fargo & Co.)

8/18/11

$ 12,320

Affiliated Central Funds

Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:

Fund

Income earned
(Amounts in thousands)

Fidelity Tax-Free Cash Central Fund

$ 288

Other Information

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.

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 those securities. For more information on valuation inputs, please refer to the Security Valuation section in the accompanying Notes to Financial Statements.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Tax-Exempt Fund

Financial Statements

Statement of Assets and Liabilities

 Amounts in thousands (except per-share amounts)

April 30, 2012 (Unaudited)

 

 

 

Assets

Investment in securities, at value - See accompanying schedule:

Unaffiliated issuers (cost $7,725,353)

$ 7,725,353

 

Fidelity Central Funds (cost $262,677)

262,677

 

Total Investments (cost $7,988,030)

 

$ 7,988,030

Cash

 

956

Receivable for investments sold

134,771

Receivable for fund shares sold

149,042

Interest receivable

12,680

Distributions receivable from Fidelity Central Funds

51

Prepaid expenses

6

Receivable from investment adviser for expense reductions

137

Other receivables

39

Total assets

8,285,712

 

 

 

Liabilities

Payable for investments purchased

$ 71,690

Payable for fund shares redeemed

91,638

Distributions payable

2

Accrued management fee

1,484

Other affiliated payables

4,305

Other payables and accrued expenses

92

Total liabilities

169,211

 

 

 

Net Assets

$ 8,116,501

Net Assets consist of:

 

Paid in capital

$ 8,116,186

Accumulated undistributed net realized gain (loss) on investments

315

Net Assets

$ 8,116,501

 

 

 

Daily Money Class:
Net Asset Value, offering price and redemption price per share ($485,611 ÷ 485,132 shares)

$ 1.00

 

 

 

Capital Reserves Class:
Net Asset Value, offering price and redemption price per share ($362,976 ÷ 362,627 shares)

$ 1.00

 

 

 

Fidelity Tax-Free Money Market Fund:
Net Asset Value, offering price and redemption price per share ($7,267,914 ÷ 7,264,040 shares)

$ 1.00

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Tax-Exempt Fund
Financial Statements - continued

Statement of Operations

 Amounts in thousands

Six months ended April 30, 2012 (Unaudited)

 

  

  

Investment Income

  

  

Interest

 

$ 6,017

Income from Fidelity Central Funds

 

288

Total income

 

6,305

 

 

 

Expenses

Management fee

$ 10,126

Transfer agent fees

8,102

Distribution and service plan fees

1,638

Accounting fees and expenses

335

Custodian fees and expenses

52

Independent trustees' compensation

15

Registration fees

387

Audit

25

Legal

14

Miscellaneous

20

Total expenses before reductions

20,714

Expense reductions

(14,813)

5,901

Net investment income (loss)

404

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers

304

Net increase in net assets resulting from operations

$ 708

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Statement of Changes in Net Assets

 Amounts in thousands

Six months ended April 30, 2012
(Unaudited)

Year ended
October 31,
2011

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 404

$ 747

Net realized gain (loss)

304

63

Net increase in net assets resulting
from operations

708

810

Distributions to shareholders from net investment income

(404)

(747)

Share transactions - net increase (decrease)

160,027

1,070,916

Total increase (decrease) in net assets

160,331

1,070,979

 

 

 

Net Assets

Beginning of period

7,956,170

6,885,191

End of period

$ 8,116,501

$ 7,956,170

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Daily Money Class

 

Six months ended April 30, 2012

Years ended October 31,

 

(Unaudited)

2011

2010

2009

2008

2007

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss)

  - G

  - G

  - G

  .001

  .019

  .030

Net realized and unrealized gain (loss) G

  -

  -

  -

  -

  -

  -

Total from investment operations

  - G

  - G

  - G

  .001

  .019

  .030

Distributions from net investment income

  - G

  - G

  - G

  (.001)

  (.019)

  (.030)

Distributions from net realized gain

  -

  -

  -

  -

  -G

  -

Total distributions

  - G

  - G

  - G

  (.001)

  (.019)

  (.030)

Net asset value, end of period

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

Total Return B,C

  -%E

  .01%

  .01%

  .06%

  1.87%

  3.07%

Ratios to Average Net Assets D,F

 

 

 

 

 

Expenses before reductions

  .72% A

  .72%

  .72%

  .76%

  .73%

  .73%

Expenses net of fee waivers, if any

  .15% A

  .21%

  .28%

  .60%

  .70%

  .70%

Expenses net of all reductions

  .15% A

  .21%

  .28%

  .59%

  .61%

  .54%

Net investment income (loss)

  .01% A

  .01%

  .01%

  .05%

  1.81%

  3.03%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 486

$ 525

$ 508

$ 597

$ 922

$ 895

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

E Amount represents less than .01%.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed or waived or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement and waivers but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

G Amount represents less than $.001 per share.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Capital Reserves Class

 

Six months ended April 30, 2012

Years ended October 31,

 

(Unaudited)

2011

2010

2009

2008

2007

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss)

  - G

  - G

  - G

  - G

  .016

  .028

Net realized and unrealized gain (loss) G

  -

  -

  -

  -

  -

  -

Total from investment operations

  - G

  - G

  - G

  - G

  .016

  .028

Distributions from net investment income

  - G

  - G

  - G

  - G

  (.016)

  (.028)

Distributions from net realized gain

  -

  -

  -

  -

  -G

  -

Total distributions

  - G

  - G

  - G

  - G

  (.016)

  (.028)

Net asset value, end of period

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

Total Return B,C

  -%E

  .01%

  .01%

  .02%

  1.62%

  2.81%

Ratios to Average Net Assets D,F

 

 

 

 

 

Expenses before reductions

  .98% A

  .97%

  .97%

  1.01%

  .98%

  .98%

Expenses net of fee waivers, if any

  .15% A

  .22%

  .28%

  .63%

  .95%

  .95%

Expenses net of all reductions

  .15% A

  .22%

  .28%

  .63%

  .86%

  .82%

Net investment income (loss)

  .01% A

  .01%

  .01%

  .02%

  1.56%

  2.74%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 363

$ 399

$ 371

$ 452

$ 660

$ 508

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

E Amount represents less than .01%.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed or waived or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement and waivers but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

G Amount represents less than $.001 per share.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Fidelity Tax-Free Money Market Fund

 

Six months ended April 30, 2012

Years ended October 31,

 

(Unaudited)

2011

2010

2009

2008

2007

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss)

  - G

  - G

  - G

  .002

  .021

  .033

Net realized and unrealized gain (loss) G

  -

  -

  -

  -

  -

  -

Total from investment operations

  - G

  - G

  - G

  .002

  .021

  .033

Distributions from net investment income

  - G

  - G

  - G

  (.002)

  (.021)

  (.033)

Distributions from net realized gain

  -

  -

  -

  -

  -G

  -

Total distributions

  - G

  - G

  - G

  (.002)

  (.021)

  (.033)

Net asset value, end of period

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

Total Return B,C

  -%E

  .01%

  .01%

  .18%

  2.13%

  3.32%

Ratios to Average Net Assets D,F

 

 

 

 

 

Expenses before reductions

  .47% A

  .47%

  .47%

  .51%

  .48%

  .48%

Expenses net of fee waivers, if any

  .15% A

  .21%

  .28%

  .47%

  .45%

  .45%

Expenses net of all reductions

  .15% A

  .21%

  .28%

  .46%

  .36%

  .29%

Net investment income (loss)

  .01% A

  .01%

  .01%

  .18%

  2.06%

  3.28%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 7,268

$ 7,032

$ 6,006

$ 5,918

$ 6,784

$ 4,346

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

E Amount represents less than .01%.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed or waived or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement and waivers but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

G Amount represents less than $.001 per share.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Notes to Financial Statements

For the period ended April 30, 2012 (Unaudited)

(Amounts in thousands except percentages)

1. Organization.

Treasury Fund (Treasury), Prime Fund (Prime) and Tax-Exempt Fund (Tax-Exempt) (collectively referred to as "the Funds") are funds of Fidelity Newbury 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. Treasury offers three classes of shares, Daily Money Class, Capital Reserves Class and Advisor C Class. Prime offers two classes of shares, Daily Money Class and Capital Reserves Class. Tax-Exempt offers three classes of shares, Daily Money Class, Capital Reserves Class and Fidelity® Tax-Free Money Market Fund. Effective after the close of business on September 1, 2010, Advisor B Class shares were closed to new accounts and additional purchases, except for exchanges and reinvestments. Each class, along with Advisor B Class, has equal rights as to assets and voting privileges and has exclusive voting rights with respect to matters that affect that class. Advisor B Class shares will automatically convert to Daily Money Class shares after a holding period of seven years from the initial date of purchase. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class.

2. Investments in Fidelity Central Funds.

The Funds may invest in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The Funds' Schedules of Investments list each of the Fidelity Central Funds held as of period end, if any, as an investment of each Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, each Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR.

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC web site or upon request.

Semiannual Report

3. Significant Accounting Policies.

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. The following summarizes the significant accounting policies of the Funds:

Security Valuation. Each Fund categorizes the inputs to valuation techniques used to value their investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - 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. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities.

Expenses. 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. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

3. Significant Accounting Policies - continued

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan) for Prime and Tax-Exempt, independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.

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 income taxes is required. Each Fund files a U.S. federal tax return, in addition to state and local tax returns as required. A 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.

Dividends 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 dividends 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.

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. Temporary book-tax differences will reverse in a subsequent period.

Book-tax differences are primarily due to deferred trustees compensation and capital loss carryforwards.

Tax-Exempt 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.

Semiannual Report

3. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders - continued

The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows for each Fund:

 

Tax cost

Gross unrealized appreciation

Gross unrealized depreciation

Net unrealized appreciation
(depreciation) on securities and other investments

Treasury

$ 5,145,887

$ -

$ -

$ -

Prime

17,237,057

-

-

-

Tax-Exempt

7,988,030

-

-

-

4. Operating Policies.

Repurchase Agreements. FMR has received an Exemptive Order from the SEC which permits the Funds and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Funds may also invest directly with institutions in repurchase agreements. Repurchase agreements are 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. Each applicable Fund monitors, on a daily basis, the value of the collateral 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.

Reverse Repurchase Agreements. To enhance their yield, the Funds may enter into reverse repurchase agreements whereby a fund transfers securities to a counterparty who then agrees to transfer them back to the applicable fund at a future date and agreed upon price, reflecting a rate of interest below market rate. Securities sold under a reverse repurchase agreement, if any, are recorded as a liability in each applicable fund's accompanying Statement of Assets and Liabilities. A fund receives cash proceeds, which are invested in other securities, and agrees to repay the proceeds plus any accrued interest in return for the same securities transferred. A fund continues to receive interest payments on the transferred securities during the term of the reverse repurchase agreement. During the period that a reverse repurchase agreement is outstanding each applicable fund identifies cash and liquid securities as segregated in its custodian records with a value at least equal to its obligation under the agreement. If the counterparty defaults on its obligation, because of insolvency or other reasons, the Fund could experience delays and costs in recovering the security or in gaining access to the collateral. At period end, there were no reverse repurchase agreements outstanding.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

4. Operating Policies - continued

Restricted Securities. The 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 is included at the end of each applicable Fund's Schedule of Investments.

5. Fees and Other Transactions with Affiliates.

Management Fee. FMR 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 .25% of average net assets.

Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:

Treasury

Distribution
Fee

Service
Fee

Total Fees

Retained
by FDC

Daily Money Class

-%

.25%

$ 4,874

$ -

Capital Reserves Class

.25%

.25%

3,535

-

Advisor B Class

.75%

.25%

176

-

Advisor C Class

.75%

.25%

565

-

 

 

 

$ 9,150

$ -

Prime

 

 

 

 

Daily Money Class

-%

.25%

$ 10,499

$ -

Capital Reserves Class

.25%

.25%

23,310

-

 

 

 

$ 33,809

$ -

Tax-Exempt

 

 

 

 

Daily Money Class

-%

.25%

$ 628

$ -

Capital Reserves Class

.25%

.25%

1,010

-

 

 

 

$ 1,638

$ -

During the period, FMR or its affiliates waived a portion of these fees.

Semiannual Report

5. Fees and Other Transactions with Affiliates - continued

Sales Load. FDC receives the proceeds of contingent deferred sales charges levied on Treasury - Advisor B and Advisor C class redemptions. These charges depend on the holding period. The deferred sales charges range from 5.00% to 1.00% for Treasury - Advisor B and 1.00% for Treasury - Advisor C. In addition, FDC receives deferred sales charges of .25% on certain purchases of the Daily Money Class.

For the period, sales charge amounts retained by FDC were as follows:

 

Retained by FDC

Treasury

Daily Money Class

$ 1

Advisor B Class *

67

Advisor C Class*

27

Prime

Daily Money Class

7

Tax-Exempt

Daily Money Class

-

* When shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.

Transfer Agent. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for Treasury and Prime. Citibank, N.A. (Citibank) is the custodian, transfer agent and servicing agent for Tax-Exempt. Citibank has entered into a sub-arrangement with FIIOC to perform the activities associated with Tax-Exempt's transfer agency and shareholder servicing functions. FIIOC receives asset-based fees with respect to each account. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. Each class pays a transfer agent fee equal to an annual rate of .20% of average net assets. For the period, transfer agent fees for each class were as follows:

Treasury - Daily Money Class

$ 3,910

Treasury - Capital Reserves Class

1,415

Treasury - Advisor B Class

36

Treasury - Advisor C Class*

114

 

$ 5,475

Prime - Daily Money Class

$ 8,429

Prime - Capital Reserves Class

9,325

 

$ 17,754

Tax-Exempt - Daily Money Class

$ 503

Tax-Exempt - Capital Reserves Class

404

Tax-Exempt - Fidelity Tax-Free Money Market Fund

7,195

 

$ 8,102

During the period, FMR or its affiliates waived a portion of these fees.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

5. Fees and Other Transactions with Affiliates - continued

Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, maintains the accounting records for the Funds except for Tax-Exempt. Citibank has entered into a sub-arrangement with FSC to maintain Tax-Exempt's accounting records. The fee is based on the level of average net assets for each month.

6. Expense Reductions.

FMR voluntarily agreed to reimburse each class to the extent annual operating expenses exceeded certain levels of average net assets as noted in the table below. Some expenses, for example interest expense, are excluded from this reimbursement.

The following classes of each applicable Fund were in reimbursement during the period:

 

Expense
Limitations

Reimbursement
from Adviser

Prime

 

Daily Money Class

.70%

$ 1,661

Capital Reserves Class

.95%

1,869

Tax-Exempt

 

Daily Money Class

.70%

62

Capital Reserves Class

.95%

52

Fidelity Tax-Free Money Market Fund

.45%

831

Additionally, FMR or its affiliates voluntarily agreed to waive certain fees in order to maintain a minimum annualized yield of .01%. Such arrangements may be discontinued by FMR at any time. For the period, the amount of the waiver for each class was as follows:

Treasury

Daily Money Class

$ 12,311

Capital Reserves Class

6,225

Advisor B Class

244

Advisor C Class

781

Prime

Daily Money Class

14,555

Capital Reserves Class

27,739

Tax-Exempt

Daily Money Class

1,385

Capital Reserves Class

1,618

Fidelity Tax-Free Money Market Fund

10,864

Semiannual Report

6. Expense Reductions - continued

In addition, through arrangements with each applicable Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. All of the applicable expense reductions are noted in the table below.

 

Custody
expense
reduction

Tax-Exempt

$ 1

7. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

Six months ended
April 30, 2012

Year ended
October 31, 2011

From net investment income

 

 

Treasury - Daily Money Class

$ 193

$ 238

Treasury - Capital Reserves Class

71

110

Treasury - Advisor B Class

2

4

Treasury - Advisor C Class

6

11

Total

$ 272

$ 363

Prime - Daily Money Class

$ 418

$ 883

Prime - Capital Reserves Class

464

918

Total

$ 882

$ 1,801

Tax-Exempt - Daily Money Class

$ 25

$ 51

Tax-Exempt - Capital Reserves Class

20

36

Tax-Exempt - Fidelity Tax-Free Money Market Fund

359

660

Total

$ 404

$ 747

8. Share Transactions.

Transactions for each class of shares at a $1.00 per share were as follows:

Six months ended
April 30, 2012

Year ended
October 31, 2011

Treasury - Daily Money Class
Shares sold

 

7,472,671

 

11,349,815

Reinvestment of distributions

174

226

Shares redeemed

(7,698,152)

(9,646,153)

Net increase (decrease)

(225,307)

1,703,888

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

8. Share Transactions - continued

Six months ended
April 30, 2012

Year ended
October 31, 2011

Treasury - Capital Reserves Class
Shares sold

 

2,153,164

 

3,425,343

Reinvestment of distributions

59

100

Shares redeemed

(2,103,079)

(3,251,145)

Net increase (decrease)

50,144

174,298

Treasury - Advisor B Class
Shares sold

 

5,129

 

24,999

Reinvestment of distributions

2

4

Shares redeemed

(12,254)

(33,739)

Net increase (decrease)

(7,123)

(8,736)

Treasury - Advisor C Class
Shares sold

 

41,108

 

155,522

Reinvestment of distributions

5

10

Shares redeemed

(62,946)

(134,679)

Net increase (decrease)

(21,833)

20,853

Prime - Daily Money Class
Shares sold

 

14,299,131

 

33,868,983

Reinvestment of distributions

393

857

Shares redeemed

(14,679,088)

(34,155,511)

Net increase (decrease)

(379,564)

(285,671)

Prime - Capital Reserves Class
Shares sold

 

17,346,574

 

36,680,214

Reinvestment of distributions

430

896

Shares redeemed

(17,256,096)

(36,811,686)

Net increase (decrease)

90,908

(130,576)

Tax-Exempt - Daily Money Class
Shares sold

 

668,127

 

1,710,214

Reinvestment of distributions

24

49

Shares redeemed

(707,078)

(1,693,548)

Net increase (decrease)

(38,927)

16,715

Tax-Exempt - Capital Reserves Class
Shares sold

 

846,697

 

1,946,190

Reinvestment of distributions

18

36

Shares redeemed

(882,976)

(1,918,448)

Net increase (decrease)

(36,261)

27,778

Tax-Exempt - Fidelity Tax-Free Money Market Fund
Shares sold

 

11,795,938

 

25,532,133

Reinvestment of distributions

352

652

Shares redeemed

(11,561,075)

(24,506,362)

Net increase (decrease)

235,215

1,026,423

Semiannual Report

9. Other.

The Funds' 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 Funds. In the normal course of business, the Funds may also enter into contracts that provide general indemnifications. The Funds' maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Funds. The risk of material loss from such claims is considered remote.

Semiannual Report

Investment Adviser

Fidelity Management & Research Company

Boston, MA

Sub-Advisers

Fidelity Investments
Money Management, Inc.

Fidelity Management & Research
(Hong Kong) Limited

Fidelity Management & Research
(Japan) Inc.

Fidelity Management & Research
(U.K.) Inc.

General Distributor

Fidelity Distributors Corporation

Boston, MA

Transfer and Service Agents

Fidelity Investments Institutional
Operations Company, Inc.

Boston, MA

Fidelity Service Company, Inc.

Boston, MA

Citibank, N.A.

New York, NY (Tax-Exempt Fund)

Custodian

The Bank of New York Mellon

New York, NY (Prime Fund &
Treasury Fund)

Citibank, N.A.

New York, NY (Tax-Exempt Fund) 

DMFI-SANN-0612
1.703547.114

(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
82 Devonshire St., Boston, MA 02109
www.fidelity.com

Fidelity®
Tax-Free Money Market
Fund

A Class of Fidelity
Cash Management Funds:
Tax-Exempt Fund

Semiannual Report

April 30, 2012

(Fidelity Cover Art)

Contents

Shareholder Expense Example

(Click Here)

An example of shareholder expenses.

Investment Changes/Performance

(Click Here)

A summary of major shifts in the fund's investments over the past six months and one year.

Investments

(Click Here)

A complete list of the fund's investments with their values.

Financial Statements

(Click Here)

Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights.

Notes

(Click Here)

Notes to the financial statements.

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 1-800-544-8544 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.

This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund 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-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q 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.advisor.fidelity.com, or http://www.401k.com, as applicable.

NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE

Neither the fund nor Fidelity Distributors Corporation is a bank.

Semiannual Report

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including 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 the 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 (November 1, 2011 to April 30, 2012).

Actual Expenses

The first line of the accompanying table for each class of the Fund 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 of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's 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 for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' 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. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's 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.

Semiannual Report

Shareholder Expense Example - continued

 

Annualized Expense Ratio

Beginning
Account Value
November 1, 2011

Ending
Account Value
April 30, 2012

Expenses Paid
During Period*
November 1, 2011 to April 30, 2012

Daily Money Class

.15%

 

 

 

Actual

 

$ 1,000.00

$ 1,000.05

$ .75**

HypotheticalA

 

$ 1,000.00

$ 1,024.12

$ .75**

Capital Reserves Class

.15%

 

 

 

Actual

 

$ 1,000.00

$ 1,000.05

$ .75**

HypotheticalA

 

$ 1,000.00

$ 1,024.12

$ .75**

Fidelity Tax-Free Money Market Fund

.15%

 

 

 

Actual

 

$ 1,000.00

$ 1,000.05

$ .75**

HypotheticalA

 

$ 1,000.00

$ 1,024.12

$ .75**

A 5% return per year before expenses

* Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).

** If certain fees were not voluntarily waived by FMR or its affiliates during the period, the annualized expense ratio and the expenses paid in the actual and hypothetical examples above would have been as follows:

 

Annualized
Expense Ratio

Expenses
Paid

Daily Money Class

.70%

 

Actual

 

$ 3.48

HypotheticalA

 

$ 3.52

Capital Reserves Class

.95%

 

Actual

 

$ 4.71

HypotheticalA

 

$ 4.77

Fidelity Tax-Free Money Market Fund

.45%

 

Actual

 

$ 2.24

HypotheticalA

 

$ 2.26

A 5% return per year before expenses

Semiannual Report

Investment Changes/Performance (Unaudited)

Effective Maturity Diversification

Days

% of fund's investments 4/30/12

% of fund's investments 10/31/11

% of fund's investments 4/30/11

1 - 7

75.7

84.4

81.9

8 - 30

4.0

1.2

3.1

31 - 60

7.2

2.3

5.1

61 - 90

4.0

3.1

5.2

91 - 180

6.6

2.3

3.6

> 180

2.5

6.7

1.1

Effective maturity is determined in accordance with the requirements of Rule 2a-7 under the Investment Company Act of 1940.

Weighted Average Maturity

 

4/30/12

10/31/11

4/30/11

Tax-Exempt Fund

26 Days

29 Days

19 Days

All Tax-Free Money Market Funds Average*

26 Days

33 Days

26 Days

This is a weighted average of all the maturities of the securities held in a fund. Weighted Average Maturity (WAM) can be used as a measure of sensitivity to interest rate changes and market changes. Generally, the longer the maturity, the greater the sensitivity to such changes. WAM is based on the dollar-weighted average length of time until principal payments must be paid. Depending on the types of securities held in a fund, certain maturity shortening devices (e.g., demand features, interest rate resets, and call options) may be taken into account when calculating the WAM.

Weighted Average Life

 

4/30/12

10/31/11

4/30/11

Tax-Exempt Fund

26 Days

29 Days

19 Days

Weighted Average Life (WAL) is the weighted average of the life of the securities held in a fund or portfolio and can be used as a measure of sensitivity to changes in liquidity and/or credit risk. Generally, the higher the value, the greater the sensitivity. WAL is based on the dollar-weighted average length of time until 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. The difference between WAM and WAL is that WAM takes into account interest rate resets and WAL does not. WAL for money market funds is not the same as WAL of a mortgage- or asset-backed security.

Asset Allocation (% of fund's net assets)

As of April 30, 2012

As of October 31, 2011

nwb15

Variable Rate
Demand Notes
(VRDNs) 68.5%

 

nwb15

Variable Rate
Demand Notes
(VRDNs) 67.8%

 

nwb59

Other
Municipal Debt 26.7%

 

nwb59

Other
Municipal Debt 18.0%

 

nwb62

Investment
Companies 3.2%

 

nwb62

Investment
Companies 14.6%

 

nwb23

Net Other Assets (Liabilities) 1.6%

 

nwb21

Net Other Assets
(Liabilities) † (0.4)%

 

nwb82

* Source: iMoneyNet, Inc.

† Net Other Assets are not included in the pie chart.

Current and Historical Seven-Day Yields

 

4/30/12

1/30/12

10/31/11

8/1/11

5/2/11

 

 

 

 

 

 

Fidelity Daily Money Class

0.01%

0.01%

0.01%

0.01%

0.01%

 

 

 

 

 

 

 

 

 

 

 

 

Fidelity Capital Reserves Class

0.01%

0.01%

0.01%

0.01%

0.01%

 

 

 

 

 

 

Fidelity Tax-Free Money Market Class

0.01%

0.01%

0.01%

0.01%

0.01%

Yield refers to the income paid by the fund over a given period. Yields for money market funds are usually for seven-day periods, as they are here, though they are expressed as annual percentage rates. 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 April 30, 2012, the most recent period shown in the table, would have been -0.48% for Daily Money Class, -0.73% for Capital Reserves Class and -0.22% for Tax-Free Money Market Class.

Semiannual Report

Investments April 30, 2012 (Unaudited)

Showing Percentage of Net Assets

Variable Rate Demand Note - 68.5%

Principal Amount (000s)

Value (000s)

Alabama - 0.5%

Birmingham Spl. Care Facilities Auth. Rev. (Methodist Home for the Aging Proj.) Series 2010, 0.25% 5/7/12, LOC Branch Banking & Trust Co., VRDN (a)

$ 5,225

$ 5,225

Columbia Indl. Dev. Board Poll. Cont. Rev. (Alabama Pwr. Co. Proj.):

Series 1995 C, 0.28% 5/1/12, VRDN (a)

9,000

9,000

Series 1995 E, 0.29% 5/1/12, VRDN (a)

8,900

8,900

Daphne-Villa Mercy Spl. Care Facilities Fing. Auth. Rev. (Mercy Med. Hosp. Proj.) 0.25% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

2,900

2,900

Mobile Indl. Dev. Board Dock & Wharf Rev. (Holnam, Inc. Proj.):

Series 1999 A, 0.29% 5/7/12, LOC Bayerische Landesbank Girozentrale, VRDN (a)

3,455

3,455

Series 1999 B, 0.23% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

5,800

5,800

Mobile Indl. Dev. Board Exempt Facilities Rev. Series 1997, 0.25% 5/7/12 (Kimberly-Clark Corp. Guaranteed), VRDN (a)

4,000

4,000

Mobile Indl. Dev. Board Solid Waste Disp. Rev. (Alabama Pwr. Co. Barry Plant Proj.) Second Series 2009, 0.29% 5/2/12, VRDN (a)

1,700

1,700

 

40,980

Alaska - 1.4%

Alaska Hsg. Fin. Corp. Participating VRDN Series Solar 06 22, 0.23% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

4,515

4,515

Alaska Indl. Dev. & Export Auth. Rev.:

(Greater Fairbanks Cmnty. Hosp. Foundation Proj.) Series 2009 A, 0.25% 5/7/12, LOC Union Bank of California, VRDN (a)

32,725

32,725

Participating VRDN Series WF 11 132C, 0.25% 5/7/12 (Liquidity Facility Wells Fargo Bank NA) (a)(d)

8,680

8,680

Anchorage Wastewtr. Rev. Participating VRDN Series Solar 07 97, 0.24% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

24,680

24,680

Eclipse Fdg. Trust Cus. Rpt. Various States Participating VRDN Series Solar 06 33, 0.24% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

12,075

12,075

Valdez Marine Term. Rev.:

(ConocoPhillips Proj.) Series 1994 A, 0.3% 5/7/12 (ConocoPhillips Guaranteed), VRDN (a)

12,000

12,000

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Alaska - continued

Valdez Marine Term. Rev.: - continued

(Phillips Trans. Alaska, Inc. Proj.):

Series 1994 B, 0.26% 5/7/12 (ConocoPhillips Guaranteed), VRDN (a)

$ 13,105

$ 13,105

Series 1994 C, 0.3% 5/7/12 (ConocoPhillips Guaranteed), VRDN (a)

4,500

4,500

 

112,280

Arizona - 1.8%

Arizona Health Facilities Auth. Rev.:

(Banner Health Sys. Proj.) Series 2008 F, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

4,160

4,160

(Catholic Healthcare West Proj.) Series 2005 B, 0.24% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

10,980

10,980

Arizona Health Facilities Auth. Sr. Living Rev. (Royal Oaks Life Care Cmnty. Proj.) Series 2008, 0.38% 5/7/12, LOC Bank of America NA, VRDN (a)

4,575

4,575

Arizona School Facilities Board Rev. Participating VRDN Series BC 11 102W, 0.27% 5/7/12 (Liquidity Facility Barclays Bank PLC) (a)(d)

6,500

6,500

Arizona Trans. Board Excise Tax Rev. Participating VRDN Series MT 726, 0.31% 5/7/12 (Liquidity Facility Bank of America NA) (a)(d)

14,120

14,120

Glendale Indl. Dev. Auth. (Midwestern Univ. Proj.) Series 2008, 0.26% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

6,400

6,400

Maricopa County Indl. Dev. Auth. Rev. (Valley of the Sun YMCA Proj.) Series 2008, 0.25% 5/7/12, LOC U.S. Bank NA, Cincinnati, VRDN (a)

5,900

5,900

Pima County Indl. Dev. Auth. Indl. Rev. (Tucson Elec. Pwr. Co. Proj.) Series 1982 A, 0.25% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

8,100

8,100

Pima County Indl. Dev. Auth. Rev. (Broadway Proper Congregate Proj.) Series 2000 A, 0.24% 5/7/12, LOC Fed. Home Ln. Bank, San Francisco, VRDN (a)

4,200

4,200

Salt River Proj. Agricultural Impt. & Pwr. District Elec. Sys. Rev. Participating VRDN:

Series BC 10 21W, 0.27% 5/7/12 (Liquidity Facility Barclays Bank PLC) (a)(d)

5,000

5,000

Series EGL 06 0141, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

16,500

16,500

Series EGL 06 14 Class A, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

11,200

11,200

Series EGL 07 0012, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

13,850

13,850

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Arizona - continued

Salt River Proj. Agricultural Impt. & Pwr. District Elec. Sys. Rev. Participating VRDN: - continued

Series MS 3078, 0.4% 5/7/12 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(d)

$ 4,500

$ 4,500

Series Putters 3242, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

2,540

2,540

Series Putters 3708Z, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

8,695

8,695

Series RBC O1, 0.25% 5/7/12 (Liquidity Facility Royal Bank of Canada) (a)(d)

3,300

3,300

Series WF 09 40C, 0.25% 5/7/12 (Liquidity Facility Wells Fargo & Co.) (a)(d)

3,345

3,345

Tempe Transit Excise Tax Rev. Series 2006, 0.25% 5/7/12 (Liquidity Facility Royal Bank of Canada), VRDN (a)

5,620

5,620

Yuma Indl. Dev. Auth. Hosp. Rev. (Yuma Reg'l. Med. Ctr. Proj.) Series 2008, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

10,300

10,300

 

149,785

California - 4.5%

ABAG Fin. Auth. for Nonprofit Corps. Rev. (Schools of the Sacred Heart - San Francisco Proj.) Series 2008 B, 0.35% 5/7/12, LOC Bank of America NA, VRDN (a)

2,000

2,000

California Edl. Facilities Auth. Rev. Participating VRDN Series EGL 07 0066, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

4,200

4,200

California Gen. Oblig.:

Series 2004 A6, 0.25% 5/7/12, LOC Citibank NA, LOC California Teachers Retirement Sys., VRDN (a)

21,700

21,700

Series 2004 A7, 0.24% 5/7/12, LOC Citibank NA, LOC California Teachers Retirement Sys., VRDN (a)

6,040

6,040

Series 2004 B5, 0.23% 5/7/12, LOC Citibank NA, VRDN (a)

28,300

28,300

Series 2005 A2-1, 0.28% 5/7/12, LOC Barclays Bank PLC, VRDN (a)

20,000

20,000

Series 2005 B1, 0.25% 5/7/12, LOC Bank of America NA, VRDN (a)

12,500

12,500

Series B6, 0.25% 5/7/12, LOC Citibank NA, VRDN (a)

9,200

9,200

California Health Facilities Fing. Auth. Rev.:

(Catholic Healthcare West Proj.) Series 2004 K, 0.34% 5/7/12, LOC Bank of America NA, VRDN (a)

8,000

8,000

(Scripps Health Proj.) Series 2008 D, 0.27% 5/7/12, LOC Bank of America NA, VRDN (a)

28,810

28,810

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

California - continued

California Health Facilities Fing. Auth. Rev.: - continued

Participating VRDN:

Series Putters 3878 Q, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

$ 2,000

$ 2,000

Series Putters 4039, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

3,000

3,000

California Hsg. Fin. Agcy. Rev. (Multifamily Hsg. Prog.) Series 2000 D, 0.23% 5/7/12 (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac), VRDN (a)

3,865

3,865

California Infrastructure & Econ. Dev. Bank Rev. (The Contemporary Jewish Museum Proj.) Series 2006, 0.3% 5/1/12, LOC Bank of America NA, VRDN (a)

4,900

4,900

California Poll. Cont. Fing. Auth. Solid Waste Disp. Rev. (Recology, Inc. Proj.) Series 2010 A, 0.26% 5/7/12, LOC Bank of America NA, VRDN (a)

7,000

7,000

California Statewide Cmntys. Dev. Auth. Gas Supply Rev. Series 2010, 0.24% 5/7/12 (Liquidity Facility Royal Bank of Canada), VRDN (a)

11,200

11,200

California Statewide Cmntys. Dev. Auth. Rev. (American Baptist Homes of the West Proj.) Series 2006, 0.36% 5/7/12, LOC Bank of America NA, VRDN (a)

8,800

8,800

East Bay Muni. Util. District Wtr. Sys. Rev. Participating VRDN Series ROC II R 11950, 0.26% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

3,000

3,000

Eastern Muni. Wtr. District Wtr. and Swr. Rev. Ctfs. of Prtn. Participating VRDN Series ROC II R 11766, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

11,370

11,370

El Dorado Irrigation District Rev. Ctfs. of Prtn. Series 2008 A, 0.23% 5/7/12, LOC Citibank NA, VRDN (a)

28,960

28,960

Los Angeles Cmnty. College District Participating VRDN Series ROC II R 11727, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

4,500

4,500

Los Angeles Dept. Arpt. Rev. Participating VRDN Series Putters 4079Z, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

7,925

7,925

Los Angeles Dept. of Wtr. & Pwr. Rev. Participating VRDN Series Putters 3332, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

6,660

6,660

Los Angeles Gen. Oblig. Participating VRDN Series Putters 3930, 0.25% 5/1/12 (Liquidity Facility JPMorgan Chase & Co.) (a)(d)

6,700

6,700

Modesto Pub. Fing. Auth. Lease Rev. Series 2008 B, 0.26% 5/7/12, LOC Bank of America NA, VRDN (a)

5,000

5,000

Orange County Wtr. District Rev. Ctfs. of Prtn. Series 2003 A, 0.23% 5/7/12, LOC Citibank NA, VRDN (a)

5,625

5,625

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

California - continued

Riverside Elec. Rev.:

Series 2008 A, 0.24% 5/7/12, LOC Bank of America NA, VRDN (a)

$ 12,700

$ 12,700

Series 2008 C, 0.24% 5/7/12, LOC Bank of America NA, VRDN (a)

1,000

1,000

San Diego County Wtr. Auth. Wtr. Rev. Participating VRDN:

Series Putters 2903Z, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

6,850

6,850

Series Putters 3028, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

8,715

8,715

Series WF 08 29C, 0.25% 5/7/12 (Liquidity Facility Wells Fargo & Co.) (a)(d)

7,500

7,500

San Francisco Bay Area Rapid Transit Fing. Auth. Participating VRDN Series ROC II R 12318, 0.27% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

2,000

2,000

San Jose Multi-family Hsg. Rev. (Las Ventanas Apts. Proj.) Series 2008 B, 0.24% 5/7/12, LOC Freddie Mac, VRDN (a)

8,400

8,400

Santa Clara Elec. Rev. Series 2008 B. 0.27% 5/7/12, LOC Bank of America NA, VRDN (a)

27,760

27,760

Sonoma County Gen. Oblig. Participating VRDN Series Putters 4000, 0.25% 5/1/12 (Liquidity Facility JPMorgan Chase & Co.) (a)(d)

7,500

7,500

Southern California Pub. Pwr. Auth. Rev. (Palo Verde Proj.) Series 2008 B, 0.27% 5/7/12, LOC Citibank NA, VRDN (a)

8,970

8,970

Univ. of California Revs. Participating VRDN Series Putters 3365, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

4,055

4,055

Whittier Gen. Oblig. (Whittier College Proj.) Series 2008, 0.24% 5/7/12, LOC U.S. Bank NA, Cincinnati, VRDN (a)

9,200

9,200

 

365,905

Colorado - 1.8%

Aurora Hosp. Rev. (Children's Hosp. Assoc. Proj.) Series 2008 C, 0.25% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

12,800

12,800

Colorado Edl. & Cultural Facilities Auth. Rev. (Clyfford Still Museum Proj.) Series 2008, 0.24% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

5,800

5,800

Colorado Health Facilities Auth. Rev.:

(Boulder Cmnty. Hosp. Proj.) Series 2000, 0.26% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

32,930

32,930

Participating VRDN:

Series BA 08 1090, 0.31% 5/7/12 (Liquidity Facility Bank of America NA) (a)(d)

4,675

4,675

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Colorado - continued

Colorado Health Facilities Auth. Rev.: - continued

Series Putters 2999, 0.27% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

$ 6,250

$ 6,250

Colorado Reg'l. Trans. District Sales Tax Rev. Participating VRDN:

Series EGL 07 0036, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

12,500

12,500

Series EGL 07 0039, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

17,575

17,575

Series EGL 07 0040, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

9,800

9,800

Series MT 741, 0.31% 5/7/12 (Liquidity Facility Bank of America NA) (a)(d)

13,205

13,205

Denver Urban Renewal Auth. Tax Increment Rev. Series 2008 A1, 0.26% 5/7/12, LOC U.S. Bank NA, Cincinnati, VRDN (a)

6,500

6,500

Midcities Metropolitan District # 1 (Broomfield City & County Proj.) Series 2004 B, 0.7% 5/7/12, LOC BNP Paribas SA, VRDN (a)

2,900

2,900

Moffat County Poll. Cont. Rev. (PacifiCorp Proj.) Series 1994, 0.24% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

9,400

9,400

Univ. of Colorado Hosp. Auth. Rev. Series 2004 A, 0.27% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

9,400

9,400

 

143,735

Connecticut - 0.5%

Connecticut Gen. Oblig.:

Participating VRDN Series WF 11 89C, 0.25% 5/7/12 (Liquidity Facility Wells Fargo Bank NA) (a)(d)

7,000

7,000

Series 2004 A, 0.24% 5/7/12 (Liquidity Facility Landesbank Hessen-Thuringen), VRDN (a)

3,500

3,500

Connecticut Health & Edl. Facilities Auth. Rev. Participating VRDN:

Series EGL 7 05 3031, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

22,900

22,900

Series Putters 3363, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

4,800

4,800

 

38,200

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Delaware - 0.1%

Delaware Econ. Dev. Auth. Rev. (Delmarva Pwr. & Lt. Co. Proj.):

Series 1993 C, 0.47% 5/7/12, VRDN (a)

$ 3,500

$ 3,500

Series 1999 A, 0.49% 5/7/12, VRDN (a)

2,800

2,800

 

6,300

District Of Columbia - 0.7%

District of Columbia Gen. Oblig. Series 2008 C, 0.24% 5/7/12, LOC TD Banknorth, NA, VRDN (a)

7,900

7,900

District of Columbia Hsg. Fin. Agcy. Multi-family Hsg. Rev. (Pentacle Apts. Proj.) Series 2008, 0.24% 5/7/12, LOC Freddie Mac, VRDN (a)

3,635

3,635

District of Columbia Income Tax Rev. Participating VRDN Series WF 11 145C, 0.25% 5/7/12 (Liquidity Facility Wells Fargo Bank NA) (a)(d)

13,610

13,610

District of Columbia Rev.:

(American Society for Microbiology Proj.) Series 1999 A, 0.24% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

12,145

12,145

(American Univ. Proj.) Series 2008, 0.28% 5/1/12, LOC Bank of America NA, VRDN (a)

2,600

2,600

(The AARP Foundation Proj.) Series 2004, 0.32% 5/7/12, LOC Bank of America NA, VRDN (a)

8,500

8,500

(The Phillips Collection Issue Proj.) Series 2003, 0.49% 5/7/12, LOC Bank of America NA, VRDN (a)

4,905

4,905

District of Columbia Univ. Rev. (Georgetown Univ. Proj.) Series 2007 C1, 0.24% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

3,435

3,435

 

56,730

Florida - 4.9%

Broward County Fin. Auth. Multi-family Hsg. Rev. (Reflections Apts. Proj.) Series 1999, 0.25% 5/7/12, LOC Freddie Mac, VRDN (a)

5,940

5,940

Davie Gen. Oblig. Rev. (United Jewish Cmnty. Proj.) 0.31% 5/7/12, LOC Bank of America NA, VRDN (a)

1,890

1,890

Florida Board of Ed. Pub. Ed. Cap. Outlay Participating VRDN:

Series BBT 08 16, 0.23% 5/7/12 (Liquidity Facility Branch Banking & Trust Co.) (a)(d)

10,740

10,740

Series EGL 07 0049, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

29,585

29,585

Series EGL 7050054 Class A, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

18,840

18,840

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Florida - continued

Florida Board of Ed. Pub. Ed. Cap. Outlay Participating VRDN: - continued

Series MS 3059, 0.4% 5/7/12 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(d)

$ 5,615

$ 5,615

Series MT 728, 0.31% 5/7/12 (Liquidity Facility Bank of America NA) (a)(d)

10,000

10,000

Series Putters 3834 Z, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

9,000

9,000

Florida Gen. Oblig. Participating VRDN Series PZ 130, 0.27% 5/7/12 (Liquidity Facility Wells Fargo & Co.) (a)(d)

2,860

2,860

Florida Hsg. Fin. Corp. Multi-family Mtg. Rev.:

(Tuscany Pointe Apts. Proj.) Series 2005 D, 0.26% 5/7/12, LOC Fannie Mae, VRDN (a)

850

850

(Victoria Park Apts. Proj.) Series 2002 J, 0.26% 5/7/12, LOC Fannie Mae, VRDN (a)

5,850

5,850

Florida Muni. Ln. Council Rev. Participating VRDN Series Solar 06 81, 0.24% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

9,370

9,370

Florida Muni. Pwr. Agcy. Rev. (All-Requirements Pwr. Supply Proj.) Series 2008 C, 0.28% 5/1/12, LOC Bank of America NA, VRDN (a)

2,200

2,200

Fort Myers Util. Sys. Rev. Participating VRDN Series Solar 06 53, 0.23% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

12,590

12,590

Highlands County Health Facilities Auth. Rev. (Adventist Health Sys./Sunbelt, Inc. Prog.) Series 2003 B, 0.24% 5/7/12, LOC PNC Bank NA, VRDN (a)

1,965

1,965

Jacksonville Health Facilities Auth. Hosp. Rev. (Baptist Med. Ctr. Proj.):

Series 2007 B, 0.24% 5/7/12, LOC Branch Banking & Trust Co., VRDN (a)

4,800

4,800

Series 2007 E, 0.24% 5/7/12, LOC Branch Banking & Trust Co., VRDN (a)

6,200

6,200

Jacksonville Hsg. Fin. Auth. Multi-family Hsg. Rev. (Augustine Apts. Proj.) 0.25% 5/7/12, LOC Fannie Mae, VRDN (a)

3,300

3,300

Orange County Health Facilities Auth. Rev. (The Nemours Foundation Proj.) Series 2009 B, 0.3% 5/7/12, LOC Bank of America NA, VRDN (a)

30,000

30,000

Orange County Indl. Dev. Auth. Indl. Dev. Rev. (Central Florida YMCA Proj.) Series 2002 A, 0.31% 5/7/12, LOC Bank of America NA, VRDN (a)

8,900

8,900

Orange County Sales Tax Rev. Participating VRDN Series WF 12 20C 0.25% 5/7/12 (Liquidity Facility Wells Fargo Bank NA) (a)(d)

15,900

15,900

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Florida - continued

Orlando & Orange County Expressway Auth. Rev.:

Series 2003 C2, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

$ 25,300

$ 25,300

Series 2008 B1, 0.24% 5/7/12, LOC Bank of America NA, VRDN (a)

24,525

24,525

Palm Beach County Rev.:

(Hospice of Palm Beach Proj.) Series 2001, 0.26% 5/7/12, LOC Northern Trust Co., VRDN (a)

6,500

6,500

(Morse Oblig. Group Proj.) Series 2003, 0.23% 5/7/12, LOC TD Banknorth, NA, VRDN (a)

1,035

1,035

(Planned Parenthood Proj.) Series 2002, 0.26% 5/7/12, LOC Northern Trust Co., VRDN (a)

2,700

2,700

(Raymond F. Kravis Ctr. Proj.) Series 2002, 0.24% 5/7/12, LOC Northern Trust Co., VRDN (a)

13,190

13,190

Palm Beach County Wtr. & Swr. Rev. Participating VRDN Series Putters 2622, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

1,775

1,775

Panama City Gen. Oblig. Participating VRDN Series Solar 2006 129, 0.24% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

8,920

8,920

Pinellas County Health Facilities Auth. Rev. (BayCare Health Sys. Proj.):

Series 2009 A2, 0.24% 5/7/12, LOC Northern Trust Co., VRDN (a)

15,750

15,750

Series 2009 A3, 0.24% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

13,875

13,875

Pinellas County Hsg. Fin. Auth. (Booker Creek Apts. Proj.) Series 2009, 0.26% 5/7/12, LOC Freddie Mac, VRDN (a)

5,150

5,150

Saint Petersburg Health Facilities Auth. Rev. (All Children's Hosp. Proj.):

Series 2005 A1, 0.24% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

12,100

12,100

Series 2005 A2, 0.24% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

6,100

6,100

Series 2005 B1, 0.24% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

14,650

14,650

Series 2005 B2, 0.24% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

8,625

8,625

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Florida - continued

South Florida Wtr. Mgmt. District Ctfs. of Prtn. Participating VRDN Series ROC II R 12313, 0.25% 5/1/12 (Liquidity Facility Citibank NA) (a)(d)

$ 25,900

$ 25,900

Sunshine State Govt. Fing. Commission Rev. Series 2011 C, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

18,850

18,850

 

401,340

Georgia - 2.7%

Burke County Indl. Dev. Auth. Poll. Cont. Rev.:

(Georgia Pwr. Co. Plant Vogtle Proj.) Second Series 1995, 0.33% 5/1/12, VRDN (a)

4,000

4,000

(Oglethorpe Pwr. Corp. Projects) Series 2010 A, 0.28% 5/7/12, LOC Bank of America NA, VRDN (a)

5,000

5,000

Clarke County Indl. Dev. Auth. Hosp. Facilities Rev. Participating VRDN Series Solar 07 31, 0.24% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

16,600

16,600

Cobb County Dev. Auth. Rev. (Presbyterian Village, Austell, Inc. Obligated Group Proj.) Series 2004 B, 0.24% 5/7/12, LOC Branch Banking & Trust Co., VRDN (a)

6,800

6,800

DeKalb County Hsg. Auth. Multi-family Hsg. Rev. (Timber Trace Apts. Proj.) Series 2003, 0.25% 5/7/12, LOC Freddie Mac, VRDN (a)

18,175

18,175

Fulton County Dev. Auth.:

(Mount Vernon Presbyterian School Proj.) Series 2005, 0.25% 5/7/12, LOC Branch Banking & Trust Co., VRDN (a)

5,300

5,300

(Pace Academy, Inc. Proj.) Series 2008, 0.34% 5/7/12, LOC Bank of America NA, VRDN (a)

15,600

15,600

Participating VRDN Series Solar 07 72, 0.23% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

11,520

11,520

Fulton County Residential Care Facilities (Lenbrook Proj.) Series 2008 C, 0.25% 5/7/12, LOC Bank of Scotland PLC, VRDN (a)

4,625

4,625

Georgia Gen. Oblig. Participating VRDN:

Series MT 729, 0.31% 5/7/12 (Liquidity Facility Bank of America NA) (a)(d)

7,500

7,500

Series PZ 271, 0.27% 5/7/12 (Liquidity Facility Wells Fargo & Co.) (a)(d)

9,873

9,873

Gwinnet County Hosp. Auth. Rev. (Gwinnett Hosp. Sys., Inc. Proj.) Series 2009 A, 0.25% 5/7/12, LOC Fed. Home Ln. Bank Atlanta, VRDN (a)

17,045

17,045

Gwinnett County Wtr. & Swr. Auth. Rev. Participating VRDN Series ROC II R 11910, 0.26% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

4,250

4,250

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Georgia - continued

Heard County Dev. Auth. Poll. Cont. Rev. (Georgia Pwr. Co. Plant Wansley Proj.) First Series 1997, 0.33% 5/1/12, VRDN (a)

$ 10,500

$ 10,500

Main Street Natural Gas, Inc. Georgia Gas Proj. Rev. Series 2010 A, 0.25% 5/7/12 (Liquidity Facility Royal Bank of Canada), VRDN (a)

21,360

21,360

Metropolitan Atlanta Rapid Transit Auth. Sales Tax Rev. Participating VRDN:

Series Putters 3755, 0.27% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

2,500

2,500

Series Putters 4016, 0.27% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

6,500

6,500

Series Solar 08 0001, 0.23% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

10,225

10,225

Monroe County Dev. Auth. Poll. Cont. Rev. (Oglethorpe Pwr. Corp. Proj.) Series 2009 B, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

1,000

1,000

Muni. Elec. Auth. of Georgia Series 1985 B, 0.25% 5/7/12, LOC Barclays Bank PLC, VRDN (a)

10,000

10,000

Private Colleges & Univs. Auth. Rev.:

(Mercer Univ. Proj.) Series 2011 A, 0.26% 5/7/12, LOC Branch Banking & Trust Co., VRDN (a)

10,000

10,000

Participating VRDN Series WF 11 32C, 0.25% 5/7/12 (Liquidity Facility Wells Fargo Bank NA) (a)(d)

5,800

5,800

Smyrna Hsg. Fin. Auth. Multi-family Hsg. Rev. (The Hills of Post Village Proj.) Series 1995, 0.25% 5/7/12, LOC Fannie Mae, VRDN (a)

2,200

2,200

Thomasville Hosp. Auth. Rev. (Archbold Memorial Hosp. Proj.):

Series 2009 A, 0.25% 5/7/12, LOC Branch Banking & Trust Co., VRDN (a)

5,150

5,150

Series 2009 B, 0.25% 5/7/12, LOC Branch Banking & Trust Co., VRDN (a)

3,900

3,900

 

215,423

Hawaii - 0.2%

Hawaii Gen. Oblig. Participating VRDN Series MT 4718, 0.31% 5/7/12 (Liquidity Facility Bank of America NA) (a)(d)

5,000

5,000

Honolulu City and County Wastewtr. Sys. Participating VRDN:

Series ROC II R 11989, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

5,550

5,550

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Hawaii - continued

Honolulu City and County Wastewtr. Sys. Participating VRDN: - continued

Series ROC II R 12325, 0.25% 5/1/12 (Liquidity Facility Citibank NA) (a)(d)

$ 2,000

$ 2,000

Series WF 11 119C, 0.25% 5/7/12 (Liquidity Facility Wells Fargo Bank NA) (a)(d)

5,670

5,670

 

18,220

Idaho - 0.4%

Idaho Health Facilities Auth. Rev. (St. Luke's Health Sys. Proj.) Series 2009 A, 0.24% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

27,000

27,000

Idaho Hsg. & Fin. Assoc. Single Family Mtg. Series A, 0.24% 5/7/12 (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac), VRDN (a)

4,200

4,200

 

31,200

Illinois - 6.0%

Bridgeview Gen. Oblig. Subseries 2008 A1, 0.26% 5/7/12, LOC Northern Trust Co., VRDN (a)

17,500

17,500

Chicago Gen. Oblig. Participating VRDN Series Solar 06 38, 0.24% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

13,200

13,200

Chicago Metropolitan Wtr. Reclamation District Greater Chicago Participating VRDN:

Series BBT 08 60, 0.23% 5/7/12 (Liquidity Facility Branch Banking & Trust Co.) (a)(d)

9,385

9,385

Series Clipper 07 12, 0.28% 5/7/12 (Liquidity Facility State Street Bank & Trust Co., Boston) (a)(d)

10,350

10,350

Series Solar 06 75, 0.24% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

7,400

7,400

Chicago Park District Gen. Oblig. Participating VRDN Series Putters 3842, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

4,000

4,000

Chicago Wtr. Rev.:

Series 2004 A1, 0.26% 5/7/12, LOC California Pub. Employees Retirement Sys., VRDN (a)

19,575

19,575

Series 2004 A2, 0.26% 5/7/12, LOC California Pub. Employees Retirement Sys., VRDN (a)

34,005

34,005

Series 2004 A3, 0.24% 5/7/12, LOC State Street Bank & Trust Co., Boston, VRDN (a)

11,420

11,420

DuPage County Rev. (Morton Arboretum Proj.) 0.31% 5/7/12, LOC Bank of America NA, VRDN (a)

6,200

6,200

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Illinois - continued

Illinois Dev. Fin. Auth. Rev.:

(Glenwood School for Boys Proj.) Series 1998, 0.24% 5/7/12, LOC BMO Harris Bank NA, VRDN (a)

$ 3,000

$ 3,000

(Lyric Opera of Chicago Proj.) 0.24% 5/7/12, LOC JPMorgan Chase Bank, LOC BMO Harris Bank NA, VRDN (a)

10,200

10,200

Illinois Edl. Facilities Auth. Revs.:

(Elmhurst College Proj.) Series 2003, 0.24% 5/7/12, LOC BMO Harris Bank NA, VRDN (a)

2,550

2,550

Participating VRDN Series ROC II R 12278, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

5,200

5,200

Illinois Fin. Auth. Rev.:

(Chicago Historical Society Proj.) Series 2006, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

31,175

31,175

(Chicago Symphony Orchestra Proj.) Series 2008, 0.24% 5/7/12, LOC U.S. Bank NA, Cincinnati, VRDN (a)

5,985

5,985

(Edward Hosp. Obligated Group Proj.):

Series 2008 B2, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

10,825

10,825

Series 2008 C, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

11,235

11,235

(Little Co. of Mary Hosp. Proj.):

Series 2008 A, 0.26% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

15,845

15,845

Series 2008 B, 0.26% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

10,800

10,800

(North Central College Proj.) Series 2008, 0.34% 5/7/12, LOC Bank of America NA, VRDN (a)

8,500

8,500

(Northwest Cmnty. Hosp. Proj.):

Series 2008 B, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

33,130

33,130

Series 2008 C, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

15,700

15,700

(OSF Healthcare Sys. Proj.):

Series 2009 C, 0.25% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

21,000

21,000

Series 2009 D, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

25,000

25,000

(Rockford Mem. Hosp. Proj.) 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

20,200

20,200

(Rush Univ. Med. Ctr. Proj.) Series 2008 A, 0.24% 5/7/12, LOC Northern Trust Co., VRDN (a)

9,500

9,500

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Illinois - continued

Illinois Fin. Auth. Rev.: - continued

(Swedish Covenant Hosp. Proj.) Series 2008 A, 0.31% 5/7/12, LOC Bank of America NA, VRDN (a)

$ 11,000

$ 11,000

(Trinity Int'l. Univ. Proj.) Series 2009, 0.24% 5/7/12, LOC Fed. Home Ln. Bank Chicago, VRDN (a)

10,000

10,000

Participating VRDN:

Series EGL 06 115, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

10,000

10,000

Series EGL 06 118, Class A, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

12,570

12,570

Series Putters 3288Z, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

3,000

3,000

Series Putters 3764, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

2,000

2,000

Illinois Health Facilities Auth. Rev. (Herman M. Finch Univ. of Health Sciences/The Chicago Med. School Proj.) Series 2003, 0.27% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

5,000

5,000

Illinois Sales Tax Rev. Participating VRDN:

Series MS 3283 X, 0.4% 5/7/12 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(d)

3,810

3,810

Series WF 11 125C, 0.25% 5/7/12 (Liquidity Facility Wells Fargo Bank NA) (a)(d)

8,790

8,790

Illinois Toll Hwy. Auth. Toll Hwy. Rev.:

Series 2007 A 1B, 0.23% 5/7/12, LOC PNC Bank NA, VRDN (a)

17,000

17,000

Series 2007 A 2D, 0.23% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

11,200

11,200

Metropolitan Pier & Exposition Participating VRDN Series MS 3215, 0.4% 5/7/12 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(d)

1,700

1,700

Quincy Hosp. Rev. (Blessing Hosp. Proj.) Series 2004, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

3,900

3,900

Univ. of Illinois Rev. Series 2008, 0.24% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

13,875

13,875

 

486,725

Indiana - 2.5%

Elkhart County Hosp. Auth. Rev. (Elkhart Gen. Hosp. Proj.) Series 2008, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

15,575

15,575

Hamilton Southeastern Consolidated School Bldg. Corp. Participating VRDN Series Solar 07 06, 0.24% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

11,515

11,515

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Indiana - continued

Indiana Dev. Fin. Auth. Envir. Rev.:

(Duke Energy Indiana, Inc. Proj.) Series 2009 A3, 0.25% 5/7/12, LOC Mizuho Corporate Bank Ltd., VRDN (a)

$ 15,425

$ 15,425

Series 2005, 0.29% 5/7/12, LOC Royal Bank of Scotland PLC, VRDN (a)

10,950

10,950

Indiana Dev. Fin. Auth. Rev. (Indianapolis Museum of Art, Inc. Proj.) Series 2001, 0.24% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

17,400

17,400

Indiana Edl. Facilities Auth. Rev. (Hanover College Proj.) Series 2004 B, 0.26% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

4,400

4,400

Indiana Fin. Auth. Health Sys. Rev. (Sisters of Saint Francis Health Svcs., Inc. Obligated Group Proj.) Series 2008 A, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

17,100

17,100

Indiana Fin. Auth. Hosp. Rev. (Parkview Health Sys. Oblig. Group Proj.) Series 2009 C, 0.23% 5/7/12, LOC PNC Bank NA, VRDN (a)

24,700

24,700

Indiana Fin. Auth. Rev.:

(Columbus Reg'l. Hosp. Proj.) Series 2009 A, 0.24% 5/7/12, LOC PNC Bank NA, VRDN (a)

20,715

20,715

Participating VRDN Series BBT 08 12, 0.24% 5/7/12 (Liquidity Facility Branch Banking & Trust Co.) (a)(d)

11,710

11,710

Indiana Health & Edl. Facilities Fing. Auth. Rev. Participating VRDN Series Solar 07 63, 0.23% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

15,400

15,400

Lawrenceburg Poll. Cont. Rev. (Indiana Michigan Pwr. Co. Proj.) Series 2008 H, 0.25% 5/7/12, LOC Bank of Nova Scotia New York Branch, VRDN (a)

26,000

26,000

Richmond Econ. Dev. Rev. (Friends Fellowship Cmnty. Proj.) Series 1997, 0.25% 5/7/12, LOC U.S. Bank NA, Cincinnati, VRDN (a)

3,600

3,600

Saint Joseph County Hosp. Auth. Health Sys. Rev. (Memorial Health Sys. Proj.) Series 2008 A, 0.23% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

4,700

4,700

 

199,190

Iowa - 0.2%

Iowa Fin. Auth. Poll. Cont. Facility Rev. (MidAmerican Energy Proj.) Series 2008 B, 0.27% 5/7/12, VRDN (a)

18,500

18,500

Kansas - 0.1%

Univ. of Kansas Hosp. Auth. Health Facilities Rev. (KU Health Sys. Proj.) Series 2004, 0.28% 5/1/12, LOC U.S. Bank NA, Cincinnati, VRDN (a)

11,035

11,035

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Kentucky - 0.7%

Kentucky Econ. Dev. Fin. Auth. Participating VRDN Series MS 3125, 0.4% 5/7/12 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(d)

$ 11,250

$ 11,250

Kentucky Econ. Dev. Fin. Auth. Hosp. Rev. (St. Elizabeth Med. Ctr., Inc. Proj.) Series 2009 B, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

5,300

5,300

Kentucky Econ. Dev. Fin. Auth. Rev. (Ashland Hosp. Corp./King's Daughters Med. Ctr. Proj.) Series 2008 A, 0.25% 5/7/12, LOC Branch Banking & Trust Co., VRDN (a)

22,000

22,000

Louisville & Jefferson County Metropolitan Swr. District Swr. & Drain Sys. Rev. Participating VRDN Series Solar 06 87, 0.24% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

18,080

18,080

 

56,630

Louisiana - 1.9%

Ascension Parish Indl. Dev. Board Rev. (IMTT-Geismar Proj.) Series 2007, 0.25% 5/7/12, LOC Fed. Home Ln. Bank Atlanta, VRDN (a)

34,000

34,000

Louisiana Gas & Fuel Tax Rev. Participating VRDN Series Solar 06 133, 0.23% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

3,300

3,300

Louisiana Gen. Oblig. Participating VRDN Series Putters 4120, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

18,585

18,585

Louisiana Offshore Term. Auth. Deepwater Port Rev. (LOOP LLC Proj.) Series 2003 B, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

12,375

12,375

Louisiana Pub. Facilities Auth. Hosp. Rev. (Franciscan Missionaries of Our Lady Health Sys. Proj.) Series 2008 A, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

9,000

9,000

Louisiana Pub. Facilities Auth. Rev.:

(Air Products & Chemicals, Inc. Proj.) Series 2009 A, 0.25% 5/7/12, VRDN (a)

15,115

15,115

(C-Port LLC Proj.) Series 2008, 0.34% 5/7/12, LOC Bank of America NA, VRDN (a)

14,400

14,400

(Int'l.-Matex Tank Terminals Proj.) Series 2007, 0.25% 5/7/12, LOC Fed. Home Ln. Bank Atlanta, VRDN (a)

20,000

20,000

St. James Parish Gen. Oblig. (NuStar Logistics LP Proj.):

Series 2010 A, 0.27% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

12,500

12,500

Series 2010 B, 0.27% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

13,400

13,400

 

152,675

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Maine - 0.1%

Maine Health & Higher Ed. Facilities Auth. Rev. Series 2008 B, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

$ 9,100

$ 9,100

Maryland - 1.2%

Anne Arundel County Gen. Oblig. Participating VRDN Series BBT 08 10, 0.24% 5/7/12 (Liquidity Facility Branch Banking & Trust Co.) (a)(d)

13,675

13,675

Baltimore County Gen. Oblig. Participating VRDN Series WF 11 137C, 0.25% 5/7/12 (Liquidity Facility Wells Fargo Bank NA) (a)(d)

7,115

7,115

Maryland Cmnty. Dev. Administration Multi-family Dev. Rev. (Avalon Lea Apt. Proj.) Series 1997, 0.27% 5/7/12, LOC Fannie Mae, VRDN (a)

9,400

9,400

Maryland Econ. Dev. Auth. Rev. (Associated Projs.) Series A, 0.31% 5/7/12, LOC Bank of America NA, VRDN (a)

4,470

4,470

Maryland Health & Higher Edl. Facilities Auth. Rev.:

(Anne Arundel Health Sys. Proj.) Series 2009 B, 0.3% 5/7/12, LOC Bank of America NA, VRDN (a)

3,700

3,700

(Mercy Med. Ctr. Proj.) Series 2007 D, 0.24% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

18,100

18,100

(Univ. of Maryland Med. Sys. Proj.):

Series 2008 A, 0.35% 5/7/12, LOC Citizens Bank of Pennsylvania, VRDN (a)

14,200

14,200

Series 2008 B, 0.28% 5/7/12, LOC Bank of America NA, VRDN (a)

12,200

12,200

Participating VRDN Series BBT 08 46, 0.23% 5/7/12 (Liquidity Facility Branch Banking & Trust Co.) (a)(d)

3,820

3,820

Montgomery County Econ. Dev. Rev. (Georgetown Preparatory School, Inc. Proj.) Series 2005, 0.34% 5/7/12, LOC Bank of America NA, VRDN (a)

5,445

5,445

Montgomery County Hsg. Opportunities Commission Series 2002 C, 0.24% 5/7/12 (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac), VRDN (a)

7,965

7,965

 

100,090

Massachusetts - 1.2%

Massachusetts Bay Trans. Auth. Sales Tax Rev. Participating VRDN Series PT 4368, 0.24% 5/7/12 (Liquidity Facility Wells Fargo & Co.) (a)(d)

5,000

5,000

Massachusetts Dev. Fin. Agcy. Rev. (Lasell Village Proj.) Series 2007, 0.39% 5/7/12, LOC Bank of America NA, VRDN (a)

13,580

13,580

Massachusetts Gen. Oblig.:

Participating VRDN Series Clipper 07 41, 0.28% 5/7/12 (Liquidity Facility State Street Bank & Trust Co., Boston) (a)(d)

16,000

16,000

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Massachusetts - continued

Massachusetts Gen. Oblig.: - continued

Series 2006 B, 0.3% 5/1/12 (Liquidity Facility Bank of America NA), VRDN (a)

$ 1,590

$ 1,590

Massachusetts Health & Edl. Facilities Auth. Rev. (Southcoast Health Sys. Obligated Group Proj.) Series 2008 C, 0.3% 5/7/12, LOC Bank of America NA, VRDN (a)

4,400

4,400

Massachusetts School Bldg. Auth. Dedicated Sales Tax Rev. Participating VRDN:

Series BC 11 113B, 0.24% 5/7/12 (Liquidity Facility Barclays Bank PLC) (a)(d)

1,000

1,000

Series EGL 07 0031, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

13,000

13,000

Series Putters 2479Z, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

3,755

3,755

Series Putters 2857, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

10,255

10,255

Series WF 11 124C, 0.25% 5/7/12 (Liquidity Facility Wells Fargo Bank NA) (a)(d)

6,835

6,835

Massachusetts St Wtr. Resources Auth. Participating VRDN Series Putters 3690, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

1,200

1,200

RBC Muni. Products, Inc. Trust Participating VRDN Series RBC E 32, 0.23% 5/7/12 (Liquidity Facility Royal Bank of Canada) (a)(d)

21,705

21,705

 

98,320

Michigan - 1.4%

Grand Traverse County Hosp. Series 2011 B, 0.26% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

5,000

5,000

Michigan Fin. Auth. Rev.:

Participating VRDN Series ROC II R 11988, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

6,750

6,750

Series 2011 L, 0.27% 5/7/12, LOC Citibank NA, VRDN (a)

12,200

12,200

Michigan Hosp. Fin. Auth. Rev.:

(Henry Ford Health Sys. Proj.) Series 2007, 0.23% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

8,665

8,665

(McLaren Health Care Corp. Proj.):

Series 2008 B2, 0.23% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

16,590

16,590

Series 2008 B3, 0.23% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

2,000

2,000

Participating VRDN Series ROC II R 11676, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

8,650

8,650

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Michigan - continued

Michigan Strategic Fund Ltd. Oblig. Rev. (Van Andel Research Institute Proj.) Series 2008, 0.32% 5/7/12, LOC Bank of America NA, VRDN (a)

$ 52,000

$ 52,000

Wayne County Arpt. Auth. Rev. 0.23% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

5,000

5,000

 

116,855

Minnesota - 0.4%

Bloomington Sr. Hsg. Rev. (Presbyterian Homes Proj.) Series 2008, 0.26% 5/7/12, LOC Freddie Mac, VRDN (a)

5,000

5,000

Edina Minn Multifamily Rev. (Edina Park Plaza Proj.) Series 1999, 0.25% 5/7/12, LOC Freddie Mac, VRDN (a)

3,940

3,940

Minneapolis & Saint Paul Hsg. & Redev. Auth. Health Care Sys. Rev. (Allina Health Sys. Proj.) Series 2007 C1, 0.23% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

4,025

4,025

Minnesota Gen. Oblig. Participating VRDN Series Putters 3845, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

3,400

3,400

Minnetonka Multi-family Hsg. Rev. (Cliffs at Ridgedale Proj.) Series 1995, 0.26% 5/7/12, LOC Fannie Mae, VRDN (a)

2,550

2,550

Oak Park Heights Multi-Family Rev. 0.26% 5/7/12, LOC Freddie Mac, VRDN (a)

6,830

6,830

Rochester Health Care Facilities Rev. Participating VRDN Series WF11 49 C, 0.25% 5/7/12 (Liquidity Facility Wells Fargo Bank NA) (a)(d)

5,225

5,225

St. Paul Port Auth. District Cooling Rev.:

Series 2009 11DD, 0.26% 5/7/12, LOC Deutsche Bank AG, VRDN (a)

1,000

1,000

Series 2009 9BB, 0.26% 5/7/12, LOC Deutsche Bank AG, VRDN (a)

3,000

3,000

 

34,970

Mississippi - 0.7%

Mississippi Dev. Bank Spl. Oblig.:

(Harrison County Proj.) Series 2008 A2, 0.31% 5/7/12, LOC Bank of America NA, VRDN (a)

13,525

13,525

Participating VRDN Series Solar 06 0153, 0.24% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

13,225

13,225

Mississippi Gen. Oblig.:

Participating VRDN:

Series ROC II-R 11987, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

6,300

6,300

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Mississippi - continued

Mississippi Gen. Oblig.: - continued

Series WF 11 117C, 0.25% 5/7/12 (Liquidity Facility Wells Fargo Bank NA) (a)(d)

$ 3,260

$ 3,260

0.3% 5/7/12 (Liquidity Facility Bank of America NA), VRDN (a)

16,700

16,700

 

53,010

Missouri - 0.6%

Cape Girardeau County Indl. Dev. Auth. (St. Francis Med. Ctr. Proj.) Series 2009 B, 0.26% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

6,845

6,845

Missouri Health & Edl. Facilities Auth. Edl. Facilities Rev.:

(Christian Brothers College Proj.) Series 2002 A, 0.25% 5/7/12, LOC TD Banknorth, NA, VRDN (a)

25,040

25,040

Participating VRDN:

Series EGL 07 0001, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

8,470

8,470

Series Putters 3929, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

2,785

2,785

Missouri Health & Edl. Facilities Auth. Health Facilities Rev. (SSM Health Care Sys. Proj.) Series 2005 A1, 0.26% 5/7/12, LOC Bank of America NA, VRDN (a)

3,200

3,200

Missouri Health & Edl. Facilities Auth. Rev. (Lutheran Sr. Svcs. Proj.) Series 2008, 0.24% 5/7/12, LOC PNC Bank NA, VRDN (a)

2,575

2,575

Missouri Highways & Trans. Commission State Road Rev. Series 2005 B, 0.25% 5/7/12, LOC State Street Bank & Trust Co., Boston, VRDN (a)

3,775

3,775

 

52,690

Nebraska - 0.6%

Central Plains Energy Proj. Rev. (Nebraska Gas Proj.) Series 2009, 0.25% 5/7/12 (Liquidity Facility Royal Bank of Canada), VRDN (a)

16,000

16,000

Nebraska Pub. Pwr. Generation Agcy. Rev. Participating VRDN Series Solar 07 20, 0.24% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

7,000

7,000

Omaha Pub. Pwr. District Elec. Rev. Participating VRDN Series BBT 2060, 0.24% 5/7/12 (Liquidity Facility Branch Banking & Trust Co.) (a)(d)

22,905

22,905

 

45,905

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Nevada - 1.9%

Clark County Arpt. Rev.:

Series 2008 D1, 0.25% 5/7/12, LOC Citibank NA, VRDN (a)

$ 4,000

$ 4,000

Series 2008 D3, 0.27% 5/7/12, LOC Bank of America NA, VRDN (a)

10,000

10,000

Clark County Fuel Tax Participating VRDN Series ROC II R 11507, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

4,500

4,500

Clark County Indl. Dev. Rev. (Southwest Gas Corp. Proj.) Series 2009 A, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

2,000

2,000

Clark County McCarran Int'l. Arpt. Passenger Facility Charge Rev. Series 2010 F2, 0.24% 5/7/12, LOC Union Bank of California, VRDN (a)

3,500

3,500

Clark County Wtr. Reclamation District Participating VRDN:

Series Putters 3366Z, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

6,085

6,085

Series Putters 3489Z, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

11,965

11,965

Eclipse Fdg. Trust Cus. Rpt. Various States Participating VRDN 0.24% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

10,200

10,200

Reno Cap. Impt. Rev. Series 2005 A, 0.32% 5/7/12, LOC Bank of America NA, VRDN (a)

1,400

1,400

Reno Hosp. Rev. (Renown Reg'l. Med. Ctr. Proj.):

Series 2008 A, 0.25% 5/7/12, LOC Union Bank of California, VRDN (a)

10,915

10,915

Series 2008 B, 0.26% 5/7/12, LOC Union Bank of California, VRDN (a)

42,625

42,625

Series 2009 A, 0.25% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

28,385

28,385

Series 2009 B, 0.26% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

20,860

20,860

 

156,435

New Mexico - 0.9%

New Mexico Muni. Energy Acquisition Auth. Gas Supply Rev. Series 2009, 0.25% 5/7/12 (Liquidity Facility Royal Bank of Canada), VRDN (a)

72,695

72,695

New York - 5.3%

Monroe County Indl. Dev. Agcy. Civic Facility Rev. (Margaret Woodbury Strong Museum Proj.) Series 2005, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

9,000

9,000

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

New York - continued

Nassau County Indl. Dev. Agcy. (Amsterdam at Harborside Proj.) Series 2007 C, 0.35% 5/7/12, LOC Bank of America NA, VRDN (a)

$ 12,590

$ 12,590

New York City Gen. Oblig.:

Participating VRDN:

Series Putters 2951, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

1,400

1,400

Series Putters 3282, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

3,350

3,350

Series Putters 4052, 0.25% 5/1/12 (Liquidity Facility JPMorgan Chase & Co.) (a)(d)

6,555

6,555

Series ROC II R 14000X, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

1,600

1,600

Series 1995 F3, 0.26% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

12,400

12,400

Series 2004 A3, 0.3% 5/7/12, LOC Morgan Stanley Bank, West Valley City Utah, VRDN (a)

2,000

2,000

Series 2006 E2, 0.26% 5/1/12, LOC Bank of America NA, VRDN (a)

1,200

1,200

Series 2008 J8, 0.32% 5/1/12, LOC Landesbank Baden-Wuert, VRDN (a)

18,615

18,615

Series 2012 G3, 0.23% 5/7/12 (Liquidity Facility Citibank NA), VRDN (a)

50,000

50,000

New York City Health & Hosp. Corp. Rev. Series 2008 D, 0.26% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

4,105

4,105

New York City Hsg. Dev. Corp. Multi-family Hsg. Mtg. Rev.:

(Beekman Tower Proj.) Series 2008 A, 0.25% 5/7/12, LOC RBS Citizens NA, VRDN (a)

33,300

33,300

(Elliott Chelsea Dev. Proj.) Series 2010 A, 0.25% 5/7/12, LOC Citibank NA, VRDN (a)

22,120

22,120

New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev.:

Participating VRDN:

Series EGL 06 69 Class A, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

16,270

16,270

Series PT 3992, 0.24% 5/7/12 (Liquidity Facility Wells Fargo & Co.) (a)(d)

3,495

3,495

Series ROC II R 11904, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

4,000

4,000

Series ROC II R 11930, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

9,715

9,715

Series ROC II R380, 0.28% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

13,305

13,305

Series 2008 BB2, 0.24% 5/7/12 (Liquidity Facility Bank of America NA), VRDN (a)

10,900

10,900

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

New York - continued

New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev.: - continued

Series FF, 0.26% 5/1/12 (Liquidity Facility Bank of America NA), VRDN (a)

$ 7,075

$ 7,075

New York City Transitional Fin. Auth. Rev. Participating VRDN Series ROC II R 11902, 0.27% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

3,600

3,600

New York City Trust Cultural Resources Rev. (Lincoln Ctr. for the Performing Arts, Inc. Proj.) Series 2008 A2, 0.3% 5/1/12, LOC Bank of America NA, VRDN (a)

1,350

1,350

New York Dorm. Auth. Revs.:

(City Univ. Proj.) Series 2008 C, 0.26% 5/7/12, LOC Bank of America NA, VRDN (a)

6,400

6,400

(North Shore - Long Island Jewish Obligated Group Proj.):

Series 2009 C, 0.23% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

28,100

28,100

Series 2009 D, 0.29% 5/7/12, LOC Bank of America NA, VRDN (a)

11,300

11,300

(Univ. of Rochester Proj.) Series 2008 A1, 0.29% 5/7/12, LOC Bank of America NA, VRDN (a)

1,500

1,500

Participating VRDN:

Series EGL 06 47 Class A, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

15,500

15,500

Series EGL 07 0066, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

6,600

6,600

Series EGL 07 96, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

15,000

15,000

Series ROC II R 11722, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

1,100

1,100

Series ROC II R 11735, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

10,395

10,395

Series ROC II R 11975, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

2,000

2,000

New York Hsg. Fin. Agcy. Rev. Series 2010 A, 0.29% 5/7/12, LOC Bank of America NA, VRDN (a)

15,000

15,000

New York Hsg. Fin. Svc. Contract Rev. Series 2003 M1, 0.26% 5/7/12, LOC Bank of America NA, VRDN (a)

31,350

31,350

New York Liberty Dev. Corp. Lib Participating VRDN:

Series Putters 4011 Z, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

8,880

8,880

Series Putters 4083, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

5,910

5,910

New York Metropolitan Trans. Auth. Rev. Series 2011 B, 0.24% 5/7/12, LOC Bank of America NA, VRDN (a)

1,800

1,800

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

New York - continued

New York Thruway Auth. Gen. Rev. Participating VRDN Series Solar 06 17, 0.24% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

$ 15,000

$ 15,000

New York Thruway Auth. Second Gen. Hwy. & Bridge Trust Fund Participating VRDN Series ROC II R 11997, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

2,500

2,500

 

426,280

North Carolina - 4.4%

Charlotte Gen. Oblig. Participating VRDN Series ROC II R 11905, 0.26% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

6,700

6,700

Charlotte Int'l. Arpt. Rev. Series 2010 C, 0.25% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

11,600

11,600

Charlotte Wtr. & Swr. Sys. Rev.:

Participating VRDN Series Putters 3443, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

6,100

6,100

Series 2002 C, 0.25% 5/7/12 (Liquidity Facility Bank of America NA), VRDN (a)

26,515

26,515

Charlotte-Mecklenburg Hosp. Auth. Health Care Sys. Rev. Series 2007 G, 0.3% 5/7/12, LOC Bank of America NA, VRDN (a)

5,300

5,300

North Carolina Cap. Facilities Fin. Agcy. Cap. Facilities Rev. (Guilford College Proj.) Series 2005 A, 0.25% 5/7/12, LOC Branch Banking & Trust Co., VRDN (a)

6,275

6,275

North Carolina Cap. Facilities Fin. Agcy. Edl. Facilities Rev.:

(Campbell Univ. Proj.) Series 2009, 0.25% 5/7/12, LOC Branch Banking & Trust Co., VRDN (a)

6,100

6,100

(High Point Univ. Rev.) Series 2006, 0.25% 5/7/12, LOC Branch Banking & Trust Co., VRDN (a)

9,530

9,530

Series 2011, 0.31% 5/7/12, LOC Bank of America NA, VRDN (a)

19,200

19,200

North Carolina Cap. Facilities Fin. Agcy. Rev.:

Participating VRDN:

Series EGL 06 0139, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

2,800

2,800

Series EGL 07 0015, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

10,890

10,890

Series Putters 3331, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

1,250

1,250

Series Putters 3333, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

1,500

1,500

Series 2011, 0.31% 5/7/12, LOC Bank of America NA, VRDN (a)

10,000

10,000

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

North Carolina - continued

North Carolina Gen. Oblig. Series 2002 E, 0.27% 5/7/12 (Liquidity Facility Landesbank Hessen-Thuringen), VRDN (a)

$ 4,300

$ 4,300

North Carolina Med. Care Commission Health Care Facilities Rev.:

(Cape Fear Valley Health Sys. Proj.):

Series 2008 A1, 0.24% 5/7/12, LOC Branch Banking & Trust Co., VRDN (a)

73,125

73,125

Series 2008 A2, 0.24% 5/7/12, LOC Branch Banking & Trust Co., VRDN (a)

75,800

75,800

(Univ. Health Systems of Eastern Carolina):

Series 2008 B, 0.24% 5/7/12, LOC Branch Banking & Trust Co., VRDN (a)

2,420

2,420

Series 2008 B1, 0.22% 5/7/12, LOC Branch Banking & Trust Co., VRDN (a)

9,190

9,190

Participating VRDN Series ROC II R 11806, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

4,000

4,000

North Carolina Ports Auth. Port Facilities Rev. Series 2008, 0.25% 5/7/12, LOC Branch Banking & Trust Co., VRDN (a)

3,500

3,500

Raleigh Durham Arpt. Auth. Arpt. Rev. Series 2008 C, 0.27% 5/7/12, LOC U.S. Bank NA, Cincinnati, VRDN (a)

10,500

10,500

Sampson County Gen. Oblig. Participating VRDN Series Solar 06 0160, 0.24% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

4,130

4,130

Univ. of North Carolina at Chapel Hill Rev. Participating VRDN:

Series BBT 08 19, 0.23% 5/7/12 (Liquidity Facility Branch Banking & Trust Co.) (a)(d)

25,565

25,565

Series EGL 05 3014 Class A, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

22,700

22,700

 

358,990

Ohio - 0.8%

Cleveland Arpt. Sys. Rev. Series 2008 D, 0.24% 5/7/12, LOC PNC Bank NA, VRDN (a)

5,975

5,975

Franklin County Health Care Facilities Rev. (Presbyterian Retirement Svcs. Proj.) Series 2005 B, 0.26% 5/7/12, LOC PNC Bank NA, VRDN (a)

14,385

14,385

Hamilton County Hosp. Facilities Rev. (Children's Hosp. Med. Ctr. Proj.) Series 2000, 0.26% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

1,010

1,010

Lancaster Port Auth. Gas Rev. 0.25% 5/7/12 (Liquidity Facility Royal Bank of Canada), VRDN (a)

6,635

6,635

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Ohio - continued

Middletown Hosp. Facilities Rev. (Atrium Med. Ctr. Obligated Group Proj.) Series 2008 A, 0.24% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

$ 4,615

$ 4,615

Ohio Air Quality Dev. Auth. Rev. (Cincinnati Gas & Elec. Co. Proj.) Series A, 0.44% 5/7/12, VRDN (a)

4,400

4,400

Ohio Gen. Oblig. Participating VRDN Series BBT 3, 0.23% 5/7/12 (Liquidity Facility Branch Banking & Trust Co.) (a)(d)

5,705

5,705

Ohio Higher Edl. Facility Commission Rev. (Ohio Northern Univ. Proj.) Series 2008 A, 0.23% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

10,000

10,000

Richland County Health Care Facilities Rev. (Wesleyan Sr. Living Proj.) Series 2004 A, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

2,625

2,625

Warren County Health Care Facilities Rev. (Otterbein Homes Proj.) Series 2007, 0.25% 5/7/12, LOC U.S. Bank NA, Cincinnati, VRDN (a)

6,150

6,150

 

61,500

Oklahoma - 0.2%

Univ. Hospitals Trust Rev. Series 2005 A, 0.29% 5/7/12, LOC Bank of America NA, VRDN (a)

16,350

16,350

Oregon - 1.0%

Oregon Health and Science Univ. Spl. Rev. Series 2009 B1, 0.25% 5/7/12, LOC U.S. Bank NA, Cincinnati, VRDN (a)

26,615

26,615

Port of Portland Arpt. Rev. Series 2009 A1, 0.3% 5/7/12, LOC Bank of America NA, VRDN (a)

6,410

6,410

Salem Hosp. Facility Auth. Rev. (Salem Hosp. Proj.):

Series 2008 B, 0.23% 5/7/12, LOC U.S. Bank NA, Cincinnati, VRDN (a)

37,000

37,000

Series 2008 C, 0.28% 5/7/12, LOC Bank of America NA, VRDN (a)

12,500

12,500

 

82,525

Pennsylvania - 3.0%

Allegheny County Series C-58 A, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

4,350

4,350

Allegheny County Indl. Dev. Auth. Health Care Rev. (Vincentian Collaborative Sys. Proj.) Series 2008 A, 0.26% 5/7/12, LOC PNC Bank NA, VRDN (a)

8,105

8,105

Allegheny County Indl. Dev. Auth. Rev. (United Jewish Federation Proj.) Series 1996 A, 0.26% 5/7/12, LOC PNC Bank NA, VRDN (a)

5,400

5,400

Berks County Indl. Dev. Auth. Rev. (Kutztown Univ. Foundation, Inc. Proj.) Series 2004, 0.24% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

8,100

8,100

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Pennsylvania - continued

Chester County Health & Ed. Auth. Rev. (Jenner's Pond Proj.) Series 2006, 0.24% 5/7/12, LOC Citizens Bank of Pennsylvania, VRDN (a)

$ 13,175

$ 13,175

Chester County Indl. Dev. Auth. Student Hsg. Rev. (West Chester Univ. Proj.):

Series 2008 A1, 0.25% 5/7/12, LOC Citizens Bank of Pennsylvania, VRDN (a)

16,200

16,200

Series 2008 A2, 0.24% 5/7/12, LOC TD Banknorth, NA, VRDN (a)

16,200

16,200

Cumberland County Muni. Auth. Rev. (Presbyterian Homes Proj.) Series 2008 B, 0.29% 5/7/12, LOC Bank of America NA, VRDN (a)

16,600

16,600

Geisinger Auth. Health Sys. Rev. Participating VRDN Series Putters 3446, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

2,020

2,020

Harveys Lake Gen. Muni. Auth. (Misericordia Univ. Proj.) 0.26% 5/7/12, LOC PNC Bank NA, VRDN (a)

8,800

8,800

Lehigh County Gen. Purp. Auth. (Muhlenberg College Proj.) Series 2008, 0.31% 5/7/12, LOC Bank of America NA, VRDN (a)

17,895

17,895

Northeastern Pennsylvania Hosp. and Ed. Auth. Rev. (The Commonwealth Med. College Proj.) Series 2009, 0.24% 5/7/12, LOC PNC Bank NA, VRDN (a)

5,425

5,425

Pennsylvania Gen. Oblig. Participating VRDN:

Series Putters 3352Z, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

3,000

3,000

Series ROC II R 11505, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

4,100

4,100

Series WF 11 121C, 0.25% 5/7/12 (Liquidity Facility Wells Fargo Bank NA) (a)(d)

4,755

4,755

Pennsylvania Higher Edl. Facilities Auth. Rev.:

(Indiana Univ. of Pennsylvania Student Hsg. Proj.) Series 2008, 0.23% 5/7/12, LOC Fed. Home Ln. Bank Pittsburgh, VRDN (a)

26,260

26,260

(Keystone College Proj.) Series 2001 H5, 0.26% 5/7/12, LOC PNC Bank NA, VRDN (a)

3,250

3,250

(King's College Proj.) Series 2001 H6, 0.26% 5/7/12, LOC PNC Bank NA, VRDN (a)

3,825

3,825

(Marywood Univ. Proj.) Series 2005 A, 0.26% 5/7/12, LOC PNC Bank NA, VRDN (a)

4,735

4,735

(Univ. of Pennsylvania Health Sys. Proj.) Series 2008 A, 0.23% 5/7/12, LOC Bank of America NA, VRDN (a)

2,900

2,900

Participating VRDN Series Putters 4066, 0.25% 5/1/12 (Liquidity Facility JPMorgan Chase & Co.) (a)(d)

3,810

3,810

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Pennsylvania - continued

RBC Muni. Products, Inc. Trust Participating VRDN Series RBC E 22, 0.25% 5/7/12 (Liquidity Facility Royal Bank of Canada) (a)(d)

$ 13,400

$ 13,400

Schuylkill County Indl. Dev. Auth. Resource Recovery Rev. (Integrys Energy Group, Inc. Proj.) 0.24% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

19,800

19,800

Somerset County Gen. Oblig. Series 2009 A, 0.26% 5/7/12, LOC PNC Bank NA, VRDN (a)

3,470

3,470

South Fork Muni. Auth. Hosp. Rev. (Conemaugh Health Ctr. Proj.) Series A, 0.23% 5/7/12, LOC PNC Bank NA, VRDN (a)

11,125

11,125

Univ. of Pittsburgh Commonwealth Sys. of Higher Ed. Participating VRDN Series WF 09 38C, 0.25% 5/7/12 (Liquidity Facility Wells Fargo & Co.) (a)(d)

6,000

6,000

Washington County Hosp. Auth. Rev. (Washington Hosp. Proj.) Series 2007 B, 0.26% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

10,000

10,000

 

242,700

Puerto Rico - 0.0%

Puerto Rico Commonwealth Pub. Impt. Gen. Oblig. Series 2003 C5-2, 0.25% 5/7/12, LOC Barclays Bank PLC NY Branch, VRDN (a)

1,000

1,000

Rhode Island - 0.5%

Narragansett Bay Commission Wastewtr. Sys. Rev.:

Participating VRDN Series Solar 07 16, 0.24% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

12,330

12,330

Series 2008 A, 0.24% 5/7/12, LOC U.S. Bank NA, Cincinnati, VRDN (a)

9,400

9,400

Rhode Island Health & Edl. Bldg. Corp. Hosp. Fing. Rev. (Care New England Health Sys. Proj.) Series 2008 B, 0.25%, LOC JPMorgan Chase Bank, VRDN (a)

3,165

3,165

Rhode Island Health and Edl. Bldg. Corp. Higher Ed. Facility Rev.:

(New England Institute of Technology Proj.) Series 2008, 0.23% 5/7/12, LOC TD Banknorth, NA, VRDN (a)

4,660

4,660

(Rhode Island School of Design Proj.) Series 2008 B, 0.27% 5/7/12, LOC TD Banknorth, NA, VRDN (a)

9,400

9,400

(Roger Williams Univ. Proj.) Series 2008 B, 0.31% 5/7/12, LOC Bank of America NA, VRDN (a)

4,900

4,900

 

43,855

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

South Carolina - 0.2%

Columbia Wtrwks. & Swr. Rev. Participating VRDN Series BC 10 43W, 0.27% 5/7/12 (Liquidity Facility Barclays Bank PLC) (a)(d)

$ 1,875

$ 1,875

Florence County Hosp. Rev. (McLeod Reg'l. Med. Ctr. Proj.) Series 2010 B, 0.24% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

3,800

3,800

Oconee County Poll. Cont. Rev. (Duke Energy Corp. Proj.) Series 1999 A, 0.32% 5/1/12, VRDN (a)

4,500

4,500

South Carolina Edl. Facilities Auth. for Private Nonprofit Institutions of Higher Learning Edl. Facilities Rev. (Claflin Univ. Proj.) 0.31% 5/7/12, LOC Bank of America NA, VRDN (a)

900

900

South Carolina Gen. Oblig. Participating VRDN Series ROC II R 692W, 0.24% 5/7/12 (Liquidity Facility Wells Fargo & Co.) (a)(d)

4,115

4,115

South Carolina Jobs-Econ. Dev. Auth. Econ. Dev. Rev. (Bon Secours Health Sys. Proj.) Series 2008 D, 0.24% 5/7/12, LOC Citibank NA, VRDN (a)

4,710

4,710

 

19,900

Tennessee - 1.5%

Blount County Pub. Bldg. Auth. (Local Govt. Pub. Impt. Proj.) Series 2008 E1A, 0.25% 5/7/12, LOC Branch Banking & Trust Co., VRDN (a)

6,000

6,000

Chattanooga Health Ed. & Hsg. Facility Board Rev. (Southern Adventist Univ. Proj.) 0.34% 5/7/12, LOC Bank of America NA, VRDN (a)

7,495

7,495

Clarksville Pub. Bldg. Auth. Rev. (Tennessee Muni. Bond Fund Proj.):

Series 1994, 0.37% 5/7/12, LOC Bank of America NA, VRDN (a)

2,100

2,100

Series 2005, 0.33% 5/1/12, LOC Bank of America NA, VRDN (a)

1,950

1,950

Series 2008, 0.33% 5/1/12, LOC Bank of America NA, VRDN (a)

16,500

16,500

Indl. Dev. Board of Blount County and Cities of Alcoa and Maryville (Maryville Civic Arts Ctr. Proj.) Series 2009 B, 0.25% 5/7/12, LOC Branch Banking & Trust Co., VRDN (a)

4,085

4,085

Knox County Health Edl. & Hsg. Facilities Board Hosp. Facilities Rev.:

Series 2011 A, 0.26% 5/7/12, LOC Bank of America NA, VRDN (a)

4,975

4,975

Series 2011 B, 0.26% 5/7/12, LOC Bank of America NA, VRDN (a)

8,500

8,500

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Tennessee - continued

Metropolitan Govt. Nashville & Davidson County Indl. Dev. Board Rev. (Nashville Symphony Hall Proj.) Series 2004, 0.31% 5/7/12, LOC Bank of America NA, VRDN (a)

$ 22,100

$ 22,100

Montgomery County Pub. Bldg. Auth. Pooled Fing. Rev. (Tennessee County Ln. Pool Prog.):

Series 2004, 0.33% 5/1/12, LOC Bank of America NA, VRDN (a)

5,445

5,445

Series 2006, 0.33% 5/1/12, LOC Bank of America NA, VRDN (a)

1,100

1,100

Nashville and Davidson County Metropolitan Govt. Gen. Oblig. Participating VRDN Series Putters 2631, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

20,000

20,000

Shelby County Gen. Oblig. Series 2004 B, 0.27% 5/7/12 (Liquidity Facility Landesbank Hessen-Thuringen), VRDN (a)

9,675

9,675

Shelby County Health Edl. & Hsg. Facilities Board Rev. (Trezevant Manor Proj.) Series A, 0.4% 5/7/12, LOC Bank of America NA, VRDN (a)

9,400

9,400

 

119,325

Texas - 4.9%

Birdville Independent School District Participating VRDN Series MT 720, 0.31% 5/7/12 (Liquidity Facility Bank of America NA) (a)(d)

3,895

3,895

Board of Regents of The Texas A&M Univ. Sys. Permanent Univ. Fund Participating VRDN Series WF 10 53C, 0.25% 5/7/12 (Liquidity Facility Wells Fargo Bank NA) (a)(d)

5,555

5,555

Comal Independent School District Participating VRDN Series ROC II R 11907, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

2,805

2,805

Dallas Area Rapid Transit Sales Tax Rev. Participating VRDN Series ROC II R 12317, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

4,000

4,000

Dallas Performing Arts Cultural Facilities Corp. Cultural Facility Rev. (Dallas Ctr. for the Performing Arts Foundation, Inc. Proj.) Series 2008 A, 0.31% 5/1/12, LOC Bank of America NA, VRDN (a)

2,250

2,250

Dallas Wtr. & Swr. Sys. Rev. Participating VRDN Series Solar 06 60, 0.24% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

11,400

11,400

Fort Bend Independent School District Participating VRDN Series WF 09 49C, 0.25% 5/7/12 (Liquidity Facility Wells Fargo & Co.) (a)(d)

4,925

4,925

Friendswood Independent School District Participating VRDN Series BA 08 3036X, 0.35% 5/7/12 (Liquidity Facility Bank of America NA) (a)(d)

8,635

8,635

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Texas - continued

Harris County Cultural Ed. Facilities Fin. Corp. Rev. (Memorial Hermann Healthcare Sys. Proj.):

Series 2008 C, 0.25% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

$ 7,000

$ 7,000

Series 2008 D1, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

6,500

6,500

Harris County Gen. Oblig. Participating VRDN Series RBC E 18, 0.25% 5/7/12 (Liquidity Facility Royal Bank of Canada) (a)(d)

11,000

11,000

Harris County Tex Indl. Dev. Corp. (HFOTCO LLC Proj.) Series 2010, 0.34% 5/7/12, LOC Bank of America NA, VRDN (a)

1,600

1,600

Harris County Tex Metropolitan Tran Auth. Participating VRDN Series WF 11 104 C, 0.25% 5/7/12 (Liquidity Facility Wells Fargo Bank NA) (a)(d)

30,920

30,920

Houston Gen. Oblig. Participating VRDN:

Series BC 11 116B, 0.27% 5/7/12 (Liquidity Facility Barclays Bank PLC) (a)(d)

7,850

7,850

Series MT 788, 0.31% 5/7/12 (Liquidity Facility Bank of America NA) (a)(d)

10,515

10,515

Houston Higher Ed. Fin. Corp. Higher Ed. Rev. Participating VRDN Series MS 06 2042, 0.24% 5/7/12 (Liquidity Facility Wells Fargo & Co.) (a)(d)

18,870

18,870

Houston Independent School District Participating VRDN Series MT 732, 0.31% 5/7/12 (Liquidity Facility Bank of America NA) (a)(d)

9,805

9,805

Houston Util. Sys. Rev. Participating VRDN:

Series ROC II R 12267, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

7,955

7,955

Series ROC II R 12323, 0.25% 5/1/12 (Liquidity Facility Citibank NA) (a)(d)

12,150

12,150

Series Solar 06 70, 0.23% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

4,000

4,000

Humble Independent School District Participating VRDN Series MT 733, 0.31% 5/7/12 (Liquidity Facility Bank of America NA) (a)(d)

8,475

8,475

Irving Independent School District Participating VRDN Series PT 3954, 0.24% 5/7/12 (Liquidity Facility Wells Fargo & Co.) (a)(d)

17,835

17,835

Katy Independent School District Series 2004 C, 0.36% 5/7/12 (Permanent School Fund of Texas Guaranteed), VRDN (a)

3,900

3,900

Keller Independent School District Participating VRDN Series WF11 55 C, 0.25% 5/7/12 (Liquidity Facility Wells Fargo Bank NA) (a)(d)

5,645

5,645

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Texas - continued

Mansfield Independent School District Participating VRDN Series Putters 754, 0.31% 5/7/12 (Liquidity Facility Bank of America NA) (a)(d)

$ 12,745

$ 12,745

North Texas Tollway Auth. Rev.:

Participating VRDN:

Series ROC II R 11947, 0.26% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

7,200

7,200

Series ROC II R 14006, 0.26% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

4,940

4,940

Series 2009 D, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

7,500

7,500

Series 2011 A, 0.34% 5/7/12, LOC Morgan Stanley Bank, West Valley City Utah, VRDN (a)

4,600

4,600

Plano Gen. Oblig. Participating VRDN Series MS 06 1862, 0.24% 5/7/12 (Liquidity Facility Wells Fargo & Co.) (a)(d)

8,745

8,745

Plano Independent School District Participating VRDN Series WF 12 3C, 0.25% 5/7/12 (Liquidity Facility Wells Fargo Bank NA) (a)(d)

3,615

3,615

RBC Muni. Products, Inc. Trust Participating VRDN Series RBC E 27, 0.25% 5/7/12 (Liquidity Facility Royal Bank of Canada) (a)(d)

13,000

13,000

San Antonio Elec. & Gas Sys. Rev. Participating VRDN Series BBT 08 26, 0.23% 5/7/12 (Liquidity Facility Branch Banking & Trust Co.) (a)(d)

5,300

5,300

San Antonio Hotel Occupancy Tax Rev. Series 2008, 0.25% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

32,610

32,610

San Antonio Wtr. Sys. Rev. Participating VRDN Series EGL 06 5, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

3,000

3,000

Tarrant County Cultural Ed. Facilities Fin. Corp. Hosp. Rev. (Baylor Health Care Sys. Proj.) Series 2011 C, 0.25% 5/7/12, LOC Northern Trust Co., VRDN (a)

1,000

1,000

Tarrant County Cultural Ed. Facilities Fin. Corp. Rev. (Christus Health Proj.):

Series 2008 C1, 0.3% 5/7/12, LOC Bank of America NA, VRDN (a)

1,000

1,000

Series 2008 C2, 0.3% 5/7/12, LOC Bank of America NA, VRDN (a)

5,900

5,900

Series 2008 C4, 0.31% 5/7/12, LOC Bank of America NA, VRDN (a)

13,600

13,600

Tarrant County Health Facilities Dev. Corp. Rev. (Carter Blood Care Proj.) Series 1998, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

1,000

1,000

Texas A&M Univ. Rev. Participating VRDN Series BC 10 39W, 0.27% 5/7/12 (Liquidity Facility Barclays Bank PLC) (a)(d)

2,000

2,000

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Texas - continued

Texas Gen. Oblig. Participating VRDN:

Series EGL 07 90, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

$ 12,000

$ 12,000

Series Putters 3480, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

7,495

7,495

Series Putters 3946, 0.25% 5/1/12 (Liquidity Facility JPMorgan Chase & Co.) (a)(d)

2,900

2,900

Series Putters 3953, 0.25% 5/1/12 (Liquidity Facility JPMorgan Chase & Co.) (a)(d)

1,000

1,000

Series Solar 06 57, 0.24% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

1,000

1,000

Texas Southmost College District Participating VRDN Series Solar 06 61, 0.23% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

10,595

10,595

Texas Trans. Commission State Hwy. Fund Rev. Participating VRDN Series MT 780, 0.35% 5/7/12 (Liquidity Facility Bank of America NA) (a)(d)

5,050

5,050

Texas Wtr. Dev. Board Rev. Participating VRDN Series BA 08 1128, 0.31% 5/7/12 (Liquidity Facility Bank of America NA) (a)(d)

10,000

10,000

Univ. of Texas Board of Regents Sys. Rev. Participating VRDN Series Putters 1646, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

5,350

5,350

Univ. of Texas Permanent Univ. Fund Rev. Participating VRDN Series BBT 08 59, 0.23% 5/7/12 (Liquidity Facility Branch Banking & Trust Co.) (a)(d)

6,000

6,000

 

396,630

Utah - 0.5%

Carbon County Poll. Cont. Rev. (PacifiCorp Proj.) Series 1994, 0.24% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

1,800

1,800

Emery County Poll. Cont. Rev. (PacifiCorp Proj.) Series 1994, 0.25% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

19,440

19,440

Utah State Board of Regents Rev. Participating VRDN Series Solar 06 140, 0.24% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

9,900

9,900

Utah Transit Auth. Sales Tax Rev. Participating VRDN Series BBT 08 27, 0.23% 5/7/12 (Liquidity Facility Branch Banking & Trust Co.) (a)(d)

5,640

5,640

 

36,780

Virginia - 2.0%

Albemarle County Indl. Dev. Auth. 0.24% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

5,800

5,800

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Virginia - continued

Fairfax County Econ. Dev. Auth. Student Hsg. Rev. (George Mason Univ. Foundation, Inc., Proj.) Series 2003, 0.29% 5/7/12, LOC Bank of America NA, VRDN (a)

$ 4,400

$ 4,400

Fauquier County Indl. Dev. Auth. Rev. (Highland School Proj.) Series 2008, 0.25% 5/7/12, LOC Branch Banking & Trust Co., VRDN (a)

4,050

4,050

Hanover County Econ. Dev. Auth. Rev. (Bon Secours Health Sys. Proj.):

Series 2008 D1, 0.24% 5/7/12, LOC Citibank NA, VRDN (a)

21,900

21,900

Series 2008 D2, 0.25% 5/7/12, LOC U.S. Bank NA, Cincinnati, VRDN (a)

37,215

37,215

Lexington Indl. Dev. Auth. Edl. Facilities Rev. Series 2010, 0.25% 5/7/12, VRDN (a)

7,835

7,835

Newport News Indl. Dev. Auth. (CNU Warwick LLC Student Apts. Proj.) 0.34% 5/7/12, LOC Bank of America NA, VRDN (a)

7,905

7,905

Richmond Pub. Util. Rev. Participating VRDN:

Series MT 755, 0.35% 5/7/12 (Liquidity Facility Bank of America NA) (a)(d)

4,985

4,985

Series MT 777, 0.31% 5/7/12 (Liquidity Facility Bank of America NA) (a)(d)

7,485

7,485

Series ROC II R 10410, 0.27% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

2,400

2,400

Univ. of Virginia Gen. Rev. Participating VRDN:

Series BBT 08 30, 0.23% 5/7/12 (Liquidity Facility Branch Banking & Trust Co.) (a)(d)

7,500

7,500

Series EGL 06 17 Class A, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

14,775

14,775

Virginia Commonwealth Trans. Board Rev. Participating VRDN:

Series Putters 4053, 0.25% 5/1/12 (Liquidity Facility JPMorgan Chase & Co.) (a)(d)

3,995

3,995

Series WF 11 93C, 0.25% 5/7/12 (Liquidity Facility Wells Fargo Bank NA) (a)(d)

8,710

8,710

Virginia Resources Auth. Clean Wtr. Rev. Participating VRDN:

Series BBT 08 48, 0.23% 5/7/12 (Liquidity Facility Branch Banking & Trust Co.) (a)(d)

3,915

3,915

Series MS 06 1860, 0.24% 5/7/12 (Liquidity Facility Wells Fargo & Co.) (a)(d)

2,360

2,360

Series Putters 3036, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

3,365

3,365

Series ROC II R 11923, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

5,940

5,940

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Virginia - continued

Virginia Small Bus. Fing. Auth. Health Care Facilities Rev. Participating VRDN:

Series BC 10 17W, 0.27% 5/7/12 (Liquidity Facility Barclays Bank PLC) (a)(d)

$ 5,000

$ 5,000

Series Putters 3791Z, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

3,350

3,350

 

162,885

Washington - 3.0%

Cascade Wtr. Alliance Wtr. Sys. Rev. Participating VRDN Series Solar 06 73 0.23% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

17,110

17,110

Central Puget Sound Reg'l. Trans. Auth. Sales & Use Tax Rev. Participating VRDN Series Putters 2866, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

8,285

8,285

Eclipse Fdg. Trust Cus. Rpt. Various States Participating VRDN Series Solar 07 106, 0.24% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

3,350

3,350

Pierce County Econ. Dev. Corp. Spl. Rev. (Weyerhaeuser Real Estate Proj.) Series 1997 A, 0.34% 5/7/12, LOC Bank of America NA, VRDN (a)

5,750

5,750

Seattle Muni. Lt. & Pwr. Rev. Participating VRDN Series Putters 3859, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

5,000

5,000

Seattle Wtr. Sys. Rev. Participating VRDN Series MS 06 2170, 0.24% 5/7/12 (Liquidity Facility Wells Fargo & Co.) (a)(d)

5,060

5,060

Snohomish County Pub. Hosp. District #2 (Stevens Health Care Proj.) Series 1999, 0.53% 5/7/12, LOC Bank of America NA, VRDN (a)

8,000

8,000

Vancouver Hsg. Auth. Rev. Series 2008, 0.29% 5/7/12, LOC Freddie Mac, VRDN (a)

8,800

8,800

Washington Econ. Dev. Fin. Auth. Econ. Dev. Rev. (Puget Sound Blood Ctr. Proj.) Series 2008 D, 0.24% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

6,240

6,240

Washington Gen. Oblig. Participating VRDN:

Series BA 08 1121, 0.35% 5/7/12 (Liquidity Facility Bank of America NA) (a)(d)

6,665

6,665

Series BA 1212, 0.31% 5/7/12 (Liquidity Facility Bank of America NA) (a)(d)

4,640

4,640

Series DB 599, 0.33% 5/7/12 (Liquidity Facility Deutsche Bank AG) (a)(d)

4,910

4,910

Series DB 606, 0.33% 5/7/12 (Liquidity Facility Deutsche Bank AG) (a)(d)

5,970

5,970

Series Putters 3054, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

1,000

1,000

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Washington - continued

Washington Gen. Oblig. Participating VRDN: - continued

Series Putters 3856, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

$ 8,500

$ 8,500

Series Putters 3872, 0.25% 5/7/12 (Liquidity Facility JPMorgan Chase Bank) (a)(d)

4,000

4,000

Series Putters 4054, 0.25% 5/1/12 (Liquidity Facility JPMorgan Chase & Co.) (a)(d)

6,405

6,405

Series WF 11-16C, 0.25% 5/7/12 (Liquidity Facility Wells Fargo Bank NA) (a)(d)

7,315

7,315

Washington Health Care Facilities Auth.:

(Fred Hutchinson Cancer Ctr. Proj.) Series 2011 B, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

11,505

11,505

(Swedish Health Svcs. Proj.) Series 2011 B, 0.28% 5/7/12, LOC Citibank NA, VRDN (a)

7,200

7,200

Washington Health Care Facilities Auth. Rev.:

(Children's Hosp. Reg'l. Med. Ctr. Proj.) Series 2008 A, 0.32% 5/7/12, LOC Bank of America NA, VRDN (a)

4,755

4,755

(MultiCare Health Sys. Proj.) Series 2009 A, 0.23% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

9,000

9,000

(Southwest Washington Med. Ctr. Proj.) Series 2008 B, 0.3% 5/7/12, LOC Bank of America NA, VRDN (a)

6,670

6,670

(Southwest Washington Med. Ctr.) Series 2008 A, 0.25% 5/7/12, LOC Union Bank of California, VRDN (a)

9,200

9,200

Washington Higher Ed. Facilities Auth. Rev. (Seattle Pacific Univ. Proj.) Series 2008, 0.23% 5/7/12, LOC U.S. Bank NA, Cincinnati, VRDN (a)

16,200

16,200

Washington Hsg. Fin. Commission Multi-family Hsg. Rev.:

(Discovery Heights Apt. Proj.) Series 2010, 0.28% 5/7/12, LOC Bank of America NA, VRDN (a)

16,000

16,000

(New Haven Apts. Proj.) Series 2009, 0.23% 5/7/12, LOC Fannie Mae, VRDN (a)

8,000

8,000

(The Cambridge Apts. Proj.) Series 2009, 0.23% 5/7/12, LOC Fannie Mae, VRDN (a)

6,600

6,600

(Washington Terrace Sr. Apts. Proj.) Series 2010, 0.23% 5/7/12, LOC Fannie Mae, VRDN (a)

3,750

3,750

Washington Hsg. Fin. Commission Nonprofit Hsg. Rev. (Emerald Heights Proj.) Series 2003, 0.32% 5/1/12, LOC Bank of America NA, VRDN (a)

14,000

14,000

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Washington - continued

Washington Hsg. Fin. Commission Nonprofit Rev.:

(United Way King County Proj.) 0.39% 5/7/12, LOC Bank of America NA, VRDN (a)

$ 1,400

$ 1,400

(YMCA of Pierce and Kitsap Countries Proj.) Series 2010 B, 0.24% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

9,800

9,800

 

241,080

West Virginia - 0.5%

West Virginia Econ. Dev. Auth. Solid Waste Disp. Facilities Rev. (Appalachian Pwr. Co. - Amos Proj.) Series 2009 A, 0.24% 5/7/12, LOC Sumitomo Mitsui Banking Corp., VRDN (a)

10,800

10,800

West Virginia Hosp. Fin. Auth. Hosp. Rev. (West Virginia United Health Sys. Proj.):

Series 2008 D, 0.34% 5/7/12, LOC Bank of America NA, VRDN (a)

3,500

3,500

Series 2009 A, 0.25% 5/7/12, LOC Branch Banking & Trust Co., VRDN (a)

4,700

4,700

Series 2009 B, 0.25% 5/7/12, LOC Branch Banking & Trust Co., VRDN (a)

2,900

2,900

West Virginia Hosp. Fin. Auth. Rev. (Charleston Area Med. Ctr., Inc. Proj.) Series 2008 A, 0.25% 5/7/12, LOC Branch Banking & Trust Co., VRDN (a)

22,800

22,800

 

44,700

Wisconsin - 0.7%

Appleton Redev. Auth. Rev. (Fox Cities Performing Arts Ctr. Proj.) Series 2001 B, 0.25% 5/7/12, LOC JPMorgan Chase Bank, VRDN (a)

9,200

9,200

Wisconsin Gen. Oblig. Participating VRDN:

Series BBT 08 47, 0.23% 5/7/12 (Liquidity Facility Branch Banking & Trust Co.) (a)(d)

6,400

6,400

Series Solar 07 4, 0.24% 5/7/12 (Liquidity Facility U.S. Bank NA, Cincinnati) (a)(d)

24,235

24,235

Wisconsin Health & Edl. Facilities Auth. Rev. Participating VRDN:

ROC II R 11837, 0.25% 5/7/12 (Liquidity Facility Citibank NA) (a)(d)

5,255

5,255

Series MS 3259. 0.4% 5/7/12 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(d)

5,000

5,000

Wisconsin Hsg. and Econ. Dev. Auth. Multifamily Hsg. Rev. Series 2006 A, 0.25% 5/7/12 (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac), VRDN (a)

5,055

5,055

 

55,145

Variable Rate Demand Note - continued

Principal Amount (000s)

Value (000s)

Wyoming - 0.1%

Sweetwater County Poll. Cont. Rev. (PacifiCorp Proj.) Series 1994, 0.24% 5/7/12, LOC Wells Fargo Bank NA, VRDN (a)

$ 6,250

$ 6,250

TOTAL VARIABLE RATE DEMAND NOTE


5,560,818

Other Municipal Debt - 26.7%

 

 

 

 

Alaska - 0.1%

Anchorage Gen. Oblig. Bonds Series D, 5% 12/1/12

3,590

3,687

North Slope Borough Gen. Oblig. Bonds Series 2011 B, 2% 6/30/12

4,550

4,562

 

8,249

Arizona - 0.6%

Arizona Trans. Board Hwy. Rev. Bonds Series 2002 B, 5.25% 7/1/12 (Pre-Refunded to 7/1/12 @ 100)

1,185

1,195

Phoenix Civic Impt. Corp. Wastewtr. Sys. Rev.:

Series 2012 A, 0.15% 8/8/12, LOC Royal Bank of Canada, CP

13,400

13,400

Series 2012 B, 0.15% 9/4/12, LOC Wells Fargo Bank NA, CP

15,500

15,500

Pima County Reg'l. Trans. Auth. Excise Tax Rev. Bonds Series 2011, 1.5% 6/1/12

3,485

3,488

Salt River Proj. Agricultural Impt. & Pwr. District Elec. Sys. Rev. Series C, 0.2% 8/16/12, CP

12,900

12,900

 

46,483

Arkansas - 0.0%

Univ. of Arkansas Various Facility Rev. Bonds Bonds Series 2012 A, 1% 11/1/12

4,525

4,542

California - 1.0%

Belmont Redwood Shores CA School District Bonds Series WF 11 105 C, 0.2%, tender 7/25/12 (Liquidity Facility Wells Fargo Bank NA) (a)(d)(e)

10,350

10,350

California Econ. Recovery Bonds Series 2004 A, 5.25% 7/1/12

30,985

31,248

Sacramento Muni. Util. District Elec. Rev. Series 2011 L1:

0.23% 5/11/12, LOC Barclays Bank PLC NY Branch, CP

13,000

13,000

0.25% 7/19/12, LOC Barclays Bank PLC NY Branch, CP

27,000

27,000

 

81,598

Other Municipal Debt - continued

Principal Amount (000s)

Value (000s)

Colorado - 0.2%

Denver City & County Wastewtr. Dept. of Pub. Works Bonds Series 2012, 2% 11/1/12

$ 1,870

$ 1,887

Jefferson County School District #R1 TAN Series 2011A, 1.5% 6/29/12

14,750

14,780

 

16,667

Connecticut - 0.3%

Connecticut Dev. Auth. Poll. Cont. Rev. Bonds (New England Pwr. Co. Proj.) Series 1999, 0.4% tender 5/1/12, CP mode

11,235

11,235

Connecticut Gen. Oblig. Bonds Series 2010 C, 5% 12/1/12

2,765

2,843

New Milford Gen. Oblig. BAN 1% 7/26/12

7,040

7,054

 

21,132

District Of Columbia - 0.0%

District of Columbia Gen. Oblig. TRAN 2% 9/28/12

1,000

1,008

Florida - 1.8%

Collier County Spl. Oblig. Rev. Bonds Series 2011, 2.5% 10/1/12

6,120

6,177

Florida Dept. of Envir. Protection Rev. Bonds:

Series 2002 A, 5% 7/1/12

1,700

1,713

Series 2004 A, 5% 7/1/12

1,745

1,758

Florida Hurricane Catastrophe Fund Fin. Corp. Rev. Bonds Series 2006 A:

5% 7/1/12

7,000

7,055

5% 7/1/12

1,260

1,270

5.25% 7/1/12

1,925

1,940

Florida Local Govt. Fin. Cmnty. Series 2011 A1, 0.13% 5/1/12, LOC JPMorgan Chase Bank, CP

7,000

7,000

Hillsborough County Cap. Impt. Prog. Rev. Series A, 0.18% 7/12/12, LOC State Street Bank & Trust Co., Boston, CP

9,700

9,700

Jacksonville Elec. Auth. Elec. Sys. Rev. Series C1, 0.16% 8/2/12, CP

43,000

43,000

Jacksonville Poll. Cont. Rev. Bonds (Florida Pwr. & Lt. Co. Proj.):

Series 1992, 0.25% tender 6/7/12, CP mode

6,200

6,200

Series 1994, 0.25% tender 6/7/12, CP mode

9,560

9,560

Orlando & Orange County Expressway Auth. Rev. Bonds Series 2003 A, 5% 7/1/12

2,000

2,015

Palm Beach County Solid Waste Auth. Rev. Bonds:

Series 2011, 2% 10/1/12

8,650

8,711

Series WF 11 118, 0.2%, tender 7/25/12 (Liquidity Facility Wells Fargo Bank NA) (a)(d)(e)

26,185

26,185

Other Municipal Debt - continued

Principal Amount (000s)

Value (000s)

Florida - continued

Pinellas County School District TAN Series 2011, 1% 6/30/12

$ 12,000

$ 12,015

Tampa Health Sys. Rev. Bonds Series 2012 B, 0%, tender 11/29/12 (a)

4,800

4,800

 

149,099

Georgia - 0.2%

Georgia Muni. Gas Auth. Rev. BAN (Gas Portfolio III Proj.) Series K, 2% 5/23/12

12,050

12,060

Muni. Elec. Auth. of Georgia Bonds (Gen. Resolution Projs.) Series 1985 A, 0.26% tender 7/20/12, LOC Barclays Bank PLC, CP mode

7,500

7,500

 

19,560

Hawaii - 0.0%

Hawaii Gen. Oblig. Bonds Series 2011 EB, 2% 12/1/12

2,290

2,313

Idaho - 1.4%

Idaho Gen. Oblig. TAN Series 2011, 2% 6/29/12

103,000

103,288

Idaho Hsg. & Fin. Assoc. Unemployment Compensation Bonds Series 2011, 2% 8/15/12

9,000

9,045

 

112,333

Kentucky - 0.1%

Jefferson County Poll. Cont. Rev. Bonds (Louisville Gas & Elec. Co. Proj.) Series 2001 A, 0.35% tender 5/7/12, CP mode

3,100

3,100

Trimble County Poll. Cont. Rev. Bonds (Louisville Gas & Elec. Co. Proj.) Series 2001 A, 0.32% tender 5/1/12, CP mode

6,500

6,500

 

9,600

Louisiana - 0.1%

Louisiana Gen. Oblig. Bonds Series 2012 A, 2% 8/1/12

7,120

7,153

Maryland - 0.8%

Baltimore County Gen. Oblig.:

Bonds Series 2011, 3% 2/1/13

2,900

2,961

Series 2011:

0.15% 5/21/12 (Liquidity Facility Mizuho Corporate Bank Ltd.), CP

21,400

21,400

0.16% 6/5/12 (Liquidity Facility Mizuho Corporate Bank Ltd.), CP

12,800

12,800

0.16% 6/5/12 (Liquidity Facility Mizuho Corporate Bank Ltd.), CP

8,500

8,500

Maryland Gen. Oblig. Bonds:

(State & Local Facilities Ln. Prog.) Second Series 2003, 5% 8/1/12

2,000

2,025

First Series of 2002 A, 5.5% 3/1/13

2,180

2,276

Other Municipal Debt - continued

Principal Amount (000s)

Value (000s)

Maryland - continued

Maryland Gen. Oblig. Bonds: - continued

Third Series 2009 C, 5% 11/1/12

$ 8,205

$ 8,402

Univ. of Maryland Sys. Auxiliary Facility & Tuition Rev. Bonds Series 2009 A, 5% 4/1/13

2,000

2,088

Washington Suburban San. District Bonds Series 2004, 5% 6/1/12

1,500

1,506

 

61,958

Massachusetts - 1.7%

Massachusetts Gen. Oblig.:

Bonds Series 2012 A, 0.22% 9/1/12 (a)

8,705

8,704

RAN Series 2011 B, 2% 5/31/12

100,000

100,151

Massachusetts Indl. Fin. Agcy. Poll. Cont. Rev. Bonds (New England Pwr. Co. Proj.):

Series 1992, 0.4% tender 5/17/12, CP mode

10,000

10,000

Series 1993 A, 0.4% tender 5/2/12, CP mode

18,100

18,100

 

136,955

Michigan - 2.3%

Michigan Bldg. Auth. Rev. Series 6, 0.19% 6/28/12, LOC State Street Bank & Trust Co., Boston, LOC U.S. Bank NA, Cincinnati, CP

13,905

13,905

Michigan Fin. Auth. Rev. RAN Series 2011 C3, 2% 8/20/12, LOC Bank of Nova Scotia New York Branch

15,200

15,278

Michigan Gen. Oblig. Bonds Series 2002, 5.25% 12/1/12

7,400

7,618

Michigan Hosp. Fin. Auth. Rev. Bonds (Trinity Health Sys. Proj.):

Series 2008 C:

0.14% tender 5/7/12, CP mode

24,000

24,000

0.14% tender 5/15/12, CP mode

30,500

30,500

0.16% tender 5/15/12, CP mode

14,300

14,300

Series B, 0.12% tender 5/14/12, CP mode

23,420

23,420

Series C, 0.12% tender 5/15/12, CP mode

60,000

60,000

 

189,021

Minnesota - 0.2%

Metropolitan Council Gen. Oblig. Rev. Bonds Series 2011 C, 0.25% 3/1/13

10,000

10,000

Univ. of Minnesota Gen. Oblig. Series 2009 D, 0.2% 7/17/12, CP

3,500

3,500

 

13,500

Other Municipal Debt - continued

Principal Amount (000s)

Value (000s)

Mississippi - 0.1%

Mississippi Gen. Oblig. Bonds Series 2006 D, 5% 11/1/12

$ 1,920

$ 1,966

Mississippi Hosp. Equip. & Facilities Auth. Bonds (Baptist Memorial Health Care Proj.) Series 2004 B2, 0.19%, tender 7/11/12 (a)(e)

8,600

8,600

 

10,566

Missouri - 0.3%

Curators of the Univ. of Missouri Series A, 0.2% 5/15/12, CP

3,500

3,500

Missouri Health & Edl. Facilities Auth. Health Facilities Rev. Bonds (CoxHealth Proj.):

0.16% tender 5/7/12, LOC Bank of Nova Scotia New York Branch, CP mode

11,000

11,000

0.21% tender 5/4/12, LOC Bank of Nova Scotia New York Branch, CP mode

13,000

13,000

 

27,500

Montana - 0.0%

Montana Board of Invt. Bonds:

(INTERCAP Revolving Prog.) Series 2010, 0.22%, tender 3/1/13 (a)

2,675

2,675

Series 1998, 0.22%, tender 3/1/13 (a)

1,000

1,000

 

3,675

Nebraska - 0.4%

Nebraska Pub. Pwr. District Rev. Series A:

0.16% 8/8/12, CP

9,500

9,500

0.18% 5/8/12, CP

13,700

13,700

0.19% 5/9/12, CP

5,650

5,650

Omaha Pub. Pwr. District Elec. Rev. Series A, 0.12% 6/11/12, CP

3,500

3,500

 

32,350

Nevada - 0.1%

Clark County School District Bonds Series 2007 B, 5% 6/15/12

2,140

2,152

Truckee Meadows Wtr. Auth. Wtr. Rev. Series 2006 B:

0.27% 5/1/12, LOC Lloyds TSB Bank PLC, CP

3,700

3,700

0.29% 5/3/12, LOC Lloyds TSB Bank PLC, CP

2,100

2,100

 

7,952

New Jersey - 1.5%

Montgomery Township Gen. Oblig. BAN 2% 9/7/12

14,386

14,462

Other Municipal Debt - continued

Principal Amount (000s)

Value (000s)

New Jersey - continued

New Jersey Gen. Oblig. TRAN Series 2012 C, 2% 6/21/12

$ 82,695

$ 82,897

North Brunswick Township Gen. Oblig. BAN Series 2011 A, 1.5% 8/9/12

21,600

21,672

 

119,031

New York - 1.9%

Huntington Union Free School District TAN 1.5% 6/27/12

13,500

13,526

New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev.:

Series 7, 0.28% 1/22/13, CP

4,800

4,800

Series 8, 0.18% 12/17/12, CP

8,600

8,600

New York Dorm. Auth. Revs. Series 1998, 0.18% 5/3/12, CP

6,500

6,500

New York Metropolitan Trans. Auth. Rev. Series 2C, 0.15% 8/2/12, LOC Royal Bank of Canada, CP

15,800

15,800

New York Pwr. Auth. Series 1:

0.25% 5/1/12, CP

1,087

1,087

0.25% 5/18/12, CP

13,400

13,400

New York State Gen. Oblig. Bonds Series 2011 C, 5% 9/1/12

10,000

10,160

New York Thruway Auth. Svc. Contract Rev. Bonds Series 2012 A, 2% 4/1/13

20,200

20,536

South Huntington Union Free School District TAN 1.5% 6/28/12

12,500

12,524

Suffolk County Wtr. Auth. BAN Series 2012 A, 2% 1/15/13

10,900

11,038

Syosset Central School District TAN 1.5% 6/22/12

12,500

12,522

Tarrytown BAN Series 2011 D, 1.5% 10/19/12

8,188

8,235

West Babylon Union Free School District TAN 1.5% 6/22/12

15,000

15,025

 

153,753

North Carolina - 1.0%

Board of Governors of the Univ. of North Carolina Series D:

0.11% 5/21/12, CP

11,010

11,010

0.13% 5/14/12, CP

10,000

10,000

0.15% 5/21/12, CP

7,100

7,100

0.15% 7/9/12, CP

14,800

14,800

0.18% 5/22/12, CP

11,600

11,600

Charlotte Wtr. & Swr. Sys. Rev. Bonds:

Series 2009 B, 4% 7/1/12

1,000

1,006

Series 2011, 1.5% 6/1/12

3,320

3,324

Guilford County Gen. Oblig. Bonds Series 2012 A, 2% 3/1/13

3,645

3,700

Other Municipal Debt - continued

Principal Amount (000s)

Value (000s)

North Carolina - continued

Mecklenburg County Pub. Facilities Corp. Bonds Series 2009, 5% 3/1/13

$ 3,920

$ 4,076

North Carolina Gen. Oblig. Bonds Series 2007 A, 5% 3/1/13

13,525

14,066

 

80,682

Ohio - 0.4%

Ohio Gen. Oblig. Bonds Series 2012 A, 2% 2/1/13

1,060

1,074

Ohio Higher Edl. Facility Commission Rev. Bonds (The Cleveland Clinic Foundation Proj.):

Series 2008 B5, 0.14% tender 8/9/12, CP mode

3,000

3,000

Series 2008 B6:

0.14% tender 8/9/12, CP mode

15,000

15,000

0.28% tender 6/22/12, CP mode

10,000

10,000

 

29,074

Oregon - 1.5%

Clackamas County Hosp. Facility Auth. Bonds (Providence Health Sys. Proj.):

Series 2003 E:

0.16% tender 5/8/12, CP mode

8,000

8,000

0.2% tender 8/3/12, CP mode

10,000

10,000

Series 2003 G, 0.13% tender 6/5/12, CP mode

14,275

14,275

Series F, 0.15% tender 8/6/12, CP mode

10,000

10,000

Oregon Gen. Oblig. TAN Series 2011 A, 2% 6/29/12

76,400

76,617

 

118,892

Pennsylvania - 0.2%

Univ. of Pittsburgh Commonwealth Sys. of Higher Ed. Bonds (Univ. Cap. Proj.) Series 2005 B, 0.17% tender 7/2/12, CP mode

13,300

13,300

Rhode Island - 0.0%

Rhode Island & Providence Plantations Bonds Series 2004 B, 5% 8/1/12

2,000

2,024

South Carolina - 0.6%

Darlington County School District Bonds 5% 3/1/13

1,280

1,331

Greenville County School District Bonds Series 2011, 1.5% 6/1/12

16,900

16,918

Horry County School District Bonds Series 2002 A, 5.125% 3/1/13

1,000

1,041

South Carolina Pub. Svc. Auth. Rev.:

Bonds Series 2002 D, 5.25% 1/1/13

2,000

2,067

Series 2010 A:

0.15% 5/4/12, CP

11,887

11,887

Other Municipal Debt - continued

Principal Amount (000s)

Value (000s)

South Carolina - continued

South Carolina Pub. Svc. Auth. Rev.: - continued

0.15% 7/19/12, CP

$ 5,458

$ 5,458

Series 2010 B:

0.15% 5/4/12, CP

1,157

1,157

0.15% 7/19/12, CP

1,553

1,553

York County Poll. Cont. Rev. Bonds (Duke Energy Corp. Proj.) 0.4% tender 5/1/12, CP mode

7,000

7,000

 

48,412

Texas - 4.2%

Boerne Independent School District Bonds Series 2012, 2% 2/1/13 (Permanent School Fund of Texas Guaranteed)

3,880

3,933

Brownsville Util. Sys. Rev. Series A, 0.15% 7/19/12, LOC State Street Bank & Trust Co., Boston, CP

7,500

7,500

Dallas Independent School District Bonds Series 2005, 5.25% 8/15/12 (Permanent School Fund of Texas Guaranteed)

2,185

2,217

Dallas Wtrwks. & Swr. Sys. Rev. Bonds Series 2010, 3% 10/1/12

4,435

4,486

Frisco Independent School District Bonds Series WF 11 1C, 0.2%, tender 7/25/12 (Liquidity Facility Wells Fargo Bank NA) (a)(d)(e)

6,870

6,870

Harris County Gen. Oblig.:

Bonds Series 2011 A, 2%, tender 8/15/12 (a)

9,100

9,145

Series A1, 0.15% 7/19/12 (Liquidity Facility State Street Bank & Trust Co., Boston), CP

9,005

9,005

Series D, 0.2% 8/8/12 (Liquidity Facility JPMorgan Chase Bank), CP

1,000

1,000

Harris County Metropolitan Trans. Auth.:

Series A1:

0.15% 5/4/12 (Liquidity Facility JPMorgan Chase Bank), CP

28,150

28,150

0.17% 8/23/12 (Liquidity Facility JPMorgan Chase Bank), CP

15,400

15,400

0.19% 9/6/12 (Liquidity Facility JPMorgan Chase Bank), CP

11,750

11,750

Series A3, 0.13% 5/24/12 (Liquidity Facility State Street Bank & Trust Co., Boston), CP

9,000

9,000

Houston Gen. Oblig.:

Bonds Series 2010 A, 4% 3/1/13

5,805

5,989

Series A, 0.28% 5/1/12, LOC Union Bank of California, CP

7,600

7,600

Lower Colorado River Auth. Rev. 0.21% 8/14/12, LOC JPMorgan Chase Bank, LOC State Street Bank & Trust Co., Boston, CP

4,850

4,850

Other Municipal Debt - continued

Principal Amount (000s)

Value (000s)

Texas - continued

Lower Colorado River Auth. Transmission Contract Rev. Bonds (LCRA Transmission Corp. Proj.) Series 2011 B, 1.5% 5/15/12

$ 4,395

$ 4,397

North Central Texas Health Facilities Dev. Corp. Bonds Series WF 09 33C, 0.2%, tender 7/25/12 (Liquidity Facility Wells Fargo & Co.) (a)(d)(e)

7,270

7,270

San Antonio Elec. & Gas Sys. Rev.:

Bonds Series 2006 A, 5% 2/1/13

1,200

1,243

Series A, 0.26% 5/29/12, CP

17,500

17,500

San Antonio Wtr. Sys. Rev.:

Bonds Series 2011 A, 3% 5/15/13

1,000

1,028

Series 2001 A:

0.16% 5/1/12, CP

9,287

9,287

0.16% 5/1/12, CP

10,000

10,000

0.16% 5/4/12, CP

9,500

9,500

0.32% 5/24/12, CP

2,600

2,600

Texas A&M Univ. Rev. Series 1993 B, 0.16% 5/4/12, CP

16,200

16,200

Texas Gen. Oblig.:

Bonds Series 2011, 3% 10/1/12

1,600

1,619

Series 2011 B:

0.17% 8/30/12 (Liquidity Facility Texas Comptroller Pub. Accounts), CP

11,100

11,100

0.17% 8/30/12 (Liquidity Facility Texas Comptroller Pub. Accounts), CP

5,400

5,400

0.17% 8/30/12 (Liquidity Facility Texas Comptroller Pub. Accounts), CP

8,300

8,300

0.17% 8/30/12 (Liquidity Facility Texas Comptroller Pub. Accounts), CP

5,200

5,200

0.17% 8/30/12 (Liquidity Facility Texas Comptroller Pub. Accounts), CP

14,500

14,500

0.18% 8/30/12 (Liquidity Facility Texas Comptroller Pub. Accounts), CP

8,500

8,500

0.18% 8/30/12 (Liquidity Facility Texas Comptroller Pub. Accounts), CP

7,800

7,800

0.18% 8/30/12 (Liquidity Facility Texas Comptroller Pub. Accounts), CP

14,000

14,000

TRAN Series 2011 A, 2.5% 8/30/12

29,385

29,613

Texas Pub. Fin. Auth. Rev. Bonds Series 2010 A, 5% 7/1/12

5,000

5,040

Texas Trans. Commission State Hwy. Fund Rev. Bonds Series 2007, 5% 4/1/13

1,000

1,044

Univ. of Texas Board of Regents Sys. Rev.:

Bonds Series 2010 A, 4% 8/15/12

1,950

1,971

Other Municipal Debt - continued

Principal Amount (000s)

Value (000s)

Texas - continued

Univ. of Texas Board of Regents Sys. Rev.: - continued

Series 2002 A, 0.14% 8/6/12 (Liquidity Facility Univ. of Texas Invt. Mgmt. Co.), CP

$ 10,000

$ 10,000

Victoria Independent School District Bonds Series WF 08 26C, 0.2%, tender 7/25/12 (Liquidity Facility Wells Fargo & Co.) (a)(d)(e)

12,320

12,320

 

342,327

Utah - 0.8%

Intermountain Pwr. Agcy. Pwr. Supply Rev.:

Series 1997 B1, 0.15% 8/15/12 (Liquidity Facility Bank of Nova Scotia), CP

6,800

6,800

Series 1997 B2, 0.12% 6/5/12 (Liquidity Facility Bank of Nova Scotia), CP

5,160

5,160

Series 1997 B3, 0.15% 8/16/12 (Liquidity Facility JPMorgan Chase Bank), CP

40,700

40,700

Series 1998 B4, 0.16% 8/9/12 (Liquidity Facility JPMorgan Chase Bank), CP

2,940

2,940

Utah Gen. Oblig. Bonds Series 2002 B, 5.375% 7/1/12

7,200

7,262

 

62,862

Virginia - 1.1%

Fairfax County Gen. Oblig. Bonds Series 2004 B, 5% 10/1/12

1,000

1,020

Fairfax County Indl. Dev. Auth. Bonds Series 2009 A, 4% 5/15/12

1,000

1,001

Norfolk Econ. Dev. Auth. Hosp. Facilities Rev. Bonds (Sentara Healthcare Proj.):

Series 2010 C, 0.37%, tender 11/26/12 (a)

17,345

17,345

Series 2012 A, 0.33%, tender 11/26/12 (a)

13,145

13,145

Norfolk Econ. Dev. Auth. Rev. Series 1997, 0.18% 6/7/12, CP

8,700

8,700

Univ. of Virginia Gen. Rev.:

Bonds Series A:

0.13% tender 7/19/12, CP mode

11,010

11,010

0.13% tender 7/19/12, CP mode

11,000

11,000

Series 2003 A, 0.14% 7/16/12, CP

5,000

5,000

Virginia College Bldg. Auth. Edl. Facilities Rev. Bonds:

Series 2009 D, 5% 2/1/13

4,130

4,279

Series 2011 A, 3% 9/1/12

3,375

3,406

Virginia Commonwealth Trans. Board Rev. Bonds (Trans. Cap. Projects) Series 2010 A1, 5% 5/15/12

3,550

3,556

Other Municipal Debt - continued

Principal Amount (000s)

Value (000s)

Virginia - continued

Virginia Pub. Bldg. Auth. Pub. Facilities Rev. Bonds Series 2010 B1, 4% 8/1/12

$ 3,825

$ 3,861

Virginia Pub. School Auth. Bonds:

(Resolution Proj.) Series 2009 C, 4% 8/1/12

1,500

1,514

Series 1997 B, 5% 8/1/12

5,080

5,141

 

89,978

Washington - 0.7%

Central Puget Sound Reg'l. Trans. Auth. Sales & Use Tax Rev. Bonds Series WF 11 38, 0.2%, tender 7/25/12 (Liquidity Facility Wells Fargo Bank NA) (a)(d)(e)

9,950

9,950

Energy Northwest Elec. Rev. Bonds Series 2008 D, 5% 7/1/12

3,505

3,533

King County Swr. Rev. Bonds Series 2010, 4% 1/1/13

3,080

3,158

Seattle Muni. Lt. & Pwr. Rev. Bonds Series 2008, 5% 4/1/13

3,000

3,131

Washington Gen. Oblig. Bonds:

Series 2011 C, 5% 7/1/12

5,100

5,140

Series 2012 D, 2% 2/1/13

9,835

9,969

Series 2012 E, 4% 2/1/13

4,080

4,197

Washington Pub. Pwr. Supply Sys. Nuclear Proj. #2 Rev. Bonds 5.4% 7/1/12 (Bonneville Pwr. Administration Guaranteed)

15,400

15,531

 

54,609

Wisconsin - 1.1%

Milwaukee Gen. Oblig.:

Bonds Series 2011 N3, 4% 5/15/12

11,300

11,316

Series C2, 0.18% 8/9/12, LOC State Street Bank & Trust Co., Boston, CP

4,000

4,000

Wisconsin Gen. Oblig.:

Bonds:

Series 1:

5% 5/1/12

6,000

6,000

5% 5/1/12

1,250

1,250

Series 2004 E, 4.25% 5/1/12

1,125

1,125

Series 2005 A, 0.15% 8/16/12 (Liquidity Facility State Street Bank & Trust Co., Boston) (Liquidity Facility California Teachers Retirement Sys.), CP

2,500

2,500

Series 2006 A:

0.15% 8/16/12 (Liquidity Facility State Street Bank & Trust Co., Boston) (Liquidity Facility California Teachers Retirement Sys.), CP

3,250

3,250

0.2% 8/10/12 (Liquidity Facility State Street Bank & Trust Co., Boston) (Liquidity Facility California Teachers Retirement Sys.), CP

13,900

13,900

Other Municipal Debt - continued

Principal Amount (000s)

Value (000s)

Wisconsin - continued

Wisconsin Gen. Oblig.: - continued

TAN Series 2011, 2% 6/15/12

$ 20,800

$ 20,845

Wisconsin Trans. Rev.:

Series 1997, 0.15% 8/16/12 (Liquidity Facility State Street Bank & Trust Co., Boston) (Liquidity Facility California Teachers Retirement Sys.), CP

10,341

10,341

Series 2006 A:

0.14% 8/9/12 (Liquidity Facility State Street Bank & Trust Co., Boston) (Liquidity Facility California Teachers Retirement Sys.), CP

9,850

9,850

0.2% 8/10/12 (Liquidity Facility State Street Bank & Trust Co., Boston) (Liquidity Facility California Teachers Retirement Sys.), CP

2,000

2,000

 

86,377

TOTAL OTHER MUNICIPAL DEBT


2,164,535

Investment Company - 3.2%

 

 

 

 

Fidelity Tax-Free Cash Central Fund, 0.25% (b)(c)

262,677


262,677

TOTAL INVESTMENT PORTFOLIO - 98.4%

(Cost $7,988,030)

7,988,030

NET OTHER ASSETS (LIABILITIES) - 1.6%

128,471

NET ASSETS - 100%

$ 8,116,501

Security Type Abbreviations

BAN

-

BOND ANTICIPATION NOTE

CP

-

COMMERCIAL PAPER

RAN

-

REVENUE ANTICIPATION NOTE

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)

Legend

(a) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

(b) Information in this report regarding holdings by state and security types does not reflect the holdings of the Fidelity Tax-Free Cash Central Fund.

(c) Affiliated fund that is 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 are available on the SEC's website or upon request.

(d) Provides evidence of ownership in one or more underlying municipal bonds.

(e) Restricted securities - 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 $81,545,000 or 1.0% of net assets.

Additional information on each restricted holding is as follows:

Security

Acquisition Date

Cost
(000s)

Belmont Redwood Shores CA School District Bonds Series WF 11 105 C, 0.2%, tender 7/25/12 (Liquidity Facility Wells Fargo Bank NA)

9/29/11

$ 10,350

Central Puget Sound Reg'l. Trans. Auth. Sales & Use Tax Rev. Bonds Series WF 11 38, 0.2%, tender 7/25/12 (Liquidity Facility Wells Fargo Bank NA)

3/24/11

$ 9,950

Security

Acquisition Date

Cost
(000s)

Frisco Independent School District Bonds Series WF 11 1C, 0.2%, tender 7/25/12 (Liquidity Facility Wells Fargo Bank NA)

1/25/12

$ 6,870

Mississippi Hosp. Equip. & Facilities Auth. Bonds (Baptist Memorial Health Care Proj.) Series 2004 B2, 0.19%, tender 7/11/12

1/5/12

$ 8,600

North Central Texas Health Facilities Dev. Corp. Bonds Series WF 09 33C, 0.2%, tender 7/25/12 (Liquidity Facility Wells Fargo & Co.)

8/18/11

$ 7,270

Palm Beach County Solid Waste Auth. Rev. Bonds Series WF 11 118, 0.2%, tender 7/25/12 (Liquidity Facility Wells Fargo Bank NA)

10/27/11 - 12/2/11

$ 26,185

Victoria Independent School District Bonds Series WF 08 26C, 0.2%, tender 7/25/12 (Liquidity Facility Wells Fargo & Co.)

8/18/11

$ 12,320

Affiliated Central Funds

Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:

Fund

Income earned
(Amounts in thousands)

Fidelity Tax-Free Cash Central Fund

$ 288

Other Information

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.

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 those securities. For more information on valuation inputs, please refer to the Security Valuation section in the accompanying Notes to Financial Statements.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Statements

Statement of Assets and Liabilities

 Amounts in thousands (except per-share amounts)

April 30, 2012 (Unaudited)

 

 

 

Assets

Investment in securities, at value - See accompanying schedule:

Unaffiliated issuers (cost $7,725,353)

$ 7,725,353

 

Fidelity Central Funds (cost $262,677)

262,677

 

Total Investments (cost $7,988,030)

 

$ 7,988,030

Cash

 

956

Receivable for investments sold

134,771

Receivable for fund shares sold

149,042

Interest receivable

12,680

Distributions receivable from Fidelity Central Funds

51

Prepaid expenses

6

Receivable from investment adviser for expense reductions

137

Other receivables

39

Total assets

8,285,712

 

 

 

Liabilities

Payable for investments purchased

$ 71,690

Payable for fund shares redeemed

91,638

Distributions payable

2

Accrued management fee

1,484

Other affiliated payables

4,305

Other payables and accrued expenses

92

Total liabilities

169,211

 

 

 

Net Assets

$ 8,116,501

Net Assets consist of:

 

Paid in capital

$ 8,116,186

Accumulated undistributed net realized gain (loss) on investments

315

Net Assets

$ 8,116,501

 

 

 

Daily Money Class:
Net Asset Value, offering price and redemption price per share ($485,611 ÷ 485,132 shares)

$ 1.00

 

 

 

Capital Reserves Class:
Net Asset Value, offering price and redemption price per share ($362,976 ÷ 362,627 shares)

$ 1.00

 

 

 

Fidelity Tax-Free Money Market Fund:
Net Asset Value, offering price and redemption price per share ($7,267,914 ÷ 7,264,040 shares)

$ 1.00

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Statement of Operations

 Amounts in thousands

Six months ended April 30, 2012 (Unaudited)

 

  

  

Investment Income

  

  

Interest

 

$ 6,017

Income from Fidelity Central Funds

 

288

Total income

 

6,305

 

 

 

Expenses

Management fee

$ 10,126

Transfer agent fees

8,102

Distribution and service plan fees

1,638

Accounting fees and expenses

335

Custodian fees and expenses

52

Independent trustees' compensation

15

Registration fees

387

Audit

25

Legal

14

Miscellaneous

20

Total expenses before reductions

20,714

Expense reductions

(14,813)

5,901

Net investment income (loss)

404

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers

304

Net increase in net assets resulting from operations

$ 708

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Statements - continued

Statement of Changes in Net Assets

 Amounts in thousands

Six months ended April 30, 2012
(Unaudited)

Year ended
October 31,
2011

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 404

$ 747

Net realized gain (loss)

304

63

Net increase in net assets resulting
from operations

708

810

Distributions to shareholders from net investment income

(404)

(747)

Share transactions - net increase (decrease)

160,027

1,070,916

Total increase (decrease) in net assets

160,331

1,070,979

 

 

 

Net Assets

Beginning of period

7,956,170

6,885,191

End of period

$ 8,116,501

$ 7,956,170

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Daily Money Class

 

Six months ended April 30, 2012

Years ended October 31,

 

(Unaudited)

2011

2010

2009

2008

2007

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss)

  - G

  - G

  - G

  .001

  .019

  .030

Net realized and unrealized gain (loss) G

  -

  -

  -

  -

  -

  -

Total from investment operations

  - G

  - G

  - G

  .001

  .019

  .030

Distributions from net investment income

  - G

  - G

  - G

  (.001)

  (.019)

  (.030)

Distributions from net realized gain

  -

  -

  -

  -

  -G

  -

Total distributions

  - G

  - G

  - G

  (.001)

  (.019)

  (.030)

Net asset value, end of period

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

Total Return B,C

  -%E

  .01%

  .01%

  .06%

  1.87%

  3.07%

Ratios to Average Net Assets D,F

 

 

 

 

 

Expenses before reductions

  .72% A

  .72%

  .72%

  .76%

  .73%

  .73%

Expenses net of fee waivers, if any

  .15% A

  .21%

  .28%

  .60%

  .70%

  .70%

Expenses net of all reductions

  .15% A

  .21%

  .28%

  .59%

  .61%

  .54%

Net investment income (loss)

  .01% A

  .01%

  .01%

  .05%

  1.81%

  3.03%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 486

$ 525

$ 508

$ 597

$ 922

$ 895

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

E Amount represents less than .01%.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed or waived or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement and waivers but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

G Amount represents less than $.001 per share.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Capital Reserves Class

 

Six months ended April 30, 2012

Years ended October 31,

 

(Unaudited)

2011

2010

2009

2008

2007

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss)

  - G

  - G

  - G

  - G

  .016

  .028

Net realized and unrealized gain (loss) G

  -

  -

  -

  -

  -

  -

Total from investment operations

  - G

  - G

  - G

  - G

  .016

  .028

Distributions from net investment income

  - G

  - G

  - G

  - G

  (.016)

  (.028)

Distributions from net realized gain

  -

  -

  -

  -

  -G

  -

Total distributions

  - G

  - G

  - G

  - G

  (.016)

  (.028)

Net asset value, end of period

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

Total Return B,C

  -%E

  .01%

  .01%

  .02%

  1.62%

  2.81%

Ratios to Average Net Assets D,F

 

 

 

 

 

Expenses before reductions

  .98% A

  .97%

  .97%

  1.01%

  .98%

  .98%

Expenses net of fee waivers, if any

  .15% A

  .22%

  .28%

  .63%

  .95%

  .95%

Expenses net of all reductions

  .15% A

  .22%

  .28%

  .63%

  .86%

  .82%

Net investment income (loss)

  .01% A

  .01%

  .01%

  .02%

  1.56%

  2.74%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 363

$ 399

$ 371

$ 452

$ 660

$ 508

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

E Amount represents less than .01%.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed or waived or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement and waivers but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

G Amount represents less than $.001 per share.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Fidelity Tax-Free Money Market Fund

 

Six months ended April 30, 2012

Years ended October 31,

 

(Unaudited)

2011

2010

2009

2008

2007

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss)

  - G

  - G

  - G

  .002

  .021

  .033

Net realized and unrealized gain (loss) G

  -

  -

  -

  -

  -

  -

Total from investment operations

  - G

  - G

  - G

  .002

  .021

  .033

Distributions from net investment income

  - G

  - G

  - G

  (.002)

  (.021)

  (.033)

Distributions from net realized gain

  -

  -

  -

  -

  -G

  -

Total distributions

  - G

  - G

  - G

  (.002)

  (.021)

  (.033)

Net asset value, end of period

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

Total Return B,C

  -%E

  .01%

  .01%

  .18%

  2.13%

  3.32%

Ratios to Average Net Assets D,F

 

 

 

 

 

Expenses before reductions

  .47% A

  .47%

  .47%

  .51%

  .48%

  .48%

Expenses net of fee waivers, if any

  .15% A

  .21%

  .28%

  .47%

  .45%

  .45%

Expenses net of all reductions

  .15% A

  .21%

  .28%

  .46%

  .36%

  .29%

Net investment income (loss)

  .01% A

  .01%

  .01%

  .18%

  2.06%

  3.28%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (in millions)

$ 7,268

$ 7,032

$ 6,006

$ 5,918

$ 6,784

$ 4,346

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

E Amount represents less than .01%.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed or waived or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement and waivers but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

G Amount represents less than $.001 per share.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Notes to Financial Statements

For the period ended April 30, 2012 (Unaudited)

(Amounts in thousands except percentages)

1. Organization.

Tax-Exempt Fund (the Fund) is a fund of Fidelity Newbury Street Trust (the Trust) and 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. The Fund offers three classes of shares, Daily Money Class, Capital Reserves Class and Fidelity® Tax-Free Money Market Fund. Each class has equal rights as to assets and voting privileges and has exclusive voting rights with respect to matters that affect that class. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class.

2. Investments in Fidelity Central Funds.

The Fund invests in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR.

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC web site or upon request.

3. Significant Accounting Policies.

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. The following summarizes the significant accounting policies of the Fund:

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

3. Significant Accounting Policies - continued

Security Valuation. The 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 - 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 Fund's 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. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities.

Expenses. 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. 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), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.

Semiannual Report

3. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders. Each year, the 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 income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. A 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.

Dividends 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 dividends 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.

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. Temporary book-tax differences will reverse in a subsequent period.

Book-tax differences are primarily due to deferred trustees compensation.

The Fund 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.

The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:

Gross unrealized appreciation

$ -

Gross unrealized depreciation

-

Net unrealized appreciation (depreciation) on securities and other investments

$ -

 

 

Tax cost

$ 7,988,030

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

4. Operating Policies.

Restricted Securities. The Fund 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 is included at the end of the Fund's Schedule of Investments.

5. Fees and Other Transactions with Affiliates.

Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .25% of the Fund's average net assets.

Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Daily Money Class and Capital Reserves Class pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, separate Distribution and Service Fees, each of which are based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund 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

Total
Fees

Retained
by FDC

Daily Money Class

-%

.25%

$ 628

$ -

Capital Reserves Class

.25%

.25%

1,010

-

 

 

 

$ 1,638

$ -

During the period, FMR or its affiliates waived a portion of these fees.

Sales Load. FDC receives the proceeds of deferred sales charges of .25% on certain purchases of the Daily Money Class. For the period, FDC retained no sales load from Daily Money Class.

Transfer Agent and Accounting Fees. Citibank, N.A. (Citibank) is the custodian, transfer agent and servicing agent for the Fund. Citibank has entered into a sub-arrangement with Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, to perform the activities associated with the Fund's transfer agency and shareholder servicing functions. FIIOC receives asset-based fees with respect to each account.

Semiannual Report

5. Fees and Other Transactions with Affiliates - continued

Transfer Agent and Accounting Fees - continued

FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. Each class pays a transfer agent fee equal to an annual rate of .20% of average net assets. For the period, transfer agent fees for each class were as follows:

Daily Money Class

$ 503

Capital Reserves Class

404

Fidelity Tax-Free Money Market Fund

7,195

 

$ 8,102

During the period, FMR or its affiliates waived a portion of these fees.

Citibank also has a sub-arrangement with Fidelity Service Company, Inc. (FSC), an affiliate of FMR, under which FSC maintains the Fund's accounting records. The fee is based on the level of average net assets for the month.

6. Expense Reductions.

FMR voluntarily agreed to reimburse each class to the extent annual operating expenses exceeded certain levels of average net assets as noted in the table below. Some expenses, for example interest expense, are excluded from this reimbursement.

The following classes were in reimbursement during the period:

 

Expense
Limitations

Reimbursement
from adviser

Daily Money Class

.70%

$ 62

Capital Reserves Class

.95%

52

Fidelity Tax-Free Money Market Fund

.45%

831

Additionally, FMR or its affiliates voluntarily agreed to waive certain fees in order to maintain a minimum annualized yield of .01%. Such arrangements may be discontinued by FMR at any time. For the period, the amount of the waiver for each class was as follows:

Daily Money Class

$ 1,385

Capital Reserves Class

1,618

Fidelity Tax-Free Money Market Fund

10,864

In addition, through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $1.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

(Amounts in thousands except percentages)

7. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

Six months ended
April 30, 2012

Year ended
October 31, 2011

From net investment income

 

 

Daily Money Class

$ 25

$ 51

Capital Reserves Class

20

36

Fidelity Tax-Free Money Market Fund

359

660

Total

$ 404

$ 747

8. Share Transactions.

Transactions for each class of shares at a $1.00 per share were as follows:

Six months ended
April 30, 2012

Year ended
October 31, 2011

Daily Money Class
Shares sold

 

668,127

 

1,710,214

Reinvestment of distributions

24

49

Shares redeemed

(707,078)

(1,693,548)

Net increase (decrease)

(38,927)

16,715

Capital Reserves Class
Shares sold

 

846,697

 

1,946,190

Reinvestment of distributions

18

36

Shares redeemed

(882,976)

(1,918,448)

Net increase (decrease)

(36,261)

27,778

Fidelity Tax-Free Money Market Fund
Shares sold

 

11,795,938

 

25,532,133

Reinvestment of distributions

352

652

Shares redeemed

(11,561,075)

(24,506,362)

Net increase (decrease)

235,215

1,026,423

9. Other.

The 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, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.

Semiannual Report

Investment Adviser

Fidelity Management & Research Company

Boston, MA

Sub-Adviser

Fidelity Investments
Money Management, Inc.

Fidelity Management & Research
(U.K.) Inc.

Fidelity Management & Research
(Hong Kong) Limited

Fidelity Management & Research
(Japan) Inc.

General Distributor

Fidelity Distributors Corporation

Boston, MA

Transfer and Service Agents

Citibank, N.A.

New York, NY

Fidelity Investments Institutional
Operations Company, Inc.

Boston, MA

Fidelity Service Company, Inc.

Boston, MA

Custodian

Citibank, N.A.

New York, NY 

TFM-USAN-0612
1.784918.109

(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
82 Devonshire St., Boston, MA 02109
www.fidelity.com

Item 2. Code of Ethics

Not applicable.

Item 3. Audit Committee Financial Expert

Not applicable.

Item 4. Principal Accountant Fees and Services

Not applicable.

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 Fidelity Newbury Street Trust's Board of Trustees.

Item 11. Controls and Procedures

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Newbury Street Trust's (the "Trust") 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 Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.

Item 12. Exhibits

(a)

(1)

Not applicable.

(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 Newbury Street Trust

By:

/s/John R. Hebble

 

John R. Hebble

 

President and Treasurer

 

 

Date:

June 15, 2012

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 R. Hebble

 

John R. Hebble

 

President and Treasurer

 

 

Date:

June 15, 2012

By:

/s/Christine Reynolds

 

Christine Reynolds

 

Chief Financial Officer

 

 

Date:

June 15, 2012