N-CSR 1 d772622dncsr.htm GOLDMAN SACHS TRUST Goldman Sachs Trust

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 811-05349

 

Goldman Sachs Trust

 

(Exact name of registrant as specified in charter)

71 South Wacker Drive, Chicago, Illinois 60606

 

(Address of principal executive offices) (Zip code)

 

Caroline Kraus, Esq.    Copies to:
Goldman Sachs & Co. LLC    Geoffrey R.T. Kenyon, Esq.
200 West Street    Dechert LLP
New York, New York 10282    100 Oliver Street
   40th Floor
   Boston, MA 02110-2605

 

(Name and address of agents for service)

 

Registrant’s telephone number, including area code: (312) 655-4400

 

Date of fiscal year end: August 31

 

Date of reporting period: August 31, 2019

 

 

ITEM 1.

REPORTS TO STOCKHOLDERS.

 

    

The Annual Report to Shareholders is filed herewith.


Goldman Sachs Funds

 

LOGO

 

 
Annual Report      

August 31, 2019

 
     

Financial Square FundsSM

     

Federal Instruments

     

Government

     

Money Market

     

Prime Obligations

     

Treasury Instruments

     

Treasury Obligations

     

Treasury Solutions

It is our intention that beginning on January 1, 2021, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from a Fund or from your financial intermediary. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. At any time, you may elect to receive reports and certain communications from a Fund electronically by calling the applicable toll-free number below or by contacting your financial intermediary.

You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a Fund directly with the Fund’s transfer agent, you can inform the transfer agent that you wish to receive paper copies of reports by calling toll-free 800-621-2550 for Institutional, Administration, Capital, Cash Management, Drexel Hamilton Class, Preferred, Premier, Resource, Service, Class R6 and Select shareholders or 800-526-7384 for Class A and Class C shareholders. If you hold shares of a Fund through a financial intermediary, please contact your financial intermediary to make this election. Your election to receive reports in paper will apply to all Goldman Sachs Funds held in your account if you invest through your financial intermediary or all Goldman Sachs Funds held with the Funds’ transfer agent if you invest directly with the transfer agent.

 

LOGO


Goldman Sachs Financial Square Funds

 

 

FEDERAL INSTRUMENTS FUND

 

 

GOVERNMENT FUND

 

 

MONEY MARKET FUND

 

 

PRIME OBLIGATIONS FUND

 

 

TREASURY INSTRUMENTS FUND

 

 

TREASURY OBLIGATIONS FUND

 

 

TREASURY SOLUTIONS FUND

 

TABLE OF CONTENTS

 

Portfolio Management Discussion and Analysis

    1  

Fund Basics

    5  

Yield Summary

    6  

Sector Allocations

    7  

Schedules of Investments

    9  

Financial Statements

    41  

Financial Highlights

 

Federal Instruments Fund

    49  

Government Fund

    57  

Money Market Fund

    69  

Prime Obligations Fund

    78  

Treasury Instruments Fund

    87  

Treasury Obligations Fund

    96  

Treasury Solutions Fund

    105  

Notes to Financial Statements

    114  

Report of Independent Registered Public Accounting Firm

    131  

Other Information

    132  

 

     
NOT FDIC-INSURED   May Lose Value   No Bank Guarantee


PORTFOLIO RESULTS

 

Goldman Sachs Financial Square Funds

 

Investment Objective and Principal Investment Strategies

Each of the Goldman Sachs Financial Square Funds seek to maximize current income to the extent consistent with the preservation of capital and the maintenance of liquidity by investing exclusively in high quality money market instruments. The Goldman Sachs Prime Obligations Fund and the Goldman Sachs Money Market Fund pursue this investment objective by investing in U.S. government securities, obligations of banks (which may exceed 25% of its assets), commercial paper and other short-term obligations of U.S. companies, states, municipalities and other entities, and repurchase agreements (“repos”). They may also invest in U.S. dollar-denominated obligations of foreign banks, foreign companies and foreign governments. The Goldman Sachs Treasury Obligations Fund pursues the investment objective by investing only in U.S. Treasury obligations and repos collateralized by U.S. Treasury obligations. The Goldman Sachs Treasury Instruments Fund pursues the investment objective by investing only in U.S. Treasury obligations, the interest from which is generally exempt from state income taxation. The Goldman Sachs Treasury Solutions Fund pursues the investment objective by investing only in U.S. Treasury obligations and repos with the Federal Reserve Bank of New York collateralized by U.S. Treasury obligations. The Goldman Sachs Government Fund pursues the investment objective by investing only in U.S. government securities and repos collateralized by such securities. The Goldman Sachs Federal Instruments Fund pursues the investment objective by investing only in U.S. government securities, the interest from which is generally exempt from state income taxation.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Money Market Portfolio Management Team discusses the Goldman Sachs Financial Square Funds’ (the “Funds”) performance and positioning for the 12-month period ended August 31, 2019 (the “Reporting Period”).

 

Q   What economic and market factors most influenced the money markets as a whole during the Reporting Period?

 

A   Money market yields ended the Reporting Period slightly higher than they started, as the Federal Reserve (“Fed”) shifted its monetary policy stance. After raising the targeted federal funds rate in September and December 2018, Fed policymakers pivoted to a more accommodative stance, leaving it unchanged until July 2019, when they implemented an interest rate cut. Other influences on the money markets during the Reporting Period were the continuation of the Fed’s balance sheet normalization and the dovish stance of most developed markets’ central banks. (Balance sheet normalization refers to the steps the Fed is taking to reverse quantitative easing and remove the substantial monetary accommodation it has provided to the economy since the financial crisis began in 2007. Dovish tends to imply lower interest rates; opposite of hawkish.)

 

      When the Reporting Period started in September 2018, U.S. economic growth was robust, though some major economies, including those of the Eurozone, the U.K. and China, exhibited a gradual weakening trend. The Fed raised the targeted federal funds rate by 25 basis points, citing ongoing strength in the U.S. labor market and a pickup in household spending and business fixed investment. (A basis point is 1/100th of a percentage point.) The Fed’s dot plot pointed to another interest rate increase by the end of 2018 and three more during 2019. (The “dot plot” shows rate projections of the members of the Fed’s Open Market Committee.) Fed Chair Jerome Powell delivered an upbeat assessment of the U.S. economy, which supported market expectations for these additional Fed rate hikes in 2019. In December 2018, Fed policymakers raised the targeted federal funds rate by an additional 25 basis points, much as the market had expected, but lowered their projection for 2019 monetary policy tightening from three rate hikes to two.

 

     

In the first quarter of 2019, the Fed kept its monetary policy unchanged, with its dot plot projecting no interest rate hikes at all during 2019. The U.S. economy continued to benefit from strength in household consumption, which was underpinned by a healthy labor market. During the second calendar quarter, the Fed remained on hold and noted that inflation softness might be due to “transitory factors.” Meanwhile, market speculation about possible 2019 Fed rate cuts increased due to an accumulation of factors, including soft inflation, weakness in U.S. economic data, continued global economic growth headwinds from unresolved U.S.-China trade negotiations and weakness in the manufacturing

 

1


PORTFOLIO RESULTS

 

 

sector. In June 2019, eight of the 12 members on the Federal Open Market Committee projected interest rate cuts during the 2019 calendar year. Indeed, at its July policy meeting, the Fed delivered its first interest rate cut since 2008, with Fed Chair Powell describing it as a “mid-cycle adjustment.” The Fed also announced it would stop its balance sheet normalization at the end of September 2019, two months earlier than expected. In August 2019, as U.S. economic data showed signs of weakness and U.S.-China trade tensions persisted, market expectations for additional Fed rate cuts increased. In this environment, the U.S. Treasury yield curve partially inverted. (Yield curve is a spectrum of interest rates based on maturities of varying lengths.) More specifically, the spread, or differential, between the yields on two-year and 10-year U.S. Treasury securities inverted for the first time since 2007, meaning yields on two-year maturities were higher than those of 10-year U.S. Treasury securities. (A full inversion occurs when shorter-term yields exceed all longer-term yields.)

 

Q   What key factors were responsible for the performance of the Funds during the Reporting Period?

 

A   The Funds’ yields rose during the Reporting Period, driven by the increase in money market yields, which occurred primarily because of the economic and market factors discussed above. When the Reporting Period began, the money market yield curve was upwardly sloping. However, it inverted as the Fed cut the targeted federal funds rate.

 

Q   How did you manage the Funds during the Reporting Period?

 

A   Collectively, the Funds had investments in commercial paper, asset-backed commercial paper, U.S. Treasury securities, government agency securities, time deposits, certificates of deposit, floating rate securities, repurchase agreements (“repo”), government guaranteed paper, municipal securities and variable rate demand notes during the Reporting Period.

 

      In our commercial paper strategies (i.e., the Goldman Sachs Financial Square Money Market Fund and the Goldman Sachs Financial Square Prime Obligations Fund), we maintained somewhat short weighted average maturities of between 34 and 40 days during the first four months of the Reporting Period in response to rather consistent clarity from the Fed around potential interest rate hikes in September and December 2018. For the same reason, we maintained relatively short weighted average maturities of between 16 and 37 days in our government repo strategies (i.e., the Goldman Sachs Financial Square Government Fund, the Goldman Sachs Financial Square Treasury Obligations Fund and the Goldman Sachs Financial Square Treasury Solutions Fund) and between 27 days and 50 days in our government non-repo strategies (i.e., the Goldman Sachs Financial Square Federal Instruments Fund and the Goldman Sachs Financial Square Treasury Instruments Fund). The Funds’ purchases were focused on floating rate securities, asset-backed commercial paper and government agency securities, all of which helped us to manage duration. (Duration is a measure of the Funds’ sensitivity to changes in interest rates).

 

      After the December 2018 rate hike, the Fed’s path became less clear to us. As a result, we lengthened the weighted average maturities of our commercial paper, government repo and government non-repo strategies. Within our commercial paper strategies, we extended weighted average maturities to between 44 days and 52 days from January through May 2019. In our government repo strategies and our government non-repo strategies, we lengthened weighted average maturities to between 42 days and 50 days in December 2018. Then, from January through May 2019, we managed the weighted average maturities of our government repo strategies between 10 days and 46 days and our government non-repo strategies between 28 days and 47 days. As the Fed’s dovish bias became more apparent, we maintained the weighted average maturity of our commercial paper strategies between 38 days and 50 days from June through August 2019. During the same time period, we managed the weighted average maturity of our government repo strategies and government non-repo strategies between 16 days and 53 days and between 39 and 54 days, respectively. Purchases were focused overall on fixed-rate securities as we sought to manage the Funds’ duration.

 

      The weighted average maturity of a money market fund is a measure of its price sensitivity to changes in interest rates. Also known as effective maturity, weighted average maturity measures the weighted average of the maturity date of bonds held by the Funds, taking into consideration any available maturity shortening features.

 

Q   How did you manage the Funds’ weighted average life during the Reporting Period?

 

A  

During the Reporting Period, we managed the weighted average life of the Funds below 120 days. In our commercial paper strategies, we managed the Funds’ weighted average life in a range between approximately 70 days and

 

2


PORTFOLIO RESULTS

 

 

 

 

approximately 103 days. In our government repo and government non-repo strategies, we managed the Funds’ weighted average life in a range between approximately 58 days and approximately 118 days. The weighted average life of a money market fund is a measure of a money market fund’s price sensitivity to changes in liquidity and/or credit risk.

 

      Under amendments to SEC Rule 2a-7 that became effective in May 2010, the maximum allowable weighted average life of a money market fund is 120 days. While one of the goals of the SEC’s money market fund rule is to reinforce conservative investment practices across the money market fund industry, our security selection process has long emphasized conservative investment choices.

 

Q   Did you make any changes to the Funds’ portfolios during the Reporting Period?

 

A   During the Reporting Period, we made adjustments to the Funds’ weighted average maturities and their allocations to specific investments based on then-current market conditions, our near-term view and anticipated and actual Fed monetary policy statements.

 

Q   What is the Funds’ tactical view and strategy for the months ahead?

 

A   At the end of the Reporting Period, we expected the U.S. economic expansion to continue, albeit at a slower pace, with strength in consumer spending and services offsetting weakness in business investment and the manufacturing sector. Overall, we expected inflation to remain muted, with economic weakness tempering upside inflation pressures. Regarding the Fed’s monetary policy, we expected the U.S. central bank to deliver “insurance interest rate cuts” during the final months of 2019 due to slowing U.S. economic growth against a backdrop of subdued inflation and elevated geopolitical uncertainty.

 

      Overall, the Funds continue to be flexibly guided by shifting market conditions, and we have positioned them to seek to take advantage of anticipated interest rate movements. As always, we intend to continue to use our actively managed approach to seek the best possible return within the framework of our Funds’ investment guidelines and objectives. In addition, we will continue to manage interest, liquidity and credit risk daily. We will also continue to closely monitor economic data, Fed policy and any shifts in the money market yield curve, as we strive to navigate the interest rate environment.

 

3


PORTFOLIO RESULTS

 

 

GOVERNMENT MONEY MARKET FUNDS

 

   

Federal Instruments Fund

 

   

Government Fund

 

   

Treasury Instruments Fund

 

   

Treasury Obligations Fund

 

   

Treasury Solutions Fund

You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.

INSTITUTIONAL MONEY MARKET FUNDS

 

   

Money Market Fund

 

   

Prime Obligations Fund

You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.

 

4


FUND BASICS

 

Financial Square Funds

as of August 31, 2019

 

  PERFORMANCE REVIEW1,2

 

     September 1, 2018–
August 31, 2019
  

Fund Total Return (based on NAV)3

Institutional Shares

     SEC 7-Day
Current Yield4
       iMoneyNet Institutional
Average5
 
  Federal Instruments      2.18      1.94        2.02 %6 
  Government      2.23        2.00          2.02 6 
  Money Market      2.52        2.23          2.22 7 
  Prime Obligations      2.51        2.22          2.22 7 
  Treasury Instruments      2.16        1.86          1.96 8 
  Treasury Obligations      2.20        1.94          2.00 9 
    Treasury Solutions      2.17        1.87          2.00 9 

The returns represent past performance. Past performance does not guarantee future results. The Funds’ investment returns will fluctuate. Current performance may be lower or higher than the performance quoted above. Please visit our Web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

 

  1    Each of the Treasury Obligations, Money Market, Treasury Instruments and Treasury Solutions Funds offers nine separate classes of shares (Institutional, Select, Preferred, Capital, Administration, Service, Cash Management, Premier and Resource), the Federal Instruments Fund offers eight separate classes of shares (Institutional, Select, Preferred, Capital, Administration, Service, Cash Management and Premier), the Prime Obligations Fund offers ten separate classes of shares (Institutional, Select, Preferred, Capital, Administration, Service, Cash Management, Premier, Resource and Drexel Hamilton Class), and the Government Fund offers thirteen separate classes of shares (Institutional, Select, Preferred, Capital, Administration, Service, Cash Management, Premier, Resource, Drexel Hamilton Class, Class R6, Class A and Class C), each of which is subject to different fees and expenses that affect performance and entitles shareholders to different services. The Institutional, Drexel Hamilton Class, and Class R6 Shares do not have distribution and/or service (12b-1) or administration and/or service (non-12b-1) fees. The Select, Preferred, Capital, Administration, Service, Cash Management, Premier, Resource, Class A and Class C Shares offer financial institutions the opportunity to receive fees for providing certain distribution, administrative support and/or shareholder services (as applicable). As an annualized percentage of average daily net assets, these share classes pay combined distribution and/or service (12b-1), administration and/ or service (non-12b-1) fees (as applicable) at the following contractual rates: the Select Shares pay 0.03%, Preferred Shares pay 0.10%, Capital Shares pay 0.15%, Administration Shares pay 0.25%, Service Shares pay 0.50%, Cash Management Shares pay 0.80%, Premier Shares pay 0.35%, Resource Shares pay 0.65%, Class A Shares pay 0.25% and Class C Shares pay 1.00%. If these fees were reflected in the above performance, performance would have been reduced. In addition, the Fund’s performance does not reflect the deduction of any applicable sales charges.

 

  2    The investment adviser may contractually agree to waive or reimburse certain fees and expenses until a specified date. The investment adviser may also voluntarily waive certain fees and expenses, and such voluntary waivers may be discontinued or modified at any time without notice. The performance shown above reflects any waivers or reimbursements that were in effect for all or a portion of the periods shown. When waivers or reimbursements are in place, the Fund’s operating expenses are reduced and the Fund’s yield and total returns to the shareholder are increased.

 

  3    The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. A Fund’s total return reflects the reinvestment of dividends and other distributions.

 

  4    The SEC 7-Day Current Yield is calculated in accordance with securities industry regulations and does not include net capital gains. SEC 7-Day Current Yield may differ slightly from the actual distribution rate of a given Fund because of the exclusion of distributed capital gains, which are non-recurring. The SEC 7-Day Current Yield more closely reflects a Fund’s current earnings than do the Fund Total Return figures.

 

  5    Source: iMoneyNet, Inc. August 2019. The iMoneyNet Institutional Average represents total return.

 

  6    Government & Agencies Institutional–Category includes the most broadly based of the government institutional funds. These funds may generally invest in U.S. treasuries, U.S. agencies, repurchase agreements, or government-backed floating rate notes.

 

  7    First Tier Institutional–Category includes only non-government institutional funds that also are not holding any second tier securities. Portfolio holdings of First Tier funds include U.S. Treasury, U.S. other, repurchase agreements, time deposits, domestic bank obligations, foreign bank obligations, first tier commercial paper, floating rate notes, and asset-backed commercial paper.

 

  8    Treasury Institutional–Category includes only institutional government funds that hold 100 percent in U.S. Treasuries.

 

  9    Treasury & Repo Institutional–Category includes only institutional government funds that hold U.S. Treasuries and repurchase agreements backed by the U.S. Treasury.

 

5


YIELD SUMMARY

 

  SUMMARY OF THE INSTITUTIONAL SHARES1,2 AS OF 8/31/19

 

     Funds   

7-Day

Dist.

Yield10

    

SEC 7-Day

Effective

Yield11

    

30-Day

Average

Yield12

    

Weighted

Avg.

Maturity

(days)13

    

Weighted

Avg. Life

(days)14

 
  Federal Instruments      1.97      1.96      2.02      40        89  
  Government      2.03        2.02        2.05        21        100  
  Money Market      2.24        2.25        2.26        42        90  
  Prime Obligations      2.23        2.25        2.25        40        91  
  Treasury Instruments      1.94        1.88        2.00        49        104  
  Treasury Obligations      1.98        1.96        1.99        24        97  
    Treasury Solutions      1.98        1.88        2.01        51        110  

 

     The Yields represent past performance. Past performance does not guarantee future results. Current performance may be lower or higher than the performance quoted above.

 

     Yields reflect fee waivers and expense limitations in effect and will fluctuate as market conditions change. Please visit our Web site at www.GSAMFUNDS.com to obtain the most recent month-end performance.

 

10    The 7-Day Distribution Yield is an annualized measure of a Fund’s dividends per share, divided by the price per share. This yield includes capital gain/loss distribution, if any. This is not an SEC Yield.

 

11    The SEC 7-Day Effective Yield is calculated in accordance with securities industry regulations and does not include net capital gains. The SEC 7-Day Effective Yield assumes reinvestment of dividends for one year.

 

12    The 30-Day Average Yield is a net annualized yield of 30 days back from the current date listed. This yield includes capital gain/loss distribution. This is not an SEC Yield.

 

13    A Fund’s weighted average maturity (WAM) is an average of the effective maturities of all securities held in the portfolio, weighted by each security’s percentage of net assets. This must not exceed 60 days as calculated under SEC Rule 2a-7.

 

14    A Fund’s weighted average life (WAL) is an average of the final maturities of all securities held in the portfolio, weighted by each security’s percentage of net assets. This must not exceed 120 days as calculated under SEC Rule 2a-7.

 

For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.

 

6


SECTOR ALLOCATIONS

 

  SECTOR ALLOCATIONS16

 

     As of August 31, 2019                                            
     Security Type
(Percentage of Net Assets)
  Federal
Instruments
    Government     Money
Market
    Prime
Obligations
    Treasury
Instruments
    Treasury
Obligations
    Treasury
Solutions
 
  Certificates of Deposit                 1.6     1.8                  
  Certificates of Deposit - Eurodollar         7.1              
  Certificates of Deposit - Yankeedollar                 10.7       10.3                    
  Commercial Paper & Corporate Obligations                 25.2       28.1                    
  Fixed Rate Municipal Debt Obligations                 1.7       3.2                    
  Repurchase Agreements           64.9     22.8       24.0             68.0      
  Time Deposits                 11.1       9.5                    
  U.S. Government Agency Obligations     81.9     16.1             0.1                    
  U.S. Treasury Obligations     18.1       18.5       1.1       1.0       101.1     30.0       104.2
  Variable Rate Municipal Debt Obligations                 1.6       2.0                    
    Variable Rate Obligations                 21.3       21.9                    

 

16   Each Fund is actively managed and, as such, its portfolio composition may differ over time. The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the above table may not sum to 100% due to the exclusion of other assets and liabilities.

 

7


SECTOR ALLOCATIONS

 

 

 

 

  SECTOR ALLOCATIONS17

 

     As of August 31, 2018                                            
     Security Type
(Percentage of Net Assets)
  Federal
Instruments
    Government     Money
Market
    Prime
Obligations
    Treasury
Instruments
    Treasury
Obligations
    Treasury
Solutions
 
  Certificates of Deposit - Eurodollar                 3.2                        
  Certificates of Deposit - Yankeedollar                 4.1       4.9                  
  Commercial Paper & Corporate Obligations                 30.4       31.9                    
  Fixed Rate Municipal Debt Obligations                 1.4       1.1                    
  Repurchase Agreements           48.9     30.1       25.3             59.0      
  Time Deposits                 1.3       1.3                    
  U.S. Government Agency Obligations     32.6     25.7             0.2                    
  U.S. Treasury Obligations     67.9       25.6       8.3       9.5       100.5     41.3       100.6
  Variable Rate Municipal Debt Obligations                 1.7       2.8                    
    Variable Rate Obligations                 20.4       24.5                    

 

17    Each Fund is actively managed and, as such, its portfolio composition may differ over time. The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the above table may not sum to 100% due to the exclusion of other assets and liabilities.

 

8


FINANCIAL SQUARE FEDERAL INSTRUMENTS FUND

 

Schedule of Investments

August 31, 2019

 

Principal
Amount
    Interest
Rate
    Maturity
Date
    Amortized
Cost
 
U.S. Government Agency Obligations – 81.9%  
 

Federal Farm Credit Bank (1 Mo. LIBOR + 0.01%)

 
$ 15,000,000       2.126 %(a)      06/29/20     $ 15,000,000  
 

Federal Farm Credit Bank (3 Mo. LIBOR – 0.14%)

 
  1,800,000       2.179 (a)      09/30/19       1,799,993  
 

Federal Farm Credit Bank (3 Mo. U.S. T-Bill MMY + 0.07%)(a)

 
  850,000       2.025       11/29/19       850,000  
  650,000       2.030       02/18/20       650,000  
 

Federal Farm Credit Bank (3 Mo. U.S. T-Bill MMY + 0.08%)(a)

 
  700,000       2.035       10/18/19       699,997  
  750,000       2.035       12/26/19       749,991  
 

Federal Farm Credit Bank (3 Mo. U.S. T-Bill MMY + 0.13%)

 
  200,000       2.090 (a)      11/12/20       200,023  
 

Federal Farm Credit Bank (3 Mo. U.S. T-Bill MMY + 0.15%)

 
  300,000       2.105 (a)      04/23/21       300,000  
 

Federal Farm Credit Bank (FEDL01 + 0.02%)

 
  45,000,000       2.135 (a)      10/28/19       44,998,461  
 

Federal Farm Credit Bank (FEDL01 + 0.11%)

 
  800,000       2.230 (a)      08/13/20       799,924  
 

Federal Farm Credit Bank (FEDL01 + 0.12%)

 
  2,200,000       2.240 (a)      04/23/21       2,200,000  
 

Federal Farm Credit Bank (Prime Rate – 2.88%)

 
  1,000,000       2.370 (a)      05/07/20       999,946  
 

Federal Farm Credit Bank (Prime Rate – 2.90%)

 
  600,000       2.350 (a)      01/30/20       600,000  
 

Federal Farm Credit Bank (Prime Rate – 2.93%)

 
  1,200,000       2.320 (a)      11/06/20       1,200,000  
 

Federal Farm Credit Bank (Prime Rate – 2.94%)

 
  900,000       2.310 (a)      02/26/21       900,000  
 

Federal Farm Credit Bank (Prime Rate – 2.95%)

 
  3,000,000       2.300 (a)      03/15/21       3,000,000  
 

Federal Farm Credit Bank (Prime Rate – 2.96%)(a)

 
  200,000       2.290       03/13/20       199,920  
  3,500,000       2.290       03/29/21       3,500,000  
 

Federal Farm Credit Bank (Prime Rate – 2.97%)

 
  2,300,000       2.285 (a)      04/08/21       2,300,000  
 

Federal Farm Credit Bank (Prime Rate – 2.98%)(a)

 
  300,000       2.270       11/12/20       299,822  
  1,800,000       2.275       02/26/21       1,800,000  
 

Federal Farm Credit Bank (SOFR + 0.12%)

 
  900,000       2.240 (a)      03/18/21       900,000  
 

Federal Farm Credit Bank Discount Note

 
  30,000,000       2.459       09/04/19       29,994,000  
 

Federal Home Loan Bank (1 Mo. LIBOR – 0.02%)

 
  20,000,000       2.125 (a)      12/27/19       20,000,000  
 

Federal Home Loan Bank (1 Mo. LIBOR – 0.05%)

 
  6,000,000       2.173 (a)      10/07/19       6,000,000  
 

Federal Home Loan Bank (3 Mo. LIBOR – 0.08%)

 
  4,600,000       2.344 (a)      03/19/21       4,600,000  
 

Federal Home Loan Bank (3 Mo. LIBOR – 0.16%)

 
  5,000,000       2.127 (a)      08/04/20       5,000,000  
 

Federal Home Loan Bank (3 Mo. U.S. T-Bill + 0.07%)

 
  10,100,000       2.062 (a)      01/30/20       10,100,627  
 

Federal Home Loan Bank Discount Notes

 
  3,000,000       2.059       09/03/19       2,999,662  
  11,000,000       2.082       09/04/19       10,998,121  
  13,688,000       2.349       09/06/19       13,683,622  
  9,800,000       2.427       09/10/19       9,794,181  

 

 

 
U.S. Government Agency Obligations – (continued)  
 

Federal Home Loan Bank Discount Notes – (continued)

 
100,000,000       2.066     09/11/19     99,943,500  
  100,000,000       2.056       09/13/19       99,932,500  
  60,000,000       2.251       09/13/19       59,955,840  
  25,000,000       2.427       09/13/19       24,980,208  
  185,000,000       2.051       09/18/19       184,823,531  
  8,000,000       2.162       09/20/19       7,990,922  
  130,000,000       2.077       09/25/19       129,822,767  
  40,000,000       2.172       10/02/19       39,925,600  
  40,000,000       2.215       10/04/19       39,920,323  
  100,000,000       2.233       10/09/19       99,768,833  
  20,000,000       2.133       10/23/19       19,939,536  
  6,700,000       2.145       10/31/19       6,676,550  
  6,700,000       2.127       11/04/19       6,675,166  
  6,600,000       2.128       11/07/19       6,574,389  
  60,000,000       2.038       11/13/19       59,756,666  
  90,000,000       1.987       11/15/19       89,634,375  
  50,000,000       1.987       11/20/19       49,783,333  
  29,000,000       2.326       12/04/19       28,828,262  
  2,900,000       2.094       12/06/19       2,883,954  

 

 

 
 

TOTAL U.S. GOVERNMENT

AGENCY OBLIGATIONS

 

 

  $ 1,254,934,545  

 

 

 
U.S. Treasury Obligations – 18.1%  
 

United States Cash Management Bill

 
$ 1,770,000       2.100     09/16/19     $ 1,768,476  
 

United States Treasury Bills

 
  1,000,000       1.977       09/03/19       999,892  
  700,000       2.040       09/10/19       699,648  
  500,000       2.060       09/10/19       499,746  
  18,300,000       2.046       09/17/19       18,283,611  
  650,000       2.051       09/17/19       649,417  
  30,000       2.056       09/17/19       29,973  
  1,000,000       2.082       09/24/19       998,690  
  200,000       2.087       09/24/19       199,737  
  100,000       2.072 (b)      10/01/19       99,841  
  1,000,000       1.971 (b)      11/29/19       995,324  
  500,000       1.977       11/29/19       497,602  
  500,000       1.982       11/29/19       497,596  
  3,100,000       1.987       11/29/19       3,085,055  
  400,000       1.988       11/29/19       398,071  
  2,300,000       1.992       11/29/19       2,288,884  
  100,000       1.928       12/26/19       99,391  
  700,000       2.080       12/26/19       695,421  
  1,600,000       2.100       12/26/19       1,589,431  
  3,960,000       2.071       01/02/20       3,932,642  
  35,300,000       2.126       01/09/20       35,035,495  
  1,405,000       2.043       01/16/20       1,394,333  
  2,100,000       2.084       01/23/20       2,082,906  
  1,700,000       2.048       01/30/20       1,685,739  
  1,300,000       2.054       01/30/20       1,289,067  
  37,300,000       2.085       01/30/20       36,981,619  
  200,000       1.929       02/06/20       198,345  
  500,000       1.934       02/06/20       495,853  
  100,000       1.939       02/06/20       99,168  

 

 

 

 

The accompanying notes are an integral part of these financial statements.   9


FINANCIAL SQUARE FEDERAL INSTRUMENTS FUND

 

Schedule of Investments (continued)

August 31, 2019

 

Principal
Amount
    Interest
Rate
    Maturity
Date
    Amortized
Cost
 
U.S. Treasury Obligations – (continued)  
 

United States Treasury Bills – (continued)

 
$ 100,000       1.945 %       02/06/20     $ 99,166  
  120,000       1.950       02/06/20       118,997  
  75,000       1.960       02/06/20       74,370  
  600,000       1.878       02/27/20       594,526  
  840,000       1.880       02/27/20       832,325  
  25,000,000       1.883       02/27/20       24,771,278  
 

United States Treasury Floating Rate Note (3 Mo. U.S. T-Bill
MMY + 0.00%)

 
 
  16,950,000       1.960 (a)      01/31/20       16,950,745  
 

United States Treasury Floating Rate Note (3 Mo. U.S. T-Bill
MMY + 0.04%)

 
 
  1,200,000       2.003 (a)      07/31/20       1,199,775  
 

United States Treasury Floating Rate Note (3 Mo. U.S. T-Bill
MMY + 0.12%)

 
 
  4,900,000       2.075 (a)      01/31/21       4,895,506  
 

United States Treasury Floating Rate Note (3 Mo. U.S. T-Bill
MMY + 0.14%)

 
 
  14,100,000       2.099 (a)      04/30/21       14,083,416  
 

United States Treasury Floating Rate Note (3 Mo. U.S. T-Bill
MMY + 0.22%)

 
 
  43,600,000       2.180 (a)      07/31/21       43,591,043  
 

United States Treasury Floating Rate Notes (3 Mo. U.S. T-Bill
MMY + 0.05%)(a)

 
 
  13,300,000       2.008       10/31/19       13,301,667  
  10,450,000       2.005       10/31/20       10,450,000  
 

United States Treasury Notes

 
  13,700,000       3.375       11/15/19       13,739,065  
  1,600,000       3.625       02/15/20       1,608,997  
  800,000       1.375       02/29/20       796,169  
  1,800,000       1.375       03/31/20       1,790,193  
  1,600,000       2.250       03/31/20       1,599,169  
  2,000,000       1.500       04/15/20       1,990,245  
  2,200,000       2.375       04/30/20       2,201,190  
  6,100,000       3.500       05/15/20       6,152,012  

 

 

 
 
TOTAL U.S TREASURY
OBLIGATIONS
 
 
  $ 278,410,827  

 

 

 
  TOTAL INVESTMENTS – 100.0%     $ 1,533,345,372  

 

 

 
 
LIABILITIES IN EXCESS OF OTHER
    ASSETS – 0.0%
 
 
    (236,025

 

 

 
  NET ASSETS – 100.0%     $ 1,533,109,347  

 

 

 

 

 

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

(a)

  Variable or floating rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed is that which is in effect on August 31, 2019.

(b)

  All or a portion represents a forward commitment.

Interest rates represent either the stated coupon rate, annualized yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate, which is based upon current interest rate indices.

Maturity dates represent either the final legal maturity date on the security, the demand date for puttable securities, the date of the next interest rate reset for variable rate securities, or the prerefunded date for those types of securities.

 

 

Investment Abbreviations:

FEDL01

 

—US Federal Funds Effective Rate

LIBOR

 

—London Interbank Offered Rates

MMY

 

—Money Market Yield

Prime

 

—Federal Reserve Bank Prime Loan Rate US

SOFR

 

—Secured Overnight Financing Rate

T-Bill

 

—Treasury Bill

 

 

10   The accompanying notes are an integral part of these financial statements.


FINANCIAL SQUARE GOVERNMENT FUND

 

Schedule of Investments

August 31, 2019

 

Principal
Amount
    Interest
Rate
    Maturity
Date
    Amortized
Cost
 
U.S. Government Agency Obligations – 16.1%  
 

Federal Farm Credit Bank (1 Mo. LIBOR + 0.01%)

 
$ 282,400,000       2.126 %(a)      06/29/20     $ 282,400,000  
 

Federal Farm Credit Bank (3 Mo. LIBOR – 0.14%)

 
  246,500,000       2.179 (a)      09/30/19       246,499,020  
 

Federal Farm Credit Bank (3 Mo. U.S. T-Bill MMY + 0.07%)(a)

 
  198,700,000       2.025       11/20/19       198,698,699  
  98,500,000       2.025       11/29/19       98,500,000  
  98,700,000       2.030       02/18/20       98,700,000  
 

Federal Farm Credit Bank (3 Mo. U.S. T-Bill MMY + 0.08%)(a)

 
  120,500,000       2.035       10/18/19       120,499,534  
  98,600,000       2.035       12/26/19       98,598,755  
 

Federal Farm Credit Bank (3 Mo. U.S. T-Bill MMY + 0.13%)

 
  14,700,000       2.090 (a)      11/12/20       14,701,653  
 

Federal Farm Credit Bank (3 Mo. U.S. T-Bill MMY + 0.15%)

 
  29,500,000       2.105 (a)      04/23/21       29,500,000  
 

Federal Farm Credit Bank (FEDL01 + 0.11%)

 
  123,400,000       2.230 (a)      08/13/20       123,388,339  
 

Federal Farm Credit Bank (FEDL01 + 0.12%)

 
  245,900,000       2.240 (a)      04/23/21       245,900,000  
 

Federal Farm Credit Bank (Prime Rate – 2.88%)

 
  148,000,000       2.370 (a)      05/07/20       147,991,984  
 

Federal Farm Credit Bank (Prime Rate – 2.90%)

 
  88,800,000       2.350 (a)      01/30/20       88,800,000  
 

Federal Farm Credit Bank (Prime Rate – 2.93%)

 
  197,600,000       2.320 (a)      11/06/20       197,600,000  
 

Federal Farm Credit Bank (Prime Rate – 2.94%)(a)

 
  244,900,000       2.315       10/30/20       244,900,000  
  98,300,000       2.310       02/26/21       98,300,000  
 

Federal Farm Credit Bank (Prime Rate – 2.95%)(a)

 
  24,300,000       2.300       04/30/20       24,300,000  
  344,300,000       2.300       03/15/21       344,300,000  
 

Federal Farm Credit Bank (Prime Rate – 2.96%)(a)

 
  24,600,000       2.290       03/13/20       24,590,214  
  344,300,000       2.290       03/29/21       344,300,000  
 

Federal Farm Credit Bank (Prime Rate – 2.97%)

 
  246,000,000       2.285 (a)      04/08/21       246,000,000  
 

Federal Farm Credit Bank (Prime Rate – 2.98%)(a)

 
  54,000,000       2.270       11/12/20       53,967,970  
  188,600,000       2.275       02/26/21       188,600,000  
 

Federal Farm Credit Bank (SOFR + 0.12%)

 
  103,300,000       2.240 (a)      03/18/21       103,300,000  
 

Federal Home Loan Bank (1 Mo. LIBOR – 0.02%)(a)

 
  1,433,200,000       2.125       12/27/19       1,433,200,000  
  477,800,000       2.203       01/07/20       477,800,000  
 

Federal Home Loan Bank (1 Mo. LIBOR – 0.03%)(a)

 
  1,348,500,000       2.171       01/10/20       1,348,500,000  
  650,000,000       2.139       01/21/20       650,000,000  
 

Federal Home Loan Bank (1 Mo. LIBOR – 0.04%)(a)

 
  744,000,000       2.142       10/18/19       744,000,000  
  496,000,000       2.105       10/25/19       496,000,000  
 

Federal Home Loan Bank (1 Mo. LIBOR – 0.05%)(a)

 
  988,000,000       2.173       10/07/19       988,000,000  
  744,800,000       2.150       10/15/19       744,800,000  
 

Federal Home Loan Bank (3 Mo. LIBOR – 0.07%)

 
  993,500,000       2.249 (a)      04/01/21       993,500,000  
 

Federal Home Loan Bank (3 Mo. LIBOR – 0.08%)

 
  492,100,000       2.344 (a)      03/19/21       492,100,000  

 

 

 
U.S. Government Agency Obligations – (continued)  
 

Federal Home Loan Bank (3 Mo. LIBOR – 0.16%)

 
477,700,000       2.127 %(a)      08/04/20     477,700,000  
 

Federal Home Loan Bank (3 Mo. U.S. T-Bill + 0.07%)

 
  1,755,000,000       2.062 (a)      01/30/20       1,755,109,064  
 

Federal Home Loan Bank (SOFR + 0.03%)

 
  913,600,000       2.150 (a)      10/09/19       913,600,000  
 

Federal Home Loan Bank Discount Notes

 
  489,700,000       2.145       10/31/19       487,986,042  
  483,200,000       2.127       11/04/19       481,408,939  
  477,400,000       2.128       11/07/19       475,547,489  
  251,848,000       2.094       12/06/19       250,454,441  
 

Federal National Mortgage Association (SOFR + 0.16%)

 
  124,250,000       2.280 (a)      01/30/20       124,250,000  
 

Overseas Private Investment Corp.

 
  62,200,000       0.000       11/17/19       62,661,175  
 

Overseas Private Investment Corp. (3 Mo. U.S. T-Bill + 0.00%)(a)

 
  735,796,394       1.977       09/07/19       735,796,396  
  4,496,139       2.150       09/07/19       4,496,139  

 

 

 
 

TOTAL U.S. GOVERNMENT

AGENCY OBLIGATIONS

 

 

  $ 17,801,245,853  

 

 

 
     
U.S. Treasury Obligations – 18.5%  
 

United States Treasury Bills

 
$ 700,000       1.987     11/29/19     $ 696,625  
  1,100,000       1.992       11/29/19       1,094,683  
  12,400,000       2.080       12/26/19       12,318,890  
  142,700,000       2.100       12/26/19       141,757,387  
  2,777,000,000       2.126       01/09/20       2,756,191,780  
  582,290,000       2.059       01/16/20       577,835,967  
  64,600,000       2.054       01/30/20       64,056,723  
  2,595,500,000       2.085       01/30/20       2,573,345,605  
  2,200,000       1.939       02/06/20       2,181,703  
  41,100,000       1.945       02/06/20       40,757,272  
  54,700,000       1.950       02/06/20       54,242,662  
  32,800,000       1.960       02/06/20       32,524,325  
  148,900,000       1.878       02/27/20       147,541,432  
  174,700,000       1.880       02/27/20       173,103,861  
  1,870,000,000       1.883       02/27/20       1,852,891,578  
 

United States Treasury Floating Rate Note (3 Mo. U.S. T-Bill
MMY + 0.04%)

 
 
  2,646,900,500       2.003 (a)      07/31/20       2,646,723,220  
 

United States Treasury Floating Rate Note (3 Mo. U.S. T-Bill
MMY + 0.05%)

 
 
  2,003,000,000       2.005 (a)      10/31/20       2,003,000,000  
 

United States Treasury Floating Rate Note (3 Mo. U.S. T-Bill
MMY + 0.12%)

 
 
  1,263,800,000       2.075 (a)      01/31/21       1,262,640,973  
 

United States Treasury Floating Rate Note (3 Mo. U.S. T-Bill
MMY + 0.14%)

 
 
  1,286,025,000       2.099 (a)      04/30/21       1,284,512,427  
 

United States Treasury Floating Rate Note (3 Mo. U.S. T-Bill
MMY + 0.22%)

 
 
  3,353,885,000       2.180 (a)      07/31/21       3,353,203,716  

 

 

 

 

The accompanying notes are an integral part of these financial statements.   11


FINANCIAL SQUARE GOVERNMENT FUND

 

Schedule of Investments (continued)

August 31, 2019

 

Principal
Amount
    Interest
Rate
    Maturity
Date
    Amortized
Cost
 
U.S. Treasury Obligations – (continued)  
 

United States Treasury Notes

 
$ 12,600,000       3.375 %       11/15/19     $ 12,631,212  
  136,700,000       3.625       02/15/20       137,468,646  
  73,200,000       1.375       02/29/20       72,849,471  
  171,100,000       1.375       03/31/20       170,167,798  
  146,700,000       2.250       03/31/20       146,623,861  
  178,900,000       1.500       04/15/20       178,026,637  
  195,800,000       2.375       04/30/20       195,905,938  
  539,100,000       3.500       05/15/20       543,696,631  

 

 

 
 
TOTAL U.S. TREASURY
OBLIGATIONS
 
 
  $ 20,437,991,023  

 

 

 
 
TOTAL INVESTMENTS BEFORE
REPURCHASE AGREEMENTS
 
 
  $ 38,239,236,876  

 

 

 
     
Repurchase Agreements(b) – 64.9%  
 

Bank of Montreal

 
$ 575,000,000       2.170     09/03/19     $ 575,000,000  
 

Maturity Value: $575,138,639

 
 







Collateralized by Federal Farm Credit Bank, 1.530%, due
10/05/21, Federal Home Loan Mortgage Corp., 4.000% to
5.000%, due 06/01/34 to 07/01/49, Federal National Mortgage
Association, 1.580% to 4.500%, due 05/17/21 to 01/01/49,
Government National Mortgage Association, 3.500% to
4.000%, due 08/20/45 to 07/20/49 and U.S. Treasury Notes,
1.125% to 2.875%, due 03/31/20 to 06/30/25. The aggregate
market value of the collateral, including accrued interest, was
$589,551,462.

 
 
 
 
 
 
 
 
 

 

 

 
 

Barclays Capital Inc.

 
  500,000,000       2.150       09/03/19       500,000,000  
 

Maturity Value: $500,119,444

 
 


Collateralized by a U.S. Treasury Bond, 2.250%, due 08/15/46
and a U.S. Treasury Note, 2.500%, due 01/31/24. The
aggregate market value of the collateral, including accrued
interest, was $510,000,000.

 
 
 
 

 

 

 
 

BNP Paribas

 
  439,600,000       2.170       09/03/19       439,600,000  
 

Maturity Value: $439,705,992

 
 







Collateralized by Federal National Mortgage Association,
3.000%, due 08/01/49, U.S. Treasury Bills, 0.000%, due
01/16/20 to 08/13/20, a U.S. Treasury Bond, 3.375%, due
05/15/44, a U.S. Treasury Interest-Only Stripped Security,
0.000%, due 02/15/23, U.S. Treasury Notes, 1.375% to
2.500%, due 04/30/20 to 08/15/23 and a U.S. Treasury
Principal-Only Stripped Security, 0.000%, due 02/15/36. The
aggregate market value of the collateral, including accrued
interest, was $448,453,492.

 
 
 
 
 
 
 
 
 

 

 

 
Repurchase Agreements(b) – (continued)  
 

BNP Paribas – (continued)

 
$ 250,000,000       2.160 %(c)      09/06/19     $ 250,000,000  
 

Maturity Value: $250,435,000

 
 

Settlement Date: 08/08/19

 
 













Collateralized by Federal Farm Credit Bank, 3.980%, due
04/05/38, Federal Home Loan Bank, 3.540%, due 05/28/36,
Federal Home Loan Mortgage Corp., 3.500% to 4.500%, due
04/01/46 to 08/01/49, Federal National Mortgage Association,
2.500% to 7.000%, due 10/01/30 to 10/01/48, Government
National Mortgage Association, 2.500% to 4.500%, due
12/15/26 to 01/20/49, a U.S. Treasury Bill, 0.000%, due
04/23/20, a U.S. Treasury Bond, 8.125%, due 08/15/21, a U.S.
Treasury Inflation-Indexed Note, 1.125%, due 01/15/21, U.S.
Treasury Interest-Only Stripped Securities, 0.000%, due
02/15/24 to 05/15/26, U.S. Treasury Notes, 1.500% to 2.875%,
due 06/15/20 to 11/15/25 and U.S. Treasury Principal-Only
Stripped Securities, 0.000%, due 08/15/29 to 02/15/37. The
aggregate market value of the collateral, including accrued
interest, was $256,422,353.

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  475,000,000       2.040 (c)      09/07/19       475,000,000  
 

Maturity Value: $476,615,001

 
 

Settlement Date: 08/26/19

 
 







Collateralized by a U.S. Treasury Bill, 0.000%, due 04/23/20,
U.S. Treasury Bonds, 3.000% to 7.625%, due 02/15/25 to
02/15/48, a U.S. Treasury Inflation-Indexed Bond, 1.000%, due
02/15/49, U.S. Treasury Interest-Only Stripped Securities,
0.000%, due 02/15/22 to 02/15/47, U.S. Treasury Notes,
1.875% to 2.625%, due 06/15/21 to 04/30/24 and U.S. Treasury
Principal-Only Stripped Securities, 0.000%, due 11/15/28 to
11/15/45. The aggregate market value of the collateral,
including accrued interest, was $484,500,011.

 
 
 
 
 
 
 
 
 
  870,000,000       2.050 (c)      09/07/19       870,000,000  
 

Maturity Value: $872,972,498

 
 

Settlement Date: 08/26/19

 
 















Collateralized by Federal Farm Credit Bank, 3.980%, due
04/05/38, Federal Home Loan Bank, 3.540% to 4.250%, due
05/28/36 to 08/17/38, Federal Home Loan Mortgage Corp.,
3.000% to 7.500%, due 04/01/28 to 04/01/49, Federal National
Mortgage Association, 2.500% to 7.000%, due 02/01/23 to
08/01/49, Government National Mortgage Association, 3.000%
to 5.000%, due 04/15/38 to 07/20/49, U.S. Treasury Bills,
0.000%, due 09/12/19 to 04/23/20, U.S. Treasury Bonds,
2.500% to 8.750%, due 08/15/20 to 02/15/49, U.S. Treasury
Inflation-Indexed Bonds, 1.750% to 2.500%, due 01/15/28 to
01/15/29, U.S. Treasury Inflation-Indexed Notes, 0.500% to
0.875%, due 01/15/28 to 01/15/29, U.S. Treasury Interest-Only
Stripped Securities, 0.000%, due 05/15/20 to 05/15/47, U.S.
Treasury Notes, 1.250% to 2.625%, due 03/15/20 to 06/30/26
and U.S. Treasury Principal-Only Stripped Securities, 0.000%,
due 11/15/23 to 08/15/40. The aggregate market value of the
collateral, including accrued interest, was $889,331,171.

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

 

 

 

 

12   The accompanying notes are an integral part of these financial statements.


FINANCIAL SQUARE GOVERNMENT FUND

 

 

 

Principal
Amount
    Interest
Rate
    Maturity
Date
    Amortized
Cost
 
Repurchase Agreements(b) – (continued)  
 

BNP Paribas – (continued)

 
$ 2,000,000,000       2.220 %(c)      09/07/19     $ 2,000,000,000  
 

Maturity Value: $2,011,223,339

 
 

Settlement Date: 07/03/19

 
 













Collateralized by Federal Farm Credit Bank, 2.480% to 3.980%,
due 10/19/29 to 04/05/38, Federal Home Loan Bank, 2.790% to
4.000%, due 09/01/28 to 08/08/36, Federal Home Loan
Mortgage Corp., 2.800% to 4.500%, due 06/03/24 to 08/01/49,
Federal National Mortgage Association, 2.500% to 7.500%,
due 07/01/29 to 08/01/49, Government National Mortgage
Association, 3.000% to 6.000%, due 06/20/33 to 07/20/49, U.S.
Treasury Bills, 0.000%, due 01/30/20 to 08/13/20, U.S.
Treasury Bonds, 2.250% to 4.375%, due 08/15/40 to 02/15/48,
U.S. Treasury Inflation-Indexed Bonds, 1.000% to 3.625%, due
01/15/27 to 02/15/49, U.S. Treasury Interest-Only Stripped
Securities, 0.000%, due 02/15/21 to 05/15/47 and U.S. Treasury
Notes, 1.125% to 3.000%, due 09/30/19 to 02/15/27. The
aggregate market value of the collateral, including accrued
interest, was $2,052,605,612.

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  225,000,000       2.250 (c)      09/07/19       225,000,000  
 

Maturity Value: $226,279,687

 
 

Settlement Date: 07/09/19

 
 









Collateralized by Federal Farm Credit Bank, 3.980%, due
04/05/38, Federal National Mortgage Association, 2.500% to
4.000%, due 12/01/46 to 02/01/56, Government National
Mortgage Association, 3.500% to 4.500%, due 12/20/48 to
07/20/49, U.S. Treasury Bonds, 2.875% to 6.250%, due
08/15/23 to 11/15/46, a U.S. Treasury Inflation-Indexed Bond,
3.625%, due 04/15/28, U.S. Treasury Notes, 1.125% to
2.625%, due 02/28/21 to 07/31/23 and U.S. Treasury Principal-
Only Stripped Securities, 0.000%, due 11/15/26 to 11/15/43.
The aggregate market value of the collateral, including accrued
interest, was $230,598,856.

 
 
 
 
 
 
 

 
 
 
  1,490,000,000       2.490 (c)      09/07/19       1,490,000,000  
 

Maturity Value: $1,508,653,567

 
 

Settlement Date: 03/22/19

 
 



















Collateralized by Federal Farm Credit Bank, 3.270% to 3.980%,
due 09/14/37 to 04/05/38, Federal Home Loan Bank, 3.900% to
4.000%, due 09/01/28 to 02/25/36, Federal Home Loan
Mortgage Corp., 2.500% to 7.500%, due 04/01/28 to 07/01/49,
Federal Home Loan Mortgage Corp. Stripped Securities,
0.000%, due 03/15/28 to 07/15/32, Federal National Mortgage
Association, 2.500% to 7.000%, due 05/01/29 to 06/01/51,
Federal National Mortgage Association Stripped Securities,
0.000%, due 05/15/29 to 11/15/30, Government National
Mortgage Association, 3.000% to 5.000%, due 03/20/41 to
07/20/49, U.S. Treasury Bills, 0.000%, due 10/24/19 to
05/21/20, U.S. Treasury Bonds, 2.750% to 8.750%, due
08/15/20 to 11/15/46, U.S. Treasury Inflation-Indexed Bonds,
1.750% to 2.500%, due 01/15/27 to 01/15/29, a U.S. Treasury
Inflation-Indexed Note, 0.125%, due 07/15/24, U.S. Treasury
Interest-Only Stripped Securities, 0.000%, due 02/15/21 to
11/15/47, U.S. Treasury Notes, 1.125% to 3.500%, due
01/15/20 to 06/30/26 and U.S. Treasury Principal-Only
Stripped Securities, 0.000%, due 02/15/23 to 02/15/49. The
aggregate market value of the collateral, including accrued
interest, was $1,528,612,746.

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

 

 

 
Repurchase Agreements(b) – (continued)  
 

BNP Paribas (Overnight MBS + 0.02%)

 
500,000,000       2.190 %(a)(c)      09/01/19     500,000,000  
 

Maturity Value: $539,602,478

 
 

Settlement Date: 02/23/16

 
 











Collateralized by Federal Home Loan Mortgage Corp., 4.000%,
due 03/01/49, Federal National Mortgage Association, 3.000%
to 6.000%, due 11/01/25 to 08/01/49, Government National
Mortgage Association, 4.000% to 6.500%, due 05/15/32 to
01/20/49, U.S. Treasury Bonds, 2.750% to 8.750%, due
08/15/20 to 11/15/46, a U.S. Treasury Inflation-Indexed Bond,
1.750%, due 01/15/28, a U.S. Treasury Inflation-Indexed Note,
0.375%, due 01/15/27, U.S. Treasury Interest-Only Stripped
Securities, 0.000%, due 11/15/20 to 08/15/47, U.S. Treasury
Notes, 1.500% to 2.875%, due 09/30/19 to 02/15/26 and U.S.
Treasury Principal-Only Stripped Securities, 0.000%, due
05/15/20 to 02/15/48. The aggregate market value of the
collateral, including accrued interest, was $510,506,673.

 
 
 
 
 
 
 
 
 
 
 
 
 
  550,000,000       2.190 (a)(c)      09/01/19       550,000,000  
 

Maturity Value: $593,328,518

 
 

Settlement Date: 02/23/16

 
 















Collateralized by Federal Farm Credit Bank, 3.540%, due
01/25/38, Federal Home Loan Bank, 3.900% to 4.000%, due
07/19/33 to 02/25/36, Federal Home Loan Mortgage Corp.,
3.000% to 5.500%, due 04/01/39 to 10/01/48, Federal National
Mortgage Association, 3.500% to 6.500%, due 10/01/33 to
11/01/48, Government National Mortgage Association, 2.500%
to 6.500%, due 11/20/26 to 10/20/48, a U.S. Treasury Bill,
0.000%, due 02/13/20, U.S. Treasury Bonds, 6.250% to
7.625%, due 08/15/23 to 02/15/25, U.S. Treasury Inflation-
Indexed Bonds, 1.750% to 2.375%, due 01/15/27 to 01/15/28, a
U.S. Treasury Inflation-Indexed Note, 0.750%, due 07/15/28,
U.S. Treasury Interest-Only Stripped Securities, 0.000%, due
02/15/21 to 11/15/45, U.S. Treasury Notes, 1.375% to 2.750%,
due 09/30/20 to 02/15/25 and U.S. Treasury Principal-Only
Stripped Securities, 0.000%, due 02/15/23 to 08/15/44. The
aggregate market value of the collateral, including accrued
interest, was $562,906,685.

 
 
 
 
 
 
 
 

 
 
 
 
 
 
 
 

 

 

 
 

BofA Securities, Inc.

 
  400,000,000       2.100       09/03/19       400,000,000  
 

Maturity Value: $400,093,333

 
 

Collateralized by U.S. Treasury Notes, 1.750% to 2.250%, due
04/15/22 to 07/15/22. The aggregate market value of the
collateral, including accrued interest, was $408,000,063.

 
 
 
  152,400,000       2.150       09/03/19       152,400,000  
 

Maturity Value: $152,436,407

 
 

Collateralized by a U.S. Treasury Note, 2.625%, due 08/15/20.
The market value of the collateral, including accrued interest,
was $155,448,083.

 
 
 
  200,000,000       2.160       09/03/19       200,000,000  
 

Maturity Value: $200,048,000

 
 

Collateralized by Federal Home Loan Mortgage Corp., 2.500% to
3.000%, due 04/01/48 to 08/01/49. The aggregate market value
of the collateral, including accrued interest, was $206,000,001.

 
 
 

 

 

 

 

The accompanying notes are an integral part of these financial statements.   13


FINANCIAL SQUARE GOVERNMENT FUND

 

Schedule of Investments (continued)

August 31, 2019

 

Principal
Amount
    Interest
Rate
    Maturity
Date
    Amortized
Cost
 
Repurchase Agreements(b) – (continued)  
 

BofA Securities, Inc. – (continued)

 
$ 375,600,000       2.160 %       09/03/19     $ 375,600,000  
 

Maturity Value: $375,690,144

 
 



Collateralized by Federal Home Loan Mortgage Corp., 3.500% to
5.000%, due 11/01/47 to 03/01/49 and Federal National
Mortgage Association, 3.000% to 5.000%, due 09/01/39 to
06/01/56. The aggregate market value of the collateral,
including accrued interest, was $386,868,000.

 
 
 
 
 

 

 

 
 

CIBC Wood Gundy Securities

 
  150,000,000       2.170       09/03/19       150,000,000  
 

Maturity Value: $150,036,167

 
 




Collateralized by Federal Home Loan Mortgage Corp., 3.500% to
5.000%, due 12/01/41 to 04/01/49, Federal National Mortgage
Association, 3.500% to 4.500%, due 11/01/30 to 06/01/49 and
Government National Mortgage Association, 3.000% to
5.000%, due 12/20/46 to 07/20/49. The aggregate market value
of the collateral, including accrued interest, was $154,499,999.

 
 
 
 
 
 
  950,000,000       2.180 (c)      09/07/19       950,000,000  
 

Maturity Value: $957,075,922

 
 

Settlement Date: 07/15/19

 
 




Collateralized by Federal Home Loan Mortgage Corp., 3.000% to
5.000%, due 03/01/30 to 07/01/49, Federal National Mortgage
Association, 3.000% to 4.500%, due 11/01/26 to 06/01/49 and
Government National Mortgage Association, 4.000% to
5.000%, due 09/20/48 to 07/20/49. The aggregate market value
of the collateral, including accrued interest, was $978,499,998.

 
 
 
 
 
 
  1,075,000,000       2.270 (c)      09/07/19       1,075,000,000  
 

Maturity Value: $1,079,067,086

 
 

Settlement Date: 07/12/19

 
 



Collateralized by Federal Home Loan Mortgage Corp., 4.000% to
4.500%, due 05/01/42 to 04/01/49 and Federal National
Mortgage Association, 3.000% to 5.000%, due 11/01/26 to
06/01/49. The aggregate market value of the collateral,
including accrued interest, was $1,107,250,000.

 
 
 
 
 

 

 

 
 

Citibank N.A. (Overnight MBS + 0.01%)

 
  1,000,000,000       2.190 (a)      09/06/19       1,000,000,000  
 

Maturity Value: $1,019,040,823

 
 

Settlement Date: 11/01/18

 
 
















Collateralized by Federal Farm Credit Bank, 1.900% to 2.840%,
due 05/25/21 to 06/05/34, Federal Home Loan Bank, 0.000% to
5.500%, due 11/15/19 to 07/15/36, Federal Home Loan
Mortgage Corp., 0.000% to 10.000%, due 01/01/20 to
02/01/49, Federal Home Loan Mortgage Corp. Stripped
Security, 0.000%, due 07/15/32, Federal National Mortgage
Association, 1.250% to 8.500%, due 09/01/19 to 06/01/57,
Government National Mortgage Association, 2.500% to
8.500%, due 12/15/21 to 11/15/48, Tennessee Valley Authority,
0.000% to 4.250%, due 02/15/21 to 09/15/65, U.S. Treasury
Bills, 0.000%, due 09/12/19 to 01/30/20, U.S. Treasury Bonds,
2.500% to 8.750%, due 02/15/20 to 02/15/48, U.S. Treasury
Inflation-Indexed Bonds, 0.625% to 3.625%, due 01/15/25 to
02/15/46, U.S. Treasury Inflation-Indexed Notes, 0.125% to
1.250%, due 07/15/20 to 01/15/28 and U.S. Treasury Notes,
1.000% to 3.625%, due 09/30/19 to 11/15/28. The aggregate
market value of the collateral, including accrued interest, was
$1,020,000,544.

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

 

 

 
Repurchase Agreements(b) – (continued)  
 

Citigroup Global Markets, Inc.

 
$ 844,100,000       2.180     09/03/19     $ 844,100,000  
 

Maturity Value: $844,304,460

 
 














Collateralized by Federal Home Loan Mortgage Corp., 2.000% to
8.000%, due 04/01/21 to 04/01/49, Federal Home Loan
Mortgage Corp. Stripped Security, 0.000%, due 07/15/30,
Federal National Mortgage Association, 2.000% to 8.000%,
due 08/01/20 to 02/01/57, Government National Mortgage
Association, 2.500% to 7.000%, due 09/20/31 to 08/20/49, U.S.
Treasury Bills, 0.000%, due 10/15/19 to 02/27/20, a U.S.
Treasury Bond, 3.000%, due 11/15/44, U.S. Treasury Floating
Rate Notes, 1.960% to 2.180%, due 10/31/19 to 07/31/21, U.S.
Treasury Inflation-Indexed Notes, 0.250% to 1.250%, due
07/15/20 to 07/15/29, U.S. Treasury Interest-Only Stripped
Securities, 0.000%, due 11/15/22 to 02/15/48, U.S. Treasury
Notes, 1.375% to 3.625%, due 09/30/19 to 05/15/26 and a U.S.
Treasury Principal-Only Stripped Security, 0.000%, due
08/15/29. The aggregate market value of the collateral,
including accrued interest, was $860,982,003.

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

 

 

 
 

Credit Agricole Corporate and Investment Bank

 
  100,000,000       2.100       09/03/19       100,000,000  
 

Maturity Value: $100,023,333

 
 





Collateralized by Federal National Mortgage Association,
3.500%, due 06/01/49, a U.S. Treasury Inflation-Indexed Bond,
1.750%, due 01/15/28, U.S. Treasury Inflation-Indexed Notes,
0.125%, due 04/15/20 to 04/15/21 and U.S. Treasury Notes,
2.125% to 2.875%, due 03/31/24 to 11/15/27. The aggregate
market value of the collateral, including accrued interest, was
$102,145,701.

 
 
 
 
 
 
 
  300,000,000       2.170       09/03/19       300,000,000  
 

Maturity Value: $300,072,333

 
 




Collateralized by Federal Home Loan Mortgage Corp., 3.500% to
4.000%, due 06/01/48 to 12/01/48, Federal National Mortgage
Association, 3.000% to 4.000%, due 09/01/48 to 08/01/49 and
Government National Mortgage Association, 3.500% to
4.000%, due 12/20/48 to 05/20/49. The aggregate market value
of the collateral, including accrued interest, was $309,000,000.

 
 
 
 
 
 

 

 

 
 

Daiwa Capital Markets America, Inc.

 
  200,966,202       2.170       09/03/19       200,966,202  
 

Maturity Value: $201,014,657

 
 

Collateralized by a U.S. Treasury Note, 2.625%, due 02/28/23.
The market value of the collateral, including accrued interest,
was $204,985,526.

 
 
 
  204,166,664       2.170       09/03/19       204,166,664  
 

Maturity Value: $204,215,891

 
 

Collateralized by a U.S. Treasury Note, 2.000%, due 11/15/26.
The market value of the collateral, including accrued interest,
was $208,249,997.

 
 
 
  230,435,167       2.170       09/03/19       230,435,167  
 

Maturity Value: $230,490,727

 
 

Collateralized by a U.S. Treasury Note, 2.625%, due 12/31/25.
The market value of the collateral, including accrued interest,
was $235,043,870.

 
 
 
  255,014,557       2.170       09/03/19       255,014,557  
 

Maturity Value: $255,076,044

 
 

Collateralized by a U.S. Treasury Note, 2.625%, due 12/31/23.
The market value of the collateral, including accrued interest,
was $260,114,848.

 
 
 

 

 

 

 

14   The accompanying notes are an integral part of these financial statements.


FINANCIAL SQUARE GOVERNMENT FUND

 

 

 

Principal
Amount
    Interest
Rate
    Maturity
Date
    Amortized
Cost
 
Repurchase Agreements(b) – (continued)  
 

Daiwa Capital Markets America, Inc. – (continued)

 
$ 261,676,466       2.170 %       09/03/19     $ 261,676,466  
 

Maturity Value: $261,739,559

 
 

Collateralized by a U.S. Treasury Note, 2.750%, due 06/30/25.
The market value of the collateral, including accrued interest,
was $266,909,995.

 
 
 
  267,295,331       2.170       09/03/19       267,295,331  
 

Maturity Value: $267,359,779

 
 

Collateralized by a U.S. Treasury Note, 2.250%, due 11/15/24.
The market value of the collateral, including accrued interest,
was $272,641,238.

 
 
 
  290,917,643       2.170       09/03/19       290,917,643  
 

Maturity Value: $290,987,786

 
 

Collateralized by a U.S. Treasury Note, 3.000%, due 10/31/25.
The market value of the collateral, including accrued interest,
was $296,735,996.

 
 
 
  297,916,663       2.170       09/03/19       297,916,663  
 

Maturity Value: $297,988,494

 
 

Collateralized by a U.S. Treasury Bond, 2.500%, due 02/15/45.
The market value of the collateral, including accrued interest,
was $303,874,996.

 
 
 
  329,166,604       2.170       09/03/19       329,166,604  
 

Maturity Value: $329,245,970

 
 

Collateralized by a U.S. Treasury Note, 2.500%, due 03/31/23.
The market value of the collateral, including accrued interest,
was $335,749,936.

 
 
 
  359,539,885       2.170       09/03/19       359,539,885  
 

Maturity Value: $359,626,574

 
 

Collateralized by a U.S. Treasury Note, 2.125%, due 02/29/24.
The market value of the collateral, including accrued interest,
was $366,730,683.

 
 
 
  423,160,935       2.170       09/03/19       423,160,935  
 

Maturity Value: $423,262,964

 
 

Collateralized by a U.S. Treasury Note, 2.500%, due 01/31/24.
The market value of the collateral, including accrued interest,
was $431,624,154.

 
 
 
  438,541,664       2.170       09/03/19       438,541,664  
 

Maturity Value: $438,647,401

 
 

Collateralized by a U.S. Treasury Note, 2.750%, due 05/31/23.
The market value of the collateral, including accrued interest,
was $447,312,497.

 
 
 
  446,716,929       2.170       09/03/19       446,716,929  
 

Maturity Value: $446,824,637

 
 

Collateralized by a U.S. Treasury Note, 2.875%, due 10/31/23.
The market value of the collateral, including accrued interest,
was $455,651,268.

 
 
 
  494,485,290       2.170       09/03/19       494,485,290  
 

Maturity Value: $494,604,516

 
 

Collateralized by a U.S. Treasury Note, 1.625%, due 02/15/26.
The market value of the collateral, including accrued interest,
was $504,374,996.

 
 
 

 

 

 
Repurchase Agreements(b) – (continued)  
 

Deutsche Bank Securities Inc.

 
2,750,000,000       2.180       09/03/19     2,750,000,000  
 

Maturity Value: $2,750,666,111

 
 






Collateralized by Federal Home Loan Mortgage Corp., 2.410%,
due 06/10/20, Federal National Mortgage Association, 2.500%
to 5.000%, due 04/01/24 to 09/01/49, a U.S. Treasury Bill,
0.000%, due 09/03/19, U.S. Treasury Interest-Only Stripped
Securities, 0.000%, due 02/15/21 to 11/15/25 and U.S. Treasury
Notes, 2.000% to 2.250%, due 01/31/20 to 12/31/23. The
aggregate market value of the collateral, including accrued
interest, was $2,830,556,645.

 
 
 
 
 
 
 
 

 

 

 
 

Fixed Income Clearing Corp.

 
  250,000,000       2.100       09/03/19       250,000,000  
 

Maturity Value: $250,058,333

 
 

Collateralized by a U.S. Treasury Note, 2.875%, due 08/15/28.
The market value of the collateral, including accrued interest,
was $255,000,092.

 
 
 
  7,400,000,000       2.160       09/03/19       7,400,000,000  
 

Maturity Value: $7,401,776,000

 
 



Collateralized by a U.S. Treasury Bill, 0.000%, due 02/20/20,
U.S. Treasury Bonds, 2.750% to 3.625%, due 11/15/41 to
05/15/47 and U.S. Treasury Notes, 1.125% to 2.875%, due
08/15/21 to 12/31/21. The aggregate market value of the
collateral, including accrued interest, was $7,548,008,328.

 
 
 
 
 
  7,500,000,000       2.160       09/03/19       7,500,000,000  
 

Maturity Value: $7,501,800,000

 
 



Collateralized by U.S. Treasury Bonds, 3.000% to 3.375%, due
05/15/44 to 05/15/48 and U.S. Treasury Inflation-Indexed
Bonds, 0.750% to 1.000%, due 02/15/45 to 02/15/48. The
aggregate market value of the collateral, including accrued
interest, was $7,650,000,020.

 
 
 
 
 

 

 

 
 

HSBC Bank PLC

 
  3,100,000,000       2.160       09/03/19       3,100,000,000  
 

Maturity Value: $3,100,744,000

 
 




Collateralized by U.S. Treasury Bills, 0.000%, due 09/19/19 to
12/26/19, U.S. Treasury Bonds, 0.750% to 7.125%, due
02/15/23 to 05/15/49 and U.S. Treasury Notes, 0.500% to
3.625%, due 10/31/19 to 05/15/29. The aggregate market value
of the collateral, including accrued interest, was
$3,162,000,088.

 
 
 
 
 
 

 

 

 
 

HSBC Bank PLC (Overnight Treasury + 0.02%)

 
  400,000,000       2.180 (a)      09/06/19       400,000,000  
 

Maturity Value: $401,477,557

 
 

Settlement Date: 07/11/19

 
 


Collateralized by U.S. Treasury Bonds, 0.875% to 2.250%, due
02/15/44 to 02/15/47 and U.S. Treasury Notes, 0.375% to
2.250%, due 07/15/25 to 01/15/26. The aggregate market value
of the collateral, including accrued interest, was $408,000,104.

 
 
 
 
  1,025,000,000       2.180 (a)      09/06/19       1,025,000,000  
 

Maturity Value: $1,031,082,810

 
 

Settlement Date: 06/04/19

 
 


Collateralized by a U.S. Treasury Bond, 2.250%, due 08/15/46
and U.S. Treasury Notes, 1.375% to 3.500%, due 05/15/20 to
02/15/27. The aggregate market value of the collateral,
including accrued interest, was $1,045,500,499.

 
 
 
 

 

 

 

 

The accompanying notes are an integral part of these financial statements.   15


FINANCIAL SQUARE GOVERNMENT FUND

 

Schedule of Investments (continued)

August 31, 2019

 

Principal
Amount
    Interest
Rate
    Maturity
Date
    Amortized
Cost
 
Repurchase Agreements(b) – (continued)  
 

HSBC Securities (USA), Inc.

 
$ 250,000,000       2.170 %       09/03/19     $ 250,000,000  
 

Maturity Value: $250,060,278

 
 








Collateralized by Federal Home Loan Mortgage Corp., 3.500%,
due 04/01/39, Federal National Mortgage Association Stripped
Security, 0.000%, due 07/15/20, Tennessee Valley Authority,
4.250%, due 09/15/65, a U.S. Treasury Inflation-Indexed Bond,
2.125%, due 02/15/40, U.S. Treasury Interest-Only Stripped
Securities, 0.000%, due 05/15/20 to 11/15/31, U.S. Treasury
Notes, 1.375% to 2.000%, due 05/31/20 to 02/15/23 and U.S.
Treasury Principal-Only Stripped Securities, 0.000%, due
02/15/20 to 08/15/40. The aggregate market value of the
collateral, including accrued interest, was $255,069,267.

 
 
 
 
 
 
 
 
 
 

 

 

 
 

HSBC Securities (USA), Inc. (Overnight MBS + 0.01%)

 
  500,000,000       2.180 (a)      09/06/19       500,000,000  
 

Maturity Value: $509,083,340

 
 

Settlement Date: 11/14/18

 
 






Collateralized by Federal Home Loan Mortgage Corp., 3.000% to
6.500%, due 04/01/25 to 01/01/49, a U.S. Treasury Inflation-
Indexed Note, 0.375%, due 07/15/23, U.S. Treasury Interest-
Only Stripped Securities, 0.000%, due 08/15/24 to 11/15/43,
U.S. Treasury Notes, 1.250% to 2.000%, due 10/31/19 to
11/15/26 and a U.S. Treasury Principal-Only Stripped Security,
0.000%, due 02/15/48. The aggregate market value of the
collateral, including accrued interest, was $511,319,397.

 


 
 
 
 
 
  1,000,000,000       2.180 (a)      09/06/19       1,000,000,000  
 

Maturity Value: $1,019,014,458

 
 

Settlement Date: 10/31/18

 
 













Collateralized by Federal Farm Credit Bank, 1.600% to 4.350%,
due 04/06/20 to 10/18/38, Federal Home Loan Bank, 0.000% to
4.000%, due 09/20/19 to 02/14/34, Federal Home Loan
Mortgage Corp., 0.000% to 8.000%, due 02/01/20 to 12/01/48,
Federal Home Loan Mortgage Corp. Stripped Securities,
0.000%, due 03/15/20 to 07/15/32, Federal National Mortgage
Association, 0.000% to 7.125%, due 09/06/19 to 03/17/31,
Federal National Mortgage Association Stripped Securities,
0.000%, due 11/15/19 to 05/15/30, Tennessee Valley Authority,
0.000% to 3.500%, due 05/01/20 to 12/15/42, a U.S. Treasury
Bill, 0.000%, due 08/13/20, U.S. Treasury Interest-Only
Stripped Securities, 0.000%, due 11/15/19 to 11/15/37 and U.S.
Treasury Notes, 1.500% to 2.125%, due 06/15/20 to 08/15/29.
The aggregate market value of the collateral, including accrued
interest, was $1,020,324,958.

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

 

 

 
 

ING Financial Markets LLC

 
  300,000,000       2.400       09/09/19       300,000,000  
 

Maturity Value: $301,800,000

 
 

Settlement Date: 06/11/19

 
 



Collateralized by Federal Home Loan Mortgage Corp., 2.444% to
7.000%, due 01/01/26 to 08/01/49 and Federal National
Mortgage Association, 2.148% to 7.000%, due 01/01/24 to
05/01/58. The aggregate market value of the collateral,
including accrued interest, was $306,000,002.

 
 
 
 
 

 

 

 
Repurchase Agreements(b) – (continued)  
 

ING Financial Markets LLC – (continued)

 
$ 300,000,000       2.400     09/10/19     $ 300,000,000  
 

Maturity Value: $301,800,000

 
 

Settlement Date: 06/12/19

 
 



Collateralized by Federal Home Loan Mortgage Corp., 2.308% to
5.180%, due 11/01/36 to 05/01/49 and Federal National
Mortgage Association, 2.148% to 7.000%, due 05/01/23 to
05/01/58. The aggregate market value of the collateral,
including accrued interest, was $306,000,006.

 
 
 
 
 
  300,000,000       2.580       09/17/19       300,000,000  
 

Maturity Value: $303,870,000

 
 

Settlement Date: 03/21/19

 
 



Collateralized by Federal Home Loan Mortgage Corp., 2.458% to
4.851%, due 04/01/32 to 04/01/49 and Federal National
Mortgage Association, 2.148% to 6.000%, due 11/01/24 to
05/01/58. The aggregate market value of the collateral,
including accrued interest, was $306,000,002.

 
 
 
 
 
  500,000,000       2.360       09/18/19       500,000,000  
 

Maturity Value: $502,950,000

 
 

Settlement Date: 06/20/19

 
 




Collateralized by Federal Home Loan Mortgage Corp., 2.308% to
5.000%, due 05/01/23 to 07/01/49, Federal National Mortgage
Association, 2.500% to 8.000%, due 08/01/21 to 09/01/57 and
Government National Mortgage Association, 3.875% to
5.000%, due 05/20/43 to 10/20/48. The aggregate market value
of the collateral, including accrued interest, was $510,000,002.

 
 
 
 
 
 
  350,000,000       2.300       10/08/19       350,000,000  
 

Maturity Value: $352,034,861

 
 

Settlement Date: 07/09/19

 
 



Collateralized by Federal Home Loan Mortgage Corp., 2.308% to
5.180%, due 11/01/35 to 04/01/49 and Federal National
Mortgage Association, 2.389% to 6.500%, due 08/01/24 to
05/01/58. The aggregate market value of the collateral,
including accrued interest, was $357,000,004.

 
 
 
 
 
  200,000,000       2.490       11/04/19       200,000,000  
 

Maturity Value: $202,517,667

 
 

Settlement Date: 05/06/19

 
 



Collateralized by Federal Home Loan Mortgage Corp., 2.288% to
5.180%, due 11/01/36 to 04/01/49 and Federal National
Mortgage Association, 2.488% to 6.500%, due 04/01/20 to
05/01/58. The aggregate market value of the collateral,
including accrued interest, was $204,000,001.

 
 
 
 
 
  200,000,000       2.490       11/05/19       200,000,000  
 

Maturity Value: $202,517,667

 
 

Settlement Date: 05/07/19

 
 



Collateralized by Federal Home Loan Mortgage Corp., 2.404% to
6.000%, due 04/01/36 to 08/01/49 and Federal National
Mortgage Association, 2.500% to 5.000%, due 04/01/27 to
05/01/58. The aggregate market value of the collateral,
including accrued interest, was $204,000,003.

 
 
 
 
 

 

 

 

 

16   The accompanying notes are an integral part of these financial statements.


FINANCIAL SQUARE GOVERNMENT FUND

 

 

 

Principal
Amount
    Interest
Rate
    Maturity
Date
    Amortized
Cost
 
Repurchase Agreements(b) – (continued)  
 

ING Financial Markets LLC – (continued)

 
$ 300,000,000       2.040     11/21/19     $ 300,000,000  
 

Maturity Value: $301,530,000

 
 

Settlement Date: 08/23/19

 
 




Collateralized by Federal Home Loan Mortgage Corp., 2.308% to
7.000%, due 01/01/26 to 08/01/49, Federal National Mortgage
Association, 2.500% to 5.000%, due 12/01/25 to 05/01/58 and
Government National Mortgage Association, 5.000%, due
10/20/48 to 11/20/48. The aggregate market value of the
collateral, including accrued interest, was $306,000,008.

 
 
 
 
 
 

 

 

 
 

J.P. Morgan Securities LLC

 
  1,000,000,000       2.210       09/04/19       1,000,000,000  
 

Maturity Value: $1,000,429,722

 
 

Settlement Date: 08/28/19

 
 











Collateralized by Federal Farm Credit Bank, 2.370% to 3.730%,
due 06/10/22 to 06/03/39, Federal Farm Credit Bank discount
note, 0.000%, due 06/22/20, Federal Home Loan Bank, 2.700%
to 3.240%, due 08/10/35 to 04/26/41, Federal Home Loan
Mortgage Corp., 3.000% to 4.000%, due 03/01/26 to 02/01/47,
Federal Home Loan Mortgage Corp. Stripped Securities,
0.000%, due 07/15/30 to 01/15/31, Federal National Mortgage
Association, 0.000% to 6.000%, due 07/02/24 to 07/01/49, U.S.
Treasury Interest-Only Stripped Securities, 0.000%, due
05/15/28 to 08/15/42 and a U.S. Treasury Principal-Only
Stripped Security, 0.000%, due 11/15/41. The aggregate market
value of the collateral, including accrued interest, was
$1,020,600,516.

 
 
 
 
 
 
 
 
 
 
 
 
 

 

 

 
 

J.P. Morgan Securities LLC (SOFR + 0.01%)

 
  1,845,000,000       2.130 (a)      09/06/19       1,845,000,000  
 

Maturity Value: $1,859,409,458

 
 

Settlement Date: 05/01/19

 
 













Collateralized by Federal Farm Credit Bank, 2.211% to 5.700%,
due 12/11/20 to 06/05/34, Federal Home Loan Bank, 1.375% to
4.000%, due 09/11/20 to 08/10/38, Federal Home Loan
Mortgage Corp., 0.000% to 6.000%, due 01/17/20 to 08/01/49,
Federal National Mortgage Association, 2.875% to 6.500%,
due 09/12/23 to 09/01/49, Federal National Mortgage
Association Stripped Security, 0.000%, due 01/15/33,
Government National Mortgage Association, 2.500% to
6.000%, due 07/15/31 to 05/20/49, Tennessee Valley Authority,
0.000%, due 01/15/27 to 06/15/35, a U.S. Treasury Bond,
3.000%, due 02/15/49, U.S. Treasury Interest-Only Stripped
Securities, 0.000%, due 02/15/23 to 08/15/47 and U.S. Treasury
Principal-Only Stripped Securities, 0.000%, due 02/15/21 to
08/15/45. The aggregate market value of the collateral,
including accrued interest, was $1,886,099,589.

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

 

 

 
 

Joint Repurchase Agreement Account I

 
  1,700,000,000       2.151       09/03/19       1,700,000,000  
 

Maturity Value: $1,700,406,325

 

 

 

 
 

Joint Repurchase Agreement Account III

 
  3,855,200,000       2.167       09/03/19       3,855,200,000  
 

Maturity Value: $3,856,128,315

 

 

 

 
Repurchase Agreements(b) – (continued)  
 

Mizuho Securities USA LLC

 
350,000,000       2.160       09/03/19     350,000,000  
 

Maturity Value: $350,084,000

 
 




Collateralized by Federal Home Loan Mortgage Corp., 5.000%,
due 03/01/49, Federal National Mortgage Association, 3.500%
to 4.500%, due 08/01/47 to 08/01/49 and Government National
Mortgage Association, 3.500% to 5.000%, due 09/20/48 to
08/20/49. The aggregate market value of the collateral,
including accrued interest, was $360,499,999.

 
 
 
 
 
 

 

 

 
 

Morgan Stanley & Co. LLC

 
  250,000,000       2.170       09/03/19       250,000,000  
 

Maturity Value: $250,060,278

 
 






Collateralized by Federal Farm Credit Bank, 2.200%, due
07/21/25, Federal Home Loan Bank, 1.375% to 2.280%, due
10/06/20 to 10/28/22, Federal Home Loan Mortgage Corp.,
2.500% to 8.500%, due 07/01/27 to 07/01/49, Federal National
Mortgage Association, 3.000% to 4.500%, due 09/01/24 to
09/01/49 and Tennessee Valley Authority, 0.000% to 3.875%,
due 02/15/21 to 06/15/29. The aggregate market value of the
collateral, including accrued interest, was $257,300,402.

 
 
 
 
 
 
 
 

 

 

 
 

MUFG Securities Americas Inc.

 
  250,000,000       2.170       09/03/19       250,000,000  
 

Maturity Value: $250,060,278

 
 







Collateralized by Federal Farm Credit Bank, 3.500%, due
09/29/25, Federal Home Loan Mortgage Corp., 3.000% to
6.000%, due 11/01/22 to 08/01/49, Federal Home Loan
Mortgage Corp. Stripped Security, 0.000%, due 03/15/29,
Federal National Mortgage Association, 3.000% to 6.000%,
due 08/01/22 to 09/01/49 and Federal National Mortgage
Association Stripped Security, 0.000%, due 05/15/30. The
aggregate market value of the collateral, including accrued
interest, was $257,287,409.

 
 
 
 
 
 
 
 
 

 

 

 
 

MUFG Securities Americas Inc. (Overnight MBS + 0.08%)

 
  250,000,000       2.250 (a)      10/04/19       250,000,000  
 

Maturity Value: $254,906,250

 
 

Settlement Date: 11/28/18

 
 











Shared collateral consisting of Federal Farm Credit Bank, 2.300%
to 3.500%, due 09/29/25 to 08/19/32, Federal Home Loan
Mortgage Corp., 2.500% to 5.500%, due 05/01/25 to 08/01/49,
Federal Home Loan Mortgage Corp. Stripped Security,
0.000%, due 09/15/29, Federal National Mortgage Association,
2.500% to 6.500%, due 11/01/22 to 09/01/49, Federal National
Mortgage Association Stripped Security, 0.000%, due 07/15/29,
Government National Mortgage Association, 3.500%, due
03/20/34, a U.S. Treasury Bond, 3.000%, due 02/15/49, U.S.
Treasury Inflation-Indexed Notes, 0.625% to 1.375%, due
01/15/20 to 01/15/24 and U.S. Treasury Notes, 1.250% to
3.000%, due 08/15/22 to 08/15/28. The aggregate market value
of the collateral, including accrued interest, was $514,395,376.

 
 
 
 
 
 
 
 
 
 
 
 
 

 

 

 

 

The accompanying notes are an integral part of these financial statements.   17


FINANCIAL SQUARE GOVERNMENT FUND

 

Schedule of Investments (continued)

August 31, 2019

 

Principal
Amount
    Interest
Rate
    Maturity
Date
    Amortized
Cost
 
Repurchase Agreements(b) – (continued)  
 

MUFG Securities Americas Inc. (Overnight MBS +
0.08%) – (continued)

 
 
  $250,000,000       2.250 %(a)      10/04/19     $ 250,000,000  
 

Maturity Value: $252,906,250

 
 

Settlement Date: 04/05/19

 
 











Shared collateral consisting of Federal Farm Credit Bank, 2.300%
to 3.500%, due 09/29/25 to 08/19/32, Federal Home Loan
Mortgage Corp., 2.500% to 5.500%, due 05/01/25 to 08/01/49,
Federal Home Loan Mortgage Corp. Stripped Security,
0.000%, due 09/15/29, Federal National Mortgage Association,
2.500% to 6.500%, due 11/01/22 to 09/01/49, Federal National
Mortgage Association Stripped Security, 0.000%, due 07/15/29,
Government National Mortgage Association, 3.500%, due
03/20/34, a U.S. Treasury Bond, 3.000%, due 02/15/49, U.S.
Treasury Inflation-Indexed Notes, 0.625% to 1.375%, due
01/15/20 to 01/15/24 and U.S. Treasury Notes, 1.250% to
3.000%, due 08/15/22 to 08/15/28. The aggregate market value
of the collateral, including accrued interest, was $514,395,376.

 
 
 
 
 
 
 
 
 
 
 
 
 
  500,000,000       2.250 (a)      10/04/19       500,000,000  
 

Maturity Value: $511,281,250

 
 

Settlement Date: 10/12/18

 
 



Collateralized by Federal Home Loan Mortgage Corp., 3.000% to
5.500%, due 04/01/25 to 08/01/49 and Federal National
Mortgage Association, 2.500% to 5.960%, due 11/01/21 to
09/01/49. The aggregate market value of the collateral,
including accrued interest, was $515,000,004.

 
 
 
 
 

 

 

 
 

MUFG Securities Americas Inc. (Overnight Treasury + 0.02%)

 
  400,000,000       2.170 (a)      09/06/19       400,000,000  
 

Maturity Value: $403,158,557

 
 

Settlement Date: 05/02/19

 
 

Collateralized by U.S. Treasury Notes, 1.250% to 3.125%, due
07/31/23 to 11/15/28. The aggregate market value of the
collateral, including accrued interest, was $408,000,038.

 
 
 

 

 

 
 

Natixis-New York Branch

 
  1,500,000,000       2.170       09/03/19       1,500,000,000  
 

Maturity Value: $1,500,361,667

 
 















Collateralized by Federal Farm Credit Bank, 2.480% to 3.980%,
due 10/19/29 to 04/05/38, Federal Home Loan Bank, 3.370% to
4.080%, due 02/12/30 to 05/25/33, Federal Home Loan
Mortgage Corp. Stripped Securities, 0.000%, due 03/15/29 to
03/15/31, Federal National Mortgage Association, 4.000% to
5.500%, due 06/01/38 to 10/01/47, Federal National Mortgage
Association Stripped Securities, 0.000%, due 07/15/28 to
05/15/30, Government National Mortgage Association, 4.500%
to 5.500%, due 07/20/49, U.S. Treasury Bills, 0.000%, due
09/19/19 to 06/18/20, U.S. Treasury Bonds, 2.750% to 8.125%,
due 05/15/21 to 11/15/47, U.S. Treasury Inflation-Indexed
Bonds, 2.375% to 3.375%, due 01/15/25 to 04/15/32, U.S.
Treasury Inflation-Indexed Notes, 0.375% to 1.375%, due
01/15/20 to 07/15/27 and U.S. Treasury Notes, 1.125% to
3.125%, due 08/31/20 to 11/15/28. The aggregate market value
of the collateral, including accrued interest, was
$1,530,435,003.

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

 

 

 
Repurchase Agreements(b) – (continued)  
 

Nomura Securities International Inc.

 
$ 2,050,000,000       2.170     09/03/19     $ 2,050,000,000  
 

Maturity Value: $2,050,494,278

 
 










Collateralized by Federal Farm Credit Bank, 1.920% to 2.250%,
due 08/28/23 to 11/26/24, Federal Home Loan Mortgage Corp.,
1.980% to 9.500%, due 09/01/19 to 08/01/49, Federal Home
Loan Mortgage Corp. Stripped Securities, 0.000%, due
09/15/27 to 09/15/29, Federal National Mortgage Association,
2.000% to 8.500%, due 09/01/19 to 02/01/52, Government
National Mortgage Association, 2.500% to 10.500%, due
10/20/19 to 08/20/49, Tennessee Valley Authority, 3.500%, due
12/15/42 and U.S. Treasury Interest-Only Stripped Securities,
0.000%, due 02/15/32 to 02/15/35. The aggregate market value
of the collateral, including accrued interest, was
$2,110,257,553.

 
 
 
 
 
 
 
 
 
 
 
 

 

 

 
 

Norinchukin Bank

 
  215,000,000       2.400       09/06/19       215,000,000  
 

Maturity Value: $216,318,667

 
 

Settlement Date: 06/06/19

 
 



Collateralized by a U.S. Treasury Bond, 6.125%, due 08/15/29,
U.S. Treasury Inflation-Indexed Notes, 0.375% to 1.125%, due
01/15/21 to 01/15/27 and a U.S. Treasury Note, 3.375%, due
11/15/19. The aggregate market value of the collateral,
including accrued interest, was $219,300,009.

 
 
 
 
 
  500,000,000       2.400       09/11/19       500,000,000  
 

Maturity Value: $503,200,000

 
 

Settlement Date: 06/07/19

 
 



Collateralized by a U.S. Treasury Bond, 6.125%, due 08/15/29,
U.S. Treasury Inflation-Indexed Notes, 0.375% to 1.125%, due
01/15/21 to 01/15/27 and a U.S. Treasury Note, 2.625%, due
11/15/20. The aggregate market value of the collateral,
including accrued interest, was $510,000,050.

 
 
 
 
 
  650,000,000       2.380       09/17/19       650,000,000  
 

Maturity Value: $653,953,444

 
 

Settlement Date: 06/17/19

 
 


Collateralized by a U.S. Treasury Bond, 6.125%, due 08/15/29
and U.S. Treasury Inflation-Indexed Notes, 0.375% to 1.125%,
due 01/15/21 to 01/15/27. The aggregate market value of the
collateral, including accrued interest, was $663,000,006.

 
 
 
 
  125,000,000       2.080       11/20/19       125,000,000  
 

Maturity Value: $125,671,667

 
 

Settlement Date: 08/19/19

 
 



Collateralized by a U.S. Treasury Bond, 6.125%, due 08/15/29,
U.S. Treasury Inflation-Indexed Notes, 0.375% to 1.125%, due
01/15/21 to 01/15/27 and a U.S. Treasury Note, 2.000%, due
11/15/26. The aggregate market value of the collateral,
including accrued interest, was $127,500,028.

 
 
 
 
 

 

 

 
 

Northwestern Mutual Life Insurance Company

 
  246,300,000       2.170       09/03/19       246,300,000  
 

Maturity Value: $246,359,386

 
 

Collateralized by a U.S. Treasury Note, 1.750%, due 11/15/20.
The market value of the collateral, including accrued interest,
was $251,226,000.

 
 
 
  311,010,000       2.170       09/03/19       311,010,000  
 

Maturity Value: $311,084,988

 
 

Collateralized by a U.S. Treasury Note, 2.250%, due 03/31/26.
The market value of the collateral, including accrued interest,
was $317,230,200.

 
 
 

 

 

 

 

18   The accompanying notes are an integral part of these financial statements.


FINANCIAL SQUARE GOVERNMENT FUND

 

 

 

Principal
Amount
    Interest
Rate
    Maturity
Date
    Amortized
Cost
 
Repurchase Agreements(b) – (continued)  
 

Northwestern Mutual Life Insurance Company – (continued)

 
$ 400,520,000       2.170 %       09/03/19     $ 400,520,000  
 

Maturity Value: $400,616,570

 
 

Collateralized by a U.S. Treasury Note, 2.375%, due 03/15/21.
The market value of the collateral, including accrued interest,
was $408,530,400.

 
 
 

 

 

 
 

Prudential Insurance Company of America (The)

 
  14,050,000       2.170       09/03/19       14,050,000  
 

Maturity Value: $14,053,388

 
 

Collateralized by a U.S. Treasury Interest-Only Stripped Security,
0.000%, due 05/15/37. The market value of the collateral,
including accrued interest, was $14,331,000.

 
 
 
  19,437,500       2.170       09/03/19       19,437,500  
 

Maturity Value: $19,442,187

 
 

Collateralized by a U.S. Treasury Interest-Only Stripped Security,
0.000%, due 11/15/32. The market value of the collateral,
including accrued interest, was $19,826,250.

 
 
 
  22,440,000       2.170       09/03/19       22,440,000  
 

Maturity Value: $22,445,410

 
 

Collateralized by a U.S. Treasury Interest-Only Stripped Security,
0.000%, due 08/15/38. The market value of the collateral,
including accrued interest, was $22,888,800.

 
 
 
  23,931,250       2.170       09/03/19       23,931,250  
 

Maturity Value: $23,937,020

 
 

Collateralized by a U.S. Treasury Principal-Only Stripped
Security, 0.000%, due 08/15/39. The market value of the
collateral, including accrued interest, was $24,409,875.

 
 
 
  28,025,000       2.170       09/03/19       28,025,000  
 

Maturity Value: $28,031,757

 
 

Collateralized by a U.S. Treasury Interest-Only Stripped Security,
0.000%, due 02/15/35. The market value of the collateral,
including accrued interest, was $28,585,500.

 
 
 
  30,906,250       2.170       09/03/19       30,906,250  
 

Maturity Value: $30,913,702

 
 

Collateralized by a U.S. Treasury Bond, 3.125%, due 05/15/48.
The market value of the collateral, including accrued interest,
was $31,524,375.

 
 
 
  32,062,500       2.170       09/03/19       32,062,500  
 

Maturity Value: $32,070,231

 
 

Collateralized by a U.S. Treasury Interest-Only Stripped Security,
0.000%, due 08/15/36. The market value of the collateral,
including accrued interest, was $32,703,750.

 
 
 
  81,468,750       2.170       09/03/19       81,468,750  
 

Maturity Value: $81,488,393

 
 

Collateralized by a U.S. Treasury Bond, 2.500%, due 02/15/45.
The market value of the collateral, including accrued interest,
was $83,098,125.

 
 
 
  94,125,000       2.170       09/03/19       94,125,000  
 

Maturity Value: $94,147,695

 
 

Collateralized by a U.S. Treasury Interest-Only Stripped Security,
0.000%, due 11/15/41. The market value of the collateral,
including accrued interest, was $96,007,500.

 
 
 
  174,375,000       2.170       09/03/19       174,375,000  
 

Maturity Value: $174,417,044

 
 

Collateralized by a U.S. Treasury Bond, 2.875%, due 08/15/45.
The market value of the collateral, including accrued interest,
was $177,862,500.

 
 
 

 

 

 
Repurchase Agreements(b) – (continued)  
 

Prudential Insurance Company of America (The) – (continued)

 
174,500,000       2.170       09/03/19     174,500,000  
 

Maturity Value: $174,542,074

 
 

Collateralized by a U.S. Treasury Principal-Only Stripped
Security, 0.000%, due 08/15/27. The market value of the
collateral, including accrued interest, was $177,990,000.

 
 
 

 

 

 
 

Royal Bank of Canada-New York Branch

 
  815,000,000       2.170       09/03/19       815,000,000  
 

Maturity Value: $815,196,505

 
 




Collateralized by Federal Home Loan Mortgage Corp., 3.000% to
4.500%, due 09/01/29 to 03/01/49, Federal National Mortgage
Association, 3.000% to 5.000%, due 01/01/28 to 06/01/51 and
Government National Mortgage Association, 4.000% to
4.500%, due 03/15/44 to 02/20/49. The aggregate market value
of the collateral, including accrued interest, was $831,300,002.

 
 
 
 
 
 
  2,700,000,000       2.180 (c)      09/07/19       2,700,000,000  
 

Maturity Value: $2,705,068,504

 
 

Settlement Date: 08/16/19

 
 




Collateralized by Federal Home Loan Mortgage Corp., 2.500% to
7.000%, due 11/01/27 to 07/01/49, Federal National Mortgage
Association, 2.500% to 4.500%, due 10/01/27 to 06/01/56 and
Government National Mortgage Association, 3.000% to 4.500%,
due 09/20/43 to 11/20/47. The aggregate market value of the
collateral, including accrued interest, was $2,754,000,001.

 
 
 
 
 
 
  3,480,000,000       2.300 (c)      09/07/19       3,480,000,000  
 

Maturity Value: $3,493,562,336

 
 

Settlement Date: 07/10/19

 
 






Collateralized by Federal Home Loan Mortgage Corp., 3.000% to
8.000%, due 06/01/23 to 08/01/49, Federal National Mortgage
Association, 2.000% to 8.500%, due 12/01/20 to 01/01/58,
Government National Mortgage Association, 3.000% to 5.500%,
due 12/15/25 to 08/20/49, a U.S. Treasury Bill, 0.000%, due
06/18/20 and U.S. Treasury Notes, 1.875% to 2.750%, due
01/31/21 to 10/31/22. The aggregate market value of the
collateral, including accrued interest, was $3,549,600,091.

 
 
 
 
 
 
 
 

 

 

 
 

Societe Generale SA

 
  500,000,000       2.170       09/03/19       500,000,000  
 

Maturity Value: $500,120,555

 
 









Collateralized by Federal Farm Credit Bank, 2.750%, due
10/12/21, Federal Home Loan Mortgage Corp., 2.375% to
4.500%, due 01/13/22 to 07/01/49, Federal National Mortgage
Association, 1.125% to 6.000%, due 09/06/19 to 03/01/49,
Government National Mortgage Association, 3.000% to
5.000%, due 09/15/40 to 11/20/48, a U.S. Treasury Bond,
7.625%, due 02/15/25, U.S. Treasury Interest-Only Stripped
Securities, 0.000%, due 11/15/19 to 02/15/37 and U.S. Treasury
Notes, 2.375% to 2.875%, due 10/31/20 to 04/30/26. The
aggregate market value of the collateral, including accrued
interest, was $512,310,262.

 
 
 
 
 
 
 
 
 
 
 

 

 

 
 

Sumitomo Mitsui Banking Corp.

 
  1,800,000,000       2.170       09/03/19       1,800,000,000  
 

Maturity Value: $1,800,434,000

 
 


Collateralized by Federal National Mortgage Association, 3.000%
to 4.000%, due 11/01/46 to 05/01/49. The aggregate market
value of the collateral, including accrued interest, was
$1,854,447,020.

 
 
 
 

 

 

 

 

The accompanying notes are an integral part of these financial statements.   19


FINANCIAL SQUARE GOVERNMENT FUND

 

Schedule of Investments (continued)

August 31, 2019

 

Principal
Amount
    Interest
Rate
    Maturity
Date
    Amortized
Cost
 
Repurchase Agreements(b) – (continued)  
 

Wells Fargo Securities LLC

 
$ 300,000,000       2.100 %       09/03/19     $ 300,000,000  
 

Maturity Value: $300,070,000

 
 


Collateralized by a U.S. Treasury Bond, 8.500%, due 02/15/20
and U.S. Treasury Notes, 2.000% to 2.375%, due 03/15/22 to
08/15/25. The aggregate market value of the collateral,
including accrued interest, was $306,000,042.

 
 
 
 
  400,000,000       2.150       09/03/19       400,000,000  
 

Maturity Value: $400,095,555

 
 

Collateralized by a U.S. Treasury Note, 2.000%, due 05/31/24.
The market value of the collateral, including accrued interest,
was $408,000,056.

 
 
 

 

 

 
  TOTAL REPURCHASE AGREEMENTS     $ 71,885,051,250  

 

 

 
  TOTAL INVESTMENTS – 99.5%     $ 110,124,288,126  

 

 

 
 
OTHER ASSETS IN EXCESS OF
    LIABILITIES – 0.5%
 
 
    530,328,601  

 

 

 
  NET ASSETS – 100.0%     $ 110,654,616,727  

 

 

 

 

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

(a)

  Variable or floating rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed is that which is in effect on August 31, 2019.

(b)

  Unless noted, all repurchase agreements were entered into on August 31, 2019. Additional information on Joint Repurchase Agreement Accounts I and III appear on pages 39 and 40.

(c)

  The instrument is subject to a demand feature.

Interest rates represent either the stated coupon rate, annualized yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate, which is based upon current interest rate indices.

Maturity dates represent either the final legal maturity date on the security, the demand date for puttable securities, the date of the next interest rate reset for variable rate securities, or the prerefunded date for those types of securities.

 

 

Investment Abbreviations:

FEDL01

 

—US Federal Funds Effective Rate

LIBOR

 

—London Interbank Offered Rates

MMY

 

—Money Market Yield

Prime

 

—Federal Reserve Bank Prime Loan Rate US

SOFR

 

—Secured Overnight Financing Rate

T-Bill

 

—Treasury Bill

 

 

20   The accompanying notes are an integral part of these financial statements.


FINANCIAL SQUARE MONEY MARKET FUND

 

Schedule of Investments

August 31, 2019

 

Principal

Amount

    Interest
Rate
    Maturity
Date
    Value  
Commercial Paper and Corporate Obligations – 25.2%  
 

Albion Capital LLC

 
$ 60,000,000       2.233     09/03/19     $ 59,985,667  
  31,000,000       2.211       09/06/19       30,987,040  
  63,000,000       2.356       10/21/19       62,804,623  
 

Alpine Securitization LLC

 
  80,000,000       2.371       11/12/19       79,657,955  
  30,000,000       2.309       12/02/19       29,837,694  
 

Antalis S.A.

 
  50,000,000       2.356       10/10/19       49,878,196  
 

Atlantic Asset Securitization LLC

 
  6,500,000       2.325       10/03/19       6,487,194  
  19,750,000       2.213       11/08/19       19,668,855  
 

Bank of China Ltd.

 
  55,000,000       2.495       09/30/19       54,894,622  
 

Bank of Montreal

 
  50,000,000       2.195       11/08/19       49,792,806  
 

Bank of New York Mellon (The)

 
  350,000,000       2.079 (a)      09/04/19       349,895,486  
 

Banner Health

 
  25,000,000       2.250       10/16/19       24,998,461  
 

Banque et Caisse d’Epargne de l’Etat

 
  30,500,000       2.605       10/09/19       30,428,054  
  61,450,000       2.256       11/22/19       61,155,491  
  15,000,000       2.296       02/18/20       14,854,158  
  50,000,000       2.297       02/26/20       49,492,500  
 

Barclays US CCP Funding LLC

 
  25,000,000       2.408       09/23/19       24,964,267  
 

Bedford Row Funding Corp.

 
  8,000,000       3.103       10/16/19       7,978,244  
 

BNG Bank N.V.

 
  47,830,000       2.335       10/02/19       47,739,199  
 

CAFCO LLC

 
  1,000,000       2.333       09/19/19       998,842  
 

Cancara Asset Securitisation Ltd.

 
  25,000,000       2.326       10/07/19       24,944,795  
 

Chariot Funding LLC

 
  1,750,000       2.345       10/09/19       1,745,936  
 

China Construction Bank Corp.

 
  15,500,000       2.779       10/01/19       15,468,049  
  18,000,000       2.779       10/02/19       17,961,736  
  30,000,000       2.520       10/07/19       29,926,628  
  30,000,000       2.520       10/08/19       29,924,698  
  16,500,000       2.520       10/21/19       16,444,874  
 

Citigroup Global Markets, Inc.

 
  20,000,000       2.520       09/10/19       19,985,608  
  7,500,000       2.586       01/08/20       7,446,454  
 

Coca-Cola Company (The)

 
  50,000,000       2.794       01/13/20       49,615,989  
  30,000,000       2.822       02/11/20       29,725,000  
 

Collateralized Commercial Paper Flex Co., LLC

 
  43,100,000       3.059       10/15/19       42,985,229  
  66,000,000       2.768       04/23/20       65,165,760  
 

Collateralized Commercial Paper II Co., LLC

 
  40,000,000       3.191       10/22/19       39,877,687  
  16,455,000       3.309       11/25/19       16,372,684  
 

Dexia Credit Local-New York Branch

 
  60,000,000       2.866       10/10/19       59,847,617  

 

 

 
Commercial Paper and Corporate Obligations – (continued)  
 

DNB Bank ASA

 
20,000,000       2.757       03/04/20     19,791,703  
 

Erste Abwicklungsanstalt

 
  100,000,000       2.235       02/05/20       99,119,317  
 

Federation des caisses Desjardins du Quebec

 
  40,000,000       2.239       10/08/19       39,907,137  
  50,000,000       2.202       11/06/19       49,797,417  
  45,400,000       2.803       02/25/20       44,937,009  
  20,750,000       2.650       05/14/20       20,458,829  
  19,500,000       2.650       05/15/20       19,225,449  
 

First Abu Dhabi Bank P.J.S.C.

 
  78,000,000       2.233       11/07/19       77,679,472  
  40,000,000       2.254       11/18/19       39,810,045  
  80,354,000       2.330       12/02/19       79,907,307  
 

Industrial & Commercial Bank of China Ltd.-New York Branch

 
  55,500,000       2.232       09/04/19       55,483,874  
 

J.P. Morgan Securities LLC

 
  25,000,000       3.058       09/27/19       24,958,700  
  56,700,000       2.714       05/15/20       55,915,968  
 

Kells Funding LLC

 
  8,500,000       2.440       09/16/19       8,491,583  
  42,200,000       2.337       10/02/19       42,119,654  
  54,000,000       2.347       10/16/19       53,854,558  
  37,000,000       2.347       10/18/19       36,896,206  
  35,000,000       2.286       11/05/19       34,866,140  
  40,000,000       2.235       11/19/19       39,814,240  
  96,000,000       2.097       03/06/20       94,992,000  
 

Liberty Street Funding LLC

 
  50,000,000       2.546       09/25/19       49,922,181  
 

LMA-Americas LLC

 
  20,000,000       2.693       10/10/19       19,953,101  
  22,500,000       2.433       10/11/19       22,445,978  
  94,350,000       2.407       11/07/19       93,976,751  
  50,000,000       2.620       01/27/20       49,579,166  
  25,000,000       2.379       02/05/20       24,776,958  
  16,000,000       2.142       02/06/20       15,856,356  
 

Manhattan Asset Funding Company LLC

 
  50,000,000       2.235       09/09/19       49,970,541  
  50,000,000       2.249       10/04/19       49,897,674  
 

Matchpoint Finance PLC

 
  50,000,000       2.325       10/21/19       49,853,750  
  35,000,000       2.213       11/08/19       34,862,324  
  51,680,000       2.515       12/02/19       51,399,455  
 

Mercy Health

 
  25,000,000       2.255       09/17/19       24,973,525  
 

National Securities Clearing Corp.

 
  60,000,000       3.017       10/01/19       59,886,880  
  58,000,000       3.245       12/13/19       57,643,904  
  21,000,000       3.137       01/02/20       20,848,917  
 

Nationwide Building Society

 
  74,000,000       2.567       10/30/19       73,736,809  
  56,250,000       2.551       11/01/19       56,043,478  
 

Nederlandse Waterschapsbank N.V.

 
  20,000,000       2.114       12/16/19       19,873,760  
 

Nieuw Amsterdam Receivables Corp.

 
  6,500,000       2.315       10/02/19       6,487,207  
  50,000,000       2.161       01/28/20       49,573,006  

 

 

 

 

The accompanying notes are an integral part of these financial statements.   21


FINANCIAL SQUARE MONEY MARKET FUND

 

Schedule of Investments (continued)

August 31, 2019

 

Principal

Amount

    Interest
Rate
    Maturity
Date
    Value  
Commercial Paper and Corporate Obligations – (continued)  
 

Nordea Bank AB

 
$ 50,000,000       2.119 %       12/09/19     $ 49,712,991  
 

NRW.Bank

 
  70,000,000       2.516       09/05/19       69,975,477  
 

Oesterreichische Kontrollbank AG

 
  20,000,000       2.029       04/09/20       19,767,708  
 

Old Line Funding Corp

 
  25,000,000       2.152       02/03/20       24,776,493  
 

Ridgefield Funding Company LLC

 
  9,600,000       2.427       09/16/19       9,590,176  
  32,000,000       2.365       10/02/19       31,937,021  
  35,613,000       2.295       11/04/19       35,473,931  
  25,000,000       2.080       02/21/20       24,739,931  
 

Santander UK PLC

 
  69,000,000       2.672       11/04/19       68,727,772  
 

Sheffield Receivables Company LLC

 
  14,000,000       2.398       09/23/19       13,979,924  
 

Skandinaviska Enskilda Banken AB

 
  65,000,000       2.742       11/13/19       64,716,302  
 

Societe Generale

 
  20,500,000       2.423       03/11/20       20,290,434  
 

Standard Chartered Bank

 
  54,000,000       2.611       09/24/19       53,914,838  
  58,731,000       2.308       01/10/20       58,284,024  
  10,000,000       2.308       01/13/20       9,922,178  
 

Sumitomo Mitsui Trust Bank Ltd.

 
  80,000,000       2.106       01/17/20       79,358,178  
 

Sumitomo Mitsui Trust Bank, Ltd.-Singapore Branch

 
  20,000,000       2.391       10/18/19       19,942,561  
  93,000,000       2.402       10/18/19       92,732,910  
 

UBS AG-London Branch

 
  70,000,000       2.349       01/03/20       69,505,100  
 

United Overseas Bank Ltd.

 
  125,000,000       2.535       09/27/19       124,797,389  
 

Versailles Commercial Paper LLC

 
  15,000,000       2.531       09/04/19       14,995,454  
  6,000,000       2.323       09/16/19       5,993,860  
  25,000,000       2.242       11/01/19       24,905,937  
  40,000,000       2.233       11/08/19       39,832,778  
 

Victory Receivables Corp.

 
  29,700,000       2.236       09/18/19       29,666,173  
  32,000,000       2.666       10/01/19       31,938,901  
  50,000,000       2.197       10/18/19       49,854,974  

 

 

 
 
TOTAL COMMERCIAL PAPER AND
CORPORATE OBLIGATIONS

 
  (Cost $4,480,487,422)     $ 4,482,859,842  

 

 

 
     
Certificate of Deposit – 1.6%  
 

Branch Banking and Trust Company

 
$ 293,000,000       2.140     09/03/19     $ 293,000,536  
  (Cost $293,000,000)    

 

 

 
Certificates of Deposit-Eurodollar – 7.1%  
 

Credit Industriel et Commercial

 
$ 15,000,000       2.350     03/17/20     $ 14,833,698  
  30,000,000       2.350       03/17/20       29,667,395  
 

DZ Bank AG Deutsche Zentral-Genossenschaftsbank

 
  60,000,000       2.355       10/11/19       59,845,698  
  150,000,000       2.320       11/29/19       149,182,823  
 

DZ Bank AG Deutsche Zentral-Genossenschaftsbank
Frnk-London Branch

 
 
  20,000,000       2.195       11/18/19       19,903,710  
  100,000,000       2.049       02/25/20       98,967,111  
 

Euroclear Bank

 
  100,000,000       2.750       10/15/19       99,725,395  
  7,000,000       2.790       11/05/19       6,972,037  
  50,000,000       2.900       11/05/19       49,800,267  
 

KBC Bank NV

 
  130,000,000       2.060       02/20/20       128,834,307  
  90,000,000       2.080       02/28/20       89,067,459  
 

Landesbank Hessen-Thueringen Girozentrale

 
  70,000,000       2.710       02/03/20       69,384,230  
 

Mizuho Securities USA LLC

 
  34,800,000       2.340       10/23/19       34,687,872  
 

MUFG Bank, Ltd.-London Branch

 
  100,000,000       2.515       09/03/19       99,976,139  
  25,000,000       2.455       09/09/19       24,985,092  
 

Nationwide Building Society

 
  15,000,000       2.570       09/23/19       14,977,434  
  35,000,000       2.570       10/15/19       34,899,219  
  85,600,000       2.404       11/04/19       85,271,067  
 

Norinchukin Bank (The)-London Branch

 
  35,000,000       2.320       10/08/19       34,918,480  
 

Sumitomo Mitsui Trust Bank Ltd.

 
  50,000,000       2.535       10/03/19       49,898,207  
  40,000,000       2.235       11/07/19       39,835,083  
  30,000,000       2.595       11/18/19       29,856,688  

 

 

 
  TOTAL CERTIFICATES OF DEPOSIT-EURODOLLAR  
  (Cost $1,264,953,293)     $ 1,265,489,411  

 

 

 
     
Certificates of Deposit-Yankeedollar – 10.7%  
 

Banco Del Estado De Chile

 
$ 35,000,000       2.660     09/23/19     $ 35,012,227  
  30,000,000       2.180       12/12/19       30,007,126  
 

Barclays Bank PLC

 
  60,000,000       2.760       09/30/19       60,024,575  
 

Credit Agricole Corporate and Investment Bank

 
  75,000,000       2.600       12/06/19       75,106,807  
  13,100,000       2.700       03/19/20       13,151,375  
 

Credit Suisse AG-New York Branch

 
  10,000,000       2.810       03/09/20       10,042,844  
 

DNB Bank ASA

 
  186,000,000       2.080       09/03/19       186,000,000  
  18,875,000       2.300       10/31/19       18,881,551  
 

Industrial & Commercial Bank of China Ltd.

 
  28,026,000       2.500       10/08/19       28,030,858  
 

Mitsubishi UFJ Trust and Banking Corp.

 
  45,350,000       2.530       09/03/19       45,352,032  
  35,000,000       2.370       11/06/19       34,858,721  

 

 

 

 

22   The accompanying notes are an integral part of these financial statements.


FINANCIAL SQUARE MONEY MARKET FUND

 

 

 

Principal

Amount

    Interest
Rate
    Maturity
Date
    Value  
Certificates of Deposit-Yankeedollar – (continued)  
 

Mizuho Bank, Ltd.-New York Branch

 
$ 50,000,000       2.710 %       09/20/19     $ 50,014,713  
  80,000,000       2.250       12/20/19       80,054,460  
 

MUFG Bank, Ltd.

 
  50,000,000       2.840       02/24/20       50,193,096  
  21,545,000       2.446       02/28/20       21,324,978  
  33,000,000       2.442       03/02/20       32,657,611  
 

National Bank of Kuwait S.A.K.P

 
  220,000,000       2.120       09/03/19       220,000,000  
  52,728,000       2.450       10/18/19       52,739,734  
  15,000,000       2.300       11/12/19       15,001,424  
  75,000,000       2.250       12/03/19       75,002,897  
  50,000,000       2.200       12/18/19       49,996,780  
 

Natixis-New York Branch

 
  98,000,000       2.750       12/20/19       98,183,748  
 

Norinchukin Bank (The)

 
  25,000,000       2.280       10/23/19       25,006,165  
  40,000,000       2.260       12/02/19       40,020,700  
  50,000,000       2.500       12/04/19       50,057,230  
  121,000,000       2.080       02/07/20       121,030,738  
 

Skandinaviska Enskilda Banken AB

 
  10,000,000       2.355       10/17/19       9,972,293  
  83,000,000       2.600       11/07/19       83,076,908  
  46,900,000       2.090       12/12/19       46,900,245  
  8,600,000       2.450 (b)      05/27/20       8,617,527  
 

Standard Chartered Bank-New York Branch

 
  16,000,000       2.890       09/17/19       16,004,713  
 

Sumitomo Mitsui Trust Bank Ltd.

 
  68,000,000       2.380       09/05/19       68,002,749  
 

Toronto-Dominion Bank (The)

 
  25,000,000       2.600       10/22/19       25,017,773  
  50,000,000       2.270       11/01/19       50,016,065  
  50,000,000       2.250       01/06/20       50,037,689  

 

 

 
  TOTAL CERTIFICATES OF DEPOSIT-YANKEEDOLLAR  
  (Cost $1,874,306,667)     $ 1,875,398,352  

 

 

 
     
Fixed Rate Municipal Debt Obligations – 1.7%  
 

ABN Amro Bank NV

 
$ 25,523,000       1.800 %(b)      09/20/19     $ 25,512,791  
 

Citibank N.A.

 
  61,000,000       3.050       05/01/20       61,334,535  
 

Commonwealth Bank of Australia

 
  13,000,000       1.750 (b)      11/07/19       12,989,637  
  12,617,000       2.250 (b)      03/10/20       12,631,368  
 

ING Bank NV

 
  4,500,000       2.500 (b)      10/01/19       4,501,137  
 

PACCAR Financial Corp.

 
  12,000,000       1.950       02/27/20       11,978,411  
 

Shell International Finance B.V.

 
  15,350,000       2.125       05/11/20       15,359,711  
  44,700,000       2.017       06/29/20       43,975,264  
 

Sumitomo Mitsui Banking Corp.

 
  6,595,000       2.450       01/16/20       6,600,989  
  32,491,000       2.514       01/17/20       32,527,438  
 

UBS AG-London Branch

 
  22,137,000       2.200 (b)      06/08/20       22,144,615  

 

 

 
Fixed Rate Municipal Debt Obligations – (continued)  
 

Wells Fargo Bank N.A.

 
47,530,000       2.400       01/15/20     47,573,066  
 

Westpac Banking Corp.

 
  10,364,000       4.875       11/19/19       10,423,876  
  8,515,000       2.150       03/06/20       8,520,468  

 

 

 
  TOTAL FIXED RATE MUNICIPAL DEBT OBLIGATIONS  
  (COST $315,384,084)     $ 316,073,306  

 

 

 
     
Time Deposit – 11.1%  
 

Australia & New Zealand Banking Group Ltd.

 
$ 150,000,000       2.160     09/03/19     $ 149,985,093  
  420,000,000       2.160       09/04/19       419,947,710  
 

DBS Bank Ltd.

 
  180,000,000       2.170       09/04/19       179,977,836  
  280,000,000       2.170       09/05/19       279,958,325  
  200,000,000       2.150 (a)      09/06/19       200,000,000  
 

National Bank of Canada

 
  350,000,000       2.150       09/03/19       349,964,836  
  200,000,000       2.140 (a)      09/06/19       200,000,000  
 

Standard Chartered Bank-London Branch

 
  200,000,000       2.120       09/03/19       199,979,248  

 

 

 
  TOTAL TIME DEPOSIT  
  (Cost $1,980,000,000)     $ 1,979,813,048  

 

 

 
     
U.S. Treasury Obligations – 1.1%  
 

United States Treasury Floating Rate Note (3 Mo. U.S. T-Bill
MMY + 0.22%)

 
 
$ 195,000,000       2.180 %(c)      07/31/21     $ 194,938,725  
  (Cost $194,967,205)    

 

 

 
     
Variable Rate Municipal Debt Obligations(d) – 1.6%  
 

Alaska Housing Finance Corp. VRDN RB Refunding for State
Capital Project Bonds II Series 2017 B

 
 
$ 15,000,000       2.150     09/07/19     $ 15,000,000  
 

Alaska Housing Finance Corp. VRDN RB Refunding for State
Capital Project Bonds II Series 2017 B

 
 
  33,000,000       2.100       09/07/19       33,000,000  
 

BlackRock Municipal Bond Trust VRDN RB Putters
Series 2012-T0014 (JPMorgan Chase N.A., LIQ)(b)

 
 
  66,500,000       2.230       09/01/19       66,500,000  
 

BlackRock MuniVest Fund, Inc. VRDN RB Putters
Series 2012-T0007 (JPMorgan Chase Bank N.A., LIQ)(b)

 
 
  29,110,000       2.230       09/01/19       29,110,000  
 

City of Portland, Maine GO VRDN for Taxable Pension Bonds
Series 2001 RMKT (Sumitomo Mitsui Banking Corp., SPA)

 
 
  58,800,000       2.120       09/07/19       58,800,000  
 

Massachusetts Health & Educational Facilities Authority VRDN
RB for Partners Healthcare System Series 1997-P2-RMKT
(JPMorgan Chase & Co. SPA)

 
 
 
  150,000       1.350       09/07/19       150,000  
 

Regents of the University of California VRDN RB Taxable
Series 2011 Z-1

 
 
  54,925,000       2.130       09/07/19       54,925,000  

 

 

 

 

The accompanying notes are an integral part of these financial statements.   23


FINANCIAL SQUARE MONEY MARKET FUND

 

Schedule of Investments (continued)

August 31, 2019

 

Principal

Amount

    Interest
Rate
    Maturity
Date
    Value  
Variable Rate Municipal Debt Obligations(d) – (continued)  
 

Triborough Bridge & Tunnel Authority VRDN RB Refunding for
Metropolitan Transportation Authority Bridges & Tunnels
Series 2018E (Bank of America N.A., LOC) WI

 
 
 
$ 24,000,000       2.100 %       09/07/19     $ 24,000,000  

 

 

 
  TOTAL VARIABLE RATE MUNICIPAL DEBT OBLIGATIONS  
  (Cost $281,484,990)     $ 281,485,000  

 

 

 
     
Variable Rate Obligations(c) – 21.3%  
 

Atlantic Asset Securitization LLC (1 Mo. LIBOR + 0.10%)

 
$ 30,000,000       2.301 %(b)      12/09/19     $ 30,001,086  
 

Banco Del Estado De Chile (1 Mo. LIBOR + 0.15%)

 
  35,000,000       2.361       12/09/19       35,006,734  
  19,000,000       2.347       12/16/19       19,003,394  
 

Bank of America, N.A. (3 Mo. LIBOR + 0.05%)

 
  40,000,000       2.353       04/06/20       39,999,871  
 

Bank of Montreal (SOFR + 0.23%)

 
  80,000,000       2.350       05/08/20       80,011,670  
 

Bank of Montreal (1 Mo. LIBOR + 0.18%)

 
  30,000,000       2.424       04/03/20       29,991,533  
 

Bank of Montreal (1 Mo. LIBOR + 0.40%)

 
  70,150,000       2.601       12/10/19       70,212,711  
 

Bank of Montreal (3 Mo. LIBOR + 0.07%)

 
  80,000,000       2.457       03/20/20       80,008,450  
 

Bank of Montreal (3 Mo. LIBOR + 0.21%)

 
  57,000,000       2.463       11/01/19       57,017,868  
 

Bank of Nova Scotia (The) (3 Mo. LIBOR + 0.06%)

 
  50,000,000       2.269       05/07/20       50,009,890  
 

Bank of Nova Scotia (The) (1 Mo. LIBOR + 0.16%)

 
  65,850,000       2.276 (b)      05/29/20       65,814,376  
 

Bank of Nova Scotia (The) (1 Mo. LIBOR + 0.21%)

 
  20,000,000       2.392 (b)      07/17/20       19,990,121  
 

Bank of Nova Scotia (The) (FEDL01 + 0.29%)

 
  100,000,000       2.410       05/20/20       99,999,705  
  60,000,000       2.410       07/10/20       59,999,718  
 

Bedford Row Funding Corp. (1 Mo. LIBOR + 0.18%)

 
  30,000,000       2.325 (b)      03/27/20       29,988,971  
 

BNP Paribas-New York Branch (1 Mo. LIBOR + 0.18%)

 
  62,535,000       2.349       05/21/20       62,506,270  
 

BNP Paribas-New York Branch (3 Mo. LIBOR + 0.22%)

 
  55,000,000       2.523       01/06/20       55,033,153  
 

BNZ International Funding Ltd. (1 Mo. LIBOR + 0.34%)

 
  50,000,000       2.569 (b)      09/06/19       50,004,117  
 

Canadian Imperial Bank of Commerce (1 Mo. LIBOR + 0.18%)

 
  25,000,000       2.409       04/06/20       24,994,008  
 

Canadian Imperial Bank of Commerce (1 Mo. LIBOR + 0.40%)

 
  70,000,000       2.601       12/10/19       70,062,577  
 

Canadian Imperial Bank of Commerce (1 Mo. LIBOR + 0.35%)

 
  40,000,000       2.594       11/05/19       40,015,543  
 

Canadian Imperial Bank of Commerce (FEDL01 + 0.28%)

 
  30,000,000       2.400       07/10/20       29,999,991  
 

Canadian Imperial Bank of Commerce (3 Mo. LIBOR + 0.22%)

 
  62,500,000       2.407       11/08/19       62,522,053  
 

Chariot Funding LLC (3 Mo. LIBOR + 0.05%)

 
  37,000,000       2.326 (b)      10/25/19       36,999,715  

 

 

 
Variable Rate Obligations(c) – (continued)  
 

Collateralized Commercial Paper Flex Co., LLC (1 Mo. LIBOR
+ 0.20%)

 
 
25,000,000       2.430 %(b)      07/01/20     24,989,929  
 

Commonwealth Bank of Australia (3 Mo. LIBOR + 0.10%)

 
  80,000,000       2.487 (b)      09/20/19       80,003,551  
 

Commonwealth Bank of Australia (1 Mo. LIBOR + 0.17%)

 
  37,500,000       2.394 (b)      04/02/20       37,492,758  
 

Credit Agricole Corporate and Investment Bank (FEDL01 + 0.33%)

 
  37,000,000       2.450       06/12/20       36,999,926  
 

Credit Industriel et Commercial (1 Mo. LIBOR + 0.12%)

 
  45,550,000       2.314 (b)      01/13/20       45,546,683  
 

Credit Suisse AG-New York Branch (SOFR + 0.28%)

 
  75,000,000       2.400       07/07/20       75,001,833  
 

Credit Suisse AG-New York Branch (SOFR + 0.29%)

 
  16,000,000       2.410       08/07/20       16,001,306  
 

Credit Suisse AG-New York Branch (SOFR + 0.38%)

 
  30,000,000       2.500       03/06/20       30,017,326  
  40,000,000       2.500       05/04/20       40,039,571  
 

DNB Bank ASA (1 Mo. LIBOR + 0.20%)

 
  85,000,000       2.370 (b)      07/22/20       84,957,772  
 

Macquarie Bank Ltd. (1 Mo. LIBOR + 0.25%)

 
  10,000,000       2.461 (b)      07/09/20       9,999,985  
 

Macquarie Bank Ltd. (3 Mo. LIBOR + 0.12%)

 
  35,000,000       2.329 (b)      05/07/20       35,004,565  
 

MUFG Bank, Ltd. (3 Mo. LIBOR + 0.18%)

 
  10,000,000       2.312       02/27/20       10,002,859  
 

National Australia Bank Ltd. (1 Mo. LIBOR + 0.17%)

 
  32,500,000       2.400 (b)      04/01/20       32,495,370  
 

National Bank of Canada (FEDL01 + 0.36%)

 
  94,716,000       2.480 (b)      08/19/20       94,715,759  
 

National Bank of Canada (3 Mo. LIBOR + 0.07%)

 
  50,000,000       2.323 (b)      05/01/20       50,003,078  
 

Natixis-New York Branch (1 Mo. LIBOR + 0.29%)

 
  39,000,000       2.534       06/05/20       39,002,181  
 

Natixis-New York Branch (FEDL01 + 0.40%)

 
  68,000,000       2.520       08/06/20       67,999,715  
 

Natixis-New York Branch (3 Mo. LIBOR + 0.23%)

 
  10,000,000       2.568       01/10/20       10,005,607  
 

Natixis-New York Branch (SOFR + 0.34%)

 
  30,000,000       2.460       03/12/20       30,038,702  
 

Natixis-New York Branch (FEDL01 + 0.32%)

 
  64,000,000       2.440       04/09/20       64,022,406  
 

Nordea Bank AB (3 Mo. LIBOR + 0.27%)

 
  28,750,000       2.570       10/18/19       28,758,871  
 

Old Line Funding Corp. (FEDL01 + 0.20%)

 
  35,000,000       2.320 (b)      10/28/19       34,999,661  
 

Oversea-Chinese Banking Corp., Ltd. (3 Mo. LIBOR + 0.08%)

 
  50,000,000       2.400 (b)      04/02/20       50,002,689  
 

Royal Bank of Canada (FEDL01 + 0.36%)

 
  25,000,000       2.480 (b)      07/29/20       25,002,111  
 

Royal Bank of Canada (FEDL01 + 0.27%)

 
  50,000,000       2.390 (b)      07/02/20       49,991,623  
 

Royal Bank of Canada (1 Mo. LIBOR + 0.18%)

 
  40,000,000       2.404 (b)      04/02/20       39,990,847  
 

Royal Bank of Canada (FEDL01 + 0.28%)

 
  40,000,000       2.400 (b)      04/09/20       40,002,181  
  45,000,000       2.400 (b)      06/12/20       45,003,367  
 

Skandinaviska Enskilda Banken AB (1 Mo. LIBOR + 0.20%)

 
  70,000,000       2.372       07/20/20       69,972,091  

 

 

 

 

24   The accompanying notes are an integral part of these financial statements.


FINANCIAL SQUARE MONEY MARKET FUND

 

 

 

Principal

Amount

    Interest
Rate
    Maturity
Date
    Value  
Variable Rate Obligations(c) – (continued)  
 

Societe Generale (FEDL01 + 0.37%)

 
$ 6,500,000       2.490 % (b)      06/15/20     $ 6,499,984  
 

Societe Generale (3 Mo. LIBOR + 0.18%)

 
  55,000,000       2.463       04/24/20       55,017,150  
  60,000,000       2.361 (b)      05/11/20       60,016,158  
 

Societe Generale (3 Mo. LIBOR + 0.21%)

 
  75,600,000       2.730       03/03/20       75,644,671  
 

Standard Chartered Bank (1 Mo. LIBOR + 0.13%)

 
  44,325,000       2.331       12/11/19       44,330,780  
 

Sumitomo Mitsui Banking Corp. (3 Mo. LIBOR + 0.04%)

 
  40,000,000       2.340       10/18/19       39,999,691  
 

Sumitomo Mitsui Banking Corp. (1 Mo. LIBOR + 0.14%)

 
  30,000,000       2.384       11/04/19       30,004,985  
 

Sumitomo Mitsui Banking Corp. (3 Mo. LIBOR + 0.31%)

 
  25,000,000       2.610       10/18/19       25,013,250  
 

Sumitomo Mitsui Banking Corp. (3 Mo. LIBOR + 0.42%)

 
  9,867,000       2.544       08/28/20       9,878,552  
 

Svenska Handelsbanken AB (3 Mo. LIBOR + 0.27%)

 
  13,688,000       2.548       10/21/19       13,691,987  
 

Svenska Handelsbanken AB (1 Mo. LIBOR + 0.34%)

 
  8,500,000       2.510       11/22/19       8,504,505  
 

Svenska Handelsbanken AB-New York Branch
(3 Mo. LIBOR + 0.21%)

 
 
  37,000,000       2.629       12/19/19       37,020,300  
 

Svenska Handelsbanken AB-New York Branch
(1 Mo. LIBOR + 0.22%)

 
 
  22,000,000       2.390       07/22/20       21,993,022  
 

Toronto-Dominion Bank (The) (FEDL01 + 0.31%)

 
  55,000,000       2.430       04/30/20       54,996,040  
 

Toronto-Dominion Bank (The) (1 Mo. LIBOR + 0.18%)

 
  130,000,000       2.292       06/03/20       129,948,828  
 

Toronto-Dominion Bank (The) (1 Mo. LIBOR + 0.37%)

 
  99,000,000       2.593 (b)      11/07/19       99,060,385  
 

UBS AG-London Branch (3 Mo. LIBOR + 0.14%)

 
  40,000,000       2.483 (b)      09/24/19       40,002,669  
 

UBS AG-London Branch (1 Mo. LIBOR + 0.25%)

 
  10,000,000       2.480 (b)      10/01/19       10,001,888  
 

UBS AG-London Branch (3 Mo. LIBOR + 0.32%)

 
  80,000,000       2.739 (b)      12/19/19       80,064,755  
 

Wells Fargo Bank N.A. (1 Mo. LIBOR + 0.39%)

 
  38,750,000       2.603       12/09/19       38,786,564  
 

Wells Fargo Bank N.A. (1 Mo. LIBOR + 0.22%)

 
  60,000,000       2.415       07/15/20       60,035,996  
 

Wells Fargo Bank N.A. (FEDL01 + 0.29%)

 
  65,000,000       2.410       04/06/20       65,003,788  
 

Westpac Banking Corp. (FEDL01 + 0.26%)

 
  180,000,000       2.380 (b)      06/26/20       179,998,790  
 

Westpac Banking Corp. (3 Mo. LIBOR + 0.18%)

 
  50,000,000       2.436 (b)      10/31/19       50,013,822  
 

Westpac Banking Corp. (3 Mo. LIBOR + 0.10%)

 
  60,000,000       2.487 (b)      09/20/19       60,002,663  

 

 

 
  TOTAL VARIABLE RATE OBLIGATIONS  
  (Cost $3,792,314,038)     $ 3,792,789,071  

 

 

 
 
TOTAL INVESTMENTS BEFORE REPURCHASE
AGREEMENTS
 
 
  (Cost $14,476,897,699)     $ 14,481,847,291  

 

 

 
Repurchase Agreements(e) – 22.8%  
 

Barclays Bank PLC (OBFR + 0.35%)

 
$ 65,000,000       2.450 %(c)      10/04/19     $ 65,000,000  
 

Maturity Value: $65,641,424

 
 

Settlement Date: 05/16/19

 
 


Collateralized by various corporate security issuers, 1.500% to
51.625%, due 07/07/20 to 06/05/15. The aggregate market
value of the collateral, including accrued interest, was
$71,519,464.

 
 
 
 

 

 

 
 

BNP Paribas

 
  60,000,000       2.220       09/03/19       60,000,069  
 

Maturity Value: $60,014,800

 
 




Collateralized by mortgage-backed obligations, 2.345% to
8.495%, due 09/25/28 to 06/25/56, various corporate security
issuers, 0.000% to 9.250%, due 02/01/20 to 12/31/99 and
various sovereign debt security issuers, 2.375% to 8.300%, due
01/27/20 to 08/15/31. The aggregate market value of the
collateral, including accrued interest, was $64,475,089.

 
 
 
 
 
 

 

 

 
 

BNP Paribas (OBFR + 0.20%)

 
  50,000,000       2.300 (c)      09/06/19       50,000,000  
 

Maturity Value: $52,875,001

 
 

Settlement Date: 03/24/17

 
 




Collateralized by various asset-backed obligations, 0.000% to
9.286%, due 12/15/23 to 01/28/70, various corporate security
issuers, 0.000% to 12.500%, due 10/01/20 to 12/31/99 and
various sovereign debt security issuer, 4.625%, due 01/13/28.
The aggregate market value of the collateral, including accrued
interest, was $58,054,656.

 
 
 
 
 
 

 

 

 
 

BofA Securities, Inc.

 
  75,000,000       2.250       09/03/19       75,000,334  
 

Maturity Value: $75,018,750

 
 


Collateralized by various corporate security issuers, 0.000% to
12.000%, due 10/15/19 to 12/31/99. The aggregate market
value of the collateral, including accrued interest, was
$81,013,553.

 
 
 
 
  75,000,000       2.300       09/03/19       75,000,744  
 

Maturity Value: $75,019,167

 
 



Collateralized by mortgage-backed obligations, 0.000% to
5.450%, due 05/03/32 to 01/25/59 and various asset-backed
obligations, 0.000% to 3.836%, due 05/15/22 to 09/25/65. The
aggregate market value of the collateral, including accrued
interest, was $86,250,002.

 
 
 
 
 

 

 

 
 

Citigroup Global Markets, Inc. (3 Mo. LIBOR + 0.43%)

 
  108,000,000       2.752 (c)      12/03/19       108,000,000  
 

Maturity Value: $111,756,822

 
 

Settlement Date: 09/10/18

 
 



Collateralized by mortgage-backed obligations, 0.000% to
7.500%, due 03/25/34 to 01/25/66 and various asset-backed
obligations, 0.000% to 6.000%, due 04/15/24 to 02/28/43. The
aggregate market value of the collateral, including accrued
interest, was $118,799,998.

 
 
 
 
 

 

 

 

 

The accompanying notes are an integral part of these financial statements.   25


FINANCIAL SQUARE MONEY MARKET FUND

 

Schedule of Investments (continued)

August 31, 2019

 

Principal

Amount

    Interest
Rate
    Maturity
Date
    Value  
Repurchase Agreements(e) – (continued)  
 

Credit Suisse Securities (USA) LLC (1 Mo. LIBOR + 0.50%)

 
$ 30,000,000       2.612 %(c)      10/04/19     $ 30,000,000  
 

Maturity Value: $31,945,941

 
 

Settlement Date: 04/27/17

 
 




Collateralized by municipal debt obligations, 0.000% to 7.500%,
due 08/20/40 to 07/01/51, various asset-backed obligation,
5.926%, due 05/16/42 and various corporate security issuers,
0.000% to 12.500%, due 11/15/19 to 12/31/99. The aggregate
market value of the collateral, including accrued interest, was
$33,009,577.

 
 
 
 
 
 

 

 

 
 

HSBC Bank PLC

 
  140,000,000       2.440       10/04/19       140,028,622  
 

Maturity Value: $140,332,111

 
 

Collateralized by an Exchange-Traded Fund and various equity
securities. The aggregate market value of the collateral,
including accrued interest, was $151,200,003.

 
 
 

 

 

 
 

HSBC Securities (USA), Inc.

 
  130,000,000       2.300       09/03/19       130,001,290  
 

Maturity Value: $130,033,222

 
 


Collateralized by various corporate security issuers, 0.000% to
10.000%, due 09/15/20 to 12/31/99. The aggregate market
value of the collateral, including accrued interest, was
$143,036,545.

 
 
 
 

 

 

 
 

ING Financial Markets LLC

 
  30,000,000       2.200       09/03/19       29,999,969  
 

Maturity Value: $30,007,333

 
 



Collateralized by various corporate security issuers, 0.000% to
5.050%, due 02/04/21 to 01/15/48 and various sovereign debt
security issuers, 0.000% to 8.750%, due 01/22/21 to 02/04/25.
The aggregate market value of the collateral, including accrued
interest, was $32,500,019.

 
 
 
 
 

 

 

 
 

J.P. Morgan Securities LLC (OBFR + 0.29%)

 
  365,000,000       2.390 (c)(f)      09/07/19       365,000,000  
 

Maturity Value: $365,726,958

 
 

Settlement Date: 08/13/19

 
 

Collateralized by an Exchange-Traded Fund and various equity
securities. The aggregate market value of the collateral,
including accrued interest, was $394,750,131.

 
 
 

 

 

 
 

J.P. Morgan Securities LLC (SOFR + 0.01%)

 
  115,000,000       2.130 (c)      09/06/19       115,000,000  
 

Maturity Value: $115,898,151

 
 

Settlement Date: 05/01/19

 
 






Collateralized by Federal Farm Credit Bank, 0.000% to 2.810%,
due 07/23/24 to 12/28/37, Federal Home Loan Mortgage Corp.,
2.850%, due 05/06/24, Federal National Mortgage Association,
2.500%, due 08/01/27, a U.S. Treasury Interest-Only Stripped
Security, 0.000%, due 08/15/35 and a U.S. Treasury Principal-
Only Stripped Security, 0.000%, due 11/15/46. The aggregate
market value of the collateral, including accrued interest, was
$117,387,911.

 
 
 
 

 
 
 

 

 

 
Repurchase Agreements(e) – (continued)  
 

Joint Repurchase Agreement Account III

 
1,915,700,000       2.167     09/03/19     1,915,691,130  
 

Maturity Value: $1,916,161,292

 

 

 

 
 

Merrill Lynch, Pierce, Fenner & Smith, Inc. (OBFR + 0.30%)

 
  132,000,000       2.400 (c)      10/04/19       132,000,000  
 

Maturity Value: $134,076,801

 
 

Settlement Date: 02/14/19

 
 



Collateralized by mortgage-backed obligations, 0.000% to
5.554%, due 07/05/32 to 03/25/58 and various asset-backed
obligations, 0.000% to 4.078%, due 02/15/24 to 01/29/46. The
aggregate market value of the collateral, including accrued
interest, was $151,799,999.

 
 
 
 
 

 

 

 
 

MUFG Securities Americas Inc.

 
  75,000,000       2.200       09/03/19       74,999,923  
 

Maturity Value: $75,018,333

 
 

Collateralized by municipal debt obligations, 0.000% to 7.747%,
due 06/01/24 to 11/15/45. The aggregate market value of the
collateral, including accrued interest, was $78,749,997.

 
 
 
  110,000,000       2.270       09/03/19       110,000,730  
 

Maturity Value: $110,027,745

 
 


Collateralized by an Exchange-Traded Fund, various corporate
security issuer, 2.125%, due 03/31/48 and various equity
securities. The aggregate market value of the collateral,
including accrued interest, was $118,800,037.

 
 
 
 

 

 

 
 

RBC Capital Markets LLC

 
  100,000,000       2.200       09/03/19       99,999,897  
 

Maturity Value: $100,024,445

 
 

Collateralized by various corporate security issuers, 0.000% to
7.500%, due 09/30/19 to 12/31/99. The aggregate market value
of the collateral, including accrued interest, was $105,000,003.

 
 
 

 

 

 
 

Royal Bank of Canada-New York Branch

 
  125,000,000       2.170       09/03/19       124,999,460  
 

Maturity Value: $125,030,138

 
 



Collateralized by Federal Home Loan Mortgage Corp., 0.000% to
4.500%, due 01/01/41 to 03/01/49 and Federal National
Mortgage Association, 0.000% to 4.000%, due 01/01/31 to
05/01/49. The aggregate market value of the collateral,
including accrued interest, was $127,500,003.

 
 
 
 
 

 

 

 
 

Societe Generale-Paris Branch

 
  150,000,000       2.320       09/03/19       150,001,818  
 

Maturity Value: $150,038,666

 
 



Collateralized by various corporate security issuers, 6.500% to
9.250%, due 08/15/22 to 03/01/26 and various sovereign debt
security issuers, 0.000% to 11.875%, due 06/05/20 to 05/30/40.
The aggregate market value of the collateral, including accrued
interest, was $165,000,001.

 
 
 
 
 

 

 

 
 

Societe Generale-Paris Branch (OBFR + 0.36%)

 
  106,000,000       2.460 (c)      10/04/19       106,000,000  
 

Maturity Value: $106,999,580

 
 

Settlement Date: 05/23/19

 
 



Collateralized by various corporate security issuers, 5.000% to
9.750%, due 07/25/22 to 12/31/99 and various sovereign debt
security issuers, 0.000% to 8.875%, due 10/14/19 to 01/27/45.
The aggregate market value of the collateral, including accrued
interest, was $116,600,000.

 
 
 
 
 

 

 

 

 

26   The accompanying notes are an integral part of these financial statements.


FINANCIAL SQUARE MONEY MARKET FUND

 

 

 

Principal

Amount

    Interest
Rate
    Maturity
Date
    Value  
Repurchase Agreements(e) – (continued)  
 

Wells Fargo Securities LLC (3 Mo. LIBOR + 0.20%)

 
$ 92,000,000       2.338 %(c)      11/27/19     $ 92,000,000  
 

Maturity Value: $93,917,938

 
 

Settlement Date: 01/10/19

 
 



Collateralized by municipal debt obligations, 6.375% to 8.250%,
due 07/01/24 to 01/01/49 and various asset-backed obligations,
0.000% to 7.350%, due 09/20/21 to 02/25/57. The aggregate
market value of the collateral, including accrued interest, was
$101,199,998.

 
 
 
 
 

 

 

 
  TOTAL REPURCHASE AGREEMENTS  
  (Cost $4,048,700,000)     $ 4,048,723,986  

 

 

 
  TOTAL INVESTMENTS – 104.2%  
  (Cost $18,525,597,699)     $ 18,530,571,277  

 

 

 
 
LIABILITIES IN EXCESS OF
    OTHER ASSETS – (4.2)%

 
    (745,737,140

 

 

 
  NET ASSETS – 100.0%     $ 17,784,834,137  

 

 

 

 

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

(a)

  All or a portion represents a forward commitment.

(b)

  Exempt from registration under Rule 144A of the Securities Act of 1933.

(c)

  Variable or floating rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed is that which is in effect on August 31, 2019.

(d)

  Rate shown is that which is in effect on August 31, 2019. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions.

(e)

  Unless noted, all repurchase agreements were entered into on August 31, 2019. Additional information on Joint Repurchase Agreement Account III appears on page 40.

(f)

  The instrument is subject to a demand feature.

Interest rates represent either the stated coupon rate, annualized yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate, which is based upon current interest rate indices.

Maturity dates represent either the final legal maturity date on the security, the demand date for puttable securities, the date of the next interest rate reset for variable rate securities, or the prerefunded date for those types of securities.

 

 

Investment Abbreviations:

FEDL01

 

—US Federal Funds Effective Rate

GO

 

—General Obligation

LIBOR

 

—London Interbank Offered Rates

LIQ

 

—Liquidity Agreement

LOC

 

—Letter of Credit

MMY

 

—Money Market Yield

OBFR

 

—Overnight Bank Funding Rate

RB

 

—Revenue Bond

RMKT

 

—Remarketed

SOFR

 

—Secured Overnight Financing Rate

SPA

 

—Stand-by Purchase Agreement

T-Bill

 

—Treasury Bill

VRDN

 

—Variable Rate Demand Notes

WI

 

—When Issued Security

 

 

The accompanying notes are an integral part of these financial statements.   27


FINANCIAL SQUARE PRIME OBLIGATIONS FUND

 

Schedule of Investments

August 31, 2019

 

Principal
Amount
    Interest
Rate
    Maturity
Date
    Value  
Commercial Paper and Corporate Obligations – 28.1%  
 

Albion Capital LLC

 
$ 17,402,000       2.211     09/06/19     $ 17,394,725  
  16,602,000       2.418       10/09/19       16,562,469  
  19,584,000       2.356       10/21/19       19,523,266  
  20,000,000       2.212       11/15/19       19,908,498  
 

Alpine Securitization LLC

 
  16,000,000       2.371       11/12/19       15,931,591  
  30,000,000       2.202       11/21/19       29,856,133  
  10,000,000       2.309       12/02/19       9,945,898  
 

Atlantic Asset Securitization LLC

 
  30,000,000       2.213       11/08/19       29,876,741  
 

Banque et Caisse d’Epargne de l’Etat

 
  11,000,000       2.605       10/09/19       10,974,052  
  15,000,000       2.296       02/18/20       14,854,158  
 

Barclays US CCP Funding LLC

 
  10,000,000       2.408       09/23/19       9,985,707  
 

Bedford Row Funding Corp.

 
  4,300,000       3.103       10/16/19       4,288,306  
  6,000,000       3.136       10/18/19       5,983,005  
 

BNG Bank N.V.

 
  12,590,000       2.335       10/02/19       12,566,099  
 

Chariot Funding LLC

 
  25,000,000       2.448       09/06/19       24,989,646  
 

China Construction Bank Corp.

 
  10,000,000       2.779       10/01/19       9,979,387  
  10,000,000       2.780       10/03/19       9,978,098  
  7,500,000       2.520       10/07/19       7,481,657  
  7,500,000       2.520       10/08/19       7,481,174  
  6,000,000       2.520       10/21/19       5,979,954  
  5,000,000       2.520       10/24/19       4,982,339  
 

Citigroup Global Markets, Inc.

 
  10,000,000       2.520       09/10/19       9,992,804  
  7,500,000       2.586       01/08/20       7,446,454  
 

Collateralized Commercial Paper Flex Co., LLC

 
  15,000,000       3.059       10/15/19       14,960,057  
  24,000,000       2.768       04/23/20       23,696,640  
 

Collateralized Commercial Paper II Co., LLC

 
  20,000,000       3.191       10/22/19       19,938,844  
  5,167,000       3.309       11/25/19       5,141,152  
 

Dexia Credit Local-New York Branch

 
  35,000,000       2.866       10/10/19       34,911,110  
 

Federation des caisses Desjardins du Quebec

 
  30,000,000       2.202       11/06/19       29,878,450  
  20,250,000       2.803       02/25/20       20,043,490  
  7,500,000       2.650       05/14/20       7,394,758  
  7,000,000       2.650       05/15/20       6,901,443  
 

First Abu Dhabi Bank P.J.S.C.

 
  20,000,000       2.233       11/07/19       19,917,814  
  28,576,000       2.330       12/02/19       28,417,144  
 

Gotham Funding Corp.

 
  10,957,000       2.296       09/03/19       10,954,390  
 

Industrial & Commercial Bank of China Ltd.-New York Branch

 
  21,000,000       2.232       09/04/19       20,993,898  
  5,000,000       2.520       10/25/19       4,982,026  
 

J.P. Morgan Securities LLC

 
  18,000,000       2.714       05/15/20       17,751,101  

 

 

 
Commercial Paper and Corporate Obligations – (continued)  
 

Kells Funding LLC

 
11,904,000       2.337       10/02/19     11,881,336  
  40,000,000       2.347       10/16/19       39,892,265  
  25,000,000       2.347       10/18/19       24,929,869  
  20,000,000       2.286       11/04/19       19,924,687  
  40,000,000       2.234       11/14/19       39,825,960  
  30,000,000       2.097       03/06/20       29,685,000  
 

Liberty Street Funding LLC

 
  25,000,000       2.165       12/09/19       24,854,742  
 

LMA-Americas LLC

 
  30,000,000       2.407       11/07/19       29,881,320  
  12,750,000       2.620       01/27/20       12,642,688  
  20,000,000       2.142       02/06/20       19,820,444  
 

Manhattan Asset Funding Company LLC

 
  20,000,000       2.235       09/09/19       19,988,217  
  13,250,000       2.407       09/19/19       13,234,299  
  20,000,000       2.249       10/04/19       19,959,069  
 

Matchpoint Finance PLC

 
  20,000,000       2.556       09/19/19       19,976,522  
  15,000,000       2.213       11/08/19       14,940,996  
  15,045,000       2.515       12/02/19       14,963,328  
 

Mercy Health

 
  25,000,000       2.255       09/17/19       24,973,525  
 

National Australia Bank Ltd.

 
  20,000,000       2.757       03/02/20       19,795,472  
 

National Securities Clearing Corp.

 
  18,000,000       3.245       12/13/19       17,889,488  
 

Nationwide Building Society

 
  50,000,000       2.562       10/31/19       49,819,253  
  15,000,000       2.551       11/01/19       14,944,927  
 

Nederlandse Waterschapsbank N.V.

 
  25,000,000       2.346       10/11/19       24,937,467  
  10,000,000       2.114       12/16/19       9,936,880  
 

Nieuw Amsterdam Receivables Corp.

 
  35,000,000       2.161       01/28/20       34,701,104  
 

Nordea Bank AB

 
  35,000,000       2.119       12/09/19       34,799,094  
 

NRW.Bank

 
  30,000,000       2.516       09/05/19       29,989,490  
 

Oesterreichische Kontrollbank AG

 
  17,000,000       2.116       03/24/20       16,812,809  
  35,000,000       2.029       04/09/20       34,593,489  
 

Regency Markets No. 1 LLC

 
  30,000,000       2.265       09/09/19       29,981,867  
 

Ridgefield Funding Company LLC

 
  35,000,000       2.365       10/02/19       34,931,117  
  25,000,000       2.316       10/25/19       24,917,400  
  10,000,000       2.080       02/21/20       9,895,972  
 

Santander UK PLC

 
  24,000,000       2.672       11/04/19       23,905,312  
 

Sheffield Receivables Company LLC

 
  8,000,000       2.398       09/23/19       7,988,528  
 

Skandinaviska Enskilda Banken AB

 
  20,000,000       2.742       11/13/19       19,912,708  
 

Societe Generale

 
  25,000,000       2.423       03/11/20       24,744,432  

 

 

 

 

28   The accompanying notes are an integral part of these financial statements.


FINANCIAL SQUARE PRIME OBLIGATIONS FUND

 

 

 

Principal
Amount
    Interest
Rate
    Maturity
Date
    Value  
Commercial Paper and Corporate Obligations – (continued)  
 

Standard Chartered Bank

 
$ 36,500,000       2.611 %       09/24/19     $ 36,442,437  
  20,728,000       2.308       01/10/20       20,570,248  
  10,000,000       2.308       01/13/20       9,922,178  
 

Sumitomo Mitsui Trust Bank Ltd.

 
  10,000,000       2.422       10/03/19       9,980,072  
  40,000,000       2.106       01/17/20       39,679,089  
 

Sumitomo Mitsui Trust Bank, Ltd.-Singapore Branch

 
  5,000,000       2.490       09/06/19       4,997,929  
  35,000,000       2.361       11/12/19       34,849,205  
 

Thunder Bay Funding LLC

 
  17,700,000       2.152       02/03/20       17,551,792  
 

Toronto-Dominion Bank (The)

 
  30,000,000       2.399       09/30/19       29,944,768  
  12,300,000       3.136       10/18/19       12,264,809  
 

UBS AG-London Branch

 
  30,000,000       2.349       01/03/20       29,787,900  
 

United Overseas Bank Ltd.

 
  20,000,000       2.535       09/27/19       19,967,582  
 

Versailles Commercial Paper LLC

 
  15,000,000       2.531       09/04/19       14,995,454  
  20,000,000       2.250       10/09/19       19,952,444  
  15,000,000       2.233       11/08/19       14,937,292  
 

Victory Receivables Corp.

 
  11,200,000       2.666       10/01/19       11,178,615  

 

 

 
 
TOTAL COMMERCIAL PAPER AND CORPORATE
OBLIGATIONS
 
 
  (Cost $1,743,865,235)     $ 1,744,737,368  

 

 

 
     
Certificate of Deposit – 1.8%  
 

Branch Banking and Trust Company

 
$ 112,000,000       2.140     09/03/19     $ 112,000,205  
  (Cost $112,000,000)  

 

 

 
Certificates of Deposit-Yankeedollar – 10.3%  
 

Banco Del Estado De Chile

 
$ 15,000,000       2.660     09/23/19     $ 15,005,240  
  25,000,000       2.180       12/12/19       25,005,938  
 

Barclays Bank PLC

 
  20,000,000       2.760       09/30/19       20,008,192  
 

Credit Agricole Corporate and Investment Bank

 
  25,000,000       2.600       12/06/19       25,035,602  
 

Credit Industriel et Commercial

 
  25,000,000       2.650       09/05/19       25,002,328  
 

Credit Suisse AG-New York Branch

 
  22,000,000       2.810       03/09/20       22,094,257  
 

Industrial & Commercial Bank of China Ltd.

 
  10,457,000       2.500       10/08/19       10,458,813  
 

Mitsubishi UFJ Trust and Banking Corp.

 
  25,000,000       2.530       09/03/19       25,001,120  
  15,000,000       2.370       11/06/19       14,939,452  
 

Mizuho Bank, Ltd.-New York Branch

 
  30,000,000