UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549

FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
_______________________________
 
Investment Company Act file number  811-03495
 
DWS Money Market Trust
(Exact name of registrant as specified in charter)

345 Park Avenue
New York, NY  10154
(Address of principal executive offices)             (Zip code)
 

Paul Schubert
345 Park Avenue
New York, NY  10154-0004
(Name and address of agent for service)
 
Registrant's telephone number, including area code:   (212) 454-7190
 
Date of fiscal year end:   12/31
 
Date of reporting period: 3/31/10

ITEM 1.
SCHEDULE OF INVESTMENTS


Investment Portfolio
as of March 31, 2010  (Unaudited)


DWS Money Market Series
DWS Money Market Series (the “Fund”) is a feeder fund that invests substantially all of its assets in a “master portfolio”, the Cash Management Portfolio (the “Portfolio”) and owns a pro rata interest in the Portfolio’s net assets.  At March 31, 2010, the Fund owned approximately 76% of the Portfolio’s outstanding interests. The Portfolio’s Schedule of Investments is set forth below.


 
Principal
Amount ($)
 
Value ($)
 
 
 
Certificates of Deposit and Bank Notes 21.8%
 
ABN Amro Bank NV, 0.25%, 6/25/2010
 
42,000,000
 
42,000,000
 
Allied Irish Banks PLC, 0.25%, 4/7/2010
 
169,000,000
 
169,000,000
 
Banco Bilbao Vizcaya Argentaria SA:
             
 
0.13%, 4/7/2010
 
345,000,000
 
345,000,000
 
 
0.24%, 4/6/2010
 
216,000,000
 
216,000,000
 
Bank of Montreal, 0.16%, 4/7/2010
 
425,000,000
 
425,000,000
 
Bank of Nova Scotia:
             
 
0.22%, 6/25/2010
 
5,200,000
 
5,200,000
 
 
0.28%, 8/2/2010
 
50,000,000
 
49,998,294
 
Bank of Tokyo-Mitsubishi UFJ Ltd.:
             
 
0.2%, 4/15/2010
 
200,000,000
 
200,000,000
 
 
0.2%, 4/26/2010
 
100,000,000
 
100,000,000
 
 
0.21%, 5/11/2010
 
50,000,000
 
50,000,000
 
 
0.21%, 5/18/2010
 
50,000,000
 
50,000,000
 
BNP Paribas:
             
 
0.2%, 4/19/2010
 
200,000,000
 
200,000,000
 
 
0.23%, 4/9/2010
 
290,000,000
 
290,000,000
 
 
0.23%, 4/21/2010
 
200,000,000
 
200,000,000
 
 
0.28%, 5/19/2010
 
118,200,000
 
118,200,000
 
 
0.28%, 6/10/2010
 
300,000,000
 
300,000,000
 
Credit Agricole SA:
             
 
0.2%, 5/17/2010
 
150,000,000
 
150,000,000
 
 
0.21%, 4/14/2010
 
200,000,000
 
200,000,000
 
 
0.22%, 4/6/2010
 
290,000,000
 
290,000,000
 
 
0.22%, 6/1/2010
 
200,000,000
 
200,000,000
 
 
0.22%, 6/3/2010
 
200,000,000
 
200,000,000
 
 
0.23%, 5/20/2010
 
150,000,000
 
150,002,041
 
Dexia Credit Local:
             
 
0.48%, 4/6/2010
 
200,000,000
 
200,000,000
 
 
0.49%, 4/5/2010
 
40,000,000
 
40,000,022
 
DnB NOR Bank ASA, 0.28%, 5/20/2010
 
120,200,000
 
120,200,000
 
Intesa Sanpaolo SpA:
             
 
0.19%, 4/12/2010
 
75,000,000
 
75,000,000
 
 
0.28%, 6/8/2010
 
200,000,000
 
200,000,000
 
KBC Bank NV:
             
 
0.27%, 5/4/2010
 
200,000,000
 
200,000,000
 
 
0.3%, 5/7/2010
 
100,000,000
 
100,000,000
 
Kreditanstalt fuer Wiederaufbau, 5.0%, 6/1/2010
 
54,639,000
 
55,027,555
 
Landeskreditbank Baden-Wuerttemberg Foerderbank, 4.25%, 9/15/2010
 
113,000,000
 
114,954,496
 
Lloyds TSB Bank PLC, 0.2%, 4/26/2010
 
350,000,000
 
350,000,000
 
Mizuho Corporate Bank Ltd.:
             
 
0.2%, 4/14/2010
 
134,300,000
 
134,300,000
 
 
0.2%, 4/26/2010
 
122,000,000
 
122,000,000
 
 
0.21%, 5/17/2010
 
115,000,000
 
115,000,000
 
 
0.22%, 5/21/2010
 
100,000,000
 
100,000,000
 
National Bank of Canada, 0.25%, 6/25/2010
 
300,000,000
 
300,000,000
 
Natixis, 0.2%, 4/7/2010
 
500,000,000
 
500,000,000
 
Nordea Bank Finland PLC, 0.75%, 9/23/2010
 
75,500,000
 
75,500,000
 
NRW.Bank, 5.375%, 7/19/2010
 
25,000,000
 
25,375,444
 
Rabobank Nederland NV, 0.2%, 5/7/2010
 
200,000,000
 
200,000,000
 
Skandinaviska Enskilda Banken AB, 0.3%, 5/4/2010
 
128,000,000
 
128,000,000
 
Societe Generale:
             
 
0.24%, 5/4/2010
 
300,000,000
 
300,000,000
 
 
0.25%, 4/6/2010
 
24,000,000
 
24,000,000
 
Sumitomo Mitsui Banking Corp.:
             
 
0.2%, 4/15/2010
 
113,000,000
 
113,000,000
 
 
0.2%, 4/19/2010
 
100,000,000
 
100,000,250
 
 
0.2%, 4/27/2010
 
250,000,000
 
250,000,000
 
 
0.22%, 5/26/2010
 
48,500,000
 
48,500,000
 
Svensk Exportkredit AB, 4.5%, 9/27/2010
 
30,000,000
 
30,562,271
 
Svenska Handelsbanken AB:
             
 
0.2%, 4/7/2010
 
130,000,000
 
130,000,108
 
 
0.21%, 6/10/2010
 
52,500,000
 
52,500,510
 
Toronto-Dominion Bank:
             
 
0.35%, 4/23/2010
 
40,000,000
 
40,000,000
 
 
0.65%, 4/1/2010
 
62,000,000
 
62,000,000
 
Wal-Mart Stores, Inc., 5.321%, 6/1/2010
 
148,500,000
 
149,649,337
 
Westpac Banking Corp., 0.55%, 4/23/2010
 
12,500,000
 
12,500,988
 
 
Total Certificates of Deposit and Bank Notes (Cost $8,418,471,316)
 
8,418,471,316
 
 
 
Commercial Paper 31.7%
 
Issued at Discount **
   
Anglo Irish Bank Corp., Ltd., 144A, 0.27%, 4/9/2010
 
124,000,000
 
123,992,560
 
Antalis US Funding Corp.:
             
 
144A, 0.21%, 4/13/2010
 
29,030,000
 
29,027,968
 
 
144A, 0.22%, 4/8/2010
 
25,000,000
 
24,998,931
 
 
144A, 0.22%, 4/12/2010
 
40,000,000
 
39,997,311
 
ASB Finance Ltd., 0.36%, 4/8/2010
 
20,000,000
 
19,998,600
 
Bank of Montreal:
             
 
0.19%, 4/12/2010
 
200,000,000
 
199,988,389
 
 
0.195%, 5/24/2010
 
100,000,000
 
99,971,292
 
BNP Paribas Finance, Inc., 0.16%, 4/5/2010
 
8,818,000
 
8,817,843
 
BNZ International Funding Ltd.:
             
 
144A, 0.34%, 4/6/2010
 
150,000,000
 
149,992,917
 
 
144A, 0.35%, 4/6/2010
 
30,000,000
 
29,998,542
 
BPCE SA:
             
 
0.24%, 5/10/2010
 
15,000,000
 
14,996,100
 
 
0.25%, 4/27/2010
 
21,000,000
 
20,996,208
 
CAFCO LLC:
             
 
144A, 0.2%, 4/19/2010
 
36,350,000
 
36,346,365
 
 
144A, 0.2%, 4/22/2010
 
100,000,000
 
99,988,333
 
Caisse D'Amortissement de la Dette Sociale, 0.48%, 4/19/2010
 
63,000,000
 
62,984,880
 
Cancara Asset Securitisation LLC:
             
 
144A, 0.23%, 4/19/2010
 
30,000,000
 
29,996,550
 
 
144A, 0.23%, 4/20/2010
 
34,000,000
 
33,995,873
 
Charta Corp., 144A, 0.2%, 5/7/2010
 
150,000,000
 
149,970,000
 
Danske Corp.:
             
 
144A, 0.18%, 4/12/2010
 
26,250,000
 
26,248,556
 
 
144A, 0.2%, 4/12/2010
 
24,000,000
 
23,998,533
 
DnB NOR Bank ASA, 0.29%, 6/4/2010
 
500,000,000
 
499,742,222
 
Eksportfinans AS, 0.16%, 4/8/2010
 
20,000,000
 
19,999,378
 
Fairway Finance LLC, 144A, 0.18%, 4/7/2010
 
27,016,000
 
27,015,190
 
General Electric Capital Corp.:
             
 
0.18%, 4/21/2010
 
75,000,000
 
74,992,500
 
 
0.22%, 4/23/2010
 
155,000,000
 
154,979,161
 
 
0.24%, 4/14/2010
 
130,000,000
 
129,988,733
 
 
0.28%, 5/18/2010
 
100,000,000
 
99,963,444
 
General Electric Capital Services, Inc., 0.2%, 5/20/2010
 
150,000,000
 
149,959,167
 
Grampian Funding LLC:
             
 
144A, 0.26%, 5/17/2010
 
78,000,000
 
77,974,087
 
 
144A, 0.26%, 5/18/2010
 
20,000,000
 
19,993,211
 
 
144A, 0.26%, 6/2/2010
 
40,000,000
 
39,982,089
 
 
144A, 0.27%, 4/22/2010
 
54,000,000
 
53,991,495
 
 
144A, 0.28%, 4/12/2010
 
69,300,000
 
69,294,071
 
 
144A, 0.31%, 4/6/2010
 
28,000,000
 
27,998,794
 
Hannover Funding Co., LLC:
             
 
0.5%, 4/27/2010
 
19,000,000
 
18,993,139
 
 
0.55%, 4/5/2010
 
40,000,000
 
39,997,556
 
ING (US) Funding LLC:
             
 
0.18%, 4/12/2010
 
21,100,000
 
21,098,840
 
 
0.18%, 5/3/2010
 
100,000,000
 
99,984,000
 
 
0.19%, 5/19/2010
 
250,000,000
 
249,935,333
 
Irish Life & Permanent Group Holdings PLC, 144A, 0.4%, 4/13/2010
 
100,000,000
 
99,986,667
 
Johnson & Johnson:
             
 
144A, 0.18%, 4/29/2010
 
200,000,000
 
199,972,000
 
 
144A, 0.19%, 4/26/2010
 
79,800,000
 
79,789,471
 
 
144A, 0.2%, 5/14/2010
 
45,300,000
 
45,289,178
 
 
144A, 0.2%, 6/3/2010
 
100,000,000
 
99,965,000
 
 
144A, 0.22%, 7/1/2010
 
100,000,000
 
99,944,389
 
 
144A, 0.22%, 8/2/2010
 
100,000,000
 
99,924,833
 
 
144A, 0.29%, 8/9/2010
 
50,000,000
 
49,947,639
 
JPMorgan Chase & Co., 0.25%, 7/26/2010
 
182,750,000
 
182,602,785
 
Kreditanstalt fuer Wiederaufbau, 0.18%, 5/21/2010
 
130,000,000
 
129,967,500
 
LMA Americas LLC, 144A, 0.2%, 4/12/2010
 
36,000,000
 
35,997,800
 
Microsoft Corp.:
             
 
0.1%, 4/8/2010
 
25,000,000
 
24,999,514
 
 
0.1%, 5/26/2010
 
50,000,000
 
49,992,361
 
 
0.15%, 4/14/2010
 
25,000,000
 
24,998,646
 
 
0.19%, 5/10/2010
 
100,000,000
 
99,979,417
 
 
0.19%, 7/21/2010
 
72,000,000
 
71,957,820
 
Natexis Banques Populaires US Finance Co., LLC:
             
 
0.26%, 4/21/2010
 
144,700,000
 
144,679,099
 
 
0.27%, 5/11/2010
 
100,000,000
 
99,970,000
 
Natixis Commercial Paper Corp.:
             
 
0.25%, 5/18/2010
 
40,000,000
 
39,986,944
 
 
0.25%, 5/3/2010
 
31,000,000
 
30,993,111
 
 
0.27%, 5/11/2010
 
90,000,000
 
89,973,000
 
Nestle Capital Corp., 0.15%, 6/1/2010
 
200,000,000
 
199,949,167
 
Nestle Finance International Ltd.:
             
 
0.27%, 8/24/2010
 
100,000,000
 
99,891,250
 
 
0.27%, 8/25/2010
 
98,650,000
 
98,541,978
 
New York Life Capital Corp.:
             
 
144A, 0.17%, 5/3/2010
 
15,000,000
 
14,997,733
 
 
144A, 0.18%, 5/10/2010
 
20,000,000
 
19,996,100
 
 
144A, 0.2%, 5/21/2010
 
24,024,000
 
24,017,327
 
Nieuw Amsterdam Receivables Corp.:
             
 
144A, 0.1%, 4/1/2010
 
9,357,000
 
9,357,000
 
 
144A, 0.2%, 4/6/2010
 
50,000,000
 
49,998,611
 
 
144A, 0.2%, 4/12/2010
 
63,800,000
 
63,796,101
 
 
144A, 0.21%, 4/9/2010
 
163,460,000
 
163,452,372
 
 
144A, 0.21%, 4/16/2010
 
49,300,000
 
49,295,686
 
 
144A, 0.22%, 4/6/2010
 
25,000,000
 
24,999,236
 
 
144A, 0.22%, 4/9/2010
 
80,000,000
 
79,996,089
 
NRW.Bank:
             
 
0.21%, 4/12/2010
 
265,800,000
 
265,782,882
 
 
0.21%, 4/13/2010
 
169,000,000
 
168,988,170
 
 
0.22%, 5/17/2010
 
86,150,000
 
86,125,782
 
 
0.22%, 5/18/2010
 
128,700,000
 
128,663,035
 
 
0.22%, 5/25/2010
 
124,000,000
 
123,959,080
 
 
0.25%, 7/6/2010
 
21,000,000
 
20,986,000
 
 
0.445%, 4/23/2010
 
75,000,000
 
74,979,604
 
 
0.45%, 7/8/2010
 
188,500,000
 
188,269,088
 
 
0.461%, 6/28/2010
 
94,265,000
 
94,159,004
 
 
0.49%, 5/24/2010
 
125,000,000
 
124,909,826
 
Old Line Funding LLC, 144A, 0.17%, 4/14/2010
 
62,026,000
 
62,022,192
 
PepsiCo, Inc., 0.15%, 4/14/2010
 
125,000,000
 
124,993,229
 
Procter & Gamble International Funding SCA, 144A, 0.13%, 4/12/2010
 
33,000,000
 
32,998,689
 
Rabobank USA Financial Corp., 0.185%, 4/14/2010
 
150,000,000
 
149,989,979
 
Romulus Funding Corp.:
             
 
144A, 0.27%, 4/8/2010
 
10,000,000
 
9,999,475
 
 
144A, 0.29%, 4/9/2010
 
35,000,000
 
34,997,745
 
 
144A, 0.29%, 5/7/2010
 
124,500,000
 
124,463,895
 
Salisbury Receivables Co., LLC, 144A, 0.2%, 5/5/2010
 
83,500,000
 
83,484,228
 
Scaldis Capital LLC:
             
 
0.2%, 4/12/2010
 
200,000,000
 
199,987,778
 
 
0.2%, 4/19/2010
 
125,000,000
 
124,987,500
 
 
0.2%, 4/20/2010
 
60,000,000
 
59,993,667
 
 
0.21%, 4/23/2010
 
58,000,000
 
57,992,557
 
 
0.23%, 5/7/2010
 
100,000,000
 
99,977,000
 
Sheffield Receivables Corp.:
             
 
144A, 0.21%, 5/10/2010
 
100,000,000
 
99,977,250
 
 
144A, 0.22%, 6/2/2010
 
100,000,000
 
99,962,111
 
Societe de Prise de Participation de l'Etat:
             
 
144A, 0.21%, 5/20/2010
 
31,500,000
 
31,490,996
 
 
144A, 0.21%, 5/25/2010
 
84,000,000
 
83,973,540
 
 
144A, 0.25%, 5/26/2010
 
155,000,000
 
154,940,799
 
Societe Generale North America, Inc.:
             
 
0.23%, 4/15/2010
 
100,000,000
 
99,991,056
 
 
0.23%, 5/25/2010
 
65,000,000
 
64,977,575
 
 
0.24%, 4/16/2010
 
104,475,000
 
104,464,553
 
 
0.24%, 5/14/2010
 
133,000,000
 
132,961,873
 
Standard Chartered Bank, 0.25%, 4/1/2010
 
93,500,000
 
93,500,000
 
Starbird Funding Corp.:
             
 
144A, 0.19%, 5/26/2010
 
50,000,000
 
49,985,486
 
 
144A, 0.2%, 6/8/2010
 
50,000,000
 
49,981,111
 
Straight-A Funding LLC:
             
 
144A, 0.14%, 4/5/2010
 
52,520,000
 
52,519,183
 
 
144A, 0.17%, 4/5/2010
 
160,290,000
 
160,286,973
 
 
144A, 0.17%, 4/6/2010
 
50,000,000
 
49,998,819
 
 
144A, 0.17%, 4/8/2010
 
100,122,000
 
100,118,690
 
 
144A, 0.17%, 4/19/2010
 
62,690,000
 
62,684,671
 
 
144A, 0.17%, 4/21/2010
 
50,000,000
 
49,995,278
 
 
144A, 0.17%, 4/27/2010
 
130,000,000
 
129,984,039
 
 
144A, 0.17%, 5/4/2010
 
100,000,000
 
99,984,416
 
 
144A, 0.18%, 5/3/2010
 
83,266,000
 
83,252,677
 
 
144A, 0.18%, 5/5/2010
 
135,500,000
 
135,476,965
 
 
144A, 0.19%, 5/12/2010
 
60,000,000
 
59,987,017
 
 
144A, 0.19%, 5/14/2010
 
25,160,000
 
25,154,290
 
 
144A, 0.19%, 5/17/2010
 
78,000,000
 
77,981,063
 
 
144A, 0.19%, 5/19/2010
 
108,000,000
 
107,972,640
 
 
144A, 0.19%, 5/20/2010
 
77,000,000
 
76,980,087
 
 
144A, 0.2%, 6/1/2010
 
124,087,000
 
124,044,948
 
 
144A, 0.2%, 6/2/2010
 
50,000,000
 
49,982,778
 
 
144A, 0.2%, 6/4/2010
 
50,000,000
 
49,982,222
 
Sumitomo Mitsui Banking Corp., 0.2%, 4/20/2010
 
75,000,000
 
74,992,083
 
Swedbank AB:
             
 
144A, 0.86%, 6/3/2010
 
120,000,000
 
119,819,400
 
 
144A, 0.89%, 5/28/2010
 
117,700,000
 
117,534,141
 
 
144A, 0.99%, 5/11/2010
 
100,000,000
 
99,890,000
 
 
144A, 1.02%, 6/24/2010
 
22,000,000
 
21,947,640
 
 
144A, 1.07%, 6/10/2010
 
25,000,000
 
24,947,986
 
 
144A, 1.09%, 6/14/2010
 
104,000,000
 
103,766,982
 
Tasman Funding, Inc.:
             
 
144A, 0.24%, 4/12/2010
 
100,000,000
 
99,992,667
 
 
144A, 0.24%, 4/14/2010
 
48,000,000
 
47,995,840
 
Tempo Finance Corp., 144A, 0.21%, 4/6/2010
 
50,000,000
 
49,998,542
 
Toyota Credit Canada, Inc.:
             
 
0.23%, 5/12/2010
 
50,000,000
 
49,986,903
 
 
0.3%, 4/8/2010
 
50,000,000
 
49,997,083
 
 
0.3%, 4/22/2010
 
50,000,000
 
49,991,250
 
Toyota Credit de Puerto Rico, 0.3%, 4/8/2010
 
50,000,000
 
49,997,083
 
Toyota Motor Credit Corp.:
             
 
0.2%, 4/23/2010
 
50,000,000
 
49,993,889
 
 
0.25%, 4/8/2010
 
71,000,000
 
70,996,549
 
 
0.25%, 4/9/2010
 
150,000,000
 
149,991,667
 
 
0.3%, 4/14/2010
 
138,600,000
 
138,584,985
 
Yorktown Capital LLC, 144A, 0.24%, 6/25/2010
 
82,108,000
 
82,061,472
 
 
Total Commercial Paper (Cost $12,259,183,658)
 
12,259,183,658
 
 
 
Government & Agency Obligations 8.9%
 
Foreign Government Obligations 0.4%
 
Kingdom of Sweden, 1.0%, 4/26/2010
 
162,000,000
 
162,052,722
 
Other Government Related (a) 1.5%
 
Bank of America NA, FDIC Guaranteed, 1.7%, 12/23/2010
 
50,000,000
 
50,478,328
 
Dexia Credit Local, 0.701% *, 4/18/2011
 
115,000,000
 
115,012,752
 
JPMorgan Chase & Co., FDIC Guaranteed, 2.625%, 12/1/2010
 
40,000,000
 
40,602,916
 
Kreditanstalt fuer Wiederaufbau, 0.526% *, 3/2/2011
 
7,860,000
 
7,884,626
 
Queensland Treasury Corp., 0.271% *, 6/18/2010
 
180,000,000
 
180,000,000
 
Royal Bank of Scotland PLC, 0.3% *, 5/21/2010
 
180,000,000
 
180,000,000
 
 
 
573,978,622
 
US Government Sponsored Agencies 6.9%
 
Federal Home Loan Bank:
             
 
Step-up Coupon, 0.2% to 4/26/2010, 0.4% to 7/26/2010, 0.6% to 10/26/2010, 0.8% to 1/26/2011
 
100,000,000
 
100,000,000
 
 
0.25%, 12/21/2010
 
12,000,000
 
11,991,623
 
 
Step-up Coupon, 0.25% to 8/10/2010, 0.55% to 2/10/2011
 
62,595,000
 
62,589,149
 
 
0.26% *, 7/13/2010
 
500,000,000
 
500,007,213
 
 
0.3% *, 5/28/2010
 
150,000,000
 
150,000,000
 
 
0.32% *, 5/21/2010
 
300,000,000
 
300,000,000
 
 
0.375%, 10/26/2010
 
17,600,000
 
17,609,152
 
 
0.48%, 10/25/2010
 
22,500,000
 
22,525,016
 
 
0.5%, 7/13/2010
 
60,750,000
 
60,733,372
 
 
0.5%, 11/23/2010
 
20,000,000
 
20,018,730
 
 
0.55%, 7/29/2010
 
98,450,000
 
98,441,334
 
Federal Home Loan Mortgage Corp.:
             
 
0.158% **, 6/14/2010
 
83,196,000
 
83,168,638
 
 
0.188% **, 7/13/2010
 
50,000,000
 
49,972,819
 
 
0.209% **, 8/24/2010
 
47,500,000
 
47,459,823
 
 
0.229% **, 9/1/2010
 
34,518,000
 
34,484,259
 
 
0.238% **, 7/12/2010
 
56,020,000
 
55,981,906
 
 
0.279% **, 10/26/2010
 
72,700,000
 
72,582,387
 
 
0.421% **, 5/17/2010
 
19,050,000
 
19,039,533
 
 
1.43%, 9/3/2010
 
97,500,000
 
97,829,585
 
Federal National Mortgage Association:
             
 
0.093% **, 5/4/2010
 
33,920,000
 
33,917,046
 
 
0.109% **, 6/1/2010
 
90,000,000
 
89,983,225
 
 
0.208% **, 7/1/2010
 
55,000,000
 
54,970,804
 
 
0.208% **, 8/2/2010
 
240,000,000
 
239,827,800
 
 
0.219% **, 8/25/2010
 
200,000,000
 
199,821,556
 
 
0.269% **, 10/25/2010
 
100,000,000
 
99,844,750
 
 
0.279% **, 11/1/2010
 
47,350,000
 
47,271,189
 
 
0.443% **, 6/1/2010
 
20,000,000
 
19,984,750
 
 
0.546% **, 8/5/2010
 
18,400,000
 
18,364,580
 
 
7.125%, 6/15/2010
 
50,000,000
 
50,675,000
 
 
 
2,659,095,239
 
US Treasury Obligations 0.1%
 
US Treasury Bills:
             
 
0.035% **, 4/1/2010
 
11,022,000
 
11,022,000
 
 
0.05% **, 4/8/2010
 
907,000
 
906,991
 
 
0.1% **, 4/22/2010
 
2,991,000
 
2,990,826
 
 
0.1% **, 5/6/2010
 
4,000,000
 
3,999,611
 
 
0.11% **, 4/22/2010
 
200,000
 
199,987
 
 
0.125% **, 4/29/2010
 
14,500,000
 
14,498,590
 
 
0.145% **, 5/20/2010
 
2,966,000
 
2,965,415
 
 
0.205% **, 6/10/2010
 
2,534,000
 
2,532,990
 
 
0.43% **, 7/29/2010
 
10,000,000
 
9,985,786
 
 
0.49% **, 7/29/2010
 
1,100,000
 
1,098,218
 
 
 
50,200,414
 
 
Total Government & Agency Obligations (Cost $3,445,326,997)
 
3,445,326,997
 
 
 
Short Term Notes * 11.4%
 
ASB Finance Ltd., 144A, 0.358%, 12/3/2010
 
100,000,000
 
100,005,513
 
Bank of America Corp., 0.42%, 8/13/2010
 
240,000,000
 
240,113,708
 
Bank of America NA:
             
 
0.827%, 6/23/2010
 
10,200,000
 
10,212,735
 
 
0.85%, 5/12/2010
 
42,128,000
 
42,155,706
 
Bank of Nova Scotia, 0.255%, 11/23/2010
 
35,700,000
 
35,700,000
 
Barclays Bank PLC, 0.447%, 4/21/2010
 
343,000,000
 
343,000,000
 
Bayerische Landesbank, 0.307%, 4/22/2011
 
40,000,000
 
39,976,675
 
Canadian Imperial Bank of Commerce:
             
 
0.2%, 8/25/2010
 
190,500,000
 
190,500,000
 
 
0.23%, 10/15/2010
 
50,000,000
 
50,000,000
 
 
0.23%, 12/13/2010
 
100,000,000
 
100,000,000
 
 
0.25%, 7/26/2010
 
35,000,000
 
35,000,000
 
Commonwealth Bank of Australia, 144A, 0.381%, 6/24/2010
 
122,500,000
 
122,500,000
 
Credit Agricole SA, 144A, 0.301%, 5/28/2010
 
46,367,000
 
46,372,286
 
General Electric Capital Corp., 0.31%, 4/5/2010
 
1,300,000
 
1,300,000
 
Governor & Co. of the Bank of Ireland:
             
 
0.576%, 4/26/2010
 
130,000,000
 
130,000,000
 
 
0.596%, 4/26/2010
 
75,000,000
 
75,000,000
 
JPMorgan Chase Bank NA, 0.247%, 4/28/2011
 
191,200,000
 
191,200,000
 
Merrill Lynch & Co., Inc., 2.5%, 5/12/2010
 
75,960,000
 
76,157,718
 
National Australia Bank Ltd.:
             
 
144A, 0.276%, 1/27/2011
 
160,000,000
 
160,000,000
 
 
0.351%, 7/12/2010
 
133,000,000
 
133,000,000
 
Natixis:
             
 
0.28%, 6/9/2010
 
188,000,000
 
188,000,000
 
 
0.3%, 5/5/2010
 
150,000,000
 
150,000,000
 
Procter & Gamble International Funding SCA, 0.258%, 5/7/2010
 
100,000,000
 
100,000,000
 
               
Rabobank Nederland NV:
             
 
0.229%, 11/22/2010
 
52,500,000
 
52,500,000
 
 
0.23%, 3/11/2011
 
50,000,000
 
50,000,000
 
 
144A, 0.25%, 3/16/2011
 
75,000,000
 
75,000,000
 
 
144A, 0.252%, 4/7/2011
 
278,000,000
 
278,000,000
 
 
144A, 0.65%, 5/19/2010
 
173,894,000
 
174,001,814
 
Royal Bank of Canada:
             
 
0.23%, 3/10/2011
 
100,000,000
 
100,000,000
 
 
0.23%, 3/14/2011
 
50,000,000
 
50,000,000
 
 
0.247%, 2/24/2011
 
50,000,000
 
50,000,000
 
Societe Generale, 0.501%, 4/19/2010
 
275,000,000
 
275,000,000
 
Toronto-Dominion Bank, 0.228%, 2/4/2011
 
208,000,000
 
208,000,000
 
Wachovia Bank NA, 0.311%, 5/25/2010
 
2,000,000
 
2,000,239
 
Westpac Banking Corp.:
             
 
0.24%, 4/15/2010
 
125,000,000
 
125,000,000
 
 
0.27%, 1/10/2011
 
130,000,000
 
130,000,000
 
 
144A, 0.285%, 12/13/2010
 
100,000,000
 
100,000,000
 
 
0.304%, 7/6/2010
 
119,350,000
 
119,350,000
 
 
144A, 0.385%, 7/2/2010
 
50,000,000
 
50,000,000
 
 
Total Short Term Notes (Cost $4,399,046,394)
 
4,399,046,394
 
 
 
Supranational 0.4%
 
Inter-American Development Bank, 0.34% **, 8/16/2010
 
148,000,000
 
147,808,505
 
International Bank for Reconstruction & Development, 0.17% **, 5/7/2010
 
2,321,000
 
2,320,605
 
 
Total Supranational (Cost $150,129,110)
 
150,129,110
 
 
 
Time Deposits 17.2%
 
Bank of Nova Scotia, 0.16%, 4/7/2010
 
640,000,000
 
640,000,000
 
Bank of Tokyo-Mitsubishi UFJ Ltd., 0.06%, 4/1/2010
 
355,047,281
 
355,047,281
 
BNP Paribas, 0.05%, 4/1/2010
 
500,000,000
 
500,000,000
 
Caixa Geral de Depositos SA, 0.14%, 4/7/2010
 
250,000,000
 
250,000,000
 
Calyon, 0.09%, 4/1/2010
 
134,857,873
 
134,857,873
 
Canadian Imperial Bank of Commerce, 0.12%, 4/6/2010
 
400,000,000
 
400,000,000
 
Citibank NA:
             
 
0.08%, 4/1/2010
 
4,308,411
 
4,308,411
 
 
0.18%, 4/7/2010
 
500,000,000
 
500,000,000
 
Governor & Co. of the Bank of Ireland, 0.25%, 4/7/2010
 
325,000,000
 
325,000,000
 
JPMorgan Chase Bank NA:
             
 
0.01%, 4/1/2010
 
548,000,000
 
548,000,000
 
 
0.062%, 4/1/2010
 
800,000,000
 
800,000,000
 
KBC Bank NV:
             
 
0.04%, 4/1/2010
 
432,000,000
 
432,000,000
 
 
0.14%, 4/5/2010
 
600,000,000
 
600,000,000
 
Lloyds TSB Bank PLC, 0.12%, 4/7/2010
 
400,000,000
 
400,000,000
 
National Bank of Canada, 0.062%, 4/1/2010
 
400,000,000
 
400,000,000
 
Nordea Bank Finland PLC, 0.16%, 4/6/2010
 
355,000,000
 
355,000,000
 
 
Total Time Deposits (Cost $6,644,213,565)
 
6,644,213,565
 
 
 
Municipal Bonds and Notes 6.6%
 
Alaska, State Housing Finance Corp., Capital Project, Series C, 0.3% ***, 7/1/2022
 
24,295,000
 
24,295,000
 
Blount County, TN, Public Building Authority, Local Government Public Improvement:
             
 
Series C-3-A, 0.28% ***, 6/1/2029
 
10,000,000
 
10,000,000
 
 
Series E-5-A, 0.32% ***, 6/1/2030, Branch Banking & Trust (b)
 
40,000,000
 
40,000,000
 
Burke County, GA, Development Authority, Pollution Control Revenue, Georgia Power Co. Vogtle Project, Series 1, 0.28% ***, 7/1/2049
 
37,335,000
 
37,335,000
 
California, Housing Finance Agency Revenue, Home Mortgage:
             
 
Series K, AMT, 0.3% ***, 8/1/2037
 
25,000,000
 
25,000,000
 
 
Series D, AMT, 0.3% ***, 2/1/2043
 
15,685,000
 
15,685,000
 
California, Infrastructure & Economic Development Bank Revenue, Jewish Community Center, Series A, 0.28% ***, 12/1/2031, Bank of America NA (b)
 
12,300,000
 
12,300,000
 
California, State Department of Water Resources, Power Supply Revenue, Series I-2,        0.27% ***, 5/1/2022, Landesbank Hessen-Thuringen (b)
 
5,200,000
 
5,200,000
 
California, Regents of the University of California, 0.22%, 4/13/2010
 
39,737,000
 
39,734,086
 
Clark County, NV, Industrial Development Revenue, Southwest Gas Corp., Series A,        0.27% ***, 12/1/2039, JPMorgan Chase Bank (b)
 
12,000,000
 
12,000,000
 
Colorado, Educational & Cultural Facilities Authority Revenue, Linfield Christian School Project, 0.27% ***, 5/1/2030, Evangelical Christian Credit Union (b)
 
16,200,000
 
16,200,000
 
Colorado, Health Facilities Authority Revenue, Bethesda Adult Communities, Series A,        0.27% ***, 8/15/2034, LaSalle Bank NA (b)
 
10,000,000
 
10,000,000
 
Colorado, Health Facilities Authority Revenue, Fraiser Meadows Community Project,       0.27% ***, 6/1/2038, JPMorgan Chase Bank (b)
 
14,000,000
 
14,000,000
 
Colorado, Housing & Finance Authority, Series I-A1, 144A, 0.25% ***, 10/1/2036
 
42,505,000
 
42,505,000
 
Colorado, Housing & Finance Authority, Single Family Program, Series I-A1, 0.29% ***, 11/1/2034
 
16,700,000
 
16,700,000
 
Colorado, Housing Finance Authority, Single Family Mortgage Revenue:
             
 
"I", Series B1, 0.22% ***, 5/1/2038
 
48,500,000
 
48,500,000
 
 
"I", Series A-2, 0.25% ***, 5/1/2038
 
27,900,000
 
27,900,000
 
District of Columbia, Anacostia Waterfront Corp., Pilot Revenue, Series F02, 144A, 0.29% ***, 9/30/2022
 
99,000,000
 
99,000,000
 
Florida, Jacksonville Electric Authority, Electric Systems Revenue:
             
 
Series 200F, 0.25%, 6/3/2010
 
33,200,000
 
33,200,000
 
 
Series 2000B, 0.25%, 6/10/2010
 
43,800,000
 
43,800,000
 
 
Series 3D-2-B, 0.29% ***, 10/1/2037
 
37,160,000
 
37,160,000
 
Florida, Sunshine State Governmental Financing Commission, 0.37%, 4/1/2010
 
25,000,000
 
25,000,000
 
Georgia, Private Colleges & Universities Authority Revenue, Emory University, Series C1, 0.27% ***, 9/1/2036
 
17,300,000
 
17,300,000
 
Glen Cove, NY, Housing Authority Revenue, Series 57G, 144A, AMT, 0.33% ***, 10/1/2026
 
12,850,000
 
12,850,000
 
Harris County, TX, Health Facilities Development Corp., Hospital Revenue, Baylor College of Medicine, Series B, 0.28% ***, 11/15/2047, Northern Trust Co. (b)
 
10,000,000
 
10,000,000
 
Hillsborough County, FL, School Board, Certificates of Participation, Master Lease Program, Series A, 0.3% ***, 7/1/2023, Wells Fargo Bank NA (b) (c)
 
10,000,000
 
10,000,000
 
Idaho, Health Facilities Authority Revenue, St. Luke's Health Systems Project, Series A,     0.3% ***, 11/1/2043, Wells Fargo Bank NA (b)
 
10,000,000
 
10,000,000
 
Illinois, Development Finance Authority Revenue, Chicago Symphony Project, 0.27% ***, 12/1/2033, Bank One NA (b)
 
11,000,000
 
11,000,000
 
Illinois, Finance Authority Revenue, Carle Foundation, Series D, 0.3% ***, 2/15/2033, JPMorgan Chase Bank (b)
 
29,375,000
 
29,375,000
 
Illinois, Finance Authority Revenue, Rehabilitation Institute of Chicago:
             
 
Series B, 0.3% ***, 4/1/2032, JPMorgan Chase Bank (b)
 
17,600,000
 
17,600,000
 
 
Series A, 0.3% ***, 4/1/2039, JPMorgan Chase Bank (b)
 
8,565,000
 
8,565,000
 
Illinois, Finance Authority, Pollution Control Revenue, Commonwealth Edison Co., Series F, 144A, 0.28% ***, 3/1/2017, JPMorgan Chase Bank (b)
 
10,100,000
 
10,100,000
 
Illinois, Northwestern University:
             
 
0.21%, 6/15/2010
 
34,000,000
 
33,985,125
 
 
0.23%, 6/3/2010
 
30,000,000
 
29,987,925
 
Iowa, Finance Authority, Multi-Family Revenue, Windsor on the River LLC, Series A, AMT, 0.34% ***, 5/1/2042, Wells Fargo Bank NA (b)
 
17,000,000
 
17,000,000
 
Kansas, State Department of Transportation Highway Revenue:
             
 
Series A-2, 0.24% ***, 9/1/2014
 
19,300,000
 
19,300,000
 
 
Series C-3, 0.25% ***, 9/1/2024
 
18,675,000
 
18,675,000
 
Maine, State Housing Authority, Mortgage Purchase Revenue, Series D, AMT, 0.34% ***, 11/15/2042
 
10,000,000
 
10,000,000
 
Massachusetts, Bay Transportation Authority, General Transportation Systems, 0.3% ***, 3/1/2030
 
15,400,000
 
15,400,000
 
Massachusetts, State Development Finance Agency Revenue, College of the Holy Cross, Series A, 0.3% ***, 9/1/2037, Bank of America NA (b)
 
24,000,000
 
24,000,000
 
Massachusetts, State Development Finance Agency Revenue, Wentworth Institute of Technology, 0.29% ***, 10/1/2030, RBS Citizens NA (b)
 
28,285,000
 
28,285,000
 
Massachusetts, State General Obligation, Series A, 0.3% ***, 9/1/2016
 
33,200,000
 
33,200,000
 
Massachusetts, State Health & Educational Facilities Authority Revenue, Amherst College, Series J-1, 0.28% ***, 11/1/2035
 
23,895,000
 
23,895,000
 
Massachusetts, State Health & Educational Facilities Authority Revenue, Boston University, Series N, 0.3% ***, 10/1/2034, Bank of America NA (b)
 
13,600,000
 
13,600,000
 
Michigan, State University Revenues:
             
 
Series 2000-A, 0.25% ***, 8/15/2030
 
26,430,000
 
26,430,000
 
 
Series A, 0.25% ***, 8/15/2030
 
30,420,000
 
30,420,000
 
 
Series A, 0.28% ***, 4/1/2038
 
12,000,000
 
12,000,000
 
Minnesota, State Housing Finance Agency, Residential Housing, Series J, AMT, 0.3% ***, 7/1/2033
 
7,500,000
 
7,500,000
 
Mississippi, Business Finance Corp., Gulf Opportunity Zone, Chevron USA, Inc. Project:
             
 
Series A, 0.26% ***, 12/1/2030
 
76,100,000
 
76,100,000
 
 
Series C, 0.26% ***, 12/1/2030
 
28,000,000
 
28,000,000
 
Missouri, State Health & Educational Facilities Authority Revenue, Lutheran Senior Services Project, 0.27% ***, 2/1/2039, US Bank NA (b)
 
9,000,000
 
9,000,000
 
Montgomery County, TN, Public Building Authority, Pooled Financing Revenue, Tennessee County Loan Pool, 0.31% ***, 7/1/2038, Bank of America NA (b)
 
4,865,000
 
4,865,000
 
Nashville & Davidson County, TN, Metropolitan Government, Health & Educational Facilities Board Revenue, Vanderbilt University, Series A, 0.28% ***, 10/1/2030
 
24,850,000
 
24,850,000
 
Nassau County, NY, Industrial Development Agency Revenue, Series 75G, 144A, AMT,  0.33% ***, 12/1/2033
 
15,495,000
 
15,495,000
 
New Hampshire, Health & Education Facilities Authority Revenue, Phillips Exeter Academy, 0.29% ***, 9/1/2042
 
20,000,000
 
20,000,000
 
New Hampshire, Health & Education Facilities Authority Revenue, RiverWoods Co. at Exeter, 0.27% ***, 3/1/2038, Bank of America NA (b)
 
29,000,000
 
29,000,000
 
New Jersey, State Transportation Trust Fund Authority, Transportation Systems, Series D, 0.29% ***, 6/15/2032, Sumitomo Mitsui Banking (b)
 
23,000,000
 
23,000,000
 
New York, Metropolitan Transportation Authority Revenue, Series E-2, 0.25% ***, 11/1/2035, Fortis Bank SA (b)
 
14,385,000
 
14,385,000
 
New York, State Dormitory Authority Revenues, Non-State Supported Debt, St. John's University, Series B-1, 0.29% ***, 7/1/2034, Bank of America NA (b)
 
28,500,000
 
28,500,000
 
New York, State Dormitory Authority Revenues, State Supported Debt, City University of New York, Series C, 0.31% ***, 7/1/2031, Bank of America NA (b)
 
29,900,000
 
29,900,000
 
New York, State Energy Research & Development Authority, Pollution Control Revenue, NY State Electric & Gas, Series C, 0.25% ***, 6/1/2029, Wells Fargo Bank NA (b)
 
13,200,000
 
13,200,000
 
New York, State Housing Finance Agency Revenue, 100 Maiden Lane Properties, Series A, 0.24% ***, 5/15/2037
 
42,660,000
 
42,660,000
 
New York, State Housing Finance Agency Revenue, 316 Eleventh Avenue Housing, Series A, AMT, 0.27% ***, 5/15/2041
 
47,800,000
 
47,800,000
 
New York, State Housing Finance Agency Revenue, 320 West 38th Street, Series B, 0.3% ***, 5/1/2042, Wachovia Bank NA (b)
 
5,000,000
 
5,000,000
 
New York, State Local Government Assistance Corp., Series B-3V, 0.27% ***, 4/1/2024
 
32,025,000
 
32,025,000
 
New York, State Mortgage Agency, Homeowner Mortgage Revenue, Series 142, AMT,    0.33% ***, 10/1/2037
 
14,200,000
 
14,200,000
 
New York, Wells Fargo Stage Trust, Series 2009-75C, 144A, 0.27% ***, 5/1/2031
 
20,505,000
 
20,505,000
 
New York City, NY, Housing Development Corp., Multi-Family Rent Housing Revenue, 155 West 21st Street Development, Series A, AMT, 0.25% ***, 11/15/2037
 
7,300,000
 
7,300,000
 
New York City, NY, Housing Development Corp., Residential Revenue, Queens College, Series A, 0.27% ***, 6/1/2043, RBS Citizens NA (b)
 
13,000,000
 
13,000,000
 
New York City, NY, Municipal Water Finance Authority, Water & Sewer Systems Revenue, Series C, 0.31% ***, 6/15/2033
 
17,600,000
 
17,600,000
 
New York, NY, General Obligation:
             
 
Series A-5, 0.26% ***, 8/1/2031, Bank of Nova Scotia (b)
 
14,320,000
 
14,320,000
 
 
Series H-2, 0.26% ***, 3/1/2034, Bank of New York (b)
 
21,095,000
 
21,095,000
 
 
Series G-4, 0.28% ***, 3/1/2039
 
65,000,000
 
65,000,000
 
 
Series J12, 0.38% ***, 8/1/2029
 
32,770,000
 
32,770,000
 
Norfolk, VA, General Obligation, 0.27% ***, 8/1/2037
 
11,640,000
 
11,640,000
 
North Carolina, Capital Facilities Finance Agency, Exempt Facilities Revenue, Republic Services, Inc., 0.31% ***, 9/1/2025, Bank of America NA (b)
 
5,000,000
 
5,000,000
 
North Texas, Higher Education Authority, Inc., Student Loan Revenue, Series A, AMT,    0.28% ***, 12/1/2038, Lloyds TSB Bank PLC (b)
 
8,600,000
 
8,600,000
 
North Texas, Tollway Authority Revenue, Series D, 0.27% ***, 1/1/2049, JPMorgan Chase Bank (b)
 
27,000,000
 
27,000,000
 
Ohio, Housing Finance Agency, Mortgage Revenue, Residential Mortgage Backed, Series D, AMT, 0.3% ***, 9/1/2036
 
45,000,000
 
45,000,000
 
Ohio, State Higher Educational Facility Commission Revenue, University Hospitals Health System, Inc., Series C, 0.25% ***, 1/15/2035, Wells Fargo Bank NA (b)
 
33,125,000
 
33,125,000
 
Ohio, State Hospital Facility, Series 3591, 144A, 0.3% ***, 1/1/2017
 
15,000,000
 
15,000,000
 
Oklahoma, State Turnpike Authority Revenue, Series C, 0.26% ***, 1/1/2028
 
16,860,000
 
16,860,000
 
Orange County, FL, Health Facilities Authority Revenue, Adventist Health Sunbelt, 0.28% ***, 11/15/2026, Wells Fargo Bank NA (b)
 
8,550,000
 
8,550,000
 
Oregon, State Veterans Welfare:
             
 
Series 88B, 0.29% ***, 12/1/2041
 
5,700,000
 
5,700,000
 
 
Series B, 0.3% ***, 12/1/2045
 
7,600,000
 
7,600,000
 
Philadelphia, PA, Airport Revenue, Series C, AMT, 0.27% ***, 6/15/2025, TD Bank NA (b)
 
19,485,000
 
19,485,000
 
Pinellas County, FL, Health Facilities Authority Revenue, Baycare Health Systems, Series A2, 0.29% ***, 11/1/2038, Northern Trust Co. (b)
 
9,750,000
 
9,750,000
 
Port of Tacoma, WA, AMT, 0.32% ***, 12/1/2036, Banco Bilbao Vizcaya (b)
 
99,400,000
 
99,400,000
 
Rhode Island, Health & Educational Building Corp., Higher Education Facility Revenue, Rhode Island School of Design, Series B, 0.25% ***, 8/15/2036, Bank of America NA (b)
 
14,100,000
 
14,100,000
 
Riverside County, CA, Certificates of Participation, Public Safety, Communication & Woodcrest Library, 0.3% ***, 11/1/2039, Bank of America NA (b)
 
5,000,000
 
5,000,000
 
Salem, OH, Hospital Revenue, Salem Community Hospital, 0.3% ***, 9/1/2035, JPMorgan Chase Bank (b)
 
8,130,000
 
8,130,000
 
San Francisco, CA, Bay Area Toll Authority, Toll Bridge Revenue, Series D-1, 0.27% ***, 4/1/2045
 
40,000,000
 
40,000,000
 
San Francisco, CA, City & County Airports Commission, International Airport Revenue, Series A-3, AMT, 0.3% ***, 5/1/2030, JPMorgan Chase Bank (b)
 
13,000,000
 
13,000,000
 
Sarasota County, FL, Public Hospital District Revenue, Sarasota Memorial Hospital, Series B, 0.27% ***, 7/1/2037, Bank of America NA (b)
 
20,000,000
 
20,000,000
 
Southern California, Metropolitan Water District, Waterworks Revenue, Series B, 0.27% ***, 7/1/2028
 
7,000,000
 
7,000,000
 
St. Paul, MN, Housing & Redevelopment Authority, Health Care Revenue, Allina Health Systems, Series C, 0.23% ***, 11/15/2035, Wells Fargo Bank NA (b)
 
21,000,000
 
21,000,000
 
Tarrant County, TX, Cultural Education Facilities Finance Corp., Retirement Facilities, Northwest Senior Edgemere Project, Series B, 144A, 0.27% ***, 11/15/2036, LaSalle Bank NA (b)
 
9,505,000
 
9,505,000
 
Texas, Alliance Airport Authority, Inc., Special Facilities Revenue, Series 2088, 144A, AMT, 0.29% ***, 4/1/2021
 
24,570,000
 
24,570,000
 
Texas, State Taxable Public Finance Authority, 0.28%, 5/13/2010
 
8,400,000
 
8,400,000
 
Texas, State Veterans Housing Assistance Fund II, Series C, 0.25% ***, 6/1/2031
 
11,700,000
 
11,700,000
 
Texas, University of Houston Revenues, Consolidated Systems, 0.26% ***, 2/15/2024
 
7,605,000
 
7,605,000
 
Travis County, TX, Health Facilities Development Corp., Retirement Facilities Revenue, Longhorn Village Project, Series B, 0.29% ***, 7/1/2037, Bank of Scotland (b)
 
38,940,000
 
38,940,000
 
University of Chicago, 0.219%, 4/8/2010
 
21,500,000
 
21,499,080
 
University of Houston, 0.22%, 4/29/2010
 
17,268,000
 
17,268,000
 
University of Texas, Financing Systems Revenues, Series B, 0.22% ***, 8/1/2039
 
61,600,000
 
61,600,000
 
Utah, Water Finance Agency Revenue, Series B-3, 0.29% ***, 7/1/2036
 
41,800,000
 
41,800,000
 
Vermont, Educational & Health Buildings, Financing Agency Revenue, Norwich University Project, 0.26% ***, 9/1/2038, TD Bank NA (b)
 
17,500,000
 
17,500,000
 
Washington, State Higher Education Facilities Authority Revenue, Seattle University Project, Series A, 0.29% ***, 5/1/2028, US Bank NA (b)
 
8,905,000
 
8,905,000
 
Washington, Wells Fargo Stage Trust, Series 21C, 144A, 0.27% ***, 12/1/2037
 
10,390,000
 
10,390,000
 
West Virginia, State Hospital Finance Authority Revenue, Cabell Huntington Hospital, Series A, 0.27% ***, 1/1/2034, Branch Banking & Trust (b)
 
13,480,000
 
13,480,000
 
Wisconsin, Housing & Economic Development Authority Revenue, Series A, 0.34% ***, 5/1/2042
 
14,045,000
 
14,045,000
 
Wisconsin, Housing & Economic Development Authority, Home Ownership Revenue, Series B, 0.22% ***, 3/1/2033 (b)
 
15,975,000
 
15,975,000
 
Wisconsin, State Health & Educational Facilities Authority Revenue, Aspirus Wausau Hospital, 0.29% ***, 8/15/2036, JPMorgan Chase Bank (b)
 
14,985,000
 
14,985,000
 
 
Total Municipal Bonds and Notes (Cost $2,544,659,216)
 
2,544,659,216
 
 
 
Repurchase Agreements 2.0%
 
Banc of America Securities LLC, 0.02%, dated 3/31/2010, to be repurchased at $124,675,157 on 4/1/2010 (d)
 
124,675,088
 
124,675,088
 
BNP Paribas, 0.005%, dated 3/31/2010, to be repurchased at $164,762,674 on 4/1/2010 (e)
 
164,762,651
 
164,762,651
 
The Goldman Sachs & Co., 0.12%, dated 3/30/2010, to be repurchased at $500,013,333 on 4/7/2010 (f)
 
500,000,000
 
500,000,000
 
 
Total Repurchase Agreements (Cost $789,437,739)
 
789,437,739
 

 
% of
Net Assets
 
Value ($)
 
 
Total Investment Portfolio (Cost $38,650,467,995) †
100.0
 
38,650,467,995
 
Other Assets and Liabilities, Net
(0.0)
 
(18,174,334)
 
 
Net Assets
100.0
 
38,632,293,661
 

For information on the Portfolio's policies regarding the valuation of investments and other significant accounting policies, please refer to the Portfolio's most recent semi-annual or annual financial statements.
*
Floating rate notes are securities whose yields vary with a designated market index or market rate, such as the coupon-equivalent of the US Treasury bill rate.  These securities are shown at their current rate as of March 31, 2010.
**
Annualized yield at time of purchase; not a coupon rate.
***
Variable rate demand notes are securities whose interest rates are reset periodically at market levels.  These securities are often payable on demand and are shown at their current rates as of March 31, 2010.
The cost for federal income tax purposes was $38,650,467,995.
(a)
Government-backed debt issued by financial companies or government sponsored enterprises.
(b)
Security incorporates a letter of credit from the bank listed.
(c)
Bond is insured by one of these companies:

Insurance Coverage
 
As a % of Total
Investment Portfolio
 
National Public Finance Guarantee Corp.
    0.03  

Many insurers who have traditionally guaranteed payment of municipal issues have been downgraded by the major rating agencies.
 
(d)
Collateralized by:

Principal
Amount ($)
 
Security
 
Rate (%)
 
Maturity Date
 
Collateral
Value ($)
 
  89,263,126  
Federal Home Loan Mortgage Corp.
    4.5  
1/1/2025-3/1/2036
    91,489,828  
  35,266,723  
Federal National Mortgage Association
    3.943  
9/1/2039
    36,567,013  
Total Collateral Value
                  128,056,841  

(e)
Collateralized by $161,157,000 US Treasury Inflation-Indexed Note, 1.875%, maturing on 7/15/2019 with a value of $168,057,908.
(f)
Collateralized by:

Principal
Amount ($)
 
Security
 
Rate (%)
 
Maturity Date
 
Collateral
Value ($)
 
  526,699,188  
Federal National Mortgage Association-Principal Only
 
Zero Coupon
 
11/25/2039
    456,184,701  
  55,588,560  
Government National Mortgage Association
    4.5-5.5  
1/15/2039-11/15/2039
    58,244,278  
Total Collateral Value
                  514,428,979  

144A: Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
AMT: Subject to alternative minimum tax.
FDIC: Federal Deposit Insurance Corp.
Principal Only: Principal Only (PO) bonds represent the “principal only” portion of payments on a pool of underlying mortgages or mortgage-backed securities.
 
 

Fair Value Measurements

Various inputs are used in determining the value of the Portfolio's investments. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, and credit risk). Level 3 includes significant unobservable inputs (including the Portfolio's own assumptions in determining the fair value of investments). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Securities held by a money market fund are reflected as Level 2 because the securities are valued at amortized cost (which approximates fair value) and, accordingly, the inputs used to determine value are not quoted prices in an active market.

The following is a summary of the inputs used as of March 31, 2010 in valuing the Portfolio's investments.

   
Level 1
   
Level 2
   
Level 3
   
Total
 
Assets
                 
Investments in Securities (g)
  $     $ 38,650,467,995     $     $ 38,650,467,995  
Total
  $     $ 38,650,467,995     $     $ 38,650,467,995  

(g)
See Investment Portfolio for additional detailed categorizations.

 


ITEM 2.
CONTROLS AND PROCEDURES
   
 
(a)     The Chief Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on the evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
   
 
(b)     There have been no changes in the registrant’s internal control over financial reporting that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal controls over financial reporting.
   
ITEM 3.
EXHIBITS
   
 
Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.


 

 
SIGNATURES

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

Registrant:
DWS Money Market Series, a series of DWS Money Market Trust
   
By:
/s/Michael G. Clark
Michael G. Clark
President
   
Date:
May 21, 2010


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

Registrant:
DWS Money Market Series, a series of DWS Money Market Trust
   
By:
/s/Michael G. Clark
Michael G. Clark
President
   
Date:
May 21, 2010
   
   
   
By:
/s/Paul Schubert
Paul Schubert
Chief Financial Officer and Treasurer
   
Date:
May 21, 2010


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