-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, BbWnOrh+e3pfaOzADVLHOSIMyzkIoK6NNxUkGd3tf4VB70FYdakRQFQbPdELn81D wSxRrq3FRCLYfUcRFkKaZQ== 0000935069-08-002711.txt : 20081124 0000935069-08-002711.hdr.sgml : 20081124 20081121195512 ACCESSION NUMBER: 0000935069-08-002711 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20080930 FILED AS OF DATE: 20081124 DATE AS OF CHANGE: 20081121 EFFECTIVENESS DATE: 20081124 FILER: COMPANY DATA: COMPANY CONFORMED NAME: CENTENNIAL MONEY MARKET TRUST CENTRAL INDEX KEY: 0000312538 IRS NUMBER: 840856138 STATE OF INCORPORATION: MA FISCAL YEAR END: 0630 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-02945 FILM NUMBER: 081208925 BUSINESS ADDRESS: STREET 1: 6803 SOUTH TUCSON WAY CITY: CENTENNIAL STATE: CO ZIP: 80112-3924 BUSINESS PHONE: 303-768-3200 MAIL ADDRESS: STREET 1: 6803 SOUTH TUCSON WAY CITY: CENTENNIAL STATE: CO ZIP: 80112-3924 FORMER COMPANY: FORMER CONFORMED NAME: DAILY CASH INSTITUTIONAL TRUST DATE OF NAME CHANGE: 19810624 0000312538 S000011011 CENTENNIAL MONEY MARKET TRUST C000030406 A N-Q 1 rq150_50211nq.txt RQ150_50211NQ UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM N-Q QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY Investment Company Act file number 811-02945 --------- Centennial Money Market Trust ----------------------------- (Exact name of registrant as specified in charter) 6803 South Tucson Way, Centennial, Colorado 80112-3924 ------------------------------------------------------ (Address of principal executive offices) (Zip code) Robert G. Zack, Esq. OppenheimerFunds, Inc. Two World Financial Center, New York, New York 10281-1008 --------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: (303) 768-3200 -------------- Date of fiscal year end: June 30 ------- Date of reporting period: 09/30/2008 ---------- ITEM 1. SCHEDULE OF INVESTMENTS. Centennial Money Market Trust STATEMENT OF INVESTMENTS September 30, 2008 / Unaudited
Principal Amount Value ------------ -------------- CERTIFICATES OF DEPOSIT--5.5% Bank of the West, 2.82%, 11/13/08 $ 4,300,000 $ 4,300,000 Governor & Co. of the Bank of Ireland, Stamford, CT: 2.82%, 10/9/08 5,000,000 5,000,000 2.845%, 11/20/08 95,000,000 95,000,655 -------------- Total Certificates of Deposit (Cost $104,300,655) 104,300,655 -------------- DIRECT BANK OBLIGATIONS--23.1% Danske Corp.: 2.46%, 10/23/08(1) 11,900,000 11,882,110 4.20%, 10/22/08(1) 11,500,000 11,471,825 5.50%, 10/30/08(1) 73,000,000 72,676,569 Dexia Delaware LLC, 2.45%, 10/15/08 13,725,000 13,711,923 DnB NOR Bank ASA: 2.80%, 11/3/08 45,100,000 44,984,243 3.10%, 10/14/08 45,000,000 44,949,625 Fortis Funding LLC, 2.70%, 11/10/08(1) 31,200,000 31,106,400 ING (US) Funding LLC, 4.50%, 11/25/08 24,760,000 24,589,775 Lloyds TSB Bank plc, 3.99%, 10/1/08 85,000,000 85,000,000 Nordea North America, Inc., 3.75%, 10/14/08 2,400,000 2,397,227 Societe Generale North America, Inc.: 4.50%, 10/7/08 4,000,000 3,997,000 5%, 10/16/08 44,000,000 43,908,333 Statshypotek Delaware, Inc., 2.75%, 11/12/08(1) 50,000,000 49,839,583 -------------- Total Direct Bank Obligations (Cost $440,514,613) 440,514,613 -------------- SHORT-TERM NOTES--71.6% ASSET-BACKED SECURITIES--24.2% Barton Capital Corp., 5%, 10/7/08(1) 29,750,000 29,725,208 FCAR Owner Trust II: 3.01%, 10/3/08 3,500,000 3,499,415 6.05%, 10/21/08 25,000,000 24,915,972 6.05%, 10/23/08 67,000,000 66,752,286 Gemini Securitization Corp.: 2.62%, 10/20/08(1) 30,000,000 29,958,517 4.40%, 10/9/08(1) 50,000,000 49,951,111 Legacy Capital LLC, 3.05%, 11/18/08 42,200,000 42,028,387 Ranger Funding Co. LLC, 3.50%, 10/14/08(2) 7,700,000 7,688,878 Sheffield Receivables Corp., 5%, 10/2/08(1) 90,000,000 89,987,500 Windmill Funding Corp., 2.64%, 10/6/08(1) 89,000,000 88,967,367 Yorktown Capital LLC, 4.05%, 10/10/08(1) 28,083,000 28,054,566 -------------- 461,529,207 -------------- CAPITAL MARKETS--8.9% Banc of America Securities LLC, 7.15%, 10/1/08(3) 70,000,000 70,000,000 BNP Paribas Finance, Inc., 2.51%, 10/3/08 100,000,000 99,986,056 -------------- 169,986,056 -------------- COMMERCIAL BANKS--0.3% PNC Bank NA, 3.65%, 10/7/08 5,500,000 5,496,654
1 | Centennial Money Market Trust Centennial Money Market Trust STATEMENT OF INVESTMENTS September 30, 2008 / Unaudited
Principal Amount Value ------------ -------------- COMMERCIAL FINANCE--3.7% Caterpillar Financial Services Corp., Series F, 2.931%, 11/26/08(3) $ 70,000,000 $ 70,000,000 CONSUMER FINANCE--1.4% American Express Credit Corp., 2.80%, 11/18/08 27,800,000 27,696,213 DIVERSIFIED FINANCIAL SERVICES--1.2% General Electric Capital Corp., 2.15%, 10/1/08 23,000,000 23,000,000 INSURANCE--5.5% ING America Insurance Holdings, Inc., 5%, 10/1/08 56,000,000 56,000,000 Jackson National Life Global Funding, Series 2004-6, 2.578%, 8/15/09(3, 4) 50,000,000 50,000,000 -------------- 106,000,000 LEASING & FACTORING--21.4% American Honda Finance Corp.: 2.91%, 11/20/08(2, 3) 162,000,000 162,000,000 2.917%, 12/10/08(2, 3) 143,500,000 143,500,000 Toyota Motor Credit Corp.: 2.60%, 12/15/08(1) 100,000,000 99,458,333 2.65%, 1/26/09 2,600,000 2,577,608 -------------- 407,535,941 -------------- PERSONAL PRODUCTS--5.0% Reckitt Benckiser Treasury Services plc, 2.85%, 11/24/08(1) 95,500,000 95,091,738 -------------- Total Short-Term Notes (Cost $1,366,335,809) 1,366,335,809 -------------- Total Investments, at Value (Cost $1,911,151,077) 100.2% 1,911,151,077 Liabilities in Excess of Other Assets (0.2) (3,215,308) ------------ -------------- Net Assets 100.0% $1,907,935,769 ============ ==============
Footnotes to Statement of Investments SHORT-TERM NOTES AND DIRECT BANK OBLIGATIONS ARE GENERALLY TRADED ON A DISCOUNT BASIS; THE INTEREST RATE SHOWN IS THE DISCOUNT RATE RECEIVED BY THE TRUST AT THE TIME OF PURCHASE. OTHER SECURITIES NORMALLY BEAR INTEREST AT THE RATES SHOWN. (1.) Security issued in an exempt transaction without registration under the Securities Act of 1933. Such securities amount to $688,170,827, or 36.07% of the Trust's net assets, and have been determined to be liquid pursuant to guidelines adopted by the Board of Trustees. (2.) Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $313,188,878 or 16.42% of the Trust's net assets as of September 30, 2008. (3.) Represents the current interest rate for a variable or increasing rate security. (4.) Illiquid security. The aggregate value of illiquid securities as of September 30, 2008 was $50,000,000, which represents 2.62% of the Trust's net assets. See accompanying Notes. 2 | Centennial Money Market Trust Centennial Money Market Trust STATEMENT OF INVESTMENTS September 30, 2008 / Unaudited VALUATION INPUTS Various data inputs are used in determining the value of each of the Trust's investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards: 1) Level 1-quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) 2) Level 2-inputs other than quoted prices that are observable for the asset (such as quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) 3) Level 3-unobservable inputs (including the Manager's own judgments about assumptions that market participants would use in pricing the asset). The market value of the Trust's investments was determined based on the following inputs as of September 30, 2008:
INVESTMENTS OTHER FINANCIAL VALUATION DESCRIPTION IN SECURITIES INSTRUMENTS* - -------------------------------------------- --------------- --------------- Level 1--Quoted Prices $ -- $ -- Level 2--Other Significant Observable Inputs 1,911,151,077 -- Level 3--Significant Unobservable Inputs -- -- --------------- --------------- TOTAL $ 1,911,151,077 $ -- =============== ===============
* Other financial instruments include options written, currency contracts, futures, forwards and swap contracts. Currency contracts and forwards are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract's value from trade date. Futures are reported at their variation margin at measurement date, which represents the amount due to/from the Trust at that date. Options and swaps are reported at their market value at measurement date. SEE THE ACCOMPANYING NOTES FOR FURTHER DISCUSSION OF THE METHODS USED IN DETERMINING VALUE OF THE TRUST'S INVESTMENTS, AND A SUMMARY OF CHANGES TO THE VALUATION TECHNIQUES, IF ANY, DURING THE REPORTING PERIOD. NOTES TO STATEMENT OF INVESTMENTS SECURITIES VALUATION. The net asset value of shares of the Trust is normally determined twice each day, at Noon Eastern time and at 4:00 P.M. Eastern time on each day the New York Stock Exchange (the "Exchange") is open for trading. Securities are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. If amortized cost is determined not to approximate market value, the fair value of the portfolio securities will be determined under procedures approved by the Trust's Board of Trustees. Effective for fiscal periods beginning after November 15, 2007, FASB Statement of Financial Accounting Standards No. 157, FAIR VALUE MEASUREMENTS, establishes a hierarchy for measuring fair value of assets and liabilities. As required by the standard, each investment asset or liability of the Trust is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Quoted prices in active markets for identical securities are classified as "Level 1", inputs other than quoted prices for an asset that are observable are classified as "Level 2" and unobservable inputs, including the Manager's judgment about the assumptions that a market participant would use in pricing an asset or liability are classified as "Level 3". The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. A table summarizing the Trust's investments under these levels of classification is included following the Statement of Investments. "Money market-type" instruments are typically designated as Level 2. In the absence of a readily available quoted market price, including for securities whose values have been materially affected by what the Manager identifies as a significant event occurring before the Trust's assets are valued but after the close of the securities' respective exchanges, the Manager, acting through its internal valuation committee, in good faith determines the fair valuation of that 3 | Centennial Money Market Trust Centennial Money Market Trust STATEMENT OF INVESTMENTS September 30, 2008 / Unaudited asset using consistently applied procedures under the supervision of the Board of Trustees (which reviews those fair valuations by the Manager). Those procedures include certain standardized methodologies to fair value securities. Such methodologies include, but are not limited to, pricing securities initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be adjusted for any discounts related to resale restrictions. When possible, such methodologies use observable market inputs such as quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. Fair valued securities may be classified as "Level 3" if the valuation primarily reflects the Manager's own assumptions about the inputs that market participants would use in valuing such securities. There have been no significant changes to the fair valuation methodologies during the period. ILLIQUID SECURITIES As of September 30, 2008, investments in securities included issues that are illiquid. Investments may be illiquid because they do not have an active trading market, making it difficult to value them or dispose of them promptly at an acceptable price. The Trust will not invest more than 10% of its net assets (determined at the time of purchase and reviewed periodically) in illiquid securities. Securities that are illiquid are marked with an applicable footnote on the Statement of Investments. RECENT ACCOUNTING PRONOUNCEMENT In March 2008, the Financial Accounting Standards Board ("FASB") issued Statement on Financial Accounting Standards ("SFAS") No. 161, DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES. This standard requires enhanced disclosures about derivative and hedging activities, including qualitative disclosures about how and why the Trust uses derivative instruments, how these activities are accounted for, and their effect on the Trust's financial position, financial performance and cash flows. SFAS No. 161 is effective for financial statements issued for fiscal years and interim periods beginning after November 15, 2008. At this time, management is evaluating the implications of SFAS No. 161 and its impact on the Trust's financial statements and related disclosures. 4 | Centennial Money Market Trust ITEM 2. CONTROLS AND PROCEDURES. (a) Based on their evaluation of the registrant's disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c)) as of 09/30/2008, the registrant's principal executive officer and principal financial officer found the registrant's disclosure controls and procedures to provide reasonable assurances that information required to be disclosed by the registrant in the reports that it files under the Securities Exchange Act of 1934 (a) is accumulated and communicated to the registrant's management, including its principal executive officer and principal financial officer, to allow timely decisions regarding required disclosure, and (b) is recorded, processed, summarized and reported, within the time periods specified in the rules and forms adopted by the U.S. Securities and Exchange Commission. (b) There have been no significant changes in the registrant's internal controls 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 control over financial reporting. ITEM 3. EXHIBITS. Exhibits attached hereto. 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. Centennial Money Market Trust By: /s/ John V. Murphy --------------------------------- John V. Murphy Principal Executive Officer Date: 11/11/2008 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By: /s/ John V. Murphy --------------------------------- John V. Murphy Principal Executive Officer Date: 11/11/2008 By: /s/ Brian W. Wixted --------------------------------- Brian W. Wixted Principal Financial Officer Date: 11/11/2008 EX-99.CERT 2 rq150_50211cert302.txt RQ150_50211CERT302 Exhibit 99.CERT Section 302 Certifications CERTIFICATIONS I, John V. Murphy, certify that: 1. I have reviewed this report on Form N-Q of Centennial Money Market Trust; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of Trustees (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. /s/ John V. Murphy - ------------------------------------- John V. Murphy Principal Executive Officer Date: 11/11/2008 Exhibit 99.CERT Section 302 Certifications CERTIFICATIONS I, Brian W. Wixted, certify that: 1. I have reviewed this report on Form N-Q of Centennial Money Market Trust; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of Trustees (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. /s/ Brian W. Wixted - ------------------------------------- Brian W. Wixted Principal Financial Officer Date: 11/11/2008 -----END PRIVACY-ENHANCED MESSAGE-----