As filed with the Securities and Exchange Commission on October 20, 2000.
Investment Company Act File No. 811-_____
================================================================================
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-2
(Check Appropriate Box or Boxes)
REGISTRATION STATEMENT
UNDER
THE INVESTMENT COMPANY ACT OF 1940 [X]
Amendment No. __ [ ]
GOVERNMENT SECURITIES DELAWARE, LLC
(Exact Name of Registrant as Specified in Charter)
800 Scudders Mill Road
Plainsboro, New Jersey 08536
(Address of Principal Executive Offices)
Registrant's Telephone Number, including Area Code: (609) 282-2800
Terry K. Glenn
Government Securities Delaware, LLC
800 Scudders Mill Road
Plainsboro, New Jersey 08536
Mailing Address: P.O. Box 9011
Princeton, New Jersey 08543-9011
(Name and Address of Agent for Service)
================================================================================
<PAGE>
EXPLANATORY NOTE
This Registration Statement has been filed by the Registrant pursuant
to Section 8(b) of the Investment Company Act of 1940, as amended. Securities of
the Registrant are not being registered under the Securities Act of 1933, as
amended (the "1933 Act"), since such securities will be offered and sold solely
in transactions that are exempt from the registration requirements of the 1933
Act. This Registration Statement does not constitute an offer to sell, or the
solicitation of an offer to buy, any securities of the Registrant.
<PAGE>
PART A: INFORMATION REQUIRED IN A PROSPECTUS
Items 1 - 7.
Not Applicable.
Item 8. General Description of the Registrant
General
Government Securities Delaware, LLC (the "Company") was formed in the
State of Delaware on August 8, 2000. The Company became subject to registration
under the Investment Company Act of 1940, as amended (the "1940 Act"), as a
result of the placement of its limited liability company interests ("Units") to
more than 100 investors.
The Company is a non-diversified closed-end management company, as
those terms are defined in Sections 4(3), 5(a)(2), and 5(b)(2) of the 1940 Act.
Investment Objectives and Policies
The Company's investment objectives, which cannot be changed without
the approval of its investors, are to maximize current income consistent with
the preservation of capital and to match the maturities of investments with
operating and dividend payment needs. To achieve these objectives, the Company
purchased for $1,002,500,000 (excluding the accrued interest paid on August 15,
2000), $1,000,000,000 face value, 6% coupon U.S. Treasury Notes maturing on
August 15, 2009 (the "Treasury Notes") and entered into a floating rate reverse
repurchase agreement to maturity (the "Reverse Repurchase Agreement") with
Merrill Lynch Government Securities, Inc. ("ML Government Securities"). Under
the Reverse Repurchase Agreement, the Company sold the Treasury Notes to ML
Government Securities for $1,002,500,000 and is obligated to repurchase the
Treasury Notes for $1,000,000,000 on August 15, 2009, but may repurchase the
Treasury Notes from ML Government Securities for the Notional Amount (defined
below) plus accrued interest on 5 days prior written notice (the "Repurchase
Agreement Termination Date"). Until the Repurchase Agreement Termination Date,
the Company will make semi-annual floating rate payments to ML Government
Securities equal to the sum of $138,889 plus the rate of 6-month LIBOR less 109
basis points on the outstanding Notional Amount. The Notional Amount will start
at $1,002,500,000 and will be reduced by the amount of the $138,889 semi-annual
fixed payments made by the Company. The semi-annual fixed payments of $138,889
will amortize the $2,500,000 premium paid for the Treasury Notes to
$1,000,000,000 on a straight-line basis over the term of the Reverse Repurchase
Agreement. In return, the Company will receive semi-annual payments from ML
Government Securities equal to the interest payments received by ML Government
Securities on the Treasury Notes. These semi-annual payments will be netted
against each other and only the net amount will actually be paid.
The Company used the proceeds from the Reverse Repurchase Agreement to
acquire the following notes (the "Notes"):
(i) $500,000,000 Merrill Lynch & Co., Inc. Floating Rate Note due
August 15, 2009; and
(ii) $500,000,000 Merrill Lynch Capital Services, Inc. Floating Rate
Note due August 15, 2009.
The Note from Merrill Lynch & Co., Inc. ("ML & Co.") pays interest semi-annually
at the rate of 1-month LIBOR plus 7 basis points, compounded monthly. The Note
from Merrill Lynch Capital Services, Inc. ("ML Capital Services") pays interest
semi-annually at the rate of 1-month LIBOR plus 7 basis points through September
15, 2000 and at the rate of 1-month LIBOR plus 8 basis points thereafter. The
Notes are subject to payment, in whole or in part, prior to their scheduled
maturity at the option of the Company at any time. To ensure the Company's
investments will match its operating and dividend needs, the Company entered
into two swaps with ML Capital Services. Under the terms of the first swap, (the
"Daycount Swap"), the Company will make payments calculated as 1-month LIBOR
plus 7 basis points compounded monthly and paid semi-annually on $1,000,000,000
to ML Capital Services and in return will receive semi-annual payments at a rate
of 6-month LIBOR less 109 basis points on $1,000,000,000 plus a fixed payment on
the same
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<PAGE>
amount at a rate of 1.1575% per annum. The Daycount Swap will terminate on
August 15, 2009. Under the terms of the second swap (the "Amortizing Swap"), the
Company will make fixed, semi-annual payments of $41,112 (the fixed payment in
the first period only will be $34,612) and in return will receive semi-annual
payments equal to 6-month LIBOR less 109 basis points on a notional amount that
will start at $2,500,000 and will amortize to approximately $138,889 on a
straight-line basis over the term of the Amortizing Swap. The Amortizing Swap
will terminate on August 15, 2009.
As of October 20, 2000, the Company's investments were concentrated
exclusively in the Treasury Notes, the Reverse Repurchase Agreement, the
Daycount Swap, the Amortizing Swap, the Notes, and cash.
Risk Factors
Default by Reverse Repurchase Agreement Counterparty; Income and Credit
Risk. The Company has entered into the Reverse Repurchase Agreement with ML
Government Securities. Under the Reverse Repurchase Agreement, the amount that
the Company must pay to ML Government Securities in exchange for the fixed rate
payments is approximately 112 basis points less than the income that the Company
expects to receive under the Notes and the Swaps. As a result, provided that the
Company makes its semi-annual payments to ML Government Securities and is not
otherwise in default under the Reverse Repurchase Agreement, the Company will
receive a return of approximately 7.12% per annum. However, if ML Government
Securities defaults on its obligations to make fixed rate payments under the
Reverse Repurchase Agreement, the Company's income will fluctuate based on the
income received on the Notes and the Swaps and the performance of any New
Investments, and may decline as a result of interest rate movements.
Furthermore, if either issuer of the Notes fails to make expected payments of
interest or principal in a timely manner, the Company may not have sufficient
income to pay its obligations under the Reverse Repurchase Agreement, and as a
result, the Company would be in default on the Reverse Repurchase Agreement and
ML Government Securities would be able to terminate the Reverse Repurchase
Agreement. In that case, or if ML Government Securities or the Company otherwise
defaults under the Reverse Repurchase Agreement or the Reverse Repurchase
Agreement is terminated for any other reason, the Company may not have
sufficient assets to pay distributions or return holders' investments upon
liquidation.
Default by Swap Agreement Counterparty; Income and Credit Risk. The
Company has entered into the Swap Agreements with ML Capital Services. Under the
Daycount Swap, the amount that the Company must pay to ML Capital Services is
approximately equal to the amount the Company will receive on the Notes. A small
portion of the payments the Company will receive on the Daycount Swap will cover
the payments the Company must make to ML Capital Services on the Amortizing
Swap. As noted above, provided that the Company makes its semi-annual payments
on the Reverse Repurchase Agreement and is not otherwise in default under the
Reverse Repurchase Agreement, the Company will receive a return of approximately
7.12% per annum. However, if ML Capital Services defaults on its obligations on
either Swap Agreement, the Company's income will fluctuate from approximately
7.12% depending on the fluctuations in 1-month LIBOR and 6-month LIBOR.
Furthermore, if either issuer of the Notes fails to make expected payments of
interest or principal in a timely manner, the Company may not have sufficient
income to pay its obligations under the Swaps Agreements, and as a result, the
Company would be in default on the Swap Agreements and ML Capital Services would
be able to terminate the Swap Agreements.
Other Policies
The Company may, without notice to investors, invest in assets other
than the Daycount Swap, the Amortizing Swap, the Reverse Repurchase Agreement
and the Notes (the "New Investments"). The New Investments may consist of:
o cash or cash equivalents;
o obligations issued by the U.S. Treasury, or guaranteed by the
U.S. Government with a maturity on or before August 17, 2009;
o obligations issued or guaranteed by U.S. Federal Agencies with a
maturity on or before August 17, 2009;
A-2
<PAGE>
o commercial paper with a maturity of less than 180 days;
o repurchase agreements with a maturity on or before August 17,
2009 collateralized such that the market value of the collateral,
when marked to market, must be equal to or greater than 100% of
any mark on the repurchase agreements;
o corporate bonds and notes, and medium-term notes with a maturity
on or before August 17, 2009;
o money market mutual funds with a minimum $1 billion average asset
size for the previous twelve months; and
o security lending agreements on U.S. Government and/or U.S.
Federal Agency securities with a maturity on or before August 17,
2009 collateralized such that the market value of the collateral,
when marked to market, must be equal to or greater than 100% of
any mark on the security lending agreements.
For the New Investments, the minimum short term debt rating of money
market instruments or other instruments with a maturity less than one year is
Tier One and the minimum long term debt rating for all other instruments is
single-A by at least two Nationally Recognized Statistical Rating Organizations.
For repurchase agreements or security lending agreements, the minimum long term
debt rating of any counterparty is single-A by at least two Nationally
Recognized Statistical Rating Organizations.
Item 9. Management
Board of Managers
The Company's Board of Managers (the "Board" and its members, the
"Managers") has overall responsibility to manage and control the business and
affairs of the Company, including the exclusive authority to oversee and to
establish policies regarding the management, conduct and operation of the
Company's business.
Portfolio Management
All investment decisions for the Company will be made by the Board with
no person primarily responsible for making recommendations to the Board.
Administrator
The Board has engaged Fund Asset Management, L.P., P.O. Box 9011,
Princeton, New Jersey 08543-9011 (the "Administrator"), to provide the Company
with administrative and management services. The Administrative and Management
Agreement, dated as of October 20, 2000 (the "Administrative Agreement"),
between the Company and the Administrator provides that, subject to the
supervision of the Board, the Administrator shall perform or arrange for the
performance of the administrative and management services necessary for the
operation of the Company. For the services provided by the Administrator under
the Administrative Agreement, the Company will pay the Administrator a
semi-annual fee of $25,000.
Custodian and Transfer Agent
State Street Bank and Trust Co., 225 Franklin Street, Boston, MA 02110,
acts as the custodian (the "Custodian") for the Company's investment securities
pursuant to a Custody Agreement, dated October 20, 2000 (the "Custody
Agreement"). The Custodian is responsible for safeguarding and controlling the
Company's cash and securities, handling the receipt and delivery of securities,
determining income and collecting interest on the Company's investments and
maintaining books of original entry for Company accounting and other required
books and accounts.
Merrill Lynch Investment Partners Inc., 800 Scudders Mill Road,
Plainsboro, New Jersey 08536, which is a wholly-owned subsidiary of ML & Co.,
acts as the Company's transfer agent, dividend disbursing agent and shareholder
servicing agent (the "Transfer Agent") pursuant to a transfer agency, dividend
disbursing agency and shareholder
A-3
<PAGE>
servicing agency agreement, dated as of October 20, 2000 (the "Transfer Agency
Agreement"). The Transfer Agent is responsible for the issuance, transfer and
redemption of Units and the opening, maintenance and servicing of shareholder
accounts.
Independent Auditors
Deloitte & Touche LLP, Princeton Forrestal Village, 116-300 Village
Boulevard, Princeton, New Jersey 08540-6400, is the independent auditor of the
Company. The independent auditor is responsible for auditing the annual
financial statements of the Company.
Expenses
The Company will pay the Administrator a semi-annual fee of $25,000.
The Administrator will be responsible for all other expenses of the Company,
including, but not limited to, legal and auditing expenses and custodial and
printing fees. The Company's organizational expenses will be paid by ML & Co.
Control Persons
As of October 20, 2000, 99.99% of the Company's outstanding Units were
owned by ML SSG S.A R.L., a wholly-owned subsidiary of ML & Co. See "Item 19.
Control Persons and Principal Holders of Securities".
Item 10. Capital Stock, Long Term Debt, and Other Securities
Capital Stock
The Company is authorized to issue up to 2,000,200 Units. The
designations and the powers, preferences and rights of, and the qualifications,
limitations or restrictions on the Units are summarized below.
Dividends. The Units will provide for a fixed-rate, semi-annual
dividend of at least 7.12%, to be distributed at the discretion of the Board of
Managers out of income of the Company from funds legally available for
distribution under Delaware law. In addition to the foregoing, at any time and
from time to time in their discretion, the Managers may distribute to the Unit
Holders as of a record date or dates determined by the Managers, in cash or
otherwise, all or part of any gains realized on the sale or disposition of
property or otherwise, or all or part of any other principal or income of the
Company, provided that such distributions are not otherwise in violation of
Delaware law.
Voting Rights. Each Unit will have one vote.
Liquidation. The holders of the Units shall be entitled to receive all
of the remaining assets of the Company available for distribution to its
stockholders without limitation.
Liability to Further Calls or to Assessments. Holders of Units are not
liable for calls or assessments.
Preemptive Rights, Redemption Provisions. Holders of Units have no
preemptive rights and no right to redeem their Units. The Company will
mandatorily redeem all of the outstanding Units on August 8, 2025.
Other Securities
The Company has no long-term debt or other class of securities
outstanding.
Taxes
The Company will elect to be treated as, and should qualify as, a
regulated investment company (a "RIC"), as defined in section 851 of the
Internal Revenue Code of 1986, as amended (the "Code"), for U.S. federal income
tax purposes. As a RIC, the Company will not be subject to U.S. federal income
tax on investment company taxable income and net capital gains distributed to
shareholders if, as intended, the Company distributes at least 90% of its
investment company taxable income, and all of its net capital gains, to
shareholders each year. The Company also expects to make such distributions as
are necessary to avoid the imposition of the federal excise tax on certain
undistributed income.
Distributions of investment company taxable income (which generally
includes payments under the Reverse Repurchase Agreement and the Notes,
dividends, interest, net short-term capital gains and other income, other than
net
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<PAGE>
capital gains, all net of operating expenses) will be taxable to a U.S.
shareholder as ordinary income. Distributions of net capital gains generally
will be taxable to a U.S. shareholder as long-term capital gain. Shareholders
will be notified annually as to the U.S. Federal tax status of distributions.
Shareholders will not be subject to the alternative minimum tax on distributions
from the Company.
Outstanding Securities
The following table sets forth information regarding each class of
authorized securities of the Company as of October 20, 2000:
<TABLE>
<CAPTION>
(3) (4)
Amount Held by Amount Outstanding
(1) (2) Registrant for Exclusive of Amount
Title of Class Amount Authorized its Account Shown Under (3)
---------------------------- ------------------------- ----------------------- ---------------------------
<S> <C> <C> <C>
Government Securities 2,000,200 -- 2,000,104
Delaware, LLC
</TABLE>
Item 11. Defaults and Arrears on Senior Securities
Not applicable.
Item 12. Legal Proceedings
Not applicable.
Item 13. Table of Contents of the Statement of Additional Information
Not applicable.
A-5
<PAGE>
PART B: INFORMATION REQUIRED IN A STATEMENT OF ADDITIONAL INFORMATION
Item 14. Cover Page
Not applicable.
Item 15. Table of Contents
Not applicable.
Item 16. General Information and History
The Company was formed in the State of Delaware on August 8, 2000 as a
single member limited liability company. The Company's sole member was ML SSG
S.A R.L. On August 10, 2000:
o ML SSG S.A R.L. contributed $1,000,000,000 to the Company;
o The Company purchased the Treasury Notes;
o The Company entered into the Reverse Repurchase Agreement;
o The Company purchased the Notes; and
o The Company entered into the Swaps.
On October 20, 2000, the Company sold an aggregate of 104 Units to a
group of 104 accredited investors (as defined in Regulation D under the 1933
Act) at the price of $500 per Unit.
As a result of the sale of Units to more than 100 investors, the
Company became subject to registration under the 1940 Act.
Item 17. Investment Objectives and Policies
General
The Company will invest primarily in the Treasury Notes, the Reverse
Repurchase Agreement, the Notes and the Swaps.
Fundamental Policies
The Company will not issue senior securities, sell securities short,
purchase securities on margin, or write put and call options. The Company may,
from time to time, borrow money in connection with the operation of its business
and its investment needs in principal amounts not to exceed 50% of its total
assets immediately after any such borrowing. The Company will not underwrite
securities of any issuer, except that it may purchase portfolio securities under
circumstances in which the Company might be deemed upon sale to be an
underwriter as that term is defined in the 1933 Act. The Company's investments
will be concentrated in the Reverse Repurchase Agreement, the Notes and the
Swaps. The Company will not invest in real estate or real estate mortgage loans.
The Company will not invest in commodities or commodity contracts. The Company
may make loans of cash or portfolio securities.
Other Investment Policies and Restrictions
The Company may, without notice to its investors, invest in New
Investments, as described in "Item 8. General Description of the Registrant".
The New Investments may not consist of:
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o Equity securities or preferred stock; or
o Foreign currency denominated obligations.
Other than investments in cash and cash items, securities of the U.S.
Government or U.S. federal agencies and securities of other RICs, the Company's
investment in the securities of any one issuer (or of two or more issuers which
the Company controls and which are determined to be in the same or similar
trades or businesses) may not exceed 25% of the aggregate market value of the
Company's gross assets, and the Company's investment in any one issuer may not
constitute more than 10% of the outstanding securities of that issuer. In
addition, to maintain its qualification as a RIC under the Code, the Company
will make New Investments in a manner that ensures that substantially all of the
Company's income is investment related.
The Company does not expect a significant amount of portfolio turnover.
Item 18. Management
Managers and Officers
A listing of the Managers and officers of the Company and their
business experience for the past five years follows. An asterisk (*) indicates
Managers and officers who are "interested persons" of the Company (as defined in
the 1940 Act). Unless otherwise noted, the address of each Manager and officer
is c/o Government Securities Delaware, LLC, P.O. Box 9011, Princeton, New Jersey
08543-9011.
<TABLE>
<CAPTION>
PRINCIPAL OCCUPATION
NAME, ADDRESS AND AGE POSITION HELD WITH REGISTRANT DURING PAST FIVE YEARS
--------------------- ----------------------------- ----------------------
<S> <C> <C>
TERRY K. GLENN (59)* Manager, President & Chairman Executive Vice President of Merrill
of the Board Lynch Investment Managers, L.P. since
1983; Executive Vice President and
Director of Princeton Services since
1993; President of FAM Distributors,
Inc. since 1986 and Director thereof
since 1991; President of Princeton
Administrators, L.P. since 1988.
JEAN-CLAUDE WOLTER (62) Manager Jean-Claude Wolter, aged 62, Licence
Biel, Switzerland in political sciences (Institut d'Etudes
Politiques Paris, section Economy/
Finance), 1961. Lawyer, Luxembourg Bar
from 1962 to 1998. Acts as independent
director of several Luxembourg
investment funds and of bank-holding
companies. Presently honorary lawyer.
Advisor of Bidurit Harmetall AG (a
subsidiary of CERAMETAL, Mamer, Grand
Duchy of Luxembourg) and Consultant of
Cerametal Group.
A. MARTIN BUSS (61) Manager A. Martin Buss, aged 61, served as
Cape Town, South Africa a Member of the General Management of
the South African Mutual Life
Assurance Society for 17 years until
his retirement in 1993. He served on
the Investment Policy Committee, the
General Management Planning Committee
and was head of the Real Estate
Division. He also served on the Boards
of 5 separately Quoted Public
Companies. He is now semi-retired and
is a Director of Companies resident in
Cape Town, South Africa.
DONALD C. BURKE (40)* Vice President and Treasurer Senior Vice President and Treasurer of
Fund Asset Management, L.P. and
Merrill Lynch Investment Managers,
L.P. since 1999; Senior Vice President
and Treasurer of Princeton Services
since 1999; Vice President of FAMD
since 1999; First Vice President of
Merrill Lynch Investment Managers,
L.P. from 1997 to 1999; Vice President
of Merrill Lynch Investment Managers,
L.P. from 1990 to 1997; Director of
Taxation of Merrill Lynch Investment
Managers, L.P. since 1990.
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
<S> <C> <C>
PHILLIP S. GILLESPIE (36)* Secretary Director, Legal Advisor with Fund
Asset Management, L.P. since 2000 and
Vice President and Attorney with Fund
Asset Management since 1998; Assistant
General Counsel of Chancellor LGT
Asset Management, Inc. from 1997 to
1998; Senior Counsel and Attorney in
the Division of Investment Management
and the Office of General Counsel at
the U.S. Securities and Exchange
Commission from 1993 to 1997.
</TABLE>
Compensation
<TABLE>
<CAPTION>
Compensation Table
-------------------------------------------------------------------------------------------------------------------
Pension or Total
Retirement Compensation
Aggregate Benefits Accrued Estimated Annual From Fund and
Name of Person, Compensation As Part of Fund Benefits Upon Fund Complex
Position From Fund (1) Expenses Retirement Paid to Directors
------------------ ---------------- ------------------ ----------------- -----------------
<S> <C> <C> <C> <C>
Terry K. Glenn none none none none
Jean-Claude Wolter $5,000 none none $5,000
A. Martin Buss $5,000 none none $5,000
</TABLE>
(1) Estimate for the fiscal year that ends December 31, 2000.
Independent directors receive compensation of $5,000 per fiscal year of the
Company, or any part of a year thereof.
Code of Ethics
The Board of Managers of the Company has approved a Code of Ethics
under Rule 17j-1 of the 1940 Act (the "Code of Ethics"). The Code of Ethics
significantly restricts the personal investing activities of all employees of
the Company.
The Code of Ethics requires that all employees of the Company pre-clear
any personal securities investments (with limited exceptions such as mutual
funds, high-quality short-term securities and direct obligations of the U.S.
Government). The pre-clearance requirement and associated procedures are
designed to identify any substantive prohibition or limitation applicable to the
proposed investment. The substantive restrictions applicable to all employees of
the Company include a ban on acquiring any securities in a "hot" initial public
offering and a prohibition from profiting on short-term trading in securities.
In addition, no employee may purchase or sell any security that at the time is
being purchased or sold (as the case may be), or to the knowledge of the
employee is being considered for purchase or sale, by the Company. Furthermore,
the Code of Ethics provides for trading "blackout periods" which prohibit
trading by investment personnel of the Company within seven calendar days,
before or after, of trading by the Company in the same or equivalent security.
A copy of the Code of Ethics can be reviewed and copied at the
Securities and Exchange Commission's Public Reference Room in Washington, D.C.
Information on the operation of the Public Reference Room may be obtained by
calling the Securities and Exchange Commission at 1-202-942-8090. The Code of
Ethics is also available on the EDGAR Database on the Securities and Exchange
Commission's Internet site at http://www.sec.gov. Copies of the Code of Ethics
may also be obtained, after paying a duplicating fee, by electronic request at
the following E-mail address: [email protected], or by writing the Securities
and Exchange Commission's Public Reference Section, Washington, D.C. 20549-0102.
Item 19. Control Persons and Principal Holders of Securities
The following table shows the Unit ownership as of October 20, 2000 of
the Company's control persons and its Managers and officers as a group:
<TABLE>
<CAPTION>
Name of Beneficial Owner Amount Percentage
------------------------------------------------------------- ------------------------- ----------------------
<S> <C> <C>
ML SSG S.A R.L. ........................................ 2,000,000 99.99%
Managers and officers as a group
(5 persons)............................................ less than 1% less than 1%
</TABLE>
As of October 20, 2000, the Company was controlled by ML SSG S.A R.L.,
68-70 Boulevard de la Petrusse, L-2320 Luxembourg, Grand Duchy of Luxembourg, on
the basis of its record and beneficial ownership of the securities shown above.
As a result of this control, ML SSG S.A R.L. is able to elect the Company's
entire Board of Managers and otherwise control or influence actions that require
the approval of the Company's stockholders. ML SSG S.A R.L. is a societe a
responsablilite limitee governed by the laws of the Grand-Duchy of Luxembourg.
The parent companies of ML
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<PAGE>
SSG S.A R.L. are ML & Co., Merrill Lynch International Incorporated, Merrill
Lynch International Holdings Inc., and Merrill Lynch S.A.
Item 20. Investment Advisory and Other Services
The Company will pay the Administrator a semi-annual fee of $25,000.
The Administrator will be responsible for all other expenses of the Company,
including, but not limited to, legal and auditing expenses and custodial and
printing fees. The Company's organizational expenses will be paid by ML & Co.
The Company employs State Street Bank and Trust Co., with its principal
place of business at 225 Franklin Street, Boston, MA 02110, as the Custodian.
The Custodian is responsible for safeguarding and controlling the Company's cash
and securities, handling the receipt and delivery of securities, determining
income and collecting interest on the Company's investments and maintaining
books of original entry for Company accounting and other required books and
accounts. The Company employs Merrill Lynch Investment Partners Inc., with its
principal place of business at 800 Scudders Mill Road, Plainsboro, New Jersey
08536 as the Transfer Agent. The Transfer Agent is responsible for the issuance,
transfer and redemption of shares, the opening, maintenance and servicing of
shareholder accounts and the disbursement of dividends. The Transfer Agent's fee
will be paid out of the semi-annual fee paid to the Administrators. The Company
also employs Deloitte & Touche LLP, with its principal place of business at
Princeton Forrestal Village, 116-300 Village Blvd., Princeton, NJ 08540-6400, as
independent public accountant. Deloitte & Touche is responsible for auditing the
annual financial statements of the Company.
Item 21. Brokerage Allocation and Other Practices
The New Investments in which the Company may invest are traded
privately or exclusively among dealers and investors acting as principal, and
not through brokers acting as agent. Purchases and sales of portfolio securities
by the Company will be effected through securities dealers. As a result, while
the prices at which the Company purchases and sells New Investments may reflect
a mark-up or mark-down compared to the dealer's cost, the Company does not
expect to pay brokerage commissions in connection with portfolio transactions.
The Company will select dealers to effect principal transactions on the basis of
their ability to obtain the lowest net purchase price or the highest net sale
price for the relevant portfolio securities and, in the case of thinly traded
securities, their familiarity with the particular trading patterns in those
securities. Research services will not be a factor in the selection of dealers.
Item 22. Tax Status
The following discussion offers only a brief outline of the federal income tax
consequences of investing in Units of the Company. Investors should consult
their own tax advisors for more detailed information and for information
regarding the impact of state and local taxes upon such an investment.
The Company intends to qualify and elect to be treated as a RIC under subchapter
M of chapter 1, subtitle A of the Code. To so qualify, the Company must, among
other things: (a) elect to be treated as a RIC; (b) derive in each taxable year
at least 90% of its gross income from dividends, interest, payments with respect
to securities loans (as defined in section 512(a)(5) of the Code) and gains from
the sale or other disposition of stock, securities or foreign currencies, or
other income derived with respect to its business of investing in stocks,
securities or currencies (including but not limited to, gains from options,
futures and forward contracts); and (c) diversify its holdings so that, at the
end of each quarter of each taxable year, (i) at least 50% of the market value
of the Company's assets is represented by cash, cash items, U.S. Government
securities, securities of other regulated investment companies and other
securities, with such other securities of any one issuer limited for the
purposes of this calculation to an amount not greater than 5% of the value of
the Company's total assets and 10% of the outstanding voting securities of such
issuer and (ii) not more than 25% of the value of its total assets is invested
in the securities of any one issuer (other than U.S. Government securities or
the securities of other regulated investment companies) or of two or more
issuers which the Company controls and which are determined to be in the same or
similar trades or businesses.
As a RIC, in any fiscal year with respect to which the Company distributes at
least 90% of its investment company taxable income (which includes, among other
items, dividends and interest but excludes net long-term capital gains in excess
of net short-term capital losses), the Company (but not its stockholders)
generally will be relieved of U.S. federal income tax on its net investment
income and net capital gains (net long-term capital gains in excess of the sum
of net
B-4
<PAGE>
short-term capital losses and capital loss carryovers from prior years, if any)
that it distributes to stockholders. To the extent the Company retains its net
capital gains for investment, it will be subject under current tax rates to a
federal income tax at a maximum effective rate of 35% on the amount retained.
Amounts not distributed on a timely basis in accordance with a calendar year
distribution requirement are subject to a nondeductible 4% excise tax payable by
the Company. To avoid the tax, the Company must distribute, or be deemed to have
distributed, during each calendar year an amount equal to the sum of (1) at
least 98% of its ordinary income (not taking into account any capital gains or
losses) for the calendar year, (2) at least 98% of its capital gains in excess
of its capital losses (adjusted for certain ordinary losses) for the
twelve-month period ending on October 31 of the calendar year, and (3) all
ordinary income and capital gains for previous years that were not distributed
during such years. To prevent application of the excise tax, the Company intends
to make its distributions in accordance with the calendar year distribution
requirement. Compliance with the calendar year distribution requirement may
limit the extent to which the Company will be able to retain its net capital
gains for investment.
If in any taxable year the Company fails to qualify as a RIC under the Code, the
Company will be taxed in the same manner as an ordinary corporation, and
distributions to its stockholders will not be deductible by the Company in
computing its taxable income. In addition, in the event of failure to qualify,
the Company's distributions, to the extent derived from the Company's current or
accumulated earnings and profits, will constitute dividends (eligible for the
corporate dividends-received deduction) which are taxable to stockholders as
ordinary income, even though those distributions might otherwise (at least in
part) have been treated in the stockholders' hands as long-term capital gains.
For any period during which the Company qualifies as a RIC for federal income
tax purposes, dividends paid out of the Company's net investment income and
short-term capital gains to holders of Units will be taxable as ordinary income.
It is expected that dividends received by corporate stockholders will not be
eligible for the dividends received deduction. Distributions of net long-term
capital gains designated by the Company as capital gain dividends, if any, are
taxable as long-term capital gains, regardless of how long the stockholder has
held the Company's Units and are not eligible for the dividends received
deduction. Dividends and distributions will be taxable to stockholders as if
actually distributed, even if they are reinvested in additional Units of the
Company. Stockholders receiving distributions in the form of newly issued Units
will have a cost basis in each Unit received equal to the fair market value of a
Unit of the Company on the distribution date.
Generally, dividends paid by the Company are treated as received in the taxable
year in which the distribution is made; however, any dividend declared by the
Company in October, November or December of any calendar year, payable to
stockholders of record on a specified date in such a month and actually paid
during January of the following year, will be treated as received on December 31
of the year in which declared. Any distribution by the Company to a holder of
Units not made out of the Company's earnings and profits will be treated as a
return of capital to each holder of Units, will reduce the basis of each Unit
with respect to which it is distributed and will be subject to tax as capital
gain to the extent that the distribution exceeds the basis of the Unit with
respect to which it is distributed. Investors should carefully consider the tax
implications of buying Units just prior to a distribution, as the price of Units
purchased at this time may reflect the amount of the forthcoming distribution
which will, except in unusual circumstances, be taxable when received.
After the close of each taxable year, the Company will identify for the holders
of Units the portions of its distributions that are attributable to capital
gains and to ordinary income, respectively. The Code limits certain
miscellaneous itemized deductions by individuals, including deductions of
investment expenses, to the extent the aggregate of such deductions exceeds 2%
of an individual's federal adjusted gross income. The Code would treat such
expenses incurred by a RIC as being indirectly incurred by the stockholders of
the investment company. Such expenses will be fully deductible by the Company's
corporate stockholders. If the Company suffers a net taxable loss in any taxable
year, the holders of Units will not be permitted to utilize that loss in their
tax returns.
Generally, gain realized by a stockholder on the sale of Units held for more
than one year will be taxable as long-term capital gain. If a stockholder holds
Units primarily for sale to customers in the ordinary course of business rather
than for investment, any gain recognized on the sale of those Units would be
taxable as ordinary income. Any loss realized on a sale or exchange will be
disallowed to the extent the Units disposed of are replaced within a period of
61 days beginning 30 days before and ending 30 days after the Units are disposed
of. In such a case, the basis of the Units acquired will be adjusted to reflect
the disallowed loss. Any loss realized by a stockholder on a disposition of
Company Units held by the
B-5
<PAGE>
stockholder for six months or less will be treated as a long-term capital loss
to the extent of any distributions of capital gain dividends received or treated
as having been received by the stockholder with respect to such Units that were
treated as long-term capital gain. Stockholders who acquire Units on multiple
dates should consult their tax advisers to determine how to allocate the cost of
stock for basis purposes.
The Company may be required to withhold for U.S. federal income taxes 31% of all
taxable distributions payable to stockholders who fail to provide the Company
with their correct taxpayer identification number or who fail to make required
certifications or if the Company or a stockholder has been notified by the U.S.
Internal Revenue Service that they are subject to backup withholding. Corporate
stockholders and other stockholders specified in the Code are exempt from such
backup withholding. Backup withholding is not an additional tax. Any amounts
withheld may be credited against the stockholder's U.S. federal income tax
liability.
Investors are advised to consult their own tax advisors with respect to the
application to their own circumstances of the above-described general taxation
rules and with respect to the state, local or foreign tax consequences to them
of an investment in the Units.
Item 23. Financial Statements
The following comprise the financial statements of the Company:
o Statement of Assets and Liabilities as of September 30, 2000;
o Statement of Operations for the period ended September 30, 2000;
o Statement of Changes in Net Assets for the period ended September
30, 2000;
o Financial Highlights for the period ended September 30, 2000; and
o Notes to the Financial Statements.
B-6
<PAGE>
GOVERNMENT SECURITIES DELAWARE, LLC
STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 2000
($ in thousands, except unit and per unit data)
<TABLE>
<CAPTION>
September 30, 2000
-------------------------
<S> <C>
Assets:
Investments:
Fair Value of Notes Receivable (identified cost $1,000,000) $1,000,000
Fair Value of Treasury Repurchase Agreement 11,521
Fair Value of Swap Agreements 170
Receivables:
Loan Interest Receivable 9,499
Interest Rate Swap - Net 256
Treasury Repurchase Agreement - Net 157
-------------------------
Total Assets 1,021,605
Net Assets $1,021,605
=========================
Net Assets Consist of:
Undistributed Net Investment Income $ 9,913
Unrealized Gains on Investments - Net $11,692
Beneficial Interests ("Units") ($500 par value per Unit
2,000,200 authorized) 1,000,000
-------------------------
Net Assets - Equivalent to $500.00 per Unit based on
2,000,000 Units outstanding $1,021,605
=========================
</TABLE>
B-7
<PAGE>
GOVERNMENT SECURITIES DELAWARE, LLC
STATEMENT OF OPERATIONS
FOR THE PERIOD AUGUST 10, 2000
(COMMENCEMENT OF OPERATIONS) TO SEPTEMBER 30, 2000
($ in thousands)
<TABLE>
<CAPTION>
For the Period
August 10, 2000*
to September 30, 2000
-------------------------
<S> <C>
Investment Income:
Interest - Notes $ 9,499
Interest - Swap Agreements - Net 256
Interest - Treasury Purchase Agreement - Net 157
-------------------------
Total Income 9,913
Investment Income - Net 9,913
-------------------------
Realized and Unrealized Gains on Investments - Net
Changes in Unrealized Appreciation on Investments - Net 11,692
-------------------------
Net Increase in Net Assets Resulting from Operations $21,605
=========================
* Commencement of operations.
</TABLE>
B-8
<PAGE>
GOVERNMENT SECURITIES DELAWARE, LLC
STATEMENT OF CHANGES IN NET ASSETS
FOR THE PERIOD AUGUST 10, 2000
(COMMENCEMENT OF OPERATIONS) TO SEPTEMBER 30, 2000
($ in thousands)
<TABLE>
<CAPTION>
For the Period
August 10, 2000**
Increase (decrease) in Net Assets: to September 30, 2000
-------------------------
<S> <C>
Operations:
Investment Income - Net $9,913
Changes in Unrealized Appreciation on Investments - Net 11,692
----------------
Net Increase in Net Assets Resulting from Operations 21,605
----------------
Dividends Paid to Shareholders 0
----------------
Beneficial Interest Transactions 1,000,000
----------------
Net Assets:
Total Increase in Net Assets 1,021,605
Beginning of Period 0
----------------
End of Period * $1,021,605
================
* Undistributed investment income - Net $9,913
================
** Commecement of operations.
</TABLE>
B-9
<PAGE>
GOVERNMENT SECURITIES DELAWARE, LLC
FINANCIAL HIGHLIGHTS
FOR THE PERIOD AUGUST 10, 2000
(COMMENCEMENT OF OPERATIONS) TO SEPTEMBER 30, 2000
<TABLE>
<CAPTION>
The following per unit data and ratios have been derived
from information provided in the financial statements For the Period
August 10, 2000*
Increase (Decrease) in Net Asset Value: to September 30, 2000
-------------------------
<S> <C>
Per Share Operating Performance:
Net Asset Value, Beginning of Period $500.00
-------------------------
Investment Income - Net 4.96
Changes in Unrealized Appreciation on Investments - Net 5.85
-------------------------
Total from Operations 10.80
-------------------------
Net Asset Value, End of Period $510.80
=========================
Total Investment Return:
Based on Net Asset Value per Unit 2.16%**
=========================
Supplemental Data:
Portfolio Turnover 0.00%
=========================
* Commencement of operations.
** Aggregate total investment return.
# Annualized.
</TABLE>
B-10
<PAGE>
GOVERNMENT SECURITIES DELAWARE, LLC
NOTES TO FINANCIAL STATEMENTS
FOR THE PERIOD ENDED SEPTEMBER 30, 2000 (UNAUDITED)
1. DESCRIPTION OF BUSINESS
ML SSG Delaware, LLC was incorporated in the State of Delaware on August 8, 2000
as an indirect, wholly-owned subsidiary of Merrill Lynch & Co., Inc. ("Merrill
Lynch & Co., Inc." or "ML & Co."). In September, 2000, ML SSG Delaware, LLC was
renamed Government Securities Delaware, LLC (the "Company"). The Company was
formed for the purpose of providing an investment opportunity for individual and
institutional investors.
As of the date of this filing, ML SSG S.A R.L., an indirect, wholly-owned
subsidiary of ML & Co., owns more than 99% of the limited liability interests of
the Company ("Units"). ML SSG S.A R.L. intends to offer the Units for sale to
institutional investors. As of the date of this filing, ML SSG S.A R.L. has not
entered into any binding commitment to sell any Units to investors.
2. BASIS OF PRESENTATION
The accompanying financial statements of the Company for the period ended
September 30, 2000 are prepared in accordance with accounting principles
generally accepted in the United States of America, which may require the use of
management accruals and estimates. The interim statements are subject to
possible adjustments in connection with the annual audit of the Company's
accounts for the full year; in management's opinion, all adjustments necessary
for a fair presentation of the interim statements have been included and are of
a normal and recurring nature.
3. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
(a) Valuation of investments and financial instruments - Reverse repurchase
agreements, swap agreements and other securities are valued at fair valued
as determined by or under the direction of the Board of Managers of the
Company.
(b) Financial instruments - The Company may engage in various portfolio
investment strategies to hedge its exposures relating to non-trading assets
and liabilities.
o Swap agreements - The Company is authorized to enter into swap agreements.
In a swap agreement, the Company exchanges with the counterparty their
respective commitments to pay or receive interest on a specified notional
principal amount. If the counterparty defaults on its obligation, the
Company's ability to receive interest will be delayed or limited.
Furthermore, if the Company does not have sufficient income to pay its
obligation under the swap agreement, the Company would be in default and
the counterparty would be able to terminate the swap agreement.
o Reverse repurchase agreements - The Company is authorized to enter into
reverse repurchase agreements. Under reverse repurchase agreements, the
Company sells securities to the counterparty and agrees to repurchase them
at a mutually agreed upon date and price, and may exchange their respective
commitments to pay or receive interest. If the counterparty defaults on its
obligation, the Company's ability to receive interest will be delayed or
limited. Furthermore, if the Company does not have sufficient income to pay
its obligation under the reverse repurchase agreement, the Company would be
in default and the counterparty would be able to terminate the repurchase
agreement.
(c) Investment income and expenses - Interest income and expenses are
recognized on the accrual basis.
(d) Dividends and distributions - Dividends and distributions are declared on
the ex-dividend dates, to be distributed at the discretion of the Board of
Managers out of the income of the Company from funds legally available for
distribution under Delaware law.
B-11
<PAGE>
4. INVESTMENTS
The Company purchased for $1,002,500,000 (excluding the accrued interest paid on
August 15, 2000) $1,000,000,000 face value, 6% coupon U.S. Treasury Notes
maturing on August 15, 2009 (the "Treasury Notes") and entered into a floating
rate reverse repurchase agreement to maturity (the "Reverse Repurchase
Agreement") with Merrill Lynch Government Securities, Inc. ("ML Government
Securities"). Under the Reverse Repurchase Agreement, the Company sold the
Treasury Notes to ML Government Securities and is obligated to repurchase the
Treasury Notes for $1,000,000,000 on August 15, 2009, but may repurchase the
Treasury Notes from ML Government Securities for the Notional Amount (defined
below) plus accrued interest on 5 days prior written notice (the "Repurchase
Agreement Termination Date"). Until the Repurchase Agreement Termination Date,
the Company will make semi-annual floating rate payments to ML Government
Securities at the rate of 6-month LIBOR less 109 basis points on the outstanding
Notional Amount plus $138,889. The Notional Amount will start at $1,002,500,000
and will be reduced by the $138,889 fixed, semi-annual payments by the Company.
The semi-annual fixed payments of $138,889 will amortize the $2,500,000 premium
paid for the Treasury Notes to $1,000,000,000 on a straight-line basis over the
term of the Reverse Repurchase Agreement. In return, the Company will receive
semi-annual payments from ML Government Securities equal to the interest on the
Treasury Notes. These semi-annual payments will be netted against each other and
only the net amount will actually be paid. Under SFAS 125, Accounting for
Transfers and Servicing of Financial Assets, the Reverse Repurchase Agreement is
deemed a sale for accounting purposes.
The Company used the proceeds from the Reverse Repurchase Agreements to
acquire the following notes (the "Notes"):
(iii) $500,000,000 Merrill Lynch & Co., Inc. Floating Rate Note due
August 15, 2009; and
(iv) $500,000,000 Merrill Lynch Capital Services, Inc. Floating Rate
Note due August 15, 2009.
The note from ML & Co. pays interest semi-annually at the rate of 1-month LIBOR
plus 7 basis points, compounded monthly. The note from Merrill Lynch Capital
Services, Inc. ("ML Capital Services") pays interest semi-annually at the rate
of 1-month LIBOR plus 7 basis points through September 15, 2000 and at 1-month
LIBOR plus 8 basis points thereafter. Interest on the loan to ML Capital
Services compounds monthly. The Notes are subject to pre-payment at the option
of the Company at any time.
To ensure the Company's investments will match its operating and dividend needs,
the Company entered into two swaps with ML Capital Services. Under the terms of
the first swap, (the "Daycount Swap"), the Company will make payments calculated
as 1-month LIBOR plus 7 basis points compounded monthly and paid semi-annually
on $1,000,000,000 to ML Capital Services and in return will receive semi-annual
payments at a rate of 6-month LIBOR less 109 basis points on $1,000,000,000 plus
a fixed payment on the same amount at a rate of 1.1575%. The Daycount Swap will
terminate on August 15, 2009. Under the terms of the second swap (the
"Amortizing Swap"), the Company will make fixed, semi-annual payments of $41,112
(the fixed payment in the first period only will be $34,612) and in return will
receive semi-annual payments equal to 6-month LIBOR less 109 basis points on a
notional amount that will start at $2,500,000 and will amortize to approximately
$138,889 on a straight-line basis over the term of the Amortizing Swap. The
Amortizing Swap will terminate on August 15, 2009. The effective date of all
transactions with Merrill and Merrill affiliates was August 10, 2000.
5. INCOME TAXES
As of September 30, 2000, the Company is a single member limited liability
corporation which is disregarded as an entity separate from its single member
for federal income tax purposes and therefore the unaudited financial statements
of the Company do not include a provision for federal income taxes.
The Company intends to qualify and elect to be treated for federal income tax
purposes as a regulated investment company ("RIC") under subchapter M of the
Internal Revenue Code. If the Company qualifies as a RIC and distributes to the
holders of the Units at least 90% of its investment company taxable income (as
defined in subchapter M of the Internal Revenue Code), the Company will not be
subject to federal income tax on the portion of its net investment
B-12
<PAGE>
income that it distributes to the holders of the Units. If the Company
distributes to the holders of the Units at least 98% of its ordinary income
(including any such amounts not distributed in the prior period) for each
calendar year and 98% of it net capital gain income (including any such amounts
not distributed in the prior period) for the one-year period ending on October
31st of such year, the Company will not be subject to federal excise tax.
6. CAPITALIZATION
On August 10, 2000, ML SSG S.A R.L. contributed $1,000,000,000 in cash to the
Company in exchange for 2,000,000 Units. Each Unit represents a $500 capital
contribution to the Company. The Units are divided into a single class, each
Unit representing an equal, proportionate interest in the Company, none having
priority or preference over another. The Units will provide for a fixed-rate,
semi-annual dividend of at least 7.12%, to be distributed at the discretion of
the Board of Managers out of the income of the Company from funds legally
available for distribution under Delaware law.
The Company will redeem all of the outstanding Units on August 8, 2025 at their
Net Asset Value. The redemption price may be paid in cash or in-kind at the
discretion of the Board of Managers.
7. SUBSEQUENT EVENTS
In October 2000, as a result of the placement of Units to more than 100
investors, the Company intends to become a non-diversified closed-end management
company (as defined in the Investment Company Act of 1940 (the "Act"), as
amended), subject to registration under the Act.
B-13
<PAGE>
PART C: OTHER INFORMATION
Item 24. Financial Statements and Exhibits
1. Financial Statements:
Statement of Assets and Liabilities as of September 30, 2000;
Statement of Operations for the period ended September 30, 2000;
Statement of Changes in Net Assets for the period ended
September 30, 2000;
Financial Highlights for the period ended September 30, 2000; and
Notes to the Financial Statements.
2. Exhibits:
a. (1) Amended and Restated Certificate of
Formation of Registrant.
(2) Amended and Restated Limited Liability
Company Agreement of Registrant.
j. Form of Custody Agreement.
k (1) Form of Administrative and Management
Agreement
(2) Form of Transfer Agency Agreement
(3) Form of Reverse Repurchase Agreement
(4) Form of ISDA Master Agreement
(5) Form of Daycount Swap Confirmation Agreement
(6) Form of Amortizing Swap Confirmation
Agreement
p. Subscription Agreement.
r. Code of Ethics.
Item 25. Marketing Arrangements
Not Applicable.
Item 26. Other Expenses of Issuance and Distribution
All organizational expenses of the Company will be paid by ML & Co. As
a result, the Company will not incur any expenses in connection with the
issuance and distribution of the Units.
Item 27. Persons Controlled by or Under Common Control with Registrant
The response to this item is incorporated by reference from Exhibit 21
to the Annual Report on Form 10-K (File No. 001-07182) of Merrill Lynch & Co.,
Inc. for the fiscal year ended December 31, 1999 filed with the SEC on March 9,
2000.
C-1
<PAGE>
Item 28. Number of Holders of Securities As of October 20, 2000
The following table sets forth the number of record holders of each
class of securities of the Company as of October 20, 2000:
Title of Class Number of Recordholders
----------------------------- -----------------------
Government Securities Delaware, LLC 105
Item 29. Indemnification
Reference is made to the provisions of Article IX of the Company's
Amended and Restated Limited Liability Company Agreement filed as an exhibit to
this Registration Statement.
Item 30. Business and Other Connections of Investment Adviser
Not Applicable.
Item 31. Location of Accounts and Records
Custodian: State Street Bank and Trust Co.
One Heritage Drive
North Quincy, MA 02171
AND
Government Securities Delaware, LLC
800 Scudders Mill Road
Plainsboro, New Jersey 08536
Item 32. Management Services
Not Applicable.
Item 33. Undertakings
Not Applicable.
C-2
<PAGE>
SIGNATURES
Pursuant to the requirements of the Investment Company Act of 1940, the
Registrant has duly caused this registration statement to be signed on its
behalf by the undersigned, thereunto duly authorized, in the City of Princeton,
State of New Jersey, on the 20th day of October, 2000.
GOVERNMENT SECURITIES DELAWARE, LLC
By: /s/ Terry K. Glenn
-------------------------------
Name: Terry K. Glenn
Title: President and Chairman
C-3
<PAGE>
EXHIBIT INDEX
<TABLE>
<CAPTION>
Exhibit Sequential
Number Description Page Number
--------- ----------- -----------
<S> <C> <C>
a. (1) Amended and Restated Certificate of Formation of Registrant.
(2) Amended and Restated Limited Liability Company Agreement of Registrant.
j. Form of Custody Agreement.
k. (1) Form of Administrative and Management Agreement
(2) Form of Transfer Agency Agreement
(3) Form of Reverse Repurchase Agreement
(4) Form of ISDA Master Agreement
(5) Form of Daycount Swap Confirmation Agreement
(6) Form of Amortizing Swap Confirmation Agreement
p. Subscription Agreement.
r. Code of Ethics.
</TABLE>
