0000928816-12-000853.txt : 20120730 0000928816-12-000853.hdr.sgml : 20120730 20120605162949 ACCESSION NUMBER: 0000928816-12-000853 CONFORMED SUBMISSION TYPE: N-MFP PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20120531 FILED AS OF DATE: 20120605 DATE AS OF CHANGE: 20120605 FILER: COMPANY DATA: COMPANY CONFORMED NAME: PUTNAM FUNDS TRUST CENTRAL INDEX KEY: 0001005942 IRS NUMBER: 043299786 STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-MFP SEC ACT: 1933 Act SEC FILE NUMBER: 811-07513 FILM NUMBER: 12889454 BUSINESS ADDRESS: STREET 1: ONE POST STREET 2: ONE POST OFFICE SQUARE CITY: BOSTON STATE: MA ZIP: 02109 BUSINESS PHONE: 6172921010 MAIL ADDRESS: STREET 1: ONE POST OFFICE SQUARE CITY: BOSTON STATE: MA ZIP: 02109 0001005942 S000018606 PUTNAM MONEY MARKET LIQUIDITY FUND C000051613 CLASS P N-MFP 1 primary_doc.xml N-MFP N-MFP LIVE N 2012-05-31 0001005942 S000018606 1 N N N N 333-515 Putnam Investment Management, LLC 801-7974 Putnam Investment Limited 801-61441 KPMG, LLP Boston MA None Putnam Investor Services, Inc. 0001448300 84-06331 N N N Prime 33 33 4927246718.34 128808069.66 127779036.43 4928275751.57 0.0016 1.0000 2012-05-31 1.0000 2012-05-31 C000051613 1.00 4928275751.57 1.00 255477689.00 830213307.00 574735618.00 0.0012 1.0000 2012-05-31 1.0000 2012-05-31 FED HOME LN DISCOUNT NT FED HOME LN DISCOUNT NT 313384C49 GDC 08/17/2012 313384C49 Government Agency Debt First Tier Security N/A N/A 2012-08-17 2012-08-17 N N N 12000000.00 11997048.34 0.0024 N/A N 11998200.00 11998200.00 FED HOME LN DISCOUNT NT FED HOME LN DISCOUNT NT 313384C98 GDC 08/22/2012 313384C98 Government Agency Debt First Tier Security N/A N/A 2012-08-22 2012-08-22 N N N 40000000.00 39989977.76 0.0081 N/A N 39993640.00 39993640.00 FED HOME LN DISCOUNT NT FED HOME LN DISCOUNT NT 313384XP9 GDC 06/01/2012 313384XP9 Government Agency Debt First Tier Security N/A N/A 2012-06-01 2012-06-01 N N N 10000000.00 10000000.00 0.0020 N/A N 10000000.00 10000000.00 FREDDIE MAC DISCOUNT NOTES FREDDIE MAC DISCOUNT NOTES 313396A94 GDC 08/06/2012 313396A94 Government Agency Debt First Tier Security N/A N/A 2012-08-06 2012-08-06 N N N 64000000.00 63986011.67 0.0130 N/A N 63991808.00 63991808.00 FREDDIE MAC DISCOUNT NOTES FREDDIE MAC DISCOUNT NOTES 313396C92 GDC 08/22/2012 313396C92 Government Agency Debt First Tier Security N/A N/A 2012-08-22 2012-08-22 N N N 15861000.00 15856664.67 0.0032 N/A N 15858478.10 15858478.10 FHLMC FHLMC 313396YH0 GDC 06/19/2012 313396YH0 Government Agency Debt First Tier Security N/A N/A 2012-06-19 2012-06-19 N N N 18450000.00 18449262.00 0.0037 N/A N 18449815.50 18449815.50 FNMA FNMA 313588B38 GDC 08/08/2012 313588B38 Government Agency Debt First Tier Security N/A N/A 2012-08-08 2012-08-08 N N N 106818000.00 106795805.59 0.0217 N/A N 106803900.00 106803900.00 FNMA FNMA 313588C29 GDC 08/15/2012 313588C29 Government Agency Debt First Tier Security N/A N/A 2012-08-15 2012-08-15 N N N 24500000.00 24493875.00 0.0050 N/A N 24496423.00 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REPO TRIPA MORTG 0.18 06/05/2012 TRIPARTY1 Government Agency Repurchase Agreement Y FMAC 2035-08-01 4.50% Government Agency Debt 13339054.03 3485234.12 FMAC 2042-02-01 2.18% Government Agency Debt 8571591.83 8789132.82 FMAC 2037-11-01 6.00% Government Agency Debt 18918958.71 8846912.71 FMAC 2037-03-01 5.50% Government Agency Debt 14557890.99 3588801.03 FMAC 2036-07-01 2.51% Government Agency Debt 33718478.04 8520832.36 FMAC 2041-01-01 2.97% Government Agency Debt 17228955.93 10900020.54 FMAC 2039-04-01 5.00% Government Agency Debt 10674907.33 3454181.16 FMAC 2041-02-01 4.50% Government Agency Debt 4024341.06 3474536.12 FMAC 2040-05-01 5.50% Government Agency Debt 3465250.20 3493426.26 FNMA 2040-12-01 3.67% Government Agency Debt 11385466.93 9228393.91 FNMA 2041-01-01 4.50% Government Agency Debt 3541276.97 3493520.28 FNMA 2026-01-01 3.50% Government Agency Debt 4240286.52 3840213.37 FNMA 2026-03-01 4.00% Government Agency Debt 4433249.75 3605677.34 FNMA 2041-02-01 5.00% Government Agency Debt 4327683.05 3440797.44 FNMA 2041-07-01 3.29% Government Agency Debt 8308339.92 8481030.64 FNMA 2041-08-01 2.91% Government Agency Debt 6108533.13 5088790.16 FNMA 2041-12-01 4.00% Government Agency Debt 3292112.17 3501773.80 FNMA 2041-11-01 4.50% Government Agency Debt 3349164.12 3469923.38 FNMA 2042-02-01 2.99% Government Agency Debt 8797241.47 9070544.08 FNMA 2032-01-01 4.00% Government Agency Debt 889900.92 920717.55 FNMA 2032-01-01 4.00% Government Agency Debt 3590492.59 3839964.19 FNMA 2042-03-01 2.46% Government Agency Debt 12699072.43 12905374.09 FNMA 2042-04-01 3.50% Government Agency Debt 3291294.32 3454178.14 FNMA 2042-06-01 2.76% Government Agency Debt 8936912.17 9357648.59 FNMA 2038-06-01 4.50% Government Agency Debt 4429065.56 3800529.88 FNMA 2039-12-01 4.20% Government Agency Debt 13191000.00 12566525.06 FNMA 2042-05-01 0.00% Government Agency Debt 5015786.29 5216277.30 FNMA 2042-05-01 0.00% Government Agency Debt 12564970.09 13059678.09 FNMA 2042-06-01 2.19% Government Agency Debt 8178439.35 8467649.41 FNMA 2035-09-01 2.16% Government Agency Debt 43970000.00 8716005.73 FNMA 2037-06-01 7.00% Government Agency Debt 12601643.71 2441822.68 FNMA 2047-10-01 6.50% Government Agency Debt 12781977.87 3493412.53 FNMA 2038-02-01 6.50% Government Agency Debt 15668381.48 3459111.81 FNMA 2038-04-01 4.39% Government Agency Debt 23008164.31 9024626.03 FNMA 2035-05-01 3.26% Government Agency Debt 41211881.50 12152403.67 FNMA 2039-03-01 4.78% Government Agency Debt 17584438.43 8501196.25 FNMA 2039-05-01 4.24% Government Agency Debt 14531626.83 7347512.50 FNMA 2039-07-01 5.50% Government Agency Debt 5652943.25 3798243.54 FNMA 2025-11-01 3.00% Government Agency Debt 4397000.00 3604683.24 FNMA 2026-08-01 3.50% Government Agency Debt 1295425.67 1136699.82 FNMA 2042-05-01 3.00% Government Agency Debt 3350706.59 3430903.51 FNMA 2038-09-01 2.20% Government Agency Debt 16342917.34 9217758.79 FNMA 2021-02-01 3.50% Government Agency Debt 4397000.00 3518900.59 FNMA 2039-12-01 4.03% Government Agency Debt 25838530.80 11646309.88 FNMA 2032-11-01 8.00% Government Agency Debt 4604758.25 3868924.41 First Tier Security N/A N/A 2012-06-05 2012-06-05 N N N 271300000.00 271300000.00 0.0550 N/A N 271297585.00 271297585.00 CITIGROUP GLOBAL MARKETS INC. REPO TRIPA MORTG 0.18 06/05/2012 TRIPARTY1 Government Agency Repurchase Agreement Y FMAC 2040-06-01 5.50% Government Agency Debt 19700159.63 16353454.02 FMAC 2037-06-01 5.73% Government Agency Debt 65972666.27 16060018.82 FMAC 2024-09-01 4.50% Government Agency Debt 35891220.42 15583291.03 FMAC 2026-05-01 4.50% Government Agency Debt 17353679.47 15866333.77 FMAC 2041-03-01 4.00% Government Agency Debt 16094934.45 15862923.03 FNMA 2028-04-01 5.00% Government Agency Debt 59090723.70 16253516.31 FNMA 2041-03-01 5.00% Government Agency Debt 17820649.67 15807139.90 FNMA 2026-01-01 3.50% Government Agency Debt 16892609.17 15838187.87 FNMA 2041-06-01 5.00% Government Agency Debt 11543500.38 11620652.49 FNMA 2026-07-01 3.50% Government Agency Debt 16514096.07 16422260.29 FNMA 2032-03-01 3.50% Government Agency Debt 14853650.80 15666179.71 FNMA 2018-08-01 4.00% Government Agency Debt 76616785.80 16152499.95 FNMA 2033-04-01 6.00% Government Agency Debt 43963778.25 15727159.70 FNMA 2035-12-01 5.00% Government Agency Debt 40151778.87 16403692.42 FNMA 2020-06-01 3.50% Government Agency Debt 27205997.80 16361150.72 FNMA 2042-04-01 4.00% Government Agency Debt 15354479.65 16407223.80 FNMA 2030-09-01 4.00% Government Agency Debt 22014928.62 16099355.65 FNMA 2025-11-01 4.00% Government Agency Debt 9369254.23 8692333.73 First Tier Security N/A N/A 2012-06-05 2012-06-05 N N N 271300000.00 271300000.00 0.0550 N/A N 271300000.00 271300000.00 DEUTSCHE BANK SECURITIES, INC. - MM REPO TRIPA MORTG 0.17 06/06/2012 TRIPARTY1 Government Agency Repurchase Agreement Y FNMA 2039-04-01 5.00% Government Agency Debt 169139220.28 44852944.80 FNMA 2025-10-01 3.50% Government Agency Debt 105100136.94 93590023.03 FNMA 2040-10-01 4.00% Government Agency Debt 97352890.47 87111801.66 First Tier Security N/A N/A 2012-06-06 2012-06-06 N N N 220800000.00 220800000.00 0.0448 N/A N 220797549.00 220797549.00 FREDDIE MAC DISCOUNT NOTES FREDDIE MAC DISCOUNT NOTES 313396J95 GDC 10/09/2012 313396J95 Government Agency Debt First Tier Security N/A N/A 2012-10-09 2012-10-09 N N N 24500000.00 24488498.60 0.0050 N/A N 24489391.50 24489391.50 SCOTIABANC INC SCOTIABANC INC 80927UG33 DCP 07/03/2012 80927UG33 Financial Company Commercial Paper First Tier Security N/A N/A 2012-07-03 2012-07-03 N N N 49500000.00 49493179.99 0.0100 N/A N 49489926.70 49489926.70 CREDIT SUISSE SECURITIES (USA), LLC REPO TRIPA TREAS 0.18 06/01/2012 TRIPARTY2 Treasury Repurchase Agreement Y U.S. TREASURY 2014-04-15 1.25% Treasury Debt 103377500.00 105401743.00 U.S. TREASURY 2019-05-31 1.13% Treasury Debt 98170000.00 98599983.39 First Tier Security N/A N/A 2012-06-01 2012-06-01 N N N 200000000.00 200000000.00 0.0406 N/A N 200000000.00 200000000.00 MERRILL LYNCH, PIERCE, FENNER AND SMITH REPO TRIPA MORTG 0.21 06/01/2012 TRIPARTY2 Government Agency Repurchase Agreement Y FMAC 2041-03-01 4.50% Government Agency Debt 38713830.73 28597725.18 FMAC 2042-03-01 4.00% Government Agency Debt 27694965.30 29384382.32 FNMA 2042-02-01 2.80% Government Agency Debt 27965586.86 28994477.72 FNMA 2042-03-01 4.00% Government Agency Debt 28291693.98 29815627.27 FNMA 2041-11-01 4.50% Government Agency Debt 28738248.75 29795125.20 FNMA 2038-05-01 5.00% Government Agency Debt 1806778.11 940432.83 FNMA 2040-09-01 4.50% Government Agency Debt 3080624.01 2378949.62 GNMA 2039-11-20 5.00% Government Agency Debt 107305154.79 80131125.89 First Tier Security N/A N/A 2012-06-01 2012-06-01 N N N 225509000.00 225509000.00 0.0458 N/A N 225509000.00 225509000.00 RBC CAPITAL MARKETS, LLC REPO TRIPA MORTG 0.19 06/01/2012 TRIPARTY2 Government Agency Repurchase Agreement Y FMAC 2036-01-01 2.44% Government Agency Debt 95040000.00 15125920.44 FMAC 2038-04-01 5.61% Government Agency Debt 34682509.00 18056517.25 FMAC 2038-11-01 5.59% Government Agency Debt 17033553.00 17227815.65 FMAC 2041-04-01 3.60% Government Agency Debt 21939796.00 16429465.15 FNMA 2016-01-01 3.09% Government Agency Debt 25000000.00 26595825.00 FNMA 2016-09-01 2.30% Government Agency Debt 18200000.00 18608875.13 FNMA 2041-04-01 3.24% Government Agency Debt 25000000.00 19893961.72 FNMA 2042-02-01 2.52% Government Agency Debt 19836572.00 20448401.96 FNMA 2042-04-01 2.53% Government Agency Debt 15116433.00 15261793.06 FNMA 2042-04-01 2.83% Government Agency Debt 20000000.00 20799486.33 FNMA 2041-04-01 3.07% Government Agency Debt 22240399.00 18188683.77 FNMA 2042-05-01 2.39% Government Agency Debt 21589548.00 22354269.60 FNMA 2042-05-01 2.55% Government Agency Debt 25278999.00 26330424.19 FNMA 2044-09-01 1.36% Government Agency Debt 109816422.00 17787164.74 FNMA 2039-09-01 3.95% Government Agency Debt 25020799.00 14591470.33 FNMA 2040-03-01 3.53% Government Agency Debt 791979.00 422232.50 FNMA 2040-11-01 3.06% Government Agency Debt 25008429.00 16867930.33 GNMA 2042-04-20 2.50% Government Agency Debt 25000000.00 26055899.98 GNMA 2042-02-20 2.50% Government Agency Debt 25000000.00 25955747.16 First Tier Security N/A N/A 2012-06-01 2012-06-01 N N N 350000000.00 350000000.00 0.0710 N/A N 350000000.00 350000000.00 BARCLAYS CAPITAL, INC. REPO TRIPA MORTG 0.2 06/01/2012 TRIPARTY2 Government Agency Repurchase Agreement Y FNMA 2041-08-01 4.50% Government Agency Debt 9703016.00 10179660.23 FNMA 2042-05-01 3.50% Government Agency Debt 110064514.00 116395498.22 FNMA 2042-06-01 3.50% Government Agency Debt 102979964.00 108340242.76 FNMA 2040-12-01 4.00% Government Agency Debt 94302441.00 71084599.13 First Tier Security N/A N/A 2012-06-01 2012-06-01 N N N 300000000.00 300000000.00 0.0609 N/A N 300000000.00 300000000.00 MORGAN (J.P.) SECURITIES INC. REPO TRIPA MORTG 0.2 06/01/2012 TRIPARTY2 Government Agency Repurchase Agreement Y FNMA 2018-04-01 5.00% Government Agency Debt 857677.50 92653.10 FNMA 2018-05-01 5.00% Government Agency Debt 880497.58 105834.46 FNMA 2018-06-01 5.00% Government Agency Debt 1049356.00 136089.71 FNMA 2019-06-01 5.00% Government Agency Debt 842415.50 145092.68 FNMA 2016-11-01 6.00% Government Agency Debt 894015.20 183094.18 FNMA 2038-09-01 7.00% Government Agency Debt 1064810.15 215323.90 FNMA 2037-11-01 7.00% Government Agency Debt 828760.25 105083.70 FNMA 2018-05-01 5.00% Government Agency Debt 807140.10 210703.86 FNMA 2019-01-01 5.00% Government Agency Debt 858347.31 191037.05 FNMA 2029-07-01 6.00% Government Agency Debt 875487.25 28854.51 FNMA 2013-01-01 7.00% Government Agency Debt 948232.15 1567.92 FNMA 2015-03-01 7.00% Government Agency Debt 868835.42 4790.17 FNMA 2014-12-01 7.00% Government Agency Debt 853332.21 8013.72 FNMA 2017-10-01 7.50% Government Agency Debt 817680.00 9570.60 FNMA 2018-01-01 5.00% Government Agency Debt 1051227.12 106546.48 FNMA 2025-12-01 4.00% Government Agency Debt 877518.50 724061.60 FNMA 2026-03-01 4.00% Government Agency Debt 894073.12 847141.57 FNMA 2026-04-01 4.00% Government Agency Debt 822449.80 794616.09 FNMA 2026-05-01 4.00% Government Agency Debt 815988.08 800774.97 FNMA 2026-02-01 4.50% Government Agency Debt 827133.74 820398.44 FNMA 2041-03-01 6.00% Government Agency Debt 896545.24 985122.79 FNMA 2041-04-01 6.00% Government Agency Debt 915571.97 997070.52 FNMA 2041-06-01 4.50% Government Agency Debt 895123.84 953405.53 FNMA 2026-10-01 4.00% Government Agency Debt 935778.20 953986.63 FNMA 2027-04-01 3.50% Government Agency Debt 986209.98 1053949.28 FNMA 2041-04-01 4.50% Government Agency Debt 1046495.48 944825.61 FNMA 2041-03-01 5.50% Government Agency Debt 850317.70 892679.27 FNMA 2041-05-01 4.50% Government Agency Debt 1058515.38 997771.62 FNMA 2041-07-01 5.00% Government Agency Debt 859718.97 929606.36 FNMA 2041-06-01 6.00% Government Agency Debt 996158.42 1096699.00 FNMA 2041-06-01 4.50% Government Agency Debt 907880.33 984142.59 FNMA 2041-05-01 4.50% Government Agency Debt 841442.46 725196.86 FNMA 2021-05-01 3.50% Government Agency Debt 902241.06 857175.19 FNMA 2036-06-01 3.50% Government Agency Debt 1064580.52 1095379.67 FNMA 2026-07-01 4.50% Government Agency Debt 871527.64 892344.70 FNMA 2020-07-01 4.00% Government Agency Debt 1022027.77 893631.38 FNMA 2041-06-01 4.50% Government Agency Debt 844454.25 915095.06 FNMA 2036-07-01 4.50% Government Agency Debt 1019176.79 810645.53 FNMA 2041-06-01 5.00% Government Agency Debt 899002.36 959185.61 FNMA 2026-12-01 3.50% Government Agency Debt 1004512.38 1051045.07 FNMA 2041-06-01 4.50% Government Agency Debt 802569.27 800947.22 FNMA 2041-07-01 6.00% Government Agency Debt 825272.84 905510.74 FNMA 2026-06-01 4.00% Government Agency Debt 810386.29 823446.98 FNMA 2026-06-01 4.00% Government Agency Debt 956584.07 974262.37 FNMA 2026-06-01 4.50% Government Agency Debt 1004949.16 1021406.59 FNMA 2041-08-01 4.00% Government Agency Debt 971743.18 1016882.06 FNMA 2036-07-01 4.50% Government Agency Debt 864222.35 691163.70 FNMA 2026-08-01 4.00% Government Agency Debt 831904.23 852141.50 FNMA 2042-01-01 4.00% Government Agency Debt 1032318.27 1108598.70 FNMA 2027-04-01 3.00% Government Agency Debt 962525.20 1006111.76 FNMA 2041-09-01 4.50% Government Agency Debt 943099.85 1028938.09 FNMA 2041-09-01 4.50% Government Agency Debt 912220.84 975021.85 FNMA 2026-09-01 4.00% Government Agency Debt 984282.30 828362.83 FNMA 2026-09-01 3.50% Government Agency Debt 977434.23 993475.20 FNMA 2041-09-01 5.00% Government Agency Debt 984438.34 1071152.53 FNMA 2031-10-01 4.00% Government Agency Debt 993669.95 831877.13 FNMA 2026-09-01 4.50% Government Agency Debt 966035.77 1007962.46 FNMA 2026-10-01 4.50% Government Agency Debt 882108.41 923834.54 FNMA 2032-01-01 4.50% Government Agency Debt 1055386.39 1158625.84 FNMA 2026-10-01 4.50% Government Agency Debt 866621.56 871326.68 FNMA 2036-11-01 4.50% Government Agency Debt 917719.06 976085.06 FNMA 2041-10-01 3.50% Government Agency Debt 926704.00 960225.10 FNMA 2026-10-01 4.00% Government Agency Debt 937915.07 972107.36 FNMA 2036-10-01 3.50% Government Agency Debt 882801.40 914937.76 FNMA 2041-10-01 4.50% Government Agency Debt 857542.58 925460.29 FNMA 2026-11-01 4.50% Government Agency Debt 847203.70 901615.53 FNMA 2026-11-01 4.00% Government Agency Debt 1026916.82 1077218.02 FNMA 2041-11-01 4.00% Government Agency Debt 863401.94 913858.10 FNMA 2041-12-01 4.50% Government Agency Debt 911772.48 996865.95 FNMA 2042-02-01 4.50% Government Agency Debt 813583.42 863946.48 FNMA 2026-11-01 4.00% Government Agency Debt 832137.95 772923.24 FNMA 2041-11-01 4.50% Government Agency Debt 813364.01 875431.56 FNMA 2026-11-01 3.50% Government Agency Debt 940415.13 971898.26 FNMA 2041-11-01 4.50% Government Agency Debt 807514.19 880384.18 FNMA 2026-12-01 3.50% Government Agency Debt 1031622.57 1047054.71 FNMA 2026-12-01 4.50% Government Agency Debt 818718.45 799092.30 FNMA 2027-04-01 2.50% Government Agency Debt 871993.71 898388.95 FNMA 2041-11-01 4.50% Government Agency Debt 1031249.84 1123448.30 FNMA 2041-11-01 4.50% Government Agency Debt 804710.23 862736.01 FNMA 2041-12-01 4.50% Government Agency Debt 818934.46 901095.90 FNMA 2042-01-01 4.00% Government Agency Debt 871013.18 935107.54 FNMA 2026-11-01 4.00% Government Agency Debt 1054991.18 1108645.31 FNMA 2026-12-01 4.00% Government Agency Debt 1014447.20 1035604.17 FNMA 2026-12-01 3.50% Government Agency Debt 1035092.25 1081016.15 FNMA 2026-12-01 4.00% Government Agency Debt 924148.75 974370.53 FNMA 2026-12-01 4.00% Government Agency Debt 939156.59 990197.19 FNMA 2026-12-01 4.50% Government Agency Debt 827696.58 888206.90 FNMA 2042-01-01 4.50% Government Agency Debt 954039.04 1024763.27 FNMA 2027-02-01 4.00% Government Agency Debt 829830.72 892495.72 FNMA 2027-02-01 4.00% Government Agency Debt 845669.19 899793.44 FNMA 2027-01-01 4.50% Government Agency Debt 1044059.48 1128541.77 FNMA 2041-12-01 4.50% Government Agency Debt 1024963.24 985923.74 FNMA 2027-01-01 4.00% Government Agency Debt 998414.54 1060694.28 FNMA 2027-01-01 4.00% Government Agency Debt 888718.68 938091.11 FNMA 2042-01-01 4.50% Government Agency Debt 901314.35 991834.76 FNMA 2042-05-01 3.50% Government Agency Debt 891918.53 938258.04 FNMA 2027-01-01 4.50% Government Agency Debt 1044922.13 1122072.85 FNMA 2027-02-01 3.50% Government Agency Debt 869489.57 917168.00 FNMA 2042-03-01 4.00% Government Agency Debt 857374.28 927163.35 FNMA 2042-04-01 3.50% Government Agency Debt 983907.53 1034180.88 FNMA 2042-04-01 3.50% Government Agency Debt 907031.98 957741.65 FNMA 2042-04-01 4.00% Government Agency Debt 921059.28 996333.95 FNMA 2042-05-01 4.00% Government Agency Debt 847367.92 919291.19 FNMA 2042-02-01 4.50% Government Agency Debt 865510.87 948409.41 FNMA 2042-01-01 4.50% Government Agency Debt 1044069.02 1141768.77 FNMA 2042-04-01 4.00% Government Agency Debt 888027.74 952894.69 FNMA 2042-03-01 4.00% Government Agency Debt 984982.10 1059115.77 FNMA 2027-04-01 3.00% Government Agency Debt 984350.44 1023779.22 FNMA 2022-01-01 3.50% Government Agency Debt 944868.08 966129.00 FNMA 2032-03-01 3.50% Government Agency Debt 962521.79 1012137.64 FNMA 2042-02-01 4.50% Government Agency Debt 892413.91 981340.10 FNMA 2042-02-01 4.50% Government Agency Debt 966086.19 1037056.37 FNMA 2027-04-01 3.00% Government Agency Debt 869089.59 913142.23 FNMA 2042-01-01 4.50% Government Agency Debt 1029676.49 1129473.72 FNMA 2042-01-01 4.50% Government Agency Debt 1027818.31 1112278.68 FNMA 2042-01-01 4.00% Government Agency Debt 328877.71 352934.38 FNMA 2042-01-01 4.00% Government Agency Debt 805755.50 857540.07 FNMA 2042-02-01 4.00% Government Agency Debt 912776.18 982136.93 FNMA 2042-02-01 4.00% Government Agency Debt 899022.13 969212.57 FNMA 2042-02-01 5.00% Government Agency Debt 905006.86 1009507.94 FNMA 2042-03-01 4.00% Government Agency Debt 1000062.16 1079363.92 FNMA 2042-02-01 5.00% Government Agency Debt 870658.17 946182.50 FNMA 2042-02-01 4.00% Government Agency Debt 1058591.01 1138098.97 FNMA 2042-02-01 4.50% Government Agency Debt 1064823.78 1165979.15 FNMA 2042-02-01 4.50% Government Agency Debt 979986.07 1081164.99 FNMA 2027-02-01 3.00% Government Agency Debt 910195.72 944501.69 FNMA 2027-02-01 3.50% Government Agency Debt 1003838.48 1057925.51 FNMA 2027-02-01 4.00% Government Agency Debt 967694.30 1026970.74 FNMA 2027-02-01 3.50% Government Agency Debt 1050001.29 1097648.83 FNMA 2027-02-01 4.50% Government Agency Debt 825285.11 833438.38 FNMA 2027-02-01 3.50% Government Agency Debt 898391.83 948988.57 FNMA 2027-02-01 3.50% Government Agency Debt 1046613.37 1092390.27 FNMA 2027-02-01 3.00% Government Agency Debt 804188.28 837114.37 FNMA 2027-01-01 3.50% Government Agency Debt 877831.27 855549.02 FNMA 2042-02-01 4.00% Government Agency Debt 1029100.70 1113305.54 FNMA 2042-02-01 4.00% Government Agency Debt 1039577.91 1120940.05 FNMA 2042-02-01 4.00% Government Agency Debt 867916.22 922652.85 FNMA 2042-02-01 4.50% Government Agency Debt 1047308.39 1124131.04 FNMA 2042-02-01 4.00% Government Agency Debt 815990.13 842362.56 FNMA 2032-04-01 4.00% Government Agency Debt 969431.19 1042479.26 FNMA 2027-03-01 3.50% Government Agency Debt 811124.93 862096.88 FNMA 2027-04-01 3.50% Government Agency Debt 818888.80 871196.95 FNMA 2042-05-01 3.50% Government Agency Debt 983658.82 1033472.46 FNMA 2027-03-01 4.50% Government Agency Debt 868933.55 945866.30 FNMA 2027-03-01 4.50% Government Agency Debt 843677.45 908505.37 FNMA 2042-02-01 4.50% Government Agency Debt 954332.04 1045638.78 FNMA 2042-03-01 4.50% Government Agency Debt 964129.90 1056111.20 FNMA 2042-03-01 4.50% Government Agency Debt 1029408.02 1108723.63 FNMA 2027-02-01 4.00% Government Agency Debt 959903.17 1023282.74 FNMA 2042-03-01 3.50% Government Agency Debt 1037182.11 1090251.37 FNMA 2027-03-01 3.50% Government Agency Debt 865754.81 908198.80 FNMA 2027-05-01 3.00% Government Agency Debt 810469.43 855927.49 FNMA 2027-05-01 3.00% Government Agency Debt 870888.48 917830.30 FNMA 2042-03-01 4.50% Government Agency Debt 965468.85 1035952.28 FNMA 2027-03-01 3.00% Government Agency Debt 1039237.89 1085325.40 FNMA 2042-02-01 4.50% Government Agency Debt 1036000.56 1115868.71 FNMA 2027-03-01 4.00% Government Agency Debt 735912.00 794378.55 FNMA 2027-03-01 3.50% Government Agency Debt 808190.14 862630.54 FNMA 2042-03-01 4.50% Government Agency Debt 1008600.10 1083989.66 FNMA 2042-03-01 4.50% Government Agency Debt 1063805.77 1174989.89 FNMA 2042-03-01 4.50% Government Agency Debt 1034590.06 1111461.02 FNMA 2042-03-01 4.50% Government Agency Debt 810782.19 879901.29 FNMA 2027-03-01 4.00% Government Agency Debt 827409.03 884043.38 FNMA 2042-04-01 4.00% Government Agency Debt 899209.51 973836.99 FNMA 2042-04-01 4.50% Government Agency Debt 868550.60 956965.91 FNMA 2042-04-01 4.00% Government Agency Debt 825243.54 881253.82 FNMA 2042-04-01 4.50% Government Agency Debt 802709.64 862856.64 FNMA 2042-03-01 4.00% Government Agency Debt 950653.17 1025213.40 FNMA 2042-03-01 4.00% Government Agency Debt 1030787.17 1103093.71 FNMA 2027-03-01 4.00% Government Agency Debt 876430.99 932829.13 FNMA 2027-03-01 3.00% Government Agency Debt 915210.14 951666.86 FNMA 2042-03-01 4.50% Government Agency Debt 821679.82 904641.92 FNMA 2042-03-01 4.00% Government Agency Debt 903744.23 974288.59 FNMA 2042-03-01 4.00% Government Agency Debt 893703.12 962252.68 FNMA 2042-03-01 4.00% Government Agency Debt 977519.41 1050112.44 FNMA 2042-04-01 4.00% Government Agency Debt 890194.59 958319.15 FNMA 2042-03-01 4.00% Government Agency Debt 1057345.42 1136493.48 FNMA 2027-03-01 4.00% Government Agency Debt 845231.05 913823.20 FNMA 2042-05-01 4.50% Government Agency Debt 803540.95 886774.40 FNMA 2027-03-01 4.00% Government Agency Debt 930690.19 997414.55 FNMA 2027-03-01 3.00% Government Agency Debt 870062.63 907706.39 FNMA 2027-03-01 3.50% Government Agency Debt 933500.97 992103.62 FNMA 2032-05-01 3.00% Government Agency Debt 872697.60 911559.89 FNMA 2027-03-01 3.00% Government Agency Debt 868269.18 905436.33 FNMA 2032-04-01 4.00% Government Agency Debt 853533.91 915150.66 FNMA 2027-04-01 3.00% Government Agency Debt 892623.78 934189.70 FNMA 2042-04-01 4.50% Government Agency Debt 862387.34 927945.10 FNMA 2042-04-01 5.00% Government Agency Debt 883148.23 961546.48 FNMA 2032-03-01 3.50% Government Agency Debt 921720.92 972105.01 FNMA 2027-05-01 4.00% Government Agency Debt 955935.38 1040569.52 FNMA 2032-03-01 3.00% Government Agency Debt 964978.92 1001508.80 FNMA 2032-03-01 3.00% Government Agency Debt 1001537.39 1040299.50 FNMA 2022-03-01 2.50% Government Agency Debt 893855.07 917152.86 FNMA 2042-04-01 3.50% Government Agency Debt 1040822.83 1099539.69 FNMA 2042-04-01 3.50% Government Agency Debt 1056483.44 1114493.63 FNMA 2042-04-01 3.50% Government Agency Debt 971615.76 1021918.59 FNMA 2027-04-01 4.00% Government Agency Debt 846503.22 905232.44 FNMA 2027-04-01 4.00% Government Agency Debt 1006768.50 1073354.66 FNMA 2041-04-01 5.00% Government Agency Debt 885820.00 941389.98 FNMA 2042-02-01 4.00% Government Agency Debt 839815.96 882186.45 FNMA 2027-04-01 3.50% Government Agency Debt 922138.62 985768.61 FNMA 2027-04-01 3.00% Government Agency Debt 845889.96 890703.95 FNMA 2042-04-01 3.50% Government Agency Debt 1004107.63 1059419.56 FNMA 2042-03-01 4.50% Government Agency Debt 994202.12 1083314.12 FNMA 2042-04-01 4.50% Government Agency Debt 1060838.27 1171766.62 FNMA 2042-04-01 3.50% Government Agency Debt 910629.09 961945.31 FNMA 2042-04-01 4.00% Government Agency Debt 865398.44 936209.37 FNMA 2042-04-01 4.00% Government Agency Debt 817570.98 885118.23 FNMA 2042-04-01 4.50% Government Agency Debt 900350.86 967382.63 FNMA 2042-04-01 4.00% Government Agency Debt 972046.40 1046411.13 FNMA 2027-04-01 3.50% Government Agency Debt 985282.60 1056808.13 FNMA 2027-05-01 3.50% Government Agency Debt 877339.98 932906.57 FNMA 2027-04-01 3.50% Government Agency Debt 904300.25 950384.74 FNMA 2027-05-01 3.50% Government Agency Debt 1024416.08 1096442.40 FNMA 2042-05-01 4.50% Government Agency Debt 880827.38 962157.10 FNMA 2042-05-01 4.50% Government Agency Debt 868312.79 958255.53 FNMA 2042-05-01 4.50% Government Agency Debt 834037.01 923817.64 FNMA 2032-04-01 3.50% Government Agency Debt 1003906.62 1062403.88 FNMA 2042-05-01 4.00% Government Agency Debt 1058833.59 1146911.23 FNMA 2027-04-01 3.50% Government Agency Debt 902573.58 959266.23 FNMA 2032-04-01 3.50% Government Agency Debt 965066.82 1014689.61 FNMA 2042-04-01 4.00% Government Agency Debt 856448.25 915342.36 FNMA 2037-04-01 3.50% Government Agency Debt 1023498.23 1074566.09 FNMA 2042-04-01 4.00% Government Agency Debt 1026222.47 1107365.97 FNMA 2042-04-01 4.50% Government Agency Debt 893470.76 980919.85 FNMA 2042-05-01 4.00% Government Agency Debt 892480.69 965756.36 FNMA 2042-05-01 4.50% Government Agency Debt 908796.81 1002229.15 FNMA 2042-05-01 4.50% Government Agency Debt 809751.91 890086.07 FNMA 2042-05-01 5.00% Government Agency Debt 1046079.83 1172673.63 FNMA 2042-05-01 3.50% Government Agency Debt 846887.53 895518.85 FNMA 2042-04-01 4.50% Government Agency Debt 888908.79 969737.67 FNMA 2042-05-01 4.00% Government Agency Debt 873278.15 950402.55 FNMA 2042-05-01 4.00% Government Agency Debt 1019467.75 1105998.59 FNMA 2027-05-01 3.50% Government Agency Debt 976020.33 1027723.43 FNMA 2027-04-01 3.50% Government Agency Debt 951716.15 1017996.99 FNMA 2027-05-01 4.00% Government Agency Debt 850506.45 923763.63 FNMA 2042-04-01 3.50% Government Agency Debt 932837.28 981156.93 FNMA 2042-05-01 4.50% Government Agency Debt 1032815.02 1112686.04 FNMA 2027-05-01 3.50% Government Agency Debt 1065133.14 1128039.49 FNMA 2027-05-01 3.50% Government Agency Debt 1043932.74 1105587.01 FNMA 2042-05-01 3.50% Government Agency Debt 1005518.13 1057602.54 FNMA 2042-05-01 4.00% Government Agency Debt 926530.92 991564.97 FNMA 2042-05-01 4.00% Government Agency Debt 887976.63 966399.14 FNMA 2027-04-01 3.00% Government Agency Debt 927109.43 974996.00 FNMA 2042-05-01 4.50% Government Agency Debt 995632.38 1098763.31 FNMA 2027-05-01 3.00% Government Agency Debt 805951.06 848888.96 FNMA 2042-05-01 4.00% Government Agency Debt 884337.96 959399.19 FNMA 2042-05-01 4.00% Government Agency Debt 948703.00 1015293.33 FNMA 2042-05-01 3.50% Government Agency Debt 835025.72 878278.86 FNMA 2042-05-01 4.00% Government Agency Debt 1005405.70 1075976.04 FNMA 2042-04-01 5.00% Government Agency Debt 811166.50 883553.02 FNMA 2027-05-01 3.50% Government Agency Debt 913796.24 967764.70 FNMA 2027-05-01 3.50% Government Agency Debt 806362.63 863813.72 FNMA 2027-05-01 4.00% Government Agency Debt 830153.03 906706.73 FNMA 2027-05-01 3.50% Government Agency Debt 939889.09 1012727.79 FNMA 2027-05-01 4.00% Government Agency Debt 839314.45 916712.99 FNMA 2042-05-01 3.50% Government Agency Debt 814181.69 856482.39 FNMA 2032-06-01 4.00% Government Agency Debt 981453.13 1060463.50 FNMA 2042-06-01 4.50% Government Agency Debt 1064520.56 1170129.89 FNMA 2042-05-01 4.00% Government Agency Debt 909123.20 989413.29 FNMA 2042-05-01 4.50% Government Agency Debt 928628.96 1028592.02 FNMA 2042-05-01 4.00% Government Agency Debt 967303.17 1035199.06 FNMA 2042-05-01 4.00% Government Agency Debt 844435.85 919013.02 FNMA 2042-05-01 4.50% Government Agency Debt 911496.51 1005912.36 FNMA 2027-06-01 3.50% Government Agency Debt 1040435.79 1114563.95 FNMA 2027-05-01 3.00% Government Agency Debt 909192.02 957630.19 FNMA 2027-06-01 3.00% Government Agency Debt 1025489.97 1077079.57 FNMA 2027-06-01 3.50% Government Agency Debt 993396.03 1070381.36 FNMA 2027-06-01 3.50% Government Agency Debt 839740.33 898782.16 FNMA 2027-06-01 3.50% Government Agency Debt 1006172.28 1065596.43 FNMA 2027-06-01 3.50% Government Agency Debt 1057362.45 1135670.42 FNMA 2027-05-01 4.00% Government Agency Debt 929685.13 1011640.44 FNMA 2027-06-01 3.00% Government Agency Debt 1033973.40 1089705.67 FNMA 2027-06-01 3.00% Government Agency Debt 1063443.95 1116942.91 FNMA 2027-06-01 3.50% Government Agency Debt 1048402.04 1129650.19 FNMA 2027-06-01 3.50% Government Agency Debt 922019.38 990303.88 FNMA 2027-06-01 3.00% Government Agency Debt 1014638.67 1072816.63 FNMA 2042-05-01 4.00% Government Agency Debt 1005800.23 1076398.26 FNMA 2042-05-01 4.00% Government Agency Debt 812677.84 869720.44 FNMA 2042-06-01 3.50% Government Agency Debt 1064044.26 1125145.50 FNMA 2042-06-01 3.50% Government Agency Debt 984592.34 1039592.76 FNMA 2042-06-01 3.50% Government Agency Debt 1009984.03 1062457.61 FNMA 2027-05-01 2.50% Government Agency Debt 805951.06 834003.68 FNMA 2027-05-01 3.00% Government Agency Debt 947262.52 994916.71 FNMA 2042-05-01 4.50% Government Agency Debt 959165.90 1054922.66 FNMA 2042-05-01 4.00% Government Agency Debt 1023145.95 1105992.32 FNMA 2042-05-01 4.00% Government Agency Debt 949620.16 1016274.86 FNMA 2027-05-01 3.00% Government Agency Debt 805910.18 849349.60 FNMA 2027-06-01 4.00% Government Agency Debt 1062149.29 1160096.84 FNMA 2027-06-01 4.00% Government Agency Debt 810917.11 876320.64 FNMA 2027-05-01 3.00% Government Agency Debt 1062708.71 1123642.94 FNMA 2027-05-01 3.50% Government Agency Debt 1007186.20 1085240.23 FNMA 2042-05-01 4.50% Government Agency Debt 948226.70 1046447.19 FNMA 2042-05-01 4.00% Government Agency Debt 975605.35 1044083.97 FNMA 2027-06-01 3.00% Government Agency Debt 974299.11 1028946.15 FNMA 2042-06-01 4.50% Government Agency Debt 1050494.62 1162262.88 FNMA 2042-05-01 3.50% Government Agency Debt 944551.91 993478.36 FNMA 2042-06-01 3.50% Government Agency Debt 945054.10 994154.26 FNMA 2017-11-01 5.00% Government Agency Debt 943853.48 72466.24 FNMA 2017-11-01 5.00% Government Agency Debt 946457.10 85884.71 FNMA 2017-11-01 5.00% Government Agency Debt 995230.35 74184.86 FNMA 2017-10-01 5.00% Government Agency Debt 831840.85 98290.61 FNMA 2018-01-01 5.00% Government Agency Debt 848343.00 58852.74 FNMA 2018-02-01 5.50% Government Agency Debt 1022100.00 73937.52 FNMA 2018-06-01 5.00% Government Agency Debt 1022100.00 120983.50 FNMA 2018-06-01 5.00% Government Agency Debt 1021704.11 88963.88 FNMA 2018-07-01 5.00% Government Agency Debt 964015.42 139890.36 FNMA 2019-05-01 5.00% Government Agency Debt 945783.20 165362.72 FNMA 2018-12-01 5.00% Government Agency Debt 855157.00 122119.72 FNMA 2034-03-01 5.00% Government Agency Debt 1059577.00 258605.62 FNMA 2019-02-01 6.00% Government Agency Debt 837599.37 78547.48 FNMA 2018-11-01 7.00% Government Agency Debt 964864.44 2057.43 FNMA 2019-10-01 5.00% Government Agency Debt 851750.00 170203.84 FNMA 2035-04-01 6.00% Government Agency Debt 922415.27 180230.72 FNMA 2033-09-01 6.50% Government Agency Debt 953960.00 99311.31 FNMA 2034-08-01 5.50% Government Agency Debt 1022100.00 430732.97 FNMA 2035-07-01 5.50% Government Agency Debt 843861.43 217901.99 FNMA 2035-08-01 5.00% Government Agency Debt 1022327.59 298338.79 FNMA 2035-08-01 5.00% Government Agency Debt 981216.00 261129.49 FNMA 2035-06-01 6.00% Government Agency Debt 896230.43 309419.24 FNMA 2036-12-01 5.00% Government Agency Debt 996084.15 384292.57 FNMA 2037-06-01 5.00% Government Agency Debt 916987.92 338810.05 FNMA 2038-02-01 5.00% Government Agency Debt 900369.93 385954.27 FNMA 2035-09-01 5.00% Government Agency Debt 869466.40 385910.55 FNMA 2037-04-01 6.00% Government Agency Debt 894484.68 519266.28 FNMA 2040-02-01 4.50% Government Agency Debt 885820.00 765433.03 FNMA 2016-08-01 4.50% Government Agency Debt 1046355.80 330809.10 FNMA 2025-03-01 4.00% Government Agency Debt 885820.00 680420.28 FNMA 2038-12-01 5.50% Government Agency Debt 848423.41 229921.43 FNMA 2037-07-01 6.50% Government Agency Debt 1027064.68 262570.75 FNMA 2037-10-01 6.50% Government Agency Debt 1004936.90 291943.65 FNMA 2037-09-01 7.50% Government Agency Debt 1057902.12 468004.05 FNMA 2037-10-01 7.50% Government Agency Debt 969338.52 255442.98 FNMA 2023-10-01 6.00% Government Agency Debt 896565.00 582079.19 FNMA 2023-04-01 5.00% Government Agency Debt 993393.30 616498.98 FNMA 2035-07-01 5.00% Government Agency Debt 899448.00 383386.85 FNMA 2039-01-01 4.50% Government Agency Debt 1043607.03 475289.39 FNMA 2039-03-01 5.00% Government Agency Debt 959482.07 109224.31 FNMA 2037-07-01 5.50% Government Agency Debt 1027595.49 717063.04 FNMA 2039-05-01 4.00% Government Agency Debt 928179.23 600957.03 FNMA 2040-06-01 5.50% Government Agency Debt 873248.17 889503.80 FNMA 2020-10-01 4.00% Government Agency Debt 1062013.01 560003.57 FNMA 2031-02-01 3.50% Government Agency Debt 953960.00 961883.28 FNMA 2041-12-01 4.00% Government Agency Debt 1052763.00 1102158.20 FNMA 2039-09-01 5.00% Government Agency Debt 885820.00 712356.38 FNMA 2040-01-01 5.50% Government Agency Debt 977804.23 831631.58 FNMA 2040-01-01 4.50% Government Agency Debt 1022100.00 901190.54 FNMA 2021-07-01 4.50% Government Agency Debt 1056407.81 990435.91 FNMA 2026-08-01 4.50% Government Agency Debt 862897.70 899393.94 FNMA 2039-06-01 6.00% Government Agency Debt 971275.74 412494.89 FNMA 2019-12-01 4.00% Government Agency Debt 817680.00 375243.71 FNMA 2041-01-01 4.00% Government Agency Debt 841785.89 780170.18 FNMA 2041-11-01 3.50% Government Agency Debt 875111.12 882378.77 FNMA 2027-05-01 3.00% Government Agency Debt 915038.43 959999.36 FNMA 2030-04-01 4.00% Government Agency Debt 815022.54 709551.62 FNMA 2040-07-01 4.50% Government Agency Debt 916610.42 861653.52 FNMA 2025-05-01 4.50% Government Agency Debt 906262.00 631817.89 FNMA 2040-06-01 5.50% Government Agency Debt 851750.00 699518.94 FNMA 2040-05-01 5.50% Government Agency Debt 1006336.49 1018385.27 FNMA 2040-07-01 5.50% Government Agency Debt 810707.23 705518.98 FNMA 2041-10-01 4.00% Government Agency Debt 841433.60 712856.01 FNMA 2040-09-01 4.00% Government Agency Debt 962417.54 710801.74 FNMA 2041-06-01 4.50% Government Agency Debt 812427.77 800921.68 FNMA 2025-10-01 4.00% Government Agency Debt 917794.70 899360.26 FNMA 2040-10-01 5.50% Government Agency Debt 960294.98 900888.07 FNMA 2040-11-01 4.00% Government Agency Debt 1023986.12 830564.36 FNMA 2040-10-01 4.00% Government Agency Debt 842393.70 590854.02 First Tier Security N/A N/A 2012-06-01 2012-06-01 N N N 306650000.00 306650000.00 0.0622 N/A N 306650000.00 306650000.00 CITIGROUP GLOBAL MARKETS INC. REPO TRIPA MORTG 0.21 06/01/2012 TRIPARTY2 Government Agency Repurchase Agreement Y FMAC 2040-09-01 3.79% Government Agency Debt 28262242.54 21044756.24 FMAC 2025-02-01 4.00% Government Agency Debt 35060000.00 22048894.03 FMAC 2040-12-01 3.02% Government Agency Debt 35111752.77 20394685.21 FMAC 2041-03-01 3.26% Government Agency Debt 24589902.48 21953489.69 FMAC 2026-06-01 3.50% Government Agency Debt 28048000.00 22170100.47 FMAC 2027-05-01 3.00% Government Agency Debt 21036063.11 22211116.56 FMAC 2036-09-01 5.24% Government Agency Debt 28332035.08 19568940.48 FMAC 2037-08-01 5.14% Government Agency Debt 30585611.95 20757489.74 FNMA 2041-09-01 4.00% Government Agency Debt 20873062.16 22170519.07 FNMA 2042-01-01 4.00% Government Agency Debt 2937744.72 2906599.85 FNMA 2040-05-01 5.00% Government Agency Debt 14401627.75 11728751.53 FNMA 2040-07-01 3.36% Government Agency Debt 37702146.14 20485889.34 First Tier Security N/A N/A 2012-06-01 2012-06-01 N N N 223000000.00 223000000.00 0.0452 N/A N 223000000.00 223000000.00 DEUTSCHE BANK SECURITIES, INC. - MM REPO TRIPA MORTG 0.22 06/01/2012 TRIPARTY2 Government Agency Repurchase Agreement Y FNMA 2041-12-01 4.00% Government Agency Debt 2659370.63 2658179.65 GNMA 2040-10-20 4.00% Government Agency Debt 126569592.86 122430165.14 First Tier Security N/A N/A 2012-06-01 2012-06-01 N N N 122632000.00 122632000.00 0.0249 N/A N 122632000.00 122632000.00 GOLDMAN, SACHS & CO. REPO TRIPA MORTG 0.21 06/01/2012 TRIPARTY2 Government Agency Repurchase Agreement Y FMAC 2040-05-01 5.50% Government Agency Debt 60550000.00 52825018.82 FNMA 2039-08-01 4.50% Government Agency Debt 44265726.60 29408747.44 FNMA 2040-04-01 5.50% Government Agency Debt 60550000.00 52804688.15 FNMA 2040-08-01 5.00% Government Agency Debt 35252526.07 30481025.74 First Tier Security N/A N/A 2012-06-01 2012-06-01 N N N 162271000.00 162271000.00 0.0329 N/A N 162271000.00 162271000.00 UBS SECURITIES LLC - CNTRPTY REPO TRIPA MORTG 0.21 06/01/2012 TRIPARTY2 Government Agency Repurchase Agreement Y FMAC 2042-04-01 4.00% Government Agency Debt 20162025.00 21635367.95 FMAC 2042-04-01 3.50% Government Agency Debt 1959659.00 2049168.50 FNMA 2042-02-01 3.50% Government Agency Debt 117067379.00 122175464.47 First Tier Security N/A N/A 2012-06-01 2012-06-01 N N N 143000000.00 143000000.00 0.0290 N/A N 143000000.00 143000000.00 J.P. MORGAN SECURITIES REPO TRIPA CORPO 0.27 06/01/2012 TRIPARTY2 Other Repurchase Agreement N ALLEGHENY LUDLUM CORPORATION 2025-12-15 6.95% Other Note 314705.00 387821.71 ALLEGHENY TECHNOLOGIES INC NEW 2019-06-01 9.38% Other Note 884790.00 1131593.29 CLIFFS NATURAL RESOURCES INC. 2020-03-15 5.90% Other Note 7910.00 8858.28 CLIFFS NATURAL RESOURCES INC. 2040-10-01 6.25% Other Note 427140.00 454324.41 DELHAIZE AMERICA INC CLASS 2031-04-15 9.00% Other Note 791000.00 1011570.41 DELHAIZE GROUP 2017-06-15 6.50% Other Note 1707995.00 1930948.14 DELHAIZE GROUP 2014-02-01 5.88% Other Note 1420410.00 1529393.84 DOMTAR CORPORATION 2022-04-01 4.40% Other Note 7994750.00 7913238.63 ENTERGY CORP NEW 2017-01-15 4.70% Other Note 8215100.00 8764083.14 GLOBAL SANTA FE CORPORATION 2013-02-15 5.00% Other Note 27685.00 28697.81 LLOYDS TSB BNK PLC 2020-09-14 6.50% Other Note 252103.00 239669.84 NEXEN INC 2019-07-30 6.20% Other Note 9065425.00 10830523.79 PPL WEM HLDGS PLC 2021-05-01 5.38% Other Note 5650000.00 6213547.32 PPL WEM HLDGS PLC 2016-05-01 3.90% Other Note 1974675.00 2087498.03 PROLOGIS TRUST 2018-05-15 6.63% Other Note 571215.00 651957.75 TOPAZ SOLAR FARMS LLC 2039-09-30 5.75% Other Note 565000.00 575324.44 WYNDHAM WORLDWIDE CORPORATION 2020-03-01 7.38% Other Note 1084800.00 1336638.21 WYNDHAM WORLDWIDE CORPORATION 2021-03-01 5.63% Other Note 2918225.00 3247914.95 WYNDHAM WORLDWIDE CORPORATION 2017-03-01 2.95% Other Note 687605.00 692570.43 WYNDHAM WORLDWIDE CORPORATION 2022-03-01 4.25% Other Note 3390000.00 3466812.61 First Tier Security N/A N/A 2012-06-01 2012-06-01 N N N 50000000.00 50000000.00 0.0101 N/A N 50000000.00 50000000.00 FREDDIE MAC DISCOUNT NOTES FREDDIE MAC DISCOUNT NOTES 313396Q97 GDC 11/26/2012 313396Q97 Government Agency Debt First Tier Security N/A N/A 2012-11-26 2012-11-26 N N N 28918000.00 28896409.49 0.0059 N/A N 28899434.60 28899434.60 US BANK NA/CAYMAN ISLANDS US BANK NA/CAYMAN ISLANDS 99186U9S2 TD 06/01/2012 99186U9S2 Other Instrument Time Deposit First Tier Security N/A N/A 2012-06-01 2012-06-01 N N N 48000000.00 48000000.00 0.0097 N/A N 48000000.00 48000000.00