N-MFP LIVE N 2011-05-31 0001046292 S000009354 1 N N N N 333-35883 Goldman Sachs Asset Management, L.P. 801-37591 PricewaterhouseCoopers LLP Boston MA Goldman Sachs Asset Management, L.P. The Bank of New York Mellon Goldman, Sachs & Co. 0000734700 84-01100 N N Y Prime 35 75 138845559.98 95717.24 88274.00 138853003.22 0.0027 1.0001 2011-05-31 1.0001 2011-05-31 C000025638 1.00 138853003.22 1.00 22144322.91 27140737.06 4996414.15 0.0001 1.0001 2011-05-31 1.0001 2011-05-31 Amsterdam Funding Corp. Amsterdam Funding Corp. 0.320339% 03221KUJ9 Asset Backed Commercial Paper N First Tier Security N/A N/A 2011-07-18 2011-07-18 N N N 2000000.00 1999164.44 0.0144 N 1999460.00 1999460.00 Argento Variable Funding Co. LLC Argento Variable Funding Co. LLC 0.300232% 04014BU66 Asset Backed Commercial Paper N First Tier Security N/A N/A 2011-07-06 2011-07-06 N N N 2000000.00 1999416.67 0.0144 N 1999620.00 1999620.00 Atlantis One Funding Corp. Atlantis One Funding Corp. 0.280200% 04915UT90 Asset Backed Commercial Paper N First Tier Security N/A N/A 2011-06-09 2011-06-09 N N N 2000000.00 1999875.56 0.0144 N 1999960.00 1999960.00 BNP Paribas Securities Corp. BNP Paribas Securities Corp. 0.456199% 0556M53Y9 Other Note N First Tier Security N/A N/A 2011-06-09 2011-09-09 N N N 1000000.00 1000000.00 0.0072 N 1000280.00 1000280.00 BPCE SA BPCE SA 0.310298% 05571CW15 Financial Company Commercial Paper N First Tier Security N/A N/A 2011-09-01 2011-09-01 N N N 3000000.00 2997623.34 0.0216 N 2998050.00 2998050.00 Bank of Nova Scotia The Bank of Nova Scotia 0.300499% 06417D2A2 Other Note N First Tier Security N/A N/A 2011-08-11 2012-06-11 N N N 1000000.00 1000000.00 0.0072 N 999709.00 999709.00 California Bay Area Toll Authority California Bay Area Toll Authority Series C-2 0.120001% 072024NF5 Variable Rate Demand Note N First Tier Security N/A N/A 2011-06-07 2011-06-07 Y Morgan Stanley Bank, N.A. N/A N/A Y Morgan Stanley Bank, N.A. N/A N/A N 1000000.00 1000000.00 0.0072 N 1000000.00 1000000.00 BlackRock MuniEnhanced Fund, Inc., OT BlackRock MuniEnhanced Fund, Inc. 0.380001% 09253Y605 Variable Rate Demand Note N First Tier Security N/A N/A 2011-06-07 2011-06-07 Y Citibank, N.A. N/A N/A Y Citibank, N.A. N/A N/A N 300000.00 300000.00 0.0022 N 300000.00 300000.00 BlackRock MuniYield Quality Fund III, Inc., OT BlackRock MuniYield Quality Fund III, Inc. 0.380001% 09254E863 Variable Rate Demand Note N First Tier Security N/A N/A 2011-06-07 2011-06-07 Y Citibank, N.A. N/A N/A Y Citibank, N.A. N/A N/A N 300000.00 300000.00 0.0022 N 300000.00 300000.00 BlackRock MuniYield Investment Fund, OT BlackRock MuniYield Investment Fund 0.380001% 09254R500 Variable Rate Demand Note N First Tier Security N/A N/A 2011-06-07 2011-06-07 Y Citibank, N.A. N/A N/A Y Citibank, N.A. N/A N/A N 300000.00 300000.00 0.0022 N 300000.00 300000.00 California Health Facilities Financing Authority California Health Facilities Financing Authority Series H 0.150000% 13033FF54 Variable Rate Demand Note N First Tier Security N/A N/A 2011-06-07 2011-06-07 Y Bank of America, National Associ N/A N/A Y BANK OF AMERICA, NATIONAL ASSOCI N/A N/A N 1000000.00 1000000.00 0.0072 N 1000000.00 1000000.00 California State Department of Water Resources California State Department of Water Resources Series B-6 0.160001% 13066YAF6 Variable Rate Demand Note N First Tier Security N/A N/A 2011-06-07 2011-06-07 Y JP MORGAN CHASE BANK NATIONAL AS N/A N/A N N 1450000.00 1450000.00 0.0104 N 1450000.00 1450000.00 California Statewide Communities Development Authority California Statewide Communities Development Authority Series XX 0.179999% 13077V4J8 Variable Rate Demand Note N First Tier Security N/A N/A 2011-06-07 2011-06-07 Y FEDERAL NATIONAL MORTGAGE ASSOCI N/A N/A Y FEDERAL NATIONAL MORTGAGE ASSOCI N/A N/A N 700000.00 700000.00 0.0050 N 700000.00 700000.00 Chicago, IL Board of Education Chicago, IL Board of Education Series B 0.129998% 167505HV1 Variable Rate Demand Note N First Tier Security N/A N/A 2011-06-01 2011-06-01 Y U.S. BANK NATIONAL ASSOCIATION N/A N/A Y U.S. BANK NATIONAL ASSOCIATION N/A N/A N 600000.00 600000.00 0.0043 N 600000.00 600000.00 Colorado Educational & Cultural Facilities Authority Colorado Educational & Cultural Facilities Authority Series A 0.249999% 19645RFK2 Variable Rate Demand Note N First Tier Security N/A N/A 2011-06-07 2011-06-07 Y Bank of America, National Associ N/A N/A N N 1000000.00 1000000.00 0.0072 N 1000000.00 1000000.00 Connecticut State Health & Educational Facility Authority Connecticut State Health & Educational Facility Authority Series T-2 0.120001% 20774HB29 Variable Rate Demand Note N First Tier Security N/A N/A 2011-06-07 2011-06-07 Y Yale University N/A N/A N N 1500000.00 1500000.00 0.0108 N 1500000.00 1500000.00 Credit Industriel et Commercial Credit Industriel et Commercial 0.290000% 22536GFS5 Certificate of Deposit N First Tier Security N/A N/A 2011-09-02 2011-09-02 N N N 4000000.00 4000000.00 0.0288 N 4000000.00 4000000.00 Federal Home Loan Mortgage Corp. Federal Home Loan Mortgage Corp. 0.202251% 3128X8E24 Government Agency Debt N First Tier Security N/A N/A 2011-08-05 2011-08-05 N N N 300000.00 299989.32 0.0022 N 300134.10 300134.10 Federal Home Loan Mortgage Corp. Federal Home Loan Mortgage Corp. 0.121849% 3128X9UH1 Government Agency Debt N First Tier Security N/A N/A 2011-06-11 2012-01-11 N N N 1400000.00 1399571.27 0.0101 N 1399888.00 1399888.00 Federal Farm Credit Bank Federal Farm Credit Bank 0.154350% 31331JWU3 Government Agency Debt N First Tier Security N/A N/A 2011-06-27 2012-01-27 N N N 1000000.00 999749.90 0.0072 N 1000264.00 1000264.00 Federal Farm Credit Bank Federal Farm Credit Bank 0.310500% 31331JY49 Government Agency Debt N First Tier Security N/A N/A 2011-11-01 2012-11-01 N N N 200000.00 200000.00 0.0014 N 199991.60 199991.60 Federal Home Loan Bank Federal Home Loan Bank 0.158000% 313370FU7 Government Agency Debt N First Tier Security N/A N/A 2011-06-26 2012-01-26 N N N 1000000.00 999800.53 0.0072 N 1000272.00 1000272.00 Federal Home Loan Bank Federal Home Loan Bank 0.143251% 313370FV5 Government Agency Debt N First Tier Security N/A N/A 2011-08-03 2012-02-03 N N N 1000000.00 999788.54 0.0072 N 999881.00 999881.00 Federal Home Loan Bank Federal Home Loan Bank 0.143251% 313370FX1 Government Agency Debt N First Tier Security N/A N/A 2011-07-30 2012-01-30 N N N 1000000.00 999759.61 0.0072 N 999880.00 999880.00 Federal Home Loan Bank Federal Home Loan Bank 0.310000% 313371A22 Government Agency Debt N First Tier Security N/A N/A 2011-10-05 2011-10-05 N N N 1000000.00 999986.24 0.0072 N 1000757.00 1000757.00 Federal Home Loan Bank Federal Home Loan Bank 0.300000% 313371CV6 Government Agency Debt N First Tier Security N/A N/A 2011-10-21 2011-10-21 N N N 700000.00 700000.00 0.0050 N 700571.20 700571.20 Federal Home Loan Mortgage Corp. Federal Home Loan Mortgage Corp. 0.290831% 313396LR2 Government Agency Debt N First Tier Security N/A N/A 2011-09-13 2011-09-13 N N N 4000000.00 3996648.89 0.0288 N 3999424.00 3999424.00 Federal Home Loan Bank Federal Home Loan Bank 0.101998% 3133XWKY4 Government Agency Debt N First Tier Security N/A N/A 2011-06-11 2011-07-11 N N N 500000.00 499966.23 0.0036 N 499995.00 499995.00 Federal Home Loan Mortgage Corp. Federal Home Loan Mortgage Corp. 0.160498% 3134G2GJ5 Government Agency Debt N First Tier Security N/A N/A 2011-06-03 2013-05-03 N N N 1000000.00 999221.75 0.0072 N 999292.00 999292.00 Federal National Mortgage Assoc. Federal National Mortgage Assoc. Series BB 0.431841% 313588HV0 Government Agency Debt N First Tier Security N/A N/A 2011-07-07 2011-07-07 N N N 3000000.00 2998710.00 0.0216 N 2999880.00 2999880.00 Federal National Mortgage Assoc. Federal National Mortgage Assoc. 0.221248% 31398A7K2 Government Agency Debt N First Tier Security N/A N/A 2011-06-28 2012-12-28 N N N 1000000.00 999686.99 0.0072 N 1000938.00 1000938.00 Gemini Securitization Corp. LLC Gemini Securitization Corp. LLC 0.190029% 3686M1T30 Asset Backed Commercial Paper N First Tier Security N/A N/A 2011-06-03 2011-06-03 N N N 4000000.00 3999957.78 0.0288 N 3999960.00 3999960.00 Hannover Funding Co. LLC Hannover Funding Co. LLC 0.470933% 41068LWL6 Asset Backed Commercial Paper N First Tier Security N/A N/A 2011-09-20 2011-09-20 N N N 1000000.00 998550.84 0.0072 N 999220.00 999220.00 Indiana Finance Authority Indiana Finance Authority Series K 0.139999% 45471AEF5 Variable Rate Demand Note N First Tier Security N/A N/A 2011-06-01 2011-06-01 Y JPMorgan Chase & Co. N/A N/A N N 960000.00 960000.00 0.0069 N 960000.00 960000.00 Iowa Finance Authority Iowa Finance Authority Series D 0.120001% 462466CE1 Variable Rate Demand Note N First Tier Security N/A N/A 2011-06-01 2011-06-01 Y Bank of America, National Associ N/A N/A Y BANK OF AMERICA, NATIONAL ASSOCI N/A N/A N 1185000.00 1185000.00 0.0085 N 1185000.00 1185000.00 New Jersey JPMorgan Chase Putters/Drivers Trust New Jersey JPMorgan Chase Putters/Drivers Trust Series 3808 0.150000% 46633VZV4 Variable Rate Demand Note N First Tier Security N/A N/A 2011-06-01 2011-06-01 Y JPMorgan Chase & Co. N/A N/A N N 1000000.00 1000000.00 0.0072 N 1000000.00 1000000.00 JPMorgan Chase Bank NA JPMorgan Chase Bank NA 0.235249% 48125LAA0 Other Note N First Tier Security N/A N/A 2011-06-21 2012-06-21 N N N 3000000.00 3000000.00 0.0216 N 3000981.00 3000981.00 JPMorgan Chase Bank NA JPMorgan Chase Bank NA 0.303750% 48125LEB4 Other Note N First Tier Security N/A N/A 2011-07-18 2012-06-18 N N N 1000000.00 1000000.00 0.0072 N 1000028.00 1000028.00 Kells Funding LLC Kells Funding LLC 0.350377% 48802XBK1 Asset Backed Commercial Paper N First Tier Security N/A N/A 2011-06-08 2011-06-08 N N N 2000000.00 1999863.89 0.0144 N 1999940.00 1999940.00 Societe Generale Societe Generale 0.486201% 49863841 Other Note N First Tier Security N/A N/A 2011-06-09 2011-09-09 N N N 2000000.00 2000000.00 0.0144 N 2001280.00 2001280.00 Lloyds TSB Bank PLC Lloyds TSB Bank PLC 0.372250% 53943NG51 Other Note N First Tier Security N/A N/A 2011-08-05 2011-09-03 Y Lloyds TSB Bank PLC N/A N/A N N 2000000.00 2000000.00 0.0144 N 1999700.00 1999700.00 Lloyds TSB Bank PLC Lloyds TSB Bank PLC 0.445000% 53944AK95 Certificate of Deposit N First Tier Security N/A N/A 2011-07-05 2011-07-05 N N N 1000000.00 1000000.00 0.0072 N 1000220.00 1000220.00 Loudoun County, VA Industrial Development Authority Loudoun County, VA Industrial Development Authority Series C 0.139999% 545910AG6 Variable Rate Demand Note N First Tier Security N/A N/A 2011-06-07 2011-06-07 Y Howard Hughes Medical Institute N/A N/A N N 805000.00 805000.00 0.0058 N 805000.00 805000.00 Massachusetts Development Finance Agency Massachusetts Development Finance Agency Series K-2 0.099999% 57583R6F7 Variable Rate Demand Note N First Tier Security N/A N/A 2011-06-07 2011-06-07 Y Barclays Bank PLC N/A N/A N N 1000000.00 1000000.00 0.0072 N 1000000.00 1000000.00 Massachusetts Water Resources Authority Massachusetts Water Resources Authority Series A-3 0.150000% 576051BY1 Variable Rate Demand Note N First Tier Security N/A N/A 2011-06-07 2011-06-07 Y Wells Fargo Bank, N.A. N/A N/A N N 1300000.00 1300000.00 0.0094 N 1300000.00 1300000.00 County of Mecklenburg, NC County of Mecklenburg, NC Series A 0.179999% 584002JC4 Variable Rate Demand Note N First Tier Security N/A N/A 2011-06-07 2011-06-07 Y Wells Fargo Bank, N.A. N/A N/A N N 500000.00 500000.00 0.0036 N 500000.00 500000.00 Missouri State Health & Educational Facilities Authority Missouri State Health & Educational Facilities Authority Series A 0.200001% 60635R3F2 Variable Rate Demand Note N First Tier Security N/A N/A 2011-06-07 2011-06-07 Y Bank of America, National Associ N/A N/A Y BANK OF AMERICA, NATIONAL ASSOCI N/A N/A N 1100000.00 1100000.00 0.0079 N 1100000.00 1100000.00 Mitsubishi UFJ Trust and Banking Corp. Mitsubishi UFJ Trust and Banking Corp. 0.250000% 60681PF33 Certificate of Deposit N First Tier Security N/A N/A 2011-07-15 2011-07-15 N N N 2000000.00 2000000.00 0.0144 N 2000080.00 2000080.00 Mizuho Corporate Bank Mizuho Corporate Bank 0.260000% 60687CV79 Certificate of Deposit N First Tier Security N/A N/A 2011-07-05 2011-07-05 N N N 4000000.00 4000000.00 0.0288 N 4000040.00 4000040.00 NRW.Bank NRW.BANK 0.180044% 62939MTW7 Financial Company Commercial Paper N First Tier Security N/A N/A 2011-06-30 2011-06-30 N N N 2000000.00 1999710.00 0.0144 N 1999760.00 1999760.00 Nebraska Investment Finance Authority Nebraska Investment Finance Authority Series C 0.169998% 63968MDC0 Variable Rate Demand Note N First Tier Security N/A N/A 2011-06-07 2011-06-07 Y Federal Home Loan Bank System N/A N/A N N 1000000.00 1000000.00 0.0072 N 1000000.00 1000000.00 New York City, NY Transitional Finance Authority New York City, NY Transitional Finance Authority Series A-1 0.160001% 649716HA8 Variable Rate Demand Note N First Tier Security N/A N/A 2011-06-07 2011-06-07 Y WestLB AG N/A N/A N N 1000000.00 1000000.00 0.0072 N 1000000.00 1000000.00 New York City, NY Transitional Finance Authority New York City, NY Transitional Finance Authority Series B 0.249999% 649716R66 Variable Rate Demand Note N First Tier Security N/A N/A 2011-06-07 2011-06-07 Y WestLB AG N/A N/A N N 1000000.00 1000000.00 0.0072 N 1000000.00 1000000.00 New York City, NY Transitional Finance Authority New York City, NY Transitional Finance Authority Series 2F 0.139999% 64971KFG6 Variable Rate Demand Note N First Tier Security N/A N/A 2011-06-01 2011-06-01 Y Bayerische Landesbank N/A N/A N N 1085000.00 1085000.00 0.0078 N 1085000.00 1085000.00 New York Local Government Assistance Corp. New York Local Government Assistance Corp. Series B-7V 0.150000% 649876L23 Variable Rate Demand Note N First Tier Security N/A N/A 2011-06-07 2011-06-07 Y JPMorgan Chase Bank, N.A. N/A N/A N N 600000.00 600000.00 0.0043 N 600000.00 600000.00 Newport Funding Corp. Newport Funding Corp. 0.270186% 65184UU69 Asset Backed Commercial Paper N First Tier Security N/A N/A 2011-07-06 2011-07-06 N N N 2000000.00 1999475.00 0.0144 N 1999620.00 1999620.00 Norinchukin Bank The Norinchukin Bank 0.310000% 65602QBQ9 Certificate of Deposit N First Tier Security N/A N/A 2011-08-11 2011-08-11 N N N 2000000.00 2000000.00 0.0144 N 2000240.00 2000240.00 Northern Pines Funding LLC Northern Pines Funding LLC 0.360432% 66560LUM6 Asset Backed Commercial Paper N First Tier Security N/A N/A 2011-07-21 2011-07-21 N N N 2000000.00 1999000.00 0.0144 N 1999420.00 1999420.00 Georgia Private Colleges & Universities Authority Georgia Private Colleges & Universities Authority Series B-1 0.129998% 74265LSH2 Variable Rate Demand Note N First Tier Security N/A N/A 2011-06-07 2011-06-07 Y EMORY UNIVERSITY N/A N/A N N 1350000.00 1350000.00 0.0097 N 1350000.00 1350000.00 Rabobank Nederland NV Rabobank Nederland NV 0.400000% 74977MNR2 Certificate of Deposit N First Tier Security N/A N/A 2011-10-18 2011-10-18 N N N 1000000.00 1000000.00 0.0072 N 1000700.00 1000700.00 Rabobank Nederland NV Rabobank Nederland NV 0.330750% 74977RBR4 Other Note N First Tier Security N/A N/A 2011-08-16 2012-06-15 N N N 1000000.00 1000000.00 0.0072 N 1000357.00 1000357.00 Royal Bank of Scotland PLC Royal Bank of Scotland PLC 0.398001% 78011HY58 Other Note N First Tier Security N/A N/A 2011-06-16 2011-08-16 N N N 1000000.00 1000000.00 0.0072 N 999925.00 999925.00 Royal Park Investments Funding Corp. Royal Park Investments Funding Corp. 0.270060% 78064JEW3 Asset Backed Commercial Paper N First Tier Security N/A N/A 2011-06-24 2011-06-24 N N N 1000000.00 999827.50 0.0072 N 999900.00 999900.00 Royal Park Investments Funding Corp. Royal Park Investments Funding Corp. 0.310093% 78064RHN2 Asset Backed Commercial Paper N First Tier Security N/A N/A 2011-06-07 2011-06-07 N N N 2000000.00 1999896.67 0.0144 N 1999940.00 1999940.00 San Diego County, CA Water Authority San Diego County, CA Water Authority Series 2 0.220000% 79741MAA7 Other Municipal Debt N First Tier Security N/A N/A 2011-06-20 2011-06-20 N N N 1500000.00 1500000.00 0.0108 N 1500015.00 1500015.00 Standard Chartered Bank Standard Chartered Bank 0.290210% 85324UUB7 Financial Company Commercial Paper N First Tier Security N/A N/A 2011-07-11 2011-07-11 N N N 1500000.00 1499516.67 0.0108 N 1499670.00 1499670.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp. 0.300000% 86562G3X9 Certificate of Deposit N First Tier Security N/A N/A 2011-07-05 2011-07-05 N N N 1000000.00 1000000.00 0.0072 N 1000050.00 1000050.00 Tarrant County, TX Cultural Education Facilities Finance Corp. Tarrant County, TX Cultural Education Facilities Finance Corp. Series B 0.150000% 87638TCH4 Variable Rate Demand Note N First Tier Security N/A N/A 2011-06-07 2011-06-07 Y TEXAS HEALTH RESOURCES N/A N/A N N 1000000.00 1000000.00 0.0072 N 1000000.00 1000000.00 Tasman Funding, Inc. Tasman Funding, Inc. 0.270172% 87651CUE0 Asset Backed Commercial Paper N First Tier Security N/A N/A 2011-07-14 2011-07-14 N N N 1000000.00 999677.50 0.0072 N 999760.00 999760.00 State of Texas State of Texas 2.000000% 882722VC2 Other Municipal Debt N First Tier Security N/A N/A 2011-08-31 2011-08-31 N N N 650000.00 652630.15 0.0047 N 652886.00 652886.00 UBS AG UBS AG 0.353998% 90267AL53 Other Note N First Tier Security N/A N/A 2011-07-07 2011-10-07 N N N 2000000.00 2000000.00 0.0144 N 1999884.07 1999884.07 U.S. Treasury Note U.S. Treasury Note 0.750000% 912828MM9 Treasury Debt N First Tier Security N/A N/A 2011-11-30 2011-11-30 N N N 100000.00 100220.85 0.0007 N 100316.40 100316.40 University of Alabama University of Alabama Series B 0.399999% 914029X24 Variable Rate Demand Note N First Tier Security N/A N/A 2011-06-07 2011-06-07 Y University of Alabama System N/A N/A N N 900000.00 900000.00 0.0065 N 900000.00 900000.00 Westpac Banking Corp. Westpac Banking Corp. 0.332631% 91621CBS9 Other Note N First Tier Security N/A N/A 2011-07-07 2012-06-06 N N N 1000000.00 1000000.00 0.0072 N 997713.00 997713.00 Washington State Housing Finance Commission Washington State Housing Finance Commission Series A 0.190000% 93978PFK8 Variable Rate Demand Note N First Tier Security N/A N/A 2011-06-07 2011-06-07 Y FEDERAL NATIONAL MORTGAGE ASSOCI N/A N/A Y FEDERAL NATIONAL MORTGAGE ASSOCI N/A N/A N 795000.00 795000.00 0.0057 N 795000.00 795000.00 Washington State Housing Finance Commission Washington State Housing Finance Commission Series A 0.179999% 93978RDZ3 Variable Rate Demand Note N First Tier Security N/A N/A 2011-06-07 2011-06-07 Y FEDERAL NATIONAL MORTGAGE ASSOCI N/A N/A Y FEDERAL NATIONAL MORTGAGE ASSOCI N/A N/A N 1180000.00 1180000.00 0.0085 N 1180000.00 1180000.00 Westpac Securities NZ Ltd. Westpac Securities NZ Ltd. 0.347000% 96122JAU3 Other Note N First Tier Security N/A N/A 2011-08-04 2011-11-04 N N N 1000000.00 1000000.00 0.0072 N 999930.00 999930.00 Westpac Securities NZ Ltd. Westpac Securities NZ Ltd. 0.307000% 96122JAX7 Other Note N First Tier Security N/A N/A 2011-06-20 2011-10-18 N N N 1000000.00 1000000.00 0.0072 N 999860.00 999860.00 Credit Agricole Corporate & Investment Bank Credit Agricole Corporate & Investment Bank 0.330000% CED550W96 Certificate of Deposit N First Tier Security N/A N/A 2011-08-05 2011-08-05 N N N 2000000.00 2000036.07 0.0144 N 2000300.00 2000300.00 Credit Agricole SA Credit Agricole Corporate & Investment Bank 0.300000% CRAG Certificate of Deposit N First Tier Security N/A N/A 2011-09-06 2011-09-06 N N N 2000000.00 2000000.00 0.0144 N 1999940.00 1999940.00 Barclays Capital, Inc. Barclays Capital, Inc. 0.900000% 50929393779162BAR 0001484219 Other Repurchase Agreement N MICROCHIP TECHNOLOGY INC 2037-12-15 2.125000 Other Note 70000.00 99123.00 SMITHFIELD FOODS INC 2013-06-30 4.000000 Other Note 84000.00 98849.00 BIOMED REALTY LP 2030-01-15 3.750000 Other Note 81000.00 99563.00 HERTZ GLOBAL HOLDINGS IN 2014-06-01 5.250000 Other Note 47000.00 98289.00 KINETIC CONCEPTS INC 2015-04-15 3.250000 Other Note 76000.00 99876.00 RIGHTNOW TECHNOLOGIES 2030-11-15 2.500000 Other Note 80000.00 99089.00 THERAVANCE INC 2015-01-15 3.000000 Other Note 85000.00 99988.00 US AIRWAYS GROUP INC 2014-05-15 7.250000 Other Note 45000.00 98020.00 VERISIGN INC 2037-08-15 3.250000 Other Note 82000.00 98877.00 VIRGIN MEDIA INC 2016-11-15 6.500000 Other Note 52000.00 98625.00 VISHAY INTERTECHNOLOGY 2040-11-15 2.250000 Other Note 79000.00 98829.00 WESCO INTERNATIONAL INC 2029-09-15 6.000000 Other Note 6000.00 12699.00 First Tier Security N/A N/A 2011-09-03 2011-09-03 Y BARCLAYS CAPITAL, INC. N/A N/A N N 1000000.00 1000000.00 0.0072 N 999750.00 999750.00 Georgia Municipal Electric Authority Georgia Municipal Electric Authority 0.500000% 2800000CP Other Municipal Debt N First Tier Security N/A N/A 2011-08-03 2011-08-03 N Y Wells Fargo Bank, N.A. N/A N/A N 750000.00 750000.00 0.0054 N 750352.50 750352.50 Georgia Municipal Electric Authority Georgia Municipal Electric Authority 0.500000% 2900000CP Other Municipal Debt N First Tier Security N/A N/A 2011-08-03 2011-08-03 N Y Wells Fargo Bank, N.A. N/A N/A N 400000.00 400000.00 0.0029 N 400152.00 400152.00 Grampian Funding LLC Grampian Funding LLC 0.260167% 38501CV12 Asset Backed Commercial Paper N First Tier Security N/A N/A 2011-08-01 2011-08-01 N N N 4000000.00 3998237.78 0.0288 N 3999360.00 3999360.00 North Carolina Medical Care Commission North Carolina Medical Care Commission Series A 0.159998% 6582025C6 Variable Rate Demand Note N First Tier Security N/A N/A 2011-06-07 2011-06-07 Y WELLS FARGO BANK NATIONAL ASSOC N/A N/A N N 650000.00 650000.00 0.0047 N 650000.00 650000.00 BNP Paribas Securities Corp. BNP Paribas Securities Corp. 0.130000% 51006480779162BNP 0001197610 Government Agency Repurchase Agreement N FREDDIE MAC 2021-02-15 1.200000 Government Agency Debt 17467883.00 156124.00 FREDDIE MAC 2021-11-15 1055.562500 Government Agency Debt 31000.00 2103.00 FANNIE MAE 2021-06-25 0.000000 Government Agency Debt 4500000.00 11316.00 FREDDIE MAC 2024-09-15 3.500000 Government Agency Debt 1428571.00 129063.00 FREDDIE MAC 2025-07-15 4.000000 Government Agency Debt 1250000.00 127952.00 FREDDIE MAC 2040-01-15 5.000000 Government Agency Debt 600000.00 96956.00 FANNIE MAE 2033-05-25 6.500000 Government Agency Debt 7184000.00 83609.00 FANNIE MAE 2033-05-25 6.000000 Government Agency Debt 1519000.00 33504.00 FREDDIE MAC 2017-03-15 6.902000 Government Agency Debt 59277668.00 28740.00 FREDDIE MAC 2031-12-15 5.500000 Government Agency Debt 4427727.00 68792.00 FANNIE MAE 2033-08-25 0.000000 Government Agency Debt 300000.00 58154.00 FREDDIE MAC 2033-07-15 7.000000 Government Agency Debt 11100000.00 182551.00 FREDDIE MAC 2032-03-15 5.500000 Government Agency Debt 76773.00 63295.00 FREDDIE MAC 2033-06-15 5.000000 Government Agency Debt 213000.00 231434.00 FANNIE MAE 2036-10-25 6.500000 Government Agency Debt 3846153.00 173747.00 FREDDIE MAC 2037-07-15 0.648000 Government Agency Debt 600000.00 237374.00 FANNIE MAE 2034-05-25 4.000000 Government Agency Debt 1175000.00 149750.00 FANNIE MAE 2036-11-25 0.000000 Government Agency Debt 105932785.00 1617.00 GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2032-01-20 5.500000 Government Agency Debt 3850000.00 20556.00 GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2027-05-16 5.000000 Government Agency Debt 5370000.00 225619.00 First Tier Security N/A N/A 2011-06-07 2011-06-07 Y BNP PARIBAS SECURITIES CORP N/A N/A N N 2000000.00 2000000.00 0.0144 N 2000000.00 2000000.00 Morgan Stanley Morgan Stanley 1.272250% 51049236779162MOR 000000000 Other Repurchase Agreement N ACA ABS LTD 2041-06-10 3.559499 Other Note 6994919.00 55005.00 AAMES MORTGAGE INVESTMENT 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50000.00 5704.00 BAYVIEW COMMERCIAL ASSET TRUST 2037-07-25 1.194000 Other Note 60000.00 5709.00 BEAR STEARNS ASSET BACKED SECURITIES TRUST 2037-04-25 0.644000 Other Note 200000.00 16256.00 CBRE REALTY FINANCE CDO LTD 2052-04-07 1.043750 Other Note 48000000.00 492.00 COUNTRYWIDE ASSET-BACKED CERTIFICATES 2032-09-25 5.444000 Other Note 5855000.00 12142.00 CWCAPITAL COBALT 2050-04-26 1.023749 Other Note 2000000.00 57976.00 CWCAPITAL COBALT 2050-04-26 1.123750 Other Note 3000000.00 33440.00 CAPITAL TRUST RE CDO LTD 2050-03-20 1.695750 Other Note 500000.00 27029.00 CAPITAL TRUST RE CDO LTD 2050-03-20 2.295750 Other Note 1150000.00 9765.00 CAPMARK LTD 2036-08-15 0.898000 Other Note 2250000.00 940.00 CAPMARK LTD 2036-08-15 1.298000 Other Note 10000000.00 103.00 CAPMARK LTD 2036-08-15 1.498000 Other Note 2250000.00 1577.00 CARRINGTON MORTGAGE LOAN TRUST 2035-10-25 1.444000 Other Note 1950000.00 40634.00 CARRINGTON MORTGAGE LOAN TRUST 2035-10-25 1.594000 Other Note 500000.00 5617.00 CARRINGTON MORTGAGE LOAN TRUST 2036-01-25 1.544000 Other Note 1900000.00 36517.00 CBRE REALTY FINANCE CDO LTD 2046-03-25 1.494000 Other Note 7000000.00 1813.00 CBRE REALTY FINANCE CDO LTD 2046-03-25 5.000000 Other Note 6000000.00 1754.00 CENTEX HOME EQUITY 2036-06-25 1.074000 Other Note 2000000.00 30479.00 CHARLES FORT CDO LTD 2047-07-09 3.789499 Other Note 5037000.00 59.00 CITIGROUP MORTGAGE LOAN TRUST INC 2037-05-25 0.874000 Other Note 490000.00 5336.00 COMMODORE CDO LTD 2047-12-05 3.459499 Other Note 5000000.00 13030.00 COOLIDGE FUNDING LTD 2040-07-09 1.889500 Other Note 5000000.00 10745.00 COUNTRYWIDE ALTERNATIVE LOAN TRUST 2046-10-25 0.534000 Other Note 200000.00 8975.00 COUNTRYWIDE ASSET-BACKED CERTIFICATES 2047-06-25 2.544000 Other Note 1500000.00 30393.00 DAVIS SQUARE FUNDING LTD 2040-10-08 3.442629 Other Note 1074000.00 5063.00 DILLON READ CMBS CDO LTD 2046-12-05 1.009500 Other Note 5000000.00 50.00 DILLON READ CMBS CDO LTD 2046-12-05 1.109499 Other Note 5400000.00 54.00 DILLON READ CMBS 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INCORPORATE N/A N/A N N 2000000.00 2000000.00 0.0144 Y 1999480.00 1999480.00 Deutsche Bank Securities, Inc. Deutsche Bank Securities, Inc. 0.460000% 51433614779162DEU 0001074042 Other Repurchase Agreement N CALLAWAY GOLF CO 2011-05-31 7.500000 Other Instrument CONVERTIBLE PREFERRED SHARES 1700.00 190636.00 CHESAPEAKE ENERGY CORP 2011-05-31 5.000000 Other Instrument CONVERTIBLE PREFERRED SHARES 2000.00 200000.00 CROWN CASTLE INTL CORP 2011-05-31 6.250000 Other Instrument CONVERTIBLE PREFERRED SHARES 3300.00 197588.00 DIGITAL REALTY TRUST INC 2011-05-31 5.500000 Other Instrument CONVERTIBLE PREFERRED SHARES 8000.00 200000.00 DORAL FINANCIAL CORP 2011-05-31 4.750000 Other Instrument CONVERTIBLE PREFERRED SHARES 1500.00 187032.00 GOODRICH PETROLEUM CORP 2011-05-31 5.375000 Other Instrument CONVERTIBLE PREFERRED SHARES 4500.00 199350.00 HUMAN GENOME SCIENCES 2011-10-15 2.250000 Other Note 114000.00 198688.00 NEWELL FINANCIAL TRUST I 2011-05-31 5.250000 Other Instrument CONVERTIBLE PREFERRED SHARES 4350.00 196838.00 RAMBUS INC 2014-06-15 5.000000 Other Note 26000.00 29427.00 SKYWORKS SOLUTIONS INC 2012-03-01 1.500000 Other Note 2000.00 5388.00 ALEXANDRIA REAL ESTATE EQ INPFD CONV 2011-05-31 0.000000 Other Instrument CONVERTIBLE PREFERRED SHARES 7500.00 199658.00 PETROQUEST ENERGY INC 2011-05-31 6.875000 Other Instrument CONVERTIBLE PREFERRED SHARES 4617.00 199108.00 SANDRIDGE ENERGY INC 2011-05-31 8.500000 Other Instrument CONVERTIBLE PREFERRED SHARES 1300.00 196300.00 First Tier Security N/A N/A 2011-06-01 2011-06-01 N N N 2000000.00 2000000.00 0.0144 N 2000000.00 2000000.00 BNP Paribas Securities Corp. BNP Paribas Securities Corp. 0.230000% 514336247791622BN 0001197610 Other Repurchase Agreement N FED REPUBLIC OF BRAZIL 2014-07-14 10.500000 Other Note 1610121.00 2100000.00 First Tier Security N/A N/A 2011-06-01 2011-06-01 N N N 2000000.00 2000000.00 0.0144 N 2000000.00 2000000.00 Barclays Capital, Inc. Joint Account III 0.110000% 51435991779162BAR 0001484219 Government Agency Repurchase Agreement N U.S. TREASURY 2018-04-30 2.625000 Treasury Debt 3658753.02 3728014.23 First Tier Security N/A N/A 2011-06-01 2011-06-01 N N N 3654915.88 3654915.88 0.0263 N 3654915.88 3654915.88 Citibank, N.A. Joint Account III 0.140000% 514359917791622CI 0000840464 Government Agency Repurchase Agreement N FREDDIE MAC 2034-12-01 5.000000 Government Agency Debt 36549.16 14264.44 FREDDIE MAC 2028-07-01 5.500000 Government Agency Debt 26106.54 14224.19 FREDDIE MAC 2028-11-01 5.500000 Government Agency Debt 28717.20 13888.09 FREDDIE MAC 2036-01-01 5.500000 Government Agency Debt 43017.64 14247.26 FREDDIE MAC 2037-06-01 6.000000 Government Agency Debt 47624.35 13672.78 FREDDIE MAC 2037-11-01 6.000000 Government Agency Debt 44767.86 14322.87 FREDDIE MAC 2022-01-01 5.500000 Government Agency Debt 52213.08 13943.18 FREDDIE MAC 2027-04-01 5.500000 Government Agency Debt 42292.60 14295.45 FREDDIE MAC 2021-02-01 4.500000 Government Agency Debt 27019.75 14056.44 FREDDIE MAC 2019-07-01 4.000000 Government Agency Debt 19303.06 13698.37 FREDDIE MAC 2025-12-01 4.000000 Government Agency Debt 13693.31 14036.41 FREDDIE MAC 2026-01-01 3.500000 Government Agency Debt 14001.35 13946.73 FREDDIE MAC 2026-03-01 4.500000 Government Agency Debt 13343.04 14135.49 FREDDIE MAC 2026-05-01 3.500000 Government Agency Debt 13109.81 13422.66 FREDDIE MAC 2040-05-01 5.000000 Government Agency Debt 15663.93 14173.92 FREDDIE MAC 2039-07-01 5.500000 Government Agency Debt 14604.68 14030.15 FREDDIE MAC 2039-11-01 5.000000 Government Agency Debt 18419.21 13657.99 FREDDIE MAC 2040-12-01 4.000000 Government Agency Debt 13526.55 13523.62 FREDDIE MAC 2040-12-01 4.000000 Government Agency Debt 13385.19 13357.07 FREDDIE MAC 2041-02-01 5.000000 Government Agency Debt 13042.23 13981.28 FREDDIE MAC 2041-01-01 5.500000 Government Agency Debt 12428.40 13454.63 FREDDIE MAC 2018-10-01 4.500000 Government Agency Debt 52213.08 14166.85 FREDDIE MAC 2018-12-01 4.500000 Government Agency Debt 52213.08 13974.06 FREDDIE MAC 2019-03-01 4.500000 Government Agency Debt 57133.38 13789.26 FREDDIE MAC 2033-10-01 5.500000 Government Agency Debt 52336.42 13592.75 FREDDIE MAC 2033-12-01 5.500000 Government Agency Debt 105810.64 13264.56 FREDDIE MAC 2034-03-01 5.000000 Government Agency Debt 52521.29 14181.04 FREDDIE MAC 2040-12-01 5.000000 Government Agency Debt 12407.57 13253.09 FREDDIE MAC 2020-12-01 5.500000 Government Agency Debt 44351.70 13811.37 FANNIE MAE 2036-11-01 5.500000 Government Agency Debt 38761.99 14107.00 FANNIE MAE 2023-07-01 5.500000 Government Agency Debt 64535.37 13706.64 FANNIE MAE 2013-12-01 4.000000 Government Agency Debt 139880.08 13771.99 FANNIE MAE 2024-01-01 5.500000 Government Agency Debt 52531.84 13402.63 FANNIE MAE 2035-10-01 4.500000 Government Agency Debt 24067.36 13379.21 FANNIE MAE 2040-12-01 4.500000 Government Agency Debt 12866.87 13325.77 FANNIE MAE 2041-03-01 4.500000 Government Agency Debt 13446.93 14010.10 FANNIE MAE 2026-01-01 3.500000 Government Agency Debt 14048.24 14107.22 FANNIE MAE 2041-02-01 4.500000 Government Agency Debt 13199.03 13761.38 FANNIE MAE 2021-01-01 3.500000 Government Agency Debt 14058.44 14063.22 FANNIE MAE 2041-02-01 4.500000 Government Agency Debt 13203.27 13705.61 FANNIE MAE 2026-01-01 4.000000 Government Agency Debt 12918.10 13335.54 FANNIE MAE 2041-01-01 4.500000 Government Agency Debt 13529.70 14066.60 FANNIE MAE 2026-03-01 4.000000 Government Agency Debt 12917.84 13403.16 FANNIE MAE 2041-03-01 4.500000 Government Agency Debt 12716.43 13260.96 FANNIE MAE 2018-03-01 4.500000 Government Agency Debt 78319.63 13872.73 FANNIE MAE 2033-05-01 5.500000 Government Agency Debt 80162.04 14053.48 FANNIE MAE 2033-06-01 5.000000 Government Agency Debt 3997.33 1362.53 FANNIE MAE 2033-06-01 5.500000 Government Agency Debt 59833.90 13894.92 FANNIE MAE 2018-12-01 5.000000 Government Agency Debt 53100.71 13502.62 FANNIE MAE 2035-02-01 5.500000 Government Agency Debt 43597.93 14240.65 FANNIE MAE 2035-10-01 5.000000 Government Agency Debt 28717.20 13468.70 FANNIE MAE 2036-05-01 5.500000 Government Agency Debt 33416.37 13500.18 FANNIE MAE 2019-02-01 5.000000 Government Agency Debt 46991.78 13613.83 FANNIE MAE 2033-12-01 5.500000 Government Agency 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