N-MFP2 0001227155 XXXXXXXX 2017-07-31 0001227155 S000004153 8 N N 333-104972 Morgan Stanley Investment Management, Inc. 801-15757 Ernst & Young LLP Boston MA Morgan Stanley Investment Management, Inc. 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Govt Standard and Poor's Ratings Services AA+ 2017-08-01 2019-01-31 2019-01-31 N N N 0.0120 255480165.00 255480165.00 0.0159 N Y Y N Bank of Nova Scotia Bank of Nova Scotia 1.032800% L3I9ZG2KFGXZ61BMYR72 0001041839 ARP0CLCJ0_1.03_0807 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N U.S. Treasury Note 2024-07-15 0.125000 25600000.00 26101434.28 U.S. Treasuries (including strips) U.S. Treasury Note 2022-07-15 0.125000 12000000.00 12900695.59 U.S. Treasuries (including strips) U.S. Treasury Note 2025-01-15 0.250000 54300000.00 55506102.20 U.S. Treasuries (including strips) U.S. Treasury Note 2017-11-30 0.625000 636000.00 635569.38 U.S. Treasuries (including strips) U.S. Treasury Note 2021-07-15 0.625000 376800.00 420894.13 U.S. Treasuries (including strips) U.S. Treasury Note 2018-04-30 0.625000 445000.00 443715.06 U.S. Treasuries (including strips) U.S. Treasury Note 2026-01-15 0.625000 18800000.00 19605263.76 U.S. Treasuries (including strips) U.S. Treasury Note 2018-10-31 0.750000 33500000.00 33362827.88 U.S. Treasuries (including strips) U.S. Treasury Note 2018-05-15 1.000000 7392200.00 7394361.41 U.S. Treasuries (including strips) U.S. Treasury Note 2021-01-15 1.125000 40700000.00 47422268.90 U.S. Treasuries (including strips) U.S. Treasury Note 2019-03-31 1.250000 112000000.00 111464945.83 U.S. Treasuries (including strips) U.S. Treasury Note 2019-12-15 1.375000 671100.00 671735.46 U.S. Treasuries (including strips) U.S. Treasury Note 2020-10-31 1.375000 20200000.00 20169549.22 U.S. Treasuries (including strips) U.S. Treasury Note 2020-09-30 1.375000 50200.00 50147.71 U.S. Treasuries (including strips) U.S. Treasury Note 2020-05-31 1.375000 155700.00 155618.91 U.S. Treasuries (including strips) U.S. Treasury Note 2020-01-15 1.375000 4064200.00 4772557.01 U.S. Treasuries (including strips) U.S. Treasury Bond 2044-02-15 1.375000 1100.00 1263.98 U.S. Treasuries (including strips) U.S. Treasury Note 2020-04-15 1.500000 425000.00 427314.23 U.S. Treasuries (including strips) U.S. Treasury Note 2020-06-30 1.625000 5370900.00 5396714.62 U.S. Treasuries (including strips) U.S. Treasury Note 2020-10-31 1.750000 2000000.00 2020312.50 U.S. Treasuries (including strips) U.S. Treasury Note 2022-09-30 1.750000 4959400.00 4958871.00 U.S. Treasuries (including strips) U.S. Treasury Note 2023-05-15 1.750000 77900000.00 77285330.93 U.S. Treasuries (including strips) U.S. Treasury Note 2022-03-31 1.875000 6468900.00 6529545.94 U.S. Treasuries (including strips) U.S. Treasury Note 2026-11-15 2.000000 27000000.00 26512912.55 U.S. Treasuries (including strips) U.S. Treasury Note 2022-07-31 2.000000 562000.00 566215.00 U.S. Treasuries (including strips) U.S. Treasury Note 2020-07-31 2.000000 98000000.00 99400000.00 U.S. Treasuries (including strips) U.S. Treasury Note 2023-11-30 2.125000 55000000.00 55494796.63 U.S. Treasuries (including strips) U.S. Treasury Note 2020-08-31 2.125000 397000.00 407516.99 U.S. Treasuries (including strips) U.S. Treasury Note 2022-06-30 2.125000 136000.00 138097.13 U.S. Treasuries (including strips) U.S. Treasury Note 2024-03-31 2.125000 13600000.00 13796470.04 U.S. Treasuries (including strips) U.S. Treasury Bond 2041-02-15 2.125000 3216300.00 4526754.45 U.S. Treasuries (including strips) U.S. Treasury Bond 2025-01-15 2.375000 25500000.00 38034237.87 U.S. Treasuries (including strips) U.S. Treasury Note 2023-08-15 2.500000 5000.00 5203.02 U.S. Treasuries (including strips) U.S. Treasury Note 2024-05-15 2.500000 101000000.00 103525875.48 U.S. Treasuries (including strips) U.S. Treasury Bond 2046-05-15 2.500000 69900.00 64769.41 U.S. Treasuries (including strips) U.S. Treasury Bond 2046-02-15 2.500000 300.00 280.10 U.S. Treasuries (including strips) U.S. Treasury Bond 2045-11-15 3.000000 46100000.00 47289104.03 U.S. Treasuries (including strips) U.S. Treasury Bond 2045-05-15 3.000000 701000.00 720296.55 U.S. Treasuries (including strips) U.S. Treasury Bond 2044-08-15 3.125000 53100000.00 56260213.80 U.S. Treasuries (including strips) U.S. Treasury Bond 2044-05-15 3.375000 8754900.00 9647390.45 U.S. Treasuries (including strips) U.S. Treasury Note 2018-11-15 3.750000 21000000.00 21764499.62 U.S. Treasuries (including strips) U.S. Treasury Bond 2040-08-15 3.875000 1700.00 2040.39 U.S. Treasuries (including strips) U.S. Treasury Bond 2039-05-15 4.250000 200.00 250.86 U.S. Treasuries (including strips) U.S. Treasury Bond 2036-02-15 4.500000 27000.00 35234.33 U.S. Treasuries (including strips) U.S. Treasury Bond 2040-02-15 4.625000 1100000.00 1464846.42 U.S. Treasuries (including strips) U.S. Treasury Bond 2031-02-15 5.375000 600.00 819.73 U.S. Treasuries (including strips) Y Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-08-07 2017-08-07 2017-09-21 Y Bank of Nova Scotia 1.0000 7 N Moody's Investors Service, Inc. 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P-1 Standard and Poor's Ratings Services A-1 2017-08-07 2017-08-07 2017-09-20 Y BANK OF MONTREAL 1.0000 7 N Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 N N 0.0100 100000000.00 100000000.00 0.0062 N N Y N Bank of Montreal Bank of Montreal 1.000000% NQQ6HPCNCCU6TUTQYE16 0000009622 ARP0E8O88_1.00_0807 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N U.S. Treasury Bill 2017-12-14 NA 280000.00 278864.83 U.S. Treasuries (including strips) U.S. Treasury Bill 2017-12-07 NA 163300.00 162677.28 U.S. Treasuries (including strips) U.S. Treasury Bill 2017-11-24 NA 600000.00 597858.00 U.S. Treasuries (including strips) U.S. Treasury Bill 2017-11-09 NA 298000.00 297070.24 U.S. Treasuries (including strips) U.S. Treasury Bill 2017-11-02 NA 3000000.00 2991431.67 U.S. Treasuries (including strips) U.S. Treasury Bill 2017-10-05 NA 1400000.00 1397182.50 U.S. Treasuries (including strips) U.S. Treasury Bill 2017-09-28 NA 12000.00 11979.95 U.S. Treasuries (including strips) U.S. Treasury Bill 2017-09-07 NA 123000.00 122865.52 U.S. Treasuries (including 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Treasuries (including strips) U.S. Treasury Bond 2044-05-15 3.375000 15000.00 16529.13 U.S. Treasuries (including strips) U.S. Treasury Note 2018-02-15 3.500000 14200.00 14605.41 U.S. Treasuries (including strips) U.S. Treasury Bond 2039-02-15 3.500000 142900.00 162788.07 U.S. Treasuries (including strips) U.S. Treasury Note 2021-02-15 3.625000 14300.00 15525.30 U.S. Treasuries (including strips) U.S. Treasury Note 2020-02-15 3.625000 800.00 857.05 U.S. Treasuries (including strips) U.S. Treasury Bond 2043-11-15 3.750000 3200.00 3753.62 U.S. Treasuries (including strips) U.S. Treasury Bond 2041-08-15 3.750000 180600.00 213018.81 U.S. Treasuries (including strips) U.S. Treasury Bond 2038-05-15 4.500000 45000.00 58338.26 U.S. Treasuries (including strips) U.S. Treasury Bond 2036-02-15 4.500000 3100.00 4045.42 U.S. Treasuries (including strips) U.S. Treasury Bond 2037-02-15 4.750000 64900.00 87448.97 U.S. Treasuries (including strips) U.S. Treasury Bond 2031-02-15 5.375000 624500.00 853198.33 U.S. Treasuries (including strips) U.S. Treasury Bond 2028-08-15 5.500000 7400.00 9855.48 U.S. Treasuries (including strips) U.S. Treasury Bond 2029-08-15 6.125000 20000.00 28395.34 U.S. Treasuries (including strips) U.S. Treasury Bond 2023-08-15 6.250000 10000.00 12727.23 U.S. Treasuries (including strips) U.S. Treasury Bond 2030-05-15 6.250000 100000.00 143647.74 U.S. Treasuries (including strips) U.S. Treasury Bond 2027-08-15 6.375000 40000.00 55825.74 U.S. Treasuries (including strips) U.S. Treasury Bond 2026-11-15 6.500000 48000.00 65762.43 U.S. Treasuries (including strips) U.S. Treasury Bond 2027-02-15 6.625000 41000.00 57601.35 U.S. Treasuries (including strips) U.S. Treasury Bond 2026-08-15 6.750000 50000.00 70094.53 U.S. Treasuries (including strips) U.S. Treasury Bond 2024-11-15 7.500000 944800.00 1306250.18 U.S. Treasuries (including strips) U.S. Treasury Bond 2022-11-15 7.625000 3000.00 3913.64 U.S. Treasuries (including strips) U.S. Treasury Bond 2025-02-15 7.625000 500.00 710.45 U.S. Treasuries (including strips) U.S. Treasury Bond 2020-08-15 8.750000 1375000.00 1723862.33 U.S. Treasuries (including strips) U.S. Treasury Bond 2018-11-15 9.000000 21000.00 23490.63 U.S. Treasuries (including strips) Y Moody's Investors Service, Inc. NR Standard and Poor's Ratings Services A-1 2017-08-07 2017-08-07 2017-09-20 Y BMO CAPITAL MARKETS CORP 1.0000 7 N Moody's Investors Service, Inc. NR Standard and Poor's Ratings Services A-1 N N 0.0100 50000000.00 50000000.00 0.0031 N N Y N Wells Fargo Securities LLC Wells Fargo Securities LLC 1.120000% 0000072971 ARP0ECLU3_1.12_0921 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N U.S. Treasury Note 2017-08-31 0.625000 962500.00 964549.89 U.S. Treasuries (including strips) U.S. Treasury Note 2018-03-15 1.000000 11700000.00 11743920.75 U.S. Treasuries (including strips) U.S. Treasury Note 2018-10-31 1.250000 5020100.00 5033227.56 U.S. Treasuries (including strips) U.S. Treasury Note 2019-03-31 1.250000 14000000.00 14058305.00 U.S. Treasuries (including strips) U.S. Treasury Note 2018-12-31 1.375000 1619500.00 1622894.13 U.S. Treasuries (including strips) U.S. Treasury Note 2018-11-30 1.375000 8136000.00 8162272.50 U.S. Treasuries (including strips) U.S. Treasury Note 2018-06-30 1.375000 24900000.00 24928839.06 U.S. Treasuries (including strips) U.S. Treasury Note 2020-03-31 1.375000 27400000.00 27525756.12 U.S. Treasuries (including strips) U.S. Treasury Note 2020-06-15 1.500000 4004000.00 4012799.77 U.S. Treasuries (including strips) U.S. Treasury Note 2020-05-31 1.500000 48000000.00 48119906.75 U.S. Treasuries (including strips) U.S. Treasury Note 2019-01-31 1.500000 2064500.00 2069983.83 U.S. Treasuries (including strips) U.S. Treasury Note 2021-11-30 1.750000 1688400.00 1693054.36 U.S. Treasuries (including strips) U.S. Treasury Note 2022-07-31 1.875000 105000000.00 105000000.00 U.S. Treasuries (including strips) Y Moody's Investors Service, Inc. NR Standard and Poor's Ratings Services A-1+ 2017-09-21 2017-09-21 2017-09-21 N N N 0.0112 250000000.00 250000000.00 0.0156 N N N Y BNP Paribas Securities Corp. 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P-1 Standard and Poor's Ratings Services A-1 2017-08-07 2017-08-07 2017-09-21 Y BNP Paribas SA 1.0000 7 N Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 N N 0.0108 250000000.00 250000000.00 0.0156 N N Y N Wells Fargo Securities LLC Wells Fargo Securities LLC 1.120000% 0000072971 ARP0ED7Q6_1.12_0921 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N U.S. Treasury Note 2017-08-15 0.875000 6792500.00 6819550.66 U.S. Treasuries (including strips) U.S. Treasury Note 2017-09-15 1.000000 2145800.00 2153696.54 U.S. Treasuries (including strips) U.S. Treasury Note 2018-02-15 1.000000 7202500.00 7229621.99 U.S. Treasuries (including strips) U.S. Treasury Note 2018-11-30 1.375000 15900000.00 15936414.58 U.S. Treasuries (including strips) U.S. Treasury Note 2020-02-28 1.375000 933700.00 937578.79 U.S. Treasuries (including strips) U.S. Treasury Note 2020-02-15 1.375000 25800000.00 25962698.74 U.S. Treasuries (including strips) U.S. Treasury Note 2018-12-31 1.500000 18200000.00 18323019.14 U.S. Treasuries (including strips) U.S. Treasury Note 2019-11-30 1.500000 1179800.00 1185514.66 U.S. Treasuries (including strips) U.S. Treasury Note 2019-05-31 1.500000 3220900.00 3238011.03 U.S. Treasuries (including strips) U.S. Treasury Note 2020-05-15 1.500000 12300000.00 12338490.06 U.S. Treasuries (including strips) U.S. Treasury Note 2020-11-30 1.625000 9091400.00 9126659.48 U.S. Treasuries (including strips) U.S. Treasury Note 2020-07-31 1.625000 49700000.00 49900000.00 U.S. Treasuries (including strips) U.S. Treasury Note 2019-07-31 1.625000 13800000.00 13900000.00 U.S. Treasuries (including strips) U.S. Treasury Note 2020-06-30 1.625000 636900.00 639961.19 U.S. Treasuries (including strips) U.S. Treasury Note 2022-03-31 1.750000 1563500.00 1568586.59 U.S. Treasuries (including strips) U.S. Treasury Note 2022-10-31 1.875000 37600000.00 37776416.88 U.S. Treasuries (including strips) U.S. Treasury Note 2022-01-31 1.875000 22500000.00 22600000.00 U.S. Treasuries (including strips) Y Moody's Investors Service, Inc. NR Standard and Poor's Ratings Services A-1+ 2017-09-21 2017-09-21 2017-09-21 N N N 0.0112 225000000.00 225000000.00 0.0140 N N N Y RBC Capital Markets LLC RBC Capital Markets LLC 1.090000% 549300LCO2FLSSVFFR64 0000050916 ARP0EE222_1.09_0914 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N U.S. Treasury Note 2021-10-31 1.250000 30700000.00 30195981.56 U.S. Treasuries (including strips) U.S. Treasury Note 2018-07-31 1.375000 5983300.00 5989844.23 U.S. Treasuries (including strips) U.S. Treasury Note 2023-10-31 1.625000 9391100.00 9215416.00 U.S. Treasuries (including strips) U.S. Treasury Bond 2026-01-15 2.000000 4117600.00 5723386.35 U.S. Treasuries (including strips) U.S. Treasury Note 2020-02-15 3.625000 95100000.00 101580971.79 U.S. Treasuries (including strips) Y Moody's Investors Service, Inc. 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P-1 Standard and Poor's Ratings Services A-1 2017-09-21 2017-09-21 2017-09-21 N N N 0.0109 75000000.00 75000000.00 0.0047 N N N Y RBC Capital Markets LLC RBC Capital Markets LLC 1.050000% 549300LCO2FLSSVFFR64 0000050916 ARP0EGNJ7_1.05_0807 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N U.S. Treasury Note 2021-04-15 0.125000 27200000.00 28110254.81 U.S. Treasuries (including strips) U.S. Treasury Note 2025-01-15 0.250000 701000.00 716118.50 U.S. Treasuries (including strips) U.S. Treasury Note 2018-02-15 1.000000 802100.00 805120.42 U.S. Treasuries (including strips) U.S. Treasury Floating Rate Note 2018-04-30 1.373500 229000.00 230039.03 U.S. Treasuries (including strips) U.S. Treasury Note 2024-03-31 2.125000 10000000.00 10171022.46 U.S. Treasuries (including strips) U.S. Treasury Note 2024-02-28 2.125000 56600000.00 57299824.91 U.S. Treasuries (including strips) U.S. Treasury Note 2024-08-15 2.375000 22700000.00 23447645.63 U.S. Treasuries (including strips) U.S. Treasury Note 2019-02-15 2.750000 5016000.00 5188195.50 U.S. Treasuries (including strips) U.S. Treasury Bond 2042-08-15 2.750000 291100.00 289085.73 U.S. Treasuries (including strips) U.S. Treasury Bond 2032-04-15 3.375000 4287300.00 8222690.17 U.S. Treasuries (including strips) U.S. Treasury Note 2018-11-15 3.750000 4217000.00 4380551.99 U.S. Treasuries (including strips) U.S. Treasury Bond 2043-11-15 3.750000 54400000.00 63827168.75 U.S. Treasuries (including strips) U.S. Treasury Note 2018-05-15 3.875000 617800.00 635551.26 U.S. Treasuries (including strips) U.S. Treasury Bond 2038-02-15 4.375000 370400.00 476509.29 U.S. Treasuries (including strips) U.S. Treasury Strip 2041-08-15 NA 465000.00 230584.20 U.S. Treasuries (including strips) Y Moody's Investors Service, Inc. 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P-1 Standard and Poor's Ratings Services A-1 2017-08-02 2017-08-02 2017-08-02 N N N 0.0104 400000000.00 400000000.00 0.0250 N N Y N TD Securities USA LLC TD Securities USA LLC 1.040000% SUVUFHICNZMP2WKHG940 0001335977 ARP0EMXZ7_1.04_0803 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N U.S. Treasury Note 2019-01-31 1.125000 20000000.00 19900000.00 U.S. Treasuries (including strips) U.S. Treasury Note 2018-12-15 1.250000 19500000.00 19530635.25 U.S. Treasuries (including strips) U.S. Treasury Note 2026-05-15 1.625000 44200000.00 42150242.82 U.S. Treasuries (including strips) U.S. Treasury Note 2022-06-30 1.750000 4739600.00 4729003.13 U.S. Treasuries (including strips) U.S. Treasury Note 2022-05-31 1.750000 16100000.00 16046883.38 U.S. Treasuries (including strips) U.S. Treasury Note 2021-07-31 2.250000 735900.00 751309.75 U.S. Treasuries (including strips) U.S. Treasury Note 2020-05-15 3.500000 17300000.00 18326574.19 U.S. Treasuries (including strips) U.S. Treasury Bond 2043-08-15 3.625000 27200000.00 31452308.21 U.S. Treasuries (including strips) Y Moody's Investors Service, Inc. 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NR Standard and Poor's Ratings Services A-1 2017-08-01 2017-08-01 2017-08-01 N N N 0.0104 251442275.00 251442275.00 0.0157 N Y Y N Federal Reserve Bank of New York Federal Reserve Bank of New York 1.000000% 0001457970 ARP0ENGT8_1.00_0801 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N U.S. Treasury Note 2023-02-15 2.000000 1160000000.00 1170600000.00 U.S. Treasuries (including strips) Y Moody's Investors Service, Inc. NR Standard and Poor's Ratings Services A-1+ 2017-08-01 2017-08-01 2017-08-01 N N N 0.0100 1175000000.00 1175000000.00 0.0733 N Y Y N Nomura Securities Nomura Securities 1.040000% OXTKY6Q8X53C9ILVV871 0000902266 ARP0ENHY6_1.04_0801 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N U.S. Treasury Bill 2018-04-26 NA 731100.00 724802.79 U.S. Treasuries (including strips) U.S. Treasury Note 2023-01-15 0.125000 41000000.00 43302359.47 U.S. Treasuries (including strips) U.S. Treasury Note 2019-05-31 1.125000 5773900.00 5763073.94 U.S. Treasuries (including strips) U.S. Treasury Note 2020-07-15 1.250000 3543100.00 4149155.26 U.S. Treasuries (including strips) U.S. Treasury Floating Rate Note 2018-07-31 1.357500 17200000.00 17250786.00 U.S. Treasuries (including strips) U.S. Treasury Note 2020-01-31 1.375000 39300000.00 39300000.00 U.S. Treasuries (including strips) U.S. Treasury Bond 2028-04-15 3.625000 71700000.00 143149924.55 U.S. Treasuries (including strips) U.S. Treasury Strip 2045-11-15 NA 1148685.01 491889.90 U.S. Treasuries (including strips) U.S. Treasury Strip 2042-11-15 NA 445727.88 208400.07 U.S. Treasuries (including strips) U.S. Treasury Strip 2031-08-15 NA 71.00 48.97 U.S. Treasuries (including strips) U.S. Treasury Strip 2037-05-15 NA 476576.25 271662.76 U.S. Treasuries (including strips) Y Moody's Investors Service, Inc. NR Standard and Poor's Ratings Services A-2 2017-08-01 2017-08-01 2017-08-01 N N N 0.0104 250000000.00 250000000.00 0.0156 N Y Y N Merrill Lynch Pierce Fenner & Smith Merrill Lynch Pierce Fenner & Smith 1.040000% 8NAV47T0Y26Q87Y0QP81 0000065100 ARP0ENJ57_1.04_0801 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N U.S. Treasury Note 2018-04-15 0.125000 96700000.00 102037389.57 U.S. Treasuries (including strips) Y Moody's Investors Service, Inc. NR Standard and Poor's Ratings Services A-1 2017-08-01 2017-08-01 2017-08-01 N N N 0.0104 100000000.00 100000000.00 0.0062 N Y Y N Bank of Nova Scotia Bank of Nova Scotia 1.030000% L3I9ZG2KFGXZ61BMYR72 0001041839 ARP0ENJ99_1.03_0801 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N U.S. Treasury Note 2017-08-31 0.625000 15900000.00 15941295.45 U.S. Treasuries (including strips) U.S. Treasury Note 2026-01-15 0.625000 17000000.00 17704760.92 U.S. Treasuries (including strips) U.S. Treasury Note 2018-04-30 0.750000 16300000.00 16230474.38 U.S. Treasuries (including strips) U.S. Treasury Note 2018-05-15 1.000000 25000000.00 25052309.78 U.S. Treasuries (including strips) U.S. Treasury Note 2018-12-31 1.250000 1755300.00 1755849.39 U.S. Treasuries (including strips) U.S. Treasury Note 2019-06-30 1.250000 17000000.00 17017905.03 U.S. Treasuries (including strips) U.S. Treasury Note 2019-05-31 1.250000 19600000.00 19640897.92 U.S. Treasuries (including strips) U.S. Treasury Note 2020-01-15 1.375000 7448700.00 7445853.30 U.S. Treasuries (including strips) U.S. Treasury Note 2019-02-28 1.500000 16800000.00 17005056.12 U.S. Treasuries (including strips) U.S. Treasury Note 2020-11-30 1.625000 22100000.00 22159906.98 U.S. Treasuries (including strips) U.S. Treasury Note 2020-06-30 1.625000 22400000.00 22530660.99 U.S. Treasuries (including strips) U.S. Treasury Note 2020-03-15 1.625000 16200000.00 16398550.56 U.S. Treasuries (including strips) U.S. Treasury Note 2022-02-28 1.875000 23000000.00 23279296.87 U.S. Treasuries (including strips) U.S. Treasury Note 2025-08-15 2.000000 18500000.00 18369826.25 U.S. Treasuries (including strips) U.S. Treasury Note 2023-12-31 2.250000 17000000.00 17232279.66 U.S. Treasuries (including strips) U.S. Treasury Note 2027-05-15 2.375000 23600000.00 23917194.05 U.S. Treasuries (including strips) U.S. Treasury Note 2023-11-15 2.750000 23200000.00 24333609.65 U.S. Treasuries (including strips) Y Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-08-01 2017-08-01 2017-08-01 N N N 0.0103 300000000.00 300000000.00 0.0187 N Y Y N Barclays Capital, Inc. Barclays Capital, Inc. 1.040000% AC28XWWI3WIBK2824319 0000851376 ARP0ENJH1_1.04_0801 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N U.S. Treasury Note 2019-07-15 0.750000 31700000.00 31310322.09 U.S. Treasuries (including strips) U.S. Treasury Note 2019-07-31 0.875000 496200.00 491548.12 U.S. Treasuries (including strips) U.S. Treasury Note 2018-08-15 1.000000 400.00 400.74 U.S. Treasuries (including strips) U.S. Treasury Note 2020-02-28 1.375000 58000000.00 58231283.46 U.S. Treasuries (including strips) U.S. Treasury Note 2019-06-30 1.625000 76700000.00 77205041.32 U.S. Treasuries (including strips) U.S. Treasury Note 2022-03-31 1.875000 76200000.00 76876255.00 U.S. Treasuries (including strips) U.S. Treasury Note 2020-11-30 2.000000 42300000.00 43041031.33 U.S. Treasuries (including strips) U.S. Treasury Note 2021-11-15 2.000000 100.00 101.51 U.S. Treasuries (including strips) U.S. Treasury Note 2017-11-30 2.250000 2918200.00 2939630.53 U.S. Treasuries (including strips) U.S. Treasury Bond 2043-08-15 3.625000 100.00 115.70 U.S. Treasuries (including strips) U.S. Treasury Bond 2044-02-15 3.625000 13700000.00 15928242.78 U.S. Treasuries (including strips) U.S. Treasury Bond 2037-05-15 5.000000 600.00 825.23 U.S. Treasuries (including strips) U.S. Treasury Bond 2022-11-15 7.625000 100.00 130.45 U.S. Treasuries (including strips) Y Moody's Investors Service, Inc. NR Standard and Poor's Ratings Services A-2 2017-08-01 2017-08-01 2017-08-01 N N N 0.0104 300000000.00 300000000.00 0.0187 N Y Y N JP Morgan Securities LLC JP Morgan Securities LLC 1.040000% ZBUT11V806EZRVTWT807 0001168163 ARP0ENJQ1_1.04_0801 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N U.S. Treasury Note 2021-08-31 1.125000 2395200.00 2350163.77 U.S. Treasuries (including strips) U.S. Treasury Note 2026-11-15 2.000000 122315000.00 120051541.80 U.S. Treasuries (including strips) Y Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-08-01 2017-08-01 2017-08-01 N N N 0.0104 120000000.00 120000000.00 0.0075 N Y Y N JP Morgan Securities LLC JP Morgan Securities LLC 1.040000% ZBUT11V806EZRVTWT807 0001168163 ARP0ENJS7_1.04_0801 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N U.S. Treasury Note 2022-11-30 2.000000 207090000.00 208857173.20 U.S. Treasuries (including strips) U.S. Treasury Note 2025-11-15 2.250000 177467100.00 178746259.90 U.S. Treasuries (including strips) Y Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-08-01 2017-08-01 2017-08-01 N N N 0.0104 380000000.00 380000000.00 0.0237 N Y Y N Bank of Montreal Bank of Montreal 1.000000% NQQ6HPCNCCU6TUTQYE16 0000009622 ARP0ENKC0_1.00_0801 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N U.S. Treasury Note 2019-06-30 1.250000 4173700.00 4170123.09 U.S. Treasuries (including strips) U.S. Treasury Note 2023-09-30 1.375000 185000000.00 178847151.25 U.S. Treasuries (including strips) U.S. Treasury Note 2022-06-30 1.750000 72100000.00 71906285.77 U.S. Treasuries (including strips) Y Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-08-01 2017-08-01 2017-08-01 N N N 0.0100 250000000.00 250000000.00 0.0156 N Y Y N Deutsche Bank Securities, Inc. Deutsche Bank Securities, Inc. 1.010000% 9J6MBOOO7BECTDTUZW19 0000058056 ARP0ENKF3_1.01_0801 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N U.S. Treasury Note 2021-08-31 2.000000 700.00 713.48 U.S. Treasuries (including strips) U.S. Treasury Note 2024-06-30 2.000000 205000000.00 204345215.33 U.S. Treasuries (including strips) Y Moody's Investors Service, Inc. NR Standard and Poor's Ratings Services A-2 2017-08-01 2017-08-01 2017-08-01 N N N 0.0101 200000000.00 200000000.00 0.0125 N Y Y N Goldman Sachs & Co. Goldman Sachs & Co. 0.950000% 0000769993 ARP0ENKH9_0.95_0801 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N U.S. Treasury Note 2022-07-15 0.125000 400.00 427.89 U.S. Treasuries (including strips) U.S. Treasury Note 2018-04-15 0.125000 64400000.00 67924901.18 U.S. Treasuries (including strips) U.S. Treasury Note 2027-07-15 0.375000 19300000.00 19103140.04 U.S. Treasuries (including strips) U.S. Treasury Note 2021-07-15 0.625000 800.00 893.62 U.S. Treasuries (including strips) U.S. Treasury Bond 2046-02-15 1.000000 2000.00 2072.35 U.S. Treasuries (including strips) U.S. Treasury Note 2020-07-15 1.250000 5200.00 6089.47 U.S. Treasuries (including strips) U.S. Treasury Note 2018-01-15 1.625000 400.00 469.59 U.S. Treasuries (including strips) U.S. Treasury Bond 2026-01-15 2.000000 300.00 416.99 U.S. Treasuries (including strips) U.S. Treasury Bond 2041-02-15 2.125000 83100000.00 116904839.27 U.S. Treasuries (including strips) U.S. Treasury Bond 2027-01-15 2.375000 800.00 1138.24 U.S. Treasuries (including strips) U.S. Treasury Bond 2032-04-15 3.375000 300.00 575.38 U.S. Treasuries (including strips) U.S. Treasury Bond 2029-04-15 3.875000 4800.00 9823.42 U.S. Treasuries (including strips) U.S. Treasury Strip 2038-11-15 NA 40.96 22.05 U.S. Treasuries (including strips) U.S. Treasury Strip 2046-05-15 NA 1.00 0.42 U.S. Treasuries (including strips) U.S. Treasury Strip 2045-05-15 NA 64.00 27.73 U.S. Treasuries (including strips) U.S. Treasury Strip 2044-05-15 NA 80.00 35.60 U.S. Treasuries (including strips) U.S. Treasury Strip 2044-02-15 NA 736.00 330.21 U.S. Treasuries (including strips) U.S. Treasury Strip 2043-02-15 NA 6.40 2.96 U.S. Treasuries (including strips) U.S. Treasury Strip 2042-02-15 NA 89.60 43.01 U.S. Treasuries (including strips) U.S. Treasury Strip 2032-11-15 NA 40.96 27.13 U.S. Treasuries (including strips) U.S. Treasury Strip 2027-11-15 NA 327.68 254.45 U.S. Treasuries (including strips) U.S. Treasury Strip 2026-11-15 NA 81.92 65.58 U.S. Treasuries (including strips) U.S. Treasury Strip 2021-11-15 NA 368.64 341.26 U.S. Treasuries (including strips) U.S. Treasury Strip 2020-11-15 NA 81.92 77.66 U.S. Treasuries (including strips) U.S. Treasury Strip 2018-11-15 NA 327.68 322.31 U.S. Treasuries (including strips) U.S. Treasury Strip 2017-11-15 NA 20.48 20.41 U.S. Treasuries (including strips) U.S. Treasury Strip 2037-08-15 NA 26.00 14.65 U.S. Treasuries (including strips) U.S. Treasury Strip 2034-08-15 NA 25.60 16.01 U.S. Treasuries (including strips) U.S. Treasury Strip 2031-08-15 NA 38.40 26.48 U.S. Treasuries (including strips) U.S. Treasury Strip 2022-08-15 NA 40.00 36.28 U.S. Treasuries (including strips) U.S. Treasury Strip 2020-08-15 NA 81.92 78.11 U.S. Treasuries (including strips) U.S. Treasury Strip 2035-05-15 NA 20.48 12.49 U.S. Treasuries (including strips) U.S. Treasury Strip 2032-05-15 NA 10.24 6.90 U.S. Treasuries (including strips) U.S. Treasury Strip 2038-02-15 NA 64.00 35.38 U.S. Treasuries (including strips) U.S. Treasury Strip 2032-02-15 NA 76.80 52.14 U.S. Treasuries (including strips) U.S. Treasury Strip 2028-02-15 NA 4.00 3.08 U.S. Treasuries (including strips) U.S. Treasury Strip 2025-02-15 NA 327.68 277.05 U.S. Treasuries (including strips) U.S. Treasury Strip 2019-02-15 NA 327.68 320.93 U.S. Treasuries (including strips) U.S. Treasury Strip 2025-08-15 NA 200.00 167.32 U.S. Treasuries (including strips) U.S. Treasury Strip 2027-05-15 NA 100.00 79.84 U.S. Treasuries (including strips) U.S. Treasury Strip 2024-02-15 NA 100.00 87.33 U.S. Treasuries (including strips) U.S. Treasury Strip 2046-11-15 NA 100.00 41.73 U.S. Treasuries (including strips) U.S. Treasury Strip 2043-11-15 NA 3200.00 1471.42 U.S. Treasuries (including strips) U.S. Treasury Strip 2040-11-15 NA 900.00 458.31 U.S. Treasuries (including strips) U.S. Treasury Strip 2044-08-15 NA 200.00 89.73 U.S. Treasuries (including strips) U.S. Treasury Strip 2027-08-15 NA 200.00 158.37 U.S. Treasuries (including strips) U.S. Treasury Strip 2023-08-15 NA 1000.00 886.96 U.S. Treasuries (including strips) U.S. Treasury Strip 2043-05-15 NA 1600.00 745.84 U.S. Treasuries (including strips) U.S. Treasury Strip 2040-05-15 NA 100.00 51.84 U.S. Treasuries (including strips) U.S. Treasury Strip 2046-02-15 NA 100.00 42.73 U.S. Treasuries (including strips) U.S. Treasury Strip 2027-02-15 NA 100.00 80.32 U.S. Treasuries (including strips) U.S. Treasury Strip 2021-02-15 NA 500.00 471.66 U.S. Treasuries (including strips) U.S. Treasury Strip 2039-05-15 4.250000 1800.00 970.27 U.S. Treasuries (including strips) Y Moody's Investors Service, Inc. NR Standard and Poor's Ratings Services A-1 2017-08-01 2017-08-01 2017-08-01 N N N 0.0095 200000000.00 200000000.00 0.0125 N Y Y N Natixis Natixis 1.040000% 0001503859 ARP0ENKM8_1.04_0801 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N U.S. Treasury Note 2020-03-31 1.375000 262200.00 262900.95 U.S. Treasuries (including strips) U.S. Treasury Note 2021-07-31 1.125000 1220000.00 1192550.00 U.S. Treasuries (including strips) U.S. Treasury Note 2018-08-15 4.000000 1312000.00 1372965.41 U.S. Treasuries (including strips) U.S. Treasury Note 2019-07-15 1.875000 2000000.00 2389957.57 U.S. Treasuries (including strips) U.S. Treasury Note 2021-09-30 2.125000 3131000.00 3202835.58 U.S. Treasuries (including strips) U.S. Treasury Note 2025-05-15 2.125000 4208000.00 4211771.76 U.S. Treasuries (including strips) U.S. Treasury Bond 2042-11-15 2.750000 5044200.00 4967397.39 U.S. Treasuries (including strips) U.S. Treasury Bond 2019-08-15 8.125000 4274900.00 5013290.81 U.S. Treasuries (including strips) U.S. Treasury Note 2023-12-31 2.250000 5000000.00 5073126.90 U.S. Treasuries (including strips) U.S. Treasury Note 2023-07-31 1.250000 5999800.00 5748348.38 U.S. Treasuries (including strips) U.S. Treasury Note 2017-11-15 0.875000 5999500.00 6005797.03 U.S. Treasuries (including strips) U.S. Treasury Note 2018-01-15 1.625000 5618000.00 6595333.63 U.S. Treasuries (including strips) U.S. Treasury Bond 2025-02-15 7.625000 4827000.00 6858698.63 U.S. Treasuries (including strips) U.S. Treasury Note 2021-11-30 1.750000 10000000.00 10027566.67 U.S. Treasuries (including strips) U.S. Treasury Bond 2040-11-15 4.250000 8453200.00 10675171.46 U.S. Treasuries (including strips) U.S. Treasury Note 2019-08-31 1.625000 11000000.00 11174317.26 U.S. Treasuries (including strips) U.S. Treasury Note 2021-04-15 0.125000 11200000.00 11604211.80 U.S. Treasuries (including strips) U.S. Treasury Note 2019-01-15 2.125000 9999900.00 11810530.29 U.S. Treasuries (including strips) U.S. Treasury Bond 2045-05-15 3.000000 13500000.00 13884827.22 U.S. Treasuries (including strips) U.S. Treasury Note 2024-01-15 0.625000 15600000.00 16704436.61 U.S. Treasuries (including strips) U.S. Treasury Note 2020-05-31 1.375000 99800000.00 99728698.25 U.S. Treasuries (including strips) U.S. Treasury Note 2019-10-31 1.250000 105000000.00 105328125.00 U.S. Treasuries (including strips) U.S. Treasury Note 2024-07-31 2.125000 106000000.00 106000000.00 U.S. Treasuries (including strips) U.S. Treasury Note 2020-05-31 1.500000 155000000.00 155387183.00 U.S. Treasuries (including strips) U.S. Treasury Note 2022-02-28 1.875000 200000000.00 202559103.26 U.S. Treasuries (including strips) U.S. Treasury Note 2019-11-15 3.375000 333000000.00 350349510.10 U.S. Treasuries (including strips) U.S. Treasury Note 2023-11-30 2.125000 445000000.00 449575322.71 U.S. Treasuries (including strips) Y Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-08-01 2017-08-01 2017-08-01 N N N 0.0104 1575000000.00 1575000000.00 0.0983 N Y Y N Wells Fargo Securities LLC Wells Fargo Securities LLC 1.050000% 0000072971 ARP0ENKP1_1.05_0801 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N U.S. Treasury Floating Rate Note 2019-01-31 1.323500 80500000.00 80731123.93 U.S. Treasuries (including strips) U.S. Treasury Floating Rate Note 2019-04-30 1.253500 7429100.00 7452570.94 U.S. Treasuries (including strips) U.S. Treasury Floating Rate Note 2018-04-30 1.373500 13900000.00 13941631.68 U.S. Treasuries (including strips) U.S. Treasury Floating Rate Note 2017-10-31 1.351500 152000000.00 152447430.18 U.S. Treasuries (including strips) Y Moody's Investors Service, Inc. NR Standard and Poor's Ratings Services A-1+ 2017-08-01 2017-08-01 2017-08-01 N N N 0.0105 250000000.00 250000000.00 0.0156 N Y Y N ABN Amro Securities LLC ABN Amro Securities LLC 1.040000% 549300FIFV1C 0001245022 ARP0ENKU0_1.04_0801 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N U.S. Treasury Note 2024-07-15 0.125000 100.00 101.89 U.S. Treasuries (including strips) U.S. Treasury Note 2020-05-15 3.500000 3000.00 3187.91 U.S. Treasuries (including strips) U.S. Treasury Note 2021-08-31 1.125000 152600.00 149730.71 U.S. Treasuries (including strips) U.S. Treasury Note 2024-05-15 2.500000 150000.00 154839.33 U.S. Treasuries (including strips) U.S. Treasury Note 2020-01-31 1.375000 1075000.00 1073824.22 U.S. Treasuries (including strips) U.S. Treasury Note 2019-08-15 3.625000 3660000.00 3886683.67 U.S. Treasuries (including strips) U.S. Treasury Note 2023-05-15 1.750000 5000000.00 4958158.42 U.S. Treasuries (including strips) U.S. Treasury Note 2018-09-15 1.000000 6000000.00 6004687.50 U.S. Treasuries (including strips) U.S. Treasury Note 2020-04-30 1.125000 7000000.00 6956250.00 U.S. Treasuries (including strips) U.S. Treasury Note 2023-11-15 2.750000 6640000.00 6966383.07 U.S. Treasuries (including strips) U.S. Treasury Note 2019-01-31 1.500000 7000000.00 7018593.75 U.S. Treasuries (including strips) U.S. Treasury Note 2020-08-15 2.625000 7000000.00 7312854.80 U.S. Treasuries (including strips) U.S. Treasury Note 2027-02-15 2.250000 9000000.00 9066849.12 U.S. Treasuries (including strips) U.S. Treasury Bond 2042-02-15 3.125000 9000000.00 9582480.99 U.S. Treasuries (including strips) U.S. Treasury Note 2024-07-15 0.125000 51200000.00 52202867.75 U.S. Treasuries (including strips) U.S. Treasury Note 2023-07-15 0.375000 50000000.00 53208572.09 U.S. Treasuries (including strips) U.S. Treasury Note 2022-07-15 0.125000 50000000.00 53502891.60 U.S. Treasuries (including strips) U.S. Treasury Note 2019-11-30 1.500000 60000000.00 60250000.00 U.S. Treasuries (including strips) U.S. Treasury Bond 2042-11-15 2.750000 75000000.00 73831555.71 U.S. Treasuries (including strips) U.S. Treasury Note 2025-02-15 2.000000 77500000.00 77310505.68 U.S. Treasuries (including strips) U.S. Treasury Note 2026-11-15 2.000000 130000000.00 127543532.96 U.S. Treasuries (including strips) Y Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-08-01 2017-08-01 2017-08-01 N N N 0.0104 550000000.00 550000000.00 0.0343 N Y Y N Credit Agricole Corp. Credit Agricole Corp. 1.040000% 1VUV7VQFKUOQ 0001330437 ARP0ENKX4_1.04_0801 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N U.S. Treasury Note 2026-02-15 1.625000 57200000.00 54899622.12 U.S. Treasuries (including strips) U.S. Treasury Bond 2047-05-15 3.000000 667000000.00 685185487.74 U.S. Treasuries (including strips) Y Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-08-01 2017-08-01 2017-08-01 N N N 0.0104 726000000.00 726000000.00 0.0453 N Y Y N BNP Paribas Securities Corp. BNP Paribas Securities Corp. 1.040000% 0001197610 ARP0ENKZ9_1.04_0801 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N U.S. Treasury Bond 2046-08-15 2.250000 100.00 88.20 U.S. Treasuries (including strips) U.S. Treasury Bill 2017-12-14 NA 100.00 99.59 U.S. Treasuries (including strips) U.S. Treasury Note 2019-04-15 0.125000 100.00 104.60 U.S. Treasuries (including strips) U.S. Treasury Note 2019-01-31 1.500000 300.00 300.80 U.S. Treasuries (including strips) U.S. Treasury Bond 2018-05-15 9.125000 500.00 540.48 U.S. Treasuries (including strips) U.S. Treasury Note 2025-01-15 0.250000 800.00 817.25 U.S. Treasuries (including strips) U.S. Treasury Note 2023-03-31 1.500000 1100.00 1079.33 U.S. Treasuries (including strips) U.S. Treasury Note 2026-07-15 0.125000 1800.00 1784.14 U.S. Treasuries (including strips) U.S. Treasury Bond 2041-11-15 3.125000 7300.00 7719.30 U.S. Treasuries (including strips) U.S. Treasury Bond 2021-11-15 8.000000 8500.00 10835.02 U.S. Treasuries (including strips) U.S. Treasury Note 2020-04-30 1.375000 25100.00 25123.53 U.S. Treasuries (including strips) U.S. Treasury Bond 2021-05-15 8.125000 20900.00 26196.20 U.S. Treasuries (including strips) U.S. Treasury Note 2019-01-15 2.125000 38000.00 44710.86 U.S. Treasuries (including strips) U.S. Treasury Bill 2017-12-28 NA 120000.00 119449.20 U.S. Treasuries (including strips) U.S. Treasury Note 2018-01-15 0.875000 168500.00 168353.48 U.S. Treasuries (including strips) U.S. Treasury Note 2018-07-31 1.375000 209700.00 209929.36 U.S. Treasuries (including strips) U.S. Treasury Bond 2023-08-15 6.250000 171000.00 217635.59 U.S. Treasuries (including strips) U.S. Treasury Bond 2029-01-15 2.500000 200000.00 275964.84 U.S. Treasuries (including strips) U.S. Treasury Bond 2032-04-15 3.375000 209900.00 402571.00 U.S. Treasuries (including strips) U.S. Treasury Note 2018-05-31 2.375000 640700.00 649316.35 U.S. Treasuries (including strips) U.S. Treasury Bill 2018-06-21 NA 987200.00 976676.45 U.S. Treasuries (including strips) U.S. Treasury Note 2017-11-30 0.875000 1000000.00 1000520.83 U.S. Treasuries (including strips) U.S. Treasury Bond 2029-04-15 3.875000 505900.00 1035348.04 U.S. Treasuries (including strips) U.S. Treasury Note 2021-07-15 0.625000 1350000.00 1507980.55 U.S. Treasuries (including strips) U.S. Treasury Note 2018-11-30 1.000000 2261100.00 2256027.60 U.S. Treasuries (including strips) U.S. Treasury Note 2019-07-31 0.875000 3550100.00 3516817.81 U.S. Treasuries (including strips) U.S. Treasury Note 2020-04-15 0.125000 3832200.00 4021578.20 U.S. Treasuries (including strips) U.S. Treasury Note 2017-08-31 0.625000 5145000.00 5155957.59 U.S. Treasuries (including strips) U.S. Treasury Bond 2028-11-15 5.250000 4618400.00 5992951.55 U.S. Treasuries (including strips) U.S. Treasury Note 2019-11-15 3.375000 8054100.00 8470894.20 U.S. Treasuries (including strips) U.S. Treasury Note 2019-12-31 1.625000 8888700.00 8945311.12 U.S. Treasuries (including strips) U.S. Treasury Note 2022-02-28 1.875000 10600000.00 10682478.12 U.S. Treasuries (including strips) U.S. Treasury Note 2018-08-31 0.750000 12000000.00 11937418.48 U.S. Treasuries (including strips) U.S. Treasury Note 2018-11-30 1.250000 15600000.00 15632573.12 U.S. Treasuries (including strips) U.S. Treasury Note 2021-03-31 2.250000 23600000.00 24277000.00 U.S. Treasuries (including strips) U.S. Treasury Note 2022-01-31 1.500000 25000000.00 24700000.00 U.S. Treasuries (including strips) U.S. Treasury Note 2024-01-31 2.250000 25800000.00 26100000.00 U.S. Treasuries (including strips) U.S. Treasury Note 2017-10-15 0.875000 26700000.00 26668200.44 U.S. Treasuries (including strips) U.S. Treasury Note 2018-06-15 1.125000 34000000.00 34048055.39 U.S. Treasuries (including strips) U.S. Treasury Note 2018-09-30 1.375000 120000000.00 120550000.00 U.S. Treasuries (including strips) U.S. Treasury Note 2023-07-15 0.375000 147000000.00 157025214.57 U.S. Treasuries (including strips) U.S. Treasury Note 2021-01-15 1.125000 167000000.00 195091554.13 U.S. Treasuries (including strips) U.S. Treasury Strip 2034-08-15 NA 0.01 0.01 U.S. Treasuries (including strips) U.S. Treasury Strip 2030-02-15 NA 0.01 0.01 U.S. Treasuries (including strips) U.S. Treasury Strip 2044-02-15 NA 0.02 0.01 U.S. Treasuries (including strips) U.S. Treasury Strip 2035-11-15 NA 0.64 0.38 U.S. Treasuries (including strips) U.S. Treasury Strip 2030-05-15 NA 0.96 0.69 U.S. Treasuries (including strips) U.S. Treasury Strip 2041-05-15 NA 10.79 5.31 U.S. Treasuries (including strips) U.S. Treasury Strip 2033-02-15 NA 10.25 6.74 U.S. Treasuries (including strips) U.S. Treasury Strip 2043-02-15 NA 25.18 11.66 U.S. Treasuries (including strips) U.S. Treasury Strip 2038-02-15 NA 26.24 14.50 U.S. Treasuries (including strips) U.S. Treasury Strip 2041-08-15 NA 51.98 25.36 U.S. Treasuries (including strips) U.S. Treasury Strip 2029-05-15 NA 35.20 26.05 U.S. Treasuries (including strips) U.S. Treasury Strip 2028-05-15 NA 64.00 48.88 U.S. Treasuries (including strips) U.S. Treasury Strip 2029-08-15 NA 81.14 59.59 U.S. Treasuries (including strips) U.S. Treasury Strip 2029-02-15 NA 100.00 75.77 U.S. Treasuries (including strips) U.S. Treasury Strip 2043-08-15 NA 178.51 81.01 U.S. Treasuries (including strips) U.S. Treasury Strip 2044-11-15 NA 202.27 88.81 U.S. Treasuries (including strips) U.S. Treasury Strip 2041-11-15 NA 190.70 92.23 U.S. Treasuries (including strips) U.S. Treasury Strip 2043-11-15 NA 205.79 92.84 U.S. Treasuries (including strips) U.S. Treasury Strip 2043-02-15 NA 200.00 93.90 U.S. Treasuries (including strips) U.S. Treasury Strip 2027-11-15 NA 142.80 110.89 U.S. Treasuries (including strips) U.S. Treasury Strip 2037-05-15 NA 200.00 117.74 U.S. Treasuries (including strips) U.S. Treasury Strip 2040-05-15 NA 253.94 129.44 U.S. Treasuries (including strips) U.S. Treasury Strip 2045-05-15 NA 319.21 138.33 U.S. Treasuries (including strips) U.S. Treasury Strip 2042-08-15 NA 293.07 138.48 U.S. Treasuries (including strips) U.S. Treasury Strip 2041-05-15 NA 300.00 150.35 U.S. Treasuries (including strips) U.S. Treasury Strip 2027-08-15 NA 200.00 158.37 U.S. Treasuries (including strips) U.S. Treasury Strip 2038-11-15 NA 326.84 175.92 U.S. Treasuries (including strips) U.S. Treasury Strip 2042-05-15 NA 389.75 185.38 U.S. Treasuries (including strips) U.S. Treasury Strip 2039-05-15 NA 540.98 285.71 U.S. Treasuries (including strips) U.S. Treasury Strip 2042-02-15 NA 601.29 288.61 U.S. Treasuries (including strips) U.S. Treasury Strip 2043-05-15 NA 949.99 435.63 U.S. Treasuries (including strips) U.S. Treasury Strip 2045-11-15 NA 9000.00 3875.40 U.S. Treasuries (including strips) U.S. Treasury Strip 2026-08-15 NA 43831.89 35330.69 U.S. Treasuries (including strips) U.S. Treasury Strip 2041-02-15 NA 118900.00 60149.13 U.S. Treasuries (including strips) U.S. Treasury Strip 2040-02-15 NA 273000.00 142972.83 U.S. Treasuries (including strips) U.S. Treasury Strip 2039-02-15 NA 407000.00 217016.47 U.S. Treasuries (including strips) U.S. Treasury Strip 2038-08-15 NA 407177.53 221089.26 U.S. Treasuries (including strips) U.S. Treasury Strip 2039-11-15 NA 629532.51 326645.53 U.S. Treasuries (including strips) U.S. Treasury Strip 2020-08-15 NA 421339.94 401764.49 U.S. Treasuries (including strips) U.S. Treasury Strip 2043-05-15 NA 1700000.00 792455.00 U.S. Treasuries (including strips) U.S. Treasury Strip 2040-11-15 NA 3720284.26 1864160.04 U.S. Treasuries (including strips) U.S. Treasury Strip 2021-02-15 NA 2390732.80 2252357.19 U.S. Treasuries (including strips) U.S. Treasury Strip 2044-08-15 NA 5400000.00 2422764.00 U.S. Treasuries (including strips) U.S. Treasury Strip 2045-05-15 NA 6400000.00 2799424.00 U.S. Treasuries (including strips) U.S. Treasury Strip 2044-05-15 NA 7100000.00 3212537.00 U.S. Treasuries (including strips) U.S. Treasury Strip 2043-08-15 NA 7110300.00 3288371.54 U.S. Treasuries (including strips) U.S. Treasury Strip 2044-02-15 NA 10500000.00 4789995.00 U.S. Treasuries (including strips) U.S. Treasury Strip 2036-08-15 NA 9090521.00 5321590.99 U.S. Treasuries (including strips) U.S. Treasury Strip 2037-08-15 NA 21000000.00 11800000.00 U.S. Treasuries (including strips) U.S. Treasury Strip 2030-08-15 NA 32600000.00 23200000.00 U.S. Treasuries (including strips) U.S. Treasury Strip 2043-11-15 NA 83300000.00 38300000.00 U.S. Treasuries (including strips) U.S. Treasury Strip 2035-05-15 NA 63000000.00 38400000.00 U.S. Treasuries (including strips) Y Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-08-01 2017-08-01 2017-08-01 N N N 0.0104 815000000.00 815000000.00 0.0509 N Y Y N Morgan Stanley Institutional Liquidity Funds 2017-08-07 Lonnie Bae Lonnie Bae Vice President