0000278001-11-000025.txt : 20110429 0000278001-11-000025.hdr.sgml : 20110429 20110307142532 ACCESSION NUMBER: 0000278001-11-000025 CONFORMED SUBMISSION TYPE: N-MFP PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20110228 FILED AS OF DATE: 20110307 DATE AS OF CHANGE: 20110307 FILER: COMPANY DATA: COMPANY CONFORMED NAME: FIDELITY PHILLIPS STREET TRUST CENTRAL INDEX KEY: 0000278001 IRS NUMBER: 042667982 STATE OF INCORPORATION: MA FISCAL YEAR END: 1130 FILING VALUES: FORM TYPE: N-MFP SEC ACT: 1933 Act SEC FILE NUMBER: 811-02890 FILM NUMBER: 11668047 BUSINESS ADDRESS: STREET 1: 82 DEVONSHIRE ST CITY: BOSTON STATE: MA ZIP: 02109 BUSINESS PHONE: 2142816360 MAIL ADDRESS: STREET 1: FIDLEITY INVESTMENTS MAILZONE DW4B STREET 2: P.O. BOX 650471 CITY: DALLAS STATE: TX ZIP: 75265-0471 FORMER COMPANY: FORMER CONFORMED NAME: FIDELITY CASH RESERVES DATE OF NAME CHANGE: 19930122 0000278001 S000007150 Fidelity U.S. Government Reserves C000019554 Fidelity U.S. Government Reserves FGRXX N-MFP 1 primary_doc.xml N-MFP N-MFP LIVE N 2011-02-28 0000278001 S000007150 1 N N 002-63350 FIDELITY MANAGEMENT & RESEARCH COMPANY (FMR) 801-07884 FIDELITY INVESTMENTS MONEY MANAGEMENT, INC. 801-34590 FIDELITY MANAGEMENT & RESEARCH (U.K.), INC. 801-28773 FIDELITY MANAGEMENT & RESEARCH (HONG KONG) LIMITED 801-69507 FIDELITY MANAGEMENT & RESEARCH (JAPAN) INC 801-69571 PRICEWATERHOUSECOOPERS LLP Boston MA FIDELITY INVESTMENTS INSTIT. OPERATIONS CO. 0000862124 084-01839 N N N Government/Agency 54 104 2742325748.81 6383335.42 41490989.22 2707218095.01 0.0025 1.0003 2011-02-28 1.0003 2011-02-28 C000019554 2500.00 2707218095.01 1.00 -28881818.66 80978576.27 109860394.93 0.0001 1.0003 2011-02-28 1.0003 2011-02-28 Fannie Mae Fannie Mae, 0.20% 31359MJH7 Government Agency Debt First Tier Security 2011-05-15 2011-05-15 N N N 15000000.00 15181015.13 0.0056 N 15179280.00 15179280.00 Fannie Mae Fannie Mae, 0.25% 31398APG1 Government Agency Debt First Tier Security 2011-04-11 2011-04-11 N N N 14000000.00 14039354.51 0.0052 N 14039942.00 14039942.00 Fannie Mae Fannie Mae, 0.27% 31398AVQ2 Government Agency Debt First Tier Security 2011-03-23 2011-03-23 N N N 27000000.00 27024107.84 0.0100 N 27025866.00 27025866.00 Fannie Mae Fannie Mae, 0.29% 31398A4E9 Government Agency Debt First Tier Security 2011-03-17 2012-09-17 N N N 12000000.00 12003787.62 0.0044 N 12003300.00 12003300.00 Federal Home Loan Bank Federal Home Loan Bank, 0.17% 3133XWRZ4 Government Agency Debt First Tier Security 2011-03-01 2011-08-01 N N N 27000000.00 26991421.16 0.0100 N 26994249.00 26994249.00 Federal Home Loan Bank Federal Home Loan Bank, 0.17% 3133XWT90 Government Agency Debt First Tier Security 2011-04-26 2011-07-26 N N N 65000000.00 64986735.00 0.0240 N 64976600.00 64976600.00 Federal Home Loan Bank Federal Home Loan Bank, 0.17% 3133XWTY5 Government Agency Debt First Tier Security 2011-05-01 2011-08-01 N N N 54000000.00 53988563.33 0.0199 N 53979534.00 53979534.00 Federal Home Loan Bank Federal Home Loan Bank, 0.19% 3133XXGY7 Government Agency Debt First Tier Security 2011-03-15 2011-09-15 N N N 13000000.00 12996432.97 0.0048 N 12996971.00 12996971.00 Federal Home Loan Bank Federal Home Loan Bank, 0.19% 3133XVX89 Government Agency Debt First Tier Security 2011-03-25 2011-05-25 N N N 40000000.00 39996623.66 0.0148 N 39997720.00 39997720.00 Federal Home Loan Bank Federal Home Loan Bank, 0.19% 313370B98 Government Agency Debt First Tier Security 2011-04-25 2011-04-25 N N N 14000000.00 14003416.88 0.0052 N 14003570.00 14003570.00 Federal Home Loan Bank Federal Home Loan Bank, 0.19% 313370JL3 Government Agency Debt First Tier Security 2011-05-17 2012-02-17 N N N 37000000.00 36988889.82 0.0137 N 36984164.00 36984164.00 Federal Home Loan Bank Federal Home Loan Bank, 0.20% 313370K98 Government Agency Debt First Tier Security 2011-05-09 2012-02-09 N N N 17000000.00 16996624.15 0.0063 N 16993778.00 16993778.00 Federal Home Loan Bank Federal Home Loan Bank, 0.20% 3133XVTH4 Government Agency Debt First Tier Security 2011-05-20 2011-05-20 N N N 125000000.00 124991578.75 0.0462 N 124977375.00 124977375.00 Federal Home Loan Bank Federal Home Loan Bank, 0.21% 3133XVTZ4 Government Agency Debt First Tier Security 2011-03-25 2011-05-25 N N N 48000000.00 47996643.34 0.0177 N 48000048.00 48000048.00 Federal Home Loan Bank Federal Home Loan Bank, 0.21% 3133XXH83 Government Agency Debt First Tier Security 2011-03-25 2011-09-23 N N N 12000000.00 11997934.73 0.0044 N 11998932.00 11998932.00 Federal Home Loan Bank Federal Home Loan Bank, 0.22% 3133XXMM6 Government Agency Debt First Tier Security 2011-03-15 2011-09-15 N N N 40000000.00 39989027.42 0.0148 N 39997080.00 39997080.00 Federal Home Loan Bank Federal Home Loan Bank, 0.23% 313370HZ4 Government Agency Debt First Tier Security 2011-03-03 2012-02-03 N N N 75000000.00 74979159.84 0.0277 N 74995050.00 74995050.00 Federal Home Loan Bank Federal Home Loan Bank, 0.23% 3133XXSJ7 Government Agency Debt First Tier Security 2011-03-26 2011-09-26 N N N 35000000.00 34989873.59 0.0129 N 35001050.00 35001050.00 Federal Home Loan Bank Federal Home Loan Bank, 0.23% 313371M94 Government Agency Debt First Tier Security 2011-05-12 2011-05-12 N N N 29000000.00 28997621.87 0.0107 N 29000580.00 29000580.00 Federal Home Loan Bank Federal Home Loan Bank, 0.25% 3133715C6 Government Agency Debt First Tier Security 2011-03-30 2011-03-30 N N N 36000000.00 35998807.88 0.0133 N 36000864.00 36000864.00 Federal Home Loan Bank Federal Home Loan Bank, 0.25% 3133706U7 Government Agency Debt First Tier Security 2011-04-12 2011-04-12 N N N 10000000.00 10001124.17 0.0037 N 10001930.00 10001930.00 Federal Home Loan Bank Federal Home Loan Bank, 0.25% 3133XVDM0 Government Agency Debt First Tier Security 2011-04-18 2011-04-18 N N N 8000000.00 8004715.16 0.0030 N 8005008.00 8005008.00 Federal Home Loan Bank Federal Home Loan Bank, 0.25% 313370FS2 Government Agency Debt First Tier Security 2011-04-21 2011-04-21 N N N 13000000.00 13000912.39 0.0048 N 13002158.00 13002158.00 Federal Home Loan Bank Federal Home Loan Bank, 0.25% 313371JB3 Government Agency Debt First Tier Security 2011-08-01 2011-08-01 N N N 18000000.00 17998851.89 0.0066 N 18004266.00 18004266.00 Federal Home Loan Bank Federal Home Loan Bank, 0.26% 313371GE0 Government Agency Debt First Tier Security 2011-08-03 2011-08-03 N N N 60000000.00 59989860.96 0.0222 N 60008520.00 60008520.00 Federal Home Loan Bank Federal Home Loan Bank, 0.26% 313371G59 Government Agency Debt First Tier Security 2011-08-04 2011-08-04 N N N 35000000.00 34994013.40 0.0129 N 35004760.00 35004760.00 Federal Home Loan Bank Federal Home Loan Bank, 0.29% 313371CA2 Government Agency Debt First Tier Security 2011-03-01 2011-10-14 N N N 30000000.00 29999053.50 0.0111 N 29998620.00 29998620.00 Federal Home Loan Bank Federal Home Loan Bank, 0.29% 3133717G5 Government Agency Debt First Tier Security 2011-03-01 2011-09-29 N N N 36000000.00 35998942.16 0.0133 N 35998956.00 35998956.00 Federal Home Loan Bank Federal Home Loan Bank, 0.30% 3133XRRU6 Government Agency Debt First Tier Security 2011-07-01 2011-07-01 N N N 20935000.00 21167694.02 0.0078 N 21180860.64 21180860.64 Federal Home Loan Bank Federal Home Loan Bank, 0.30% 3133XWEZ8 Government Agency Debt First Tier Security 2011-07-08 2011-07-08 N N N 19680000.00 19711129.03 0.0073 N 19719537.12 19719537.12 Federal Home Loan Bank Federal Home Loan Bank, 0.30% 313371H41 Government Agency Debt First Tier Security 2011-11-04 2011-11-04 N N N 30000000.00 29999199.95 0.0111 N 29993550.00 29993550.00 Federal Home Loan Bank Federal Home Loan Bank, 0.30% 3133XYLM5 Government Agency Debt First Tier Security 2011-11-21 2011-11-21 N N N 15000000.00 15047790.34 0.0056 N 15044595.00 15044595.00 Federal Home Loan Bank Federal Home Loan Bank, 0.31% 313371H74 Government Agency Debt First Tier Security 2011-11-16 2011-11-16 N N N 15000000.00 14998960.00 0.0055 N 14996175.00 14996175.00 Federal Home Loan Bank Federal Home Loan Bank, 0.34% 313371SY3 Government Agency Debt First Tier Security 2011-11-17 2011-11-17 N N N 11000000.00 10993374.55 0.0041 N 10994060.00 10994060.00 Federal Home Loan Bank Federal Home Loan Bank, 0.34% 313371QU3 Government Agency Debt First Tier Security 2011-11-22 2011-11-22 N N N 14000000.00 13991408.58 0.0052 N 13992118.00 13992118.00 Federal Home Loan Bank Federal Home Loan Bank, 0.39% 313372A95 Government Agency Debt First Tier Security 2011-12-29 2011-12-29 N N N 32800000.00 32793206.22 0.0121 N 32802755.20 32802755.20 Federal Home Loan Bank Federal Home Loan Bank, 0.60% 3133XYR23 Government Agency Debt First Tier Security 2011-06-01 2011-06-01 N N N 36000000.00 35997550.03 0.0133 N 36035964.00 36035964.00 Federal Home Loan Bank Federal Home Loan Bank, 0.60% 3133XYRB3 Government Agency Debt First Tier Security 2011-06-01 2011-06-01 N N N 18000000.00 17997407.07 0.0066 N 18016632.00 18016632.00 Freddie Mac Freddie Mac, 0.20% 3134G16A7 Government Agency Debt First Tier Security 2011-04-02 2012-11-02 N N N 25000000.00 24970434.78 0.0092 N 24968000.00 24968000.00 Freddie Mac Freddie Mac, 0.22% 3134G13Z5 Government Agency Debt First Tier Security 2011-03-10 2012-08-10 N N N 45000000.00 44967187.74 0.0166 N 45021375.00 45021375.00 Freddie Mac Freddie Mac, 0.23% 313396KM4 Government Agency Debt First Tier Security 2011-08-16 2011-08-16 N N N 35000000.00 34962433.33 0.0129 N 34975500.00 34975500.00 Freddie Mac Freddie Mac, 0.25% to 0.28% 3137EABK4 Government Agency Debt First Tier Security 2011-04-11 2011-04-11 N N N 21000000.00 21058265.34 0.0078 N 21059913.00 21059913.00 Freddie Mac Freddie Mac, 0.25% 3137EAAF6 Government Agency Debt First Tier Security 2011-07-18 2011-07-18 N N N 17000000.00 17323830.85 0.0064 N 17330361.00 17330361.00 Freddie Mac Freddie Mac, 0.27% 3137EAAB5 Government Agency Debt First Tier Security 2011-04-18 2011-04-18 N N N 31000000.00 31197305.42 0.0115 N 31199950.00 31199950.00 Freddie Mac Freddie Mac, 0.35% 313396PW7 Government Agency Debt First Tier Security 2011-11-29 2011-11-29 N N N 15000000.00 14960187.51 0.0055 N 14980665.00 14980665.00 Freddie Mac Freddie Mac, 0.40% 3134G1UJ1 Government Agency Debt First Tier Security 2011-09-22 2011-09-22 N N N 18000000.00 18000000.00 0.0066 N 18000162.00 18000162.00 Straight-A Funding LLC Straight-A Funding LLC, 0.25% (Liquidity Facility Federal Financing Bank) 86257CT44 Government Agency Debt First Tier Security 2011-03-14 2011-03-14 N N Y LIQUIDITY FEDERAL FING BK N/A N/A 67000000.00 66996277.78 0.0247 N 66997279.80 66997279.80 Straight-A Funding LLC Straight-A Funding LLC, 0.25% (Liquidity Facility Federal Financing Bank) 86257MZS2 Government Agency Debt First Tier Security 2011-03-15 2011-03-15 N N Y LIQUIDITY FEDERAL FING BK N/A N/A 10000000.00 9999375.00 0.0037 N 9999545.00 9999545.00 Straight-A Funding LLC Straight-A Funding LLC, 0.25% (Liquidity Facility Federal Financing Bank) 86257MZY9 Government Agency Debt First Tier Security 2011-03-15 2011-03-15 N N Y LIQUIDITY FEDERAL FING BK N/A N/A 17054000.00 17052934.12 0.0063 N 17053224.04 17053224.04 Straight-A Funding LLC Straight-A Funding LLC, 0.25% (Liquidity Facility Federal Financing Bank) 86257MZU7 Government Agency Debt First Tier Security 2011-03-15 2011-03-15 N N Y LIQUIDITY FEDERAL FING BK N/A N/A 11000000.00 10999312.50 0.0041 N 10999499.50 10999499.50 Straight-A Funding LLC Straight-A Funding LLC, 0.25% (Liquidity Facility Federal Financing Bank) 86257CT93 Government Agency Debt First Tier Security 2011-04-06 2011-04-06 N N Y LIQUIDITY FEDERAL FING BK N/A N/A 7000000.00 6998493.05 0.0026 N 6998800.90 6998800.90 Straight-A Funding LLC Straight-A Funding LLC, 0.25% (Liquidity Facility Federal Financing Bank) 86257LQ21 Government Agency Debt First Tier Security 2011-04-08 2011-04-08 N N Y LIQUIDITY FEDERAL FING BK N/A N/A 50000000.00 49987847.22 0.0185 N 49990100.00 49990100.00 Straight-A Funding LLC Straight-A Funding LLC, 0.25% (Liquidity Facility Federal Financing Bank) 86257CV41 Government Agency Debt First Tier Security 2011-04-14 2011-04-14 N N Y LIQUIDITY FEDERAL FING BK N/A N/A 34204000.00 34194261.36 0.0126 N 34195021.45 34195021.45 Straight-A Funding LLC Straight-A Funding LLC, 0.25% (Liquidity Facility Federal Financing Bank) 86257JVM6 Government Agency Debt First Tier Security 2011-05-05 2011-05-05 N N Y LIQUIDITY FEDERAL FING BK N/A N/A 70000000.00 69969861.09 0.0258 N 69967541.00 69967541.00 U.S. Treasury Bills U.S. Treasury Bills, 0.23% 912795X22 Treasury Debt First Tier Security 2011-06-30 2011-06-30 N N N 50000000.00 49962187.50 0.0185 N 49976150.00 49976150.00 U.S. Treasury Notes U.S. Treasury Notes, 0.31% to 0.32% 912828LW8 Treasury Debt First Tier Security 2011-09-30 2011-09-30 N N N 35000000.00 35136696.54 0.0130 N 35162680.00 35162680.00 U.S. Treasury Notes U.S. Treasury Notes, 0.33% 912828MJ6 Treasury Debt First Tier Security 2012-01-31 2012-01-31 N N N 25000000.00 25125044.77 0.0093 N 25135750.00 25135750.00 Citibank NA In a joint trading account at 0.22%, dated 2/28/2011 due 03/01/2011 # 40F99QNA8_26602 Government Agency Repurchase Agreement Y Unrated Security 2011-03-01 2011-03-01 N N N 7961174.00 7961174.09 0.0029 N 7961174.00 7961174.00 UBS Securities LLC In a joint trading account at 0.22%, dated 2/28/2011 due 03/01/2011 # 40F99QNA8_06042 Government Agency Repurchase Agreement Y Unrated Security 2011-03-01 2011-03-01 N N N 52543749.00 52543748.99 0.0194 N 52543749.00 52543749.00 RBS Securities, Inc. In a joint trading account at 0.22%, dated 2/28/2011 due 03/01/2011 # 40F99QNA8_32466 Government Agency Repurchase Agreement Y Unrated Security 2011-03-01 2011-03-01 N N N 31844696.00 31844696.36 0.0118 N 31844696.00 31844696.00 J.P. Morgan Securities, Inc. In a joint trading account at 0.22%, dated 2/28/2011 due 03/01/2011 # 40F99QNA8_55502 Government Agency Repurchase Agreement Y Unrated Security 2011-03-01 2011-03-01 N N N 15922348.00 15922348.18 0.0059 N 15922348.00 15922348.00 Deutsche Bank Securities, Inc. In a joint trading account at 0.22%, dated 2/28/2011 due 03/01/2011 # 40F99QNA8_06399 Government Agency Repurchase Agreement Y Unrated Security 2011-03-01 2011-03-01 N N N 27149005.00 27149004.81 0.0100 N 27149005.00 27149005.00 Banc of America NA In a joint trading account at 0.22%, dated 2/28/2011 due 03/01/2011 # 40F99QNA8_04197 Government Agency Repurchase Agreement Y Unrated Security 2011-03-01 2011-03-01 N N N 413981053.00 413981052.66 0.1529 N 413951053.00 413951053.00 Wells Fargo Securities LLC In a joint trading account at 0.22%, dated 2/28/2011 due 03/01/2011 # 40F99QNA8_08395 Government Agency Repurchase Agreement Y Unrated Security 2011-03-01 2011-03-01 N N N 59549582.00 59549582.19 0.0220 N 59549582.00 59549582.00 Citigroup Global Markets, Inc. In a joint trading account at 0.22%, dated 2/28/2011 due 03/01/2011 # 40F99QNA8_69850 Government Agency Repurchase Agreement Y Unrated Security 2011-03-01 2011-03-01 N N N 63689393.00 63689392.72 0.0235 N 63689393.00 63689393.00 BNP Paribas Securities Corp. BNP Paribas Securities Corp., 0.21% 38Z9964Y3 0001197610 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2015-04-15 2041-02-15 0.666 - 6 Government Agency Debt 63395293.00 4714522.68 FEDERAL NATIONAL MORTGAGE ASSOC 2025-12-25 2037-07-25 0.612 - 3.5 Government Agency Debt 27570000.00 2839448.91 GOVERNMENT NATIONAL MORTAGE ASSOC 2027-05-16 2038-06-20 4.5 - 5 Government Agency Debt 6370000.00 686894.21 Unrated Security 2011-03-07 2011-03-07 Y PARBCORP N/A N/A N N 8000000.00 8000000.00 0.0030 N 8000000.00 8000000.00 BNP Paribas Securities Corp. BNP Paribas Securities Corp., 0.23% 38Z996JW1 0001197610 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2021-09-15 2041-02-15 0.576 - 6.5 Government Agency Debt 43337138.00 19913697.07 FEDERAL NATIONAL MORTGAGE ASSOC 2024-12-25 2041-03-25 0.612 - 6 Government Agency Debt 88691963.00 52230985.68 Unrated Security 2011-03-07 2011-03-07 Y PARBCORP N/A N/A N N 70000000.00 70000000.00 0.0259 N 70000000.00 70000000.00 Deutsche Bank Securities, Inc. Deutsche Bank Securities, Inc., 0.19% 40H99WDG1 0000058056 Government Agency Repurchase Agreement Y First Tier Security 2011-03-07 2011-03-07 Y DEUTSEC N/A N/A N N 16000000.00 16000000.00 0.0059 This repurchase agreement was a forward settling transaction and therefore no collateral securities had been allocated as of 2/28. The agreement contemplated the delivery of Collateralized Mortgage Obligations as collateral on settlement date. N 16000000.00 16000000.00 Deutsche Bank Securities, Inc. Deutsche Bank Securities, Inc., 0.21% 40H99WAF6 0000058056 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2039-08-01 2040-01-01 4.5 - 5 Government Agency Debt 44402654.00 29268602.46 GOVERNMENT NATIONAL MORTAGE ASSOC 2041-02-20 2041-02-20 2.5 - 2.5 Government Agency Debt 25002500.00 24801804.93 First Tier Security 2011-03-07 2011-03-07 Y DEUTSEC N/A N/A N N 53000000.00 53000000.00 0.0196 N 53000000.00 53000000.00 Deutsche Bank Securities, Inc. Deutsche Bank Securities, Inc., 0.23% 37F99EVR5 0000058056 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2035-12-01 2035-12-01 5 - 5 Government Agency Debt 17208053.00 9187390.24 First Tier Security 2011-03-07 2011-03-07 Y DEUTSEC N/A N/A N N 9000000.00 9000000.00 0.0033 N 9000000.00 9000000.00 Deutsche Bank Securities, Inc. Deutsche Bank Securities, Inc., 0.23% 37F99EXF9 0000058056 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2036-10-01 2036-10-01 5.5 - 5.5 Government Agency Debt 15197425.00 13269912.76 First Tier Security 2011-03-07 2011-03-07 Y DEUTSEC N/A N/A N N 13000000.00 13000000.00 0.0048 N 13000000.00 13000000.00 Deutsche Bank Securities, Inc. Deutsche Bank Securities, Inc., 0.24% 37F99EYJ0 0000058056 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2035-12-01 2035-12-01 5 - 5 Government Agency Debt 14238396.00 7601888.52 GOVERNMENT NATIONAL MORTAGE ASSOC 2040-08-20 2040-08-20 5 - 5 Government Agency Debt 571829.00 563877.81 First Tier Security 2011-03-07 2011-03-07 Y DEUTSEC N/A N/A N N 8000000.00 8000000.00 0.0030 N 8000000.00 8000000.00 Deutsche Bank Securities, Inc. Deutsche Bank Securities, Inc., 0.25% 37F99E3X3 0000058056 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2038-04-01 2038-04-01 4.785 - 4.785 Government Agency Debt 1329839.00 670167.08 GOVERNMENT NATIONAL MORTAGE ASSOC 2040-08-20 2040-08-20 5 - 5 Government Agency Debt 7600619.00 7494933.56 First Tier Security 2011-03-07 2011-03-07 Y DEUTSEC N/A N/A N N 8000000.00 8000000.00 0.0030 N 8000000.00 8000000.00 Deutsche Bank Securities, Inc. Deutsche Bank Securities, Inc., 0.25% 37F99ESN8 0000058056 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2037-10-01 2037-10-01 7.5 - 7.5 Government Agency Debt 51514441.00 15316362.79 First Tier Security 2011-03-07 2011-03-07 Y DEUTSEC N/A N/A N N 15000000.00 15000000.00 0.0055 N 15000000.00 15000000.00 Bank of America NA; UBS Securities LLC; Deutsche Bank Securities, Inc.; Wells Fargo Securities LLC; Citibank NA; RBS Securities, Inc. In a joint trading account at 0.22%, dated 2/28/2011 due 03/01/2011 # 40F99QNA8 Government Agency Repurchase Agreement Y FINANCE CORPORATION 2011-08-08 2019-09-26 0 - 10.7 Government Agency Debt 638272.79 496060.65 FEDERAL HOME LOAN MORTGAGE CORP 2011-03-08 2047-08-01 0 - 238 Government Agency Debt 196129007.06 124006175.31 FEDERAL HOME LOAN BANK 2011-03-18 2036-07-15 0 - 5.5 Government Agency Debt 25415286.07 25713029.89 FEDERAL FARM CREDIT 2013-05-03 2017-01-17 0.95 - 5.125 Government Agency Debt 2277153.15 2278520.87 FEDERAL AGRICULTURE MORTGAGE CORP 2011-03-01 2026-02-03 0 - 4.81 Government Agency Debt 759627.03 762217.93 US TREASURY 2011-03-03 2027-11-15 0 - 6.125 Treasury Debt 3487545.38 4094024.61 FEDERAL NATIONAL MORTGAGE ASSOC 2011-04-25 2048-08-01 0 - 9.5 Government Agency Debt 405016348.36 255613162.54 WELLS FARGO & COMPANY 2012-06-15 2012-06-15 2.125 - 2.125 Other Instrument OTHER NOTE 1329.18 1363.79 USAA CAPITAL CORPORATION 2012-03-30 2012-03-30 2.24 - 2.24 Other Instrument OTHER NOTE 10899.29 11159.05 SUNTRUST BNK FDIC TLGP 2011-11-16 2011-11-16 3 - 3 Other Instrument OTHER NOTE 108328.26 111357.85 SOVEREIGN BANCORP, INC. 2012-01-17 2012-06-15 2.5 - 2.75 Other Instrument OTHER NOTE 229350.21 235427.43 GOVERNMENT NATIONAL MORTAGE ASSOC 2017-10-16 2061-02-20 0 - 8 Government Agency Debt 317895553.00 258465436.97 RESOLUTION FUNDING CORP 2011-04-15 2030-04-15 0 - 9.375 Government Agency Debt 4236007.28 3155456.36 TENNESEE VALLEY AUTHORITY 2011-04-15 2042-04-15 0 - 8.25 Government Agency Debt 343726.25 295771.69 AMERICAN EXP BNK FDIC 2011-12-09 2011-12-09 3.15 - 3.15 Other Instrument OTHER NOTE 14620.99 15045.55 BANCO BILBAO VIZCAYA ARGENTARIA PUERTO RICO FDIC 2012-05-25 2012-05-25 0 - 0 Other Instrument CORPORATE 598131.52 598037.47 BANK AMER CORP MEDIUM TERM NTS SER L BOOK ENTRY 2011-12-02 2012-06-22 0.604 - 3.125 Other Instrument CORPORATE 2991109.51 3102446.04 CITIBANK N.A. 2012-05-07 2012-05-07 1.875 - 1.875 Other Instrument OTHER NOTE 21931.49 22427.48 CITIGROUP INC FDIC GTD TLGP 2011-12-09 2012-04-30 2.125 - 2.875 Other Instrument CORPORATE 6092328.33 6252342.94 CITIGROUP FUNDING INC. 2012-11-15 2012-12-10 1.875 - 2.25 Other Instrument OTHER NOTE 82462.40 84742.85 CITIGROUP FDG IN. FDIC 2012-04-30 2012-04-30 0.634 - 0.634 Other Instrument OTHER NOTE 7376.96 7412.87 CITIBANK, N.A. 2011-08-10 2012-12-28 0.273 - 1.875 Other Instrument OTHER NOTE 978822.29 996465.37 GMAC INC. 2012-10-30 2012-10-30 1.75 - 1.75 Other Instrument OTHER NOTE 204095.77 209025.36 GMACLLC7.30%PUBLICINCOMENOTES( 2012-12-19 2012-12-19 2.2 - 2.2 Other Instrument OTHER NOTE 573315.71 590634.97 GE CAPITAL CORP FDIC 2012-12-21 2012-12-28 2.125 - 2.625 Other Instrument OTHER NOTE 855155.28 881637.91 THE HUNTINGTON NATIONAL BANK 2012-06-01 2012-06-01 0.696 - 0.696 Other Instrument OTHER NOTE 99688.59 100443.28 JPMORGAN CHASE & CO FDIC GTD TLGP 2011-12-01 2012-06-22 2.125 - 3.125 Other Instrument CORPORATE 175774.78 180556.42 MORGAN STANLEY (FDIC TLGP) 2011-03-04 2012-03-13 0.502 - 3.25 Other Instrument OTHER NOTE 164486.17 168727.84 NEW YORK COMMUNITY BANK 2011-12-16 2011-12-16 3 - 3 Other Instrument OTHER NOTE 8639.68 8877.04 PNC FUNDING CORP 2011-06-22 2012-04-01 0.503 - 1.875 Other Instrument OTHER NOTE 100153.80 100507.28 POOLED FDG TR I 2012-02-15 2012-02-15 0 - 0 Other Instrument CORPORATE 146209.93 149346.05 REGIONS BANK FDIC TLGP 2011-12-09 2011-12-09 3.25 - 3.25 Other Instrument OTHER NOTE 19605.42 20194.22 Unrated Security 2011-03-01 2011-03-01 N N N 0.00 0.00 0.0000 N 0.00 0.00 ING Financial Markets LLC ING Financial Markets LLC, 0.22% 38B99SYH5 0000877559 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2040-12-01 2040-12-01 4 - 4 Government Agency Debt 5170000.00 5101255.02 Unrated Security 2011-03-07 2011-03-07 Y INGFIN N/A N/A N N 5000000.00 5000000.00 0.0018 N 5000000.00 5000000.00 ING Financial Markets LLC ING Financial Markets LLC, 0.22% 38B99S3E6 0000877559 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2022-10-01 2022-10-01 6 - 6 Government Agency Debt 8930000.00 4081057.79 Unrated Security 2011-03-07 2011-03-07 Y INGFIN N/A N/A N N 4000000.00 4000000.00 0.0015 N 4000000.00 4000000.00 ING Financial Markets LLC ING Financial Markets LLC, 0.22% 38B99S2L1 0000877559 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2025-04-01 2036-10-01 4.5 - 6 Government Agency Debt 24288241.00 15304052.23 Unrated Security 2011-03-07 2011-03-07 Y INGFIN N/A N/A N N 15000000.00 15000000.00 0.0055 N 15000000.00 15000000.00 ING Financial Markets LLC ING Financial Markets LLC, 0.23% 38B99SQT8 0000877559 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2040-04-01 2040-04-01 5 - 5 Government Agency Debt 7570000.00 7147533.38 Unrated Security 2011-03-07 2011-03-07 Y INGFIN N/A N/A N N 7000000.00 7000000.00 0.0026 N 7000000.00 7000000.00 ING Financial Markets LLC ING Financial Markets LLC, 0.23% 38B99SXN3 0000877559 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2024-08-01 2040-11-01 4 - 6 Government Agency Debt 40092238.00 34689184.30 Unrated Security 2011-03-07 2011-03-07 Y INGFIN N/A N/A N N 34000000.00 34000000.00 0.0126 N 34000000.00 34000000.00 ING Financial Markets LLC ING Financial Markets LLC, 0.24% 38B99SSB5 0000877559 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2025-05-01 2025-05-01 4 - 4 Government Agency Debt 2275000.00 2042597.58 Unrated Security 2011-03-07 2011-03-07 Y INGFIN N/A N/A N N 2000000.00 2000000.00 0.0007 N 2000000.00 2000000.00 ING Financial Markets LLC ING Financial Markets LLC, 0.24% 38B99SNH7 0000877559 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2037-03-01 2037-03-01 5.5 - 5.5 Government Agency Debt 8530000.00 4085814.60 Unrated Security 2011-03-07 2011-03-07 Y INGFIN N/A N/A N N 4000000.00 4000000.00 0.0015 N 4000000.00 4000000.00 ING Financial Markets LLC ING Financial Markets LLC, 0.24% 38B99SLJ5 0000877559 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2022-10-01 2037-03-01 5.5 - 6 Government Agency Debt 8674096.00 4083923.85 Unrated Security 2011-03-07 2011-03-07 Y INGFIN N/A N/A N N 4000000.00 4000000.00 0.0015 N 4000000.00 4000000.00 ING Financial Markets LLC ING Financial Markets LLC, 0.24% 38B99SKL1 0000877559 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2025-06-01 2040-07-01 4 - 6.5 Government Agency Debt 39750491.00 35734633.10 Unrated Security 2011-03-07 2011-03-07 Y INGFIN N/A N/A N N 35000000.00 35000000.00 0.0129 N 35000000.00 35000000.00 ING Financial Markets LLC ING Financial Markets LLC, 0.25% 38B99SJN9 0000877559 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2040-12-01 2040-12-01 4 - 4 Government Agency Debt 5175000.00 5106188.53 Unrated Security 2011-03-07 2011-03-07 Y INGFIN N/A N/A N N 5000000.00 5000000.00 0.0018 N 5000000.00 5000000.00 ING Financial Markets LLC ING Financial Markets LLC, 0.28% 38B99SFE3 0000877559 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2037-05-01 2037-05-01 6.5 - 6.5 Government Agency Debt 13530000.00 3064462.60 Unrated Security 2011-03-01 2011-03-01 Y INGFIN N/A N/A N N 3000000.00 3000000.00 0.0011 N 3000000.00 3000000.00 RBC Capital Markets Corp. RBC Capital Markets Corp., 0.24% 36U99E4Q2 0000050916 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2037-07-01 2038-07-01 4.664 - 5.5 Government Agency Debt 8272597.00 4082448.38 First Tier Security 2011-03-01 2011-03-01 Y RBC CAP N/A N/A N N 4000000.00 4000000.00 0.0015 N 4000000.00 4000000.00 RBS Securities, Inc. RBS Securities, Inc., 0.25% 37T99XLN8 0000808379 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2040-02-01 2040-02-01 4.015 - 4.015 Government Agency Debt 4395000.00 4087883.39 Unrated Security 2011-03-07 2011-03-07 Y RBSSECUR N/A N/A N N 4000000.00 4000000.00 0.0015 N 4000000.00 4000000.00 Wells Fargo Securities, LLC Wells Fargo Securities, LLC, 0.25% 37V99JNX2 0000276523 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2041-02-01 2041-02-01 4 - 4 Government Agency Debt 2084560.00 2059101.27 FEDERAL NATIONAL MORTGAGE ASSOC 2014-04-01 2014-04-01 6 - 6 Government Agency Debt 90715.00 2079.13 Unrated Security 2011-03-07 2011-03-07 Y WELLSFAR N/A N/A N N 2000000.00 2000000.00 0.0007 N 2000000.00 2000000.00