0000278001-11-000026.txt : 20110429 0000278001-11-000026.hdr.sgml : 20110429 20110307142740 ACCESSION NUMBER: 0000278001-11-000026 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: 11668065 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 S000007149 Fidelity Cash Reserves C000019553 Fidelity Cash Reserves FDRXX N-MFP 1 primary_doc.xml N-MFP N-MFP LIVE N 2011-02-28 0000278001 S000007149 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 Prime 54 103 118659366963.22 378692880.25 2877262805.75 116160797037.72 0.0040 1.0003 2011-02-28 1.0003 2011-02-28 C000019553 2500.00 116160797037.72 1.00 -915319548.48 22405897877.97 23321217426.45 0.0001 1.0003 2011-02-28 1.0003 2011-02-28 Bank of Montreal Bank of Montreal, 0.36% 06366UEK0 Certificate of Deposit First Tier Security 2011-03-22 2011-11-22 N N N 101000000.00 101000000.00 0.0009 N 100963640.00 100963640.00 Bank of Montreal Bank of Montreal, 0.41% 06366FK91 Certificate of Deposit First Tier Security 2011-03-25 2011-05-25 N N N 388000000.00 388000000.00 0.0033 N 387974392.00 387974392.00 Bank of Nova Scotia Bank of Nova Scotia, 0.38% 06417DJE6 Certificate of Deposit First Tier Security 2011-05-16 2012-03-16 N N N 206000000.00 206000000.00 0.0018 N 205942114.00 205942114.00 Bank of Nova Scotia New York Branch Bank of Nova Scotia New York Branch, 0.28% 06417DC94 Certificate of Deposit First Tier Security 2011-05-31 2011-05-31 N N N 500000000.00 500000000.00 0.0043 N 500000000.00 500000000.00 Bank of Tokyo-Mitsubishi Bank of Tokyo-Mitsubishi, 0.40% 06538DDU0 Certificate of Deposit First Tier Security 2011-07-11 2011-07-11 N N N 1000000000.00 1000000000.00 0.0086 N 1000110000.00 1000110000.00 Bank of Tokyo-Mitsubishi Bank of Tokyo-Mitsubishi, 0.40% 06538DEH8 Certificate of Deposit First Tier Security 2011-07-19 2011-07-19 N N N 800000000.00 800000000.00 0.0069 N 800093360.00 800093360.00 Bank of Tokyo-Mitsubishi Bank of Tokyo-Mitsubishi, 0.40% 06538DEP0 Certificate of Deposit First Tier Security 2011-07-20 2011-07-20 N N N 700000000.00 700000000.00 0.0060 N 700082250.00 700082250.00 Bank of Tokyo-Mitsubishi Bank of Tokyo-Mitsubishi, 0.40% 06538DEY1 Certificate of Deposit First Tier Security 2011-07-25 2011-07-25 N N N 981000000.00 981000000.00 0.0084 N 981119387.70 981119387.70 Bank of Tokyo-Mitsubishi Bank of Tokyo-Mitsubishi, 0.40% 06538DGX1 Certificate of Deposit First Tier Security 2011-08-15 2011-08-15 N N N 188000000.00 188000000.00 0.0016 N 188008685.60 188008685.60 Bank of Tokyo-Mitsubishi Bank of Tokyo-Mitsubishi, 0.50% 06538A3Q6 Certificate of Deposit First Tier Security 2011-07-07 2011-07-07 N N N 380000000.00 380000000.00 0.0033 N 380175788.00 380175788.00 Bank of Tokyo-Mitsubishi Bank of Tokyo-Mitsubishi, 0.50% 06538A3U7 Certificate of Deposit First Tier Security 2011-07-08 2011-07-08 N N N 379000000.00 379000000.00 0.0033 N 379176689.80 379176689.80 Bank of Tokyo-Mitsubishi Bank of Tokyo-Mitsubishi, 0.50% 06538A3V5 Certificate of Deposit First Tier Security 2011-07-11 2011-07-11 N N N 379000000.00 379000000.00 0.0033 N 379180745.10 379180745.10 BNP Paribas New York Branch BNP Paribas New York Branch, 0.35% 0556M5K95 Certificate of Deposit First Tier Security 2011-03-14 2011-03-14 N N N 750000000.00 750000000.00 0.0065 N 750026250.00 750026250.00 BNP Paribas New York Branch BNP Paribas New York Branch, 0.37% 0556M5W50 Certificate of Deposit First Tier Security 2011-05-16 2011-05-16 N N N 1000000000.00 1000000000.00 0.0086 N 1000021300.00 1000021300.00 BNP Paribas New York Branch BNP Paribas New York Branch, 0.37% 0556M52F1 Certificate of Deposit First Tier Security 2011-05-24 2011-05-24 N N N 500000000.00 500000000.00 0.0043 N 500011750.00 500011750.00 BNP Paribas New York Branch BNP Paribas New York Branch, 0.40% 0556M5TR6 Certificate of Deposit First Tier Security 2011-04-06 2011-04-06 N N N 500000000.00 500000000.00 0.0043 N 500046000.00 500046000.00 BNP Paribas New York Branch BNP Paribas New York Branch, 0.41% 0556M5XS9 Certificate of Deposit First Tier Security 2011-05-12 2011-05-12 N N N 1150000000.00 1150000000.00 0.0099 N 1150115460.00 1150115460.00 BNP Paribas New York Branch BNP Paribas New York Branch, 0.44% 0556M5SA4 Certificate of Deposit First Tier Security 2011-03-22 2011-03-22 N N N 801000000.00 801000000.00 0.0069 N 801087869.70 801087869.70 Canadian Imperial Bank of Commerce New York Branch Canadian Imperial Bank of Commerce New York Branch, 0.35% 13606XF52 Certificate of Deposit First Tier Security 2011-03-04 2011-10-04 N N N 376000000.00 376000000.00 0.0032 N 375889832.00 375889832.00 Canadian Imperial Bank of Commerce New York Branch Canadian Imperial Bank of Commerce New York Branch, 0.35% 13606XF86 Certificate of Deposit First Tier Security 2011-03-08 2011-11-07 N N N 757000000.00 757000000.00 0.0065 N 756743377.00 756743377.00 Canadian Imperial Bank of Commerce New York Branch Canadian Imperial Bank of Commerce New York Branch, 0.35% 13606XM96 Certificate of Deposit First Tier Security 2011-04-11 2012-01-11 N N N 554000000.00 554000000.00 0.0048 N 553757902.00 553757902.00 Canadian Imperial Bank of Commerce New York Branch Canadian Imperial Bank of Commerce New York Branch, 0.35% 13606XN87 Certificate of Deposit First Tier Security 2011-04-15 2012-03-16 N N N 1107000000.00 1107000000.00 0.0095 N 1106461998.00 1106461998.00 Canadian Imperial Bank of Commerce New York Branch Canadian Imperial Bank of Commerce New York Branch, 0.37% 13606XB31 Certificate of Deposit First Tier Security 2011-03-07 2011-03-07 N N N 213000000.00 213000000.00 0.0018 N 213001278.00 213001278.00 Canadian Imperial Bank of Commerce New York Branch Canadian Imperial Bank of Commerce New York Branch, 0.42% 13606XA57 Certificate of Deposit First Tier Security 2011-03-01 2011-04-01 N N N 393000000.00 393001422.82 0.0034 N 392979957.00 392979957.00 Canadian Imperial Bank of Commerce New York Branch Canadian Imperial Bank of Commerce New York Branch, 0.42% 13606XB49 Certificate of Deposit First Tier Security 2011-03-07 2011-05-09 N N N 196000000.00 196000000.00 0.0017 N 195990984.00 195990984.00 Canadian Imperial Bank of Commerce New York Branch Canadian Imperial Bank of Commerce New York Branch, 0.50% 13606XE61 Certificate of Deposit First Tier Security 2011-09-13 2011-09-13 N N N 413000000.00 413000000.00 0.0036 N 413359144.80 413359144.80 Commerzbank AG New York Branch Commerzbank AG New York Branch, 0.37% 20259XL68 Certificate of Deposit First Tier Security 2011-03-07 2011-03-07 N N N 364000000.00 364000000.00 0.0031 N 364007789.60 364007789.60 Commerzbank AG New York Branch Commerzbank AG New York Branch, 0.42% 20259XQ55 Certificate of Deposit First Tier Security 2011-05-06 2011-05-06 N N N 1000000000.00 1000000000.00 0.0086 N 1000204600.00 1000204600.00 Commerzbank AG New York Branch Commerzbank AG New York Branch, 0.43% 20259XQ63 Certificate of Deposit First Tier Security 2011-05-13 2011-05-13 N N N 95000000.00 95000000.00 0.0008 N 95023417.50 95023417.50 Credit Agricole CIB Credit Agricole CIB, 0.36% 22532YYJ9 Certificate of Deposit First Tier Security 2011-03-01 2011-03-01 N N N 291000000.00 291000000.00 0.0025 N 291000640.20 291000640.20 Credit Suisse New York Branch Credit Suisse New York Branch, 0.32% 22550CYK1 Certificate of Deposit First Tier Security 2011-03-24 2011-07-25 N N N 369000000.00 369000000.00 0.0032 N 369057933.00 369057933.00 Deutsche Bank Deutsche Bank, 0.36% 25152XMM9 Certificate of Deposit First Tier Security 2011-03-24 2011-07-25 N N N 1300000000.00 1300000000.00 0.0112 N 1299998700.00 1299998700.00 Deutsche Bank AG New York Branch Deutsche Bank AG New York Branch, 0.34% 25154TF28 Certificate of Deposit First Tier Security 2011-05-13 2011-05-13 N N N 350000000.00 350000000.00 0.0030 N 350043050.00 350043050.00 DnB NOR Bank ASA DnB NOR Bank ASA, 0.31% 25600TYD3 Certificate of Deposit First Tier Security 2011-03-04 2011-08-04 N N N 375000000.00 375000000.00 0.0032 N 374952750.00 374952750.00 DZ BANK AG DZ BANK AG, 0.25% 23328AAZ7 Certificate of Deposit First Tier Security 2011-03-01 2011-03-01 N N N 300000000.00 300000000.00 0.0026 N 299999910.00 299999910.00 Intesa Sanpaolo SpA New York Branch Intesa Sanpaolo SpA New York Branch, 0.40% 46115KJE1 Certificate of Deposit First Tier Security 2011-03-01 2011-03-01 N N N 349000000.00 349000000.00 0.0030 N 349000488.60 349000488.60 Landesbank Baden-Wuerttemberg New York Branch Landesbank Baden-Wuerttemberg New York Branch, 0.37% 51488P5X2 Certificate of Deposit First Tier Security 2011-03-22 2011-03-22 N N N 1553000000.00 1553000000.00 0.0134 N 1553104361.60 1553104361.60 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.25% 60687CM20 Certificate of Deposit First Tier Security 2011-03-16 2011-03-16 N N N 500000000.00 500000000.00 0.0043 N 499997750.00 499997750.00 National Bank Canada National Bank Canada, 0.41% 63306VP87 Certificate of Deposit First Tier Security 2011-05-05 2011-11-04 N N N 998000000.00 998000000.00 0.0086 N 997631738.00 997631738.00 Natixis SA Natixis SA, 0.41% 63873BS24 Certificate of Deposit First Tier Security 2011-03-17 2011-04-04 Y NATIXIS N Y BRH N/A N/A N N 832000000.00 832000000.00 0.0072 N 832272064.00 832272064.00 Natixis SA Natixis SA, 0.50% 63873BG43 Certificate of Deposit First Tier Security 2011-03-07 2011-03-07 N N N 758000000.00 758000000.00 0.0065 N 758435092.00 758435092.00 Natixis SA Natixis SA, 2.00% 63873BHT7 Certificate of Deposit First Tier Security 2011-03-22 2011-03-22 Y NATIXIS N Y BRH N/A N/A N N 661000000.00 661000000.00 0.0057 N 662908307.00 662908307.00 Rabobank Nederland New York Branch Rabobank Nederland New York Branch, 0.30% 74977LT80 Certificate of Deposit First Tier Security 2011-06-08 2011-06-08 N N N 282000000.00 282000000.00 0.0024 N 282015622.80 282015622.80 Rabobank Nederland New York Branch Rabobank Nederland New York Branch, 0.31% 74977MSU0 Certificate of Deposit First Tier Security 2011-06-08 2011-06-08 N N N 957000000.00 957000000.00 0.0082 N 957079526.70 957079526.70 Rabobank Nederland New York Branch Rabobank Nederland New York Branch, 0.34% 74977MLX1 Certificate of Deposit First Tier Security 2011-03-09 2011-03-09 N N N 608000000.00 608000000.00 0.0052 N 608018179.20 608018179.20 Rabobank Nederland New York Branch Rabobank Nederland New York Branch, 0.36% 74977MTC9 Certificate of Deposit First Tier Security 2011-03-11 2012-03-12 N N N 2250000000.00 2250000000.00 0.0194 N 2249311500.00 2249311500.00 Rabobank Nederland New York Branch Rabobank Nederland New York Branch, 0.50% 74977MMB8 Certificate of Deposit First Tier Security 2011-09-12 2011-09-12 N N N 379000000.00 379000000.00 0.0033 N 379203939.90 379203939.90 Royal Bank of Canada Royal Bank of Canada, 0.64% 78009JKX2 Certificate of Deposit First Tier Security 2011-04-01 2012-02-01 N N N 900000000.00 900000000.00 0.0077 N 901257300.00 901257300.00 Royal Bank of Canada New York Branch Royal Bank of Canada New York Branch, 0.31% 78009J2L8 Certificate of Deposit First Tier Security 2011-05-06 2012-02-06 N N N 750000000.00 749648548.80 0.0065 N 747802500.00 747802500.00 Societe Generale Societe Generale, 0.35% 83369RQZ7 Certificate of Deposit First Tier Security 2011-04-11 2011-04-11 N N N 743000000.00 743000000.00 0.0064 N 743017237.60 743017237.60 Societe Generale Societe Generale, 1.71% 8336P2ZP6 Certificate of Deposit First Tier Security 2011-05-05 2011-05-05 Y SOCGEN N/A N/A N N 228000000.00 228000000.00 0.0020 N 228407892.00 228407892.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.30% 86562GN66 Certificate of Deposit First Tier Security 2011-03-11 2011-03-11 N N N 150000000.00 150000000.00 0.0013 N 150002280.00 150002280.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.30% 86562GN41 Certificate of Deposit First Tier Security 2011-03-15 2011-03-15 N N N 400000000.00 400000000.00 0.0034 N 400008320.00 400008320.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.30% 86562GR70 Certificate of Deposit First Tier Security 2011-03-23 2011-03-23 N N N 478000000.00 478000000.00 0.0041 N 478015248.20 478015248.20 Svenska Handelsbanken Svenska Handelsbanken, 0.30% 86959BQL2 Certificate of Deposit First Tier Security 2011-06-24 2011-06-24 N N N 234000000.00 233996187.76 0.0020 N 233958558.60 233958558.60 Svenska Handelsbanken Svenska Handelsbanken, 0.35% 86959BLM5 Certificate of Deposit First Tier Security 2011-05-03 2011-05-03 N N N 735000000.00 735006421.40 0.0063 N 735058432.50 735058432.50 Toronto-Dominion Bank New York Branch Toronto-Dominion Bank New York Branch, 0.34% 89112YSH7 Certificate of Deposit First Tier Security 2011-03-14 2012-01-12 N N N 304100000.00 304100000.00 0.0026 N 303969541.10 303969541.10 UBS AG UBS AG, 0.31% 90267AYZ3 Certificate of Deposit First Tier Security 2011-03-16 2011-03-16 N N N 520000000.00 520000000.00 0.0045 N 520023088.00 520023088.00 UBS AG UBS AG, 0.35% 90267AZD1 Certificate of Deposit First Tier Security 2011-04-20 2011-04-20 N N N 695000000.00 695000000.00 0.0060 N 695068666.00 695068666.00 UBS AG UBS AG, 0.35% 90267AZM1 Certificate of Deposit First Tier Security 2011-05-02 2011-05-02 N N N 652000000.00 652000000.00 0.0056 N 652102494.40 652102494.40 UBS AG UBS AG, 0.37% 90267AA89 Certificate of Deposit First Tier Security 2011-03-21 2011-07-21 N N N 1500000000.00 1500000000.00 0.0129 N 1499712000.00 1499712000.00 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.30% 202991TC9 0000008565 Certificate of Deposit First Tier Security 2011-04-04 2011-04-04 N N N 183000000.00 183000000.00 0.0016 N 183012425.70 183012425.70 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.30% 202991TQ8 0000008565 Certificate of Deposit First Tier Security 2011-06-07 2011-06-07 N N N 373000000.00 373000000.00 0.0032 N 373020440.40 373020440.40 Credit Agricole SA Credit Agricole SA, 0.35% 22999KKN1 0001191672 Certificate of Deposit First Tier Security 2011-03-01 2011-03-01 N N N 781000000.00 781000000.00 0.0067 N 781001483.90 781001483.90 Credit Agricole SA Credit Agricole SA, 0.37% 22999KKQ4 0001191672 Certificate of Deposit First Tier Security 2011-04-08 2011-04-08 N N N 714000000.00 714000000.00 0.0061 N 714053835.60 714053835.60 Credit Agricole SA Credit Agricole SA, 0.45% 22999KKM3 0001191672 Certificate of Deposit First Tier Security 2011-05-03 2011-05-03 N N N 781000000.00 781000000.00 0.0067 N 781124100.90 781124100.90 Credit Industriel et Commercial Credit Industriel et Commercial, 0.40% 22999AHE7 0001274419 Certificate of Deposit First Tier Security 2011-05-03 2011-05-03 N N N 2000000000.00 2000000000.00 0.0172 N 2000319600.00 2000319600.00 Danske Bank AS Danske Bank AS, 0.33% 21P99HXR9 Certificate of Deposit First Tier Security 2011-04-11 2011-04-11 N N N 372000000.00 372001057.64 0.0032 N 372022766.40 372022766.40 HSBC Bank PLC HSBC Bank PLC, 0.32% 35X99QAM6 0001140465 Certificate of Deposit First Tier Security 2011-04-14 2011-04-14 N N N 426000000.00 426000000.00 0.0037 N 426074422.20 426074422.20 HSBC Bank PLC HSBC Bank PLC, 0.50% 35X99QAL8 0001140465 Certificate of Deposit First Tier Security 2011-08-29 2011-08-29 N N N 190000000.00 190000000.00 0.0016 N 190171836.00 190171836.00 HSBC Bank PLC HSBC Bank PLC, 0.53% 13L997GY6 0001140465 Certificate of Deposit First Tier Security 2012-02-29 2012-02-29 N N N 266000000.00 266000000.00 0.0023 N 265570223.80 265570223.80 ING Bank NV ING Bank NV, 0.30% 38T99AAN8 Certificate of Deposit First Tier Security 2011-04-01 2011-04-01 N N N 1175000000.00 1175000000.00 0.0101 N 1175020797.50 1175020797.50 ING Bank NV ING Bank NV, 0.30% 37X99JXW1 0001017255 Certificate of Deposit First Tier Security 2011-05-04 2011-05-04 N N N 500000000.00 500000000.00 0.0043 N 499990950.00 499990950.00 ING Bank NV ING Bank NV, 0.30% 37X99JYL4 0001017255 Certificate of Deposit First Tier Security 2011-05-09 2011-05-09 N N N 706000000.00 706000000.00 0.0061 N 706000000.00 706000000.00 ING Bank NV ING Bank NV, 0.31% 37X99JXE1 0001017255 Certificate of Deposit First Tier Security 2011-05-03 2011-05-03 N N N 500000000.00 500000000.00 0.0043 N 499999950.00 499999950.00 ING Bank NV ING Bank NV, 0.33% 38T99AAL2 Certificate of Deposit First Tier Security 2011-03-01 2011-03-01 N N N 312000000.00 312000000.00 0.0027 N 312000592.80 312000592.80 ING Bank NV ING Bank NV, 0.33% 37X99JSC1 0001017255 Certificate of Deposit First Tier Security 2011-03-02 2011-03-02 N N N 531000000.00 531000000.00 0.0046 N 531002070.90 531002070.90 Landesbank Hessen-Thuringen Landesbank Hessen-Thuringen, 0.33% 02B99KML2 Certificate of Deposit First Tier Security 2011-03-15 2011-03-15 N N N 671000000.00 671000000.00 0.0058 N 671018184.10 671018184.10 Landesbank Hessen-Thuringen Landesbank Hessen-Thuringen, 0.33% 02B99KMM0 Certificate of Deposit First Tier Security 2011-03-16 2011-03-16 N N N 455000000.00 455000000.00 0.0039 N 455013149.50 455013149.50 Landesbank Hessen-Thuringen Landesbank Hessen-Thuringen, 0.33% 02B99KMQ1 Certificate of Deposit First Tier Security 2011-03-23 2011-03-23 N N N 664000000.00 664000000.00 0.0057 N 664027556.00 664027556.00 National Australia Bank Ltd. National Australia Bank Ltd., 0.30% 6329908E0 0000833029 Certificate of Deposit First Tier Security 2011-03-16 2011-03-16 N N N 779000000.00 779000000.00 0.0067 N 779031082.10 779031082.10 National Australia Bank Ltd. National Australia Bank Ltd., 0.40% 6329908K6 0000833029 Certificate of Deposit First Tier Security 2011-07-06 2011-07-06 N N N 740000000.00 740000000.00 0.0064 N 740262330.00 740262330.00 National Australia Bank Ltd. National Australia Bank Ltd., 0.40% 6329908L4 0000833029 Certificate of Deposit First Tier Security 2011-07-08 2011-07-08 N N N 760000000.00 760000000.00 0.0065 N 760273676.00 760273676.00 National Australia Bank Ltd. National Australia Bank Ltd., 0.42% 6329907Y7 0000833029 Certificate of Deposit First Tier Security 2011-06-10 2011-06-10 N N N 184000000.00 184002575.78 0.0016 N 184075384.80 184075384.80 National Australia Bank Ltd. National Australia Bank Ltd., 0.43% 6329907X9 0000833029 Certificate of Deposit First Tier Security 2011-06-06 2011-06-06 N N N 552000000.00 552000000.00 0.0048 N 552217267.20 552217267.20 Asb Finance Ltd. Iam Commercial Paper 4/2 Asb Finance Ltd. Iam Commercial Paper 4/2, 0.41% 0020P5BW8 Financial Company Commercial Paper First Tier Security 2011-03-28 2012-01-27 N N N 150000000.00 149993044.68 0.0013 N 149932650.00 149932650.00 Australia & New Zealand Banking Group Ltd. Australia & New Zealand Banking Group Ltd., 0.32% 05253CRB4 Financial Company Commercial Paper First Tier Security 2011-04-11 2011-04-11 N N N 326000000.00 325881191.06 0.0028 N 325937636.20 325937636.20 Barclays Bank PLC/Barclays US CCP Funding LLC Barclays Bank PLC/Barclays US CCP Funding LLC, 0.32% 06741GAQ8 Financial Company Commercial Paper First Tier Security 2011-04-08 2011-04-08 N N N 40000000.00 39986488.89 0.0003 N 39989772.00 39989772.00 Barclays Bank PLC/Barclays US CCP Funding LLC Barclays Bank PLC/Barclays US CCP Funding LLC, 0.32% 06741GAQ8 Financial Company Commercial Paper First Tier Security 2011-04-08 2011-04-08 N N N 200000000.00 199932444.48 0.0017 N 199948860.00 199948860.00 Barclays Bank PLC/Barclays US CCP Funding LLC Barclays Bank PLC/Barclays US CCP Funding LLC, 0.32% 06741GAN5 Financial Company Commercial Paper First Tier Security 2011-04-19 2011-04-19 N N N 377000000.00 376835795.46 0.0032 N 376870651.30 376870651.30 Commerzbank U.S. Finance, Inc. Commerzbank U.S. Finance, Inc., 0.37% 20260BQ76 Financial Company Commercial Paper First Tier Security 2011-03-07 2011-03-07 N N N 349000000.00 348978478.35 0.0030 N 348987785.00 348987785.00 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.34% 20272AAC0 Financial Company Commercial Paper First Tier Security 2011-03-07 2011-05-31 N N N 150000000.00 150000000.00 0.0013 N 149982150.00 149982150.00 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.34% 20272AAD8 Financial Company Commercial Paper First Tier Security 2011-03-10 2011-06-03 N N N 139000000.00 139000000.00 0.0012 N 138992355.00 138992355.00 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.34% 20272AAN6 Financial Company Commercial Paper First Tier Security 2011-03-22 2011-09-16 N N N 174000000.00 173990354.87 0.0015 N 173951628.00 173951628.00 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.35% 20272AAL0 Financial Company Commercial Paper First Tier Security 2011-03-02 2011-08-26 N N N 187000000.00 187000000.00 0.0016 N 186973072.00 186973072.00 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.36% 20272AAR7 Financial Company Commercial Paper First Tier Security 2011-05-04 2011-10-28 N N N 283000000.00 283000000.00 0.0024 N 282898120.00 282898120.00 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.36% 20272AAV8 Financial Company Commercial Paper First Tier Security 2011-05-20 2011-11-21 N N N 180000000.00 180000000.00 0.0015 N 179935020.00 179935020.00 Credit Agricole North America Credit Agricole North America, 0.36% 22532CQ15 Financial Company Commercial Paper First Tier Security 2011-03-01 2011-03-01 N N N 25000000.00 25000000.00 0.0002 N 24999895.00 24999895.00 Credit Suisse New York Branch Credit Suisse New York Branch, 0.32% 2254EBS51 Financial Company Commercial Paper First Tier Security 2011-05-05 2011-05-05 N N N 2190000000.00 2188734666.18 0.0188 N 2188827693.00 2188827693.00 Danske Corp. Danske Corp., 0.32% 2363F7RB6 Financial Company Commercial Paper First Tier Security 2011-04-11 2011-04-11 N N N 151000000.00 150944968.83 0.0013 N 150952782.30 150952782.30 Danske Corp. Danske Corp., 0.32% 2363F7RE0 Financial Company Commercial Paper First Tier Security 2011-04-14 2011-04-14 N N N 359000000.00 358859591.08 0.0031 N 358878837.50 358878837.50 Deutsche Bank Financial LLC Deutsche Bank Financial LLC, 0.30% 25153KQ34 Financial Company Commercial Paper First Tier Security 2011-03-03 2011-03-03 N N N 184000000.00 183996933.34 0.0016 N 183997240.00 183997240.00 Deutsche Bank Financial LLC Deutsche Bank Financial LLC, 0.30% 25153KQP5 Financial Company Commercial Paper First Tier Security 2011-03-23 2011-03-23 N N N 245000000.00 244955083.32 0.0021 N 244962907.00 244962907.00 Deutsche Bank Financial LLC Deutsche Bank Financial LLC, 0.34% 25153KSD0 Financial Company Commercial Paper First Tier Security 2011-05-13 2011-05-13 N N N 450000000.00 449689749.93 0.0039 N 449727120.00 449727120.00 DnB NOR Bank ASA DnB NOR Bank ASA, 0.31% 2332K4AZ7 Financial Company Commercial Paper First Tier Security 2011-03-21 2011-07-21 N N N 300000000.00 300000000.00 0.0026 N 299942400.00 299942400.00 DnB NOR Bank ASA DnB NOR Bank ASA, 0.31% 2332K4BD5 Financial Company Commercial Paper First Tier Security 2011-03-22 2011-08-22 N N N 62000000.00 62000000.00 0.0005 N 61985492.00 61985492.00 DnB NOR Bank ASA DnB NOR Bank ASA, 0.31% 2332K4BA1 Financial Company Commercial Paper First Tier Security 2011-03-25 2011-07-25 N N N 329000000.00 329000000.00 0.0028 N 328999671.00 328999671.00 DnB NOR Bank ASA DnB NOR Bank ASA, 0.35% 2332K1Q78 Financial Company Commercial Paper First Tier Security 2011-03-07 2011-03-07 N N N 375000000.00 374978124.98 0.0032 N 374986875.00 374986875.00 Intesa Funding LLC Intesa Funding LLC, 0.40% 4611K1Q24 Financial Company Commercial Paper First Tier Security 2011-03-02 2011-03-02 N N N 713000000.00 712992077.72 0.0061 N 712990089.30 712990089.30 Intesa Funding LLC Intesa Funding LLC, 0.40% 4611K1Q40 Financial Company Commercial Paper First Tier Security 2011-03-04 2011-03-04 N N N 256000000.00 255991466.65 0.0022 N 255992883.20 255992883.20 Intesa Funding LLC Intesa Funding LLC, 0.40% 4611K1Q99 Financial Company Commercial Paper First Tier Security 2011-03-09 2011-03-09 N N N 390000000.00 389965333.37 0.0034 N 389975391.00 389975391.00 Intesa Funding LLC Intesa Funding LLC, 0.40% 4611K1QG3 Financial Company Commercial Paper First Tier Security 2011-03-16 2011-03-16 N N N 367000000.00 366938833.29 0.0032 N 366957317.90 366957317.90 Intesa Funding LLC Intesa Funding LLC, 0.41% 4611K1R64 Financial Company Commercial Paper First Tier Security 2011-04-06 2011-04-06 N N N 515000000.00 514788850.00 0.0044 N 514788850.00 514788850.00 Landesbank Baden-Wuert Landesbank Baden-Wuert, 0.40% 5148X1Q14 Financial Company Commercial Paper First Tier Security 2011-03-01 2011-03-01 N N N 500000000.00 500000000.00 0.0043 N 499996550.00 499996550.00 Landesbank Baden-Wuert Landesbank Baden-Wuert, 0.40% 5148X1Q22 Financial Company Commercial Paper First Tier Security 2011-03-02 2011-03-02 N N N 241000000.00 240997322.20 0.0021 N 240996650.10 240996650.10 Landesbank Hessen-Thuringen Landesbank Hessen-Thuringen, 0.32% 51489HQ81 Financial Company Commercial Paper First Tier Security 2011-03-08 2011-03-08 N N N 489000000.00 488969573.34 0.0042 N 488980097.70 488980097.70 Nationwide Building Society Nationwide Building Society, 0.35% 6385E1QG9 Financial Company Commercial Paper First Tier Security 2011-03-16 2011-03-16 N N N 116000000.00 115983083.35 0.0010 N 115989432.40 115989432.40 Nationwide Building Society Nationwide Building Society, 0.35% 6385E1QH7 Financial Company Commercial Paper First Tier Security 2011-03-17 2011-03-17 N N N 43000000.00 42993311.11 0.0004 N 42995734.40 42995734.40 Nationwide Building Society Nationwide Building Society, 0.35% 6385E1QN4 Financial Company Commercial Paper First Tier Security 2011-03-22 2011-03-22 N N N 120000000.00 119975499.98 0.0010 N 119982912.00 119982912.00 Nordea North America, Inc. Nordea North America, Inc., 0.31% 6555P1SR9 Financial Company Commercial Paper First Tier Security 2011-05-25 2011-05-25 N N N 200000000.00 199855972.24 0.0017 N 199871480.00 199871480.00 Nordea North America, Inc. Nordea North America, Inc., 0.31% 6555P1SS7 Financial Company Commercial Paper First Tier Security 2011-05-26 2011-05-26 N N N 50000000.00 49963569.46 0.0004 N 49967495.00 49967495.00 Nordea North America, Inc. Nordea North America, Inc., 0.31% 6555P1ST5 Financial Company Commercial Paper First Tier Security 2011-05-27 2011-05-27 N N N 700000000.00 699484041.48 0.0060 N 699539680.00 699539680.00 Nordea North America, Inc. Nordea North America, Inc., 0.31% 6555P1SX6 Financial Company Commercial Paper First Tier Security 2011-05-31 2011-05-31 N N N 600000000.00 599537416.80 0.0052 N 599582940.00 599582940.00 Nordea North America, Inc. Nordea North America, Inc., 0.35% 6555P1Q18 Financial Company Commercial Paper First Tier Security 2011-03-01 2011-03-01 N N N 76000000.00 76000000.00 0.0007 N 75999680.80 75999680.80 Rabobank USA Financial Corp. Rabobank USA Financial Corp., 0.30% 74977LT80 Financial Company Commercial Paper First Tier Security 2011-06-08 2011-06-08 N N N 75000000.00 74938125.00 0.0006 N 74954790.00 74954790.00 Royal Bank of Canada Royal Bank of Canada, 0.40% 78009BTG7 Financial Company Commercial Paper First Tier Security 2011-06-16 2011-06-16 N N N 742000000.00 741117844.51 0.0064 N 741505828.00 741505828.00 Skandinaviska Enskilda Banken AB Skandinaviska Enskilda Banken AB, 0.32% 83050UR59 Financial Company Commercial Paper First Tier Security 2011-04-05 2011-04-05 N N N 200000000.00 199937777.80 0.0017 N 199947200.00 199947200.00 Skandinaviska Enskilda Banken AB Skandinaviska Enskilda Banken AB, 0.32% 83050UR67 Financial Company Commercial Paper First Tier Security 2011-04-06 2011-04-06 N N N 350000000.00 349888000.00 0.0030 N 349904660.00 349904660.00 Skandinaviska Enskilda Banken AB Skandinaviska Enskilda Banken AB, 0.32% 83050UR75 Financial Company Commercial Paper First Tier Security 2011-04-07 2011-04-07 N N N 331000000.00 330891137.74 0.0028 N 330907419.30 330907419.30 Societe Generale North America, Inc. Societe Generale North America, Inc., 0.35% 83365SRB1 Financial Company Commercial Paper First Tier Security 2011-04-11 2011-04-11 N N N 721000000.00 720712601.32 0.0062 N 720774543.30 720774543.30 Societe Generale North America, Inc. Societe Generale North America, Inc., 0.40% 83365SR13 Financial Company Commercial Paper First Tier Security 2011-04-01 2011-04-01 N N N 1142000000.00 1141606644.49 0.0098 N 1141735056.00 1141735056.00 Societe Generale North America, Inc. Societe Generale North America, Inc., 0.40% 83365SS20 Financial Company Commercial Paper First Tier Security 2011-05-02 2011-05-02 N N N 475000000.00 474672777.82 0.0041 N 474667500.00 474667500.00 Sumitomo Trust & Banking Co. Ltd. Sumitomo Trust & Banking Co. Ltd., 0.35% 86563HRE2 Financial Company Commercial Paper First Tier Security 2011-04-14 2011-04-14 N N N 200000000.00 199914444.48 0.0017 N 199932500.00 199932500.00 Sumitomo Trust & Banking Co. Ltd. Sumitomo Trust & Banking Co. Ltd., 0.35% 86563HRF9 Financial Company Commercial Paper First Tier Security 2011-04-15 2011-04-15 N N N 135000000.00 134940937.53 0.0012 N 134953249.50 134953249.50 Total Capital Canada Ltd. Total Capital Canada Ltd., 0.40% 89153QWF3 Financial Company Commercial Paper First Tier Security 2011-09-15 2011-09-15 N N N 134000000.00 133705200.05 0.0012 N 133682969.40 133682969.40 Total Capital Canada Ltd. Total Capital Canada Ltd., 0.43% 89153QWG1 Financial Company Commercial Paper First Tier Security 2011-09-16 2011-09-16 N N N 265000000.00 264370109.79 0.0023 N 264366941.50 264366941.50 Toyota Motor Credit Corp. Toyota Motor Credit Corp., 0.30% 89233HT87 Financial Company Commercial Paper First Tier Security 2011-06-08 2011-06-08 N N N 65000000.00 64946375.02 0.0006 N 64949989.00 64949989.00 Toyota Motor Credit Corp. Toyota Motor Credit Corp., 0.30% 89233HT95 Financial Company Commercial Paper First Tier Security 2011-06-09 2011-06-09 N N N 149000000.00 148875833.30 0.0013 N 148884212.10 148884212.10 Toyota Motor Credit Corp. Toyota Motor Credit Corp., 0.30% 89233HTF1 Financial Company Commercial Paper First Tier Security 2011-06-15 2011-06-15 N N N 120000000.00 119893999.97 0.0010 N 119899776.00 119899776.00 Toyota Motor Credit Corp. Toyota Motor Credit Corp., 0.35% 89233HRF3 Financial Company Commercial Paper First Tier Security 2011-04-15 2011-04-15 N N N 90000000.00 89960625.01 0.0008 N 89973432.00 89973432.00 UBS Finance, Inc. UBS Finance, Inc., 0.35% 90262DRL1 Financial Company Commercial Paper First Tier Security 2011-04-20 2011-04-20 N N N 25000000.00 24987847.22 0.0002 N 24991357.50 24991357.50 UBS Finance, Inc. UBS Finance, Inc., 0.35% 90262DS22 Financial Company Commercial Paper First Tier Security 2011-05-02 2011-05-02 N N N 48000000.00 47971066.67 0.0004 N 47978664.00 47978664.00 UniCredito Italiano Bank (Ireland) PLC UniCredito Italiano Bank (Ireland) PLC, 0.42% 9046Q3R19 Financial Company Commercial Paper First Tier Security 2011-04-01 2011-04-01 N N N 413000000.00 412850631.78 0.0036 N 412873828.50 412873828.50 UniCredito Italiano Bank (Ireland) PLC UniCredito Italiano Bank (Ireland) PLC, 0.42% 9046Q3R50 Financial Company Commercial Paper First Tier Security 2011-04-05 2011-04-05 N N N 495000000.00 494797875.17 0.0043 N 494797875.17 494797875.17 Westpac Banking Corp. Westpac Banking Corp., 0.30% 9612C4BC4 Financial Company Commercial Paper First Tier Security 2011-04-19 2011-04-19 N N N 500000000.00 500000000.00 0.0043 N 500093000.00 500093000.00 Westpac Banking Corp. Westpac Banking Corp., 0.30% 9612C4BD2 Financial Company Commercial Paper First Tier Security 2011-04-20 2011-04-20 N N N 500000000.00 500000000.00 0.0043 N 500099000.00 500099000.00 Westpac Banking Corp. Westpac Banking Corp., 0.35% 9612C4BJ9 Financial Company Commercial Paper First Tier Security 2011-03-08 2011-10-07 N N N 381000000.00 381000000.00 0.0033 N 380864364.00 380864364.00 Westpac Banking Corp. Westpac Banking Corp., 0.35% 9612C4BG5 Financial Company Commercial Paper First Tier Security 2011-03-21 2011-09-19 N N N 450000000.00 450000000.00 0.0039 N 449877600.00 449877600.00 Westpac Banking Corp. Westpac Banking Corp., 0.35% 9612C4BH3 Financial Company Commercial Paper First Tier Security 2011-03-23 2011-09-23 N N N 450000000.00 450000000.00 0.0039 N 449874900.00 449874900.00 Westpac Banking Corp. Westpac Banking Corp., 0.45% 9612C1WC7 Financial Company Commercial Paper First Tier Security 2011-09-12 2011-09-12 N N N 359000000.00 358124937.50 0.0031 N 358245525.60 358245525.60 Hannover Funding Co. LLC Hannover Funding Co. LLC, 0.45% 41068LQ41 Asset Backed Commercial Paper First Tier Security 2011-03-04 2011-03-04 N N Y LIQUIDITY NORDDEUT (GTD) N/A N/A USBANKNA N/A N/A 158000000.00 157994075.00 0.0014 N 157995607.60 157995607.60 Comcast Corp. Comcast Corp., 0.40% 2003A3QB3 Other Commercial Paper Second Tier Security 2011-03-11 2011-03-11 N N N 375000000.00 374958333.31 0.0032 N 374966775.00 374966775.00 Comcast Corp. Comcast Corp., 0.40% 2003A3QB3 Other Commercial Paper Second Tier Security 2011-03-11 2011-03-11 N N N 186000000.00 185979333.32 0.0016 N 185983520.40 185983520.40 CVS Caremark Corp. CVS Caremark Corp., 0.40% 12664RAC6 Other Commercial Paper Second Tier Security 2011-03-01 2011-03-30 Y CVS CAREMARK N/A N/A N N 224000000.00 224000000.00 0.0019 N 223972672.00 223972672.00 Verizon Communications, Inc. Verizon Communications, Inc., 0.46% 92344PUV6 Other Commercial Paper Second Tier Security 2011-03-01 2011-04-13 Y VERIZON COM N/A N/A N N 524000000.00 524000000.00 0.0045 N 523999476.00 523999476.00 Xerox Corp. Xerox Corp., 0.70% 98412FQ21 Other Commercial Paper Second Tier Security 2011-03-02 2011-03-02 N N N 15000000.00 14999708.33 0.0001 N 14999641.50 14999641.50 Xerox Corp. Xerox Corp., 0.70% 98412FQ21 Other Commercial Paper Second Tier Security 2011-03-02 2011-03-02 N N N 100000000.00 99998055.56 0.0009 N 99997610.00 99997610.00 Xerox Corp. Xerox Corp., 0.70% 98412FQ70 Other Commercial Paper Second Tier Security 2011-03-07 2011-03-07 N N N 50000000.00 49994166.66 0.0004 N 49995820.00 49995820.00 Xerox Corp. Xerox Corp., 0.70% 98412FQ70 Other Commercial Paper Second Tier Security 2011-03-07 2011-03-07 N N N 72000000.00 71991599.99 0.0006 N 71993980.80 71993980.80 Xerox Corp. Xerox Corp., 0.70% 98412FQ70 Other Commercial Paper Second Tier Security 2011-03-07 2011-03-07 N N N 100000000.00 99988333.32 0.0009 N 99991640.00 99991640.00 Xerox Corp. Xerox Corp., 0.70% 98412FQU9 Other Commercial Paper Second Tier Security 2011-03-28 2011-03-28 N N N 74000000.00 73961149.99 0.0006 N 73971051.20 73971051.20 U.S. Treasury Bills U.S. Treasury Bills, 0.13% 9127952R1 Treasury Debt First Tier Security 2011-05-19 2011-05-19 N N N 2150000000.00 2149410243.39 0.0185 N 2149387250.00 2149387250.00 U.S. Treasury Bills U.S. Treasury Bills, 0.14% to 0.15% 912795W64 Treasury Debt First Tier Security 2011-06-02 2011-06-02 N N N 1125000000.00 1124591446.05 0.0097 N 1124587125.00 1124587125.00 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 2100000000.00 2098411875.00 0.0181 N 2098998300.00 2098998300.00 U.S. Treasury Notes U.S. Treasury Notes, 0.15% 912828LF5 Treasury Debt First Tier Security 2011-06-30 2011-06-30 N N N 740000000.00 742407024.76 0.0064 N 742370220.00 742370220.00 U.S. Treasury Notes U.S. Treasury Notes, 0.16% to 0.27% 912828LG3 Treasury Debt First Tier Security 2011-07-31 2011-07-31 N N N 1711000000.00 1716388706.13 0.0148 N 1716882418.00 1716882418.00 U.S. Treasury Notes U.S. Treasury Notes, 0.24% to 0.31% 912828JU5 Treasury Debt First Tier Security 2011-11-15 2011-11-15 N N N 1462000000.00 1477306182.88 0.0127 N 1477761822.00 1477761822.00 U.S. Treasury Notes U.S. Treasury Notes, 0.29% 912828LT5 Treasury Debt First Tier Security 2011-10-31 2011-10-31 N N N 468000000.00 470204676.77 0.0040 N 470431260.00 470431260.00 U.S. Treasury Notes U.S. Treasury Notes, 0.30% 912828FW5 Treasury Debt First Tier Security 2011-10-31 2011-10-31 N N N 583000000.00 599789839.39 0.0052 N 600125625.00 600125625.00 U.S. Treasury Notes U.S. Treasury Notes, 0.30% to 0.32% 912828MM9 Treasury Debt First Tier Security 2011-11-30 2011-11-30 N N N 741500000.00 743883752.86 0.0064 N 744396299.00 744396299.00 U.S. Treasury Notes U.S. Treasury Notes, 0.35% 912828MQ0 Treasury Debt First Tier Security 2012-02-29 2012-02-29 N N N 300000000.00 301536306.96 0.0026 N 301722000.00 301722000.00 BP Capital Markets PLC BP Capital Markets PLC, 0.44% 05565QAW8 Other Note First Tier Security 2011-03-11 2011-04-11 N N N 391705000.00 391705000.00 0.0034 N 391703433.18 391703433.18 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.36% 2027A0FM6 Other Note First Tier Security 2011-04-12 2012-02-10 N N N 368000000.00 368000000.00 0.0032 N 367825200.00 367825200.00 Metropolitan Life Global Funding I Metropolitan Life Global Funding I, 2.05% 59217EBX1 Other Note First Tier Security 2011-04-01 2011-06-06 Y MET LIFE GLBL F N/A N/A N N 217500000.00 217500000.00 0.0019 N 218299095.00 218299095.00 Royal Bank of Canada Royal Bank of Canada, 0.30% 78008FBA1 Other Note First Tier Security 2011-04-01 2012-03-01 N N N 1300000000.00 1300000000.00 0.0112 N 1300058500.00 1300058500.00 Royal Bank of Canada Royal Bank of Canada, 0.31% 78008KXS7 Other Note First Tier Security 2011-05-06 2012-02-06 N N N 376000000.00 375823805.80 0.0032 N 376066552.00 376066552.00 Royal Bank of Canada Royal Bank of Canada, 0.71% 78008FAM6 Other Note First Tier Security 2011-03-15 2012-02-15 N N N 750000000.00 750000000.00 0.0065 N 753004500.00 753004500.00 Westpac Banking Corp. Westpac Banking Corp., 0.32% 91621CAV3 Other Note First Tier Security 2011-03-23 2011-10-23 N N N 1034000000.00 1034000000.00 0.0089 N 1032169820.00 1032169820.00 Westpac Banking Corp. Westpac Banking Corp., 0.34% 91621CAZ4 Other Note First Tier Security 2011-04-15 2012-03-15 N N N 801000000.00 801000000.00 0.0069 N 800683605.00 800683605.00 Westpac Banking Corp. Westpac Banking Corp., 0.35% 91621CBD2 Other Note First Tier Security 2011-05-11 2012-03-09 N N N 393000000.00 393000000.00 0.0034 N 392966988.00 392966988.00 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 650000000.00 649811938.10 0.0056 N 650019500.00 650019500.00 Freddie Mac Freddie Mac, 0.22% 3134G13Z5 Government Agency Debt First Tier Security 2011-03-10 2012-08-10 N N N 1200000000.00 1199125006.56 0.0103 N 1200570000.00 1200570000.00 General Electric Capital Corp. General Electric Capital Corp., 0.46% (FDIC Guaranteed) 36967HAL1 Government Agency Debt Corporate Bonds First Tier Security 2011-03-11 2011-03-11 N N N 176000000.00 176064130.28 0.0015 N 176064416.00 176064416.00 New York City Gen. Oblig. New York City Gen. Oblig., 0.26% Series 2004 H6, LOC Bank of America NA VRDN 64966CH20 Variable Rate Demand Note First Tier Security 2011-03-07 2011-03-07 Y BAC-NA N/A N/A Y BAC-NA N/A N/A N 30880000.00 30880000.00 0.0003 N 30880000.00 30880000.00 New York City Hsg. Dev. Corp. Multi-family Rental Hsg. Rev. New York City Hsg. Dev. Corp. Multi-family Rental Hsg. Rev., 0.25% (Westport Dev. Proj.) Series 2004 A, LOC Fannie Mae VRDN 64970HBA1 Variable Rate Demand Note First Tier Security 2011-03-07 2011-03-07 Y FANNIEMAE N/A N/A Y FANNIEMAE N/A N/A N 61000000.00 61000000.00 0.0005 N 61000000.00 61000000.00 New York Hsg. Fin. Agcy. Rev. New York Hsg. Fin. Agcy. Rev., 0.24% (66 West 38th Street Hsg. Proj.) Series A, LOC Fannie Mae VRDN 64986MXX8 Variable Rate Demand Note First Tier Security 2011-03-07 2011-03-07 Y FANNIEMAE N/A N/A Y FANNIEMAE N/A N/A N 44300000.00 44300000.00 0.0004 N 44300000.00 44300000.00 New York Hsg. Fin. Agcy. Rev. New York Hsg. Fin. Agcy. Rev., 0.24% (101 West End Hsg. Proj.) Series 1999 A, LOC Fannie Mae VRDN 64986MLD5 Variable Rate Demand Note First Tier Security 2011-03-07 2011-03-07 Y FANNIEMAE N/A N/A Y FANNIEMAE N/A N/A N 52850000.00 52850000.00 0.0005 N 52850000.00 52850000.00 New York Hsg. Fin. Agcy. Rev. New York Hsg. Fin. Agcy. Rev., 0.24% (101 West End Hsg. Proj.) Series 1998 A, LOC Fannie Mae VRDN 64986MLC7 Variable Rate Demand Note First Tier Security 2011-03-07 2011-03-07 Y FANNIEMAE N/A N/A Y FANNIEMAE N/A N/A N 30800000.00 30800000.00 0.0003 N 30800000.00 30800000.00 New York Hsg. Fin. Agcy. Rev. New York Hsg. Fin. Agcy. Rev., 0.25% (55 West 25th Street Hsg. Proj.) Series 2005 A, LOC Fannie Mae VRDN 64986ME68 Variable Rate Demand Note First Tier Security 2011-03-07 2011-03-07 Y FANNIEMAE N/A N/A Y FANNIEMAE N/A N/A N 105400000.00 105400000.00 0.0009 N 105400000.00 105400000.00 New York Hsg. Fin. Agcy. Rev. New York Hsg. Fin. Agcy. Rev., 0.26% (Clinton Green North Hsg. Proj.) Series 2005 A, LOC Freddie Mac VRDN 64986M2T1 Variable Rate Demand Note First Tier Security 2011-03-07 2011-03-07 Y FHLM N/A N/A Y FHLM N/A N/A N 25000000.00 25000000.00 0.0002 N 25000000.00 25000000.00 New York Hsg. Fin. Agcy. Rev. New York Hsg. Fin. Agcy. Rev., 0.26% (Tribeca Park Proj.) Series 1997 A, LOC Fannie Mae VRDN 64986MDT9 Variable Rate Demand Note First Tier Security 2011-03-07 2011-03-07 Y FANNIEMAE N/A N/A Y FANNIEMAE N/A N/A N 74100000.00 74100000.00 0.0006 N 74100000.00 74100000.00 New York Hsg. Fin. Agcy. Rev. New York Hsg. Fin. Agcy. Rev., 0.26% (Clinton Green North Hsg. Proj.) Series 2006 A, LOC Freddie Mac VRDN 64986M2U8 Variable Rate Demand Note First Tier Security 2011-03-07 2011-03-07 Y FHLM N/A N/A Y FHLM N/A N/A N 34000000.00 34000000.00 0.0003 N 34000000.00 34000000.00 New York Hsg. Fin. Agcy. Rev. New York Hsg. Fin. Agcy. Rev., 0.26% (Tower 31 Hsg. Proj.) Series 2005 A, LOC Freddie Mac VRDN 64986MJ71 Variable Rate Demand Note First Tier Security 2011-03-07 2011-03-07 Y FHLM N/A N/A Y FHLM N/A N/A N 33000000.00 33000000.00 0.0003 N 33000000.00 33000000.00 Triborough Bridge & Tunnel Auth. Revs. Triborough Bridge & Tunnel Auth. Revs., 0.26% Series 2005 B3, (Liquidity Facility Bank of America NA) VRDN 89602NGX6 Variable Rate Demand Note First Tier Security 2011-03-07 2011-03-07 Y BAC-NA N/A N/A N N 10000000.00 10000000.00 0.0001 N 10000000.00 10000000.00 Triborough Bridge & Tunnel Auth. Revs. Triborough Bridge & Tunnel Auth. Revs., 0.26% Series 2002 F, (Liquidity Facility ABN-AMRO Bank NV) VRDN 89602NCG7 Variable Rate Demand Note First Tier Security 2011-03-07 2011-03-07 Y AMRO (OLD) N/A N/A N N 51325000.00 51325000.00 0.0004 N 51325000.00 51325000.00 California Gen. Oblig. California Gen. Oblig., 0.28% Series 2003 B1, LOC JPMorgan Chase Bank, LOC California Pub. Employees' Retirement Sys. VRDN 13063BDA7 Variable Rate Demand Note First Tier Security 2011-03-07 2011-03-07 Y JPMC BANK N/A N/A CALPERS N/A N/A CALSTRS N/A N/A N N 18000000.00 18000000.00 0.0002 N 18000000.00 18000000.00 California Hsg. Fin. Agcy. Rev. California Hsg. Fin. Agcy. Rev., 0.24% Series 2001 G, (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac) VRDN 13033KXN4 Variable Rate Demand Note First Tier Security 2011-03-07 2011-03-07 Y FHLM N/A N/A FANNIEMAE N/A N/A N N 15755000.00 15755000.00 0.0001 N 15755000.00 15755000.00 California Hsg. Fin. Agcy. Rev. California Hsg. Fin. Agcy. Rev., 0.24% (Multifamily Hsg. Prog.) Series 2005 B, (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac) VRDN 13034PKU0 Variable Rate Demand Note First Tier Security 2011-03-07 2011-03-07 Y FHLM N/A N/A FANNIEMAE N/A N/A N N 21765000.00 21765000.00 0.0002 N 21765000.00 21765000.00 California Hsg. Fin. Agcy. Rev. California Hsg. Fin. Agcy. Rev., 0.26% Series 2003 D, (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac) VRDN 13034PQQ3 Variable Rate Demand Note First Tier Security 2011-03-07 2011-03-07 Y FANNIEMAE N/A N/A FHLM N/A N/A N N 44435000.00 44435000.00 0.0004 N 44435000.00 44435000.00 California Hsg. Fin. Agcy. Rev. California Hsg. Fin. Agcy. Rev., 0.26% (Home Mtg. Prog.) Series 2001 J, (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac) VRDN 13034PQK6 Variable Rate Demand Note First Tier Security 2011-03-07 2011-03-07 Y FANNIEMAE N/A N/A FHLM N/A N/A N N 38135000.00 38135000.00 0.0003 N 38135000.00 38135000.00 California Poll. Cont. Fing. Auth. Solid Waste Disp. Rev. California Poll. Cont. Fing. Auth. Solid Waste Disp. Rev., 0.27% (Recology, Inc. Proj.) Series 2010 A, LOC Bank of America NA VRDN 130536PN9 Variable Rate Demand Note First Tier Security 2011-03-07 2011-03-07 Y BAC-NA N/A N/A Y BAC-NA N/A N/A N 50000000.00 50000000.00 0.0004 N 50000000.00 50000000.00 Los Angeles Cmnty. Redev. Agcy. Multi-family Hsg. Rev. Los Angeles Cmnty. Redev. Agcy. Multi-family Hsg. Rev., 0.25% (Hollywood & Vine Apts. Proj.) Series A, LOC Fannie Mae VRDN 544393CH2 Variable Rate Demand Note First Tier Security 2011-03-07 2011-03-07 Y FANNIEMAE N/A N/A Y FANNIEMAE N/A N/A N 30400000.00 30400000.00 0.0003 N 30400000.00 30400000.00 Simi Valley Multi-family Hsg. Rev. Simi Valley Multi-family Hsg. Rev., 0.26% (Parker Ranch Proj.) Series A, LOC Fannie Mae VRDN 828905EA3 Variable Rate Demand Note First Tier Security 2011-03-07 2011-03-07 Y FANNIEMAE N/A N/A Y FANNIEMAE N/A N/A N 12500000.00 12500000.00 0.0001 N 12500000.00 12500000.00 LP Pinewood SPV LLC Taxable VRDN LP Pinewood SPV LLC Taxable VRDN, 0.29% LOC Wells Fargo Bank NA VRDN 50212RAA7 Variable Rate Demand Note First Tier Security 2011-03-07 2011-03-07 Y WELLS FARGO BA N/A N/A Y WELLS FARGO BA N/A N/A N 181000000.00 181000000.00 0.0016 N 181000000.00 181000000.00 New Jersey Gen. Oblig. New Jersey Gen. Oblig., 0.22% Participating VRDN Series Putters 3808, (Liquidity Facility JPMorgan Chase & Co.) 46633VZV4 Variable Rate Demand Note First Tier Security 2011-03-01 2011-03-01 Y JPMC CO N/A N/A N N 65000000.00 65000000.00 0.0006 N 65000000.00 65000000.00 Pennsylvania Hsg. Fin. Agcy. Single Family Mtg. Rev. Pennsylvania Hsg. Fin. Agcy. Single Family Mtg. Rev., 0.24% Series 2004 86B, (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac) VRDN 708793GF5 Variable Rate Demand Note First Tier Security 2011-03-07 2011-03-07 Y FHLM N/A N/A FANNIEMAE N/A N/A N N 32000000.00 32000000.00 0.0003 N 32000000.00 32000000.00 Philadelphia Wtr. & Wastewtr. Rev. Philadelphia Wtr. & Wastewtr. Rev., 0.26% Series 1997 B, LOC Bank of America NA VRDN 717893TL5 Variable Rate Demand Note First Tier Security 2011-03-07 2011-03-07 Y BAC-NA N/A N/A Y BAC-NA N/A N/A N 30000000.00 30000000.00 0.0003 N 30000000.00 30000000.00 Gulf Coast Waste Disp. Auth. Solid Waste Disp. Rev. Gulf Coast Waste Disp. Auth. Solid Waste Disp. Rev., 0.34% (Waste Mgmt., Inc. Proj.) Series A, LOC JPMorgan Chase Bank VRDN 402231AX2 Variable Rate Demand Note First Tier Security 2011-03-07 2011-03-07 Y JPMC BANK N/A N/A Y JPMC BANK N/A N/A N 25200000.00 25200000.00 0.0002 N 25200000.00 25200000.00 Red River Ed. Fin. Corp. Ed. Rev. Red River Ed. Fin. Corp. Ed. Rev., 0.23% (Texas Christian Univ. Proj.) Series 2000 VRDN 756872CH8 Variable Rate Demand Note First Tier Security 2011-03-07 2011-03-07 Y TEXAS CHRISTIAN N/A N/A N N 25600000.00 25600000.00 0.0002 N 25600000.00 25600000.00 Michigan Hosp. Fin. Auth. Rev. Michigan Hosp. Fin. Auth. Rev., 0.25% (Henry Ford Health Sys. Proj.) Series 2007, LOC JPMorgan Chase Bank VRDN 59465HGS9 Variable Rate Demand Note First Tier Security 2011-03-07 2011-03-07 Y JPMC BANK N/A N/A Y JPMC BANK N/A N/A N 49200000.00 49200000.00 0.0004 N 49200000.00 49200000.00 Metropolitan Atlanta Rapid Transit Auth. Sales Tax Rev. Metropolitan Atlanta Rapid Transit Auth. Sales Tax Rev., 0.24% Series 2000 A, LOC JPMorgan Chase Bank VRDN 591745XL3 Variable Rate Demand Note First Tier Security 2011-03-07 2011-03-07 Y JPMC BANK N/A N/A Y JPMC BANK N/A N/A N 25000000.00 25000000.00 0.0002 N 25000000.00 25000000.00 Arizona Health Facilities Auth. Rev. Arizona Health Facilities Auth. Rev., 0.27% (Catholic Healthcare West Proj.) Series 2008 B, LOC Bank of America NA VRDN 040507JU0 Variable Rate Demand Note First Tier Security 2011-03-07 2011-03-07 Y BAC-NA N/A N/A Y BAC-NA N/A N/A N 16300000.00 16300000.00 0.0001 N 16300000.00 16300000.00 Ohio Hsg. Fin. Agcy. Residential Mtg. Rev. Ohio Hsg. Fin. Agcy. Residential Mtg. Rev., 0.26% Series 2006 I, (Liquidity Facility Citibank NA) VRDN 67756QBB2 Variable Rate Demand Note First Tier Security 2011-03-07 2011-03-07 Y CITIBANK N/A N/A N Y OBLIGOR OH-MBS 6/1/94 N/A N/A 14000000.00 14000000.00 0.0001 N 14000000.00 14000000.00 Cook County Gen. Oblig. Cook County Gen. Oblig., 0.26% Participating VRDN Series WF 10 5C, (Liquidity Facility Wells Fargo Bank NA) 94985NUL3 Variable Rate Demand Note First Tier Security 2011-03-07 2011-03-07 Y WELLS FARGO BA N/A N/A N N 10790000.00 10790000.00 0.0001 N 10790000.00 10790000.00 Metropolitan Life Insurance Co. Metropolitan Life Insurance Co., 0.60% 591999DQ7 0000728618 Insurance Company Funding Agreement First Tier Security 2011-04-01 2011-05-31 Y METLIFE N/A N/A N N 175000000.00 175000000.00 0.0015 Y 175912625.00 175912625.00 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 16215476.00 16215476.21 0.0001 N 16215476.21 16215476.21 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 9510052.00 9510052.39 0.0001 N 9510052.39 9510052.39 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 19020105.00 19020104.78 0.0002 N 19020104.78 19020104.78 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 35567596.00 35567595.93 0.0003 N 35567595.93 35567595.93 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 31383173.00 31383172.88 0.0003 N 31383172.88 31383172.88 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 38040210.00 38040209.55 0.0003 N 38040209.55 38040209.55 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 4755026.00 4755026.19 0.0000 N 4755026.19 4755026.19 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 247261362.00 247261362.08 0.0021 N 247261362.08 247261362.08 Deutsche Bank Securities, Inc. Deutsche Bank Securities, Inc., 0.23% 37F99EVW4 0000058056 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2034-11-01 2040-11-01 2.5 - 6.162 Government Agency Debt 127340127.00 55105756.00 FEDERAL NATIONAL MORTGAGE ASSOC 2018-07-01 2042-05-01 2.729 - 7 Government Agency Debt 648407842.00 311369018.82 First Tier Security 2011-03-07 2011-03-07 Y DEUTSEC N/A N/A N N 359000000.00 359000000.00 0.0031 N 359000000.00 359000000.00 Deutsche Bank Securities, Inc. Deutsche Bank Securities, Inc., 0.24% 37F99EYR2 0000058056 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2025-01-01 2047-10-01 4 - 7 Government Agency Debt 688982220.00 321958392.10 FEDERAL HOME LOAN MORTGAGE CORP 2034-12-01 2037-02-01 2.856 - 5.668 Government Agency Debt 79603096.00 18962355.52 First Tier Security 2011-03-07 2011-03-07 Y DEUTSEC N/A N/A N N 334000000.00 334000000.00 0.0029 N 334000000.00 334000000.00 Deutsche Bank Securities, Inc. Deutsche Bank Securities, Inc., 0.25% 37F99E4F1 0000058056 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2035-04-01 2035-04-01 4.902 - 4.902 Government Agency Debt 24674506.00 9839976.85 FEDERAL NATIONAL MORTGAGE ASSOC 2020-11-01 2047-11-01 2.614 - 7 Government Agency Debt 549515679.00 313615769.11 GOVERNMENT NATIONAL MORTAGE ASSOC 2041-01-20 2041-01-20 3.5 - 3.5 Government Agency Debt 10018622.00 10292716.99 First Tier Security 2011-03-07 2011-03-07 Y DEUTSEC N/A N/A N N 327000000.00 327000000.00 0.0028 N 327000000.00 327000000.00 Deutsche Bank Securities, Inc. Deutsche Bank Securities, Inc., 0.25% 37F99ESR9 0000058056 Government Agency Repurchase Agreement Y GOVERNMENT NATIONAL MORTAGE ASSOC 2058-10-20 2058-10-20 6.172 - 6.172 Government Agency Debt 157638.00 141332.76 FEDERAL NATIONAL MORTGAGE ASSOC 2011-03-08 2050-01-01 1.525 - 11 Government Agency Debt 3609463006.00 618645214.82 FEDERAL HOME LOAN MORTGAGE CORP 2019-12-01 2040-07-01 2.488 - 8 Government Agency Debt 159610016.00 7142133.00 First Tier Security 2011-03-07 2011-03-07 Y DEUTSEC N/A N/A N N 613000000.00 613000000.00 0.0053 N 613000000.00 613000000.00 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 US TREASURY 2011-03-03 2027-11-15 0 - 6.125 Treasury Debt 2083030.65 2445266.75 FEDERAL AGRICULTURE MORTGAGE CORP 2011-03-01 2026-02-03 0 - 4.81 Government Agency Debt 453707.75 455255.24 FEDERAL FARM CREDIT 2013-05-03 2017-01-17 0.95 - 5.125 Government Agency Debt 1360091.20 1360908.11 FEDERAL HOME LOAN BANK 2011-03-18 2036-07-15 0 - 5.5 Government Agency Debt 15179965.87 15357801.41 FEDERAL HOME LOAN MORTGAGE CORP 2011-03-08 2047-08-01 0 - 238 Government Agency Debt 117143345.37 74066036.64 FINANCE CORPORATION 2011-08-08 2019-09-26 0 - 10.7 Government Agency Debt 381225.66 296285.61 FEDERAL NATIONAL MORTGAGE ASSOC 2011-04-25 2048-08-01 0 - 9.5 Government Agency Debt 241906950.37 152671863.43 GOVERNMENT NATIONAL MORTAGE ASSOC 2017-10-16 2061-02-20 0 - 8 Government Agency Debt 189871702.89 154375461.35 RESOLUTION FUNDING CORP 2011-04-15 2030-04-15 0 - 9.375 Government Agency Debt 2530069.73 1884681.51 TENNESEE VALLEY AUTHORITY 2011-04-15 2042-04-15 0 - 8.25 Government Agency Debt 205299.78 176657.63 AMERICAN EXP BNK FDIC 2011-12-09 2011-12-09 3.15 - 3.15 Other Instrument OTHER NOTE 8732.78 8986.36 BANCO BILBAO VIZCAYA ARGENTARIA PUERTO RICO FDIC 2012-05-25 2012-05-25 0 - 0 Other Instrument CORPORATE 357250.20 357194.03 BANK AMER CORP MEDIUM TERM NTS SER L BOOK ENTRY 2011-12-02 2012-06-22 0.604 - 3.125 Other Instrument CORPORATE 1786520.92 1853019.67 CITIBANK N.A. 2012-05-07 2012-05-07 1.875 - 1.875 Other Instrument OTHER NOTE 13099.17 13395.42 CITIGROUP INC FDIC GTD TLGP 2011-12-09 2012-04-30 2.125 - 2.875 Other Instrument CORPORATE 3638807.60 3734380.64 CITIGROUP FUNDING INC. 2012-11-15 2012-12-10 1.875 - 2.25 Other Instrument OTHER NOTE 49252.89 50614.95 CITIGROUP FDG IN. FDIC 2012-04-30 2012-04-30 0.634 - 0.634 Other Instrument OTHER NOTE 4406.09 4427.54 CITIBANK, N.A. 2011-08-10 2012-12-28 0.273 - 1.875 Other Instrument OTHER NOTE 584628.04 595165.85 GMAC INC. 2012-10-30 2012-10-30 1.75 - 1.75 Other Instrument OTHER NOTE 121901.71 124846.04 GMACLLC7.30%PUBLICINCOMENOTES( 2012-12-19 2012-12-19 2.2 - 2.2 Other Instrument OTHER NOTE 342428.29 352772.68 GE CAPITAL CORP FDIC 2012-12-21 2012-12-28 2.125 - 2.625 Other Instrument OTHER NOTE 510764.58 526582.05 THE HUNTINGTON NATIONAL BANK 2012-06-01 2012-06-01 0.696 - 0.696 Other Instrument OTHER NOTE 59541.70 59992.46 JPMORGAN CHASE & CO FDIC GTD TLGP 2011-12-01 2012-06-22 2.125 - 3.125 Other Instrument CORPORATE 104986.24 107842.20 MORGAN STANLEY (FDIC TLGP) 2011-03-04 2012-03-13 0.502 - 3.25 Other Instrument OTHER NOTE 98243.80 100777.26 NEW YORK COMMUNITY BANK 2011-12-16 2011-12-16 3 - 3 Other Instrument OTHER NOTE 5160.28 5302.05 PNC FUNDING CORP 2011-06-22 2012-04-01 0.503 - 1.875 Other Instrument OTHER NOTE 59819.56 60030.68 POOLED FDG TR I 2012-02-15 2012-02-15 0 - 0 Other Instrument CORPORATE 87327.83 89200.96 REGIONS BANK FDIC TLGP 2011-12-09 2011-12-09 3.25 - 3.25 Other Instrument OTHER NOTE 11709.87 12061.54 SOVEREIGN BANCORP, INC. 2012-01-17 2012-06-15 2.5 - 2.75 Other Instrument OTHER NOTE 136985.60 140615.39 SUNTRUST BNK FDIC TLGP 2011-11-16 2011-11-16 3 - 3 Other Instrument OTHER NOTE 64701.98 66511.48 USAA CAPITAL CORPORATION 2012-03-30 2012-03-30 2.24 - 2.24 Other Instrument OTHER NOTE 6509.89 6665.04 WELLS FARGO & COMPANY 2012-06-15 2012-06-15 2.125 - 2.125 Other Instrument OTHER NOTE 793.89 814.56 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% 38B99SYM4 0000877559 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2021-12-15 2040-08-15 0.566 - 6 Government Agency Debt 211301826.00 94860129.64 FEDERAL NATIONAL MORTGAGE ASSOC 2021-05-25 2040-08-25 0 - 1.431 Government Agency Debt 556991005.00 132823261.62 Unrated Security 2011-03-07 2011-03-07 Y INGFIN N/A N/A N N 221000000.00 221000000.00 0.0019 N 221000000.00 221000000.00 ING Financial Markets LLC ING Financial Markets LLC, 0.24% 38B99SLR7 0000877559 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2014-07-01 2041-02-01 1.432 - 6.573 Government Agency Debt 492156675.00 174576029.09 Unrated Security 2011-03-07 2011-03-07 Y INGFIN N/A N/A N N 171000000.00 171000000.00 0.0015 N 171000000.00 171000000.00 ING Financial Markets LLC ING Financial Markets LLC, 0.24% 38B99SNQ7 0000877559 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2024-07-01 2041-01-01 1.986 - 5.879 Government Agency Debt 406695552.00 170485299.08 Unrated Security 2011-03-07 2011-03-07 Y INGFIN N/A N/A N N 167000000.00 167000000.00 0.0014 N 167000000.00 167000000.00 ING Financial Markets LLC ING Financial Markets LLC, 0.24% 38B99SSJ8 0000877559 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2029-09-01 2041-01-01 1.725 - 5.967 Government Agency Debt 318609332.00 84719719.55 Unrated Security 2011-03-07 2011-03-07 Y INGFIN N/A N/A N N 83000000.00 83000000.00 0.0007 N 83000000.00 83000000.00 ING Financial Markets LLC ING Financial Markets LLC, 0.25% 38B99SJT6 0000877559 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2033-05-25 2040-10-25 3.5 - 6 Government Agency Debt 247039083.00 172786286.12 FEDERAL HOME LOAN MORTGAGE CORP 2023-05-15 2034-03-15 0.812 - 6 Government Agency Debt 37026000.00 12807935.28 Unrated Security 2011-03-07 2011-03-07 Y INGFIN N/A N/A N N 180000000.00 180000000.00 0.0015 N 180000000.00 180000000.00 ING Financial Markets LLC ING Financial Markets LLC, 0.28% 38B99SFL7 0000877559 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2023-02-01 2040-04-01 2.051 - 6.123 Government Agency Debt 432787504.00 106230105.21 Unrated Security 2011-03-01 2011-03-01 Y INGFIN N/A N/A N N 104000000.00 104000000.00 0.0009 N 104000000.00 104000000.00 RBC Capital Markets Corp. RBC Capital Markets Corp., 0.24% 36U99E4V1 0000050916 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2020-04-15 2040-06-01 5 - 10 Government Agency Debt 64326942.00 17838130.15 FEDERAL NATIONAL MORTGAGE ASSOC 2014-02-01 2041-01-01 1.263 - 6 Government Agency Debt 470777675.00 101081038.59 GOVERNMENT NATIONAL MORTAGE ASSOC 2024-07-15 2041-02-16 3.5 - 4.5 Government Agency Debt 63034679.00 60235605.56 First Tier Security 2011-03-01 2011-03-01 Y RBC CAP N/A N/A N N 175000000.00 175000000.00 0.0015 N 175000000.00 175000000.00 RBS Securities, Inc. RBS Securities, Inc., 0.25% 37T99XLY4 0000808379 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2016-06-01 2050-08-01 1.528 - 6.705 Government Agency Debt 327148842.00 169470447.53 Unrated Security 2011-03-07 2011-03-07 Y RBSSECUR N/A N/A N N 166000000.00 166000000.00 0.0014 N 166000000.00 166000000.00 Wells Fargo Securities, LLC Wells Fargo Securities, LLC, 0.25% 37V99JPC6 0000276523 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2026-02-01 2026-02-01 4 - 4 Government Agency Debt 85358870.00 88011909.04 Unrated Security 2011-03-07 2011-03-07 Y WELLSFAR N/A N/A N N 86000000.00 86000000.00 0.0007 N 86000000.00 86000000.00 Banc of America Securities LLC Banc of America Securities LLC, 0.83% 38T99CQD9 0001185371 Other Repurchase Agreement N 101-500 2013-08-30 2056-10-25 0 - 10.127 Other Instrument MORTGAGE 6798064497.00 829459123.42 First Tier Security 2011-04-04 2011-04-04 Y BANCANGR N/A N/A N N 768000000.00 768000000.00 0.0066 Y 768000000.00 768000000.00 Barclays Capital, Inc. Barclays Capital, Inc., 0.38% 39V9947K7 0000851376 Other Repurchase Agreement N 101-500 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 91505222.00 1728018258.80 Unrated Security 2011-03-01 2011-03-01 N N N 1600000000.00 1600000000.00 0.0138 N 1600000000.00 1600000000.00 Barclays Capital, Inc. Barclays Capital, Inc., 0.38% 39V9945Y9 0000851376 Other Repurchase Agreement N 101-500 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 21221088.00 399616898.35 Unrated Security 2011-03-04 2011-03-04 Y BCAPNGR N/A N/A N N 370000000.00 370000000.00 0.0032 N 370000000.00 370000000.00 Barclays Capital, Inc. Barclays Capital, Inc., 0.40% 39V9947F8 0000851376 Other Repurchase Agreement N 101-500 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 22654742.00 403924494.21 Unrated Security 2011-03-07 2011-03-07 Y BCAPNGR N/A N/A N N 374000000.00 374000000.00 0.0032 N 374000000.00 374000000.00 Barclays Capital, Inc. Barclays Capital, Inc., 0.42% 39V994YD3 0000851376 Other Repurchase Agreement N ADVANTA BUSINESS CARD MASTER TRUST 2014-06-20 2014-06-20 0.511 - 0.511 Other Instrument ASSET BACKED 23023434.00 18565236.67 COUNTRYWIDE HOME EQUITY LOAN TRUST 2034-05-25 2034-05-25 0.402 - 0.402 Other Instrument ASSET BACKED 53800000.00 26835572.26 STRUCTURED ASSET MORTGAGE INVESTMENTS 2036-02-25 2036-02-25 0.49 - 0.49 Other Instrument MORTGAGE 50427661.00 16259393.87 GREENPOINT MORTGAGE-BACKED PASS-THROUGH CERTIFICATES 2046-10-25 2046-10-25 0.41 - 0.41 Other Instrument MORTGAGE 62404000.00 30444247.54 COUNTRYWIDE HOME EQUITY LOAN TRUST 2034-04-25 2034-04-25 0.412 - 0.412 Other Instrument ASSET BACKED 57494915.00 29955483.16 Unrated Security 2011-03-07 2011-03-07 Y BCAPNGR N/A N/A N N 113000000.00 113000000.00 0.0010 N 113000000.00 113000000.00 Barclays Capital, Inc. Barclays Capital, Inc., 0.42% 39V994SG3 0000851376 Other Repurchase Agreement N ADVANTA BUSINESS CARD MASTER TRUST 2014-02-20 2014-06-20 0.511 - 0.641 Other Instrument ASSET BACKED 61724566.00 49773577.46 RALI 2046-10-25 2046-10-25 0.41 - 0.41 Other Instrument MORTGAGE 2907091.00 2119679.24 GREENPOINT MORTGAGE-BACKED PASS-THROUGH CERTIFICATES 2047-04-25 2047-04-25 0.42 - 0.42 Other Instrument MORTGAGE 63225000.00 33724847.25 CONSECO FINANCE MANUFACTURED HOUSING CONTRACT 2032-07-01 2032-07-01 6.99 - 6.99 Other Instrument ASSET BACKED 57423000.00 35378587.56 Unrated Security 2011-03-07 2011-03-07 Y BCAPNGR N/A N/A N N 112000000.00 112000000.00 0.0010 N 112000000.00 112000000.00 Barclays Capital, Inc. Barclays Capital, Inc., 1.00% 38N99NJG2 0000851376 Other Repurchase Agreement N WELLS FARGO MORTGAGE BACKED SECURITIES TRUST 2035-04-25 2035-04-25 0.56 - 0.56 Other Instrument MORTGAGE 16833919.00 6409505.55 MORGAN STANLEY ABS 2036-03-25 2036-03-25 0.43 - 0.43 Other Instrument ASSET BACKED 50000000.00 26764856.16 MORGAN STANLEY ABS 2033-09-26 2033-09-26 1.28 - 1.28 Other Instrument ASSET BACKED 26280000.00 16609643.13 NATIONAL COLLEGIATE STUDENT LN TR 2007-3 2025-12-26 2025-12-26 N/A Other Instrument ASSET BACKED 37475000.00 29172638.60 PARK PLACE ASSET-BACKED PASS-THROUGH CERTIFICATES 2035-05-25 2035-05-25 0.722 - 0.722 Other Instrument ASSET BACKED 21719266.00 15517438.19 STRUCTURED ASSET INVESTMENT LOAN TRUST 2035-08-25 2035-08-25 0.752 - 0.752 Other Instrument MORTGAGE 34360000.00 19410445.04 THORNBURG MORTGAGE SECURITIES TRUST 2037-03-25 2037-03-25 0.36 - 0.36 Other Instrument MORTGAGE 54400000.00 27076925.30 THORNBURG MORTGAGE SECURITIES TRUST 2047-06-25 2047-06-25 0.48 - 0.48 Other Instrument MORTGAGE 112776000.00 57802605.29 WAMU MORTGAGE PASS-THROUGH CERTIFICATES 2035-10-25 2045-12-25 0.53 - 2.721 Other Instrument MORTGAGE 229262196.00 86330412.89 WACHOVIA MORTGAGE LOAN TRUST 2035-08-20 2035-08-20 5.213 - 5.213 Other Instrument MORTGAGE 55000000.00 22440424.23 EMC MORTGAGE LOAN TRUST 2042-04-25 2042-04-25 0.732 - 0.732 Other Instrument MORTGAGE 74829000.00 19585918.43 COUNTRYWIDE HOME EQUITY LOAN TRUST 2029-03-25 2029-03-25 5.53 - 5.53 Other Instrument ASSET BACKED 18851000.00 17124323.80 BANKAMERICA MANUFACTURED HSG CONTRACT TR II 2028-01-10 2028-01-10 N/A Other Instrument ASSET BACKED 14614000.00 17338897.21 AIRPLANES PASS THRU TR 2019-03-15 2019-03-15 N/A Other Instrument ASSET BACKED 25000000.00 16888627.20 ADAMS OUTDOOR ADVERTISING LP 2040-12-20 2040-12-20 N/A Other Instrument ASSET BACKED 19100000.00 19957403.24 GTP ACQUISITION PARTNERS I 2037-05-15 2037-05-15 7.874 - 7.874 Other Instrument MORTGAGE 14500000.00 15027325.57 Unrated Security 2011-06-03 2011-06-03 Y BCAPNGR N/A N/A N N 381000000.00 381000000.00 0.0033 Y 381000000.00 381000000.00 Barclays Capital, Inc. Barclays Capital, Inc., 1.00% 38N99N4M5 0000851376 Other Repurchase Agreement N ALERE 3% CPP-B 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 61323.00 16986471.00 BIOMED RLTY L P 2030-01-15 2030-01-15 3.75 - 3.75 Other Instrument EQUITY 13000000.00 14569479.17 BIOVAIL CORP 2014-08-01 2014-08-01 5.375 - 5.375 Other Instrument EQUITY 4555000.00 13091212.34 GAYLORD ENTMT CO NEW 2014-10-01 2014-10-01 3.75 - 3.75 Other Instrument EQUITY 10315697.00 15189863.83 ILLUMINA INC 2014-02-15 2014-02-15 0.625 - 0.625 Other Instrument EQUITY 3800000.00 12084857.64 JAMES RIV COAL CO 2015-12-01 2015-12-01 4.5 - 4.5 Other Instrument EQUITY 10000000.00 11346250.00 KINETIC CONCEPTS INC 2015-04-15 2015-04-15 3.25 - 3.25 Other Instrument EQUITY 13502000.00 15605030.26 LDK SOLAR CO LTD 2013-04-15 2013-04-15 4.75 - 4.75 Other Instrument EQUITY 12500000.00 12688107.62 LIONS GATE ENTMT INC 2025-03-15 2025-03-15 N/A Other Instrument EQUITY 12676000.00 12139338.64 MACERICH CO 2012-03-15 2012-03-15 3.25 - 3.25 Other Instrument EQUITY 15124479.00 15384851.12 NEWMONT MNG CORP 2017-07-15 2017-07-15 1.625 - 1.625 Other Instrument EQUITY 11505000.00 15410268.38 P H H CORP PHH CORP FORMERLY PHH GROUP INC TO 08 2012-04-15 2012-04-15 4 - 4 Other Instrument EQUITY 11600000.00 15135422.21 RTI INTL METALS INC 2015-12-01 2015-12-01 3 - 3 Other Instrument EQUITY 14391000.00 15664603.50 SESI L L C 2026-12-15 2026-12-15 1.5 - 1.5 Other Instrument EQUITY 14253000.00 14688310.38 SINO FST CORP 2013-08-01 2013-08-01 5 - 5 Other Instrument EQUITY 9329000.00 11929458.75 SMITHFIELD FOODS INC 2013-06-30 2013-06-30 4 - 4 Other Instrument EQUITY 9528000.00 11768932.67 SYNNEX CORP FORMERLY SYNNEX INFORMATION TECHNOL 2018-05-15 2018-05-15 4 - 4 Other Instrument EQUITY 10854532.00 14723569.63 UAL CORP 2021-06-30 2021-06-30 4.5 - 4.5 Other Instrument EQUITY 12031000.00 12358844.75 VERISIGN INC 2037-08-15 2037-08-15 3.25 - 3.25 Other Instrument EQUITY 10124000.00 12337851.64 WESCO INTL INC 2029-09-15 2029-09-15 6 - 6 Other Instrument EQUITY 1920998.00 4247166.49 Unrated Security 2011-06-03 2011-06-03 Y BCAPNGR N/A N/A N N 247000000.00 247000000.00 0.0021 Y 247000000.00 247000000.00 Barclays Capital, Inc. Barclays Capital, Inc., 1.00% 38N99NAP1 0000851376 Other Repurchase Agreement N CWALT ALTERNATIVE LOAN TRUST 2022-11-25 2022-11-25 6 - 6 Other Instrument MORTGAGE 13000000.00 6848620.48 AMERICAN HOME MORTGAGE INVESTMENT TRUST 2045-09-25 2045-09-25 0.56 - 0.56 Other Instrument MORTGAGE 42575000.00 8137799.69 BANC OF AMERICA ALTERNATIVE LOAN TRUST 2035-11-25 2035-11-25 0.66 - 0.66 Other Instrument MORTGAGE 21890000.00 8318630.55 BEAR STEARNS ALT-A TRUST 2035-04-25 2035-04-25 0.48 - 0.48 Other Instrument MORTGAGE 47000000.00 6065703.27 BEAR STEARNS ARM TRUST 2035-08-25 2035-10-25 2.56 - 5.312 Other Instrument MORTGAGE 40307909.00 17348145.51 BEAR STEARNS ASSET BACKED SECURITIES TRUST 2031-10-25 2031-10-25 0.332 - 0.332 Other Instrument ASSET BACKED 70999000.00 13782081.84 COUNTRYWIDE HOME EQUITY LOAN TRUST 2035-11-25 2035-11-25 0.647 - 0.647 Other Instrument ASSET BACKED 13127260.00 9535864.83 CWALT ALTERNATIVE LOAN TRUST 2035-05-25 2035-05-25 0.47 - 0.47 Other Instrument MORTGAGE 25425000.00 3667429.20 COUNTRYWIDE HOME LOANS 2034-06-25 2034-06-25 5.25 - 5.25 Other Instrument MORTGAGE 6200000.00 3681630.01 COUNTRYWIDE HOME LOANS 2035-03-25 2035-06-25 5.665 - 8 Other Instrument MORTGAGE 190836927.00 11762965.66 COUNTRYWIDE HOME EQUITY LOAN TRUST 2030-06-25 2030-06-25 0.392 - 0.392 Other Instrument ASSET BACKED 16300000.00 13465169.20 CARRINGTON HOME EQUITY LOAN TRUST 2035-06-25 2035-06-25 0.72 - 0.72 Other Instrument ASSET BACKED 10000000.00 6516330.00 CARRINGTON HOME EQUITY LOAN TRUST 2035-07-25 2035-07-25 0.372 - 0.372 Other Instrument MORTGAGE 10000000.00 4710888.59 CC FUNDING CORP 2036-05-25 2036-05-25 0.49 - 0.49 Other Instrument MORTGAGE 57051000.00 4609072.08 CITIGROUP MORTGAGE LOAN TRUST 2035-06-25 2036-02-25 2.119 - 2.66 Other Instrument MORTGAGE 39008946.00 7967012.69 GCCFC COMMERCIAL PASS-THROUGH CERTIFICATES 2049-12-10 2049-12-10 6.098 - 6.098 Other Instrument MORTGAGE 15154000.00 8762891.42 CONSECO FINANCE MANUFACTURED HOUSING CONTRACT 2023-09-01 2023-09-01 7.36 - 7.36 Other Instrument ASSET BACKED 24032800.00 13662595.86 HOME EQUITY ASSET TRUST 2033-12-25 2033-12-25 1.312 - 1.312 Other Instrument ASSET BACKED 15609374.00 6681266.41 DSLA MORTGAGE LOAN TRUST 2037-03-19 2037-03-19 0.401 - 0.401 Other Instrument MORTGAGE 12250000.00 6007034.39 FIRST FRANKLIN MORTGAGE LOAN TRUST ABS CERTIFICATES 2034-12-25 2034-12-25 0.75 - 0.75 Other Instrument ASSET BACKED 10000000.00 7411310.00 FIRST SEC BK N A SALT LAKE CITY UTAH 2023-01-10 2023-01-10 N/A Other Instrument ASSET BACKED 8750000.00 9091512.50 WELLS FARGO MORTGAGE BACKED SECURITIES TRUST 2037-07-25 2037-07-25 0.77 - 0.77 Other Instrument MORTGAGE 25855000.00 6390103.82 GSR MORTGAGE LOAN TRUST 2036-01-25 2036-01-25 2.81 - 2.81 Other Instrument MORTGAGE 32825000.00 14146699.69 GCCFC COMMERCIAL PASS-THROUGH CERTIFICATES 2037-04-10 2037-04-10 5.29 - 5.358 Other Instrument MORTGAGE 23335000.00 21550107.57 HARBORVIEW MORTGAGE LOAN TRUST 2035-06-19 2035-06-19 0.501 - 0.501 Other Instrument MORTGAGE 21415000.00 4145059.08 HOMEBANC MORTGAGE TRUST 2035-10-25 2035-10-25 0.53 - 0.53 Other Instrument MORTGAGE 20000000.00 6969530.09 IMPAC CMB TRUST 2035-07-25 2035-07-25 0.742 - 0.742 Other Instrument MORTGAGE 80000000.00 11980786.64 INDYMAC INDX MORTGAGE LOAN TRUST 2035-08-25 2036-04-25 0.76 - 5.042 Other Instrument MORTGAGE 37899000.00 14370966.12 INDYMAC INDX MORTGAGE LOAN TRUST 2034-09-25 2034-09-25 1.14 - 1.14 Other Instrument MORTGAGE 75846000.00 3650254.09 JP MORGAN MORTGAGE TRUST 2035-06-01 2035-06-01 4.618 - 4.618 Other Instrument MORTGAGE 11860990.00 4137695.64 JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2011-12-12 2011-12-12 5.626 - 5.626 Other Instrument MORTGAGE 5800000.00 5516747.98 JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2045-05-12 2045-05-12 5.623 - 5.623 Other Instrument MORTGAGE 10000000.00 9736100.00 LOCAL INSIGHT MEDIA FIN LLC / ACS MEDIA FIN LLC / CBD MEDIA FIN LLC 2037-10-23 2037-10-23 N/A Other Instrument ASSET BACKED 26225000.00 10088746.30 LONG BEACH MORTGAGE LOAN TRUST 2036-01-25 2036-01-25 0.5 - 0.5 Other Instrument ASSET BACKED 15000000.00 7937805.82 MORGAN STANLEY DEAN WITTER CAPITAL I TRUST 2037-09-01 2037-09-01 5.988 - 5.988 Other Instrument MORTGAGE 6733000.00 5445145.42 MORGAN STANLEY MORTGAGE LOAN TRUST 2037-02-25 2037-02-25 5.4 - 5.4 Other Instrument MORTGAGE 60000000.00 6441861.83 SECURITY NATIONAL MORTGAGE LOAN TRUST 2036-10-25 2036-10-25 6.31 - 6.31 Other Instrument MORTGAGE 7000000.00 5383418.83 SOUNDVIEW HOME LOAN TRUST 2035-11-25 2035-11-25 0.7 - 0.7 Other Instrument ASSET BACKED 13107000.00 8980575.62 STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN TRUST 2035-07-25 2035-07-25 5.443 - 5.443 Other Instrument MORTGAGE 16486000.00 6830919.27 LEHMAN XS TRUST 2035-11-25 2043-05-25 0.56 - 5.405 Other Instrument MORTGAGE 135994000.00 15702031.57 WAMU MORTGAGE PASS-THROUGH CERTIFICATES 2045-04-25 2045-12-25 0.49 - 0.54 Other Instrument MORTGAGE 46150000.00 8801582.41 WAMU MORTGAGE PASS-THROUGH CERTIFICATES 2045-01-25 2045-01-25 0.58 - 0.58 Other Instrument MORTGAGE 45859000.00 6398716.02 WELLS FARGO MORTGAGE BACKED SECURITIES TRUST 2035-02-25 2035-02-25 2.743 - 2.743 Other Instrument MORTGAGE 16051000.00 4897779.57 WELLS FARGO MORTGAGE BACKED SECURITIES TRUST 2035-04-25 2035-04-25 0.56 - 0.56 Other Instrument MORTGAGE 21108681.00 8037118.87 WELLS FARGO MORTGAGE BACKED SECURITIES TRUST 2036-03-25 2036-03-25 2.769 - 2.769 Other Instrument ASSET BACKED 19174000.00 8284679.16 WELLS FARGO MORTGAGE BACKED SECURITIES TRUST 2036-10-25 2036-10-25 5.729 - 5.729 Other Instrument MORTGAGE 33000000.00 7922846.46 AIRLIE 2020-05-20 2020-05-20 2.004 - 2.004 Other Instrument ASSET BACKED 7300000.00 5917199.53 AAMES MORTGAGE INVESTMENT TRUST 2035-10-25 2035-10-25 0.997 - 0.997 Other Instrument ASSET BACKED 20000000.00 12043500.00 FREMONT HOME LOAN OWNER TRUST 2036-01-25 2036-01-25 0.5 - 0.5 Other Instrument MORTGAGE 24960000.00 7155348.85 Unrated Security 2011-06-03 2011-06-03 Y BCAPNGR N/A N/A N N 384000000.00 384000000.00 0.0033 Y 384000000.00 384000000.00 BNP Paribas Securities Corp. BNP Paribas Securities Corp., 0.29% 38K99A9J8 0001197610 Other Repurchase Agreement N BRAZIL FEDERATIVE REP 2017-01-17 2024-04-15 6 - 8.875 Other Instrument CORPORATE 55662182.00 71400575.48 Unrated Security 2011-03-01 2011-03-01 N N N 68000000.00 68000000.00 0.0006 N 68000000.00 68000000.00 Citigroup Global Markets, Inc. Citigroup Global Markets, Inc., 0.38% 37J9954G4 0000315030 Other Repurchase Agreement N FEDERAL HOME LOAN MORTGAGE CORP 2031-11-15 2038-06-15 5.5 - 6.494 Government Agency Debt 414023439.00 47324081.80 GOVERNMENT NATIONAL MORTAGE ASSOC 2022-11-20 2041-02-16 2.5 - 7.137 Government Agency Debt 1298468509.00 161606934.95 FEDERAL NATIONAL MORTGAGE ASSOC 2036-01-25 2040-12-25 0 - 6.84 Government Agency Debt 339694216.00 48571701.53 First Tier Security 2011-03-01 2011-03-01 N N N 250000000.00 250000000.00 0.0022 N 250000000.00 250000000.00 Credit Suisse Securities (USA) LLC Credit Suisse Securities (USA) LLC, 0.31% 39L9922M3 0000318336 Other Repurchase Agreement N 101-500 2011-02-28 2011-02-28 N/A Other Instrument EQUITY 136316876.00 3489607911.16 Unrated Security 2011-03-01 2011-03-01 N N N 3231000000.00 3231000000.00 0.0278 N 3231000000.00 3231000000.00 Deutsche Bank Securities, Inc. Deutsche Bank Securities, Inc., 0.25% 39Q99VTS2 0000058056 Other Repurchase Agreement N RHEIN MAIN SECURITISATION LTD 2011-03-01 2011-04-28 N/A Asset Backed Commercial Paper 136999517.00 136995708.41 First Tier Security 2011-03-02 2011-03-02 Y DEUTNGR N/A N/A N N 133000000.00 133000000.00 0.0011 N 133000000.00 133000000.00 Deutsche Bank Securities, Inc. Deutsche Bank Securities, Inc., 0.40% 39Q99VLP6 0000058056 Other Repurchase Agreement N BANC OF AMERICA MORTGAGE SECURITIES 2035-10-25 2035-10-25 3.122 - 3.122 Other Instrument MORTGAGE 5380790.00 1316284.49 BEAR STEARNS ASSET BACKED SECURITIES TRUST 2035-10-25 2035-10-25 N/A Other Instrument ASSET BACKED 6248105.00 3052020.96 CCO HLDGS LLC / CCO HLDGS CAP CORP 2020-04-30 2020-04-30 8.125 - 8.125 Other Instrument CORPORATE 628932.00 688756.97 COUNTRYWIDE HOME EQUITY LOAN TRUST 2034-07-25 2034-07-25 0.932 - 0.932 Other Instrument ASSET BACKED 261520.00 128197.77 COUNTRYWIDE HOME EQUITY LOAN TRUST 2035-06-25 2035-06-25 0.7 - 0.7 Other Instrument ASSET BACKED 10174794.00 8030761.41 CWALT ALTERNATIVE LOAN TRUST 2035-08-25 2035-08-25 5.168 - 5.168 Other Instrument MORTGAGE 6785020.00 2509665.37 CAPMARK FINL GROUP INC 2012-05-10 2012-05-10 7.875 - 7.875 Other Instrument CORPORATE 17900000.00 8635944.51 CREDIT SUISSE COMMERCIAL MORTGAGE TRUST 2039-09-15 2039-09-15 5.803 - 5.803 Other Instrument MORTGAGE 1601956.00 1261500.30 DEUTSCHE MTG SECS INC REMIC TR SER 2010-RS2 2047-06-28 2047-06-28 N/A Other Instrument ASSET BACKED 11558339.00 5757439.82 EDUCATION LOANS 2035-06-25 2035-06-25 0.853 - 0.853 Other Instrument ASSET BACKED 40000000.00 28556136.70 GE-WMC MORTGAGE SECURITIES 2036-08-25 2036-08-25 0.412 - 0.412 Other Instrument ASSET BACKED 6300604.00 2293407.67 HOME EQUITY LOAN TRUST 2037-04-25 2037-04-25 0.39 - 0.39 Other Instrument ASSET BACKED 614639.00 237357.88 INTELSAT LTD 2013-11-01 2013-11-01 6.5 - 6.5 Other Instrument CORPORATE 4440294.00 4817163.95 JETBLUE AWYS CORP 2004-1 PASS THRU TRS 2015-09-15 2015-09-15 0.721 - 0.721 Other Instrument ASSET BACKED 32790000.00 29160147.00 LEUCADIA NATL CORP 2015-09-15 2015-09-15 8.125 - 8.125 Other Instrument CORPORATE 2536836.00 2883845.22 M G I C INVT CORP WIS MGIC INVT CORP WIS 2015-11-01 2015-11-01 5.375 - 5.375 Other Instrument CORPORATE 32569373.00 31265580.24 ML-CFC COMMERCIAL MORTGAGE TRUST 2017-05-12 2017-05-12 0.317 - 0.317 Other Instrument MORTGAGE 10000000.00 7537035.56 MANDALAY RESORT GROUP 2011-12-15 2011-12-15 6.375 - 6.375 Other Instrument CORPORATE 42000.00 42962.94 MASTR ASSET BACKED SECURITIES TRUST 2036-11-01 2036-11-01 0.422 - 0.422 Other Instrument ASSET BACKED 19036034.00 8852897.97 NGPL PIPECO LLC 2017-12-15 2017-12-15 7.119 - 7.119 Other Instrument CORPORATE 3033197.00 3435689.35 NATIONAL COLLEGIATE TRUST 2033-10-25 2033-10-25 0.586 - 0.586 Other Instrument MORTGAGE 16870616.00 8610374.38 OAKWOOD MORTGAGE INVESTORS 2030-12-15 2030-12-15 7.405 - 7.405 Other Instrument ASSET BACKED 248547.00 105948.05 OPTI CDA INC 2014-12-15 2014-12-15 8.25 - 8.25 Other Instrument CORPORATE 593510.00 327456.78 ORIGEN MANUFACTURED HSG CONTRACT TR 2007-A 2037-04-15 2037-04-15 N/A Other Instrument ASSET BACKED 15078124.00 5142570.71 PARK PLACE ASSET-BACKED PASS-THROUGH CERTIFICATES 2035-08-25 2035-08-25 0.742 - 0.742 Other Instrument ASSET BACKED 500157.00 340355.34 STOCKBRIDGE CDO 2039-11-18 2039-11-18 1.042 - 1.042 Other Instrument ASSET BACKED 59337577.00 28979495.64 STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN TRUST 2036-03-25 2036-03-25 3.028 - 3.028 Other Instrument MORTGAGE 5970636.00 1951796.57 WAMU MORTGAGE PASS-THROUGH CERTIFICATES 2036-09-25 2036-09-25 5.682 - 5.682 Other Instrument MORTGAGE 8289581.00 3084441.40 ACAS BUSINESS LOAN TRUST 2019-11-27 2019-11-27 0.942 - 0.942 Other Instrument ASSET BACKED 1123165.00 701306.89 First Tier Security 2011-03-07 2011-03-07 Y DEUTNGR N/A N/A N N 185000000.00 185000000.00 0.0016 N 185000000.00 185000000.00 Deutsche Bank Securities, Inc. Deutsche Bank Securities, Inc., 0.41% 39Q99VSJ3 0000058056 Other Repurchase Agreement N GSAMP 2034-06-25 2034-06-25 0.962 - 0.962 Other Instrument MORTGAGE 9043551.00 7201858.97 GTP ACQUISITION PARTNERS I 2037-05-15 2037-05-15 5.93 - 5.93 Other Instrument MORTGAGE 7791078.00 8041673.26 GREEN TREE FINANCIAL CORPORATION (MANUFACTURED HOUSING) 2026-10-15 2026-10-15 8.1 - 8.1 Other Instrument ASSET BACKED 3502226.00 2994018.72 NATIONWIDE MUT INS CO 2024-12-15 2024-12-15 5.81 - 5.81 Other Instrument ASSET BACKED 6300000.00 6028604.75 OAKWOOD MORTGAGE INVESTORS 2030-12-15 2030-12-15 7.405 - 7.405 Other Instrument ASSET BACKED 929090.00 396042.90 RALI 2035-12-25 2035-12-25 3.11 - 3.11 Other Instrument MORTGAGE 19939153.00 5862680.31 DELTA FUNDING HOME EQUITY LOAN TRUST 2030-05-25 2030-05-25 7.79 - 7.79 Other Instrument ASSET BACKED 10339879.00 5000369.73 AMERIQUEST MORTGAGE SECURITIES ASSET-BACKED PTC 2034-01-25 2034-01-25 0.94 - 0.94 Other Instrument ASSET BACKED 19736230.00 6290839.78 BEAR STEARNS ARM TRUST 2036-07-25 2036-07-25 5.74 - 5.74 Other Instrument MORTGAGE 604376.00 277355.18 CITIBANK CREDIT CARD ISSUANCE TRUST 2014-02-18 2015-02-20 0.661 - 6.95 Other Instrument ASSET BACKED 33782365.00 34128897.09 CREDIT SUISSE COMMERCIAL MORTGAGE TRUST 2039-09-15 2039-09-15 5.803 - 5.803 Other Instrument MORTGAGE 5985124.00 6365574.39 CONTINENTAL AIRLS INC 2013-06-02 2013-06-02 0.65 - 0.65 Other Instrument ASSET BACKED 5850000.00 5528250.00 2010 U-HAUL S FLEET LLC / 2010 DC-1 LLC / 2010 T 2023-10-25 2023-10-25 N/A Other Instrument ASSET BACKED 10000000.00 10060325.85 First Tier Security 2011-03-07 2011-03-07 Y DEUTNGR N/A N/A N N 93000000.00 93000000.00 0.0008 N 93000000.00 93000000.00 Deutsche Bank Securities, Inc. Deutsche Bank Securities, Inc., 0.41% 39Q99VNV1 0000058056 Other Repurchase Agreement N SALOMON BROTHERS COMMERCIAL MORTGAGE TRUST 2012-07-18 2012-07-18 4.865 - 4.865 Other Instrument MORTGAGE 2957449.00 3078661.20 SABRE GROUP HLDGS INC FORMERLY SABRE GROUP HLDG 2016-03-15 2016-03-15 8.35 - 8.35 Other Instrument CORPORATE 1184207.00 1193452.04 U S ED LN TR IV LLC 2019-09-01 2019-09-01 N/A Other Instrument ASSET BACKED 1725194.00 981817.88 WACHOVIA BANK COMMERCIAL MORTGAGE TRUST 2041-10-15 2041-10-15 0.451 - 0.451 Other Instrument MORTGAGE 471864518.00 7588619.03 WELLS FARGO MORTGAGE BACKED SECURITIES TRUST 2035-10-25 2035-10-25 5.216 - 5.216 Other Instrument MORTGAGE 18505658.00 6980641.72 ATP OIL & GAS CORP 2015-05-01 2015-05-01 11.875 - 11.875 Other Instrument CORPORATE 3844195.00 3962190.43 CCH II LLC / CCH II CAP CORP 2016-11-30 2016-11-30 13.5 - 13.5 Other Instrument CORPORATE 6757000.00 8208910.38 CD COMMERCIAL MORTGAGE TRUST COMMERCIAL PASS-THROUGH CERTIFI 2049-12-11 2049-12-11 0.121 - 0.121 Other Instrument MORTGAGE 881866363.00 7806424.69 CWALT ALTERNATIVE LOAN TRUST 2035-07-25 2035-07-25 5.75 - 5.75 Other Instrument MORTGAGE 10000000.00 8125558.36 CITIGROUP COMMERCIAL MORTGAGE TRUST 2021-08-15 2021-08-15 0.506 - 0.506 Other Instrument MORTGAGE 2444426.00 1975063.79 CITIGROUP MTG LN TR 2007-9 2047-03-25 2047-03-25 N/A Other Instrument MORTGAGE 712468.00 295546.87 COLLEGIATE FUNDING EDUCATION LOAN TRUST 2021-03-29 2021-03-29 0.563 - 0.563 Other Instrument ASSET BACKED 30000000.00 7792093.83 EASTLAND CLO 2022-05-01 2022-05-01 0.634 - 0.634 Other Instrument ASSET BACKED 10000000.00 7842257.85 HARRAHS ESCROW CORP 2018-04-15 2018-04-15 12.75 - 12.75 Other Instrument CORPORATE 2001080.00 2111597.98 LEHMAN BROTHERS FLOATING RATE COMMERCIAL MORTGAGE TRUST 2021-09-15 2021-09-15 0.386 - 0.386 Other Instrument MORTGAGE 11410000.00 7562445.71 ML-CFC COMMERCIAL MORTGAGE TRUST 2049-08-12 2049-08-12 5.928 - 5.965 Other Instrument MORTGAGE 8562336.00 8738263.59 RALI 2036-12-25 2036-12-25 0.45 - 0.45 Other Instrument MORTGAGE 16299730.00 7253668.66 TERWIN MORTGAGE TRUST 2037-04-25 2037-04-25 0.472 - 0.472 Other Instrument ASSET BACKED 20000000.00 7431780.42 First Tier Security 2011-03-07 2011-03-07 Y DEUTNGR N/A N/A N N 93000000.00 93000000.00 0.0008 N 93000000.00 93000000.00 Deutsche Bank Securities, Inc. Deutsche Bank Securities, Inc., 0.41% 39Q99VUS0 0000058056 Other Repurchase Agreement N 101-500 2011-03-24 2067-01-15 0 - 47.74 Other Instrument MORTGAGE 1558163898.00 198132724.52 First Tier Security 2011-03-07 2011-03-07 Y DEUTNGR N/A N/A N N 185000000.00 185000000.00 0.0016 N 185000000.00 185000000.00 Deutsche Bank Securities, Inc. Deutsche Bank Securities, Inc., 0.41% 39Q99VHU0 0000058056 Other Repurchase Agreement N 101-500 2011-05-10 2052-08-03 0 - 53.667 Other Instrument MORTGAGE 1707708512.00 200814130.17 First Tier Security 2011-03-07 2011-03-07 Y DEUTNGR N/A N/A N N 186000000.00 186000000.00 0.0016 N 186000000.00 186000000.00 Deutsche Bank Securities, Inc. Deutsche Bank Securities, Inc., 0.42% 39Q99VDS9 0000058056 Other Repurchase Agreement N 51-100 2011-03-15 2049-12-11 0 - 38.04 Other Instrument MORTGAGE 431418379.00 158668713.78 First Tier Security 2011-03-07 2011-03-07 Y DEUTNGR N/A N/A N N 147000000.00 147000000.00 0.0013 N 147000000.00 147000000.00 Deutsche Bank Securities, Inc. Deutsche Bank Securities, Inc., 0.42% 38L99B8U1 0000058056 Other Repurchase Agreement N 51-100 2011-03-15 2067-01-15 0 - 13 Other Instrument MORTGAGE 811614070.00 197073428.91 First Tier Security 2011-03-07 2011-03-07 Y DEUTNGR N/A N/A N N 183000000.00 183000000.00 0.0016 N 183000000.00 183000000.00 Goldman Sachs & Co. Goldman Sachs & Co., 0.28% 40M99HAY2 0000769993 Other Repurchase Agreement N GOVERNMENT NATIONAL MORTAGE ASSOC 2034-12-16 2040-12-16 4 - 4.5 Government Agency Debt 292103522.00 293563699.61 First Tier Security 2011-03-02 2011-03-02 Y GOLDMNGR N/A N/A N N 285000000.00 285000000.00 0.0025 N 285000000.00 285000000.00 HSBC Securities, Inc. HSBC Securities, Inc., 0.33% 34X99VUS3 0000853784 Other Repurchase Agreement N US BANCORP 2013-09-13 2013-09-13 1.375 - 1.375 Other Instrument CORPORATE 2090000.00 2101805.35 First Tier Security 2011-03-01 2011-03-01 N N N 2000000.00 2000000.00 0.0000 N 2000000.00 2000000.00 ING Financial Markets LLC ING Financial Markets LLC, 0.36% 36N99SLL1 0000877559 Other Repurchase Agreement N IBM CORPORATION 2017-09-14 2017-09-14 5.7 - 5.7 Other Instrument CORPORATE 26425000.00 30858146.59 VERIZON GLOBAL FUNDING CORP. 2030-12-01 2030-12-01 7.75 - 7.75 Other Instrument CORPORATE 20625000.00 25356368.42 MICROSOFT CORPORATION 2041-02-08 2041-02-08 5.3 - 5.3 Other Instrument CORPORATE 9000000.00 9150920.39 JOHNSON CONTROLS, INC 2041-03-01 2041-03-01 5.7 - 5.7 Other Instrument CORPORATE 3865000.00 3941977.87 Unrated Security 2011-03-07 2011-03-07 Y INGFING N/A N/A N N 66000000.00 66000000.00 0.0006 N 66000000.00 66000000.00 ING Financial Markets LLC ING Financial Markets LLC, 0.36% 36N99SLA5 0000877559 Other Repurchase Agreement N PRAXAIR, INC. 2019-08-15 2019-08-15 4.5 - 4.5 Other Instrument CORPORATE 2800000.00 2926406.10 OWENS CORNING 2036-12-01 2036-12-01 7 - 7 Other Instrument CORPORATE 1340000.00 1395011.58 STATE STREET BANK & TRUST COMP 2015-12-08 2015-12-08 4.657 - 4.657 Other Instrument CORPORATE 2485000.00 2406194.65 STATE STR CORP 2014-05-30 2014-05-30 4.3 - 4.3 Other Instrument CORPORATE 3500000.00 3808909.77 SUNCOR ENERGY, INC. 2038-06-15 2038-06-15 6.5 - 6.5 Other Instrument CORPORATE 8370000.00 9106345.97 TIME WARNER INC 2016-11-15 2036-11-15 5.875 - 6.5 Other Instrument CORPORATE 10000000.00 10941296.81 TIME WARNER CABLE INC. 2038-07-01 2038-07-01 7.3 - 7.3 Other Instrument CORPORATE 7000000.00 7959400.30 UNITED UTILITIES PLC 2018-06-19 2018-06-19 4.55 - 4.55 Other Instrument CORPORATE 5000000.00 4966218.17 UNITEDHEALTH GROUP INC COM 2016-03-15 2016-03-15 5.375 - 5.375 Other Instrument CORPORATE 2075000.00 2334635.22 VALE OVERSEAS LIMITED 2039-11-10 2039-11-10 6.875 - 6.875 Other Instrument CORPORATE 5200000.00 5699496.08 VALERO ENERGY CORP NEW 2012-04-15 2012-04-15 6.875 - 6.875 Other Instrument CORPORATE 200000.00 217284.25 VERIZON WIRELESS CAPITAL LLC 2011-05-20 2011-05-20 3.75 - 3.75 Other Instrument CORPORATE 230000.00 234047.25 WELLPOINT INC COM < 2016-01-15 2016-01-15 5.25 - 5.25 Other Instrument CORPORATE 3000000.00 3310447.45 ABBOTT LABORATORIES 2017-11-30 2017-11-30 5.6 - 5.6 Other Instrument CORPORATE 1720000.00 1979874.84 AMERICAN TOWER CORPORATION 2018-01-15 2018-01-15 4.5 - 4.5 Other Instrument CORPORATE 2200000.00 2204059.00 AON CORP. 2027-01-01 2027-01-01 8.205 - 8.205 Other Instrument CORPORATE 690000.00 780456.98 BELLSOUTH CORP 2034-06-15 2034-06-15 6.55 - 6.55 Other Instrument CORPORATE 2000000.00 2118271.83 BURLINGTON NORTHERN SANTA FE C 2025-12-15 2025-12-15 7 - 7 Other Instrument CORPORATE 2000000.00 2464746.71 CHEVRON CORPORATION 2019-03-03 2019-03-03 4.95 - 4.95 Other Instrument CORPORATE 1500000.00 1708211.12 CISCO SYSTEMS, INC. 2019-02-15 2019-02-15 4.95 - 4.95 Other Instrument CORPORATE 3000000.00 3218737.72 COCA-COLA ENTERPRISES INC NEW 2013-11-12 2013-11-12 1.125 - 1.125 Other Instrument CORPORATE 5000000.00 4946725.07 COMMERCIAL METALS COMPANY 2017-07-15 2017-07-15 6.5 - 6.5 Other Instrument CORPORATE 1300000.00 1345830.05 CONVENTRY HEALTH CARE 2017-03-15 2017-03-15 5.95 - 5.95 Other Instrument CORPORATE 2000000.00 2128601.79 COVIDIEN INTERNATIONAL FINANCE 2020-06-15 2020-06-15 4.2 - 4.2 Other Instrument CORPORATE 2000000.00 2002666.71 DIAGEO CAPITAL PLC 2020-07-15 2020-07-15 4.828 - 4.828 Other Instrument CORPORATE 2000000.00 2114491.46 DIRECTV HOLDINGS LLC 2015-06-15 2015-06-15 6.375 - 6.375 Other Instrument CORPORATE 3624000.00 3785381.16 DISCOVER FINANCIAL SERVICES 2019-07-15 2019-07-15 10.25 - 10.25 Other Instrument CORPORATE 1500000.00 1957938.73 ENBRIDGE ENERGY PARTNERS L.P. 2016-12-15 2016-12-15 5.875 - 5.875 Other Instrument CORPORATE 2000000.00 2261439.32 FAIRFAX FINANCIAL HOLDINGS LIM 2017-06-15 2017-06-15 7.75 - 7.75 Other Instrument CORPORATE 1250000.00 1345937.55 FAMILY DLR STORES INC 2021-02-01 2021-02-01 5 - 5 Other Instrument CORPORATE 1500000.00 1488141.60 FIFTH THIRD BANCORP 2016-01-25 2016-01-25 3.625 - 3.625 Other Instrument CORPORATE 1500000.00 1510746.54 FRANKLIN RESOURCES INC 2015-05-20 2015-05-20 3.125 - 3.125 Other Instrument CORPORATE 1000000.00 1034080.62 THE GOLDMAN SACHS GROUP, INC. 2014-01-15 2014-01-15 5.15 - 5.15 Other Instrument CORPORATE 10000000.00 10848675.97 HARTFORD FINANCIAL SERVICES GR 2016-10-15 2016-10-15 5.5 - 5.5 Other Instrument CORPORATE 5000000.00 5365625.02 THE HOME DEPOT, INC. 2013-12-16 2013-12-16 5.25 - 5.25 Other Instrument CORPORATE 2000000.00 2212763.31 J P MORGAN CHASE & CO 2016-03-01 2016-03-01 3.45 - 3.45 Other Instrument CORPORATE 1100000.00 1104922.50 JOHNSON CONTROLS, INC 2041-03-01 2041-03-01 5.7 - 5.7 Other Instrument CORPORATE 1435000.00 1463580.40 KEY BANK NATIONAL ASSOCIATION 2027-10-15 2027-10-15 7.413 - 7.413 Other Instrument CORPORATE 1500000.00 1718713.22 KRAFT FOODS INC. 2037-08-11 2037-08-11 7 - 7 Other Instrument CORPORATE 5500000.00 6242530.76 MCKESSON HBOC INC 2012-02-01 2012-02-01 7.75 - 7.75 Other Instrument CORPORATE 5500000.00 5880067.17 MIDAMERICAN ENERGY HOLDINGS CO 2037-05-15 2037-05-15 5.95 - 5.95 Other Instrument CORPORATE 500000.00 520179.03 NEWMONT MINING CORPORATION 2039-10-01 2039-10-01 6.25 - 6.25 Other Instrument CORPORATE 345000.00 371081.35 NEXEN INC 2039-07-30 2039-07-30 7.5 - 7.5 Other Instrument CORPORATE 12000000.00 12828240.39 SHELL INTERNATIONAL FINANCE B. 2038-12-15 2038-12-15 6.375 - 6.375 Other Instrument CORPORATE 1500000.00 1725794.26 Unrated Security 2011-03-07 2011-03-07 Y INGFING N/A N/A N N 139000000.00 139000000.00 0.0012 N 139000000.00 139000000.00 J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp., 0.38% 38N99S8F5 Other Repurchase Agreement N BANK OF AMERICA CORPORATION 2011-02-28 2011-02-28 N/A Other Instrument OTHER NOTE 2985335.00 42391757.00 Unrated Security 2011-03-01 2011-03-01 N N N 39000000.00 39000000.00 0.0003 N 39000000.00 39000000.00 J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp., 0.47% 38N99S5B7 Other Repurchase Agreement N BANK OF AMERICA CORPORATION 2011-02-28 2011-02-28 N/A Other Instrument OTHER NOTE 31918894.00 453248294.80 HEWLETT PACKARD COMPANY 2011-02-28 2011-02-28 N/A Other Instrument OTHER NOTE 2281650.00 97380822.00 GOLDMAN SACHS GROUP, INC. (THE 2011-02-28 2011-02-28 N/A Other Instrument OTHER NOTE 134973.00 22286741.76 Unrated Security 2011-03-22 2011-03-22 N N N 527000000.00 527000000.00 0.0045 Y 527000000.00 527000000.00 J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp., 0.58% 38N99S8H1 Other Repurchase Agreement N 101-500 2011-02-28 2011-02-28 N/A Other Instrument CORPORATE 2737284400.00 3569623958.26 Unrated Security 2011-03-01 2011-03-01 N N N 3284000000.00 3284000000.00 0.0283 N 3284000000.00 3284000000.00 J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp., 0.61% 38N99STV7 Other Repurchase Agreement N HARTFORD FINANCIAL SERVICES GR 2011-02-28 2011-02-28 N/A Other Instrument OTHER NOTE 4879788.00 143563362.96 Unrated Security 2011-04-25 2011-04-25 N N N 132000000.00 132000000.00 0.0011 Y 132000000.00 132000000.00 J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp., 0.70% 38N99SEW1 Other Repurchase Agreement N AMERISOURCEBERGEN CORP 2011-02-28 2011-02-28 N/A Other Instrument OTHER NOTE 24120.00 901846.80 AETNA INC 2011-02-28 2011-02-28 N/A Other Instrument OTHER NOTE 780100.00 29121133.00 THE SOUTHERN COMPANY 2011-02-28 2011-02-28 N/A Other Instrument OTHER NOTE 133810.00 5092808.60 SOUTHWESTERN ENERGY COMPANY 2011-02-28 2011-02-28 N/A Other Instrument OTHER NOTE 109425.00 4253349.75 MERCK & CO INC NEW 2011-02-28 2011-02-28 N/A Other Instrument OTHER NOTE 2345018.00 75486129.42 QUEST DIAGNOSTICS 2011-02-28 2011-02-28 N/A Other Instrument OTHER NOTE 4326.00 245154.42 THE PROCTER AND GAMBLE COMPANY 2011-02-28 2011-02-28 N/A Other Instrument OTHER NOTE 385586.00 24230224.24 PEABODY ENERGY CORPORATION 2011-02-28 2011-02-28 N/A Other Instrument OTHER NOTE 68857.00 4496362.10 Unrated Security 2011-04-25 2011-04-25 N N N 132000000.00 132000000.00 0.0011 Y 132000000.00 132000000.00 J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp., 0.75% 38N99SAN5 Other Repurchase Agreement N THE SOUTHERN COMPANY 2011-02-28 2011-02-28 N/A Other Instrument OTHER NOTE 117051.00 4454961.06 SUNTRUST BANKS, INC. 2011-02-28 2011-02-28 N/A Other Instrument OTHER NOTE 9537843.00 293956321.26 SUNOCO, INC. 2011-02-28 2011-02-28 N/A Other Instrument OTHER NOTE 755701.00 31875468.18 STATE STR CORP 2011-02-28 2011-02-28 N/A Other Instrument OTHER NOTE 55043.00 2465926.40 STARBUCKS CORPORATION 2011-02-28 2011-02-28 N/A Other Instrument OTHER NOTE 309905.00 10071912.50 STAPLES 2011-02-28 2011-02-28 N/A Other Instrument OTHER NOTE 247312.00 5178713.28 Unrated Security 2011-03-07 2011-03-07 N N N 319000000.00 319000000.00 0.0027 N 319000000.00 319000000.00 J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp., 0.75% 38N99SWB7 Other Repurchase Agreement N ALLIANCE PETROLEUM COR 2011-02-28 2011-02-28 N/A Other Instrument OTHER NOTE 7910000.00 8221487.89 CLEARWIRE COMMUNICATIONS INC L 2011-02-28 2011-02-28 N/A Other Instrument OTHER NOTE 157000.00 171313.22 VISHAY INTERTECHNOLOGY, INC. 2011-02-28 2011-02-28 N/A Other Instrument OTHER NOTE 8000000.00 11214640.00 TITAN INTERNATIONAL IN 2011-02-28 2011-02-28 N/A Other Instrument OTHER NOTE 17609000.00 43749542.89 TEREX CORPORATION 2011-02-28 2011-02-28 N/A Other Instrument OTHER NOTE 30209000.00 68008313.34 STEEL DYNAMICS, INC. 2011-02-28 2011-02-28 N/A Other Instrument OTHER NOTE 487000.00 628120.43 RADIAN GROUP INCORPORATED < 2011-02-28 2011-02-28 N/A Other Instrument OTHER NOTE 21669000.00 20597988.01 NAVISTAR INTERNATIONAL CORPORA 2011-02-28 2011-02-28 N/A Other Instrument OTHER NOTE 3768000.00 5310257.47 MGM GRAND, INC. 2011-02-28 2011-02-28 N/A Other Instrument OTHER NOTE 62025000.00 69173319.23 LENNAR CORPORATION 2011-02-28 2011-02-28 N/A Other Instrument OTHER NOTE 31500000.00 36765540.00 JETBLUE AIRWAYS 2011-02-28 2011-02-28 N/A Other Instrument OTHER NOTE 30180000.00 44785566.47 JAMES RIVER COAL CO 2011-02-28 2011-02-28 N/A Other Instrument OTHER NOTE 2675000.00 3044155.35 COMMSCOPE, INC. 2011-02-28 2011-02-28 N/A Other Instrument OTHER NOTE 10445000.00 13768901.91 CONTINENTAL AIRLINES, INC. 2011-02-28 2011-02-28 N/A Other Instrument OTHER NOTE 2198000.00 3289471.85 EQUINIX, INC. 2011-02-28 2011-02-28 N/A Other Instrument OTHER NOTE 18200000.00 24003088.20 EXTERRAN HOLDINGS INC 2011-02-28 2011-02-28 N/A Other Instrument OTHER NOTE 21924000.00 26431486.70 FORD MOTOR COMPANY 2011-02-28 2011-02-28 N/A Other Instrument OTHER NOTE 16102000.00 29582288.46 GENERAL CABLE CORPORATION 2011-02-28 2011-02-28 N/A Other Instrument OTHER NOTE 6943000.00 9842882.81 HERTZ GLOBAL HOLDINGS, INC. 2011-02-28 2011-02-28 N/A Other Instrument OTHER NOTE 74935000.00 149045265.39 HOST HOTELS & RESORTS, L.P. 2011-02-28 2011-02-28 N/A Other Instrument OTHER NOTE 27900000.00 40342897.80 Unrated Security 2011-07-27 2011-07-27 N N N 559000000.00 559000000.00 0.0048 Y 559000000.00 559000000.00 J.P. Morgan Securities, Inc. J.P. Morgan Securities, Inc., 0.27% 40C99JYV9 0001287279 Other Repurchase Agreement N GOVERNMENT NATIONAL MORTAGE ASSOC 2027-10-20 2040-05-20 0.5 - 6.262 Government Agency Debt 766041609.00 72952149.95 FEDERAL NATIONAL MORTGAGE ASSOC 2018-03-25 2041-01-25 1.18 - 6.5 Government Agency Debt 2733132983.00 340077859.44 Unrated Security 2011-03-01 2011-03-01 N N N 401000000.00 401000000.00 0.0035 N 401000000.00 401000000.00 J.P. Morgan Securities, Inc. J.P. Morgan Securities, Inc., 0.73% 38T99DER9 0001287279 Other Repurchase Agreement N ACCESS GROUP, INC. 2044-02-22 2044-02-22 0.884 - 0.884 Other Instrument ASSET BACKED 10000000.00 7894829.51 ALLY AUTO RECEIVABLES TRUST 20 2015-01-15 2015-01-15 1.11 - 1.11 Other Instrument ASSET BACKED 25000000.00 25027251.24 SLM PRIVATE EDUCATION LOAN TRU 2043-08-13 2043-08-13 3.5 - 3.5 Other Instrument ASSET BACKED 25000000.00 23714983.46 SLM PRIVATE EDUCATION LOAN TRU 2017-08-15 2017-08-15 6.266 - 6.266 Other Instrument ASSET BACKED 70655000.00 68044378.32 SLM PRIVATE CREDIT STUDENT LOA 2039-12-15 2039-12-15 0.572 - 0.572 Other Instrument ASSET BACKED 20659000.00 10542077.97 RESIDENTIAL ASSET SECURITIES C 2034-07-25 2034-07-25 0.812 - 0.812 Other Instrument ASSET BACKED 17270000.00 7926130.54 KEYCORP STUDENT LOAN TRUST 199 2036-11-25 2036-11-25 1.212 - 1.212 Other Instrument ASSET BACKED 2000000.00 792695.82 COLLEGE LOAN CORPORATION TRUST 2042-03-01 2042-03-01 0 - 0.016 Other Instrument ASSET BACKED 48890000.00 36589405.80 GE CAPITAL CREDIT CARD MASTER 2017-11-15 2017-11-15 3.8 - 3.8 Other Instrument ASSET BACKED 12700000.00 13412824.40 GSAMP TRUST 2004-HE2 2034-10-25 2034-10-25 0.71 - 0.71 Other Instrument ASSET BACKED 29308000.00 1528463.51 HONDA AUTO RECEIVABLES 2009-2 2015-07-15 2015-07-15 4.43 - 4.43 Other Instrument ASSET BACKED 590000.00 619898.27 Unrated Security 2011-03-25 2011-03-25 N N N 185000000.00 185000000.00 0.0016 Y 185000000.00 185000000.00 J.P. Morgan Securities, Inc. J.P. Morgan Securities, Inc., 0.75% 38T99DNN8 0001287279 Other Repurchase Agreement N NORTEL NETWORKS CORPORATION (H 2014-04-15 2014-04-15 N/A Other Instrument CORPORATE 2000000.00 1710000.04 RAMBUS INC. 2014-06-15 2014-06-15 5 - 5 Other Instrument CORPORATE 10000000.00 13341667.65 JAGUAR MINING INC 2014-11-01 2014-11-01 4 - 4 Other Instrument CORPORATE 10000000.00 9069721.70 INTEGRA LIFESCIENCES CORPORATI 2012-06-01 2012-06-01 N/A Other Instrument CORPORATE 6000000.00 6082499.74 ISTAR FINANCIAL INC SER B PRF 2012-10-01 2012-10-01 N/A Other Instrument CORPORATE 10000000.00 9325000.05 GREATBATCH INC COM 2013-06-15 2013-06-15 N/A Other Instrument CORPORATE 5000000.00 4950000.05 EMC CORPORATION 2013-12-01 2013-12-01 1.75 - 1.75 Other Instrument CORPORATE 7000000.00 12140284.54 CUBIST PHARMACEUTICALS,INC 2013-06-15 2013-06-15 2.25 - 2.25 Other Instrument CORPORATE 3580000.00 3713131.10 AVATAR HOLDINGS INC. 2024-04-01 2024-04-01 N/A Other Instrument CORPORATE 900000.00 905625.02 ALLIANT TECHSYSTEMS INC. 2011-09-15 2011-09-15 N/A Other Instrument CORPORATE 10000000.00 10125000.48 ALCOA INC $3.75 PRF 2014-03-15 2014-03-15 5.25 - 5.25 Other Instrument CORPORATE 4000000.00 10826250.08 SBA COMMUNICATIONS CORPORATION 2013-05-01 2014-10-01 1.875 - 4 Other Instrument CORPORATE 28650000.00 35208624.26 VECTOR GROUP LTD 2026-06-15 2026-06-15 N/A Other Instrument CORPORATE 5250000.00 5906250.00 UNITED STATES STEEL CORP+ 2014-05-15 2014-05-15 4 - 4 Other Instrument CORPORATE 7100000.00 13525499.80 UNITED RENTALS, INC. 2015-11-15 2015-11-15 4 - 4 Other Instrument CORPORATE 2050000.00 6212353.80 UNITED AUTO GROUP, INC. 2026-04-01 2026-04-01 3.5 - 3.5 Other Instrument CORPORATE 2300000.00 2364942.87 UAL CORPORATION 2029-10-15 2029-10-15 6 - 6 Other Instrument CORPORATE 3295000.00 9745237.39 TERADYNE INC 2014-03-15 2014-03-15 4.5 - 4.5 Other Instrument CORPORATE 5500000.00 19300874.59 SAKS INCORPORATED 2013-12-01 2013-12-01 7 - 7 Other Instrument CORPORATE 11750000.00 28094903.11 SESI, L.L.C. 2026-12-15 2026-12-15 N/A Other Instrument CORPORATE 25000000.00 25687500.83 Unrated Security 2011-04-11 2011-04-11 N N N 211000000.00 211000000.00 0.0018 Y 211000000.00 211000000.00 Merrill Lynch, Pierce, Fenner & Smith Merrill Lynch, Pierce, Fenner & Smith, 0.73% 37F99FUN2 0000728612 Other Repurchase Agreement N 51-100 2011-04-15 2063-04-01 0 - 10.75 Other Instrument CORPORATE 195407218.00 291654332.68 Unrated Security 2011-04-04 2011-04-04 Y MRLBONY N/A N/A N N 271000000.00 271000000.00 0.0023 Y 271000000.00 271000000.00 Merrill Lynch, Pierce, Fenner & Smith Merrill Lynch, Pierce, Fenner & Smith, 0.78% 39R99W2B5 0000728612 Other Repurchase Agreement N CITIGROUP 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 6278532.00 29509100.40 SWDEXCR ELEMENT 22 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 11072.00 108423.68 BC IPATH ETN 19-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 80578.00 4590528.66 BC IPATH ETN 37-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 885.00 45694.40 B2B INTRNT HOLDRS40 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 240.00 273.60 APPLE 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 488080.00 169929932.80 ANOORAQ RESOURCES 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 23248.00 30222.40 AMERICAN ORINTL BIO 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 3659079.00 8196336.96 AMERICAN LORAIN 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 26.00 68.38 ALCON N 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 501449.00 82708998.06 WARNER CHILLCOTT 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 471385.00 11214249.15 WIRELESS HOLDRS 40 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 115170.00 5821843.50 US NATL GAS FD 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 215451.00 1154171.01 US BRENT OIL FD 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1000.00 74579.00 UBS E-TRACS 39 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 49.00 1531.84 TELECOM HOLDRS 40 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 85102.00 2348815.20 DENISON MINES 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 722662.00 2811155.18 ENTRAVSION COMMN-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1464101.00 3543124.42 EVERGREEN ENERGY 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 4.00 14.96 GOLD RESERVE -A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 36.00 61.56 HARTFORD FINL SVCS GROUP INC 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 12286624.00 251875792.00 INTRNT INF HOLDRS40 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 474.00 1777.50 MCCLATCHY-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1794992.00 7377417.12 PWSH DY CSMR STPL 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 9155.00 266502.05 RYDX RUS1000 EQW 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 136855.00 4495973.17 CHIMERA INVT 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 3839104.00 16546538.24 Unrated Security 2011-04-04 2011-04-04 Y MRLBONY N/A N/A N N 558000000.00 558000000.00 0.0048 Y 558000000.00 558000000.00 Merrill Lynch, Pierce, Fenner & Smith Merrill Lynch, Pierce, Fenner & Smith, 1.00% 39R99WLR9 0000728612 Other Repurchase Agreement N GSR MORTGAGE LOAN TRUST 2035-11-25 2036-01-25 3.098 - 3.212 Other Instrument MORTGAGE 129182000.00 35548816.49 COUNTRYWIDE HOME EQUITY LOAN TRUST 2033-04-25 2033-04-25 0.412 - 0.412 Other Instrument ASSET BACKED 30000000.00 18608075.74 CWALT ALTERNATIVE LOAN TRUST 2046-09-20 2046-09-20 0.471 - 0.471 Other Instrument MORTGAGE 59703000.00 16331906.70 CENTEX HOME EQUITY LOAN TRUST 2035-01-25 2035-01-25 0.762 - 0.762 Other Instrument ASSET BACKED 19694000.00 16398218.59 COUNTRYWIDE HOME EQUITY LOAN TRUST 2036-11-25 2036-11-25 5.874 - 5.874 Other Instrument ASSET BACKED 44172000.00 17797018.44 CWABS ASSET BACKED CTFS TR 2007-12 2035-09-25 2035-09-25 N/A Other Instrument ASSET BACKED 38500000.00 18526063.65 CWALT ALTERNATIVE LOAN TRUST 2046-03-20 2046-03-20 0.471 - 0.471 Other Instrument MORTGAGE 8635480.00 2535783.35 COUNTRYWIDE HOME EQUITY LOAN TRUST 2034-05-25 2034-05-25 0.402 - 0.402 Other Instrument ASSET BACKED 35000000.00 17458086.04 BEAR STEARNS MORTGAGE FUNDING TRUST 2036-10-25 2036-10-25 0.49 - 0.49 Other Instrument MORTGAGE 50804000.00 16534114.66 WELLS FARGO MORTGAGE BACKED SECURITIES TRUST 2036-04-25 2036-04-25 3.242 - 3.242 Other Instrument MORTGAGE 57750000.00 20754326.90 WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES, WMALT 2046-11-25 2046-11-25 1.165 - 1.165 Other Instrument MORTGAGE 54152000.00 19054061.69 STRUCTURED ASSET MORTGAGE INVESTMENTS 2036-10-25 2036-10-25 0.46 - 0.46 Other Instrument MORTGAGE 48827000.00 19610047.96 SOUNDVIEW HOME LOAN TRUST 2036-10-25 2036-10-25 0.42 - 0.42 Other Instrument ASSET BACKED 28400000.00 18657891.20 STARM MORTGAGE LOAN TRUST 2037-04-25 2037-04-25 5.58 - 5.58 Other Instrument MORTGAGE 37750000.00 18911798.86 HOME EQUITY LOAN TRUST 2037-04-25 2037-04-25 0.39 - 0.39 Other Instrument ASSET BACKED 48528000.00 18740273.96 LEHMAN XS TRUST 2046-04-25 2046-04-25 0.49 - 0.49 Other Instrument MORTGAGE 35000000.00 17425676.13 NATIONSTAR HOME EQUITY LOAN TRUST 2036-09-25 2036-09-25 0.43 - 0.43 Other Instrument ASSET BACKED 4678874.00 4116089.68 Unrated Security 2011-04-04 2011-04-04 Y MRLBONY N/A N/A N N 275000000.00 275000000.00 0.0024 Y 275000000.00 275000000.00 Mizuho Securities USA, Inc. Mizuho Securities USA, Inc., 0.33% 38S994ME0 Other Repurchase Agreement N SHELL INTL FIN B V 2013-03-25 2013-03-25 1.875 - 1.875 Other Instrument CORPORATE 4000000.00 4112435.00 TECK COMINCO LTD FORMERLY TECK COMINCO LTD TO 04 2021-01-15 2040-08-15 4.5 - 6 Other Instrument CORPORATE 4250000.00 4327550.17 TIME WARNER CABLE INC 2015-02-01 2015-02-01 3.5 - 3.5 Other Instrument CORPORATE 10000000.00 10265950.00 TOTAL CAP 2020-06-24 2020-06-24 4.45 - 4.45 Other Instrument CORPORATE 12165000.00 12580813.22 VODAFONE GROUP PLC NEW 2011-06-15 2011-06-15 5.5 - 5.5 Other Instrument CORPORATE 3550000.00 3641173.86 WASTE MGMT INC NAME CHANGED TO WMX TECHNOLOGIES 2021-03-01 2021-03-01 4.6 - 4.6 Other Instrument CORPORATE 7500000.00 7529775.00 LLOYDS TSB BANK PLC, LONDON 2012-04-02 2012-04-02 2.8 - 2.8 Other Instrument CORPORATE 20216819.00 21242530.53 AGRIUM INC 2041-01-15 2041-01-15 6.125 - 6.125 Other Instrument CORPORATE 4450000.00 4656478.76 AMERICAN INTL GROUP INC 2036-05-01 2036-05-01 6.25 - 6.25 Other Instrument CORPORATE 1675000.00 1731233.94 BANK AMER CORP 2015-09-01 2020-07-01 3.7 - 5.625 Other Instrument CORPORATE 7005000.00 7266081.75 CBS CORP NEW 2040-10-15 2040-10-15 5.9 - 5.9 Other Instrument CORPORATE 2701000.00 2602700.11 CITIGROUP INC 2012-02-21 2020-08-09 5.375 - 6 Other Instrument CORPORATE 30078000.00 31292223.68 CLIFFS NAT RES INC 2020-10-01 2020-10-01 4.8 - 4.8 Other Instrument CORPORATE 2000000.00 2017173.33 DOW CHEM CO 2020-11-15 2020-11-15 4.25 - 4.25 Other Instrument CORPORATE 5000000.00 4868870.83 EASTMAN CHEM CO 2015-12-15 2015-12-15 3 - 3 Other Instrument CORPORATE 1175000.00 1166081.75 ENTERPRISE PRODS OPER LLC 2016-02-01 2016-02-01 3.2 - 3.2 Other Instrument CORPORATE 1188000.00 1190671.68 GENERAL ELEC CAP CORP FORMERLY GENERAL ELEC CR C 2021-02-11 2021-02-11 5.3 - 5.3 Other Instrument CORPORATE 8460000.00 8658833.50 GOLD FIELDS OROGEN HLDG BVI LTD 2020-10-07 2020-10-07 4.875 - 4.875 Other Instrument CORPORATE 5793000.00 5653989.72 GOLDMAN SACHS GROUP INC 2037-10-01 2037-10-01 6.75 - 6.75 Other Instrument CORPORATE 7375000.00 7641550.93 JAPAN FIN CORP 2012-11-05 2012-11-05 2.125 - 2.125 Other Instrument CORPORATE 2408732.00 2464952.14 KELLOGG CO 2019-11-15 2019-11-15 4.15 - 4.15 Other Instrument CORPORATE 3548000.00 3623549.73 KRAFT FOODS INC 2013-05-08 2013-05-08 2.625 - 2.625 Other Instrument CORPORATE 1820000.00 1882846.12 KREDITANSTALT FUR WIEDERAUFBAU KFW 2011-10-14 2011-10-14 3.25 - 3.25 Other Instrument CORPORATE 20600000.00 21218354.77 LOCKHEED MARTIN CORP 2039-11-15 2039-11-15 5.5 - 5.5 Other Instrument CORPORATE 5000000.00 5128830.55 MORGAN STANLEY 2014-11-20 2014-11-20 4.2 - 4.2 Other Instrument CORPORATE 5000000.00 5226416.67 NBC UNVL INC 2041-04-01 2041-04-01 5.95 - 5.95 Other Instrument CORPORATE 1559000.00 1558447.85 NIBC BANK NV 2014-12-02 2014-12-02 2.8 - 2.8 Other Instrument CORPORATE 5885000.00 6111742.51 NEWS AMER INC 2041-02-15 2041-02-15 6.15 - 6.15 Other Instrument CORPORATE 2500000.00 2535875.00 NOMURA HLDGS INC 2016-01-19 2016-01-19 4.125 - 4.125 Other Instrument CORPORATE 5000000.00 4999643.75 NSTAR ELEC CO 2040-03-15 2040-03-15 5.5 - 5.5 Other Instrument CORPORATE 20000000.00 20706855.55 OESTERREICHISCHE KONTROLLBANK A G 2012-03-21 2012-03-21 1.875 - 1.875 Other Instrument CORPORATE 74320020.00 75969707.72 PRIVATE EXPORT FUND CORP 2021-12-15 2021-12-15 4.3 - 4.3 Other Instrument CORPORATE 4500000.00 4608897.50 RPM INTL INC FORMERLY RPM INC OHIO TO 10/11/2002 2019-10-15 2019-10-15 6.125 - 6.125 Other Instrument CORPORATE 3777000.00 3962558.24 ROYAL BK CDA 2015-04-14 2015-04-14 3.125 - 3.125 Other Instrument CORPORATE 3000000.00 3108005.83 First Tier Security 2011-03-01 2011-03-01 N N N 291000000.00 291000000.00 0.0025 N 291000000.00 291000000.00 Mizuho Securities USA, Inc. Mizuho Securities USA, Inc., 0.44% 38S994KE2 Other Repurchase Agreement N UNITED DOMINION RLTY TR INC NAME CHANGED TO UDR 2035-12-15 2035-12-15 4 - 4 Other Instrument EQUITY 996501.00 1013303.11 PROSPECT ENERGY CORP FORMERLY PROSPECT ENERGY CO 2015-12-15 2015-12-15 N/A Other Instrument EQUITY 200000.00 223034.72 VORNADO RLTY L P 2026-11-15 2026-11-15 3.625 - 3.625 Other Instrument EQUITY 6374000.00 6551653.12 CENTERPOINT ENERGY RES CORP 2016-05-01 2016-05-01 6.15 - 6.15 Other Instrument CORPORATE 5000000.00 5771687.50 CITIGROUP INC 2012-03-16 2012-03-16 0.426 - 0.426 Other Instrument CORPORATE 355716.00 354591.94 COMMONWEALTH EDISON CO 2013-04-15 2013-04-15 7.625 - 7.625 Other Instrument CORPORATE 127057.00 146415.42 ERP OPER LTD PARTNERSHIP 2026-08-15 2026-08-15 3.85 - 3.85 Other Instrument EQUITY 4955098.00 5113761.61 FIRST UN CAP ONE 2027-01-15 2027-01-15 7.935 - 7.935 Other Instrument CORPORATE 5000000.00 5370377.07 INTERNATIONAL GAME TECHNOLOGY 2014-05-01 2014-05-01 3.25 - 3.25 Other Instrument EQUITY 946895.00 1075909.44 MF GLOBAL LTD 2038-06-20 2038-06-20 9 - 9 Other Instrument EQUITY 4724000.00 5772728.00 MCKESSON CORP NEW REORGANIZED AS MCKESSON HBOC I 2017-03-01 2017-03-01 5.7 - 5.7 Other Instrument CORPORATE 5000000.00 5686625.00 NATIONAL RETAIL PPTYS INC 2026-09-15 2026-09-15 3.95 - 3.95 Other Instrument EQUITY 5000000.00 5564423.62 NEWELL RUBBERMAID INC 2014-03-15 2014-03-15 5.5 - 5.5 Other Instrument EQUITY 2000000.00 4862305.56 PPL ENERGY SUPPLY LLC 2011-11-01 2011-11-01 6.4 - 6.4 Other Instrument CORPORATE 4449891.00 4712657.07 PROGRESS ENERGY INC 2031-03-01 2031-03-01 7.75 - 7.75 Other Instrument CORPORATE 1228632.00 1577445.74 VENTAS INC 2011-11-15 2011-11-15 3.875 - 3.875 Other Instrument EQUITY 1395314.00 1866004.77 First Tier Security 2011-03-07 2011-03-07 Y MIZUHONG N/A N/A N N 53000000.00 53000000.00 0.0005 N 53000000.00 53000000.00 Mizuho Securities USA, Inc. Mizuho Securities USA, Inc., 0.44% 38S994LE1 Other Repurchase Agreement N AFFILIATED MANAGERS GROUP INC 2038-08-15 2038-08-15 3.95 - 3.95 Other Instrument EQUITY 195990.00 227382.97 ALCOA INC 2014-03-15 2014-03-15 5.25 - 5.25 Other Instrument EQUITY 846000.00 2289505.12 ARCELORMITTAL SA LUXEMBOURG 2014-05-15 2014-05-15 5 - 5 Other Instrument EQUITY 1237049.00 1820695.59 BORG WARNER AUTOMOTIVE INC FORMERLY BORG WARNER 2012-04-15 2012-04-15 3.5 - 3.5 Other Instrument EQUITY 7570318.00 18001690.49 CAMERON INTL CORP 2026-06-15 2026-06-15 2.5 - 2.5 Other Instrument EQUITY 146125.00 248057.33 COMCAST CORP 2037-03-15 2037-03-15 6.45 - 6.45 Other Instrument CORPORATE 590491.00 628379.36 PRICELINE COM INC 2015-03-15 2015-03-15 1.25 - 1.25 Other Instrument EQUITY 13144775.00 21549671.93 ERP OPER LTD PARTNERSHIP 2026-08-15 2026-08-15 3.85 - 3.85 Other Instrument EQUITY 181312.00 187117.66 INTERNATIONAL GAME TECHNOLOGY 2014-05-01 2014-05-01 3.25 - 3.25 Other Instrument EQUITY 856664.00 973384.47 INVITROGEN CORP 2025-06-15 2025-06-15 3.25 - 3.25 Other Instrument EQUITY 1138000.00 1304819.74 NEWMONT MNG CORP 2017-07-15 2017-07-15 1.625 - 1.625 Other Instrument EQUITY 2922000.00 3913846.52 PPL ENERGY SUPPLY LLC 2011-11-01 2011-11-01 6.4 - 6.4 Other Instrument CORPORATE 1327880.00 1406291.32 COMMONWEALTH EDISON CO 2013-04-15 2013-04-15 7.625 - 7.625 Other Instrument CORPORATE 2696483.00 3107319.52 First Tier Security 2011-03-07 2011-03-07 Y MIZUHONG N/A N/A N N 53000000.00 53000000.00 0.0005 N 53000000.00 53000000.00 Mizuho Securities USA, Inc. Mizuho Securities USA, Inc., 0.44% 38S994KM4 Other Repurchase Agreement N AOL TIME WARNER INC NAME CHANGED TO TIME WARNER 2012-05-02 2012-05-02 6.875 - 6.875 Other Instrument CORPORATE 2659119.00 2890498.91 TRANSOCEAN INC FORMERLY TRANSOCEAN SEDCO FOREX I 2037-12-15 2037-12-15 1.5 - 1.5 Other Instrument EQUITY 5389733.00 5311806.44 ALLEGHENY TECHNOLOGIES INC 2014-06-01 2014-06-01 4.25 - 4.25 Other Instrument EQUITY 1601000.00 2794178.60 ARES CAP CORP 2016-02-01 2016-02-01 N/A Other Instrument EQUITY 2500000.00 2695156.25 BARRICK INTL BK CORP 2036-10-15 2036-10-15 6.35 - 6.35 Other Instrument CORPORATE 1723307.00 1819605.40 CITIGROUP INC 2012-03-16 2012-03-16 0.426 - 0.426 Other Instrument CORPORATE 322438.00 321419.10 DONNELLEY & SONS CO R R 2016-08-15 2016-08-15 8.6 - 8.6 Other Instrument CORPORATE 797374.00 910517.83 GOLDMAN SACHS GROUP 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 12144.00 2005217.28 HEALTH CARE REIT INC 2029-12-01 2029-12-01 3 - 3 Other Instrument EQUITY 2964000.00 3289299.00 INTERNATIONAL GAME TECHNOLOGY 2014-05-01 2014-05-01 3.25 - 3.25 Other Instrument EQUITY 3895401.00 4426149.39 INVITROGEN CORP 2025-06-15 2025-06-15 3.25 - 3.25 Other Instrument EQUITY 2000000.00 2293180.55 KRAFT FOODS INC 2038-02-01 2038-02-01 6.875 - 6.875 Other Instrument CORPORATE 8992774.00 10095793.94 MF GLOBAL LTD 2038-06-20 2038-06-20 9 - 9 Other Instrument EQUITY 5922438.00 7237219.23 OLD REP INTL CORP 2012-05-15 2012-05-15 8 - 8 Other Instrument EQUITY 1495000.00 1817006.39 OMNICOM GROUP INC / OMNICOM CAP INC / OMNICOM FI 2038-07-01 2038-07-01 N/A Other Instrument EQUITY 1569000.00 1745512.50 PRICELINE COM INC 2015-03-15 2015-03-15 1.25 - 1.25 Other Instrument EQUITY 2500000.00 4098524.31 AFFILIATED MANAGERS GROUP INC 2038-08-15 2038-08-15 3.95 - 3.95 Other Instrument EQUITY 1700000.00 1972299.86 First Tier Security 2011-03-07 2011-03-07 Y MIZUHONG N/A N/A N N 53000000.00 53000000.00 0.0005 N 53000000.00 53000000.00 Mizuho Securities USA, Inc. Mizuho Securities USA, Inc., 0.44% 38S994JP9 Other Repurchase Agreement N ALCOA INC 2014-03-15 2014-03-15 5.25 - 5.25 Other Instrument EQUITY 5684401.00 15383528.63 ARCELORMITTAL SA LUXEMBOURG 2014-05-15 2014-05-15 5 - 5 Other Instrument EQUITY 10548851.00 15525857.51 VENTAS INC 2011-11-15 2011-11-15 3.875 - 3.875 Other Instrument EQUITY 6126110.00 8192672.38 INGERSOLL-RAND GLOBAL HLDG CO LTD 2012-04-15 2012-04-15 4.5 - 4.5 Other Instrument EQUITY 5954000.00 15222145.24 PROGRESS ENERGY INC 2031-03-01 2031-03-01 7.75 - 7.75 Other Instrument CORPORATE 1201040.00 1542020.26 CVS CAREMARK CORP FORMERLY CVS CORP TO 03/22/200 2027-06-01 2027-06-01 6.25 - 6.25 Other Instrument CORPORATE 442088.00 487523.23 First Tier Security 2011-03-07 2011-03-07 Y MIZUHONG N/A N/A N N 53000000.00 53000000.00 0.0005 N 53000000.00 53000000.00 Mizuho Securities USA, Inc. Mizuho Securities USA, Inc., 0.44% 38S994LQ4 Other Repurchase Agreement N ALCOA INC 2014-03-15 2014-03-15 5.25 - 5.25 Other Instrument EQUITY 19837639.00 53686023.83 UNITED DOMINION RLTY TR INC NAME CHANGED TO UDR 2035-12-15 2035-12-15 4 - 4 Other Instrument EQUITY 2155198.00 2191537.03 PPL ENERGY SUPPLY LLC 2011-11-01 2011-11-01 6.4 - 6.4 Other Instrument CORPORATE 157616.00 166923.23 CAMERON INTL CORP 2026-06-15 2026-06-15 2.5 - 2.5 Other Instrument EQUITY 223344.00 379141.95 First Tier Security 2011-03-07 2011-03-07 Y MIZUHONG N/A N/A N N 53000000.00 53000000.00 0.0005 N 53000000.00 53000000.00 Mizuho Securities USA, Inc. Mizuho Securities USA, Inc., 0.50% 38S994HL0 Other Repurchase Agreement N METLIFE INC 2034-06-15 2034-06-15 6.375 - 6.375 Other Instrument CORPORATE 3905395.00 4363369.28 CVS CAREMARK CORP FORMERLY CVS CORP TO 03/22/200 2027-06-01 2027-06-01 6.25 - 6.25 Other Instrument CORPORATE 998525.00 1101147.57 ALCOA INC 2014-03-15 2014-03-15 5.25 - 5.25 Other Instrument EQUITY 39310108.00 106383798.74 First Tier Security 2011-03-07 2011-03-07 Y MIZUHONG N/A N/A N N 105000000.00 105000000.00 0.0009 N 105000000.00 105000000.00 RBC Capital Markets Co. RBC Capital Markets Co., 0.25% 37U99PSR7 0000050916 Other Repurchase Agreement N FEDERAL NATIONAL MORTGAGE ASSOC 2014-11-18 2040-11-25 0 - 10 Government Agency Debt 659669931.00 117839139.09 FEDERAL HOME LOAN MORTGAGE CORP 2033-12-01 2037-06-15 0 - 6.439 Government Agency Debt 403435479.00 78892227.48 First Tier Security 2011-03-01 2011-03-01 N N N 191000000.00 191000000.00 0.0016 N 191000000.00 191000000.00 RBC Capital Markets Co. RBC Capital Markets Co., 0.40% 37U99PPK5 0000050916 Other Repurchase Agreement N AMERICAN INTL GROUP INC MEDIUM TERM NTS BOOK ENT 2016-10-18 2016-10-18 5.6 - 5.6 Other Instrument CORPORATE 45000.00 48417.40 TIME WARNER CABLE INC 2021-02-15 2021-02-15 4.125 - 4.125 Other Instrument CORPORATE 6058000.00 5683734.24 ARCELORMITTAL SA LUXEMBOURG 2020-08-05 2020-08-05 5.25 - 5.25 Other Instrument CORPORATE 2774613.00 2758004.63 AT&T INC 2040-09-01 2040-09-01 5.35 - 5.35 Other Instrument CORPORATE 6249000.00 5858196.22 BANK AMER CORP SR INTERNOTES BOOK ENTRY 2017-02-15 2020-02-18 3.9 - 4.75 Other Instrument CORPORATE 2798000.00 2761882.18 BANK AMER CORP SUB INTERNOTES BOOK ENTRY 2027-12-15 2037-09-15 6.125 - 6.3 Other Instrument CORPORATE 110000.00 109742.15 BARCLAYS BK PLC MEDIUM TERM NTS BOOK ENTRY 2026-02-25 2026-02-25 5.125 - 5.125 Other Instrument CORPORATE 200000.00 196778.00 CSX CORP 2037-05-01 2037-05-01 6.15 - 6.15 Other Instrument CORPORATE 5959000.00 6473663.93 CANADIAN NAT RES LTD 2013-02-01 2013-02-01 5.15 - 5.15 Other Instrument CORPORATE 6269000.00 6719819.46 CARDINAL HEALTH INC 2016-10-15 2016-10-15 5.8 - 5.8 Other Instrument CORPORATE 4500000.00 5098715.00 CITIGROUP INC 2012-02-21 2012-02-21 6 - 6 Other Instrument CORPORATE 6321443.00 6635218.36 DUKE ENERGY CORP NEW 2015-04-01 2015-04-01 3.35 - 3.35 Other Instrument CORPORATE 5000000.00 5179895.83 ENCANA CORP 2013-10-15 2013-10-15 4.75 - 4.75 Other Instrument CORPORATE 5516000.00 6088167.01 FIRST HORIZON NATL CORP 2015-12-15 2015-12-15 5.375 - 5.375 Other Instrument CORPORATE 4800000.00 5048070.67 HCP INC 2016-02-01 2016-02-01 3.75 - 3.75 Other Instrument CORPORATE 6325000.00 6402328.40 HOME DEPOT INC 2036-12-16 2036-12-16 5.875 - 5.875 Other Instrument CORPORATE 5750000.00 5874315.00 KROGER CO 2031-04-01 2031-04-01 7.5 - 7.5 Other Instrument CORPORATE 4438000.00 5402665.87 MARATHON PETE CORP 2016-03-01 2016-03-01 3.5 - 3.5 Other Instrument CORPORATE 5009000.00 5045941.38 NEXEN INC 2039-07-30 2039-07-30 7.5 - 7.5 Other Instrument CORPORATE 5000000.00 5343016.67 NOBLE HLDG INTL LTD 2016-03-01 2016-03-01 3.05 - 3.05 Other Instrument CORPORATE 5975456.00 5939352.63 PSI ENERGY INC 2016-06-15 2016-06-15 6.05 - 6.05 Other Instrument CORPORATE 5000000.00 5638950.00 PETRO CANADA PETRO CDA FOR FUTURE ISSUES SEE 716 2013-07-15 2013-07-15 4 - 4 Other Instrument CORPORATE 6189000.00 6556860.41 PLAINS ALL AMERN PIPELINE L P / PAA FIN CORP 2036-05-15 2036-05-15 6.7 - 6.7 Other Instrument CORPORATE 4955000.00 5337027.75 PRUDENTIAL FINL INC INTERNOTES BOOK ENTRY 2037-03-15 2037-03-15 6 - 6 Other Instrument CORPORATE 6000.00 6282.40 PRUDENTIAL FINL INC MEDIUM TERM NTS BOOK ENTRY 2037-12-01 2037-12-01 6.625 - 6.625 Other Instrument CORPORATE 5000000.00 5651202.08 REPUBLIC SVCS INC 2019-09-15 2019-09-15 5.5 - 5.5 Other Instrument CORPORATE 5385000.00 5988568.75 SAFEWAY INC FORMERLY SAFEWAY STORES INC TO 02/2 2031-02-01 2031-02-01 7.25 - 7.25 Other Instrument CORPORATE 5390000.00 6015388.23 TECK COMINCO LTD FORMERLY TECK COMINCO LTD TO 04 2014-05-15 2019-05-15 9.75 - 10.75 Other Instrument CORPORATE 9242000.00 11873137.91 First Tier Security 2011-03-07 2011-03-07 Y RBC NGR N/A N/A N N 133000000.00 133000000.00 0.0011 N 133000000.00 133000000.00 RBC Capital Markets Co. RBC Capital Markets Co., 0.46% 37U99PQJ7 0000050916 Other Repurchase Agreement N FEDERAL NATIONAL MORTGAGE ASSOC 2032-10-25 2032-10-25 5.271 - 5.271 Government Agency Debt 2815884.00 3048473.20 WELLS FARGO MORTGAGE BACKED SECURITIES TRUST 2036-10-25 2036-10-25 6.479 - 6.479 Other Instrument MORTGAGE 50000000.00 12041150.79 CSMC SER 2009-15R 2036-10-26 2036-10-26 N/A Other Instrument MORTGAGE 5204441.00 3681632.61 CSMC SER 2009-16R 2037-08-26 2037-08-26 N/A Other Instrument MORTGAGE 51647000.00 36313625.46 COUNTRYWIDE HOME EQUITY LOAN TRUST 2035-07-25 2035-07-25 0.712 - 0.712 Other Instrument ASSET BACKED 367238.00 341897.84 CARRINGTON HOME EQUITY LOAN TRUST 2031-02-25 2031-02-25 0.31 - 0.31 Other Instrument ASSET BACKED 57668000.00 15111448.81 CARRINGTON HOME EQUITY LOAN TRUST 2036-03-25 2036-03-25 0.32 - 0.32 Other Instrument ASSET BACKED 39770000.00 14584951.27 CITIGROUP MORTGAGE LOAN TRUST 2037-03-25 2037-03-25 0.41 - 0.41 Other Instrument ASSET BACKED 27500000.00 17979068.37 CSMC SER 2009-3R 2036-11-27 2036-11-27 N/A Other Instrument MORTGAGE 23307.00 13155.25 FREMONT HOME LOAN OWNER TRUST 2035-01-25 2035-01-25 0.72 - 0.72 Other Instrument MORTGAGE 28903000.00 21048127.43 JP MORGAN MORTGAGE ACQUISITION CORP 2029-07-25 2029-07-25 0.34 - 0.34 Other Instrument ASSET BACKED 76645792.00 14578702.62 JEFFERIES RESECURITIZATION TR 2009-R13 2037-10-25 2037-10-25 N/A Other Instrument ASSET BACKED 31058000.00 23299840.12 MORGAN STANLEY HOME EQUITY LOAN TRUST 2035-09-25 2035-09-25 0.58 - 0.58 Other Instrument ASSET BACKED 3968021.00 3085364.77 POPULAR ABS MORTGAGE PASS-THROUGH TRUST 2035-11-25 2035-11-25 0.71 - 0.71 Other Instrument ASSET BACKED 2000000.00 1601214.00 RAMP 2035-10-25 2035-10-25 0.44 - 0.44 Other Instrument ASSET BACKED 25000000.00 15464023.65 WAMU MORTGAGE PASS-THROUGH CERTIFICATES 2045-08-25 2045-08-25 N/A Other Instrument MORTGAGE 37585777.00 314484.27 BANC AMER FDG 2009-R15 TR 2036-12-25 2036-12-25 N/A Other Instrument MORTGAGE 27819000.00 13872725.70 First Tier Security 2011-03-03 2011-03-03 Y RBC NGR N/A N/A N N 184000000.00 184000000.00 0.0016 N 184000000.00 184000000.00 RBS Securities, Inc. RBS Securities, Inc., 0.61% 35J99RUP1 0000808379 Other Repurchase Agreement N 101-500 2012-10-25 2052-11-23 0 - 19.26 Other Instrument MORTGAGE 3371922581.00 443345850.71 Unrated Security 2011-03-07 2011-03-07 Y RBSNGR N/A N/A N N 412000000.00 412000000.00 0.0035 N 412000000.00 412000000.00 RBS Securities, Inc. RBS Securities, Inc., 0.76% 35J99RRF7 0000808379 Other Repurchase Agreement N 101-500 2015-12-15 2049-03-18 0 - 44.775 Other Instrument MORTGAGE 5155915144.00 414720902.75 Unrated Security 2011-04-04 2011-04-04 Y RBSNGR N/A N/A N N 384000000.00 384000000.00 0.0033 Y 384000000.00 384000000.00 Royal Bank of Scotland PLC Royal Bank of Scotland PLC, 0.61% 40Q995AJ7 Other Repurchase Agreement N KNOLLWOOD CDO II LTD./KNOLLWOO 2046-07-13 2046-07-13 6.289 - 6.289 Other Instrument OTHER NOTE 7850000.00 24683.78 JUNIPER CBO 2000-1 LTD DEFINIT 2012-04-15 2012-04-15 1.955 - 1.955 Other Instrument GOVERNMENT AGENCY 1750000.00 1183822.57 PPM AMERICA HIGH GRADE CBO I L 2013-01-15 2013-01-15 N/A Other Instrument OTHER NOTE 4160000.00 820838.49 PETRA CRE CDO 2007-1/PETRA CRE CDO 2007-1 CORP 2047-06-25 2047-06-25 4.51 - 4.51 Other Instrument OTHER NOTE 42250000.00 5074550.76 STRUCTURED ASSET MORTGAGE INVE 2035-11-25 2035-11-25 0.96 - 0.96 Other Instrument GOVERNMENT AGENCY 5081000.00 29174.71 STRUCTURED ASSET SECURITIES CO 2036-04-25 2036-04-25 0.68 - 0.68 Other Instrument GOVERNMENT AGENCY 8726000.00 5455.20 STRUCTURED ASSET MORTGAGE INVE 2036-02-25 2036-02-25 0.63 - 0.63 Other Instrument GOVERNMENT AGENCY 7941000.00 41190.67 THORNBURG MORTGAGE SECURITIES 2014-11-25 2047-06-25 0.481 - 5.43 Other Instrument GOVERNMENT AGENCY,OTHER NOTE 515132449.00 152988382.34 WAMU MORTGAGE PASS-THROUGH CER 2036-03-25 2036-03-25 N/A Other Instrument GOVERNMENT AGENCY 769582771.00 2622424.95 WAMU MORTGAGE PASS-THROUGH CER 2047-07-25 2047-07-25 N/A Other Instrument GOVERNMENT AGENCY 402661234.00 3637726.10 WAMU MORTGAGE PASS-THROUGH CER 2046-07-25 2046-07-25 1.305 - 1.305 Other Instrument GOVERNMENT AGENCY 2200000.00 812236.96 WASHINGTON MUTUAL MORTGAGE PAS 2036-09-25 2036-09-25 6.086 - 6.086 Other Instrument GOVERNMENT AGENCY 12731000.00 437789.95 CWALT, ALTERNATIVE LOAN TRUST 2046-08-25 2046-08-25 0.612 - 0.612 Other Instrument GOVERNMENT AGENCY 10000000.00 93557.73 ALTERNATIVE LOAN TRUST 2006-OA 2046-07-20 2046-07-20 4.222 - 4.222 Other Instrument GOVERNMENT AGENCY 107432000.00 4192601.97 BEAR STERANS STRUCTURED PRODS INC 2042-08-27 2042-08-27 2.739 - 2.739 Other Instrument GOVERNMENT AGENCY 44657265.00 2892706.92 CWALT, INC., 2005-43 2035-11-20 2035-11-20 2.299 - 2.375 Other Instrument GOVERNMENT AGENCY 775000000.00 14986452.18 CWMBS, INC., 2005-19 2046-05-20 2046-05-20 0.473 - 7.214 Other Instrument GOVERNMENT AGENCY 101000000.00 4373318.02 DUKE FDG GIGH GRADE IV LTD 2050-02-03 2050-02-03 N/A Other Instrument OTHER NOTE 450000.00 45.00 FBR SECURITIZATION TRUST 2005- 2035-11-25 2035-11-25 1.012 - 1.012 Other Instrument GOVERNMENT AGENCY 10390000.00 46511.99 GREENPOINT MORTGAGE FUNDING TR 2047-03-25 2047-03-25 0.401 - 0.401 Other Instrument GOVERNMENT AGENCY 1000000.00 2475.98 HARBORVIEW MORTGAGE LOAN TRUST 2035-11-19 2045-10-20 0 - 2.314 Other Instrument GOVERNMENT AGENCY 638108291.00 7727437.91 MUZINICH CASHFLOW CBO 2012-11-08 2012-11-08 13.135 - 13.135 Other Instrument GOVERNMENT AGENCY 1500000.00 851.73 First Tier Security 2011-03-07 2011-03-07 Y RBSPLCNG N/A N/A N N 187000000.00 187000000.00 0.0016 N 187000000.00 187000000.00 UBS Securities LLC UBS Securities LLC, 0.41% 23M99SRP5 0000230611 Other Repurchase Agreement N AHOLD FIN U S A INC 2029-05-01 2029-05-01 6.875 - 6.875 Other Instrument CORPORATE 2997450.00 3348342.73 XILINX INC 2017-06-15 2017-06-15 2.625 - 2.625 Other Instrument EQUITY 4250000.00 5482500.00 ALLEGHENY ENERGY SUPPLY CO LLC 2019-10-15 2019-10-15 5.75 - 5.75 Other Instrument CORPORATE 5900000.00 6195667.02 ALLIED WASTE NORTH AMER INC 2017-06-01 2017-06-01 6.875 - 6.875 Other Instrument CORPORATE 303633.00 335245.62 AMGEN INC FORMERLY AMGEN TO 02/17/1987 2013-02-01 2013-02-01 0.375 - 0.375 Other Instrument EQUITY 4979000.00 4986624.09 ARES CAP CORP 2016-02-01 2016-02-01 N/A Other Instrument EQUITY 3390000.00 3654631.87 BP CAP MKTS P L C 2020-10-01 2020-10-01 4.5 - 4.5 Other Instrument CORPORATE 157784.00 161117.19 CLIFFS NAT RES INC 2040-10-01 2040-10-01 6.25 - 6.25 Other Instrument CORPORATE 5805000.00 5982408.86 CONSTELLATION ENERGY GROUP, INC 2015-06-15 2015-06-15 4.55 - 4.55 Other Instrument CORPORATE 6125000.00 6450521.63 COX COMMUNICATIONS INC NEW 2039-03-01 2039-03-01 8.375 - 8.375 Other Instrument CORPORATE 5035000.00 6624534.81 DIRECTV HLDGS LLC / DIRECTV FING INC 2015-06-15 2015-06-15 6.375 - 6.375 Other Instrument CORPORATE 6399000.00 6681689.15 ERP OPER LTD PARTNERSHIP 2026-08-15 2026-08-15 3.85 - 3.85 Other Instrument EQUITY 3530000.00 3643031.58 GENERAL ELEC CAP CORP MEDIUM TERM NTS BOOK ENTRY 2017-02-15 2017-02-15 5.4 - 5.4 Other Instrument CORPORATE 115643.00 125839.24 GOLD FIELDS OROGEN HLDG BVI LTD 2020-10-07 2020-10-07 4.875 - 4.875 Other Instrument CORPORATE 6771000.00 6608521.39 INTERNATIONAL GAME TECHNOLOGY 2014-05-01 2014-05-01 3.25 - 3.25 Other Instrument EQUITY 4100000.00 4658625.00 JPMORGAN CHASE & CO 2015-05-01 2015-05-01 5.25 - 5.25 Other Instrument CORPORATE 164650.00 178250.50 LABORATORY CORP AMER HLDGS 2021-09-11 2021-09-11 N/A Other Instrument EQUITY 3990000.00 4788000.00 MF GLOBAL LTD 2038-06-20 2038-06-20 9 - 9 Other Instrument EQUITY 2790000.00 3409380.00 METLIFE CAP TR IV 2067-12-15 2067-12-15 7.875 - 7.875 Other Instrument EQUITY 4366000.00 4704365.00 METLIFE INC 2016-06-01 2016-06-01 6.75 - 6.75 Other Instrument CORPORATE 173187.00 204238.13 MICROSOFT CORP 2041-02-08 2041-02-08 5.3 - 5.3 Other Instrument CORPORATE 139141.00 141433.27 NATIONSBANK CORP 2015-08-15 2015-08-15 7.75 - 7.75 Other Instrument CORPORATE 235037.00 271293.48 SHELL INTL FIN B V 2020-03-25 2020-03-25 4.375 - 4.375 Other Instrument CORPORATE 314167.00 330649.38 TIME WARNER CABLE INC 2039-06-15 2039-06-15 6.75 - 6.75 Other Instrument CORPORATE 5545751.00 5957675.52 TOYOTA MTR CR CORP MEDIUM TERM NTS BOOK ENTRY 2013-08-12 2013-08-12 1.375 - 1.375 Other Instrument CORPORATE 6235000.00 6253462.53 UNITEDHEALTH GROUP INC 2037-11-15 2037-11-15 6.625 - 6.625 Other Instrument CORPORATE 83030.00 92875.27 VIRGINIA ELEC & PWR CO 2037-11-30 2037-11-30 6.35 - 6.35 Other Instrument CORPORATE 182421.00 208261.34 WACHOVIA BK NATL ASSN MEDIUM TERM SUB BK NTS BOO 2016-03-15 2016-03-15 5.6 - 5.6 Other Instrument CORPORATE 110570.00 123618.98 WACHOVIA CORP NEW 2014-02-15 2014-02-15 4.875 - 4.875 Other Instrument CORPORATE 5643000.00 5983500.97 WELLS FARGO & CO NEW 2016-09-15 2016-09-15 5.125 - 5.125 Other Instrument CORPORATE 5697000.00 6248269.41 AGRIUM INC 2036-05-23 2036-05-23 7.125 - 7.125 Other Instrument CORPORATE 5400000.00 6420449.25 First Tier Security 2011-03-07 2011-03-07 Y UBSWNGR N/A N/A N N 105000000.00 105000000.00 0.0009 N 105000000.00 105000000.00 UBS Securities LLC UBS Securities LLC, 0.48% 23M99SRF7 0000230611 Other Repurchase Agreement N 51-100 2011-09-15 2063-04-01 0 - 9.375 Other Instrument CORPORATE 137099268.00 118689739.79 First Tier Security 2011-03-07 2011-03-07 Y UBSWNGR N/A N/A N N 110000000.00 110000000.00 0.0009 N 110000000.00 110000000.00 Wells Fargo Securities, LLC Wells Fargo Securities, LLC, 0.31% 38U995WD5 0000276523 Other Repurchase Agreement N AMB PPTY L P 2016-12-01 2016-12-01 6.125 - 6.125 Other Instrument CORPORATE 8485000.00 9511448.12 WYETH 2034-02-01 2034-02-01 6.5 - 6.5 Other Instrument CORPORATE 7635000.00 8768301.23 APACHE CORP 2013-09-15 2013-09-15 6 - 6 Other Instrument CORPORATE 7739000.00 8795734.65 ASTRAZENECA PLC 2012-09-15 2012-09-15 5.4 - 5.4 Other Instrument CORPORATE 9484000.00 10388489.07 ATLANTIC CITY ELECTRIC CO 2011-03-07 2011-03-07 N/A Other Commercial Paper 9249389.00 9248641.65 BRE PPTYS INC 2021-03-15 2021-03-15 5.2 - 5.2 Other Instrument CORPORATE 6544137.00 6890867.19 CENTERPOINT ENERGY RES CORP DEL 2021-01-15 2021-01-15 4.5 - 4.5 Other Instrument CORPORATE 10328000.00 10246305.52 CISCO SYS INC 2019-02-15 2019-02-15 4.95 - 4.95 Other Instrument CORPORATE 8596000.00 9220391.95 COMCAST CORP 2039-07-01 2039-07-01 6.55 - 6.55 Other Instrument CORPORATE 9016000.00 9554533.20 COMMONWEALTH EDISON CO 2020-08-01 2020-08-01 4 - 4 Other Instrument CORPORATE 8923000.00 8725801.70 CONSUMERS ENERGY CO 2019-09-15 2019-09-15 6.7 - 6.7 Other Instrument CORPORATE 7395000.00 8976465.93 DNB NOR BANK ASA 2011-09-07 2011-09-07 N/A Financial Company Commercial Paper 9000000.00 8978223.60 DEVON ENERGY CORP 2011-04-18 2011-04-18 N/A Other Commercial Paper 10000000.00 9995320.00 ENDURANCE SPECIALTY HLDGS LTD 2034-07-15 2034-07-15 7 - 7 Other Instrument CORPORATE 8994000.00 8972514.34 ENOGEX LLC 2020-03-15 2020-03-15 6.25 - 6.25 Other Instrument CORPORATE 8500000.00 9360273.19 FLORIDA POWER CORP 2037-09-15 2040-04-01 5.65 - 6.35 Other Instrument CORPORATE 16986000.00 18679918.46 GENERAL ELEC CAP CORP MEDIUM TERM SR NTS BOOK EN 2012-12-21 2012-12-21 2.125 - 2.125 Other Instrument CORPORATE 8170000.00 8405989.32 GOLDMAN SACHS GROUP INC 2027-01-15 2027-01-15 5.95 - 5.95 Other Instrument CORPORATE 10395000.00 10461080.44 HEWLETT PACKARD CO 2014-06-02 2014-06-02 4.75 - 4.75 Other Instrument CORPORATE 7874000.00 8644370.29 IBM INTL GROUP CAP LLC 2012-10-22 2012-10-22 5.05 - 5.05 Other Instrument CORPORATE 9144666.00 9931793.14 KINDER MORGAN ENERGY PARTNERS L P 2020-02-15 2020-02-15 6.85 - 6.85 Other Instrument CORPORATE 8656841.00 9903024.52 MARATHON OIL CORP 2017-10-01 2017-10-01 6 - 6 Other Instrument CORPORATE 8462000.00 9863730.31 MATTEL INC 2011-03-18 2011-03-18 N/A Other Commercial Paper 9000000.00 8955000.00 METLIFE INC 2041-02-06 2041-02-06 5.875 - 5.875 Other Instrument CORPORATE 9194000.00 9471753.29 OGLETHORPE PWR CORP 2040-11-01 2040-11-01 5.375 - 5.375 Other Instrument CORPORATE 8925000.00 8661827.78 SEMPRA ENERGY 2039-10-15 2039-10-15 6 - 6 Other Instrument CORPORATE 8594000.00 9061570.90 SIMON PPTY GROUP L P 2018-05-30 2018-05-30 6.125 - 6.125 Other Instrument CORPORATE 9051000.00 10320060.82 TOTAL CAP 2015-10-02 2015-10-02 3.125 - 3.125 Other Instrument CORPORATE 10000000.00 10357236.11 UNITED PARCEL SVC INC 2040-11-15 2040-11-15 4.875 - 4.875 Other Instrument CORPORATE 10412000.00 10069497.26 VIACOM INC NAME CHANGED TO CBS CORP NEW 12/31/20 2021-03-01 2021-03-01 4.5 - 4.5 Other Instrument CORPORATE 9475000.00 9349361.50 WILLIAMS PARTNERS L P 2020-11-15 2020-11-15 4.125 - 4.125 Other Instrument CORPORATE 9925000.00 9515879.09 AT&T INC 2013-11-15 2013-11-15 6.7 - 6.7 Other Instrument CORPORATE 8325000.00 9582153.62 Unrated Security 2011-03-01 2011-03-01 N N N 295000000.00 295000000.00 0.0025 N 295000000.00 295000000.00 Wells Fargo Securities, LLC Wells Fargo Securities, LLC, 0.36% 38U995PE1 0000276523 Other Repurchase Agreement N DEVON ENERGY CORP 2011-04-25 2011-04-25 N/A Other Commercial Paper 4499535.00 4497042.71 CONSTELLATION ENERGY GROUP, INC 2015-06-15 2015-06-15 4.55 - 4.55 Other Instrument CORPORATE 8267917.00 8707326.94 AMERICAN ELECTRIC POWER CO INC 2011-08-02 2011-08-02 N/A Other Commercial Paper 27000000.00 26946556.20 ERP OPER LTD PARTNERSHIP 2017-06-15 2017-06-15 5.75 - 5.75 Other Instrument CORPORATE 6201000.00 6862572.63 FCAR OWNER TRUST 2011-08-01 2011-08-01 N/A Asset Backed Commercial Paper 32857000.00 32799395.11 TORCHMARK CORP 2011-05-16 2011-05-23 N/A Other Commercial Paper 26100000.00 26077595.85 ERAC USA FINANCE LLC 2011-05-23 2011-05-23 N/A Financial Company Commercial Paper 35634269.00 35599133.61 Unrated Security 2011-03-07 2011-03-07 Y WELLSNGR N/A N/A N N 137000000.00 137000000.00 0.0012 N 137000000.00 137000000.00