0000278001-11-000034.txt : 20110628 0000278001-11-000034.hdr.sgml : 20110628 20110506095605 ACCESSION NUMBER: 0000278001-11-000034 CONFORMED SUBMISSION TYPE: N-MFP PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20110429 FILED AS OF DATE: 20110506 DATE AS OF CHANGE: 20110506 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: 11817032 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 2011-04-29 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 52 100 116858014575.46 1274623265.51 2601692716.49 115530945124.48 0.0038 1.0004 2011-04-29 1.0004 2011-04-29 C000019553 2500.00 115530945124.48 1.00 -636160120.94 23272795377.13 23908955498.07 0.0001 1.0004 2011-04-29 1.0004 2011-04-29 Bank of Montreal Bank of Montreal, 0.31% 06366UEK0 Certificate of Deposit First Tier Security 2011-05-23 2011-11-22 N N N 101000000.00 101000000.00 0.0009 N 100975154.00 100975154.00 Bank of Montreal Bank of Montreal, 0.35% 06366UD47 Certificate of Deposit First Tier Security 2011-07-06 2012-05-01 N N N 741000000.00 741000000.00 0.0064 N 740668032.00 740668032.00 Bank of Montreal Bank of Montreal, 0.36% 06366FK91 Certificate of Deposit First Tier Security 2011-05-25 2011-05-25 N N N 388000000.00 388000000.00 0.0034 N 388018236.00 388018236.00 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 205969924.00 205969924.00 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 500062200.00 500062200.00 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 0.0087 N 1000181600.00 1000181600.00 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 800161280.00 800161280.00 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 0.0061 N 700142870.00 700142870.00 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 0.0085 N 981212386.50 981212386.50 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 188039273.20 188039273.20 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 380137674.00 380137674.00 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 379139282.50 379139282.50 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 379145270.70 379145270.70 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 0.0087 N 1000113300.00 1000113300.00 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 500083300.00 500083300.00 BNP Paribas New York Branch BNP Paribas New York Branch, 0.37% 0556M53Z6 Certificate of Deposit First Tier Security 2011-06-08 2011-06-08 N N N 1390000000.00 1390000000.00 0.0120 N 1390262293.00 1390262293.00 BNP Paribas New York Branch BNP Paribas New York Branch, 0.45% 05572WBJ4 Certificate of Deposit First Tier Security 2011-11-02 2011-11-02 N N N 1125000000.00 1125000000.00 0.0097 N 1124825062.50 1124825062.50 BNP Paribas SA BNP Paribas SA, 0.47% 0556M55D3 Certificate of Deposit First Tier Security 2011-05-26 2011-09-26 N N N 1700000000.00 1700000000.00 0.0147 N 1700765000.00 1700765000.00 Canadian Imperial Bank of Commerce New York Branch Canadian Imperial Bank of Commerce New York Branch, 0.32% 13606XF86 Certificate of Deposit First Tier Security 2011-05-09 2011-11-07 N N N 757000000.00 757000000.00 0.0066 N 756812264.00 756812264.00 Canadian Imperial Bank of Commerce New York Branch Canadian Imperial Bank of Commerce New York Branch, 0.33% 13606XF52 Certificate of Deposit First Tier Security 2011-05-04 2011-10-04 N N N 376000000.00 376000000.00 0.0033 N 375921792.00 375921792.00 Canadian Imperial Bank of Commerce New York Branch Canadian Imperial Bank of Commerce New York Branch, 0.33% 13606XN87 Certificate of Deposit First Tier Security 2011-07-15 2012-05-17 N N N 1107000000.00 1107000000.00 0.0096 N 1106636904.00 1106636904.00 Canadian Imperial Bank of Commerce New York Branch Canadian Imperial Bank of Commerce New York Branch, 0.34% 13606XM96 Certificate of Deposit First Tier Security 2011-07-11 2012-01-11 N N N 554000000.00 554000000.00 0.0048 N 553838232.00 553838232.00 Canadian Imperial Bank of Commerce New York Branch Canadian Imperial Bank of Commerce New York Branch, 0.40% 13606XB49 Certificate of Deposit First Tier Security 2011-05-09 2011-05-09 N N N 196000000.00 196000000.00 0.0017 N 196001372.00 196001372.00 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 413422829.40 413422829.40 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 0.0087 N 1000042700.00 1000042700.00 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 95008493.00 95008493.00 Credit Suisse Credit Suisse, 0.27% 22550CYK1 Certificate of Deposit First Tier Security 2011-05-24 2011-07-25 N N N 369000000.00 369000000.00 0.0032 N 369043542.00 369043542.00 Credit Suisse Credit Suisse, 0.30% 22550CA50 Certificate of Deposit First Tier Security 2011-05-03 2011-09-02 N N N 744000000.00 744000000.00 0.0064 N 743877984.00 743877984.00 Deutsche Bank Deutsche Bank, 0.31% 25152XMM9 Certificate of Deposit First Tier Security 2011-05-24 2011-07-25 N N N 1300000000.00 1300000000.00 0.0113 N 1300036400.00 1300036400.00 Deutsche Bank Deutsche Bank, 0.33% 25152XMY3 Certificate of Deposit First Tier Security 2011-05-09 2011-10-07 N N N 495000000.00 495000000.00 0.0043 N 494896050.00 494896050.00 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 350029925.00 350029925.00 DnB NOR Bank ASA DnB NOR Bank ASA, 0.29% 25600TYD3 Certificate of Deposit First Tier Security 2011-05-04 2011-08-04 N N N 375000000.00 375000000.00 0.0032 N 374971875.00 374971875.00 Landesbank Baden-Wuerttemberg New York Branch Landesbank Baden-Wuerttemberg New York Branch, 0.30% 51488P6C7 Certificate of Deposit First Tier Security 2011-05-09 2011-05-09 N N N 998000000.00 998000000.00 0.0086 N 998027744.40 998027744.40 Landesbank Baden-Wuerttemberg New York Branch Landesbank Baden-Wuerttemberg New York Branch, 0.37% 51488P5Z7 Certificate of Deposit First Tier Security 2011-05-05 2011-05-05 N N N 1486000000.00 1486000000.00 0.0129 N 1486042053.80 1486042053.80 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.20% 60687CT49 Certificate of Deposit First Tier Security 2011-05-04 2011-05-04 N N N 366000000.00 366000000.00 0.0032 N 365997474.60 365997474.60 Natexis Banques Populaires New York Branch Natexis Banques Populaires New York Branch, 0.34% 63873B6X0 Certificate of Deposit First Tier Security 2011-08-01 2011-08-01 N N N 141000000.00 141000000.00 0.0012 N 141014706.30 141014706.30 Natexis Banques Populaires New York Branch Natexis Banques Populaires New York Branch, 0.34% 63873B6X0 Certificate of Deposit First Tier Security 2011-08-01 2011-08-01 N N N 659000000.00 659000000.00 0.0057 N 659068799.60 659068799.60 Natexis Banques Populaires New York Branch Natexis Banques Populaires New York Branch, 0.40% 63873B4T1 Certificate of Deposit First Tier Security 2011-06-01 2011-06-01 N N N 1160000000.00 1160000000.00 0.0100 N 1160180612.00 1160180612.00 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 997751498.00 997751498.00 Natixis SA Natixis SA, 0.37% 63873BS24 Certificate of Deposit First Tier Security 2011-05-17 2011-06-01 Y NATIXIS N Y BRH INSTL CTF DEP N/A N/A N N 832000000.00 832000000.00 0.0072 N 832146432.00 832146432.00 Natixis SA Natixis SA, 2.01% 63873BHT7 Certificate of Deposit First Tier Security 2011-06-22 2011-06-22 Y NATIXIS N Y BRH INSTL CTF DEP N/A N/A N N 661000000.00 661000000.00 0.0057 N 662343813.00 662343813.00 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 282040692.60 282040692.60 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 0.0083 N 957148717.80 957148717.80 Rabobank Nederland New York Branch Rabobank Nederland New York Branch, 0.33% 74977MTC9 Certificate of Deposit First Tier Security 2011-05-11 2012-03-12 N N N 2250000000.00 2250000000.00 0.0195 N 2250600750.00 2250600750.00 Rabobank Nederland New York Branch Rabobank Nederland New York Branch, 0.34% 74977MTN5 Certificate of Deposit First Tier Security 2011-05-03 2012-04-02 N N N 373000000.00 373000000.00 0.0032 N 373000000.00 373000000.00 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 379370813.60 379370813.60 Royal Bank of Canada Royal Bank of Canada, 0.64% 78009JKX2 Certificate of Deposit First Tier Security 2011-07-01 2012-04-30 N N N 900000000.00 900000000.00 0.0078 N 901233000.00 901233000.00 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 749711234.55 0.0065 N 750073500.00 750073500.00 Royal Bank of Scotland NV Royal Bank of Scotland NV, 0.32% 78011AEM8 Certificate of Deposit First Tier Security 2011-08-02 2011-08-02 N N N 1065000000.00 1065000000.00 0.0092 N 1065084241.50 1065084241.50 Skandinaviska Enskilda Banken Skandinaviska Enskilda Banken, 0.35% 83051AHG9 Certificate of Deposit First Tier Security 2011-06-06 2011-06-06 N N N 150000000.00 150000000.00 0.0013 N 150018975.00 150018975.00 Societe Generale Societe Generale, 0.29% 83369RB42 Certificate of Deposit First Tier Security 2011-08-01 2011-08-01 N N N 1079000000.00 1079000000.00 0.0093 N 1078943676.20 1078943676.20 Societe Generale Societe Generale, 0.35% 83369RVC2 Certificate of Deposit First Tier Security 2011-05-16 2011-05-16 N N N 430000000.00 430000000.00 0.0037 N 430032465.00 430032465.00 Societe Generale Societe Generale, 1.71% 8336P2ZP6 Certificate of Deposit First Tier Security 2011-05-05 2011-05-05 Y SOCIETE GENERALE FRANCE N/A N/A N N 228000000.00 228000000.00 0.0020 N 228006840.00 228006840.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.30% 86562G2W2 Certificate of Deposit First Tier Security 2011-05-18 2011-05-18 N N N 108000000.00 108000000.00 0.0009 N 108003985.20 108003985.20 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.30% 86562G2U6 Certificate of Deposit First Tier Security 2011-05-19 2011-05-19 N N N 500000000.00 500000000.00 0.0043 N 500019400.00 500019400.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.30% 86562G2T9 Certificate of Deposit First Tier Security 2011-05-20 2011-05-20 N N N 500000000.00 500000000.00 0.0043 N 500020400.00 500020400.00 Svenska Handelsbanken Svenska Handelsbanken, 0.30% 86959BQL2 Certificate of Deposit First Tier Security 2011-06-24 2011-06-24 N N N 234000000.00 233998209.90 0.0020 N 234023610.60 234023610.60 Toronto-Dominion Bank New York Branch Toronto-Dominion Bank New York Branch, 0.31% 89112YSH7 Certificate of Deposit First Tier Security 2011-05-12 2012-01-12 N N N 304100000.00 304100000.00 0.0026 N 303998734.70 303998734.70 UBS AG UBS AG, 0.30% 90267AG91 Certificate of Deposit First Tier Security 2011-07-11 2011-07-11 N N N 720000000.00 720000000.00 0.0062 N 720175032.00 720175032.00 UBS AG UBS AG, 0.32% 90267AA89 Certificate of Deposit First Tier Security 2011-05-23 2011-07-21 N N N 1500000000.00 1500000000.00 0.0130 N 1499875500.00 1499875500.00 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 652014148.40 652014148.40 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 373036292.90 373036292.90 Credit Agricole SA Credit Agricole SA, 0.35% 22999KLY6 0001191672 Certificate of Deposit First Tier Security 2011-09-01 2011-09-01 N N N 500000000.00 500000000.00 0.0043 N 499982550.00 499982550.00 Credit Agricole SA Credit Agricole SA, 0.36% 22999KLW0 0001191672 Certificate of Deposit First Tier Security 2011-08-08 2011-08-08 N N N 746000000.00 746000000.00 0.0065 N 746125328.00 746125328.00 Credit Agricole SA Credit Agricole SA, 0.42% 22999KLU4 0001191672 Certificate of Deposit First Tier Security 2011-08-01 2011-08-01 N N N 500000000.00 500000000.00 0.0043 N 500156400.00 500156400.00 Credit Agricole SA Credit Agricole SA, 0.42% 22999KLT7 0001191672 Certificate of Deposit First Tier Security 2011-08-01 2011-08-01 N N N 1500000000.00 1500000000.00 0.0130 N 1500469200.00 1500469200.00 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 0.0068 N 781024289.10 781024289.10 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 0.0173 N 2000044400.00 2000044400.00 HSBC Bank PLC HSBC Bank PLC, 0.31% 35X99QAR5 0001140465 Certificate of Deposit First Tier Security 2011-10-19 2011-10-19 N N N 465000000.00 465000000.00 0.0040 N 465022227.00 465022227.00 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 190199063.00 190199063.00 HSBC Bank PLC HSBC Bank PLC, 0.50% 35X99QAS3 0001140465 Certificate of Deposit First Tier Security 2012-05-03 2012-05-03 N N N 374000000.00 374000000.00 0.0032 N 374012454.20 374012454.20 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 265976352.60 265976352.60 HSBC Bank PLC HSBC Bank PLC, 0.55% 35X99QAQ7 0001140465 Certificate of Deposit First Tier Security 2012-03-15 2012-03-15 N N N 45000000.00 45000000.00 0.0004 N 44983858.50 44983858.50 HSBC Bank PLC HSBC Bank PLC, 0.55% 35X99QAP9 0001140465 Certificate of Deposit First Tier Security 2012-03-15 2012-03-15 N N N 328000000.00 328000000.00 0.0028 N 327882346.40 327882346.40 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 298000000.00 298000000.00 0.0026 N 298004142.20 298004142.20 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 706019556.20 706019556.20 ING Bank NV ING Bank NV, 0.30% 37X99J4W3 0001017255 Certificate of Deposit First Tier Security 2011-08-01 2011-08-01 N N N 1097000000.00 1097000000.00 0.0095 N 1097000000.00 1097000000.00 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 490000000.00 490000000.00 0.0042 N 490005978.00 490005978.00 ING Bank NV ING Bank NV, 0.31% 38T99AAR9 Certificate of Deposit First Tier Security 2011-07-01 2011-07-01 N N N 1100000000.00 1100000000.00 0.0095 N 1100096140.00 1100096140.00 National Australia Bank Ltd. National Australia Bank Ltd., 0.30% 6329908T7 0000833029 Certificate of Deposit First Tier Security 2011-07-18 2011-07-18 N N N 600000000.00 600000000.00 0.0052 N 600066480.00 600066480.00 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 740209124.00 740209124.00 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 0.0066 N 760221084.00 760221084.00 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 184001020.11 0.0016 N 184046055.20 184046055.20 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 552125028.00 552125028.00 ASB Finance Ltd. ASB Finance Ltd., 0.36% 0020P5BW8 Financial Company Commercial Paper First Tier Security 2011-05-28 2012-01-27 N N N 150000000.00 149994322.62 0.0013 N 149945250.00 149945250.00 ASB Finance Ltd. ASB Finance Ltd., 0.38% 0020P5CD9 Financial Company Commercial Paper First Tier Security 2011-05-05 2012-03-30 N N N 173000000.00 172983949.44 0.0015 N 172906407.00 172906407.00 ASB Finance Ltd. ASB Finance Ltd., 0.38% 0020P5CE7 Financial Company Commercial Paper First Tier Security 2011-05-06 2012-04-04 N N N 100000000.00 99990686.81 0.0009 N 99945100.00 99945100.00 Banco Bilbao Vizcaya Argentaria SA Banco Bilbao Vizcaya Argentaria SA, 0.25% 05950YS21 Financial Company Commercial Paper First Tier Security 2011-05-02 2011-05-02 N N N 1121000000.00 1120992215.33 0.0097 N 1120976683.20 1120976683.20 Barclays Bank PLC/Barclays US CCP Funding LLC Barclays Bank PLC/Barclays US CCP Funding LLC, 0.32% 06741GBL8 Financial Company Commercial Paper First Tier Security 2011-08-15 2011-08-15 N N N 191000000.00 190820035.64 0.0017 N 190857896.00 190857896.00 BP Capital Markets PLC BP Capital Markets PLC, 0.33% 05568UT71 Financial Company Commercial Paper First Tier Security 2011-06-07 2011-06-07 N N N 111000000.00 110962352.51 0.0010 N 110976434.70 110976434.70 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.35% 20272AAC0 Financial Company Commercial Paper First Tier Security 2011-05-31 2011-05-31 N N N 150000000.00 150000000.00 0.0013 N 150022350.00 150022350.00 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.35% 20272AAD8 Financial Company Commercial Paper First Tier Security 2011-06-03 2011-06-03 N N N 139000000.00 139000000.00 0.0012 N 139025437.00 139025437.00 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.35% 20272AAN6 Financial Company Commercial Paper First Tier Security 2011-06-22 2011-09-16 N N N 174000000.00 173993311.41 0.0015 N 173971986.00 173971986.00 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 282972549.00 282972549.00 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 0.0016 N 179977320.00 179977320.00 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.36% 20272AAL0 Financial Company Commercial Paper First Tier Security 2011-06-02 2011-08-26 N N N 187000000.00 187000000.00 0.0016 N 186989902.00 186989902.00 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 2026000000.00 2025927964.36 0.0175 N 2025959480.00 2025959480.00 Danske Corp. Danske Corp., 0.26% 2363F7TA6 Financial Company Commercial Paper First Tier Security 2011-06-10 2011-06-10 N N N 451000000.00 450869711.16 0.0039 N 450890542.30 450890542.30 Danske Corp. Danske Corp., 0.26% 2363F7TA6 Financial Company Commercial Paper First Tier Security 2011-06-10 2011-06-10 N N N 243000000.00 242929800.07 0.0021 N 242941023.90 242941023.90 Danske Corp. Danske Corp., 0.32% 2363F7S90 Financial Company Commercial Paper First Tier Security 2011-05-09 2011-05-09 N N N 253000000.00 252982008.92 0.0022 N 252990993.20 252990993.20 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 449948999.97 0.0039 N 449975835.00 449975835.00 DnB NOR Bank ASA DnB NOR Bank ASA, 0.26% 2332K4BD5 Financial Company Commercial Paper First Tier Security 2011-05-22 2011-08-22 N N N 62000000.00 62000000.00 0.0005 N 61992312.00 61992312.00 DnB NOR Bank ASA DnB NOR Bank ASA, 0.26% 2332K4AZ7 Financial Company Commercial Paper First Tier Security 2011-05-23 2011-07-21 N N N 300000000.00 300000000.00 0.0026 N 299975100.00 299975100.00 DnB NOR Bank ASA DnB NOR Bank ASA, 0.26% 2332K4BA1 Financial Company Commercial Paper First Tier Security 2011-05-25 2011-07-25 N N N 329000000.00 329000000.00 0.0028 N 329009212.00 329009212.00 Intesa Funding LLC Intesa Funding LLC, 0.29% 4611K1SP1 Financial Company Commercial Paper First Tier Security 2011-05-23 2011-05-23 N N N 386000000.00 385931592.23 0.0033 N 385947581.20 385947581.20 Intesa Funding LLC Intesa Funding LLC, 0.36% 4611K1SC0 Financial Company Commercial Paper First Tier Security 2011-05-12 2011-05-12 N N N 887000000.00 886902430.00 0.0077 N 886936756.90 886936756.90 Natexis Banques Populaires U.S. Finance Co. LLC Natexis Banques Populaires U.S. Finance Co. LLC, 0.34% 6323A1V11 Financial Company Commercial Paper First Tier Security 2011-08-01 2011-08-01 N N N 200000000.00 199826222.28 0.0017 N 199862140.00 199862140.00 Natexis Banques Populaires U.S. Finance Co. LLC Natexis Banques Populaires U.S. Finance Co. LLC, 0.40% 6323A1T22 Financial Company Commercial Paper First Tier Security 2011-06-02 2011-06-02 N N N 555000000.00 554802666.64 0.0048 N 554893606.50 554893606.50 Natexis Banques Populaires U.S. Finance Co. LLC Natexis Banques Populaires U.S. Finance Co. LLC, 0.45% 6323A1U12 Financial Company Commercial Paper First Tier Security 2011-07-01 2011-07-01 N N N 873000000.00 872334337.50 0.0076 N 872644077.90 872644077.90 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 199959333.32 0.0017 N 199978620.00 199978620.00 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 49989409.73 0.0004 N 49994265.00 49994265.00 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 699845805.54 0.0061 N 699913410.00 699913410.00 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 599847500.04 0.0052 N 599908800.00 599908800.00 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 74976250.00 0.0006 N 74990250.00 74990250.00 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 741620755.64 0.0064 N 741877347.40 741877347.40 Skandinaviska Enskilda Banken AB Skandinaviska Enskilda Banken AB, 0.30% 83050UT16 Financial Company Commercial Paper First Tier Security 2011-06-01 2011-06-01 N N N 100000000.00 99974597.24 0.0009 N 99981480.00 99981480.00 Skandinaviska Enskilda Banken AB Skandinaviska Enskilda Banken AB, 0.30% 83050UT32 Financial Company Commercial Paper First Tier Security 2011-06-03 2011-06-03 N N N 264000000.00 263928610.02 0.0023 N 263947886.40 263947886.40 Skandinaviska Enskilda Banken AB Skandinaviska Enskilda Banken AB, 0.34% 83050UU14 Financial Company Commercial Paper First Tier Security 2011-07-01 2011-07-01 N N N 364000000.00 363793379.55 0.0031 N 363851597.20 363851597.20 Societe Generale North America, Inc. Societe Generale North America, Inc., 0.31% 83365STF0 Financial Company Commercial Paper First Tier Security 2011-06-15 2011-06-15 N N N 1265681000.00 1265190548.87 0.0110 N 1265329014.11 1265329014.11 Societe Generale North America, Inc. Societe Generale North America, Inc., 0.35% 83365SSG9 Financial Company Commercial Paper First Tier Security 2011-05-16 2011-05-16 N N N 80000000.00 79988333.33 0.0007 N 79994600.00 79994600.00 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 474994722.18 0.0041 N 474995250.00 474995250.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.20% 86562LS52 Financial Company Commercial Paper First Tier Security 2011-05-05 2011-05-05 N N N 359000000.00 358992022.23 0.0031 N 358992820.00 358992820.00 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 133796022.25 0.0012 N 133852546.40 133852546.40 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 264563191.71 0.0023 N 264704233.50 264704233.50 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 64979416.67 0.0006 N 64989886.00 64989886.00 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 148951574.98 0.0013 N 148976249.40 148976249.40 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 119954999.98 0.0010 N 119977596.00 119977596.00 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 47999533.33 0.0004 N 47999601.60 47999601.60 UniCredito Italiano Bank (Ireland) PLC UniCredito Italiano Bank (Ireland) PLC, 0.30% 9046Q3SL4 Financial Company Commercial Paper First Tier Security 2011-05-20 2011-05-20 N N N 532000000.00 531915766.53 0.0046 N 531934830.00 531934830.00 UniCredito Italiano Bank (Ireland) PLC UniCredito Italiano Bank (Ireland) PLC, 0.30% 9046Q3SP5 Financial Company Commercial Paper First Tier Security 2011-05-23 2011-05-23 N N N 363000000.00 362933450.05 0.0031 N 362943444.60 362943444.60 UniCredito Italiano Bank (Ireland) PLC UniCredito Italiano Bank (Ireland) PLC, 0.35% 9046Q3SA8 Financial Company Commercial Paper First Tier Security 2011-05-10 2011-05-10 N N N 500000000.00 499956250.00 0.0043 N 499972500.00 499972500.00 UniCredito Italiano Bank (Ireland) PLC UniCredito Italiano Bank (Ireland) PLC, 0.35% 9046Q3SA8 Financial Company Commercial Paper First Tier Security 2011-05-10 2011-05-10 N N N 226000000.00 225980225.00 0.0020 N 225987570.00 225987570.00 Westpac Banking Corp. Westpac Banking Corp., 0.30% 9612C4BG5 Financial Company Commercial Paper First Tier Security 2011-05-19 2011-09-19 N N N 450000000.00 450000000.00 0.0039 N 449928000.00 449928000.00 Westpac Banking Corp. Westpac Banking Corp., 0.30% 9612C4BH3 Financial Company Commercial Paper First Tier Security 2011-05-23 2011-09-23 N N N 450000000.00 450000000.00 0.0039 N 449928000.00 449928000.00 Westpac Banking Corp. Westpac Banking Corp., 0.32% 9612C4BJ9 Financial Company Commercial Paper First Tier Security 2011-05-09 2011-10-07 N N N 381000000.00 381000000.00 0.0033 N 380907036.00 380907036.00 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 358398675.00 0.0031 N 358685803.20 358685803.20 Liberty Street Funding LLC Liberty Street Funding LLC, 0.17% 53127USQ4 Asset Backed Commercial Paper First Tier Security 2011-05-24 2011-05-24 N N Y GUARANTOR BANK OF NOVA SCOTIA N/A N/A LIQUIDITY BANK OF NOVA SCOTIA N/A N/A 28500000.00 28496904.59 0.0002 N 28495961.55 28495961.55 Altria Group, Inc. Altria Group, Inc., 0.35% 0220X1S63 Other Commercial Paper Second Tier Security 2011-05-06 2011-05-06 N N N 35000000.00 34998298.61 0.0003 N 34998502.00 34998502.00 Altria Group, Inc. Altria Group, Inc., 0.37% 0220X1S22 Other Commercial Paper Second Tier Security 2011-05-02 2011-05-02 N N N 119000000.00 118998776.94 0.0010 N 118997822.30 118997822.30 Comcast Corp. Comcast Corp., 0.40% 2003A3TA2 Other Commercial Paper Second Tier Security 2011-06-10 2011-06-10 N N N 187000000.00 186916888.90 0.0016 N 186932810.90 186932810.90 Comcast Corp. Comcast Corp., 0.40% 2003A3TA2 Other Commercial Paper Second Tier Security 2011-06-10 2011-06-10 N N N 375000000.00 374833333.35 0.0032 N 374865262.50 374865262.50 CVS Caremark Corp. CVS Caremark Corp., 0.41% 12664RAC6 Other Commercial Paper Second Tier Security 2011-05-31 2011-05-31 Y CVS CAREMARK CORP N/A N/A N N 224000000.00 224000000.00 0.0019 N 223996192.00 223996192.00 Devon Energy Corp. Devon Energy Corp., 0.26% 25179LSH9 Other Commercial Paper Second Tier Security 2011-05-17 2011-05-17 N N N 25000000.00 24997111.12 0.0002 N 24997562.50 24997562.50 Devon Energy Corp. Devon Energy Corp., 0.26% 25179LSH9 Other Commercial Paper Second Tier Security 2011-05-17 2011-05-17 N N N 25000000.00 24997111.12 0.0002 N 24997562.50 24997562.50 Devon Energy Corp. Devon Energy Corp., 0.26% 25179LSH9 Other Commercial Paper Second Tier Security 2011-05-17 2011-05-17 N N N 20000000.00 19997688.89 0.0002 N 19998050.00 19998050.00 Verizon Communications, Inc. Verizon Communications, Inc., 0.44% 92344PUV6 Other Commercial Paper Second Tier Security 2011-05-01 2011-06-13 Y VERIZON COMMUNICATIONS INC N/A N/A N N 524000000.00 524000000.00 0.0045 N 524016244.00 524016244.00 Xerox Corp. Xerox Corp., 0.53% 98412FTA0 Other Commercial Paper Second Tier Security 2011-06-10 2011-06-10 N N N 125000000.00 124926388.83 0.0011 N 124933212.50 124933212.50 Xerox Corp. Xerox Corp., 0.53% 98412FTA0 Other Commercial Paper Second Tier Security 2011-06-10 2011-06-10 N N N 70000000.00 69958777.74 0.0006 N 69962599.00 69962599.00 Xerox Corp. Xerox Corp., 0.60% 98412FSL7 Other Commercial Paper Second Tier Security 2011-05-20 2011-05-20 N N N 54000000.00 53982900.00 0.0005 N 53987401.80 53987401.80 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 750000000.00 749953125.00 0.0065 N 749994000.00 749994000.00 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 1124856332.76 0.0097 N 1124980875.00 1124980875.00 U.S. Treasury Bills U.S. Treasury Bills, 0.17% to 0.18% 9127953L3 Treasury Debt First Tier Security 2011-09-29 2011-09-29 N N N 2139157400.00 2137625059.30 0.0185 N 2138400138.28 2138400138.28 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 2099212500.00 0.0182 N 2099913900.00 2099913900.00 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 741193566.01 0.0064 N 741243200.00 741243200.00 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 1714226133.41 0.0148 N 1714943855.00 1714943855.00 U.S. Treasury Notes U.S. Treasury Notes, 0.16% 912828LV0 Treasury Debt First Tier Security 2011-08-31 2011-08-31 N N N 500000000.00 501391256.50 0.0043 N 501504000.00 501504000.00 U.S. Treasury Notes U.S. Treasury Notes, 0.20% to 0.29% 912828LT5 Treasury Debt First Tier Security 2011-10-31 2011-10-31 N N N 1283000000.00 1287878117.79 0.0111 N 1288513051.00 1288513051.00 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 1473701251.69 0.0128 N 1474678464.00 1474678464.00 U.S. Treasury Notes U.S. Treasury Notes, 0.25% 912828ML1 Treasury Debt First Tier Security 2011-12-31 2011-12-31 N N N 115000000.00 115569968.80 0.0010 N 115637905.00 115637905.00 U.S. Treasury Notes U.S. Treasury Notes, 0.27% 912828GM6 Treasury Debt First Tier Security 2012-03-31 2012-03-31 N N N 100000000.00 103858673.92 0.0009 N 103867200.00 103867200.00 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 595592379.54 0.0052 N 595935604.00 595935604.00 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 743353063.34 0.0064 N 744078195.50 744078195.50 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 301279554.30 0.0026 N 301665000.00 301665000.00 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.35% 2027A0FM6 Other Note First Tier Security 2011-07-12 2012-02-10 N N N 368000000.00 368000000.00 0.0032 N 367880032.00 367880032.00 Metropolitan Life Global Funding I Metropolitan Life Global Funding I, 2.30% 59217EBX1 Other Note First Tier Security 2011-07-01 2011-07-01 Y MET LIFE GLB FDG I MTN BE 144A N/A N/A N N 217500000.00 217500000.00 0.0019 N 218126400.00 218126400.00 Royal Bank of Canada Royal Bank of Canada, 0.30% 78008FBA1 Other Note First Tier Security 2011-07-01 2012-04-30 N N N 1300000000.00 1300000000.00 0.0113 N 1300347100.00 1300347100.00 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 375855232.26 0.0033 N 376078208.00 376078208.00 Royal Bank of Canada Royal Bank of Canada, 0.66% 78008FAM6 Other Note First Tier Security 2011-05-16 2012-05-14 N N N 750000000.00 750000000.00 0.0065 N 752855250.00 752855250.00 Westpac Banking Corp. Westpac Banking Corp., 0.27% 91621CAV3 Other Note First Tier Security 2011-05-23 2012-01-23 N N N 1034000000.00 1034000000.00 0.0089 N 1032280458.00 1032280458.00 Westpac Banking Corp. Westpac Banking Corp., 0.32% 91621CAZ4 Other Note First Tier Security 2011-07-15 2012-04-13 N N N 801000000.00 801000000.00 0.0069 N 800723655.00 800723655.00 Westpac Banking Corp. Westpac Banking Corp., 0.34% 9612E0CB1 Other Note First Tier Security 2011-05-09 2012-04-02 N N N 500000000.00 500000000.00 0.0043 N 499774500.00 499774500.00 Westpac Banking Corp. Westpac Banking Corp., 0.35% 91621CBD2 Other Note First Tier Security 2011-05-11 2012-05-11 N N N 393000000.00 393000000.00 0.0034 N 392996856.00 392996856.00 Straight-A Funding LLC Straight-A Funding LLC, 0.25% (Liquidity Facility Federal Financing Bank) 86257MG20 Government Agency Debt First Tier Security 2011-05-20 2011-05-20 N N Y LIQUIDITY FEDERAL FINANCING BANK N/A N/A 250000000.00 249972222.25 0.0022 N 249978125.00 249978125.00 Straight-A Funding LLC Straight-A Funding LLC, 0.25% (Liquidity Facility Federal Financing Bank) 86257KWL4 Government Agency Debt First Tier Security 2011-05-20 2011-05-20 N N Y LIQUIDITY FEDERAL FINANCING BANK N/A N/A 87000000.00 86990333.34 0.0008 N 86992387.50 86992387.50 Straight-A Funding LLC Straight-A Funding LLC, 0.25% (Liquidity Facility Federal Financing Bank) 86257LX72 Government Agency Debt First Tier Security 2011-05-23 2011-05-23 N N Y LIQUIDITY FEDERAL FINANCING BANK N/A N/A 155000000.00 154981701.38 0.0013 N 154988003.00 154988003.00 Straight-A Funding LLC Straight-A Funding LLC, 0.25% (Liquidity Facility Federal Financing Bank) 86257JWG8 Government Agency Debt First Tier Security 2011-05-24 2011-05-24 N N Y LIQUIDITY FEDERAL FINANCING BANK N/A N/A 311000000.00 310961125.00 0.0027 N 310974373.60 310974373.60 Straight-A Funding LLC Straight-A Funding LLC, 0.25% (Liquidity Facility Federal Financing Bank) 86257C2F8 Government Agency Debt First Tier Security 2011-06-07 2011-06-07 N N Y LIQUIDITY FEDERAL FINANCING BANK N/A N/A 186000000.00 185958666.64 0.0016 N 185971839.60 185971839.60 Straight-A Funding LLC Straight-A Funding LLC, 0.25% (Liquidity Facility Federal Financing Bank) 86257MG95 Government Agency Debt First Tier Security 2011-06-07 2011-06-07 N N Y LIQUIDITY FEDERAL FINANCING BANK N/A N/A 50050000.00 50038877.77 0.0004 N 50042422.43 50042422.43 Straight-A Funding LLC Straight-A Funding LLC, 0.25% (Liquidity Facility Federal Financing Bank) 86257GVQ3 Government Agency Debt First Tier Security 2011-06-08 2011-06-08 N N Y LIQUIDITY FEDERAL FINANCING BANK N/A N/A 94406000.00 94384365.30 0.0008 N 94391348.19 94391348.19 Straight-A Funding LLC Straight-A Funding LLC, 0.25% (Liquidity Facility Federal Financing Bank) 86257LY55 Government Agency Debt First Tier Security 2011-06-09 2011-06-09 N N Y LIQUIDITY FEDERAL FINANCING BANK N/A N/A 355459000.00 355370135.18 0.0031 N 355399105.16 355399105.16 Freddie Mac Freddie Mac, 0.19% 3134G13Z5 Government Agency Debt First Tier Security 2011-05-10 2012-08-10 N N N 750000000.00 749516309.25 0.0065 N 750699000.00 750699000.00 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 2011-05-06 2011-05-06 Y BANK OF AMERICA NA N/A N/A Y BANK OF AMERICA NA N/A N/A N 29480000.00 29480000.00 0.0003 N 29480000.00 29480000.00 New York City Hsg. Dev. Corp. Multi-family Rental Hsg. Rev. New York City Hsg. Dev. Corp. Multi-family Rental Hsg. Rev., 0.26% (Westport Dev. Proj.) Series 2004 A, LOC Fannie Mae VRDN 64970HBA1 Variable Rate Demand Note First Tier Security 2011-05-06 2011-05-06 Y FANNIE MAE N/A N/A Y FANNIE MAE 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., 0.23% (Tower 31 Hsg. Proj.) Series 2005 A, LOC Freddie Mac VRDN 64986MJ71 Variable Rate Demand Note First Tier Security 2011-05-06 2011-05-06 Y FREDDIE MAC N/A N/A Y FREDDIE MAC N/A N/A N 33000000.00 33000000.00 0.0003 N 33000000.00 33000000.00 New York Hsg. Fin. Agcy. Rev. New York Hsg. Fin. Agcy. Rev., 0.23% (Clinton Green North Hsg. Proj.) Series 2006 A, LOC Freddie Mac VRDN 64986M2U8 Variable Rate Demand Note First Tier Security 2011-05-06 2011-05-06 Y FREDDIE MAC N/A N/A Y FREDDIE MAC 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., 0.23% (Tribeca Park Proj.) Series 1997 A, LOC Fannie Mae VRDN 64986MDT9 Variable Rate Demand Note First Tier Security 2011-05-06 2011-05-06 Y FANNIE MAE N/A N/A Y FANNIE MAE 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., 0.23% (Clinton Green North Hsg. Proj.) Series 2005 A, LOC Freddie Mac VRDN 64986M2T1 Variable Rate Demand Note First Tier Security 2011-05-06 2011-05-06 Y FREDDIE MAC N/A N/A Y FREDDIE MAC 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., 0.25% (66 West 38th Street Hsg. Proj.) Series A, LOC Fannie Mae VRDN 64986MXX8 Variable Rate Demand Note First Tier Security 2011-05-06 2011-05-06 Y FANNIE MAE N/A N/A Y FANNIE MAE 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., 0.25% (101 West End Hsg. Proj.) Series 1998 A, LOC Fannie Mae VRDN 64986MLC7 Variable Rate Demand Note First Tier Security 2011-05-06 2011-05-06 Y FANNIE MAE N/A N/A Y FANNIE MAE 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% (101 West End Hsg. Proj.) Series 1999 A, LOC Fannie Mae VRDN 64986MLD5 Variable Rate Demand Note First Tier Security 2011-05-06 2011-05-06 Y FANNIE MAE N/A N/A Y FANNIE MAE 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., 0.26% (55 West 25th Street Hsg. Proj.) Series 2005 A, LOC Fannie Mae VRDN 64986ME68 Variable Rate Demand Note First Tier Security 2011-05-06 2011-05-06 Y FANNIE MAE N/A N/A Y FANNIE MAE N/A N/A N 105400000.00 105400000.00 0.0009 N 105400000.00 105400000.00 New York Metropolitan Trans. Auth. Rev. New York Metropolitan Trans. Auth. Rev., 0.24% Series 2005 D1, LOC Landesbank Hessen-Thuringen VRDN 59259YAG4 Variable Rate Demand Note First Tier Security 2011-05-06 2011-05-06 Y LANDESBANK HESS-THURNGN(UNGTD) N/A N/A Y LANDESBANK HESS-THURNGN(UNGTD) N/A N/A N 39500000.00 39500000.00 0.0003 N 39500000.00 39500000.00 Triborough Bridge & Tunnel Auth. Revs. Triborough Bridge & Tunnel Auth. Revs., 0.25% Series 2005 B3, (Liquidity Facility Bank of America NA) VRDN 89602NGX6 Variable Rate Demand Note First Tier Security 2011-05-06 2011-05-06 Y BANK OF AMERICA 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., 0.25% Series 2002 F, (Liquidity Facility Royal Bank of Scotland NV) VRDN 89602NCG7 Variable Rate Demand Note First Tier Security 2011-05-06 2011-05-06 Y ROYAL BANK OF SCOTLAND NV N/A N/A N N 51325000.00 51325000.00 0.0004 N 51325000.00 51325000.00 California Gen. Oblig. California Gen. Oblig., 0.27% Series 2003 B1, LOC JPMorgan Chase Bank, LOC California Pub. Employees Retirement Sys. VRDN 13063BDA7 Variable Rate Demand Note First Tier Security 2011-05-06 2011-05-06 Y JPMORGAN CHASE BANK NA N/A N/A CALIFORNIA TEACHERS RET SYSTEM N/A N/A CALIFORNIA PUB EE RETIREMT SYS 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., 0.23% (Home Mtg. Prog.) Series 2001 J, (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac) VRDN 13034PQK6 Variable Rate Demand Note First Tier Security 2011-05-06 2011-05-06 Y FANNIE MAE N/A N/A FREDDIE MAC N/A N/A N N 38135000.00 38135000.00 0.0003 N 38135000.00 38135000.00 California Hsg. Fin. Agcy. Rev. California Hsg. Fin. Agcy. Rev., 0.23% Series 2003 D, (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac) VRDN 13034PQQ3 Variable Rate Demand Note First Tier Security 2011-05-06 2011-05-06 Y FANNIE MAE N/A N/A FREDDIE MAC 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., 0.25% (Multifamily Hsg. Prog.) Series 2005 B, (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac) VRDN 13034PKU0 Variable Rate Demand Note First Tier Security 2011-05-06 2011-05-06 Y FANNIE MAE N/A N/A FREDDIE MAC 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., 0.25% Series 2001 G, (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac) VRDN 13033KXN4 Variable Rate Demand Note First Tier Security 2011-05-06 2011-05-06 Y FANNIE MAE N/A N/A FREDDIE MAC N/A N/A N N 15755000.00 15755000.00 0.0001 N 15755000.00 15755000.00 California Poll. Cont. Fing. Auth. Solid Waste Disp. Rev. California Poll. Cont. Fing. Auth. Solid Waste Disp. Rev., 0.26% (Recology, Inc. Proj.) Series 2010 A, LOC Bank of America NA VRDN 130536PN9 Variable Rate Demand Note First Tier Security 2011-05-06 2011-05-06 Y BANK OF AMERICA NA N/A N/A Y BANK OF AMERICA 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 2011-05-06 2011-05-06 Y FANNIE MAE N/A N/A Y FANNIE MAE 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 2011-05-06 2011-05-06 Y FANNIE MAE N/A N/A Y FANNIE MAE 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, 0.21% LOC Wells Fargo Bank NA VRDN 50212RAA7 Variable Rate Demand Note First Tier Security 2011-05-06 2011-05-06 Y WELLS FARGO BK NATL ASSN N/A N/A Y WELLS FARGO BK NATL ASSN N/A N/A N 181000000.00 181000000.00 0.0016 N 181000000.00 181000000.00 New Jersey Gen. Oblig. New Jersey Gen. Oblig., 0.27% Participating VRDN Series Putters 3808, (Liquidity Facility JPMorgan Chase & Co.) 46633VZV4 Variable Rate Demand Note First Tier Security 2011-05-02 2011-05-02 Y JPMORGAN CHASE & 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., 0.26% Series 2004 86B, (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac) VRDN 708793GF5 Variable Rate Demand Note First Tier Security 2011-05-06 2011-05-06 Y FANNIE MAE N/A N/A FREDDIE MAC 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., 0.27% Series 1997 B, LOC Bank of America NA VRDN 717893TL5 Variable Rate Demand Note First Tier Security 2011-05-06 2011-05-06 Y BANK OF AMERICA NA N/A N/A Y BANK OF AMERICA 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., 0.31% (Waste Mgmt., Inc. Proj.) Series A, LOC JPMorgan Chase Bank VRDN 402231AX2 Variable Rate Demand Note First Tier Security 2011-05-06 2011-05-06 Y JPMORGAN CHASE BANK NA N/A N/A Y JPMORGAN CHASE BANK NA 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., 0.22% (Texas Christian Univ. Proj.) Series 2000 VRDN 756872CH8 Variable Rate Demand Note First Tier Security 2011-05-06 2011-05-06 Y TEXAS CHRISTIAN UNIV, TX 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., 0.26% (Henry Ford Health Sys. Proj.) Series 2007, LOC JPMorgan Chase Bank VRDN 59465HGS9 Variable Rate Demand Note First Tier Security 2011-05-06 2011-05-06 Y JPMORGAN CHASE BANK NA N/A N/A Y JPMORGAN CHASE BANK NA 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 2011-05-06 2011-05-06 Y JPMORGAN CHASE BANK NA N/A N/A Y JPMORGAN CHASE BANK NA 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., 0.26% (Catholic Healthcare West Proj.) Series 2008 B, LOC Bank of America NA VRDN 040507JU0 Variable Rate Demand Note First Tier Security 2011-05-06 2011-05-06 Y BANK OF AMERICA NA N/A N/A Y BANK OF AMERICA 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., 0.27% Series 2006 I, (Liquidity Facility Citibank NA) VRDN 67756QBB2 Variable Rate Demand Note First Tier Security 2011-05-06 2011-05-06 Y CITIBANK NA N/A N/A N Y OBLIGOR OH RESIDENTIAL MORT REV 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., 0.29% Participating VRDN Series WF 10 5C, (Liquidity Facility Wells Fargo Bank NA) 94985NUL3 Variable Rate Demand Note First Tier Security 2011-05-06 2011-05-06 Y WELLS FARGO BK NATL ASSN 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 2011-07-01 2011-07-28 Y METROPOLITAN LIFE INS CO N/A N/A N N 175000000.00 175000000.00 0.0015 Y 175168350.00 175168350.00 Bank of America NA In a joint trading account with Bank of America NA at 0.06%, dated 4/29/2011 due 05/02/2011 41L993BD7_04197 Government Agency Repurchase Agreement Y GOVERNMENT NATIONAL MORTAGE ASSOC 2034-01-16 2040-04-16 0.434 - 6.5 Government Agency Debt 186810.34 172714.65 Unrated Security 2011-05-02 2011-05-02 N N N 167683.00 167683.28 0.0000 N 167683.28 167683.28 Citibank NA In a joint trading account with Citibank NA at 0.06%, dated 4/29/2011 due 05/02/2011 41L993BD7_26602 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2016-10-01 2041-01-01 3.5 - 6.5 Government Agency Debt 4070.15 1614.90 FEDERAL NATIONAL MORTGAGE ASSOC 2012-11-01 2041-03-01 3.5 - 7 Government Agency Debt 8777.44 4108.88 Unrated Security 2011-05-02 2011-05-02 N N N 5612.00 5611.52 0.0000 N 5611.52 5611.52 Citigroup Global Markets, Inc. In a joint trading account with Citigroup Global Markets, Inc. at 0.06%, dated 4/29/2011 due 05/02/2011 41L993BD7_69850 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2024-08-01 2041-04-01 3.429 - 5.5 Government Agency Debt 12607.18 8042.48 FEDERAL HOME LOAN MORTGAGE CORP 2020-08-01 2041-02-01 2.99 - 5.773 Government Agency Debt 9322.06 7503.22 GOVERNMENT NATIONAL MORTAGE ASSOC 2024-09-15 2041-03-20 3.5 - 5.5 Government Agency Debt 8022.00 7349.40 Unrated Security 2011-05-02 2011-05-02 N N N 22446.00 22446.07 0.0000 N 22446.07 22446.07 Credit Agricole Securities (USA), Inc. In a joint trading account with Credit Agricole Securities (USA), Inc. at 0.06%, dated 4/29/2011 due 05/02/2011 41L993BD7_05222 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2011-10-26 2013-03-15 0 - 4.375 Government Agency Debt 8243.45 8373.99 FEDERAL HOME LOAN MORTGAGE CORP 2011-05-04 2011-05-04 0 - 0 Government Agency Debt 5780.45 5780.45 FEDERAL HOME LOAN BANK 2011-12-27 2011-12-27 0.3 - 0.3 Government Agency Debt 6523.28 6531.33 US TREASURY 2040-11-15 2040-11-15 4.25 - 4.25 Treasury Debt 2250.36 2231.01 Unrated Security 2011-05-02 2011-05-02 N N N 22446.00 22446.07 0.0000 N 22446.07 22446.07 Deutsche Bank Securities, Inc. Deutsche Bank Securities, Inc., 0.24% 37F99EYR2 0000058056 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2026-02-01 2047-12-01 2.515 - 7 Government Agency Debt 704762644.00 305741141.81 FEDERAL HOME LOAN MORTGAGE CORP 2033-12-01 2038-09-01 2.484 - 6.232 Government Agency Debt 120520815.00 35320420.10 First Tier Security 2011-05-06 2011-05-06 Y DEUTSCHE BK SECS INC(GOV REPO) 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 NATIONAL MORTGAGE ASSOC 2018-07-01 2041-03-01 2.258 - 7 Government Agency Debt 728391842.00 283516662.77 FEDERAL HOME LOAN MORTGAGE CORP 2033-10-01 2040-11-01 2.48 - 6.162 Government Agency Debt 165549136.00 50375407.56 First Tier Security 2011-05-06 2011-05-06 Y DEUTSCHE BK SECS INC(GOV REPO) N/A N/A N N 327000000.00 327000000.00 0.0028 N 327000000.00 327000000.00 Deutsche Bank Securities, Inc. In a joint trading account with Deutsche Bank Securities, Inc. at 0.06%, dated 4/29/2011 due 05/02/2011 41L993BD7_06399 Government Agency Repurchase Agreement Y GOVERNMENT NATIONAL MORTAGE ASSOC 2023-05-16 2052-12-16 0.516 - 7 Government Agency Debt 19909.99 2902.71 FEDERAL HOME LOAN MORTGAGE CORP 2011-05-01 2048-02-01 0 - 15.036 Government Agency Debt 196509.05 83595.07 Unrated Security 2011-05-02 2011-05-02 N N N 84173.00 84172.75 0.0000 N 84172.75 84172.75 ING Financial Markets LLC In a joint trading account with ING Financial Markets LLC at 0.06%, dated 4/29/2011 due 05/02/2011 41L993BD7_40488 Government Agency Repurchase Agreement Y BANK OF AMERICA FDIC 2012-06-15 2012-06-15 3.125 - 3.125 Other Instrument OTHER NOTE 2.39 2.49 AMERICAN EXP BNK FDIC 2011-12-09 2011-12-09 1.211 - 3.15 Other Instrument OTHER NOTE 7.20 7.39 GOVERNMENT NATIONAL MORTAGE ASSOC 2025-12-16 2040-12-20 1.213 - 6 Government Agency Debt 175.02 132.16 FEDERAL NATIONAL MORTGAGE ASSOC 2016-11-25 2041-01-25 1.261 - 6.5 Government Agency Debt 1863.50 1232.93 FEDERAL HOME LOAN MORTGAGE CORP 2016-11-15 2040-05-15 3 - 6.5 Government Agency Debt 313.27 244.93 FEDERAL AGRICULTURE MORTGAGE CORP 2014-06-05 2026-02-03 2.765 - 4.81 Government Agency Debt 25.25 26.53 CITIGROUP INC. (FDIC TLGP) 2011-12-09 2012-04-30 2.125 - 2.875 Other Instrument OTHER NOTE 1.19 1.22 WELLS FARGO & COMPANY 2011-12-09 2012-06-15 1.16 - 3 Other Instrument OTHER NOTE 7.45 7.66 USAA CAPITAL CORPORATION 2012-03-30 2012-03-30 2.24 - 2.24 Other Instrument OTHER NOTE 0.94 0.95 SUNTRUST BNK FDIC TLGP 2011-11-16 2011-11-16 3 - 3 Other Instrument OTHER NOTE 6.91 7.10 SOVEREIGN BANCORP, INC. 2012-01-17 2012-01-17 2.75 - 2.75 Other Instrument OTHER NOTE 0.11 0.12 CITIGROUP FUNDING INC. 2012-07-12 2012-07-12 2.125 - 2.125 Other Instrument OTHER NOTE 7.11 7.31 CITIGROUP FDG IN. FDIC 2012-04-30 2012-04-30 0.603 - 0.603 Other Instrument OTHER NOTE 3.42 3.44 CITIBANK, N.A. 2012-06-04 2012-09-21 0.28 - 1.875 Other Instrument OTHER NOTE 3.68 3.71 GMACLLC7.30%PUBLICINCOMENOTES( 2012-12-19 2012-12-19 0.309 - 0.309 Other Instrument OTHER NOTE 1.14 1.14 GE CAPITAL CORP FDIC 2011-12-09 2012-06-08 2.2 - 3 Other Instrument OTHER NOTE 4.50 4.63 JPMORGAN CHASE & CO. 2011-12-01 2012-12-26 0.558 - 3.125 Other Instrument OTHER NOTE 10.86 10.94 METLIFE, INC. 2012-06-29 2012-06-29 0.627 - 0.627 Other Instrument OTHER NOTE 4.77 4.79 MORGAN STANLEY (FDIC TLGP) 2011-12-01 2012-06-20 0.592 - 1.95 Other Instrument OTHER NOTE 10.56 10.62 NEW YORK COMMUNITY BANK 2011-12-16 2011-12-16 3 - 3 Other Instrument OTHER NOTE 0.74 0.76 PNC FUNDING CORP 2012-04-01 2012-04-01 0.504 - 0.504 Other Instrument OTHER NOTE 6.73 6.75 REGIONS BANK FDIC TLGP 2011-12-09 2011-12-09 3.25 - 3.25 Other Instrument OTHER NOTE 4.27 4.41 Unrated Security 2011-05-02 2011-05-02 N N N 1683.00 1683.46 0.0000 N 1683.46 1683.46 ING Financial Markets LLC ING Financial Markets LLC, 0.20% 38B99S7N2 0000877559 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2018-08-01 2040-10-01 1.92 - 6.013 Government Agency Debt 689012963.00 188727867.65 Unrated Security 2011-05-06 2011-05-06 Y ING FINL MKTS LLC (GOV RP JPM) N/A N/A N N 185000000.00 185000000.00 0.0016 N 185000000.00 185000000.00 ING Financial Markets LLC ING Financial Markets LLC, 0.22% 38B99SYM4 0000877559 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2040-02-25 2040-08-25 4.5 - 5 Government Agency Debt 292685000.00 227764744.14 Unrated Security 2011-05-06 2011-05-06 Y ING FINL MKTS LLC (GOV RP JPM) 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% 38B99SSJ8 0000877559 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2022-10-01 2040-11-01 1.911 - 6.054 Government Agency Debt 164240836.00 84753432.66 Unrated Security 2011-05-06 2011-05-06 Y ING FINL MKTS LLC (GOV RP JPM) N/A N/A N N 83000000.00 83000000.00 0.0007 N 83000000.00 83000000.00 J.P. Morgan Securities, Inc. In a joint trading account with J.P. Morgan Securities, Inc. at 0.06%, dated 4/29/2011 due 05/02/2011 41L993BD7_55502 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2011-11-01 2041-04-01 3 - 7 Government Agency Debt 15417.27 7349.55 FEDERAL NATIONAL MORTGAGE ASSOC 2037-11-01 2048-12-01 4.5 - 6.5 Government Agency Debt 9457.52 4097.95 Unrated Security 2011-05-02 2011-05-02 N N N 11223.00 11223.03 0.0000 N 11223.03 11223.03 UBS Securities LLC In a joint trading account with UBS Securities LLC at 0.06%, dated 4/29/2011 due 05/02/2011 41L993BD7_06042 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2015-04-15 2041-03-15 0.585 - 238 Government Agency Debt 7840.57 2747.34 FEDERAL NATIONAL MORTGAGE ASSOC 2013-06-25 2041-04-25 0.479 - 9.25 Government Agency Debt 7257.85 2957.88 BANK AMER CORP MEDIUM TERM NTS SER L BOOK ENTRY 2012-06-15 2012-06-15 3.125 - 3.125 Other Instrument CORPORATE 682.18 711.36 BANCO BILBAO VIZCAYA ARGENTARIA PUERTO RICO FDIC 2012-06-22 2012-06-22 2.45 - 2.45 Other Instrument CORPORATE 431.25 444.62 GOVERNMENT NATIONAL MORTAGE ASSOC 2022-12-20 2041-04-20 4 - 7 Government Agency Debt 102.05 74.67 Unrated Security 2011-05-02 2011-05-02 N N N 6734.00 6733.82 0.0000 N 6733.82 6733.82 Wells Fargo Securities, LLC Wells Fargo Securities, LLC, 0.20% 37V99J8Y7 0000276523 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2041-04-01 2041-04-01 4.5 - 4.5 Government Agency Debt 168852080.00 174431628.12 Unrated Security 2011-05-06 2011-05-06 Y WELLS FARGO SEC LLC (GOV REPO) N/A N/A N N 171000000.00 171000000.00 0.0015 N 171000000.00 171000000.00 Barclays Capital, Inc. Barclays Capital, Inc., 0.32% 41K990AU7 0000851376 Other Repurchase Agreement N 101-500 2040-10-20 2049-01-01 0 - 4 Other Instrument EQUITY 295346121.00 367238967.21 Unrated Security 2011-05-02 2011-05-02 Y BARCLAYS CAPITAL(NON GOV REPO) N/A N/A N N 354000000.00 354000000.00 0.0031 N 354000000.00 354000000.00 Barclays Capital, Inc. Barclays Capital, Inc., 0.32% 41K990CA9 0000851376 Other Repurchase Agreement N 101-500 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 16887157.00 278654866.63 Unrated Security 2011-05-03 2011-05-03 Y BARCLAYS CAPITAL(NON GOV REPO) N/A N/A N N 258000000.00 258000000.00 0.0022 N 258000000.00 258000000.00 Barclays Capital, Inc. Barclays Capital, Inc., 0.32% 41K990DU4 0000851376 Other Repurchase Agreement N 51-100 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 13316890.00 179286382.92 Unrated Security 2011-05-05 2011-05-05 Y BARCLAYS CAPITAL(NON GOV REPO) N/A N/A N N 166000000.00 166000000.00 0.0014 N 166000000.00 166000000.00 Barclays Capital, Inc. Barclays Capital, Inc., 0.32% 41K990EM1 0000851376 Other Repurchase Agreement N 101-500 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 20165056.00 316448442.73 Unrated Security 2011-05-06 2011-05-06 Y BARCLAYS CAPITAL(NON GOV REPO) N/A N/A N N 293000000.00 293000000.00 0.0025 N 293000000.00 293000000.00 Barclays Capital, Inc. Barclays Capital, Inc., 0.42% 41K990CL5 0000851376 Other Repurchase Agreement N CWALT ALTERNATIVE LOAN TRUST 2036-08-25 2036-08-25 6 - 6 Other Instrument MORTGAGE 22407407.00 11807335.75 WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES, WMALT 2046-08-25 2046-08-25 1.267 - 1.267 Other Instrument MORTGAGE 20223981.00 6831119.93 COUNTRYWIDE HOME LOANS 2037-03-25 2037-03-25 6 - 6 Other Instrument MORTGAGE 27240000.00 11765319.80 COUNTRYWIDE HOME LOANS 2037-10-25 2037-10-25 6.5 - 6.5 Other Instrument MORTGAGE 37000000.00 18007372.54 CC FUNDING CORP 2047-04-25 2047-04-25 0.393 - 0.393 Other Instrument MORTGAGE 104000000.00 19511310.91 FIRST HORIZON MORTGAGE PASS THROUGH TRUST 2036-03-25 2036-03-25 2.732 - 2.732 Other Instrument MORTGAGE 50000000.00 12257139.19 FIRST NLC TRUST 2036-02-25 2036-02-25 0.64 - 0.64 Other Instrument MORTGAGE 38000000.00 19870920.31 GSR MORTGAGE LOAN TRUST 2036-03-25 2036-03-25 5.75 - 5.75 Other Instrument MORTGAGE 43100000.00 16721285.24 GREENPOINT MORTGAGE-BACKED PASS-THROUGH CERTIFICATES 2047-02-25 2047-02-25 0.353 - 0.353 Other Instrument MORTGAGE 62766000.00 14010029.52 JP MORGAN ALTERNATIVE LOAN TRUST 2037-03-25 2037-03-25 5.852 - 5.852 Other Instrument MORTGAGE 43957000.00 16390036.76 RALI 2046-09-25 2046-09-25 1.107 - 1.107 Other Instrument MORTGAGE 13991709.00 3759113.08 RALI 2045-10-25 2045-10-25 0.65 - 0.65 Other Instrument MORTGAGE 66385000.00 14733997.55 STRUCTURED ASSET MORTGAGE INVESTMENTS 2036-02-25 2036-02-25 0.443 - 0.443 Other Instrument MORTGAGE 60650000.00 18541631.88 THORNBURG MORTGAGE SECURITIES TRUST 2046-11-25 2046-11-25 0.363 - 0.363 Other Instrument MORTGAGE 43348267.00 14940659.69 WAMU MORTGAGE PASS-THROUGH CERTIFICATES 2045-10-25 2045-12-25 0.643 - 0.693 Other Instrument MORTGAGE 53181000.00 25130369.74 CWALT ALTERNATIVE LOAN TRUST 2047-04-25 2047-04-25 0.353 - 0.353 Other Instrument MORTGAGE 35498557.00 14419066.02 Unrated Security 2011-05-06 2011-05-06 Y BARCLAYS CAPITAL(NON GOV REPO) N/A N/A N N 221000000.00 221000000.00 0.0019 N 221000000.00 221000000.00 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 42253.00 11492816.00 6.75 VAL12 EN P2012 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 795641.00 75474505.26 TEXTRON INC 2013-05-01 2013-05-01 4.5 - 4.5 Other Instrument EQUITY 12250000.00 25063499.98 MICROCHIP TECHNOLOGY INC 2037-12-15 2037-12-15 2.125 - 2.125 Other Instrument EQUITY 14081000.00 20616833.05 LEXINGTON CORPORATE PPTYS TR FORMERLY LEXINGTON 2030-01-15 2030-01-15 6 - 6 Other Instrument EQUITY 18000000.00 26592000.02 LABORATORY CORP AMER HLDGS 2021-09-11 2021-09-11 N/A Other Instrument EQUITY 102000.00 130432.50 KAISER ALUM CORP 2015-04-01 2015-04-01 4.5 - 4.5 Other Instrument EQUITY 19669000.00 24051253.21 BOSTON PPTYS LTD PARTNERSHIP 2014-02-15 2014-02-15 3.625 - 3.625 Other Instrument EQUITY 22640000.00 25299099.45 ALLIANCE DATA SYS CORP 2014-05-15 2014-05-15 4.75 - 4.75 Other Instrument EQUITY 13224000.00 27191850.00 AMERICAN MED SYS HLDGS INC 2041-09-15 2041-09-15 4 - 4 Other Instrument EQUITY 4248469.00 7115713.52 AVIS BUDGET GROUP INC 2014-10-01 2014-10-01 3.5 - 3.5 Other Instrument EQUITY 18008000.00 24494881.78 Unrated Security 2011-08-02 2011-08-02 Y BARCLAYS CAPITAL(NON GOV REPO) 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 COMM 2049-12-10 2049-12-10 5.815 - 5.815 Other Instrument MORTGAGE 5627000.00 6269935.91 COMMERCIAL MORTGAGE ACCEPTANCE CORP 2013-07-15 2013-07-15 5.44 - 5.44 Other Instrument MORTGAGE 1200000.00 1230204.67 CS FIRST BOSTON MORTGAGE SECURITIES CORP 2032-05-25 2032-05-25 7.5 - 7.5 Other Instrument MORTGAGE 109797000.00 3083161.99 CREDIT SUISSE COMMERCIAL MORTGAGE TRUST 2038-06-15 2038-06-15 5.823 - 5.823 Other Instrument MORTGAGE 11544000.00 12819071.49 CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2038-08-15 2038-08-15 5.1 - 5.1 Other Instrument MORTGAGE 12000000.00 12324844.00 CSMC SER 2010-18R 2037-03-26 2037-03-26 N/A Other Instrument MORTGAGE 23550000.00 18952494.43 DELTA FUNDING HOME EQUITY LOAN TRUST 2028-02-15 2028-02-15 7.31 - 7.31 Other Instrument ASSET BACKED 12950000.00 1786414.51 GE COMMERCIAL MORTGAGE CORPORATION 2037-12-10 2037-12-10 6.024 - 6.024 Other Instrument MORTGAGE 3000000.00 3148633.00 GE BUSINESS LOAN TRUST 2033-11-15 2033-11-15 0.755 - 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Deutsche Bank Securities, Inc., 0.41% 39Q99VSJ3 0000058056 Other Repurchase Agreement N AMERICAN AIRLS PASS THRU TR 2009-1A 2019-07-02 2019-07-02 10.375 - 10.375 Other Instrument ASSET BACKED 2099901.00 2465651.53 AMERIQUEST MORTGAGE SECURITIES ASSET-BACKED PTC 2034-01-25 2034-01-25 0.893 - 0.893 Other Instrument ASSET BACKED 19736230.00 5856801.24 BANC OF AMERICA COMMERCIAL MORTGAGE 2049-01-15 2049-01-15 5.747 - 5.747 Other Instrument MORTGAGE 812391.00 282132.46 BANC OF AMERICA FUNDING CORP 2047-09-01 2047-09-01 3.698 - 3.698 Other Instrument MORTGAGE 240399.00 61888.08 BERRY PLASTICS HLDG CORP 2016-03-01 2016-03-01 10.25 - 10.25 Other Instrument CORPORATE 109903.00 112542.20 ENCORE CREDIT RECEIVABLES TRUST 2035-09-25 2035-09-25 0.71 - 0.71 Other Instrument ASSET BACKED 548296.00 357129.71 COUNTRYWIDE HOME LOANS 2035-08-20 2035-08-20 2.825 - 2.825 Other Instrument MORTGAGE 614175.00 186069.13 CHAPARRAL ENERGY INC 2017-02-01 2017-02-01 8.875 - 8.875 Other Instrument CORPORATE 1687746.00 1825625.47 CITIBANK CREDIT CARD ISSUANCE TRUST 2014-02-18 2014-06-20 6.3 - 6.95 Other Instrument ASSET BACKED 11819695.00 12550617.40 CLEAR CHANNEL COMMUNICATIONS INC 2016-08-01 2016-08-01 11 - 11 Other Instrument CORPORATE 128514.00 124901.33 CREDIT SUISSE COMMERCIAL MORTGAGE TRUST 2039-09-15 2039-09-15 5.802 - 5.802 Other Instrument MORTGAGE 5985124.00 6400278.39 CONTINENTAL AIRLS INC 2013-06-02 2013-06-02 0.659 - 0.659 Other Instrument ASSET BACKED 5850000.00 5499000.00 DELTA FUNDING HOME EQUITY LOAN TRUST 2030-05-25 2030-05-25 7.79 - 7.79 Other Instrument ASSET BACKED 10339879.00 5046054.25 GSAMP 2034-06-25 2034-06-25 0.95 - 0.95 Other Instrument ASSET BACKED 9043551.00 7197246.76 GTP ACQUISITION PARTNERS I 2037-05-15 2037-05-15 5.93 - 5.93 Other Instrument ASSET BACKED 7791078.00 8019980.74 GREEN TREE FINANCIAL CORPORATION (MANUFACTURED HOUSING) 2026-10-15 2026-10-15 8.1 - 8.1 Other Instrument ASSET BACKED 3502226.00 2875774.34 JP MORGAN ALTERNATIVE LOAN TRUST 2036-12-25 2036-12-25 0.373 - 0.373 Other Instrument MORTGAGE 23840744.00 5657044.21 LOUISIANA PAC CORP 2017-03-15 2017-03-15 13 - 13 Other Instrument CORPORATE 5188305.00 5556098.17 MORGAN STANLEY ABS 2034-12-25 2034-12-25 0.683 - 0.683 Other Instrument ASSET BACKED 1874939.00 1468341.60 MORGAN STANLEY ABS 2036-08-25 2036-08-25 0.39 - 0.39 Other Instrument ASSET BACKED 25403333.00 15033976.42 NATIONWIDE MUT INS CO 2024-12-15 2024-12-15 5.81 - 5.81 Other Instrument CORPORATE 6300000.00 6240251.49 RALI 2046-01-25 2046-01-25 1.307 - 1.307 Other Instrument MORTGAGE 7433420.00 1895671.00 SALLY HLDGS LLC / SALLY CAP INC 2016-11-15 2016-11-15 10.5 - 10.5 Other Instrument CORPORATE 3447000.00 3917802.75 SASCO MORTGAGE LOAN TRUST 2037-02-25 2037-02-25 0.413 - 0.413 Other Instrument ASSET BACKED 568408.00 303782.73 STRUCTURED ASSET SECURITIES CORPORATION 2035-08-25 2035-08-25 6 - 6 Other Instrument MORTGAGE 349598.00 142289.74 TOWN SPORTS INTL HLDGS INC 2014-02-01 2014-02-01 11 - 11 Other Instrument CORPORATE 122898.00 128660.55 WILLIAMS COS INC FORMERLY WILLIAMS COS TO 06/01/ 2032-03-15 2032-03-15 8.75 - 8.75 Other Instrument CORPORATE 66975.00 88598.85 First Tier Security 2011-05-06 2011-05-06 Y DEUTSCHE BC SEC INC(NON GOV) N/A N/A N N 93000000.00 93000000.00 0.0008 N 93000000.00 93000000.00 Deutsche Bank Securities, Inc. 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Morgan Clearing Corp., 0.30% 40W996TU3 Other Repurchase Agreement N ABITIBIBOWATER, INC. 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 2558662.00 69262980.34 ADECOAGRO S A 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 184780.00 2306054.40 ANADARKA PETROLEUM CORPORATION 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 1690695.00 132956254.80 ANADIGICS, INC. 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 52910.00 208994.50 BANK OF AMERICA CORPORATION 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 3836129.00 47644722.18 ADR CHINA KANGHUI HLD 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 84916.00 1576040.96 ADR CHINA LODGING GRO 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 117339.00 2574417.66 DEX ONE CORPORATION 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 89000.00 367570.00 HARTFORD FINANCIAL SERVICES GR 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 1482423.00 42886497.39 INSPIRE PHARMACEUTICAL 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 832378.00 4145242.44 KEYCORP 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 429227.00 3725690.36 LEAR CORPORATION 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 2748330.00 136976767.20 RDA MICROELECTRONICS INC 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 9576.00 125924.40 READING INTL INC CL B @ 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 106984.00 518872.40 SMURFIT-STONE CONTAINER CORP. 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 1939002.00 73895366.22 TALECRIS BIOTHERAPEUTICS 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 2139391.00 59539251.53 TEVA PHARMACEUTICAL INDUSTRIES 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 482913.00 22276776.69 ALPHA NATURAL RESOURCES, INC. 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 1770210.00 100105375.50 Unrated Security 2011-05-02 2011-05-02 N N N 645000000.00 645000000.00 0.0056 N 645000000.00 645000000.00 J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp., 0.50% 40W996UB3 Other Repurchase Agreement N 51-100 2011-04-30 2011-04-30 N/A Other Instrument CORPORATE 1801009000.00 2194596904.63 Unrated Security 2011-05-02 2011-05-02 N N N 2019000000.00 2019000000.00 0.0175 N 2019000000.00 2019000000.00 J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp., 0.55% 40W996RY7 Other Repurchase Agreement N AETNA INC 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 49035.00 2032500.75 ZIMMER HOLDINGS INC 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 297340.00 19553078.40 EDISON INTERNATIONAL 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 779292.00 30750862.32 MONSANTO COMPANY 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 771685.00 52027002.70 OCCIDENTAL PETROLEUM CORP. 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 798653.00 83962389.89 PEABODY ENERGY CORPORATION 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 514961.00 33245882.16 THE PROCTER AND GAMBLE COMPANY 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 765386.00 49367397.00 PUBLIC SERVICE ENTERPRISE GROU 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 3572.00 114625.48 QUALCOMM INCORPORATED 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 29261.00 1684848.38 ROWAN COMPANIES, INC. 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 54786.00 2243486.70 RYDER SYSTEM, INC. 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 99673.00 5387325.65 ST JUDE MED INC 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 624556.00 33482447.16 SCHLUMBERGER LTD 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 984471.00 87726210.81 SHERWIN-WILLIAMS COMPANY (THE) 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 62000.00 5129260.00 STATE STR CORP 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 396384.00 18439783.68 SUNOCO, INC. 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 1169726.00 49467712.54 SUNTRUST BANKS, INC. 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 1414730.00 39711471.10 THE TRAVELERS COMPANIES INCORP 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 249379.00 15725839.74 U.S. BANCORP NEW 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 435946.00 11107904.08 WELLPOINT INC COM < 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 179096.00 13709798.80 CAPITAL ONE FINANCIAL CORPORAT 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 2728407.00 150608066.40 Unrated Security 2011-07-25 2011-07-25 N N N 649000000.00 649000000.00 0.0056 Y 649000000.00 649000000.00 J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp., 0.65% 40W996SH3 Other Repurchase Agreement N DAVITA INC 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 434400.00 38305392.00 MARATHON OIL CORP 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 661793.00 34816929.73 WEYERHAEUSER COMPANY 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 745859.00 17893157.41 UNION PACIFIC CORPORATION 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 62.00 6379.80 WATSON PHARMACEUTICALS, INC. 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 58000.00 3609920.00 MEDCOHEALTH SOLUTIONS, INC. 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 775977.00 46682776.32 Unrated Security 2011-10-24 2011-10-24 N N N 130000000.00 130000000.00 0.0011 Y 130000000.00 130000000.00 J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp., 0.72% 40W996BT5 Other Repurchase Agreement N ACE LIMITED 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 68942.00 4638417.76 XL GROUP PUBLIC LIMITED COMPAN 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 9973529.00 245448548.69 VIACOM,INC CLASS B COMMON NEW@ 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 442000.00 22378460.00 SCRIPPS NETWORK INTERACTIVE 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 921000.00 46068420.00 MOTOROLA INC. 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 273183.00 12746718.78 NYSE EURONEXT 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 1151283.00 45763499.25 REGIONS FINANCIAL CORP NEW- 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 5126647.00 38142253.68 MEAD JOHNSON NUTRITION COMPANY 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 28611.00 1864006.65 MARSHALL & ILSLEY CORP NEW 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 10758786.00 87899281.62 LORILLARD 47/8%6186# 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 322535.00 33801668.00 PFD GOOGLE INC SR A 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 19330.00 10398960.10 THE DIRECTV GROUP HOLDINGS 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 192741.00 9280479.15 BANK NEW YORK MELLON CORP COM 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 372678.00 10651137.24 AMERIPRISE FINANCIAL INC 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 140187.00 8715425.79 Unrated Security 2011-09-01 2011-09-01 N N N 531000000.00 531000000.00 0.0046 Y 531000000.00 531000000.00 J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp., 0.75% 38N99SWB7 Other Repurchase Agreement N FORD MOTOR COMPANY 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 34256000.00 64823622.22 CONTINENTAL AIRLINES, INC. 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 2633000.00 3682395.32 ALLIANCE PETROLEUM COR 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 4000000.00 4310568.00 AIRTRAN HOLDINGS INC 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 680000.00 996624.32 EXTERRAN HOLDINGS INC 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 10325000.00 12279223.08 EQUINIX, INC. 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 9000000.00 12752847.00 GENERAL CABLE CORPORATION 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 18778000.00 28970642.07 VISHAY INTERTECHNOLOGY, INC. 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 8000000.00 11708784.00 UAL CORPORATION 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 755000.00 2050066.60 TITAN INTERNATIONAL IN 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 18805000.00 53242709.33 TEREX CORPORATION 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 29300000.00 65588811.80 STEEL DYNAMICS, INC. 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 4625000.00 5960325.38 RADIAN GROUP INCORPORATED < 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 9844000.00 8315216.96 NAVISTAR INTERNATIONAL CORPORA 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 20500000.00 30967505.00 LENNAR CORPORATION 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 24535000.00 27330910.46 JETBLUE AIRWAYS 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 33466000.00 47620007.23 JAMES RIVER COAL CO 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 9975000.00 10751000.68 HOST HOTELS & RESORTS, L.P. 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 25400000.00 36221162.00 HERTZ GLOBAL HOLDINGS, INC. 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 75887000.00 167978834.09 GOODRICH PETE CORP 2011-04-30 2011-04-30 N/A Other Instrument OTHER NOTE 13150000.00 13185347.20 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., 0.11% 41A99Q6B8 0001287279 Other Repurchase Agreement N FEDERAL HOME LOAN MORTGAGE CORP 2015-06-15 2040-10-15 0 - 9 Government Agency Debt 2102663237.00 207278970.97 GOVERNMENT NATIONAL MORTAGE ASSOC 2034-07-20 2052-11-16 0 - 6.262 Government Agency Debt 865288942.00 131916421.41 FEDERAL NATIONAL MORTGAGE ASSOC 2017-10-25 2050-07-25 0 - 6.5 Government Agency Debt 3018047090.00 419914716.97 Unrated Security 2011-05-02 2011-05-02 N N N 737000000.00 737000000.00 0.0064 N 737000000.00 737000000.00 J.P. Morgan Securities, Inc. J.P. Morgan Securities, Inc., 0.18% 41A99Q6H5 0001287279 Other Repurchase Agreement N NATL RURAL UTIL COOP 2011-05-13 2011-05-13 N/A Other Commercial Paper 1500000.00 1499903.08 SCALDIS & SCALDIS JOIN 2011-07-19 2011-07-20 N/A Other Commercial Paper 23500000.00 23487676.98 SVENSKA HANDELSBANKEN INC DISC COML PAPER 4/2 YRS 3&4 2011-11-09 2011-11-09 N/A Other Commercial Paper 92500000.00 92252755.76 WHITE POINT FDG INC. 2011-05-11 2011-05-11 N/A Other Commercial Paper 705000.00 704962.69 NRW. BANK 2011-06-27 2011-06-27 N/A Other Commercial Paper 15000000.00 14994749.13 GOVCO LLC DISC COML PAPER 4/2 YRS 3&4 2011-07-29 2011-07-29 N/A Other Commercial Paper 23750000.00 23733700.66 JUPITER SECT CO LLC 2011-05-09 2011-05-16 N/A Other Commercial Paper 25700000.00 25000559.47 L OREAL USA INC DISC COML PAPER 4/2 YRS 3&4 2011-05-03 2011-05-03 N/A Other Commercial Paper 5000000.00 4999927.88 MACQUARIE BK LTD DISC COML PAPER 4/2 YRS 3&4 2011-06-02 2011-06-02 N/A Other Commercial Paper 15965000.00 15961905.44 BPCE 2011-08-11 2011-08-11 N/A Other Commercial Paper 54915000.00 54868504.35 Unrated Security 2011-05-02 2011-05-02 N N N 250000000.00 250000000.00 0.0022 N 250000000.00 250000000.00 J.P. Morgan Securities, Inc. J.P. Morgan Securities, Inc., 0.60% 41A99Q5U7 0001287279 Other Repurchase Agreement N SLM PRIVATE EDUCATION LOAN TRU 2017-08-15 2017-08-15 6.219 - 6.219 Other Instrument ASSET BACKED 82245000.00 78752586.07 Unrated Security 2011-05-02 2011-05-02 N N N 75000000.00 75000000.00 0.0006 N 75000000.00 75000000.00 J.P. Morgan Securities, Inc. J.P. 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10.75 Other Instrument CORPORATE 403883515.00 598953527.05 Unrated Security 2011-06-03 2011-06-03 Y MERRILL PFS(NON GOV REPO BONY) 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, 0.75% 40Q99Y6C4 0000728612 Other Repurchase Agreement N 501-1000 2012-11-08 2053-03-04 0 - 10 Other Instrument MORTGAGE 9283367220.00 829491840.31 Unrated Security 2011-06-03 2011-06-03 Y MERRILL PFS(NON GOV REPO BONY) N/A N/A N N 768000000.00 768000000.00 0.0066 Y 768000000.00 768000000.00 Merrill Lynch, Pierce, Fenner & Smith Merrill Lynch, Pierce, Fenner & Smith, 1.00% 39R99WLR9 0000728612 Other Repurchase Agreement N OWNIT MORTGAGE LOAN TRUST 2037-09-25 2037-09-25 0.36 - 0.36 Other Instrument ASSET BACKED 42969000.00 10044028.64 RBSSP RESECURITIZATION TR 2009-3 2035-09-26 2035-09-26 N/A Other Instrument MORTGAGE 13837413.00 8610644.84 RFMSI 2036-09-25 2036-09-25 5.52 - 5.52 Other Instrument MORTGAGE 21000000.00 8479249.22 SPECIALTY UNDERWRITING AND RESIDENTIAL FINANCE TRUST (SURF) 2037-02-25 2037-02-25 5.573 - 5.573 Other Instrument ASSET BACKED 30500000.00 9618646.52 STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN TRUST 2035-09-25 2035-09-25 2.697 - 2.697 Other Instrument MORTGAGE 29036000.00 9754687.86 WAMU MORTGAGE PASS-THROUGH CERTIFICATES 2045-07-25 2045-12-25 0.493 - 0.883 Other Instrument MORTGAGE 141210000.00 19855579.75 MASTR ASSET BACKED SECURITIES TRUST 2036-02-25 2036-02-25 5.719 - 5.719 Other Instrument ASSET BACKED 12290000.00 9105430.20 MORGAN STANLEY DEAN WITTER CREDIT CORP HELOC TRUST (MSDWCC) 2031-12-27 2031-12-27 0.313 - 0.313 Other Instrument ASSET BACKED 16415093.00 8821499.28 JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2043-06-12 2043-06-12 5.923 - 5.923 Other Instrument MORTGAGE 20000000.00 9496581.84 INDYMAC INDX MORTGAGE LOAN TRUST 2035-04-25 2035-06-25 4.837 - 5.464 Other Instrument MORTGAGE 221578000.00 17060081.39 GMAC HOME EQUITY LOAN-BACKED NOTES 2036-12-25 2036-12-25 0.43 - 0.43 Other Instrument ASSET BACKED 5849633.00 2192156.50 GSMSC RESECURITIZATION MORTGAGE TRUST 2037-08-25 2037-08-25 4.675 - 4.675 Other Instrument MORTGAGE 21725000.00 9548312.34 FIRST HORIZON MORTGAGE PASS THROUGH TRUST 2036-08-25 2036-08-25 6.008 - 6.008 Other Instrument MORTGAGE 24665000.00 9170711.68 FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES TRUST 2035-04-25 2035-04-25 4.787 - 4.787 Other Instrument MORTGAGE 204717000.00 8922393.71 FIRST FRANKLIN MORTGAGE LOAN TRUST ABS CERTIFICATES 2035-04-25 2035-04-25 0.753 - 0.753 Other Instrument ASSET BACKED 17281000.00 10233888.08 CITIGROUP MORTGAGE LOAN TRUST 2037-01-25 2037-01-25 0.433 - 0.433 Other Instrument MORTGAGE 16646000.00 9388378.40 CC FUNDING CORP 2047-08-25 2047-08-25 0.343 - 0.343 Other Instrument MORTGAGE 40000000.00 9547412.19 CARRINGTON HOME EQUITY LOAN TRUST 2036-10-25 2036-10-25 0.373 - 0.373 Other Instrument ASSET BACKED 23000000.00 9644507.20 COUNTRYWIDE HOME LOANS 2035-11-20 2035-11-20 5.409 - 5.409 Other Instrument MORTGAGE 23946000.00 8455972.26 CWALT ALTERNATIVE LOAN TRUST 2036-02-25 2036-02-25 4.787 - 4.787 Other Instrument MORTGAGE 105000000.00 9533450.83 CWALT ALTERNATIVE LOAN TRUST 2035-12-25 2035-12-25 0.513 - 0.513 Other Instrument MORTGAGE 29995000.00 9983198.03 CWALT ALTERNATIVE LOAN TRUST 2035-06-25 2035-08-25 0.523 - 4.787 Other Instrument MORTGAGE 266194000.00 20248809.83 CWALT ALTERNATIVE LOAN TRUST 2035-02-25 2035-02-25 5.5 - 5.5 Other Instrument MORTGAGE 13315000.00 10277809.52 CIT GROUP SECURITIZATION CORP II 2026-05-15 2026-05-15 N/A Other Instrument ASSET BACKED 11412194.00 9089514.84 BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2035-11-25 2035-11-25 7.437 - 7.437 Other Instrument MORTGAGE 91176000.00 9186848.05 WAMU MORTGAGE PASS-THROUGH CERTIFICATES 2037-02-25 2037-02-25 5.701 - 5.701 Other Instrument MORTGAGE 10545000.00 9018127.56 BANC OF AMERICA ALTERNATIVE LOAN TRUST 2036-01-25 2036-01-25 5.75 - 5.75 Other Instrument MORTGAGE 20000000.00 8298008.93 ANTHRACITE CDO 2051-05-23 2051-05-23 0.503 - 0.503 Other Instrument ASSET BACKED 19102182.00 5648590.87 AEGIS ASSET BACKED SECURITIES TRUST 2035-10-25 2035-10-25 0.7 - 0.7 Other Instrument ASSET BACKED 15500000.00 9262639.14 BANC OF AMERICA MORTGAGE SECURITIES 2036-01-25 2036-01-25 2.89 - 2.89 Other Instrument MORTGAGE 12455000.00 8527590.52 Unrated Security 2011-06-03 2011-06-03 Y MERRILL PFS(NON GOV REPO BONY) 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., 0.25% 38S994TW3 Other Repurchase Agreement N CVS CAREMARK CORP FORMERLY CVS CORP TO 03/22/200 2027-06-01 2027-06-01 6.25 - 6.25 Other Instrument CORPORATE 5000000.00 5637922.22 BARRICK INTL BK CORP 2036-10-15 2036-10-15 6.35 - 6.35 Other Instrument CORPORATE 6000000.00 6394920.00 COCA-COLA ENTERPRISES INC NEW 2021-09-01 2021-09-01 4.5 - 4.5 Other Instrument CORPORATE 380000.00 391172.00 COMCAST CORP 2037-03-15 2037-03-15 6.45 - 6.45 Other Instrument CORPORATE 8000000.00 8535546.66 COMMONWEALTH EDISON CO 2038-01-15 2038-01-15 6.45 - 6.45 Other Instrument CORPORATE 400000.00 452859.33 HEINZ H J FIN CO 2039-08-01 2039-08-01 7.125 - 7.125 Other Instrument CORPORATE 144000.00 174899.04 KRAFT FOODS INC 2037-02-11 2038-02-01 6.875 - 7 Other Instrument CORPORATE 5800000.00 6833278.33 NEWS AMER INC 2039-03-01 2039-03-01 7.85 - 7.85 Other Instrument CORPORATE 35000.00 42719.85 NEXEN INC 2037-05-15 2037-05-15 6.4 - 6.4 Other Instrument CORPORATE 1800000.00 1896994.00 PPG INDS INC 2038-03-15 2038-03-15 7.7 - 7.7 Other Instrument CORPORATE 4065000.00 5227431.91 POTASH CORP SASK INC 2036-12-01 2036-12-01 5.875 - 5.875 Other Instrument CORPORATE 3000000.00 3218588.33 PROGRESS ENERGY INC 2031-03-01 2031-03-01 7.75 - 7.75 Other Instrument CORPORATE 4625000.00 5840062.02 SUNCOR ENERGY INC 2038-06-25 2038-06-25 6.5 - 6.5 Other Instrument CORPORATE 370000.00 416425.54 TIME WARNER COS INC FORMERLY TIME WARNER INC TO 2029-05-15 2029-05-15 6.625 - 6.625 Other Instrument CORPORATE 3000000.00 3355471.67 TIME WARNER INC NEW 2036-11-15 2041-03-29 6.25 - 6.5 Other Instrument CORPORATE 8000000.00 8578888.89 TIME WARNER CABLE INC 2037-05-01 2037-05-01 6.55 - 6.55 Other Instrument CORPORATE 7000000.00 7590492.79 UNITEDHEALTH GROUP INC 2037-11-15 2037-11-15 6.625 - 6.625 Other Instrument CORPORATE 5000000.00 5698652.78 WRIGLEY WM JR CO 2011-06-28 2011-06-28 1.683 - 1.683 Other Instrument CORPORATE 1500000.00 1500585.00 US TREASURY 2013-10-31 2013-10-31 2.75 - 2.75 Treasury Debt 57280800.00 60811704.97 AGRIUM INC 2041-01-15 2041-01-15 6.125 - 6.125 Other Instrument CORPORATE 5490000.00 5896743.42 AMERICAN INTL GROUP INC 2036-05-01 2036-05-01 6.25 - 6.25 Other Instrument CORPORATE 2675000.00 2817798.93 CINCINNATI GAS & ELEC CO 2033-06-15 2033-06-15 5.4 - 5.4 Other Instrument CORPORATE 5000000.00 4951400.00 First Tier Security 2011-05-02 2011-05-02 N N N 141000000.00 141000000.00 0.0012 N 141000000.00 141000000.00 Mizuho Securities USA, Inc. Mizuho Securities USA, Inc., 0.25% 38S994UA9 Other Repurchase Agreement N AT&T 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 543800.00 17059006.00 APPLE 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 26352.00 9147042.72 CISCO SYSTEMS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 500000.00 8660000.00 D R HORTON 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 9343.00 113050.30 DEVON ENERGY 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 3093.00 274689.33 DIRECTV-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 4300.00 207217.00 FSTTR TECH ALPDX FD 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 24800.00 626944.00 GENL DYNAMICS CORP 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 4200.00 300510.00 HARLEY-DAVIDSON 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 3800.00 141626.00 ISHS MSCI EAFE FUND 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 7772.00 581239.72 JDS UNIPHASE 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 7600.00 156484.00 JPMORGAN CHASE 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 647030.00 29666325.50 LEXMARK INTL-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1100.00 35156.00 LORILLARD 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 273015.00 28611972.00 MARSHAL & ILSLEY 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 27642.00 225558.72 METLIFE EU 14 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 20000.00 1742400.00 ORACLE 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 260000.00 9183200.00 QUEST DIAGNOSTICS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 3600.00 201492.00 SEMICONDUC HOLDR40 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 21000.00 768390.00 US BANCORP 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 11772.00 299950.56 First Tier Security 2011-05-02 2011-05-02 N N N 100000000.00 100000000.00 0.0009 N 100000000.00 100000000.00 Mizuho Securities USA, Inc. 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