0000278001-11-000044.txt : 20110829 0000278001-11-000044.hdr.sgml : 20110829 20110708094832 ACCESSION NUMBER: 0000278001-11-000044 CONFORMED SUBMISSION TYPE: N-MFP PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20110630 FILED AS OF DATE: 20110708 DATE AS OF CHANGE: 20110708 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: 11957823 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 2011-06-30 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 43 94 117609579466.91 90591007.33 245247176.52 117454923297.72 0.0032 1.0003 2011-06-30 1.0003 2011-06-30 C000019553 2500.00 117454923297.72 1.00 1236266405.89 21906381983.38 20670115577.49 0.0001 1.0003 2011-06-30 1.0003 2011-06-30 Bank of Montreal Bank of Montreal, 0.15% 06366U6M5 Certificate of Deposit First Tier Security 2011-08-29 2011-08-29 N N N 945000000.00 945000000.00 0.0080 N 945031468.50 945031468.50 Bank of Montreal Bank of Montreal, 0.29% 06366UEK0 Certificate of Deposit First Tier Security 2011-07-22 2011-11-22 N N N 101000000.00 101000000.00 0.0009 N 100985052.00 100985052.00 Bank of Montreal Bank of Montreal, 0.35% 06366UD47 Certificate of Deposit First Tier Security 2011-07-06 2012-07-05 N N N 741000000.00 741000000.00 0.0063 N 738891855.00 738891855.00 Bank of Nova Scotia Bank of Nova Scotia, 0.15% 06417DY41 Certificate of Deposit First Tier Security 2011-08-09 2011-08-09 N N N 100480000.00 100485437.46 0.0009 N 100486691.97 100486691.97 Bank of Nova Scotia Bank of Nova Scotia, 0.28% 06417D5X9 Certificate of Deposit First Tier Security 2011-12-23 2011-12-23 N N N 500000000.00 500000000.00 0.0043 N 500048800.00 500048800.00 Bank of Nova Scotia Bank of Nova Scotia, 0.30% 06417D2A2 Certificate of Deposit First Tier Security 2011-08-11 2012-07-10 N N N 379000000.00 379000000.00 0.0032 N 378900702.00 378900702.00 Bank of Nova Scotia Bank of Nova Scotia, 0.33% 06417DJE6 Certificate of Deposit First Tier Security 2011-08-16 2012-06-15 N N N 206000000.00 206000000.00 0.0018 N 205969512.00 205969512.00 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 0.0085 N 1000061000.00 1000061000.00 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 0.0068 N 800084320.00 800084320.00 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 700077630.00 700077630.00 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 981135966.60 981135966.60 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 188035926.80 188035926.80 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 0.0032 N 380022116.00 380022116.00 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 0.0032 N 379025203.50 379025203.50 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 0.0032 N 379034640.60 379034640.60 BNP Paribas BNP Paribas, 0.37% 05572WEX0 Certificate of Deposit First Tier Security 2011-09-12 2011-12-12 N N N 1480000000.00 1480000000.00 0.0126 N 1479819440.00 1479819440.00 BNP Paribas BNP Paribas, 0.39% 05572WDN3 Certificate of Deposit First Tier Security 2011-08-18 2011-11-18 N N N 500000000.00 500000000.00 0.0043 N 499953500.00 499953500.00 BNP Paribas New York Branch BNP Paribas New York Branch, 0.44% 05572WCE4 Certificate of Deposit First Tier Security 2011-11-07 2011-11-07 N N N 1000000000.00 1000000000.00 0.0085 N 1000359800.00 1000359800.00 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 0.0096 N 1125428175.00 1125428175.00 BNP Paribas SA BNP Paribas SA, 0.45% 0556M55D3 Certificate of Deposit First Tier Security 2011-07-25 2011-09-26 N N N 1700000000.00 1700000000.00 0.0145 N 1700469200.00 1700469200.00 Canadian Imperial Bank of Commerce New York Branch Canadian Imperial Bank of Commerce New York Branch, 0.28% 13606XF52 Certificate of Deposit First Tier Security 2011-07-05 2011-10-04 N N N 376000000.00 376000000.00 0.0032 N 375953376.00 375953376.00 Canadian Imperial Bank of Commerce New York Branch Canadian Imperial Bank of Commerce New York Branch, 0.28% 13606XF86 Certificate of Deposit First Tier Security 2011-07-08 2011-11-07 N N N 757000000.00 757000000.00 0.0064 N 756876609.00 756876609.00 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 2012-07-16 N N N 1107000000.00 1107000000.00 0.0094 N 1103951322.00 1103951322.00 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 0.0047 N 553862054.00 553862054.00 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 0.0035 N 413300540.10 413300540.10 Credit Suisse Credit Suisse, 0.25% 22550CA50 Certificate of Deposit First Tier Security 2011-07-05 2011-09-02 N N N 744000000.00 744000000.00 0.0063 N 743941224.00 743941224.00 Credit Suisse Credit Suisse, 0.25% 22550CYK1 Certificate of Deposit First Tier Security 2011-07-25 2011-07-25 N N N 369000000.00 369000000.00 0.0031 N 369022878.00 369022878.00 Deutsche Bank Deutsche Bank, 0.28% 25152XMY3 Certificate of Deposit First Tier Security 2011-07-07 2011-10-07 N N N 495000000.00 495000000.00 0.0042 N 494938125.00 494938125.00 Deutsche Bank Deutsche Bank, 0.29% 25152XMM9 Certificate of Deposit First Tier Security 2011-07-25 2011-07-25 N N N 1300000000.00 1300000000.00 0.0111 N 1300052000.00 1300052000.00 DnB NOR Bank ASA DnB NOR Bank ASA, 0.24% 25600TYD3 Certificate of Deposit First Tier Security 2011-07-05 2011-08-04 N N N 375000000.00 375000000.00 0.0032 N 374991000.00 374991000.00 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.18% 60687C3C9 Certificate of Deposit First Tier Security 2011-07-06 2011-07-06 N N N 391000000.00 391000000.00 0.0033 N 390998045.00 390998045.00 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.18% 60687C3D7 Certificate of Deposit First Tier Security 2011-07-07 2011-07-07 N N N 379000000.00 379000000.00 0.0032 N 379000000.00 379000000.00 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 0.0056 N 659070183.50 659070183.50 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 141015016.50 141015016.50 National Bank Canada National Bank Canada, 0.30% 63306VY38 Certificate of Deposit First Tier Security 2011-07-06 2012-07-06 N N N 359000000.00 359000000.00 0.0031 N 358928200.00 358928200.00 National Bank Canada National Bank Canada, 0.32% 63306VP20 Certificate of Deposit First Tier Security 2011-07-08 2011-07-08 N N N 463000000.00 463012603.88 0.0039 N 463000000.00 463000000.00 National Bank Canada National Bank Canada, 0.37% 63306VP87 Certificate of Deposit First Tier Security 2011-08-05 2011-11-04 N N N 998000000.00 998000000.00 0.0085 N 997872256.00 997872256.00 Natixis SA Natixis SA, 0.34% 63873BS24 Certificate of Deposit First Tier Security 2011-07-01 2011-07-01 Y NATIXIS N Y BRH INSTL CTF DEP N/A N/A N N 832000000.00 832000000.00 0.0071 N 832000000.00 832000000.00 Rabobank Nederland New York Branch Rabobank Nederland New York Branch, 0.24% 74977MWQ4 Certificate of Deposit First Tier Security 2011-07-08 2012-06-08 N N N 1200000000.00 1200000000.00 0.0102 N 1200000000.00 1200000000.00 Rabobank Nederland New York Branch Rabobank Nederland New York Branch, 0.29% 74977MTN5 Certificate of Deposit First Tier Security 2011-07-05 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, 0.29% 74977MTC9 Certificate of Deposit First Tier Security 2011-07-11 2012-03-12 N N N 2250000000.00 2250000000.00 0.0192 N 2250492750.00 2250492750.00 Rabobank Nederland New York Branch Rabobank Nederland New York Branch, 0.33% 74977MWX9 Certificate of Deposit First Tier Security 2011-09-06 2012-06-01 N N N 185000000.00 185000000.00 0.0016 N 184954860.00 184954860.00 Rabobank Nederland New York Branch Rabobank Nederland New York Branch, 0.33% 74977MWY7 Certificate of Deposit First Tier Security 2011-09-06 2012-06-01 N N N 366000000.00 366000000.00 0.0031 N 365907036.00 365907036.00 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 0.0032 N 379256469.30 379256469.30 Royal Bank of Canada Royal Bank of Canada, 0.64% 78009JKX2 Certificate of Deposit First Tier Security 2011-07-01 2012-06-29 N N N 900000000.00 900000000.00 0.0077 N 901155600.00 901155600.00 Royal Bank of Canada New York Branch Royal Bank of Canada New York Branch, 0.27% 78009J2L8 Certificate of Deposit First Tier Security 2011-08-08 2012-07-05 N N N 750000000.00 749725589.10 0.0064 N 750012750.00 750012750.00 Royal Bank of Scotland NV Royal Bank of Scotland NV, 0.31% 78011AET3 Certificate of Deposit First Tier Security 2011-08-08 2011-08-08 N N N 787000000.00 787000000.00 0.0067 N 787102231.30 787102231.30 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 0.0091 N 1065126841.50 1065126841.50 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 0.0092 N 1079057402.80 1079057402.80 Svenska Handelsbanken Svenska Handelsbanken, 0.17% 86959BUV5 Certificate of Deposit First Tier Security 2011-08-04 2011-08-04 N N N 190000000.00 190000000.00 0.0016 N 189990766.00 189990766.00 Svenska Handelsbanken Svenska Handelsbanken, 0.30% 86959BTQ8 Certificate of Deposit First Tier Security 2011-11-03 2011-11-03 N N N 716000000.00 716012413.29 0.0061 N 715912003.60 715912003.60 Toronto-Dominion Bank New York Branch Toronto-Dominion Bank New York Branch, 0.15% 89112YR96 Certificate of Deposit First Tier Security 2011-08-31 2011-08-31 N N N 472000000.00 472000000.00 0.0040 N 472008118.40 472008118.40 Toronto-Dominion Bank New York Branch Toronto-Dominion Bank New York Branch, 0.27% 89112YSH7 Certificate of Deposit First Tier Security 2011-07-12 2012-01-12 N N N 304100000.00 304100000.00 0.0026 N 304025495.50 304025495.50 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 0.0061 N 720041760.00 720041760.00 UBS AG UBS AG, 0.30% 90267AA89 Certificate of Deposit First Tier Security 2011-07-21 2011-07-21 N N N 1500000000.00 1500000000.00 0.0128 N 1500016500.00 1500016500.00 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 500069800.00 500069800.00 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 0.0064 N 746112944.40 746112944.40 Credit Agricole SA Credit Agricole SA, 0.36% 22999KMA7 0001191672 Certificate of Deposit First Tier Security 2011-10-05 2011-10-05 N N N 559000000.00 559000000.00 0.0048 N 559044831.80 559044831.80 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 500088750.00 500088750.00 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 0.0128 N 1500266250.00 1500266250.00 Credit Industriel et Commercial Credit Industriel et Commercial, 0.31% 22999AHG2 0001274419 Certificate of Deposit First Tier Security 2011-09-01 2011-09-01 N N N 745000000.00 745000000.00 0.0063 N 745078076.00 745078076.00 Credit Industriel et Commercial Credit Industriel et Commercial, 0.35% 22999AHH0 0001274419 Certificate of Deposit First Tier Security 2011-09-02 2011-09-02 N N N 500000000.00 500000000.00 0.0043 N 500088750.00 500088750.00 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 465186139.50 465186139.50 HSBC Bank PLC HSBC Bank PLC, 0.38% 35X99QAT1 0001140465 Certificate of Deposit First Tier Security 2012-02-09 2012-02-09 N N N 186000000.00 186000000.00 0.0016 N 186069080.40 186069080.40 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 190126502.00 190126502.00 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 373489078.60 373489078.60 HSBC Bank PLC HSBC Bank PLC, 0.50% 35X99QAV6 0001140465 Certificate of Deposit First Tier Security 2012-05-10 2012-05-10 N N N 500000000.00 500000000.00 0.0043 N 500260150.00 500260150.00 HSBC Bank PLC HSBC Bank PLC, 0.50% 35X99QAU8 0001140465 Certificate of Deposit First Tier Security 2012-05-10 2012-05-10 N N N 5000000.00 5000000.00 0.0000 N 5002601.50 5002601.50 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 266232404.20 266232404.20 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 45032026.50 45032026.50 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 328233437.60 328233437.60 ING Bank NV ING Bank NV, 0.27% 37X99J5P7 0001017255 Certificate of Deposit First Tier Security 2011-08-11 2011-08-11 N N N 1100000000.00 1100000000.00 0.0094 N 1100064020.00 1100064020.00 ING Bank NV ING Bank NV, 0.29% 38T99AAS7 Certificate of Deposit First Tier Security 2011-08-04 2011-08-04 N N N 1500000000.00 1500000000.00 0.0128 N 1500101850.00 1500101850.00 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 0.0093 N 1097077887.00 1097077887.00 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 0.0094 N 1100003960.00 1100003960.00 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 0.0051 N 600053940.00 600053940.00 National Australia Bank Ltd. National Australia Bank Ltd., 0.30% 6329909E9 0000833029 Certificate of Deposit First Tier Security 2011-12-01 2011-12-01 N N N 871000000.00 871000000.00 0.0074 N 870925268.20 870925268.20 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 0.0063 N 740034484.00 740034484.00 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 760047272.00 760047272.00 The Toronto-Dominion Bank The Toronto-Dominion Bank, 0.17% 37H995NU4 0000947263 Certificate of Deposit First Tier Security 2011-08-02 2011-08-02 N N N 200000000.00 200000000.00 0.0017 N 200005500.00 200005500.00 Abn Amro Funding USA LLC Abn Amro Funding USA LLC, 0.20% 00084CUU4 Financial Company Commercial Paper First Tier Security 2011-07-28 2011-07-28 N N N 275000000.00 274958749.95 0.0023 N 274964497.50 274964497.50 Abn Amro Funding USA LLC Abn Amro Funding USA LLC, 0.20% 00084CUV2 Financial Company Commercial Paper First Tier Security 2011-07-29 2011-07-29 N N N 149000000.00 148976822.19 0.0013 N 148979840.30 148979840.30 ASB Finance Ltd. ASB Finance Ltd., 0.33% 0020P5CE7 Financial Company Commercial Paper First Tier Security 2011-07-05 2012-04-04 N N N 100000000.00 99992362.64 0.0009 N 100029900.00 100029900.00 ASB Finance Ltd. ASB Finance Ltd., 0.33% 0020P5CD9 Financial Company Commercial Paper First Tier Security 2011-07-28 2012-03-30 N N N 173000000.00 172986880.83 0.0015 N 173050862.00 173050862.00 ASB Finance Ltd. ASB Finance Ltd., 0.34% 0020P5BW8 Financial Company Commercial Paper First Tier Security 2011-07-28 2012-01-27 N N N 150000000.00 149995600.56 0.0013 N 150042000.00 150042000.00 Barclays Bank PLC/Barclays US CCP Funding LLC Barclays Bank PLC/Barclays US CCP Funding LLC, 0.22% 06741GCD5 Financial Company Commercial Paper First Tier Security 2011-09-12 2011-09-12 N N N 177000000.00 176921038.39 0.0015 N 176927589.30 176927589.30 Barclays Bank PLC/Barclays US CCP Funding LLC Barclays Bank PLC/Barclays US CCP Funding LLC, 0.22% 06741GCD5 Financial Company Commercial Paper First Tier Security 2011-09-12 2011-09-12 N N N 300000000.00 299866166.76 0.0026 N 299877270.00 299877270.00 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 190923600.04 0.0016 N 190958266.50 190958266.50 Caisse d'Amort de la Dette Societe Caisse d'Amort de la Dette Societe, 0.24% 12802WXB5 Financial Company Commercial Paper First Tier Security 2011-10-11 2011-10-11 N N N 531000000.00 530638919.89 0.0045 N 530819194.50 530819194.50 Caisse d'Amort de la Dette Societe Caisse d'Amort de la Dette Societe, 0.27% 12802YAB6 Financial Company Commercial Paper First Tier Security 2011-08-03 2012-05-25 N N N 376000000.00 375963430.77 0.0032 N 376074824.00 376074824.00 Caisse d'Amort de la Dette Societe Caisse d'Amort de la Dette Societe, 0.31% 12802WY40 Financial Company Commercial Paper First Tier Security 2011-11-04 2011-11-04 N N N 818000000.00 817112470.16 0.0070 N 817610468.40 817610468.40 Caisse d'Amort de la Dette Societe Caisse d'Amort de la Dette Societe, 0.31% 12802WYJ7 Financial Company Commercial Paper First Tier Security 2011-11-18 2011-11-18 N N N 715000000.00 714138028.03 0.0061 N 714596740.00 714596740.00 Caisse d'Amort de la Dette Societe Caisse d'Amort de la Dette Societe, 0.31% 12802WYU2 Financial Company Commercial Paper First Tier Security 2011-11-28 2011-11-28 N N N 180000000.00 179767499.94 0.0015 N 179885988.00 179885988.00 Commerzbank U.S. Finance, Inc. Commerzbank U.S. Finance, Inc., 0.33% 20260BVB1 Financial Company Commercial Paper First Tier Security 2011-08-11 2011-08-11 N N N 751000000.00 750722025.61 0.0064 N 750830048.70 750830048.70 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.29% 20272AAN6 Financial Company Commercial Paper First Tier Security 2011-09-16 2011-09-16 N N N 174000000.00 173996267.98 0.0015 N 174012006.00 174012006.00 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.30% 20272AAL0 Financial Company Commercial Paper First Tier Security 2011-07-02 2011-08-26 N N N 187000000.00 187000000.00 0.0016 N 187020944.00 187020944.00 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.31% 20272AAV8 Financial Company Commercial Paper First Tier Security 2011-08-22 2011-11-21 N N N 180000000.00 180000000.00 0.0015 N 180001260.00 180001260.00 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.32% 20272AAR7 Financial Company Commercial Paper First Tier Security 2011-08-04 2011-10-28 N N N 283000000.00 283000000.00 0.0024 N 283010188.00 283010188.00 Danske Corp. Danske Corp., 0.25% 2363F7VG0 Financial Company Commercial Paper First Tier Security 2011-08-16 2011-08-16 N N N 500000000.00 499840277.80 0.0043 N 499868800.00 499868800.00 Danske Corp. Danske Corp., 0.30% 2363F7WK0 Financial Company Commercial Paper First Tier Security 2011-09-19 2011-09-19 N N N 412000000.00 411725333.36 0.0035 N 411779374.00 411779374.00 DnB NOR Bank ASA DnB NOR Bank ASA, 0.24% 2332K4AZ7 Financial Company Commercial Paper First Tier Security 2011-07-21 2011-07-21 N N N 300000000.00 300000000.00 0.0026 N 300003300.00 300003300.00 DnB NOR Bank ASA DnB NOR Bank ASA, 0.24% 2332K4BD5 Financial Company Commercial Paper First Tier Security 2011-07-22 2011-08-22 N N N 62000000.00 62000000.00 0.0005 N 61998202.00 61998202.00 DnB NOR Bank ASA DnB NOR Bank ASA, 0.24% 2332K4BA1 Financial Company Commercial Paper First Tier Security 2011-07-25 2011-07-25 N N N 329000000.00 329000000.00 0.0028 N 329013160.00 329013160.00 Intesa Funding LLC Intesa Funding LLC, 0.30% 4611K1U52 Financial Company Commercial Paper First Tier Security 2011-07-05 2011-07-05 N N N 268000000.00 267991066.70 0.0023 N 267992924.80 267992924.80 Intesa Funding LLC Intesa Funding LLC, 0.30% 4611K1U60 Financial Company Commercial Paper First Tier Security 2011-07-06 2011-07-06 N N N 357000000.00 356985125.02 0.0030 N 356988683.10 356988683.10 Intesa Funding LLC Intesa Funding LLC, 0.30% 4611K1U78 Financial Company Commercial Paper First Tier Security 2011-07-07 2011-07-07 N N N 547000000.00 546972650.00 0.0047 N 546979815.70 546979815.70 Intesa Funding LLC Intesa Funding LLC, 0.30% 4611K1UF0 Financial Company Commercial Paper First Tier Security 2011-07-15 2011-07-15 N N N 298000000.00 297965233.36 0.0025 N 297975176.60 297975176.60 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 199941444.44 0.0017 N 199969060.00 199969060.00 Natexis Banques Populaires U.S. Finance Co. LLC Natexis Banques Populaires U.S. Finance Co. LLC, 0.35% 6323A1WK8 Financial Company Commercial Paper First Tier Security 2011-09-19 2011-09-19 N N N 1715000000.00 1713666111.42 0.0146 N 1714081617.50 1714081617.50 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 873000000.00 0.0074 N 872997119.10 872997119.10 Royal Bank of Canada Royal Bank of Canada, 0.30% 78009BYP1 Financial Company Commercial Paper First Tier Security 2011-11-23 2011-11-23 N N N 742000000.00 741103416.47 0.0063 N 741587744.80 741587744.80 Skandinaviska Enskilda Banken AB Skandinaviska Enskilda Banken AB, 0.30% 83050UX52 Financial Company Commercial Paper First Tier Security 2011-10-05 2011-10-05 N N N 500000000.00 499599999.90 0.0043 N 499656450.00 499656450.00 Skandinaviska Enskilda Banken AB Skandinaviska Enskilda Banken AB, 0.30% 83050UX60 Financial Company Commercial Paper First Tier Security 2011-10-06 2011-10-06 N N N 30000000.00 29975750.00 0.0003 N 29979174.00 29979174.00 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 364000000.00 0.0031 N 363998798.80 363998798.80 Societe Generale North America, Inc. Societe Generale North America, Inc., 0.28% 83365SW17 Financial Company Commercial Paper First Tier Security 2011-09-01 2011-09-01 N N N 189000000.00 188908860.05 0.0016 N 188929219.50 188929219.50 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.18% 86562LU75 Financial Company Commercial Paper First Tier Security 2011-07-07 2011-07-07 N N N 186000000.00 185994420.00 0.0016 N 185995666.20 185995666.20 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 133886844.45 0.0011 N 133941817.20 133941817.20 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 264756273.62 0.0023 N 264882870.00 264882870.00 Westpac Banking Corp. Westpac Banking Corp., 0.28% 9612C4BJ9 Financial Company Commercial Paper First Tier Security 2011-07-07 2011-10-07 N N N 381000000.00 381000000.00 0.0032 N 380947041.00 380947041.00 Westpac Banking Corp. Westpac Banking Corp., 0.28% 9612C4BG5 Financial Company Commercial Paper First Tier Security 2011-07-19 2011-09-19 N N N 450000000.00 450000000.00 0.0038 N 449971650.00 449971650.00 Westpac Banking Corp. Westpac Banking Corp., 0.28% 9612C4BH3 Financial Company Commercial Paper First Tier Security 2011-07-23 2011-09-23 N N N 450000000.00 450000000.00 0.0038 N 449973000.00 449973000.00 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 358672412.50 0.0031 N 358912691.20 358912691.20 Liberty Street Funding LLC Liberty Street Funding LLC, 0.14% 53127UUU2 Asset Backed Commercial Paper First Tier Security 2011-07-28 2011-07-28 N N Y GUARANTOR BANK OF NOVA SCOTIA N/A N/A LIQUIDITY BANK OF NOVA SCOTIA N/A N/A 126000000.00 125986769.97 0.0011 N 125981578.80 125981578.80 Northern Pines Funding LLC Northern Pines Funding LLC, 0.34% 66560MAB0 Asset Backed Commercial Paper First Tier Security 2011-07-07 2011-12-01 N N Y OBLIGOR DEUTSCHE BK SECS INC N/A N/A LIQUIDITY DEUTSCHE BANK AG LONDON N/A N/A 177000000.00 177000000.00 0.0015 N 176978406.00 176978406.00 Anheuser-Busch InBev Worldwide, Inc. Anheuser-Busch InBev Worldwide, Inc., 0.25% 03523LV51 Other Commercial Paper Second Tier Security 2011-08-05 2011-08-05 N N N 69000000.00 68983229.18 0.0006 N 68980542.00 68980542.00 Anheuser-Busch InBev Worldwide, Inc. Anheuser-Busch InBev Worldwide, Inc., 0.25% 03523LVB8 Other Commercial Paper Second Tier Security 2011-08-11 2011-08-11 N N N 15000000.00 14995729.17 0.0001 Y 14994855.00 14994855.00 Anheuser-Busch InBev Worldwide, Inc. Anheuser-Busch InBev Worldwide, Inc., 0.25% 03523LVB8 Other Commercial Paper Second Tier Security 2011-08-11 2011-08-11 N N N 75000000.00 74978645.83 0.0006 Y 74974275.00 74974275.00 Comcast Corp. Comcast Corp., 0.38% 2003A3V19 Other Commercial Paper Second Tier Security 2011-08-01 2011-08-01 N N N 375000000.00 374877291.67 0.0032 N 374908650.00 374908650.00 Comcast Corp. Comcast Corp., 0.38% 2003A3V19 Other Commercial Paper Second Tier Security 2011-08-01 2011-08-01 N N N 187000000.00 186938809.45 0.0016 N 186954446.80 186954446.80 Devon Energy Corp. Devon Energy Corp., 0.18% 25179LU11 Other Commercial Paper Second Tier Security 2011-07-01 2011-07-01 N N N 70000000.00 70000000.00 0.0006 N 69999650.00 69999650.00 Devon Energy Corp. Devon Energy Corp., 0.18% 25179LU11 Other Commercial Paper Second Tier Security 2011-07-01 2011-07-01 N N N 150000000.00 150000000.00 0.0013 N 149999250.00 149999250.00 Devon Energy Corp. Devon Energy Corp., 0.25% 25179LU11 Other Commercial Paper Second Tier Security 2011-07-01 2011-07-01 N N N 47000000.00 47000000.00 0.0004 N 46999671.00 46999671.00 Devon Energy Corp. Devon Energy Corp., 0.26% 25179LUJ2 Other Commercial Paper Second Tier Security 2011-07-18 2011-07-18 N N N 111000000.00 110986371.69 0.0009 N 110989177.50 110989177.50 Devon Energy Corp. Devon Energy Corp., 0.26% 25179LUM5 Other Commercial Paper Second Tier Security 2011-07-21 2011-07-21 N N N 41000000.00 40994077.78 0.0003 N 40995215.30 40995215.30 Devon Energy Corp. Devon Energy Corp., 0.27% 25179LU11 Other Commercial Paper Second Tier Security 2011-07-01 2011-07-01 N N N 55000000.00 55000000.00 0.0005 N 54999741.50 54999741.50 Devon Energy Corp. Devon Energy Corp., 0.27% 25179LU11 Other Commercial Paper Second Tier Security 2011-07-01 2011-07-01 N N N 100000000.00 100000000.00 0.0009 N 99999530.00 99999530.00 Verizon Communications, Inc. Verizon Communications, Inc., 0.39% 92344PUV6 Other Commercial Paper Second Tier Security 2011-07-01 2011-08-15 Y VERIZON COMMUNICATIONS INC N/A N/A N N 524000000.00 524000000.00 0.0045 N 524257808.00 524257808.00 U.S. Treasury Bills U.S. Treasury Bills, 0.11% 9127953V1 Treasury Debt First Tier Security 2011-12-01 2011-12-01 N N N 750000000.00 749649375.00 0.0064 N 749777250.00 749777250.00 U.S. Treasury Bills U.S. Treasury Bills, 0.11% 9127952T7 Treasury Debt First Tier Security 2011-12-15 2011-12-15 N N N 180000000.00 179908150.03 0.0015 N 179937360.00 179937360.00 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 1789157400.00 1788392833.58 0.0152 N 1789058996.34 1789058996.34 U.S. Treasury Notes U.S. Treasury Notes, 0.12% 912828KA7 Treasury Debt First Tier Security 2011-12-15 2011-12-15 N N N 550000000.00 552507862.39 0.0047 N 552513500.00 552513500.00 U.S. Treasury Notes U.S. Treasury Notes, 0.13% to 0.25% 912828ML1 Treasury Debt First Tier Security 2011-12-31 2011-12-31 N N N 1355000000.00 1360763361.51 0.0116 N 1360875280.00 1360875280.00 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 1712063560.40 0.0146 N 1712269562.00 1712269562.00 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 500695628.30 0.0043 N 500781000.00 500781000.00 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 993000000.00 995487140.23 0.0085 N 995986944.00 995986944.00 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 1470096320.71 0.0125 N 1470966446.00 1470966446.00 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 591394919.70 0.0050 N 591813211.00 591813211.00 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 742822373.81 0.0063 N 743498342.50 743498342.50 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 301022801.64 0.0026 N 301440000.00 301440000.00 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 0.0031 N 368026128.00 368026128.00 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 217500000.00 217500000.00 Royal Bank of Canada Royal Bank of Canada, 0.27% 78008KXS7 Other Note First Tier Security 2011-08-08 2012-07-05 N N N 376000000.00 375862428.67 0.0032 N 376421872.00 376421872.00 Royal Bank of Canada Royal Bank of Canada, 0.30% 78008FBA1 Other Note First Tier Security 2011-07-01 2012-06-29 N N N 1300000000.00 1300000000.00 0.0111 N 1300691600.00 1300691600.00 Royal Bank of Canada Royal Bank of Canada, 0.65% 78008FAM6 Other Note First Tier Security 2011-07-15 2012-07-13 N N N 750000000.00 750000000.00 0.0064 N 750930000.00 750930000.00 Westpac Banking Corp. Westpac Banking Corp., 0.25% 91621CAV3 Other Note First Tier Security 2011-07-25 2012-03-23 N N N 1034000000.00 1034000000.00 0.0088 N 1032376620.00 1032376620.00 Westpac Banking Corp. Westpac Banking Corp., 0.29% 9612E0CB1 Other Note First Tier Security 2011-07-07 2012-04-02 N N N 500000000.00 500000000.00 0.0043 N 499817000.00 499817000.00 Westpac Banking Corp. Westpac Banking Corp., 0.31% 91621CBE0 Other Note First Tier Security 2011-08-11 2012-06-08 N N N 393000000.00 393000000.00 0.0033 N 392998821.00 392998821.00 Westpac Banking Corp. Westpac Banking Corp., 0.32% 91621CBA8 Other Note First Tier Security 2011-07-15 2012-06-14 N N N 801000000.00 801000000.00 0.0068 N 800795745.00 800795745.00 New York City Gen. Oblig. New York City Gen. Oblig., 0.09% Series 2004 H6, LOC Bank of America NA VRDN 64966CH20 Variable Rate Demand Note First Tier Security 2011-07-07 2011-07-07 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., 0.09% (Westport Dev. Proj.) Series 2004 A, LOC Fannie Mae VRDN 64970HBA1 Variable Rate Demand Note First Tier Security 2011-07-07 2011-07-07 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., 0.07% (Clinton Green North Hsg. Proj.) Series 2006 A, LOC Freddie Mac VRDN 64986M2U8 Variable Rate Demand Note First Tier Security 2011-07-07 2011-07-07 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., 0.07% (Tower 31 Hsg. Proj.) Series 2005 A, LOC Freddie Mac VRDN 64986MJ71 Variable Rate Demand Note First Tier Security 2011-07-07 2011-07-07 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., 0.07% (Clinton Green North Hsg. Proj.) Series 2005 A, LOC Freddie Mac VRDN 64986M2T1 Variable Rate Demand Note First Tier Security 2011-07-07 2011-07-07 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., 0.07% (101 West End Hsg. Proj.) Series 1998 A, LOC Fannie Mae VRDN 64986MLC7 Variable Rate Demand Note First Tier Security 2011-07-07 2011-07-07 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., 0.07% (Tribeca Park Proj.) Series 1997 A, LOC Fannie Mae VRDN 64986MDT9 Variable Rate Demand Note First Tier Security 2011-07-07 2011-07-07 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., 0.07% (101 West End Hsg. Proj.) Series 1999 A, LOC Fannie Mae VRDN 64986MLD5 Variable Rate Demand Note First Tier Security 2011-07-07 2011-07-07 Y FANNIE MAE N/A N/A Y FANNIE MAE N/A N/A N 52850000.00 52850000.00 0.0004 N 52850000.00 52850000.00 New York Hsg. Fin. Agcy. Rev. New York Hsg. Fin. Agcy. Rev., 0.07% (66 West 38th Street Hsg. Proj.) Series A, LOC Fannie Mae VRDN 64986MXX8 Variable Rate Demand Note First Tier Security 2011-07-07 2011-07-07 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., 0.09% (55 West 25th Street Hsg. Proj.) Series 2005 A, LOC Fannie Mae VRDN 64986ME68 Variable Rate Demand Note First Tier Security 2011-07-07 2011-07-07 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 Triborough Bridge & Tunnel Auth. Revs. Triborough Bridge & Tunnel Auth. Revs., 0.08% Series 2005 B3, (Liquidity Facility Bank of America NA) VRDN 89602NGX6 Variable Rate Demand Note First Tier Security 2011-07-07 2011-07-07 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., 0.08% Series 2002 F, (Liquidity Facility Royal Bank of Scotland NV) VRDN 89602NCG7 Variable Rate Demand Note First Tier Security 2011-07-07 2011-07-07 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., 0.06% Series 2003 B1, LOC JPMorgan Chase Bank, LOC California Pub. Employees Retirement Sys. VRDN 13063BDA7 Variable Rate Demand Note First Tier Security 2011-07-07 2011-07-07 Y CALIFORNIA TEACHERS RET SYSTEM N/A N/A JPMORGAN CHASE BANK NA 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., 0.07% (Multifamily Hsg. Prog.) Series 2001 G, (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac) VRDN 13033KXN4 Variable Rate Demand Note First Tier Security 2011-07-07 2011-07-07 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 Hsg. Fin. Agcy. Rev. California Hsg. Fin. Agcy. Rev., 0.07% (Multifamily Hsg. Prog.) Series 2005 B, (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac) VRDN 13034PKU0 Variable Rate Demand Note First Tier Security 2011-07-07 2011-07-07 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., 0.07% (Home Mtg. Prog.) Series 2003 D, (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac) VRDN 13034PQQ3 Variable Rate Demand Note First Tier Security 2011-07-07 2011-07-07 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., 0.07% (Home Mtg. Prog.) Series 2001 J, (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac) VRDN 13034PQK6 Variable Rate Demand Note First Tier Security 2011-07-07 2011-07-07 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 Poll. Cont. Fing. Auth. Solid Waste Disp. Rev. California Poll. Cont. Fing. Auth. Solid Waste Disp. Rev., 0.08% (Recology, Inc. Proj.) Series 2010 A, LOC Bank of America NA VRDN 130536PN9 Variable Rate Demand Note First Tier Security 2011-07-07 2011-07-07 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., 0.08% (Hollywood & Vine Apts. Proj.) Series A, LOC Fannie Mae VRDN 544393CH2 Variable Rate Demand Note First Tier Security 2011-07-07 2011-07-07 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., 0.09% (Parker Ranch Proj.) Series A, LOC Fannie Mae VRDN 828905EA3 Variable Rate Demand Note First Tier Security 2011-07-07 2011-07-07 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, 0.19% LOC Wells Fargo Bank NA VRDN 50212RAA7 Variable Rate Demand Note First Tier Security 2011-07-07 2011-07-07 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 0.0015 N 181000000.00 181000000.00 Pennsylvania Hsg. Fin. Agcy. Single Family Mtg. Rev. Pennsylvania Hsg. Fin. Agcy. Single Family Mtg. Rev., 0.09% Series 2004 86B, (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac) VRDN 708793GF5 Variable Rate Demand Note First Tier Security 2011-07-07 2011-07-07 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., 0.09% Series 1997 B, LOC Bank of America NA VRDN 717893TL5 Variable Rate Demand Note First Tier Security 2011-07-07 2011-07-07 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 Michigan Hosp. Fin. Auth. Rev. Michigan Hosp. Fin. Auth. Rev., 0.08% (Henry Ford Health Sys. Proj.) Series 2007, LOC JPMorgan Chase Bank VRDN 59465HGS9 Variable Rate Demand Note First Tier Security 2011-07-07 2011-07-07 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 Gulf Coast Waste Disp. Auth. Solid Waste Disp. Rev. Gulf Coast Waste Disp. Auth. Solid Waste Disp. Rev., 0.11% (Waste Mgmt., Inc. Proj.) Series A, LOC JPMorgan Chase Bank VRDN 402231AX2 Variable Rate Demand Note First Tier Security 2011-07-07 2011-07-07 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 Metropolitan Atlanta Rapid Transit Auth. Sales Tax Rev. Metropolitan Atlanta Rapid Transit Auth. Sales Tax Rev., 0.06% Series 2000 A, LOC JPMorgan Chase Bank VRDN 591745XL3 Variable Rate Demand Note First Tier Security 2011-07-07 2011-07-07 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., 0.09% (Catholic Healthcare West Proj.) Series 2008 B, LOC Bank of America NA VRDN 040507JU0 Variable Rate Demand Note First Tier Security 2011-07-07 2011-07-07 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., 0.09% Series 2006 I, (Liquidity Facility Citibank NA) VRDN 67756QBB2 Variable Rate Demand Note First Tier Security 2011-07-07 2011-07-07 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., 0.10% Participating VRDN Series WF 10 5C, (Liquidity Facility Wells Fargo Bank NA) 94985NUL3 Variable Rate Demand Note First Tier Security 2011-07-07 2011-07-07 Y WELLS FARGO BK NATL ASSN N/A N/A N N 10790000.00 10790000.00 0.0001 N 10790000.00 10790000.00 Freddie Mac Freddie Mac, 0.15% 3134G13Z5 Government Agency Debt First Tier Security 2011-07-10 2012-08-10 N N N 750000000.00 749579489.40 0.0064 N 750672750.00 750672750.00 Straight-A Funding LLC Straight-A Funding LLC, 0.16% (Liquidity Facility Federal Financing Bank) 86257C5N8 Government Agency Debt First Tier Security 2011-09-12 2011-09-12 N N Y LIQUIDITY FEDERAL FINANCING BANK N/A N/A 45025000.00 45011392.44 0.0004 N 45011280.88 45011280.88 Straight-A Funding LLC Straight-A Funding LLC, 0.19% (Liquidity Facility Federal Financing Bank) 86257C3X8 Government Agency Debt First Tier Security 2011-08-05 2011-08-05 N N Y LIQUIDITY FEDERAL FINANCING BANK N/A N/A 250000000.00 249957777.80 0.0021 N 249974325.00 249974325.00 Metropolitan Life Insurance Co. Metropolitan Life Insurance Co., 0.60% 591999DQ7 0000728618 Insurance Company Funding Agreement First Tier Security 2011-07-01 2011-09-28 Y METROPOLITAN LIFE INS CO N/A N/A N N 175000000.00 175000000.00 0.0015 Y 175049875.00 175049875.00 Bank Tokyo-Mitsubishi UFJ Ltd. Bank Tokyo-Mitsubishi UFJ Ltd., 0.10% 05B99WRW0 0000852743 Other Instrument Time Deposits First Tier Security 2011-07-01 2011-07-01 N N N 470000000.00 470000000.00 0.0040 N 470000000.00 470000000.00 GE Equipment Transportation LLC GE Equipment Transportation LLC, 0.29% 36161XAA4 Other Instrument Asset-Backed Securities First Tier Security 2012-07-20 2012-07-20 N N N 50000000.00 50000000.00 0.0004 N 49950995.00 49950995.00 Bank of America NA In a joint trading account with Bank of America NA at 0.05%, dated 6/30/2011 due 07/01/2011 41L993YN0_04197 Government Agency Repurchase Agreement Y GOVERNMENT NATIONAL MORTAGE ASSOC 2034-01-16 2040-04-16 0.375 - 6.5 Government Agency Debt 2845386596.08 2624470903.71 Unrated Security 2011-07-01 2011-07-01 N N N 2548025757.00 2548025756.77 0.0217 N 2548025756.77 2548025756.77 Barclays Capital, Inc. In a joint trading account with Barclays Capital, Inc. at 0.05%, dated 6/30/2011 due 07/01/2011 41L993YN0_06453 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2012-01-25 2041-04-01 0 - 5 Government Agency Debt 120943833.00 110991165.98 US TREASURY 2011-10-31 2020-08-15 0.5 - 4.875 Treasury Debt 671004843.53 691353673.53 FEDERAL NATIONAL MORTGAGE ASSOC 2030-05-01 2041-02-01 4 - 5.5 Government Agency Debt 155595658.07 147428433.73 GOVERNMENT NATIONAL MORTAGE ASSOC 2040-02-20 2040-02-20 4 - 4 Government Agency Debt 10166962.95 8694686.69 Unrated Security 2011-07-01 2011-07-01 N N N 939673849.00 939673848.58 0.0080 N 939673848.58 939673848.58 BNP Paribas Securities Corp. In a joint trading account with BNP Paribas Securities Corp. at 0.05%, dated 6/30/2011 due 07/01/2011 41L993YN0_07629 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2033-09-01 2041-06-01 2.995 - 6.5 Government Agency Debt 128460624.05 87592880.16 FEDERAL HOME LOAN MORTGAGE CORP 2037-11-01 2041-06-01 3.249 - 5.742 Government Agency Debt 40046334.31 40784061.80 US TREASURY 2011-09-30 2016-09-30 0.75 - 4.5 Treasury Debt 146453946.59 151035476.20 GOVERNMENT NATIONAL MORTAGE ASSOC 2039-08-20 2040-12-20 3.5 - 3.5 Government Agency Debt 8282629.76 6476344.17 Unrated Security 2011-07-01 2011-07-01 N N N 280282833.00 280282833.25 0.0024 N 280282833.25 280282833.25 BNP Paribas Securities Corp. BNP Paribas Securities Corp., 0.14% 40Z99LVW0 0001197610 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2013-06-01 2041-06-01 2.475 - 7.5 Government Agency Debt 895767918.00 185992249.63 GOVERNMENT NATIONAL MORTAGE ASSOC 2032-07-20 2039-01-20 1.75 - 5.5 Government Agency Debt 22321199.00 2195938.49 FEDERAL NATIONAL MORTGAGE ASSOC 2013-09-01 2047-07-01 2.03 - 7 Government Agency Debt 1204846610.00 435058472.30 Unrated Security 2011-07-07 2011-07-07 Y BNP PARIBAS SEC CORP(GOV REPO) N/A N/A N N 611000000.00 611000000.00 0.0052 N 611000000.00 611000000.00 BNP Paribas Securities Corp. BNP Paribas Securities Corp., 0.14% 40Z99LXH1 0001197610 Government Agency Repurchase Agreement Y GOVERNMENT NATIONAL MORTAGE ASSOC 2039-12-16 2039-12-16 2.5 - 2.5 Government Agency Debt 11317991.00 10738473.76 FEDERAL NATIONAL MORTGAGE ASSOC 2021-06-25 2038-10-25 4 - 5 Government Agency Debt 221713205.00 199388880.64 Unrated Security 2011-07-07 2011-07-07 Y BNP PARIBAS SEC CORP(GOV REPO) N/A N/A N N 204000000.00 204000000.00 0.0017 N 204000000.00 204000000.00 Citibank NA In a joint trading account with Citibank NA at 0.05%, dated 6/30/2011 due 07/01/2011 41L993YN0_26602 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2013-12-01 2050-01-01 3.5 - 7 Government Agency Debt 52526455.49 26949863.62 FEDERAL HOME LOAN MORTGAGE CORP 2018-09-01 2041-06-01 3.5 - 6.5 Government Agency Debt 48715175.81 16366670.51 Unrated Security 2011-07-01 2011-07-01 N N N 42467096.00 42467095.95 0.0004 N 42467095.95 42467095.95 Citigroup Global Markets, Inc. In a joint trading account with Citigroup Global Markets, Inc. at 0.05%, dated 6/30/2011 due 07/01/2011 41L993YN0_69850 Government Agency Repurchase Agreement Y GOVERNMENT NATIONAL MORTAGE ASSOC 2041-01-20 2041-01-20 4 - 4 Government Agency Debt 15839311.71 15999532.15 FEDERAL HOME LOAN MORTGAGE CORP 2026-05-01 2040-08-01 3.5 - 4.5 Government Agency Debt 81254015.44 83038691.24 FEDERAL NATIONAL MORTGAGE ASSOC 2025-11-01 2041-06-01 3.5 - 6 Government Agency Debt 268427565.52 247494049.69 Unrated Security 2011-07-01 2011-07-01 N N N 339736768.00 339736767.57 0.0029 N 339736767.57 339736767.57 Credit Agricole Securities (USA), Inc. In a joint trading account with Credit Agricole Securities (USA), Inc. at 0.05%, dated 6/30/2011 due 07/01/2011 41L993YN0_05222 Government Agency Repurchase Agreement Y US TREASURY 2017-08-31 2017-08-31 1.875 - 1.875 Treasury Debt 3915636.11 3864721.23 FEDERAL HOME LOAN BANK 2012-05-18 2012-05-18 1.125 - 1.125 Government Agency Debt 25980519.96 26215968.42 FEDERAL NATIONAL MORTGAGE ASSOC 2011-11-09 2015-10-26 0 - 1.625 Government Agency Debt 63743111.02 63771811.16 FEDERAL HOME LOAN MORTGAGE CORP 2011-11-07 2032-07-15 0 - 6.25 Government Agency Debt 77135194.66 79413523.54 Unrated Security 2011-07-01 2011-07-01 N N N 169868384.00 169868383.78 0.0014 N 169868383.78 169868383.78 Deutsche Bank Securities, Inc. In a joint trading account with Deutsche Bank Securities, Inc. at 0.05%, dated 6/30/2011 due 07/01/2011 41L993YN0_06399 Government Agency Repurchase Agreement Y GOVERNMENT NATIONAL MORTAGE ASSOC 2022-12-16 2052-10-16 0.486 - 7 Government Agency Debt 656453120.91 440878655.99 FEDERAL NATIONAL MORTGAGE ASSOC 2011-09-25 2041-07-25 0.697 - 7 Government Agency Debt 363746360.22 215239252.22 Unrated Security 2011-07-01 2011-07-01 N N N 637006439.00 637006439.19 0.0054 N 637006439.19 637006439.19 HSBC Securities (USA), Inc. In a joint trading account with HSBC Securities (USA), Inc. at 0.05%, dated 6/30/2011 due 07/01/2011 41L993YN0_39304 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2011-07-18 2032-07-15 0.5 - 6.75 Government Agency Debt 58377987.98 62083550.69 FEDERAL HOME LOAN BANK 2011-08-19 2036-07-15 0.23 - 5.5 Government Agency Debt 77189042.93 71027303.84 FEDERAL FARM CREDIT 2013-06-12 2021-03-18 0.75 - 5.125 Government Agency Debt 25496395.06 25813469.50 US TREASURY 2011-07-21 2022-08-15 0 - 9.875 Treasury Debt 882950225.77 900982883.12 FINANCE CORPORATION 2011-08-08 2019-09-26 0 - 10.7 Government Agency Debt 6386541.63 5096422.23 TENNESEE VALLEY AUTHORITY 2011-07-15 2038-01-15 0 - 6.25 Government Agency Debt 1476326.12 1192420.43 RESOLUTION FUNDING CORP 2014-01-15 2030-04-15 0 - 9.375 Government Agency Debt 54483925.15 40394079.75 FEDERAL NATIONAL MORTGAGE ASSOC 2012-01-09 2036-04-18 0 - 7.25 Government Agency Debt 65189030.70 54291799.90 Unrated Security 2011-07-01 2011-07-01 N N N 1138118171.00 1138118171.36 0.0097 N 1138118171.36 1138118171.36 ING Financial Markets LLC In a joint trading account with ING Financial Markets LLC at 0.05%, dated 6/30/2011 due 07/01/2011 41L993YN0_40488 Government Agency Repurchase Agreement Y US TREASURY 2011-12-15 2021-05-15 0 - 8.125 Treasury Debt 39752225.46 46673954.92 FEDERAL AGRICULTURE MORTGAGE CORP 2016-05-02 2026-03-09 2.55 - 4.94 Government Agency Debt 4791987.11 4922921.88 FEDERAL FARM CREDIT 2018-09-27 2028-04-21 3 - 5.5 Government Agency Debt 777657.46 775980.60 FEDERAL HOME LOAN BANK 2020-11-30 2020-11-30 3.25 - 3.25 Government Agency Debt 118907.87 115571.12 FEDERAL HOME LOAN MORTGAGE CORP 2020-04-15 2041-04-15 0.545 - 8 Government Agency Debt 59831325.48 23165770.62 FEDERAL NATIONAL MORTGAGE ASSOC 2019-06-01 2041-02-01 2.41 - 8 Government Agency Debt 123855363.47 87476340.58 GOVERNMENT NATIONAL MORTAGE ASSOC 2033-02-15 2039-05-16 4 - 6 Government Agency Debt 1901797.16 1768230.70 Unrated Security 2011-07-01 2011-07-01 N N N 161374965.00 161374964.60 0.0014 N 161374964.60 161374964.60 ING Financial Markets LLC ING Financial Markets LLC, 0.12% 41P99GDH3 0000877559 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2014-07-01 2040-12-01 1.432 - 6.268 Government Agency Debt 209236275.00 82641146.17 Unrated Security 2011-07-07 2011-07-07 Y ING FINL MKTS LLC (GOV RP JPM) N/A N/A N N 81000000.00 81000000.00 0.0007 N 81000000.00 81000000.00 ING Financial Markets LLC ING Financial Markets LLC, 0.15% 41P99GBM4 0000877559 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2018-08-01 2040-11-01 1.877 - 6.02 Government Agency Debt 556411499.00 165150072.22 GOVERNMENT NATIONAL MORTAGE ASSOC 2040-04-20 2040-04-20 0.863 - 0.863 Government Agency Debt 145000.00 123592.99 Unrated Security 2011-07-07 2011-07-07 Y ING FINL MKTS LLC (GOV RP JPM) N/A N/A N N 162000000.00 162000000.00 0.0014 N 162000000.00 162000000.00 ING Financial Markets LLC ING Financial Markets LLC, 0.15% 41P99GCL5 0000877559 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2024-09-01 2040-12-01 2.241 - 6.383 Government Agency Debt 410141790.00 164144490.99 GOVERNMENT NATIONAL MORTAGE ASSOC 2040-04-20 2040-04-20 0.863 - 0.863 Government Agency Debt 120000.00 102283.85 Unrated Security 2011-07-07 2011-07-07 Y ING FINL MKTS LLC (GOV RP JPM) N/A N/A N N 161000000.00 161000000.00 0.0014 N 161000000.00 161000000.00 ING Financial Markets LLC ING Financial Markets LLC, 0.20% 38B99S7N2 0000877559 Government Agency Repurchase Agreement Y GOVERNMENT NATIONAL MORTAGE ASSOC 2040-04-20 2040-04-20 0.863 - 0.863 Government Agency Debt 255000.00 217353.19 FEDERAL NATIONAL MORTGAGE ASSOC 2025-08-25 2040-02-25 3.774 - 4.5 Government Agency Debt 260580000.00 189509803.83 FEDERAL HOME LOAN MORTGAGE CORP 2036-01-25 2036-01-25 3.072 - 3.072 Government Agency Debt 1915000.00 915320.55 Unrated Security 2011-07-07 2011-07-07 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 J.P. Morgan Securities, Inc. In a joint trading account with J.P. Morgan Securities, Inc. at 0.05%, dated 6/30/2011 due 07/01/2011 41L993YN0_55502 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2014-02-01 2049-07-25 0 - 7 Government Agency Debt 843835810.40 558118887.61 FEDERAL HOME LOAN MORTGAGE CORP 2022-10-15 2041-04-15 0 - 6.463 Government Agency Debt 120355823.87 43695019.49 GOVERNMENT NATIONAL MORTAGE ASSOC 2032-03-16 2048-09-16 2.535 - 5.5 Government Agency Debt 160446599.06 5466105.65 Unrated Security 2011-07-01 2011-07-01 N N N 594539343.00 594539343.25 0.0051 N 594539343.25 594539343.25 Merrill Lynch, Pierce, Fenner & Smith, Inc. In a joint trading account with Merrill Lynch, Pierce, Fenner & Smith, Inc. at 0.05%, dated 6/30/2011 due 07/01/2011 41L993YN0_53651 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2034-01-01 2041-07-01 3.331 - 5.5 Government Agency Debt 126379369.26 75363455.57 FEDERAL NATIONAL MORTGAGE ASSOC 2025-09-01 2041-03-01 2.869 - 5.5 Government Agency Debt 370319625.49 334443500.87 Unrated Security 2011-07-01 2011-07-01 N N N 404612391.00 404612391.10 0.0034 N 404612391.10 404612391.10 Mizuho Securities USA, Inc. Mizuho Securities USA, Inc., 0.13% 40W995JN2 0000812291 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN BANK 2014-05-28 2014-05-28 1.375 - 1.375 Government Agency Debt 1305000.00 1324538.75 FEDERAL HOME LOAN MORTGAGE CORP 2020-10-01 2026-02-01 3.5 - 3.5 Government Agency Debt 6915205.00 6783757.51 FEDERAL NATIONAL MORTGAGE ASSOC 2016-02-04 2031-02-01 0.303 - 4.5 Government Agency Debt 160598974.00 160345798.73 GOVERNMENT NATIONAL MORTAGE ASSOC 2040-08-15 2041-05-15 4.5 - 5 Government Agency Debt 198556209.00 196745758.17 First Tier Security 2011-07-07 2011-07-07 Y MIZUHO SECS USA INC (GOV REPO) N/A N/A N N 358000000.00 358000000.00 0.0030 N 358000000.00 358000000.00 Morgan Stanley & Co., Inc. Morgan Stanley & Co., Inc., 0.13% 38W99BFU1 0000068136 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2026-04-01 2041-06-01 4 - 5.5 Government Agency Debt 316198182.00 331535913.46 First Tier Security 2011-07-06 2011-07-06 Y MORGAN STAN & CO INC(GOV REPO) N/A N/A N N 325000000.00 325000000.00 0.0028 N 325000000.00 325000000.00 Morgan Stanley & Co., Inc. Morgan Stanley & Co., Inc., 0.15% 38W99BGJ5 0000068136 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2024-06-01 2041-04-01 4.5 - 5.5 Government Agency Debt 1773000.00 465170.16 FEDERAL HOME LOAN MORTGAGE CORP 2038-09-01 2041-06-01 4.5 - 6 Government Agency Debt 223810540.00 240268872.05 First Tier Security 2011-07-07 2011-07-07 Y MORGAN STAN & CO INC(GOV REPO) N/A N/A N N 236000000.00 236000000.00 0.0020 N 236000000.00 236000000.00 RBC Capital Markets Corp. In a joint trading account with RBC Capital Markets Corp. at 0.05%, dated 6/30/2011 due 07/01/2011 41L993YN0_07160 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2014-04-01 2041-06-01 0 - 7.2 Government Agency Debt 583055531.64 245036442.89 FEDERAL HOME LOAN MORTGAGE CORP 2020-04-15 2041-06-15 1.541 - 10 Government Agency Debt 76173409.55 60143313.18 FEDERAL HOME LOAN BANK 2029-09-28 2029-09-28 5 - 5 Government Agency Debt 138442.73 148133.42 GOVERNMENT NATIONAL MORTAGE ASSOC 2023-06-16 2061-05-20 3 - 5 Government Agency Debt 40640259.83 41558765.14 Unrated Security 2011-07-01 2011-07-01 N N N 339736768.00 339736767.57 0.0029 N 339736767.57 339736767.57 RBS Securities, Inc. In a joint trading account with RBS Securities, Inc. at 0.05%, dated 6/30/2011 due 07/01/2011 41L993YN0_32466 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2021-01-01 2041-07-01 3.5 - 6.5 Government Agency Debt 213673949.51 173266036.53 Unrated Security 2011-07-01 2011-07-01 N N N 169868384.00 169868383.78 0.0014 N 169868383.78 169868383.78 Societe Generale In a joint trading account with Societe Generale at 0.05%, dated 6/30/2011 due 07/01/2011 41L993YN0_74037 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2023-02-15 2039-03-15 3.5 - 5 Government Agency Debt 33368901.82 29357511.48 GOVERNMENT NATIONAL MORTAGE ASSOC 2021-09-20 2039-11-20 0.586 - 5 Government Agency Debt 59124901.13 28021293.38 FEDERAL NATIONAL MORTGAGE ASSOC 2030-09-01 2040-11-01 0.894 - 5 Government Agency Debt 36988729.14 29908544.14 Unrated Security 2011-07-01 2011-07-01 N N N 84934192.00 84934191.89 0.0007 N 84934191.89 84934191.89 UBS Securities LLC In a joint trading account with UBS Securities LLC at 0.05%, dated 6/30/2011 due 07/01/2011 41L993YN0_06042 Government Agency Repurchase Agreement Y BANK AMER CORP MEDIUM TERM NTS SER L BOOK ENTRY 2011-12-02 2012-06-15 0.276 - 3.125 Other Instrument CORPORATE 3136623.32 3210561.43 CITIGROUP INC FDIC GTD TLGP 2011-12-09 2011-12-09 2.875 - 2.875 Other Instrument CORPORATE 3913782.02 3966684.94 CITIGROUP FDG INC FDIC GTD TLGP 2012-11-15 2012-11-15 1.875 - 1.875 Other Instrument CORPORATE 418633.30 427296.40 BANCO BILBAO VIZCAYA ARGENTARIA PUERTO RICO FDIC 2012-06-22 2012-06-22 2.45 - 2.45 Other Instrument CORPORATE 1172702.58 1197404.91 GOVERNMENT NATIONAL MORTAGE ASSOC 2020-02-20 2041-06-20 0.49 - 7 Government Agency Debt 16057821.52 15791441.25 FEDERAL NATIONAL MORTGAGE ASSOC 2013-06-25 2041-04-25 0.426 - 9.25 Government Agency Debt 204100687.68 106141392.23 FEDERAL HOME LOAN MORTGAGE CORP 2016-08-15 2041-05-15 0.498 - 238 Government Agency Debt 185601152.17 82813123.55 US TREASURY 2018-06-30 2021-02-15 2.375 - 3.625 Treasury Debt 159125716.36 162206283.31 CITIBANK N A FDIC GTD TLGP 2012-12-28 2012-12-28 1.75 - 1.75 Other Instrument CORPORATE 2069719.76 2108376.37 KEYCORP MEDIUM TERM SR NTS BOOK ENTRY FDIC GTD T 2011-12-19 2011-12-19 6.185 - 6.185 Other Instrument CORPORATE 1389884.80 1394872.51 GMAC LLC FORMERLY GMAC LLC 06/30/2009 2012-12-19 2012-12-19 2.2 - 2.2 Other Instrument CORPORATE 1991002.03 2041796.91 GMAC INC FDIC GTD TLGP 2012-10-30 2012-10-30 1.75 - 1.75 Other Instrument CORPORATE 1993228.39 2032687.67 Unrated Security 2011-07-01 2011-07-01 N N N 373710444.00 373710444.33 0.0032 N 373710444.33 373710444.33 Wells Fargo Securities LLC In a joint trading account with Wells Fargo Securities LLC at 0.05%, dated 6/30/2011 due 07/01/2011 41L993YN0_08395 Government Agency Repurchase Agreement Y FINANCE CORPORATION 2011-09-26 2019-09-26 0 - 9.65 Government Agency Debt 1728750.54 1516641.87 FEDERAL HOME LOAN MORTGAGE CORP 2011-09-15 2040-12-15 0 - 5 Government Agency Debt 235357495.82 212651173.31 FEDERAL FARM CREDIT 2011-10-17 2011-10-17 0 - 0 Government Agency Debt 339.74 338.99 FEDERAL AGRICULTURE MORTGAGE CORP 2012-04-03 2012-04-03 0 - 0 Government Agency Debt 764407.73 763521.01 FEDERAL NATIONAL MORTGAGE ASSOC 2011-08-10 2040-11-01 0 - 6.16 Government Agency Debt 286355264.96 209004228.28 GOVERNMENT NATIONAL MORTAGE ASSOC 2036-01-20 2039-09-16 3 - 4.5 Government Agency Debt 37114803.75 33894365.30 TENNESEE VALLEY AUTHORITY 2011-10-15 2038-01-15 0 - 0 Government Agency Debt 953641.11 653553.53 RESOLUTION FUNDING CORP 2011-10-15 2030-04-15 0 - 8.875 Government Agency Debt 2144418.48 1689613.25 Unrated Security 2011-07-01 2011-07-01 N N N 450151217.00 450151217.03 0.0038 N 450151217.03 450151217.03 Wells Fargo Securities, LLC Wells Fargo Securities, LLC, 0.20% 37V99J8Y7 0000276523 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2026-05-01 2041-06-01 4 - 4.5 Government Agency Debt 167622174.00 174489768.69 Unrated Security 2011-07-07 2011-07-07 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% 42K992BV8 0000851376 Other Repurchase Agreement N 51-100 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 26877838.00 321860063.99 Unrated Security 2011-07-01 2011-07-01 Y BARCLAYS CAPITAL(NON GOV REPO) N/A N/A N N 298000000.00 298000000.00 0.0025 N 298000000.00 298000000.00 Barclays Capital, Inc. Barclays Capital, Inc., 0.32% 42K992DE4 0000851376 Other Repurchase Agreement N 501-1000 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 15292986.00 264607059.71 Unrated Security 2011-07-05 2011-07-05 Y BARCLAYS CAPITAL(NON GOV REPO) N/A N/A N N 245000000.00 245000000.00 0.0021 N 245000000.00 245000000.00 Barclays Capital, Inc. Barclays Capital, Inc., 0.40% 41K9902X0 0000851376 Other Repurchase Agreement N ARGENT MORTGAGE LOAN TRUST 2036-01-25 2036-01-25 0.416 - 0.416 Other Instrument ASSET BACKED 47137000.00 15202217.48 CITIGROUP MTG LN TR 2007-10 2037-09-25 2037-09-25 N/A Other Instrument MORTGAGE 30692191.00 12748986.42 MERRILL LYNCH HOME EQUITY LOAN TRUST 2037-03-25 2037-03-25 0.296 - 0.296 Other Instrument ASSET BACKED 88000000.00 26266063.77 MERRILL LYNCH FIRST FRANKLIN MORTGAGE LOAN TRUST 2037-10-25 2037-10-25 1.186 - 1.186 Other Instrument ASSET BACKED 14695774.00 8289411.36 NEW CENTURY MORTGAGE CORP HOME EQUITY LOAN TRUST 2036-02-25 2036-02-25 0.516 - 0.516 Other Instrument ASSET BACKED 11859964.00 7400581.96 WAMU MORTGAGE PASS-THROUGH CERTIFICATES 2037-03-25 2037-03-25 5.45 - 5.45 Other Instrument MORTGAGE 82500000.00 39619434.21 PARK PLACE ASSET-BACKED PASS-THROUGH CERTIFICATES 2035-09-25 2035-09-25 0.656 - 0.656 Other Instrument ASSET BACKED 14031643.00 8470089.04 RALI 2036-12-25 2036-12-25 0.344 - 0.344 Other Instrument MORTGAGE 63090060.00 47725238.51 ROSETON-DANSKAMMER 2001 PASS THRU TR 2016-11-08 2016-11-08 7.67 - 7.67 Other Instrument ASSET BACKED 24970000.00 22499939.87 SASCO MORTGAGE LOAN TRUST 2036-12-25 2036-12-25 0.356 - 0.356 Other Instrument ASSET BACKED 60880000.00 28112131.44 NOVASTAR MORTGAGE FUNDING TRUST 2036-09-25 2036-09-25 0.336 - 0.336 Other Instrument ASSET BACKED 44262000.00 15925246.29 Unrated Security 2011-07-07 2011-07-07 Y BARCLAYS CAPITAL(NON GOV REPO) N/A N/A N N 215000000.00 215000000.00 0.0018 N 215000000.00 215000000.00 Barclays Capital, Inc. Barclays Capital, Inc., 0.47% 42K992EM5 0000851376 Other Repurchase Agreement N CONVERGYS CORP 2029-09-15 2029-09-15 N/A Other Instrument EQUITY 12055000.00 17516166.13 VIRGIN MEDIA INC 2016-11-15 2016-11-15 6.5 - 6.5 Other Instrument EQUITY 9477000.00 17573911.87 RTI INTL METALS INC 2015-12-01 2015-12-01 3 - 3 Other Instrument EQUITY 10552000.00 13452920.67 MICROCHIP TECHNOLOGY INC 2037-12-15 2037-12-15 2.125 - 2.125 Other Instrument EQUITY 4063000.00 5458174.95 Unrated Security 2011-07-01 2011-07-01 N N N 50000000.00 50000000.00 0.0004 N 50000000.00 50000000.00 Barclays Capital, Inc. Barclays Capital, Inc., 1.00% 38N99NAP1 0000851376 Other Repurchase Agreement N 51-100 2021-02-25 2047-08-25 0 - 39.756 Other Instrument MORTGAGE 1886287643.00 418234640.01 Unrated Security 2011-08-24 2011-08-24 Y BARCLAYS CAPITAL(NON GOV REPO) N/A N/A N N 384000000.00 384000000.00 0.0033 Y 384000000.00 384000000.00 Barclays Capital, Inc. Barclays Capital, Inc., 1.00% 38N99NJG2 0000851376 Other Repurchase Agreement N 101-500 2014-06-20 2048-05-25 0 - 11.69 Other Instrument MORTGAGE 5003710653.00 414768022.70 Unrated Security 2011-09-08 2011-09-08 Y BARCLAYS CAPITAL(NON GOV REPO) N/A N/A N N 381000000.00 381000000.00 0.0032 Y 381000000.00 381000000.00 Barclays Capital, Inc. 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Deutsche Bank Securities, Inc., 0.37% 41J99MDP9 0000058056 Other Repurchase Agreement N 51-100 2011-12-22 2052-11-25 0 - 8.86 Other Instrument MORTGAGE 8926891876.00 99226340.69 First Tier Security 2011-07-07 2011-07-07 Y DEUTSCHE BC SEC INC(NON GOV) N/A N/A N N 91000000.00 91000000.00 0.0008 N 91000000.00 91000000.00 Goldman Sachs & Co. Goldman Sachs & Co., 0.23% 40M99HKL9 0000769993 Other Repurchase Agreement N FEDERAL HOME LOAN MORTGAGE CORP 2033-09-15 2033-09-15 6.363 - 6.363 Government Agency Debt 98557362.00 7653019.51 GOVERNMENT NATIONAL MORTAGE ASSOC 2034-12-16 2040-04-20 1.016 - 4 Government Agency Debt 266685580.00 253175835.04 FEDERAL NATIONAL MORTGAGE ASSOC 2041-06-25 2041-06-25 5.724 - 5.724 Government Agency Debt 210000000.00 31694884.02 First Tier Security 2011-07-06 2011-07-06 Y GOLDMAN SACHS&CO(NON GOV REPO) N/A N/A N N 284000000.00 284000000.00 0.0024 N 284000000.00 284000000.00 HSBC Securities, Inc. HSBC Securities, Inc., 0.17% 34X99V2A3 0000853784 Other Repurchase Agreement N FLORIDA POWER COMPANY 2037-09-15 2040-04-01 5.65 - 6.35 Other Instrument CORPORATE 13750000.00 15033478.88 LOWE'S COMPANIES, INC. 2012-09-15 2037-09-15 2.125 - 6.65 Other Instrument CORPORATE 3740000.00 3796030.61 MORGAN STANLEY GROUP INC. 2020-07-24 2020-07-24 5.5 - 5.5 Other Instrument CORPORATE 585000.00 607995.08 MORGAN STANLEY 2016-04-29 2016-04-29 3.8 - 3.8 Other Instrument CORPORATE 2305000.00 2299719.05 PNC FUNDING CORP 2020-02-08 2020-08-11 4.375 - 5.125 Other Instrument CORPORATE 2530000.00 2681879.33 PHILLIP MORRIS INTERNATIONAL I 2020-03-26 2020-03-26 4.5 - 4.5 Other Instrument CORPORATE 3705000.00 3909182.47 SBC COMMUNICATIONS INC. 2012-02-01 2012-02-01 5.875 - 5.875 Other Instrument CORPORATE 14688000.00 15487994.99 TARGET CORPORATION 2013-06-15 2013-06-15 4 - 4 Other Instrument CORPORATE 30000.00 31940.00 UNION BANK OF CA NA 2013-12-16 2013-12-16 2.125 - 2.125 Other Instrument CORPORATE 400000.00 402710.58 VERIZON COMMUNICATIONS 2038-04-15 2038-04-15 6.9 - 6.9 Other Instrument CORPORATE 520000.00 604470.51 WISCONSIN ELECTRIC POWER COMPA 2036-12-01 2036-12-01 5.7 - 5.7 Other Instrument CORPORATE 80000.00 85300.13 GENERAL DYNAMICS CORP 2014-02-01 2014-02-01 5.25 - 5.25 Other Instrument CORPORATE 12116000.00 13452970.42 GEORGIA POWER COMPANY 2017-06-01 2039-02-01 5.7 - 5.95 Other Instrument CORPORATE 1585000.00 1788529.11 E.I.DU PONT DE NEMOURS 2016-04-01 2016-04-01 2.75 - 2.75 Other Instrument CORPORATE 3055000.00 3145265.65 WALT DISNEY COMPANY SR. NOTES 2013-12-15 2013-12-15 4.5 - 4.5 Other Instrument CORPORATE 3795000.00 4122090.99 DANAHER CORP. 2014-06-23 2014-06-23 1.3 - 1.3 Other Instrument CORPORATE 1240000.00 1240276.27 CONOCOPHILLIPS AUSTRALIA FUNDI 2013-04-15 2013-04-15 5.5 - 5.5 Other Instrument CORPORATE 1245000.00 1360546.42 CONOCOPHILLIPS 2012-10-15 2039-02-01 4.6 - 6.5 Other Instrument CORPORATE 2392000.00 2734327.01 CONOCO INC. 2029-04-15 2029-04-15 6.95 - 6.95 Other Instrument CORPORATE 1306000.00 1602055.96 CITIGROUP, INC. 2020-08-09 2038-03-05 5.375 - 6.875 Other Instrument CORPORATE 140000.00 156819.45 CATERPLR FIN.SRV.CO. 2013-12-20 2013-12-20 1.55 - 1.55 Other Instrument CORPORATE 16694000.00 16840248.98 BOEING COMPANY 2013-02-15 2013-02-15 5.125 - 5.125 Other Instrument CORPORATE 2755000.00 2993910.29 BOEING CAPITAL CORPORATION 2012-02-15 2012-02-15 6.5 - 6.5 Other Instrument CORPORATE 3200000.00 3395183.94 BELLSOUTH CAPITAL FUNDING CORP 2046-07-15 2046-07-15 7.12 - 7.12 Other Instrument CORPORATE 30000000.00 33298602.10 BAXTER INTERNATIONAL 2014-03-01 2019-08-15 4 - 4.5 Other Instrument CORPORATE 4445000.00 4813837.99 BARCLAYS BANK PLC 2021-06-12 2021-06-12 10.179 - 10.179 Other Instrument CORPORATE 14000000.00 17586932.90 AMEX CENTURION BK 2012-10-17 2012-10-17 5.55 - 5.55 Other Instrument CORPORATE 500000.00 533467.11 AMERICAN EXPRESS COMPANY 2011-09-12 2011-09-12 5.25 - 5.25 Other Instrument CORPORATE 5000.00 5122.50 AMER EXP BANK, FSB 2012-10-17 2012-10-17 5.55 - 5.55 Other Instrument CORPORATE 2291000.00 2441917.84 FINANCE CORPORATION 2011-12-27 2019-06-06 0 - 11 Government Agency Debt 61111000.00 52022235.53 First Tier Security 2011-07-01 2011-07-01 N N N 200000000.00 200000000.00 0.0017 N 200000000.00 200000000.00 ING Financial Markets LLC ING Financial Markets LLC, 0.29% 36N99SNQ8 0000877559 Other Repurchase Agreement N AT & T INC 2038-05-15 2038-05-15 6.4 - 6.4 Other Instrument CORPORATE 6205000.00 6672237.10 QUEST DIAGNOSTICS 2017-07-01 2017-07-01 6.4 - 6.4 Other Instrument CORPORATE 2400000.00 2855117.23 QWEST CORP 2012-03-15 2012-03-15 8.875 - 8.875 Other Instrument CORPORATE 1514000.00 1632675.42 REPUBLIC SERVICES, INC. 2023-05-15 2023-05-15 4.75 - 4.75 Other Instrument CORPORATE 5000000.00 5007296.20 ROYAL BANK OF SCOTLAND GROUP P 2013-11-12 2013-11-12 5 - 5 Other Instrument CORPORATE 3000000.00 3030499.94 STATE STREET BANK & TRUST COMP 2015-12-08 2015-12-08 0.452 - 0.452 Other Instrument CORPORATE 2485000.00 2397269.68 U.S.WEST COMMUNICATIONS, INC. 2033-09-15 2033-09-15 6.875 - 6.875 Other Instrument CORPORATE 1570000.00 1544569.27 UNITEDHEALTH GROUP INC COM 2041-02-15 2041-02-15 5.95 - 5.95 Other Instrument CORPORATE 2825000.00 2947723.68 VALE OVERSEAS LIMITED 2019-09-15 2039-11-10 5.625 - 6.875 Other Instrument CORPORATE 5318000.00 5775702.97 VALERO ENERGY CORP NEW 2012-04-15 2012-04-15 6.875 - 6.875 Other Instrument CORPORATE 200000.00 212012.58 XEROX CORPORATION 2014-05-16 2014-05-16 1.081 - 1.081 Other Instrument CORPORATE 6385000.00 6436530.71 NEXEN INC 2039-07-30 2039-07-30 7.5 - 7.5 Other Instrument CORPORATE 4775000.00 5498317.38 MORGAN STANLEY DEAN WITTER 2014-04-01 2014-04-01 4.75 - 4.75 Other Instrument CORPORATE 1000000.00 1054683.09 MORGAN STANLEY GROUP INC. 2017-01-09 2017-01-09 5.45 - 5.45 Other Instrument CORPORATE 990000.00 1065514.72 HAWAIIAN ELECT IND. 2013-03-07 2013-03-07 5.25 - 5.25 Other Instrument CORPORATE 1155000.00 1236299.47 HSBC HOLDINGS PLC 2021-04-05 2021-04-05 5.1 - 5.1 Other Instrument CORPORATE 2100000.00 2174049.43 COVIDIEN INTERNATIONAL FINANCE 2017-10-15 2017-10-15 6 - 6 Other Instrument CORPORATE 1000000.00 1182320.00 CITIGROUP, INC. 2014-09-15 2014-09-15 5 - 5 Other Instrument CORPORATE 5388000.00 5710058.68 CISCO SYSTEMS, INC. 2040-01-15 2040-01-15 5.5 - 5.5 Other Instrument CORPORATE 25020000.00 25625193.75 CINGULAR WIRELESS 2031-12-15 2031-12-15 7.125 - 7.125 Other Instrument CORPORATE 5540000.00 6725054.70 CANADIAN NATURAL RESO 2032-01-15 2032-01-15 7.2 - 7.2 Other Instrument CORPORATE 3200000.00 3935680.01 CSX CORP 2017-05-01 2017-05-01 7.9 - 7.9 Other Instrument CORPORATE 1000000.00 1245787.14 BURLINGTON NORTHERN SANTA FE, 2021-06-01 2021-06-01 4.1 - 4.1 Other Instrument CORPORATE 1000000.00 998339.41 BOSTON PROPERTIES LIMITED PART 2021-05-15 2021-05-15 4.125 - 4.125 Other Instrument CORPORATE 915000.00 883947.17 ASPEN INSURANCE HOLDINGS LTD 2014-08-15 2014-08-15 6 - 6 Other Instrument CORPORATE 5000000.00 5521299.84 ARCELORMITTAL CLASS A N.Y. REG 2015-08-05 2015-08-05 3.75 - 3.75 Other Instrument CORPORATE 4925000.00 5102221.98 APACHE FINANCE CANADA CORP. 2015-05-15 2015-05-15 4.375 - 4.375 Other Instrument CORPORATE 1000000.00 1089218.74 ABBOTT LABORATORIES 2017-11-30 2017-11-30 5.6 - 5.6 Other Instrument CORPORATE 37800000.00 44026287.53 PACIFICORP 2021-06-15 2021-06-15 3.85 - 3.85 Other Instrument CORPORATE 9500000.00 9510766.57 PHILLIP MORRIS INTERNATIONAL I 2020-03-26 2020-03-26 4.5 - 4.5 Other Instrument CORPORATE 1600000.00 1688175.96 Unrated Security 2011-07-07 2011-07-07 Y ING FINL MKTS LLC(NONGOV REPO) N/A N/A N N 155000000.00 155000000.00 0.0013 N 155000000.00 155000000.00 J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp., 0.42% 42K99VCR2 Other Repurchase Agreement N 51-100 2011-06-30 2011-06-30 N/A Other Instrument CORPORATE 1246425034.00 1785890400.64 Unrated Security 2011-07-01 2011-07-01 N N N 1643000000.00 1643000000.00 0.0140 N 1643000000.00 1643000000.00 J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp., 0.55% 40W996RY7 Other Repurchase Agreement N FREEPORT-MCMORAN COPPER & GOLD 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 291128.00 15028027.36 FIRST HORIZON NATIONAL CORPORA 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 2113636.00 20142951.08 FIFTH THIRD BANCORP 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 2443338.00 31054825.98 EATON CORPORATION 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 419160.00 21020874.00 EXXON MOBIL CORPORATION CO 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 718771.00 57681372.75 FAMILY DLR STORES INC 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 1179681.00 63042152.64 CITIGROUP, INC. 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 1060652.00 44017058.00 BANK OF AMERICA CORPORATION 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 22405821.00 249600845.94 ASSURANT, INC. 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 3440.00 124356.00 MACY'S INC 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 1149770.00 33067385.20 LIFE TECHNOLOGIES CORPORATION 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 2487528.00 130445968.32 THE B. F. GOODRICH COMPANY 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 26642.00 2493691.20 GOLDMAN SACHS GROUP, INC. (THE 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 34698.00 4598525.94 GILEAD SCIENCES INC. 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 482989.00 19990914.71 GENERAL DYNAMICS CORP 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 187242.00 13837183.80 Unrated Security 2011-07-25 2011-07-25 N N N 649000000.00 649000000.00 0.0055 Y 649000000.00 649000000.00 J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp., 0.65% 40W996SH3 Other Repurchase Agreement N HEWLETT PACKARD COMPANY 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 1952488.00 69410948.40 UNUM/PROVIDENT CORPORATION 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 322393.00 8133975.39 JUNIPER NETWORKS 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 791035.00 24379698.70 THE HOME DEPOT, INC. 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 1099170.00 39548136.60 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 AETNA INC 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 513737.00 22892120.72 CAPITAL ONE FINANCIAL CORPORAT 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 948261.00 49556119.86 COACH, INC. 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 186995.00 11610519.55 FLUOR CORP NEW 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 93459.00 5941188.63 KRAFT FOODS INC. 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 223771.00 7793943.93 MONSANTO COMPANY 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 886485.00 62284436.10 NATIONAL SEMICONDUCTOR CORPORA 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 23025.00 566415.00 NEWFIELD EXPLORATION COMPANY 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 5027.00 342791.13 NEWMONT MINING CORPORATION 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 81273.00 4349730.96 NIKE, INC. 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 552343.00 49589354.54 NORFOLK SOUTHERN CORPORATION 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 15752.00 1168955.92 NUCOR CORPORATION 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 97725.00 3932454.00 OCCIDENTAL PETROLEUM CORP. 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 479068.00 49286515.84 PG & E CORP 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 43820.00 1819406.40 PNC BANK CORP. 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 36500.00 2151310.00 PALL CORP 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 82482.00 4576926.18 PARKER-HANNIFIN CORPORATION 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 29978.00 2605687.76 PAYCHEX INC 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 231793.00 7027963.76 PEABODY ENERGY CORPORATION 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 480772.00 27971314.96 PFIZER INC. 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 1768674.00 36558491.58 THE PROCTER AND GAMBLE COMPANY 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 305876.00 19132543.80 PUBLIC SERVICE ENTERPRISE GROU 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 112010.00 3611202.40 ST JUDE MED INC 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 593063.00 28235729.43 SAN DISK CORPORATION 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 100807.00 4081675.43 SHERWIN-WILLIAMS COMPANY (THE) 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 98182.00 8115724.12 TENET HEALTHCARE CORPORATION 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 709950.00 4394590.50 THE TRAVELERS COMPANIES INCORP 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 373432.00 21871912.24 U.S. BANCORP NEW 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 1508992.00 38222767.36 WELLPOINT INC COM < 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 185081.00 14660266.01 WELLS FARGO & COMPANY 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 1968000.00 55241760.00 ZIMMER HOLDINGS INC 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 461599.00 28919177.35 Unrated Security 2011-09-01 2011-09-01 N N N 531000000.00 531000000.00 0.0045 Y 531000000.00 531000000.00 J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp., 0.75% 38N99SWB7 Other Repurchase Agreement N NYSE EURONEXT 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 1724000.00 58478080.00 MARSHALL & ILSLEY CORP NEW 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 1127029.00 8768285.62 PFD GOOGLE INC SR A 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 82878.00 41237606.46 COCA-COLA ENTERPRISES INC NEW 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 356761.00 10442394.47 CBS CORP NEW 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 75400.00 2138344.00 BANK NEW YORK MELLON CORP COM 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 1694194.00 43100295.36 NEWS CORPORATION CLB 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 695676.00 12097805.64 ALPHA NATURAL RESOURCES, INC. 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 1028000.00 46732880.00 AMERIPRISE FINANCIAL INC 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 555000.00 31740450.00 XL GROUP PUBLIC LIMITED COMPAN 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 9932225.00 217416405.25 VIACOM,INC CLASS B COMMON NEW@ 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 1508116.00 76205101.48 SCRIPPS NETWORK INTERACTIVE 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 1179000.00 57853530.00 REGIONS FINANCIAL CORP NEW- 2011-06-30 2011-06-30 N/A Other Instrument OTHER NOTE 538920.00 3308968.80 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., 0.11% 41Q99A3S2 0001287279 Other Repurchase Agreement N FEDERAL HOME LOAN MORTGAGE CORP 2015-06-15 2040-10-15 0 - 9 Government Agency Debt 2492038398.00 211648193.82 GOVERNMENT NATIONAL MORTAGE ASSOC 2013-04-20 2052-06-16 0 - 6.5 Government Agency Debt 2500347004.00 146430922.48 FEDERAL NATIONAL MORTGAGE ASSOC 2013-05-25 2050-07-25 0 - 9.5 Government Agency Debt 7527972577.00 1556690887.21 Unrated Security 2011-07-01 2011-07-01 N N N 1859000000.00 1859000000.00 0.0158 N 1859000000.00 1859000000.00 J.P. Morgan Securities, Inc. J.P. Morgan Securities, Inc., 0.49% 41Q99A3P8 0001287279 Other Repurchase Agreement N 51-100 2011-08-25 2050-12-26 0 - 8.741 Other Instrument MORTGAGE 1158296579.00 353938005.61 Unrated Security 2011-07-01 2011-07-01 N N N 330000000.00 330000000.00 0.0028 N 330000000.00 330000000.00 J.P. Morgan Securities, Inc. J.P. 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