0000278001-11-000051.txt : 20111031 0000278001-11-000051.hdr.sgml : 20111031 20110908093450 ACCESSION NUMBER: 0000278001-11-000051 CONFORMED SUBMISSION TYPE: N-MFP PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20110831 FILED AS OF DATE: 20110908 DATE AS OF CHANGE: 20110908 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: 111079577 BUSINESS ADDRESS: STREET 1: 82 DEVONSHIRE ST CITY: BOSTON STATE: MA ZIP: 02109 BUSINESS PHONE: 2142816360 MAIL ADDRESS: STREET 1: FIDLEITY INVESTMENTS MAILZONE DW4B STREET 2: P.O. BOX 650471 CITY: DALLAS STATE: TX ZIP: 75265-0471 FORMER COMPANY: FORMER CONFORMED NAME: FIDELITY CASH RESERVES DATE OF NAME CHANGE: 19930122 0000278001 S000007150 Fidelity U.S. Government Reserves C000019554 Fidelity U.S. Government Reserves FGRXX N-MFP 1 primary_doc.xml N-MFP N-MFP LIVE N 2011-08-31 0000278001 S000007150 1 N N 002-63350 FIDELITY MANAGEMENT & RESEARCH COMPANY (FMR) 801-07884 FIDELITY INVESTMENTS MONEY MANAGEMENT, INC. 801-34590 FIDELITY MANAGEMENT & RESEARCH (U.K.), INC. 801-28773 FIDELITY MANAGEMENT & RESEARCH (HONG KONG) LIMITED 801-69507 FIDELITY MANAGEMENT & RESEARCH (JAPAN) INC 801-69571 PRICEWATERHOUSECOOPERS LLP Boston MA None FIDELITY INVESTMENTS INSTIT. OPERATIONS CO. 0000862124 084-01839 N N N Government/Agency 52 74 2715078862.62 8034409.55 71201413.05 2651911859.12 0.0015 1.0003 2011-08-31 1.0003 2011-08-31 C000019554 2500.00 2651911859.12 1.00 -48324538.60 163248251.10 211572789.70 0.0001 1.0003 2011-08-31 1.0003 2011-08-31 Fannie Mae Fannie Mae, 0.09% 313588QW8 Government Agency Debt First Tier Security 2011-12-23 2011-12-23 N N N 67000000.00 66981072.50 0.0253 N 66995779.00 66995779.00 Fannie Mae Fannie Mae, 0.11% to 0.13% 313588QU2 Government Agency Debt First Tier Security 2011-12-21 2011-12-21 N N N 41000000.00 40984290.40 0.0155 N 40997458.00 40997458.00 Fannie Mae Fannie Mae, 0.11% to 0.12% 313588RB3 Government Agency Debt First Tier Security 2011-12-28 2011-12-28 N N N 18000000.00 17993329.72 0.0068 N 17998812.00 17998812.00 Fannie Mae Fannie Mae, 0.15% 313588NE1 Government Agency Debt First Tier Security 2011-10-20 2011-10-20 N N N 50000000.00 49989791.67 0.0189 N 49998650.00 49998650.00 Fannie Mae Fannie Mae, 0.21% 31359MLS0 Government Agency Debt First Tier Security 2011-11-15 2011-11-15 N N N 27000000.00 27283838.91 0.0103 N 27291465.00 27291465.00 Fannie Mae Fannie Mae, 0.21% 31398AUU4 Government Agency Debt First Tier Security 2012-01-09 2012-01-09 N N N 10815000.00 10883143.48 0.0041 N 10887244.20 10887244.20 Fannie Mae Fannie Mae, 0.21% 31398AB43 Government Agency Debt First Tier Security 2012-01-12 2012-01-12 N N N 8000000.00 8018997.16 0.0030 N 8020800.00 8020800.00 Fannie Mae Fannie Mae, 0.24% 31398A4E9 Government Agency Debt First Tier Security 2011-09-17 2012-09-17 N N N 12000000.00 12002556.31 0.0045 N 12004752.00 12004752.00 Federal Farm Credit Bank Federal Farm Credit Bank, 0.17% 31331KJN1 Government Agency Debt First Tier Security 2011-09-29 2012-11-29 N N N 6000000.00 5998113.95 0.0023 N 5999796.00 5999796.00 Federal Home Loan Bank Federal Home Loan Bank, 0.09% 313384PV5 Government Agency Debt First Tier Security 2011-11-28 2011-11-28 N N N 18000000.00 17996040.00 0.0068 N 17999118.00 17999118.00 Federal Home Loan Bank Federal Home Loan Bank, 0.13% 3133XXGY7 Government Agency Debt First Tier Security 2011-09-15 2011-09-15 N N N 13000000.00 12999747.79 0.0049 N 12999922.00 12999922.00 Federal Home Loan Bank Federal Home Loan Bank, 0.13% 313373S52 Government Agency Debt First Tier Security 2011-11-23 2011-11-23 N N N 3000000.00 2999773.64 0.0011 N 2999727.00 2999727.00 Federal Home Loan Bank Federal Home Loan Bank, 0.13% 313371P26 Government Agency Debt First Tier Security 2011-11-23 2011-11-23 N N N 29000000.00 29010967.48 0.0109 N 29012528.00 29012528.00 Federal Home Loan Bank Federal Home Loan Bank, 0.14% 313374JR2 Government Agency Debt First Tier Security 2011-11-28 2011-11-28 N N N 35000000.00 34996839.68 0.0132 N 34996605.00 34996605.00 Federal Home Loan Bank Federal Home Loan Bank, 0.15% 313371XP6 Government Agency Debt First Tier Security 2011-12-01 2011-12-01 N N N 17000000.00 17007039.72 0.0064 N 17007633.00 17007633.00 Federal Home Loan Bank Federal Home Loan Bank, 0.15% 313371YV2 Government Agency Debt First Tier Security 2011-12-15 2011-12-15 N N N 30200000.00 30216135.10 0.0114 N 30217425.40 30217425.40 Federal Home Loan Bank Federal Home Loan Bank, 0.16% 313370HZ4 Government Agency Debt First Tier Security 2011-09-03 2012-02-03 N N N 75000000.00 74990471.31 0.0283 N 75000900.00 75000900.00 Federal Home Loan Bank Federal Home Loan Bank, 0.16% 3133XXMM6 Government Agency Debt First Tier Security 2011-09-15 2011-09-15 N N N 40000000.00 39999224.16 0.0151 N 40000080.00 40000080.00 Federal Home Loan Bank Federal Home Loan Bank, 0.16% 313373N65 Government Agency Debt First Tier Security 2011-09-15 2012-11-15 N N N 21000000.00 20993596.58 0.0079 N 20987064.00 20987064.00 Federal Home Loan Bank Federal Home Loan Bank, 0.16% 313370K98 Government Agency Debt First Tier Security 2011-11-09 2012-02-09 N N N 17000000.00 16998424.60 0.0064 N 17000544.00 17000544.00 Federal Home Loan Bank Federal Home Loan Bank, 0.16% 3133743X6 Government Agency Debt First Tier Security 2011-12-06 2011-12-06 N N N 14000000.00 13998531.15 0.0053 N 13999258.00 13999258.00 Federal Home Loan Bank Federal Home Loan Bank, 0.16% 313374Q37 Government Agency Debt First Tier Security 2012-02-08 2012-02-08 N N N 35000000.00 34994790.70 0.0132 N 34996710.00 34996710.00 Federal Home Loan Bank Federal Home Loan Bank, 0.17% 3133XXH83 Government Agency Debt First Tier Security 2011-09-23 2011-09-23 N N N 12000000.00 11999779.44 0.0045 N 12000036.00 12000036.00 Federal Home Loan Bank Federal Home Loan Bank, 0.17% 313370JL3 Government Agency Debt First Tier Security 2011-11-17 2012-02-17 N N N 37000000.00 36994680.96 0.0140 N 37000888.00 37000888.00 Federal Home Loan Bank Federal Home Loan Bank, 0.17% 313375DU8 Government Agency Debt First Tier Security 2012-03-19 2012-03-19 N N N 16000000.00 15994531.46 0.0060 N 15990128.00 15990128.00 Federal Home Loan Bank Federal Home Loan Bank, 0.17% 313375DN4 Government Agency Debt First Tier Security 2012-03-26 2012-03-26 N N N 16000000.00 15994337.55 0.0060 N 15988320.00 15988320.00 Federal Home Loan Bank Federal Home Loan Bank, 0.19% 3133XXSJ7 Government Agency Debt First Tier Security 2011-09-26 2011-09-26 N N N 35000000.00 34998788.71 0.0132 N 35000875.00 35000875.00 Federal Home Loan Bank Federal Home Loan Bank, 0.19% 3133XHPH9 Government Agency Debt First Tier Security 2011-11-18 2011-11-18 N N N 20000000.00 20198917.65 0.0076 N 20201100.00 20201100.00 Federal Home Loan Bank Federal Home Loan Bank, 0.21% 3133732C5 Government Agency Debt First Tier Security 2011-12-16 2011-12-16 N N N 7000000.00 6999514.33 0.0026 N 7001015.00 7001015.00 Federal Home Loan Bank Federal Home Loan Bank, 0.21% 3133732G6 Government Agency Debt First Tier Security 2011-12-21 2011-12-21 N N N 13000000.00 12998950.55 0.0049 N 13001976.00 13001976.00 Federal Home Loan Bank Federal Home Loan Bank, 0.21% 3133732S0 Government Agency Debt First Tier Security 2011-12-23 2011-12-23 N N N 7000000.00 6999161.86 0.0026 N 7000868.00 7000868.00 Federal Home Loan Bank Federal Home Loan Bank, 0.22% 313375EA1 Government Agency Debt First Tier Security 2012-08-22 2012-08-22 N N N 30000000.00 30000000.00 0.0113 N 29986200.00 29986200.00 Federal Home Loan Bank Federal Home Loan Bank, 0.23% 313375LQ8 Government Agency Debt First Tier Security 2012-09-07 2012-09-07 N N N 10000000.00 9999001.70 0.0038 N 9994880.00 9994880.00 Federal Home Loan Bank Federal Home Loan Bank, 0.29% 313371CA2 Government Agency Debt First Tier Security 2011-09-01 2011-10-14 N N N 30000000.00 29999820.71 0.0113 N 30001710.00 30001710.00 Federal Home Loan Bank Federal Home Loan Bank, 0.29% 3133717G5 Government Agency Debt First Tier Security 2011-09-01 2011-09-29 N N N 36000000.00 35999860.29 0.0136 N 36001332.00 36001332.00 Federal Home Loan Bank Federal Home Loan Bank, 0.30% 313371H41 Government Agency Debt First Tier Security 2011-11-04 2011-11-04 N N N 30000000.00 29999793.53 0.0113 N 30008400.00 30008400.00 Federal Home Loan Bank Federal Home Loan Bank, 0.30% 3133XYLM5 Government Agency Debt First Tier Security 2011-11-21 2011-11-21 N N N 15000000.00 15014607.61 0.0057 N 15020310.00 15020310.00 Federal Home Loan Bank Federal Home Loan Bank, 0.31% 313371H74 Government Agency Debt First Tier Security 2011-11-16 2011-11-16 N N N 15000000.00 14999696.00 0.0057 N 15004980.00 15004980.00 Federal Home Loan Bank Federal Home Loan Bank, 0.34% 313371SY3 Government Agency Debt First Tier Security 2011-11-17 2011-11-17 N N N 11000000.00 10998045.37 0.0041 N 11002783.00 11002783.00 Federal Home Loan Bank Federal Home Loan Bank, 0.34% 313371QU3 Government Agency Debt First Tier Security 2011-11-22 2011-11-22 N N N 14000000.00 13997351.52 0.0053 N 14003780.00 14003780.00 Federal Home Loan Bank Federal Home Loan Bank, 0.39% 313372A95 Government Agency Debt First Tier Security 2011-12-29 2011-12-29 N N N 32800000.00 32797331.81 0.0124 N 32824698.40 32824698.40 Federal Home Loan Bank Federal Home Loan Bank, 0.41% 3133755S2 Government Agency Debt First Tier Security 2012-08-30 2012-08-30 N N N 11000000.00 11000000.00 0.0041 N 11005170.00 11005170.00 Freddie Mac Freddie Mac, 0.09% 313396QU0 Government Agency Debt First Tier Security 2011-12-21 2011-12-21 N N N 32000000.00 31991120.00 0.0121 N 31998016.00 31998016.00 Freddie Mac Freddie Mac, 0.13% 3134G16A7 Government Agency Debt First Tier Security 2011-09-02 2012-11-02 N N N 25000000.00 24979289.83 0.0094 N 24982500.00 24982500.00 Freddie Mac Freddie Mac, 0.13% 313396QS5 Government Agency Debt First Tier Security 2011-12-19 2011-12-19 N N N 15000000.00 14994095.84 0.0057 N 14999085.00 14999085.00 Freddie Mac Freddie Mac, 0.15% 313396UN1 Government Agency Debt First Tier Security 2012-03-20 2012-03-20 N N N 29000000.00 28975712.49 0.0109 N 28988661.00 28988661.00 Freddie Mac Freddie Mac, 0.15% 313396VC4 Government Agency Debt First Tier Security 2012-04-03 2012-04-03 N N N 13000000.00 12988354.16 0.0049 N 12993019.00 12993019.00 Freddie Mac Freddie Mac, 0.15% 313396VJ9 Government Agency Debt First Tier Security 2012-04-09 2012-04-09 N N N 12000000.00 11988950.00 0.0045 N 11993376.00 11993376.00 Freddie Mac Freddie Mac, 0.17% 3134G13Z5 Government Agency Debt First Tier Security 2011-09-10 2012-08-10 N N N 45000000.00 44978622.32 0.0170 N 45022095.00 45022095.00 Freddie Mac Freddie Mac, 0.21% 3134A4JT2 Government Agency Debt First Tier Security 2012-01-15 2012-01-15 N N N 7000000.00 7143316.40 0.0027 N 7147945.00 7147945.00 Freddie Mac Freddie Mac, 0.35% 313396PW7 Government Agency Debt First Tier Security 2011-11-29 2011-11-29 N N N 15000000.00 14987020.83 0.0057 N 14999265.00 14999265.00 Straight-A Funding LLC Straight-A Funding LLC, 0.20% (Liquidity Facility Federal Financing Bank) 86257JZL4 Government Agency Debt First Tier Security 2011-10-21 2011-10-21 N N Y LIQUIDITY FEDERAL FINANCING BANK N/A N/A 52000000.00 51986422.22 0.0196 N 51989324.40 51989324.40 Straight-A Funding LLC Straight-A Funding LLC, 0.65% (Liquidity Facility Federal Financing Bank) 86257MX54 Government Agency Debt First Tier Security 2011-10-17 2011-10-17 N N Y LIQUIDITY FEDERAL FINANCING BANK N/A N/A 2000000.00 1998519.44 0.0008 N 1999654.60 1999654.60 Straight-A Funding LLC Straight-A Funding LLC, 0.65% (Liquidity Facility Federal Financing Bank) 86257L7C0 Government Agency Debt First Tier Security 2011-10-31 2011-10-31 N N Y LIQUIDITY FEDERAL FINANCING BANK N/A N/A 26000000.00 25974180.56 0.0098 N 25993338.80 25993338.80 U.S. Treasury Bills U.S. Treasury Bills, 0.07% 912795Y62 Treasury Debt First Tier Security 2012-01-19 2012-01-19 N N N 30000000.00 29991833.33 0.0113 N 29997660.00 29997660.00 U.S. Treasury Bills U.S. Treasury Bills, 0.08% 9127954A6 Treasury Debt First Tier Security 2012-01-05 2012-01-05 N N N 19000000.00 18994680.06 0.0072 N 18999012.00 18999012.00 U.S. Treasury Bills U.S. Treasury Bills, 0.10% 9127953K5 Treasury Debt First Tier Security 2011-09-15 2011-09-15 N N N 54000000.00 53997923.34 0.0204 N 53999676.00 53999676.00 U.S. Treasury Bills U.S. Treasury Bills, 0.11% 912795Y70 Treasury Debt First Tier Security 2012-01-26 2012-01-26 N N N 6000000.00 5997427.50 0.0023 N 5999682.00 5999682.00 U.S. Treasury Bills U.S. Treasury Bills, 0.12% 9127953R0 Treasury Debt First Tier Security 2011-11-03 2011-11-03 N N N 28000000.00 27994365.08 0.0106 N 27999272.00 27999272.00 U.S. Treasury Bills U.S. Treasury Bills, 0.15% to 0.17% 9127952F7 Treasury Debt First Tier Security 2011-09-22 2011-09-22 N N N 38000000.00 37996616.68 0.0143 N 37999658.00 37999658.00 U.S. Treasury Bills U.S. Treasury Bills, 0.16% to 0.18% 9127953L3 Treasury Debt First Tier Security 2011-09-29 2011-09-29 N N N 22000000.00 21997161.12 0.0083 N 21999582.00 21999582.00 U.S. Treasury Notes U.S. Treasury Notes, 0.07% 912828KA7 Treasury Debt First Tier Security 2011-12-15 2011-12-15 N N N 10000000.00 10030207.46 0.0038 N 10031250.00 10031250.00 U.S. Treasury Notes U.S. Treasury Notes, 0.13% to 0.14% 912828ML1 Treasury Debt First Tier Security 2011-12-31 2011-12-31 N N N 55000000.00 55155454.77 0.0208 N 55171875.00 55171875.00 U.S. Treasury Notes U.S. Treasury Notes, 0.19% 912828KP4 Treasury Debt First Tier Security 2012-05-15 2012-05-15 N N N 15000000.00 15124522.99 0.0057 N 15134760.00 15134760.00 U.S. Treasury Notes U.S. Treasury Notes, 0.31% to 0.32% 912828LW8 Treasury Debt First Tier Security 2011-09-30 2011-09-30 N N N 35000000.00 35018611.27 0.0132 N 35025970.00 35025970.00 U.S. Treasury Notes U.S. Treasury Notes, 0.33% 912828MJ6 Treasury Debt First Tier Security 2012-01-31 2012-01-31 N N N 25000000.00 25056567.87 0.0094 N 25084950.00 25084950.00 Bank of America NA In a joint trading account with Bank of America NA at 0.08%, dated 8/31/2011 due 09/01/2011 42T99HPU3_04197 Government Agency Repurchase Agreement Y GOVERNMENT NATIONAL MORTAGE ASSOC 2034-01-16 2040-04-16 0.367 - 6.5 Government Agency Debt 318769027.41 286679564.30 Unrated Security 2011-09-01 2011-09-01 N N N 278329056.00 278329055.56 0.1050 N 278329055.56 278329055.56 Barclays Capital, Inc. Barclays Capital, Inc., 0.15% 42M99LGH0 0000851376 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2041-05-01 2041-05-01 5 - 5 Government Agency Debt 7482651.00 8006271.75 GOVERNMENT NATIONAL MORTAGE ASSOC 2038-08-20 2041-07-20 4 - 6 Government Agency Debt 114907.00 110532.37 FEDERAL NATIONAL MORTGAGE ASSOC 2024-06-01 2041-08-01 2.575 - 5.287 Government Agency Debt 100786.00 71261.16 Unrated Security 2011-09-07 2011-09-07 Y BARCLAYS CAPITAL INC(GOV REPO) N/A N/A N N 8000000.00 8000000.00 0.0030 N 8000000.00 8000000.00 BNP Paribas Securities Corp. In a joint trading account with BNP Paribas Securities Corp. at 0.08%, dated 8/31/2011 due 09/01/2011 42T99HPU3_07629 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2025-07-01 2041-04-01 3.5 - 5.5 Government Agency Debt 22053644.00 19712030.37 FEDERAL NATIONAL MORTGAGE ASSOC 2021-10-01 2041-08-01 3.5 - 5.5 Government Agency Debt 60678312.27 49612074.63 GOVERNMENT NATIONAL MORTAGE ASSOC 2024-10-15 2041-07-20 2.5 - 6 Government Agency Debt 48414602.45 37165493.35 Unrated Security 2011-09-01 2011-09-01 N N N 104373396.00 104373395.84 0.0394 N 104373395.84 104373395.84 Citibank NA In a joint trading account with Citibank NA at 0.08%, dated 8/31/2011 due 09/01/2011 42T99HPU3_26602 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2018-02-01 2041-06-01 4.5 - 6 Government Agency Debt 6866210.78 2049313.68 FEDERAL NATIONAL MORTGAGE ASSOC 2018-03-01 2041-08-01 3.5 - 6 Government Agency Debt 9351132.14 5048094.99 Unrated Security 2011-09-01 2011-09-01 N N N 6958226.00 6958226.39 0.0026 N 6958226.39 6958226.39 Citigroup Global Markets, Inc. In a joint trading account with Citigroup Global Markets, Inc. at 0.08%, dated 8/31/2011 due 09/01/2011 42T99HPU3_69850 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2024-09-01 2041-08-01 3.251 - 6 Government Agency Debt 42297813.50 25555271.11 FEDERAL NATIONAL MORTGAGE ASSOC 2019-06-01 2041-06-01 3.5 - 6 Government Agency Debt 51201237.35 31223998.18 Unrated Security 2011-09-01 2011-09-01 N N N 55665811.00 55665811.11 0.0210 N 55665811.11 55665811.11 Credit Agricole Securities (USA), Inc. In a joint trading account with Credit Agricole Securities (USA), Inc. at 0.08%, dated 8/31/2011 due 09/01/2011 42T99HPU3_05222 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN BANK 2011-12-09 2012-08-16 0.24 - 0.32 Government Agency Debt 7143732.70 7145814.59 FEDERAL HOME LOAN MORTGAGE CORP 2011-10-07 2015-07-17 0 - 4.5 Government Agency Debt 12343865.78 13342538.07 FEDERAL NATIONAL MORTGAGE ASSOC 2013-10-15 2015-10-15 4.375 - 4.625 Government Agency Debt 6958226.39 7901277.29 Unrated Security 2011-09-01 2011-09-01 N N N 27832906.00 27832905.56 0.0105 N 27832905.56 27832905.56 Deutsche Bank Securities, Inc. Deutsche Bank Securities, Inc., 0.19% 40H99WMR7 0000058056 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2038-10-01 2038-10-01 7 - 7 Government Agency Debt 23229527.00 8172841.15 GOVERNMENT NATIONAL MORTAGE ASSOC 2040-09-20 2041-01-20 3.5 - 6.5 Government Agency Debt 18850.00 20672.02 First Tier Security 2011-09-07 2011-09-07 Y DEUTSCHE BK SECS INC(GOV REPO) N/A N/A N N 8000000.00 8000000.00 0.0030 N 8000000.00 8000000.00 Deutsche Bank Securities, Inc. Deutsche Bank Securities, Inc., 0.23% 40H99WLN7 0000058056 Government Agency Repurchase Agreement Y GOVERNMENT NATIONAL MORTAGE ASSOC 2040-10-15 2040-10-15 4 - 4 Government Agency Debt 8142448.00 8250816.08 First Tier Security 2011-09-07 2011-09-07 Y DEUTSCHE BK SECS INC(GOV REPO) N/A N/A N N 8000000.00 8000000.00 0.0030 N 8000000.00 8000000.00 Deutsche Bank Securities, Inc. In a joint trading account with Deutsche Bank Securities, Inc. at 0.08%, dated 8/31/2011 due 09/01/2011 42T99HPU3_06399 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2033-07-01 2041-04-01 2.104 - 6.155 Government Agency Debt 11757624.30 2931838.33 GOVERNMENT NATIONAL MORTAGE ASSOC 2023-12-20 2061-07-20 0.536 - 6.741 Government Agency Debt 63042239.43 50370002.45 FEDERAL NATIONAL MORTGAGE ASSOC 2017-06-25 2047-06-01 1.892 - 6.5 Government Agency Debt 94694867.07 54082459.22 Unrated Security 2011-09-01 2011-09-01 N N N 104373396.00 104373395.84 0.0394 N 104373395.84 104373395.84 ING Financial Markets LLC In a joint trading account with ING Financial Markets LLC at 0.08%, dated 8/31/2011 due 09/01/2011 42T99HPU3_40488 Government Agency Repurchase Agreement Y FEDERAL AGRICULTURE MORTGAGE CORP 2017-04-19 2026-03-09 4.81 - 5.125 Government Agency Debt 906875.52 1043125.68 FEDERAL HOME LOAN MORTGAGE CORP 2018-05-15 2041-08-15 0.735 - 7.5 Government Agency Debt 13407424.83 4611162.80 FEDERAL NATIONAL MORTGAGE ASSOC 2023-02-01 2041-07-25 2.337 - 6.1 Government Agency Debt 21687810.95 15353111.79 GOVERNMENT NATIONAL MORTAGE ASSOC 2017-11-20 2041-05-15 0 - 6.5 Government Agency Debt 3123914.67 2599527.03 Unrated Security 2011-09-01 2011-09-01 N N N 23074035.00 23074035.36 0.0087 N 23074035.36 23074035.36 ING Financial Markets LLC ING Financial Markets LLC, 0.17% 41P99GKM4 0000877559 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2041-07-01 2041-07-01 3.142 - 3.142 Government Agency Debt 2980000.00 3060498.22 Unrated Security 2011-09-07 2011-09-07 Y ING FINL MKTS LLC (GOV RP JPM) N/A N/A N N 3000000.00 3000000.00 0.0011 N 3000000.00 3000000.00 ING Financial Markets LLC ING Financial Markets LLC, 0.17% 41P99GJU8 0000877559 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2034-03-15 2034-03-15 0.607 - 0.607 Government Agency Debt 11605000.00 4121514.19 Unrated Security 2011-09-07 2011-09-07 Y ING FINL MKTS LLC (GOV RP JPM) N/A N/A N N 4000000.00 4000000.00 0.0015 N 4000000.00 4000000.00 ING Financial Markets LLC ING Financial Markets LLC, 0.18% 41P99GLE1 0000877559 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2038-04-01 2038-04-01 4.422 - 4.422 Government Agency Debt 9000000.00 5101747.16 Unrated Security 2011-09-07 2011-09-07 Y ING FINL MKTS LLC (GOV RP JPM) N/A N/A N N 5000000.00 5000000.00 0.0019 N 5000000.00 5000000.00 ING Financial Markets LLC ING Financial Markets LLC, 0.19% 41P99GGF4 0000877559 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2021-03-25 2037-07-25 0.518 - 1.2 Government Agency Debt 178050000.00 16485690.83 Unrated Security 2011-09-07 2011-09-07 Y ING FINL MKTS LLC (GOV RP JPM) N/A N/A N N 16000000.00 16000000.00 0.0060 N 16000000.00 16000000.00 ING Financial Markets LLC ING Financial Markets LLC, 0.19% 41P99GFX6 0000877559 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2040-12-01 2041-02-01 2.965 - 3.012 Government Agency Debt 34938926.00 33670180.08 Unrated Security 2011-09-07 2011-09-07 Y ING FINL MKTS LLC (GOV RP JPM) N/A N/A N N 33000000.00 33000000.00 0.0124 N 33000000.00 33000000.00 ING Financial Markets LLC ING Financial Markets LLC, 0.20% 38B99S7H5 0000877559 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2026-07-25 2032-10-25 3.5 - 6 Government Agency Debt 9580000.00 4126798.02 Unrated Security 2011-09-07 2011-09-07 Y ING FINL MKTS LLC (GOV RP JPM) N/A N/A N N 4000000.00 4000000.00 0.0015 N 4000000.00 4000000.00 ING Financial Markets LLC ING Financial Markets LLC, 0.23% 41P99GMA8 0000877559 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2033-12-01 2036-11-01 2.35 - 6.156 Government Agency Debt 53360217.00 8161475.17 Unrated Security 2011-09-07 2011-09-07 Y ING FINL MKTS LLC (GOV RP JPM) N/A N/A N N 8000000.00 8000000.00 0.0030 N 8000000.00 8000000.00 ING Financial Markets LLC ING Financial Markets LLC, 0.23% 41P99GHY2 0000877559 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2014-10-25 2037-12-25 0.618 - 0.858 Government Agency Debt 109385575.00 4121104.59 Unrated Security 2011-09-07 2011-09-07 Y ING FINL MKTS LLC (GOV RP JPM) N/A N/A N N 4000000.00 4000000.00 0.0015 N 4000000.00 4000000.00 J.P. Morgan Securities, Inc. In a joint trading account with J.P. Morgan Securities, Inc. at 0.08%, dated 8/31/2011 due 09/01/2011 42T99HPU3_55502 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2013-01-01 2048-08-01 3 - 11.5 Government Agency Debt 108094424.16 88007852.80 Unrated Security 2011-09-01 2011-09-01 N N N 86282007.00 86282007.22 0.0325 N 86282007.22 86282007.22 Merrill Lynch, Pierce, Fenner & Smith, Inc. In a joint trading account with Merrill Lynch, Pierce, Fenner & Smith, Inc. at 0.08%, dated 8/31/2011 due 09/01/2011 42T99HPU3_53651 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2021-12-01 2041-09-01 2.181 - 5.5 Government Agency Debt 25344390.43 15504344.94 FEDERAL NATIONAL MORTGAGE ASSOC 2019-08-01 2048-01-01 1.465 - 6.5 Government Agency Debt 72333047.08 52580612.96 Unrated Security 2011-09-01 2011-09-01 N N N 66773534.00 66773534.06 0.0252 N 66773534.06 66773534.06 Morgan Stanley & Co., Inc. Morgan Stanley & Co., Inc., 0.15% 38W99BGF3 0000068136 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2040-12-01 2040-12-01 4.5 - 4.5 Government Agency Debt 4934904.00 5184455.26 FEDERAL NATIONAL MORTGAGE ASSOC 2041-04-01 2041-04-01 5 - 5 Government Agency Debt 1265.00 1301.38 First Tier Security 2011-09-07 2011-09-07 Y MORGAN STAN & CO INC(GOV REPO) N/A N/A N N 5000000.00 5000000.00 0.0019 N 5000000.00 5000000.00 Morgan Stanley & Co., Inc. Morgan Stanley & Co., Inc., 0.19% 38W99BHQ8 0000068136 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2024-08-01 2041-08-01 4 - 4.5 Government Agency Debt 11762642.00 10175901.14 FEDERAL NATIONAL MORTGAGE ASSOC 2036-10-01 2039-01-01 6.175 - 7 Government Agency Debt 104113.00 60250.64 First Tier Security 2011-09-07 2011-09-07 Y MORGAN STAN & CO INC(GOV REPO) N/A N/A N N 10000000.00 10000000.00 0.0038 N 10000000.00 10000000.00 RBC Capital Markets Corp. In a joint trading account with RBC Capital Markets Corp. at 0.08%, dated 8/31/2011 due 09/01/2011 42T99HPU3_07160 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2015-04-15 2041-08-15 0.586 - 6 Government Agency Debt 19189896.84 13980469.00 FEDERAL NATIONAL MORTGAGE ASSOC 2013-01-01 2048-02-01 0 - 7.5 Government Agency Debt 83973718.02 36117582.53 GOVERNMENT NATIONAL MORTAGE ASSOC 2023-07-16 2041-08-20 2.25 - 6 Government Agency Debt 6696012.20 6772421.93 Unrated Security 2011-09-01 2011-09-01 N N N 55665811.00 55665811.11 0.0210 N 55665811.11 55665811.11 RBC Capital Markets Corp. RBC Capital Markets Corp., 0.16% 41B99CJL2 0000050916 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2036-07-15 2036-07-15 0.586 - 0.586 Government Agency Debt 3946624.00 1531852.37 GOVERNMENT NATIONAL MORTAGE ASSOC 2038-09-20 2038-09-20 0.663 - 0.663 Government Agency Debt 3203210.00 949579.78 FEDERAL NATIONAL MORTGAGE ASSOC 2035-12-25 2035-12-25 0.587 - 0.587 Government Agency Debt 6817100.00 2669698.94 First Tier Security 2011-09-07 2011-09-07 Y RBC CAP MARKETS LLC(GOV REPO) N/A N/A N N 5000000.00 5000000.00 0.0019 N 5000000.00 5000000.00 RBS Securities, Inc. In a joint trading account with RBS Securities, Inc. at 0.08%, dated 8/31/2011 due 09/01/2011 42T99HPU3_32466 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2012-08-01 2041-09-01 3.5 - 6.5 Government Agency Debt 16119522.25 14194925.14 Unrated Security 2011-09-01 2011-09-01 N N N 13916453.00 13916452.78 0.0052 N 13916452.78 13916452.78 Societe Generale In a joint trading account with Societe Generale at 0.08%, dated 8/31/2011 due 09/01/2011 42T99HPU3_74037 Government Agency Repurchase Agreement Y US TREASURY 2021-01-15 2021-01-15 1.125 - 1.125 Treasury Debt 6002399.88 6812680.60 FEDERAL NATIONAL MORTGAGE ASSOC 2038-07-25 2039-11-25 0.887 - 1.218 Government Agency Debt 3949350.25 2028501.79 FEDERAL HOME LOAN MORTGAGE CORP 2018-07-15 2038-06-15 0.536 - 5 Government Agency Debt 11946634.55 7081760.93 GOVERNMENT NATIONAL MORTAGE ASSOC 2021-09-20 2043-08-16 4 - 5 Government Agency Debt 39900281.93 41083299.13 Unrated Security 2011-09-01 2011-09-01 N N N 55665811.00 55665811.11 0.0210 N 55665811.11 55665811.11 UBS Securities LLC In a joint trading account with UBS Securities LLC at 0.08%, dated 8/31/2011 due 09/01/2011 42T99HPU3_06042 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2013-06-25 2041-07-25 1.186 - 8.5 Government Agency Debt 19190667.80 9763724.47 FEDERAL HOME LOAN MORTGAGE CORP 2014-03-15 2041-05-15 0.986 - 8 Government Agency Debt 49353068.16 32752998.27 GOVERNMENT NATIONAL MORTAGE ASSOC 2033-06-20 2040-12-20 4.5 - 5.5 Government Agency Debt 439495.50 485210.69 Unrated Security 2011-09-01 2011-09-01 N N N 41749358.00 41749358.33 0.0157 N 41749358.33 41749358.33 Wells Fargo Securities LLC In a joint trading account with Wells Fargo Securities LLC at 0.08%, dated 8/31/2011 due 09/01/2011 42T99HPU3_08395 Government Agency Repurchase Agreement Y US TREASURY 2011-09-08 2041-02-15 0 - 4.75 Treasury Debt 6481139.77 7557544.43 GOVERNMENT NATIONAL MORTAGE ASSOC 2025-12-16 2060-10-20 0.515 - 5.5 Government Agency Debt 10244917.49 9795716.36 FEDERAL HOME LOAN BANK 2011-11-25 2036-07-15 0 - 5.5 Government Agency Debt 11553132.93 12511304.87 FEDERAL HOME LOAN MORTGAGE CORP 2011-11-28 2041-08-15 0 - 6 Government Agency Debt 38635638.17 35768637.76 FEDERAL NATIONAL MORTGAGE ASSOC 2012-01-23 2041-04-25 0 - 6.21 Government Agency Debt 9625409.61 10011517.51 Unrated Security 2011-09-01 2011-09-01 N N N 73757200.00 73757199.72 0.0278 N 73757199.72 73757199.72 Wells Fargo Securities, LLC Wells Fargo Securities, LLC, 0.20% 37V99J8S0 0000276523 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2041-07-01 2041-07-01 4.5 - 4.5 Government Agency Debt 3881381.00 4113853.73 Unrated Security 2011-09-07 2011-09-07 Y WELLS FARGO SEC LLC (GOV REPO) N/A N/A N N 4000000.00 4000000.00 0.0015 N 4000000.00 4000000.00