0000278001-12-000037.txt : 20120829 0000278001-12-000037.hdr.sgml : 20120829 20120706134549 ACCESSION NUMBER: 0000278001-12-000037 CONFORMED SUBMISSION TYPE: N-MFP PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20120630 FILED AS OF DATE: 20120706 DATE AS OF CHANGE: 20120706 FILER: COMPANY DATA: COMPANY CONFORMED NAME: FIDELITY PHILLIPS STREET TRUST CENTRAL INDEX KEY: 0000278001 IRS NUMBER: 000000000 FISCAL YEAR END: 1130 FILING VALUES: FORM TYPE: N-MFP SEC ACT: 1933 Act SEC FILE NUMBER: 811-02890 FILM NUMBER: 12950160 BUSINESS ADDRESS: STREET 1: 82 DEVONSHIRE STREET CITY: BOSTON STATE: MA ZIP: 02109 BUSINESS PHONE: 617-563-7000 MAIL ADDRESS: STREET 1: 82 DEVONSHIRE STREET CITY: BOSTON STATE: MA ZIP: 02109 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 2012-06-30 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 None FIDELITY INVESTMENTS INSTIT. OPERATIONS CO. 0000862124 084-01839 N N N Prime 58 93 115206107213.19 436921659.43 636281868.31 115006747004.31 0.0036 1.0003 2012-06-29 1.0003 2012-06-29 C000019553 2500.00 115006747004.31 1.00 -160344899.21 18635190233.46 18795535132.67 0.0001 1.0003 2012-06-29 1.0003 2012-06-29 Bank of Montreal Chicago CD Program Bank of Montreal Chicago CD Program, 0.40% 06366WLY8 Certificate of Deposit First Tier Security 2012-07-26 2012-09-26 N N N 402000000.00 402000000.00 0.0035 N 402035376.00 402035376.00 Bank of Montreal Chicago CD Program Bank of Montreal Chicago CD Program, 0.43% 06366WPF5 Certificate of Deposit First Tier Security 2012-07-18 2012-10-18 N N N 617000000.00 617000000.00 0.0054 N 616945087.00 616945087.00 Bank of Montreal Chicago CD Program Bank of Montreal Chicago CD Program, 0.44% 06366WQD9 Certificate of Deposit First Tier Security 2012-07-30 2012-10-29 N N N 210000000.00 210000000.00 0.0018 N 210014700.00 210014700.00 Bank of Montreal Chicago CD Program Bank of Montreal Chicago CD Program, 0.56% 06366UD47 Certificate of Deposit First Tier Security 2012-07-06 2013-07-05 N N N 741000000.00 741000000.00 0.0064 N 741341601.00 741341601.00 Bank of Nova Scotia Bank of Nova Scotia, 0.31% 06417EC43 Certificate of Deposit First Tier Security 2012-07-05 2012-09-05 N N N 1007000000.00 1007000000.00 0.0088 N 1007000000.00 1007000000.00 Bank of Nova Scotia Bank of Nova Scotia, 0.31% 06417EE74 Certificate of Deposit First Tier Security 2012-07-16 2012-09-17 N N N 1200000000.00 1200000000.00 0.0104 N 1199959200.00 1199959200.00 Bank of Nova Scotia Bank of Nova Scotia, 0.43% 06417EAZ6 Certificate of Deposit First Tier Security 2012-07-11 2012-07-11 N N N 379000000.00 379000000.00 0.0033 N 378983703.00 378983703.00 Bank of Nova Scotia Bank of Nova Scotia, 0.44% 06417ELW1 Certificate of Deposit First Tier Security 2012-07-02 2012-11-01 N N N 899000000.00 899000000.00 0.0078 N 898941565.00 898941565.00 Bank of Nova Scotia Bank of Nova Scotia, 0.46% 06417EVT7 Certificate of Deposit First Tier Security 2012-07-05 2012-07-05 N N N 403000000.00 403000000.00 0.0035 N 403019464.90 403019464.90 Bank of Nova Scotia Bank of Nova Scotia, 0.62% 06417DJE6 Certificate of Deposit First Tier Security 2012-08-16 2013-04-15 N N N 206000000.00 206000000.00 0.0018 N 205991348.00 205991348.00 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.42% 06538ESG3 Certificate of Deposit First Tier Security 2012-08-10 2012-08-10 N N N 950000000.00 950000000.00 0.0083 N 950188100.00 950188100.00 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.48% 06538EVD6 Certificate of Deposit First Tier Security 2012-07-07 2012-11-07 N N N 1029000000.00 1029000000.00 0.0089 N 1028894013.00 1028894013.00 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.48% 06538EWB9 Certificate of Deposit First Tier Security 2012-07-16 2012-11-14 N N N 470000000.00 470000000.00 0.0041 N 469948300.00 469948300.00 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.50% 06538EMB0 Certificate of Deposit First Tier Security 2012-07-05 2012-09-05 N N N 409000000.00 409000000.00 0.0036 N 409000000.00 409000000.00 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.50% 06538EMA2 Certificate of Deposit First Tier Security 2012-07-05 2012-09-04 N N N 466000000.00 466000000.00 0.0041 N 466000000.00 466000000.00 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.50% 06538EPP6 Certificate of Deposit First Tier Security 2012-07-20 2012-09-20 N N N 500000000.00 500000000.00 0.0043 N 499978000.00 499978000.00 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.50% 06538EPQ4 Certificate of Deposit First Tier Security 2012-07-23 2012-09-21 N N N 500000000.00 500000000.00 0.0043 N 499978000.00 499978000.00 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.50% 06538EE37 Certificate of Deposit First Tier Security 2012-08-02 2013-01-08 N N N 600000000.00 600000000.00 0.0052 N 599908200.00 599908200.00 Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce, 0.42% 13606X5X2 Certificate of Deposit First Tier Security 2012-07-23 2012-09-24 N N N 1200000000.00 1200000000.00 0.0104 N 1200050400.00 1200050400.00 Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce, 0.51% 13606X6B9 Certificate of Deposit First Tier Security 2012-07-24 2012-10-24 N N N 419000000.00 419000000.00 0.0036 N 418990782.00 418990782.00 Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce, 0.56% 13606XN87 Certificate of Deposit First Tier Security 2012-07-17 2013-07-17 N N N 1107000000.00 1107000000.00 0.0096 N 1107422874.00 1107422874.00 Credit Suisse New York Branch Credit Suisse New York Branch, 0.37% 22550DTU3 Certificate of Deposit First Tier Security 2012-10-01 2012-10-01 N N N 500000000.00 500000000.00 0.0043 N 500000000.00 500000000.00 DnB NOR Bank ASA DnB NOR Bank ASA, 0.32% 23330LFW1 Certificate of Deposit First Tier Security 2012-09-13 2012-09-13 N N N 203000000.00 203000000.00 0.0018 N 202995696.40 202995696.40 DnB NOR Bank ASA DnB NOR Bank ASA, 0.32% 23330LFY7 Certificate of Deposit First Tier Security 2012-09-17 2012-09-17 N N N 304000000.00 303996710.29 0.0026 N 303989846.40 303989846.40 DnB NOR Bank ASA DnB NOR Bank ASA, 0.32% 23330LGE0 Certificate of Deposit First Tier Security 2012-09-20 2012-09-20 N N N 205000000.00 205000000.00 0.0018 N 204995264.50 204995264.50 Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 0.43% 60681P4Y7 Certificate of Deposit First Tier Security 2012-07-18 2012-07-18 N N N 204000000.00 204000000.00 0.0018 N 204025826.40 204025826.40 Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 0.43% 60681P5S9 Certificate of Deposit First Tier Security 2012-08-20 2012-08-20 N N N 500000000.00 500000000.00 0.0043 N 500129850.00 500129850.00 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.18% 60687GF37 Certificate of Deposit First Tier Security 2012-07-03 2012-07-03 N N N 407000000.00 407000000.00 0.0035 N 406999552.30 406999552.30 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.18% 60687GF86 Certificate of Deposit First Tier Security 2012-07-05 2012-07-05 N N N 409000000.00 409000000.00 0.0036 N 408999304.70 408999304.70 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.30% 60687GF60 Certificate of Deposit First Tier Security 2012-09-04 2012-09-04 N N N 436000000.00 436000000.00 0.0038 N 435951342.40 435951342.40 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.35% 60687GXR4 Certificate of Deposit First Tier Security 2012-08-06 2012-08-06 N N N 607000000.00 607000000.00 0.0053 N 607070351.30 607070351.30 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.37% 60687GA32 Certificate of Deposit First Tier Security 2012-09-07 2012-09-07 N N N 815000000.00 815000000.00 0.0071 N 815015729.50 815015729.50 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.37% 60687GC22 Certificate of Deposit First Tier Security 2012-09-10 2012-09-10 N N N 808000000.00 808000000.00 0.0070 N 808016240.80 808016240.80 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.39% 60687GF52 Certificate of Deposit First Tier Security 2012-10-02 2012-10-02 N N N 408000000.00 408000000.00 0.0035 N 407989228.80 407989228.80 National Bank Canada National Bank Canada, 0.35% 63306VY38 Certificate of Deposit First Tier Security 2012-07-06 2012-07-06 N N N 359000000.00 359000000.00 0.0031 N 358998564.00 358998564.00 National Bank Canada National Bank Canada, 0.47% 63306V5M8 Certificate of Deposit First Tier Security 2012-07-10 2012-07-10 N N N 405000000.00 405000000.00 0.0035 N 405050706.00 405050706.00 National Bank Canada National Bank Canada, 0.57% 63306V6J4 Certificate of Deposit First Tier Security 2012-08-06 2013-02-04 N N N 338000000.00 338000000.00 0.0029 N 338016224.00 338016224.00 Nordea Bank Finland PLC Nordea Bank Finland PLC, 0.30% 65557V5P2 Certificate of Deposit First Tier Security 2012-08-24 2012-08-24 N N N 804000000.00 804000000.00 0.0070 N 804099937.20 804099937.20 Nordea Bank Finland PLC Nordea Bank Finland PLC, 0.30% 65557V6L0 Certificate of Deposit First Tier Security 2012-09-04 2012-09-04 N N N 59000000.00 59000000.00 0.0005 N 58999994.10 58999994.10 Nordea Bank Finland PLC Nordea Bank Finland PLC, 0.31% 65557V6S5 Certificate of Deposit First Tier Security 2012-09-10 2012-09-10 N N N 637000000.00 637000000.00 0.0055 N 637012867.40 637012867.40 Royal Bank of Canada Royal Bank of Canada, 0.54% 78009NDK9 Certificate of Deposit First Tier Security 2012-08-13 2013-02-11 N N N 235000000.00 235000000.00 0.0020 N 235079900.00 235079900.00 Royal Bank of Canada Royal Bank of Canada, 0.54% 78009NBP0 Certificate of Deposit First Tier Security 2012-09-10 2012-12-07 N N N 500000000.00 500000000.00 0.0043 N 500568500.00 500568500.00 Royal Bank of Canada Royal Bank of Canada, 0.83% 78009JKX2 Certificate of Deposit First Tier Security 2012-07-02 2013-07-01 N N N 900000000.00 900000000.00 0.0078 N 900800100.00 900800100.00 Royal Bank of Canada New York Branch Royal Bank of Canada New York Branch, 0.52% 78009J2L8 Certificate of Deposit First Tier Security 2012-08-06 2013-06-06 N N N 750000000.00 749844668.55 0.0065 N 750003000.00 750003000.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.38% 86562DAW0 Certificate of Deposit First Tier Security 2012-07-03 2012-07-03 N N N 801000000.00 801000000.00 0.0070 N 801000000.00 801000000.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.39% 86562DGW4 Certificate of Deposit First Tier Security 2012-07-05 2012-10-05 N N N 631000000.00 631000000.00 0.0055 N 630952044.00 630952044.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.39% 86562DHN3 Certificate of Deposit First Tier Security 2012-07-09 2012-10-09 N N N 803000000.00 803000000.00 0.0070 N 802935760.00 802935760.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.39% 86562DFJ4 Certificate of Deposit First Tier Security 2012-07-14 2012-09-14 N N N 805000000.00 805000000.00 0.0070 N 804951700.00 804951700.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.39% 86562DFY1 Certificate of Deposit First Tier Security 2012-07-18 2012-09-18 N N N 622000000.00 622000000.00 0.0054 N 621960192.00 621960192.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.39% 86562DFT2 Certificate of Deposit First Tier Security 2012-07-18 2012-09-17 N N N 401000000.00 401000000.00 0.0035 N 400975138.00 400975138.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.40% 86562DGH7 Certificate of Deposit First Tier Security 2012-07-25 2012-09-24 N N N 404000000.00 404000000.00 0.0035 N 403971720.00 403971720.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.41% 86562DGK0 Certificate of Deposit First Tier Security 2012-07-24 2012-10-02 N N N 406000000.00 406000000.00 0.0035 N 405968738.00 405968738.00 Sumitomo Trust & Banking Co. Ltd. Sumitomo Trust & Banking Co. Ltd., 0.41% 86562WZG6 Certificate of Deposit First Tier Security 2012-08-03 2012-08-03 N N N 606000000.00 606000000.00 0.0053 N 606094172.40 606094172.40 Sumitomo Trust & Banking Co. Ltd. Sumitomo Trust & Banking Co. Ltd., 0.41% 86562WZL5 Certificate of Deposit First Tier Security 2012-08-09 2012-08-09 N N N 401000000.00 401000000.00 0.0035 N 401072982.00 401072982.00 Sumitomo Trust & Banking Co. Ltd. Sumitomo Trust & Banking Co. Ltd., 0.41% 86562WZS0 Certificate of Deposit First Tier Security 2012-08-21 2012-08-21 N N N 403000000.00 403000000.00 0.0035 N 403094825.90 403094825.90 Sumitomo Trust & Banking Co. Ltd. Sumitomo Trust & Banking Co. Ltd., 0.45% 86562WYF9 Certificate of Deposit First Tier Security 2012-07-09 2012-07-09 N N N 402000000.00 402000000.00 0.0035 N 402026773.20 402026773.20 Sumitomo Trust & Banking Co. Ltd. Sumitomo Trust & Banking Co. Ltd., 0.45% 86562WYX0 Certificate of Deposit First Tier Security 2012-08-01 2012-08-01 N N N 401000000.00 401000000.00 0.0035 N 401073423.10 401073423.10 Sumitomo Trust & Banking Co. Ltd. Sumitomo Trust & Banking Co. Ltd., 0.45% 86562WYY8 Certificate of Deposit First Tier Security 2012-08-03 2012-08-03 N N N 402000000.00 402000000.00 0.0035 N 402078068.40 402078068.40 Svenska Handelsbanken, Inc. Svenska Handelsbanken, Inc., 0.27% 86959B6Y6 Certificate of Deposit First Tier Security 2012-07-19 2012-07-19 N N N 130000000.00 130000324.77 0.0011 N 130005772.00 130005772.00 Svenska Handelsbanken, Inc. Svenska Handelsbanken, Inc., 0.30% 86958CBR4 Certificate of Deposit First Tier Security 2012-08-30 2012-08-30 N N N 599000000.00 599000000.00 0.0052 N 598958669.00 598958669.00 Svenska Handelsbanken, Inc. Svenska Handelsbanken, Inc., 0.30% 86958CCJ1 Certificate of Deposit First Tier Security 2012-09-17 2012-09-17 N N N 202000000.00 202002186.57 0.0018 N 201930471.60 201930471.60 Svenska Handelsbanken, Inc. Svenska Handelsbanken, Inc., 0.31% 86958CCN2 Certificate of Deposit First Tier Security 2012-09-25 2012-09-25 N N N 207000000.00 207000000.00 0.0018 N 206924175.90 206924175.90 Toronto-Dominion Bank Toronto-Dominion Bank, 0.44% 89112XDH5 Certificate of Deposit First Tier Security 2012-07-09 2012-11-07 N N N 413000000.00 413000000.00 0.0036 N 412971916.00 412971916.00 Toronto-Dominion Bank Toronto-Dominion Bank, 0.47% 89112XNA9 Certificate of Deposit First Tier Security 2012-08-02 2013-02-04 N N N 82000000.00 82000000.00 0.0007 N 82005084.00 82005084.00 Toronto-Dominion Bank Toronto-Dominion Bank, 0.49% 89112XBQ7 Certificate of Deposit First Tier Security 2012-07-19 2012-10-19 N N N 292000000.00 292000000.00 0.0025 N 291991824.00 291991824.00 Toronto-Dominion Bank Toronto-Dominion Bank, 0.57% 89112XER2 Certificate of Deposit First Tier Security 2012-08-10 2012-08-10 N N N 250000000.00 250000000.00 0.0022 N 250110600.00 250110600.00 Australia & New Zealand Banking Group Ltd. Australia & New Zealand Banking Group Ltd., 0.40% 05299WRJ9 0000859994 Certificate of Deposit First Tier Security 2012-12-10 2012-12-10 N N N 362000000.00 362016255.48 0.0031 N 362197507.20 362197507.20 Australia & New Zealand Banking Group Ltd. Australia & New Zealand Banking Group Ltd., 0.41% 05299WRM2 0000859994 Certificate of Deposit First Tier Security 2012-12-14 2012-12-14 N N N 126000000.00 126000000.00 0.0011 N 126070434.00 126070434.00 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.30% 2029914E2 0000008565 Certificate of Deposit First Tier Security 2012-09-18 2012-09-18 N N N 405000000.00 405000000.00 0.0035 N 405045522.00 405045522.00 HSBC Bank PLC HSBC Bank PLC, 0.42% 35X99QBD5 0001140465 Certificate of Deposit First Tier Security 2012-12-28 2012-12-28 N N N 406000000.00 406000000.00 0.0035 N 405570289.60 405570289.60 National Australia Bank Ltd. National Australia Bank Ltd., 0.35% XS0772838545 0000833029 Certificate of Deposit First Tier Security 2012-07-10 2012-10-10 N N N 2000000000.00 2000000000.00 0.0174 N 1999892000.00 1999892000.00 National Australia Bank Ltd. National Australia Bank Ltd., 0.35% XS0772836416 0000833029 Certificate of Deposit First Tier Security 2012-07-11 2012-10-11 N N N 1000000000.00 1000000000.00 0.0087 N 999945000.00 999945000.00 National Australia Bank Ltd. National Australia Bank Ltd., 0.40% 39K99HCU2 0000833029 Certificate of Deposit First Tier Security 2012-09-10 2012-09-10 N N N 667000000.00 667000000.00 0.0058 N 667242988.10 667242988.10 National Australia Bank Ltd. National Australia Bank Ltd., 0.40% 39K99HDE7 0000833029 Certificate of Deposit First Tier Security 2012-11-29 2012-11-29 N N N 605000000.00 605000000.00 0.0053 N 605307884.50 605307884.50 National Australia Bank Ltd. National Australia Bank Ltd., 0.40% 39K99HDF4 0000833029 Certificate of Deposit First Tier Security 2012-12-20 2012-12-20 N N N 614000000.00 614000000.00 0.0053 N 613999877.20 613999877.20 Branch Banking & Trust Co. Branch Banking & Trust Co., 0.42% 10513DKZ2 Certificate of Deposit First Tier Security 2012-10-22 2012-10-22 N N N 203000000.00 203000000.00 0.0018 N 203090558.30 203090558.30 Branch Banking & Trust Co. Branch Banking & Trust Co., 0.42% 10513DLF5 Certificate of Deposit First Tier Security 2012-10-30 2012-10-30 N N N 201000000.00 201000000.00 0.0017 N 201095917.20 201095917.20 Branch Banking & Trust Co. Branch Banking & Trust Co., 0.42% 10513DLM0 Certificate of Deposit First Tier Security 2012-10-30 2012-10-30 N N N 81000000.00 81000000.00 0.0007 N 81038653.20 81038653.20 Branch Banking & Trust Co. Branch Banking & Trust Co., 0.42% 10513DLH1 Certificate of Deposit First Tier Security 2012-11-01 2012-11-01 N N N 120000000.00 120000000.00 0.0010 N 120029028.00 120029028.00 Citibank NA Citibank NA, 0.40% 1730D23B6 Certificate of Deposit First Tier Security 2012-07-09 2012-07-09 N N N 194000000.00 194000000.00 0.0017 N 194014550.00 194014550.00 Citibank NA Citibank NA, 0.40% 1730D23E0 Certificate of Deposit First Tier Security 2012-07-10 2012-07-10 N N N 388000000.00 388000000.00 0.0034 N 388032010.00 388032010.00 Citibank NA Citibank NA, 0.40% 1730D23M2 Certificate of Deposit First Tier Security 2012-07-16 2012-07-16 N N N 552000000.00 552000000.00 0.0048 N 552070380.00 552070380.00 State Street Bank & Trust Co., Boston State Street Bank & Trust Co., Boston, 0.28% 8574P06D5 Certificate of Deposit First Tier Security 2012-08-31 2012-08-31 N N N 688000000.00 688000000.00 0.0060 N 688132371.20 688132371.20 State Street Bank & Trust Co., Boston State Street Bank & Trust Co., Boston, 0.28% 8574P06H6 Certificate of Deposit First Tier Security 2012-09-13 2012-09-13 N N N 304000000.00 304000000.00 0.0026 N 304057729.60 304057729.60 State Street Bank & Trust Co., Boston State Street Bank & Trust Co., Boston, 0.28% 8574P06J2 Certificate of Deposit First Tier Security 2012-09-14 2012-09-14 N N N 304000000.00 304000000.00 0.0026 N 304058489.60 304058489.60 U.S. Treasury Bills U.S. Treasury Bills, 0.15% 9127956J5 Treasury Debt First Tier Security 2012-09-27 2012-09-27 N N N 21880000.00 21871977.33 0.0002 N 21875514.60 21875514.60 U.S. Treasury Bills U.S. Treasury Bills, 0.15% 9127956M8 Treasury Debt First Tier Security 2012-10-11 2012-10-11 N N N 865000000.00 864632375.56 0.0075 N 864775965.00 864775965.00 U.S. Treasury Bills U.S. Treasury Bills, 0.15% 9127956P1 Treasury Debt First Tier Security 2012-11-01 2012-11-01 N N N 575000000.00 574705312.39 0.0050 N 574790700.00 574790700.00 U.S. Treasury Bills U.S. Treasury Bills, 0.15% 9127956S5 Treasury Debt First Tier Security 2012-11-08 2012-11-08 N N N 1115000000.00 1114416173.27 0.0097 N 1114530585.00 1114530585.00 U.S. Treasury Bills U.S. Treasury Bills, 0.15% 9127955L1 Treasury Debt First Tier Security 2012-11-15 2012-11-15 N N N 1116000000.00 1115381026.17 0.0097 N 1115504496.00 1115504496.00 U.S. Treasury Bills U.S. Treasury Bills, 0.15% 9127956T3 Treasury Debt First Tier Security 2012-11-23 2012-11-23 N N N 1735000000.00 1733975433.48 0.0151 N 1734167200.00 1734167200.00 U.S. Treasury Bills U.S. Treasury Bills, 0.15% 9127956V8 Treasury Debt First Tier Security 2012-12-06 2012-12-06 N N N 434000000.00 433723807.11 0.0038 N 433735260.00 433735260.00 U.S. Treasury Bills U.S. Treasury Bills, 0.15% 9127955Q0 Treasury Debt First Tier Security 2012-12-13 2012-12-13 N N N 1398000000.00 1397070911.86 0.0121 N 1397077320.00 1397077320.00 U.S. Treasury Bills U.S. Treasury Bills, 0.15% 9127956X4 Treasury Debt First Tier Security 2012-12-20 2012-12-20 N N N 1379300000.00 1378311502.25 0.0120 N 1378317938.40 1378317938.40 U.S. Treasury Bills U.S. Treasury Bills, 0.15% 9127956Y2 Treasury Debt First Tier Security 2012-12-27 2012-12-27 N N N 1200000000.00 1199104999.55 0.0104 N 1199080800.00 1199080800.00 U.S. Treasury Notes U.S. Treasury Notes, 0.14% 912828PR5 Treasury Debt First Tier Security 2013-01-31 2013-01-31 N N N 1000000000.00 1002808227.60 0.0087 N 1002539000.00 1002539000.00 U.S. Treasury Notes U.S. Treasury Notes, 0.15% 912828HK9 Treasury Debt First Tier Security 2012-11-30 2012-11-30 N N N 97000000.00 98296269.59 0.0009 N 98280691.00 98280691.00 U.S. Treasury Notes U.S. Treasury Notes, 0.15% to 0.19% 912828MB3 Treasury Debt First Tier Security 2012-12-15 2012-12-15 N N N 1707000000.00 1714388100.89 0.0149 N 1714268406.00 1714268406.00 U.S. Treasury Notes U.S. Treasury Notes, 0.15% to 0.16% 912828HM5 Treasury Debt First Tier Security 2012-12-31 2012-12-31 N N N 865000000.00 879914854.53 0.0077 N 879698080.00 879698080.00 U.S. Treasury Notes U.S. Treasury Notes, 0.15% to 0.16% 912828PW4 Treasury Debt First Tier Security 2012-12-31 2012-12-31 N N N 384000000.00 384881720.84 0.0033 N 384840192.00 384840192.00 U.S. Treasury Notes U.S. Treasury Notes, 0.16% to 0.18% 912828LM0 Treasury Debt First Tier Security 2012-09-15 2012-09-15 N N N 300000000.00 300743212.46 0.0026 N 300761700.00 300761700.00 U.S. Treasury Notes U.S. Treasury Notes, 0.16% to 0.18% 912828LR9 Treasury Debt First Tier Security 2012-10-15 2012-10-15 N N N 802770000.00 805566739.56 0.0070 N 805592539.32 805592539.32 U.S. Treasury Notes U.S. Treasury Notes, 0.16% to 0.17% 912828HG8 Treasury Debt First Tier Security 2012-10-31 2012-10-31 N N N 350000000.00 354312992.47 0.0031 N 354279450.00 354279450.00 U.S. Treasury Notes U.S. Treasury Notes, 0.17% 912828LH1 Treasury Debt First Tier Security 2012-08-15 2012-08-15 N N N 336000000.00 336651379.87 0.0029 N 336669312.00 336669312.00 U.S. Treasury Notes U.S. Treasury Notes, 0.17% 912828AJ9 Treasury Debt First Tier Security 2012-08-15 2012-08-15 N N N 92000000.00 92475163.08 0.0008 N 92470764.00 92470764.00 U.S. Treasury Notes U.S. Treasury Notes, 0.17% 912828HC7 Treasury Debt First Tier Security 2012-08-31 2012-08-31 N N N 463000000.00 466043955.60 0.0041 N 466020149.00 466020149.00 U.S. Treasury Notes U.S. Treasury Notes, 0.18% 912828PD6 Treasury Debt First Tier Security 2012-10-31 2012-10-31 N N N 250000000.00 250161437.15 0.0022 N 250185500.00 250185500.00 U.S. Treasury Notes U.S. Treasury Notes, 0.18% 912828AP5 Treasury Debt First Tier Security 2012-11-15 2012-11-15 N N N 519000000.00 526401826.87 0.0046 N 526359420.00 526359420.00 U.S. Treasury Notes U.S. Treasury Notes, 0.18% 912828LX6 Treasury Debt First Tier Security 2012-11-15 2012-11-15 N N N 250000000.00 251111468.76 0.0022 N 251113250.00 251113250.00 U.S. Treasury Notes U.S. Treasury Notes, 0.18% 912828AU4 Treasury Debt First Tier Security 2013-02-15 2013-02-15 N N N 349000000.00 357034812.69 0.0031 N 356961388.00 356961388.00 U.S. Treasury Notes U.S. Treasury Notes, 0.18% to 0.19% 912828MN7 Treasury Debt First Tier Security 2013-02-15 2013-02-15 N N N 1001000000.00 1008435277.65 0.0088 N 1008351344.00 1008351344.00 U.S. Treasury Notes U.S. Treasury Notes, 0.18% 912828HT0 Treasury Debt First Tier Security 2013-02-28 2013-02-28 N N N 63000000.00 64073170.68 0.0006 N 64063125.00 64063125.00 U.S. Treasury Notes U.S. Treasury Notes, 0.18% to 0.19% 912828QK9 Treasury Debt First Tier Security 2013-02-28 2013-02-28 N N N 461000000.00 462344061.31 0.0040 N 462332751.00 462332751.00 U.S. Treasury Notes U.S. Treasury Notes, 0.19% to 0.22% 912828MG2 Treasury Debt First Tier Security 2013-01-15 2013-01-15 N N N 1089000000.00 1095810549.80 0.0095 N 1095933663.00 1095933663.00 U.S. Treasury Notes U.S. Treasury Notes, 0.20% 912828HQ6 Treasury Debt First Tier Security 2013-01-31 2013-01-31 N N N 125000000.00 126946890.27 0.0011 N 126943375.00 126943375.00 U.S. Treasury Notes U.S. Treasury Notes, 0.21% 912828MT4 Treasury Debt First Tier Security 2013-03-15 2013-03-15 N N N 45000000.00 45367816.32 0.0004 N 45370890.00 45370890.00 U.S. Treasury Notes U.S. Treasury Notes, 0.22% 912828MX5 Treasury Debt First Tier Security 2013-04-15 2013-04-15 N N N 565000000.00 571783887.54 0.0050 N 571753445.00 571753445.00 U.S. Treasury Notes U.S. Treasury Notes, 0.23% 912828NC0 Treasury Debt First Tier Security 2013-05-15 2013-05-15 N N N 627000000.00 633254414.32 0.0055 N 633172188.00 633172188.00 U.S. Treasury Notes U.S. Treasury Notes, 0.24% 912828NH9 Treasury Debt First Tier Security 2013-06-15 2013-06-15 N N N 210000000.00 211761596.72 0.0018 N 211739010.00 211739010.00 Barclays Bank PLC Barclays Bank PLC, 0.75% 06741PDD4 Financial Company Commercial Paper First Tier Security 2012-07-20 2012-07-20 N N N 122000000.00 122000000.00 0.0011 Y 122006100.00 122006100.00 Barclays Bank PLC Barclays Bank PLC, 1.00% 06741PBT1 Financial Company Commercial Paper First Tier Security 2012-08-09 2012-08-09 N N N 359000000.00 359000000.00 0.0031 Y 359111290.00 359111290.00 Barclays Bank PLC/Barclays U.S. CCP Funding LLC Barclays Bank PLC/Barclays U.S. CCP Funding LLC, 0.40% 06741GKJ3 Financial Company Commercial Paper First Tier Security 2012-08-15 2012-08-15 N N N 119000000.00 118940500.02 0.0010 N 118968929.10 118968929.10 Citigroup Funding, Inc. Citigroup Funding, Inc., 0.50% 17307RG24 Financial Company Commercial Paper First Tier Security 2012-07-02 2012-07-02 N N N 746000000.00 745989638.95 0.0065 N 745979485.00 745979485.00 Citigroup Funding, Inc. Citigroup Funding, Inc., 0.60% 17307RGT5 Financial Company Commercial Paper First Tier Security 2012-07-27 2012-07-27 N N N 602000000.00 601739133.29 0.0052 N 601838182.40 601838182.40 Citigroup Funding, Inc. Citigroup Funding, Inc., 0.60% 17307RH15 Financial Company Commercial Paper First Tier Security 2012-08-01 2012-08-01 N N N 680000000.00 679648666.44 0.0059 N 679769344.00 679769344.00 Citigroup Funding, Inc. Citigroup Funding, Inc., 0.65% 17307RH80 Financial Company Commercial Paper First Tier Security 2012-08-08 2012-08-08 N N N 759000000.00 758479241.90 0.0066 N 758451243.00 758451243.00 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.29% 20272ACA2 Financial Company Commercial Paper First Tier Security 2012-07-20 2012-10-22 N N N 170000000.00 170000000.00 0.0015 N 169989460.00 169989460.00 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.30% 20272ACP9 Financial Company Commercial Paper First Tier Security 2012-07-25 2012-11-27 N N N 175000000.00 175000000.00 0.0015 N 174978650.00 174978650.00 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.30% 20272ACR5 Financial Company Commercial Paper First Tier Security 2012-07-27 2012-11-27 N N N 226000000.00 225981664.31 0.0020 N 226008362.00 226008362.00 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.40% 20272DMH0 Financial Company Commercial Paper First Tier Security 2012-12-17 2012-12-17 N N N 100000000.00 99812222.18 0.0009 N 99841350.00 99841350.00 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.40% 20272DMM9 Financial Company Commercial Paper First Tier Security 2012-12-21 2012-12-21 N N N 100000000.00 99807777.80 0.0009 N 99836510.00 99836510.00 Credit Suisse New York Branch Credit Suisse New York Branch, 0.37% 2254EAK10 Financial Company Commercial Paper First Tier Security 2012-10-01 2012-10-01 N N N 500000000.00 499527222.30 0.0043 N 499516500.00 499516500.00 DNB Bank ASA DNB Bank ASA, 0.33% 2332K0JJ2 Financial Company Commercial Paper First Tier Security 2012-09-18 2012-09-18 N N N 792000000.00 791426460.21 0.0069 N 791504604.00 791504604.00 DNB Bank ASA DNB Bank ASA, 0.33% 2332K0K19 Financial Company Commercial Paper First Tier Security 2012-10-01 2012-10-01 N N N 400000000.00 399662666.56 0.0035 N 399655200.00 399655200.00 General Electric Capital Corp. General Electric Capital Corp., 0.40% 36959HN78 Financial Company Commercial Paper First Tier Security 2013-01-07 2013-01-07 N N N 500000000.00 498944444.30 0.0043 N 499125350.00 499125350.00 JPMorgan Chase & Co. JPMorgan Chase & Co., 0.29% 46636JAF0 Financial Company Commercial Paper First Tier Security 2012-07-12 2012-09-12 N N N 794000000.00 794000000.00 0.0069 N 793969034.00 793969034.00 JPMorgan Chase & Co. JPMorgan Chase & Co., 0.30% 4662J0H13 Financial Company Commercial Paper First Tier Security 2012-08-01 2012-08-01 N N N 549000000.00 548858174.96 0.0048 N 548922481.20 548922481.20 JPMorgan Chase & Co. JPMorgan Chase & Co., 0.30% 4662J0H88 Financial Company Commercial Paper First Tier Security 2012-08-08 2012-08-08 N N N 597000000.00 596810950.04 0.0052 N 596891883.30 596891883.30 JPMorgan Chase & Co. JPMorgan Chase & Co., 0.30% 4662J0HE5 Financial Company Commercial Paper First Tier Security 2012-08-14 2012-08-14 N N N 500000000.00 499816666.70 0.0043 N 499890950.00 499890950.00 Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 0.45% 60682WHX9 Financial Company Commercial Paper First Tier Security 2012-08-31 2012-08-31 N N N 121000000.00 120907737.50 0.0011 N 120927581.50 120927581.50 Nordea North America, Inc. Nordea North America, Inc., 0.30% 6555P0J42 Financial Company Commercial Paper First Tier Security 2012-09-04 2012-09-04 N N N 435000000.00 434764375.12 0.0038 N 434806773.00 434806773.00 Nordea North America, Inc. Nordea North America, Inc., 0.30% 6555P0J67 Financial Company Commercial Paper First Tier Security 2012-09-06 2012-09-06 N N N 396000000.00 395778900.13 0.0034 N 395814790.80 395814790.80 Skandinaviska Enskilda Banken AB Skandinaviska Enskilda Banken AB, 0.50% 83050THA2 Financial Company Commercial Paper First Tier Security 2012-08-10 2012-08-10 N N N 59000000.00 58967222.22 0.0005 N 58984306.00 58984306.00 Skandinaviska Enskilda Banken AB Skandinaviska Enskilda Banken AB, 0.50% 83050THA2 Financial Company Commercial Paper First Tier Security 2012-08-10 2012-08-10 N N N 334000000.00 333814444.50 0.0029 N 333911156.00 333911156.00 Skandinaviska Enskilda Banken AB Skandinaviska Enskilda Banken AB, 0.50% 83050THD6 Financial Company Commercial Paper First Tier Security 2012-08-13 2012-08-13 N N N 197000000.00 196882347.23 0.0017 N 196940900.00 196940900.00 Skandinaviska Enskilda Banken AB Skandinaviska Enskilda Banken AB, 0.50% 83050THE4 Financial Company Commercial Paper First Tier Security 2012-08-14 2012-08-14 N N N 179000000.00 178890611.13 0.0016 N 178944492.10 178944492.10 Skandinaviska Enskilda Banken AB Skandinaviska Enskilda Banken AB, 0.50% 83050THF1 Financial Company Commercial Paper First Tier Security 2012-08-15 2012-08-15 N N N 198000000.00 197876250.03 0.0017 N 197936580.60 197936580.60 Skandinaviska Enskilda Banken AB Skandinaviska Enskilda Banken AB, 0.50% 83050THH7 Financial Company Commercial Paper First Tier Security 2012-08-17 2012-08-17 N N N 198000000.00 197870749.96 0.0017 N 197932442.40 197932442.40 Svenska Handelsbanken, Inc. Svenska Handelsbanken, Inc., 0.30% 86958FJC2 Financial Company Commercial Paper First Tier Security 2012-09-12 2012-09-12 N N N 206000000.00 205874683.32 0.0018 N 205886267.40 205886267.40 Swedbank AB Swedbank AB, 0.35% 87019RHG4 Financial Company Commercial Paper First Tier Security 2012-08-16 2012-08-16 N N N 36000000.00 35983900.00 0.0003 N 35985312.00 35985312.00 Swedbank AB Swedbank AB, 0.35% 87019RHH2 Financial Company Commercial Paper First Tier Security 2012-08-17 2012-08-17 N N N 200000000.00 199908611.16 0.0017 N 199916160.00 199916160.00 Swedbank AB Swedbank AB, 0.35% 87019RHL3 Financial Company Commercial Paper First Tier Security 2012-08-20 2012-08-20 N N N 95000000.00 94953819.44 0.0008 N 94956908.00 94956908.00 Toronto Dominion Holdings (USA) Toronto Dominion Holdings (USA), 0.28% 89116EGX5 Financial Company Commercial Paper First Tier Security 2012-07-31 2012-07-31 N N N 600000000.00 599860000.08 0.0052 N 599907720.00 599907720.00 Toronto Dominion Holdings (USA) Toronto Dominion Holdings (USA), 0.57% 89116EHA4 Financial Company Commercial Paper First Tier Security 2012-08-10 2012-08-10 N N N 73000000.00 72953766.66 0.0006 N 72984159.00 72984159.00 UBS Finance, Inc. UBS Finance, Inc., 0.40% 90262CKC0 Financial Company Commercial Paper First Tier Security 2012-10-12 2012-10-12 N N N 1148000000.00 1146686177.37 0.0100 N 1146660284.00 1146660284.00 Westpac Banking Corp. Westpac Banking Corp., 0.40% 9612C0MH9 Financial Company Commercial Paper First Tier Security 2012-12-17 2012-12-17 N N N 400000000.00 399248889.04 0.0035 N 399179200.00 399179200.00 Westpac Banking Corp. Westpac Banking Corp., 0.40% 9612C0MK2 Financial Company Commercial Paper First Tier Security 2012-12-19 2012-12-19 N N N 500000000.00 499049999.80 0.0043 N 498953200.00 498953200.00 Ciesco LP Ciesco LP, 0.40% 17178BG58 Asset Backed Commercial Paper First Tier Security 2012-07-05 2012-07-05 N N Y GUARANTOR CITIBANK NA N/A N/A 50000000.00 49997777.78 0.0004 N 49998500.00 49998500.00 Ciesco LP Ciesco LP, 0.40% 17178BGG4 Asset Backed Commercial Paper First Tier Security 2012-07-16 2012-07-16 N N Y GUARANTOR CITIBANK NA N/A N/A 316000000.00 315947333.42 0.0027 N 315973140.00 315973140.00 Ciesco LP Ciesco LP, 0.50% 17178BGW9 Asset Backed Commercial Paper First Tier Security 2012-07-30 2012-07-30 N N Y GUARANTOR CITIBANK NA N/A N/A 528000000.00 527787333.21 0.0046 N 527916787.20 527916787.20 Govco, Inc. Govco, Inc., 0.39% 38362VG23 Asset Backed Commercial Paper First Tier Security 2012-07-02 2012-07-02 N N Y LIQUIDITY CITIBANK NA N/A N/A 82000000.00 81999111.66 0.0007 N 81998499.40 81998499.40 Govco, Inc. Govco, Inc., 0.39% 38362VG31 Asset Backed Commercial Paper First Tier Security 2012-07-03 2012-07-03 N N Y LIQUIDITY CITIBANK NA N/A N/A 132000000.00 131997140.01 0.0011 N 131996779.20 131996779.20 Govco, Inc. Govco, Inc., 0.39% 38362VGA5 Asset Backed Commercial Paper First Tier Security 2012-07-10 2012-07-10 N N Y LIQUIDITY CITIBANK NA N/A N/A 111000000.00 110989177.50 0.0010 N 110992540.80 110992540.80 Govco, Inc. Govco, Inc., 0.40% 38362VG64 Asset Backed Commercial Paper First Tier Security 2012-07-06 2012-07-06 N N Y LIQUIDITY CITIBANK NA N/A N/A 159000000.00 158991166.66 0.0014 N 158993194.80 158993194.80 Govco, Inc. Govco, Inc., 0.40% 38362VGG2 Asset Backed Commercial Paper First Tier Security 2012-07-16 2012-07-16 N N Y LIQUIDITY CITIBANK NA N/A N/A 158000000.00 157973666.71 0.0014 N 157983583.80 157983583.80 Govco, Inc. Govco, Inc., 0.50% 38362VGP2 Asset Backed Commercial Paper First Tier Security 2012-07-23 2012-07-23 N N Y LIQUIDITY CITIBANK NA N/A N/A 53000000.00 52983805.55 0.0005 N 52992224.90 52992224.90 Govco, Inc. Govco, Inc., 0.50% 38362VGW7 Asset Backed Commercial Paper First Tier Security 2012-07-30 2012-07-30 N N Y LIQUIDITY CITIBANK NA N/A N/A 122000000.00 121950861.08 0.0011 N 121976673.60 121976673.60 Manhattan Asset Funding Co. LLC Manhattan Asset Funding Co. LLC, 0.25% 56274LGJ7 Asset Backed Commercial Paper First Tier Security 2012-07-18 2012-07-18 N N Y LIQUIDITY SUMITOMO MITSUI BKG CORP N/A N/A 97400000.00 97388501.41 0.0008 N 97388691.86 97388691.86 Windmill Funding Corp. Windmill Funding Corp., 0.38% 97342GG35 Asset Backed Commercial Paper First Tier Security 2012-07-03 2012-07-03 N N Y GUARANTOR ROYAL BANK OF SCOTLAND PLC N/A N/A 80000000.00 79998311.12 0.0007 N 79998576.00 79998576.00 Windmill Funding Corp. Windmill Funding Corp., 0.39% 97342GG35 Asset Backed Commercial Paper First Tier Security 2012-07-03 2012-07-03 N N Y GUARANTOR ROYAL BANK OF SCOTLAND PLC N/A N/A 106000000.00 105997703.34 0.0009 N 105998113.20 105998113.20 Windmill Funding Corp. Windmill Funding Corp., 0.40% 97342GG35 Asset Backed Commercial Paper First Tier Security 2012-07-03 2012-07-03 N N Y GUARANTOR ROYAL BANK OF SCOTLAND PLC N/A N/A 53000000.00 52998822.22 0.0005 N 52999056.60 52999056.60 Windmill Funding Corp. Windmill Funding Corp., 0.40% 97342GG50 Asset Backed Commercial Paper First Tier Security 2012-07-05 2012-07-05 N N Y GUARANTOR ROYAL BANK OF SCOTLAND PLC N/A N/A 39000000.00 38998266.67 0.0003 N 38998958.70 38998958.70 Windmill Funding Corp. Windmill Funding Corp., 0.40% 97342GG50 Asset Backed Commercial Paper First Tier Security 2012-07-05 2012-07-05 N N Y GUARANTOR ROYAL BANK OF SCOTLAND PLC N/A N/A 100000000.00 99995555.56 0.0009 N 99997330.00 99997330.00 Windmill Funding Corp. Windmill Funding Corp., 0.40% 97342GG50 Asset Backed Commercial Paper First Tier Security 2012-07-05 2012-07-05 N N Y GUARANTOR ROYAL BANK OF SCOTLAND PLC N/A N/A 100000000.00 99995555.56 0.0009 N 99997330.00 99997330.00 Devon Energy Corp. Devon Energy Corp., 0.45% 25179JAA8 Other Commercial Paper Second Tier Security 2012-07-26 2012-07-30 Y DEVON ENERGY CORP NEW N/A N/A N N 569000000.00 569000000.00 0.0049 N 568915788.00 568915788.00 Ecolab, Inc. Ecolab, Inc., 0.52% 27887RAA9 Other Commercial Paper Second Tier Security 2012-07-11 2012-07-11 Y ECOLAB INC N/A N/A N N 381000000.00 381000000.00 0.0033 N 381004191.00 381004191.00 Hewlett-Packard Co. Hewlett-Packard Co., 0.47% 42823JGX7 Other Commercial Paper Second Tier Security 2012-07-31 2012-07-31 N N N 75000000.00 74970625.00 0.0007 N 74978332.50 74978332.50 Hewlett-Packard Co. Hewlett-Packard Co., 0.47% 42823JH24 Other Commercial Paper Second Tier Security 2012-08-02 2012-08-02 N N N 25000000.00 24989555.56 0.0002 N 24992185.00 24992185.00 Sempra Global Sempra Global, 0.42% 81685LGT6 Other Commercial Paper Second Tier Security 2012-07-27 2012-07-27 N N N 75000000.00 74977249.98 0.0007 N 74975475.00 74975475.00 Tesco Treasury Services PLC Tesco Treasury Services PLC, 0.43% 88159BG94 Other Commercial Paper Second Tier Security 2012-07-09 2012-07-09 N N N 36000000.00 35996560.00 0.0003 N 35997249.60 35997249.60 Tesco Treasury Services PLC Tesco Treasury Services PLC, 0.43% 88159BG94 Other Commercial Paper Second Tier Security 2012-07-09 2012-07-09 N N N 36000000.00 35996560.01 0.0003 N 35997249.60 35997249.60 Texas Instruments International Management Co. S.a.r.L. Texas Instruments International Management Co. S.a.r.L., 0.43% 88252AG92 Other Commercial Paper First Tier Security 2012-07-09 2012-07-09 N N N 43000000.00 42995938.89 0.0004 N 42998598.20 42998598.20 Verizon Communications, Inc. Verizon Communications, Inc., 0.45% 92344PUW4 Other Commercial Paper Second Tier Security 2012-08-01 2012-08-03 Y VERIZON COMMUNICATIONS INC N/A N/A N N 375000000.00 375000000.00 0.0033 N 374890875.00 374890875.00 Virginia Electric & Power Co. Virginia Electric & Power Co., 0.42% 92780JGA3 Other Commercial Paper Second Tier Security 2012-07-10 2012-07-10 N N N 30000000.00 29996850.00 0.0003 N 29997432.00 29997432.00 Xerox Corp. Xerox Corp., 0.68% 98412EGL3 Other Commercial Paper Second Tier Security 2012-07-20 2012-07-20 N N N 38000000.00 37986362.22 0.0003 N 37989580.40 37989580.40 Xerox Corp. Xerox Corp., 0.68% 98412EGL3 Other Commercial Paper Second Tier Security 2012-07-20 2012-07-20 N N N 29000000.00 28989592.22 0.0003 N 28992048.20 28992048.20 Xerox Corp. Xerox Corp., 0.70% 98412EGP4 Other Commercial Paper Second Tier Security 2012-07-23 2012-07-23 N N N 83000000.00 82964494.44 0.0007 N 82973440.00 82973440.00 Xerox Corp. Xerox Corp., 0.74% 98412EGW9 Other Commercial Paper Second Tier Security 2012-07-30 2012-07-30 N N N 46000000.00 45972578.90 0.0004 N 45980077.40 45980077.40 Xerox Corp. Xerox Corp., 0.75% 98412EGT6 Other Commercial Paper Second Tier Security 2012-07-27 2012-07-27 N N N 46000000.00 45975083.34 0.0004 N 45982363.60 45982363.60 Xerox Corp. Xerox Corp., 0.75% 98412EGT6 Other Commercial Paper Second Tier Security 2012-07-27 2012-07-27 N N N 39000000.00 38978874.99 0.0003 N 38985047.40 38985047.40 Xerox Corp. Xerox Corp., 0.75% 98412EHD0 Other Commercial Paper Second Tier Security 2012-08-13 2012-08-13 N N N 21000000.00 20981187.50 0.0002 N 20980302.00 20980302.00 Xerox Corp. Xerox Corp., 0.75% 98412EHD0 Other Commercial Paper Second Tier Security 2012-08-13 2012-08-13 N N N 23000000.00 22979395.83 0.0002 N 22978426.00 22978426.00 Straight-A Funding LLC Straight-A Funding LLC, 0.18% (Liquidity Facility Federal Financing Bank) 86257JQ42 Government Agency Debt First Tier Security 2012-07-06 2012-07-06 N N Y LIQUIDITY FEDERAL FINANCING BANK N/A N/A 220000000.00 219998900.00 0.0019 N 219997976.00 219997976.00 Straight-A Funding LLC Straight-A Funding LLC, 0.18% (Liquidity Facility Federal Financing Bank) 86257YDL5 Government Agency Debt First Tier Security 2012-07-06 2012-07-06 N N Y LIQUIDITY FEDERAL FINANCING BANK N/A N/A 35088000.00 35087824.56 0.0003 N 35087677.19 35087677.19 Straight-A Funding LLC Straight-A Funding LLC, 0.18% (Liquidity Facility Federal Financing Bank) 86257JQ59 Government Agency Debt First Tier Security 2012-07-06 2012-07-06 N N Y LIQUIDITY FEDERAL FINANCING BANK N/A N/A 141000000.00 140999295.00 0.0012 N 140998702.80 140998702.80 Straight-A Funding LLC Straight-A Funding LLC, 0.18% (Liquidity Facility Federal Financing Bank) 86257FFU4 Government Agency Debt First Tier Security 2012-07-09 2012-07-09 N N Y LIQUIDITY FEDERAL FINANCING BANK N/A N/A 186000000.00 185998140.00 0.0016 N 185997730.80 185997730.80 Straight-A Funding LLC Straight-A Funding LLC, 0.18% (Liquidity Facility Federal Financing Bank) 86257JQ75 Government Agency Debt First Tier Security 2012-07-09 2012-07-09 N N Y LIQUIDITY FEDERAL FINANCING BANK N/A N/A 82000000.00 81999180.00 0.0007 N 81998999.60 81998999.60 Straight-A Funding LLC Straight-A Funding LLC, 0.18% (Liquidity Facility Federal Financing Bank) 86257JQ83 Government Agency Debt First Tier Security 2012-07-09 2012-07-09 N N Y LIQUIDITY FEDERAL FINANCING BANK N/A N/A 60000000.00 59999400.00 0.0005 N 59999268.00 59999268.00 Straight-A Funding LLC Straight-A Funding LLC, 0.18% (Liquidity Facility Federal Financing Bank) 86257EHY7 Government Agency Debt First Tier Security 2012-07-13 2012-07-13 N N Y LIQUIDITY FEDERAL FINANCING BANK N/A N/A 94000000.00 93995770.00 0.0008 N 93996841.60 93996841.60 Straight-A Funding LLC Straight-A Funding LLC, 0.18% (Liquidity Facility Federal Financing Bank) 86257EJC3 Government Agency Debt First Tier Security 2012-07-13 2012-07-13 N N Y LIQUIDITY FEDERAL FINANCING BANK N/A N/A 49000000.00 48997795.00 0.0004 N 48998353.60 48998353.60 Straight-A Funding LLC Straight-A Funding LLC, 0.18% (Liquidity Facility Federal Financing Bank) 86257GW25 Government Agency Debt First Tier Security 2012-07-13 2012-07-13 N N Y LIQUIDITY FEDERAL FINANCING BANK N/A N/A 62000000.00 61997210.00 0.0005 N 61997916.80 61997916.80 Straight-A Funding LLC Straight-A Funding LLC, 0.18% (Liquidity Facility Federal Financing Bank) 86257FGK5 Government Agency Debt First Tier Security 2012-07-16 2012-07-16 N N Y LIQUIDITY FEDERAL FINANCING BANK N/A N/A 375000000.00 374981250.00 0.0033 N 374986237.50 374986237.50 Straight-A Funding LLC Straight-A Funding LLC, 0.18% (Liquidity Facility Federal Financing Bank) 86257FGN9 Government Agency Debt First Tier Security 2012-07-19 2012-07-19 N N Y LIQUIDITY FEDERAL FINANCING BANK N/A N/A 288447000.00 288425366.48 0.0025 N 288431568.09 288431568.09 Straight-A Funding LLC Straight-A Funding LLC, 0.18% (Liquidity Facility Federal Financing Bank) 86257EJM1 Government Agency Debt First Tier Security 2012-07-23 2012-07-23 N N Y LIQUIDITY FEDERAL FINANCING BANK N/A N/A 318000000.00 317972970.00 0.0028 N 317980411.20 317980411.20 Straight-A Funding LLC Straight-A Funding LLC, 0.18% (Liquidity Facility Federal Financing Bank) 86257K4E1 Government Agency Debt First Tier Security 2012-07-24 2012-07-24 N N Y LIQUIDITY FEDERAL FINANCING BANK N/A N/A 106064000.00 106054454.24 0.0009 N 106057031.60 106057031.60 Straight-A Funding LLC Straight-A Funding LLC, 0.18% (Liquidity Facility Federal Financing Bank) 86257EJV1 Government Agency Debt First Tier Security 2012-07-26 2012-07-26 N N Y LIQUIDITY FEDERAL FINANCING BANK N/A N/A 305000000.00 304966450.00 0.0027 N 304974258.00 304974258.00 Straight-A Funding LLC Straight-A Funding LLC, 0.18% (Liquidity Facility Federal Financing Bank) 86257EKQ0 Government Agency Debt First Tier Security 2012-08-09 2012-08-09 N N Y LIQUIDITY FEDERAL FINANCING BANK N/A N/A 175000000.00 174968500.00 0.0015 N 174970127.50 174970127.50 Federal Home Loan Bank Federal Home Loan Bank, 0.25% 313375Z59 Government Agency Debt First Tier Security 2012-11-06 2012-11-06 N N N 50000000.00 49995755.10 0.0004 N 50013750.00 50013750.00 Freddie Mac Freddie Mac, 0.20% 3134G13Z5 Government Agency Debt First Tier Security 2012-07-10 2012-08-10 N N N 750000000.00 749958570.45 0.0065 N 750111750.00 750111750.00 Royal Bank of Canada Royal Bank of Canada, 0.52% 78008FBA1 Other Note First Tier Security 2012-07-02 2013-07-01 N N N 1300000000.00 1300000000.00 0.0113 N 1300189800.00 1300189800.00 Royal Bank of Canada Royal Bank of Canada, 0.52% 78008KXS7 Other Note First Tier Security 2012-08-06 2013-06-06 N N N 376000000.00 375922127.17 0.0033 N 376155664.00 376155664.00 Royal Bank of Canada Royal Bank of Canada, 0.72% 78008FAM6 Other Note First Tier Security 2012-07-16 2013-07-15 N N N 750000000.00 750000000.00 0.0065 N 750839250.00 750839250.00 New York Dorm. Auth. Revs. New York Dorm. Auth. Revs., 0.25% (City Univ. Proj.) Series 2008 C, LOC Bank of America NA VRDN 64983M4P0 Variable Rate Demand Note First Tier Security 2012-07-06 2012-07-06 Y BANK OF AMERICA NA N/A N/A Y BANK OF AMERICA NA N/A N/A N 115150000.00 115150000.00 0.0010 N 115150000.00 115150000.00 New York Hsg. Fin. Agcy. Rev. New York Hsg. Fin. Agcy. Rev., 0.17% (55 West 25th Street Hsg. Proj.) Series 2005 A, LOC Fannie Mae VRDN 64986ME68 Variable Rate Demand Note First Tier Security 2012-07-06 2012-07-06 Y FANNIE MAE N/A N/A Y FANNIE MAE N/A N/A N 105400000.00 105400000.00 0.0009 N 105400000.00 105400000.00 New York Hsg. Fin. Agcy. Rev. New York Hsg. Fin. Agcy. Rev., 0.18% (66 West 38th Street Hsg. Proj.) Series A, LOC Fannie Mae VRDN 64986MXX8 Variable Rate Demand Note First Tier Security 2012-07-06 2012-07-06 Y FANNIE MAE N/A N/A Y FANNIE MAE N/A N/A N 44300000.00 44300000.00 0.0004 N 44300000.00 44300000.00 New York Hsg. Fin. Agcy. Rev. New York Hsg. Fin. Agcy. Rev., 0.18% (101 West End Hsg. Proj.) Series 1999 A, LOC Fannie Mae VRDN 64986MLD5 Variable Rate Demand Note First Tier Security 2012-07-06 2012-07-06 Y FANNIE MAE N/A N/A Y FANNIE MAE N/A N/A N 52850000.00 52850000.00 0.0005 N 52850000.00 52850000.00 New York Hsg. Fin. Agcy. Rev. New York Hsg. Fin. Agcy. Rev., 0.18% (101 West End Hsg. Proj.) Series 1998 A, LOC Fannie Mae VRDN 64986MLC7 Variable Rate Demand Note First Tier Security 2012-07-06 2012-07-06 Y FANNIE MAE N/A N/A Y FANNIE MAE N/A N/A N 30800000.00 30800000.00 0.0003 N 30800000.00 30800000.00 New York Metropolitan Trans. Auth. Rev. New York Metropolitan Trans. Auth. Rev., 0.22% Series 2011 B, LOC Bank of America NA VRDN 59259YHZ5 Variable Rate Demand Note First Tier Security 2012-07-06 2012-07-06 Y BANK OF AMERICA NA N/A N/A Y BANK OF AMERICA NA N/A N/A N 97560000.00 97560000.00 0.0008 N 97560000.00 97560000.00 LP Pinewood SPV LLC Taxable LP Pinewood SPV LLC Taxable, 0.21% LOC Wells Fargo Bank NA VRDN 50212RAA7 Variable Rate Demand Note First Tier Security 2012-07-06 2012-07-06 Y WELLS FARGO BK NATL ASSN N/A N/A Y WELLS FARGO BK NATL ASSN N/A N/A N 181000000.00 181000000.00 0.0016 N 181000000.00 181000000.00 California Health Facilities Fing. Auth. Rev. California Health Facilities Fing. Auth. Rev., 0.26% (Catholic Healthcare West Proj.) Series 2005 I, LOC Bank of America NA VRDN 13033FYE4 Variable Rate Demand Note First Tier Security 2012-07-06 2012-07-06 Y BANK OF AMERICA NA N/A N/A Y BANK OF AMERICA NA N/A N/A N 30970000.00 30970000.00 0.0003 N 30970000.00 30970000.00 California Poll. Cont. Fing. Auth. Solid Waste Disp. Rev. California Poll. Cont. Fing. Auth. Solid Waste Disp. Rev., 0.24% (Recology, Inc. Proj.) Series 2010 A, LOC Bank of America NA VRDN 130536PN9 Variable Rate Demand Note First Tier Security 2012-07-06 2012-07-06 Y BANK OF AMERICA NA N/A N/A Y BANK OF AMERICA NA N/A N/A N 70000000.00 70000000.00 0.0006 N 70000000.00 70000000.00 Simi Valley Multi-family Hsg. Rev. Simi Valley Multi-family Hsg. Rev., 0.16% (Parker Ranch Proj.) Series A, LOC Fannie Mae VRDN 828905EA3 Variable Rate Demand Note First Tier Security 2012-07-06 2012-07-06 Y FANNIE MAE N/A N/A Y FANNIE MAE N/A N/A N 12500000.00 12500000.00 0.0001 N 12500000.00 12500000.00 Cobb County Kennestone Hosp. Auth. Rev. Cobb County Kennestone Hosp. Auth. Rev., 0.33% (WellStar Health Sys. Proj.) Series 2005 A, LOC Bank of America NA VRDN 190813MM4 Variable Rate Demand Note First Tier Security 2012-07-06 2012-07-06 Y BANK OF AMERICA NA N/A N/A Y BANK OF AMERICA NA N/A N/A N 57000000.00 57000000.00 0.0005 N 57000000.00 57000000.00 Clark County Arpt. Rev. 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Care Commission Hosp. Rev., 0.27% (CaroMont Health Proj.) Series 2003 A, LOC Bank of America NA VRDN 65820HVF7 Variable Rate Demand Note First Tier Security 2012-07-06 2012-07-06 Y BANK OF AMERICA NA N/A N/A Y BANK OF AMERICA NA N/A N/A N 34650000.00 34650000.00 0.0003 N 34650000.00 34650000.00 Gulf Coast Waste Disp. Auth. Solid Waste Disp. Rev. Gulf Coast Waste Disp. Auth. Solid Waste Disp. Rev., 0.23% (Waste Mgmt., Inc. Proj.) Series A, LOC JPMorgan Chase Bank VRDN 402231AX2 Variable Rate Demand Note First Tier Security 2012-07-06 2012-07-06 Y JPMORGAN CHASE BANK NA N/A N/A Y JPMORGAN CHASE BANK NA N/A N/A N 25200000.00 25200000.00 0.0002 N 25200000.00 25200000.00 USF Fing. Corp. Ctfs. of Prtn. USF Fing. Corp. 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Metropolitan Life Insurance Co., 0.80% 591999DQ7 0000728618 Insurance Company Funding Agreement First Tier Security 2012-07-02 2012-07-20 Y METROPOLITAN LIFE INS CO N/A N/A N N 175000000.00 175000000.00 0.0015 Y 174983550.00 174983550.00 Royal Bank of Scotland PLC Connecticut Branch Royal Bank of Scotland PLC Connecticut Branch, 0.32% 35N99XAG5 0000729153 Other Instrument Time Deposits First Tier Security 2012-07-06 2012-07-06 N N N 1068000000.00 1068000000.00 0.0093 N 1068000000.00 1068000000.00 GE Equipment Small Ticket LLC GE Equipment Small Ticket LLC, 0.50% 36162DAA7 Other Instrument Asset-Backed Securities First Tier Security 2012-11-21 2012-11-21 N N N 7628851.00 7628851.00 0.0001 N 7630575.88 7630575.88 Bank of America NA In a joint trading account with Bank of America NA at 0.21%, dated 6/29/2012 due 07/02/2012 45G99K7C3_04197 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2035-08-15 2038-12-15 0.614 - 5.5 Government Agency Debt 217662541.34 119438984.37 FEDERAL NATIONAL MORTGAGE ASSOC 2035-10-25 2040-04-25 0.555 - 6 Government Agency Debt 294712414.76 164766256.58 GOVERNMENT NATIONAL MORTAGE ASSOC 2034-01-16 2040-04-16 0.423 - 6.5 Government Agency Debt 1712423216.43 1317194525.49 Unrated Security 2012-07-02 2012-07-02 N N N 1554732438.00 1554732438.15 0.0135 N 1554732438.15 1554732438.15 Barclays Capital, Inc. In a joint trading account with Barclays Capital, Inc. at 0.21%, dated 6/29/2012 due 07/02/2012 45G99K7C3_06453 Government Agency Repurchase Agreement Y US TREASURY 2012-11-15 2020-05-15 0.125 - 5.125 Treasury Debt 4902702.34 5286156.46 FEDERAL HOME LOAN MORTGAGE CORP 2042-07-01 2042-07-01 4 - 4 Government Agency Debt 825966.77 898583.38 FEDERAL NATIONAL MORTGAGE ASSOC 2039-12-01 2041-12-01 4 - 5.5 Government Agency Debt 1750088.56 1744505.82 Unrated Security 2012-07-02 2012-07-02 N N N 7773662.00 7773662.19 0.0001 N 7773662.19 7773662.19 Citibank NA Citibank NA, 0.18% 44Q99CTT2 0000036684 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2019-09-01 2042-06-01 2.35 - 6 Government Agency Debt 409499863.00 184704209.66 FEDERAL NATIONAL MORTGAGE ASSOC 2017-05-01 2047-12-01 2.34 - 8 Government Agency Debt 865691953.00 362332309.15 GOVERNMENT NATIONAL MORTAGE ASSOC 2042-03-20 2042-03-20 3 - 3 Government Agency Debt 3578263.00 3780005.49 First Tier Security 2012-07-03 2012-07-03 N N N 540000000.00 540000000.00 0.0047 N 540000000.00 540000000.00 Citibank NA In a joint trading account with Citibank NA at 0.21%, dated 6/29/2012 due 07/02/2012 45G99K7C3_26602 Government Agency Repurchase Agreement Y GOVERNMENT NATIONAL MORTAGE ASSOC 2022-03-20 2041-10-20 1.125 - 5.5 Government Agency Debt 86990012.65 4573334.28 FEDERAL NATIONAL MORTGAGE ASSOC 2013-05-01 2047-09-01 0.784 - 8 Government Agency Debt 314030793.83 105760678.46 FEDERAL HOME LOAN MORTGAGE CORP 2018-01-01 2048-07-01 1.976 - 7 Government Agency Debt 179497075.65 48251339.01 Unrated Security 2012-07-02 2012-07-02 N N N 155473244.00 155473243.81 0.0014 N 155473243.81 155473243.81 Credit Agricole CIB New York Branch In a joint trading account with Credit Agricole CIB New York Branch at 0.21%, dated 6/29/2012 due 07/02/2012 45G99K7C3_04361 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2038-04-01 2042-06-01 4 - 5 Government Agency Debt 18502016.50 10205039.38 US TREASURY 2013-06-27 2038-05-15 0 - 7.625 Treasury Debt 39105315.92 47592545.67 FEDERAL NATIONAL MORTGAGE ASSOC 2027-01-01 2042-06-01 3 - 5 Government Agency Debt 43584805.98 37370764.41 Unrated Security 2012-07-02 2012-07-02 N N N 93283946.00 93283946.29 0.0008 N 93283946.29 93283946.29 Credit Suisse Securities (USA) LLC Credit Suisse Securities (USA) LLC, 0.17% 46P993GJ4 0000318336 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2012-10-01 2048-04-01 2.5 - 8.5 Government Agency Debt 2107844449.00 1398430708.32 First Tier Security 2012-07-05 2012-07-05 N N N 1371000000.00 1371000000.00 0.0119 N 1371000000.00 1371000000.00 Credit Suisse Securities (USA) LLC Credit Suisse Securities (USA) LLC, 0.18% 46P993HU8 0000318336 Government Agency Repurchase Agreement Y GOVERNMENT NATIONAL MORTAGE ASSOC 2024-12-15 2042-06-20 3.5 - 8 Government Agency Debt 1233310041.00 911882942.71 First Tier Security 2012-07-06 2012-07-06 N N N 894000000.00 894000000.00 0.0078 N 894000000.00 894000000.00 Deutsche Bank Securities, Inc. In a joint trading account with Deutsche Bank Securities, Inc. at 0.21%, dated 6/29/2012 due 07/02/2012 45G99K7C3_06399 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2031-05-25 2042-07-25 2.5 - 7 Government Agency Debt 80207214.37 80070121.78 Unrated Security 2012-07-02 2012-07-02 N N N 77736622.00 77736621.91 0.0007 N 77736621.91 77736621.91 Goldman Sachs & Co. Goldman Sachs & Co., 0.19% 44X99HUC8 0000769993 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2022-12-01 2042-06-01 2.635 - 6.5 Government Agency Debt 243268333.00 146108932.64 FEDERAL NATIONAL MORTGAGE ASSOC 2024-09-01 2042-05-01 2.031 - 6.5 Government Agency Debt 657720237.00 316983287.79 First Tier Security 2012-07-03 2012-07-03 N N N 454000000.00 454000000.00 0.0039 N 454000000.00 454000000.00 ING Financial Markets LLC In a joint trading account with ING Financial Markets LLC at 0.21%, dated 6/29/2012 due 07/02/2012 45G99K7C3_40488 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2018-04-01 2042-06-15 0 - 9.25 Government Agency Debt 270945485.88 80574580.45 FEDERAL AGRICULTURE MORTGAGE CORP 2021-03-09 2026-03-09 4.16 - 4.94 Government Agency Debt 74169.29 87753.12 US TREASURY 2015-09-30 2015-09-30 1.25 - 1.25 Treasury Debt 122.53 125.97 FINANCE CORPORATION 2018-11-02 2018-11-02 0 - 0 Government Agency Debt 4656.00 4211.40 GOVERNMENT NATIONAL MORTAGE ASSOC 2024-07-20 2041-09-16 0.55 - 7.5 Government Agency Debt 14299751.43 10346495.01 FEDERAL NATIONAL MORTGAGE ASSOC 2014-07-01 2044-10-01 0.575 - 8.5 Government Agency Debt 338489668.10 38501735.00 Unrated Security 2012-07-02 2012-07-02 N N N 126610569.00 126610568.94 0.0011 N 126610568.94 126610568.94 J.P. Morgan Securities, Inc. In a joint trading account with J.P. Morgan Securities, Inc. at 0.21%, dated 6/29/2012 due 07/02/2012 45G99K7C3_55502 Government Agency Repurchase Agreement Y US TREASURY 2013-06-27 2013-06-27 0 - 0 Treasury Debt 1741.30 1737.61 FEDERAL NATIONAL MORTGAGE ASSOC 2017-05-01 2042-06-01 1.785 - 6.5 Government Agency Debt 449785049.32 222016034.21 Unrated Security 2012-07-02 2012-07-02 N N N 217662541.00 217662541.34 0.0019 N 217662541.34 217662541.34 Mizuho Securities USA, Inc. In a joint trading account with Mizuho Securities USA, Inc. at 0.21%, dated 6/29/2012 due 07/02/2012 45G99K7C3_08126 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2031-09-25 2043-10-25 6.5 - 7.5 Government Agency Debt 37482250.50 5202770.76 US TREASURY 2012-06-30 2040-02-15 0 - 4.875 Treasury Debt 284973718.32 318126571.84 FEDERAL NATIONAL MORTGAGE ASSOC 2034-03-25 2044-01-25 7 - 7.5 Government Agency Debt 3855736.45 579695.70 GOVERNMENT NATIONAL MORTAGE ASSOC 2035-11-16 2062-06-20 0.489 - 5.5 Government Agency Debt 833366670.61 787278531.81 Unrated Security 2012-07-02 2012-07-02 N N N 1088312707.00 1088312706.70 0.0095 N 1088312706.70 1088312706.70 Morgan Stanley & Co., Inc. In a joint trading account with Morgan Stanley & Co., Inc. at 0.21%, dated 6/29/2012 due 07/02/2012 45G99K7C3_55501 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2040-12-01 2042-06-01 3.5 - 4 Government Agency Debt 14905176.66 15858601.33 Unrated Security 2012-07-02 2012-07-02 N N N 15547324.00 15547324.38 0.0001 N 15547324.38 15547324.38 RBC Capital Markets Corp. RBC Capital Markets Corp., 0.21% 41B99C6N2 0000050916 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2018-04-15 2042-05-15 0.539 - 6 Government Agency Debt 315075291.00 183408365.68 FEDERAL NATIONAL MORTGAGE ASSOC 2018-05-25 2042-06-25 0.645 - 4.5 Government Agency Debt 284241397.00 211106696.32 GOVERNMENT NATIONAL MORTAGE ASSOC 2040-05-20 2040-05-20 2.5 - 2.5 Government Agency Debt 2547114.00 2285869.59 First Tier Security 2012-07-06 2012-07-06 Y RBC CAP MARKETS LLC(GOV REPO) N/A N/A N N 385000000.00 385000000.00 0.0033 N 385000000.00 385000000.00 RBC Capital Markets Corp. RBC Capital Markets Corp., 0.23% 41B99C7T8 0000050916 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2014-03-15 2042-06-15 0.742 - 9 Government Agency Debt 180613218.00 123206526.89 FEDERAL NATIONAL MORTGAGE ASSOC 2017-09-25 2049-12-25 0.739 - 9.5 Government Agency Debt 94105842.00 63231810.82 First Tier Security 2012-07-06 2012-07-06 Y RBC CAP MARKETS LLC(GOV REPO) N/A N/A N N 181000000.00 181000000.00 0.0016 N 181000000.00 181000000.00 Societe Generale In a joint trading account with Societe Generale at 0.21%, dated 6/29/2012 due 07/02/2012 45G99K7C3_74037 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2035-05-01 2035-05-01 2.922 - 2.922 Government Agency Debt 1037571.34 233493.01 FEDERAL NATIONAL MORTGAGE ASSOC 2012-12-01 2041-12-01 2.574 - 5.105 Government Agency Debt 120285579.69 63200594.90 Unrated Security 2012-07-02 2012-07-02 N N N 62189298.00 62189297.53 0.0005 N 62189297.53 62189297.53 UBS Securities LLC UBS Securities LLC, 0.20% 44T99C2M3 0000230611 Government Agency Repurchase Agreement Y GOVERNMENT NATIONAL MORTAGE ASSOC 2025-01-15 2042-06-15 2.5 - 6.5 Government Agency Debt 817515654.00 698738816.99 First Tier Security 2012-07-06 2012-07-06 Y UBS SECURITIES LLC (GOV REPO) N/A N/A N N 685000000.00 685000000.00 0.0060 N 685000000.00 685000000.00 UBS Securities LLC In a joint trading account with UBS Securities LLC at 0.21%, dated 6/29/2012 due 07/02/2012 45G99K7C3_06042 Government Agency Repurchase Agreement Y US TREASURY 2012-06-30 2042-02-15 0 - 10.625 Treasury Debt 23116567.78 25225521.05 GOVERNMENT NATIONAL MORTAGE ASSOC 2026-04-20 2042-06-20 2.5 - 4.5 Government Agency Debt 6671707.03 6502291.82 Unrated Security 2012-07-02 2012-07-02 N N N 31094649.00 31094648.76 0.0003 N 31094648.76 31094648.76 Barclays Capital, Inc. Barclays Capital, Inc., 0.30% 45J999XF9 0000851376 Other Repurchase Agreement N AMERICAN EXPRESS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 48788.00 2765791.72 AMERICAN REPROGRAPH 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 544885.00 2637243.40 AUTOLIV 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 54579.00 2874130.14 BC IP SP500 VIX21-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 46848.00 2674552.32 BEST BUY 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 124969.00 2609352.72 BLYTH 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 76893.00 2647425.99 CIGNA CORP 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 62472.00 2760012.96 CVR ENERGY 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 101554.00 2660714.80 CHICO'S FAS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 193952.00 2757997.44 CINTAS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 72805.00 2722907.00 COLONY FINL REIT 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 162293.00 2781702.02 CRAY 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 232151.00 2674379.52 DISCOVER FNCL SRVCS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 79004.00 2635573.44 DOLBY LABS-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 63871.00 2592523.89 EQUIY RES-SBI 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 45667.00 2764223.51 GOLDMAN SACHS GROUP 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 28763.00 2689052.87 HCP REIT 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 62271.00 2696334.30 HILLTOP HOLDINGS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 97381.00 1000102.87 INTL PAPER 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 99091.00 2763647.99 ISHS S&P LATIN AMER 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 72576.00 2879815.68 KROGER 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 125562.00 2877881.04 MKS INSTRUMENTS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 92583.00 2608988.94 MASTEC 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 202577.00 2854309.93 NIKE -B- 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 27530.00 2667381.70 P.F. 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BNP Paribas Securities Corp., 0.35% 45A99VSB4 0001197610 Other Repurchase Agreement N FEDERAL HOME LOAN MORTGAGE CORP 2024-12-15 2041-12-15 0 - 23.68 Government Agency Debt 407951426.00 62480319.42 FEDERAL NATIONAL MORTGAGE ASSOC 2034-05-25 2041-03-01 2.851 - 6.511 Government Agency Debt 312135236.00 113781784.94 GOVERNMENT NATIONAL MORTAGE ASSOC 2035-03-20 2040-12-20 4.5 - 6.356 Government Agency Debt 330550265.00 28767328.82 First Tier Security 2012-07-02 2012-07-02 N N N 200000000.00 200000000.00 0.0017 N 200000000.00 200000000.00 Citigroup Global Markets, Inc. 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MORGAN ALTERNATIVE LOAN T 2037-03-25 2037-03-25 2.916 - 5.76 Other Instrument GOVERNMENT AGENCY 24500000.00 6645947.84 LEHMAN MORTGAGE TRUST 2006-6 2036-10-25 2036-10-25 6.255 - 6.255 Other Instrument GOVERNMENT AGENCY 53766000.00 6505749.26 MERRILL LYNCH MORTGAGE 2033-07-25 2033-07-25 2.766 - 2.766 Other Instrument GOVERNMENT AGENCY 1311000.00 14893.54 MERRILL LYNCH MORTGAGE INVESTO 2037-04-25 2037-04-25 5.235 - 5.235 Other Instrument GOVERNMENT AGENCY 4005000.00 34037.21 MERRILL LYNCH MORTGAGE BACKED 2037-06-25 2037-06-25 3.379 - 5.646 Other Instrument GOVERNMENT AGENCY 23101000.00 592408.99 MORGAN STANLEY MORTGAGE LOAN T 2037-08-25 2037-08-25 0.645 - 0.645 Other Instrument GOVERNMENT AGENCY 50000000.00 9206292.03 OAKWOOD MORTGAGE INVESTORS INC 2027-04-15 2027-04-15 7.96 - 7.96 Other Instrument GOVERNMENT AGENCY 13835000.00 8817904.97 RFMSI SERIES 2007-SA4 TRUST 2037-10-25 2037-10-25 5.375 - 5.375 Other Instrument GOVERNMENT AGENCY 35000000.00 10692248.64 RAST 2007-A7 2037-07-25 2037-07-25 6 - 6 Other Instrument GOVERNMENT AGENCY 42506900.00 590820.16 STRUCTURED ADJUSTABLE RATE MOR 2036-03-25 2036-03-25 5.311 - 5.311 Other Instrument GOVERNMENT AGENCY 109125000.00 29691159.75 TBW MORTGAGE-BACKED TRUST SERI 2036-05-25 2036-07-25 6 - 6.5 Other Instrument GOVERNMENT AGENCY 180000000.00 43590325.11 WAMU MORTGAGE PASS-THROUGH CER 2037-02-25 2037-02-25 5.178 - 5.178 Other Instrument GOVERNMENT AGENCY 10519000.00 136477.64 ALTERNATIVE LOAN TRUST 2007-7T 2037-04-25 2037-04-25 0.645 - 0.645 Other Instrument GOVERNMENT AGENCY 10000000.00 2757828.24 ALTERNATIVE LOAN TRUST 2006-29 2036-10-25 2036-10-25 0.645 - 0.645 Other Instrument GOVERNMENT AGENCY 20000000.00 6814087.03 ALTERNATIVE LOAN TRUST 2006-40 2036-12-25 2036-12-25 0.645 - 0.645 Other Instrument GOVERNMENT AGENCY 24670000.00 4412541.48 BANC OF AMERICA FUNDING 2006-A 2036-02-20 2036-02-20 2.92 - 2.92 Other Instrument GOVERNMENT AGENCY 100000000.00 19055466.35 BANC OF AMERICA MORTGAGE SECUR 2033-08-25 2033-08-25 2.818 - 2.818 Other Instrument GOVERNMENT AGENCY 1011000.00 10682.88 BANC OF AMERICA FUNDING 2006-H 2046-09-20 2046-09-20 2.697 - 2.697 Other Instrument GOVERNMENT AGENCY 11600000.00 2542836.85 BANC OF AMERICA FUNDING 2006-J 2047-01-20 2047-01-20 5.7 - 5.7 Other Instrument GOVERNMENT AGENCY 20600000.00 5847821.08 BA MORTGAGE SECURITIES, INC. 2033-04-25 2033-04-25 3.086 - 3.086 Other Instrument GOVERNMENT AGENCY 1021000.00 2346.19 CHL MORTGAGE PASS-THROUGH TRUS 2037-02-25 2037-02-25 6 - 6 Other Instrument GOVERNMENT AGENCY 20000000.00 7150186.30 First Tier Security 2012-07-23 2012-07-23 N N N 202000000.00 202000000.00 0.0018 Y 202000000.00 202000000.00 Credit Suisse Securities (USA) LLC Credit Suisse Securities (USA) LLC, 0.90% 44U99VRH3 0000318336 Other Repurchase Agreement N 101-500 2012-06-30 2012-06-30 N/A Other Instrument CORPORATE 28921295.00 441313334.29 First Tier Security 2012-08-01 2012-08-01 N N N 408000000.00 408000000.00 0.0035 Y 408000000.00 408000000.00 Deutsche Bank Securities, Inc. Deutsche Bank Securities, Inc., 0.50% 46J99EGS7 0000058056 Other Repurchase Agreement N AMERICAN ORIENTAL 2015-07-15 2015-07-15 5 - 5 Other Instrument EQUITY 7037000.00 1567687.22 CAPITAL ONE WTS 18 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 127929.00 2619985.92 CELGENE CVR 11 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 147.00 276.36 CEMEX S A B DE C V 2016-03-15 2016-03-15 3.25 - 3.25 Other Instrument EQUITY 43985147.00 36480792.21 COMERICA WTS 18 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 56770.00 438264.40 FORD WTS 13 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 22683204.00 33117477.84 GM WTS 16 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1915542.00 21281671.62 JAGUAR MNG INC 2014-11-01 2014-11-01 N/A Other Instrument EQUITY 2400000.00 1223400.00 WASHINGTON WTS 18 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 7.00 24.85 YRC WORLDWIDE INC 2015-03-31 2015-03-31 N/A Other Instrument EQUITY 29831040.00 11274919.59 First Tier Security 2012-07-02 2012-07-02 N N N 100000000.00 100000000.00 0.0009 N 100000000.00 100000000.00 ING Financial Markets LLC ING Financial Markets LLC, 0.24% 45K99PCY3 0000877559 Other Repurchase Agreement N AT & T INC 2038-05-15 2038-05-15 6.4 - 6.4 Other Instrument CORPORATE 5073323.00 6476564.24 CISCO SYSTEMS, INC. 2040-01-15 2040-01-15 5.5 - 5.5 Other Instrument CORPORATE 32200000.00 41274463.87 COCA COLA COMPANY 2021-09-01 2021-09-01 3.3 - 3.3 Other Instrument CORPORATE 2000000.00 2149273.40 DANSKE BANK A/S 2015-04-01 2016-04-14 3.75 - 3.875 Other Instrument CORPORATE 4079287.00 4035353.00 DISNEY (WALT) CO, THE 2021-08-16 2021-08-16 2.75 - 2.75 Other Instrument CORPORATE 5155093.00 5320114.69 FLORIDA POWER AND LIGHT COMPAN 2039-04-01 2039-04-01 5.96 - 5.96 Other Instrument CORPORATE 2000000.00 2746297.84 THE GOLDMAN SACHS GROUP, INC. 2014-01-15 2014-01-15 5.15 - 5.15 Other Instrument CORPORATE 5292661.00 5621711.56 HSBC BANK USA 2014-04-01 2014-04-01 4.625 - 4.625 Other Instrument CORPORATE 10715000.00 11283919.13 J P MORGAN CHASE & CO 2014-03-15 2018-01-15 4.875 - 6 Other Instrument CORPORATE 7543034.00 8184050.27 METRO LIFE GBL FND I 2014-06-10 2014-06-10 5.125 - 5.125 Other Instrument CORPORATE 8500000.00 9132526.22 PEPSICO 2020-11-01 2021-08-25 3 - 3.125 Other Instrument CORPORATE 6700000.00 6981441.80 PRNCL LFE INCM FNDG TR 2013-11-08 2013-11-08 5.554 - 5.554 Other Instrument CORPORATE 500000.00 504399.12 THE PROCTER AND GAMBLE COMPANY 2022-02-06 2037-03-05 2.3 - 5.55 Other Instrument CORPORATE 11652200.00 13823413.97 ROCHE HOLDINGS INC. 2019-03-01 2019-03-01 6 - 6 Other Instrument CORPORATE 3800000.00 4824885.11 US BANK N.A. 2014-10-30 2014-10-30 4.95 - 4.95 Other Instrument CORPORATE 3000000.00 3294667.48 VERIZON GLOBAL FUNDING CORP. 2030-12-01 2030-12-01 7.75 - 7.75 Other Instrument CORPORATE 22363981.00 31848274.34 First Tier Security 2012-07-02 2012-07-02 N N N 150000000.00 150000000.00 0.0013 N 150000000.00 150000000.00 J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp., 0.27% 45A99NRE7 Other Repurchase Agreement N ROYAL DUTCH SHELL PLC SPONSORE 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 8115.00 534778.50 SPDR GOLD TRUST 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 7171017.00 1083182117.85 SIMCERE PHARMACEUTICAL GROUP 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 5996.00 54023.96 SKYLINE CORP 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 31744.00 158720.00 STEELCASE INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 94819.00 818287.97 ADR TATA COMMUNICATIONS LIMITE 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 52778.00 415362.86 TELECOM CORPORATION OF NEW ZEA 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 385482.00 3627385.62 TEVA PHARMACEUTICAL INDUSTRIES 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 391192.00 15311254.88 TOTAL 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 254006.00 10843516.14 WNS (HOLDINGS) LIMITED 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 16196.00 154023.96 PROMOTORA DE INFORMACIONES S.A 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 422735.00 1145611.85 PRECISION DRILLING CORPORATION 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 66699.00 418869.72 POTASH CORPORATION OF SASKATCH 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 1016207.00 44347273.48 PETROLEO BRASILEIRO S.A. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 380931.00 6731050.77 ADR PAMPA ENERGIA SA F 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 401930.00 1672028.80 OMEGA PROTEIN CORPORATION 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 6391.00 46143.02 OI S A 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 6366.00 28965.30 NEWCASTLE INVESTMENT CORP. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 864303.00 5626612.53 LG.PHILIPS LCD CO., LTD. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 133172.00 1203874.88 KINROSS GOLD CORP 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 392237.00 3102594.67 HEALTH MANAGEMENT ASSOCIATES, 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 6455373.00 48350743.77 GIANT INTERACTIVE GROUP INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 243933.00 1126970.46 XINYUAN REAL ESTATE CO., LTD. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 188900.00 576145.00 CANADIAN PACIFIC RAILWAY LTD 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 67207.00 4777745.63 CAMBREX CORPORATION 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 10570.00 95341.40 BANKATLANTIC BANCORP, INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 176017.00 966333.33 ACORN INTERNATIONAL, INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 24.00 70.80 ABB LTD. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 35925.00 560070.75 CHINA DIGITAL TV HOLDINGS CO., 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 1000.00 2920.00 First Tier Security 2012-07-02 2012-07-02 N N N 1137000000.00 1137000000.00 0.0099 N 1137000000.00 1137000000.00 J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp., 0.50% 45A99NRG2 Other Repurchase Agreement N BIOMED REALTY, L.P. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 6100000.00 7084893.80 CHARLES RIVER LABORATORIES 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 55363000.00 55455899.11 CIENA CORPORATION 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 37717000.00 41815216.07 CONCUR TECHNOLOGIES, INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 2300000.00 3264063.40 COVANTA HOLDINGS CORPORATION 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 4273000.00 4940604.97 CUBIST PHARMACEUTICALS,INC 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 13351000.00 19657304.80 DFC GLOBAL CORP 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 7460000.00 7970420.66 DEALERTRACK HOLDINGS, INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 3175000.00 3361156.60 GAYLORD ENTERTAINMENT 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 7575000.00 11065264.58 GENCORP INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 36228000.00 36831558.48 GENERAL CABLE CORPORATION 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 32093000.00 30662743.36 HELIX ENERGY SOLUTIONSGROUP IN 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 21280000.00 21730710.40 HORNBECK OFFSHORE SERVICES, IN 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 23036000.00 24162022.72 HUMAN GENOME SCIENCES, INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 915000.00 1096014.45 INCYTE PHARMACEUTICALS, INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 9543000.00 25795043.92 KILROY REALTY L P 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 5712000.00 7715329.78 KNIGHT CAPITAL GROUP INC 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 20544000.00 19401096.19 LUCENT TECHNOLOGIES INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 16914000.00 16747329.44 MEDICINES COMPANY (THE) CONV P 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 11850000.00 12188981.10 MICRON TECHNOLOGY, INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 50065000.00 44329153.08 OMNICARE, INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 13718000.00 13065215.25 ONYX PHARMACEUTICALS, INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 30530000.00 56323270.50 PHH CORPORATION 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 28833000.00 28883227.09 RTI INTERNATIONAL META 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 6180000.00 6231399.06 REGENERON PHARMACEUTICALS, INC 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 33625000.00 51015345.63 ROYAL GOLD INC 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 4422000.00 4605508.58 SAKS INCORPORATED 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 25851000.00 26816612.40 SALIX PHARMACEUTICALS LTD DEL 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 2395000.00 2537653.39 SAN DISK CORPORATION 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 54429000.00 53703461.43 TAKE-2 INTERACTIVE SOFTWARE 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 5158000.00 6001147.31 TIME WARNER TELECOM, INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 6328000.00 8853833.86 TITAN MACHINERY INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 6650000.00 6513109.75 TYSON FOODS, INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 21463000.00 25746392.37 WESTERN REFINING, INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 18706000.00 39787026.00 AFFYMETRIX, INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 20960000.00 21000997.76 AMTRUST FINANCIAL SERVICES, IN 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 8675000.00 10011401.10 ANNALY MORTGAGE MANAGEMENT 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 7150000.00 7105805.85 ARVINMERITOR INCORPORATED 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 5475000.00 4737451.80 BIOMARIN PHARMACEUTICAL, INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 34987000.00 67667656.96 First Tier Security 2012-07-02 2012-07-02 N N N 769000000.00 769000000.00 0.0067 N 769000000.00 769000000.00 J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp., 0.64% 45A99NFD2 Other Repurchase Agreement N AEP INDUSTRIES INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 8997.00 383092.26 MICHAEL KORS HLDGS LTD 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 1191319.00 48474770.11 ALLIANT ENERGY CORPORATION 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 42761.00 1937073.30 AMERICAN CAPITAL LIMITED 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 2842058.00 27880588.98 ANALOGIC CORP 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 2448.00 145851.84 APOGEE ENTERPRISES, INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 118906.00 1834719.58 ARIAD PHARMACEUTICALS, INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 97460.00 1646099.40 ASPEN TECHNOLOGY, INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 58459.00 1278498.33 AVID TECHNOLOGY, INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 52900.00 372945.00 BARRETT BUSINESS SERVICES INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 5212.00 109087.16 CAPITALSOURCE, INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 229474.00 1498465.22 CIMAREX ENERGY CO 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 55499.00 2814354.29 CLEARWATER PAPER CORPORATION 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 242.00 8206.22 COMCAST CORPORATION SPL A 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 87365.00 2672495.35 EINSTEIN NOAH RESTAURANT GROUP 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 6125.00 105533.75 TELEFONAKTIEBOLAGET LM ERICSSO 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 320640.00 2763916.80 FOOT LOCKER INC 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 179520.00 5182742.40 GENERAL GROWTH PROPERTIES INC 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 286254.00 5032345.32 HEARTLAND PAYMENT SYSTEMS, INC 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 26527.00 795810.00 HOLLYFRONTIER CORP 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 191257.00 6500825.43 ITT INDS INC IND 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 46787.00 804736.40 INGREDION INC < 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 76805.00 3736563.25 INTERVEST BANSHARES CO 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 55083.00 208764.57 INTRALINKS HLDGS INC 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 63572.00 260009.48 LCA-VISION INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 29882.00 124607.94 LEAR CORPORATION 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 94.00 3515.60 NATURAL GAS SERVICES GROUP, IN 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 14457.00 203265.42 ONCOTHYREON INC 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 128648.00 589207.84 PANERA BREAD CPY CL B 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 27.00 3684.15 PARKE BANCORP INC COMMON 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 38166.00 194646.60 PERICOM SEMICONDUCTOR CORP. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 4607.00 40633.74 PLAINS EXPLORATION & PRODUCTIO 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 163236.00 5354140.80 ROCKWOOD HOLDINGS INC 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 50566.00 2168775.74 RYANAIR HOLDINGS PLC 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 357410.00 10625799.30 TD AMERITRADE HOLDING CORP + 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 83878.00 1396568.70 TESSERA TECHNOLOGIES, INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 140811.00 2091043.35 TOWERS WATSON & CO 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 2726.00 158980.32 UNIVERSAL AMERN SPIN CORP 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 38346.00 401866.08 VAALCO ENERGY INC OLD 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 73880.00 616898.00 VAIL RESORTS, INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 40851.00 1958805.45 WELLCARE GROUP, INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 45340.00 2447453.20 WILLIAMS-SONOMA, INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 11322.00 378268.02 AIRCASTLE LIMITED 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 30924.00 370160.28 APCO OIL & GAS INTERNATIONAL I 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 1378.00 24115.00 ADVANCED ENERGY INDUSTRIES, IN 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 17258.00 228323.34 First Tier Security 2012-07-20 2012-07-20 N N N 134000000.00 134000000.00 0.0012 Y 134000000.00 134000000.00 J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp., 0.87% 45A99NFC4 Other Repurchase Agreement N WEBMD HEALTH CORP. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 103498.00 2093764.54 WENDY'S COMPANY < 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 2984693.00 13640047.01 FOSTER WHEELER AG 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 27567.00 444380.04 DIANA CONTAINERSHIPS INC 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 15505.00 114737.00 US TREASURY 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 54268.00 651216.00 ANGENUS INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 65703.00 334428.27 ARIBA, INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 55547.00 2486839.19 ASCENA RETAIL GROUP INC 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 147782.00 2680765.48 BBCN BANCORP INC - 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 15309.00 161969.22 BLUEKNIGHT ENERGY PARTNERS, L. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 3696.00 25243.68 CIFC CORP 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 23935.00 170417.20 CHANGYOU.COM LIMITED 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 63922.00 1333412.92 CHARTER COMMUNICATIONS, INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 6896.00 482720.00 EHEALTH, INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 5977.00 91986.03 ELONG.COM 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 64518.00 723891.96 51JOB, INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 4821.00 212124.00 GSI TECHNOLOGY, INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 22414.00 103776.82 GEN-PROBE INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 1944231.00 159660249.72 GREAT LAKES DREDGE & DOCK CORP 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 8117.00 55844.96 IAC/INTERACTIVE CORP 2/4/09 + 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 46890.00 2079102.60 INTERVAL LEISURE GROUP, INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 1344.00 24312.96 KONGZHONG CORPORATION 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 161300.00 1283948.00 MACKINAC FINANCIAL CORP - 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 18268.00 104675.64 MAXIM INTEGRATED PRODS INC 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 284132.00 7077728.12 MONSTER BEVERAGE CORPORAT 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 52343.00 3592823.52 MOVE. INC 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 64510.00 572203.70 NCI, INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 29063.00 109276.88 PFD NUVASIVE INC SR-D1 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 12239.00 293980.78 O2MICRO INTL LTD SPONSORE 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 282779.00 1230088.65 PERFECT WORLD CO,. LTD 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 157774.00 1502008.48 POPULAR INC 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 615869.00 10007871.25 POWER ONE INC NEW 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 210711.00 931342.62 REALNETWORKS, INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 4741.00 39445.12 ROVI CORPORATION+ 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 224094.00 4383278.64 SAIA INC + 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 42057.00 874365.03 SHANDA GAMES LIMITED 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 39900.00 152817.00 SHIRE LIMITED 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 543503.00 45730342.42 SNYDERS-LANCE INC CO 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 9719.00 238407.07 SYNAPTICS INC 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 43014.00 1192778.22 TELENAV INC 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 16060.00 96360.00 THE9 LIMITED 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 149175.00 863723.25 TUDOU HLDGS LTD 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 24375.00 789018.75 UNITED FIRE GROUP INC 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 14181.00 300211.77 VERTEX PHARMACEUTICALS INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 467522.00 23927775.96 VIEWPOINT FINANCIAL GROUP IN 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 395.00 6110.65 First Tier Security 2012-10-19 2012-10-19 N N N 269000000.00 269000000.00 0.0023 Y 269000000.00 269000000.00 J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp., 1.05% 43H99UXR3 Other Repurchase Agreement N ADVANCED MICRO DEVICES, INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 1679000.00 1722071.39 USEC INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 45362000.00 22004062.87 ANIXTER INTL INC 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 45547000.00 47998795.01 BIOMARIN PHARMACEUTICAL, INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 32911000.00 63652506.88 CHART INDUSTRIES, INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 19512000.00 23654748.82 CIENA CORPORATION 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 2260000.00 2477870.78 EQUINIX, INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 46122000.00 74724558.30 EXTERRAN HOLDINGS INC 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 35163000.00 33401720.49 GOODRICH PETE CORP 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 13556000.00 12750922.72 LENNAR CORPORATION 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 28250000.00 41436843.25 LIFEPOINT HOSPITALS INC 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 15466000.00 16129878.05 MASSEY ENERGY COMPANY 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 2107000.00 1834482.73 MICRON TECHNOLOGY, INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 28930000.00 28500678.80 NATIONAL RETAIL PROPERTIES INC 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 3481000.00 4078551.94 NAVISTAR INTERNATIONAL CORPORA 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 43904000.00 40141427.20 NEWMONT MINING CORPORATION 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 2658000.00 3484473.20 OMNICARE, INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 3474000.00 4545009.88 PHH CORPORATION 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 11111000.00 17262605.15 SAN DISK CORPORATION 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 6004000.00 6105617.70 SONIC AUTOMOTIVE INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 11482000.00 14782971.66 STEEL DYNAMICS, INC. 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 1859000.00 1930915.42 UAL CORPORATION 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 45422000.00 129592599.76 ALLIANCE PETROLEUM COR 2012-06-30 2012-06-30 N/A Other Instrument OTHER NOTE 3050000.00 2925889.40 First Tier Security 2012-07-23 2012-07-23 N N N 545000000.00 545000000.00 0.0047 Y 545000000.00 545000000.00 J.P. Morgan Securities, Inc. J.P. Morgan Securities, Inc., 0.49% 45A99W8N8 0001287279 Other Repurchase Agreement N 101-500 2021-09-25 2049-12-10 0 - 8.15 Other Instrument MORTGAGE 4517318967.00 289483605.68 First Tier Security 2012-07-06 2012-07-06 Y JPMORGAN SECS (NON GOV REPO) N/A N/A N N 268000000.00 268000000.00 0.0023 N 268000000.00 268000000.00 J.P. Morgan Securities, Inc. J.P. Morgan Securities, Inc., 0.95% 45A99WDV4 0001287279 Other Repurchase Agreement N ALTERNATIVE LOAN TRUST 2006-46 2047-02-25 2047-02-25 6 - 6 Other Instrument GOVERNMENT AGENCY 18893000.00 10536959.02 AMERICAN HOME MORTGAGE INVESTM 2044-04-25 2044-04-25 2.737 - 2.737 Other Instrument GOVERNMENT AGENCY 2052000.00 96232.99 BANC OF AMERICA FUNDING 2006-6 2036-08-25 2036-08-25 6 - 6 Other Instrument GOVERNMENT AGENCY 3917000.00 1999881.17 BANC OF AMERICA MORTGAGE 2006- 2046-11-20 2046-11-20 5.631 - 5.631 Other Instrument GOVERNMENT AGENCY 360000.00 283274.55 CHL MORTGAGE PASS-THROUGH TRUS 2037-04-25 2037-04-25 6 - 6 Other Instrument GOVERNMENT AGENCY 10000000.00 7973223.92 CSMC MORTGAGE-BACKED TRUST SER 2036-06-25 2036-06-25 6.5 - 6.5 Other Instrument GOVERNMENT AGENCY 12000000.00 2389252.60 CWMBS, INC., 2005-19 2035-11-25 2036-05-20 1.145 - 2.901 Other Instrument GOVERNMENT AGENCY 42457000.00 18012291.58 CWMBS, INC. 2003-58 2034-03-25 2034-03-25 5.5 - 5.5 Other Instrument GOVERNMENT AGENCY 1878900.00 876237.76 CHASE MORTGAGE FINANCE 2007-A1 2037-02-25 2037-02-25 2.942 - 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2.619 Other Instrument GOVERNMENT AGENCY 1325000.00 403336.31 GMACM MORTGAGE LOAN TRUST 2005 2036-04-25 2036-04-25 5.75 - 5.75 Other Instrument GOVERNMENT AGENCY 19080000.00 2640723.52 HARBORVIEW MORTGAGE LOAN TRUST 2036-11-19 2036-11-19 0.503 - 0.523 Other Instrument GOVERNMENT AGENCY 196068000.00 24536550.72 HARBORVIEW MORTGAGE LOAN TRUST 2038-01-19 2038-01-19 0.493 - 0.493 Other Instrument GOVERNMENT AGENCY 78233664.00 11353358.68 HOMEBANC MORTGAGE TRUST 2004-1 2037-04-25 2037-04-25 5.533 - 5.533 Other Instrument GOVERNMENT AGENCY 355000.00 147016.08 IMPAC SECURED ASSETS TRUST 2037-01-25 2037-01-25 0.505 - 0.505 Other Instrument GOVERNMENT AGENCY 56131000.00 8858686.50 INDY MAC BANK 2034-02-25 2034-02-25 5.581 - 5.581 Other Instrument GOVERNMENT AGENCY 2171000.00 751289.55 INDYMAC INDX MORTGAGE LOAN TRU 2046-07-25 2046-07-25 0.645 - 0.645 Other Instrument GOVERNMENT AGENCY 58856000.00 9249163.41 ML-CFC COMMERCIAL MORTGAGE TRU 2048-08-14 2048-08-14 5.558 - 5.558 Other Instrument GOVERNMENT AGENCY 15000000.00 1611834.06 MASTR ADJUSTABLE RATE MORTGAGE 2034-01-25 2034-01-25 3.293 - 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