0000278001-12-000052.txt : 20121030 0000278001-12-000052.hdr.sgml : 20121030 20120907145554 ACCESSION NUMBER: 0000278001-12-000052 CONFORMED SUBMISSION TYPE: N-MFP PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20120831 FILED AS OF DATE: 20120907 DATE AS OF CHANGE: 20120907 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: 121079700 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 2012-08-31 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 53 78 115063496681.56 85682161.20 37691598.93 115111487243.83 0.0036 1.0004 2012-08-31 1.0004 2012-08-31 C000019553 2500.00 115111487243.83 1.00 357211047.41 20821052485.75 20463841438.34 0.0001 1.0004 2012-08-31 1.0004 2012-08-31 Bank of Montreal Chicago CD Program Bank of Montreal Chicago CD Program, 0.30% 06366VT55 Certificate of Deposit First Tier Security 2013-03-01 2013-03-01 N N N 102000000.00 102000000.00 0.0009 N 102010302.00 102010302.00 Bank of Montreal Chicago CD Program Bank of Montreal Chicago CD Program, 0.39% 06366WLY8 Certificate of Deposit First Tier Security 2012-09-26 2012-09-26 N N N 402000000.00 402000000.00 0.0035 N 402051456.00 402051456.00 Bank of Montreal Chicago CD Program Bank of Montreal Chicago CD Program, 0.42% 06366WQD9 Certificate of Deposit First Tier Security 2012-09-28 2012-10-29 N N N 210000000.00 210000000.00 0.0018 N 210094920.00 210094920.00 Bank of Montreal Chicago CD Program Bank of Montreal Chicago CD Program, 0.43% 06366WPF5 Certificate of Deposit First Tier Security 2012-09-18 2012-10-18 N N N 617000000.00 617000000.00 0.0054 N 617186334.00 617186334.00 Bank of Montreal Chicago CD Program Bank of Montreal Chicago CD Program, 0.55% 06366UD47 Certificate of Deposit First Tier Security 2012-10-09 2013-09-06 N N N 741000000.00 741000000.00 0.0064 N 741259350.00 741259350.00 Bank of Nova Scotia Bank of Nova Scotia, 0.31% 06417EC43 Certificate of Deposit First Tier Security 2012-09-05 2012-09-05 N N N 1007000000.00 1007000000.00 0.0087 N 1007000000.00 1007000000.00 Bank of Nova Scotia Bank of Nova Scotia, 0.31% 06417EE74 Certificate of Deposit First Tier Security 2012-09-17 2012-09-17 N N N 1200000000.00 1200000000.00 0.0104 N 1200024000.00 1200024000.00 Bank of Nova Scotia Bank of Nova Scotia, 0.32% 06417E5W9 Certificate of Deposit First Tier Security 2012-09-13 2013-01-11 N N N 406000000.00 406000000.00 0.0035 N 405959400.00 405959400.00 Bank of Nova Scotia Bank of Nova Scotia, 0.45% 06417ELW1 Certificate of Deposit First Tier Security 2012-09-04 2012-11-01 N N N 899000000.00 899000000.00 0.0078 N 899195982.00 899195982.00 Bank of Nova Scotia Bank of Nova Scotia, 0.59% 06417DJE6 Certificate of Deposit First Tier Security 2012-11-16 2013-06-17 N N N 206000000.00 206000000.00 0.0018 N 206002678.00 206002678.00 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.48% 06538EVD6 Certificate of Deposit First Tier Security 2012-09-07 2012-11-07 N N N 1029000000.00 1029000000.00 0.0089 N 1029230496.00 1029230496.00 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.48% 06538EWB9 Certificate of Deposit First Tier Security 2012-09-14 2012-11-14 N N N 470000000.00 470000000.00 0.0041 N 470118440.00 470118440.00 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.50% 06538EMA2 Certificate of Deposit First Tier Security 2012-09-04 2012-09-04 N N N 466000000.00 466000000.00 0.0040 N 466000000.00 466000000.00 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.50% 06538EE37 Certificate of Deposit First Tier Security 2012-09-04 2013-01-08 N N N 600000000.00 600000000.00 0.0052 N 600040800.00 600040800.00 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.50% 06538EMB0 Certificate of Deposit First Tier Security 2012-09-05 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% 06538EPP6 Certificate of Deposit First Tier Security 2012-09-20 2012-09-20 N N N 500000000.00 500000000.00 0.0043 N 500065000.00 500065000.00 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.50% 06538EPQ4 Certificate of Deposit First Tier Security 2012-09-21 2012-09-21 N N N 500000000.00 500000000.00 0.0043 N 500069500.00 500069500.00 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.50% 06538EW37 Certificate of Deposit First Tier Security 2013-02-11 2013-02-11 N N N 950000000.00 950000000.00 0.0083 N 950042560.00 950042560.00 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.50% 06538E2P1 Certificate of Deposit First Tier Security 2013-03-04 2013-03-04 N N N 525000000.00 525000000.00 0.0046 N 524892217.50 524892217.50 Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce, 0.41% 13606X5X2 Certificate of Deposit First Tier Security 2012-09-24 2012-09-24 N N N 1200000000.00 1200000000.00 0.0104 N 1200139200.00 1200139200.00 Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce, 0.49% 13606X6B9 Certificate of Deposit First Tier Security 2012-10-24 2012-10-24 N N N 419000000.00 419000000.00 0.0036 N 419125281.00 419125281.00 Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce, 0.55% 13606XN87 Certificate of Deposit First Tier Security 2012-10-17 2013-09-17 N N N 1107000000.00 1107000000.00 0.0096 N 1107655344.00 1107655344.00 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 500060200.00 500060200.00 Credit Suisse New York Branch Credit Suisse New York Branch, 0.38% 22550DUX5 Certificate of Deposit First Tier Security 2012-10-09 2012-10-09 N N N 1000000000.00 1000000000.00 0.0087 N 1000162300.00 1000162300.00 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 203011713.10 203011713.10 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 303999325.18 0.0026 N 304022222.40 304022222.40 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 205018204.00 205018204.00 Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 0.43% 60681P6Z2 Certificate of Deposit First Tier Security 2012-10-22 2012-10-22 N N N 50000000.00 50000000.00 0.0004 N 50014430.00 50014430.00 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 436005319.20 436005319.20 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 815028525.00 815028525.00 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 808040400.00 808040400.00 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.38% 60687GJ33 Certificate of Deposit First Tier Security 2012-10-10 2012-10-10 N N N 423000000.00 423000000.00 0.0037 N 423061038.90 423061038.90 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 408050714.40 408050714.40 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.39% 60687GH35 Certificate of Deposit First Tier Security 2012-10-04 2012-10-04 N N N 412000000.00 412000000.00 0.0036 N 412054384.00 412054384.00 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.40% 60687GQ76 Certificate of Deposit First Tier Security 2012-12-06 2012-12-06 N N N 606000000.00 606000000.00 0.0053 N 606016119.60 606016119.60 National Bank of Canada National Bank of Canada, 0.37% 63307UBK6 Certificate of Deposit First Tier Security 2012-09-20 2013-02-20 N N N 614000000.00 614000000.00 0.0053 N 613641424.00 613641424.00 National Bank of Canada National Bank of Canada, 0.54% 63306V6J4 Certificate of Deposit First Tier Security 2012-11-05 2013-02-04 N N N 338000000.00 338000000.00 0.0029 N 338194012.00 338194012.00 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 59000985.30 59000985.30 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 637028282.80 637028282.80 Royal Bank of Canada Royal Bank of Canada, 0.51% 78009NDK9 Certificate of Deposit First Tier Security 2012-11-13 2013-02-11 N N N 235000000.00 235000000.00 0.0020 N 235152985.00 235152985.00 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 500307500.00 500307500.00 Royal Bank of Canada Royal Bank of Canada, 0.82% 78009JS22 Certificate of Deposit First Tier Security 2012-10-01 2013-09-01 N N N 900000000.00 900000000.00 0.0078 N 900652500.00 900652500.00 Royal Bank of Canada New York Branch Royal Bank of Canada New York Branch, 0.49% 78009J2L8 Certificate of Deposit First Tier Security 2012-11-06 2013-09-06 N N N 750000000.00 749847045.00 0.0065 N 750024750.00 750024750.00 Skandinaviska Enskilda Banken Skandinaviska Enskilda Banken, 0.36% 83051A5G2 Certificate of Deposit First Tier Security 2012-11-08 2012-11-08 N N N 482000000.00 482000000.00 0.0042 N 482046079.20 482046079.20 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.39% 86562DGW4 Certificate of Deposit First Tier Security 2012-09-05 2012-10-05 N N N 631000000.00 631000000.00 0.0055 N 631089602.00 631089602.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.39% 86562DHN3 Certificate of Deposit First Tier Security 2012-09-09 2012-10-09 N N N 803000000.00 803000000.00 0.0070 N 803129283.00 803129283.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.39% 86562DFJ4 Certificate of Deposit First Tier Security 2012-09-14 2012-09-14 N N N 805000000.00 805000000.00 0.0070 N 805044275.00 805044275.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.39% 86562DFT2 Certificate of Deposit First Tier Security 2012-09-17 2012-09-17 N N N 401000000.00 401000000.00 0.0035 N 401029273.00 401029273.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.39% 86562DFY1 Certificate of Deposit First Tier Security 2012-09-18 2012-09-18 N N N 622000000.00 622000000.00 0.0054 N 622049138.00 622049138.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.39% 86562DGH7 Certificate of Deposit First Tier Security 2012-09-24 2012-09-24 N N N 404000000.00 404000000.00 0.0035 N 404046864.00 404046864.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.40% 86562DKU3 Certificate of Deposit First Tier Security 2012-09-06 2012-11-06 N N N 820000000.00 820000000.00 0.0071 N 820097580.00 820097580.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.40% 86562DGK0 Certificate of Deposit First Tier Security 2012-09-24 2012-10-02 N N N 406000000.00 406000000.00 0.0035 N 406056840.00 406056840.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.44% 86562DSB7 Certificate of Deposit First Tier Security 2013-02-28 2013-02-28 N N N 212000000.00 212000000.00 0.0018 N 211999978.80 211999978.80 Sumitomo Trust & Banking Co. Ltd. Sumitomo Trust & Banking Co. Ltd., 0.41% 86562WH92 Certificate of Deposit First Tier Security 2012-11-09 2012-11-09 N N N 413000000.00 413000000.00 0.0036 N 413064138.90 413064138.90 Sumitomo Trust & Banking Co. Ltd. Sumitomo Trust & Banking Co. Ltd., 0.41% 86562WJ90 Certificate of Deposit First Tier Security 2012-11-15 2012-11-15 N N N 403000000.00 403000000.00 0.0035 N 403067945.80 403067945.80 Sumitomo Trust & Banking Co. Ltd. Sumitomo Trust & Banking Co. Ltd., 0.41% 86562WL55 Certificate of Deposit First Tier Security 2012-11-26 2012-11-26 N N N 397000000.00 397000000.00 0.0034 N 397076660.70 397076660.70 Sumitomo Trust & Banking Co. Ltd. Sumitomo Trust & Banking Co. Ltd., 0.42% 86562WD88 Certificate of Deposit First Tier Security 2012-10-09 2012-10-09 N N N 407000000.00 407000000.00 0.0035 N 407088115.50 407088115.50 Sumitomo Trust & Banking Co. Ltd. Sumitomo Trust & Banking Co. Ltd., 0.42% 86562WG69 Certificate of Deposit First Tier Security 2012-10-30 2012-10-30 N N N 401000000.00 401000000.00 0.0035 N 401133573.10 401133573.10 Sumitomo Trust & Banking Co. Ltd. Sumitomo Trust & Banking Co. Ltd., 0.42% 86562WH50 Certificate of Deposit First Tier Security 2012-11-05 2012-11-05 N N N 599000000.00 599000000.00 0.0052 N 599098655.30 599098655.30 Svenska Handelsbanken, Inc. Svenska Handelsbanken, Inc., 0.27% 86958CGU2 Certificate of Deposit First Tier Security 2012-12-27 2012-12-27 N N N 158000000.00 158000000.00 0.0014 N 158005166.60 158005166.60 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 202000448.52 0.0018 N 202010948.40 202010948.40 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 207017222.40 207017222.40 Toronto-Dominion Bank Toronto-Dominion Bank, 0.30% 89112XX91 Certificate of Deposit First Tier Security 2013-02-15 2013-02-15 N N N 410000000.00 410000000.00 0.0036 N 410038130.00 410038130.00 Toronto-Dominion Bank Toronto-Dominion Bank, 0.30% 89112X3F0 Certificate of Deposit First Tier Security 2013-03-27 2013-03-27 N N N 80000000.00 80000000.00 0.0007 N 80004616.00 80004616.00 Toronto-Dominion Bank Toronto-Dominion Bank, 0.30% 89112X3Q6 Certificate of Deposit First Tier Security 2013-03-28 2013-03-28 N N N 82000000.00 82000000.00 0.0007 N 82004747.80 82004747.80 Toronto-Dominion Bank Toronto-Dominion Bank, 0.30% 89112X2Q7 Certificate of Deposit First Tier Security 2013-03-28 2013-03-28 N N N 203000000.00 203000000.00 0.0018 N 203011753.70 203011753.70 Toronto-Dominion Bank Toronto-Dominion Bank, 0.44% 89112XDH5 Certificate of Deposit First Tier Security 2012-09-07 2012-11-07 N N N 413000000.00 413000000.00 0.0036 N 413178416.00 413178416.00 Toronto-Dominion Bank Toronto-Dominion Bank, 0.44% 89112XNA9 Certificate of Deposit First Tier Security 2012-11-02 2013-02-04 N N N 82000000.00 82000000.00 0.0007 N 82059614.00 82059614.00 Toronto-Dominion Bank Toronto-Dominion Bank, 0.48% 89112XBQ7 Certificate of Deposit First Tier Security 2012-10-19 2012-10-19 N N N 292000000.00 292000000.00 0.0025 N 292087016.00 292087016.00 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 362010034.25 0.0031 N 362273961.60 362273961.60 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 126099136.80 126099136.80 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 405032359.50 405032359.50 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 406026390.00 406026390.00 Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 0.43% 18G993BT6 0001462160 Certificate of Deposit First Tier Security 2012-10-09 2012-10-09 N N N 129000000.00 129000000.00 0.0011 N 129027915.60 129027915.60 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.43% 01L99GRC7 Certificate of Deposit First Tier Security 2012-10-16 2012-10-16 N N N 168000000.00 168000000.00 0.0015 N 168027854.40 168027854.40 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.44% 01L99GQX2 Certificate of Deposit First Tier Security 2012-10-09 2012-10-09 N N N 103000000.00 103000000.00 0.0009 N 103021176.80 103021176.80 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.44% 01L99GRJ2 Certificate of Deposit First Tier Security 2012-10-30 2012-10-30 N N N 128000000.00 128000000.00 0.0011 N 128029824.00 128029824.00 National Australia Bank Ltd. National Australia Bank Ltd., 0.35% XS0772838545 0000833029 Certificate of Deposit First Tier Security 2012-09-10 2012-10-10 N N N 2000000000.00 2000000000.00 0.0174 N 2000412000.00 2000412000.00 National Australia Bank Ltd. National Australia Bank Ltd., 0.35% XS0772836416 0000833029 Certificate of Deposit First Tier Security 2012-09-11 2012-10-11 N N N 1000000000.00 1000000000.00 0.0087 N 1000211000.00 1000211000.00 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 667055561.10 667055561.10 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 605362576.50 605362576.50 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 614415985.00 614415985.00 National Australia Bank Ltd. National Australia Bank Ltd., 0.42% 39K99HDH0 0000833029 Certificate of Deposit First Tier Security 2013-01-11 2013-01-11 N N N 800000000.00 800000000.00 0.0069 N 800560640.00 800560640.00 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 203073222.10 203073222.10 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 201083636.10 201083636.10 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 81033704.10 81033704.10 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 120047460.00 120047460.00 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 304014257.60 304014257.60 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 304015352.00 304015352.00 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 1115661145.63 0.0097 N 1115827020.00 1115827020.00 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 1734413524.06 0.0151 N 1734672085.00 1734672085.00 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 1397420023.77 0.0121 N 1397621142.00 1397621142.00 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 1378667821.14 0.0120 N 1378900003.00 1378900003.00 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 1199414999.73 0.0104 N 1199592000.00 1199592000.00 U.S. Treasury Bills U.S. Treasury Bills, 0.15% to 0.16% 9127956Z9 Treasury Debt First Tier Security 2013-01-03 2013-01-03 N N N 1200000000.00 1199377744.97 0.0104 N 1199596800.00 1199596800.00 U.S. Treasury Bills U.S. Treasury Bills, 0.15% 9127957F2 Treasury Debt First Tier Security 2013-02-14 2013-02-14 N N N 279000000.00 278813457.37 0.0024 N 278842086.00 278842086.00 U.S. Treasury Bills U.S. Treasury Bills, 0.15% 9127957G0 Treasury Debt First Tier Security 2013-02-21 2013-02-21 N N N 678000000.00 677517473.77 0.0059 N 677608116.00 677608116.00 U.S. Treasury Notes U.S. Treasury Notes, 0.14% to 0.17% 912828PR5 Treasury Debt First Tier Security 2013-01-31 2013-01-31 N N N 1073000000.00 1075130559.13 0.0093 N 1075137416.00 1075137416.00 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 1711645949.30 0.0149 N 1711666938.00 1711666938.00 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 384582995.75 0.0033 N 384599808.00 384599808.00 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 710000000.00 718093348.06 0.0062 N 717904430.00 717904430.00 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 300136907.58 0.0026 N 300105600.00 300105600.00 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 803930910.79 0.0070 N 803867386.59 803867386.59 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 352121143.80 0.0031 N 352037000.00 352037000.00 U.S. Treasury Notes U.S. Treasury Notes, 0.16% to 0.18% 912828AU4 Treasury Debt First Tier Security 2013-02-15 2013-02-15 N N N 968000000.00 984275585.88 0.0086 N 984070736.00 984070736.00 U.S. Treasury Notes U.S. Treasury Notes, 0.17% to 0.19% 912828MN7 Treasury Debt First Tier Security 2013-02-15 2013-02-15 N N N 1349000000.00 1356316327.26 0.0118 N 1356377681.00 1356377681.00 U.S. Treasury Notes U.S. Treasury Notes, 0.17% to 0.19% 912828QK9 Treasury Debt First Tier Security 2013-02-28 2013-02-28 N N N 518000000.00 519127818.61 0.0045 N 519193990.00 519193990.00 U.S. Treasury Notes U.S. Treasury Notes, 0.17% to 0.18% 912828HT0 Treasury Debt First Tier Security 2013-02-28 2013-02-28 N N N 177000000.00 179251286.93 0.0016 N 179247015.00 179247015.00 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 250079395.35 0.0022 N 250097750.00 250097750.00 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 250608468.31 0.0022 N 250615250.00 250615250.00 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 523052094.99 0.0045 N 522912741.00 522912741.00 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 1093677953.39 0.0095 N 1093849317.00 1093849317.00 U.S. Treasury Notes U.S. Treasury Notes, 0.19% to 0.22% 912828MX5 Treasury Debt First Tier Security 2013-04-15 2013-04-15 N N N 720000000.00 726819385.59 0.0063 N 726946560.00 726946560.00 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 126382837.95 0.0011 N 126381875.00 126381875.00 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 45279082.43 0.0004 N 45288270.00 45288270.00 U.S. Treasury Notes U.S. Treasury Notes, 0.21% 912828JG6 Treasury Debt First Tier Security 2013-07-31 2013-07-31 N N N 122000000.00 125512035.48 0.0011 N 125517016.00 125517016.00 U.S. Treasury Notes U.S. Treasury Notes, 0.21% 912828BH2 Treasury Debt First Tier Security 2013-08-15 2013-08-15 N N N 175000000.00 181708904.58 0.0016 N 181726650.00 181726650.00 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 632035000.18 0.0055 N 632216640.00 632216640.00 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 211448648.31 0.0018 N 211550430.00 211550430.00 Barclays Bank PLC Barclays Bank PLC, 0.73% 06741PDC6 Financial Company Commercial Paper First Tier Security 2012-09-13 2012-09-13 N N N 160000000.00 160000000.00 0.0014 Y 160022400.00 160022400.00 Barclays Bank PLC Barclays Bank PLC, 0.73% 06741PDF9 Financial Company Commercial Paper First Tier Security 2012-09-26 2012-09-26 N N N 42000000.00 42000000.00 0.0004 Y 42005880.00 42005880.00 Barclays Bank PLC/Barclays U.S. CCP Funding LLC Barclays Bank PLC/Barclays U.S. CCP Funding LLC, 0.28% 06741GKT1 Financial Company Commercial Paper First Tier Security 2012-09-14 2012-09-14 N N N 79000000.00 78992012.23 0.0007 N 78995094.10 78995094.10 Barclays Bank PLC/Barclays U.S. CCP Funding LLC Barclays Bank PLC/Barclays U.S. CCP Funding LLC, 0.28% 06741GLR4 Financial Company Commercial Paper First Tier Security 2012-09-19 2012-09-19 N N N 118000000.00 117983480.02 0.0010 N 117989226.60 117989226.60 BAT International Finance PLC BAT International Finance PLC, 0.43% 05531MKC1 Financial Company Commercial Paper Second Tier Security 2012-10-12 2012-10-12 N N N 21500000.00 21489470.97 0.0002 N 21490868.95 21490868.95 BAT International Finance PLC BAT International Finance PLC, 0.43% 05531MKF4 Financial Company Commercial Paper Second Tier Security 2012-10-15 2012-10-15 N N N 20000000.00 19989488.89 0.0002 N 19989240.00 19989240.00 Citigroup Funding, Inc. Citigroup Funding, Inc., 0.50% 17307RJR6 Financial Company Commercial Paper First Tier Security 2012-09-25 2012-09-25 N N N 160000000.00 159946666.62 0.0014 N 159960128.00 159960128.00 Citigroup Funding, Inc. Citigroup Funding, Inc., 0.55% 17307RJH8 Financial Company Commercial Paper First Tier Security 2012-09-17 2012-09-17 N N N 799000000.00 798804688.92 0.0069 N 798867925.30 798867925.30 Citigroup Funding, Inc. Citigroup Funding, Inc., 0.60% 17307RJ54 Financial Company Commercial Paper First Tier Security 2012-09-05 2012-09-05 N N N 380000000.00 379974666.69 0.0033 N 379981532.00 379981532.00 Citigroup Funding, Inc. Citigroup Funding, Inc., 0.60% 17307RJA3 Financial Company Commercial Paper First Tier Security 2012-09-10 2012-09-10 N N N 600000000.00 599910000.00 0.0052 N 599941680.00 599941680.00 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.29% 20272ACA2 Financial Company Commercial Paper First Tier Security 2012-09-20 2012-10-22 N N N 170000000.00 170000000.00 0.0015 N 170011730.00 170011730.00 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.29% 20272ACP9 Financial Company Commercial Paper First Tier Security 2012-09-25 2012-11-27 N N N 175000000.00 175000000.00 0.0015 N 174988975.00 174988975.00 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.29% 20272ACR5 Financial Company Commercial Paper First Tier Security 2012-09-27 2012-11-27 N N N 226000000.00 225989293.93 0.0020 N 226020792.00 226020792.00 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 99881111.08 0.0009 N 99932200.00 99932200.00 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 99876666.68 0.0009 N 99929380.00 99929380.00 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 499845833.40 0.0043 N 499909300.00 499909300.00 Credit Suisse New York Branch Credit Suisse New York Branch, 0.38% 2254EAK93 Financial Company Commercial Paper First Tier Security 2012-10-09 2012-10-09 N N N 204000000.00 203918173.32 0.0018 N 203952264.00 203952264.00 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 791876580.10 0.0069 N 791938620.00 791938620.00 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 399889999.92 0.0035 N 399944640.00 399944640.00 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 499288888.80 0.0043 N 499530600.00 499530600.00 General Electric Capital Corp. General Electric Capital Corp., 0.40% 36959HN94 Financial Company Commercial Paper First Tier Security 2013-01-09 2013-01-09 N N N 47000000.00 46932111.11 0.0004 N 46954677.90 46954677.90 General Electric Capital Corp. General Electric Capital Corp., 0.40% 36959HNA1 Financial Company Commercial Paper First Tier Security 2013-01-10 2013-01-10 N N N 250000000.00 249636111.10 0.0022 N 249756175.00 249756175.00 JPMorgan Chase & Co. JPMorgan Chase & Co., 0.28% 4662J0LF7 Financial Company Commercial Paper First Tier Security 2012-11-15 2012-11-15 N N N 303000000.00 302823250.10 0.0026 N 302884647.90 302884647.90 JPMorgan Chase & Co. JPMorgan Chase & Co., 0.29% 46636JAF0 Financial Company Commercial Paper First Tier Security 2012-09-12 2012-09-12 N N N 794000000.00 794000000.00 0.0069 N 794000000.00 794000000.00 Nationwide Building Society Nationwide Building Society, 0.35% 6385E0KW2 Financial Company Commercial Paper First Tier Security 2012-10-30 2012-10-30 N N N 25000000.00 24985659.72 0.0002 N 24987500.00 24987500.00 Nationwide Building Society Nationwide Building Society, 0.35% 6385E0L19 Financial Company Commercial Paper First Tier Security 2012-11-01 2012-11-01 N N N 161000000.00 160904518.11 0.0014 N 160914879.30 160914879.30 Nationwide Building Society Nationwide Building Society, 0.35% 6385E0L27 Financial Company Commercial Paper First Tier Security 2012-11-02 2012-11-02 N N N 34000000.00 33979505.55 0.0003 N 33981555.00 33981555.00 Nationwide Building Society Nationwide Building Society, 0.35% 6385E0L50 Financial Company Commercial Paper First Tier Security 2012-11-05 2012-11-05 N N N 150000000.00 149905208.37 0.0013 N 149911995.00 149911995.00 Nationwide Building Society Nationwide Building Society, 0.35% 6385E0L76 Financial Company Commercial Paper First Tier Security 2012-11-07 2012-11-07 N N N 158000000.00 157897080.60 0.0014 N 157902403.40 157902403.40 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 434989125.00 0.0038 N 434993214.00 434993214.00 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 395983500.02 0.0034 N 395990773.20 395990773.20 PNC Bank NA PNC Bank NA, 0.39% 69349JPF4 Financial Company Commercial Paper First Tier Security 2013-02-15 2013-02-15 N N N 255000000.00 254538662.57 0.0022 N 254688211.50 254688211.50 Skandinaviska Enskilda Banken AB Skandinaviska Enskilda Banken AB, 0.36% 83050TL58 Financial Company Commercial Paper First Tier Security 2012-11-05 2012-11-05 N N N 468000000.00 467695800.00 0.0041 N 467795811.60 467795811.60 Skandinaviska Enskilda Banken AB Skandinaviska Enskilda Banken AB, 0.36% 83050TL66 Financial Company Commercial Paper First Tier Security 2012-11-06 2012-11-06 N N N 19000000.00 18987460.00 0.0002 N 18991489.90 18991489.90 Skandinaviska Enskilda Banken AB Skandinaviska Enskilda Banken AB, 0.37% 83050TLU3 Financial Company Commercial Paper First Tier Security 2012-11-28 2012-11-28 N N N 216000000.00 215804639.93 0.0019 N 215835883.20 215835883.20 Svenska Handelsbanken, Inc. Svenska Handelsbanken, Inc., 0.27% 86958FMU8 Financial Company Commercial Paper First Tier Security 2012-12-28 2012-12-28 N N N 294000000.00 293739810.00 0.0026 N 293747630.40 293747630.40 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 205981116.68 0.0018 N 205989947.20 205989947.20 Svenska Handelsbanken, Inc. Svenska Handelsbanken, Inc., 0.31% 86958FK97 Financial Company Commercial Paper First Tier Security 2012-10-09 2012-10-09 N N N 214000000.00 213929974.45 0.0019 N 213955488.00 213955488.00 Swedbank AB Swedbank AB, 0.30% 87019RM52 Financial Company Commercial Paper First Tier Security 2012-12-05 2012-12-05 N N N 140000000.00 139889166.71 0.0012 N 139843200.00 139843200.00 Swedbank AB Swedbank AB, 0.31% 87019RM60 Financial Company Commercial Paper First Tier Security 2012-12-06 2012-12-06 N N N 77000000.00 76936346.65 0.0007 N 76935628.00 76935628.00 Swedbank AB Swedbank AB, 0.31% 87019RM78 Financial Company Commercial Paper First Tier Security 2012-12-07 2012-12-07 N N N 60000000.00 59949883.33 0.0005 N 59930256.00 59930256.00 Swedbank AB Swedbank AB, 0.32% 87019RME3 Financial Company Commercial Paper First Tier Security 2012-12-14 2012-12-14 N N N 126000000.00 125885340.00 0.0011 N 125834625.00 125834625.00 Swedbank AB Swedbank AB, 0.35% 87019RJC1 Financial Company Commercial Paper First Tier Security 2012-09-12 2012-09-12 N N N 90950000.00 90940273.41 0.0008 N 90944270.15 90944270.15 Swedbank AB Swedbank AB, 0.35% 87019RJD9 Financial Company Commercial Paper First Tier Security 2012-09-13 2012-09-13 N N N 85000000.00 84990083.34 0.0007 N 84994075.50 84994075.50 Swedbank AB Swedbank AB, 0.37% 87019RJ72 Financial Company Commercial Paper First Tier Security 2012-09-07 2012-09-07 N N N 22000000.00 21998643.33 0.0002 N 21999271.80 21999271.80 Toyota Motor Credit Corp. Toyota Motor Credit Corp., 0.31% 89233GPT7 Financial Company Commercial Paper First Tier Security 2013-02-27 2013-02-27 N N N 157000000.00 156758001.99 0.0014 N 156740950.00 156740950.00 Toyota Motor Credit Corp. Toyota Motor Credit Corp., 0.32% 89233GQ58 Financial Company Commercial Paper First Tier Security 2013-03-05 2013-03-05 N N N 157000000.00 156741822.23 0.0014 N 156732315.00 156732315.00 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 1147477022.17 0.0100 N 1147871424.00 1147871424.00 UBS Finance, Inc. UBS Finance, Inc., 0.40% 90262CKP1 Financial Company Commercial Paper First Tier Security 2012-10-23 2012-10-23 N N N 1140000000.00 1139341333.08 0.0099 N 1139814294.00 1139814294.00 UBS Finance, Inc. UBS Finance, Inc., 0.40% 90262CL54 Financial Company Commercial Paper First Tier Security 2012-11-05 2012-11-05 N N N 425000000.00 424693055.57 0.0037 N 424889372.50 424889372.50 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 399524444.56 0.0035 N 399719200.00 399719200.00 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 499394444.30 0.0043 N 499637900.00 499637900.00 Ciesco LP Ciesco LP, 0.43% 17178BJ55 Asset Backed Commercial Paper First Tier Security 2012-09-05 2012-09-05 N N Y GUARANTOR CITIBANK NA N/A N/A 134000000.00 133993597.78 0.0012 N 133996274.80 133996274.80 Govco, Inc. Govco, Inc., 0.43% 38362VJ53 Asset Backed Commercial Paper First Tier Security 2012-09-05 2012-09-05 N N Y LIQUIDITY CITIBANK NA N/A N/A 134000000.00 133993597.78 0.0012 N 133995899.60 133995899.60 Devon Energy Corp. Devon Energy Corp., 0.44% 25179JAA8 Other Commercial Paper Second Tier Security 2012-09-28 2012-10-01 Y DEVON ENERGY CORP NEW N/A N/A N N 569000000.00 569000000.00 0.0049 N 568940255.00 568940255.00 Dominion Resources, Inc. Dominion Resources, Inc., 0.42% 2574P0JJ4 Other Commercial Paper Second Tier Security 2012-09-18 2012-09-18 N N N 61000000.00 60987901.68 0.0005 N 60990545.00 60990545.00 Dominion Resources, Inc. Dominion Resources, Inc., 0.42% 2574P0K11 Other Commercial Paper Second Tier Security 2012-10-01 2012-10-01 N N N 15000000.00 14994750.01 0.0001 N 14995582.50 14995582.50 Dominion Resources, Inc. Dominion Resources, Inc., 0.42% 2574P0K45 Other Commercial Paper Second Tier Security 2012-10-04 2012-10-04 N N N 57437000.00 57414886.76 0.0005 N 57418120.46 57418120.46 Ecolab, Inc. Ecolab, Inc., 0.54% 27887RAB7 Other Commercial Paper Second Tier Security 2012-09-13 2012-10-15 Y ECOLAB INC N/A N/A N N 242000000.00 242000000.00 0.0021 N 241975316.00 241975316.00 General Electric Co. General Electric Co., 0.18% 36960LJT3 Other Commercial Paper First Tier Security 2012-09-27 2012-09-27 N N N 1000000000.00 999870000.00 0.0087 N 999947500.00 999947500.00 Hewlett-Packard Co. Hewlett-Packard Co., 0.43% 42823JJ71 Other Commercial Paper Second Tier Security 2012-09-07 2012-09-07 N N N 55500000.00 55496022.49 0.0005 N 55496547.90 55496547.90 Hewlett-Packard Co. Hewlett-Packard Co., 0.43% 42823JJC0 Other Commercial Paper Second Tier Security 2012-09-12 2012-09-12 N N N 38500000.00 38494941.52 0.0003 N 38495892.05 38495892.05 Northeast Utilities Northeast Utilities, 0.43% 66439TJ74 Other Commercial Paper Second Tier Security 2012-09-07 2012-09-07 N N N 38000000.00 37997276.67 0.0003 N 37998005.00 37998005.00 Northeast Utilities Northeast Utilities, 0.43% 66439TJ74 Other Commercial Paper Second Tier Security 2012-09-07 2012-09-07 N N N 40000000.00 39997133.34 0.0003 N 39997900.00 39997900.00 Northeast Utilities Northeast Utilities, 0.43% 66439TJA7 Other Commercial Paper Second Tier Security 2012-09-10 2012-09-10 N N N 40000000.00 39995700.01 0.0003 N 39996876.00 39996876.00 Northeast Utilities Northeast Utilities, 0.43% 66439TJA7 Other Commercial Paper Second Tier Security 2012-09-10 2012-09-10 N N N 7000000.00 6999247.50 0.0001 N 6999453.30 6999453.30 Northeast Utilities Northeast Utilities, 0.44% 66439TJ41 Other Commercial Paper Second Tier Security 2012-09-04 2012-09-04 N N N 15000000.00 14999450.00 0.0001 N 14999550.00 14999550.00 Northeast Utilities Northeast Utilities, 0.44% 66439TJ58 Other Commercial Paper Second Tier Security 2012-09-05 2012-09-05 N N N 22000000.00 21998924.44 0.0002 N 21999175.00 21999175.00 Sempra Global Sempra Global, 0.40% 81685LJB2 Other Commercial Paper Second Tier Security 2012-09-11 2012-09-11 N N N 23000000.00 22997444.44 0.0002 N 22998348.60 22998348.60 Sempra Global Sempra Global, 0.45% 81685LJA4 Other Commercial Paper Second Tier Security 2012-09-10 2012-09-10 N N N 41000000.00 40995387.50 0.0004 N 40997367.80 40997367.80 Sempra Global Sempra Global, 0.45% 81685LJE6 Other Commercial Paper Second Tier Security 2012-09-14 2012-09-14 N N N 19000000.00 18996912.50 0.0002 N 18998181.70 18998181.70 Sempra Global Sempra Global, 0.45% 81685LJT3 Other Commercial Paper Second Tier Security 2012-09-27 2012-09-27 N N N 17000000.00 16994475.00 0.0001 N 16996222.60 16996222.60 Verizon Communications, Inc. Verizon Communications, Inc., 0.45% 92344PUW4 Other Commercial Paper Second Tier Security 2012-09-03 2012-10-15 Y VERIZON COMMUNICATIONS INC N/A N/A N N 375000000.00 375000000.00 0.0033 N 375004875.00 375004875.00 Viacom, Inc. Viacom, Inc., 0.42% 9255M2JA1 Other Commercial Paper Second Tier Security 2012-09-10 2012-09-10 N N N 19000000.00 18998005.00 0.0002 N 18998516.10 18998516.10 Viacom, Inc. Viacom, Inc., 0.42% 9255M2JB9 Other Commercial Paper Second Tier Security 2012-09-11 2012-09-11 N N N 38000000.00 37995566.67 0.0003 N 37996690.20 37996690.20 Xerox Corp. Xerox Corp., 0.74% 98412EJR7 Other Commercial Paper Second Tier Security 2012-09-25 2012-09-25 N N N 47000000.00 46976813.33 0.0004 N 46975842.00 46975842.00 Xerox Corp. Xerox Corp., 0.75% 98412EJA4 Other Commercial Paper Second Tier Security 2012-09-10 2012-09-10 N N N 50000000.00 49990625.00 0.0004 N 49994015.00 49994015.00 Xerox Corp. Xerox Corp., 0.75% 98412EJA4 Other Commercial Paper Second Tier Security 2012-09-10 2012-09-10 N N N 43000000.00 42991937.50 0.0004 N 42994852.90 42994852.90 Xerox Corp. Xerox Corp., 0.75% 98412EJD8 Other Commercial Paper Second Tier Security 2012-09-13 2012-09-13 N N N 18000000.00 17995500.00 0.0002 N 17997120.00 17997120.00 Xerox Corp. Xerox Corp., 0.75% 98412EJD8 Other Commercial Paper Second Tier Security 2012-09-13 2012-09-13 N N N 50000000.00 49987500.00 0.0004 N 49992000.00 49992000.00 Xerox Corp. Xerox Corp., 0.75% 98412EJE6 Other Commercial Paper Second Tier Security 2012-09-14 2012-09-14 N N N 28000000.00 27992416.67 0.0002 N 27995144.80 27995144.80 Xerox Corp. Xerox Corp., 0.75% 98412EJE6 Other Commercial Paper Second Tier Security 2012-09-14 2012-09-14 N N N 40000000.00 39989166.67 0.0003 N 39993064.00 39993064.00 Xerox Corp. Xerox Corp., 0.75% 98412EJH9 Other Commercial Paper Second Tier Security 2012-09-17 2012-09-17 N N N 43000000.00 42985666.67 0.0004 N 42990720.60 42990720.60 Xerox Corp. Xerox Corp., 0.75% 98412EJH9 Other Commercial Paper Second Tier Security 2012-09-17 2012-09-17 N N N 20000000.00 19993333.33 0.0002 N 19995684.00 19995684.00 Xerox Corp. Xerox Corp., 0.75% 98412EJJ5 Other Commercial Paper Second Tier Security 2012-09-18 2012-09-18 N N N 19000000.00 18993270.83 0.0002 N 18995630.00 18995630.00 Xerox Corp. Xerox Corp., 0.75% 98412EJL0 Other Commercial Paper Second Tier Security 2012-09-20 2012-09-20 N N N 17000000.00 16993270.83 0.0001 N 16995590.20 16995590.20 Xerox Corp. Xerox Corp., 0.75% 98412EJT3 Other Commercial Paper Second Tier Security 2012-09-27 2012-09-27 N N N 37000000.00 36979958.33 0.0003 N 36986598.60 36986598.60 Royal Bank of Canada Royal Bank of Canada, 0.49% 78008KXS7 Other Note First Tier Security 2012-11-06 2013-09-06 N N N 376000000.00 375923318.56 0.0033 N 376118064.00 376118064.00 Royal Bank of Canada Royal Bank of Canada, 0.56% 78008FBC7 Other Note First Tier Security 2012-10-01 2013-09-01 N N N 1375000000.00 1375000000.00 0.0119 N 1375022000.00 1375022000.00 Royal Bank of Canada Royal Bank of Canada, 0.72% 78008FAM6 Other Note First Tier Security 2012-09-17 2013-09-13 N N N 750000000.00 750000000.00 0.0065 N 750677250.00 750677250.00 Gulf Coast Waste Disp. Auth. Solid Waste Disp. Rev. Gulf Coast Waste Disp. Auth. Solid Waste Disp. Rev., 0.21% (Waste Mgmt., Inc. Proj.) Series A, LOC JPMorgan Chase Bank VRDN 402231AX2 Variable Rate Demand Note First Tier Security 2012-09-07 2012-09-07 Y JPMORGAN CHASE BANK NA N/A N/A Y JPMORGAN CHASE BANK NA N/A N/A N 25200000.00 25200000.00 0.0002 N 25200000.00 25200000.00 Texas Gen. Oblig. Texas Gen. Oblig., 0.20% Participating VRDN Series Putters 4263, (Liquidity Facility JPMorgan Chase Bank) 46636YW48 Variable Rate Demand Note First Tier Security 2012-09-01 2012-09-04 Y JPMORGAN CHASE BANK NA N/A N/A N N 678000000.00 678000000.00 0.0059 N 678000000.00 678000000.00 Texas Gen. Oblig. Texas Gen. Oblig., 0.20% Participating VRDN Series Putters 4264, (Liquidity Facility JPMorgan Chase Bank) 46636YW63 Variable Rate Demand Note First Tier Security 2012-09-04 2012-09-04 Y JPMORGAN CHASE BANK NA N/A N/A N N 391000000.00 391000000.00 0.0034 N 391000000.00 391000000.00 New York Dorm. Auth. Revs. New York Dorm. Auth. Revs., 0.18% (City Univ. Proj.) Series 2008 C, LOC Bank of America NA VRDN 64983M4P0 Variable Rate Demand Note First Tier Security 2012-09-07 2012-09-07 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% (101 West End Hsg. Proj.) Series 1999 A, LOC Fannie Mae VRDN 64986MLD5 Variable Rate Demand Note First Tier Security 2012-09-07 2012-09-07 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., 0.17% (66 West 38th Street Hsg. Proj.) Series A, LOC Fannie Mae VRDN 64986MXX8 Variable Rate Demand Note First Tier Security 2012-09-07 2012-09-07 Y FANNIE MAE N/A N/A Y FANNIE MAE N/A N/A N 44300000.00 44300000.00 0.0004 N 44300000.00 44300000.00 New York Hsg. Fin. Agcy. Rev. New York Hsg. Fin. Agcy. Rev., 0.17% (55 West 25th Street Hsg. Proj.) Series 2005 A, LOC Fannie Mae VRDN 64986ME68 Variable Rate Demand Note First Tier Security 2012-09-07 2012-09-07 Y FANNIE MAE N/A N/A Y FANNIE MAE N/A N/A N 105400000.00 105400000.00 0.0009 N 105400000.00 105400000.00 New York Hsg. Fin. Agcy. Rev. New York Hsg. Fin. Agcy. Rev., 0.17% (101 West End Hsg. Proj.) Series 1998 A, LOC Fannie Mae VRDN 64986MLC7 Variable Rate Demand Note First Tier Security 2012-09-07 2012-09-07 Y FANNIE MAE N/A N/A Y FANNIE MAE N/A N/A N 30800000.00 30800000.00 0.0003 N 30800000.00 30800000.00 New York Metropolitan Trans. Auth. Rev. New York Metropolitan Trans. Auth. Rev., 0.17% Series 2011 B, LOC Bank of America NA VRDN 59259YHZ5 Variable Rate Demand Note First Tier Security 2012-09-07 2012-09-07 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 2012-09-07 2012-09-07 Y WELLS FARGO BK NATL ASSN N/A N/A Y WELLS FARGO BK NATL ASSN N/A N/A N 181000000.00 181000000.00 0.0016 N 181000000.00 181000000.00 California Health Facilities Fing. Auth. Rev. California Health Facilities Fing. Auth. Rev., 0.22% (Catholic Healthcare West Proj.) Series 2005 I, LOC Bank of America NA VRDN 13033FYE4 Variable Rate Demand Note First Tier Security 2012-09-07 2012-09-07 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., 0.18% (Recology, Inc. Proj.) Series 2010 A, LOC Bank of America NA VRDN 130536PN9 Variable Rate Demand Note First Tier Security 2012-09-07 2012-09-07 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 Cobb County Kennestone Hosp. Auth. Rev. Cobb County Kennestone Hosp. Auth. Rev., 0.27% (WellStar Health Sys. Proj.) Series 2005 A, LOC Bank of America NA VRDN 190813MM4 Variable Rate Demand Note First Tier Security 2012-09-07 2012-09-07 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. Clark County Arpt. Rev., 0.20% Series 2008 D3, LOC Bank of America NA VRDN 18085PKE3 Variable Rate Demand Note First Tier Security 2012-09-07 2012-09-07 Y BANK OF AMERICA NA N/A N/A Y BANK OF AMERICA NA N/A N/A N 53015000.00 53015000.00 0.0005 N 53015000.00 53015000.00 Michigan Hosp. Fin. Auth. Rev. Michigan Hosp. Fin. Auth. Rev., 0.17% (Henry Ford Health Sys. Proj.) Series 2007, LOC JPMorgan Chase Bank VRDN 59465HGS9 Variable Rate Demand Note First Tier Security 2012-09-07 2012-09-07 Y JPMORGAN CHASE BANK NA N/A N/A Y JPMORGAN CHASE BANK NA N/A N/A N 47900000.00 47900000.00 0.0004 N 47900000.00 47900000.00 Philadelphia Wtr. & Wastewtr. Rev. Philadelphia Wtr. & Wastewtr. Rev., 0.18% Series 2005 B, LOC Bank of America NA VRDN 717893TR2 Variable Rate Demand Note First Tier Security 2012-09-07 2012-09-07 Y BANK OF AMERICA NA N/A N/A Y BANK OF AMERICA NA N/A N/A N 39900000.00 39900000.00 0.0003 N 39900000.00 39900000.00 North Carolina Med. Care Commission Hosp. Rev. North Carolina Med. Care Commission Hosp. Rev., 0.17% (CaroMont Health Proj.) Series 2003 A, LOC Wells Fargo Bank NA VRDN 65820HVF7 Variable Rate Demand Note First Tier Security 2012-09-07 2012-09-07 Y WELLS FARGO BK NATL ASSN N/A N/A Y WELLS FARGO BK NATL ASSN N/A N/A N 34600000.00 34600000.00 0.0003 N 34600000.00 34600000.00 USF Fing. Corp. Ctfs. of Prtn. USF Fing. Corp. Ctfs. of Prtn., 0.18% Series 2007, LOC JPMorgan Chase Bank VRDN 90341UBU5 Variable Rate Demand Note First Tier Security 2012-09-07 2012-09-07 Y JPMORGAN CHASE BANK NA N/A N/A Y JPMORGAN CHASE BANK NA N/A N/A N 21375000.00 21375000.00 0.0002 N 21375000.00 21375000.00 Arizona Health Facilities Auth. Rev. Arizona Health Facilities Auth. Rev., 0.22% (Catholic Healthcare West Proj.) Series 2008 B, LOC Bank of America NA VRDN 040507JU0 Variable Rate Demand Note First Tier Security 2012-09-07 2012-09-07 Y BANK OF AMERICA NA N/A N/A Y BANK OF AMERICA NA N/A N/A N 16300000.00 16300000.00 0.0001 N 16300000.00 16300000.00 Fannie Mae Fannie Mae, 0.16% 313589CT8 Government Agency Debt First Tier Security 2013-03-07 2013-03-07 N N N 1281000000.00 1279935346.04 0.0111 N 1280084085.00 1280084085.00 Fannie Mae Fannie Mae, 0.17% 31398AE24 Government Agency Debt First Tier Security 2013-02-22 2013-02-22 N N N 138000000.00 139026584.90 0.0012 N 139016646.00 139016646.00 Fannie Mae Fannie Mae, 0.17% 3135G0AK9 Government Agency Debt First Tier Security 2013-02-26 2013-02-26 N N N 54063000.00 54213478.36 0.0005 N 54211348.87 54211348.87 Fannie Mae Fannie Mae, 0.18% 31359MRG0 Government Agency Debt First Tier Security 2013-03-15 2013-03-15 N N N 91858000.00 93921175.14 0.0008 N 93893940.71 93893940.71 Federal Home Loan Bank Federal Home Loan Bank, 0.17% 313376T96 Government Agency Debt First Tier Security 2013-02-01 2013-02-01 N N N 50000000.00 49996959.62 0.0004 N 50003600.00 50003600.00 Federal Home Loan Bank Federal Home Loan Bank, 0.17% 313376ZB4 Government Agency Debt First Tier Security 2013-02-06 2013-02-06 N N N 23800000.00 23797521.87 0.0002 N 23800095.20 23800095.20 Federal Home Loan Bank Federal Home Loan Bank, 0.17% 313378AQ4 Government Agency Debt First Tier Security 2013-02-14 2013-02-14 N N N 5000000.00 4998894.97 0.0000 N 4999235.00 4999235.00 Federal Home Loan Bank Federal Home Loan Bank, 0.17% 313378BF7 Government Agency Debt First Tier Security 2013-02-28 2013-02-28 N N N 38105000.00 38106154.39 0.0003 N 38105381.05 38105381.05 Federal Home Loan Bank Federal Home Loan Bank, 0.17% 313378EW7 Government Agency Debt First Tier Security 2013-02-28 2013-02-28 N N N 37000000.00 37002899.10 0.0003 N 37002146.00 37002146.00 Federal Home Loan Bank Federal Home Loan Bank, 0.18% 3133XX7F8 Government Agency Debt First Tier Security 2013-03-20 2013-03-20 N N N 14160000.00 14272289.50 0.0001 N 14269881.60 14269881.60 Federal Home Loan Bank Federal Home Loan Bank, 0.18% 313379WT2 Government Agency Debt First Tier Security 2013-03-25 2013-03-25 N N N 78490000.00 78493644.33 0.0007 N 78484270.23 78484270.23 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 49997811.22 0.0004 N 50007750.00 50007750.00 Freddie Mac Freddie Mac, 0.18% 3137EACS6 Government Agency Debt First Tier Security 2013-03-28 2013-03-28 N N N 70493000.00 70721908.72 0.0006 N 70710047.95 70710047.95 Metropolitan Life Insurance Co. Metropolitan Life Insurance Co., 0.66% 591999EB9 0000728618 Insurance Company Funding Agreement First Tier Security 2012-10-01 2012-11-29 Y METROPOLITAN LIFE INS CO N/A N/A N N 162000000.00 162000000.00 0.0014 Y 161961120.00 161961120.00 Lloyds TSB Bank PLC Lloyds TSB Bank PLC, 0.18% 12R99T8X5 0001167831 Other Instrument Time Deposits First Tier Security 2012-09-04 2012-09-04 N N N 880000000.00 880000000.00 0.0076 N 880000000.00 880000000.00 Lloyds TSB Bank PLC Lloyds TSB Bank PLC, 0.18% 12R99T8Y3 0001167831 Other Instrument Time Deposits First Tier Security 2012-09-05 2012-09-05 N N N 1189000000.00 1189000000.00 0.0103 N 1189000000.00 1189000000.00 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 2801916.00 2801916.00 0.0000 N 2801768.06 2801768.06 Bank of America NA In a joint trading account with Bank of America NA at 0.21%, dated 8/31/2012 due 09/04/2012 46V991VC9_04197 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2035-10-01 2040-03-01 4.5 - 6.5 Government Agency Debt 24784154.80 12479247.81 FEDERAL NATIONAL MORTGAGE ASSOC 2033-06-01 2042-03-01 2.295 - 6.5 Government Agency Debt 140681363.51 46442579.81 GOVERNMENT NATIONAL MORTAGE ASSOC 2037-08-20 2041-08-20 2.997 - 7 Government Agency Debt 89736009.65 58870883.65 Unrated Security 2012-09-04 2012-09-04 N N N 115189419.00 115189419.32 0.0010 N 115189419.32 115189419.32 Barclays Capital, Inc. In a joint trading account with Barclays Capital, Inc. at 0.21%, dated 8/31/2012 due 09/04/2012 46V991VC9_06453 Government Agency Repurchase Agreement Y US TREASURY 2012-09-15 2022-08-15 0.125 - 5.125 Treasury Debt 125427138.81 132131841.07 FEDERAL AGRICULTURE MORTGAGE CORP 2012-11-26 2022-01-10 0 - 3.25 Government Agency Debt 469863.68 473377.70 FEDERAL HOME LOAN BANK 2012-09-19 2016-03-11 0 - 3.125 Government Agency Debt 6140344.15 6227415.87 FEDERAL HOME LOAN MORTGAGE CORP 2013-10-18 2042-06-01 0.35 - 5.5 Government Agency Debt 39746513.89 39825628.55 FEDERAL NATIONAL MORTGAGE ASSOC 2012-11-28 2042-08-01 0 - 6.25 Government Agency Debt 48506395.41 46178722.75 TENNESEE VALLEY AUTHORITY 2033-07-15 2033-07-15 4.7 - 4.7 Government Agency Debt 909420.01 1116454.52 Unrated Security 2012-09-04 2012-09-04 N N N 221518114.00 221518114.08 0.0019 N 221518114.08 221518114.08 Citibank NA Citibank NA, 0.19% 44Q99C6L4 0000036684 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2020-02-01 2042-08-01 2.375 - 6 Government Agency Debt 436236548.00 200700519.18 FEDERAL NATIONAL MORTGAGE ASSOC 2018-05-01 2048-10-01 2.153 - 6 Government Agency Debt 842225746.00 349927319.95 GOVERNMENT NATIONAL MORTAGE ASSOC 2038-09-20 2040-06-20 3.5 - 4 Government Agency Debt 14796589.00 7332773.64 First Tier Security 2012-09-04 2012-09-04 N N N 547000000.00 547000000.00 0.0048 N 547000000.00 547000000.00 Deutsche Bank Securities, Inc. In a joint trading account with Deutsche Bank Securities, Inc. at 0.21%, dated 8/31/2012 due 09/04/2012 46V991VC9_06399 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2027-09-25 2042-09-25 1.5 - 7 Government Agency Debt 8815014.81 7770453.99 GOVERNMENT NATIONAL MORTAGE ASSOC 2040-04-20 2042-06-16 2.5 - 4 Government Agency Debt 1340060.76 1356315.42 Unrated Security 2012-09-04 2012-09-04 N N N 8860725.00 8860724.56 0.0001 N 8860724.56 8860724.56 Goldman Sachs & Co. Goldman Sachs & Co., 0.19% 44X99H5P7 0000769993 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2020-05-01 2042-09-01 2.06 - 6.5 Government Agency Debt 374109405.00 259241033.98 FEDERAL NATIONAL MORTGAGE ASSOC 2019-01-01 2042-08-01 2.5 - 7 Government Agency Debt 1195615881.00 458854125.55 First Tier Security 2012-09-07 2012-09-07 N N N 704000000.00 704000000.00 0.0061 N 704000000.00 704000000.00 ING Financial Markets LLC ING Financial Markets LLC, 0.22% 45B99T2S9 0000877559 Government Agency Repurchase Agreement Y US TREASURY 2016-06-30 2019-06-30 1 - 3.25 Treasury Debt 25000.00 26318.33 FEDERAL HOME LOAN MORTGAGE CORP 2041-08-15 2042-06-01 2.71 - 4 Government Agency Debt 440000.00 372322.21 FEDERAL NATIONAL MORTGAGE ASSOC 2019-12-01 2047-09-01 2.031 - 6.326 Government Agency Debt 1691379757.00 500450057.22 First Tier Security 2012-09-07 2012-09-07 Y ING FINL MKTS LLC (GOV RP JPM) N/A N/A N N 491000000.00 491000000.00 0.0043 N 491000000.00 491000000.00 ING Financial Markets LLC ING Financial Markets LLC, 0.22% 45B99TYW5 0000877559 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2025-03-17 2042-05-01 0.688 - 4 Government Agency Debt 61230000.00 35634348.49 FEDERAL NATIONAL MORTGAGE ASSOC 2025-11-25 2045-05-25 2.793 - 6.5 Government Agency Debt 519624856.00 336028569.55 GOVERNMENT NATIONAL MORTAGE ASSOC 2023-03-16 2040-04-16 0.398 - 7.5 Government Agency Debt 200846388.00 83585608.46 First Tier Security 2012-09-07 2012-09-07 Y ING FINL MKTS LLC (GOV RP JPM) N/A N/A N N 442000000.00 442000000.00 0.0038 N 442000000.00 442000000.00 J.P. Morgan Securities, Inc. In a joint trading account with J.P. Morgan Securities, Inc. at 0.21%, dated 8/31/2012 due 09/04/2012 46V991VC9_55502 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2013-06-01 2042-09-01 2.5 - 7 Government Agency Debt 6599264.27 5874687.14 Unrated Security 2012-09-04 2012-09-04 N N N 5759471.00 5759470.97 0.0001 N 5759470.97 5759470.97 Mitsubishi UFJ Securities (USA), Inc. Mitsubishi UFJ Securities (USA), Inc., 0.23% 45G99RCA6 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2022-12-01 2040-08-01 2.1 - 6.509 Government Agency Debt 1267153508.00 360820748.12 FEDERAL NATIONAL MORTGAGE ASSOC 2021-10-01 2040-12-01 1.727 - 6.06 Government Agency Debt 3289481441.00 1200589125.79 Unrated Security 2012-09-07 2012-09-07 Y MUFJ SECS (USA) INC (GOV REPO) N/A N/A N N 1530000000.00 1530000000.00 0.0133 N 1530000000.00 1530000000.00 Mitsubishi UFJ Securities (USA), Inc. Mitsubishi UFJ Securities (USA), Inc., 0.23% 45G99RCH1 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2042-03-01 2042-03-01 3.5 - 5 Government Agency Debt 371491058.00 390610791.24 Unrated Security 2012-09-07 2012-09-07 Y MUFJ SECS (USA) INC (GOV REPO) N/A N/A N N 382000000.00 382000000.00 0.0033 N 382000000.00 382000000.00 Mitsubishi UFJ Securities (USA), Inc. Mitsubishi UFJ Securities (USA), Inc., 0.24% 45G99RBC3 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2025-04-01 2042-07-01 2.86 - 5.5 Government Agency Debt 343224720.00 294337246.06 FEDERAL NATIONAL MORTGAGE ASSOC 2026-04-01 2042-07-01 2.17 - 5.5 Government Agency Debt 1048203703.00 881549208.99 Unrated Security 2012-09-04 2012-09-04 Y MUFJ SECS (USA) INC (GOV REPO) N/A N/A N N 1152000000.00 1152000000.00 0.0100 N 1152000000.00 1152000000.00 Mitsubishi UFJ Securities (USA), Inc. Mitsubishi UFJ Securities (USA), Inc., 0.24% 45G99RBS8 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2036-06-01 2042-05-01 2.546 - 5.38 Government Agency Debt 178810493.00 139870700.90 FEDERAL NATIONAL MORTGAGE ASSOC 2025-09-01 2050-03-01 1.347 - 5.5 Government Agency Debt 1227942934.00 640887401.54 Unrated Security 2012-09-07 2012-09-07 Y MUFJ SECS (USA) INC (GOV REPO) N/A N/A N N 765000000.00 765000000.00 0.0066 N 765000000.00 765000000.00 Mizuho Securities USA, Inc. In a joint trading account with Mizuho Securities USA, Inc. at 0.21%, dated 8/31/2012 due 09/04/2012 46V991VC9_08126 Government Agency Repurchase Agreement Y US TREASURY 2012-09-06 2022-08-15 0 - 4.75 Treasury Debt 149231712.69 150635332.15 FEDERAL AGRICULTURE MORTGAGE CORP 2012-10-01 2012-10-01 0 - 0 Government Agency Debt 2461312.38 2461656.96 FEDERAL HOME LOAN MORTGAGE CORP 2015-07-01 2041-04-15 2.11 - 11 Government Agency Debt 113698803.11 20804557.00 FEDERAL NATIONAL MORTGAGE ASSOC 2012-11-01 2047-10-01 1.347 - 9.5 Government Agency Debt 198521540.93 56257205.92 GOVERNMENT NATIONAL MORTAGE ASSOC 2023-09-15 2042-07-15 2.81 - 8.5 Government Agency Debt 212596519.59 108781405.57 Unrated Security 2012-09-04 2012-09-04 N N N 332277171.00 332277171.12 0.0029 N 332277171.12 332277171.12 RBC Capital Markets Corp. RBC Capital Markets Corp., 0.19% 46Z99KCC4 0000050916 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2017-07-15 2042-03-15 1.189 - 9 Government Agency Debt 74988046.00 40314912.44 FEDERAL NATIONAL MORTGAGE ASSOC 2016-05-01 2042-09-25 0 - 9.5 Government Agency Debt 220283778.00 148069192.49 First Tier Security 2012-09-07 2012-09-07 Y RBC CAP MARKETS LLC(GOV REPO) N/A N/A N N 183000000.00 183000000.00 0.0016 N 183000000.00 183000000.00 RBC Capital Markets Corp. RBC Capital Markets Corp., 0.20% 46Z99KAQ5 0000050916 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2019-07-01 2042-08-15 2.5 - 8.5 Government Agency Debt 92860331.00 77207309.16 FEDERAL NATIONAL MORTGAGE ASSOC 2015-02-01 2042-09-25 1.347 - 9.25 Government Agency Debt 391379143.00 287510209.77 GOVERNMENT NATIONAL MORTAGE ASSOC 2033-06-20 2042-03-20 3 - 5.5 Government Agency Debt 625200.00 427747.65 First Tier Security 2012-09-06 2012-09-06 Y RBC CAP MARKETS LLC(GOV REPO) N/A N/A N N 357000000.00 357000000.00 0.0031 N 357000000.00 357000000.00 RBC Capital Markets Corp. In a joint trading account with RBC Capital Markets Corp. at 0.21%, dated 8/31/2012 due 09/04/2012 46V991VC9_07160 Government Agency Repurchase Agreement Y US TREASURY 2014-01-15 2039-11-15 1 - 4.375 Treasury Debt 23355136.83 24083162.55 FEDERAL HOME LOAN MORTGAGE CORP 2016-02-12 2042-04-01 0 - 5.597 Government Agency Debt 6226077.27 6126373.31 FEDERAL NATIONAL MORTGAGE ASSOC 2026-12-01 2042-02-01 0.646 - 5.06 Government Agency Debt 23361753.49 23399664.79 GOVERNMENT NATIONAL MORTAGE ASSOC 2031-08-20 2042-05-20 0 - 5.5 Government Agency Debt 35280479.73 35233175.65 Unrated Security 2012-09-04 2012-09-04 N N N 87031100.00 87031099.95 0.0008 N 87031099.95 87031099.95 UBS Securities LLC UBS Securities LLC, 0.20% 46X997FA6 0000230611 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2017-06-15 2041-08-15 1.249 - 238 Government Agency Debt 363405811.00 219691192.36 FEDERAL NATIONAL MORTGAGE ASSOC 2017-05-25 2042-08-25 1.246 - 9.25 Government Agency Debt 758376335.00 265001491.55 GOVERNMENT NATIONAL MORTAGE ASSOC 2024-07-16 2042-07-20 0.547 - 7.488 Government Agency Debt 87190453.00 60726869.53 First Tier Security 2012-09-07 2012-09-07 Y UBS SECURITIES LLC (GOV REPO) N/A N/A N N 530000000.00 530000000.00 0.0046 N 530000000.00 530000000.00 Barclays Capital, Inc. Barclays Capital, Inc., 0.37% 46Z99LJL5 0000851376 Other Repurchase Agreement N 501-1000 2036-02-01 2049-01-01 0 - 5.874 Other Instrument EQUITY 130448565.00 85321993.16 First Tier Security 2012-09-04 2012-09-04 N N N 81000000.00 81000000.00 0.0007 N 81000000.00 81000000.00 BNP Paribas Securities Corp. BNP Paribas Securities Corp., 0.32% 45A99V2Y2 0001197610 Other Repurchase Agreement N ALCOA INC 2020-08-15 2020-08-15 6.15 - 6.15 Other Instrument CORPORATE 5618258.00 6102514.38 AT&T INC 2040-09-01 2040-09-01 5.35 - 5.35 Other Instrument CORPORATE 4868941.00 5942006.91 AUTOZONE INC 2016-06-15 2016-06-15 6.95 - 6.95 Other Instrument CORPORATE 3749647.00 4499322.26 AVNET INC 2014-03-15 2014-03-15 5.875 - 5.875 Other Instrument CORPORATE 1135122.00 1228054.75 CF INDS INC 2018-05-01 2018-05-01 6.875 - 6.875 Other Instrument CORPORATE 2833728.00 3493750.48 CSX CORP 2042-05-30 2042-05-30 4.75 - 4.75 Other Instrument CORPORATE 530000.00 589923.57 CA INC 2014-12-01 2014-12-01 6.125 - 6.125 Other Instrument CORPORATE 1094738.00 1214702.13 DANSKE BK A/S MEDIUM TERM NTS 2014-04-14 2014-04-14 N/A Other Instrument CORPORATE 6217321.00 5966688.30 DIRECTV HLDGS LLC / DIRECTV 2021-03-01 2021-03-01 5 - 5 Other Instrument CORPORATE 364832.00 416681.92 EXPORT IMPORT BK KOREA 2015-09-09 2015-09-09 4.125 - 4.125 Other Instrument CORPORATE 6100.00 6660.46 KRAFT FOODS INC 2040-02-09 2040-02-09 6.5 - 6.5 Other Instrument CORPORATE 250000.00 342530.56 LIFE TECHNOLOGIES CORP 2015-03-01 2015-03-01 4.4 - 4.4 Other Instrument CORPORATE 3159170.00 3423750.49 LOCKHEED MARTIN CORP 2040-06-01 2040-06-01 5.72 - 5.72 Other Instrument CORPORATE 2819368.00 3600586.68 NISOURCE FIN CORP 2041-06-15 2041-06-15 5.95 - 5.95 Other Instrument CORPORATE 68000.00 81635.87 PNC PFD FDG TR III 2099-12-31 2099-12-31 8.7 - 8.7 Other Instrument CORPORATE 5910084.00 6120404.19 SYMANTEC CORP 2015-09-15 2015-09-15 2.75 - 2.75 Other Instrument CORPORATE 554274.00 579399.55 YUM BRANDS INC 2037-11-15 2037-11-15 6.875 - 6.875 Other Instrument CORPORATE 4068171.00 5604365.48 MEGA ADVANCE INVESTMENTS 2041-05-12 2041-05-12 6.375 - 6.375 Other Instrument CORPORATE 5000000.00 6435060.41 KOREA EXPRESSWAY CORPORATION, SONGNAM 2015-05-20 2015-05-20 5.125 - 5.125 Other Instrument CORPORATE 4483.00 4929.95 First Tier Security 2012-09-05 2012-09-05 N N N 53000000.00 53000000.00 0.0005 N 53000000.00 53000000.00 BNP Paribas Securities Corp. BNP Paribas Securities Corp., 0.32% 45A99V3E5 0001197610 Other Repurchase Agreement N BURLINGTON NORTHN SANTA FE 2014-02-01 2014-02-01 7 - 7 Other Instrument CORPORATE 186088.00 203657.19 CATERPILLAR FINL SVCS CORP 2012-12-17 2012-12-17 1.9 - 1.9 Other Instrument CORPORATE 2500000.00 2521088.89 COMMONWEALTH EDISON CO 2021-09-01 2021-09-01 3.4 - 3.4 Other Instrument CORPORATE 1758080.00 1948673.45 DAIMLER FIN NORTH AMER LLC 2015-07-31 2015-07-31 1.3 - 1.3 Other Instrument CORPORATE 2331029.00 2332878.28 DIRECTV HLDGS LLC / DIRECTV 2021-03-01 2021-03-01 5 - 5 Other Instrument CORPORATE 1310136.00 1496332.53 DOMINION RES INC VA NEW 2066-06-30 2066-06-30 7.5 - 7.5 Other Instrument CORPORATE 1899000.00 2077426.87 EXPORT IMPORT BK KOREA 2015-09-09 2015-09-09 4.125 - 4.125 Other Instrument CORPORATE 2256106.00 2463393.26 GENERAL ELEC CAP CORP MEDIUM 2032-03-15 2032-03-15 6.75 - 6.75 Other Instrument CORPORATE 2500000.00 3299337.50 KRAFT FOODS GROUP INC 2040-02-09 2040-02-09 6.5 - 6.5 Other Instrument CORPORATE 55543.00 75540.95 NISOURCE FIN CORP 2041-06-15 2041-06-15 5.95 - 5.95 Other Instrument CORPORATE 121000.00 145263.83 NORDEA BK AG MEDIUM TERM SR 2014-11-13 2014-11-13 3.7 - 3.7 Other Instrument CORPORATE 3000000.00 3173910.00 POTASH CORP SASK INC 2017-12-01 2017-12-01 3.25 - 3.25 Other Instrument CORPORATE 6080255.00 6667822.13 PROVIDENT COS INC 2038-03-15 2038-03-15 7.25 - 7.25 Other Instrument CORPORATE 3800000.00 4330019.78 QWEST CORP 2021-12-01 2021-12-01 6.75 - 6.75 Other Instrument CORPORATE 915433.00 1100938.63 ROGERS COMMUNICATIONS INC 2018-08-15 2018-08-15 6.8 - 6.8 Other Instrument CORPORATE 3122885.00 3913013.07 RYDER SYS INC MEDIUM TERM NTS 2015-09-01 2015-09-01 7.2 - 7.2 Other Instrument CORPORATE 3000000.00 3592590.00 SCOTLAND INTL FIN NO 2 B V 2013-05-23 2013-05-23 4.25 - 4.25 Other Instrument CORPORATE 2000000.00 2042178.89 SOCIETE GENERALE MEDIUM TERM 2021-04-15 2021-04-15 5.2 - 5.2 Other Instrument CORPORATE 3382598.00 3489300.18 SOUTHWESTERN ELEC PWR CO 2040-03-15 2040-03-15 6.2 - 6.2 Other Instrument CORPORATE 50000.00 65321.94 TEMASEK FINL I LTD GLOBAL 2019-10-25 2019-10-25 4.3 - 4.3 Other Instrument CORPORATE 1480494.00 1705010.91 WOORI BK GLOBAL MEDIUM TERM SR 2015-10-07 2015-10-07 4.5 - 4.5 Other Instrument CORPORATE 3000000.00 3184191.00 SINOCHEM OVERSEAS CAPITAL COMPANY LTD 2040-11-12 2040-11-12 6.3 - 6.3 Other Instrument CORPORATE 2552238.00 2922861.24 SKANDINAVISKA ENSKILDA BANKEN, STOCKHOLM 2099-09-25 2099-09-25 N/A Other Instrument CORPORATE 250000.00 244051.92 KOREA EXPRESSWAY CORPORATION, SONGNAM 2015-05-20 2015-05-20 5.125 - 5.125 Other Instrument CORPORATE 2416727.00 2657670.99 First Tier Security 2012-09-06 2012-09-06 N N N 53000000.00 53000000.00 0.0005 N 53000000.00 53000000.00 BNP Paribas Securities Corp. BNP Paribas Securities Corp., 0.53% 45A99V2R7 0001197610 Other Repurchase Agreement N ALLY FINL INC 2017-12-01 2017-12-01 6.25 - 6.25 Other Instrument CORPORATE 151515.00 165624.83 ARCELORMITTAL SA LUXEMBOURG 2018-06-01 2018-06-01 6.125 - 6.125 Other Instrument CORPORATE 7000000.00 7082827.50 CENTURYLINK INC 2021-06-15 2021-06-15 6.45 - 6.45 Other Instrument CORPORATE 5005000.00 5631163.03 CINCINNATI BELL INC NEW 2017-10-15 2017-10-15 8.25 - 8.25 Other Instrument CORPORATE 5000000.00 5505833.34 ECHOSTAR DBS CORP 2016-02-01 2016-02-01 7.125 - 7.125 Other Instrument CORPORATE 8700000.00 9589031.25 FORD MTR CR CO LLC 2013-10-01 2013-10-01 7 - 7 Other Instrument CORPORATE 3860506.00 4210525.20 INTERNATIONAL STL GROUP INC 2014-04-15 2014-04-15 6.5 - 6.5 Other Instrument CORPORATE 8950000.00 9542360.73 LEVEL 3 COMMUNICATIONS INC 2019-02-01 2019-02-01 11.875 - 11.875 Other Instrument CORPORATE 5325000.00 6200851.55 PECO ENERGY CAP TR IV 2033-06-15 2033-06-15 5.75 - 5.75 Other Instrument CORPORATE 6900000.00 6530773.34 RECKSON OPER PARTNERSHIP LP / 2018-08-15 2018-08-15 5 - 5 Other Instrument CORPORATE 2533545.00 2668917.94 REGIONS BK BIRMINGHAM ALA 2018-05-15 2018-05-15 7.5 - 7.5 Other Instrument CORPORATE 100000.00 118833.33 First Tier Security 2012-09-04 2012-09-04 Y BNP PARIBAS SEC (NON GOV REPO) N/A N/A N N 53000000.00 53000000.00 0.0005 N 53000000.00 53000000.00 Credit Suisse Securities (USA) LLC Credit Suisse Securities (USA) LLC, 0.26% 47A99PDP8 0000318336 Other Repurchase Agreement N FEDERAL HOME LOAN MORTGAGE CORP 2013-08-15 2041-09-15 0 - 100 Government Agency Debt 1244909256.00 77634815.28 FEDERAL NATIONAL MORTGAGE ASSOC 2012-11-25 2042-12-25 0 - 1134.5 Government Agency Debt 2719315392.00 93195650.13 GOVERNMENT NATIONAL MORTAGE ASSOC 2052-08-16 2052-08-16 0.885 - 0.936 Government Agency Debt 490505000.00 36204099.78 First Tier Security 2012-09-04 2012-09-04 N N N 201000000.00 201000000.00 0.0017 N 201000000.00 201000000.00 Credit Suisse Securities (USA) LLC Credit Suisse Securities (USA) LLC, 0.30% 47A99PDN3 0000318336 Other Repurchase Agreement N PFD GOOGLE INC SR A 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 11100.00 7566648.00 MARATHON OIL CORP 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 2831016.00 77173496.16 METROPCS COMMUNICATIONS, INC. 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 3201900.00 30898335.00 PRUDENTIAL FINANCIAL, INC. 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 198918.00 10759474.62 REGIONS FINANCIAL CORP NEW- 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 165900.00 1166277.00 STARWOOD HOTELS & RESORTS WORL 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 355200.00 19425888.00 THE TJX COMPANIES, INC 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 391200.00 17838720.00 TERADATA CORP 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 65400.00 5002446.00 TYSON FOODS, INC. 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 63537.00 982282.02 UNION PACIFIC CORPORATION 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 61326.00 7444976.40 VIACOM,INC CLASS B COMMON NEW@ 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 435300.00 21725823.00 WATSON PHARMACEUTICALS, INC. 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 335000.00 27309200.00 WESTERN DIGITAL 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 372796.00 15694711.60 WHOLE FOODS MARKET INC 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 4300.00 417272.00 COOPER INDUSTRIES PLC NEW IREL 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 1212743.00 88421092.13 NABORS INDUSTRIES LTD @ 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 145000.00 2132950.00 ACE LIMITED 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 188000.00 13821760.00 First Tier Security 2012-09-04 2012-09-04 N N N 322000000.00 322000000.00 0.0028 N 322000000.00 322000000.00 Credit Suisse Securities (USA) LLC Credit Suisse Securities (USA) LLC, 0.85% 44U99V8X9 0000318336 Other Repurchase Agreement N ANIXTER INTL INC 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 2000.00 2251.05 CACI INTL INC 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 7000000.00 7908831.00 EQUINIX, INC. 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 18223000.00 34695735.52 MICRON TECHNOLOGY, INC. 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 4699000.00 4687666.01 VERISIGN, INC. 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 26837000.00 40253460.39 First Tier Security 2012-10-30 2012-10-30 N N N 81000000.00 81000000.00 0.0007 Y 81000000.00 81000000.00 Credit Suisse Securities (USA) LLC Credit Suisse Securities (USA) LLC, 0.89% 47A99PAD8 0000318336 Other Repurchase Agreement N CWABS ASSET-BACKED CERTIFICATE 2037-03-25 2037-03-25 0.405 - 0.405 Other Instrument ASSET BACKED 17005000.00 11457158.00 CWABS ASSET-BACKED CERTIFICATE 2036-04-25 2036-04-25 0.475 - 0.475 Other Instrument ASSET BACKED 192625000.00 31513308.92 CWABS ASSET-BACKED CERTIFICATE 2047-09-25 2047-09-25 0.456 - 0.456 Other Instrument ASSET BACKED 123352000.00 46641483.90 IRWIN HOME EQUITY LOAN TRUST 2 2037-06-25 2037-06-25 0.375 - 0.375 Other Instrument ASSET BACKED 25622000.00 3715244.87 IRWIN HOME EQUITY LOAN TRUST 2 2037-08-25 2037-08-25 5.96 - 5.96 Other Instrument ASSET BACKED 16660000.00 7958759.96 RACC SERIES 2007-RP2 TRUST 2046-02-25 2046-02-25 0.586 - 0.586 Other Instrument ASSET BACKED 10174000.00 2485804.51 TERWIN CAPITAL, LLC 2036-08-25 2036-12-25 0.493 - 0.516 Other Instrument ASSET BACKED 72516887.00 5371350.25 First Tier Security 2012-11-06 2012-11-06 N N N 101000000.00 101000000.00 0.0009 Y 101000000.00 101000000.00 Credit Suisse Securities (USA) LLC Credit Suisse Securities (USA) LLC, 0.89% 47A99PCS3 0000318336 Other Repurchase Agreement N STRUCTURED ASSET INVESTMENT LO 2034-04-25 2034-04-25 2.206 - 2.206 Other Instrument ASSET BACKED 38390000.00 7562315.03 First Tier Security 2012-11-19 2012-11-19 N N N 7000000.00 7000000.00 0.0001 Y 7000000.00 7000000.00 Credit Suisse Securities (USA) LLC Credit Suisse Securities (USA) LLC, 0.89% 47A99PCB0 0000318336 Other Repurchase Agreement N ACE SECURITIES CORP. 2033-11-25 2033-11-25 1.211 - 1.211 Other Instrument ASSET BACKED 2612912.00 1426062.66 AMERIQUEST MORTGAGE SECURITIES 2034-08-25 2034-08-25 0.865 - 0.865 Other Instrument ASSET BACKED 2590000.00 1512715.90 BEAR STEARNS ASSET BACKED SECU 2034-09-25 2034-09-25 0.985 - 0.985 Other Instrument ASSET BACKED 2926149.00 2506348.74 CWABS INC. 2034-07-25 2034-07-25 0.956 - 0.956 Other Instrument ASSET BACKED 5960000.00 4414996.20 GABS CWHEQ 2006-1 D12/29/ 2037-01-15 2037-01-15 0.38 - 0.38 Other Instrument ASSET BACKED 104243613.00 15627868.66 CARRINGTON MORTGAGE LOAN TRUST 2035-06-25 2035-06-25 0.696 - 0.696 Other Instrument ASSET BACKED 303673.00 218883.73 CENTEX HOME EQUITY LOAN TRUST 2034-01-25 2034-01-25 0.836 - 0.836 Other Instrument ASSET BACKED 956561.00 449539.57 FIRST FRANKLIN MORTGAGE LOAN T 2034-03-25 2034-03-25 1.135 - 1.135 Other Instrument ASSET BACKED 4279715.00 2147364.06 FREMONT HOME LOAN TRUST 2002-1 2034-11-25 2034-11-25 0.936 - 0.936 Other Instrument ASSET BACKED 589861.00 414770.13 HSBC HOME EQUITY LOAN TRUST (U 2036-03-20 2036-03-20 0.537 - 0.537 Other Instrument ASSET BACKED 4140754.00 3003492.30 CSFB HOME EQUITY ASSET TRUST 2 2035-01-25 2035-01-25 0.896 - 0.896 Other Instrument ASSET BACKED 6700000.00 4111230.33 MASTR ASSET BACKED SECURITIES 2032-12-25 2035-10-25 0.686 - 3.01 Other Instrument ASSET BACKED 8185433.00 5331223.72 MORGAN STANLEY ABS CAPITAL I, 2035-03-25 2035-03-25 0.655 - 0.655 Other Instrument ASSET BACKED 14702613.00 11795644.04 THE NATIONAL COLLEGIATE STUDEN 2026-05-25 2026-05-25 0.426 - 0.426 Other Instrument ASSET BACKED 6705000.00 5327733.92 NATIONAL COLLEGIATE STUDENT LO 2027-12-27 2027-12-27 0.375 - 0.375 Other Instrument ASSET BACKED 34139755.00 26024668.58 OWNIT MORTGAGE LOAN TRUST, SER 2036-03-25 2036-03-25 0.855 - 0.855 Other Instrument ASSET BACKED 6387221.00 4586365.00 RESIDENTIAL ASSET SECURITIES C 2034-01-25 2035-02-25 0.686 - 0.826 Other Instrument ASSET BACKED 41362713.00 12859737.13 STRUCTURED ASSET INVESTMENT LO 2035-07-25 2035-07-25 0.706 - 0.706 Other Instrument ASSET BACKED 8563025.00 5653718.44 First Tier Security 2012-11-19 2012-11-19 N N N 100000000.00 100000000.00 0.0009 Y 100000000.00 100000000.00 Credit Suisse Securities (USA) LLC Credit Suisse Securities (USA) LLC, 0.90% 44U99V4A3 0000318336 Other Repurchase Agreement N CWABS INC. 2033-08-25 2033-08-25 1.885 - 1.885 Other Instrument ASSET BACKED 10100000.00 867212.70 CWABS ASSET-BACKED CERTIFICATE 2047-04-25 2047-04-25 0.386 - 0.386 Other Instrument ASSET BACKED 8500000.00 4627594.35 CWABS ASSET-BACKED CERTIFICATE 2037-06-25 2037-06-25 0.475 - 0.475 Other Instrument ASSET BACKED 15000000.00 8231175.54 CWABS ASSET-BACKED CERTIFICATE 2047-10-25 2047-10-25 0.465 - 0.465 Other Instrument ASSET BACKED 2090000.00 828201.82 CARRINGTON MORTGAGE LOAN TRUST 2036-08-09 2036-08-09 0.475 - 0.475 Other Instrument ASSET BACKED 11000000.00 4578288.32 CARRINGTON MORTGAGE LOAN TRUST 2036-10-25 2036-10-25 0.396 - 0.396 Other Instrument ASSET BACKED 4150968.00 1396539.04 C-BASS 2006-CB6 TRUST 2036-07-25 2036-07-25 0.486 - 0.486 Other Instrument ASSET BACKED 12000000.00 4648733.50 CONSECO FINANCE SECURITIZATION 2032-05-01 2032-05-01 8.31 - 8.31 Other Instrument ASSET BACKED 47370000.00 25632966.99 CWABS ASSET-BACKED CERTIFICATE 2037-03-25 2037-03-25 0.475 - 0.475 Other Instrument ASSET BACKED 14060000.00 3319735.33 CWABS ASSET-BACKED CERTIFICATE 2047-06-25 2047-06-25 0.415 - 0.415 Other Instrument ASSET BACKED 7000000.00 3472466.83 GABS GSAA TR2006-20 D12/29/ 2046-12-25 2046-12-25 0.415 - 0.415 Other Instrument ASSET BACKED 8000000.00 2532644.99 GSAA HOME EQUITY TRUST 2006-14 2036-09-25 2036-09-25 0.516 - 0.516 Other Instrument ASSET BACKED 10000000.00 453425.98 HSI ASSET SECURITIZATION CORPO 2036-12-25 2036-12-25 0.386 - 0.386 Other Instrument ASSET BACKED 14233000.00 4763857.89 MERRILL LYNCH FIRST FRANKLIN M 2037-04-25 2037-04-25 0.405 - 0.405 Other Instrument ASSET BACKED 10000000.00 3232780.10 MERRILL LYNCH MORTGAGE INVESTO 2036-08-25 2036-08-25 0.985 - 0.985 Other Instrument ASSET BACKED 3700000.00 413992.52 MORGAN STANLEY MORTGAGE LOAN T 2047-01-25 2047-01-25 0.405 - 0.405 Other Instrument ASSET BACKED 14798000.00 1583810.93 MORGAN STANLEY HOME EQUITY LOA 2037-04-25 2037-04-25 0.586 - 0.586 Other Instrument ASSET BACKED 12752950.00 5517606.00 MORGAN STANLEY ABS CAPITAL I I 2037-03-25 2037-03-25 0.486 - 0.486 Other Instrument ASSET BACKED 13200000.00 5306577.16 OPTION ONE MORTGAGE LOAN TRUST 2035-12-25 2035-12-25 0.655 - 0.655 Other Instrument ASSET BACKED 13333334.00 5103320.93 QUEST TRUST 2006-X2 2036-08-25 2036-08-25 0.525 - 0.525 Other Instrument ASSET BACKED 9000000.00 3255923.06 RENAISSANCE MORTGAGE ACCEPTANC 2035-11-25 2035-11-25 5.484 - 5.484 Other Instrument ASSET BACKED 2000000.00 238480.00 RENAISSANCE HOME EQUITY LOAN T 2036-11-25 2036-11-25 5.586 - 5.586 Other Instrument ASSET BACKED 2510000.00 1188647.73 RENAISSANCE HOME EQUITY LOAN T 2036-05-25 2036-05-25 6.063 - 6.063 Other Instrument ASSET BACKED 5681000.00 485188.64 SG MORTGAGE SECURITIES TRUST 2 2037-08-25 2037-08-25 1.036 - 1.036 Other Instrument ASSET BACKED 25174605.00 6101856.98 SPECIALTY UNDERWRITING AND RES 2037-11-25 2037-11-25 0.386 - 0.386 Other Instrument ASSET BACKED 15000000.00 5216348.47 STRUCTURED ASSET SECURITIES CO 2037-01-25 2037-01-25 0.535 - 0.535 Other Instrument ASSET BACKED 6830000.00 2408500.48 ACE SECURITIES CORP. HOME EQUI 2036-12-25 2036-12-25 0.345 - 0.345 Other Instrument ASSET BACKED 14000000.00 5118379.41 AMERIQUEST MORTGAGE SECURITIES 2036-04-25 2036-04-25 0.615 - 0.615 Other Instrument ASSET BACKED 8500000.00 265799.13 BEAR STEARNS ASSET BACKED SECU 2034-08-25 2034-08-25 2.135 - 2.135 Other Instrument ASSET BACKED 4006000.00 615390.75 First Tier Security 2012-10-01 2012-10-01 N N N 103000000.00 103000000.00 0.0009 Y 103000000.00 103000000.00 Credit Suisse Securities (USA) LLC Credit Suisse Securities (USA) LLC, 0.90% 44U99V5E4 0000318336 Other Repurchase Agreement N BANC OF AMERICA FUNDING CORPOR 2034-11-20 2034-11-20 2.945 - 2.945 Other Instrument GOVERNMENT AGENCY 14815631.00 3055190.91 BANC OF AMERICA COMMERCIAL MOR 2047-09-10 2047-09-10 5.477 - 5.477 Other Instrument GOVERNMENT AGENCY 6000000.00 3428250.79 BEAR STEARNS ALT-A TRUST 2002- 2035-08-25 2035-08-25 0.506 - 0.506 Other Instrument GOVERNMENT AGENCY 100000000.00 14592987.30 CITIGROUP COMMERCIAL MORTGAGE 2049-12-10 2049-12-10 5.888 - 5.888 Other Instrument GOVERNMENT AGENCY 20000000.00 16716680.53 CITIBANK CREDIT CARD ISSUANCE 2036-07-25 2036-07-25 6.133 - 6.133 Other Instrument GOVERNMENT AGENCY 2500000.00 1624257.12 DAVIS SQUARE FUNDING VI, LTD. 2041-09-07 2041-09-07 0.505 - 0.585 Other Instrument ASSET BACKED 214059000.00 37533769.07 DEUTSCHE MORTGAGE SECURITIES, 2034-06-25 2034-06-25 3.025 - 3.025 Other Instrument GOVERNMENT AGENCY 14650000.00 1138450.34 DEUTSCHE MORTGAGE SECURITIES,I 2035-06-26 2035-06-26 5.242 - 5.242 Other Instrument GOVERNMENT AGENCY 46794000.00 11241738.62 GMAC COMMERCIAL MORTGAGE SECUR 2041-12-10 2041-12-10 4.965 - 4.965 Other Instrument GOVERNMENT AGENCY 9277000.00 7738293.58 GS MORTGAGE SECURITIES CORPORA 2020-03-06 2020-03-06 1.294 - 1.294 Other Instrument GOVERNMENT AGENCY 18085000.00 18071743.37 GS MORTGAGE SECURITIES TRUST 2 2039-11-10 2039-11-10 5.622 - 5.622 Other Instrument GOVERNMENT AGENCY 7064000.00 5986911.97 GSAMP TRUST 2005-HE2-N 2035-09-25 2035-09-25 2.645 - 2.645 Other Instrument GOVERNMENT AGENCY 6414200.00 1653116.52 GREENWICH CAPITAL COMMERCIAL F 2037-04-10 2037-04-10 5.417 - 5.417 Other Instrument GOVERNMENT AGENCY 6582000.00 4729729.70 HARBORVIEW MORTGAGE LOAN TRUST 2035-07-19 2035-07-19 0.477 - 0.477 Other Instrument GOVERNMENT AGENCY 20000000.00 3452593.09 IMPERIAL CMB TRUST SERIES 1998 2035-04-25 2035-04-25 0.545 - 0.545 Other Instrument GOVERNMENT AGENCY 25000000.00 1678919.23 MERCURY CDO II LTD 2045-11-29 2045-11-29 0.875 - 1.005 Other Instrument ASSET BACKED 70500000.00 8958153.47 MORGAN STANLEY CAPITAL I INC. 2049-04-15 2049-04-15 5.877 - 5.877 Other Instrument GOVERNMENT AGENCY 48878580.00 45858253.61 GCMO 144ANOMURA 04-R1 2034-10-25 2034-10-25 1.345 - 1.345 Other Instrument GOVERNMENT AGENCY 12298000.00 6506287.60 STRUCTURED ADJUSTABLE RATE MOR 2034-12-25 2034-12-25 2.732 - 2.732 Other Instrument GOVERNMENT AGENCY 15575000.00 4681524.60 WACHOVIA BANK COMMERCIAL MORTG 2044-12-15 2044-12-15 5.559 - 5.559 Other Instrument GOVERNMENT AGENCY 12000000.00 10684767.01 WACHOVIA BANK COMMERCIAL MORTG 2051-02-15 2051-02-15 6.097 - 6.097 Other Instrument GOVERNMENT AGENCY 15680000.00 12350721.93 First Tier Security 2012-10-09 2012-10-09 N N N 205000000.00 205000000.00 0.0018 Y 205000000.00 205000000.00 Credit Suisse Securities (USA) LLC Credit Suisse Securities (USA) LLC, 0.90% 44U99V5F1 0000318336 Other Repurchase Agreement N ADJUSTABLE RATE MORTGAGE TRUST 2035-11-25 2035-11-25 0.506 - 0.506 Other Instrument GOVERNMENT AGENCY 32669872.00 3735822.94 BANC OF AMERICA MORTGAGE SECUR 2035-01-25 2035-01-25 N/A Other Instrument GOVERNMENT AGENCY 5241085.00 1261329.57 BANC OF AMERICA FUNDING 2006- 2036-07-20 2036-07-20 2.614 - 2.614 Other Instrument GOVERNMENT AGENCY 18930000.00 6411825.62 BANC OF AMERICA MORTGAGE 2007- 2037-03-25 2037-03-25 5.165 - 5.165 Other Instrument GOVERNMENT AGENCY 30400000.00 1112594.62 BEAR STEARNS ALT-A TRUST 2002- 2035-04-25 2035-04-25 5.455 - 5.455 Other Instrument GOVERNMENT AGENCY 16000000.00 6669260.03 BEAR STEARNS ARM TRUST 2005-1 2035-10-25 2035-10-25 2.4 - 2.4 Other Instrument GOVERNMENT AGENCY 26168000.00 9327321.34 CD 2007-CD4 COMMERCIAL MORTGAG 2049-12-11 2049-12-11 5.398 - 5.398 Other Instrument GOVERNMENT AGENCY 15000000.00 8141729.24 CHL MORTGAGE PASS-THROUGH TRUS 2038-04-25 2038-04-25 6 - 6 Other Instrument GOVERNMENT AGENCY 11712500.00 671120.46 COMM 2005-FL11 2017-11-15 2017-11-15 2.19 - 2.19 Other Instrument GOVERNMENT AGENCY 23652000.00 4424669.09 COMM 2005-FL10 2017-04-15 2017-04-15 1.089 - 1.089 Other Instrument GOVERNMENT AGENCY 1382000.00 1215010.55 CWALT, INC. 2004-2CB 2035-01-25 2035-01-25 4.765 - 4.765 Other Instrument GOVERNMENT AGENCY 292676922.00 2825887.18 CWALT, INC., 2005-13CB 2035-09-25 2035-09-25 1.647 - 1.647 Other Instrument GOVERNMENT AGENCY 500000.00 80546.28 CHASE MORTGAGE FINANCE TRUST, 2032-03-25 2032-03-25 6.25 - 6.25 Other Instrument GOVERNMENT AGENCY 1649000.00 444054.89 CITICORP MORTGAGE SECURITIES T 2037-01-25 2037-01-25 5.75 - 5.75 Other Instrument GOVERNMENT AGENCY 54665000.00 11743516.39 CITICORP MORTGAGE SECURITIES T 2037-05-25 2037-05-25 6 - 6 Other Instrument GOVERNMENT AGENCY 26539000.00 1768310.73 CITIGROUP COMMERCIAL MORTGAGE 2049-12-10 2049-12-10 6.262 - 6.262 Other Instrument GOVERNMENT AGENCY 9227000.00 7140563.86 CONSECO FINANCE SECURITIZATION 2032-09-01 2032-09-01 7.27 - 7.27 Other Instrument GOVERNMENT AGENCY 15746000.00 7961766.62 GS MORTGAGE SECURITIES TRUST 2 2036-11-10 2036-11-10 0.809 - 0.809 Other Instrument GOVERNMENT AGENCY 827403000.00 13062291.17 JPMORGAN CHASE COMMERCIAL MORT 2037-09-12 2037-09-12 0.482 - 0.482 Other Instrument GOVERNMENT AGENCY 713839000.00 4245168.54 J.P.MORGAN ALTERNATIVE LOAN TR 2037-06-27 2037-06-27 0.744 - 0.744 Other Instrument GOVERNMENT AGENCY 133000000.00 55947073.01 J.P. MORGAN CHASE COMMERCIAL S 2043-11-15 2043-11-15 3.392 - 3.392 Other Instrument GOVERNMENT AGENCY 13766000.00 8168133.96 LB-UBS COMMERCIAL MORTGAGE TRU 2040-02-15 2040-02-15 5.562 - 5.562 Other Instrument GOVERNMENT AGENCY 13500000.00 8508543.67 LB-UBS COMMERCIAL MORTGAGE TRU 2040-02-15 2040-02-15 5.413 - 5.413 Other Instrument GOVERNMENT AGENCY 3238000.00 1781181.82 LB-UBS COMMERCIAL MORTGAGE TRU 2045-09-15 2045-09-15 6.451 - 6.451 Other Instrument GOVERNMENT AGENCY 5000000.00 3769609.03 MASTR ASSET SECURITIZATION TRU 2017-11-25 2017-11-25 5.5 - 5.5 Other Instrument GOVERNMENT AGENCY 31869818.00 23472.89 MASTR RESCURITIZATION TRUST 20 2035-02-28 2035-02-28 N/A Other Instrument GOVERNMENT AGENCY 12000000.00 1474397.42 MERRILL LYNCH MORTGAGE INVESTO 2035-11-25 2035-11-25 0.486 - 0.486 Other Instrument GOVERNMENT AGENCY 16479046.00 6491855.60 MORGAN STANLEY CAPITAL I INC. 2045-09-13 2045-09-13 0.976 - 0.976 Other Instrument GOVERNMENT AGENCY 510966408.00 3468708.13 GCMO 144ANOMURA 04-R1 2034-10-25 2034-10-25 1.345 - 1.345 Other Instrument GOVERNMENT AGENCY 2000000.00 1058104.99 OAKWOOD MORTGAGE INVESTORS 199 2025-03-15 2025-03-15 6.06 - 6.06 Other Instrument GOVERNMENT AGENCY 2547500.00 955191.94 STRUCTURED ADJUSTABLE RATE MOR 2035-05-25 2035-05-25 2.729 - 2.729 Other Instrument GOVERNMENT AGENCY 54745000.00 15523057.01 STRUCTURED ASSET SECURITIES CO 2035-02-25 2035-02-25 N/A Other Instrument GOVERNMENT AGENCY 9418330.00 2216552.44 STRUCTURED ASSET SECURITIES CO 2033-11-25 2033-11-25 0.535 - 0.535 Other Instrument GOVERNMENT AGENCY 51550000.00 9445747.58 WACHOVIA BANK COMMERCIAL MORTG 2021-09-15 2021-09-15 0.6 - 0.6 Other Instrument GOVERNMENT AGENCY 13600000.00 10608827.26 First Tier Security 2012-10-15 2012-10-15 N N N 205000000.00 205000000.00 0.0018 Y 205000000.00 205000000.00 Credit Suisse Securities (USA) LLC Credit Suisse Securities (USA) LLC, 0.92% 44U99V6N3 0000318336 Other Repurchase Agreement N BEAR STEARNS ALT-A TRUST 2006- 2036-08-25 2036-08-25 0.396 - 0.396 Other Instrument GOVERNMENT AGENCY 151721000.00 17272364.98 CWALT, INC. 2004-2CB 2035-03-25 2035-03-25 5.5 - 5.5 Other Instrument GOVERNMENT AGENCY 50000000.00 9316270.80 CWALT, INC., 2005-13CB 2035-10-25 2035-10-25 0.886 - 0.886 Other Instrument GOVERNMENT AGENCY 15143867.00 5689765.62 CWMBS, INC. 2004-21 2035-04-25 2035-04-25 5.5 - 5.5 Other Instrument GOVERNMENT AGENCY 20905000.00 6093709.73 CHASEFLEX TR 2007-M1 2037-08-25 2037-08-25 0.386 - 0.386 Other Instrument GOVERNMENT AGENCY 1888087.00 232198.55 CITIGROUP MORTGAGE LOAN TRUST 2035-12-25 2035-12-25 N/A Other Instrument GOVERNMENT AGENCY 6465068.00 2112308.82 CITIGROUP MORTGAGE LOAN TRUST, 2036-03-25 2036-03-25 2.52 - 2.52 Other Instrument GOVERNMENT AGENCY 11155000.00 3155077.36 CITIMORTGAGE ALTERNATIVE LOAN 2036-04-25 2036-04-25 N/A Other Instrument GOVERNMENT AGENCY 3404524.00 869951.93 CITICORP MORTGAGE SECURITIES T 2037-01-25 2037-01-25 5.75 - 5.75 Other Instrument GOVERNMENT AGENCY 14610000.00 3138622.05 CITIMORTGAGE ALTERNATIVE LOAN 2036-10-25 2036-10-25 N/A Other Instrument GOVERNMENT AGENCY 18561729.00 2968297.51 FIRST HORIZON ALTERNATIVE MORT 2036-01-25 2036-01-25 0.936 - 0.936 Other Instrument GOVERNMENT AGENCY 20500000.00 5963135.81 IMPERIAL CMB TRUST SERIES 1998 2035-03-25 2035-03-25 0.555 - 0.555 Other Instrument GOVERNMENT AGENCY 10725000.00 954348.02 IMPAC SECURED ASSETS CORP. 2036-03-25 2036-03-25 0.516 - 0.516 Other Instrument GOVERNMENT AGENCY 19075000.00 6132474.42 INDYMAC INDX MORTGAGE LOAN TRU 2035-07-25 2036-02-25 2.614 - 5.75 Other Instrument GOVERNMENT AGENCY 186552799.00 34936465.07 ML-CFC COMMERCIAL MORTGAGE TRU 2050-06-12 2050-06-12 5.93 - 5.93 Other Instrument GOVERNMENT AGENCY 30395000.00 2247463.18 MASTR ALTERNATIVE LOAN TRUST 2 2036-03-25 2036-03-25 0.586 - 0.586 Other Instrument GOVERNMENT AGENCY 45450000.00 2549089.40 MERRILL LYNCH MORTGAGE INVESTO 2036-07-25 2036-07-25 0.437 - 0.437 Other Instrument GOVERNMENT AGENCY 12062746.00 923715.60 MORGAN STANLEY MORTGAGE LOAN T 2036-02-25 2036-04-25 0.486 - 5.75 Other Instrument GOVERNMENT AGENCY 435578100.00 26507938.27 MORGAN STANLEY MORTGAGE LOAN T 2036-05-25 2036-05-25 3.067 - 3.067 Other Instrument GOVERNMENT AGENCY 46488000.00 13485677.35 MORTGAGEIT SECURITIES CORP. MO 2047-06-25 2047-06-25 0.386 - 0.386 Other Instrument GOVERNMENT AGENCY 24000000.00 5458372.95 NOMURA ASSET ACCEPTANCE CORPOR 2037-06-25 2037-06-25 0.356 - 0.356 Other Instrument GOVERNMENT AGENCY 41508000.00 6596934.01 NOMURA ASSET ACCEPTANCE CORPOR 2036-12-25 2036-12-25 0.405 - 0.405 Other Instrument GOVERNMENT AGENCY 67110136.00 10010688.74 RESIDENTIAL ACCREDITED LOAN, I 2036-06-25 2036-06-25 6 - 6 Other Instrument GOVERNMENT AGENCY 46160000.00 9655950.91 RALI SERIES 2007-QS4 2037-03-25 2037-03-25 0.566 - 0.566 Other Instrument GOVERNMENT AGENCY 32561000.00 4129648.45 RBSGC MORTGAGE LOAN TRUST 2037-01-25 2037-03-25 0.686 - 6.964 Other Instrument GOVERNMENT AGENCY 45634000.00 6655785.10 RFMSI SERIES 2006-S8 TRUST 2036-09-25 2036-09-25 0.586 - 0.586 Other Instrument GOVERNMENT AGENCY 50080000.00 5609857.17 RFMSI SERIES 2007-SA1 TRUST 2037-02-25 2037-02-25 3.531 - 3.531 Other Instrument GOVERNMENT AGENCY 70740000.00 15677562.29 RALI SERIES 2007-QS6 TRUST 2037-04-25 2037-04-25 0.535 - 0.535 Other Instrument GOVERNMENT AGENCY 7000000.00 2260631.47 RALI SERIES 2005-QS9 TRUST 2035-07-25 2036-03-25 0.636 - 3.514 Other Instrument GOVERNMENT AGENCY 212596608.00 38831975.64 RFMSI SERIES 2003-S14 TRUST 2035-12-25 2035-12-25 5.75 - 5.75 Other Instrument GOVERNMENT AGENCY 3000000.00 613152.09 STRUCTURED ADJUSTABLE RATE MOR 2036-03-31 2036-03-31 5.356 - 5.356 Other Instrument GOVERNMENT AGENCY 7420000.00 2444201.09 WAMU MORTGAGE SERIES 2006-AR-1 2037-01-25 2037-01-25 2.145 - 2.145 Other Instrument GOVERNMENT AGENCY 19979810.00 6279550.09 ALTERNATIVE LOAN TRUST RESECUR 2036-04-25 2036-04-25 0.836 - 0.836 Other Instrument GOVERNMENT AGENCY 5000000.00 1381786.91 ALTERNATIVE LOAN TRUST 2007-2C 2037-03-25 2037-03-25 5.75 - 5.75 Other Instrument GOVERNMENT AGENCY 5600000.00 3599309.35 ALTERNATIVE LOAN TRUST, 2007-9 2037-05-25 2037-05-25 6 - 6 Other Instrument GOVERNMENT AGENCY 21250000.00 9995188.23 ALTERNATIVE LOAN TRUST 2007-19 2037-08-25 2037-08-25 6 - 6 Other Instrument GOVERNMENT AGENCY 8000000.00 5227975.85 BCAP LLC TRUST 2006-AA2 2037-01-25 2037-01-25 0.405 - 0.405 Other Instrument GOVERNMENT AGENCY 127930000.00 32632367.19 BANK OF AMERICA STRUCTURED NOT 2035-12-25 2035-12-25 N/A Other Instrument GOVERNMENT AGENCY 995918.00 265610.77 BANC OF AMERICA MORTGAGE 2006- 2046-10-20 2046-10-20 6.026 - 6.026 Other Instrument GOVERNMENT AGENCY 15775000.00 3700245.55 BANC OF AMERICA FUNDING 2007-C 2036-05-20 2036-05-20 2.706 - 2.706 Other Instrument GOVERNMENT AGENCY 7090000.00 2642119.12 BEAR STEARNS ALT-A TRUST 2002- 2036-01-25 2036-05-25 2.69 - 2.754 Other Instrument GOVERNMENT AGENCY 83883825.00 13715571.26 First Tier Security 2012-10-16 2012-10-16 N N N 307000000.00 307000000.00 0.0027 Y 307000000.00 307000000.00 Credit Suisse Securities (USA) LLC Credit Suisse Securities (USA) LLC, 0.92% 44U99V7G7 0000318336 Other Repurchase Agreement N DAVIS SQUARE FUNDING VI, LTD. 2041-09-07 2041-09-07 0.585 - 0.585 Other Instrument ASSET BACKED 79145000.00 15177549.56 FORT SHERIDAN ABS CDO, LTD 2041-11-05 2041-11-05 0.538 - 0.538 Other Instrument ASSET BACKED 600860000.00 205363080.99 First Tier Security 2012-10-22 2012-10-22 N N N 204000000.00 204000000.00 0.0018 Y 204000000.00 204000000.00 Credit Suisse Securities (USA) LLC Credit Suisse Securities (USA) LLC, 0.92% 44U99V7R3 0000318336 Other Repurchase Agreement N ACE SECURITIES CORP. 2035-09-25 2035-12-25 0.396 - 0.646 Other Instrument ASSET BACKED 66015000.00 3741759.90 CWABS ASSET-BACKED CERTIFICATE 2037-03-25 2037-03-25 0.405 - 0.405 Other Instrument ASSET BACKED 51995000.00 35031751.25 CWABS ASSET-BACKED CERTIFICATE 2047-10-25 2047-10-25 0.465 - 0.465 Other Instrument ASSET BACKED 13525250.00 5359634.79 CITIGROUP HELOC TRUST 2006-NCB 2036-05-15 2036-05-15 0.43 - 0.43 Other Instrument ASSET BACKED 17038000.00 7883123.76 CWABS ASSET-BACKED CERTIFICATE 2047-11-25 2047-11-25 0.356 - 0.356 Other Instrument ASSET BACKED 24981000.00 17666423.00 GSAA HOME EQUITY TRUST 2007-5 2047-04-25 2047-04-25 0.375 - 0.375 Other Instrument ASSET BACKED 48690000.00 2241838.08 GSR MORTGAGE LOAN TRUST 2006-1 2036-04-25 2036-04-25 0.396 - 0.396 Other Instrument ASSET BACKED 30000000.00 11083728.08 CSFB HOME EQUITY ASSET TRUST 2 2036-07-25 2036-07-25 0.626 - 0.626 Other Instrument ASSET BACKED 27800000.00 4912785.16 INDYMAC,INC 2036-06-25 2036-06-25 0.366 - 0.366 Other Instrument ASSET BACKED 52000000.00 4030176.70 MERRILL LYNCH MORTGAGE INVESTO 2037-11-25 2037-11-25 0.386 - 0.386 Other Instrument ASSET BACKED 45900000.00 15994018.02 NOMURA HOME EQUITY LOAN, INC H 2037-02-25 2037-02-25 6.058 - 6.058 Other Instrument ASSET BACKED 16418000.00 1240978.26 First Tier Security 2012-10-24 2012-10-24 N N N 101000000.00 101000000.00 0.0009 Y 101000000.00 101000000.00 Deutsche Bank Securities, Inc. Deutsche Bank Securities, Inc., 0.33% 46J99EQS6 0000058056 Other Repurchase Agreement N CAPITAL ONE FINL CORP 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 250000.00 5195000.00 CELGENE CORP 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 147.00 335.16 COMERICA INC 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 56770.00 450753.80 GENERAL MTRS CO 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 5911358.00 64089224.32 HARTFORD FINL SVCS GROUP INC 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 261427.00 2627341.35 First Tier Security 2012-09-04 2012-09-04 N N N 67000000.00 67000000.00 0.0006 N 67000000.00 67000000.00 ING Financial Markets LLC ING Financial Markets LLC, 0.29% 45K99PGK9 0000877559 Other Repurchase Agreement N AT & T INC 2038-05-15 2038-05-15 6.4 - 6.4 Other Instrument CORPORATE 23000000.00 30717802.41 ARCHER-DANIELS MIDLAND COMPANY 2013-03-01 2013-03-01 7.125 - 7.125 Other Instrument CORPORATE 3000000.00 3204735.16 CATERPILLAR INC. 2021-05-27 2021-05-27 3.9 - 3.9 Other Instrument CORPORATE 7700000.00 8857656.25 CATERPLR FIN.SRV.CO. 2013-04-05 2013-04-05 2 - 2 Other Instrument CORPORATE 100000.00 101797.01 CINGULAR WIRELESS 2031-12-15 2031-12-15 7.125 - 7.125 Other Instrument CORPORATE 31576352.00 44314683.52 DANSKE BANK A/S 2015-04-01 2015-04-01 3.75 - 3.75 Other Instrument CORPORATE 1830291.00 1864187.98 DETROIT EDISON COMPANY 2018-06-15 2018-06-15 5.6 - 5.6 Other Instrument CORPORATE 1000000.00 1231616.62 DISNEY (WALT) CO, THE 2021-08-16 2021-08-16 2.75 - 2.75 Other Instrument CORPORATE 6635000.00 6972529.97 GOLDMAN SACHS GROUP, INC. (THE 2037-10-01 2037-10-01 6.75 - 6.75 Other Instrument CORPORATE 3738111.00 3969434.64 HEWLETT PACKARD COMPANY 2014-05-30 2014-05-30 1.55 - 1.55 Other Instrument CORPORATE 566250.00 571077.22 MORGAN STANLEY GROUP INC. 2017-01-09 2017-01-09 5.45 - 5.45 Other Instrument CORPORATE 14941989.00 15761569.30 MORGAN STANLEY 2015-10-15 2015-10-15 5.375 - 5.375 Other Instrument CORPORATE 3568057.00 3823588.01 VERIZON COMMUNICATIONS 2038-02-15 2038-02-15 6.4 - 6.4 Other Instrument CORPORATE 305000.00 409440.13 First Tier Security 2012-09-04 2012-09-04 N N N 116000000.00 116000000.00 0.0010 N 116000000.00 116000000.00 J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp., 0.32% 45A99N5H4 Other Repurchase Agreement N ACORN INTERNATIONAL, INC. 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 24.00 70.32 ANHEUSER-BUSCH INBEV SA/NV 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 191548.00 15965525.80 ++++++++++++++++++++++++++ 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 177452.00 1110849.52 BALLANTYNE OF OMAHA INC. 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 18673.00 79733.71 BALLY TECHNOLOGIES INCORPORATE 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 1461070.00 64696179.60 BITAUTO HLDGS LTD 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 3376.00 15867.20 CHINA DIGITAL TV HOLDINGS CO., 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 1000.00 2770.00 CROWN HOLDINGS INC < 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 459517.00 16616134.72 E-COMMERCE CHINA DANGDANG INC 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 284355.00 1435992.75 E-HOUSE (CHINA) HOLDINGS LIMIT 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 730170.00 3555927.90 GIANT INTERACTIVE GROUP INC. 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 242753.00 1155504.28 HARTE-HANKS COMMUNICATIONS, IN 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 15860.00 111178.60 KINROSS GOLD CORP 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 33253.00 282983.03 LUBYS CAFETERIAS INC 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 3083.00 19607.88 MFA MORTGAGE INVESTMENTS INC 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 5204.00 42568.72 MFC INDL LTD 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 9202.00 77112.76 NOVAGOLD RESOURCE INC 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 2867098.00 12500547.28 OI S A 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 6366.00 28328.70 ADR PAMPA ENERGIA SA F 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 401930.00 1631835.80 PROMOTORA DE INFORMACIONES S.A 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 422735.00 938471.70 RICHMONT MINES INC 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 19783.00 76164.55 SPDR GOLD TRUST 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 7123443.00 1143455070.36 SIMCERE PHARMACEUTICAL GROUP 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 2389.00 18036.95 STEELCASE INC. 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 61969.00 604197.75 WHITING PETROLEUM CORPORATION 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 44325.00 1935672.75 XINYUAN REAL ESTATE CO., LTD. 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 188900.00 517586.00 YOUKU COM INC 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 926792.00 15746196.08 First Tier Security 2012-09-04 2012-09-04 N N N 1180000000.00 1180000000.00 0.0103 N 1180000000.00 1180000000.00 J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp., 0.63% 45A99NVG7 Other Repurchase Agreement N AMERIGROUP CORPORATION 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 286943.00 26048685.54 BLUEGREEN CORPORATION 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 69495.00 398901.30 BROWN & BROWN INC 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 220889.00 5769620.68 CHENIERE ENERGY INC 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 278063.00 4040255.39 GP STRATEGIES CORP 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 170.00 3400.00 GLOBAL PAYMENTS INC 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 266444.00 11006801.64 JANUS CAPITAL GROUP INC 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 123685.00 1068638.40 MODINE MFG CO 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 13750.00 96250.00 MOVADO GROUP, INC. 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 23530.00 822844.10 NACCO INDS INC 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 2814.00 297158.40 THE NEW YORK TIMES COMPANY 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 38.00 348.08 NORTHWEST NATURAL GAS COMPANY 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 772.00 38036.44 NU SKIN ASIA PACIFIC, INC. 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 526600.00 21738048.00 OKLAHOMA GAS & ELECTRI 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 222313.00 12020463.91 OCEANEERING INTL INC 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 26120.00 1390890.00 OFFICE DEPOT 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 242637.00 366381.87 OLD REPUBLIC INTERNATIONAL COR 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 82.00 724.88 ORBITAL SCIENCES CORP. <OSC> 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 11186.00 155373.54 OXFORD INDS INC 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 28169.00 1516900.65 PAR PHARMACEUTICALS COMPANIES 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 13080.00 650991.60 PARK ELECTROCHEMICAL CORP. 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 4263.00 110369.07 PARKER DRILLING COMPANY 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 102592.00 417549.44 PARKWAY PROPERTIES, INC. 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 10695.00 123420.30 PENN VA CORP 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 166153.00 1031810.13 PIEDMONT NATURAL GAS COMPANY, 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 3380.00 105591.20 PLANTRONICS INC. 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 4036.00 141986.48 PROASSURANCE CORP 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 12587.00 1126788.24 QUESTAR CORP 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 107009.00 2107007.21 RAYMOND JAMES FINANCIAL INC 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 10776.00 378345.36 RELIANCE STEEL & ALUMINUM CO. 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 1033287.00 52625306.91 UDR INC 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 6453.00 162938.25 First Tier Security 2012-10-18 2012-10-18 N N N 134000000.00 134000000.00 0.0012 Y 134000000.00 134000000.00 J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp., 0.70% 45A99NVS1 Other Repurchase Agreement N ALLIANCE PETROLEUM COR 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 4025000.00 3751895.70 ANIXTER INTL INC 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 39046000.00 43947210.10 COINSTAR 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 17250000.00 24757890.00 EQUINIX, INC. 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 29657000.00 56465534.12 EXTERRAN HOLDINGS INC 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 43434000.00 47348358.95 GOODRICH PETE CORP 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 16452000.00 15797259.76 HERTZ GLOBAL HOLDINGS, INC. 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 83716000.00 154513365.46 LENNAR CORPORATION 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 38307000.00 61112153.08 NAVISTAR INTERNATIONAL CORPORA 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 11957000.00 10866318.33 OMNICARE, INC. 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 3474000.00 4729215.26 ON SEMICONDUCTOR CORPORTION 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 5503000.00 5601624.77 PSS WORLD MEDICAL INC 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 20950000.00 25126885.30 SAN DISK CORPORATION 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 2750000.00 3045396.75 UAL CORPORATION 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 55155000.00 123849283.94 UNITED STATES STEEL CORP+ 2012-08-31 2012-08-31 N/A Other Instrument OTHER NOTE 2100000.00 2150689.80 First Tier Security 2012-10-22 2012-10-22 N N N 536000000.00 536000000.00 0.0047 Y 536000000.00 536000000.00 J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp., 0.87% 45A99NFC4 Other Repurchase Agreement N 101-500 2012-08-31 2012-08-31 N/A Other Instrument EQUITY 13625174.00 293316994.59 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 Securities, Inc. J.P. Morgan Securities, Inc., 0.27% 46S99VLM6 0001287279 Other Repurchase Agreement N FEDERAL NATIONAL MORTGAGE ASSOC 2020-07-01 2042-09-01 3 - 6.5 Government Agency Debt 1849674649.00 1458622311.73 First Tier Security 2012-09-05 2012-09-05 N N N 1430000000.00 1430000000.00 0.0124 N 1430000000.00 1430000000.00 J.P. Morgan Securities, Inc. J.P. Morgan Securities, Inc., 0.34% 46S99VLK0 0001287279 Other Repurchase Agreement N 51-100 2013-05-15 2066-09-01 0 - 12 Other Instrument CORPORATE 178455000.00 194256293.19 First Tier Security 2012-09-04 2012-09-04 N N N 185000000.00 185000000.00 0.0016 N 185000000.00 185000000.00 J.P. Morgan Securities, Inc. J.P. Morgan Securities, Inc., 0.49% 46S99VLF1 0001287279 Other Repurchase Agreement N 51-100 2018-07-25 2049-12-10 0 - 12.367 Other Instrument MORTGAGE 2013988472.00 287335531.31 First Tier Security 2012-09-07 2012-09-07 Y JPMORGAN SECS (NON GOV REPO) N/A N/A N N 266000000.00 266000000.00 0.0023 N 266000000.00 266000000.00 J.P. Morgan Securities, Inc. J.P. Morgan Securities, Inc., 0.64% 46S99VLL8 0001287279 Other Repurchase Agreement N ALTERNATIVE LOAN TRUST 2007-21 2037-09-25 2037-09-25 0.735 - 0.735 Other Instrument GOVERNMENT AGENCY 35981300.00 8163689.31 INDYMAC INDX MORTGAGE LOAN TRU 2036-10-25 2036-10-25 0.435 - 0.435 Other Instrument GOVERNMENT AGENCY 50000000.00 14319460.09 INDYMAC INDA MORTGAGE LOAN TRU 2037-08-25 2037-08-25 5.644 - 5.644 Other Instrument GOVERNMENT AGENCY 45000000.00 17735730.26 STRUCTURED ASSET MORTGAGE INVE 2036-05-25 2036-05-25 0.456 - 0.456 Other Instrument GOVERNMENT AGENCY 46000000.00 14231948.61 WASHINGTON MUTUAL MORTGAGE PAS 2047-05-25 2047-05-25 0.987 - 0.987 Other Instrument GOVERNMENT AGENCY 7280000.00 2793336.53 First Tier Security 2012-09-04 2012-09-04 N N N 53000000.00 53000000.00 0.0005 N 53000000.00 53000000.00 J.P. Morgan Securities, Inc. J.P. Morgan Securities, Inc., 0.95% 45A99WDV4 0001287279 Other Repurchase Agreement N 51-100 2016-12-12 2046-08-25 0 - 49.11 Other Instrument MORTGAGE 3416494949.00 203888832.27 First Tier Security 2012-09-21 2012-09-21 N N N 188000000.00 188000000.00 0.0016 Y 188000000.00 188000000.00 Merrill Lynch, Pierce, Fenner & Smith Merrill Lynch, Pierce, Fenner & Smith, 0.30% 46S99WUG7 0000728612 Other Repurchase Agreement N 501-1000 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 149483341.00 3834128375.10 First Tier Security 2012-09-04 2012-09-04 N N N 3550000000.00 3550000000.00 0.0308 N 3550000000.00 3550000000.00 Merrill Lynch, Pierce, Fenner & Smith Merrill Lynch, Pierce, Fenner & Smith, 0.65% 46S99WUD4 0000728612 Other Repurchase Agreement N 101-500 2012-11-08 2056-08-15 0 - 113.148 Other Instrument MORTGAGE 16765616298.00 2143954830.20 First Tier Security 2012-09-04 2012-09-04 N N N 1985000000.00 1985000000.00 0.0172 N 1985000000.00 1985000000.00 Mizuho Securities USA, Inc. Mizuho Securities USA, Inc., 0.32% 47H993AH1 Other Repurchase Agreement N ALEXANDER & BALDWIN INC NEW COM 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 665000.00 19577600.00 BLACKSTONE GROUP L P 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1354440.00 18610005.60 BROADCOM CORP 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 365481.00 12788180.19 CIT GROUP INC NEW 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 440788.00 16692641.56 COGNIZANT TECHNOLOGY SOLUTIONS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 322667.00 20595834.61 EXPRESS SCRIPTS HLDG CO 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 306499.00 18920183.27 GENERAL ELEC CO 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 838637.00 17309467.68 HOWARD HUGHES CORP 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 198262.00 12986161.00 ISHARES TR 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 259100.00 21883586.00 MONSANTO CO NEW 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 134308.00 11707628.36 MOSAIC CO NEW 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 304887.00 17314532.73 NEWELL RUBBERMAID INC 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 681225.00 12071307.00 NEXEN INC 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 653175.00 16512264.00 PNC FINL SVCS GROUP INC 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 277600.00 17222304.00 POST HLDGS INC 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 490496.00 14641305.60 SUNOCO INC 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 347000.00 16374930.00 VIACOM INC NEW 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 256112.00 12782549.92 VIMPELCOM LTD 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1617622.00 16871797.46 INGERSOLL-RAND PLC 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 445074.00 20509009.92 First Tier Security 2012-09-04 2012-09-04 N N N 292000000.00 292000000.00 0.0025 N 292000000.00 292000000.00 Mizuho Securities USA, Inc. Mizuho Securities USA, Inc., 0.33% 47H993AF5 Other Repurchase Agreement N 501-1000 2013-05-01 2067-12-15 0 - 7.875 Other Instrument CORPORATE 74102792.00 898066508.59 First Tier Security 2012-09-04 2012-09-04 N N N 833000000.00 833000000.00 0.0072 N 833000000.00 833000000.00 Mizuho Securities USA, Inc. Mizuho Securities USA, Inc., 0.43% 46J99X7V8 Other Repurchase Agreement N AFFILIATED MANAGERS GROUP INC 2038-08-15 2038-08-15 3.95 - 3.95 Other Instrument EQUITY 8550000.00 9430697.50 ALCOA INC 2014-03-15 2014-03-15 5.25 - 5.25 Other Instrument EQUITY 10861000.00 15984224.21 ARES CAP CORP 2016-06-01 2016-06-01 5.125 - 5.125 Other Instrument EQUITY 10000000.00 10403125.00 HEALTH CARE REIT INC 2029-12-01 2029-12-01 3 - 3 Other Instrument EQUITY 16047000.00 19276458.75 LAM RESH CORP 2016-05-15 2016-05-15 N/A Other Instrument EQUITY 6320156.00 6084554.63 PRICELINE COM INC 2015-03-15 2015-03-15 1.25 - 1.25 Other Instrument EQUITY 10543000.00 21528952.43 PROLOGIS L P 2015-03-15 2015-03-15 3.25 - 3.25 Other Instrument EQUITY 7609000.00 8560019.32 PROSPECT CAP CORP 2016-08-15 2016-08-15 5.5 - 5.5 Other Instrument EQUITY 13000000.00 13080527.78 RAYONIER TRS HLDGS INC 2015-08-15 2015-08-15 4.5 - 4.5 Other Instrument EQUITY 13700000.00 20440400.00 TEXTRON INC 2013-05-01 2013-05-01 4.5 - 4.5 Other Instrument EQUITY 27402000.00 55317787.49 TRANSOCEAN INC 2037-12-15 2037-12-15 1.5 - 1.5 Other Instrument EQUITY 31749000.00 31730479.75 WEINGARTEN RLTY INVS 2026-08-01 2026-08-01 0.019 - 0.019 Other Instrument EQUITY 273000.00 283352.89 First Tier Security 2012-09-07 2012-09-07 Y MIZUHO SECS USA (NON GOV REPO) N/A N/A N N 202000000.00 202000000.00 0.0018 N 202000000.00 202000000.00 Mizuho Securities USA, Inc. Mizuho Securities USA, Inc., 0.88% 46J99X8L9 Other Repurchase Agreement N GOVERNMENT NATIONAL MORTAGE ASSOC 2037-10-20 2037-10-20 6.253 - 6.253 Government Agency Debt 20371774.00 561276.47 ACE SECS CORP HOME EQUITY LN 2035-12-25 2035-12-25 0.666 - 0.666 Other Instrument ASSET BACKED 8000000.00 251015.33 ALTERNATIVE LN TR 2006-39CB 2037-01-25 2037-01-25 0.686 - 0.686 Other Instrument MORTGAGE 53035714.00 4773716.09 AMERICAN HOME MTG ASSETS TR 2046-10-25 2046-10-25 0.496 - 1.318 Other Instrument MORTGAGE 65000000.00 1855057.10 AMERICAN HOME MTG INVT TR 2035-01-25 2035-01-25 0.786 - 0.786 Other Instrument MORTGAGE 15000000.00 1409035.50 ASSET BACKED SECS CORP HOME 2036-03-25 2036-03-25 0.606 - 0.606 Other Instrument ASSET BACKED 8000000.00 8465.95 BANC AMER FDG CORP 2035-04-25 2035-04-25 0.687 - 0.687 Other Instrument MORTGAGE 6000000.00 878976.00 BANC AMER FDG 2007-5 TR 2037-07-25 2037-07-25 6 - 6 Other Instrument MORTGAGE 12178000.00 595630.60 BEAR STEARNS ARM TR 2034-02-25 2034-02-25 3.461 - 3.461 Other Instrument MORTGAGE 7754500.00 1703182.94 BEAR STEARNS ASSET BACKED SECS 2035-02-25 2035-02-25 0.736 - 0.736 Other Instrument MORTGAGE 11100000.00 1542909.82 CSMC ASSET-BACKED TR 2007-NC1 2037-09-25 2037-09-25 0.986 - 0.986 Other Instrument ASSET BACKED 25000000.00 3283260.23 CWABS INC 2035-05-25 2035-05-25 1.256 - 1.256 Other Instrument ASSET BACKED 5000000.00 257177.32 CARRINGTON MTG LN TR 2035-10-25 2035-10-25 0.886 - 0.886 Other Instrument ASSET BACKED 14435000.00 104286.86 CITIGROUP MTG LN TR 2035-05-25 2035-05-25 0.896 - 0.896 Other Instrument ASSET BACKED 6500000.00 3266364.29 CREDIT SUISSE FIRST BOSTON MTG 2034-12-25 2034-12-25 1.386 - 1.386 Other Instrument MORTGAGE 16800000.00 6147938.70 DSLA MTG LN TR 2045-02-19 2045-08-19 0.567 - 1.391 Other Instrument ASSET BACKED,MORTGAGE 82337000.00 1775615.35 FIRST FRANKLIN MTG LN TR 2036-07-25 2036-07-25 0.516 - 0.516 Other Instrument ASSET BACKED 9000000.00 170252.25 FIRST FRANKLIN MTG LN TR 2034-02-25 2036-06-25 0.476 - 2.606 Other Instrument ASSET BACKED 74418994.00 6680262.17 GS MTG SECS CORP 2035-03-25 2035-06-25 0.666 - 0.936 Other Instrument ASSET BACKED 20295000.00 1849792.71 GREENPOINT MTG FDG TR SER 2046-09-25 2046-09-25 0.486 - 0.486 Other Instrument MORTGAGE 65868000.00 3014193.29 HSI ASSET SECURITIZATION CORP 2035-12-25 2035-12-25 0.776 - 0.776 Other Instrument MORTGAGE 6000000.00 250849.50 HARBORVIEW MTG LN TR 2036-01-19 2036-01-19 0.577 - 0.577 Other Instrument MORTGAGE 23000000.00 1051166.39 HARBORVIEW MTG LN TR 2007 7 2047-11-25 2047-11-25 1.236 - 1.236 Other Instrument MORTGAGE 34961333.00 1199487.66 IMPAC SECD ASSETS CORP 2034-11-25 2034-11-25 1.211 - 1.211 Other Instrument MORTGAGE 5000000.00 893498.75 INDYMAC MBS INC 2035-03-25 2035-03-25 2.675 - 2.675 Other Instrument MORTGAGE 16500000.00 1829910.12 NATIONAL COLLEGIATE STUDENT LN 2029-04-25 2029-04-25 0.516 - 0.516 Other Instrument ASSET BACKED 5000000.00 3820069.58 NATIONAL COLLEGIATE STUDENT LN 2028-11-25 2028-11-25 0.366 - 0.366 Other Instrument ASSET BACKED 30162.00 24831.33 RAAC SER 2006 SP3 TR 2036-08-25 2036-08-25 0.576 - 0.576 Other Instrument ASSET BACKED 3509633.00 1160617.79 RESIDENTIAL ASSET MTG PRODS 2034-03-25 2034-03-25 4.57 - 4.57 Other Instrument ASSET BACKED 8000000.00 1110358.27 SAXON ASSET SECS TR 2007-3 2037-09-25 2037-09-25 N/A Other Instrument ASSET BACKED 35874000.00 316855.14 SECURITIZED ASSET BACKED 2035-08-25 2035-08-25 0.676 - 0.676 Other Instrument ASSET BACKED 12000000.00 4130695.33 SPECIALTY UNDERWRITING & 2036-09-25 2036-09-25 0.736 - 0.736 Other Instrument ASSET BACKED 6580000.00 2652319.04 STRUCTURED ASSET MTG INVTS II 2036-05-25 2036-05-25 0.496 - 0.496 Other Instrument MORTGAGE 25925000.00 701212.94 STRUCTURED ASSET SECS CORP MTG 2037-06-25 2037-06-25 0.436 - 0.436 Other Instrument ASSET BACKED 42936000.00 4018122.62 STRUCTURED ASSET SECS CORP MTG 2037-06-25 2037-06-25 0.486 - 0.486 Other Instrument ASSET BACKED 21969000.00 148596.49 WASHINGTON MUT MTG SECS CORP 2036-02-25 2036-02-25 0.566 - 0.566 Other Instrument MORTGAGE 40000000.00 741016.19 WASHINGTON MUT MTG PAA THRU 2047-05-25 2047-05-25 0.466 - 0.466 Other Instrument MORTGAGE 51939000.00 286958.58 WELLS FARGO MTG BACKED SECS 2034-08-25 2034-08-25 2.654 - 2.654 Other Instrument MORTGAGE 7359000.00 2624299.06 WELLS FARGO ALTERNATIVE LN 2035-10-25 2035-10-25 0.686 - 0.686 Other Instrument MORTGAGE 4500000.00 2015307.00 First Tier Security 2012-10-29 2012-10-29 N N N 64000000.00 64000000.00 0.0006 Y 64000000.00 64000000.00 Mizuho Securities USA, Inc. Mizuho Securities USA, Inc., 0.97% 46J99X8M7 Other Repurchase Agreement N US TREASURY 2019-11-15 2019-11-15 3.375 - 3.375 Treasury Debt 1863900.00 2183206.37 GOVERNMENT NATIONAL MORTAGE ASSOC 2035-03-20 2037-10-20 5.903 - 6.263 Government Agency Debt 204722827.00 3774082.66 ALLY FINL INC 2020-03-15 2020-03-15 8 - 8 Other Instrument CORPORATE 3044091.00 3673879.60 AMERICAN TOWER CORP 2021-11-01 2021-11-01 5.9 - 5.9 Other Instrument CORPORATE 7000.00 8253.26 B/E AEROSPACE INC 2020-10-01 2020-10-01 6.875 - 6.875 Other Instrument CORPORATE 2000000.00 2267291.66 BALL CORP 2021-05-15 2021-05-15 5.75 - 5.75 Other Instrument CORPORATE 535542.00 586113.53 CROWN AMERS LLC / CROWN AMERS 2021-02-01 2021-02-01 6.25 - 6.25 Other Instrument CORPORATE 140000.00 155429.17 FORD MTR CR CO LLC 2014-06-01 2014-06-01 8 - 8 Other Instrument CORPORATE 5000000.00 5626250.00 HOME EQUITY ASSET TR 2036-08-25 2036-08-25 0.516 - 0.516 Other Instrument ASSET BACKED 46000000.00 16322084.17 HOMEBANC MTG TR 2035-03-25 2035-03-25 0.696 - 0.936 Other Instrument MORTGAGE 46652000.00 8454284.77 HOMEBANC MTG RUST 2007-1 2047-04-25 2047-04-25 2.669 - 2.669 Other Instrument ASSET BACKED 27454000.00 694533.51 IMPAC SECD ASSETS CORP 2034-11-25 2034-11-25 1.136 - 1.136 Other Instrument MORTGAGE 15000000.00 7813068.75 LONG BEACH MTG LN TR 2035-02-25 2035-02-25 1.661 - 1.661 Other Instrument ASSET BACKED 13500000.00 776134.75 LUMINENT MTG TR 2046-02-25 2046-02-25 0.516 - 0.516 Other Instrument MORTGAGE 26400000.00 1111082.40 MASCO CORP 2016-10-03 2016-10-03 6.125 - 6.125 Other Instrument CORPORATE 35000.00 38928.77 MASTR ASSET BACKED SECS TR 2036-01-25 2036-01-25 0.616 - 0.616 Other Instrument ASSET BACKED 3000000.00 66676.17 MERITAGE MTG LN TR 2035-11-25 2035-11-25 0.766 - 0.766 Other Instrument ASSET BACKED 3509633.00 629679.34 MERRILL LYNCH MTG INVS INC 2036-12-25 2036-12-25 0.636 - 0.636 Other Instrument ASSET BACKED 21759000.00 2019799.12 MERRILL LYNCH FIRST FRANKLIN 2037-10-25 2037-10-25 3.236 - 3.236 Other Instrument ASSET BACKED 17898000.00 404083.15 MERRILL LYNCH FIRST FRANKLIN 2037-10-25 2037-10-25 1.236 - 1.236 Other Instrument ASSET BACKED 26578000.00 905087.21 MORGAN STANLEY ABS CAP I INC 2035-12-25 2035-12-25 0.696 - 0.696 Other Instrument ASSET BACKED 9000000.00 80333.25 MORGAN STANLEY ABS CAP I INC 2035-01-25 2035-01-25 1.106 - 1.106 Other Instrument MORTGAGE 8500000.00 2529454.08 MORGAN STANLEY MTG LN TR 2036-06-25 2036-06-25 3.106 - 3.106 Other Instrument MORTGAGE 8508000.00 1449829.61 MORGAN STANLEY IXIS REAL 2036-07-25 2036-07-25 0.386 - 0.386 Other Instrument ASSET BACKED 10000000.00 3022038.84 MORGAN STANLEY ABS CAP INC SER 2036-09-25 2036-09-25 0.536 - 0.536 Other Instrument ASSET BACKED 43264450.00 512261.90 NEW CENTY HOME EQUITY LN TR 2035-03-25 2035-03-25 1.086 - 1.086 Other Instrument ASSET BACKED 27276000.00 1048089.52 PARK PL SECS INC 2035-06-25 2035-06-25 0.866 - 0.866 Other Instrument ASSET BACKED 9000000.00 2263005.00 PIONEER NAT RES CO 2016-07-15 2016-07-15 5.875 - 5.875 Other Instrument CORPORATE 161000.00 183301.72 First Tier Security 2012-11-30 2012-11-30 N N N 64000000.00 64000000.00 0.0006 Y 64000000.00 64000000.00 RBC Capital Markets Co. RBC Capital Markets Co., 0.32% 42T99QPC3 0000050916 Other Repurchase Agreement N FEDERAL HOME LOAN MORTGAGE CORP 2019-07-15 2042-04-15 0 - 169.001 Government Agency Debt 1304811475.00 57448080.48 FEDERAL NATIONAL MORTGAGE ASSOC 2018-09-25 2042-09-25 0 - 36.25 Government Agency Debt 853816480.00 33197559.36 First Tier Security 2012-09-04 2012-09-04 N N N 88000000.00 88000000.00 0.0008 N 88000000.00 88000000.00 RBC Capital Markets Co. RBC Capital Markets Co., 0.45% 42T99QPD1 0000050916 Other Repurchase Agreement N AGCO CORP DEL 2036-12-15 2036-12-15 1.25 - 1.25 Other Instrument EQUITY 6000.00 7110.83 AVIS BUDGET GROUP INC 2014-10-01 2014-10-01 3.5 - 3.5 Other Instrument EQUITY 35000.00 44129.17 BOSTON PPTYS LTD PARTNERSHIP 2036-05-15 2036-05-15 3.75 - 3.75 Other Instrument EQUITY 14000.00 16429.58 BRISTOW GROUP INC 2038-06-15 2038-06-15 3 - 3 Other Instrument EQUITY 751000.00 765143.83 CADENCE DESIGN SYS INC 2013-12-15 2013-12-15 1.5 - 1.5 Other Instrument EQUITY 10000.00 9956.67 CAL DIVE INTL INC 2025-12-15 2025-12-15 3.25 - 3.25 Other Instrument EQUITY 5606000.00 5644463.39 CARRIZO OIL & GAS INC 2028-06-01 2028-06-01 4.375 - 4.375 Other Instrument EQUITY 4056000.00 4105432.50 CHARLES RIV LABORATORIES INTL 2013-06-15 2013-06-15 2.25 - 2.25 Other Instrument EQUITY 24000.00 24264.00 COSTCO COS INC 2017-08-19 2017-08-19 N/A Other Instrument EQUITY 161000.00 360438.75 CUBIST PHARMACEUTICALS INC 2013-06-15 2013-06-15 2.25 - 2.25 Other Instrument EQUITY 22000.00 33187.00 D R HORTON INC 2014-05-15 2014-05-15 2 - 2 Other Instrument EQUITY 175000.00 266811.81 EQUINIX INC 2016-06-15 2016-06-15 4.75 - 4.75 Other Instrument EQUITY 9000.00 21971.50 FLOTEK INDS INC DEL 2028-02-15 2028-02-15 5.25 - 5.25 Other Instrument EQUITY 59000.00 61128.92 FLUOR CORP NEW 2024-02-15 2024-02-15 N/A Other Instrument EQUITY 75000.00 139643.75 FRANKLIN BK CORP 2027-05-01 2027-05-01 4 - 4 Other Instrument EQUITY 9970000.00 747750.00 GENERAL CABLE CORP DEL NEW 2029-11-15 2029-11-15 4.5 - 4.5 Other Instrument EQUITY 40000.00 41230.00 GREATBATCH INC 2013-06-15 2013-06-15 2.25 - 2.25 Other Instrument EQUITY 2490000.00 2492490.00 HERCULES OFFSHORE INC 2038-06-01 2038-06-01 3.375 - 3.375 Other Instrument EQUITY 3312000.00 3319245.00 HERCULES TECHNOLOGY GROWTH CAP 2016-04-15 2016-04-15 N/A Other Instrument EQUITY 5905000.00 6164327.92 HOLOGIC INC 2037-12-15 2037-12-15 2 - 2 Other Instrument EQUITY 6243000.00 6222536.83 INTERMUNE INC 2018-09-15 2018-09-15 2.5 - 2.5 Other Instrument EQUITY 4000.00 3026.11 JDS UNIPHASE CORP 2026-05-15 2026-05-15 1 - 1 Other Instrument EQUITY 5015000.00 4985885.14 JEFFERIES GROUP INC NEW 2029-11-01 2029-11-01 3.875 - 3.875 Other Instrument EQUITY 1000.00 969.17 LDK SOLAR CO LTD 2013-04-15 2013-04-15 4.75 - 4.75 Other Instrument EQUITY 18000.00 11100.50 L-3 COMMUNICATIONS CORP 2035-08-01 2035-08-01 3 - 3 Other Instrument EQUITY 1000.00 998.75 LEAP WIRELESS INTL INC 2014-07-15 2014-07-15 4.5 - 4.5 Other Instrument EQUITY 50000.00 47287.50 LIFEPOINT HOSPS INC 2025-08-15 2025-08-15 3.25 - 3.25 Other Instrument EQUITY 10000.00 10051.94 MEDTRONIC INC 2013-04-15 2013-04-15 1.625 - 1.625 Other Instrument EQUITY 5139000.00 5209090.25 MICRON TECHNOLOGY INC 2014-06-01 2032-05-01 0 - 1.875 Other Instrument EQUITY 3010000.00 2876184.38 MOLSON COORS BREWING CO 2013-07-30 2013-07-30 2.5 - 2.5 Other Instrument EQUITY 6000.00 6185.42 MYLAN INC 2015-09-15 2015-09-15 3.75 - 3.75 Other Instrument EQUITY 2000000.00 3747083.33 NASDAQ OMX GROUP INC 2013-08-15 2013-08-15 2.5 - 2.5 Other Instrument EQUITY 26000.00 26191.39 NAVISTAR INTL CORP NEW 2014-10-15 2014-10-15 3 - 3 Other Instrument EQUITY 84000.00 76657.00 NETWORK EQUIP TECHNOLOGIES 2014-05-15 2014-05-15 N/A Other Instrument EQUITY 10000.00 5377.97 NEWMONT MNG CORP 2014-07-15 2017-07-15 1.25 - 1.625 Other Instrument EQUITY 71000.00 90642.69 OMNICOM GROUP INC 2038-07-01 2038-07-01 N/A Other Instrument EQUITY 2000.00 2167.50 ONYX PHARMACEUTICALS INC DEL 2016-08-15 2016-08-15 4 - 4 Other Instrument EQUITY 3357000.00 6543725.50 PDL BIOPHARMA INC 2015-05-01 2015-05-01 3.75 - 3.75 Other Instrument EQUITY 50000.00 59375.00 PROLOGIS 2037-04-01 2038-05-15 1.875 - 2.625 Other Instrument EQUITY 309000.00 311197.88 REGIS CORP MINN 2014-07-15 2014-07-15 5 - 5 Other Instrument EQUITY 3775000.00 4917461.81 ROYAL GOLD INC 2019-06-15 2019-06-15 2.875 - 2.875 Other Instrument EQUITY 50000.00 55428.47 SOTHEBYS 2013-06-15 2013-06-15 3.125 - 3.125 Other Instrument EQUITY 7000.00 7807.43 STILLWATER MNG CO 2028-03-15 2028-03-15 1.875 - 1.875 Other Instrument EQUITY 91000.00 90763.02 TEREX CORP NEW 2015-06-01 2015-06-01 4 - 4 Other Instrument EQUITY 5000.00 7781.25 TEVA PHARMACEUTICAL FIN CO 2026-02-01 2026-02-01 0.25 - 0.25 Other Instrument EQUITY 2000.00 2110.42 TIVO INC 2016-03-15 2016-03-15 N/A Other Instrument EQUITY 1000.00 1158.44 UNITED RENTALS INC 2015-11-15 2015-11-15 4 - 4 Other Instrument EQUITY 158000.00 459468.39 VIRGIN MEDIA INC 2016-11-15 2016-11-15 6.5 - 6.5 Other Instrument EQUITY 2742000.00 4532221.33 WESCO INTL INC 2029-09-15 2029-09-15 6 - 6 Other Instrument EQUITY 13000.00 28520.92 WESTERN REFINING INC 2014-06-15 2014-06-15 5.75 - 5.75 Other Instrument EQUITY 10000.00 26283.89 First Tier Security 2012-09-04 2012-09-04 N N N 60000000.00 60000000.00 0.0005 N 60000000.00 60000000.00 RBC Capital Markets Co. RBC Capital Markets Co., 0.58% 42T99QNL5 0000050916 Other Repurchase Agreement N 51-100 2020-11-25 2051-02-10 0 - 7 Other Instrument MORTGAGE 1053965335.00 115434052.69 First Tier Security 2012-09-07 2012-09-07 Y RBC CAP MARKETS LLC(NON-GV RP) N/A N/A N N 107000000.00 107000000.00 0.0009 N 107000000.00 107000000.00 RBC Capital Markets Co. RBC Capital Markets Co., 0.61% 42T99QMW2 0000050916 Other Repurchase Agreement N 51-100 2013-04-24 2032-06-01 0 - 11.5 Other Instrument CORPORATE 45470376.00 45396292.31 First Tier Security 2012-09-07 2012-09-07 Y RBC CAP MARKETS LLC(NON-GV RP) N/A N/A N N 42000000.00 42000000.00 0.0004 N 42000000.00 42000000.00 RBC Capital Markets Co. RBC Capital Markets Co., 0.61% 42T99QMX0 0000050916 Other Repurchase Agreement N ALG STUDENT LN TR II 2047-07-01 2047-07-01 N/A Other Instrument ASSET BACKED 6575359.00 4653578.83 ALG STUDENT LN TR I 2044-07-01 2044-07-01 N/A Other Instrument ASSET BACKED 400000.00 280453.60 ALLY MASTER OWNER TR 2016-01-15 2016-01-15 2.15 - 2.15 Other Instrument ASSET BACKED 88110.00 89765.72 AMERICAN EXPRESS CR ACCOUNT 2018-03-15 2018-03-15 N/A Other Instrument ASSET BACKED 13072.00 13105.81 BA CR CARD TR 2019-06-17 2019-06-17 5.17 - 5.17 Other Instrument ASSET BACKED 1428217.00 1683493.33 BAYVIEW FINL SECS CO LLC 2036-04-28 2036-04-28 0.536 - 0.536 Other Instrument ASSET BACKED 7000000.00 3513523.72 BEAR STEARNS ASSET BACKED SECS 2035-10-25 2035-10-25 2.686 - 2.686 Other Instrument ASSET BACKED 10410000.00 2809515.14 CPS AUTO RECEIVABLES TR 2012-B 2019-09-16 2019-09-16 4.27 - 4.27 Other Instrument ASSET BACKED 2200000.00 2245332.49 CWABS ASSET-BACKED CTFS TR 2046-08-25 2046-08-25 5.826 - 5.826 Other Instrument ASSET BACKED 830000.00 605124.70 CWABS INC 2034-07-25 2034-07-25 0.496 - 0.496 Other Instrument ASSET BACKED 28623898.00 5976856.44 CWABS INC 2035-03-25 2035-05-25 0.886 - 1.186 Other Instrument ASSET BACKED 4808131.00 3305980.75 CWABS ASSET-BACKED CTFS TR 2033-11-25 2033-11-25 0.406 - 0.406 Other Instrument ASSET BACKED 10437119.00 5997393.85 CWABS ASSET-BACKED CTFS TR 2034-02-25 2034-02-25 0.466 - 0.466 Other Instrument ASSET BACKED 10000000.00 3963075.83 CWABS ASSET BACKED CTF TR 2030-06-25 2034-03-25 0.366 - 0.416 Other Instrument ASSET BACKED 11492203.00 7477705.99 CABELAS CR CARD MASTER NT TR 2019-10-15 2019-10-15 0.79 - 0.79 Other Instrument ASSET BACKED 117000.00 117441.08 CITIBANK CR CARD ISSUANCE TR 2017-11-20 2017-11-20 5.1 - 5.1 Other Instrument ASSET BACKED 150000.00 173872.25 CWABS ASSET-BACKED CTFS TR SER 2037-01-25 2037-01-25 0.386 - 0.386 Other Instrument ASSET BACKED 5583335.00 2569312.13 DUTCH HILL FDG I LTD / DUTCH 2045-12-12 2045-12-12 2.218 - 2.218 Other Instrument ASSET BACKED 1000000.00 4876.95 EDUCATION LNS INC 2035-12-01 2036-12-01 N/A Other Instrument ASSET BACKED 47144842.00 7707756.22 GCO ED LN FDG MASTER TRUST-II 2046-08-25 2046-08-25 N/A Other Instrument ASSET BACKED 5311129.00 4970489.12 GSAA HOME EQUITY TR 2006-13 2036-07-25 2036-07-25 6.04 - 6.04 Other Instrument ASSET BACKED 1963340.00 987788.85 GOAL CAP FDG TR 2007-1 2042-03-25 2042-03-25 N/A Other Instrument ASSET BACKED 5000000.00 4332290.00 INDOSUEZ CAP FDG VI LTD 2012-09-14 2012-09-14 13.235 - 13.235 Other Instrument ASSET BACKED 5750000.00 189797.09 INTERSTAR MILLENNIUM SER 2035-09-27 2035-09-27 1.961 - 1.961 Other Instrument ASSET BACKED 3000000.00 289209.53 J P MORGAN MTG ACQUISITION TR 2037-01-25 2037-01-25 5.784 - 5.784 Other Instrument ASSET BACKED 6800000.00 4310636.10 K2 STUDENT LN TR I 2045-07-01 2045-07-01 N/A Other Instrument ASSET BACKED 2000000.00 1439970.00 LONG BEACH MTG LN TR 2034-07-25 2034-07-25 1.091 - 1.091 Other Instrument ASSET BACKED 1530000.00 1212495.55 MASTR SPECIALIZED LN TR 2036-01-25 2036-01-25 0.536 - 0.536 Other Instrument ASSET BACKED 21120000.00 2434259.34 MERRILL LYNCH MTG INVS INC 2034-07-25 2034-07-25 1.031 - 1.031 Other Instrument ASSET BACKED 763704.00 533852.77 MORGAN STANLEY ABS CAP I INC 2034-03-25 2034-03-25 1.091 - 1.091 Other Instrument ASSET BACKED 9743691.00 5453561.70 MORGAN STANLEY ABS CAP I INC 2032-12-27 2034-05-25 1.136 - 1.886 Other Instrument ASSET BACKED 12796145.00 7212751.03 MORGAN STANLEY ABS CAP I INC 2037-01-25 2037-01-25 0.336 - 0.456 Other Instrument ASSET BACKED 14960000.00 6533621.10 MORGAN STANLEY ABS CAP I INC 2037-02-25 2037-02-25 0.466 - 0.466 Other Instrument ASSET BACKED 15000000.00 5787141.82 RAAC SER 2007 SP3 TR 2047-09-25 2047-09-25 1.436 - 1.436 Other Instrument ASSET BACKED 8570000.00 2697275.54 SLM STUDENT LN TR 2028-09-15 2028-09-15 N/A Other Instrument ASSET BACKED 100000.00 98928.70 SKYBOX CDO LTD / SKYBOX CDO 2040-12-11 2040-12-11 N/A Other Instrument ASSET BACKED 5000000.00 342217.60 STRUCTURED ASSET SECS CORP 2032-08-25 2032-08-25 0.936 - 0.936 Other Instrument ASSET BACKED 99235000.00 1613869.54 STRUCTURED ASSET SECS CORP MTG 2031-04-25 2031-04-25 0.536 - 0.536 Other Instrument ASSET BACKED 10313507.00 4501204.97 SUNTRUST STUDENT LN TR 2020-07-28 2020-07-28 0.547 - 0.547 Other Instrument ASSET BACKED 3000000.00 498139.35 TRIP RAIL MASTER FDG LLC 2041-07-15 2041-07-15 6.024 - 6.024 Other Instrument ASSET BACKED 3825949.00 4389179.71 U S ED LN TR IV LLC 2046-09-01 2046-09-01 N/A Other Instrument ASSET BACKED 240391.00 167350.84 U S ED LN TR III LLC 2039-06-01 2039-06-21 N/A Other Instrument ASSET BACKED 1441440.00 392725.86 WAMU ASSET-BACKED CTFS WAMU 2037-01-25 2037-01-25 0.346 - 0.346 Other Instrument ASSET BACKED 1000.00 389.89 WORLD OMNI AUTO RECEIVABLES TR 2015-05-15 2015-05-15 2.21 - 2.21 Other Instrument ASSET BACKED 500000.00 506286.89 First Tier Security 2012-09-07 2012-09-07 Y RBC CAP MARKETS LLC(NON-GV RP) N/A N/A N N 105000000.00 105000000.00 0.0009 N 105000000.00 105000000.00 RBS Securities, Inc. RBS Securities, Inc., 0.65% 35J99R4Y1 0000808379 Other Repurchase Agreement N 51-100 2012-10-01 2051-03-12 0 - 12 Other Instrument MORTGAGE 3358066973.00 283700075.35 First Tier Security 2012-09-07 2012-09-07 Y RBS SECS INC (NON GOV REPO) N/A N/A N N 266000000.00 266000000.00 0.0023 N 266000000.00 266000000.00 RBS Securities, Inc. RBS Securities, Inc., 0.95% 35J99R5A2 0000808379 Other Repurchase Agreement N 101-500 2032-08-25 2052-11-23 0 - 38.187 Other Instrument MORTGAGE 3453120918.00 429999633.35 First Tier Security 2012-09-17 2012-09-17 N N N 398000000.00 398000000.00 0.0035 Y 398000000.00 398000000.00 RBS Securities, Inc. RBS Securities, Inc., 0.95% 35J99R5B0 0000808379 Other Repurchase Agreement N FEDERAL HOME LOAN MORTGAGE CORP 2017-11-15 2039-02-15 0.25 - 7.5 Government Agency Debt 458272361.00 4183923.34 FEDERAL NATIONAL MORTGAGE ASSOC 2013-10-25 2052-07-25 0 - 11.203 Government Agency Debt 4073573527.00 101557782.06 GOVERNMENT NATIONAL MORTAGE ASSOC 2034-03-16 2052-04-16 0.053 - 5.863 Government Agency Debt 1337620437.00 120900366.03 First Tier Security 2012-09-21 2012-09-21 N N N 220000000.00 220000000.00 0.0019 Y 220000000.00 220000000.00 Royal Bank of Scotland PLC Royal Bank of Scotland PLC, 0.65% 40Q995HA9 Other Repurchase Agreement N 51-100 2012-11-15 2052-04-27 0 - 13.065 Other Instrument MORTGAGE 3753670550.00 287050886.22 First Tier Security 2012-09-07 2012-09-07 Y ROYAL BK SCOT PLC(NON GOV REPO N/A N/A N N 266000000.00 266000000.00 0.0023 N 266000000.00 266000000.00 Royal Bank of Scotland PLC Royal Bank of Scotland PLC, 0.95% 40Q995HB7 Other Repurchase Agreement N 51-100 2015-01-18 2051-02-10 0 - 41.128 Other Instrument MORTGAGE 19999755094.00 356873977.99 First Tier Security 2012-10-01 2012-10-01 N N N 331000000.00 331000000.00 0.0029 Y 331000000.00 331000000.00 UBS Securities LLC UBS Securities LLC, 0.62% 23M99SVA3 0000230611 Other Repurchase Agreement N ANNALY CAP MGMT INC 2015-05-15 2015-05-15 5 - 5 Other Instrument EQUITY 649000.00 662610.97 CEMEX S A B DE C V 2018-03-15 2018-03-15 3.75 - 3.75 Other Instrument EQUITY 5159429.00 4939078.39 CHESAPEAKE ENERGY CORP 2035-11-15 2035-11-15 2.75 - 2.75 Other Instrument EQUITY 1300000.00 1222776.39 CIENA CORP 2018-10-15 2018-10-15 3.75 - 3.75 Other Instrument EQUITY 53000.00 56135.83 CORPORATE OFFICE PPTYS L P 2030-04-15 2030-04-15 4.25 - 4.25 Other Instrument EQUITY 4500000.00 4532875.00 CUBIST PHARMACEUTICALS INC 2017-11-01 2017-11-01 2.5 - 2.5 Other Instrument EQUITY 1051000.00 1795458.33 EQUINIX INC 2014-10-15 2014-10-15 3 - 3 Other Instrument EQUITY 2949000.00 5607032.00 FLOTEK INDS INC DEL 2028-02-15 2028-02-15 5.25 - 5.25 Other Instrument EQUITY 71000.00 73561.92 FOREST CITY ENTERPRISES INC 2016-10-15 2016-10-15 5 - 5 Other Instrument EQUITY 4000000.00 5245000.00 HEALTH MGMT ASSOCS INC NEW 2028-05-01 2028-05-01 3.75 - 3.75 Other Instrument EQUITY 471000.00 496316.25 ILLUMINA INC 2016-03-15 2016-03-15 0.25 - 0.25 Other Instrument EQUITY 260516.00 238021.17 INSULET CORP 2016-06-15 2016-06-15 3.75 - 3.75 Other Instrument EQUITY 4500000.00 4996875.00 JAMES RIV COAL CO 2015-12-01 2015-12-01 4.5 - 4.5 Other Instrument EQUITY 835191.00 378967.92 KILROY RLTY L P 2014-11-15 2014-11-15 4.25 - 4.25 Other Instrument EQUITY 13500000.00 18512062.50 LIBERTY MEDIA CORP NEW 2023-03-30 2023-03-30 3.125 - 3.125 Other Instrument EQUITY 1159000.00 1511046.25 LIONS GATE ENTMT INC 2025-03-15 2025-03-15 3.625 - 3.625 Other Instrument EQUITY 749000.00 1381317.24 MEDIVATION INC 2017-04-01 2017-04-01 2.625 - 2.625 Other Instrument EQUITY 366936.00 458096.66 NEWPARK RES INC 2017-10-01 2017-10-01 4 - 4 Other Instrument EQUITY 1746000.00 1775100.00 PMI GROUP INC 2020-04-15 2020-04-15 4.5 - 4.5 Other Instrument EQUITY 18108000.00 4119570.00 PETROLEUM DEV CORP 2016-05-15 2016-05-15 3.25 - 3.25 Other Instrument EQUITY 5182000.00 5076128.86 REGENERON PHARMACEUTICALS INC 2016-10-01 2016-10-01 1.875 - 1.875 Other Instrument EQUITY 9036000.00 16674243.75 SANDISK CORP 2017-08-15 2017-08-15 1.5 - 1.5 Other Instrument EQUITY 4085000.00 4521754.58 SILVER STD RES INC 2028-03-01 2028-03-01 4.5 - 4.5 Other Instrument EQUITY 319000.00 321791.25 STILLWATER MNG CO 2028-03-15 2028-03-15 1.875 - 1.875 Other Instrument EQUITY 660000.00 658281.25 TELEFLEX INC 2017-08-01 2017-08-01 3.875 - 3.875 Other Instrument EQUITY 4200000.00 5116562.50 THERAVANCE INC 2015-01-15 2015-01-15 3 - 3 Other Instrument EQUITY 3625000.00 4418270.83 UNITED THERAPEUTICS CORP DEL 2016-09-15 2016-09-15 1 - 1 Other Instrument EQUITY 656549.00 841768.77 WESCO INTL INC 2029-09-15 2029-09-15 6 - 6 Other Instrument EQUITY 2237000.00 4907791.58 First Tier Security 2012-09-07 2012-09-07 Y UBS SECS LLC (NON GOV REPO) N/A N/A N N 93000000.00 93000000.00 0.0008 N 93000000.00 93000000.00 UBS Securities LLC UBS Securities LLC, 0.62% 23M99SVB1 0000230611 Other Repurchase Agreement N AAR CORP 2014-03-01 2014-03-01 1.625 - 1.625 Other Instrument EQUITY 5483597.00 5199135.40 BIOMARIN PHARMACEUTICAL INC 2017-04-23 2017-04-23 1.875 - 1.875 Other Instrument EQUITY 5000000.00 9814583.33 CEMEX S A B DE C V 2018-03-15 2018-03-15 3.75 - 3.75 Other Instrument EQUITY 2282452.00 2184972.28 HEALTH MGMT ASSOCS INC NEW 2028-05-01 2028-05-01 3.75 - 3.75 Other Instrument EQUITY 2233000.00 2353023.75 HEARTWARE INTL INC 2017-12-15 2017-12-15 3.5 - 3.5 Other Instrument EQUITY 47000.00 56806.03 HELIX ENERGY SOLUTIONS GROUP 2032-03-15 2032-03-15 3.25 - 3.25 Other Instrument EQUITY 102400.00 110718.58 HORNBECK OFFSHORE SVCS INC NEW 2019-09-01 2019-09-01 N/A Other Instrument EQUITY 247211.00 249683.11 LIBERTY MEDIA CORP 2029-11-15 2029-11-15 4 - 4 Other Instrument EQUITY 11305000.00 6887885.27 LIBERTY MEDIA CORP NEW 2023-03-30 2023-03-30 3.125 - 3.125 Other Instrument EQUITY 7322000.00 9546057.50 MYLAN INC 2015-09-15 2015-09-15 3.75 - 3.75 Other Instrument EQUITY 270700.00 507167.73 NEWPARK RES INC 2017-10-01 2017-10-01 4 - 4 Other Instrument EQUITY 1957000.00 1989616.66 NORTHGATE MINERALS CORP 2016-10-01 2016-10-01 N/A Other Instrument EQUITY 65000.00 66516.67 NOVELLUS SYS INC 2041-05-15 2041-05-15 2.625 - 2.625 Other Instrument EQUITY 8400000.00 9609425.00 PHH CORP 2017-06-15 2017-06-15 6 - 6 Other Instrument EQUITY 3653754.00 5983631.13 PMI GROUP INC 2020-04-15 2020-04-15 4.5 - 4.5 Other Instrument EQUITY 53545000.00 12181487.50 STEWART ENTERPRISES INC 2014-07-15 2014-07-15 3.125 - 3.125 Other Instrument EQUITY 9350000.00 9457460.07 SUNTECH PWR HLDGS CO LTD 2013-03-15 2013-03-15 3 - 3 Other Instrument EQUITY 188000.00 85320.67 TRINA SOLAR LTD 2013-07-15 2013-07-15 4 - 4 Other Instrument EQUITY 100000.00 88511.11 VECTOR GROUP LTD 2014-11-15 2014-11-15 6.75 - 6.75 Other Instrument EQUITY 2039000.00 2551298.75 VERISIGN INC 2037-08-15 2037-08-15 3.25 - 3.25 Other Instrument EQUITY 6454000.00 9658052.45 First Tier Security 2012-09-07 2012-09-07 Y UBS SECS LLC (NON GOV REPO) N/A N/A N N 82000000.00 82000000.00 0.0007 N 82000000.00 82000000.00 UBS Securities LLC UBS Securities LLC, 0.65% 23M99SUY2 0000230611 Other Repurchase Agreement N 51-100 2013-03-15 2066-12-15 0 - 7.25 Other Instrument CORPORATE 144992906.00 144868941.58 First Tier Security 2012-09-07 2012-09-07 Y UBS SECS LLC (NON GOV REPO) N/A N/A N N 134000000.00 134000000.00 0.0012 N 134000000.00 134000000.00