0000278001-14-000039.txt : 20140730 0000278001-14-000039.hdr.sgml : 20140730 20140606123828 ACCESSION NUMBER: 0000278001-14-000039 CONFORMED SUBMISSION TYPE: N-MFP PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20140531 FILED AS OF DATE: 20140606 DATE AS OF CHANGE: 20140606 FILER: COMPANY DATA: COMPANY CONFORMED NAME: FIDELITY PHILLIPS STREET TRUST CENTRAL INDEX KEY: 0000278001 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 1130 FILING VALUES: FORM TYPE: N-MFP SEC ACT: 1933 Act SEC FILE NUMBER: 811-02890 FILM NUMBER: 14895750 BUSINESS ADDRESS: STREET 1: 245 SUMMER STREET CITY: BOSTON STATE: MA ZIP: 02210 BUSINESS PHONE: 617-563-7000 MAIL ADDRESS: STREET 1: 245 SUMMER STREET CITY: BOSTON STATE: MA ZIP: 02210 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 2014-05-31 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 48 84 114344929144.56 1719066094.11 314381244.72 115749613993.95 0.0025 1.0004 2014-05-30 1.0004 2014-05-30 C000019553 2500.00 115749613993.95 1.00 -488327412.36 21867083790.33 22355411202.69 0.0001 1.0004 2014-05-30 1.0004 2014-05-30 Bank of Montreal Chicago CD Program Bank of Montreal Chicago CD Program, 0.18% 06366BVH0 Certificate of Deposit First Tier Security 2014-08-22 2014-08-22 N N N 500000000.00 500000000.00 0.0043 N 499988350.00 499988350.00 Bank of Montreal Chicago CD Program Bank of Montreal Chicago CD Program, 0.24% 06366LDW5 Certificate of Deposit First Tier Security 2014-06-17 2015-02-12 N N N 912000000.00 912000000.00 0.0079 N 912032832.00 912032832.00 Bank of Nova Scotia Bank of Nova Scotia, 0.20% 06417HGC4 Certificate of Deposit First Tier Security 2014-07-07 2014-07-07 N N N 879000000.00 879000000.00 0.0076 N 879092734.50 879092734.50 Bank of Nova Scotia Bank of Nova Scotia, 0.20% 06417HGN0 Certificate of Deposit First Tier Security 2014-07-14 2014-07-14 N N N 212000000.00 212000000.00 0.0018 N 212026478.80 212026478.80 Bank of Nova Scotia Bank of Nova Scotia, 0.21% 06417HJJ6 Certificate of Deposit First Tier Security 2014-06-10 2015-01-06 N N N 433000000.00 433000000.00 0.0037 N 432956267.00 432956267.00 Bank of Nova Scotia Bank of Nova Scotia, 0.22% 06417HEN2 Certificate of Deposit First Tier Security 2014-06-03 2015-01-29 N N N 433000000.00 433000000.00 0.0037 N 433229923.00 433229923.00 Bank of Nova Scotia Bank of Nova Scotia, 0.22% 06417HLC8 Certificate of Deposit First Tier Security 2014-06-16 2015-05-15 N N N 760000000.00 760000000.00 0.0066 N 759855600.00 759855600.00 Bank of Nova Scotia Bank of Nova Scotia, 0.22% 06417HDY9 Certificate of Deposit First Tier Security 2014-06-23 2015-02-18 N N N 869000000.00 869000000.00 0.0075 N 869708235.00 869708235.00 Bank of Nova Scotia Bank of Nova Scotia, 0.22% 06417HHT6 Certificate of Deposit First Tier Security 2014-06-30 2015-03-31 N N N 445000000.00 445000000.00 0.0038 N 444926575.00 444926575.00 Bank of Nova Scotia Bank of Nova Scotia, 0.27% 06417HCY0 Certificate of Deposit First Tier Security 2014-10-03 2014-10-03 N N N 600000000.00 600000000.00 0.0052 N 600125400.00 600125400.00 Bank of Nova Scotia Bank of Nova Scotia, 0.29% 06417E5W9 Certificate of Deposit First Tier Security 2014-06-11 2014-11-07 N N N 406000000.00 406000000.00 0.0035 N 406028826.00 406028826.00 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.24% 06538G7G1 Certificate of Deposit First Tier Security 2014-08-01 2014-08-01 N N N 503000000.00 503000000.00 0.0043 N 503035109.40 503035109.40 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.24% 06538HBP4 Certificate of Deposit First Tier Security 2014-08-19 2014-08-19 N N N 241000000.00 241000000.00 0.0021 N 241021641.80 241021641.80 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.24% 06538HFP0 Certificate of Deposit First Tier Security 2014-09-10 2014-09-10 N N N 451000000.00 451000000.00 0.0039 N 451038650.70 451038650.70 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.24% 06538HGC8 Certificate of Deposit First Tier Security 2014-09-16 2014-09-16 N N N 1000000000.00 1000000000.00 0.0086 N 1000090700.00 1000090700.00 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.24% 06538HGD6 Certificate of Deposit First Tier Security 2014-09-17 2014-09-17 N N N 288000000.00 288000000.00 0.0025 N 288026352.00 288026352.00 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.24% 06538HGP9 Certificate of Deposit First Tier Security 2014-09-19 2014-09-19 N N N 420000000.00 420000000.00 0.0036 N 420039144.00 420039144.00 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.25% 06538HHV5 Certificate of Deposit First Tier Security 2014-11-20 2014-11-20 N N N 995000000.00 995000000.00 0.0086 N 995096017.50 995096017.50 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.25% 06538HKQ2 Certificate of Deposit First Tier Security 2014-12-02 2014-12-02 N N N 1250000000.00 1250000000.00 0.0108 N 1250064500.00 1250064500.00 BNP Paribas New York Branch BNP Paribas New York Branch, 0.25% 05572W7K6 Certificate of Deposit First Tier Security 2014-06-02 2014-06-02 N N N 269000000.00 269000000.00 0.0023 N 269002905.20 269002905.20 BNP Paribas New York Branch BNP Paribas New York Branch, 0.25% 05574RAE5 Certificate of Deposit First Tier Security 2014-06-04 2014-06-04 N N N 1315000000.00 1315000000.00 0.0114 N 1315023670.00 1315023670.00 BNP Paribas New York Branch BNP Paribas New York Branch, 0.25% 05574RBD6 Certificate of Deposit First Tier Security 2014-06-26 2014-06-26 N N N 439000000.00 439000000.00 0.0038 N 439042758.60 439042758.60 BNP Paribas New York Branch BNP Paribas New York Branch, 0.26% 05574RFA8 Certificate of Deposit First Tier Security 2014-09-15 2014-09-15 N N N 860000000.00 860000000.00 0.0074 N 859999828.00 859999828.00 BNP Paribas New York Branch BNP Paribas New York Branch, 0.27% 05574RCQ6 Certificate of Deposit First Tier Security 2014-08-04 2014-08-04 N N N 600000000.00 600000000.00 0.0052 N 600054840.00 600054840.00 BNP Paribas New York Branch BNP Paribas New York Branch, 0.27% 05574RCS2 Certificate of Deposit First Tier Security 2014-08-06 2014-08-06 N N N 575000000.00 575000000.00 0.0050 N 575054165.00 575054165.00 Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce, 0.24% 13606YZK5 Certificate of Deposit First Tier Security 2014-06-16 2015-02-11 N N N 1249000000.00 1249000000.00 0.0108 N 1249061201.00 1249061201.00 Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce, 0.27% 13606YRX6 Certificate of Deposit First Tier Security 2014-06-05 2014-10-31 N N N 403000000.00 403000000.00 0.0035 N 403000806.00 403000806.00 Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce, 0.29% 13606YPQ3 Certificate of Deposit First Tier Security 2014-06-03 2014-10-31 N N N 405000000.00 405000000.00 0.0035 N 404893080.00 404893080.00 Credit Agricole CIB Credit Agricole CIB, 0.24% 22533MHG9 Certificate of Deposit First Tier Security 2014-09-02 2014-09-02 N N N 1000000000.00 1000000000.00 0.0086 N 999947200.00 999947200.00 Credit Agricole CIB Credit Agricole CIB, 0.25% 22533MDK4 Certificate of Deposit First Tier Security 2014-07-07 2014-07-07 N N N 926000000.00 926000000.00 0.0080 N 926107416.00 926107416.00 Credit Agricole CIB Credit Agricole CIB, 0.26% 22533MAL5 Certificate of Deposit First Tier Security 2014-06-03 2014-06-03 N N N 855000000.00 855000000.00 0.0074 N 855015219.00 855015219.00 Credit Agricole CIB Credit Agricole CIB, 0.26% 22533MCR0 Certificate of Deposit First Tier Security 2014-07-02 2014-07-02 N N N 1279000000.00 1279000000.00 0.0110 N 1279140562.10 1279140562.10 Credit Industriel et Commercial Credit Industriel et Commercial, 0.13% 22536GX63 Certificate of Deposit First Tier Security 2014-06-03 2014-06-03 N N N 404000000.00 404000000.00 0.0035 N 404000444.40 404000444.40 Credit Industriel et Commercial Credit Industriel et Commercial, 0.13% 22536GY21 Certificate of Deposit First Tier Security 2014-06-04 2014-06-04 N N N 860000000.00 860000000.00 0.0074 N 860001204.00 860001204.00 Credit Industriel et Commercial Credit Industriel et Commercial, 0.13% 22536GY39 Certificate of Deposit First Tier Security 2014-06-05 2014-06-05 N N N 840000000.00 840000000.00 0.0073 N 840001428.00 840001428.00 Credit Suisse AG Credit Suisse AG, 0.30% 22549TXS2 Certificate of Deposit First Tier Security 2014-06-03 2014-11-03 N N N 779000000.00 779000000.00 0.0067 N 778935343.00 778935343.00 Credit Suisse AG Credit Suisse AG, 0.30% 22549TPL6 Certificate of Deposit First Tier Security 2014-06-09 2014-07-09 N N N 1277000000.00 1277000000.00 0.0110 N 1277090667.00 1277090667.00 Credit Suisse AG Credit Suisse AG, 0.31% 22549TUP1 Certificate of Deposit First Tier Security 2014-09-08 2014-09-08 N N N 233000000.00 233000000.00 0.0020 N 233025956.20 233025956.20 Deutsche Bank Deutsche Bank, 0.23% 25152XTV2 Certificate of Deposit First Tier Security 2014-07-28 2014-07-28 N N N 1000000000.00 1000000000.00 0.0086 N 1000000000.00 1000000000.00 Fortis Bank New York Branch Fortis Bank New York Branch, 0.25% 34959TAZ9 Certificate of Deposit First Tier Security 2014-06-04 2014-06-04 N N N 500000000.00 500000000.00 0.0043 N 500009000.00 500009000.00 HSBC Bank U.S.A., NA HSBC Bank U.S.A., NA, 0.21% 40428AXN2 Certificate of Deposit First Tier Security 2014-09-22 2014-09-22 N N N 196000000.00 196000000.00 0.0017 N 196024990.00 196024990.00 KBC Bank NV KBC Bank NV, 0.16% 4823T0ZS1 Certificate of Deposit First Tier Security 2014-06-03 2014-06-03 N N N 1069000000.00 1069000000.00 0.0092 N 1069000000.00 1069000000.00 KBC Bank NV KBC Bank NV, 0.16% 4823T0ZV4 Certificate of Deposit First Tier Security 2014-06-05 2014-06-05 N N N 1305000000.00 1305000000.00 0.0113 N 1305000000.00 1305000000.00 Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 0.28% 60682AMK9 Certificate of Deposit First Tier Security 2014-10-10 2014-10-10 N N N 217000000.00 217000000.00 0.0019 N 217015927.80 217015927.80 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.25% 60688LPC4 Certificate of Deposit First Tier Security 2014-06-06 2014-06-06 N N N 436000000.00 436000000.00 0.0038 N 436006758.00 436006758.00 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.25% 60688LPD2 Certificate of Deposit First Tier Security 2014-06-09 2014-06-09 N N N 436000000.00 436000000.00 0.0038 N 436009679.20 436009679.20 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.25% 60688LPS9 Certificate of Deposit First Tier Security 2014-06-13 2014-06-13 N N N 435000000.00 435000000.00 0.0038 N 435013528.50 435013528.50 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.25% 60688LPY6 Certificate of Deposit First Tier Security 2014-06-27 2014-06-27 N N N 438000000.00 438000000.00 0.0038 N 438027199.80 438027199.80 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.25% 60688LQL3 Certificate of Deposit First Tier Security 2014-07-11 2014-07-11 N N N 434000000.00 434000000.00 0.0037 N 434035371.00 434035371.00 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.25% 60688LQM1 Certificate of Deposit First Tier Security 2014-07-14 2014-07-14 N N N 434000000.00 434000000.00 0.0037 N 434037888.20 434037888.20 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.25% 60688LQR0 Certificate of Deposit First Tier Security 2014-07-15 2014-07-15 N N N 434000000.00 434000000.00 0.0037 N 434038756.20 434038756.20 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.25% 60688LSH0 Certificate of Deposit First Tier Security 2014-08-22 2014-08-22 N N N 441000000.00 441000000.00 0.0038 N 441041057.10 441041057.10 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.25% 60688LTV8 Certificate of Deposit First Tier Security 2014-09-05 2014-09-05 N N N 218000000.00 218000000.00 0.0019 N 218011837.40 218011837.40 Natexis Banques Populaires New York Branch Natexis Banques Populaires New York Branch, 0.13% 63873E4J7 Certificate of Deposit First Tier Security 2014-06-06 2014-06-06 N N N 510000000.00 510000000.00 0.0044 N 510000000.00 510000000.00 Natexis Banques Populaires New York Branch Natexis Banques Populaires New York Branch, 0.23% 63873EY88 Certificate of Deposit First Tier Security 2014-06-03 2014-06-03 N N N 2303000000.00 2303000000.00 0.0199 N 2303020496.70 2303020496.70 Natexis Banques Populaires New York Branch Natexis Banques Populaires New York Branch, 0.23% 63873E2M2 Certificate of Deposit First Tier Security 2014-07-01 2014-07-01 N N N 1162000000.00 1162000000.00 0.0100 N 1162061934.60 1162061934.60 Natexis Banques Populaires New York Branch Natexis Banques Populaires New York Branch, 0.23% 63873E2U4 Certificate of Deposit First Tier Security 2014-07-02 2014-07-02 N N N 400000000.00 400000000.00 0.0035 N 400022000.00 400022000.00 Natexis Banques Populaires New York Branch Natexis Banques Populaires New York Branch, 0.23% 63873E3U3 Certificate of Deposit First Tier Security 2014-08-01 2014-08-01 N N N 785000000.00 785000000.00 0.0068 N 784986262.50 784986262.50 Natexis Banques Populaires New York Branch Natexis Banques Populaires New York Branch, 0.23% 63873E4A6 Certificate of Deposit First Tier Security 2014-08-04 2014-08-04 N N N 628000000.00 628000000.00 0.0054 N 627988507.60 627988507.60 National Bank of Canada National Bank of Canada, 0.30% 63307UEA5 Certificate of Deposit First Tier Security 2014-06-10 2014-08-08 N N N 201000000.00 201000000.00 0.0017 N 201003618.00 201003618.00 National Bank of Canada National Bank of Canada, 0.31% 63307UDX6 Certificate of Deposit First Tier Security 2014-06-23 2014-08-21 N N N 1610000000.00 1610000000.00 0.0139 N 1610114310.00 1610114310.00 National Bank of Canada National Bank of Canada, 0.34% 63307UBK6 Certificate of Deposit First Tier Security 2014-06-20 2014-11-17 N N N 1201000000.00 1200843886.53 0.0104 N 1201123703.00 1201123703.00 Nordea Bank Finland PLC Nordea Bank Finland PLC, 0.20% 65558EQ84 Certificate of Deposit First Tier Security 2014-09-29 2014-09-29 N N N 813000000.00 813000000.00 0.0070 N 813027560.70 813027560.70 Royal Bank of Canada Royal Bank of Canada, 0.20% 78009NNZ5 Certificate of Deposit First Tier Security 2014-06-03 2014-06-03 N N N 425000000.00 425000000.00 0.0037 N 425000000.00 425000000.00 Royal Bank of Canada Royal Bank of Canada, 0.23% 78009NRB4 Certificate of Deposit First Tier Security 2014-06-09 2015-04-09 N N N 435000000.00 435000000.00 0.0038 N 434963025.00 434963025.00 Royal Bank of Canada Royal Bank of Canada, 0.23% 78009NRC2 Certificate of Deposit First Tier Security 2014-06-16 2015-04-15 N N N 65000000.00 65000000.00 0.0006 N 64994345.00 64994345.00 Skandinaviska Enskilda Banken Skandinaviska Enskilda Banken, 0.24% 83051HXG6 Certificate of Deposit First Tier Security 2014-08-01 2014-08-01 N N N 909000000.00 909000000.00 0.0079 N 909087354.90 909087354.90 Societe Generale Societe Generale, 0.25% 83368NWJ6 Certificate of Deposit First Tier Security 2014-06-30 2014-07-07 Y SOCIETE GENERALE NY N/A N/A N N 1500000000.00 1500000000.00 0.0130 N 1499907000.00 1499907000.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.21% 86562JAE7 Certificate of Deposit First Tier Security 2014-06-19 2014-08-19 N N N 206000000.00 206000000.00 0.0018 N 206004120.00 206004120.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.24% 86562URW4 Certificate of Deposit First Tier Security 2014-06-10 2014-06-10 N N N 476000000.00 476000000.00 0.0041 N 476008710.80 476008710.80 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.24% 86562UWZ1 Certificate of Deposit First Tier Security 2014-07-07 2014-07-07 N N N 44000000.00 44000000.00 0.0004 N 44002318.80 44002318.80 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.24% 86562UXF4 Certificate of Deposit First Tier Security 2014-07-10 2014-07-10 N N N 390000000.00 390000000.00 0.0034 N 390022152.00 390022152.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.24% 86562UXU1 Certificate of Deposit First Tier Security 2014-07-14 2014-07-14 N N N 446000000.00 446000000.00 0.0039 N 446027830.40 446027830.40 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.24% 86562UZX3 Certificate of Deposit First Tier Security 2014-07-22 2014-07-22 N N N 404000000.00 404000000.00 0.0035 N 404029694.00 404029694.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.24% 86562UA77 Certificate of Deposit First Tier Security 2014-07-25 2014-07-25 N N N 427000000.00 427000000.00 0.0037 N 427033135.20 427033135.20 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.24% 86562US78 Certificate of Deposit First Tier Security 2014-08-26 2014-08-26 N N N 200000000.00 200000000.00 0.0017 N 200004860.00 200004860.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.24% 86562UU83 Certificate of Deposit First Tier Security 2014-08-29 2014-08-29 N N N 484000000.00 484000000.00 0.0042 N 484012148.40 484012148.40 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.24% 86562UW65 Certificate of Deposit First Tier Security 2014-09-02 2014-09-02 N N N 213000000.00 213000000.00 0.0018 N 212999978.70 212999978.70 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.24% 86562UW81 Certificate of Deposit First Tier Security 2014-09-03 2014-09-03 N N N 412000000.00 412000000.00 0.0036 N 411999958.80 411999958.80 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.24% 86562UX56 Certificate of Deposit First Tier Security 2014-09-05 2014-09-05 N N N 475000000.00 475000000.00 0.0041 N 474999952.50 474999952.50 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.24% 86562U2Z4 Certificate of Deposit First Tier Security 2014-09-16 2014-09-16 N N N 424000000.00 424000000.00 0.0037 N 423999957.60 423999957.60 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.24% 86562U5Y4 Certificate of Deposit First Tier Security 2014-09-29 2014-09-29 N N N 288000000.00 288000000.00 0.0025 N 288000000.00 288000000.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.31% 86562JAD9 Certificate of Deposit First Tier Security 2014-06-16 2014-11-17 N N N 890000000.00 890000000.00 0.0077 N 890044500.00 890044500.00 Sumitomo Mitsui Trust Banking Ltd. Sumitomo Mitsui Trust Banking Ltd., 0.25% 86563KMF7 Certificate of Deposit First Tier Security 2014-09-17 2014-09-17 N N N 760000000.00 760000000.00 0.0066 N 760023104.00 760023104.00 Sumitomo Mitsui Trust Banking Ltd. Sumitomo Mitsui Trust Banking Ltd., 0.26% 86563KKF9 Certificate of Deposit First Tier Security 2014-07-11 2014-07-11 N N N 436000000.00 436000000.00 0.0038 N 436035534.00 436035534.00 Sumitomo Mitsui Trust Banking Ltd. Sumitomo Mitsui Trust Banking Ltd., 0.26% 86563KKG7 Certificate of Deposit First Tier Security 2014-07-14 2014-07-14 N N N 436000000.00 436000000.00 0.0038 N 436038062.80 436038062.80 Sumitomo Mitsui Trust Banking Ltd. Sumitomo Mitsui Trust Banking Ltd., 0.26% 86563KKQ5 Certificate of Deposit First Tier Security 2014-07-23 2014-07-23 N N N 648000000.00 648000000.00 0.0056 N 648067910.40 648067910.40 Sumitomo Mitsui Trust Banking Ltd. Sumitomo Mitsui Trust Banking Ltd., 0.26% 86563KLS0 Certificate of Deposit First Tier Security 2014-08-27 2014-08-27 N N N 490000000.00 490000000.00 0.0042 N 490030184.00 490030184.00 Sumitomo Mitsui Trust Banking Ltd. Sumitomo Mitsui Trust Banking Ltd., 0.26% 86563KLV3 Certificate of Deposit First Tier Security 2014-09-08 2014-09-08 N N N 801000000.00 801000000.00 0.0069 N 801033561.90 801033561.90 Sumitomo Mitsui Trust Banking Ltd. Sumitomo Mitsui Trust Banking Ltd., 0.27% 86563KJQ7 Certificate of Deposit First Tier Security 2014-06-23 2014-06-23 N N N 376000000.00 376000000.00 0.0032 N 376021281.60 376021281.60 Svenska Handelsbanken, Inc. Svenska Handelsbanken, Inc., 0.22% 86958C6C3 Certificate of Deposit First Tier Security 2014-09-22 2014-09-22 N N N 498000000.00 498007808.44 0.0043 N 498055527.00 498055527.00 Svenska Handelsbanken, Inc. Svenska Handelsbanken, Inc., 0.22% 86958C6M1 Certificate of Deposit First Tier Security 2014-09-25 2014-09-25 N N N 965000000.00 965015530.90 0.0083 N 965110396.00 965110396.00 Toronto-Dominion Bank Toronto-Dominion Bank, 0.21% 89112UDF5 Certificate of Deposit First Tier Security 2014-06-16 2015-05-18 N N N 393000000.00 393000000.00 0.0034 N 392924937.00 392924937.00 Toronto-Dominion Bank Toronto-Dominion Bank, 0.24% 89112UCG4 Certificate of Deposit First Tier Security 2015-02-10 2015-02-10 N N N 257000000.00 257000000.00 0.0022 N 257072936.60 257072936.60 Toronto-Dominion Bank Toronto-Dominion Bank, 0.25% 89112TUX0 Certificate of Deposit First Tier Security 2014-09-11 2014-09-11 N N N 431000000.00 431000000.00 0.0037 N 431130463.70 431130463.70 Toronto-Dominion Bank Toronto-Dominion Bank, 0.25% 89112TYZ1 Certificate of Deposit First Tier Security 2014-10-09 2014-10-09 N N N 685000000.00 685000000.00 0.0059 N 685225502.00 685225502.00 UBS AG UBS AG, 0.25% 90267RWK1 Certificate of Deposit First Tier Security 2014-06-04 2014-10-03 N N N 1193000000.00 1193000000.00 0.0103 N 1192921262.00 1192921262.00 UBS AG UBS AG, 0.27% 90267RVB2 Certificate of Deposit First Tier Security 2014-06-11 2014-07-11 N N N 639000000.00 639000000.00 0.0055 N 639010863.00 639010863.00 Branch Banking & Trust Co. Branch Banking & Trust Co., 0.22% 10513DA59 Certificate of Deposit First Tier Security 2014-08-28 2014-08-28 N N N 299000000.00 299000000.00 0.0026 N 299059770.10 299059770.10 Branch Banking & Trust Co. Branch Banking & Trust Co., 0.22% 10513DA67 Certificate of Deposit First Tier Security 2014-08-29 2014-08-29 N N N 360000000.00 360000000.00 0.0031 N 360072756.00 360072756.00 Branch Banking & Trust Co. Branch Banking & Trust Co., 0.22% 10513DC81 Certificate of Deposit First Tier Security 2014-09-25 2014-09-25 N N N 305000000.00 305000000.00 0.0026 N 305049959.00 305049959.00 Citibank NA Citibank NA, 0.21% 17304UPZ7 Certificate of Deposit First Tier Security 2014-06-23 2014-06-23 N N N 877000000.00 877000000.00 0.0076 N 877087700.00 877087700.00 Citibank NA Citibank NA, 0.21% 17304UQB9 Certificate of Deposit First Tier Security 2014-06-25 2014-06-25 N N N 397000000.00 397000000.00 0.0034 N 397042995.10 397042995.10 Citibank NA Citibank NA, 0.21% 17304URS1 Certificate of Deposit First Tier Security 2014-08-05 2014-08-05 N N N 277000000.00 277000000.00 0.0024 N 277041217.60 277041217.60 Citibank NA Citibank NA, 0.21% 17304URU6 Certificate of Deposit First Tier Security 2014-08-07 2014-08-07 N N N 276000000.00 276000000.00 0.0024 N 276042283.20 276042283.20 Citibank NA Citibank NA, 0.21% 17304URZ5 Certificate of Deposit First Tier Security 2014-08-11 2014-08-11 N N N 551000000.00 551000000.00 0.0048 N 551089317.10 551089317.10 Citibank NA Citibank NA, 0.21% 17304USG6 Certificate of Deposit First Tier Security 2014-08-12 2014-08-12 N N N 1164000000.00 1164000000.00 0.0101 N 1164191245.20 1164191245.20 Citibank NA Citibank NA, 0.21% 17304UUZ1 Certificate of Deposit First Tier Security 2014-09-23 2014-09-23 N N N 422000000.00 422000000.00 0.0036 N 422067942.00 422067942.00 Citibank NA Citibank NA, 0.21% 17304UTU4 Certificate of Deposit First Tier Security 2014-09-25 2014-09-25 N N N 231000000.00 231000000.00 0.0020 N 231037814.70 231037814.70 Citibank NA Citibank NA, 0.21% 17304UTX8 Certificate of Deposit First Tier Security 2014-09-29 2014-09-29 N N N 218000000.00 218000000.00 0.0019 N 218036907.40 218036907.40 Citibank NA Citibank NA, 0.21% 17304UUP3 Certificate of Deposit First Tier Security 2014-10-03 2014-10-03 N N N 714000000.00 714000000.00 0.0062 N 714024918.60 714024918.60 RBS Citizens NA RBS Citizens NA, 0.30% 74929NBL5 Certificate of Deposit Second Tier Security 2014-06-27 2014-06-27 N N N 583000000.00 583000000.00 0.0050 N 583063488.70 583063488.70 Wells Fargo Bank NA Wells Fargo Bank NA, 0.20% 94988E3S5 Certificate of Deposit First Tier Security 2014-06-03 2015-03-09 N N N 288000000.00 288000000.00 0.0025 N 288000000.00 288000000.00 Wells Fargo Bank NA Wells Fargo Bank NA, 0.20% 94988E2P2 Certificate of Deposit First Tier Security 2014-06-09 2015-02-06 N N N 54000000.00 54000000.00 0.0005 N 53992764.00 53992764.00 Wells Fargo Bank NA Wells Fargo Bank NA, 0.20% 94988E2Q0 Certificate of Deposit First Tier Security 2014-06-09 2015-02-09 N N N 500000000.00 500000000.00 0.0043 N 499928500.00 499928500.00 Wells Fargo Bank NA Wells Fargo Bank NA, 0.20% 94988E2R8 Certificate of Deposit First Tier Security 2014-06-12 2015-02-10 N N N 54000000.00 54000000.00 0.0005 N 54011070.00 54011070.00 Wells Fargo Bank NA Wells Fargo Bank NA, 0.20% 94988E2S6 Certificate of Deposit First Tier Security 2014-06-12 2015-02-12 N N N 500000000.00 500000000.00 0.0043 N 500103000.00 500103000.00 Wells Fargo Bank NA Wells Fargo Bank NA, 0.20% 9497P66D5 Certificate of Deposit First Tier Security 2014-06-17 2014-12-12 N N N 250000000.00 250000000.00 0.0022 N 249974750.00 249974750.00 Wells Fargo Bank NA Wells Fargo Bank NA, 0.20% 94988E3B2 Certificate of Deposit First Tier Security 2014-06-20 2015-02-20 N N N 278000000.00 278000000.00 0.0024 N 277960246.00 277960246.00 Wells Fargo Bank NA Wells Fargo Bank NA, 0.20% 94988E3P1 Certificate of Deposit First Tier Security 2014-06-30 2015-03-04 N N N 320000000.00 320000000.00 0.0028 N 319951680.00 319951680.00 Wells Fargo Bank NA Wells Fargo Bank NA, 0.20% 94988E3J5 Certificate of Deposit First Tier Security 2014-06-30 2015-03-02 N N N 813000000.00 813000000.00 0.0070 N 812878863.00 812878863.00 Wells Fargo Bank NA Wells Fargo Bank NA, 0.21% 9497P65W4 Certificate of Deposit First Tier Security 2014-09-11 2014-09-11 N N N 500000000.00 500000000.00 0.0043 N 500072100.00 500072100.00 Wells Fargo Bank NA Wells Fargo Bank NA, 0.21% 9497P65X2 Certificate of Deposit First Tier Security 2014-09-12 2014-09-12 N N N 500000000.00 500000000.00 0.0043 N 500072800.00 500072800.00 Wells Fargo Bank NA Wells Fargo Bank NA, 0.21% 94988E2J6 Certificate of Deposit First Tier Security 2014-11-04 2014-11-04 N N N 255000000.00 255000000.00 0.0022 N 254977611.00 254977611.00 BNP Paribas SA BNP Paribas SA, 0.25% 42S99D6W0 0000872786 Certificate of Deposit First Tier Security 2014-06-13 2014-06-13 N N N 87000000.00 87000000.00 0.0008 N 87004393.50 87004393.50 Credit Agricole SA Credit Agricole SA, 0.25% 22999KQB1 0001191672 Certificate of Deposit First Tier Security 2014-09-02 2014-09-02 N N N 500000000.00 500000000.00 0.0043 N 499986800.00 499986800.00 Credit Agricole SA Credit Agricole SA, 0.26% 22999KPS5 0001191672 Certificate of Deposit First Tier Security 2014-06-02 2014-06-02 N N N 437000000.00 437000000.00 0.0038 N 437005812.10 437005812.10 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.25% 01L99G7X3 Certificate of Deposit First Tier Security 2014-07-29 2014-07-29 N N N 499000000.00 498799139.34 0.0043 N 498850349.90 498850349.90 National Australia Bank Ltd. National Australia Bank Ltd., 0.20% XS1062134454 0000833029 Certificate of Deposit First Tier Security 2014-06-24 2014-10-24 N N N 1970000000.00 1970000000.00 0.0170 N 1969846340.00 1969846340.00 National Australia Bank Ltd. National Australia Bank Ltd., 0.20% 39K99HGS3 0000833029 Certificate of Deposit First Tier Security 2014-06-30 2014-06-30 N N N 823000000.00 823000000.00 0.0071 N 823028311.20 823028311.20 Barclays U.S. Funding Corp. Barclays U.S. Funding Corp., 0.20% 06737JF91 Financial Company Commercial Paper First Tier Security 2014-06-09 2014-06-09 N N N 751000000.00 750966622.26 0.0065 N 750978296.10 750978296.10 Barclays U.S. Funding Corp. Barclays U.S. Funding Corp., 0.23% 06737JFR1 Financial Company Commercial Paper First Tier Security 2014-06-25 2014-06-25 N N N 426000000.00 425934680.06 0.0037 N 425961234.00 425961234.00 BAT International Finance PLC BAT International Finance PLC, 0.27% 05531NF27 Financial Company Commercial Paper Second Tier Security 2014-06-02 2014-06-02 N N N 29000000.00 28999782.50 0.0003 N 28999515.70 28999515.70 BAT International Finance PLC BAT International Finance PLC, 0.27% 05531NF68 Financial Company Commercial Paper Second Tier Security 2014-06-06 2014-06-06 N N N 10370000.00 10369611.13 0.0001 N 10369596.61 10369596.61 BAT International Finance PLC BAT International Finance PLC, 0.27% 05531NF68 Financial Company Commercial Paper Second Tier Security 2014-06-06 2014-06-06 N N N 30000000.00 29998875.00 0.0003 N 29998833.00 29998833.00 BAT International Finance PLC BAT International Finance PLC, 0.27% 05531NFC5 Financial Company Commercial Paper Second Tier Security 2014-06-12 2014-06-12 N N N 45000000.00 44996287.50 0.0004 N 44996620.50 44996620.50 BAT International Finance PLC BAT International Finance PLC, 0.27% 05531NGE0 Financial Company Commercial Paper Second Tier Security 2014-07-14 2014-07-14 N N N 32000000.00 31989680.00 0.0003 N 31989184.00 31989184.00 BAT International Finance PLC BAT International Finance PLC, 0.27% 05531NGE0 Financial Company Commercial Paper Second Tier Security 2014-07-14 2014-07-14 N N N 50000000.00 49983875.00 0.0004 N 49983100.00 49983100.00 JPMorgan Securities LLC JPMorgan Securities LLC, 0.22% 46640CAM4 Financial Company Commercial Paper First Tier Security 2014-06-09 2014-11-07 N N N 950000000.00 950000000.00 0.0082 N 949919250.00 949919250.00 JPMorgan Securities LLC JPMorgan Securities LLC, 0.23% 46590ELR7 Financial Company Commercial Paper First Tier Security 2014-11-25 2014-11-25 N N N 500000000.00 499434583.20 0.0043 N 499477900.00 499477900.00 JPMorgan Securities LLC JPMorgan Securities LLC, 0.27% 46640QJ36 Financial Company Commercial Paper First Tier Security 2014-09-03 2014-09-03 N N N 462000000.00 461674290.00 0.0040 N 461775791.40 461775791.40 Landesbank Baden-Wurttemberg Landesbank Baden-Wurttemberg, 0.15% 5148X1F65 Financial Company Commercial Paper First Tier Security 2014-06-06 2014-06-06 N N N 1218000000.00 1217974624.67 0.0105 N 1217963460.00 1217963460.00 Landesbank Baden-Wurttemberg Landesbank Baden-Wurttemberg, 0.20% 5148X1F99 Financial Company Commercial Paper First Tier Security 2014-06-09 2014-06-09 N N N 811000000.00 810963955.59 0.0070 N 810965289.20 810965289.20 Lloyds Bank PLC Lloyds Bank PLC, 0.09% 53943SF36 Financial Company Commercial Paper First Tier Security 2014-06-03 2014-06-03 N N N 2353000000.00 2352988235.00 0.0203 N 2352979058.30 2352979058.30 Skandinaviska Enskilda Banken AB Skandinaviska Enskilda Banken AB, 0.24% 83050UHB7 Financial Company Commercial Paper First Tier Security 2014-08-11 2014-08-11 N N N 100000000.00 99953652.80 0.0009 N 99969180.00 99969180.00 Skandinaviska Enskilda Banken AB Skandinaviska Enskilda Banken AB, 0.24% 83050UHC5 Financial Company Commercial Paper First Tier Security 2014-08-12 2014-08-12 N N N 425000000.00 424800250.00 0.0037 N 424866337.50 424866337.50 Skandinaviska Enskilda Banken AB Skandinaviska Enskilda Banken AB, 0.24% 83050UHE1 Financial Company Commercial Paper First Tier Security 2014-08-14 2014-08-14 N N N 212000000.00 211897592.21 0.0018 N 211929743.20 211929743.20 Skandinaviska Enskilda Banken AB Skandinaviska Enskilda Banken AB, 0.24% 83050UHF8 Financial Company Commercial Paper First Tier Security 2014-08-15 2014-08-15 N N N 212000000.00 211896208.32 0.0018 N 211928365.20 211928365.20 Skandinaviska Enskilda Banken AB Skandinaviska Enskilda Banken AB, 0.24% 83050UHJ0 Financial Company Commercial Paper First Tier Security 2014-08-18 2014-08-18 N N N 271000000.00 270862015.80 0.0023 N 270901843.80 270901843.80 Skandinaviska Enskilda Banken AB Skandinaviska Enskilda Banken AB, 0.24% 83050UHK7 Financial Company Commercial Paper First Tier Security 2014-08-19 2014-08-19 N N N 135000000.00 134930381.24 0.0012 N 134949888.00 134949888.00 Svenska Handelsbanken, Inc. Svenska Handelsbanken, Inc., 0.22% 86958GJN6 Financial Company Commercial Paper First Tier Security 2014-09-22 2014-09-22 N N N 151000000.00 150895726.07 0.0013 N 150909792.60 150909792.60 Toyota Motor Credit Corp. Toyota Motor Credit Corp., 0.20% 89233ACE7 Financial Company Commercial Paper First Tier Security 2014-06-17 2014-09-16 N N N 245000000.00 245000000.00 0.0021 N 245000735.00 245000735.00 Toyota Motor Credit Corp. Toyota Motor Credit Corp., 0.20% 89233ACD9 Financial Company Commercial Paper First Tier Security 2014-06-17 2014-09-15 N N N 300000000.00 300000000.00 0.0026 N 300000900.00 300000900.00 Comcast Corp. Comcast Corp., 0.20% 2003A3F41 Other Commercial Paper Second Tier Security 2014-06-04 2014-06-04 N N N 7000000.00 6999883.33 0.0001 N 6999805.40 6999805.40 Comcast Corp. Comcast Corp., 0.20% 2003A3F41 Other Commercial Paper Second Tier Security 2014-06-04 2014-06-04 N N N 50000000.00 49999166.66 0.0004 N 49998610.00 49998610.00 Dominion Resources, Inc. Dominion Resources, Inc., 0.25% 2574P1F31 Other Commercial Paper Second Tier Security 2014-06-03 2014-06-03 N N N 22000000.00 21999694.44 0.0002 N 21999511.60 21999511.60 Hewlett-Packard Co. Hewlett-Packard Co., 0.26% 42823KG22 Other Commercial Paper Second Tier Security 2014-07-02 2014-07-02 N N N 20000000.00 19995522.21 0.0002 N 19998424.00 19998424.00 Hewlett-Packard Co. Hewlett-Packard Co., 0.27% 42823KG22 Other Commercial Paper Second Tier Security 2014-07-02 2014-07-02 N N N 10000000.00 9997675.00 0.0001 N 9999212.00 9999212.00 Hewlett-Packard Co. Hewlett-Packard Co., 0.27% 42823KG30 Other Commercial Paper Second Tier Security 2014-07-03 2014-07-03 N N N 2000000.00 1999520.00 0.0000 N 1999833.80 1999833.80 NBCUniversal Enterprise, Inc. NBCUniversal Enterprise, Inc., 0.24% 63946EFD1 Other Commercial Paper Second Tier Security 2014-06-13 2014-06-13 N N N 10000000.00 9999200.00 0.0001 N 9999187.00 9999187.00 NBCUniversal Enterprise, Inc. NBCUniversal Enterprise, Inc., 0.24% 63946EFD1 Other Commercial Paper Second Tier Security 2014-06-13 2014-06-13 N N N 40000000.00 39996799.99 0.0003 N 39996748.00 39996748.00 NBCUniversal Enterprise, Inc. NBCUniversal Enterprise, Inc., 0.24% 63946EFT6 Other Commercial Paper Second Tier Security 2014-06-27 2014-06-27 N N N 82000000.00 81985786.65 0.0007 N 81985461.40 81985461.40 The Coca-Cola Co. The Coca-Cola Co., 0.20% 19121BGN3 Other Commercial Paper First Tier Security 2014-07-22 2014-07-22 N N N 45000000.00 44987250.00 0.0004 N 44993641.50 44993641.50 The Coca-Cola Co. The Coca-Cola Co., 0.20% 19121BLH0 Other Commercial Paper First Tier Security 2014-11-17 2014-11-17 N N N 28000000.00 27973711.11 0.0002 N 27980848.00 27980848.00 The Coca-Cola Co. The Coca-Cola Co., 0.20% 19121BLJ6 Other Commercial Paper First Tier Security 2014-11-18 2014-11-18 N N N 30000000.00 29971666.66 0.0003 N 29979216.00 29979216.00 The Coca-Cola Co. The Coca-Cola Co., 0.20% 19121BM97 Other Commercial Paper First Tier Security 2014-12-09 2014-12-09 N N N 65000000.00 64931027.79 0.0006 N 64944594.00 64944594.00 The Coca-Cola Co. The Coca-Cola Co., 0.20% 19121BM97 Other Commercial Paper First Tier Security 2014-12-09 2014-12-09 N N N 74000000.00 73921477.75 0.0006 N 73936922.40 73936922.40 The Coca-Cola Co. The Coca-Cola Co., 0.20% 19121BM97 Other Commercial Paper First Tier Security 2014-12-09 2014-12-09 N N N 15000000.00 14984083.33 0.0001 N 14987214.00 14987214.00 The Coca-Cola Co. The Coca-Cola Co., 0.20% 19121BM97 Other Commercial Paper First Tier Security 2014-12-09 2014-12-09 N N N 25000000.00 24973472.21 0.0002 N 24978690.00 24978690.00 The Coca-Cola Co. The Coca-Cola Co., 0.20% 19121BMH9 Other Commercial Paper First Tier Security 2014-12-17 2014-12-17 N N N 125000000.00 124861805.60 0.0011 N 124885537.50 124885537.50 Verizon Communications, Inc. Verizon Communications, Inc., 0.35% 92344PUX2 Other Commercial Paper Second Tier Security 2014-06-02 2014-07-14 Y VERIZON COMMUNICATIONS INC N/A N/A N N 577500000.00 577500000.00 0.0050 N 577424347.50 577424347.50 U.S. Treasury Bills U.S. Treasury Bills, 0.11% 912796DQ9 Treasury Debt First Tier Security 2014-08-14 2014-08-14 N N N 2475000000.00 2474440375.28 0.0214 N 2474836650.00 2474836650.00 U.S. Treasury Notes U.S. Treasury Notes, 0.08% 912828KY5 Treasury Debt First Tier Security 2014-06-30 2014-06-30 N N N 1499000000.00 1502052780.99 0.0130 N 1501927547.00 1501927547.00 U.S. Treasury Notes U.S. Treasury Notes, 0.08% 912828TA8 Treasury Debt First Tier Security 2014-06-30 2014-06-30 N N N 175613000.00 175636830.37 0.0015 N 175633546.72 175633546.72 U.S. Treasury Notes U.S. Treasury Notes, 0.14% to 0.16% 912828LK4 Treasury Debt First Tier Security 2014-08-31 2014-08-31 N N N 362000000.00 363997440.37 0.0031 N 364036250.00 364036250.00 U.S. Treasury Notes U.S. Treasury Notes, 0.14% to 0.17% 912828RG7 Treasury Debt First Tier Security 2014-09-15 2014-09-15 N N N 631000000.00 631166942.66 0.0055 N 631345157.00 631345157.00 U.S. Treasury Notes U.S. Treasury Notes, 0.14% 912828LQ1 Treasury Debt First Tier Security 2014-09-30 2014-09-30 N N N 439000000.00 442238511.04 0.0038 N 442309621.00 442309621.00 U.S. Treasury Notes U.S. Treasury Notes, 0.16% 912828QS2 Treasury Debt First Tier Security 2014-06-15 2014-06-15 N N N 250000000.00 250056509.72 0.0022 N 250048750.00 250048750.00 U.S. Treasury Notes U.S. Treasury Notes, 0.16% 912828LS7 Treasury Debt First Tier Security 2014-10-31 2014-10-31 N N N 950000000.00 958733970.71 0.0083 N 958980350.00 958980350.00 U.S. Treasury Notes U.S. Treasury Notes, 0.16% to 0.17% 912828DC1 Treasury Debt First Tier Security 2014-11-15 2014-11-15 N N N 392000000.00 399305861.72 0.0034 N 399365288.00 399365288.00 Dominion Resources, Inc. Dominion Resources, Inc., 0.35% 25746UBV0 Other Note Second Tier Security 2014-06-23 2014-07-14 Y DOMINION RESOURCE INC VA NEW N/A N/A N N 327000000.00 327000000.00 0.0028 N 326940486.00 326940486.00 Svenska Handelsbanken AB Svenska Handelsbanken AB, 0.28% 86959JDE5 Other Note First Tier Security 2014-06-16 2014-11-14 N N N 208000000.00 208000000.00 0.0018 N 208001872.00 208001872.00 Svenska Handelsbanken AB Svenska Handelsbanken AB, 0.28% 86959JCX4 Other Note First Tier Security 2014-06-27 2014-11-26 N N N 816000000.00 816000000.00 0.0070 N 815962464.00 815962464.00 Fannie Mae Fannie Mae, 0.14% 3135G0YU1 Government Agency Debt First Tier Security 2014-06-21 2015-10-21 N N N 328500000.00 328453489.33 0.0028 N 328565371.50 328565371.50 Federal Home Loan Bank Federal Home Loan Bank, 0.13% 3130A1LD8 Government Agency Debt First Tier Security 2014-07-07 2015-10-07 N N N 250000000.00 249948131.55 0.0022 N 249959000.00 249959000.00 Federal Home Loan Bank Federal Home Loan Bank, 0.20% 3130A0FL9 Government Agency Debt First Tier Security 2015-01-09 2015-01-09 N N N 250000000.00 250000000.00 0.0022 N 250063250.00 250063250.00 Texas Gen. Oblig. Texas Gen. Oblig., 2.00% TRAN Series 2013 882723CX5 Other Municipal Debt First Tier Security 2014-08-28 2014-08-28 N N N 540500000.00 542852264.53 0.0047 N 542975490.00 542975490.00 LP Pinewood SPV LLC Taxable LP Pinewood SPV LLC Taxable, 0.15% LOC Wells Fargo Bank NA VRDN 50212RAA7 Variable Rate Demand Note First Tier Security 2014-06-06 2014-06-06 Y WELLS FARGO BK NATL ASSN N/A N/A Y WELLS FARGO BK NATL ASSN N/A N/A N 181000000.00 181000000.00 0.0016 N 181000000.00 181000000.00 Port Arthur Navigation District Envir. Facilities Rev. Port Arthur Navigation District Envir. Facilities Rev., 0.23% (Motiva Enterprises LLC Proj.) Series 2010 B VRDN 735220AU9 Variable Rate Demand Note Second Tier Security 2014-06-02 2014-06-02 Y MOTIVA ENTERPRISES LLC N/A N/A N N 28400000.00 28400000.00 0.0002 N 28400000.00 28400000.00 Credit Agricole CIB Credit Agricole CIB, 0.11% 44T99HPQ8 Other Instrument Time Deposits First Tier Security 2014-06-02 2014-06-02 N N N 792000000.00 792000000.00 0.0068 N 792000000.00 792000000.00 ING Bank NV ING Bank NV, 0.11% 48M9949S9 0001017255 Other Instrument Time Deposits First Tier Security 2014-06-03 2014-06-03 N N N 434000000.00 434000000.00 0.0037 N 434000000.00 434000000.00 Bank of America NA In a joint trading account with Bank of America NA at 0.09%, dated 5/30/2014 due 06/02/2014 48X99JHP1_04197 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2022-11-25 2042-05-01 2.034 - 5.5 Government Agency Debt 475905832.23 281090743.41 FEDERAL NATIONAL MORTGAGE ASSOC 2026-12-01 2043-11-01 2.034 - 6.5 Government Agency Debt 1099112370.42 391912464.10 GOVERNMENT NATIONAL MORTAGE ASSOC 2034-01-16 2042-06-20 0.341 - 5.25 Government Agency Debt 300767062.14 133830189.45 Unrated Security 2014-06-02 2014-06-02 N N N 786648908.00 786648907.62 0.0068 N 786648907.62 786648907.62 BNY Mellon Capital Markets LLC In a joint trading account with BNY Mellon Capital Markets LLC at 0.09%, dated 5/30/2014 due 06/02/2014 48X99JHP1_08066 Government Agency Repurchase Agreement Y US TREASURY 2015-01-15 2042-02-15 0 - 3.875 Treasury Debt 88019.80 94657.34 FEDERAL FARM CREDIT 2014-06-10 2028-11-24 0.165 - 6.32 Government Agency Debt 1887419.40 1909036.59 FEDERAL HOME LOAN BANK 2014-06-13 2027-09-27 0 - 7.375 Government Agency Debt 34022864.13 34414818.17 FEDERAL HOME LOAN MORTGAGE CORP 2014-07-15 2044-06-01 0 - 7 Government Agency Debt 117523765.43 88486737.91 FEDERAL NATIONAL MORTGAGE ASSOC 2014-08-28 2044-06-01 0.16 - 7.5 Government Agency Debt 139628988.58 96806943.81 GOVERNMENT NATIONAL MORTAGE ASSOC 2015-11-20 2044-05-20 2 - 10 Government Agency Debt 89737894.98 66160110.32 TENNESEE VALLEY AUTHORITY 2033-07-15 2033-07-15 4.7 - 4.7 Government Agency Debt 425005.60 485817.53 Unrated Security 2014-06-02 2014-06-02 N N N 282440432.00 282440432.26 0.0024 N 282440432.26 282440432.26 Mitsubishi UFJ Securities (U.S.A.), Inc. Mitsubishi UFJ Securities (U.S.A.), Inc., 0.10% 45G99R7J3 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2027-01-01 2042-02-01 2.488 - 5.194 Government Agency Debt 227297088.00 57324463.99 FEDERAL NATIONAL MORTGAGE ASSOC 2024-03-01 2043-09-01 1.326 - 5.264 Government Agency Debt 876752066.00 236437984.45 Unrated Security 2014-06-06 2014-06-06 Y MUFJ SECS (USA) INC (GOV REPO) N/A N/A N N 288000000.00 288000000.00 0.0025 N 288000000.00 288000000.00 Mitsubishi UFJ Securities (U.S.A.), Inc. Mitsubishi UFJ Securities (U.S.A.), Inc., 0.10% 45G99R6Y1 Government Agency Repurchase Agreement Y US TREASURY 2014-11-13 2021-01-31 0 - 2.25 Treasury Debt 255300.00 258765.26 FEDERAL HOME LOAN MORTGAGE CORP 2016-12-01 2043-05-01 0.415 - 6.288 Government Agency Debt 3694784439.00 111805264.51 FEDERAL NATIONAL MORTGAGE ASSOC 2015-07-01 2048-09-01 0.899 - 9.2 Government Agency Debt 4415812395.00 229598165.28 GOVERNMENT NATIONAL MORTAGE ASSOC 2040-05-20 2040-05-20 4.5 - 4.5 Government Agency Debt 80470.00 44350.50 Unrated Security 2014-06-06 2014-06-06 Y MUFJ SECS (USA) INC (GOV REPO) N/A N/A N N 335000000.00 335000000.00 0.0029 N 335000000.00 335000000.00 Mitsubishi UFJ Securities (U.S.A.), Inc. Mitsubishi UFJ Securities (U.S.A.), Inc., 0.10% 45G99R6Q8 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2022-12-01 2044-05-01 2.053 - 6 Government Agency Debt 711976822.00 149806251.54 FEDERAL NATIONAL MORTGAGE ASSOC 2016-06-01 2048-08-01 1.326 - 6.014 Government Agency Debt 1474917937.00 234754043.76 Unrated Security 2014-06-06 2014-06-06 Y MUFJ SECS (USA) INC (GOV REPO) N/A N/A N N 377000000.00 377000000.00 0.0033 N 377000000.00 377000000.00 Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 0.15% 48Q99A7N4 0000812291 Government Agency Repurchase Agreement Y US TREASURY 2014-05-31 2019-02-15 2.25 - 8.875 Treasury Debt 3909800.00 3989075.07 FEDERAL HOME LOAN MORTGAGE CORP 2028-11-15 2044-04-15 3 - 6.5 Government Agency Debt 202962318.00 196344257.54 FEDERAL NATIONAL MORTGAGE ASSOC 2027-02-01 2044-05-01 2.5 - 5.599 Government Agency Debt 185320375.00 156183434.88 GOVERNMENT NATIONAL MORTAGE ASSOC 2038-05-20 2061-12-20 3.5 - 4.66 Government Agency Debt 13450000.00 10063442.20 First Tier Security 2014-06-06 2014-06-06 Y MIZUHO SECS USA INC (GOV REPO) N/A N/A N N 356000000.00 356000000.00 0.0031 N 356000000.00 356000000.00 Mizuho Securities USA, Inc. In a joint trading account with Mizuho Securities USA, Inc. at 0.09%, dated 5/30/2014 due 06/02/2014 48X99JHP1_08126 Government Agency Repurchase Agreement Y US TREASURY 2015-05-31 2044-05-15 0 - 8.125 Treasury Debt 75040970.80 76303712.25 FEDERAL HOME LOAN MORTGAGE CORP 2021-12-01 2044-04-15 0 - 7.5 Government Agency Debt 60023032.00 39860842.61 FEDERAL NATIONAL MORTGAGE ASSOC 2025-03-25 2043-09-01 2 - 8.311 Government Agency Debt 56112356.54 16444052.10 GOVERNMENT NATIONAL MORTAGE ASSOC 2034-03-16 2047-11-16 0.499 - 6.792 Government Agency Debt 53515727.87 20156603.85 Unrated Security 2014-06-02 2014-06-02 N N N 149439382.00 149439382.15 0.0013 N 149439382.15 149439382.15 Societe Generale In a joint trading account with Societe Generale at 0.09%, dated 5/30/2014 due 06/02/2014 48X99JHP1_74037 Government Agency Repurchase Agreement Y FEDERAL FARM CREDIT 2014-07-28 2015-05-01 0.16 - 0.5 Government Agency Debt 2651951.56 2656673.87 FEDERAL HOME LOAN BANK 2017-06-09 2019-06-14 1 - 5 Government Agency Debt 9500853.25 10041049.19 FEDERAL HOME LOAN MORTGAGE CORP 2014-08-27 2044-05-01 0.5 - 6.75 Government Agency Debt 89985794.55 78220558.78 FEDERAL NATIONAL MORTGAGE ASSOC 2016-09-28 2044-05-01 0 - 5.5 Government Agency Debt 104852667.11 74182324.08 Unrated Security 2014-06-02 2014-06-02 N N N 161862278.00 161862277.98 0.0014 N 161862277.98 161862277.98 Federal Reserve Bank of New York Federal Reserve Bank of New York, 0.05% 48X99KBV1 0001457970 Treasury Repurchase Agreement Y US TREASURY 2040-08-15 2040-08-15 3.875 - 3.875 Treasury Debt 263992043.00 297001237.59 First Tier Security 2014-06-02 2014-06-02 N N N 297000000.00 297000000.00 0.0026 N 297000000.00 297000000.00 BNP Paribas Securities Corp. BNP Paribas Securities Corp., 0.25% 48S991FT0 0001197610 Other Repurchase Agreement N FEDERAL HOME LOAN MORTGAGE CORP 2019-01-25 2021-01-25 0.116 - 1.64 Government Agency Debt 1146150267.00 11977882.77 AT&T INC 2015-12-01 2015-12-01 0.8 - 0.8 Other Instrument CORPORATE 3228718.00 3254120.84 APPLE INC FORMERLY APPLE COMPUTER INC TO 01/09/ 2017-05-05 2017-05-05 0.292 - 0.292 Other Instrument CORPORATE 158325.00 158403.41 BANK AMER CORP 2016-08-01 2016-08-01 6.5 - 6.5 Other Instrument CORPORATE 235575.00 267360.22 CBS CORP NEW 2022-03-01 2022-03-01 3.375 - 3.375 Other Instrument CORPORATE 8439575.00 8564681.15 CLEVELAND ELEC ILLUM CO 2018-11-15 2018-11-15 8.875 - 8.875 Other Instrument CORPORATE 8000000.00 10268543.33 DOMINION RES INC VA NEW 2019-01-15 2019-01-15 8.875 - 8.875 Other Instrument CORPORATE 8000000.00 10564330.01 GOLDMAN SACHS GROUP INC FOR FUTURE EQUITY USE 38 2017-09-01 2017-09-01 6.25 - 6.25 Other Instrument CORPORATE 14183.00 16455.85 HOME DEPOT INC 2021-04-01 2021-04-01 4.4 - 4.4 Other Instrument CORPORATE 5000000.00 5663355.56 INDUSTRIAL BK KOREA GLOBAL MEDIUM TERM NTS BOOK 2017-07-17 2017-07-17 2.375 - 2.375 Other Instrument CORPORATE 9739233.00 10057163.49 INTESA SANPAOLO S P A 2024-01-12 2024-01-12 5.25 - 5.25 Other Instrument CORPORATE 9300000.00 10213942.00 KROGER CO 2024-02-01 2024-02-01 4 - 4 Other Instrument CORPORATE 10000000.00 10550333.33 MAXIM INTEGRATED PRODS INC 2018-11-15 2018-11-15 2.5 - 2.5 Other Instrument CORPORATE 9575000.00 9694974.75 MORGAN STANLEY 2019-05-13 2019-05-13 7.3 - 7.3 Other Instrument CORPORATE 82466.00 101126.18 NEWMONT MNG CORP 2019-10-01 2019-10-01 5.125 - 5.125 Other Instrument CORPORATE 3037438.00 3378023.81 NORTH AMERN DEV BK 2018-10-10 2018-10-10 2.3 - 2.3 Other Instrument OTHER NOTE 500000.00 501112.22 OMNICOM GROUP INC 2022-05-01 2022-05-01 3.625 - 3.625 Other Instrument CORPORATE 10210000.00 10421450.52 QUEST DIAGNOSTICS INC 2019-04-01 2019-04-01 2.7 - 2.7 Other Instrument CORPORATE 10000000.00 10180150.00 TJX COS INC NEW 2019-04-15 2019-04-15 6.95 - 6.95 Other Instrument CORPORATE 8020000.00 9903877.95 TRANSOCEAN INC FORMERLY TRANSOCEAN SEDCO FOREX I 2016-12-15 2016-12-15 5.05 - 5.05 Other Instrument CORPORATE 732517.00 815434.87 VERIZON COMMUNICATIONS INC 2018-09-14 2043-09-15 3.65 - 6.55 Other Instrument CORPORATE 5587890.00 7127571.55 WELLS FARGO & CO NEW MEDIUM TERM SR NTS BOOK ENT 2023-08-15 2023-08-15 4.125 - 4.125 Other Instrument CORPORATE 1077772.00 1129829.73 KOREA EXCHANGE BANK 2017-06-26 2017-06-26 3.125 - 3.125 Other Instrument CORPORATE 10000000.00 10412000.00 PETRONAS CAPITAL LI 2019-08-12 2019-08-12 5.25 - 5.25 Other Instrument CORPORATE 2291761.00 2601121.23 First Tier Security 2014-06-06 2014-06-06 Y BNP PARIBAS SEC (NON GOV REPO) N/A N/A N N 141000000.00 141000000.00 0.0012 N 141000000.00 141000000.00 BNP Paribas Securities Corp. BNP Paribas Securities Corp., 0.44% 48S991FR4 0001197610 Other Repurchase Agreement N NOVELIS INC 2020-12-15 2020-12-15 8.75 - 8.75 Other Instrument CORPORATE 500000.00 576302.08 NUMERICABLE GROUP S A 2019-05-15 2019-05-15 4.875 - 4.875 Other Instrument CORPORATE 450000.00 459215.63 OFFSHORE GROUP INVT LTD 2019-11-01 2019-11-01 7.5 - 7.5 Other Instrument CORPORATE 500000.00 528020.83 ROYAL BK SCOTLAND GROUP PLC 2023-12-19 2023-12-19 6 - 6 Other Instrument CORPORATE 500000.00 550726.67 RSC EQUIP RENT INC / RSC HLDGS III LLC 2021-02-01 2021-02-01 8.25 - 8.25 Other Instrument CORPORATE 5000.00 5736.35 SEAGATE HDD CAYMAN 2023-06-01 2023-06-01 4.75 - 4.75 Other Instrument CORPORATE 184692.00 191362.72 SUNGARD DATA SYS INC MERGED INTO SOLAR CAP CORP 2019-11-01 2019-11-01 6.625 - 6.625 Other Instrument CORPORATE 479902.00 511257.26 TRONOX FIN LLC 2020-08-15 2020-08-15 6.375 - 6.375 Other Instrument CORPORATE 22000.00 23289.06 UNITED STS STL CORP NEW 2020-04-01 2020-04-01 7.375 - 7.375 Other Instrument CORPORATE 500000.00 557918.40 VPII ESCROW CORP 2018-08-15 2018-08-15 6.75 - 6.75 Other Instrument CORPORATE 500000.00 551093.75 FIRST QUANTUM MINERALS LTD 2022-05-15 2022-05-15 N/A Other Instrument CORPORATE 467246.00 480922.68 8% NT REDEEM 01/10/ 2017-10-01 2017-10-01 8 - 8 Other Instrument CORPORATE 294323.00 313633.86 6.375% NT REDEEM 15 2023-04-15 2023-04-15 6.375 - 6.375 Other Instrument CORPORATE 583780.00 619080.45 FEDERAL HOME LOAN MORTGAGE CORP 2019-09-25 2019-09-25 1.893 - 1.893 Government Agency Debt 172000000.00 11193205.95 AMERISTAR CASINOS INC 2021-04-15 2021-04-15 7.5 - 7.5 Other Instrument CORPORATE 500000.00 543437.50 ANTERO RES FIN CORP 2020-12-01 2020-12-01 6 - 6 Other Instrument CORPORATE 500000.00 548666.67 B/E AEROSPACE INC FOR EQUITY ISSUES SEE 073302 & 2020-10-01 2020-10-01 6.875 - 6.875 Other Instrument CORPORATE 500000.00 549383.68 BERRY PLASTICS CORP 2022-05-15 2022-05-15 5.5 - 5.5 Other Instrument CORPORATE 9394752.00 9397100.69 BUMBLE BEE ACQUISITION CORP 2017-12-15 2017-12-15 9 - 9 Other Instrument CORPORATE 500000.00 557500.00 CABLEVISION SYS CORP 2018-04-15 2018-04-15 7.75 - 7.75 Other Instrument CORPORATE 500000.00 569843.75 CHESAPEAKE MIDSTREAM PARTNERS L P / CHKM FIN COR 2021-04-15 2021-04-15 5.875 - 5.875 Other Instrument CORPORATE 500000.00 536171.88 DRILL RIGS HLDGS INC 2017-10-01 2017-10-01 6.5 - 6.5 Other Instrument CORPORATE 85634.00 89757.52 EAGLE SPINCO INC 2021-02-15 2021-02-15 4.625 - 4.625 Other Instrument CORPORATE 15000.00 15202.34 GENERAL MTRS CO 2023-10-02 2023-10-02 4.875 - 4.875 Other Instrument CORPORATE 114000.00 120025.38 HANESBRANDS INC 2020-12-15 2020-12-15 6.375 - 6.375 Other Instrument CORPORATE 500000.00 556484.38 INTERNATIONAL LEASE FIN CORP 2015-09-15 2015-09-15 8.625 - 8.625 Other Instrument CORPORATE 42348.00 46920.26 INTERPUBLIC GROUP COS INC 2017-11-15 2017-11-15 2.25 - 2.25 Other Instrument CORPORATE 10391.00 10543.41 First Tier Security 2014-06-06 2014-06-06 Y BNP PARIBAS SEC (NON GOV REPO) N/A N/A N N 28000000.00 28000000.00 0.0002 N 28000000.00 28000000.00 Citigroup Global Markets, Inc. Citigroup Global Markets, Inc., 0.81% 48R99G3G9 0000315030 Other Repurchase Agreement N CEMEX S A B DE C V FORMERLY CEMEX S A 07/03/2006 2016-03-15 2018-03-15 3.25 - 3.75 Other Instrument EQUITY 19730000.00 29316174.99 CLEARWIRE COMMUNICATIONS LLC / CLEARWIRE FIN INC 2040-12-01 2040-12-01 8.25 - 8.25 Other Instrument EQUITY 10682000.00 12815952.04 COMPUCREDIT CORP 2025-05-30 2025-05-30 3.625 - 3.625 Other Instrument EQUITY 20000.00 10508.36 GEVO INC 2022-07-01 2022-07-01 7.5 - 7.5 Other Instrument EQUITY 3150000.00 2332328.25 ISTAR FINL INC 2016-11-15 2016-11-15 1.5 - 1.5 Other Instrument EQUITY 949900.00 1012835.62 JAMES RIV COAL CO 2018-03-15 2018-03-15 3.125 - 3.125 Other Instrument EQUITY 3410000.00 158600.52 LEVEL 3 COMMUNICATIONS INC 2015-03-15 2015-03-15 7 - 7 Other Instrument EQUITY 114000.00 188622.50 LIBERTY MEDIA CORP ACQUIRED BY TELE COMMUNICATIO 2029-11-15 2030-02-15 3.75 - 4 Other Instrument EQUITY 120213000.00 77265932.66 PENNYMAC CORP 2020-05-01 2020-05-01 N/A Other Instrument EQUITY 49824800.00 48764023.11 POWERWAVE TECHNOLOGIES INC 2027-10-01 2041-07-15 2.75 - 3.875 Other Instrument EQUITY 5466000.00 54590.70 PROTALIX BIOTHERAPEUTICS INC 2018-09-15 2018-09-15 4.5 - 4.5 Other Instrument EQUITY 1851000.00 1798940.63 RAYONIER TRS HLDGS INC 2015-08-15 2015-08-15 4.5 - 4.5 Other Instrument EQUITY 350000.00 520626.75 SAVIENT PHARMACEUTICALS INC 2018-02-01 2018-02-01 4.75 - 4.75 Other Instrument EQUITY 8553000.00 42765.00 TRICO MARINE SVCS INC 2027-01-15 2027-01-15 N/A Other Instrument EQUITY 228000.00 7695.00 VIRGIN MEDIA INC 2016-11-15 2016-11-15 6.5 - 6.5 Other Instrument EQUITY 2800000.00 8408731.33 First Tier Security 2014-07-15 2014-07-15 N N N 169000000.00 169000000.00 0.0015 Y 169000000.00 169000000.00 Citigroup Global Markets, Inc. Citigroup Global Markets, Inc., 0.98% 48R99G6S0 0000315030 Other Repurchase Agreement N 51-100 2020-10-15 2052-10-18 0 - 7.02 Other Instrument MORTGAGE 2255540995.00 301426634.25 First Tier Security 2014-09-02 2014-09-02 Y CITIGROUP GLB MKT INC(NON GOV) N/A N/A N N 279000000.00 279000000.00 0.0024 Y 279000000.00 279000000.00 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.19% 48X99FCC3 0000318336 Other Repurchase Agreement N GOVERNMENT NATIONAL MORTAGE ASSOC 2040-12-16 2053-09-16 0.165 - 2.9 Government Agency Debt 92926103.00 78283864.15 First Tier Security 2014-06-03 2014-06-03 N N N 76000000.00 76000000.00 0.0007 N 76000000.00 76000000.00 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.19% 48X99FCV1 0000318336 Other Repurchase Agreement N FEDERAL NATIONAL MORTGAGE ASSOC 2019-03-25 2022-04-25 0.674 - 2.034 Government Agency Debt 414160764.00 70297158.93 GOVERNMENT NATIONAL MORTAGE ASSOC 2035-04-20 2060-05-20 1.259 - 4.828 Government Agency Debt 267558682.00 155273290.56 First Tier Security 2014-06-06 2014-06-06 N N N 219000000.00 219000000.00 0.0019 N 219000000.00 219000000.00 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.20% 48X99FCW9 0000318336 Other Repurchase Agreement N 101-500 2014-05-31 2014-05-31 N/A Other Instrument EQUITY 18693853.00 428774469.05 First Tier Security 2014-06-02 2014-06-02 N N N 397000000.00 397000000.00 0.0034 N 397000000.00 397000000.00 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.38% 48X99FDB4 0000318336 Other Repurchase Agreement N CAESARS ENTMT OPER CO INC 2018-04-15 2018-04-15 12.75 - 12.75 Other Instrument CORPORATE 10900000.00 5487468.96 CODERE FIN LUXEMBOURG S A 2019-02-15 2019-02-15 9.25 - 9.25 Other Instrument CORPORATE 1000000.00 588777.78 GLOBAL GEOPHYSICAL SVCS INC 2017-05-01 2017-05-01 10.5 - 10.5 Other Instrument CORPORATE 6500000.00 3075312.57 HARRAH'S OPERATING COMPANY, IN 2016-02-01 2018-12-15 5.75 - 10.75 Other Instrument CORPORATE 74549233.00 40324132.96 JAMES RIVER COAL CO 2019-04-01 2019-04-01 7.875 - 7.875 Other Instrument CORPORATE 10500000.00 1157953.14 MBIA INSURANCE CORPORATION 2033-01-15 2033-01-15 14 - 14 Other Instrument CORPORATE 200.00 165.92 MILAGRO OIL & GAS INC 2016-05-15 2016-05-15 10.5 - 10.5 Other Instrument CORPORATE 15820000.00 13268365.96 TEXAS COMPETITIVE ELEC HLDGS C 2015-11-01 2021-04-01 10.25 - 15 Other Instrument CORPORATE 94115613.00 10976651.69 MBIA INSURANCE CORPORATION 2033-01-15 2033-01-15 14 - 14 Other Instrument CORPORATE 874000.00 725080.12 First Tier Security 2014-06-02 2014-06-02 N N N 70000000.00 70000000.00 0.0006 N 70000000.00 70000000.00 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.42% 48X99FCD1 0000318336 Other Repurchase Agreement N 51-100 2026-05-15 2047-01-25 0 - 8.8 Other Instrument MORTGAGE 1769717803.00 471978748.54 First Tier Security 2014-06-03 2014-06-03 N N N 437000000.00 437000000.00 0.0038 N 437000000.00 437000000.00 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.63% 48R9927L5 0000318336 Other Repurchase Agreement N SAND TRUST 2001-1 2034-02-25 2034-02-25 1.05 - 1.05 Other Instrument ASSET BACKED 4270000.00 1570512.10 BANKAMERICA MANUFACTURED HOUSI 2025-12-10 2025-12-10 7.915 - 7.915 Other Instrument ASSET BACKED 28345000.00 38529646.21 BEAR STEARNS ASSET BACKED SECU 2035-11-25 2035-11-25 0.48 - 0.48 Other Instrument ASSET BACKED 34176000.00 6057068.52 CWABS ASSET-BACKED CERTIFICATE 2046-09-25 2046-09-25 5.021 - 5.021 Other Instrument ASSET BACKED 16000000.00 10055711.75 CWABS ASSET-BACKED CERTIFICATE 2046-09-25 2046-09-25 5.114 - 5.114 Other Instrument ASSET BACKED 22000000.00 8856504.80 FIRST FRANKLIN MORTGAGE LOAN T 2034-11-25 2034-11-25 1.86 - 1.86 Other Instrument ASSET BACKED 17060000.00 4005551.93 GMAC MORTGAGE SECURITIES II, I 2035-08-25 2036-11-25 0.33 - 0.36 Other Instrument ASSET BACKED 74810000.00 19934347.16 GSAA HOME EQUITY TRUST 2006-10 2036-06-25 2036-06-25 6.448 - 6.448 Other Instrument ASSET BACKED 29900000.00 13500801.64 GE-WMC MORTGAGE SECURITIES LLC 2035-10-25 2035-10-25 0.59 - 0.59 Other Instrument ASSET BACKED 20606000.00 15664083.55 HOME EQUITY MORTGAGE LOAN ASSE 2037-04-25 2037-04-25 0.34 - 0.34 Other Instrument ASSET BACKED 27803000.00 14475158.81 MERRILL LYNCH ALTERNATIVE NOTE 2037-04-25 2037-04-25 0.34 - 0.34 Other Instrument ASSET BACKED 27841491.00 12809356.26 MORGAN STANLEY ABS CAPITAL I I 2036-08-25 2036-08-25 0.29 - 0.29 Other Instrument ASSET BACKED 35175000.00 17310149.00 NEW CENTURY HOME EQUITY LOAN T 2035-03-25 2035-03-25 0.67 - 0.67 Other Instrument ASSET BACKED 14000000.00 2139538.71 OAKWOOD MORTGAGE INVESTORS 199 2029-11-15 2029-11-15 7.84 - 7.84 Other Instrument ASSET BACKED 33217000.00 5475087.80 PEGASUS AVIATION LEASE SECURIT 2031-05-10 2031-05-10 0.779 - 0.779 Other Instrument ASSET BACKED 35000000.00 13480287.05 RALI SERIES 2006-QS13 TRUST 2036-09-25 2036-09-25 7.01 - 7.01 Other Instrument ASSET BACKED 37000000.00 2599971.05 RENAISSANCE HOME EQUITY LOAN T 2036-05-25 2036-05-25 0.45 - 0.45 Other Instrument ASSET BACKED 18350000.00 8818776.47 RESIDENTIAL FUNDING MORTGAGE S 2035-12-25 2035-12-25 5.32 - 5.32 Other Instrument ASSET BACKED 15500000.00 9767981.26 RESIDENTIAL ASSET SECURITIES C 2033-11-25 2033-11-25 0.79 - 0.79 Other Instrument ASSET BACKED 20000000.00 375508.78 SPECIALTY UNDERWRITING AND RES 2037-11-25 2037-11-25 0.22 - 0.22 Other Instrument ASSET BACKED 37500000.00 3244396.11 STRUCTURED ASSET SECURITIES CO 2035-11-25 2035-11-25 0.77 - 0.77 Other Instrument ASSET BACKED 15000000.00 11758350.13 First Tier Security 2014-08-05 2014-08-05 N N N 204000000.00 204000000.00 0.0018 Y 204000000.00 204000000.00 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.64% 48R9928Y6 0000318336 Other Repurchase Agreement N 51-100 2025-06-15 2047-08-28 0.23 - 7.72 Other Instrument MORTGAGE 637618699.00 225805742.01 First Tier Security 2014-08-07 2014-08-07 N N N 209000000.00 209000000.00 0.0018 Y 209000000.00 209000000.00 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.70% 48R992HL4 0000318336 Other Repurchase Agreement N COUNTRYWIDE HOME LOAN TRUST 2034-02-15 2034-02-15 0.431 - 0.431 Other Instrument ASSET BACKED 78282000.00 2854274.95 CWHEQ REVOLVING HOME EQUITY LO 2035-12-15 2035-12-15 0.391 - 0.391 Other Instrument ASSET BACKED 100000000.00 6786719.71 CWABS ASSET-BACKED CERTIFICATE 2047-10-25 2047-10-25 0.38 - 0.38 Other Instrument ASSET BACKED 35515750.00 28182660.23 FREMONT HOME LOAN TRUST 2006-C 2036-10-25 2036-10-25 0.3 - 0.3 Other Instrument ASSET BACKED 50270348.00 21258502.74 MORGAN STANLEY ABS CAPITAL I I 2036-10-25 2036-10-25 0.22 - 0.22 Other Instrument ASSET BACKED 151000000.00 9484804.46 MORGAN STANLEY ABS CAPITAL SER 2036-12-25 2036-12-25 0.26 - 0.26 Other Instrument ASSET BACKED 60390000.00 28702433.77 MORGAN STANLEY ABS CAPITAL I I 2037-02-25 2037-02-25 0.41 - 0.41 Other Instrument ASSET BACKED 57000000.00 32764970.00 MORGAN STANLEY ABS CAPITAL 200 2037-05-25 2037-05-25 0.34 - 0.34 Other Instrument ASSET BACKED 71000000.00 45882413.39 NOVASTAR MORTGAGE FUNDING TRUS 2036-10-25 2036-10-25 0.31 - 0.31 Other Instrument ASSET BACKED 55800000.00 20860017.80 OPTION ONE MORTGAGE LOAN TRUST 2037-01-25 2037-01-25 0.25 - 0.25 Other Instrument ASSET BACKED 75560000.00 25052055.52 STRUCTURED ASSET SECURITIES CO 2035-11-25 2035-11-25 0.51 - 0.51 Other Instrument ASSET BACKED 67911000.00 10670476.15 TERWIN CAPITAL, LLC 2036-08-25 2036-08-25 0.43 - 0.43 Other Instrument ASSET BACKED 49666000.00 4665518.81 First Tier Security 2014-07-09 2014-07-09 N N N 219000000.00 219000000.00 0.0019 Y 219000000.00 219000000.00 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.70% 48R992KD8 0000318336 Other Repurchase Agreement N APIDOS CLO XVI / APIDOS CLO 2025-01-19 2025-01-19 1.689 - 1.689 Other Instrument ASSET BACKED 8340000.00 8351858.88 NELNET STUDENT LOAN TRUST 2007 2026-03-25 2026-03-25 0.583 - 0.583 Other Instrument ASSET BACKED 39340000.00 39017820.40 First Tier Security 2014-07-21 2014-07-21 N N N 45000000.00 45000000.00 0.0004 Y 45000000.00 45000000.00 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.70% 48R9924E4 0000318336 Other Repurchase Agreement N AMERIQUEST MORTGAGE SECURITIES 2034-07-25 2034-07-25 1.02 - 1.02 Other Instrument ASSET BACKED 12500000.00 6362919.51 BEAR STEARNS COMMERCIAL MORTGA 2038-12-11 2038-12-11 5.333 - 5.333 Other Instrument ASSET BACKED 6100000.00 5840345.21 BOMBARDIER CAPITAL MORTGAGE SE 2030-12-15 2030-12-15 7.935 - 7.935 Other Instrument ASSET BACKED 20000000.00 19740021.23 C-BASS TRUST 1999-CB1 2033-02-25 2033-02-25 2.1 - 2.1 Other Instrument ASSET BACKED 7000000.00 672028.59 COUNTRYWIDE HOME LOAN TRUST 2035-05-25 2035-05-25 0.79 - 0.79 Other Instrument ASSET BACKED 879559.00 678487.23 CENTEX HOME EQUITY LOAN TRUST 2033-06-25 2033-06-25 0.85 - 0.85 Other Instrument ASSET BACKED 10000000.00 1560806.04 CONTIMORTGAGE HOME EQUITY LOAN 2028-01-15 2028-01-15 6.88 - 6.88 Other Instrument ASSET BACKED 32500000.00 433175.31 CREDIT SUISSE COMMERCIAL MORTG 2040-09-15 2040-09-15 5.869 - 5.869 Other Instrument ASSET BACKED 29543826.00 30873233.51 FIRST FRANKLIN MORTGAGE LOAN T 2034-02-25 2034-02-25 1.125 - 1.125 Other Instrument ASSET BACKED 5000000.00 1936402.17 GMAC MORTGAGE SECURITIES II, I 2034-09-25 2034-09-25 5.865 - 5.865 Other Instrument ASSET BACKED 7486000.00 2666326.98 GMACM HOME EQUITY LN TR 2007 2037-09-25 2037-09-25 7 - 7 Other Instrument ASSET BACKED 1270000.00 314482.27 CSFB HOME EQUITY ASSET TRUST 2 2036-01-25 2036-01-25 0.6 - 0.6 Other Instrument ASSET BACKED 15750000.00 13550469.52 JP MORGAN MORTGAGE ACQUISITION 2037-05-25 2037-05-25 0.26 - 0.26 Other Instrument ASSET BACKED 35305000.00 22499422.47 NEW CENTURY HOME EQUITY LOAN T 2034-05-25 2034-05-25 2.175 - 2.175 Other Instrument ASSET BACKED 5317000.00 566703.83 RASC SERIES 2006-KS7 2036-09-25 2036-09-25 0.3 - 0.3 Other Instrument ASSET BACKED 25000000.00 10287784.79 RESIDENTIAL ASSET SECURITIES C 2035-08-25 2035-10-25 0.57 - 0.74 Other Instrument ASSET BACKED 11863192.00 9907075.26 RAMP SERIES 2004-RS8 TRUST 2035-09-25 2035-09-25 0.7 - 0.7 Other Instrument ASSET BACKED 7350000.00 5746581.15 SAXON ASSET SECURITIES TRUST 1 2035-11-25 2035-11-25 0.65 - 0.65 Other Instrument ASSET BACKED 12700000.00 7246229.82 CVP CASCADE CLO-1 LTD 2026-01-16 2026-01-16 5.744 - 5.744 Other Instrument ASSET BACKED 5750000.00 5042573.35 First Tier Security 2014-10-14 2014-10-14 N N N 135000000.00 135000000.00 0.0012 Y 135000000.00 135000000.00 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.70% 48R9924R5 0000318336 Other Repurchase Agreement N AMERIQUEST MORTGAGE SECURITIES 2035-03-25 2035-03-25 1.1 - 1.1 Other Instrument ASSET BACKED 4000000.00 2830610.99 APIDOS CLO XVI / APIDOS CLO 2025-01-19 2025-01-19 3.489 - 3.489 Other Instrument ASSET BACKED 6250000.00 6010230.63 SAND TRUST 2001-1 2033-08-25 2033-08-25 1.2 - 1.2 Other Instrument ASSET BACKED 700000.00 377943.52 AVERY PT IV CLO LTD / AVERY PT 2026-04-25 2026-04-25 3.729 - 3.729 Other Instrument ASSET BACKED 2000000.00 1946466.57 BAYVIEW FINANCIAL ACQUISITION 2044-05-28 2044-05-28 1.451 - 1.451 Other Instrument ASSET BACKED 2619000.00 1740100.70 BLUEMOUNTAIN CLO 2014-1 LTD / 2026-04-30 2026-04-30 3.685 - 3.685 Other Instrument ASSET BACKED 5875000.00 5613637.13 CIFC FDG 2013-III LTD / CIFC 2025-10-24 2025-10-24 3.506 - 3.506 Other Instrument ASSET BACKED 8000000.00 7700040.82 CATAMARAN CLO 2014-1 LTD / 2026-04-20 2026-04-20 3.455 - 3.455 Other Instrument ASSET BACKED 20600000.00 19306695.93 CATAMARAN CLO 2013-1 LTD / 2025-01-27 2025-01-27 3.989 - 3.989 Other Instrument ASSET BACKED 1750000.00 1740464.36 CATHEDRAL LAKE CLO 2013 LTD / 2026-01-15 2026-01-15 3.89 - 3.89 Other Instrument ASSET BACKED 5000000.00 4783059.06 CREDIT SUISSE FIRST BOSTON 200 2032-02-25 2032-02-25 1.45 - 1.45 Other Instrument ASSET BACKED 2130000.00 1835153.75 ECP CLO 2013-5 LTD / ECP CLO 2025-01-20 2025-01-20 3.728 - 3.728 Other Instrument ASSET BACKED 3000000.00 2917953.73 FIGUEROA CLO 2013-2 LTD / 2025-12-18 2025-12-18 3.989 - 3.989 Other Instrument ASSET BACKED 4000000.00 3928206.21 GREENPOINT CREDIT, LLC 2032-04-20 2032-04-20 1.419 - 1.419 Other Instrument ASSET BACKED 4000000.00 2386346.82 HLSS SERVICER ADVANCE 2046-05-15 2046-05-15 2.487 - 2.487 Other Instrument ASSET BACKED 3850000.00 3828579.62 HARDEES FDG LLC / CARLS JR FDG 2043-03-20 2043-03-20 4.474 - 4.474 Other Instrument ASSET BACKED 11839000.00 12297332.83 KEYCORP STUDENT LOAN TRUST 199 2031-08-27 2031-08-27 0.634 - 0.634 Other Instrument ASSET BACKED 46110000.00 9990288.47 MORGAN STANLEY DEAN WITTER CAP 2032-01-25 2032-01-25 1.68 - 1.68 Other Instrument ASSET BACKED 15000000.00 2366537.38 RESIDENTIAL ASSET SECURITIES C 2032-04-25 2032-04-25 7.279 - 7.279 Other Instrument ASSET BACKED 5350000.00 1666449.65 SLM PRIVATE CREDIT STUDENT LOA 2033-06-15 2033-06-15 1.183 - 1.183 Other Instrument ASSET BACKED 1415000.00 971003.14 SASCO 2001-6 (STRUCTURED ASSET 2032-07-25 2032-07-25 1.185 - 1.185 Other Instrument ASSET BACKED 4254000.00 854890.54 LIMEROCK CLO II LTD / LIMEROCK 2026-04-18 2026-04-18 3.485 - 3.485 Other Instrument ASSET BACKED 1000000.00 948598.50 First Tier Security 2014-10-20 2014-10-20 N N N 91000000.00 91000000.00 0.0008 Y 91000000.00 91000000.00 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.71% 48N9989T7 0000318336 Other Repurchase Agreement N ABSC MANUFACTURED HOUSING CONT 2030-12-02 2030-12-02 8.4 - 8.4 Other Instrument ASSET BACKED 8550000.00 6483164.38 AERCO LIMITED 2025-07-15 2025-07-15 0.684 - 0.684 Other Instrument ASSET BACKED 20410000.00 2397754.38 AIRCRAFT FINANCE TRUST <1999-1 2024-05-15 2024-05-15 0.631 - 0.631 Other Instrument ASSET BACKED 84887000.00 22633453.18 BANC OF AMERICA COMMERCIAL MOR 2049-04-10 2049-04-10 5.622 - 5.622 Other Instrument ASSET BACKED 21210000.00 21427755.89 BAYVIEW FINANCIAL REVOLVING AS 2039-05-28 2040-12-28 0.65 - 1.151 Other Instrument ASSET BACKED 119456960.00 49944328.22 BEAR STEARNS ASSET BACKED SECU 2045-01-25 2045-01-25 2.325 - 2.325 Other Instrument ASSET BACKED 3248600.00 1347265.20 BEAR STEARNS ASSET BACKED SECU 2034-09-25 2034-09-25 7.35 - 7.35 Other Instrument ASSET BACKED 246124999.73 6424245.38 BUSINESS LOAN EXPRESS BUSINESS 2040-10-20 2040-10-20 0.549 - 0.549 Other Instrument ASSET BACKED 13450000.00 2854006.24 COUNTRYWIDE HOME LOAN TRUST 2034-02-15 2034-02-15 0.451 - 0.451 Other Instrument ASSET BACKED 204714000.00 6742438.05 CWABS ASSET-BACKED CERTIFICATE 2037-04-25 2037-04-25 0.39 - 0.39 Other Instrument ASSET BACKED 14500000.00 3108411.42 CITIBANK CREDIT CARD ISSUANCE 2037-10-25 2037-10-25 1.15 - 1.15 Other Instrument ASSET BACKED 27336000.00 9683426.44 IRWIN HOME EQUITY LOAN TRUST 2 2037-06-25 2037-06-25 0.29 - 5.8 Other Instrument ASSET BACKED 34722000.00 6487555.70 OPTION ONE MORTGAGE LOAN TRUST 2037-01-25 2037-01-25 0.25 - 0.25 Other Instrument ASSET BACKED 124566867.00 41300371.47 PARTS STUDENT LOAN TRUST 2007- 2036-11-25 2036-11-25 0.888 - 0.888 Other Instrument ASSET BACKED 10000000.00 2273357.21 PEGASUS AVIATION LEASE SECURIT 2031-05-10 2031-05-10 0.634 - 0.634 Other Instrument ASSET BACKED 82100000.00 29828757.38 QUEST TRUST 2002-X1 2035-12-25 2035-12-25 0.435 - 0.435 Other Instrument ASSET BACKED 74425000.00 15623228.65 RAAC SERIES 2006-RP4 TRUST 2046-01-25 2046-01-25 0.72 - 0.72 Other Instrument ASSET BACKED 1000000.00 735681.00 RENAISSANCE HOME EQUITY LOAN T 2034-11-25 2034-11-25 5.284 - 5.284 Other Instrument ASSET BACKED 3000000.00 1216684.70 TERWIN CAPITAL, LLC 2036-12-25 2036-12-25 0.39 - 0.39 Other Instrument ASSET BACKED 22850887.00 1406184.60 First Tier Security 2014-06-04 2014-06-04 N N N 214000000.00 214000000.00 0.0018 N 214000000.00 214000000.00 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.71% 48R992FY8 0000318336 Other Repurchase Agreement N AMERIQUEST MORTGAGE SECURITIES 2035-03-25 2035-03-25 0.68 - 0.68 Other Instrument ASSET BACKED 4000000.00 3439997.91 APIDOS CLO XVI 2025-01-19 2025-01-19 4.739 - 4.739 Other Instrument ASSET BACKED 2500000.00 2266231.78 BAYVIEW COMMERCIAL ASSET TRUST 2037-09-25 2037-09-25 0.6 - 0.6 Other Instrument ASSET BACKED 7000000.00 4054475.31 C-BASS TRUST 1999-CB1 2035-05-25 2035-05-25 5.774 - 5.774 Other Instrument ASSET BACKED 3500000.00 851850.48 CDC MORTGAGE CAPITAL TRUST 200 2033-11-25 2033-11-25 1.2 - 1.2 Other Instrument ASSET BACKED 1519000.00 573803.21 CWABS ASSET-BACKED CERTIFICATE 2036-05-25 2036-05-25 0.4 - 0.4 Other Instrument ASSET BACKED 50000000.00 309750.76 COUNTRYWIDE HOME LOAN TRUST 2035-04-25 2035-07-25 0.61 - 1 Other Instrument ASSET BACKED 14705000.00 11512300.46 CREDIT SUISSE FIRST BOSTON MOR 2033-02-25 2033-02-25 1.5 - 1.5 Other Instrument ASSET BACKED 1800000.00 561983.08 CWHEQ REVOLVING HOME EQUITY LO 2034-02-15 2034-02-15 0.431 - 0.431 Other Instrument ASSET BACKED 35212098.00 4588749.76 DRYDEN XXVI SR LN FD / DRYDEN 2025-07-15 2025-07-15 4.726 - 4.726 Other Instrument ASSET BACKED 1000000.00 914046.05 EQUIFIRST MORTGAGE LOAN TRUST 2034-10-25 2034-10-25 2.025 - 2.025 Other Instrument ASSET BACKED 2000000.00 338223.99 FINANCE AMERICA MORTGAGE LOAN 2034-08-25 2034-08-25 1.25 - 1.25 Other Instrument ASSET BACKED 3581000.00 370311.87 FLAGSHIP VII LTD / FLAGSHIP 2026-01-20 2026-01-20 4.968 - 4.968 Other Instrument ASSET BACKED 5000000.00 4595943.69 GSAMP TRUST 2005-HE2-N 2035-10-25 2035-10-25 0.57 - 0.57 Other Instrument ASSET BACKED 4000000.00 2456908.46 J.P. MORGAN MORTGAGE ACQUISITI 2036-11-25 2036-11-25 0.43 - 0.43 Other Instrument ASSET BACKED 1008000.00 846858.82 KVK CLO 2013-2 LTD 2026-01-15 2026-01-15 4.989 - 4.989 Other Instrument ASSET BACKED 4000000.00 3614674.09 LEHMAN ABS MANUFACTURED HOUSIN 2028-03-15 2028-03-15 6.63 - 6.63 Other Instrument ASSET BACKED 32554000.00 34026589.18 LIMEROCK CLO II LTD 2026-04-18 2026-04-18 N/A Other Instrument ASSET BACKED 4250000.00 3812853.72 LONG BEACH MORTGAGE LOAN TRUST 2034-07-25 2034-07-25 1.763 - 1.763 Other Instrument ASSET BACKED 4530000.00 569274.03 MAGNETITE VII LTD 2025-01-15 2025-01-15 5.489 - 5.489 Other Instrument ASSET BACKED 1200000.00 1161188.22 NATIONSTAR MTG ADVANCE 2046-06-20 2046-06-20 4.948 - 4.948 Other Instrument ASSET BACKED 4400000.00 4393209.03 NEW RESIDENTIAL ADVANCE 2045-03-15 2047-03-15 3.65 - 5.036 Other Instrument ASSET BACKED 8500000.00 8530126.13 OCTAGON INVT PARTNERS XVII LTD 2025-10-25 2025-10-25 4.739 - 4.739 Other Instrument ASSET BACKED 2000000.00 1846749.54 PARK PLACE SECURITIES, INC. 2035-03-25 2035-03-25 0.87 - 0.87 Other Instrument ASSET BACKED 1000000.00 903871.83 RENAISSANCE HOME EQUITY LOAN T 2033-08-25 2033-08-25 0.975 - 0.975 Other Instrument ASSET BACKED 5000000.00 1294924.91 SHACKLETON 2013-III CLO LTD 2025-04-15 2025-04-15 5.489 - 5.489 Other Instrument ASSET BACKED 5000000.00 4795415.40 SHERIDAN SQUARE CLO LTD / 2025-04-15 2025-04-15 5.326 - 5.326 Other Instrument ASSET BACKED 1500000.00 1427841.07 SOUNDVIEW HOME LOAN TRUST 2003 2035-04-25 2035-04-25 0.88 - 0.88 Other Instrument ASSET BACKED 5000000.00 1868705.75 STRUCTURED ASSET INVESTMENT LO 2034-04-25 2034-09-25 0.85 - 1.39 Other Instrument ASSET BACKED 52411000.00 11172632.01 AVERY PT III CLO LTD 2025-01-18 2025-01-18 5.242 - 5.242 Other Instrument ASSET BACKED 1000000.00 956926.94 First Tier Security 2014-07-03 2014-07-03 N N N 109000000.00 109000000.00 0.0009 Y 109000000.00 109000000.00 J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp., 0.50% 45A99N9L1 Other Repurchase Agreement N NEWCASTLE INVESTMENT CORP. 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 1869913.00 9031679.79 WALGREEN CO 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 535517.00 38080613.87 WARREN RESOURCES INC 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 1383021.00 6500198.70 YPF SOCIEDAD ANONIMA 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 98774.00 2933587.80 First Tier Security 2014-08-28 2014-08-28 Y JP MORGAN CLRING(NON GOV REPO) N/A N/A N N 52000000.00 52000000.00 0.0004 Y 52000000.00 52000000.00 J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp., 0.59% 45A99N9F4 Other Repurchase Agreement N SPANSION LLC 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 1000000.00 1527830.00 TAKE-2 INTERACTIVE SOFTWARE 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 4315000.00 5088709.71 WEB.COM GROUP INC 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 22142000.00 26742753.33 WELLPOINT INC COM < 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 1565000.00 2437196.41 WORKDAY INC 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 23353000.00 29160911.11 AMERICAN RLTY CAP PPTYS INC 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 57826000.00 60247174.62 CORNERSTONE ONDEMAND INC 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 94000.00 103968.70 ENCORE CAPITAL GROUP INC 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 12183000.00 13963667.28 JDS UNIPHASE CORP. 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 15450000.00 15463287.00 MERRIMACK PHARMACEUTICALS INC 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 3015000.00 4319982.45 MICRON TECHNOLOGY, INC. 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 8625000.00 25546767.00 NETSUITE, INC. 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 236000.00 244989.24 NORTHSTAR RLTY FIN LTD 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 15439000.00 26828736.28 RAMBUS INC. 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 5982000.00 7214309.95 RESOURCE CAPITAL CORP. 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 1502000.00 1582142.21 SERVICENOW INC 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 4478000.00 4665135.62 SOLARCITY CORP 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 1976000.00 2432519.23 First Tier Security 2014-06-13 2014-06-13 N N N 209000000.00 209000000.00 0.0018 Y 209000000.00 209000000.00 J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp., 0.61% 45A99N9D9 Other Repurchase Agreement N AUXILIUMPHARMACEUTICAL 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 9119000.00 10861978.30 BLUCORA INC 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 5623000.00 6369695.04 BOTTOMLINE TECHNOLOGIES, INC. 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 645000.00 757236.45 CIENA CORPORATION 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 6550000.00 8866499.20 COBALT INTL ENERGY INC 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 32186000.00 30627714.81 COLONY FINANCIAL, INC. 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 4500000.00 4801720.50 CONCUR TECHNOLOGIES, INC. 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 13236000.00 14664905.62 FXCM INC 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 1523000.00 1535374.38 FORESTAR GROUP INC 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 100000.00 107158.50 HOLOGIC 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 20141000.00 22217577.38 ICONIX BRAND GROUP INC *- 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 1577000.00 2312355.10 INTERMUNE INC 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 2500000.00 7912095.00 NETSUITE, INC. 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 1764000.00 1831190.76 SALIX PHARMACEUTICALS LTD DEL 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 12700000.00 23657140.90 THERAVANCE, INC 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 2025000.00 2472784.20 TIBCO SOFTWARE, INC. 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 97713200.00 99484251.75 First Tier Security 2014-08-28 2014-08-28 Y JP MORGAN CLRING(NON GOV REPO) N/A N/A N N 219000000.00 219000000.00 0.0019 Y 219000000.00 219000000.00 J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp., 0.61% 45A99N9K3 Other Repurchase Agreement N AMERICAN RLTY CAP PPTYS INC 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 2589000.00 2760244.23 BLACKSTONE MTG TR INC 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 9436000.00 10898155.38 CARDTRONICS, INC. 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 1210000.00 1073242.17 COLONY FINANCIAL, INC. 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 9788000.00 10113353.12 EMULEX CORPORATION 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 3000000.00 2727450.00 FLUIDIGM CORPORATIONE 3 YEAR 2 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 73000.00 71056.59 GT ADVANCED TECHNOLOGIES, INC 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 10784000.00 17996878.40 NRG YIELD INC 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 2370000.00 2639810.28 PROOFPOINT INC 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 14053000.00 15881196.93 PROSPECT ENERGY CORPORATION 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 13649700.00 14618064.32 RAIT INVESTMENT TRUST @ 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 5989000.00 5814223.01 SUNEDISON INC 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 36792000.00 59009205.78 WEBMD HEALTH CORP. 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 23175000.00 24571479.15 WELLPOINT INC COM < 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 44964000.00 70023066.70 First Tier Security 2014-09-22 2014-09-22 N N N 219000000.00 219000000.00 0.0019 Y 219000000.00 219000000.00 J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp., 0.64% 45A99N9J6 Other Repurchase Agreement N AMTRUST FINANCIAL SERVICES, IN 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 4500000.00 7850569.50 BPZ ENERGY INC COM 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 8730000.00 10294913.61 DEALERTRACK HOLDINGS, INC. 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 16519000.00 20826940.45 GOODRICH PETE CORP 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 976000.00 1186174.77 ICONIX BRAND GROUP INC *- 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 16327000.00 23681627.77 ISIS PHARMACEUTICALS, INC. 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 14034000.00 27823569.82 JARDEN CORPORATION 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 3221000.00 4361034.30 MOLINA HEALTHCARE, INC. 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 15144000.00 21299581.68 SOLAZYME INC 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 3000000.00 4299411.00 USEC INC. 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 49960000.00 13239400.00 UTI WORLDWIDE INC 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 30975000.00 32689001.63 UNITED THERAPEUTICS 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 39654000.00 82911002.09 VERISIGN, INC. 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 691000.00 1075105.48 WRIGHT MEDICAL GROUP 2014-05-31 2014-05-31 N/A Other Instrument OTHER NOTE 1450000.00 1961312.05 First Tier Security 2014-10-06 2014-10-06 N N N 233000000.00 233000000.00 0.0020 Y 233000000.00 233000000.00 J.P. Morgan Securities, Inc. J.P. Morgan Securities, Inc., 0.19% 48W99WDD4 0001287279 Other Repurchase Agreement N FEDERAL HOME LOAN MORTGAGE CORP 2032-03-15 2044-04-15 1.978 - 13.275 Government Agency Debt 130030315.00 49317318.34 GOVERNMENT NATIONAL MORTAGE ASSOC 2039-04-20 2053-11-16 0.859 - 6.957 Government Agency Debt 619041866.00 176255317.29 First Tier Security 2014-06-04 2014-06-04 N N N 219000000.00 219000000.00 0.0019 N 219000000.00 219000000.00 J.P. Morgan Securities, Inc. J.P. Morgan Securities, Inc., 0.59% 48M996YX5 0001287279 Other Repurchase Agreement N STATE OF CA G.O. 2014-07-22 2014-07-22 0.06 - 0.06 Other Commercial Paper 9300000.00 9297736.70 STATE OF CA G.O. 2014-07-22 2014-07-22 0.12 - 0.12 Other Commercial Paper 425000.00 424896.57 CAN AST & CAN LTD JT 2014-06-17 2014-06-17 N/A Other Commercial Paper 740000.00 739945.31 CMMNWLTH BNK OF AUS 2014-11-17 2014-11-17 0.171 - 0.171 Other Commercial Paper 31595000.00 31556932.82 MASS BAY TRANS AUTH 2014-06-04 2014-06-04 0.09 - 0.09 Other Commercial Paper 9580000.00 9580000.00 First Tier Security 2014-08-28 2014-08-28 Y JPMORGAN SECS (NON GOV REPO) N/A N/A N N 50000000.00 50000000.00 0.0004 Y 50000000.00 50000000.00 J.P. Morgan Securities, Inc. J.P. Morgan Securities, Inc., 0.61% 48M9964N0 0001287279 Other Repurchase Agreement N BEAR STEARNS MORTGAGE FUNDING 2036-10-25 2036-10-25 0.33 - 0.33 Other Instrument GOVERNMENT AGENCY 28020000.00 9825451.34 BEAR STEARNS MORTGAGE FUNDING 2036-09-25 2036-09-25 0.35 - 0.35 Other Instrument GOVERNMENT AGENCY 174783000.00 62482039.66 BEAR STEARNS MORTGAGE FUNDING 2046-12-25 2046-12-25 0.31 - 0.31 Other Instrument GOVERNMENT AGENCY 65085000.00 26386592.29 STRUCTURED ASSET SECURITIES 2027-07-15 2027-07-15 7.615 - 7.615 Other Instrument GOVERNMENT AGENCY 205756289.00 9450980.01 First Tier Security 2014-07-10 2014-07-10 N N N 100000000.00 100000000.00 0.0009 Y 100000000.00 100000000.00 J.P. Morgan Securities, Inc. J.P. Morgan Securities, Inc., 0.61% 48W99WBW4 0001287279 Other Repurchase Agreement N ALTERNATIVE LOAN TRUST 2007-J1 2036-11-25 2036-11-25 5.717 - 5.717 Other Instrument GOVERNMENT AGENCY 9150000.00 5417134.93 BAYVIEW COMMERCIAL ASSET TRUST 2037-10-25 2037-10-25 1.65 - 1.65 Other Instrument GOVERNMENT AGENCY 10870000.00 3469763.71 CHASE FLEX TRUST 2006-2 2036-09-25 2036-09-25 5.542 - 5.542 Other Instrument GOVERNMENT AGENCY 8310120.00 7575715.36 GS MORTGAGE SECURITIES TRUST 2 2045-08-10 2045-08-10 5.803 - 5.803 Other Instrument GOVERNMENT AGENCY 121590000.00 86167310.95 INDYMAC INDX MORTGAGE LOAN TRU 2035-10-25 2035-10-25 5.5 - 5.5 Other Instrument GOVERNMENT AGENCY 50000000.00 15691642.46 JPMORGAN MORTGAGE TRUST 2006-A 2037-01-25 2037-01-25 2.612 - 2.612 Other Instrument GOVERNMENT AGENCY 2190000.00 517895.60 ML-CFC COMMERCIAL MORTGAGE TRU 2048-08-12 2048-08-12 0.39 - 0.39 Other Instrument GOVERNMENT AGENCY 8712732.00 8249085.29 MERRILL LYNCH MORTGAGE INVESTO 2036-03-25 2036-03-25 2.702 - 2.702 Other Instrument GOVERNMENT AGENCY 142931000.00 37692379.75 MERRILL LYNCH MORTGAGE INVESTO 2036-05-25 2036-05-25 2.775 - 2.775 Other Instrument GOVERNMENT AGENCY 52470000.00 15454019.03 MORGAN STANLEY MORTGAGE LOAN T 2035-08-25 2035-08-25 5.945 - 5.945 Other Instrument GOVERNMENT AGENCY 43710000.00 16455247.06 STRUCTURED ADJUSTABLE RATE MOR 2035-11-25 2035-11-25 5.004 - 5.004 Other Instrument GOVERNMENT AGENCY 87577000.00 22811231.03 WACHOVIA BANK COMMERCIAL MORTG 2020-06-15 2020-06-15 0.951 - 0.951 Other Instrument GOVERNMENT AGENCY 10000000.00 9521092.77 First Tier Security 2014-08-28 2014-08-28 Y JPMORGAN SECS (NON GOV REPO) N/A N/A N N 212000000.00 212000000.00 0.0018 Y 212000000.00 212000000.00 J.P. Morgan Securities, Inc. J.P. Morgan Securities, Inc., 0.61% 48M996YW7 0001287279 Other Repurchase Agreement N 51-100 2019-01-25 2051-02-10 0 - 7 Other Instrument MORTGAGE 1675830087.00 454476524.46 First Tier Security 2014-08-28 2014-08-28 Y JPMORGAN SECS (NON GOV REPO) N/A N/A N N 420000000.00 420000000.00 0.0036 Y 420000000.00 420000000.00 J.P. Morgan Securities, Inc. J.P. Morgan Securities, Inc., 0.61% 48M9963W1 0001287279 Other Repurchase Agreement N BEAR STEARNS MORTGAGE FUNDING 2036-10-25 2036-11-25 0.33 - 0.35 Other Instrument GOVERNMENT AGENCY 257138000.00 84397867.06 BEAR STEARNS MORTGAGE FUNDING 2046-09-25 2046-09-25 0.38 - 0.38 Other Instrument GOVERNMENT AGENCY 118769000.00 29773812.82 WAMU MORTGAGE PASS-THROUGH CER 2046-08-25 2046-08-25 1.126 - 1.126 Other Instrument GOVERNMENT AGENCY 22515000.00 6966065.00 First Tier Security 2014-08-28 2014-08-28 Y JPMORGAN SECS (NON GOV REPO) N/A N/A N N 112000000.00 112000000.00 0.0010 Y 112000000.00 112000000.00 J.P. Morgan Securities, Inc. J.P. Morgan Securities, Inc., 0.62% 48M996WV1 0001287279 Other Repurchase Agreement N 51-100 2021-11-05 2051-02-15 0 - 12.367 Other Instrument MORTGAGE 2940132191.00 565080706.90 First Tier Security 2014-08-28 2014-08-28 Y JPMORGAN SECS (NON GOV REPO) N/A N/A N N 522000000.00 522000000.00 0.0045 Y 522000000.00 522000000.00 Merrill Lynch, Pierce, Fenner & Smith Merrill Lynch, Pierce, Fenner & Smith, 0.23% 48W994GN1 0000728612 Other Repurchase Agreement N FEDERAL HOME LOAN MORTGAGE CORP 2037-07-15 2044-05-15 0 - 6.298 Government Agency Debt 463997832.00 83826681.23 FEDERAL NATIONAL MORTGAGE ASSOC 2022-09-25 2044-05-25 0.541 - 6.398 Government Agency Debt 756786630.00 129211785.52 GOVERNMENT NATIONAL MORTAGE ASSOC 2038-05-16 2062-04-20 1.899 - 7.534 Government Agency Debt 1386591524.00 359624163.31 First Tier Security 2014-06-05 2014-06-05 N N N 558000000.00 558000000.00 0.0048 N 558000000.00 558000000.00 Merrill Lynch, Pierce, Fenner & Smith Merrill Lynch, Pierce, Fenner & Smith, 0.50% 48W994HE0 0000728612 Other Repurchase Agreement N 101-500 2015-10-09 2097-08-01 0 - 8.5 Other Instrument MORTGAGE 8413266404.00 602414879.98 First Tier Security 2014-06-02 2014-06-02 N N N 576000000.00 576000000.00 0.0050 N 576000000.00 576000000.00 Merrill Lynch, Pierce, Fenner & Smith Merrill Lynch, Pierce, Fenner & Smith, 0.78% 48Q99V9Y2 0000728612 Other Repurchase Agreement N CUBIST PHARMACEUTICALS INC 2017-11-01 2017-11-01 2.5 - 2.5 Other Instrument EQUITY 3015000.00 7104527.58 DEVELOPERS DIVERSIFIED RLTY CORP 2040-11-15 2040-11-15 1.75 - 1.75 Other Instrument EQUITY 4459000.00 5270445.10 FINISAR CORP 2033-12-15 2033-12-15 0.5 - 0.5 Other Instrument EQUITY 4240000.00 4750587.87 HERBALIFE LTD 2019-08-15 2019-08-15 2 - 2 Other Instrument EQUITY 6132000.00 5834373.16 ICONIX BRAND GROUP INC 2016-06-01 2016-06-01 2.5 - 2.5 Other Instrument EQUITY 3106000.00 4493793.59 KAISER ALUM CORP 2015-04-01 2015-04-01 4.5 - 4.5 Other Instrument EQUITY 3991000.00 5878762.96 MASTEC INC 2014-06-15 2014-06-15 4 - 4 Other Instrument EQUITY 1785000.00 4419362.50 NRG YIELD INC 2019-02-01 2019-02-01 3.5 - 3.5 Other Instrument EQUITY 5362999.00 6028383.31 NOVELLUS SYS INC 2041-05-15 2041-05-15 2.625 - 2.625 Other Instrument EQUITY 3374000.00 6340500.93 OPKO HEALTH INC 2033-02-01 2033-02-01 3 - 3 Other Instrument EQUITY 7060000.00 9596634.47 OREXIGEN THERAPEUTICS INC 2020-12-01 2020-12-01 2.75 - 2.75 Other Instrument EQUITY 1470994.00 1643723.43 PHOTRONICS INC FORMERLY PHOTRONIC LABS INC TO 03 2016-04-01 2016-04-01 3.25 - 3.25 Other Instrument EQUITY 4187000.00 4669871.59 QIHOO 360 TECHNOLOGY CO LTD 2018-09-15 2018-09-15 N/A Other Instrument EQUITY 3800000.00 4515685.67 RADIAN GROUP INC 2017-11-15 2017-11-15 3 - 3 Other Instrument EQUITY 5773000.00 8273459.49 REGENERON PHARMACEUTICALS INC 2016-10-01 2016-10-01 1.875 - 1.875 Other Instrument EQUITY 1588000.00 5784215.23 SR NT EXCH INTO SL 2017-10-15 2017-10-15 3 - 3 Other Instrument EQUITY 3755000.00 5214756.25 SALIX PHARMACEUTICALS LTD 2019-03-15 2019-03-15 1.5 - 1.5 Other Instrument EQUITY 4118332.00 7631783.99 SUNEDISON INC 2021-01-01 2021-01-01 N/A Other Instrument EQUITY 5382000.00 8726277.63 SUNPOWER CORP 2015-03-15 2015-03-15 4.5 - 4.5 Other Instrument EQUITY 1603000.00 2524733.02 TESLA MTRS INC 2018-06-01 2018-06-01 1.5 - 1.5 Other Instrument EQUITY 2977857.00 5447507.96 UNITED THERAPEUTICS CORP DEL 2016-09-15 2016-09-15 1 - 1 Other Instrument EQUITY 4101942.00 8335487.97 VECTOR GROUP LTD 2019-01-15 2019-01-15 2.5 - 2.5 Other Instrument EQUITY 4865000.00 6471763.55 VIPSHOP HLDGS LTD 2019-03-15 2019-03-15 1.5 - 1.5 Other Instrument EQUITY 8091186.00 9122852.67 WORKDAY INC 2018-07-15 2018-07-15 0.75 - 0.75 Other Instrument EQUITY 4600000.00 5645085.50 XPO LOGISTICS INC 2017-10-01 2017-10-01 4.5 - 4.5 Other Instrument EQUITY 4210000.00 7235411.25 First Tier Security 2014-08-04 2014-08-04 N N N 140000000.00 140000000.00 0.0012 Y 140000000.00 140000000.00 Merrill Lynch, Pierce, Fenner & Smith Merrill Lynch, Pierce, Fenner & Smith, 0.78% 48W994BA4 0000728612 Other Repurchase Agreement N 51-100 2049-01-01 2049-01-01 N/A Other Instrument CORPORATE 9801304.00 271226872.97 First Tier Security 2014-08-06 2014-08-06 N N N 251000000.00 251000000.00 0.0022 Y 251000000.00 251000000.00 Merrill Lynch, Pierce, Fenner & Smith Merrill Lynch, Pierce, Fenner & Smith, 0.78% 48W994CY1 0000728612 Other Repurchase Agreement N 101-500 2049-01-01 2049-01-01 N/A Other Instrument CORPORATE 20711838.00 440802306.92 First Tier Security 2014-08-14 2014-08-14 N N N 408000000.00 408000000.00 0.0035 Y 408000000.00 408000000.00 Merrill Lynch, Pierce, Fenner & Smith Merrill Lynch, Pierce, Fenner & Smith, 0.85% 48Q99V8E7 0000728612 Other Repurchase Agreement N 101-500 2014-11-01 2099-12-29 0 - 13 Other Instrument MORTGAGE 3139599327.00 393444870.26 First Tier Security 2014-07-01 2014-07-01 N N N 364000000.00 364000000.00 0.0031 Y 364000000.00 364000000.00 Mitsubishi UFJ Securities (U.S.A.), Inc. Mitsubishi UFJ Securities (U.S.A.), Inc., 0.22% 45G99SGJ1 Other Repurchase Agreement N ABBVIE INC 2017-11-06 2017-11-06 1.75 - 1.75 Other Instrument CORPORATE 715142.00 722462.67 AETNA INC MERGED INTO ING GROEP NV 12/31/2000 2023-08-15 2023-08-15 7.25 - 7.25 Other Instrument CORPORATE 1707.00 2174.45 ALLERGAN INC 2016-04-01 2016-04-01 5.75 - 5.75 Other Instrument CORPORATE 222000.00 242133.98 APPALACHIAN PWR CO 2044-05-15 2044-05-15 4.4 - 4.4 Other Instrument CORPORATE 404417.00 408003.73 ARCHER DANIELS MIDLAND CO 2018-03-15 2018-03-15 5.45 - 5.45 Other Instrument CORPORATE 350000.00 403068.46 AVISTA CORP 2037-07-01 2037-07-01 5.7 - 5.7 Other Instrument CORPORATE 180501.00 214430.07 BPCE S A MEDIUM TERM NTS BOOK ENTRY 3/A2 2024-04-15 2024-04-15 4 - 4 Other Instrument CORPORATE 1109398.00 1134248.52 BEAM INC 2018-06-15 2018-06-15 1.75 - 1.75 Other Instrument CORPORATE 750696.00 747964.09 BECTON DICKINSON & CO 2019-05-15 2019-05-15 5 - 5 Other Instrument CORPORATE 300000.00 342796.00 BUNGE LTD FIN CORP 2016-03-15 2016-03-15 4.1 - 4.1 Other Instrument CORPORATE 243000.00 258051.82 BURLINGTON NORTHN SANTA FE LLC 2024-04-01 2024-04-01 3.75 - 3.75 Other Instrument CORPORATE 200000.00 209171.17 CENTERPOINT ENERGY HOUSTON ELEC LLC 2044-04-01 2044-04-01 4.5 - 4.5 Other Instrument CORPORATE 59261.00 63623.20 CONSORCIO TRANSMANTARO S A 2023-05-07 2023-05-07 4.375 - 4.375 Other Instrument CORPORATE 24881.00 24266.32 CONTINENTAL RES INC 2044-06-01 2044-06-01 4.9 - 4.9 Other Instrument CORPORATE 250000.00 260270.00 COOPERATIEVE CENTRALE RAIFFEISEN-BOERENLEENBANK 2041-05-24 2041-05-24 5.25 - 5.25 Other Instrument CORPORATE 393613.00 445634.86 CREDIT AGRICOLE S A MEDIUM TERM SR BK NTS BOOK E 2024-04-15 2024-04-15 3.875 - 3.875 Other Instrument CORPORATE 22330.00 22671.96 EXPORT IMPORT BK KOREA 2020-06-29 2020-06-29 5.125 - 5.125 Other Instrument CORPORATE 1480380.00 1715311.16 HANA BK SR MEDIUM TERM NT PROGRAM REG S 2017-10-25 2017-10-25 3.5 - 3.5 Other Instrument CORPORATE 704719.00 746665.83 HUMANA INC 2022-12-01 2022-12-01 3.15 - 3.15 Other Instrument CORPORATE 145000.00 144967.01 JOHNSON & JOHNSON 2033-12-05 2033-12-05 4.375 - 4.375 Other Instrument CORPORATE 38000.00 42001.30 JPMORGAN CHASE BK N A COLUMBUS OHIO K NEW YORK N 2017-10-01 2017-10-01 6 - 6 Other Instrument CORPORATE 318847.00 366735.69 KT CORP MEDIUM TERM 2014-06-24 2014-06-24 5.875 - 5.875 Other Instrument CORPORATE 676383.00 695537.04 KELLOGG CO 2023-03-01 2023-03-01 2.75 - 2.75 Other Instrument CORPORATE 100000.00 97144.86 NATIONAL AGRIC COOP 2016-01-28 2016-01-28 4.25 - 4.25 Other Instrument CORPORATE 3920503.00 4172798.26 NATIONAL RURAL UTILS COOP FIN CORP 2018-11-01 2018-11-01 10.375 - 10.375 Other Instrument CORPORATE 3331000.00 4544009.10 NEW YORK LIFE INS CO 2039-11-15 2039-11-15 6.75 - 6.75 Other Instrument CORPORATE 3008947.00 4063650.63 NOBLE HLDG INTL LTD 2041-03-01 2041-03-01 6.05 - 6.05 Other Instrument CORPORATE 100000.00 115386.69 OGLETHORPE PWR CORP 2031-01-01 2031-01-01 6.191 - 6.191 Other Instrument CORPORATE 11532434.00 13502679.58 ORACLE CORP FORMERLY ORACLE SYS CORP TO 06/01/19 2040-07-15 2040-07-15 5.375 - 5.375 Other Instrument CORPORATE 900000.00 1074902.62 PERRIGO CO PLC FORMERLY PERRIGO CO LTD TO 11/27/ 2016-11-08 2016-11-08 1.3 - 1.3 Other Instrument CORPORATE 200000.00 200252.89 PETROBAS INTL FIN CO 2019-03-15 2019-03-15 7.875 - 7.875 Other Instrument CORPORATE 103000.00 122425.41 PLAINS EXPL & PRODTN CO 2019-10-15 2019-10-15 8.625 - 8.625 Other Instrument CORPORATE 225000.00 243738.28 SKYWAY CONCESSION COMPANY 2026-06-30 2026-06-30 N/A Other Instrument CORPORATE 53092424.00 42822654.95 STEELCASE INC 2021-02-15 2021-02-15 6.375 - 6.375 Other Instrument CORPORATE 300000.00 352243.12 TAMPA ELEC CO 2044-05-15 2044-05-15 4.35 - 4.35 Other Instrument CORPORATE 1545.00 1586.22 URS CORP / URS FOX US LP 2022-04-01 2022-04-01 5 - 5 Other Instrument CORPORATE 190719.00 193276.54 VODAFONE GROUP PLC NEW 2043-02-19 2043-02-19 4.375 - 4.375 Other Instrument CORPORATE 218378.00 207547.39 WELLPOINT INC 2018-07-15 2018-07-15 2.3 - 2.3 Other Instrument CORPORATE 36297.00 37192.63 WRIGLEY WM JR CO 2015-07-15 2015-07-15 4.65 - 4.65 Other Instrument CORPORATE 169598.00 179530.93 GTL TRADE FINANCE INC 7.25 16APR44 2044-04-16 2044-04-16 N/A Other Instrument CORPORATE 321000.00 341178.42 PERRIGO CO LTD 2016-11-08 2016-11-08 N/A Other Instrument CORPORATE 180000.00 180227.60 SHINHAN BANK 2016-10-04 2016-10-04 4.125 - 4.125 Other Instrument CORPORATE 222633.00 238388.00 Unrated Security 2014-06-03 2014-06-03 N N N 78000000.00 78000000.00 0.0007 N 78000000.00 78000000.00 Mitsubishi UFJ Securities (U.S.A.), Inc. Mitsubishi UFJ Securities (U.S.A.), Inc., 0.26% 45G99SFV5 Other Repurchase Agreement N APPLE 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 321.00 203956.98 ATLAS ENERGY 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 218862.00 8870476.86 BLACKSTONE GRP 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 205261.00 6414406.25 BROCADE COMM 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 93933.00 845397.00 CENTURY ALUMINUM 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 6363.00 87682.14 CITIGROUP 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 19046.00 900494.88 COLONY FINL REIT 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 30908.00 676267.04 FURIEX PHARMA 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 15399.00 1596568.32 GAM & LEISURE-REIT 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 4367.00 147779.28 HCC INSURANCE HLDGS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 22302.00 1049755.14 HILLSHIRE BRANDS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1413.00 74549.88 6.2 ING GROEP PDS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 3900.00 99099.00 LOGMEIN 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 105.00 4527.60 MKET VECT GLD MIN 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 283.00 6293.92 MARKWEST ENERGY 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 66361.00 4111063.95 MASCO 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 799.00 17018.70 ML PR 7.12% TOPRS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 255.00 6545.85 NEW RES INV REIT 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 555.00 3507.60 PMC-SIERRA 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 859.00 6116.08 PINNACLE FOODS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 125862.00 3987308.16 PROCTER&GAMBLE 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1.00 80.40 SERVICE CORP INTL 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 175723.00 3516217.23 SOHU.COM 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 10792.00 641260.64 TAL ED UNSP ADR-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 4856.00 110231.20 TESORO LOGISTCS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1602.00 110922.48 Unrated Security 2014-06-02 2014-06-02 Y MUFJ SECS (USA) (NON GOV REPO) N/A N/A N N 31000000.00 31000000.00 0.0003 N 31000000.00 31000000.00 Mitsubishi UFJ Securities (U.S.A.), Inc. Mitsubishi UFJ Securities (U.S.A.), Inc., 0.26% 45G99SFW3 Other Repurchase Agreement N ALERIAN MLP 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 72838.00 1322009.70 ADOBE SYSTEMS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 28787.00 1884109.15 ATLAS ENERGY 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 138.00 5593.14 BITAUTO HLDG SP ADR 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 499.00 22255.40 BLACKSTONE GRP 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 178066.00 5564562.50 BROCADE COMM 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 246282.00 2216538.00 CHENIERE ENERGY 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 203102.00 12697937.04 COMPUWARE 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 62300.00 613655.00 DCP MIDSTREAM 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 10133.00 539176.93 EL PASO PIPELN 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 30000.00 1010700.00 ENTERPRISE PRODUCTS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 6655.00 491671.40 GAM & LEISURE-REIT 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 42270.00 1430416.80 GENERAL ELECTRIC 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 24555.00 656600.70 GLDM SACHS DEP-K 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 17000.00 440640.00 HUNTGTN INGLS IN 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 21380.00 2124744.40 6.2 ING GROEP PDS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 3244.00 82430.04 KODIAK OIL & GAS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1.00 12.75 LAMAR ADVERTISING-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 403622.00 20051940.96 LIBERTY INTER-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 12488.00 830452.00 MARKWEST ENERGY 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 185487.00 11490919.65 MASCO 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1079.00 22982.70 ML PR 7.12% TOPRS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 8473.00 217501.91 NEW RES INV REIT 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1.00 6.32 NUSTAR ENERGY 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 75935.00 4386005.60 PMC-SIERRA 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 85979.00 612170.48 PINNACLE FOODS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 15738.00 498579.84 PRSH ULT MDCAP400 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 72.00 4799.52 RAYTHEON 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 14547.00 1410622.59 SPDR BRC CONV SCRTS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 10479.00 519863.19 SERVICE CORP INTL 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 57748.00 1155537.48 SOHU.COM 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 46600.00 2768972.00 VOYA FINANCIAL 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 32637.00 1181785.77 LAZARD-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 194410.00 9776878.90 COPA HOLDINGS-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 55340.00 7946270.60 Unrated Security 2014-06-06 2014-06-06 Y MUFJ SECS (USA) (NON GOV REPO) N/A N/A N N 87000000.00 87000000.00 0.0008 N 87000000.00 87000000.00 Mitsubishi UFJ Securities (U.S.A.), Inc. Mitsubishi UFJ Securities (U.S.A.), Inc., 0.26% 45G99SGF9 Other Repurchase Agreement N ALERIAN MLP 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 81026.00 1470621.90 ACCESS MIDSTREAM 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 23000.00 1436580.00 ADOBE SYSTEMS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 5287.00 346034.15 ALBANY MOLECUL RESH 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 48475.00 786749.25 AMERICAN STS WATER 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1720.00 51307.60 AMERICAN TOWER REIT 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 461.00 41204.18 APOLLO GLBL MNGMT-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 356400.00 8892180.00 BITAUTO HLDG SP ADR 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 18961.00 845660.60 BLACKSTONE GRP 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 3821.00 119406.25 BROCADE COMM 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 399011.00 3591099.00 BUFFALO WILD WINGS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 5706.00 826913.52 CENTURY ALUMINUM 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 89079.00 1227508.62 CITIGROUP 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 182.00 8604.96 COLONY FINL REIT 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 107.00 2341.16 COUNT 7% CS 36 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 18846.00 486038.34 DCP MIDSTREAM 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 90167.00 4797786.07 DSW-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 193706.00 4790349.38 EXTRA SP ST REIT 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 203911.00 10666584.41 GAM & LEISURE-REIT 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 108.00 3654.72 HCC INSURANCE HLDGS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 20098.00 946012.86 HILLSHIRE BRANDS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 5782.00 305058.32 HUNTGTN INGLS IN 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 40825.00 4057188.50 ICU MEDICAL 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 11600.00 702148.00 6.125 ING PDS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 69635.00 1786607.45 JPM AL MLP ETN 24-E 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 33502.00 1646288.28 LAMAR ADVERTISING-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1996.00 99161.28 LIBERTY INTER-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 41636.00 2768794.00 MKET VECT GLD MIN 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 76409.00 1699336.16 MARKWEST ENERGY 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 138803.00 8598845.85 NEW RES INV REIT 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 6798.00 42963.36 PMC-SIERRA 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1.00 7.12 PLAINS ALL-AMERN LP 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 20735.00 1163233.50 PWRSHS DB CMDTY IDX 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 15765.00 413515.95 REGAL-BELOIT 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 4900.00 377888.00 REGIONS FINL DEP-B 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 133115.00 3386445.60 RUTH'S HOSPITALITY 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 831.00 10080.03 SPDR BRC CONV SCRTS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 4559.00 226171.99 SERVICE CORP INTL 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 86953.00 1739929.53 SPIRIT AERO HLDG-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 31400.00 1029920.00 VODAFONE GRP SP ADR 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 7800.00 273312.00 VOYA FINANCIAL 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 8070.00 292214.70 LAZARD-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 30590.00 1538371.10 COPA HOLDINGS-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 37286.00 5353896.74 Unrated Security 2014-06-06 2014-06-06 Y MUFJ SECS (USA) (NON GOV REPO) N/A N/A N N 73000000.00 73000000.00 0.0006 N 73000000.00 73000000.00 Mitsubishi UFJ Securities (U.S.A.), Inc. Mitsubishi UFJ Securities (U.S.A.), Inc., 0.26% 45G99SFY9 Other Repurchase Agreement N ALERIAN MLP 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 63041.00 1144194.15 BUFFALO WILD WINGS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 4113.00 596055.96 CHENIERE ENERGY 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 62698.00 3919878.96 CITIGROUP 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 3190.00 150823.20 ENERGY TRANSFER EQ 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 43200.00 2189376.00 ENTERPRISE PRODUCTS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 7945.00 586976.60 EXTRA SP ST REIT 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 52259.00 2733668.29 FURIEX PHARMA 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 2874.00 297976.32 GENERAL ELECTRIC 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 795.00 21258.30 HCA HLDGS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 20400.00 1089156.00 HILLSHIRE BRANDS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 3172.00 167354.72 HUNTGTN INGLS IN 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 23700.00 2355306.00 6.2 ING GROEP PDS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 43509.00 1109295.69 LAMAR ADVERTISING-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 10.00 496.80 LIBERTY INTER-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 5880.00 391020.00 MARKWEST ENERGY 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 54261.00 3361468.95 NUSTAR ENERGY 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 71379.00 4122851.04 PMC-SIERRA 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 9830.00 69989.60 PLAINS ALL-AMERN LP 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 86455.00 4850125.50 RUTH'S HOSPITALITY 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 45.00 545.85 SERVICE CORP INTL 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 176.00 3521.76 VIMPELCOM SP ADR 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1522.00 12723.92 ASPEN INSURANCE HLD 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 23198.00 1065948.10 COPA HOLDINGS-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 32.00 4594.88 Unrated Security 2014-06-06 2014-06-06 Y MUFJ SECS (USA) (NON GOV REPO) N/A N/A N N 28000000.00 28000000.00 0.0002 N 28000000.00 28000000.00 Mitsubishi UFJ Securities (U.S.A.), Inc. Mitsubishi UFJ Securities (U.S.A.), Inc., 0.29% 45G99SGD4 Other Repurchase Agreement N ABBVIE INC 2017-11-06 2017-11-06 1.75 - 1.75 Other Instrument CORPORATE 194590.00 196581.95 AETNA INC MERGED INTO ING GROEP NV 12/31/2000 2023-08-15 2023-08-15 7.25 - 7.25 Other Instrument CORPORATE 6344.00 8081.28 AVISTA CORP 2037-07-01 2037-07-01 5.7 - 5.7 Other Instrument CORPORATE 66115.00 78542.75 BEAM INC 2018-06-15 2018-06-15 1.75 - 1.75 Other Instrument CORPORATE 279.00 277.98 CALIFORNIA STATEWIDE CMNTYS DEV AUTH REV 2015-11-01 2015-11-01 5 - 5 Other Municipal Debt 88733.00 94866.92 CONTRA COSTA CNTY CALIF PENSION OBLIG 2022-06-01 2022-06-01 5.47 - 5.47 Other Municipal Debt 17560000.00 19207445.03 CRANE CO 2023-12-15 2023-12-15 4.45 - 4.45 Other Instrument CORPORATE 815613.00 879823.49 DALLAS FORT WORTH TEX INTL ARPT REV 2038-11-01 2042-11-01 5 - 5 Other Municipal Debt 11380000.00 12018387.51 EXPORT IMPORT BK KOREA 2020-06-29 2020-06-29 5.125 - 5.125 Other Instrument CORPORATE 3078.00 3566.47 GOLDCORP INC NEW 2018-03-15 2018-03-15 2.125 - 2.125 Other Instrument CORPORATE 640000.00 644273.33 GOLDMAN SACHS CAP I 2034-02-15 2034-02-15 6.345 - 6.345 Other Instrument CORPORATE 566538.00 656898.69 HANA BK SR MEDIUM TERM NT PROGRAM REG S 2017-10-25 2017-10-25 3.5 - 3.5 Other Instrument CORPORATE 115.00 121.85 INTERNATIONAL BUSINESS MACHS CORP 2024-02-12 2024-02-12 3.625 - 3.625 Other Instrument CORPORATE 19650.00 20427.45 KT CORP MEDIUM TERM 2014-06-24 2014-06-24 5.875 - 5.875 Other Instrument CORPORATE 63515.00 65313.64 KANSAS ST DEV FIN AUTH REV 2034-05-01 2034-05-01 5.501 - 5.501 Other Municipal Debt 20600000.00 22891366.04 NEW JERSEY ECONOMIC DEV AUTH ST PENSION FDG REV 2029-02-15 2029-02-15 7.425 - 7.425 Other Municipal Debt 13734061.00 18273666.03 NEW YORK N Y CITY TRANSITIONAL FIN AUTH REV FOR ISSUES DTD PRIOR TO 02/10/11 SEE 64971M FOR FUTURE ISSUS SEE 64971W 2042-05-01 2042-05-01 5 - 5 Other Municipal Debt 5000000.00 5569688.89 NEW YORK ST DORM AUTH ST PERS INCOME TAX REV FOR ISSUES DATED PRIOR TO 10/14/11 SEE 649902 2024-02-15 2024-02-15 5 - 5 Other Municipal Debt 1405376.00 1713054.97 OGLETHORPE PWR CORP 2031-01-01 2031-01-01 6.191 - 6.191 Other Instrument CORPORATE 1328507.00 1555474.27 ORACLE CORP FORMERLY ORACLE SYS CORP TO 06/01/19 2039-07-08 2039-07-08 6.125 - 6.125 Other Instrument CORPORATE 267988.00 346537.89 OREGON ST 2023-06-01 2023-06-01 5.762 - 5.762 Other Municipal Debt 19286890.00 23344271.98 SANTA CLARA CNTY CALIF PENSION FDG 2036-08-01 2036-08-01 6.001 - 6.001 Other Municipal Debt 14810000.00 16265921.34 SKYWAY CONCESSION COMPANY 2026-06-30 2026-06-30 N/A Other Instrument CORPORATE 3329141.00 2685178.89 UNIVERSITY CALIF REVS 2026-05-15 2026-05-15 5.75 - 5.75 Other Municipal Debt 2180000.00 2649998.92 Unrated Security 2014-06-06 2014-06-06 Y MUFJ SECS (USA) (NON GOV REPO) N/A N/A N N 123000000.00 123000000.00 0.0011 N 123000000.00 123000000.00 Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 0.21% 48S99LTG9 Other Repurchase Agreement N US TREASURY 2015-05-15 2022-11-15 0 - 0.375 Treasury Debt 2483950.00 2468014.46 FEDERAL HOME LOAN MORTGAGE CORP 2021-12-01 2047-10-15 0 - 10.996 Government Agency Debt 2342350128.00 199112840.41 FEDERAL NATIONAL MORTGAGE ASSOC 2032-10-25 2044-05-01 3 - 6.908 Government Agency Debt 4348267973.00 286853736.23 GOVERNMENT NATIONAL MORTAGE ASSOC 2037-06-20 2043-11-20 4.101 - 6.501 Government Agency Debt 1561135695.00 134957047.82 AMERICAN EXPRESS CR CORP MEDIUM TERM NTS BOOK EN 2015-09-15 2015-09-15 2.75 - 2.75 Other Instrument CORPORATE 1000000.00 1034889.17 AMGEN INC FORMERLY AMGEN TO 02/17/1987 2016-11-15 2016-11-15 2.5 - 2.5 Other Instrument CORPORATE 140000.00 145498.03 BANCO BRADESCO S A GRAND CAYMAN BRH GLOBAL MEDIU 2016-05-16 2016-05-16 4.125 - 4.125 Other Instrument CORPORATE 2000000.00 2091208.33 BANK AMER CORP 2019-04-01 2023-01-11 2.65 - 3.3 Other Instrument CORPORATE 512000.00 517187.25 BANQUE FEDERATIVE DU CR MUTUEL MEDIUM TERM SR NT 2017-01-20 2017-01-20 1.7 - 1.7 Other Instrument CORPORATE 120000.00 121919.87 CONTINENTAL RES INC 2024-06-01 2024-06-01 3.8 - 3.8 Other Instrument CORPORATE 15000000.00 15224250.00 DOMINION RES INC VA NEW 2015-07-15 2015-07-15 5.15 - 5.15 Other Instrument CORPORATE 600000.00 642001.50 EOG RES INC 2016-02-01 2016-02-01 2.5 - 2.5 Other Instrument CORPORATE 5000.00 5198.22 ECOPETROL SA 2045-05-28 2045-05-28 5.875 - 5.875 Other Instrument CORPORATE 4000.00 4106.31 ENTERPRISE PRODS OPER L P 2066-08-01 2066-08-01 8.375 - 8.375 Other Instrument CORPORATE 375000.00 434131.51 ENTERPRISE PRODS OPER LLC 2043-02-15 2043-02-15 4.45 - 4.45 Other Instrument CORPORATE 1599000.00 1591003.67 FPL GROUP CAP INC 2015-09-01 2015-09-01 2.6 - 2.6 Other Instrument CORPORATE 15000.00 15473.82 LABORATORY CORP AMER HLDGS 2017-08-23 2017-08-23 2.2 - 2.2 Other Instrument CORPORATE 5000.00 5138.14 LLOYDS TSB BK PLC 2017-03-28 2017-03-28 4.2 - 4.2 Other Instrument CORPORATE 70000.00 76498.33 MCKESSON CORP NEW REORGANIZED AS MCKESSON HBOC I 2017-03-10 2017-03-10 1.292 - 1.292 Other Instrument CORPORATE 40000.00 40261.24 MIDAMERICAN ENERGY HLDGS CO NEW 2017-05-15 2017-05-15 1.1 - 1.1 Other Instrument CORPORATE 400000.00 399104.00 MIZUHO FINL GROUP CAYMAN 3 LTD 2024-03-27 2024-03-27 N/A Other Instrument CORPORATE 4000000.00 4170480.00 NIPPON TELEG & TEL CORP 2017-07-18 2017-07-18 1.4 - 1.4 Other Instrument CORPORATE 275000.00 278452.17 PERRIGO CO PLC FORMERLY PERRIGO CO LTD TO 11/27/ 2016-11-08 2016-11-08 1.3 - 1.3 Other Instrument CORPORATE 7500000.00 7509483.33 PETROBAS INTL FIN CO 2015-02-06 2041-01-27 2.875 - 6.75 Other Instrument CORPORATE 594000.00 637170.95 PETROBRAS GLOBAL FIN B V 2016-05-20 2043-05-20 1.848 - 6.25 Other Instrument CORPORATE 411000.00 410932.08 PRIVATE EXPT FDG CORP 2017-09-15 2017-09-15 5.45 - 5.45 Other Instrument CORPORATE 2959182.00 3404314.48 SPECTRA ENERGY PARTNERS LP 2043-09-25 2043-09-25 5.95 - 5.95 Other Instrument CORPORATE 1155499.00 1392876.69 UIL HLDG CORP 2020-10-01 2020-10-01 4.625 - 4.625 Other Instrument CORPORATE 250000.00 266374.97 BANK OF TOKYO-MITSU 2017-02-23 2017-02-23 2.35 - 2.35 Other Instrument CORPORATE 3115000.00 3210007.50 BANCO BTG PACTUAL S.A. 2016-07-08 2016-07-08 4.875 - 4.875 Other Instrument CORPORATE 250000.00 264182.29 2.25% BD REDEEM 29/ 2016-07-29 2016-07-29 2.25 - 2.25 Other Instrument CORPORATE 100000.00 101000.00 SR NT REG S 2023-01-20 2023-01-20 4.875 - 4.875 Other Instrument CORPORATE 300000.00 302281.25 PETROBRAS ENERGIA S 2017-05-15 2017-05-15 5.875 - 5.875 Other Instrument CORPORATE 58000.00 61331.98 First Tier Security 2014-06-02 2014-06-02 N N N 648000000.00 648000000.00 0.0056 N 648000000.00 648000000.00 Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 0.30% 48S99LSN5 Other Repurchase Agreement N 51-100 2014-07-15 2049-01-01 0 - 1.625 Other Instrument CORPORATE 9207789.00 87780332.69 First Tier Security 2014-06-02 2014-06-02 Y MIZUHO SECS USA (NON GOV REPO) N/A N/A N N 82000000.00 82000000.00 0.0007 N 82000000.00 82000000.00 Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 0.30% 48S99LSY1 Other Repurchase Agreement N 51-100 2049-01-01 2049-01-01 N/A Other Instrument CORPORATE 3867457.00 132846647.54 First Tier Security 2014-06-06 2014-06-06 Y MIZUHO SECS USA (NON GOV REPO) N/A N/A N N 123000000.00 123000000.00 0.0011 N 123000000.00 123000000.00 Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 0.52% 48S99LRK2 Other Repurchase Agreement N US TREASURY 2018-11-30 2019-02-15 1.375 - 8.875 Treasury Debt 1147000.00 1193491.84 FEDERAL HOME LOAN BANK 2015-03-13 2015-03-13 2.75 - 2.75 Government Agency Debt 1225000.00 1257440.38 FEDERAL HOME LOAN MORTGAGE CORP 2028-07-15 2040-03-15 0.52 - 6.548 Government Agency Debt 498393189.00 9019121.72 FEDERAL NATIONAL MORTGAGE ASSOC 2035-10-25 2044-05-01 3.5 - 7.128 Government Agency Debt 1472610649.00 21437342.85 GOVERNMENT NATIONAL MORTAGE ASSOC 2033-02-20 2038-11-20 5.601 - 6.798 Government Agency Debt 315327387.00 9314866.70 CB 144A L.A. ARENA FDG 2026-12-15 2026-12-15 N/A Other Instrument ASSET BACKED 70.00 41.38 First Tier Security 2014-06-05 2014-06-05 Y MIZUHO SECS USA (NON GOV REPO) N/A N/A N N 41000000.00 41000000.00 0.0004 N 41000000.00 41000000.00 Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 0.91% 48S99LMG6 Other Repurchase Agreement N US TREASURY 2014-09-30 2014-09-30 0.25 - 0.25 Treasury Debt 2117400.00 2119591.16 FEDERAL HOME LOAN MORTGAGE CORP 2027-03-15 2043-08-15 2.5 - 6.498 Government Agency Debt 68681912.00 6592239.38 FEDERAL NATIONAL MORTGAGE ASSOC 2027-02-25 2043-12-25 3 - 6.618 Government Agency Debt 253223375.00 27425319.75 ADJUSTABLE RATE MORTGAGE TRUST 2035-11-25 2035-11-25 0.48 - 0.48 Other Instrument MORTGAGE 4308570.00 472274.20 BANK AMER CORP 2023-01-11 2023-01-11 3.3 - 3.3 Other Instrument CORPORATE 4853000.00 4840778.53 CIT MORTGAGE LOAN TRUST 2037-10-25 2037-10-25 1.652 - 1.652 Other Instrument ASSET BACKED 45483426.00 34566054.42 CWALT ALTERNATIVE LOAN TRUST 2035-11-20 2035-11-20 0.479 - 0.479 Other Instrument MORTGAGE 6212087.00 1858267.18 CHESAPEAKE ENERGY CORP 2015-02-15 2015-02-15 9.5 - 9.5 Other Instrument CORPORATE 54000.00 58844.25 CHESAPEAKE FUNDING 2023-11-07 2023-11-07 2.153 - 2.153 Other Instrument ASSET BACKED 250000.00 253443.51 DENBURY RES INC DEL FOR FUTURE ISSUES SEE 247916 2023-07-15 2023-07-15 4.625 - 4.625 Other Instrument CORPORATE 149939.00 146729.37 GSAA HOME EQUITY TRUST 2036-06-25 2036-06-25 5.825 - 6.296 Other Instrument MORTGAGE 6470577.00 2655678.70 MASTR ADJUSTABLE RATE MORTGAGES 2046-04-25 2046-04-25 0.36 - 0.36 Other Instrument MORTGAGE 16205946.00 3146223.62 OPTION ONE MORTGAGE LOAN 2035-12-25 2036-01-25 0.51 - 0.57 Other Instrument ASSET BACKED 3083911.00 1968282.34 VALE OVERSEAS LTD 2036-11-21 2036-11-21 6.875 - 6.875 Other Instrument CORPORATE 38000.00 42426.57 WELLS FARGO MORTGAGE BACKED SECURITIES TRUST 2035-06-25 2035-06-25 2.619 - 2.619 Other Instrument MORTGAGE 252899.00 175283.96 5.125% BD REDEEM 28 2023-03-28 2023-03-28 5.125 - 5.125 Other Instrument CORPORATE 131000.00 129863.76 GTD FIXED RT SR REG 2023-03-14 2023-03-14 5 - 5 Other Instrument CORPORATE 25000.00 24201.39 5.75% BD REDEEM 28/ 2022-09-28 2022-09-28 5.75 - 5.75 Other Instrument CORPORATE 100000.00 97375.00 SR SECD NT REG S 2018-06-15 2018-06-15 9.5 - 9.5 Other Instrument CORPORATE 200000.00 238958.33 SR NT REG S 2017-07-24 2017-07-24 8.375 - 8.375 Other Instrument CORPORATE 60000.00 63000.00 JBS SA 2016-08-04 2016-08-04 10.5 - 10.5 Other Instrument CORPORATE 100000.00 117633.33 4.90% BD REDEEM 24/ 2023-04-24 2023-04-24 4.9 - 4.9 Other Instrument CORPORATE 148644.00 145098.84 8.875% BD REDEEM 19 2018-12-19 2018-12-19 8.875 - 8.875 Other Instrument CORPORATE 338000.00 370850.55 FOREST LABORATORIES I 4.875 15FEB21 2021-02-15 2021-02-15 N/A Other Instrument CORPORATE 275905.00 303969.71 First Tier Security 2014-07-21 2014-07-21 N N N 83000000.00 83000000.00 0.0007 Y 83000000.00 83000000.00 Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 0.91% 48S99LMP6 Other Repurchase Agreement N FEDERAL HOME LOAN MORTGAGE CORP 2040-03-15 2043-08-15 3.5 - 5.798 Government Agency Debt 7905879.00 1840362.77 FEDERAL NATIONAL MORTGAGE ASSOC 2032-12-25 2043-01-25 6.548 - 6.65 Government Agency Debt 22885297.00 5134204.66 GOVERNMENT NATIONAL MORTAGE ASSOC 2036-04-20 2044-01-16 3 - 6.301 Government Agency Debt 119030468.00 9101335.06 CWALT ALTERNATIVE LOAN TRUST 2046-07-20 2046-07-20 0.349 - 0.349 Other Instrument MORTGAGE 7962000.00 1804380.19 CWALT ALTERNATIVE LOAN TRUST 2047-04-25 2047-04-25 0.33 - 0.33 Other Instrument MORTGAGE 158620.00 14468.87 AMERICAN HOME MORTGAGE INVESTMENT TRUST 2045-11-25 2045-11-25 0.91 - 0.91 Other Instrument MORTGAGE 29442000.00 2618960.70 AVIS BUDGET CAR RENT LLC / AVIS BUDGET FIN INC 2017-12-01 2017-12-01 2.986 - 2.986 Other Instrument CORPORATE 255000.00 258810.56 B/E AEROSPACE INC FOR EQUITY ISSUES SEE 073302 & 2020-10-01 2020-10-01 6.875 - 6.875 Other Instrument CORPORATE 1000000.00 1098767.36 BANCO BMG S A 2019-11-05 2019-11-05 9.95 - 9.95 Other Instrument CORPORATE 1500000.00 1671614.58 CIT MORTGAGE LOAN TRUST 2037-10-25 2037-10-25 1.652 - 1.652 Other Instrument ASSET BACKED 18085455.00 13744409.27 CSMC MORTGAGE-BACKED TRUST 2036-11-25 2036-11-25 6 - 6 Other Instrument MORTGAGE 318015.00 142555.91 CHESAPEAKE ENERGY CORP 2022-04-15 2022-04-15 4.875 - 4.875 Other Instrument CORPORATE 105256.00 109716.22 CHRYSLER GROUP LLC / CG CO-ISSUER INC 2019-06-15 2019-06-15 8 - 8 Other Instrument CORPORATE 668000.00 754283.33 COBALT CMBS COMMERCIAL MORTGAGE TRUST 2047-04-17 2047-04-17 5.568 - 5.568 Other Instrument MORTGAGE 1000000.00 1027711.00 DSLA MORTGAGE LOAN TRUST 2045-03-19 2045-03-19 0.481 - 0.481 Other Instrument MORTGAGE 45216000.00 284289.93 DENBURY RES INC DEL FOR FUTURE ISSUES SEE 247916 2023-07-15 2023-07-15 4.625 - 4.625 Other Instrument CORPORATE 3702061.00 3622813.76 GSR MORTGAGE LOAN TRUST 2035-07-25 2035-07-25 2.593 - 2.593 Other Instrument MORTGAGE 10896456.00 1522383.49 HARBORVIEW MORTGAGE LOAN TRUST 2047-11-25 2047-11-25 1.15 - 1.15 Other Instrument MORTGAGE 34961333.00 163290.73 HOME EQUITY ASSET TRUST 2037-03-25 2037-03-25 0.37 - 0.37 Other Instrument ASSET BACKED 12047714.00 3040293.50 RAST (RESIDENTIAL ASSET SECURITIZATION TRUST) 2035-12-25 2035-12-25 5.5 - 5.5 Other Instrument ASSET BACKED 5000000.00 3270350.41 ITAU UNIBANCO HLDG SA MEDIUM TERM NTS BOOK ENTRY 2020-04-15 2020-04-15 6.2 - 6.2 Other Instrument CORPORATE 15000.00 16466.25 KINDER MORGAN FIN CO LLC 2018-01-15 2018-01-15 6 - 6 Other Instrument CORPORATE 130000.00 145525.90 LAREDO PETE INC NEW FORMERLY LAREDO PETE HLDGS I 2019-02-15 2019-02-15 9.5 - 9.5 Other Instrument CORPORATE 265000.00 291500.00 LUMINENT MORTGAGE TRUST 2046-02-25 2046-02-25 0.43 - 0.43 Other Instrument MORTGAGE 18200647.00 176638.42 MAGELLAN MIDSTREAM PARTNERS LP 2016-10-15 2016-10-15 5.65 - 5.65 Other Instrument CORPORATE 1000.00 1112.85 MERRILL LYNCH HOME EQUITY LOAN TRUST 2037-03-25 2037-03-25 0.42 - 0.42 Other Instrument ASSET BACKED 4520901.00 2921819.14 MORGAN STANLEY MORTGAGE LOAN TRUST 2035-12-25 2035-12-25 6 - 6 Other Instrument MORTGAGE 4000000.00 1434749.96 MORGAN STANLEY ABS 2036-09-25 2036-09-25 0.38 - 0.38 Other Instrument ASSET BACKED 8695000.00 5028238.31 MORGAN STANLEY MORTGAGE LOAN TRUST 2037-06-25 2037-06-25 3.303 - 3.303 Other Instrument MORTGAGE 22199809.00 5036536.45 OWNIT MORTGAGE LOAN TRUST 2037-10-25 2037-10-25 0.28 - 0.31 Other Instrument ASSET BACKED 32409000.00 13232767.34 RALI 2035-12-25 2035-12-25 0.355 - 0.355 Other Instrument MORTGAGE 540112378.00 2080767.34 STRUCTURED ASSET INVESTMENT LOAN TRUST 2035-07-25 2035-07-25 0.9 - 0.9 Other Instrument MORTGAGE 6025.00 1801.92 LEHMAN XS TRUST 2035-08-25 2035-08-25 0.43 - 0.43 Other Instrument MORTGAGE 71000027.00 5571916.56 WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES, WMALT 2036-02-25 2036-02-25 0.472 - 0.472 Other Instrument MORTGAGE 40000000.00 196215.58 BANCO BRADESCO S.A. 2022-03-01 2022-03-01 5.75 - 5.75 Other Instrument CORPORATE 300000.00 315750.00 CSN ISLANDS IX CORP 2015-01-15 2015-01-15 10 - 10 Other Instrument CORPORATE 138000.00 144624.00 MARFRIG OVERSEAS LTD 2020-05-04 2020-05-04 9.5 - 9.5 Other Instrument CORPORATE 6000.00 6491.17 BANCO BEMGE S.A. 2019-11-05 2019-11-05 9.95 - 9.95 Other Instrument CORPORATE 1000.00 1114.41 5.875% NT REDEEM 19 2023-01-19 2023-01-19 5.875 - 5.875 Other Instrument CORPORATE 27000.00 28360.22 First Tier Security 2014-07-23 2014-07-23 N N N 82000000.00 82000000.00 0.0007 Y 82000000.00 82000000.00 Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 0.91% 48S99LQH0 Other Repurchase Agreement N US TREASURY 2015-02-05 2018-11-30 0 - 1.375 Treasury Debt 950500.00 956427.74 FEDERAL HOME LOAN MORTGAGE CORP 2040-03-15 2040-03-15 3.5 - 3.5 Government Agency Debt 676387.00 706347.86 GOVERNMENT NATIONAL MORTAGE ASSOC 2036-04-20 2036-04-20 3 - 3 Government Agency Debt 95412.00 99183.41 AVIS BUDGET CAR RENT LLC / AVIS BUDGET FIN INC 2017-12-01 2017-12-01 2.986 - 2.986 Other Instrument CORPORATE 2000000.00 2029886.75 BALL CORP 2021-05-15 2021-05-15 5.75 - 5.75 Other Instrument CORPORATE 881000.00 939274.48 CHS / CMNTY HEALTH SYS INC 2021-08-01 2021-08-01 5.125 - 5.125 Other Instrument CORPORATE 500000.00 516255.21 CIT MORTGAGE LOAN TRUST 2037-10-25 2037-10-25 1.652 - 1.652 Other Instrument ASSET BACKED 101857156.00 77408416.80 COMM 2047-04-10 2047-04-10 4.278 - 4.278 Other Instrument MORTGAGE 4618482.00 4903782.57 COUNTRYWIDE HOME EQUITY LOAN TRUST 2035-09-25 2035-09-25 0.855 - 0.855 Other Instrument ASSET BACKED 9500000.00 4888231.04 CONTINENTAL RES INC 2044-06-01 2044-06-01 4.9 - 4.9 Other Instrument CORPORATE 500000.00 520540.00 ELLINGTON LOAN ACQUISITION TRUST 2037-05-25 2037-05-25 1.85 - 1.85 Other Instrument ASSET BACKED 7500000.00 420472.08 FIRST FRANKLIN MORTGAGE LOAN TRUST ABS CERTIFICATES 2035-01-25 2035-01-25 1.35 - 1.35 Other Instrument ASSET BACKED 9688000.00 4641664.59 GRUPO TELEVISA S A B FORMERLY GRUPO TELEVISA SA 2040-01-15 2040-01-15 6.625 - 6.625 Other Instrument CORPORATE 16000.00 19963.10 MASTR ASSET BACKED SECURITIES TRUST 2036-08-25 2036-08-25 0.26 - 0.26 Other Instrument ASSET BACKED 4151924.00 1449584.03 MASTR ADJUSTABLE RATE MORTGAGES 2046-04-25 2046-04-25 0.36 - 0.36 Other Instrument MORTGAGE 9143066.00 1775035.55 MCDERMOTT INTL INC 2021-05-01 2021-05-01 8 - 8 Other Instrument CORPORATE 3000.00 3074.33 MERRILL LYNCH MORTGAGE TRUST 2041-10-12 2041-10-12 5.569 - 5.569 Other Instrument MORTGAGE 1533000.00 823567.30 MORGAN STANLEY CAPITAL I 2049-04-15 2049-04-15 5.869 - 5.869 Other Instrument MORTGAGE 5000000.00 5333488.75 NOMURA HOME EQUITY LOAN TRUST 2035-05-25 2035-05-25 0.66 - 0.66 Other Instrument ASSET BACKED 4210643.00 2547900.78 SPECIALTY UNDERWRITING AND RESIDENTIAL FINANCE TRUST (SURF) 2037-06-25 2037-06-25 0.3 - 0.3 Other Instrument ASSET BACKED 14393157.00 7565460.95 SASCO MORTGAGE LOAN TRUST 2037-06-25 2037-06-25 0.35 - 0.35 Other Instrument ASSET BACKED 42936000.00 11973030.39 SASCO MORTGAGE LOAN TRUST 2037-06-25 2037-06-25 0.4 - 0.4 Other Instrument ASSET BACKED 21969000.00 9679.12 VALE S A 2042-09-11 2042-09-11 5.625 - 5.625 Other Instrument CORPORATE 17000.00 16906.90 WELLS FARGO MORTGAGE BACKED SECURITIES TRUST 2035-06-25 2035-06-25 2.619 - 2.619 Other Instrument MORTGAGE 318154.00 220512.12 WHITING PETE CORP 2019-03-15 2019-03-15 5 - 5 Other Instrument CORPORATE 55000.00 58529.17 7.75% NT REDEEM 28/ 2020-10-28 2020-10-28 7.75 - 7.75 Other Instrument CORPORATE 200000.00 216317.78 BRASKEM FINANCE LTD 2099-12-29 2099-12-29 7.375 - 7.375 Other Instrument CORPORATE 36000.00 36885.13 GTD SR NT REG S 2023-11-06 2023-11-06 7.125 - 7.125 Other Instrument CORPORATE 105000.00 112192.50 MARFRIG OVERSEAS LTD 2020-05-04 2020-05-04 9.5 - 9.5 Other Instrument CORPORATE 200000.00 216372.22 ODEBRECHT DRILLING NOR 6.35 30JUN21 2021-06-30 2021-06-30 N/A Other Instrument CORPORATE 43000.00 46975.71 4% BD REDEEM 30/04/ 2018-04-30 2018-04-30 4 - 4 Other Instrument CORPORATE 222450.00 223562.25 9.875% NT REDEEM 24 2017-07-24 2017-07-24 9.875 - 9.875 Other Instrument CORPORATE 500000.00 567281.25 BANCO DO ESTADO DO RIO GRANDE DO SUL S A 2022-02-02 2022-02-02 7.375 - 7.375 Other Instrument CORPORATE 156000.00 164970.00 BANCO INTERNACIONAL DEL PERU S A A 2029-03-19 2029-03-19 N/A Other Instrument CORPORATE 210866.00 228381.79 BANCO MERCANTIL DEL NORTE 2015-07-19 2015-07-19 4.375 - 4.375 Other Instrument CORPORATE 131000.00 137506.79 BBVA BANCOMER S A 2021-03-10 2021-03-10 6.5 - 6.5 Other Instrument CORPORATE 350000.00 396180.56 BBVA BANCOMER S A 2020-04-22 2020-04-22 7.25 - 7.25 Other Instrument CORPORATE 42000.00 47991.42 SR NT REG S 2023-01-20 2023-01-20 4.875 - 4.875 Other Instrument CORPORATE 8000.00 8060.83 GRUPO PAPELERO SCRIBE SA DE CV 2020-04-07 2020-04-07 8.875 - 8.875 Other Instrument CORPORATE 90000.00 89263.44 4.90% BD REDEEM 24/ 2023-04-24 2023-04-24 4.9 - 4.9 Other Instrument CORPORATE 364356.00 355666.11 First Tier Security 2014-08-04 2014-08-04 N N N 123000000.00 123000000.00 0.0011 Y 123000000.00 123000000.00 Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 0.91% 48S99LRS5 Other Repurchase Agreement N US TREASURY 2018-11-30 2018-11-30 1.375 - 1.375 Treasury Debt 1569700.00 1580185.95 FEDERAL HOME LOAN MORTGAGE CORP 2040-03-15 2043-08-15 0.524 - 5.798 Government Agency Debt 338244232.00 5378619.49 FEDERAL NATIONAL MORTGAGE ASSOC 2042-05-25 2046-02-25 0 - 5.908 Government Agency Debt 2024074849.00 16465541.61 AES CORP 2015-10-15 2015-10-15 7.75 - 7.75 Other Instrument CORPORATE 880000.00 958925.00 CWALT ALTERNATIVE LOAN TRUST 2036-10-25 2036-10-25 6.25 - 6.25 Other Instrument MORTGAGE 3719176.00 2241975.36 ALTICE S A 2022-05-15 2022-05-15 7.75 - 7.75 Other Instrument CORPORATE 2000000.00 2095000.00 BANC OF AMERICA FUNDING CORP 2036-07-25 2036-07-25 6 - 6 Other Instrument MORTGAGE 3133000.00 253798.77 BEAR STEARNS ASSET BACKED SECURITIES TRUST 2035-09-25 2035-09-25 0.662 - 0.662 Other Instrument ASSET BACKED 5788000.00 1198579.51 BRASKEM AMER FIN CO 2041-07-22 2041-07-22 7.125 - 7.125 Other Instrument CORPORATE 450000.00 470400.00 CIT MORTGAGE LOAN TRUST 2037-10-25 2037-10-25 1.652 - 1.652 Other Instrument ASSET BACKED 11341362.00 8619098.66 CWALT ALTERNATIVE LOAN TRUST 2035-11-20 2035-11-20 0.479 - 0.479 Other Instrument MORTGAGE 1084683.00 324469.19 CHESAPEAKE ENERGY CORP 2016-03-15 2022-04-15 3.25 - 4.875 Other Instrument CORPORATE 2378448.00 2472666.68 DENBURY RES INC 2022-05-01 2022-05-01 5.5 - 5.5 Other Instrument CORPORATE 322000.00 333538.33 ENERGY XXI GULF COAST INC 2017-12-15 2017-12-15 9.25 - 9.25 Other Instrument CORPORATE 6135000.00 6862892.19 FIRST FRANKLIN MORTGAGE LOAN TRUST ABS CERTIFICATES 2036-07-25 2036-07-25 0.43 - 0.43 Other Instrument ASSET BACKED 9000000.00 26910.04 KODIAK OIL & GAS CORP 2022-02-01 2022-02-01 5.5 - 5.5 Other Instrument CORPORATE 1278736.00 1330755.69 BA CREDIT CARD TRUST 2016-11-15 2016-11-15 1.052 - 1.052 Other Instrument ASSET BACKED 18000000.00 18011947.70 MASTR ADJUSTABLE RATE MORTGAGES 2046-04-25 2046-04-25 0.36 - 0.36 Other Instrument MORTGAGE 3050697.00 592262.55 MERRILL LYNCH HOME EQUITY LOAN TRUST 2036-12-25 2036-12-25 0.55 - 0.55 Other Instrument ASSET BACKED 21759000.00 1225801.73 MIDSTATES PETE CO INC & MIDSTATES PETE CO LLC 2021-06-01 2021-06-01 9.25 - 9.25 Other Instrument CORPORATE 1000000.00 1123493.06 MORGAN STANLEY HOME EQUITY LOAN TRUST 2036-02-25 2036-02-25 0.49 - 0.49 Other Instrument ASSET BACKED 5074913.00 3480502.49 MORGAN STANLEY ABS 2036-09-25 2036-09-25 0.45 - 0.45 Other Instrument ASSET BACKED 43264450.00 7280.52 MORGAN STANLEY MORTGAGE LOAN TRUST 2046-10-25 2046-10-25 5.577 - 5.577 Other Instrument MORTGAGE 5877319.00 2508560.00 NUSTAR LOGISTICS L P 2020-09-01 2020-09-01 4.8 - 4.8 Other Instrument CORPORATE 2000.00 2048.73 RAMP 2033-02-25 2033-02-25 5.35 - 5.35 Other Instrument ASSET BACKED 4810874.00 1089862.85 RITE AID CORP 2020-03-15 2020-03-15 9.25 - 9.25 Other Instrument CORPORATE 361000.00 418496.77 SAMSON INVT CO 2020-02-15 2020-02-15 9.75 - 9.75 Other Instrument CORPORATE 1500000.00 1612656.25 SPECIALTY UNDERWRITING AND RESIDENTIAL FINANCE TRUST (SURF) 2036-09-25 2036-09-25 0.65 - 0.65 Other Instrument ASSET BACKED 4438253.00 2171225.42 WASTE MGMT INC DEL 2039-11-30 2039-11-30 6.125 - 6.125 Other Instrument CORPORATE 340890.00 428471.46 WELLS FARGO MORTGAGE BACKED SECURITIES TRUST 2035-06-25 2035-06-25 2.619 - 2.619 Other Instrument MORTGAGE 617811.00 428203.99 5.125% BD REDEEM 28 2019-01-26 2023-03-28 5.125 - 5.375 Other Instrument CORPORATE 368000.00 369476.23 CSN ISLANDS XI CORP 2019-09-21 2019-09-21 6.875 - 6.875 Other Instrument CORPORATE 300000.00 323453.12 12% NT PERPETUAL US 2099-12-29 2099-12-29 N/A Other Instrument CORPORATE 4000.00 3413.33 SUZANO TRADING LTD 2021-01-23 2021-01-23 5.875 - 5.875 Other Instrument CORPORATE 300000.00 315967.71 4% BD REDEEM 30/04/ 2018-04-30 2018-04-30 4 - 4 Other Instrument CORPORATE 267550.00 268887.75 MARFRIG ALIMENTOS SA 2018-05-09 2018-05-09 8.375 - 8.375 Other Instrument CORPORATE 200000.00 212977.08 SR NT REG S 2020-05-10 2020-05-10 8.375 - 8.375 Other Instrument CORPORATE 75000.00 79312.50 SR NT REG S 2018-08-12 2018-08-12 5.25 - 5.25 Other Instrument CORPORATE 58000.00 59783.50 6.50% NT REDEEM 10/ 2019-12-10 2019-12-10 6.5 - 6.5 Other Instrument CORPORATE 200000.00 218888.89 7.25% NT REDEEM 15/ 2021-01-15 2021-01-15 7.25 - 7.25 Other Instrument CORPORATE 3000.00 3329.06 COMPANHIA DE SANEAM 2020-12-16 2020-12-16 6.25 - 6.25 Other Instrument CORPORATE 100000.00 108605.82 7.50% NT REDEEM 13/ 2019-03-13 2019-03-13 7.5 - 7.5 Other Instrument CORPORATE 357000.00 388609.37 7.75% BD REDEEM 23/ 2021-01-23 2021-01-23 7.75 - 7.75 Other Instrument CORPORATE 100000.00 108484.03 IRSA 2020-07-20 2020-07-20 11.5 - 11.5 Other Instrument CORPORATE 17000.00 19445.40 6.875% NT REDEEM 20 2020-09-20 2020-09-20 6.875 - 6.875 Other Instrument CORPORATE 100000.00 106250.00 CORDOBA(PROVINCE OF) 2017-08-17 2017-08-17 12.375 - 12.375 Other Instrument CORPORATE 251000.00 248278.22 SERVICIOS CORPORATIVOS JAVER 2021-04-06 2021-04-06 9.875 - 9.875 Other Instrument CORPORATE 45000.00 49041.56 YPF SOCIEDAD ANONIMA 2024-04-04 2024-04-04 N/A Other Instrument CORPORATE 307149.00 321695.92 First Tier Security 2014-08-07 2014-08-07 N N N 82000000.00 82000000.00 0.0007 Y 82000000.00 82000000.00 Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 0.92% 48S99LFF6 Other Repurchase Agreement N FEDERAL NATIONAL MORTGAGE ASSOC 2042-05-25 2042-05-25 N/A Government Agency Debt 5038158.00 3286126.64 CWALT ALTERNATIVE LOAN TRUST 2046-07-20 2046-07-20 0.349 - 0.349 Other Instrument MORTGAGE 91424000.00 20718871.41 CIT MORTGAGE LOAN TRUST 2037-10-25 2037-10-25 1.652 - 1.652 Other Instrument ASSET BACKED 143488241.00 109046806.34 WACHOVIA BANK COMMERCIAL MORTGAGE TRUST 2051-02-15 2051-02-15 6.14 - 6.14 Other Instrument MORTGAGE 1500000.00 1679717.25 First Tier Security 2014-06-02 2014-06-02 N N N 124000000.00 124000000.00 0.0011 N 124000000.00 124000000.00 Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 1.03% 48S99LRT3 Other Repurchase Agreement N US TREASURY 2014-09-30 2014-09-30 0.25 - 0.25 Treasury Debt 179600.00 179785.86 FEDERAL HOME LOAN MORTGAGE CORP 2027-06-15 2027-06-15 10.996 - 10.996 Government Agency Debt 12660000.00 6940540.89 FEDERAL NATIONAL MORTGAGE ASSOC 2020-12-01 2045-03-25 0.818 - 6.35 Government Agency Debt 1520180722.00 17279091.92 GOVERNMENT NATIONAL MORTAGE ASSOC 2042-04-20 2043-07-16 4.5 - 5.949 Government Agency Debt 50728249.00 8837803.23 ACCURIDE CORP NEW 2018-08-01 2018-08-01 9.5 - 9.5 Other Instrument CORPORATE 225000.00 244440.63 ACE SECURITIES CORP HOME EQUITY LOAN TRUST 2035-12-25 2035-12-25 0.58 - 0.58 Other Instrument ASSET BACKED 8000000.00 96498.77 CWALT ALTERNATIVE LOAN TRUST 2047-09-25 2047-09-25 0.5 - 0.5 Other Instrument MORTGAGE 12500000.00 2034398.29 ASSET BACKED SECURITIES CORPORATION HOME EQUITY LOAN TRUST 2036-01-25 2036-03-25 0.52 - 0.55 Other Instrument ASSET BACKED,MORTGAGE 23037490.00 10969412.73 BANK AMER CORP 2015-08-01 2015-08-01 4.75 - 4.75 Other Instrument CORPORATE 449737.00 478152.01 BEAR STEARNS ARM TRUST 2035-12-25 2035-12-25 N/A Other Instrument MORTGAGE 3514000.00 835425.33 BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2036-03-25 2036-03-25 0.5 - 0.5 Other Instrument MORTGAGE 43569467.00 4130198.12 COUNTRYWIDE HOME LOANS 2036-03-25 2036-03-25 0.48 - 0.48 Other Instrument MORTGAGE 60000000.00 4755598.04 COUNTRYWIDE HOME LOANS 2035-02-25 2035-05-25 0.63 - 5.411 Other Instrument MORTGAGE 63663321.00 2472869.47 CHESAPEAKE ENERGY CORP 2015-02-15 2015-02-15 9.5 - 9.5 Other Instrument CORPORATE 25000.00 27242.71 CWALT ALTERNATIVE LOAN TRUST 2046-10-25 2046-10-25 0.4 - 0.4 Other Instrument MORTGAGE 15000000.00 3967332.62 FIRST FRANKLIN MORTGAGE LOAN TRUST ABS CERTIFICATES 2036-06-25 2036-06-25 0.73 - 0.73 Other Instrument ASSET BACKED 6275000.00 214883.54 GSAA HOME EQUITY TRUST 2036-01-25 2036-01-25 0.24 - 0.24 Other Instrument MORTGAGE 117705173.00 3703585.37 GREENPOINT MORTGAGE-BACKED PASS-THROUGH CERTIFICATES 2036-04-25 2036-04-25 0.38 - 0.38 Other Instrument MORTGAGE 13090000.00 1543424.93 HSI ASSET SECURITIZATION CORPORATION TRUST 2035-12-25 2035-12-25 0.69 - 0.69 Other Instrument ASSET BACKED 1.00 0.14 HOME EQUITY ASSET TRUST 2036-04-25 2036-04-25 0.59 - 0.59 Other Instrument ASSET BACKED 5500000.00 1703404.69 INDYMAC INDX MORTGAGE LOAN TRUST 2036-03-25 2036-03-25 2.526 - 2.526 Other Instrument MORTGAGE 1031629.00 222445.00 LEHMAN XS TRUST 2035-12-25 2035-12-25 0.45 - 0.45 Other Instrument MORTGAGE 17930027.00 1914425.81 MASTR ASSET BACKED SECURITIES TRUST 2036-01-25 2036-01-25 0.53 - 0.53 Other Instrument ASSET BACKED 3000000.00 583907.67 MORGAN STANLEY HOME EQUITY LOAN TRUST 2035-12-25 2035-12-25 0.61 - 0.61 Other Instrument ASSET BACKED 9000000.00 120335.28 MORGAN STANLEY MORTGAGE LOAN TRUST 2036-06-25 2036-06-25 2.148 - 2.148 Other Instrument MORTGAGE 2876957.00 514392.52 RBSSP RESECURITIZATION TRUST 2036-01-26 2036-01-26 2.365 - 2.365 Other Instrument MORTGAGE 19938504.00 10581272.60 WELLS FARGO MORTGAGE BACKED SECURITIES TRUST 2035-04-25 2035-04-25 2.623 - 2.623 Other Instrument MORTGAGE 13050000.00 998639.36 BANCO BRADESCO S.A. 2021-01-16 2021-01-16 5.9 - 5.9 Other Instrument CORPORATE 41000.00 44155.41 WPE INTL COOPERATIEF 2020-09-30 2020-09-30 10.375 - 10.375 Other Instrument CORPORATE 70000.00 42597.92 BANCO VOTORANTIM SA 2020-01-21 2020-01-21 7.375 - 7.375 Other Instrument CORPORATE 36000.00 40371.38 SUB NT PFD REG S 2022-09-30 2022-09-30 6.75 - 6.75 Other Instrument CORPORATE 100000.00 114625.00 CENTRAIS ELETRICAS 2019-07-30 2021-10-27 5.75 - 6.875 Other Instrument CORPORATE 755927.00 843740.02 CORDOBA(PROVINCE OF) 2017-08-17 2017-08-17 12.375 - 12.375 Other Instrument CORPORATE 301345.00 298077.29 YPF SOCIEDAD ANONIMA 2024-04-04 2024-04-04 N/A Other Instrument CORPORATE 237851.00 249115.89 First Tier Security 2014-09-05 2014-09-05 N N N 82000000.00 82000000.00 0.0007 Y 82000000.00 82000000.00 RBC Capital Markets Co. RBC Capital Markets Co., 0.24% 42T99Q3B9 0000050916 Other Repurchase Agreement N FEDERAL HOME LOAN MORTGAGE CORP 2022-08-15 2043-07-15 3 - 11.73 Government Agency Debt 201441985.00 24597740.08 FEDERAL NATIONAL MORTGAGE ASSOC 2022-07-25 2044-01-01 0 - 11.994 Government Agency Debt 677931335.00 92773780.50 GOVERNMENT NATIONAL MORTAGE ASSOC 2034-10-20 2043-12-20 0 - 11.901 Government Agency Debt 142268101.00 17502457.91 First Tier Security 2014-06-06 2014-06-06 Y RBC CAP MARKETS LLC(NON-GV RP) N/A N/A N N 131000000.00 131000000.00 0.0011 N 131000000.00 131000000.00 RBC Capital Markets Co. RBC Capital Markets Co., 0.29% 42T99QYM1 0000050916 Other Repurchase Agreement N FEDERAL HOME LOAN MORTGAGE CORP 2020-04-15 2043-07-15 0 - 181.26 Government Agency Debt 843448012.00 36464795.11 FEDERAL NATIONAL MORTGAGE ASSOC 2017-02-25 2043-12-25 0 - 26.279 Government Agency Debt 1368829996.00 95505772.86 GOVERNMENT NATIONAL MORTAGE ASSOC 2028-04-16 2044-01-20 0 - 31.956 Government Agency Debt 321098121.00 25594618.74 First Tier Security 2014-06-06 2014-06-06 Y RBC CAP MARKETS LLC(NON-GV RP) N/A N/A N N 153000000.00 153000000.00 0.0013 N 153000000.00 153000000.00 RBC Capital Markets Co. RBC Capital Markets Co., 0.38% 42T99Q2W4 0000050916 Other Repurchase Agreement N 51-100 2015-12-01 2043-01-15 0 - 14 Other Instrument CORPORATE 115226535.00 117736154.58 First Tier Security 2014-06-03 2014-06-03 Y RBC CAP MARKETS LLC(NON-GV RP) N/A N/A N N 109000000.00 109000000.00 0.0009 N 109000000.00 109000000.00 RBC Capital Markets Co. RBC Capital Markets Co., 0.38% 42T99Q2Y0 0000050916 Other Repurchase Agreement N 101-500 2015-12-15 2099-12-29 0 - 12.5 Other Instrument CORPORATE 144905459.00 141494934.52 First Tier Security 2014-06-06 2014-06-06 Y RBC CAP MARKETS LLC(NON-GV RP) N/A N/A N N 131000000.00 131000000.00 0.0011 N 131000000.00 131000000.00 RBC Capital Markets Co. RBC Capital Markets Co., 0.40% 42T99Q2X2 0000050916 Other Repurchase Agreement N 51-100 2017-07-25 2049-12-12 0 - 9 Other Instrument MORTGAGE 251613783.00 47165007.72 First Tier Security 2014-06-03 2014-06-03 Y RBC CAP MARKETS LLC(NON-GV RP) N/A N/A N N 44000000.00 44000000.00 0.0004 N 44000000.00 44000000.00 RBS Securities, Inc. RBS Securities, Inc., 0.60% 48X99EAC8 0000808379 Other Repurchase Agreement N FEDERAL HOME LOAN MORTGAGE CORP 2036-02-15 2040-08-15 2.5 - 6.549 Government Agency Debt 147294507.00 85555251.12 FEDERAL NATIONAL MORTGAGE ASSOC 2028-04-18 2044-01-25 1.788 - 8.449 Government Agency Debt 859848858.00 20740640.67 GOVERNMENT NATIONAL MORTAGE ASSOC 2031-05-16 2064-02-20 0.551 - 7.349 Government Agency Debt 535132987.00 77172614.77 ALTERNATIVE LOAN TRUST 2007-OA 2047-03-25 2047-03-25 1.335 - 1.335 Other Instrument GOVERNMENT AGENCY 199302318.00 2842691.54 BEAR STEARNS ASSET BACKED SECU 2034-10-25 2034-10-25 6.95 - 6.95 Other Instrument GOVERNMENT AGENCY 31481090.00 1136758.20 CSMC SERIES 2009-9R 2036-10-26 2036-10-26 2.406 - 2.406 Other Instrument GOVERNMENT AGENCY 17000000.00 8617201.92 CSMC SERIES 2010-RR4 2040-02-15 2040-02-15 5.383 - 5.383 Other Instrument GOVERNMENT AGENCY 500000.00 425212.50 DEUTSCHE MTG SECURITIES INC. R 2047-06-28 2047-06-28 3.896 - 3.896 Other Instrument GOVERNMENT AGENCY 20000000.00 20322904.59 J P MORGAN CHASE COML MTG SECS 2028-12-15 2028-12-15 2.751 - 2.751 Other Instrument GOVERNMENT AGENCY 10350000.00 10383785.59 MORGAN STANLEY ACES SPC 2047-04-15 2047-04-15 3.654 - 3.654 Other Instrument GOVERNMENT AGENCY 3000000.00 3150343.54 WFRBS COML MTG TR 2013-C15 2046-08-15 2046-08-15 3.881 - 3.881 Other Instrument GOVERNMENT AGENCY 265000.00 279965.44 MBIA INSURANCE CORPORATION 2033-01-15 2033-01-15 14 - 14 Other Instrument CORPORATE 2706000.00 2244927.70 Second Tier Security 2014-06-03 2014-06-03 N N N 225000000.00 225000000.00 0.0019 N 225000000.00 225000000.00 SG Americas Securities, LLC SG Americas Securities, LLC, 0.25% 60S99BYW5 Other Repurchase Agreement N ACE CAP TR II 2030-04-01 2030-04-01 9.7 - 9.7 Other Instrument CORPORATE 7155826.00 10688351.18 AGRIUM INC 2036-05-23 2036-05-23 7.125 - 7.125 Other Instrument CORPORATE 8589506.00 11069171.12 ALTRIA GROUP INC 2022-08-09 2022-08-09 2.85 - 2.85 Other Instrument CORPORATE 51267.00 49978.02 ANHEUSER BUSCH INBEV WORLDWIDE INC 2022-07-15 2022-07-15 2.5 - 2.5 Other Instrument CORPORATE 137310.00 134196.50 APACHE CORP 2017-01-15 2017-01-15 5.625 - 5.625 Other Instrument CORPORATE 52099.00 59308.66 APPLE INC FORMERLY APPLE COMPUTER INC TO 01/09/ 2044-05-06 2044-05-06 4.45 - 4.45 Other Instrument CORPORATE 2525724.00 2595450.82 ARROW ELECTRS INC 2018-06-01 2018-06-01 6.875 - 6.875 Other Instrument CORPORATE 5484.00 6454.14 BNSF FDG TR I 2055-12-15 2055-12-15 6.613 - 6.613 Other Instrument CORPORATE 4142000.00 4684803.93 BANK AMER CORP 2019-06-01 2019-06-01 7.625 - 7.625 Other Instrument CORPORATE 15930353.00 20385327.07 CATERPILLAR INC FORMERLY CATERPILLAR TRACTOR INC 2024-05-15 2024-05-15 3.4 - 3.4 Other Instrument CORPORATE 6705.00 6826.35 CITIGROUP INC 2014-11-05 2019-05-22 0.502 - 8.5 Other Instrument CORPORATE 19278285.00 23608099.70 CREDIT SUISSE MEDIUM TERM SUB NTS BOOK ENTRY 2020-08-05 2020-08-05 4.375 - 4.375 Other Instrument CORPORATE 307621.00 340242.88 ENTERGY TEX INC 2019-02-01 2019-02-01 7.125 - 7.125 Other Instrument CORPORATE 871494.00 1082754.68 GENERAL MLS INC 2016-01-29 2016-01-29 0.875 - 0.875 Other Instrument CORPORATE 3000000.00 3024962.92 HSBC FIN CAP TR IX 2035-11-30 2035-11-30 5.911 - 5.911 Other Instrument CORPORATE 628205.00 653961.41 HOSPITALITY PPTYS TR 2017-03-15 2017-03-15 5.625 - 5.625 Other Instrument CORPORATE 20716.00 23006.54 JPMORGAN CHASE CAP XXIII 2077-05-15 2077-05-15 1.223 - 1.223 Other Instrument CORPORATE 6000000.00 4704179.25 MAGELLAN MIDSTREAM PARTNERS LP 2018-07-15 2018-07-15 6.4 - 6.4 Other Instrument CORPORATE 2279348.00 2749964.98 MANITOBA PROV CDA 2020-04-01 2020-04-01 9.25 - 9.25 Other Instrument CORPORATE 454823.00 613137.66 MERRILL LYNCH & CO INC MEDIUM TERM NTS BOOK ENTR 2014-07-15 2014-07-15 5.45 - 5.45 Other Instrument CORPORATE 8072333.00 8284453.71 MONSANTO CO NEW 2042-07-15 2042-07-15 3.6 - 3.6 Other Instrument CORPORATE 259127.00 242633.57 MORGAN STANLEY FORMERLY MORGAN STANLEY DEAN WITT 2016-10-18 2016-10-18 0.677 - 0.677 Other Instrument CORPORATE 233645.00 233523.34 NEWFOUNDLAND PROV CDA 2019-06-01 2019-06-01 9 - 9 Other Instrument CORPORATE 541618.00 710001.62 ONTARIO PROV CDA 2024-05-16 2024-05-16 3.2 - 3.2 Other Instrument CORPORATE 6868268.00 6985951.96 ROPER INDS INC NEW 2018-10-01 2018-10-01 2.05 - 2.05 Other Instrument CORPORATE 84747.00 85476.65 SASKATCHEWAN PROV CDA 2020-12-15 2022-07-15 8.5 - 9.375 Other Instrument CORPORATE 831838.00 1174548.37 SEMPRA ENERGY 2016-06-01 2016-06-01 6.5 - 6.5 Other Instrument CORPORATE 7016487.00 8015490.50 SUNCORP METWAY LTD MEDIUM TERM NTS BOOK ENTRY 14 2017-03-28 2017-03-28 1.7 - 1.7 Other Instrument CORPORATE 446105.00 451318.98 TORONTO DOMINION BK ONT FOR FUTURE DEBT SEE 8911 2015-07-29 2017-03-13 1.5 - 2.2 Other Instrument CORPORATE 6309720.00 6461854.96 TOTAL CAP INTL 2017-01-10 2017-01-10 1 - 1 Other Instrument CORPORATE 682621.00 688211.67 WELLS FARGO & CO NEW 2099-12-31 2099-12-31 7.98 - 7.98 Other Instrument CORPORATE 14180722.00 16384051.68 ZFS FIN USA TR V 2067-05-09 2067-05-09 6.5 - 6.5 Other Instrument CORPORATE 6102060.00 6537086.03 ENEL FINANCE INTERNATIONAL 2019-10-07 2019-10-07 5.125 - 5.125 Other Instrument CORPORATE 4695257.00 5320360.69 First Tier Security 2014-06-04 2014-06-04 N N N 141000000.00 141000000.00 0.0012 N 141000000.00 141000000.00 SG Americas Securities, LLC SG Americas Securities, LLC, 0.26% 60S99BYV7 Other Repurchase Agreement N APPLE 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 136445.00 86694424.10 CBS-B 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 290.00 17443.50 CITIGROUP 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 29267.00 1383743.76 DISCOVER FNCL SRVCS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 294174.00 17262130.32 GOLDMAN SACHS GROUP 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 10515.00 1690181.10 GOOGLE-C 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 50000.00 28004000.00 MCDONALD'S 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 300000.00 30402000.00 MERCK 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 192835.00 11126579.50 MICROSOFT 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1733119.00 69914020.46 PMC-SIERRA 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1210020.00 8615342.40 RALPH LAUREN-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 203218.00 31104547.08 UTD TECHNOLOGIES 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 120677.00 14040768.95 AERCAP HOLD 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 22880.00 1077876.80 First Tier Security 2014-06-03 2014-06-03 N N N 279000000.00 279000000.00 0.0024 N 279000000.00 279000000.00 SG Americas Securities, LLC SG Americas Securities, LLC, 0.26% 60S99BYY1 Other Repurchase Agreement N BANK OF AMERICA 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 12577911.00 190555351.65 CITIGROUP 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 20143.00 952361.04 COCA-COLA CO 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 107853.00 4385302.98 COMPUWARE 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 48641.00 479113.85 DISCOVER FNCL SRVCS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 89840.00 5271811.20 FOREST LABORATORIES 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 91899.00 8799329.25 GENERAL MOTORS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 271205.00 9343012.25 GOLDMAN SACHS GROUP 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1940.00 311835.60 HANOVER INSURANCE 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 9600.00 582816.00 HEWLETT-PACKARD 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 11060.00 372058.40 HOME DEPOT 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 17655.00 1410634.50 KEYCORP 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 163947.00 2234597.61 MFA FINANCIAL REIT 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 144420.00 1182799.80 MARATHON PETRO 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1323.00 118818.63 MCCLATCHY-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 687996.00 3460619.88 MONDELEZ INT-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 93482.00 3503705.36 PMC-SIERRA 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 60400.00 430048.00 PHILLIPS 66 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 45267.00 3816913.44 REGIONS FINANCIAL 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1137.00 11483.70 ROCK TENN-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 16479.00 1666521.27 UNS ENERGY 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 4741.00 287352.01 DELPHI AUTOMOTIVE 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 274.00 18963.54 XL GROUP 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 273.00 8834.28 AERCAP HOLD 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 34869.00 1642678.59 First Tier Security 2014-06-05 2014-06-05 N N N 223000000.00 223000000.00 0.0019 N 223000000.00 223000000.00 SG Americas Securities, LLC SG Americas Securities, LLC, 0.34% 60S99BYX3 Other Repurchase Agreement N 51-100 2014-06-01 2099-12-31 0 - 14.75 Other Instrument CORPORATE 216402710.00 240066573.16 First Tier Security 2014-06-04 2014-06-04 N N N 224000000.00 224000000.00 0.0019 N 224000000.00 224000000.00 UBS Securities LLC UBS Securities LLC, 0.43% 23M99SVY1 0000230611 Other Repurchase Agreement N 51-100 2014-10-01 2042-04-01 0 - 11.75 Other Instrument CORPORATE 123529584.00 151374262.70 First Tier Security 2014-06-06 2014-06-06 Y UBS SECS LLC (NON GOV REPO) N/A N/A N N 141000000.00 141000000.00 0.0012 N 141000000.00 141000000.00 UBS Securities LLC UBS Securities LLC, 0.43% 23M99SVW5 0000230611 Other Repurchase Agreement N 51-100 2014-09-15 2067-02-12 0 - 10.375 Other Instrument CORPORATE 192773903.00 238008922.35 First Tier Security 2014-06-06 2014-06-06 Y UBS SECS LLC (NON GOV REPO) N/A N/A N N 222000000.00 222000000.00 0.0019 N 222000000.00 222000000.00