0000278001-15-000059.txt : 20150429 0000278001-15-000059.hdr.sgml : 20150429 20150306144608 ACCESSION NUMBER: 0000278001-15-000059 CONFORMED SUBMISSION TYPE: N-MFP PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20150228 FILED AS OF DATE: 20150306 DATE AS OF CHANGE: 20150306 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: 15681091 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 2015-02-28 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) LIMITED 801-69571 PRICEWATERHOUSECOOPERS LLP BOSTON MA None FIDELITY INVESTMENTS INSTIT. OPERATIONS CO. 0000862124 084-01839 N N N Prime 47 97 110973330075.79 40591503.69 20126764.63 110993794814.85 0.0028 1.0004 2015-02-27 1.0004 2015-02-27 C000019553 2500.00 110993794814.85 1.00 -1068467122.35 23540071246.73 24608538369.08 0.0001 1.0004 2015-02-27 1.0004 2015-02-27 Bank of Montreal Bank of Montreal, 0.25% 06366CES3 Certificate of Deposit First Tier Security 2015-03-16 2015-07-14 N N N 387000000.00 387000000.00 0.0035 N 386997678.00 386997678.00 Bank of Montreal Bank of Montreal, 0.25% 06366CKC1 Certificate of Deposit First Tier Security 2015-03-18 2015-08-18 N N N 440000000.00 440000000.00 0.0040 N 439956440.00 439956440.00 Bank of Montreal Bank of Montreal, 0.25% 06366CFU7 Certificate of Deposit First Tier Security 2015-03-20 2015-07-20 N N N 224000000.00 224000000.00 0.0020 N 223982080.00 223982080.00 Bank of Montreal Bank of Montreal, 0.25% 06366CFW3 Certificate of Deposit First Tier Security 2015-03-23 2015-07-21 N N N 225000000.00 225000000.00 0.0020 N 224980650.00 224980650.00 Bank of Montreal Chicago CD Program Bank of Montreal Chicago CD Program, 0.27% 06366CSL3 Certificate of Deposit First Tier Security 2015-07-09 2015-07-09 N N N 217500000.00 217500000.00 0.0020 N 217523838.00 217523838.00 Bank of Montreal Chicago CD Program Bank of Montreal Chicago CD Program, 0.30% 06366LEQ7 Certificate of Deposit First Tier Security 2015-03-17 2015-09-11 N N N 912000000.00 912000000.00 0.0082 N 911948928.00 911948928.00 Bank of Nova Scotia Bank of Nova Scotia, 0.24% 06417HLC8 Certificate of Deposit First Tier Security 2015-03-16 2015-05-15 N N N 760000000.00 760000000.00 0.0068 N 759965040.00 759965040.00 Bank of Nova Scotia Bank of Nova Scotia, 0.24% 06417HHT6 Certificate of Deposit First Tier Security 2015-03-31 2015-03-31 N N N 445000000.00 445000000.00 0.0040 N 444986650.00 444986650.00 Bank of Nova Scotia Bank of Nova Scotia, 0.25% 06417HPU4 Certificate of Deposit First Tier Security 2015-04-07 2015-04-07 N N N 1189000000.00 1189000000.00 0.0107 N 1189218776.00 1189218776.00 Bank of Nova Scotia Bank of Nova Scotia, 0.26% 06417HD60 Certificate of Deposit First Tier Security 2015-03-10 2015-09-08 N N N 433000000.00 433000000.00 0.0039 N 432974453.00 432974453.00 Bank of Nova Scotia Bank of Nova Scotia, 0.27% 35N99SDE8 0000009631 Certificate of Deposit First Tier Security 2015-03-03 2015-10-28 N N N 433000000.00 433000000.00 0.0039 N 432971855.00 432971855.00 Bank of Nova Scotia Bank of Nova Scotia, 0.27% 06417HVE3 Certificate of Deposit First Tier Security 2015-03-23 2015-05-20 N N N 869000000.00 869000000.00 0.0078 N 868953943.00 868953943.00 Bank of Nova Scotia Bank of Nova Scotia, 0.31% 06417HZL3 Certificate of Deposit First Tier Security 2015-08-17 2015-08-17 N N N 500000000.00 500000000.00 0.0045 N 500094650.00 500094650.00 Bank of Nova Scotia Bank of Nova Scotia, 0.35% 06417E5W9 Certificate of Deposit First Tier Security 2015-03-11 2015-07-13 N N N 406000000.00 406000000.00 0.0037 N 406010150.00 406010150.00 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.13% 06538JLU8 Certificate of Deposit First Tier Security 2015-03-03 2015-03-03 N N N 1412000000.00 1412000000.00 0.0127 N 1411992092.80 1411992092.80 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.25% 06538HG38 Certificate of Deposit First Tier Security 2015-03-24 2015-03-24 N N N 797000000.00 797000000.00 0.0072 N 797038654.50 797038654.50 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.25% 06538HG46 Certificate of Deposit First Tier Security 2015-03-25 2015-03-25 N N N 600000000.00 600000000.00 0.0054 N 600030240.00 600030240.00 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.25% 06538HH60 Certificate of Deposit First Tier Security 2015-03-26 2015-03-26 N N N 328000000.00 328000000.00 0.0030 N 328017154.40 328017154.40 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.25% 06538HJ92 Certificate of Deposit First Tier Security 2015-03-27 2015-03-27 N N N 418000000.00 418000000.00 0.0038 N 418022697.40 418022697.40 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.25% 06538HZ60 Certificate of Deposit First Tier Security 2015-05-01 2015-05-01 N N N 241000000.00 241000000.00 0.0022 N 240999903.60 240999903.60 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.27% 06538JHG4 Certificate of Deposit First Tier Security 2015-06-04 2015-06-04 N N N 500000000.00 500000000.00 0.0045 N 499986450.00 499986450.00 BNP Paribas New York Branch BNP Paribas New York Branch, 0.25% 05574RPE9 Certificate of Deposit First Tier Security 2015-03-03 2015-03-03 N N N 1000000000.00 1000000000.00 0.0090 N 1000011100.00 1000011100.00 BNP Paribas New York Branch BNP Paribas New York Branch, 0.27% 05574RPW9 Certificate of Deposit First Tier Security 2015-03-23 2015-03-23 N N N 500000000.00 500000000.00 0.0045 N 500039950.00 500039950.00 Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce, 0.24% 13606Y6S0 Certificate of Deposit First Tier Security 2015-03-17 2015-06-17 N N N 177000000.00 177000730.87 0.0016 N 176988849.00 176988849.00 Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce, 0.30% 13606YZR0 Certificate of Deposit First Tier Security 2015-03-16 2015-09-11 N N N 1249000000.00 1249000000.00 0.0113 N 1248930056.00 1248930056.00 Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce, 0.33% 13606YPQ3 Certificate of Deposit First Tier Security 2015-03-03 2015-07-30 N N N 405000000.00 405000000.00 0.0036 N 405000000.00 405000000.00 Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce, 0.33% 13606YRX6 Certificate of Deposit First Tier Security 2015-03-05 2015-07-31 N N N 403000000.00 403000000.00 0.0036 N 403024180.00 403024180.00 Credit Agricole CIB Credit Agricole CIB, 0.25% 22533MVM0 Certificate of Deposit First Tier Security 2015-03-03 2015-03-03 N N N 500000000.00 500000000.00 0.0045 N 500005550.00 500005550.00 Credit Agricole CIB Credit Agricole CIB, 0.28% 22533MVK4 Certificate of Deposit First Tier Security 2015-04-01 2015-04-01 N N N 450000000.00 450000000.00 0.0041 N 450045315.00 450045315.00 Credit Agricole CIB Credit Agricole CIB, 0.29% 22533MXM8 Certificate of Deposit First Tier Security 2015-05-04 2015-05-04 N N N 560000000.00 560000000.00 0.0050 N 560051240.00 560051240.00 Credit Industriel et Commercial Credit Industriel et Commercial, 0.14% 22536THA4 Certificate of Deposit First Tier Security 2015-03-02 2015-03-02 N N N 2124000000.00 2124000000.00 0.0191 N 2123992990.80 2123992990.80 Credit Industriel et Commercial Credit Industriel et Commercial, 0.14% 22536THG1 Certificate of Deposit First Tier Security 2015-03-04 2015-03-04 N N N 430000000.00 430000000.00 0.0039 N 429997592.00 429997592.00 Credit Suisse Credit Suisse, 0.32% 22549VCS0 Certificate of Deposit First Tier Security 2015-03-02 2015-03-02 N N N 669000000.00 669000000.00 0.0060 N 668989296.00 668989296.00 Credit Suisse Credit Suisse, 0.32% 22549VGE7 Certificate of Deposit First Tier Security 2015-03-13 2015-04-13 N N N 991000000.00 991000000.00 0.0089 N 990973243.00 990973243.00 Credit Suisse Credit Suisse, 0.35% 22549VNN9 Certificate of Deposit First Tier Security 2015-03-11 2015-06-11 N N N 669000000.00 669000000.00 0.0060 N 668962536.00 668962536.00 Credit Suisse Credit Suisse, 0.35% 22549VTE3 Certificate of Deposit First Tier Security 2015-07-06 2015-07-06 N N N 752000000.00 752000000.00 0.0068 N 752107235.20 752107235.20 Landesbank Baden-Wuerttemberg New York Branch Landesbank Baden-Wuerttemberg New York Branch, 0.16% 51489KJL3 Certificate of Deposit First Tier Security 2015-03-03 2015-03-03 N N N 1272000000.00 1272000000.00 0.0115 N 1271997201.60 1271997201.60 Landesbank Baden-Wuerttemberg New York Branch Landesbank Baden-Wuerttemberg New York Branch, 0.27% 51489KJK5 Certificate of Deposit First Tier Security 2015-03-25 2015-03-25 N N N 1150000000.00 1150000000.00 0.0104 N 1150074750.00 1150074750.00 Landesbank Baden-Wuerttemberg New York Branch Landesbank Baden-Wuerttemberg New York Branch, 0.27% 51489KJN9 Certificate of Deposit First Tier Security 2015-03-31 2015-03-31 N N N 547000000.00 547000000.00 0.0049 N 547000000.00 547000000.00 Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 0.28% 60682AQZ2 Certificate of Deposit First Tier Security 2015-04-14 2015-04-14 N N N 144000000.00 144000000.00 0.0013 N 144014673.60 144014673.60 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.25% 60688LY34 Certificate of Deposit First Tier Security 2015-03-17 2015-03-17 N N N 442000000.00 442000000.00 0.0040 N 442006585.80 442006585.80 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.25% 60688L2B1 Certificate of Deposit First Tier Security 2015-03-26 2015-03-26 N N N 743000000.00 743000000.00 0.0067 N 743016643.20 743016643.20 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.25% 60688L2D7 Certificate of Deposit First Tier Security 2015-03-27 2015-03-27 N N N 646000000.00 646000000.00 0.0058 N 646014987.20 646014987.20 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.28% 60688L6E1 Certificate of Deposit First Tier Security 2015-06-17 2015-06-17 N N N 437000000.00 437000000.00 0.0039 N 436999956.30 436999956.30 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.28% 60688L6N1 Certificate of Deposit First Tier Security 2015-06-24 2015-06-24 N N N 539000000.00 539000000.00 0.0049 N 539000000.00 539000000.00 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.28% 60688L6Q4 Certificate of Deposit First Tier Security 2015-07-01 2015-07-01 N N N 349000000.00 349000000.00 0.0031 N 348987994.40 348987994.40 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.29% 60688L3Y0 Certificate of Deposit First Tier Security 2015-05-04 2015-05-04 N N N 435000000.00 435000000.00 0.0039 N 435015834.00 435015834.00 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.29% 60688L3Z7 Certificate of Deposit First Tier Security 2015-05-05 2015-05-05 N N N 435000000.00 435000000.00 0.0039 N 435016095.00 435016095.00 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.29% 60688L4H6 Certificate of Deposit First Tier Security 2015-05-13 2015-05-13 N N N 541000000.00 541000000.00 0.0049 N 541022397.40 541022397.40 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.29% 60688L4N3 Certificate of Deposit First Tier Security 2015-05-15 2015-05-15 N N N 209000000.00 209000000.00 0.0019 N 209008882.50 209008882.50 Natexis Banques Populaires New York Branch Natexis Banques Populaires New York Branch, 0.26% 63873FGZ5 Certificate of Deposit First Tier Security 2015-03-03 2015-03-03 N N N 624000000.00 624000000.00 0.0056 N 624005553.60 624005553.60 Natexis Banques Populaires New York Branch Natexis Banques Populaires New York Branch, 0.27% 63873FFM5 Certificate of Deposit First Tier Security 2015-03-23 2015-05-04 Y NATIXIS NY BRH N/A N/A N N 669000000.00 669000000.00 0.0060 N 668907678.00 668907678.00 Natexis Banques Populaires New York Branch Natexis Banques Populaires New York Branch, 0.29% 63873FJJ8 Certificate of Deposit First Tier Security 2015-03-31 2015-03-31 N N N 1000000000.00 1000000000.00 0.0090 N 1000097700.00 1000097700.00 Natexis Banques Populaires New York Branch Natexis Banques Populaires New York Branch, 0.31% 63873FKL1 Certificate of Deposit First Tier Security 2015-05-04 2015-05-04 N N N 1250000000.00 1250000000.00 0.0113 N 1250137250.00 1250137250.00 Natexis Banques Populaires New York Branch Natexis Banques Populaires New York Branch, 0.31% 63873FLP1 Certificate of Deposit First Tier Security 2015-06-01 2015-06-01 N N N 1200000000.00 1200000000.00 0.0108 N 1200093840.00 1200093840.00 Natexis Banques Populaires New York Branch Natexis Banques Populaires New York Branch, 0.31% 63873FLN6 Certificate of Deposit First Tier Security 2015-06-01 2015-06-01 N N N 837000000.00 837000000.00 0.0075 N 837065453.40 837065453.40 National Bank of Canada National Bank of Canada, 0.35% 63307UEA5 Certificate of Deposit First Tier Security 2015-03-10 2015-05-08 N N N 201000000.00 201000000.00 0.0018 N 201003015.00 201003015.00 National Bank of Canada National Bank of Canada, 0.36% 63307UDX6 Certificate of Deposit First Tier Security 2015-03-23 2015-05-22 N N N 1610000000.00 1610000000.00 0.0145 N 1610433090.00 1610433090.00 Rabobank Nederland New York Branch Rabobank Nederland New York Branch, 0.25% 21684BUX0 Certificate of Deposit First Tier Security 2015-06-04 2015-06-04 N N N 300000000.00 300000000.00 0.0027 N 300016050.00 300016050.00 Rabobank Nederland New York Branch Rabobank Nederland New York Branch, 0.25% 21684BUT9 Certificate of Deposit First Tier Security 2015-06-05 2015-06-05 N N N 200000000.00 200000000.00 0.0018 N 200010800.00 200010800.00 Rabobank Nederland New York Branch Rabobank Nederland New York Branch, 0.25% 21684BVT8 Certificate of Deposit First Tier Security 2015-06-08 2015-06-08 N N N 500000000.00 500000000.00 0.0045 N 500027850.00 500027850.00 Royal Bank of Canada Royal Bank of Canada, 0.24% 78009NRN8 Certificate of Deposit First Tier Security 2015-03-26 2015-06-26 N N N 530000000.00 530000000.00 0.0048 N 529976680.00 529976680.00 Royal Bank of Canada Royal Bank of Canada, 0.25% 78009NRB4 Certificate of Deposit First Tier Security 2015-03-09 2015-04-09 N N N 435000000.00 435000000.00 0.0039 N 434995650.00 434995650.00 Royal Bank of Canada Royal Bank of Canada, 0.25% 78009NRC2 Certificate of Deposit First Tier Security 2015-03-16 2015-04-15 N N N 65000000.00 65000000.00 0.0006 N 64998830.00 64998830.00 Royal Bank of Canada Royal Bank of Canada, 0.25% 78009NRQ1 Certificate of Deposit First Tier Security 2015-03-23 2015-07-23 N N N 407000000.00 407000000.00 0.0037 N 406964184.00 406964184.00 Royal Bank of Canada Royal Bank of Canada, 0.26% 78009NSG2 Certificate of Deposit First Tier Security 2015-03-10 2015-11-10 N N N 238000000.00 238000000.00 0.0021 N 237966680.00 237966680.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.24% 86562YH56 Certificate of Deposit First Tier Security 2015-03-18 2015-03-18 N N N 305000000.00 305000000.00 0.0027 N 305009638.00 305009638.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.24% 86562JAE7 Certificate of Deposit First Tier Security 2015-03-19 2015-03-19 N N N 206000000.00 206000000.00 0.0019 N 206000824.00 206000824.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.24% 86562YL85 Certificate of Deposit First Tier Security 2015-03-23 2015-03-23 N N N 330000000.00 330000000.00 0.0030 N 330013167.00 330013167.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.24% 86562YP40 Certificate of Deposit First Tier Security 2015-04-02 2015-04-02 N N N 361000000.00 361000000.00 0.0033 N 361013609.70 361013609.70 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.28% 86562Y2S2 Certificate of Deposit First Tier Security 2015-05-04 2015-05-04 N N N 110000000.00 110000000.00 0.0010 N 110004004.00 110004004.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.28% 86562Y2Z6 Certificate of Deposit First Tier Security 2015-05-05 2015-05-05 N N N 427000000.00 427000000.00 0.0038 N 427015799.00 427015799.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.28% 86562Y3Q5 Certificate of Deposit First Tier Security 2015-05-07 2015-05-07 N N N 468000000.00 468000000.00 0.0042 N 468017830.80 468017830.80 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.28% 86562Y5V2 Certificate of Deposit First Tier Security 2015-05-20 2015-05-20 N N N 272000000.00 272000000.00 0.0025 N 272012348.80 272012348.80 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.28% 86562Y6N9 Certificate of Deposit First Tier Security 2015-05-26 2015-05-26 N N N 375000000.00 375000000.00 0.0034 N 375018262.50 375018262.50 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.28% 86563RAQ1 Certificate of Deposit First Tier Security 2015-06-02 2015-06-02 N N N 385000000.00 385000000.00 0.0035 N 384989797.50 384989797.50 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.28% 86563RCT3 Certificate of Deposit First Tier Security 2015-06-15 2015-06-15 N N N 950000000.00 950000000.00 0.0086 N 949971405.00 949971405.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.28% 86563REQ7 Certificate of Deposit First Tier Security 2015-06-24 2015-06-24 N N N 496000000.00 496000000.00 0.0045 N 495983880.00 495983880.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.35% 86562JAD9 Certificate of Deposit First Tier Security 2015-03-16 2015-08-17 N N N 890000000.00 890000000.00 0.0080 N 890029370.00 890029370.00 Sumitomo Mitsui Trust Banking Ltd. Sumitomo Mitsui Trust Banking Ltd., 0.24% 86563KTJ2 Certificate of Deposit First Tier Security 2015-03-10 2015-03-10 N N N 445000000.00 445000000.00 0.0040 N 445008143.50 445008143.50 Sumitomo Mitsui Trust Banking Ltd. Sumitomo Mitsui Trust Banking Ltd., 0.24% 86563KTS2 Certificate of Deposit First Tier Security 2015-04-01 2015-04-01 N N N 440000000.00 440000000.00 0.0040 N 440016060.00 440016060.00 Sumitomo Mitsui Trust Banking Ltd. Sumitomo Mitsui Trust Banking Ltd., 0.24% 86563KTU7 Certificate of Deposit First Tier Security 2015-04-03 2015-04-03 N N N 839000000.00 839000000.00 0.0076 N 839032553.20 839032553.20 Sumitomo Mitsui Trust Banking Ltd. Sumitomo Mitsui Trust Banking Ltd., 0.29% 86563KVX8 Certificate of Deposit First Tier Security 2015-06-05 2015-06-05 N N N 500000000.00 500000000.00 0.0045 N 499999900.00 499999900.00 Sumitomo Mitsui Trust Banking Ltd. Sumitomo Mitsui Trust Banking Ltd., 0.29% 86563KWG4 Certificate of Deposit First Tier Security 2015-06-17 2015-06-17 N N N 500000000.00 500000000.00 0.0045 N 499999950.00 499999950.00 Sumitomo Mitsui Trust Banking Ltd. Sumitomo Mitsui Trust Banking Ltd., 0.29% 86563KWS8 Certificate of Deposit First Tier Security 2015-07-03 2015-07-03 N N N 1125000000.00 1125000000.00 0.0101 N 1124921250.00 1124921250.00 Swedbank AB Swedbank AB, 0.26% 87019TYB2 Certificate of Deposit First Tier Security 2015-04-16 2015-04-16 N N N 1000000000.00 1000000000.00 0.0090 N 1000186500.00 1000186500.00 Swedbank AB Swedbank AB, 0.26% 87019TYA4 Certificate of Deposit First Tier Security 2015-04-17 2015-04-17 N N N 57000000.00 57000000.00 0.0005 N 57010852.80 57010852.80 Toronto-Dominion Bank Toronto-Dominion Bank, 0.24% 89112UGM7 Certificate of Deposit First Tier Security 2015-03-06 2015-06-08 N N N 391000000.00 391000000.00 0.0035 N 390979277.00 390979277.00 Toronto-Dominion Bank Toronto-Dominion Bank, 0.26% 89112UYU9 Certificate of Deposit First Tier Security 2015-03-03 2015-10-05 N N N 700000000.00 700000000.00 0.0063 N 699918100.00 699918100.00 Toronto-Dominion Bank Toronto-Dominion Bank, 0.26% 89112UYQ8 Certificate of Deposit First Tier Security 2015-03-06 2015-10-06 N N N 9000000.00 9000000.00 0.0001 N 8998929.00 8998929.00 Toronto-Dominion Bank Toronto-Dominion Bank, 0.30% 89112UVP3 Certificate of Deposit First Tier Security 2015-06-16 2015-06-16 N N N 232000000.00 232000000.00 0.0021 N 232098136.00 232098136.00 Toronto-Dominion Bank Toronto-Dominion Bank, 0.31% 89112UWD9 Certificate of Deposit First Tier Security 2015-07-02 2015-07-02 N N N 256000000.00 256000000.00 0.0023 N 256124160.00 256124160.00 UBS AG UBS AG, 0.28% 90267RZM4 Certificate of Deposit First Tier Security 2015-03-05 2015-03-05 N N N 1127000000.00 1127000000.00 0.0102 N 1126998873.00 1126998873.00 UBS AG UBS AG, 0.34% 90267RD48 Certificate of Deposit First Tier Security 2015-06-09 2015-06-09 N N N 1355000000.00 1355000000.00 0.0122 N 1355344576.50 1355344576.50 UBS AG UBS AG, 0.34% 90267RF79 Certificate of Deposit First Tier Security 2015-07-27 2015-07-27 N N N 840000000.00 840000000.00 0.0076 N 840174468.00 840174468.00 ABN AMRO Bank NV ABN AMRO Bank NV, 0.28% 37V995SS8 Certificate of Deposit First Tier Security 2015-05-20 2015-05-20 N N N 281000000.00 281000000.00 0.0025 N 281019192.30 281019192.30 National Australia Bank Ltd. National Australia Bank Ltd., 0.25% 39K99HHP8 0000833029 Certificate of Deposit First Tier Security 2015-03-10 2015-03-10 N N N 1750000000.00 1750000000.00 0.0158 N 1750080150.00 1750080150.00 National Australia Bank Ltd. National Australia Bank Ltd., 0.30% XS1165575173 0000833029 Certificate of Deposit First Tier Security 2015-07-07 2015-07-07 N N N 1090000000.00 1090000000.00 0.0098 N 1090314247.00 1090314247.00 National Australia Bank Ltd. National Australia Bank Ltd., 0.30% 39K99HJG6 0000833029 Certificate of Deposit First Tier Security 2015-08-13 2015-08-13 N N N 216000000.00 216000000.00 0.0019 N 216029980.80 216029980.80 BMO Harris Bank NA BMO Harris Bank NA, 0.33% 05574BDZ0 Certificate of Deposit First Tier Security 2015-08-20 2015-08-20 N N N 280000000.00 280000000.00 0.0025 N 280108108.00 280108108.00 Citizens Bank of Pennsylvania Citizens Bank of Pennsylvania, 0.40% 17417EBP4 Certificate of Deposit Second Tier Security 2015-03-05 2015-03-05 N N N 200000000.00 200000000.00 0.0018 N 200010660.00 200010660.00 RBS Citizens NA RBS Citizens NA, 0.40% 17411TAX1 Certificate of Deposit Second Tier Security 2015-03-05 2015-03-05 N N N 358000000.00 358000000.00 0.0032 N 358019081.40 358019081.40 State Street Bank & Trust Co. State Street Bank & Trust Co., 0.24% 8574P1DR4 Certificate of Deposit First Tier Security 2015-03-08 2015-06-08 N N N 445000000.00 445000000.00 0.0040 N 444963955.00 444963955.00 Wells Fargo Bank NA Wells Fargo Bank NA, 0.22% 94988E3J5 Certificate of Deposit First Tier Security 2015-03-02 2015-03-02 N N N 269500000.00 269500000.00 0.0024 N 269500000.00 269500000.00 Wells Fargo Bank NA Wells Fargo Bank NA, 0.22% 94988E3S5 Certificate of Deposit First Tier Security 2015-03-09 2015-03-09 N N N 57000000.00 57000000.00 0.0005 N 56999829.00 56999829.00 Wells Fargo Bank NA Wells Fargo Bank NA, 0.25% 94988EAR9 Certificate of Deposit First Tier Security 2015-03-04 2015-08-03 N N N 278000000.00 278000000.00 0.0025 N 277976926.00 277976926.00 Wells Fargo Bank NA Wells Fargo Bank NA, 0.25% 94988EAT5 Certificate of Deposit First Tier Security 2015-03-06 2015-08-04 N N N 145000000.00 145000000.00 0.0013 N 144987965.00 144987965.00 Wells Fargo Bank NA Wells Fargo Bank NA, 0.25% 94988EAX6 Certificate of Deposit First Tier Security 2015-03-18 2015-08-18 N N N 140000000.00 140000000.00 0.0013 N 139986140.00 139986140.00 Wells Fargo Bank NA Wells Fargo Bank NA, 0.26% 94988EEE4 Certificate of Deposit First Tier Security 2015-03-10 2015-09-02 N N N 1000000000.00 1000000000.00 0.0090 N 999950000.00 999950000.00 Bank of Nova Scotia Bank of Nova Scotia, 0.28% 06417KSN0 Financial Company Commercial Paper First Tier Security 2015-05-22 2015-05-22 N N N 510000000.00 509674733.32 0.0046 N 509885760.00 509885760.00 BAT International Finance PLC BAT International Finance PLC, 0.43% 05531NQS8 Financial Company Commercial Paper Second Tier Security 2015-03-26 2015-03-26 N N N 25000000.00 24992534.73 0.0002 N 24995370.00 24995370.00 BAT International Finance PLC BAT International Finance PLC, 0.43% 05531NQS8 Financial Company Commercial Paper Second Tier Security 2015-03-26 2015-03-26 N N N 25000000.00 24992534.73 0.0002 N 24995370.00 24995370.00 BAT International Finance PLC BAT International Finance PLC, 0.43% 05531NQT6 Financial Company Commercial Paper Second Tier Security 2015-03-27 2015-03-27 N N N 25000000.00 24992236.12 0.0002 N 24992534.75 24992534.75 BAT International Finance PLC BAT International Finance PLC, 0.43% 05531NQT6 Financial Company Commercial Paper Second Tier Security 2015-03-27 2015-03-27 N N N 25000000.00 24992236.12 0.0002 N 24992534.75 24992534.75 BAT International Finance PLC BAT International Finance PLC, 0.43% 05531NQW9 Financial Company Commercial Paper Second Tier Security 2015-03-30 2015-03-30 N N N 25000000.00 24991340.27 0.0002 N 24991639.00 24991639.00 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.26% 20272AKV7 Financial Company Commercial Paper First Tier Security 2015-03-16 2015-07-16 N N N 300000000.00 300000000.00 0.0027 N 299989800.00 299989800.00 DNB Bank ASA DNB Bank ASA, 0.25% 2332K1QJ2 Financial Company Commercial Paper First Tier Security 2015-03-18 2015-03-18 N N N 216000000.00 215974499.99 0.0019 N 215986284.00 215986284.00 DNB Bank ASA DNB Bank ASA, 0.25% 2332K1T18 Financial Company Commercial Paper First Tier Security 2015-06-01 2015-06-01 N N N 516000000.00 515670333.38 0.0046 N 515725591.20 515725591.20 JPMorgan Securities LLC JPMorgan Securities LLC, 0.27% 46640EAT5 Financial Company Commercial Paper First Tier Security 2015-03-23 2015-04-22 N N N 505000000.00 505000000.00 0.0045 N 504981315.00 504981315.00 JPMorgan Securities LLC JPMorgan Securities LLC, 0.27% 46640EAV0 Financial Company Commercial Paper First Tier Security 2015-03-27 2015-04-27 N N N 629000000.00 629000000.00 0.0057 N 628973582.00 628973582.00 JPMorgan Securities LLC JPMorgan Securities LLC, 0.30% 46640QSS1 Financial Company Commercial Paper First Tier Security 2015-05-26 2015-05-26 N N N 1000000000.00 999283333.20 0.0090 N 999464700.00 999464700.00 Landesbank Baden-Wurttemberg Landesbank Baden-Wurttemberg, 0.16% 5148X1Q63 Financial Company Commercial Paper First Tier Security 2015-03-06 2015-03-06 N N N 2596000000.00 2595942311.17 0.0234 N 2595930764.68 2595930764.68 Lloyds Bank PLC Lloyds Bank PLC, 0.13% 53943SQ34 Financial Company Commercial Paper First Tier Security 2015-03-03 2015-03-03 N N N 1270000000.00 1269990827.55 0.0114 N 1269987300.00 1269987300.00 Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 0.27% 60682XT97 Financial Company Commercial Paper First Tier Security 2015-06-09 2015-06-09 N N N 230000000.00 229827500.00 0.0021 N 229831870.00 229831870.00 Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 0.27% 60682XT97 Financial Company Commercial Paper First Tier Security 2015-06-09 2015-06-09 N N N 88000000.00 87934000.00 0.0008 N 87935672.00 87935672.00 PNC Bank NA PNC Bank NA, 0.35% 69349KV72 Financial Company Commercial Paper First Tier Security 2015-08-07 2015-08-07 N N N 428000000.00 427338383.39 0.0039 N 427435339.60 427435339.60 Toyota Motor Credit Corp. Toyota Motor Credit Corp., 0.25% 89233HQR8 Financial Company Commercial Paper First Tier Security 2015-03-25 2015-03-25 N N N 42000000.00 41993000.00 0.0004 N 41997089.40 41997089.40 Toyota Motor Credit Corp. Toyota Motor Credit Corp., 0.25% 89233HQS6 Financial Company Commercial Paper First Tier Security 2015-03-26 2015-03-26 N N N 325000000.00 324943576.42 0.0029 N 324976372.50 324976372.50 Dominion Resources, Inc. Dominion Resources, Inc., 0.40% 2574P1Q21 Other Commercial Paper Second Tier Security 2015-03-02 2015-03-02 N N N 20500000.00 20499772.22 0.0002 N 20499247.65 20499247.65 Dominion Resources, Inc. Dominion Resources, Inc., 0.41% 2574P1QS4 Other Commercial Paper Second Tier Security 2015-03-26 2015-03-26 N N N 18600000.00 18594704.17 0.0002 N 18593718.78 18593718.78 Dominion Resources, Inc. Dominion Resources, Inc., 0.42% 2574P1QR6 Other Commercial Paper Second Tier Security 2015-03-25 2015-03-25 N N N 15000000.00 14995800.00 0.0001 N 14995120.50 14995120.50 Eversource Energy Eversource Energy, 0.35% 66439UQ40 Other Commercial Paper Second Tier Security 2015-03-04 2015-03-04 N N N 25000000.00 24999270.84 0.0002 N 24999202.50 24999202.50 Eversource Energy Eversource Energy, 0.35% 66439UQ57 Other Commercial Paper Second Tier Security 2015-03-05 2015-03-05 N N N 100000000.00 99996111.08 0.0009 N 99996170.00 99996170.00 Eversource Energy Eversource Energy, 0.39% 66439UQ24 Other Commercial Paper Second Tier Security 2015-03-02 2015-03-02 N N N 35000000.00 34999620.83 0.0003 N 35000000.00 35000000.00 Eversource Energy Eversource Energy, 0.39% 66439UQ65 Other Commercial Paper Second Tier Security 2015-03-06 2015-03-06 N N N 75000000.00 74995937.52 0.0007 N 74996750.25 74996750.25 Eversource Energy Eversource Energy, 0.39% 66439UQ65 Other Commercial Paper Second Tier Security 2015-03-06 2015-03-06 N N N 120000000.00 119993500.03 0.0011 N 119994800.40 119994800.40 Eversource Energy Eversource Energy, 0.41% 66439UQ99 Other Commercial Paper Second Tier Security 2015-03-09 2015-03-09 N N N 43000000.00 42996082.22 0.0004 N 42996572.04 42996572.04 Motiva Enterprises LLC Motiva Enterprises LLC, 0.44% 61979KQ23 Other Commercial Paper Second Tier Security 2015-03-02 2015-03-02 N N N 25000000.00 24999694.44 0.0002 N 24999125.00 24999125.00 Motiva Enterprises LLC Motiva Enterprises LLC, 0.44% 61979KQ56 Other Commercial Paper Second Tier Security 2015-03-05 2015-03-05 N N N 20000000.00 19999022.22 0.0002 N 19998600.00 19998600.00 NBCUniversal Enterprise, Inc. NBCUniversal Enterprise, Inc., 0.39% 63946EQ23 Other Commercial Paper Second Tier Security 2015-03-02 2015-03-02 N N N 56000000.00 55999393.33 0.0005 N 55998924.80 55998924.80 NBCUniversal Enterprise, Inc. NBCUniversal Enterprise, Inc., 0.39% 63946EQB3 Other Commercial Paper Second Tier Security 2015-03-11 2015-03-11 N N N 88000000.00 87990466.68 0.0008 N 87993250.40 87993250.40 NBCUniversal Enterprise, Inc. NBCUniversal Enterprise, Inc., 0.39% 63946EQB3 Other Commercial Paper Second Tier Security 2015-03-11 2015-03-11 N N N 64000000.00 63993066.68 0.0006 N 63995091.20 63995091.20 Sempra Global Sempra Global, 0.47% 81685MQB2 Other Commercial Paper Second Tier Security 2015-03-11 2015-03-11 N N N 25000000.00 24996736.11 0.0002 N 24996697.50 24996697.50 Sempra Global Sempra Global, 0.47% 81685MQC0 Other Commercial Paper Second Tier Security 2015-03-12 2015-03-12 N N N 54250000.00 54242209.09 0.0005 N 54242215.13 54242215.13 Sempra Global Sempra Global, 0.47% 81685MQD8 Other Commercial Paper Second Tier Security 2015-03-13 2015-03-13 N N N 20000000.00 19996866.66 0.0002 N 19996898.00 19996898.00 Sempra Global Sempra Global, 0.47% 81685MQD8 Other Commercial Paper Second Tier Security 2015-03-13 2015-03-13 N N N 10000000.00 9998433.33 0.0001 N 9998449.00 9998449.00 Sempra Global Sempra Global, 0.47% 81685MQG1 Other Commercial Paper Second Tier Security 2015-03-16 2015-03-16 N N N 40000000.00 39992166.67 0.0004 N 39992388.00 39992388.00 Sempra Global Sempra Global, 0.47% 81685MQJ5 Other Commercial Paper Second Tier Security 2015-03-18 2015-03-18 N N N 114000000.00 113974698.30 0.0010 N 113975512.80 113975512.80 Sempra Global Sempra Global, 0.47% 81685MQK2 Other Commercial Paper Second Tier Security 2015-03-19 2015-03-19 N N N 20000000.00 19995299.99 0.0002 N 19995466.00 19995466.00 Sempra Global Sempra Global, 0.47% 81685MQK2 Other Commercial Paper Second Tier Security 2015-03-19 2015-03-19 N N N 52000000.00 51987779.99 0.0005 N 51988211.60 51988211.60 Sempra Global Sempra Global, 0.47% 81685MQR7 Other Commercial Paper Second Tier Security 2015-03-25 2015-03-25 N N N 68000000.00 67978693.31 0.0006 N 67979294.00 67979294.00 Sempra Global Sempra Global, 0.50% 81685MQR7 Other Commercial Paper Second Tier Security 2015-03-25 2015-03-25 N N N 10000000.00 9996666.67 0.0001 N 9996955.00 9996955.00 Sempra Global Sempra Global, 0.50% 81685MQS5 Other Commercial Paper Second Tier Security 2015-03-26 2015-03-26 N N N 80000000.00 79972222.21 0.0007 N 79974576.00 79974576.00 Verizon Communications, Inc. Verizon Communications, Inc., 0.42% 92344MQP1 Other Commercial Paper Second Tier Security 2015-03-23 2015-03-23 N N N 100000000.00 99974333.34 0.0009 N 99975500.00 99975500.00 Virginia Electric & Power Co. Virginia Electric & Power Co., 0.40% 92780KQG6 Other Commercial Paper Second Tier Security 2015-03-16 2015-03-16 N N N 13515000.00 13512747.50 0.0001 N 13513703.91 13513703.91 Xerox Corp. Xerox Corp., 0.39% 98412FQ39 Other Commercial Paper Second Tier Security 2015-03-03 2015-03-03 N N N 119000000.00 118997421.70 0.0011 N 118998711.23 118998711.23 Xerox Corp. Xerox Corp., 0.40% 98412FQA3 Other Commercial Paper Second Tier Security 2015-03-10 2015-03-10 N N N 29000000.00 28997100.00 0.0003 N 28996366.30 28996366.30 Xerox Corp. Xerox Corp., 0.40% 98412FQA3 Other Commercial Paper Second Tier Security 2015-03-10 2015-03-10 N N N 45000000.00 44995500.00 0.0004 N 44994361.50 44994361.50 Xerox Corp. Xerox Corp., 0.41% 98412FQH8 Other Commercial Paper Second Tier Security 2015-03-17 2015-03-17 N N N 34000000.00 33993804.45 0.0003 N 33992945.00 33992945.00 Xerox Corp. Xerox Corp., 0.41% 98412FQH8 Other Commercial Paper Second Tier Security 2015-03-17 2015-03-17 N N N 50000000.00 49990888.90 0.0005 N 49989625.00 49989625.00 Xerox Corp. Xerox Corp., 0.41% 98412FQJ4 Other Commercial Paper Second Tier Security 2015-03-18 2015-03-18 N N N 20000000.00 19996127.78 0.0002 N 19995598.00 19995598.00 Xerox Corp. Xerox Corp., 0.42% 98412FQP0 Other Commercial Paper Second Tier Security 2015-03-23 2015-03-23 N N N 65000000.00 64983316.67 0.0006 N 64981670.00 64981670.00 Xerox Corp. Xerox Corp., 0.42% 98412FQP0 Other Commercial Paper Second Tier Security 2015-03-23 2015-03-23 N N N 40000000.00 39989733.33 0.0004 N 39988720.00 39988720.00 Xerox Corp. Xerox Corp., 0.42% 98412FQQ8 Other Commercial Paper Second Tier Security 2015-03-24 2015-03-24 N N N 58000000.00 57984436.68 0.0005 N 57982924.80 57982924.80 Fannie Mae Fannie Mae, 0.19% 3135G0B44 Government Agency Debt First Tier Security 2015-03-26 2017-01-26 N N N 500000000.00 499902710.80 0.0045 N 500248000.00 500248000.00 Federal Farm Credit Bank Federal Farm Credit Bank, 0.15% 3133EDUG5 Government Agency Debt First Tier Security 2015-03-15 2016-09-15 N N N 370000000.00 369928381.84 0.0033 N 369993340.00 369993340.00 Federal Home Loan Bank Federal Home Loan Bank, 0.12% 3130A3GT5 Government Agency Debt First Tier Security 2015-03-07 2016-06-07 N N N 200000000.00 199965166.28 0.0018 N 199922600.00 199922600.00 Federal Home Loan Bank Federal Home Loan Bank, 0.14% 3130A2CJ3 Government Agency Debt First Tier Security 2015-03-09 2016-06-09 N N N 250000000.00 249958775.55 0.0023 N 250001250.00 250001250.00 Federal Home Loan Bank Federal Home Loan Bank, 0.14% 3130A3G99 Government Agency Debt First Tier Security 2015-05-10 2016-05-10 N N N 352000000.00 351934447.53 0.0032 N 351914464.00 351914464.00 Federal Home Loan Bank Federal Home Loan Bank, 0.14% 3130A3GR9 Government Agency Debt First Tier Security 2015-05-12 2016-05-12 N N N 200000000.00 199962583.44 0.0018 N 199928600.00 199928600.00 Federal Home Loan Bank Federal Home Loan Bank, 0.15% 3130A3FR0 Government Agency Debt First Tier Security 2015-05-06 2016-05-06 N N N 354000000.00 353955933.23 0.0032 N 353901234.00 353901234.00 Federal Home Loan Bank Federal Home Loan Bank, 0.17% 3130A3T53 Government Agency Debt First Tier Security 2015-03-23 2016-12-23 N N N 545000000.00 544875089.81 0.0049 N 544949860.00 544949860.00 Federal Home Loan Bank Federal Home Loan Bank, 0.20% 3130A2G75 Government Agency Debt First Tier Security 2015-07-17 2015-07-17 N N N 250000000.00 250000000.00 0.0023 N 250013500.00 250013500.00 Federal Home Loan Bank Federal Home Loan Bank, 0.20% 3130A2P91 Government Agency Debt First Tier Security 2015-08-17 2015-08-17 N N N 500000000.00 500000000.00 0.0045 N 499973500.00 499973500.00 Federal Home Loan Bank Federal Home Loan Bank, 0.20% 3130A2WX0 Government Agency Debt First Tier Security 2015-08-27 2015-08-27 N N N 176000000.00 175984712.36 0.0016 N 176014432.00 176014432.00 Federal Home Loan Bank Federal Home Loan Bank, 0.24% 3130A2XE1 Government Agency Debt First Tier Security 2015-03-05 2015-03-05 N N N 440000000.00 440000000.00 0.0040 N 440004840.00 440004840.00 Federal Home Loan Bank Federal Home Loan Bank, 0.25% 3130A2XR2 Government Agency Debt First Tier Security 2015-10-02 2015-10-02 N N N 390000000.00 390000000.00 0.0035 N 390002340.00 390002340.00 Freddie Mac Freddie Mac, 0.15% 3134G5PN9 Government Agency Debt First Tier Security 2015-05-14 2016-11-14 N N N 2000000000.00 1999471691.20 0.0180 N 1999058000.00 1999058000.00 Freddie Mac Freddie Mac, 0.16% 3134G5UB9 Government Agency Debt First Tier Security 2015-03-12 2016-12-12 N N N 250000000.00 249931896.75 0.0023 N 250018000.00 250018000.00 Freddie Mac Freddie Mac, 0.17% 3134G6AE3 Government Agency Debt First Tier Security 2015-03-21 2016-07-21 N N N 500000000.00 499928750.00 0.0045 N 500211500.00 500211500.00 Freddie Mac Freddie Mac, 0.18% 3134G5Z24 Government Agency Debt First Tier Security 2015-03-12 2017-01-12 N N N 500000000.00 499904669.60 0.0045 N 499906500.00 499906500.00 U.S. Treasury Bills U.S. Treasury Bills, 0.16% 912796EJ4 Treasury Debt First Tier Security 2015-06-25 2015-06-25 N N N 490000000.00 489755270.87 0.0044 N 489956880.00 489956880.00 U.S. Treasury Notes U.S. Treasury Notes, 0.10% 912828VH0 Treasury Debt First Tier Security 2015-06-30 2015-06-30 N N N 163320000.00 163466628.07 0.0015 N 163447552.92 163447552.92 U.S. Treasury Notes U.S. Treasury Notes, 0.11% 912828SZ4 Treasury Debt First Tier Security 2015-06-15 2015-06-15 N N N 1255000000.00 1255963229.07 0.0113 N 1256177190.00 1256177190.00 U.S. Treasury Notes U.S. Treasury Notes, 0.12% 912828TD2 Treasury Debt First Tier Security 2015-07-15 2015-07-15 N N N 876000000.00 876406577.70 0.0079 N 876479172.00 876479172.00 U.S. Treasury Notes U.S. Treasury Notes, 0.12% to 0.14% 912828VN7 Treasury Debt First Tier Security 2015-07-31 2015-07-31 N N N 1327000000.00 1327644524.81 0.0120 N 1327829375.00 1327829375.00 U.S. Treasury Notes U.S. Treasury Notes, 0.13% to 0.16% 912828VU1 Treasury Debt First Tier Security 2015-08-31 2015-08-31 N N N 767760000.00 768594645.11 0.0069 N 768719700.00 768719700.00 U.S. Treasury Notes U.S. Treasury Notes, 0.14% to 0.17% 912828NP1 Treasury Debt First Tier Security 2015-07-31 2015-07-31 N N N 920000000.00 926106090.29 0.0083 N 926325000.00 926325000.00 U.S. Treasury Notes U.S. Treasury Notes, 0.15% 912828NL0 Treasury Debt First Tier Security 2015-06-30 2015-06-30 N N N 400000000.00 402282346.48 0.0036 N 402281200.00 402281200.00 U.S. Treasury Notes U.S. Treasury Notes, 0.15% 912828TK6 Treasury Debt First Tier Security 2015-08-15 2015-08-15 N N N 500000000.00 500223218.80 0.0045 N 500312500.00 500312500.00 Dominion Resources, Inc. Dominion Resources, Inc., 0.37% 25746UBZ1 Other Note Second Tier Security 2015-03-20 2015-04-13 Y DOMINION RESOURCE INC VA NEW N/A N/A N N 330000000.00 330000000.00 0.0030 N 329935980.00 329935980.00 International Bank Reconstruction & Development International Bank Reconstruction & Development, 0.30% 45905U7C2 Other Note First Tier Security 2015-10-28 2015-10-28 N N N 412000000.00 412000000.00 0.0037 N 411966216.00 411966216.00 Svenska Handelsbanken AB Svenska Handelsbanken AB, 0.32% 86959JDE5 Other Note First Tier Security 2015-03-16 2015-08-14 N N N 208000000.00 208000000.00 0.0019 N 208001248.00 208001248.00 Svenska Handelsbanken AB Svenska Handelsbanken AB, 0.34% 86959JCX4 Other Note First Tier Security 2015-03-27 2015-08-27 N N N 816000000.00 816000000.00 0.0074 N 816000000.00 816000000.00 LP Pinewood SPV LLC Taxable LP Pinewood SPV LLC Taxable, 0.17% LOC Wells Fargo Bank NA VRDN 50212RAA7 Variable Rate Demand Note First Tier Security 2015-03-06 2015-03-06 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 Barclays Bank PLC Barclays Bank PLC, 0.13% 44T99LSN3 Other Instrument Time Deposits First Tier Security 2015-03-02 2015-03-02 N N N 1395000000.00 1395000000.00 0.0126 N 1395000000.00 1395000000.00 BNP Paribas SA BNP Paribas SA, 0.12% 48W995NG5 0000872786 Other Instrument Time Deposits First Tier Security 2015-03-02 2015-03-02 N N N 857000000.00 857000000.00 0.0077 N 857000000.00 857000000.00 Credit Agricole CIB Credit Agricole CIB, 0.08% 44T99HYT2 Other Instrument Time Deposits First Tier Security 2015-03-02 2015-03-02 N N N 3954000000.00 3954000000.00 0.0356 N 3954000000.00 3954000000.00 DNB Bank ASA DNB Bank ASA, 0.07% 44V99B3G4 Other Instrument Time Deposits First Tier Security 2015-03-02 2015-03-02 N N N 3232000000.00 3232000000.00 0.0291 N 3232000000.00 3232000000.00 ING Bank NV ING Bank NV, 0.14% 48X99Q5M5 0001017255 Other Instrument Time Deposits First Tier Security 2015-03-04 2015-03-04 N N N 322000000.00 322000000.00 0.0029 N 322000000.00 322000000.00 Bank of America NA In a joint trading account with Bank of America NA at 0.09%, dated 2/27/2015 due 03/02/2015 49H99QUA9_04197 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2021-01-25 2043-06-15 2.413 - 5.5 Government Agency Debt 251553.77 254628.18 FEDERAL NATIONAL MORTGAGE ASSOC 2033-08-01 2044-10-25 3.5 - 5.8 Government Agency Debt 227147.34 81708.62 GOVERNMENT NATIONAL MORTAGE ASSOC 2040-02-20 2042-09-20 3 - 5.25 Government Agency Debt 91491.38 36803.11 Unrated Security 2015-03-02 2015-03-02 N N N 362279.00 362279.13 0.0000 N 362279.13 362279.13 BNY Mellon Capital Markets LLC In a joint trading account with BNY Mellon Capital Markets LLC at 0.09%, dated 2/27/2015 due 03/02/2015 49H99QUA9_08066 Government Agency Repurchase Agreement Y US TREASURY 2015-03-12 2045-02-15 0 - 8.875 Treasury Debt 2942.98 2960.83 FEDERAL FARM CREDIT 2015-12-16 2042-11-20 0.45 - 4.875 Government Agency Debt 1372.47 1400.51 FEDERAL HOME LOAN BANK 2015-06-12 2033-02-07 0.27 - 5.125 Government Agency Debt 9363.70 9478.58 FEDERAL HOME LOAN MORTGAGE CORP 2015-05-05 2045-02-01 0 - 7 Government Agency Debt 11126.74 8740.94 FEDERAL NATIONAL MORTGAGE ASSOC 2015-04-06 2045-03-01 0 - 7.5 Government Agency Debt 26497.61 20363.35 GOVERNMENT NATIONAL MORTAGE ASSOC 2015-11-20 2045-02-20 2.5 - 10 Government Agency Debt 25526.05 23611.50 Unrated Security 2015-03-02 2015-03-02 N N N 65199.00 65198.90 0.0000 N 65198.90 65198.90 Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 0.18% 49B99GEJ6 0000812291 Government Agency Repurchase Agreement Y US TREASURY 2015-10-15 2015-10-15 N/A Treasury Debt 187523100.00 187416211.83 FEDERAL AGRICULTURE MORTGAGE CORP 2015-04-08 2015-04-29 N/A Government Agency Debt 55825000.00 55822708.75 FEDERAL HOME LOAN MORTGAGE CORP 2031-04-15 2043-10-25 3 - 7.5 Government Agency Debt 126042447.00 17608160.29 FEDERAL NATIONAL MORTGAGE ASSOC 2019-10-09 2048-01-25 0 - 8.5 Government Agency Debt 849917671.00 103733866.80 First Tier Security 2015-03-06 2015-03-06 Y MIZUHO SECS USA INC (GOV REPO) N/A N/A N N 356287000.00 356287000.00 0.0032 N 356287000.00 356287000.00 Mizuho Securities USA, Inc. In a joint trading account with Mizuho Securities USA, Inc. at 0.09%, dated 2/27/2015 due 03/02/2015 49H99QUA9_08126 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2034-09-15 2044-05-01 2.041 - 7.5 Government Agency Debt 78037.94 40339.28 FEDERAL NATIONAL MORTGAGE ASSOC 2034-08-01 2044-05-01 1.951 - 8.244 Government Agency Debt 137035.39 111259.29 GOVERNMENT NATIONAL MORTAGE ASSOC 2034-09-20 2044-04-20 0.518 - 7.281 Government Agency Debt 29024.40 22375.06 TENNESEE VALLEY AUTHORITY 2037-01-15 2038-01-15 0 - 6.15 Government Agency Debt 50.23 34.47 Unrated Security 2015-03-02 2015-03-02 N N N 170084.00 170084.10 0.0000 N 170084.10 170084.10 Wachovia Bank NA In a joint trading account with Wachovia Bank NA at 0.09%, dated 2/27/2015 due 03/02/2015 49H99QUA9_81240 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2029-12-01 2043-07-01 3 - 4 Government Agency Debt 69212.87 42077.71 FEDERAL NATIONAL MORTGAGE ASSOC 2026-11-01 2043-09-01 3 - 4 Government Agency Debt 89045.69 73551.33 Unrated Security 2015-03-02 2015-03-02 N N N 113361.00 113361.05 0.0000 N 113361.05 113361.05 Wells Fargo Securities LLC In a joint trading account with Wells Fargo Securities LLC at 0.09%, dated 2/27/2015 due 03/02/2015 49H99QUA9_08395 Government Agency Repurchase Agreement Y US TREASURY 2016-12-31 2024-08-15 2.375 - 3.75 Treasury Debt 4278.68 4517.18 FEDERAL HOME LOAN BANK 2015-08-28 2018-08-15 0 - 1.25 Government Agency Debt 16043.60 16043.34 FEDERAL HOME LOAN MORTGAGE CORP 2045-02-01 2045-02-01 3.5 - 3.5 Government Agency Debt 29404.66 30826.31 RESOLUTION FUNDING CORP 2015-04-15 2019-10-15 0 - 0 Government Agency Debt 756.88 711.88 Unrated Security 2015-03-02 2015-03-02 N N N 51077.00 51076.82 0.0000 N 51076.82 51076.82 BNP Paribas Securities Corp. BNP Paribas Securities Corp., 0.32% 48S991VR6 0001197610 Other Repurchase Agreement N FEDERAL HOME LOAN MORTGAGE CORP 2037-07-15 2044-12-15 5.728 - 6.378 Government Agency Debt 772660826.00 69192973.84 FEDERAL NATIONAL MORTGAGE ASSOC 2021-05-25 2045-01-25 0.297 - 6.432 Government Agency Debt 1146090601.00 84373298.64 GOVERNMENT NATIONAL MORTAGE ASSOC 2039-07-20 2044-06-16 1.176 - 6.432 Government Agency Debt 1296489616.00 86430127.24 First Tier Security 2015-03-02 2015-03-02 N N N 233000000.00 233000000.00 0.0021 N 233000000.00 233000000.00 Citigroup Global Markets, Inc. Citigroup Global Markets, Inc., 0.22% 48Y99UKB2 0000315030 Other Repurchase Agreement N ARAMARK 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 486800.00 15480240.00 BROADCOM-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 364200.00 16643940.00 CIT GROUP 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 200843.00 9286980.32 CATAMARAN 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 317600.00 16318288.00 CHESAPEAKE ENERGY 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 921800.00 15854960.00 COMMVAULT SYSTEMS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 328700.00 15396308.00 COPART 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 442200.00 16768224.00 DAVITA HLTH CARE 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 213100.00 15833330.00 ENTERPRISE PRODUCTS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1070704.00 35022727.84 FMC TECHNOLOGIES 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 408400.00 16327832.00 FEDEX 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 98400.00 17180640.00 GOOGLE-C 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 28400.00 15775632.00 IDEXX LABS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 104700.00 16545741.00 KKR 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 651300.00 15299037.00 LABORATORY CORP 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 134553.00 16753194.03 MACROGENICS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 499400.00 17289228.00 ORACLE 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 362700.00 15918903.00 PANDORA MEDIA 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1076200.00 16336716.00 PLAINS GP HLDGS-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1478914.00 41601850.82 SANGAMO BIOSCIENCES 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 913200.00 15497004.00 TEXAS ROADHOUSE 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 448000.00 16876160.00 First Tier Security 2015-03-02 2015-03-02 N N N 350000000.00 350000000.00 0.0032 N 350000000.00 350000000.00 Citigroup Global Markets, Inc. Citigroup Global Markets, Inc., 0.29% 48Y99UJY4 0000315030 Other Repurchase Agreement N AES 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1.00 12.63 AM ELECTRIC 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 244700.00 14048227.00 BOSTON PRIV HLDG 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1105500.00 13896135.00 BROOKF 7.625%CRP-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 66499.00 1659815.04 CBS-B 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 255800.00 15128012.00 CIT GROUP 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 128757.00 5953723.68 CAPITAL ONE FINL 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 186400.00 14753560.00 CHEVRON 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 129400.00 13853564.00 COMCAST 2% ZONES 29 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 194189.00 9282234.20 COMM HEALTH SYSTEMS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 283800.00 13846602.00 CONAGRA FOODS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 237097.00 8220152.99 ELECTRONIC ARTS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 246000.00 14200350.00 GULFPORT ENERGY 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 329253.00 15032045.72 IMS HEALTH 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 532100.00 14111292.00 INSYS THERAPEUT 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 231200.00 14036152.00 JOHNSON CONTROLS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 271600.00 13840736.00 NY CMN 6% BONUSES51 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 126098.00 6229241.20 PFIZER 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 426088.00 14738383.92 SYNERGY RESOURCES 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1253500.00 14853975.00 VISA-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 53225.00 14570343.75 WALGREENS BOOTS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 177300.00 14476545.00 TYCO INTERNAT 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 334100.00 14262729.00 7.875 FIAT CH 16CV 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 199436.00 26315580.20 TEEKAY 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 342700.00 15102789.00 First Tier Security 2015-03-04 2015-03-04 N N N 280000000.00 280000000.00 0.0025 N 280001988.00 280001988.00 Citigroup Global Markets, Inc. Citigroup Global Markets, Inc., 1.00% 48Y99UFK8 0000315030 Other Repurchase Agreement N ACA ABS 2038-06-10 2038-06-10 2.488 - 2.488 Other Instrument ASSET BACKED 7500000.00 4836447.75 ACACIA CDO 2047-10-08 2047-10-08 1.551 - 1.551 Other Instrument ASSET BACKED 16000000.00 8795971.51 ADAMS SQUARE FUNDING 2047-03-10 2047-03-10 2.256 - 2.256 Other Instrument ASSET BACKED 10000000.00 5492910.91 ADAMS SQUARE FUNDING 2047-03-10 2047-03-10 7.256 - 7.256 Other Instrument ASSET BACKED 5000000.00 6708229.26 AIRPLANES PASS THRU TR 2019-03-15 2019-03-15 N/A Other Instrument ASSET BACKED 9550000.00 6727680.60 ANSONIA CDO 2046-07-28 2046-07-28 5.961 - 5.961 Other Instrument ASSET BACKED 17000000.00 8625662.58 BAYVIEW FINANCIAL ACQUISITION TRUST 2037-08-28 2037-08-28 1.019 - 1.019 Other Instrument ASSET BACKED 25676000.00 8410375.64 BAYVIEW COMMERCIAL ASSET TRUST 2037-10-25 2037-10-25 1.071 - 1.071 Other Instrument MORTGAGE 27491000.00 7376090.42 COUNTRYWIDE HOME EQUITY LOAN TRUST 2033-12-15 2033-12-15 0.473 - 0.473 Other Instrument ASSET BACKED 8376628.00 399341.39 CWALT ALTERNATIVE LOAN TRUST 2036-09-25 2036-09-25 7 - 7 Other Instrument MORTGAGE 34073000.00 8969452.14 CITIGROUP COMMERCIAL MORTGAGE TRUST 2021-08-15 2021-08-15 1.672 - 1.672 Other Instrument MORTGAGE 8985082.00 8833213.15 CITIGROUP MORTGAGE LOAN TRUST 2037-01-25 2037-01-25 0.451 - 0.451 Other Instrument ASSET BACKED 7714000.00 5207867.22 CITICORP RESIDENTIAL MORTGAGE TRUST 2037-06-25 2037-06-25 6.391 - 6.391 Other Instrument ASSET BACKED 6714000.00 4979781.95 CITIGROUP MORTGAGE LOAN TRUST 2046-10-25 2046-10-25 N/A Other Instrument MORTGAGE 599517000.00 5763248.64 COBALT CMBS COMMERCIAL MORTGAGE TRUST 2048-08-17 2048-08-17 5.289 - 5.289 Other Instrument MORTGAGE 15750000.00 7098745.01 GCCFC COMMERCIAL PASS-THROUGH CERTIFICATES 2039-03-10 2039-03-10 5.554 - 5.554 Other Instrument MORTGAGE 2633086.00 809573.16 CREDIT SUISSE COMMERCIAL MORTGAGE TRUST 2021-10-15 2021-10-15 1.922 - 1.922 Other Instrument MORTGAGE 7300000.00 6472087.83 CWHEQ REVOLVING HOME EQUITY LOAN RESECURITIZATION TRUST 2035-04-15 2035-04-15 0.403 - 0.403 Other Instrument ASSET BACKED 78455339.00 9096221.47 DIOGENES CDO 2043-12-15 2043-12-15 N/A Other Instrument ASSET BACKED 245500000.00 6899152.75 EXETER AUTOMOBILE RECEIVABLES TRUST 2021-04-15 2021-04-15 N/A Other Instrument ASSET BACKED 9000000.00 9160377.00 FIRST FRANKLIN MORTGAGE LOAN TRUST ABS CERTIFICATES 2036-11-25 2036-11-25 0.481 - 0.481 Other Instrument ASSET BACKED 25000000.00 7529039.24 GE COMMERCIAL MORTGAGE CORPORATION 2048-06-10 2048-06-10 4.857 - 4.857 Other Instrument MORTGAGE 8000000.00 7649932.47 GEMSTONE CDO 0.5146 12DEC45 144A FR 2045-12-12 2045-12-12 N/A Other Instrument ASSET BACKED 150000000.00 7997718.75 GREEN TREE FINANCIAL CORPORATION (MANUFACTURED HOUSING) 2029-01-15 2029-01-15 7.21 - 7.21 Other Instrument ASSET BACKED 7203171.00 6814245.39 HG-COLL 2052-04-05 2052-04-05 0.906 - 0.906 Other Instrument ASSET BACKED 51909291.00 5843848.78 HARBORVIEW MORTGAGE LOAN TRUST 2036-12-19 2036-12-19 0.364 - 0.364 Other Instrument MORTGAGE 27960000.00 9089203.04 IRWIN HOME EQUITY CORPORATION TRUST 2036-02-25 2036-02-25 6.4 - 6.4 Other Instrument ASSET BACKED 11500000.00 9086903.89 JP MORGAN MORTGAGE ACQUISITION CORP 2036-04-25 2036-04-25 0.491 - 0.491 Other Instrument ASSET BACKED 11000000.00 7458310.14 KODIAK CDO 2037-08-07 2037-08-07 0.887 - 0.887 Other Instrument ASSET BACKED 13500000.00 5303655.75 LAKESIDE CDO 2040-01-02 2040-01-02 1.285 - 1.285 Other Instrument ASSET BACKED 17250000.00 5483257.50 LEHMAN MORTGAGE TRUST 2037-01-25 2037-01-25 N/A Other Instrument MORTGAGE 115125000.00 8038271.92 NOMURA ASSET ACCEPTANCE CORP ALTERNATIVE LOAN TRUST 2036-06-25 2036-06-25 3.344 - 3.344 Other Instrument MORTGAGE 41062000.00 8401758.50 RAMP 2036-07-25 2036-07-25 0.521 - 0.521 Other Instrument ASSET BACKED 10000000.00 6731367.92 RASC 2036-01-25 2036-01-25 0.601 - 0.601 Other Instrument ASSET BACKED 15400000.00 7770049.89 SACO I TRUST 2035-09-25 2035-09-25 0.98 - 0.98 Other Instrument ASSET BACKED 30384000.00 7606926.00 SOLOSO CDO 2037-10-07 2037-10-07 0.574 - 0.574 Other Instrument ASSET BACKED 16350433.00 8196908.07 TABERNA PREFERRED FUNDING 2037-02-05 2037-02-05 0.755 - 0.755 Other Instrument ASSET BACKED 22681000.00 4869372.55 First Tier Security 2015-06-16 2015-06-16 Y CITIGROUP GLB MKT INC(NON GOV) N/A N/A N N 235000000.00 235000000.00 0.0021 Y 235047000.00 235047000.00 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.40% 48Z992TG3 0000318336 Other Repurchase Agreement N FIRST HORIZON ALTERNATIVE MORT 2034-10-25 2034-10-25 0.331 - 0.331 Other Instrument ASSET BACKED 29411339.00 5290772.23 J.P. MORGAN MORTGAGE ACQUISITI 2035-07-25 2035-07-25 0.851 - 0.851 Other Instrument ASSET BACKED 18087000.00 15407369.50 JPMORGAN CHASE COMMERCIAL MORT 2051-02-15 2051-02-15 6.012 - 6.012 Other Instrument ASSET BACKED 7420000.00 7576107.68 LB-UBS COMMERCIAL MORTGAGE TRU 2039-09-15 2039-09-15 5.639 - 5.639 Other Instrument ASSET BACKED 4300000.00 2170818.99 LONG BEACH MORTGAGE LOAN TRUST 2035-05-25 2035-05-25 1.146 - 1.146 Other Instrument ASSET BACKED 6750000.00 5659791.47 MERRILL LYNCH MORTGAGE TRUST 2 2050-06-12 2050-06-12 5.824 - 5.824 Other Instrument ASSET BACKED 4573740.00 4751438.29 MOMENTIVE PERFORMANCE MATERIAL 2022-04-24 2022-04-24 4.69 - 4.69 Other Instrument ASSET BACKED 2890000.00 2304122.36 THE NATIONAL COLLEGIATE STUDEN 2033-01-25 2033-01-25 0.461 - 0.461 Other Instrument ASSET BACKED 26000000.00 17407796.38 POPULAR ABS MORTGAGE PASS-THRO 2034-09-25 2034-09-25 5.626 - 5.626 Other Instrument ASSET BACKED 4950000.00 1365089.13 STRUCTURED ASSET INVESTMENT LO 2033-11-25 2034-11-25 0.921 - 1.146 Other Instrument ASSET BACKED 51867000.00 39358628.04 (SASCO) STRUCTURED ASSET SECUR 2033-10-25 2033-10-25 1.296 - 1.296 Other Instrument ASSET BACKED 15000000.00 552238.78 WACHOVIA BANK COMMERCIAL MORTG 2049-06-15 2049-06-15 5.721 - 5.721 Other Instrument ASSET BACKED 4505000.00 4597026.27 SAND TRUST 2001-1 2033-07-25 2033-07-25 2.346 - 2.346 Other Instrument ASSET BACKED 8262000.00 723738.95 BAYVIEW 2004-D 2049-04-08 2049-04-08 2.919 - 2.919 Other Instrument ASSET BACKED 8292000.00 4033223.93 CD 2006-CD3 MORTGAGE TRUST 2048-10-15 2048-10-15 5.748 - 5.748 Other Instrument ASSET BACKED 8800000.00 4787437.87 CREDIT SUISSE COMMERCIAL MORTG 2040-09-15 2040-09-15 5.869 - 5.869 Other Instrument ASSET BACKED 11890000.00 12357511.87 CSFB MORTGAGE-BACKED TRUST SER 2036-04-25 2036-04-25 5.65 - 5.65 Other Instrument ASSET BACKED 16950000.00 7742049.99 First Tier Security 2015-03-02 2015-03-02 N N N 126000000.00 126000000.00 0.0011 N 126000000.00 126000000.00 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.45% 48Z992TA6 0000318336 Other Repurchase Agreement N CARRINGTON MORTGAGE LOAN TRUST 2036-12-25 2036-12-25 0.431 - 0.431 Other Instrument ASSET BACKED 36740000.00 26066257.52 CWABS ASSET-BACKED CERTIFICATE 2047-06-25 2047-06-25 0.421 - 0.421 Other Instrument ASSET BACKED 58787000.00 29166780.34 GSAA HOME EQUITY TRUST 2007-5 2047-04-25 2047-04-25 0.311 - 0.311 Other Instrument ASSET BACKED 42255000.00 3669812.54 HOME EQUITY MORTGAGE LOAN ASSE 2047-04-25 2047-04-25 0.411 - 0.411 Other Instrument ASSET BACKED 37805000.00 21827866.73 JP MORGAN MORTGAGE ACQUISITION 2036-12-25 2036-12-25 0.291 - 0.291 Other Instrument ASSET BACKED 57829000.00 26962233.68 LIFT 2001-1 (LEASE INVSTMENT F 2031-07-15 2031-07-15 1.102 - 1.102 Other Instrument ASSET BACKED 41798299.00 18706492.33 MORGAN STANLEY ABS CAPITAL I, 2036-06-25 2036-06-25 0.321 - 0.321 Other Instrument ASSET BACKED 63762107.00 15523075.03 NEWCASTLE MORTGAGE SECURITIES 2037-04-25 2037-06-25 0.401 - 0.671 Other Instrument ASSET BACKED 90736000.00 40518061.38 TERWIN CAPITAL, LLC 2036-08-25 2036-08-25 0.451 - 0.451 Other Instrument ASSET BACKED 49666000.00 4405150.89 First Tier Security 2015-03-04 2015-03-04 N N N 173000000.00 173000000.00 0.0016 N 173002750.70 173002750.70 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.75% 48Z992EM6 0000318336 Other Repurchase Agreement N 51-100 2019-01-15 2047-10-25 0.281 - 8.85 Other Instrument MORTGAGE 961508014.00 240356305.82 First Tier Security 2015-04-02 2015-04-02 N N N 222000000.00 222000000.00 0.0020 Y 222037740.00 222037740.00 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.75% 48Z992FP8 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 5947149.93 AVIATION CAPITAL GROUP TRUST 2025-11-15 2025-11-15 0.652 - 0.652 Other Instrument ASSET BACKED 8700000.00 1463167.07 BANC OF AMERICA COMMERCIAL MOR 2049-04-10 2049-04-10 5.638 - 5.638 Other Instrument ASSET BACKED 2091424.00 2120082.51 BAYVIEW FINANCIAL REVOLVING AS 2039-05-28 2040-12-28 0.669 - 1.169 Other Instrument ASSET BACKED 10425000.00 4423312.50 BEAR STEARNS MORTGAGE FUNDING 2037-03-25 2037-03-25 2.171 - 2.171 Other Instrument ASSET BACKED 3251000.00 2326428.24 BUSINESS LOAN EXPRESS BUSINESS 2040-10-20 2040-10-20 0.555 - 0.555 Other Instrument ASSET BACKED 13450000.00 2500668.49 CWABS INC. 2033-03-25 2033-03-25 1.618 - 1.618 Other Instrument ASSET BACKED 3000000.00 739319.85 COUNTRYWIDE HOME LOAN TRUST 2034-02-15 2034-02-15 0.472 - 0.472 Other Instrument ASSET BACKED 202914000.00 5008927.00 CWHEQ REVOLVING HOME EQUITY LO 2035-12-15 2035-12-15 0.412 - 0.412 Other Instrument ASSET BACKED 100000000.00 5828282.98 CENTEX HOME EQUITY LOAN TRUST 2035-01-25 2035-01-25 0.721 - 0.721 Other Instrument ASSET BACKED 4000000.00 694669.54 CITIBANK CREDIT CARD ISSUANCE 2037-10-25 2037-10-25 1.171 - 1.171 Other Instrument ASSET BACKED 2448000.00 798619.62 CWABS ASSET-BACKED CERTIFICATE 2036-11-25 2036-11-25 0.521 - 0.521 Other Instrument ASSET BACKED 8248000.00 4665208.73 ELLINGTON LOAN ACQUISITION TRU 2037-05-25 2037-05-25 1.271 - 1.271 Other Instrument ASSET BACKED 10000000.00 7631266.71 FREMONT HOME LOAN TRUST 2006-C 2036-10-25 2036-10-25 0.306 - 0.306 Other Instrument ASSET BACKED 329746000.00 90271183.35 HOME EQUITY MORTGAGE LOAN ASSE 2047-04-25 2047-04-25 0.411 - 0.411 Other Instrument ASSET BACKED 37195000.00 21475664.68 IRWIN HOME EQUITY LOAN TRUST 2 2037-06-25 2037-06-25 0.311 - 0.311 Other Instrument ASSET BACKED 34622000.00 5334618.76 MASTR SPECIALIZED LOAN TRUST 2 2046-06-25 2046-06-25 0.431 - 0.431 Other Instrument ASSET BACKED 8989000.00 2197889.90 MORGAN STANLEY ABS CAPITAL I, 2035-01-25 2035-01-25 0.651 - 0.651 Other Instrument ASSET BACKED 6000000.00 1016786.01 QUEST TRUST 2002-X1 2035-12-25 2035-12-25 0.456 - 0.456 Other Instrument ASSET BACKED 73635000.00 14013372.71 TERWIN CAPITAL, LLC 2036-12-25 2036-12-25 0.411 - 0.411 Other Instrument ASSET BACKED 22850887.00 1249614.72 First Tier Security 2015-04-06 2015-04-06 N N N 166000000.00 166000000.00 0.0015 Y 166031540.00 166031540.00 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.75% 48Z992ES3 0000318336 Other Repurchase Agreement N APIDOS CLO XVI 2025-01-19 2025-01-19 4.742 - 4.742 Other Instrument ASSET BACKED 5000000.00 4380129.87 BALLYROCK CLO 2013-1 LTD 2025-05-20 2025-05-20 N/A Other Instrument ASSET BACKED 500000.00 458682.51 C-BASS TRUST 1999-CB1 2035-05-25 2035-05-25 5.774 - 5.774 Other Instrument ASSET BACKED 3500000.00 782298.39 COUNTRYWIDE HOME LOAN TRUST 2035-04-25 2035-07-25 0.631 - 1.021 Other Instrument ASSET BACKED 15370000.00 11354871.14 CREDIT SUISSE FIRST BOSTON MOR 2033-02-25 2033-02-25 1.521 - 1.521 Other Instrument ASSET BACKED 1800000.00 532484.69 FIGUEROA CLO 2013-1 LTD 2024-03-21 2024-03-21 5.029 - 5.029 Other Instrument ASSET BACKED 2500000.00 2253736.56 FIRST FRANKLIN MORTGAGE LOAN T 2034-09-25 2034-09-25 1.041 - 1.041 Other Instrument ASSET BACKED 4022038.00 2960362.85 GREENPOINT CREDIT, LLC 2032-04-20 2032-04-20 1.444 - 1.444 Other Instrument ASSET BACKED 4000000.00 2408107.04 KVK CLO 2013-2 LTD 2026-01-15 2026-01-15 4.989 - 4.989 Other Instrument ASSET BACKED 3354000.00 2883473.66 LEHMAN ABS MANUFACTURED HOUSIN 2028-03-15 2028-03-15 6.63 - 6.63 Other Instrument ASSET BACKED 32554000.00 33912064.69 NOMAD CLO LTD 2025-01-15 2025-01-15 4.976 - 4.976 Other Instrument ASSET BACKED 2000000.00 1822279.21 NORTHWOODS CAP XIV LTD 2025-11-12 2025-11-12 5.582 - 5.582 Other Instrument ASSET BACKED 5000000.00 4554412.96 OHA CR PARTNERS VII LTD 2023-11-20 2023-11-20 5.229 - 5.229 Other Instrument ASSET BACKED 1500000.00 1370779.04 PARK PLACE SECURITIES, INC. 2034-12-25 2034-12-25 1.446 - 1.446 Other Instrument ASSET BACKED 3800000.00 3380773.91 SANTANDER DRIVE AUTO 2022-04-15 2022-04-15 4.23 - 4.23 Other Instrument ASSET BACKED 35610000.00 32765443.51 STRUCTURED ASSET INVESTMENT LO 2034-04-25 2034-04-25 1.146 - 1.146 Other Instrument ASSET BACKED 90640000.00 13148550.65 NEUBERGER BERMAN CLO XIII LTD 2024-01-23 2024-01-23 5.465 - 5.465 Other Instrument ASSET BACKED 3675000.00 3367257.27 First Tier Security 2015-04-08 2015-04-08 N N N 113000000.00 113000000.00 0.0010 Y 113022600.00 113022600.00 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.75% 48Z992FB9 0000318336 Other Repurchase Agreement N 51-100 2033-08-25 2047-06-25 0.281 - 5.984 Other Instrument MORTGAGE 525819717.00 240336795.78 First Tier Security 2015-04-10 2015-04-10 N N N 222000000.00 222000000.00 0.0020 Y 222046620.00 222046620.00 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.75% 48Z992KY3 0000318336 Other Repurchase Agreement N AIRLIE CLO 2006-II LTD (ISSUER 2020-12-20 2020-12-20 1.007 - 1.007 Other Instrument ASSET BACKED 800000.00 762630.08 AMERICREDIT AUTOMOBILE 2018-10-09 2018-10-09 2.68 - 2.68 Other Instrument ASSET BACKED 4734000.00 4779836.56 AMERICREDIT AUTOMOBILE 2020-11-09 2020-11-09 2.47 - 2.47 Other Instrument ASSET BACKED 6060000.00 6070499.48 ATRIUM IX 2024-02-28 2024-02-28 N/A Other Instrument ASSET BACKED 2315000.00 2236984.39 CWABS INC. 2033-05-25 2033-05-25 1.031 - 1.031 Other Instrument ASSET BACKED 137017000.00 1140166.60 COLLEGE LOAN CORPORATION TRUST 2047-11-01 2047-11-01 N/A Other Instrument ASSET BACKED 35000000.00 34981168.21 COLUMBUSNOVA CLO LTD. 2006-1/ 2018-07-18 2018-07-18 1.803 - 1.803 Other Instrument ASSET BACKED 1000000.00 982448.64 CREDIT SUISSE FIRST BOSTON-HOM 2036-02-25 2036-02-25 0.871 - 0.871 Other Instrument ASSET BACKED 5000000.00 482015.72 MORGAN STANLEY ABS CAPITAL I, 2035-07-25 2035-07-25 0.671 - 0.671 Other Instrument ASSET BACKED 815000.00 424079.60 POPULAR ABS MORTGAGE PASS-THRO 2034-09-25 2034-09-25 0.511 - 0.511 Other Instrument ASSET BACKED 55000000.00 3291833.79 RAMP SERIES 2004-RS8 TRUST 2035-10-25 2035-10-25 0.571 - 0.571 Other Instrument ASSET BACKED 540000.00 522921.81 SLM PRIVATE CREDIT STUDENT LOA 2033-09-15 2033-09-15 1.111 - 1.111 Other Instrument ASSET BACKED 597000.00 295862.34 SANTANDER DRIVE AUTO 2018-05-15 2018-05-15 5.76 - 5.76 Other Instrument ASSET BACKED 6730000.00 6881680.38 SANTANDER DRIVE AUTO 2020-06-15 2020-06-15 3.41 - 3.41 Other Instrument ASSET BACKED 35220000.00 35166770.77 SPECIALTY UNDERWRITING AND RES 2036-06-25 2036-06-25 0.621 - 0.621 Other Instrument ASSET BACKED 4000000.00 3796437.98 STRUCTURED ASSET SECURITIES CO 2031-04-25 2031-04-25 0.468 - 0.468 Other Instrument ASSET BACKED 900000.00 299483.09 WACHOVIA BANK COMMERCIAL MORTG 2041-01-15 2041-01-15 5.189 - 5.189 Other Instrument ASSET BACKED 1500000.00 1543087.01 WHITEHORSE IV LTD. 2020-01-17 2020-01-17 1.216 - 1.216 Other Instrument ASSET BACKED 5000000.00 4835624.99 First Tier Security 2015-04-30 2015-04-30 N N N 102000000.00 102000000.00 0.0009 Y 102031620.00 102031620.00 HSBC Securities, Inc. HSBC Securities, Inc., 0.22% 48R9932C8 0000853784 Other Repurchase Agreement N AMERICAN TOWER REIT 2024-02-15 2024-02-15 5 - 5 Other Instrument CORPORATE 26946000.00 29342606.81 AUTOZONE INC. 2022-04-15 2022-04-15 3.7 - 3.7 Other Instrument CORPORATE 589000.00 620700.97 BANK NEW YORK MELLON CORP COM 2043-05-17 2043-05-17 N/A Other Instrument CORPORATE 11467000.00 10807647.45 BRITISH TELECOMMUNICATIONS 2015-06-22 2015-06-22 2 - 2 Other Instrument CORPORATE 1050000.00 1058275.22 CBS CORP NEW 2021-02-15 2024-08-15 3.7 - 4.3 Other Instrument CORPORATE 1224000.00 1332312.11 CF INDUSTRIES, INC. 2044-03-15 2044-03-15 5.375 - 5.375 Other Instrument CORPORATE 17500000.00 20397031.01 DELPHI CORPORATION 2024-03-15 2024-03-15 4.15 - 4.15 Other Instrument CORPORATE 18075000.00 19395710.97 DIRECTV HOLDINGS LLC 2016-03-01 2016-03-01 3.5 - 3.5 Other Instrument CORPORATE 11239000.00 11697956.88 DIRECTV HLDGS LLC / DIRECTV 2025-01-15 2025-01-15 3.95 - 3.95 Other Instrument CORPORATE 13179000.00 13694283.86 DOW CHEMICAL COMPANY 2021-11-15 2022-11-15 3 - 4.125 Other Instrument CORPORATE 378000.00 410490.89 EASTMAN CHEMICAL COMPANY 2044-10-15 2044-10-15 4.65 - 4.65 Other Instrument CORPORATE 8820000.00 9519822.79 ECOPETROL S.A. 2023-09-18 2023-09-18 5.875 - 5.875 Other Instrument CORPORATE 50000.00 55497.40 FIRST AMERICAN FINANCIAL CORPO 2024-11-15 2024-11-15 4.6 - 4.6 Other Instrument CORPORATE 2000000.00 2087884.43 INGERSOLL-RAND LUXEMBOURG FIN 2024-11-01 2024-11-01 3.55 - 3.55 Other Instrument CORPORATE 10030000.00 10274979.46 INTERNATIONAL PAPER CAPITAL TR 2024-06-15 2024-06-15 3.65 - 3.65 Other Instrument CORPORATE 10000000.00 10277869.70 KRAFT FOODS INC. 2037-08-11 2037-08-11 7 - 7 Other Instrument CORPORATE 505000.00 696739.50 THE KROGER CO. 2021-01-15 2043-08-01 3.3 - 5.15 Other Instrument CORPORATE 9000000.00 10041365.86 LABORATORY CORP OF 2022-02-01 2025-02-01 3.2 - 3.6 Other Instrument CORPORATE 28500000.00 28811480.40 LLOYDS TSB BNK PLC 2020-09-14 2020-09-14 6.5 - 6.5 Other Instrument CORPORATE 15000.00 18040.66 MARATHON PETE CORP 2041-03-01 2044-09-15 4.75 - 6.5 Other Instrument CORPORATE 11075000.00 13022043.84 METLIFE CAPITAL TRUST I 2036-12-15 2036-12-15 6.4 - 6.4 Other Instrument CORPORATE 7000000.00 8237133.62 MONDELEZ INTERNATIONAL INC 2024-02-01 2024-02-01 4 - 4 Other Instrument CORPORATE 5000.00 5409.13 MOTOROLA INC. 2044-09-01 2044-09-01 5.5 - 5.5 Other Instrument CORPORATE 17500000.00 18859439.49 NEWELL RUBBERMAID INC < 2024-12-01 2024-12-01 4 - 4 Other Instrument CORPORATE 10000000.00 10566189.29 SOCIETE GENERALE 2024-01-17 2024-01-17 5 - 5 Other Instrument CORPORATE 200000.00 212073.11 THAI OIL PUB CO LTD 2023-01-23 2023-01-23 3.625 - 3.625 Other Instrument CORPORATE 8000000.00 7914428.71 TIME WARNER CABLE INC. 2019-02-14 2041-09-01 5.5 - 8.75 Other Instrument CORPORATE 2371000.00 2945465.99 UBS AG (STAMFORD) 2022-08-17 2022-08-17 7.625 - 7.625 Other Instrument CORPORATE 406000.00 492720.84 WALGREENS BOOTS ALLIANCE INC 2024-11-18 2024-11-18 3.8 - 3.8 Other Instrument CORPORATE 16852000.00 17733865.45 EDF S.A. 2044-01-22 2044-01-22 N/A Other Instrument CORPORATE 1500000.00 1621874.93 S A C I FALABELLA 2023-04-30 2023-04-30 3.75 - 3.75 Other Instrument CORPORATE 345000.00 352061.29 First Tier Security 2015-03-02 2015-03-02 N N N 250000000.00 250000000.00 0.0023 N 250000000.00 250000000.00 J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp., 0.34% 49B99BAJ1 Other Repurchase Agreement N ADAMS RES & ENERGY INC 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 3378.00 239804.22 ALMOST FAMILY INC 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 2775.00 92130.00 AMERICAN INTERNATIONAL GROUP, 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 577747.00 13432617.75 ANHEUSER-BUSCH INBEV SA/NV 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 4991.00 636302.59 BANK OF AMERICA CORPORATION 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 41733.00 669397.32 BARCLAYS PLC 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 407489.00 6564647.79 CENTRAL FD CDA LTD 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 4456665.00 55039812.75 CHINA LIFE INSURANCE COMPANY L 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 97337.00 6234434.85 COCA-COLA FEMSA, S.A. DE C.V. 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 6341.00 559846.89 COVENANT TRANSPORT 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 11848.00 376055.52 CREDIT SUISSE GROUP ADR 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 146680.00 3606861.20 FELCOR LODGING TR INC 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 14694.00 156491.10 FLEXION THERAPEUTICS INC 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 5623.00 128710.47 GENMARK DIAGNOSTICS INC 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 24463.00 315572.70 ADR GOLD FIELDS LIMITED 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 1058764.00 4880902.04 GRUPO AEROPORTUARIO DEL PACIFI 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 958.00 64607.52 GUANGSHEN RAILWAY COMPANY LIMI 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 8202.00 205542.12 IRSA INVERSIONES Y REPRESENTAC 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 2344.00 40129.28 KEMET CORPORATION 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 13.00 59.41 KINDER MORGAN INC DEL 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 13379443.00 52179827.70 LUXOTTICA GROUP S P A 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 1469.00 90578.54 MEADOWBROOK INSURANCE GROUP, I 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 30266.00 256050.36 NEUROCRINE BIOSCIENCES, INC. 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 4970.00 199048.50 NOKIA CORPORATION 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 373304.00 2990165.04 NOVAGOLD RESOURCE INC 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 3284622.00 11988870.30 OIL DRI CORPORATION OF AMERICA 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 2405.00 73665.15 PCTEL, INC. 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 56780.00 459350.20 POSCO ADR < 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 1329.00 83727.00 RICHARDSON ELECTRONICS LTD. 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 51370.00 475177.64 RYANAIR HOLDINGS PLC 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 152633.00 9696011.33 SCHWEITZER-MAUDUIT INTL INC 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 6748.00 314321.84 SHIRE LIMITED 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 65292.00 16181969.28 ADRSMITH & NEPHEW PLC- LEVEL I 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 1345.00 48877.30 SUNCOR ENERGY INC NEW F- 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 2128.00 64861.44 TALISMAN ENERGY INC. 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 5631722.00 43533211.06 TEVA PHARMACEUTICAL INDUSTRIES 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 50630.00 2860088.70 WINTHROP REALTY TRUST, INC< 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 3390.00 53968.80 First Tier Security 2015-03-06 2015-03-06 Y JP MORGAN CLRING(NON GOV REPO) N/A N/A N N 216000000.00 216000000.00 0.0019 N 216000000.00 216000000.00 J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp., 0.73% 49B99BAH5 Other Repurchase Agreement N AFFYMETRIX, INC. 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 2770000.00 5668342.41 AKORN INC 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 2370000.00 14458132.86 AMERICAN RLTY CAP PPTYS INC 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 28979000.00 27377910.25 ARRAY BIOPHARMA 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 5000000.00 6708900.00 BANK OF AMERICA CORPORATION 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 493351.00 7913350.04 CHART INDUSTRIES, INC. 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 1000.00 967.70 CIENA CORPORATION 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 2988000.00 3605516.47 COLONY FINANCIAL, INC. 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 1697000.00 1885234.63 ENCORE CAPITAL GROUP INC 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 869.00 1256.65 EXELIXIS, INC. 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 4680000.00 3561639.12 EXTRA SPACE STORAGE LP 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 2489000.00 2980477.94 FORESTAR GROUP INC 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 842000.00 782543.85 HAWAIIAN HOLDINGS INC 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 1148000.00 2848185.70 HELIX ENERGY SOLUTIONSGROUP IN 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 6733000.00 6933071.10 3C7/REG S HERALD LIMITED, SERI 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 116908.00 88525.31 HOLOGIC 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 29874000.00 34567653.51 IXIA 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 1550000.00 1563226.15 ICONIX BRAND GROUP INC *- 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 7463000.00 9028670.23 KAISER ALUMINUM CORPORATION 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 27050000.00 43149483.75 KEMET CORPORATION 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 8.00 36.56 KINDER MORGAN INC DEL 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 2413.00 9410.70 LEVEL 3 COMMUNICATIONS, INC. 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 1000.00 1997.89 MEDICINES COMPANY (THE) CONV P 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 12496000.00 13524108.40 MENTOR GRAPHICS CORP 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 1400000.00 1837546.20 MERITOR INCORPORATED 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 6790000.00 11252646.02 MERRIMACK PHARMACEUTICALS INC 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 3198000.00 5837549.25 NOVAGOLD RESOURCE INC 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 4.00 14.60 PFD NUVASIVE INC SR-D1 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 1700000.00 2214086.80 PROOFPOINT INC 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 100.00 156.89 RAIT INVESTMENT TRUST @ 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 2000.00 1772.67 RAMBUS INC. 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 74000.00 88095.96 SALIX PHARMACEUTICALS LTD DEL 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 20418000.00 49435469.48 SAN DISK CORPORATION 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 196.00 208.85 SEMICONDUCTOR MANUFACTURING IN 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 1.00 4.32 SERVICENOW INC 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 3300.00 4067.09 SOLARCITY CORP 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 12500000.00 13267962.50 SUNEDISON INC 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 16263000.00 27430879.93 TAKE-2 INTERACTIVE SOFTWARE 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 12329000.00 18252209.14 THERAVANCE, INC 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 2555000.00 2283500.59 TRULIA INC 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 14000.00 22610.08 TWITTER INC 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 75000.00 73856.40 VOLCANO CORPORATION 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 8582000.00 8621897.72 WEB.COM GROUP INC 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 3421000.00 3062858.93 WEBMD HEALTH CORP. 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 2000.00 2040.90 WELLPOINT INC COM < 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 46235000.00 91927154.87 WRIGHT MEDICAL GROUP 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 1000.00 1052.03 XPO LOGISTICS INC 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 4538000.00 12585575.75 First Tier Security 2015-05-28 2015-05-28 Y JP MORGAN CLRING(NON GOV REPO) N/A N/A N N 400000000.00 400000000.00 0.0036 Y 400164000.00 400164000.00 J.P. Morgan Securities, LLC J.P. Morgan Securities, LLC, 0.24% 48W99W5E1 0001287279 Other Repurchase Agreement N US TREASURY 2017-01-31 2017-01-31 0.5 - 0.5 Treasury Debt 64735000.00 64605871.22 FEDERAL HOME LOAN MORTGAGE CORP 2032-03-15 2044-05-15 1.828 - 13.213 Government Agency Debt 278986795.00 25528123.96 FEDERAL NATIONAL MORTGAGE ASSOC 2044-08-25 2044-08-25 0.52 - 0.52 Government Agency Debt 61249202.00 49611401.07 GOVERNMENT NATIONAL MORTAGE ASSOC 2028-07-16 2056-07-16 0.424 - 7.281 Government Agency Debt 1089460461.00 304588135.47 First Tier Security 2015-03-04 2015-03-04 N N N 432000000.00 432000000.00 0.0039 N 432001857.60 432001857.60 J.P. Morgan Securities, LLC J.P. Morgan Securities, LLC, 0.73% 48W99W4G7 0001287279 Other Repurchase Agreement N 51-100 2021-08-25 2051-02-15 0 - 49.819 Other Instrument MORTGAGE 2897449769.00 492710231.25 First Tier Security 2015-05-28 2015-05-28 Y JPMORGAN SECS (NON GOV REPO) N/A N/A N N 456000000.00 456000000.00 0.0041 Y 456177840.00 456177840.00 J.P. Morgan Securities, LLC J.P. Morgan Securities, LLC, 0.73% 48W99W4L6 0001287279 Other Repurchase Agreement N AK STEEL CORPORATION 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 3116000.00 3425590.18 ALLERGAN INC 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 98757.00 22951126.80 APOLLO COMMERCIAL REAL ESTATE 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 2889.00 49373.01 BAC CAPITAL TRUST XIV 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 2005000.00 1622600.39 BANK OF AMERICA CORPORATION 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 68885000.00 74791131.02 CITIGROUP, INC. 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 17919000.00 18154979.29 FELCOR LODGING LIMITED PARTNER 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 16787000.00 17405600.95 GOLDMAN SACHS CAPITAL III 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 5297000.00 4154596.01 K. HOVNANIAN ENTERPRISES, INC. 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 27324000.00 29386524.82 INCYTE PHARMACEUTICALS, INC. 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 313535.00 2074747.16 JARDEN CORPORATION 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 342530.00 496206.08 LOUISIANA PAC CORP 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 4750000.00 5168593.75 M.D.C. HOLDINGS, INC. 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 3000000.00 3177654.00 NATIONSTAR MORTGAGE LLC 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 15530000.00 16491056.45 NEW SR INVT GROUP INC 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 28082.00 481325.48 PETCO HLDGS INC 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 18144000.00 19121997.89 PROLOGIS L P 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 41000.00 45549.57 REALOGY CORPORATION 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 4018000.00 4483083.50 SIGMA ALDRICH CORP 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 8741.00 1206782.46 SPRINT NEXTEL 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 10000000.00 11791730.00 SUNEDISON INC 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 36000.00 37763.93 TWENTY-FIRST CENTY FOX INC 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 620002.00 20952967.59 USB CAPITAL IX 2015-02-28 2015-02-28 N/A Other Instrument OTHER NOTE 273000.00 229401.90 First Tier Security 2015-05-28 2015-05-28 Y JPMORGAN SECS (NON GOV REPO) N/A N/A N N 237000000.00 237000000.00 0.0021 Y 237099540.00 237099540.00 J.P. Morgan Securities, LLC J.P. Morgan Securities, LLC, 0.73% 48W99W4T9 0001287279 Other Repurchase Agreement N 51-100 2018-11-15 2049-12-11 0 - 7 Other Instrument MORTGAGE 3535797447.00 637394713.55 First Tier Security 2015-05-28 2015-05-28 Y JPMORGAN SECS (NON GOV REPO) N/A N/A N N 590000000.00 590000000.00 0.0053 Y 590259600.00 590259600.00 J.P. Morgan Securities, LLC J.P. Morgan Securities, LLC, 0.73% 48W99W2C8 0001287279 Other Repurchase Agreement N ALTERNATIVE LOAN TRUST 2006-28 2036-10-25 2036-10-25 0.571 - 0.571 Other Instrument GOVERNMENT AGENCY 1400000.00 305161.67 BANC OF AMERICA COMMERCIAL MOR 2042-11-10 2042-11-10 5.303 - 5.303 Other Instrument GOVERNMENT AGENCY 7269500.00 4084071.85 BANC OF AMERICA COMMERCIAL MOR 2046-07-10 2046-07-10 5.764 - 5.764 Other Instrument GOVERNMENT AGENCY 66000.00 50401.55 BEAR STEARNS COMMERCIAL MORTGA 2042-09-11 2042-09-11 5.232 - 5.232 Other Instrument GOVERNMENT AGENCY 3782000.00 3178278.21 BEAR STEARNS COMMERCIAL MORTGA 2038-12-11 2038-12-11 5.412 - 5.412 Other Instrument GOVERNMENT AGENCY 6250000.00 3026889.64 CWALT, INC., 2005-53T2 2037-09-15 2037-09-15 4.373 - 4.373 Other Instrument GOVERNMENT AGENCY 8240000.00 7286792.55 CWALT, INC. 2004-2CB 2035-03-25 2035-03-25 5.5 - 5.5 Other Instrument GOVERNMENT AGENCY 4500000.00 669593.23 CWALT, INC., 2005-79CB 2036-04-25 2036-04-25 6 - 6 Other Instrument GOVERNMENT AGENCY 13165000.00 2004419.99 CHASE MORTGAGE FINANCE TRUST S 2037-03-25 2037-03-25 5.5 - 5.5 Other Instrument GOVERNMENT AGENCY 25050000.00 2406083.90 CREDIT SUISSE COMMERCIAL MORTG 2039-06-15 2039-06-15 5.699 - 5.699 Other Instrument GOVERNMENT AGENCY 10492273.00 9777200.37 CREDIT SUISSE FIRST BOSTON 200 2020-07-25 2020-07-25 5 - 5 Other Instrument GOVERNMENT AGENCY 5700.00 368.89 CREDIT SUISSE COMMERCIAL MORTG 2040-09-15 2040-09-15 5.87 - 5.87 Other Instrument GOVERNMENT AGENCY 2286.00 2346.87 CSFB MORTGAGE-BACKED TRUST SER 2036-03-25 2036-03-25 6 - 6 Other Instrument GOVERNMENT AGENCY 29870000.00 5261988.90 DEUTSCHE MORTGAGE SECURITIES, 2036-04-15 2036-04-15 13.971 - 13.971 Other Instrument GOVERNMENT AGENCY 14704.00 9030.57 FIRST HORIZON ALTERNATIVE MORT 2036-07-25 2036-07-25 6 - 6 Other Instrument GOVERNMENT AGENCY 36413000.00 6652086.21 J.P. MORGAN MORTGAGE TRUST 200 2036-04-25 2036-04-25 N/A Other Instrument GOVERNMENT AGENCY 55955.00 3630.64 JPMORGAN CHASE COMMERCIAL MORT 2042-10-15 2042-10-15 5.129 - 5.129 Other Instrument GOVERNMENT AGENCY 5466000.00 5194780.81 JPMC COMMERCIAL MORTGAGE SECUR 2045-05-15 2045-05-15 5.85 - 5.85 Other Instrument GOVERNMENT AGENCY 4150000.00 3093634.90 JP MORGAN CHASE COMMERCIAL MOR 2049-06-15 2049-06-15 5.784 - 5.784 Other Instrument GOVERNMENT AGENCY 40093571.00 30641809.57 JPMORGAN CHASE COMM MTG 2007-C 2051-02-12 2051-02-12 6.165 - 6.165 Other Instrument GOVERNMENT AGENCY 17182000.00 8899669.83 JPMORGAN CHASE COMMERCIAL MORT 2051-02-15 2051-02-15 6.012 - 6.012 Other Instrument GOVERNMENT AGENCY 4915000.00 3896065.68 LB-UBS COMMERCIAL MORTGAGE TRU 2040-07-15 2040-07-15 6.154 - 6.154 Other Instrument GOVERNMENT AGENCY 1000.00 968.93 MORGAN STANLEY CAPITAL I TRUST 2044-02-12 2044-02-12 5.637 - 5.637 Other Instrument GOVERNMENT AGENCY 5000000.00 3881255.98 STRUCTURED ASSET SECURITIES CO 2035-05-25 2035-05-25 5.5 - 5.5 Other Instrument GOVERNMENT AGENCY 55859078.00 253486.60 STRUCTURED ASSET SECURITIES CO 2035-03-25 2043-05-25 0 - 5.542 Other Instrument GOVERNMENT AGENCY 1064000.00 34422.56 First Tier Security 2015-05-28 2015-05-28 Y JPMORGAN SECS (NON GOV REPO) N/A N/A N N 93000000.00 93000000.00 0.0008 Y 93005580.00 93005580.00 Merrill Lynch, Pierce, Fenner & Smith Merrill Lynch, Pierce, Fenner & Smith, 0.22% 49A991RP2 0000728612 Other Repurchase Agreement N FEDERAL HOME LOAN MORTGAGE CORP 2031-07-15 2054-02-15 1.881 - 6.434 Government Agency Debt 1531544342.00 147665607.94 FEDERAL NATIONAL MORTGAGE ASSOC 2027-02-25 2045-02-25 1.874 - 6.532 Government Agency Debt 1585772872.00 157272725.15 GOVERNMENT NATIONAL MORTAGE ASSOC 2029-05-16 2065-01-20 0 - 7.082 Government Agency Debt 3552417539.00 268782184.99 First Tier Security 2015-03-06 2015-03-06 N N N 557000000.00 557000000.00 0.0050 N 557000000.00 557000000.00 Merrill Lynch, Pierce, Fenner & Smith Merrill Lynch, Pierce, Fenner & Smith, 0.57% 49A991RN7 0000728612 Other Repurchase Agreement N ACA ABS 2039-07-10 2039-07-10 1.202 - 1.202 Other Instrument ASSET BACKED 31363854.00 25397150.44 ACACIA CDO 2040-05-12 2040-05-12 0.618 - 0.618 Other Instrument ASSET BACKED 168547433.00 32928242.33 ALBEMARLE CORP 2015-04-01 2015-04-01 N/A Other Commercial Paper 2000000.00 1998531.00 ARROW ELECTRONICS INC 2015-03-02 2015-03-02 N/A Other Commercial Paper 360000.00 358200.00 BAYVIEW COMMERCIAL ASSET TRUST 2036-12-25 2036-12-25 0.441 - 0.441 Other Instrument ASSET BACKED 73918431.00 25299743.79 BEAR STEARNS ALT-A TRUST 2035-01-25 2035-01-25 1.101 - 1.101 Other Instrument MORTGAGE 32872000.00 20376084.36 COUNTRYWIDE HOME EQUITY LOAN TRUST 2034-01-25 2034-01-25 0.331 - 0.331 Other Instrument ASSET BACKED 45000000.00 32016542.00 COUNTRYWIDE HOME EQUITY LOAN TRUST 2033-08-25 2033-08-25 0.341 - 0.341 Other Instrument ASSET BACKED 50030795.00 35540464.58 COUNTRYWIDE HOME EQUITY LOAN TRUST 2036-03-25 2036-03-25 0.641 - 0.641 Other Instrument ASSET BACKED 31370440.00 24536063.74 GCCFC COMMERCIAL PASS-THROUGH CERTIFICATES 2039-03-10 2039-03-10 5.505 - 5.505 Other Instrument MORTGAGE 21230000.00 20112443.95 COUNTRYWIDE HOME EQUITY LOAN TRUST 2035-10-25 2035-10-25 0.421 - 0.421 Other Instrument ASSET BACKED 50000000.00 26113019.44 DUKE FUNDING 2033-08-07 2033-08-07 0.896 - 0.896 Other Instrument ASSET BACKED 175000000.00 34460785.78 FIRST FRANKLIN MORTGAGE LOAN TRUST ABS CERTIFICATES 2036-10-25 2036-10-25 0.331 - 0.331 Other Instrument ASSET BACKED 63950000.00 29536354.04 FIRST FRANKLIN MORTGAGE LOAN TRUST ABS CERTIFICATES 2038-01-25 2038-01-25 0.261 - 0.261 Other Instrument ASSET BACKED 134098000.00 30183495.00 FORD MOTOR CREDIT CO LLC 2015-03-19 2015-03-19 N/A Financial Company Commercial Paper 23000000.00 22991278.40 GREENPOINT MORTGAGE-BACKED PASS-THROUGH CERTIFICATES 2045-10-25 2045-10-25 0.481 - 0.481 Other Instrument MORTGAGE 146181797.00 20293073.42 HIGHLAND PARK CDO 2051-11-25 2051-11-25 0.563 - 0.563 Other Instrument ASSET BACKED 131347112.00 27599960.01 JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2051-02-12 2051-02-12 6.573 - 6.573 Other Instrument MORTGAGE 23285000.00 20549459.86 MERRILL LYNCH HOME EQUITY LOAN TRUST 2037-06-25 2037-06-25 0.321 - 0.321 Other Instrument ASSET BACKED 81866653.00 27386809.86 MERRILL LYNCH ALTERNATIVE NOTE ASSET TRUST 2047-10-25 2047-10-25 1.715 - 1.715 Other Instrument MORTGAGE 74604885.00 31972853.54 MERRILL LYNCH FIRST FRANKLIN MORTGAGE LOAN TRUST 2037-04-25 2037-04-25 0.341 - 0.341 Other Instrument ASSET BACKED 101066000.00 31682599.02 MERRILL LYNCH MORTGAGE TRUST 2050-06-12 2050-06-12 0.832 - 0.832 Other Instrument MORTGAGE 74992672.00 36952604.76 MOHAWK INDUSTRIES INC 2015-03-04 2015-03-06 N/A Other Commercial Paper 21250000.00 21248835.00 N-STAR REAL ESTATE CDO 2052-08-07 2052-08-07 0.451 - 0.451 Other Instrument ASSET BACKED 45386075.00 25778786.31 NATIONAL COLLEGIATE TRUST 2027-11-25 2027-11-25 0.381 - 0.381 Other Instrument ASSET BACKED 24000000.00 22485604.00 NATIONAL COLLEGIATE TRUST 2030-07-25 2030-07-25 0.411 - 0.411 Other Instrument ASSET BACKED 40165385.00 35638659.09 NEWELL RUBBERMAID INC 2015-03-24 2015-03-24 N/A Other Commercial Paper 16000000.00 15994846.40 RAMP 2035-01-25 2035-01-25 0.341 - 0.341 Other Instrument ASSET BACKED 51201000.00 20901290.13 SOUNDVIEW HOME LOAN TRUST 2037-01-25 2037-01-25 0.371 - 0.371 Other Instrument ASSET BACKED 33992326.00 27012862.05 SOUTH COAST FUNDING 2036-12-21 2036-12-21 0.884 - 0.884 Other Instrument ASSET BACKED 234687237.00 32451227.05 STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN TRUST 2035-05-25 2035-12-25 1.528 - 5.099 Other Instrument MORTGAGE 141163444.00 29610900.59 THERMO FISHER SCIENTIFIC INC 2015-03-10 2015-03-10 N/A Other Commercial Paper 19000000.00 18997402.70 UNION ELECTRIC CO 2015-03-05 2015-03-05 N/A Other Commercial Paper 9642000.00 9641231.53 WAMU MORTGAGE PASS-THROUGH CERTIFICATES 2046-08-25 2046-08-25 1.121 - 1.121 Other Instrument MORTGAGE 74966000.00 20757507.03 WYNDHAM WORLDWIDE CORP 2015-03-02 2015-03-02 N/A Other Commercial Paper 1000000.00 999952.20 First Tier Security 2015-03-02 2015-03-02 N N N 780000000.00 780000000.00 0.0070 N 780000000.00 780000000.00 Merrill Lynch, Pierce, Fenner & Smith Merrill Lynch, Pierce, Fenner & Smith, 0.81% 49A991KT1 0000728612 Other Repurchase Agreement N 101-500 2024-11-15 2049-01-01 0 - 2.25 Other Instrument CORPORATE 70234095.00 594555031.93 First Tier Security 2015-04-08 2015-04-08 N N N 551000000.00 551000000.00 0.0050 Y 551082650.00 551082650.00 Merrill Lynch, Pierce, Fenner & Smith Merrill Lynch, Pierce, Fenner & Smith, 0.85% 49A991QC2 0000728612 Other Repurchase Agreement N ALESCO PREFERRED FUNDING 2037-09-23 2037-09-23 0.902 - 0.902 Other Instrument ASSET BACKED 24999301.00 15520442.00 CWALT ALTERNATIVE LOAN TRUST 2036-06-25 2036-06-25 6 - 6 Other Instrument MORTGAGE 53932123.00 16310594.80 BAMLL COML MTG SECS TR 2014-FL1 2016-10-18 2031-12-17 N/A Other Instrument MORTGAGE 658085302.00 25213638.56 BHMS MORTGAGE TRUST 2033-07-08 2033-07-08 4.171 - 4.171 Other Instrument MORTGAGE 14486000.00 14499282.86 BABCOCK & BROWN AIR FDG I LTD 2033-11-14 2033-11-14 N/A Other Instrument ASSET BACKED 28023000.00 15209801.06 BANC OF AMERICA FUNDING CORP 2037-07-25 2037-07-25 0.538 - 0.538 Other Instrument MORTGAGE 74684534.00 17853911.95 BAYVIEW COMMERCIAL ASSET TRUST 2035-11-25 2035-11-25 0.571 - 0.571 Other Instrument ASSET BACKED 78199024.00 17504694.06 BEAR STEARNS ARM TRUST 2035-06-25 2035-06-25 2.451 - 2.451 Other Instrument MORTGAGE 65000000.00 14434245.54 BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES 2042-09-12 2042-09-12 5.956 - 5.956 Other Instrument MORTGAGE 17465000.00 16792736.06 CIT MORTGAGE LOAN TRUST 2037-10-25 2037-10-25 1.918 - 1.918 Other Instrument ASSET BACKED 24667213.00 14749719.59 COMM 2027-06-11 2027-06-11 3.673 - 3.673 Other Instrument MORTGAGE 17406000.00 17362893.08 COUNTRYWIDE HOME EQUITY LOAN TRUST 2035-09-25 2035-09-25 0.921 - 0.921 Other Instrument ASSET BACKED 23508000.00 16287427.69 CREDIT SUISSE COMMERCIAL MORTGAGE TRUST 2039-09-15 2039-09-15 5.538 - 5.538 Other Instrument MORTGAGE 16000000.00 16081936.00 COUNTRYWIDE HOME EQUITY LOAN TRUST 2046-04-25 2046-04-25 0.421 - 0.421 Other Instrument ASSET BACKED 23182000.00 14322428.17 COUNTRYWIDE HOME EQUITY LOAN TRUST 2034-09-25 2034-09-25 0.411 - 0.411 Other Instrument ASSET BACKED 20404962.00 14360784.40 CWALT ALTERNATIVE LOAN TRUST 2047-03-20 2047-03-20 0.364 - 0.364 Other Instrument MORTGAGE 39150000.00 15447953.11 DEUTSCHE ALT-A SECURITIES ALTERNATIVE LOAN TRUST 2047-08-25 2047-08-25 0.401 - 0.401 Other Instrument MORTGAGE 171906395.00 19195953.33 EQTY 2014-INNS MTG TR 2031-05-08 2031-05-08 0 - 4.071 Other Instrument MORTGAGE 34859386.00 34731135.40 EDUCATION FUNDING 2029-10-25 2029-10-25 0.506 - 0.506 Other Instrument ASSET BACKED 25701000.00 14194624.20 FIRST FRANKLIN MORTGAGE LOAN TRUST ABS CERTIFICATES 2036-12-25 2036-12-25 0.311 - 0.311 Other Instrument ASSET BACKED 35000000.00 18654771.33 GUANAY FIN LTD 2020-12-15 2020-12-15 6 - 6 Other Instrument ASSET BACKED 14750000.00 15812000.00 IMPAC CMB TRUST 2035-11-25 2035-11-25 0.691 - 0.691 Other Instrument MORTGAGE 102000000.00 19873221.38 LEHMAN MORTGAGE TRUST 2036-11-25 2036-11-25 0.621 - 0.621 Other Instrument MORTGAGE 98072726.00 15940405.37 LEHMAN MORTGAGE TRUST 2036-12-25 2036-12-25 0.588 - 0.588 Other Instrument MORTGAGE 75237432.00 14574526.81 MASTR ALTERNATIVE LOAN TRUST 2047-10-25 2047-10-25 7 - 7 Other Instrument MORTGAGE 56943000.00 17169982.68 MERRILL LYNCH ALTERNATIVE NOTE ASSET TRUST 2047-05-25 2047-05-25 0.361 - 0.361 Other Instrument MORTGAGE 40000000.00 16997136.61 ML-CFC COMMERCIAL MORTGAGE TRUST 2049-08-12 2049-08-12 5.874 - 5.874 Other Instrument MORTGAGE 25082550.00 14233156.75 MORGAN STANLEY ABS 2036-06-25 2036-06-25 0.411 - 0.411 Other Instrument ASSET BACKED 22255000.00 15786724.69 MORGAN STANLEY ABS 2037-05-25 2037-05-25 0.311 - 0.311 Other Instrument ASSET BACKED 27215000.00 17261162.17 NATIONAL COLLEGIATE TRUST 2033-10-25 2033-10-25 0.461 - 0.461 Other Instrument ASSET BACKED 22912928.00 19206844.64 NEWCASTLE CDO 2052-11-25 2052-11-25 0.655 - 0.655 Other Instrument ASSET BACKED 20000000.00 19452945.56 OPTION ONE MORTGAGE LOAN 2037-05-25 2037-05-25 0.341 - 0.341 Other Instrument ASSET BACKED 40000000.00 18703390.21 PHH MTG TR SER 2007-SL1 2027-12-25 2027-12-25 N/A Other Instrument ASSET BACKED 7447000.00 7639169.01 PARK PLACE ASSET-BACKED PASS-THROUGH CERTIFICATES 2035-06-25 2035-06-25 0.841 - 0.841 Other Instrument ASSET BACKED 17898580.00 13986261.15 PREFERRED TERM SECURITIES 2035-12-22 2035-12-22 0.841 - 0.841 Other Instrument ASSET BACKED 27000000.00 14678078.47 RBSSP RESECURITIZATION TRUST 2035-11-21 2035-11-21 N/A Other Instrument MORTGAGE 19174716.00 14637371.64 RAIT PREFERRED FUNDING 2045-06-25 2045-06-25 0.971 - 0.971 Other Instrument ASSET BACKED 23912893.00 18520869.08 RIVERVIEW HECM TRUST 2047-05-25 2047-05-25 0.75 - 0.75 Other Instrument ASSET BACKED 26000000.00 16808396.39 SG MORTGAGE SECURITIES TRUST 2037-08-25 2037-08-25 1.771 - 1.771 Other Instrument ASSET BACKED 218408252.00 17072134.05 STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN TRUST 2035-12-25 2035-12-25 5.099 - 5.099 Other Instrument MORTGAGE 40791556.00 11209052.95 US EDUCATION LOAN TRUST IV 2047-09-01 2047-09-01 N/A Other Instrument ASSET BACKED 28839000.00 15219638.06 WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES, WMALT 2046-09-25 2046-09-25 1.041 - 1.041 Other Instrument MORTGAGE 77009000.00 15529033.74 First Tier Security 2015-04-17 2015-04-17 N N N 647000000.00 647000000.00 0.0058 Y 647155280.00 647155280.00 Merrill Lynch, Pierce, Fenner & Smith Merrill Lynch, Pierce, Fenner & Smith, 0.95% 49A991KC8 0000728612 Other Repurchase Agreement N GMAC HOME EQUITY LOAN-BACKED NOTES 2033-04-25 2033-04-25 0.673 - 0.673 Other Instrument ASSET BACKED 100000000.00 12390141.61 GRANT GROVE CLO 2021-01-25 2021-01-25 1.756 - 1.756 Other Instrument ASSET BACKED 14250000.00 13329356.19 GREENPOINT CREDIT MANUFACTURED HOUSING CONTRACT TRUST 2031-06-03 2031-06-03 1.168 - 1.168 Other Instrument ASSET BACKED 36600000.00 13508738.53 JP MORGAN MORTGAGE ACQUISITION CORP 2035-06-25 2035-06-25 0.791 - 0.791 Other Instrument ASSET BACKED 22182000.00 12582405.64 JP MORGAN MORTGAGE TRUST 2037-01-25 2037-01-25 2.404 - 2.404 Other Instrument MORTGAGE 25000000.00 11626700.28 JP MORGAN MORTGAGE ACQUISITION CORP 2036-07-25 2036-07-25 0.441 - 0.441 Other Instrument ASSET BACKED 18000000.00 13003278.30 JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2051-02-15 2051-02-15 6.01 - 6.01 Other Instrument MORTGAGE 12263000.00 12492329.14 LEHMAN BROTHERS SMALL BALANCE COMMERCIAL MORTGAGE PTC 2036-12-25 2036-12-25 0.368 - 0.368 Other Instrument ASSET BACKED 62328010.00 12178314.50 MASTR ADJUSTABLE RATE MORTGAGES 2035-01-25 2035-01-25 1.171 - 1.171 Other Instrument MORTGAGE 14015000.00 12030875.82 MERRILL LYNCH HOME EQUITY LOAN TRUST 2037-07-25 2037-07-25 0.341 - 0.341 Other Instrument ASSET BACKED 26099275.00 12920064.13 MERRILL LYNCH HOME EQUITY LOAN TRUST 2037-07-25 2037-07-25 0.321 - 0.321 Other Instrument ASSET BACKED 36656885.00 13537537.59 MORGAN STANLEY ABS 2036-11-25 2036-11-25 0.401 - 0.401 Other Instrument ASSET BACKED 23500000.00 13631334.24 NATIONAL COLLEGIATE TRUST 2033-03-25 2033-03-25 0.521 - 0.521 Other Instrument ASSET BACKED 15000000.00 11399744.17 PARK PLACE ASSET-BACKED PASS-THROUGH CERTIFICATES 2035-09-25 2035-09-25 0.691 - 0.691 Other Instrument ASSET BACKED 21885440.00 13868571.10 RASC 2036-11-25 2036-11-25 0.321 - 0.321 Other Instrument ASSET BACKED 14200000.00 11669546.91 RBSSP RESECURITIZATION TRUST 2036-01-26 2036-01-26 5.18 - 5.18 Other Instrument MORTGAGE 15000000.00 12653885.94 SECURITIZED ASSET BACKED RECEIVABLES TRUST 2035-10-25 2035-10-25 0.816 - 0.816 Other Instrument ASSET BACKED 35174000.00 13781204.14 STRUCTURED ASSET INVESTMENT LOAN TRUST 2035-05-25 2035-05-25 1.146 - 1.146 Other Instrument ASSET BACKED 22376000.00 11874022.05 SASCO MORTGAGE LOAN TRUST 2037-11-25 2037-11-25 0.671 - 0.671 Other Instrument ASSET BACKED 20765000.00 12428664.99 TBW MORTGAGE-BACKED TRUST 2037-03-25 2037-03-25 5.95 - 5.95 Other Instrument MORTGAGE 25539000.00 12098467.20 WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES, WMALT 2046-06-25 2046-06-25 1.111 - 1.111 Other Instrument MORTGAGE 59622000.00 11941202.85 ACT 2041-09-22 2041-09-22 0.474 - 0.474 Other Instrument MORTGAGE 41908365.00 13430007.50 ADAMS SQUARE FUNDING 2047-03-10 2047-03-10 0.856 - 0.856 Other Instrument ASSET BACKED 18000000.00 11807082.60 ADJUSTABLE RATE MORTGAGE TRUST 2037-03-25 2037-03-25 3.07 - 3.07 Other Instrument MORTGAGE 27957000.00 11326141.11 AEGIS ASSET BACKED SECURITIES TRUST 2035-10-25 2035-10-25 0.641 - 0.641 Other Instrument ASSET BACKED 18000000.00 12924677.00 CWALT ALTERNATIVE LOAN TRUST 2036-07-25 2036-07-25 0.521 - 0.521 Other Instrument MORTGAGE 47618000.00 11524383.86 CWALT ALTERNATIVE LOAN TRUST 2047-05-25 2047-05-25 0.391 - 0.391 Other Instrument MORTGAGE 57500000.00 12308677.16 BAMLL COML MTG SECS TR 2014-FL1 2016-10-18 2016-10-18 N/A Other Instrument MORTGAGE 91590596.00 3057584.13 BAYVIEW COML ASSET TR 2008-2 2038-04-25 2038-04-25 N/A Other Instrument ASSET BACKED 240000000.00 11598113.11 BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES 2050-06-13 2050-06-13 5.896 - 5.896 Other Instrument MORTGAGE 13000000.00 13357480.94 CSMC 2036-12-29 2036-12-29 4.5 - 4.5 Other Instrument MORTGAGE 13273000.00 12194807.66 COUNTRYWIDE HOME EQUITY LOAN TRUST 2035-06-25 2035-06-25 0.391 - 0.391 Other Instrument ASSET BACKED 19566270.00 12456214.67 CENTEX HOME EQUITY LOAN TRUST 2035-06-25 2035-06-25 0.601 - 0.601 Other Instrument ASSET BACKED 14787367.00 13127416.87 CENTEX HOME EQUITY LOAN TRUST 2036-06-25 2036-06-25 0.471 - 0.471 Other Instrument ASSET BACKED 1672550.00 1270601.39 CITIGROUP COMMERCIAL MORTGAGE TRUST 2035-05-11 2035-05-11 3.518 - 3.518 Other Instrument MORTGAGE 12740676.00 11656865.92 COUNTRYWIDE HOME EQUITY LOAN TRUST 2037-01-25 2037-01-25 0.421 - 0.421 Other Instrument ASSET BACKED 16535000.00 12368597.33 DEUTSCHE ALT-A SECURITIES ALTERNATIVE LOAN TRUST 2047-08-25 2047-08-25 0.361 - 0.361 Other Instrument MORTGAGE 28500000.00 11656866.14 FIRST FRANKLIN MORTGAGE LOAN TRUST ABS CERTIFICATES 2036-10-25 2036-10-25 0.411 - 0.411 Other Instrument ASSET BACKED 17800000.00 12634988.83 FAIRFIELD STREET SOLAR 2039-11-28 2039-11-28 0.586 - 0.586 Other Instrument ASSET BACKED 27278000.00 11439388.54 First Tier Security 2015-05-06 2015-05-06 N N N 430000000.00 430000000.00 0.0039 Y 430223600.00 430223600.00 Merrill Lynch, Pierce, Fenner & Smith Merrill Lynch, Pierce, Fenner & Smith, 0.95% 49A991KH7 0000728612 Other Repurchase Agreement N ADJUSTABLE RATE MORTGAGE TRUST 2036-08-25 2036-08-25 0.451 - 0.451 Other Instrument MORTGAGE 26982863.00 8906004.99 ALESCO PREFERRED FUNDING 2035-12-23 2035-12-23 1.052 - 1.052 Other Instrument ASSET BACKED 13000000.00 8543579.21 CWALT ALTERNATIVE LOAN TRUST 2046-07-25 2046-07-25 0.361 - 0.361 Other Instrument MORTGAGE 16875000.00 8898395.46 CWALT ALTERNATIVE LOAN TRUST 2037-03-25 2037-03-25 6 - 6 Other Instrument MORTGAGE 27524149.00 8928377.44 BEAR STEARNS ALT-A TRUST 2035-11-25 2035-11-25 2.346 - 2.346 Other Instrument MORTGAGE 31802000.00 8511280.94 C-BASS ABS 2007-MX1 2036-12-25 2036-12-25 N/A Other Instrument ASSET BACKED 9188510.00 9022123.29 CSMC MORTGAGE-BACKED TRUST 2037-06-25 2037-06-25 7 - 7 Other Instrument MORTGAGE 47122000.00 8622173.61 COUNTRYWIDE HOME EQUITY LOAN TRUST 2036-05-25 2036-05-25 0.561 - 0.561 Other Instrument ASSET BACKED 30990000.00 9098347.40 CWALT ALTERNATIVE LOAN TRUST 2035-05-25 2035-06-25 0.671 - 6 Other Instrument MORTGAGE 111938095.00 17324380.57 COUNTRYWIDE HOME EQUITY LOAN TRUST 2034-12-25 2034-12-25 0.401 - 0.401 Other Instrument ASSET BACKED 14500000.00 8520624.53 CWCAPITAL COBALT 2045-05-25 2045-05-25 0.702 - 0.702 Other Instrument ASSET BACKED 9500000.00 8865390.29 CWALT ALTERNATIVE LOAN TRUST 2036-02-25 2036-02-25 1.821 - 1.821 Other Instrument MORTGAGE 125501000.00 8485095.47 COUNTRYWIDE HOME EQUITY LOAN TRUST 2034-02-25 2034-02-25 0.401 - 0.401 Other Instrument ASSET BACKED 10000000.00 8547212.78 CHASEFLEX TRUST 2037-07-25 2037-07-25 0.631 - 0.631 Other Instrument MORTGAGE 36345306.00 8940353.95 CREDIT SUISSE COMMERCIAL MORTGAGE TRUST 2040-09-17 2040-09-17 5.869 - 5.869 Other Instrument MORTGAGE 8519734.00 8835282.23 GMAC HOME EQUITY LOAN-BACKED NOTES 2035-08-25 2035-08-25 0.351 - 0.351 Other Instrument ASSET BACKED 34632000.00 9126343.78 GS MTG SECS TR 2013-GCJ14 2046-08-10 2046-08-10 N/A Other Instrument MORTGAGE 9242050.00 8644812.60 GSAA HOME EQUITY TRUST 2036-11-25 2036-11-25 0.351 - 0.351 Other Instrument MORTGAGE 25000000.00 9107664.76 GSAA HOME EQUITY TRUST 2037-03-25 2037-03-25 0.471 - 0.471 Other Instrument MORTGAGE 24769829.00 9145622.67 GSMSC RESECURITIZATION MORTGAGE TRUST 2037-08-27 2037-08-27 2.631 - 2.631 Other Instrument MORTGAGE 21725000.00 8664613.95 GREENBRIAR CLO 2021-11-01 2021-11-01 3.005 - 3.005 Other Instrument ASSET BACKED 10000000.00 9071999.89 JP MORGAN MORTGAGE ACQUISITION CORP 2035-05-25 2035-12-25 0.561 - 0.791 Other Instrument ASSET BACKED 23496000.00 17561878.01 KODIAK CDO 2042-11-07 2042-11-07 2.032 - 2.032 Other Instrument ASSET BACKED 27000000.00 9106416.78 LEHMAN XS TRUST 2036-05-25 2036-05-25 0.451 - 0.451 Other Instrument MORTGAGE 2437494.00 1132067.62 MERRILL LYNCH ALTERNATIVE NOTE ASSET TRUST 2037-02-25 2037-02-25 0.381 - 0.381 Other Instrument MORTGAGE 37220007.00 8588239.51 MORGAN STANLEY ABS 2036-10-25 2036-10-25 0.401 - 0.401 Other Instrument ASSET BACKED 12365000.00 8442985.27 MORGAN STANLEY MORTGAGE LOAN TRUST 2047-02-25 2047-02-25 6.25 - 6.25 Other Instrument MORTGAGE 28278000.00 8566056.55 MORGAN STANLEY CAPITAL I 2049-04-15 2049-04-15 5.649 - 5.649 Other Instrument MORTGAGE 8050000.00 8444338.11 RAAC 2047-02-25 2047-02-25 2.421 - 2.421 Other Instrument ASSET BACKED 18175011.00 8692117.22 SASCO MORTGAGE LOAN TRUST 2037-01-25 2037-01-25 0.471 - 0.471 Other Instrument ASSET BACKED 13630000.00 8765577.94 WAMU MORTGAGE PASS-THROUGH CERTIFICATES 2046-07-25 2046-07-25 2.192 - 2.192 Other Instrument MORTGAGE 4459082.00 1333070.29 WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES, WMALT 2046-10-25 2046-10-25 0.971 - 0.971 Other Instrument MORTGAGE 48000000.00 8928258.03 First Tier Security 2015-05-06 2015-05-06 N N N 262000000.00 262000000.00 0.0024 Y 262136240.00 262136240.00 Merrill Lynch, Pierce, Fenner & Smith Merrill Lynch, Pierce, Fenner & Smith, 0.95% 49A991RF4 0000728612 Other Repurchase Agreement N ACACIA CDO 2045-01-12 2045-01-12 0.832 - 0.832 Other Instrument ASSET BACKED 13780000.00 8054838.90 AMAC CDO FUNDING 2050-11-23 2050-11-23 1.467 - 1.467 Other Instrument MORTGAGE 9445100.00 7639987.65 AMERICAN HOME MORTGAGE ASSETS TRUST 2046-11-25 2046-11-25 1.041 - 1.041 Other Instrument MORTGAGE 28034000.00 7618272.57 ANSONIA CDO 2046-07-28 2046-07-28 7.445 - 7.445 Other Instrument ASSET BACKED 11218000.00 7724584.24 BAMLL COML MTG SECS TR 2014-FL1 2031-12-17 2031-12-17 N/A Other Instrument MORTGAGE 8285000.00 8295602.04 BANC OF AMERICA FUNDING CORP 2036-10-25 2036-10-25 5.878 - 5.878 Other Instrument MORTGAGE 112721000.00 7812722.88 CD COMMERCIAL MORTGAGE TRUST COMMERCIAL PASS-THROUGH CERTIFI 2049-12-11 2049-12-11 5.398 - 5.398 Other Instrument MORTGAGE 9013000.00 7682673.19 CSMC 2037-09-17 2037-09-17 4.373 - 4.373 Other Instrument MORTGAGE 8198827.00 7691063.53 CWALT ALTERNATIVE LOAN TRUST 2035-11-25 2035-11-25 5.249 - 5.249 Other Instrument MORTGAGE 31601000.00 7807933.87 CBA COMMERCIAL ASSETS 2039-01-25 2039-01-25 5.54 - 5.54 Other Instrument MORTGAGE 31000000.00 8394247.09 COUNTRYWIDE HOME LOANS 2037-07-25 2037-07-25 0.671 - 0.671 Other Instrument MORTGAGE 68000000.00 8288372.33 CITIGROUP MORTGAGE LOAN TRUST 2036-11-25 2036-11-25 2.384 - 2.384 Other Instrument MORTGAGE 20221658.00 5359524.46 COMM 2049-12-10 2049-12-10 5.797 - 5.797 Other Instrument MORTGAGE 8028000.00 8009479.03 CUTWATER 2026-07-15 2026-07-15 5.503 - 5.503 Other Instrument ASSET BACKED 8800000.00 7825140.55 CUTWATER 2014-II LTD 2027-01-15 2027-01-15 N/A Other Instrument ASSET BACKED 8000000.00 7939457.60 CWALT ALTERNATIVE LOAN TRUST 2035-06-25 2035-06-25 0.331 - 0.331 Other Instrument MORTGAGE 25000000.00 8099482.55 FIRST FRANKLIN MORTGAGE LOAN TRUST ABS CERTIFICATES 2035-09-25 2035-09-25 0.801 - 0.801 Other Instrument ASSET BACKED 15000000.00 7859587.50 INDYMAC HOME EQUITY LOAN ASSET BACKED TRUST 2036-03-25 2036-03-25 0.611 - 0.611 Other Instrument ASSET BACKED 11200000.00 7626852.18 JP MORGAN MORTGAGE ACQUISITION CORP 2035-12-25 2035-12-25 0.651 - 0.651 Other Instrument ASSET BACKED 10198000.00 7534549.25 LEHMAN MORTGAGE TRUST 2035-11-25 2035-11-25 4.829 - 4.829 Other Instrument MORTGAGE 200427000.00 7878223.68 LEHMAN XS TRUST 2036-05-25 2036-05-25 0.451 - 0.451 Other Instrument MORTGAGE 15668073.00 7276866.39 MERRILL LYNCH HOME EQUITY LOAN TRUST 2036-09-25 2036-09-25 0.721 - 0.721 Other Instrument ASSET BACKED 11320000.00 7492440.94 MORGAN STANLEY ABS 2035-12-25 2035-12-25 0.551 - 0.551 Other Instrument ASSET BACKED 15000000.00 7677094.58 MORGAN STANLEY BK AMER MERRILL LYNCH TR 2014-C15 2047-04-17 2047-04-17 N/A Other Instrument MORTGAGE 8897000.00 8025045.96 MORTGAGE EQUITY CONVERSION ASSET TRUST 2060-07-25 2060-07-25 N/A Other Instrument ASSET BACKED 15276629.00 7937436.27 NOMURA HOME EQUITY LOAN TRUST 2035-05-25 2035-05-25 0.681 - 0.681 Other Instrument ASSET BACKED 11000000.00 8296748.17 OPTION ONE MORTGAGE LOAN 2036-01-25 2036-01-25 0.551 - 0.551 Other Instrument ASSET BACKED 22500000.00 8384166.25 PREFERRED TERM SECURITIES 2037-03-22 2037-03-22 0.821 - 0.821 Other Instrument ASSET BACKED 14400000.00 7927261.64 RALI 2035-10-25 2035-12-25 2.885 - 6 Other Instrument MORTGAGE 62070000.00 15832434.14 SASCO TRUST 2049-12-18 2049-12-18 5.497 - 5.497 Other Instrument MORTGAGE 57150000.00 8299087.32 STARM MORTGAGE LOAN TRUST 2037-04-25 2037-04-25 2.627 - 2.627 Other Instrument MORTGAGE 37750000.00 8381015.60 SORIN REAL ESTATE CDO 2046-10-28 2046-10-28 0.786 - 0.786 Other Instrument ASSET BACKED 10000000.00 8069732.47 SOUNDVIEW HOME LOAN TRUST 2036-07-25 2036-07-25 0.411 - 0.411 Other Instrument ASSET BACKED 13000000.00 8099296.83 SOUTH COAST FUNDING 2038-10-05 2038-10-05 1.606 - 1.606 Other Instrument ASSET BACKED 12500000.00 7588682.50 TABERNA PREFERRED FUNDING 2037-11-07 2037-11-07 0.956 - 0.956 Other Instrument ASSET BACKED 18000000.00 7487288.46 First Tier Security 2015-06-25 2015-06-25 N N N 261000000.00 261000000.00 0.0024 Y 261211410.00 261211410.00 Mitsubishi UFJ Securities (U.S.A.), Inc. Mitsubishi UFJ Securities (U.S.A.), Inc., 0.24% 45G99SLJ5 Other Repurchase Agreement N 51-100 2015-07-18 2055-07-01 0 - 9.7 Other Instrument CORPORATE 64134706.00 66159262.09 Unrated Security 2015-03-06 2015-03-06 Y MUFJ SECS (USA) (NON GOV REPO) N/A N/A N N 63000000.00 63000000.00 0.0006 N 63000000.00 63000000.00 Mitsubishi UFJ Securities (U.S.A.), Inc. Mitsubishi UFJ Securities (U.S.A.), Inc., 0.26% 45G99SLP1 Other Repurchase Agreement N ANSYS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 20.00 1711.80 ATLAS ENERGY 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 268758.00 8525003.76 BANCORPSOUTH 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 2541.00 57401.19 BANK OF AMERICA 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 9770.00 156710.80 CISCO SYSTEMS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 728.00 21774.48 COMERICA INC 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 310.00 14247.60 DELTA AIR LINES 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 53056.00 2436331.52 DU PONT NEMOURS&CO 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1.00 78.03 EOG RESOURCES 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 20808.00 1875425.04 FORTRESS INVEST-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 199898.00 1621172.78 GENERAL ELECTRIC 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 96476.00 2497763.64 GRIFOLS SP ADR-B 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 172587.00 5748872.97 H&E EQUIPMENT SVCS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 61599.00 1657013.10 HCP REIT 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 26900.00 1123882.00 HERTZ GLOBAL HLDGS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 32.00 751.68 ISH 20+Y TRS BD 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 2568.00 329859.60 KCG HOLDINGS-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 10759.00 134702.68 LIBERTY MEDIA-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 194437.00 7538322.49 LORAL SPACE & CO 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 74.00 5281.38 MKET VECT GLD MIN 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 86382.00 1810566.72 ML CP 6.45%TRUPS 62 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 84591.00 2168067.33 PWSH S&P 500 LW VOL 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 84271.00 3214938.65 QUIKSILVER INC 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 23.00 49.45 RICE MIDSTREAM PART 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 414295.00 6152280.75 SPDR BRC CONV SCRTS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 7914.00 379476.30 WALKER & DUNLOP 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 2714.00 43722.54 WESTERN REF LOG 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 37000.00 1086320.00 ZULILY-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1.00 13.99 YANDEX 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1.00 16.54 Unrated Security 2015-03-06 2015-03-06 Y MUFJ SECS (USA) (NON GOV REPO) N/A N/A N N 45000000.00 45000000.00 0.0004 N 45000000.00 45000000.00 Mitsubishi UFJ Securities (U.S.A.), Inc. Mitsubishi UFJ Securities (U.S.A.), Inc., 0.26% 45G99SLM8 Other Repurchase Agreement N 51-100 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 3559343.00 113414745.09 Unrated Security 2015-03-06 2015-03-06 Y MUFJ SECS (USA) (NON GOV REPO) N/A N/A N N 105000000.00 105000000.00 0.0009 N 105000000.00 105000000.00 Mitsubishi UFJ Securities (U.S.A.), Inc. Mitsubishi UFJ Securities (U.S.A.), Inc., 0.31% 45G99SLL0 Other Repurchase Agreement N AT&T INC 2018-05-15 2018-05-15 5.6 - 5.6 Other Instrument CORPORATE 1.00 1.13 BARCARDI LTD 2019-04-01 2019-04-01 8.2 - 8.2 Other Instrument CORPORATE 1023653.00 1275477.32 BECTON DICKINSON & CO 2024-12-15 2024-12-15 3.734 - 3.734 Other Instrument CORPORATE 15000.00 15752.70 COMMONWEALTH FING AUTH PA REV 2027-06-01 2027-06-01 5.74 - 5.74 Other Municipal Debt 21640.00 25816.57 CONTRA COSTA CNTY CALIF PENSION OBLIG 2022-06-01 2022-06-01 5.47 - 5.47 Other Municipal Debt 32438.00 35227.25 COVIDIEN INTL FIN S A 2023-06-15 2023-06-15 2.95 - 2.95 Other Instrument CORPORATE 11161.00 11319.71 DALLAS FORT WORTH TEX INTL ARPT REV 2042-11-01 2042-11-01 5 - 5 Other Municipal Debt 97037.00 107539.42 DANSKE BK A/S MEDIUM TERM NTS BOOK ENTRY 144A 2016-04-14 2016-04-14 3.875 - 3.875 Other Instrument CORPORATE 457246.00 477399.56 DISNEY WALT CO NEW MEDIUM TERM NTS BOOK ENTRY 2017-07-17 2017-07-17 6 - 6 Other Instrument CORPORATE 115000.00 128752.47 GREAT RIV ENERGY 2038-07-01 2038-07-01 6.254 - 6.254 Other Instrument CORPORATE 16987193.00 21678519.67 HANA BK SR MEDIUM TERM NT PROGRAM REG S 2017-10-25 2017-10-25 3.5 - 3.5 Other Instrument CORPORATE 3377450.00 3558991.69 HUMANA INC 2018-06-15 2018-06-15 7.2 - 7.2 Other Instrument CORPORATE 112999.00 133030.33 ILLINOIS ST FOR ISSUES DTD PRIOR TO 07/01/2002 SEE 452150 FOR FUTURE ISUES SEE 452152 2033-06-01 2033-06-01 5.1 - 5.1 Other Municipal Debt 4751205.00 4853134.19 INGREDION INC 2017-09-25 2017-09-25 1.8 - 1.8 Other Instrument CORPORATE 599999.00 604966.99 INTERNATIONAL BUSINESS MACHS CORP 2020-05-15 2020-05-15 1.625 - 1.625 Other Instrument CORPORATE 1.00 0.99 JOHNSON & JOHNSON 2017-08-15 2018-07-15 5.15 - 5.55 Other Instrument CORPORATE 1361531.00 1521714.33 KELLOGG CO 2017-05-17 2017-05-17 1.75 - 1.75 Other Instrument CORPORATE 376000.00 380978.66 LOS ANGELES CALIF CMNTY COLLEGE DIST 2030-08-01 2030-08-01 5 - 5 Other Municipal Debt 1016184.00 1218034.27 MASSACHUSETTS ST FOR ISSUES DTD PRIOR TO 12/13/01 SEE 575827 2030-08-01 2030-08-01 5.5 - 5.5 Other Municipal Debt 330614.00 437822.94 MCDONALDS CORP MEDIUM TERM NTS BOOK ENTRY 2018-03-01 2018-03-01 5.35 - 5.35 Other Instrument CORPORATE 149999.00 170635.20 MEDTRONIC INC 2018-03-15 2018-03-15 1.5 - 1.5 Other Instrument CORPORATE 112999.00 113506.55 METROPOLITAN TRANSN AUTH N Y REV FOR ISSUES DTD PRIOR TO 10/17/08 SEE 59259R 2045-11-15 2045-11-15 5 - 5 Other Municipal Debt 5000000.00 5704800.00 MICROSOFT CORP 2025-02-12 2025-02-12 2.7 - 2.7 Other Instrument CORPORATE 285927.00 286236.04 MINNESOTA ST 2028-10-01 2028-10-01 5 - 5 Other Municipal Debt 606535.00 731686.08 NATIONAL AGRIC COOP 2016-01-28 2016-01-28 4.25 - 4.25 Other Instrument CORPORATE 1568812.00 1615442.76 NEW JERSEY ECONOMIC DEV AUTH ST PENSION FDG REV 2029-02-15 2029-02-15 7.425 - 7.425 Other Municipal Debt 26674986.00 34195864.93 NEW YORK N Y CITY MUN WTR FIN AUTH WTR & SWR SYS REV 2040-06-15 2040-06-15 5.25 - 5.25 Other Municipal Debt 18388.00 21208.90 NEXEN INC 2037-05-15 2037-05-15 6.4 - 6.4 Other Instrument CORPORATE 76000.00 96997.53 NISOURCE FIN CORP 2022-03-01 2022-03-01 6.125 - 6.125 Other Instrument CORPORATE 595006.00 733728.34 OGLETHORPE PWR CORP 2031-01-01 2031-01-01 6.191 - 6.191 Other Instrument CORPORATE 1293044.00 1528611.33 OREGON ST 2023-06-01 2023-06-01 5.762 - 5.762 Other Municipal Debt 417533.00 497651.23 OWENS & MINOR INC NEW 2024-12-15 2024-12-15 4.375 - 4.375 Other Instrument CORPORATE 408954.00 435900.21 PARTNERS HEALTHCARE SYS INC 2055-07-01 2055-07-01 4.117 - 4.117 Other Instrument CORPORATE 2.00 1.95 PETROBRAS GLOBAL FIN B V 2023-05-20 2023-05-20 4.375 - 4.375 Other Instrument CORPORATE 94916.00 78295.09 PETROLEOS MEXICANOS 2041-06-02 2041-06-02 6.5 - 6.5 Other Instrument CORPORATE 14987.00 17199.79 REYNOLDS AMERN INC 2017-06-15 2017-06-15 6.75 - 6.75 Other Instrument CORPORATE 1.00 1.12 SANTA CLARA CNTY CALIF PENSION FDG 2036-08-01 2036-08-01 6.001 - 6.001 Other Municipal Debt 230000.00 262568.93 SKYWAY CONCESSION COMPANY 2026-06-30 2026-06-30 N/A Other Instrument CORPORATE 3266833.00 2714764.19 WHIRLPOOL CORP MEDIUM TERM NTS BOOK ENTRY 2022-06-01 2022-06-01 4.7 - 4.7 Other Instrument CORPORATE 300000.00 333155.33 WISCONSIN ST GEN FD ANNUAL APPROPRIATION REV 2032-05-01 2032-05-03 1.27 - 1.37 Other Municipal Debt 125188.00 111352.37 Unrated Security 2015-03-06 2015-03-06 Y MUFJ SECS (USA) (NON GOV REPO) N/A N/A N N 82000000.00 82000000.00 0.0007 N 82000000.00 82000000.00 Mitsubishi UFJ Securities (U.S.A.), Inc. Mitsubishi UFJ Securities (U.S.A.), Inc., 0.31% 45G99SLH9 Other Repurchase Agreement N AT&T INC 2042-12-15 2042-12-15 4.3 - 4.3 Other Instrument CORPORATE 45376.00 43088.60 COMMONWEALTH FING AUTH PA REV 2027-06-01 2027-06-01 5.74 - 5.74 Other Municipal Debt 5024950.00 5994776.51 DANSKE BK A/S MEDIUM TERM NTS BOOK ENTRY 144A 2016-04-14 2016-04-14 3.875 - 3.875 Other Instrument CORPORATE 249648.00 260651.48 GREAT RIV ENERGY 2038-07-01 2038-07-01 6.254 - 6.254 Other Instrument CORPORATE 2109907.00 2692596.73 ILLINOIS ST FOR ISSUES DTD PRIOR TO 07/01/2002 SEE 452150 FOR FUTURE ISUES SEE 452152 2033-06-01 2033-06-01 5.1 - 5.1 Other Municipal Debt 24905301.00 25439602.73 MASSACHUSETTS ST FOR ISSUES DTD PRIOR TO 12/13/01 SEE 575827 2030-08-01 2030-08-01 5.5 - 5.5 Other Municipal Debt 1590025.00 2105625.94 MERCK & CO INC NEW 2020-02-10 2020-02-10 1.85 - 1.85 Other Instrument CORPORATE 363747.00 362711.63 MINNESOTA ST 2028-10-01 2028-10-01 5 - 5 Other Municipal Debt 143795.00 173465.34 NEW JERSEY ECONOMIC DEV AUTH ST PENSION FDG REV 2029-02-15 2029-02-15 7.398 - 7.425 Other Municipal Debt 14644376.00 18813009.78 NEW JERSEY ST 2023-06-01 2023-06-01 5 - 5 Other Municipal Debt 669170.00 804082.11 NEW YORK N Y CITY MUN WTR FIN AUTH REV 2045-06-15 2045-06-15 5 - 5 Other Municipal Debt 2288980.00 2615548.78 NISOURCE FIN CORP 2022-03-01 2022-03-01 6.125 - 6.125 Other Instrument CORPORATE 10562.00 13024.47 OGLETHORPE PWR CORP 2031-01-01 2031-01-01 6.191 - 6.191 Other Instrument CORPORATE 3357065.00 3968656.59 ORACLE CORP FORMERLY ORACLE SYS CORP TO 06/01/19 2021-07-08 2021-07-08 2.8 - 2.8 Other Instrument CORPORATE 1359923.00 1404421.19 PHILADELPHIA PA AUTH FOR INDL DEV PENSION FDG 2028-10-15 2028-10-15 6.55 - 6.55 Other Municipal Debt 9361494.00 11441152.49 SKYWAY CONCESSION COMPANY 2026-06-30 2026-06-30 N/A Other Instrument CORPORATE 7620310.00 6332538.19 SOUTHERN CALIF EDISON CO 2022-02-01 2022-02-01 1.845 - 1.845 Other Instrument CORPORATE 32258.00 32328.40 SUMITOMO MITSUI BKG CORP REORGANIZED AS SUMITOMO 2015-07-18 2015-07-18 1.35 - 1.35 Other Instrument CORPORATE 214749.00 215758.86 VERIZON COMMUNICATIONS INC 2022-11-01 2022-11-01 2.45 - 2.45 Other Instrument CORPORATE 241635.00 234080.15 WISCONSIN ST GEN FD ANNUAL APPROPRIATION REV 2032-05-01 2032-05-01 1.37 - 1.37 Other Municipal Debt 3548184.00 3155755.44 WYETH 2016-02-15 2016-02-15 5.5 - 5.5 Other Instrument CORPORATE 12101.00 12694.84 Unrated Security 2015-03-06 2015-03-06 Y MUFJ SECS (USA) (NON GOV REPO) N/A N/A N N 82000000.00 82000000.00 0.0007 N 82000000.00 82000000.00 Mitsubishi UFJ Securities (U.S.A.), Inc. Mitsubishi UFJ Securities (U.S.A.), Inc., 0.33% 45G99SKN7 Other Repurchase Agreement N 51-100 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 4348279.00 134028032.30 Unrated Security 2015-03-03 2015-03-03 Y MUFJ SECS (USA) (NON GOV REPO) N/A N/A N N 124000000.00 124000000.00 0.0011 N 124000000.00 124000000.00 Mitsubishi UFJ Securities (U.S.A.), Inc. Mitsubishi UFJ Securities (U.S.A.), Inc., 0.33% 45G99SKS6 Other Repurchase Agreement N 101-500 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 8487519.00 266972743.10 Unrated Security 2015-03-06 2015-03-06 Y MUFJ SECS (USA) (NON GOV REPO) N/A N/A N N 247000000.00 247000000.00 0.0022 N 247000000.00 247000000.00 Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 0.32% 48Y998TS5 Other Repurchase Agreement N 51-100 2049-01-01 2049-01-01 N/A Other Instrument CORPORATE 3535743.00 114492234.21 First Tier Security 2015-03-04 2015-03-04 Y MIZUHO SECS USA (NON GOV REPO) N/A N/A N N 106000000.00 106000000.00 0.0010 N 106000000.00 106000000.00 Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 0.32% 48Y998UH7 Other Repurchase Agreement N ISHS MSCI S KOR CAP 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 86837.00 4932341.60 ISHS RUSSLL 3000 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 20830.00 2627912.80 First Tier Security 2015-03-06 2015-03-06 Y MIZUHO SECS USA (NON GOV REPO) N/A N/A N N 7000000.00 7000000.00 0.0001 N 7000000.00 7000000.00 Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 0.32% 48Y998TY2 Other Repurchase Agreement N ISH CR US AGG BOND 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 11808.00 549589.68 MKET VECT GLD MIN 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 225339.00 4723105.44 PIEDMONT OFF REIT-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 4579003.00 83292064.57 First Tier Security 2015-03-06 2015-03-06 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., 0.32% 48Y998TV8 Other Repurchase Agreement N 101-500 2049-01-01 2049-01-01 N/A Other Instrument CORPORATE 3281763.00 136092104.98 First Tier Security 2015-03-06 2015-03-06 Y MIZUHO SECS USA (NON GOV REPO) N/A N/A N N 126000000.00 126000000.00 0.0011 N 126000000.00 126000000.00 Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 0.52% 48Y998UC8 Other Repurchase Agreement N FEDERAL HOME LOAN MORTGAGE CORP 2040-11-15 2040-11-15 5.883 - 6.333 Government Agency Debt 54080967.00 3734388.13 FEDERAL NATIONAL MORTGAGE ASSOC 2040-09-25 2040-11-25 4 - 6.462 Government Agency Debt 582110655.00 31780808.53 GOVERNMENT NATIONAL MORTAGE ASSOC 2040-11-20 2040-11-20 6.477 - 6.477 Government Agency Debt 75000000.00 5066104.78 JGWPT XXVII, SERIES 2012-3 2067-09-15 2067-09-15 6.17 - 6.17 Other Instrument ASSET BACKED 1000000.00 1145841.67 JGWPT XXXI 2065-03-16 2065-03-16 4.94 - 4.94 Other Instrument ASSET BACKED 1500000.00 1588055.50 First Tier Security 2015-03-06 2015-03-06 Y MIZUHO SECS USA (NON GOV REPO) N/A N/A N N 42000000.00 42000000.00 0.0004 N 42000000.00 42000000.00 Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 0.91% 48Y998PA8 Other Repurchase Agreement N ACCREDITED MORTGAGE LOAN TRUST 2037-02-25 2037-02-25 0.391 - 0.391 Other Instrument ASSET BACKED 7211000.00 3698462.21 ACE SECURITIES CORP HOME EQUITY LOAN TRUST 2036-06-25 2036-06-25 0.321 - 0.321 Other Instrument ASSET BACKED 9527430.00 5168966.67 ACE SECURITIES CORP HOME EQUITY LOAN TRUST 2035-10-25 2035-10-25 0.651 - 0.651 Other Instrument ASSET BACKED 7250000.00 3646693.21 BEAR STEARNS ASSET BACKED SECURITIES TRUST 2035-12-25 2035-12-25 0.848 - 0.848 Other Instrument ASSET BACKED 4400000.00 2339143.17 CITIGROUP MORTGAGE LOAN TRUST 2036-11-25 2036-11-25 0.491 - 0.491 Other Instrument ASSET BACKED 12107000.00 6478931.24 FIELDSTONE MORTGAGE INVESTMENT CORP 2035-03-25 2035-03-25 1.341 - 1.341 Other Instrument ASSET BACKED 3000000.00 1597234.05 JP MORGAN MORTGAGE ACQUISITION CORP 2036-05-25 2036-05-25 0.461 - 0.461 Other Instrument ASSET BACKED 11322000.00 6094571.59 MERRILL LYNCH HOME EQUITY LOAN TRUST 2037-04-25 2037-04-25 0.361 - 0.361 Other Instrument ASSET BACKED 10540000.00 5417106.57 RAMP 2046-08-25 2046-08-25 0.531 - 0.531 Other Instrument ASSET BACKED 2870000.00 1491630.64 SPECIALTY UNDERWRITING AND RESIDENTIAL FINANCE TRUST (SURF) 2037-06-25 2037-06-25 0.321 - 0.321 Other Instrument ASSET BACKED 13397000.00 6710965.10 TERWIN MORTGAGE TRUST 2036-04-25 2036-04-25 1.371 - 1.371 Other Instrument ASSET BACKED 1250000.00 655667.95 First Tier Security 2015-03-02 2015-03-02 N N N 40000000.00 40000000.00 0.0004 N 40000000.00 40000000.00 Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 0.91% 48Y998RV0 Other Repurchase Agreement N ADJUSTABLE RATE MORTGAGE TRUST 2035-07-25 2035-11-25 0.691 - 1.471 Other Instrument MORTGAGE 5469999.00 1171050.98 CWALT ALTERNATIVE LOAN TRUST 2046-07-20 2046-07-20 0.374 - 0.374 Other Instrument MORTGAGE 91424000.00 23103910.47 BCAP TRUST 2037-04-25 2037-04-25 0.311 - 0.311 Other Instrument MORTGAGE 16006000.00 4620035.20 CHASEFLEX TRUST 2037-07-25 2037-07-25 0.471 - 0.471 Other Instrument MORTGAGE 98851144.00 30344019.93 CWALT ALTERNATIVE LOAN TRUST 2046-10-25 2046-10-25 0.421 - 0.421 Other Instrument MORTGAGE 15000000.00 3975915.52 INDYMAC INDX MORTGAGE LOAN TRUST 2035-06-25 2036-04-25 2.616 - 2.634 Other Instrument MORTGAGE 79052773.00 16874076.61 INDYMAC INDX MORTGAGE LOAN TRUST 2037-08-25 2037-08-25 0.411 - 0.411 Other Instrument MORTGAGE 25037200.00 5976785.26 RALI 2037-01-25 2037-01-25 0.528 - 0.528 Other Instrument MORTGAGE 10023000.00 2256110.41 RALI 2046-02-25 2046-02-25 0.438 - 0.438 Other Instrument MORTGAGE 10000000.00 2503582.72 First Tier Security 2015-04-15 2015-04-15 N N N 84000000.00 84000000.00 0.0008 Y 84015120.00 84015120.00 Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 0.91% 48Y998SB3 Other Repurchase Agreement N 51-100 2015-09-30 2049-06-17 0 - 12.375 Other Instrument MORTGAGE 115265238.00 85221810.63 First Tier Security 2015-04-20 2015-04-20 N N N 79000000.00 79000000.00 0.0007 Y 79015800.00 79015800.00 Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 0.91% 48Y998SU1 Other Repurchase Agreement N ADJUSTABLE RATE MORTGAGE TRUST 2036-01-25 2036-01-25 1.171 - 1.171 Other Instrument MORTGAGE 6019998.00 405183.86 CWALT ALTERNATIVE LOAN TRUST 2037-01-25 2037-01-25 0.621 - 0.621 Other Instrument MORTGAGE 53035714.00 6073678.38 CWALT ALTERNATIVE LOAN TRUST 2047-04-25 2047-04-25 0.351 - 0.351 Other Instrument MORTGAGE 53288547.00 5485896.61 CWALT ALTERNATIVE LOAN TRUST 2037-08-25 2037-08-25 5.329 - 5.329 Other Instrument MORTGAGE 121215000.00 4240625.53 AMERICAN HOME MORTGAGE INVESTMENT TRUST 2045-02-25 2045-02-25 0.721 - 0.721 Other Instrument MORTGAGE 13000000.00 1003108.75 BEAR STEARNS ALT-A TRUST 2036-03-25 2036-03-25 2.427 - 2.427 Other Instrument MORTGAGE 11250000.00 1808040.98 BEAR STEARNS MORTGAGE FUNDING TRUST 2036-07-25 2036-07-25 0.421 - 0.421 Other Instrument MORTGAGE 114618000.00 4596916.73 CWALT ALTERNATIVE LOAN TRUST 2036-01-25 2036-01-25 0.531 - 0.531 Other Instrument MORTGAGE 59000000.00 7238823.47 CWALT ALTERNATIVE LOAN TRUST 2036-09-25 2036-09-25 6.5 - 6.5 Other Instrument MORTGAGE 2500000.00 401426.64 COUNTRYWIDE HOME LOANS 2036-03-25 2036-03-25 0.501 - 0.501 Other Instrument MORTGAGE 75349950.00 6960429.38 COUNTRYWIDE HOME LOANS 2035-02-25 2035-02-25 0.651 - 0.651 Other Instrument MORTGAGE 6039477.00 150193.82 CHASE MORTGAGE FINANCE CORPORATION 2037-02-25 2037-02-25 6 - 6 Other Instrument MORTGAGE 10000000.00 409804.43 DEUTSCHE ALT-A SECURITIES ALTERNATIVE LOAN TRUST 2035-11-25 2035-11-25 5.5 - 5.5 Other Instrument MORTGAGE 4000000.00 607320.09 GMACM MORTGAGE LOAN TRUST 2035-06-19 2035-06-19 2.797 - 2.797 Other Instrument MORTGAGE 25000000.00 4609583.20 GSAA HOME EQUITY TRUST 2036-01-25 2036-01-25 0.261 - 0.261 Other Instrument MORTGAGE 125421000.00 3757719.91 GSAA HOME EQUITY TRUST 2036-08-25 2036-08-25 0.451 - 0.451 Other Instrument MORTGAGE 6712000.00 937092.71 HOMEBANC MORTGAGE TRUST 2035-03-25 2035-03-25 0.421 - 0.421 Other Instrument MORTGAGE 35000000.00 6443049.14 IMPAC CMB TRUST 2035-05-25 2035-10-25 0.711 - 0.891 Other Instrument MORTGAGE 115000000.00 10975349.37 INDYMAC INDX MORTGAGE LOAN TRUST 2035-06-25 2035-06-25 2.634 - 2.634 Other Instrument MORTGAGE 17042227.00 3164871.49 JP MORGAN MORTGAGE TRUST 2035-06-25 2035-06-25 2.539 - 2.539 Other Instrument MORTGAGE 50298700.00 8578096.36 MASTR ALTERNATIVE LOAN TRUST 2035-06-25 2035-06-25 6.203 - 6.203 Other Instrument MORTGAGE 10799000.00 1093908.70 NOMURA ASSET ACCEPTANCE CORP ALTERNATIVE LOAN TRUST 2035-02-25 2035-02-25 6.879 - 6.879 Other Instrument MORTGAGE 22202673.00 975968.88 NOMURA ASSET ACCEPTANCE CORP ALTERNATIVE LOAN TRUST 2035-02-25 2035-02-25 4.84 - 4.84 Other Instrument MORTGAGE 8755000.00 1234445.16 NOMURA ASSET ACCEPTANCE CORP ALTERNATIVE LOAN TRUST 2036-10-25 2036-10-25 0.571 - 0.571 Other Instrument MORTGAGE 30000000.00 2337995.98 RALI 2037-02-25 2037-02-25 0.298 - 0.298 Other Instrument MORTGAGE 37320000.00 6478395.31 RALI 2036-12-25 2036-12-25 6.482 - 6.482 Other Instrument MORTGAGE 106635250.00 7417261.33 RALI 2036-03-25 2036-03-25 0.568 - 0.568 Other Instrument MORTGAGE 44229000.00 4969422.94 STRUCTURED ASSET SECURITIES CORPORATION 2035-01-25 2035-01-25 1.121 - 1.121 Other Instrument MORTGAGE 6000000.00 371176.26 STRUCTURED ASSET SECURITIES CORPORATION 2035-03-25 2035-07-25 4.853 - 5.534 Other Instrument MORTGAGE 82433000.00 2829301.24 TBW MORTGAGE-BACKED TRUST 2037-01-25 2037-01-25 5.78 - 5.78 Other Instrument MORTGAGE 7820000.00 1122095.10 WAMU MTG PASS-THROUGH CTFS 2034-05-25 2034-05-25 5.466 - 5.466 Other Instrument MORTGAGE 45000000.00 1119813.39 WAMU MORTGAGE PASS-THROUGH CERTIFICATES 2046-11-25 2046-11-25 2.192 - 2.192 Other Instrument MORTGAGE 11800000.00 1390310.37 WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES, WMALT 2036-12-25 2036-12-25 0.271 - 0.271 Other Instrument MORTGAGE 75000000.00 9431631.53 WELLS FARGO MORTGAGE BACKED SECURITIES TRUST 2035-04-25 2035-04-25 2.629 - 2.629 Other Instrument MORTGAGE 13050000.00 1282439.35 WELLS FARGO MORTGAGE BACKED SECURITIES TRUST 2035-04-25 2035-04-25 0.771 - 0.771 Other Instrument MORTGAGE 1500000.00 63471.95 First Tier Security 2015-05-01 2015-05-01 N N N 111000000.00 111000000.00 0.0010 Y 111026640.00 111026640.00 Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 0.91% 48Y998TA4 Other Repurchase Agreement N ACE SECURITIES CORP HOME EQUITY LOAN TRUST 2045-12-25 2045-12-25 0.721 - 0.721 Other Instrument ASSET BACKED 1061242.00 691188.03 MORGAN STANLEY HOME EQUITY LOAN TRUST 2036-02-25 2036-02-25 0.511 - 0.511 Other Instrument ASSET BACKED 17330684.00 11629814.23 NOVASTAR MORTGAGE FUNDING TRUST 2035-06-25 2035-06-25 1.341 - 1.341 Other Instrument ASSET BACKED 5000000.00 3259557.50 OPTION ONE MORTGAGE LOAN 2035-12-25 2035-12-25 0.591 - 0.591 Other Instrument ASSET BACKED 30088000.00 20083765.07 First Tier Security 2015-05-04 2015-05-04 N N N 33000000.00 33000000.00 0.0003 Y 33008250.00 33008250.00 Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 1.03% 48Y998RE8 Other Repurchase Agreement N CWALT ALTERNATIVE LOAN TRUST 2037-09-25 2037-09-25 0 - 6.25 Other Instrument MORTGAGE 13300000.00 7171298.58 CWALT ALTERNATIVE LOAN TRUST 2034-06-25 2034-06-25 0.671 - 0.671 Other Instrument MORTGAGE 7150568.00 3913878.69 CHASEFLEX TRUST 2037-07-25 2037-07-25 0.471 - 0.471 Other Instrument MORTGAGE 63521856.00 19499101.24 CMALT (CITIMORTGAGE ALTERNATIVE LOAN TRUST) 2037-10-25 2037-10-25 6 - 6 Other Instrument MORTGAGE 51500000.00 17410944.43 GSR MORTGAGE LOAN TRUST 2035-04-25 2035-04-25 2.657 - 2.657 Other Instrument MORTGAGE 4889000.00 2087392.16 INDYMAC INDX MORTGAGE LOAN TRUST 2035-12-25 2035-12-25 2.487 - 2.487 Other Instrument MORTGAGE 10825000.00 4485132.81 INDYMAC INDX MORTGAGE LOAN TRUST 2034-11-25 2034-11-25 1.321 - 1.321 Other Instrument MORTGAGE 5284000.00 2781015.99 RALI 2037-03-25 2037-03-25 6 - 6 Other Instrument MORTGAGE 8816000.00 4010090.76 RBSSP RESECURITIZATION TRUST 2036-01-26 2036-01-26 2.348 - 2.348 Other Instrument MORTGAGE 48140398.00 25528237.22 RAST (RESIDENTIAL ASSET SECURITIZATION TRUST) 2037-01-25 2037-01-25 6.25 - 6.25 Other Instrument MORTGAGE 4545860.00 1814801.19 First Tier Security 2015-05-05 2015-05-05 N N N 82000000.00 82000000.00 0.0007 Y 82039360.00 82039360.00 RBC Capital Markets Co. RBC Capital Markets Co., 0.24% 42T99Q6X8 0000050916 Other Repurchase Agreement N FEDERAL HOME LOAN MORTGAGE CORP 2033-07-15 2044-09-15 3.5 - 6.548 Government Agency Debt 1070943567.00 96728422.93 FEDERAL NATIONAL MORTGAGE ASSOC 2034-02-01 2045-02-25 2.5 - 6.482 Government Agency Debt 93012027.00 26039421.53 GOVERNMENT NATIONAL MORTAGE ASSOC 2036-10-16 2045-02-20 2 - 7.512 Government Agency Debt 116270252.00 11986718.66 First Tier Security 2015-03-04 2015-03-04 Y RBC CAP MARKETS LLC(NON-GV RP) N/A N/A N N 131000000.00 131000000.00 0.0012 N 131000000.00 131000000.00 RBC Capital Markets Co. RBC Capital Markets Co., 0.29% 42T99Q6A8 0000050916 Other Repurchase Agreement N FEDERAL HOME LOAN MORTGAGE CORP 2018-06-15 2044-09-01 2.191 - 8.937 Government Agency Debt 193672144.00 14168081.66 FEDERAL NATIONAL MORTGAGE ASSOC 2026-09-01 2045-02-25 0 - 11.551 Government Agency Debt 483573695.00 75442596.45 GOVERNMENT NATIONAL MORTAGE ASSOC 2028-07-20 2064-02-20 1.78 - 6.632 Government Agency Debt 789131236.00 66734520.63 First Tier Security 2015-03-06 2015-03-06 Y RBC CAP MARKETS LLC(NON-GV RP) N/A N/A N N 152000000.00 152000000.00 0.0014 N 152000000.00 152000000.00 RBC Capital Markets Co. RBC Capital Markets Co., 0.38% 42T99Q6W0 0000050916 Other Repurchase Agreement N ANALOG DEVICES 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 35535.00 2092300.80 BIOGEN IDEC 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 12000.00 4921200.00 BROADCOM-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 109400.00 4999580.00 CATERPILLAR 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 32638.00 2735064.40 CHEVRON 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 35495.00 3800094.70 COCA-COLA CO 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 74.00 3142.04 COSTCO WHSL 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 90.00 13198.50 DELTA AIR LINES 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 57600.00 2644992.00 DIRECTV 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 56800.00 5018280.00 DU PONT NEMOURS&CO 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 59300.00 4627179.00 EBAY 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 75.00 4390.50 EMERSON ELECTRIC 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 69500.00 4026830.00 GENL DYNAMICS CORP 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 33600.00 4684848.00 GENERAL ELECTRIC 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 4.00 103.56 GOOGLE-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 203.00 112975.80 IBM 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 47595.00 7656607.65 ISHS MSCI JAP 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 39953.00 639895.02 ISH RUSS 2000 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 110891.00 13651562.07 ISHS NY AMT-FREE 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 68.00 7592.88 ISH 0-5 TIPS BD 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 3040.00 300314.00 JPMORGAN CHASE 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 584.00 35962.72 NETFLIX 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1200.00 579636.00 O REILLY AUTO 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 20400.00 4270536.00 PEPSICO 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 52862.00 5237038.34 PFIZER 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 118575.00 4101509.25 PROSHS ULTR S&P500 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 119039.00 14048269.61 QUALCOMM 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 13535.00 974655.35 GUGG S&P 500 PUR VL 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 57.00 3154.95 SPDR DJ IND AVG UTS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 45.00 8190.45 SPDR SP MC 400 UT-1 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 31300.00 8616577.00 STARBUCKS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 55822.00 5277970.10 TARGET 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 13200.00 1015080.00 VANGRD SH-TRM BD IX 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 48245.00 3868766.55 VERTEX PHARMACEUTIC 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 34800.00 4174956.00 VIACOM-B 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 51400.00 3577954.00 WALGREENS BOOTS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 71.00 5797.15 First Tier Security 2015-03-06 2015-03-06 Y RBC CAP MARKETS LLC(NON-GV RP) N/A N/A N N 109000000.00 109000000.00 0.0010 N 109000000.00 109000000.00 RBC Capital Markets Co. RBC Capital Markets Co., 0.40% 42T99Q7A7 0000050916 Other Repurchase Agreement N 101-500 2016-01-15 2063-03-15 0 - 10.06 Other Instrument MORTGAGE 243659383.00 115789946.65 First Tier Security 2015-03-06 2015-03-06 Y RBC CAP MARKETS LLC(NON-GV RP) N/A N/A N N 108000000.00 108000000.00 0.0010 N 108000000.00 108000000.00 RBC Capital Markets Co. RBC Capital Markets Co., 0.40% 42T99Q6Y6 0000050916 Other Repurchase Agreement N 51-100 2026-11-15 2051-02-15 0 - 6.5 Other Instrument MORTGAGE 326521970.00 46206189.03 First Tier Security 2015-03-06 2015-03-06 Y RBC CAP MARKETS LLC(NON-GV RP) N/A N/A N N 43000000.00 43000000.00 0.0004 N 43000000.00 43000000.00 RBC Capital Markets Co. RBC Capital Markets Co., 0.40% 42T99Q6T7 0000050916 Other Repurchase Agreement N 51-100 2015-06-26 2067-02-15 0 - 14 Other Instrument CORPORATE 147651972.00 141513012.16 First Tier Security 2015-03-06 2015-03-06 Y RBC CAP MARKETS LLC(NON-GV RP) N/A N/A N N 131000000.00 131000000.00 0.0012 N 131000000.00 131000000.00 RBC Capital Markets Co. RBC Capital Markets Co., 0.42% 42T99Q6S9 0000050916 Other Repurchase Agreement N 51-100 2030-04-15 2049-12-10 0 - 6.529 Other Instrument MORTGAGE 793406828.00 117404298.48 First Tier Security 2015-03-06 2015-03-06 Y RBC CAP MARKETS LLC(NON-GV RP) N/A N/A N N 109000000.00 109000000.00 0.0010 N 109000000.00 109000000.00 SG Americas Securities, LLC SG Americas Securities, LLC, 0.33% 60S99B7A3 Other Repurchase Agreement N DISCOVERY COMM-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 4704.00 145072.97 FORD MOTOR 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1.00 16.38 HOME DEPOT 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 2.00 230.76 KEYCORP 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1.00 14.11 LIBERTY INTER-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 32133.00 1305885.12 MARRIOTT INTL-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 2803.00 233265.66 MATTEL 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1.00 26.14 MICROSOFT 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 148676.00 6549921.18 PRICELINE GROUP 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1344.00 1668240.00 SHANDA SP ADR-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 500000.00 2820000.00 STAPLES 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1.00 16.38 TEXAS INSTRUMENTS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 433.00 25728.86 ADOBE SYSTEMS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 16.00 1263.36 APPLE 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1578603.00 205873510.25 BITAUTO HLDG SP ADR 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 7300.00 474208.00 BROADCOM-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 2.00 91.40 CAREFUSION 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1.00 60.21 CARNIVAL 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1.00 43.77 CELGENE CORP 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 2.00 246.70 CERNER CORP 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1.00 72.78 COCA-COLA ENTPR 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 3205.00 147942.80 D R HORTON 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 3.00 81.66 DISCOVER FNCL SRVCS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 2.00 122.52 Second Tier Security 2015-03-06 2015-03-06 N N N 203000000.00 203000000.00 0.0018 N 203000000.00 203000000.00 SG Americas Securities, LLC SG Americas Securities, LLC, 0.46% 60S99B6Y2 Other Repurchase Agreement N 101-500 2015-04-15 2077-10-01 0 - 11.5 Other Instrument CORPORATE 364861764.00 376575822.84 Second Tier Security 2015-03-04 2015-03-04 N N N 353000000.00 353000000.00 0.0032 N 353005824.50 353005824.50 Wells Fargo Securities, LLC Wells Fargo Securities, LLC, 0.75% 45C9942L8 0000276523 Other Repurchase Agreement N 501-1000 2015-03-15 2049-01-01 0 - 7.5 Other Instrument CORPORATE 68721262.00 151192357.47 First Tier Security 2015-04-28 2015-04-28 N N N 140000000.00 140000000.00 0.0013 Y 140123200.00 140123200.00