0000278001-15-000074.txt : 20150629 0000278001-15-000074.hdr.sgml : 20150629 20150507121426 ACCESSION NUMBER: 0000278001-15-000074 CONFORMED SUBMISSION TYPE: N-MFP PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20150430 FILED AS OF DATE: 20150507 DATE AS OF CHANGE: 20150507 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: 15840371 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 2015-04-30 0000278001 S000007149 1 N N 002-63350 FIDELITY MANAGEMENT & RESEARCH COMPANY (FMR) 801-07884 FIDELITY INVESTMENTS MONEY MANAGEMENT, INC. 801-34590 FMR INVESTMENT MANAGEMENT (U.K.) LIMITED 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 42 89 109911461854.26 50757646.27 187670950.41 109774548550.12 0.0029 1.0004 2015-04-30 1.0004 2015-04-30 C000019553 2500.00 109774548550.12 1.00 -611636344.73 25455416563.38 26067052908.11 0.0001 1.0004 2015-04-30 1.0004 2015-04-30 Bank of Montreal Bank of Montreal, 0.26% 06366CES3 Certificate of Deposit First Tier Security 2015-05-14 2015-07-14 N N N 387000000.00 387000000.00 0.0035 N 386996904.00 386996904.00 Bank of Montreal Bank of Montreal, 0.26% 06366CKC1 Certificate of Deposit First Tier Security 2015-05-18 2015-08-18 N N N 440000000.00 440000000.00 0.0040 N 439970080.00 439970080.00 Bank of Montreal Bank of Montreal, 0.26% 06366CFU7 Certificate of Deposit First Tier Security 2015-05-20 2015-07-20 N N N 224000000.00 224000000.00 0.0020 N 223988800.00 223988800.00 Bank of Montreal Bank of Montreal, 0.26% 06366CFW3 Certificate of Deposit First Tier Security 2015-05-21 2015-07-21 N N N 225000000.00 225000000.00 0.0020 N 224987400.00 224987400.00 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 217560421.50 217560421.50 Bank of Montreal Chicago CD Program Bank of Montreal Chicago CD Program, 0.31% 06366LEQ7 Certificate of Deposit First Tier Security 2015-05-17 2015-09-11 N N N 912000000.00 912000000.00 0.0083 N 911961696.00 911961696.00 Bank of Nova Scotia Bank of Nova Scotia, 0.27% 06417HD60 Certificate of Deposit First Tier Security 2015-05-11 2015-09-08 N N N 433000000.00 433000000.00 0.0039 N 432981381.00 432981381.00 Bank of Nova Scotia Bank of Nova Scotia, 0.28% 35N99SDE8 0000009631 Certificate of Deposit First Tier Security 2015-05-05 2015-10-28 N N N 433000000.00 433000000.00 0.0039 N 432979216.00 432979216.00 Bank of Nova Scotia Bank of Nova Scotia, 0.28% 06417HVE3 Certificate of Deposit First Tier Security 2015-05-20 2015-05-20 N N N 869000000.00 869000000.00 0.0079 N 868981751.00 868981751.00 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 0.0046 N 500208600.00 500208600.00 Bank of Nova Scotia Bank of Nova Scotia, 0.36% 06417E5W9 Certificate of Deposit First Tier Security 2015-05-11 2015-07-13 N N N 406000000.00 406000000.00 0.0037 N 406008120.00 406008120.00 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 241000650.70 241000650.70 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 0.0046 N 500041250.00 500041250.00 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.27% 06538JMZ6 Certificate of Deposit First Tier Security 2015-07-07 2015-07-07 N N N 862000000.00 862000000.00 0.0079 N 862076373.20 862076373.20 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.27% 06538JPD2 Certificate of Deposit First Tier Security 2015-07-10 2015-07-10 N N N 616000000.00 616000000.00 0.0056 N 616050881.60 616050881.60 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.27% 06538JRH1 Certificate of Deposit First Tier Security 2015-07-24 2015-07-24 N N N 763000000.00 763000000.00 0.0070 N 763032274.90 763032274.90 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.27% 06538JRR9 Certificate of Deposit First Tier Security 2015-07-27 2015-07-27 N N N 629000000.00 629000000.00 0.0057 N 629019876.40 629019876.40 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.27% 06538JRU2 Certificate of Deposit First Tier Security 2015-07-28 2015-07-28 N N N 329000000.00 329000000.00 0.0030 N 329009705.50 329009705.50 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.27% 06538JRX6 Certificate of Deposit First Tier Security 2015-07-29 2015-07-29 N N N 427000000.00 427000000.00 0.0039 N 427010589.60 427010589.60 Barclays Bank PLC Barclays Bank PLC, 0.30% 06741XS58 Certificate of Deposit First Tier Security 2015-06-29 2015-06-29 N N N 1051000000.00 1051000000.00 0.0096 N 1051245093.20 1051245093.20 Barclays Bank PLC Barclays Bank PLC, 0.30% 06741XS82 Certificate of Deposit First Tier Security 2015-06-30 2015-06-30 N N N 1641000000.00 1641000000.00 0.0149 N 1641383501.70 1641383501.70 BNP Paribas New York Branch BNP Paribas New York Branch, 0.27% 05574RTU9 Certificate of Deposit First Tier Security 2015-07-01 2015-07-01 N N N 256000000.00 256000000.00 0.0023 N 256029516.80 256029516.80 BNP Paribas New York Branch BNP Paribas New York Branch, 0.27% 05574RTW5 Certificate of Deposit First Tier Security 2015-07-06 2015-07-06 N N N 790000000.00 790000000.00 0.0072 N 790085162.00 790085162.00 Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce, 0.25% 13606Y6S0 Certificate of Deposit First Tier Security 2015-05-18 2015-06-17 N N N 177000000.00 177000318.07 0.0016 N 176994336.00 176994336.00 Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce, 0.31% 13606YZR0 Certificate of Deposit First Tier Security 2015-05-18 2015-09-11 N N N 1249000000.00 1249000000.00 0.0114 N 1248948791.00 1248948791.00 Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce, 0.34% 13606YRX6 Certificate of Deposit First Tier Security 2015-05-05 2015-10-01 N N N 403000000.00 403000000.00 0.0037 N 403000000.00 403000000.00 Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce, 0.36% 13606YPQ3 Certificate of Deposit First Tier Security 2015-05-05 2015-10-05 N N N 405000000.00 405000000.00 0.0037 N 405000000.00 405000000.00 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 0.0051 N 560010416.00 560010416.00 Credit Industriel et Commercial Credit Industriel et Commercial, 0.14% 22536TLC5 Certificate of Deposit First Tier Security 2015-05-06 2015-05-06 N N N 2554000000.00 2554000000.00 0.0233 N 2553994125.80 2553994125.80 Credit Suisse Credit Suisse, 0.33% 22549VX65 Certificate of Deposit First Tier Security 2015-05-18 2015-08-03 N N N 609000000.00 609000000.00 0.0055 N 608983557.00 608983557.00 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 0.0069 N 752140924.80 752140924.80 Credit Suisse Credit Suisse, 0.36% 22549VNN9 Certificate of Deposit First Tier Security 2015-05-11 2015-06-11 N N N 669000000.00 669000000.00 0.0061 N 668984613.00 668984613.00 Credit Suisse Credit Suisse, 0.38% 22549VZA4 Certificate of Deposit First Tier Security 2015-05-05 2015-09-04 N N N 707000000.00 707000000.00 0.0064 N 706976669.00 706976669.00 Credit Suisse Credit Suisse, 0.38% 22549VB69 Certificate of Deposit First Tier Security 2015-05-14 2015-09-14 N N N 846000000.00 846000000.00 0.0077 N 845967852.00 845967852.00 Landesbank Baden-Wuerttemberg New York Branch Landesbank Baden-Wuerttemberg New York Branch, 0.16% 51489KLE6 Certificate of Deposit First Tier Security 2015-05-01 2015-05-01 N N N 1191000000.00 1191000000.00 0.0108 N 1191000000.00 1191000000.00 Landesbank Baden-Wuerttemberg New York Branch Landesbank Baden-Wuerttemberg New York Branch, 0.16% 51489KLH9 Certificate of Deposit First Tier Security 2015-05-07 2015-05-07 N N N 751000000.00 751000000.00 0.0068 N 751000000.00 751000000.00 Landesbank Baden-Wuerttemberg New York Branch Landesbank Baden-Wuerttemberg New York Branch, 0.27% 51489KKF4 Certificate of Deposit First Tier Security 2015-05-01 2015-05-01 N N N 1176000000.00 1176000000.00 0.0107 N 1176003528.00 1176003528.00 Landesbank Baden-Wuerttemberg New York Branch Landesbank Baden-Wuerttemberg New York Branch, 0.27% 51489KLA4 Certificate of Deposit First Tier Security 2015-05-22 2015-05-22 N N N 535000000.00 535000000.00 0.0049 N 535026482.50 535026482.50 Lloyds TSB Bank PLC New York Branch Lloyds TSB Bank PLC New York Branch, 0.14% 53945GBX8 Certificate of Deposit First Tier Security 2015-05-06 2015-05-06 N N N 873607000.00 873607000.00 0.0080 N 873608485.13 873608485.13 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 0.0040 N 437053532.50 437053532.50 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 539064949.50 539064949.50 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 0.0032 N 349039576.60 349039576.60 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.28% 60689DAC7 Certificate of Deposit First Tier Security 2015-07-17 2015-07-17 N N N 414000000.00 414000000.00 0.0038 N 414030429.00 414030429.00 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.28% 60689DBA0 Certificate of Deposit First Tier Security 2015-07-27 2015-07-27 N N N 557000000.00 557000000.00 0.0051 N 557018938.00 557018938.00 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.28% 60689DBB8 Certificate of Deposit First Tier Security 2015-07-28 2015-07-28 N N N 444000000.00 444000000.00 0.0040 N 444013098.00 444013098.00 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 0.0040 N 435008830.50 435008830.50 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 0.0040 N 435010918.50 435010918.50 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 541032405.90 541032405.90 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 209014107.50 209014107.50 Natexis Banques Populaires New York Branch Natexis Banques Populaires New York Branch, 0.14% 63873FQB7 Certificate of Deposit First Tier Security 2015-05-06 2015-05-06 N N N 458000000.00 458000000.00 0.0042 N 458003984.60 458003984.60 Natexis Banques Populaires New York Branch Natexis Banques Populaires New York Branch, 0.28% 63873FFM5 Certificate of Deposit First Tier Security 2015-05-26 2015-07-06 Y NATIXIS NY BRH N/A N/A N N 669000000.00 669000000.00 0.0061 N 668927748.00 668927748.00 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 0.0109 N 1200188640.00 1200188640.00 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 0.0076 N 837131576.40 837131576.40 Natexis Banques Populaires New York Branch Natexis Banques Populaires New York Branch, 0.31% 63873FNU8 Certificate of Deposit First Tier Security 2015-07-01 2015-07-01 N N N 1100000000.00 1100000000.00 0.0100 N 1100234740.00 1100234740.00 Natexis Banques Populaires New York Branch Natexis Banques Populaires New York Branch, 0.31% 63873FPT9 Certificate of Deposit First Tier Security 2015-07-31 2015-07-31 N N N 1223000000.00 1223000000.00 0.0111 N 1223221729.90 1223221729.90 National Bank of Canada National Bank of Canada, 0.37% 63307UEA5 Certificate of Deposit First Tier Security 2015-05-11 2015-06-08 N N N 201000000.00 201000000.00 0.0018 N 201002211.00 201002211.00 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 300032610.00 300032610.00 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 0.0046 N 500057850.00 500057850.00 Royal Bank of Canada Royal Bank of Canada, 0.25% 78009NRN8 Certificate of Deposit First Tier Security 2015-05-26 2015-06-26 N N N 465000000.00 465000000.00 0.0042 N 464985120.00 464985120.00 Royal Bank of Canada Royal Bank of Canada, 0.26% 78009NRQ1 Certificate of Deposit First Tier Security 2015-05-26 2015-07-23 N N N 407000000.00 407000000.00 0.0037 N 406976394.00 406976394.00 Royal Bank of Canada Royal Bank of Canada, 0.27% 78009NSG2 Certificate of Deposit First Tier Security 2015-05-11 2015-11-10 N N N 238000000.00 238000000.00 0.0022 N 237974534.00 237974534.00 Skandinaviska Enskilda Banken Skandinaviska Enskilda Banken, 0.27% 83051HX68 Certificate of Deposit First Tier Security 2015-08-05 2015-08-05 N N N 500000000.00 500000000.00 0.0046 N 500082050.00 500082050.00 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 110001309.00 110001309.00 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 0.0039 N 427006319.60 427006319.60 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 0.0043 N 468009547.20 468009547.20 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 272014633.60 272014633.60 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 375025162.50 375025162.50 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 385030992.50 385030992.50 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 0.0087 N 950095760.00 950095760.00 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 496055204.80 496055204.80 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.28% 86563RJB5 Certificate of Deposit First Tier Security 2015-07-17 2015-07-17 N N N 300000000.00 300000000.00 0.0027 N 300025950.00 300025950.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.28% 86563RJP4 Certificate of Deposit First Tier Security 2015-07-23 2015-07-23 N N N 475000000.00 475000000.00 0.0043 N 475033155.00 475033155.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.28% 86563RLJ5 Certificate of Deposit First Tier Security 2015-08-03 2015-08-03 N N N 392000000.00 392000000.00 0.0036 N 392015327.20 392015327.20 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.38% 86562JAD9 Certificate of Deposit First Tier Security 2015-05-15 2015-10-15 N N N 890000000.00 890000000.00 0.0081 N 890025810.00 890025810.00 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 0.0046 N 500047900.00 500047900.00 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 0.0046 N 500058550.00 500058550.00 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 0.0102 N 1125145687.50 1125145687.50 Sumitomo Mitsui Trust Banking Ltd. Sumitomo Mitsui Trust Banking Ltd., 0.29% 86563KYD9 Certificate of Deposit First Tier Security 2015-08-31 2015-08-31 N N N 400000000.00 400000000.00 0.0036 N 399995840.00 399995840.00 Sumitomo Mitsui Trust Banking Ltd. Sumitomo Mitsui Trust Banking Ltd., 0.29% 86563KYU1 Certificate of Deposit First Tier Security 2015-09-11 2015-09-11 N N N 1244000000.00 1244000000.00 0.0113 N 1243934690.00 1243934690.00 Toronto-Dominion Bank Toronto-Dominion Bank, 0.25% 89112UGM7 Certificate of Deposit First Tier Security 2015-05-06 2015-06-08 N N N 391000000.00 391000000.00 0.0036 N 390992571.00 390992571.00 Toronto-Dominion Bank Toronto-Dominion Bank, 0.27% 89112UYU9 Certificate of Deposit First Tier Security 2015-05-05 2015-10-05 N N N 700000000.00 700000000.00 0.0064 N 699941900.00 699941900.00 Toronto-Dominion Bank Toronto-Dominion Bank, 0.27% 89112UYQ8 Certificate of Deposit First Tier Security 2015-05-06 2015-10-06 N N N 9000000.00 9000000.00 0.0001 N 8999235.00 8999235.00 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 232054148.80 232054148.80 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 256082304.00 256082304.00 UBS AG UBS AG, 0.34% 90267RH28 Certificate of Deposit First Tier Security 2015-05-05 2015-09-08 N N N 668000000.00 668000000.00 0.0061 N 667977288.00 667977288.00 UBS AG UBS AG, 0.34% 90267RG78 Certificate of Deposit First Tier Security 2015-05-05 2015-09-08 N N N 668000000.00 668000000.00 0.0061 N 667977288.00 667977288.00 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 0.0123 N 1355115310.50 1355115310.50 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 0.0077 N 840026124.00 840026124.00 UBS AG UBS AG, 0.37% 90267RH93 Certificate of Deposit First Tier Security 2015-05-26 2015-09-25 N N N 417000000.00 417000000.00 0.0038 N 416951211.00 416951211.00 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 0.0026 N 281015567.40 281015567.40 ABN AMRO Bank NV ABN AMRO Bank NV, 0.28% 37V995TL2 Certificate of Deposit First Tier Security 2015-08-03 2015-08-03 N N N 166000000.00 165878723.72 0.0015 N 165888365.00 165888365.00 ABN AMRO Bank NV ABN AMRO Bank NV, 0.30% 37V995TC2 Certificate of Deposit First Tier Security 2015-06-29 2015-06-29 N N N 410000000.00 409798574.50 0.0037 N 409856541.00 409856541.00 ABN AMRO Bank NV ABN AMRO Bank NV, 0.31% 37V995TA6 Certificate of Deposit First Tier Security 2015-06-19 2015-06-19 N N N 446000000.00 445811959.54 0.0041 N 445876145.80 445876145.80 Credit Agricole SA Credit Agricole SA, 0.30% 22999KQR6 0001191672 Certificate of Deposit First Tier Security 2015-08-05 2015-08-05 N N N 535000000.00 535000000.00 0.0049 N 535034293.50 535034293.50 Mizuho Bank Ltd. Mizuho Bank Ltd., 0.28% 49J99LEW8 Certificate of Deposit First Tier Security 2015-07-27 2015-07-27 N N N 200000000.00 199864761.85 0.0018 N 199869960.00 199869960.00 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 0.0099 N 1090298115.00 1090298115.00 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 0.0020 N 216075492.00 216075492.00 National Australia Bank Ltd. National Australia Bank Ltd., 0.30% 39K99HJL5 0000833029 Certificate of Deposit First Tier Security 2015-09-23 2015-09-23 N N N 279000000.00 279000000.00 0.0025 N 279075664.80 279075664.80 National Australia Bank Ltd. National Australia Bank Ltd., 0.30% 39K99HJN1 0000833029 Certificate of Deposit First Tier Security 2015-09-25 2015-09-25 N N N 94000000.00 94000000.00 0.0009 N 94024299.00 94024299.00 National Australia Bank Ltd. National Australia Bank Ltd., 0.30% 39K99HJP6 0000833029 Certificate of Deposit First Tier Security 2015-09-30 2015-09-30 N N N 235000000.00 235000000.00 0.0021 N 235054825.50 235054825.50 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 0.0026 N 280137480.00 280137480.00 State Street Bank & Trust Co. State Street Bank & Trust Co., 0.26% 8574P1DR4 Certificate of Deposit First Tier Security 2015-06-08 2015-06-08 N N N 445000000.00 445000000.00 0.0041 N 444972410.00 444972410.00 Wells Fargo Bank NA Wells Fargo Bank NA, 0.26% 94988EAR9 Certificate of Deposit First Tier Security 2015-05-05 2015-08-03 N N N 278000000.00 278000000.00 0.0025 N 277986378.00 277986378.00 Wells Fargo Bank NA Wells Fargo Bank NA, 0.26% 94988EAT5 Certificate of Deposit First Tier Security 2015-05-06 2015-08-04 N N N 145000000.00 145000000.00 0.0013 N 144992750.00 144992750.00 Wells Fargo Bank NA Wells Fargo Bank NA, 0.26% 94988EAX6 Certificate of Deposit First Tier Security 2015-05-18 2015-08-18 N N N 140000000.00 140000000.00 0.0013 N 139990480.00 139990480.00 Wells Fargo Bank NA Wells Fargo Bank NA, 0.27% 94988EEE4 Certificate of Deposit First Tier Security 2015-05-11 2015-09-02 N N N 1000000000.00 1000000000.00 0.0091 N 999966000.00 999966000.00 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 509916699.97 0.0046 N 509988474.00 509988474.00 BNP Paribas New York Branch BNP Paribas New York Branch, 0.28% 09659CV47 Financial Company Commercial Paper First Tier Security 2015-08-04 2015-08-04 N N N 363000000.00 362731783.30 0.0033 N 362748332.10 362748332.10 BNP Paribas New York Branch BNP Paribas New York Branch, 0.28% 09659CV54 Financial Company Commercial Paper First Tier Security 2015-08-05 2015-08-05 N N N 500000000.00 499626666.50 0.0046 N 499647050.00 499647050.00 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.27% 20272AKV7 Financial Company Commercial Paper First Tier Security 2015-05-18 2015-07-16 N N N 300000000.00 300000000.00 0.0027 N 299993700.00 299993700.00 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 515888916.66 0.0047 N 515944478.40 515944478.40 DNB Bank ASA DNB Bank ASA, 0.30% 2332K1VQ0 Financial Company Commercial Paper First Tier Security 2015-08-24 2015-08-24 N N N 404000000.00 403612833.47 0.0037 N 403683668.00 403683668.00 Fortis Funding LLC Fortis Funding LLC, 0.27% 3495P3U60 Financial Company Commercial Paper First Tier Security 2015-07-06 2015-07-06 N N N 271000000.00 270865855.00 0.0025 N 270893063.40 270893063.40 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 999791666.60 0.0091 N 999894600.00 999894600.00 Landesbank Baden-Wurttemberg Landesbank Baden-Wurttemberg, 0.16% 5148X1S79 Financial Company Commercial Paper First Tier Security 2015-05-07 2015-05-07 N N N 1650000000.00 1649956000.11 0.0150 N 1649955994.50 1649955994.50 Landesbank Baden-Wurttemberg Landesbank Baden-Wurttemberg, 0.25% 5148X1SM6 Financial Company Commercial Paper First Tier Security 2015-05-21 2015-05-21 N N N 186000000.00 185974166.72 0.0017 N 185974166.46 185974166.46 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 87974260.00 0.0008 N 87978976.80 87978976.80 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 229932725.00 0.0021 N 229945053.00 229945053.00 Nationwide Building Society Nationwide Building Society, 0.44% 6385E1UT6 Financial Company Commercial Paper First Tier Security 2015-07-27 2015-07-27 N N N 96000000.00 95897920.03 0.0009 N 95950953.60 95950953.60 Nationwide Building Society Nationwide Building Society, 0.44% 6385E1UU3 Financial Company Commercial Paper First Tier Security 2015-07-28 2015-07-28 N N N 150000000.00 149838666.60 0.0014 N 149922495.00 149922495.00 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 427592211.10 0.0039 N 427738706.00 427738706.00 Sumitomo Trust & Banking Co. Ltd. Sumitomo Trust & Banking Co. Ltd., 0.29% 86563HVX5 Financial Company Commercial Paper First Tier Security 2015-08-31 2015-08-31 N N N 163000000.00 162839807.25 0.0015 N 162836820.70 162836820.70 Sheffield Receivables Corp. Sheffield Receivables Corp., 0.30% 82124MUA6 Asset Backed Commercial Paper First Tier Security 2015-07-10 2015-07-10 N N Y GUARANTOR BARCLAYS BANK PLC N/A N/A 200000000.00 199883333.40 0.0018 N 199918360.00 199918360.00 Sheffield Receivables Corp. Sheffield Receivables Corp., 0.30% 82124MUD0 Asset Backed Commercial Paper First Tier Security 2015-07-13 2015-07-13 N N Y GUARANTOR BARCLAYS BANK PLC N/A N/A 76000000.00 75953766.66 0.0007 N 75967350.40 75967350.40 Sheffield Receivables Corp. Sheffield Receivables Corp., 0.30% 82124MUF5 Asset Backed Commercial Paper First Tier Security 2015-07-15 2015-07-15 N N Y GUARANTOR BARCLAYS BANK PLC N/A N/A 300000000.00 299812499.94 0.0027 N 299866380.00 299866380.00 Sheffield Receivables Corp. Sheffield Receivables Corp., 0.30% 82124MUQ1 Asset Backed Commercial Paper First Tier Security 2015-07-24 2015-07-24 N N Y GUARANTOR BARCLAYS BANK PLC N/A N/A 200000000.00 199860000.00 0.0018 N 199897520.00 199897520.00 Sheffield Receivables Corp. Sheffield Receivables Corp., 0.30% 82124MUT5 Asset Backed Commercial Paper First Tier Security 2015-07-27 2015-07-27 N N Y GUARANTOR BARCLAYS BANK PLC N/A N/A 200000000.00 199855000.00 0.0018 N 199892940.00 199892940.00 Sheffield Receivables Corp. Sheffield Receivables Corp., 0.30% 82124MUU2 Asset Backed Commercial Paper First Tier Security 2015-07-28 2015-07-28 N N Y GUARANTOR BARCLAYS BANK PLC N/A N/A 94000000.00 93931066.66 0.0009 N 93949108.40 93949108.40 Caisse centrale Desjardins Caisse centrale Desjardins, 0.14% 1280C3S57 Other Commercial Paper First Tier Security 2015-05-05 2015-05-05 N N N 212000000.00 211996702.26 0.0019 N 211996162.80 211996162.80 NBCUniversal Enterprise, Inc. NBCUniversal Enterprise, Inc., 0.53% 63946ES47 Other Commercial Paper Second Tier Security 2015-05-04 2015-05-04 N N N 25660000.00 25658866.68 0.0002 N 25659343.10 25659343.10 Virginia Electric & Power Co. Virginia Electric & Power Co., 0.55% 92780KS41 Other Commercial Paper Second Tier Security 2015-05-04 2015-05-04 N N N 50000000.00 49997708.33 0.0005 N 49998890.00 49998890.00 Xerox Corp. Xerox Corp., 0.58% 98412FSB9 Other Commercial Paper Second Tier Security 2015-05-11 2015-05-11 N N N 35500000.00 35494280.55 0.0003 N 35495551.85 35495551.85 Fannie Mae Fannie Mae, 0.20% 3135G0B44 Government Agency Debt First Tier Security 2015-05-26 2017-01-26 N N N 500000000.00 499911225.40 0.0046 N 500080000.00 500080000.00 Federal Farm Credit Bank Federal Farm Credit Bank, 0.16% 3133EDUG5 Government Agency Debt First Tier Security 2015-05-15 2016-09-15 N N N 370000000.00 369936127.79 0.0034 N 369934880.00 369934880.00 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 351943618.89 0.0032 N 351944032.00 351944032.00 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 199967794.40 0.0018 N 199982200.00 199982200.00 Federal Home Loan Bank Federal Home Loan Bank, 0.14% 3130A4Z39 Government Agency Debt First Tier Security 2015-05-20 2016-04-20 N N N 221750000.00 221740018.74 0.0020 N 221677266.00 221677266.00 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 353962155.63 0.0032 N 353996106.00 353996106.00 Federal Home Loan Bank Federal Home Loan Bank, 0.15% 3130A3GT5 Government Agency Debt First Tier Security 2015-06-07 2016-06-07 N N N 200000000.00 199969745.72 0.0018 N 199978600.00 199978600.00 Federal Home Loan Bank Federal Home Loan Bank, 0.16% 3130A56Y0 Government Agency Debt First Tier Security 2015-05-27 2016-10-27 N N N 564000000.00 563870385.35 0.0051 N 563754660.00 563754660.00 Federal Home Loan Bank Federal Home Loan Bank, 0.17% 3130A2CJ3 Government Agency Debt First Tier Security 2015-06-09 2016-06-09 N N N 250000000.00 249964171.90 0.0023 N 250008750.00 250008750.00 Federal Home Loan Bank Federal Home Loan Bank, 0.18% 3130A3T53 Government Agency Debt First Tier Security 2015-06-23 2016-12-23 N N N 545000000.00 544886582.34 0.0050 N 544961850.00 544961850.00 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 0.0046 N 500028500.00 500028500.00 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 175989922.10 0.0016 N 176048752.00 176048752.00 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 0.0036 N 390062010.00 390062010.00 Freddie Mac Freddie Mac, 0.15% 3134G5PN9 Government Agency Debt First Tier Security 2015-05-14 2016-11-14 N N N 2000000000.00 1999523336.80 0.0182 N 1999340000.00 1999340000.00 Freddie Mac Freddie Mac, 0.17% 3134G5UB9 Government Agency Debt First Tier Security 2015-05-12 2016-12-12 N N N 250000000.00 249938268.40 0.0023 N 249949250.00 249949250.00 Freddie Mac Freddie Mac, 0.18% 3134G6AE3 Government Agency Debt First Tier Security 2015-05-21 2016-07-21 N N N 500000000.00 499937305.60 0.0046 N 500124000.00 500124000.00 Freddie Mac Freddie Mac, 0.19% 3134G5Z24 Government Agency Debt First Tier Security 2015-05-12 2017-01-12 N N N 500000000.00 499913183.80 0.0046 N 499914000.00 499914000.00 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 489883964.57 0.0045 N 490000000.00 490000000.00 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 163392708.14 0.0015 N 163409336.04 163409336.04 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 1255408918.15 0.0114 N 1255490705.00 1255490705.00 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 876224215.70 0.0080 N 876342516.00 876342516.00 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 1327385866.86 0.0121 N 1327518857.00 1327518857.00 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 768316430.04 0.0070 N 768540044.16 768540044.16 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 923655619.80 0.0084 N 923809720.00 923809720.00 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 401131742.08 0.0037 N 401187600.00 401187600.00 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 500141683.80 0.0046 N 500312500.00 500312500.00 U.S. Treasury Notes U.S. Treasury Notes, 0.26% to 0.30% 912828PM6 Treasury Debt First Tier Security 2015-12-31 2015-12-31 N N N 657000000.00 665103121.79 0.0061 N 665520633.00 665520633.00 Dominion Resources, Inc. Dominion Resources, Inc., 0.38% 25746UBZ1 Other Note Second Tier Security 2015-05-20 2015-06-15 Y DOMINION RESOURCE INC VA NEW N/A N/A N N 330000000.00 330000000.00 0.0030 N 329946540.00 329946540.00 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 0.0038 N 412298700.00 412298700.00 Svenska Handelsbanken AB Svenska Handelsbanken AB, 0.00% 86959JJL3 Other Note First Tier Security 2015-09-25 2015-09-25 N N N 816000000.00 816000000.00 0.0074 N 815936352.00 815936352.00 Svenska Handelsbanken AB Svenska Handelsbanken AB, 0.33% 86959JDE5 Other Note First Tier Security 2015-05-15 2015-10-15 N N N 208000000.00 208000000.00 0.0019 N 208000624.00 208000624.00 LP Pinewood SPV LLC Taxable LP Pinewood SPV LLC Taxable, 0.18% LOC Wells Fargo Bank NA VRDN 50212RAA7 Variable Rate Demand Note First Tier Security 2015-05-07 2015-05-07 Y WELLS FARGO BK NATL ASSN N/A N/A Y WELLS FARGO BK NATL ASSN N/A N/A N 181000000.00 181000000.00 0.0016 N 181000000.00 181000000.00 Barclays Bank PLC Barclays Bank PLC, 0.14% 44T99LUP5 Other Instrument Time Deposits First Tier Security 2015-05-01 2015-05-01 N N N 1293000000.00 1293000000.00 0.0118 N 1293000000.00 1293000000.00 BNP Paribas BNP Paribas, 0.08% 75A99NBC5 Other Instrument Time Deposits First Tier Security 2015-05-01 2015-05-01 N N N 433000000.00 433000000.00 0.0039 N 433000000.00 433000000.00 Credit Agricole CIB Credit Agricole CIB, 0.10% 44T99H4F5 Other Instrument Time Deposits First Tier Security 2015-05-01 2015-05-01 N N N 600000000.00 600000000.00 0.0055 N 600000000.00 600000000.00 DNB Bank ASA DNB Bank ASA, 0.14% 44V99B4Y4 Other Instrument Time Deposits First Tier Security 2015-05-06 2015-05-06 N N N 3440000000.00 3440000000.00 0.0313 N 3440000000.00 3440000000.00 Fortis Bank (TD) Fortis Bank (TD), 0.08% 75A99PAY3 Other Instrument Time Deposits First Tier Security 2015-05-01 2015-05-01 N N N 433000000.00 433000000.00 0.0039 N 433000000.00 433000000.00 Swedbank AB Swedbank AB, 0.14% 44U996RL9 Other Instrument Time Deposits First Tier Security 2015-05-04 2015-05-04 N N N 3417000000.00 3417000000.00 0.0311 N 3417000000.00 3417000000.00 Bank of America NA In a joint trading account with Bank of America NA at 0.14%, dated 4/30/2015 due 05/01/2015 49J998RJ2_04197 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2021-01-25 2043-06-15 2.413 - 3.531 Government Agency Debt 378996850.96 384277252.92 GOVERNMENT NATIONAL MORTAGE ASSOC 2039-12-20 2040-03-20 3 - 3 Government Agency Debt 515526884.29 170018891.75 Unrated Security 2015-05-01 2015-05-01 N N N 538149653.00 538149653.41 0.0049 N 538149653.41 538149653.41 BNY Mellon Capital Markets LLC In a joint trading account with BNY Mellon Capital Markets LLC at 0.14%, dated 4/30/2015 due 05/01/2015 49J998RJ2_08066 Government Agency Repurchase Agreement Y US TREASURY 2015-05-15 2044-11-15 0 - 8.125 Treasury Debt 28207920.92 28847632.33 FEDERAL FARM CREDIT 2015-07-30 2039-08-03 0.35 - 5 Government Agency Debt 1029201.56 1071178.30 FEDERAL HOME LOAN BANK 2015-06-12 2028-03-07 0.5 - 5.625 Government Agency Debt 5346752.30 5517615.10 FEDERAL HOME LOAN MORTGAGE CORP 2015-05-05 2045-04-01 0 - 7 Government Agency Debt 125331154.05 75945560.25 FEDERAL NATIONAL MORTGAGE ASSOC 2015-05-01 2045-05-01 0 - 10.35 Government Agency Debt 194866648.98 141847439.43 GOVERNMENT NATIONAL MORTAGE ASSOC 2015-11-20 2045-04-20 2 - 10 Government Agency Debt 199262895.03 180092952.23 Unrated Security 2015-05-01 2015-05-01 N N N 424651807.00 424651806.85 0.0039 N 424651806.85 424651806.85 Merrill Lynch, Pierce, Fenner & Smith, Inc. In a joint trading account with Merrill Lynch, Pierce, Fenner & Smith, Inc. at 0.14%, dated 4/30/2015 due 05/01/2015 49J998RJ2_53651 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2027-11-01 2045-05-01 2.475 - 4.978 Government Agency Debt 9358163.89 5318050.89 FEDERAL NATIONAL MORTGAGE ASSOC 2020-10-01 2045-05-01 2.052 - 5.5 Government Agency Debt 17480183.70 9814229.13 GOVERNMENT NATIONAL MORTAGE ASSOC 2041-08-20 2063-04-20 2 - 5.303 Government Agency Debt 15878202.17 14006646.85 Unrated Security 2015-05-01 2015-05-01 N N N 28567485.00 28567485.19 0.0003 N 28567485.19 28567485.19 Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 0.18% 49B99GEJ6 0000812291 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2041-01-01 2041-07-01 3.137 - 5 Government Agency Debt 105485246.00 50035157.14 FEDERAL NATIONAL MORTGAGE ASSOC 2040-04-01 2041-07-01 2.474 - 3.86 Government Agency Debt 688174123.00 246934422.69 GOVERNMENT NATIONAL MORTAGE ASSOC 2040-03-20 2041-06-20 0.53 - 6.974 Government Agency Debt 164238446.00 67963878.99 First Tier Security 2015-05-07 2015-05-07 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 0.14%, dated 4/30/2015 due 05/01/2015 49J998RJ2_08126 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2020-08-25 2048-12-25 2.048 - 7.5 Government Agency Debt 193550388.97 138838354.24 FINANCE CORPORATION 2015-06-27 2015-06-27 0 - 0 Government Agency Debt 1930235.49 1928092.92 FEDERAL NATIONAL MORTGAGE ASSOC 2027-06-18 2048-01-25 0 - 8.5 Government Agency Debt 556597290.73 245377393.79 GOVERNMENT NATIONAL MORTAGE ASSOC 2041-07-20 2063-09-20 0.623 - 5 Government Agency Debt 145570788.02 107751706.95 Unrated Security 2015-05-01 2015-05-01 N N N 482558871.00 482558871.42 0.0044 N 482558871.42 482558871.42 Societe Generale In a joint trading account with Societe Generale at 0.14%, dated 4/30/2015 due 05/01/2015 49J998RJ2_74037 Government Agency Repurchase Agreement Y FEDERAL FARM CREDIT 2016-04-25 2022-01-18 0.39 - 2.09 Government Agency Debt 11156761.11 11147620.16 FEDERAL HOME LOAN BANK 2017-02-27 2018-07-13 0.875 - 1.2 Government Agency Debt 9605023.35 9630997.07 FEDERAL HOME LOAN MORTGAGE CORP 2018-03-01 2045-03-01 0 - 6 Government Agency Debt 122835421.18 10157317.97 FEDERAL NATIONAL MORTGAGE ASSOC 2017-06-01 2045-04-01 0 - 6 Government Agency Debt 69829445.79 17410292.69 GOVERNMENT NATIONAL MORTAGE ASSOC 2039-10-20 2045-03-20 4 - 5 Government Agency Debt 30801955.19 18594679.33 Unrated Security 2015-05-01 2015-05-01 N N N 65628007.00 65628006.51 0.0006 N 65628006.51 65628006.51 Wachovia Bank NA In a joint trading account with Wachovia Bank NA at 0.14%, dated 4/30/2015 due 05/01/2015 49J998RJ2_81240 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2042-03-01 2043-05-01 3 - 3.5 Government Agency Debt 111074776.86 89048041.76 FEDERAL NATIONAL MORTGAGE ASSOC 2041-12-01 2043-12-01 3 - 4 Government Agency Debt 369181209.26 294778633.93 Unrated Security 2015-05-01 2015-05-01 N N N 376299408.00 376299407.94 0.0034 N 376299407.94 376299407.94 Wells Fargo Securities LLC In a joint trading account with Wells Fargo Securities LLC at 0.14%, dated 4/30/2015 due 05/01/2015 49J998RJ2_08395 Government Agency Repurchase Agreement Y FEDERAL AGRICULTURE MORTGAGE CORP 2016-07-27 2018-04-09 0.95 - 2 Government Agency Debt 1601568.93 1624823.11 FEDERAL FARM CREDIT 2015-10-01 2017-04-28 0.15 - 0.625 Government Agency Debt 6733181.31 6728983.66 FEDERAL HOME LOAN BANK 2015-05-26 2018-03-09 0 - 5.375 Government Agency Debt 56694445.22 57004757.84 FEDERAL HOME LOAN MORTGAGE CORP 2016-05-27 2045-03-15 0.58 - 4.5 Government Agency Debt 58469624.64 58816973.45 FEDERAL NATIONAL MORTGAGE ASSOC 2016-03-30 2045-04-25 0 - 5 Government Agency Debt 67616333.19 64293689.56 GOVERNMENT NATIONAL MORTAGE ASSOC 2040-07-20 2045-03-16 2.75 - 4.5 Government Agency Debt 132203.84 82323.66 TENNESEE VALLEY AUTHORITY 2015-05-29 2056-04-01 0 - 5.88 Government Agency Debt 3527252.13 3596537.70 Unrated Security 2015-05-01 2015-05-01 N N N 187876769.00 187876768.67 0.0017 N 187876768.67 187876768.67 BNP Paribas Securities Corp. BNP Paribas Securities Corp., 0.28% 48S991WV6 0001197610 Other Repurchase Agreement N ACTAVIS FDG SCS 2022-03-15 2022-03-15 3.45 - 3.45 Other Instrument CORPORATE 3977544.00 4052361.60 AMERICAN TOWER CORP FORMERLY AMERICAN TOWER SYS 2021-11-01 2021-11-01 5.9 - 5.9 Other Instrument CORPORATE 25928.00 30447.67 BANK AMER CORP 2019-06-01 2019-06-01 7.625 - 7.625 Other Instrument CORPORATE 11229875.00 13864505.06 CITIGROUP INC 2019-05-22 2019-05-22 8.5 - 8.5 Other Instrument CORPORATE 16438385.00 20979744.58 CREDIT SUISSE AG MEDIUM TERM SUB NTS BOOK ENTRY 2017-05-26 2017-05-26 1.375 - 1.375 Other Instrument CORPORATE 275581.00 277951.53 EXPORT IMPORT BK KOREA 2018-02-27 2018-02-27 1.75 - 1.75 Other Instrument CORPORATE 75502.00 75819.30 GOLDMAN SACHS GROUP INC MEDIUM TERM NTS FXD RATE 2017-06-04 2017-06-04 N/A Other Instrument CORPORATE 12000000.00 12015217.73 INTERNATIONAL BUSINESS MACHS CORP 2017-02-06 2017-02-06 1.25 - 1.25 Other Instrument CORPORATE 1117996.00 1132727.46 INTESA SANPAOLO S P A 2016-01-15 2016-01-15 3.125 - 3.125 Other Instrument CORPORATE 7607.00 7767.47 KOREA DEV BK 2016-01-22 2016-01-22 1 - 1 Other Instrument CORPORATE 49182.00 49381.30 NORDSTROM INC FORMERLY NORDSTROM BEST INC TO 05/ 2020-05-01 2020-05-01 4.75 - 4.75 Other Instrument CORPORATE 5377818.00 6166572.10 UBS AG STAMFORD BRH MEDIUM TERM SR DEP NTS BOOK 2016-07-15 2016-07-15 5.875 - 5.875 Other Instrument CORPORATE 91309.00 97952.22 WILLIAMS PARTNERS L P NEW 2022-03-15 2022-03-15 3.6 - 3.6 Other Instrument CORPORATE 58721.00 59156.12 First Tier Security 2015-05-07 2015-05-07 Y BNP PARIBAS SEC (NON GOV REPO) N/A N/A N N 56000000.00 56000000.00 0.0005 N 56000000.00 56000000.00 Citigroup Global Markets, Inc. Citigroup Global Markets, Inc., 1.00% 48Y99UFK8 0000315030 Other Repurchase Agreement N 51-100 2035-08-25 2051-11-25 0 - 34.594 Other Instrument MORTGAGE 2769572591.00 254956200.19 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 235077550.00 235077550.00 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.35% 48Z992YS1 0000318336 Other Repurchase Agreement N ALPHA NATURAL RESOURCES, INC. 2019-06-01 2019-06-01 6 - 6 Other Instrument CORPORATE 2003000.00 490401.17 BARCLAYS PLC 2043-11-20 2043-11-20 8.25 - 8.25 Other Instrument CORPORATE 3150000.00 3413471.19 CAESARS ENTMT OPER CO INC 2018-04-15 2018-04-15 12.75 - 12.75 Other Instrument CORPORATE 17710000.00 3636084.47 CAESARS ENTMT RESORT PPTYS LLC 2020-10-01 2020-10-01 8 - 8 Other Instrument CORPORATE 1610000.00 1615098.35 CAESARS OPER ESCROW LLC / 2020-02-15 2020-02-15 9 - 9 Other Instrument CORPORATE 1142000.00 899039.48 CEMEX S A B DE C V 2025-01-11 2025-01-11 5.7 - 5.7 Other Instrument CORPORATE 1000000.00 1009008.29 CENVEO CORPORATION 2022-09-15 2022-09-15 8.5 - 8.5 Other Instrument CORPORATE 20000000.00 17335555.55 CHECKERS DRIVE-IN RESTAURANTS, 2017-12-01 2017-12-01 11 - 11 Other Instrument CORPORATE 600000.00 682566.62 CLAIRE'S STORES INC 2020-06-01 2020-06-01 7.75 - 7.75 Other Instrument CORPORATE 885000.00 372351.48 CLEAR CHANNEL COMMUNICATIONS, 2021-02-01 2027-10-15 7.25 - 14 Other Instrument CORPORATE 19668759.00 15944145.47 CREDIT SUISSE GROUP FDG 2020-03-26 2020-03-26 2.75 - 2.75 Other Instrument CORPORATE 6600000.00 6647831.58 E.I.DU PONT DE NEMOURS 2016-04-01 2016-04-01 2.75 - 2.75 Other Instrument CORPORATE 33125000.00 33882085.16 FOREST OIL CORPORATION 2020-09-15 2020-09-15 7.5 - 7.5 Other Instrument CORPORATE 1131000.00 316208.75 HALCON RES CORP 2021-05-15 2021-05-15 8.875 - 8.875 Other Instrument CORPORATE 172000.00 141422.83 HARRAH'S OPERATING COMPANY, IN 2017-06-01 2017-10-01 5.75 - 11.25 Other Instrument CORPORATE 2743009.00 2171034.59 LLOYDS BANKING GROUP PLC 2099-12-31 2099-12-31 7.5 - 7.5 Other Instrument CORPORATE 1400000.00 1501208.26 MBIA INSURANCE CORPORATION 2033-01-15 2033-01-15 14 - 14 Other Instrument CORPORATE 200.00 120.09 MIDAS INTER HOLDCO II LLC / 2022-10-01 2022-10-01 7.875 - 7.875 Other Instrument CORPORATE 1300000.00 1300487.54 MURRAY ENERGY CORPORATION 2021-04-15 2021-04-15 11.25 - 11.25 Other Instrument CORPORATE 24552000.00 24874243.60 NFR ENERGY LLC / NFR ENERGY FI 2017-02-15 2017-02-15 9.75 - 9.75 Other Instrument CORPORATE 5966000.00 1075744.37 PROJECT HOMESTAKE MERGER CORP 2023-03-01 2023-03-01 8.875 - 8.875 Other Instrument CORPORATE 6750000.00 6919242.29 RUE21, INC. 2021-10-15 2021-10-15 9 - 9 Other Instrument CORPORATE 23497000.00 21000444.03 VERSO PAPER HOLDINGS LLC/VERSO 2019-01-15 2019-01-15 11.75 - 11.75 Other Instrument CORPORATE 1351000.00 1242535.35 WALTER ENERGY, INC. 2020-04-01 2020-04-01 11 - 11 Other Instrument CORPORATE 120000.00 16173.33 WARREN RESOURCES INC 2022-08-01 2022-08-01 9 - 9 Other Instrument CORPORATE 15500000.00 9296124.73 YPF SOCIEDAD ANONIMA 2018-12-19 2025-07-28 8.5 - 8.875 Other Instrument CORPORATE 4225000.00 4501918.01 BOMBARDIER INC 2019-04-15 2019-04-15 4.75 - 4.75 Other Instrument CORPORATE 240000.00 240554.98 ABENGOA FIN S A U 2020-02-01 2020-02-01 7.75 - 7.75 Other Instrument CORPORATE 1900000.00 1937036.67 NUMERICABLE GROUP S A 2022-05-15 2022-05-15 6 - 6 Other Instrument CORPORATE 350000.00 367033.35 OAS FIN LTD 2099-12-31 2099-12-31 8.875 - 8.875 Other Instrument CORPORATE 600000.00 126739.59 TULLOW OIL PLC ORD 10 PENCE 2020-11-01 2020-11-01 6 - 6 Other Instrument CORPORATE 200000.00 187800.00 AXTEL, S.A. DE C.V. 2020-01-31 2020-01-31 N/A Other Instrument CORPORATE 500000.00 470000.00 PETR LEOS DE VENEZUELA, S.A. 2021-11-17 2024-05-16 6 - 9 Other Instrument CORPORATE 47601731.00 21002590.21 TONON BIOENERGIA S A 2020-01-24 2020-01-24 9.25 - 9.25 Other Instrument CORPORATE 400000.00 91866.67 FMG RESOURCES (AUGUST 2006) PT 2019-11-01 2019-11-01 8.25 - 8.25 Other Instrument CORPORATE 729000.00 640031.60 AMERICAN AIRLS GROUP INC 2020-03-01 2020-03-01 4.625 - 4.625 Other Instrument CORPORATE 250000.00 248016.49 CNG HOLDINGS, INC. 2020-05-15 2020-05-15 9.375 - 9.375 Other Instrument CORPORATE 2000000.00 1524062.51 TRIANGLE USA PETE CORP 2022-07-15 2022-07-15 6.75 - 6.75 Other Instrument CORPORATE 500000.00 434562.50 PT BERAU COAL ENERGY TBK 2017-03-13 2017-03-13 7.25 - 7.25 Other Instrument CORPORATE 548000.00 291034.72 First Tier Security 2015-05-01 2015-05-01 N N N 175000000.00 175000000.00 0.0016 N 175000000.00 175000000.00 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.38% 48Z992YT9 0000318336 Other Repurchase Agreement N ACE SECURITIES CORP. HOME EQUI 2036-06-25 2036-06-25 0.421 - 0.421 Other Instrument ASSET BACKED 8000000.00 5245212.55 AMERIQUEST MORTGAGE SECURITIES 2036-01-25 2036-01-25 0.821 - 0.821 Other Instrument ASSET BACKED 10450000.00 6799690.77 ASSET BACKED CERTIFICATES SECU 2033-09-15 2033-09-15 3.032 - 3.032 Other Instrument ASSET BACKED 8000000.00 616111.70 ASSET BACKED SECURITIES CORPOR 2036-12-25 2036-12-25 0.401 - 0.401 Other Instrument ASSET BACKED 15800000.00 11162110.36 BNC MORTGAGE LOAN TRUST, 2006- 2036-11-25 2036-11-25 0.491 - 0.491 Other Instrument ASSET BACKED 16389200.00 5464179.98 BEAR STEARNS ASSET BACKED SECU 2034-09-25 2034-09-25 2.281 - 2.281 Other Instrument ASSET BACKED 6000000.00 558318.35 BEAR STEARNS ASSET BACKED SECU 2037-10-25 2037-10-25 1.781 - 1.781 Other Instrument ASSET BACKED 14500000.00 9235243.71 BEAR STEARNS ASSET BACKED SECU 2036-06-25 2036-06-25 0.481 - 0.481 Other Instrument ASSET BACKED 7200000.00 5134721.80 BEAR STEARNS ASSET BACKED SECU 2037-02-25 2037-02-25 0.411 - 0.411 Other Instrument ASSET BACKED 11884000.00 7511449.81 C-BASS TRUST 1999-CB1 2035-11-25 2035-11-25 0.611 - 0.611 Other Instrument ASSET BACKED 10500000.00 7922721.59 C-BASS MORTGAGE LOAN ASSET-BAC 2037-07-25 2037-07-25 0.371 - 0.371 Other Instrument ASSET BACKED 7700000.00 4347248.74 C-BASS (CREDIT-BASED ASSET SER 2036-05-25 2036-05-25 0.421 - 0.421 Other Instrument ASSET BACKED 11000000.00 7068959.95 CWABS ASSET-BACKED CERTIFICATE 2047-03-25 2047-03-25 0.421 - 0.421 Other Instrument ASSET BACKED 7000000.00 3758823.51 CWABS ASSET-BACKED CERTIFICATE 2035-12-21 2036-08-25 0.531 - 0.711 Other Instrument ASSET BACKED 47525000.00 35206347.80 CWABS INC. 2033-08-25 2034-05-25 2.506 - 2.656 Other Instrument ASSET BACKED 17600000.00 1581411.07 COUNTRYWIDE HOME LOAN TRUST 2034-09-25 2035-11-25 0.881 - 2.131 Other Instrument ASSET BACKED 18478000.00 10792933.64 CWABS ASSET-BACKED CERTIFICATE 2047-04-25 2047-04-25 0.411 - 0.411 Other Instrument ASSET BACKED 15339000.00 8398150.26 CARRINGTON MORTGAGE LOAN TRUST 2036-05-25 2036-05-25 0.451 - 0.451 Other Instrument ASSET BACKED 6500000.00 4181515.46 CITIGROUP HELOC TRUST 2006-NCB 2036-05-15 2036-05-15 0.371 - 0.371 Other Instrument ASSET BACKED 17038000.00 15846052.02 CITIGROUP MORTGAGE LOAN TRUST 2036-09-25 2036-09-25 0.421 - 0.421 Other Instrument ASSET BACKED 5266000.00 3235359.30 CREDIT SUISSE FIRST BOSTON 200 2036-01-25 2036-01-25 5.984 - 5.984 Other Instrument ASSET BACKED 9450000.00 6702221.86 CWABS ASSET-BACKED CERTIFICATE 2047-06-25 2047-06-25 0.361 - 0.361 Other Instrument ASSET BACKED 7000000.00 6049779.65 FBR SECURITIZATION TRUST 2005- 2035-10-25 2035-10-25 0.856 - 0.856 Other Instrument ASSET BACKED 12550000.00 7360084.90 FIRST FRANKLIN MORTGAGE LOAN T 2034-03-25 2035-11-25 0.541 - 2.581 Other Instrument ASSET BACKED 33635000.00 9186463.09 FREMONT HOME LOAN TRUST 2002-1 2034-05-25 2035-06-25 1.336 - 1.936 Other Instrument ASSET BACKED 11232000.00 3328906.08 GSAMP TRUST 2005-HE2-N 2045-07-25 2045-07-25 0.771 - 0.771 Other Instrument ASSET BACKED 10000000.00 6949576.74 HSI ASSET SECURITIZATION CORPO 2036-03-25 2036-03-25 0.491 - 0.491 Other Instrument ASSET BACKED 17014000.00 8954223.01 HOME EQUITY MORTGAGE LOAN ASSE 2036-08-25 2036-08-25 0.421 - 0.421 Other Instrument ASSET BACKED 7210000.00 4172919.97 JPMORGAN MORTGAGE ACQUISITION 2036-07-25 2036-07-25 0.451 - 0.451 Other Instrument ASSET BACKED 10000000.00 7224516.27 JPMORGAN MORTGAGE ACQ TRUST 20 2037-01-25 2037-01-25 0.531 - 0.531 Other Instrument ASSET BACKED 8307000.00 2226047.55 KEYCORP STUDENT LOAN TRUST 199 2042-07-28 2042-07-28 1.527 - 1.527 Other Instrument ASSET BACKED 16000000.00 10893396.38 LONG BEACH MORTGAGE LOAN TRUST 2034-10-25 2034-10-25 2.206 - 2.206 Other Instrument ASSET BACKED 12000000.00 1210475.83 LONG BEACH MORTGAGE LOAN TRUST 2036-09-25 2036-09-25 0.421 - 0.421 Other Instrument ASSET BACKED 13000000.00 4523482.26 MERRILL LYNCH MORTGAGE INVESTO 2037-03-25 2037-03-25 0.441 - 0.441 Other Instrument ASSET BACKED 15939000.00 6982107.96 MERRILL LYNCH FIRST FRANKLIN M 2037-04-25 2037-04-25 0.521 - 0.521 Other Instrument ASSET BACKED 6439000.00 2901147.99 MERRILL LYNCH MORTGAGE INVESTO 2037-03-25 2037-03-25 0.501 - 0.501 Other Instrument ASSET BACKED 10000000.00 6411745.55 MORGAN STANLEY ABS CAPITAL I, 2034-12-25 2034-12-25 0.951 - 0.951 Other Instrument ASSET BACKED 10000000.00 1169745.33 MORGAN STANLEY ABS CAPITAL I I 2037-07-25 2037-07-25 1.181 - 1.181 Other Instrument ASSET BACKED 7500000.00 6331627.52 NEW CENTURY HOME EQUITY LOAN T 2035-03-25 2035-03-25 0.981 - 0.981 Other Instrument ASSET BACKED 10000000.00 1117977.87 NEWCASTLE MORTGAGE SECURITIES 2037-04-25 2037-04-25 0.521 - 0.521 Other Instrument ASSET BACKED 10447300.00 6394953.04 NOVASTAR MORTGAGE FUNDING TRUS 2036-11-25 2036-11-25 0.351 - 0.351 Other Instrument ASSET BACKED 15050000.00 5625442.11 OPTION ONE MORTGAGE LOAN TRUST 2037-02-25 2037-02-25 0.321 - 0.321 Other Instrument ASSET BACKED 12500000.00 6514404.71 OPTION ONE MORTGAGE LOAN TRUST 2035-11-25 2035-11-25 0.671 - 0.671 Other Instrument ASSET BACKED 8607600.00 3481828.39 RENAISSANCE HOME EQUITY LOAN T 2036-05-25 2036-05-25 5.746 - 5.746 Other Instrument ASSET BACKED 15085000.00 7363289.14 RESIDENTIAL ASSET SECURITIES C 2034-01-25 2034-01-25 1.981 - 1.981 Other Instrument ASSET BACKED 10000000.00 604340.55 RAMP SERIES 2004-RS8 TRUST 2034-08-25 2036-03-25 0.521 - 1.906 Other Instrument ASSET BACKED 21000000.00 9263607.87 SECURITIZED ASSET BACKED RECEI 2035-01-25 2035-10-25 0.821 - 1.201 Other Instrument ASSET BACKED 10855000.00 1659396.96 SOUNDVEIW HOME LOAN TRUST 2006 2036-12-25 2036-12-25 0.451 - 0.451 Other Instrument ASSET BACKED 15000000.00 11434606.61 SOUNDVIEW HOME LOAN TRUST 2007 2037-03-25 2037-03-25 0.501 - 0.501 Other Instrument ASSET BACKED 7000000.00 1754254.94 STRUCTURED ASSET SECURITIES CO 2036-04-25 2036-04-25 0.451 - 0.451 Other Instrument ASSET BACKED 12000000.00 8903299.57 First Tier Security 2015-05-01 2015-05-01 N N N 297000000.00 297000000.00 0.0027 N 297000000.00 297000000.00 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.46% 48Z992YR3 0000318336 Other Repurchase Agreement N AGATE BAY MTG TR 2014-2 2044-09-25 2044-09-25 0.158 - 0.25 Other Instrument GOVERNMENT AGENCY 421639000.00 2862999.46 AGATE BAY MTG TR 2015-1 2045-01-25 2045-01-25 3.828 - 3.828 Other Instrument GOVERNMENT AGENCY 16070000.00 15250109.54 ALTERNATIVE LOAN TRUST 2007-2C 2037-03-25 2037-03-25 0.681 - 0.681 Other Instrument GOVERNMENT AGENCY 8577982.00 2383048.48 AMERICAN HOME MORTGAGE INVESTM 2036-05-25 2036-05-25 1.983 - 1.983 Other Instrument GOVERNMENT AGENCY 49322000.00 6961265.14 BCAP LLC 2010-RR3 TRUST 2036-07-26 2036-07-26 2.648 - 2.648 Other Instrument GOVERNMENT AGENCY 9315000.00 8983727.95 BANC OF AMERICA FUNDING CORPOR 2035-02-20 2035-02-20 0.491 - 0.491 Other Instrument GOVERNMENT AGENCY 62047000.00 3041060.15 BANC OF AMERICA FUNDING 2006-H 2046-09-20 2046-09-20 2.813 - 2.813 Other Instrument GOVERNMENT AGENCY 15000000.00 2848019.60 BEAR STEARNS ASSET BACKED SECU 2035-08-25 2035-08-25 0.681 - 0.681 Other Instrument GOVERNMENT AGENCY 4130516.00 174879.50 BEAR STEARNS MORTGAGE FUNDING 2036-08-25 2036-08-25 6.269 - 6.269 Other Instrument GOVERNMENT AGENCY 20000000.00 905760.68 COMM 2014-UBS3 MTG TR COML MTG 2047-06-10 2047-06-10 3.546 - 3.546 Other Instrument GOVERNMENT AGENCY 2700000.00 2849835.28 COMM 2014-UBS6 MTG TR 2047-12-10 2047-12-10 3.644 - 3.644 Other Instrument GOVERNMENT AGENCY 600000.00 636830.66 CABLE & WIRELESS COMMUNICATION 2050-04-15 2050-04-15 3.505 - 3.505 Other Instrument GOVERNMENT AGENCY 110000.00 115782.75 CSMC SERIES 2010-RR2 2043-12-15 2043-12-15 5.342 - 5.342 Other Instrument GOVERNMENT AGENCY 50000.00 53117.94 CSMC TR 2013-IVR3 2043-05-25 2043-05-25 1.45 - 1.45 Other Instrument GOVERNMENT AGENCY 23025113.00 753225.92 CWMBS INC., 2005-HYB2 2043-07-25 2043-07-25 0.5 - 0.5 Other Instrument GOVERNMENT AGENCY 73506.00 682.58 CSMC TR 2013-7 2043-08-01 2043-08-01 0.097 - 3.597 Other Instrument GOVERNMENT AGENCY 381376000.00 11417630.59 CWALT, INC. 2004-13CB 2044-03-25 2044-03-25 0.263 - 4.263 Other Instrument GOVERNMENT AGENCY 314284000.00 70093484.28 CSMC TR 2014-TIKI 2038-09-15 2038-09-15 1.132 - 3.332 Other Instrument GOVERNMENT AGENCY 23200000.00 23172649.84 CSMC TR 2015-2 2045-02-25 2045-02-25 N/A Other Instrument GOVERNMENT AGENCY 71775375.00 75614552.25 CSMC TR 2015-TOWN 2028-03-15 2028-03-15 3.382 - 4.681 Other Instrument GOVERNMENT AGENCY 13100000.00 13138076.04 CWALT, INC. 2004-2CB 2034-06-25 2034-06-25 1.081 - 1.081 Other Instrument GOVERNMENT AGENCY 7000000.00 2629124.97 CITIGROUP MTG LN TR 2014-J1 2044-06-25 2044-06-25 0.218 - 0.218 Other Instrument GOVERNMENT AGENCY 185565072.00 1771877.11 COLONY MULTIFAMILY MTG TR 2050-04-20 2050-04-20 2.543 - 2.543 Other Instrument GOVERNMENT AGENCY 250000.00 216789.34 CSCM MORTGAGE TRUST SERIES, SE 2040-02-15 2040-02-15 5.416 - 5.416 Other Instrument GOVERNMENT AGENCY 5590456.00 5744091.76 DEUTSCHE MORTGAGE SECURITIES, 2036-04-15 2036-04-15 N/A Other Instrument GOVERNMENT AGENCY 32022429.00 1405945.74 FIRSTKEY MTG TR 2015-1 2045-03-25 2045-03-25 3.936 - 3.936 Other Instrument GOVERNMENT AGENCY 7032000.00 5942981.07 GS MTG SECS TR 2011-GC5 2044-08-10 2044-08-10 5.475 - 5.475 Other Instrument GOVERNMENT AGENCY 10000.00 11424.47 GS MORTGAGE SECURITIES CORP. 2033-08-25 2033-08-25 2.419 - 2.419 Other Instrument GOVERNMENT AGENCY 30000000.00 297897.59 GREENPOINT MORTGAGE FUNDING TR 2036-04-25 2036-04-25 0.451 - 0.451 Other Instrument GOVERNMENT AGENCY 18597000.00 987439.68 HOUSTON GALLERIA MALL TR 2037-03-05 2037-03-05 3.087 - 3.087 Other Instrument GOVERNMENT AGENCY 10000000.00 10102393.63 INDYMAC INDX MORTGAGE LOAN TRU 2036-07-25 2036-07-25 4.565 - 4.565 Other Instrument GOVERNMENT AGENCY 6500000.00 3232538.91 J.P. MORGAN MORTGAGE TRUST 200 2034-03-26 2034-03-26 2.397 - 2.397 Other Instrument GOVERNMENT AGENCY 1271819.00 1126769.44 JEFFERIES RESECURITIZATION TRU 2035-04-26 2035-04-26 N/A Other Instrument GOVERNMENT AGENCY 5125699.00 4860392.73 LEHMAN MORTGAGE TRUST 2005-1 2036-01-25 2036-01-25 0.931 - 0.931 Other Instrument GOVERNMENT AGENCY 10000000.00 1998673.38 MORGAN STANLEY BK AMER MERRILL 2046-05-15 2046-05-15 3.306 - 3.306 Other Instrument GOVERNMENT AGENCY 55710000.00 57463987.36 NOMURA RESECURITIZATION TR 2046-02-26 2046-02-26 0.454 - 0.454 Other Instrument GOVERNMENT AGENCY 1132000.00 940891.75 QUEENS CTR MTG TR 2013-QC 2037-01-11 2037-01-11 3.376 - 3.376 Other Instrument GOVERNMENT AGENCY 300000.00 304480.68 RALI SERIES 2007-QS6 TRUST 2037-04-25 2037-04-25 0.581 - 0.581 Other Instrument GOVERNMENT AGENCY 3900000.00 1057019.71 SEQUOIA MTG TR 2011-2 2041-09-25 2041-09-25 3.9 - 3.9 Other Instrument GOVERNMENT AGENCY 23000000.00 3830893.23 SHELLPOINT ASSET FDG TR 2043-07-25 2043-07-25 3.75 - 3.75 Other Instrument GOVERNMENT AGENCY 15841000.00 12383054.40 UBS-BARCLAYS COML MTG TR 2045-12-10 2045-12-10 3.316 - 3.316 Other Instrument GOVERNMENT AGENCY 90000.00 93051.32 WFRBS COML MTG TR 2014-C19 2047-03-15 2047-03-15 1.233 - 3.66 Other Instrument GOVERNMENT AGENCY 3745000.00 3111747.51 WASHINGTON MUTUAL MTG SECURITI 2047-08-15 2047-08-15 1.413 - 1.413 Other Instrument GOVERNMENT AGENCY 4725000.00 4223252.41 First Tier Security 2015-05-06 2015-05-06 N N N 346000000.00 346000000.00 0.0032 N 346012006.20 346012006.20 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.81% 48Z992WL8 0000318336 Other Repurchase Agreement N ADAMS ML CLO LTD / ADAMS ML 2026-07-15 2026-07-15 N/A Other Instrument ASSET BACKED 4625000.00 4583550.59 AVIS BUDGET RENTAL CAR FUNDING 2018-05-20 2018-05-20 2.802 - 2.802 Other Instrument ASSET BACKED 77705000.00 79938801.25 BRENTWOOD CLO, LTD. 2022-02-01 2022-02-01 0.635 - 0.635 Other Instrument ASSET BACKED 3400000.00 3268384.39 CIFC FDG 2012-II LTD / CIFC 2024-12-05 2024-12-05 1.665 - 1.665 Other Instrument ASSET BACKED 3355000.00 3358452.74 FORE CLO LTD/FORE CLO, INC. 20 2019-07-20 2019-07-20 0.52 - 0.52 Other Instrument ASSET BACKED 2750000.00 534364.00 GLG ORE HILL CLO 2013-1 LTD / 2025-07-15 2025-07-15 1.373 - 1.373 Other Instrument ASSET BACKED 7500000.00 7394300.85 GALE FORCE 4 CLO LTD./CORP 2021-08-20 2021-08-20 0.618 - 0.618 Other Instrument ASSET BACKED 4000000.00 3904575.59 GOLDEN TREE LOAN OPPORTUNITIES 2022-05-01 2022-05-01 0.567 - 0.567 Other Instrument ASSET BACKED 250000.00 243300.36 GOLDENTREE LOAN OPPORTUNIES IV 2022-08-18 2022-08-18 0.676 - 0.676 Other Instrument ASSET BACKED 10000000.00 9725953.94 HALCYON LN ADVISORS FDG 2012-2 2024-12-20 2024-12-20 1.677 - 1.677 Other Instrument ASSET BACKED 5000000.00 4993486.70 LIMEROCK CLO II LTD / LIMEROCK 2026-04-18 2026-04-18 N/A Other Instrument ASSET BACKED 1270000.00 1269945.35 MAPS CLO FUND II LTD/LLC 2022-07-20 2022-07-20 0.605 - 0.605 Other Instrument ASSET BACKED 958341.00 905566.72 MACQUARIE EQUIP FDG TR 2014-A 2016-11-21 2016-11-21 0.8 - 0.8 Other Instrument ASSET BACKED 1500000.00 1502533.08 MADISON PK FDG XI LTD / 2025-10-23 2025-10-23 1.6 - 1.6 Other Instrument ASSET BACKED 100000.00 99535.06 NANTUCKET CLO I LTD./CORP. 2020-11-24 2020-11-24 0.683 - 0.683 Other Instrument ASSET BACKED 500000.00 490829.74 NORTHWOODS CAP X LTD / 2025-11-04 2025-11-04 N/A Other Instrument ASSET BACKED 5000000.00 4958435.00 OAK GROVE UNITED METHODIST CHU 2025-03-20 2025-03-20 1.283 - 1.283 Other Instrument ASSET BACKED 10000000.00 9787878.39 ROSEDALE CLO LTD./ROSEDALE CLO 2021-07-24 2021-07-24 0.688 - 0.688 Other Instrument ASSET BACKED 700000.00 567623.64 SMB PRIVATE ED LN TR 2014-A 2021-09-15 2032-04-15 0.674 - 1.674 Other Instrument ASSET BACKED 1805000.00 1512497.51 SMB PRIVATE ED LN TR 2015-A 2027-06-15 2027-06-15 2.49 - 2.49 Other Instrument ASSET BACKED 7000000.00 7006573.92 SANTANDER DRIVE AUTO 2019-06-17 2019-06-17 2.25 - 2.25 Other Instrument ASSET BACKED 7490000.00 7591920.19 SANTANDER DRIVE AUTO 2017-08-15 2017-08-15 3.82 - 3.82 Other Instrument ASSET BACKED 18360000.00 8152695.88 First Tier Security 2015-08-06 2015-08-06 N N N 154000000.00 154000000.00 0.0014 Y 154072380.00 154072380.00 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.83% 48Z992UY2 0000318336 Other Repurchase Agreement N GOVERNMENT NATIONAL MORTAGE ASSOC 2045-06-16 2054-08-16 0.328 - 0.895 Government Agency Debt 312500691.00 7217118.70 First Tier Security 2015-08-17 2015-08-17 N N N 7000000.00 7000000.00 0.0001 Y 7004130.00 7004130.00 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.83% 48Z992WF1 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 5889333.58 BANC OF AMERICA COMMERCIAL MOR 2049-04-10 2049-04-10 5.792 - 5.792 Other Instrument ASSET BACKED 2091424.00 2119524.29 BAYVIEW FINANCIAL REVOLVING AS 2040-12-28 2040-12-28 1.181 - 1.181 Other Instrument ASSET BACKED 8725000.00 3673920.08 BEAR STEARNS MORTGAGE FUNDING 2037-03-25 2037-03-25 2.181 - 2.181 Other Instrument ASSET BACKED 3251000.00 2315749.70 CWABS INC. 2033-03-25 2033-03-25 1.624 - 1.624 Other Instrument ASSET BACKED 3000000.00 740033.00 COUNTRYWIDE HOME LOAN TRUST 2034-02-15 2034-02-15 0.481 - 0.481 Other Instrument ASSET BACKED 202914000.00 4803628.82 CWHEQ REVOLVING HOME EQUITY LO 2035-12-15 2035-12-15 0.421 - 0.421 Other Instrument ASSET BACKED 100000000.00 6330163.78 CENTEX HOME EQUITY LOAN TRUST 2035-01-25 2035-01-25 0.731 - 0.731 Other Instrument ASSET BACKED 4000000.00 698300.60 CITIBANK CREDIT CARD ISSUANCE 2037-10-25 2037-10-25 1.181 - 1.181 Other Instrument ASSET BACKED 2088000.00 635056.83 CWABS ASSET-BACKED CERTIFICATE 2036-11-25 2036-11-25 0.531 - 0.531 Other Instrument ASSET BACKED 8248000.00 4519167.87 CWABS ASSET-BACKED CERTIFICATE 2047-06-25 2047-06-25 0.431 - 0.431 Other Instrument ASSET BACKED 38307000.00 18939436.11 ELLINGTON LOAN ACQUISITION TRU 2037-05-25 2037-05-25 1.281 - 1.281 Other Instrument ASSET BACKED 6900000.00 5261884.51 FREMONT HOME LOAN TRUST 2006-C 2036-10-25 2036-10-25 0.316 - 0.316 Other Instrument ASSET BACKED 329746000.00 94131669.78 GSAA HOME EQUITY TRUST 2007-4 2037-03-25 2037-03-25 0.481 - 0.481 Other Instrument ASSET BACKED 104942000.00 38067168.79 HOME EQUITY MORTGAGE LOAN ASSE 2047-04-25 2047-04-25 0.421 - 0.421 Other Instrument ASSET BACKED 75000000.00 46454912.42 MORGAN STANLEY ABS CAPITAL I, 2035-01-25 2035-01-25 0.661 - 0.661 Other Instrument ASSET BACKED 6000000.00 1014015.64 First Tier Security 2015-08-20 2015-08-20 N N N 218000000.00 218000000.00 0.0020 Y 218130800.00 218130800.00 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.83% 48Z992WT1 0000318336 Other Repurchase Agreement N ACCESS GROUP, INC. 2017-04-25 2035-12-26 0.307 - 1.666 Other Instrument ASSET BACKED 18624000.00 14742206.80 AMAZON. COM 2021-12-05 2021-12-05 3.3 - 3.3 Other Instrument CORPORATE 4096000.00 4310883.30 BANK OF MONTREAL- 2016-07-15 2018-04-09 1.3 - 1.45 Other Instrument CORPORATE 180000.00 181135.93 BANK OF NY COMPNY INC. 2016-01-15 2021-02-01 2.1 - 4.15 Other Instrument CORPORATE 381000.00 398710.49 CREDIT SUISSE FIRST BOSTON MOR 2032-03-25 2032-03-25 0.661 - 0.661 Other Instrument ASSET BACKED 300000000.00 74634.65 GRAYSON CLO, LTD./GRAYSON CLO 2021-11-01 2021-11-01 0.532 - 0.532 Other Instrument ASSET BACKED 305000.00 210151.26 ELI LILLY AND COMPANY 2025-06-01 2044-06-15 2.75 - 4.65 Other Instrument CORPORATE 7689000.00 7919216.84 SLM STUDENT LOAN TRUST 2028-10-25 2028-10-25 0.396 - 0.396 Other Instrument ASSET BACKED 44176000.00 43259572.42 SLM STUDENT LOAN TRUST 2008-5 2023-07-25 2023-07-25 1.956 - 1.956 Other Instrument ASSET BACKED 31025000.00 32295505.20 STATE STREET BANK & TRUST COMP 2015-12-08 2015-12-08 0.452 - 0.452 Other Instrument CORPORATE 430000.00 430009.69 TOYOTA MOTOR CREDIT CO 2017-05-16 2017-05-16 1.125 - 1.125 Other Instrument CORPORATE 525000.00 529260.40 UNITED PARCEL SERVICE OF AMERI 2021-01-15 2021-01-15 3.125 - 3.125 Other Instrument CORPORATE 5178000.00 5574859.25 US BANCORP 2018-11-15 2018-11-15 0.747 - 0.747 Other Instrument CORPORATE 415000.00 418607.39 WFRBS COML MTG TR 2012-C7 2045-06-15 2045-06-15 1.721 - 1.721 Other Instrument ASSET BACKED 18782000.00 1519462.51 WACHOVIA BANK COMMERCIAL MORTG 2044-12-15 2044-12-15 5.439 - 5.439 Other Instrument ASSET BACKED 1865000.00 1596400.55 First Tier Security 2015-08-26 2015-08-26 N N N 108000000.00 108000000.00 0.0010 Y 108069120.00 108069120.00 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.83% 48Z992WK0 0000318336 Other Repurchase Agreement N ALLY AUTO RECEIVABLES TR 2017-11-15 2017-11-15 2.4 - 2.4 Other Instrument ASSET BACKED 10000000.00 10139739.51 AMERICAN HOMES 4 RENT 2045-04-17 2045-04-17 3.467 - 3.467 Other Instrument ASSET BACKED 2000000.00 2046693.80 CAPITAL AUTO RECEIVABLES ASSET 2019-02-20 2019-02-20 2.67 - 2.67 Other Instrument ASSET BACKED 2900000.00 2936892.81 CHESAPEAKE FUNDING LLC 2024-05-07 2024-05-07 0.628 - 0.628 Other Instrument ASSET BACKED 2085000.00 938038.58 CIT EDUCATION LOAN TRUST 2007- 2042-06-25 2042-06-25 0.567 - 0.567 Other Instrument ASSET BACKED 5000000.00 3688948.15 COLONY AMERN HOMES 2014-2 TR 2031-07-17 2031-07-17 1.132 - 1.132 Other Instrument ASSET BACKED 12360000.00 12161485.94 FORD CREDIT FLOORPLAN MASTER O 2019-08-15 2019-08-15 1.65 - 1.65 Other Instrument ASSET BACKED 16000000.00 16085912.70 GE BUSINESS LOAN TRUST 2032-12-15 2032-12-15 0.401 - 0.401 Other Instrument ASSET BACKED 26000000.00 3221655.22 GMAC MORTGAGE SECURITIES II, I 2034-10-25 2034-10-25 0.421 - 0.421 Other Instrument ASSET BACKED 66394000.00 9984337.67 GRAYSON CLO, LTD./GRAYSON CLO 2021-11-01 2021-11-01 0.839 - 0.839 Other Instrument ASSET BACKED 3000000.00 2810718.83 HLSS SERVICER ADVANCE 2046-05-15 2046-05-15 1.793 - 1.793 Other Instrument ASSET BACKED 100000.00 98438.72 J.G. WENTWORTH RECEIVABLES V L 2026-08-15 2026-08-15 0.682 - 0.682 Other Instrument ASSET BACKED 1500000.00 72882.68 JPMORGAN CHASE BANK, N.A. PART 2065-09-15 2065-09-15 3.22 - 3.22 Other Instrument ASSET BACKED 13000000.00 11499263.58 NATIONSTAR AGY ADVANCE FD TR 2048-02-18 2048-02-18 1.892 - 1.892 Other Instrument ASSET BACKED 1400000.00 1377247.64 SLM STUDENT LOAN TRUST 2039-10-25 2039-10-25 0.726 - 0.726 Other Instrument ASSET BACKED 15000000.00 8652903.74 SANTANDER DRIVE AUTO 2018-05-15 2018-05-15 5.76 - 5.76 Other Instrument ASSET BACKED 1375000.00 1397266.73 SANTANDER DRIVE AUTO 2020-11-16 2020-11-16 2.6 - 2.6 Other Instrument ASSET BACKED 20000000.00 20338566.30 SIERRA CLO II LTD. 2021-01-22 2021-01-22 1.008 - 1.008 Other Instrument ASSET BACKED 2500000.00 2460202.57 STRUCTURED ASSET INVESTMENT LO 2034-04-25 2034-04-25 2.206 - 2.206 Other Instrument ASSET BACKED 282865250.00 45762188.76 321 HENDERSON RECEIVABLES II L 2041-12-15 2041-12-15 0.382 - 0.382 Other Instrument ASSET BACKED 38511000.00 12797473.00 TRALEE CLO III LTD / TRALEE 2026-07-20 2026-07-20 1.567 - 1.567 Other Instrument ASSET BACKED 15700000.00 15603700.36 First Tier Security 2015-09-08 2015-09-08 N N N 174000000.00 174000000.00 0.0016 Y 174121800.00 174121800.00 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.83% 48Z992XB9 0000318336 Other Repurchase Agreement N BEAR STEARNS ASSET BACKED SECU 2034-09-25 2034-09-25 0.681 - 0.681 Other Instrument ASSET BACKED 57933000.00 8870514.27 C-BASS TRUST 1999-CB1 2035-05-25 2035-05-25 5.774 - 5.774 Other Instrument ASSET BACKED 3500000.00 710354.05 CWABS INC. 2034-06-25 2034-06-25 0.931 - 0.931 Other Instrument ASSET BACKED 1302000.00 1064934.52 COUNTRYWIDE HOME LOAN TRUST 2035-04-25 2035-04-25 1.031 - 1.031 Other Instrument ASSET BACKED 7920000.00 7597856.48 CWHEQ REVOLVING HOME EQUITY LO 2035-11-15 2035-11-15 1.332 - 1.332 Other Instrument ASSET BACKED 185000000.00 11452380.27 CWHEQ HOME EQUITY LOAN TRUST, 2036-11-25 2036-11-25 5.81 - 5.81 Other Instrument ASSET BACKED 57290302.00 25781429.15 CD 2006-CD3 MORTGAGE TRUST 2048-10-15 2048-10-15 5.688 - 5.688 Other Instrument ASSET BACKED 17945000.00 17439471.35 CHASE FUNDING 2032-09-25 2032-09-25 1.156 - 1.156 Other Instrument ASSET BACKED 6000000.00 781357.80 CREDIT SUISSE FIRST BOSTON MOR 2033-02-25 2033-02-25 1.531 - 1.531 Other Instrument ASSET BACKED 1800000.00 521253.04 FINANCE AMERICA MORTGAGE LOAN 2034-08-25 2034-08-25 1.281 - 1.281 Other Instrument ASSET BACKED 3581000.00 344500.97 GREEN TREE ACCEPTANCE, INC. 2027-03-15 2027-03-15 6.95 - 6.95 Other Instrument ASSET BACKED 3280000.00 2710025.37 KVK CLO 2013-2 LTD 2026-01-15 2026-01-15 4.989 - 4.989 Other Instrument ASSET BACKED 3354000.00 2928236.40 KEYCORP STUDENT LOAN TRUST 200 2041-12-27 2041-12-27 0.749 - 0.749 Other Instrument ASSET BACKED 9.00 7.48 LB-UBS COMMERCIAL MORTGAGE TRU 2039-03-15 2039-03-15 5.935 - 5.935 Other Instrument ASSET BACKED 150000.00 150625.81 LEHMAN ABS MANUFACTURED HOUSIN 2028-03-15 2028-03-15 6.63 - 6.63 Other Instrument ASSET BACKED 17510000.00 18584931.29 MORGAN STANLEY ABS CAPITAL I, 2035-07-25 2035-07-25 1.156 - 1.156 Other Instrument ASSET BACKED 3636905.00 3220557.25 NORTHWOODS CAP XIV LTD 2025-11-12 2025-11-12 5.582 - 5.582 Other Instrument ASSET BACKED 5000000.00 4429135.92 PARK PLACE SECURITIES, INC. 2034-12-25 2034-12-25 1.456 - 1.456 Other Instrument ASSET BACKED 3800000.00 3384820.52 RENAISSANCE MORTGAGE ACCEPTANC 2035-10-25 2035-10-25 0.561 - 0.561 Other Instrument ASSET BACKED 21652440.00 11215016.77 RESIDENTIAL ASSET SECURITIES C 2035-08-25 2035-08-25 0.771 - 0.771 Other Instrument ASSET BACKED 13500000.00 11540470.90 SANTANDER DRIVE AUTO 2022-04-15 2022-04-15 4.23 - 4.23 Other Instrument ASSET BACKED 51355000.00 52335853.48 SOUND PT CLO VII LTD 2027-01-23 2027-01-23 5.082 - 5.082 Other Instrument ASSET BACKED 2000000.00 1784129.74 STRUCTURED ASSET INVESTMENT LO 2034-04-25 2034-04-25 1.156 - 1.156 Other Instrument ASSET BACKED 107055000.00 13863844.42 NEUBERGER BERMAN CLO XIII LTD 2024-01-23 2024-01-23 5.465 - 5.465 Other Instrument ASSET BACKED 3675000.00 3504409.65 First Tier Security 2015-09-14 2015-09-14 N N N 189000000.00 189000000.00 0.0017 Y 189139860.00 189139860.00 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.83% 48Z992XT0 0000318336 Other Repurchase Agreement N CHEVY CHASE 1998-CCB2 2017-09-25 2017-09-25 6.2 - 6.2 Other Instrument ASSET BACKED 9980000.00 289841.91 ATRIUM IX 2024-02-28 2024-02-28 N/A Other Instrument ASSET BACKED 20395000.00 20105391.57 BNC MORTGAGE LOAN TRUST 2007-1 2037-03-25 2037-03-25 0.281 - 0.281 Other Instrument ASSET BACKED 470000.00 444097.39 BEAR STEARNS ASSET BACKED SECU 2034-09-25 2034-09-25 7.319 - 7.319 Other Instrument ASSET BACKED 246125000.00 7062823.31 CWABS INC. 2033-05-25 2033-05-25 1.041 - 1.041 Other Instrument ASSET BACKED 137017000.00 1135972.03 J.P. MORGAN MORTGAGE ACQUISITI 2036-11-25 2036-11-25 0.461 - 0.461 Other Instrument ASSET BACKED 1008000.00 860797.79 RENAISSANCE HOME EQUITY LOAN T 2033-08-25 2033-08-25 1.006 - 1.006 Other Instrument ASSET BACKED 5000000.00 1374876.50 SANTANDER DRIVE AUTO 2019-12-16 2019-12-16 3.4 - 3.4 Other Instrument ASSET BACKED 23730000.00 23913639.58 SANTANDER DRIVE AUTO 2020-04-15 2020-04-15 2.98 - 2.98 Other Instrument ASSET BACKED 29851000.00 30231711.45 SANTANDER DRIVE AUTO 2020-03-16 2020-03-16 3.21 - 3.21 Other Instrument ASSET BACKED 42370000.00 42536790.74 SANTANDER DRIVE AUTO 2021-01-15 2022-04-15 3.21 - 4.23 Other Instrument ASSET BACKED 32360000.00 32774046.36 STORE MASTER FDG I LLC / STORE 2045-04-20 2045-04-20 4.17 - 4.17 Other Instrument ASSET BACKED 1730000.00 1674828.18 STRUCTURED ASSET INVESTMENT LO 2034-09-25 2034-09-25 1.421 - 1.421 Other Instrument ASSET BACKED 7000000.00 1770611.91 SYMPHONY CLO VIII LTD 2023-01-09 2023-01-09 3.302 - 3.302 Other Instrument ASSET BACKED 28650000.00 28723604.12 WACHOVIA BANK COMMERCIAL MORTG 2041-01-15 2041-01-15 5.364 - 5.364 Other Instrument ASSET BACKED 1500000.00 1540489.38 First Tier Security 2015-09-18 2015-09-18 N N N 182000000.00 182000000.00 0.0017 Y 182138320.00 182138320.00 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.85% 48Z992YH5 0000318336 Other Repurchase Agreement N GOVERNMENT NATIONAL MORTAGE ASSOC 2051-05-16 2053-09-16 3.1 - 4.397 Government Agency Debt 55560560.00 56658096.71 First Tier Security 2015-09-03 2015-09-03 N N N 55000000.00 55000000.00 0.0005 Y 55040700.00 55040700.00 J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp., 0.34% 49B99BAN2 Other Repurchase Agreement Y ALCATEL ALSTHOM 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 986247.00 3767463.54 AMERICAN INTERNATIONAL GROUP, 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 301596.00 7018138.92 ANGLOGOLD LTD ADR 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 565872.00 6575432.64 AUTOHOME INC 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 89954.00 4455421.62 BARCLAYS PLC 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 261613.00 4196272.52 CENTRAL FD CDA LTD 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 4196376.00 51195787.20 CHENIERE ENERGY PARTNERS LP 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 144311.00 3652511.41 EARTHLINK HLDGS CORP 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 952813.00 4554446.14 KEMET CORPORATION 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 456075.00 2052337.50 KINDER MORGAN INC DEL 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 12312413.00 59407392.73 MEMORIAL PRODTN PARTNERS LP 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 137616.00 2453693.28 RYANAIR HOLDINGS PLC 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 51770.00 3388346.50 SPDR GOLD TRUST 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 142483.00 16458211.33 SHIRE LIMITED 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 91234.00 22376050.84 VIDEOCON D2H LTD 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 45341.00 508726.02 YPF SOCIEDAD ANONIMA 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 1421286.00 43818247.38 First Tier Security 2015-05-07 2015-05-07 Y JP MORGAN CLRING(NON GOV REPO) N/A N/A N N 217000000.00 217000000.00 0.0020 N 217000000.00 217000000.00 J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp., 0.73% 49B99BAH5 Other Repurchase Agreement N AMAG PHARMACEUTICALS INC 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 7326000.00 15052343.92 AEGERION PHARMACEUTICALS INCD 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 7383000.00 6670481.44 AFFYMETRIX, INC. 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 3034000.00 6569923.72 AMERICAN RLTY CAP PPTYS INC 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 22478000.00 22013829.30 ANNALY MORTGAGE MANAGEMENT 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 9206000.00 9436196.03 ARRAY BIOPHARMA 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 5000000.00 5863550.00 CHENIERE ENERGY INC 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 13952000.00 11390245.38 CIENA CORPORATION 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 6016000.00 7094794.90 CLOVIS ONCOLOGY INC 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 18264000.00 28538303.62 COBALT INTL ENERGY INC 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 2008000.00 1565053.27 ENFORTH, INC SERIES A CONVER 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 3000000.00 3154503.00 HOLOGIC 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 2382000.00 3552169.41 INTEL CORPORATION 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 1313000.00 2155716.23 LIBERTY INTERACTIVE LLC 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 16700000.00 24372731.50 MEDICINES COMPANY (THE) CONV P 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 4746000.00 5022454.50 MEDIDATA SOLUTIONS, INC.FD INC 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 519000.00 632531.25 WTS MEDIVATION INC B 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 414000.00 1021934.16 MERCADOLIBRE, CVPFD C 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 9460000.00 11883652.00 MERITOR INCORPORATED 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 5180000.00 8159147.50 MERRIMACK PHARMACEUTICALS INC 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 3192000.00 6625794.00 MOLINA HEALTHCARE, INC. 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 1621000.00 2480457.44 PFD NUVASIVE INC SR-D1 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 2891000.00 3517236.86 PALO ALTO NETWORKS INC 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 7087000.00 10386494.59 QUIDEL CORP. 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 2786000.00 2884649.47 RTI INTERNATIONAL META 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 1957000.00 2228435.90 RADIAN GROUP INCORPORATED < 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 2921000.00 4772426.19 SPIRIT RLTY CAP INC NEW 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 1548000.00 1572312.89 SUNEDISON INC 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 48761383.00 91459053.94 PFD SUNPOWER CORPONE 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 1745000.00 2548075.18 TAKE-2 INTERACTIVE SOFTWARE 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 12329000.00 17180966.99 TESARO INC 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 7978000.00 15068048.60 THERAVANCE, INC 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 3868000.00 3432679.81 TRULIA INC 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 14016000.00 20365920.77 UNITED THERAPEUTICS 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 1249000.00 4301115.10 WEBMD HEALTH CORP. 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 956000.00 989412.20 WELLPOINT INC COM < 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 23667000.00 47850461.27 WESCO INTERNATIONAL, INC. 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 5232000.00 12956346.91 XPO LOGISTICS INC 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 4030000.00 10638998.50 First Tier Security 2015-07-29 2015-07-29 Y JP MORGAN CLRING(NON GOV REPO) N/A N/A N N 400000000.00 400000000.00 0.0036 Y 400040000.00 400040000.00 J.P. Morgan Securities, LLC J.P. Morgan Securities, LLC, 0.25% 48W99W7Q2 0001287279 Other Repurchase Agreement N FEDERAL HOME LOAN MORTGAGE CORP 2032-03-15 2044-11-15 0.542 - 13.186 Government Agency Debt 291211419.00 24600122.70 FEDERAL NATIONAL MORTGAGE ASSOC 2022-07-25 2043-08-01 0 - 6.5 Government Agency Debt 2984592197.00 168488491.03 GOVERNMENT NATIONAL MORTAGE ASSOC 2028-07-16 2056-07-16 0.825 - 32.257 Government Agency Debt 1074701691.00 252904580.81 First Tier Security 2015-05-06 2015-05-06 N N N 433000000.00 433000000.00 0.0039 N 433002381.50 433002381.50 J.P. Morgan Securities, LLC J.P. Morgan Securities, LLC, 0.73% 48W99W4G7 0001287279 Other Repurchase Agreement N 101-500 2021-08-25 2051-02-15 0 - 48.056 Other Instrument MORTGAGE 3836385381.00 493331728.90 First Tier Security 2015-07-29 2015-07-29 Y JPMORGAN SECS (NON GOV REPO) N/A N/A N N 456000000.00 456000000.00 0.0042 Y 456013680.00 456013680.00 J.P. Morgan Securities, LLC J.P. Morgan Securities, LLC, 0.73% 48W99W4T9 0001287279 Other Repurchase Agreement N 51-100 2017-04-15 2051-02-10 0 - 111.744 Other Instrument MORTGAGE 5567747573.00 638195391.54 First Tier Security 2015-07-29 2015-07-29 Y JPMORGAN SECS (NON GOV REPO) N/A N/A N N 590000000.00 590000000.00 0.0054 Y 590035400.00 590035400.00 J.P. Morgan Securities, LLC J.P. Morgan Securities, LLC, 0.73% 48W99W4L6 0001287279 Other Repurchase Agreement N ARES CAPITAL CORPORATION 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 639000.00 666956.25 BAC CAPITAL TRUST XIV 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 2005000.00 1621375.33 BANK OF AMERICA CORPORATION 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 32419000.00 34749634.33 BURLINGTON STORES INC 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 185885.00 9552630.15 CABLEVISION SYSTEMS CORPORATIO 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 12284000.00 14053755.88 CADENCE DESIGN SYSTEMS, INC. 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 283000.00 706703.92 CHRYSLER GROUP LLC / CG 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 200000.00 215894.40 CITIGROUP, INC. 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 5941000.00 6193776.65 FELCOR LODGING LIMITED PARTNER 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 16787000.00 17710285.00 FIDELITY NATIONAL TITLE GROUP 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 560000.00 1165624.32 FREESCALE SEMICONDUCTOR, INC. 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 9556000.00 10594498.30 GOLDMAN SACHS CAPITAL III 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 4127000.00 3244812.48 GRUPO TELEVISA DE C.V. 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 722863.00 26507386.21 HEALTHSOUTH REHABILITATION COR 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 34000.00 44355.82 K. HOVNANIAN ENTERPRISES, INC. 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 27324000.00 28973604.53 JARDEN CORPORATION 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 258725.00 365843.62 LENNAR CORPORATION 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 4538000.00 9384123.05 M.D.C. HOLDINGS, INC. 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 3000000.00 3259686.00 MELLON CAPITAL IV 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 863000.00 737749.36 NATIONSTAR MORTGAGE LLC 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 15456000.00 16788364.21 NES RENTAL HOLDINGS INC 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 10816000.00 11552840.00 PETCO HLDGS INC 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 14268000.00 14820556.84 REALOGY CORPORATION 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 4018000.00 4486097.00 RECKSON OPERATING PARTNERSHIP, 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 2186000.00 2289397.80 SPRINT NEXTEL 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 10000000.00 11278110.00 TOYS R US, INC. 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 7856000.00 7114802.11 USB CAPITAL IX 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 3615000.00 3048891.00 VIASYSTEMS, INC. 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 10826000.00 11860694.95 WACHOVIA CAPTIAL TRUST III 2015-04-30 2015-04-30 N/A Other Instrument OTHER NOTE 4703000.00 4692183.10 First Tier Security 2015-07-29 2015-07-29 Y JPMORGAN SECS (NON GOV REPO) N/A N/A N N 237000000.00 237000000.00 0.0022 Y 237011850.00 237011850.00 J.P. Morgan Securities, LLC J.P. Morgan Securities, LLC, 0.73% 48W99W5R2 0001287279 Other Repurchase Agreement N BANC OF AMERICA COMMERCIAL MOR 2042-11-10 2042-11-10 5.46 - 5.46 Other Instrument GOVERNMENT AGENCY 7269500.00 4233018.20 BANC OF AMERICA COMMERCIAL MOR 2046-07-10 2046-07-10 5.764 - 5.764 Other Instrument GOVERNMENT AGENCY 10359000.00 8330119.31 BEAR STEARNS COMMERCIAL MORTGA 2038-12-11 2038-12-11 5.372 - 5.412 Other Instrument GOVERNMENT AGENCY 8460000.00 4790013.84 CWALT, INC., 2005-53T2 2037-09-15 2037-09-15 4.373 - 4.373 Other Instrument GOVERNMENT AGENCY 45000000.00 40199264.29 CREDIT SUISSE COMMERCIAL MORTG 2040-09-15 2040-09-15 5.87 - 5.87 Other Instrument GOVERNMENT AGENCY 4924612.00 5057973.72 JPMORGAN CHASE COMMERCIAL MORT 2042-10-15 2042-10-15 5.129 - 5.129 Other Instrument GOVERNMENT AGENCY 5466000.00 5288508.62 JPMORGAN CHASE COMM MTG 2007-C 2051-02-12 2051-02-12 6.377 - 6.377 Other Instrument GOVERNMENT AGENCY 17182000.00 8717947.71 JPMORGAN CHASE COMMERCIAL MORT 2051-02-15 2051-02-15 6.208 - 6.208 Other Instrument GOVERNMENT AGENCY 2395000.00 1936132.93 MORGAN STANLEY CAPITAL I TRUST 2044-02-12 2044-02-12 5.637 - 5.637 Other Instrument GOVERNMENT AGENCY 5000000.00 3883544.50 WACHOVIA BANK COMMERCIAL MORTG 2051-02-15 2051-02-15 6.15 - 6.15 Other Instrument GOVERNMENT AGENCY 5000000.00 5133306.98 First Tier Security 2015-07-29 2015-07-29 Y JPMORGAN SECS (NON GOV REPO) N/A N/A N N 81000000.00 81000000.00 0.0007 Y 81017820.00 81017820.00 Merrill Lynch, Pierce, Fenner & Smith Merrill Lynch, Pierce, Fenner & Smith, 0.20% 49A9912C8 0000728612 Other Repurchase Agreement N MORE THAN 1000 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 72314565.00 1512008433.88 First Tier Security 2015-05-01 2015-05-01 N N N 1400000000.00 1400000000.00 0.0128 N 1400000000.00 1400000000.00 Merrill Lynch, Pierce, Fenner & Smith Merrill Lynch, Pierce, Fenner & Smith, 0.23% 49A9912D6 0000728612 Other Repurchase Agreement N FEDERAL HOME LOAN MORTGAGE CORP 2020-04-15 2053-04-15 0 - 17.096 Government Agency Debt 3534193396.00 129533998.42 FEDERAL NATIONAL MORTGAGE ASSOC 2021-08-25 2044-07-25 0 - 7.926 Government Agency Debt 4211377658.00 212410312.88 GOVERNMENT NATIONAL MORTAGE ASSOC 2025-12-20 2065-03-20 0 - 9.076 Government Agency Debt 12207880900.00 232799360.81 First Tier Security 2015-05-07 2015-05-07 N N N 558000000.00 558000000.00 0.0051 N 558000000.00 558000000.00 Merrill Lynch, Pierce, Fenner & Smith Merrill Lynch, Pierce, Fenner & Smith, 0.55% 49A9912B0 0000728612 Other Repurchase Agreement N 101-500 2015-07-01 2056-08-15 0 - 11.88 Other Instrument MORTGAGE 11517485993.00 784091979.40 First Tier Security 2015-05-01 2015-05-01 N N N 726000000.00 726000000.00 0.0066 N 726000000.00 726000000.00 Merrill Lynch, Pierce, Fenner & Smith Merrill Lynch, Pierce, Fenner & Smith, 0.81% 49A991SK2 0000728612 Other Repurchase Agreement N 51-100 2049-01-01 2049-01-01 N/A Other Instrument CORPORATE 20734226.00 582853471.93 First Tier Security 2015-06-04 2015-06-04 N N N 539000000.00 539000000.00 0.0049 Y 539064680.00 539064680.00 Merrill Lynch, Pierce, Fenner & Smith Merrill Lynch, Pierce, Fenner & Smith, 0.87% 49A991WF8 0000728612 Other Repurchase Agreement N BHMS MORTGAGE TRUST 2033-07-08 2033-07-08 3.18 - 4.18 Other Instrument MORTGAGE 22281639.00 22130545.25 BANC OF AMERICA COMMERCIAL MORTGAGE 2045-10-10 2045-10-10 5.39 - 5.39 Other Instrument MORTGAGE 12000000.00 12695573.33 BANC OF AMERICA COMMERCIAL MORTGAGE 2049-06-10 2049-06-10 5.317 - 5.317 Other Instrument MORTGAGE 17124142.00 18373243.51 BAYVIEW COMMERCIAL ASSET TRUST 2035-11-25 2035-11-25 0.581 - 0.581 Other Instrument ASSET BACKED 79799020.00 17319396.18 COMM 2045-10-17 2045-10-17 4.75 - 4.75 Other Instrument MORTGAGE 11168490.00 9712265.96 COMM 2013-CCRE8 MTG TR 2046-06-12 2046-06-12 N/A Other Instrument MORTGAGE 1012157.00 840578.39 CITIGROUP COMMERCIAL MORTGAGE TRUST 2035-05-11 2035-05-11 3.518 - 3.518 Other Instrument MORTGAGE 12740676.00 11822995.05 COBALT CMBS COMMERCIAL MORTGAGE TRUST 2048-08-17 2048-08-17 5.254 - 5.254 Other Instrument MORTGAGE 23400670.00 24126094.67 GCCFC COMMERCIAL PASS-THROUGH CERTIFICATES 2049-12-10 2049-12-10 5.867 - 5.867 Other Instrument MORTGAGE 25285608.00 27419522.27 CREDIT SUISSE COMMERCIAL MORTGAGE TRUST 2041-02-15 2041-02-15 5.97 - 5.97 Other Instrument MORTGAGE 10000000.00 11021314.14 CUTWATER 2026-07-15 2026-07-15 5.525 - 5.525 Other Instrument ASSET BACKED 16800000.00 14836467.10 FAIRFIELD STREET SOLAR 2039-11-28 2039-11-28 0.612 - 0.612 Other Instrument ASSET BACKED 27278000.00 10543296.79 GRAMERCY REAL ESTATE CDO 2041-07-25 2041-07-25 0.626 - 0.626 Other Instrument ASSET BACKED 31955000.00 30545270.56 GRANT GROVE CLO 2021-01-25 2021-01-25 1.777 - 1.777 Other Instrument ASSET BACKED 14250000.00 13361057.69 GREENPOINT CREDIT MANUFACTURED HOUSING CONTRACT TRUST 2031-06-03 2031-06-03 1.176 - 1.176 Other Instrument ASSET BACKED 35975000.00 13009901.70 GUANAY FIN LTD 2020-12-15 2020-12-15 6 - 6 Other Instrument ASSET BACKED 14760000.00 15664050.00 HIGHLAND PARK CDO 2051-11-25 2051-11-25 0.592 - 0.592 Other Instrument ASSET BACKED 139952984.00 27769473.84 HILTON USA TRUST 2030-11-07 2030-11-07 5.222 - 5.222 Other Instrument MORTGAGE 25918091.00 26642187.21 JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2030-04-15 2030-04-15 3.922 - 3.922 Other Instrument MORTGAGE 10000000.00 10018139.58 KEYCORP STUDENT LOAN TRUST 2041-12-27 2041-12-27 0.751 - 0.751 Other Instrument ASSET BACKED 18564000.00 15438456.75 MORGAN STANLEY CAPITAL I 2049-04-15 2049-04-15 5.684 - 5.684 Other Instrument MORTGAGE 20931640.00 22001003.30 MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2045-08-17 2045-08-17 4.5 - 4.5 Other Instrument MORTGAGE 12300651.00 10894366.77 MORTGAGE EQUITY CONVERSION ASSET TRUST 2042-02-25 2042-02-25 0.72 - 0.72 Other Instrument ASSET BACKED 20000000.00 10893249.02 MORTGAGE EQUITY CONVERSION ASSET TRUST 2042-05-25 2042-05-25 0.71 - 0.71 Other Instrument ASSET BACKED 145169411.00 81041021.85 N-STAR REAL ESTATE CDO 2041-02-01 2041-02-01 0.539 - 0.539 Other Instrument ASSET BACKED 11450000.00 10358922.82 N-STAR REAL ESTATE CDO 2041-06-16 2041-06-16 0.601 - 0.601 Other Instrument ASSET BACKED 19300000.00 10335098.75 NATIONAL COLLEGIATE TRUST 2033-10-25 2033-10-25 0.471 - 0.471 Other Instrument ASSET BACKED 22912928.00 19231494.33 NEWCASTLE CDO 2052-11-25 2052-11-25 0.655 - 0.655 Other Instrument ASSET BACKED 20000000.00 20001892.36 NEWCASTLE CDO 2052-05-25 2052-05-25 0.651 - 0.651 Other Instrument ASSET BACKED 75000000.00 15409746.84 PREFERRED TERM SECURITIES 2035-12-22 2035-12-22 0.871 - 0.871 Other Instrument ASSET BACKED 23527843.00 13163084.83 SPRINGLEAF MTG LN TR 2013-3 2057-09-25 2057-09-25 N/A Other Instrument MORTGAGE 24269000.00 24256221.02 STRATA 2005-19 LTD 2015-09-20 2015-09-20 N/A Other Instrument ASSET BACKED 10000000.00 9929177.78 TACSEE FDG CO LTD 2045-02-17 2045-02-17 N/A Other Instrument ASSET BACKED 102250000.00 100488122.50 TIMBERSTAR TRUST I 2036-10-15 2036-10-15 N/A Other Instrument MORTGAGE 11117043.00 11371560.29 First Tier Security 2015-06-10 2015-06-10 N N N 641000000.00 641000000.00 0.0058 Y 641128200.00 641128200.00 Merrill Lynch, Pierce, Fenner & Smith Merrill Lynch, Pierce, Fenner & Smith, 0.95% 49A991RF4 0000728612 Other Repurchase Agreement N 101-500 2015-05-15 2087-03-07 0 - 10.75 Other Instrument MORTGAGE 580371794.00 282363502.60 First Tier Security 2015-06-25 2015-06-25 N N N 261000000.00 261000000.00 0.0024 Y 261093960.00 261093960.00 Merrill Lynch, Pierce, Fenner & Smith Merrill Lynch, Pierce, Fenner & Smith, 0.96% 49A991VU6 0000728612 Other Repurchase Agreement N 101-500 2017-06-30 2054-05-25 0 - 10.77 Other Instrument MORTGAGE 3722916457.00 607429382.48 First Tier Security 2015-08-04 2015-08-04 N N N 562000000.00 562000000.00 0.0051 Y 562331580.00 562331580.00 Mitsubishi UFJ Securities (U.S.A.), Inc. Mitsubishi UFJ Securities (U.S.A.), Inc., 0.24% 45G99SMF2 Other Repurchase Agreement N 51-100 2015-05-08 2045-04-01 0 - 7.25 Other Instrument CORPORATE 48872527.00 49349005.00 First Tier Security 2015-05-07 2015-05-07 Y MUFJ SECS (USA) (NON GOV REPO) N/A N/A N N 47000000.00 47000000.00 0.0004 N 47000000.00 47000000.00 Mitsubishi UFJ Securities (U.S.A.), Inc. Mitsubishi UFJ Securities (U.S.A.), Inc., 0.26% 45G99SMD7 Other Repurchase Agreement N APPLE 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 22468.00 2890283.52 APPLIED MATERIALS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 27295.00 546172.95 BP SP ADR 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 11600.00 505644.00 BAKER HUGHES INC 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 23700.00 1629375.00 BANK OF AMERICA 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 212291.00 3392410.18 BAXTER INTERNATIONA 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 51334.00 3580546.50 CHEVRON 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 27000.00 3016710.00 CITRIX SYSTEMS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 13000.00 890760.00 COMCAST-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 23074.00 1346137.16 EQT MIDSTREAM 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 46266.00 4039021.80 FACEBOOK-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 33299.00 2679404.04 FAMILY DOLLAR STORE 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 158.00 12388.78 FASTENAL 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 29000.00 1248885.00 GOTHAM FUNDING CORP 2015-05-21 2015-05-21 N/A Asset Backed Commercial Paper 1095086.00 1094972.22 HOMETRUST BNCSH 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 451.00 7206.98 HONEYWELL INTL 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 2000.00 203480.00 HOSPIRA 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 216.00 18854.64 ISH CR US AGG BOND 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 11631.00 1473953.66 JAMBA 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 177200.00 2863552.00 JUNO THERAPEUTICS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 2101.00 97255.29 KAPSTONE PAPER 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 211899.00 5852650.38 LORAL SPACE & CO 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 162.00 11259.00 MPLX 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 15400.00 1229382.00 MCDONALD'S 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 20976.00 2035091.52 NETFLIX 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 12200.00 6866770.00 NRTHRN TIER ENRGY-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 456869.00 11796357.58 PHILLIPS 66 PARTNER 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 127662.00 9661460.16 PS INDIA ETF 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 48700.00 1032440.00 PROCTER&GAMBLE 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1.00 79.85 SHERWIN-WILLIAMS CO 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 400.00 111680.00 SORRENTO THERAPEUT 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 28900.00 264146.00 SUNOCO 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 6723.00 352352.43 TRW AUTOMOTIVE HLDG 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 63668.00 6686413.36 TAIWAN SEMI SP ADR 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 28753.00 712786.87 TALLGRASS ENERGY 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 25600.00 1254400.00 TEREX CORP 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 33400.00 943884.00 VALERO ENERGY PARTN 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 11200.00 559776.00 VGD TTL BOND MKT 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 24400.00 2020808.00 VNGD FTSE ALWLDEXUS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 2358.00 121602.06 VITAL THERAPIES 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 5.00 134.60 WERNER ENTERPRISES 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 18000.00 494100.00 WILLIAMS COMPANIES 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 3242.00 170367.10 YADKIN FINANCIAL 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 7037.00 139191.86 ACTAVIS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 11800.00 3401114.00 LIBERTY GLOBAL -A- 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 21809.00 1140828.79 YANDEX 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 445800.00 8771115.00 First Tier Security 2015-05-04 2015-05-04 Y MUFJ SECS (USA) (NON GOV REPO) N/A N/A N N 90000000.00 90000000.00 0.0008 N 90000000.00 90000000.00 Mitsubishi UFJ Securities (U.S.A.), Inc. Mitsubishi UFJ Securities (U.S.A.), Inc., 0.26% 45G99SMM7 Other Repurchase Agreement N AM CAPITAL AGN REIT 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 110698.00 2273736.92 APPLE 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 96280.00 12385459.20 BANK OF AMERICA 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 138817.00 2218295.66 BUCKEYE PARTNER ULP 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 42300.00 3405996.00 HOMETRUST BNCSH 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 60093.00 960286.14 LIBERTY BROADB-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 61811.00 3389715.24 SILVER WHEATON 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 33498.00 690058.80 SUNOCO 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 48301.00 2531455.41 TRW AUTOMOTIVE HLDG 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 21318.00 2238816.36 TALLGRASS ENERGY 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 149700.00 7335300.00 TESORO LOGISTCS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 64600.00 3766180.00 URBAN OUTFITTERS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 20000.00 801000.00 WHOLE FOODS MARKET 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 10300.00 496563.00 LIBERTY GLOBAL -A- 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 41894.00 2191475.14 TOWER SEMICON INS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 43698.00 678629.94 First Tier Security 2015-05-07 2015-05-07 Y MUFJ SECS (USA) (NON GOV REPO) N/A N/A N N 42000000.00 42000000.00 0.0004 N 42000000.00 42000000.00 Mitsubishi UFJ Securities (U.S.A.), Inc. Mitsubishi UFJ Securities (U.S.A.), Inc., 0.26% 45G99SMR6 Other Repurchase Agreement N AFLAC 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 4665.00 297906.90 ANHEUSER BSCH SPADR 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 5719.00 684335.54 BROOKDALE SR LIVING 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 4.00 148.96 CANADIAN SOLAR 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 4174.00 154938.88 CITIGROUP 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1371.00 73704.96 ELECTRS FOR IMAGING 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 25357.00 1080968.91 GOTHAM FUNDING CORP 2015-05-21 2015-05-21 N/A Asset Backed Commercial Paper 46.00 46.00 H&E EQUIPMENT SVCS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 46000.00 1112280.00 IKANG HEAL SP ADS-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1.00 17.71 ISH CR US AGG BOND 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 113818.00 12549006.52 ISH SH TRS BD 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 6899.00 760752.73 KEURIG GREEN MOUNT 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 2200.00 251284.00 LORAL SPACE & CO 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 74.00 5143.00 MATTEL 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 12099.00 343974.57 MCDONALD'S 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 64658.00 6273119.16 PHILLIPS 66 PARTNER 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 35212.00 2664844.16 PLAINS GP HLDGS-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 63000.00 1836450.00 QLIK TECH 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1.00 35.58 SBA COMMUNICATIONS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 43889.00 5125796.31 SEAWLD ENT 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 142915.00 3036943.75 SHIRE SP ADR 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 4378.00 1073748.28 TRW AUTOMOTIVE HLDG 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 20228.00 2124344.56 VGD TTL BOND MKT 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1.00 82.82 VERIZON COMM 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 51600.00 2604252.00 WELLS FARGO 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 57900.00 3211134.00 YADKIN FINANCIAL 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 4632.00 91620.96 LOGITECH INTL N 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 296.00 4428.16 First Tier Security 2015-05-07 2015-05-07 Y MUFJ SECS (USA) (NON GOV REPO) N/A N/A N N 42000000.00 42000000.00 0.0004 N 42000000.00 42000000.00 Mitsubishi UFJ Securities (U.S.A.), Inc. Mitsubishi UFJ Securities (U.S.A.), Inc., 0.26% 45G99SMK1 Other Repurchase Agreement N 51-100 2015-05-21 2049-01-01 N/A Other Instrument EQUITY 2413169.00 112317770.70 First Tier Security 2015-05-07 2015-05-07 Y MUFJ SECS (USA) (NON GOV REPO) N/A N/A N N 104000000.00 104000000.00 0.0009 N 104000000.00 104000000.00 Mitsubishi UFJ Securities (U.S.A.), Inc. Mitsubishi UFJ Securities (U.S.A.), Inc., 0.26% 45G99SMG0 Other Repurchase Agreement N 51-100 2015-05-21 2049-01-01 0 - 4 Other Instrument EQUITY 78421433.00 256233662.01 First Tier Security 2015-05-07 2015-05-07 Y MUFJ SECS (USA) (NON GOV REPO) N/A N/A N N 240000000.00 240000000.00 0.0022 N 240000000.00 240000000.00 Mitsubishi UFJ Securities (U.S.A.), Inc. Mitsubishi UFJ Securities (U.S.A.), Inc., 0.31% 45G99SMH8 Other Repurchase Agreement N AT&T INC 2018-11-27 2037-09-01 2.375 - 6.5 Other Instrument CORPORATE 129267.00 145386.55 AETNA INC NEW FORMERLY AETNA U S HEALTHCARE INC 2017-05-15 2017-11-15 1.5 - 1.75 Other Instrument CORPORATE 4.00 4.07 AMAZON COM INC 2021-12-05 2021-12-05 3.3 - 3.3 Other Instrument CORPORATE 499999.00 526229.78 ASTRAZENECA PLC 2017-09-15 2017-09-15 5.9 - 5.9 Other Instrument CORPORATE 30905.00 34545.45 CONAGRA FOODS INC FORMERLY CONAGRA INC TO 09/28/ 2018-01-25 2018-01-25 1.9 - 1.9 Other Instrument CORPORATE 2722939.00 2736210.30 EXXON MOBIL CORP 2020-03-06 2020-03-06 1.912 - 1.912 Other Instrument CORPORATE 86391.00 87361.86 GOTHAM FUNDING CORP 2015-06-03 2015-06-03 N/A Asset Backed Commercial Paper 6369600.00 6368007.60 GREAT RIV ENERGY 2038-07-01 2038-07-01 6.254 - 6.254 Other Instrument CORPORATE 2164602.00 2773727.38 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 7954390.00 8079419.77 INGREDION INC 2017-09-25 2017-09-25 1.8 - 1.8 Other Instrument CORPORATE 599999.00 600749.00 JEFFERSON CNTY KY SCH DIST FIN CORP SCH BLDG REV 2025-12-01 2025-12-01 4 - 4 Other Municipal Debt 7000000.00 7927787.78 LOS ANGELES CALIF DEPT ARPTS ARPT REV 2045-05-15 2045-05-15 5 - 5 Other Municipal Debt 17594.00 19795.32 LYONDELLBASELL INDS N V 2024-04-15 2024-04-15 5.75 - 5.75 Other Instrument CORPORATE 236076.00 279411.49 MEDTRONIC INC 2025-03-15 2025-03-15 3.5 - 3.5 Other Instrument CORPORATE 100494.00 105309.78 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 5652955.56 NEW JERSEY ECONOMIC DEV AUTH ST PENSION FDG REV 2029-02-15 2029-02-15 7.425 - 7.425 Other Municipal Debt 26660601.00 33464086.45 NEW YORK N Y FOR PRIOR ISSUES SEE 64966F FOR FUTURE ISSUES SEE 64966H FO ADDL ISSUES SEE 64966J 2020-02-01 2020-02-01 4.95 - 4.95 Other Municipal Debt 1539554.00 1755318.64 NISOURCE FIN CORP 2022-03-01 2022-03-01 6.125 - 6.125 Other Instrument CORPORATE 140000.00 168209.75 NOVARTIS CAP CORP 2020-04-24 2020-04-24 4.4 - 4.4 Other Instrument CORPORATE 13697.00 15381.09 OGLETHORPE PWR CORP 2031-01-01 2031-01-01 6.191 - 6.191 Other Instrument CORPORATE 1610471.00 1906773.01 OREGON ST 2023-06-01 2023-06-01 5.762 - 5.762 Other Municipal Debt 417533.00 501485.64 PETROBAS INTL FIN CO 2040-01-20 2040-01-20 6.875 - 6.875 Other Instrument CORPORATE 2894.00 2783.76 SCHNEIDER ELEC SA 2022-09-27 2022-09-27 2.95 - 2.95 Other Instrument CORPORATE 144751.00 146532.04 SOUTHERN CALIF EDISON CO 2022-02-01 2022-02-01 1.845 - 1.845 Other Instrument CORPORATE 1502292.00 1515917.79 SYSCO CORP 2044-10-02 2044-10-02 4.5 - 4.5 Other Instrument CORPORATE 2.00 2.07 UNIVERSITY CALIF REVS 2027-05-15 2115-05-15 4.767 - 5 Other Municipal Debt 9589875.00 9552208.75 VERIZON COMMUNICATIONS INC 2042-11-01 2042-11-01 3.85 - 3.85 Other Instrument CORPORATE 94733.00 86528.46 VICTORY RECEIVABLES CORP 2015-06-02 2015-06-02 N/A Asset Backed Commercial Paper 1769754.00 1769329.26 VODAFONE GROUP PLC NEW 2017-02-27 2017-02-27 5.625 - 5.625 Other Instrument CORPORATE 90979.00 98987.31 WELLPOINT INC 2017-06-15 2017-06-15 5.875 - 5.875 Other Instrument CORPORATE 1195000.00 1332283.09 WISCONSIN ST GEN FD ANNUAL APPROPRIATION REV 2032-05-01 2032-05-03 1.279 - 1.379 Other Municipal Debt 125188.00 111482.85 WRIGLEY WM JR CO 2018-10-21 2018-10-21 2.4 - 2.4 Other Instrument CORPORATE 284990.00 291453.57 First Tier Security 2015-05-07 2015-05-07 Y MUFJ SECS (USA) (NON GOV REPO) N/A N/A N N 84000000.00 84000000.00 0.0008 N 84000000.00 84000000.00 Mitsubishi UFJ Securities (U.S.A.), Inc. Mitsubishi UFJ Securities (U.S.A.), Inc., 0.31% 45G99SME5 Other Repurchase Agreement N AT&T INC 2018-11-27 2018-11-27 2.375 - 2.375 Other Instrument CORPORATE 337041.00 345994.07 AVISTA CORP 2037-07-01 2037-07-01 5.7 - 5.7 Other Instrument CORPORATE 588185.00 743843.26 BANK OF TOKYO MITSUBISHI UFJ LTD 2016-09-09 2016-09-09 1.55 - 1.55 Other Instrument CORPORATE 1.00 1.01 BAXTER INTL INC 2016-06-01 2016-06-01 0.95 - 0.95 Other Instrument CORPORATE 7143.00 7183.59 BECTON DICKINSON & CO 2017-05-15 2017-05-15 1.45 - 1.45 Other Instrument CORPORATE 639999.00 644751.53 COLGATE-PALMOLIVE CO MEDIUM TERM NTS BOOK ENTRY 2022-05-03 2022-05-03 2.3 - 2.3 Other Instrument CORPORATE 161000.00 161959.29 COMMONWEALTH FING AUTH PA REV 2027-06-01 2027-06-01 5.74 - 5.74 Other Municipal Debt 3364945.00 3924660.60 CONAGRA FOODS INC FORMERLY CONAGRA INC TO 09/28/ 2018-01-25 2018-01-25 1.9 - 1.9 Other Instrument CORPORATE 139487.00 140166.84 GERDAU TRADE INC 2021-01-30 2021-01-30 5.75 - 5.75 Other Instrument CORPORATE 200000.00 212675.00 GREAT RIV ENERGY 2038-07-01 2038-07-01 6.254 - 6.254 Other Instrument CORPORATE 2381003.00 3051024.26 HARRIS CORP DEL 2025-04-27 2025-04-27 3.832 - 3.832 Other Instrument CORPORATE 130656.00 131002.15 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 24905319.00 25296789.14 LOS ANGELES CALIF DEPT ARPTS ARPT REV 2045-05-15 2045-05-15 5 - 5 Other Municipal Debt 622591.00 700488.20 LOUISIANA ST FOR ISSUES DTD AFTER 05/01/85 SEE 546413 546414 & 546415 2031-12-01 2031-12-01 5 - 5 Other Municipal Debt 861665.00 1019407.14 NEW JERSEY ECONOMIC DEV AUTH ST PENSION FDG REV 2029-02-15 2029-02-15 7.398 - 7.425 Other Municipal Debt 14627521.00 18556200.03 NEW YORK N Y FOR PRIOR ISSUES SEE 64966F FOR FUTURE ISSUES SEE 64966H FO ADDL ISSUES SEE 64966J 2020-02-01 2020-02-01 4.95 - 4.95 Other Municipal Debt 159856.00 182259.42 NEW YORK N Y FOR PREVIOUS ISSUES SEE 64966K 2022-08-01 2022-08-01 5 - 5 Other Municipal Debt 4898068.00 5873028.44 NEW YORK N Y CITY MUN WTR FIN AUTH REV 2045-06-15 2045-06-15 5 - 5 Other Municipal Debt 2288980.00 2579588.90 OGLETHORPE PWR CORP 2031-01-01 2031-01-01 6.191 - 6.191 Other Instrument CORPORATE 3345532.00 3961058.68 PETROBAS INTL FIN CO 2040-01-20 2040-01-20 6.875 - 6.875 Other Instrument CORPORATE 418021.00 402097.42 PHILADELPHIA PA AUTH FOR INDL DEV PENSION FDG 2028-10-15 2028-10-15 6.55 - 6.55 Other Municipal Debt 9361494.00 11282545.38 RIO TINTO FIN USA LTD 2018-07-15 2018-07-15 6.5 - 6.5 Other Instrument CORPORATE 91523.00 106809.02 SCHNEIDER ELEC SA 2022-09-27 2022-09-27 2.95 - 2.95 Other Instrument CORPORATE 1297542.00 1313507.17 SKYWAY CONCESSION COMPANY 2026-06-30 2026-06-30 N/A Other Instrument CORPORATE 1.00 0.83 SOUTHERN CALIF EDISON CO 2022-02-01 2022-02-01 1.845 - 1.845 Other Instrument CORPORATE 1995410.00 2013508.37 SYSCO CORP 2044-10-02 2044-10-02 4.5 - 4.5 Other Instrument CORPORATE 15168.00 15678.55 TRANSCANADA PIPELINES LTD 2043-10-16 2043-10-16 5 - 5 Other Instrument CORPORATE 179999.00 197427.30 TYCO ELECTRONICS LTD 2019-08-01 2019-08-01 2.35 - 2.35 Other Instrument CORPORATE 78583.00 79242.31 UNIVERSITY CALIF REVS 2028-05-15 2028-05-15 5 - 5 Other Municipal Debt 599745.00 718494.51 VICTORY RECEIVABLES CORP 2015-06-02 2015-06-02 N/A Asset Backed Commercial Paper 1.00 1.00 WISCONSIN ST GEN FD ANNUAL APPROPRIATION REV 2032-05-01 2032-05-01 1.379 - 1.379 Other Municipal Debt 3548184.00 3159450.87 WRIGLEY WM JR CO 2018-10-21 2018-10-21 2.4 - 2.4 Other Instrument CORPORATE 337999.00 345664.82 ROCHE HOLDINGS INC 2017-09-29 2017-09-29 N/A Other Instrument CORPORATE 1.00 1.00 First Tier Security 2015-05-07 2015-05-07 Y MUFJ SECS (USA) (NON GOV REPO) N/A N/A N N 83000000.00 83000000.00 0.0008 N 83000000.00 83000000.00 Mitsubishi UFJ Securities (U.S.A.), Inc. Mitsubishi UFJ Securities (U.S.A.), Inc., 0.80% 45G99SMP0 Other Repurchase Agreement N 51-100 2015-06-26 2099-12-31 0 - 12.125 Other Instrument CORPORATE 76833117.00 73442736.88 First Tier Security 2015-06-23 2015-06-23 N N N 68000000.00 68000000.00 0.0006 Y 68048280.00 68048280.00 Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 0.18% 48Y998XS0 Other Repurchase Agreement N FEDERAL HOME LOAN MORTGAGE CORP 2040-11-15 2041-12-15 5.5 - 7.025 Government Agency Debt 666250065.00 43048551.09 FEDERAL NATIONAL MORTGAGE ASSOC 2040-11-25 2041-11-25 0 - 6.576 Government Agency Debt 1185922092.00 75338090.61 GOVERNMENT NATIONAL MORTAGE ASSOC 2040-11-20 2041-11-20 3.75 - 6.469 Government Agency Debt 511426841.00 33024115.36 First Tier Security 2015-05-01 2015-05-01 N N N 147000000.00 147000000.00 0.0013 N 147000000.00 147000000.00 Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 0.32% 48Y998XD3 Other Repurchase Agreement N ADT CORPORATION 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1.00 37.93 AFLAC 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 5.00 319.30 ENTERPRISE PRODUCTS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 2599752.00 87247677.12 MCDONALDS CORP MEDIUM TERM NTS BOOK ENTRY 2021-05-20 2021-05-20 3.625 - 3.625 Other Instrument CORPORATE 2135171.00 2333616.17 First Tier Security 2015-05-05 2015-05-05 Y MIZUHO SECS USA (NON GOV REPO) N/A N/A N N 83000000.00 83000000.00 0.0008 N 83000000.00 83000000.00 Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 0.32% 48Y998XT8 Other Repurchase Agreement N 51-100 2049-01-01 2049-01-01 N/A Other Instrument CORPORATE 3993688.00 135001221.54 First Tier Security 2015-05-07 2015-05-07 Y MIZUHO SECS USA (NON GOV REPO) N/A N/A N N 125000000.00 125000000.00 0.0011 N 125000000.00 125000000.00 Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 0.32% 48Y998XR2 Other Repurchase Agreement N ENTERPRISE PRODUCTS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 2842639.00 95398964.84 LAZARD-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 314321.00 16923042.64 First Tier Security 2015-05-07 2015-05-07 Y MIZUHO SECS USA (NON GOV REPO) N/A N/A N N 104000000.00 104000000.00 0.0009 N 104000000.00 104000000.00 Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 0.32% 48Y998XJ0 Other Repurchase Agreement N ENTERPRISE PRODUCTS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1351694.00 45362850.64 First Tier Security 2015-05-07 2015-05-07 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., 0.52% 48Y998XF8 Other Repurchase Agreement N AVIS BUDGET RENTAL CAR FUNDING (AESOP) 2016-05-20 2016-05-20 6.74 - 6.74 Other Instrument ASSET BACKED 1299996.00 217696.73 BANC OF AMERICA RE-REMIC TRUST 2049-06-17 2049-06-17 5.571 - 5.571 Other Instrument MORTGAGE 7000000.00 7501808.86 CHRYSLER CAPITAL AUTO RECEIVABLES TRUST 2017-09-15 2017-09-15 0.69 - 0.69 Other Instrument ASSET BACKED 1500000.00 1350274.23 CREDIT SUISSE COMMERCIAL MORTGAGE TRUST 2049-01-15 2049-01-15 5.607 - 5.607 Other Instrument MORTGAGE 1370000.00 1472432.96 JGWPT XXVII, SERIES 2012-3 2065-09-15 2065-09-15 3.22 - 3.22 Other Instrument ASSET BACKED 13320000.00 11782322.01 JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2047-11-15 2047-11-15 4.427 - 4.427 Other Instrument MORTGAGE 6216000.00 6463317.64 MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2047-02-15 2047-02-15 4.833 - 4.833 Other Instrument MORTGAGE 1300000.00 1411298.32 OSCAR US FDG TR 2019-04-15 2019-04-15 N/A Other Instrument ASSET BACKED 3989754.00 3825271.07 PRESTIGE AUTOMOBILE RECEIVABLES TRUST 2018-03-15 2018-03-15 0.97 - 0.97 Other Instrument ASSET BACKED 2345000.00 1363184.76 SANTANDER DRIVE AUTO RECEIVABLES TRUST 2017-05-15 2017-05-15 1.33 - 1.33 Other Instrument ASSET BACKED 5000000.00 984046.43 TRICADIA CDO 2041-11-05 2041-11-05 0.805 - 1.955 Other Instrument ASSET BACKED 19035000.00 7734080.16 First Tier Security 2015-05-06 2015-05-06 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% 48Y998SU1 Other Repurchase Agreement N ADJUSTABLE RATE MORTGAGE TRUST 2035-11-25 2036-01-25 0.701 - 1.181 Other Instrument MORTGAGE 9450000.00 1225956.01 CWALT ALTERNATIVE LOAN TRUST 2046-07-20 2046-07-20 0.381 - 0.381 Other Instrument MORTGAGE 35612536.00 8673425.32 CWALT ALTERNATIVE LOAN TRUST 2047-04-25 2047-04-25 0.361 - 0.361 Other Instrument MORTGAGE 53288547.00 4783364.75 AMERICAN HOME MORTGAGE INVESTMENT TRUST 2045-02-25 2045-02-25 0.731 - 0.731 Other Instrument MORTGAGE 13000000.00 955686.99 BEAR STEARNS MORTGAGE FUNDING TRUST 2036-07-25 2036-07-25 0.431 - 0.431 Other Instrument MORTGAGE 65700524.00 2775948.40 CWALT ALTERNATIVE LOAN TRUST 2036-09-25 2036-09-25 6.5 - 6.5 Other Instrument MORTGAGE 2500000.00 381415.76 COUNTRYWIDE HOME LOANS 2036-03-25 2036-03-25 0.511 - 0.511 Other Instrument MORTGAGE 75349950.00 5833912.56 DEUTSCHE ALT-A SECURITIES ALTERNATIVE LOAN TRUST 2035-11-25 2035-11-25 5.5 - 5.5 Other Instrument MORTGAGE 4000000.00 475799.72 GMACM MORTGAGE LOAN TRUST 2035-06-19 2035-06-19 3.017 - 3.017 Other Instrument MORTGAGE 25000000.00 4431788.72 GSAA HOME EQUITY TRUST 2036-08-25 2036-08-25 0.461 - 0.461 Other Instrument MORTGAGE 6712000.00 909054.82 HOMEBANC MORTGAGE TRUST 2035-03-25 2035-03-25 0.681 - 0.681 Other Instrument MORTGAGE 35000000.00 6150921.91 IMPAC CMB TRUST 2035-05-25 2035-05-25 0.721 - 0.721 Other Instrument MORTGAGE 100000000.00 9877183.31 INDYMAC INDX MORTGAGE LOAN TRUST 2035-06-25 2036-04-25 2.547 - 2.714 Other Instrument MORTGAGE 96095000.00 19732921.70 INDYMAC INDX MORTGAGE LOAN TRUST 2037-08-25 2037-08-25 0.421 - 0.421 Other Instrument MORTGAGE 25037200.00 5788514.45 JP MORGAN MORTGAGE TRUST 2035-06-25 2035-06-25 2.474 - 2.474 Other Instrument MORTGAGE 50298700.00 8079438.95 MASTR ALTERNATIVE LOAN TRUST 2035-06-25 2035-06-25 6.214 - 6.214 Other Instrument MORTGAGE 10799000.00 1013280.15 NOMURA ASSET ACCEPTANCE CORP ALTERNATIVE LOAN TRUST 2035-02-25 2035-02-25 6.869 - 6.869 Other Instrument MORTGAGE 22202673.00 957240.86 NOMURA ASSET ACCEPTANCE CORP ALTERNATIVE LOAN TRUST 2035-02-25 2035-02-25 4.84 - 4.84 Other Instrument MORTGAGE 8755000.00 1043548.31 NOMURA ASSET ACCEPTANCE CORP ALTERNATIVE LOAN TRUST 2036-10-25 2036-10-25 0.581 - 0.581 Other Instrument MORTGAGE 30000000.00 2195974.91 RALI 2037-02-25 2037-02-25 0.304 - 0.304 Other Instrument MORTGAGE 37320000.00 6353700.11 RALI 2036-12-25 2036-12-25 6.476 - 6.476 Other Instrument MORTGAGE 106635250.00 7532607.03 RALI 2036-03-25 2036-03-25 0.574 - 0.574 Other Instrument MORTGAGE 44229000.00 4785933.80 STRUCTURED ASSET SECURITIES CORPORATION 2035-01-25 2035-01-25 1.131 - 1.131 Other Instrument MORTGAGE 6000000.00 431116.39 STRUCTURED ASSET MORTGAGE INVESTMENTS 2045-09-25 2045-09-25 0.491 - 0.491 Other Instrument MORTGAGE 22000000.00 2161370.25 TBW MORTGAGE-BACKED TRUST 2037-01-25 2037-01-25 5.78 - 5.78 Other Instrument MORTGAGE 7820000.00 1098498.55 WAMU MORTGAGE PASS-THROUGH CERTIFICATES 2046-11-25 2046-11-25 2.2 - 2.2 Other Instrument MORTGAGE 11800000.00 1369986.43 WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES, WMALT 2036-12-25 2036-12-25 0.281 - 0.281 Other Instrument MORTGAGE 75000000.00 9202698.67 WELLS FARGO MORTGAGE BACKED SECURITIES TRUST 2035-04-25 2035-04-25 2.641 - 2.641 Other Instrument MORTGAGE 13050000.00 1925377.42 First Tier Security 2015-05-01 2015-05-01 N N N 111000000.00 111000000.00 0.0010 N 111000000.00 111000000.00 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 2036-06-25 2036-06-25 0.331 - 0.331 Other Instrument ASSET BACKED 13274000.00 7091534.12 ASSET BACKED SECURITIES CORPORATION HOME EQUITY LOAN TRUST 2035-02-25 2036-01-25 0.601 - 1.269 Other Instrument ASSET BACKED 5375331.00 3009838.75 CITIGROUP MORTGAGE LOAN TRUST 2037-06-25 2037-06-25 0.451 - 0.451 Other Instrument ASSET BACKED 5000000.00 2694848.37 FIELDSTONE MORTGAGE INVESTMENT CORP 2035-03-25 2035-03-25 1.351 - 1.351 Other Instrument ASSET BACKED 3000000.00 1592986.90 JP MORGAN MORTGAGE ACQUISITION CORP 2036-05-25 2036-05-25 0.471 - 0.471 Other Instrument ASSET BACKED 11322000.00 6167392.88 MORGAN STANLEY ABS 2036-09-25 2036-09-25 0.411 - 0.411 Other Instrument ASSET BACKED 8695000.00 5024310.71 NOVASTAR MORTGAGE FUNDING TRUST 2036-01-25 2036-01-25 0.671 - 0.671 Other Instrument ASSET BACKED 10000000.00 5632155.83 OPTION ONE MORTGAGE LOAN 2035-12-25 2035-12-25 0.621 - 0.621 Other Instrument ASSET BACKED 1601547.00 842619.18 OPTION ONE MORTGAGE LOAN 2037-01-25 2037-01-25 5.611 - 5.611 Other Instrument ASSET BACKED 1085934.00 643353.36 PARK PLACE ASSET-BACKED PASS-THROUGH CERTIFICATES 2035-02-25 2035-02-25 1.906 - 1.906 Other Instrument ASSET BACKED 4350000.00 2365582.06 TERWIN MORTGAGE TRUST 2036-04-25 2036-04-25 1.381 - 1.381 Other Instrument ASSET BACKED 1250000.00 653756.88 First Tier Security 2015-05-04 2015-05-04 N N N 33000000.00 33000000.00 0.0003 N 33000000.00 33000000.00 Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 0.91% 48Y998UK0 Other Repurchase Agreement N ACCREDITED MORTGAGE LOAN TRUST 2037-02-25 2037-02-25 0.401 - 0.401 Other Instrument ASSET BACKED 7211000.00 3711579.07 ASSET BACKED SECURITIES CORPORATION HOME EQUITY LOAN TRUST 2036-01-25 2036-01-25 0.601 - 0.601 Other Instrument ASSET BACKED 6951607.00 3611522.96 COUNTRYWIDE HOME EQUITY LOAN TRUST 2036-02-25 2036-02-25 0.911 - 0.911 Other Instrument ASSET BACKED 50153.00 23819.89 COUNTRYWIDE HOME EQUITY LOAN TRUST 2035-09-25 2035-09-25 0.886 - 0.886 Other Instrument ASSET BACKED 9500000.00 4673339.17 JP MORGAN MORTGAGE ACQUISITION CORP 2037-03-25 2037-03-25 0.501 - 0.501 Other Instrument ASSET BACKED 2330000.00 1154905.55 MERRILL LYNCH HOME EQUITY LOAN TRUST 2037-04-25 2037-04-25 0.371 - 0.371 Other Instrument ASSET BACKED 10540000.00 5387489.27 PEOPLE'S CHOICE HOME LOANS SECURITIES TRUST 2035-08-25 2035-08-25 1.231 - 1.231 Other Instrument ASSET BACKED 5000000.00 2483454.83 RAMP 2046-08-25 2046-08-25 0.541 - 0.541 Other Instrument ASSET BACKED 2870000.00 1473748.50 SPECIALTY UNDERWRITING AND RESIDENTIAL FINANCE TRUST (SURF) 2037-06-25 2037-06-25 0.331 - 0.331 Other Instrument ASSET BACKED 27000000.00 13174195.35 First Tier Security 2015-06-01 2015-06-01 N N N 33000000.00 33000000.00 0.0003 Y 33003630.00 33003630.00 Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 0.91% 48Y998WU6 Other Repurchase Agreement N ADJUSTABLE RATE MORTGAGE TRUST 2035-07-25 2035-07-25 1.481 - 1.481 Other Instrument MORTGAGE 2040000.00 497786.99 CWALT ALTERNATIVE LOAN TRUST 2046-07-20 2046-07-20 0.381 - 0.381 Other Instrument MORTGAGE 55811464.00 13592869.79 CHASEFLEX TRUST 2037-07-25 2037-07-25 0.481 - 0.481 Other Instrument MORTGAGE 115000000.00 33944901.48 CMALT (CITIMORTGAGE ALTERNATIVE LOAN TRUST) 2037-10-25 2037-10-25 6 - 6 Other Instrument MORTGAGE 51500000.00 16820166.56 CWALT ALTERNATIVE LOAN TRUST 2046-10-25 2046-10-25 0.431 - 0.431 Other Instrument MORTGAGE 15000000.00 4283161.14 CWALT ALTERNATIVE LOAN TRUST 2046-07-25 2046-07-25 0.431 - 0.431 Other Instrument MORTGAGE 19611854.00 8106662.23 INDYMAC INDX MORTGAGE LOAN TRUST 2035-12-25 2035-12-25 2.539 - 2.539 Other Instrument MORTGAGE 10825000.00 4337585.22 RALI 2046-02-25 2046-02-25 0.444 - 0.444 Other Instrument MORTGAGE 10000000.00 2508656.65 STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN TRUST 2037-10-25 2037-10-25 2.456 - 2.456 Other Instrument MORTGAGE 16936000.00 5584464.45 First Tier Security 2015-07-14 2015-07-14 N N N 83000000.00 83000000.00 0.0008 Y 83016600.00 83016600.00 Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 0.91% 48Y998XA9 Other Repurchase Agreement N AMERIQUEST MORTGAGE SECURITIES ASSET-BACKED PTC 2035-10-25 2035-10-25 0.871 - 0.871 Other Instrument ASSET BACKED 3240000.00 1291638.98 BEAR STEARNS ASSET BACKED SECURITIES TRUST 2035-02-25 2035-02-25 1.359 - 1.359 Other Instrument ASSET BACKED 3708000.00 1480140.57 HOME EQUITY ASSET TRUST 2036-11-25 2036-11-25 0.421 - 0.421 Other Instrument ASSET BACKED 11027898.00 4382319.10 LONG BEACH MORTGAGE LOAN TRUST 2036-12-25 2036-12-25 0.281 - 0.281 Other Instrument ASSET BACKED 10500000.00 4364835.60 MASTR ASSET BACKED SECURITIES TRUST 2035-06-25 2035-06-25 0.841 - 0.841 Other Instrument ASSET BACKED 7676000.00 3169717.21 MORGAN STANLEY ABS 2036-07-25 2036-07-25 0.331 - 0.331 Other Instrument ASSET BACKED 2275000.00 991663.64 NOVASTAR MORTGAGE FUNDING TRUST 2037-01-25 2037-01-25 0.351 - 0.351 Other Instrument ASSET BACKED 60151000.00 25795924.72 RAMP 2036-12-25 2036-12-25 0.471 - 0.471 Other Instrument ASSET BACKED 6600000.00 2776174.18 STRUCTURED ASSET INVESTMENT LOAN TRUST 2035-02-25 2035-02-25 1.321 - 1.321 Other Instrument ASSET BACKED 5025487.00 2200498.96 First Tier Security 2015-07-20 2015-07-20 N N N 43000000.00 43000000.00 0.0004 Y 43007310.00 43007310.00 Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 1.03% 48Y998RE8 Other Repurchase Agreement N ADJUSTABLE RATE MORTGAGE TRUST 2035-06-25 2035-06-25 1.531 - 1.531 Other Instrument MORTGAGE 1921034.00 1080952.15 CWALT ALTERNATIVE LOAN TRUST 2037-09-25 2037-09-25 0 - 6.25 Other Instrument MORTGAGE 13300000.00 6970008.98 BANC OF AMERICA MORTGAGE SECURITIES 2035-10-25 2035-10-25 2.686 - 2.686 Other Instrument MORTGAGE 13015000.00 7106032.64 CWALT ALTERNATIVE LOAN TRUST 2034-06-25 2034-06-25 0.681 - 0.681 Other Instrument MORTGAGE 15766000.00 8677427.07 CWALT ALTERNATIVE LOAN TRUST 2046-07-25 2046-07-25 0.431 - 0.431 Other Instrument MORTGAGE 29069146.00 12015883.24 GSR MORTGAGE LOAN TRUST 2035-04-25 2035-04-25 2.657 - 2.657 Other Instrument MORTGAGE 4889000.00 2134566.73 INDYMAC INDX MORTGAGE LOAN TRUST 2034-11-25 2034-11-25 1.331 - 1.331 Other Instrument MORTGAGE 5284000.00 2797218.29 RBSSP RESECURITIZATION TRUST 2036-01-26 2036-01-26 2.442 - 2.442 Other Instrument MORTGAGE 48140398.00 25213508.88 STRUCTURED ASSET SECURITIES CORPORATION 2035-10-28 2035-10-28 0.314 - 0.314 Other Instrument MORTGAGE 47974643.00 22858323.18 First Tier Security 2015-05-05 2015-05-05 N N N 82000000.00 82000000.00 0.0007 N 82000000.00 82000000.00 RBC Capital Markets Co. RBC Capital Markets Co., 0.24% 42T99Q7X7 0000050916 Other Repurchase Agreement N FEDERAL HOME LOAN MORTGAGE CORP 2026-09-15 2045-02-15 0 - 20.174 Government Agency Debt 880973042.00 85047276.71 FEDERAL NATIONAL MORTGAGE ASSOC 2033-06-25 2045-02-25 0 - 6.476 Government Agency Debt 193484582.00 38171460.23 GOVERNMENT NATIONAL MORTAGE ASSOC 2036-07-20 2045-04-20 0 - 7.519 Government Agency Debt 80691284.00 10458723.94 First Tier Security 2015-05-07 2015-05-07 Y RBC CAP MARKETS LLC(NON-GV RP) N/A N/A N N 130000000.00 130000000.00 0.0012 N 130000000.00 130000000.00 RBC Capital Markets Co. RBC Capital Markets Co., 0.31% 42T99Q7K5 0000050916 Other Repurchase Agreement N FEDERAL HOME LOAN MORTGAGE CORP 2025-07-01 2045-05-01 0 - 11.541 Government Agency Debt 240085482.00 22099958.74 FEDERAL NATIONAL MORTGAGE ASSOC 2023-06-01 2045-02-25 0 - 11.537 Government Agency Debt 629402402.00 63244366.79 GOVERNMENT NATIONAL MORTAGE ASSOC 2033-01-20 2045-04-20 0 - 7.519 Government Agency Debt 838817277.00 70101368.70 First Tier Security 2015-05-07 2015-05-07 Y RBC CAP MARKETS LLC(NON-GV RP) N/A N/A N N 151000000.00 151000000.00 0.0014 N 151000000.00 151000000.00 RBC Capital Markets Co. RBC Capital Markets Co., 0.38% 42T99Q7Y5 0000050916 Other Repurchase Agreement N 101-500 2015-07-01 2046-02-15 0 - 7.425 Other Municipal Debt 84839189.00 90519060.58 First Tier Security 2015-05-07 2015-05-07 Y RBC CAP MARKETS LLC(NON-GV RP) N/A N/A N N 86000000.00 86000000.00 0.0008 N 86000000.00 86000000.00 RBC Capital Markets Co. RBC Capital Markets Co., 0.38% 42T99Q7R0 0000050916 Other Repurchase Agreement N GLB COMMD EQ 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 4.00 160.72 ACACIA RES-AC TECHS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 5.00 56.70 APPLE 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 34.00 4373.76 ARMOUR RES REIT 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 34.00 107.10 CHINA DIG TV SP ADR 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 100.00 435.00 DE MSCI SK HDG EQ 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 734631.00 18398098.76 FID NSD COMP IND TR 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 137.00 27053.39 FT SENIOR LOAN 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 137443.00 6781437.62 FXSH MS US MRFCTTL 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 700.00 62818.00 GLB X GURU INDX ETF 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 2300.00 31602.00 ISHS MSCI EM VALUE 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 49385.00 857259.90 ISH RUS1000 VAL 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 44100.00 4624326.00 ISH IBOXX HYCB 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 72490.00 7703099.30 ISH FLTNG RT BD 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 191941.00 9724681.29 ISHS CORE EAFE 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 11600.00 711080.00 ISHS TRES FLT RT BD 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 100.00 5010.00 JPMXF DIV RTRN INTL 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 128500.00 6956990.00 KYOCERA SP ADR 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 24.00 1303.20 MKVT INVS GR FLT RT 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 18800.00 1050440.00 MKT VKT RARE EARTH 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1300.00 45103.00 PIMCO 1-5YR US TIPS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 7096.00 371049.84 POWERSHARES QQQ 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 53483.00 5848366.05 PRSH FD PURLGCR PRT 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 100.00 4052.00 PWRSHS DB PRCS METL 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 400.00 14928.00 PRSHS SR LOAN PORT 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 208400.00 5034448.00 PRSH ULT MDCAP400 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 159500.00 12576637.00 PRSH ULTPRO MDCP400 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 51840.00 6755187.60 REDIFF.COM SP.ADR 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 100.00 195.00 GUGG ETF TOP50 MEGA 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 4200.00 609760.20 SPDR S&P500 UTS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 84158.00 17721150.06 SPDR BRC SHTITB ETF 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 147700.00 4606763.00 SCHWAB US LCVL ETF 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 74920.00 3465597.20 VGD EXT DUR TRS IDX 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 4000.00 489200.00 VN SP500 VAL IDX 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 8500.00 773415.00 WSDMTR INDIA EARNIN 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 65200.00 1409769.10 ASML HOLD NY REG 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 22.00 2368.08 First Tier Security 2015-05-07 2015-05-07 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% 42T99Q7V1 0000050916 Other Repurchase Agreement N 51-100 2026-11-15 2051-02-15 0 - 7 Other Instrument MORTGAGE 137530059.00 46329469.38 First Tier Security 2015-05-05 2015-05-05 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% 42T99Q7T6 0000050916 Other Repurchase Agreement N AMC ENTMT INC NEW 2022-02-15 2022-02-15 5.875 - 5.875 Other Instrument CORPORATE 395889.00 411724.56 BROOKFIELD RESIDENTIAL PPTYS INC / BROOKFIELD RE 2022-07-01 2022-07-01 6.125 - 6.125 Other Instrument CORPORATE 656769.00 689769.36 CCO HLDGS LLC / CCO HLDGS CAP CORP 2023-09-01 2023-09-01 5.75 - 5.75 Other Instrument CORPORATE 57073.00 58181.56 CAESARS ENTMT OPER CO INC 2020-02-15 2020-02-15 8.5 - 8.5 Other Instrument CORPORATE 28754.00 22068.70 CHECKERS DRIVE-IN RESTAURANTS INC 2017-12-01 2017-12-01 11 - 11 Other Instrument CORPORATE 4585.00 5194.93 CLAIRES STORES INC 2019-03-15 2019-03-15 9 - 9 Other Instrument CORPORATE 93970.00 84690.46 CLEAR CHANNEL COMMUNICATIONS INC 2021-02-01 2021-02-01 14 - 14 Other Instrument CORPORATE 1917142.00 1573707.31 GRD HLDG III CORP 2019-06-01 2019-06-01 10.75 - 10.75 Other Instrument CORPORATE 172267.00 194574.38 GENERAL MTRS FINL CO INC 2023-05-15 2025-01-15 4 - 4.25 Other Instrument CORPORATE 373730.00 394004.96 HCA INC FORMERLY HCA-HEALTHCARE CO TO 07/01/2001 2024-03-15 2024-03-15 5 - 5 Other Instrument CORPORATE 46228.00 49740.04 HARRAHS OPER INC 2016-02-01 2016-02-01 10.75 - 10.75 Other Instrument CORPORATE 6.00 1.56 HEXION U S FIN CORP / HEXION NOVA SCOTIA FIN ULC 2018-02-01 2018-02-01 8.875 - 8.875 Other Instrument CORPORATE 1401020.00 1274144.99 INFOR US INC 2018-07-15 2018-07-15 11.5 - 11.5 Other Instrument CORPORATE 273429.00 304816.37 JPMORGAN CHASE & CO 2049-01-01 2049-01-01 5.15 - 5.15 Other Instrument CORPORATE 170000.00 170422.78 LEGACY RESVS LP / LEGACY RESVS FIN CORP 2020-12-01 2020-12-01 8 - 8 Other Instrument CORPORATE 74324.00 64847.69 LONESTAR RES AMER INC 2019-04-15 2019-04-15 8.75 - 8.75 Other Instrument CORPORATE 81646.00 63573.32 MARIPOSA BORROWER INC / MARIPOSA MERGER SUB LLC 2021-10-15 2021-10-15 9.5 - 9.5 Other Instrument CORPORATE 347847.00 377812.57 MEMORIAL PRODTN PARTNERS LP / MEM PRODTN FIN COR 2022-08-01 2022-08-01 6.875 - 6.875 Other Instrument CORPORATE 79890.00 76055.00 MERCER INTL INC 2019-12-01 2019-12-01 7 - 7 Other Instrument CORPORATE 150000.00 163333.33 MIRANT AMERICAS GENERATION LLC FORMERLY MIRANT A 2021-10-01 2021-10-01 8.5 - 8.5 Other Instrument CORPORATE 864107.00 837619.72 NGPL PIPECO LLC 2017-12-15 2017-12-15 7.119 - 7.119 Other Instrument CORPORATE 735165.00 765818.62 NRG YIELD OPER LLC 2024-08-15 2024-08-15 5.375 - 5.375 Other Instrument CORPORATE 31263.00 32863.60 NXP B V / NXP FDG LLC 2016-09-15 2016-09-15 3.5 - 3.5 Other Instrument CORPORATE 985229.00 1004317.81 NETFLIX INC FORMERLY NETFLIX COM INC TO 03/06/20 2022-02-15 2022-02-15 5.5 - 5.5 Other Instrument CORPORATE 369736.00 393948.57 NEW ENTERPRISE STONE & LIME CO INC 2018-03-15 2018-03-15 13 - 13 Other Instrument CORPORATE 542315.00 585700.20 OVERSEAS SHIPHOLDING GROUP INC 2018-03-30 2018-03-30 8.125 - 8.125 Other Instrument CORPORATE 38477.00 40048.14 OWENS & MINOR INC NEW 2021-09-15 2021-09-15 3.875 - 3.875 Other Instrument CORPORATE 1436392.00 1494479.69 PQ CORP 2018-11-01 2018-11-01 8.75 - 8.75 Other Instrument CORPORATE 25252.00 27297.59 PENN VA CORP 2019-04-15 2019-04-15 7.25 - 7.25 Other Instrument CORPORATE 100000.00 92990.08 POLYMER GROUP INC 2019-06-01 2019-06-01 6.875 - 6.875 Other Instrument CORPORATE 72155.00 67825.70 PULTEGROUP INC FORMERLY PULTE CORP TO 05/17/2001 2033-05-15 2033-05-15 6.375 - 6.375 Other Instrument CORPORATE 7036893.00 7488793.47 QVC INC FORMERLY QVC NETWORK INC TO 06/27/1994 2024-04-01 2024-04-01 4.85 - 4.85 Other Instrument CORPORATE 5328152.00 5530445.65 RADIO ONE INC 2020-02-15 2020-02-15 9.25 - 9.25 Other Instrument CORPORATE 290370.00 279269.40 RITE AID CORP 2023-04-01 2023-04-01 6.125 - 6.125 Other Instrument CORPORATE 3045000.00 3173693.54 SLM CORP MEDIUM TERM NTS BOOK ENTRY 2022-01-25 2022-01-25 7.25 - 7.25 Other Instrument CORPORATE 12000.00 13069.58 SALIX PHARMACEUTICALS LTD 2021-01-15 2021-01-15 6.5 - 6.5 Other Instrument CORPORATE 52800.00 59928.00 SCHAEFFLER HLDG FIN B V 2019-11-15 2019-11-15 6.25 - 6.25 Other Instrument CORPORATE 41688.00 44397.72 SCIENTIFIC GAMES INTL INC 2022-12-01 2022-12-01 10 - 10 Other Instrument CORPORATE 2993870.00 2924844.66 SPRINT CAP CORP 2032-03-15 2032-03-15 8.75 - 8.75 Other Instrument CORPORATE 93975.00 98116.24 STONE ENERGY CORP 2022-11-15 2022-11-15 7.5 - 7.5 Other Instrument CORPORATE 400000.00 383750.00 SWIFT ENERGY CO 2022-03-01 2022-03-01 7.875 - 7.875 Other Instrument CORPORATE 1195000.00 577072.97 TARGA RES PARTNERS LP / TARGA RES PARTNERS FIN C 2018-01-15 2018-01-15 5 - 5 Other Instrument CORPORATE 640807.00 671245.33 TENET HEALTHCARE CORP 2020-02-01 2020-02-01 6.75 - 6.75 Other Instrument CORPORATE 236339.00 251509.01 VANTAGE ONCOLOGY LLC / VANTAGE ONCOLOGY FIN CO 2017-06-15 2017-06-15 9.5 - 9.5 Other Instrument CORPORATE 13026956.00 13360771.74 VERSO PAPER HLDGS LLC / VERSO PAPER INC 2019-01-15 2019-01-15 11.75 - 11.75 Other Instrument CORPORATE 269615.00 245857.05 WMG ACQUISITION CORP 2022-04-15 2022-04-15 6.75 - 6.75 Other Instrument CORPORATE 28511.00 27014.17 First Tier Security 2015-05-07 2015-05-07 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., 0.42% 42T99Q7S8 0000050916 Other Repurchase Agreement N 51-100 2026-11-15 2049-12-10 0 - 7 Other Instrument MORTGAGE 1220725264.00 116269642.88 First Tier Security 2015-05-07 2015-05-07 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 SG Americas Securities, LLC SG Americas Securities, LLC, 0.30% 60S99B7U9 Other Repurchase Agreement N OGE ENERGY 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1.00 32.81 PPL 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 3.00 103.23 PINNACLE WEST CAP 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 2.00 125.62 REGIONS FINANCIAL 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 2.00 19.60 ROBERT HALF INTL 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 3.00 166.59 SHERWIN-WILLIAMS CO 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 214.00 59748.80 STRW HTL RES WRLWD 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 63751.00 5580125.03 TARGET 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 10656.00 840438.72 TIME WARNER CBL 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 59936.00 9461496.96 UGI 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1.00 35.70 WELLS FARGO 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1553.00 86129.38 WESTLAKE CHEMICAL 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1.00 78.25 ZOETIS-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 289.00 13068.58 HERBALIFE 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1788406.00 75667457.86 ACE N 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 2.00 216.08 ADOBE SYSTEMS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 2.00 153.30 ALLEGHENY TECH 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 298.00 10197.56 AMERCO 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1.00 325.22 AMERIC RCP REIT-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 6.00 54.36 APPLE 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 194387.00 25005943.68 AUTOMATIC DATA PROC 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1.00 85.39 BERRY PLAST GRP 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 374.00 12615.02 BITAUTO HLDG SP ADR 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 41272.00 2459398.48 BROCADE COMM 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1.00 11.82 CDK GLOBAL 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 394154.00 19073112.06 CISCO SYSTEMS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 580561.00 16865297.05 DIRECTV 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1.00 91.27 DOUGLAS EMMETT REIT 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 3569.00 102608.75 FACEBOOK-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 654413.00 52657342.05 FORD MOTOR 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 175238.00 2807312.76 FOREST CTY ENTER-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1.00 23.94 HD SUPPLY HLDGS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1.00 33.74 HOME DEPOT 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 37047.00 4027379.37 HUDSON CITY 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 658.00 6158.88 ILLINOIS TOOL WORKS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1.00 94.53 L BRANDS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1.00 89.00 MFA FINANCIAL REIT 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 399.00 3112.20 MICRON TECHNOLOGY 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 118503.00 3421181.61 Second Tier Security 2015-05-07 2015-05-07 N N N 202000000.00 202000000.00 0.0018 N 202000000.00 202000000.00 SG Americas Securities, LLC SG Americas Securities, LLC, 0.48% 60S99B7T2 Other Repurchase Agreement N 101-500 2015-06-15 2077-10-01 0 - 12 Other Instrument CORPORATE 375611499.00 377076938.99 Second Tier Security 2015-05-06 2015-05-06 N N N 354000000.00 354000000.00 0.0032 N 354013239.60 354013239.60