0000278001-15-000081.txt : 20150730 0000278001-15-000081.hdr.sgml : 20150730 20150605125213 ACCESSION NUMBER: 0000278001-15-000081 CONFORMED SUBMISSION TYPE: N-MFP PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20150531 FILED AS OF DATE: 20150605 DATE AS OF CHANGE: 20150605 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: 15915193 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 2015-05-31 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 38 83 112582234824.03 57188280.25 1642380271.73 110997042832.55 0.0029 1.0004 2015-05-29 1.0004 2015-05-29 C000019553 2500.00 110997042832.55 1.00 1222468395.95 23106622135.82 21884153739.87 0.0001 1.0004 2015-05-29 1.0004 2015-05-29 Bank of Montreal Bank of Montreal, 0.26% 06366CKC1 Certificate of Deposit First Tier Security 2015-06-18 2015-08-18 N N N 440000000.00 440000000.00 0.0040 N 439975360.00 439975360.00 Bank of Montreal Bank of Montreal, 0.26% 06366CFU7 Certificate of Deposit First Tier Security 2015-06-22 2015-07-20 N N N 224000000.00 224000000.00 0.0020 N 223991712.00 223991712.00 Bank of Montreal Bank of Montreal, 0.27% 06366CES3 Certificate of Deposit First Tier Security 2015-06-15 2015-07-14 N N N 387000000.00 387000000.00 0.0035 N 386996130.00 386996130.00 Bank of Montreal Bank of Montreal, 0.27% 06366CFW3 Certificate of Deposit First Tier Security 2015-06-22 2015-07-21 N N N 225000000.00 225000000.00 0.0020 N 224990100.00 224990100.00 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 217538606.25 217538606.25 Bank of Montreal Chicago CD Program Bank of Montreal Chicago CD Program, 0.31% 06366LEQ7 Certificate of Deposit First Tier Security 2015-06-17 2015-09-11 N N N 912000000.00 912000000.00 0.0082 N 911966256.00 911966256.00 Bank of Nova Scotia Bank of Nova Scotia, 0.27% 06417HD60 Certificate of Deposit First Tier Security 2015-06-10 2015-09-08 N N N 433000000.00 433000000.00 0.0039 N 432983979.00 432983979.00 Bank of Nova Scotia Bank of Nova Scotia, 0.28% 06417HC46 Certificate of Deposit First Tier Security 2015-06-03 2015-10-01 N N N 433000000.00 433000000.00 0.0039 N 432982680.00 432982680.00 Bank of Nova Scotia Bank of Nova Scotia, 0.28% 06417HA97 Certificate of Deposit First Tier Security 2015-06-23 2015-09-18 N N N 869000000.00 869000000.00 0.0078 N 868973061.00 868973061.00 Bank of Nova Scotia Bank of Nova Scotia, 0.31% 06417HZL3 Certificate of Deposit First Tier Security 2015-08-17 2015-08-17 N N N 500000000.00 500000000.00 0.0045 N 500214250.00 500214250.00 Bank of Nova Scotia Bank of Nova Scotia, 0.36% 06417E5W9 Certificate of Deposit First Tier Security 2015-06-11 2015-07-13 N N N 406000000.00 406000000.00 0.0037 N 406010556.00 406010556.00 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.27% 06538JHG4 Certificate of Deposit First Tier Security 2015-06-04 2015-06-04 N N N 500000000.00 500000000.00 0.0045 N 500010350.00 500010350.00 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 0.0078 N 862084820.80 862084820.80 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 0.0055 N 616063140.00 616063140.00 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 0.0069 N 763087668.70 763087668.70 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 629073089.80 629073089.80 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 329038328.50 329038328.50 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 0.0038 N 427049105.00 427049105.00 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.27% 06538JWU6 Certificate of Deposit First Tier Security 2015-09-01 2015-09-01 N N N 244000000.00 244000000.00 0.0022 N 244003172.00 244003172.00 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 0.0095 N 1051188234.10 1051188234.10 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 0.0148 N 1641298990.20 1641298990.20 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 256029312.00 256029312.00 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 0.0071 N 790097486.00 790097486.00 Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce, 0.25% 13606Y6S0 Certificate of Deposit First Tier Security 2015-06-17 2015-06-17 N N N 177000000.00 177000108.29 0.0016 N 176996637.00 176996637.00 Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce, 0.31% 13606YZR0 Certificate of Deposit First Tier Security 2015-06-16 2015-09-11 N N N 1249000000.00 1249000000.00 0.0113 N 1248955036.00 1248955036.00 Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce, 0.34% 13606JXV6 Certificate of Deposit First Tier Security 2015-06-05 2015-10-02 N N N 403000000.00 403000000.00 0.0036 N 402986701.00 402986701.00 Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce, 0.36% 13606YPQ3 Certificate of Deposit First Tier Security 2015-06-03 2015-10-05 N N N 405000000.00 405000000.00 0.0036 N 405000000.00 405000000.00 Credit Agricole CIB Credit Agricole CIB, 0.30% 22533MM32 Certificate of Deposit First Tier Security 2015-09-01 2015-09-01 N N N 950000000.00 950000000.00 0.0086 N 950132715.00 950132715.00 Credit Industriel et Commercial Credit Industriel et Commercial, 0.13% 22536TML4 Certificate of Deposit First Tier Security 2015-06-03 2015-06-03 N N N 2542000000.00 2542000000.00 0.0229 N 2541995424.40 2541995424.40 Credit Suisse Credit Suisse, 0.33% 22549VX65 Certificate of Deposit First Tier Security 2015-06-16 2015-08-03 N N N 609000000.00 609000000.00 0.0055 N 608986602.00 608986602.00 Credit Suisse Credit Suisse, 0.35% 22549VKB8 Certificate of Deposit First Tier Security 2015-06-09 2015-10-09 N N N 842000000.00 842000000.00 0.0076 N 841969688.00 841969688.00 Credit Suisse Credit Suisse, 0.35% 22549VTE3 Certificate of Deposit First Tier Security 2015-07-06 2015-07-06 N N N 752000000.00 752000000.00 0.0068 N 752090992.00 752090992.00 Credit Suisse Credit Suisse, 0.38% 22549VZA4 Certificate of Deposit First Tier Security 2015-06-04 2015-09-04 N N N 707000000.00 707000000.00 0.0064 N 706981618.00 706981618.00 Credit Suisse Credit Suisse, 0.39% 22549VB69 Certificate of Deposit First Tier Security 2015-06-15 2015-09-14 N N N 846000000.00 846000000.00 0.0076 N 845972928.00 845972928.00 Landesbank Baden-Wuerttemberg New York Branch Landesbank Baden-Wuerttemberg New York Branch, 0.16% 51489KMG0 Certificate of Deposit First Tier Security 2015-06-04 2015-06-04 N N N 174000000.00 174000000.00 0.0016 N 173999756.40 173999756.40 Landesbank Baden-Wuerttemberg New York Branch Landesbank Baden-Wuerttemberg New York Branch, 0.16% 51489KMJ4 Certificate of Deposit First Tier Security 2015-06-05 2015-06-05 N N N 650000000.00 650000000.00 0.0059 N 650000000.00 650000000.00 Landesbank Baden-Wuerttemberg New York Branch Landesbank Baden-Wuerttemberg New York Branch, 0.27% 51489KLJ5 Certificate of Deposit First Tier Security 2015-06-05 2015-06-05 N N N 1500000000.00 1500000000.00 0.0135 N 1500029400.00 1500029400.00 Landesbank Baden-Wuerttemberg New York Branch Landesbank Baden-Wuerttemberg New York Branch, 0.27% 51489KMF2 Certificate of Deposit First Tier Security 2015-07-06 2015-07-06 N N N 820000000.00 820000000.00 0.0074 N 820050840.00 820050840.00 Landesbank Baden-Wuerttemberg New York Branch Landesbank Baden-Wuerttemberg New York Branch, 0.27% 51489KMH8 Certificate of Deposit First Tier Security 2015-07-07 2015-07-07 N N N 750000000.00 750000000.00 0.0068 N 750000000.00 750000000.00 Lloyds TSB Bank PLC New York Branch Lloyds TSB Bank PLC New York Branch, 0.14% 53945GDR9 Certificate of Deposit First Tier Security 2015-06-03 2015-06-03 N N N 858000000.00 858000000.00 0.0077 N 858001458.60 858001458.60 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.28% 60688L6E1 Certificate of Deposit First Tier Security 2015-06-17 2015-06-17 N N N 437000000.00 437000000.00 0.0039 N 437018659.90 437018659.90 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 539028728.70 539028728.70 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.28% 60688L6Q4 Certificate of Deposit First Tier Security 2015-07-01 2015-07-01 N N N 349000000.00 349000000.00 0.0031 N 349021393.70 349021393.70 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 0.0037 N 414028648.80 414028648.80 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 0.0050 N 557037319.00 557037319.00 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 444029481.60 444029481.60 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.29% 60689DDF7 Certificate of Deposit First Tier Security 2015-09-04 2015-09-04 N N N 484000000.00 484000000.00 0.0044 N 484015730.00 484015730.00 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.29% 60689DDP5 Certificate of Deposit First Tier Security 2015-09-08 2015-09-08 N N N 50000000.00 50000000.00 0.0005 N 50001125.00 50001125.00 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.29% 60689DDY6 Certificate of Deposit First Tier Security 2015-09-17 2015-09-17 N N N 550000000.00 550000000.00 0.0050 N 549998240.00 549998240.00 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.29% 60689DEJ8 Certificate of Deposit First Tier Security 2015-09-18 2015-09-18 N N N 243000000.00 243000000.00 0.0022 N 242998469.10 242998469.10 Natexis Banques Populaires New York Branch Natexis Banques Populaires New York Branch, 0.28% 63873FFM5 Certificate of Deposit First Tier Security 2015-06-23 2015-08-03 Y NATIXIS NY BRH N/A N/A N N 669000000.00 669000000.00 0.0060 N 668935107.00 668935107.00 Natexis Banques Populaires New York Branch Natexis Banques Populaires New York Branch, 0.31% 63873FLN6 Certificate of Deposit First Tier Security 2015-06-01 2015-06-01 N N N 837000000.00 837000000.00 0.0075 N 837014982.30 837014982.30 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 854000000.00 854000000.00 0.0077 N 854015286.60 854015286.60 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 0.0099 N 1100166320.00 1100166320.00 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 0.0110 N 1223245945.30 1223245945.30 Natexis Banques Populaires New York Branch Natexis Banques Populaires New York Branch, 0.31% 63873FRF7 Certificate of Deposit First Tier Security 2015-09-01 2015-09-01 N N N 854000000.00 854000000.00 0.0077 N 854139629.00 854139629.00 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 275000000.00 275000000.00 0.0025 N 275006600.00 275006600.00 Rabobank Nederland New York Branch Rabobank Nederland New York Branch, 0.25% 21684BVT8 Certificate of Deposit First Tier Security 2015-06-08 2015-06-08 N N N 500000000.00 500000000.00 0.0045 N 500019450.00 500019450.00 Royal Bank of Canada Royal Bank of Canada, 0.25% 78009NRN8 Certificate of Deposit First Tier Security 2015-06-26 2015-06-26 N N N 465000000.00 465000000.00 0.0042 N 464986980.00 464986980.00 Royal Bank of Canada Royal Bank of Canada, 0.26% 78009NRQ1 Certificate of Deposit First Tier Security 2015-06-23 2015-07-23 N N N 407000000.00 407000000.00 0.0037 N 406980871.00 406980871.00 Royal Bank of Canada Royal Bank of Canada, 0.27% 78009NSG2 Certificate of Deposit First Tier Security 2015-06-10 2015-11-10 N N N 238000000.00 238000000.00 0.0021 N 237977628.00 237977628.00 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 0.0045 N 500088650.00 500088650.00 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 385005005.00 385005005.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.28% 86563RCT3 Certificate of Deposit First Tier Security 2015-06-15 2015-06-15 N N N 950000000.00 950000000.00 0.0086 N 950048830.00 950048830.00 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 496036852.80 496036852.80 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 300035460.00 300035460.00 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 475060135.00 475060135.00 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 0.0035 N 392048725.60 392048725.60 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.29% 86563RQF8 Certificate of Deposit First Tier Security 2015-09-03 2015-09-03 N N N 64000000.00 64000000.00 0.0006 N 64003955.20 64003955.20 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.29% 86563RQM3 Certificate of Deposit First Tier Security 2015-09-15 2015-09-15 N N N 432300000.00 432300000.00 0.0039 N 432314309.13 432314309.13 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.29% 86563RTG3 Certificate of Deposit First Tier Security 2015-09-18 2015-09-18 N N N 319000000.00 319000000.00 0.0029 N 319007911.20 319007911.20 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.29% 86563RRG5 Certificate of Deposit First Tier Security 2015-09-21 2015-09-21 N N N 474000000.00 474000000.00 0.0043 N 474007489.20 474007489.20 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.30% 86563RTX6 Certificate of Deposit First Tier Security 2015-09-25 2015-09-25 N N N 358000000.00 358000000.00 0.0032 N 358012995.40 358012995.40 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.39% 86562JCD7 Certificate of Deposit First Tier Security 2015-06-15 2015-10-15 N N N 890000000.00 890000000.00 0.0080 N 889966180.00 889966180.00 Sumitomo Mitsui Trust Banking Ltd. Sumitomo Mitsui Trust Banking Ltd., 0.12% 86563KZY2 Certificate of Deposit First Tier Security 2015-06-05 2015-06-05 N N N 223000000.00 223000000.00 0.0020 N 223000000.00 223000000.00 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 0.0045 N 500012150.00 500012150.00 Sumitomo Mitsui Trust Banking Ltd. Sumitomo Mitsui Trust Banking Ltd., 0.29% 86563KWG4 Certificate of Deposit First Tier Security 2015-06-17 2015-06-17 N N N 500000000.00 500000000.00 0.0045 N 500030850.00 500030850.00 Sumitomo Mitsui Trust Banking Ltd. Sumitomo Mitsui Trust Banking Ltd., 0.29% 86563KWS8 Certificate of Deposit First Tier Security 2015-07-03 2015-07-03 N N N 1125000000.00 1125000000.00 0.0101 N 1125116887.50 1125116887.50 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 400027040.00 400027040.00 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 0.0112 N 1244054114.00 1244054114.00 Toronto-Dominion Bank Toronto-Dominion Bank, 0.25% 89112UGM7 Certificate of Deposit First Tier Security 2015-06-08 2015-06-08 N N N 391000000.00 391000000.00 0.0035 N 390997654.00 390997654.00 Toronto-Dominion Bank Toronto-Dominion Bank, 0.27% 89112UYU9 Certificate of Deposit First Tier Security 2015-06-03 2015-10-05 N N N 700000000.00 700000000.00 0.0063 N 699952400.00 699952400.00 Toronto-Dominion Bank Toronto-Dominion Bank, 0.27% 89112UYQ8 Certificate of Deposit First Tier Security 2015-06-08 2015-10-06 N N N 9000000.00 9000000.00 0.0001 N 8999361.00 8999361.00 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 232024684.80 232024684.80 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 256049996.80 256049996.80 UBS AG UBS AG, 0.34% 90267RH28 Certificate of Deposit First Tier Security 2015-06-05 2015-09-08 N N N 668000000.00 668000000.00 0.0060 N 667981964.00 667981964.00 UBS AG UBS AG, 0.34% 90267RG78 Certificate of Deposit First Tier Security 2015-06-05 2015-09-08 N N N 668000000.00 668000000.00 0.0060 N 667981964.00 667981964.00 UBS AG UBS AG, 0.34% 90267RD48 Certificate of Deposit First Tier Security 2015-06-09 2015-06-09 N N N 1355000000.00 1355000000.00 0.0122 N 1355051625.50 1355051625.50 UBS AG UBS AG, 0.34% 90267RF79 Certificate of Deposit First Tier Security 2015-07-27 2015-07-27 N N N 840000000.00 840000000.00 0.0076 N 840083496.00 840083496.00 UBS AG UBS AG, 0.37% 90267RH93 Certificate of Deposit First Tier Security 2015-06-25 2015-09-25 N N N 417000000.00 417000000.00 0.0038 N 416959968.00 416959968.00 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 165918719.09 0.0015 N 165933649.80 165933649.80 ABN AMRO Bank NV ABN AMRO Bank NV, 0.29% 37V995TM0 Certificate of Deposit First Tier Security 2015-08-12 2015-08-12 N N N 366000000.00 365787877.86 0.0033 N 365824612.80 365824612.80 ABN AMRO Bank NV ABN AMRO Bank NV, 0.29% 37V995TN8 Certificate of Deposit First Tier Security 2015-08-12 2015-08-12 N N N 184000000.00 183893359.36 0.0017 N 183911827.20 183911827.20 ABN AMRO Bank NV ABN AMRO Bank NV, 0.29% to 0.30% 37V995TP3 Certificate of Deposit First Tier Security 2015-08-14 2015-08-14 N N N 152000000.00 151908575.83 0.0014 N 151924243.20 151924243.20 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 409904408.24 0.0037 N 409936122.00 409936122.00 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 445930923.91 0.0040 N 445953170.00 445953170.00 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 0.0048 N 535111975.50 535111975.50 HSBC Bank PLC HSBC Bank PLC, 0.29% 35X99QBM5 0001140465 Certificate of Deposit First Tier Security 2015-09-17 2015-09-17 N N N 125000000.00 125000000.00 0.0011 N 125003400.00 125003400.00 HSBC Bank PLC HSBC Bank PLC, 0.29% 35X99QBL7 0001140465 Certificate of Deposit First Tier Security 2015-09-17 2015-09-17 N N N 250000000.00 250000000.00 0.0023 N 250006800.00 250006800.00 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 199912950.15 0.0018 N 199921660.00 199921660.00 Mizuho Bank Ltd. Mizuho Bank Ltd., 0.30% 49J99LFM9 Certificate of Deposit First Tier Security 2015-08-07 2015-08-07 N N N 192000000.00 191892882.03 0.0017 N 191906707.20 191906707.20 National Australia Bank Ltd. National Australia Bank Ltd., 0.30% XS1165575173 0000833029 Certificate of Deposit First Tier Security 2015-07-07 2015-07-07 N N N 1090000000.00 1090000000.00 0.0098 N 1090193475.00 1090193475.00 National Australia Bank Ltd. National Australia Bank Ltd., 0.30% 39K99HJG6 0000833029 Certificate of Deposit First Tier Security 2015-08-13 2015-08-13 N N N 216000000.00 216000000.00 0.0019 N 216063309.60 216063309.60 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 279101388.60 279101388.60 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 0.0008 N 94034441.60 94034441.60 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 235083237.00 235083237.00 Sumitomo Mitsui Trust Bank Ltd. Sumitomo Mitsui Trust Bank Ltd., 0.31% 865997KB5 0001046017 Certificate of Deposit First Tier Security 2015-09-21 2015-09-21 N N N 86000000.00 86000000.00 0.0008 N 86006819.80 86006819.80 BMO Harris Bank NA BMO Harris Bank NA, 0.33% 05574BDZ0 Certificate of Deposit First Tier Security 2015-08-20 2015-08-20 N N N 280000000.00 280000000.00 0.0025 N 280121884.00 280121884.00 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 0.0040 N 444995550.00 444995550.00 Wells Fargo Bank NA Wells Fargo Bank NA, 0.26% 94988EAR9 Certificate of Deposit First Tier Security 2015-06-04 2015-08-03 N N N 278000000.00 278000000.00 0.0025 N 277990548.00 277990548.00 Wells Fargo Bank NA Wells Fargo Bank NA, 0.26% 94988EAT5 Certificate of Deposit First Tier Security 2015-06-08 2015-08-04 N N N 145000000.00 145000000.00 0.0013 N 144995070.00 144995070.00 Wells Fargo Bank NA Wells Fargo Bank NA, 0.26% 94988EAX6 Certificate of Deposit First Tier Security 2015-06-18 2015-08-18 N N N 140000000.00 140000000.00 0.0013 N 139992160.00 139992160.00 Wells Fargo Bank NA Wells Fargo Bank NA, 0.27% 94988EEE4 Certificate of Deposit First Tier Security 2015-06-10 2015-09-02 N N N 1000000000.00 1000000000.00 0.0090 N 999973000.00 999973000.00 Fannie Mae Fannie Mae, 0.20% 3135G0B44 Government Agency Debt First Tier Security 2015-06-26 2017-01-26 N N N 500000000.00 499915552.40 0.0045 N 500224500.00 500224500.00 Federal Farm Credit Bank Federal Farm Credit Bank, 0.14% 3133EEM80 Government Agency Debt First Tier Security 2015-06-20 2016-06-20 N N N 200000000.00 199996580.56 0.0018 N 199984000.00 199984000.00 Federal Farm Credit Bank Federal Farm Credit Bank, 0.17% 3133EDUG5 Government Agency Debt First Tier Security 2015-06-15 2016-09-15 N N N 370000000.00 369940064.22 0.0033 N 370036260.00 370036260.00 Federal Farm Credit Bank Federal Farm Credit Bank, 0.19% 3133EDFH0 Government Agency Debt First Tier Security 2015-06-18 2016-07-18 N N N 78365000.00 78410457.02 0.0007 N 78403007.03 78403007.03 Federal Home Loan Bank Federal Home Loan Bank, 0.12% 3130A5HW2 Government Agency Debt First Tier Security 2015-06-02 2016-03-02 N N N 513000000.00 513000000.00 0.0046 N 513000000.00 513000000.00 Federal Home Loan Bank Federal Home Loan Bank, 0.13% 3130A5AC3 Government Agency Debt First Tier Security 2015-06-04 2016-05-04 N N N 350000000.00 349974568.72 0.0032 N 349839350.00 349839350.00 Federal Home Loan Bank Federal Home Loan Bank, 0.14% 3130A5HD4 Government Agency Debt First Tier Security 2015-06-01 2016-06-01 N N N 855000000.00 855000000.00 0.0077 N 854953830.00 854953830.00 Federal Home Loan Bank Federal Home Loan Bank, 0.14% 3130A4Z39 Government Agency Debt First Tier Security 2015-06-20 2016-04-20 N N N 221750000.00 221740890.35 0.0020 N 221704319.50 221704319.50 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 199972072.96 0.0018 N 199943600.00 199943600.00 Federal Home Loan Bank Federal Home Loan Bank, 0.16% 3130A56Y0 Government Agency Debt First Tier Security 2015-07-27 2016-10-27 N N N 564000000.00 563877757.85 0.0051 N 563853924.00 563853924.00 Federal Home Loan Bank Federal Home Loan Bank, 0.16% 3130A3G99 Government Agency Debt First Tier Security 2015-08-10 2016-05-10 N N N 352000000.00 351948279.72 0.0032 N 351913408.00 351913408.00 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 249966914.30 0.0023 N 250026500.00 250026500.00 Federal Home Loan Bank Federal Home Loan Bank, 0.17% 3130A3FR0 Government Agency Debt First Tier Security 2015-08-06 2016-05-06 N N N 354000000.00 353965317.84 0.0032 N 353922120.00 353922120.00 Federal Home Loan Bank Federal Home Loan Bank, 0.17% 3130A3GR9 Government Agency Debt First Tier Security 2015-08-12 2016-05-12 N N N 200000000.00 199970442.60 0.0018 N 199943600.00 199943600.00 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 544892422.77 0.0049 N 545076300.00 545076300.00 Federal Home Loan Bank Federal Home Loan Bank, 0.20% 3130A2P91 Government Agency Debt First Tier Security 2015-08-17 2015-08-17 N N N 500000000.00 500000000.00 0.0045 N 500031000.00 500031000.00 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 175992569.70 0.0016 N 176038720.00 176038720.00 Federal Home Loan Bank Federal Home Loan Bank, 0.20% 3130A5GP8 Government Agency Debt First Tier Security 2016-01-04 2016-01-04 N N N 250000000.00 249950337.50 0.0023 N 249854250.00 249854250.00 Federal Home Loan Bank Federal Home Loan Bank, 0.20% 3130A5GH6 Government Agency Debt First Tier Security 2016-01-04 2016-01-04 N N N 250000000.00 249956595.05 0.0023 N 249853500.00 249853500.00 Federal Home Loan Bank Federal Home Loan Bank, 0.25% 3130A2XR2 Government Agency Debt First Tier Security 2015-06-04 2015-06-04 N N N 390000000.00 390000000.00 0.0035 N 390005460.00 390005460.00 Freddie Mac Freddie Mac, 0.17% 3134G5UB9 Government Agency Debt First Tier Security 2015-06-12 2016-12-12 N N N 250000000.00 249941506.45 0.0023 N 250030250.00 250030250.00 Freddie Mac Freddie Mac, 0.17% 3134G5PN9 Government Agency Debt First Tier Security 2015-08-14 2016-11-14 N N N 2000000000.00 1999549583.20 0.0180 N 1999526000.00 1999526000.00 Freddie Mac Freddie Mac, 0.18% 3134G6AE3 Government Agency Debt First Tier Security 2015-06-21 2016-07-21 N N N 500000000.00 499941653.50 0.0045 N 500214000.00 500214000.00 Freddie Mac Freddie Mac, 0.19% 3134G5Z24 Government Agency Debt First Tier Security 2015-06-12 2017-01-12 N N N 500000000.00 499917510.60 0.0045 N 499917000.00 499917000.00 BAT International Finance PLC BAT International Finance PLC, 0.45% 05531NT22 Financial Company Commercial Paper Second Tier Security 2015-06-02 2015-06-02 N N N 65000000.00 64999187.50 0.0006 N 64998336.00 64998336.00 BAT International Finance PLC BAT International Finance PLC, 0.45% 05531NT22 Financial Company Commercial Paper Second Tier Security 2015-06-02 2015-06-02 N N N 127157000.00 127155410.54 0.0011 N 127153744.78 127153744.78 BAT International Finance PLC BAT International Finance PLC, 0.45% 05531NT30 Financial Company Commercial Paper Second Tier Security 2015-06-03 2015-06-03 N N N 82000000.00 81997950.00 0.0007 N 81997384.20 81997384.20 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 362819306.59 0.0033 N 362863548.30 362863548.30 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 499747222.10 0.0045 N 499808300.00 499808300.00 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.27% 20272AKV7 Financial Company Commercial Paper First Tier Security 2015-06-16 2015-07-16 N N N 300000000.00 300000000.00 0.0027 N 299994900.00 299994900.00 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 48000000.00 48000000.00 0.0004 N 47999668.80 47999668.80 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 403717200.08 0.0036 N 403819371.60 403819371.60 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 270928862.50 0.0024 N 270956233.50 270956233.50 Landesbank Baden-Wurttemberg Landesbank Baden-Wurttemberg, 0.16% 5148X1T45 Financial Company Commercial Paper First Tier Security 2015-06-04 2015-06-04 N N N 1650000000.00 1649978000.22 0.0149 N 1649953800.00 1649953800.00 Lloyds Bank PLC Lloyds Bank PLC, 0.14% 53943ST31 Financial Company Commercial Paper First Tier Security 2015-06-03 2015-06-03 N N N 607000000.00 606995278.88 0.0055 N 606989134.70 606989134.70 Lloyds Bank PLC Lloyds Bank PLC, 0.14% 53943ST49 Financial Company Commercial Paper First Tier Security 2015-06-04 2015-06-04 N N N 631000000.00 630992638.38 0.0057 N 630986307.30 630986307.30 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 87994720.00 0.0008 N 87993435.20 87993435.20 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 229986200.00 0.0021 N 229982842.00 229982842.00 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 95934293.35 0.0009 N 95970268.80 95970268.80 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 149895499.95 0.0014 N 149952495.00 149952495.00 Nationwide Building Society Nationwide Building Society, 0.44% 6385E1VD0 Financial Company Commercial Paper First Tier Security 2015-08-13 2015-08-13 N N N 125000000.00 124888472.20 0.0011 N 124946962.50 124946962.50 Nationwide Building Society Nationwide Building Society, 0.44% 6385E1VE8 Financial Company Commercial Paper First Tier Security 2015-08-14 2015-08-14 N N N 200000000.00 199819111.08 0.0018 N 199914020.00 199914020.00 Nationwide Building Society Nationwide Building Society, 0.44% 6385E1VM0 Financial Company Commercial Paper First Tier Security 2015-08-21 2015-08-21 N N N 124000000.00 123877240.05 0.0011 N 123940393.20 123940393.20 Nationwide Building Society Nationwide Building Society, 0.44% 6385E1VQ1 Financial Company Commercial Paper First Tier Security 2015-08-24 2015-08-24 N N N 124000000.00 123872693.35 0.0011 N 123937665.20 123937665.20 Nationwide Building Society Nationwide Building Society, 0.44% 6385E1VR9 Financial Company Commercial Paper First Tier Security 2015-08-25 2015-08-25 N N N 95000000.00 94901305.58 0.0009 N 94951464.50 94951464.50 Nationwide Building Society Nationwide Building Society, 0.44% 6385E1VU2 Financial Company Commercial Paper First Tier Security 2015-08-28 2015-08-28 N N N 150000000.00 149838666.66 0.0013 N 149919990.00 149919990.00 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 427721205.59 0.0039 N 427836033.20 427836033.20 Sumitomo Trust & Banking Co. Ltd. Sumitomo Trust & Banking Co. Ltd., 0.26% 86563HVT4 Financial Company Commercial Paper First Tier Security 2015-08-27 2015-08-27 N N N 97000000.00 96939051.70 0.0009 N 96936950.00 96936950.00 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 162880511.97 0.0015 N 162887644.10 162887644.10 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 199935000.04 0.0018 N 199958460.00 199958460.00 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 75973400.00 0.0007 N 75982900.00 75982900.00 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 299889999.96 0.0027 N 299929110.00 299929110.00 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 199911666.68 0.0018 N 199941820.00 199941820.00 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 199906666.68 0.0018 N 199938060.00 199938060.00 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 93955350.00 0.0008 N 93970230.20 93970230.20 Sheffield Receivables Corp. Sheffield Receivables Corp., 0.35% 82124MWA4 Asset Backed Commercial Paper First Tier Security 2015-09-10 2015-09-10 N N Y GUARANTOR BARCLAYS BANK PLC N/A N/A 206000000.00 205797719.45 0.0019 N 205793713.66 205793713.66 Sheffield Receivables Corp. Sheffield Receivables Corp., 0.35% 82124MWB2 Asset Backed Commercial Paper First Tier Security 2015-09-11 2015-09-11 N N Y GUARANTOR BARCLAYS BANK PLC N/A N/A 204000000.00 203797700.06 0.0018 N 203793733.56 203793733.56 Xerox Corp. Xerox Corp., 0.46% 98412FT10 Other Commercial Paper Second Tier Security 2015-06-01 2015-06-01 N N N 145000000.00 145000000.00 0.0013 N 144997216.00 144997216.00 Xerox Corp. Xerox Corp., 0.46% 98412FT28 Other Commercial Paper Second Tier Security 2015-06-02 2015-06-02 N N N 39000000.00 38999501.67 0.0004 N 38999001.60 38999001.60 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 489949366.34 0.0044 N 489996570.00 489996570.00 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 163355142.25 0.0015 N 163358216.88 163358216.88 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 1255127218.85 0.0113 N 1255097890.00 1255097890.00 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 876131539.81 0.0079 N 876204984.00 876204984.00 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 1327254417.66 0.0120 N 1327207012.00 1327207012.00 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 768175042.05 0.0069 N 768299735.28 768299735.28 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 922410298.80 0.0083 N 922587040.00 922587040.00 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 400547008.64 0.0036 N 400562400.00 400562400.00 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 500100248.00 0.0045 N 500195500.00 500195500.00 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 664073626.75 0.0060 N 664493742.00 664493742.00 Dominion Resources, Inc. Dominion Resources, Inc., 0.38% 25746UBZ1 Other Note Second Tier Security 2015-06-22 2015-06-22 Y DOMINION RESOURCE INC VA NEW N/A N/A N N 330000000.00 330000000.00 0.0030 N 329948850.00 329948850.00 International Bank Reconstruction & Development International Bank Reconstruction & Development, 0.30% 45905U7C2 Other Note First Tier Security 2015-10-28 2015-10-28 N N N 412000000.00 412000000.00 0.0037 N 412229484.00 412229484.00 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 815946960.00 815946960.00 Svenska Handelsbanken AB Svenska Handelsbanken AB, 0.36% 86959JJQ2 Other Note First Tier Security 2015-06-15 2015-10-15 N N N 208000000.00 208000000.00 0.0019 N 207992096.00 207992096.00 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 2015-06-05 2015-06-05 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% 44T99LVP4 Other Instrument Time Deposits First Tier Security 2015-06-01 2015-06-01 N N N 1705000000.00 1705000000.00 0.0154 N 1705000000.00 1705000000.00 Credit Agricole CIB Credit Agricole CIB, 0.10% 44T99H5G2 Other Instrument Time Deposits First Tier Security 2015-06-01 2015-06-01 N N N 4059000000.00 4059000000.00 0.0366 N 4059000000.00 4059000000.00 ING Bank NV ING Bank NV, 0.14% 49K99HLV9 0001017255 Other Instrument Time Deposits First Tier Security 2015-06-05 2015-06-05 N N N 852000000.00 852000000.00 0.0077 N 852000000.00 852000000.00 Skandinaviska Enskilda Banken AB Skandinaviska Enskilda Banken AB, 0.11% 62C99UKL5 Other Instrument Time Deposits First Tier Security 2015-06-01 2015-06-01 N N N 2064000000.00 2064000000.00 0.0186 N 2064000000.00 2064000000.00 Swedbank AB Swedbank AB, 0.07% 44U996SM6 Other Instrument Time Deposits First Tier Security 2015-06-01 2015-06-01 N N N 1400000000.00 1400000000.00 0.0126 N 1400000000.00 1400000000.00 Barclays Capital, Inc. In a joint trading account with Barclays Capital, Inc. at 0.12%, dated 5/29/2015 due 06/01/2015 49J9986X4_06453 Government Agency Repurchase Agreement Y US TREASURY 2015-08-15 2026-08-15 0 - 6.75 Treasury Debt 2707235.08 2815301.99 Unrated Security 2015-06-01 2015-06-01 N N N 2760084.00 2760084.45 0.0000 N 2760084.45 2760084.45 BNP Paribas Securities Corp. In a joint trading account with BNP Paribas Securities Corp. at 0.12%, dated 5/29/2015 due 06/01/2015 49J9986X4_07629 Government Agency Repurchase Agreement Y US TREASURY 2015-07-23 2020-11-30 0 - 2.625 Treasury Debt 380136.41 387251.95 FEDERAL HOME LOAN MORTGAGE CORP 2017-04-01 2048-07-01 1.28 - 8.5 Government Agency Debt 10025141.73 2219716.98 FEDERAL NATIONAL MORTGAGE ASSOC 2015-11-01 2047-11-01 0 - 8 Government Agency Debt 13776246.10 5487783.14 GOVERNMENT NATIONAL MORTAGE ASSOC 2019-08-20 2065-05-20 1.5 - 7.5 Government Agency Debt 13102711.77 2480493.20 GINNIE MAE 2041-08-20 2041-10-20 3 - 3.5 Government Agency Debt 48265.81 32015.52 Unrated Security 2015-06-01 2015-06-01 N N N 10364605.00 10364605.27 0.0001 N 10364605.27 10364605.27 BNY Mellon Capital Markets LLC In a joint trading account with BNY Mellon Capital Markets LLC at 0.12%, dated 5/29/2015 due 06/01/2015 49J9986X4_08066 Government Agency Repurchase Agreement Y US TREASURY 2015-06-25 2042-11-15 0 - 8.75 Treasury Debt 289465.26 291892.91 FEDERAL FARM CREDIT 2015-06-02 2039-08-03 0 - 5 Government Agency Debt 154602.28 157468.57 FEDERAL HOME LOAN BANK 2015-06-12 2037-08-28 0 - 5.625 Government Agency Debt 1272417.71 1285150.96 FEDERAL HOME LOAN MORTGAGE CORP 2015-06-08 2045-05-01 0 - 7 Government Agency Debt 6140107.27 4713502.64 FEDERAL NATIONAL MORTGAGE ASSOC 2015-06-17 2045-06-01 0 - 7.5 Government Agency Debt 9955644.01 7322188.06 GOVERNMENT NATIONAL MORTAGE ASSOC 2015-11-20 2045-05-20 2 - 10 Government Agency Debt 4577309.55 3468499.12 Unrated Security 2015-06-01 2015-06-01 N N N 16898476.00 16898476.20 0.0002 N 16898476.20 16898476.20 Credit Agricole CIB New York Branch In a joint trading account with Credit Agricole CIB New York Branch at 0.12%, dated 5/29/2015 due 06/01/2015 49J9986X4_04361 Government Agency Repurchase Agreement Y US TREASURY 2015-06-25 2045-05-15 0 - 10.625 Treasury Debt 2867106.59 3050862.50 FEDERAL HOME LOAN MORTGAGE CORP 2042-10-01 2042-11-01 2.349 - 2.405 Government Agency Debt 78533.93 49099.23 FEDERAL NATIONAL MORTGAGE ASSOC 2019-01-01 2045-05-01 2.345 - 7 Government Agency Debt 1569207.90 695576.50 GOVERNMENT NATIONAL MORTAGE ASSOC 2018-02-20 2065-05-20 2 - 7.5 Government Agency Debt 856475.50 671808.52 Unrated Security 2015-06-01 2015-06-01 N N N 4374828.00 4374827.73 0.0000 N 4374827.73 4374827.73 HSBC Securities (USA), Inc. 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Morgan Clearing Corp. J.P. Morgan Clearing Corp., 0.78% 49B99BAS1 Other Repurchase Agreement N ALTRA HOLDINGS, INC. 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 4000.00 4816.99 STARWOOD WAYPOINT RESIDENTIAL 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 1049000.00 1083066.28 First Tier Security 2015-08-27 2015-08-27 Y JP MORGAN CLRING(NON GOV REPO) N/A N/A N N 1000000.00 1000000.00 0.0000 Y 1000450.00 1000450.00 J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp., 0.78% 49B99BAP7 Other Repurchase Agreement N AFFYMETRIX, INC. 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 3034000.00 6558157.87 AKORN INC 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 6368000.00 32780120.58 ALON USA ENERGY, INC. 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 1195600.00 1549930.41 AMERICAN RLTY CAP PPTYS INC 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 25213000.00 24580557.11 APOLLO COMMERCIAL REAL ESTATE 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 18092000.00 18530875.74 ARIAD PHARMACEUTICALS, INC. 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 1353000.00 1639444.98 ARRAY BIOPHARMA 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 4325000.00 5763347.95 BIOMARIN PHARMACEUTICAL, INC. 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 3188000.00 4752947.76 CHENIERE ENERGY INC 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 22479000.00 18112724.00 CLOVIS ONCOLOGY INC 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 11546000.00 19211481.77 DENDREON CORPORATION 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 4000000.00 2983124.00 ENFORTH, INC SERIES A CONVER 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 232000.00 245373.18 FOREST CITY ENTERPRISES 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 912000.00 1042180.70 HOLOGIC 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 1056000.00 1633912.90 ICONIX BRAND GROUP INC *- 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 8062000.00 8504442.56 LIBERTY INTERACTIVE LLC 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 38700000.00 62113500.00 LINKEDIN CORP 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 101000.00 100762.85 MEDICINES COMPANY (THE) CONV P 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 3141000.00 3414590.52 WTS MEDIVATION INC B 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 824000.00 2069687.77 MENTOR GRAPHICS CORP 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 3132000.00 4170430.26 MERITOR INCORPORATED 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 6000000.00 10014888.00 MERRIMACK PHARMACEUTICALS INC 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 4268000.00 9178654.10 OMNICARE, INC. 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 3262000.00 4735993.42 PALO ALTO NETWORKS INC 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 18342000.00 29267412.30 RTI INTERNATIONAL META 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 6093000.00 7121687.28 RAMBUS INC. 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 18026000.00 24191450.81 SOLAZYME INC 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 2463000.00 1538963.68 SPANSION LLC 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 820000.00 2060587.02 SPIRIT RLTY CAP INC NEW 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 33278000.00 32660533.35 SYNERGY PHARMACEUTICALS INC.ON 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 4926000.00 7282209.25 TAKE-2 INTERACTIVE SOFTWARE 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 8125000.00 12119664.38 TESARO INC 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 5038000.00 8831442.71 TESLA MOTORS, INC. 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 12000.00 24636.70 THERAVANCE, INC 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 3868000.00 3512020.22 TRULIA INC 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 6136000.00 8351372.12 VECTOR GROUP LTD 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 14297000.00 20060478.13 VERISIGN, INC. 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 4037000.00 7804647.32 WABASH NATIONAL CORPORATION 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 6109000.00 8473598.41 XPO LOGISTICS INC 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 4030000.00 12462271.25 First Tier Security 2015-08-27 2015-08-27 Y JP MORGAN CLRING(NON GOV REPO) N/A N/A N N 395000000.00 395000000.00 0.0036 Y 395000000.00 395000000.00 J.P. Morgan Securities, LLC J.P. Morgan Securities, LLC, 0.16% 48W99W9D9 0001287279 Other Repurchase Agreement N FEDERAL HOME LOAN MORTGAGE CORP 2018-08-01 2045-06-01 2.5 - 10 Government Agency Debt 253106493.00 79541218.18 FEDERAL NATIONAL MORTGAGE ASSOC 2019-09-25 2045-05-25 0.329 - 6.315 Government Agency Debt 1617171723.00 84223143.52 GOVERNMENT NATIONAL MORTAGE ASSOC 2039-11-20 2056-12-16 0 - 6.516 Government Agency Debt 685727583.00 172740303.30 RESOLUTION FUNDING CORP 2020-04-15 2030-01-15 N/A Government Agency Debt 14515000.00 11075995.75 WHEELS, INC. 2015-06-10 2015-06-10 N/A Other Commercial Paper 28302000.00 28300807.34 First Tier Security 2015-06-01 2015-06-01 N N N 367000000.00 367000000.00 0.0033 N 367000000.00 367000000.00 J.P. Morgan Securities, LLC J.P. Morgan Securities, LLC, 0.25% 48W99W9A5 0001287279 Other Repurchase Agreement N FEDERAL HOME LOAN MORTGAGE CORP 2032-03-15 2052-12-15 0.549 - 13.183 Government Agency Debt 321696794.00 54723087.40 FEDERAL NATIONAL MORTGAGE ASSOC 2026-11-25 2045-01-25 4.705 - 53.017 Government Agency Debt 2309414667.00 240153190.90 GOVERNMENT NATIONAL MORTAGE ASSOC 2028-07-16 2055-11-16 0.642 - 29.652 Government Agency Debt 1357578760.00 149060263.94 First Tier Security 2015-06-03 2015-06-03 N N N 431000000.00 431000000.00 0.0039 N 431001077.50 431001077.50 J.P. Morgan Securities, LLC J.P. Morgan Securities, LLC, 0.78% 48W99W8P3 0001287279 Other Repurchase Agreement N 51-100 2018-11-15 2051-02-10 0 - 111.744 Other Instrument MORTGAGE 5660643380.00 609318007.56 First Tier Security 2015-08-27 2015-08-27 Y JPMORGAN SECS (NON GOV REPO) N/A N/A N N 564000000.00 564000000.00 0.0051 Y 564225600.00 564225600.00 J.P. Morgan Securities, LLC J.P. Morgan Securities, LLC, 0.78% 48W99W9C1 0001287279 Other Repurchase Agreement N BEAR STEARNS MORTGAGE FUNDING 2036-09-25 2036-09-25 0.385 - 0.385 Other Instrument GOVERNMENT AGENCY 174783000.00 59899062.09 INDYMAC INDX MORTGAGE LOAN TRU 2035-07-25 2035-07-25 2.44 - 2.44 Other Instrument GOVERNMENT AGENCY 21291000.00 3538340.15 JP MORGAN CHASE COMMERCIAL MOR 2049-06-15 2049-06-15 5.774 - 5.774 Other Instrument GOVERNMENT AGENCY 85595000.00 58607407.73 First Tier Security 2015-08-27 2015-08-27 Y JPMORGAN SECS (NON GOV REPO) N/A N/A N N 113000000.00 113000000.00 0.0010 Y 113050850.00 113050850.00 J.P. Morgan Securities, LLC J.P. Morgan Securities, LLC, 0.78% 48W99W8M0 0001287279 Other Repurchase Agreement N ARES CAPITAL CORPORATION 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 572000.00 597025.00 BAC CAPITAL TRUST XIV 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 2005000.00 1624025.94 BANK OF AMERICA CORPORATION 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 32419000.00 34589354.79 BURLINGTON STORES INC 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 463201.00 24855365.66 AI CHS/COMMUNITY HEALTH SYSTEM 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 16538000.00 17951717.85 CABLEVISION SYSTEMS CORPORATIO 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 12296000.00 14268499.73 CITIGROUP, INC. 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 4105000.00 4132548.66 FELCOR LODGING LIMITED PARTNER 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 15705000.00 16420362.75 FIDELITY NATIONAL TITLE GROUP 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 560000.00 1172917.20 GOLDMAN SACHS CAPITAL III 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 4127000.00 3184021.77 GRUPO TELEVISA DE C.V. 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 519978.00 19831960.92 K. HOVNANIAN ENTERPRISES, INC. 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 27324000.00 28801190.09 JARDEN CORPORATION 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 1299.00 1898.56 LENNAR CORPORATION 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 1751000.00 3657583.35 M.D.C. HOLDINGS, INC. 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 3000000.00 3243279.00 MELLON CAPITAL IV 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 863000.00 718954.94 NATIONSTAR MORTGAGE LLC 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 15456000.00 16363766.89 NES RENTAL HOLDINGS INC 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 10816000.00 11209085.89 PETCO HLDGS INC 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 14268000.00 14901142.50 REALOGY CORPORATION 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 4018000.00 4500160.00 RECKSON OPERATING PARTNERSHIP, 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 2186000.00 2293623.34 SPRINT NEXTEL 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 10000000.00 11321620.00 TOYS R US, INC. 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 7856000.00 7151002.56 TWENTY-FIRST CENTY FOX INC 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 552532.00 18659005.64 USB CAPITAL IX 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 3086000.00 2591005.60 VIASYSTEMS, INC. 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 10826000.00 11571294.32 WACHOVIA CAPTIAL TRUST III 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 378000.00 375618.60 WELLS FARGO & COMPANY 2015-05-31 2015-05-31 N/A Other Instrument OTHER NOTE 5000.00 5392.38 First Tier Security 2015-08-27 2015-08-27 Y JPMORGAN SECS (NON GOV REPO) N/A N/A N N 254000000.00 254000000.00 0.0023 Y 254101600.00 254101600.00 J.P. Morgan Securities, LLC J.P. Morgan Securities, LLC, 0.78% 48W99W8C2 0001287279 Other Repurchase Agreement N 51-100 2029-04-25 2051-02-15 0 - 48.018 Other Instrument MORTGAGE 3617026971.00 551074839.70 First Tier Security 2015-08-27 2015-08-27 Y JPMORGAN SECS (NON GOV REPO) N/A N/A N N 510000000.00 510000000.00 0.0046 Y 510183600.00 510183600.00 Merrill Lynch, Pierce, Fenner & Smith Merrill Lynch, Pierce, Fenner & Smith, 0.21% 49A9916A8 0000728612 Other Repurchase Agreement N 101-500 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 31131997.00 540009533.36 First Tier Security 2015-06-01 2015-06-01 N N N 500000000.00 500000000.00 0.0045 N 500000000.00 500000000.00 Merrill Lynch, Pierce, Fenner & Smith Merrill Lynch, Pierce, Fenner & Smith, 0.28% 49A9915T8 0000728612 Other Repurchase Agreement N FEDERAL HOME LOAN MORTGAGE CORP 2020-04-15 2053-04-15 0 - 32.342 Government Agency Debt 3728902069.00 133913774.06 FEDERAL NATIONAL MORTGAGE ASSOC 2021-06-25 2045-05-25 0 - 20.203 Government Agency Debt 4125949456.00 175459056.35 GOVERNMENT NATIONAL MORTAGE ASSOC 2025-12-16 2065-04-20 0 - 9.076 Government Agency Debt 12354072821.00 263324986.41 First Tier Security 2015-06-04 2015-06-04 N N N 556000000.00 556000000.00 0.0050 N 556003836.40 556003836.40 Merrill Lynch, Pierce, Fenner & Smith Merrill Lynch, Pierce, Fenner & Smith, 0.56% 49A9915W1 0000728612 Other Repurchase Agreement N 101-500 2019-09-20 2051-03-12 0 - 6.5 Other Instrument MORTGAGE 3035125224.00 871600673.05 First Tier Security 2015-06-01 2015-06-01 N N N 807000000.00 807000000.00 0.0073 N 807000000.00 807000000.00 Merrill Lynch, Pierce, Fenner & Smith Merrill Lynch, Pierce, Fenner & Smith, 0.81% 49A9913E3 0000728612 Other Repurchase Agreement N MORE THAN 1000 2015-06-15 2099-12-31 0 - 12.5 Other Instrument CORPORATE 97802030.25 583381978.62 First Tier Security 2015-08-05 2015-08-05 N N N 540000000.00 540000000.00 0.0049 Y 540518400.00 540518400.00 Merrill Lynch, Pierce, Fenner & Smith Merrill Lynch, Pierce, Fenner & Smith, 0.87% 49A9912W4 0000728612 Other Repurchase Agreement N AIRPLANES PASS THRU TR 2019-03-15 2019-03-15 N/A Other Instrument ASSET BACKED 57394000.00 13359245.36 BHMS MORTGAGE TRUST 2033-07-08 2033-07-08 4.181 - 4.181 Other Instrument MORTGAGE 12305272.00 12332089.29 BEAR STEARNS ASSET BACKED SECURITIES TRUST 2035-11-25 2035-11-25 0.881 - 0.881 Other Instrument ASSET BACKED 18000000.00 12371722.50 BEAR STEARNS ARM TRUST 2035-06-25 2035-06-25 2.534 - 2.534 Other Instrument MORTGAGE 65000000.00 13342939.58 CIT MORTGAGE LOAN TRUST 2037-10-25 2037-10-25 1.931 - 1.931 Other Instrument ASSET BACKED 20202242.00 12129309.51 COUNTRYWIDE HOME EQUITY LOAN TRUST 2035-08-25 2035-08-25 0.855 - 0.855 Other Instrument ASSET BACKED 18000000.00 14368096.50 CITIGROUP MORTGAGE LOAN TRUST 2037-05-25 2037-05-25 0.455 - 0.455 Other Instrument ASSET BACKED 23721521.00 14112941.67 COMM 2049-12-10 2049-12-10 5.989 - 5.989 Other Instrument MORTGAGE 13010694.00 12920892.75 GCCFC COMMERCIAL PASS-THROUGH CERTIFICATES 2039-03-10 2039-03-10 5.505 - 5.505 Other Instrument MORTGAGE 12818810.00 12543826.23 CUTWATER 2026-07-15 2026-07-15 5.525 - 5.525 Other Instrument ASSET BACKED 16800000.00 14929876.82 COUNTRYWIDE HOME EQUITY LOAN TRUST 2035-02-25 2035-02-25 0.415 - 0.415 Other Instrument ASSET BACKED 24200000.00 13433615.62 FIRST FRANKLIN MORTGAGE LOAN TRUST ABS CERTIFICATES 2036-10-25 2036-10-25 0.425 - 0.425 Other Instrument ASSET BACKED 17800000.00 12859568.73 GRANT GROVE CLO 2021-01-25 2021-01-25 1.777 - 1.777 Other Instrument ASSET BACKED 14250000.00 13428053.67 JP MORGAN MORTGAGE ACQUISITION CORP 2035-06-25 2035-06-25 0.805 - 0.805 Other Instrument ASSET BACKED 22182000.00 12765977.88 JP MORGAN MORTGAGE ACQUISITION CORP 2036-07-25 2036-07-25 0.455 - 0.455 Other Instrument ASSET BACKED 18000000.00 13062242.50 LB-UBS COMMERCIAL MORTGAGE TRUST 2040-02-15 2040-02-15 5.563 - 5.563 Other Instrument MORTGAGE 12500000.00 12410029.86 LEHMAN XS TRUST 2036-05-25 2036-05-25 0.465 - 0.465 Other Instrument MORTGAGE 28812000.00 13332043.63 ML-CFC COMMERCIAL MORTGAGE TRUST 2050-06-12 2050-06-12 5.902 - 5.902 Other Instrument MORTGAGE 12431642.00 12834811.91 MERRILL LYNCH HOME EQUITY LOAN TRUST 2037-07-25 2037-07-25 0.355 - 0.355 Other Instrument ASSET BACKED 30000000.00 14651540.69 MERRILL LYNCH HOME EQUITY LOAN TRUST 2037-07-25 2037-07-25 0.335 - 0.335 Other Instrument ASSET BACKED 36430473.00 13302966.81 MORGAN STANLEY ABS 2036-11-25 2036-11-25 0.415 - 0.415 Other Instrument ASSET BACKED 23500000.00 13464347.37 MORTGAGE EQUITY CONVERSION ASSET TRUST 2060-07-25 2060-07-25 N/A Other Instrument ASSET BACKED 314600.00 155666.03 NATIONAL COLLEGIATE TRUST 2030-07-25 2030-07-25 0.421 - 0.421 Other Instrument ASSET BACKED 16012457.00 14354097.98 PARK PLACE ASSET-BACKED PASS-THROUGH CERTIFICATES 2035-06-25 2035-06-25 1.19 - 1.19 Other Instrument ASSET BACKED 17898580.00 14017921.38 PREFERRED TERM SECURITIES 2035-12-22 2035-12-22 0.871 - 0.871 Other Instrument ASSET BACKED 23527843.00 13398714.66 RBSSP RESECURITIZATION TRUST 2035-11-21 2035-11-21 N/A Other Instrument MORTGAGE 19174301.00 14030787.26 RBSSP RESECURITIZATION TRUST 2036-01-26 2036-01-26 5.161 - 5.161 Other Instrument MORTGAGE 15000000.00 12563524.18 SPRINGLEAF MTG LN TR 2013-1 2058-06-25 2058-06-25 N/A Other Instrument MORTGAGE 13000000.00 13413374.00 SASCO MORTGAGE LOAN TRUST 2037-10-25 2037-10-25 0.405 - 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Mizuho Securities U.S.A., Inc., 1.03% 48Y998YA8 Other Repurchase Agreement N ACE SECURITIES CORP HOME EQUITY LOAN TRUST 2035-12-25 2035-12-25 0.615 - 0.615 Other Instrument ASSET BACKED 2421248.00 545344.19 ACE SECURITIES CORP HOME EQUITY LOAN TRUST 2036-12-25 2036-12-25 0.305 - 0.305 Other Instrument ASSET BACKED 22399200.00 2221824.86 ADJUSTABLE RATE MORTGAGE TRUST 2035-06-25 2035-06-25 1.535 - 1.535 Other Instrument MORTGAGE 3660000.00 2075636.50 CWALT ALTERNATIVE LOAN TRUST 2037-09-25 2037-09-25 6.25 - 6.25 Other Instrument MORTGAGE 653000.00 439562.78 AMERIQUEST MORTGAGE SECURITIES ASSET-BACKED PTC 2034-09-25 2036-04-25 0.675 - 1.985 Other Instrument ASSET BACKED 11500000.00 751405.86 ASSET BACKED SECURITIES CORPORATION HOME EQUITY LOAN TRUST 2035-02-25 2035-02-25 1.411 - 1.411 Other Instrument ASSET BACKED 4746000.00 485774.89 ABFC ASSET BACKED FUNDING CORPORATION 2035-03-25 2035-03-25 1.19 - 1.19 Other Instrument ASSET BACKED 4000000.00 524915.91 BANC OF AMERICA MORTGAGE SECURITIES 2035-10-25 2035-10-25 2.687 - 2.687 Other Instrument MORTGAGE 11712629.00 6322172.10 BEAR STEARNS ASSET BACKED SECURITIES TRUST 2037-05-25 2037-05-25 0.565 - 0.565 Other Instrument ASSET BACKED 11000000.00 1725456.65 COUNTRYWIDE HOME EQUITY LOAN TRUST 2036-02-25 2036-02-25 0.675 - 0.675 Other Instrument ASSET BACKED 19000000.00 4088286.54 CWALT ALTERNATIVE LOAN TRUST 2034-06-25 2034-06-25 0.685 - 0.685 Other Instrument MORTGAGE 15766000.00 8707828.09 COMM 2046-12-10 2046-12-10 5.377 - 5.377 Other Instrument MORTGAGE 5000000.00 5090834.30 ELLINGTON LOAN ACQUISITION TRUST 2037-05-25 2037-05-25 1.885 - 1.885 Other Instrument ASSET BACKED 7500000.00 758965.63 FIRST FRANKLIN MORTGAGE LOAN TRUST ABS CERTIFICATES 2034-07-25 2035-07-25 0.815 - 2.06 Other Instrument ASSET BACKED 24831000.00 2625153.11 FREMONT HOME LOAN OWNER TRUST 2034-11-25 2034-11-25 1.76 - 1.76 Other Instrument ASSET BACKED 10000000.00 669023.74 GSAMP 2034-05-25 2034-05-25 1.91 - 1.91 Other Instrument ASSET BACKED 4150000.00 610019.69 RAST (RESIDENTIAL ASSET SECURITIZATION TRUST) 2035-04-25 2035-04-25 5.5 - 5.5 Other Instrument ASSET BACKED 2500000.00 462106.37 JP MORGAN MORTGAGE TRUST 2035-08-25 2035-08-25 2.539 - 2.539 Other Instrument MORTGAGE 970000.00 761564.13 JP MORGAN MORTGAGE ACQUISITION CORP 2035-09-25 2035-10-25 0.635 - 0.815 Other Instrument ASSET BACKED 12112000.00 397855.15 MORGAN STANLEY ABS 2037-05-25 2037-05-25 0.245 - 0.245 Other Instrument ASSET BACKED 119895350.00 5391122.69 NOVASTAR MORTGAGE FUNDING TRUST 2037-01-25 2037-01-25 0.285 - 0.285 Other Instrument ASSET BACKED 20248000.00 3398284.35 NOVASTAR MORTGAGE FUNDING TRUST 2036-11-25 2036-11-25 0.305 - 0.305 Other Instrument ASSET BACKED 104500000.00 12573174.57 RAMP 2036-07-25 2036-07-25 0.565 - 0.565 Other Instrument ASSET BACKED 8072000.00 1504041.84 RASC 2033-12-25 2034-04-25 1.76 - 5.57 Other Instrument ASSET BACKED 23750000.00 3586007.78 SAXON ASSET SECURITIES TRUST 2035-05-25 2035-05-25 1.355 - 1.355 Other Instrument ASSET BACKED 4000000.00 342422.70 STRUCTURED ASSET INVESTMENT LOAN TRUST 2036-05-25 2036-05-25 0.445 - 0.445 Other Instrument ASSET BACKED 14242500.00 2572244.16 STRUCTURED ASSET INVESTMENT LOAN TRUST 2036-07-25 2036-07-25 0.495 - 0.495 Other Instrument ASSET BACKED 40650000.00 8403370.12 WELLS FARGO MORTGAGE BACKED SECURITIES TRUST 2035-06-25 2035-06-25 2.649 - 2.649 Other Instrument MORTGAGE 18588000.00 12674848.29 First Tier Security 2015-09-02 2015-09-02 N N N 83000000.00 83000000.00 0.0007 Y 83037350.00 83037350.00 RBC Capital Markets Co. 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