N-MFP2 0000035315 XXXXXXXX 2016-11-30 0000035315 5493002EBMWB875CR416 S000053607 2 N N 002-41839 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 Exempt Government N 46 74 2359941103.22 2320097275.39 2359005047.73 2291660599.28 3932648013.24 3852179820.48 3892653574.34 3810298328.30 0.4100 0.3900 0.4000 0.3900 0.6800 0.6600 0.6700 0.6600 0.00 5764646073.06 5764177620.15 4382296.86 39320803.44 5729239113.57 5729234950.07 1.0000 0.0045 1.0002 1.0002 1.0001 1.0001 C000168450 1.00 2676043902.38 2676043304.62 1.0002 1.0002 1.0001 1.0001 4131676.77 14612742.39 3687515.45 7255524.76 1028889.87 3792721.79 5541643.66 1589788.09 14643606.25 31245011.72 0.0031 Y Fidelity Investments, Reimbursement Fees, -122205.14; C000168451 1.00 3053195211.19 3053191645.45 1.0002 1.0002 1.0001 1.0001 8607627.56 13002881.92 5442279.39 4453989.21 3057196.53 6233865.66 3428094.78 3291201.81 21490783.15 28147447.12 0.0031 Y Fidelity Investments, Reimbursement Fees, -62647.93; Fannie Mae Fannie Mae, 0.51% 3135G0GY3 B1V7KEBTPIMZEU4LTD58 US3135G0GY31 0000310522 U.S. Government Agency Debt Y N/A N/A 2017-01-30 2017-01-30 2017-01-30 N N N 0.0051 5006540.00 5006540.00 0.0009 N N N N Fannie Mae Fannie Mae, 0.85% 3135G0M34 B1V7KEBTPIMZEU4LTD58 US3135G0M349 0000310522 U.S. Government Agency Debt Y N/A N/A 2017-01-11 2018-01-11 2018-01-11 N N N 0.0085 25077625.00 25077625.00 0.0044 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.28% to 0.50% 313384T33 US313384T338 U.S. Government Agency Debt Y N/A N/A 2016-12-14 2016-12-14 2016-12-14 N N N 0.0050 87993928.00 87993928.00 0.0154 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.29% to 0.30% 313384V30 US313384V300 U.S. Government Agency Debt Y N/A N/A 2016-12-30 2016-12-30 2016-12-30 N N N 0.0030 81987454.00 81987454.00 0.0143 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.30% 313384R68 US313384R688 U.S. Government Agency Debt Y N/A N/A 2016-12-01 2016-12-01 2016-12-01 N N N 0.0030 50000000.00 50000000.00 0.0087 N Y Y N Federal Home Loan Bank Federal Home Loan Bank, 0.30% 313384S26 US313384S264 U.S. Government Agency Debt Y N/A N/A 2016-12-05 2016-12-05 2016-12-05 N N N 0.0030 49998950.00 49998950.00 0.0087 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.30% 313384S67 US313384S678 U.S. Government Agency Debt Y N/A N/A 2016-12-09 2016-12-09 2016-12-09 N N N 0.0030 49997900.00 49997900.00 0.0087 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.32% to 0.50% 313384U23 US313384U237 U.S. Government Agency Debt Y N/A N/A 2016-12-21 2016-12-21 2016-12-21 N N N 0.0050 90990354.00 90990354.00 0.0159 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.35% 313384S42 US313384S421 U.S. Government Agency Debt Y N/A N/A 2016-12-07 2016-12-07 2016-12-07 N N N 0.0035 74997600.00 74997600.00 0.0131 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.35% 313385AT3 US313385AT33 U.S. Government Agency Debt Y N/A N/A 2017-01-18 2017-01-18 2017-01-18 N N N 0.0035 49976650.00 49976650.00 0.0087 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.35% 313385AV8 US313385AV88 U.S. Government Agency Debt Y N/A N/A 2017-01-20 2017-01-20 2017-01-20 N N N 0.0035 99951400.00 99951400.00 0.0174 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.36% 313385AN6 US313385AN62 U.S. Government Agency Debt Y N/A N/A 2017-01-13 2017-01-13 2017-01-13 N N N 0.0036 74968650.00 74968650.00 0.0131 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.36% 313385BA3 US313385BA33 U.S. Government Agency Debt Y N/A N/A 2017-01-25 2017-01-25 2017-01-25 N N N 0.0036 74959875.00 74959875.00 0.0131 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.36% 313385BC9 US313385BC98 U.S. Government Agency Debt Y N/A N/A 2017-01-27 2017-01-27 2017-01-27 N N N 0.0036 74958450.00 74958450.00 0.0131 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.37% 313385AL0 US313385AL07 U.S. Government Agency Debt Y N/A N/A 2017-01-11 2017-01-11 2017-01-11 N N N 0.0037 74970075.00 74970075.00 0.0131 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.38% 313385AD8 US313385AD80 U.S. Government Agency Debt Y N/A N/A 2017-01-04 2017-01-04 2017-01-04 N N N 0.0038 54981795.00 54981795.00 0.0096 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.42% 313385BK1 US313385BK15 U.S. Government Agency Debt Y N/A N/A 2017-02-03 2017-02-03 2017-02-03 N N N 0.0042 109910020.00 109910020.00 0.0192 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.45% 3130A9KW0 US3130A9KW08 0001026214 U.S. Government Agency Debt Y N/A N/A 2016-12-22 2017-03-22 2017-03-22 N N N 0.0045 16997943.00 16997943.00 0.0030 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.45% to 0.48% 313385BS4 US313385BS41 U.S. Government Agency Debt Y N/A N/A 2017-02-10 2017-02-10 2017-02-10 N N N 0.0048 104904765.00 104904765.00 0.0183 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.46% 313385BQ8 US313385BQ84 U.S. Government Agency Debt Y N/A N/A 2017-02-08 2017-02-08 2017-02-08 N N N 0.0046 23978832.00 23978832.00 0.0042 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.47% 313384T58 US313384T585 U.S. Government Agency Debt Y N/A N/A 2016-12-16 2016-12-16 2016-12-16 N N N 0.0047 49996050.00 49996050.00 0.0087 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.48% to 0.50% 313385BZ8 US313385BZ83 U.S. Government Agency Debt Y N/A N/A 2017-02-17 2017-02-17 2017-02-17 N N N 0.0050 55944168.00 55944168.00 0.0098 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.49% 3130AA7G7 US3130AA7G78 0001026214 U.S. Government Agency Debt Y N/A N/A 2016-12-23 2017-05-23 2017-05-23 N N N 0.0049 9000432.00 9000432.00 0.0016 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.49% 313385BB1 US313385BB16 U.S. Government Agency Debt Y N/A N/A 2017-01-26 2017-01-26 2017-01-26 N N N 0.0049 3498096.00 3498096.00 0.0006 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.49% 313385BF2 US313385BF20 U.S. Government Agency Debt Y N/A N/A 2017-01-30 2017-01-30 2017-01-30 N N N 0.0049 49970850.00 49970850.00 0.0087 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.50% 3130AAAW8 US3130AAAW88 0001026214 U.S. Government Agency Debt Y N/A N/A 2016-12-23 2017-08-23 2017-08-23 N N N 0.0050 999927.00 999927.00 0.0002 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.50% 3130A8NM1 US3130A8NM16 0001026214 U.S. Government Agency Debt Y N/A N/A 2017-01-06 2017-01-06 2017-01-06 N N N 0.0050 4000224.00 4000224.00 0.0007 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.50% 3130A8RN5 US3130A8RN52 0001026214 U.S. Government Agency Debt Y N/A N/A 2017-01-18 2017-01-18 2017-01-18 N N N 0.0050 49999600.00 49999600.00 0.0087 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.50% to 0.53% 313385CG9 US313385CG93 U.S. Government Agency Debt Y N/A N/A 2017-02-24 2017-02-24 2017-02-24 N N N 0.0053 106883798.00 106883798.00 0.0187 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.51% 3130A8KK8 US3130A8KK86 0001026214 U.S. Government Agency Debt Y N/A N/A 2016-12-22 2016-12-22 2016-12-22 N N N 0.0051 50003450.00 50003450.00 0.0087 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.51% 313384U49 US313384U492 U.S. Government Agency Debt Y N/A N/A 2016-12-23 2016-12-23 2016-12-23 N N N 0.0051 49994200.00 49994200.00 0.0087 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.51% 3130A9KA8 US3130A9KA87 0001026214 U.S. Government Agency Debt Y N/A N/A 2016-12-30 2017-06-30 2017-06-30 N N N 0.0051 7998208.00 7998208.00 0.0014 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.52% 3130A9L41 US3130A9L418 0001026214 U.S. Government Agency Debt Y N/A N/A 2016-12-23 2017-06-23 2017-06-23 N N N 0.0052 4998745.00 4998745.00 0.0009 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.52% 3130A9L66 US3130A9L665 0001026214 U.S. Government Agency Debt Y N/A N/A 2016-12-23 2017-06-23 2017-06-23 N N N 0.0052 1999498.00 1999498.00 0.0003 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.52% 3130AAB31 US3130AAB310 0001026214 U.S. Government Agency Debt Y N/A N/A 2016-12-28 2017-08-28 2017-08-28 N N N 0.0052 7999112.00 7999112.00 0.0014 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.52% 313385CE4 US313385CE46 U.S. Government Agency Debt Y N/A N/A 2017-02-22 2017-02-22 2017-02-22 N N N 0.0052 74920425.00 74920425.00 0.0131 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.53% 3130A9CY5 US3130A9CY55 0001026214 U.S. Government Agency Debt Y N/A N/A 2016-12-01 2017-06-01 2017-06-01 N N N 0.0053 22499640.00 22499640.00 0.0039 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.53% 3130A8DZ3 US3130A8DZ39 0001026214 U.S. Government Agency Debt Y N/A N/A 2016-12-05 2016-12-05 2016-12-05 N N N 0.0053 10000130.00 10000130.00 0.0017 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.53% 3130A8E33 US3130A8E332 0001026214 U.S. Government Agency Debt Y N/A N/A 2016-12-06 2016-12-06 2016-12-06 N N N 0.0053 10000160.00 10000160.00 0.0017 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.53% 3130A8DD2 US3130A8DD27 0001026214 U.S. Government Agency Debt Y N/A N/A 2016-12-06 2016-12-06 2016-12-06 N N N 0.0053 5000080.00 5000080.00 0.0009 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.53% 3130AACC0 US3130AACC07 0001026214 U.S. Government Agency Debt Y N/A N/A 2017-01-01 2017-09-01 2017-09-01 N N N 0.0053 11999100.00 11999100.00 0.0021 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.53% 313385BX3 US313385BX36 U.S. Government Agency Debt Y N/A N/A 2017-02-15 2017-02-15 2017-02-15 N N N 0.0053 74927175.00 74927175.00 0.0131 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.53% 313385CK0 US313385CK06 U.S. Government Agency Debt Y N/A N/A 2017-02-27 2017-02-27 2017-02-27 N N N 0.0053 19977520.00 19977520.00 0.0035 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.53% 313385CL8 US313385CL88 U.S. Government Agency Debt Y N/A N/A 2017-02-28 2017-02-28 2017-02-28 N N N 0.0053 5993178.00 5993178.00 0.0010 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.53% 313385CM6 US313385CM61 U.S. Government Agency Debt Y N/A N/A 2017-03-01 2017-03-01 2017-03-01 N N N 0.0053 54928500.00 54928500.00 0.0096 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.53% 313385CS3 US313385CS32 U.S. Government Agency Debt Y N/A N/A 2017-03-06 2017-03-06 2017-03-06 N N N 0.0053 6990396.00 6990396.00 0.0012 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.54% 3130A8CF8 US3130A8CF83 0001026214 U.S. Government Agency Debt Y N/A N/A 2016-12-02 2017-03-01 2017-03-01 N N N 0.0054 25006075.00 25006075.00 0.0044 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.54% 3130A9K91 US3130A9K915 0001026214 U.S. Government Agency Debt Y N/A N/A 2016-12-22 2017-06-22 2017-06-22 N N N 0.0054 7998464.00 7998464.00 0.0014 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.54% 3130A3RN6 US3130A3RN65 0001026214 U.S. Government Agency Debt Y N/A N/A 2017-02-01 2017-02-01 2017-02-01 N N N 0.0054 18183706.26 18183706.26 0.0032 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.55% 3130A8D83 US3130A8D839 0001026214 U.S. Government Agency Debt Y N/A N/A 2016-12-02 2017-03-02 2017-03-02 N N N 0.0055 10002760.00 10002760.00 0.0017 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.55% 3130A8D91 US3130A8D912 0001026214 U.S. Government Agency Debt Y N/A N/A 2016-12-02 2017-03-02 2017-03-02 N N N 0.0055 5001380.00 5001380.00 0.0009 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.55% 3130A8ET6 US3130A8ET69 0001026214 U.S. Government Agency Debt Y N/A N/A 2016-12-06 2017-03-06 2017-03-06 N N N 0.0055 9002547.00 9002547.00 0.0016 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.55% 3130A9FH9 US3130A9FH95 0001026214 U.S. Government Agency Debt Y N/A N/A 2016-12-12 2017-06-12 2017-06-12 N N N 0.0055 9000045.00 9000045.00 0.0016 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.55% 3130A9GK1 US3130A9GK16 0001026214 U.S. Government Agency Debt Y N/A N/A 2016-12-13 2017-06-13 2017-06-13 N N N 0.0055 9000018.00 9000018.00 0.0016 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.55% 3130AABP2 US3130AABP29 0001026214 U.S. Government Agency Debt Y N/A N/A 2016-12-28 2017-11-28 2017-11-28 N N N 0.0055 3999504.00 3999504.00 0.0007 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.56% 3130AAC30 US3130AAC300 0001026214 U.S. Government Agency Debt Y N/A N/A 2017-01-01 2017-12-01 2017-12-01 N N N 0.0056 7998568.00 7998568.00 0.0014 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.56% 3130AAC97 US3130AAC979 0001026214 U.S. Government Agency Debt Y N/A N/A 2017-01-05 2017-12-05 2017-12-05 N N N 0.0056 7999208.00 7999208.00 0.0014 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.58% 3130A9DE8 US3130A9DE82 0001026214 U.S. Government Agency Debt Y N/A N/A 2016-12-06 2017-09-06 2017-09-06 N N N 0.0058 3000093.00 3000093.00 0.0005 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.58% 3130A9E31 US3130A9E314 0001026214 U.S. Government Agency Debt Y N/A N/A 2016-12-07 2017-09-07 2017-09-07 N N N 0.0058 6999944.00 6999944.00 0.0012 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.58% 3130A9D99 US3130A9D993 0001026214 U.S. Government Agency Debt Y N/A N/A 2016-12-11 2017-09-11 2017-09-11 N N N 0.0058 4000108.00 4000108.00 0.0007 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.59% 3130A9B67 US3130A9B674 0001026214 U.S. Government Agency Debt Y N/A N/A 2016-12-01 2017-09-01 2017-09-01 N N N 0.0059 9000639.00 9000639.00 0.0016 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.59% 3130A9FA4 US3130A9FA43 0001026214 U.S. Government Agency Debt Y N/A N/A 2016-12-15 2017-09-15 2017-09-15 N N N 0.0059 74998800.00 74998800.00 0.0131 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.59% 3130A9L25 US3130A9L251 0001026214 U.S. Government Agency Debt Y N/A N/A 2017-01-02 2017-10-02 2017-10-02 N N N 0.0059 16998028.00 16998028.00 0.0030 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.60% 3130A96S5 US3130A96S59 0001026214 U.S. Government Agency Debt Y N/A N/A 2016-12-01 2017-09-01 2017-09-01 N N N 0.0060 5000730.00 5000730.00 0.0009 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.60% 3130A9A50 US3130A9A502 0001026214 U.S. Government Agency Debt Y N/A N/A 2016-12-06 2017-09-06 2017-09-06 N N N 0.0060 1000145.00 1000145.00 0.0002 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.60% 3130A9K75 US3130A9K758 0001026214 U.S. Government Agency Debt Y N/A N/A 2016-12-22 2017-09-22 2017-09-22 N N N 0.0060 3999588.00 3999588.00 0.0007 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.61% 3130A9K67 US3130A9K675 0001026214 U.S. Government Agency Debt Y N/A N/A 2017-01-26 2017-10-26 2017-10-26 N N N 0.0061 3999408.00 3999408.00 0.0007 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.63% 3130A8YW7 US3130A8YW78 0001026214 U.S. Government Agency Debt Y N/A N/A 2017-02-09 2017-05-09 2017-05-09 N N N 0.0063 14003472.00 14003472.00 0.0024 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.64% 3130AAAK4 US3130AAAK41 0001026214 U.S. Government Agency Debt Y N/A N/A 2017-02-23 2017-08-23 2017-08-23 N N N 0.0064 7998832.00 7998832.00 0.0014 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.65% 313385FY7 US313385FY72 U.S. Government Agency Debt Y N/A N/A 2017-05-23 2017-05-23 2017-05-23 N N N 0.0065 8976645.00 8976645.00 0.0016 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.66% 3130A8WK5 US3130A8WK58 0001026214 U.S. Government Agency Debt Y N/A N/A 2016-12-02 2017-06-02 2017-06-02 N N N 0.0066 4002532.00 4002532.00 0.0007 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.66% 3130A8WL3 US3130A8WL32 0001026214 U.S. Government Agency Debt Y N/A N/A 2017-01-29 2017-06-01 2017-06-01 N N N 0.0066 8005064.00 8005064.00 0.0014 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.66% 3130A8WG4 US3130A8WG47 0001026214 U.S. Government Agency Debt Y N/A N/A 2017-02-01 2017-06-01 2017-06-01 N N N 0.0066 17010761.00 17010761.00 0.0030 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.69% 3130A94V0 US3130A94V07 0001026214 U.S. Government Agency Debt Y N/A N/A 2017-02-19 2017-08-18 2017-08-18 N N N 0.0069 5001275.00 5001275.00 0.0009 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.69% 3130A94R9 US3130A94R94 0001026214 U.S. Government Agency Debt Y N/A N/A 2017-02-19 2017-08-18 2017-08-18 N N N 0.0069 17004335.00 17004335.00 0.0030 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.69% 3130A9AD3 US3130A9AD37 0001026214 U.S. Government Agency Debt Y N/A N/A 2017-02-25 2017-08-25 2017-08-25 N N N 0.0069 5000430.00 5000430.00 0.0009 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.69% 3130A9A43 US3130A9A437 0001026214 U.S. Government Agency Debt Y N/A N/A 2017-02-25 2017-08-25 2017-08-25 N N N 0.0069 8000688.00 8000688.00 0.0014 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.70% 3130A8F73 US3130A8F735 0001026214 U.S. Government Agency Debt Y N/A N/A 2016-12-07 2017-03-07 2017-03-07 N N N 0.0070 9004932.00 9004932.00 0.0016 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.70% 3130A8EX7 US3130A8EX71 0001026214 U.S. Government Agency Debt Y N/A N/A 2016-12-07 2017-03-07 2017-03-07 N N N 0.0070 9005049.00 9005049.00 0.0016 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.71% 3130A8BX0 US3130A8BX09 0001026214 U.S. Government Agency Debt Y N/A N/A 2016-12-03 2017-03-03 2017-03-03 N N N 0.0071 14007994.00 14007994.00 0.0024 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.71% 3130A8GB3 US3130A8GB34 0001026214 U.S. Government Agency Debt Y N/A N/A 2016-12-10 2017-03-10 2017-03-10 N N N 0.0071 5002795.00 5002795.00 0.0009 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.71% 3130A8H89 US3130A8H897 0001026214 U.S. Government Agency Debt Y N/A N/A 2016-12-13 2017-03-13 2017-03-13 N N N 0.0071 50028500.00 50028500.00 0.0087 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.71% 3130A8LY7 US3130A8LY71 0001026214 U.S. Government Agency Debt Y N/A N/A 2016-12-29 2016-12-29 2016-12-29 N N N 0.0071 6001440.00 6001440.00 0.0010 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.71% 3130A8WA7 US3130A8WA76 0001026214 U.S. Government Agency Debt Y N/A N/A 2017-01-28 2017-04-28 2017-04-28 N N N 0.0071 5002870.00 5002870.00 0.0009 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.72% 3130A8CT8 US3130A8CT87 0001026214 U.S. Government Agency Debt Y N/A N/A 2016-12-01 2017-03-01 2017-03-01 N N N 0.0072 11006182.00 11006182.00 0.0019 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.72% 3130A8MV2 US3130A8MV24 0001026214 U.S. Government Agency Debt Y N/A N/A 2016-12-06 2017-01-06 2017-01-06 N N N 0.0072 4001268.00 4001268.00 0.0007 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.72% 3130A7ZD0 US3130A7ZD06 0001026214 U.S. Government Agency Debt Y N/A N/A 2017-02-19 2017-06-19 2017-06-19 N N N 0.0072 5004310.00 5004310.00 0.0009 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.73% 3130A8KE2 US3130A8KE27 0001026214 U.S. Government Agency Debt Y N/A N/A 2016-12-20 2017-03-20 2017-03-20 N N N 0.0073 42026250.00 42026250.00 0.0073 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.73% 3130A8KF9 US3130A8KF91 0001026214 U.S. Government Agency Debt Y N/A N/A 2016-12-21 2017-03-21 2017-03-21 N N N 0.0073 8005032.00 8005032.00 0.0014 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.73% 3130A8KN2 US3130A8KN26 0001026214 U.S. Government Agency Debt Y N/A N/A 2016-12-23 2017-03-23 2017-03-23 N N N 0.0073 4002544.00 4002544.00 0.0007 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.73% 3130A8MD2 US3130A8MD26 0001026214 U.S. Government Agency Debt Y N/A N/A 2016-12-30 2017-03-30 2017-03-30 N N N 0.0073 4002904.00 4002904.00 0.0007 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.73% 3130A84K6 US3130A84K69 0001026214 U.S. Government Agency Debt Y N/A N/A 2017-02-17 2017-02-17 2017-02-17 N N N 0.0073 35017290.00 35017290.00 0.0061 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.74% 3130A8MA8 US3130A8MA86 0001026214 U.S. Government Agency Debt Y N/A N/A 2016-12-03 2017-04-03 2017-04-03 N N N 0.0074 4002980.00 4002980.00 0.0007 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.74% 3130A8KJ1 US3130A8KJ14 0001026214 U.S. Government Agency Debt Y N/A N/A 2016-12-22 2017-03-22 2017-03-22 N N N 0.0074 50031600.00 50031600.00 0.0087 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.74% 3130A8M91 US3130A8M913 0001026214 U.S. Government Agency Debt Y N/A N/A 2016-12-29 2017-03-29 2017-03-29 N N N 0.0074 4002888.00 4002888.00 0.0007 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.74% 3130A8PP2 US3130A8PP29 0001026214 U.S. Government Agency Debt Y N/A N/A 2017-01-07 2017-04-07 2017-04-07 N N N 0.0074 18012492.00 18012492.00 0.0031 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.74% 3130A8R47 US3130A8R474 0001026214 U.S. Government Agency Debt Y N/A N/A 2017-01-13 2017-04-13 2017-04-13 N N N 0.0074 35023870.00 35023870.00 0.0061 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.75% 3130A8QJ5 US3130A8QJ59 0001026214 U.S. Government Agency Debt Y N/A N/A 2017-01-12 2017-04-12 2017-04-12 N N N 0.0075 9006435.00 9006435.00 0.0016 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.77% 3130A8RB1 US3130A8RB15 0001026214 U.S. Government Agency Debt Y N/A N/A 2017-01-15 2017-05-15 2017-05-15 N N N 0.0077 10008460.00 10008460.00 0.0017 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.81% 3130A8CG6 US3130A8CG66 0001026214 U.S. Government Agency Debt Y N/A N/A 2016-12-27 2017-02-27 2017-02-27 N N N 0.0081 6004614.00 6004614.00 0.0010 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.81% 3130A8C27 US3130A8C278 0001026214 U.S. Government Agency Debt Y N/A N/A 2017-02-27 2017-02-27 2017-02-27 N N N 0.0081 9006039.00 9006039.00 0.0016 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.81% 3130A8BU6 US3130A8BU69 0001026214 U.S. Government Agency Debt Y N/A N/A 2017-02-27 2017-02-27 2017-02-27 N N N 0.0081 6004098.00 6004098.00 0.0010 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.81% 3130A8BY8 US3130A8BY81 0001026214 U.S. Government Agency Debt Y N/A N/A 2017-02-27 2017-02-27 2017-02-27 N N N 0.0081 9006039.00 9006039.00 0.0016 N N N N Freddie Mac Freddie Mac, 0.84% 3134G9L21 S6XOOCT0IEG5ABCC6L87 US3134G9L210 0001026214 U.S. Government Agency Debt Y N/A N/A 2017-01-12 2018-01-12 2018-01-12 N N N 0.0084 25083400.00 25083400.00 0.0044 N N N N U.S. Treasury Bills U.S. Treasury Bills, 0.31% 912796JZ3 US912796JZ38 U.S. Treasury Debt Y N/A N/A 2016-12-22 2016-12-22 2016-12-22 N N N 0.0031 49992800.00 49992800.00 0.0087 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.31% 912796HV4 US912796HV42 U.S. Treasury Debt Y N/A N/A 2017-01-05 2017-01-05 2017-01-05 N N N 0.0031 49985050.00 49985050.00 0.0087 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.34% 912796HU6 US912796HU68 U.S. Treasury Debt Y N/A N/A 2016-12-08 2016-12-08 2016-12-08 N N N 0.0034 49998500.00 49998500.00 0.0087 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.34% to 0.43% 912796KD0 US912796KD07 U.S. Treasury Debt Y N/A N/A 2017-01-19 2017-01-19 2017-01-19 N N N 0.0043 99953000.00 99953000.00 0.0174 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.36% to 0.40% 912796KC2 US912796KC24 U.S. Treasury Debt Y N/A N/A 2017-01-12 2017-01-12 2017-01-12 N N N 0.0040 144946785.00 144946785.00 0.0253 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.38% 912796JY6 US912796JY62 U.S. Treasury Debt Y N/A N/A 2016-12-15 2016-12-15 2016-12-15 N N N 0.0038 49997150.00 49997150.00 0.0087 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.42% 912796JJ9 US912796JJ95 U.S. Treasury Debt Y N/A N/A 2017-03-30 2017-03-30 2017-03-30 N N N 0.0042 25957568.00 25957568.00 0.0045 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.43% 912796KE8 US912796KE89 U.S. Treasury Debt Y N/A N/A 2017-01-26 2017-01-26 2017-01-26 N N N 0.0043 49971200.00 49971200.00 0.0087 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.45% 912796KH1 US912796KH11 U.S. Treasury Debt Y N/A N/A 2017-02-16 2017-02-16 2017-02-16 N N N 0.0045 49951950.00 49951950.00 0.0087 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.45% 912796KJ7 US912796KJ76 U.S. Treasury Debt Y N/A N/A 2017-02-23 2017-02-23 2017-02-23 N N N 0.0045 49946200.00 49946200.00 0.0087 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.47% 912796KM0 US912796KM06 U.S. Treasury Debt Y N/A N/A 2017-03-09 2017-03-09 2017-03-09 N N N 0.0047 49932450.00 49932450.00 0.0087 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.47% 912796KT5 US912796KT58 U.S. Treasury Debt Y N/A N/A 2017-04-20 2017-04-20 2017-04-20 N N N 0.0047 95795904.00 95795904.00 0.0167 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.48% 912796JP5 US912796JP55 U.S. Treasury Debt Y N/A N/A 2017-04-27 2017-04-27 2017-04-27 N N N 0.0048 99774900.00 99774900.00 0.0174 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.49% 912796KQ1 US912796KQ10 U.S. Treasury Debt Y N/A N/A 2017-04-06 2017-04-06 2017-04-06 N N N 0.0049 49910400.00 49910400.00 0.0087 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.50% 912796KP3 US912796KP37 U.S. Treasury Debt Y N/A N/A 2017-03-23 2017-03-23 2017-03-23 N N N 0.0050 49922550.00 49922550.00 0.0087 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.50% 912796KS7 US912796KS75 U.S. Treasury Debt Y N/A N/A 2017-04-13 2017-04-13 2017-04-13 N N N 0.0050 74855400.00 74855400.00 0.0131 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.50% 912796KU2 US912796KU22 U.S. Treasury Debt Y N/A N/A 2017-05-04 2017-05-04 2017-05-04 N N N 0.0050 54864810.00 54864810.00 0.0096 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.54% 912796KN8 US912796KN88 U.S. Treasury Debt Y N/A N/A 2017-03-16 2017-03-16 2017-03-16 N N N 0.0054 49927650.00 49927650.00 0.0087 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.54% 912796KY4 US912796KY44 U.S. Treasury Debt Y N/A N/A 2017-05-11 2017-05-11 2017-05-11 N N N 0.0054 54859035.00 54859035.00 0.0096 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.63% 912796KZ1 US912796KZ19 U.S. Treasury Debt Y N/A N/A 2017-05-18 2017-05-18 2017-05-18 N N N 0.0063 54851335.00 54851335.00 0.0096 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 0.40% 912828RX0 US912828RX08 U.S. Treasury Debt Y N/A N/A 2016-12-31 2016-12-31 2016-12-31 N N N 0.0040 50025450.00 50025450.00 0.0087 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 0.45% 912828MD9 US912828MD98 U.S. Treasury Debt Y N/A N/A 2016-12-31 2016-12-31 2016-12-31 N N N 0.0045 13031746.00 13031746.00 0.0023 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 0.45% 912828MK3 US912828MK32 U.S. Treasury Debt Y N/A N/A 2017-01-31 2017-01-31 2017-01-31 N N N 0.0045 15068610.00 15068610.00 0.0026 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 0.46% to 0.50% 912828MS6 US912828MS67 U.S. Treasury Debt Y N/A N/A 2017-02-28 2017-02-28 2017-02-28 N N N 0.0050 9056286.00 9056286.00 0.0016 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 0.47% 912828SC5 US912828SC51 U.S. Treasury Debt Y N/A N/A 2017-01-31 2017-01-31 2017-01-31 N N N 0.0047 29024679.00 29024679.00 0.0051 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 0.48% 912828GH7 US912828GH76 U.S. Treasury Debt Y N/A N/A 2017-02-15 2017-02-15 2017-02-15 N N N 0.0048 50431150.00 50431150.00 0.0088 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 0.49% 912828C73 US912828C731 U.S. Treasury Debt Y N/A N/A 2017-04-15 2017-04-15 2017-04-15 N N N 0.0049 21026775.00 21026775.00 0.0037 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 0.50% 912828SS0 US912828SS04 U.S. Treasury Debt Y N/A N/A 2017-04-30 2017-04-30 2017-04-30 N N N 0.0050 5006710.00 5006710.00 0.0009 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 0.50% 912828K66 US912828K668 U.S. Treasury Debt Y N/A N/A 2017-04-30 2017-04-30 2017-04-30 N N N 0.0050 4998960.00 4998960.00 0.0009 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 0.51% 912828SJ0 US912828SJ05 U.S. Treasury Debt Y N/A N/A 2017-02-28 2017-02-28 2017-02-28 N N N 0.0051 12012492.00 12012492.00 0.0021 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 0.54% 912828C32 US912828C327 U.S. Treasury Debt Y N/A N/A 2017-03-15 2017-03-15 2017-03-15 N N N 0.0054 17013124.00 17013124.00 0.0030 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 0.66% 912828T75 US912828T750 U.S. Treasury Debt Y N/A N/A 2016-12-01 2018-10-31 2018-10-31 N N N 0.0066 50004400.00 50004400.00 0.0087 N Y Y N Bank of America NA In a joint trading account with Bank of America NA at 0.28%, dated 11/30/2016 due 12/01/2016 B4TYDEB6GKMZO031MB27 BCA328000_04197 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL HOME LOAN MORTGAGE CORP 2021-01-25 2043-06-15 2.413 - 3.531 33756976.57 30699120.68 Agency Collateralized Mortgage Obligation FEDERAL NATIONAL MORTGAGE ASSOC 2040-09-25 2044-12-25 3 - 5.8 47578876.29 20260220.76 Agency Collateralized Mortgage Obligation Y N/A N/A 2016-12-01 2016-12-01 2016-12-01 N N N 0.0028 49474690.21 49474690.21 0.0086 N Y Y N BNP Paribas, S.A. In a joint trading account with BNP Paribas, S.A. at 0.28%, dated 11/30/2016 due 12/01/2016 R0MUWSFPU8MPRO8K5P83 BCA328000_07651 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 2017-01-12 2046-08-15 0 - 8.5 54890607.15 55486610.52 U.S. Treasuries (including strips) GINNIE MAE 2046-04-20 2046-04-20 3 - 3 18.69 17.55 Agency Mortgage-Backed Securities FEDERAL HOME LOAN BANK 2022-12-09 2022-12-09 5.25 - 5.25 1588.86 1916.94 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2017-03-08 2046-08-01 0.75 - 7.5 3252894.35 903706.69 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 2019-03-20 2057-09-15 1.062 - 7 142733637.46 3961674.42 Agency Mortgage-Backed Securities TENNESEE VALLEY AUTHORITY 549300HE1ISW43LNKM54 2021-02-15 2024-09-15 2.875 - 3.875 62040.23 64352.08 Agency Debentures and Agency Strips FEDERAL NATIONAL MORTGAGE ASSOC 2017-10-26 2046-10-01 0 - 7.5 11852939.30 8132390.51 Agency Mortgage-Backed Securities Y N/A N/A 2016-12-01 2016-12-01 2016-12-01 N N N 0.0028 67124579.70 67124579.70 0.0117 N Y Y N BNP Paribas, S.A. BNP Paribas, S.A., 0.43% R0MUWSFPU8MPRO8K5P83 BBD796000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 2018-11-30 2045-11-15 0 - 8.875 1743110.23 913641.14 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2018-03-07 2045-06-01 0.875 - 7 3093847.00 1102783.07 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 2024-04-15 2046-07-20 2 - 6.5 1802850.00 501260.21 Agency Mortgage-Backed Securities TENNESEE VALLEY AUTHORITY 549300HE1ISW43LNKM54 2021-02-15 2024-09-15 2.875 - 3.875 56000.00 58987.78 Agency Debentures and Agency Strips FEDERAL NATIONAL MORTGAGE ASSOC 2024-09-06 2044-09-01 2.625 - 6.625 21878852.00 1513368.07 Agency Mortgage-Backed Securities Y N/A N/A 2017-01-06 2017-01-06 2017-01-06 N N N 0.0043 4000040.40 4000040.40 0.0007 N N N Y BNY Mellon Capital Markets LLC In a joint trading account with BNY Mellon Capital Markets LLC at 0.28%, dated 11/30/2016 due 12/01/2016 VJW2DOOHGDT6PR0ZRO63 BCA328000_08066 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 2016-12-15 2046-08-15 0 - 8.875 862268.35 833777.01 U.S. Treasuries (including strips) FEDERAL FARM CREDIT 2017-01-17 2025-03-03 0.58 - 4.875 349622.81 350153.76 Agency Debentures and Agency Strips FEDERAL HOME LOAN BANK 2016-12-08 2020-09-11 0 - 5 604371.22 606729.92 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2017-01-27 2046-11-01 0.5 - 8.5 8356248.43 7415126.57 Agency Mortgage-Backed Securities FINANCE CORPORATION 2018-11-02 2018-11-02 9.65 - 9.65 250.00 292.16 Agency Debentures and Agency Strips GOVERNMENT NATIONAL MORTAGE ASSOC 2017-04-15 2046-11-20 2.5 - 9.5 2295526.05 928333.88 Agency Mortgage-Backed Securities TENNESEE VALLEY AUTHORITY 549300HE1ISW43LNKM54 2017-07-18 2017-07-18 5.5 - 5.5 1249.99 1312.25 Agency Debentures and Agency Strips FEDERAL NATIONAL MORTGAGE ASSOC 2016-12-01 2046-11-01 0 - 8.5 3014060.15 1341629.46 Agency Mortgage-Backed Securities Y N/A N/A 2016-12-01 2016-12-01 2016-12-01 N N N 0.0028 11249929.56 11249929.56 0.0020 N Y Y N Citibank NA In a joint trading account with Citibank NA at 0.28%, dated 11/30/2016 due 12/01/2016 E57ODZWZ7FF32TWEFA76 BCA328000_26602 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N RESOLUTION FUNDING CORP 2019-10-15 2028-10-15 0 - 0 268235.52 198864.97 Agency Debentures and Agency Strips US TREASURY 2016-12-08 2046-02-15 0 - 9 21609817.82 23365867.32 U.S. Treasuries (including strips) FEDERAL HOME LOAN BANK 2017-07-21 2017-07-21 0.841 - 0.841 87424.28 87641.48 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2017-03-08 2046-07-01 1 - 6.75 933764.99 695633.93 Agency Debentures and Agency Strips GOVERNMENT NATIONAL MORTAGE ASSOC 2020-11-15 2045-10-20 2 - 9 2685931.53 944852.02 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC 2018-12-14 2051-04-01 1.125 - 6.5 401121.92 273681.16 Agency Mortgage-Backed Securities Y N/A N/A 2016-12-01 2016-12-01 2016-12-01 N N N 0.0028 24999843.46 24999843.46 0.0044 N Y Y N Citibank NA Citibank NA, 0.28% E57ODZWZ7FF32TWEFA76 0000036684 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 2019-05-31 2045-11-15 1.125 - 3.75 4081200.00 4069983.65 U.S. Treasuries (including strips) FEDERAL NATIONAL MORTGAGE ASSOC 2042-05-01 2042-05-01 2.333 - 2.333 31170.00 10499.72 Agency Mortgage-Backed Securities Y N/A N/A 2016-12-06 2016-12-06 2016-12-06 N N N 0.0028 3999978.40 3999978.40 0.0007 N N Y N Citibank NA Citibank NA, 0.29% E57ODZWZ7FF32TWEFA76 0000036684 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 2021-05-15 2045-11-15 2.25 - 3.625 23818800.00 25153048.18 U.S. Treasuries (including strips) GOVERNMENT NATIONAL MORTAGE ASSOC 2042-11-20 2042-12-15 2.5 - 4 803419.00 355465.12 Agency Mortgage-Backed Securities Y N/A N/A 2016-12-06 2016-12-06 2016-12-06 N N N 0.0029 24999900.00 24999900.00 0.0044 N N Y N Credit Agricole CIB New York Branch In a joint trading account with Credit Agricole CIB New York Branch at 0.28%, dated 11/30/2016 due 12/01/2016 1VUV7VQFKUOQSJ21A208 BCA328000_04361 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 2017-06-30 2046-02-15 0.75 - 3.625 45519093.78 45252895.99 U.S. Treasuries (including strips) Y N/A N/A 2016-12-01 2016-12-01 2016-12-01 N N N 0.0028 44324722.46 44324722.46 0.0077 N Y Y N Credit Suisse Securities (USA) LLC In a joint trading account with Credit Suisse Securities (USA) LLC at 0.28%, dated 11/30/2016 due 12/01/2016 1V8Y6QCX6YMJ2OELII46 BCA328000_26252 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 2017-04-30 2045-02-15 0.5 - 8.125 29308902.76 30862127.22 U.S. Treasuries (including strips) GOVERNMENT NATIONAL MORTAGE ASSOC 2038-07-20 2046-11-20 3 - 6 4043291.95 2201982.93 Agency Mortgage-Backed Securities Y N/A N/A 2016-12-01 2016-12-01 2016-12-01 N Y CREDIT SUISSE AG 1.0000 N/A N/A N 0.0028 32381922.24 32381922.24 0.0057 N Y Y N Deutsche Bank Securities, Inc. Deutsche Bank Securities, Inc., 0.29% 9J6MBOOO7BECTDTUZW19 0000058056 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 2026-02-15 2026-02-15 1.625 - 1.625 8660500.00 8160138.44 U.S. Treasuries (including strips) Y N/A N/A 2016-12-01 2016-12-01 2016-12-01 N N N 0.0029 8000000.00 8000000.00 0.0014 N Y Y N ING Financial Markets LLC In a joint trading account with ING Financial Markets LLC at 0.28%, dated 11/30/2016 due 12/01/2016 KBVRJ5K57JZ3E2AVWX40 BCA328000_40488 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL NATIONAL MORTGAGE ASSOC 2041-01-01 2046-07-01 3 - 4.5 3879912.83 2550005.86 Agency Mortgage-Backed Securities Y N/A N/A 2016-12-01 2016-12-01 2016-12-01 N N N 0.0028 2499984.35 2499984.35 0.0004 N Y Y N ING Financial Markets LLC ING Financial Markets LLC, 0.39% KBVRJ5K57JZ3E2AVWX40 0000877559 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 2021-07-31 2021-07-31 1.125 - 1.125 2100000.00 2045839.05 U.S. Treasuries (including strips) Y N/A N/A 2016-12-09 2016-12-09 2016-12-09 N N N 0.0039 1999975.40 1999975.40 0.0003 N N N Y ING Financial Markets LLC ING Financial Markets LLC, 0.42% KBVRJ5K57JZ3E2AVWX40 0000877559 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 2018-07-31 2018-07-31 0.75 - 0.75 4095000.00 4085114.96 U.S. Treasuries (including strips) Y N/A N/A 2017-01-03 2017-01-03 2017-01-03 N N N 0.0042 3999916.40 3999916.40 0.0007 N N N Y ING Financial Markets LLC ING Financial Markets LLC, 0.43% KBVRJ5K57JZ3E2AVWX40 0000877559 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 2019-03-27 2019-03-27 3.75 - 3.75 8260000.00 8788412.63 Agency Debentures and Agency Strips FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2019-06-20 2019-06-20 1.75 - 1.75 2393000.00 2437528.31 Agency Debentures and Agency Strips Y N/A N/A 2017-01-04 2017-01-04 2017-01-19 Y ING FINL MKTS LLC (GOV RP JPM) 1.0000 35 N N/A N/A N N 0.0043 11000000.00 11000000.00 0.0019 N N N Y ING Financial Markets LLC ING Financial Markets LLC, 0.43% KBVRJ5K57JZ3E2AVWX40 0000877559 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 2019-03-27 2022-01-13 2.375 - 3.75 8907000.00 9185286.57 Agency Debentures and Agency Strips Y N/A N/A 2017-01-04 2017-01-04 2017-01-18 Y ING FINL MKTS LLC (GOV RP JPM) 1.0000 35 N N/A N/A N N 0.0043 9000000.00 9000000.00 0.0016 N N N Y ING Financial Markets LLC ING Financial Markets LLC, 0.43% KBVRJ5K57JZ3E2AVWX40 0000877559 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 2022-01-13 2022-01-13 2.375 - 2.375 6930000.00 7144540.16 Agency Debentures and Agency Strips Y N/A N/A 2017-01-04 2017-01-04 2017-01-17 Y ING FINL MKTS LLC (GOV RP JPM) 1.0000 35 N N/A N/A N N 0.0043 7000000.00 7000000.00 0.0012 N N N Y ING Financial Markets LLC ING Financial Markets LLC, 0.43% KBVRJ5K57JZ3E2AVWX40 0000877559 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 2019-03-27 2019-03-27 3.75 - 3.75 9595000.00 10208815.88 Agency Debentures and Agency Strips Y N/A N/A 2017-01-04 2017-01-04 2017-01-20 Y ING FINL MKTS LLC (GOV RP JPM) 1.0000 35 N N/A N/A N N 0.0043 10000000.00 10000000.00 0.0017 N N N Y ING Financial Markets LLC ING Financial Markets LLC, 0.44% KBVRJ5K57JZ3E2AVWX40 0000877559 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 2019-03-27 2019-03-27 3.75 - 3.75 8635000.00 9187402.31 Agency Debentures and Agency Strips Y N/A N/A 2017-01-04 2017-01-04 2017-01-23 Y ING FINL MKTS LLC (GOV RP JPM) 1.0000 35 N N/A N/A N N 0.0044 9000000.00 9000000.00 0.0016 N N N Y ING Financial Markets LLC ING Financial Markets LLC, 0.44% KBVRJ5K57JZ3E2AVWX40 0000877559 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2019-06-20 2019-09-12 1.75 - 1.75 11025000.00 11226755.73 Agency Debentures and Agency Strips Y N/A N/A 2017-01-04 2017-01-04 2017-01-26 Y ING FINL MKTS LLC (GOV RP JPM) 1.0000 35 N N/A N/A N N 0.0044 11000000.00 11000000.00 0.0019 N N N Y ING Financial Markets LLC ING Financial Markets LLC, 0.44% KBVRJ5K57JZ3E2AVWX40 0000877559 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 2019-03-27 2019-03-27 3.75 - 3.75 8635000.00 9187402.31 Agency Debentures and Agency Strips Y N/A N/A 2017-01-04 2017-01-04 2017-01-31 Y ING FINL MKTS LLC (GOV RP JPM) 1.0000 35 N N/A N/A N N 0.0044 9000000.00 9000000.00 0.0016 N N N Y J.P. Morgan Securities, Inc. In a joint trading account with J.P. Morgan Securities, Inc. at 0.28%, dated 11/30/2016 due 12/01/2016 ZBUT11V806EZRVTWT807 BCA328000_55502 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 2016-12-15 2046-11-15 0.5 - 8 22545127.43 23159654.46 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2026-01-01 2046-11-01 2.5 - 4 16541677.52 10911731.47 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 2017-01-15 2058-06-15 2 - 9 3046866.48 1340702.17 Agency Mortgage-Backed Securities U.S. TREASURY 2017-10-31 2018-01-31 0.488 - 0.592 1372994.92 1376255.52 U.S. Treasuries (including strips) FEDERAL NATIONAL MORTGAGE ASSOC 2017-04-01 2046-12-01 2 - 7.5 101388849.34 63712540.05 Agency Mortgage-Backed Securities Y N/A N/A 2016-12-01 2016-12-01 2016-12-01 N N N 0.0028 98499383.24 98499383.24 0.0172 N Y Y N Merrill Lynch, Pierce, Fenner & Smith Merrill Lynch, Pierce, Fenner & Smith, 0.37% 8NAV47T0Y26Q87Y0QP81 BAG094000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N GOVERNMENT NATIONAL MORTAGE ASSOC 2046-07-20 2046-07-20 4 - 4 27690101.00 27552738.02 Agency Mortgage-Backed Securities Y N/A N/A 2016-12-07 2016-12-07 2016-12-15 Y MERRILL LYN PF&S(GOV REPO BNY) 1.0000 7 N N/A N/A N N 0.0037 27000000.00 27000000.00 0.0047 N N Y N Merrill Lynch, Pierce, Fenner & Smith, Inc. In a joint trading account with Merrill Lynch, Pierce, Fenner & Smith, Inc. at 0.28%, dated 11/30/2016 due 12/01/2016 8NAV47T0Y26Q87Y0QP81 BCA328000_53651 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 2017-05-31 2045-02-15 0.625 - 5.5 7631481.73 7842019.72 U.S. Treasuries (including strips) GOVERNMENT NATIONAL MORTAGE ASSOC 2046-10-20 2046-10-20 3 - 3 642704.19 657001.58 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC 2046-01-01 2046-01-01 3.5 - 3.5 1861393.48 1724282.77 Agency Mortgage-Backed Securities Y N/A N/A 2016-12-01 2016-12-01 2016-12-01 N N N 0.0028 9999937.39 9999937.39 0.0017 N Y Y N Mitsubishi UFJ Securities (U.S.A.), Inc. Mitsubishi UFJ Securities (U.S.A.), Inc., 0.39% K5HU16E3LMSVCCJJJ255 BBC710000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 2022-11-15 2022-11-15 1.625 - 1.625 18200.00 17757.25 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2031-10-01 2046-07-01 2.003 - 3.04 2604254.00 2101460.54 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 2042-01-15 2042-01-15 4 - 4 30042.00 10300.14 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC 2035-08-01 2046-09-01 2.318 - 5 6403048.00 5012648.08 Agency Mortgage-Backed Securities Y N/A N/A 2016-12-01 2016-12-01 2016-12-01 N N N 0.0039 6999414.10 6999414.10 0.0012 N Y Y N Mitsubishi UFJ Securities (U.S.A.), Inc. Mitsubishi UFJ Securities (U.S.A.), Inc., 0.39% K5HU16E3LMSVCCJJJ255 BBD256000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL HOME LOAN MORTGAGE CORP 2028-02-01 2044-12-01 2.508 - 3 6809077.00 4001474.20 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC 2026-10-01 2046-07-01 2.304 - 3.5 11996074.00 4160912.83 Agency Mortgage-Backed Securities Y N/A N/A 2017-01-05 2017-01-05 2017-01-05 N N N 0.0039 7999303.20 7999303.20 0.0014 N N N Y Mitsubishi UFJ Securities (U.S.A.), Inc. Mitsubishi UFJ Securities (U.S.A.), Inc., 0.40% K5HU16E3LMSVCCJJJ255 BBF022000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N GOVERNMENT NATIONAL MORTAGE ASSOC 2039-07-15 2039-07-15 5 - 5 9138638.00 1501672.27 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC 2028-09-01 2046-10-01 2.318 - 4.5 8158190.00 5639993.84 Agency Mortgage-Backed Securities Y N/A N/A 2017-01-09 2017-01-09 2017-01-09 N N N 0.0040 6999369.30 6999369.30 0.0012 N N N Y Mitsubishi UFJ Securities (U.S.A.), Inc. Mitsubishi UFJ Securities (U.S.A.), Inc., 0.40% K5HU16E3LMSVCCJJJ255 BBF784000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL HOME LOAN MORTGAGE CORP 2045-06-01 2045-06-01 2.003 - 2.003 5678.00 5040.73 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC 2035-08-01 2045-01-01 2.142 - 3.5 6421384.00 4075730.02 Agency Mortgage-Backed Securities Y N/A N/A 2017-01-13 2017-01-13 2017-01-13 N N N 0.0040 3999584.40 3999584.40 0.0007 N N N Y Mitsubishi UFJ Securities (U.S.A.), Inc. Mitsubishi UFJ Securities (U.S.A.), Inc., 0.44% K5HU16E3LMSVCCJJJ255 BBH287000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 2022-11-15 2022-11-15 1.625 - 1.625 11100.00 10829.97 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2025-05-01 2046-07-01 2.003 - 3.056 79402681.00 3830397.78 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 2046-11-20 2046-11-20 4 - 4 2561.00 2730.76 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC 2035-08-01 2046-09-01 2.418 - 3.5 9155327.00 3297263.41 Agency Mortgage-Backed Securities Y N/A N/A 2017-01-17 2017-01-17 2017-01-17 N N N 0.0044 6999542.20 6999542.20 0.0012 N N N Y Mitsubishi UFJ Securities (U.S.A.), Inc. Mitsubishi UFJ Securities (U.S.A.), Inc., 0.44% K5HU16E3LMSVCCJJJ255 BBH689000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL HOME LOAN MORTGAGE CORP 2038-03-01 2045-06-01 2.003 - 2.81 5258556.00 1129155.99 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC 2026-10-01 2045-02-01 2.304 - 3.114 8623969.00 8052946.70 Agency Mortgage-Backed Securities Y N/A N/A 2017-01-19 2017-01-19 2017-01-19 N N N 0.0044 8999361.90 8999361.90 0.0016 N N N Y Mitsubishi UFJ Securities (U.S.A.), Inc. Mitsubishi UFJ Securities (U.S.A.), Inc., 0.44% K5HU16E3LMSVCCJJJ255 BAJ074000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL HOME LOAN MORTGAGE CORP 2036-10-01 2045-06-01 2.003 - 2.887 1567370.00 1096784.39 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC 2024-12-01 2046-10-01 2.402 - 4 6158751.00 6046444.61 Agency Mortgage-Backed Securities Y N/A N/A 2017-01-23 2017-01-23 2017-01-23 N N N 0.0044 6999430.90 6999430.90 0.0012 N N N Y Mitsubishi UFJ Securities (U.S.A.), Inc. Mitsubishi UFJ Securities (U.S.A.), Inc., 0.47% K5HU16E3LMSVCCJJJ255 BCA152000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL HOME LOAN MORTGAGE CORP 2043-05-01 2046-09-01 2.003 - 2.863 3107999.00 2679805.55 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC 2024-12-01 2045-01-01 2.604 - 3.224 2467955.00 2420261.37 Agency Mortgage-Backed Securities Y N/A N/A 2017-02-01 2017-02-01 2017-02-01 N N N 0.0047 5000000.00 5000000.00 0.0009 N N N Y Mitsubishi UFJ Securities (U.S.A.), Inc. Mitsubishi UFJ Securities (U.S.A.), Inc., 0.50% K5HU16E3LMSVCCJJJ255 BBG704000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL HOME LOAN MORTGAGE CORP 2043-05-01 2045-06-01 2.003 - 2.45 2884078.00 1790309.36 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC 2023-11-01 2045-01-01 2.604 - 3.689 2597697.00 2290541.12 Agency Mortgage-Backed Securities Y N/A N/A 2017-02-14 2017-02-14 2017-02-14 N N N 0.0050 3999686.80 3999686.80 0.0007 N N N Y Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 0.50% 7TK5RJIZDFROZCA6XF66 0000812291 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 2017-04-15 2017-04-15 0.125 - 0.125 8721300.00 9273179.26 U.S. Treasuries (including strips) Y N/A N/A 2016-12-07 2016-12-07 2017-02-06 Y MIZUHO SECS USA INC (GOV REPO) 1.0000 7 N N/A N/A N N 0.0050 9000000.00 9000000.00 0.0016 N N Y N Mizuho Securities USA, Inc. In a joint trading account with Mizuho Securities USA, Inc. at 0.28%, dated 11/30/2016 due 12/01/2016 7TK5RJIZDFROZCA6XF66 BCA328000_08126 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 2018-05-15 2046-08-15 0.75 - 2.75 20240858.26 19146793.67 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2019-10-01 2046-12-01 1.945 - 9.5 25283020.39 5738176.40 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2024-04-15 2046-10-20 0.876 - 8.5 19389225.62 5367592.30 Agency Mortgage-Backed Securities FEDERAL AGRICULTURE MORTGAGE CORP 549300MS654K78GYF580 2026-11-02 2026-11-02 1.083 - 1.083 99999.37 99709.67 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC 2018-06-01 2046-12-01 2.271 - 9.5 69957463.33 15630057.71 Agency Mortgage-Backed Securities Y N/A N/A 2016-12-01 2016-12-01 2016-12-01 N N N 0.0028 44999718.23 44999718.23 0.0079 N Y Y N RBC Capital Markets Corp. RBC Capital Markets Corp., 0.36% 549300LCO2FLSSVFFR64 0000050916 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL HOME LOAN MORTGAGE CORP 2027-10-01 2046-09-01 0.878 - 3.5 8651144.00 4314880.52 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC 2027-04-01 2046-12-01 2.5 - 5 4048482.00 3851157.37 Agency Mortgage-Backed Securities Y N/A N/A 2016-12-01 2016-12-01 2016-12-01 Y RBC CAP MARKETS LLC(GOV REPO) 1.0000 1 N N/A N/A N N 0.0036 8000000.00 8000000.00 0.0014 N Y Y N RBC Capital Markets Corp. RBC Capital Markets Corp., 0.40% 549300LCO2FLSSVFFR64 0000050916 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL HOME LOAN MORTGAGE CORP 2027-10-01 2046-09-01 0.878 - 3.5 6708080.00 6904425.00 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC 2027-04-01 2046-12-01 2.5 - 5 280277.00 238178.67 Agency Mortgage-Backed Securities Y N/A N/A 2016-12-07 2016-12-07 2017-01-09 Y RBC CAP MARKETS LLC(GOV REPO) 1.0000 7 N N/A N/A N N 0.0040 7000000.00 7000000.00 0.0012 N N Y N RBC Capital Markets Corp. RBC Capital Markets Corp., 0.41% 549300LCO2FLSSVFFR64 0000050916 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL HOME LOAN MORTGAGE CORP 2027-10-01 2046-09-01 0.873 - 3.5 6843325.00 4916847.76 Agency Collateralized Mortgage Obligation GOVERNMENT NATIONAL MORTAGE ASSOC 2036-01-20 2036-01-20 2 - 2 1000.00 205.65 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC 2027-04-01 2046-12-01 2.5 - 4.5 311247.00 230839.34 Agency Mortgage-Backed Securities Y N/A N/A 2016-12-07 2016-12-07 2017-01-09 Y RBC CAP MARKETS LLC(GOV REPO) 1.0000 7 N N/A N/A N N 0.0041 5000000.00 5000000.00 0.0009 N N Y N RBC Capital Markets Corp. RBC Capital Markets Corp., 0.45% 549300LCO2FLSSVFFR64 0000050916 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL HOME LOAN MORTGAGE CORP 2027-10-01 2046-09-01 0.878 - 4 4833480.00 4639609.64 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC 2027-04-01 2046-12-01 2.5 - 5.5 3629989.00 2504774.80 Agency Mortgage-Backed Securities Y N/A N/A 2016-12-07 2016-12-07 2017-01-13 Y RBC CAP MARKETS LLC(GOV REPO) 1.0000 7 N N/A N/A N N 0.0045 7000000.00 7000000.00 0.0012 N N Y N RBC Capital Markets Corp. RBC Capital Markets Corp., 0.46% 549300LCO2FLSSVFFR64 0000050916 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL HOME LOAN MORTGAGE CORP 2037-06-01 2046-09-01 0.878 - 3.5 77859.00 47862.41 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC 2027-04-01 2046-12-01 2.5 - 4.5 3954347.00 4033008.37 Agency Mortgage-Backed Securities Y N/A N/A 2016-12-07 2016-12-07 2017-01-17 Y RBC CAP MARKETS LLC(GOV REPO) 1.0000 7 N N/A N/A N N 0.0046 4000000.00 4000000.00 0.0007 N N Y N RBC Capital Markets Corp. RBC Capital Markets Corp., 0.50% 549300LCO2FLSSVFFR64 0000050916 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL HOME LOAN MORTGAGE CORP 2027-10-01 2046-09-01 0.873 - 3.5 4600853.00 4044375.64 Agency Collateralized Mortgage Obligation GOVERNMENT NATIONAL MORTAGE ASSOC 2036-01-20 2046-04-20 2 - 4.5 17515.00 5597.34 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC 2027-04-01 2046-12-01 2.5 - 4.5 98216.00 69722.51 Agency Mortgage-Backed Securities Y N/A N/A 2016-12-07 2016-12-07 2017-01-20 Y RBC CAP MARKETS LLC(GOV REPO) 1.0000 7 N N/A N/A N N 0.0050 4000000.00 4000000.00 0.0007 N N Y N RBC Dominion Securities, Inc. In a joint trading account with RBC Dominion Securities, Inc. at 0.28%, dated 11/30/2016 due 12/01/2016 549300QJJX6CVVUXLE15 BCA328000_07749 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 2017-03-02 2046-08-15 0 - 2.5 14364905.45 14229697.88 U.S. Treasuries (including strips) Y N/A N/A 2016-12-01 2016-12-01 2016-12-01 N N N 0.0028 13949912.65 13949912.65 0.0024 N Y Y N Royal Bank of Canada In a joint trading account with Royal Bank of Canada at 0.28%, dated 11/30/2016 due 12/01/2016 ES7IP3U3RHIGC71XBU11 BCA328000_07750 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 2018-09-30 2045-05-15 1.375 - 3.625 24623187.47 25036885.89 U.S. Treasuries (including strips) Y N/A N/A 2016-12-01 2016-12-01 2016-12-01 N N N 0.0028 24499846.59 24499846.59 0.0043 N Y Y N Royal Bank of Canada Royal Bank of Canada, 0.29% ES7IP3U3RHIGC71XBU11 BBJ227000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N GOVERNMENT NATIONAL MORTAGE ASSOC 2046-04-20 2046-06-20 3.5 - 3.5 10481928.00 10200493.94 Agency Mortgage-Backed Securities Y N/A N/A 2016-12-02 2016-12-02 2016-12-02 N N N 0.0029 10000008.00 10000008.00 0.0017 N N Y N Royal Bank of Canada Royal Bank of Canada, 0.30% ES7IP3U3RHIGC71XBU11 BBJ530000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 2020-06-30 2021-02-28 1.625 - 2 31100.00 31382.24 U.S. Treasuries (including strips) GOVERNMENT NATIONAL MORTAGE ASSOC 2046-04-20 2046-04-20 3.5 - 3.5 1916.00 1844.17 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC 2038-10-01 2038-10-01 6 - 6 102375178.00 7106952.13 Agency Mortgage-Backed Securities Y N/A N/A 2016-12-07 2016-12-07 2016-12-12 Y ROYAL BANK OF CAN (GOV REPO) 1.0000 7 N N/A N/A N N 0.0030 7000000.00 7000000.00 0.0012 N N Y N Societe Generale In a joint trading account with Societe Generale at 0.28%, dated 11/30/2016 due 12/01/2016 O2RNE8IBXP4R0TD8PU41 BCA328000_74037 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 2017-11-09 2044-08-15 0 - 8 5749204.43 6002908.20 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 2019-07-26 2046-08-01 1.25 - 6.75 203792.49 223001.61 Agency Debentures and Agency Strips FEDERAL NATIONAL MORTGAGE ASSOC 2028-03-01 2046-09-01 2.5 - 3.5 268509.07 181141.66 Agency Mortgage-Backed Securities Y N/A N/A 2016-12-01 2016-12-01 2016-12-01 N N N 0.0028 6249960.87 6249960.87 0.0011 N Y Y N Wells Fargo Bank, NA In a joint trading account with Wells Fargo Bank, NA at 0.28%, dated 11/30/2016 due 12/01/2016 KB1H1DSPRFMYMCUFXT09 BCA328000_81240 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL NATIONAL MORTGAGE ASSOC 2026-04-01 2043-01-01 2.5 - 3 22732467.61 14662522.23 Agency Mortgage-Backed Securities Y N/A N/A 2016-12-01 2016-12-01 2016-12-01 N N N 0.0028 14374909.99 14374909.99 0.0025 N Y Y N Wells Fargo Securities LLC In a joint trading account with Wells Fargo Securities LLC at 0.28%, dated 11/30/2016 due 12/01/2016 VYVVCKR63DVZZN70PB21 BCA328000_08395 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 2017-04-13 2046-05-15 0 - 2.5 23849242.20 23743500.22 U.S. Treasuries (including strips) FEDERAL FARM CREDIT 2017-01-20 2033-03-09 0.682 - 5.16 107458.67 111045.27 Agency Debentures and Agency Strips FEDERAL HOME LOAN BANK 2016-12-01 2026-09-11 0 - 6.05 8498706.97 8523911.57 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 2017-03-27 2046-10-01 0 - 5.125 4114157.16 4140655.90 Agency Collateralized Mortgage Obligation GOVERNMENT NATIONAL MORTAGE ASSOC 2017-01-15 2046-11-20 2 - 10 25386320.24 16425200.36 Agency Mortgage-Backed Securities FEDERAL AGRICULTURE MORTGAGE CORP 549300MS654K78GYF580 2018-01-26 2021-01-07 0.633 - 1.92 232034.95 231583.95 Agency Debentures and Agency Strips TENNESEE VALLEY AUTHORITY 549300HE1ISW43LNKM54 2017-12-15 2042-12-15 0 - 7.125 361523.05 370923.31 Agency Debentures and Agency Strips FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2017-01-30 2026-09-24 0.811 - 2.625 2000038.07 1995361.99 Agency Debentures and Agency Strips Y N/A N/A 2016-12-01 2016-12-01 2016-12-01 N N N 0.0028 54449659.06 54449659.06 0.0095 N Y Y N Wells Fargo Securities, LLC Wells Fargo Securities, LLC, 0.28% VYVVCKR63DVZZN70PB21 0000276523 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL HOME LOAN MORTGAGE CORP 2026-03-15 2041-09-15 1.75 - 5.5 29993245.00 12597832.00 Agency Collateralized Mortgage Obligation FEDERAL NATIONAL MORTGAGE ASSOC 2039-05-25 2041-07-25 2 - 2.5 27501355.00 13152568.58 Agency Collateralized Mortgage Obligation Y N/A N/A 2016-12-06 2016-12-06 2016-12-06 N N N 0.0028 24999865.00 24999865.00 0.0044 N N Y N Wells Fargo Securities, LLC Wells Fargo Securities, LLC, 0.29% VYVVCKR63DVZZN70PB21 0000276523 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL HOME LOAN MORTGAGE CORP 2028-10-15 2028-10-15 1.75 - 1.75 10143273.00 4120033.49 Agency Collateralized Mortgage Obligation Y N/A N/A 2016-12-07 2016-12-07 2016-12-07 N N N 0.0029 4000000.00 4000000.00 0.0007 N N Y N Wells Fargo Securities, LLC Wells Fargo Securities, LLC, 0.42% VYVVCKR63DVZZN70PB21 0000276523 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL HOME LOAN MORTGAGE CORP 2028-10-15 2028-10-15 1.75 - 1.75 43151310.00 17527364.41 Agency Collateralized Mortgage Obligation Y N/A N/A 2016-12-06 2016-12-06 2016-12-06 N N N 0.0042 17000170.00 17000170.00 0.0030 N N Y N Wells Fargo Securities, LLC Wells Fargo Securities, LLC, 0.50% VYVVCKR63DVZZN70PB21 0000276523 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL HOME LOAN MORTGAGE CORP 2028-10-15 2028-10-15 1.75 - 1.75 7609824.00 3090987.47 Agency Collateralized Mortgage Obligation Y N/A N/A 2017-01-06 2017-01-06 2017-01-06 N N N 0.0050 3000101.40 3000101.40 0.0005 N N N Y Barclays Capital, Inc. Barclays Capital, Inc., 0.28% AC28XWWI3WIBK2824319 0000851376 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2017-03-23 2040-05-15 0 - 6.375 9831800.00 10224396.99 U.S. Treasuries (including strips) Y N/A N/A 2016-12-01 2016-12-01 2016-12-01 N N N 0.0028 10000000.00 10000000.00 0.0017 N Y Y N BMO Capital Markets Corp. BMO Capital Markets Corp., 0.35% RUC0QBLBRPRCU4W1NE59 0000772028 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2018-05-31 2045-11-15 1 - 3 44087000.00 44320894.42 U.S. Treasuries (including strips) Y N/A N/A 2016-12-07 2016-12-07 2017-01-05 Y BMO CAP MARKETS CORP(GOV REPO) 1.0000 7 N N/A N/A N N 0.0035 43000000.00 43000000.00 0.0075 N N Y N BMO Harris Bank NA BMO Harris Bank NA, 0.39% 3Y4U8VZURTYWI1W2K376 BBC400000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2018-01-31 2018-01-31 2.625 - 2.625 7955000.00 8248491.77 U.S. Treasuries (including strips) Y N/A N/A 2016-12-07 2016-12-07 2017-01-09 Y BMO CHICAGO BRH IL (GOV REPO) 1.0000 7 N N/A N/A N N 0.0039 8000000.00 8000000.00 0.0014 N N Y N BMO Harris Bank NA BMO Harris Bank NA, 0.40% 3Y4U8VZURTYWI1W2K376 BAJ986000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2017-07-31 2024-05-15 1.375 - 2.5 8230000.00 8195259.92 U.S. Treasuries (including strips) Y N/A N/A 2016-12-07 2016-12-07 2017-01-18 Y BMO CHICAGO BRH IL (GOV REPO) 1.0000 7 N N/A N/A N N 0.0040 8000000.00 8000000.00 0.0014 N N Y N BMO Harris Bank NA BMO Harris Bank NA, 0.40% 3Y4U8VZURTYWI1W2K376 BBA655000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2017-07-31 2020-02-15 2.375 - 3.625 3795000.00 4132835.73 U.S. Treasuries (including strips) Y N/A N/A 2016-12-07 2016-12-07 2017-01-23 Y BMO CHICAGO BRH IL (GOV REPO) 1.0000 7 N N/A N/A N N 0.0040 4000000.00 4000000.00 0.0007 N N Y N BMO Harris Bank NA BMO Harris Bank NA, 0.50% 3Y4U8VZURTYWI1W2K376 BCA005000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2025-05-15 2025-05-15 2.125 - 2.125 7240000.00 7172146.72 U.S. Treasuries (including strips) Y N/A N/A 2016-12-07 2016-12-07 2017-02-03 Y BMO CHICAGO BRH IL (GOV REPO) 1.0000 7 N N/A N/A N N 0.0050 7000000.00 7000000.00 0.0012 N N Y N BNP Paribas, S.A. BNP Paribas, S.A., 0.31% R0MUWSFPU8MPRO8K5P83 BBI670000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2022-02-15 2046-05-15 2 - 6.125 16628600.00 16478550.22 U.S. Treasuries (including strips) Y N/A N/A 2016-12-07 2016-12-07 2016-12-14 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0031 16000000.00 16000000.00 0.0028 N N Y N BNP Paribas, S.A. BNP Paribas, S.A., 0.36% R0MUWSFPU8MPRO8K5P83 BAE286000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2017-05-25 2045-11-15 0 - 5.5 38603000.00 38797159.39 U.S. Treasuries (including strips) Y N/A N/A 2016-12-07 2016-12-07 2016-12-15 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0036 38000000.00 38000000.00 0.0066 N N Y N BNP Paribas, S.A. BNP Paribas, S.A., 0.40% R0MUWSFPU8MPRO8K5P83 AJB536000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2017-06-15 2045-11-15 0.685 - 6.125 38836000.00 38821145.32 U.S. Treasuries (including strips) Y N/A N/A 2016-12-01 2016-12-01 2016-12-01 N N N 0.0040 38000000.00 38000000.00 0.0066 N Y Y N BNP Paribas, S.A. BNP Paribas, S.A., 0.41% R0MUWSFPU8MPRO8K5P83 BBD800000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2017-05-25 2046-05-15 0 - 5.5 14703100.00 16393520.59 U.S. Treasuries (including strips) Y N/A N/A 2017-01-06 2017-01-06 2017-01-06 N N N 0.0041 15999768.00 15999768.00 0.0028 N N N Y BNP Paribas, S.A. BNP Paribas, S.A., 0.45% R0MUWSFPU8MPRO8K5P83 BBE864000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2017-05-25 2045-11-15 0 - 3.75 31941400.00 31763383.29 U.S. Treasuries (including strips) Y N/A N/A 2016-12-07 2016-12-07 2017-02-08 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0045 31000000.00 31000000.00 0.0054 N N Y N BNP Paribas, S.A. BNP Paribas, S.A., 0.50% R0MUWSFPU8MPRO8K5P83 BBI666000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2017-02-02 2043-02-15 0 - 8.5 36022400.00 35828676.35 U.S. Treasuries (including strips) Y N/A N/A 2017-01-20 2017-01-20 2017-01-20 N N N 0.0050 34993731.50 34993731.50 0.0061 N N N Y BNP Paribas, S.A. BNP Paribas, S.A., 0.50% R0MUWSFPU8MPRO8K5P83 BBI358000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2017-04-30 2046-05-15 0 - 8.5 23635100.00 23573341.13 U.S. Treasuries (including strips) Y N/A N/A 2017-01-20 2017-01-20 2017-01-20 N N N 0.0050 22995878.40 22995878.40 0.0040 N N N Y Commerz Markets LLC Commerz Markets LLC, 0.32% BCA239000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2023-05-31 2023-05-31 1.625 - 1.625 119615000.00 116283718.44 U.S. Treasuries (including strips) Y N/A N/A 2016-12-01 2016-12-01 2016-12-01 N N N 0.0032 114000000.00 114000000.00 0.0199 N Y Y N Deutsche Bank Securities, Inc. Deutsche Bank Securities, Inc., 0.28% 9J6MBOOO7BECTDTUZW19 0000058056 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2026-02-15 2026-02-15 1.625 - 1.625 23816200.00 22440215.81 U.S. Treasuries (including strips) Y N/A N/A 2016-12-01 2016-12-01 2016-12-01 N N N 0.0028 22000000.00 22000000.00 0.0038 N Y Y N Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 0.28% 7TK5RJIZDFROZCA6XF66 0000812291 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2021-11-30 2023-05-31 1.625 - 1.875 31490000.00 30620919.71 U.S. Treasuries (including strips) Y N/A N/A 2016-12-01 2016-12-01 2016-12-01 N N N 0.0028 30000000.00 30000000.00 0.0052 N Y Y N Mufg Securities Emea PLC (GOV REPO) Mufg Securities Emea PLC (GOV REPO), 0.33% U7M81AY481YLIOR75625 BBI316000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2026-05-15 2026-05-15 1.625 - 1.625 5450000.00 5139900.45 U.S. Treasuries (including strips) Y N/A N/A 2016-12-02 2016-12-02 2016-12-02 Y MUFG SECS EMEA PLC (GOV REPO) 1.0000 2 N N/A N/A N N 0.0033 5000000.00 5000000.00 0.0009 N N Y N Mufg Securities Emea PLC (GOV REPO) Mufg Securities Emea PLC (GOV REPO), 0.37% U7M81AY481YLIOR75625 BBG881000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2020-08-15 2020-08-15 2.625 - 2.625 5870000.00 6178110.43 U.S. Treasuries (including strips) Y N/A N/A 2016-12-06 2016-12-06 2016-12-06 Y MUFG SECS EMEA PLC (GOV REPO) 1.0000 6 N N/A N/A N N 0.0037 6000000.00 6000000.00 0.0010 N N Y N Mufg Securities Emea PLC (GOV REPO) Mufg Securities Emea PLC (GOV REPO), 0.43% U7M81AY481YLIOR75625 BBH443000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2022-04-30 2025-05-15 1.75 - 2.125 6175000.00 6136869.38 U.S. Treasuries (including strips) Y N/A N/A 2016-12-02 2016-12-02 2016-12-02 N N N 0.0043 5999997.60 5999997.60 0.0010 N N Y N Nomura Securities International, Inc. Nomura Securities International, Inc., 0.28% OXTKY6Q8X53C9ILVV871 BBJ502000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2020-06-30 2020-06-30 1.625 - 1.625 25289000.00 25696001.17 U.S. Treasuries (including strips) Y N/A N/A 2016-12-05 2016-12-05 2016-12-05 N N N 0.0028 24999945.00 24999945.00 0.0044 N N Y N Nomura Securities International, Inc. Nomura Securities International, Inc., 0.28% OXTKY6Q8X53C9ILVV871 BBJ804000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2021-09-30 2021-09-30 2.125 - 2.125 95389000.00 97379863.82 U.S. Treasuries (including strips) Y N/A N/A 2016-12-06 2016-12-06 2016-12-06 N N N 0.0028 94999734.00 94999734.00 0.0166 N N Y N RBC Capital Markets Corp. RBC Capital Markets Corp., 0.38% 549300LCO2FLSSVFFR64 0000050916 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2017-04-30 2044-02-15 0.75 - 9 5069400.00 5101448.13 U.S. Treasuries (including strips) Y N/A N/A 2016-12-07 2016-12-07 2017-01-06 Y RBC CAP MARKETS LLC(GOV REPO) 1.0000 7 N N/A N/A N N 0.0038 5000000.00 5000000.00 0.0009 N N Y N RBC Capital Markets Corp. RBC Capital Markets Corp., 0.43% 549300LCO2FLSSVFFR64 0000050916 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2017-03-09 2044-02-15 0 - 6.25 5977100.00 6123283.47 U.S. Treasuries (including strips) Y N/A N/A 2016-12-07 2016-12-07 2017-01-19 Y RBC CAP MARKETS LLC(GOV REPO) 1.0000 7 N N/A N/A N N 0.0043 6000000.00 6000000.00 0.0010 N N Y N RBC Capital Markets Corp. RBC Capital Markets Corp., 0.50% 549300LCO2FLSSVFFR64 0000050916 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2017-04-15 2044-08-15 0.875 - 8.75 6955300.00 7142699.02 U.S. Treasuries (including strips) Y N/A N/A 2016-12-07 2016-12-07 2017-02-03 Y RBC CAP MARKETS LLC(GOV REPO) 1.0000 7 N N/A N/A N N 0.0050 7000000.00 7000000.00 0.0012 N N Y N RBS Securities, Inc. RBS Securities, Inc., 0.28% ZE2ZWJ5BTIQJ8M0C6K34 0000808379 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2017-09-15 2017-09-15 1 - 1 3105000.00 3116238.34 U.S. Treasuries (including strips) U.S. TREASURY 2017-04-30 2017-04-30 0.394 - 0.394 965500.00 966246.06 U.S. Treasuries (including strips) Y N/A N/A 2016-12-01 2016-12-01 2016-12-01 N N N 0.0028 4000000.00 4000000.00 0.0007 N Y Y N Royal Bank of Canada Royal Bank of Canada, 0.32% ES7IP3U3RHIGC71XBU11 BBC759000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2017-10-31 2045-05-15 1.375 - 3 9448110.24 9182289.18 U.S. Treasuries (including strips) Y N/A N/A 2016-12-07 2016-12-07 2016-12-07 Y ROYAL BANK OF CAN (GOV REPO) 1.0000 7 N N/A N/A N N 0.0032 9000000.00 9000000.00 0.0016 N N Y N Wells Fargo Securities, LLC Wells Fargo Securities, LLC, 0.41% VYVVCKR63DVZZN70PB21 0000276523 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2017-02-23 2017-02-23 N/A 5110700.00 5105231.55 U.S. Treasuries (including strips) Y N/A N/A 2016-12-01 2016-12-01 2016-12-01 N N N 0.0041 5000000.00 5000000.00 0.0009 N Y Y N Wells Fargo Securities, LLC Wells Fargo Securities, LLC, 0.41% VYVVCKR63DVZZN70PB21 0000276523 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2017-02-23 2017-02-23 N/A 7154600.00 7146944.58 U.S. Treasuries (including strips) Y N/A N/A 2016-12-06 2016-12-06 2016-12-06 N N N 0.0041 7000070.00 7000070.00 0.0012 N N Y N Mufg Securities Emea PLC (GOV REPO) Mufg Securities Emea PLC (GOV REPO), 0.28% U7M81AY481YLIOR75625 BCA235000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2020-11-15 2020-11-15 2.625 - 2.625 6820000.00 7091395.08 U.S. Treasuries (including strips) Y N/A N/A 2016-12-01 2016-12-01 2016-12-01 N N N 0.0028 6940000.00 6940000.00 0.0012 N Y Y N New York Hsg. Fin. Agcy. Rev. FHLMC New York Hsg. Fin. Agcy. Rev., 0.46% 64986MQ65 US64986MQ657 Variable Rate Demand Note Y N/A N/A 2016-12-07 2016-12-07 2040-05-01 Y FREDDIE MAC 1.0000 7 N N/A N/A Y FREDDIE MAC 1.0000 N/A N/A N 0.0046 11530000.00 11530000.00 0.0020 N N Y N Maricopa County Indl. Dev. Auth. Multi-family Hsg. Rev. FNMA Maricopa County Indl. Dev. Auth. Multi-family Hsg. Rev., 0.50% 566823TE0 Variable Rate Demand Note Y N/A N/A 2016-12-07 2016-12-07 2034-12-15 Y FANNIE MAE 1.0000 7 N N/A N/A Y FANNIE MAE 1.0000 N/A N/A N 0.0050 2500000.00 2500000.00 0.0004 N N Y N Maricopa County Indl. Dev. Auth. Multi-family Hsg. Rev. FNMA Maricopa County Indl. Dev. Auth. Multi-family Hsg. Rev., 0.50% 566823SV3 US566823SV32 Variable Rate Demand Note Y N/A N/A 2016-12-07 2016-12-07 2037-03-15 Y FANNIE MAE 1.0000 7 N N/A N/A Y FANNIE MAE 1.0000 N/A N/A N 0.0050 2600000.00 2600000.00 0.0005 N N Y N Maricopa County Indl. Dev. Auth. Multi-family Hsg. Rev. FNMA Maricopa County Indl. Dev. Auth. Multi-family Hsg. Rev., 0.50% 566823SB7 Variable Rate Demand Note Y N/A N/A 2016-12-07 2016-12-07 2035-09-15 Y FANNIE MAE 1.0000 7 N N/A N/A Y FANNIE MAE 1.0000 N/A N/A N 0.0050 4100000.00 4100000.00 0.0007 N N Y N Cap. Area Hsg. Fin. Corp. Multi-family Hsg. Rev. FNMA Cap. Area Hsg. Fin. Corp. Multi-family Hsg. Rev., 0.50% 139726BF9 US139726BF92 Variable Rate Demand Note Y N/A N/A 2016-12-07 2016-12-07 2037-04-15 Y FANNIE MAE 1.0000 7 N N/A N/A Y FANNIE MAE 1.0000 N/A N/A N 0.0050 5180000.00 5180000.00 0.0009 N N Y N Mufg Securities Emea PLC (GOV REPO) Mufg Securities Emea PLC (GOV REPO), 0.75% U7M81AY481YLIOR75625 BBJ896000 Other Instrument Forward Settling Repurchase Agreement Y N/A N/A 2017-01-17 2017-01-17 2017-01-17 N N N 0.0075 4999746.50 4999746.50 0.0009 N N N Y Represents a forward settling transaction and therefore no collateral securities had been allocated as of period end. The agreement contemplated the delivery of U.S. Treasuries as collateral on settlement date. Mufg Securities Emea PLC (GOV REPO) Mufg Securities Emea PLC (GOV REPO), 0.77% U7M81AY481YLIOR75625 BCA255000 Other Instrument Forward Settling Repurchase Agreement Y N/A N/A 2017-02-02 2017-02-02 2017-02-02 N N N 0.0077 4000000.00 4000000.00 0.0007 N N N Y Represents a forward settling transaction and therefore no collateral securities had been allocated as of period end. The agreement contemplated the delivery of U.S. Treasuries as collateral on settlement date. Fidelity Salem Street Trust: Fidelity Series Government Money Market Fund 2016-12-06 Stephanie Dorsey Stephanie Dorsey President and Treasurer