N-MFP2 0000035315 XXXXXXXX 2022-04-30 0000035315 5493002EBMWB875CR416 S000053607 1 N N 002-41839 FIDELITY MANAGEMENT & RESEARCH COMPANY LLC (FMR) 801-07884 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. LLC 0000862124 084-01839 N N N Exempt Government Government/Agency N 24 90 2814345128.78 2836546978.11 2895899903.21 2888485826.89 2927775296.71 3291739510.18 3349691262.60 3371290643.39 3422874591.06 3440164807.60 0.7000 0.7100 0.7200 0.7200 0.7400 0.8200 0.8400 0.8400 0.8600 0.8700 768.90 3634567867.76 3635597662.60 318522488.84 744647576.69 3209473343.65 3209279833.40 1.0000 0.0040 0.9997 0.9998 0.9998 0.9998 0.9998 C000168450 1.00 3209473343.65 3209279833.40 0.9997 0.9998 0.9998 0.9998 0.9998 2076304.74 654724096.39 3001583.10 12745014.75 2272180.26 10186585.30 2649875.50 10013463.86 1717920.55 9238595.18 10556248.46 691457262.29 0.0040 N U.S. Treasury Bills U.S. Treasury Bills, 0.09% 912796Q28 US912796Q284 U.S. Treasury Debt Y N/A N/A 2022-05-12 2022-05-12 2022-05-12 N N N 0.0009 19143448.53 19143448.53 0.0060 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.16% 912796U98 US912796U989 U.S. Treasury Debt Y N/A N/A 2022-05-17 2022-05-17 2022-05-17 N N N 0.0016 3499726.58 3499726.58 0.0011 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.19% 912796H44 US912796H440 U.S. Treasury Debt Y N/A N/A 2022-05-19 2022-05-19 2022-05-19 N N N 0.0019 39195927.51 39195927.51 0.0122 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.29% 912796Q36 US912796Q367 U.S. Treasury Debt Y N/A N/A 2022-05-26 2022-05-26 2022-05-26 N N N 0.0029 21495338.16 21495338.16 0.0067 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.39% 912796V89 US912796V896 U.S. Treasury Debt Y N/A N/A 2022-06-07 2022-06-07 2022-06-07 N N N 0.0039 37284489.54 37284489.54 0.0116 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.42% 912796V97 US912796V979 U.S. Treasury Debt Y N/A N/A 2022-06-14 2022-06-14 2022-06-14 N N N 0.0042 3997861.96 3997861.96 0.0012 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.56% 912796R43 US912796R431 U.S. Treasury Debt Y N/A N/A 2022-06-23 2022-06-23 2022-06-23 N N N 0.0056 9991474.20 9991474.20 0.0031 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.76% 912796K57 US912796K576 U.S. Treasury Debt Y N/A N/A 2022-07-14 2022-07-14 2022-07-14 N N N 0.0076 90855145.29 90855145.29 0.0283 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.77% 912796X20 US912796X207 U.S. Treasury Debt Y N/A N/A 2022-07-19 2022-07-19 2022-07-19 N N N 0.0077 2994832.50 2994832.50 0.0009 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.80% 912796S42 US912796S421 U.S. Treasury Debt Y N/A N/A 2022-07-21 2022-07-21 2022-07-21 N N N 0.0080 35934066.72 35934066.72 0.0112 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.80% 912796S59 US912796S595 U.S. Treasury Debt Y N/A N/A 2022-07-28 2022-07-28 2022-07-28 N N N 0.0080 1996012.50 1996012.50 0.0006 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.90% 912796S67 US912796S678 U.S. Treasury Debt Y N/A N/A 2022-08-04 2022-08-04 2022-08-04 N N N 0.0090 38906555.22 38906555.22 0.0121 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.96% 912796L64 US912796L640 U.S. Treasury Debt Y N/A N/A 2022-08-11 2022-08-11 2022-08-11 N N N 0.0096 21540581.64 21540581.64 0.0067 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 1.03% 912796T58 US912796T585 U.S. Treasury Debt Y N/A N/A 2022-08-25 2022-08-25 2022-08-25 N N N 0.0103 2494664.48 2494664.48 0.0008 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 1.05% 912796XN4 US912796XN42 U.S. Treasury Debt Y N/A N/A 2022-08-23 2022-08-23 2022-08-23 N N N 0.0105 2989963.41 2989963.41 0.0009 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 1.06% 912796M71 US912796M713 U.S. Treasury Debt Y N/A N/A 2022-09-08 2022-09-08 2022-09-08 N N N 0.0106 6973380.33 6973380.33 0.0022 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 1.11% 912796U56 US912796U567 U.S. Treasury Debt Y N/A N/A 2022-09-22 2022-09-22 2022-09-22 N N N 0.0111 18916603.11 18916603.11 0.0059 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 1.18% 912796M89 US912796M895 U.S. Treasury Debt Y N/A N/A 2022-10-06 2022-10-06 2022-10-06 N N N 0.0118 10943752.60 10943752.60 0.0034 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 1.42% 912796N96 US912796N968 U.S. Treasury Debt Y N/A N/A 2022-11-03 2022-11-03 2022-11-03 N N N 0.0142 2978504.55 2978504.55 0.0009 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 0.07% to 0.08% 912828XD7 254900HROIFWPRGM1V77 US912828XD79 U.S. Treasury Debt Y N/A N/A 2022-05-31 2022-05-31 2022-05-31 N N N 0.0060 4004447.92 4004447.92 0.0012 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 0.07% to 0.09% 912828ZR4 254900HROIFWPRGM1V77 US912828ZR48 U.S. Treasury Debt Y N/A N/A 2022-05-31 2022-05-31 2022-05-31 N N N 0.0044 31991073.92 31991073.92 0.0100 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 0.07% 912828XR6 254900HROIFWPRGM1V77 US912828XR65 U.S. Treasury Debt Y N/A N/A 2022-05-31 2022-05-31 2022-05-31 N N N 0.0059 14014176.82 14014176.82 0.0044 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 0.07% to 0.22% 912828ZX1 254900HROIFWPRGM1V77 US912828ZX16 U.S. Treasury Debt Y N/A N/A 2022-06-30 2022-06-30 2022-06-30 N N N 0.0064 21980648.58 21980648.58 0.0068 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 0.07% to 0.08% 912828XG0 254900HROIFWPRGM1V77 US912828XG01 U.S. Treasury Debt Y N/A N/A 2022-06-30 2022-06-30 2022-06-30 N N N 0.0073 47111353.81 47111353.81 0.0147 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 0.07% to 0.11% 91282CAC5 254900HROIFWPRGM1V77 US91282CAC55 U.S. Treasury Debt Y N/A N/A 2022-07-31 2022-07-31 2022-07-31 N N N 0.0090 26946210.87 26946210.87 0.0084 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 0.07% to 0.10% 912828XQ8 254900HROIFWPRGM1V77 US912828XQ82 U.S. Treasury Debt Y N/A N/A 2022-07-31 2022-07-31 2022-07-31 N N N 0.0102 107267500.00 107267500.00 0.0334 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 0.07% to 0.09% 9128282P4 254900HROIFWPRGM1V77 US9128282P40 U.S. Treasury Debt Y N/A N/A 2022-07-31 2022-07-31 2022-07-31 N N N 0.0102 22048125.00 22048125.00 0.0069 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 0.07% to 0.08% 912828YA2 254900HROIFWPRGM1V77 US912828YA22 U.S. Treasury Debt Y N/A N/A 2022-08-15 2022-08-15 2022-08-15 N N N 0.0114 53035877.48 53035877.48 0.0165 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 0.08% 9128287C8 254900HROIFWPRGM1V77 US9128287C81 U.S. Treasury Debt Y N/A N/A 2022-07-15 2022-07-15 2022-07-15 N N N 0.0088 7012851.58 7012851.58 0.0022 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 0.08% to 0.09% 912828TJ9 254900HROIFWPRGM1V77 US912828TJ95 U.S. Treasury Debt Y N/A N/A 2022-08-15 2022-08-15 2022-08-15 N N N 0.0115 13018281.25 13018281.25 0.0041 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 0.08% to 0.14% 912828L24 254900HROIFWPRGM1V77 US912828L245 U.S. Treasury Debt Y N/A N/A 2022-08-31 2022-08-31 2022-08-31 N N N 0.0118 28064531.32 28064531.32 0.0087 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 0.08% to 0.14% 9128282S8 254900HROIFWPRGM1V77 US9128282S88 U.S. Treasury Debt Y N/A N/A 2022-08-31 2022-08-31 2022-08-31 N N N 0.0120 37052031.25 37052031.25 0.0115 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 0.09% to 0.22% 912828XW5 254900HROIFWPRGM1V77 US912828XW50 U.S. Treasury Debt Y N/A N/A 2022-06-30 2022-06-30 2022-06-30 N N N 0.0072 2003520.14 2003520.14 0.0006 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 0.09% to 0.10% 91282CAG6 254900HROIFWPRGM1V77 US91282CAG69 U.S. Treasury Debt Y N/A N/A 2022-08-31 2022-08-31 2022-08-31 N N N 0.0111 6976757.83 6976757.83 0.0022 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 0.09% to 0.14% 912828YF1 254900HROIFWPRGM1V77 US912828YF19 U.S. Treasury Debt Y N/A N/A 2022-09-15 2022-09-15 2022-09-15 N N N 0.0131 41028827.92 41028827.92 0.0128 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 0.09% to 0.12% 91282CAN1 254900HROIFWPRGM1V77 US91282CAN11 U.S. Treasury Debt Y N/A N/A 2022-09-30 2022-09-30 2022-09-30 N N N 0.0129 22887695.37 22887695.37 0.0071 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 0.09% to 0.17% 912828L57 254900HROIFWPRGM1V77 US912828L575 U.S. Treasury Debt Y N/A N/A 2022-09-30 2022-09-30 2022-09-30 N N N 0.0133 7012304.67 7012304.67 0.0022 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 0.10% to 1.09% 9128282W9 254900HROIFWPRGM1V77 US9128282W90 U.S. Treasury Debt Y N/A N/A 2022-09-30 2022-09-30 2022-09-30 N N N 0.0133 33074765.46 33074765.46 0.0103 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 0.32% 912828M49 254900HROIFWPRGM1V77 US912828M490 U.S. Treasury Debt Y N/A N/A 2022-10-31 2022-10-31 2022-10-31 N N N 0.0142 3006796.86 3006796.86 0.0009 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 0.88% 91282CDU2 254900HROIFWPRGM1V77 US91282CDU27 U.S. Treasury Debt Y N/A N/A 2022-05-02 2024-01-31 2024-01-31 N N N 0.0080 5006338.25 5006338.25 0.0016 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 0.92% 91282CCQ2 254900HROIFWPRGM1V77 US91282CCQ24 U.S. Treasury Debt Y N/A N/A 2022-05-02 2023-07-31 2023-07-31 N N N 0.0079 240379903.20 240379903.20 0.0749 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 0.93% 91282CDE8 254900HROIFWPRGM1V77 US91282CDE84 U.S. Treasury Debt Y N/A N/A 2022-05-02 2023-10-31 2023-10-31 N N N 0.0080 50092028.50 50092028.50 0.0156 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 0.93% 91282CBY6 254900HROIFWPRGM1V77 US91282CBY66 U.S. Treasury Debt Y N/A N/A 2022-05-02 2023-04-30 2023-04-30 N N N 0.0080 37044913.56 37044913.56 0.0115 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 0.94% 91282CBK6 254900HROIFWPRGM1V77 US91282CBK62 U.S. Treasury Debt Y N/A N/A 2022-05-02 2023-01-31 2023-01-31 N N N 0.0079 170553542.95 170553542.95 0.0531 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 0.95% 91282CAA9 254900HROIFWPRGM1V77 US91282CAA99 U.S. Treasury Debt Y N/A N/A 2022-05-02 2022-07-31 2022-07-31 N N N 0.0075 126063501.48 126063501.48 0.0393 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 0.95% 91282CAS0 254900HROIFWPRGM1V77 US91282CAS08 U.S. Treasury Debt Y N/A N/A 2022-05-02 2022-10-31 2022-10-31 N N N 0.0075 5004839.15 5004839.15 0.0016 N Y Y N ABN AMRO Bank NV ABN AMRO Bank NV, 0.30% JAI185000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N United States Treasury 2022-08-25 2046-02-15 0 - 3 5104400.00 5100247.24 U.S. Treasuries (including strips) Y N/A N/A 2022-05-02 2022-05-02 2022-05-02 N N N 0.0030 5000000.00 5000000.00 0.0016 N Y Y N Barclays Bank PLC Barclays Bank PLC, 0.30% G5GSEF7VJP5I7OUK5573 JAI199000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N United States Treasury 2026-01-31 2028-11-15 0.375 - 5.25 23004500.00 24480660.65 U.S. Treasuries (including strips) Y N/A N/A 2022-05-02 2022-05-02 2022-05-02 N N N 0.0030 24000000.00 24000000.00 0.0075 N Y Y N BNP Paribas, SA BNP Paribas, SA, 0.30% R0MUWSFPU8MPRO8K5P83 JAD247000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N United States Treasury 2022-06-16 2050-05-15 0 - 2 22631800.00 16443558.87 U.S. Treasuries (including strips) Y N/A N/A 2022-05-02 2022-05-02 2022-05-02 Y BNP PARIBAS (GOV REPO) 1.0000 3 N N/A N/A N N 0.0030 16000000.00 16000000.00 0.0050 N Y Y N BNP Paribas, SA BNP Paribas, SA, 0.30% R0MUWSFPU8MPRO8K5P83 IID649000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N United States Treasury 2022-10-31 2045-02-15 0.375 - 4.375 20230000.00 20409562.22 U.S. Treasuries (including strips) Y N/A N/A 2022-05-05 2022-05-05 2022-05-05 Y BNP PARIBAS (GOV REPO) 1.0000 6 N N/A N/A N N 0.0030 20000000.00 20000000.00 0.0062 N N Y N BNP Paribas, SA BNP Paribas, SA, 0.31% R0MUWSFPU8MPRO8K5P83 IIE936000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N United States Treasury 2022-10-31 2050-05-15 0.875 - 6.375 18479500.00 18368567.24 U.S. Treasuries (including strips) Y N/A N/A 2022-05-06 2022-05-06 2022-05-09 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0031 18000000.00 18000000.00 0.0056 N N Y N BNP Paribas, SA BNP Paribas, SA, 0.33% R0MUWSFPU8MPRO8K5P83 IIF618000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N United States Treasury 2022-05-03 2049-11-15 0 - 7.25 20318100.00 19389495.89 U.S. Treasuries (including strips) Y N/A N/A 2022-05-06 2022-05-06 2022-05-10 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0033 19000000.00 19000000.00 0.0059 N N Y N BNP Paribas, SA BNP Paribas, SA, 0.36% R0MUWSFPU8MPRO8K5P83 IIH092000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N United States Treasury 2022-07-21 2051-05-15 0 - 6.375 21037383.00 20463679.31 U.S. Treasuries (including strips) Y N/A N/A 2022-05-06 2022-05-06 2022-05-13 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0036 20000000.00 20000000.00 0.0062 N N Y N BNP Paribas, SA BNP Paribas, SA, 0.40% R0MUWSFPU8MPRO8K5P83 IIH731000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N United States Treasury 2022-06-16 2050-05-15 0 - 6.125 15774600.00 12246532.60 U.S. Treasuries (including strips) Y N/A N/A 2022-05-06 2022-05-06 2022-05-16 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0040 12000000.00 12000000.00 0.0037 N N Y N BNP Paribas, SA BNP Paribas, SA, 1.06% R0MUWSFPU8MPRO8K5P83 JAI274000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N United States Treasury 2022-09-30 2050-05-15 0.125 - 6.75 23632900.00 22441979.53 U.S. Treasuries (including strips) Y N/A N/A 2022-05-06 2022-05-06 2022-07-29 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0105 22000000.00 22000000.00 0.0069 N N Y N CIBC Bank U.S.A. CIBC Bank U.S.A., 0.26% 2IGI19DL77OX0HC3ZE78 IGB511000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N United States Treasury 2022-07-31 2051-05-15 0.125 - 4.625 5952500.00 5104462.12 U.S. Treasuries (including strips) Y N/A N/A 2022-05-06 2022-05-06 2022-06-16 Y CIBC NY BRNCH (GOV REPO) 1.0000 7 N N/A N/A N N 0.0026 5000000.00 5000000.00 0.0016 N N Y N CIBC Bank U.S.A. CIBC Bank U.S.A., 0.31% 2IGI19DL77OX0HC3ZE78 IIE399000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N United States Treasury 2022-07-14 2051-05-15 0 - 4.625 5635900.00 5142360.57 U.S. Treasuries (including strips) Y N/A N/A 2022-05-05 2022-05-05 2022-05-05 Y CIBC NY BRNCH (GOV REPO) 1.0000 6 N N/A N/A N N 0.0031 5000000.00 5000000.00 0.0016 N N Y N CIBC Bank U.S.A. CIBC Bank U.S.A., 0.36% 2IGI19DL77OX0HC3ZE78 IGC017000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N United States Treasury 2023-10-31 2051-05-15 0.25 - 3.125 6308600.00 5105693.97 U.S. Treasuries (including strips) Y N/A N/A 2022-05-06 2022-05-06 2022-07-26 Y CIBC NY BRNCH (GOV REPO) 1.0000 7 N N/A N/A N N 0.0036 5000000.00 5000000.00 0.0016 N N Y N Citigroup Global Capital Markets, Inc. Citigroup Global Capital Markets, Inc., 0.31% MBNUM2BPBDO7JBLYG310 0000315030 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N United States Treasury 2022-09-01 2023-02-15 0 - 7.125 9227200.00 9181136.85 U.S. Treasuries (including strips) Y N/A N/A 2022-05-05 2022-05-05 2022-05-05 Y CITIGROUP INC 1.0000 6 N N/A N/A Y CITIGROUP INC 1.0000 N/A N/A N 0.0031 9000000.00 9000000.00 0.0028 N N Y N Commerz Markets LLC Commerz Markets LLC, 0.30% 549300IMBXQ8SGH3HJ31 JAG970000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N United States Treasury 2023-01-31 2052-02-15 0.375 - 2.625 9738500.00 9180546.77 U.S. Treasuries (including strips) Y N/A N/A 2022-05-04 2022-05-04 2022-05-04 N N N 0.0030 9000000.00 9000000.00 0.0028 N N Y N Commerz Markets LLC Commerz Markets LLC, 0.30% 549300IMBXQ8SGH3HJ31 JAH614000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N United States Treasury 2025-04-15 2041-05-15 0.25 - 2.625 11191300.00 10200354.68 U.S. Treasuries (including strips) Y N/A N/A 2022-05-05 2022-05-05 2022-05-05 N N N 0.0030 10000000.00 10000000.00 0.0031 N N Y N DNB Bank ASA DNB Bank ASA, 0.30% 549300GKFG0RYRRQ1414 JAI192000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N United States Treasury 2023-03-31 2030-08-15 0.625 - 3.125 4879400.00 4080170.65 U.S. Treasuries (including strips) Y N/A N/A 2022-05-02 2022-05-02 2022-05-02 N N N 0.0030 4000000.00 4000000.00 0.0012 N Y Y N FICC ACAFB Repo Program FICC ACAFB Repo Program, 0.30% JAI229000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2030-05-15 2030-05-15 0.625 - 0.625 1213000.00 1021427.89 U.S. Treasuries (including strips) Y N/A N/A 2022-05-02 2022-05-02 2022-05-02 N N N 0.0030 1000000.00 1000000.00 0.0003 N Y Y N Fixed Income Clearing Corp. - BNYM Fixed Income Clearing Corp. - BNYM, 0.30% 549300H47WTHXPU08X20 JAI649000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N United States Treasury 2038-05-15 2038-05-15 4.5 - 4.5 5003400.00 6120029.04 U.S. Treasuries (including strips) Y N/A N/A 2022-05-02 2022-05-02 2022-05-02 N N N 0.0030 6000000.00 6000000.00 0.0019 N Y Y N Fixed Income Clearing Corp.- Morgan Stanley & CO LLC Fixed Income Clearing Corp.- Morgan Stanley & CO LLC, 0.30% JAI172000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2024-02-15 2024-02-15 2.75 - 2.75 12140000.00 12241467.09 U.S. Treasuries (including strips) Y N/A N/A 2022-05-02 2022-05-02 2022-05-02 N N N 0.0030 12000000.00 12000000.00 0.0037 N Y Y N Goldman Sachs & Co. Goldman Sachs & Co., 0.31% FOR8UP27PHTHYVLBNG30 0000769993 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N United States Treasury 2025-05-31 2025-05-31 0.25 - 0.25 19899200.00 18360657.93 U.S. Treasuries (including strips) Y N/A N/A 2022-05-05 2022-05-05 2022-05-05 N N N 0.0030 18000000.00 18000000.00 0.0056 N N Y N ING Financial Markets LLC ING Financial Markets LLC, 0.30% KBVRJ5K57JZ3E2AVWX40 0000877559 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2023-08-31 2023-08-31 1.375 - 1.375 3100000.00 3065893.04 U.S. Treasuries (including strips) Y N/A N/A 2022-05-02 2022-05-02 2022-05-02 N N N 0.0030 3000000.00 3000000.00 0.0009 N Y Y N Lloyds Bank Corp. Markets PLC Lloyds Bank Corp. Markets PLC, 0.33% 213800MBWEIJDM5CU638 IIA317000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2022-10-31 2041-05-15 1.125 - 2.25 4033300.00 4081934.64 U.S. Treasuries (including strips) Y N/A N/A 2022-05-03 2022-05-03 2022-05-03 N N N 0.0033 4000000.00 4000000.00 0.0012 N N Y N Lloyds Bank Corp. Markets PLC Lloyds Bank Corp. Markets PLC, 0.33% 213800MBWEIJDM5CU638 IIB107000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2024-10-31 2041-05-15 0.5 - 2.25 4207300.00 4091618.65 U.S. Treasuries (including strips) Y N/A N/A 2022-05-05 2022-05-05 2022-05-05 N N N 0.0033 4000000.00 4000000.00 0.0012 N N Y N Lloyds Bank Corp. Markets PLC Lloyds Bank Corp. Markets PLC, 1.03% 213800MBWEIJDM5CU638 JAH007000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2024-12-31 2024-12-31 1.75 - 1.75 3126700.00 3059242.95 U.S. Treasuries (including strips) Y N/A N/A 2022-07-28 2022-07-28 2022-07-28 N N N 0.0103 3000000.00 3000000.00 0.0009 N N N Y Lloyds Bank Corp. Markets PLC Lloyds Bank Corp. Markets PLC, 1.05% 213800MBWEIJDM5CU638 JAH006000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2023-06-15 2028-07-31 0.25 - 1 3122900.00 3058772.42 U.S. Treasuries (including strips) Y N/A N/A 2022-07-29 2022-07-29 2022-07-29 N N N 0.0105 3000000.00 3000000.00 0.0009 N N N Y Lloyds Bank Corp. Markets PLC Lloyds Bank Corp. Markets PLC, 1.09% 213800MBWEIJDM5CU638 JAH645000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2039-11-15 2039-11-15 4.375 - 4.375 2536800.00 3059073.34 U.S. Treasuries (including strips) Y N/A N/A 2022-08-03 2022-08-03 2022-08-03 N N N 0.0109 3000000.00 3000000.00 0.0009 N N N Y Lloyds Bank PLC Lloyds Bank PLC, 0.34% H7FNTJ4851HG0EXQ1Z70 IIA315000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2026-02-15 2026-08-15 6 - 6.75 1824800.00 2048266.58 U.S. Treasuries (including strips) Y N/A N/A 2022-05-03 2022-05-03 2022-05-03 N N N 0.0034 2000000.00 2000000.00 0.0006 N N Y N Lloyds Bank PLC Lloyds Bank PLC, 0.35% H7FNTJ4851HG0EXQ1Z70 III896000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2025-02-28 2026-08-15 2.75 - 6.75 2032800.00 2046119.17 U.S. Treasuries (including strips) Y N/A N/A 2022-05-05 2022-05-05 2022-05-05 N N N 0.0035 2000000.00 2000000.00 0.0006 N N Y N Lloyds Bank PLC Lloyds Bank PLC, 0.36% H7FNTJ4851HG0EXQ1Z70 IIB952000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2026-02-15 2028-11-30 1.375 - 6.75 3284000.00 3076594.38 U.S. Treasuries (including strips) Y N/A N/A 2022-05-05 2022-05-05 2022-05-05 N N N 0.0036 3000000.00 3000000.00 0.0009 N N Y N Lloyds Bank PLC Lloyds Bank PLC, 0.47% H7FNTJ4851HG0EXQ1Z70 IID666000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2024-03-15 2026-02-15 0.25 - 6 2123500.00 2044849.89 U.S. Treasuries (including strips) Y N/A N/A 2022-06-08 2022-06-08 2022-06-08 N N N 0.0047 2000000.00 2000000.00 0.0006 N N N Y Lloyds Bank PLC Lloyds Bank PLC, 1.04% H7FNTJ4851HG0EXQ1Z70 JAH010000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2024-08-15 2026-02-15 2.375 - 6 3062400.00 3058448.65 U.S. Treasuries (including strips) Y N/A N/A 2022-07-29 2022-07-29 2022-07-29 N N N 0.0104 3000000.00 3000000.00 0.0009 N N N Y Mizuho Bank, Ltd. Mizuho Bank, Ltd., 0.30% RB0PEZSDGCO3JS6CEU02 JAI204000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2031-05-15 2031-05-15 1.625 - 1.625 11214000.00 10198437.93 U.S. Treasuries (including strips) Y N/A N/A 2022-05-02 2022-05-02 2022-05-02 N N N 0.0030 10000000.00 10000000.00 0.0031 N Y Y N MUFG Securities EMEA PLC MUFG Securities EMEA PLC, 0.30% U7M81AY481YLIOR75625 JAI177000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2022-11-30 2026-02-28 0.5 - 2 32948700.00 30592448.44 U.S. Treasuries (including strips) Y N/A N/A 2022-05-02 2022-05-02 2022-05-02 N N N 0.0030 30000000.00 30000000.00 0.0093 N Y Y N Norinchukin Bank Norinchukin Bank, 0.36% 5493007VSMFZCPV1NB83 JAD296000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES OF A 2026-08-15 2027-11-15 1.5 - 2.25 37500.00 36312.83 U.S. Treasuries (including strips) UNITED STATES OF A 2031-05-15 2031-05-15 0 - 0 9600.00 8651.04 U.S. Treasuries (including strips) UNITED STATES OF A 2031-02-15 2031-02-15 5.375 - 5.375 2500100.00 3015347.10 U.S. Treasuries (including strips) Y N/A N/A 2022-05-03 2022-05-03 2022-05-03 N N N 0.0036 3000000.00 3000000.00 0.0009 N N Y N Norinchukin Bank Norinchukin Bank, 0.36% 5493007VSMFZCPV1NB83 JAE774000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES OF A 2026-08-15 2027-11-15 1.5 - 2.25 41300.00 40243.52 U.S. Treasuries (including strips) UNITED STATES OF A 2030-08-15 2031-05-15 0 - 0.625 6033900.00 5060166.66 U.S. Treasuries (including strips) Y N/A N/A 2022-05-03 2022-05-03 2022-05-03 N N N 0.0036 5000000.00 5000000.00 0.0016 N N Y N Norinchukin Bank Norinchukin Bank, 0.36% 5493007VSMFZCPV1NB83 JAB446000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES OF A 2030-08-15 2031-05-15 0 - 0.625 54200.00 47363.62 U.S. Treasuries (including strips) UNITED STATES OF A 2025-06-30 2027-11-15 1.5 - 2.75 6037500.00 6073549.26 U.S. Treasuries (including strips) UNITED STATES OF A 2031-02-15 2031-02-15 5.375 - 5.375 100.00 120.60 U.S. Treasuries (including strips) Y N/A N/A 2022-05-04 2022-05-04 2022-05-04 N N N 0.0036 6000000.00 6000000.00 0.0019 N N Y N Norinchukin Bank Norinchukin Bank, 0.36% 5493007VSMFZCPV1NB83 JAA344000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES OF A 2031-05-15 2031-05-15 0 - 0 21500.00 19374.72 U.S. Treasuries (including strips) UNITED STATES OF A 2026-08-15 2027-11-15 1.5 - 2.375 4156300.00 4039663.11 U.S. Treasuries (including strips) UNITED STATES OF A 2026-08-15 2026-08-15 6.75 - 6.75 18600.00 21750.14 U.S. Treasuries (including strips) Y N/A N/A 2022-05-05 2022-05-05 2022-05-05 N N N 0.0036 4000000.00 4000000.00 0.0012 N N Y N Norinchukin Bank Norinchukin Bank, 0.53% 5493007VSMFZCPV1NB83 JAG536000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES OF A 2026-08-15 2027-11-15 1.5 - 2.25 4303900.00 4080186.96 U.S. Treasuries (including strips) Y N/A N/A 2022-05-10 2022-05-10 2022-05-10 N N N 0.0053 4000000.00 4000000.00 0.0012 N N N Y Norinchukin Bank Norinchukin Bank, 0.56% 5493007VSMFZCPV1NB83 JAH651000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES OF A 2026-08-15 2027-02-15 1.5 - 2.25 2152200.00 2040114.87 U.S. Treasuries (including strips) Y N/A N/A 2022-05-10 2022-05-10 2022-05-10 N N N 0.0056 2000000.00 2000000.00 0.0006 N N N Y RBC Dominion Securities RBC Dominion Securities, 0.31% 549300QJJX6CVVUXLE15 III829000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N United States Treasury 2022-07-14 2051-11-15 0 - 6.5 6822300.00 7144251.00 U.S. Treasuries (including strips) Y N/A N/A 2022-05-05 2022-05-05 2022-05-05 Y RBC DOMINION SECS (GOV REPO) 1.0000 6 N N/A N/A N N 0.0031 7000000.00 7000000.00 0.0022 N N Y N Royal Bank of Canada Royal Bank of Canada, 0.30% ES7IP3U3RHIGC71XBU11 JAF683000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N United States Treasury 2023-08-15 2051-05-15 1.125 - 2.75 1014300.00 1020181.07 U.S. Treasuries (including strips) Y N/A N/A 2022-05-02 2022-05-02 2022-05-02 N N N 0.0030 1000000.00 1000000.00 0.0003 N Y Y N Royal Bank of Canada Royal Bank of Canada, 0.30% ES7IP3U3RHIGC71XBU11 JAG954000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N United States Treasury 2022-08-15 2051-05-15 0.125 - 2.75 8767700.00 8239333.39 U.S. Treasuries (including strips) Y N/A N/A 2022-05-05 2022-05-05 2022-05-05 Y ROYAL BANK OF CAN (GOV REPO) 1.0000 6 N N/A N/A N N 0.0030 8000000.00 8000000.00 0.0025 N N Y N Royal Bank of Canada Royal Bank of Canada, 0.31% ES7IP3U3RHIGC71XBU11 III821000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N United States Treasury 2022-11-15 2051-05-15 0.75 - 2.75 2029300.00 2040971.32 U.S. Treasuries (including strips) Y N/A N/A 2022-05-05 2022-05-05 2022-05-05 Y ROYAL BANK OF CAN (GOV REPO) 1.0000 6 N N/A N/A N N 0.0031 2000000.00 2000000.00 0.0006 N N Y N Royal Bank of Canada Royal Bank of Canada, 0.31% ES7IP3U3RHIGC71XBU11 III822000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N United States Treasury 2022-08-15 2051-05-15 0.125 - 3.125 2051300.00 2043805.86 U.S. Treasuries (including strips) Y N/A N/A 2022-05-05 2022-05-05 2022-05-05 Y ROYAL BANK OF CAN (GOV REPO) 1.0000 6 N N/A N/A N N 0.0031 2000000.00 2000000.00 0.0006 N N Y N SMBC Nikko Securities America, Inc. SMBC Nikko Securities America, Inc., 0.30% 6PJDTY319315T5LR2241 JAI201000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2024-02-15 2047-08-15 2.25 - 3.125 733795000.00 717308862.38 U.S. Treasuries (including strips) Y N/A N/A 2022-05-02 2022-05-02 2022-05-02 N N N 0.0030 700000000.00 700000000.00 0.2181 N Y Y N Societe Generale Societe Generale, 0.30% O2RNE8IBXP4R0TD8PU41 JAH615000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N United States Treasury 2022-06-16 2050-02-15 0 - 7.625 3044300.00 3061899.58 U.S. Treasuries (including strips) Y N/A N/A 2022-05-05 2022-05-05 2022-05-05 N N N 0.0030 3000000.00 3000000.00 0.0009 N N Y N Fannie Mae Fannie Mae, 0.40% 3135G05N9 B1V7KEBTPIMZEU4LTD58 US3135G05N95 0000310522 U.S. Government Agency Debt Y N/A N/A 2022-05-02 2022-07-29 2022-07-29 N N N 0.0030 7001751.54 7001751.54 0.0022 N N N N Fannie Mae Fannie Mae, 0.47% 3135G05D1 B1V7KEBTPIMZEU4LTD58 US3135G05D14 0000310522 U.S. Government Agency Debt Y N/A N/A 2022-05-04 2022-07-06 2022-07-06 N N N 0.0029 32010679.68 32010679.68 0.0100 N N N N Fannie Mae Fannie Mae, 0.48% 3135G04X8 B1V7KEBTPIMZEU4LTD58 US3135G04X86 0000310522 U.S. Government Agency Debt Y N/A N/A 2022-05-02 2022-06-15 2022-06-15 N N N 0.0032 12002451.48 12002451.48 0.0037 N N N N Fannie Mae Fannie Mae, 0.48% 3135G05A7 B1V7KEBTPIMZEU4LTD58 US3135G05A74 0000310522 U.S. Government Agency Debt Y N/A N/A 2022-05-02 2022-06-24 2022-06-24 N N N 0.0029 25007169.75 25007169.75 0.0078 N N N N Fannie Mae Fannie Mae, 0.50% 3135G04L4 B1V7KEBTPIMZEU4LTD58 US3135G04L49 0000310522 U.S. Government Agency Debt Y N/A N/A 2022-05-02 2022-05-09 2022-05-09 N N N 0.0036 14000524.30 14000524.30 0.0044 N N N N Fannie Mae Fannie Mae, 0.55% 3135G04G5 B1V7KEBTPIMZEU4LTD58 US3135G04G53 0000310522 U.S. Government Agency Debt Y N/A N/A 2022-05-02 2022-05-04 2022-05-04 N N N 0.0044 19000288.61 19000288.61 0.0059 N N Y N Federal Farm Credit Bank Federal Farm Credit Bank, 0.07% 3133ELZN7 US3133ELZN72 U.S. Government Agency Debt Y N/A N/A 2022-05-18 2022-05-18 2022-05-18 N N N 0.0070 5248498.61 5248498.61 0.0016 N N N N Federal Farm Credit Bank Federal Farm Credit Bank, 0.11% 3133ENCW8 US3133ENCW84 U.S. Government Agency Debt Y N/A N/A 2022-07-29 2022-07-29 2022-07-29 N N N 0.0065 3994266.32 3994266.32 0.0012 N N N N Federal Farm Credit Bank Federal Farm Credit Bank, 0.14% 3133ENFU9 US3133ENFU91 U.S. Government Agency Debt Y N/A N/A 2022-08-16 2022-08-16 2022-08-16 N N N 0.0080 5988149.22 5988149.22 0.0019 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.06% 3130APQ24 2549001DPIFGXC1TOL40 US3130APQ241 0001026214 U.S. Government Agency Debt Y N/A N/A 2022-05-02 2022-05-02 2022-05-02 N N N 0.0006 6000000.00 6000000.00 0.0019 N Y Y N Federal Home Loan Bank Federal Home Loan Bank, 0.09% 3130AQJL8 2549001DPIFGXC1TOL40 US3130AQJL84 0001026214 U.S. Government Agency Debt Y N/A N/A 2022-05-20 2022-05-20 2022-05-20 N N N 0.0054 1999508.66 1999508.66 0.0006 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.10% 3130AQGC1 2549001DPIFGXC1TOL40 US3130AQGC13 0001026214 U.S. Government Agency Debt Y N/A N/A 2022-05-27 2022-05-27 2022-05-27 N N N 0.0058 5997861.90 5997861.90 0.0019 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.10% 3130AQGL1 2549001DPIFGXC1TOL40 US3130AQGL12 0001026214 U.S. Government Agency Debt Y N/A N/A 2022-05-27 2022-05-27 2022-05-27 N N N 0.0058 1999287.30 1999287.30 0.0006 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.34% 3130AKFT8 2549001DPIFGXC1TOL40 US3130AKFT86 0001026214 U.S. Government Agency Debt Y N/A N/A 2022-05-02 2022-05-12 2022-05-12 N N N 0.0027 30000715.80 30000715.80 0.0093 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.34% 3130AKH82 2549001DPIFGXC1TOL40 US3130AKH829 0001026214 U.S. Government Agency Debt Y N/A N/A 2022-05-02 2022-11-18 2022-11-18 N N N 0.0030 9002158.20 9002158.20 0.0028 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.34% 3130AKGC4 2549001DPIFGXC1TOL40 US3130AKGC43 0001026214 U.S. Government Agency Debt Y N/A N/A 2022-05-02 2022-05-17 2022-05-17 N N N 0.0032 5000043.90 5000043.90 0.0016 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.34% 3130AKJK3 2549001DPIFGXC1TOL40 US3130AKJK32 0001026214 U.S. Government Agency Debt Y N/A N/A 2022-05-02 2022-12-08 2022-12-08 N N N 0.0029 38011625.72 38011625.72 0.0118 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.34% 3130AKK47 2549001DPIFGXC1TOL40 US3130AKK476 0001026214 U.S. Government Agency Debt Y N/A N/A 2022-05-02 2022-12-15 2022-12-15 N N N 0.0031 37005853.03 37005853.03 0.0115 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.34% 3130AKHU3 2549001DPIFGXC1TOL40 US3130AKHU32 0001026214 U.S. Government Agency Debt Y N/A N/A 2022-05-02 2022-12-02 2022-12-02 N N N 0.0030 18004552.92 18004552.92 0.0056 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.34% 3130AKHJ8 2549001DPIFGXC1TOL40 US3130AKHJ86 0001026214 U.S. Government Agency Debt Y N/A N/A 2022-05-02 2022-11-23 2022-11-23 N N N 0.0030 24005826.72 24005826.72 0.0075 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.37% 3130AJYL7 2549001DPIFGXC1TOL40 US3130AJYL76 0001026214 U.S. Government Agency Debt Y N/A N/A 2022-05-02 2022-08-12 2022-08-12 N N N 0.0029 12002702.40 12002702.40 0.0037 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.37% 3130AJZX0 2549001DPIFGXC1TOL40 US3130AJZX06 0001026214 U.S. Government Agency Debt Y N/A N/A 2022-05-02 2022-05-26 2022-05-26 N N N 0.0032 16000564.16 16000564.16 0.0050 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.37% 313385WS1 2549001DPIFGXC1TOL40 US313385WS12 U.S. Government Agency Debt Y N/A N/A 2022-05-12 2022-05-12 2022-05-12 N N N 0.0037 999866.99 999866.99 0.0003 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.38% 3130AK6N1 2549001DPIFGXC1TOL40 US3130AK6N12 0001026214 U.S. Government Agency Debt Y N/A N/A 2022-05-02 2022-09-16 2022-09-16 N N N 0.0029 7002246.02 7002246.02 0.0022 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.38% 3130AK5R3 2549001DPIFGXC1TOL40 US3130AK5R35 0001026214 U.S. Government Agency Debt Y N/A N/A 2022-05-02 2022-09-15 2022-09-15 N N N 0.0029 8002544.08 8002544.08 0.0025 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.40% 313385WW2 2549001DPIFGXC1TOL40 US313385WW24 U.S. Government Agency Debt Y N/A N/A 2022-05-16 2022-05-16 2022-05-16 N N N 0.0040 1999627.60 1999627.60 0.0006 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.40% 313385WX0 2549001DPIFGXC1TOL40 US313385WX07 U.S. Government Agency Debt Y N/A N/A 2022-05-17 2022-05-17 2022-05-17 N N N 0.0040 2999401.50 2999401.50 0.0009 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.41% 313385WZ5 2549001DPIFGXC1TOL40 US313385WZ54 U.S. Government Agency Debt Y N/A N/A 2022-05-19 2022-05-19 2022-05-19 N N N 0.0041 8997965.10 8997965.10 0.0028 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.41% 313385XA9 2549001DPIFGXC1TOL40 US313385XA94 U.S. Government Agency Debt Y N/A N/A 2022-05-20 2022-05-20 2022-05-20 N N N 0.0041 10997366.60 10997366.60 0.0034 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.42% 313385XD3 2549001DPIFGXC1TOL40 US313385XD34 U.S. Government Agency Debt Y N/A N/A 2022-05-23 2022-05-23 2022-05-23 N N N 0.0042 999720.71 999720.71 0.0003 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.42% 313385XE1 2549001DPIFGXC1TOL40 US313385XE17 U.S. Government Agency Debt Y N/A N/A 2022-05-24 2022-05-24 2022-05-24 N N N 0.0042 4998537.05 4998537.05 0.0016 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.43% 313385XF8 2549001DPIFGXC1TOL40 US313385XF81 U.S. Government Agency Debt Y N/A N/A 2022-05-25 2022-05-25 2022-05-25 N N N 0.0043 999694.11 999694.11 0.0003 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.43% 313385XH4 2549001DPIFGXC1TOL40 US313385XH48 U.S. Government Agency Debt Y N/A N/A 2022-05-27 2022-05-27 2022-05-27 N N N 0.0043 6997667.46 6997667.46 0.0022 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.67% 313385XT8 2549001DPIFGXC1TOL40 US313385XT85 U.S. Government Agency Debt Y N/A N/A 2022-06-06 2022-06-06 2022-06-06 N N N 0.0067 5995816.50 5995816.50 0.0019 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.67% 313385XU5 2549001DPIFGXC1TOL40 US313385XU58 U.S. Government Agency Debt Y N/A N/A 2022-06-07 2022-06-07 2022-06-07 N N N 0.0067 13989959.76 13989959.76 0.0044 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.68% 313385YD2 2549001DPIFGXC1TOL40 US313385YD25 U.S. Government Agency Debt Y N/A N/A 2022-06-16 2022-06-16 2022-06-16 N N N 0.0068 2997310.89 2997310.89 0.0009 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.69% 313385YM2 2549001DPIFGXC1TOL40 US313385YM24 U.S. Government Agency Debt Y N/A N/A 2022-06-24 2022-06-24 2022-06-24 N N N 0.0069 1997888.72 1997888.72 0.0006 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.69% 313385YS9 2549001DPIFGXC1TOL40 US313385YS93 U.S. Government Agency Debt Y N/A N/A 2022-06-29 2022-06-29 2022-06-29 N N N 0.0069 4994224.10 4994224.10 0.0016 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.69% 313385YT7 2549001DPIFGXC1TOL40 US313385YT76 U.S. Government Agency Debt Y N/A N/A 2022-06-30 2022-06-30 2022-06-30 N N N 0.0069 7990571.12 7990571.12 0.0025 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.86% 313385YU4 2549001DPIFGXC1TOL40 US313385YU40 U.S. Government Agency Debt Y N/A N/A 2022-07-01 2022-07-01 2022-07-01 N N N 0.0086 998502.25 998502.25 0.0003 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.87% 313385ZX7 2549001DPIFGXC1TOL40 US313385ZX79 U.S. Government Agency Debt Y N/A N/A 2022-07-28 2022-07-28 2022-07-28 N N N 0.0087 1995674.14 1995674.14 0.0006 N N N N Federal Home Loan Bank Federal Home Loan Bank, 1.20% 313385E93 2549001DPIFGXC1TOL40 US313385E931 U.S. Government Agency Debt Y N/A N/A 2022-09-08 2022-09-08 2022-09-08 N N N 0.0120 2987098.38 2987098.38 0.0009 N N N N Federal Home Loan Bank Federal Home Loan Bank, 1.21% 313385G75 2549001DPIFGXC1TOL40 US313385G753 U.S. Government Agency Debt Y N/A N/A 2022-09-22 2022-09-22 2022-09-22 N N N 0.0121 1990467.70 1990467.70 0.0006 N N N N Freddie Mac Freddie Mac, 0.37% 3134GWRY4 S6XOOCT0IEG5ABCC6L87 US3134GWRY40 U.S. Government Agency Debt Y N/A N/A 2022-05-02 2022-08-18 2022-08-18 N N N 0.0031 12002297.04 12002297.04 0.0037 N N N N Freddie Mac Freddie Mac, 0.37% 3134GWKC9 S6XOOCT0IEG5ABCC6L87 US3134GWKC92 U.S. Government Agency Debt Y N/A N/A 2022-05-03 2022-08-03 2022-08-03 N N N 0.0030 14002417.80 14002417.80 0.0044 N N N N Freddie Mac Freddie Mac, 0.38% 3134GWJR8 S6XOOCT0IEG5ABCC6L87 US3134GWJR80 U.S. Government Agency Debt Y N/A N/A 2022-05-02 2022-07-29 2022-07-29 N N N 0.0030 13002491.71 13002491.71 0.0041 N N N N Freddie Mac Freddie Mac, 0.38% 3134GWQ25 S6XOOCT0IEG5ABCC6L87 US3134GWQ253 U.S. Government Agency Debt Y N/A N/A 2022-05-02 2022-09-09 2022-09-09 N N N 0.0031 26006042.40 26006042.40 0.0081 N N N N Freddie Mac Freddie Mac, 0.47% 3134GVJ25 S6XOOCT0IEG5ABCC6L87 US3134GVJ250 U.S. Government Agency Debt Y N/A N/A 2022-05-02 2022-06-02 2022-06-02 N N N 0.0029 78012813.84 78012813.84 0.0243 N N N N ABN AMRO Bank NV ABN AMRO Bank NV, 0.30% JAI184000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N Government National Mortgage Association 2051-09-20 2051-09-20 2.5 - 2.5 450290.00 403874.03 Agency Mortgage-Backed Securities Federal National Mortgage Association 2051-11-01 2051-11-01 2.5 - 3 9680291.00 8776355.90 Agency Mortgage-Backed Securities Y N/A N/A 2022-05-02 2022-05-02 2022-05-02 N N N 0.0030 9000000.00 9000000.00 0.0028 N Y Y N Bank Of America, N.A. In a joint trading account with Bank Of America, N.A. at 0.3%, dated 4/29/2022 due 05/02/2022 B4TYDEB6GKMZO031MB27 JAI669000_00352 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N Government National Mortgage Association 2039-12-20 2050-06-20 3 - 5.25 147597213.00 21684448.43 Agency Collateralized Mortgage Obligation Y N/A N/A 2022-05-02 2022-05-02 2022-05-02 N N N 0.0030 21116000.00 21116000.00 0.0066 N Y Y N BMO Harris Bank NA BMO Harris Bank NA, 0.32% 3Y4U8VZURTYWI1W2K376 III859000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N Federal National Mortgage Association 2025-12-01 2052-04-01 2.5 - 4.5 1260725.00 976643.87 Agency Mortgage-Backed Securities Government National Mortgage Association 2050-08-20 2057-05-15 2.3 - 3 2675176.00 1660091.69 Agency Mortgage-Backed Securities Federal Home Loan Mortgage Corp 2051-12-01 2052-04-01 2.5 - 4 449326.00 424496.87 Agency Mortgage-Backed Securities Y N/A N/A 2022-05-05 2022-05-05 2022-05-05 Y BMO CHICAGO BRH IL (GOV REPO) 1.0000 6 N N/A N/A N N 0.0031 3000000.00 3000000.00 0.0009 N N Y N BNP Paribas, SA BNP Paribas, SA, 0.30% R0MUWSFPU8MPRO8K5P83 JAG975000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N United States Treasury 2024-01-31 2051-05-15 0 - 0.877 19607789.00 11330471.10 U.S. Treasuries (including strips) Y N/A N/A 2022-05-05 2022-05-05 2022-05-05 Y BNP PARIBAS (GOV REPO) 1.0000 6 N N/A N/A N N 0.0030 11000000.00 11000000.00 0.0034 N N Y N BNY Mellon Capital Markets LLC In a joint trading account with BNY Mellon Capital Markets LLC at 0.3%, dated 4/29/2022 due 05/02/2022 VJW2DOOHGDT6PR0ZRO63 JAI669000_08066 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N United States Treasury 2022-05-05 2052-02-15 0 - 7.625 5918689.00 5876840.72 U.S. Treasuries (including strips) Government National Mortgage Association 2022-08-20 2052-03-20 1.5 - 9 4276243.00 3589402.80 Agency Mortgage-Backed Securities Federal Farm Credit Bank 2022-05-18 2035-05-14 0.125 - 3.5 142749.00 137498.27 Agency Debentures and Agency Strips Federal National Mortgage Association 2022-05-25 2052-05-01 0.375 - 9 2459955.00 1769319.33 Agency Mortgage-Backed Securities Federal Home Loan Banks 2022-05-27 2028-11-16 0 - 3.375 1193544.00 1167308.07 Agency Debentures and Agency Strips Federal Home Loan Mortgage Corp 2022-10-01 2052-05-01 0.125 - 8 1354316.00 887242.00 Agency Mortgage-Backed Securities Tennessee Valley Authority 2022-08-15 2048-01-15 1.875 - 4.875 135.00 157.77 Agency Debentures and Agency Strips Y N/A N/A 2022-05-02 2022-05-02 2022-05-02 N N N 0.0030 13153000.00 13153000.00 0.0041 N Y Y N Bofa Secs Inc In a joint trading account with Bofa Secs Inc at 0.3%, dated 4/29/2022 due 05/02/2022 8NAV47T0Y26Q87Y0QP81 JAI669000_00431 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N United States Treasury 2040-08-15 2046-05-15 1.125 - 2.5 457616.00 360326.19 U.S. Treasuries (including strips) Government National Mortgage Association 2061-06-20 2072-03-20 1.565 - 5.39 2814316.00 2712734.10 Agency Mortgage-Backed Securities Federal National Mortgage Association 2032-04-01 2061-01-01 1.5 - 5 24015262.00 8894351.97 Agency Mortgage-Backed Securities Y N/A N/A 2022-05-02 2022-05-02 2022-05-02 N Y Bank of America Corporation 1.0000 N/A N/A N 0.0030 11731000.00 11731000.00 0.0037 N Y Y N CIBC Bank U.S.A. CIBC Bank U.S.A., 0.26% 2IGI19DL77OX0HC3ZE78 IGI031000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N Federal National Mortgage Association 2031-02-01 2052-03-01 2.5 - 5 1555148.00 1266581.16 Agency Mortgage-Backed Securities United States Treasury 2022-07-14 2030-08-15 0 - 0.625 4200.00 3534.44 U.S. Treasuries (including strips) Government National Mortgage Association 2048-07-20 2048-07-20 4 - 4 1311765.00 689219.16 Agency Mortgage-Backed Securities Federal Home Loan Mortgage Corp 2048-05-01 2048-05-01 3.5 - 3.5 210410.00 81976.52 Agency Mortgage-Backed Securities Y N/A N/A 2022-05-06 2022-05-06 2022-05-12 Y CIBC NY BRNCH (GOV REPO) 1.0000 7 N N/A N/A N N 0.0026 2000000.00 2000000.00 0.0006 N N Y N CIBC Bank U.S.A. CIBC Bank U.S.A., 0.29% 2IGI19DL77OX0HC3ZE78 IGI032000 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 2036-04-01 2050-12-01 2 - 2.5 7659.00 6191.68 Agency Mortgage-Backed Securities United States Treasury 2030-08-15 2030-08-15 0.625 - 0.625 2800.00 2334.93 U.S. Treasuries (including strips) Federal National Mortgage Association 2030-09-01 2051-05-01 3 - 5 2619198.00 2032936.00 Agency Mortgage-Backed Securities Y N/A N/A 2022-05-06 2022-05-06 2022-05-23 Y CIBC NY BRNCH (GOV REPO) 1.0000 7 N N/A N/A N N 0.0029 2000000.00 2000000.00 0.0006 N N Y N CIBC Bank U.S.A. CIBC Bank U.S.A., 0.31% 2IGI19DL77OX0HC3ZE78 JAB703000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N Federal National Mortgage Association 2028-10-01 2051-04-01 3 - 4 6647358.00 3060466.76 Agency Mortgage-Backed Securities Y N/A N/A 2022-05-05 2022-05-05 2022-05-05 Y CIBC NY BRNCH (GOV REPO) 1.0000 6 N N/A N/A N N 0.0030 3000000.00 3000000.00 0.0009 N N Y N CIBC Bank U.S.A. CIBC Bank U.S.A., 0.31% 2IGI19DL77OX0HC3ZE78 JAE987000 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 2050-12-01 2051-05-01 2.5 - 3 2580377.00 2036324.84 Agency Mortgage-Backed Securities United States Treasury 2022-12-31 2030-08-15 0.125 - 0.625 4600.00 3851.56 U.S. Treasuries (including strips) Y N/A N/A 2022-05-05 2022-05-05 2022-05-05 Y CIBC NY BRNCH (GOV REPO) 1.0000 6 N N/A N/A N N 0.0031 2000000.00 2000000.00 0.0006 N N Y N CIBC Bank U.S.A. CIBC Bank U.S.A., 0.35% 2IGI19DL77OX0HC3ZE78 IGE657000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N Federal National Mortgage Association 2028-10-01 2052-03-01 2.5 - 4.5 2623814.00 2036848.71 Agency Mortgage-Backed Securities Federal Farm Credit Bank 2041-09-27 2041-09-27 2.35 - 2.35 2000.00 1601.44 Agency Debentures and Agency Strips United States Treasury 2025-11-15 2030-08-15 0.625 - 2.25 4000.00 3473.78 U.S. Treasuries (including strips) Y N/A N/A 2022-05-06 2022-05-06 2022-07-05 Y CIBC NY BRNCH (GOV REPO) 1.0000 7 N N/A N/A N N 0.0035 2000000.00 2000000.00 0.0006 N N Y N CIBC Bank U.S.A. CIBC Bank U.S.A., 0.38% 2IGI19DL77OX0HC3ZE78 IGE658000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N United States Treasury 2025-09-30 2030-08-15 0.25 - 0.625 31500.00 28600.68 U.S. Treasuries (including strips) Federal National Mortgage Association 2028-10-01 2052-03-01 2.49 - 4.5 1259762.00 644802.09 Agency Mortgage-Backed Securities Federal Home Loan Mortgage Corp 2050-12-01 2052-03-01 2.5 - 3.5 486678.00 330537.73 Agency Mortgage-Backed Securities Federal Farm Credit Bank 2033-06-20 2041-09-27 2.35 - 3.99 20000.00 17103.92 Agency Debentures and Agency Strips Y N/A N/A 2022-05-06 2022-05-06 2022-07-14 Y CIBC NY BRNCH (GOV REPO) 1.0000 7 N N/A N/A N N 0.0038 1000000.00 1000000.00 0.0003 N N Y N CIBC Bank U.S.A. CIBC Bank U.S.A., 0.40% 2IGI19DL77OX0HC3ZE78 III424000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N Federal National Mortgage Association 2037-09-25 2055-04-25 1.588 - 5.852 23842238.00 1042060.68 Agency Mortgage-Backed Securities United States Treasury 2025-11-15 2030-08-15 0.625 - 2.5 9300.00 8057.35 U.S. Treasuries (including strips) Y N/A N/A 2022-05-05 2022-05-05 2022-05-05 N N N 0.0040 1000000.00 1000000.00 0.0003 N N Y N Citibank NA Citibank NA, 0.31% E57ODZWZ7FF32TWEFA76 0000036684 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N Federal Farm Credit Bank 2022-05-27 2023-05-10 0.125 - 0.53 1440000.00 1410581.87 Agency Debentures and Agency Strips Resolution Funding Corp 2030-01-15 2030-01-15 0 - 0 1000.00 783.74 Agency Debentures and Agency Strips United States Treasury 2022-06-23 2051-08-15 0 - 2.875 8859700.00 8789705.27 U.S. Treasuries (including strips) Y N/A N/A 2022-05-03 2022-05-03 2022-05-03 N N N 0.0031 10000000.00 10000000.00 0.0031 N N Y N Citibank NA Citibank NA, 0.31% E57ODZWZ7FF32TWEFA76 0000036684 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N Federal National Mortgage Association 2022-09-06 2030-11-15 0.5 - 6.625 273000.00 274885.39 Agency Debentures and Agency Strips Federal Home Loan Banks 2023-02-17 2025-03-14 1.375 - 2.375 490000.00 488062.14 Agency Debentures and Agency Strips Federal Home Loan Mortgage Corp 2023-08-24 2032-07-15 0 - 0.25 192000.00 141397.00 Agency Debentures and Agency Strips Resolution Funding Corp 2030-01-15 2030-04-15 0 - 0 2000.00 1556.70 Agency Debentures and Agency Strips Tennessee Valley Authority 2031-03-15 2042-09-15 0 - 4.65 12000.00 8052.02 Agency Debentures and Agency Strips Federal Farm Credit Bank 2023-05-10 2025-08-25 0.125 - 1.32 76000.00 71806.51 Agency Debentures and Agency Strips United States Treasury 2022-05-15 2051-08-15 0 - 7.5 1153577.00 1056424.63 U.S. Treasuries (including strips) Y N/A N/A 2022-05-03 2022-05-03 2022-05-03 N N N 0.0031 2000000.00 2000000.00 0.0006 N N Y N Citigroup Global Capital Markets, Inc. Citigroup Global Capital Markets, Inc., 0.31% MBNUM2BPBDO7JBLYG310 0000315030 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N Government National Mortgage Association 2050-09-20 2050-09-20 2 - 4.5 10145978.00 7140483.66 Agency Mortgage-Backed Securities Y N/A N/A 2022-05-03 2022-05-03 2022-05-03 N Y CITIGROUP INC 1.0000 N/A N/A N 0.0031 7000000.00 7000000.00 0.0022 N N Y N Citigroup Global Markets, Inc. In a joint trading account with Citigroup Global Markets, Inc. at 0.3%, dated 4/29/2022 due 05/02/2022 MBNUM2BPBDO7JBLYG310 JAI669000_00137 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N United States Treasury 2026-10-15 2026-10-15 0.125 - 0.125 91761.00 98460.10 U.S. Treasuries (including strips) Government National Mortgage Association 2050-09-20 2072-03-20 1.5 - 6 11123468.00 8876687.69 Agency Mortgage-Backed Securities Y N/A N/A 2022-05-02 2022-05-02 2022-05-02 N Y Citigroup Inc 1.0000 N/A N/A N 0.0030 8798000.00 8798000.00 0.0027 N Y Y N Credit Agricole CIB New York Branch In a joint trading account with Credit Agricole CIB New York Branch at 0.3%, dated 4/29/2022 due 05/02/2022 1VUV7VQFKUOQSJ21A208 JAI669000_02102 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N Government National Mortgage Association 2051-01-20 2051-01-20 2 - 2 2892682.00 2216599.05 Agency Mortgage-Backed Securities United States Treasury 2023-07-31 2030-08-15 0.125 - 2.875 5449354.00 5056183.04 U.S. Treasuries (including strips) Y N/A N/A 2022-05-02 2022-05-02 2022-05-02 N N N 0.0030 7130000.00 7130000.00 0.0022 N Y Y N Credit Suisse Ag Ny In a joint trading account with Credit Suisse Ag Ny at 0.3%, dated 4/29/2022 due 05/02/2022 ANGGYXNX0JLX3X63JN86 JAI669000_76547 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N United States Treasury 2022-05-03 2041-08-15 0 - 7.625 1136184.00 1081227.52 U.S. Treasuries (including strips) Y N/A N/A 2022-05-02 2022-05-02 2022-05-02 N N N 0.0030 1060000.00 1060000.00 0.0003 N Y Y N Deutsche Bank AG, New York Deutsche Bank AG, New York, 0.30% 7LTWFZYICNSX8D621K86 JAI186000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N United States Treasury 2040-08-15 2040-08-15 3.875 - 3.875 1828600.00 2040158.46 U.S. Treasuries (including strips) Y N/A N/A 2022-05-02 2022-05-02 2022-05-02 N N N 0.0030 2000000.00 2000000.00 0.0006 N Y Y N Deutsche Bank AG, New York Deutsche Bank AG, New York, 0.30% 7LTWFZYICNSX8D621K86 JAH647000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N United States Treasury 2025-01-15 2044-02-15 1.375 - 3.375 1890800.00 3090226.53 U.S. Treasuries (including strips) Y N/A N/A 2022-05-05 2022-05-05 2022-05-05 N N N 0.0030 3000000.00 3000000.00 0.0009 N N Y N Deutsche Bank Securities, Inc. Deutsche Bank Securities, Inc., 0.30% 9J6MBOOO7BECTDTUZW19 0000058056 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 2050-03-15 2050-03-15 3.25 - 3.25 12213870.00 7210180.64 Agency Mortgage-Backed Securities Y N/A N/A 2022-05-02 2022-05-02 2022-05-02 N N N 0.0030 7000000.00 7000000.00 0.0022 N Y Y N Goldman Sachs & Co. Goldman Sachs & Co., 0.31% FOR8UP27PHTHYVLBNG30 0000769993 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N Government National Mortgage Association 2034-01-20 2051-07-20 3 - 6 34749854.00 20401037.02 Agency Mortgage-Backed Securities Y N/A N/A 2022-05-03 2022-05-03 2022-05-03 N N N 0.0030 20000000.00 20000000.00 0.0062 N N Y N HSBC Securities (USA), Inc. In a joint trading account with HSBC Securities (USA), Inc. at 0.3%, dated 4/29/2022 due 05/02/2022 CYYGQCGNHMHPSMRL3R97 JAI669000_03556 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N Federal National Mortgage Association 2033-06-01 2052-04-01 2 - 4.5 2871635.00 2294307.70 Agency Mortgage-Backed Securities Federal Home Loan Mortgage Corp 2025-06-01 2042-04-01 2 - 4.5 446246.00 397539.59 Agency Mortgage-Backed Securities Y N/A N/A 2022-05-02 2022-05-02 2022-05-02 N N N 0.0030 2639000.00 2639000.00 0.0008 N Y Y N ING Financial Markets LLC In a joint trading account with ING Financial Markets LLC at 0.3%, dated 4/29/2022 due 05/02/2022 KBVRJ5K57JZ3E2AVWX40 JAI669000_03735 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N United States Treasury 2022-07-21 2051-11-15 0 - 4.375 1151515.00 1104141.44 U.S. Treasuries (including strips) Y N/A N/A 2022-05-02 2022-05-02 2022-05-02 N N N 0.0030 1078000.00 1078000.00 0.0003 N Y Y N Mitsubishi Ufj Secs Hldgs Ltd In a joint trading account with Mitsubishi Ufj Secs Hldgs Ltd at 0.3%, dated 4/29/2022 due 05/02/2022 ZOMOLU8CGIZRYZ7PFU34 JAI669000_76664 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N Government National Mortgage Association 2040-12-20 2052-01-20 2.5 - 5.5 3455003.00 1790606.15 Agency Mortgage-Backed Securities Federal Home Loan Mortgage Corp 2022-06-08 2052-04-01 0.125 - 5 5363190.00 2072460.32 Agency Mortgage-Backed Securities Federal National Mortgage Association 2028-12-01 2052-04-01 2 - 5 12452461.00 4653655.31 Agency Mortgage-Backed Securities United States Treasury 2022-06-16 2052-02-15 0 - 4.75 8021098.00 7881017.17 U.S. Treasuries (including strips) Y N/A N/A 2022-05-02 2022-05-02 2022-05-02 N N N 0.0030 16066000.00 16066000.00 0.0050 N Y Y N Mitsubishi UFJ Securities (U.S.A.), Inc. Mitsubishi UFJ Securities (U.S.A.), Inc., 0.31% K5HU16E3LMSVCCJJJ255 JAA969000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N Federal National Mortgage Association 2024-01-01 2049-09-01 2.45 - 6 13663491.00 4679723.80 Agency Mortgage-Backed Securities Federal Home Loan Mortgage Corp 2028-12-01 2049-09-01 1.92 - 3 548037.00 421153.12 Agency Mortgage-Backed Securities Y N/A N/A 2022-06-13 2022-06-13 2022-06-13 N N N 0.0031 5000000.00 5000000.00 0.0016 N N N Y Mizuho Securities USA, Inc. In a joint trading account with Mizuho Securities USA, Inc. at 0.3%, dated 4/29/2022 due 05/02/2022 7TK5RJIZDFROZCA6XF66 JAI669000_08126 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N United States Treasury 2022-06-14 2050-11-15 0 - 3.5 1540716.00 1455183.94 U.S. Treasuries (including strips) Government National Mortgage Association 2051-01-20 2051-01-20 2 - 2 54962.00 42116.36 Agency Mortgage-Backed Securities Y N/A N/A 2022-05-02 2022-05-02 2022-05-02 N N N 0.0030 1466000.00 1466000.00 0.0005 N Y Y N Nomura Securities Internationa In a joint trading account with Nomura Securities Internationa at 0.3%, dated 4/29/2022 due 05/02/2022 OXTKY6Q8X53C9ILVV871 JAI669000_07426 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N United States Treasury 2022-05-03 2040-08-15 0 - 7.125 43883624.00 43187893.69 U.S. Treasuries (including strips) Federal National Mortgage Association 2040-08-01 2060-01-01 2.5 - 5 47217192.00 21549212.66 Agency Mortgage-Backed Securities Federal Home Loan Mortgage Corp 2050-01-01 2052-04-01 2 - 3.5 7092924.00 6110816.83 Agency Mortgage-Backed Securities Y N/A N/A 2022-05-02 2022-05-02 2022-05-02 N N N 0.0030 69457000.00 69457000.00 0.0216 N Y Y N RBC Dominion Securities RBC Dominion Securities, 0.31% 549300QJJX6CVVUXLE15 III834000 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 2038-08-01 2050-01-01 3 - 5.5 19414.00 4807.55 Agency Mortgage-Backed Securities Federal National Mortgage Association 2048-07-01 2051-12-01 2 - 4.5 48864.00 8947.72 Agency Mortgage-Backed Securities Government National Mortgage Association 2041-09-20 2052-03-20 2 - 4.5 13173392.00 5008367.63 Agency Mortgage-Backed Securities United States Treasury 2025-10-15 2050-11-15 0 - 2.75 96200.00 80717.44 U.S. Treasuries (including strips) Y N/A N/A 2022-05-05 2022-05-05 2022-05-05 Y RBC DOMINION SECS (GOV REPO) 1.0000 6 N N/A N/A N N 0.0031 5000000.00 5000000.00 0.0016 N N Y N RBC Dominion Securities RBC Dominion Securities, 0.31% 549300QJJX6CVVUXLE15 III824000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N Federal National Mortgage Association 2040-10-01 2051-12-01 2 - 5 91216.00 69589.32 Agency Mortgage-Backed Securities Federal Home Loan Mortgage Corp 2050-12-01 2050-12-01 3 - 3 107965.00 48247.28 Agency Mortgage-Backed Securities United States Treasury 2024-07-15 2051-02-15 0 - 6 217900.00 201993.48 U.S. Treasuries (including strips) Government National Mortgage Association 2046-04-20 2052-03-20 2 - 3.5 8803287.00 6824470.81 Agency Mortgage-Backed Securities Y N/A N/A 2022-05-05 2022-05-05 2022-05-05 Y RBC DOMINION SECS (GOV REPO) 1.0000 6 N N/A N/A N N 0.0031 7000000.00 7000000.00 0.0022 N N Y N RBC Dominion Securities, Inc. In a joint trading account with RBC Dominion Securities, Inc. at 0.3%, dated 4/29/2022 due 05/02/2022 549300QJJX6CVVUXLE15 JAI669000_07749 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N United States Treasury 2022-05-15 2052-02-15 0 - 7.25 12215155.00 11318230.27 U.S. Treasuries (including strips) Federal Home Loan Mortgage Corp 2036-03-01 2050-12-01 3 - 5.5 3033887.00 643947.73 Agency Mortgage-Backed Securities Government National Mortgage Association 2038-11-20 2052-03-20 2 - 5 13148402.00 8278572.19 Agency Mortgage-Backed Securities Federal National Mortgage Association 2036-02-01 2051-12-01 2 - 5 3038891.00 777637.66 Agency Mortgage-Backed Securities Y N/A N/A 2022-05-02 2022-05-02 2022-05-02 N N N 0.0030 20529000.00 20529000.00 0.0064 N Y Y N RBC Financial Group RBC Financial Group, 0.30% ES7IP3U3RHIGC71XBU11 IIA333000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N Federal National Mortgage Association 2026-08-01 2052-02-01 1.51 - 4 4761810.00 3930837.25 Agency Mortgage-Backed Securities United States Treasury 2022-06-28 2041-11-15 0 - 3.125 615200.00 543881.70 U.S. Treasuries (including strips) Government National Mortgage Association 2052-03-20 2052-03-20 4.5 - 4.5 4102.00 4148.98 Agency Mortgage-Backed Securities Federal Home Loan Mortgage Corp 2042-09-01 2052-04-01 2 - 4 925255.00 623254.73 Agency Mortgage-Backed Securities Y N/A N/A 2022-05-06 2022-05-06 2022-05-12 Y ROYAL BANK OF CAN NYC (GOV RP) 1.0000 7 N N/A N/A N N 0.0030 5000000.00 5000000.00 0.0016 N N Y N RBC Financial Group RBC Financial Group, 0.33% ES7IP3U3RHIGC71XBU11 III296000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N Federal National Mortgage Association 2049-12-01 2051-04-01 2 - 3.5 402368.00 281521.85 Agency Mortgage-Backed Securities United States Treasury 2022-06-14 2046-11-15 0 - 3.75 26530100.00 26250074.01 U.S. Treasuries (including strips) Y N/A N/A 2022-05-05 2022-05-05 2022-05-05 Y ROYAL BANK OF CAN NYC (GOV RP) 1.0000 6 N N/A N/A N N 0.0033 26000000.00 26000000.00 0.0081 N N Y N RBC Financial Group RBC Financial Group, 1.04% ES7IP3U3RHIGC71XBU11 JAH765000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N United States Treasury 2022-08-09 2025-10-15 0 - 0.125 29055500.00 32936799.83 U.S. Treasuries (including strips) Federal Home Loan Mortgage Corp 2023-12-15 2036-04-15 5.5 - 6.5 6668273.00 1056116.81 Agency Collateralized Mortgage Obligation Y N/A N/A 2022-05-06 2022-05-06 2022-08-01 Y ROYAL BANK OF CAN NYC (GOV RP) 1.0000 7 N N/A N/A N N 0.0104 33000000.00 33000000.00 0.0103 N N Y N Societe Generale Societe Generale, 0.30% O2RNE8IBXP4R0TD8PU41 JAH616000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N Government National Mortgage Association 2051-03-20 2051-03-20 4 - 4 1000.00 709.74 Agency Mortgage-Backed Securities United States Treasury 2024-10-31 2041-11-15 1.5 - 3.625 46400.00 45339.70 U.S. Treasuries (including strips) Federal National Mortgage Association 2050-10-01 2051-12-01 2.5 - 3.5 4138956.00 3014112.69 Agency Mortgage-Backed Securities Y N/A N/A 2022-05-05 2022-05-05 2022-05-05 N N N 0.0030 3000000.00 3000000.00 0.0009 N N Y N Sumitomo Mitsu Bk Corp Ny (DI) In a joint trading account with Sumitomo Mitsu Bk Corp Ny (DI) at 0.3%, dated 4/29/2022 due 05/02/2022 5U0XI89JRFVHWIBS4F54 JAI669000_10193 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 2046-08-01 2049-09-01 3.5 - 3.5 5022854.00 1008197.09 Agency Mortgage-Backed Securities Federal National Mortgage Association 2046-12-01 2052-04-01 2.5 - 4 16605576.00 8365272.28 Agency Mortgage-Backed Securities United States Treasury 2022-07-14 2051-02-15 0 - 3 32013129.00 30236587.48 U.S. Treasuries (including strips) Government National Mortgage Association 2041-02-20 2051-06-20 2 - 4.5 3836560.00 498399.09 Agency Mortgage-Backed Securities Y N/A N/A 2022-05-02 2022-05-02 2022-05-02 N N N 0.0030 39319000.00 39319000.00 0.0123 N Y Y N Sumitomo Mitsui Bk Corp (REPO) In a joint trading account with Sumitomo Mitsui Bk Corp (REPO) at 0.3%, dated 4/29/2022 due 05/02/2022 5U0XI89JRFVHWIBS4F54 JAI669000_77387 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N Federal National Mortgage Association 2048-12-01 2050-06-01 2 - 4 87845417.00 23004109.65 Agency Mortgage-Backed Securities Government National Mortgage Association 2042-10-20 2046-03-20 3 - 3.5 33212115.00 5363248.71 Agency Mortgage-Backed Securities Y N/A N/A 2022-05-02 2022-05-02 2022-05-02 N N N 0.0030 27568000.00 27568000.00 0.0086 N Y Y N TD Securities (U.S.A.) TD Securities (U.S.A.), 0.31% SUVUFHICNZMP2WKHG940 JAH715000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N Government National Mortgage Association 2043-06-20 2048-08-20 4 - 4 141275117.00 16320553.17 Agency Mortgage-Backed Securities Y N/A N/A 2022-05-05 2022-05-05 2022-05-05 N N N 0.0030 16000000.00 16000000.00 0.0050 N N Y N New York Hsg. Fin. Agcy. Rev. FHLMC New York Hsg. Fin. Agcy. Rev., 0.40% 64986M2V6 US64986M2V67 Variable Rate Demand Note Y N/A N/A 2022-05-06 2022-05-06 2038-11-01 Y FREDDIE MAC 1.0000 7 N N/A N/A Y FREDDIE MAC 1.0000 N/A N/A N 0.0040 800000.00 800000.00 0.0002 N N Y N New York Hsg. Fin. Agcy. Rev. FHLMC New York Hsg. Fin. Agcy. Rev., 0.40% (Clinton Green North Hsg. Proj.) Series 2005 A, LOC Freddie Mac VRDN 64986M2T1 US64986M2T12 Variable Rate Demand Note Y N/A N/A 2022-05-06 2022-05-06 2038-11-01 Y FREDDIE MAC 1.0000 7 N N/A N/A Y FREDDIE MAC 1.0000 N/A N/A N 0.0040 1600000.00 1600000.00 0.0005 N N Y N New York City Hsg. Dev. Corp. Multi-family Rental Hsg. Rev. FNMA New York City Hsg. Dev. Corp. Multi-family Rental Hsg. Rev., 0.39% (155 West 21st Street Dev. Proj.) Series 2007 A, LOC Fannie Mae VRDN 64970HDH4 US64970HDH49 Variable Rate Demand Note Y N/A N/A 2022-05-06 2022-05-06 2037-11-15 Y FANNIE MAE 1.0000 7 N N/A N/A Y FANNIE MAE 1.0000 N/A N/A N 0.0039 600000.00 600000.00 0.0002 N N Y N New York Hsg. Fin. Agcy. Rev. FNMA New York Hsg. Fin. Agcy. Rev., 0.38% (West 23rd Street Hsg. Proj.) Series 2001 A, LOC Fannie Mae VRDN 64986MQT5 Variable Rate Demand Note Y N/A N/A 2022-05-06 2022-05-06 2033-05-15 Y FANNIE MAE 1.0000 7 N N/A N/A Y FANNIE MAE 1.0000 N/A N/A N 0.0038 500000.00 500000.00 0.0002 N N Y N New York Hsg. Fin. Agcy. Rev. FNMA New York Hsg. Fin. Agcy. Rev., 0.39% (316 Eleventh Ave. Hsg. Proj.) Series 2007 A, LOC Fannie Mae VRDN 64986MK79 US64986MK791 Variable Rate Demand Note Y N/A N/A 2022-05-06 2022-05-06 2041-05-15 Y FANNIE MAE 1.0000 7 N N/A N/A Y FANNIE MAE 1.0000 N/A N/A N 0.0039 27900000.00 27900000.00 0.0087 N N Y N New York Hsg. Fin. Agcy. Rev. FNMA New York Hsg. Fin. Agcy. Rev., 0.39% (Tribeca Park Proj.) Series 1997 A, LOC Fannie Mae VRDN 64986MDT9 US64986MDT99 Variable Rate Demand Note Y N/A N/A 2022-05-06 2022-05-06 2029-11-15 Y FANNIE MAE 1.0000 7 N N/A N/A Y FANNIE MAE 1.0000 N/A N/A N 0.0039 500000.00 500000.00 0.0002 N N Y N New York Hsg. Fin. Agcy. Rev. FNMA New York Hsg. Fin. Agcy. Rev., 0.40% 64986M4E2 US64986M4E25 Variable Rate Demand Note Y N/A N/A 2022-05-06 2022-05-06 2039-05-15 Y FANNIE MAE 1.0000 7 N N/A N/A Y FANNIE MAE 1.0000 N/A N/A N 0.0040 500000.00 500000.00 0.0002 N N Y N New York Hsg. Fin. Agcy. Rev. FNMA New York Hsg. Fin. Agcy. Rev., 0.40% 64986MCB9 US64986MCB90 Variable Rate Demand Note Y N/A N/A 2022-05-06 2022-05-06 2029-05-15 Y FANNIE MAE 1.0000 7 N N/A N/A Y FANNIE MAE 1.0000 N/A N/A N 0.0040 500000.00 500000.00 0.0002 N N Y N New York Hsg. Fin. Agcy. Rev. FNMA New York Hsg. Fin. Agcy. Rev., 0.46% 64986UMN4 US64986UMN45 Variable Rate Demand Note Y N/A N/A 2022-05-06 2022-05-06 2041-05-15 Y FANNIE MAE 1.0000 7 N N/A N/A Y FANNIE MAE 1.0000 N/A N/A N 0.0046 3100000.00 3100000.00 0.0010 N N Y N New York Hsg. Fin. Agcy. Rev. FNMA New York Hsg. Fin. Agcy. Rev., 0.46% Series 2008 A, LOC Fannie Mae VRDN 64986UMP9 US64986UMP92 Variable Rate Demand Note Y N/A N/A 2022-05-06 2022-05-06 2041-05-15 Y FANNIE MAE 1.0000 7 N N/A N/A Y FANNIE MAE 1.0000 N/A N/A N 0.0046 700000.00 700000.00 0.0002 N N Y N California Statewide Cmntys. Dev. Auth. Multi-family Hsg. Rev. FHLMC California Statewide Cmntys. Dev. Auth. Multi-family Hsg. Rev., 0.39% 13079PLS0 US13079PLS01 Variable Rate Demand Note Y N/A N/A 2022-05-06 2022-05-06 2038-01-01 Y FREDDIE MAC 1.0000 7 N N/A N/A Y FREDDIE MAC 1.0000 N/A N/A N 0.0039 700000.00 700000.00 0.0002 N N Y N Lloyds Bank PLC Lloyds Bank PLC, 1.15% H7FNTJ4851HG0EXQ1Z70 JAI527000 Other Instrument Forward Settling Repurchase Agreement Y N/A N/A 2022-08-03 2022-08-03 2022-08-03 N N N 0.0115 1000000.00 1000000.00 0.0003 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 2022-05-04 Laura M. Del Prato Laura M. Del Prato President and Treasurer