N-MFP2 0000035315 XXXXXXXX 2022-05-31 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. 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U.S. Treasury Bills, 0.83% 912796X20 254900HROIFWPRGM1V77 US912796X207 U.S. Treasury Debt Y N/A N/A 2022-07-19 2022-07-19 2022-07-19 N N N 0.0083 2996634.99 2996634.99 0.0012 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.83% 912796S42 254900HROIFWPRGM1V77 US912796S421 U.S. Treasury Debt Y N/A N/A 2022-07-21 2022-07-21 2022-07-21 N N N 0.0083 30963618.09 30963618.09 0.0123 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.96% 912796S67 254900HROIFWPRGM1V77 US912796S678 U.S. Treasury Debt Y N/A N/A 2022-08-04 2022-08-04 2022-08-04 N N N 0.0096 16970752.52 16970752.52 0.0068 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 1.03% 912796L64 254900HROIFWPRGM1V77 US912796L640 U.S. Treasury Debt Y N/A N/A 2022-08-11 2022-08-11 2022-08-11 N N N 0.0103 21555909.00 21555909.00 0.0086 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 1.06% 912796XN4 254900HROIFWPRGM1V77 US912796XN42 U.S. Treasury Debt Y N/A N/A 2022-08-23 2022-08-23 2022-08-23 N N N 0.0106 2992633.74 2992633.74 0.0012 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 1.15% 912796M71 254900HROIFWPRGM1V77 US912796M713 U.S. Treasury Debt Y N/A N/A 2022-09-08 2022-09-08 2022-09-08 N N N 0.0115 6978283.62 6978283.62 0.0028 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 1.18% 912796XV6 254900HROIFWPRGM1V77 US912796XV67 U.S. Treasury Debt Y N/A N/A 2022-09-13 2022-09-13 2022-09-13 N N N 0.0118 4983196.30 4983196.30 0.0020 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 1.20% 912796U56 254900HROIFWPRGM1V77 US912796U567 U.S. Treasury Debt Y N/A N/A 2022-09-22 2022-09-22 2022-09-22 N N N 0.0120 11955616.08 11955616.08 0.0048 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 1.26% 912796XW4 254900HROIFWPRGM1V77 US912796XW41 U.S. Treasury Debt Y N/A N/A 2022-09-20 2022-09-20 2022-09-20 N N N 0.0126 19126789.25 19126789.25 0.0076 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 1.30% 912796M89 254900HROIFWPRGM1V77 US912796M895 U.S. Treasury Debt Y N/A N/A 2022-10-06 2022-10-06 2022-10-06 N N N 0.0130 3981947.20 3981947.20 0.0016 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 1.31% 912796XX2 254900HROIFWPRGM1V77 US912796XX24 U.S. Treasury Debt Y N/A N/A 2022-09-27 2022-09-27 2022-09-27 N N N 0.0131 26587541.20 26587541.20 0.0106 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 1.45% 912796N96 254900HROIFWPRGM1V77 US912796N968 U.S. Treasury Debt Y N/A N/A 2022-11-03 2022-11-03 2022-11-03 N N N 0.0145 2981613.12 2981613.12 0.0012 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 1.52% 912796W62 254900HROIFWPRGM1V77 US912796W621 U.S. Treasury Debt Y N/A N/A 2022-11-17 2022-11-17 2022-11-17 N N N 0.0152 19860575.00 19860575.00 0.0079 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 1.57% 912796W70 254900HROIFWPRGM1V77 US912796W704 U.S. Treasury Debt Y N/A N/A 2022-11-25 2022-11-25 2022-11-25 N N N 0.0157 14886793.80 14886793.80 0.0059 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 0.0090 47047498.20 47047498.20 0.0187 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 0.0087 14990748.30 14990748.30 0.0060 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 0.0104 22030708.04 22030708.04 0.0088 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 0.0099 26960665.59 26960665.59 0.0107 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 0.0104 107171407.58 107171407.58 0.0426 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 0.0112 53021515.66 53021515.66 0.0211 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 0.0101 7006334.30 7006334.30 0.0028 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 0.0110 13014075.49 13014075.49 0.0052 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 0.0115 38044724.86 38044724.86 0.0151 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 0.0117 27047034.27 27047034.27 0.0108 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 0.0092 2001358.38 2001358.38 0.0008 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 0.0113 6982422.09 6982422.09 0.0028 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 41022422.08 41022422.08 0.0163 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 0.0136 4005156.24 4005156.24 0.0016 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 0.09% to 0.14% 91282CAN1 254900HROIFWPRGM1V77 US91282CAN11 U.S. Treasury Debt Y N/A N/A 2022-09-30 2022-09-30 2022-09-30 N N N 0.0135 24898437.50 24898437.50 0.0099 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 0.0142 34050468.92 34050468.92 0.0135 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 0.0150 3004570.32 3004570.32 0.0012 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 1.09% 91282CCQ2 254900HROIFWPRGM1V77 US91282CCQ24 U.S. Treasury Debt Y N/A N/A 2022-06-01 2023-07-31 2023-07-31 N N N 0.0095 240390410.40 240390410.40 0.0957 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 1.10% 91282CBY6 254900HROIFWPRGM1V77 US91282CBY66 U.S. Treasury Debt Y N/A N/A 2022-06-01 2023-04-30 2023-04-30 N N N 0.0096 37047545.00 37047545.00 0.0147 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 1.10% 91282CDE8 254900HROIFWPRGM1V77 US91282CDE84 U.S. Treasury Debt Y N/A N/A 2022-06-01 2023-10-31 2023-10-31 N N N 0.0096 50098117.50 50098117.50 0.0199 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 1.11% 91282CBK6 254900HROIFWPRGM1V77 US91282CBK62 U.S. Treasury Debt Y N/A N/A 2022-06-01 2023-01-31 2023-01-31 N N N 0.0094 170554285.74 170554285.74 0.0679 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 1.12% 91282CAA9 254900HROIFWPRGM1V77 US91282CAA99 U.S. Treasury Debt Y N/A N/A 2022-06-01 2022-07-31 2022-07-31 N N N 0.0092 126041307.84 126041307.84 0.0502 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 1.12% 91282CAS0 254900HROIFWPRGM1V77 US91282CAS08 U.S. Treasury Debt Y N/A N/A 2022-06-01 2022-10-31 2022-10-31 N N N 0.0092 5004009.95 5004009.95 0.0020 N Y Y N ABN AMRO Bank NV ABN AMRO Bank NV, 0.80% JJO869000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N United States Treasury 254900HROIFWPRGM1V77 2023-05-15 2048-02-15 1.25 - 3.625 4413800.00 4090248.41 U.S. Treasuries (including strips) Y N/A N/A 2022-06-01 2022-06-01 2022-06-01 N N N 0.0080 4000000.00 4000000.00 0.0016 N Y Y N Barclays Bank PLC Barclays Bank PLC, 0.80% G5GSEF7VJP5I7OUK5573 JJO880000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N United States Treasury 254900HROIFWPRGM1V77 2029-04-30 2029-04-30 2.875 - 2.875 12215100.00 12240371.52 U.S. Treasuries (including strips) Y N/A N/A 2022-06-01 2022-06-01 2022-06-01 N N N 0.0080 12000000.00 12000000.00 0.0048 N Y Y N BNP Paribas, SA BNP Paribas, SA, 0.85% R0MUWSFPU8MPRO8K5P83 JBI494000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N United States Treasury 254900HROIFWPRGM1V77 2023-01-31 2024-04-30 0.988 - 1.112 2042000.00 2040607.66 U.S. Treasuries (including strips) Y N/A N/A 2022-06-07 2022-06-07 2022-06-21 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0085 2000000.00 2000000.00 0.0008 N N Y N BNP Paribas, SA 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Treasury 254900HROIFWPRGM1V77 2023-01-31 2024-04-30 0.988 - 1.112 2042900.00 2041507.33 U.S. Treasuries (including strips) Y N/A N/A 2022-06-07 2022-06-07 2022-08-10 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0117 2000000.00 2000000.00 0.0008 N N Y N BNP Paribas, SA BNP Paribas, SA, 1.18% R0MUWSFPU8MPRO8K5P83 JBC366000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N United States Treasury 254900HROIFWPRGM1V77 2024-04-15 2046-08-15 0.375 - 4.375 13803251.00 13269997.76 U.S. Treasuries (including strips) Y N/A N/A 2022-06-07 2022-06-07 2022-08-09 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0118 13000000.00 13000000.00 0.0052 N N Y N BNP Paribas, SA BNP Paribas, SA, 1.19% R0MUWSFPU8MPRO8K5P83 JBE368000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N United States Treasury 254900HROIFWPRGM1V77 2024-04-15 2050-05-15 0.375 - 2.75 5308600.00 5103385.23 U.S. 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Paribas, SA, 1.41% R0MUWSFPU8MPRO8K5P83 JBG660000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N United States Treasury 254900HROIFWPRGM1V77 2024-04-15 2046-08-15 0.375 - 2.25 5308200.00 5103034.77 U.S. Treasuries (including strips) Y N/A N/A 2022-06-07 2022-06-07 2022-09-19 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0140 5000000.00 5000000.00 0.0020 N N Y N BNP Paribas, SA BNP Paribas, SA, 1.57% R0MUWSFPU8MPRO8K5P83 JJL611000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N United States Treasury 254900HROIFWPRGM1V77 2023-01-31 2040-05-15 0.988 - 4.375 1021006.00 1020310.86 U.S. Treasuries (including strips) Y N/A N/A 2022-06-07 2022-06-07 2022-10-25 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0156 1000000.00 1000000.00 0.0004 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 254900HROIFWPRGM1V77 2022-08-11 2051-05-15 0 - 3.875 5480100.00 5105622.43 U.S. Treasuries (including strips) Y N/A N/A 2022-06-07 2022-06-07 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 0.0020 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 254900HROIFWPRGM1V77 2024-03-31 2046-11-15 0.375 - 2.875 5553600.00 5106902.45 U.S. Treasuries (including strips) Y N/A N/A 2022-06-07 2022-06-07 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 0.0020 N N Y N Citigroup Global Capital Markets, Inc. Citigroup Global Capital Markets, Inc., 0.81% MBNUM2BPBDO7JBLYG310 0000315030 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N United States Treasury 254900HROIFWPRGM1V77 2023-01-26 2040-11-15 0 - 4.25 7285300.00 7144364.48 U.S. Treasuries (including strips) Y N/A N/A 2022-06-06 2022-06-06 2022-06-06 Y CITIGROUP INC 1.0000 6 N N/A N/A Y CITIGROUP INC 1.0000 N/A N/A N 0.0081 7000000.00 7000000.00 0.0028 N N Y N Commerz Markets LLC Commerz Markets LLC, 0.80% 549300IMBXQ8SGH3HJ31 JJL582000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N United States Treasury 254900HROIFWPRGM1V77 2026-05-31 2052-05-15 0.75 - 2.875 8811500.00 8165036.56 U.S. Treasuries (including strips) Y N/A N/A 2022-06-01 2022-06-01 2022-06-01 N N N 0.0080 8000000.00 8000000.00 0.0032 N Y Y N Commerz Markets LLC Commerz Markets LLC, 0.80% 549300IMBXQ8SGH3HJ31 JJM619000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N United States Treasury 254900HROIFWPRGM1V77 2022-11-25 2050-05-15 0 - 1.875 8493900.00 8161118.74 U.S. Treasuries (including strips) Y N/A N/A 2022-06-02 2022-06-02 2022-06-02 N N N 0.0080 8000000.00 8000000.00 0.0032 N N Y N DNB Bank ASA DNB Bank ASA, 0.80% 549300GKFG0RYRRQ1414 JJO904000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N United States Treasury 254900HROIFWPRGM1V77 2030-02-15 2030-08-15 0.625 - 1.5 1118900.00 1020022.72 U.S. Treasuries (including strips) Y N/A N/A 2022-06-01 2022-06-01 2022-06-01 N N N 0.0080 1000000.00 1000000.00 0.0004 N Y Y N FICC ACAFB Repo Program FICC ACAFB Repo Program, 0.80% JJO870000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2050-11-15 2050-11-15 1.5 - 1.5 1398000.00 1019485.80 U.S. Treasuries (including strips) Y N/A N/A 2022-06-01 2022-06-01 2022-06-01 N N N 0.0080 1000000.00 1000000.00 0.0004 N Y Y N Fixed Income Clearing Corp. - BNYM Fixed Income Clearing Corp. - BNYM, 0.80% 549300H47WTHXPU08X20 JJO910000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N United States Treasury 254900HROIFWPRGM1V77 2024-01-15 2024-01-15 0.625 - 0.625 1596000.00 2040044.88 U.S. Treasuries (including strips) Y N/A N/A 2022-06-01 2022-06-01 2022-06-01 N N N 0.0080 2000000.00 2000000.00 0.0008 N Y Y N Fixed Income Clearing Corp.- Morgan Stanley & CO LLC Fixed Income Clearing Corp.- Morgan Stanley & CO LLC, 0.80% JJO859000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2023-07-31 2023-07-31 2.75 - 2.75 10036000.00 10199622.15 U.S. Treasuries (including strips) Y N/A N/A 2022-06-01 2022-06-01 2022-06-01 N N N 0.0080 10000000.00 10000000.00 0.0040 N Y Y N Goldman Sachs & Co. Goldman Sachs & Co., 0.81% FOR8UP27PHTHYVLBNG30 0000769993 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N United States Treasury 254900HROIFWPRGM1V77 2022-08-15 2022-08-15 7.25 - 7.25 13805500.00 14281969.30 U.S. Treasuries (including strips) Y N/A N/A 2022-06-02 2022-06-02 2022-06-02 N N N 0.0080 14000000.00 14000000.00 0.0056 N N Y N ING Financial Markets LLC ING Financial Markets LLC, 0.80% KBVRJ5K57JZ3E2AVWX40 0000877559 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2023-02-28 2023-02-28 1.5 - 1.5 2040000.00 2042231.25 U.S. Treasuries (including strips) Y N/A N/A 2022-06-01 2022-06-01 2022-06-01 N N N 0.0080 2000000.00 2000000.00 0.0008 N Y 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 2023-08-15 2024-12-31 1.75 - 2.5 3136700.00 3091752.54 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 0.0012 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 2023-08-15 0.25 - 2.5 3127900.00 3072065.55 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 0.0012 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 2023-08-15 2039-11-15 2.5 - 4.375 2621800.00 3097674.59 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 0.0012 N N N Y Lloyds Bank Corp. Markets PLC Lloyds Bank Corp. Markets PLC, 1.15% 213800MBWEIJDM5CU638 JBA230000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2023-01-31 2023-08-15 2.375 - 2.5 2020700.00 2045132.72 U.S. Treasuries (including strips) Y N/A N/A 2022-08-05 2022-08-05 2022-08-05 N N N 0.0115 2000000.00 2000000.00 0.0008 N N N Y 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 2123900.00 2057603.89 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 0.0008 N N N N 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 3070400.00 3088870.40 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 0.0012 N N N Y Lloyds Bank PLC Lloyds Bank PLC, 1.15% H7FNTJ4851HG0EXQ1Z70 JAI527000 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 6 - 6 912700.00 1032403.63 U.S. Treasuries (including strips) Y N/A N/A 2022-08-03 2022-08-03 2022-08-03 N N N 0.0115 1000000.00 1000000.00 0.0004 N N N Y Lloyds Bank PLC Lloyds Bank PLC, 1.20% H7FNTJ4851HG0EXQ1Z70 JBA799000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2026-02-15 2027-08-15 2.25 - 6 3119600.00 3062123.04 U.S. Treasuries (including strips) Y N/A N/A 2022-08-03 2022-08-03 2022-08-03 N N N 0.0120 3000000.00 3000000.00 0.0012 N N N Y Lloyds Bank PLC Lloyds Bank PLC, 1.22% H7FNTJ4851HG0EXQ1Z70 JBA800000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2025-02-28 2026-02-15 2.75 - 6 1018000.00 1029613.98 U.S. Treasuries (including strips) Y N/A N/A 2022-08-05 2022-08-05 2022-08-05 N N N 0.0122 1000000.00 1000000.00 0.0004 N N N Y Lloyds Bank PLC Lloyds Bank PLC, 1.36% H7FNTJ4851HG0EXQ1Z70 JJL118000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2025-09-30 2026-02-15 0.25 - 6 1103300.00 1020318.25 U.S. Treasuries (including strips) Y N/A N/A 2022-08-26 2022-08-26 2022-08-26 N N N 0.0136 1000000.00 1000000.00 0.0004 N N N Y Mizuho Bank, Ltd. Mizuho Bank, Ltd., 0.80% RB0PEZSDGCO3JS6CEU02 JJO882000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2024-03-15 2024-03-15 0.25 - 0.25 8482000.00 8159084.73 U.S. Treasuries (including strips) Y N/A N/A 2022-06-01 2022-06-01 2022-06-01 N N N 0.0080 8000000.00 8000000.00 0.0032 N Y Y N MUFG Securities EMEA PLC MUFG Securities EMEA PLC, 0.80% U7M81AY481YLIOR75625 JJO860000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2022-08-15 2022-08-15 7.25 - 7.25 22734700.00 23493419.59 U.S. Treasuries (including strips) Y N/A N/A 2022-06-01 2022-06-01 2022-06-01 N N N 0.0080 23000000.00 23000000.00 0.0092 N Y Y N Norinchukin Bank Norinchukin Bank, 0.84% 5493007VSMFZCPV1NB83 JBA269000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES OF A 254900HROIFWPRGM1V77 2025-06-30 2027-11-15 1.5 - 2.75 7045700.00 7144675.77 U.S. Treasuries (including strips) Y N/A N/A 2022-06-13 2022-06-13 2022-06-13 N N N 0.0084 7000000.00 7000000.00 0.0028 N N N Y Norinchukin Bank Norinchukin Bank, 0.84% 5493007VSMFZCPV1NB83 JBB283000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES OF A 254900HROIFWPRGM1V77 2031-08-15 2031-08-15 1.25 - 1.25 500.00 441.64 U.S. Treasuries (including strips) UNITED STATES OF A 254900HROIFWPRGM1V77 2025-06-30 2027-11-15 1.5 - 2.75 1067600.00 1020242.04 U.S. Treasuries (including strips) Y N/A N/A 2022-06-14 2022-06-14 2022-06-14 N N N 0.0084 1000000.00 1000000.00 0.0004 N N N Y Norinchukin Bank Norinchukin Bank, 0.84% 5493007VSMFZCPV1NB83 JBA818000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES OF A 254900HROIFWPRGM1V77 2025-06-30 2027-11-15 1.5 - 2.75 3202900.00 3060735.75 U.S. Treasuries (including strips) UNITED STATES OF A 254900HROIFWPRGM1V77 2031-08-15 2031-08-15 1.25 - 1.25 1400.00 1236.60 U.S. Treasuries (including strips) Y N/A N/A 2022-06-14 2022-06-14 2022-06-14 N N N 0.0084 3000000.00 3000000.00 0.0012 N N N Y Norinchukin Bank Norinchukin Bank, 0.84% 5493007VSMFZCPV1NB83 JBD065000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES OF A 254900HROIFWPRGM1V77 2025-06-30 2027-11-15 1.5 - 2.75 3202500.00 3060353.64 U.S. Treasuries (including strips) UNITED STATES OF A 254900HROIFWPRGM1V77 2031-08-15 2031-08-15 1.25 - 1.25 1300.00 1148.27 U.S. Treasuries (including strips) Y N/A N/A 2022-06-15 2022-06-15 2022-06-15 N N N 0.0084 3000000.00 3000000.00 0.0012 N N N Y RBC Dominion Securities RBC Dominion Securities, 0.81% 549300QJJX6CVVUXLE15 JBB237000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N United States Treasury 254900HROIFWPRGM1V77 2022-07-07 2052-02-15 0 - 6.375 4846852.00 5123210.44 U.S. Treasuries (including strips) Y N/A N/A 2022-06-07 2022-06-07 2022-06-16 Y RBC DOMINION SECS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0080 5000000.00 5000000.00 0.0020 N N Y N Royal Bank of Canada Royal Bank of Canada, 0.80% ES7IP3U3RHIGC71XBU11 JJM599000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N United States Treasury 254900HROIFWPRGM1V77 2022-11-15 2051-05-15 0.125 - 2.75 6687500.00 6124568.86 U.S. Treasuries (including strips) Y N/A N/A 2022-06-02 2022-06-02 2022-06-02 N N N 0.0080 6000000.00 6000000.00 0.0024 N N Y N Royal Bank of Canada Royal Bank of Canada, 0.81% ES7IP3U3RHIGC71XBU11 JBB271000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N United States Treasury 254900HROIFWPRGM1V77 2023-08-31 2051-05-15 0.125 - 2.75 1113800.00 1030281.41 U.S. Treasuries (including strips) Y N/A N/A 2022-06-07 2022-06-07 2022-06-07 Y ROYAL BANK OF CAN (GOV REPO) 1.0000 7 N N/A N/A N N 0.0080 1000000.00 1000000.00 0.0004 N N Y N Royal Bank of Canada Royal Bank of Canada, 0.81% ES7IP3U3RHIGC71XBU11 JBB242000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N United States Treasury 254900HROIFWPRGM1V77 2023-08-31 2051-05-15 0.125 - 2.75 1114400.00 1030535.46 U.S. Treasuries (including strips) Y N/A N/A 2022-06-07 2022-06-07 2022-06-09 Y ROYAL BANK OF CAN (GOV REPO) 1.0000 7 N N/A N/A N N 0.0080 1000000.00 1000000.00 0.0004 N N Y N Royal Bank of Canada Royal Bank of Canada, 0.81% ES7IP3U3RHIGC71XBU11 JBB243000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N United States Treasury 254900HROIFWPRGM1V77 2023-08-31 2025-08-15 0.125 - 2.375 1019000.00 1020616.91 U.S. Treasuries (including strips) Y N/A N/A 2022-06-07 2022-06-07 2022-06-10 Y ROYAL BANK OF CAN (GOV REPO) 1.0000 7 N N/A N/A N N 0.0080 1000000.00 1000000.00 0.0004 N N Y N SMBC Nikko Securities America, Inc. SMBC Nikko Securities America, Inc., 0.80% 6PJDTY319315T5LR2241 JJO889000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2024-05-15 2048-08-15 0.75 - 3 749622000.00 716287068.04 U.S. Treasuries (including strips) Y N/A N/A 2022-06-01 2022-06-01 2022-06-01 N N N 0.0080 700000000.00 700000000.00 0.2786 N Y Y N Societe Generale Societe Generale, 0.80% O2RNE8IBXP4R0TD8PU41 JJL527000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N United States Treasury 254900HROIFWPRGM1V77 2022-06-16 2050-11-15 0 - 7.625 5827700.00 6120984.81 U.S. Treasuries (including strips) Y N/A N/A 2022-06-01 2022-06-01 2022-06-01 N N N 0.0080 6000000.00 6000000.00 0.0024 N Y Y N Fannie Mae Fannie Mae, 0.90% 3135G05N9 B1V7KEBTPIMZEU4LTD58 US3135G05N95 0000310522 U.S. Government Agency Debt Y N/A N/A 2022-06-01 2022-07-29 2022-07-29 N N N 0.0080 7001159.55 7001159.55 0.0028 N N N N Fannie Mae Fannie Mae, 0.97% 3135G05D1 B1V7KEBTPIMZEU4LTD58 US3135G05D14 0000310522 U.S. Government Agency Debt Y N/A N/A 2022-06-01 2022-07-06 2022-07-06 N N N 0.0079 32005760.96 32005760.96 0.0127 N N N N Fannie Mae Fannie Mae, 0.98% 3135G05A7 B1V7KEBTPIMZEU4LTD58 US3135G05A74 0000310522 U.S. Government Agency Debt Y N/A N/A 2022-06-01 2022-06-24 2022-06-24 N N N 0.0079 25003115.50 25003115.50 0.0099 N N N N Fannie Mae Fannie Mae, 0.98% 3135G04X8 B1V7KEBTPIMZEU4LTD58 US3135G04X86 0000310522 U.S. Government Agency Debt Y N/A N/A 2022-06-01 2022-06-15 2022-06-15 N N N 0.0076 12001090.56 12001090.56 0.0048 N N N N Federal Farm Credit Bank Federal Farm Credit Bank, 0.11% 3133ENCW8 254900C5LP6DN9OP9V83 US3133ENCW84 U.S. Government Agency Debt Y N/A N/A 2022-07-29 2022-07-29 2022-07-29 N N N 0.0086 3994898.68 3994898.68 0.0016 N N N N Federal Farm Credit Bank Federal Farm Credit Bank, 0.14% 3133ENFU9 254900C5LP6DN9OP9V83 US3133ENFU91 U.S. Government Agency Debt Y N/A N/A 2022-08-16 2022-08-16 2022-08-16 N N N 0.0086 5990760.42 5990760.42 0.0024 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.69% 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 0.0069 5999319.48 5999319.48 0.0024 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.71% 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 0.0071 13998094.60 13998094.60 0.0056 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.77% 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 0.0077 2998979.34 2998979.34 0.0012 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.79% 313385YL4 2549001DPIFGXC1TOL40 US313385YL41 U.S. Government Agency Debt Y N/A N/A 2022-06-23 2022-06-23 2022-06-23 N N N 0.0079 9995010.60 9995010.60 0.0040 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.79% 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 0.0079 1998956.76 1998956.76 0.0008 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.80% 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 0.0080 11992380.24 11992380.24 0.0048 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.80% 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 0.0080 7994719.04 7994719.04 0.0032 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.84% 3130AKH82 2549001DPIFGXC1TOL40 US3130AKH829 0001026214 U.S. Government Agency Debt Y N/A N/A 2022-06-01 2022-11-18 2022-11-18 N N N 0.0079 9001892.16 9001892.16 0.0036 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.84% 3130AKK47 2549001DPIFGXC1TOL40 US3130AKK476 0001026214 U.S. Government Agency Debt Y N/A N/A 2022-06-01 2022-12-15 2022-12-15 N N N 0.0081 37005218.48 37005218.48 0.0147 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.84% 3130AKHJ8 2549001DPIFGXC1TOL40 US3130AKHJ86 0001026214 U.S. Government Agency Debt Y N/A N/A 2022-06-01 2022-11-23 2022-11-23 N N N 0.0080 24005117.04 24005117.04 0.0096 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.84% 3130AKJK3 2549001DPIFGXC1TOL40 US3130AKJK32 0001026214 U.S. Government Agency Debt Y N/A N/A 2022-06-01 2022-12-08 2022-12-08 N N N 0.0080 38007953.78 38007953.78 0.0151 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.84% 3130AKHU3 2549001DPIFGXC1TOL40 US3130AKHU32 0001026214 U.S. Government Agency Debt Y N/A N/A 2022-06-02 2022-12-02 2022-12-02 N N N 0.0080 18004001.22 18004001.22 0.0072 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.87% 3130AJYL7 2549001DPIFGXC1TOL40 US3130AJYL76 0001026214 U.S. Government Agency Debt Y N/A N/A 2022-06-01 2022-08-12 2022-08-12 N N N 0.0078 12002065.44 12002065.44 0.0048 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.88% 3130AK6N1 2549001DPIFGXC1TOL40 US3130AK6N12 0001026214 U.S. Government Agency Debt Y N/A N/A 2022-06-01 2022-09-16 2022-09-16 N N N 0.0079 7001758.47 7001758.47 0.0028 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.88% 3130AK5R3 2549001DPIFGXC1TOL40 US3130AK5R35 0001026214 U.S. Government Agency Debt Y N/A N/A 2022-06-01 2022-09-15 2022-09-15 N N N 0.0079 8001990.00 8001990.00 0.0032 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.93% 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 0.0093 999200.64 999200.64 0.0004 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.94% 313385ZH2 2549001DPIFGXC1TOL40 US313385ZH20 U.S. Government Agency Debt Y N/A N/A 2022-07-14 2022-07-14 2022-07-14 N N N 0.0094 45947534.70 45947534.70 0.0183 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.94% 313385ZQ2 2549001DPIFGXC1TOL40 US313385ZQ29 U.S. Government Agency Debt Y N/A N/A 2022-07-21 2022-07-21 2022-07-21 N N N 0.0094 4993369.55 4993369.55 0.0020 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.94% 313385ZR0 2549001DPIFGXC1TOL40 US313385ZR02 U.S. Government Agency Debt Y N/A N/A 2022-07-22 2022-07-22 2022-07-22 N N N 0.0094 998647.40 998647.40 0.0004 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.94% 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 0.0094 1996976.78 1996976.78 0.0008 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 1.17% 313385A55 2549001DPIFGXC1TOL40 US313385A558 U.S. Government Agency Debt Y N/A N/A 2022-08-03 2022-08-03 2022-08-03 N N N 0.0117 8981387.37 8981387.37 0.0036 N N N N Federal Home Loan Bank Federal Home Loan Bank, 1.17% 313385A63 2549001DPIFGXC1TOL40 US313385A632 U.S. Government Agency Debt Y N/A N/A 2022-08-04 2022-08-04 2022-08-04 N N N 0.0117 12972688.82 12972688.82 0.0052 N N N N Federal Home Loan Bank Federal Home Loan Bank, 1.18% 313385D29 2549001DPIFGXC1TOL40 US313385D297 U.S. Government Agency Debt Y N/A N/A 2022-08-24 2022-08-24 2022-08-24 N N N 0.0118 2496100.56 2496100.56 0.0010 N N N N Federal Home Loan Bank Federal Home Loan Bank, 1.30% 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 0.0130 2989444.17 2989444.17 0.0012 N N N N Federal Home Loan Bank Federal Home Loan Bank, 1.30% 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 0.0130 1991969.62 1991969.62 0.0008 N N N N Federal Home Loan Bank Federal Home Loan Bank, 1.30% 313385H74 2549001DPIFGXC1TOL40 US313385H744 U.S. Government Agency Debt Y N/A N/A 2022-09-30 2022-09-30 2022-09-30 N N N 0.0130 6969908.12 6969908.12 0.0028 N N N N Federal Home Loan Bank Federal Home Loan Bank, 1.68% 3130AS5D7 2549001DPIFGXC1TOL40 US3130AS5D75 0001026214 U.S. Government Agency Debt Y N/A N/A 2022-12-16 2022-12-16 2022-12-16 N N N 0.0170 7998941.04 7998941.04 0.0032 N N N N Freddie Mac Freddie Mac, 0.87% 3134GWKC9 S6XOOCT0IEG5ABCC6L87 US3134GWKC92 U.S. Government Agency Debt Y N/A N/A 2022-06-01 2022-08-03 2022-08-03 N N N 0.0080 14001661.66 14001661.66 0.0056 N N N N Freddie Mac Freddie Mac, 0.87% 3134GWRY4 S6XOOCT0IEG5ABCC6L87 US3134GWRY40 U.S. Government Agency Debt Y N/A N/A 2022-06-01 2022-08-18 2022-08-18 N N N 0.0080 12001685.28 12001685.28 0.0048 N N N N Freddie Mac Freddie Mac, 0.88% 3134GWJR8 S6XOOCT0IEG5ABCC6L87 US3134GWJR80 U.S. Government Agency Debt Y N/A N/A 2022-06-01 2022-07-29 2022-07-29 N N N 0.0080 13001651.52 13001651.52 0.0052 N N N N Freddie Mac Freddie Mac, 0.88% 3134GWQ25 S6XOOCT0IEG5ABCC6L87 US3134GWQ253 U.S. Government Agency Debt Y N/A N/A 2022-06-01 2022-09-09 2022-09-09 N N N 0.0081 26004687.80 26004687.80 0.0103 N N N N Freddie Mac Freddie Mac, 0.97% 3134GVJ25 S6XOOCT0IEG5ABCC6L87 US3134GVJ250 U.S. Government Agency Debt Y N/A N/A 2022-06-02 2022-06-02 2022-06-02 N N N 0.0085 42000275.94 42000275.94 0.0167 N N Y N ABN AMRO Bank NV ABN AMRO Bank NV, 0.80% JJO868000 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 B1V7KEBTPIMZEU4LTD58 2048-09-01 2051-01-01 3 - 4.5 2000.00 1349.62 Agency Mortgage-Backed Securities United States Treasury 254900HROIFWPRGM1V77 2029-01-15 2048-02-15 1.5 - 3 2658100.00 2587418.04 U.S. Treasuries (including strips) Government National Mortgage Association 549300M8ZYFG0OCMTT87 2051-09-20 2051-09-20 2.5 - 2.5 5104796.00 4576552.36 Agency Mortgage-Backed Securities Y N/A N/A 2022-06-01 2022-06-01 2022-06-01 N N N 0.0080 7000000.00 7000000.00 0.0028 N Y Y N Bank Of America, N.A. In a joint trading account with Bank Of America, N.A. at 0.8%, dated 5/31/2022 due 06/01/2022 B4TYDEB6GKMZO031MB27 JJP070000_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 549300M8ZYFG0OCMTT87 2039-12-20 2050-06-20 3 - 5.25 119539169.00 17354964.76 Agency Mortgage-Backed Securities Y N/A N/A 2022-06-01 2022-06-01 2022-06-01 N N N 0.0080 16902000.00 16902000.00 0.0067 N Y Y N BMO Harris Bank NA BMO Harris Bank NA, 0.81% 3Y4U8VZURTYWI1W2K376 JBB173000 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 549300M8ZYFG0OCMTT87 2057-05-15 2072-03-20 2.747 - 3.35 4566.00 4748.07 Agency Mortgage-Backed Securities Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 2052-01-01 2052-01-01 2 - 2 12900.00 11452.73 Agency Mortgage-Backed Securities Federal Home Loan Mortgage Corp S6XOOCT0IEG5ABCC6L87 2052-02-01 2052-02-01 3 - 3 2150318.00 2025048.51 Agency Mortgage-Backed Securities Y N/A N/A 2022-06-07 2022-06-07 2022-06-16 Y BMO CHICAGO BRH IL (GOV REPO) 1.0000 7 N N/A N/A N N 0.0080 2000000.00 2000000.00 0.0008 N N Y N BNP Paribas, SA BNP Paribas, SA, 1.34% R0MUWSFPU8MPRO8K5P83 JBB221000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N United States Treasury 254900HROIFWPRGM1V77 2031-08-15 2047-05-15 0 - 0 14525212.00 9279316.35 U.S. Treasuries (including strips) Y N/A N/A 2022-06-07 2022-06-07 2022-09-06 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0134 9000000.00 9000000.00 0.0036 N N Y N BNP Paribas, SA BNP Paribas, SA, 1.45% R0MUWSFPU8MPRO8K5P83 JJL058000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N United States Treasury 254900HROIFWPRGM1V77 2022-08-11 2048-05-15 0 - 4.375 1387221.00 1023335.98 U.S. Treasuries (including strips) Y N/A N/A 2022-06-07 2022-06-07 2022-09-26 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0145 1000000.00 1000000.00 0.0004 N N Y N BNY Mellon Capital Markets LLC In a joint trading account with BNY Mellon Capital Markets LLC at 0.8%, dated 5/31/2022 due 06/01/2022 VJW2DOOHGDT6PR0ZRO63 JJP070000_08066 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 B1V7KEBTPIMZEU4LTD58 2022-06-25 2052-06-01 0.375 - 9 2072300.00 1588818.97 Agency Mortgage-Backed Securities Government National Mortgage Association 549300M8ZYFG0OCMTT87 2022-08-20 2052-05-20 1.5 - 9 3540184.00 3014972.19 Agency Mortgage-Backed Securities Tennessee Valley Authority 549300HE1ISW43LNKM54 2024-09-15 2048-01-15 2.875 - 4.875 131.00 145.19 Agency Debentures and Agency Strips Federal Home Loan Mortgage Corp S6XOOCT0IEG5ABCC6L87 2022-10-01 2052-06-01 0.2 - 8 898022.00 563793.27 Agency Mortgage-Backed Securities Federal Farm Credit Bank 254900C5LP6DN9OP9V83 2022-06-08 2035-05-14 0.13 - 3.5 103993.00 100974.44 Agency Debentures and Agency Strips United States Treasury 254900HROIFWPRGM1V77 2022-06-02 2049-02-15 0 - 7.625 5061414.00 5040118.73 U.S. Treasuries (including strips) Federal Home Loan Banks 2549001DPIFGXC1TOL40 2022-06-01 2028-10-06 0 - 5.25 414638.00 398456.04 Agency Debentures and Agency Strips Y N/A N/A 2022-06-01 2022-06-01 2022-06-01 N N N 0.0080 10497000.00 10497000.00 0.0042 N Y Y N Bofa Secs Inc In a joint trading account with Bofa Secs Inc at 0.8%, dated 5/31/2022 due 06/01/2022 8NAV47T0Y26Q87Y0QP81 JJP070000_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 254900HROIFWPRGM1V77 2041-11-15 2041-11-15 2 - 2 424749.00 346193.43 U.S. Treasuries (including strips) Federal Home Loan Mortgage Corp S6XOOCT0IEG5ABCC6L87 2022-06-25 2052-06-01 0 - 8.5 24417605.00 5956334.94 Agency Mortgage-Backed Securities Government National Mortgage Association 549300M8ZYFG0OCMTT87 2052-03-20 2072-04-20 1.938 - 5.39 3411585.00 3275484.67 Agency Mortgage-Backed Securities Y N/A N/A 2022-06-01 2022-06-01 2022-06-01 N Y Bank of America Corporation 1.0000 N/A N/A N 0.0080 9390000.00 9390000.00 0.0037 N Y 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 B1V7KEBTPIMZEU4LTD58 2028-12-01 2052-02-01 1.5 - 4.01 1972375.00 2026488.04 Agency Mortgage-Backed Securities Federal Home Loan Mortgage Corp S6XOOCT0IEG5ABCC6L87 2023-08-01 2052-04-01 2.7 - 3.5 15312.00 14789.31 Agency Mortgage-Backed Securities Federal Farm Credit Bank 254900C5LP6DN9OP9V83 2036-01-11 2037-03-25 2.69 - 3.49 2000.00 1841.80 Agency Debentures and Agency Strips Y N/A N/A 2022-06-07 2022-06-07 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 0.0008 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 Federal Home Loan Mortgage Corp S6XOOCT0IEG5ABCC6L87 2023-08-01 2052-06-01 2.7 - 4 491232.00 334032.99 Agency Mortgage-Backed Securities Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 2035-12-01 2052-03-01 1.5 - 4.5 762193.00 687334.48 Agency Mortgage-Backed Securities Y N/A N/A 2022-06-07 2022-06-07 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 0.0004 N N Y N CIBC Bank U.S.A. CIBC Bank U.S.A., 0.80% 2IGI19DL77OX0HC3ZE78 JBE241000 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 B1V7KEBTPIMZEU4LTD58 2028-12-01 2052-05-01 3 - 4.06 993193.00 1020716.30 Agency Mortgage-Backed Securities Y N/A N/A 2022-06-07 2022-06-07 2022-06-16 Y CIBC NY BRNCH (GOV REPO) 1.0000 7 N N/A N/A N N 0.0080 1000000.00 1000000.00 0.0004 N N Y N CIBC Bank U.S.A. CIBC Bank U.S.A., 0.80% 2IGI19DL77OX0HC3ZE78 JBI487000 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 549300M8ZYFG0OCMTT87 2041-01-15 2050-11-20 3.5 - 4 12749.00 3959.10 Agency Mortgage-Backed Securities Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 2041-10-01 2051-05-01 2.26 - 4 2805986.00 1005041.47 Agency Mortgage-Backed Securities Federal Farm Credit Bank 254900C5LP6DN9OP9V83 2033-06-20 2038-08-26 2.71 - 3.99 2000.00 1899.27 Agency Debentures and Agency Strips Federal Home Loan Mortgage Corp S6XOOCT0IEG5ABCC6L87 2036-09-01 2052-04-01 2 - 7 26751.00 9304.22 Agency Mortgage-Backed Securities Y N/A N/A 2022-06-07 2022-06-07 2022-06-16 Y CIBC NY BRNCH (GOV REPO) 1.0000 7 N N/A N/A N N 0.0080 1000000.00 1000000.00 0.0004 N N Y N CIBC Bank U.S.A. CIBC Bank U.S.A., 0.81% 2IGI19DL77OX0HC3ZE78 JBB205000 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 B1V7KEBTPIMZEU4LTD58 2034-06-01 2052-03-01 1.5 - 4.5 7663159.00 4041596.95 Agency Mortgage-Backed Securities Federal Farm Credit Bank 254900C5LP6DN9OP9V83 2036-01-11 2036-01-11 2.69 - 2.69 46000.00 41220.93 Agency Debentures and Agency Strips Y N/A N/A 2022-06-07 2022-06-07 2022-06-16 Y CIBC NY BRNCH (GOV REPO) 1.0000 7 N N/A N/A N N 0.0080 4000000.00 4000000.00 0.0016 N N Y N CIBC Bank U.S.A. CIBC Bank U.S.A., 0.89% 2IGI19DL77OX0HC3ZE78 JBB213000 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 2029-09-15 2029-09-15 0 - 0 2000.00 1622.64 Agency Debentures and Agency Strips Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 2028-12-01 2055-04-25 1.455 - 5.514 23668692.00 1049586.34 Agency Mortgage-Backed Securities Y N/A N/A 2022-06-16 2022-06-16 2022-06-16 N N N 0.0089 1000000.00 1000000.00 0.0004 N N N Y Citibank NA Citibank NA, 0.81% E57ODZWZ7FF32TWEFA76 0000036684 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N Federal Home Loan Banks 2549001DPIFGXC1TOL40 2023-12-08 2023-12-08 3.375 - 3.375 215000.00 221539.60 Agency Debentures and Agency Strips United States Treasury 254900HROIFWPRGM1V77 2022-09-30 2051-05-15 0.125 - 3.375 8625500.00 7938280.15 U.S. Treasuries (including strips) Resolution Funding Corp 5493006TKFPYISY2DS54 2030-01-15 2030-01-15 0 - 0 1000.00 792.52 Agency Debentures and Agency Strips Federal Farm Credit Bank 254900C5LP6DN9OP9V83 2034-07-18 2034-07-18 2.99 - 2.99 1000.00 931.82 Agency Debentures and Agency Strips Government National Mortgage Association 549300M8ZYFG0OCMTT87 2042-11-15 2050-09-20 2 - 3 60911.00 9737.93 Agency Mortgage-Backed Securities Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 2030-11-15 2037-07-01 3.21 - 6.625 4000.00 4726.66 Agency Debentures and Agency Strips Y N/A N/A 2022-06-07 2022-06-07 2022-06-07 N N N 0.0081 8000000.00 8000000.00 0.0032 N N Y N Citibank NA Citibank NA, 0.81% E57ODZWZ7FF32TWEFA76 0000036684 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N Federal Home Loan Banks 2549001DPIFGXC1TOL40 2023-02-17 2025-03-14 1.375 - 2.375 65000.00 64851.29 Agency Debentures and Agency Strips Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 2023-01-19 2047-08-01 0.5 - 6.625 69162.00 65706.51 Agency Debentures and Agency Strips Federal Home Loan Mortgage Corp S6XOOCT0IEG5ABCC6L87 2023-08-24 2023-10-16 0.125 - 0.25 6000.00 5831.19 Agency Debentures and Agency Strips Federal Farm Credit Bank 254900C5LP6DN9OP9V83 2023-05-10 2034-07-18 0.125 - 2.99 79000.00 75158.07 Agency Debentures and Agency Strips Resolution Funding Corp 5493006TKFPYISY2DS54 2030-01-15 2030-04-15 0 - 0 2000.00 1575.54 Agency Debentures and Agency Strips Tennessee Valley Authority 549300HE1ISW43LNKM54 2032-09-15 2042-09-15 0 - 4.65 10000.00 6550.32 Agency Debentures and Agency Strips United States Treasury 254900HROIFWPRGM1V77 2022-07-15 2050-02-15 0 - 7.625 824500.00 800472.96 U.S. Treasuries (including strips) Y N/A N/A 2022-06-07 2022-06-07 2022-06-07 N N N 0.0081 1000000.00 1000000.00 0.0004 N N Y N Citigroup Global Capital Markets, Inc. Citigroup Global Capital Markets, Inc., 0.81% 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 549300M8ZYFG0OCMTT87 2051-03-20 2051-08-20 2 - 4.5 5801547.00 5100662.49 Agency Mortgage-Backed Securities Y N/A N/A 2022-06-07 2022-06-07 2022-06-07 N Y CITIGROUP INC 1.0000 N/A N/A N 0.0081 5000000.00 5000000.00 0.0020 N N Y N Citigroup Global Markets, Inc. In a joint trading account with Citigroup Global Markets, Inc. at 0.8%, dated 5/31/2022 due 06/01/2022 MBNUM2BPBDO7JBLYG310 JJP070000_00137 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 549300M8ZYFG0OCMTT87 2022-09-15 2070-04-20 1.5 - 9.5 10436130.00 7183001.61 Agency Mortgage-Backed Securities Y N/A N/A 2022-06-01 2022-06-01 2022-06-01 N Y Citigroup Inc 1.0000 N/A N/A N 0.0080 7042000.00 7042000.00 0.0028 N Y Y N Credit Agricole CIB New York Branch In a joint trading account with Credit Agricole CIB New York Branch at 0.8%, dated 5/31/2022 due 06/01/2022 1VUV7VQFKUOQSJ21A208 JJP070000_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 549300M8ZYFG0OCMTT87 2050-12-20 2052-04-20 2 - 4 1835283.00 1675897.24 Agency Mortgage-Backed Securities Y N/A N/A 2022-06-01 2022-06-01 2022-06-01 N N N 0.0080 1643000.00 1643000.00 0.0007 N Y Y N Credit Suisse Ag Ny In a joint trading account with Credit Suisse Ag Ny at 0.8%, dated 5/31/2022 due 06/01/2022 ANGGYXNX0JLX3X63JN86 JJP070000_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 254900HROIFWPRGM1V77 2022-06-30 2028-02-29 0.125 - 2.5 880258.00 879259.70 U.S. Treasuries (including strips) Y N/A N/A 2022-06-01 2022-06-01 2022-06-01 N N N 0.0080 862000.00 862000.00 0.0003 N Y Y N Deutsche Bank AG, New York Deutsche Bank AG, New York, 0.80% 7LTWFZYICNSX8D621K86 JJO866000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N United States Treasury 254900HROIFWPRGM1V77 2028-08-31 2028-08-31 1.125 - 1.125 1130700.00 1020085.32 U.S. Treasuries (including strips) Y N/A N/A 2022-06-01 2022-06-01 2022-06-01 N N N 0.0080 1000000.00 1000000.00 0.0004 N Y Y N Deutsche Bank AG, New York Deutsche Bank AG, New York, 0.81% 7LTWFZYICNSX8D621K86 JJM658000 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 2046-11-15 2046-11-15 3.75 - 3.75 3057205.00 3090415.42 Agency Mortgage-Backed Securities Y N/A N/A 2022-06-02 2022-06-02 2022-06-02 N N N 0.0080 3000000.00 3000000.00 0.0012 N N Y N Deutsche Bank Securities, Inc. Deutsche Bank Securities, Inc., 0.80% 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 S6XOOCT0IEG5ABCC6L87 2050-03-15 2050-03-15 3.25 - 3.25 8803107.00 5150114.90 Agency Mortgage-Backed Securities Y N/A N/A 2022-06-01 2022-06-01 2022-06-01 N N N 0.0080 5000000.00 5000000.00 0.0020 N Y Y N Goldman Sachs & Co. Goldman Sachs & Co., 0.81% 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 549300M8ZYFG0OCMTT87 2045-02-20 2052-03-20 3 - 3.5 16923699.00 16320364.97 Agency Mortgage-Backed Securities Y N/A N/A 2022-06-07 2022-06-07 2022-06-07 N N N 0.0080 16000000.00 16000000.00 0.0064 N N Y N HSBC Securities (USA), Inc. In a joint trading account with HSBC Securities (USA), Inc. at 0.8%, dated 5/31/2022 due 06/01/2022 CYYGQCGNHMHPSMRL3R97 JJP070000_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 B1V7KEBTPIMZEU4LTD58 2036-04-01 2052-03-01 2 - 4.5 2505133.00 2147302.11 Agency Mortgage-Backed Securities Federal Home Loan Mortgage Corp S6XOOCT0IEG5ABCC6L87 2041-12-01 2041-12-01 1.5 - 1.5 9374.00 8005.78 Agency Mortgage-Backed Securities Y N/A N/A 2022-06-01 2022-06-01 2022-06-01 N N N 0.0080 2113000.00 2113000.00 0.0008 N Y Y N ING Financial Markets LLC In a joint trading account with ING Financial Markets LLC at 0.8%, dated 5/31/2022 due 06/01/2022 KBVRJ5K57JZ3E2AVWX40 JJP070000_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 254900HROIFWPRGM1V77 2022-06-09 2051-08-15 0 - 4.375 704568.00 659324.98 U.S. Treasuries (including strips) Y N/A N/A 2022-06-01 2022-06-01 2022-06-01 N N N 0.0080 646000.00 646000.00 0.0003 N Y Y N Jp Morgan Secs Llc In a joint trading account with Jp Morgan Secs Llc at 0.8%, dated 5/31/2022 due 06/01/2022 ZBUT11V806EZRVTWT807 JJP070000_00267 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N United States Treasury 254900HROIFWPRGM1V77 2022-06-23 2031-02-15 0 - 7.625 7422113.00 7112434.98 U.S. Treasuries (including strips) Federal Home Loan Mortgage Corp S6XOOCT0IEG5ABCC6L87 2046-09-01 2046-09-01 4 - 4 15184.00 6114.71 Agency Mortgage-Backed Securities Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 2028-10-01 2052-05-01 2.5 - 3.825 8911518.00 4886097.29 Agency Mortgage-Backed Securities Y N/A N/A 2022-06-01 2022-06-01 2022-06-01 N N N 0.0080 11769000.00 11769000.00 0.0047 N Y Y N Mitsubishi Ufj Secs Hldgs Ltd In a joint trading account with Mitsubishi Ufj Secs Hldgs Ltd at 0.8%, dated 5/31/2022 due 06/01/2022 ZOMOLU8CGIZRYZ7PFU34 JJP070000_76664 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 2022-06-08 2052-06-01 0.125 - 5.5 5251439.00 2576187.40 Agency Mortgage-Backed Securities United States Treasury 254900HROIFWPRGM1V77 2022-06-16 2051-11-15 0 - 7.125 1009705.00 951844.22 U.S. Treasuries (including strips) Government National Mortgage Association 549300M8ZYFG0OCMTT87 2042-06-15 2052-03-20 2.5 - 4 1875315.00 1307599.14 Agency Mortgage-Backed Securities Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 2023-05-01 2052-05-01 1.5 - 5.5 13147455.00 5862380.59 Agency Mortgage-Backed Securities Y N/A N/A 2022-06-01 2022-06-01 2022-06-01 N N N 0.0080 10487000.00 10487000.00 0.0042 N Y Y N Mitsubishi UFJ Securities (U.S.A.), Inc. Mitsubishi UFJ Securities (U.S.A.), Inc., 0.83% K5HU16E3LMSVCCJJJ255 JJL042000 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 2025-04-01 2049-01-01 2 - 4.5 26642809.00 2926140.49 Agency Mortgage-Backed Securities Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 2043-04-01 2051-09-01 2 - 4.5 3002139.00 1154612.12 Agency Mortgage-Backed Securities Y N/A N/A 2022-07-01 2022-07-01 2022-07-01 N N N 0.0083 4000000.00 4000000.00 0.0016 N N N Y Mizuho Securities USA, Inc. In a joint trading account with Mizuho Securities USA, Inc. at 0.8%, dated 5/31/2022 due 06/01/2022 7TK5RJIZDFROZCA6XF66 JJP070000_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 254900HROIFWPRGM1V77 2022-06-28 2022-11-10 0 - 0 1198623.00 1197506.85 U.S. Treasuries (including strips) Y N/A N/A 2022-06-01 2022-06-01 2022-06-01 N N N 0.0080 1174000.00 1174000.00 0.0005 N Y Y N Nomura Securities Internationa In a joint trading account with Nomura Securities Internationa at 0.8%, dated 5/31/2022 due 06/01/2022 OXTKY6Q8X53C9ILVV871 JJP070000_07426 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 B1V7KEBTPIMZEU4LTD58 2028-10-01 2058-08-01 1.5 - 5.5 37596686.00 13160196.00 Agency Mortgage-Backed Securities Federal Home Loan Mortgage Corp S6XOOCT0IEG5ABCC6L87 2042-05-01 2052-05-01 2 - 5 2146352.00 1208866.80 Agency Mortgage-Backed Securities Y N/A N/A 2022-06-01 2022-06-01 2022-06-01 N N N 0.0080 14087000.00 14087000.00 0.0056 N Y Y N RBC Dominion Securities RBC Dominion Securities, 0.81% 549300QJJX6CVVUXLE15 JBB231000 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 549300M8ZYFG0OCMTT87 2047-05-20 2052-04-20 2 - 4 7114126.00 5230778.37 Agency Mortgage-Backed Securities Federal Home Loan Mortgage Corp S6XOOCT0IEG5ABCC6L87 2040-12-01 2040-12-01 4 - 4 300001.00 26246.73 Agency Mortgage-Backed Securities Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 2049-06-01 2051-12-01 2 - 3.5 2454723.00 2137330.28 Agency Mortgage-Backed Securities United States Treasury 254900HROIFWPRGM1V77 2026-05-15 2049-11-15 0 - 3.75 2096600.00 1792476.67 U.S. Treasuries (including strips) Y N/A N/A 2022-06-07 2022-06-07 2022-06-16 Y RBC DOMINION SECS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0080 9000000.00 9000000.00 0.0036 N N Y N RBC Dominion Securities, Inc. In a joint trading account with RBC Dominion Securities, Inc. at 0.8%, dated 5/31/2022 due 06/01/2022 549300QJJX6CVVUXLE15 JJP070000_07749 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 B1V7KEBTPIMZEU4LTD58 2036-02-01 2052-01-01 2 - 5 3067443.00 909302.70 Agency Mortgage-Backed Securities Government National Mortgage Association 549300M8ZYFG0OCMTT87 2038-11-20 2052-04-20 2 - 5 12314113.00 7597054.03 Agency Mortgage-Backed Securities Federal Home Loan Mortgage Corp S6XOOCT0IEG5ABCC6L87 2036-03-01 2052-05-01 2 - 5.5 2549056.00 881552.21 Agency Mortgage-Backed Securities United States Treasury 254900HROIFWPRGM1V77 2022-07-15 2051-05-15 0 - 6.375 8996285.00 7083135.99 U.S. Treasuries (including strips) Y N/A N/A 2022-06-01 2022-06-01 2022-06-01 N N N 0.0080 16134000.00 16134000.00 0.0064 N Y Y N RBC Financial Group RBC Financial Group, 0.82% ES7IP3U3RHIGC71XBU11 JBE256000 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 B1V7KEBTPIMZEU4LTD58 2034-07-01 2051-04-01 2 - 4 3162353.00 2307973.98 Agency Mortgage-Backed Securities Federal Home Loan Mortgage Corp S6XOOCT0IEG5ABCC6L87 2042-09-01 2052-06-01 2 - 4.5 1009224.00 753422.04 Agency Mortgage-Backed Securities Y N/A N/A 2022-06-07 2022-06-07 2022-11-15 Y ROYAL BANK OF CAN NYC (GOV RP) 1.0000 7 N N/A N/A N N 0.0081 3000000.00 3000000.00 0.0012 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 Federal Home Loan Mortgage Corp S6XOOCT0IEG5ABCC6L87 2050-01-01 2052-06-01 2 - 4.5 50558632.00 33692089.25 Agency Mortgage-Backed Securities Y N/A N/A 2022-06-07 2022-06-07 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 0.0131 N N Y N RBC Financial Group RBC Financial Group, 1.28% ES7IP3U3RHIGC71XBU11 JBB889000 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 B1V7KEBTPIMZEU4LTD58 2058-01-01 2058-01-01 3.5 - 3.5 36466777.00 19158312.15 Agency Mortgage-Backed Securities Federal Home Loan Mortgage Corp 2052-04-01 2052-06-01 2 - 4.5 257741.00 239603.60 Agency Mortgage-Backed Securities Y N/A N/A 2022-06-07 2022-06-07 2022-09-01 Y ROYAL BANK OF CAN NYC (GOV RP) 1.0000 7 N N/A N/A N N 0.0128 19000000.00 19000000.00 0.0076 N N Y N Sumitomo Mitsu Bk Corp Ny (DI) In a joint trading account with Sumitomo Mitsu Bk Corp Ny (DI) at 0.8%, dated 5/31/2022 due 06/01/2022 5U0XI89JRFVHWIBS4F54 JJP070000_10193 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 549300M8ZYFG0OCMTT87 2039-08-15 2050-01-20 3.5 - 5.5 3113888.00 268706.91 Agency Mortgage-Backed Securities Federal Home Loan Mortgage Corp S6XOOCT0IEG5ABCC6L87 2046-08-01 2046-08-01 3.5 - 3.5 1121196.00 333059.64 Agency Mortgage-Backed Securities United States Treasury 254900HROIFWPRGM1V77 2022-06-30 2030-08-15 0.25 - 2.875 24785267.00 23761543.50 U.S. Treasuries (including strips) Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 2049-04-01 2052-05-01 2.5 - 3.5 8497728.00 6307757.01 Agency Mortgage-Backed Securities Y N/A N/A 2022-06-01 2022-06-01 2022-06-01 N N N 0.0080 30069000.00 30069000.00 0.0120 N Y Y N Sumitomo Mitsui Bk Corp (REPO) In a joint trading account with Sumitomo Mitsui Bk Corp (REPO) at 0.8%, dated 5/31/2022 due 06/01/2022 5U0XI89JRFVHWIBS4F54 JJP070000_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 B1V7KEBTPIMZEU4LTD58 2048-12-01 2050-06-01 2 - 4 66418969.00 17817849.71 Agency Mortgage-Backed Securities Government National Mortgage Association 549300M8ZYFG0OCMTT87 2046-02-20 2046-03-20 3.5 - 3.5 21026077.00 3332922.62 Agency Mortgage-Backed Securities Y N/A N/A 2022-06-01 2022-06-01 2022-06-01 N N N 0.0080 20658000.00 20658000.00 0.0082 N Y Y N TD Securities (U.S.A.) TD Securities (U.S.A.), 0.81% SUVUFHICNZMP2WKHG940 JJM620000 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 549300M8ZYFG0OCMTT87 2052-01-20 2052-01-20 3 - 3 13932081.00 13261779.48 Agency Mortgage-Backed Securities Y N/A N/A 2022-06-02 2022-06-02 2022-06-02 N N N 0.0080 13000000.00 13000000.00 0.0052 N N Y N Wells Fargo Securities LLC In a joint trading account with Wells Fargo Securities LLC at 0.8%, dated 5/31/2022 due 06/01/2022 VYVVCKR63DVZZN70PB21 JJP070000_08395 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 B1V7KEBTPIMZEU4LTD58 2036-03-25 2052-05-01 0.798 - 3.5 973508.00 957580.95 Agency Mortgage-Backed Securities Federal Home Loan Mortgage Corp 2024-08-25 2024-08-25 3.453 - 3.453 680.00 223.04 Agency Collateralized Mortgage Obligation Y N/A N/A 2022-06-01 2022-06-01 2022-06-01 N N N 0.0080 939000.00 939000.00 0.0004 N Y Y N New York Hsg. Fin. Agcy. Rev. FHLMC New York Hsg. Fin. Agcy. Rev., 0.75% (Clinton Green North Hsg. Proj.) Series 2005 A, LOC Freddie Mac VRDN 64986M2T1 US64986M2T12 Variable Rate Demand Note Y N/A N/A 2022-06-07 2022-06-07 2038-11-01 Y FREDDIE MAC 1.0000 7 N N/A N/A Y FREDDIE MAC 1.0000 N/A N/A N 0.0075 1600000.00 1600000.00 0.0006 N N Y N New York Hsg. Fin. Agcy. Rev. FHLMC New York Hsg. Fin. Agcy. Rev., 0.75% 64986M2V6 US64986M2V67 Variable Rate Demand Note Y N/A N/A 2022-06-07 2022-06-07 2038-11-01 Y FREDDIE MAC 1.0000 7 N N/A N/A Y FREDDIE MAC 1.0000 N/A N/A N 0.0075 800000.00 800000.00 0.0003 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., 0.75% (155 West 21st Street Dev. Proj.) Series 2007 A, LOC Fannie Mae VRDN 64970HDH4 US64970HDH49 Variable Rate Demand Note Y N/A N/A 2022-06-07 2022-06-07 2037-11-15 Y FANNIE MAE 1.0000 7 N N/A N/A Y FANNIE MAE 1.0000 N/A N/A N 0.0075 600000.00 600000.00 0.0002 N N Y N New York Hsg. Fin. Agcy. Rev. FNMA New York Hsg. Fin. Agcy. Rev., 0.75% 64986MCB9 US64986MCB90 Variable Rate Demand Note Y N/A N/A 2022-06-07 2022-06-07 2029-05-15 Y FANNIE MAE 1.0000 7 N N/A N/A Y FANNIE MAE 1.0000 N/A N/A N 0.0075 500000.00 500000.00 0.0002 N N Y N New York Hsg. Fin. Agcy. Rev. FNMA New York Hsg. Fin. Agcy. Rev., 0.75% (316 Eleventh Ave. Hsg. Proj.) Series 2007 A, LOC Fannie Mae VRDN 64986MK79 US64986MK791 Variable Rate Demand Note Y N/A N/A 2022-06-07 2022-06-07 2041-05-15 Y FANNIE MAE 1.0000 7 N N/A N/A Y FANNIE MAE 1.0000 N/A N/A N 0.0075 27900000.00 27900000.00 0.0111 N N Y N New York Hsg. Fin. Agcy. Rev. FNMA New York Hsg. Fin. Agcy. Rev., 0.75% (Tribeca Park Proj.) Series 1997 A, LOC Fannie Mae VRDN 64986MDT9 US64986MDT99 Variable Rate Demand Note Y N/A N/A 2022-06-07 2022-06-07 2029-11-15 Y FANNIE MAE 1.0000 7 N N/A N/A Y FANNIE MAE 1.0000 N/A N/A N 0.0075 500000.00 500000.00 0.0002 N N Y N New York Hsg. Fin. Agcy. Rev. FNMA New York Hsg. Fin. Agcy. Rev., 0.80% 64986M4E2 US64986M4E25 Variable Rate Demand Note Y N/A N/A 2022-06-07 2022-06-07 2039-05-15 Y FANNIE MAE 1.0000 7 N N/A N/A Y FANNIE MAE 1.0000 N/A N/A N 0.0080 500000.00 500000.00 0.0002 N N Y N New York Hsg. Fin. Agcy. Rev. FNMA New York Hsg. Fin. Agcy. Rev., 0.81% (West 23rd Street Hsg. Proj.) Series 2001 A, LOC Fannie Mae VRDN 64986MQT5 Variable Rate Demand Note Y N/A N/A 2022-06-07 2022-06-07 2033-05-15 Y FANNIE MAE 1.0000 7 N N/A N/A Y FANNIE MAE 1.0000 N/A N/A N 0.0081 500000.00 500000.00 0.0002 N N Y N New York Hsg. Fin. Agcy. Rev. FNMA New York Hsg. Fin. Agcy. Rev., 0.84% Series 2008 A, LOC Fannie Mae VRDN 64986UMP9 US64986UMP92 Variable Rate Demand Note Y N/A N/A 2022-06-07 2022-06-07 2041-05-15 Y FANNIE MAE 1.0000 7 N N/A N/A Y FANNIE MAE 1.0000 N/A N/A N 0.0084 600000.00 600000.00 0.0002 N N Y N New York Hsg. Fin. Agcy. Rev. FNMA New York Hsg. Fin. Agcy. Rev., 0.86% 64986UMN4 US64986UMN45 Variable Rate Demand Note Y N/A N/A 2022-06-07 2022-06-07 2041-05-15 Y FANNIE MAE 1.0000 7 N N/A N/A Y FANNIE MAE 1.0000 N/A N/A N 0.0086 3100000.00 3100000.00 0.0012 N N Y N California Statewide Cmntys. Dev. Auth. Multi-family Hsg. Rev. FHLMC California Statewide Cmntys. Dev. Auth. Multi-family Hsg. Rev., 0.81% 13079PLS0 US13079PLS01 Variable Rate Demand Note Y N/A N/A 2022-06-07 2022-06-07 2038-01-01 Y FREDDIE MAC 1.0000 7 N N/A N/A Y FREDDIE MAC 1.0000 N/A N/A N 0.0081 700000.00 700000.00 0.0003 N N Y N Lloyds Bank Corp. Markets PLC Lloyds Bank Corp. Markets PLC, 1.05% 213800MBWEIJDM5CU638 JJO967000 Other Instrument Forward Settling Repurchase Agreement Y N/A N/A 2022-07-01 2022-07-01 2022-07-01 N N N 0.0105 1000000.00 1000000.00 0.0004 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 2022-06-03 Laura M. Del Prato Laura M. Del Prato President and Treasurer