N-MFP LIVE N 2015-12-31 0000356173 S000004822 6 N N 002-74808 FIDELITY MANAGEMENT & RESEARCH COMPANY (FMR) 801-07884 FIDELITY INVESTMENTS MONEY MANAGEMENT, INC. 801-34590 FMR INVESTMENT MANAGEMENT (U.K.) LIMITED 801-28773 FIDELITY MANAGEMENT & RESEARCH (HONG KONG) LIMITED 801-69507 FIDELITY MANAGEMENT & RESEARCH (JAPAN) LIMITED 801-69571 DELOITTE & TOUCHE LLP Boston MA None FIDELITY INVESTMENTS INSTIT. OPERATIONS CO. 0000862124 084-01839 N N N Prime 20 36 65943474282.08 18920470.04 24686243.20 65937708508.92 0.0046 1.0003 2015-12-31 1.0003 2015-12-31 C000013041 1000000.00 22504058211.01 1.00 -40710305.59 5377971609.76 5418681915.35 0.0028 1.0003 2015-12-31 1.0003 2015-12-31 C000013086 1000000.00 107518446.97 1.00 -17837076.64 80994123.94 98831200.58 0.0013 1.0002 2015-12-31 1.0002 2015-12-31 C000013087 1000000.00 1993147099.90 1.00 176895472.08 959434799.14 782539327.06 0.0004 0.9997 2015-12-31 0.9997 2015-12-31 C000013088 1000000.00 282729967.56 1.00 -138168718.33 80835046.44 219003764.77 0.0023 1.0002 2015-12-31 1.0002 2015-12-31 C000056571 10000000.00 38045971791.30 1.00 -1771952704.16 18309504882.20 20081457586.36 0.0032 1.0003 2015-12-31 1.0003 2015-12-31 C000077337 1.00 3004282992.18 1.00 6946324.48 40174192.64 33227868.16 0.0032 1.0000 2015-12-31 1.0000 2015-12-31 Bank of Montreal Chicago CD Program Bank of Montreal Chicago CD Program, 0.39% 06366CZK7 Certificate of Deposit First Tier Security 2016-01-05 2016-01-05 N N N 217000000.00 217000000.00 0.0033 N 217000000.00 217000000.00 Bank of Montreal Chicago CD Program Bank of Montreal Chicago CD Program, 0.52% 06366LEZ7 Certificate of Deposit First Tier Security 2016-01-19 2016-06-10 N N N 522000000.00 522000000.00 0.0079 N 521917524.00 521917524.00 Bank of Montreal Chicago CD Program Bank of Montreal Chicago CD Program, 0.60% 06427EKM2 Certificate of Deposit First Tier Security 2016-05-13 2016-05-13 N N N 255000000.00 255000000.00 0.0039 N 254893435.50 254893435.50 Bank of Nova Scotia Bank of Nova Scotia, 0.45% 06417H2X3 Certificate of Deposit First Tier Security 2016-01-08 2016-01-08 N N N 746000000.00 746000000.00 0.0113 N 745988810.00 745988810.00 Bank of Nova Scotia Bank of Nova Scotia, 0.55% 06417HV37 Certificate of Deposit First Tier Security 2016-01-22 2016-02-22 N N N 286000000.00 286000000.00 0.0043 N 285964822.00 285964822.00 Bank of Nova Scotia Bank of Nova Scotia, 0.60% 06417GAW8 Certificate of Deposit First Tier Security 2016-05-13 2016-05-13 N N N 187000000.00 187000000.00 0.0028 N 186976737.20 186976737.20 Bank of Nova Scotia Bank of Nova Scotia, 0.65% 06417GBS6 Certificate of Deposit First Tier Security 2016-04-19 2016-04-19 N N N 500000000.00 500000000.00 0.0076 N 500091100.00 500091100.00 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.40% 06538MKC2 Certificate of Deposit First Tier Security 2016-01-05 2016-01-05 N N N 2030000000.00 2030000000.00 0.0308 N 2030013601.00 2030013601.00 BNP Paribas New York Branch BNP Paribas New York Branch, 0.64% 05574RP66 Certificate of Deposit First Tier Security 2016-04-01 2016-04-01 N N N 355000000.00 355000000.00 0.0054 N 355032376.00 355032376.00 BNP Paribas New York Branch BNP Paribas New York Branch, 0.65% 05574RQ40 Certificate of Deposit First Tier Security 2016-03-11 2016-03-11 N N N 524000000.00 524000000.00 0.0079 N 524116432.80 524116432.80 Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce, 0.51% 13606YZK5 Certificate of Deposit First Tier Security 2016-01-19 2016-05-16 N N N 736000000.00 736000000.00 0.0112 N 735945536.00 735945536.00 Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce, 0.61% 13606J3J6 Certificate of Deposit First Tier Security 2016-01-20 2016-04-20 N N N 549000000.00 549000000.00 0.0083 N 548917650.00 548917650.00 Credit Suisse Credit Suisse, 0.65% 22549VKL6 Certificate of Deposit First Tier Security 2016-01-19 2016-05-17 N N N 200000000.00 200000000.00 0.0030 N 199968400.00 199968400.00 Credit Suisse AG Credit Suisse AG, 0.57% 22549VUK7 Certificate of Deposit First Tier Security 2016-01-14 2016-03-02 N N N 540000000.00 540000000.00 0.0082 N 539955720.00 539955720.00 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.40% 60689DPW7 Certificate of Deposit First Tier Security 2016-01-05 2016-01-05 N N N 1439000000.00 1439000000.00 0.0218 N 1439008634.00 1439008634.00 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.42% 60689DKG7 Certificate of Deposit First Tier Security 2016-01-08 2016-01-08 N N N 550000000.00 550000000.00 0.0083 N 550006435.00 550006435.00 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.65% 60689DPK3 Certificate of Deposit First Tier Security 2016-03-14 2016-03-14 N N N 450000000.00 450000000.00 0.0068 N 450049725.00 450049725.00 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.70% 60689DPV9 Certificate of Deposit First Tier Security 2016-04-04 2016-04-04 N N N 275000000.00 275000000.00 0.0042 N 275021697.50 275021697.50 Natexis Banques Populaires New York Branch Natexis Banques Populaires New York Branch, 0.68% 63873FYM4 Certificate of Deposit First Tier Security 2016-03-21 2016-03-21 N N N 264000000.00 264000000.00 0.0040 N 264077668.80 264077668.80 Royal Bank of Canada Royal Bank of Canada, 0.48% 78009NVP8 Certificate of Deposit First Tier Security 2016-01-12 2016-02-12 N N N 283000000.00 283000000.00 0.0043 N 282980756.00 282980756.00 Royal Bank of Canada Royal Bank of Canada, 0.51% 78009NVQ6 Certificate of Deposit First Tier Security 2016-01-19 2016-02-17 N N N 273000000.00 273000000.00 0.0041 N 272973246.00 272973246.00 Royal Bank of Canada Royal Bank of Canada, 0.62% 78009NTU0 Certificate of Deposit First Tier Security 2016-03-23 2016-03-23 N N N 830000000.00 830000000.00 0.0126 N 829375840.00 829375840.00 Skandinaviska Enskilda Banken Skandinaviska Enskilda Banken, 0.40% 83051H5B8 Certificate of Deposit First Tier Security 2016-01-07 2016-01-07 N N N 440000000.00 440000000.00 0.0067 N 440013156.00 440013156.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.40% 86563QLS7 Certificate of Deposit First Tier Security 2016-01-05 2016-01-05 N N N 704000000.00 704000000.00 0.0107 N 704004576.00 704004576.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.40% 86563QLX6 Certificate of Deposit First Tier Security 2016-01-06 2016-01-06 N N N 311000000.00 311000000.00 0.0047 N 311002270.30 311002270.30 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.42% 86563R2W7 Certificate of Deposit First Tier Security 2016-01-04 2016-01-04 N N N 300000000.00 300000000.00 0.0045 N 300002280.00 300002280.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.50% 86563QFT2 Certificate of Deposit First Tier Security 2016-03-17 2016-03-17 N N N 400000000.00 400000000.00 0.0061 N 399917600.00 399917600.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.55% 86562JAD9 Certificate of Deposit First Tier Security 2016-01-15 2016-03-15 N N N 522000000.00 522000000.00 0.0079 N 521966592.00 521966592.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.70% 86563QKP4 Certificate of Deposit First Tier Security 2016-03-18 2016-03-18 N N N 329000000.00 329000000.00 0.0050 N 329069649.30 329069649.30 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.70% 86563QLG3 Certificate of Deposit First Tier Security 2016-03-23 2016-03-23 N N N 746000000.00 746000000.00 0.0113 N 746120031.40 746120031.40 Sumitomo Mitsui Trust Bank Ltd. Sumitomo Mitsui Trust Bank Ltd., 0.41% 86563KH22 Certificate of Deposit First Tier Security 2016-01-05 2016-01-05 N N N 568000000.00 568000000.00 0.0086 N 568004487.20 568004487.20 Sumitomo Mitsui Trust Bank Ltd. Sumitomo Mitsui Trust Bank Ltd., 0.72% 86563KV75 Certificate of Deposit First Tier Security 2016-03-29 2016-03-29 N N N 250000000.00 250000000.00 0.0038 N 250034550.00 250034550.00 Swedbank AB Swedbank AB, 0.40% 87019T4J8 Certificate of Deposit First Tier Security 2016-01-06 2016-01-06 N N N 543000000.00 543000000.00 0.0082 N 543017701.80 543017701.80 Toronto-Dominion Bank Toronto-Dominion Bank, 0.50% 89113EWL6 Certificate of Deposit First Tier Security 2016-02-01 2016-02-01 N N N 120000000.00 120000000.00 0.0018 N 120013248.00 120013248.00 Toronto-Dominion Bank Toronto-Dominion Bank, 0.50% 89113EWN2 Certificate of Deposit First Tier Security 2016-02-02 2016-02-02 N N N 284000000.00 284000000.00 0.0043 N 284031808.00 284031808.00 Toronto-Dominion Bank New York Branch Toronto-Dominion Bank New York Branch, 0.39% 89113EDE3 Certificate of Deposit First Tier Security 2016-02-12 2016-02-12 N N N 335000000.00 335000000.00 0.0051 N 334875380.00 334875380.00 Toronto-Dominion Bank New York Branch Toronto-Dominion Bank New York Branch, 0.41% 89113ETN6 Certificate of Deposit First Tier Security 2016-01-04 2016-04-11 N N N 548000000.00 548000000.00 0.0083 N 547970956.00 547970956.00 Toronto-Dominion Bank New York Branch Toronto-Dominion Bank New York Branch, 0.47% 89113ESH0 Certificate of Deposit First Tier Security 2016-01-12 2016-03-14 N N N 542000000.00 542000000.00 0.0082 N 541967480.00 541967480.00 Toronto-Dominion Bank New York Branch Toronto-Dominion Bank New York Branch, 0.50% 89113ETZ9 Certificate of Deposit First Tier Security 2016-01-12 2016-04-12 N N N 287000000.00 287000000.00 0.0044 N 286978762.00 286978762.00 UBS AG UBS AG, 0.57% 90267RZ44 Certificate of Deposit First Tier Security 2016-03-04 2016-03-04 N N N 245000000.00 245000000.00 0.0037 N 245127302.00 245127302.00 UBS AG UBS AG, 0.65% 90267RZ51 Certificate of Deposit First Tier Security 2016-01-20 2016-03-04 N N N 245000000.00 245000000.00 0.0037 N 244969620.00 244969620.00 BMO Harris Bank NA BMO Harris Bank NA, 0.52% 05574BEL0 Certificate of Deposit First Tier Security 2016-01-19 2016-02-16 N N N 347000000.00 347000000.00 0.0053 N 346979527.00 346979527.00 State Street Bank & Trust Co. State Street Bank & Trust Co., 0.49% 8574P1FM3 Certificate of Deposit First Tier Security 2016-01-12 2016-02-12 N N N 546000000.00 546000000.00 0.0083 N 545959050.00 545959050.00 Wells Fargo Bank NA Wells Fargo Bank NA, 0.39% 94988EH35 Certificate of Deposit First Tier Security 2016-01-04 2016-03-02 N N N 256000000.00 256000000.00 0.0039 N 255995904.00 255995904.00 Wells Fargo Bank NA Wells Fargo Bank NA, 0.39% 94988EH27 Certificate of Deposit First Tier Security 2016-01-04 2016-03-01 N N N 350000000.00 350000000.00 0.0053 N 349994750.00 349994750.00 Wells Fargo Bank NA Wells Fargo Bank NA, 0.44% 94988EGM4 Certificate of Deposit First Tier Security 2016-01-14 2016-02-08 N N N 79000000.00 79000000.00 0.0012 N 78994944.00 78994944.00 Wells Fargo Bank NA Wells Fargo Bank NA, 0.45% 94988EJJ8 Certificate of Deposit First Tier Security 2016-01-04 2016-04-06 N N N 771000000.00 771000000.00 0.0117 N 770961450.00 770961450.00 Wells Fargo Bank NA Wells Fargo Bank NA, 0.45% 94988EH92 Certificate of Deposit First Tier Security 2016-01-11 2016-02-09 N N N 280000000.00 280000000.00 0.0042 N 279987120.00 279987120.00 Wells Fargo Bank NA Wells Fargo Bank NA, 0.57% 94988EGX0 Certificate of Deposit First Tier Security 2016-01-29 2016-02-29 N N N 289000000.00 289000000.00 0.0044 N 288950003.00 288950003.00 Wells Fargo Bank NA Wells Fargo Bank NA, 0.57% 94988EGY8 Certificate of Deposit First Tier Security 2016-01-29 2016-03-01 N N N 315000000.00 315000000.00 0.0048 N 314945505.00 314945505.00 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.41% 20272AMV5 Financial Company Commercial Paper First Tier Security 2016-01-04 2016-02-01 N N N 185000000.00 185000000.00 0.0028 N 184997410.00 184997410.00 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.41% 20272AMW3 Financial Company Commercial Paper First Tier Security 2016-01-04 2016-02-03 N N N 185000000.00 185000000.00 0.0028 N 184997225.00 184997225.00 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.44% 20272AMY9 Financial Company Commercial Paper First Tier Security 2016-01-06 2016-02-10 N N N 192000000.00 192000000.00 0.0029 N 191991168.00 191991168.00 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.44% 20272AMX1 Financial Company Commercial Paper First Tier Security 2016-01-06 2016-02-05 N N N 185000000.00 185000000.00 0.0028 N 184997040.00 184997040.00 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.45% 20272AMZ6 Financial Company Commercial Paper First Tier Security 2016-01-06 2016-02-08 N N N 192000000.00 192000000.00 0.0029 N 191994048.00 191994048.00 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.59% 20272AND4 Financial Company Commercial Paper First Tier Security 2016-01-25 2016-02-23 N N N 15000000.00 15000000.00 0.0002 N 14998050.00 14998050.00 JPMorgan Securities LLC JPMorgan Securities LLC, 0.49% 46640ECC0 Financial Company Commercial Paper First Tier Security 2016-01-07 2016-03-07 N N N 539000000.00 539000000.00 0.0082 N 538981674.00 538981674.00 JPMorgan Securities LLC JPMorgan Securities LLC, 0.75% 46590DD80 Financial Company Commercial Paper First Tier Security 2016-04-08 2016-04-08 N N N 330000000.00 329326249.89 0.0050 N 329575290.00 329575290.00 Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 0.40% 60682WAE8 Financial Company Commercial Paper First Tier Security 2016-01-14 2016-01-14 N N N 249000000.00 248964033.34 0.0038 N 248961454.80 248961454.80 Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 0.40% 60682WAF5 Financial Company Commercial Paper First Tier Security 2016-01-15 2016-01-15 N N N 278000000.00 277956755.54 0.0042 N 277953657.40 277953657.40 Toronto Dominion Holdings (U.S.A.) Toronto Dominion Holdings (U.S.A.), 0.51% 89116EB28 Financial Company Commercial Paper First Tier Security 2016-02-02 2016-02-02 N N N 352000000.00 351841991.14 0.0053 N 351878348.80 351878348.80 Toronto Dominion Holdings (U.S.A.) Toronto Dominion Holdings (U.S.A.), 0.60% 89116EDD2 Financial Company Commercial Paper First Tier Security 2016-04-13 2016-04-13 N N N 168000000.00 167711600.05 0.0025 N 167719473.60 167719473.60 Manhattan Asset Funding Co. LLC Manhattan Asset Funding Co. LLC, 0.36% 56274LAB0 Asset Backed Commercial Paper First Tier Security 2016-01-11 2016-01-11 N N Y LIQUIDITY SUMITOMO MITSUI BKG CORP N/A N/A 94000000.00 93990600.00 0.0014 N 93987507.40 93987507.40 Manhattan Asset Funding Co. LLC Manhattan Asset Funding Co. LLC, 0.37% 56274LA79 Asset Backed Commercial Paper First Tier Security 2016-01-07 2016-01-07 N N Y LIQUIDITY SUMITOMO MITSUI BKG CORP N/A N/A 55000000.00 54996608.34 0.0008 N 54995616.50 54995616.50 Manhattan Asset Funding Co. LLC Manhattan Asset Funding Co. LLC, 0.37% 56274LA87 Asset Backed Commercial Paper First Tier Security 2016-01-08 2016-01-08 N N Y LIQUIDITY SUMITOMO MITSUI BKG CORP N/A N/A 86000000.00 85993812.78 0.0013 N 85992053.60 85992053.60 Manhattan Asset Funding Co. LLC Manhattan Asset Funding Co. LLC, 0.60% 56274LCH5 Asset Backed Commercial Paper First Tier Security 2016-03-17 2016-03-17 N N Y LIQUIDITY SUMITOMO MITSUI BKG CORP N/A N/A 100000000.00 99873333.36 0.0015 N 99865250.00 99865250.00 BNP Paribas Dublin Branch BNP Paribas Dublin Branch, 0.37% 09658YA43 Other Commercial Paper First Tier Security 2016-01-04 2016-01-04 N N N 1049000000.00 1048967655.76 0.0159 N 1048954788.10 1048954788.10 Danaher Corp. Danaher Corp., 0.40% 23585LA40 Other Commercial Paper First Tier Security 2016-01-04 2016-01-04 N N N 76000000.00 75997466.66 0.0012 N 75997627.28 75997627.28 U.S. Treasury Bills U.S. Treasury Bills, 0.20% 912796GH6 Treasury Debt First Tier Security 2016-04-28 2016-04-28 N N N 300000000.00 299803333.38 0.0045 N 299748600.00 299748600.00 U.S. Treasury Notes U.S. Treasury Notes, 0.38% 912828VG2 Treasury Debt First Tier Security 2016-06-15 2016-06-15 N N N 250000000.00 250128623.85 0.0038 N 249980000.00 249980000.00 U.S. Treasury Notes U.S. Treasury Notes, 0.43% 912828M23 Treasury Debt First Tier Security 2016-01-04 2017-10-31 N N N 210000000.00 209813393.75 0.0032 N 209915580.00 209915580.00 Fannie Mae Fannie Mae, 0.44% 3135G0B44 Government Agency Debt First Tier Security 2016-01-26 2017-01-26 N N N 210000000.00 209977077.70 0.0032 N 209880300.00 209880300.00 Freddie Mac Freddie Mac, 0.41% 3134G72G5 Government Agency Debt First Tier Security 2016-01-20 2017-04-20 N N N 358000000.00 357928746.54 0.0054 N 357455124.00 357455124.00 Svenska Handelsbanken AB Svenska Handelsbanken AB, 0.61% 86959JCX4 Other Note First Tier Security 2016-01-27 2016-02-26 N N N 496000000.00 496000000.00 0.0075 N 495979664.00 495979664.00 LP Pinewood SPV LLC Taxable LP Pinewood SPV LLC Taxable, 0.42% LOC Wells Fargo Bank NA VRDN 50212RAA7 Variable Rate Demand Note First Tier Security 2016-01-07 2016-01-07 Y WELLS FARGO BK NATL ASSN N/A N/A Y WELLS FARGO BK NATL ASSN N/A N/A N 67000000.00 67000000.00 0.0010 N 67000000.00 67000000.00 Bank of New York Mellon (TD) Bank of New York Mellon (TD), 0.29% AAH535000 Other Instrument Time Deposits First Tier Security 2016-01-04 2016-01-04 N N N 3318000000.00 3318000000.00 0.0503 N 3318000000.00 3318000000.00 Credit Agricole CIB Credit Agricole CIB, 0.29% AAH540000 Other Instrument Time Deposits First Tier Security 2016-01-04 2016-01-04 N N N 2048000000.00 2048000000.00 0.0311 N 2048000000.00 2048000000.00 Bank of America NA In a joint trading account with Bank of America NA at 0.31%, dated 12/31/2015 due 01/04/2016 AAH559000_04197 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2021-01-25 2043-06-15 2.413 - 3.531 Government Agency Debt 518580821.42 497448904.63 FEDERAL NATIONAL MORTGAGE ASSOC 2040-11-25 2044-10-25 3.5 - 5.8 Government Agency Debt 603592446.29 261017904.76 Unrated Security 2016-01-04 2016-01-04 N N N 736349362.00 736349361.77 0.0112 N 736349361.77 736349361.77 Bank of Nova Scotia In a joint trading account with Bank of Nova Scotia at 0.33%, dated 12/31/2015 due 01/04/2016 AAH565000_04240 Government Agency Repurchase Agreement Y US TREASURY 2016-01-21 2045-05-15 0 - 6.875 Treasury Debt 34627787.98 34745092.75 Unrated Security 2016-01-04 2016-01-04 N N N 34029127.00 34029127.42 0.0005 N 34029127.42 34029127.42 BNP Paribas Securities Corp. In a joint trading account with BNP Paribas Securities Corp. at 0.31%, dated 12/31/2015 due 01/04/2016 AAH559000_07629 Government Agency Repurchase Agreement Y US TREASURY 2016-02-29 2044-08-15 0 - 9 Treasury Debt 272944519.62 277525224.24 FEDERAL HOME LOAN MORTGAGE CORP 2016-04-01 2047-01-25 0 - 8 Government Agency Debt 356658377.91 117456265.54 FEDERAL NATIONAL MORTGAGE ASSOC 2016-01-25 2045-12-25 1.587 - 9 Government Agency Debt 800650429.46 211787840.66 GOVERNMENT NATIONAL MORTAGE ASSOC 2017-04-15 2045-09-20 0.5 - 7.5 Government Agency Debt 13052481.37 2931052.33 Unrated Security 2016-01-04 2016-01-04 N N N 597275681.00 597275681.24 0.0091 N 597275681.24 597275681.24 Citibank NA In a joint trading account with Citibank NA at 0.31%, dated 12/31/2015 due 01/04/2016 AAH559000_26602 Government Agency Repurchase Agreement Y US TREASURY 2016-01-07 2045-02-15 0 - 9.125 Treasury Debt 98579673.87 100258550.35 FEDERAL HOME LOAN BANK 2020-09-11 2026-06-12 1.375 - 5.75 Government Agency Debt 1869.52 2043.06 FEDERAL HOME LOAN MORTGAGE CORP 2027-10-01 2045-10-01 2.5 - 6 Government Agency Debt 8954544.79 8073475.74 FEDERAL NATIONAL MORTGAGE ASSOC 2017-12-01 2045-07-01 1.3 - 6.5 Government Agency Debt 5107341.88 2779723.72 GOVERNMENT NATIONAL MORTAGE ASSOC 2022-02-20 2045-11-20 2 - 8 Government Agency Debt 26127774.60 19635919.71 Unrated Security 2016-01-04 2016-01-04 N N N 128174489.00 128174489.26 0.0019 N 128174489.26 128174489.26 Citibank NA In a joint trading account with Citibank NA at 0.33%, dated 12/31/2015 due 01/04/2016 AAH565000_26602 Government Agency Repurchase Agreement Y US TREASURY 2016-01-07 2045-02-15 0 - 9.125 Treasury Debt 39257971.33 39926560.32 FEDERAL HOME LOAN BANK 2020-09-11 2026-06-12 1.375 - 5.75 Government Agency Debt 744.51 813.62 FEDERAL HOME LOAN MORTGAGE CORP 2027-10-01 2045-10-01 2.5 - 6 Government Agency Debt 3566021.77 3215148.39 FEDERAL NATIONAL MORTGAGE ASSOC 2017-12-01 2045-07-01 1.3 - 6.5 Government Agency Debt 2033927.21 1106985.95 GOVERNMENT NATIONAL MORTAGE ASSOC 2022-02-20 2045-11-20 2 - 8 Government Agency Debt 10405019.47 7819729.39 Unrated Security 2016-01-04 2016-01-04 N N N 51043691.00 51043691.13 0.0008 N 51043691.13 51043691.13 Credit Agricole CIB New York Branch In a joint trading account with Credit Agricole CIB New York Branch at 0.31%, dated 12/31/2015 due 01/04/2016 AAH559000_04361 Government Agency Repurchase Agreement Y US TREASURY 2016-01-07 2045-11-15 0 - 8.875 Treasury Debt 337832320.60 369578808.02 Unrated Security 2016-01-04 2016-01-04 N N N 360981215.00 360981214.65 0.0055 N 360981214.65 360981214.65 HSBC Securities (USA), Inc. In a joint trading account with HSBC Securities (USA), Inc. at 0.31%, dated 12/31/2015 due 01/04/2016 AAH559000_39304 Government Agency Repurchase Agreement Y US TREASURY 2016-03-03 2042-05-15 0 - 9.125 Treasury Debt 919304568.35 991607475.80 U.S. TREASURY 2016-01-31 2017-10-31 0.045 - 0.188 Treasury Debt 8317798.16 8313796.39 Unrated Security 2016-01-04 2016-01-04 N N N 979386504.00 979386504.05 0.0149 N 979386504.05 979386504.05 J.P. Morgan Securities, Inc. In a joint trading account with J.P. Morgan Securities, Inc. at 0.31%, dated 12/31/2015 due 01/04/2016 AAH559000_55502 Government Agency Repurchase Agreement Y US TREASURY 2016-01-15 2045-08-15 0.375 - 9.25 Treasury Debt 499505282.07 510586585.79 FEDERAL HOME LOAN MORTGAGE CORP 2023-01-01 2045-12-01 1.864 - 6.257 Government Agency Debt 969495002.57 290483008.89 U.S. TREASURY 2016-01-31 2017-10-31 0.045 - 0.188 Treasury Debt 5817428.72 5814010.26 Unrated Security 2016-01-04 2016-01-04 N N N 790845318.00 790845318.09 0.0120 N 790845318.09 790845318.09 J.P. Morgan Securities, Inc. In a joint trading account with J.P. Morgan Securities, Inc. at 0.33%, dated 12/31/2015 due 01/04/2016 AAH565000_55502 Government Agency Repurchase Agreement Y US TREASURY 2016-01-15 2045-08-15 0.375 - 9.25 Treasury Debt 23807235.04 24335388.01 FEDERAL HOME LOAN MORTGAGE CORP 2023-01-01 2045-12-01 1.864 - 6.257 Government Agency Debt 46207710.35 13844893.17 U.S. TREASURY 2016-01-31 2017-10-31 0.045 - 0.188 Treasury Debt 277268.12 277105.20 Unrated Security 2016-01-04 2016-01-04 N N N 37692976.00 37692975.51 0.0006 N 37692975.51 37692975.51 Merrill Lynch, Pierce, Fenner & Smith, Inc. In a joint trading account with Merrill Lynch, Pierce, Fenner & Smith, Inc. at 0.33%, dated 12/31/2015 due 01/04/2016 AAH565000_53651 Government Agency Repurchase Agreement Y US TREASURY 2021-09-30 2021-09-30 2.125 - 2.125 Treasury Debt 23921755.16 24299946.87 FEDERAL HOME LOAN MORTGAGE CORP 2034-01-01 2043-03-01 2.316 - 4 Government Agency Debt 23369608.47 18909648.22 FEDERAL NATIONAL MORTGAGE ASSOC 2042-08-01 2042-08-01 2.94 - 2.94 Government Agency Debt 11192235.95 4919900.56 GOVERNMENT NATIONAL MORTAGE ASSOC 2045-04-20 2045-04-20 3 - 3 Government Agency Debt 494140.23 468004.15 Unrated Security 2016-01-04 2016-01-04 N N N 47643092.00 47643092.37 0.0007 N 47643092.37 47643092.37 Societe Generale In a joint trading account with Societe Generale at 0.31%, dated 12/31/2015 due 01/04/2016 AAH559000_74037 Government Agency Repurchase Agreement Y US TREASURY 2016-02-29 2045-11-15 0.875 - 9.125 Treasury Debt 64913592.44 73925898.78 FEDERAL HOME LOAN MORTGAGE CORP 2020-01-01 2045-11-01 1.918 - 5.969 Government Agency Debt 140201877.39 6656017.49 FEDERAL NATIONAL MORTGAGE ASSOC 2017-07-01 2045-08-01 0.592 - 5.5 Government Agency Debt 176022298.06 31894953.17 GOVERNMENT NATIONAL MORTAGE ASSOC 2018-03-15 2045-12-20 1.625 - 5.5 Government Agency Debt 338497000.19 28578102.40 Unrated Security 2016-01-04 2016-01-04 N N N 138201745.00 138201745.22 0.0021 N 138201745.22 138201745.22 Societe Generale In a joint trading account with Societe Generale at 0.33%, dated 12/31/2015 due 01/04/2016 AAH565000_74037 Government Agency Repurchase Agreement Y US TREASURY 2016-02-29 2045-11-15 0.875 - 9.125 Treasury Debt 31967076.90 36405239.68 FEDERAL HOME LOAN MORTGAGE CORP 2020-01-01 2045-11-01 1.918 - 5.969 Government Agency Debt 69043231.59 3277794.60 FEDERAL NATIONAL MORTGAGE ASSOC 2017-07-01 2045-08-01 0.592 - 5.5 Government Agency Debt 86683206.50 15706855.57 GOVERNMENT NATIONAL MORTAGE ASSOC 2018-03-15 2045-12-20 1.625 - 5.5 Government Agency Debt 166694820.43 14073453.08 Unrated Security 2016-01-04 2016-01-04 N N N 68058255.00 68058254.84 0.0010 N 68058254.84 68058254.84 Wells Fargo Securities LLC In a joint trading account with Wells Fargo Securities LLC at 0.31%, dated 12/31/2015 due 01/04/2016 AAH559000_08395 Government Agency Repurchase Agreement Y US TREASURY 2016-07-31 2024-02-15 0.184 - 4.875 Treasury Debt 251635514.07 260233239.41 FEDERAL AGRICULTURE MORTGAGE CORP 2016-06-01 2016-10-13 0.97 - 2.17 Government Agency Debt 48766.37 49124.99 FEDERAL FARM CREDIT 2016-10-03 2029-05-01 4.65 - 5.875 Government Agency Debt 558187.40 601810.82 FEDERAL HOME LOAN BANK 2016-02-10 2028-03-10 0 - 5.625 Government Agency Debt 47990049.43 48130201.90 FEDERAL HOME LOAN MORTGAGE CORP 2016-02-01 2032-07-15 0 - 6.75 Government Agency Debt 23303198.70 23814282.33 FEDERAL NATIONAL MORTGAGE ASSOC 2016-09-28 2038-08-06 0.875 - 7.125 Government Agency Debt 24025878.83 24698859.13 GOVERNMENT NATIONAL MORTAGE ASSOC 2017-03-15 2045-12-15 1.875 - 9 Government Agency Debt 106599471.85 71992987.22 TENNESEE VALLEY AUTHORITY 2017-07-18 2048-01-15 0 - 6.25 Government Agency Debt 929186.96 953271.87 Unrated Security 2016-01-04 2016-01-04 N N N 422016686.00 422016685.73 0.0064 N 422016685.73 422016685.73 Wells Fargo Securities LLC In a joint trading account with Wells Fargo Securities LLC at 0.33%, dated 12/31/2015 due 01/04/2016 AAH565000_08395 Government Agency Repurchase Agreement Y US TREASURY 2016-07-31 2024-02-15 0.184 - 4.875 Treasury Debt 73045863.21 75541648.72 FEDERAL AGRICULTURE MORTGAGE CORP 2016-06-01 2016-10-13 0.97 - 2.17 Government Agency Debt 14156.12 14260.22 FEDERAL FARM CREDIT 2016-10-03 2029-05-01 4.65 - 5.875 Government Agency Debt 162033.09 174696.29 FEDERAL HOME LOAN BANK 2016-02-10 2028-03-10 0 - 5.625 Government Agency Debt 13930762.51 13971446.59 FEDERAL HOME LOAN MORTGAGE CORP 2016-02-01 2032-07-15 0 - 6.75 Government Agency Debt 6764554.96 6912914.56 FEDERAL NATIONAL MORTGAGE ASSOC 2016-09-28 2038-08-06 0.875 - 7.125 Government Agency Debt 6974337.72 7169693.41 GOVERNMENT NATIONAL MORTAGE ASSOC 2017-03-15 2045-12-15 1.875 - 9 Government Agency Debt 30944163.30 20898440.81 TENNESEE VALLEY AUTHORITY 2017-07-18 2048-01-15 0 - 6.25 Government Agency Debt 269728.48 276719.95 Unrated Security 2016-01-04 2016-01-04 N N N 122504859.00 122504858.72 0.0019 N 122504858.72 122504858.72 Federal Reserve Bank of New York Federal Reserve Bank of New York, 0.25% AAH551000 0001457970 Treasury Repurchase Agreement Y US TREASURY 2018-03-31 2027-11-15 0.625 - 8.5 Treasury Debt 17422671600.00 18865524080.83 First Tier Security 2016-01-04 2016-01-04 N N N 18865000000.00 18865000000.00 0.2861 N 18865000000.00 18865000000.00 Citigroup Global Markets, Inc. Citigroup Global Markets, Inc., 0.27% AAH448000 0000315030 Other Repurchase Agreement N BARC IPATH ETN 19-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 44400.00 871128.00 BROOKF 7.625%CRP-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 610914.00 11790640.20 CS VS DI VST ETN 30 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 4800.00 126768.00 KITOV PHARM SP ADR 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 200.00 638.00 UBS 2XML ETRACS40-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 100.00 2011.00 YIRENDAI SP ADS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 4059.00 38682.27 MAIDEN 7.25% MCP-B 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 228469.00 12488115.54 7.875% BD CONVERT 1 2049-01-01 2049-01-01 7.875 - 7.875 Other Instrument EQUITY 901348.00 104285963.60 First Tier Security 2016-01-04 2016-01-04 N N N 120000000.00 120000000.00 0.0018 N 120000000.00 120000000.00 Citigroup Global Markets, Inc. Citigroup Global Markets, Inc., 1.30% 48Y99URL3 0000315030 Other Repurchase Agreement N 51-100 2021-10-15 2051-11-25 0 - 33.392 Other Instrument MORTGAGE 7354123549.00 253796868.10 First Tier Security 2016-03-29 2016-03-29 Y CITIGROUP GLB MKT INC(NON GOV) N/A N/A N N 234000000.00 234000000.00 0.0035 Y 234018720.00 234018720.00 Citigroup Global Markets, Inc. Citigroup Global Markets, Inc., 1.30% 48Y99URM1 0000315030 Other Repurchase Agreement N ADAMS SQUARE FUNDING 2047-03-10 2047-03-10 7.341 - 7.341 Other Instrument ASSET BACKED 5000000.00 7200766.14 AIRPLANES PASS THRU TR 2019-03-15 2019-03-15 N/A Other Instrument ASSET BACKED 9550000.00 6653939.20 CWALT ALTERNATIVE LOAN TRUST 2036-08-25 2036-08-25 6 - 6 Other Instrument MORTGAGE 44085000.00 8346509.57 BAYVIEW FINANCIAL ACQUISITION TRUST 2037-08-28 2037-08-28 1.272 - 1.272 Other Instrument ASSET BACKED 25676000.00 7610288.52 BAYVIEW COMMERCIAL ASSET TRUST 2036-01-25 2036-01-25 0.812 - 0.812 Other Instrument MORTGAGE 36099000.00 7531948.37 COMM 2045-10-17 2045-10-17 4.75 - 4.75 Other Instrument MORTGAGE 9593217.00 8090977.84 COMM 2045-10-17 2045-10-17 4.726 - 4.726 Other Instrument MORTGAGE 9054000.00 7352325.04 CITIGROUP COMMERCIAL MORTGAGE TRUST 2049-12-10 2049-12-10 5.898 - 5.898 Other Instrument MORTGAGE 8000000.00 6906644.47 COMMODORE CDO 2040-03-06 2040-03-06 3.452 - 3.452 Other Instrument ASSET BACKED 5321753.00 3648926.53 CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2040-12-17 2040-12-17 5.23 - 5.23 Other Instrument MORTGAGE 8780000.00 7309154.38 DAVIS SQUARE FUNDING 2042-02-02 2042-02-02 0.743 - 0.743 Other Instrument ASSET BACKED 15000000.00 8144724.82 DIOGENES CDO 2043-12-15 2043-12-15 N/A Other Instrument ASSET BACKED 245500000.00 7050807.38 DUKE FUNDING HG 2050-07-03 2050-07-03 0.844 - 0.844 Other Instrument ASSET BACKED 15000000.00 7114083.33 E TRADE ABS CDO 2046-10-06 2046-10-06 0.727 - 0.727 Other Instrument ASSET BACKED 15000000.00 7478366.46 FULTON STREET CDO 2037-04-20 2037-04-20 12.39 - 12.39 Other Instrument ASSET BACKED 7000000.00 6593555.98 GS MORTGAGE SECURITIES CORP II 2046-06-12 2046-06-12 3.25 - 3.25 Other Instrument MORTGAGE 9961500.00 7320555.27 GS MORTGAGE SECURITIES CORP II 2045-08-10 2045-08-10 5.988 - 5.988 Other Instrument MORTGAGE 12285000.00 6552071.10 GE COMMERCIAL MORTGAGE CORPORATION 2048-06-10 2048-06-10 4.647 - 4.647 Other Instrument MORTGAGE 8840597.00 8364890.86 GLACIER CDO 2041-11-04 2041-11-04 2.934 - 2.934 Other Instrument ASSET BACKED 12499421.00 7339243.73 GUGGENHEIM STRUCTURED REAL ESTATE FUNDING 2047-02-25 2047-02-25 1.722 - 1.722 Other Instrument MORTGAGE 8500000.00 7620322.60 HIGHLAND PARK CDO 2051-11-25 2051-11-25 1.179 - 1.179 Other Instrument ASSET BACKED 15000000.00 7793775.85 HARBORVIEW MORTGAGE LOAN TRUST 2034-06-19 2034-06-19 1.989 - 1.989 Other Instrument MORTGAGE 550777437.00 7126710.93 INDEPENDENCE CDO 2035-12-30 2035-12-30 2.832 - 2.832 Other Instrument ASSET BACKED 10000000.00 6622475.68 ISCHUS CDO 2040-08-06 2040-08-06 3.119 - 3.119 Other Instrument ASSET BACKED 14000000.00 7579544.70 JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2046-08-17 2046-08-17 0 - 4 Other Instrument MORTGAGE 13553191.00 10736188.21 KODIAK CDO 2037-08-07 2037-08-07 0.887 - 0.887 Other Instrument ASSET BACKED 19484655.00 8310120.27 LAKESIDE CDO 2040-01-02 2040-01-02 1.355 - 1.355 Other Instrument ASSET BACKED 17250000.00 7835838.61 LEHMAN MORTGAGE TRUST 2037-01-25 2037-01-25 N/A Other Instrument MORTGAGE 115125000.00 7127299.95 MORGAN STANLEY MORTGAGE LOAN TRUST 2047-01-25 2047-01-25 0.701 - 0.701 Other Instrument MORTGAGE 48902000.00 8269343.96 MORGAN STANLEY CAPITAL I 2042-06-11 2042-06-11 5.821 - 5.821 Other Instrument MORTGAGE 10380000.00 8123533.58 SACO I TRUST 2035-09-25 2035-09-25 0.98 - 0.98 Other Instrument ASSET BACKED 30384000.00 8134595.54 STRUCTURED ASSET MORTGAGE INVESTMENTS 2045-05-25 2045-05-25 3.498 - 3.498 Other Instrument MORTGAGE 79147300.00 7003205.93 TABERNA PREFERRED FUNDING 2036-12-05 2036-12-05 1.034 - 1.034 Other Instrument ASSET BACKED 19750000.00 6560393.49 UBS COMMERCIAL MORTGAGE TRUST 2045-05-12 2045-05-12 5 - 5 Other Instrument MORTGAGE 8319570.00 7259138.20 First Tier Security 2016-04-05 2016-04-05 Y CITIGROUP GLB MKT INC(NON GOV) N/A N/A N N 233000000.00 233000000.00 0.0035 Y 233018640.00 233018640.00 Credit Suisse Securities (U.S.A.) 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LLC, 0.60% AAG657000 0000318336 Other Repurchase Agreement N ACIS CLO 2014-4 LTD / ACIS CLO 2026-05-01 2026-05-01 1.72 - 1.72 Other Instrument ASSET BACKED 1550000.00 1515943.12 ARES XXX CLO LTD / ARES XXX 2023-04-20 2023-04-20 1.767 - 1.767 Other Instrument ASSET BACKED 3585000.00 3530275.45 ACCESS GROUP, INC. 2037-06-22 2037-06-22 0.795 - 0.795 Other Instrument ASSET BACKED 8080000.00 7296998.99 APIDOS CLO XXI / APIDOS CLO 2027-07-18 2027-07-18 1.707 - 1.707 Other Instrument ASSET BACKED 570000.00 562773.46 ARES XXVI CLO LTD / ARES XXVI 2025-04-15 2025-04-15 2.07 - 2.07 Other Instrument ASSET BACKED 2000000.00 1957926.63 ARROWPOINT CLO 2014-2 LTD / 2026-03-12 2026-03-12 1.836 - 1.836 Other Instrument ASSET BACKED 1250000.00 1234383.66 ASSET BACKED CERTIFICATES SECU 2029-06-21 2029-06-21 7.14 - 7.14 Other Instrument ASSET BACKED 20200000.00 36281.89 BANC OF AMERICA COMMERCIAL MOR 2049-04-10 2049-04-10 5.592 - 5.592 Other Instrument ASSET BACKED 1000000.00 82432.23 CIFC FDG 2012-I LTD / CIFC FDG 2024-08-14 2024-08-14 2.333 - 2.333 Other Instrument ASSET BACKED 475000.00 476487.01 CENT CLO 20 LTD / CENT CLO 20 2026-01-25 2026-01-25 1.719 - 1.719 Other Instrument ASSET BACKED 3305000.00 3271086.81 CENTURION CDO 9 LIMITED/CENTUR 2019-07-17 2019-07-17 1.085 - 1.085 Other Instrument ASSET BACKED 1080000.00 1021210.63 CHASE ISSUANCE TRUST 2023-03-15 2024-09-16 2.16 - 2.77 Other Instrument ASSET BACKED 15814000.00 15736969.62 COLLEGE LOAN CORPORATION TRUST 2047-11-01 2047-11-01 N/A Other Instrument ASSET BACKED 35000000.00 33744641.24 CSCM MORTGAGE TRUST SERIES, SE 2040-02-15 2040-02-15 5.336 - 5.336 Other Instrument ASSET BACKED 200000.00 15394.16 EATON VANCE CLO 2013-1 LTD / 2024-11-13 2024-11-13 2.159 - 2.159 Other Instrument ASSET BACKED 9600000.00 9336861.99 ENTERPRISE FLEET FING LLC 2019-03-20 2019-03-20 1.51 - 1.51 Other Instrument ASSET BACKED 800000.00 798608.97 FORD CR AUTO OWNER TR 2012-D 2017-04-15 2017-04-15 0.51 - 0.51 Other Instrument ASSET BACKED 1375000.00 5216.35 FORD CR AUTO OWNER TR 2013-C 2020-01-15 2020-01-15 2.5 - 2.5 Other Instrument ASSET BACKED 5500000.00 5556438.45 FORD CR AUTO OWNER TR 2026-04-15 2026-04-15 2.31 - 2.31 Other Instrument ASSET BACKED 2093000.00 2090482.62 FORTRESS CR BSL LTD / FROTRESS 2025-01-19 2025-01-19 N/A Other Instrument ASSET BACKED 20000000.00 19649180.17 GE EQUIP MIDTICKET LLC SER 2017-03-22 2017-03-22 0.95 - 0.95 Other Instrument ASSET BACKED 115000.00 38259.09 GOLDEN TREE LOAN OPPORTUNITIES 2022-05-01 2022-05-01 0.567 - 0.567 Other Instrument ASSET BACKED 250000.00 244010.51 HYUNDAI AUTO RECEIVABLES TR 2019-11-15 2019-11-15 2.1 - 2.1 Other Instrument ASSET BACKED 90000.00 89164.89 ING IM CLO 2013-1 LTD / ING IM 2024-04-15 2024-04-15 2.121 - 2.121 Other Instrument ASSET BACKED 2000000.00 1954213.26 JAMESTOWN CLO VII LTD / 2027-07-25 2027-07-25 1.949 - 1.949 Other Instrument ASSET BACKED 14500000.00 14426220.09 KEYCORP STUDENT LOAN TRUST 199 2042-01-27 2042-01-27 0.853 - 0.853 Other Instrument ASSET BACKED 55000.00 52734.11 MAPS CLO FUND II LTD/LLC 2022-07-20 2022-07-20 0.647 - 0.647 Other Instrument ASSET BACKED 958341.00 925415.21 MONROE CAP BSL CLO 2015-1 LTD 2027-05-22 2027-05-22 1.808 - 1.808 Other Instrument ASSET BACKED 4252000.00 4113167.16 MOUNTAIN HAWK II CLO LTD / MTN 2024-07-22 2024-07-22 1.987 - 1.987 Other Instrument ASSET BACKED 10000000.00 9544355.87 NAVIENT STUDENT LN TR 2014-1 2039-02-25 2039-02-25 0.971 - 0.971 Other Instrument ASSET BACKED 3000000.00 2799239.34 NELNET STUDENT LN TR 2012-5 2036-10-27 2036-10-27 1.022 - 1.022 Other Instrument ASSET BACKED 160000.00 101758.48 NELNET STUDENT LN TR 2014-6 2047-11-25 2047-11-25 1.072 - 1.072 Other Instrument ASSET BACKED 2000000.00 1563431.50 OFSI FD V LTD / OFSI FD V LLC 2025-04-17 2025-04-17 1.245 - 1.245 Other Instrument ASSET BACKED 2100000.00 2050233.63 SLM STUDENT LOAN TRUST 2038-06-15 2038-06-15 1.162 - 1.162 Other Instrument ASSET BACKED 2640000.00 1183530.81 SLM STUDENT LOAN TRUST 2007-7 2022-01-25 2022-01-25 0.65 - 0.65 Other Instrument ASSET BACKED 1500000.00 1428439.65 SG STRUCTURED PRODUCTS, INC. 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