N-MFP2 0000356173 XXXXXXXX 2019-12-31 0000356173 549300AM8302AG11MH61 S000004821 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 N 29 74 3163854605.81 3452867911.89 2317230404.48 2514017221.04 5272932968.21 5332065177.38 4762228213.26 4624977980.54 0.3200 0.3400 0.2400 0.2700 0.5300 0.5200 0.4900 0.5000 936.09 8998566112.07 8997551610.08 12156086.51 33792118.55 8976931016.12 8973494062.69 0.0188 1.0004 1.0003 1.0004 1.0004 C000013040 1000000.00 516088252.08 515847085.40 1.0005 1.0004 1.0004 1.0004 52640463.27 64527820.04 45361329.73 31891500.00 52379177.81 81479358.36 40371776.93 1028621.50 195247925.13 214234546.81 0.0170 Y Fidelity Investments, Reimbursement Fees, -12837.87; C000013085 1000000.00 12776443.21 12769700.75 1.0005 1.0005 1.0005 1.0005 17026.53 0.00 0.00 0.00 3644.19 0.00 0.00 0.00 20670.72 0.00 0.0165 Y Fidelity Investments, Reimbursement Fees, -297.36; C000056570 10000000.00 8426112639.85 8422932173.54 1.0004 1.0003 1.0003 1.0003 1519320004.07 957228526.57 850931530.76 640244978.27 974923052.69 1540897939.86 473624612.96 754401787.42 4265069900.14 4521777453.27 0.0174 Y Fidelity Investments, Reimbursement Fees, -296524.97; C000056569 1000000.00 20754.60 20729.13 1.0012 1.0012 1.0012 1.0012 20.64 0.00 0.00 0.00 0.00 0.00 0.00 0.00 20.64 0.00 0.0122 Y Fidelity Investments, Reimbursement Fees, -0.69; C000013084 1000000.00 13495537.92 13490045.70 1.0004 1.0004 1.0004 1.0004 16162.00 0.02 0.00 0.00 0.00 0.00 0.00 0.00 16162.00 0.02 0.0145 Y Fidelity Investments, Reimbursement Fees, -277.55; C000013083 1000000.00 8437388.46 8434328.16 1.0004 1.0003 1.0003 1.0003 679021.30 9031429.13 4619999.05 0.00 259959.98 3716721.15 178543.78 894608.25 5756136.06 15782605.92 0.0155 Y Fidelity Investments, Reimbursement Fees, -267.46; Bank of Montreal Bank of Montreal, 1.84% 06370RD71 NQQ6HPCNCCU6TUTQYE16 US06370RD710 0000927971 Certificate of Deposit Y N/A N/A 2020-01-09 2020-03-09 2020-03-09 N N N 0.0176 58007360.20 58007360.20 0.0065 N N N N Bank of Nova Scotia Bank of Nova Scotia, 1.99% 06417MFC4 L3I9ZG2KFGXZ61BMYR72 US06417MFC47 0000009631 Certificate of Deposit Y N/A N/A 2020-02-20 2020-08-20 2020-08-20 N N N 0.0197 63007698.60 63007698.60 0.0070 N N N N Bank of Nova Scotia Bank of Nova Scotia, 2.00% 06417MFJ9 L3I9ZG2KFGXZ61BMYR72 US06417MFJ99 0000009631 Certificate of Deposit Y N/A N/A 2020-03-03 2020-09-03 2020-09-03 N N N 0.0198 48618067.61 48618067.61 0.0054 N N N N Bank of Nova Scotia Bank of Nova Scotia, 2.02% 06417MBU8 L3I9ZG2KFGXZ61BMYR72 0000009631 Certificate of Deposit Y N/A N/A 2020-03-16 2020-03-16 2020-03-16 N N N 0.0183 15005650.50 15005650.50 0.0017 N N N N Bank of Nova Scotia Bank of Nova Scotia, 2.04% 06417MBX2 L3I9ZG2KFGXZ61BMYR72 0000009631 Certificate of Deposit Y N/A N/A 2020-03-16 2020-03-16 2020-03-16 N N N 0.0183 18007533.00 18007533.00 0.0020 N N N N Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 1.90% 55379W5R3 C3GTMMZIHMY46P4OIX74 FCJ648000 Certificate of Deposit Y N/A N/A 2020-03-09 2020-03-09 2020-03-09 N N N 0.0181 60008814.00 60008814.00 0.0067 N N N N Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 1.91% 55379W5S1 C3GTMMZIHMY46P4OIX74 FDA711000 Certificate of Deposit Y N/A N/A 2020-03-12 2020-03-12 2020-03-12 N N N 0.0182 100016190.00 100016190.00 0.0111 N N N N Credit Agricole CIB Credit Agricole CIB, 1.88% 22535CJD4 1VUV7VQFKUOQSJ21A208 0001330437 Certificate of Deposit Y N/A N/A 2020-03-06 2020-03-06 2020-03-06 N N N 0.0188 44999226.00 44999226.00 0.0050 N N N N Credit Suisse AG Credit Suisse AG, 1.90% 22549LH73 ANGGYXNX0JLX3X63JN86 0001053092 Certificate of Deposit Y N/A N/A 2020-03-12 2020-03-12 2020-03-12 N N N 0.0191 59997030.00 59997030.00 0.0067 N N N N Credit Suisse AG Credit Suisse AG, 1.90% 22549LK79 ANGGYXNX0JLX3X63JN86 0001053092 Certificate of Deposit Y N/A N/A 2020-03-16 2020-03-16 2020-03-16 N N N 0.0191 30998384.90 30998384.90 0.0035 N N N N Credit Suisse AG Credit Suisse AG, 1.90% 22549LL37 ANGGYXNX0JLX3X63JN86 0001053092 Certificate of Deposit Y N/A N/A 2020-03-17 2020-03-17 2020-03-17 N N N 0.0191 30998366.30 30998366.30 0.0035 N N N N Credit Suisse AG Credit Suisse AG, 1.90% 22549LL78 ANGGYXNX0JLX3X63JN86 0001053092 Certificate of Deposit Y N/A N/A 2020-03-18 2020-03-18 2020-03-18 N N N 0.0191 37997970.80 37997970.80 0.0042 N N N N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 2.01% 60683BVJ9 JBONEPAGQXF4QP29B387 0001462160 Certificate of Deposit Y N/A N/A 2020-02-06 2020-02-06 2020-02-06 N N N 0.0189 13001350.70 13001350.70 0.0014 N N N N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 2.06% 60683BVE0 JBONEPAGQXF4QP29B387 0001462160 Certificate of Deposit Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0189 7000994.70 7000994.70 0.0008 N N N N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 2.11% 60683BUU5 JBONEPAGQXF4QP29B387 0001462160 Certificate of Deposit Y N/A N/A 2020-01-13 2020-01-13 2020-01-13 N N N 0.0174 8000983.20 8000983.20 0.0009 N N N N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 2.11% 60683BUV3 JBONEPAGQXF4QP29B387 0001462160 Certificate of Deposit Y N/A N/A 2020-01-14 2020-01-14 2020-01-14 N N N 0.0175 16002062.40 16002062.40 0.0018 N N N N Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 2.00% 60710AF72 RB0PEZSDGCO3JS6CEU02 FBF626000 Certificate of Deposit Y N/A N/A 2020-02-12 2020-02-12 2020-02-12 N N N 0.0185 21003263.40 21003263.40 0.0023 N N N N Natexis Banques Populaires New York Branch Natexis Banques Populaires New York Branch, 2.00% 63873N7D7 KX1WK48MPD4Y2NCUIZ63 0001274981 Certificate of Deposit Y N/A N/A 2020-02-18 2020-02-18 2020-02-18 N N N 0.0186 46007944.20 46007944.20 0.0051 N N N N Royal Bank of Canada Royal Bank of Canada, 1.97% 78012URZ0 ES7IP3U3RHIGC71XBU11 US78012URZ02 0001000275 Certificate of Deposit Y N/A N/A 2020-03-10 2020-09-10 2020-09-10 N N N 0.0201 29991147.00 29991147.00 0.0033 N N N N Royal Bank of Canada Royal Bank of Canada, 1.99% 78012URT4 ES7IP3U3RHIGC71XBU11 US78012URT42 0001000275 Certificate of Deposit Y N/A N/A 2020-03-04 2020-09-04 2020-09-04 N N N 0.0198 92005842.00 92005842.00 0.0102 N N N N Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 2.05% 86565BT68 5U0XI89JRFVHWIBS4F54 0001184915 Certificate of Deposit Y N/A N/A 2020-02-04 2020-02-04 2020-02-04 N N N 0.0166 29010260.20 29010260.20 0.0032 N N N N Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 2.05% 86565BT92 5U0XI89JRFVHWIBS4F54 0001184915 Certificate of Deposit Y N/A N/A 2020-02-05 2020-02-05 2020-02-05 N N N 0.0167 32011552.00 32011552.00 0.0036 N N N N Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 2.10% 86565BQ46 5U0XI89JRFVHWIBS4F54 0001184915 Certificate of Deposit Y N/A N/A 2020-01-16 2020-01-16 2020-01-16 N N N 0.0158 46010106.20 46010106.20 0.0051 N N N N Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 2.10% 86565BQ53 5U0XI89JRFVHWIBS4F54 0001184915 Certificate of Deposit Y N/A N/A 2020-01-17 2020-01-17 2020-01-17 N N N 0.0158 44010186.00 44010186.00 0.0049 N N N N Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 2.10% 86565BQ95 5U0XI89JRFVHWIBS4F54 0001184915 Certificate of Deposit Y N/A N/A 2020-01-21 2020-01-21 2020-01-21 N N N 0.0160 48013204.80 48013204.80 0.0053 N N N N Sumitomo Mitsui Trust Bank Ltd. Sumitomo Mitsui Trust Bank Ltd., 1.98% 86564F3P6 5493006GGLR4BTEL8O61 0001046017 Certificate of Deposit Y N/A N/A 2020-04-13 2020-04-13 2020-04-13 N N N 0.0198 14999761.50 14999761.50 0.0017 N N N N Sumitomo Mitsui Trust Bank Ltd. Sumitomo Mitsui Trust Bank Ltd., 1.98% 86564F3Q4 5493006GGLR4BTEL8O61 0001046017 Certificate of Deposit Y N/A N/A 2020-04-23 2020-04-23 2020-04-23 N N N 0.0199 14999266.50 14999266.50 0.0017 N N N N Sumitomo Mitsui Trust Bank Ltd. Sumitomo Mitsui Trust Bank Ltd., 2.11% 86564FS87 5493006GGLR4BTEL8O61 0001046017 Certificate of Deposit Y N/A N/A 2020-01-21 2020-01-21 2020-01-21 N N N 0.0170 36008157.60 36008157.60 0.0040 N N N N Sumitomo Mitsui Trust Bank Ltd. Sumitomo Mitsui Trust Bank Ltd., 2.11% 86564FT29 5493006GGLR4BTEL8O61 0001046017 Certificate of Deposit Y N/A N/A 2020-01-23 2020-01-23 2020-01-23 N N N 0.0171 91021821.80 91021821.80 0.0101 N N N N Toronto-Dominion Bank Toronto-Dominion Bank, 2.00% 89114M5N3 PT3QB789TSUIDF371261 0000947263 Certificate of Deposit Y N/A N/A 2020-03-11 2020-03-11 2020-03-11 N N N 0.0186 25006097.50 25006097.50 0.0028 N N N N Toronto-Dominion Bank Toronto-Dominion Bank, 2.30% 89114MQ75 PT3QB789TSUIDF371261 0000947263 Certificate of Deposit Y N/A N/A 2020-01-13 2020-01-13 2020-01-13 N N N 0.0169 85017646.00 85017646.00 0.0095 N N N N Bank of Montreal Ldn Brh Bank of Montreal Ldn Brh, 2.02% NQQ6HPCNCCU6TUTQYE16 XS2094258741 Certificate of Deposit Y N/A N/A 2020-01-06 2020-01-06 2020-01-06 N N N 0.0170 99972340.00 99972340.00 0.0111 N N Y N CIC London Branch CIC London Branch, 2.05% N4JDFKKH2FTD8RKFXO39 XS2064491280 Certificate of Deposit Y N/A N/A 2020-02-07 2020-02-07 2020-02-07 N N N 0.0185 63878156.80 63878156.80 0.0071 N N N N Commonwealth Bank of Australia London Branch Commonwealth Bank of Australia London Branch, 2.00% MSFSBD3QN1GSN7Q6C537 XS2053331265 Certificate of Deposit Y N/A N/A 2020-02-28 2020-02-28 2020-02-28 N N N 0.0186 14002774.80 14002774.80 0.0016 N N N N Commonwealth Bank of Australia London Branch Commonwealth Bank of Australia London Branch, 2.00% MSFSBD3QN1GSN7Q6C537 XS2053331000 Certificate of Deposit Y N/A N/A 2020-02-28 2020-02-28 2020-02-28 N N N 0.0186 14002774.80 14002774.80 0.0016 N N N N Commonwealth Bank of Australia London Branch Commonwealth Bank of Australia London Branch, 2.00% MSFSBD3QN1GSN7Q6C537 XS2052341281 Certificate of Deposit Y N/A N/A 2020-03-10 2020-03-10 2020-03-10 N N N 0.0187 17003998.40 17003998.40 0.0019 N N N N Credit Agricole SA London Branch Credit Agricole SA London Branch, 1.90% 969500TJ5KRTCJQWXH05 XS2084840797 Certificate of Deposit Y N/A N/A 2020-03-23 2020-03-23 2020-03-23 N N N 0.0188 64000774.40 64000774.40 0.0071 N N N N DZ Bank AG London Branch DZ Bank AG London Branch, 1.90% 529900HNOAA1KXQJUQ27 XS2077593767 Certificate of Deposit Y N/A N/A 2020-03-04 2020-03-04 2020-03-04 N N N 0.0187 31894931.20 31894931.20 0.0036 N N N N DZ Bank AG London Branch DZ Bank AG London Branch, 1.90% 529900HNOAA1KXQJUQ27 XS2078381287 Certificate of Deposit Y N/A N/A 2020-03-05 2020-03-05 2020-03-05 N N N 0.0187 16943313.50 16943313.50 0.0019 N N N N DZ Bank AG London Branch DZ Bank AG London Branch, 1.90% 529900HNOAA1KXQJUQ27 XS2091601612 Certificate of Deposit Y N/A N/A 2020-04-06 2020-04-06 2020-04-06 N N N 0.0198 30838521.00 30838521.00 0.0034 N N N N DZ Bank AG London Branch DZ Bank AG London Branch, 1.91% 529900HNOAA1KXQJUQ27 XS2091113816 Certificate of Deposit Y N/A N/A 2020-04-06 2020-04-06 2020-04-06 N N N 0.0190 61688840.60 61688840.60 0.0069 N N N N DZ Bank AG London Branch DZ Bank AG London Branch, 2.09% 529900HNOAA1KXQJUQ27 XS2052520371 Certificate of Deposit Y N/A N/A 2020-01-13 2020-01-13 2020-01-13 N N N 0.0180 34977743.50 34977743.50 0.0039 N N N N DZ Bank AG London Branch DZ Bank AG London Branch, 2.14% 529900HNOAA1KXQJUQ27 XS2054602680 Certificate of Deposit Y N/A N/A 2020-01-29 2020-01-29 2020-01-29 N N N 0.0183 36946782.90 36946782.90 0.0041 N N N N DZ Bank AG London Branch DZ Bank AG London Branch, 2.17% 529900HNOAA1KXQJUQ27 XS2055152081 Certificate of Deposit Y N/A N/A 2020-01-29 2020-01-29 2020-01-29 N N N 0.0183 21968357.40 21968357.40 0.0024 N N N N DZ Bank AG London Branch DZ Bank AG London Branch, 2.18% 529900HNOAA1KXQJUQ27 XS2056690782 Certificate of Deposit Y N/A N/A 2020-01-30 2020-01-30 2020-01-30 N N N 0.0183 57913614.80 57913614.80 0.0065 N N N N DZ Bank AG London Branch DZ Bank AG London Branch, 2.19% 529900HNOAA1KXQJUQ27 XS2056441053 Certificate of Deposit Y N/A N/A 2020-01-29 2020-01-29 2020-01-29 N N N 0.0183 35948221.20 35948221.20 0.0040 N N N N KBC Bank NV London KBC Bank NV London, 2.08% 6B2PBRV1FCJDMR45RZ53 XS2066070256 Certificate of Deposit Y N/A N/A 2020-01-10 2020-01-10 2020-01-10 N N N 0.0169 62971013.70 62971013.70 0.0070 N N N N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 1.95% JBONEPAGQXF4QP29B387 XS2084095145 Certificate of Deposit Y N/A N/A 2020-03-23 2020-03-23 2020-03-23 N N N 0.0194 69692301.00 69692301.00 0.0078 N N N N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 2.18% JBONEPAGQXF4QP29B387 XS2059876222 Certificate of Deposit Y N/A N/A 2020-02-07 2020-02-07 2020-02-07 N N N 0.0194 6985989.50 6985989.50 0.0008 N N N N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 2.19% JBONEPAGQXF4QP29B387 XS2057267564 Certificate of Deposit Y N/A N/A 2020-01-29 2020-01-29 2020-01-29 N N N 0.0193 13978694.80 13978694.80 0.0016 N N N N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 2.20% JBONEPAGQXF4QP29B387 XS2055774165 Certificate of Deposit Y N/A N/A 2020-01-21 2020-01-21 2020-01-21 N N N 0.0187 14984049.00 14984049.00 0.0017 N N N N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 2.20% JBONEPAGQXF4QP29B387 XS2055783232 Certificate of Deposit Y N/A N/A 2020-01-22 2020-01-22 2020-01-22 N N N 0.0187 14983216.50 14983216.50 0.0017 N N N N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 2.20% JBONEPAGQXF4QP29B387 XS2056448819 Certificate of Deposit Y N/A N/A 2020-01-31 2020-01-31 2020-01-31 N N N 0.0194 13977132.40 13977132.40 0.0016 N N N N Mizuho Bank Ltd. London Branch Mizuho Bank Ltd. London Branch, 1.95% RB0PEZSDGCO3JS6CEU02 XS2085867005 Certificate of Deposit Y N/A N/A 2020-02-25 2020-02-25 2020-02-25 N N N 0.0189 12962635.40 12962635.40 0.0014 N N N N Mizuho Bank Ltd. London Branch Mizuho Bank Ltd. London Branch, 1.95% RB0PEZSDGCO3JS6CEU02 XS2091158753 Certificate of Deposit Y N/A N/A 2020-03-04 2020-03-04 2020-03-04 N N N 0.0191 36876434.80 36876434.80 0.0041 N N N N Mizuho Bank Ltd. London Branch Mizuho Bank Ltd. London Branch, 1.95% RB0PEZSDGCO3JS6CEU02 XS2091653332 Certificate of Deposit Y N/A N/A 2020-03-05 2020-03-05 2020-03-05 N N N 0.0191 18935504.50 18935504.50 0.0021 N N N N Mizuho Bank Ltd. London Branch Mizuho Bank Ltd. London Branch, 1.95% RB0PEZSDGCO3JS6CEU02 XS2092442503 Certificate of Deposit Y N/A N/A 2020-03-09 2020-03-09 2020-03-09 N N N 0.0191 17934933.60 17934933.60 0.0020 N N N N Mizuho Bank Ltd. London Branch Mizuho Bank Ltd. London Branch, 1.96% RB0PEZSDGCO3JS6CEU02 XS2081569852 Certificate of Deposit Y N/A N/A 2020-02-18 2020-02-18 2020-02-18 N N N 0.0190 13964703.20 13964703.20 0.0016 N N N N Mizuho Bank Ltd. London Branch Mizuho Bank Ltd. London Branch, 1.96% RB0PEZSDGCO3JS6CEU02 XS2082892097 Certificate of Deposit Y N/A N/A 2020-03-19 2020-03-19 2020-03-19 N N N 0.0188 99594360.00 99594360.00 0.0111 N N N N Mizuho Bank Ltd. London Branch Mizuho Bank Ltd. London Branch, 1.97% RB0PEZSDGCO3JS6CEU02 XS2079821133 Certificate of Deposit Y N/A N/A 2020-02-12 2020-02-12 2020-02-12 N N N 0.0190 30931245.10 30931245.10 0.0034 N N N N Mizuho Bank Ltd. London Branch Mizuho Bank Ltd. London Branch, 2.15% RB0PEZSDGCO3JS6CEU02 XS2050782403 Certificate of Deposit Y N/A N/A 2020-01-06 2020-01-06 2020-01-06 N N N 0.0171 22993599.10 22993599.10 0.0026 N N Y N Mizuho Bank Ltd. London Branch Mizuho Bank Ltd. London Branch, 2.15% RB0PEZSDGCO3JS6CEU02 XS2050782239 Certificate of Deposit Y N/A N/A 2020-01-10 2020-01-10 2020-01-10 N N N 0.0174 12993853.60 12993853.60 0.0014 N N N N Mizuho Bank Ltd. London Branch Mizuho Bank Ltd. London Branch, 2.16% RB0PEZSDGCO3JS6CEU02 XS2051470719 Certificate of Deposit Y N/A N/A 2020-01-16 2020-01-16 2020-01-16 N N N 0.0179 32974309.50 32974309.50 0.0037 N N N N Sumitomo Mitsui Trust Bank Ltd. London Branch Sumitomo Mitsui Trust Bank Ltd. London Branch, 2.15% 5493006GGLR4BTEL8O61 XS2052319782 Certificate of Deposit Y N/A N/A 2020-01-17 2020-01-17 2020-01-17 N N N 0.0167 14003007.20 14003007.20 0.0016 N N N N Sumitomo Mitsui Trust Bank Ltd. London Branch Sumitomo Mitsui Trust Bank Ltd. London Branch, 2.15% 5493006GGLR4BTEL8O61 XS2052319865 Certificate of Deposit Y N/A N/A 2020-01-17 2020-01-17 2020-01-17 N N N 0.0167 14003007.20 14003007.20 0.0016 N N N N Sumitomo Mitsui Trust Bank Ltd. London Branch Sumitomo Mitsui Trust Bank Ltd. London Branch, 2.16% 5493006GGLR4BTEL8O61 XS2051467509 Certificate of Deposit Y N/A N/A 2020-01-16 2020-01-16 2020-01-16 N N N 0.0171 16987338.40 16987338.40 0.0019 N N N N HSBC Bank U.S.A. NA HSBC Bank U.S.A. NA, 2.02% 40435RGA3 1IE8VN30JCEQV1H4R804 US40435RGA32 Certificate of Deposit Y N/A N/A 2020-04-23 2020-04-23 2020-04-23 N N N 0.0202 32999491.80 32999491.80 0.0037 N N N N Bank of Nova Scotia Bank of Nova Scotia, 1.84% 06417LKY2 L3I9ZG2KFGXZ61BMYR72 US06417LKY29 0000009631 Financial Company Commercial Paper Y N/A N/A 2020-01-07 2020-02-07 2020-02-07 N N N 0.0172 23002458.70 23002458.70 0.0026 N N N N Bank of Nova Scotia Bank of Nova Scotia, 1.85% 06417LLB1 L3I9ZG2KFGXZ61BMYR72 US06417LLB17 0000009631 Financial Company Commercial Paper Y N/A N/A 2020-01-10 2020-02-10 2020-02-10 N N N 0.0174 23002392.00 23002392.00 0.0026 N N N N Bank of Nova Scotia Bank of Nova Scotia, 1.87% 06417LLC9 L3I9ZG2KFGXZ61BMYR72 US06417LLC99 0000009631 Financial Company Commercial Paper Y N/A N/A 2020-01-13 2020-02-13 2020-02-13 N N N 0.0177 5000540.00 5000540.00 0.0006 N N N N Bank of Nova Scotia Bank of Nova Scotia, 1.87% 06417LLJ4 L3I9ZG2KFGXZ61BMYR72 US06417LLJ43 0000009631 Financial Company Commercial Paper Y N/A N/A 2020-01-21 2020-02-18 2020-02-18 N N N 0.0178 26002917.20 26002917.20 0.0029 N N N N Bank of Nova Scotia Bank of Nova Scotia, 1.91% 06417LLZ8 L3I9ZG2KFGXZ61BMYR72 US06417LLZ84 0000009631 Financial Company Commercial Paper Y N/A N/A 2020-01-21 2020-03-20 2020-03-20 N N N 0.0182 50009170.00 50009170.00 0.0056 N N N N Bank of Nova Scotia Bank of Nova Scotia, 1.98% 06417LPD3 L3I9ZG2KFGXZ61BMYR72 US06417LPD37 0000009631 Financial Company Commercial Paper Y N/A N/A 2020-03-09 2020-09-08 2020-09-08 N N N 0.0197 120007752.00 120007752.00 0.0134 N N N N Bank of Nova Scotia Bank of Nova Scotia, 1.99% 06417LNW3 L3I9ZG2KFGXZ61BMYR72 US06417LNW36 0000009631 Financial Company Commercial Paper Y N/A N/A 2020-01-13 2020-08-13 2020-08-13 N N N 0.0200 30998282.60 30998282.60 0.0035 N N N N BNP Paribas SA BNP Paribas SA, 1.89% 09660EC58 R0MUWSFPU8MPRO8K5P83 0000872786 Financial Company Commercial Paper Y N/A N/A 2020-03-05 2020-03-05 2020-03-05 N N N 0.0189 29898978.00 29898978.00 0.0033 N N N N BPCE SA BPCE SA, 1.89% 05571BCC5 9695005MSX1OYEMGDF46 0001485022 Financial Company Commercial Paper Y N/A N/A 2020-03-12 2020-03-12 2020-03-12 N N N 0.0189 114570820.00 114570820.00 0.0128 N N N N BPCE SA BPCE SA, 1.90% 05571BCX9 9695005MSX1OYEMGDF46 0001485022 Financial Company Commercial Paper Y N/A N/A 2020-03-31 2020-03-31 2020-03-31 N N N 0.0193 74641687.50 74641687.50 0.0083 N N N N BPCE SA BPCE SA, 2.01% 05571BCP6 9695005MSX1OYEMGDF46 0001485022 Financial Company Commercial Paper Y N/A N/A 2020-03-23 2020-03-23 2020-03-23 N N N 0.0191 49783165.00 49783165.00 0.0055 N N N N Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce, 1.98% 13608CJK9 2IGI19DL77OX0HC3ZE78 US13608CJK99 0001045520 Financial Company Commercial Paper Y N/A N/A 2020-03-09 2020-09-08 2020-09-08 N N N 0.0197 62003992.80 62003992.80 0.0069 N N N N Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce, 1.99% 13608ABU9 2IGI19DL77OX0HC3ZE78 0001045520 Financial Company Commercial Paper Y N/A N/A 2020-02-28 2020-02-28 2020-02-28 N N N 0.0181 84754545.50 84754545.50 0.0094 N N N N Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce, 2.02% 13608CHZ8 2IGI19DL77OX0HC3ZE78 US13608CHZ86 0001045520 Financial Company Commercial Paper Y N/A N/A 2020-01-15 2020-07-15 2020-07-15 N N N 0.0196 33009804.30 33009804.30 0.0037 N N N N Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce, 2.02% 13608ACB0 2IGI19DL77OX0HC3ZE78 0001045520 Financial Company Commercial Paper Y N/A N/A 2020-03-11 2020-03-11 2020-03-11 N N N 0.0179 35875040.40 35875040.40 0.0040 N N N N Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce, 2.05% 13608ACG9 2IGI19DL77OX0HC3ZE78 0001045520 Financial Company Commercial Paper Y N/A N/A 2020-03-16 2020-03-16 2020-03-16 N N N 0.0179 33873669.60 33873669.60 0.0038 N N N N Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce, 2.08% 13608ACK0 2IGI19DL77OX0HC3ZE78 0001045520 Financial Company Commercial Paper Y N/A N/A 2020-03-19 2020-03-19 2020-03-19 N N N 0.0179 53791441.20 53791441.20 0.0060 N N N N Citigroup Global Markets, Inc. Citigroup Global Markets, Inc., 2.03% 17327ABA4 MBNUM2BPBDO7JBLYG310 EJH015000 Financial Company Commercial Paper Y N/A N/A 2020-02-10 2020-02-10 2020-02-10 N N N 0.0176 8982349.20 8982349.20 0.0010 N N N N Credit Suisse AG Credit Suisse AG, 1.89% 2254EAC92 ANGGYXNX0JLX3X63JN86 0001053092 Financial Company Commercial Paper Y N/A N/A 2020-03-09 2020-03-09 2020-03-09 N N N 0.0194 30886515.20 30886515.20 0.0034 N N N N Credit Suisse AG Credit Suisse AG, 1.89% 2254EACB7 ANGGYXNX0JLX3X63JN86 0001053092 Financial Company Commercial Paper Y N/A N/A 2020-03-11 2020-03-11 2020-03-11 N N N 0.0194 27894526.80 27894526.80 0.0031 N N N N Credit Suisse AG Credit Suisse AG, 2.03% 2254EADM2 ANGGYXNX0JLX3X63JN86 0001053092 Financial Company Commercial Paper Y N/A N/A 2020-04-21 2020-04-21 2020-04-21 N N N 0.0197 24850277.50 24850277.50 0.0028 N N N N Credit Suisse AG Credit Suisse AG, 2.03% 2254EADN0 ANGGYXNX0JLX3X63JN86 0001053092 Financial Company Commercial Paper Y N/A N/A 2020-04-22 2020-04-22 2020-04-22 N N N 0.0197 24848940.00 24848940.00 0.0028 N N N N Credit Suisse AG Credit Suisse AG, 2.04% 2254EAB44 ANGGYXNX0JLX3X63JN86 0001053092 Financial Company Commercial Paper Y N/A N/A 2020-02-04 2020-02-04 2020-02-04 N N N 0.0190 43920773.60 43920773.60 0.0049 N N N N Credit Suisse AG Credit Suisse AG, 2.07% 2254EAAA1 ANGGYXNX0JLX3X63JN86 0001053092 Financial Company Commercial Paper Y N/A N/A 2020-01-10 2020-01-10 2020-01-10 N N N 0.0186 46976316.70 46976316.70 0.0052 N N N N DNB Bank ASA DNB Bank ASA, 2.00% 2332K0BM3 549300GKFG0RYRRQ1414 EJG010000 Financial Company Commercial Paper Y N/A N/A 2020-02-21 2020-02-21 2020-02-21 N N N 0.0173 44889957.00 44889957.00 0.0050 N N N N DNB Bank ASA DNB Bank ASA, 2.00% 2332K0BU5 549300GKFG0RYRRQ1414 EJJ002000 Financial Company Commercial Paper Y N/A N/A 2020-02-28 2020-02-28 2020-02-28 N N N 0.0177 48861472.10 48861472.10 0.0054 N N N N DNB Bank ASA DNB Bank ASA, 2.00% 2332K0C26 549300GKFG0RYRRQ1414 EJJ008000 Financial Company Commercial Paper Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0176 31904326.40 31904326.40 0.0036 N N N N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 2.01% 60682YB78 JBONEPAGQXF4QP29B387 FBF630000 Financial Company Commercial Paper Y N/A N/A 2020-02-07 2020-02-07 2020-02-07 N N N 0.0195 12973927.20 12973927.20 0.0014 N N N N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 2.01% 60682YB78 JBONEPAGQXF4QP29B387 FBG142000 Financial Company Commercial Paper Y N/A N/A 2020-02-07 2020-02-07 2020-02-07 N N N 0.0195 12973927.20 12973927.20 0.0014 N N N N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 2.11% 60682YA79 JBONEPAGQXF4QP29B387 FAD218000 Financial Company Commercial Paper Y N/A N/A 2020-01-07 2020-01-07 2020-01-07 N N N 0.0169 5998075.20 5998075.20 0.0007 N N Y N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 2.17% 60682YAM6 JBONEPAGQXF4QP29B387 FAI395000 Financial Company Commercial Paper Y N/A N/A 2020-01-21 2020-01-21 2020-01-21 N N N 0.0184 24973720.00 24973720.00 0.0028 N N N N National Australia Bank Ltd. National Australia Bank Ltd., 2.05% 63254ED15 F8SB4JFBSYQFRQEH3Z21 0000833029 Financial Company Commercial Paper Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0184 21898630.60 21898630.60 0.0024 N N N N National Bank of Canada National Bank of Canada, 1.90% 63307LE80 BSGEFEIOM18Y80CKCV46 FCJ599000 Financial Company Commercial Paper Y N/A N/A 2020-05-08 2020-05-08 2020-05-08 N N N 0.0186 29804028.00 29804028.00 0.0033 N N N N Ontario Teachers' Finance Trust Ontario Teachers' Finance Trust, 1.99% 68328GE10 635400ZZE5J8OXXBBY26 EJD000000 Financial Company Commercial Paper Y N/A N/A 2020-05-01 2020-05-01 2020-05-01 N N N 0.0183 12920655.80 12920655.80 0.0014 N N N N Ontario Teachers' Finance Trust Ontario Teachers' Finance Trust, 2.04% 68328GA63 635400ZZE5J8OXXBBY26 EJC096000 Financial Company Commercial Paper Y N/A N/A 2020-01-06 2020-01-06 2020-01-06 N N N 0.0157 51986662.00 51986662.00 0.0058 N N Y N Royal Bank of Canada Royal Bank of Canada, 1.84% 78014XCM7 ES7IP3U3RHIGC71XBU11 US78014XCM74 0001000275 Financial Company Commercial Paper Y N/A N/A 2020-01-09 2020-03-09 2020-03-09 N N N 0.0176 67008502.30 67008502.30 0.0075 N N N N Royal Bank of Canada Royal Bank of Canada, 1.92% 78014XDF1 ES7IP3U3RHIGC71XBU11 US78014XDF15 0001000275 Financial Company Commercial Paper Y N/A N/A 2020-01-15 2020-04-15 2020-04-15 N N N 0.0187 36004863.60 36004863.60 0.0040 N N N N Royal Bank of Canada Royal Bank of Canada, 1.99% 78014XEX1 ES7IP3U3RHIGC71XBU11 US78014XEX12 0001000275 Financial Company Commercial Paper Y N/A N/A 2020-02-25 2020-08-25 2020-08-25 N N N 0.0198 35002131.50 35002131.50 0.0039 N N N N Sumitomo Mitsui Trust Bank Ltd. Sumitomo Mitsui Trust Bank Ltd., 1.90% 86564YD25 5493006GGLR4BTEL8O61 FDJ174000 Financial Company Commercial Paper Y N/A N/A 2020-04-02 2020-04-02 2020-04-02 N N N 0.0201 28852938.10 28852938.10 0.0032 N N N N Sumitomo Mitsui Trust Bank Ltd. Sumitomo Mitsui Trust Bank Ltd., 2.02% 86564YBA9 5493006GGLR4BTEL8O61 FBH520000 Financial Company Commercial Paper Y N/A N/A 2020-02-10 2020-02-10 2020-02-10 N N N 0.0184 59877204.00 59877204.00 0.0067 N N N N Sumitomo Mitsui Trust Bank Ltd. Sumitomo Mitsui Trust Bank Ltd., 2.06% 86564YAF9 5493006GGLR4BTEL8O61 FBD693000 Financial Company Commercial Paper Y N/A N/A 2020-01-15 2020-01-15 2020-01-15 N N N 0.0167 12991170.40 12991170.40 0.0014 N N N N Sumitomo Mitsui Trust Bank Ltd. Sumitomo Mitsui Trust Bank Ltd., 2.12% 86564YA93 5493006GGLR4BTEL8O61 FAD209000 Financial Company Commercial Paper Y N/A N/A 2020-01-09 2020-01-09 2020-01-09 N N N 0.0161 29988165.00 29988165.00 0.0033 N N N N Sumitomo Mitsui Trust Bank Ltd. Sumitomo Mitsui Trust Bank Ltd., 2.12% 86564YAA0 5493006GGLR4BTEL8O61 FAD640000 Financial Company Commercial Paper Y N/A N/A 2020-01-10 2020-01-10 2020-01-10 N N N 0.0162 8996034.60 8996034.60 0.0010 N N N N Svenska Handelsbanken AB Svenska Handelsbanken AB, 2.00% 86960JBM6 NHBDILHZTYCNBV5UYZ31 0001448613 Financial Company Commercial Paper Y N/A N/A 2020-02-21 2020-02-21 2020-02-21 N N N 0.0181 64834003.00 64834003.00 0.0072 N N N N Svenska Handelsbanken AB Svenska Handelsbanken AB, 2.01% 86960JBC8 NHBDILHZTYCNBV5UYZ31 0001448613 Financial Company Commercial Paper Y N/A N/A 2020-02-12 2020-02-12 2020-02-12 N N N 0.0182 67855670.00 67855670.00 0.0076 N N N N Svenska Handelsbanken AB Svenska Handelsbanken AB, 2.02% 86960JCG8 NHBDILHZTYCNBV5UYZ31 0001448613 Financial Company Commercial Paper Y N/A N/A 2020-03-16 2020-03-16 2020-03-16 N N N 0.0181 69736807.00 69736807.00 0.0078 N N N N The Toronto-Dominion Bank The Toronto-Dominion Bank, 1.94% 89120DMQ9 PT3QB789TSUIDF371261 US89120DMQ96 0000947263 Financial Company Commercial Paper Y N/A N/A 2020-02-06 2020-02-06 2020-02-06 N N N 0.0188 50602104.96 50602104.96 0.0056 N N N N The Toronto-Dominion Bank The Toronto-Dominion Bank, 2.00% 89120DQU6 PT3QB789TSUIDF371261 US89120DQU62 0000947263 Financial Company Commercial Paper Y N/A N/A 2020-02-18 2020-08-18 2020-08-18 N N N 0.0198 101012190.70 101012190.70 0.0113 N N N N The Toronto-Dominion Bank The Toronto-Dominion Bank, 2.03% 89120DR43 PT3QB789TSUIDF371261 US89120DR438 0000947263 Financial Company Commercial Paper Y N/A N/A 2020-03-16 2020-09-16 2020-09-16 N N N 0.0202 45003109.50 45003109.50 0.0050 N N N N UBS AG London Branch UBS AG London Branch, 1.99% 90276JJD9 BFM8T61CT2L1QCEMIK50 US90276JJD90 Financial Company Commercial Paper Y N/A N/A 2020-03-05 2020-06-05 2020-06-05 N N N 0.0199 9999971.00 9999971.00 0.0011 N N N N UBS AG London Branch UBS AG London Branch, 2.00% 90276JJC1 BFM8T61CT2L1QCEMIK50 US90276JJC18 Financial Company Commercial Paper Y N/A N/A 2020-03-04 2020-06-04 2020-06-04 N N N 0.0200 10999968.10 10999968.10 0.0012 N N N N Atlantic Asset Securitization Corp. Atlantic Asset Securitization Corp., 1.90% 04821TD36 549300BUNY5BIX4CVW20 0000916935 Asset Backed Commercial Paper Y N/A N/A 2020-04-03 2020-04-03 2020-04-03 N Y CREDIT AGRICOLE CIB NY BRH 1.0000 N/A N/A N 0.0194 16915617.10 16915617.10 0.0019 N N N N Atlantic Asset Securitization Corp. Atlantic Asset Securitization Corp., 1.90% 04821TD77 549300BUNY5BIX4CVW20 0000916935 Asset Backed Commercial Paper Y N/A N/A 2020-04-07 2020-04-07 2020-04-07 N Y CREDIT AGRICOLE CIB NY BRH 1.0000 N/A N/A N 0.0194 75518745.48 75518745.48 0.0084 N N N N Gotham Funding Corp. Gotham Funding Corp., 1.90% 38346LCC8 549300Z2ZR7VTUMRPR17 FEA711000 Asset Backed Commercial Paper Y N/A N/A 2020-03-12 2020-03-12 2020-03-12 N Y MUFG BANK LTD 1.0000 N/A N/A N 0.0194 29885040.00 29885040.00 0.0033 N N N N Gotham Funding Corp. Gotham Funding Corp., 2.16% 38346LA63 549300Z2ZR7VTUMRPR17 FAH728000 Asset Backed Commercial Paper Y N/A N/A 2020-01-06 2020-01-06 2020-01-06 N Y MUFG BANK LTD 1.0000 N/A N/A N 0.0173 18994632.50 18994632.50 0.0021 N N Y N Liberty Street Funding LLC Liberty Street Funding LLC, 1.55% 53127TA29 549300F33VRHM10B9391 FEJ041000 Asset Backed Commercial Paper Y N/A N/A 2020-01-02 2020-01-02 2020-01-02 N Y BANK OF NOVA SCOTIA 1.0000 N/A N/A N 0.0000 44407136.24 44407136.24 0.0049 N Y Y N Manhattan Asset Funding Co. LLC Manhattan Asset Funding Co. LLC, 2.09% 56274LA20 549300S0NSJYSOB32S63 FBD665000 Asset Backed Commercial Paper Y N/A N/A 2020-01-02 2020-01-02 2020-01-02 N Y SUMITOMO MITSUI BKG CORP 1.0000 N/A N/A N 0.0189 12998666.20 12998666.20 0.0014 N Y Y N UnitedHealth Group, Inc. UnitedHealth Group, Inc., 1.68% 91058TA22 549300GHBMY8T5GXDE41 0000731766 Non-Financial Company Commercial Paper Y N/A N/A 2020-01-02 2020-01-02 2020-01-02 N N N 0.0000 23997744.00 23997744.00 0.0027 N Y Y N Barclays Bank PLC Barclays Bank PLC, 1.55% G5GSEF7VJP5I7OUK5573 FEI930000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2024-02-29 2026-12-31 1.75 - 2.375 169008300.00 172394906.41 U.S. Treasuries (including strips) Y N/A N/A 2020-01-02 2020-01-02 2020-01-02 N N N 0.0154 169000000.00 169000000.00 0.0188 N Y Y N BMO Harris Bank NA BMO Harris Bank NA, 1.62% 3Y4U8VZURTYWI1W2K376 FDJ348000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2020-11-15 2020-11-15 2.625 - 2.625 9125000.00 9232262.62 U.S. Treasuries (including strips) Y N/A N/A 2020-01-07 2020-01-07 2020-01-31 Y BMO CHICAGO BRH IL (GOV REPO) 1.0000 7 N N/A N/A N N 0.0161 9000000.00 9000000.00 0.0010 N N Y N BMO Harris Bank NA BMO Harris Bank NA, 1.63% 3Y4U8VZURTYWI1W2K376 FEH934000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2022-11-30 2022-11-30 2 - 2 9115000.00 9232984.46 U.S. Treasuries (including strips) Y N/A N/A 2020-01-07 2020-01-07 2020-01-24 Y BMO CHICAGO BRH IL (GOV REPO) 1.0000 7 N N/A N/A N N 0.0165 8999818.20 8999818.20 0.0010 N N Y N BMO Harris Bank NA BMO Harris Bank NA, 1.67% 3Y4U8VZURTYWI1W2K376 FEG417000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2043-05-15 2043-05-15 2.875 - 2.875 14055000.00 15478623.10 U.S. Treasuries (including strips) Y N/A N/A 2020-01-07 2020-01-07 2020-01-10 Y BMO CHICAGO BRH IL (GOV REPO) 1.0000 7 N N/A N/A N N 0.0166 15000000.00 15000000.00 0.0017 N N Y N BNP Paribas, SA BNP Paribas, SA, 1.61% R0MUWSFPU8MPRO8K5P83 FEI440000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-03-12 2044-11-15 0 - 7.875 16530500.00 18544180.01 U.S. Treasuries (including strips) Y N/A N/A 2020-01-07 2020-01-07 2020-01-27 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0160 18000000.00 18000000.00 0.0020 N N Y N BNP Paribas, SA BNP Paribas, SA, 1.62% R0MUWSFPU8MPRO8K5P83 FEF606000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-01-30 2046-11-15 0 - 5 32338900.00 45932953.16 U.S. Treasuries (including strips) Y N/A N/A 2020-01-07 2020-01-07 2020-02-18 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0161 45000000.00 45000000.00 0.0050 N N Y N BNP Paribas, SA BNP Paribas, SA, 1.62% R0MUWSFPU8MPRO8K5P83 FDJ183000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2021-03-31 2046-11-15 1.25 - 2.875 23356700.00 25784745.27 U.S. Treasuries (including strips) Y N/A N/A 2020-01-07 2020-01-07 2020-01-31 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0161 25000000.00 25000000.00 0.0028 N N Y N BNP Paribas, SA BNP Paribas, SA, 1.62% R0MUWSFPU8MPRO8K5P83 FEH857000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2021-03-31 2024-01-31 2.25 - 2.5 31298500.00 32650350.20 U.S. Treasuries (including strips) Y N/A N/A 2020-01-07 2020-01-07 2020-02-24 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0161 32000000.00 32000000.00 0.0036 N N Y N BNP Paribas, SA BNP Paribas, SA, 1.65% R0MUWSFPU8MPRO8K5P83 FDH657000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2021-03-31 2046-02-15 1.861 - 8.125 4983100.00 5158314.25 U.S. Treasuries (including strips) Y N/A N/A 2020-01-07 2020-01-07 2020-01-08 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0164 5000000.00 5000000.00 0.0006 N N Y N BNP Paribas, SA BNP Paribas, SA, 1.67% R0MUWSFPU8MPRO8K5P83 FDF368000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2021-03-31 2046-02-15 1.861 - 2.875 9670600.00 10319199.45 U.S. Treasuries (including strips) Y N/A N/A 2020-01-03 2020-01-03 2020-01-03 Y BNP PARIBAS (GOV REPO) 1.0000 3 N N/A N/A N N 0.0166 10000000.00 10000000.00 0.0011 N N Y N BNP Paribas, SA BNP Paribas, SA, 1.67% R0MUWSFPU8MPRO8K5P83 FDG140000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-10-31 2046-02-15 1.75 - 3.625 3991400.00 4126850.61 U.S. Treasuries (including strips) Y N/A N/A 2020-01-06 2020-01-06 2020-01-06 Y BNP PARIBAS (GOV REPO) 1.0000 6 N N/A N/A N N 0.0166 4000000.00 4000000.00 0.0004 N N Y N BofA Securities, Inc. BofA Securities, Inc., 1.65% 549300HN4UKV1E2R3U73 FDG012000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2026-11-30 2026-11-30 1.625 - 1.625 7235000.00 7153478.67 U.S. Treasuries (including strips) Y N/A N/A 2020-01-07 2020-01-07 2020-01-08 Y BANK OF AMERICA CORPORATION 1.0000 7 N N/A N/A Y BANK OF AMERICA CORPORATION 1.0000 N/A N/A N 0.0164 7000000.00 7000000.00 0.0008 N N Y N CIBC Bank U.S.A. CIBC Bank U.S.A., 1.64% 2IGI19DL77OX0HC3ZE78 FDE322000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2021-02-28 2049-08-15 1.125 - 3.125 13751900.00 14307615.58 U.S. Treasuries (including strips) Y N/A N/A 2020-01-07 2020-01-07 2020-01-21 Y CIBC NY BRNCH (GOV REPO) 1.0000 7 N N/A N/A N N 0.0163 14000000.00 14000000.00 0.0016 N N Y N CIBC Bank U.S.A. CIBC Bank U.S.A., 1.65% 2IGI19DL77OX0HC3ZE78 FED054000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2021-02-15 2049-08-15 1.75 - 3.625 23728600.00 24504091.98 U.S. Treasuries (including strips) Y N/A N/A 2020-01-07 2020-01-07 2020-01-30 Y CIBC NY BRNCH (GOV REPO) 1.0000 7 N N/A N/A N N 0.0164 24000000.00 24000000.00 0.0027 N N Y N Credit AG Credit AG, 1.64% 1VUV7VQFKUOQSJ21A208 FDF321000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2023-09-30 2023-09-30 2.875 - 2.875 28182500.00 29636597.96 U.S. Treasuries (including strips) Y N/A N/A 2020-01-07 2020-01-07 2020-01-21 Y CREDIT AG CIB (GOV REPO) 1.0000 7 N N/A N/A N N 0.0163 29000000.00 29000000.00 0.0032 N N Y N Deutsche Bank AG, New York Deutsche Bank AG, New York, 1.55% 7LTWFZYICNSX8D621K86 FEI964000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2039-08-15 2039-08-15 4.5 - 4.5 40026900.00 55084859.67 U.S. Treasuries (including strips) Y N/A N/A 2020-01-02 2020-01-02 2020-01-02 N N N 0.0154 54000000.00 54000000.00 0.0060 N Y Y N Deutsche Bank Securities, Inc. Deutsche Bank Securities, Inc., 1.55% 9J6MBOOO7BECTDTUZW19 0000058056 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2023-08-15 2023-08-15 2.5 - 2.5 1963200.00 2040212.41 U.S. Treasuries (including strips) Y N/A N/A 2020-01-02 2020-01-02 2020-01-02 N N N 0.0154 2000000.00 2000000.00 0.0002 N Y Y N Fixed Income Clearing Corp. - BNYM Fixed Income Clearing Corp. - BNYM, 1.52% 549300H47WTHXPU08X20 FEI913000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2022-02-15 2022-02-15 2.5 - 2.5 307563400.00 316200087.84 U.S. Treasuries (including strips) Y N/A N/A 2020-01-02 2020-01-02 2020-01-02 N N N 0.0151 310000000.00 310000000.00 0.0345 N Y Y N Fixed Income Clearing Corp. - SSB Fixed Income Clearing Corp. - SSB, 1.55% 549300H47WTHXPU08X20 FEJ038000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2024-03-31 2024-03-31 2.125 - 2.125 135470000.00 138786597.55 U.S. Treasuries (including strips) Y N/A N/A 2020-01-02 2020-01-02 2020-01-02 N N N 0.0154 136000000.00 136000000.00 0.0151 N Y Y N Fixed Income Clearing Corp. - SSB Fixed Income Clearing Corp. - SSB, 1.55% 549300H47WTHXPU08X20 FEI914000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2023-06-30 2023-06-30 2.625 - 2.625 134155000.00 138750856.84 U.S. Treasuries (including strips) Y N/A N/A 2020-01-02 2020-01-02 2020-01-02 N N N 0.0154 136000000.00 136000000.00 0.0151 N Y Y N Morgan Stanley & Co., LLC Morgan Stanley & Co., LLC, 1.55% 9R7GPTSO7KV3UQJZQ078 0000068136 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-07-31 2022-09-30 1.604 - 8.125 4645200.00 5100502.87 U.S. Treasuries (including strips) Y N/A N/A 2020-01-02 2020-01-02 2020-01-02 N N N 0.0154 5000000.00 5000000.00 0.0006 N Y Y N MUFG Securities EMEA PLC MUFG Securities EMEA PLC, 1.68% U7M81AY481YLIOR75625 FDJ244000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2022-07-31 2024-09-30 2 - 2.375 29000000.00 29739824.96 U.S. Treasuries (including strips) Y N/A N/A 2020-01-06 2020-01-06 2020-01-06 Y MUFG SECS EMEA PLC (GOV REPO) 1.0000 6 N N/A N/A N N 0.0167 29000000.00 29000000.00 0.0032 N N Y N MUFG Securities EMEA PLC MUFG Securities EMEA PLC, 1.68% U7M81AY481YLIOR75625 FEE974000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2021-08-15 2023-01-31 2.125 - 2.375 22129500.00 22485961.91 U.S. Treasuries (including strips) Y N/A N/A 2020-01-07 2020-01-07 2020-01-14 Y MUFG SECS EMEA PLC (GOV REPO) 1.0000 7 N N/A N/A N N 0.0167 22000000.00 22000000.00 0.0025 N N Y N MUFG Securities EMEA PLC MUFG Securities EMEA PLC, 1.69% U7M81AY481YLIOR75625 FDJ760000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2022-07-31 2023-09-30 1.375 - 2 17528700.00 17421080.54 U.S. Treasuries (including strips) Y N/A N/A 2020-01-03 2020-01-03 2020-01-03 Y MUFG SECS EMEA PLC (GOV REPO) 1.0000 3 N N/A N/A N N 0.0168 17000000.00 17000000.00 0.0019 N N Y N MUFG Securities EMEA PLC MUFG Securities EMEA PLC, 1.71% U7M81AY481YLIOR75625 FED634000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2021-02-28 2023-01-31 2.375 - 2.5 7022600.00 7150601.21 U.S. Treasuries (including strips) Y N/A N/A 2020-01-07 2020-01-07 2020-01-14 Y MUFG SECS EMEA PLC (GOV REPO) 1.0000 7 N N/A N/A N N 0.0170 7000000.00 7000000.00 0.0008 N N Y N MUFG Securities EMEA PLC MUFG Securities EMEA PLC, 1.71% U7M81AY481YLIOR75625 FEC598000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2022-07-31 2027-11-15 2 - 2.375 10918200.00 11274730.05 U.S. Treasuries (including strips) Y N/A N/A 2020-01-07 2020-01-07 2020-01-14 Y MUFG SECS EMEA PLC (GOV REPO) 1.0000 7 N N/A N/A N N 0.0170 11000000.00 11000000.00 0.0012 N N Y N MUFG Securities EMEA PLC MUFG Securities EMEA PLC, 1.71% U7M81AY481YLIOR75625 FEC600000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2020-11-15 2020-11-15 2.625 - 2.625 8072800.00 8167694.21 U.S. Treasuries (including strips) Y N/A N/A 2020-01-07 2020-01-07 2020-01-14 Y MUFG SECS EMEA PLC (GOV REPO) 1.0000 7 N N/A N/A N N 0.0170 8000000.00 8000000.00 0.0009 N N Y N MUFG Securities EMEA PLC MUFG Securities EMEA PLC, 1.71% U7M81AY481YLIOR75625 FEE969000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2022-07-31 2028-11-15 1.625 - 3.125 9148300.00 9204452.05 U.S. Treasuries (including strips) Y N/A N/A 2020-01-07 2020-01-07 2020-01-09 Y MUFG SECS EMEA PLC (GOV REPO) 1.0000 7 N N/A N/A N N 0.0170 9000000.00 9000000.00 0.0010 N N Y N MUFG Securities EMEA PLC MUFG Securities EMEA PLC, 1.72% U7M81AY481YLIOR75625 FEA727000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2021-02-28 2024-09-30 2 - 2.875 14822200.00 15319332.45 U.S. Treasuries (including strips) Y N/A N/A 2020-01-06 2020-01-06 2020-01-06 Y MUFG SECS EMEA PLC (GOV REPO) 1.0000 6 N N/A N/A N N 0.0171 15000000.00 15000000.00 0.0017 N N Y N MUFG Securities EMEA PLC MUFG Securities EMEA PLC, 1.73% U7M81AY481YLIOR75625 FED069000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2022-03-31 2023-01-31 1.875 - 2.375 15180000.00 15346943.37 U.S. Treasuries (including strips) Y N/A N/A 2020-01-07 2020-01-07 2020-01-10 Y MUFG SECS EMEA PLC (GOV REPO) 1.0000 7 N N/A N/A N N 0.0172 15000000.00 15000000.00 0.0017 N N Y N MUFG Securities EMEA PLC MUFG Securities EMEA PLC, 1.73% U7M81AY481YLIOR75625 FEE965000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2021-03-31 2028-11-15 1.5 - 3.125 11132600.00 11241435.71 U.S. Treasuries (including strips) Y N/A N/A 2020-01-07 2020-01-07 2020-01-07 Y MUFG SECS EMEA PLC (GOV REPO) 1.0000 7 N N/A N/A N N 0.0172 11000000.00 11000000.00 0.0012 N N Y N MUFG Securities EMEA PLC MUFG Securities EMEA PLC, 1.73% U7M81AY481YLIOR75625 FED632000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2022-06-15 2028-11-15 1.75 - 3.125 14257600.00 14327506.65 U.S. Treasuries (including strips) Y N/A N/A 2020-01-07 2020-01-07 2020-01-07 Y MUFG SECS EMEA PLC (GOV REPO) 1.0000 7 N N/A N/A N N 0.0172 14000000.00 14000000.00 0.0016 N N Y N MUFG Securities EMEA PLC MUFG Securities EMEA PLC, 1.73% U7M81AY481YLIOR75625 FEB393000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2022-07-31 2028-11-15 2 - 3.125 15586300.00 16411886.98 U.S. Treasuries (including strips) Y N/A N/A 2020-01-07 2020-01-07 2020-01-09 Y MUFG SECS EMEA PLC (GOV REPO) 1.0000 7 N N/A N/A N N 0.0172 16000000.00 16000000.00 0.0018 N N Y N MUFG Securities EMEA PLC MUFG Securities EMEA PLC, 1.74% U7M81AY481YLIOR75625 FEC597000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2022-07-31 2028-11-15 2 - 3.125 12411300.00 13334379.91 U.S. Treasuries (including strips) Y N/A N/A 2020-01-07 2020-01-07 2020-01-07 Y MUFG SECS EMEA PLC (GOV REPO) 1.0000 7 N N/A N/A N N 0.0173 13000000.00 13000000.00 0.0014 N N Y N MUFG Securities EMEA PLC MUFG Securities EMEA PLC, 1.75% U7M81AY481YLIOR75625 FEF901000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2021-02-28 2024-09-30 2.125 - 2.625 9876300.00 10208106.42 U.S. Treasuries (including strips) Y N/A N/A 2020-01-06 2020-01-06 2020-01-06 Y MUFG SECS EMEA PLC (GOV REPO) 1.0000 6 N N/A N/A N N 0.0174 10000000.00 10000000.00 0.0011 N N Y N Natixis SA Natixis SA, 1.65% KX1WK48MPD4Y2NCUIZ63 FDJ201000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2021-05-15 2029-08-15 1.75 - 6.125 13770100.00 14300294.04 U.S. Treasuries (including strips) Y N/A N/A 2020-01-02 2020-01-02 2020-01-02 Y NATIXIS SA (GOV REPO) 1.0000 2 N N/A N/A N N 0.0164 14000000.00 14000000.00 0.0016 N Y Y N RBC Dominion Securities RBC Dominion Securities, 1.63% 549300QJJX6CVVUXLE15 FDI482000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-01-23 2049-08-15 0 - 6.5 13776000.00 14309379.02 U.S. Treasuries (including strips) Y N/A N/A 2020-01-07 2020-01-07 2020-02-27 Y RBC DOMINION SECS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0162 14000000.00 14000000.00 0.0016 N N Y N RBC Dominion Securities RBC Dominion Securities, 1.64% 549300QJJX6CVVUXLE15 FEB960000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-01-23 2042-11-15 0 - 2.75 8877500.00 9190042.50 U.S. Treasuries (including strips) Y N/A N/A 2020-01-07 2020-01-07 2020-02-11 Y RBC DOMINION SECS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0163 9000000.00 9000000.00 0.0010 N N Y N RBC Dominion Securities RBC Dominion Securities, 1.64% 549300QJJX6CVVUXLE15 FDE668000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-03-15 2047-02-15 0 - 3.625 29337700.00 30661031.51 U.S. Treasuries (including strips) Y N/A N/A 2020-01-07 2020-01-07 2020-01-21 Y RBC DOMINION SECS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0163 30000000.00 30000000.00 0.0033 N N Y N RBC Dominion Securities RBC Dominion Securities, 1.65% 549300QJJX6CVVUXLE15 FDG018000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-01-23 2048-08-15 0 - 3.75 20357700.00 21494437.01 U.S. Treasuries (including strips) Y N/A N/A 2020-01-07 2020-01-07 2020-01-16 Y RBC DOMINION SECS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0164 21000000.00 21000000.00 0.0023 N N Y N RBC Dominion Securities RBC Dominion Securities, 1.79% 549300QJJX6CVVUXLE15 FEG282000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-03-15 2027-11-15 0 - 2.5 14925100.00 15310728.81 U.S. Treasuries (including strips) Y N/A N/A 2020-01-03 2020-01-03 2020-01-03 Y RBC DOMINION SECS (GOV REPO) 1.0000 3 N N/A N/A N N 0.0177 15000000.00 15000000.00 0.0017 N N Y N RBC Dominion Securities RBC Dominion Securities, 1.84% 549300QJJX6CVVUXLE15 FEH193000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-02-29 2026-11-15 0 - 2.75 21684200.00 22451472.00 U.S. Treasuries (including strips) Y N/A N/A 2020-01-03 2020-01-03 2020-01-03 Y RBC DOMINION SECS (GOV REPO) 1.0000 3 N N/A N/A N N 0.0182 22000000.00 22000000.00 0.0025 N N Y N BMO Capital Markets Corp. BMO Capital Markets Corp., 2.07% RUC0QBLBRPRCU4W1NE59 FEI330000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N COMISION FEDERAL DE ELECTRICID SR GLBL REGS 27 4469000001BFPONMPF32 2027-02-23 2027-02-23 4.75 - 4.75 10000000.00 10705069.44 Corporate Debt Securities DISNEY WALT CO SR GLBL NT 2%29 549300GZKULIZ0WOW665 2029-09-01 2029-09-01 2 - 2 6241000.00 6101035.17 Corporate Debt Securities Y N/A N/A 2020-01-02 2020-01-02 2020-01-02 N N N 0.0205 16000000.00 16000000.00 0.0018 N Y Y N BMO Capital Markets Corp. BMO Capital Markets Corp., 2.11% RUC0QBLBRPRCU4W1NE59 FEI351000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N EQM MIDSTREAM PARTNERS LP UNIT LTD PARTN 549300NELT611CL6XM83 2500-12-31 2500-12-31 N/A 3349.00 97054.02 Equities ENERGY TRANSFER LP COM UT LTD PTN MTLVN9N7JE8MIBIJ1H73 2500-12-31 2500-12-31 N/A 3409576.00 43335710.96 Equities HUAZHU GROUP LTD SPONSORED ADS 549300Y5ML31FVN83730 2500-12-31 2500-12-31 N/A 20998.00 862807.82 Equities Y N/A N/A 2020-01-02 2020-01-02 2020-01-02 N N N 0.0209 41000000.00 41000000.00 0.0046 N Y Y N BMO Capital Markets Corp. BMO Capital Markets Corp., 2.13% RUC0QBLBRPRCU4W1NE59 FEI362000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N USIMINAS INTL S A R L SR GLBL 144A 26 529900KLYX6QPXVIVP43 2026-07-18 2026-07-18 5.875 - 5.875 7219564.00 7691994.22 Corporate Debt Securities BROADRIDGE FINL SOLUTIONS INC SR GLBL NT2.9%29 2029-12-01 2029-12-01 2.9 - 2.9 1699000.00 1703335.28 Corporate Debt Securities UNITEDHEALTH GROUP INC SR GLBL NT3.7%25 549300GHBMY8T5GXDE41 2025-12-15 2025-12-15 3.7 - 3.7 2000000.00 2165903.33 Corporate Debt Securities UNITED PARCEL SERVICE INC SR NT 3.05%27 D01LMJZU09ULLNCY6Z23 2027-11-15 2027-11-15 3.05 - 3.05 1500000.00 1584693.75 Corporate Debt Securities AGFC CAP TR I PFD TR 144A 6%67 2067-01-15 2067-01-15 3.751 - 3.751 843000.00 428263.15 Corporate Debt Securities BOC AVIATION PTE LTD FR 3%091129 254900H06V5RMEB3KE72 2029-09-11 2029-09-11 3 - 3 1484789.00 1469248.21 Corporate Debt Securities INTELSAT JACKSON HLDGS LTD SR GLBL 144A 25 8XJ8KF85PBKK1TLMFN29 2025-07-15 2025-07-15 9.75 - 9.75 2948000.00 2858638.75 Corporate Debt Securities INMARSAT FIN PLC SR GLBL 144A 22 549300FCV5VH7Q5A3B66 2022-05-15 2022-05-15 4.875 - 4.875 2636000.00 2685013.12 Corporate Debt Securities REYNOLDS GROUP ISSUER LLC SR SEC GLBL NT20 2020-10-15 2020-10-15 5.75 - 5.75 8383000.00 8231504.10 Corporate Debt Securities KOOKMIN BANK NEW SOUTH KOREA FR 4.35% 549300XXMOJSIW8P4769 2099-12-31 2099-12-31 4.35 - 4.35 10000000.00 10418583.33 Corporate Debt Securities AMERICAN TOWER CORP NEW SR GLBL NT 27 5493006ORUSIL88JOE18 2027-01-15 2027-01-15 2.75 - 2.75 784606.00 789600.67 Corporate Debt Securities FISERV INC SR GLBL NT3.8%23 GI7UBEJLXYLGR2C7GV83 2023-10-01 2023-10-01 3.8 - 3.8 21602.00 23024.80 Corporate Debt Securities ADVANCED DISP SVCS INC DEL SR 144A NT 24 549300ML1GEF4BKIM713 2024-11-15 2024-11-15 5.625 - 5.625 4150000.00 4355554.69 Corporate Debt Securities REALTY INCOME CORP SR GLBL NT 25 549300CUWDAUZSH43859 2025-04-15 2025-04-15 3.875 - 3.875 556902.00 605214.87 Corporate Debt Securities AT&T BROADBAND CORP SR GLBL NT 22 2022-11-15 2022-11-15 9.455 - 9.455 3107000.00 3791530.36 Corporate Debt Securities ANTERO RES FIN CORP SR GLBL NT 21 APVBKPOULHUX7YZLKU17 2021-11-01 2021-11-01 5.375 - 5.375 22000.00 21093.80 Corporate Debt Securities NIELSEN FIN LLC/ NIELSEN FIN SR NT 4.5%20 2020-10-01 2020-10-01 4.5 - 4.5 8000000.00 8109000.00 Corporate Debt Securities SEALED AIR CORP NEW SR 144A NT6.5%20 Q0M0CZB4YN6JZ65WXI09 2020-12-01 2020-12-01 6.5 - 6.5 744000.00 764189.27 Corporate Debt Securities Y N/A N/A 2020-01-02 2020-01-02 2020-01-02 N N N 0.0211 54000000.00 54000000.00 0.0060 N Y Y N BNP Paribas BNP Paribas, 1.67% R0MUWSFPU8MPRO8K5P83 FEI996000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N ALTRIA GROUP INC 4.8%29 XSGZFLO9YTNO9VCQV219 2029-02-14 2049-02-14 4.8 - 5.95 649381.00 787733.25 Corporate Debt Securities COMCAST CORP NEW SR GLBL NT 28 51M0QTTNCGUN7KFCFZ59 2028-02-15 2028-02-15 3.15 - 3.15 430000.00 456291.28 Corporate Debt Securities VOLKSWAGEN GROUP AMER FIN LLC SR GLBL 144A 22 5493002SQ1AVQBY41K40 2022-09-26 2022-09-26 2.7 - 2.7 500000.00 509155.00 Corporate Debt Securities MORGAN STANLEY VR 102416-102423 IGJSJL3JD5P30I6NJZ34 2023-10-24 2023-10-24 3.336 - 3.336 10505000.00 10798418.66 Corporate Debt Securities SINOPEC GRP OVSEAS DEV 2012 SR NT REGS 42 2042-05-17 2042-05-17 4.875 - 4.875 200000.00 242106.58 Corporate Debt Securities INTESA SANPAOLO S P A FR 4.7%092349 2W8N8UU78PMDQKZENC08 2028-01-12 2049-09-23 3.875 - 4.7 439070.00 455617.75 Corporate Debt Securities DEUTSCHE BK AG N Y BRH SNR NPF GLBL 21 7LTWFZYICNSX8D621K86 2021-10-14 2021-10-14 4.25 - 4.25 600000.00 621751.33 Corporate Debt Securities SIRIUS INTL GROUP LTD SR 144A NT4.6%26 549300PB35NLMKG2ND86 2026-11-01 2026-11-01 4.6 - 4.6 4471000.00 4428699.37 Corporate Debt Securities FS KKR CAPITAL CORP SR GLBL NT 25 549300TYRSI1T21B1360 2025-02-01 2025-02-01 4.125 - 4.125 1504000.00 1531543.25 Corporate Debt Securities ABBVIE INC SR GLBL 144A 29 FR5LCKFTG8054YNNRU85 2029-11-21 2029-11-21 3.2 - 3.2 2791970.00 2863658.48 Corporate Debt Securities CARDINAL HEALTH INC SR NT 4.5%44 CCU46N3GJMF4OK4N7U60 2044-11-15 2044-11-15 4.5 - 4.5 500000.00 498937.50 Corporate Debt Securities HASBRO INC CR SEN SR GLBL26 549300NUB6D2R1ITYR45 2026-11-19 2026-11-19 3.55 - 3.55 1059682.00 1073227.97 Corporate Debt Securities BANK NEW ZEALAND FR 3.5%022024 N7LGVZM7X4UQ66T7LT74 2024-02-20 2024-02-20 3.5 - 3.5 4.00 4.23 Corporate Debt Securities JP MORGAN CHASE BANK FR 3.086%042621 7H6GLXDRUGQFU57RNE97 2021-04-26 2021-04-26 3.086 - 3.086 6424000.00 6481470.53 Corporate Debt Securities GENERAL ELEC CAP CORP MTN BE FR 5.875%011438 3C7474T6CDKPR9K6YT90 2038-01-14 2038-01-14 5.875 - 5.875 7000.00 8719.27 Corporate Debt Securities UNION PACIFIC CORP SR NT 3.375%35 549300LMMRSZZCZ8CL11 2035-02-01 2035-02-01 3.375 - 3.375 485000.00 509816.84 Corporate Debt Securities GOLDMAN SACHS GRP INC MTN BE FR 3.85%070824 784F5XWPLTWKTBV3E584 2024-07-08 2024-07-08 3.85 - 3.85 5982000.00 6434863.99 Corporate Debt Securities NATIONWIDE MUT INS CO SRPLUS 144A 33 Z7LVXXWM8HZPKF5T2355 2033-04-01 2033-04-01 7.875 - 7.875 1000.00 1448.67 Corporate Debt Securities M & T BK CORP ALT TIER I PERP 549300WYXDDBYRASEG81 2500-12-31 2500-12-31 6.45 - 6.45 447000.00 507227.66 Corporate Debt Securities SOUTHERN COPPER CORP SR GLBL NT 45 2549007U6NAP46Q9TU15 2045-04-23 2045-04-23 5.875 - 5.875 500000.00 631557.01 Corporate Debt Securities FEDEX CORP SR NT 5.1%44 549300E707U7WNPZN687 2044-01-15 2044-01-15 5.1 - 5.1 600000.00 675381.00 Corporate Debt Securities ALLSTATE CORP SB-B DB FXD/FL53 OBT0W1ED8G0NWVOLOJ77 2053-08-15 2053-08-15 5.75 - 5.75 1496000.00 1640457.50 Corporate Debt Securities DUKE ENERGY CORP NEW PERP SUB GLBL -B I1BZKREC126H0VB1BL91 2500-12-31 2500-12-31 4.875 - 4.875 810000.00 858296.25 Corporate Debt Securities Y N/A N/A 2020-01-02 2020-01-02 2020-01-02 N N N 0.0166 40000000.00 40000000.00 0.0045 N Y Y N Citigroup Global Markets, Inc. Citigroup Global Markets, Inc., 2.14% MBNUM2BPBDO7JBLYG310 0000315030 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N ELLINGTON LN ACQ TR 2007-2 M-2B 20370525 FLT 2037-05-25 2037-05-25 3.492 - 3.492 321273.00 40609.79 Asset-Backed Securities DUKE FDG VI 2004-6 BV 20390408 FLT 549300M17UZKOC3PVP17 2039-04-08 2039-04-08 5.527 - 5.527 5312776.00 2385454.69 Other Instrument COLLATERALIZED DEBT OBLIGATION DSLA MTG LN TR 2004-AR2 A-2B 20441119 FLT 2044-11-19 2044-11-19 2.564 - 2.564 473.00 16.70 Private Label Collateralized Mortgage Obligations PACIFIC COAST CDO 2001 B 20361025 FLT 2036-10-25 2036-10-25 1.94 - 1.94 28088.00 3008.17 Other Instrument COLLATERALIZED DEBT OBLIGATION PALISADES CDO LTD 254900GFQ1EE6QUMSF58 2039-07-22 2039-07-22 2.903 - 2.903 1070538.00 548228.09 Other Instrument COLLATERALIZED DEBT OBLIGATION HOUT BAY LTD 2006-1 A-2 20410705 FLT 2041-07-05 2041-07-05 2.154 - 2.154 16568.00 922.20 Other Instrument COLLATERALIZED DEBT OBLIGATION LB-UBS CMBS 2007-C6 D 20400715 FLT 2040-07-15 2040-07-15 6.289 - 6.289 4.00 1.13 Private Label Collateralized Mortgage Obligations US CAP FDG III LTD 2004-3 B-2 20351201 FLT 2035-12-01 2035-12-01 3.437 - 3.437 12520635.00 9863363.08 Asset-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2020-04-15 2020-04-15 0.125 - 0.125 10900.00 11967.19 U.S. Treasuries (including strips) MMCAPS FDG XVIII 2006-18 D 144A 20391226 FLT 2039-12-26 2039-12-26 3.747 - 3.747 1591859.00 781876.30 Asset-Backed Securities FORTIUS I FDG 2006-1 A-1 20410712 FLT 549300RD4RO9XEMFDL93 2041-07-12 2041-07-12 2.309 - 2.309 5087179.00 220236.71 Other Instrument COLLATERALIZED DEBT OBLIGATION PREFERRED TERM SEC XV 2004-15 C 144 20340926 FLT 2034-09-26 2034-09-26 4.403 - 4.403 277864.00 196060.27 Asset-Backed Securities GS MTG SECS TR 2014-GC18 F 20470111 3.72200 2047-01-11 2047-01-11 3.722 - 3.722 353.00 222.60 Private Label Collateralized Mortgage Obligations ML MTG INV TR 2007-HE2 A-2B 20370225 FLT 2037-02-25 2037-02-25 2.002 - 2.002 3.00 0.84 Asset-Backed Securities Y N/A N/A 2020-02-04 2020-02-04 2020-04-15 Y CITIGROUP INC 1.0000 35 N N/A N/A Y CITIGROUP INC 1.0000 N/A N/A N 0.0214 13000000.00 13000000.00 0.0014 N N N Y Citigroup Global Markets, Inc. Citigroup Global Markets, Inc., 2.14% MBNUM2BPBDO7JBLYG310 0000315030 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N CENTEX HM EQ LN TR 2003-A M-2 20330325 FLT 2033-03-25 2033-03-25 3.522 - 3.522 82.00 7.88 Asset-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2020-04-15 2020-04-15 0.125 - 0.125 22300.00 24483.33 U.S. Treasuries (including strips) CARRINGTON MTG 2006-FRE2 A-5 20350325 FLT 2035-03-25 2035-03-25 1.872 - 1.872 40818376.00 3555986.66 Asset-Backed Securities RESIDENTIAL ASSET 2003-KS11 M-II-2 20340125 FLT 2034-01-25 2034-01-25 3.592 - 3.592 1761.00 107.09 Asset-Backed Securities AMERIQUEST MTG SECS 2004-R5 M-3 20340725 FLT 2034-07-25 2034-10-25 3.547 - 4.117 275104.00 264851.01 Asset-Backed Securities AFC MTG LOAN ABC 1999-3 1A 20290925 FLT 2029-09-25 2029-09-25 2.772 - 2.772 73.00 1.00 Asset-Backed Securities LONG BEACH MTG LN TR 2004-5 M-5 20340925 FLT 2034-09-25 2035-06-25 2.842 - 3.742 17206818.00 16699046.64 Asset-Backed Securities Y N/A N/A 2020-02-04 2020-02-04 2020-05-11 Y CITIGROUP INC 1.0000 35 N N/A N/A Y CITIGROUP INC 1.0000 N/A N/A N 0.0213 19000000.00 19000000.00 0.0021 N N N Y Citigroup Global Markets, Inc. Citigroup Global Markets, Inc., 2.35% MBNUM2BPBDO7JBLYG310 0000315030 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N PUERTO RICO ELEC PWR AUTH PWR REV BDS 2012 5493003BRB67HF8ST418 2040-07-01 2042-07-01 N/A 10.00 7.44 Other Instrument MUNICIPAL DEBT PUERTO RICO PUB BLDGS AUTH REV REV BDS 2011 2041-07-01 2041-07-01 N/A 1.00 0.88 Other Instrument MUNICIPAL DEBT EUROPEAN INVT BK 2020-02-07 2020-03-03 N/A 7733.00 7708.49 Money Market SIEMENS CAP CO LLC 2020-03-26 2020-03-26 N/A 8867129.00 8829372.76 Money Market US TREASURY 254900HROIFWPRGM1V77 2024-10-31 2024-10-31 1.5 - 1.5 48400.00 48112.68 U.S. Treasuries (including strips) JPMORGAN CHASE FINL CO LLC FR 0.25%050123 549300NJFDJOFYVV6789 2023-05-01 2023-05-01 0.25 - 0.25 309000.00 313298.10 Corporate Debt Securities DEUTSCHE BK AG FR 1%050123 7LTWFZYICNSX8D621K86 2023-05-01 2023-05-01 1 - 1 3187000.00 3469694.05 Corporate Debt Securities JPMORGAN CHASE FINL CO LLC EQTY COCO 23 549300NJFDJOFYVV6789 2023-05-01 2023-05-01 0.25 - 0.25 6396000.00 6896165.42 Corporate Debt Securities RICOH FIN CORP 2020-02-18 2020-02-18 N/A 257898.00 257166.34 Money Market Y N/A N/A 2020-02-24 2020-02-24 2020-02-24 N Y CITIGROUP INC 1.0000 N/A N/A N 0.0233 19000000.00 19000000.00 0.0021 N N N Y Credit AG CIB Paris Credit AG CIB Paris, 1.72% 1VUV7VQFKUOQSJ21A208 FEJ010000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N 3M CO SR GLBL NT 29 LUZQVYP4VS22CLWDAR65 2029-08-26 2029-08-26 2.375 - 2.375 47445695.00 47254515.21 Corporate Debt Securities Y N/A N/A 2020-01-07 2020-01-07 2020-01-07 N N N 0.0171 45000000.00 45000000.00 0.0050 N N Y N Credit AG CIB Paris Credit AG CIB Paris, 1.92% 1VUV7VQFKUOQSJ21A208 FEI761000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N MITSUBISHI UFJ FINL GROUP INC SR GLBL NT 29 353800V2V8PUY9TK3E06 2029-03-07 2029-03-07 3.741 - 3.741 68000.00 74261.62 Corporate Debt Securities MICROSOFT CORP SR GLBL NT3.3%27 INR2EJN1ERAN0W5ZP974 2027-02-06 2027-02-06 3.3 - 3.3 15550000.00 16840805.50 Corporate Debt Securities EQUINOR ASA 3.625%28 OW6OFBNCKXC4US5C7523 2028-09-10 2028-09-10 3.625 - 3.625 16925362.00 18790645.03 Corporate Debt Securities Y N/A N/A 2020-01-06 2020-01-06 2020-01-06 N N N 0.0190 34000000.00 34000000.00 0.0038 N N Y N Credit AG CIB Paris Credit AG CIB Paris, 1.98% 1VUV7VQFKUOQSJ21A208 FEH854000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N MITSUBISHI UFJ FINL GROUP INC SR GLBL NT 29 353800V2V8PUY9TK3E06 2029-03-07 2029-03-07 3.741 - 3.741 57000.00 62248.71 Corporate Debt Securities COMCAST CORP NEW SR GLBL NT 25 51M0QTTNCGUN7KFCFZ59 2025-10-15 2025-10-15 3.95 - 3.95 11950000.00 13146424.04 Corporate Debt Securities PEPSICO INC SR GLBL NT 3%27 FJSUNZKFNQ5YPJ5OT455 2027-10-15 2027-10-15 3 - 3 49640000.00 52967369.20 Corporate Debt Securities Y N/A N/A 2020-01-02 2020-01-02 2020-01-02 N N N 0.0196 63000000.00 63000000.00 0.0070 N Y Y N Credit AG CIB Paris Credit AG CIB Paris, 1.98% 1VUV7VQFKUOQSJ21A208 FEI402000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N MITSUBISHI UFJ FINL GROUP INC SR GLBL NT 29 353800V2V8PUY9TK3E06 2029-03-07 2029-03-07 3.741 - 3.741 52000.00 56788.29 Corporate Debt Securities 3M CO SR GLBL NT 29 LUZQVYP4VS22CLWDAR65 2029-08-26 2029-08-26 2.375 - 2.375 9800000.00 9760511.44 Corporate Debt Securities MICROSOFT CORP SR GLBL NT3.3%27 INR2EJN1ERAN0W5ZP974 2027-02-06 2027-02-06 3.3 - 3.3 27790000.00 30096847.90 Corporate Debt Securities Y N/A N/A 2020-01-03 2020-01-03 2020-01-03 N N N 0.0196 38000000.00 38000000.00 0.0042 N N Y N Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 2.40% 1V8Y6QCX6YMJ2OELII46 0000318336 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N CSMC SER 2019-6R 2054-11-27 2054-11-27 N/A 21231895.00 4630973.55 Private Label Collateralized Mortgage Obligations Y N/A N/A 2020-01-31 2020-01-31 2020-01-31 N Y CREDIT SUISSE AG 1.0000 N/A N/A N 0.0238 4000000.00 4000000.00 0.0004 N N N Y HSBC Securities, Inc. HSBC Securities, Inc., 1.74% CYYGQCGNHMHPSMRL3R97 0000853784 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N DEUTSCHE BK AG N Y BRH SR GLBL COCO 22 7LTWFZYICNSX8D621K86 2022-02-14 2022-02-14 5 - 5 5.00 5.31 Corporate Debt Securities HSBC BANK CANADA EXTND SR SEC 23 DMB80L5QKUQ124HSYW98 2023-09-10 2023-09-10 1.65 - 1.65 1611300.00 1608160.65 Corporate Debt Securities UNILEVER CAP CORP SR GLBL NT3.5%28 MYF1DAS6G5WY7PRWCU78 2028-03-22 2028-03-22 3.5 - 3.5 140000.00 153351.49 Corporate Debt Securities ASIAN DEVELOPMENT BANK 549300X0MVH42CY8Q105 2028-01-19 2028-01-19 2.75 - 2.75 1000.00 1074.17 Other Instrument INTERNATIONAL DEBT INTER-AMERICAN DEVELOPMENT BANK VKU1UKDS9E7LYLMACP54 2025-01-15 2025-01-15 2.125 - 2.125 157000.00 161030.12 Other Instrument INTERNATIONAL DEBT RESOLUTION FUNDING CORP 2025-01-15 2025-01-15 N/A 9000.00 8220.05 Agency Debentures and Agency Strips TORCHMARK CORP 4.55%28 5493001JFHKQOPP6XA71 2028-09-15 2028-09-15 4.55 - 4.55 170.00 191.42 Corporate Debt Securities WORLD BANK ZTMSNXROF84AHWJNKQ93 2021-03-09 2024-11-25 1.625 - 3 1354000.00 1424903.73 Other Instrument INTERNATIONAL DEBT CAMERON LNG LLC SR SEC GLBL 38 549300C39FLHGVD73K22 2038-01-15 2038-01-15 3.402 - 3.402 41460.00 41646.84 Corporate Debt Securities TECK RESOURCES LTD SR NT 6.25%41 T8KI5SQ2JRWHL7XY0E11 2041-07-15 2041-07-15 6.25 - 6.25 2420000.00 2855105.92 Corporate Debt Securities EXPEDIA GROUP INC SR GLBL 144A 30 2030-02-15 2030-02-15 3.25 - 3.25 1.00 0.97 Corporate Debt Securities Y N/A N/A 2020-01-02 2020-01-02 2020-01-02 N N N 0.0173 6000000.00 6000000.00 0.0007 N Y Y N ING Financial Markets LLC ING Financial Markets LLC, 1.64% KBVRJ5K57JZ3E2AVWX40 0000877559 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N EUROPEAN INVT BK FR 1.375%061520 5493006YXS1U5GIHE750 2020-06-15 2022-06-15 1.375 - 2.375 174000.00 176123.73 Corporate Debt Securities WALGREENS BOOTS ALLIANCE INC SR GLBL NT 26 549300RPTUOIXG4LIH86 2026-06-01 2026-06-01 3.45 - 3.45 2000.00 2041.90 Corporate Debt Securities ZOETIS INC SR GLBL NT 47 549300HD9Q1LOC9KLJ48 2047-09-12 2047-09-12 3.95 - 3.95 2000.00 2216.14 Corporate Debt Securities PACCAR FINL CORP SR MTNS BK EN FR 2.15%081524 PH3S12DWZBHHQKVYZ297 2024-08-15 2024-08-15 2.15 - 2.15 814.00 819.93 Corporate Debt Securities MEDTRONIC INC SR GLBL NT 45 D56MRZY2INAN94ZONZ37 2045-03-15 2045-03-15 4.625 - 4.625 2000.00 2560.84 Corporate Debt Securities ING BANK NV SR GLBL REGS 21 3TK20IVIUJ8J3ZU0QE75 2021-08-15 2021-08-15 2.05 - 2.05 676.00 682.91 Corporate Debt Securities GENERAL MTRS FINL CO INC FR 4.35%040925 5493008B6JBRUJ90QL97 2025-04-09 2025-04-09 4.35 - 4.35 2000.00 2154.82 Corporate Debt Securities ING GROEP N V SR GLBL COCO 23 549300NYKK9MWM7GGW15 2023-10-02 2028-10-02 3.55 - 4.55 1288121.00 1398319.90 Corporate Debt Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-04-01 2049-04-01 4 - 4 5710.00 5207.28 Agency Mortgage-Backed Securities POSCO SR GLBL REGS 24 988400E5HRVX81AYLM04 2024-07-15 2024-07-15 2.75 - 2.75 1532166.00 1556717.68 Corporate Debt Securities MPLX LP SR GLBL NT5.2%47 5493000CZJ19CK4P3G36 2047-03-01 2047-03-01 5.2 - 5.2 2860000.00 3153575.82 Corporate Debt Securities Y N/A N/A 2020-01-02 2020-01-02 2020-01-02 N N N 0.0163 6000000.00 6000000.00 0.0007 N Y Y N ING Financial Markets LLC ING Financial Markets LLC, 1.69% KBVRJ5K57JZ3E2AVWX40 FEI999000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N ISHARES INC MSCI BRAZIL ETF F6BK0XM2JFWYXJ2MDK09 2500-12-31 2500-12-31 N/A 1241.00 58575.20 Equities CONOCOPHILLIPS COM WPTL2Z3FIYTHSP5V2253 2500-12-31 2500-12-31 N/A 19115.00 1235020.15 Equities AUTOLIV INC COM A23RUXWKASG834LTMK28 2500-12-31 2500-12-31 N/A 1717.00 145378.39 Equities BIOGEN INC COM W8J5WZB5IY3K0NDQT671 2500-12-31 2500-12-31 N/A 3866.00 1144374.66 Equities VISA INC COM CL A 549300JZ4OKEHW3DPJ59 2500-12-31 2500-12-31 N/A 20747.00 3896909.01 Equities SPDR SERIES TRUST S&P REGL BKG 549300EFWJBKUN6WJX52 2500-12-31 2500-12-31 N/A 1.00 58.08 Equities ALPS ETF TR ALERIAN MLP 549300WPBLCQJSVVVV61 2500-12-31 2500-12-31 N/A 39.00 329.16 Equities Y N/A N/A 2020-01-02 2020-01-02 2020-01-02 N N N 0.0168 6000000.00 6000000.00 0.0007 N Y Y N ING Financial Markets LLC ING Financial Markets LLC, 1.69% KBVRJ5K57JZ3E2AVWX40 FEJ030000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N ALLIANCE DATA SYSTEMS CORP COM 549300G8S4PO686J7H97 2500-12-31 2500-12-31 N/A 29274.00 3240339.06 Equities Y N/A N/A 2020-01-02 2020-01-02 2020-01-02 N N N 0.0168 3000000.00 3000000.00 0.0003 N Y Y N ING Financial Markets LLC ING Financial Markets LLC, 1.96% KBVRJ5K57JZ3E2AVWX40 FEB951000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N ISHARES INC MSCI BRAZIL ETF F6BK0XM2JFWYXJ2MDK09 2500-12-31 2500-12-31 N/A 123924.00 5849212.80 Equities L3HARRIS TECHNOLOGIES INC COM 549300UTE50ZMDBG8A20 2500-12-31 2500-12-31 N/A 43440.00 8691475.20 Equities ALAMOS GOLD INC NEW COM CL A 549300TDOX73YGYXE959 2500-12-31 2500-12-31 N/A 5.00 29.85 Equities FIDELITY NATL INFORMATION SVCS COM 6WQI0GK1PRFVBA061U48 2500-12-31 2500-12-31 N/A 988.00 136936.80 Equities JOHNSON & JOHNSON COM 549300G0CFPGEF6X2043 2500-12-31 2500-12-31 N/A 47836.00 6950570.80 Equities Y N/A N/A 2020-02-04 2020-02-04 2020-02-07 Y ING FINL MKTS LLC(NNGV RP BNY) 1.0000 35 N N/A N/A N N 0.0194 20000000.00 20000000.00 0.0022 N N N Y J.P. 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3.25 67879897.00 70412533.67 Corporate Debt Securities Y N/A N/A 2020-01-03 2020-01-03 2020-01-03 Y ROYAL BANK OF CAN (NON GOV RP) 1.0000 3 N N/A N/A N N 0.0198 67000000.00 67000000.00 0.0075 N N Y N Societe Generale Societe Generale, 1.82% O2RNE8IBXP4R0TD8PU41 FEJ005000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N 51-100 2020-10-01 2500-12-31 1.942 - 10.5 6824602.00 6480582.81 Corporate Debt Securities Y N/A N/A 2020-01-02 2020-01-02 2020-01-02 N N N 0.0180 6000000.00 6000000.00 0.0007 N Y Y N Societe Generale Societe Generale, 1.95% O2RNE8IBXP4R0TD8PU41 FDH799000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N 51-100 2020-03-25 2073-09-20 0 - 7.8 17064409.00 18914654.51 Corporate Debt Securities Y N/A N/A 2020-01-03 2020-01-03 2020-01-03 N N N 0.0193 18000000.00 18000000.00 0.0020 N N Y N Societe Generale Societe Generale, 1.98% O2RNE8IBXP4R0TD8PU41 FEI373000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N AEROPUERTO INTERNACIONAL SR SEC GLBL 48 254900FO1PHX49ZIGB14 2048-11-18 2048-11-18 6 - 6 8.00 9.95 Corporate Debt Securities BANCO SANTANDER SA SNR NPF GLBL 27 5493006QMFDDMYWIAM13 2027-04-11 2027-04-11 4.25 - 4.25 200000.00 217181.28 Corporate Debt Securities RELIANCE INDUSTRIES LTD SR REGS NT 25 5493003UOETFYRONLG31 2025-01-28 2025-01-28 4.125 - 4.125 5799000.00 6235703.36 Corporate Debt Securities MIZUHO BANK LTD. SR REGS NT2.7%20 RB0PEZSDGCO3JS6CEU02 2020-10-20 2020-10-20 2.7 - 2.7 49504.00 50071.32 Corporate Debt Securities BOC AVIATION PTE LTD FR 3.5%101024 254900H06V5RMEB3KE72 2024-10-10 2024-10-10 3.5 - 3.5 1.00 1.04 Corporate Debt Securities COMERICA INC SB GLBL NT3.8%26 I9Q57JVPWHHZ3ZGBW498 2026-07-22 2026-07-22 3.8 - 3.8 34000.00 36527.14 Corporate Debt Securities SINOPEC GRP OVSEAS DEV 2012 SR GLBL REGS 22 2022-05-17 2022-05-17 3.9 - 3.9 205000.00 213152.51 Corporate Debt Securities BAHIA SUL HLDGS GMBH SR GLBL REGS 26 254900287ZNSGVP1R341 2026-07-14 2026-07-14 5.75 - 5.75 340.00 388.54 Corporate Debt Securities BARCLAYS BK PLC GLBL MTN 144A GLBL 144A 20 G5GSEF7VJP5I7OUK5573 2020-11-16 2020-11-16 2.14 - 2.14 48766351.00 48595826.88 Corporate Debt Securities KEB HANA BANK SR GLBL REGS 22 6RPK2YDJN6L35AS0M510 2022-01-30 2022-01-30 3.375 - 3.375 3009.00 3117.93 Corporate Debt Securities TYSON FOODS INC SR GLBL NT 4%26 WD6L6041MNRW1JE49D58 2026-03-01 2026-03-01 4 - 4 569056.00 622025.00 Corporate Debt Securities GOLDMAN SACHS GROUP INC SUB NT 6.75%37 784F5XWPLTWKTBV3E584 2037-10-01 2037-10-01 6.75 - 6.75 2000.00 2819.24 Corporate Debt Securities PERUSAHAAN LISTRIK NEGARA PT FR 3.375%020530 254900OYVDRYS9J51J61 2030-02-05 2030-02-05 3.375 - 3.375 2177160.00 2184031.66 Corporate Debt Securities MITSUBISHI UFJ FINL GROUP INC SR GLBL NT 39 353800V2V8PUY9TK3E06 2039-03-07 2039-03-07 4.153 - 4.153 19000.00 22142.52 Corporate Debt Securities SUMITOMO LIFE INS CO SUB GLBL REGS 73 549300I5OQCDADQSPI57 2073-09-20 2073-09-20 6.5 - 6.5 1347000.00 1524542.08 Corporate Debt Securities ACTIVISION BLIZZARD INC SR GLBL NT3.4%26 549300TPQQDBP9GNOF40 2026-09-15 2026-09-15 3.4 - 3.4 243000.00 257379.93 Corporate Debt Securities MIZUHO FINL GROUP INC SR GLBL NT 26 353800CI5L6DDAN5XZ33 2026-09-13 2026-09-13 2.839 - 2.839 201000.00 205262.84 Corporate Debt Securities SINOPEC GRP OVERSEAS DEV 2017 SR REGS NT 27 5493001IPW8ZGQ181Z16 2027-09-13 2027-09-13 3.25 - 3.25 998355.00 1033686.51 Corporate Debt Securities CITIGROUP INC SR GLBL NT 20 6SHGI4ZSSLCXXQSBB395 2020-10-26 2046-05-18 2.65 - 4.75 953000.00 1010517.88 Corporate Debt Securities PHILIP MORRIS INTL INC SR GLBL NT 24 HL3H1H2BGXWVG3BSWR90 2021-11-15 2024-11-10 2.9 - 3.25 1450000.00 1526315.79 Corporate Debt Securities NONGHYUP BANK SR REGS BD 23 988400GSDJCW3LKJBD20 2023-07-30 2023-07-30 3.875 - 3.875 20745.00 22140.64 Corporate Debt Securities CENCOSUD S A SR GLBL REGS 27 549300NLTGCFV7482429 2027-07-17 2027-07-17 4.375 - 4.375 639000.00 641350.90 Corporate Debt Securities BANK OF NOVA SCOTIA SR GLBL NT 22 L3I9ZG2KFGXZ61BMYR72 2022-09-19 2022-09-19 2.45 - 2.45 2000.00 2043.59 Corporate Debt Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2054-11-15 2054-11-15 2.76 - 2.76 4320505.00 4313052.54 Agency Mortgage-Backed Securities BANK NEW ZEALAND FR 3.5%022024 N7LGVZM7X4UQ66T7LT74 2024-02-20 2024-02-20 3.5 - 3.5 93.00 98.41 Corporate Debt Securities BANK CHINA HONG KONG LTD FR 5.9% KNPC1X7GHDZW8U2ZSF89 2500-12-31 2500-12-31 5.9 - 5.9 8.00 8.76 Corporate Debt Securities UNION PACIFIC CORP SR GLBL NT 28 549300LMMRSZZCZ8CL11 2028-09-10 2028-09-10 3.95 - 3.95 530861.00 593343.04 Corporate Debt Securities AMER HONDA FIN CORP MTN BE144A FR 3.875%092120 B6Q2VFHD1797Q7NZ3E43 2020-09-21 2020-09-21 3.875 - 3.875 950000.00 973394.94 Corporate Debt Securities CVS HEALTH CORP 4.3%28 549300EJG376EN5NQE29 2028-03-25 2028-03-25 4.3 - 4.3 84900.00 93776.06 Corporate Debt Securities SUMITOMO MITSUI BANKING CORP SR NT 3.65%25 5U0XI89JRFVHWIBS4F54 2025-07-23 2025-07-23 3.65 - 3.65 6732000.00 7273172.39 Corporate Debt Securities HSBC HLDGS PLC SB GLBL NT6.5%37 MLU0ZO3ML4LN2LL2TL39 2026-11-23 2037-09-15 4.375 - 6.5 1315000.00 1601890.99 Corporate Debt Securities BANC ONE CORP SUB GLBL DEB8%27 8I5DZWZKVSZI1NUHU748 2027-04-29 2027-04-29 8 - 8 206000.00 278026.98 Corporate Debt Securities MITSUI FUDOSAN CO LTD SR REGS NT 27 353800ND4ZKNZDYKMF33 2027-07-20 2027-07-20 3.65 - 3.65 154800.00 166476.91 Corporate Debt Securities Y N/A N/A 2020-01-03 2020-01-03 2020-01-03 N N N 0.0196 76000000.00 76000000.00 0.0085 N N Y N Societe Generale Societe Generale, 2.08% O2RNE8IBXP4R0TD8PU41 FEI374000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N 51-100 2020-01-15 2500-12-31 0 - 13 25097658.00 26832941.92 Corporate Debt Securities Y N/A N/A 2020-01-03 2020-01-03 2020-01-03 N N N 0.0206 25000000.00 25000000.00 0.0028 N N Y N Societe Generale Societe Generale, 2.08% O2RNE8IBXP4R0TD8PU41 FDH800000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N IHEARTCOMMUNICATIONS INC 8.375%27 54930076J6KDZL504O62 2027-05-01 2027-05-01 8.375 - 8.375 1038425.00 1163010.76 Corporate Debt Securities GLOBAL PARTNERS / GLP FIN CORP SR GLBL 144A 27 2027-08-01 2027-08-01 7 - 7 9.00 9.81 Corporate Debt Securities ALPINE S LTD 2020-04-09 2020-04-09 N/A 2.00 1.99 Money Market MEDNAX INC 6.25%27 2027-01-15 2027-01-15 6.25 - 6.25 12036.00 12666.03 Corporate Debt Securities THE CHARLES SCHWAB CORPORATION SR GLBL NT 23 549300VSGCJ7E698NM85 2023-01-25 2023-01-25 2.65 - 2.65 1.00 1.03 Corporate Debt Securities CONUMA COAL RES LTD SR SEC GLBL 23 5493002BTSOLIKR8TY08 2023-05-01 2023-05-01 10 - 10 3298000.00 2931555.56 Corporate Debt Securities CHS / CMNTY HEALTH SYS INC SR SEC GLBL 24 5493007X5NC5XI1BB106 2024-01-15 2026-03-15 8 - 8.625 1501610.00 1591160.82 Corporate Debt Securities MPT OPERATING PARTNERSHIP L.P SR GLBL NT 29 2029-08-01 2029-08-01 4.625 - 4.625 797090.00 838526.50 Corporate Debt Securities STARWOOD PPTY TR INC SR GLBL NT 25 BUGSFQZERKRBFWIG5267 2025-03-15 2025-03-15 4.75 - 4.75 696499.00 744455.86 Corporate Debt Securities HSBC HLDGS PLC SUB NT 5.25%44 MLU0ZO3ML4LN2LL2TL39 2044-03-14 2044-03-14 5.25 - 5.25 1499000.00 1927846.41 Corporate Debt Securities FREEPORT-MCMORAN INC SR NT 5.45%43 549300IRDTHJQ1PVET45 2043-03-15 2043-03-15 5.45 - 5.45 1885000.00 1985651.15 Corporate Debt Securities FRESH MKT INC 1PRI SR 144A 23 529900QM5ZSBEBR6CS58 2023-05-01 2023-05-01 9.75 - 9.75 2000.00 1011.96 Corporate Debt Securities TENET HEALTHCARE CORP SR SEC GLBL 26 0W9AIBT6U6ADJ2I8HK17 2026-01-01 2026-01-01 4.875 - 4.875 394164.00 419505.46 Corporate Debt Securities NETFLIX INC SR GLBL 144A 30 549300Y7VHGU0I7CE873 2030-06-15 2030-06-15 4.875 - 4.875 1087264.00 1115861.31 Corporate Debt Securities NGL ENERGY PARTNERS LP 7.5%26 2026-04-15 2026-04-15 7.5 - 7.5 1.00 0.98 Corporate Debt Securities CREDIT AGRICOLE S A ALT TIER I PERP 969500TJ5KRTCJQWXH05 2099-12-31 2099-12-31 8.125 - 8.125 1080.00 1311.21 Corporate Debt Securities ACE CASH EXPRESS INC SR SEC GLBL 22 2022-12-15 2022-12-15 12 - 12 3.00 2.58 Corporate Debt Securities PAR PHARMACEUTICAL INC SR SEC GLBL 27 549300KK5WR4MGN4YT97 2027-04-01 2027-04-01 7.5 - 7.5 5.00 5.09 Corporate Debt Securities HUGHES SATELLITE SYS CORP SR GLBL NT 26 2026-08-01 2026-08-01 6.625 - 6.625 12.00 13.65 Corporate Debt Securities EDWARDS LIFESCIENCES CORP SR GLBL NT4.3%28 YA13X31F3V31L8TMPR58 2028-06-15 2028-06-15 4.3 - 4.3 547000.00 609801.98 Corporate Debt Securities GRUPO AVAL ACCIONES Y VALORES SR GLBL REGS 22 549300J4FW1ELLQ80113 2022-09-26 2022-09-26 4.75 - 4.75 200000.00 210980.56 Corporate Debt Securities CIT GROUP INC SR GLBL NT 21 N8O96ZZJQRFYQUJY7K79 2021-03-09 2021-03-09 4.125 - 4.125 550.00 566.90 Corporate Debt Securities WESTERN DIGITAL CORP SR GLBL NT 26 549300QQXOOYEF89IC56 2026-02-15 2026-02-15 4.75 - 4.75 543.00 575.70 Corporate Debt Securities BNP PARIBAS FR 4.375%030133 R0MUWSFPU8MPRO8K5P83 2033-03-01 2033-03-01 4.375 - 4.375 200000.00 219116.36 Corporate Debt Securities SYNCHRONY FINL SR GLBL NT 24 549300RS7EWPM9MA6C78 2024-03-19 2024-03-19 4.375 - 4.375 986.00 1064.05 Corporate Debt Securities ISTAR INC SR GLBL NT 25 QFFLKWYYS3UPWD86E794 2025-08-01 2025-08-01 4.25 - 4.25 2365540.00 2393105.11 Corporate Debt Securities ARCHROCK PARTNERS L P / ARCHRO SR GLBL 144A 27 2027-04-01 2027-04-01 6.875 - 6.875 8.00 8.61 Corporate Debt Securities DAKOTA MERGER SUB INC SR 144A NT 24 5493008MIJR7VMQP7U77 2024-09-01 2024-09-01 10.75 - 10.75 2000.00 2151.07 Corporate Debt Securities NIELSEN FIN LLC/ NIELSEN FIN SR NT 4.5%20 2020-10-01 2020-10-01 4.5 - 4.5 7000.00 7095.38 Corporate Debt Securities TERRAFORM PWR OPER LLC SR GLBL 144A 30 5493000S2OLR3UT5BE13 2030-01-15 2030-01-15 4.75 - 4.75 2510.00 2578.43 Corporate Debt Securities JPMORGAN CHASE & CO PERP SR -Q NT 8I5DZWZKVSZI1NUHU748 2500-12-31 2500-12-31 5.15 - 5.15 583000.00 614155.68 Corporate Debt Securities TARGA RES PARTNERS / TARGA RES SR GLBL 144A 29 2029-01-15 2029-01-15 6.875 - 6.875 36.00 41.10 Corporate Debt Securities CITGO PETE CORP SR SEC GLBL 22 YX52P86PXMLYDOTUQ225 2022-08-15 2022-08-15 6.25 - 6.25 2000.00 2074.38 Corporate Debt Securities CITGO HOLDING INC SR SEC GLBL 24 549300NYHOALWZ2BSL72 2024-08-01 2024-08-01 9.25 - 9.25 434101.00 481107.51 Corporate Debt Securities VERIZON COMMUNICATIONS INC SR GLBL FL NT 25 2S72QS2UO2OESLG6Y829 2025-05-15 2025-05-15 3.01 - 3.01 7000.00 7187.43 Corporate Debt Securities SM ENERGY CO SR GLBL NT 5%24 84BUTVXV5ODI6BXNMH43 2024-01-15 2024-01-15 5 - 5 13000.00 12680.42 Corporate Debt Securities CAPITOL INVT MERGER SUB 2 LLC SR SEC GLBL 24 2024-08-01 2024-08-01 10 - 10 1928650.00 2081334.79 Corporate Debt Securities ALTICE S A SR GLBL 144A 27 2221006ZDZREFLFIFQ42 2027-05-15 2027-05-15 10.5 - 10.5 9.00 10.43 Corporate Debt Securities Y N/A N/A 2020-01-03 2020-01-03 2020-01-03 N N N 0.0206 18000000.00 18000000.00 0.0020 N N Y N Wells Fargo Securities, LLC Wells Fargo Securities, LLC, 1.69% VYVVCKR63DVZZN70PB21 0000276523 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N ISHARES TR CORE S&P SCP ETF 549300BPYHDEDI59G670 2500-12-31 2500-12-31 N/A 13761.00 616118.80 Equities SPDR GOLD TRUST GOLD SHS 2500-12-31 2500-12-31 N/A 23501.00 3351947.63 Equities SPDR S&P 500 ETF TR TR UNIT 549300NZAMSJ8FXPQQ63 2500-12-31 2500-12-31 N/A 14519.00 4661760.52 Equities ALPS ETF TR ALERIAN MLP 549300WPBLCQJSVVVV61 2500-12-31 2500-12-31 N/A 129291.00 1091216.04 Equities Y N/A N/A 2020-01-02 2020-01-02 2020-01-02 N N N 0.0168 9000000.00 9000000.00 0.0010 N Y Y N Wells Fargo Securities, LLC Wells Fargo Securities, LLC, 1.69% VYVVCKR63DVZZN70PB21 0000276523 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N FORD MOTOR CREDIT CO LLC 2020-07-31 2020-07-31 N/A 6284246.00 6180581.08 Money Market Y N/A N/A 2020-01-07 2020-01-07 2020-01-07 N N N 0.0168 6000000.00 6000000.00 0.0007 N N Y N Wells Fargo Securities, LLC Wells Fargo Securities, LLC, 1.74% VYVVCKR63DVZZN70PB21 0000276523 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N LIBERTY MEDIA CORP DELAWARE SR CV NT1.375%23 549300ZKUTPIBZLWLL89 2023-10-15 2023-10-15 1.375 - 1.375 2043000.00 2732031.54 Equities ARES CAP CORP SR GLBL COCO 22 WEQ82666OJYSI5GUAB47 2022-02-01 2022-02-01 3.75 - 3.75 1563000.00 1632617.32 Equities NIO INC SR CV 144A NT 24 549300JBU4TV5OCKJV96 2024-02-01 2024-02-01 4.5 - 4.5 4217574.00 2069331.60 Equities Y N/A N/A 2020-01-02 2020-01-02 2020-01-02 N N N 0.0173 6000000.00 6000000.00 0.0007 N Y Y N Wells Fargo Securities, LLC Wells Fargo Securities, LLC, 1.76% VYVVCKR63DVZZN70PB21 0000276523 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N SPDR S&P 500 ETF TR TR UNIT 549300NZAMSJ8FXPQQ63 2500-12-31 2500-12-31 N/A 232160.00 74541932.80 Equities Y N/A N/A 2020-01-03 2020-01-03 2020-01-03 N N N 0.0174 69000000.00 69000000.00 0.0077 N N Y N Bank Of America, N.A. In a joint trading account with Bank Of America, N.A. at 1.49%, dated 12/31/2019 due 01/02/2020 B4TYDEB6GKMZO031MB27 FEJ097000_00352 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2041-04-20 2045-02-20 3 - 4.5 4447909.49 1042531.50 Agency Mortgage-Backed Securities Y N/A N/A 2020-01-02 2020-01-02 2020-01-02 N N N 0.0148 1022000.00 1022000.00 0.0001 N Y Y N Bank of Nova Scotia In a joint trading account with Bank of Nova Scotia at 1.49%, dated 12/31/2019 due 01/02/2020 L3I9ZG2KFGXZ61BMYR72 FEJ097000_00324 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-03-31 2027-11-15 1.375 - 2.625 227092.89 231560.01 U.S. Treasuries (including strips) Y N/A N/A 2020-01-02 2020-01-02 2020-01-02 N N N 0.0148 227000.00 227000.00 0.0000 N Y Y N Barclays Bank PLC Barclays Bank PLC, 1.57% G5GSEF7VJP5I7OUK5573 FEI931000 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 2049-07-01 2049-07-01 4 - 4 29322419.00 29582580.70 Agency Mortgage-Backed Securities Y N/A N/A 2020-01-02 2020-01-02 2020-01-02 N N N 0.0156 29000000.00 29000000.00 0.0032 N Y Y N Barclays Bank PLC Barclays Bank PLC, 1.65% G5GSEF7VJP5I7OUK5573 FDJ161000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2037-09-20 2047-11-15 2.5 - 6.5 109978632.00 15321738.82 Agency Mortgage-Backed Securities Y N/A N/A 2020-01-03 2020-01-03 2020-01-03 Y BARCLAYS BANK PLC (GOV REPO) 1.0000 3 N N/A N/A N N 0.0164 15000000.00 15000000.00 0.0017 N N Y N BMO Capital Markets Corp. BMO Capital Markets Corp., 1.65% RUC0QBLBRPRCU4W1NE59 0000772028 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2049-12-15 2056-04-15 2.9 - 3.79 5033035.00 5101402.99 Agency Mortgage-Backed Securities Y N/A N/A 2020-01-07 2020-01-07 2020-01-24 Y BMO CAP MARKETS CORP(GOV REPO) 1.0000 7 N N/A N/A N N 0.0168 4999861.00 4999861.00 0.0006 N N Y N BMO Harris Bank NA BMO Harris Bank NA, 1.65% 3Y4U8VZURTYWI1W2K376 FDI458000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2049-07-01 2049-07-01 3.5 - 3.5 3184664.00 3064769.14 Agency Mortgage-Backed Securities Y N/A N/A 2020-01-03 2020-01-03 2020-01-03 Y BMO CHICAGO BRH IL (GOV REPO) 1.0000 3 N N/A N/A N N 0.0164 3000000.00 3000000.00 0.0003 N N Y N BNP Paribas, SA BNP Paribas, SA, 1.64% R0MUWSFPU8MPRO8K5P83 FEH855000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2024-07-15 2049-05-15 0.125 - 2.875 32900.00 36277.88 U.S. Treasuries (including strips) FEDERAL FARM CREDIT 2038-04-05 2038-04-05 3.98 - 3.98 5856000.00 6024308.60 Agency Debentures and Agency Strips GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2044-02-20 2044-02-20 4 - 4 10483929.00 901444.13 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-11-01 2049-11-01 3 - 3 541823.00 549107.82 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2031-06-01 2050-01-01 3.5 - 5 6392476.00 5753442.33 Agency Mortgage-Backed Securities Y N/A N/A 2020-01-07 2020-01-07 2020-02-24 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0163 13000000.00 13000000.00 0.0014 N N Y N BNP Paribas, SA BNP Paribas, SA, 1.64% R0MUWSFPU8MPRO8K5P83 FEF607000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-02-15 2040-02-15 0 - 2.375 9846844.30 14325634.78 U.S. Treasuries (including strips) Y N/A N/A 2020-01-07 2020-01-07 2020-02-18 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0163 13900000.00 13900000.00 0.0015 N N Y N BNP Paribas, SA BNP Paribas, SA, 1.67% R0MUWSFPU8MPRO8K5P83 FDE855000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-08-31 2048-02-15 0 - 2.875 8558477.64 6076294.64 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2024-05-15 2032-07-15 4 - 6.5 10563.00 1470.89 Agency Debentures and Agency Strips FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 2036-08-08 2036-08-08 2.79 - 2.79 10000.00 10001.62 Agency Debentures and Agency Strips GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2041-09-20 2048-10-20 3.5 - 4.625 22669.00 10017.72 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2030-11-15 2049-12-01 0 - 4.795 622372.00 93090.31 Agency Mortgage-Backed Securities Y N/A N/A 2020-01-02 2020-01-02 2020-01-02 Y BNP PARIBAS (GOV REPO) 1.0000 2 N N/A N/A N N 0.0166 6000000.00 6000000.00 0.0007 N Y Y N Bofa Secs Inc In a joint trading account with Bofa Secs Inc at 1.49%, dated 12/31/2019 due 01/02/2020 8NAV47T0Y26Q87Y0QP81 FEJ097000_00431 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2022-09-30 2048-11-15 1.875 - 4.375 260103943.56 272319075.38 U.S. Treasuries (including strips) Y N/A N/A 2020-01-02 2020-01-02 2020-01-02 N Y Bank of America Corporation 1.0000 N/A N/A N 0.0148 266618000.00 266618000.00 0.0297 N Y Y N BofA Securities, Inc. BofA Securities, Inc., 1.65% 549300HN4UKV1E2R3U73 FDJ160000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2069-11-20 2069-11-20 3.806 - 3.806 13898430.00 15321739.65 Agency Mortgage-Backed Securities Y N/A N/A 2020-01-02 2020-01-02 2020-01-02 Y BANK OF AMERICA CORPORATION 1.0000 2 N N/A N/A Y BANK OF AMERICA CORPORATION 1.0000 N/A N/A N 0.0164 15000000.00 15000000.00 0.0017 N Y Y N BofA Securities, Inc. BofA Securities, Inc., 1.67% 549300HN4UKV1E2R3U73 FDG007000 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 2048-03-01 2048-03-01 3.5 - 3.5 33342840.00 31680139.83 Agency Mortgage-Backed Securities Y N/A N/A 2020-01-07 2020-01-07 2020-01-08 Y BANK OF AMERICA CORPORATION 1.0000 7 N N/A N/A Y BANK OF AMERICA CORPORATION 1.0000 N/A N/A N 0.0166 31000000.00 31000000.00 0.0035 N N Y N Citibank NA In a joint trading account with Citibank NA at 1.49%, dated 12/31/2019 due 01/02/2020 E57ODZWZ7FF32TWEFA76 FEJ097000_00276 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL FARM CREDIT 2020-09-25 2023-12-20 1.75 - 3.5 946.03 955.62 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2020-04-13 2045-12-01 0 - 8 27754.10 5122.59 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2040-08-01 2040-08-01 5 - 5 473.89 47.60 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2020-09-20 2049-10-20 2.5 - 10.5 13707.29 9151.26 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2020-03-27 2048-12-01 1.375 - 9.5 56489.65 23988.46 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2036-10-01 2036-10-01 5 - 5 1445.62 10.17 Agency Mortgage-Backed Securities RESOLUTION FUNDING CORP 2028-01-15 2030-04-15 0 - 8.875 12879.62 10311.40 Agency Debentures and Agency Strips US TREASURY 254900HROIFWPRGM1V77 2020-01-15 2049-11-15 0 - 8.75 897520.67 947491.86 U.S. Treasuries (including strips) FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 2020-03-13 2043-06-22 1.125 - 5.5 62820.34 63204.78 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2021-05-01 2021-05-01 6 - 6 1.22 0.00 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2020-11-01 2023-10-01 5.5 - 5.5 13.22 0.07 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2028-07-01 2028-07-01 3.63 - 3.63 0.63 0.67 Agency Mortgage-Backed Securities TENNESEE VALLEY AUTHORITY 549300HE1ISW43LNKM54 2020-03-15 2061-03-15 0 - 4.875 2290.29 2386.28 Agency Debentures and Agency Strips FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2028-08-01 2028-08-01 3.701 - 3.701 1.95 2.10 Agency Mortgage-Backed Securities Y N/A N/A 2020-01-02 2020-01-02 2020-01-02 N N N 0.0148 1041000.00 1041000.00 0.0001 N Y Y N Deutsche Bank AG, New York Deutsche Bank AG, New York, 1.57% 7LTWFZYICNSX8D621K86 FEI950000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL HOME LOAN MORTGAGE CORP 2046-11-15 2046-11-15 3.75 - 3.75 9992909.00 10300898.78 Agency Mortgage-Backed Securities Y N/A N/A 2020-01-02 2020-01-02 2020-01-02 N N N 0.0156 10000000.00 10000000.00 0.0011 N Y Y N Goldman Sachs & Co. Goldman Sachs & Co., 1.56% 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 MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2048-10-20 2048-10-20 4.5 - 4.5 68058499.00 44883889.68 Agency Mortgage-Backed Securities Y N/A N/A 2020-01-02 2020-01-02 2020-01-02 N N N 0.0155 44000000.00 44000000.00 0.0049 N Y Y N HSBC Securities (USA), Inc. In a joint trading account with HSBC Securities (USA), Inc. at 1.49%, dated 12/31/2019 due 01/02/2020 CYYGQCGNHMHPSMRL3R97 FEJ097000_03556 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N RESOLUTION FUNDING CORP 2026-10-15 2026-10-15 0 - 0 0.38 0.34 Agency Debentures and Agency Strips US TREASURY 254900HROIFWPRGM1V77 2045-08-15 2045-08-15 2.875 - 2.875 16752.13 18557.49 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 2020-04-13 2031-07-15 0 - 1.52 20464.63 20217.58 Agency Debentures and Agency Strips GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2038-05-20 2049-08-20 3 - 5.5 123379.49 125617.55 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2026-09-24 2026-09-24 1.875 - 1.875 21.47 21.54 Agency Debentures and Agency Strips Y N/A N/A 2020-01-02 2020-01-02 2020-01-02 N N N 0.0148 161000.00 161000.00 0.0000 N Y Y N J.P. Morgan Securities, LLC J.P. Morgan Securities, LLC, 1.56% ZBUT11V806EZRVTWT807 0001287279 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 2049-10-25 2049-11-25 3 - 3.5 1136034.00 1102434.82 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2049-06-25 2049-06-25 3 - 3 212143.00 209684.11 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2037-12-25 2037-12-25 3.612 - 3.612 12232992.00 8142257.82 Agency Collateralized Mortgage Obligation FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2028-04-01 2047-12-01 3.5 - 5 45590332.00 5938739.34 Agency Mortgage-Backed Securities Y N/A N/A 2020-01-07 2020-01-07 2020-01-31 Y JPMORGAN SECS LLC (GOV REPO) 1.0000 7 N N/A N/A N N 0.0155 15000000.00 15000000.00 0.0017 N N Y N Jp Morgan Secs Llc In a joint trading account with Jp Morgan Secs Llc at 1.49%, dated 12/31/2019 due 01/02/2020 ZBUT11V806EZRVTWT807 FEJ097000_00267 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 2040-09-01 2040-09-01 5 - 5 417.12 27.65 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2023-04-01 2048-11-01 4.5 - 5 1446.79 1199.57 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2027-11-01 2028-02-01 5 - 6 1267.30 40.42 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2026-05-01 2049-02-01 3 - 6 6194.11 4146.82 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2039-04-01 2039-04-01 5 - 5 4042.69 99.42 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2039-08-01 2039-08-01 4 - 4 473.49 462.82 Agency Mortgage-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2020-12-31 2028-08-15 1.75 - 2.875 2412593.35 2508498.08 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2034-12-01 2034-12-01 7 - 7 269.42 10.71 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2033-06-01 2033-06-01 5.5 - 5.5 133.79 4.99 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-11-01 2049-12-01 2.5 - 3 6736.53 6847.70 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2034-05-01 2034-05-01 4.5 - 4.5 622.17 636.65 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-08-01 2049-09-01 3 - 4 11391.14 11736.44 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2047-08-01 2047-08-01 4.5 - 4.5 1005.64 852.59 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-07-01 2049-07-01 4.5 - 4.5 547.31 597.06 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2047-12-01 2047-12-01 4.5 - 4.5 934.43 702.50 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-06-01 2049-06-01 3.5 - 3.5 7407.82 7176.62 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2035-03-01 2035-03-01 5 - 5 1859.37 43.19 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2034-12-01 2034-12-01 3 - 3 32176.74 33106.22 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2038-12-01 2038-12-01 5.5 - 5.5 1052.54 1014.42 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2039-02-01 2039-02-01 4 - 4 980.22 717.42 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2021-04-01 2051-02-25 2.106 - 7.5 1001345.19 239610.75 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-05-01 2049-06-01 4 - 4.5 45492.12 44448.05 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-07-01 2048-09-01 4 - 4.5 802.55 597.02 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2025-08-20 2060-05-15 2 - 8 1504795.09 860174.13 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-09-01 2048-09-01 4 - 4 426.56 431.00 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2021-01-01 2059-08-25 2.28 - 6.383 934332.74 234840.52 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2024-08-01 2024-08-01 7 - 7 2092.79 4.39 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2023-11-01 2030-03-01 5 - 5.5 17810.85 428.80 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-09-01 2049-09-01 3.5 - 3.5 6127.43 6362.99 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2023-05-01 2023-05-01 5 - 5 2285.80 23.30 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2026-03-01 2045-12-01 4 - 4.5 1050.31 647.64 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2033-04-01 2033-07-01 4 - 4 1145.92 965.02 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2041-05-01 2041-07-01 5 - 5 2152.45 240.55 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2047-06-01 2048-02-01 3.5 - 3.5 36623.07 33594.06 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2029-11-01 2029-11-01 2.5 - 2.5 420.01 178.75 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2041-04-01 2041-04-01 5.5 - 5.5 46.71 12.84 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2044-03-01 2044-03-01 4 - 4 10.43 3.17 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2026-03-01 2028-05-01 5 - 6 1518.60 98.73 Agency Mortgage-Backed Securities Y N/A N/A 2020-01-02 2020-01-02 2020-01-02 N N N 0.0148 3919000.00 3919000.00 0.0004 N Y Y N Jp Morgan Secs Llc In a joint trading account with Jp Morgan Secs Llc at 1.62%, dated 12/31/2019 due 01/02/2020 ZBUT11V806EZRVTWT807 FEJ073000_00267 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 2040-09-01 2040-09-01 5 - 5 17.77 1.18 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2023-04-01 2048-11-01 4.5 - 5 61.65 51.12 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2027-11-01 2028-02-01 5 - 6 54.00 1.72 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2026-05-01 2049-02-01 3 - 6 263.95 176.71 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2039-04-01 2039-04-01 5 - 5 172.27 4.24 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2039-08-01 2039-08-01 4 - 4 20.18 19.72 Agency Mortgage-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2020-12-31 2028-08-15 1.75 - 2.875 102807.63 106894.41 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2034-12-01 2034-12-01 7 - 7 11.48 0.46 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2033-06-01 2033-06-01 5.5 - 5.5 5.70 0.21 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-11-01 2049-12-01 2.5 - 3 287.06 291.80 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2034-05-01 2034-05-01 4.5 - 4.5 26.51 27.13 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-08-01 2049-09-01 3 - 4 485.41 500.12 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2047-08-01 2047-08-01 4.5 - 4.5 42.85 36.33 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-07-01 2049-07-01 4.5 - 4.5 23.32 25.44 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2047-12-01 2047-12-01 4.5 - 4.5 39.82 29.94 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-06-01 2049-06-01 3.5 - 3.5 315.67 305.82 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2035-03-01 2035-03-01 5 - 5 79.23 1.84 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2034-12-01 2034-12-01 3 - 3 1371.14 1410.75 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2038-12-01 2038-12-01 5.5 - 5.5 44.85 43.23 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2039-02-01 2039-02-01 4 - 4 41.77 30.57 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2021-04-01 2051-02-25 2.106 - 7.5 42670.23 10210.51 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-05-01 2049-06-01 4 - 4.5 1938.55 1894.06 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-07-01 2048-09-01 4 - 4.5 34.20 25.44 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2025-08-20 2060-05-15 2 - 8 64123.70 36654.52 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-09-01 2048-09-01 4 - 4 18.18 18.37 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2021-01-01 2059-08-25 2.28 - 6.383 39814.64 10007.24 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2024-08-01 2024-08-01 7 - 7 89.18 0.19 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2023-11-01 2030-03-01 5 - 5.5 758.97 18.27 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-09-01 2049-09-01 3.5 - 3.5 261.11 271.15 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2023-05-01 2023-05-01 5 - 5 97.40 0.99 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2026-03-01 2045-12-01 4 - 4.5 44.76 27.60 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2033-04-01 2033-07-01 4 - 4 48.83 41.12 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2041-05-01 2041-07-01 5 - 5 91.72 10.25 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2047-06-01 2048-02-01 3.5 - 3.5 1560.62 1431.54 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2029-11-01 2029-11-01 2.5 - 2.5 17.90 7.62 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2041-04-01 2041-04-01 5.5 - 5.5 1.99 0.55 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2044-03-01 2044-03-01 4 - 4 0.44 0.13 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2026-03-01 2028-05-01 5 - 6 64.71 4.21 Agency Mortgage-Backed Securities Y N/A N/A 2020-01-02 2020-01-02 2020-01-02 N N N 0.0161 167000.00 167000.00 0.0000 N Y Y N Mitsubishi Ufj Secs Hldgs Ltd In a joint trading account with Mitsubishi Ufj Secs Hldgs Ltd at 1.49%, dated 12/31/2019 due 01/02/2020 ZOMOLU8CGIZRYZ7PFU34 FEJ097000_76664 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-02-29 2029-05-15 1.125 - 3.125 3056874.29 3124030.98 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2040-11-01 2040-11-01 4 - 4 14693.77 2004.38 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2044-03-01 2049-04-01 3.5 - 4.5 110069.93 93641.61 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2039-07-15 2049-11-20 3 - 5 67139.43 6559.27 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-11-01 2049-11-01 3 - 3 3958.40 4038.06 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2037-11-01 2056-06-01 3.5 - 6 754691.36 433881.06 Agency Mortgage-Backed Securities Y N/A N/A 2020-01-02 2020-01-02 2020-01-02 N N N 0.0148 3592000.00 3592000.00 0.0004 N Y Y N Mitsubishi Ufj Securities (USA In a joint trading account with Mitsubishi Ufj Securities (USA at 1.49%, dated 12/31/2019 due 01/02/2020 K5HU16E3LMSVCCJJJ255 FEJ097000_12878 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N RESOLUTION FUNDING CORP 2026-01-15 2030-04-15 0 - 0 1125293.33 933657.32 Agency Debentures and Agency Strips GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 2046-11-20 2046-11-20 3.5 - 3.5 4404.71 4254.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2032-11-20 2049-11-20 2.5 - 5.45 2416913.28 1388910.32 Agency Mortgage-Backed Securities Y N/A N/A 2020-01-02 2020-01-02 2020-01-02 N N N 0.0148 2281000.00 2281000.00 0.0003 N Y Y N Mizuho Securities USA, Inc. In a joint trading account with Mizuho Securities USA, Inc. at 1.49%, dated 12/31/2019 due 01/02/2020 7TK5RJIZDFROZCA6XF66 FEJ097000_08126 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 2049-08-01 2049-08-01 4 - 4 304198.08 325972.36 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2031-06-01 2034-05-01 3.83 - 4.04 16690.77 18025.02 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-07-01 2049-07-01 4.5 - 4.5 163504.62 178836.30 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2034-12-01 2034-12-01 3 - 3 17286.95 17793.48 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2029-06-01 2031-07-01 3 - 3.225 701746.37 736553.15 Agency Mortgage-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2020-01-15 2049-05-15 0.125 - 8.125 9907817.41 11490667.11 U.S. Treasuries (including strips) FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2025-09-01 2048-10-01 3.34 - 4.59 55892.12 59276.27 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2029-03-01 2029-03-01 3.48 - 3.48 823.56 874.94 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-05-01 2049-01-01 3.5 - 4.5 21599.17 21249.75 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2039-09-20 2049-12-20 2 - 4 269282.25 222467.35 Agency Collateralized Mortgage Obligation FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2045-09-01 2048-12-01 4.5 - 4.5 7686.54 6627.61 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-12-01 2049-12-01 3 - 3 1507828.17 1534615.74 Agency Mortgage-Backed Securities Y N/A N/A 2020-01-02 2020-01-02 2020-01-02 N N N 0.0148 14275000.00 14275000.00 0.0016 N Y Y N Morgan Stanley & Co., LLC Morgan Stanley & Co., LLC, 1.57% 9R7GPTSO7KV3UQJZQ078 0000068136 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2028-05-15 2039-08-15 2.875 - 4.5 1800.00 2447.56 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2025-04-01 2025-04-01 9.5 - 9.5 100834.00 43.63 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2034-07-01 2034-07-01 3.5 - 3.5 1497058.00 1529546.95 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2046-12-01 2046-12-01 3 - 3 393886.00 339139.60 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-01-01 2050-01-01 3 - 3 2939510.00 3022129.83 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2027-10-01 2048-02-01 2.5 - 7.5 42550569.00 13733878.61 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2024-01-01 2033-11-01 4 - 6 2605538.00 1522559.15 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2025-10-01 2025-10-01 4 - 4 500000.00 41148.33 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2031-04-01 2049-12-01 3 - 6.5 13002423.00 9391686.58 Agency Mortgage-Backed Securities Y N/A N/A 2020-01-02 2020-01-02 2020-01-02 N N N 0.0156 29000000.00 29000000.00 0.0032 N Y Y N Nomura Securities Internationa In a joint trading account with Nomura Securities Internationa at 1.49%, dated 12/31/2019 due 01/02/2020 OXTKY6Q8X53C9ILVV871 FEJ097000_07426 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 2049-06-01 2049-06-01 4.5 - 4.5 10536.45 11479.28 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2020-11-01 2049-04-01 2.5 - 9 2065843.61 157094.99 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-08-01 2049-09-01 4 - 5 27712.29 26865.95 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2024-05-20 2069-03-20 2.5 - 7.5 1957498.41 1638654.00 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-11-01 2049-01-01 4 - 4 62039.60 45532.27 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2020-02-01 2055-09-01 2.86 - 8.5 3429348.10 2621168.09 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-07-01 2049-12-01 3 - 4.5 964414.53 921463.50 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-02-01 2048-02-01 3.5 - 3.5 94.34 85.38 Agency Mortgage-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2024-12-31 2026-06-30 1.625 - 7.625 8867069.65 9130404.52 U.S. Treasuries (including strips) FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2027-06-01 2029-07-01 2.65 - 2.95 13443.57 13882.79 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-10-01 2049-10-01 3 - 3 9270.50 9326.16 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2026-02-01 2029-01-01 3.575 - 3.62 57543.18 61263.03 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-07-01 2048-07-01 3.5 - 3.5 2188505.98 1662768.77 Agency Mortgage-Backed Securities Y N/A N/A 2020-01-02 2020-01-02 2020-01-02 N N N 0.0148 15979000.00 15979000.00 0.0018 N Y Y N RBC Dominion Securities RBC Dominion Securities, 1.65% 549300QJJX6CVVUXLE15 FEB392000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-01-23 2045-02-15 0 - 3 8862200.00 10287339.17 U.S. Treasuries (including strips) GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2047-05-20 2047-05-20 3.5 - 3.5 19796.00 13926.57 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2036-09-01 2049-12-01 2.5 - 5.5 33902.00 8747.11 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-09-01 2049-09-01 3 - 3 1113.00 1110.15 Agency Mortgage-Backed Securities Y N/A N/A 2020-01-07 2020-01-07 2020-02-10 Y RBC DOMINION SECS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0164 10000000.00 10000000.00 0.0011 N N Y N RBC Dominion Securities RBC Dominion Securities, 1.81% 549300QJJX6CVVUXLE15 FEG283000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-01-23 2045-02-15 0 - 1.625 18131100.00 14674680.31 U.S. Treasuries (including strips) FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2041-09-01 2049-06-01 3.5 - 4.5 846995.00 766078.49 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-11-01 2049-11-01 2.5 - 2.5 12672.00 12489.49 Agency Mortgage-Backed Securities Y N/A N/A 2020-01-03 2020-01-03 2020-01-03 Y RBC DOMINION SECS (GOV REPO) 1.0000 3 N N/A N/A N N 0.0179 15000000.00 15000000.00 0.0017 N N Y N Societe Generale (PARIS) In a joint trading account with Societe Generale (PARIS) at 1.49%, dated 12/31/2019 due 01/02/2020 O2RNE8IBXP4R0TD8PU41 FEJ097000_14519 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-05-31 2048-05-15 0 - 6.75 1375289.18 1446160.32 U.S. Treasuries (including strips) Y N/A N/A 2020-01-02 2020-01-02 2020-01-02 N N N 0.0148 1416000.00 1416000.00 0.0002 N Y Y N Sumitomo Mitsu Bk Corp Ny (DI) In a joint trading account with Sumitomo Mitsu Bk Corp Ny (DI) at 1.49%, dated 12/31/2019 due 01/02/2020 5U0XI89JRFVHWIBS4F54 FEJ097000_10193 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-12-31 2044-08-15 1.5 - 3.125 9497382.98 9734847.13 U.S. Treasuries (including strips) GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2042-08-20 2048-04-20 3 - 4 19558574.16 13838118.86 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2046-11-01 2049-09-01 3 - 4 53777282.54 44811583.53 Agency Mortgage-Backed Securities Y N/A N/A 2020-01-02 2020-01-02 2020-01-02 N N N 0.0148 67031000.00 67031000.00 0.0075 N Y Y N Sumitomo Mitsui Bk Corp (REPO) In a joint trading account with Sumitomo Mitsui Bk Corp (REPO) at 1.49%, dated 12/31/2019 due 01/02/2020 5U0XI89JRFVHWIBS4F54 FEJ097000_77387 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2049-08-20 2049-10-20 2.5 - 3 3282438.05 3328339.61 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2049-05-01 2050-01-01 2.5 - 3.5 35332647.67 33826834.96 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-10-01 2049-10-01 3 - 3 2011789.47 2022475.55 Agency Mortgage-Backed Securities Y N/A N/A 2020-01-02 2020-01-02 2020-01-02 N N N 0.0148 38224000.00 38224000.00 0.0043 N Y Y N Wells Fargo Securities LLC In a joint trading account with Wells Fargo Securities LLC at 1.49%, dated 12/31/2019 due 01/02/2020 VYVVCKR63DVZZN70PB21 FEJ097000_08395 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2021-01-31 2026-05-31 2 - 3.125 47596305.14 48690486.95 U.S. Treasuries (including strips) FEDERAL FARM CREDIT 2020-06-08 2020-06-08 4.55 - 4.55 213.56 216.78 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2022-11-25 2052-07-25 2.75 - 5.697 5057541.68 4664601.58 Agency Collateralized Mortgage Obligation GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2028-08-20 2049-12-20 1.5 - 6 193966592.53 162032833.42 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC 2024-09-06 2036-03-25 1.779 - 2.625 41492.13 6054.30 Agency Collateralized Mortgage Obligation Y N/A N/A 2020-01-02 2020-01-02 2020-01-02 N N N 0.0148 211108000.00 211108000.00 0.0235 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 1.75% 9128287G9 254900HROIFWPRGM1V77 US9128287G95 U.S. Treasury Debt Y N/A N/A 2020-01-02 2021-07-31 2021-07-31 N N N 0.0172 100042795.00 100042795.00 0.0111 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 1.83% 912828YN4 254900HROIFWPRGM1V77 US912828YN43 U.S. Treasury Debt Y N/A N/A 2020-01-02 2021-10-31 2021-10-31 N N N 0.0173 307515778.42 307515778.42 0.0343 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 1.65% 912828MF4 254900HROIFWPRGM1V77 US912828MF47 U.S. Treasury Debt Y N/A N/A 2020-01-15 2020-01-15 2020-01-15 N N N 0.0094 220146114.26 220146114.26 0.0245 N Y Y N Mizuho Bank Ltd. Mizuho Bank Ltd., 1.58% RB0PEZSDGCO3JS6CEU02 FEI953000 Non-Negotiable Time Deposit Y N/A N/A 2020-01-02 2020-01-02 2020-01-02 N N N 0.0157 87000000.00 87000000.00 0.0097 N Y Y N Royal Bank of Canada Royal Bank of Canada, 2.00% ES7IP3U3RHIGC71XBU11 FEI757000 Non-Negotiable Time Deposit Y N/A N/A 2020-01-06 2020-01-06 2020-01-06 N N N 0.0200 29999898.00 29999898.00 0.0033 N N Y N Societe Generale Societe Generale, 1.58% O2RNE8IBXP4R0TD8PU41 FEI945000 Non-Negotiable Time Deposit Y N/A N/A 2020-01-02 2020-01-02 2020-01-02 N N N 0.0157 54000000.00 54000000.00 0.0060 N Y Y N Societe Generale Societe Generale, 1.62% O2RNE8IBXP4R0TD8PU41 FEI955000 Non-Negotiable Time Deposit Y N/A N/A 2020-01-07 2020-01-07 2020-01-07 N N N 0.0163 53999789.40 53999789.40 0.0060 N N Y N Florida Timber Fin. III LLC Taxable Florida Timber Fin. III LLC Taxable, 1.80% LOC Wells Fargo Bank NA VRDN 343217AA3 US343217AA35 Variable Rate Demand Note Y N/A N/A 2020-01-07 2020-01-07 2024-09-03 Y WELLS FARGO BK NATL ASSN 1.0000 7 N N/A N/A Y WELLS FARGO BK NATL ASSN 1.0000 N/A N/A N 0.0180 25155000.00 25155000.00 0.0028 N N Y N Toyota Motor Credit Corp. Toyota Motor Credit Corp., 1.91% Z2VZBHUMB7PWWJ63I008 0000834071 Other Instrument Master Notes Y N/A N/A 2020-01-02 2020-01-07 2020-02-28 Y TOYOTA MOTOR CREDIT CORP 1.0000 7 N N/A N/A N N 0.0190 87000000.00 87000000.00 0.0097 N N Y N Societe Generale Societe Generale, 1.98% O2RNE8IBXP4R0TD8PU41 FEJ042000 Other Instrument Forward Settling Repurchase Agreements Y N/A N/A 2020-01-31 2020-01-31 2020-01-31 N N N 0.0196 18000000.00 18000000.00 0.0020 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. Treasury securities as collateral on settlement date. Fidelity Colchester Street Trust: Prime Money Market Portfolio 2020-01-03 Laura M. Del Prato Laura M. Del Prato President and Treasurer