N-MFP2 0000356173 XXXXXXXX 2020-01-31 0000356173 549300L6Y0PMNIGY0428 S000054090 5 N N 002-74808 Fidelity Management & Research Company LLC (FMR) 801-07884 FMR Investment Management (U.K.) Limited 801-28773 Fidelity Management & Research (Hong Kong) Limited 801-69507 Fidelity Management & Research (Japan) Limited 801-69571 DELOITTE & TOUCHE LLP BOSTON MA None Fidelity Investments Instit. Operations Co. LLC 0000862124 084-01839 N N N Prime N 24 52 3138827071.77 3252163859.95 3515894613.73 3296911563.77 3670548957.57 4890855132.21 4897151596.55 4888579200.43 4868870750.47 5012496535.07 0.3200 0.3300 0.3500 0.3300 0.3700 0.5000 0.5000 0.4900 0.5000 0.5100 369.23 9728078329.48 9726405771.66 56315097.99 85982868.42 9698410928.28 9725359230.72 0.0181 1.0003 1.0004 1.0004 1.0004 1.0004 C000170006 1000000.00 4347802241.53 4359946345.52 1.0003 1.0004 1.0004 1.0004 1.0004 78544678.23 80611579.65 138738294.88 104173663.78 131252695.25 82565809.87 100504157.44 128047345.12 117235905.18 92702703.54 525239325.68 449727864.45 0.0163 Y Fidelity Investments, Reimbursement Fees, -128854.99; C000170007 1000000.00 16300922.56 16346234.54 1.0004 1.0004 1.0004 1.0004 1.0004 22335.84 0.00 0.00 65000.00 3000000.00 0.00 910.01 1007748.73 1571.33 3135595.21 3024817.18 4208343.94 0.0148 Y Fidelity Investments, Reimbursement Fees, -513.71; C000170008 1000000.00 1124445.78 1127640.01 1.0003 1.0004 1.0004 1.0004 1.0004 1326.96 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1326.96 0.00 0.0138 Y Fidelity Investments, Reimbursement Fees, -29.43; C000170009 1000000.00 3039923.72 3048486.82 1.0004 1.0004 1.0004 1.0004 1.0004 2762.68 35361.95 0.00 10100.00 0.00 0.00 0.00 0.00 375000.00 0.00 377718.16 45461.95 0.0158 Y Fidelity Investments, Reimbursement Fees, -80.51; C000170010 10000000.00 5330143394.69 5344890523.84 1.0003 1.0004 1.0004 1.0004 1.0004 301405668.40 141656249.33 82189501.01 69161051.52 126382295.43 143148923.70 131549849.21 94656266.41 116471497.17 136372350.01 706522382.72 517777829.00 0.0167 Y Fidelity Investments, Reimbursement Fees, -206092.15; Bank of Montreal Bank of Montreal, 1.86% 06370RS75 NQQ6HPCNCCU6TUTQYE16 US06370RS759 0000927971 Certificate of Deposit Y N/A N/A 2020-02-18 2020-04-17 2020-04-17 N N N 0.0175 65014170.00 65014170.00 0.0067 N N N N Bank of Montreal Bank of Montreal, 2.00% 06367BAC3 NQQ6HPCNCCU6TUTQYE16 US06367BAC37 0000927971 Certificate of Deposit Y N/A N/A 2020-03-20 2020-09-02 2020-09-02 N N N 0.0194 32010873.60 32010873.60 0.0033 N N N N Bank of Montreal Bank of Montreal, 2.01% 06367BAM1 NQQ6HPCNCCU6TUTQYE16 US06367BAM19 0000927971 Certificate of Deposit Y N/A N/A 2020-02-24 2020-08-24 2020-08-24 N N N 0.0194 16006150.40 16006150.40 0.0017 N N N N Bank of Montreal Bank of Montreal, 2.01% 06367BAQ2 NQQ6HPCNCCU6TUTQYE16 US06367BAQ23 0000927971 Certificate of Deposit Y N/A N/A 2020-02-27 2020-08-27 2020-08-27 N N N 0.0195 23007677.40 23007677.40 0.0024 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 0.0192 60022614.00 60022614.00 0.0062 N N N N Bank of Nova Scotia Bank of Nova Scotia, 1.99% 06417MBD6 L3I9ZG2KFGXZ61BMYR72 0000009631 Certificate of Deposit Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0158 33011196.90 33011196.90 0.0034 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 0.0160 12006027.60 12006027.60 0.0012 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 0.0160 15007906.50 15007906.50 0.0015 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 0.0160 60017820.00 60017820.00 0.0062 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 0.0161 45014742.00 45014742.00 0.0046 N N N N Barclays Bank PLC Barclays Bank PLC, 1.75% 06742TRA6 G5GSEF7VJP5I7OUK5573 0000312070 Certificate of Deposit Y N/A N/A 2020-05-04 2020-05-04 2020-05-04 N N N 0.0171 23001913.60 23001913.60 0.0024 N N N N Barclays Bank PLC Barclays Bank PLC, 1.90% 06742TQU3 G5GSEF7VJP5I7OUK5573 0000312070 Certificate of Deposit Y N/A N/A 2020-03-31 2020-03-31 2020-03-31 N N N 0.0165 29011463.70 29011463.70 0.0030 N N N N Bayerische Landesbank Bayerische Landesbank, 1.62% 0727MAY62 VDYMYTQGZZ6DU0912C88 FGA767000 Certificate of Deposit Y N/A N/A 2020-02-07 2020-02-07 2020-02-07 N N N 0.0161 20000000.00 20000000.00 0.0021 N N Y 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 0.0162 45010602.00 45010602.00 0.0046 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 0.0165 27007184.70 27007184.70 0.0028 N N N N Credit Suisse AG Credit Suisse AG, 1.90% 22549LJ30 ANGGYXNX0JLX3X63JN86 0001053092 Certificate of Deposit Y N/A N/A 2020-03-13 2020-03-13 2020-03-13 N N N 0.0165 32008611.20 32008611.20 0.0033 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 0.0166 31008627.30 31008627.30 0.0032 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 0.0167 31008701.70 31008701.70 0.0032 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 0.0167 28007954.80 28007954.80 0.0029 N N N N Credit Suisse AG Credit Suisse AG, 1.90% 22549LR31 ANGGYXNX0JLX3X63JN86 0001053092 Certificate of Deposit Y N/A N/A 2020-03-26 2020-03-26 2020-03-26 N N N 0.0169 30009015.00 30009015.00 0.0031 N N N N Credit Suisse AG Credit Suisse AG, 1.90% 22549LR72 ANGGYXNX0JLX3X63JN86 0001053092 Certificate of Deposit Y N/A N/A 2020-03-27 2020-03-27 2020-03-27 N N N 0.0169 32009689.60 32009689.60 0.0033 N N N N Landesbank Baden-Wuerttemberg New York Branch Landesbank Baden-Wuerttemberg New York Branch, 1.61% 51501GQN4 B81CK4ESI35472RHJ606 0000878519 Certificate of Deposit Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0160 49999975.00 49999975.00 0.0052 N Y Y N Landesbank Baden-Wuerttemberg New York Branch Landesbank Baden-Wuerttemberg New York Branch, 1.62% 51501GQP9 B81CK4ESI35472RHJ606 0000878519 Certificate of Deposit Y N/A N/A 2020-02-04 2020-02-04 2020-02-04 N N N 0.0161 99000019.80 99000019.80 0.0102 N N Y N Landesbank Baden-Wuerttemberg New York Branch Landesbank Baden-Wuerttemberg New York Branch, 1.62% 51501GQQ7 B81CK4ESI35472RHJ606 0000878519 Certificate of Deposit Y N/A N/A 2020-02-05 2020-02-05 2020-02-05 N N N 0.0161 50000000.00 50000000.00 0.0052 N N Y N Landesbank Baden-Wuerttemberg New York Branch Landesbank Baden-Wuerttemberg New York Branch, 1.63% 51501GQT1 B81CK4ESI35472RHJ606 0000878519 Certificate of Deposit Y N/A N/A 2020-02-07 2020-02-07 2020-02-07 N N N 0.0162 82000000.00 82000000.00 0.0085 N N Y N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 1.80% 60683BYC1 JBONEPAGQXF4QP29B387 US60683BYC17 0001462160 Certificate of Deposit Y N/A N/A 2020-02-19 2020-05-19 2020-05-19 N N N 0.0177 19001031.70 19001031.70 0.0020 N N N N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 1.83% 60683BXV0 JBONEPAGQXF4QP29B387 US60683BXV07 0001462160 Certificate of Deposit Y N/A N/A 2020-02-13 2020-05-13 2020-05-13 N N N 0.0179 9000806.40 9000806.40 0.0009 N N N N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 1.83% 60683BXW8 JBONEPAGQXF4QP29B387 US60683BXW89 0001462160 Certificate of Deposit Y N/A N/A 2020-02-14 2020-05-14 2020-05-14 N N N 0.0179 16001547.20 16001547.20 0.0016 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 0.0160 12000763.20 12000763.20 0.0012 N N Y N Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 1.84% 60710AHY1 RB0PEZSDGCO3JS6CEU02 US60710AHY10 Certificate of Deposit Y N/A N/A 2020-02-13 2020-05-13 2020-05-13 N N N 0.0172 23007769.40 23007769.40 0.0024 N N N N Natexis Banques Populaires New York Branch Natexis Banques Populaires New York Branch, 1.81% 63873QCY8 KX1WK48MPD4Y2NCUIZ63 0001274981 Certificate of Deposit Y N/A N/A 2020-04-24 2020-04-24 2020-04-24 N N N 0.0165 100034920.00 100034920.00 0.0103 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 0.0160 43008088.30 43008088.30 0.0044 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 0.0192 28008229.20 28008229.20 0.0029 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 0.0193 93031945.50 93031945.50 0.0096 N N N N Royal Bank of Canada Royal Bank of Canada, 2.00% 78012URR8 ES7IP3U3RHIGC71XBU11 US78012URR85 0001000275 Certificate of Deposit Y N/A N/A 2020-02-27 2020-08-27 2020-08-27 N N N 0.0195 20005558.00 20005558.00 0.0021 N N N N Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 1.80% 86565B5A5 5U0XI89JRFVHWIBS4F54 US86565B5A50 0001184915 Certificate of Deposit Y N/A N/A 2020-02-18 2020-05-18 2020-05-18 N N N 0.0175 41004776.50 41004776.50 0.0042 N N N N Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 1.98% 86565B4F5 5U0XI89JRFVHWIBS4F54 0001184915 Certificate of Deposit Y N/A N/A 2020-02-10 2020-05-08 2020-05-08 N N N 0.0186 94029177.60 94029177.60 0.0097 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 0.0156 28001430.80 28001430.80 0.0029 N N Y N Sumitomo Mitsui Trust Bank Ltd. Sumitomo Mitsui Trust Bank Ltd., 1.78% 86564F5D1 5493006GGLR4BTEL8O61 US86564F5D10 0001046017 Certificate of Deposit Y N/A N/A 2020-02-21 2020-05-21 2020-05-21 N N N 0.0177 16999962.60 16999962.60 0.0018 N N N N Sumitomo Mitsui Trust Bank Ltd. Sumitomo Mitsui Trust Bank Ltd., 1.78% 86564F5C3 5493006GGLR4BTEL8O61 US86564F5C37 0001046017 Certificate of Deposit Y N/A N/A 2020-02-24 2020-05-22 2020-05-22 N N N 0.0177 12000009.60 12000009.60 0.0012 N N N N Sumitomo Mitsui Trust Bank Ltd. Sumitomo Mitsui Trust Bank Ltd., 1.83% 86564F4H3 5493006GGLR4BTEL8O61 US86564F4H33 0001046017 Certificate of Deposit Y N/A N/A 2020-02-11 2020-05-11 2020-05-11 N N N 0.0180 6000307.80 6000307.80 0.0006 N N N N Sumitomo Mitsui Trust Bank Ltd. Sumitomo Mitsui Trust Bank Ltd., 1.83% 86564F4J9 5493006GGLR4BTEL8O61 US86564F4J98 0001046017 Certificate of Deposit Y N/A N/A 2020-02-12 2020-05-12 2020-05-12 N N N 0.0180 29001592.10 29001592.10 0.0030 N N N N Sumitomo Mitsui Trust Bank Ltd. Sumitomo Mitsui Trust Bank Ltd., 1.83% 86564F4K6 5493006GGLR4BTEL8O61 US86564F4K61 0001046017 Certificate of Deposit Y N/A N/A 2020-02-14 2020-05-14 2020-05-14 N N N 0.0180 18001175.40 18001175.40 0.0019 N N N N Sumitomo Mitsui Trust Bank Ltd. Sumitomo Mitsui Trust Bank Ltd., 1.90% 86564F2Y8 5493006GGLR4BTEL8O61 0001046017 Certificate of Deposit Y N/A N/A 2020-03-25 2020-03-25 2020-03-25 N N N 0.0166 15005164.50 15005164.50 0.0015 N N N N Sumitomo Mitsui Trust Bank Ltd. Sumitomo Mitsui Trust Bank Ltd., 1.90% 86564F2X0 5493006GGLR4BTEL8O61 0001046017 Certificate of Deposit Y N/A N/A 2020-03-26 2020-03-26 2020-03-26 N N N 0.0166 9003141.90 9003141.90 0.0009 N N N N Sumitomo Mitsui Trust Bank Ltd. Sumitomo Mitsui Trust Bank Ltd., 1.90% 86564F3A9 5493006GGLR4BTEL8O61 0001046017 Certificate of Deposit Y N/A N/A 2020-04-03 2020-04-03 2020-04-03 N N N 0.0166 15005812.50 15005812.50 0.0015 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 0.0167 14008398.60 14008398.60 0.0014 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 0.0168 14009350.60 14009350.60 0.0014 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 0.0162 48519758.90 48519758.90 0.0050 N N N 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 0.0160 60981443.80 60981443.80 0.0063 N N Y 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 0.0162 12003355.20 12003355.20 0.0012 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 0.0162 12003355.20 12003355.20 0.0012 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 0.0164 15005497.50 15005497.50 0.0015 N N N N Credit Agricole SA London Branch Credit Agricole SA London Branch, 1.74% 969500TJ5KRTCJQWXH05 XS2113772086 Certificate of Deposit Y N/A N/A 2020-05-04 2020-05-04 2020-05-04 N N N 0.0174 30999119.60 30999119.60 0.0032 N N N N Credit Agricole SA London Branch Credit Agricole SA London Branch, 1.79% 969500TJ5KRTCJQWXH05 XS2106850733 Certificate of Deposit Y N/A N/A 2020-05-18 2020-05-18 2020-05-18 N N N 0.0174 31003583.60 31003583.60 0.0032 N N N N Credit Agricole SA London Branch Credit Agricole SA London Branch, 1.90% 969500TJ5KRTCJQWXH05 XS2082471405 Certificate of Deposit Y N/A N/A 2020-03-18 2020-03-18 2020-03-18 N N N 0.0165 45902319.00 45902319.00 0.0047 N N N N Credit Agricole SA London Branch Credit Agricole SA London Branch, 1.90% 969500TJ5KRTCJQWXH05 XS2082816666 Certificate of Deposit Y N/A N/A 2020-03-19 2020-03-19 2020-03-19 N N N 0.0165 39913256.00 39913256.00 0.0041 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 0.0171 61015927.10 61015927.10 0.0063 N N N N Credit Agricole SA London Branch Credit Agricole SA London Branch, 1.90% 969500TJ5KRTCJQWXH05 XS2087758806 Certificate of Deposit Y N/A N/A 2020-03-27 2020-03-27 2020-03-27 N N N 0.0160 27011901.60 27011901.60 0.0028 N N N N DZ Bank AG London Branch DZ Bank AG London Branch, 1.74% 529900HNOAA1KXQJUQ27 XS2112989525 Certificate of Deposit Y N/A N/A 2020-04-29 2020-04-29 2020-04-29 N N N 0.0170 49794435.00 49794435.00 0.0051 N N N N DZ Bank AG London Branch DZ Bank AG London Branch, 1.74% 529900HNOAA1KXQJUQ27 XS2113679380 Certificate of Deposit Y N/A N/A 2020-04-30 2020-04-30 2020-04-30 N N N 0.0169 36846150.30 36846150.30 0.0038 N N N N DZ Bank AG London Branch DZ Bank AG London Branch, 1.79% 529900HNOAA1KXQJUQ27 XS2106829539 Certificate of Deposit Y N/A N/A 2020-05-18 2020-05-18 2020-05-18 N N N 0.0169 30845458.80 30845458.80 0.0032 N N N N DZ Bank AG London Branch DZ Bank AG London Branch, 1.79% 529900HNOAA1KXQJUQ27 XS2107430576 Certificate of Deposit Y N/A N/A 2020-05-21 2020-05-21 2020-05-21 N N N 0.0169 49743855.00 49743855.00 0.0051 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 0.0165 32950645.20 32950645.20 0.0034 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 0.0165 17972247.60 17972247.60 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 0.0169 30905834.40 30905834.40 0.0032 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 0.0170 60813144.80 60813144.80 0.0063 N N N N KBC Bank NV London KBC Bank NV London, 1.76% 6B2PBRV1FCJDMR45RZ53 XS2108980181 Certificate of Deposit Y N/A N/A 2020-04-21 2020-04-21 2020-04-21 N N N 0.0177 93632356.60 93632356.60 0.0097 N N N N KBC Bank NV London KBC Bank NV London, 1.76% 6B2PBRV1FCJDMR45RZ53 XS2108980009 Certificate of Deposit Y N/A N/A 2020-05-21 2020-05-21 2020-05-21 N N N 0.0177 93495558.40 93495558.40 0.0096 N N N N KBC Bank NV London KBC Bank NV London, 1.94% 6B2PBRV1FCJDMR45RZ53 XS2075339395 Certificate of Deposit Y N/A N/A 2020-02-28 2020-02-28 2020-02-28 N N N 0.0165 76903341.90 76903341.90 0.0079 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 0.0165 5998111.80 5998111.80 0.0006 N N Y N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 2.20% JBONEPAGQXF4QP29B387 XS2060771826 Certificate of Deposit Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0160 8000382.40 8000382.40 0.0008 N Y Y 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 0.0165 11986539.60 11986539.60 0.0012 N N N N Mizuho Bank Ltd. London Branch Mizuho Bank Ltd. London Branch, 1.95% RB0PEZSDGCO3JS6CEU02 XS2088734822 Certificate of Deposit Y N/A N/A 2020-02-28 2020-02-28 2020-02-28 N N N 0.0165 15979878.40 15979878.40 0.0016 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 0.0171 36942638.90 36942638.90 0.0038 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 0.0171 17971243.20 17971243.20 0.0019 N N N N Mizuho Bank Ltd. London Branch Mizuho Bank Ltd. London Branch, 1.96% RB0PEZSDGCO3JS6CEU02 XS2083199146 Certificate of Deposit Y N/A N/A 2020-03-20 2020-03-20 2020-03-20 N N N 0.0166 25942126.60 25942126.60 0.0027 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 0.0164 31982857.60 31982857.60 0.0033 N N N N National Australia Bank Ltd. London Branch National Australia Bank Ltd. London Branch, 1.90% F8SB4JFBSYQFRQEH3Z21 XS2088637389 Certificate of Deposit Y N/A N/A 2020-03-27 2020-03-27 2020-03-27 N N N 0.0153 97053223.90 97053223.90 0.0100 N N N N Sumitomo Mitsui Trust Bank Ltd. London Branch Sumitomo Mitsui Trust Bank Ltd. London Branch, 1.75% 5493006GGLR4BTEL8O61 XS2113030857 Certificate of Deposit Y N/A N/A 2020-05-29 2020-05-29 2020-05-29 N N N 0.0177 19884692.00 19884692.00 0.0021 N N N N Sumitomo Mitsui Trust Bank Ltd. London Branch Sumitomo Mitsui Trust Bank Ltd. London Branch, 1.82% 5493006GGLR4BTEL8O61 XS2106040228 Certificate of Deposit Y N/A N/A 2020-05-18 2020-05-18 2020-05-18 N N N 0.0177 75603812.00 75603812.00 0.0078 N N N N Sumitomo Mitsui Trust Bank Ltd. London Branch Sumitomo Mitsui Trust Bank Ltd. London Branch, 2.19% 5493006GGLR4BTEL8O61 XS2061935735 Certificate of Deposit Y N/A N/A 2020-02-07 2020-02-07 2020-02-07 N N N 0.0162 25991984.20 25991984.20 0.0027 N N Y 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 0.0166 30023865.00 30023865.00 0.0031 N N N N HSBC Bank U.S.A. NA HSBC Bank U.S.A. NA, 2.02% 40435RGB1 1IE8VN30JCEQV1H4R804 US40435RGB15 Certificate of Deposit Y N/A N/A 2020-04-24 2020-04-24 2020-04-24 N N N 0.0166 13010346.70 13010346.70 0.0013 N N N N Wells Fargo Bank NA Wells Fargo Bank NA, 1.76% 95001KGQ1 KB1H1DSPRFMYMCUFXT09 US95001KGQ13 Certificate of Deposit Y N/A N/A 2020-02-27 2020-07-27 2020-07-27 N N N 0.0177 21999423.60 21999423.60 0.0023 N N N N ASB Finance Ltd. (London) ASB Finance Ltd. 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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 0.0160 7996522.40 7996522.40 0.0008 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 0.0166 30946301.80 30946301.80 0.0032 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 0.0167 27948760.00 27948760.00 0.0029 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 0.0176 23907067.20 23907067.20 0.0025 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 0.0176 19921554.00 19921554.00 0.0021 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 0.0161 41992650.00 41992650.00 0.0043 N N Y 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 0.0162 80925253.20 80925253.20 0.0083 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 0.0163 45943185.40 45943185.40 0.0047 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 0.0161 28960270.00 28960270.00 0.0030 N N N N Mitsubishi UFJ Trust & Banking Corp. 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UnitedHealth Group, Inc., 1.61% 91058TB39 549300GHBMY8T5GXDE41 0000731766 Non-Financial Company Commercial Paper Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0000 5000000.00 5000000.00 0.0005 N Y Y N UnitedHealth Group, Inc. UnitedHealth Group, Inc., 1.61% 91058TB39 549300GHBMY8T5GXDE41 0000731766 Non-Financial Company Commercial Paper Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0000 5000000.00 5000000.00 0.0005 N Y Y N UnitedHealth Group, Inc. UnitedHealth Group, Inc., 1.61% 91058TB39 549300GHBMY8T5GXDE41 0000731766 Non-Financial Company Commercial Paper Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0000 1000000.00 1000000.00 0.0001 N Y Y N UnitedHealth Group, Inc. UnitedHealth Group, Inc., 1.61% 91058TB39 549300GHBMY8T5GXDE41 0000731766 Non-Financial Company Commercial Paper Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0000 1000000.00 1000000.00 0.0001 N Y Y N Autobahn Funding Co. LLC Autobahn Funding Co. LLC, 1.60% 0527M0B30 FGA924000 Asset Backed Commercial Paper Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N Y DZ BANK AG DEUT ZENT GENOSBANK 1.0000 N/A N/A N 0.0000 1538000.00 1538000.00 0.0002 N Y Y N Autobahn Funding Co. LLC Autobahn Funding Co. LLC, 1.60% 0527M0B55 FFJ706000 Asset Backed Commercial Paper Y N/A N/A 2020-02-05 2020-02-05 2020-02-05 N Y DZ BANK AG DEUT ZENT GENOSBANK 1.0000 N/A N/A N 0.0165 24994402.50 24994402.50 0.0026 N N Y N Gotham Funding Corp. Gotham Funding Corp., 1.60% 38346LB47 549300Z2ZR7VTUMRPR17 FFJ135000 Asset Backed Commercial Paper Y N/A N/A 2020-02-04 2020-02-04 2020-02-04 N Y MUFG BANK LTD 1.0000 N/A N/A N 0.0159 3999308.80 3999308.80 0.0004 N N Y N Barclays Bank PLC Barclays Bank PLC, 1.58% G5GSEF7VJP5I7OUK5573 FGA766000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2022-06-15 2029-02-15 1.75 - 2.625 96797600.00 102013451.77 U.S. Treasuries (including strips) Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0157 100000000.00 100000000.00 0.0103 N Y 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 2020-06-18 2047-11-15 0 - 4.625 28665100.00 32949274.38 U.S. Treasuries (including strips) Y N/A N/A 2020-02-07 2020-02-07 2020-02-24 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0161 32000000.00 32000000.00 0.0033 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 2022-03-31 2047-08-15 1.625 - 6.125 37072300.00 42930676.61 U.S. Treasuries (including strips) Y N/A N/A 2020-02-07 2020-02-07 2020-02-18 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0161 42000000.00 42000000.00 0.0043 N N Y N Commerz Markets LLC Commerz Markets LLC, 1.58% 549300IMBXQ8SGH3HJ31 FFJ036000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2021-09-30 2021-09-30 1.5 - 1.5 40553000.00 40810794.76 U.S. Treasuries (including strips) Y N/A N/A 2020-02-04 2020-02-04 2020-02-04 N N N 0.0157 40000000.00 40000000.00 0.0041 N N Y N Commerz Markets LLC Commerz Markets LLC, 1.59% 549300IMBXQ8SGH3HJ31 FFJ609000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2021-03-31 2025-08-31 2.25 - 2.75 9662200.00 10202315.97 U.S. Treasuries (including strips) Y N/A N/A 2020-02-05 2020-02-05 2020-02-05 N N N 0.0158 10000000.00 10000000.00 0.0010 N N Y N Commerz Markets LLC Commerz Markets LLC, 1.60% 549300IMBXQ8SGH3HJ31 FGA786000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2021-02-28 2025-11-30 1.125 - 3.125 94560300.00 98953259.46 U.S. Treasuries (including strips) Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0159 97000000.00 97000000.00 0.0100 N Y Y N Commerz Markets LLC Commerz Markets LLC, 1.62% 549300IMBXQ8SGH3HJ31 FGA793000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2021-03-31 2026-12-31 1.75 - 2.75 38994800.00 39785428.50 U.S. Treasuries (including strips) Y N/A N/A 2020-02-07 2020-02-07 2020-02-07 N N N 0.0161 39000000.00 39000000.00 0.0040 N N Y N Deutsche Bank AG, New York Deutsche Bank AG, New York, 1.59% 7LTWFZYICNSX8D621K86 FGA798000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2025-08-15 2025-08-15 2 - 2 75420200.00 78550499.01 U.S. Treasuries (including strips) Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0158 77000000.00 77000000.00 0.0079 N Y Y N Deutsche Bank Securities, Inc. Deutsche Bank Securities, Inc., 1.59% 9J6MBOOO7BECTDTUZW19 0000058056 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2027-11-15 2027-11-15 2.25 - 2.25 1921600.00 2040283.04 U.S. Treasuries (including strips) Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0158 2000000.00 2000000.00 0.0002 N Y Y N Fixed Income Clearing Corp. - BNYM Fixed Income Clearing Corp. - BNYM, 1.59% 549300H47WTHXPU08X20 FGA775000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2023-03-31 2023-03-31 2.5 - 2.5 268812700.00 280500041.62 U.S. Treasuries (including strips) Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0158 275000000.00 275000000.00 0.0284 N Y Y N Fixed Income Clearing Corp. - SSB Fixed Income Clearing Corp. - SSB, 1.59% 549300H47WTHXPU08X20 FGA684000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2022-09-30 2022-09-30 1.875 - 1.875 476235000.00 485263215.25 U.S. Treasuries (including strips) Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0158 476000000.00 476000000.00 0.0491 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 2021-05-31 2045-05-15 1.125 - 6.125 13239300.00 14321061.20 U.S. Treasuries (including strips) Y N/A N/A 2020-02-07 2020-02-07 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 0.0014 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 2020-08-15 2046-05-15 1.5 - 8.75 8891300.00 9203440.56 U.S. Treasuries (including strips) Y N/A N/A 2020-02-07 2020-02-07 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 0.0009 N N Y N SMBC Nikko Securities America, Inc. SMBC Nikko Securities America, Inc., 1.59% 6PJDTY319315T5LR2241 FGA700000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2020-12-31 2026-02-28 2.25 - 3.125 758660000.00 785275078.22 U.S. Treasuries (including strips) Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0158 770000000.00 770000000.00 0.0794 N Y Y N Societe Generale Societe Generale, 1.59% O2RNE8IBXP4R0TD8PU41 FGA807000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-02-06 2027-01-31 0 - 2 14235100.00 14281978.60 U.S. Treasuries (including strips) Y N/A N/A 2020-02-07 2020-02-07 2020-02-07 N N N 0.0158 14000000.00 14000000.00 0.0014 N N Y N BMO Capital Markets Corp. BMO Capital Markets Corp., 1.71% RUC0QBLBRPRCU4W1NE59 FGA814000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N CITIGROUP INC SUB NT 5.5%25 6SHGI4ZSSLCXXQSBB395 2025-09-13 2025-09-13 5.5 - 5.5 79000.00 93373.30 Corporate Debt Securities CVS HEALTH CORP 4.3%28 549300EJG376EN5NQE29 2028-03-25 2028-03-25 4.3 - 4.3 3399542.00 3813098.17 Corporate Debt Securities BANK OF NOVA SCOTIA GLBL COCO 23 L3I9ZG2KFGXZ61BMYR72 2023-02-01 2023-02-01 1.95 - 1.95 2585700.00 2600369.54 Corporate Debt Securities ERP OPER LTD PARTNERSHIP SR GLBL NT 3%29 DX5HQV5MLU50FEWZ5072 2029-07-01 2029-07-01 3 - 3 2978316.00 3161770.34 Corporate Debt Securities FISERV INC SR GLBL NT3.8%23 GI7UBEJLXYLGR2C7GV83 2023-10-01 2023-10-01 3.8 - 3.8 1907775.00 2051795.05 Corporate Debt Securities CONCHO RES INC SR GLBL NT 48 SYHS7HRDXLL4I0IQ8776 2048-08-15 2048-08-15 4.85 - 4.85 6250000.00 7507244.79 Corporate Debt Securities CISCO SYS INC SR GLBL NT2.2%23 8E6NF1YAL0WT6CWXXV93 2023-09-20 2023-09-20 2.2 - 2.2 706000.00 725192.22 Corporate Debt Securities Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0170 19000000.00 19000000.00 0.0020 N Y Y N BMO Capital Markets Corp. BMO Capital Markets Corp., 1.78% RUC0QBLBRPRCU4W1NE59 FGA815000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N BANK NEW YORK MELLON CORP COM WFLLPEPC7FZXENRZV188 2500-12-31 2500-12-31 N/A 1198.00 54389.20 Equities AMERICAN TOWER CORP NEW COM 5493006ORUSIL88JOE18 2500-12-31 2500-12-31 N/A 67296.00 15828019.20 Equities ENERGY TRANSFER LP COM UT LTD PTN MTLVN9N7JE8MIBIJ1H73 2500-12-31 2500-12-31 N/A 411120.00 5254113.60 Equities APELLIS PHARMACEUTICALS INC COM 254900HS0ZFRXXSB9D42 2500-12-31 2500-12-31 N/A 5422.00 225067.22 Equities FS KKR CAPITAL CORP COM 549300TYRSI1T21B1360 2500-12-31 2500-12-31 N/A 3126899.00 19480580.77 Equities ALPHABET INC CAP STK CL C 5493006MHB84DD0ZWV18 2500-12-31 2500-12-31 N/A 9570.00 13932388.80 Equities ANTHEM INC COM 8MYN82XMYQH89CTMTH67 2500-12-31 2500-12-31 N/A 1184.00 314813.76 Equities Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0176 51000000.00 51000000.00 0.0053 N Y Y N BMO Capital Markets Corp. BMO Capital Markets Corp., 1.80% RUC0QBLBRPRCU4W1NE59 FGA816000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N IRSA PROPIEDADES COMERCIALES SR REGS NT 23 549300WDBPUOVK4S9722 2023-03-23 2023-03-23 8.75 - 8.75 1250000.00 1222335.07 Corporate Debt Securities NOVA CHEMICALS CORP SR 144A NT 5%25 5493007M1XGU5E55ZJ25 2025-05-01 2025-05-01 5 - 5 3000000.00 3082083.33 Corporate Debt Securities MEREDITH CORP SR GLBL NT 26 549300YC8BC386CCTS24 2026-02-01 2026-02-01 6.875 - 6.875 3000000.00 3177852.08 Corporate Debt Securities POWER FIN LTD 6.15%28 3358003Q6D9LIJJZ1614 2028-12-06 2028-12-06 6.15 - 6.15 6500000.00 7677312.50 Corporate Debt Securities ADVANCED DISP SVCS INC DEL SR 144A NT 24 549300ML1GEF4BKIM713 2024-11-15 2024-11-15 5.625 - 5.625 2445000.00 2571452.34 Corporate Debt Securities TRANSOCEAN INC SR 144A NT 9%23 DOL4HJ22ADYSIWES4H94 2023-07-15 2023-07-15 9 - 9 6003000.00 6477537.15 Corporate Debt Securities ARES CAP CORP SR GLBL NT 25 WEQ82666OJYSI5GUAB47 2025-07-15 2025-07-15 3.25 - 3.25 41020.00 41425.45 Corporate Debt Securities FISERV INC SR GLBL NT3.8%23 GI7UBEJLXYLGR2C7GV83 2023-10-01 2023-10-01 3.8 - 3.8 2885194.00 3103000.50 Corporate Debt Securities DISNEY WALT CO SR GLBL NT 2%29 549300GZKULIZ0WOW665 2029-09-01 2029-09-01 2 - 2 74000.00 73738.04 Corporate Debt Securities BANK OF NOVA SCOTIA GLBL COCO 23 L3I9ZG2KFGXZ61BMYR72 2023-02-01 2023-02-01 1.95 - 1.95 1.00 1.01 Corporate Debt Securities AMERICAN HONDA FIN CORP MTN FR 2.35%010827 B6Q2VFHD1797Q7NZ3E43 2027-01-08 2027-01-08 2.35 - 2.35 5000000.00 5071277.78 Corporate Debt Securities CINCINNATI BELL INC NEW SR GLBL 144A 24 549300JYVZOCUJOHL272 2024-07-15 2024-07-15 7 - 7 14000000.00 14705833.33 Corporate Debt Securities BROADRIDGE FINL SOLUTIONS INC SR GLBL NT2.9%29 2029-12-01 2029-12-01 2.9 - 2.9 209000.00 214506.80 Corporate Debt Securities NIELSEN COMPANY SR NT 144A 21 549300MFMRJBOPHHM352 2021-10-01 2021-10-01 5.5 - 5.5 3000000.00 3054541.67 Corporate Debt Securities GENERAL MTRS FINL CO INC SR GLBL NT2.9%25 5493008B6JBRUJ90QL97 2025-02-26 2025-02-26 2.9 - 2.9 6850000.00 6929471.42 Corporate Debt Securities CISCO SYS INC SR GLBL NT2.2%23 8E6NF1YAL0WT6CWXXV93 2023-09-20 2023-09-20 2.2 - 2.2 10000.00 10271.84 Corporate Debt Securities AMAZON COM INC SR GLBL NT2.4%23 ZXTILKJKG63JELOEG630 2023-02-22 2023-02-22 2.4 - 2.4 189000.00 194973.03 Corporate Debt Securities AIR LEASE CORP FR 3%020130 5493004NW4M4P8TMMK63 2030-02-01 2030-02-01 3 - 3 54184.00 54088.27 Corporate Debt Securities Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0178 54000000.00 54000000.00 0.0056 N Y Y N BNP Paribas BNP Paribas, 1.71% R0MUWSFPU8MPRO8K5P83 FGA817000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N TORONTO DOMINION BANK FR 3.25%031124 PT3QB789TSUIDF371261 2024-03-11 2024-03-11 3.25 - 3.25 5.00 5.35 Corporate Debt Securities MOTOROLA SOLUTIONS INC SR NT 3.5%23 6S552MUG6KGJVEBSEC55 2023-03-01 2023-03-01 3.5 - 3.5 2634000.00 2775593.60 Corporate Debt Securities AIB GROUP PLC SR GLBL 144A 25 635400AKJBGNS5WNQL34 2025-04-10 2025-04-10 4.263 - 4.263 43.00 46.61 Corporate Debt Securities AETNA INC NEW SR NT 2.8%23 549300QKBENKLBXQ8968 2023-06-15 2023-06-15 2.8 - 2.8 33000.00 33968.22 Corporate Debt Securities FEDERAL HOME LOAN MORTGAGE CORP 2045-05-25 2045-05-25 0.15 - 0.15 90068657.00 200880.99 Agency Collateralized Mortgage Obligation BANK OF NOVA SCOTIA GLBL COCO 23 L3I9ZG2KFGXZ61BMYR72 2023-02-01 2023-02-01 1.95 - 1.95 1032690.00 1038548.79 Corporate Debt Securities ICBCIL FINANCE CO. LTD. FR 3.2%111020 549300ZCUURSNVTOEU07 2020-11-10 2020-11-10 3.2 - 3.2 540149.00 546517.96 Corporate Debt Securities FEDERAL NATIONAL MORTGAGE ASSOC 2040-01-25 2040-01-25 3.742 - 3.742 1017388.00 1030320.61 Agency Collateralized Mortgage Obligation ANHEUSER-BUSCH INBEV WLDW INC FR 4%041328 549300CRGMZK3K53BF92 2028-04-13 2028-04-13 4 - 4 474000.00 535463.05 Corporate Debt Securities WILLIAMS PARTNERS L P NEW FR 4%091525 D71FAKCBLFS2O0RBPG08 2025-09-15 2025-09-15 4 - 4 402000.00 440543.76 Corporate Debt Securities BANK AMER CORP SR NT FXD/FLT 23 9DJT3UXIJIZJI4WXO774 2023-01-20 2023-01-20 3.124 - 3.124 1231000.00 1259667.25 Corporate Debt Securities WELLS FARGO CO NEW PERP SB GLBL-A U PBLD0EJDB5FWOLXP3B76 2500-12-31 2500-12-31 5.875 - 5.875 3128000.00 3556391.33 Corporate Debt Securities CONAGRA BRANDS INC SR GLBL NT3.8%21 54930035UDEIH090K650 2021-10-22 2021-10-22 3.8 - 3.8 2166000.00 2262006.75 Corporate Debt Securities GENERAL MTRS CO SR GLBL NT4.2%27 54930070NSV60J38I987 2027-10-01 2027-10-01 4.2 - 4.2 2000.00 2146.27 Corporate Debt Securities ASIAN DEVELOPMENT BANK 549300X0MVH42CY8Q105 2022-09-13 2022-09-13 1.75 - 1.75 2777000.00 2818709.77 Other Instrument INTERNATIONAL DEBT ING GROEP N V SR GLBL COCO 23 549300NYKK9MWM7GGW15 2023-10-02 2023-10-02 4.1 - 4.1 26255.00 28514.21 Corporate Debt Securities JPMORGAN CHASE & CO ALT TIER I PERP 8I5DZWZKVSZI1NUHU748 2099-12-31 2500-12-31 5.3 - 6.125 4294000.00 4501329.05 Corporate Debt Securities MORGAN STANLEY VR 102416-102423 IGJSJL3JD5P30I6NJZ34 2023-10-24 2023-10-24 3.201 - 3.201 4995000.00 5117239.60 Corporate Debt Securities Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0170 25000000.00 25000000.00 0.0026 N Y Y N Citigroup Global Markets, Inc. Citigroup Global Markets, Inc., 1.73% MBNUM2BPBDO7JBLYG310 0000315030 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N MELCO RESORTS AND ENTMT LTD ADR 529900NRV6LBR3T6B421 2500-12-31 2500-12-31 N/A 8.00 165.20 Equities ALIBABA GROUP HLDG LTD SPONSORED ADS 5493001NTNQJDH60PM02 2500-12-31 2500-12-31 N/A 321938.00 67149828.04 Equities MOBILE TELESYSTEMS PJSC SPONSORED ADR 2534008FX8EXH1FMJA74 2500-12-31 2500-12-31 N/A 1.00 10.49 Equities SELECT SECTOR SPDR TR SBI CONS STPLS 549300ERQDM80PRYUH21 2500-12-31 2500-12-31 N/A 5614.00 386746.43 Equities PETROCHINA CO LTD SPONSORED ADR 529900RPY4YG47TRSV05 2500-12-31 2500-12-31 N/A 44.00 1995.84 Equities HSBC HLDGS PLC SPON ADR NEW MLU0ZO3ML4LN2LL2TL39 2500-12-31 2500-12-31 N/A 1.00 37.04 Equities BIOCRYST PHARMACEUTICALS COM 549300Z0INP1Z5NP6J59 2500-12-31 2500-12-31 N/A 908959.00 2545085.20 Equities TELECOM ARGENTINA S A SPON ADR REP B 549300MKPIRSJD8SB782 2500-12-31 2500-12-31 N/A 795.00 9015.30 Equities VELOCITY FINL INC COM 2500-12-31 2500-12-31 N/A 16962.00 241708.50 Equities PLYMOUTH INDL REIT INC COM 2500-12-31 2500-12-31 N/A 15715.00 291356.10 Equities TERNIUM SA SPONSORED ADS 529900QG4KU23TEI2E46 2500-12-31 2500-12-31 N/A 231245.00 4974079.95 Equities APPLE INC COM HWUPKR0MPOU8FGXBT394 2500-12-31 2500-12-31 N/A 34.00 11011.58 Equities Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N Y CITIGROUP INC 1.0000 N/A N/A N 0.0172 70000000.00 70000000.00 0.0072 N Y Y N Citigroup Global Markets, Inc. Citigroup Global Markets, Inc., 2.05% MBNUM2BPBDO7JBLYG310 0000315030 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N BUCKINGHAM CDO III LTD 2007-3 D 144A 20510905 FLT 549300FCUVTC1FF6CX37 2051-09-05 2051-09-05 3.317 - 3.317 821360.00 195875.48 Other Instrument COLLATERALIZED DEBT OBLIGATION HIGHLAND PARK CDO I 2006-1 C 20511125 FLT 549300EPZBP5YZALJQ09 2051-11-25 2051-11-25 3.501 - 3.501 14979103.00 1831870.57 Other Instrument COLLATERALIZED DEBT OBLIGATION C-BASS CBO XIX 2007-19 A-1 20471007 FLT 54930094XNV6HLQUTZ27 2047-10-07 2047-10-07 2.25 - 4.2 562.00 85.53 Other Instrument COLLATERALIZED DEBT OBLIGATION CWCAPITAL COBALT II 2006-2 K 20500426 FLT 2050-04-26 2050-04-26 5.436 - 5.436 50519.00 14509.29 Other Instrument COLLATERALIZED DEBT OBLIGATION NOMURA ASSET ACCEPT 2004-AP1 M-2 20340325 FLT 2034-03-25 2034-03-25 5.654 - 5.654 3125144.00 75143.46 Private Label Collateralized Mortgage Obligations ARGENT SECS INC 2005-W3 M-2 20351125 FLT 2035-11-25 2035-11-25 2.121 - 2.121 7114429.00 6358781.69 Asset-Backed Securities CITIGROUP GLOBAL MKTS HLDGS IN SR GLBL INDX 22 82VOJDD5PTRDMVVMGV31 2022-08-04 2022-08-04 N/A 9432.00 9348.06 Corporate Debt Securities ACACIA CDO 11 2007-11 C 20470315 FLT 2047-03-15 2047-03-15 3.368 - 3.368 3.00 0.89 Other Instrument COLLATERALIZED DEBT OBLIGATION DUKE FDG HIGH GR III 2005-3 C-1 20490802 FLT 5493002WNDT27IQSJY17 2049-08-02 2049-08-02 3.152 - 3.152 2984.00 1074.90 Other Instrument COLLATERALIZED DEBT OBLIGATION CENTRE SQUARE CDO LT A-2A 20511119 FLT 2051-11-19 2051-11-19 1.673 - 1.673 23819946.00 2644320.70 Other Instrument COLLATERALIZED DEBT OBLIGATION HARBORVIEW MTG LN TR 2005-1 2-A1B 20350319 FLT 2035-03-19 2035-03-19 2.318 - 2.318 115168034.00 1838337.80 Private Label Collateralized Mortgage Obligations Y N/A N/A 2020-03-06 2020-03-06 2020-04-15 Y CITIGROUP INC 1.0000 35 N N/A N/A Y CITIGROUP INC 1.0000 N/A N/A N 0.0204 12000000.00 12000000.00 0.0012 N N N Y Citigroup Global Markets, Inc. Citigroup Global Markets, Inc., 2.08% MBNUM2BPBDO7JBLYG310 0000315030 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N BUCKINGHAM CDO III LTD 2007-3 D 144A 20510905 FLT 549300FCUVTC1FF6CX37 2051-09-05 2051-09-05 3.317 - 3.317 57.00 13.59 Other Instrument COLLATERALIZED DEBT OBLIGATION WORLD BANK ZTMSNXROF84AHWJNKQ93 2021-12-17 2021-12-17 1.9 - 1.9 23511.00 23555.07 Other Instrument INTERNATIONAL DEBT HIGHLAND PARK CDO I 2006-1 C 20511125 FLT 549300EPZBP5YZALJQ09 2051-11-25 2051-11-25 3.501 - 3.501 20467.00 2503.01 Other Instrument COLLATERALIZED DEBT OBLIGATION CWCAPITAL COBALT II 2006-2 K 20500426 FLT 2050-04-26 2050-04-26 5.436 - 5.436 4.00 1.15 Other Instrument COLLATERALIZED DEBT OBLIGATION ARGENT SECS INC 2005-W3 M-2 20351125 FLT 2035-11-25 2035-11-25 2.121 - 2.121 6890196.00 6158365.22 Asset-Backed Securities HARBORVIEW MTG LN TR 2005-1 2-A1B 20350319 FLT 2035-03-19 2035-03-19 2.318 - 2.318 28578474.00 456175.97 Private Label Collateralized Mortgage Obligations FIRST FRANKLIN MTG 2006-FF7 II-A-4 20360525 FLT 2036-05-25 2036-05-25 1.901 - 1.901 18076808.00 13868964.72 Asset-Backed Securities DUKE FDG HIGH GR III 2005-3 C-1 20490802 FLT 5493002WNDT27IQSJY17 2049-08-02 2049-08-02 3.152 - 3.152 2.00 0.72 Other Instrument COLLATERALIZED DEBT OBLIGATION CENTRE SQUARE CDO LT A-2A 20511119 FLT 2051-11-19 2051-11-19 1.673 - 1.673 1670.00 185.39 Other Instrument COLLATERALIZED DEBT OBLIGATION NOMURA ASSET ACCEPT 2004-AP1 M-2 20340325 FLT 2034-03-25 2034-03-25 5.654 - 5.654 1405327.00 33790.81 Private Label Collateralized Mortgage Obligations Y N/A N/A 2020-03-06 2020-03-06 2020-05-11 Y CITIGROUP INC 1.0000 35 N N/A N/A Y CITIGROUP INC 1.0000 N/A N/A N 0.0207 19000000.00 19000000.00 0.0020 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 REF SER DDD-RSA-1 SER 5493003BRB67HF8ST418 2020-07-01 2036-07-01 N/A 21344539.00 17806255.50 Other Instrument MUNICIPAL DEBT PUERTO RICO PUB BLDGS AUTH REV GOV FAC REV AND REF BDS SERI 2028-07-01 2039-07-01 N/A 963007.00 819760.34 Other Instrument MUNICIPAL DEBT US TREASURY 254900HROIFWPRGM1V77 2021-10-31 2021-10-31 1.5 - 1.5 83500.00 83958.77 U.S. Treasuries (including strips) PUERTO RICO COMWLTH GO BDS 2014 549300X44HXPLJU48U63 2035-07-01 2035-07-01 N/A 751189.00 520198.38 Other Instrument MUNICIPAL DEBT PUERTO RICO INDL TOURIST EDL M COGENERATION FAC REV BDS 2000 2022-06-01 2022-06-01 9.12 - 9.12 1097.00 1139.45 Other Instrument MUNICIPAL DEBT PUERTO RICO COMWLTH AQUEDUCT & SWR REV BDS SNR LIEN 2012 2042-07-01 2042-07-01 5.25 - 5.25 78.00 83.89 Other Instrument MUNICIPAL DEBT EMPLOYEES RETIREMENT SYS GOVT INSTL SR PENSION FDG BDS 2008 2023-07-01 2023-07-01 N/A 755000.00 292562.50 Other Instrument MUNICIPAL DEBT 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 18000000.00 18000000.00 0.0019 N N N Y Credit AG CIB Paris Credit AG CIB Paris, 1.72% 1VUV7VQFKUOQSJ21A208 FFJ090000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N SANOFI-AVENTIS SR GLBL NT 28 549300E9PC51EN656011 2028-06-19 2028-06-19 3.625 - 3.625 22245000.00 25208000.01 Corporate Debt Securities Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0171 24000000.00 24000000.00 0.0025 N Y Y N Credit AG CIB Paris Credit AG CIB Paris, 1.72% 1VUV7VQFKUOQSJ21A208 FFI662000 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 14435128.00 14704916.53 Corporate Debt Securities Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0171 14000000.00 14000000.00 0.0014 N Y Y N Credit AG CIB Paris Credit AG CIB Paris, 1.72% 1VUV7VQFKUOQSJ21A208 FFJ089000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N SANOFI-AVENTIS SR GLBL NT 28 549300E9PC51EN656011 2028-06-19 2028-06-19 3.625 - 3.625 22245000.00 25208000.01 Corporate Debt Securities Y N/A N/A 2020-02-04 2020-02-04 2020-02-04 N N N 0.0171 24000000.00 24000000.00 0.0025 N N Y N Credit AG CIB Paris Credit AG CIB Paris, 1.73% 1VUV7VQFKUOQSJ21A208 FFJ649000 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 16495736.00 16804036.72 Corporate Debt Securities Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0172 16000000.00 16000000.00 0.0016 N Y Y N Credit AG CIB Paris Credit AG CIB Paris, 1.75% 1VUV7VQFKUOQSJ21A208 FGA354000 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 17525917.00 17853471.52 Corporate Debt Securities Y N/A N/A 2020-02-05 2020-02-05 2020-02-05 N N N 0.0174 17000000.00 17000000.00 0.0018 N N Y N Credit AG CIB Paris Credit AG CIB Paris, 1.75% 1VUV7VQFKUOQSJ21A208 FGA353000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N MICROSOFT CORP SR GLBL NT3.3%27 INR2EJN1ERAN0W5ZP974 2027-02-06 2027-02-06 3.3 - 3.3 24862000.00 27555051.84 Corporate Debt Securities WALMART INC SR GLBL NT 25 Y87794H0US1R65VBXU25 2025-06-26 2025-06-26 3.55 - 3.55 5570000.00 6051764.77 Corporate Debt Securities Y N/A N/A 2020-02-06 2020-02-06 2020-02-06 N N N 0.0174 32000000.00 32000000.00 0.0033 N N Y N Credit AG CIB Paris Credit AG CIB Paris, 1.76% 1VUV7VQFKUOQSJ21A208 FGA845000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N MICROSOFT CORP SR GLBL NT3.3%27 INR2EJN1ERAN0W5ZP974 2027-02-06 2027-02-06 3.3 - 3.3 30321000.00 33605370.72 Corporate Debt Securities Y N/A N/A 2020-02-07 2020-02-07 2020-02-07 N N N 0.0175 32000000.00 32000000.00 0.0033 N N Y N HSBC Securities, Inc. HSBC Securities, Inc., 1.78% CYYGQCGNHMHPSMRL3R97 0000853784 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N ROYAL BANK OF CANADA SUB GLBL COCO 26 ES7IP3U3RHIGC71XBU11 2026-01-27 2026-01-27 4.65 - 4.65 1000.00 1137.16 Corporate Debt Securities MARSH & MCLENNAN COS INC SR GLBL NT 29 549300XMP3KDCKJXIU47 2029-03-15 2029-03-15 4.375 - 4.375 3000.00 3511.97 Corporate Debt Securities CITIGROUP INC SR GLBL NT 23 6SHGI4ZSSLCXXQSBB395 2023-07-24 2023-07-24 2.876 - 2.876 3000.00 3061.44 Corporate Debt Securities VERIZON COMMUNICATIONS INC SR NT 3.5%24 2S72QS2UO2OESLG6Y829 2024-11-01 2024-11-01 3.5 - 3.5 2000.00 2154.19 Corporate Debt Securities CIGNA CORP NEW SR GLBL NT 23 549300VIWYMSIGT1U456 2023-07-15 2023-07-15 3.75 - 3.75 4000.00 4227.41 Corporate Debt Securities GOOGLE INC SR GLBL NT 24 7ZW8QJWVPR4P1J1KQY45 2024-02-25 2024-02-25 3.375 - 3.375 2000.00 2168.52 Corporate Debt Securities FEDERAL HOME LOAN MORTGAGE CORP 2033-11-01 2038-04-01 3.637 - 4.67 270000.00 2963.37 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2023-07-15 2068-11-20 4.5 - 6.25 26860.00 11289.85 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-02-01 2050-02-01 3 - 3 3490.00 3612.14 Agency Mortgage-Backed Securities LOCKHEED MARTIN CORP SR NT 2.9%25 DPRBOZP0K5RM2YE8UU08 2025-03-01 2025-03-01 2.9 - 2.9 3000.00 3182.20 Corporate Debt Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2028-07-15 2028-07-15 N/A 5000.00 4242.27 Agency Debentures and Agency Strips RESOLUTION FUNDING CORP 2026-10-15 2026-10-15 N/A 1000.00 896.91 Agency Debentures and Agency Strips BANK AMER CORP 3.004%23 9DJT3UXIJIZJI4WXO774 2022-01-23 2023-12-20 2.738 - 3.004 7000.00 7152.82 Corporate Debt Securities US TREASURY 254900HROIFWPRGM1V77 2020-02-15 2036-02-15 0 - 1.375 12300.00 10718.66 U.S. Treasuries (including strips) CAPITAL ONE FINL CORP SR GLBL NT 25 ZUE8T73ROZOF6FLBAR73 2025-04-30 2025-04-30 4.25 - 4.25 3000.00 3335.32 Corporate Debt Securities AT&T BROADBAND CORP SR GLBL NT 22 2022-11-15 2022-11-15 9.455 - 9.455 4000.00 4916.11 Corporate Debt Securities WASTE CONNECTIONS INC SR GLBL NT2.6%30 549300HDLRTPBQU69P29 2030-02-01 2030-02-01 2.6 - 2.6 6183650.00 6231483.97 Corporate Debt Securities Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0176 6000000.00 6000000.00 0.0006 N Y Y N ING Financial Markets LLC ING Financial Markets LLC, 1.68% KBVRJ5K57JZ3E2AVWX40 0000877559 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N PERNOD RICARD SA SR NT REGS 21 52990097YFPX9J0H5D87 2021-04-07 2021-04-07 5.75 - 5.75 150000.00 159605.79 Corporate Debt Securities POSCO SR GLBL REGS 24 988400E5HRVX81AYLM04 2024-07-15 2024-07-15 2.75 - 2.75 2714.00 2764.96 Corporate Debt Securities ING GROEP N V SR GLBL COCO 29 549300NYKK9MWM7GGW15 2029-04-09 2029-04-09 4.05 - 4.05 5464.00 6220.15 Corporate Debt Securities EUROPEAN INVT BK FR 1.375%061520 5493006YXS1U5GIHE750 2020-03-16 2020-06-15 1.375 - 1.625 6119000.00 6133002.28 Corporate Debt Securities Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0167 6000000.00 6000000.00 0.0006 N Y Y N ING Financial Markets LLC ING Financial Markets LLC, 1.73% KBVRJ5K57JZ3E2AVWX40 FGA882000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N PLAINS ALL AMERN PIPELINE L P UNIT LTD PARTN 5521FA2ITF25TVH63740 2500-12-31 2500-12-31 N/A 86101.00 1462855.99 Equities MAGELLAN MIDSTREAM PRTNRS LP COM UNIT RP LP MZF5TI8NFVZZNUSKDL39 2500-12-31 2500-12-31 N/A 27000.00 1671300.00 Equities AGNICO EAGLE MINES LTD COM YGE0EUBRF7IJOB3QRX76 2500-12-31 2500-12-31 N/A 1738.00 106313.46 Equities Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0172 3000000.00 3000000.00 0.0003 N Y Y N ING Financial Markets LLC ING Financial Markets LLC, 1.73% KBVRJ5K57JZ3E2AVWX40 FGA820000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N MEDNAX INC COM 2500-12-31 2500-12-31 N/A 83653.00 2062046.45 Equities UNION PACIFIC CORP COM 549300LMMRSZZCZ8CL11 2500-12-31 2500-12-31 N/A 145.00 26545.15 Equities BRIGHT HORIZONS FAM SOL IN DEL COM 2500-12-31 2500-12-31 N/A 6586.00 1080696.74 Equities ISHARES INC MSCI BRAZIL ETF F6BK0XM2JFWYXJ2MDK09 2500-12-31 2500-12-31 N/A 1590.00 71247.90 Equities Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0172 3000000.00 3000000.00 0.0003 N Y Y N ING Financial Markets LLC ING Financial Markets LLC, 1.96% KBVRJ5K57JZ3E2AVWX40 FFB007000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N MGM GROWTH PPTYS LLC CL A COM 549300E2UGIBHWE12262 2500-12-31 2500-12-31 N/A 1986.00 63869.76 Equities MOSAIC CO NEW COM 2YD5STGSJNMUB7H76907 2500-12-31 2500-12-31 N/A 2.00 40.34 Equities ENTERPRISE PRODS PARTNERS L P COM K4CDIF4M54DJZ6TB4Q48 2500-12-31 2500-12-31 N/A 568582.00 15084480.46 Equities ISHARES INC MSCI BRAZIL ETF F6BK0XM2JFWYXJ2MDK09 2500-12-31 2500-12-31 N/A 43747.00 1960303.07 Equities BOSTON SCIENTIFIC CORP COM Y6ZDD9FP4P8JSSJMW954 2500-12-31 2500-12-31 N/A 20681.00 897762.21 Equities BLUEROCK RESIDENTIAL GRW REIT COM CL A 549300KWLV0TGICOUU26 2500-12-31 2500-12-31 N/A 156.00 1829.88 Equities THERMO FISHER SCIENTIFIC INC COM HCHV7422L5HDJZCRFL38 2500-12-31 2500-12-31 N/A 1.00 319.86 Equities AMAZON COM INC COM ZXTILKJKG63JELOEG630 2500-12-31 2500-12-31 N/A 16.00 29930.88 Equities ARCHER DANIELS MIDLAND CO COM 549300LO13MQ9HYSTR83 2500-12-31 2500-12-31 N/A 1.00 45.80 Equities F5 NETWORKS INC COM 2500-12-31 2500-12-31 N/A 2365.00 295908.80 Equities AGILENT TECHNOLOGIES INC COM QUIX8Y7A2WP0XRMW7G29 2500-12-31 2500-12-31 N/A 547.00 46155.86 Equities NVIDIA CORP COM 549300S4KLFTLO7GSQ80 2500-12-31 2500-12-31 N/A 4144.00 1018636.64 Equities CISCO SYS INC COM 8E6NF1YAL0WT6CWXXV93 2500-12-31 2500-12-31 N/A 17.00 803.08 Equities FASTLY INC CL A 549300E2FZC83FJ3H565 2500-12-31 2500-12-31 N/A 1544.00 36052.40 Equities COLGATE PALMOLIVE CO COM YMEGZFW4SBUSS5BQXF88 2500-12-31 2500-12-31 N/A 9296.00 645793.12 Equities YANDEX N V SHS CLASS A 549300GGZHJ5Q1B18P93 2500-12-31 2500-12-31 N/A 62.00 2845.80 Equities RADWARE LTD ORD 2500-12-31 2500-12-31 N/A 3.00 76.86 Equities PHILIP MORRIS INTL INC COM HL3H1H2BGXWVG3BSWR90 2500-12-31 2500-12-31 N/A 17.00 1433.61 Equities PROGRESSIVE CORP OHIO COM 529900TACNVLY9DCR586 2500-12-31 2500-12-31 N/A 4240.00 346704.80 Equities REGENERON PHARMACEUTICALS COM 549300RCBFWIRX3HYQ56 2500-12-31 2500-12-31 N/A 343.00 115309.74 Equities L3HARRIS TECHNOLOGIES INC COM 549300UTE50ZMDBG8A20 2500-12-31 2500-12-31 N/A 1.00 224.74 Equities AERCAP HOLDINGS NV SHS 549300SZYINBBLJQU475 2500-12-31 2500-12-31 N/A 28.00 1638.56 Equities Y N/A N/A 2020-03-06 2020-03-06 2020-03-09 Y ING FINL MKTS LLC(NNGV RP BNY) 1.0000 35 N N/A N/A N N 0.0194 19000000.00 19000000.00 0.0020 N N N Y J.P. 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RBS Securities, Inc., 1.75% ZE2ZWJ5BTIQJ8M0C6K34 0000808379 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N FEDERAL FARM CREDIT 2023-02-21 2023-02-21 1.724 - 1.724 4654000.00 4635239.70 Agency Debentures and Agency Strips US TREASURY 254900HROIFWPRGM1V77 2025-11-30 2025-11-30 2.875 - 2.875 14507400.00 15767762.56 U.S. Treasuries (including strips) Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0174 20000000.00 20000000.00 0.0021 N Y Y N Societe Generale Societe Generale, 1.71% O2RNE8IBXP4R0TD8PU41 FGA826000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N 51-100 2020-02-21 2073-09-20 0 - 10.75 96551477.00 99693648.62 Corporate Debt Securities Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0170 95000000.00 95000000.00 0.0098 N Y Y N Societe Generale Societe Generale, 1.81% O2RNE8IBXP4R0TD8PU41 FGA827000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N 51-100 2020-03-25 2115-06-05 2.698 - 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6.625 1.00 0.59 Corporate Debt Securities GS MTG COML 2006-GG8 A-J 20391114 5.62200 2039-11-14 2039-11-14 5.622 - 5.622 3034.00 1006.61 Private Label Collateralized Mortgage Obligations CHS / CMNTY HEALTH SYS INC SR SEC GLBL 24 5493007X5NC5XI1BB106 2024-01-15 2024-01-15 8.625 - 8.625 116000.00 123376.88 Corporate Debt Securities MASTR ASSET BKD SECS 2006-WMC1 A-3 20360225 FLT 2036-02-25 2036-02-25 1.841 - 1.841 1.00 0.22 Asset-Backed Securities MS HEQ LN TR 2007-2 A-2 20370425 FLT 549300C5U61AIRK1S645 2037-04-25 2037-04-25 1.831 - 1.831 52708.00 23776.18 Asset-Backed Securities SHUTTERFLY INC SR SEC GLBL 26 2026-10-01 2026-10-01 8.5 - 8.5 1.00 0.95 Corporate Debt Securities CSC HLDGS INC SR GLBL 144A 30 3HG2WD2W22M120IUNG49 2030-01-15 2030-01-15 5.75 - 5.75 15520.00 16703.49 Corporate Debt Securities CLEAR CHANNEL WW HLDGS INC SR SB GLBL 24 2024-02-15 2024-02-15 9.25 - 9.25 93519.00 106017.42 Corporate Debt Securities FELCOR LODGING LTD PARTNERSHIP SR GLBL NT 6%25 2025-06-01 2025-06-01 6 - 6 59000.00 61792.67 Corporate Debt Securities GILEX HLDG S A R L SR SEC GLBL 23 549300UT8ST8B7RS8205 2023-05-02 2023-05-02 8.5 - 8.5 1198.00 1315.75 Corporate Debt Securities PAR PHARMACEUTICAL INC SR SEC GLBL 27 549300KK5WR4MGN4YT97 2027-04-01 2027-04-01 7.5 - 7.5 3113735.00 3247381.70 Corporate Debt Securities COMM MTG TR 2014-CCRE18 E 20470717 3.60000 2047-07-17 2047-07-17 3.6 - 3.6 24972.00 20713.50 Private Label Collateralized Mortgage Obligations STRUCTURED ASSET SEC 2007-GEL1 A2 20370125 FLT 2037-01-25 2037-01-25 1.851 - 1.851 66146.00 22513.90 Asset-Backed Securities DELTA AIR LINES INC DEL GLBL NT 3.75%29 Q2CCMS6R0AS67HJMBN42 2029-10-28 2029-10-28 3.75 - 3.75 80000.00 81552.27 Corporate Debt Securities TESLA INC 5.3%25 54930043XZGB27CTOV49 2025-08-15 2025-08-15 5.3 - 5.3 157000.00 162580.04 Corporate Debt Securities TEVA PHARMACEUTICAL FIN NETH SR GLBL NT 6%24 5493004T21MOAFINJP35 2024-04-15 2024-04-15 6 - 6 451492.00 466337.06 Corporate Debt Securities INTREPID AVIATION GROUP HLDGS SR GLBL 144A 21 2021-08-15 2021-08-15 8.5 - 8.5 270889.00 288214.61 Corporate Debt Securities GMR HYDERABAD INTL ARPT LTD SR SEC GLBL 27 335800NSPGIN89SVOU83 2027-10-27 2027-10-27 4.25 - 4.25 110.00 106.49 Corporate Debt Securities HLF FING SARL LLC / HERBALIFE SR GLBL 144A 26 2026-08-15 2026-08-15 7.25 - 7.25 528610.00 567319.67 Corporate Debt Securities BEAR STEARNS CMBS 2007-TOP26 A-J 20450112 FLT 2045-01-12 2045-01-12 5.561 - 5.561 28416.00 24662.47 Private Label Collateralized Mortgage Obligations ONEMAIN FINL TR 2019-1 E 20310214 5.69000 2031-02-14 2031-02-14 5.69 - 5.69 181568.00 189556.79 Asset-Backed Securities CREDITO REAL S A DE C V SOCIE SR GLBL REGS 26 549300W2IL7TPPCTKL39 2026-02-07 2026-02-07 9.5 - 9.5 387837.00 471959.92 Corporate Debt Securities CITIGROUP MTG LN TR 2007-SHL1 A 20461125 FLT 2046-11-25 2046-11-25 2.061 - 2.061 3.00 0.47 Asset-Backed Securities MOTEL 6 TR 2017-MTL6 F 20340815 FLT 2034-08-15 2034-08-15 5.926 - 5.926 4481.00 3621.09 Private Label Collateralized Mortgage Obligations PARTY CITY HLDGS INC SR GLBL 144A 26 5493005PYM1JS6EZN307 2026-08-01 2026-08-01 6.625 - 6.625 1.00 0.74 Corporate Debt Securities TRIUMPH GROUP INC NEW SR SEC GLBL 24 5493007L6S47Q14SL582 2024-09-15 2024-09-15 6.25 - 6.25 153346.00 161309.04 Corporate Debt Securities Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0184 6000000.00 6000000.00 0.0006 N Y Y N Societe Generale Societe Generale, 1.90% O2RNE8IBXP4R0TD8PU41 FGA803000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N BANCO DO BRASIL S A SR NT 3.875%22 QE0Q0253K88YAGNPE356 2022-10-10 2022-10-10 3.875 - 3.875 19796000.00 20524102.38 Corporate Debt Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0189 19000000.00 19000000.00 0.0020 N N N Y Wells Fargo Securities, LLC Wells Fargo Securities, LLC, 1.68% VYVVCKR63DVZZN70PB21 0000276523 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N NEXTERA ENERGY CAP HLDGS INC 2020-04-16 2020-04-16 N/A 6204903.00 6180865.21 Money Market Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0167 6000000.00 6000000.00 0.0006 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 NEXTERA ENERGY CAP HLDGS INC 2020-04-16 2020-04-16 N/A 6205782.00 6181740.80 Money Market Y N/A N/A 2020-02-04 2020-02-04 2020-02-04 N N N 0.0168 6000000.00 6000000.00 0.0006 N N Y N Wells Fargo Securities, LLC Wells Fargo Securities, LLC, 1.73% VYVVCKR63DVZZN70PB21 0000276523 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N VIPSHOP HLDGS LTD SPONSORED ADS A 549300I9F52K06HPZX60 2500-12-31 2500-12-31 N/A 753014.00 9721410.74 Equities Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0172 9000000.00 9000000.00 0.0009 N Y Y N Wells Fargo Securities, LLC Wells Fargo Securities, LLC, 1.78% VYVVCKR63DVZZN70PB21 0000276523 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N VIPSHOP HLDGS LTD SPONSORED ADS A 549300I9F52K06HPZX60 2500-12-31 2500-12-31 N/A 753017.00 9721449.47 Equities Y N/A N/A 2020-02-07 2020-02-07 2020-02-07 N N N 0.0176 9000000.00 9000000.00 0.0009 N N Y N Bank Of America, N.A. In a joint trading account with Bank Of America, N.A. at 1.59%, dated 1/31/2020 due 02/03/2020 B4TYDEB6GKMZO031MB27 FGB031000_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 2039-12-20 2045-02-20 3 - 5.25 381719423.42 66501572.55 Agency Mortgage-Backed Securities Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0158 65025000.00 65025000.00 0.0067 N Y 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 2020-02-15 2048-08-15 0 - 4.75 13150919.83 11855456.22 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2031-10-01 2031-10-01 7 - 7 1000.00 78.36 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2046-04-20 2046-04-20 3 - 3 1000.00 610.81 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2030-05-15 2047-02-01 0 - 2.5 1861149.00 1521936.10 Agency Mortgage-Backed Securities Y N/A N/A 2020-02-07 2020-02-07 2020-02-24 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0163 13000000.00 13000000.00 0.0013 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 FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2030-05-15 2036-09-01 0 - 4.303 23523.00 16302.26 Agency Debentures and Agency Strips FEDERAL FARM CREDIT 2038-04-05 2038-04-05 3.98 - 3.98 302000.00 311496.66 Agency Debentures and Agency Strips US TREASURY 254900HROIFWPRGM1V77 2020-08-15 2048-08-15 0 - 5 9888463.73 7871574.71 U.S. Treasuries (including strips) GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2035-07-20 2049-11-20 3.25 - 6 15709019.00 5164977.63 Agency Mortgage-Backed Securities Y N/A N/A 2020-02-07 2020-02-07 2020-02-18 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0163 13000000.00 13000000.00 0.0013 N N Y N BNY Mellon Capital Markets LLC In a joint trading account with BNY Mellon Capital Markets LLC at 1.59%, dated 1/31/2020 due 02/03/2020 VJW2DOOHGDT6PR0ZRO63 FGB031000_08066 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 2031-10-01 2032-05-01 6.5 - 6.5 7717.38 15.40 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2023-07-01 2023-07-01 7.25 - 7.25 205.80 2.55 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2026-02-01 2026-02-01 4 - 4 20608.75 1829.44 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2030-02-01 2030-04-01 7 - 7 8643.46 19.07 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2031-01-01 2031-09-01 6.5 - 7 18427.40 59.95 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2028-06-01 2028-12-01 7 - 7 288.12 6.62 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2041-02-01 2041-02-01 4 - 4 123.48 24.34 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2033-11-01 2049-03-01 4 - 4.5 23536.43 15791.61 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2023-04-01 2023-06-01 5 - 5 12587.76 120.43 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2039-12-01 2039-12-01 4.5 - 4.5 391.01 29.42 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2037-07-01 2037-11-01 6 - 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3.5 33750.65 22366.84 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2026-08-01 2029-07-01 3 - 5 37475.57 12957.85 Agency Mortgage-Backed Securities TENNESEE VALLEY AUTHORITY 549300HE1ISW43LNKM54 2021-02-15 2021-02-15 3.875 - 3.875 82.32 85.76 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2035-01-01 2035-01-01 2.5 - 2.5 1145793.44 1160250.40 Agency Mortgage-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2020-02-04 2049-11-15 0 - 7.625 20562590.42 20799604.40 U.S. Treasuries (including strips) FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 2020-02-03 2026-03-13 0 - 5.375 7832497.66 7940271.54 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2030-05-01 2030-05-01 2.5 - 2.5 837688.05 787935.10 Agency Mortgage-Backed Securities FEDERAL FARM CREDIT 2020-02-03 2045-01-30 1.576 - 5.05 2493000.24 2533131.69 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2049-10-01 2049-10-01 3 - 3 767342.73 778609.38 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2020-02-15 2049-06-01 1.375 - 7.5 1838904.66 899098.79 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2020-02-25 2050-02-01 1.2 - 9.5 15828816.78 13754414.64 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2032-07-01 2033-02-01 6 - 6.5 26240.21 108.06 Agency Mortgage-Backed Securities Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0158 61739000.00 61739000.00 0.0064 N Y Y N Citibank NA In a joint trading account with Citibank NA at 1.59%, dated 1/31/2020 due 02/03/2020 E57ODZWZ7FF32TWEFA76 FGB031000_00276 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 2040-08-01 2040-08-01 5 - 5 9434.92 917.96 Agency Mortgage-Backed Securities FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 2020-03-13 2043-06-22 1.125 - 5.5 97378.24 110017.90 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2022-01-13 2045-12-01 0 - 8 843846.33 396534.43 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2020-02-15 2049-10-20 2.5 - 10.5 10327158.94 206347.36 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2020-11-01 2023-10-01 5.5 - 5.5 263.31 1.27 Agency Mortgage-Backed Securities FEDERAL FARM CREDIT 2023-12-20 2029-08-27 2.59 - 3.5 25431.43 25772.31 Agency Debentures and Agency Strips FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2020-02-28 2049-12-01 1.375 - 9.5 1821910.59 1173888.53 Agency Debentures and Agency Strips TENNESEE VALLEY AUTHORITY 549300HE1ISW43LNKM54 2020-03-15 2061-03-15 0 - 4.875 46326.91 50524.74 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2036-10-01 2036-10-01 5 - 5 28779.83 202.55 Agency Mortgage-Backed Securities RESOLUTION FUNDING CORP 2028-01-15 2030-04-15 0 - 8.875 251562.54 208765.42 Agency Debentures and Agency Strips US TREASURY 254900HROIFWPRGM1V77 2020-02-15 2049-08-15 0 - 8.75 12503541.92 14036606.39 U.S. Treasuries (including strips) FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2028-07-01 2028-07-01 3.63 - 3.63 12.56 13.65 Agency Mortgage-Backed Securities Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0158 15860000.00 15860000.00 0.0016 N Y Y N Citigroup Global Markets, Inc. In a joint trading account with Citigroup Global Markets, Inc. at 1.58%, dated 1/31/2020 due 02/03/2020 MBNUM2BPBDO7JBLYG310 FGB124000_00137 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2026-05-01 2029-07-01 2.88 - 3.13 582824.21 621517.79 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2031-06-01 2031-06-01 3.26 - 3.26 284647.06 315662.40 Agency Mortgage-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2020-06-04 2025-01-31 0 - 1.69 12690618.93 12672287.18 U.S. Treasuries (including strips) FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2028-10-01 2048-10-01 3.77 - 4.21 509010.26 581888.16 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2026-05-01 2026-05-01 2.35 - 2.35 98388.16 101440.10 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2026-01-01 2034-01-01 3.55 - 4.045 667062.07 750255.81 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2025-08-01 2039-11-01 3.836 - 4.014 7872.56 4.80 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2028-07-01 2028-07-01 3.63 - 3.63 315804.46 342994.06 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2020-03-01 2050-02-01 2.5 - 11 22246989.72 15668419.71 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2028-09-01 2030-10-01 3.59 - 3.63 508616.22 569709.98 Agency Mortgage-Backed Securities Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N Y Citigroup Inc 1.0000 N/A N/A N 0.0157 31000000.00 31000000.00 0.0032 N Y Y N Citigroup Global Markets, Inc. In a joint trading account with Citigroup Global Markets, Inc. at 1.59%, dated 1/31/2020 due 02/03/2020 MBNUM2BPBDO7JBLYG310 FGB031000_00137 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2026-05-01 2029-07-01 2.88 - 3.13 298180.39 317976.52 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2031-06-01 2031-06-01 3.26 - 3.26 145629.11 161496.96 Agency Mortgage-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2020-06-04 2025-01-31 0 - 1.69 6492684.39 6483305.64 U.S. Treasuries (including strips) FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2028-10-01 2048-10-01 3.77 - 4.21 260416.21 297701.49 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2026-05-01 2026-05-01 2.35 - 2.35 50336.65 51898.06 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2026-01-01 2034-01-01 3.55 - 4.045 341277.56 383840.56 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2025-08-01 2039-11-01 3.836 - 4.014 4027.70 2.46 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2028-07-01 2028-07-01 3.63 - 3.63 161569.63 175480.19 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2020-03-01 2050-02-01 2.5 - 11 11381847.00 8016165.69 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2028-09-01 2030-10-01 3.59 - 3.63 260214.62 291470.98 Agency Mortgage-Backed Securities Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N Y Citigroup Inc 1.0000 N/A N/A N 0.0158 15860000.00 15860000.00 0.0016 N Y Y N Credit Agricole CIB New York Branch In a joint trading account with Credit Agricole CIB New York Branch at 1.59%, dated 1/31/2020 due 02/03/2020 1VUV7VQFKUOQSJ21A208 FGB031000_02102 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-07-30 2045-08-15 0 - 4.25 17772413.08 18585310.24 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2042-09-01 2048-03-01 3 - 4 1953888.22 1248814.98 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-10-01 2049-10-01 4 - 4 73578.32 74138.93 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2033-10-01 2049-08-01 3 - 4.5 3315414.55 2451320.76 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2039-10-20 2049-12-20 3 - 5 3716887.70 1931889.13 Agency Mortgage-Backed Securities Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0158 23789000.00 23789000.00 0.0025 N Y Y N Deutsche Bank AG, New York Deutsche Bank AG, New York, 1.60% 7LTWFZYICNSX8D621K86 FGA799000 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 9992333.00 10301374.21 Agency Mortgage-Backed Securities Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0159 10000000.00 10000000.00 0.0010 N Y Y N Goldman Sachs & Co. Goldman Sachs & Co., 1.59% FOR8UP27PHTHYVLBNG30 0000769993 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 2049-02-01 2049-02-01 4.5 - 4.5 92816306.00 72429595.79 Agency Mortgage-Backed Securities Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0158 71000000.00 71000000.00 0.0073 N Y Y N HSBC Securities (USA), Inc. In a joint trading account with HSBC Securities (USA), Inc. at 1.59%, dated 1/31/2020 due 02/03/2020 CYYGQCGNHMHPSMRL3R97 FGB031000_03556 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2031-02-01 2033-10-01 4.03 - 4.18 97703.63 114249.87 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2031-01-01 2031-01-01 3.93 - 3.93 31720.00 36580.14 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2034-09-01 2034-09-01 2.5 - 2.5 39962.32 40004.00 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-01-01 2050-01-01 3.5 - 3.5 441808.85 459131.49 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2035-01-01 2048-09-01 3.5 - 6.5 2438340.43 1371475.07 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-09-01 2048-09-01 4.5 - 4.5 41763.25 43511.58 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2045-12-15 2045-12-15 4 - 4 20923.08 14414.59 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2048-08-01 2048-08-01 4.24 - 4.24 23790.00 27747.69 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2033-07-01 2033-07-01 3.775 - 3.775 12941.76 14899.42 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2030-06-01 2050-01-01 3 - 4.564 12616790.11 9770747.28 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-12-01 2049-12-01 4.5 - 4.5 148423.97 156033.68 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-03-01 2049-03-01 4.5 - 4.5 79642.96 85712.81 Agency Mortgage-Backed Securities Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0158 11895000.00 11895000.00 0.0012 N Y Y N ING Financial Markets LLC In a joint trading account with ING Financial Markets LLC at 1.59%, dated 1/31/2020 due 02/03/2020 KBVRJ5K57JZ3E2AVWX40 FGB031000_03735 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 2049-09-01 2049-09-01 3 - 3 171.76 172.24 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2047-09-01 2047-09-01 3.5 - 3.5 399.39 386.49 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-10-01 2049-11-01 2.5 - 3.5 81815.39 83768.76 Agency Mortgage-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2020-04-09 2028-08-15 0 - 2.875 260079.87 262712.09 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2049-12-01 2050-01-01 3.5 - 3.5 97795.68 103363.20 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2024-11-01 2057-09-01 2.35 - 5 12383267.09 5922900.38 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2026-01-01 2049-04-01 2.309 - 7 914626.24 558444.32 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-05-01 2049-05-01 4 - 4 80814.89 64246.30 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2043-05-20 2048-11-20 3.875 - 5 528.95 293.22 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-11-01 2049-11-01 3 - 3 123502.75 126565.23 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-11-01 2049-11-01 3 - 3 27992.11 28294.55 Agency Mortgage-Backed Securities Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0158 7010000.00 7010000.00 0.0007 N Y Y N Jp Morgan Secs Llc In a joint trading account with Jp Morgan Secs Llc at 1.59%, dated 1/31/2020 due 02/03/2020 ZBUT11V806EZRVTWT807 FGB031000_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 2023-01-01 2023-01-01 2 - 2 9177.01 1039.04 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-04-01 2049-04-01 3.5 - 3.5 51580.53 48095.14 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2021-11-01 2021-11-01 6 - 6 51189.73 263.52 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2023-04-01 2023-04-01 5 - 5 12158.42 9096.12 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2026-05-01 2049-02-01 4 - 6 332576.05 259213.55 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2027-11-01 2027-11-01 6 - 6 26705.10 815.81 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2039-04-01 2039-04-01 5 - 5 88943.74 2193.88 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2038-02-01 2038-08-01 5 - 5.5 137310.40 3501.97 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2036-08-01 2036-08-01 6 - 7 106731.15 1863.12 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2034-12-01 2034-12-01 7 - 7 5927.50 234.88 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-01-01 2050-02-01 3 - 3 418603.97 431869.57 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2029-02-01 2034-03-01 5 - 5 14302.38 271.99 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2033-06-01 2033-06-01 5.5 - 5.5 2943.60 109.36 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-11-01 2049-12-01 2.5 - 3 148211.00 151717.40 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-02-01 2049-02-01 3.5 - 4 24963.38 22394.93 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-08-01 2049-08-01 4.5 - 4.5 73029.40 73581.70 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-07-01 2049-08-01 4 - 4.5 472299.78 501632.95 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2047-12-01 2047-12-01 4.5 - 4.5 20558.49 15506.42 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-06-01 2049-07-01 3 - 5.5 99870.72 94067.68 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2040-02-01 2040-02-01 5 - 5 40957.00 7922.16 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2038-12-01 2048-12-01 5 - 5.5 63120.51 51851.33 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2031-08-01 2031-08-01 2.64 - 2.64 168086.13 175848.35 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-07-01 2048-07-01 4 - 4 32956.04 29666.05 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-05-01 2049-05-01 4 - 4 968264.21 932490.42 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-08-01 2048-08-01 4 - 4 13487.49 9228.59 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2031-05-20 2059-06-15 2.5 - 7 10193207.74 9408416.80 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-09-01 2048-10-01 4 - 4 182617.56 181708.15 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2043-03-01 2043-03-01 3 - 3 645.89 328.71 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-07-01 2050-01-01 2.5 - 4.5 4277257.62 4324501.45 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2024-08-01 2033-02-01 6 - 7 52082.11 205.05 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2023-11-01 2030-03-01 5 - 6 836376.80 18215.16 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2023-05-01 2023-05-01 5 - 5 50290.02 493.37 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2042-02-01 2042-02-01 4 - 4 229.43 77.96 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2041-04-01 2045-01-01 3.5 - 5.5 371836.81 217483.87 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2033-04-01 2033-07-01 4 - 4 25211.49 21190.83 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2041-05-01 2041-07-01 5 - 5 72097.41 8083.44 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2047-06-01 2047-06-01 3.5 - 3.5 487721.27 426880.61 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2041-04-01 2041-06-01 5.5 - 5.5 2868.21 754.37 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2029-11-01 2029-11-01 2.5 - 2.5 9240.64 3929.71 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2047-02-01 2047-02-01 4 - 4 238.32 148.18 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2030-02-01 2030-02-01 3.5 - 3.5 19271.72 7842.98 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2026-02-01 2033-06-01 2.5 - 6 198695.56 14625.74 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2035-01-01 2035-01-01 3.5 - 3.5 48595.67 50799.94 Agency Mortgage-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2023-05-15 2039-08-15 1.75 - 4.5 35142469.77 38159124.70 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2034-05-01 2034-05-01 4.5 - 4.5 13688.52 13987.24 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-05-01 2049-05-01 4 - 4 76.42 56.11 Agency Mortgage-Backed Securities FEDERAL AGRICULTURE MORTGAGE CORP 549300MS654K78GYF580 2026-10-20 2026-10-20 1.75 - 1.75 71002.53 71751.55 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2021-04-01 2050-01-01 2.344 - 7.5 7596805.83 2026740.81 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2021-02-01 2058-01-01 2 - 7.5 37062416.14 27185649.66 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2040-09-01 2040-09-01 5 - 5 9177.01 609.02 Agency Mortgage-Backed Securities Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0158 83291000.00 83291000.00 0.0086 N Y Y N Mitsubishi Ufj Secs Hldgs Ltd In a joint trading account with Mitsubishi Ufj Secs Hldgs Ltd at 1.59%, dated 1/31/2020 due 02/03/2020 ZOMOLU8CGIZRYZ7PFU34 FGB031000_76664 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL HOME LOAN MORTGAGE CORP 2049-08-01 2049-08-01 3.5 - 3.5 741.67 734.46 Agency Mortgage-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2020-02-29 2046-08-15 1.125 - 3.125 14185493.96 14889087.90 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2048-10-01 2049-04-01 4 - 4.5 517538.97 484701.41 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2048-04-20 2048-04-20 3 - 3 68814.39 58504.12 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2038-02-01 2050-01-01 3 - 5.5 5814030.28 5600094.18 Agency Mortgage-Backed Securities Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0158 20618000.00 20618000.00 0.0021 N Y Y N Mizuho Securities USA, Inc. In a joint trading account with Mizuho Securities USA, Inc. at 1.59%, dated 1/31/2020 due 02/03/2020 7TK5RJIZDFROZCA6XF66 FGB031000_08126 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 2049-02-20 2049-12-20 3 - 4 9489902.42 8089678.50 Agency Mortgage-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2020-04-23 2023-08-15 0 - 2.5 20973949.15 21033176.74 U.S. Treasuries (including strips) Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0158 28548000.00 28548000.00 0.0029 N Y Y N Morgan Stanley & Co., LLC Morgan Stanley & Co., LLC, 1.59% 9R7GPTSO7KV3UQJZQ078 0000068136 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 2026-02-01 2047-07-01 3.5 - 5.5 1784686.00 304177.64 Agency Mortgage-Backed Securities TENNESEE VALLEY AUTHORITY 549300HE1ISW43LNKM54 2029-03-15 2029-09-15 N/A 8381000.00 6993375.90 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2034-02-01 2034-02-01 3.5 - 3.5 589867.00 403335.45 Agency Mortgage-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2021-11-15 2048-11-15 2.75 - 8 47332900.00 52487088.74 U.S. Treasuries (including strips) Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0158 59000000.00 59000000.00 0.0061 N Y Y N Nomura Securities Internationa In a joint trading account with Nomura Securities Internationa at 1.59%, dated 1/31/2020 due 02/03/2020 OXTKY6Q8X53C9ILVV871 FGB031000_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 2020-11-01 2049-04-01 2.5 - 9 6564668.87 492725.64 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-05-01 2049-05-01 4.5 - 4.5 15258.12 16098.36 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-05-01 2049-05-01 4.5 - 4.5 160003.08 159468.55 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2024-05-20 2069-03-20 2.5 - 7.5 4842761.07 4128648.22 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-11-01 2049-01-01 4 - 4 193532.37 136632.23 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2020-02-25 2055-09-01 2.86 - 8.5 10576856.50 8598650.32 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-07-01 2050-01-01 3 - 4.5 4474692.42 4512581.85 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-02-01 2048-02-01 3.5 - 3.5 295.28 265.42 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2031-05-01 2031-05-01 3.21 - 3.21 94455.91 103007.35 Agency Mortgage-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2023-08-31 2025-01-15 1.375 - 2.875 1645633.78 1780711.34 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2049-10-01 2049-10-01 3 - 3 833.02 834.79 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2027-06-01 2029-07-01 2.65 - 2.95 42077.12 44784.67 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2026-02-01 2026-02-01 3.575 - 3.575 180090.09 195157.72 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-12-01 2049-12-01 3 - 3 202848.94 211031.54 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-07-01 2048-07-01 3.5 - 3.5 5071222.16 3726920.25 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-09-01 2049-09-01 5 - 5 415.09 410.43 Agency Mortgage-Backed Securities Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0158 23631000.00 23631000.00 0.0024 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 GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2046-06-20 2050-01-20 3 - 4 21720.00 14057.37 Agency Mortgage-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2044-02-15 2046-05-15 2.5 - 3.625 8274600.00 10284902.68 U.S. Treasuries (including strips) FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2036-05-01 2049-08-01 3 - 6 462860.00 24653.40 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-09-01 2049-09-01 3 - 3 1623.00 1618.77 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-02-01 2049-02-01 4.5 - 4.5 1200.00 808.28 Agency Mortgage-Backed Securities Y N/A N/A 2020-02-07 2020-02-07 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 0.0010 N N Y N RBC Dominion Securities, Inc. In a joint trading account with RBC Dominion Securities, Inc. at 1.59%, dated 1/31/2020 due 02/03/2020 549300QJJX6CVVUXLE15 FGB031000_07749 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-02-20 2049-02-15 0 - 6.5 5045729.05 5431989.77 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2049-02-01 2049-02-01 4.5 - 4.5 15958.19 10847.34 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-08-01 2048-08-01 4 - 4 10.22 7.07 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2039-06-15 2050-01-20 2.5 - 5 12765024.92 8408565.94 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-01-01 2050-01-01 3 - 3 34680.08 35407.63 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-03-01 2049-03-01 4.5 - 4.5 23140.85 15445.85 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2033-07-01 2033-07-01 4 - 4 193471.74 160933.10 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2033-08-01 2033-08-01 4 - 4 156360.01 135613.64 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2036-05-01 2049-08-01 3 - 5.5 955036.97 336970.42 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-05-01 2049-05-01 4.5 - 4.5 55356.14 41322.58 Agency Mortgage-Backed Securities Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0158 14274000.00 14274000.00 0.0015 N Y Y N Sumitomo Mitsu Bk Corp Ny (DI) In a joint trading account with Sumitomo Mitsu Bk Corp Ny (DI) at 1.59%, dated 1/31/2020 due 02/03/2020 5U0XI89JRFVHWIBS4F54 FGB031000_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 1.75 - 3.75 22058900.26 23667728.57 U.S. Treasuries (including strips) GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2042-08-20 2049-11-20 3 - 4.5 27708450.05 18032605.56 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2049-01-01 2049-11-01 2.5 - 4 15512157.14 13322156.66 Agency Mortgage-Backed Securities Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0158 53755000.00 53755000.00 0.0055 N Y Y N Sumitomo Mitsui Bk Corp (REPO) In a joint trading account with Sumitomo Mitsui Bk Corp (REPO) at 1.59%, dated 1/31/2020 due 02/03/2020 5U0XI89JRFVHWIBS4F54 FGB031000_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 12753665.96 12950951.82 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2049-01-01 2050-01-01 2.5 - 3.5 147094575.33 140387242.81 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-10-01 2049-10-01 3 - 3 7929848.48 7977519.60 Agency Mortgage-Backed Securities Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0158 157011000.00 157011000.00 0.0162 N Y Y N Wells Fargo Securities LLC In a joint trading account with Wells Fargo Securities LLC at 1.59%, dated 1/31/2020 due 02/03/2020 VYVVCKR63DVZZN70PB21 FGB031000_08395 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 2034-11-01 2034-11-01 3 - 3 154704.86 158684.70 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2034-09-01 2034-09-01 3.5 - 3.5 62382.79 64488.37 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2025-10-27 2049-10-25 3.361 - 3.912 111713.61 98842.79 Agency Collateralized Mortgage Obligation FEDERAL HOME LOAN MORTGAGE CORP 2049-11-01 2050-01-01 3 - 4 28437937.24 29208094.41 Agency Mortgage-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2021-02-28 2029-11-15 1.75 - 3.125 9966874.38 10222896.59 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2047-12-01 2049-10-01 3.5 - 3.5 45415.06 46965.63 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-10-01 2049-10-01 3.5 - 3.5 121586.75 125803.11 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-01-01 2050-01-01 3 - 3 373081.99 385422.95 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-01-01 2050-01-01 3 - 3 146827.00 150582.35 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-11-01 2049-12-01 3 - 3.5 529416.30 548180.48 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-05-01 2049-05-01 3 - 3 19214.75 19818.03 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2034-04-01 2034-04-01 4 - 4 14479.53 14847.18 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-03-01 2049-03-01 4 - 4 57024.75 59035.76 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-08-01 2049-08-01 4 - 4 21815.68 22580.61 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2034-12-01 2035-01-01 3 - 3.5 813440.04 834691.31 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-07-01 2049-07-01 3.5 - 3.5 14189.30 14577.35 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-08-01 2049-11-01 3.5 - 4.5 870275.18 899677.71 Agency Mortgage-Backed Securities Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0158 42028000.00 42028000.00 0.0043 N Y Y N Wells Fargo Securities, LLC Wells Fargo Securities, LLC, 1.60% VYVVCKR63DVZZN70PB21 0000276523 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL HOME LOAN MORTGAGE CORP 2050-02-01 2050-02-01 3.5 - 3.5 30742109.00 32644352.14 Agency Mortgage-Backed Securities Y N/A N/A 2020-02-07 2020-02-07 2020-02-07 N N N 0.0159 32000000.00 32000000.00 0.0033 N N Y N Australia & New Zealand Banking Group Ltd. Australia & New Zealand Banking Group Ltd., 1.63% JHE42UYNWWTJB8YTTU19 FGA676000 Non-Negotiable Time Deposit Y N/A N/A 2020-02-07 2020-02-07 2020-02-07 N N N 0.0164 48999808.90 48999808.90 0.0051 N N Y N Barclays Bank PLC Barclays Bank PLC, 1.60% G5GSEF7VJP5I7OUK5573 FGA875000 Non-Negotiable Time Deposit Y N/A N/A 2020-02-03 2020-02-03 2020-02-03 N N N 0.0159 367000000.00 367000000.00 0.0378 N Y Y N Landesbank Hessen-Thuringen London Branch Landesbank Hessen-Thuringen London Branch, 1.63% DIZES5CFO5K3I5R58746 FGA755000 Non-Negotiable Time Deposit Y N/A N/A 2020-02-07 2020-02-07 2020-02-07 N N N 0.0164 30999879.10 30999879.10 0.0032 N N Y N U.S. Treasury Notes U.S. Treasury Notes, 1.84% 912828YN4 254900HROIFWPRGM1V77 US912828YN43 U.S. Treasury Debt Y N/A N/A 2020-02-03 2021-10-31 2021-10-31 N N N 0.0166 155471286.80 155471286.80 0.0160 N Y Y N Toyota Motor Credit Corp. Toyota Motor Credit Corp., 1.86% Z2VZBHUMB7PWWJ63I008 0000834071 Other Instrument Master Notes Y N/A N/A 2020-02-05 2020-02-07 2020-02-28 Y TOYOTA MOTOR CREDIT CORP 1.0000 7 N N/A N/A N N 0.0185 73000000.00 73000000.00 0.0075 N N Y N Fidelity Colchester Street Trust: Prime Reserves Portfolio 2020-02-04 Laura M. Del Prato Laura M. Del Prato President and Treasurer