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LLC 0000862124 084-01839 N N N Prime Y 27 49 16960000895.88 19905338657.87 16852593069.09 23050312452.23 31503413675.97 33239157835.36 34718228851.25 33915320950.88 0.2100 0.2500 0.2100 0.2900 0.4000 0.4100 0.4400 0.4200 505.09 78813049564.32 78796812714.51 125849278.18 814584784.73 78108077713.05 78087251772.21 1.0000 0.0180 1.0004 1.0004 1.0004 1.0005 C000013041 1000000.00 30229159655.17 30221488046.99 1.0004 1.0004 1.0004 1.0004 867799724.62 567276654.20 903029638.77 535636662.98 665400655.93 473737149.99 856423296.86 919402954.21 3292653316.18 2496053421.38 0.0162 Y Fidelity Investments, Reimbursement Fees, -905682.69; C000013086 1000000.00 539038759.96 538954859.04 1.0003 1.0003 1.0003 1.0003 8981129.13 7342694.16 6461698.33 10621075.37 3194957.59 4223772.73 8024418.10 10659352.73 26662203.15 32846894.99 0.0147 Y Fidelity Investments, Reimbursement Fees, -19460.06; C000013087 1000000.00 28920237.30 28928455.84 0.9999 0.9999 0.9998 0.9999 1089352.36 20000.00 0.00 11.95 0.00 0.00 27751.88 5927907.41 1117104.24 5947919.36 0.0137 Y Fidelity Investments, Reimbursement Fees, -1155.11; C000013088 1000000.00 53610631.81 53601559.73 1.0003 1.0003 1.0003 1.0004 272800.53 52633.79 523114.49 624700.00 223655.44 609275.37 1081635.69 67215.00 2101206.15 1353824.16 0.0157 Y Fidelity Investments, Reimbursement Fees, -1694.52; C000056571 10000000.00 47257348428.81 47244278850.62 1.0004 1.0004 1.0004 1.0005 1104181302.43 910919064.58 1368329375.14 1312764412.23 1433996493.64 746848488.62 1218528773.91 1426334298.60 5125035945.12 4396866264.03 0.0166 Y Fidelity Investments, Reimbursement Fees, -1733794.44; Bank of Montreal Bank of Montreal, 1.73% 06367BAQ2 NQQ6HPCNCCU6TUTQYE16 US06367BAQ23 0000927971 Certificate of Deposit Y N/A N/A 2020-05-27 2020-08-27 2020-08-27 N N N 0.0162 185098327.50 185098327.50 0.0024 N N N N Bank of Montreal Bank of Montreal, 1.74% 06367BGR4 NQQ6HPCNCCU6TUTQYE16 US06367BGR42 0000927971 Certificate of Deposit Y N/A N/A 2020-05-18 2020-11-17 2020-11-17 N N N 0.0174 247999628.00 247999628.00 0.0032 N N N N Bank of Montreal Bank of Montreal, 1.77% 06367BAM1 NQQ6HPCNCCU6TUTQYE16 US06367BAM19 0000927971 Certificate of Deposit Y N/A N/A 2020-05-26 2020-08-24 2020-08-24 N N N 0.0166 132069709.20 132069709.20 0.0017 N N N N Bank of Montreal Bank of Montreal, 1.80% 06370RD71 NQQ6HPCNCCU6TUTQYE16 US06370RD710 0000927971 Certificate of Deposit Y N/A N/A 2020-03-09 2020-03-09 2020-03-09 N N N 0.0156 375023062.50 375023062.50 0.0048 N N N N Bank of Montreal Bank of Montreal, 1.81% 06370RM55 NQQ6HPCNCCU6TUTQYE16 US06370RM554 0000927971 Certificate of Deposit Y N/A N/A 2020-03-02 2020-04-01 2020-04-01 N N N 0.0162 278043646.00 278043646.00 0.0036 N N N N Bank of Montreal Bank of Montreal, 1.85% 06370RS75 NQQ6HPCNCCU6TUTQYE16 US06370RS759 0000927971 Certificate of Deposit Y N/A N/A 2020-03-17 2020-04-17 2020-04-17 N N N 0.0164 515138277.50 515138277.50 0.0066 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 0.0190 261130447.80 261130447.80 0.0033 N N N N Bank of Montreal Bank of Montreal, 2.05% 06367BEC9 NQQ6HPCNCCU6TUTQYE16 US06367BEC90 0000927971 Certificate of Deposit Y N/A N/A 2020-03-25 2020-09-25 2020-09-25 N N N 0.0195 289160828.50 289160828.50 0.0037 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 0.0155 263009178.70 263009178.70 0.0034 N Y Y N Bank of Nova Scotia Bank of Nova Scotia, 2.00% 06417MFJ9 L3I9ZG2KFGXZ61BMYR72 US06417MFJ99 0000009631 Certificate of Deposit Y N/A N/A 2020-03-03 2020-09-03 2020-09-03 N N N 0.0192 250100500.00 250100500.00 0.0032 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 0.0153 97021456.40 97021456.40 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 0.0153 122028133.20 122028133.20 0.0016 N N N N Bank of Tokyo-Mitsubishi UFJ Ltd. 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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 0.0153 150019395.00 150019395.00 0.0019 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 0.0157 180056556.00 180056556.00 0.0023 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 0.0157 224062742.40 224062742.40 0.0029 N N N N Credit Agricole CIB Credit Agricole CIB, 1.88% 22535CJD4 1VUV7VQFKUOQSJ21A208 0001330437 Certificate of Deposit Y N/A N/A 2020-03-06 2020-03-06 2020-03-06 N N N 0.0159 348018235.20 348018235.20 0.0045 N N Y 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 0.0154 468061869.60 468061869.60 0.0060 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 0.0154 244039650.00 244039650.00 0.0031 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 0.0154 247042607.50 247042607.50 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 0.0154 447081666.90 447081666.90 0.0057 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 0.0153 242064977.00 242064977.00 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 0.0152 259072338.70 259072338.70 0.0033 N N N N HSBC Bank U.S.A. 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NA, 1.69% 40435RGN5 1IE8VN30JCEQV1H4R804 US40435RGN52 Certificate of Deposit Y N/A N/A 2020-03-13 2020-03-13 2020-03-13 N N N 0.0160 487014220.40 487014220.40 0.0062 N N N N Landesbank Baden-Wuerttemberg New York Branch Landesbank Baden-Wuerttemberg New York Branch, 1.62% 51501GSC6 B81CK4ESI35472RHJ606 0000878519 Certificate of Deposit Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0157 389001322.60 389001322.60 0.0050 N Y Y N Landesbank Baden-Wuerttemberg New York Branch Landesbank Baden-Wuerttemberg New York Branch, 1.62% 51501GSA0 B81CK4ESI35472RHJ606 0000878519 Certificate of Deposit Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0157 79000134.30 79000134.30 0.0010 N Y Y N Landesbank Baden-Wuerttemberg New York Branch Landesbank Baden-Wuerttemberg New York Branch, 1.62% 51501GSF9 B81CK4ESI35472RHJ606 0000878519 Certificate of Deposit Y N/A N/A 2020-03-03 2020-03-03 2020-03-03 N N N 0.0156 390001950.00 390001950.00 0.0050 N N Y N Landesbank Baden-Wuerttemberg New York Branch Landesbank Baden-Wuerttemberg New York Branch, 1.62% 51501GSH5 B81CK4ESI35472RHJ606 0000878519 Certificate of Deposit Y N/A N/A 2020-03-04 2020-03-04 2020-03-04 N N N 0.0156 259301737.31 259301737.31 0.0033 N N Y N Landesbank Baden-Wuerttemberg New York Branch Landesbank Baden-Wuerttemberg New York Branch, 1.62% 51501GSK8 B81CK4ESI35472RHJ606 0000878519 Certificate of Deposit Y N/A N/A 2020-03-05 2020-03-05 2020-03-05 N N N 0.0156 260002262.00 260002262.00 0.0033 N N Y N Landesbank Baden-Wuerttemberg New York Branch Landesbank Baden-Wuerttemberg New York Branch, 1.62% 51501GSP7 B81CK4ESI35472RHJ606 0000878519 Certificate of Deposit Y N/A N/A 2020-03-06 2020-03-06 2020-03-06 N N N 0.0161 260000000.00 260000000.00 0.0033 N N Y N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 1.46% 60683BZJ5 JBONEPAGQXF4QP29B387 0001462160 Certificate of Deposit Y N/A N/A 2020-07-01 2020-07-01 2020-07-01 N N N 0.0146 52000000.00 52000000.00 0.0007 N N N N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 1.46% 60683BZK2 JBONEPAGQXF4QP29B387 0001462160 Certificate of Deposit Y N/A N/A 2020-07-02 2020-07-02 2020-07-02 N N N 0.0146 52000000.00 52000000.00 0.0007 N N N N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 1.71% 60683BZA4 JBONEPAGQXF4QP29B387 US60683BZA42 0001462160 Certificate of Deposit Y N/A N/A 2020-03-18 2020-06-18 2020-06-18 N N N 0.0169 97003773.30 97003773.30 0.0012 N N N N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 1.71% 60683BZB2 JBONEPAGQXF4QP29B387 US60683BZB25 0001462160 Certificate of Deposit Y N/A N/A 2020-03-19 2020-06-19 2020-06-19 N N N 0.0169 97004122.50 97004122.50 0.0012 N N N N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 1.73% 60683BYV9 JBONEPAGQXF4QP29B387 US60683BYV97 0001462160 Certificate of Deposit Y N/A N/A 2020-03-12 2020-06-12 2020-06-12 N N N 0.0170 90605109.84 90605109.84 0.0012 N N N N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 1.76% 60683BYN7 JBONEPAGQXF4QP29B387 US60683BYN71 0001462160 Certificate of Deposit Y N/A N/A 2020-03-09 2020-06-08 2020-06-08 N N N 0.0170 98012220.60 98012220.60 0.0013 N N N N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 1.78% 60683BYC1 JBONEPAGQXF4QP29B387 US60683BYC17 0001462160 Certificate of Deposit Y N/A N/A 2020-03-19 2020-05-19 2020-05-19 N N N 0.0166 146036573.00 146036573.00 0.0019 N N N N Mitsubishi UFJ Trust & Banking Corp. 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Sumitomo Mitsui Banking Corp., 1.73% 86565B6R7 5U0XI89JRFVHWIBS4F54 0001184915 Certificate of Deposit Y N/A N/A 2020-03-10 2020-06-10 2020-06-10 N N N 0.0168 226027572.00 226027572.00 0.0029 N N N N Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 1.75% 86565B6A4 5U0XI89JRFVHWIBS4F54 0001184915 Certificate of Deposit Y N/A N/A 2020-03-04 2020-06-04 2020-06-04 N N N 0.0168 226041132.00 226041132.00 0.0029 N N N N Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 1.76% 86565B6B2 5U0XI89JRFVHWIBS4F54 0001184915 Certificate of Deposit Y N/A N/A 2020-03-05 2020-06-05 2020-06-05 N N N 0.0168 226040747.80 226040747.80 0.0029 N N N N Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 1.79% 86565B5A5 5U0XI89JRFVHWIBS4F54 US86565B5A50 0001184915 Certificate of Deposit Y N/A N/A 2020-03-18 2020-05-18 2020-05-18 N N N 0.0164 315093649.50 315093649.50 0.0040 N N N N Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 1.87% 86565B4E8 5U0XI89JRFVHWIBS4F54 0001184915 Certificate of Deposit Y N/A N/A 2020-03-09 2020-05-07 2020-05-07 N N N 0.0168 500174050.00 500174050.00 0.0064 N N N N Sumitomo Mitsui Trust Bank Ltd. Sumitomo Mitsui Trust Bank Ltd., 1.75% 86564F5C3 5493006GGLR4BTEL8O61 US86564F5C37 0001046017 Certificate of Deposit Y N/A N/A 2020-03-24 2020-05-22 2020-05-22 N N N 0.0162 90026118.00 90026118.00 0.0012 N N N N Sumitomo Mitsui Trust Bank Ltd. Sumitomo Mitsui Trust Bank Ltd., 1.76% 86564F5D1 5493006GGLR4BTEL8O61 US86564F5D10 0001046017 Certificate of Deposit Y N/A N/A 2020-03-23 2020-05-21 2020-05-21 N N N 0.0163 134638710.96 134638710.96 0.0017 N N N N Sumitomo Mitsui Trust Bank Ltd. Sumitomo Mitsui Trust Bank Ltd., 1.80% 86564F4K6 5493006GGLR4BTEL8O61 US86564F4K61 0001046017 Certificate of Deposit Y N/A N/A 2020-03-16 2020-05-14 2020-05-14 N N N 0.0165 140542824.40 140542824.40 0.0018 N N N N Sumitomo Mitsui Trust Bank Ltd. Sumitomo Mitsui Trust Bank Ltd., 1.82% 86564F4J9 5493006GGLR4BTEL8O61 US86564F4J98 0001046017 Certificate of Deposit Y N/A N/A 2020-03-02 2020-05-12 2020-05-12 N N N 0.0167 224665470.90 224665470.90 0.0029 N N N N Sumitomo Mitsui Trust Bank Ltd. Sumitomo Mitsui Trust Bank Ltd., 1.82% 86564F4H3 5493006GGLR4BTEL8O61 US86564F4H33 0001046017 Certificate of Deposit Y N/A N/A 2020-03-11 2020-05-11 2020-05-11 N N N 0.0166 49013955.20 49013955.20 0.0006 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 0.0153 119630832.88 119630832.88 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 0.0153 72019324.80 72019324.80 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 0.0152 120042204.00 120042204.00 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 0.0152 113762967.06 113762967.06 0.0015 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 0.0152 113076444.50 113076444.50 0.0014 N N N N Svenska Handelsbanken, Inc. Svenska Handelsbanken, Inc., 1.72% 86959RFH8 NHBDILHZTYCNBV5UYZ31 US86959RFH84 0001448613 Certificate of Deposit Y N/A N/A 2020-03-11 2020-08-11 2020-08-11 N N N 0.0170 464023524.80 464023524.80 0.0059 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 0.0155 368053028.80 368053028.80 0.0047 N N N N Bank of Montreal London Branch Bank of Montreal London Branch, 1.54% NQQ6HPCNCCU6TUTQYE16 XS2130246395 Certificate of Deposit Y N/A N/A 2020-07-20 2020-07-20 2020-07-20 N N N 0.0142 123055017.90 123055017.90 0.0016 N N N N Commonwealth Bank of Australia London Branch Commonwealth Bank of Australia London Branch, 2.00% MSFSBD3QN1GSN7Q6C537 XS2052341281 Certificate of Deposit Y N/A N/A 2020-03-10 2020-03-10 2020-03-10 N N N 0.0157 119015017.80 119015017.80 0.0015 N N N N Credit Agricole SA London Branch Credit Agricole SA London Branch, 1.48% 969500TJ5KRTCJQWXH05 XS2131343704 Certificate of Deposit Y N/A N/A 2020-07-03 2020-07-03 2020-07-03 N N N 0.0143 124018116.40 124018116.40 0.0016 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 0.0149 243108159.30 243108159.30 0.0031 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 0.0147 243167329.80 243167329.80 0.0031 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 0.0159 369693862.00 369693862.00 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 0.0158 315725143.20 315725143.20 0.0040 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 0.0152 488117998.40 488117998.40 0.0062 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 0.0152 247070444.40 247070444.40 0.0032 N N N N Credit Agricole SA London Branch Credit Agricole SA London Branch, 1.90% 969500TJ5KRTCJQWXH05 XS2088760744 Certificate of Deposit Y N/A N/A 2020-03-30 2020-03-30 2020-03-30 N N N 0.0151 228074008.80 228074008.80 0.0029 N N N N DZ Bank AG London Branch DZ Bank AG London Branch, 1.66% 529900HNOAA1KXQJUQ27 XS2123020583 Certificate of Deposit Y N/A N/A 2020-05-18 2020-05-18 2020-05-18 N N N 0.0141 245237941.20 245237941.20 0.0031 N N N N DZ Bank AG London Branch DZ Bank AG London Branch, 1.67% 529900HNOAA1KXQJUQ27 XS2125289350 Certificate of Deposit Y N/A N/A 2020-05-21 2020-05-21 2020-05-21 N N N 0.0141 254183413.50 254183413.50 0.0033 N N N N DZ Bank AG London Branch DZ Bank AG London Branch, 1.68% 529900HNOAA1KXQJUQ27 XS2121409028 Certificate of Deposit Y N/A N/A 2020-05-13 2020-05-13 2020-05-13 N N N 0.0142 243287056.40 243287056.40 0.0031 N N N N DZ Bank AG London Branch DZ Bank AG London Branch, 1.68% 529900HNOAA1KXQJUQ27 XS2121409614 Certificate of Deposit Y N/A N/A 2020-06-15 2020-06-15 2020-06-15 N N N 0.0139 389399832.50 389399832.50 0.0050 N N N N DZ Bank AG London Branch DZ Bank AG London Branch, 1.68% 529900HNOAA1KXQJUQ27 XS2125189485 Certificate of Deposit Y N/A N/A 2020-06-22 2020-06-22 2020-06-22 N N N 0.0139 248914575.00 248914575.00 0.0032 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 0.0145 394045324.50 394045324.50 0.0050 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 0.0144 291283548.80 291283548.80 0.0037 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 0.0141 242247234.60 242247234.60 0.0031 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 0.0141 387754305.30 387754305.30 0.0050 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 0.0161 266941046.40 266941046.40 0.0034 N N Y 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 0.0161 144961633.00 144961633.00 0.0019 N N Y 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 0.0146 243630022.80 243630022.80 0.0031 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 0.0155 486216319.60 486216319.60 0.0062 N N N N KBC Bank NV London KBC Bank NV London, 1.61% 6B2PBRV1FCJDMR45RZ53 XS2128045171 Certificate of Deposit Y N/A N/A 2020-06-29 2020-06-29 2020-06-29 N N N 0.0146 259732871.10 259732871.10 0.0033 N N N N KBC Bank NV London KBC Bank NV London, 1.66% 6B2PBRV1FCJDMR45RZ53 XS2123085792 Certificate of Deposit Y N/A N/A 2020-05-18 2020-05-18 2020-05-18 N N N 0.0149 486404581.60 486404581.60 0.0062 N N N N KBC Bank NV London KBC Bank NV London, 1.66% 6B2PBRV1FCJDMR45RZ53 XS2123635885 Certificate of Deposit Y N/A N/A 2020-05-19 2020-05-19 2020-05-19 N N N 0.0149 243193067.60 243193067.60 0.0031 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 0.0153 727387816.50 727387816.50 0.0093 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 0.0149 726534230.40 726534230.40 0.0093 N N N N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 1.69% JBONEPAGQXF4QP29B387 XS2124965612 Certificate of Deposit Y N/A N/A 2020-05-20 2020-05-20 2020-05-20 N N N 0.0149 97672209.60 97672209.60 0.0013 N N N N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 1.95% JBONEPAGQXF4QP29B387 XS2083276662 Certificate of Deposit Y N/A N/A 2020-03-20 2020-03-20 2020-03-20 N N N 0.0155 57948211.80 57948211.80 0.0007 N N N N Mizuho Bank Ltd. London Branch Mizuho Bank Ltd. London Branch, 1.62% RB0PEZSDGCO3JS6CEU02 XS2130065332 Certificate of Deposit Y N/A N/A 2020-06-02 2020-06-02 2020-06-02 N N N 0.0140 196286564.50 196286564.50 0.0025 N N N N Mizuho Bank Ltd. London Branch Mizuho Bank Ltd. London Branch, 1.65% RB0PEZSDGCO3JS6CEU02 XS2128009615 Certificate of Deposit Y N/A N/A 2020-05-27 2020-05-27 2020-05-27 N N N 0.0144 97655089.00 97655089.00 0.0013 N N N N Mizuho Bank Ltd. London Branch Mizuho Bank Ltd. London Branch, 1.69% RB0PEZSDGCO3JS6CEU02 XS2122999019 Certificate of Deposit Y N/A N/A 2020-05-18 2020-05-18 2020-05-18 N N N 0.0146 243217614.00 243217614.00 0.0031 N N N N Mizuho Bank Ltd. London Branch Mizuho Bank Ltd. London Branch, 1.69% RB0PEZSDGCO3JS6CEU02 XS2125048400 Certificate of Deposit Y N/A N/A 2020-05-20 2020-05-20 2020-05-20 N N N 0.0146 147515018.80 147515018.80 0.0019 N N N N Mizuho Bank Ltd. London Branch Mizuho Bank Ltd. London Branch, 1.73% RB0PEZSDGCO3JS6CEU02 XS2114972032 Certificate of Deposit Y N/A N/A 2020-05-05 2020-05-05 2020-05-05 N N N 0.0149 97731734.80 97731734.80 0.0013 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 0.0162 291935234.40 291935234.40 0.0037 N N Y 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 0.0162 146960868.60 146960868.60 0.0019 N N Y N Mizuho Bank Ltd. London Branch Mizuho Bank Ltd. London Branch, 1.95% RB0PEZSDGCO3JS6CEU02 XS2092442503 Certificate of Deposit Y N/A N/A 2020-03-09 2020-03-09 2020-03-09 N N N 0.0161 131941708.80 131941708.80 0.0017 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 0.0157 210809635.80 210809635.80 0.0027 N N N N Mizuho Bank Ltd. London Branch Mizuho Bank Ltd. London Branch, 2.00% RB0PEZSDGCO3JS6CEU02 XS2076841399 Certificate of Deposit Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0160 86988516.00 86988516.00 0.0011 N Y Y 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 0.0146 782257356.20 782257356.20 0.0100 N N N N Rabobank Nederland London Branch Rabobank Nederland London Branch, 1.66% DG3RU1DBUFHT4ZF9WN62 XS2123401460 Certificate of Deposit Y N/A N/A 2020-06-19 2020-06-19 2020-06-19 N N N 0.0149 242891117.60 242891117.60 0.0031 N N N N Rabobank Nederland London Branch Rabobank Nederland London Branch, 1.66% DG3RU1DBUFHT4ZF9WN62 XS2125225461 Certificate of Deposit Y N/A N/A 2020-06-22 2020-06-22 2020-06-22 N N N 0.0149 243858618.50 243858618.50 0.0031 N N N N Sumitomo Mitsui Trust Bank Ltd. London Branch Sumitomo Mitsui Trust Bank Ltd. London Branch, 1.74% 5493006GGLR4BTEL8O61 XS2115358819 Certificate of Deposit Y N/A N/A 2020-05-07 2020-05-07 2020-05-07 N N N 0.0149 196444243.30 196444243.30 0.0025 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 0.0147 157422209.80 157422209.80 0.0020 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 0.0148 78743913.60 78743913.60 0.0010 N N N N HSBC Bank U.S.A. NA HSBC Bank U.S.A. NA, 2.02% 40435RGA3 1IE8VN30JCEQV1H4R804 US40435RGA32 Certificate of Deposit Y N/A N/A 2020-04-23 2020-04-23 2020-04-23 N N N 0.0142 240213168.00 240213168.00 0.0031 N N N N HSBC Bank U.S.A. NA HSBC Bank U.S.A. 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TransCanada PipeLines Ltd., 1.75% 89355PD21 5BV01I6231JPDAPMGH09 0000099070 Non-Financial Company Commercial Paper Y N/A N/A 2020-04-02 2020-04-02 2020-04-02 N N N 0.0181 28182728.87 28182728.87 0.0004 N N N N TransCanada PipeLines Ltd. TransCanada PipeLines Ltd., 1.75% 89355PDD7 5BV01I6231JPDAPMGH09 0000099070 Non-Financial Company Commercial Paper Y N/A N/A 2020-04-13 2020-04-13 2020-04-13 N N N 0.0181 24719875.63 24719875.63 0.0003 N N N N TransCanada PipeLines Ltd. TransCanada PipeLines Ltd., 1.81% 89355PD21 5BV01I6231JPDAPMGH09 0000099070 Non-Financial Company Commercial Paper Y N/A N/A 2020-04-02 2020-04-02 2020-04-02 N N N 0.0181 31946416.00 31946416.00 0.0004 N N N N Tyson Foods, Inc. Tyson Foods, Inc., 1.75% 90247MCP8 WD6L6041MNRW1JE49D58 0000100493 Non-Financial Company Commercial Paper Y N/A N/A 2020-03-23 2020-03-23 2020-03-23 N N N 0.0178 24970767.50 24970767.50 0.0003 N N N N UnitedHealth Group, Inc. UnitedHealth Group, Inc., 1.66% 91058TCR5 549300GHBMY8T5GXDE41 0000731766 Non-Financial Company Commercial Paper Y N/A N/A 2020-03-25 2020-03-25 2020-03-25 N N N 0.0164 70917029.40 70917029.40 0.0009 N N N N UnitedHealth Group, Inc. UnitedHealth Group, Inc., 1.66% 91058TCR5 549300GHBMY8T5GXDE41 0000731766 Non-Financial Company Commercial Paper Y N/A N/A 2020-03-25 2020-03-25 2020-03-25 N N N 0.0164 71915860.80 71915860.80 0.0009 N N N N UnitedHealth Group, Inc. UnitedHealth Group, Inc., 1.66% 91058TCR5 549300GHBMY8T5GXDE41 0000731766 Non-Financial Company Commercial Paper Y N/A N/A 2020-03-25 2020-03-25 2020-03-25 N N N 0.0164 84900669.00 84900669.00 0.0011 N N N N UnitedHealth Group, Inc. UnitedHealth Group, Inc., 1.66% 91058TCR5 549300GHBMY8T5GXDE41 0000731766 Non-Financial Company Commercial Paper Y N/A N/A 2020-03-25 2020-03-25 2020-03-25 N N N 0.0164 19976628.00 19976628.00 0.0003 N N N N UnitedHealth Group, Inc. UnitedHealth Group, Inc., 1.66% 91058TCR5 549300GHBMY8T5GXDE41 0000731766 Non-Financial Company Commercial Paper Y N/A N/A 2020-03-25 2020-03-25 2020-03-25 N N N 0.0164 66921703.80 66921703.80 0.0009 N N N N Ventas Realty LP Ventas Realty LP, 1.70% 92276VC29 32SXKSJ72K64GM3HOU64 FHA759000 Non-Financial Company Commercial Paper Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0170 22996770.80 22996770.80 0.0003 N Y Y N Ventas Realty LP Ventas Realty LP, 1.70% 92276VC29 32SXKSJ72K64GM3HOU64 FHB376000 Non-Financial Company Commercial Paper Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0170 23996630.40 23996630.40 0.0003 N Y Y N Ventas Realty LP Ventas Realty LP, 1.70% 92276VC29 32SXKSJ72K64GM3HOU64 FHB346000 Non-Financial Company Commercial Paper Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0170 49992980.00 49992980.00 0.0006 N Y Y N Ventas Realty LP Ventas Realty LP, 1.70% 92276VC29 32SXKSJ72K64GM3HOU64 FHA245000 Non-Financial Company Commercial Paper Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0170 38994524.40 38994524.40 0.0005 N Y Y N Atlantic Asset Securitization Corp. Atlantic Asset Securitization Corp., 1.90% 04821TD36 549300BUNY5BIX4CVW20 0000916935 Asset Backed Commercial Paper Y N/A N/A 2020-04-03 2020-04-03 2020-04-03 N Y CREDIT AGRICOLE CIB NY BRH 1.0000 N/A N/A N 0.0160 122811896.10 122811896.10 0.0016 N N N N Liberty Street Funding LLC Liberty Street Funding LLC, 2.07% 53127TD26 549300F33VRHM10B9391 FBC161000 Asset Backed Commercial Paper Y N/A N/A 2020-04-02 2020-04-02 2020-04-02 N Y BANK OF NOVA SCOTIA 1.0000 N/A N/A N 0.0166 25959850.80 25959850.80 0.0003 N N N N Liberty Street Funding LLC Liberty Street Funding LLC, 2.07% 53127TD26 549300F33VRHM10B9391 FBC125000 Asset Backed Commercial Paper Y N/A N/A 2020-04-02 2020-04-02 2020-04-02 N Y BANK OF NOVA SCOTIA 1.0000 N/A N/A N 0.0166 25959850.80 25959850.80 0.0003 N N N N Liberty Street Funding LLC Liberty Street Funding LLC, 2.07% 53127TD34 549300F33VRHM10B9391 FBC124000 Asset Backed Commercial Paper Y N/A N/A 2020-04-03 2020-04-03 2020-04-03 N Y BANK OF NOVA SCOTIA 1.0000 N/A N/A N 0.0166 53914269.60 53914269.60 0.0007 N N N N Manhattan Asset Funding Co. LLC Manhattan Asset Funding Co. LLC, 1.60% 56274LE75 549300S0NSJYSOB32S63 FHC883000 Asset Backed Commercial Paper Y N/A N/A 2020-05-07 2020-05-07 2020-05-07 N Y SUMITOMO MITSUI BKG CORP 1.0000 N/A N/A N 0.0155 25923733.42 25923733.42 0.0003 N N N N Manhattan Asset Funding Co. LLC Manhattan Asset Funding Co. LLC, 1.62% 56274LCG7 549300S0NSJYSOB32S63 FHC949000 Asset Backed Commercial Paper Y N/A N/A 2020-03-16 2020-03-16 2020-03-16 N Y SUMITOMO MITSUI BKG CORP 1.0000 N/A N/A N 0.0135 51967240.00 51967240.00 0.0007 N N N N Sheffield Receivables Corp. Sheffield Receivables Corp., 1.69% 82124LEB4 549300MYF6MOTU9T3G29 FGF100000 Asset Backed Commercial Paper Y N/A N/A 2020-05-11 2020-05-11 2020-05-11 N Y BARCLAYS BANK PLC 1.0000 N/A N/A N 0.0161 86719320.60 86719320.60 0.0011 N N N N Sheffield Receivables Corp. Sheffield Receivables Corp., 1.69% 82124LEB4 549300MYF6MOTU9T3G29 FGF101000 Asset Backed Commercial Paper Y N/A N/A 2020-05-11 2020-05-11 2020-05-11 N Y BARCLAYS BANK PLC 1.0000 N/A N/A N 0.0161 42861273.40 42861273.40 0.0005 N N N N Bank Of America, N.A. In a joint trading account with Bank Of America, N.A. at 1.61%, dated 2/28/2020 due 03/02/2020 B4TYDEB6GKMZO031MB27 FHD268000_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 2045-07-20 3 - 5.25 37300438.14 8664259.80 Agency Collateralized Mortgage Obligation Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0159 8472000.00 8472000.00 0.0001 N Y Y N Bank Of America, N.A. In a joint trading account with Bank Of America, N.A. at 1.61%, dated 2/28/2020 due 03/02/2020 B4TYDEB6GKMZO031MB27 FHD120000_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 2045-07-20 3 - 5.25 2270210684.29 527331478.16 Agency Collateralized Mortgage Obligation Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0160 515630000.00 515630000.00 0.0066 N Y Y N Bank of Nova Scotia In a joint trading account with Bank of Nova Scotia at 1.61%, dated 2/28/2020 due 03/02/2020 L3I9ZG2KFGXZ61BMYR72 FHD120000_00324 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2022-09-15 2026-08-15 1.5 - 2.75 56881635.89 59541208.17 U.S. Treasuries (including strips) Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0160 58366000.00 58366000.00 0.0007 N Y Y N Bank of Nova Scotia In a joint trading account with Bank of Nova Scotia at 1.61%, dated 2/28/2020 due 03/02/2020 L3I9ZG2KFGXZ61BMYR72 FHD268000_00324 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2022-09-15 2026-08-15 1.5 - 2.75 16881466.90 17670781.07 U.S. Treasuries (including strips) Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0159 17322000.00 17322000.00 0.0002 N Y Y N Barclays Bank PLC Barclays Bank PLC, 1.60% G5GSEF7VJP5I7OUK5573 FHA195000 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 2049-05-20 2049-10-20 3.5 - 4 148029438.00 130600619.07 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0159 128000000.00 128000000.00 0.0016 N Y Y N BNP Paribas, S.A. In a joint trading account with BNP Paribas, S.A. at 1.61%, dated 2/28/2020 due 03/02/2020 R0MUWSFPU8MPRO8K5P83 FHD120000_07651 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-03-17 2047-08-15 0 - 6.25 56067861.26 60391369.74 U.S. Treasuries (including strips) Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0160 59067000.00 59067000.00 0.0008 N Y Y N BNP Paribas, S.A. In a joint trading account with BNP Paribas, S.A. at 1.61%, dated 2/28/2020 due 03/02/2020 R0MUWSFPU8MPRO8K5P83 FHD268000_07651 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-03-17 2047-08-15 0 - 6.25 1833902.31 1975318.31 U.S. Treasuries (including strips) Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0159 1932000.00 1932000.00 0.0000 N Y Y N BNP Paribas, SA BNP Paribas, SA, 1.61% R0MUWSFPU8MPRO8K5P83 FGH723000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2021-08-15 2048-02-15 0 - 4.375 104777200.69 83441144.64 U.S. Treasuries (including strips) Y N/A N/A 2020-03-06 2020-03-06 2020-03-19 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0160 81000000.00 81000000.00 0.0010 N N Y N BNP Paribas, SA BNP Paribas, SA, 1.61% R0MUWSFPU8MPRO8K5P83 FGJ665000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-04-07 2045-08-15 0 - 1.75 84317700.00 87747927.02 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2028-04-01 2028-04-01 7.5 - 7.5 12021.00 20.08 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2038-12-20 2038-12-20 5.5 - 5.5 1000.00 4.05 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-06 2020-03-06 2020-03-24 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0160 86000000.00 86000000.00 0.0011 N N Y N BNY Mellon Capital Markets LLC In a joint trading account with BNY Mellon Capital Markets LLC at 1.61%, dated 2/28/2020 due 03/02/2020 VJW2DOOHGDT6PR0ZRO63 FHD120000_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 2023-07-01 2023-07-01 7.25 - 7.25 1624.69 19.70 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2031-10-01 2032-05-01 6.5 - 6.5 60926.00 121.58 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2032-07-01 2033-02-01 6 - 6.5 207157.34 852.58 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2026-02-01 2026-02-01 4 - 4 162698.90 14058.61 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2030-02-01 2030-04-01 7 - 7 68237.12 149.69 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2031-01-01 2031-09-01 6.5 - 7 145477.97 471.50 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2028-06-01 2028-12-01 7 - 7 2274.57 51.96 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2033-11-01 2049-03-01 4 - 5 9814769.83 5969515.43 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2023-04-01 2023-06-01 5 - 5 99375.99 934.18 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2039-12-01 2039-12-01 4.5 - 4.5 3086.92 232.94 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2037-07-01 2037-11-01 6 - 6.5 7639.31 274.43 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2038-05-01 2038-05-01 6.5 - 6.5 40617.33 145.28 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2036-09-01 2037-03-01 6 - 6.5 58753.14 813.68 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2036-05-01 2036-09-01 6 - 6 6092.60 95.53 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2036-02-01 2036-02-01 6.5 - 6.5 4061.73 315.87 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-02-01 2050-02-01 2.5 - 2.5 696854.53 709064.81 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2032-03-01 2032-03-01 7 - 7 1359.71 57.25 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-02-01 2050-03-01 2.5 - 3 3739191.58 3859389.06 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2033-10-01 2033-10-01 6.5 - 6.5 11697.79 197.42 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2033-10-01 2033-10-01 6 - 6 9748.16 473.71 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-02-01 2049-02-01 4 - 4 424857.31 361004.41 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2047-07-01 2047-07-01 3.5 - 3.5 2761.98 2270.48 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2047-12-01 2047-12-01 3.5 - 3.5 6411.69 5551.66 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2045-08-01 2045-08-01 3.5 - 3.5 11535.32 7079.58 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2036-04-01 2036-10-01 5.5 - 6 4386.67 85.81 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2021-10-01 2034-09-01 6 - 10 412118.90 1631.92 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2046-07-01 2046-08-01 3 - 3.5 58909.11 37557.71 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-01-01 2050-03-01 3 - 3.5 61097157.54 63527060.90 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2039-10-01 2042-06-01 3 - 6 43301.33 4523.92 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2035-05-01 2038-10-01 5.5 - 6.5 44841.54 1758.88 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2020-06-15 2049-12-20 2.5 - 9.5 41881384.06 31697915.70 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2044-07-01 2044-12-01 3.5 - 3.5 4020832.33 2005845.97 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2043-02-01 2043-02-01 3 - 3 162.47 31.16 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2043-04-01 2043-05-01 3 - 3 7808.76 3819.06 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2043-07-01 2043-07-01 3 - 3 498.62 263.49 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-08-01 2050-02-01 2.5 - 4.5 37146006.73 37557321.06 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-10-01 2049-10-01 3 - 3 655894.39 655535.99 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2021-03-01 2032-04-01 6 - 9 2504464.77 413.44 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2030-03-01 2036-09-01 3 - 5 560296.78 386078.83 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2042-12-01 2042-12-01 3 - 3 976.12 515.08 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2022-10-01 2043-02-01 3 - 6.5 283504.60 12401.69 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2031-06-01 2046-09-01 3.5 - 4.5 77010.46 49292.70 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2045-12-01 2045-12-01 4.5 - 4.5 2274.57 1279.46 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2037-09-01 2040-08-01 4.5 - 5.5 1684705.12 53136.62 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2046-09-01 2046-09-01 3 - 3 5272.45 3960.31 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2034-07-01 2045-03-01 3 - 6.5 26166.82 6558.37 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2043-07-01 2048-04-01 3 - 4.5 264933.71 142460.12 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2024-07-01 2024-07-01 4 - 4 196723.72 6041.94 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2032-04-01 2032-05-01 3.5 - 3.5 266449.71 175424.73 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2026-08-01 2029-07-01 3 - 5 295856.66 100093.83 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2035-02-01 2035-02-01 2 - 2 406173.33 409808.18 Agency Mortgage-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2020-03-03 2050-02-15 0 - 8.75 82945108.81 83835027.11 U.S. Treasuries (including strips) FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 2020-03-04 2024-12-13 0 - 4.125 86876739.21 87513902.00 Agency Debentures and Agency Strips FEDERAL FARM CREDIT 2020-03-04 2050-02-03 1.375 - 5.05 31075184.45 31701062.41 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2020-04-01 2049-06-01 1.375 - 7.5 22480821.05 14113993.00 Agency Debentures and Agency Strips FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2020-03-04 2050-02-01 1.3 - 9.5 152260678.54 131499819.69 Agency Mortgage-Backed Securities RESOLUTION FUNDING CORP 2020-07-15 2020-07-15 0 - 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10.5 98555686.76 2078596.68 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2020-03-27 2050-02-01 1.375 - 9.5 16416201.04 9382347.78 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2036-10-01 2036-10-01 5 - 5 294773.56 2089.26 Agency Mortgage-Backed Securities RESOLUTION FUNDING CORP 2020-07-15 2030-04-15 0 - 8.875 2576981.72 2196706.92 Agency Debentures and Agency Strips US TREASURY 254900HROIFWPRGM1V77 2020-03-03 2049-11-15 0 - 8.75 182994249.12 199904303.34 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2050-02-01 2050-02-01 3.5 - 3.5 130.37 138.43 Agency Mortgage-Backed Securities FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 2020-03-13 2043-06-22 1.125 - 5.5 1648578.50 1846158.17 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2020-11-01 2023-10-01 5.5 - 5.5 2698.34 11.90 Agency Mortgage-Backed Securities TENNESEE VALLEY AUTHORITY 549300HE1ISW43LNKM54 2020-03-15 2061-03-15 0 - 4.875 474368.49 540428.80 Agency Debentures and Agency Strips FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2028-07-01 2028-07-01 3.63 - 3.63 128.69 140.68 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0160 213311000.00 213311000.00 0.0027 N Y Y N Citibank NA In a joint trading account with Citibank NA at 1.61%, dated 2/28/2020 due 03/02/2020 E57ODZWZ7FF32TWEFA76 FHD268000_00276 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2028-10-01 2028-10-01 3.59 - 3.59 31.39 35.19 Agency Mortgage-Backed Securities FEDERAL FARM CREDIT 2021-06-24 2037-01-29 1.9 - 3.5 387139.94 397818.91 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2049-12-01 2049-12-01 3.5 - 3.5 559.27 604.11 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2040-08-01 2040-08-01 5 - 5 23572.87 2055.06 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2020-08-01 2045-12-01 0 - 8 1242931.08 113075.72 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2020-03-15 2049-10-20 2.5 - 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3.63 31.39 34.32 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0159 52034000.00 52034000.00 0.0007 N Y Y N Citibank NA Citibank NA, 1.61% E57ODZWZ7FF32TWEFA76 0000036684 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2021-02-15 2029-02-15 0.125 - 3.625 181125600.00 194624363.97 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2050-02-01 2050-02-01 3 - 3 709270.00 737243.61 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 2029-07-15 2029-07-15 N/A 1000.00 841.52 Agency Debentures and Agency Strips FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2021-05-01 2040-07-01 5 - 6.5 14567.00 257.54 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-02-01 2050-02-01 3 - 3 1278.00 1310.63 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-03 2020-03-03 2020-03-03 N N N 0.0160 191000000.00 191000000.00 0.0024 N N Y N Citigroup Global Markets, Inc. In a joint trading account with Citigroup Global Markets, Inc. at 1.61%, dated 2/28/2020 due 03/02/2020 MBNUM2BPBDO7JBLYG310 FHD268000_00137 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 2032-06-01 2032-08-01 7 - 7 132477.27 3218.99 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2032-12-01 2033-02-01 5.5 - 5.5 199228.75 2456.69 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2028-08-01 2028-09-01 2 - 2 1644.31 594.26 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2031-05-01 2031-10-01 5.5 - 6 87115.32 1162.39 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2024-10-01 2025-07-01 4 - 5 74495.18 2871.34 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2029-07-01 2029-07-01 4 - 4 2068.10 1668.23 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2024-01-01 2046-02-01 3 - 6 47739.52 15990.50 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2024-09-01 2024-10-01 4 - 4.5 8963.12 1788.79 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2026-05-01 2029-07-01 2.88 - 3.77 139923.80 150590.04 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2025-10-01 2030-11-01 3.65 - 3.94 56600.41 64701.90 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2026-01-01 2029-01-01 3.57 - 4.2 2958.57 3270.53 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2028-08-01 2028-08-01 4.19 - 4.19 5614.39 5978.72 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2030-01-01 2032-02-01 2.45 - 2.88 165831.37 176151.51 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2029-09-01 2029-10-01 2.38 - 2.71 42379.17 44913.29 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2029-12-01 2030-02-01 2.44 - 2.57 92834.48 97963.39 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-06-01 2049-07-01 4 - 4 49668.07 51036.45 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2046-01-01 2046-01-01 4.5 - 4.5 5562.40 1528.73 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2029-07-01 2029-10-01 3 - 3 10521.13 5274.44 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2027-05-01 2043-01-01 3 - 4 30810.54 14536.62 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2030-04-01 2032-12-01 6.5 - 7 1107415.83 5738.34 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-04-01 2048-04-01 3.5 - 3.5 3303.71 3372.60 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2031-08-01 2032-08-01 8 - 8.5 9153.90 1763.81 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-11-01 2048-11-01 6 - 6 832.21 751.77 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2020-04-20 2069-12-20 1.5 - 10.5 7108510.64 5906967.50 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2024-09-01 2027-05-01 5.5 - 5.5 2864.98 1844.19 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2026-02-01 2027-05-01 3 - 4.5 23114.63 2600.90 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2027-10-01 2042-09-01 2.5 - 4 8297.00 2963.04 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2029-08-01 2032-02-01 2 - 2.5 3203.25 1973.11 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2032-12-01 2032-12-01 4 - 4 15015.29 3494.87 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2029-08-01 2030-03-01 3.5 - 3.5 11982.52 12154.29 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-07-01 2049-08-01 3.5 - 4.5 141111.38 132501.62 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2031-08-01 2031-08-01 6 - 6 111881.00 670.87 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2026-01-01 2029-08-01 5 - 6.5 199282.86 4716.91 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2042-08-01 2042-08-01 4 - 4 1367.62 644.46 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2045-02-01 2045-02-01 4 - 4 3613.75 987.70 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2033-02-01 2033-02-01 3 - 3 1695.17 576.01 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2030-04-01 2031-11-01 5 - 5.5 5939.86 2166.13 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2028-08-01 2032-12-01 3 - 4 20053.37 17240.68 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2030-02-01 2030-02-01 3 - 3 1612.66 1675.25 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2028-12-01 2030-06-01 3 - 3.5 5294.66 2665.84 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2029-02-01 2029-02-01 3.5 - 3.5 2101.43 822.43 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2047-02-01 2047-02-01 3 - 3 983.20 782.76 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2031-09-01 2032-09-01 3.5 - 3.5 32268.99 19657.13 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2023-11-01 2025-08-01 4.5 - 4.5 118384.09 2456.98 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2025-06-01 2025-06-01 4 - 4 13583.37 2064.13 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2030-06-01 2030-07-01 2 - 3.5 2509.81 1423.93 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2026-09-01 2032-12-01 2.5 - 4.5 11636.65 6682.50 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2022-01-01 2032-12-01 2 - 6 107265.45 9467.69 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2035-02-01 2035-02-01 2.5 - 2.5 36475.97 37347.38 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2024-11-01 2024-11-01 4 - 4 13559.98 14242.52 Agency Mortgage-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2020-04-15 2020-04-15 0.125 - 0.125 986356.80 1084947.86 U.S. Treasuries (including strips) FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 2025-02-21 2025-02-21 1.95 - 1.95 103015.28 103272.11 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2029-05-01 2029-05-01 3 - 3 4626.98 2948.68 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2040-02-01 2040-02-01 2.5 - 3 1362.75 1401.98 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2027-01-01 2033-11-01 4 - 4.5 91465.77 96111.86 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2028-09-01 2030-10-01 3.49 - 3.73 65932.95 75084.79 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2032-12-01 2032-12-01 3 - 3 334.46 339.88 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2021-05-01 2049-06-01 2 - 8.5 2692383.29 521750.54 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2020-12-01 2049-08-01 2 - 9 8882792.89 1613857.42 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2028-07-01 2028-07-01 3.63 - 3.63 35226.24 38507.84 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N Y Citigroup Inc 1.0000 N/A N/A N 0.0159 10171000.00 10171000.00 0.0001 N Y Y N Citigroup Global Markets, Inc. In a joint trading account with Citigroup Global Markets, Inc. at 1.61%, dated 2/28/2020 due 03/02/2020 MBNUM2BPBDO7JBLYG310 FHD120000_00137 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 2024-09-01 2024-10-01 4 - 4.5 221673.95 44240.06 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2026-05-01 2029-07-01 2.88 - 3.77 3460565.53 3724360.80 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2025-10-01 2030-11-01 3.65 - 3.94 1399829.37 1600193.62 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2026-01-01 2029-01-01 3.57 - 4.2 73170.75 80886.02 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2028-08-01 2028-08-01 4.19 - 4.19 138853.94 147864.39 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2030-01-01 2032-02-01 2.45 - 2.88 4101306.14 4356541.43 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2029-09-01 2029-10-01 2.38 - 2.71 1048112.50 1110785.85 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2029-12-01 2030-02-01 2.44 - 2.57 2295962.54 2422809.62 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-06-01 2049-07-01 4 - 4 1228380.14 1262222.65 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2046-01-01 2046-01-01 4.5 - 4.5 137568.12 37808.12 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2029-07-01 2029-10-01 3 - 3 260206.42 130446.38 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2027-05-01 2043-01-01 3 - 4 761999.59 359516.67 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2030-04-01 2032-12-01 6.5 - 7 27388371.79 141919.40 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-04-01 2048-04-01 3.5 - 3.5 81706.57 83410.35 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2031-08-01 2032-08-01 8 - 8.5 226392.30 43622.10 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-11-01 2048-11-01 6 - 6 20581.99 18592.64 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2020-04-20 2069-12-20 1.5 - 10.5 175806167.11 146089858.71 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2024-09-01 2027-05-01 5.5 - 5.5 70856.01 45610.06 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2026-02-01 2027-05-01 3 - 4.5 571666.22 64324.79 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2027-10-01 2042-09-01 2.5 - 4 205199.55 73281.39 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2029-08-01 2032-02-01 2 - 2.5 79222.21 48798.64 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2032-12-01 2032-12-01 4 - 4 371355.06 86434.50 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2029-08-01 2030-03-01 3.5 - 3.5 296349.03 300597.21 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-07-01 2049-08-01 3.5 - 4.5 3489936.58 3277001.76 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2031-08-01 2031-08-01 6 - 6 2767017.00 16591.88 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2026-01-01 2029-08-01 5 - 6.5 4928621.08 116657.71 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2042-08-01 2042-08-01 4 - 4 33823.76 15938.69 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2045-02-01 2045-02-01 4 - 4 89374.48 24427.69 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2033-02-01 2033-02-01 3 - 3 41924.50 14245.70 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2030-04-01 2031-11-01 5 - 5.5 146903.45 53572.20 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2028-08-01 2032-12-01 3 - 4 495955.77 426392.76 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2030-02-01 2030-02-01 3 - 3 39884.03 41431.89 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2028-12-01 2030-06-01 3 - 3.5 130946.48 65931.02 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2029-02-01 2029-02-01 3.5 - 3.5 51972.21 20340.12 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2047-02-01 2047-02-01 3 - 3 24316.21 19358.97 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2031-09-01 2032-09-01 3.5 - 3.5 798069.67 486155.98 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2023-11-01 2025-08-01 4.5 - 4.5 2927849.95 60765.49 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2025-06-01 2025-06-01 4 - 4 335941.02 51049.71 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2030-06-01 2030-07-01 2 - 3.5 62071.99 35216.21 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2026-09-01 2032-12-01 2.5 - 4.5 287795.17 165270.13 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2022-01-01 2032-12-01 2 - 6 2652866.23 234152.80 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2035-02-01 2035-02-01 2.5 - 2.5 902115.96 923667.51 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2024-11-01 2024-11-01 4 - 4 335362.46 352242.93 Agency Mortgage-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2020-04-15 2020-04-15 0.125 - 0.125 24394365.65 26832698.68 U.S. Treasuries (including strips) FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 2025-02-21 2025-02-21 1.95 - 1.95 2547751.86 2554103.84 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2029-05-01 2029-05-01 3 - 3 114433.43 72926.17 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2040-02-01 2040-02-01 2.5 - 3 33703.36 34673.38 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2027-01-01 2033-11-01 4 - 4.5 2262111.78 2377018.00 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2028-09-01 2030-10-01 3.49 - 3.73 1630639.68 1856980.87 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2032-12-01 2032-12-01 3 - 3 8271.70 8405.84 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2021-05-01 2049-06-01 2 - 8.5 66587448.51 12903822.86 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2020-12-01 2049-08-01 2 - 9 219687336.93 39913576.97 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2028-07-01 2028-07-01 3.63 - 3.63 871207.88 952367.56 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2032-06-01 2032-08-01 7 - 7 3276399.68 79611.42 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2032-12-01 2033-02-01 5.5 - 5.5 4927283.02 60758.35 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2028-08-01 2028-09-01 2 - 2 40666.76 14697.08 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2031-05-01 2031-10-01 5.5 - 6 2154517.41 28748.01 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2024-10-01 2025-07-01 4 - 5 1842398.90 71013.37 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2029-07-01 2029-07-01 4 - 4 51147.89 41258.24 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2024-01-01 2046-02-01 3 - 6 1180683.72 395473.54 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N Y Citigroup Inc 1.0000 N/A N/A N 0.0160 251547000.00 251547000.00 0.0032 N Y Y N Credit Agricole CIB New York Branch In a joint trading account with Credit Agricole CIB New York Branch at 1.61%, dated 2/28/2020 due 03/02/2020 1VUV7VQFKUOQSJ21A208 FHD268000_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 2020-03-12 2048-08-15 0 - 4.75 5599270.22 6091775.62 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2049-11-01 2049-11-01 3 - 3 96192.86 97014.38 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2047-09-01 2047-09-01 4 - 4 105680.06 82780.44 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2044-06-20 2050-02-20 2.5 - 4.5 1435584.94 862735.10 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2036-03-01 2049-04-01 3 - 4.5 752806.42 659705.08 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0159 7628000.00 7628000.00 0.0001 N Y Y N Credit Agricole CIB New York Branch In a joint trading account with Credit Agricole CIB New York Branch at 1.61%, dated 2/28/2020 due 03/02/2020 1VUV7VQFKUOQSJ21A208 FHD120000_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 2020-03-12 2048-08-15 0 - 4.75 302185889.86 328765814.75 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2049-11-01 2049-11-01 3 - 3 5191413.10 5235749.40 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2047-09-01 2047-09-01 4 - 4 5703425.88 4467560.89 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2044-06-20 2050-02-20 2.5 - 4.5 77476795.36 46560777.44 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2036-03-01 2049-04-01 3 - 4.5 40628058.54 35603491.16 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0160 411674000.00 411674000.00 0.0053 N Y Y N Deutsche Bank AG, New York Deutsche Bank AG, New York, 1.62% 7LTWFZYICNSX8D621K86 FHC565000 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 2024-06-15 2024-06-15 3.35 - 3.35 79667338.00 83449505.04 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0161 81008000.00 81008000.00 0.0010 N Y Y N Goldman Sachs & Co. Goldman Sachs & Co., 1.60% 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 2047-09-01 2047-10-01 3.5 - 3.5 44027234.00 36899350.44 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2037-07-01 2037-07-01 5.5 - 5.5 2000000.00 88734.20 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2047-06-01 2047-06-01 4 - 4 20206688.00 16091385.03 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2021-12-01 2048-12-01 3 - 5.5 74338412.00 26361562.68 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-01-01 2050-01-01 3 - 3 3840470.00 3930361.59 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2044-05-01 2044-05-01 4 - 4 31610160.00 12620228.98 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2024-01-01 2024-01-01 6 - 6 471515.00 199030.87 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2043-04-01 2043-04-01 3 - 3 2000000.00 1066082.04 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2021-05-01 2056-04-01 2.5 - 6.5 519650113.00 311622884.43 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-08-01 2049-08-01 5 - 5 16130528.00 13553364.57 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-11-01 2049-11-01 3.5 - 3.5 3266780.00 3506108.70 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2035-08-01 2035-11-01 5 - 5.5 11511410.00 387372.67 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-10-01 2049-10-01 3.5 - 3.5 4644816.00 4909867.99 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2042-07-01 2042-07-01 3.5 - 3.5 35647744.00 13953671.31 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2034-06-01 2034-06-01 5.5 - 5.5 1087638.00 36357.65 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-01-01 2050-01-01 4 - 4 3004300.00 3201688.62 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-06-01 2048-06-01 3.5 - 3.5 6901048.00 5548995.10 Agency Mortgage-Backed Securities FEDERAL HOME LOAN BANK 2020-04-28 2020-04-28 N/A 58494000.00 58361043.14 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2029-04-01 2029-04-01 4 - 4 2198660.00 697423.08 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2023-05-01 2023-05-01 4.5 - 4.5 600000.00 6101.72 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2027-09-01 2027-10-01 6 - 6 2922466.00 86793.20 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0159 503000000.00 503000000.00 0.0064 N Y Y N Goldman Sachs & Co. Goldman Sachs & Co., 1.60% 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 2049-08-01 2049-08-01 5 - 5 4542796.00 4644706.36 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2047-12-01 2047-12-01 3.5 - 3.5 32500000.00 28135517.20 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2033-09-01 2033-09-01 3.73 - 3.73 2345000.00 2791794.02 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2035-02-01 2035-02-01 2.5 - 3 4645200.00 4824324.86 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2031-06-01 2038-08-01 5.5 - 5.5 8102771.00 368544.57 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2025-07-01 2048-06-01 4 - 7 30412490.00 20175064.12 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2021-07-15 2055-02-15 2.84 - 6 163943054.00 93379223.24 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2045-01-01 2045-01-01 4 - 4 2330876.00 1009842.42 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2044-08-01 2048-11-01 4.5 - 4.5 1402116.00 1097748.12 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2040-04-01 2040-04-01 5 - 5 82235.00 17458.73 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2025-06-01 2056-07-01 2 - 7 603063939.00 212614618.55 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-10-01 2049-10-01 3.5 - 3.5 595777.00 628728.54 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2042-11-01 2042-11-01 3 - 3 4410856.00 2128842.89 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2026-02-01 2026-02-01 3.48 - 3.48 200000.00 219096.20 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2028-11-01 2028-11-01 5.5 - 5.5 47462.00 30011.89 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2034-05-01 2034-05-01 4.5 - 4.5 1000000.00 16205.31 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2032-05-01 2032-05-01 6 - 6 1000000.00 12942.42 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2044-06-01 2044-06-01 5 - 5 28175232.00 17186459.15 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2025-05-01 2025-05-01 4.5 - 4.5 1494788.00 42015.47 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2026-07-01 2026-07-01 4 - 4 827483.00 60566.76 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2026-03-01 2027-09-01 5 - 6 9985774.00 657648.79 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2039-02-01 2039-02-01 4.5 - 4.5 2311000.00 1760496.39 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0159 384000000.00 384000000.00 0.0049 N Y Y N HSBC Securities (USA), Inc. In a joint trading account with HSBC Securities (USA), Inc. at 1.61%, dated 2/28/2020 due 03/02/2020 CYYGQCGNHMHPSMRL3R97 FHD268000_03556 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-06-30 2040-02-15 1.375 - 6.25 3479832.56 3935327.67 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2042-10-01 2048-09-01 3.5 - 4.5 87946.17 74435.82 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-02-01 2050-02-01 3 - 3 223709.50 233108.18 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2026-02-01 2049-05-01 2.5 - 4.5 1047976.17 746611.18 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0159 4891000.00 4891000.00 0.0001 N Y Y N HSBC Securities (USA), Inc. In a joint trading account with HSBC Securities (USA), Inc. at 1.61%, dated 2/28/2020 due 03/02/2020 CYYGQCGNHMHPSMRL3R97 FHD120000_03556 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-06-30 2040-02-15 1.375 - 6.25 316263490.46 357661020.53 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2042-10-01 2048-09-01 3.5 - 4.5 7992960.05 6765076.41 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-02-01 2050-02-01 3 - 3 20331767.93 21185963.34 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2026-02-01 2049-05-01 2.5 - 4.5 95244985.68 67855522.68 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0160 444517000.00 444517000.00 0.0057 N Y Y N HSBC Securities, Inc. HSBC Securities, Inc., 1.61% CYYGQCGNHMHPSMRL3R97 0000853784 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 2040-12-01 2049-12-01 4 - 5 144231110.00 130493006.58 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-03 2020-03-03 2020-03-03 N N N 0.0160 127900000.00 127900000.00 0.0016 N N Y N J.P. Morgan Securities, LLC J.P. Morgan Securities, LLC, 1.60% ZBUT11V806EZRVTWT807 0001287279 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL HOME LOAN MORTGAGE CORP 2034-09-01 2034-09-01 5 - 5 492987.00 103838.64 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2022-10-01 2022-10-01 5 - 5 3018000.00 9287.87 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2029-06-01 2029-06-01 7 - 7 631641.00 11826.76 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2041-06-01 2041-06-01 5.5 - 5.5 3200000.00 1367241.34 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2047-03-01 2047-03-01 4 - 4 29285.00 27207.03 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2039-01-01 2039-01-01 5.5 - 5.5 350000.00 134419.50 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2031-09-01 2031-09-01 2.5 - 2.5 2757980.00 1404024.03 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-04-01 2049-04-01 3.5 - 3.5 1130522.00 976756.82 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2033-05-01 2049-09-01 3 - 5 114964830.00 72676267.76 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-11-01 2049-11-01 3 - 3 20000000.00 20219276.93 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0159 95000000.00 95000000.00 0.0012 N Y Y N J.P. Morgan Securities, LLC J.P. Morgan Securities, LLC, 1.61% ZBUT11V806EZRVTWT807 0001287279 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL HOME LOAN MORTGAGE CORP 2031-08-01 2031-08-01 2.64 - 2.64 18316000.00 19590244.12 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-03-01 2048-03-01 3.5 - 3.5 5856768.00 5244847.82 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2034-03-01 2046-05-01 3.626 - 4.98 149520292.00 13671821.02 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-03-01 2049-03-01 4.5 - 4.5 19014200.00 18723271.91 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2038-06-01 2049-02-01 3 - 4.89 40518470.00 8067331.99 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-03 2020-03-03 2020-03-03 N N N 0.0160 64000000.00 64000000.00 0.0008 N N Y N Jp Morgan Secs Llc In a joint trading account with Jp Morgan Secs Llc at 1.61%, dated 2/28/2020 due 03/02/2020 ZBUT11V806EZRVTWT807 FHD120000_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 2047-08-01 2047-08-01 4.5 - 4.5 32357.93 27547.45 Agency Mortgage-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2022-12-15 2040-02-15 1.375 - 6.125 253065005.03 293760447.19 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2023-05-01 2023-05-01 5.5 - 5.5 117296.01 1074.01 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-03-01 2050-03-01 3 - 3 753037.24 774759.35 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-10-01 2048-10-01 3.5 - 3.5 256858.15 183134.14 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2038-05-01 2038-05-01 5.5 - 5.5 1103580.22 89349.46 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2046-04-01 2047-10-01 4 - 4.5 156454.49 96165.80 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-06-01 2049-06-01 3.5 - 3.5 24994275.73 21199298.67 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2023-05-01 2023-05-01 5 - 5 165502.60 2203.74 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2038-10-01 2038-10-01 4.5 - 4.5 279813.80 206155.13 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2033-01-01 2033-01-01 2.5 - 2.5 73665.60 55863.83 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2030-05-01 2056-08-01 2 - 7 151040228.34 127450086.57 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-01-01 2048-01-01 4.5 - 4.5 1183.04 1105.55 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-12-01 2049-12-01 2.5 - 2.5 20226.34 20303.48 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0160 435106000.00 435106000.00 0.0056 N Y Y N Jp Morgan Secs Llc In a joint trading account with Jp Morgan Secs Llc at 1.61%, dated 2/28/2020 due 03/02/2020 ZBUT11V806EZRVTWT807 FHD268000_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 2047-08-01 2047-08-01 4.5 - 4.5 951.46 810.01 Agency Mortgage-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2022-12-15 2040-02-15 1.375 - 6.125 7441206.68 8637828.85 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2023-05-01 2023-05-01 5.5 - 5.5 3449.01 31.58 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-03-01 2050-03-01 3 - 3 22142.55 22781.28 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-10-01 2048-10-01 3.5 - 3.5 7552.74 5384.94 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2038-05-01 2038-05-01 5.5 - 5.5 32450.04 2627.26 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2046-04-01 2047-10-01 4 - 4.5 4600.44 2827.69 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-06-01 2049-06-01 3.5 - 3.5 734939.91 623351.15 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2023-05-01 2023-05-01 5 - 5 4866.49 64.80 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2038-10-01 2038-10-01 4.5 - 4.5 8227.74 6061.85 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2033-01-01 2033-01-01 2.5 - 2.5 2166.09 1642.64 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2030-05-01 2056-08-01 2 - 7 4441236.58 3747584.28 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-01-01 2048-01-01 4.5 - 4.5 34.79 32.51 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-12-01 2049-12-01 2.5 - 2.5 594.74 597.01 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0159 12794000.00 12794000.00 0.0002 N Y Y N Mitsubishi Ufj Secs Hldgs Ltd In a joint trading account with Mitsubishi Ufj Secs Hldgs Ltd at 1.61%, dated 2/28/2020 due 03/02/2020 ZOMOLU8CGIZRYZ7PFU34 FHD268000_76664 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-05-31 2029-11-15 0 - 3.125 3552908.95 3732376.19 U.S. Treasuries (including strips) FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2047-11-01 2050-02-01 3 - 4.5 1709248.81 1714128.88 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0159 5339000.00 5339000.00 0.0001 N Y Y N Mitsubishi Ufj Secs Hldgs Ltd In a joint trading account with Mitsubishi Ufj Secs Hldgs Ltd at 1.61%, dated 2/28/2020 due 03/02/2020 ZOMOLU8CGIZRYZ7PFU34 FHD120000_76664 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-05-31 2029-11-15 0 - 3.125 87875103.87 92313917.94 U.S. Treasuries (including strips) FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2047-11-01 2050-02-01 3 - 4.5 42275335.26 42396035.32 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0160 132051000.00 132051000.00 0.0017 N Y Y N Mitsubishi Ufj Securities (USA In a joint trading account with Mitsubishi Ufj Securities (USA at 1.61%, dated 2/28/2020 due 03/02/2020 K5HU16E3LMSVCCJJJ255 FHD120000_12878 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N RESOLUTION FUNDING CORP 2020-10-15 2030-04-15 0 - 0 25442905.15 21835276.42 Agency Debentures and Agency Strips US TREASURY 254900HROIFWPRGM1V77 2021-04-15 2040-02-15 1.375 - 4.625 26385242.74 28208684.99 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 2029-03-15 2029-09-15 0 - 0 1211506.33 1027949.35 Agency Debentures and Agency Strips FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2029-07-15 2030-05-15 0 - 0 1453759.14 1226365.77 Agency Debentures and Agency Strips Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0160 51266000.00 51266000.00 0.0007 N Y Y N Mitsubishi Ufj Securities (USA In a joint trading account with Mitsubishi Ufj Securities (USA at 1.61%, dated 2/28/2020 due 03/02/2020 K5HU16E3LMSVCCJJJ255 FHD268000_12878 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N RESOLUTION FUNDING CORP 2020-10-15 2030-04-15 0 - 0 1028813.29 882934.66 Agency Debentures and Agency Strips US TREASURY 254900HROIFWPRGM1V77 2021-04-15 2040-02-15 1.375 - 4.625 1066917.81 1140650.80 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 2029-03-15 2029-09-15 0 - 0 48988.66 41566.32 Agency Debentures and Agency Strips FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2029-07-15 2030-05-15 0 - 0 58784.43 49589.52 Agency Debentures and Agency Strips Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0159 2073000.00 2073000.00 0.0000 N Y Y N Mizuho Securities USA, Inc. In a joint trading account with Mizuho Securities USA, Inc. at 1.61%, dated 2/28/2020 due 03/02/2020 7TK5RJIZDFROZCA6XF66 FHD268000_08126 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-03-24 2024-12-31 0 - 1.75 4742942.95 4733907.79 U.S. Treasuries (including strips) GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2049-07-20 2049-07-20 3 - 3 119513.69 120865.12 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2035-02-01 2049-05-01 2 - 4 475348.04 479529.00 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0159 5229000.00 5229000.00 0.0001 N Y Y N Mizuho Securities USA, Inc. In a joint trading account with Mizuho Securities USA, Inc. at 1.61%, dated 2/28/2020 due 03/02/2020 7TK5RJIZDFROZCA6XF66 FHD120000_08126 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-03-24 2024-12-31 0 - 1.75 205332513.10 204941360.98 U.S. Treasuries (including strips) GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2049-07-20 2049-07-20 3 - 3 5174012.54 5232518.75 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2035-02-01 2049-05-01 2 - 4 20578870.40 20759873.10 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0160 226375000.00 226375000.00 0.0029 N Y Y N Morgan Stanley & Co., LLC Morgan Stanley & Co., LLC, 1.60% 9R7GPTSO7KV3UQJZQ078 0000068136 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 2035-02-01 2035-02-01 3.5 - 3.5 372759.00 385917.60 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2029-10-01 2029-10-01 7.5 - 7.5 5000.00 20.19 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2026-12-01 2026-12-01 3 - 3 4375000.00 565092.49 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2025-10-01 2025-10-01 3.5 - 3.5 1000000.00 45462.20 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2034-02-01 2034-02-01 3.5 - 3.5 1086938.00 759154.24 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2036-04-01 2036-04-01 5 - 5 33000.00 853.01 Agency Mortgage-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2020-04-07 2022-06-15 0 - 2.5 86700.00 89312.19 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2050-01-01 2050-02-01 2.5 - 3.5 15530177.00 16200096.98 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-01-01 2050-02-01 3 - 3.5 19833186.00 20610923.33 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-02-01 2050-02-01 3 - 3 71117254.00 72538603.44 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-01-01 2050-01-01 4 - 4 40993177.00 43798711.26 Agency Mortgage-Backed Securities FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 2036-07-15 2036-07-15 5.5 - 5.5 29845000.00 45828085.18 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2049-12-01 2049-12-01 4 - 4 8350066.00 8930676.74 Agency Mortgage-Backed Securities FEDERAL AGRICULTURE MORTGAGE CORP 549300MS654K78GYF580 2032-10-18 2032-10-18 3.14 - 3.14 575000.00 667634.16 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2034-12-01 2034-12-01 4 - 4 4690000.00 5050609.41 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2047-08-01 2047-08-01 3.5 - 3.5 291000.00 252388.10 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2034-07-01 2034-07-01 3.5 - 3.5 716373.00 728024.55 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2046-12-01 2046-12-01 3 - 3 385000.00 337477.70 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2023-03-01 2047-09-01 3 - 6 9300400.00 3320730.41 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2044-12-01 2044-12-01 3 - 3 968941.00 539220.21 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-02-01 2049-02-01 4.5 - 4.5 182049.00 117033.79 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2027-11-01 2027-11-01 2.5 - 2.5 2000000.00 642135.94 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2021-06-01 2050-03-01 2.5 - 9 480198277.00 361944666.82 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-02-01 2050-02-01 3 - 3 79784857.00 81822110.19 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2032-01-01 2032-01-01 7 - 7 14000.00 74.91 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2042-11-01 2042-12-01 3 - 3.5 1570467.00 809468.83 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-08-01 2049-08-01 5 - 5 2584554.00 2204740.29 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2024-08-01 2024-08-01 8.5 - 8.5 50000.00 43.05 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2026-05-01 2026-05-01 3.5 - 3.5 5233260.00 1385073.72 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2029-01-01 2029-01-01 3.5 - 3.5 4000000.00 1449552.82 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2030-07-01 2030-07-01 3.5 - 3.5 91000.00 47745.20 Agency Mortgage-Backed Securities TENNESEE VALLEY AUTHORITY 549300HE1ISW43LNKM54 2056-04-01 2056-04-01 5.375 - 5.375 100000.00 177849.09 Agency Debentures and Agency Strips Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0159 658000000.00 658000000.00 0.0084 N Y Y N Nomura Securities Internationa In a joint trading account with Nomura Securities Internationa at 1.61%, dated 2/28/2020 due 03/02/2020 OXTKY6Q8X53C9ILVV871 FHD120000_07426 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL HOME LOAN MORTGAGE CORP 2049-08-01 2049-08-01 3 - 3 120.65 121.18 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2020-11-01 2049-04-01 0 - 9 65237041.52 5899939.31 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-09-01 2049-09-01 5 - 5 3117.65 2979.56 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-01-01 2050-01-01 3.5 - 3.5 195545.49 203293.34 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2023-03-20 2069-03-20 2.5 - 7.5 56255502.36 37209781.37 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-02-01 2049-05-01 3.5 - 4.5 1244854.70 1234895.71 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-11-01 2049-01-01 4 - 4 1522125.20 1044757.66 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2020-03-25 2055-09-01 2.86 - 8.5 97422457.65 80743703.61 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-02-01 2048-02-01 3.5 - 3.5 2217.79 1991.20 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-08-01 2050-01-01 3 - 4.5 6288853.91 6408819.49 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2027-06-01 2029-07-01 2.65 - 2.95 316034.64 337950.21 Agency Mortgage-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2022-12-31 2029-07-15 0.25 - 2.75 25743860.60 27267371.88 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2026-06-01 2026-06-01 6 - 6 2920459.96 71209.33 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2026-02-01 2026-02-01 3.575 - 3.575 1352628.28 1477027.14 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-12-01 2049-12-01 3 - 3 1523566.43 1587816.32 Agency Mortgage-Backed Securities FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 2021-11-29 2021-11-29 1.875 - 1.875 500665.41 510781.06 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2048-07-01 2048-07-01 3.5 - 3.5 37784216.59 27052653.79 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-05-01 2049-05-01 4.5 - 4.5 114601.37 121457.17 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2044-11-01 2044-11-01 3.17 - 3.17 111.55 124.99 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0160 187403000.00 187403000.00 0.0024 N Y Y N Nomura Securities Internationa In a joint trading account with Nomura Securities Internationa at 1.61%, dated 2/28/2020 due 03/02/2020 OXTKY6Q8X53C9ILVV871 FHD268000_07426 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL HOME LOAN MORTGAGE CORP 2049-08-01 2049-08-01 3 - 3 4.88 4.90 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2020-11-01 2049-04-01 0 - 9 2637984.99 238575.37 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-09-01 2049-09-01 5 - 5 126.07 120.48 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-01-01 2050-01-01 3.5 - 3.5 7907.26 8220.56 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2023-03-20 2069-03-20 2.5 - 7.5 2274799.21 1504648.93 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-02-01 2049-05-01 3.5 - 4.5 50338.09 49935.38 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-11-01 2049-01-01 4 - 4 61550.05 42246.78 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2020-03-25 2055-09-01 2.86 - 8.5 3939464.06 3265026.63 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-02-01 2048-02-01 3.5 - 3.5 89.68 80.52 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-08-01 2050-01-01 3 - 4.5 254301.88 259152.92 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2027-06-01 2029-07-01 2.65 - 2.95 12779.47 13665.67 Agency Mortgage-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2022-12-31 2029-07-15 0.25 - 2.75 1041002.42 1102608.52 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2026-06-01 2026-06-01 6 - 6 118094.40 2879.49 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2026-02-01 2026-02-01 3.575 - 3.575 54696.12 59726.43 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-12-01 2049-12-01 3 - 3 61608.33 64206.40 Agency Mortgage-Backed Securities FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 2021-11-29 2021-11-29 1.875 - 1.875 20245.37 20654.41 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2048-07-01 2048-07-01 3.5 - 3.5 1527877.32 1093925.98 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-05-01 2049-05-01 4.5 - 4.5 4634.13 4911.35 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2044-11-01 2044-11-01 3.17 - 3.17 4.51 5.05 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0159 7578000.00 7578000.00 0.0001 N Y Y N Nomura Securities International, Inc. Nomura Securities International, Inc., 1.61% OXTKY6Q8X53C9ILVV871 FHA677000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL HOME LOAN MORTGAGE CORP 2048-07-01 2048-07-01 3.5 - 3.5 18050931.00 12924062.77 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2048-11-20 2049-11-20 3.5 - 4 38475442.00 38308753.97 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2021-05-06 2050-02-01 0 - 5 149676174.00 133436723.02 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-03 2020-03-03 2020-03-03 N N N 0.0160 181000000.00 181000000.00 0.0023 N N Y N Sumitomo Mitsu Bk Corp Ny (DI) In a joint trading account with Sumitomo Mitsu Bk Corp Ny (DI) at 1.61%, dated 2/28/2020 due 03/02/2020 5U0XI89JRFVHWIBS4F54 FHD268000_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 1.375 - 3.75 9129919.66 9866063.53 U.S. Treasuries (including strips) GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2048-02-20 2049-11-20 3 - 4.5 4448773.91 3388068.71 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2049-05-01 2049-11-01 2.5 - 3.5 2795531.96 2624123.55 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0159 15546000.00 15546000.00 0.0002 N Y Y N Sumitomo Mitsu Bk Corp Ny (DI) In a joint trading account with Sumitomo Mitsu Bk Corp Ny (DI) at 1.61%, dated 2/28/2020 due 03/02/2020 5U0XI89JRFVHWIBS4F54 FHD120000_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 1.375 - 3.75 225806651.12 244013403.15 U.S. Treasuries (including strips) GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2048-02-20 2049-11-20 3 - 4.5 110029745.72 83795748.33 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2049-05-01 2049-11-01 2.5 - 3.5 69140773.93 64901398.14 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0160 384493000.00 384493000.00 0.0049 N Y Y N Sumitomo Mitsui Bk Corp (REPO) In a joint trading account with Sumitomo Mitsui Bk Corp (REPO) at 1.61%, dated 2/28/2020 due 03/02/2020 5U0XI89JRFVHWIBS4F54 FHD268000_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 4031113.22 4090714.30 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2049-05-01 2050-03-01 2.5 - 3.5 52532465.39 50042556.53 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-10-01 2049-10-01 3 - 3 2556388.89 2566664.70 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0159 55218000.00 55218000.00 0.0007 N Y Y N Sumitomo Mitsui Bk Corp (REPO) In a joint trading account with Sumitomo Mitsui Bk Corp (REPO) at 1.61%, dated 2/28/2020 due 03/02/2020 5U0XI89JRFVHWIBS4F54 FHD120000_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 99697450.22 101171503.41 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2049-05-01 2050-03-01 2.5 - 3.5 1299232386.08 1237651986.16 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-10-01 2049-10-01 3 - 3 63224583.33 63478724.64 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0160 1365651000.00 1365651000.00 0.0175 N Y Y N TD Securities (U.S.A.) TD Securities (U.S.A.), 1.61% SUVUFHICNZMP2WKHG940 FHA687000 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 2049-03-01 2049-03-01 4.5 - 4.5 100000000.00 98516837.65 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2049-10-20 2049-10-20 3.5 - 3.5 94078318.00 96485859.52 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2047-04-01 2049-07-01 3.5 - 4 134885017.00 130464613.84 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-03 2020-03-03 2020-03-03 N N N 0.0160 319000000.00 319000000.00 0.0041 N N Y N Wells Fargo Securities LLC In a joint trading account with Wells Fargo Securities LLC at 1.61%, dated 2/28/2020 due 03/02/2020 VYVVCKR63DVZZN70PB21 FHD268000_08395 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2021-05-15 2043-05-15 1.625 - 3.125 14507650.98 15004602.39 U.S. Treasuries (including strips) GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2049-01-20 2049-12-20 3 - 5 20504788.44 17109883.89 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2027-06-01 2057-01-01 2 - 5.5 31305924.14 30363770.87 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0159 61245000.00 61245000.00 0.0008 N Y Y N Wells Fargo Securities LLC In a joint trading account with Wells Fargo Securities LLC at 1.61%, dated 2/28/2020 due 03/02/2020 VYVVCKR63DVZZN70PB21 FHD120000_08395 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2021-05-15 2043-05-15 1.625 - 3.125 138526806.97 143271964.70 U.S. Treasuries (including strips) GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2049-01-20 2049-12-20 3 - 5 195790681.38 163374317.84 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2027-06-01 2057-01-01 2 - 5.5 298925699.03 289929515.94 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0160 584800000.00 584800000.00 0.0075 N Y Y N Wells Fargo Securities, LLC Wells Fargo Securities, LLC, 1.61% VYVVCKR63DVZZN70PB21 0000276523 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N RESOLUTION FUNDING CORP 2020-07-15 2030-04-15 N/A 39394000.00 38742450.97 Agency Debentures and Agency Strips FEDERAL FARM CREDIT 2020-06-08 2029-11-27 1.45 - 4.55 88408000.00 88730366.71 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2022-11-25 2051-04-25 2.52 - 5.662 45221000.00 35771923.37 Agency Collateralized Mortgage Obligation FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 2025-05-29 2028-08-10 2.4 - 3.65 750000.00 754708.50 Agency Debentures and Agency Strips TENNESEE VALLEY AUTHORITY 549300HE1ISW43LNKM54 2020-07-15 2026-07-15 0 - 2.875 65738000.00 63270983.85 Agency Debentures and Agency Strips FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2024-09-06 2040-01-25 0 - 7.93 31863422.00 33402147.51 Agency Debentures and Agency Strips Y N/A N/A 2020-03-03 2020-03-03 2020-03-03 N N N 0.0160 255000000.00 255000000.00 0.0033 N N Y N Barclays Bank PLC Barclays Bank PLC, 1.60% G5GSEF7VJP5I7OUK5573 FHD197000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2041-08-15 2041-08-15 3.75 - 3.75 93750900.00 130827532.72 U.S. Treasuries (including strips) Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0159 127000000.00 127000000.00 0.0016 N Y Y N BNP Paribas, SA BNP Paribas, SA, 1.61% R0MUWSFPU8MPRO8K5P83 FGH714000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-04-07 2050-02-15 0 - 5.375 254874000.00 278621959.51 U.S. Treasuries (including strips) Y N/A N/A 2020-03-06 2020-03-06 2020-05-18 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0160 273000000.00 273000000.00 0.0035 N N Y N Commerz Markets LLC Commerz Markets LLC, 1.60% 549300IMBXQ8SGH3HJ31 FHC693000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-10-31 2028-08-15 1.375 - 2.875 730886200.00 778363768.34 U.S. Treasuries (including strips) Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0159 763000000.00 763000000.00 0.0098 N Y Y N Commerz Markets LLC Commerz Markets LLC, 1.62% 549300IMBXQ8SGH3HJ31 FHC719000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2022-08-31 2040-08-15 1.25 - 3.875 299325700.00 317262842.37 U.S. Treasuries (including strips) Y N/A N/A 2020-03-06 2020-03-06 2020-03-06 N N N 0.0161 311000000.00 311000000.00 0.0040 N N Y N Commerz Markets LLC Commerz Markets LLC, 1.63% 549300IMBXQ8SGH3HJ31 FHA741000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-03-15 2026-09-30 1.25 - 3.125 303759900.00 322407621.38 U.S. Treasuries (including strips) Y N/A N/A 2020-03-03 2020-03-03 2020-03-03 N N N 0.0162 316000000.00 316000000.00 0.0040 N N Y N Commerz Markets LLC Commerz Markets LLC, 1.63% 549300IMBXQ8SGH3HJ31 FHB266000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-10-31 2027-11-15 2.125 - 3.125 75059000.00 79578069.19 U.S. Treasuries (including strips) Y N/A N/A 2020-03-04 2020-03-04 2020-03-04 N N N 0.0162 78000000.00 78000000.00 0.0010 N N Y N Commerz Markets LLC Commerz Markets LLC, 1.63% 549300IMBXQ8SGH3HJ31 FHB924000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2021-08-31 2023-07-31 1.125 - 1.25 79038000.00 79574482.61 U.S. Treasuries (including strips) Y N/A N/A 2020-03-05 2020-03-05 2020-03-05 N N N 0.0162 78000000.00 78000000.00 0.0010 N N Y N Credit AG Credit AG, 1.60% 1VUV7VQFKUOQSJ21A208 FGI959000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2044-05-15 2044-05-15 3.375 - 3.375 89404200.00 120569035.83 U.S. Treasuries (including strips) Y N/A N/A 2020-03-05 2020-03-05 2020-03-05 Y CREDIT AG CIB (GOV REPO) 1.0000 6 N N/A N/A N N 0.0159 117000000.00 117000000.00 0.0015 N N Y N Deutsche Bank AG, New York Deutsche Bank AG, New York, 1.61% 7LTWFZYICNSX8D621K86 FHC564000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-11-15 2023-12-31 2.625 - 2.625 420898500.00 433558255.06 U.S. Treasuries (including strips) Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0160 425000000.00 425000000.00 0.0054 N Y Y N Deutsche Bank Securities, Inc. Deutsche Bank Securities, Inc., 1.61% 9J6MBOOO7BECTDTUZW19 0000058056 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2025-12-31 2025-12-31 2.625 - 2.625 13052400.00 14281920.52 U.S. Treasuries (including strips) Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0160 14000000.00 14000000.00 0.0002 N Y Y N Fixed Income Clearing Corp. - BNYM Fixed Income Clearing Corp. - BNYM, 1.59% 549300H47WTHXPU08X20 FHC561000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2021-06-30 2048-05-15 1.375 - 3.125 1366842000.00 1428000101.80 U.S. Treasuries (including strips) Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0158 1400000000.00 1400000000.00 0.0179 N Y Y N Fixed Income Clearing Corp. - SSB Fixed Income Clearing Corp. - SSB, 1.60% 549300H47WTHXPU08X20 FHC546000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2023-02-15 2023-02-15 1.375 - 1.375 2584730000.00 2610231130.80 U.S. Treasuries (including strips) Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0159 2556000000.00 2556000000.00 0.0327 N Y Y N RBS Securities, Inc. RBS Securities, Inc., 1.61% ZE2ZWJ5BTIQJ8M0C6K34 0000808379 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2044-08-15 2044-08-15 3.125 - 3.125 63060200.00 81391930.76 U.S. Treasuries (including strips) Y N/A N/A 2020-03-03 2020-03-03 2020-03-03 N N N 0.0160 79000000.00 79000000.00 0.0010 N N Y N SMBC Nikko Securities America, Inc. SMBC Nikko Securities America, Inc., 1.60% 6PJDTY319315T5LR2241 FHC642000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2025-02-15 2027-11-15 1.375 - 2.25 749103000.00 785233955.85 U.S. Treasuries (including strips) Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0159 770000000.00 770000000.00 0.0099 N Y Y N BMO Capital Markets Corp. BMO Capital Markets Corp., 1.71% RUC0QBLBRPRCU4W1NE59 FHC907000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N COMCAST CORP NEW GLBL NT 2.65%30 51M0QTTNCGUN7KFCFZ59 2030-02-01 2030-02-01 2.65 - 2.65 8000000.00 8325180.00 Corporate Debt Securities STANLEY BLACK & DECKER INC SR GLBL NT2.3%30 549300DJ09SMTO561131 2030-03-15 2030-03-15 2.3 - 2.3 2025268.00 2032943.77 Corporate Debt Securities WELLS FARGO & CO FR 2.572%021131 PBLD0EJDB5FWOLXP3B76 2031-02-11 2031-02-11 2.572 - 2.572 15440521.00 15568902.07 Corporate Debt Securities WELLTOWER INC SR GLBL NT 28 T6IZ0MBEG5ACZDTR7D06 2028-04-15 2028-04-15 4.25 - 4.25 1999295.00 2302450.88 Corporate Debt Securities HYUNDAI CAP AMER INC SR 144A NT 3%27 549300RIPPWJB5Z0FK07 2027-02-10 2027-02-10 3 - 3 90388.00 92192.14 Corporate Debt Securities AMGEN INC SR GLBL NT 40 62QBXGPJ34PQ72Z12S66 2040-02-21 2040-02-21 3.15 - 3.15 4977102.00 5011854.61 Corporate Debt Securities CATERPILLAR INC DEL SR GLBL NT2.6%29 WRJR7GS4GTRECRRTVX92 2029-09-19 2029-09-19 2.6 - 2.6 1297000.00 1361685.71 Corporate Debt Securities UNITED TECHNOLOGIES CORP 4.125%28 I07WOS4YJ0N7YRFE7309 2028-11-16 2028-11-16 4.125 - 4.125 19000.00 22296.07 Corporate Debt Securities COMMONWEALTH EDISON CO 1M GLBL 124 BD48 D8YOXB8L2ZDC8P7Q0771 2048-03-01 2048-03-01 4 - 4 797521.00 966600.77 Corporate Debt Securities APPLE INC SR GLBL NT 3%24 HWUPKR0MPOU8FGXBT394 2024-02-09 2024-02-09 3 - 3 46000.00 48478.63 Corporate Debt Securities TENNESEE VALLEY AUTHORITY 549300HE1ISW43LNKM54 2042-12-15 2042-12-15 3.5 - 3.5 10000000.00 12585362.22 Agency Debentures and Agency Strips UNION PAC CORP 4.3% SNR 49 549300LMMRSZZCZ8CL11 2049-03-01 2049-03-01 4.3 - 4.3 4000000.00 4869526.67 Corporate Debt Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0170 51000000.00 51000000.00 0.0007 N Y Y N BMO Capital Markets Corp. BMO Capital Markets Corp., 1.78% RUC0QBLBRPRCU4W1NE59 FHC906000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N 51-100 2024-08-06 2500-12-31 0 - 1.892 22620153.00 548662550.08 Equities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0176 508000000.00 508000000.00 0.0065 N Y Y N BMO Capital Markets Corp. BMO Capital Markets Corp., 1.80% RUC0QBLBRPRCU4W1NE59 FHC908000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N STANLEY BLACK & DECKER INC SR GLBL NT2.3%30 549300DJ09SMTO561131 2030-03-15 2030-03-15 2.3 - 2.3 1385281.00 1390531.22 Corporate Debt Securities BROADRIDGE FINL SOLUTIONS INC SR GLBL NT2.9%29 2029-12-01 2029-12-01 2.9 - 2.9 4786000.00 4980043.05 Corporate Debt Securities BARCLAYS PLC SR GLBL COCO 24 213800LBQA1Y9L22JB70 2024-05-16 2024-05-16 4.338 - 4.338 1000000.00 1077491.00 Corporate Debt Securities HCA HEALTHCARE INC SR NT 6.25%21 529900PH4ZGUH2MNEU89 2021-02-15 2021-02-15 6.25 - 6.25 1959000.00 2041389.55 Corporate Debt Securities LEAR CORP SR GLBL NT 25 549300UPNBTXA1SYTQ33 2025-01-15 2025-01-15 5.25 - 5.25 1515000.00 1566162.81 Corporate Debt Securities NIELSEN COMPANY SR NT 144A 21 549300MFMRJBOPHHM352 2021-10-01 2021-10-01 5.5 - 5.5 1194000.00 1218164.57 Corporate Debt Securities UNION ELEC CO 1M GLBL BD 4%48 QMPJLLDULY5C1M8PNY21 2048-04-01 2048-04-01 4 - 4 1277190.00 1559197.81 Corporate Debt Securities ABBOTT LABS SR GLBL NT 36 HQD377W2YR662HK5JX27 2036-11-30 2036-11-30 4.75 - 4.75 5000000.00 6556005.56 Corporate Debt Securities AMGEN INC SR GLBL NT 40 62QBXGPJ34PQ72Z12S66 2040-02-21 2040-02-21 3.15 - 3.15 616553.00 620858.08 Corporate Debt Securities DISNEY WALT CO SR GLBL NT 2%29 549300GZKULIZ0WOW665 2029-09-01 2029-09-01 2 - 2 40420000.00 40714886.36 Corporate Debt Securities INTERNATIONAL BUSINESS MACHS SR GLBL NT 22 VGRQXHF3J8VDLUA7XE92 2022-05-13 2022-05-13 2.85 - 2.85 12000000.00 12434790.00 Corporate Debt Securities CAPITAL ONE NATL ASSN VA SR NT 2.25%21 207ALC1P1YM0OVDV0K75 2021-09-13 2021-09-13 2.25 - 2.25 2000000.00 2035205.00 Corporate Debt Securities CONCHO RES INC SR GLBL NT 48 SYHS7HRDXLL4I0IQ8776 2048-08-15 2048-08-15 4.85 - 4.85 4000.00 4706.25 Corporate Debt Securities CAPITAL ONE NATL ASSN VA SR NT 2.95%21 207ALC1P1YM0OVDV0K75 2021-07-23 2021-07-23 2.95 - 2.95 250000.00 254672.01 Corporate Debt Securities ROCKIES EXPRESS PIPELINE LLC SR GLBL 144A 29 W2ZGZGZKY5GGNY6F3V51 2029-07-15 2029-07-15 4.95 - 4.95 12900000.00 12730139.25 Corporate Debt Securities TWITTER INC SR GLBL 144A 27 549300I8RX485XMK6836 2027-12-15 2027-12-15 3.875 - 3.875 6000000.00 6171020.83 Corporate Debt Securities OPEN TEXT CORP SR 144A NT 23 549300HP7ONDQODZJV16 2023-01-15 2023-01-15 5.625 - 5.625 8808000.00 8990490.75 Corporate Debt Securities UNITED TECHNOLOGIES CORP 4.125%28 I07WOS4YJ0N7YRFE7309 2028-11-16 2028-11-16 4.125 - 4.125 640000.00 751025.60 Corporate Debt Securities COMMONWEALTH EDISON CO 1M GLBL 124 BD48 D8YOXB8L2ZDC8P7Q0771 2048-03-01 2048-03-01 4 - 4 743.00 900.52 Corporate Debt Securities PETROBRAS GLOB FIN SR GLBL REGS 30 549300FNENFFSMO3GT38 2030-01-15 2030-01-15 5.093 - 5.093 2.00 2.16 Corporate Debt Securities APPLE INC SR GLBL NT 27 HWUPKR0MPOU8FGXBT394 2024-02-09 2027-02-09 3 - 3.35 3006000.00 3279197.47 Corporate Debt Securities CITIGROUP INC SUB NT 5.5%25 6SHGI4ZSSLCXXQSBB395 2025-09-13 2025-09-13 5.5 - 5.5 9559000.00 11395745.92 Corporate Debt Securities VERIZON COMMUNICATIONS INC SR GLBL NT 29 2S72QS2UO2OESLG6Y829 2029-12-03 2029-12-03 4.016 - 4.016 2999144.00 3480693.23 Corporate Debt Securities OI SA GLBL PIK NT10%25 254900YEMWCRRAGD4978 2025-07-27 2025-07-27 10 - 10 3202000.00 3147754.56 Corporate Debt Securities WELLS FARGO & CO FR 2.572%021131 PBLD0EJDB5FWOLXP3B76 2031-02-11 2031-02-11 2.572 - 2.572 3443552.00 3472183.60 Corporate Debt Securities NOVARTIS CAPITAL CORP SR GLBL NT2.2%30 5493002KF87V5RSRQS84 2030-08-14 2030-08-14 2.2 - 2.2 11000000.00 11181891.11 Corporate Debt Securities VISA INC SR GLBL NT 25 549300JZ4OKEHW3DPJ59 2025-12-14 2025-12-14 3.15 - 3.15 9000000.00 9755055.00 Corporate Debt Securities BANK NOVA SCOTIA B C GLBL COCO 23 L3I9ZG2KFGXZ61BMYR72 2023-02-01 2023-02-01 1.95 - 1.95 1.00 1.01 Corporate Debt Securities TOTAL SYS SVCS INC SR GLBL NT 28 549300NOMHGVQBX6S778 2028-06-01 2028-06-01 4.45 - 4.45 1737.00 1991.60 Corporate Debt Securities JP MORGAN CHASE BANK NA GLBL NT 2.739%30 8I5DZWZKVSZI1NUHU748 2030-10-15 2030-10-15 2.739 - 2.739 60724.00 63392.20 Corporate Debt Securities ENERGY TRANSFER OPERATING L P SR GLBL NT 5%50 5493008K8W3OKZE54J59 2050-05-15 2050-05-15 5 - 5 20000000.00 20472600.00 Corporate Debt Securities PTC INC SR GLBL NT 6%24 54930050SSMU8SKDJ030 2024-05-15 2024-05-15 6 - 6 10500000.00 11056150.00 Corporate Debt Securities ODEBRECHT OFFSHORE DRILLING FR 6.72%120122 549300L7LF2PIRAWID66 2022-12-01 2022-12-01 6.72 - 6.72 11705517.00 8568996.93 Corporate Debt Securities WALGREENS BOOTS ALLIANCE INC SR GLBL NT 46 549300RPTUOIXG4LIH86 2046-06-01 2046-06-01 4.65 - 4.65 2942000.00 3178146.98 Corporate Debt Securities AT&T INC SR GLBL NT 26 549300Z40J86GGSTL398 2026-01-15 2026-01-15 3.875 - 3.875 1243000.00 1359753.09 Corporate Debt Securities UNISYS CORP SR SEC GLBL 22 549300T21W22FIJJOW08 2022-04-15 2022-04-15 10.75 - 10.75 40360000.00 44606488.61 Corporate Debt Securities JAGUAR HLDG CO II / JAGUAR MER SR 144A NT 23 2023-08-01 2023-08-01 6.375 - 6.375 1063000.00 1101885.87 Corporate Debt Securities ODEBRECHT DRILLING NORBE VIII/ FR 6.35%120121 549300YNW6BY570L6488 2021-12-01 2021-12-01 6.35 - 6.35 5850000.00 2251698.88 Corporate Debt Securities SEALED AIR CORP NEW SR 144A NT6.5%20 Q0M0CZB4YN6JZ65WXI09 2020-12-01 2020-12-01 6.5 - 6.5 2937000.00 3034532.88 Corporate Debt Securities HUSKY III HOLDING LIMITED SR GLBL PIK 25 2025-02-15 2025-02-15 13 - 13 191404.00 193328.67 Corporate Debt Securities CISCO SYS INC SR GLBL NT2.2%23 8E6NF1YAL0WT6CWXXV93 2023-09-20 2023-09-20 2.2 - 2.2 2386000.00 2465228.46 Corporate Debt Securities TENNESEE VALLEY AUTHORITY 549300HE1ISW43LNKM54 2039-09-15 2039-09-15 5.25 - 5.25 13000000.00 19910498.83 Agency Debentures and Agency Strips Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0178 254000000.00 254000000.00 0.0033 N Y Y N BNP Paribas BNP Paribas, 1.71% R0MUWSFPU8MPRO8K5P83 FHC909000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N KOREA GAS CORP GLBL MTN REG S FR 2.75%072022 988400TFZILHBD5M3R71 2022-07-20 2022-07-20 2.75 - 2.75 909542.00 934047.59 Corporate Debt Securities WALMART INC SR GLBL NT 26 Y87794H0US1R65VBXU25 2026-07-08 2026-07-08 3.05 - 3.05 345599.00 373860.74 Corporate Debt Securities ATHENE GLOBAL FUNDING SR GLBL 144A 24 549300LM1QSI4MSIL320 2024-06-25 2024-06-25 2.75 - 2.75 994000.00 1029567.80 Corporate Debt Securities JPMORGAN CHASE AND CO PERP SUB GLBL HH 8I5DZWZKVSZI1NUHU748 2500-12-31 2500-12-31 4.6 - 4.6 1004905.00 1019950.66 Corporate Debt Securities BK OF AMERICA CORP ALT TIER I PERP 9DJT3UXIJIZJI4WXO774 2500-12-31 2500-12-31 5.875 - 5.875 15517000.00 17533755.27 Corporate Debt Securities ASIAN DEVELOPMENT BANK 549300X0MVH42CY8Q105 2022-09-13 2022-09-13 1.75 - 1.75 43456000.00 44434665.33 Other Instrument INTERNATIONAL DEBT CITIGROUP INC SUB NT 4.6%26 6SHGI4ZSSLCXXQSBB395 2026-03-09 2026-03-09 4.6 - 4.6 20000000.00 22985488.89 Corporate Debt Securities JPMORGAN CHASE FINL CO LLC FR 0.25%050123 549300NJFDJOFYVV6789 2023-05-01 2023-05-01 0.25 - 0.25 3849000.00 3890617.31 Corporate Debt Securities FEDERAL HOME LOAN MORTGAGE CORP 2025-07-25 2046-07-25 0.1 - 0.518 3522427451.00 10477871.02 Agency Collateralized Mortgage Obligation TOTAL SYS SVCS INC SR GLBL NT4.8%26 549300NOMHGVQBX6S778 2026-04-01 2026-04-01 4.8 - 4.8 28000.00 32400.20 Corporate Debt Securities FEDERAL NATIONAL MORTGAGE ASSOC 2040-01-25 2041-12-25 3.677 - 6.5 194792525.00 12981201.37 Agency Collateralized Mortgage Obligation BANK AMER CORP FR 2.496%021331 9DJT3UXIJIZJI4WXO774 2031-02-13 2031-02-13 2.496 - 2.496 1.00 1.01 Corporate Debt Securities EXXON MOBIL CORP SR GLBL NT 45 J3WHBG0MTS7O8ZVMDC91 2045-03-06 2045-03-06 3.567 - 3.567 236000.00 266954.31 Corporate Debt Securities HEINEKEN N V SR GLBL 144A 42 724500K5PTPSST86UQ23 2042-10-01 2042-10-01 4 - 4 2000.00 2384.23 Corporate Debt Securities WORLD BANK ZTMSNXROF84AHWJNKQ93 2025-10-30 2026-09-30 N/A 300000.00 276816.70 Other Instrument INTERNATIONAL DEBT AUSTRALIA & NEW ZEALA BKG 144A ALT TIER I COCO JHE42UYNWWTJB8YTTU19 2099-12-31 2099-12-31 6.75 - 6.75 1048000.00 1213644.26 Corporate Debt Securities HSBC HLDGS PLC ALT TIER I PERP MLU0ZO3ML4LN2LL2TL39 2500-12-31 2500-12-31 6.5 - 6.5 959999.00 1081425.54 Corporate Debt Securities JPMORGAN CHASE & CO ALT TIER I PERP 8I5DZWZKVSZI1NUHU748 2099-12-31 2099-12-31 5.3 - 5.3 2795000.00 2847336.38 Corporate Debt Securities BOFA FIN LLC MED TERM NTS BOOK REVRS CV LKD 23 549300CGZYSEY3ZSIW16 2023-05-01 2023-05-01 0.25 - 0.25 481000.00 493762.13 Corporate Debt Securities HOME DEPOT INC SR NT 2.125%26 QEKMOTMBBKA8I816DO57 2026-09-15 2026-09-15 2.125 - 2.125 3000.00 3103.77 Corporate Debt Securities METLIFE CAPITAL TRUST IV 7.875%67 2067-12-15 2067-12-15 7.875 - 7.875 9172000.00 12574525.38 Corporate Debt Securities ARCH CAPITAL FINANCE LLC SR NT 4.011%26 549300XG4URFY0200M65 2026-12-15 2026-12-15 4.011 - 4.011 10500000.00 12050255.88 Corporate Debt Securities COCA COLA CO SR GLBL NT 29 UWJKFUJFZ02DKWI3RY53 2029-09-06 2029-09-06 2.125 - 2.125 751.00 766.68 Corporate Debt Securities AVALONBAY CMNTYS INC MTN BE FR 2.3%030130 K9G90K85RBWD2LAGQX17 2030-03-01 2030-03-01 2.3 - 2.3 1035137.00 1043544.04 Corporate Debt Securities CREDIT AGRICOLE SA LONDON BRH FR 2.375%012225 969500TJ5KRTCJQWXH05 2025-01-22 2025-01-22 2.375 - 2.375 744000.00 760929.72 Corporate Debt Securities BARCLAYS PLC SR GLBL NT 25 213800LBQA1Y9L22JB70 2025-05-07 2025-05-07 3.932 - 3.932 882610.00 948623.64 Corporate Debt Securities UNITEDHEALTH GROUP INC SR GLBL NT5.8%36 549300GHBMY8T5GXDE41 2036-03-15 2036-03-15 5.8 - 5.8 3000.00 4199.31 Corporate Debt Securities TELEFONICA EMISIONES S A U SR GLBL NT 27 549300Y5MFC4SW5Z3K71 2027-03-08 2027-03-08 4.103 - 4.103 932.00 1055.81 Corporate Debt Securities JPMORGAN CHASE & CO PERP SUB GLBL -X 8I5DZWZKVSZI1NUHU748 2500-12-31 2500-12-31 6.1 - 6.1 105000.00 115432.62 Corporate Debt Securities ALLIED WORLD ASSURN CO HLDGS SR GLBL NT 25 549300E2X3MLXVVR4T40 2025-10-29 2025-10-29 4.35 - 4.35 20700000.00 22918194.75 Corporate Debt Securities SYNCHRONY FINL SR GLBL NT 24 549300RS7EWPM9MA6C78 2024-08-15 2025-07-23 4.25 - 4.5 20689000.00 22296320.96 Corporate Debt Securities PNC FINL SVCS GROUP INC ALT TIER I PERP CFGNEKW0P8842LEUIA51 2500-12-31 2500-12-31 6.75 - 6.75 16000.00 16881.00 Corporate Debt Securities ABBVIE INC SR GLBL 144A 39 FR5LCKFTG8054YNNRU85 2039-11-21 2039-11-21 4.05 - 4.05 1647000.00 1819445.02 Corporate Debt Securities BNP PARIBAS / BNP PARIBAS US FR 3.25%030323 R0MUWSFPU8MPRO8K5P83 2023-03-03 2023-03-03 3.25 - 3.25 77000.00 82181.99 Corporate Debt Securities COSTCO WHSL CORP NEW SR GLBL NT 3%27 29DX7H14B9S6O3FD6V18 2027-05-18 2027-05-18 3 - 3 2000.00 2190.39 Corporate Debt Securities HOSPITALITY PPTYS TR SR GLBL NT 26 529900IS770AG1K9QG27 2026-10-01 2026-10-01 4.75 - 4.75 11708000.00 12796271.61 Corporate Debt Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0170 201000000.00 201000000.00 0.0026 N Y Y N Citigroup Global Markets, Inc. Citigroup Global Markets, Inc., 2.06% MBNUM2BPBDO7JBLYG310 0000315030 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N TABS LTD 2005-4 A 20450830 FLT 549300FHT0OQV5TANZ73 2045-08-30 2045-08-30 1.491 - 1.491 208932551.00 2952566.98 Other Instrument COLLATERALIZED DEBT OBLIGATION TABERNA PREF FDG V 2006-5 A-2L 20360805 FLT VZLY0S8U2GEIK6ZPGP62 2036-08-05 2036-08-05 2.541 - 2.541 15000000.00 1677891.79 Other Instrument COLLATERALIZED DEBT OBLIGATION ADIRONDACK LTD 2005-1 D 20400709 FLT 549300MP08D6YHF1YM61 2040-07-09 2040-07-09 4.622 - 4.622 8000000.00 1661284.68 Other Instrument COLLATERALIZED DEBT OBLIGATION INDYMAC INDX 2007-FLX2 A-2 20370425 FLT 2037-04-25 2037-04-25 1.817 - 1.817 19500000.00 3672056.65 Private Label Collateralized Mortgage Obligations BLUEGRASS ABS 5493007UG5TJX8MX1024 2039-12-15 2039-12-15 2.494 - 2.494 34000000.00 3375479.03 Other Instrument COLLATERALIZED DEBT OBLIGATION E*TRADE ABS 2002-1 C-1 20371008 FLT 549300OQTYRETM7RIZ12 2037-10-08 2037-10-08 4.677 - 4.677 3000000.00 1162601.50 Other Instrument COLLATERALIZED DEBT OBLIGATION RESIDENTIAL ASSET 2005-EFC4 M-7 20350925 FLT 2035-09-25 2035-09-25 2.777 - 2.777 2000000.00 149990.07 Asset-Backed Securities ATTENUS CDO I 2006-1 D 20360510 FLT 549300K5UF09SNNJUL07 2036-05-10 2036-05-10 4.651 - 4.651 4000000.00 1625644.54 Other Instrument COLLATERALIZED DEBT OBLIGATION WEST COAST FDG I LTD 2006-1 D 20411102 FLT 549300QXECZQNCECZH07 2041-11-02 2041-11-02 4.802 - 4.802 6250000.00 2593248.23 Other Instrument COLLATERALIZED DEBT OBLIGATION US CAP FDG III LTD 2004-3 B-2 20351201 FLT 2035-12-01 2035-12-01 3.437 - 3.437 17878000.00 14184427.77 Asset-Backed Securities TABERNA PREF FDG VII 2006-7 A3L 14 20370205 FLT O6FH5MIKN9JCILM69649 2037-02-05 2037-02-05 3.341 - 3.341 250000.00 54528.84 Other Instrument COLLATERALIZED DEBT OBLIGATION BUCKINGHAM CDO II 549300DM0V5WSWPRUZ90 2041-03-05 2041-03-05 3.334 - 3.334 7800000.00 1899077.37 Other Instrument COLLATERALIZED DEBT OBLIGATION ALESCO PREFERRED FDG X 2006-10 C-1 20360923 FLT 2WR5CR0FUX22SCWPNQ42 2036-09-23 2036-09-23 3.178 - 3.852 63363000.00 46473829.06 Other Instrument COLLATERALIZED DEBT OBLIGATION ATTENTUS CDO III 2007-3 E-1 20421011 FLT 5493004RJP3DQLC3SN92 2042-10-11 2042-10-11 4.934 - 7.982 11000000.00 5989431.22 Other Instrument COLLATERALIZED DEBT OBLIGATION TABERNA PREFERRED FUNDING V LTD VZLY0S8U2GEIK6ZPGP62 2036-08-05 2036-08-05 1.834 - 1.834 17500000.00 1769826.52 Other Instrument COLLATERALIZED DEBT OBLIGATION PREFERRED TERM SEC XV 2004-15 C 144 20340926 FLT 2034-09-26 2034-09-26 4.403 - 4.403 1000000.00 731095.44 Asset-Backed Securities ML ALT NT ASSET TR 2007-OAR2 A-2 20370425 FLT 2037-04-25 2037-04-25 1.837 - 1.837 2.00 0.90 Private Label Collateralized Mortgage Obligations DIOGENES CDO I LTD 2005-1 A-1 20431215 FLT 2043-12-15 2043-12-15 2.134 - 2.134 245500000.00 6381353.90 Other Instrument COLLATERALIZED DEBT OBLIGATION JER CRE CDO 2006-2 C-FL 20450325 FLT 549300HX6FUK9WBH2U64 2045-03-25 2045-03-25 2.277 - 4.127 27205750.00 8166571.19 Other Instrument COLLATERALIZED DEBT OBLIGATION SOUTH COAST FDG III 2003-3 A-1A 20380810 FLT 549300JPS4LRS1YTBK56 2038-08-10 2038-08-10 2.501 - 2.501 7001000.00 416612.85 Other Instrument COLLATERALIZED DEBT OBLIGATION GS MTG SECS TR 2014-GC18 F 20470111 3.72200 2047-01-11 2047-01-11 3.722 - 3.722 17.00 10.92 Private Label Collateralized Mortgage Obligations WEST COAST FDG I LTD 2006-1 A-3 20411102 FLT 549300QXECZQNCECZH07 2041-11-02 2041-11-02 2.109 - 2.109 71000000.00 2182223.15 Other Instrument COLLATERALIZED DEBT OBLIGATION BAYVIEW COML TR 2006-1 B2 144 20360425 FLT 2036-04-25 2036-04-25 3.327 - 3.327 2200000.00 226429.88 Private Label Collateralized Mortgage Obligations KODIAK CDO I LTD 2006-1 D1 144 20370807 FLT 2037-08-07 2037-08-07 4.743 - 6.56 5000000.00 2920674.05 Other Instrument COLLATERALIZED DEBT OBLIGATION ORIENT PT CDO LTD 2005-1 A-2 20451003 FLT 5493005ONOWKNFDR6S52 2045-10-03 2045-10-03 2.358 - 3.558 29673469.00 5753832.42 Other Instrument COLLATERALIZED DEBT OBLIGATION CWABS INC 2007-2 M-1 20360425 FLT 2036-04-25 2036-04-25 1.847 - 1.847 19000000.00 3303799.35 Asset-Backed Securities CITIGROUP GLOBAL MKTS HLDGS IN FR 0.6%123022 82VOJDD5PTRDMVVMGV31 2022-12-30 2036-03-31 0.6 - 4 52872.00 53135.42 Corporate Debt Securities ELLINGTON LN ACQ TR 2007-2 M-2B 20370525 FLT 2037-05-25 2037-05-25 3.327 - 3.327 231504.00 27416.31 Asset-Backed Securities DSLA MTG LN TR 2004-AR2 A-2B 20441119 FLT 2044-11-19 2044-11-19 2.447 - 2.447 29.00 1.02 Private Label Collateralized Mortgage Obligations JUPITER HGH-GRD CDO III 2005-3 A-2A 20420608 FLT 2042-06-08 2042-06-08 1.037 - 2.552 56421875.00 9076460.69 Other Instrument COLLATERALIZED DEBT OBLIGATION PALISADES CDO LTD 254900GFQ1EE6QUMSF58 2039-07-22 2039-07-22 2.752 - 2.752 4208364.00 1858533.81 Other Instrument COLLATERALIZED DEBT OBLIGATION PACIFIC COAST CDO 2001 B 20361025 FLT 2036-10-25 2036-10-25 1.794 - 1.794 19296.00 2030.79 Other Instrument COLLATERALIZED DEBT OBLIGATION MMCAPS FDG XVIII 2006-18 D 144A 20391227 FLT 2039-12-27 2039-12-27 3.747 - 3.747 5000000.00 2424511.89 Asset-Backed Securities FORTIUS I FDG 2006-1 A-1 20410712 FLT 549300RD4RO9XEMFDL93 2041-07-12 2041-07-12 2.309 - 2.309 390000000.00 16456104.59 Other Instrument COLLATERALIZED DEBT OBLIGATION BOMBARDIER CAP MTG 2000-A A-3 20300615 7.83000 2030-06-15 2030-06-15 7.83 - 7.83 3500000.00 606802.62 Asset-Backed Securities E TRADE ABS CDO IV 2005-4 B 20421205 FLT 549300NYV3IPIKFFCG84 2042-12-05 2042-12-05 1.67 - 1.67 8000000.00 146402.67 Other Instrument COLLATERALIZED DEBT OBLIGATION STRUCTURED ASSET MTG 2007-AR6 X-2 20470825 0.50000 2047-08-25 2047-08-25 0.5 - 0.5 40537.00 150.52 Private Label Collateralized Mortgage Obligations ALESCO PREF FDG III 2004-3 B-2 20340501 FLT 2034-05-01 2034-05-01 3.481 - 3.481 4091000.00 2109990.35 Other Instrument COLLATERALIZED DEBT OBLIGATION CITIGROUP SR GLBL G STP 29 6SHGI4ZSSLCXXQSBB395 2022-08-31 2029-12-27 0 - 2.75 82744.00 101247.83 Corporate Debt Securities CITIGROUP GLOBAL MKTS HLDGS IN SR GLBL INDX 22 82VOJDD5PTRDMVVMGV31 2022-08-04 2022-08-04 N/A 15872.00 15537.10 Corporate Debt Securities BELLE HAVEN ABS CDO 2004-1 A1J 20441103 FLT 2044-11-03 2044-11-03 2.502 - 2.702 61999992.00 8887107.03 Other Instrument COLLATERALIZED DEBT OBLIGATION Y N/A N/A 2020-04-03 2020-04-03 2020-05-11 Y CITIGROUP INC 1.0000 35 N N/A N/A Y CITIGROUP INC 1.0000 N/A N/A N 0.0205 149000000.00 149000000.00 0.0019 N N N Y Citigroup Global Markets, Inc. Citigroup Global Markets, Inc., 2.06% MBNUM2BPBDO7JBLYG310 0000315030 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N TABERNA PREF FDG V 2006-5 A-1LB 20360805 FLT VZLY0S8U2GEIK6ZPGP62 2036-08-05 2036-08-05 2.241 - 2.241 26239598.00 12238981.61 Other Instrument COLLATERALIZED DEBT OBLIGATION C-BASS TRUST 2007-CB1 AF-1B 20370125 FLT 2037-01-25 2037-01-25 3.466 - 3.466 198691.00 14776.87 Asset-Backed Securities RENAISSANCE HEQ 2004-4 MF-3 20350225 5.41700 2035-02-25 2035-02-25 5.417 - 5.417 2674751.00 657679.06 Asset-Backed Securities ORION LTD 2006-1 C 144A 20460910 FLT 549300MLMUOPMGCXUV63 2046-09-10 2046-09-10 3.277 - 3.277 144.00 49.20 Other Instrument COLLATERALIZED DEBT OBLIGATION NATIONAL COLL ST LN TR 2006-2 C 20310925 FLT 2031-09-25 2031-09-25 2.127 - 2.127 6996848.00 212670.80 Asset-Backed Securities JP MORGAN MTG ACQ 2006-WMC4 A-1B 20361225 FLT 2036-12-25 2036-12-25 1.857 - 1.857 41853000.00 6835461.70 Asset-Backed Securities FBR SEC TRUST 2005-4 M-2 20351025 FLT 2035-10-25 2035-10-25 2.347 - 2.347 6580000.00 1339941.74 Asset-Backed Securities GSR MTG TR 2005-9F 2A-8 20360125 6.00000 2036-01-25 2036-01-25 6 - 6 7095007.00 198129.93 Private Label Collateralized Mortgage Obligations LEHMAN MTG TR 2006-8 4-A2 20361225 FLT 2036-12-25 2036-12-25 6.123 - 6.123 21651000.00 831484.12 Private Label Collateralized Mortgage Obligations FIELDSTONE MTG INV 2005-1 M7 20350325 FLT 2035-03-25 2035-03-25 3.502 - 3.502 7931518.00 1026027.61 Asset-Backed Securities C-BASS CBO XIX 2007-19 A-1 20471007 FLT 54930094XNV6HLQUTZ27 2047-10-07 2047-10-07 2.25 - 4.2 245570000.00 10396783.98 Other Instrument COLLATERALIZED DEBT OBLIGATION RESI FINANCE LTD 2005-B B3 20370610 FLT 2037-06-10 2037-06-10 2.251 - 2.251 38453000.00 400295.37 Asset-Backed Securities BEAR STEARNS CMBS 2007-PWR16 D 144A 20400611 FLT 2040-06-11 2040-06-11 5.842 - 5.842 4500000.00 4364917.34 Private Label Collateralized Mortgage Obligations TOWD PT MTG TR 2018-6 B4 20580325 FLT 2058-03-25 2058-03-25 3.901 - 3.901 1190000.00 584385.03 Asset-Backed Securities BANC AMER CMBS 2006-3 A-M 20440710 FLT 2044-07-10 2044-07-10 5.665 - 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2.527 12517000.00 3206987.61 Asset-Backed Securities DUKE FDG X 2006-10 A1 20460409 FLT 549300K75EIHG4JT8034 2046-04-09 2046-04-09 2.338 - 2.338 78.00 3.78 Other Instrument COLLATERALIZED DEBT OBLIGATION HOME EQUITY ASSET TR 2006-6 2-A-4 20361125 FLT 2036-11-25 2036-11-25 1.867 - 1.867 17500000.00 5734707.34 Asset-Backed Securities HIGHLAND PARK CDO I 2006-1 C 20511125 FLT 549300EPZBP5YZALJQ09 2051-11-25 2051-11-25 3.501 - 3.501 15000000.00 1751841.31 Other Instrument COLLATERALIZED DEBT OBLIGATION ELANCO ANIMAL HEALTH INC 5% TNGBL EQTY UT 549300SHPNDCE059M934 2500-12-31 2500-12-31 N/A 1524.00 78714.60 Equities PYXIS 2006-1A C 5493008NHAXUFFL0HW88 2046-11-10 2046-11-10 2.197 - 3.077 27054313.00 7677014.74 Asset-Backed Securities CWCAPITAL COBALT II 2006-2 K 20500426 FLT 2050-04-26 2050-04-26 5.294 - 5.294 1000000.00 290128.65 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 144347000.00 2175698.86 Private Label Collateralized Mortgage Obligations C-BASS CBO XVIII 2007-18 C 20470313 FLT 549300OSC26SNVVNAA28 2047-03-13 2047-03-13 3.887 - 6.637 11800000.00 2906095.97 Other Instrument COLLATERALIZED DEBT OBLIGATION ML-CFC COML MTG TR 2006-4 D 20491212 FLT 2049-12-12 2049-12-12 5.354 - 5.354 1000000.00 266212.57 Private Label Collateralized Mortgage Obligations MONTTAUK POINT CDO II LTD 54930046COUSLUSBKU90 2046-04-06 2046-04-06 1.74 - 1.74 3.00 0.77 Other Instrument COLLATERALIZED DEBT OBLIGATION CWALT INC 2005-62 2-A-3 20351225 FLT 2035-12-25 2035-12-25 3.708 - 3.708 41889540.00 246329.10 Private Label Collateralized Mortgage Obligations Y N/A N/A 2020-04-03 2020-04-03 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 98000000.00 98000000.00 0.0013 N N N Y Citigroup Global Markets, Inc. Citigroup Global Markets, Inc., 2.07% MBNUM2BPBDO7JBLYG310 0000315030 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N 101-500 2020-04-01 2057-07-01 0 - 6.5 166051601.00 159242162.82 Other Instrument MUNICIPAL Y N/A N/A 2020-05-27 2020-05-27 2020-05-27 N Y CITIGROUP INC 1.0000 N/A N/A N 0.0206 151000000.00 151000000.00 0.0019 N N N Y Credit AG CIB Paris Credit AG CIB Paris, 1.76% 1VUV7VQFKUOQSJ21A208 FHB363000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N MITSUBISHI UFJ FINL GROUP INC SR GLBL NT 24 353800V2V8PUY9TK3E06 2024-07-18 2024-07-18 2.801 - 2.801 25000000.00 25986055.56 Corporate Debt Securities TOYOTA MOTOR CORP SR GLBL NT 29 5493006W3QUS5LMH6R84 2029-07-02 2029-07-02 2.76 - 2.76 3547982.00 3805541.84 Corporate Debt Securities MIZUHO BANK LTD. SR REGS NT 24 RB0PEZSDGCO3JS6CEU02 2024-04-16 2024-04-16 3.75 - 3.75 22000000.00 23992980.00 Corporate Debt Securities ICBC LTD NEW YORK BRANCH FR 2.452%102021 5493002ERZU2K9PZDL40 2021-10-20 2021-10-20 2.452 - 2.452 25000000.00 25402955.56 Corporate Debt Securities ROYAL BK SCOTLAND GROUP PLC SR GLBL COCO 29 2138005O9XJIJN4JPN90 2029-05-18 2029-05-18 4.892 - 4.892 5219000.00 6118854.18 Corporate Debt Securities WELLS FARGO CO MTN BE VR 120715-120720 PBLD0EJDB5FWOLXP3B76 2020-12-07 2020-12-07 2.895 - 2.895 24000000.00 24329130.00 Corporate Debt Securities BANK NOVA SCOTIA B C SR GLBL NT2.8%21 L3I9ZG2KFGXZ61BMYR72 2021-07-21 2021-07-21 2.8 - 2.8 25000000.00 25540694.44 Corporate Debt Securities MCDONALDS CORP MED TERM NT BE FR 3.8%040128 UE2136O97NLB5BYP9H04 2028-04-01 2028-04-01 3.8 - 3.8 21300000.00 24039535.00 Corporate Debt Securities ICBCIL FINANCE CO. LTD. FR 2.5%092921 549300ZCUURSNVTOEU07 2021-09-29 2021-09-29 2.5 - 2.5 25000000.00 25380930.56 Corporate Debt Securities COCA COLA CO SR GLBL NT 25 UWJKFUJFZ02DKWI3RY53 2025-10-27 2025-10-27 2.875 - 2.875 24500000.00 26504913.26 Corporate Debt Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0174 201000000.00 201000000.00 0.0026 N Y Y N Credit AG CIB Paris Credit AG CIB Paris, 1.76% 1VUV7VQFKUOQSJ21A208 FHA747000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N COMCAST CORP NEW SR GLBL NT3.3%27 51M0QTTNCGUN7KFCFZ59 2027-02-01 2027-02-01 3.3 - 3.3 10000000.00 10800150.00 Corporate Debt Securities BURLINGTON NORTHN SANTA FE CP SR GLBL DEB 3%23 2023-03-15 2023-03-15 3 - 3 10000000.00 10505533.33 Corporate Debt Securities DANSKE BK AS REGS FR 3.875%091223 MAES062Z21O4RZ2U7M96 2023-09-12 2023-09-12 3.875 - 3.875 10000000.00 10740080.56 Corporate Debt Securities WPP FIN 2010 CR SEN SR NT 22 549300OJB3S151W7KN44 2022-09-07 2022-09-07 3.625 - 3.625 10000000.00 10621387.50 Corporate Debt Securities CANADIAN IMP BK COMM SR GLBL COCO 24 2IGI19DL77OX0HC3ZE78 2024-04-02 2024-04-02 3.1 - 3.1 10000000.00 10636422.22 Corporate Debt Securities SANOFI SR NT 4%21 549300E9PC51EN656011 2021-03-29 2021-03-29 4 - 4 10000000.00 10436255.56 Corporate Debt Securities BANK AMER CORP FR 5.7%012422 9DJT3UXIJIZJI4WXO774 2022-01-24 2022-01-24 5.7 - 5.7 10000000.00 10827733.33 Corporate Debt Securities BPCE SR NON PFD MED TM NT REGS FR 3.5%102327 9695005MSX1OYEMGDF46 2027-10-23 2027-10-23 3.5 - 3.5 10000000.00 10788927.78 Corporate Debt Securities WORLD BANK ZTMSNXROF84AHWJNKQ93 2026-10-27 2026-10-27 1.875 - 1.875 302000.00 315623.85 Other Instrument INTERNATIONAL DEBT GLAXOSMITHKLINE CAP INC SR GLBL NT2.8%23 5493007Q8VD7Q3ZYZS59 2023-03-18 2023-03-18 2.8 - 2.8 10000000.00 10516044.44 Corporate Debt Securities HSBC HLDGS PLC ALT TIER I COCO MLU0ZO3ML4LN2LL2TL39 2099-12-31 2099-12-31 6 - 6.875 9172000.00 9906857.41 Corporate Debt Securities JPMORGAN CHASE & CO SR NT 4.5%22 8I5DZWZKVSZI1NUHU748 2022-01-24 2022-01-24 4.5 - 4.5 10000000.00 10593700.00 Corporate Debt Securities FIFTH THIRD BANCORP SR GLBL NT 24 THRNG6BD57P9QWTQLG42 2024-01-25 2024-01-25 3.65 - 3.65 10000000.00 10732058.33 Corporate Debt Securities CSX CORP SR GLBL NT3.7%23 549300JVQR4N1MMP3Q88 2023-11-01 2024-08-01 3.4 - 3.7 20000000.00 21521150.00 Corporate Debt Securities HOME DEPOT INC SR NT 2.7%23 QEKMOTMBBKA8I816DO57 2023-04-01 2023-04-01 2.7 - 2.7 10000000.00 10453850.00 Corporate Debt Securities BAIDU INC SR GLBL NT 24 254900AL64IANZYI1E02 2020-06-30 2025-06-30 3 - 4.375 2236000.00 2403917.44 Corporate Debt Securities EADS FINANCE BV SR NT 144A 2.7%2 529900M7QSB704RUUT95 2023-04-17 2023-04-17 2.7 - 2.7 10000000.00 10447850.00 Corporate Debt Securities ASB BK LTD FR 3.75%061423 549300IBZWZL1KTPF918 2023-06-14 2024-05-23 3.125 - 3.75 20000000.00 21362748.61 Corporate Debt Securities SEMPRA ENERGY 3.25%27 PBBKGKLRK5S5C0Y4T545 2027-06-15 2027-06-15 3.25 - 3.25 10000000.00 10686402.78 Corporate Debt Securities SP GROUP TREAS PTE LTD FR 3.375%022729 6354004HB4CUEDLMXY86 2029-02-27 2029-02-27 3.375 - 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3.5 3019000.00 3276012.50 Corporate Debt Securities WELLS FARGO CO NEW SR GLBL NT 3%26 PBLD0EJDB5FWOLXP3B76 2026-04-22 2026-04-22 3 - 3 10000000.00 10619400.00 Corporate Debt Securities WELLPOINT INC NT 3.3%23 8MYN82XMYQH89CTMTH67 2023-01-15 2023-01-15 3.3 - 3.3 10000000.00 10477916.67 Corporate Debt Securities WALMART INC SR NT 2.55%23 Y87794H0US1R65VBXU25 2023-04-11 2023-04-11 2.55 - 2.55 4836000.00 5046434.51 Corporate Debt Securities AFRICAN DEVELOPMENT BANK 549300LNCLMO3ITVCU07 2021-12-06 2021-12-06 3 - 3 4518000.00 4686988.26 Other Instrument INTERNATIONAL DEBT HERSHEY CO GLBL NT 2.45%29 21X2CX66SU2BR6QTAD08 2029-11-15 2029-11-15 2.45 - 2.45 10000000.00 10575105.56 Corporate Debt Securities NORFOLK SOUTHERN CORP SR NT 3.85%24 54930036C8MWP850MI84 2024-01-15 2024-01-15 3.85 - 3.85 10000000.00 10818586.11 Corporate Debt Securities JPMORGAN CHASE AND CO PERP SUB GLBL II 8I5DZWZKVSZI1NUHU748 2500-12-31 2500-12-31 4 - 4 800000.00 764355.56 Corporate Debt Securities ANZ NEW ZEALAND INTL LTD REGS FR 3.4%031924 213800VD256NU2D97H12 2024-03-19 2024-03-19 3.4 - 3.4 10000000.00 10818766.67 Corporate Debt Securities MIZUHO FINL GROUP INC SR GLBL NT 23 353800CI5L6DDAN5XZ33 2023-03-05 2023-03-05 3.549 - 3.549 10000000.00 10720949.17 Corporate Debt Securities THREE GORGES FINANCE I SR GLBL REGS 25 549300FD0MPTWEITI779 2025-06-10 2025-06-10 3.7 - 3.7 215000.00 234512.68 Corporate Debt Securities Y N/A N/A 2020-03-03 2020-03-03 2020-03-03 N N N 0.0174 311000000.00 311000000.00 0.0040 N N Y N Credit AG CIB Paris Credit AG CIB Paris, 1.76% 1VUV7VQFKUOQSJ21A208 FHB360000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N EXXON MOBIL CORP SR GLBL FL NT 22 J3WHBG0MTS7O8ZVMDC91 2022-03-06 2022-03-06 2.257 - 2.257 40946000.00 41395858.82 Corporate Debt Securities CHEVRON CORP NEW SR GLBL FL NT 22 2022-03-03 2022-03-03 2.435 - 2.435 50454000.00 51026945.11 Corporate Debt Securities Y N/A N/A 2020-03-04 2020-03-04 2020-03-04 N N N 0.0175 88000000.00 88000000.00 0.0011 N N Y N Credit AG CIB Paris Credit AG CIB Paris, 1.76% 1VUV7VQFKUOQSJ21A208 FHC942000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N HANWHA ENERGY USA HLDGS CORP SR GLBL REGS 22 549300VVIE7XDIYNIT55 2022-07-30 2022-07-30 2.375 - 2.375 20735000.00 21096353.45 Corporate Debt Securities MITSUBISHI UFJ FINL GROUP INC SR GLBL NT 29 353800V2V8PUY9TK3E06 2029-03-07 2029-07-18 3.195 - 3.741 40000000.00 44007595.00 Corporate Debt Securities ROYAL BK SCOTLAND GROUP PLC SR GLBL COCO 29 2138005O9XJIJN4JPN90 2029-05-18 2029-05-18 4.892 - 4.892 14781000.00 17329523.60 Corporate Debt Securities AT&T INC SR GLBL NT3.6%25 549300Z40J86GGSTL398 2025-07-15 2025-07-15 3.6 - 3.6 20000000.00 21617400.00 Corporate Debt Securities BANK NOVA SCOTIA B C SR GLBL COCO 26 L3I9ZG2KFGXZ61BMYR72 2026-08-03 2026-08-03 2.7 - 2.7 20000000.00 21045300.00 Corporate Debt Securities WESTPAC BKG CORP SR GLBL NT 26 EN5TNI6CI43VEPAMHL14 2026-05-13 2026-05-13 2.85 - 2.85 20000000.00 21169250.00 Corporate Debt Securities TOYOTA MTR CRD CORP MTN BE FR 3.4% 21 Z2VZBHUMB7PWWJ63I008 2021-09-15 2021-09-15 3.4 - 3.4 10788000.00 11265201.19 Corporate Debt Securities ICBCIL FINANCE CO. LTD. FR 3.2%111020 549300ZCUURSNVTOEU07 2020-11-10 2020-11-10 3.2 - 3.2 22500000.00 22882050.00 Corporate Debt Securities CLOROX CO DEL SR GLBL NT3.9%28 54930044KVSC06Z79I06 2028-05-15 2028-05-15 3.9 - 3.9 20000000.00 23205566.67 Corporate Debt Securities GILEAD SCIENCES INC SR GLBL NT 26 549300WTZWR07K8MNV44 2026-03-01 2026-03-01 3.65 - 3.65 20000000.00 22165516.67 Corporate Debt Securities Y N/A N/A 2020-03-06 2020-03-06 2020-03-06 N N N 0.0175 215000000.00 215000000.00 0.0028 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 DISNEY WALT CO MTNS BE FR 7%030132 7260JQNI6SCF9FIV2392 2032-03-01 2032-03-01 7 - 7 853000.00 1304737.43 Corporate Debt Securities VERIZON COMMUNICATIONS INC SR GLBL NT 29 2S72QS2UO2OESLG6Y829 2029-12-03 2029-12-03 4.016 - 4.016 56010.00 65003.09 Corporate Debt Securities WORLD BANK ZTMSNXROF84AHWJNKQ93 2021-03-09 2025-07-29 1.625 - 7.625 24430000.00 26165776.85 Other Instrument INTERNATIONAL DEBT MICROSOFT CORP SR GLBL NT2.4%26 INR2EJN1ERAN0W5ZP974 2026-08-08 2026-08-08 2.4 - 2.4 1530000.00 1595458.50 Corporate Debt Securities DH EUROPE FIN II S A R L SR GLBL NT 39 222100KDGL314CKTZ511 2039-11-15 2039-11-15 3.25 - 3.25 3999450.00 4340166.48 Corporate Debt Securities ASIAN DEVELOPMENT BANK 549300X0MVH42CY8Q105 2021-12-15 2021-12-15 1.904 - 1.904 943000.00 946322.21 Other Instrument INTERNATIONAL DEBT ASIAN DEVELOPMENT BANK 549300X0MVH42CY8Q105 2027-11-02 2027-11-02 2.5 - 2.5 500000.00 547787.78 Other Instrument INTERNATIONAL DEBT CORPORACION NACIONAL DEL COBRE SR GLBL 144A 50 549300UVMBCBCIPSUI70 2050-01-30 2050-01-30 3.7 - 3.7 6008000.00 6085309.61 Corporate Debt Securities INTER-AMERICAN DEVELOPMENT BANK VKU1UKDS9E7LYLMACP54 2024-02-21 2027-07-07 2.375 - 3 6900000.00 7381916.38 Other Instrument INTERNATIONAL DEBT INTERNATIONAL FINANCE CORP QKL54NQY28TCDAI75F60 2021-07-20 2021-07-20 1.125 - 1.125 2960000.00 2957683.80 Other Instrument INTERNATIONAL DEBT Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0176 50000000.00 50000000.00 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 DEERE JOHN CAP CORP MTNS BE FR 2.25%091426 E0KSF7PFQ210NWI8Z391 2026-09-14 2026-09-14 2.25 - 2.25 99000.00 103131.76 Corporate Debt Securities EUROPEAN INVT BK SR NT 1.625%20 5493006YXS1U5GIHE750 2020-03-16 2020-03-16 1.625 - 1.625 9205000.00 9272403.61 Corporate Debt Securities VERIZON COMMUNICATIONS INC SR GLBL NT 25 2S72QS2UO2OESLG6Y829 2025-02-15 2025-02-15 3.376 - 3.376 376.00 404.05 Corporate Debt Securities KEURIG DR PEPPER INC SR GLBL NT 38 DYTQ8KRTKO7Y2BVU5K74 2038-05-25 2038-05-25 4.985 - 4.985 3690240.00 4497029.48 Corporate Debt Securities AT&T INC SR GLBL NT 24 549300Z40J86GGSTL398 2024-06-01 2024-06-01 3.55 - 3.55 1885000.00 2021962.53 Corporate Debt Securities ING GROEP N V SR GLBL COCO 24 549300NYKK9MWM7GGW15 2024-04-09 2024-04-09 3.55 - 3.55 6708000.00 7222483.10 Corporate Debt Securities BANK NOVA SCOTIA B C SR GLBL COCO 24 L3I9ZG2KFGXZ61BMYR72 2024-02-11 2024-02-11 3.4 - 3.4 2999990.00 3189006.04 Corporate Debt Securities AIR LEASE CORP FR 3%020130 5493004NW4M4P8TMMK63 2030-02-01 2030-02-01 3 - 3 3140384.00 3112015.86 Corporate Debt Securities ABBVIE INC SR GLBL 144A 29 FR5LCKFTG8054YNNRU85 2029-11-21 2029-11-21 3.2 - 3.2 10.00 10.62 Corporate Debt Securities SOUTH CAROLINA ELEC & GAS CO 1MTG BD 5.3%33 3QRVFYR22IUIEOORTK28 2033-05-15 2033-05-15 5.3 - 5.3 1091000.00 1456227.40 Corporate Debt Securities ANHEUSER-BUSCH INBEV WLDW INC SR GLBL NT 29 549300CRGMZK3K53BF92 2029-01-23 2029-01-23 4.75 - 4.75 2.00 2.36 Corporate Debt Securities SALESFORCE COM INC SR NT 3.7%28 RCGZFPDMRW58VJ54VR07 2028-04-11 2028-04-11 3.7 - 3.7 557000.00 629733.37 Corporate Debt Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0167 30000000.00 30000000.00 0.0004 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 COMCAST CORP NEW SR GLBL NT3.3%27 51M0QTTNCGUN7KFCFZ59 2027-02-01 2045-08-15 3.3 - 4.6 17000000.00 20105079.72 Corporate Debt Securities BURLINGTON NORTHN SANTA FE CP SR DEB 5.75%40 2040-05-01 2043-03-15 4.45 - 5.75 2259000.00 3226820.28 Corporate Debt Securities VERIZON COMMUNICATIONS INC SR GLBL NT 25 2S72QS2UO2OESLG6Y829 2025-02-15 2025-02-15 3.376 - 3.376 3111204.00 3343265.94 Corporate Debt Securities CHEVRON CORP NEW SR GLBL NT2.1%21 2021-05-16 2021-05-16 2.1 - 2.1 4000000.00 4051360.00 Corporate Debt Securities AMEREN ILL CO 1M GLBL BD4.5%49 RC71E2BZ6UOMFPDJSE79 2049-03-15 2049-03-15 4.5 - 4.5 103000.00 136749.50 Corporate Debt Securities TOTAL CAP CDA LTD SR GLBL NT 23 5299005IX98ZZ9LSGK46 2023-07-15 2023-07-15 2.75 - 2.75 1021000.00 1062069.44 Corporate Debt Securities AMGEN INC SR GLBL NT3.2%27 62QBXGPJ34PQ72Z12S66 2027-11-02 2027-11-02 3.2 - 3.2 2500000.00 2729502.78 Corporate Debt Securities CARDINAL HEALTH INC SR GLBL NT 47 CCU46N3GJMF4OK4N7U60 2047-06-15 2047-06-15 4.368 - 4.368 2993000.00 3244164.58 Corporate Debt Securities ABBVIE INC SR GLBL 144A 29 FR5LCKFTG8054YNNRU85 2029-11-21 2029-11-21 3.2 - 3.2 1998190.00 2122641.71 Corporate Debt Securities NATIONWIDE FINL SVCS INC SR 144A NT3.9%49 5493001H7AZNDS6BKJ36 2049-11-30 2049-11-30 3.9 - 3.9 118.00 134.94 Corporate Debt Securities ORACLE CORP SR GLBL NT 24 1Z4GXXU7ZHVWFCD8TV52 2024-11-15 2024-11-15 2.95 - 2.95 9000.00 9576.54 Corporate Debt Securities AMERICAN TOWER CORP NEW SR GLBL NT3.8%29 5493006ORUSIL88JOE18 2029-08-15 2029-08-15 3.8 - 3.8 1611560.00 1765628.72 Corporate Debt Securities ARIZONA PUB SVC CO SR NT 4.5%42 YG6VT0TPHRH4TFVAQV64 2042-04-01 2042-04-01 4.5 - 4.5 1000000.00 1266765.00 Corporate Debt Securities ANHEUSER-BUSCH INBEV WLDW INC SR GLBL NT 29 549300CRGMZK3K53BF92 2029-01-23 2029-01-23 4.75 - 4.75 1679572.00 1979573.88 Corporate Debt Securities BHP BILLITON FIN USA LTD SR NT 5%43 5493003NUVITP3TMY274 2043-09-30 2043-09-30 5 - 5 8000000.00 10791804.44 Corporate Debt Securities BANK AMER CORP SR NT FXD/FLT 28 9DJT3UXIJIZJI4WXO774 2028-04-24 2028-04-24 3.705 - 3.705 2500000.00 2752054.17 Corporate Debt Securities CAPITAL ONE NATL ASSN VA SR NT 2.95%21 207ALC1P1YM0OVDV0K75 2021-07-23 2021-07-23 2.95 - 2.95 2440000.00 2485598.86 Corporate Debt Securities ANTHEM INC SR GLBL NT 27 8MYN82XMYQH89CTMTH67 2027-12-01 2027-12-01 3.65 - 3.65 2400000.00 2623922.00 Corporate Debt Securities AT&T INC SR GLBL NT 45 549300Z40J86GGSTL398 2045-07-15 2045-07-15 4.85 - 4.85 35000.00 40874.16 Corporate Debt Securities STARBUCKS CORP SR NT 4.5%48 OQSJ1DU9TAOC51A47K68 2048-11-15 2048-11-15 4.5 - 4.5 1063340.00 1278916.23 Corporate Debt Securities CISCO SYS INC SR GLBL NT 26 8E6NF1YAL0WT6CWXXV93 2026-02-28 2026-02-28 2.95 - 2.95 4000000.00 4293200.00 Corporate Debt Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0167 66000000.00 66000000.00 0.0008 N Y Y N ING Financial Markets LLC ING Financial Markets LLC, 1.73% KBVRJ5K57JZ3E2AVWX40 FHC922000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N UNITEDHEALTH GROUP INC COM 549300GHBMY8T5GXDE41 2500-12-31 2500-12-31 N/A 9571.00 2430268.32 Equities SBA COMMUNICATIONS CORP NEW CL A 5299001HX8ZN8Y8QIT49 2500-12-31 2500-12-31 N/A 6797.00 1848036.33 Equities JOHNSON CTLS INTL PLC SHS 549300XQ6S1GYKGBL205 2500-12-31 2500-12-31 N/A 1.00 37.90 Equities SNAP INC CL A 549300JNC0L6VP8A2Q35 2500-12-31 2500-12-31 N/A 122402.00 1794413.32 Equities SPDR SER TR S&P OILGAS EXP 5493001H1FSSB667C124 2500-12-31 2500-12-31 N/A 28782.00 426837.06 Equities OWENS CORNING NEW COM JO5M6676RDJIZ2U8X907 2500-12-31 2500-12-31 N/A 3262.00 180910.52 Equities GRAPHIC PACKAGING HLDG CO COM 2500-12-31 2500-12-31 N/A 91524.00 1238319.72 Equities LULULEMON ATHLETICA INC COM 549300D9GZ4BMLDW5T40 2500-12-31 2500-12-31 N/A 2.00 441.40 Equities MOHAWK INDS INC COM 549300JI1115MG3Q6322 2500-12-31 2500-12-31 N/A 26752.00 3299591.68 Equities DOCUSIGN INC COM 549300Q7PVDWRZ39JG09 2500-12-31 2500-12-31 N/A 2.00 166.42 Equities ALPS ETF TR ALERIAN MLP 549300WPBLCQJSVVVV61 2500-12-31 2500-12-31 N/A 7.00 46.41 Equities TRANSUNION COM 549300ZS772LUNUMRB03 2500-12-31 2500-12-31 N/A 98845.00 8905934.50 Equities WELLS FARGO CO NEW COM PBLD0EJDB5FWOLXP3B76 2500-12-31 2500-12-31 N/A 13399.00 569055.53 Equities BRIGHT HORIZONS FAM SOL IN DEL COM 2500-12-31 2500-12-31 N/A 3.00 466.65 Equities MASTERCARD INC CL A AR5L2ODV9HN37376R084 2500-12-31 2500-12-31 N/A 497.00 142052.54 Equities AMEREN CORP COM XRZQ5S7HYJFPHJ78L959 2500-12-31 2500-12-31 N/A 16421.00 1339460.97 Equities AMERICAN CAMPUS CMNTYS INC COM 529900MR3ZXRO3W6UX26 2500-12-31 2500-12-31 N/A 4.00 180.48 Equities IQVIA HLDGS INC COM 549300W3R20NM4KQPH86 2500-12-31 2500-12-31 N/A 12241.00 1747280.34 Equities EQUITY COMWLTH COM SH BEN INT 549300YPGVU9PR4L0606 2500-12-31 2500-12-31 N/A 22.00 700.04 Equities PARSLEY ENERGY INC CL A 549300DMRA8DSL66G562 2500-12-31 2500-12-31 N/A 10.00 128.70 Equities TEMPUR SEALY INTL INC COM 549300HFEKVR3US71V91 2500-12-31 2500-12-31 N/A 2.00 154.96 Equities POST HLDGS INC COM JM1I5YUAURL6DC8N1468 2500-12-31 2500-12-31 N/A 10542.00 1060525.20 Equities PATTERSON UTI ENERGY INC COM 254900XGFBKIXD6G0697 2500-12-31 2500-12-31 N/A 13.00 72.93 Equities PIONEER NAT RES CO COM FY8JBF7CCL2VE4F1B628 2500-12-31 2500-12-31 N/A 155.00 19013.85 Equities ALLERGAN PLC SHS 635400FWJZQC1IPYUH69 2500-12-31 2500-12-31 N/A 21000.00 3979920.00 Equities GRAND CANYON ED INC COM 529900XFER799IYOSW74 2500-12-31 2500-12-31 N/A 2.00 163.88 Equities VISA INC COM CL A 549300JZ4OKEHW3DPJ59 2500-12-31 2500-12-31 N/A 35897.00 6461818.97 Equities QUANTA SVCS INC COM SHVRXXEACT60MMH07S24 2500-12-31 2500-12-31 N/A 79813.00 3146228.46 Equities JOHNSON & JOHNSON COM 549300G0CFPGEF6X2043 2500-12-31 2500-12-31 N/A 100.00 13912.00 Equities MEDTRONIC PLC SHS 549300GX3ZBSQWUXY261 2500-12-31 2500-12-31 N/A 2.00 201.96 Equities LIBERTY MEDIA CORP DEL COM SER C FRMLA 2500-12-31 2500-12-31 N/A 19.00 727.32 Equities ISHARES TR CORE S&P SCP ETF 549300BZQ17QYN750B25 2500-12-31 2500-12-31 N/A 3.00 222.00 Equities UNITED THERAPEUTICS CORP DEL COM 5299005C4HZL4UWROC14 2500-12-31 2500-12-31 N/A 2.00 201.58 Equities TIFFANY & CO NEW COM 549300EJG9IEYQL5XT21 2500-12-31 2500-12-31 N/A 24093.00 3204369.00 Equities PAYPAL HLDGS INC COM 5493005X2GO78EFZ3E94 2500-12-31 2500-12-31 N/A 24088.00 2597649.92 Equities EURONET WORLDWIDE INC COM YG3575C4DSHJPA5KET68 2500-12-31 2500-12-31 N/A 2.00 243.44 Equities CARVANA CO CL A 5493003WEAK2PJ5WS063 2500-12-31 2500-12-31 N/A 17725.00 1573448.25 Equities NVIDIA CORP COM 549300S4KLFTLO7GSQ80 2500-12-31 2500-12-31 N/A 31768.00 8024596.80 Equities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0172 50000000.00 50000000.00 0.0006 N Y Y N ING Financial Markets LLC ING Financial Markets LLC, 1.92% KBVRJ5K57JZ3E2AVWX40 FGD004000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N 101-500 2500-12-31 2500-12-31 N/A 2724238.00 162224660.56 Equities Y N/A N/A 2020-04-03 2020-04-03 2020-04-06 Y ING FINL MKTS LLC(NNGV RP BNY) 1.0000 35 N N/A N/A N N 0.0191 150000000.00 150000000.00 0.0019 N N N Y J.P. Morgan Securities, LLC J.P. Morgan Securities, LLC, 1.78% ZBUT11V806EZRVTWT807 0001287279 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N DISNEY WALT CO NEW 2020-05-22 2020-05-22 N/A 8219000.00 8188088.34 Money Market KELLS FDG LTD / KELLS FDG LLC 2020-06-23 2020-06-23 N/A 206453000.00 205406283.29 Money Market NOVARTIS FIN CORP 2020-04-20 2020-04-20 N/A 5229600.00 5217728.81 Money Market JPMORGAN SECURITIES LLC 2020-07-10 2020-07-10 N/A 499325.00 496533.27 Money Market SVENSKA HANDELSBANKEN AB 2020-04-21 2020-04-21 N/A 38357400.00 38267758.76 Money Market Y N/A N/A 2020-03-03 2020-03-03 2020-03-03 N N N 0.0176 250000000.00 250000000.00 0.0032 N N Y N J.P. Morgan Securities, LLC J.P. Morgan Securities, LLC, 1.84% ZBUT11V806EZRVTWT807 0001287279 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N 51-100 2500-12-31 2500-12-31 0 - 6.95 37181728.00 1105461165.63 Equities Y N/A N/A 2020-03-06 2020-03-06 2020-03-19 Y JPMORGAN SECS (NON GOV REPO) 1.0000 7 N N/A N/A N N 0.0183 1023000000.00 1023000000.00 0.0131 N N Y N J.P. Morgan Securities, LLC J.P. Morgan Securities, LLC, 1.88% ZBUT11V806EZRVTWT807 0001287279 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N 51-100 2021-02-15 2500-12-31 0 - 12.25 270068811.00 265553167.88 Corporate Debt Securities Y N/A N/A 2020-03-06 2020-03-06 2020-03-12 Y JPMORGAN SECS (NON GOV REPO) 1.0000 7 N N/A N/A N N 0.0186 249000000.00 249000000.00 0.0032 N N Y N Mitsubishi UFJ Securities (U.S.A.), Inc. Mitsubishi UFJ Securities (U.S.A.), Inc., 1.75% K5HU16E3LMSVCCJJJ255 FHC912000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N 51-100 2020-03-02 2500-12-31 0 - 12.25 177046493.00 260317881.31 Corporate Debt Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0174 241000000.00 241000000.00 0.0031 N Y Y N Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 1.73% 7TK5RJIZDFROZCA6XF66 FHC911000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N FEDERAL HOME LOAN MORTGAGE CORP 2049-07-25 2049-12-25 3.5 - 4.5 42380468.00 5232623.96 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2049-11-25 2049-11-25 5 - 5 33690927.00 5867871.72 Agency Debentures and Agency Strips US TREASURY 254900HROIFWPRGM1V77 2020-03-12 2020-03-12 N/A 50017900.00 49997842.82 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2049-08-25 2049-09-25 4.391 - 4.391 86207774.00 15672642.46 Agency Debentures and Agency Strips Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0172 75000000.00 75000000.00 0.0010 N Y Y N Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 1.81% 7TK5RJIZDFROZCA6XF66 FHA766000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N 51-100 2022-04-15 2500-12-31 0 - 7.125 12190550.00 134644325.46 Equities Y N/A N/A 2020-03-06 2020-03-06 2020-03-10 Y MIZUHO SECS USA (NON GOV REPO) 1.0000 7 N N/A N/A N N 0.0179 125000000.00 125000000.00 0.0016 N N Y N Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 1.81% 7TK5RJIZDFROZCA6XF66 FHA248000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N 51-100 2500-12-31 2500-12-31 N/A 2674714.00 108038046.34 Equities Y N/A N/A 2020-03-06 2020-03-06 2020-03-09 Y MIZUHO SECS USA (NON GOV REPO) 1.0000 7 N N/A N/A N N 0.0179 100000000.00 100000000.00 0.0013 N N Y N Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 1.93% 7TK5RJIZDFROZCA6XF66 FHA246000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N CITIGRP COML MTG TR 2013-GC17 D 20461113 FLT 2046-11-13 2046-11-13 5.11 - 5.11 2811958.00 2990650.97 Private Label Collateralized Mortgage Obligations JPMBB COML MTG SEC TR 2016-C1 D-1 20490317 FLT 2049-03-17 2049-03-17 4.237 - 4.237 12506518.00 13177804.34 Private Label Collateralized Mortgage Obligations MS BOFAML TRUST 2014-C14 D 20470215 FLT 2047-02-15 2047-02-15 4.934 - 4.934 9519237.00 10091396.02 Private Label Collateralized Mortgage Obligations Y N/A N/A 2020-03-06 2020-03-06 2020-03-09 Y MIZUHO SECS USA (NON GOV REPO) 1.0000 7 N N/A N/A N N 0.0191 25000000.00 25000000.00 0.0003 N N Y N Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 2.08% 7TK5RJIZDFROZCA6XF66 FHA739000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N PHILLIPS 66 2020-03-11 2020-03-11 N/A 49100000.00 49069459.80 Money Market CALIFORNIA STATEWIDE CMNTYS DE CUSTODIAL RCPTS-SER 1908 549300KTNI2GCJNX2U48 2045-09-02 2045-09-02 5.95 - 5.95 29895462.00 31493610.29 Other Instrument MUNICIPAL DEBT Y N/A N/A 2020-04-27 2020-04-27 2020-04-27 N N N 0.0207 75000000.00 75000000.00 0.0010 N N N Y Morgan Stanley & Co., Inc. Morgan Stanley & Co., Inc., 2.08% 9R7GPTSO7KV3UQJZQ078 0000068136 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N 51-100 2020-06-15 2500-12-31 0 - 9.851 2986145.00 27039807.51 Corporate Debt Securities Y N/A N/A 2020-05-05 2020-05-05 2020-05-05 N N N 0.0220 24993832.50 24993832.50 0.0003 N N N Y RBS Securities, Inc. RBS Securities, Inc., 1.75% ZE2ZWJ5BTIQJ8M0C6K34 0000808379 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N CITIBANK NA N Y 2.85%21 E57ODZWZ7FF32TWEFA76 2021-02-12 2022-02-19 2.85 - 3.165 6066000.00 6156712.77 Corporate Debt Securities MASSMUTUAL GLBL FDG II MTN144A FR 2%041521 549300K1IE3K7YU6VG29 2021-04-15 2021-04-15 2 - 2 310000.00 314457.46 Corporate Debt Securities TELEFONICA EMISIONES S A U FR 4.665%030638 549300Y5MFC4SW5Z3K71 2021-02-16 2038-03-06 4.103 - 5.462 1998000.00 2307824.43 Corporate Debt Securities BANQUE FED DU CRED MUTUEL FR 2.375%112124 VBHFXSYT7OG62HNT8T76 2023-07-20 2024-11-21 2.375 - 3.75 14895000.00 15326785.66 Corporate Debt Securities BANQUE FED DU CRED MUTUEL FR 2.375%112124 VBHFXSYT7OG62HNT8T76 2022-07-20 2024-11-21 2.375 - 2.7 2500000.00 2570963.61 Corporate Debt Securities NEW YORK LIFE GBL FDG MTN 144A FR 2%041321 635400DPNHEAUHB7ZI15 2021-04-13 2024-04-10 2 - 2.875 4940000.00 5220505.47 Corporate Debt Securities BPCE S A FR 2.75%011123 9695005MSX1OYEMGDF46 2023-01-11 2023-01-11 2.75 - 2.75 900000.00 927081.25 Corporate Debt Securities GOLDMAN SACHS GROUP INC SR GLBL NT 3%22 784F5XWPLTWKTBV3E584 2022-04-26 2030-02-07 2.6 - 3 12530000.00 12751539.83 Corporate Debt Securities NATIONWIDE BLDG SOC GLOBAL COV FR 3.96%071830 549300XFX12G42QIKN82 2029-03-08 2030-07-18 3.96 - 4.302 8909000.00 10085979.90 Corporate Debt Securities COOPERATIEVE CNT RAIFFEISEN NY FR 2.5%011921 DG3RU1DBUFHT4ZF9WN62 2021-01-19 2021-01-19 2.5 - 2.5 6000000.00 6071330.00 Corporate Debt Securities BPCE SA FR 2.65%020321 9695005MSX1OYEMGDF46 2021-02-03 2021-12-02 2.65 - 2.75 20734000.00 20996160.40 Corporate Debt Securities US TREASURY 254900HROIFWPRGM1V77 2023-01-15 2023-01-15 1.5 - 1.5 5223800.00 5317165.95 U.S. Treasuries (including strips) SVENSKA HANDELSBANKEN AB FR 3.35%052421 NHBDILHZTYCNBV5UYZ31 2021-05-24 2021-05-24 3.35 - 3.35 4006000.00 4132538.41 Corporate Debt Securities LLOYDS BKG GROUP PLC SR GLBL NT 3%22 549300PPXHEU2JF0AM85 2022-01-11 2022-01-11 3 - 3 500000.00 512358.33 Corporate Debt Securities MORGAN STANLEY FR 4.431%012330 IGJSJL3JD5P30I6NJZ34 2030-01-23 2030-01-23 4.431 - 4.431 15000.00 17436.27 Corporate Debt Securities SANTANDER UK PLC GLBL COCO 23 PTCQB104N23FMNK2RZ28 2023-01-13 2023-01-13 2.1 - 2.1 495000.00 502031.48 Corporate Debt Securities MASTERCARD INC SR GLBL NT 29 AR5L2ODV9HN37376R084 2029-06-01 2029-06-01 2.95 - 2.95 3250000.00 3515717.29 Corporate Debt Securities WALMART INC SR GLBL NT 29 Y87794H0US1R65VBXU25 2029-07-08 2029-09-24 2.375 - 3.25 213000.00 235487.95 Corporate Debt Securities GENERAL MTRS FINL CO INC SR GLBL NT2.9%25 5493008B6JBRUJ90QL97 2025-02-26 2025-02-26 2.9 - 2.9 35000.00 35447.20 Corporate Debt Securities TOYOTA MOTOR CREDIT CORP FR 2.15%021330 Z2VZBHUMB7PWWJ63I008 2030-02-13 2030-02-13 2.15 - 2.15 9000000.00 9055762.50 Corporate Debt Securities UNILEVER CAP CORP SR GLBL NT 29 MYF1DAS6G5WY7PRWCU78 2024-05-05 2029-09-06 2.125 - 2.6 4900000.00 5093246.94 Corporate Debt Securities BP CAP MKTS AMER INC GLBL NT 3%50 5493009NTB34VXE1T760 2028-09-21 2050-02-24 3 - 4.234 7424000.00 8459835.14 Corporate Debt Securities WELLS FARGO & CO FR 2.164%021126 PBLD0EJDB5FWOLXP3B76 2026-02-11 2026-02-11 2.164 - 2.164 80000.00 80529.75 Corporate Debt Securities GUARDIAN LIFE GLBL FDG REG S FR 2%042621 635400NHILJ5JEKILC36 2021-04-26 2021-04-26 2 - 2 280000.00 283773.78 Corporate Debt Securities NOMURA HLDGS INC SR GLBL NT 25 549300B3CEAHYG7K8164 2025-01-16 2030-01-16 2.648 - 3.103 15500000.00 15921334.25 Corporate Debt Securities GUARDIAN LIFE GLBL FDG 144A 2.9%24 635400NHILJ5JEKILC36 2021-04-26 2024-05-06 1.95 - 2.9 9395000.00 9556638.03 Corporate Debt Securities WELLS FARGO CO MTN BE FR 3%012221 PBLD0EJDB5FWOLXP3B76 2021-01-22 2021-01-22 3 - 3 5276000.00 5355034.48 Corporate Debt Securities VISA INC SR GLBL NT 25 549300JZ4OKEHW3DPJ59 2025-12-14 2025-12-14 3.15 - 3.15 2210000.00 2395407.95 Corporate Debt Securities WESTPAC BKG CORP SR GLBL NT 21 EN5TNI6CI43VEPAMHL14 2021-01-25 2021-01-25 2.65 - 2.65 3441000.00 3480603.04 Corporate Debt Securities VODAFONE GROUP PLC NEW SR GLBL NT 28 213800TB53ELEUKM7Q61 2028-05-30 2049-06-19 4.375 - 4.875 565000.00 656320.66 Corporate Debt Securities CNH INDUSTRIAL N.V. FR 3.85%111527 549300WGC2HZ5J67V817 2027-11-15 2027-11-15 3.85 - 3.85 44000.00 47444.55 Corporate Debt Securities BANK AMER CORP FR 3.974%020730 9DJT3UXIJIZJI4WXO774 2030-02-07 2030-02-07 3.974 - 3.974 6000.00 6747.83 Corporate Debt Securities NEW YORK LIFE GBL FDG MTN REGS SR SEC GLBL 24 635400DPNHEAUHB7ZI15 2024-04-10 2024-04-10 2.875 - 2.875 625000.00 662213.02 Corporate Debt Securities MORGAN STANLEY FXD/FLTG 29 IGJSJL3JD5P30I6NJZ34 2029-01-24 2029-01-24 3.772 - 3.772 7000.00 7756.72 Corporate Debt Securities AIR LEASE CORP FR 3%020130 5493004NW4M4P8TMMK63 2029-10-01 2030-02-01 3 - 3.25 3134000.00 3177441.30 Corporate Debt Securities DIAGEO CAP PLC SR GLBL NT 29 213800L23DJLALFC4O95 2029-10-24 2029-10-24 2.375 - 2.375 6360000.00 6630592.38 Corporate Debt Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0174 160000000.00 160000000.00 0.0020 N Y Y N Societe Generale Societe Generale, 1.68% O2RNE8IBXP4R0TD8PU41 FHC917000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N 51-100 2020-06-30 2500-12-31 0 - 8.625 426841972.00 449366402.38 Corporate Debt Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0167 428000000.00 428000000.00 0.0055 N Y Y N Societe Generale Societe Generale, 1.76% O2RNE8IBXP4R0TD8PU41 FHC915000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N 101-500 2020-03-01 2115-06-05 0 - 13 399731221.00 378969198.98 Corporate Debt Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0174 352000000.00 352000000.00 0.0045 N Y Y N Societe Generale Societe Generale, 1.80% O2RNE8IBXP4R0TD8PU41 FHC918000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N 51-100 2020-10-01 2500-12-31 1.747 - 12 75718275.00 54007469.83 Corporate Debt Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0178 50000000.00 50000000.00 0.0006 N Y Y N Societe Generale Societe Generale, 1.85% O2RNE8IBXP4R0TD8PU41 FHC178000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N STRUCTURED ASSET INV 2005-HE1 M2 20350725 FLT 2035-07-25 2035-07-25 2.107 - 2.107 8496.00 8414.92 Asset-Backed Securities UNISYS CORP SR SEC GLBL 22 549300T21W22FIJJOW08 2022-04-15 2022-04-15 10.75 - 10.75 22000000.00 24314736.11 Corporate Debt Securities CONN AVE SECS 2019-HRP1 M-2 20391125 FLT 549300Z5THZ1JXIHVK60 2039-11-25 2039-11-25 3.811 - 3.811 26520800.00 24106139.21 Private Label Collateralized Mortgage Obligations GOLDMAN SACHS GROUP INC SR GLBL NT2.6%30 784F5XWPLTWKTBV3E584 2030-02-07 2030-02-07 2.6 - 2.6 5377191.00 5424062.18 Corporate Debt Securities Y N/A N/A 2020-03-31 2020-03-31 2020-03-31 N N N 0.0214 49986650.00 49986650.00 0.0006 N N N Y Societe Generale Societe Generale, 1.90% O2RNE8IBXP4R0TD8PU41 FGA803000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N 101-500 2020-03-25 2079-10-07 2.015 - 10.75 159177155.00 161478099.45 Corporate Debt Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0188 150000000.00 150000000.00 0.0019 N Y Y N 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 51-100 2020-03-02 2500-12-31 0 - 5.45 800259733.00 836455195.63 Corporate Debt Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0167 804000000.00 804000000.00 0.0103 N Y 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 INVESCO QQQ TR UNIT SER 1 549300VY6FEJBCIMET58 2500-12-31 2500-12-31 N/A 356859.00 73384484.76 Equities DOMINION ENERGY INC CORP UNITS ILUL7B6Z54MRYCF6H308 2500-12-31 2500-12-31 7.25 - 7.25 59115.00 6166285.65 Equities COLFAX CORP 5.75 TANGIBLE UT 635400OP2DYYYMOIYL17 2500-12-31 2500-12-31 N/A 10000.00 1461000.00 Equities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0172 75000000.00 75000000.00 0.0010 N Y 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 WORLD BANK ZTMSNXROF84AHWJNKQ93 2020-03-30 2020-03-30 1.375 - 1.375 492000.00 494682.77 Other Instrument INTERNATIONAL DEBT LYONDELLBASELL INVT LLC 2020-04-07 2020-04-07 N/A 23454471.00 23408171.87 Money Market HYUNDAI CAP AMER INC 2020-04-01 2020-04-01 N/A 2000000.00 1996652.00 Money Market EXPERIAN FINANCE PLC 2020-03-31 2020-03-31 N/A 25653627.00 25610862.40 Money Market Y N/A N/A 2020-03-03 2020-03-03 2020-03-03 N N N 0.0172 50000000.00 50000000.00 0.0006 N N 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 ISHARES TR JPMORGAN USD EMG 54930070R8WH6MNUJG74 2500-12-31 2500-12-31 N/A 13541.00 1547465.48 Equities SOUTHERN CO JR SUB NT 2015A 549300FC3G3YU2FBZD92 2075-10-15 2076-10-01 5.25 - 6.25 82354.00 2124727.68 Equities VANECK VECTORS ETF TR GOLD MINERS ETF 54930031TORTKAM9TJ98 2500-12-31 2500-12-31 N/A 391923.00 11032632.45 Equities CNH INDL N V SHS 549300WGC2HZ5J67V817 2500-12-31 2500-12-31 N/A 230000.00 2104500.00 Equities QWEST CORP NT 549300R2L4N683OO1509 2055-09-15 2055-09-15 6.625 - 6.625 37473.00 940947.03 Equities VANGUARD CHARLOTTE FDS INTL BD IDX ETF 2500-12-31 2500-12-31 N/A 1073.00 62073.05 Equities SPDR S&P 500 ETF TR TR UNIT 549300NZAMSJ8FXPQQ63 2500-12-31 2500-12-31 N/A 2910.00 865754.10 Equities GLAUKOS CORP COM 5299004JA1LHE21M6T14 2500-12-31 2500-12-31 N/A 955176.00 58714668.72 Equities ISHARES TR CHINA LG-CAP ETF 5493001YVWPO25CNKN94 2500-12-31 2500-12-31 N/A 41294.00 1668690.54 Equities MORGAN STANLEY DEP SHS 1/1000TH IGJSJL3JD5P30I6NJZ34 2500-12-31 2500-12-31 6.875 - 6.875 18087.00 510053.40 Equities PLAINS GP HLDGS L P LTD PARTNR INT A 549300O56BSKRD8FAM12 2500-12-31 2500-12-31 N/A 52021.00 716849.38 Equities ISHARES SILVER TRUST ISHARES 549300K2C2CG14B0ZA09 2500-12-31 2500-12-31 N/A 29.00 477.63 Equities CEDAR REALTY TRUST INC PFD-B 7.25% 54930056URX93R2RSN82 2500-12-31 2500-12-31 7.25 - 7.25 825.00 20171.25 Equities INTERSTATE PWR & LT CO PERP PFD SER D EF9UQIIO4KY2BWOK3P26 2500-12-31 2500-12-31 5.1 - 5.1 28010.00 703051.00 Equities Y N/A N/A 2020-03-06 2020-03-06 2020-03-06 N N N 0.0176 75000000.00 75000000.00 0.0010 N N Y N Abn Amro Bank NV(TD) Abn Amro Bank NV(TD), 1.61% BFXS5XCH7N0Y05NIXW11 FHD069000 Non-Negotiable Time Deposit Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0160 79000000.00 79000000.00 0.0010 N Y Y N Barclays Bank PLC Barclays Bank PLC, 1.63% G5GSEF7VJP5I7OUK5573 FHC897000 Non-Negotiable Time Deposit Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0162 3417000000.00 3417000000.00 0.0437 N Y Y N Credit Agricole CIB Credit Agricole CIB, 1.66% 1VUV7VQFKUOQSJ21A208 FHB936000 Non-Negotiable Time Deposit Y N/A N/A 2020-03-05 2020-03-05 2020-03-05 N N N 0.0167 52372827.17 52372827.17 0.0007 N N Y N Credit Agricole CIB Credit Agricole CIB, 1.66% 1VUV7VQFKUOQSJ21A208 FHC885000 Non-Negotiable Time Deposit Y N/A N/A 2020-03-06 2020-03-06 2020-03-06 N N N 0.0167 37617853.29 37617853.29 0.0005 N N Y N ING Bank NV ING Bank NV, 1.62% 3TK20IVIUJ8J3ZU0QE75 FHA684000 Non-Negotiable Time Deposit Y N/A N/A 2020-03-03 2020-03-03 2020-03-03 N N N 0.0160 748000822.80 748000822.80 0.0096 N N Y N Societe Generale Societe Generale, 1.62% O2RNE8IBXP4R0TD8PU41 FHB208000 Non-Negotiable Time Deposit Y N/A N/A 2020-03-04 2020-03-04 2020-03-04 N N N 0.0163 670998121.20 670998121.20 0.0086 N N Y N Societe Generale Societe Generale, 1.62% O2RNE8IBXP4R0TD8PU41 FHC807000 Non-Negotiable Time Deposit Y N/A N/A 2020-03-06 2020-03-06 2020-03-06 N N N 0.0163 673997371.40 673997371.40 0.0086 N N Y N U.S. Treasury Notes U.S. Treasury Notes, 1.73% 9128287G9 254900HROIFWPRGM1V77 US9128287G95 U.S. Treasury Debt Y N/A N/A 2020-03-02 2021-07-31 2021-07-31 N N N 0.0159 193370334.19 193370334.19 0.0025 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 1.81% 912828YN4 254900HROIFWPRGM1V77 US912828YN43 U.S. Treasury Debt Y N/A N/A 2020-03-02 2021-10-31 2021-10-31 N N N 0.0159 117423621.90 117423621.90 0.0015 N Y Y N Societe Generale Societe Generale, 1.80% O2RNE8IBXP4R0TD8PU41 FHC179000 Other Instrument Forward Settling Repurchase Agreements Y N/A N/A 2020-03-31 2020-03-31 2020-03-31 N N N 0.0179 150000000.00 150000000.00 0.0019 N N N Y Represents a forward settling transaction and therefore no collateral securities had been allocated as of period end. The agreement contemplated the delivery of U.S. Treasury securities as collateral on settlement date. Fidelity Colchester Street Trust: Money Market Portfolio 2020-03-04 Laura M. Del Prato Laura M. Del Prato President and Treasurer