N-MFP2 0000356173 XXXXXXXX 2020-03-31 0000356173 549300L6Y0PMNIGY0428 S000054090 5 N N 002-74808 Fidelity Management & Research Company LLC (FMR) 801-07884 FMR Investment Management (U.K.) Limited 801-28773 Fidelity Management & Research (Hong Kong) Limited 801-69507 Fidelity Management & Research (Japan) Limited 801-69571 DELOITTE & TOUCHE LLP BOSTON MA None Fidelity Investments Instit. Operations Co. LLC 0000862124 084-01839 N N N Prime N 23 53 2497779232.49 2886249740.10 3428691536.97 3334862840.91 4685029175.00 4727806450.65 3904713670.07 3884890221.91 0.2500 0.3000 0.4200 0.4600 0.4800 0.5000 0.4800 0.5400 731.96 7017999143.91 7019331335.91 71046486.18 167551590.03 6921494772.02 6920817907.64 0.0088 1.0006 1.0003 0.9999 1.0000 C000170006 1000000.00 3405683705.91 3405408077.39 1.0006 1.0003 0.9999 1.0000 116335463.11 189729703.01 92485851.91 357685052.32 72819000.88 519274267.52 83330296.09 346250019.26 431516923.86 1452386158.83 0.0070 Y Fidelity Investments, Reimbursement Fees, -21708.92; C000170007 1000000.00 15907527.74 15905935.44 1.0006 1.0003 1.0000 1.0000 19302.29 0.00 0.00 25000.00 0.00 0.00 0.00 5110000.00 19302.29 5435000.00 0.0055 Y Fidelity Investments, Reimbursement Fees, -103.42; C000170008 1000000.00 2011345.80 2011206.49 1.0006 1.0003 0.9999 1.0000 1863.83 29338.75 0.00 0.00 0.00 0.00 0.00 0.00 1863.83 29338.75 0.0045 Y Fidelity Investments, Reimbursement Fees, -2.22; C000170009 1000000.00 12023622.81 12022496.58 1.0006 1.0003 1.0000 1.0000 2555.55 80000.00 6807000.00 100000.00 264362.25 469417.31 0.81 18813.18 7073918.61 668230.49 0.0065 N C000170010 10000000.00 3485868569.76 3485470191.73 1.0006 1.0003 1.0000 1.0000 204180280.86 294710173.94 139680210.62 207280661.59 45471940.67 917680128.15 66065519.54 686602592.48 468086444.48 2295448952.83 0.0074 Y Fidelity Investments, Reimbursement Fees, -79618.82; 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 16005550.40 16005550.40 0.0023 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 0.0146 16000452.80 16000452.80 0.0023 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 0.0135 31010899.60 31010899.60 0.0045 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 0.0140 31015462.80 31015462.80 0.0045 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 0.0109 30955363.10 30955363.10 0.0045 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 0.0112 32948256.00 32948256.00 0.0048 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 0.0105 30961674.70 30961674.70 0.0045 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 0.0131 49864655.00 49864655.00 0.0072 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 0.0135 31902348.80 31902348.80 0.0046 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 0.0091 49963880.00 49963880.00 0.0072 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 0.0093 36971687.60 36971687.60 0.0053 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 0.0109 30955363.10 30955363.10 0.0045 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 0.0112 49921600.00 49921600.00 0.0072 N N N N DZ Bank AG London Branch DZ Bank AG London Branch, 1.90% 529900HNOAA1KXQJUQ27 XS2091601612 Certificate of Deposit Y N/A N/A 2020-04-06 2020-04-06 2020-04-06 N N N 0.0041 30997926.10 30997926.10 0.0045 N N Y 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 0.0031 60996870.70 60996870.70 0.0088 N N Y 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 0.0150 32878566.60 32878566.60 0.0048 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 0.0143 61883657.00 61883657.00 0.0089 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 0.0143 30940480.00 30940480.00 0.0045 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 0.0125 93932461.00 93932461.00 0.0136 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 0.0144 93811285.60 93811285.60 0.0136 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 0.0143 12974471.90 12974471.90 0.0019 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 0.0129 24944797.50 24944797.50 0.0036 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 0.0124 11976765.60 11976765.60 0.0017 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 0.0117 29953791.00 29953791.00 0.0043 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 0.0119 17970742.80 17970742.80 0.0026 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 0.0107 11987664.00 11987664.00 0.0017 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 0.0143 30903143.60 30903143.60 0.0045 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 0.0145 30898217.70 30898217.70 0.0045 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 0.0159 24959567.50 24959567.50 0.0036 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 0.0178 19942462.00 19942462.00 0.0029 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 0.0169 75831318.00 75831318.00 0.0110 N N N N Bank of Montreal Bank of Montreal, 0.99% 06370RS75 NQQ6HPCNCCU6TUTQYE16 US06370RS759 0000927971 Certificate of Deposit Y N/A N/A 2020-04-17 2020-04-17 2020-04-17 N N N 0.0066 65009938.50 65009938.50 0.0094 N N N N Bank of Montreal Bank of Montreal, 1.67% 06367BAC3 NQQ6HPCNCCU6TUTQYE16 US06367BAC37 0000927971 Certificate of Deposit Y N/A N/A 2020-05-04 2020-09-02 2020-09-02 N N N 0.0223 31925280.00 31925280.00 0.0046 N N N N 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 0.0223 22953015.60 22953015.60 0.0033 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 0.0251 31848054.40 31848054.40 0.0046 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 0.0228 15967534.40 15967534.40 0.0023 N N N N Bank of Nova Scotia Bank of Nova Scotia, 1.78% 06417MFC4 L3I9ZG2KFGXZ61BMYR72 US06417MFC47 0000009631 Certificate of Deposit Y N/A N/A 2020-05-20 2020-08-20 2020-08-20 N N N 0.0228 59883312.00 59883312.00 0.0087 N N N N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 0.66% 60683BZA4 JBONEPAGQXF4QP29B387 US60683BZA42 0001462160 Certificate of Deposit Y N/A N/A 2020-04-18 2020-06-18 2020-06-18 N N N 0.0093 11992977.60 11992977.60 0.0017 N N N N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 0.80% 60683BZB2 JBONEPAGQXF4QP29B387 US60683BZB25 0001462160 Certificate of Deposit Y N/A N/A 2020-04-20 2020-06-19 2020-06-19 N N N 0.0124 11988472.80 11988472.80 0.0017 N N N N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 0.85% 60683BXW8 JBONEPAGQXF4QP29B387 US60683BXW89 0001462160 Certificate of Deposit Y N/A N/A 2020-04-14 2020-05-14 2020-05-14 N N N 0.0070 16002950.40 16002950.40 0.0023 N N N N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 0.87% 60683BYV9 JBONEPAGQXF4QP29B387 US60683BYV97 0001462160 Certificate of Deposit Y N/A N/A 2020-04-12 2020-06-12 2020-06-12 N N N 0.0101 10996836.40 10996836.40 0.0016 N N N N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 0.88% 60683BYC1 JBONEPAGQXF4QP29B387 US60683BYC17 0001462160 Certificate of Deposit Y N/A N/A 2020-04-20 2020-05-19 2020-05-19 N N N 0.0079 19002185.00 19002185.00 0.0027 N N N N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 0.95% 60683BXV0 JBONEPAGQXF4QP29B387 US60683BXV07 0001462160 Certificate of Deposit Y N/A N/A 2020-04-13 2020-05-13 2020-05-13 N N N 0.0075 9002055.60 9002055.60 0.0013 N N N N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 1.10% 60683BYN7 JBONEPAGQXF4QP29B387 US60683BYN71 0001462160 Certificate of Deposit Y N/A N/A 2020-04-09 2020-06-08 2020-06-08 N N N 0.0113 11999040.00 11999040.00 0.0017 N N N N Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.92% 60710AKD3 RB0PEZSDGCO3JS6CEU02 US60710AKD36 Certificate of Deposit Y N/A N/A 2020-04-10 2020-06-10 2020-06-10 N N N 0.0063 59032750.90 59032750.90 0.0085 N N N N Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.96% 60710AHY1 RB0PEZSDGCO3JS6CEU02 US60710AHY10 Certificate of Deposit Y N/A N/A 2020-04-13 2020-05-13 2020-05-13 N N N 0.0075 23005529.20 23005529.20 0.0033 N N N N Royal Bank of Canada Royal Bank of Canada, 0.98% 78012URZ0 ES7IP3U3RHIGC71XBU11 US78012URZ02 0001000275 Certificate of Deposit Y N/A N/A 2020-06-10 2020-09-10 2020-09-10 N N N 0.0154 27929958.00 27929958.00 0.0040 N N N N Royal Bank of Canada Royal Bank of Canada, 1.34% 78012URT4 ES7IP3U3RHIGC71XBU11 US78012URT42 0001000275 Certificate of Deposit Y N/A N/A 2020-06-04 2020-09-04 2020-09-04 N N N 0.0190 92779989.90 92779989.90 0.0134 N N N N Royal Bank of Canada Royal Bank of Canada, 1.72% 78012URR8 ES7IP3U3RHIGC71XBU11 US78012URR85 0001000275 Certificate of Deposit Y N/A N/A 2020-05-27 2020-08-27 2020-08-27 N N N 0.0223 19958344.00 19958344.00 0.0029 N N N N Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.74% 86565B5A5 5U0XI89JRFVHWIBS4F54 US86565B5A50 0001184915 Certificate of Deposit Y N/A N/A 2020-04-18 2020-05-18 2020-05-18 N N N 0.0069 41002443.60 41002443.60 0.0059 N N N N Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.92% 86565B6R7 5U0XI89JRFVHWIBS4F54 0001184915 Certificate of Deposit Y N/A N/A 2020-04-10 2020-06-10 2020-06-10 N N N 0.0104 28593321.90 28593321.90 0.0041 N N N N Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 1.21% 86565B4F5 5U0XI89JRFVHWIBS4F54 0001184915 Certificate of Deposit Y N/A N/A 2020-04-08 2020-05-08 2020-05-08 N N N 0.0085 94034441.60 94034441.60 0.0136 N N N N Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 1.45% 86565B6A4 5U0XI89JRFVHWIBS4F54 0001184915 Certificate of Deposit Y N/A N/A 2020-04-06 2020-06-04 2020-06-04 N N N 0.0142 28600729.30 28600729.30 0.0041 N N N N Sumitomo Mitsui Banking Corp. 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Citigroup Global Markets, Inc., 0.86% 17327AH34 MBNUM2BPBDO7JBLYG310 FHG621000 Financial Company Commercial Paper Y N/A N/A 2020-08-03 2020-08-03 2020-08-03 N N N 0.0151 19896666.00 19896666.00 0.0029 N N N N Citigroup Global Markets, Inc. Citigroup Global Markets, Inc., 0.86% 17327AH59 MBNUM2BPBDO7JBLYG310 FHG630000 Financial Company Commercial Paper Y N/A N/A 2020-08-05 2020-08-05 2020-08-05 N N N 0.0151 29842944.00 29842944.00 0.0043 N N N N Federation des caisses Desjardin Federation des caisses Desjardin, 0.07% 31428FD10 549300B2Q47IR0CR5B54 FIG560000 Financial Company Commercial Paper Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0000 6000000.00 6000000.00 0.0009 N Y Y N Federation des caisses Desjardin Federation des caisses Desjardin, 1.59% 31428FHR9 549300B2Q47IR0CR5B54 FHA297000 Financial Company Commercial Paper Y N/A N/A 2020-08-25 2020-08-25 2020-08-25 N N N 0.0147 19881992.00 19881992.00 0.0029 N N N N Federation des caisses Desjardin Federation des caisses Desjardin, 1.60% 31428FHU2 549300B2Q47IR0CR5B54 FHA293000 Financial Company Commercial Paper Y N/A N/A 2020-08-28 2020-08-28 2020-08-28 N N N 0.0148 4969791.50 4969791.50 0.0007 N N N N Federation des caisses Desjardin Federation des caisses Desjardin, 1.61% 31428FEV3 549300B2Q47IR0CR5B54 FHA716000 Financial Company Commercial Paper Y N/A N/A 2020-05-29 2020-05-29 2020-05-29 N N N 0.0131 5987246.40 5987246.40 0.0009 N N N N Landesbank Baden-Wurttemberg Landesbank Baden-Wurttemberg, 0.05% 5148X0D10 B81CK4ESI35472RHJ606 0000878519 Financial Company Commercial Paper Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0000 111000000.00 111000000.00 0.0160 N Y Y N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 1.69% 60682YEJ9 JBONEPAGQXF4QP29B387 FGF098000 Financial Company Commercial Paper Y N/A N/A 2020-05-18 2020-05-18 2020-05-18 N N N 0.0123 11980640.40 11980640.40 0.0017 N N N N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 1.71% 60682YEB6 JBONEPAGQXF4QP29B387 FGE104000 Financial Company Commercial Paper Y N/A N/A 2020-05-11 2020-05-11 2020-05-11 N N N 0.0123 10984840.90 10984840.90 0.0016 N N N N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 1.71% 60682YEE0 JBONEPAGQXF4QP29B387 FGE105000 Financial Company Commercial Paper Y N/A N/A 2020-05-14 2020-05-14 2020-05-14 N N N 0.0123 10983732.10 10983732.10 0.0016 N N N N National Australia Bank Ltd. National Australia Bank Ltd., 2.05% 63254ED15 F8SB4JFBSYQFRQEH3Z21 0000833029 Financial Company Commercial Paper Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0103 20999409.90 20999409.90 0.0030 N Y Y N National Bank of Canada National Bank of Canada, 1.60% 63307NEX1 BSGEFEIOM18Y80CKCV46 US63307NEX12 Financial Company Commercial Paper Y N/A N/A 2020-04-03 2020-08-03 2020-08-03 N N N 0.0181 63952006.40 63952006.40 0.0092 N N N N National Bank of Canada National Bank of Canada, 1.90% 63307LE80 BSGEFEIOM18Y80CKCV46 FCJ599000 Financial Company Commercial Paper Y N/A N/A 2020-05-08 2020-05-08 2020-05-08 N N N 0.0124 29961144.00 29961144.00 0.0043 N N N N Ontario Teachers' Finance Trust Ontario Teachers' Finance Trust, 1.99% 68328GE10 635400ZZE5J8OXXBBY26 EJD000000 Financial Company Commercial Paper Y N/A N/A 2020-05-01 2020-05-01 2020-05-01 N N N 0.0120 11987775.60 11987775.60 0.0017 N N N N Rabobank Nederland New York Branch Rabobank Nederland New York Branch, 0.05% 21687AD18 DG3RU1DBUFHT4ZF9WN62 0001098062 Financial Company Commercial Paper Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0000 27000000.00 27000000.00 0.0039 N Y Y N Royal Bank of Canada Royal Bank of Canada, 0.88% 78014XDF1 ES7IP3U3RHIGC71XBU11 US78014XDF15 0001000275 Financial Company Commercial Paper Y N/A N/A 2020-04-15 2020-04-15 2020-04-15 N N N 0.0079 75002662.50 75002662.50 0.0108 N N N N Royal Bank of Canada Royal Bank of Canada, 0.91% 78013VJ45 ES7IP3U3RHIGC71XBU11 0001000275 Financial Company Commercial Paper Y N/A N/A 2020-09-04 2020-09-04 2020-09-04 N N N 0.0142 49699085.00 49699085.00 0.0072 N N N N Royal Bank of Canada Royal Bank of Canada, 1.72% 78014XEZ6 ES7IP3U3RHIGC71XBU11 US78014XEZ69 0001000275 Financial Company Commercial Paper Y N/A N/A 2020-05-27 2020-08-27 2020-08-27 N N N 0.0223 31933350.40 31933350.40 0.0046 N N N N Royal Bank of Canada Royal Bank of Canada, 1.76% 78014XEX1 ES7IP3U3RHIGC71XBU11 US78014XEX12 0001000275 Financial Company Commercial Paper Y N/A N/A 2020-05-26 2020-08-25 2020-08-25 N N N 0.0228 33929174.60 33929174.60 0.0049 N N N N Societe Generale Societe Generale, 0.24% 83369BD78 O2RNE8IBXP4R0TD8PU41 FIG563000 Financial Company Commercial Paper Y N/A N/A 2020-04-07 2020-04-07 2020-04-07 N N N 0.0016 75997636.40 75997636.40 0.0110 N N Y N Societe Generale Societe Generale, 0.29% 83369BD78 O2RNE8IBXP4R0TD8PU41 FIG544000 Financial Company Commercial Paper Y N/A N/A 2020-04-07 2020-04-07 2020-04-07 N N N 0.0016 50998413.90 50998413.90 0.0074 N N Y N Societe Generale Societe Generale, 0.49% 83369BD37 O2RNE8IBXP4R0TD8PU41 FIF312000 Financial Company Commercial Paper Y N/A N/A 2020-04-03 2020-04-03 2020-04-03 N N N 0.0001 101999898.00 101999898.00 0.0147 N N Y N Sumitomo Mitsui Trust Bank Ltd. Sumitomo Mitsui Trust Bank Ltd., 1.64% 86564YDQ2 5493006GGLR4BTEL8O61 FGJ695000 Financial Company Commercial Paper Y N/A N/A 2020-04-24 2020-04-24 2020-04-24 N N N 0.0106 17987538.60 17987538.60 0.0026 N N N N Sumitomo Mitsui Trust Bank Ltd. Sumitomo Mitsui Trust Bank Ltd., 1.85% 86564YDV1 5493006GGLR4BTEL8O61 FFA970000 Financial Company Commercial Paper Y N/A N/A 2020-04-29 2020-04-29 2020-04-29 N N N 0.0114 7992763.20 7992763.20 0.0012 N N N N Sumitomo Mitsui Trust Bank Ltd. Sumitomo Mitsui Trust Bank Ltd., 1.85% 86564YE57 5493006GGLR4BTEL8O61 FFB054000 Financial Company Commercial Paper Y N/A N/A 2020-05-05 2020-05-05 2020-05-05 N N N 0.0117 21975188.40 21975188.40 0.0032 N N N N Sumitomo Mitsui Trust Bank Ltd. Sumitomo Mitsui Trust Bank Ltd., 1.90% 86564YD25 5493006GGLR4BTEL8O61 FDJ174000 Financial Company Commercial Paper Y N/A N/A 2020-04-02 2020-04-02 2020-04-02 N N N 0.0013 27999806.80 27999806.80 0.0040 N N Y N Svenska Handelsbanken AB Svenska Handelsbanken AB, 0.92% 86960JJ48 NHBDILHZTYCNBV5UYZ31 0001448613 Financial Company Commercial Paper Y N/A N/A 2020-09-04 2020-09-04 2020-09-04 N N N 0.0132 60657625.30 60657625.30 0.0088 N N N N The Toronto-Dominion Bank The Toronto-Dominion Bank, 0.94% 89120DR43 PT3QB789TSUIDF371261 US89120DR438 0000947263 Financial Company Commercial Paper Y N/A N/A 2020-06-16 2020-09-16 2020-09-16 N N N 0.0149 94762120.00 94762120.00 0.0137 N N N N The Toronto-Dominion Bank The Toronto-Dominion Bank, 1.74% 89120DQW2 PT3QB789TSUIDF371261 US89120DQW29 0000947263 Financial Company Commercial Paper Y N/A N/A 2020-05-26 2020-08-26 2020-08-26 N N N 0.0224 44908704.00 44908704.00 0.0065 N N N N The Toronto-Dominion Bank The Toronto-Dominion Bank, 1.75% 89120DRK7 PT3QB789TSUIDF371261 US89120DRK71 0000947263 Financial Company Commercial Paper Y N/A N/A 2020-05-11 2020-11-10 2020-11-10 N N N 0.0254 33839397.60 33839397.60 0.0049 N N N N The Toronto-Dominion Bank The Toronto-Dominion Bank, 1.78% 89120DQU6 PT3QB789TSUIDF371261 US89120DQU62 0000947263 Financial Company Commercial Paper Y N/A N/A 2020-05-18 2020-08-18 2020-08-18 N N N 0.0228 83838988.80 83838988.80 0.0121 N N N N The Toronto-Dominion Bank The Toronto-Dominion Bank, 1.93% 89120DR92 PT3QB789TSUIDF371261 0000947263 Financial Company Commercial Paper Y N/A N/A 2020-04-09 2020-10-09 2020-10-09 N N N 0.0258 28902867.40 28902867.40 0.0042 N N N N Toyota Motor Credit Corp. Toyota Motor Credit Corp., 1.96% 89233A6K0 Z2VZBHUMB7PWWJ63I008 US89233A6K02 0000834071 Financial Company Commercial Paper Y N/A N/A 2020-04-02 2020-07-02 2020-07-02 N N N 0.0271 10978564.30 10978564.30 0.0016 N N N N UBS AG London Branch UBS AG London Branch, 2.02% 90351WDP7 BFM8T61CT2L1QCEMIK50 US90351WDP77 Financial Company Commercial Paper Y N/A N/A 2020-04-23 2020-04-23 2020-04-23 N N N 0.0115 21984160.00 21984160.00 0.0032 N N N N American Electric Power Co., Inc. American Electric Power Co., Inc., 1.75% 0255E2D15 1B4S6S7G0TW5EE83BO58 0000004904 Non-Financial Company Commercial Paper Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0250 11999179.20 11999179.20 0.0017 N Y Y N American Electric Power Co., Inc. American Electric Power Co., Inc., 1.75% 0255E2D15 1B4S6S7G0TW5EE83BO58 0000004904 Non-Financial Company Commercial Paper Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0250 6999521.20 6999521.20 0.0010 N Y Y N American Electric Power Co., Inc. American Electric Power Co., Inc., 1.75% 0255E2D98 1B4S6S7G0TW5EE83BO58 0000004904 Non-Financial Company Commercial Paper Y N/A N/A 2020-04-09 2020-04-09 2020-04-09 N N N 0.0296 7644430.80 7644430.80 0.0011 N N N N American Electric Power Co., Inc. American Electric Power Co., Inc., 1.76% 0255E2D31 1B4S6S7G0TW5EE83BO58 0000004904 Non-Financial Company Commercial Paper Y N/A N/A 2020-04-03 2020-04-03 2020-04-03 N N N 0.0262 2999356.20 2999356.20 0.0004 N N Y N Dominion Energy, Inc. Dominion Energy, Inc., 1.40% 2574P0D76 ILUL7B6Z54MRYCF6H308 0000715957 Non-Financial Company Commercial Paper Y N/A N/A 2020-04-07 2020-04-07 2020-04-07 N N N 0.0285 7645835.34 7645835.34 0.0011 N N Y N Dominion Energy, Inc. Dominion Energy, Inc., 1.75% 2574P0D68 ILUL7B6Z54MRYCF6H308 0000715957 Non-Financial Company Commercial Paper Y N/A N/A 2020-04-06 2020-04-06 2020-04-06 N N N 0.0279 5997256.20 5997256.20 0.0009 N N Y N Dominion Energy, Inc. Dominion Energy, Inc., 1.75% 2574P0D68 ILUL7B6Z54MRYCF6H308 0000715957 Non-Financial Company Commercial Paper Y N/A N/A 2020-04-06 2020-04-06 2020-04-06 N N N 0.0279 1999085.40 1999085.40 0.0003 N N Y N Dominion Energy, Inc. Dominion Energy, Inc., 1.75% 2574P0D76 ILUL7B6Z54MRYCF6H308 0000715957 Non-Financial Company Commercial Paper Y N/A N/A 2020-04-07 2020-04-07 2020-04-07 N N N 0.0285 8645290.94 8645290.94 0.0012 N N Y N Dominion Energy, Inc. Dominion Energy, Inc., 1.75% 2574P0D84 ILUL7B6Z54MRYCF6H308 0000715957 Non-Financial Company Commercial Paper Y N/A N/A 2020-04-08 2020-04-08 2020-04-08 N N N 0.0291 5996191.80 5996191.80 0.0009 N N N N Dominion Energy, Inc. Dominion Energy, Inc., 1.76% 2574P0D27 ILUL7B6Z54MRYCF6H308 0000715957 Non-Financial Company Commercial Paper Y N/A N/A 2020-04-02 2020-04-02 2020-04-02 N N N 0.0256 12998181.30 12998181.30 0.0019 N N Y N Duke Energy Corp. Duke Energy Corp., 1.75% 26244HD83 I1BZKREC126H0VB1BL91 0001326160 Non-Financial Company Commercial Paper Y N/A N/A 2020-04-08 2020-04-08 2020-04-08 N N N 0.0291 2998095.90 2998095.90 0.0004 N N N N Sempra Global Sempra Global, 1.78% 81685LD93 PBBKGKLRK5S5C0Y4T545 FGH693000 Non-Financial Company Commercial Paper Y N/A N/A 2020-04-09 2020-04-09 2020-04-09 N Y SEMPRA ENERGY 1.0000 N/A N/A N 0.0296 2997816.00 2997816.00 0.0004 N N N N Sempra Global Sempra Global, 1.86% 81685LD28 PBBKGKLRK5S5C0Y4T545 FGA819000 Non-Financial Company Commercial Paper Y N/A N/A 2020-04-02 2020-04-02 2020-04-02 N Y SEMPRA ENERGY 1.0000 N/A N/A N 0.0256 3999440.40 3999440.40 0.0006 N N Y N Sempra Global Sempra Global, 1.86% 81685LD36 PBBKGKLRK5S5C0Y4T545 FGA860000 Non-Financial Company Commercial Paper Y N/A N/A 2020-04-03 2020-04-03 2020-04-03 N Y SEMPRA ENERGY 1.0000 N/A N/A N 0.0262 2999356.20 2999356.20 0.0004 N N Y N Sempra Global Sempra Global, 1.86% 81685LD77 PBBKGKLRK5S5C0Y4T545 FGA861000 Non-Financial Company Commercial Paper Y N/A N/A 2020-04-07 2020-04-07 2020-04-07 N Y SEMPRA ENERGY 1.0000 N/A N/A N 0.0285 2998366.80 2998366.80 0.0004 N N Y N TransCanada PipeLines Ltd. 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 0.0256 3999440.40 3999440.40 0.0006 N N Y 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 0.0319 2996600.40 2996600.40 0.0004 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 0.0256 3999440.40 3999440.40 0.0006 N N Y N Atlantic Asset Securitization Corp. Atlantic Asset Securitization Corp., 0.07% 04821TD10 549300BUNY5BIX4CVW20 0000916935 Asset Backed Commercial Paper Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N Y CREDIT AGRICOLE CIB NY BRH 1.0000 N/A N/A N 0.0000 5000000.00 5000000.00 0.0007 N Y Y N Gotham Funding Corp. Gotham Funding Corp., 2.00% 38346LD37 549300Z2ZR7VTUMRPR17 FIF201000 Asset Backed Commercial Paper Y N/A N/A 2020-04-03 2020-04-03 2020-04-03 N Y MUFG BANK LTD 1.0000 N/A N/A N 0.0000 5000002.00 5000002.00 0.0007 N N Y N Manhattan Asset Funding Co. LLC Manhattan Asset Funding Co. LLC, 0.15% 56274LD19 549300S0NSJYSOB32S63 FIG634000 Asset Backed Commercial Paper Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N Y SUMITOMO MITSUI BKG CORP 1.0000 N/A N/A N 0.0000 29510852.45 29510852.45 0.0043 N Y Y N Abn Amro Bank NV(TD) Abn Amro Bank NV(TD), 0.08% BFXS5XCH7N0Y05NIXW11 FIG538000 Non-Negotiable Time Deposit Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0008 50000000.00 50000000.00 0.0072 N Y Y N Australia & New Zealand Banking Group Ltd. Australia & New Zealand Banking Group Ltd., 0.05% JHE42UYNWWTJB8YTTU19 FIG545000 Non-Negotiable Time Deposit Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0005 56000000.00 56000000.00 0.0081 N Y Y N Bank of Nova Scotia Bank of Nova Scotia, 0.08% L3I9ZG2KFGXZ61BMYR72 FIG543000 Non-Negotiable Time Deposit Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0008 204000000.00 204000000.00 0.0295 N Y Y N Barclays Bank PLC Barclays Bank PLC, 0.25% G5GSEF7VJP5I7OUK5573 FIG555000 Non-Negotiable Time Deposit Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0025 355000000.00 355000000.00 0.0513 N Y Y N Credit Agricole CIB Credit Agricole CIB, 0.06% 1VUV7VQFKUOQSJ21A208 FIG720000 Non-Negotiable Time Deposit Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0006 93000000.00 93000000.00 0.0134 N Y Y N Credit Industriel et Commercial Credit Industriel et Commercial, 0.04% N4JDFKKH2FTD8RKFXO39 FIG643000 Non-Negotiable Time Deposit Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0004 20000000.00 20000000.00 0.0029 N Y Y N Credit Suisse AG Credit Suisse AG, 0.10% ANGGYXNX0JLX3X63JN86 FIG584000 Non-Negotiable Time Deposit Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0010 109000000.00 109000000.00 0.0157 N Y Y N Landesbank Hessen-Thuringen London Branch Landesbank Hessen-Thuringen London Branch, 0.50% DIZES5CFO5K3I5R58746 FIF457000 Non-Negotiable Time Deposit Y N/A N/A 2020-04-03 2020-04-03 2020-04-03 N N N 0.0052 52999909.90 52999909.90 0.0077 N N Y N Mizuho Bank Ltd. Mizuho Bank Ltd., 0.03% RB0PEZSDGCO3JS6CEU02 FIG620000 Non-Negotiable Time Deposit Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0003 95000000.00 95000000.00 0.0137 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 2021-04-30 2045-08-15 0.139 - 5.5 33058900.00 35772943.06 U.S. Treasuries (including strips) Y N/A N/A 2020-04-07 2020-04-07 2020-05-18 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0160 35000000.00 35000000.00 0.0051 N N Y N Credit Agricole CIB Credit Agricole CIB, 0.02% 1VUV7VQFKUOQSJ21A208 FIG628000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2020-09-15 2026-02-15 1.375 - 1.625 21134000.00 22508214.41 U.S. Treasuries (including strips) Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0002 22000000.00 22000000.00 0.0032 N Y Y N HSBC Securities, Inc. HSBC Securities, Inc., 0.01% CYYGQCGNHMHPSMRL3R97 0000853784 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2026-11-15 2026-11-15 2 - 2 13085000.00 14410215.73 U.S. Treasuries (including strips) Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0001 14000000.00 14000000.00 0.0020 N Y Y N ING Financial Markets LLC ING Financial Markets LLC, 0.01% KBVRJ5K57JZ3E2AVWX40 0000877559 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2023-06-30 2023-06-30 1.375 - 1.375 26600000.00 27572562.50 U.S. Treasuries (including strips) Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0001 27000000.00 27000000.00 0.0039 N Y Y N MUFG Securities EMEA PLC MUFG Securities EMEA PLC, 0.01% U7M81AY481YLIOR75625 FIG607000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2021-09-30 2046-08-15 1.5 - 2.25 23095700.00 23533277.14 U.S. Treasuries (including strips) Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0001 23000000.00 23000000.00 0.0033 N Y Y N MUFG Securities EMEA PLC MUFG Securities EMEA PLC, 0.01% U7M81AY481YLIOR75625 FIG630000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2024-05-31 2046-08-15 2 - 2.25 11432800.00 12280424.16 U.S. Treasuries (including strips) Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0001 12000000.00 12000000.00 0.0017 N Y Y N SMBC Nikko Securities America, Inc. SMBC Nikko Securities America, Inc., 0.02% 6PJDTY319315T5LR2241 FIG564000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2021-04-30 2026-02-15 1.125 - 2.25 754003000.00 788281878.71 U.S. Treasuries (including strips) Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0002 770000000.00 770000000.00 0.1112 N Y Y N BMO Capital Markets Corp. BMO Capital Markets Corp., 0.41% RUC0QBLBRPRCU4W1NE59 FIG682000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N SCHLUMBERGER LTD COM 213800ZUA17OK3QLGM62 2500-12-31 2500-12-31 N/A 621815.00 8257703.20 Equities NEW ORIENTAL ED & TECH GRP INC SPON ADR 529900NHZVBZQZ8EKN29 2500-12-31 2500-12-31 N/A 95806.00 10442854.00 Equities INOGEN INC COM 549300J8WJIVTOJ8IH97 2500-12-31 2500-12-31 N/A 45212.00 2324801.04 Equities RAPID7 INC COM 549300GNVG5D60KEYN14 2500-12-31 2500-12-31 N/A 109723.00 4870603.97 Equities US XPRESS ENTERPRISES INC COM CL A 549300NXY19K1OZN4915 2500-12-31 2500-12-31 N/A 1070997.00 3641389.80 Equities ISHARES TR U.S. REAL ES ETF 549300SJWB2CPZFPT616 2500-12-31 2500-12-31 N/A 63198.00 4524976.80 Equities NUSTAR ENERGY LP UNIT COM 5493003BMLTUIEG2LG44 2500-12-31 2500-12-31 N/A 245003.00 1761571.57 Equities VEECO INSTRS INC DEL COM 5493004201F72ADDZW04 2500-12-31 2500-12-31 N/A 184000.00 1827120.00 Equities IDEXX LABS INC COM OGMTXK0LUU1HKV2P0J84 2500-12-31 2500-12-31 N/A 11852.00 2856569.04 Equities IONIS PHARMACEUTICALS INC COM 549300SI4ZGLG0BLUZ92 2500-12-31 2500-12-31 N/A 121888.00 5876220.48 Equities NETFLIX INC COM 549300Y7VHGU0I7CE873 2500-12-31 2500-12-31 N/A 32327.00 11992023.92 Equities TIFFANY & CO NEW COM 549300EJG9IEYQL5XT21 2500-12-31 2500-12-31 N/A 109168.00 14026996.32 Equities INSMED INC COM PAR $.01 529900Q55QAG41CCAC11 2500-12-31 2500-12-31 N/A 114200.00 1958530.00 Equities TENNESEE VALLEY AUTHORITY 549300HE1ISW43LNKM54 2042-12-15 2042-12-15 3.5 - 3.5 10000000.00 12219985.56 Agency Debentures and Agency Strips ALLERGAN PLC SHS 635400FWJZQC1IPYUH69 2500-12-31 2500-12-31 N/A 117414.00 20701262.34 Equities Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0041 100000000.00 100000000.00 0.0144 N Y Y N BMO Capital Markets Corp. BMO Capital Markets Corp., 0.43% RUC0QBLBRPRCU4W1NE59 FIG683000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N GENNEIA S.A. SR GLBL REGS 22 529900YZ70LX0XWS9P67 2022-01-20 2022-01-20 8.75 - 8.75 3550000.00 2101649.31 Corporate Debt Securities OI SA GLBL PIK NT10%25 254900YEMWCRRAGD4978 2025-07-27 2025-07-27 10 - 10 1.00 0.69 Corporate Debt Securities WPX ENERGY INC SR GLBL NT 23 ZXZE9GCS2BB547GJW219 2023-08-01 2023-08-01 8.25 - 8.25 9604000.00 7023021.04 Corporate Debt Securities CINCINNATI BELL INC NEW SR GLBL 144A 24 549300JYVZOCUJOHL272 2024-07-15 2024-07-15 7 - 7 16500000.00 16743833.33 Corporate Debt Securities FORD MOTOR CREDIT CO LLC SR GLBL -B NT 22 UDSQCVRUX5BONN0VY111 2022-08-03 2022-08-03 2.979 - 2.979 81.00 74.08 Corporate Debt Securities BANCO MERCANTILE DEL NORTE SA TIER I PERP GLBL 549300QTVYRPFHS0J362 2500-12-31 2500-12-31 7.5 - 7.5 2300000.00 1726437.50 Corporate Debt Securities ERP OPER LTD PARTNERSHIP SR GLBL NT 3%29 DX5HQV5MLU50FEWZ5072 2029-07-01 2029-07-01 3 - 3 166304.00 159636.87 Corporate Debt Securities STAPLES INC SR SEC 144A NT26 XQM2JINI1UL7642TU573 2026-04-15 2026-04-15 7.5 - 7.5 1465925.00 1362699.45 Corporate Debt Securities ADVANCED DISP SVCS INC DEL SR 144A NT 24 549300ML1GEF4BKIM713 2024-11-15 2024-11-15 5.625 - 5.625 14298000.00 14584102.98 Corporate Debt Securities BANK AMER CORP SR NT FIX/FLT 28 9DJT3UXIJIZJI4WXO774 2028-07-21 2028-07-21 3.593 - 3.593 2000000.00 2062012.78 Corporate Debt Securities FIAT CHRYSLER AUTOMOBILES N V SR NT 4.5%20 549300LKT9PW7ZIBDF31 2020-04-15 2020-04-15 4.5 - 4.5 9133000.00 9287119.38 Corporate Debt Securities ELDORADO RESORTS INC SR GLBL NT 6%26 5299000BKFWWVND5L441 2026-09-15 2026-09-15 6 - 6 900.00 819.15 Corporate Debt Securities PROVINCIA DE CORDOBA GLBL REGS NT 24 5299006CLM2Z97AATT29 2024-09-01 2024-09-01 7.45 - 7.45 2749997.00 1322779.88 Corporate Debt Securities UNISYS CORP SR SEC GLBL 22 549300T21W22FIJJOW08 2022-04-15 2022-04-15 10.75 - 10.75 11634409.00 12792840.64 Corporate Debt Securities CENTENE CORP DEL SR GLBL NT 22 549300Z7JJ4TQSQGT333 2022-05-15 2022-05-15 4.75 - 4.75 1887000.00 1906708.67 Corporate Debt Securities VALE OVERSEAS LTD SR GLBL NT 26 254900BA3U6G5DNV5V04 2026-08-10 2026-08-10 6.25 - 6.25 2000.00 2135.14 Corporate Debt Securities PRESIDENT&FELLOW HARVARD COLL TAX BD-2016B 46 6S3X7J22E861RNTJSA74 2046-07-15 2046-07-15 3.15 - 3.15 2416000.00 2473355.84 Corporate Debt Securities PETROBRAS GLOB FIN SR GLBL REGS 30 549300FNENFFSMO3GT38 2030-01-15 2030-01-15 5.093 - 5.093 993114.00 903098.56 Corporate Debt Securities DISH DBS CORP SR GLBL NT 20 2020-05-01 2020-05-01 5.125 - 5.125 1000000.00 1014214.17 Corporate Debt Securities FIDELITY & GTY LIFE HLDGS INC SR GLBL 144A 25 549300WCR5QBFH98VZ75 2025-05-01 2025-05-01 5.5 - 5.5 712.00 707.17 Corporate Debt Securities Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0043 70000000.00 70000000.00 0.0101 N Y Y N BNP Paribas BNP Paribas, 0.33% R0MUWSFPU8MPRO8K5P83 FIG684000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N GENERAL DYNAMICS CORP SR GLBL NT 25 9C1X8XOOTYY2FNYTVH06 2025-04-01 2025-04-01 3.25 - 3.25 853755.00 903521.80 Corporate Debt Securities HOST HOTELS & RESORTS LP SR GLBL -D NT 23 FXB7X4WXVA8QPMNOGS12 2023-10-15 2023-10-15 3.75 - 3.75 10000000.00 9484516.67 Corporate Debt Securities CVS HEALTH CORP SR GLBL NT 45 549300EJG376EN5NQE29 2045-07-20 2045-07-20 5.125 - 5.125 2543000.00 2970624.88 Corporate Debt Securities DEUTSCHE BK AG N Y BRH SNR NPF GLBL 21 7LTWFZYICNSX8D621K86 2021-10-14 2021-10-14 4.25 - 4.25 5274731.00 5201018.10 Corporate Debt Securities CREDIT SUISSE GRP FDG GUERNSEY SR GLBL NT 45 549300PXR5FKNXF0OH19 2045-05-15 2045-05-15 4.875 - 4.875 7610000.00 9247570.53 Corporate Debt Securities FEDERAL HOME LOAN MORTGAGE CORP 2025-07-25 2025-07-25 0.518 - 0.518 4526859.00 119490.79 Agency Collateralized Mortgage Obligation CREDIT SUISSE GROUP SR GLBL COCO 25 549300506SI9CRFV9Z86 2025-09-11 2025-09-11 2.593 - 2.593 3754330.00 3571225.80 Corporate Debt Securities Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0033 30000000.00 30000000.00 0.0043 N Y Y N BofA Securities, Inc. BofA Securities, Inc., 0.58% 549300HN4UKV1E2R3U73 FIG680000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N JP MORGAN RESEC TR 2009-7 2-A-2 20370227 6.00000 2037-02-27 2037-05-27 4.403 - 6 42928905.00 14950241.31 Private Label Collateralized Mortgage Obligations Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N Y BANK OF AMERICA CORPORATION 1.0000 N/A N/A N 0.0058 13000000.00 13000000.00 0.0019 N Y Y N Citigroup Global Markets, Inc. Citigroup Global Markets, Inc., 1.01% MBNUM2BPBDO7JBLYG310 0000315030 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N E TRADE ABS CDO V 2006-5 A-1S 20461006 FLT 549300LSG1AJYQVQCE38 2046-10-06 2046-10-06 1.45 - 1.45 140889.00 1353.64 Other Instrument COLLATERALIZED DEBT OBLIGATION IONA CDO I 2004 A 20490824 FLT 2049-08-24 2049-08-24 2.283 - 2.583 7250000.00 687552.44 Other Instrument COLLATERALIZED DEBT OBLIGATION ELANCO ANIMAL HEALTH INC 5% TNGBL EQTY UT 549300SHPNDCE059M934 2500-12-31 2500-12-31 N/A 123.00 5110.65 Equities SORIN REAL ESTATE CDO 2006-03 C-2 20460508 FLT 549300GP071UIYK73K48 2046-05-08 2046-05-08 2.005 - 2.005 436.00 100.27 Other Instrument COLLATERALIZED DEBT OBLIGATION CWCAPITAL COBALT II 2006-2 G 20500426 FLT 2050-04-26 2050-04-26 3.294 - 3.294 2000000.00 402113.16 Other Instrument COLLATERALIZED DEBT OBLIGATION ACACIA CRE CDO 1 2006-1 E 20460107 FLT 5493002EBTUBMFFXYD63 2046-01-07 2046-01-07 4.043 - 4.043 4.00 0.83 Other Instrument COLLATERALIZED DEBT OBLIGATION ACACIA CDO 11 2007-11 D 20470315 FLT 2047-03-15 2047-03-15 5.268 - 5.268 53394.00 18272.62 Other Instrument COLLATERALIZED DEBT OBLIGATION ACACIA CDO 12 2007-12 A-1 20471008 FLT 2047-10-08 2047-10-08 2.302 - 2.302 3926941.00 246681.64 Other Instrument COLLATERALIZED DEBT OBLIGATION MONTAUK POINT CDO IILTD 54930046COUSLUSBKU90 2046-04-06 2046-04-06 1.57 - 1.57 29.00 7.40 Other Instrument COLLATERALIZED DEBT OBLIGATION PREFERRED TERM SECURITIES 3-10 B-1 20330705 FLT 2033-07-05 2033-07-05 3.628 - 3.628 15812000.00 11603918.18 Asset-Backed Securities Y N/A N/A 2020-04-15 2020-04-15 2020-04-15 Y CITIGROUP INC 1.0000 15 N N/A N/A Y CITIGROUP INC 1.0000 N/A N/A N 0.0101 12000000.00 12000000.00 0.0017 N N N Y Citigroup Global Markets, Inc. Citigroup Global Markets, Inc., 1.21% MBNUM2BPBDO7JBLYG310 0000315030 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N ALESCO PREFERRED FDG V 2004-5 D 20341223 0.00000 549300FHO36K27UM2Z12 2034-12-23 2034-12-23 5.159 - 5.159 665979.00 1212725.98 Other Instrument COLLATERALIZED DEBT OBLIGATION TRAPEZA CDO I 2002 D 144A 20321130 FLT 2032-11-30 2032-11-30 5.191 - 5.191 1000000.00 246582.78 Other Instrument COLLATERALIZED DEBT OBLIGATION TRAPEZA CDO V 2003-5 D 20340715 FLT 2034-07-15 2034-07-15 4.523 - 4.523 4155315.00 2743159.48 Other Instrument COLLATERALIZED DEBT OBLIGATION PREFERRED TERM SECURITIES 3-10 B-1 20330705 FLT 2033-07-05 2033-07-05 3.628 - 3.628 22447000.00 16473131.25 Asset-Backed Securities Y N/A N/A 2020-05-05 2020-05-05 2020-05-11 Y CITIGROUP INC 1.0000 35 N N/A N/A Y CITIGROUP INC 1.0000 N/A N/A N 0.0121 19000000.00 19000000.00 0.0027 N N N Y Citigroup Global Markets, Inc. Citigroup Global Markets, Inc., 1.81% MBNUM2BPBDO7JBLYG310 0000315030 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N COMM 2007-C9 XS 20491210 FLT 2049-12-10 2049-12-10 0.226 - 0.226 2598990382.00 5888.06 Private Label Collateralized Mortgage Obligations WAMU MTG CERT 2004-AR2 A 20440425 FLT 2044-04-25 2044-04-25 3.366 - 3.366 131484.00 2271.86 Private Label Collateralized Mortgage Obligations VERUS SECURITIZATION TR 2019-1 M-1 20590225 FLT 2059-02-25 2059-02-25 4.461 - 4.461 384.00 349.14 Private Label Collateralized Mortgage Obligations BANK 2018-BNK10 D 20610217 2.60000 549300GL0Y86051URC66 2061-02-17 2061-02-17 2.6 - 2.6 13818.00 7338.42 Private Label Collateralized Mortgage Obligations CWALT INC 2007-5CB 1-A-8 20370425 6.00000 2037-04-25 2037-04-25 6 - 6 8107.00 2066.13 Private Label Collateralized Mortgage Obligations CITIGROUP COML MTG TR 2019-C7 E 20721216 2.75000 2072-12-16 2072-12-16 2.75 - 2.75 322000.00 154107.80 Private Label Collateralized Mortgage Obligations JAMESTOWN CLO IX LTD 2019-9R C-1-R 20281020 FLT 254900NFTK4YH0WYT485 2028-10-20 2028-10-20 5.919 - 5.919 4999999.00 4056746.29 Asset-Backed Securities BARINGS CLO LTD 2019-2 C 20310415 FLT 2031-04-15 2031-04-15 5.681 - 5.681 798939.00 620243.31 Asset-Backed Securities NEW RESI MTG LN TR 2016-4 B-4 20561125 FLT 2056-11-25 2056-11-25 5.108 - 5.108 1.00 0.84 Private Label Collateralized Mortgage Obligations WELLS FARGO COML TR 2015-LC22 D 20580917 FLT 549300XO83D3BDYP0P62 2058-09-17 2058-09-17 4.534 - 4.534 23.00 16.56 Private Label Collateralized Mortgage Obligations MP CLO IV LTD 2013-4R D-R 20290725 FLT 549300X19NY1Q4WRDY28 2029-07-25 2029-07-25 5.394 - 5.394 2899996.00 2286065.58 Asset-Backed Securities NEW RESI MTG TR 2017-3 B-3 20570425 FLT 2057-04-25 2057-04-25 5.398 - 5.398 1.00 0.85 Private Label Collateralized Mortgage Obligations CITIGROUP COML MTG 2006-C5 XC 144 20491018 FLT 2049-10-18 2049-10-18 0.503 - 0.503 221500000.00 4551.68 Private Label Collateralized Mortgage Obligations GILBERT PARK CLO 2017 D 20301015 FLT 2030-10-15 2030-10-15 4.781 - 4.781 948431.00 746361.85 Asset-Backed Securities ATLAS SR LN FD X LTD 2031-01-15 2031-01-15 4.581 - 4.581 1962597.00 1359925.71 Asset-Backed Securities NEW RESI MTG TR 2017-6 B-4 20570825 FLT 2057-08-25 2057-08-25 4.953 - 4.953 889150.00 801390.58 Private Label Collateralized Mortgage Obligations OCTAGON INV PNRS 27 2016-27R D-R 20300715 FLT 6354001JUH8Y4IJVGL43 2030-07-15 2030-07-15 4.781 - 4.781 499923.00 381188.16 Asset-Backed Securities BENCHMARK MTG TR 2019-B15 E 20721216 2.75000 2072-12-16 2072-12-16 2.75 - 2.75 6877013.00 3236265.01 Private Label Collateralized Mortgage Obligations Y N/A N/A 2020-05-05 2020-05-05 2020-08-31 Y CITIGROUP INC 1.0000 35 N N/A N/A Y CITIGROUP INC 1.0000 N/A N/A N 0.0202 12988547.00 12988547.00 0.0019 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 PUERTO RICO ELEC PWR AUTH PWR SER 2013A-RSA-1 2013 5493003BRB67HF8ST418 2020-07-01 2036-07-01 N/A 19517071.00 13917201.88 Other Instrument MUNICIPAL DEBT PUERTO RICO PUB BLDGS AUTH REV GOV FAC REV REF BDS D 2021-07-01 2033-07-01 N/A 2562205.00 2054816.10 Other Instrument MUNICIPAL DEBT US TREASURY 254900HROIFWPRGM1V77 2026-10-31 2027-02-15 1.625 - 2.25 38300.00 41254.55 U.S. Treasuries (including strips) PUERTO RICO COMWLTH GO BDS 2014 549300X44HXPLJU48U63 2023-07-01 2035-07-01 N/A 7150530.00 4547981.05 Other Instrument MUNICIPAL DEBT 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 19000000.00 19000000.00 0.0027 N N N Y Credit AG CIB Paris Credit AG CIB Paris, 0.80% 1VUV7VQFKUOQSJ21A208 FIG144000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N BURLINGTON NORTHN SANTA FE CP SR DEB 3.05%22 2022-09-01 2022-09-01 3.05 - 3.05 5238000.00 5353297.11 Corporate Debt Securities PETRONAS CAPITAL LTD SR GLBL REGS 22 549300G7YFX3540OYR85 2022-05-22 2022-05-22 7.875 - 7.875 5384000.00 6197414.72 Corporate Debt Securities Y N/A N/A 2020-04-06 2020-04-06 2020-04-06 N N N 0.0080 11000000.00 11000000.00 0.0016 N N Y N Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 1.66% 1V8Y6QCX6YMJ2OELII46 0000318336 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N HILTON GRAND VACATIONS TR 2019 A 20330725 2.34000 2033-07-25 2033-07-25 2.34 - 2.34 1950000.00 1492265.83 Asset-Backed Securities JPMCC COML MTG SEC TR 2016-JP2 D 20490817 FLT 2049-08-17 2049-08-17 3.79 - 3.79 7000000.00 4707531.36 Private Label Collateralized Mortgage Obligations HYUNDAI AUTO RECV TR 2016-B B 20221115 1.82000 2022-11-15 2022-11-15 1.82 - 1.82 265000.00 263414.48 Asset-Backed Securities MORGAN STAN CAP I 2015-UBS8 E 20481217 3.18000 2048-12-17 2048-12-17 3.18 - 3.18 1819260.00 1087369.88 Private Label Collateralized Mortgage Obligations HARBORVIEW MTG LN TR 2004-4 X-1 20340619 FLT 2034-06-19 2034-06-19 1.914 - 1.914 314443913.00 179996.11 Private Label Collateralized Mortgage Obligations JGWPT XLII LLC 2018-2 B 20771015 4.70000 2077-10-15 2077-10-15 4.7 - 4.7 6500000.00 6264972.28 Asset-Backed Securities LCCM MORTGAGE TR 2017-LC26 X-A 20500712 FLT 2050-07-12 2050-07-12 1.469 - 1.469 38999995.00 2827690.07 Private Label Collateralized Mortgage Obligations Y N/A N/A 2020-06-04 2020-06-04 2020-07-30 Y CREDIT SUISSE AG 1.0000 65 N N/A N/A Y CREDIT SUISSE AG 1.0000 N/A N/A N 0.0114 16027222.40 16027222.40 0.0023 N N N Y Deutsche Bank AG Deutsche Bank AG, 0.58% 7LTWFZYICNSX8D621K86 FIG664000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N NEW YORK N Y CITY TRANSITIONAL FUTURE TAX SECD SUB BDS FISC 2045-11-01 2045-11-01 4 - 4 17275964.00 19950321.62 Other Instrument MUNICIPAL DEBT Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0058 19000000.00 19000000.00 0.0027 N Y Y N HSBC Securities, Inc. HSBC Securities, Inc., 0.43% CYYGQCGNHMHPSMRL3R97 0000853784 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N WELLS FARGO & CO FR 3.75%012424 PBLD0EJDB5FWOLXP3B76 2024-01-24 2024-01-24 3.75 - 3.75 62000.00 65619.51 Corporate Debt Securities BAT CAP CORP SR GLBL NT 47 2138005GYEXN7XRHFA84 2047-08-15 2047-08-15 4.54 - 4.54 1481000.00 1369541.59 Corporate Debt Securities CANADIAN IMP BK COMM GLBL COCO 25 2IGI19DL77OX0HC3ZE78 2025-01-28 2025-01-28 2.25 - 2.25 411205.00 403526.77 Corporate Debt Securities NEW YORK LIFE GBL FDG MTN 144A SR SEC GLBL 25 635400DPNHEAUHB7ZI15 2025-01-22 2025-01-22 2 - 2 3285000.00 3275878.65 Corporate Debt Securities DAIMLER FINANCE NORTH AMER LLC SR GLBL REGS 24 549300423Z16BB673J12 2024-06-14 2024-06-14 2.7 - 2.7 150000.00 145917.75 Corporate Debt Securities AON PLC SR GLBL NT 45 VVT2B79I2Z4U3R6BY589 2045-05-15 2045-05-15 4.75 - 4.75 10000000.00 11247644.44 Corporate Debt Securities SHELL INTERNATIONAL FIN BV SR NT 3.875%28 213800ITMMKU4Z7I4F78 2028-11-13 2028-11-13 3.875 - 3.875 92000.00 102629.14 Corporate Debt Securities SOCIETE GENERALE MTN 144A FR 3.25%011222 O2RNE8IBXP4R0TD8PU41 2022-01-12 2022-01-12 3.25 - 3.25 5780000.00 5799141.43 Corporate Debt Securities WORLD BANK ZTMSNXROF84AHWJNKQ93 2024-03-19 2025-07-29 2.5 - 2.5 2020000.00 2173937.80 Other Instrument INTERNATIONAL DEBT SUMITOMO MITSUI FINL GROUP INC GLBL NT 2.348%25 35380028MYWPB6AUO129 2025-01-15 2025-01-15 2.348 - 2.348 50000.00 49323.34 Corporate Debt Securities JPMORGAN CHASE & CO SR NT 3.3%26 8I5DZWZKVSZI1NUHU748 2026-04-01 2026-04-01 3.3 - 3.3 20000.00 21093.80 Corporate Debt Securities ASIAN DEVELOPMENT BANK 549300X0MVH42CY8Q105 2027-11-02 2028-01-19 2.5 - 2.75 1000000.00 1129453.61 Other Instrument INTERNATIONAL DEBT MACQUARIE GRP LTD SR MTN REG S FR 4.15%032724 ACMHD8HWFMFUIQQ8Y590 2024-03-27 2024-03-27 4.15 - 4.15 20000.00 20927.32 Corporate Debt Securities INTER-AMERICAN DEVELOPMENT BANK VKU1UKDS9E7LYLMACP54 2020-05-12 2026-06-02 1.625 - 3 4820000.00 5115268.13 Other Instrument INTERNATIONAL DEBT LLOYDS BANKING GROUP PLC SR GLBL COCO 23 549300PPXHEU2JF0AM85 2023-08-16 2023-08-16 4.05 - 4.05 325000.00 332865.81 Corporate Debt Securities Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0043 30000000.00 30000000.00 0.0043 N Y Y N ING Financial Markets LLC ING Financial Markets LLC, 0.25% KBVRJ5K57JZ3E2AVWX40 0000877559 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N BANK AMER CORP FR 3.194%072330 9DJT3UXIJIZJI4WXO774 2030-07-23 2030-07-23 3.194 - 3.194 183000.00 183943.02 Corporate Debt Securities PERNOD RICARD SA SR GLBL REGS 22 52990097YFPX9J0H5D87 2022-01-15 2022-01-15 4.45 - 4.45 758000.00 784712.55 Corporate Debt Securities SHIRE ACQUISITIONS INVTS IRELA SR GLBL NT3.2%26 549300XK5HGW68R8K327 2026-09-23 2026-09-23 3.2 - 3.2 1105000.00 1126791.83 Corporate Debt Securities CIGNA CORP NEW SR GLBL 144A 27 549300VIWYMSIGT1U456 2027-10-15 2027-10-15 3.05 - 3.05 2253000.00 2273488.53 Corporate Debt Securities DETROIT EDISON CO SR SEC -B NT 20 9N0FWODEJVKHC2DYLO03 2020-10-01 2020-10-01 3.45 - 3.45 1000.00 1018.33 Corporate Debt Securities TOTAL CAP CDA LTD SR GLBL NT 23 5299005IX98ZZ9LSGK46 2023-07-15 2023-07-15 2.75 - 2.75 15000.00 15197.63 Corporate Debt Securities BANK NOVA SCOTIA B C SR GLBL COCO 24 L3I9ZG2KFGXZ61BMYR72 2024-02-11 2024-02-11 3.4 - 3.4 2176.00 2275.43 Corporate Debt Securities PEPSICO INC SR GLBL NT 49 FJSUNZKFNQ5YPJ5OT455 2049-07-29 2049-07-29 3.375 - 3.375 3.00 3.42 Corporate Debt Securities AMERICAN TOWER CORP NEW SR GLBL NT 3%23 5493006ORUSIL88JOE18 2023-06-15 2023-06-15 3 - 3 873000.00 862762.62 Corporate Debt Securities Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0025 5000000.00 5000000.00 0.0007 N Y Y N ING Financial Markets LLC ING Financial Markets LLC, 0.30% KBVRJ5K57JZ3E2AVWX40 FIG672000 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 145.00 36435.60 Equities ISHARES TR CORE US AGGBD ET 549300F7VSXTKBGHJE47 2500-12-31 2500-12-31 N/A 224.00 25912.32 Equities UNISYS CORP COM NEW 549300T21W22FIJJOW08 2500-12-31 2500-12-31 N/A 3149.00 36843.30 Equities SELECT SECTOR SPDR TR SBI INT-FINL 549300Y12KQ6ZG08NY28 2500-12-31 2500-12-31 N/A 1.00 21.41 Equities GLOBAL X FDS GB MSCI AR ETF 5493002TMUWISFBTZV19 2500-12-31 2500-12-31 N/A 1.00 15.94 Equities ZIX CORP COM 2500-12-31 2500-12-31 N/A 19665.00 91245.60 Equities TAKE-TWO INTERACTIVE SOFTWARE COM BOMSTHHJK882EWYX3334 2500-12-31 2500-12-31 N/A 43959.00 5209581.09 Equities Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0030 5000000.00 5000000.00 0.0007 N Y Y N ING Financial Markets LLC ING Financial Markets LLC, 1.32% KBVRJ5K57JZ3E2AVWX40 FHF809000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N ALTRIA GROUP INC COM XSGZFLO9YTNO9VCQV219 2500-12-31 2500-12-31 N/A 6.00 223.86 Equities STATE STR CORP COM 549300ZFEEJ2IP5VME73 2500-12-31 2500-12-31 N/A 7581.00 392468.37 Equities GENERAL ELECTRIC CO COM 3C7474T6CDKPR9K6YT90 2500-12-31 2500-12-31 N/A 10471.00 82616.19 Equities INTEL CORP COM KNX4USFCNGPY45LOCE31 2500-12-31 2500-12-31 N/A 606.00 33626.94 Equities GENPACT LIMITED SHS 529900OSEC6Q0L4L5B35 2500-12-31 2500-12-31 N/A 1.00 28.51 Equities MICRON TECHNOLOGY INC COM B3DXGBC8GAIYWI2Z0172 2500-12-31 2500-12-31 N/A 16027.00 713522.04 Equities TYSON FOODS INC CL A WD6L6041MNRW1JE49D58 2500-12-31 2500-12-31 N/A 348.00 20584.20 Equities F5 NETWORKS INC COM 2500-12-31 2500-12-31 N/A 19278.00 2116917.18 Equities OWENS CORNING NEW COM JO5M6676RDJIZ2U8X907 2500-12-31 2500-12-31 N/A 1.00 39.88 Equities MERCK & CO. INC COM 4YV9Y5M8S0BRK1RP0397 2500-12-31 2500-12-31 N/A 3829.00 294641.55 Equities GRAPHIC PACKAGING HLDG CO COM 2500-12-31 2500-12-31 N/A 1.00 12.31 Equities CITIZENS FINANCIAL GROUP INC COM 2138004JDDA4ZQUPFW65 2500-12-31 2500-12-31 N/A 6.00 117.90 Equities AMERIPRISE FINL INC COM 6ZLKQF7QB6JAEKQS5388 2500-12-31 2500-12-31 N/A 13286.00 1450166.90 Equities BRIGHT HORIZONS FAM SOL IN DEL COM 2500-12-31 2500-12-31 N/A 442.00 43895.02 Equities ALLIANCE DATA SYSTEMS CORP COM 549300G8S4PO686J7H97 2500-12-31 2500-12-31 N/A 1.00 34.30 Equities BAXTER INTL INC COM J5OIVXX3P24RJRW5CK77 2500-12-31 2500-12-31 N/A 6045.00 496838.55 Equities PARSLEY ENERGY INC CL A 549300DMRA8DSL66G562 2500-12-31 2500-12-31 N/A 254700.00 1225107.00 Equities WILLIS TOWERS WATSON PLC LTD SHS 549300WHC56FF48KL350 2500-12-31 2500-12-31 N/A 20473.00 3540805.35 Equities THERMO FISHER SCIENTIFIC INC COM HCHV7422L5HDJZCRFL38 2500-12-31 2500-12-31 N/A 1.00 284.96 Equities SELECTA BIOSCIENCES INC COM 529900NMN0LACZOL7C43 2500-12-31 2500-12-31 N/A 1.00 2.37 Equities UGI CORP NEW COM DX6GCWD4Q1JO9CRE5I40 2500-12-31 2500-12-31 N/A 18672.00 502463.52 Equities DUPONT DE NEMOURS INC COM 5493004JF0SDFLM8GD76 2500-12-31 2500-12-31 N/A 1.00 33.62 Equities PATTERSON UTI ENERGY INC COM 254900XGFBKIXD6G0697 2500-12-31 2500-12-31 N/A 5.00 10.70 Equities FIRST HORIZON NATL CORP COM TF3RXI1ZB1TQ30H9JV10 2500-12-31 2500-12-31 N/A 1.00 8.43 Equities SOLAREDGE TECHNOLOGIES INC COM 5493000K6Y58XXPDF853 2500-12-31 2500-12-31 N/A 2.00 163.28 Equities CHEWY INC CL A 2500-12-31 2500-12-31 N/A 27418.00 1041884.00 Equities QUANTA SVCS INC COM SHVRXXEACT60MMH07S24 2500-12-31 2500-12-31 N/A 1.00 30.51 Equities COLGATE PALMOLIVE CO COM YMEGZFW4SBUSS5BQXF88 2500-12-31 2500-12-31 N/A 30250.00 2014045.00 Equities MEDNAX INC COM 2500-12-31 2500-12-31 N/A 102532.00 1283700.64 Equities CATALYST BIOSCIENCES INC COM NEW 549300TE6BBPJ0S88K48 2500-12-31 2500-12-31 N/A 86838.00 389902.62 Equities CADENCE DESIGN SYSTEM INC COM GCT7RXJOGLXPV0NXZY22 2500-12-31 2500-12-31 N/A 1.00 66.91 Equities MARTIN MARIETTA MATLS INC COM 5299005MZ4WZECVATV08 2500-12-31 2500-12-31 N/A 1138.00 204293.76 Equities CANADIAN PAC RY LTD COM 2500-12-31 2500-12-31 N/A 22.00 4774.44 Equities MOSAIC CO NEW COM 2YD5STGSJNMUB7H76907 2500-12-31 2500-12-31 N/A 124420.00 1244200.00 Equities COCA COLA EUROPEAN PARTNERS P SHS 549300LTH67W4GWMRF57 2500-12-31 2500-12-31 N/A 22.00 809.60 Equities APOLLO GLOBAL MGMT INC COM CL A 54930054P2G7ZJB0KM79 2500-12-31 2500-12-31 N/A 1.00 35.45 Equities ALEXION PHARMACEUTICALS INC COM M1YXUUZR0EIMU8T0EM75 2500-12-31 2500-12-31 N/A 6851.00 597818.26 Equities ISHARES TR IBOXX INV CP ETF 549300FYCXFXG8POR355 2500-12-31 2500-12-31 N/A 174.00 21562.08 Equities PARKER HANNIFIN CORP COM 5493002CONDB4N2HKI23 2500-12-31 2500-12-31 N/A 1.00 130.35 Equities CSX CORP COM 549300JVQR4N1MMP3Q88 2500-12-31 2500-12-31 N/A 1.00 58.02 Equities ALLISON TRANSMISSION HLDGS INC COM 529900RP7DJ882LI9T83 2500-12-31 2500-12-31 N/A 1980.00 65755.80 Equities NOBLE ENERGY INC COM 02VFQXG2D1LR5ZH3K186 2500-12-31 2500-12-31 N/A 3.00 15.93 Equities IAMGOLD CORP COM 254900E7II30XAB9LA72 2500-12-31 2500-12-31 N/A 1.00 2.24 Equities BANK NEW YORK MELLON CORP COM WFLLPEPC7FZXENRZV188 2500-12-31 2500-12-31 N/A 2.00 68.00 Equities NVIDIA CORP COM 549300S4KLFTLO7GSQ80 2500-12-31 2500-12-31 N/A 10378.00 2756293.02 Equities LAM RESEARCH CORP COM 549300I4GMO6D34U1T02 2500-12-31 2500-12-31 N/A 1.00 255.30 Equities Y N/A N/A 2020-05-04 2020-05-04 2020-05-04 Y ING FINL MKTS LLC(NNGV RP BNY) 1.0000 34 N N/A N/A N N 0.0131 19000000.00 19000000.00 0.0027 N N N Y J.P. Morgan Securities, LLC J.P. Morgan Securities, LLC, 0.34% ZBUT11V806EZRVTWT807 0001287279 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N JOYY INC ADS REPSTG COM A 549300N6CHVU5CQZPW24 2500-12-31 2500-12-31 N/A 32935.00 1714925.45 Equities NOVO-NORDISK A S ADR 549300DAQ1CVT6CXN342 2500-12-31 2500-12-31 N/A 941848.00 56680412.64 Equities CENTRAIS ELETRICAS BRASILEIRAS SPON ADR PFD B 254900I8KYDELP4B4Z08 2500-12-31 2500-12-31 N/A 74288.00 418984.32 Equities TAKEDA PHARMACEUTICAL CO LTD SPONSORED ADS 549300ZLMVP4X0OGR454 2500-12-31 2500-12-31 N/A 32.00 500.16 Equities EQM MIDSTREAM PARTNERS LP UNIT LTD PARTN 549300NELT611CL6XM83 2500-12-31 2500-12-31 N/A 60469.00 634924.50 Equities SILICON MOTION TECHNOLOGY CORP SPONSORED ADR 5299005RBVBZQJTYFC89 2500-12-31 2500-12-31 N/A 67490.00 2546397.70 Equities UNION ACQUISITION CORP II SHS 2500-12-31 2500-12-31 N/A 536676.00 5125255.80 Equities ISHARES TR MSCI UN KNGDOM 549300YNVRTNDI25ZP45 2500-12-31 2500-12-31 N/A 8448.00 154614.45 Equities HOLLY ENERGY PARTNERS L P COM UT LTD PTN 529900NVV7ODCT0QCG29 2500-12-31 2500-12-31 N/A 61400.00 703644.00 Equities WNS HOLDINGS LTD SPON ADR 529900RM7QHUD3W9DM42 2500-12-31 2500-12-31 N/A 20900.00 947606.00 Equities PROSHARES TR ULT FTSE EUROPE SFWTKM6PLSKL9V982C20 2500-12-31 2500-12-31 N/A 329.00 9246.48 Equities CHEETAH MOBILE INC ADR 529900JR51JXQWYK5B18 2500-12-31 2500-12-31 N/A 3.00 6.45 Equities UNITED MICROELECTRONICS CORP SPON ADR NEW 391200YJCAGH9LF96P73 2500-12-31 2500-12-31 N/A 63088.00 140055.36 Equities JPMORGAN CHASE & CO 6 DEP NCM PFD EE 8I5DZWZKVSZI1NUHU748 2500-12-31 2500-12-31 6 - 6 41910.00 1097622.90 Equities LOMA NEGRA CORP SPONSORED ADS 529900VKOQQJ8U9DDK92 2500-12-31 2500-12-31 N/A 14817.00 50081.46 Equities Y N/A N/A 2020-04-07 2020-04-07 2020-04-13 Y JPMORGAN SECS (NON GOV REPO) 1.0000 7 N N/A N/A N N 0.0034 65000000.00 65000000.00 0.0094 N N Y N Mitsubishi UFJ Securities (U.S.A.), Inc. Mitsubishi UFJ Securities (U.S.A.), Inc., 0.38% K5HU16E3LMSVCCJJJ255 FIG687000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N ISHARES TR IBOXX INV CP ETF 549300FYCXFXG8POR355 2500-12-31 2500-12-31 N/A 63400.00 7856528.00 Equities GIGCAPITAL2 INC COM 549300OSKGXG2OH2XE50 2500-12-31 2500-12-31 N/A 400000.00 3922080.00 Equities OSPREY TECHNLGY AQUISTION CORP COM CL A 2500-12-31 2500-12-31 N/A 95000.00 921500.00 Equities PIVOTAL INVT CORP II COM CL A 549300W71XJ8DIF9RQ35 2500-12-31 2500-12-31 N/A 366900.00 3632273.31 Equities EXPERIENCE INVT CORP UNIT EX 090126 2500-12-31 2500-12-31 N/A 96715.00 947807.00 Equities Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0038 16000000.00 16000000.00 0.0023 N Y Y N Mitsubishi UFJ Securities (U.S.A.), Inc. Mitsubishi UFJ Securities (U.S.A.), Inc., 0.63% K5HU16E3LMSVCCJJJ255 FIG688000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N PROSPECT CAPITAL CORPORATION 6.375%25 549300FSD8T39P5Q0O47 2025-03-01 2025-03-01 6.375 - 6.375 33104.00 28314.26 Equities ILLUMINA INC SR GLBL COCO 23 SQ95QG8SR5Q56LSNF682 2023-08-15 2023-08-15 N/A 1067400.00 1021704.61 Equities Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0063 1000000.00 1000000.00 0.0001 N Y Y N Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 0.53% 7TK5RJIZDFROZCA6XF66 FIG692000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N FEDERAL HOME LOAN MORTGAGE CORP 2050-03-01 2050-03-01 3 - 3 7762697.00 8160120.35 Agency Mortgage-Backed Securities Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0053 8000000.00 8000000.00 0.0012 N Y Y N Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 0.58% 7TK5RJIZDFROZCA6XF66 FIG690000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N WAYFAIR INC CL A 54930027N9ZAVYFDHK53 2500-12-31 2500-12-31 N/A 600.00 31206.00 Equities STATE STR CORP COM 549300ZFEEJ2IP5VME73 2500-12-31 2500-12-31 N/A 5844.00 302543.88 Equities INTEL CORP COM KNX4USFCNGPY45LOCE31 2500-12-31 2500-12-31 N/A 77487.00 4299753.63 Equities TYSON FOODS INC CL A WD6L6041MNRW1JE49D58 2500-12-31 2500-12-31 N/A 1200.00 70980.00 Equities SYNAPTICS INC COM 549300AJ3LI4FWNRQX29 2500-12-31 2500-12-31 N/A 126500.00 7545725.00 Equities BLUEPRINT MEDICINES CORP COM 5299004CC60O9T5HVM83 2500-12-31 2500-12-31 N/A 500.00 28985.00 Equities AMERISAFE INC COM 2500-12-31 2500-12-31 N/A 19100.00 1203300.00 Equities LAMB WESTON HLDGS INC COM 5493005SMYID1D2OY946 2500-12-31 2500-12-31 N/A 600.00 34584.00 Equities GENERAL MLS INC COM 2TGYMUGI08PO8X8L6150 2500-12-31 2500-12-31 N/A 2300.00 124430.00 Equities REALTY INCOME CORP COM 549300CUWDAUZSH43859 2500-12-31 2500-12-31 N/A 3400.00 180642.00 Equities AMN HEALTHCARE SVCS INC COM 529900W3ARRTCNFH2I39 2500-12-31 2500-12-31 N/A 10500.00 549570.00 Equities FORTIVE CORP COM 549300MU9YQJYHDQEF63 2500-12-31 2500-12-31 N/A 200.00 10420.00 Equities CYRUSONE INC COM 5493006S177ZK2ZNBU43 2500-12-31 2500-12-31 N/A 700.00 43008.00 Equities GCI LIBERTY INC COM CLASS A 2500-12-31 2500-12-31 N/A 22100.00 1285336.00 Equities RPM INTL INC COM 549300TJCKW4BRXPJ474 2500-12-31 2500-12-31 N/A 11200.00 684320.00 Equities WOODWARD INC COM YPYKXXTR8TFDH54ZMB45 2500-12-31 2500-12-31 N/A 4900.00 290080.00 Equities AGREE REALTY CORP COM 2500-12-31 2500-12-31 N/A 15879.00 1013397.78 Equities ACTIVISION BLIZZARD INC COM 549300TPQQDBP9GNOF40 2500-12-31 2500-12-31 N/A 14225.00 831735.75 Equities MIDDLESEX WATER CO COM 2500-12-31 2500-12-31 N/A 18600.00 1143342.00 Equities PHILLIPS 66 COM 5493005JBO5YSIGK1814 2500-12-31 2500-12-31 N/A 6200.00 335792.00 Equities VERIZON COMMUNICATIONS INC COM 2S72QS2UO2OESLG6Y829 2500-12-31 2500-12-31 N/A 2300.00 125971.00 Equities ENCOMPASS HEALTH CORP COM 549300FVRPM9DRQZRG64 2500-12-31 2500-12-31 N/A 36200.00 2263224.00 Equities GODADDY INC CL A 2500-12-31 2500-12-31 N/A 83700.00 4951692.00 Equities BROWN FORMAN CORP CL B 549300873K3LXF7ARU34 2500-12-31 2500-12-31 N/A 1200.00 67956.00 Equities SOUTHERN CO COM 549300FC3G3YU2FBZD92 2500-12-31 2500-12-31 N/A 6300.00 365337.00 Equities EQUITY LIFESTYLE PPTYS INC COM 529900PEQG66LENB6798 2500-12-31 2500-12-31 N/A 1200.00 67920.00 Equities EXPEDIA GROUP INC COM NEW 2500-12-31 2500-12-31 N/A 300.00 16917.00 Equities MONSTER BEVERAGE CORP NEW COM 52990090AP0E7HCB6F33 2500-12-31 2500-12-31 N/A 54000.00 3132000.00 Equities SQUARE INC CL A 549300OHIIUWSTIZME52 2500-12-31 2500-12-31 N/A 36692.00 2018060.00 Equities Q2 HLDGS INC COM 549300M9RKR9DZXWS696 2500-12-31 2500-12-31 N/A 4700.00 288768.00 Equities EAGLE MATERIALS INC COM 529900KRXRGXL61SG039 2500-12-31 2500-12-31 N/A 4900.00 267197.00 Equities CVS HEALTH CORP COM 549300EJG376EN5NQE29 2500-12-31 2500-12-31 N/A 3800.00 226784.00 Equities KILROY RLTY CORP COM 549300CXXI18B214UN80 2500-12-31 2500-12-31 N/A 139400.00 8860264.00 Equities PRINCIPIA BIOPHARMA INC COM 549300WHPKRLU16IRE69 2500-12-31 2500-12-31 N/A 47300.00 2834216.00 Equities EQUITY RESIDENTIAL SH BEN INT 5493008RACSH5EP3PI59 2500-12-31 2500-12-31 N/A 1300.00 81354.00 Equities SIMPSON MANUFACTURING CO INC COM 529900EJUNNL15LZ8056 2500-12-31 2500-12-31 N/A 7500.00 463950.00 Equities SIMON PPTY GROUP INC NEW COM 529900GQL5X8H7AO3T64 2500-12-31 2500-12-31 N/A 2200.00 123794.00 Equities BRISTOL-MYERS SQUIBB CO COM HLYYNH7UQUORYSJQCN42 2500-12-31 2500-12-31 N/A 1300.00 70707.00 Equities CSX CORP COM 549300JVQR4N1MMP3Q88 2500-12-31 2500-12-31 N/A 1900.00 110238.00 Equities WP CAREY INC COM 54930042CRNE713E3Q67 2500-12-31 2500-12-31 N/A 1200.00 71172.00 Equities ALBEMARLE CORP COM HDBLS2Q6GV1LSKQPBS54 2500-12-31 2500-12-31 N/A 100.00 5560.00 Equities IHS MARKIT LTD SHS 549300HLPTRASHS0E726 2500-12-31 2500-12-31 N/A 300.00 18558.00 Equities Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0058 43000000.00 43000000.00 0.0062 N Y Y N Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 0.58% 7TK5RJIZDFROZCA6XF66 FIG689000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N FEDERAL HOME LOAN MORTGAGE CORP 2050-03-01 2050-03-01 3 - 3 2911016.00 3060049.99 Agency Mortgage-Backed Securities Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0058 3000000.00 3000000.00 0.0004 N Y Y N Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 1.08% 7TK5RJIZDFROZCA6XF66 FIG705000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N FEDERAL HOME LOAN MORTGAGE CORP 2049-11-01 2049-12-01 2.5 - 3 16830068.00 17340520.64 Agency Mortgage-Backed Securities Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0107 17000000.00 17000000.00 0.0025 N Y 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 MIZUHO FLOATER / RESIDUAL TR V CTFS 2019 2046-09-01 2046-09-01 4.62 - 4.62 10482146.00 10521840.68 Other Instrument MUNICIPAL DEBT Y N/A N/A 2020-04-27 2020-04-27 2020-04-27 N N N 0.0206 10000000.00 10000000.00 0.0014 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 CRH MED CORP COM 5493007IZJQ7PCYU7J25 2500-12-31 2500-12-31 N/A 2809.00 3567.43 Equities COSTAMARE INC SHS 5299003L6NPTZ25LN818 2500-12-31 2500-12-31 N/A 220.00 946.00 Equities AUSTIN FAIRMONT HT TR 2019-FAI F 20320915 FLT 2032-09-15 2032-09-15 3.505 - 3.505 130.00 95.18 Private Label Collateralized Mortgage Obligations VANGUARD SCOTTSDALE FDS LONG TERM TREAS 2500-12-31 2500-12-31 N/A 2.00 202.98 Equities VANECK VECTORS ETF TR BDC INCOME ETF 5493000CQN0MMJGTGK14 2500-12-31 2500-12-31 N/A 53.00 1206.46 Equities PROSHARES TR II ULTRAPRO 3X SHOR 5493001DTSTCH5U4PT59 2500-12-31 2500-12-31 N/A 27.00 1223.64 Equities MS BOFA ML TRUST 2014-C19 LNC-4 20461217 FLT 2046-12-17 2046-12-17 4.749 - 4.749 2690000.00 2016957.45 Private Label Collateralized Mortgage Obligations SPDR SER TR NUVEEN BBG BRCLY 54930036TY0W1EQHEK50 2500-12-31 2500-12-31 N/A 86.00 2730.93 Equities BARCLAYS BANK PLC IPATH B S&P ETN 2500-12-31 2500-12-31 N/A 88.00 365.20 Equities UBS AG LONDON BRANCH ETRAC ALER MLP 2500-12-31 2500-12-31 N/A 68.00 354.96 Equities INVESCO EXCHANGE-TRADED FD TR S&P SMLCP ENGY 5493008GV13MOHGPN118 2500-12-31 2500-12-31 N/A 1467.00 3110.04 Equities CWMBS INC 2004-25 1-A-4 20350225 FLT 2035-02-25 2035-02-25 1.827 - 1.827 28437000.00 817080.34 Private Label Collateralized Mortgage Obligations SPDR INDEX SHS FDS PORTFLO EURP ETF 549300HCVLHOFBIZF566 2500-12-31 2500-12-31 N/A 26.00 699.14 Equities JP MORGAN COM MTG 2005-LDP2 H 144A 20420715 FLT 2042-07-15 2042-07-15 5.775 - 5.775 10.00 1.65 Private Label Collateralized Mortgage Obligations WISDOMTREE TR EM EX ST-OWNED 549300T3CSCFW1IFJC98 2500-12-31 2500-12-31 N/A 6.00 150.84 Equities TRIVAGO N V SPON ADS A SHS 529900HUKSPVYRFJSH86 2500-12-31 2500-12-31 N/A 1.00 1.42 Equities PROSHARES TR ULTRA FNCLS NEW LYB0BLOHQZOQ1IGGW139 2500-12-31 2500-12-31 N/A 1.00 25.25 Equities UBS AG JERSEY BRH ALERIAN INFRST 2500-12-31 2500-12-31 N/A 23.00 169.05 Equities PHOENIX NEW MEDIA LTD SPONSORED ADS 529900QQ1GX85WOUID50 2500-12-31 2500-12-31 N/A 1.00 1.22 Equities PROSHARES TR II ULTRASHRT EURO FLD563LR4L0K4REZX771 2500-12-31 2500-12-31 N/A 3.00 83.07 Equities FIRST TR EXCHANGE-TRADED FD NAT GAS ETF 549300SVX60NSSWYLS19 2500-12-31 2500-12-31 N/A 20.00 78.80 Equities LONG BEACH MTG LN TR 2005-3 I-A 20451025 FLT 2045-10-25 2045-10-25 1.467 - 1.467 5912900.00 401457.29 Asset-Backed Securities Y N/A N/A 2020-05-05 2020-05-05 2020-05-05 N N N 0.0079 3003689.70 3003689.70 0.0004 N N N Y RBS Securities, Inc. 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2.85 101.00 103.24 Corporate Debt Securities Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0055 32000000.00 32000000.00 0.0046 N Y Y N Societe Generale Societe Generale, 0.60% O2RNE8IBXP4R0TD8PU41 FIG631000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N SASOL FING USA LLC SR GLBL NT6.5%28 549300XRB1PFMESFEL85 2028-09-27 2028-09-27 6.5 - 6.5 10686000.00 4804336.55 Corporate Debt Securities ALBERTSONS COS INC / SAFEWAY I SR GLBL 144A 28 2028-02-15 2030-02-15 4.875 - 5.875 1803076.00 1762657.38 Corporate Debt Securities GTT COMMUNICATIONS INC SR GLBL 144A 24 549300ETSL7K1ZX05H30 2024-12-31 2024-12-31 7.875 - 7.875 1274000.00 814961.88 Corporate Debt Securities HORIZON PHARMA USA INC SR GLBL 144A 27 2027-08-01 2027-08-01 5.5 - 5.5 280000.00 276966.67 Corporate Debt Securities ALTICE FRANCE S A SR SEC GLBL 27 5493001ZMCICV4N02J21 2027-02-01 2027-02-01 8.125 - 8.125 40.00 43.12 Corporate Debt Securities DRIVETIME AUTOMOTIVE GROUP INC SR SEC 144A NT21 2021-06-01 2021-06-01 8 - 8 1741000.00 1587211.67 Corporate Debt Securities GOLDEN NUGGET INC SR GLBL 144A 24 91D14OD6M4H1RVBN7R43 2024-10-15 2024-10-15 6.75 - 6.75 6.00 3.88 Corporate Debt Securities CCO HLDGS LLC / CCO HLDGS CAP SR GLBL 144A 29 2029-06-01 2029-06-01 5.375 - 5.375 130.00 136.07 Corporate Debt Securities ODEBRECHT OFFSHORE DRILLING FR 6.72%120122 549300L7LF2PIRAWID66 2022-12-01 2022-12-01 6.72 - 6.72 9420179.00 5047789.63 Corporate Debt Securities COMM S&L / CSL CAPITAL SR SEC 144A NT23 2023-04-15 2023-04-15 6 - 6 2276000.00 2071539.33 Corporate Debt Securities ALLIED UNVL HOLDCO LLC/ALLIED SR SEC GLBL 26 2026-07-15 2026-07-15 6.625 - 6.625 27400.00 27166.72 Corporate Debt Securities CSC HLDGS INC SR NT 6.75%21 3HG2WD2W22M120IUNG49 2021-11-15 2021-11-15 6.75 - 6.75 592000.00 619824.00 Corporate Debt Securities CARVANA CO SR GLBL 144A 23 5493003WEAK2PJ5WS063 2023-10-01 2023-10-01 8.875 - 8.875 271211.00 267651.36 Corporate Debt Securities Y N/A N/A 2020-04-07 2020-04-07 2020-04-07 N N N 0.0060 16000000.00 16000000.00 0.0023 N N Y N Societe Generale Societe Generale, 0.65% O2RNE8IBXP4R0TD8PU41 FIG666000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N MORGAN STANLEY FR 5.597%032451 IGJSJL3JD5P30I6NJZ34 2051-03-24 2051-03-24 5.597 - 5.597 378114.00 508555.13 Corporate Debt Securities DISNEY WALT CO SR GLBL COCO 40 549300GZKULIZ0WOW665 2040-03-23 2040-03-23 4.625 - 4.625 2879152.00 3459755.39 Corporate Debt Securities BATTALION CLO VII LTD 2014-7RR D-RR 20280717 FLT 5493000R542V1ZNEEG67 2028-07-17 2028-07-17 8.146 - 8.146 1699799.00 1318406.30 Asset-Backed Securities SPRINGLEAF FDG TR 2017-A D 20300715 5.02000 2030-07-15 2030-07-15 5.02 - 5.02 1.00 0.84 Asset-Backed Securities Y N/A N/A 2020-04-07 2020-04-07 2020-04-07 N N N 0.0065 5000000.00 5000000.00 0.0007 N N Y N Wells Fargo Securities, LLC Wells Fargo Securities, LLC, 0.55% VYVVCKR63DVZZN70PB21 0000276523 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N TRANSCANADA PIPELINES LTD 4/2 2020-05-07 2020-05-07 N/A 14550000.00 14499322.35 Money Market FMC TECHNOLOGIES INC 2020-05-04 2020-05-04 N/A 2498854.00 2490837.68 Money Market CENTENNIAL ENERGY HLDGS INC 2020-05-05 2020-05-05 N/A 10000000.00 9967000.00 Money Market EXPERIAN FINANCE PLC 2020-06-15 2020-06-15 N/A 856287.00 853265.16 Money Market Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0055 27000000.00 27000000.00 0.0039 N Y Y N Wells Fargo Securities, LLC Wells Fargo Securities, LLC, 0.75% VYVVCKR63DVZZN70PB21 0000276523 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N TRANSOCEAN PHOENIX 2 LIMITED SR SEC 144A 24 2024-10-15 2024-10-15 7.75 - 7.75 218000.00 139328.51 Corporate Debt Securities COVEY PARK ENERGY LLC SR GLBL 144A 25 I03QQGEA4SS774AURI46 2025-05-15 2025-05-15 7.5 - 7.5 6302000.00 3833716.67 Corporate Debt Securities LOUISIANA PAC CORP SR GLBL 144A 24 549300C7E2UAO5BVRR75 2024-09-15 2024-09-15 4.875 - 4.875 1606000.00 1388654.67 Corporate Debt Securities NGL ENERGY PARTNERS LP SR GLBL NT7.5%23 2023-11-01 2023-11-01 7.5 - 7.5 2170000.00 827312.50 Corporate Debt Securities PACIFIC GAS & ELEC CO SR GLBL BD 34 1HNPXZSMMB7HMBMVBS46 2021-09-15 2043-06-15 N/A 10875000.00 11023524.80 Corporate Debt Securities VIACOM INC NEW JR SB GLBL DB 57 5KYC8KF17ROCY24M3H09 2057-02-28 2057-02-28 5.875 - 5.875 79000.00 68365.45 Corporate Debt Securities Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0075 16000000.00 16000000.00 0.0023 N Y Y N Wells Fargo Securities, LLC Wells Fargo Securities, LLC, 0.75% VYVVCKR63DVZZN70PB21 0000276523 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N MERCADOLIBRE INC SR GLBL COCO 28 549300DKPDN9M5S8GB14 2028-08-15 2028-08-15 2 - 2 14108000.00 17948903.00 Equities NEXTERA ENERGY PARTNERS LP SR CV 144A NT 20 5493008F4ZOQFNG3WN54 2020-09-15 2020-09-15 1.5 - 1.5 7425000.00 7424678.25 Equities RESTORATION HARDWARE HLDGS INC SR COCO 20 5493008MTS3OGGMHGK69 2020-07-15 2020-07-15 N/A 5109168.00 5764214.43 Equities ZILLOW GROUP INC SR GLBL COCO 26 2549002XEELQDIR6FU05 2026-09-01 2026-09-01 1.375 - 1.375 7677507.00 7963692.47 Equities IQIYI INC SR COCO 25 222100XL8T2Q5B8MS302 2025-04-01 2025-04-01 2 - 2 15435000.00 13997452.70 Equities YY INC SR COCO 25 549300N6CHVU5CQZPW24 2025-06-15 2025-06-15 0.75 - 0.75 1391907.00 1257584.49 Equities SEA LTD SR COCO 23 529900OM6JLLW44YKI15 2023-07-01 2023-07-01 2.25 - 2.25 1703388.00 3964690.93 Equities Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0075 54000000.00 54000000.00 0.0078 N Y Y N Wells Fargo Securities, LLC Wells Fargo Securities, LLC, 0.75% VYVVCKR63DVZZN70PB21 0000276523 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N MADISON PARK FDG XVI 2015-16 E 20260420 FLT 549300DKUZNKIVGI1M49 2026-04-20 2026-04-20 7.719 - 7.719 2750000.00 1759778.40 Asset-Backed Securities EATON VANCE CLO LTD 2015-1R F-R 20300122 FLT 5493008YP5U5LTXAO749 2030-01-22 2030-01-22 9.789 - 9.789 400000.00 241693.77 Asset-Backed Securities AASET TR 2018-1 C 20380116 6.41300 2038-01-16 2038-01-16 6.413 - 6.413 7638626.00 3218777.59 Asset-Backed Securities NORTHWOODS CAP XI B LTD 5493005SOJ8F7B634862 2031-04-19 2031-04-19 7.619 - 7.619 2000000.00 1266809.95 Asset-Backed Securities GOLD TREE LN MGMT US CLO2017-2 F 20301129 FLT 549300UYD6YMBA6XSE43 2030-11-29 2030-11-29 7.419 - 7.419 5500000.00 2767248.47 Asset-Backed Securities WAVE 2017-1 LLC C 20421115 6.65600 2042-11-15 2042-11-15 6.656 - 6.656 7199000.00 3280257.66 Asset-Backed Securities TREMAN PARK CLO 2015-RR F-RR 20281020 FLT 549300E4DX3Q8L455K94 2028-10-20 2028-10-20 9.229 - 9.229 1500000.00 948788.30 Asset-Backed Securities BLUEMOUNTAIN CLO LTD 2014-2R2 F-R2 20301021 FLT 549300NUS8PQQUZMPR50 2030-10-21 2030-10-21 10.079 - 10.079 1000000.00 572148.31 Asset-Backed Securities TOWD PT MTG TR 2016-3 B4 20560425 FLT 2056-04-25 2056-04-25 4.13 - 4.13 282465.00 185294.66 Asset-Backed Securities TELOS CLO 2014-6 LTD 549300S94NIRW4K03T89 2027-01-17 2027-01-17 6.836 - 6.836 3000000.00 1857996.14 Asset-Backed Securities TABERNA PREF FDG I 2005-1 C-1 20350705 FLT 549300UVUFF52P87TF20 2035-07-05 2035-07-05 3.7 - 3.7 2000000.00 1181566.78 Other Instrument COLLATERALIZED DEBT OBLIGATION Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0075 16000000.00 16000000.00 0.0023 N Y Y N Wells Fargo Securities, LLC Wells Fargo Securities, LLC, 0.80% VYVVCKR63DVZZN70PB21 0000276523 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N SEA LTD SR COCO 23 529900OM6JLLW44YKI15 2023-07-01 2023-07-01 2.25 - 2.25 12528846.00 29161296.25 Equities Y N/A N/A 2020-04-06 2020-04-06 2020-04-06 N N N 0.0080 27000000.00 27000000.00 0.0039 N N Y N Bank Of America, N.A. In a joint trading account with Bank Of America, N.A. at 0.02%, dated 3/31/2020 due 04/01/2020 B4TYDEB6GKMZO031MB27 FIG788000_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 2046-10-20 3 - 5.25 147137030.40 41999574.95 Agency Collateralized Mortgage Obligation Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0002 41073000.00 41073000.00 0.0059 N Y Y N BNP Paribas, S.A. In a joint trading account with BNP Paribas, S.A. at 0.02%, dated 3/31/2020 due 04/01/2020 R0MUWSFPU8MPRO8K5P83 FIG788000_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 2020-04-02 2049-11-15 0 - 8.75 3306805.36 3844620.42 U.S. Treasuries (including strips) FEDERAL FARM CREDIT 2020-10-13 2037-10-26 1.68 - 3.43 62.98 63.96 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2028-03-15 2049-04-01 0 - 6.5 10594.52 129.50 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2030-05-20 2048-08-20 3 - 8 25117.90 17733.29 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2020-10-25 2049-10-25 3 - 8 14042.21 4195.60 Agency Mortgage-Backed Securities Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0002 3777000.00 3777000.00 0.0005 N Y Y N Citibank NA In a joint trading account with Citibank NA at 0.02%, dated 3/31/2020 due 04/01/2020 E57ODZWZ7FF32TWEFA76 FIG788000_00276 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL FARM CREDIT 2020-09-01 2030-03-11 0.46 - 3.5 325606.17 326478.47 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2022-01-13 2046-04-01 0 - 8 37519.57 13065.60 Agency Debentures and Agency Strips GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2020-04-15 2049-09-15 2.5 - 10.5 1774473.35 35843.34 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2028-09-01 2028-09-01 2 - 2 178.91 68.84 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2020-11-30 2050-03-01 1.25 - 7.5 565170.21 477254.08 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-07-01 2049-12-01 3 - 4 125.77 123.48 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2036-10-01 2036-10-01 5 - 5 13717.83 86.78 Agency Mortgage-Backed Securities RESOLUTION FUNDING CORP 2020-10-15 2030-01-15 0 - 0 112486.16 96650.41 Agency Debentures and Agency Strips US TREASURY 254900HROIFWPRGM1V77 2020-04-07 2050-02-15 0 - 8.125 8507061.95 9184918.46 U.S. Treasuries (including strips) FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2031-06-01 2031-06-01 3.26 - 3.26 6.50 7.48 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-02-01 2050-03-01 3 - 3.5 4981.41 5285.99 Agency Mortgage-Backed Securities FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 2021-01-08 2036-03-14 1.125 - 5.625 51206.30 59783.91 Agency Debentures and Agency Strips TENNESEE VALLEY AUTHORITY 549300HE1ISW43LNKM54 2021-03-15 2065-09-15 0 - 4.875 23956.16 25402.67 Agency Debentures and Agency Strips FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2028-07-01 2028-07-01 3.63 - 3.63 5.99 6.69 Agency Mortgage-Backed Securities Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0002 10018000.00 10018000.00 0.0014 N Y Y N Deutsche Bank AG, New York Deutsche Bank AG, New York, 0.02% 7LTWFZYICNSX8D621K86 FIG558000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2049-10-01 2049-10-01 3 - 3 9053514.00 9180005.59 Agency Mortgage-Backed Securities Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0002 9000000.00 9000000.00 0.0013 N Y Y N Jp Morgan Secs Llc In a joint trading account with Jp Morgan Secs Llc at 0.02%, dated 3/31/2020 due 04/01/2020 ZBUT11V806EZRVTWT807 FIG788000_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 2049-08-01 2049-09-01 3 - 4 176227.62 184173.99 Agency Mortgage-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2020-10-31 2039-05-15 0.375 - 5.375 46643172.34 48327095.34 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2049-06-01 2049-07-01 3.5 - 4.5 1616293.56 1539275.95 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-04-01 2049-04-01 3.5 - 3.5 31793.23 30273.93 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-08-01 2049-09-01 4.5 - 5.5 126095.93 131349.80 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-01-01 2050-01-01 3 - 3 1000307.34 1053692.37 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-02-01 2050-03-01 2.5 - 4.5 2017334.63 2123066.70 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2034-12-01 2035-02-01 4 - 4.5 25731.77 27323.63 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-12-01 2050-01-01 3 - 4 1313089.30 1382137.68 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-07-01 2049-11-01 3 - 4.5 2647398.15 2674643.48 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2037-11-01 2048-11-01 2.624 - 4.5 878203.00 535636.34 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-01-02 2050-03-01 2.5 - 3.5 3115938.13 3272656.78 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-03-01 2050-03-01 2.5 - 2.5 165392.40 172935.17 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2021-04-01 2051-06-01 2.5 - 7.5 44133452.65 35914972.65 Agency Mortgage-Backed Securities Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0002 95460000.00 95460000.00 0.0138 N Y Y N Mizuho Securities USA, Inc. In a joint trading account with Mizuho Securities USA, Inc. at 0.02%, dated 3/31/2020 due 04/01/2020 7TK5RJIZDFROZCA6XF66 FIG788000_08126 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL HOME LOAN MORTGAGE CORP 2035-03-01 2035-03-01 3 - 3.5 78791.33 83064.80 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2031-08-01 2031-08-01 2.6 - 2.6 67768.03 71939.05 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2035-03-01 2035-03-01 3.5 - 3.5 15388.01 16377.40 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2026-11-01 2026-11-01 3.354 - 3.354 4808.49 5158.95 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-03-01 2050-03-01 3 - 3 1094510.30 1150545.46 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2031-06-01 2031-06-01 4.04 - 4.04 9717.16 11535.25 Agency Mortgage-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2020-04-30 2050-02-15 0.033 - 8.125 6767416.98 8610399.54 U.S. Treasuries (including strips) FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2029-06-01 2031-07-01 2.98 - 3.225 259989.17 297917.14 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2048-10-01 2048-10-01 4.59 - 4.59 7913.98 9748.34 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-02-25 2050-02-25 3 - 3 96600.61 105682.22 Agency Debentures and Agency Strips FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2039-02-01 2039-02-01 4.27 - 4.27 12522.12 14617.02 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-02-01 2050-02-01 3 - 3 2193321.16 2306751.12 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2033-08-01 2033-08-01 3.76 - 3.76 30053.08 36239.33 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-12-01 2050-01-01 3 - 3 307755.01 324342.90 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2029-06-01 2033-03-01 2.31 - 2.365 120773.30 128130.44 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2030-01-01 2030-01-01 2.55 - 2.73 143653.71 156070.43 Agency Mortgage-Backed Securities Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0002 13023000.00 13023000.00 0.0019 N Y Y N Nomura Securities Internationa In a joint trading account with Nomura Securities Internationa at 0.02%, dated 3/31/2020 due 04/01/2020 OXTKY6Q8X53C9ILVV871 FIG788000_07426 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL FARM CREDIT 2023-02-10 2023-02-10 1.6 - 1.6 25550.65 25787.83 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2035-03-01 2035-03-01 2.5 - 2.5 639.96 669.43 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-07-01 2049-09-01 4.5 - 5 84085.99 73519.58 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2020-11-01 2049-05-01 0 - 9 2682114.77 242285.83 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-12-01 2050-03-01 3 - 4 392637.15 413132.67 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2023-08-15 2070-02-20 2.378 - 7.5 3849009.23 3088272.13 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-02-01 2049-03-01 3.5 - 4.5 32904.89 28933.18 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-05-01 2049-05-01 3.5 - 3.5 611356.10 470096.82 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-01-01 2049-01-01 4 - 4 59969.64 40239.07 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2039-04-01 2039-04-01 5 - 5 615046.01 14353.25 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2020-05-01 2057-02-01 1.25 - 8.5 10573405.02 7833530.12 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-02-01 2048-02-01 3.5 - 3.5 94.37 84.26 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-11-01 2050-01-01 3 - 4.5 54052.58 55986.87 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2031-05-01 2031-05-01 3.49 - 3.49 1085.25 1233.87 Agency Mortgage-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2020-04-15 2047-08-15 0 - 6.875 29325066.20 33074217.28 U.S. Treasuries (including strips) FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2031-07-01 2031-07-01 3.02 - 3.25 19331.67 21722.71 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2026-06-01 2026-06-01 6 - 6 124269.60 2996.20 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2026-02-01 2031-01-01 3.575 - 3.94 69841.65 79530.15 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-02-01 2050-02-01 4.5 - 4.5 11303.05 12521.01 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-12-01 2050-01-01 3 - 3.5 80435.22 84285.73 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2034-06-01 2034-06-01 4.5 - 4.5 20967.74 17122.15 Agency Mortgage-Backed Securities FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 2021-11-29 2024-02-13 1.875 - 2.5 2736.73 2904.61 Agency Debentures and Agency Strips FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2032-02-01 2032-02-01 2.55 - 2.55 81924.69 89576.86 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-05-01 2049-05-01 4.5 - 4.5 11474.28 12515.34 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2033-08-01 2033-08-01 3.74 - 3.74 58861.27 65855.56 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2029-10-01 2032-01-01 2.6 - 2.6 65739.20 72008.30 Agency Mortgage-Backed Securities Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0002 44919000.00 44919000.00 0.0065 N Y Y N Societe Generale (PARIS) In a joint trading account with Societe Generale (PARIS) at 0.02%, dated 3/31/2020 due 04/01/2020 O2RNE8IBXP4R0TD8PU41 FIG788000_14519 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-04-15 2049-02-15 0 - 7.5 19792833.75 23618241.93 U.S. Treasuries (including strips) Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0002 23064000.00 23064000.00 0.0033 N Y Y N Sumitomo Mitsui Bk Corp (REPO) In a joint trading account with Sumitomo Mitsui Bk Corp (REPO) at 0.02%, dated 3/31/2020 due 04/01/2020 5U0XI89JRFVHWIBS4F54 FIG788000_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 1531841.69 1601404.26 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2049-05-01 2050-04-01 2.5 - 3.5 20127458.92 19418767.42 Agency Mortgage-Backed Securities Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0002 20608000.00 20608000.00 0.0030 N Y Y N Wells Fargo Securities LLC In a joint trading account with Wells Fargo Securities LLC at 0.02%, dated 3/31/2020 due 04/01/2020 VYVVCKR63DVZZN70PB21 FIG788000_08395 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL HOME LOAN MORTGAGE CORP 2035-04-01 2035-04-01 2.5 - 2.5 60028.55 62792.88 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-10-01 2049-10-01 5 - 5 42382.89 46628.31 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-07-01 2049-07-01 4.5 - 4.5 31180.28 32609.39 Agency Mortgage-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2020-11-30 2048-11-15 0.115 - 6.25 23418472.35 29014299.88 U.S. Treasuries (including strips) FEDERAL FARM CREDIT 2020-06-08 2020-06-08 4.55 - 4.55 36.78 37.60 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2045-01-01 2045-01-01 2.5 - 2.5 761.17 796.01 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2020-10-25 2049-10-25 1.67 - 5.515 338687.92 288063.69 Agency Collateralized Mortgage Obligation FEDERAL HOME LOAN MORTGAGE CORP 2050-03-01 2050-03-01 2.5 - 4 482437.11 525492.79 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2023-10-15 2050-03-20 1.5 - 8.5 13171198.83 13412268.62 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-12-01 2049-12-01 3 - 3 421920.55 440931.02 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-03-01 2050-03-01 2.5 - 4 481874.18 505969.15 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC 2024-09-06 2036-03-25 1.757 - 2.625 7138.80 1039.53 Agency Collateralized Mortgage Obligation FEDERAL HOME LOAN MORTGAGE CORP 2050-01-01 2050-03-01 2.5 - 3.5 3096478.61 3232098.51 Agency Mortgage-Backed Securities Y N/A N/A 2020-04-01 2020-04-01 2020-04-01 N N N 0.0002 46583000.00 46583000.00 0.0067 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 0.39% 912828YN4 254900HROIFWPRGM1V77 US912828YN43 U.S. Treasury Debt Y N/A N/A 2020-04-01 2021-10-31 2021-10-31 N N N 0.0021 155434647.90 155434647.90 0.0225 N Y Y N Toyota Motor Credit Corp. Toyota Motor Credit Corp., 0.93% Z2VZBHUMB7PWWJ63I008 0000834071 Other Instrument Master Notes Y N/A N/A 2020-04-01 2020-04-07 2020-11-20 Y TOYOTA MOTOR CREDIT CORP 1.0000 7 N N/A N/A N N 0.0093 29000000.00 29000000.00 0.0042 N N Y N Credit AG CIB Paris Credit AG CIB Paris, 0.80% 1VUV7VQFKUOQSJ21A208 FIG739000 Other Instrument Forward Settling Repurchase Agreements Y N/A N/A 2020-04-07 2020-04-07 2020-04-07 N N N 0.0080 11000000.00 11000000.00 0.0016 N N Y N 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 Fidelity Colchester Street Trust: Prime Reserves Portfolio 2020-04-03 Laura M. Del Prato Laura M. Del Prato President and Treasurer