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478.19 0.00 0.00 0.00 0.00 0.00 3.67 75030.74 0.00 0.00 481.86 75030.74 0.0001 Y Fidelity Investments, Reimbursement and Distribution Fees, -160.63; C000170009 1000000.00 10349656.28 10341758.22 1.0009 1.0009 1.0009 1.0008 1.0008 3104.28 349150.04 0.00 0.00 0.00 647575.19 0.00 73759.50 0.00 73283.80 3104.28 1143768.53 0.0011 Y Fidelity Investments, Reimbursement Fees, -539.28; C000170010 10000000.00 4322347645.51 4318959465.71 1.0009 1.0009 1.0009 1.0008 1.0008 488628091.03 76986593.69 126530817.78 99123203.79 264726861.03 96483082.05 61382085.74 79178422.98 59922279.71 70987034.27 811765778.35 362152945.65 0.0020 Y Fidelity Investments, Reimbursement Fees, -263434.17; U.S. Treasury Bills U.S. Treasury Bills, 0.09% to 0.27% 9127962W8 US9127962W81 U.S. Treasury Debt Y N/A N/A 2020-06-23 2020-06-23 2020-06-23 N N N 0.0011 278478937.05 278478937.05 0.0344 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.10% 9127962P3 US9127962P31 U.S. Treasury Debt Y N/A N/A 2020-06-02 2020-06-02 2020-06-02 N N N 0.0002 144199649.59 144199649.59 0.0178 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.10% to 0.13% 9127962X6 US9127962X64 U.S. Treasury Debt Y N/A N/A 2020-06-30 2020-06-30 2020-06-30 N N N 0.0012 229976376.70 229976376.70 0.0284 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.11% to 0.12% 912796TX7 US912796TX79 U.S. Treasury Debt Y N/A N/A 2020-06-04 2020-06-04 2020-06-04 N N N 0.0005 70999408.57 70999408.57 0.0088 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.11% 912796UA5 US912796UA57 U.S. Treasury Debt Y N/A N/A 2020-06-25 2020-06-25 2020-06-25 N N N 0.0011 159986932.80 159986932.80 0.0198 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.11% 912796UB3 US912796UB31 U.S. Treasury Debt Y N/A N/A 2020-07-02 2020-07-02 2020-07-02 N N N 0.0012 159981400.00 159981400.00 0.0198 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.11% 9127963C1 US9127963C19 U.S. Treasury Debt Y N/A N/A 2020-07-07 2020-07-07 2020-07-07 N N N 0.0012 74990437.50 74990437.50 0.0093 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Bills, 0.12% to 0.13% 912796WY1 US912796WY16 U.S. Treasury Debt Y N/A N/A 2020-07-30 2020-07-30 2020-07-30 N N N 0.0014 144966136.70 144966136.70 0.0179 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.13% to 0.22% 912796TD1 254900HROIFWPRGM1V77 US912796TD16 U.S. Treasury Debt Y N/A N/A 2020-08-13 2020-08-13 2020-08-13 N N N 0.0013 147059359.21 147059359.21 0.0182 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.13% 912796XF1 US912796XF18 U.S. Treasury Debt Y N/A N/A 2020-08-20 2020-08-20 2020-08-20 N N N 0.0015 79972666.40 79972666.40 0.0099 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.14% to 0.15% 9127962V0 US9127962V09 U.S. Treasury Debt Y N/A N/A 2020-06-16 2020-06-16 2020-06-16 N N N 0.0011 142439131.81 142439131.81 0.0176 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.14% 9127963G2 US9127963G23 U.S. Treasury Debt Y N/A N/A 2020-07-28 2020-07-28 2020-07-28 N N N 0.0013 79982741.60 79982741.60 0.0099 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.14% 9127964A4 US9127964A44 U.S. Treasury Debt Y N/A N/A 2020-09-29 2020-09-29 2020-09-29 N N N 0.0020 69953333.10 69953333.10 0.0086 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.15% 9127963X5 US9127963X55 U.S. Treasury Debt Y N/A N/A 2020-09-08 2020-09-08 2020-09-08 N N N 0.0016 74965968.75 74965968.75 0.0093 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.18% 912796WZ8 US912796WZ80 U.S. Treasury Debt Y N/A N/A 2020-08-06 2020-08-06 2020-08-06 N N N 0.0014 74980406.25 74980406.25 0.0093 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.25% 9127963Y3 US9127963Y39 U.S. Treasury Debt Y N/A N/A 2020-09-15 2020-09-15 2020-09-15 N N N 0.0014 69970114.20 69970114.20 0.0086 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.29% 9127962U2 US9127962U26 U.S. Treasury Debt Y N/A N/A 2020-06-09 2020-06-09 2020-06-09 N N N 0.0008 69998327.70 69998327.70 0.0086 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 0.43% 912828YN4 254900HROIFWPRGM1V77 US912828YN43 U.S. Treasury Debt Y N/A N/A 2020-06-01 2021-10-31 2021-10-31 N N N 0.0020 155508274.45 155508274.45 0.0192 N Y Y N Bank of Montreal Bank of Montreal, 1.25% 06367BMC0 NQQ6HPCNCCU6TUTQYE16 0000927971 Certificate of Deposit Y N/A N/A 2020-10-06 2020-10-06 2020-10-06 N N N 0.0022 103374806.70 103374806.70 0.0128 N N N N Bank of Nova Scotia Bank of Nova Scotia, 1.25% 06417MJJ5 L3I9ZG2KFGXZ61BMYR72 0000009631 Certificate of Deposit Y N/A N/A 2020-11-10 2020-11-10 2020-11-10 N N N 0.0094 151208485.70 151208485.70 0.0187 N N N N Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce, 1.25% 13606CAU8 2IGI19DL77OX0HC3ZE78 0001045520 Certificate of Deposit Y N/A N/A 2020-09-08 2020-09-08 2020-09-08 N N N 0.0016 61184787.30 61184787.30 0.0076 N N N N Landesbank Baden-Wuerttemberg New York Branch Landesbank Baden-Wuerttemberg New York Branch, 0.10% 51501GWV9 B81CK4ESI35472RHJ606 0000878519 Certificate of Deposit Y N/A N/A 2020-06-01 2020-06-01 2020-06-01 N N N 0.0008 103000175.10 103000175.10 0.0127 N Y Y N Landesbank 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Sumitomo Mitsui Banking Corp., 0.39% 86565B6B2 5U0XI89JRFVHWIBS4F54 0001184915 Certificate of Deposit Y N/A N/A 2020-06-05 2020-06-05 2020-06-05 N N N 0.0011 29001577.60 29001577.60 0.0036 N N Y N Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.42% 86565B6A4 5U0XI89JRFVHWIBS4F54 0001184915 Certificate of Deposit Y N/A N/A 2020-06-04 2020-06-04 2020-06-04 N N N 0.0013 28601361.36 28601361.36 0.0035 N N Y N Svenska Handelsbanken, Inc. 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Citigroup Global Markets, Inc., 0.78% MBNUM2BPBDO7JBLYG310 0000315030 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N JPMBB COML MTG SEC 2014-C22 D 20470917 FLT 2047-09-17 2047-09-17 4.554 - 4.554 755519.00 261051.43 Private Label Collateralized Mortgage Obligations GS MTG SECS TR 2013-GCJ14 D 20460810 FLT 549300ITVQSU1IHX4H03 2046-08-10 2046-08-10 4.745 - 4.745 17433.00 12430.38 Private Label Collateralized Mortgage Obligations CFCRE COML MTG TR 2016-C3 D 20480110 3.05200 2048-01-10 2048-01-10 3.052 - 3.052 9166677.00 5847292.89 Private Label Collateralized Mortgage Obligations BX TRUST 2019-OC11 D 20411211 FLT 2041-12-11 2041-12-11 4.075 - 4.075 1.00 0.90 Private Label Collateralized Mortgage Obligations MS BOFA ML TRUST 2012-C6 E 20451117 FLT 2045-11-17 2045-11-17 4.607 - 4.607 2.00 1.10 Private Label Collateralized Mortgage Obligations COMM MTG TR 2014-UBS6 D 20471212 FLT 2047-12-12 2047-12-12 3.947 - 3.947 4902968.00 2046521.96 Private Label Collateralized Mortgage Obligations MS BOFAML TRUST 2013-C7 D 20460216 FLT 2046-02-16 2046-02-16 4.238 - 4.238 40.00 28.22 Private Label Collateralized Mortgage Obligations MS BOFA ML TRUST 2013-C10 D 20460717 FLT 549300P1YQ48837ZOI22 2046-07-17 2046-07-17 4.082 - 4.082 887.00 592.55 Private Label Collateralized Mortgage Obligations COMM MTG TR 2014-CCRE21 D 20471212 FLT 2047-12-12 2047-12-12 3.926 - 3.926 9257649.00 5482081.06 Private Label Collateralized Mortgage Obligations CWALT INC 2006-5T2 A-1 20360425 FLT 2036-04-25 2036-04-25 0.668 - 0.668 169581.00 7087.26 Private Label Collateralized Mortgage Obligations Y N/A N/A 2020-07-03 2020-07-03 2020-08-31 Y CITIGROUP INC 1.0000 35 N N/A N/A Y CITIGROUP INC 1.0000 N/A N/A N 0.0078 13000000.00 13000000.00 0.0016 N N N Y Credit Suisse Securities (U.S.A.) 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LLC, 1.66% 1V8Y6QCX6YMJ2OELII46 0000318336 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N CSMC TRUST 2014-SAF1 A-X-12 20440325 FLT 2044-03-25 2044-03-25 0.101 - 0.5 209728000.00 2557.11 Private Label Collateralized Mortgage Obligations MSSG TR 2017-237P C 20390913 FLT 2039-09-13 2039-09-13 3.865 - 3.865 2278040.00 2176475.76 Private Label Collateralized Mortgage Obligations CSMC TRUST 2017-LSTK XA-CP 20330407 FLT 2033-04-07 2033-04-07 0.205 - 0.57 7373998.00 2783.93 Private Label Collateralized Mortgage Obligations CHASE MORTGAGE FIN TR 2005-S1 2-A3 20350525 FLT 2035-05-25 2035-05-25 6.582 - 6.582 18141989.00 184.67 Private Label Collateralized Mortgage Obligations CSMC TRUST 2013-IVR4 A-X-16 20430725 FLT 2043-07-25 2043-07-25 0.5 - 0.5 5146991.00 3824.28 Private Label Collateralized Mortgage Obligations US TREASURY 254900HROIFWPRGM1V77 2022-07-15 2047-02-15 0.125 - 0.875 1800.00 2064.46 U.S. Treasuries (including strips) NP SPE X LP 2019-2 B-1 20491119 5.07800 549300M4DFCB4G0UM882 2049-11-19 2049-11-19 5.078 - 5.078 6863998.00 6580374.55 Asset-Backed Securities CSMC TRUST 2013-IVR1 A5X1 20430325 FLT 2043-03-25 2043-03-25 0.5 - 0.5 9760807.00 4336.32 Private Label Collateralized Mortgage Obligations CSMC TRUST 2017-CHOP X-CP 20320715 FLT 2032-07-15 2032-07-15 N/A 54499998.00 1526.00 Private Label Collateralized Mortgage Obligations FEDERAL NATIONAL MORTGAGE ASSOC 2037-06-25 2037-06-25 0.01 - 0.01 129330090.00 1145.46 Agency Collateralized Mortgage Obligation SCF EQUIP LEASING LLC 2019-2 C 20270620 3.11000 2027-06-20 2027-06-20 3.11 - 3.11 5000000.00 4364937.50 Asset-Backed Securities MS BOFAML TRUST 2013-C7 D 20460216 FLT 2046-02-16 2046-02-16 4.238 - 4.238 5284770.00 3728859.01 Private Label Collateralized Mortgage Obligations FEDERAL FARM CREDIT 2038-01-25 2038-01-25 3.54 - 3.54 1000.00 1024.39 Agency Debentures and Agency Strips CSMC TRUST 2015-WIN1 A-X-2 20441225 FLT 2044-12-25 2044-12-25 0.5 - 0.5 64590379.00 253.37 Private Label Collateralized Mortgage Obligations NEW RESI MTG LN TR 2016-2 B1-IO 20351125 FLT 2035-11-25 2035-11-25 1.118 - 1.118 1762.00 55.39 Private Label Collateralized Mortgage Obligations Y N/A N/A 2020-07-30 2020-07-30 2020-07-30 Y CREDIT SUISSE AG 1.0000 62 N N/A N/A Y CREDIT SUISSE AG 1.0000 N/A N/A N 0.0069 16026369.60 16026369.60 0.0020 N N N Y Deutsche Bank AG Deutsche Bank AG, 0.55% 7LTWFZYICNSX8D621K86 GBA727000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N SANTA CLARA CNTY CALIF FING AU BDS 2018 549300A73O1Q5POHAT69 2043-04-01 2043-04-01 4 - 4 9157559.00 10475372.44 Other Instrument MUNICIPAL DEBT MEMPHIS TENN GEN IMPT BDS 2018 549300J2762HBWE6MQ22 2045-06-01 2045-06-01 4 - 4 5788042.00 6522589.55 Other Instrument MUNICIPAL DEBT DEUTSCHE BK SPEARS/LIFERS SER CTFS DB-8 2048-07-01 2048-07-01 0.31 - 0.31 14485000.00 14503482.38 Other Instrument MUNICIPAL DEBT Y N/A N/A 2020-06-01 2020-06-01 2020-06-01 N N N 0.0055 30000000.00 30000000.00 0.0037 N Y Y N HSBC Securities, Inc. HSBC Securities, Inc., 0.30% CYYGQCGNHMHPSMRL3R97 0000853784 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N T MOBILE USA INC SR SEC GLBL 30 549300V2JRLO5DIFGE82 2030-04-15 2030-04-15 3.875 - 3.875 10512400.00 11386841.87 Corporate Debt Securities DELL INTL LLC/EMC CORP CR SEN SR SEC 27 2027-07-15 2027-07-15 6.1 - 6.1 900000.00 1009577.00 Corporate Debt Securities JPMORGAN CHASE & CO SR NT 2.7%23 8I5DZWZKVSZI1NUHU748 2023-05-18 2023-05-18 2.7 - 2.7 755000.00 790511.42 Corporate Debt Securities BANK AMER CORP FR 2.738%012322 9DJT3UXIJIZJI4WXO774 2022-01-23 2022-01-23 2.738 - 2.738 192000.00 195850.18 Corporate Debt Securities VERIZON COMMUNICATIONS INC SR GLBL NT 4%50 2S72QS2UO2OESLG6Y829 2050-03-22 2050-03-22 4 - 4 29998.00 37072.93 Corporate Debt Securities GENERAL MTRS FINL CO INC SR GLBL NT 26 5493008B6JBRUJ90QL97 2026-03-01 2026-03-01 5.25 - 5.25 3000000.00 3153760.00 Corporate Debt Securities DISNEY WALT CO SR GLBL NT3.5%40 549300GZKULIZ0WOW665 2040-05-13 2040-05-13 3.5 - 3.5 5765300.00 6260628.95 Corporate Debt Securities CONSOLIDATED EDISON CO N Y INC SR -2008 B DB 38 VZFZPMWDHTQCFKYOBP05 2038-04-01 2038-04-01 6.75 - 6.75 400000.00 586122.00 Corporate Debt Securities NXP B V / NXP FDG LLC / NXP US SR GLBL 144A 27 2027-05-01 2027-05-01 3.15 - 3.15 3000000.00 3066810.00 Corporate Debt Securities MONDELEZ INTL INC SR GLBL NT 30 549300DV9GIB88LZ5P30 2030-04-13 2030-04-13 2.75 - 2.75 6703100.00 7062613.32 Corporate Debt Securities AMERICAN INTL GROUP INC SR GLBL NT3.9%26 ODVCVCQG2BP6VHV36M30 2026-04-01 2026-04-01 3.9 - 3.9 46000.00 51052.79 Corporate Debt Securities Y N/A N/A 2020-06-01 2020-06-01 2020-06-01 N N N 0.0030 32000000.00 32000000.00 0.0040 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 EUROPEAN INVT BK GLBL NT 1.375%21 5493006YXS1U5GIHE750 2021-09-15 2021-09-15 1.375 - 1.375 4000.00 4065.27 Corporate Debt Securities PERNOD RICARD SA SR GLBL REGS 22 52990097YFPX9J0H5D87 2022-01-15 2022-01-15 4.45 - 4.45 151000.00 161896.75 Corporate Debt Securities BOC AVIATION PTE LTD FR 3.5%101024 254900H06V5RMEB3KE72 2024-10-10 2024-10-10 3.5 - 3.5 477166.00 492055.43 Corporate Debt Securities WISCONSIN PUB SVC CORP 3.35% SNR 21 549300BJRHJVYNUMQZ30 2021-11-21 2021-11-21 3.35 - 3.35 5000.00 5198.77 Corporate Debt Securities JP MORGAN CHASE BANK NA SR GLBL NT 31 8I5DZWZKVSZI1NUHU748 2031-03-24 2031-03-24 4.493 - 4.493 2794.00 3322.52 Corporate Debt Securities HUTCHISON WHAMPOA INTL LTD GTD SR REG S 22 254900NSPYVQR5EXP064 2022-01-13 2022-01-13 4.625 - 4.625 205000.00 217966.71 Corporate Debt Securities OTIS WORLDWIDE CORP SR GLBL 144A 27 549300ZLBKR8VSU25153 2027-04-05 2027-04-05 2.293 - 2.293 2300.00 2344.44 Corporate Debt Securities PROCTER AND GAMBLE CO SR GLBL NT3.6%50 2572IBTT8CCZW6AU4141 2050-03-25 2050-03-25 3.6 - 3.6 2552.00 3179.05 Corporate Debt Securities MASTERCARD INCORPORATED SR GLBL NT3.3%27 AR5L2ODV9HN37376R084 2027-03-26 2027-03-26 3.3 - 3.3 2704.00 3078.33 Corporate Debt Securities ESSENTIAL UTILS INC SR GLBL NT 50 549300ILTEOF3E3QY357 2050-04-15 2050-04-15 3.351 - 3.351 20.00 20.22 Corporate Debt Securities MOODYS CORP SR GLBL NT 23 549300GCEDD8YCF5WU84 2023-01-15 2023-01-15 2.625 - 2.625 6.00 6.33 Corporate Debt Securities SINOPEC GRP OVSEAS DEV 2012 SR GLBL REGS 22 2022-05-17 2022-05-17 3.9 - 3.9 200000.00 209178.00 Corporate Debt Securities NIKE INC SR GLBL NT 50 787RXPR0UX0O0XUXPZ81 2050-03-27 2050-03-27 3.375 - 3.375 703684.00 806486.95 Corporate Debt Securities AT&T BROADBAND CORP SR GLBL NT 22 2022-11-15 2022-11-15 9.455 - 9.455 2000.00 2437.03 Corporate Debt Securities CONSOLIDATED EDISON CO N Y INC SR GLBL 2020 B50 VZFZPMWDHTQCFKYOBP05 2050-04-01 2050-04-01 3.95 - 3.95 161518.00 188797.36 Corporate Debt Securities PEPSICO INC SR GLBL NT 50 FJSUNZKFNQ5YPJ5OT455 2050-03-19 2050-03-19 3.625 - 3.625 2.00 2.40 Corporate Debt Securities NEW ENGLAND POWER CO 3.8%47 549300DTVRGN9GYD5U85 2047-12-05 2047-12-05 3.8 - 3.8 8.00 8.79 Corporate Debt Securities Y N/A N/A 2020-06-01 2020-06-01 2020-06-01 N N N 0.0025 2000000.00 2000000.00 0.0002 N Y Y N J.P. Morgan Securities, LLC J.P. Morgan Securities, LLC, 0.40% ZBUT11V806EZRVTWT807 0001287279 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N PGIM ETF TR ULTRA SHORT 549300GB8HES91GNEF23 2500-12-31 2500-12-31 N/A 173423.00 8606983.49 Equities BP PLC SPONSORED ADR 213800LH1BZH3DI6G760 2500-12-31 2500-12-31 N/A 802.00 18654.52 Equities SANOFI SPONSORED ADR 549300E9PC51EN656011 2500-12-31 2500-12-31 N/A 374387.00 18225159.16 Equities ISHARES GOLD TRUST ISHARES 5493006UOY7GXQW0IP42 2500-12-31 2500-12-31 N/A 774734.00 12721132.28 Equities CHURCHILL CAP CORP II CL A 2500-12-31 2500-12-31 N/A 6.00 62.28 Equities WISDOMTREE TR INTRST RATE HDGE 5493006OMUEEHEDQ6617 2500-12-31 2500-12-31 N/A 26406.00 1232103.96 Equities J P MORGAN EXCHANGE-TRADED FD DIV RTN EM EQT 549300NS45W7QLW1VU64 2500-12-31 2500-12-31 N/A 100.00 4423.00 Equities GOLDMAN SACHS ETF TR HUMAN EVOLUTION 549300B7SPX05BHMJL72 2500-12-31 2500-12-31 N/A 22092.00 1296897.60 Equities ISHARES TR DEVSMCP EXNA ETF 5493005OEWCF4INIR081 2500-12-31 2500-12-31 N/A 61457.00 2805917.67 Equities DBX ETF TR XTRACK CSI 500 A 549300VCRO2M1146OP28 2500-12-31 2500-12-31 N/A 40203.00 1082622.57 Equities FIRST TR EXCHANGE TRADED FD II DJ INTL INTRNT 549300C6JZUPZ0HUP086 2500-12-31 2500-12-31 N/A 31748.00 920612.63 Equities ISHARES INC MSCI EM ASIA ETF 549300QNROXHZ53JWF91 2500-12-31 2500-12-31 N/A 36860.00 2261136.15 Equities GRUPO SIMEC S A B DE C V ADR 529900LCYCXPA0TZEU09 2500-12-31 2500-12-31 N/A 292.00 2168.10 Equities FIRST TR FTSE EPRA / NAREIT DE COM 549300XQG1DXCIO5RA29 2500-12-31 2500-12-31 N/A 44600.00 1670270.00 Equities FRANKLIN TEMPLETON ETF TR FTSE SAUDI ARB 549300RTD7Q8YMBA7Q25 2500-12-31 2500-12-31 N/A 44790.00 1120455.33 Equities KRANESHARES TR CCBS CHINA CP 2500-12-31 2500-12-31 N/A 44754.00 1736007.66 Equities INDEXIQ ETF TR IQ GLB RES ETF 549300K4NW18Y54P3Q31 2500-12-31 2500-12-31 N/A 3.00 74.40 Equities INVESCO EXCH TRD SLF IDX FD TR BULSHS 2027 MUNI 549300TEHRD7BU0W1859 2500-12-31 2500-12-31 N/A 245837.00 5877770.30 Equities INVESCO EXCH TRADED FD TR II GLOBAL WATER 5493002G9L9B405RS216 2500-12-31 2500-12-31 N/A 143368.00 4071851.92 Equities TRANSAMERICA ETF TR DELTASHS S&P 549300CHOYI8JFLKTT86 2500-12-31 2500-12-31 N/A 3665.00 168268.95 Equities WNS HLDGS LTD SPON ADR 529900RM7QHUD3W9DM42 2500-12-31 2500-12-31 N/A 20667.00 996149.40 Equities Y N/A N/A 2020-06-05 2020-06-05 2020-06-10 Y JPMORGAN SECS (NON GOV REPO) 1.0000 7 N N/A N/A N N 0.0040 60000000.00 60000000.00 0.0074 N N Y N J.P. Morgan Securities, LLC J.P. 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2.05 314999.00 324308.62 Corporate Debt Securities ARCHER DANIELS MIDLAND CO SR GLBL NT 25 549300LO13MQ9HYSTR83 2025-03-27 2025-03-27 2.75 - 2.75 290999.00 314114.83 Corporate Debt Securities CITIGROUP INC SR GLBL NT2.7%21 6SHGI4ZSSLCXXQSBB395 2021-03-30 2021-03-30 2.7 - 2.7 2573000.00 2627251.70 Corporate Debt Securities BAT CAP CORP GLBL NT 4.906%30 2138005GYEXN7XRHFA84 2030-04-02 2030-04-02 4.906 - 4.906 1040000.00 1194156.95 Corporate Debt Securities DEUTSCHE BK AG N Y BRH SNR NPF GLBL 21 7LTWFZYICNSX8D621K86 2021-05-12 2021-05-12 3.375 - 3.375 506000.00 508309.26 Corporate Debt Securities VISA INC SR GLBL NT4.3%45 549300JZ4OKEHW3DPJ59 2045-12-14 2045-12-14 4.3 - 4.3 1482000.00 1974614.33 Corporate Debt Securities NATIONAL AUSTRALIA BK N Y BRH SR GLBL NT 22 F8SB4JFBSYQFRQEH3Z21 2022-12-13 2022-12-13 1.875 - 1.875 1597000.00 1648205.14 Corporate Debt Securities JP MORGAN CHASE BANK NA SR GLBL NT 51 8I5DZWZKVSZI1NUHU748 2051-04-22 2051-04-22 3.109 - 3.109 1442391.00 1462303.73 Corporate Debt Securities KINDER MORGAN ENERGY PARTNERS SR NT 3.5%21 549300PDHUGWPWGOT525 2021-03-01 2021-03-01 3.5 - 3.5 284000.00 289721.34 Corporate Debt Securities SOUTHWESTERN PUB SVC CO 1M GLBL -8 BD 50 OL6FE7QD5EQ3DOYEO258 2050-05-01 2050-05-01 3.15 - 3.15 1520000.00 1550829.40 Corporate Debt Securities ANHEUSER-BUSCH INBEV WLDW INC SR GLBL NT3.5%30 549300CRGMZK3K53BF92 2030-06-01 2030-06-01 3.5 - 3.5 449999.00 495689.40 Corporate Debt Securities DAIMLER FINANCE NORTH AMER LLC SR GLBL 144A 21 549300423Z16BB673J12 2021-02-22 2021-02-22 3 - 3 4909000.00 4966598.93 Corporate Debt Securities FLORIDA PWR & LT CO 1MTG BD 4.05%42 A89MY1K3YLIGJMYWVX50 2042-06-01 2042-06-01 4.05 - 4.05 183000.00 227144.18 Corporate Debt Securities DELL INTL LLC/EMC CORP CR SEN SR SEC 25 2025-07-15 2025-07-15 5.85 - 5.85 2774000.00 3103370.89 Corporate Debt Securities BRISTOL-MYERS SQUIBB CO GLBL REGS NT 22 HLYYNH7UQUORYSJQCN42 2022-08-15 2022-08-15 3.25 - 3.25 1.00 1.07 Corporate Debt Securities NEXTERA ENERGY CAP HLDGS INC GLBL DEB 2.75%25 UMI46YPGBLUE4VGNNT48 2025-05-01 2025-05-01 2.75 - 2.75 2325000.00 2485259.02 Corporate Debt Securities MOODYS CORP SR GLBL NT 25 549300GCEDD8YCF5WU84 2025-03-24 2025-03-24 3.75 - 3.75 859993.00 961662.09 Corporate Debt Securities ENTERPRISE PRODS OPER LP SR NT 6.875%33 5493004LGN656HWLDA30 2033-03-01 2033-03-01 6.875 - 6.875 905000.00 1140775.63 Corporate Debt Securities MCDONALDS CORP MED TERM NT BE FR 2.625%011522 UE2136O97NLB5BYP9H04 2022-01-15 2022-01-15 2.625 - 2.625 1087000.00 1135111.53 Corporate Debt Securities SOUTHERN CALIF GAS CO 1M GLBL XX BD 30 XY0N0J73VHV5F4CUJV89 2030-02-01 2030-02-01 2.55 - 2.55 1200000.00 1286660.00 Corporate Debt Securities ENI S P A SR GLBL 144A 23 BUCRF72VH5RBN7X3VL35 2023-09-12 2023-09-12 4 - 4 1.00 1.06 Corporate Debt Securities STARBUCKS CORP SR GLBL NT1.3%22 OQSJ1DU9TAOC51A47K68 2022-05-07 2022-05-07 1.3 - 1.3 3133490.00 3173079.91 Corporate Debt Securities KOREA GAS CORP GLBL MTN 144A FR 3.125%072027 988400TFZILHBD5M3R71 2027-07-20 2027-07-20 3.125 - 3.125 1600400.00 1745104.83 Corporate Debt Securities GENERAL ELEC CAP CORP FR 5.3%021121 3C7474T6CDKPR9K6YT90 2021-02-11 2021-02-11 5.3 - 5.3 373000.00 385846.12 Corporate Debt Securities PEPSICO INC SR GLBL NT 23 FJSUNZKFNQ5YPJ5OT455 2023-05-01 2023-05-01 0.75 - 0.75 4607519.00 4653655.62 Corporate Debt Securities DEERE JOHN CAP CORP MTNS BE FR 2.95%040122 E0KSF7PFQ210NWI8Z391 2022-04-01 2022-09-08 1.479 - 2.95 3480000.00 3615676.95 Corporate Debt Securities ATHENE HOLDING LTD SR GLBL NT 30 549300H316CT32FQXI76 2030-04-03 2030-04-03 6.15 - 6.15 1006000.00 1109503.99 Corporate Debt Securities GOODMAN US FIN FOUR LLC SR GLBL 144A 28 2028-03-15 2028-03-15 3.7 - 3.7 1.00 1.08 Corporate Debt Securities BRISTOL-MYERS SQUIBB CO GLBL 144A NT 20 HLYYNH7UQUORYSJQCN42 2020-08-15 2020-08-15 2.875 - 2.875 1459200.00 1479257.51 Corporate Debt Securities MICRON TECHNOLOGY INC SR GLBL NT 24 B3DXGBC8GAIYWI2Z0172 2024-02-06 2024-02-06 4.64 - 4.64 2599200.00 2886397.16 Corporate Debt Securities SOUTHWESTERN ELEC PWR CO SR GLBL -H NT 40 R64UBJHEC74EB3HGQ410 2040-03-15 2040-03-15 6.2 - 6.2 1104000.00 1493220.11 Corporate Debt Securities BOEING CO CR SEN SR GLBL23 RVHJWBXLJ1RFUBSY1F30 2023-05-01 2023-05-01 4.508 - 4.508 1580000.00 1629123.08 Corporate Debt Securities COMMONWEALTH EDISON CO 1M GLBL 128 BD30 D8YOXB8L2ZDC8P7Q0771 2030-03-01 2030-03-01 2.2 - 2.2 1.00 1.04 Corporate Debt Securities MIZUHO FINL GROUP INC SR GLBL NT 30 353800CI5L6DDAN5XZ33 2030-09-13 2030-09-13 2.869 - 2.869 3238000.00 3380688.23 Corporate Debt Securities SMBC AVIATION CAP FIN SR GLBL 144A 23 549300OD7VKRVNWB2J98 2023-07-15 2023-07-15 4.125 - 4.125 1179990.00 1211229.25 Corporate Debt Securities WASTE MGMT INC DEL 4%39 549300YX8JIID70NFS41 2039-07-15 2039-07-15 4 - 4 2290400.00 2615634.26 Corporate Debt Securities CONSOLIDATED EDISON CO N Y INC SR 2017-B DEB 27 VZFZPMWDHTQCFKYOBP05 2027-11-15 2027-11-15 3.125 - 3.125 506999.00 545959.48 Corporate Debt Securities AMERICAN EXPRESS CO SR GLBL NT 21 R4PP93JZOLY261QX3811 2021-05-17 2021-05-17 3.375 - 3.375 1.00 1.03 Corporate Debt Securities Y N/A N/A 2020-06-05 2020-06-05 2020-06-08 Y JPMORGAN SECS (NON GOV REPO) 1.0000 7 N N/A N/A N N 0.0040 57000000.00 57000000.00 0.0070 N N Y N Mitsubishi UFJ Securities (U.S.A.), Inc. 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RBS Securities, Inc., 0.35% ZE2ZWJ5BTIQJ8M0C6K34 0000808379 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N US TREASURY 254900HROIFWPRGM1V77 2023-03-15 2023-03-15 0.5 - 0.5 15158100.00 15300465.20 U.S. Treasuries (including strips) Y N/A N/A 2020-06-01 2020-06-01 2020-06-01 N N N 0.0035 15000000.00 15000000.00 0.0019 N Y Y N Societe Generale Societe Generale, 0.25% O2RNE8IBXP4R0TD8PU41 GBA736000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N TEACHERS INS & ANNUITY ASSN AM SR SURP 144A 47 O06XD7BJ4EPXNABVFN69 2047-05-15 2047-05-15 4.27 - 4.27 5000.00 5860.95 Corporate Debt Securities BARCLAYS BK PLC GLBL MTN 144A ZERO 20 G5GSEF7VJP5I7OUK5573 2020-11-16 2020-11-16 0.65 - 0.65 10382295.00 10490664.82 Corporate Debt Securities PPL CAP FDG INC SR GLBL NT 30 549300MROK5WY0D2NU17 2030-04-15 2030-04-15 4.125 - 4.125 936051.00 1058558.23 Corporate Debt Securities BOEING CO 3.625%48 RVHJWBXLJ1RFUBSY1F30 2048-03-01 2048-03-01 3.625 - 3.625 164000.00 134734.38 Corporate Debt Securities RAYTHEON TECHNOLOGIES CORP SR GLBL NT 30 I07WOS4YJ0N7YRFE7309 2030-07-01 2030-07-01 2.25 - 2.25 630.00 643.66 Corporate Debt Securities STEELCASE INC SR GLBL NT 29 GIE4CCPBJDI8SMV1OX95 2029-01-18 2029-01-18 5.125 - 5.125 840025.00 904286.33 Corporate Debt Securities POWER FIN LTD 6.15%28 3358003Q6D9LIJJZ1614 2028-12-06 2028-12-06 6.15 - 6.15 236.00 261.84 Corporate Debt Securities ARROW ELECTRS INC SR NT 3.25%24 549300YNNLBXT8N8R512 2024-09-08 2024-09-08 3.25 - 3.25 5000.00 5248.76 Corporate Debt Securities JP MORGAN CHASE BANK NA SR GLBL NT 24 8I5DZWZKVSZI1NUHU748 2024-12-05 2024-12-05 4.023 - 4.023 4.00 4.43 Corporate Debt Securities Y N/A N/A 2020-06-01 2020-06-01 2020-06-01 N N N 0.0025 12000000.00 12000000.00 0.0015 N Y Y N Societe Generale Societe Generale, 0.35% O2RNE8IBXP4R0TD8PU41 GBA737000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N 51-100 2021-02-15 2099-12-29 0 - 13 61644426.00 55943834.65 Corporate Debt Securities Y N/A N/A 2020-06-01 2020-06-01 2020-06-01 N N N 0.0035 52000000.00 52000000.00 0.0064 N Y Y N Societe Generale Societe Generale, 0.37% O2RNE8IBXP4R0TD8PU41 GAI820000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N ALBERTSONS COS INC / SAFEWAY I SR GLBL 144A 30 2030-02-15 2030-02-15 4.875 - 4.875 1151749.00 1215599.09 Corporate Debt Securities TEVA PHARMACEUTICAL FIN NETH SR GLBL NT2.8%23 5493004T21MOAFINJP35 2023-07-21 2023-07-21 2.8 - 2.8 239000.00 228186.58 Corporate Debt Securities MGIC INVT CORP WIS SR GLBL NT 23 254900S8483WM4M98R28 2023-08-15 2023-08-15 5.75 - 5.75 246000.00 254826.75 Corporate Debt Securities DAKOTA MERGER SUB INC SR 144A NT 24 5493008MIJR7VMQP7U77 2024-09-01 2024-09-01 10.75 - 10.75 542000.00 362591.38 Corporate Debt Securities BHARTI AIRTEL INTERNATIONAL SR GLBL REGS 23 724500ULW6PWKDAI7I46 2023-03-11 2023-03-11 5.125 - 5.125 550000.00 583480.79 Corporate Debt Securities TRANSOCEAN PONTUS LTD SR SEC GLBL 25 2025-08-01 2025-08-01 6.125 - 6.125 472027.00 369538.74 Corporate Debt Securities SCIENTIFIC GAMES INTL INC. SR GLBL 144A 28 RLTHESQ0RNFQJWPBJN60 2028-05-15 2028-05-15 7 - 7 3961.00 3461.80 Corporate Debt Securities LADDER CAPITAL FIN HLDGS/CORP SR GLBL 144A 27 2027-02-01 2027-02-01 4.25 - 4.25 785615.00 663097.25 Corporate Debt Securities CSC HLDGS INC SR NT 6.75%21 3HG2WD2W22M120IUNG49 2021-11-15 2021-11-15 6.75 - 6.75 113000.00 119380.54 Corporate Debt Securities MAGNACHIP SEMICONDUCTOR CORP N SR NT 6.625%21 529900P54J1ATLRBUV29 2021-07-15 2021-07-15 6.625 - 6.625 1554000.00 1576781.21 Corporate Debt Securities FIRST QUANTUM MINERALS LTD SR GLBL 144A 24 549300I7UVBGWRYMYZ18 2024-03-01 2024-03-01 6.5 - 6.5 200000.00 184177.78 Corporate Debt Securities SPRINGLEAF FINANCE CORPORATION SR GLBL NT 22 5493008I795YYBFWFU90 2022-05-15 2023-03-15 5.625 - 6.125 132891.00 131794.50 Corporate Debt Securities BHARTI AIRTEL LIMITED SR REGS NT 25 335800KQ1FPKOQ84OR26 2025-06-10 2025-06-10 4.375 - 4.375 200000.00 209953.64 Corporate Debt Securities GREENKO DUTCH BV SR GLBL REGS 22 724500PT585P4JPVRP08 2022-07-24 2022-07-24 4.875 - 4.875 619.00 614.62 Corporate Debt Securities COMM S&L / CSL CAPITAL SR SEC 144A NT23 2023-04-15 2023-04-15 6 - 6 2276000.00 2247170.67 Corporate Debt Securities TENET HEALTHCARE CORP SR NT 8.125%22 0W9AIBT6U6ADJ2I8HK17 2022-04-01 2022-04-01 8.125 - 8.125 117000.00 124674.06 Corporate Debt Securities ODEBRECHT DRILLING NORBE VIII/ FR 6.35%120121 549300YNW6BY570L6488 2021-12-01 2021-12-01 6.35 - 6.35 2.00 0.53 Corporate Debt Securities PETROBRAS GLBL FIN B V SR GLBL 144A 30 549300FNENFFSMO3GT38 2030-01-15 2030-01-15 5.093 - 5.093 570.00 561.63 Corporate Debt Securities GAP INC SR NT 5.95%21 T2ZG1WRWZ4BUCMQL9224 2021-04-12 2021-04-12 5.95 - 5.95 892000.00 928811.11 Corporate Debt Securities CAMELOT FIN S A SR SEC GLBL 26 2026-11-01 2026-11-01 4.5 - 4.5 27328.00 27731.09 Corporate Debt Securities GTT COMMUNICATIONS INC SR GLBL 144A 24 549300ETSL7K1ZX05H30 2024-12-31 2024-12-31 7.875 - 7.875 528000.00 311569.50 Corporate Debt Securities ALBERTSONS COS LLC/SAFEWAY INC SR GLBL NT 25 2025-03-15 2025-03-15 5.75 - 5.75 3000.00 3132.96 Corporate Debt Securities HOSPITALITY PPTYS TR SR GLBL NT 24 529900IS770AG1K9QG27 2024-10-01 2024-10-01 4.35 - 4.35 608000.00 545332.43 Corporate Debt Securities CCO HLDGS LLC / CCO HLDGS CAP SR GLBL 144A 29 2029-06-01 2029-06-01 5.375 - 5.375 130.00 144.20 Corporate Debt Securities SIRIUS XM RADIO INC SR GLBL 144A 27 WP5O65E6BMU84LNO4227 2027-08-01 2027-08-01 5 - 5 832000.00 887235.56 Corporate Debt Securities GLOBO COMMUNICACOESPARTICIPACO SR SEC REGS NT25 52990054HEKS017PVR75 2025-06-08 2025-06-08 4.843 - 4.843 800000.00 779211.40 Corporate Debt Securities ODEBRECHT OFFSHORE DRILLING FR 6.72%120122 549300L7LF2PIRAWID66 2022-12-01 2022-12-01 6.72 - 6.72 605000.00 324596.28 Corporate Debt Securities UBER TECHNOLOGIES INC SR GLBL 144A 27 549300B2FTG34FILDR98 2027-09-15 2027-09-15 7.5 - 7.5 6693.00 6970.00 Corporate Debt Securities DRIVETIME AUTOMOTIVE GROUP INC SR SEC 144A NT21 2021-06-01 2021-06-01 8 - 8 1689000.00 1633491.95 Corporate Debt Securities ODEBRECHT OFFSHORE DRILLING FR 6.72%120122 549300L7LF2PIRAWID66 2022-12-01 2022-12-01 6.72 - 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1.008 8.00 1.54 Private Label Collateralized Mortgage Obligations CHS / CMNTY HEALTH SYS INC SR SEC GLBL 24 5493007X5NC5XI1BB106 2024-01-15 2024-01-15 8.625 - 8.625 4000.00 4149.62 Corporate Debt Securities MEREDITH CORP SR GLBL NT 26 549300YC8BC386CCTS24 2026-02-01 2026-02-01 6.875 - 6.875 545.00 516.41 Corporate Debt Securities BEAR STEARNS ABS TR 2007-HE1 II-1A3 20370125 FLT 2037-01-25 2037-01-25 0.418 - 0.418 18440.00 15705.95 Asset-Backed Securities BATTALION CLO VII LTD 2014-7RR D-RR 20280717 FLT 5493000R542V1ZNEEG67 2028-07-17 2028-07-17 7.445 - 7.445 1699798.00 1205489.42 Asset-Backed Securities ACE CASH EXPRESS INC SR SEC GLBL 22 2022-12-15 2022-12-15 12 - 12 8500.00 6839.67 Corporate Debt Securities UNITI GROUP LP / UNITI FIBER/ SR SEC GLBL 25 2025-02-15 2025-02-15 7.875 - 7.875 3284.00 3419.77 Corporate Debt Securities BARCLAYS PLC SR GLBL COCO 24 213800LBQA1Y9L22JB70 2024-05-16 2024-05-16 4.338 - 4.338 539000.00 575186.57 Corporate Debt Securities ALBERTSONS COS INC / SAFEWAY I SR GLBL 144A 30 2030-02-15 2030-02-15 4.875 - 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3.184 100.00 79.66 Private Label Collateralized Mortgage Obligations SOUNDVIEW HM LN 2006-2 M-2 20360325 FLT 2036-03-25 2036-03-25 0.518 - 0.518 9.00 8.45 Asset-Backed Securities CARVANA CO SR GLBL 144A 23 5493003WEAK2PJ5WS063 2023-10-01 2023-10-01 8.875 - 8.875 24933.00 25476.50 Corporate Debt Securities NORTHWOOD CAPITAL 2019-20 E 20300125 FLT 2030-01-25 2030-01-25 9.751 - 9.751 2129.00 1791.73 Asset-Backed Securities FIRST QUANTUM MINERALS LTD SR GLBL 144A 26 549300I7UVBGWRYMYZ18 2026-03-01 2026-03-01 6.875 - 6.875 200000.00 182861.11 Corporate Debt Securities RASC SERIES TRUST 2006-EMX9 A-II 20361125 FLT 2036-11-25 2036-11-25 0.298 - 0.298 10.00 0.86 Asset-Backed Securities GS MTG COML 2006-GG8 A-J 20391114 5.62200 2039-11-14 2039-11-14 5.622 - 5.622 1.00 0.32 Private Label Collateralized Mortgage Obligations PARK PLACE SECS 2004-WHQ2 M-5 20350225 FLT 2035-02-25 2035-02-25 1.893 - 1.893 703.00 478.01 Asset-Backed Securities SECURITIZED ASSET REC 2006-FR3 A-3 20360525 FLT 2036-05-25 2036-05-25 0.418 - 0.418 87975.00 34765.46 Asset-Backed Securities Y N/A N/A 2020-06-02 2020-06-02 2020-06-02 N N N 0.0045 6000000.00 6000000.00 0.0007 N N Y N Wells Fargo Securities, LLC Wells Fargo Securities, LLC, 0.25% VYVVCKR63DVZZN70PB21 0000276523 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N HARLEY-DAVIDSON FDG CORP 2021-03-02 2021-03-02 N/A 6245236.00 6180129.41 Money Market Y N/A N/A 2020-06-01 2020-06-01 2020-06-01 N N N 0.0025 6000000.00 6000000.00 0.0007 N Y 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 LIBERTY MEDIA CORP SR EXC DB3.75%30 549300SZUIU7Z32Q0664 2030-02-15 2030-02-15 3.75 - 3.75 4252000.00 2873643.33 Equities SEA LTD SR COCO 23 529900OM6JLLW44YKI15 2023-07-01 2023-07-01 2.25 - 2.25 745121.00 2855922.12 Equities OASIS PETROLEUM INC SR GLBL COCO 23 529900FA4V2YNIKZ0M71 2023-09-15 2023-09-15 2.625 - 2.625 2362000.00 257920.56 Equities CLOVIS ONCOLOGY INC SR GLBL CV NT 25 529900WCUY9ZAHMRV489 2025-05-01 2025-05-01 1.25 - 1.25 834000.00 492937.55 Equities Y N/A N/A 2020-06-01 2020-06-01 2020-06-01 N N N 0.0055 6000000.00 6000000.00 0.0007 N Y Y N Wells Fargo Securities, LLC Wells Fargo Securities, LLC, 0.65% VYVVCKR63DVZZN70PB21 0000276523 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N ACORDA THERAPEUTICS INC SR COCO 21 5493007NPB5YRM8QGL53 2021-06-15 2021-06-15 1.75 - 1.75 2578000.00 2252094.97 Equities FLEXION THERAPEUTICS INC 3.375%24 549300X8HYW1HZKCDG90 2024-05-01 2024-05-01 3.375 - 3.375 12201000.00 9387754.42 Equities LIBERTY MEDIA CORP SR EXCH DEB 4%29 549300SZUIU7Z32Q0664 2029-11-15 2029-11-15 4 - 4 9935000.00 6721579.44 Equities Y N/A N/A 2020-06-04 2020-06-04 2020-06-04 N N N 0.0065 17000000.00 17000000.00 0.0021 N N Y N Wells Fargo Securities, LLC Wells Fargo Securities, LLC, 0.65% 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 - 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5.5 2919488.00 334576.25 Agency Mortgage-Backed Securities Y N/A N/A 2020-06-01 2020-06-01 2020-06-01 N N N 0.0007 1000000.00 1000000.00 0.0001 N Y Y N BNY Mellon Capital Markets LLC In a joint trading account with BNY Mellon Capital Markets LLC at 0.07%, dated 5/29/2020 due 06/01/2020 VJW2DOOHGDT6PR0ZRO63 GBA804000_08066 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL HOME LOAN MORTGAGE CORP 2023-07-01 2023-07-01 7.25 - 7.25 149.40 1.70 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2030-02-01 2030-04-01 7 - 7 6274.80 13.54 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2023-04-01 2023-06-01 5 - 5 9138.20 80.19 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2037-07-01 2037-11-01 6 - 6.5 702.48 24.97 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2038-05-01 2038-05-01 6.5 - 6.5 3735.00 13.26 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2036-09-01 2037-03-01 6 - 6.5 5402.69 74.00 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2036-05-01 2036-09-01 6 - 6 560.25 8.73 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2036-02-01 2036-02-01 6.5 - 6.5 373.50 19.25 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-03-01 2050-03-01 2.5 - 2.5 271517.60 280403.82 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2033-10-01 2033-10-01 6 - 6 896.40 43.02 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-11-01 2049-11-01 3.5 - 3.5 139569.69 141180.92 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2045-08-01 2045-08-01 3.5 - 3.5 1060.74 621.36 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2036-04-01 2036-10-01 5.5 - 6 403.38 7.68 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2046-07-01 2046-08-01 3 - 3.5 5417.03 3401.16 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2021-10-01 2034-09-01 6 - 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5.5 154918.43 4922.13 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-10-01 2048-10-01 4 - 4 3612.75 2040.45 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2034-07-01 2045-03-01 2.5 - 6.5 10114.28 4885.23 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2020-06-25 2048-04-01 3 - 4.5 89322.20 52596.11 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2023-08-01 2024-07-01 4 - 4.5 31087.69 651.96 Agency Mortgage-Backed Securities FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 2020-06-01 2032-05-04 0 - 5.25 777925.80 821857.95 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2048-03-01 2048-03-01 2.5 - 2.5 39164.40 38287.80 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2020-07-01 2049-06-01 0.27 - 7.5 1445359.99 835281.58 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2031-10-01 2032-05-01 6.5 - 6.5 5602.50 11.07 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2032-07-01 2033-02-01 6 - 6.5 19049.32 75.11 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2031-01-01 2031-09-01 6.5 - 7 13377.54 42.41 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2028-06-01 2028-12-01 7 - 7 209.16 4.70 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2033-11-01 2048-12-01 4 - 5 30656.43 16471.95 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2039-12-01 2039-12-01 4.5 - 4.5 763.96 67.36 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-02-01 2050-02-01 2.5 - 2.5 64079.83 66164.41 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2032-03-01 2032-03-01 7 - 7 125.03 4.92 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2033-10-01 2033-10-01 6.5 - 6.5 1075.68 17.93 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-02-01 2049-02-01 4 - 4 39068.10 29907.41 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2047-07-01 2047-07-01 3.5 - 3.5 253.98 191.11 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2047-12-01 2047-12-01 3.5 - 3.5 589.59 504.19 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2046-03-01 2050-04-01 2.5 - 4 4572498.60 4787154.27 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2047-06-01 2047-06-01 4 - 4 78977.61 57907.39 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2044-07-01 2044-07-01 3.5 - 3.5 89.64 32.79 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2043-04-01 2043-05-01 3 - 3 718.06 350.77 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-08-01 2050-05-01 2.5 - 4 653572.08 667973.52 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2021-03-01 2032-04-01 6 - 9 230300.10 34.48 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2022-10-01 2043-02-01 2.5 - 6.5 34286.90 5871.43 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2045-12-01 2045-12-01 4.5 - 4.5 209.16 113.27 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2041-06-01 2041-06-01 4.5 - 4.5 511.31 49.36 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2029-01-01 2032-05-01 3 - 4 260494.20 142387.44 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2026-08-01 2031-10-01 2.5 - 5 1867.50 1098.57 Agency Mortgage-Backed Securities TENNESEE VALLEY AUTHORITY 549300HE1ISW43LNKM54 2021-02-15 2021-02-15 3.875 - 3.875 104.58 108.31 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2034-11-01 2035-05-01 2 - 3.5 8660.88 8942.67 Agency Mortgage-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2020-06-02 2050-05-15 0 - 8.75 22941875.96 23467259.77 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2049-05-01 2049-05-01 4.5 - 4.5 17928.00 14433.56 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2039-07-01 2039-07-01 3.5 - 3.5 1384.19 1088.63 Agency Mortgage-Backed Securities FEDERAL FARM CREDIT 2020-11-30 2050-02-03 0.2 - 5.05 4319004.60 4375460.90 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2049-09-01 2049-09-01 3 - 3 313.74 310.62 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2020-06-22 2050-05-01 0.17 - 9.5 7946408.87 6217857.69 Agency Mortgage-Backed Securities RESOLUTION FUNDING CORP 2030-04-15 2030-04-15 0 - 0 14.94 13.02 Agency Debentures and Agency Strips Y N/A N/A 2020-06-01 2020-06-01 2020-06-01 N N N 0.0007 44820000.00 44820000.00 0.0055 N Y Y N Bofa Secs Inc In a joint trading account with Bofa Secs Inc at 0.07%, dated 5/29/2020 due 06/01/2020 8NAV47T0Y26Q87Y0QP81 GBA804000_00431 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL HOME LOAN MORTGAGE CORP 2048-12-01 2048-12-01 5 - 5 1370752.66 835320.89 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2047-11-01 2048-08-01 4 - 4.5 5448495.37 4036353.87 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2027-10-01 2056-07-01 2 - 5 27018105.22 23633870.15 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-11-01 2050-05-01 2 - 5 2087983.83 1990573.05 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-06-01 2050-06-01 3 - 3.5 2512170.85 2683163.25 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2035-05-01 2035-05-01 2.5 - 2.5 1010466.62 1058626.92 Agency Mortgage-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2040-05-15 2048-05-15 3.125 - 4.375 635165.65 900793.00 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2050-03-01 2050-03-01 3.5 - 3.5 909504.62 985112.82 Agency Mortgage-Backed Securities Y N/A N/A 2020-06-01 2020-06-01 2020-06-01 N Y Bank of America Corporation 1.0000 N/A N/A N 0.0007 35408000.00 35408000.00 0.0044 N Y Y N Citibank NA In a joint trading account with Citibank NA at 0.07%, dated 5/29/2020 due 06/01/2020 E57ODZWZ7FF32TWEFA76 GBA804000_00276 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL HOME LOAN MORTGAGE CORP 2050-03-01 2050-03-01 4.5 - 4.5 5167.15 5760.80 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2024-10-01 2024-10-01 5.5 - 5.5 2246.52 49.64 Agency Mortgage-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2020-06-15 2050-02-15 0 - 8.75 7069323.62 8704210.30 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2036-07-01 2036-07-01 5.5 - 5.5 349.60 4.19 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2029-01-01 2029-01-01 4.2 - 4.2 26.34 30.71 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-02-01 2050-02-01 3.5 - 4 6663.69 7216.89 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-02-01 2050-02-01 3 - 3 407.83 412.98 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-12-01 2049-12-01 3.5 - 3.5 19115.81 20465.68 Agency Mortgage-Backed Securities FEDERAL FARM CREDIT 2021-01-05 2029-10-03 0.17 - 3.5 41503.34 43045.74 Agency Debentures and Agency Strips GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2020-07-15 2048-08-15 2.5 - 10 1845974.85 39316.74 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-07-01 2049-07-01 4 - 4 135.58 127.17 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2023-04-01 2024-02-01 5.5 - 6 10498.27 157.82 Agency Mortgage-Backed Securities TENNESEE VALLEY AUTHORITY 549300HE1ISW43LNKM54 2021-03-15 2065-09-15 0 - 5.98 191713.36 285001.07 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2022-10-01 2022-10-01 8.5 - 8.5 31936.77 106.97 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2023-02-01 2023-05-01 4.5 - 5 55736.40 693.78 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2025-01-01 2025-01-01 4.5 - 4.5 8020.63 307.12 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2021-06-01 2021-11-01 6 - 6 72700.72 220.24 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2036-10-01 2036-10-01 5 - 5 15568.77 100.44 Agency Mortgage-Backed Securities FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 2020-11-18 2036-07-15 1.125 - 5.625 120615.27 150490.08 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2040-03-01 2040-03-01 3 - 3 302.15 314.34 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2020-08-24 2046-09-01 0 - 10 2116603.56 826449.89 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-02-01 2050-03-01 2.5 - 3 66635.88 69475.19 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2020-06-22 2057-09-01 0 - 10.5 1496392.95 996994.59 Agency Mortgage-Backed Securities RESOLUTION FUNDING CORP 2020-07-15 2030-01-15 0 - 8.875 128051.34 112388.26 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2027-02-01 2029-07-01 5 - 5.5 5641.63 283.98 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2025-03-01 2025-03-01 4.5 - 4.5 6797.14 151.67 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2021-04-01 2029-02-01 5.5 - 6.5 38726.28 330.66 Agency Mortgage-Backed Securities Y N/A N/A 2020-06-01 2020-06-01 2020-06-01 N N N 0.0007 11021000.00 11021000.00 0.0014 N Y Y N Citigroup Global Markets, Inc. In a joint trading account with Citigroup Global Markets, Inc. at 0.07%, dated 5/29/2020 due 06/01/2020 MBNUM2BPBDO7JBLYG310 GBA804000_00137 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2021-05-31 2022-01-31 1.5 - 2.75 626301.95 648309.85 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2044-12-01 2047-02-01 3.5 - 4 109044.32 82551.58 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2044-01-01 2044-05-01 4 - 5 281996.01 120605.05 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2044-04-01 2048-07-01 4 - 4.5 184851.16 156394.99 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2043-06-01 2048-09-01 2.5 - 5 5379466.61 3203991.36 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-08-01 2048-08-01 5.5 - 5.5 9478.37 5229.53 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2045-01-01 2045-03-01 3 - 3.5 99912.57 31715.74 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2045-08-01 2045-08-01 4 - 4 9220.28 2324.29 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2043-10-01 2044-07-01 4 - 5 9425.71 4043.75 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2043-06-01 2048-09-01 2.5 - 6 17659531.54 10765472.63 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2047-12-01 2047-12-01 3.5 - 3.5 16128.81 15162.15 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2043-06-01 2046-03-01 3 - 4.5 56260.84 33720.14 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2045-06-01 2045-06-01 3.5 - 3.5 3299.00 2353.49 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2043-11-01 2043-11-01 4 - 4.5 60993.80 25441.10 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2043-07-01 2047-02-01 3.5 - 5 412371.75 277926.85 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2047-08-01 2047-09-01 4 - 4 15269.66 12485.80 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2047-10-01 2048-01-01 3.5 - 5 449667.49 359333.15 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2045-08-01 2045-12-01 3.5 - 4 83815.49 55520.90 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2046-04-01 2046-08-01 3.5 - 4 157514.12 111792.32 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2043-06-01 2046-06-01 3 - 4.5 25502.59 19346.23 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-07-01 2048-07-01 4 - 4 1885.14 866.14 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2047-03-01 2047-06-01 3.5 - 4.5 485549.20 318589.75 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2043-08-01 2043-08-01 4 - 4 65352.72 54329.66 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-07-01 2048-07-01 4.5 - 4.5 20146.75 22294.99 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-07-01 2048-08-01 3.5 - 5 78864.22 62064.06 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2044-10-01 2045-01-01 4 - 4 26702.00 10781.63 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2045-02-01 2045-06-01 3.5 - 4 45459.70 20885.05 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2045-05-01 2047-07-01 3 - 4 67548.25 51225.40 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2045-02-01 2045-02-01 4 - 4 10046.85 2601.97 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2044-08-01 2048-08-01 3 - 4.5 182109.06 137977.92 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2043-08-01 2048-08-01 3 - 5 219455.20 119603.07 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2048-08-01 2048-08-01 4.04 - 4.04 82475.00 90072.45 Agency Mortgage-Backed Securities Y N/A N/A 2020-06-01 2020-06-01 2020-06-01 N Y Citigroup Inc 1.0000 N/A N/A N 0.0007 16495000.00 16495000.00 0.0020 N Y Y N Credit Agricole CIB New York Branch In a joint trading account with Credit Agricole CIB New York Branch at 0.07%, dated 5/29/2020 due 06/01/2020 1VUV7VQFKUOQSJ21A208 GBA804000_02102 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL HOME LOAN MORTGAGE CORP 2049-08-01 2049-08-01 4 - 4 41336.19 40352.10 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-07-01 2049-07-01 3.5 - 3.5 76165.24 72454.22 Agency Mortgage-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2020-06-02 2050-05-15 0 - 8.75 12629351.31 13633905.40 U.S. Treasuries (including strips) FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 2025-02-21 2025-02-21 1.95 - 1.95 44282.11 44673.14 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2025-03-12 2047-08-01 1.2 - 5.5 1349071.45 955683.39 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-01-01 2048-01-01 3.5 - 3.5 117706.68 86540.44 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2039-09-15 2050-01-20 3 - 5 11638952.18 4646643.78 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-01-01 2049-01-01 4 - 4 63026.84 36041.49 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2034-03-01 2050-05-01 2 - 5.5 6601715.56 4102120.95 Agency Mortgage-Backed Securities Y N/A N/A 2020-06-01 2020-06-01 2020-06-01 N N N 0.0007 23144000.00 23144000.00 0.0029 N Y Y N Deutsche Bank AG, New York Deutsche Bank AG, New York, 0.07% 7LTWFZYICNSX8D621K86 GBA672000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL HOME LOAN MORTGAGE CORP 2024-06-15 2024-06-15 3.35 - 3.35 10886972.00 11330066.92 Agency Mortgage-Backed Securities Y N/A N/A 2020-06-01 2020-06-01 2020-06-01 N N N 0.0007 11000000.00 11000000.00 0.0014 N Y Y N Goldman Sachs & Co. Goldman Sachs & Co., 0.07% FOR8UP27PHTHYVLBNG30 0000769993 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL HOME LOAN MORTGAGE CORP 2040-04-01 2040-04-01 5 - 5 382317.00 95656.77 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2025-02-15 2055-05-15 2.54 - 6 128000932.00 53964658.60 Agency Mortgage-Backed Securities Y N/A N/A 2020-06-01 2020-06-01 2020-06-01 N N N 0.0007 53000000.00 53000000.00 0.0065 N Y Y N Jp Morgan Secs Llc In a joint trading account with Jp Morgan Secs Llc at 0.07%, dated 5/29/2020 due 06/01/2020 ZBUT11V806EZRVTWT807 GBA804000_00267 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-09-15 2040-05-15 0 - 4.75 15754565.94 18791179.54 U.S. Treasuries (including strips) FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2025-11-01 2058-05-01 2 - 7.5 11253920.27 9472142.02 Agency Mortgage-Backed Securities Y N/A N/A 2020-06-01 2020-06-01 2020-06-01 N N N 0.0007 27709000.00 27709000.00 0.0034 N Y Y N Mitsubishi Ufj Secs Hldgs Ltd In a joint trading account with Mitsubishi Ufj Secs Hldgs Ltd at 0.07%, dated 5/29/2020 due 06/01/2020 ZOMOLU8CGIZRYZ7PFU34 GBA804000_76664 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL HOME LOAN MORTGAGE CORP 2049-12-01 2050-01-01 3.5 - 3.5 105983.10 115663.51 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2040-02-01 2040-02-01 3 - 3 20753.48 21389.69 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2035-11-01 2056-06-01 3.5 - 6 9787577.58 6301823.90 Agency Mortgage-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2020-09-08 2050-02-15 0 - 4.5 9936296.43 10631639.17 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2049-06-01 2049-06-01 3.5 - 3.5 15657.70 15016.94 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-01-01 2050-02-01 3.5 - 3.5 166169.40 180950.29 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-03-01 2048-10-01 4 - 4.5 142432.87 128084.82 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-12-01 2049-12-01 3.5 - 3.5 26565.76 29153.65 Agency Mortgage-Backed Securities Y N/A N/A 2020-06-01 2020-06-01 2020-06-01 N N N 0.0007 17082000.00 17082000.00 0.0021 N Y Y N Mitsubishi Ufj Securities (USA In a joint trading account with Mitsubishi Ufj Securities (USA at 0.07%, dated 5/29/2020 due 06/01/2020 K5HU16E3LMSVCCJJJ255 GBA804000_12878 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2046-08-15 2046-08-15 2.25 - 2.25 183758.00 217614.97 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 2029-03-15 2029-09-15 0 - 0 264400.00 233198.82 Agency Debentures and Agency Strips RESOLUTION FUNDING CORP 2020-10-15 2030-04-15 0 - 0 2569968.00 2327777.62 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2048-06-01 2048-06-01 4.5 - 4.5 333548.58 247616.59 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2029-07-15 2035-05-01 0 - 2.5 382972.36 347021.63 Agency Mortgage-Backed Securities Y N/A N/A 2020-06-01 2020-06-01 2020-06-01 N N N 0.0007 3305000.00 3305000.00 0.0004 N Y Y N Mizuho Securities USA, Inc. In a joint trading account with Mizuho Securities USA, Inc. at 0.07%, dated 5/29/2020 due 06/01/2020 7TK5RJIZDFROZCA6XF66 GBA804000_08126 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-07-15 2050-02-15 0.125 - 8.125 12539326.70 14625659.42 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2046-09-01 2046-09-01 3.5 - 3.5 1254.32 803.11 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2026-08-01 2049-03-01 2.5 - 5 92602.80 57090.92 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2033-07-20 2049-06-15 3.5 - 4 9016638.05 5553555.38 Agency Mortgage-Backed Securities Y N/A N/A 2020-06-01 2020-06-01 2020-06-01 N N N 0.0007 19805000.00 19805000.00 0.0024 N Y Y N Morgan Stanley & Co., LLC Morgan Stanley & Co., LLC, 0.07% 9R7GPTSO7KV3UQJZQ078 0000068136 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL HOME LOAN MORTGAGE CORP 2035-01-01 2035-01-01 3 - 3 60103.00 62646.58 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2030-08-01 2050-05-01 2.5 - 4.5 40074038.00 26517634.36 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-05-01 2050-05-01 4.5 - 4.5 1082381.00 1221295.94 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-03-01 2050-03-01 4.5 - 4.5 2939381.00 3261914.14 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2044-02-01 2044-02-01 4 - 4 10000.00 5379.04 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2046-09-20 2046-09-20 4.5 - 4.5 121550.00 44570.20 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2036-05-01 2036-05-01 2.51 - 2.51 2250000.00 2417762.75 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2030-05-01 2046-12-01 3 - 6.5 254362.00 24704.46 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-02-01 2050-02-01 4 - 4 100000.00 104288.89 Agency Mortgage-Backed Securities Y N/A N/A 2020-06-01 2020-06-01 2020-06-01 N N N 0.0007 33000000.00 33000000.00 0.0041 N Y Y N Nomura Securities Internationa In a joint trading account with Nomura Securities Internationa at 0.07%, dated 5/29/2020 due 06/01/2020 OXTKY6Q8X53C9ILVV871 GBA804000_07426 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL HOME LOAN MORTGAGE CORP 2049-02-01 2049-02-01 4.5 - 4.5 43.58 46.05 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-07-01 2049-07-01 4.5 - 4.5 10736.32 11494.78 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-03-01 2050-05-01 3 - 4 711435.21 761513.16 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2040-10-20 2070-02-20 2 - 5.5 7785371.43 8173555.17 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-04-01 2050-04-01 4 - 4 7561.66 8238.41 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-01-01 2050-01-01 3.5 - 4 23064.05 24647.17 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-02-01 2050-03-01 3.5 - 4 45397.93 48867.64 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-12-01 2050-01-01 3 - 4.5 74744.02 80875.87 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-10-01 2049-12-01 3.5 - 5 225836.88 236929.18 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2030-04-01 2030-04-01 1.83 - 1.83 43192.14 44992.53 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2029-10-01 2029-11-01 2.6 - 2.7 2754.80 3002.35 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-11-01 2048-11-01 4.5 - 4.5 23224.97 24665.60 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2043-04-01 2043-04-01 4.126 - 4.126 114830.39 66077.28 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-04-01 2050-04-01 3 - 4 660604.70 695316.09 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2025-10-01 2050-06-01 2.5 - 6 6512093.31 6855574.79 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-01-01 2050-05-01 3 - 4.5 670967.16 704207.60 Agency Mortgage-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2020-07-15 2040-02-15 0 - 8.75 20628580.74 23469714.01 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2049-10-01 2049-10-01 4 - 4 5908.98 6253.11 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2030-04-01 2030-04-01 3 - 3 33455.63 35067.36 Agency Mortgage-Backed Securities Y N/A N/A 2020-06-01 2020-06-01 2020-06-01 N N N 0.0007 40442000.00 40442000.00 0.0050 N Y Y N RBC Financial Group RBC Financial Group, 0.07% ES7IP3U3RHIGC71XBU11 GBA674000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL HOME LOAN MORTGAGE CORP 2047-09-01 2048-07-01 3.5 - 4.5 104656248.00 63551672.18 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-04-01 2049-04-01 4.5 - 4.5 7234355.00 6510850.29 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2050-02-01 2050-02-01 4 - 4 267491.00 277301.92 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-05-01 2050-05-01 3.5 - 3.5 38586.00 40586.51 Agency Mortgage-Backed Securities Y N/A N/A 2020-06-01 2020-06-01 2020-06-01 N N N 0.0007 69000000.00 69000000.00 0.0085 N Y Y N Societe Generale (PARIS) In a joint trading account with Societe Generale (PARIS) at 0.07%, dated 5/29/2020 due 06/01/2020 O2RNE8IBXP4R0TD8PU41 GBA804000_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 2020-09-17 2049-02-15 0 - 7.5 24926826.94 28410732.33 U.S. Treasuries (including strips) Y N/A N/A 2020-06-01 2020-06-01 2020-06-01 N N N 0.0007 27760000.00 27760000.00 0.0034 N Y Y N Sumitomo Mitsui Bk Corp (REPO) In a joint trading account with Sumitomo Mitsui Bk Corp (REPO) at 0.07%, dated 5/29/2020 due 06/01/2020 5U0XI89JRFVHWIBS4F54 GBA804000_77387 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 2048-12-01 2050-04-01 2.5 - 4 100848441.91 83125638.89 Agency Mortgage-Backed Securities Y N/A N/A 2020-06-01 2020-06-01 2020-06-01 N N N 0.0007 81495000.00 81495000.00 0.0101 N Y Y N Wells Fargo Securities LLC In a joint trading account with Wells Fargo Securities LLC at 0.07%, dated 5/29/2020 due 06/01/2020 VYVVCKR63DVZZN70PB21 GBA804000_08395 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2024-11-15 2047-11-15 1.375 - 7.5 7382665.12 9310207.09 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2038-02-25 2038-02-25 3.675 - 3.675 24385.06 16780.75 Agency Collateralized Mortgage Obligation Y N/A N/A 2020-06-01 2020-06-01 2020-06-01 N N N 0.0007 9072000.00 9072000.00 0.0011 N Y Y N Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce, 0.85% 13608AJA5 2IGI19DL77OX0HC3ZE78 0001045520 Financial Company Commercial Paper Y N/A N/A 2020-09-10 2020-09-10 2020-09-10 N N N 0.0017 44978292.00 44978292.00 0.0056 N N N N Citigroup Global Markets, Inc. 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 0.0015 19994720.00 19994720.00 0.0025 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 0.0014 29991954.00 29991954.00 0.0037 N N N 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 0.0022 19989488.00 19989488.00 0.0025 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 0.0022 4997194.00 4997194.00 0.0006 N N N N National Bank of Canada National Bank of Canada, 0.41% 63307NEX1 BSGEFEIOM18Y80CKCV46 US63307NEX12 Financial Company Commercial Paper Y N/A N/A 2020-06-03 2020-08-03 2020-08-03 N N N 0.0035 64006412.80 64006412.80 0.0079 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 0.0008 49989245.00 49989245.00 0.0062 N N N 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 0.0024 60960642.80 60960642.80 0.0075 N N N N Toyota Motor Credit Corp. Toyota Motor Credit Corp., 1.50% 89233A6K0 Z2VZBHUMB7PWWJ63I008 US89233A6K02 0000834071 Financial Company Commercial Paper Y N/A N/A 2020-07-02 2020-07-02 2020-07-02 N N N 0.0148 11000112.20 11000112.20 0.0014 N N N N Autobahn Funding Co. LLC Autobahn Funding Co. LLC, 0.10% 0527M0F28 GAI793000 Asset Backed Commercial Paper Y N/A N/A 2020-06-02 2020-06-02 2020-06-02 N Y DZ BANK AG DEUT ZENT GENOSBANK 1.0000 N/A N/A N 0.0012 11999840.40 11999840.40 0.0015 N N Y N Autobahn Funding Co. LLC Autobahn Funding Co. LLC, 0.10% 0527M0F36 GAJ306000 Asset Backed Commercial Paper Y N/A N/A 2020-06-03 2020-06-03 2020-06-03 N Y DZ BANK AG DEUT ZENT GENOSBANK 1.0000 N/A N/A N 0.0012 9999833.00 9999833.00 0.0012 N N Y N Autobahn Funding Co. LLC Autobahn Funding Co. LLC, 0.10% 0527M0F51 GBA717000 Asset Backed Commercial Paper Y N/A N/A 2020-06-05 2020-06-05 2020-06-05 N Y DZ BANK AG DEUT ZENT GENOSBANK 1.0000 N/A N/A N 0.0012 31999253.44 31999253.44 0.0040 N N Y N Liberty Street Funding LLC Liberty Street Funding LLC, 0.07% 53127TF16 549300F33VRHM10B9391 GBA790000 Asset Backed Commercial Paper Y N/A N/A 2020-06-01 2020-06-01 2020-06-01 N Y BANK OF NOVA SCOTIA 1.0000 N/A N/A N 0.0007 36999778.00 36999778.00 0.0046 N Y Y N Manhattan Asset Funding Co. LLC Manhattan Asset Funding Co. LLC, 0.12% 56274LF33 549300S0NSJYSOB32S63 GAJ912000 Asset Backed Commercial Paper Y N/A N/A 2020-06-03 2020-06-03 2020-06-03 N Y SUMITOMO MITSUI BKG CORP 1.0000 N/A N/A N 0.0012 12959783.57 12959783.57 0.0016 N N Y N Commerz Markets LLC Commerz Markets LLC, 0.06% 549300IMBXQ8SGH3HJ31 GBA664000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-08-20 2029-11-15 0 - 2.75 89673000.00 96900575.32 U.S. Treasuries (including strips) Y N/A N/A 2020-06-01 2020-06-01 2020-06-01 N N N 0.0006 95000000.00 95000000.00 0.0117 N Y Y N Deutsche Bank AG, New York Deutsche Bank AG, New York, 0.06% 7LTWFZYICNSX8D621K86 GBA670000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2041-11-15 2041-11-15 3.125 - 3.125 39784800.00 53560360.95 U.S. Treasuries (including strips) Y N/A N/A 2020-06-01 2020-06-01 2020-06-01 N N N 0.0006 52000000.00 52000000.00 0.0064 N Y Y N Fixed Income Clearing Corp. - BNYM Fixed Income Clearing Corp. - BNYM, 0.06% 549300H47WTHXPU08X20 GBA630000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2022-12-15 2022-12-15 1.625 - 1.625 16619000.00 17340102.04 U.S. Treasuries (including strips) Y N/A N/A 2020-06-01 2020-06-01 2020-06-01 N N N 0.0006 17000000.00 17000000.00 0.0021 N Y Y N Toyota Motor Credit Corp. Toyota Motor Credit Corp., 0.34% Z2VZBHUMB7PWWJ63I008 0000834071 Other Instrument Master Notes Y N/A N/A 2020-06-03 2020-06-05 2020-11-20 Y TOYOTA MOTOR CREDIT CORP 1.0000 7 N N/A N/A N N 0.0034 29000000.00 29000000.00 0.0036 N N Y N Fidelity Colchester Street Trust: Prime Reserves Portfolio 2020-06-02 Laura M. Del Prato Laura M. Del Prato President and Treasurer