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In a joint trading account with Bank Of America, N.A. at 0.08%, dated 6/30/2020 due 07/01/2020 B4TYDEB6GKMZO031MB27 GCH847000_00352 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2041-04-20 2045-09-20 3 - 4.5 61397617.48 12011553.37 Agency Mortgage-Backed Securities Y N/A N/A 2020-07-01 2020-07-01 2020-07-01 N N N 0.0008 11776000.00 11776000.00 0.0050 N Y Y N BNP Paribas, S.A. In a joint trading account with BNP Paribas, S.A. at 0.08%, dated 6/30/2020 due 07/01/2020 R0MUWSFPU8MPRO8K5P83 GCH847000_07651 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 2040-06-20 2049-01-20 3.5 - 5 7382641.80 1325978.57 Agency Mortgage-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2020-07-09 2049-11-15 0 - 8.75 121849560.12 131185959.33 U.S. Treasuries (including strips) FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 2038-10-19 2038-10-19 4.25 - 4.25 187.09 208.36 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2041-02-01 2041-02-01 4.5 - 4.5 5669.18 1243.67 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-10-01 2049-10-01 4 - 4 1274.81 1089.73 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2047-04-01 2050-06-01 2.659 - 3 315225.66 328477.43 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-09-01 2049-09-01 3 - 3 11646.69 10608.46 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 2031-03-15 2047-11-01 0 - 4.5 25694.39 21782.42 Agency Collateralized Mortgage Obligation Y N/A N/A 2020-07-01 2020-07-01 2020-07-01 N N N 0.0008 130030000.00 130030000.00 0.0557 N Y Y N BNP Paribas, S.A. In a joint trading account with BNP Paribas, S.A. at 0.09%, dated 6/30/2020 due 07/01/2020 R0MUWSFPU8MPRO8K5P83 GCH946000_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 2020-07-09 2049-11-15 0 - 8.75 141125461.46 151938825.46 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2049-09-01 2049-09-01 3 - 3 13489.13 12286.66 Agency Mortgage-Backed Securities FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 2038-10-19 2038-10-19 4.25 - 4.25 216.69 241.32 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 2031-03-15 2047-11-01 0 - 4.5 29759.09 25228.27 Agency Collateralized Mortgage Obligation FEDERAL HOME LOAN MORTGAGE CORP 2049-10-01 2049-10-01 4 - 4 1476.48 1262.11 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2040-06-20 2049-01-20 3.5 - 5 8550533.38 1535740.78 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2047-04-01 2050-06-01 2.659 - 3 365092.55 380440.68 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2041-02-01 2041-02-01 4.5 - 4.5 6566.01 1440.41 Agency Mortgage-Backed Securities Y N/A N/A 2020-07-01 2020-07-01 2020-07-01 N N N 0.0009 150600000.00 150600000.00 0.0645 N Y Y N Citibank NA In a joint trading account with Citibank NA at 0.08%, dated 6/30/2020 due 07/01/2020 E57ODZWZ7FF32TWEFA76 GCH847000_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 2021-06-01 2021-11-01 6 - 6 34985.90 96.74 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-03-01 2050-03-01 4.5 - 4.5 2486.59 2757.33 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2029-01-01 2029-01-01 4.2 - 4.2 14.07 16.53 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-12-01 2049-12-01 3.5 - 3.5 9199.13 9811.54 Agency Mortgage-Backed Securities FEDERAL FARM CREDIT 2021-01-05 2029-10-03 0.17 - 3.5 19972.73 20862.33 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2027-02-01 2029-07-01 5 - 5.5 2714.93 135.76 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2023-04-01 2024-02-01 5.5 - 6 5052.10 72.01 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2023-02-01 2023-05-01 4.5 - 5 26822.12 320.21 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2025-01-01 2025-01-01 4.5 - 4.5 3859.78 142.54 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-02-01 2050-02-01 3.5 - 4 3206.78 3442.99 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2020-11-24 2045-12-01 0 - 10 1433295.42 890832.83 Agency Mortgage-Backed Securities RESOLUTION FUNDING CORP 2020-07-15 2030-04-15 0 - 8.875 88117.47 78302.30 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2025-03-01 2025-03-01 4.5 - 4.5 3271.00 68.96 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2022-10-01 2022-10-01 8.5 - 8.5 15368.99 47.68 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2036-10-01 2036-10-01 5 - 5 7492.19 48.12 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-02-01 2050-02-01 3 - 3 196.26 198.17 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2030-06-01 2030-06-01 1.76 - 1.76 3.27 3.48 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2049-11-01 2049-11-01 2.835 - 2.835 3.45 3.68 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2021-04-01 2029-02-01 5.5 - 6.5 18636.31 148.10 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2023-03-01 2024-10-01 5.5 - 5.5 1097.44 23.55 Agency Mortgage-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2020-09-08 2048-02-15 0 - 8.125 1424178.13 1649990.03 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2036-07-01 2036-07-01 5.5 - 5.5 168.24 2.01 Agency Mortgage-Backed Securities FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 2020-09-11 2036-07-15 0.625 - 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In a joint trading account with Citigroup Global Markets, Inc. at 0.08%, dated 6/30/2020 due 07/01/2020 MBNUM2BPBDO7JBLYG310 GCH847000_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 2020-07-28 2020-07-28 0 - 0 31033.50 31030.37 U.S. Treasuries (including strips) GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2046-09-20 2050-02-20 2.5 - 5.5 14392026.44 9979280.22 Agency Mortgage-Backed Securities Y N/A N/A 2020-07-01 2020-07-01 2020-07-01 N Y Citigroup Inc 1.0000 N/A N/A N 0.0008 9814000.00 9814000.00 0.0042 N Y Y N Credit Agricole CIB New York Branch In a joint trading account with Credit Agricole CIB New York Branch at 0.08%, dated 6/30/2020 due 07/01/2020 1VUV7VQFKUOQSJ21A208 GCH847000_02102 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2021-11-30 2048-05-15 1.625 - 3.125 4451893.64 5101980.77 U.S. Treasuries (including strips) Y N/A N/A 2020-07-01 2020-07-01 2020-07-01 N N N 0.0008 4991000.00 4991000.00 0.0021 N Y Y N Credit Agricole CIB New York Branch In a joint trading account with Credit Agricole CIB New York Branch at 0.09%, dated 6/30/2020 due 07/01/2020 1VUV7VQFKUOQSJ21A208 GCH946000_02102 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2021-11-30 2048-05-15 1.625 - 3.125 32111.43 36800.50 U.S. Treasuries (including strips) Y N/A N/A 2020-07-01 2020-07-01 2020-07-01 N N N 0.0009 36000.00 36000.00 0.0000 N Y Y N HSBC Securities (USA), Inc. In a joint trading account with HSBC Securities (USA), Inc. at 0.08%, dated 6/30/2020 due 07/01/2020 CYYGQCGNHMHPSMRL3R97 GCH847000_03556 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-07-31 2040-05-15 0 - 7.875 449396282.09 475174306.95 U.S. Treasuries (including strips) Y N/A N/A 2020-07-01 2020-07-01 2020-07-01 N N N 0.0008 465856000.00 465856000.00 0.1995 N Y Y N ING Financial Markets LLC In a joint trading account with ING Financial Markets LLC at 0.08%, dated 6/30/2020 due 07/01/2020 KBVRJ5K57JZ3E2AVWX40 GCH847000_03735 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 2049-01-20 2049-01-20 4.5 - 4.5 810.74 372.55 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-07-01 2050-07-01 2.5 - 2.5 4.00 4.24 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2029-11-01 2049-03-01 3 - 5.5 1027540.45 686116.60 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2028-08-01 2050-05-01 2.5 - 4.5 271426.92 242193.63 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2047-12-01 2048-08-01 3.5 - 4.5 720520.97 585223.31 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-06-01 2050-06-01 2.5 - 2.5 113651.75 120133.75 Agency Mortgage-Backed Securities Y N/A N/A 2020-07-01 2020-07-01 2020-07-01 N N N 0.0008 1602000.00 1602000.00 0.0007 N Y Y N ING Financial Markets LLC In a joint trading account with ING Financial Markets LLC at 0.09%, dated 6/30/2020 due 07/01/2020 KBVRJ5K57JZ3E2AVWX40 GCH946000_03735 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL HOME LOAN MORTGAGE CORP 2047-12-01 2048-08-01 3.5 - 4.5 166412.46 135163.94 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-06-01 2050-06-01 2.5 - 2.5 26249.16 27746.25 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2029-11-01 2049-03-01 3 - 5.5 237322.08 158466.38 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2049-01-20 2049-01-20 4.5 - 4.5 187.25 86.04 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-07-01 2050-07-01 2.5 - 2.5 0.92 0.98 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2028-08-01 2050-05-01 2.5 - 4.5 62689.11 55937.35 Agency Mortgage-Backed Securities Y N/A N/A 2020-07-01 2020-07-01 2020-07-01 N N N 0.0009 370000.00 370000.00 0.0002 N Y Y N Jp Morgan Secs Llc In a joint trading account with Jp Morgan Secs Llc at 0.08%, dated 6/30/2020 due 07/01/2020 ZBUT11V806EZRVTWT807 GCH847000_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 2026-11-01 2026-11-01 3.5 - 3.5 9455.53 745.20 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2031-06-01 2031-06-01 3 - 3 7406.35 4279.84 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2044-03-01 2048-09-01 3.5 - 5 495757.01 462470.43 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-11-01 2049-11-01 4 - 4 2959.36 2308.57 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2026-01-01 2057-02-01 2 - 7 2456765.04 1535020.63 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-05-01 2050-05-01 2.5 - 2.5 53037.14 54501.41 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2038-04-01 2038-04-01 5.5 - 5.5 31988.21 991.99 Agency Mortgage-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2020-10-31 2023-10-31 0.2 - 2.875 2084896.89 2154333.46 U.S. Treasuries (including strips) Y N/A N/A 2020-07-01 2020-07-01 2020-07-01 N N N 0.0008 4132000.00 4132000.00 0.0018 N Y Y N Jp Morgan Secs Llc In a joint trading account with Jp Morgan Secs Llc at 0.09%, dated 6/30/2020 due 07/01/2020 ZBUT11V806EZRVTWT807 GCH946000_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 2020-10-31 2023-10-31 0.2 - 2.875 466225.73 481753.17 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2050-05-01 2050-05-01 2.5 - 2.5 11860.19 12187.63 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2044-03-01 2048-09-01 3.5 - 5 110861.44 103417.88 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2026-01-01 2057-02-01 2 - 7 549383.08 343262.12 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2038-04-01 2038-04-01 5.5 - 5.5 7153.22 221.83 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-11-01 2049-11-01 4 - 4 661.77 516.24 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2031-06-01 2031-06-01 3 - 3 1656.21 957.06 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2026-11-01 2026-11-01 3.5 - 3.5 2114.45 166.64 Agency Mortgage-Backed Securities Y N/A N/A 2020-07-01 2020-07-01 2020-07-01 N N N 0.0009 924000.00 924000.00 0.0004 N Y Y N Mitsubishi Ufj Secs Hldgs Ltd In a joint trading account with Mitsubishi Ufj Secs Hldgs Ltd at 0.08%, dated 6/30/2020 due 07/01/2020 ZOMOLU8CGIZRYZ7PFU34 GCH847000_76664 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-08-31 2049-11-15 0 - 3.375 257938205.24 279750483.63 U.S. Treasuries (including strips) Y N/A N/A 2020-07-01 2020-07-01 2020-07-01 N N N 0.0008 274000000.00 274000000.00 0.1173 N Y Y N Mitsubishi Ufj Securities (USA In a joint trading account with Mitsubishi Ufj Securities (USA at 0.08%, dated 6/30/2020 due 07/01/2020 K5HU16E3LMSVCCJJJ255 GCH847000_12878 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 2025-06-30 2025-06-30 0.73 - 0.73 20020.00 20005.35 Agency Debentures and Agency Strips US TREASURY 254900HROIFWPRGM1V77 2022-04-30 2022-04-30 0.125 - 0.125 213922.51 213858.59 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 2023-12-29 2023-12-29 0.52 - 0.52 20020.00 20009.16 Agency Debentures and Agency Strips FEDERAL FARM CREDIT 2022-09-30 2027-06-22 0.875 - 2.37 24024.00 24182.13 Agency Debentures and Agency Strips FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 2021-10-12 2026-03-13 1.875 - 3.375 27227.20 29091.16 Agency Debentures and Agency Strips RESOLUTION FUNDING CORP 2020-10-15 2030-04-15 0 - 0 778377.60 713876.32 Agency Debentures and Agency Strips Y N/A N/A 2020-07-01 2020-07-01 2020-07-01 N N N 0.0008 1001000.00 1001000.00 0.0004 N Y Y N Mitsubishi Ufj Securities (USA In a joint trading account with Mitsubishi Ufj Securities (USA at 0.09%, dated 6/30/2020 due 07/01/2020 K5HU16E3LMSVCCJJJ255 GCH946000_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 2022-04-30 2022-04-30 0.125 - 0.125 49366.73 49351.98 U.S. Treasuries (including strips) FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2025-06-30 2025-06-30 0.73 - 0.73 4620.00 4616.62 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 2023-12-29 2023-12-29 0.52 - 0.52 4620.00 4617.50 Agency Debentures and Agency Strips RESOLUTION FUNDING CORP 2020-10-15 2030-04-15 0 - 0 179625.60 164740.69 Agency Debentures and Agency Strips FEDERAL FARM CREDIT 2022-09-30 2027-06-22 0.875 - 2.37 5544.00 5580.49 Agency Debentures and Agency Strips FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 2021-10-12 2026-03-13 1.875 - 3.375 6283.20 6713.34 Agency Debentures and Agency Strips Y N/A N/A 2020-07-01 2020-07-01 2020-07-01 N N N 0.0009 231000.00 231000.00 0.0001 N Y Y N Mizuho Securities USA, Inc. In a joint trading account with Mizuho Securities USA, Inc. at 0.08%, dated 6/30/2020 due 07/01/2020 7TK5RJIZDFROZCA6XF66 GCH847000_08126 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2030-08-01 2030-08-01 3.71 - 3.71 145395.46 168341.14 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2033-07-20 2049-07-20 3 - 4 431881.84 304165.31 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2029-03-01 2031-06-01 3.16 - 4.04 96424.91 107394.62 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2031-02-01 2039-02-01 4.03 - 4.27 10740.48 12891.21 Agency Mortgage-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2020-07-15 2050-02-15 0.125 - 8.125 3904258.63 4586373.73 U.S. Treasuries (including strips) FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2048-10-01 2048-10-01 4.59 - 4.59 2693.65 3191.07 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2026-08-01 2048-01-01 2.5 - 5 346738.11 221419.15 Agency Mortgage-Backed Securities Y N/A N/A 2020-07-01 2020-07-01 2020-07-01 N N N 0.0008 5285000.00 5285000.00 0.0023 N Y Y N Mizuho Securities USA, Inc. In a joint trading account with Mizuho Securities USA, Inc. at 0.09%, dated 6/30/2020 due 07/01/2020 7TK5RJIZDFROZCA6XF66 GCH946000_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 170649.71 200464.02 U.S. Treasuries (including strips) FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2048-10-01 2048-10-01 4.59 - 4.59 117.74 139.48 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2031-02-01 2039-02-01 4.03 - 4.27 469.45 563.46 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2026-08-01 2048-01-01 2.5 - 5 15155.44 9677.92 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2029-03-01 2031-06-01 3.16 - 4.04 4214.60 4694.07 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2030-08-01 2030-08-01 3.71 - 3.71 6355.03 7357.96 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2033-07-20 2049-07-20 3 - 4 18876.95 13294.64 Agency Mortgage-Backed Securities Y N/A N/A 2020-07-01 2020-07-01 2020-07-01 N N N 0.0009 231000.00 231000.00 0.0001 N Y Y N Nomura Securities Internationa In a joint trading account with Nomura Securities Internationa at 0.08%, dated 6/30/2020 due 07/01/2020 OXTKY6Q8X53C9ILVV871 GCH847000_07426 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-08-31 2040-05-15 0.125 - 7.625 1783926.87 2122782.57 U.S. Treasuries (including strips) GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2031-03-20 2070-03-20 1.5 - 5 219577.13 195774.97 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-01-01 2049-01-01 4.5 - 4.5 12.38 5.31 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-05-01 2050-05-01 4 - 4 1398.12 1500.92 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2024-09-06 2050-06-01 2.625 - 5 81242.36 80127.98 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-06-01 2050-06-01 4 - 4.5 1024.43 1089.88 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2029-10-01 2029-10-01 2.6 - 2.6 699.03 763.84 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2035-04-01 2035-04-01 2.34 - 2.34 4561.03 4947.46 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2047-08-01 2047-08-01 3.5 - 3.5 2959.92 2064.55 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-05-01 2050-05-01 2.5 - 4 1035.03 1104.41 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2027-10-01 2042-10-01 3 - 3.5 199.10 103.60 Agency Mortgage-Backed Securities Y N/A N/A 2020-07-01 2020-07-01 2020-07-01 N N N 0.0008 2363000.00 2363000.00 0.0010 N Y Y N Nomura Securities Internationa In a joint trading account with Nomura Securities Internationa at 0.09%, dated 6/30/2020 due 07/01/2020 OXTKY6Q8X53C9ILVV871 GCH946000_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 2047-08-01 2047-08-01 3.5 - 3.5 682.67 476.16 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2027-10-01 2042-10-01 3 - 3.5 45.92 23.89 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2031-03-20 2070-03-20 1.5 - 5 50643.05 45153.35 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-05-01 2050-05-01 4 - 4 322.46 346.17 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-01-01 2049-01-01 4.5 - 4.5 2.86 1.23 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2035-04-01 2035-04-01 2.34 - 2.34 1051.95 1141.08 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2029-10-01 2029-10-01 2.6 - 2.6 161.22 176.17 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-06-01 2050-06-01 4 - 4.5 236.27 251.37 Agency Mortgage-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2020-08-31 2040-05-15 0.125 - 7.625 411443.14 489596.49 U.S. Treasuries (including strips) FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2024-09-06 2050-06-01 2.625 - 5 18737.66 18480.64 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-05-01 2050-05-01 2.5 - 4 238.72 254.72 Agency Mortgage-Backed Securities Y N/A N/A 2020-07-01 2020-07-01 2020-07-01 N N N 0.0009 545000.00 545000.00 0.0002 N Y Y N Royal Bank Of Canada (NY BRANC In a joint trading account with Royal Bank Of Canada (NY BRANC at 0.08%, dated 6/30/2020 due 07/01/2020 ES7IP3U3RHIGC71XBU11 GCH847000_76426 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 2048-11-01 2049-01-01 4 - 4.5 317133.04 259319.76 Agency Mortgage-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2027-04-30 2027-04-30 0.5 - 0.5 23722.96 23801.91 U.S. Treasuries (including strips) FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2035-04-01 2035-04-01 2.215 - 2.215 4815.95 5119.01 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-06-01 2049-06-01 5 - 5 4266.60 4818.54 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2047-12-01 2049-09-01 3 - 4.5 386858.01 344982.76 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-11-01 2048-11-01 4 - 4.5 20410.40 13882.71 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2025-12-01 2050-06-01 0.585 - 7 6261505.31 3723048.41 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2023-05-01 2059-08-01 0.635 - 6 17055225.39 10019061.75 Agency Collateralized Mortgage Obligation FEDERAL HOME LOAN MORTGAGE CORP 2048-04-01 2048-04-01 3.5 - 3.5 4703.60 4908.26 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-11-25 2049-11-25 6.5 - 6.5 37733.05 37483.25 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2049-11-01 2049-11-01 3.5 - 3.5 32996.51 34698.25 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2032-11-01 2033-01-01 3 - 3.5 11128.28 8028.85 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2047-01-01 2047-01-01 3.5 - 3.5 49718.39 41908.27 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-04-01 2050-05-01 3 - 3.5 240073.80 253201.90 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-12-01 2050-01-01 3 - 3.5 37818.51 40415.71 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-05-01 2049-05-01 4 - 4.5 9049.05 9253.46 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2042-06-01 2042-06-01 4 - 4 289008.48 113875.33 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2047-02-01 2047-02-01 4 - 4 44469.22 41521.81 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-03-01 2049-04-01 4.5 - 4.5 492755.73 425379.90 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-02-01 2050-02-01 3.5 - 3.5 26321.64 28004.29 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-09-01 2048-09-01 4 - 4 5906.68 6331.33 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2042-03-01 2042-03-01 3.5 - 3.5 89917.20 37242.77 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2041-06-01 2041-06-01 4.5 - 4.5 54539.57 13688.57 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-05-01 2050-06-01 2.5 - 4 85024.98 90066.46 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-01-01 2050-01-01 3 - 3.5 202388.53 217816.92 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-02-01 2050-02-01 3.5 - 3.5 29113.81 30939.36 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2030-05-01 2040-05-01 1.78 - 2.36 438464.23 461412.19 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-04-01 2049-04-01 3.5 - 3.5 136386.88 127758.70 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2041-07-01 2041-10-01 4 - 4.5 125940.40 42973.62 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-06-01 2050-06-01 3 - 3 106565.61 112586.10 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-09-01 2049-09-01 3.5 - 3.5 10482.23 10938.01 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2046-10-01 2048-06-01 3 - 4 452912.08 364147.13 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2047-08-01 2047-08-01 3.5 - 3.5 116271.10 106361.07 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2045-11-01 2045-11-01 4 - 4 18103.96 10752.79 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-06-01 2048-06-01 4.5 - 4.5 30871.91 23952.13 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-07-01 2048-09-01 4 - 4.5 144761.08 107012.40 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-12-01 2050-05-01 3.5 - 4.5 441101.83 457337.53 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2045-08-01 2045-08-01 3.5 - 3.5 4.27 2.56 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2028-11-01 2028-11-01 3.5 - 3.5 1346.58 447.99 Agency Mortgage-Backed Securities Y N/A N/A 2020-07-01 2020-07-01 2020-07-01 N N N 0.0008 17302000.00 17302000.00 0.0074 N Y Y N Societe Generale (PARIS) In a joint trading account with Societe Generale (PARIS) at 0.08%, dated 6/30/2020 due 07/01/2020 O2RNE8IBXP4R0TD8PU41 GCH847000_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 2020-08-15 2044-05-15 0.125 - 4.25 5286673.69 5723525.88 U.S. Treasuries (including strips) Y N/A N/A 2020-07-01 2020-07-01 2020-07-01 N N N 0.0008 5607000.00 5607000.00 0.0024 N Y Y N Societe Generale (PARIS) In a joint trading account with Societe Generale (PARIS) at 0.09%, dated 6/30/2020 due 07/01/2020 O2RNE8IBXP4R0TD8PU41 GCH946000_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 2020-08-15 2044-05-15 0.125 - 4.25 1220074.15 1320892.19 U.S. Treasuries (including strips) Y N/A N/A 2020-07-01 2020-07-01 2020-07-01 N N N 0.0009 1294000.00 1294000.00 0.0006 N Y Y N Sumitomo Mitsu Bk Corp Ny (DI) In a joint trading account with Sumitomo Mitsu Bk Corp Ny (DI) at 0.08%, dated 6/30/2020 due 07/01/2020 5U0XI89JRFVHWIBS4F54 GCH847000_10193 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 2047-05-01 2047-05-01 3.5 - 3.5 1460234.55 863739.83 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2049-04-01 2050-06-01 2 - 3.5 5652871.66 4995163.20 Agency Mortgage-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2020-11-30 2026-02-15 1.5 - 2.75 4207800.32 4446097.29 U.S. Treasuries (including strips) GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2047-10-20 2049-01-20 3 - 4.5 3292518.76 1921771.32 Agency Mortgage-Backed Securities Y N/A N/A 2020-07-01 2020-07-01 2020-07-01 N N N 0.0008 11987000.00 11987000.00 0.0051 N Y Y N Sumitomo Mitsu Bk Corp Ny (DI) In a joint trading account with Sumitomo Mitsu Bk Corp Ny (DI) at 0.09%, dated 6/30/2020 due 07/01/2020 5U0XI89JRFVHWIBS4F54 GCH946000_10193 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-11-30 2026-02-15 1.5 - 2.75 79445179.55 83944334.55 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2047-05-01 2047-05-01 3.5 - 3.5 27569890.91 16307799.98 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2049-04-01 2050-06-01 2 - 3.5 106728782.29 94310948.07 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2047-10-20 2049-01-20 3 - 4.5 62164248.48 36283914.58 Agency Mortgage-Backed Securities Y N/A N/A 2020-07-01 2020-07-01 2020-07-01 N N N 0.0009 226320000.00 226320000.00 0.0969 N Y Y N Sumitomo Mitsui Bk Corp (REPO) In a joint trading account with Sumitomo Mitsui Bk Corp (REPO) at 0.08%, dated 6/30/2020 due 07/01/2020 5U0XI89JRFVHWIBS4F54 GCH847000_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 38394634.76 30858815.40 Agency Mortgage-Backed Securities Y N/A N/A 2020-07-01 2020-07-01 2020-07-01 N N N 0.0008 30163000.00 30163000.00 0.0129 N Y Y N Sumitomo Mitsui Bk Corp (REPO) In a joint trading account with Sumitomo Mitsui Bk Corp (REPO) at 0.09%, dated 6/30/2020 due 07/01/2020 5U0XI89JRFVHWIBS4F54 GCH946000_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 146751949.30 117948545.18 Agency Mortgage-Backed Securities Y N/A N/A 2020-07-01 2020-07-01 2020-07-01 N N N 0.0009 115289000.00 115289000.00 0.0494 N Y Y N Wells Fargo Securities LLC In a joint trading account with Wells Fargo Securities LLC at 0.08%, dated 6/30/2020 due 07/01/2020 VYVVCKR63DVZZN70PB21 GCH847000_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 2038-02-15 2044-02-15 3.625 - 4.5 700668.84 1097718.25 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2038-02-25 2038-02-25 3.798 - 3.798 10339.20 7134.25 Agency Collateralized Mortgage Obligation FEDERAL NATIONAL MORTGAGE ASSOC 2036-03-25 2036-03-25 0.308 - 0.308 1833.96 21.73 Agency Collateralized Mortgage Obligation Y N/A N/A 2020-07-01 2020-07-01 2020-07-01 N N N 0.0008 1077000.00 1077000.00 0.0005 N Y Y N Wells Fargo Securities LLC In a joint trading account with Wells Fargo Securities LLC at 0.09%, dated 6/30/2020 due 07/01/2020 VYVVCKR63DVZZN70PB21 GCH946000_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 2038-02-15 2044-02-15 3.625 - 4.5 1367507.81 2142436.17 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2038-02-25 2038-02-25 3.798 - 3.798 20179.20 13924.04 Agency Collateralized Mortgage Obligation FEDERAL NATIONAL MORTGAGE ASSOC 2036-03-25 2036-03-25 0.308 - 0.308 3579.38 42.41 Agency Collateralized Mortgage Obligation Y N/A N/A 2020-07-01 2020-07-01 2020-07-01 N N N 0.0009 2102000.00 2102000.00 0.0009 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.11% to 0.13% 9127963C1 US9127963C19 U.S. Treasury Debt Y N/A N/A 2020-07-07 2020-07-07 2020-07-07 N N N 0.0011 170996508.18 170996508.18 0.0732 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.11% to 0.13% 9127963D9 US9127963D91 U.S. Treasury Debt Y N/A N/A 2020-07-14 2020-07-14 2020-07-14 N N N 0.0010 128595065.62 128595065.62 0.0551 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.11% to 0.20% 9127963F4 US9127963F40 U.S. Treasury Debt Y N/A N/A 2020-07-21 2020-07-21 2020-07-21 N N N 0.0011 169989138.70 169989138.70 0.0728 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.12% to 0.13% 912796WW5 US912796WW59 U.S. Treasury Debt Y N/A N/A 2020-07-09 2020-07-09 2020-07-09 N N N 0.0011 137996090.46 137996090.46 0.0591 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.13% to 0.14% 912796SZ3 US912796SZ37 U.S. Treasury Debt Y N/A N/A 2020-07-16 2020-07-16 2020-07-16 N N N 0.0011 121994217.20 121994217.20 0.0522 N Y Y N Royal Bank of Canada Royal Bank of Canada, 0.09% ES7IP3U3RHIGC71XBU11 GCH583000 Non-Negotiable Time Deposit Y N/A N/A 2020-07-01 2020-07-01 2020-07-01 N N N 0.0009 117000000.00 117000000.00 0.0501 N Y Y 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 0.0149 11000000.00 11000000.00 0.0047 N N Y N Fidelity Colchester Street Trust: Prime Money Market Portfolio 2020-07-02 Laura M. Del Prato Laura M. Del Prato President and Treasurer