N-MFP LIVE N 2014-09-30 0000704207 S000007503 2 N N 002-78458 FIDELITY MANAGEMENT & RESEARCH COMPANY (FMR) 801-07884 FIDELITY INVESTMENTS MONEY MANAGEMENT, INC. 801-34590 FIDELITY MANAGEMENT & RESEARCH (U.K.), INC. 801-28773 FIDELITY MANAGEMENT & RESEARCH (HONG KONG) LIMITED 801-69507 FIDELITY MANAGEMENT & RESEARCH (JAPAN) INC 801-69571 PRICEWATERHOUSECOOPERS LLP Boston MA None FIDELITY INVESTMENTS INSTIT. OPERATIONS CO. 0000862124 084-01839 N N N Prime 56 90 17501423388.71 611892332.69 376184949.04 17737130772.36 0.0021 1.0003 2014-09-30 1.0003 2014-09-30 C000020478 1000.00 7822775867.88 1.00 -371794633.46 2211218204.12 2583012837.58 0.0001 1.0003 2014-09-30 1.0003 2014-09-30 C000020477 1000.00 9914354904.48 1.00 30153647.81 3014554900.10 2984401252.29 0.0001 1.0003 2014-09-30 1.0003 2014-09-30 Bank of Montreal Chicago CD Program Bank of Montreal Chicago CD Program, 0.18% 06366BZ52 Certificate of Deposit First Tier Security 2014-11-13 2014-11-13 N N N 175000000.00 175000000.00 0.0099 N 175006405.00 175006405.00 Bank of Montreal Chicago CD Program Bank of Montreal Chicago CD Program, 0.18% 06366B4C1 Certificate of Deposit First Tier Security 2014-11-26 2014-11-26 N N N 69000000.00 69000000.00 0.0039 N 69003270.60 69003270.60 Bank of Montreal Chicago CD Program Bank of Montreal Chicago CD Program, 0.18% 06366CCF3 Certificate of Deposit First Tier Security 2014-12-23 2014-12-23 N N N 77000000.00 77000000.00 0.0043 N 76991021.80 76991021.80 Bank of Montreal Chicago CD Program Bank of Montreal Chicago CD Program, 0.20% 06366BG95 Certificate of Deposit First Tier Security 2014-10-10 2015-04-10 N N N 50000000.00 50000000.00 0.0028 N 49995550.00 49995550.00 Bank of Nova Scotia Bank of Nova Scotia, 0.21% 06417HJJ6 Certificate of Deposit First Tier Security 2014-10-10 2015-05-07 N N N 70000000.00 70000000.00 0.0039 N 69969620.00 69969620.00 Bank of Nova Scotia Bank of Nova Scotia, 0.22% 06417HLC8 Certificate of Deposit First Tier Security 2014-10-15 2015-05-15 N N N 145000000.00 145000000.00 0.0082 N 144982020.00 144982020.00 Bank of Nova Scotia Bank of Nova Scotia, 0.22% 06417HVE3 Certificate of Deposit First Tier Security 2014-10-23 2015-05-20 N N N 143000000.00 143000000.00 0.0081 N 142981839.00 142981839.00 Bank of Nova Scotia Bank of Nova Scotia, 0.22% 06417HHT6 Certificate of Deposit First Tier Security 2014-10-31 2015-03-31 N N N 73000000.00 73000000.00 0.0041 N 72992700.00 72992700.00 Bank of Nova Scotia Bank of Nova Scotia, 0.23% 06417HEN2 Certificate of Deposit First Tier Security 2014-10-03 2015-05-29 N N N 71000000.00 71000000.00 0.0040 N 71033086.00 71033086.00 Bank of Nova Scotia Bank of Nova Scotia, 0.25% 06417HPU4 Certificate of Deposit First Tier Security 2015-04-07 2015-04-07 N N N 225000000.00 225000000.00 0.0127 N 224999820.00 224999820.00 Bank of Nova Scotia Bank of Nova Scotia, 0.31% 06417E5W9 Certificate of Deposit First Tier Security 2014-10-14 2015-03-09 N N N 62000000.00 62000000.00 0.0035 N 62002046.00 62002046.00 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.25% 06538HHW3 Certificate of Deposit First Tier Security 2014-11-21 2014-11-21 N N N 200000000.00 200000000.00 0.0113 N 200020160.00 200020160.00 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.25% 06538HKF6 Certificate of Deposit First Tier Security 2014-12-01 2014-12-01 N N N 213000000.00 213000000.00 0.0120 N 213018275.40 213018275.40 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.25% 06538HLB4 Certificate of Deposit First Tier Security 2014-12-04 2014-12-04 N N N 195000000.00 195000000.00 0.0110 N 195017530.50 195017530.50 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.25% 06538HVS6 Certificate of Deposit First Tier Security 2015-02-03 2015-02-03 N N N 11000000.00 11000000.00 0.0006 N 11001150.60 11001150.60 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.25% 06538HYD6 Certificate of Deposit First Tier Security 2015-02-24 2015-02-24 N N N 100000000.00 100000000.00 0.0056 N 100012210.00 100012210.00 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.25% 06538HH60 Certificate of Deposit First Tier Security 2015-03-26 2015-03-26 N N N 35000000.00 35000000.00 0.0020 N 35003433.50 35003433.50 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.25% 06538HL24 Certificate of Deposit First Tier Security 2015-04-01 2015-04-01 N N N 120000000.00 120000000.00 0.0068 N 119999988.00 119999988.00 Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce, 0.24% 13606YZK5 Certificate of Deposit First Tier Security 2014-10-16 2015-06-12 N N N 200000000.00 200000000.00 0.0113 N 200010200.00 200010200.00 Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce, 0.30% 13606YPQ3 Certificate of Deposit First Tier Security 2014-10-03 2015-02-27 N N N 62000000.00 62000000.00 0.0035 N 62000000.00 62000000.00 Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce, 0.30% 13606YRX6 Certificate of Deposit First Tier Security 2014-10-06 2015-03-03 N N N 63000000.00 63000000.00 0.0036 N 63000315.00 63000315.00 Credit Agricole CIB Credit Agricole CIB, 0.24% 22533MQL8 Certificate of Deposit First Tier Security 2014-12-29 2014-12-29 N N N 180000000.00 180000000.00 0.0101 N 180004482.00 180004482.00 Credit Suisse AG Credit Suisse AG, 0.25% 22549T3A4 Certificate of Deposit First Tier Security 2014-11-10 2014-11-10 N N N 143000000.00 143000000.00 0.0081 N 143009752.60 143009752.60 Credit Suisse AG Credit Suisse AG, 0.25% 22549T3B2 Certificate of Deposit First Tier Security 2014-11-14 2014-11-14 N N N 25000000.00 25000000.00 0.0014 N 25001872.50 25001872.50 Credit Suisse AG Credit Suisse AG, 0.29% 22549T4Z8 Certificate of Deposit First Tier Security 2015-01-12 2015-01-12 N N N 85000000.00 85000000.00 0.0048 N 85002439.50 85002439.50 Credit Suisse AG Credit Suisse AG, 0.31% 22549TXS2 Certificate of Deposit First Tier Security 2014-10-03 2014-11-03 N N N 96000000.00 96000000.00 0.0054 N 95998368.00 95998368.00 Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 0.28% 60682AMK9 Certificate of Deposit First Tier Security 2014-10-10 2014-10-10 N N N 35000000.00 35000000.00 0.0020 N 35001067.50 35001067.50 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.25% 60688LWX0 Certificate of Deposit First Tier Security 2014-10-10 2014-10-10 N N N 70000000.00 70000000.00 0.0039 N 70001358.00 70001358.00 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.25% 60688LXA9 Certificate of Deposit First Tier Security 2014-10-14 2014-10-14 N N N 70000000.00 70000000.00 0.0039 N 70001904.00 70001904.00 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.25% 60688LXP6 Certificate of Deposit First Tier Security 2014-10-21 2014-10-21 N N N 70000000.00 70000000.00 0.0039 N 70002856.00 70002856.00 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.25% 60688LZF6 Certificate of Deposit First Tier Security 2014-11-10 2014-11-10 N N N 82000000.00 82000000.00 0.0046 N 82006527.20 82006527.20 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.25% 60688LZV1 Certificate of Deposit First Tier Security 2014-11-19 2014-11-19 N N N 118000000.00 118000000.00 0.0067 N 118011457.80 118011457.80 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.25% 60688LA71 Certificate of Deposit First Tier Security 2014-11-21 2014-11-21 N N N 120000000.00 120000000.00 0.0068 N 120012120.00 120012120.00 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.25% 60688LC20 Certificate of Deposit First Tier Security 2014-12-02 2014-12-02 N N N 73000000.00 73000000.00 0.0041 N 73005095.40 73005095.40 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.25% 60688LG42 Certificate of Deposit First Tier Security 2014-12-26 2014-12-26 N N N 72000000.00 72000000.00 0.0041 N 72006948.00 72006948.00 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.25% 60688LK62 Certificate of Deposit First Tier Security 2015-01-09 2015-01-09 N N N 35000000.00 35000000.00 0.0020 N 35001960.00 35001960.00 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.25% 60688LN44 Certificate of Deposit First Tier Security 2015-01-23 2015-01-23 N N N 135000000.00 135000000.00 0.0076 N 135008613.00 135008613.00 Natexis Banques Populaires New York Branch Natexis Banques Populaires New York Branch, 0.10% 63873FER5 Certificate of Deposit First Tier Security 2014-10-07 2014-10-07 N N N 350000000.00 350000000.00 0.0197 N 350000000.00 350000000.00 Natexis Banques Populaires New York Branch Natexis Banques Populaires New York Branch, 0.26% 63873FAQ1 Certificate of Deposit First Tier Security 2014-11-03 2014-11-03 N N N 205000000.00 205000000.00 0.0116 N 205013530.00 205013530.00 Natexis Banques Populaires New York Branch Natexis Banques Populaires New York Branch, 0.26% 63873FCK2 Certificate of Deposit First Tier Security 2014-12-01 2014-12-01 N N N 218000000.00 218000000.00 0.0123 N 218011227.00 218011227.00 Natexis Banques Populaires New York Branch Natexis Banques Populaires New York Branch, 0.26% 63873FED6 Certificate of Deposit First Tier Security 2015-01-05 2015-01-05 N N N 100000000.00 100000000.00 0.0056 N 100000000.00 100000000.00 Rabobank Nederland New York Branch Rabobank Nederland New York Branch, 0.21% 21684BSW5 Certificate of Deposit First Tier Security 2014-10-03 2015-01-05 N N N 76000000.00 76000000.00 0.0043 N 75996124.00 75996124.00 Royal Bank of Canada Royal Bank of Canada, 0.20% 78009NQR0 Certificate of Deposit First Tier Security 2014-10-24 2014-11-24 N N N 150000000.00 150000000.00 0.0085 N 149998500.00 149998500.00 Royal Bank of Canada Royal Bank of Canada, 0.23% 78009NRB4 Certificate of Deposit First Tier Security 2014-10-09 2015-04-09 N N N 71000000.00 71000000.00 0.0040 N 70996379.00 70996379.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.22% 86562JAE7 Certificate of Deposit First Tier Security 2014-10-20 2014-12-19 N N N 33000000.00 33000000.00 0.0019 N 33000693.00 33000693.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.24% 86562YAS3 Certificate of Deposit First Tier Security 2014-10-10 2014-10-10 N N N 82000000.00 82000000.00 0.0046 N 82001590.80 82001590.80 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.24% 86562YFE9 Certificate of Deposit First Tier Security 2014-11-07 2014-11-07 N N N 65000000.00 65000000.00 0.0037 N 65004108.00 65004108.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.24% 86562YHD9 Certificate of Deposit First Tier Security 2014-11-21 2014-11-21 N N N 59000000.00 59000000.00 0.0033 N 59005103.50 59005103.50 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.24% 86562YHZ0 Certificate of Deposit First Tier Security 2014-11-25 2014-11-25 N N N 64000000.00 64000000.00 0.0036 N 64005964.80 64005964.80 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.24% 86562YJB1 Certificate of Deposit First Tier Security 2014-11-28 2014-11-28 N N N 18000000.00 18000000.00 0.0010 N 18001767.60 18001767.60 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.24% 86562YQJ6 Certificate of Deposit First Tier Security 2015-01-05 2015-01-05 N N N 73000000.00 73000000.00 0.0041 N 72999992.70 72999992.70 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.24% 86562YSK1 Certificate of Deposit First Tier Security 2015-01-16 2015-01-16 N N N 76000000.00 76000000.00 0.0043 N 75999992.40 75999992.40 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.26% 86562YQW7 Certificate of Deposit First Tier Security 2015-02-05 2015-02-05 N N N 181000000.00 181000000.00 0.0102 N 181006407.40 181006407.40 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.26% 86562YSF2 Certificate of Deposit First Tier Security 2015-02-17 2015-02-17 N N N 58000000.00 58000000.00 0.0033 N 58002244.60 58002244.60 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.26% 86562YTM6 Certificate of Deposit First Tier Security 2015-02-23 2015-02-23 N N N 58100000.00 58100000.00 0.0033 N 58102353.05 58102353.05 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.33% 86562JAD9 Certificate of Deposit First Tier Security 2014-10-15 2015-03-16 N N N 144000000.00 144000000.00 0.0081 N 144017136.00 144017136.00 Sumitomo Mitsui Trust Banking Ltd. Sumitomo Mitsui Trust Banking Ltd., 0.24% 86563KPE7 Certificate of Deposit First Tier Security 2014-10-24 2014-10-24 N N N 71000000.00 71000000.00 0.0040 N 71003308.60 71003308.60 Sumitomo Mitsui Trust Banking Ltd. Sumitomo Mitsui Trust Banking Ltd., 0.24% 86563KPU1 Certificate of Deposit First Tier Security 2014-11-13 2014-11-13 N N N 82000000.00 82000000.00 0.0046 N 82006002.40 82006002.40 Sumitomo Mitsui Trust Banking Ltd. Sumitomo Mitsui Trust Banking Ltd., 0.24% 86563KPV9 Certificate of Deposit First Tier Security 2014-11-14 2014-11-14 N N N 83000000.00 83000000.00 0.0047 N 83006216.70 83006216.70 Sumitomo Mitsui Trust Banking Ltd. Sumitomo Mitsui Trust Banking Ltd., 0.24% 86563KQE6 Certificate of Deposit First Tier Security 2014-11-25 2014-11-25 N N N 177000000.00 177000000.00 0.0100 N 177016496.40 177016496.40 Sumitomo Mitsui Trust Banking Ltd. Sumitomo Mitsui Trust Banking Ltd., 0.24% 86563KRD7 Certificate of Deposit First Tier Security 2015-01-02 2015-01-02 N N N 100000000.00 100000000.00 0.0056 N 99999990.00 99999990.00 Sumitomo Mitsui Trust Banking Ltd. Sumitomo Mitsui Trust Banking Ltd., 0.24% 86563KRM7 Certificate of Deposit First Tier Security 2015-01-12 2015-01-12 N N N 69000000.00 69000000.00 0.0039 N 68999993.10 68999993.10 Sumitomo Mitsui Trust Banking Ltd. Sumitomo Mitsui Trust Banking Ltd., 0.24% 86563KRW5 Certificate of Deposit First Tier Security 2015-01-22 2015-01-22 N N N 70000000.00 70000000.00 0.0039 N 69999993.00 69999993.00 Svenska Handelsbanken, Inc. Svenska Handelsbanken, Inc., 0.20% 86958DCH3 Certificate of Deposit First Tier Security 2014-12-12 2014-12-12 N N N 200000000.00 200001983.12 0.0113 N 200006040.00 200006040.00 Toronto-Dominion Bank Toronto-Dominion Bank, 0.21% 89112UDF5 Certificate of Deposit First Tier Security 2014-10-16 2015-05-18 N N N 63000000.00 63000000.00 0.0036 N 62992062.00 62992062.00 Toronto-Dominion Bank Toronto-Dominion Bank, 0.23% 89112UGM7 Certificate of Deposit First Tier Security 2014-10-06 2015-06-08 N N N 63000000.00 63000000.00 0.0036 N 62991432.00 62991432.00 Toronto-Dominion Bank Toronto-Dominion Bank, 0.23% 89112UDA6 Certificate of Deposit First Tier Security 2015-02-17 2015-02-17 N N N 150000000.00 149999970.09 0.0085 N 150034890.00 150034890.00 Toronto-Dominion Bank Toronto-Dominion Bank, 0.23% 89112UER8 Certificate of Deposit First Tier Security 2015-02-24 2015-02-24 N N N 200000000.00 200000000.00 0.0113 N 200048840.00 200048840.00 Toronto-Dominion Bank Toronto-Dominion Bank, 0.25% 89112TZS6 Certificate of Deposit First Tier Security 2014-10-08 2014-10-08 N N N 95000000.00 95000000.00 0.0054 N 95003372.50 95003372.50 Toronto-Dominion Bank Toronto-Dominion Bank, 0.25% 89112TZA5 Certificate of Deposit First Tier Security 2014-10-10 2014-10-10 N N N 112000000.00 112000000.00 0.0063 N 112004972.80 112004972.80 Toronto-Dominion Bank Toronto-Dominion Bank, 0.30% 89112UVP3 Certificate of Deposit First Tier Security 2015-06-16 2015-06-16 N N N 37000000.00 37000000.00 0.0021 N 37005305.80 37005305.80 Toronto-Dominion Bank Toronto-Dominion Bank, 0.31% 89112UWD9 Certificate of Deposit First Tier Security 2015-07-02 2015-07-02 N N N 41000000.00 41000000.00 0.0023 N 40999991.80 40999991.80 UBS AG UBS AG, 0.26% 90267RYU7 Certificate of Deposit First Tier Security 2014-10-28 2015-01-27 N N N 100000000.00 100000000.00 0.0056 N 99993500.00 99993500.00 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.22% 2029919A5 0000008565 Certificate of Deposit First Tier Security 2014-12-22 2014-12-22 N N N 36000000.00 36000000.00 0.0020 N 36004975.20 36004975.20 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.25% XS1111121775 Certificate of Deposit First Tier Security 2014-12-12 2014-12-12 N N N 65000000.00 64968169.83 0.0037 N 64972329.50 64972329.50 National Australia Bank Ltd. National Australia Bank Ltd., 0.20% XS1062134454 0000833029 Certificate of Deposit First Tier Security 2014-10-24 2014-10-24 N N N 182000000.00 182000000.00 0.0103 N 181997634.00 181997634.00 National Australia Bank Ltd. National Australia Bank Ltd., 0.22% XS1075907730 0000833029 Certificate of Deposit First Tier Security 2014-10-06 2015-01-05 N N N 300000000.00 300000000.00 0.0169 N 299984700.00 299984700.00 National Australia Bank Ltd. National Australia Bank Ltd., 0.25% 39K99HHP8 0000833029 Certificate of Deposit First Tier Security 2015-03-10 2015-03-10 N N N 176000000.00 176000000.00 0.0099 N 175999964.80 175999964.80 BMO Harris Bank NA BMO Harris Bank NA, 0.20% 05574BCG3 Certificate of Deposit First Tier Security 2014-10-17 2014-10-17 N N N 100000000.00 100000000.00 0.0056 N 100006610.00 100006610.00 Citibank NA Citibank NA, 0.21% 17304UUP3 Certificate of Deposit First Tier Security 2014-10-03 2014-10-03 N N N 114000000.00 114000000.00 0.0064 N 114001425.00 114001425.00 Wells Fargo Bank NA Wells Fargo Bank NA, 0.21% 94988E2J6 Certificate of Deposit First Tier Security 2014-11-04 2014-11-04 N N N 40000000.00 40000000.00 0.0023 N 40004664.00 40004664.00 Fannie Mae Fannie Mae, 0.13% 3135G0YF4 Government Agency Debt First Tier Security 2014-10-05 2015-08-05 N N N 100000000.00 99982848.62 0.0056 N 100022000.00 100022000.00 Fannie Mae Fannie Mae, 0.14% 3135G0YU1 Government Agency Debt First Tier Security 2014-10-21 2015-10-21 N N N 197000000.00 196978819.51 0.0111 N 197075845.00 197075845.00 Federal Home Loan Bank Federal Home Loan Bank, 0.07% 313385K88 Government Agency Debt First Tier Security 2014-10-17 2014-10-17 N N N 300000000.00 299990666.64 0.0169 N 299998500.00 299998500.00 Federal Home Loan Bank Federal Home Loan Bank, 0.08% 313385H82 Government Agency Debt First Tier Security 2014-10-01 2014-10-01 N N N 156000000.00 156000000.00 0.0088 N 156000000.00 156000000.00 Federal Home Loan Bank Federal Home Loan Bank, 0.08% 313385J23 Government Agency Debt First Tier Security 2014-10-03 2014-10-03 N N N 215000000.00 214999068.32 0.0121 N 214999785.00 214999785.00 Federal Home Loan Bank Federal Home Loan Bank, 0.13% 3130A13N6 Government Agency Debt First Tier Security 2014-11-26 2015-08-26 N N N 42000000.00 41994335.63 0.0024 N 42001974.00 42001974.00 Federal Home Loan Bank Federal Home Loan Bank, 0.13% 3130A15R5 Government Agency Debt First Tier Security 2014-12-03 2015-09-03 N N N 65000000.00 64990679.40 0.0037 N 65003835.00 65003835.00 Federal Home Loan Bank Federal Home Loan Bank, 0.13% 3130A1DP0 Government Agency Debt First Tier Security 2014-12-14 2015-09-14 N N N 24880000.00 24876312.44 0.0014 N 24880895.68 24880895.68 Federal Home Loan Bank Federal Home Loan Bank, 0.14% 3130A0EP1 Government Agency Debt First Tier Security 2014-10-11 2015-12-11 N N N 100000000.00 99987820.08 0.0056 N 100033900.00 100033900.00 Federal Home Loan Bank Federal Home Loan Bank, 0.19% 3130A2W51 Government Agency Debt First Tier Security 2015-08-21 2015-08-21 N N N 82000000.00 81996303.83 0.0046 N 81990160.00 81990160.00 Federal Home Loan Bank Federal Home Loan Bank, 0.20% 3130A2P83 Government Agency Debt First Tier Security 2015-08-17 2015-08-17 N N N 200000000.00 200000000.00 0.0113 N 199997000.00 199997000.00 Federal Home Loan Bank Federal Home Loan Bank, 0.20% 3130A2W44 Government Agency Debt First Tier Security 2015-09-18 2015-09-18 N N N 51000000.00 50996050.56 0.0029 N 50992095.00 50992095.00 Federal Home Loan Bank Federal Home Loan Bank, 0.25% 3130A2SG2 Government Agency Debt First Tier Security 2015-08-27 2015-08-27 N N N 171775000.00 171775000.00 0.0097 N 171869132.70 171869132.70 Federal Home Loan Bank Federal Home Loan Bank, 0.25% 3130A2XR2 Government Agency Debt First Tier Security 2015-10-02 2015-10-02 N N N 200000000.00 200000000.00 0.0113 N 200089000.00 200089000.00 Freddie Mac Freddie Mac, 0.14% 3134G4DT2 Government Agency Debt First Tier Security 2014-10-16 2015-07-16 N N N 89500000.00 89492845.85 0.0050 N 89534726.00 89534726.00 Freddie Mac Freddie Mac, 0.14% 3134G4DU9 Government Agency Debt First Tier Security 2014-10-17 2015-07-17 N N N 89500000.00 89492821.01 0.0050 N 89534010.00 89534010.00 Freddie Mac Freddie Mac, 0.14% 3134G4C97 Government Agency Debt First Tier Security 2014-10-26 2015-06-26 N N N 176000000.00 175987077.27 0.0099 N 176066000.00 176066000.00 DNB Bank ASA DNB Bank ASA, 0.25% 2332K1QJ2 Financial Company Commercial Paper First Tier Security 2015-03-18 2015-03-18 N N N 34000000.00 33960333.32 0.0019 N 33962916.20 33962916.20 JPMorgan Securities LLC JPMorgan Securities LLC, 0.25% 46640EAT5 Financial Company Commercial Paper First Tier Security 2014-10-22 2015-04-22 N N N 80000000.00 80000000.00 0.0045 N 79991040.00 79991040.00 Skandinaviska Enskilda Banken AB Skandinaviska Enskilda Banken AB, 0.22% 83050UMV7 Financial Company Commercial Paper First Tier Security 2014-12-29 2014-12-29 N N N 100000000.00 99945611.10 0.0056 N 99955000.00 99955000.00 Swedbank AB Swedbank AB, 0.25% 87019SNU4 Financial Company Commercial Paper First Tier Security 2015-01-28 2015-01-28 N N N 49000000.00 48959506.95 0.0028 N 48972231.70 48972231.70 Toronto Dominion Holdings (U.S.A.) Toronto Dominion Holdings (U.S.A.), 0.24% 89116FP38 Financial Company Commercial Paper First Tier Security 2015-02-03 2015-02-03 N N N 41000000.00 40965833.33 0.0023 N 40980484.00 40980484.00 Toyota Motor Credit Corp. Toyota Motor Credit Corp., 0.20% 89233ACM9 Financial Company Commercial Paper First Tier Security 2014-10-14 2014-10-14 N N N 98000000.00 98000000.00 0.0055 N 97999902.00 97999902.00 Toyota Motor Credit Corp. Toyota Motor Credit Corp., 0.22% 89233HPJ7 Financial Company Commercial Paper First Tier Security 2015-02-18 2015-02-18 N N N 70000000.00 69940111.14 0.0039 N 69960520.00 69960520.00 Toyota Motor Credit Corp. Toyota Motor Credit Corp., 0.25% 89233HQR8 Financial Company Commercial Paper First Tier Security 2015-03-25 2015-03-25 N N N 58000000.00 57929513.87 0.0033 N 57947544.80 57947544.80 The Coca-Cola Co. The Coca-Cola Co., 0.20% 19121BMH9 Other Commercial Paper First Tier Security 2014-12-17 2014-12-17 N N N 20000000.00 19991444.44 0.0011 N 19995406.00 19995406.00 U.S. Treasury Bills U.S. Treasury Bills, 0.13% 912796DF3 Treasury Debt First Tier Security 2015-01-08 2015-01-08 N N N 200000000.00 199929875.00 0.0113 N 199990400.00 199990400.00 U.S. Treasury Bills U.S. Treasury Bills, 0.13% 912796DP1 Treasury Debt First Tier Security 2015-03-05 2015-03-05 N N N 80000000.00 79956847.57 0.0045 N 79989680.00 79989680.00 U.S. Treasury Notes U.S. Treasury Notes, 0.08% 912828DC1 Treasury Debt First Tier Security 2014-11-15 2014-11-15 N N N 78000000.00 78397714.42 0.0044 N 78399126.00 78399126.00 U.S. Treasury Notes U.S. Treasury Notes, 0.15% 912828SK7 Treasury Debt First Tier Security 2015-03-15 2015-03-15 N N N 31000000.00 31031320.74 0.0017 N 31046004.00 31046004.00 U.S. Treasury Notes U.S. Treasury Notes, 0.15% 912828UT5 Treasury Debt First Tier Security 2015-03-31 2015-03-31 N N N 35000000.00 35016711.65 0.0020 N 35035560.00 35035560.00 U.S. Treasury Notes U.S. Treasury Notes, 0.18% 912828UP3 Treasury Debt First Tier Security 2015-02-28 2015-02-28 N N N 105000000.00 105028792.99 0.0059 N 105090195.00 105090195.00 Svenska Handelsbanken AB Svenska Handelsbanken AB, 0.28% 86959JDE5 Other Note First Tier Security 2014-10-15 2015-03-13 N N N 33000000.00 33000000.00 0.0019 N 33000099.00 33000099.00 Svenska Handelsbanken AB Svenska Handelsbanken AB, 0.30% 86959JCX4 Other Note First Tier Security 2014-10-27 2015-03-27 N N N 133000000.00 133000000.00 0.0075 N 132991621.00 132991621.00 LP Pinewood SPV LLC Taxable LP Pinewood SPV LLC Taxable, 0.15% LOC Wells Fargo Bank NA VRDN 50212RAA7 Variable Rate Demand Note First Tier Security 2014-10-07 2014-10-07 Y WELLS FARGO BK NATL ASSN N/A N/A Y WELLS FARGO BK NATL ASSN N/A N/A N 33000000.00 33000000.00 0.0019 N 33000000.00 33000000.00 Credit Agricole CIB Credit Agricole CIB, 0.06% 44T99HTS0 Other Instrument Time Deposits First Tier Security 2014-10-01 2014-10-01 N N N 219000000.00 219000000.00 0.0123 N 219000000.00 219000000.00 ING Bank NV ING Bank NV, 0.11% 48X99QLX3 0001017255 Other Instrument Time Deposits First Tier Security 2014-10-07 2014-10-07 N N N 51000000.00 51000000.00 0.0029 N 51000000.00 51000000.00 Skandinaviska Enskilda Banken AB Skandinaviska Enskilda Banken AB, 0.06% 62C99UCN0 Other Instrument Time Deposits First Tier Security 2014-10-01 2014-10-01 N N N 357000000.00 357000000.00 0.0201 N 357000000.00 357000000.00 Swedbank AB Swedbank AB, 0.01% 44U996KQ5 Other Instrument Time Deposits First Tier Security 2014-10-01 2014-10-01 N N N 23000000.00 23000000.00 0.0013 N 23000000.00 23000000.00 International Bank Reconstruction & Development International Bank Reconstruction & Development, 0.30% 45905U7C2 Other Instrument Corporate Bonds First Tier Security 2015-10-28 2015-10-28 N N N 64000000.00 64000000.00 0.0036 N 64000000.00 64000000.00 Bank of America NA In a joint trading account with Bank of America NA at 0.01%, dated 9/30/2014 due 10/01/2014 48Z99QHL2_04197 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2021-01-25 2024-07-25 0 - 3.531 Government Agency Debt 80596415.84 82316248.56 FEDERAL NATIONAL MORTGAGE ASSOC 2040-04-25 2041-07-25 5.8 - 6 Government Agency Debt 47509435.35 13409466.48 GOVERNMENT NATIONAL MORTAGE ASSOC 2040-02-20 2040-04-16 3 - 5.25 Government Agency Debt 43073548.88 18911662.67 Unrated Security 2014-10-01 2014-10-01 N N N 111298394.00 111298393.95 0.0063 N 111298393.95 111298393.95 Barclays Capital, Inc. In a joint trading account with Barclays Capital, Inc. at 0.01%, dated 9/30/2014 due 10/01/2014 48Z99QHW8_06453 Government Agency Repurchase Agreement Y US TREASURY 2014-11-13 2042-05-15 0 - 5.125 Treasury Debt 14275863.35 14052354.06 Unrated Security 2014-10-01 2014-10-01 N N N 13673476.00 13673475.64 0.0008 N 13673475.64 13673475.64 BNP Paribas Securities Corp. In a joint trading account with BNP Paribas Securities Corp. at 0.01%, dated 9/30/2014 due 10/01/2014 48Z99QHL2_07629 Government Agency Repurchase Agreement Y US TREASURY 2015-02-05 2043-11-15 0 - 9.25 Treasury Debt 41509571.57 45933182.46 FEDERAL FARM CREDIT 2014-11-26 2016-08-26 0.133 - 0.174 Government Agency Debt 372965.15 373195.33 FEDERAL HOME LOAN BANK 2014-12-12 2017-06-21 0.25 - 4.75 Government Agency Debt 69264.96 70190.92 FEDERAL HOME LOAN MORTGAGE CORP 2015-11-17 2043-03-15 0.1 - 5.172 Government Agency Debt 12402450.88 7006618.51 FEDERAL NATIONAL MORTGAGE ASSOC 2015-02-27 2044-03-01 0 - 4.833 Government Agency Debt 27327642.34 6684374.04 GOVERNMENT NATIONAL MORTAGE ASSOC 2038-03-20 2044-07-20 0.683 - 4.5 Government Agency Debt 42841156.84 31306356.30 TENNESEE VALLEY AUTHORITY 2042-12-15 2042-12-15 3.5 - 3.5 Government Agency Debt 1184.02 1120.22 Unrated Security 2014-10-01 2014-10-01 N N N 89393234.00 89393233.78 0.0050 N 89393233.78 89393233.78 BNP Paribas Securities Corp. In a joint trading account with BNP Paribas Securities Corp. at 0.01%, dated 9/30/2014 due 10/01/2014 48Z99QHW8_07629 Government Agency Repurchase Agreement Y US TREASURY 2015-02-05 2043-11-15 0 - 9.25 Treasury Debt 23822920.40 26361692.21 FEDERAL FARM CREDIT 2014-11-26 2016-08-26 0.133 - 0.174 Government Agency Debt 214049.89 214181.99 FEDERAL HOME LOAN BANK 2014-12-12 2017-06-21 0.25 - 4.75 Government Agency Debt 39752.12 40283.54 FEDERAL HOME LOAN MORTGAGE CORP 2015-11-17 2043-03-15 0.1 - 5.172 Government Agency Debt 7117939.04 4021195.80 FEDERAL NATIONAL MORTGAGE ASSOC 2015-02-27 2044-03-01 0 - 4.833 Government Agency Debt 15683713.99 3836255.22 GOVERNMENT NATIONAL MORTAGE ASSOC 2038-03-20 2044-07-20 0.683 - 4.5 Government Agency Debt 24587135.71 17967153.26 TENNESEE VALLEY AUTHORITY 2042-12-15 2042-12-15 3.5 - 3.5 Government Agency Debt 679.52 642.91 Unrated Security 2014-10-01 2014-10-01 N N N 51304020.00 51304020.07 0.0029 N 51304020.07 51304020.07 Citibank NA In a joint trading account with Citibank NA at 0.01%, dated 9/30/2014 due 10/01/2014 48Z99QHL2_26602 Government Agency Repurchase Agreement Y US TREASURY 2014-10-31 2024-05-15 0.25 - 5.125 Treasury Debt 40745439.77 41463342.12 FEDERAL HOME LOAN MORTGAGE CORP 2014-10-15 2048-05-01 1.893 - 12.5 Government Agency Debt 123922732.38 21487213.77 FEDERAL NATIONAL MORTGAGE ASSOC 2014-10-25 2047-11-01 1.695 - 11.5 Government Agency Debt 142095951.54 33275689.67 GOVERNMENT NATIONAL MORTAGE ASSOC 2038-08-20 2044-06-15 3.5 - 5 Government Agency Debt 1201690.70 521563.84 Unrated Security 2014-10-01 2014-10-01 N N N 94850775.00 94850775.25 0.0053 N 94850775.25 94850775.25 Citibank NA In a joint trading account with Citibank NA at 0.01%, dated 9/30/2014 due 10/01/2014 48Z99QHW8_26602 Government Agency Repurchase Agreement Y US TREASURY 2014-10-31 2024-05-15 0.25 - 5.125 Treasury Debt 18355535.87 18678945.86 FEDERAL HOME LOAN MORTGAGE CORP 2014-10-15 2048-05-01 1.893 - 12.5 Government Agency Debt 55826324.91 9679839.64 FEDERAL NATIONAL MORTGAGE ASSOC 2014-10-25 2047-11-01 1.695 - 11.5 Government Agency Debt 64013233.14 14990465.65 GOVERNMENT NATIONAL MORTAGE ASSOC 2038-08-20 2044-06-15 3.5 - 5 Government Agency Debt 541353.26 234960.87 Unrated Security 2014-10-01 2014-10-01 N N N 42729611.00 42729611.38 0.0024 N 42729611.38 42729611.38 Credit Agricole CIB New York Branch In a joint trading account with Credit Agricole CIB New York Branch at 0.01%, dated 9/30/2014 due 10/01/2014 48Z99QHL2_04361 Government Agency Repurchase Agreement Y US TREASURY 2015-10-31 2043-05-15 0.25 - 3.625 Treasury Debt 4775404.24 4785035.55 FEDERAL HOME LOAN MORTGAGE CORP 2044-07-01 2044-07-01 4 - 4 Government Agency Debt 2051696.58 2152497.40 FEDERAL NATIONAL MORTGAGE ASSOC 2023-02-01 2044-10-01 2.5 - 6 Government Agency Debt 41794134.17 28271344.63 Unrated Security 2014-10-01 2014-10-01 N N N 34514433.00 34514433.04 0.0019 N 34514433.04 34514433.04 Credit Suisse Securities (USA) LLC In a joint trading account with Credit Suisse Securities (USA) LLC at 0.01%, dated 9/30/2014 due 10/01/2014 48Z99QHL2_26252 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2020-04-15 2044-07-15 3 - 9.25 Government Agency Debt 15539734.87 9903132.14 FEDERAL NATIONAL MORTGAGE ASSOC 2021-03-25 2044-01-25 3 - 8.5 Government Agency Debt 12514940.66 12041422.09 Unrated Security 2014-10-01 2014-10-01 N N N 21305206.00 21305205.58 0.0012 N 21305205.58 21305205.58 HSBC Securities (USA), Inc. In a joint trading account with HSBC Securities (USA), Inc. at 0.01%, dated 9/30/2014 due 10/01/2014 48Z99QHL2_39304 Government Agency Repurchase Agreement Y US TREASURY 2014-10-15 2043-11-15 0.25 - 11.25 Treasury Debt 95638293.54 99884750.47 FEDERAL NATIONAL MORTGAGE ASSOC 2024-08-01 2044-02-01 2.5 - 5 Government Agency Debt 37227090.58 33835652.30 Unrated Security 2014-10-01 2014-10-01 N N N 132688820.00 132688820.36 0.0075 N 132688820.36 132688820.36 ING Financial Markets LLC In a joint trading account with ING Financial Markets LLC at 0.01%, dated 9/30/2014 due 10/01/2014 48Z99QHL2_40488 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2025-06-01 2044-10-01 1.318 - 4.945 Government Agency Debt 116258156.43 41289619.77 Unrated Security 2014-10-01 2014-10-01 N N N 40479891.00 40479890.60 0.0023 N 40479890.60 40479890.60 J.P. Morgan Securities, Inc. In a joint trading account with J.P. Morgan Securities, Inc. at 0.01%, dated 9/30/2014 due 10/01/2014 48Z99QHL2_55502 Government Agency Repurchase Agreement Y US TREASURY 2015-01-31 2043-02-15 0.25 - 11.25 Treasury Debt 20555539.07 21705701.51 FEDERAL NATIONAL MORTGAGE ASSOC 2015-12-01 2053-05-01 2.5 - 9 Government Agency Debt 60098323.06 43501430.96 Unrated Security 2014-10-01 2014-10-01 N N N 63915617.00 63915616.74 0.0036 N 63915616.74 63915616.74 J.P. Morgan Securities, Inc. In a joint trading account with J.P. Morgan Securities, Inc. at 0.01%, dated 9/30/2014 due 10/01/2014 48Z99QHW8_55502 Government Agency Repurchase Agreement Y US TREASURY 2015-01-31 2043-02-15 0.25 - 11.25 Treasury Debt 9161352.02 9673965.33 FEDERAL NATIONAL MORTGAGE ASSOC 2015-12-01 2053-05-01 2.5 - 9 Government Agency Debt 26785086.55 19388055.01 Unrated Security 2014-10-01 2014-10-01 N N N 28486408.00 28486407.59 0.0016 N 28486407.59 28486407.59 Merrill Lynch, Pierce, Fenner & Smith, Inc. In a joint trading account with Merrill Lynch, Pierce, Fenner & Smith, Inc. at 0.01%, dated 9/30/2014 due 10/01/2014 48Z99QHW8_53651 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2026-01-01 2044-09-01 2.09 - 5 Government Agency Debt 22690241.30 8599012.58 FEDERAL NATIONAL MORTGAGE ASSOC 2022-03-01 2043-10-01 1.948 - 4.5 Government Agency Debt 34353876.26 11740285.32 Unrated Security 2014-10-01 2014-10-01 N N N 19940485.00 19940485.31 0.0011 N 19940485.31 19940485.31 Merrill Lynch, Pierce, Fenner & Smith, Inc. In a joint trading account with Merrill Lynch, Pierce, Fenner & Smith, Inc. at 0.01%, dated 9/30/2014 due 10/01/2014 48Z99QHL2_53651 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2026-01-01 2044-09-01 2.09 - 5 Government Agency Debt 15515618.54 5880016.75 FEDERAL NATIONAL MORTGAGE ASSOC 2022-03-01 2043-10-01 1.948 - 4.5 Government Agency Debt 23491228.33 8028023.42 Unrated Security 2014-10-01 2014-10-01 N N N 13635332.00 13635331.57 0.0008 N 13635331.57 13635331.57 Societe Generale In a joint trading account with Societe Generale at 0.01%, dated 9/30/2014 due 10/01/2014 48Z99QHL2_74037 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2020-01-01 2043-04-01 2.088 - 6.5 Government Agency Debt 109462266.17 4779123.93 FEDERAL NATIONAL MORTGAGE ASSOC 2017-07-01 2043-05-01 1.84 - 6.5 Government Agency Debt 67772979.44 21298454.97 Unrated Security 2014-10-01 2014-10-01 N N N 25566247.00 25566246.70 0.0014 N 25566246.70 25566246.70 Wells Fargo Securities LLC In a joint trading account with Wells Fargo Securities LLC at 0.01%, dated 9/30/2014 due 10/01/2014 48Z99QHL2_08395 Government Agency Repurchase Agreement Y US TREASURY 2028-04-15 2028-04-15 3.625 - 3.625 Treasury Debt 4314726.88 8761751.53 FEDERAL AGRICULTURE MORTGAGE CORP 2015-11-12 2016-07-27 0.25 - 2 Government Agency Debt 52823.16 53255.53 FEDERAL FARM CREDIT 2016-03-21 2023-11-09 0 - 6.03 Government Agency Debt 4320733.63 4636662.47 FEDERAL HOME LOAN BANK 2014-12-26 2023-10-17 0 - 5.375 Government Agency Debt 14998508.73 15116676.09 FEDERAL HOME LOAN MORTGAGE CORP 2016-09-29 2044-09-15 0 - 6.25 Government Agency Debt 31540966.11 33502130.82 FINANCE CORPORATION 2014-10-05 2017-10-06 0 - 0 Government Agency Debt 261550.13 251512.77 FEDERAL NATIONAL MORTGAGE ASSOC 2015-02-15 2044-01-25 0 - 7.125 Government Agency Debt 14163754.27 14769285.01 GOVERNMENT NATIONAL MORTAGE ASSOC 2036-11-16 2041-10-20 0.354 - 2 Government Agency Debt 2981233.46 1244746.24 TENNESEE VALLEY AUTHORITY 2014-11-01 2048-01-15 0 - 6.75 Government Agency Debt 2488926.90 1396143.06 Unrated Security 2014-10-01 2014-10-01 N N N 77977052.00 77977052.43 0.0044 N 77977052.43 77977052.43 Federal Reserve Bank of New York Federal Reserve Bank of New York, 0.00% 48X99KGS3 0001457970 Treasury Repurchase Agreement Y US TREASURY 2019-05-15 2019-05-15 3.125 - 3.125 Treasury Debt 2463256400.00 2648000014.19 First Tier Security 2014-10-01 2014-10-01 N N N 2648000000.00 2648000000.00 0.1493 N 2648000000.00 2648000000.00 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.14% 48X99F9W3 0000318336 Other Repurchase Agreement N FEDERAL HOME LOAN MORTGAGE CORP 2042-06-15 2042-06-15 3 - 3 Government Agency Debt 8380000.00 7213109.64 First Tier Security 2014-10-07 2014-10-07 N N N 7000000.00 7000000.00 0.0004 N 7000000.00 7000000.00 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.36% 48Z992AB4 0000318336 Other Repurchase Agreement N CROWNROCK L P / CROWNROCK FIN 2021-04-15 2021-04-15 7.125 - 7.125 Other Instrument CORPORATE 12315000.00 12963462.25 PROSPECT MEDICAL HLDGS 2019-05-01 2019-05-01 8.375 - 8.375 Other Instrument CORPORATE 4214000.00 4632019.80 WCI COMMUNITIES, INC. 2021-08-15 2021-08-15 6.875 - 6.875 Other Instrument CORPORATE 7000000.00 7248159.89 First Tier Security 2014-10-01 2014-10-01 N N N 23000000.00 23000000.00 0.0013 N 23000000.00 23000000.00 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) 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LLC, 0.41% 48X99F9A1 0000318336 Other Repurchase Agreement N CIT EDUCATION LOAN TRUST 2005- 2026-03-15 2026-03-15 0.354 - 0.354 Other Instrument ASSET BACKED 19295000.00 15433912.85 CLEAR CHANNEL COMMUNICATIONS, 2021-02-01 2027-10-15 7.25 - 14 Other Instrument CORPORATE 43685000.00 40289167.49 First Tier Security 2014-10-01 2014-10-01 N N N 52000000.00 52000000.00 0.0029 N 52000000.00 52000000.00 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.42% 48X99F9E3 0000318336 Other Repurchase Agreement N AFFINION INVTS LLC 2018-08-15 2018-08-15 13.5 - 13.5 Other Instrument CORPORATE 983000.00 951544.05 ANNA MERGER SUB INC 2022-10-01 2022-10-01 7.75 - 7.75 Other Instrument CORPORATE 400000.00 395344.45 ARDAGH PACKAGING FIN PLC / 2020-11-15 2020-11-15 7 - 7 Other Instrument CORPORATE 7290000.00 1296548.07 CENVEO CORPORATION 2022-09-15 2022-09-15 8.5 - 8.5 Other Instrument CORPORATE 10410000.00 9873306.48 CLEAR CHANNEL COMMUNICATIONS, 2021-02-01 2021-02-01 14 - 14 Other Instrument CORPORATE 17148609.00 16084441.99 COMPILER FIN SUB INC 2021-05-01 2021-05-01 7 - 7 Other Instrument CORPORATE 7400000.00 7195883.57 DENVER PARENT CORP 2018-08-15 2018-08-15 12.25 - 12.25 Other Instrument CORPORATE 126.00 116.83 INVENTIV HEALTH, INC. + 2018-08-15 2018-08-15 10 - 10 Other Instrument CORPORATE 4799000.00 3879003.59 JCH PARENT INC 2019-03-15 2019-03-15 10.5 - 10.5 Other Instrument CORPORATE 5000000.00 5035417.08 LBI MEDIA, INC. 2019-04-15 2019-04-15 9.25 - 9.25 Other Instrument CORPORATE 6590000.00 6906868.98 MIDAS INTER HOLDCO II LLC / 2022-10-01 2022-10-01 7.875 - 7.875 Other Instrument CORPORATE 250000.00 251265.62 MOHEGAN TRIBAL GAMING AUTHORIT 2018-09-15 2018-09-15 11 - 11 Other Instrument CORPORATE 1393000.00 1403215.26 REYNOLDS GROUP ISSUER LLC, REY 2018-05-15 2018-05-15 8.75 - 8.75 Other Instrument CORPORATE 50000.00 53461.81 WESTERN EXPRESS INC 2015-04-15 2015-04-15 12.5 - 12.5 Other Instrument CORPORATE 3000000.00 2838124.93 First Tier Security 2014-10-02 2014-10-02 N N N 52000000.00 52000000.00 0.0029 N 52000566.80 52000566.80 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.65% 48X99F4U2 0000318336 Other Repurchase Agreement N AEP INDUSTRIES INC. 2019-04-15 2019-04-15 8.25 - 8.25 Other Instrument CORPORATE 1890000.00 2027615.73 ALERE INC. 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LLC, 0.65% 48X99FVL2 0000318336 Other Repurchase Agreement N ACADIA HEALTHCARE CO INC 2022-07-01 2022-07-01 5.125 - 5.125 Other Instrument CORPORATE 716000.00 695641.27 DUCOMMUN INCORPORATED 2018-07-15 2018-07-15 9.75 - 9.75 Other Instrument CORPORATE 1000000.00 1091812.49 HECKMAMN CORPORATION 2018-04-15 2018-04-15 9.875 - 9.875 Other Instrument CORPORATE 125000.00 126855.46 KODIAK OIL & GAS CORP 2019-12-01 2022-02-01 5.5 - 8.125 Other Instrument CORPORATE 492000.00 526326.73 MEDIACOM BROADBAND LLC/ 2023-04-01 2023-04-01 6.375 - 6.375 Other Instrument CORPORATE 123000.00 128264.66 NBTY, INC. 2018-10-01 2018-10-01 9 - 9 Other Instrument CORPORATE 1030000.00 1067080.01 NEXSTAR BROADCASTING INC. 2020-11-15 2020-11-15 6.875 - 6.875 Other Instrument CORPORATE 55000.00 57602.95 NORTEK, INC. 2021-04-15 2021-04-15 8.5 - 8.5 Other Instrument CORPORATE 490000.00 532466.63 PINNACLE ENTERTAINMENT INC 2022-04-01 2022-04-01 7.75 - 7.75 Other Instrument CORPORATE 1351000.00 1469034.34 ROC FIN LLC / ROC FIN CORP 2018-09-01 2018-09-01 12.125 - 12.125 Other Instrument CORPORATE 7770000.00 8401771.55 RES-CARE INC. 2019-01-15 2019-01-15 10.75 - 10.75 Other Instrument CORPORATE 257000.00 281936.14 SBA COMMUNICATIONS CORPORATION 2019-10-01 2019-10-01 5.625 - 5.625 Other Instrument CORPORATE 1000.00 1028.28 SANDRIDGE ENERGY, INC. 2020-01-15 2023-02-15 7.5 - 8.75 Other Instrument CORPORATE 2039000.00 2072263.86 SPECTRUM BRANDS INC < 2020-03-15 2020-03-15 6.75 - 6.75 Other Instrument CORPORATE 1300000.00 1354437.51 USG CORPORATION 2016-11-15 2016-11-15 6.3 - 6.3 Other Instrument CORPORATE 755000.00 809964.03 UNIVERSAL HOSPITAL SERVICES, I 2020-08-15 2020-08-15 7.625 - 7.625 Other Instrument CORPORATE 647000.00 625476.01 AES ANDRES DOMINICANA, LTD /IT 2020-11-12 2020-11-12 9.5 - 9.5 Other Instrument CORPORATE 200000.00 221033.33 First Tier Security 2014-11-03 2014-11-03 N N N 18000000.00 18000000.00 0.0010 Y 18002160.00 18002160.00 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.65% 48X99FWT4 0000318336 Other Repurchase Agreement N COLLEGE LOAN CORPORATION TRUST 2047-11-01 2047-11-01 N/A Other Instrument ASSET BACKED 69105000.00 68320974.84 First Tier Security 2014-11-05 2014-11-05 N N N 65000000.00 65000000.00 0.0037 Y 65008450.00 65008450.00 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.65% 48X99F4V0 0000318336 Other Repurchase Agreement N BNC MORTGAGE LOAN TRUST 2007-1 2037-03-25 2037-03-25 0.255 - 0.255 Other Instrument ASSET BACKED 11000000.00 10249539.79 BLACK DIAMOND CLO 2013-1 LTD 2026-02-06 2026-02-06 3.083 - 3.083 Other Instrument ASSET BACKED 5000000.00 4802979.23 CIFC FDG 2014-II LTD / CIFC 2026-05-26 2026-05-26 N/A Other Instrument ASSET BACKED 1500000.00 1452893.97 CWABS INC. 2033-05-25 2033-05-25 1.015 - 1.015 Other Instrument ASSET BACKED 137017000.00 1260337.20 COUNTRYWIDE HOME LOAN TRUST 2035-04-25 2035-07-25 0.614 - 1.005 Other Instrument ASSET BACKED 15370000.00 11666051.23 CARRINGTON MORTGAGE LOAN TRUST 2034-05-25 2034-05-25 1.054 - 1.054 Other Instrument ASSET BACKED 3166973.00 1813931.83 COBALT CMBS COMMERCIAL MORTGAG 2048-08-15 2048-08-15 5.254 - 5.254 Other Instrument ASSET BACKED 15691000.00 16123870.37 CWHEQ REVOLVING HOME EQUITY LO 2034-02-15 2034-02-15 0.434 - 0.434 Other Instrument ASSET BACKED 35212098.00 4089187.04 DIAMOND RESORTS OWNER TR 2025-01-20 2025-01-20 2.89 - 2.89 Other Instrument ASSET BACKED 2500000.00 1255744.25 FINANCE AMERICA MORTGAGE LOAN 2034-08-25 2034-08-25 1.255 - 1.255 Other Instrument ASSET BACKED 3581000.00 360003.26 GSAMP TRUST 2005-HE2-N 2035-10-25 2035-10-25 0.575 - 0.575 Other Instrument ASSET BACKED 460000.00 284205.38 GREENPOINT CREDIT, LLC 2032-04-20 2032-04-20 1.423 - 1.423 Other Instrument ASSET BACKED 4000000.00 2408201.22 GREENPOINT MORTGAGE FUNDING TR 2035-07-25 2035-07-25 0.444 - 0.444 Other Instrument ASSET BACKED 598416.00 69163.09 HIGHBRIDGE LN MGMT 3-2014 LTD 2025-01-18 2025-01-18 3.134 - 3.134 Other Instrument ASSET BACKED 2500000.00 2412304.28 LEHMAN ABS MANUFACTURED HOUSIN 2028-03-15 2028-03-15 6.63 - 6.63 Other Instrument ASSET BACKED 32554000.00 33984095.09 LIMEROCK CLO II LTD / LIMEROCK 2026-04-18 2026-04-18 N/A Other Instrument ASSET BACKED 5000000.00 4840394.85 ML-CFC COMMERCIAL MORTGAGE TRU 2051-03-12 2051-03-12 5.526 - 5.526 Other Instrument ASSET BACKED 9167000.00 9566818.55 MOUNTAIN HAWK III CLO LTD / 2025-04-18 2025-04-18 3.04 - 3.04 Other Instrument ASSET BACKED 5000000.00 4860599.94 NORTHWOODS CAP XI LTD / 2025-04-15 2025-04-15 2.984 - 2.984 Other Instrument ASSET BACKED 5000000.00 4765972.20 OCP CLO 2013-3 LTD / OCP CLO 2025-01-17 2025-01-17 N/A Other Instrument ASSET BACKED 500000.00 475633.03 OZLM VI LTD / OZLM VI LLC 2026-04-17 2026-04-17 N/A Other Instrument ASSET BACKED 3000000.00 2915730.00 OAKTREE CLO 2014-1 LTD / 2025-02-13 2025-02-13 3.087 - 3.087 Other Instrument ASSET BACKED 4250000.00 4136285.78 RENAISSANCE HOME EQUITY LOAN T 2033-08-25 2033-08-25 0.979 - 0.979 Other Instrument ASSET BACKED 5000000.00 1365947.87 SASCO MORTGAGE TRUST SERIES 20 2034-08-25 2034-08-25 1.204 - 1.204 Other Instrument ASSET BACKED 8534000.00 3418618.55 SENECA PK CLO LTD / SENECA PAK 2026-07-17 2026-07-17 N/A Other Instrument ASSET BACKED 4845000.00 4752387.96 SHACKLETON 2013-IV CLO LTD / 2025-01-13 2025-01-13 3.244 - 3.244 Other Instrument ASSET BACKED 500000.00 489747.70 SOUND PT CLO III LTD / SOUND 2025-07-15 2025-07-15 N/A Other Instrument ASSET BACKED 4000000.00 3815611.84 STRUCTURED ASSET INVESTMENT LO 2034-09-25 2034-09-25 1.395 - 1.395 Other Instrument ASSET BACKED 7000000.00 2476365.30 TRIP RAIL MASTER FDG LLC 2044-04-15 2044-04-15 4.085 - 4.085 Other Instrument ASSET BACKED 4500000.00 4608488.92 VENTURE XV CLO LTD / VENTURE 2025-07-15 2025-07-15 3.38 - 3.38 Other Instrument ASSET BACKED 2000000.00 1970433.71 First Tier Security 2014-11-13 2014-11-13 N N N 137000000.00 137000000.00 0.0077 Y 137021920.00 137021920.00 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.65% 48X99F4X6 0000318336 Other Repurchase Agreement N COLLEGE LOAN CORPORATION TRUST 2047-11-01 2047-11-01 N/A Other Instrument ASSET BACKED 67750000.00 67241875.48 First Tier Security 2014-11-18 2014-11-18 N N N 64000000.00 64000000.00 0.0036 Y 64010880.00 64010880.00 J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp., 0.59% 45A99N9N7 Other Repurchase Agreement N ANNALY MORTGAGE MANAGEMENT 2014-09-30 2014-09-30 N/A Other Instrument OTHER NOTE 15224000.00 15709478.14 EXELIXIS, INC. 2014-09-30 2014-09-30 N/A Other Instrument OTHER NOTE 13068000.00 7807358.99 MENTOR GRAPHICS CORP 2014-09-30 2014-09-30 N/A Other Instrument OTHER NOTE 2000000.00 2425000.00 WALTER INVESTMENT MANAGEMENT C 2014-09-30 2014-09-30 N/A Other Instrument OTHER NOTE 4000000.00 3460320.00 First Tier Security 2014-10-14 2014-10-14 N N N 27000000.00 27000000.00 0.0015 Y 27002430.00 27002430.00 J.P. Morgan Clearing Corp. J.P. 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Morgan Clearing Corp., 0.63% 45A99N9P2 Other Repurchase Agreement N AKORN INC 2014-09-30 2014-09-30 N/A Other Instrument OTHER NOTE 1656000.00 6872974.63 CSG SYSTEMS INTERNATIONAL, INC 2014-09-30 2014-09-30 N/A Other Instrument OTHER NOTE 3200000.00 4079360.00 CIENA CORPORATION 2014-09-30 2014-09-30 N/A Other Instrument OTHER NOTE 4735000.00 4962649.33 IXIA 2014-09-30 2014-09-30 N/A Other Instrument OTHER NOTE 5643000.00 5559105.52 PFD NUVASIVE INC SR-D1 2014-09-30 2014-09-30 N/A Other Instrument OTHER NOTE 1244000.00 1395985.70 First Tier Security 2014-12-29 2014-12-29 Y JP MORGAN CLRING(NON GOV REPO) N/A N/A N N 21000000.00 21000000.00 0.0012 Y 21007140.00 21007140.00 J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp., 0.64% 45A99N9J6 Other Repurchase Agreement N AFFYMETRIX, INC. 2014-09-30 2014-09-30 N/A Other Instrument OTHER NOTE 3135000.00 4953300.00 AKORN INC 2014-09-30 2014-09-30 N/A Other Instrument OTHER NOTE 997000.00 4137895.96 EXELIXIS, INC. 2014-09-30 2014-09-30 N/A Other Instrument OTHER NOTE 10358000.00 6188293.88 KAISER ALUMINUM CORPORATION 2014-09-30 2014-09-30 N/A Other Instrument OTHER NOTE 2536000.00 4115826.56 PFD SUNPOWER CORPONE 2014-09-30 2014-09-30 N/A Other Instrument OTHER NOTE 1500000.00 2412375.00 First Tier Security 2014-10-06 2014-10-06 N N N 20000000.00 20000000.00 0.0011 N 20000800.00 20000800.00 J.P. Morgan Securities, Inc. J.P. Morgan Securities, Inc., 0.13% 48W99WSW6 0001287279 Other Repurchase Agreement N GOVERNMENT NATIONAL MORTAGE ASSOC 2044-09-16 2044-09-16 0.455 - 0.455 Government Agency Debt 17475000.00 15450112.40 First Tier Security 2014-10-01 2014-10-01 N N N 15000000.00 15000000.00 0.0008 N 15000000.00 15000000.00 J.P. Morgan Securities, Inc. J.P. Morgan Securities, Inc., 0.20% 48W99WSF3 0001287279 Other Repurchase Agreement N GOVERNMENT NATIONAL MORTAGE ASSOC 2039-12-20 2042-04-20 2.5 - 4.5 Government Agency Debt 63010018.00 35021463.45 First Tier Security 2014-10-01 2014-10-01 N N N 34000000.00 34000000.00 0.0019 N 34000000.00 34000000.00 J.P. Morgan Securities, Inc. J.P. Morgan Securities, Inc., 0.59% 48W99WEB7 0001287279 Other Repurchase Agreement N AT & T INC 2015-12-01 2038-01-15 0.8 - 6.3 Other Instrument CORPORATE 11530000.00 11574822.68 First Tier Security 2014-12-19 2014-12-19 Y JPMORGAN SECS (NON GOV REPO) N/A N/A N N 11000000.00 11000000.00 0.0006 Y 11005280.00 11005280.00 J.P. Morgan Securities, Inc. J.P. Morgan Securities, Inc., 0.61% 48W99WEA9 0001287279 Other Repurchase Agreement N BEAR STEARNS MORTGAGE FUNDING 2036-10-25 2036-10-25 0.335 - 0.335 Other Instrument GOVERNMENT AGENCY 26490000.00 9639520.89 BEAR STEARNS MORTGAGE FUNDING 2036-09-25 2036-09-25 0.354 - 0.354 Other Instrument GOVERNMENT AGENCY 174300000.00 62865799.19 First Tier Security 2014-12-19 2014-12-19 Y JPMORGAN SECS (NON GOV REPO) N/A N/A N N 67000000.00 67000000.00 0.0038 Y 67034840.00 67034840.00 J.P. Morgan Securities, Inc. J.P. Morgan Securities, Inc., 0.62% 48W99WHV0 0001287279 Other Repurchase Agreement N BEAR STEARNS MORTGAGE FUNDING 2037-06-25 2037-06-25 0.364 - 0.364 Other Instrument GOVERNMENT AGENCY 130740000.00 50832276.34 First Tier Security 2014-11-07 2014-11-07 N N N 47000000.00 47000000.00 0.0026 Y 47007520.00 47007520.00 J.P. Morgan Securities, Inc. J.P. Morgan Securities, Inc., 0.63% 48W99WFR1 0001287279 Other Repurchase Agreement N AMERICAN HOME MORTGAGE ASSET T 2046-12-25 2046-12-25 0.345 - 0.345 Other Instrument GOVERNMENT AGENCY 12274800.00 4633918.78 BEAR STEARNS ASSET BACKED SECU 2036-07-25 2036-07-25 0.405 - 0.405 Other Instrument GOVERNMENT AGENCY 45000000.00 8497861.10 CWALT, INC. 2004-2CB 2035-03-25 2035-03-25 0.655 - 2.582 Other Instrument GOVERNMENT AGENCY 76470000.00 9076604.77 CWALT, INC., 2005-79CB 2036-02-25 2036-05-25 0.504 - 0.655 Other Instrument GOVERNMENT AGENCY 127471620.00 32396573.54 CITIMORTGAGE ALTERNATIVE LOAN 2036-10-25 2036-10-25 0.604 - 0.604 Other Instrument GOVERNMENT AGENCY 40216000.00 10343749.47 INDYMAC INDA MORTGAGE LOAN TRU 2037-08-25 2037-08-25 5.074 - 5.074 Other Instrument GOVERNMENT AGENCY 45000000.00 12973926.81 MASTR ASSET SECURITIZATION TRU 2036-06-25 2036-06-25 0.655 - 0.655 Other Instrument GOVERNMENT AGENCY 49013000.00 7220544.15 WASHINGTON MUTUAL MORTGAGE PAS 2035-08-25 2035-08-25 1.605 - 1.605 Other Instrument GOVERNMENT AGENCY 41289416.00 21972385.46 First Tier Security 2014-12-29 2014-12-29 Y JPMORGAN SECS (NON GOV REPO) N/A N/A N N 99000000.00 99000000.00 0.0056 Y 99033660.00 99033660.00 J.P. Morgan Securities, Inc. J.P. Morgan Securities, Inc., 0.63% 48W99WJL0 0001287279 Other Repurchase Agreement N BEAR STEARNS MORTGAGE FUNDING 2036-10-25 2036-10-25 0.335 - 0.335 Other Instrument GOVERNMENT AGENCY 135620000.00 49351144.72 RALI SERIES 2005-QS9 TRUST 2045-12-25 2045-12-25 0.435 - 0.435 Other Instrument GOVERNMENT AGENCY 116578725.00 25269235.53 First Tier Security 2014-12-29 2014-12-29 Y JPMORGAN SECS (NON GOV REPO) N/A N/A N N 69000000.00 69000000.00 0.0039 Y 69005520.00 69005520.00 J.P. Morgan Securities, Inc. J.P. Morgan Securities, Inc., 0.63% 48W99WMS1 0001287279 Other Repurchase Agreement N GOLDMAN SACHS CAPITAL III 2014-09-30 2014-09-30 N/A Other Instrument OTHER NOTE 5007000.00 3880725.42 IRON MOUNTAIN INCORPORATED 2014-09-30 2014-09-30 N/A Other Instrument OTHER NOTE 7952000.00 8387777.55 LEVEL 3 COMMUNICATIONS, INC. 2014-09-30 2014-09-30 N/A Other Instrument OTHER NOTE 12360000.00 13608879.12 MUELLER WATER PRODUCTS, INC. 2014-09-30 2014-09-30 N/A Other Instrument OTHER NOTE 752000.00 781766.42 NATIONAL MENTOR HOLDINGS, INC. 2014-09-30 2014-09-30 N/A Other Instrument OTHER NOTE 4885000.00 5292760.72 NEW PLAN EXCEL REALTY 2014-09-30 2014-09-30 N/A Other Instrument OTHER NOTE 27500000.00 27799073.50 NUVEEN INVESTMENTS INC CLASS A 2014-09-30 2014-09-30 N/A Other Instrument OTHER NOTE 20925000.00 23336104.05 PROVIDENT FUNDING ASSOCIATES, 2014-09-30 2014-09-30 N/A Other Instrument OTHER NOTE 9022000.00 9826654.14 REALOGY CORPORATION 2014-09-30 2014-09-30 N/A Other Instrument OTHER NOTE 4018000.00 4466007.00 TENNECO AUTOMOTIVE INC< 2014-09-30 2014-09-30 N/A Other Instrument OTHER NOTE 2214000.00 2308095.00 TOYS R US, INC. 2014-09-30 2014-09-30 N/A Other Instrument OTHER NOTE 4464000.00 3658279.25 First Tier Security 2014-12-29 2014-12-29 Y JPMORGAN SECS (NON GOV REPO) N/A N/A N N 95000000.00 95000000.00 0.0054 Y 95020900.00 95020900.00 J.P. Morgan Securities, Inc. J.P. Morgan Securities, Inc., 0.65% 48W99WQQ1 0001287279 Other Repurchase Agreement N BANC OF AMERICA MORTGAGE SECUR 2035-03-25 2035-03-25 2.624 - 2.624 Other Instrument GOVERNMENT AGENCY 500000.00 103406.19 BANC OF AMERICA COMMERCIAL MOR 2047-09-10 2047-09-10 5.477 - 5.477 Other Instrument GOVERNMENT AGENCY 3079.00 2870.23 BEAR STEARNS MORTGAGE FUNDING 2037-06-25 2037-06-25 0.364 - 0.364 Other Instrument GOVERNMENT AGENCY 14694000.00 5713090.63 CWALT, INC. 2004-2CB 2035-03-25 2035-03-25 5.5 - 5.5 Other Instrument GOVERNMENT AGENCY 4500000.00 691186.96 CWALT, INC., 2005-13CB 2035-05-25 2035-05-25 0.655 - 0.655 Other Instrument GOVERNMENT AGENCY 10000000.00 1533875.32 CWALT, INC., 2005-79CB 2036-05-25 2036-05-25 5.75 - 5.75 Other Instrument GOVERNMENT AGENCY 2000000.00 929578.54 CHASE MORTGAGE FINANCE 2007-A1 2037-03-25 2037-03-25 2.473 - 5.176 Other Instrument GOVERNMENT AGENCY 12023419.00 3834009.66 CHASE MORTGAGE FINANCE TRUST 2 2037-12-25 2037-12-25 2.535 - 2.535 Other Instrument GOVERNMENT AGENCY 2850000.00 535330.79 CHASE MORTGAGE FINANCE TRUST 2 2036-09-25 2036-09-25 2.514 - 2.514 Other Instrument GOVERNMENT AGENCY 4148000.00 2076810.38 CSCM MORTGAGE TRUST SERIES, SE 2040-02-15 2040-02-15 5.457 - 5.457 Other Instrument GOVERNMENT AGENCY 2197.00 1110.79 INDY MAC BANK 2034-08-25 2034-08-25 2.371 - 2.371 Other Instrument GOVERNMENT AGENCY 1000000.00 27942.21 INDYMAC INDX MORTGAGE LOAN TRU 2035-12-25 2035-12-25 4.614 - 4.614 Other Instrument GOVERNMENT AGENCY 5214000.00 4025696.00 J.P. MORGAN MORTGAGE TRUST 200 2036-04-25 2036-05-25 2.629 - 2.674 Other Instrument GOVERNMENT AGENCY 6400000.00 2105134.36 JPMORGAN MORTGAGE TRUST 2006-A 2036-06-25 2036-06-25 2.367 - 2.367 Other Instrument GOVERNMENT AGENCY 3500000.00 314029.89 J.P. MORGAN MORTGAGE TRUST 200 2036-08-25 2036-08-25 0.154 - 0.154 Other Instrument GOVERNMENT AGENCY 1846154.00 11995.21 J.P. MORGAN MORTGAGE TRUST 200 2036-08-25 2036-08-25 2.467 - 2.562 Other Instrument GOVERNMENT AGENCY 7330000.00 3510116.52 JPMORGAN CHASE COMMERCIAL MORT 2047-05-15 2047-05-15 5.386 - 5.386 Other Instrument GOVERNMENT AGENCY 1825000.00 1637228.88 JPMORGAN CHASE COMMERCIAL MTG 2049-01-15 2049-01-15 5.438 - 5.438 Other Instrument GOVERNMENT AGENCY 9000000.00 7021788.24 RALI SERIES 2003-QS4 TRUST 2035-05-25 2035-05-25 2.98 - 2.98 Other Instrument GOVERNMENT AGENCY 3611900.00 496899.34 First Tier Security 2014-12-29 2014-12-29 Y JPMORGAN SECS (NON GOV REPO) N/A N/A N N 32000000.00 32000000.00 0.0018 Y 32011200.00 32011200.00 RBC Capital Markets Co. RBC Capital Markets Co., 0.19% 42T99Q4R3 0000050916 Other Repurchase Agreement N FEDERAL HOME LOAN MORTGAGE CORP 2022-10-15 2044-03-01 2.5 - 11.585 Government Agency Debt 34819182.00 8673579.35 FEDERAL NATIONAL MORTGAGE ASSOC 2018-10-25 2044-05-01 0 - 9.25 Government Agency Debt 182005464.00 12426486.65 GOVERNMENT NATIONAL MORTAGE ASSOC 2039-04-20 2044-09-20 2.5 - 8.459 Government Agency Debt 460298.00 447767.49 First Tier Security 2014-10-07 2014-10-07 Y RBC CAP MARKETS LLC(NON-GV RP) N/A N/A N N 21000000.00 21000000.00 0.0012 N 21000000.00 21000000.00 RBC Capital Markets Co. 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RBC Capital Markets Co., 0.38% 42T99Q4P7 0000050916 Other Repurchase Agreement N ALCATEL-LUCENT USA INC 2017-07-01 2017-07-01 4.625 - 4.625 Other Instrument CORPORATE 246376.00 250410.41 ALTICE S A 2022-05-15 2022-05-15 7.75 - 7.75 Other Instrument CORPORATE 47721.00 48556.12 AURICO GOLD INC 2020-04-01 2020-04-01 7.75 - 7.75 Other Instrument CORPORATE 39157.00 39182.29 AVAYA INC 2019-04-01 2019-04-01 7 - 7 Other Instrument CORPORATE 69149.00 69135.55 BANK AMER CORP 2099-12-29 2099-12-29 5.2 - 5.2 Other Instrument CORPORATE 435036.00 412605.06 BIOMET INC 2020-08-01 2020-08-01 6.5 - 6.5 Other Instrument CORPORATE 68118.00 72675.28 CCO HLDGS LLC / CCO HLDGS CAP CORP 2020-04-30 2020-04-30 8.125 - 8.125 Other Instrument CORPORATE 155338.00 168752.08 CIT GROUP INC NEW 2018-03-15 2018-03-15 5.25 - 5.25 Other Instrument CORPORATE 21721.00 22284.39 CNG HLDGS INC 2020-05-15 2020-05-15 9.375 - 9.375 Other Instrument CORPORATE 98538.00 80323.87 CALUMET SPECIALTY PRODS PARTNERS LP / CALUMET FI 2022-01-15 2022-01-15 7.625 - 7.625 Other Instrument CORPORATE 161250.00 165424.02 CLEAR CHANNEL COMMUNICATIONS INC 2027-10-15 2027-10-15 7.25 - 7.25 Other Instrument CORPORATE 4150.00 3644.65 CONCHO RES INC 2022-01-15 2022-01-15 6.5 - 6.5 Other Instrument CORPORATE 3341.00 3561.65 D R HORTON INC 2017-05-15 2017-05-15 4.75 - 4.75 Other Instrument CORPORATE 661043.00 696780.64 DIGICEL GROUP LTD 2020-09-30 2020-09-30 8.25 - 8.25 Other Instrument CORPORATE 29732.00 30475.30 ELDORADO GOLD CORP NEW 2020-12-15 2020-12-15 6.125 - 6.125 Other Instrument CORPORATE 1909.00 1928.79 ENERGY XXI GULF COAST INC 2021-12-15 2021-12-15 7.5 - 7.5 Other Instrument CORPORATE 173913.00 174239.09 ENOVA INTL INC 2021-06-01 2021-06-01 9.75 - 9.75 Other Instrument CORPORATE 2397.00 2458.87 FLEXTRONICS INTL LTD 2023-02-15 2023-02-15 5 - 5 Other Instrument CORPORATE 235.00 236.47 GANNETT CO INC 2016-04-01 2020-07-15 5.125 - 10 Other Instrument CORPORATE 3671.00 3864.95 GENERAL MTRS CO 2018-10-02 2018-10-02 3.5 - 3.5 Other Instrument CORPORATE 1897709.00 1923802.50 HCA INC FORMERLY HCA-HEALTHCARE CO TO 07/01/2001 2019-03-15 2019-03-15 3.75 - 3.75 Other Instrument CORPORATE 1004000.00 982769.58 HOMER CITY GENERATION L P 2019-10-01 2019-10-01 8.137 - 8.137 Other Instrument CORPORATE 703659.00 760274.68 IASIS CAP LLC / IASIS CAP CORP 2019-05-15 2019-05-15 8.375 - 8.375 Other Instrument CORPORATE 40661.00 43767.75 M D C HLDGS INC FORMERLY M D C CORP COLO TO 06/2 2043-01-15 2043-01-15 6 - 6 Other Instrument CORPORATE 2212553.00 2052142.91 MGM RESORTS INTL FORMERLY MGM GRAND INC TO 08/01 2016-06-01 2016-06-01 7.5 - 7.5 Other Instrument CORPORATE 151210.00 165165.42 MARTIN MIDSTREAM PARTNERS LP / MARTIN MIDSTREAM 2021-02-15 2021-02-15 7.25 - 7.25 Other Instrument CORPORATE 27318.00 27428.98 MEDIACOM BROADBAND LLC & MEDIACOM BROADBAND CORP 2021-04-15 2021-04-15 5.5 - 5.5 Other Instrument CORPORATE 1019697.00 1029993.11 MICRON TECHNOLOGY INC 2025-02-01 2025-02-01 5.5 - 5.5 Other Instrument CORPORATE 1330233.00 1306251.85 OASIS PETE INC NEW 2022-03-15 2022-03-15 6.875 - 6.875 Other Instrument CORPORATE 73.00 77.84 OFFICE DEPOT INC 2019-03-15 2019-03-15 9.75 - 9.75 Other Instrument CORPORATE 677117.00 761121.83 OMEGA HEALTHCARE INVS INC 2022-10-15 2022-10-15 6.75 - 6.75 Other Instrument CORPORATE 685.00 749.00 PARIS LAS VEGAS HLDG LLC / HARRAHS LAS VEGAS LLC 2021-10-01 2021-10-01 11 - 11 Other Instrument CORPORATE 137759.00 136683.71 PULTEGROUP INC FORMERLY PULTE CORP TO 05/17/2001 2033-05-15 2033-05-15 6.375 - 6.375 Other Instrument CORPORATE 187421.00 192370.09 RJS PWR HLDGS LLC 2019-07-15 2019-07-15 5.125 - 5.125 Other Instrument CORPORATE 5154.00 5098.20 REALOGY GROUP LLC / SUNSHINE GROUP FLA LTD CORP 2016-05-01 2016-05-01 3.375 - 3.375 Other Instrument CORPORATE 23856.00 24129.60 REYNOLDS GROUP ISSUER INC/ REYNOLDS GROUP ISSUER 2019-04-15 2019-04-15 9 - 9 Other Instrument CORPORATE 613369.00 663205.23 ROCKIES EXPRESS PIPELINE LLC 2020-04-15 2020-04-15 5.625 - 5.625 Other Instrument CORPORATE 670.00 707.37 SESI L L C 2019-05-01 2019-05-01 6.375 - 6.375 Other Instrument CORPORATE 1999.00 2131.70 SLM CORP MEDIUM TERM NTS BOOK ENTRY 2017-01-25 2017-01-25 6 - 6 Other Instrument CORPORATE 1690631.00 1789251.14 SPEEDY CASH INTER HLDGS CORP 2018-05-15 2018-05-15 10.75 - 10.75 Other Instrument CORPORATE 3619.00 3782.99 SUPERVALU INC 2016-05-01 2016-05-01 8 - 8 Other Instrument CORPORATE 4365729.00 4837712.81 TELECOM ITALIA CAP 2034-09-30 2034-09-30 6 - 6 Other Instrument CORPORATE 569976.00 552876.72 TENET HEALTHCARE CORP 2019-03-01 2019-03-01 5 - 5 Other Instrument CORPORATE 27069.00 26467.47 UNIVISION COMMICATIONS INC 2019-05-15 2019-05-15 6.875 - 6.875 Other Instrument CORPORATE 1825402.00 1945479.22 VANTAGE ONCOLOGY LLC / VANTAGE ONCOLOGY FIN CO 2017-06-15 2017-06-15 9.5 - 9.5 Other Instrument CORPORATE 694023.00 692432.53 VIDEOTRON LTD / VIDEOTRON LTEE 2024-06-15 2024-06-15 5.375 - 5.375 Other Instrument CORPORATE 380102.00 385225.46 WEST CORP 2022-07-15 2022-07-15 N/A Other Instrument CORPORATE 60452.00 55681.54 8.875% BD REDEEM 19 2018-12-19 2018-12-19 8.875 - 8.875 Other Instrument CORPORATE 63739.00 66919.53 First Tier Security 2014-10-07 2014-10-07 Y RBC CAP MARKETS LLC(NON-GV RP) N/A N/A N N 21000000.00 21000000.00 0.0012 N 21000000.00 21000000.00 RBC Capital Markets Co. 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