N-MFP2 0000710124 XXXXXXXX 2020-01-31 0000710124 549300Y178DO5JBR1S04 S000023949 3 N N 002-80543 Northern Trust Investments, Inc. 801-33358 Deloitte & Touche LLP Chicago IL Northern Trust Investments, Inc. 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0.0033 N Y Y N UNITED STATES TREASURY TREASURY FLOATING RATE NOTE 1.580940% 9128285H9 254900HROIFWPRGM1V77 US9128285H96 U.S. Treasury Debt Y 2020-02-01 2020-10-31 2020-10-31 N N N 0.0163 1496196779.53 1496196779.53 0.0260 N Y Y N UNITED STATES TREASURY TREASURY NOTE 2.750000% 9128285Q9 254900HROIFWPRGM1V77 US9128285Q95 U.S. Treasury Debt Y 2020-11-30 2020-11-30 2020-11-30 N N N 0.0155 315590036.33 315590036.33 0.0055 N Y Y N UNITED STATES TREASURY TREASURY FLOATING RATE NOTE 1.650938% 9128285Y2 254900HROIFWPRGM1V77 US9128285Y20 U.S. Treasury Debt Y 2020-02-01 2021-01-29 2021-01-31 N N N 0.0162 50016213.00 50016213.00 0.0009 N Y Y N UNITED STATES TREASURY TREASURY FLOATING RATE NOTE 1.674939% 9128286Q8 254900HROIFWPRGM1V77 US9128286Q86 U.S. Treasury Debt Y 2020-02-04 2021-04-30 2021-04-30 N N N 0.0164 563237366.43 563237366.43 0.0098 N Y Y N UNITED STATES TREASURY TREASURY FLOATING RATE NOTE 1.755939% 9128287G9 254900HROIFWPRGM1V77 US9128287G95 U.S. Treasury Debt Y 2020-02-01 2021-07-31 2021-07-31 N N N 0.0166 1248106052.59 1248106052.59 0.0217 N Y Y N UNITED STATES TREASURY TREASURY NOTE 2.000000% 912828A42 254900HROIFWPRGM1V77 US912828A420 U.S. Treasury Debt Y 2020-11-30 2020-11-30 2020-11-30 N N N 0.0154 100375000.00 100375000.00 0.0017 N Y Y N UNITED STATES TREASURY TREASURY NOTE 1.375000% 912828J50 254900HROIFWPRGM1V77 US912828J504 U.S. Treasury Debt Y 2020-02-29 2020-02-29 2020-02-29 N N N 0.0162 249954597.50 249954597.50 0.0043 N Y Y N UNITED STATES TREASURY TREASURY NOTE 1.375000% 912828J84 254900HROIFWPRGM1V77 US912828J843 U.S. Treasury Debt Y 2020-03-31 2020-03-31 2020-03-31 N N N 0.0163 174928580.75 174928580.75 0.0030 N Y Y N UNITED STATES TREASURY TREASURY NOTE 1.375000% 912828K58 254900HROIFWPRGM1V77 US912828K585 U.S. Treasury Debt Y 2020-04-30 2020-04-30 2020-04-30 N N N 0.0163 604621875.00 604621875.00 0.0105 N Y Y N UNITED STATES TREASURY TREASURY NOTE 1.375000% 912828L32 254900HROIFWPRGM1V77 US912828L328 U.S. Treasury Debt Y 2020-08-31 2020-08-31 2020-08-31 N N N 0.0158 429496091.60 429496091.60 0.0075 N Y Y N UNITED STATES TREASURY TREASURY BOND 1.375000% 912828L65 254900HROIFWPRGM1V77 US912828L658 U.S. Treasury Debt Y 2020-09-30 2020-09-30 2020-09-30 N N N 0.0157 169780859.80 169780859.80 0.0030 N Y Y N UNITED STATES TREASURY TREASURY NOTE 1.625000% 912828M98 254900HROIFWPRGM1V77 US912828M987 U.S. Treasury Debt Y 2020-11-30 2020-11-30 2020-11-30 N N N 0.0156 250136720.00 250136720.00 0.0043 N Y Y N UNITED STATES TREASURY TREASURY NOTE 3.625000% 912828MP2 254900HROIFWPRGM1V77 US912828MP29 U.S. Treasury Debt Y 2020-02-15 2020-02-15 2020-02-15 N N N 0.0162 327210754.77 327210754.77 0.0057 N Y Y N UNITED STATES TREASURY TREASURY NOTE 3.500000% 912828ND8 254900HROIFWPRGM1V77 US912828ND89 U.S. Treasury Debt Y 2020-05-15 2020-05-15 2020-05-15 N N N 0.0163 170883202.70 170883202.70 0.0030 N Y Y N UNITED STATES TREASURY TREASURY NOTE 2.625000% 912828PC8 254900HROIFWPRGM1V77 US912828PC88 U.S. Treasury Debt Y 2020-11-15 2020-11-15 2020-11-15 N N N 0.0155 979230269.06 979230269.06 0.0170 N Y Y N UNITED STATES TREASURY TREASURY NOTE 1.250000% 912828UQ1 254900HROIFWPRGM1V77 US912828UQ10 U.S. Treasury Debt Y 2020-02-29 2020-02-29 2020-02-29 N N N 0.0162 499864915.00 499864915.00 0.0087 N Y Y N UNITED STATES TREASURY TREASURY BOND 1.125000% 912828VA5 254900HROIFWPRGM1V77 US912828VA58 U.S. Treasury Debt Y 2020-04-30 2020-04-30 2020-04-30 N N N 0.0165 454431250.00 454431250.00 0.0079 N Y Y N UNITED STATES TREASURY TREASURY NOTE 1.375000% 912828VF4 254900HROIFWPRGM1V77 US912828VF46 U.S. Treasury Debt Y 2020-05-31 2020-05-31 2020-05-31 N N N 0.0164 125891718.12 125891718.12 0.0022 N Y Y N UNITED STATES TREASURY TREASURY NOTE 2.000000% 912828VP2 254900HROIFWPRGM1V77 US912828VP28 U.S. Treasury Debt Y 2020-07-31 2020-07-31 2020-07-31 N N N 0.0160 500976560.00 500976560.00 0.0087 N Y Y N UNITED STATES TREASURY TREASURY NOTE 2.125000% 912828VV9 254900HROIFWPRGM1V77 US912828VV95 U.S. Treasury Debt Y 2020-08-31 2020-08-31 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254900HROIFWPRGM1V77 2021-11-30 1.500000 23967300.00 24075799.58 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2022-01-31 1.375000 24859700.00 24865517.17 U.S. Treasuries (including strips) Y 2020-02-03 2020-02-03 2020-02-03 N N N 0.0157 2750000000.00 2750000000.00 0.0478 N Y Y N DEUTSCHE BANK AG TRI-PARTY DEUTSCHE BANK AG 1.570000% BNT5SSWE0 7LTWFZYICNSX8D621K86 0 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N USTR 254900HROIFWPRGM1V77 2026-11-15 2.000000 4903900.00 5100054.87 U.S. Treasuries (including strips) Y 2020-02-03 2020-02-03 2020-02-03 N N N 0.0157 5000000.00 5000000.00 0.0001 N Y Y N ROYAL BANK OF CANADA (NEW YORK BRANCH) TRI-PARTY ROYAL BANK OF CANADA (NE 1.570000% BNT5SSWS9 ES7IP3U3RHIGC71XBU11 0 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N Department of the Treasury 254900HROIFWPRGM1V77 2029-04-15 3.875000 53944600.00 115908253.57 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Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-07-15 2.625000 1028500.00 1046842.11 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2028-07-15 0.750000 42429300.00 46746347.85 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-08-15 2.750000 100.00 103.22 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2023-08-31 2.750000 2266500.00 2401331.97 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-08-31 2.625000 767200.00 780130.12 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-09-15 2.750000 1999800.00 2062125.41 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2025-11-30 2.875000 8314700.00 9027521.05 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-12-15 2.625000 806800.00 827418.50 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2024-01-31 2.500000 100.00 104.36 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2024-01-31 2.500000 19969400.00 20840664.92 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2020-12-31 2.500000 100.00 101.08 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2022-01-15 2.500000 11973800.00 12236731.49 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-01-31 2.500000 48446000.00 48905752.54 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2026-01-31 2.625000 100.00 106.82 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2024-02-29 2.375000 19190700.00 20139657.66 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2020-04-23 0.00 200.00 199.29 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2020-05-21 0.00 1000.00 995.24 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2026-05-31 2.125000 4883400.00 5100485.33 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2022-07-15 1.750000 25405800.00 25651708.60 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-07-31 1.750000 6137100.00 6163244.05 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2029-08-15 1.625000 200.00 202.78 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2020-09-10 0.00 2200.00 2179.58 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2026-08-31 1.375000 35094500.00 35115189.37 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2026-09-30 1.625000 400.00 406.27 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-04-16 0.00 1000.00 996.77 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2024-10-31 1.500000 8814900.00 8895478.84 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2020-05-14 0.00 286000.00 284724.73 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2026-12-31 1.750000 25851000.00 26361050.17 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2020-02-04 0.00 300.00 299.95 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-11-30 1.500000 11770000.00 11816903.26 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2030-01-15 0.125000 3238000.00 3302839.88 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2027-01-31 1.500000 32919100.00 32979671.14 U.S. Treasuries (including strips) Y 2020-02-03 2020-02-03 2020-02-03 N N N 0.0157 1720000000.00 1720000000.00 0.0299 N Y Y N CANADIAN IMPERIAL BANK OF COMMERCE TRI-PARTY CANADIAN IMPERIAL BANK O 1.570000% BNT5SSWZ3 2IGI19DL77OX0HC3ZE78 0 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N Department of the Treasury 254900HROIFWPRGM1V77 2040-02-15 4.625000 600.00 891.70 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2040-11-15 4.250000 800.00 1130.77 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2026-11-15 0.00 200.00 182.08 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2041-05-15 4.375000 200.00 287.76 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2023-01-15 0.125000 100.00 112.11 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2044-02-15 3.625000 100.00 132.55 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2044-05-15 3.375000 101000.00 128188.84 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2021-04-30 2.250000 100.00 101.51 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2044-08-15 3.125000 200.00 245.71 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2020-04-15 0.125000 2000.00 2195.39 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2025-07-15 0.375000 6700.00 7511.54 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2045-08-15 2.875000 100.00 118.27 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-04-15 0.125000 1474000.00 1596550.76 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-05-31 1.375000 5300.00 5306.68 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2023-06-30 1.375000 1000.00 1002.36 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2046-11-15 2.875000 376300.00 445286.98 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2027-01-15 0.375000 9342300.00 10299712.39 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2028-01-15 0.500000 100.00 109.39 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-05-15 2.625000 54031400.00 55131148.88 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2023-06-30 2.625000 200.00 208.99 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2028-07-15 0.750000 5000.00 5516.80 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-08-15 2.750000 400.00 412.99 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2023-08-31 2.750000 73374000.00 77803666.59 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2025-08-31 2.750000 200.00 216.78 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2023-09-30 2.875000 637400.00 678281.49 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2023-11-30 2.875000 53714000.00 57028595.25 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-12-15 2.625000 200.00 205.19 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2022-01-15 2.500000 16584900.00 16956781.57 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2026-01-31 2.625000 22700.00 24273.97 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2026-02-28 2.500000 24600.00 26404.98 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2024-02-29 2.375000 74999000.00 78785086.74 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2022-03-15 2.375000 700.00 721.05 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2026-03-31 2.250000 7516300.00 7940839.23 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2024-04-30 2.250000 67502100.00 70381389.46 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2026-04-30 2.375000 21630200.00 22989630.97 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-11-30 1.500000 7722600.00 7757560.08 U.S. Treasuries (including strips) Y 2020-02-03 2020-02-03 2020-02-03 N N N 0.0157 400000000.00 400000000.00 0.0070 N Y Y N BANK OF NOVA SCOTIA TRI-PARTY BANK OF NOVA SCOTIA 1.570000% BNT5SSX09 L3I9ZG2KFGXZ61BMYR72 0 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N Department of the Treasury 254900HROIFWPRGM1V77 2028-01-15 1.750000 4999400.00 7036904.41 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2041-11-15 3.125000 100.00 121.15 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2042-08-15 2.750000 500.00 574.35 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2043-02-15 3.125000 25322000.00 30882514.26 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2044-02-15 1.375000 10823500.00 15009051.92 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2024-02-15 2.750000 1200.00 1280.07 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2044-11-15 3.000000 46118200.00 55018881.34 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2021-10-31 2.000000 15362000.00 15588511.85 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2044-08-15 3.125000 100.00 122.47 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2045-02-15 2.500000 79494200.00 87476767.35 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2022-04-30 1.750000 16039100.00 16238226.66 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2045-05-15 3.000000 58036700.00 69378995.32 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2025-05-15 2.125000 14275000.00 14863903.59 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2025-07-15 0.375000 50735900.00 56771030.56 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-04-30 1.375000 100.00 100.29 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2022-08-31 1.875000 2103400.00 2146690.46 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2022-09-30 1.750000 8235000.00 8365451.85 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2045-11-15 3.000000 7796000.00 9344832.52 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-09-30 1.375000 500.00 501.69 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-10-31 1.375000 100.00 100.20 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2026-01-15 0.625000 56948800.00 64445506.95 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-04-15 0.125000 40489800.00 43838171.42 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-04-30 1.375000 279500.00 280057.68 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2026-08-15 1.500000 85772000.00 86587570.52 U.S. Treasuries (including strips) U.S. TREASURY 254900HROIFWPRGM1V77 2026-07-15 0.125000 7366400.00 8063743.75 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-09-30 1.125000 100.00 99.85 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2024-01-31 2.250000 4137700.00 4279126.59 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2027-01-15 0.375000 828100.00 912009.04 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2022-04-15 0.125000 22363700.00 23682269.85 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2020-08-15 1.500000 200.00 201.27 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2048-02-15 3.000000 200.00 244.03 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-03-31 2.250000 100.00 100.86 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-04-15 2.375000 100.00 101.74 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-05-15 2.625000 100.00 102.01 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-05-31 2.500000 752500.00 757771.25 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2023-05-31 2.750000 69211700.00 72635496.90 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2028-08-15 2.875000 100.00 112.14 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-10-15 2.875000 100.00 103.26 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2048-11-15 3.375000 200.00 260.42 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-12-15 2.625000 37183000.00 38133245.09 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-02-27 0.00 100.00 99.89 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2029-02-15 2.625000 20991100.00 23165253.75 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2022-05-15 2.125000 29978300.00 30607820.08 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2026-05-31 2.125000 17816100.00 18608092.04 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-06-18 0.00 100.00 99.41 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2020-09-10 0.00 700.00 693.50 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2024-09-30 1.500000 2684400.00 2712293.56 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2020-10-08 0.00 3800100.00 3760616.96 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2020-04-02 0.00 5414200.00 5399819.88 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2020-04-30 0.00 1000.00 996.15 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2020-12-03 0.00 3300.00 3259.28 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2020-12-31 0.00 100.00 98.65 U.S. Treasuries (including strips) Y 2020-02-03 2020-02-03 2020-02-03 N N N 0.0157 800000000.00 800000000.00 0.0139 N Y Y N NATWEST MARKETS SECURITIES INC TRI-PARTY NATWEST MARKETS SECURITI 1.570000% BNT5SSX25 ZE2ZWJ5BTIQJ8M0C6K34 0 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N TSY INFL IX N/B 2020-07-15 1.250000 63781700.00 75773805.19 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2039-11-15 4.375000 48699700.00 69556749.45 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2037-05-15 5.000000 50000500.00 74846194.61 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2028-04-15 3.625000 28753100.00 60048003.08 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2043-05-15 2.875000 50764600.00 59349083.25 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2024-02-15 2.750000 28335500.00 30255147.28 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2044-11-15 3.000000 45942700.00 54995302.62 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2045-02-15 0.750000 47199500.00 57360978.36 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2024-08-15 2.375000 61285400.00 64701872.87 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2045-05-15 3.000000 48861100.00 58616959.05 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2025-01-15 0.250000 65933900.00 73099432.30 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2025-07-15 0.375000 66010300.00 74005831.65 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2045-08-15 2.875000 65299600.00 77227951.39 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2022-11-30 2.000000 74569100.00 76174571.09 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2046-02-15 1.000000 59967300.00 76849637.07 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-09-30 1.125000 72449600.00 72376262.00 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2047-02-15 0.875000 45172300.00 55572369.10 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2027-02-15 2.250000 63704700.00 67763255.12 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2027-11-15 2.250000 49653300.00 52720017.67 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-10-31 2.875000 67806300.00 68939579.48 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2024-02-29 2.375000 64295500.00 67541254.48 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2049-05-15 2.875000 44161100.00 52870672.74 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2029-07-15 0.250000 62067000.00 64715715.99 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-07-31 1.750000 62799900.00 63092107.93 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2029-08-15 1.625000 54364400.00 55224533.74 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-09-30 1.500000 54599800.00 54946890.04 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2024-09-30 1.500000 60909000.00 61621877.94 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2026-08-31 1.375000 74636000.00 74784789.32 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-10-31 1.500000 64849000.00 65205293.95 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2026-11-30 1.625000 52589000.00 53344479.50 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2020-12-31 0.00 9242200.00 9119389.65 U.S. Treasuries (including strips) Y 2020-02-03 2020-02-03 2020-02-03 N N N 0.0157 1885000000.00 1885000000.00 0.0328 N Y Y N HSBC SECURITIES (USA) INC TRI-PARTY HSBC SECURITIES (USA) IN 1.570000% BNT5SSXA7 CYYGQCGNHMHPSMRL3R97 0 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N TSY INFL IX N/B 2025-01-15 2.375000 300400.00 461765.96 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2029-01-15 2.500000 77344800.00 114235640.52 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2022-05-15 1.750000 7884800.00 7982673.41 U.S. Treasuries (including strips) Department 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(including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-04-30 1.568940 23247100.00 23247123.25 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2028-08-15 2.875000 7161600.00 8042799.97 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2021-01-31 1.650940 6648600.00 6650607.88 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2026-02-28 2.500000 51386000.00 55156357.40 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2049-05-15 2.875000 4406600.00 5275681.68 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-05-31 2.125000 117406200.00 118843102.40 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2026-06-30 1.875000 197093200.00 202773197.53 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-07-31 1.750000 63268600.00 63562988.80 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2022-09-15 1.500000 148291200.00 149737159.79 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2026-09-30 1.625000 231184000.00 235146971.28 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2022-12-15 1.625000 22809200.00 23041825.30 U.S. Treasuries (including strips) Y 2020-02-03 2020-02-03 2020-02-03 N N N 0.0157 1495000000.00 1495000000.00 0.0260 N Y Y N NOMURA SECURITIES INTERNATIONAL INC TRI-PARTY NOMURA SECURITIES INTERN 1.580000% BNT5SSXC3 OXTKY6Q8X53C9ILVV871 0 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N TSY INFL IX N/B 2025-01-15 2.375000 17381400.00 26684421.04 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2021-08-15 0.00 991377.13 969028.52 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2028-04-15 3.625000 846000.00 1764961.54 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2020-02-15 0.00 964125.00 963392.27 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2021-02-15 0.00 952972.57 937569.67 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2024-02-15 0.00 964125.86 908606.67 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2025-02-15 0.00 964125.00 895046.41 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2034-08-15 0.00 964125.00 730928.23 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2033-11-15 0.00 39198.80 30267.24 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2025-05-15 0.00 40187.74 37140.87 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2026-02-15 0.00 964125.00 879537.49 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2026-11-15 0.00 18382727.35 16534546.32 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2027-05-15 0.00 50820496.77 45306981.08 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2027-11-15 0.00 80458243.82 71046318.92 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2030-02-15 0.00 964125.00 811743.12 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2036-05-15 0.00 75200718.10 54590006.09 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2039-02-15 0.00 1479750.01 1005393.95 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2036-08-15 0.00 881625.00 635913.47 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2037-02-15 0.00 964125.00 686383.73 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2031-05-15 0.00 39187.58 32089.61 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2034-05-15 0.00 39187.82 29893.84 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2034-11-15 0.00 375763.53 283128.80 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2027-02-15 0.00 3220968.96 2884290.74 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2027-08-15 0.00 10816881.44 9597332.14 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2030-08-15 0.00 256440.07 213704.33 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2021-01-15 1.125000 11366700.00 13468394.48 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2027-11-15 0.00 100.00 89.35 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2025-11-15 0.00 39187.50 35925.14 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2031-08-15 0.00 912473.59 742913.19 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2035-08-15 0.00 380343.56 281207.39 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2032-11-15 0.00 109813.48 86899.47 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2021-05-15 0.00 29638693.64 29083857.30 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2022-08-15 0.00 964125.00 929599.68 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2023-02-15 0.00 302283.03 289539.38 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2023-11-15 0.00 39188.20 37088.22 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2024-05-15 0.00 0.54 0.51 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2024-11-15 0.00 681664.74 636186.80 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2025-08-15 0.00 964125.00 888133.63 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2026-05-15 0.00 39187.50 35582.25 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2028-05-15 0.00 40427090.66 35309263.54 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2028-11-15 0.00 54350502.41 47063784.90 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2024-08-15 0.00 964169.87 902617.27 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2033-02-15 0.00 1046222.84 823057.23 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2023-05-15 0.00 8599920.63 8204496.28 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2029-11-15 0.00 45051.10 38143.87 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2030-05-15 0.00 517997.10 434058.78 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2034-02-15 0.00 530604.11 407215.31 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2033-05-15 0.00 214306.85 167613.89 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2020-08-15 0.00 978125.00 969272.97 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2020-11-15 0.00 39187.50 38681.55 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2022-02-15 0.00 13296.41 12909.42 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2028-02-15 0.00 11285484.57 9915347.74 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2035-05-15 0.00 61204.56 45540.72 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2029-02-15 0.00 40819.17 35115.96 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2029-08-15 0.00 524603.42 446510.95 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2029-05-15 0.00 39908609.85 34156701.64 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2031-02-15 0.00 865440.05 712968.55 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2036-11-15 0.00 39190.14 28087.73 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2037-08-15 0.00 2391229.28 1683186.29 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2040-08-15 0.00 11183708.93 7305433.53 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2040-11-15 0.00 15450.00 10006.05 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2041-05-15 0.00 39187.77 25060.74 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2041-11-15 0.00 39207.98 24693.66 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2038-05-15 0.00 39187.50 27150.86 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2038-08-15 0.00 1029750.00 708487.57 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2040-02-15 2.125000 16118700.00 26535670.63 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2023-01-15 0.125000 6316000.00 7075079.38 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2039-05-15 0.00 2449432.18 1653900.70 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2040-02-15 0.00 948646.87 628220.52 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2042-11-15 0.00 39187.50 24043.29 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2043-11-15 0.00 39187.50 23406.07 U.S. Treasuries (including 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254900HROIFWPRGM1V77 2024-08-15 2.375000 131223800.00 138380343.11 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2022-11-30 2.000000 300.00 306.26 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-08-31 1.125000 23300.00 23289.95 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2023-10-31 1.625000 8703600.00 8821944.09 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2023-03-31 2.500000 145352000.00 151671561.83 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2048-05-15 3.125000 3258700.00 4046929.27 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-11-15 2.875000 3880300.00 4002264.54 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2022-01-31 1.375000 2300.00 2299.29 U.S. Treasuries (including strips) Y 2020-02-03 2020-02-03 2020-02-03 N N N 0.0157 360000000.00 360000000.00 0.0063 N Y Y N BMO CAPITAL MARKETS CORP TRI-PARTY BMO CAPITAL MARKETS CORP 1.570000% BNT5SSXJ8 RUC0QBLBRPRCU4W1NE59 0 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-05-15 3.500000 4000.00 4050.70 U.S. Treasuries (including strips) US TREASURY N/B 2022-02-15 2.000000 200.00 204.25 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2020-08-15 8.750000 100.00 107.74 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2020-09-30 2.000000 388600.00 392261.12 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-11-30 2.000000 218561000.00 220076497.20 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2045-02-15 2.500000 100.00 110.04 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2024-11-15 2.250000 300.00 313.41 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2023-01-31 1.750000 1000.00 1011.25 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2025-11-15 2.250000 4900.00 5146.45 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2023-03-31 1.500000 4900.00 4945.97 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-03-31 1.250000 100.00 100.12 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2024-01-31 2.250000 200.00 206.84 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-12-31 2.000000 4000.00 4050.56 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2024-06-30 2.000000 400.00 411.30 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2024-12-31 2.250000 1205000.00 1256641.73 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2023-10-31 2.875000 1426200.00 1514448.24 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2049-02-15 3.000000 100.00 122.75 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2029-02-15 2.625000 8300.00 9159.68 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2024-10-31 1.500000 900.00 908.23 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-02-18 0.00 161100.00 160976.28 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2022-12-15 1.625000 1231900.00 1243512.82 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2022-01-31 1.689940 23220900.00 23220412.36 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2020-02-04 0.00 1500000.00 1499752.50 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2027-01-31 1.500000 112497700.00 112704695.77 U.S. Treasuries (including strips) Y 2020-02-03 2020-02-03 2020-02-03 N N N 0.0157 355000000.00 355000000.00 0.0062 N Y Y N SOCIETE GENERALE (NEW YORK BRANCH) REPO JOINT SGN 1.029999% BRS9FKAT6 O2RNE8IBXP4R0TD8PU41 0 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y Y Department of the Treasury 254900HROIFWPRGM1V77 2021-07-15 0.625000 44169750.00 50920022.96 U.S. Treasuries (including strips) Y 2020-02-07 2020-02-07 2050-01-01 Y SOCIETE GENERALE (NEW YORK BRANCH) 1.0000 7 N N/A N/A N N 0.0103 49999999.99 49999999.99 0.0009 N N Y N Northern Institutional Funds 2020-02-07 Peter K Ewing Peter K Ewing President