N-MFP2 0000803013 XXXXXXXX 2020-06-30 0000803013 549300Q17YGLGYUMKO90 S000007011 1 N N FIDELITY MANAGEMENT & RESEARCH COMPANY LLC (FMR) 801-07884 FMR INVESTMENT MANAGEMENT (U.K.) LIMITED 801-28773 FIDELITY MANAGEMENT & RESEARCH (HONG KONG) LIMITED 801-69507 FIDELITY MANAGEMENT & RESEARCH (JAPAN) LIMITED 801-69571 DELOITTE & TOUCHE LLP Boston MA None FIDELITY INVESTMENTS INSTIT. OPERATIONS CO. 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2020-09-22 2020-09-22 N N N 0.0013 22993106.44 22993106.44 0.0148 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.17% 9127964G1 US9127964G14 U.S. Treasury Debt Y N/A N/A 2020-10-06 2020-10-06 2020-10-06 N N N 0.0014 9996362.50 9996362.50 0.0064 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.17% 9127964Q9 US9127964Q95 U.S. Treasury Debt Y N/A N/A 2020-11-03 2020-11-03 2020-11-03 N N N 0.0018 4996961.80 4996961.80 0.0032 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.17% 9127964U0 US9127964U08 U.S. Treasury Debt Y N/A N/A 2020-12-01 2020-12-01 2020-12-01 N N N 0.0016 7994730.00 7994730.00 0.0051 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.18% 912796WZ8 US912796WZ80 U.S. Treasury Debt Y N/A N/A 2020-08-06 2020-08-06 2020-08-06 N N N 0.0013 19997450.00 19997450.00 0.0128 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.18% 9127962R9 US9127962R96 U.S. Treasury Debt Y N/A N/A 2020-10-15 2020-10-15 2020-10-15 N N N 0.0015 7996407.76 7996407.76 0.0051 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.18% 9127964R7 US9127964R78 U.S. Treasury Debt Y N/A N/A 2020-11-10 2020-11-10 2020-11-10 N N N 0.0018 7994866.64 7994866.64 0.0051 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.19% 912796TN9 US912796TN97 U.S. Treasury Debt Y N/A N/A 2020-10-08 2020-10-08 2020-10-08 N N N 0.0015 15993509.92 15993509.92 0.0103 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.19% 9127964S5 US9127964S51 U.S. Treasury Debt Y N/A N/A 2020-11-17 2020-11-17 2020-11-17 N N N 0.0017 7994748.88 7994748.88 0.0051 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 0.19% 9127964T3 US9127964T35 U.S. Treasury Debt Y N/A N/A 2020-11-24 2020-11-24 2020-11-24 N N N 0.0015 3816754.20 3816754.20 0.0025 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 0.45% 912828YN4 254900HROIFWPRGM1V77 US912828YN43 U.S. Treasury Debt Y N/A N/A 2020-07-01 2021-10-31 2021-10-31 N N N 0.0021 3009518.16 3009518.16 0.0019 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 0.21% 912828NM8 254900HROIFWPRGM1V77 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Bank of Tokyo-Mitsubishi UFJ Ltd., 1.60% 55380TAU4 C3GTMMZIHMY46P4OIX74 FHA727000 Certificate of Deposit Y N/A N/A 2020-07-08 2020-07-08 2020-07-08 N N N 0.0013 2000647.20 2000647.20 0.0013 N N Y N Barclays Bank PLC Barclays Bank PLC, 0.30% 06742TTP1 G5GSEF7VJP5I7OUK5573 0000312070 Certificate of Deposit Y N/A N/A 2020-09-03 2020-09-03 2020-09-03 N N N 0.0025 6000540.60 6000540.60 0.0039 N N N N Barclays Bank PLC Barclays Bank PLC, 0.34% 06742TTM8 G5GSEF7VJP5I7OUK5573 0000312070 Certificate of Deposit Y N/A N/A 2020-09-01 2020-09-01 2020-09-01 N N N 0.0024 5000821.50 5000821.50 0.0032 N N N N Barclays Bank PLC Barclays Bank PLC, 0.42% 06742TSZ0 G5GSEF7VJP5I7OUK5573 0000312070 Certificate of Deposit Y N/A N/A 2020-08-10 2020-08-10 2020-08-10 N N N 0.0021 5001166.50 5001166.50 0.0032 N N N N Barclays Bank PLC Barclays Bank PLC, 0.57% 06742TSK3 G5GSEF7VJP5I7OUK5573 0000312070 Certificate of Deposit Y N/A N/A 2020-08-13 2020-08-13 2020-08-13 N N N 0.0021 7003000.20 7003000.20 0.0045 N N N N Barclays Bank PLC Barclays Bank PLC, 0.70% 06742TSJ6 G5GSEF7VJP5I7OUK5573 0000312070 Certificate of Deposit Y N/A N/A 2020-08-12 2020-08-12 2020-08-12 N N N 0.0021 7004035.50 7004035.50 0.0045 N N N N Barclays Bank PLC Barclays Bank PLC, 1.30% 06742TRV0 G5GSEF7VJP5I7OUK5573 0000312070 Certificate of Deposit Y N/A N/A 2020-07-14 2020-07-14 2020-07-14 N N N 0.0014 20008932.00 20008932.00 0.0129 N N N N Bayerische Landesbank Bayerische Landesbank, 0.29% 0727MA7H8 VDYMYTQGZZ6DU0912C88 GAJ868000 Certificate of Deposit Y N/A N/A 2020-08-03 2020-08-03 2020-08-03 N N N 0.0018 13001337.70 13001337.70 0.0084 N N N N Credit Suisse AG Credit Suisse AG, 1.30% 22549LY25 ANGGYXNX0JLX3X63JN86 0001053092 Certificate of Deposit Y N/A N/A 2020-07-07 2020-07-07 2020-07-07 N N N 0.0012 20004548.00 20004548.00 0.0129 N N Y N DnB NOR Bank ASA DnB NOR Bank ASA, 0.15% 23341VP62 549300GKFG0RYRRQ1414 0001498632 Certificate of Deposit Y N/A N/A 2020-07-01 2020-07-01 2020-07-01 N N N 0.0009 5981996.41 5981996.41 0.0038 N Y Y N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 0.29% 60683BC50 JBONEPAGQXF4QP29B387 0001462160 Certificate of Deposit Y N/A N/A 2020-09-10 2020-09-10 2020-09-10 N N N 0.0023 3000335.40 3000335.40 0.0019 N N N N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 0.29% 60683BC68 JBONEPAGQXF4QP29B387 0001462160 Certificate of Deposit Y N/A N/A 2020-09-14 2020-09-14 2020-09-14 N N N 0.0025 3000259.20 3000259.20 0.0019 N N N N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 0.30% 60683BB85 JBONEPAGQXF4QP29B387 0001462160 Certificate of Deposit Y N/A N/A 2020-09-01 2020-09-01 2020-09-01 N N N 0.0020 4000692.40 4000692.40 0.0026 N N N N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 0.30% 60683BC84 JBONEPAGQXF4QP29B387 0001462160 Certificate of Deposit Y N/A N/A 2020-10-07 2020-10-07 2020-10-07 N N N 0.0031 999975.10 999975.10 0.0006 N N N N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 0.30% 60683BC92 JBONEPAGQXF4QP29B387 0001462160 Certificate of Deposit Y N/A N/A 2020-10-08 2020-10-08 2020-10-08 N N N 0.0031 2999916.30 2999916.30 0.0019 N N N N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 0.30% 60683BD26 JBONEPAGQXF4QP29B387 0001462160 Certificate of Deposit Y N/A N/A 2020-10-09 2020-10-09 2020-10-09 N N N 0.0031 2999907.00 2999907.00 0.0019 N N N N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 0.30% 60683BD42 JBONEPAGQXF4QP29B387 0001462160 Certificate of Deposit Y N/A N/A 2020-10-13 2020-10-13 2020-10-13 N N N 0.0032 2999868.30 2999868.30 0.0019 N N N N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 0.32% 60683BF40 JBONEPAGQXF4QP29B387 0001462160 Certificate of Deposit Y N/A N/A 2020-10-30 2020-10-30 2020-10-30 N N N 0.0033 1999918.60 1999918.60 0.0013 N N N N Mitsubishi UFJ Trust & Banking Corp. 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Mitsubishi UFJ Trust & Banking Corp., 1.46% 60683BZJ5 JBONEPAGQXF4QP29B387 0001462160 Certificate of Deposit Y N/A N/A 2020-07-01 2020-07-01 2020-07-01 N N N 0.0008 1000038.00 1000038.00 0.0006 N Y Y N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 1.46% 60683BZK2 JBONEPAGQXF4QP29B387 0001462160 Certificate of Deposit Y N/A N/A 2020-07-02 2020-07-02 2020-07-02 N N N 0.0007 1000076.10 1000076.10 0.0006 N N Y N Mizuho Corporate Bank Ltd. 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Sumitomo Mitsui Banking Corp., 0.30% 86565CED7 5U0XI89JRFVHWIBS4F54 0001184915 Certificate of Deposit Y N/A N/A 2020-08-19 2020-08-19 2020-08-19 N N N 0.0017 8001443.20 8001443.20 0.0051 N N N N Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.30% 86565CEC9 5U0XI89JRFVHWIBS4F54 0001184915 Certificate of Deposit Y N/A N/A 2020-08-20 2020-08-20 2020-08-20 N N N 0.0017 9001630.80 9001630.80 0.0058 N N N N Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.30% 86565CEK1 5U0XI89JRFVHWIBS4F54 0001184915 Certificate of Deposit Y N/A N/A 2020-08-24 2020-08-24 2020-08-24 N N N 0.0018 8001465.60 8001465.60 0.0051 N N N N Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.30% 86565CEH8 5U0XI89JRFVHWIBS4F54 0001184915 Certificate of Deposit Y N/A N/A 2020-08-27 2020-08-27 2020-08-27 N N N 0.0018 7001284.50 7001284.50 0.0045 N N N N Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.30% 86565CFJ3 5U0XI89JRFVHWIBS4F54 0001184915 Certificate of Deposit Y N/A N/A 2020-08-31 2020-08-31 2020-08-31 N N N 0.0019 15002710.50 15002710.50 0.0096 N N N N Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.30% 86565CHH5 5U0XI89JRFVHWIBS4F54 0001184915 Certificate of Deposit Y N/A N/A 2020-10-07 2020-10-07 2020-10-07 N N N 0.0027 10000768.00 10000768.00 0.0064 N N N N Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.31% 86565CDR7 5U0XI89JRFVHWIBS4F54 0001184915 Certificate of Deposit Y N/A N/A 2020-08-17 2020-08-17 2020-08-17 N N N 0.0016 7001343.30 7001343.30 0.0045 N N N N Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.50% 86565CCT4 5U0XI89JRFVHWIBS4F54 0001184915 Certificate of Deposit Y N/A N/A 2020-08-07 2020-08-07 2020-08-07 N N N 0.0014 5001867.50 5001867.50 0.0032 N N N N Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.50% 86565CCV9 5U0XI89JRFVHWIBS4F54 0001184915 Certificate of Deposit Y N/A N/A 2020-08-10 2020-08-10 2020-08-10 N N N 0.0015 5001980.50 5001980.50 0.0032 N N N N Sumitomo Mitsui Trust Bank Ltd. Sumitomo Mitsui Trust Bank Ltd., 0.30% 86564GCX7 5493006GGLR4BTEL8O61 0001046017 Certificate of Deposit Y N/A N/A 2020-08-18 2020-08-18 2020-08-18 N N N 0.0017 14002513.00 14002513.00 0.0090 N N N N Sumitomo Mitsui Trust Bank Ltd. Sumitomo Mitsui Trust Bank Ltd., 0.30% 86564GEM9 5493006GGLR4BTEL8O61 0001046017 Certificate of Deposit Y N/A N/A 2020-09-14 2020-09-14 2020-09-14 N N N 0.0023 4000615.60 4000615.60 0.0026 N N N N Sumitomo Mitsui Trust Bank Ltd. Sumitomo Mitsui Trust Bank Ltd., 0.50% 86564GCB5 5493006GGLR4BTEL8O61 0001046017 Certificate of Deposit Y N/A N/A 2020-07-28 2020-07-28 2020-07-28 N N N 0.0012 4001160.00 4001160.00 0.0026 N N N N Sumitomo Mitsui Trust Bank Ltd. Sumitomo Mitsui Trust Bank Ltd., 0.50% 86564GCC3 5493006GGLR4BTEL8O61 0001046017 Certificate of Deposit Y N/A N/A 2020-08-03 2020-08-03 2020-08-03 N N N 0.0013 7002391.90 7002391.90 0.0045 N N N N Sumitomo Mitsui Trust Bank Ltd. Sumitomo Mitsui Trust Bank Ltd., 0.68% 86564GBR1 5493006GGLR4BTEL8O61 0001046017 Certificate of Deposit Y N/A N/A 2020-07-30 2020-07-30 2020-07-30 N N N 0.0012 3001374.30 3001374.30 0.0019 N N N N Svenska Handelsbanken, Inc. Svenska Handelsbanken, Inc., 0.24% 86959RFH8 NHBDILHZTYCNBV5UYZ31 US86959RFH84 0001448613 Certificate of Deposit Y N/A N/A 2020-07-13 2020-08-11 2020-08-11 N N N 0.0020 10000408.00 10000408.00 0.0064 N N N N Bank of Montreal London Branch Bank of Montreal London Branch, 1.54% NQQ6HPCNCCU6TUTQYE16 XS2130246395 Certificate of Deposit Y N/A N/A 2020-07-20 2020-07-20 2020-07-20 N N N 0.0022 3002167.50 3002167.50 0.0019 N N N N Credit Agricole SA London Branch Credit Agricole SA London Branch, 1.48% 969500TJ5KRTCJQWXH05 XS2131343704 Certificate of Deposit Y N/A N/A 2020-07-03 2020-07-03 2020-07-03 N N N 0.0029 3000294.00 3000294.00 0.0019 N N Y N Wells Fargo Bank NA Wells Fargo Bank NA, 0.28% 95001KGQ1 KB1H1DSPRFMYMCUFXT09 US95001KGQ13 Certificate of Deposit Y N/A N/A 2020-07-27 2020-07-27 2020-07-27 N N N 0.0017 4000340.80 4000340.80 0.0026 N N N N Bank of Nova Scotia Bank of Nova Scotia, 0.43% 06417LNW3 L3I9ZG2KFGXZ61BMYR72 US06417LNW36 0000009631 Financial Company Commercial Paper Y N/A N/A 2020-07-13 2020-08-13 2020-08-13 N N N 0.0020 6001707.60 6001707.60 0.0039 N N N N Bank of Nova Scotia Bank of Nova Scotia, 0.45% 06417LPR2 L3I9ZG2KFGXZ61BMYR72 US06417LPR23 0000009631 Financial Company Commercial Paper Y N/A N/A 2020-08-13 2020-11-13 2020-11-13 N N N 0.0043 5000366.00 5000366.00 0.0032 N N N N Bank of Nova Scotia Bank of Nova Scotia, 0.46% 06417LNL7 L3I9ZG2KFGXZ61BMYR72 US06417LNL70 0000009631 Financial Company Commercial Paper Y N/A N/A 2020-07-24 2020-07-24 2020-07-24 N N N 0.0016 7001389.50 7001389.50 0.0045 N N N N Barclays Bank PLC/Barclays U.S. CCP Funding LLC Barclays Bank PLC/Barclays U.S. CCP Funding LLC, 0.30% 06742VKZ3 G5GSEF7VJP5I7OUK5573 GBB336000 Financial Company Commercial Paper Y N/A N/A 2020-09-04 2020-09-04 2020-09-04 N N N 0.0026 1999061.40 1999061.40 0.0013 N N N N BPCE SA BPCE SA, 0.26% 05571BJQ7 9695005MSX1OYEMGDF46 0001485022 Financial Company Commercial Paper Y N/A N/A 2020-09-24 2020-09-24 2020-09-24 N N N 0.0021 5997061.80 5997061.80 0.0039 N N N N Caisse d'Amort de la Dette Sociale Caisse d'Amort de la Dette Sociale, 0.30% 12802VH66 969500P04DQJS4BPM574 GAB487000 Financial Company Commercial Paper Y N/A N/A 2020-08-06 2020-08-06 2020-08-06 N N N 0.0006 2999802.60 2999802.60 0.0019 N N N N Caisse d'Amort de la Dette Sociale Caisse d'Amort de la Dette Sociale, 0.30% 12802VH74 969500P04DQJS4BPM574 GAB510000 Financial Company Commercial Paper Y N/A N/A 2020-08-07 2020-08-07 2020-08-07 N N N 0.0007 12999093.90 12999093.90 0.0084 N N N N Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce, 0.46% 13608CHZ8 2IGI19DL77OX0HC3ZE78 US13608CHZ86 0001045520 Financial Company Commercial Paper Y N/A N/A 2020-07-15 2020-07-15 2020-07-15 N N N 0.0015 7000894.60 7000894.60 0.0045 N N N N Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce, 0.47% 13608CJB9 2IGI19DL77OX0HC3ZE78 US13608CJB90 0001045520 Financial Company Commercial Paper Y N/A N/A 2020-07-20 2020-07-20 2020-07-20 N N N 0.0016 7001193.50 7001193.50 0.0045 N N N N Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce, 0.85% 13608AJA5 2IGI19DL77OX0HC3ZE78 0001045520 Financial Company Commercial Paper Y N/A N/A 2020-09-10 2020-09-10 2020-09-10 N N N 0.0018 7997120.00 7997120.00 0.0051 N N N N Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce, 0.85% 13608AJE7 2IGI19DL77OX0HC3ZE78 0001045520 Financial Company Commercial Paper Y N/A N/A 2020-09-14 2020-09-14 2020-09-14 N N N 0.0018 11995440.00 11995440.00 0.0077 N N N N Citigroup Global Markets, Inc. Citigroup Global Markets, Inc., 0.86% 17327AH34 MBNUM2BPBDO7JBLYG310 FHG621000 Financial Company Commercial Paper Y N/A N/A 2020-08-03 2020-08-03 2020-08-03 N N N 0.0013 4999409.50 4999409.50 0.0032 N N N N Citigroup Global Markets, Inc. Citigroup Global Markets, Inc., 0.86% 17327AH59 MBNUM2BPBDO7JBLYG310 FHG630000 Financial Company Commercial Paper Y N/A N/A 2020-08-05 2020-08-05 2020-08-05 N N N 0.0013 4999360.00 4999360.00 0.0032 N N N N Citigroup Global Markets, Inc. Citigroup Global Markets, Inc., 1.25% 17327AGN1 MBNUM2BPBDO7JBLYG310 FJB601000 Financial Company Commercial Paper Y N/A N/A 2020-07-22 2020-07-22 2020-07-22 N N N 0.0011 19998668.00 19998668.00 0.0128 N N N N Federation des caisses Desjardin Federation des caisses Desjardin, 0.30% 31428FMM4 549300B2Q47IR0CR5B54 GCE687000 Financial Company Commercial Paper Y N/A N/A 2020-12-21 2020-12-21 2020-12-21 N N N 0.0033 998434.00 998434.00 0.0006 N N N N Federation des caisses Desjardin Federation des caisses Desjardin, 0.30% 31428FMN2 549300B2Q47IR0CR5B54 GCE688000 Financial Company Commercial Paper Y N/A N/A 2020-12-22 2020-12-22 2020-12-22 N N N 0.0033 998420.10 998420.10 0.0006 N N N N Federation des caisses Desjardin Federation des caisses Desjardin, 0.30% 31428FMP7 549300B2Q47IR0CR5B54 GCE695000 Financial Company Commercial Paper Y N/A N/A 2020-12-23 2020-12-23 2020-12-23 N N N 0.0033 998406.20 998406.20 0.0006 N N N N Federation des caisses Desjardin Federation des caisses Desjardin, 0.30% 31428FMP7 549300B2Q47IR0CR5B54 GCE693000 Financial Company Commercial Paper Y N/A N/A 2020-12-23 2020-12-23 2020-12-23 N N N 0.0033 998406.20 998406.20 0.0006 N N N N Federation des caisses Desjardin Federation des caisses Desjardin, 1.59% 31428FHR9 549300B2Q47IR0CR5B54 FHA297000 Financial Company Commercial Paper Y N/A N/A 2020-08-25 2020-08-25 2020-08-25 N N N 0.0015 2999313.90 2999313.90 0.0019 N N N N Federation des caisses Desjardin Federation des caisses Desjardin, 1.60% 31428FHU2 549300B2Q47IR0CR5B54 FHA293000 Financial Company Commercial Paper Y N/A N/A 2020-08-28 2020-08-28 2020-08-28 N N N 0.0015 999755.80 999755.80 0.0006 N N N N National Bank of Canada National Bank of Canada, 0.26% 63307NEX1 BSGEFEIOM18Y80CKCV46 US63307NEX12 Financial Company Commercial Paper Y N/A N/A 2020-07-03 2020-08-03 2020-08-03 N N N 0.0019 11000691.90 11000691.90 0.0071 N N N N Royal Bank of Canada Royal Bank of Canada, 0.44% 78014XEX1 ES7IP3U3RHIGC71XBU11 US78014XEX12 0001000275 Financial Company Commercial Paper Y N/A N/A 2020-08-25 2020-08-25 2020-08-25 N N N 0.0031 6001168.80 6001168.80 0.0039 N N N N Royal Bank of Canada Royal Bank of Canada, 0.45% 78014XEZ6 ES7IP3U3RHIGC71XBU11 US78014XEZ69 0001000275 Financial Company Commercial Paper Y N/A N/A 2020-08-27 2020-08-27 2020-08-27 N N N 0.0032 6001212.00 6001212.00 0.0039 N N N N Royal Bank of Canada Royal Bank of Canada, 0.91% 78013VJ45 ES7IP3U3RHIGC71XBU11 0001000275 Financial Company Commercial Paper Y N/A N/A 2020-09-04 2020-09-04 2020-09-04 N N N 0.0016 10996934.30 10996934.30 0.0071 N N N N Sumitomo Mitsui Trust Bank Ltd. Sumitomo Mitsui Trust Bank Ltd., 0.31% 86564YJP8 5493006GGLR4BTEL8O61 GCE723000 Financial Company Commercial Paper Y N/A N/A 2020-09-23 2020-09-23 2020-09-23 N N N 0.0025 21987116.80 21987116.80 0.0141 N N N N Sumitomo Trust & Banking Co. Ltd. Sumitomo Trust & Banking Co. Ltd., 0.68% 86563GGN6 5493006GGLR4BTEL8O61 0001046017 Financial Company Commercial Paper Y N/A N/A 2020-07-22 2020-07-22 2020-07-22 N N N 0.0012 999929.10 999929.10 0.0006 N N N N Svenska Handelsbanken AB Svenska Handelsbanken AB, 0.92% 86960JJ48 NHBDILHZTYCNBV5UYZ31 0001448613 Financial Company Commercial Paper Y N/A N/A 2020-09-04 2020-09-04 2020-09-04 N N N 0.0014 10997217.00 10997217.00 0.0071 N N N N The Toronto-Dominion Bank The Toronto-Dominion Bank, 0.47% 89120DPQ6 PT3QB789TSUIDF371261 US89120DPQ69 0000947263 Financial Company Commercial Paper Y N/A N/A 2020-07-23 2020-07-23 2020-07-23 N N N 0.0021 10001662.00 10001662.00 0.0064 N N N N The Toronto-Dominion Bank The Toronto-Dominion Bank, 0.47% 89120DRK7 PT3QB789TSUIDF371261 US89120DRK71 0000947263 Financial Company Commercial Paper Y N/A N/A 2020-08-10 2020-11-10 2020-11-10 N N N 0.0045 6000429.00 6000429.00 0.0039 N N N N The Toronto-Dominion Bank The Toronto-Dominion Bank, 0.48% 89120DQU6 PT3QB789TSUIDF371261 US89120DQU62 0000947263 Financial Company Commercial Paper Y N/A N/A 2020-08-18 2020-08-18 2020-08-18 N N N 0.0034 21003834.60 21003834.60 0.0135 N N N N The Toronto-Dominion Bank The Toronto-Dominion Bank, 0.52% 89120DR43 PT3QB789TSUIDF371261 US89120DR438 0000947263 Financial Company Commercial Paper Y N/A N/A 2020-09-16 2020-09-16 2020-09-16 N N N 0.0037 15004746.00 15004746.00 0.0096 N N N N The Toronto-Dominion Bank The Toronto-Dominion Bank, 1.37% 89120DR92 PT3QB789TSUIDF371261 0000947263 Financial Company Commercial Paper Y N/A N/A 2020-07-09 2020-10-09 2020-10-09 N N N 0.0130 5000942.50 5000942.50 0.0032 N N N N Toyota Motor Credit Corp. Toyota Motor Credit Corp., 1.50% 89233A6K0 Z2VZBHUMB7PWWJ63I008 US89233A6K02 0000834071 Financial Company Commercial Paper Y N/A N/A 2020-07-02 2020-07-02 2020-07-02 N N N 0.0149 2000000.00 2000000.00 0.0013 N N Y N UBS AG London Branch UBS AG London Branch, 0.38% 90276JKH8 BFM8T61CT2L1QCEMIK50 US90276JKH85 Financial Company Commercial Paper Y N/A N/A 2020-09-29 2020-12-29 2020-12-29 N N N 0.0038 10999998.90 10999998.90 0.0071 N N N N Gotham Funding Corp. Gotham Funding Corp., 0.30% 38346LH74 549300Z2ZR7VTUMRPR17 GAC442000 Asset Backed Commercial Paper Y N/A N/A 2020-08-07 2020-08-07 2020-08-07 N Y MUFG BANK LTD 1.0000 N/A N/A N 0.0021 1999554.60 1999554.60 0.0013 N N N N Gotham Funding Corp. Gotham Funding Corp., 1.25% 38346LG67 549300Z2ZR7VTUMRPR17 FIJ813000 Asset Backed Commercial Paper Y N/A N/A 2020-07-06 2020-07-06 2020-07-06 N Y MUFG BANK LTD 1.0000 N/A N/A N 0.0012 19999600.00 19999600.00 0.0128 N N Y N Gotham Funding Corp. Gotham Funding Corp., 1.25% 38346LG75 549300Z2ZR7VTUMRPR17 FJA287000 Asset Backed Commercial Paper Y N/A N/A 2020-07-07 2020-07-07 2020-07-07 N Y MUFG BANK LTD 1.0000 N/A N/A N 0.0012 19999534.00 19999534.00 0.0128 N N Y N Liberty Street Funding LLC Liberty Street Funding LLC, 1.25% 53127TG72 549300F33VRHM10B9391 FIJ816000 Asset Backed Commercial Paper Y N/A N/A 2020-07-07 2020-07-07 2020-07-07 N Y BANK OF NOVA SCOTIA 1.0000 N/A N/A N 0.0012 9999767.00 9999767.00 0.0064 N N Y N Liberty Street Funding LLC Liberty Street Funding LLC, 1.25% 53127TG80 549300F33VRHM10B9391 FIJ845000 Asset Backed Commercial Paper Y N/A N/A 2020-07-08 2020-07-08 2020-07-08 N Y BANK OF NOVA SCOTIA 1.0000 N/A N/A N 0.0013 9999724.00 9999724.00 0.0064 N N Y N Liberty Street Funding LLC Liberty Street Funding LLC, 1.25% 53127TG80 549300F33VRHM10B9391 FIJ817000 Asset Backed Commercial Paper Y N/A N/A 2020-07-08 2020-07-08 2020-07-08 N Y BANK OF NOVA SCOTIA 1.0000 N/A N/A N 0.0013 2949918.58 2949918.58 0.0019 N N Y N Liberty Street Funding LLC Liberty Street Funding LLC, 1.30% 53127TG80 549300F33VRHM10B9391 FIJ154000 Asset Backed Commercial Paper Y N/A N/A 2020-07-08 2020-07-08 2020-07-08 N Y BANK OF NOVA SCOTIA 1.0000 N/A N/A N 0.0013 9999724.00 9999724.00 0.0064 N N Y N Manhattan Asset Funding Co. LLC Manhattan Asset Funding Co. LLC, 0.30% 56274LH72 549300S0NSJYSOB32S63 GAB940000 Asset Backed Commercial Paper Y N/A N/A 2020-08-07 2020-08-07 2020-08-07 N Y SUMITOMO MITSUI BKG CORP 1.0000 N/A N/A N 0.0018 25995088.60 25995088.60 0.0167 N N N N Manhattan Asset Funding Co. LLC Manhattan Asset Funding Co. LLC, 0.30% 56274LHS6 549300S0NSJYSOB32S63 GAE200000 Asset Backed Commercial Paper Y N/A N/A 2020-08-26 2020-08-26 2020-08-26 N Y SUMITOMO MITSUI BKG CORP 1.0000 N/A N/A N 0.0013 999797.30 999797.30 0.0006 N N N N Manhattan Asset Funding Co. LLC Manhattan Asset Funding Co. LLC, 0.30% 56274LHT4 549300S0NSJYSOB32S63 GAE887000 Asset Backed Commercial Paper Y N/A N/A 2020-08-27 2020-08-27 2020-08-27 N Y SUMITOMO MITSUI BKG CORP 1.0000 N/A N/A N 0.0013 999798.60 999798.60 0.0006 N N N N Manhattan Asset Funding Co. LLC Manhattan Asset Funding Co. LLC, 1.25% 56274LG16 549300S0NSJYSOB32S63 FIJ811000 Asset Backed Commercial Paper Y N/A N/A 2020-07-01 2020-07-01 2020-07-01 N Y SUMITOMO MITSUI BKG CORP 1.0000 N/A N/A N 0.0012 2999990.10 2999990.10 0.0019 N Y Y N Manhattan Asset Funding Co. LLC Manhattan Asset Funding Co. LLC, 1.26% 56274LGD0 549300S0NSJYSOB32S63 FJA875000 Asset Backed Commercial Paper Y N/A N/A 2020-07-13 2020-07-13 2020-07-13 N Y SUMITOMO MITSUI BKG CORP 1.0000 N/A N/A N 0.0007 8999782.20 8999782.20 0.0058 N N N N Sheffield Receivables Corp. Sheffield Receivables Corp., 0.30% 82124LJG8 549300MYF6MOTU9T3G29 GBJ386000 Asset Backed Commercial Paper Y N/A N/A 2020-09-16 2020-09-16 2020-09-16 N Y BARCLAYS BANK PLC 1.0000 N/A N/A N 0.0027 999419.30 999419.30 0.0006 N N N N BMO Capital Markets Corp. BMO Capital Markets Corp., 0.29% RUC0QBLBRPRCU4W1NE59 GCH648000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N BARCLAYS PLC SR GLBL NT 25 213800LBQA1Y9L22JB70 2025-05-07 2025-05-07 3.932 - 3.932 63796.00 69219.22 Corporate Debt Securities KEURIG DR PEPPER INC SR NT 3.2%21 DYTQ8KRTKO7Y2BVU5K74 2021-11-15 2021-11-15 3.2 - 3.2 1979000.00 2042050.94 Corporate Debt Securities GLAXOSMITHKLINE CAP INC SR GLBL NT 25 5493007Q8VD7Q3ZYZS59 2025-05-15 2025-05-15 3.625 - 3.625 1841000.00 2088764.08 Corporate Debt Securities Y N/A N/A 2020-07-01 2020-07-01 2020-07-01 N N N 0.0029 4000000.00 4000000.00 0.0026 N Y Y N BMO Capital Markets Corp. BMO Capital Markets Corp., 0.33% RUC0QBLBRPRCU4W1NE59 GCH649000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N TOTTENHAM ACQUISITION I LTD SHS 549300VZUZHGNMGTOQ78 2500-12-31 2500-12-31 N/A 19.00 203.30 Equities CHP MERGER CORP COM CL A 2500-12-31 2500-12-31 N/A 535694.00 5399795.52 Equities AGBA ACQUISITION LTD SHS 5493006NA1XBERP7JE98 2500-12-31 2500-12-31 N/A 5.00 51.45 Equities Y N/A N/A 2020-07-01 2020-07-01 2020-07-01 N N N 0.0033 5000000.00 5000000.00 0.0032 N Y Y N BMO Capital Markets Corp. BMO Capital Markets Corp., 0.36% RUC0QBLBRPRCU4W1NE59 GCH650000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N INTEL CORP SR GLBL NT4.1%46 KNX4USFCNGPY45LOCE31 2046-05-19 2046-05-19 4.1 - 4.1 5000000.00 6285797.22 Corporate Debt Securities GLAXOSMITHKLINE CAP INC SR GLBL NT 25 5493007Q8VD7Q3ZYZS59 2025-05-15 2025-05-15 3.625 - 3.625 13000.00 14749.56 Corporate Debt Securities Y N/A N/A 2020-07-01 2020-07-01 2020-07-01 N N N 0.0036 6000000.00 6000000.00 0.0039 N Y Y N BNP Paribas Prime Brokerage, Inc. BNP Paribas Prime Brokerage, Inc., 0.38% 7VHWWWW4UJS7NUM3PT30 GCH661000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N BRASKEM S A SP ADR PFD A 549300RPMQUFGBB7EY44 2500-12-31 2500-12-31 N/A 2.00 17.18 Equities LGL SYS ACQUISITION CORP COM CL A 2500-12-31 2500-12-31 N/A 1.00 9.95 Equities SOUTHERN CO CORP UNIT 19 A 549300FC3G3YU2FBZD92 2500-12-31 2500-12-31 N/A 3.00 131.64 Equities UNITED STATES CELLULAR CORP SR NT 64 2064-12-01 2064-12-01 7.25 - 7.25 128828.00 3238735.92 Equities REPLAY ACQUISITION CORP UNIT 2500-12-31 2500-12-31 N/A 88410.00 939886.71 Equities TUSCAN HOLDINGS CORP UNIT 549300J4UX9OMHSTKS35 2500-12-31 2500-12-31 N/A 45090.00 464427.00 Equities SILVER SPIKE ACQUISITION CORP UNIT EX 549300APSNIYJ4PTIL34 2500-12-31 2500-12-31 N/A 57921.00 611066.55 Equities PROPTECH ACQUISITION CORP UNIT EX 100126 2500-12-31 2500-12-31 N/A 62986.00 642457.20 Equities HAYMAKER ACQUISITION CORP II UNIT EX 103126 2500-12-31 2500-12-31 N/A 16058.00 173747.56 Equities AMPLITUDE HLTHCRE AQUSTIN CORP UNIT EXP 120126 2500-12-31 2500-12-31 N/A 13113.00 132572.43 Equities AZEK CO INC CL A 2500-12-31 2500-12-31 N/A 10452.00 335718.24 Equities ROYALTY PHARMA PLC SHS CL A 2500-12-31 2500-12-31 N/A 32762.00 1596492.26 Equities GX ACQUISITION CORP UNIT EX 052426 2500-12-31 2500-12-31 N/A 34278.00 363004.02 Equities FINTECH ACQUISITION CORP III UNIT EX 120123 2500-12-31 2500-12-31 N/A 104185.00 1225215.60 Equities NEW PROVIDENCE ACQUISITION UNIT EX 090124 2500-12-31 2500-12-31 N/A 282.00 2961.00 Equities CITIC CAPITAL ACQUISITION CORP UNIT 2500-12-31 2500-12-31 N/A 338374.00 3380356.26 Equities ALLSTATE CORP SUB DEB 53 OBT0W1ED8G0NWVOLOJ77 2053-01-15 2053-01-15 5.1 - 5.1 19888.00 516491.36 Equities GORES METROPOULOS INC UNIT 2500-12-31 2500-12-31 N/A 38248.00 416903.20 Equities Y N/A N/A 2020-07-01 2020-07-01 2020-07-01 N N N 0.0038 13000000.00 13000000.00 0.0084 N Y Y N Citigroup Global Markets, Inc. Citigroup Global Markets, Inc., 0.63% MBNUM2BPBDO7JBLYG310 0000315030 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N KODIAK CDO I LTD 2006-1 C 144A 20370807 FLT 2037-08-07 2037-08-07 2.642 - 2.642 2492633.00 1318852.04 Other Instrument COLLATERALIZED DEBT OBLIGATION CAPITALSOURCE RE LN TR 2006-A D 20370120 FLT 2037-01-20 2037-01-20 2.598 - 2.598 42748.00 39725.51 Other Instrument COLLATERALIZED DEBT OBLIGATION CITIGROUP MTG LN TR 2018-RP1 B-3 20640925 FLT 549300R1KUK063S4I339 2064-09-25 2064-09-25 3.168 - 3.168 361.00 217.88 Private Label Collateralized Mortgage Obligations HALCYON LN ADV FDG 2014-3 F 20251022 FLT 549300NL4H585I318G08 2025-10-22 2025-10-22 7.198 - 7.198 980052.00 536297.50 Asset-Backed Securities RALI SERIES TRUST 2007-QS2 A-V 20370125 FLT 2037-01-25 2037-01-25 0.333 - 0.333 142898475.00 220520.64 Private Label Collateralized Mortgage Obligations CWALT INC 2004-15 1-A-2 20340925 FLT 2034-09-25 2034-09-25 4.741 - 4.741 127.00 1.00 Private Label Collateralized Mortgage Obligations SOUNDVIEW HM LN 2007-OPT4 X-1 20370925 0.58000 2037-09-25 2037-09-25 0.58 - 0.58 52770512.00 586026.53 Asset-Backed Securities LEHMAN MTG TR 2008-4 A1 20370125 FLT 2037-01-25 2037-01-25 0.564 - 0.564 40388.00 2943.06 Private Label Collateralized Mortgage Obligations COMM MTG TR 2014-LC17 E 20471011 3.11400 2047-10-11 2047-10-11 3.114 - 3.114 2.00 1.26 Private Label Collateralized Mortgage Obligations WACHOVIA CMBS 2006-C28 D 20481015 FLT 2048-10-15 2048-10-15 5.72 - 5.72 27.00 16.18 Private Label Collateralized Mortgage Obligations CARNIVAL CORP PAIRED CTF F1OF2ZSX47CR0BCWA982 2500-12-31 2500-12-31 N/A 31.00 520.18 Equities CITI GRP COML MTG TR 2012-GC8 E 20450912 FLT 2045-09-12 2045-09-12 5 - 5 688683.00 535399.23 Private Label Collateralized Mortgage Obligations Y N/A N/A 2020-08-04 2020-08-04 2020-08-31 Y CITIGROUP INC 1.0000 35 N N/A N/A Y CITIGROUP INC 1.0000 N/A N/A N 0.0067 2999799.00 2999799.00 0.0019 N N N Y Citigroup Global Markets, Inc. Citigroup Global Markets, Inc., 1.03% MBNUM2BPBDO7JBLYG310 0000315030 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N KODIAK CDO I LTD 2006-1 C 144A 20370807 FLT 2037-08-07 2037-08-07 2.642 - 2.642 768.00 406.35 Other Instrument COLLATERALIZED DEBT OBLIGATION CARNIVAL CORP PAIRED CTF F1OF2ZSX47CR0BCWA982 2500-12-31 2500-12-31 N/A 76.00 1275.28 Equities CITI GRP COML MTG TR 2012-GC8 E 20450912 FLT 2045-09-12 2045-09-12 5 - 5 1286298.00 999999.94 Private Label Collateralized Mortgage Obligations LEHMAN MTG TR 2008-4 A1 20370125 FLT 2037-01-25 2037-01-25 0.564 - 0.564 13.00 0.95 Private Label Collateralized Mortgage Obligations CAPITALSOURCE RE LN TR 2006-A D 20370120 FLT 2037-01-20 2037-01-20 2.598 - 2.598 2.00 1.86 Other Instrument COLLATERALIZED DEBT OBLIGATION SOUNDVIEW HM LN 2007-OPT4 X-1 20370925 0.58000 2037-09-25 2037-09-25 0.58 - 0.58 6670226.00 74074.12 Asset-Backed Securities HALCYON LN ADV FDG 2014-3 F 20251022 FLT 549300NL4H585I318G08 2025-10-22 2025-10-22 7.198 - 7.198 55.00 30.10 Asset-Backed Securities RALI SERIES TRUST 2007-QS2 A-V 20370125 FLT 2037-01-25 2037-01-25 0.333 - 0.333 3555583.00 5486.97 Private Label Collateralized Mortgage Obligations Y N/A N/A 2020-08-19 2020-08-19 2020-08-19 N Y CITIGROUP INC 1.0000 N/A N/A N 0.0103 1000000.00 1000000.00 0.0006 N N N Y Citigroup Global Markets, Inc. Citigroup Global Markets, Inc., 1.03% MBNUM2BPBDO7JBLYG310 0000315030 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N PUERTO RICO ELEC PWR AUTH PWR SER 2013A-RSA-1 2013 5493003BRB67HF8ST418 2036-07-01 2040-07-01 N/A 43049.00 30027.29 Other Instrument MUNICIPAL DEBT US TREASURY 254900HROIFWPRGM1V77 2021-01-15 2021-01-15 1.125 - 1.125 2700.00 3211.57 U.S. Treasuries (including strips) PUERTO RICO PUB BLDGS AUTH REV REV BDS 2011 2041-07-01 2042-07-01 N/A 4557075.00 3207749.62 Other Instrument MUNICIPAL DEBT PUERTO RICO COMWLTH PUB IMPR BDS 2007 549300X44HXPLJU48U63 2037-07-01 2039-07-01 N/A 3400.00 2223.58 Other Instrument MUNICIPAL DEBT Y N/A N/A 2020-08-25 2020-08-25 2020-08-25 N Y CITIGROUP INC 1.0000 N/A N/A N 0.0103 3000000.00 3000000.00 0.0019 N N N Y Citigroup Global Markets, Inc. Citigroup Global Markets, Inc., 1.10% MBNUM2BPBDO7JBLYG310 0000315030 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N ALESCO PREF FDG XVI 2007-16 C 20380323 FLT 84EC1ANEM6KOUNEN8Q82 2038-03-23 2038-03-23 1.405 - 1.405 217.00 119.41 Other Instrument COLLATERALIZED DEBT OBLIGATION TRIAXX PRIME CDO 2006-2 B 20391002 FLT 549300PJ36ZA8Z1O4T73 2039-10-02 2039-10-02 2.709 - 2.709 7050994.00 3975196.63 Other Instrument COLLATERALIZED DEBT OBLIGATION CARNIVAL CORP PAIRED CTF F1OF2ZSX47CR0BCWA982 2500-12-31 2500-12-31 N/A 402.00 6745.56 Equities SOUTH COAST FDG III 2003-3 A-2 20380810 FLT 549300JPS4LRS1YTBK56 2038-08-10 2038-08-10 1.648 - 1.748 116838.00 23427.60 Other Instrument COLLATERALIZED DEBT OBLIGATION MULBERRY STR CDO 2003-1 A-2 20371214 FLT 549300CMTAIF2252UI57 2037-12-14 2037-12-14 1.327 - 1.327 4.00 0.84 Other Instrument COLLATERALIZED DEBT OBLIGATION PALISADES CDO LTD 2004-1 C-1 20390722 FLT 254900GFQ1EE6QUMSF58 2039-07-22 2039-07-22 4.348 - 4.348 1703830.00 294459.15 Other Instrument COLLATERALIZED DEBT OBLIGATION TRIAXX PRIME CDO 2007-1 B 20391002 FLT 549300WY5UHP1STS3E35 2039-10-02 2039-10-02 2.25 - 2.25 411330.00 26787.35 Other Instrument COLLATERALIZED DEBT OBLIGATION ALESCO PREF FDG XV 2007-15 C1 144 20371223 FLT KCKD405PLZO8BUQUCM05 2037-12-23 2037-12-23 2.345 - 2.345 144.00 9.08 Other Instrument COLLATERALIZED DEBT OBLIGATION Y N/A N/A 2020-08-10 2020-08-10 2020-08-10 N Y CITIGROUP INC 1.0000 N/A N/A N 0.0110 4000000.00 4000000.00 0.0026 N N N Y Deutsche Bank AG Deutsche Bank AG, 0.58% 7LTWFZYICNSX8D621K86 GCH652000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N TRAVIS CNTY TEX HSG FIN CORP M BDS 2019 2059-12-01 2059-12-01 1.183 - 1.183 3812046.00 3847623.72 Other Instrument MUNICIPAL DEBT SAN FRANCISCO CALIF CITY & CNT BDS 2018 2043-10-01 2043-10-01 4 - 4 2136940.00 2452478.19 Other Instrument MUNICIPAL DEBT Y N/A N/A 2020-07-01 2020-07-01 2020-07-01 N N N 0.0058 6000000.00 6000000.00 0.0039 N Y Y N HSBC Securities, Inc. HSBC Securities, Inc., 0.33% CYYGQCGNHMHPSMRL3R97 0000853784 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N WORLD BANK ZTMSNXROF84AHWJNKQ93 2030-05-01 2030-05-01 N/A 189000.00 165688.74 Other Instrument INTERNATIONAL DEBT MCDONALDS CORP MED TERM NT BE FR 6.3%030138 UE2136O97NLB5BYP9H04 2038-03-01 2038-03-01 6.3 - 6.3 90000.00 132052.05 Corporate Debt Securities PNC FINL SVCS GROUP INC SR GLBL NT 29 CFGNEKW0P8842LEUIA51 2029-04-23 2029-04-23 3.45 - 3.45 49000.00 56644.04 Corporate Debt Securities LOCKHEED MARTIN CORP SR GLBL NT 26 DPRBOZP0K5RM2YE8UU08 2026-01-15 2026-01-15 3.55 - 3.55 146000.00 170015.66 Corporate Debt Securities ASIAN DEVELOPMENT BANK 549300X0MVH42CY8Q105 2022-09-13 2022-09-13 1.75 - 1.75 3391000.00 3517590.74 Other Instrument INTERNATIONAL DEBT SES SR GLBL REGS 43 5493008JPA4HYMH1HX51 2043-04-04 2043-04-04 5.3 - 5.3 50000.00 50251.06 Corporate Debt Securities Y N/A N/A 2020-07-01 2020-07-01 2020-07-01 N N N 0.0033 4000000.00 4000000.00 0.0026 N Y Y N J.P. Morgan Securities, LLC J.P. Morgan Securities, LLC, 0.33% ZBUT11V806EZRVTWT807 0001287279 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N VERIZON COMMUNICATIONS INC FR 3.875%020829 2S72QS2UO2OESLG6Y829 2025-02-15 2029-02-08 3.376 - 3.875 942032.00 1110165.13 Corporate Debt Securities VEREIT OPERATING PRTNERSHIP LP SR GLBL NT 27 5493005TQOUJE1LCS698 2027-08-15 2029-12-15 3.1 - 3.95 1005334.00 974582.35 Corporate Debt Securities VIRGINIA ELEC & PWR CO SR NT-A 2.95%22 CQKUMNNZVDJLRYV2PT43 2022-01-15 2022-01-15 2.95 - 2.95 450000.00 467941.88 Corporate Debt Securities WEA FIN LLC SR GLBL 144A 29 3CYEJKBUJZO3UW777J80 2029-06-15 2029-06-15 3.5 - 3.5 770000.00 747045.02 Corporate Debt Securities PACIFIC GAS & ELEC CO SR NT 4.6%43 1HNPXZSMMB7HMBMVBS46 2043-06-15 2043-06-15 N/A 2277000.00 2561625.00 Corporate Debt Securities VODAFONE GROUP PLC NEW SR GLBL NT 23 213800TB53ELEUKM7Q61 2023-02-19 2023-02-19 2.95 - 2.95 633000.00 671597.00 Corporate Debt Securities MEADWESTVACO CORP SR GLBL DB8.2%30 4DL8C98Z5G5IXZLH3578 2030-01-15 2030-01-15 8.2 - 8.2 342000.00 492145.98 Corporate Debt Securities VENTAS RLTY LTD PARTNERSHIP SR GLBL NT 45 32SXKSJ72K64GM3HOU64 2045-02-01 2045-02-01 4.375 - 4.375 627000.00 651188.18 Corporate Debt Securities WELLPOINT INC NT 3.7%21 8MYN82XMYQH89CTMTH67 2021-08-15 2036-01-15 3.7 - 5.85 1072000.00 1122844.50 Corporate Debt Securities VENTAS RLTY LTD PARTNERSHIP SR NT 3.25%22 2022-08-15 2022-08-15 3.25 - 3.25 205000.00 212299.54 Corporate Debt Securities VORNADO RLTY L P SR GLBL NT3.5%25 549300BMOJ05INE4YK86 2025-01-15 2025-01-15 3.5 - 3.5 88000.00 89371.19 Corporate Debt Securities WELLS FARGO CO MTN BE VR 120715-120720 PBLD0EJDB5FWOLXP3B76 2020-12-07 2020-12-07 1.328 - 1.328 1393000.00 1399771.83 Corporate Debt Securities Y N/A N/A 2020-07-07 2020-07-07 2020-07-27 Y JPMORGAN SECS (NON GOV REPO) 1.0000 7 N N/A N/A N N 0.0033 10000000.00 10000000.00 0.0064 N N Y N J.P. Morgan Securities, LLC J.P. Morgan Securities, LLC, 0.43% ZBUT11V806EZRVTWT807 0001287279 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N NOVO-NORDISK A S ADR 549300DAQ1CVT6CXN342 2500-12-31 2500-12-31 N/A 131512.00 8621926.72 Equities ISHARES TR JPX NIKKEI 400 5493000DAYJO38DHX894 2500-12-31 2500-12-31 N/A 12261.00 346005.42 Equities ISHARES TR IBONDS DEC 29 2500-12-31 2500-12-31 N/A 118314.00 3159539.88 Equities ISHARES TR EUR DEV RE ETF 5493005KXFU10N7JHM21 2500-12-31 2500-12-31 N/A 59798.00 1914540.61 Equities Y N/A N/A 2020-07-01 2020-07-01 2020-07-01 Y JPMORGAN SECS (NON GOV REPO) 1.0000 1 N N/A N/A N N 0.0043 13000000.00 13000000.00 0.0084 N Y Y N J.P. Morgan Securities, LLC J.P. Morgan Securities, LLC, 0.43% ZBUT11V806EZRVTWT807 0001287279 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N WELLS FARGO CO NEW SUB NT 4.48%24 PBLD0EJDB5FWOLXP3B76 2024-01-16 2024-01-16 4.48 - 4.48 1754000.00 1982123.29 Corporate Debt Securities WISDOMTREE TR INDIA EX STATE 549300JMI74H53UK9O93 2500-12-31 2500-12-31 N/A 11406.00 245218.73 Equities WELLPOINT INC SR NT 3.5%24 8MYN82XMYQH89CTMTH67 2024-08-15 2024-08-15 3.5 - 3.5 211000.00 233738.42 Corporate Debt Securities JEFFERIES FINANCE LLC/JFIN CP SR NT CL 7.25%24 2024-08-15 2024-08-15 7.25 - 7.25 248000.00 224982.50 Corporate Debt Securities ADIENT US LLC SR SEC GLBL 26 213800SOTRCDGZUHL712 2026-05-15 2026-05-15 7 - 7 113355.00 118227.00 Corporate Debt Securities VALARIS PLC SR NT 4.75%24 7N0UJMJLXD0MDT5D5086 2024-01-15 2024-01-15 4.75 - 4.75 4.00 0.50 Corporate Debt Securities JP MORGAN CHASE BANK NA SR GLBL NT 48 8I5DZWZKVSZI1NUHU748 2048-07-24 2048-07-24 4.032 - 4.032 32000.00 39262.78 Corporate Debt Securities WASTE MGMT INC DEL 3.45%29 549300YX8JIID70NFS41 2029-06-15 2029-06-15 3.45 - 3.45 313000.00 323018.35 Corporate Debt Securities Y N/A N/A 2020-07-07 2020-07-07 2020-07-27 Y JPMORGAN SECS (NON GOV REPO) 1.0000 7 N N/A N/A N N 0.0043 3000000.00 3000000.00 0.0019 N N Y N Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 0.47% 7TK5RJIZDFROZCA6XF66 GCH654000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N WYNDHAM HOTELS & RESORTS INC COM 549300FE3MQ4RVXXC673 2500-12-31 2500-12-31 N/A 102105.00 4320062.55 Equities Y N/A N/A 2020-07-01 2020-07-01 2020-07-01 N N N 0.0047 4000000.00 4000000.00 0.0026 N Y Y N Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 0.63% 7TK5RJIZDFROZCA6XF66 GCH655000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2029-05-01 2029-05-01 3.16 - 3.16 918336.00 1020018.56 Agency Mortgage-Backed Securities Y N/A N/A 2020-07-01 2020-07-01 2020-07-01 N N N 0.0063 1000000.00 1000000.00 0.0006 N Y Y N Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 1.07% 7TK5RJIZDFROZCA6XF66 GAC891000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2029-05-01 2029-05-01 3.16 - 3.16 919712.00 1021546.92 Agency Mortgage-Backed Securities Y N/A N/A 2020-08-10 2020-08-10 2020-08-10 N N N 0.0107 1000000.00 1000000.00 0.0006 N N N Y Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 1.07% 7TK5RJIZDFROZCA6XF66 GAC892000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N FEDERAL HOME LOAN MORTGAGE CORP 2030-01-25 2030-01-25 N/A 2788486.00 2063122.71 Agency Collateralized Mortgage Obligation Y N/A N/A 2020-08-10 2020-08-10 2020-08-10 N N N 0.0107 2000000.00 2000000.00 0.0013 N N N Y Morgan Stanley & Co., Inc. Morgan Stanley & Co., Inc., 0.50% 9R7GPTSO7KV3UQJZQ078 0000068136 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N ISHARES TR MSCI PERU ETF 5493004LUWWHLLHWFK32 2500-12-31 2500-12-31 N/A 21.00 593.02 Equities KRANESHARES TR MSCI ALL CHINA 549300QX48JOVJXEFW26 2500-12-31 2500-12-31 N/A 97.00 3074.90 Equities DIREXION SHS ETF TR DAILY TRANS 3X 549300VMLDHN310YUM33 2500-12-31 2500-12-31 N/A 83.00 847.43 Equities VANECK VECTORS ETF TR RARE EARTH STRAT 549300CC0W53Y8C5LO70 2500-12-31 2500-12-31 N/A 20.00 679.40 Equities ISHARES INC MSCI SINGPOR ETF 549300C97NIRWFCB5A22 2500-12-31 2500-12-31 N/A 67.00 1250.22 Equities CREDIT SUISSE AG NASSAU BRH VELOCITY SHS NEW 2500-12-31 2500-12-31 N/A 638.00 88682.00 Equities INVESCO EXCHANGE TRADED FD TR DYNMC SOFTWARE 54930013DR4KW9MH4K08 2500-12-31 2500-12-31 N/A 156.00 26605.92 Equities ADVISORSHARES TR DORSY SHRT ETF 549300LTRG88VTGUGS49 2500-12-31 2500-12-31 N/A 51.00 994.50 Equities ISHARES TR AGENCY BOND ETF 54930076RN5EDP4FSR30 2500-12-31 2500-12-31 N/A 72.00 8704.80 Equities MORGAN STANLEY ABS 2007-NC3 A-2A 20370525 FLT 549300LT6TIGKPKJS707 2037-05-25 2037-05-25 0.244 - 0.244 27053600.00 859002.41 Asset-Backed Securities MASTR ASSET BKD SECS 2006-WMC3 A-4 20360825 FLT 2036-08-25 2036-08-25 0.345 - 0.345 1848000.00 497218.74 Asset-Backed Securities BANK NOVA SCOTIA B C ALT TIER I PERP L3I9ZG2KFGXZ61BMYR72 2099-12-31 2099-12-31 4.9 - 4.9 1.00 1.00 Corporate Debt Securities INVESCO EXCH TRD SLF IDX FD TR BULSHS 2024 CB 2500-12-31 2500-12-31 N/A 12.00 522.84 Equities FIDELITY COVINGTON TR CONSMR STAPLES 549300O7ZJHT2R8ULP64 2500-12-31 2500-12-31 N/A 165.00 4766.81 Equities PROSHARES TR DECLINE RETAIL 5493002U6CHMD65I8F67 2500-12-31 2500-12-31 N/A 93.00 2971.35 Equities MIND C T I LTD ORD 2500-12-31 2500-12-31 N/A 192884.00 405056.40 Equities MORGAN STANLEY ABS 2006-WMC2 A-1 20360725 FLT 2036-07-25 2036-07-25 0.31 - 0.31 3140000.00 254839.34 Asset-Backed Securities BANK OF MONTREAL BIG OIL 3X LEV 2039-03-25 2500-12-31 N/A 103.00 279.76 Equities PROSHARES TR PSHS ULT S&P 500 UT59PM4NN1V3JAKZPS19 2500-12-31 2500-12-31 N/A 21.00 2557.80 Equities FIRST TR EXCHANGE-TRADED FD VI DORSEY WRIGHT 2500-12-31 2500-12-31 N/A 82.00 1381.70 Equities Y N/A N/A 2020-07-01 2020-07-01 2020-07-01 N N N 0.0050 2000000.00 2000000.00 0.0013 N Y Y N RBS Securities, Inc. RBS Securities, Inc., 0.35% ZE2ZWJ5BTIQJ8M0C6K34 0000808379 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N US TREASURY 254900HROIFWPRGM1V77 2027-06-30 2027-06-30 0.5 - 0.5 3054300.00 3060054.30 U.S. Treasuries (including strips) Y N/A N/A 2020-07-01 2020-07-01 2020-07-01 N N N 0.0035 3000000.00 3000000.00 0.0019 N Y Y N Societe Generale Societe Generale, 0.31% O2RNE8IBXP4R0TD8PU41 GCH668000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N VECTOR GROUP LTD SR GLBL 144A 26 549300TUIF4WWN6NDN50 2026-11-01 2026-11-01 10.5 - 10.5 1765213.00 1800231.88 Corporate Debt Securities P & O PRINCESS CRUISES PLC SR GLBL DEB 27 4DR1VPDQMHD3N3QW8W95 2027-06-01 2027-06-01 7.875 - 7.875 86000.00 78089.18 Corporate Debt Securities HCA INC SR GLBL NT 28 L3CJ6J7LJ2DX62FTXD46 2028-09-01 2028-09-01 5.625 - 5.625 1939990.00 2204010.51 Corporate Debt Securities HOSPITALITY PPTYS TR SR GLBL NT 26 529900IS770AG1K9QG27 2023-06-15 2026-10-01 4.5 - 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6.5 1.00 0.72 Corporate Debt Securities AUTOPISTAS DEL NORDESTE CAYMAN SR SEC REGS 26 2026-01-15 2026-01-15 9.39 - 9.39 100000.00 60895.36 Corporate Debt Securities COMM S&L / CSL CAPITAL SR SEC 144A NT23 2023-04-15 2023-04-15 6 - 6 814000.00 803825.00 Corporate Debt Securities ODEBRECHT DRILLING NORBE VIII/ FR 6.35%120121 549300YNW6BY570L6488 2021-12-01 2021-12-01 6.35 - 6.35 4.00 0.86 Corporate Debt Securities ADVISOR GROUP HLDGS INC SR GLBL 144A 27 2027-08-01 2027-08-01 10.75 - 10.75 193558.00 199266.62 Corporate Debt Securities UNITI GROUP LP / UNITI FIBER/ SR SEC GLBL 25 2025-02-15 2025-02-15 7.875 - 7.875 1.00 1.04 Corporate Debt Securities CHENIERE ENERGY PARTNERS LP SR GLBL NT 26 5493005UEC8AZ34LDV29 2025-10-01 2026-10-01 5.25 - 5.625 1425.00 1427.35 Corporate Debt Securities PRIME SEC SVCS BORROWER LLC / SR SEC GLBL 26 2026-04-15 2026-04-15 5.75 - 5.75 38082.00 39970.52 Corporate Debt Securities UBER TECHNOLOGIES INC SR GLBL 144A 25 549300B2FTG34FILDR98 2025-05-15 2025-05-15 7.5 - 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5.375 2000.00 1938.25 Corporate Debt Securities REALOGY GRP LLC/REALOGY CO SR 144A NT 21 2021-12-01 2021-12-01 5.25 - 5.25 120000.00 122019.50 Corporate Debt Securities IRON MTN INC NEW SR GLBL 144A 32 SQL3F6CKNNBM3SQGHX24 2032-07-15 2032-07-15 5.625 - 5.625 10.00 10.04 Corporate Debt Securities ALLISON TRANSMISSION INC SR GLBL 144A 29 MWKQ3I0U1GXP2YDSZW75 2029-06-01 2029-06-01 5.875 - 5.875 649.00 678.48 Corporate Debt Securities MACK-CALI RLTY L P SR NT 3.15%23 549300MJC9VNA6VSEE11 2023-05-15 2023-05-15 3.15 - 3.15 6000.00 5105.80 Corporate Debt Securities CHS / CMNTY HEALTH SYS INC SR SEC GLBL 24 5493007X5NC5XI1BB106 2024-01-15 2026-03-15 8 - 8.625 72040.00 73040.86 Corporate Debt Securities VOC ESCROW LTD SR SEC GLBL 28 2028-02-15 2028-02-15 5 - 5 2000.00 1516.86 Corporate Debt Securities ARCONIC CORPORATION SR SEC GLBL 25 549300B4YFWH3U74B152 2025-05-15 2025-05-15 6 - 6 121.00 125.58 Corporate Debt Securities BRINKS CO SR GLBL 144A 25 XFP140TFNOQMIVFTVQ13 2025-07-15 2025-07-15 5.5 - 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5.875 1.00 1.04 Corporate Debt Securities SPRINGLEAF FINANCE CORPORATION SR GLBL NT 23 5493008I795YYBFWFU90 2023-03-15 2023-03-15 5.625 - 5.625 36019.00 36779.59 Corporate Debt Securities SERVICE PPTYS TR SR GLBL NT7.5%25 529900IS770AG1K9QG27 2025-09-15 2025-09-15 7.5 - 7.5 4708.00 4957.28 Corporate Debt Securities CYDSA S A SR GLBL REGS 27 4469000001BNTACN9916 2027-10-04 2027-10-04 6.25 - 6.25 99690.00 99434.85 Corporate Debt Securities CHS / CMNTY HEALTH SYS INC SR SEC GLBL NT23 5493007X5NC5XI1BB106 2023-03-31 2023-03-31 6.25 - 6.25 211000.00 201109.38 Corporate Debt Securities DRIVETIME AUTOMOTIVE GROUP INC SR SEC 144A NT21 2021-06-01 2021-06-01 8 - 8 59000.00 56412.52 Corporate Debt Securities FRESH MKT INC 1PRI SR 144A 23 529900QM5ZSBEBR6CS58 2023-05-01 2023-05-01 9.75 - 9.75 3000.00 2619.39 Corporate Debt Securities VICI PPTYS INC SR GLBL 144A 30 2030-08-15 2030-08-15 4.125 - 4.125 1.00 0.97 Corporate Debt Securities UNITI GROUP LP / UNITI FIBER/ SR SEC GLBL 25 2025-02-15 2025-02-15 7.875 - 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8 5992.00 6083.86 Corporate Debt Securities REALOGY GRP LLC/REALOGY CO SR 144A NT 21 2021-12-01 2021-12-01 5.25 - 5.25 97000.00 98632.43 Corporate Debt Securities USIMINAS INTL S A R L SR GLBL 144A 26 529900KLYX6QPXVIVP43 2026-07-18 2026-07-18 5.875 - 5.875 13.00 12.31 Corporate Debt Securities IRON MTN INC NEW SR GLBL 144A 32 SQL3F6CKNNBM3SQGHX24 2032-07-15 2032-07-15 5.625 - 5.625 10.00 10.04 Corporate Debt Securities ENOVA INTL INC 8.5%25 549300O8XOCQSB49UO63 2025-09-15 2025-09-15 8.5 - 8.5 1185.00 1092.92 Corporate Debt Securities COMM S&L / CSL CAPITAL SR SEC 144A NT23 2023-04-15 2023-04-15 6 - 6 114000.00 112575.00 Corporate Debt Securities Y N/A N/A 2020-07-07 2020-07-07 2020-07-07 N N N 0.0033 4000000.00 4000000.00 0.0026 N N Y N Societe Generale Societe Generale, 0.45% O2RNE8IBXP4R0TD8PU41 GCH667000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N ONEMAIN FINL ISSUE TR 2015-3 D 20281118 6.94000 2028-11-18 2028-11-18 6.94 - 6.94 54.00 50.10 Asset-Backed Securities P & O PRINCESS CRUISES PLC SR GLBL DEB 27 4DR1VPDQMHD3N3QW8W95 2027-06-01 2027-06-01 7.875 - 7.875 7000.00 6356.10 Corporate Debt Securities CWMBS INC 2005-9 1-A-3 20350525 FLT 2035-05-25 2035-05-25 0.645 - 0.645 360295.00 18562.90 Private Label Collateralized Mortgage Obligations PRIME SEC SVCS BORROWER LLC / SR SEC GLBL 26 2026-04-15 2026-04-15 5.75 - 5.75 470.00 493.31 Corporate Debt Securities OPTION ONE MTG LN TR 2007-1 II-A-3 20370125 FLT 2037-01-25 2037-01-25 0.324 - 0.324 460368.00 199229.65 Asset-Backed Securities COMM S&L / CSL CAPITAL SR SEC 144A NT23 2023-04-15 2023-04-15 6 - 6 873000.00 862087.50 Corporate Debt Securities SOUNDVIEW HM LN 2006-2 M-2 20360325 FLT 2036-03-25 2036-03-25 0.535 - 0.535 195.00 185.24 Asset-Backed Securities UNITI GROUP LP / UNITI FIBER/ SR SEC GLBL 25 2025-02-15 2025-02-15 7.875 - 7.875 58359.00 60566.43 Corporate Debt Securities GREAT WOLF TRUST 2019-WOLF F 20361215 FLT 2036-12-15 2036-12-15 3.316 - 3.316 6598.00 5550.03 Private Label Collateralized Mortgage Obligations WELLS FARGO COML TR 2015-NXS1 E 20480515 FLT 5493002S7XBI8CVRR075 2048-05-15 2048-05-15 2.881 - 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5.542 6860.00 5122.16 Private Label Collateralized Mortgage Obligations NEMAK S A B DE C V 4.75%25 5493000MY3DAIB0BP706 2025-01-23 2025-01-23 4.75 - 4.75 219549.00 221631.48 Corporate Debt Securities ONEMAIN FINL TR 2018-1 E 20290314 5.52000 549300I1P51W2UFIED29 2029-03-14 2029-03-14 5.52 - 5.52 65.00 57.63 Asset-Backed Securities NEWCASTLE MTG SECS TR 2007-1 2-A-3 20370425 FLT 2037-04-25 2037-04-25 0.414 - 0.414 131099.00 97859.48 Asset-Backed Securities CWABS INC 2006-15 A-5A 20461025 FLT 2046-10-25 2046-10-25 4.548 - 4.548 30.00 21.19 Asset-Backed Securities UNITED AIRLINES PT CERT 2007-1 A 20240102 6.63600 2024-01-02 2024-01-02 6.636 - 6.636 5.00 1.72 Asset-Backed Securities CWALT INC ALT LN TR 2006-OA9 2-A-1A 20460720 FLT 2046-07-20 2046-07-20 0.4 - 0.4 56.00 5.62 Private Label Collateralized Mortgage Obligations JBS INVTS II GMBH 7%26 529900V1Q46CPWIWT649 2026-01-15 2026-01-15 7 - 7 2.00 2.16 Corporate Debt Securities UBER TECHNOLOGIES INC 8%26 549300B2FTG34FILDR98 2026-11-01 2026-11-01 8 - 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III LLC Taxable Florida Timber Fin. III LLC Taxable, 0.24% LOC Wells Fargo Bank NA VRDN 343217AA3 US343217AA35 Variable Rate Demand Note Y N/A N/A 2020-07-07 2020-07-07 2024-09-03 Y WELLS FARGO BK NATL ASSN 1.0000 7 N N/A N/A Y WELLS FARGO BK NATL ASSN 1.0000 N/A N/A N 0.0024 25155000.00 25155000.00 0.0162 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.13% 313384ZL6 2549001DPIFGXC1TOL40 US313384ZL66 0001026214 U.S. Government Agency Debt Y N/A N/A 2020-07-16 2020-07-16 2020-07-16 N N N 0.0011 1999900.00 1999900.00 0.0013 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.14% 313384ZZ5 2549001DPIFGXC1TOL40 US313384ZZ52 0001026214 U.S. Government Agency Debt Y N/A N/A 2020-07-29 2020-07-29 2020-07-29 N N N 0.0012 1999813.34 1999813.34 0.0013 N N Y N Toyota Motor Credit Corp. Toyota Motor Credit Corp., 0.36% Z2VZBHUMB7PWWJ63I008 0000834071 Other Instrument Master Notes Y N/A N/A 2020-07-01 2020-07-07 2020-11-20 Y TOYOTA MOTOR CREDIT CORP 1.0000 7 N N/A N/A N N 0.0036 5000000.00 5000000.00 0.0032 N N Y N Fidelity Garrison Street Trust: Fidelity Money Market Central Fund 2020-07-02 Laura M. Del Prato Laura M. Del Prato President and Treasurer