N-MFP LIVE N 2011-05-31 0000823535 S000017648 4 N N 033-17704 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 FIDELITY INVESTMENTS INSTIT. OPERATIONS CO. 0000862124 084-01839 N N Y Prime 51 101 2201355643.51 2312709.60 21782567.98 2181885785.13 0.0037 1.0001 2011-05-31 1.0001 2011-05-31 C000048773 1.00 941014757.43 1.00 -5397856.36 22685899.71 28083756.07 0.0011 1.0000 2011-05-31 1.0000 2011-05-31 C000048775 1.00 156612283.82 1.00 1898556.31 10941438.02 9042881.71 0.0002 1.0001 2011-05-31 1.0001 2011-05-31 C000048776 1.00 179918851.01 1.00 -1066612.30 5599456.38 6666068.68 0.0001 1.0002 2011-05-31 1.0002 2011-05-31 C000048774 1.00 904339892.87 1.00 34511354.85 64256924.89 29745570.04 0.0009 1.0003 2011-05-31 1.0003 2011-05-31 Bank of Montreal Bank of Montreal, 0.30% 06366UEK0 Certificate of Deposit First Tier Security 2011-06-22 2011-11-22 N N N 2000000.00 2000000.00 0.0009 N 1999616.00 1999616.00 Bank of Montreal Bank of Montreal, 0.35% 06366UD47 Certificate of Deposit First Tier Security 2011-07-06 2012-06-06 N N N 14000000.00 14000000.00 0.0064 N 13960142.00 13960142.00 Bank of Montreal Bank of Montreal, 0.50% 06366F5U1 Certificate of Deposit First Tier Security 2011-09-01 2011-09-01 N N N 26000000.00 26000000.00 0.0119 N 26022786.40 26022786.40 Bank of Montreal Bank of Montreal, 0.50% 06366F6D8 Certificate of Deposit First Tier Security 2011-09-06 2011-09-06 N N N 36000000.00 36000000.00 0.0165 N 36033246.00 36033246.00 Bank of Nova Scotia Bank of Nova Scotia, 0.30% 06417D2A2 Certificate of Deposit First Tier Security 2011-08-11 2012-06-11 N N N 7000000.00 7000000.00 0.0032 N 6997963.00 6997963.00 Bank of Nova Scotia Bank of Nova Scotia, 0.33% 06417DJE6 Certificate of Deposit First Tier Security 2011-08-16 2012-06-15 N N N 6000000.00 6000000.00 0.0027 N 5999244.00 5999244.00 Bank of Tokyo-Mitsubishi Bank of Tokyo-Mitsubishi, 0.40% 06538DDU0 Certificate of Deposit First Tier Security 2011-07-11 2011-07-11 N N N 8000000.00 8000000.00 0.0037 N 8001362.40 8001362.40 Bank of Tokyo-Mitsubishi Bank of Tokyo-Mitsubishi, 0.40% 06538DEY1 Certificate of Deposit First Tier Security 2011-07-25 2011-07-25 N N N 18000000.00 18000000.00 0.0082 N 18004113.00 18004113.00 Bank of Tokyo-Mitsubishi Bank of Tokyo-Mitsubishi, 0.40% 06538DFV6 Certificate of Deposit First Tier Security 2011-08-03 2011-08-03 N N N 15000000.00 15000000.00 0.0069 N 15003189.00 15003189.00 Bank of Tokyo-Mitsubishi Bank of Tokyo-Mitsubishi, 0.40% 06538DGN3 Certificate of Deposit First Tier Security 2011-08-09 2011-08-09 N N N 5000000.00 5000000.00 0.0023 N 5001162.50 5001162.50 Bank of Tokyo-Mitsubishi Bank of Tokyo-Mitsubishi, 0.40% 06538DGS2 Certificate of Deposit First Tier Security 2011-08-10 2011-08-10 N N N 6000000.00 6000000.00 0.0027 N 6001415.40 6001415.40 Bank of Tokyo-Mitsubishi Bank of Tokyo-Mitsubishi, 0.40% 06538DGX1 Certificate of Deposit First Tier Security 2011-08-15 2011-08-15 N N N 3000000.00 3000000.00 0.0014 N 3000757.50 3000757.50 Bank of Tokyo-Mitsubishi Bank of Tokyo-Mitsubishi, 0.50% 06538A3Q6 Certificate of Deposit First Tier Security 2011-07-07 2011-07-07 N N N 7000000.00 7000000.00 0.0032 N 7001792.00 7001792.00 Bank of Tokyo-Mitsubishi Bank of Tokyo-Mitsubishi, 0.50% 06538A3U7 Certificate of Deposit First Tier Security 2011-07-08 2011-07-08 N N N 7000000.00 7000000.00 0.0032 N 7001841.00 7001841.00 Bank of Tokyo-Mitsubishi Bank of Tokyo-Mitsubishi, 0.50% 06538A3V5 Certificate of Deposit First Tier Security 2011-07-11 2011-07-11 N N N 7000000.00 7000000.00 0.0032 N 7001985.90 7001985.90 BNP Paribas BNP Paribas, 0.39% 05572WDN3 Certificate of Deposit First Tier Security 2011-08-18 2011-11-18 N N N 35000000.00 35000000.00 0.0160 N 34995695.00 34995695.00 BNP Paribas New York Branch BNP Paribas New York Branch, 0.37% 0556M53Z6 Certificate of Deposit First Tier Security 2011-06-08 2011-06-08 N N N 40000000.00 40000000.00 0.0183 N 40002132.00 40002132.00 BNP Paribas SA BNP Paribas SA, 0.45% 0556M55E1 Certificate of Deposit First Tier Security 2011-06-24 2011-09-27 N N N 12000000.00 12000000.00 0.0055 N 12004584.00 12004584.00 BNP Paribas SA BNP Paribas SA, 0.56% 0556M52R5 Certificate of Deposit First Tier Security 2011-08-30 2011-11-28 N N N 20000000.00 20011563.13 0.0092 N 20008580.00 20008580.00 Canadian Imperial Bank of Commerce New York Branch Canadian Imperial Bank of Commerce New York Branch, 0.30% 13606XF52 Certificate of Deposit First Tier Security 2011-06-06 2011-10-04 N N N 7000000.00 7000000.00 0.0032 N 6998838.00 6998838.00 Canadian Imperial Bank of Commerce New York Branch Canadian Imperial Bank of Commerce New York Branch, 0.30% 13606XF86 Certificate of Deposit First Tier Security 2011-06-08 2011-11-07 N N N 14000000.00 14000000.00 0.0064 N 13997144.00 13997144.00 Canadian Imperial Bank of Commerce New York Branch Canadian Imperial Bank of Commerce New York Branch, 0.33% 13606XN87 Certificate of Deposit First Tier Security 2011-07-15 2012-05-17 N N N 20000000.00 20000000.00 0.0092 N 19994280.00 19994280.00 Canadian Imperial Bank of Commerce New York Branch Canadian Imperial Bank of Commerce New York Branch, 0.34% 13606XM96 Certificate of Deposit First Tier Security 2011-07-11 2012-01-11 N N N 10000000.00 10000000.00 0.0046 N 9997470.00 9997470.00 Credit Suisse Credit Suisse, 0.25% 22550CYK1 Certificate of Deposit First Tier Security 2011-06-24 2011-07-25 N N N 7000000.00 7000000.00 0.0032 N 7000686.00 7000686.00 Credit Suisse Credit Suisse, 0.27% 22550CA50 Certificate of Deposit First Tier Security 2011-06-02 2011-09-02 N N N 14000000.00 14000000.00 0.0064 N 13998264.00 13998264.00 Deutsche Bank Deutsche Bank, 0.29% 25152XMM9 Certificate of Deposit First Tier Security 2011-06-24 2011-07-25 N N N 30000000.00 30000000.00 0.0137 N 30001200.00 30001200.00 DnB NOR Bank ASA DnB NOR Bank ASA, 0.26% 25600TYD3 Certificate of Deposit First Tier Security 2011-06-06 2011-08-04 N N N 7000000.00 7000000.00 0.0032 N 6999657.00 6999657.00 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.18% 60687CY68 Certificate of Deposit First Tier Security 2011-06-01 2011-06-01 N N N 7000000.00 7000000.00 0.0032 N 6999994.40 6999994.40 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.18% 60687CY84 Certificate of Deposit First Tier Security 2011-06-02 2011-06-02 N N N 7000000.00 7000000.00 0.0032 N 6999988.10 6999988.10 Natexis Banques Populaires New York Branch Natexis Banques Populaires New York Branch, 0.35% 63873EAL5 Certificate of Deposit First Tier Security 2011-09-23 2011-09-23 N N N 32000000.00 32000000.00 0.0147 N 32006124.80 32006124.80 National Bank Canada National Bank Canada, 0.37% 63306VP87 Certificate of Deposit First Tier Security 2011-08-05 2011-11-04 N N N 18000000.00 18000000.00 0.0082 N 17997372.00 17997372.00 Natixis SA Natixis SA, 2.01% 63873BHT7 Certificate of Deposit First Tier Security 2011-06-22 2011-06-22 Y NATIXIS N Y BRH INSTL CTF DEP N/A N/A N N 18000000.00 18000000.00 0.0082 N 18014670.00 18014670.00 Rabobank Nederland New York Branch Rabobank Nederland New York Branch, 0.30% 74977LT80 Certificate of Deposit First Tier Security 2011-06-08 2011-06-08 N N N 7000000.00 7000000.00 0.0032 N 7000248.50 7000248.50 Rabobank Nederland New York Branch Rabobank Nederland New York Branch, 0.30% 74977MTC9 Certificate of Deposit First Tier Security 2011-06-13 2012-03-12 N N N 40000000.00 40000000.00 0.0183 N 40009920.00 40009920.00 Rabobank Nederland New York Branch Rabobank Nederland New York Branch, 0.31% 74977MTN5 Certificate of Deposit First Tier Security 2011-06-02 2012-04-02 N N N 7000000.00 7000000.00 0.0032 N 7000014.00 7000014.00 Rabobank Nederland New York Branch Rabobank Nederland New York Branch, 0.33% 74977MWX9 Certificate of Deposit First Tier Security 2011-09-06 2012-06-01 N N N 3000000.00 3000000.00 0.0014 N 2999223.00 2999223.00 Rabobank Nederland New York Branch Rabobank Nederland New York Branch, 0.33% 74977MWY7 Certificate of Deposit First Tier Security 2011-09-06 2012-06-04 N N N 7000000.00 7000000.00 0.0032 N 6998061.00 6998061.00 Rabobank Nederland New York Branch Rabobank Nederland New York Branch, 0.50% 74977MMB8 Certificate of Deposit First Tier Security 2011-09-12 2011-09-12 N N N 7000000.00 7000000.00 0.0032 N 7006048.70 7006048.70 Royal Bank of Canada Royal Bank of Canada, 0.64% 78009JKX2 Certificate of Deposit First Tier Security 2011-07-01 2012-06-01 N N N 27000000.00 27000000.00 0.0124 N 27036288.00 27036288.00 Royal Bank of Scotland NV Royal Bank of Scotland NV, 0.31% 78011AET3 Certificate of Deposit First Tier Security 2011-08-08 2011-08-08 N N N 15000000.00 15000000.00 0.0069 N 15002298.00 15002298.00 Royal Bank of Scotland NV Royal Bank of Scotland NV, 0.32% 78011AEM8 Certificate of Deposit First Tier Security 2011-08-02 2011-08-02 N N N 20000000.00 20000000.00 0.0092 N 20003146.00 20003146.00 Societe Generale Societe Generale, 0.29% 83369RB42 Certificate of Deposit First Tier Security 2011-08-01 2011-08-01 N N N 20000000.00 20000000.00 0.0092 N 20001374.00 20001374.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.18% 86562EAY4 Certificate of Deposit First Tier Security 2011-06-01 2011-06-01 N N N 3000000.00 3000000.00 0.0014 N 3000000.00 3000000.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.18% 86562EAZ1 Certificate of Deposit First Tier Security 2011-06-02 2011-06-02 N N N 3000000.00 3000000.00 0.0014 N 3000000.00 3000000.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.18% 86562EBN7 Certificate of Deposit First Tier Security 2011-06-07 2011-06-07 N N N 4000000.00 4000000.00 0.0018 N 4000000.00 4000000.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.18% 86562EBT4 Certificate of Deposit First Tier Security 2011-06-08 2011-06-08 N N N 3000000.00 3000000.00 0.0014 N 3000000.00 3000000.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.18% 86562EBY3 Certificate of Deposit First Tier Security 2011-06-09 2011-06-09 N N N 3000000.00 3000000.00 0.0014 N 3000000.00 3000000.00 Svenska Handelsbanken Svenska Handelsbanken, 0.30% 86959BTQ8 Certificate of Deposit First Tier Security 2011-11-03 2011-11-03 N N N 13000000.00 13000279.47 0.0060 N 12994651.80 12994651.80 Toronto-Dominion Bank New York Branch Toronto-Dominion Bank New York Branch, 0.28% 89112YSH7 Certificate of Deposit First Tier Security 2011-06-13 2012-01-12 N N N 6000000.00 6000000.00 0.0027 N 5998278.00 5998278.00 UBS AG UBS AG, 0.30% 90267AG91 Certificate of Deposit First Tier Security 2011-07-11 2011-07-11 N N N 7000000.00 7000000.00 0.0032 N 7001434.30 7001434.30 UBS AG UBS AG, 0.31% 90267AA89 Certificate of Deposit First Tier Security 2011-06-21 2011-07-21 N N N 15000000.00 15000000.00 0.0069 N 14999520.00 14999520.00 Credit Agricole SA Credit Agricole SA, 0.35% 22999KLY6 0001191672 Certificate of Deposit First Tier Security 2011-09-01 2011-09-01 N N N 24000000.00 24000000.00 0.0110 N 24002469.60 24002469.60 Credit Agricole SA Credit Agricole SA, 0.36% 22999KLW0 0001191672 Certificate of Deposit First Tier Security 2011-08-08 2011-08-08 N N N 20000000.00 20000000.00 0.0092 N 20003826.00 20003826.00 Credit Agricole SA Credit Agricole SA, 0.36% 22999KMA7 0001191672 Certificate of Deposit First Tier Security 2011-10-05 2011-10-05 N N N 20000000.00 20000000.00 0.0092 N 20001402.00 20001402.00 Credit Industriel et Commercial Credit Industriel et Commercial, 0.31% 22999AHG2 0001274419 Certificate of Deposit First Tier Security 2011-09-01 2011-09-01 N N N 30000000.00 30000000.00 0.0137 N 30001545.00 30001545.00 Credit Industriel et Commercial Credit Industriel et Commercial, 0.35% 22999AHH0 0001274419 Certificate of Deposit First Tier Security 2011-09-02 2011-09-02 N N N 30000000.00 30000000.00 0.0137 N 30004695.00 30004695.00 HSBC Bank PLC HSBC Bank PLC, 0.38% 35X99QAT1 0001140465 Certificate of Deposit First Tier Security 2012-02-09 2012-02-09 N N N 3000000.00 3000000.00 0.0014 N 3000209.10 3000209.10 HSBC Bank PLC HSBC Bank PLC, 0.50% 35X99QAL8 0001140465 Certificate of Deposit First Tier Security 2011-08-29 2011-08-29 N N N 4000000.00 4000000.00 0.0018 N 4003593.20 4003593.20 HSBC Bank PLC HSBC Bank PLC, 0.50% 35X99QAS3 0001140465 Certificate of Deposit First Tier Security 2012-05-03 2012-05-03 N N N 7000000.00 7000000.00 0.0032 N 6984964.70 6984964.70 HSBC Bank PLC HSBC Bank PLC, 0.50% 35X99QAU8 0001140465 Certificate of Deposit First Tier Security 2012-05-10 2012-05-10 N N N 9000000.00 9000000.00 0.0041 N 9003423.60 9003423.60 HSBC Bank PLC HSBC Bank PLC, 0.53% 13L997HC3 0001140465 Certificate of Deposit First Tier Security 2012-02-28 2012-02-28 N N N 6000000.00 5999998.61 0.0027 N 6007237.80 6007237.80 HSBC Bank PLC HSBC Bank PLC, 0.55% 35X99QAQ7 0001140465 Certificate of Deposit First Tier Security 2012-03-15 2012-03-15 N N N 7000000.00 7000000.00 0.0032 N 7001642.90 7001642.90 ING Bank NV ING Bank NV, 0.27% 37X99J5N2 0001017255 Certificate of Deposit First Tier Security 2011-08-10 2011-08-10 N N N 21000000.00 21000000.00 0.0096 N 21005382.30 21005382.30 ING Bank NV ING Bank NV, 0.29% 38T99AAS7 Certificate of Deposit First Tier Security 2011-08-04 2011-08-04 N N N 25000000.00 25000000.00 0.0115 N 25001802.50 25001802.50 ING Bank NV ING Bank NV, 0.30% 37X99J4W3 0001017255 Certificate of Deposit First Tier Security 2011-08-01 2011-08-01 N N N 21000000.00 21000000.00 0.0096 N 21001806.00 21001806.00 National Australia Bank Ltd. National Australia Bank Ltd., 0.30% 6329908T7 0000833029 Certificate of Deposit First Tier Security 2011-07-18 2011-07-18 N N N 21000000.00 21000000.00 0.0096 N 21003635.10 21003635.10 National Australia Bank Ltd. National Australia Bank Ltd., 0.30% 6329909E9 0000833029 Certificate of Deposit First Tier Security 2011-12-01 2011-12-01 N N N 8000000.00 8000000.00 0.0037 N 7999591.20 7999591.20 National Australia Bank Ltd. National Australia Bank Ltd., 0.40% 6329908M2 0000833029 Certificate of Deposit First Tier Security 2011-07-07 2011-07-07 N N N 15000000.00 15000000.00 0.0069 N 15003541.50 15003541.50 National Australia Bank Ltd. National Australia Bank Ltd., 0.42% 6329907Y7 0000833029 Certificate of Deposit First Tier Security 2011-06-10 2011-06-10 N N N 3000000.00 3000003.74 0.0014 N 3000262.20 3000262.20 National Australia Bank Ltd. National Australia Bank Ltd., 0.43% 6329907X9 0000833029 Certificate of Deposit First Tier Security 2011-06-06 2011-06-06 N N N 10000000.00 10000000.00 0.0046 N 10000525.00 10000525.00 Barclays Bank PLC/Barclays US CCP Funding LLC Barclays Bank PLC/Barclays US CCP Funding LLC, 0.32% 06741GBL8 Financial Company Commercial Paper First Tier Security 2011-08-15 2011-08-15 N N N 4000000.00 3997333.33 0.0018 N 3998302.80 3998302.80 BP Capital Markets PLC BP Capital Markets PLC, 0.33% 05568UT71 Financial Company Commercial Paper First Tier Security 2011-06-07 2011-06-07 N N N 2000000.00 1999890.00 0.0009 N 1999953.40 1999953.40 Caisse d'Amort de la Dette Societe Caisse d'Amort de la Dette Societe, 0.27% 12802YAB6 Financial Company Commercial Paper First Tier Security 2011-08-03 2012-05-25 N N N 7000000.00 6999257.11 0.0032 N 7001603.00 7001603.00 Caisse d'Amort de la Dette Societe Caisse d'Amort de la Dette Societe, 0.31% 12802WY40 Financial Company Commercial Paper First Tier Security 2011-11-04 2011-11-04 N N N 15000000.00 14979850.00 0.0069 N 14989729.50 14989729.50 Caisse d'Amort de la Dette Societe Caisse d'Amort de la Dette Societe, 0.31% 12802WYJ7 Financial Company Commercial Paper First Tier Security 2011-11-18 2011-11-18 N N N 13000000.00 12980969.45 0.0059 N 12989441.40 12989441.40 Commerzbank U.S. Finance, Inc. Commerzbank U.S. Finance, Inc., 0.33% 20260BVB1 Financial Company Commercial Paper First Tier Security 2011-08-11 2011-08-11 N N N 14000000.00 13991026.39 0.0064 N 13993672.00 13993672.00 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.31% 20272AAV8 Financial Company Commercial Paper First Tier Security 2011-08-22 2011-11-21 N N N 3000000.00 3000000.00 0.0014 N 2999652.00 2999652.00 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.32% 20272AAR7 Financial Company Commercial Paper First Tier Security 2011-08-04 2011-10-28 N N N 5000000.00 5000000.00 0.0023 N 5000315.00 5000315.00 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.35% 20272AAB2 Financial Company Commercial Paper First Tier Security 2011-06-02 2011-06-02 N N N 4000000.00 4000000.00 0.0018 N 4000000.00 4000000.00 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.36% 20272AAL0 Financial Company Commercial Paper First Tier Security 2011-06-02 2011-08-26 N N N 4000000.00 4000000.00 0.0018 N 4000000.00 4000000.00 Credit Suisse New York Branch Credit Suisse New York Branch, 0.20% 2254EBV24 Financial Company Commercial Paper First Tier Security 2011-08-02 2011-08-02 N N N 20000000.00 19993111.11 0.0092 N 19992510.00 19992510.00 Danske Corp. Danske Corp., 0.25% 2363F7UB2 Financial Company Commercial Paper First Tier Security 2011-07-11 2011-07-11 N N N 11000000.00 10996944.44 0.0050 N 10997556.90 10997556.90 Danske Corp. Danske Corp., 0.30% 2363F7WK0 Financial Company Commercial Paper First Tier Security 2011-09-19 2011-09-19 N N N 8000000.00 7992666.67 0.0037 N 7993315.20 7993315.20 DnB NOR Bank ASA DnB NOR Bank ASA, 0.24% 2332K4BA1 Financial Company Commercial Paper First Tier Security 2011-06-27 2011-07-25 N N N 7000000.00 7000000.00 0.0032 N 7000280.00 7000280.00 DnB NOR Bank ASA DnB NOR Bank ASA, 0.25% 2332K4AZ7 Financial Company Commercial Paper First Tier Security 2011-06-21 2011-07-21 N N N 6000000.00 6000000.00 0.0027 N 5999808.00 5999808.00 Intesa Funding LLC Intesa Funding LLC, 0.25% 4611K1T96 Financial Company Commercial Paper First Tier Security 2011-06-09 2011-06-09 N N N 3000000.00 2999833.33 0.0014 N 2999853.30 2999853.30 Natexis Banques Populaires U.S. Finance Co. LLC Natexis Banques Populaires U.S. Finance Co. LLC, 0.45% 6323A1U12 Financial Company Commercial Paper First Tier Security 2011-07-01 2011-07-01 N N N 40000000.00 39985000.00 0.0183 N 39993764.00 39993764.00 Nationwide Building Society Nationwide Building Society, 0.34% 6385E1T35 Financial Company Commercial Paper First Tier Security 2011-06-03 2011-06-03 N N N 44000000.00 43999168.89 0.0202 N 43999560.00 43999560.00 Nationwide Building Society Nationwide Building Society, 0.35% 6385E1TE1 Financial Company Commercial Paper First Tier Security 2011-06-14 2011-06-14 N N N 9000000.00 8998862.50 0.0041 N 8999488.80 8999488.80 Natixis US Finance Co. LLC Natixis US Finance Co. LLC, 0.35% 6323A4BU3 Financial Company Commercial Paper First Tier Security 2011-06-17 2011-07-01 Y NATIXIS US FINANCE CO LLC N/A N/A N N 17000000.00 17000000.00 0.0078 N 17000459.00 17000459.00 Royal Bank of Canada Royal Bank of Canada, 0.30% 78009BYP1 Financial Company Commercial Paper First Tier Security 2011-11-23 2011-11-23 N N N 8000000.00 7988333.33 0.0037 N 7993859.20 7993859.20 Skandinaviska Enskilda Banken AB Skandinaviska Enskilda Banken AB, 0.30% 83050UT73 Financial Company Commercial Paper First Tier Security 2011-06-07 2011-06-07 N N N 7000000.00 6999655.83 0.0032 N 6999836.90 6999836.90 Skandinaviska Enskilda Banken AB Skandinaviska Enskilda Banken AB, 0.34% 83050UU63 Financial Company Commercial Paper First Tier Security 2011-07-06 2011-07-06 N N N 7000000.00 6997720.14 0.0032 N 6998684.00 6998684.00 Societe Generale North America, Inc. Societe Generale North America, Inc., 0.28% 83365SW17 Financial Company Commercial Paper First Tier Security 2011-09-01 2011-09-01 N N N 10000000.00 9992844.45 0.0046 N 9993464.00 9993464.00 Societe Generale North America, Inc. Societe Generale North America, Inc., 0.31% 83365STF0 Financial Company Commercial Paper First Tier Security 2011-06-15 2011-06-15 N N N 24000000.00 23997106.67 0.0110 N 23998500.00 23998500.00 Total Capital Canada Ltd. Total Capital Canada Ltd., 0.40% 89153QW89 Financial Company Commercial Paper First Tier Security 2011-09-08 2011-09-08 N N N 3000000.00 2996700.00 0.0014 N 2998083.30 2998083.30 Total Capital Canada Ltd. Total Capital Canada Ltd., 0.40% 89153QWF3 Financial Company Commercial Paper First Tier Security 2011-09-15 2011-09-15 N N N 3000000.00 2996466.67 0.0014 N 2997886.80 2997886.80 Total Capital Canada Ltd. Total Capital Canada Ltd., 0.42% 89153QZF0 Financial Company Commercial Paper First Tier Security 2011-12-15 2011-12-15 N N N 3000000.00 2993105.00 0.0014 N 2994654.00 2994654.00 UniCredito Italiano Bank (Ireland) PLC UniCredito Italiano Bank (Ireland) PLC, 0.25% 9046Q3T90 Financial Company Commercial Paper First Tier Security 2011-06-09 2011-06-09 N N N 6000000.00 5999666.67 0.0027 N 5999740.80 5999740.80 UniCredito Italiano Bank (Ireland) PLC UniCredito Italiano Bank (Ireland) PLC, 0.25% 9046Q3TN9 Financial Company Commercial Paper First Tier Security 2011-06-22 2011-06-22 N N N 5000000.00 4999270.83 0.0023 N 4999315.00 4999315.00 Westpac Banking Corp. Westpac Banking Corp., 0.29% 9612C4BG5 Financial Company Commercial Paper First Tier Security 2011-06-19 2011-09-19 N N N 8000000.00 8000000.00 0.0037 N 7999144.00 7999144.00 Westpac Banking Corp. Westpac Banking Corp., 0.29% 9612C4BH3 Financial Company Commercial Paper First Tier Security 2011-06-23 2011-09-23 N N N 8000000.00 8000000.00 0.0037 N 7999160.00 7999160.00 Westpac Banking Corp. Westpac Banking Corp., 0.30% 9612C4BJ9 Financial Company Commercial Paper First Tier Security 2011-06-08 2011-10-07 N N N 4000000.00 4000000.00 0.0018 N 3999244.00 3999244.00 Westpac Banking Corp. Westpac Banking Corp., 0.45% 9612C1WC7 Financial Company Commercial Paper Unrated Security 2011-09-12 2011-09-12 N N N 7000000.00 6990987.50 0.0032 N 6996892.70 6996892.70 Comcast Corp. Comcast Corp., 0.40% 2003A3TA2 Other Commercial Paper Second Tier Security 2011-06-10 2011-06-10 N N N 10000000.00 9999000.00 0.0046 N 9999358.00 9999358.00 CVS Caremark Corp. CVS Caremark Corp., 0.41% 12664RAC6 Other Commercial Paper Second Tier Security 2011-06-01 2011-06-01 Y CVS CAREMARK CORP N/A N/A N N 4000000.00 4000000.00 0.0018 N 4000000.00 4000000.00 Devon Energy Corp. Devon Energy Corp., 0.24% 25179LT21 Other Commercial Paper Second Tier Security 2011-06-02 2011-06-02 N N N 2000000.00 1999986.67 0.0009 N 1999981.20 1999981.20 Devon Energy Corp. Devon Energy Corp., 0.27% 25179LTT2 Other Commercial Paper Second Tier Security 2011-06-27 2011-06-27 N N N 2000000.00 1999610.00 0.0009 N 1999665.60 1999665.60 Devon Energy Corp. Devon Energy Corp., 0.27% 25179LTT2 Other Commercial Paper Second Tier Security 2011-06-27 2011-06-27 N N N 2000000.00 1999610.00 0.0009 N 1999665.60 1999665.60 Verizon Communications, Inc. Verizon Communications, Inc., 0.41% 92344PUV6 Other Commercial Paper Second Tier Security 2011-06-01 2011-07-14 Y VERIZON COMMUNICATIONS INC N/A N/A N N 10000000.00 10000000.00 0.0046 N 10000440.00 10000440.00 Xerox Corp. Xerox Corp., 0.53% 98412FTA0 Other Commercial Paper Second Tier Security 2011-06-10 2011-06-10 N N N 4000000.00 3999470.00 0.0018 N 3999576.80 3999576.80 ABAG Fin. Auth. for Nonprofit Corps. Rev. ABAG Fin. Auth. for Nonprofit Corps. Rev., 0.18% (Valley Christian Schools Proj.) Series 2003, LOC Bank of America NA VRDN 00037CEY2 Variable Rate Demand Note First Tier Security 2011-06-07 2011-06-07 Y BANK OF AMERICA NA N/A N/A Y BANK OF AMERICA NA N/A N/A N 7180000.00 7180000.00 0.0033 N 7180000.00 7180000.00 California Health Facilities Fing. Auth. Rev. California Health Facilities Fing. Auth. Rev., 0.15% (Scripps Health Proj.) Series 2008 E, LOC Bank of America NA VRDN 13033F5K2 Variable Rate Demand Note First Tier Security 2011-06-07 2011-06-07 Y BANK OF AMERICA NA N/A N/A Y BANK OF AMERICA NA N/A N/A N 6000000.00 6000000.00 0.0027 N 6000000.00 6000000.00 California Health Facilities Fing. Auth. Rev. California Health Facilities Fing. Auth. Rev., 0.15% (Catholic Healthcare West Proj.) Series 2005 H, LOC Bank of America NA VRDN 13033FF54 Variable Rate Demand Note First Tier Security 2011-06-07 2011-06-07 Y BANK OF AMERICA NA N/A N/A Y BANK OF AMERICA NA N/A N/A N 9700000.00 9700000.00 0.0044 N 9700000.00 9700000.00 California Hsg. Fin. Agcy. Multifamily Hsg. Rev. California Hsg. Fin. Agcy. Multifamily Hsg. Rev., 0.16% Series 2008 B, (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac) VRDN 130036AL0 Variable Rate Demand Note First Tier Security 2011-06-07 2011-06-07 Y FANNIE MAE N/A N/A FREDDIE MAC N/A N/A N N 20015000.00 20015000.00 0.0092 N 20015000.00 20015000.00 San Francisco City & County Arpts. Commission Int'l. Arpt. Rev. San Francisco City & County Arpts. Commission Int'l. Arpt. Rev., 0.17% Series 2010 A3, LOC JPMorgan Chase Bank VRDN 79765A3M6 Variable Rate Demand Note First Tier Security 2011-06-07 2011-06-07 Y JPMORGAN CHASE BANK NA N/A N/A Y JPMORGAN CHASE BANK NA N/A N/A N 13000000.00 13000000.00 0.0060 N 13000000.00 13000000.00 Ohio Air Quality Dev. Auth. Rev. Ohio Air Quality Dev. Auth. Rev., 0.18% (Dayton Pwr. & Lt. Co. Proj.) Series 2008 B, LOC JPMorgan Chase Bank VRDN 677525SZ1 Variable Rate Demand Note First Tier Security 2011-06-07 2011-06-07 Y JPMORGAN CHASE BANK NA N/A N/A Y JPMORGAN CHASE BANK NA N/A N/A N 9000000.00 9000000.00 0.0041 N 9000000.00 9000000.00 Ohio Hsg. Fin. Agcy. Mtg. Rev. Ohio Hsg. Fin. Agcy. Mtg. Rev., 0.17% (Mtg.-Backed Securities Prog.) Series B, (Liquidity Facility Fed. Home Ln. Bank, Cincinnati) VRDN 676907EX2 Variable Rate Demand Note First Tier Security 2011-06-07 2011-06-07 Y FEDERAL HOME LOAN BK - CINCINN N/A N/A N Y OBLIGOR OH RESIDENTIAL MORT REV 6/1/94 N/A N/A 11490000.00 11490000.00 0.0053 N 11490000.00 11490000.00 Ohio Hsg. Fin. Agcy. Residential Mtg. Rev. Ohio Hsg. Fin. Agcy. Residential Mtg. Rev., 0.17% Series 2008 B, (Liquidity Facility Fed. Home Ln. Bank, Cincinnati) VRDN 67756QGM3 Variable Rate Demand Note First Tier Security 2011-06-07 2011-06-07 Y FEDERAL HOME LOAN BK - CINCINN N/A N/A N Y OBLIGOR OH RESIDENTIAL MORT REV 6/1/94 N/A N/A 16500000.00 16500000.00 0.0076 N 16500000.00 16500000.00 North Carolina Med. Care Commission Health Care Facilities Rev. North Carolina Med. Care Commission Health Care Facilities Rev., 0.19% (Cape Fear Valley Health Sys. Proj.) Series 2008 A1, LOC Branch Banking & Trust 65821DAX9 Variable Rate Demand Note First Tier Security 2011-06-07 2011-06-07 Y BRANCH BANKING AND TRUST CO N/A N/A Y BRANCH BANKING AND TRUST CO N/A N/A N 28000000.00 28000000.00 0.0128 N 28000000.00 28000000.00 Colorado Hsg. Fin. Auth. Single Family Mtg. Rev. Colorado Hsg. Fin. Auth. Single Family Mtg. Rev., 0.17% Series 2008 A3, (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac) VRDN 196483CV1 Variable Rate Demand Note First Tier Security 2011-06-07 2011-06-07 Y FANNIE MAE N/A N/A FREDDIE MAC N/A N/A N N 10000000.00 10000000.00 0.0046 N 10000000.00 10000000.00 Denver Urban Renewal Auth. Tax Increment Rev. Denver Urban Renewal Auth. Tax Increment Rev., 0.19% Series 2008 A1, LOC U.S. Bank NA, Minnesota VRDN 249301EC2 Variable Rate Demand Note First Tier Security 2011-06-07 2011-06-07 Y US BANK NA CINCINNATI OHIO N/A N/A Y US BANK NA CINCINNATI OHIO N/A N/A N 6900000.00 6900000.00 0.0032 N 6900000.00 6900000.00 Arizona Health Facilities Auth. Rev. Arizona Health Facilities Auth. Rev., 0.16% (Catholic Healthcare West Proj.) Series 2009 F, LOC Citibank NA VRDN 040507MK8 Variable Rate Demand Note First Tier Security 2011-06-07 2011-06-07 Y CITIBANK NA N/A N/A Y CITIBANK NA N/A N/A N 15600000.00 15600000.00 0.0071 N 15600000.00 15600000.00 New York City Gen. Oblig. New York City Gen. Oblig., 0.16% Series 2004 A6, LOC Landesbank Baden-Wuert VRDN 64966CLY5 Variable Rate Demand Note First Tier Security 2011-06-07 2011-06-07 Y LANDESBANK BADEN-WUERT (GTD) N/A N/A Y LANDESBANK BADEN-WUERT (GTD) N/A N/A N 14475000.00 14475000.00 0.0066 N 14475000.00 14475000.00 Clark County Fuel Tax Clark County Fuel Tax, 0.25% Participating VRDN Series BA 08 1171, (Liquidity Facility Bank of America NA) 05248P4D4 Variable Rate Demand Note First Tier Security 2011-06-07 2011-06-07 Y BANK OF AMERICA NA N/A N/A N N 11135000.00 11135000.00 0.0051 N 11135000.00 11135000.00 Massachusetts Health & Edl. Facilities Auth. Rev. Massachusetts Health & Edl. Facilities Auth. Rev., 0.18% Participating VRDN Series Putters 3529, (Liquidity Facility JPMorgan Chase Bank) 46633VBP3 Variable Rate Demand Note First Tier Security 2011-06-07 2011-06-07 Y JPMORGAN CHASE BANK NA N/A N/A N N 10000000.00 10000000.00 0.0046 N 10000000.00 10000000.00 Highlands County Health Facilities Auth. Rev. Highlands County Health Facilities Auth. Rev., 0.13% (Adventist Health Sys./Sunbelt Obligated Group Proj.) Series 2005 H, LOC U.S. Bank NA, Minnesota 431022QW5 Variable Rate Demand Note First Tier Security 2011-06-07 2011-06-07 Y US BANK NA CINCINNATI OHIO N/A N/A Y US BANK NA CINCINNATI OHIO N/A N/A N 10000000.00 10000000.00 0.0046 N 10000000.00 10000000.00 Indiana Edl. Facilities Auth. Rev. Indiana Edl. Facilities Auth. Rev., 0.18% (Franklin College Proj.) Series 2003, LOC JPMorgan Chase Bank VRDN 455048U48 Variable Rate Demand Note First Tier Security 2011-06-07 2011-06-07 Y JPMORGAN CHASE BANK NA N/A N/A Y JPMORGAN CHASE BANK NA N/A N/A N 8350000.00 8350000.00 0.0038 N 8350000.00 8350000.00 South Carolina Jobs-Econ. Dev. Auth. South Carolina Jobs-Econ. Dev. Auth., 0.17% (AnMed Health Proj.) Series 2009 A, LOC Branch Banking & Trust Co. VRDN 83703FBX9 Variable Rate Demand Note First Tier Security 2011-06-07 2011-06-07 Y BRANCH BANKING AND TRUST CO N/A N/A Y BRANCH BANKING AND TRUST CO N/A N/A N 2250000.00 2250000.00 0.0010 N 2250000.00 2250000.00 Delaware Econ. Dev. Auth. Rev. Delaware Econ. Dev. Auth. Rev., 0.55% (Delmarva Pwr. & Lt. Co. Proj.) Series 1988 VRDN 246387BL7 Variable Rate Demand Note Second Tier Security 2011-06-01 2011-06-01 Y DELMARVA POWER & LIGHT N/A N/A N N 1900000.00 1900000.00 0.0009 N 1900000.00 1900000.00 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.35% 2027A0FM6 Other Note First Tier Security 2011-07-12 2012-02-10 N N N 7000000.00 7000000.00 0.0032 N 6997984.00 6997984.00 Metropolitan Life Global Funding I Metropolitan Life Global Funding I, 2.30% 59217EBX1 Other Note First Tier Security 2011-07-01 2011-07-01 Y MET LIFE GLB FDG I MTN BE 144A N/A N/A N N 11900000.00 11902259.53 0.0055 N 11917017.00 11917017.00 Royal Bank of Canada Royal Bank of Canada, 0.27% 78008KXS7 Other Note First Tier Security 2011-08-08 2012-06-05 N N N 21000000.00 20991863.63 0.0096 N 21003990.00 21003990.00 Royal Bank of Canada Royal Bank of Canada, 0.30% 78008FBA1 Other Note First Tier Security 2011-07-01 2012-06-01 N N N 27000000.00 27000000.00 0.0124 N 27001512.00 27001512.00 Royal Bank of Canada Royal Bank of Canada, 0.66% 78008FAM6 Other Note First Tier Security 2011-06-15 2012-06-15 N N N 23000000.00 23000000.00 0.0105 N 23031188.00 23031188.00 Westpac Banking Corp. Westpac Banking Corp., 0.26% 91621CAV3 Other Note Unrated Security 2011-06-23 2012-02-23 N N N 26000000.00 26000000.00 0.0119 N 25958166.00 25958166.00 Westpac Banking Corp. Westpac Banking Corp., 0.31% 9612E0CB1 Other Note First Tier Security 2011-06-07 2012-04-02 N N N 17000000.00 17000000.00 0.0078 N 16993081.00 16993081.00 Westpac Banking Corp. Westpac Banking Corp., 0.31% 91621CBD2 Other Note First Tier Security 2011-08-11 2012-06-11 N N N 9000000.00 9000000.00 0.0041 N 8999955.00 8999955.00 Westpac Banking Corp. Westpac Banking Corp., 0.32% 91621CAZ4 Other Note Unrated Security 2011-07-15 2012-06-15 N N N 19000000.00 19000000.00 0.0087 N 18993540.00 18993540.00 U.S. Treasury Bills U.S. Treasury Bills, 0.14% 9127953M1 Treasury Debt First Tier Security 2011-10-06 2011-10-06 N N N 8000000.00 7996190.00 0.0037 N 7998304.00 7998304.00 U.S. Treasury Bills U.S. Treasury Bills, 0.21% to 0.22% 912795W64 Treasury Debt First Tier Security 2011-06-02 2011-06-02 N N N 8000000.00 7999953.25 0.0037 N 7999992.00 7999992.00 U.S. Treasury Bills U.S. Treasury Bills, 0.23% 912795X22 Treasury Debt First Tier Security 2011-06-30 2011-06-30 N N N 24000000.00 23995650.00 0.0110 N 23999184.00 23999184.00 U.S. Treasury Bills U.S. Treasury Bills, 0.30% 9127953C3 Treasury Debt First Tier Security 2012-02-09 2012-02-09 N N N 3000000.00 2993622.29 0.0014 N 2997471.00 2997471.00 U.S. Treasury Notes U.S. Treasury Notes, 0.24% to 0.27% 912828JU5 Treasury Debt First Tier Security 2011-11-15 2011-11-15 N N N 18000000.00 18122568.04 0.0083 N 18132894.00 18132894.00 U.S. Treasury Notes U.S. Treasury Notes, 0.25% 912828LG3 Treasury Debt First Tier Security 2011-07-31 2011-07-31 N N N 5000000.00 5006114.13 0.0023 N 5007615.00 5007615.00 U.S. Treasury Notes U.S. Treasury Notes, 0.25% 912828LT5 Treasury Debt First Tier Security 2011-10-31 2011-10-31 N N N 4000000.00 4012382.91 0.0018 N 4014532.00 4014532.00 U.S. Treasury Notes U.S. Treasury Notes, 0.30% to 0.32% 912828MM9 Treasury Debt First Tier Security 2011-11-30 2011-11-30 N N N 3000000.00 3006546.56 0.0014 N 3009492.00 3009492.00 U.S. Treasury Notes U.S. Treasury Notes, 0.32% 912828LW8 Treasury Debt First Tier Security 2011-09-30 2011-09-30 N N N 6000000.00 6013284.13 0.0028 N 6017580.00 6017580.00 U.S. Treasury Notes U.S. Treasury Notes, 0.32% 912828GA2 Treasury Debt First Tier Security 2011-11-30 2011-11-30 N N N 9000000.00 9186920.65 0.0042 N 9195822.00 9195822.00 U.S. Treasury Notes U.S. Treasury Notes, 0.35% 912828KC3 Treasury Debt First Tier Security 2012-02-15 2012-02-15 N N N 5000000.00 5035996.46 0.0023 N 5042775.00 5042775.00 Metropolitan Life Insurance Co. Metropolitan Life Insurance Co., 0.60% 591999DQ7 0000728618 Insurance Company Funding Agreement First Tier Security 2011-07-01 2011-08-29 Y METROPOLITAN LIFE INS CO N/A N/A N N 10000000.00 10000000.00 0.0046 Y 10006190.00 10006190.00 Hyundai Auto Recvbls Trust 2011-B Hyundai Auto Recvbls Trust 2011-B, 0.24% 44890EAA8 Other Instrument Asset-Backed Securities First Tier Security 2012-05-15 2012-05-15 N N N 20650000.00 20650000.00 0.0095 N 20651468.22 20651468.22 Bank of America NA In a joint trading account with Bank of America NA at 0.15%, dated 5/31/2011 due 06/01/2011 41L993MP8_04197 Government Agency Repurchase Agreement Y GOVERNMENT NATIONAL MORTAGE ASSOC 2034-01-16 2040-04-16 0.388 - 6.5 Government Agency Debt 17581158.85 16279993.28 Unrated Security 2011-06-01 2011-06-01 N N N 15805753.00 15805752.86 0.0072 N 15805752.86 15805752.86 Barclays Capital, Inc. In a joint trading account with Barclays Capital, Inc. at 0.15%, dated 5/31/2011 due 06/01/2011 41L993MP8_06453 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2020-12-01 2041-06-01 2.612 - 6 Government Agency Debt 2275200.18 1540906.55 FEDERAL NATIONAL MORTGAGE ASSOC 2021-04-01 2041-03-01 2.997 - 6 Government Agency Debt 3726025.51 3284712.33 GOVERNMENT NATIONAL MORTAGE ASSOC 2038-12-15 2040-12-20 4 - 6.5 Government Agency Debt 206216.42 145309.73 Unrated Security 2011-06-01 2011-06-01 N N N 4873440.00 4873440.46 0.0022 N 4873440.46 4873440.46 BNP Paribas Securities Corp. In a joint trading account with BNP Paribas Securities Corp. at 0.15%, dated 5/31/2011 due 06/01/2011 41L993MP8_07629 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2025-12-01 2041-05-01 3 - 6.5 Government Agency Debt 1841062.60 1343528.55 FEDERAL HOME LOAN MORTGAGE CORP 2026-01-01 2041-05-01 0 - 5.695 Government Agency Debt 854284.73 679202.11 GOVERNMENT NATIONAL MORTAGE ASSOC 2039-01-20 2041-05-20 3.5 - 5.5 Government Agency Debt 457949.92 395558.93 Unrated Security 2011-06-01 2011-06-01 N N N 2370863.00 2370862.93 0.0011 N 2370862.93 2370862.93 Citibank NA In a joint trading account with Citibank NA at 0.15%, dated 5/31/2011 due 06/01/2011 41L993MP8_26602 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2018-07-01 2047-11-01 3.5 - 7 Government Agency Debt 380616.06 187213.82 FEDERAL HOME LOAN MORTGAGE CORP 2017-02-01 2041-01-01 4 - 7 Government Agency Debt 286548.31 81485.03 Unrated Security 2011-06-01 2011-06-01 N N N 263429.00 263429.21 0.0001 N 263429.21 263429.21 Citigroup Global Markets, Inc. In a joint trading account with Citigroup Global Markets, Inc. at 0.15%, dated 5/31/2011 due 06/01/2011 41L993MP8_69850 Government Agency Repurchase Agreement Y GOVERNMENT NATIONAL MORTAGE ASSOC 2025-03-15 2041-03-15 4 - 6 Government Agency Debt 405961.09 385210.07 FEDERAL HOME LOAN MORTGAGE CORP 2020-08-01 2041-05-01 2.99 - 6 Government Agency Debt 937449.37 752118.70 FEDERAL NATIONAL MORTGAGE ASSOC 2019-06-01 2041-06-01 2.87 - 5.908 Government Agency Debt 1027793.73 1012261.98 Unrated Security 2011-06-01 2011-06-01 N N N 2107434.00 2107433.71 0.0010 N 2107433.71 2107433.71 Credit Agricole Securities (USA), Inc. In a joint trading account with Credit Agricole Securities (USA), Inc. at 0.15%, dated 5/31/2011 due 06/01/2011 41L993MP8_05222 Government Agency Repurchase Agreement Y US TREASURY 2013-05-15 2032-04-15 3.375 - 3.625 Treasury Debt 258407.94 324834.67 FEDERAL HOME LOAN BANK 2011-11-30 2011-12-30 0.29 - 0.32 Government Agency Debt 461902.05 462437.46 FEDERAL NATIONAL MORTGAGE ASSOC 2017-09-15 2017-09-15 2.6 - 2.6 Government Agency Debt 288115.69 288861.59 Unrated Security 2011-06-01 2011-06-01 N N N 1053717.00 1053716.86 0.0005 N 1053716.86 1053716.86 Deutsche Bank Securities, Inc. Deutsche Bank Securities, Inc., 0.25% 37F99E4D6 0000058056 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2035-10-01 2035-10-01 5 - 5 Government Agency Debt 13218063.00 6127735.66 First Tier Security 2011-06-06 2011-06-06 Y DEUTSCHE BK SECS INC(GOV REPO) N/A N/A N N 6000000.00 6000000.00 0.0027 N 6000000.00 6000000.00 Deutsche Bank Securities, Inc. In a joint trading account with Deutsche Bank Securities, Inc. at 0.15%, dated 5/31/2011 due 06/01/2011 41L993MP8_06399 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2011-09-25 2041-05-25 0.716 - 7 Government Agency Debt 2249835.56 1502201.06 GOVERNMENT NATIONAL MORTAGE ASSOC 2023-05-16 2052-10-16 0.498 - 7 Government Agency Debt 3793340.85 2567797.26 Unrated Security 2011-06-01 2011-06-01 N N N 3951438.00 3951438.21 0.0018 N 3951438.21 3951438.21 ING Financial Markets LLC ING Financial Markets LLC, 0.12% 41P99GDF7 0000877559 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2040-08-01 2040-08-01 3.68 - 3.68 Government Agency Debt 2185000.00 2042986.21 Unrated Security 2011-06-07 2011-06-07 Y ING FINL MKTS LLC (GOV RP JPM) N/A N/A N N 2000000.00 2000000.00 0.0009 N 2000000.00 2000000.00 ING Financial Markets LLC In a joint trading account with ING Financial Markets LLC at 0.15%, dated 5/31/2011 due 06/01/2011 41L993MP8_40488 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2013-11-01 2041-04-15 0.948 - 8 Government Agency Debt 2342163.55 949986.72 FEDERAL NATIONAL MORTGAGE ASSOC 2016-11-25 2041-04-01 3 - 7 Government Agency Debt 794473.00 502896.58 GOVERNMENT NATIONAL MORTAGE ASSOC 2013-11-20 2040-12-20 2 - 8 Government Agency Debt 4833187.08 318702.28 AMERICAN EXP BNK FDIC 2011-12-09 2011-12-09 1.186 - 1.186 Other Instrument OTHER NOTE 1011.57 1017.65 CITIGROUP FUNDING INC. 2012-07-12 2012-10-22 1.875 - 2.125 Other Instrument OTHER NOTE 95777.59 98050.46 GMAC INC. 2012-10-30 2012-10-30 1.75 - 1.75 Other Instrument OTHER NOTE 11791.09 12042.22 GMACLLC7.30%PUBLICINCOMENOTES( 2012-12-19 2012-12-19 0.309 - 2.2 Other Instrument OTHER NOTE 90812.48 94222.32 GE CAPITAL CORP FDIC 2012-09-28 2012-12-28 2 - 2.625 Other Instrument OTHER NOTE 304446.20 315518.18 FEDERAL HOME LOAN BANK 2011-08-05 2011-08-05 0 - 0 Government Agency Debt 133253.03 133243.70 FEDERAL AGRICULTURE MORTGAGE CORP 2016-05-02 2026-02-03 2.55 - 4.81 Government Agency Debt 18745.62 19330.64 US TREASURY 2013-11-30 2020-08-15 1.5 - 4.625 Treasury Debt 44096.68 46967.08 GOLDMAN SACHS GROUP, INC. 2011-11-09 2012-06-15 0.518 - 3.25 Other Instrument OTHER NOTE 12117.74 12474.21 WELLS FARGO & COMPANY 2012-06-15 2012-06-15 2.125 - 2.125 Other Instrument OTHER NOTE 105.37 108.37 STATE STREET CORPORATION 2012-04-30 2012-04-30 2.15 - 2.15 Other Instrument OTHER NOTE 9841.72 10031.48 SOVEREIGN BANCORP, INC. 2012-01-17 2012-01-17 2.75 - 2.75 Other Instrument OTHER NOTE 14741.50 15130.08 POOLED FUNDING TRUST II 2012-03-30 2012-03-30 0 - 0 Other Instrument OTHER NOTE 1317.15 1330.73 PNC FUNDING CORP 2011-06-22 2011-06-22 1.507 - 1.507 Other Instrument OTHER NOTE 2102.17 2108.74 JPMORGAN CHASE & CO. 2012-12-26 2012-12-26 2.125 - 2.125 Other Instrument OTHER NOTE 47.42 49.12 HSBC USA INC. 2011-12-16 2011-12-16 3.125 - 3.125 Other Instrument OTHER NOTE 737.60 759.96 Unrated Security 2011-06-01 2011-06-01 N N N 2476235.00 2476234.61 0.0011 N 2476234.61 2476234.61 ING Financial Markets LLC ING Financial Markets LLC, 0.15% 41P99GCJ0 0000877559 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2039-11-01 2039-11-01 4.262 - 4.262 Government Agency Debt 4270000.00 3061008.73 Unrated Security 2011-06-07 2011-06-07 Y ING FINL MKTS LLC (GOV RP JPM) N/A N/A N N 3000000.00 3000000.00 0.0014 N 3000000.00 3000000.00 ING Financial Markets LLC ING Financial Markets LLC, 0.15% 41P99GBK8 0000877559 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2041-02-01 2041-02-01 3.047 - 3.047 Government Agency Debt 3050000.00 3064113.41 Unrated Security 2011-06-07 2011-06-07 Y ING FINL MKTS LLC (GOV RP JPM) N/A N/A N N 3000000.00 3000000.00 0.0014 N 3000000.00 3000000.00 J.P. Morgan Securities, Inc. In a joint trading account with J.P. Morgan Securities, Inc. at 0.15%, dated 5/31/2011 due 06/01/2011 41L993MP8_55502 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2012-01-01 2049-07-25 0 - 8.5 Government Agency Debt 959951.63 466005.15 FEDERAL HOME LOAN MORTGAGE CORP 2018-04-15 2041-04-15 0 - 17.562 Government Agency Debt 93571.27 62350.76 GOVERNMENT NATIONAL MORTAGE ASSOC 2021-01-20 2039-11-16 0 - 5.5 Government Agency Debt 23620.25 10093.96 Unrated Security 2011-06-01 2011-06-01 N N N 526858.00 526858.43 0.0002 N 526858.43 526858.43 Merrill Lynch, Pierce, Fenner & Smith, Inc. In a joint trading account with Merrill Lynch, Pierce, Fenner & Smith, Inc. at 0.15%, dated 5/31/2011 due 06/01/2011 41L993MP8_53651 Government Agency Repurchase Agreement Y GOVERNMENT NATIONAL MORTAGE ASSOC 2041-05-20 2061-04-20 2.5 - 4.859 Government Agency Debt 168209.46 174368.27 FEDERAL NATIONAL MORTGAGE ASSOC 2011-11-23 2041-05-01 0 - 5.5 Government Agency Debt 1305011.62 1247622.60 FEDERAL HOME LOAN MORTGAGE CORP 2026-05-01 2041-05-01 2.63 - 5 Government Agency Debt 937472.99 865106.97 FEDERAL HOME LOAN BANK 2011-06-01 2011-08-26 0 - 0 Government Agency Debt 932722.46 932682.32 Unrated Security 2011-06-01 2011-06-01 N N N 3161151.00 3161150.57 0.0014 N 3161150.57 3161150.57 Mizuho Securities USA, Inc. Mizuho Securities USA, Inc., 0.13% 40W995JL6 0000812291 Government Agency Repurchase Agreement Y First Tier Security 2011-06-07 2011-06-07 Y MIZUHO SECS USA INC (GOV REPO) N/A N/A N N 7000000.00 7000000.00 0.0032 This repurchase agreement was a forward settling transaction and therefore no collateral securities had been allocated as of 5/31. The agreement contemplated the delivery of Collateralized Mortgage Obligations as collateral on settlement date. N 7000000.00 7000000.00 RBC Capital Markets Corp. In a joint trading account with RBC Capital Markets Corp. at 0.15%, dated 5/31/2011 due 06/01/2011 41L993MP8_07160 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2020-04-15 2026-03-01 3.5 - 10 Government Agency Debt 200023.20 195194.96 GOVERNMENT NATIONAL MORTAGE ASSOC 2026-04-20 2040-05-20 3.75 - 4 Government Agency Debt 143673.18 150756.99 FEDERAL NATIONAL MORTGAGE ASSOC 2033-09-01 2040-08-01 2.529 - 5.5 Government Agency Debt 996890.17 460713.98 Unrated Security 2011-06-01 2011-06-01 N N N 790288.00 790287.64 0.0004 N 790287.64 790287.64 RBS Securities, Inc. In a joint trading account with RBS Securities, Inc. at 0.15%, dated 5/31/2011 due 06/01/2011 41L993MP8_32466 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2031-03-01 2041-03-01 4.5 - 6.5 Government Agency Debt 1034195.40 806095.09 Unrated Security 2011-06-01 2011-06-01 N N N 790288.00 790287.64 0.0004 N 790287.64 790287.64 Societe Generale In a joint trading account with Societe Generale at 0.15%, dated 5/31/2011 due 06/01/2011 41L993MP8_74037 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2034-01-01 2041-06-01 2.53 - 6.979 Government Agency Debt 327002.56 187315.85 GOVERNMENT NATIONAL MORTAGE ASSOC 2021-09-20 2040-12-20 4.5 - 4.5 Government Agency Debt 5950.30 6168.52 FEDERAL NATIONAL MORTGAGE ASSOC 2034-10-01 2041-04-01 0.913 - 6.098 Government Agency Debt 453827.88 294856.35 Unrated Security 2011-06-01 2011-06-01 N N N 478657.00 478657.20 0.0002 N 478657.20 478657.20 UBS Securities LLC UBS Securities LLC, 0.12% 39D99X5N9 0000230611 Government Agency Repurchase Agreement Y GOVERNMENT NATIONAL MORTAGE ASSOC 2039-05-20 2039-05-20 5 - 5 Government Agency Debt 2616820.00 2040088.80 First Tier Security 2011-06-07 2011-06-07 Y UBS SECURITIES LLC (GOV REPO) N/A N/A N N 2000000.00 2000000.00 0.0009 N 2000000.00 2000000.00 UBS Securities LLC In a joint trading account with UBS Securities LLC at 0.15%, dated 5/31/2011 due 06/01/2011 41L993MP8_06042 Government Agency Repurchase Agreement Y CITIBANK N A FDIC GTD TLGP 2012-05-07 2012-05-07 1.875 - 1.875 Other Instrument CORPORATE 40294.32 40957.17 CITIGROUP FDG INC FDIC GTD TLGP 2012-10-22 2012-11-15 1.875 - 1.875 Other Instrument CORPORATE 68954.65 70562.65 CITIBANK N A FDIC GTD TLGP 2012-12-28 2012-12-28 1.75 - 1.75 Other Instrument CORPORATE 18130.64 18652.39 GMAC INC FDIC GTD TLGP 2012-10-30 2012-10-30 1.75 - 1.75 Other Instrument CORPORATE 24939.75 25472.14 BANK AMER CORP MEDIUM TERM NTS SER L BOOK ENTRY 2011-12-02 2012-06-15 0.276 - 3.125 Other Instrument CORPORATE 20441.50 21201.83 GOVERNMENT NATIONAL MORTAGE ASSOC 2020-02-20 2041-04-20 4 - 7 Government Agency Debt 21478.42 16160.16 FEDERAL NATIONAL MORTGAGE ASSOC 2013-06-25 2041-01-25 0.453 - 9.25 Government Agency Debt 2144646.82 1144342.00 FEDERAL HOME LOAN MORTGAGE CORP 2015-04-15 2041-05-15 0.519 - 238 Government Agency Debt 2171456.48 1059496.93 GMAC LLC FORMERLY GMAC LLC 06/30/2009 2012-12-19 2012-12-19 2.2 - 2.2 Other Instrument CORPORATE 17133.15 17784.72 PNC FDG CORP FDIC GTD TLGP 2012-06-22 2012-06-22 2.3 - 2.3 Other Instrument CORPORATE 26551.08 27369.07 Unrated Security 2011-06-01 2011-06-01 N N N 2370863.00 2370862.93 0.0011 N 2370862.93 2370862.93 Wells Fargo Securities LLC In a joint trading account with Wells Fargo Securities LLC at 0.15%, dated 5/31/2011 due 06/01/2011 41L993MP8_08395 Government Agency Repurchase Agreement Y FINANCE CORPORATION 2011-10-06 2019-09-26 0 - 9.65 Government Agency Debt 4167.65 3605.76 FEDERAL HOME LOAN MORTGAGE CORP 2011-07-25 2041-05-01 0 - 5 Government Agency Debt 549215.96 550729.84 FEDERAL HOME LOAN BANK 2011-06-01 2014-08-28 0 - 5.75 Government Agency Debt 353534.63 354639.42 FEDERAL FARM CREDIT 2011-10-24 2011-10-25 0 - 0 Government Agency Debt 18618.64 18613.34 US TREASURY 2012-03-31 2040-11-15 1 - 4.25 Treasury Debt 202977.54 235617.61 FEDERAL NATIONAL MORTGAGE ASSOC 2011-06-20 2041-04-01 0 - 5.5 Government Agency Debt 879175.71 760308.09 RESOLUTION FUNDING CORP 2011-10-15 2030-04-15 0 - 0 Government Agency Debt 6706.41 5157.05 GOVERNMENT NATIONAL MORTAGE ASSOC 2023-03-16 2060-10-20 0.573 - 5 Government Agency Debt 178826.57 169930.12 Unrated Security 2011-06-01 2011-06-01 N N N 2051587.00 2051586.72 0.0009 N 2051586.72 2051586.72 Barclays Capital, Inc. Barclays Capital, Inc., 0.32% 41K990VE0 0000851376 Other Repurchase Agreement N ALLIANT TECHSYSTEMS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 2999.00 213078.95 NET 1 UEPS TECH 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 125992.00 1053293.12 EXPRESS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 50667.00 1058433.63 TOMOTHERAPY 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 212089.00 928949.82 Unrated Security 2011-06-02 2011-06-02 Y BARCLAYS CAPITAL(NON GOV REPO) N/A N/A N N 3000000.00 3000000.00 0.0014 N 3000000.00 3000000.00 Barclays Capital, Inc. Barclays Capital, Inc., 0.32% 41K990UA9 0000851376 Other Repurchase Agreement N ENTERGY 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 13696.00 928177.92 INVEST TECH GRP 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 11154.00 167421.54 Unrated Security 2011-06-02 2011-06-02 Y BARCLAYS CAPITAL(NON GOV REPO) N/A N/A N N 1000000.00 1000000.00 0.0005 N 1000000.00 1000000.00 Barclays Capital, Inc. Barclays Capital, Inc., 0.32% 41K990US0 0000851376 Other Repurchase Agreement N BERKSHIRE HATH-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 5.00 585475.00 BLACK BOX 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 25593.00 842521.56 DEVRY 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1999.00 108105.92 HANESBRANDS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 36148.00 1100345.12 LAM RESEARCH CORP 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 24044.00 1105062.24 ESTEE LAUDER-A 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 5213.00 523489.46 REHABCARE GRP 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 25139.00 935422.19 NUVASIVE 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 5914.00 199834.06 Unrated Security 2011-06-03 2011-06-03 Y BARCLAYS CAPITAL(NON GOV REPO) N/A N/A N N 5000000.00 5000000.00 0.0023 N 5000000.00 5000000.00 Barclays Capital, Inc. Barclays Capital, Inc., 0.33% 41K990VX8 0000851376 Other Repurchase Agreement N AFFYMAX 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 71333.00 510744.28 TERADATA 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 18052.00 999539.24 RPX 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 35000.00 999250.00 NATIONAL HEALTHCARE 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 21163.00 999316.86 AMYRIS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 30397.00 890328.13 ALBANY INTL CL-A- 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 37388.00 1000876.76 Unrated Security 2011-06-07 2011-06-07 Y BARCLAYS CAPITAL(NON GOV REPO) N/A N/A N N 5000000.00 5000000.00 0.0023 N 5000000.00 5000000.00 Barclays Capital, Inc. Barclays Capital, Inc., 0.42% 41K990LE1 0000851376 Other Repurchase Agreement N EXTENDED STAY AMERICA TRUST 2027-11-05 2027-11-05 5.498 - 5.498 Other Instrument MORTGAGE 596696.00 623312.81 GCCFC COMMERCIAL PASS-THROUGH CERTIFICATES 2037-04-10 2037-04-10 5.277 - 5.277 Other Instrument MORTGAGE 3457579.00 3577765.31 Unrated Security 2011-06-07 2011-06-07 Y BARCLAYS CAPITAL(NON GOV REPO) N/A N/A N N 4000000.00 4000000.00 0.0018 N 4000000.00 4000000.00 Barclays Capital, Inc. Barclays Capital, Inc., 1.00% 38N99NAM8 0000851376 Other Repurchase Agreement N EXTENDED STAY AMERICA TRUST 2027-11-05 2027-11-05 5.498 - 5.498 Other Instrument MORTGAGE 7087933.00 7404104.39 Unrated Security 2011-08-24 2011-08-24 Y BARCLAYS CAPITAL(NON GOV REPO) N/A N/A N N 7000000.00 7000000.00 0.0032 Y 7000000.00 7000000.00 Barclays Capital, Inc. Barclays Capital, Inc., 1.00% 38N99N4K9 0000851376 Other Repurchase Agreement N SALESFORCE COM INC 2015-01-15 2015-01-15 N/A Other Instrument EQUITY 1853586.00 3418167.05 LIBERTY GLOBAL INC 2016-11-15 2016-11-15 4.5 - 4.5 Other Instrument EQUITY 1000.00 1871.25 US AIRWAYS GROUP INC FORMERLY USAIR GROUP INC T0 2014-05-15 2014-05-15 7.25 - 7.25 Other Instrument EQUITY 3000.00 6534.67 6.75 VAL12 EN P2012 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 22800.00 2056332.00 Unrated Security 2011-09-06 2011-09-06 Y BARCLAYS CAPITAL(NON GOV REPO) N/A N/A N N 5000000.00 5000000.00 0.0023 Y 5000000.00 5000000.00 Barclays Capital, Inc. Barclays Capital, Inc., 1.00% 38N99NJE7 0000851376 Other Repurchase Agreement N EXTENDED STAY AMERICA TRUST 2027-11-05 2027-11-05 5.498 - 5.498 Other Instrument MORTGAGE 7091060.00 7407370.87 Unrated Security 2011-09-06 2011-09-06 Y BARCLAYS CAPITAL(NON GOV REPO) N/A N/A N N 7000000.00 7000000.00 0.0032 Y 7000000.00 7000000.00 BNP Paribas Securities Corp. BNP Paribas Securities Corp., 0.22% 40Z99URJ4 0001197610 Other Repurchase Agreement N BRAZIL FEDERATIVE REP 2037-01-20 2037-01-20 7.125 - 7.125 Other Instrument CORPORATE 847513.00 1050006.81 Unrated Security 2011-06-01 2011-06-01 N N N 1000000.00 1000000.00 0.0005 N 1000000.00 1000000.00 Deutsche Bank Securities, Inc. Deutsche Bank Securities, Inc., 0.35% 41J99MEW3 0000058056 Other Repurchase Agreement N WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES, WMALT 2047-04-25 2047-04-25 1.055 - 1.055 Other Instrument MORTGAGE 4375914.00 1842445.87 RALI 2047-02-25 2047-02-25 0.373 - 0.373 Other Instrument MORTGAGE 3184650.00 1395949.31 FREESCALE SEMICONDUCTOR INC 2014-12-15 2014-12-15 8.875 - 8.875 Other Instrument CORPORATE 1832.00 1987.12 First Tier Security 2011-06-07 2011-06-07 Y DEUTSCHE BC SEC INC(NON GOV) N/A N/A N N 3000000.00 3000000.00 0.0014 N 3000000.00 3000000.00 Deutsche Bank Securities, Inc. Deutsche Bank Securities, Inc., 0.37% 41J99MDM6 0000058056 Other Repurchase Agreement N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2041-05-15 2041-05-15 5.388 - 5.388 Other Instrument MORTGAGE 284683.00 306701.81 HCA INC FORMERLY HCA-HEALTHCARE CO TO 07/01/2001 2020-09-15 2020-09-15 7.25 - 7.25 Other Instrument CORPORATE 330000.00 363925.83 AMERICREDIT AUTOMOBILE RECEIVABLES TR 2010-4 2014-05-08 2014-05-08 N/A Other Instrument ASSET BACKED 375000.00 375709.25 LEHMAN MORTGAGE TRUST 2036-07-25 2036-07-25 6.937 - 6.937 Other Instrument MORTGAGE 116210.00 9031.90 WACHOVIA BANK COMMERCIAL MORTGAGE TRUST 2048-10-15 2048-10-15 5.672 - 5.672 Other Instrument MORTGAGE 406322.00 293824.40 SLM STUDENT LOAN TRUST 2029-10-25 2029-10-25 0.424 - 0.424 Other Instrument ASSET BACKED 407160.00 377679.99 SLM CORP MEDIUM TERM NTS BOOK ENTRY 2013-01-15 2013-01-15 5.375 - 5.375 Other Instrument CORPORATE 356000.00 380320.34 RALI 2047-02-25 2047-02-25 0.373 - 0.373 Other Instrument MORTGAGE 52081.00 22829.02 First Tier Security 2011-06-07 2011-06-07 Y DEUTSCHE BC SEC INC(NON GOV) N/A N/A N N 2000000.00 2000000.00 0.0009 N 2000000.00 2000000.00 Deutsche Bank Securities, Inc. Deutsche Bank Securities, Inc., 0.41% 39Q99VWW9 0000058056 Other Repurchase Agreement N COUNTRYWIDE HOME EQUITY LOAN TRUST 2033-10-25 2033-10-25 2.294 - 2.294 Other Instrument ASSET BACKED 51995.00 5329.67 COUNTRYWIDE HOME LOANS 2035-08-20 2035-08-20 2.792 - 2.792 Other Instrument MORTGAGE 7118855.00 2122408.57 FREESCALE SEMICONDUCTOR INC 2014-12-15 2014-12-15 8.875 - 8.875 Other Instrument CORPORATE 2042.00 2214.90 ISTAR FINL INC 2016-03-15 2016-03-15 5.875 - 5.875 Other Instrument CORPORATE 6222.00 5661.42 LEHMAN MORTGAGE TRUST 2036-07-25 2036-07-25 6.937 - 6.937 Other Instrument MORTGAGE 86602.00 6730.75 LEHMAN XS TR 2007-5H 2037-05-25 2037-05-25 N/A Other Instrument MORTGAGE 90600.00 18031.98 MGM RESORTS INTL FORMERLY MGM GRAND INC TO 08/01 2013-04-01 2013-04-01 6.75 - 6.75 Other Instrument CORPORATE 1007779.00 1039272.09 NEW CENTURY MORTGAGE CORP HOME EQUITY LOAN TRUST 2035-07-25 2035-07-25 3.944 - 3.944 Other Instrument ASSET BACKED 300018.00 13182.49 TOWN SPORTS INTL HLDGS INC 2014-02-01 2014-02-01 11 - 11 Other Instrument CORPORATE 26321.00 27812.52 SACO I INC 2040-09-25 2040-09-25 N/A Other Instrument MORTGAGE 9862.00 4289.95 First Tier Security 2011-06-07 2011-06-07 Y DEUTSCHE BC SEC INC(NON GOV) N/A N/A N N 3000000.00 3000000.00 0.0014 N 3000000.00 3000000.00 Goldman Sachs & Co. Goldman Sachs & Co., 0.23% 40M99HGY6 0000769993 Other Repurchase Agreement N US TREASURY 2012-09-30 2012-09-30 4.25 - 4.25 Treasury Debt 4811400.00 5100330.99 First Tier Security 2011-06-01 2011-06-01 Y GOLDMAN SACHS&CO(NON GOV REPO) N/A N/A N N 5000000.00 5000000.00 0.0023 N 5000000.00 5000000.00 ING Financial Markets LLC ING Financial Markets LLC, 0.30% 36N99SNE5 0000877559 Other Repurchase Agreement N BANK OF AMERICA CORPORATION 2017-12-01 2017-12-01 5.75 - 5.75 Other Instrument CORPORATE 555000.00 617266.05 GOLDMAN SACHS GROUP, INC. (THE 2018-04-01 2018-04-01 6.15 - 6.15 Other Instrument CORPORATE 135000.00 149448.94 CITIGROUP, INC. 2019-05-22 2019-05-22 8.5 - 8.5 Other Instrument CORPORATE 1900000.00 2386017.75 Unrated Security 2011-06-07 2011-06-07 Y ING FINL MKTS LLC(NONGOV REPO) N/A N/A N N 3000000.00 3000000.00 0.0014 N 3000000.00 3000000.00 J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp., 0.28% 40W9964X4 Other Repurchase Agreement N CITIGROUP, INC. 2011-05-31 2011-05-31 N/A Other Instrument OTHER NOTE 1963276.00 80435417.72 Unrated Security 2011-06-01 2011-06-01 N N N 74000000.00 74000000.00 0.0339 N 74000000.00 74000000.00 J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp., 0.55% 40W996RW1 Other Repurchase Agreement N CITIGROUP, INC. 2011-05-31 2011-05-31 N/A Other Instrument OTHER NOTE 318542.00 13050665.74 Unrated Security 2011-07-25 2011-07-25 N N N 12000000.00 12000000.00 0.0055 Y 12000000.00 12000000.00 J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp., 0.65% 40W996SF7 Other Repurchase Agreement N WELLS FARGO & COMPANY 2011-05-31 2011-05-31 N/A Other Instrument OTHER NOTE 77304.00 2175334.56 Unrated Security 2011-10-24 2011-10-24 N N N 2000000.00 2000000.00 0.0009 Y 2000000.00 2000000.00 J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp., 0.72% 40W996BL2 Other Repurchase Agreement N PFIZER INC. 2011-05-31 2011-05-31 N/A Other Instrument OTHER NOTE 520223.00 10888267.39 Unrated Security 2011-09-01 2011-09-01 N N N 10000000.00 10000000.00 0.0046 Y 10000000.00 10000000.00 J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp., 0.75% 38N99SVY8 Other Repurchase Agreement N MICROCHIP TECHNOLOGY INC 2011-05-31 2011-05-31 N/A Other Instrument OTHER NOTE 1573000.00 2201254.63 JETBLUE AIRWAYS 2011-05-31 2011-05-31 N/A Other Instrument OTHER NOTE 500000.00 770254.00 GSI COMMERCE INC 2011-05-31 2011-05-31 N/A Other Instrument OTHER NOTE 1475000.00 1671632.25 DIGITAL RIVER, INC. 2011-05-31 2011-05-31 N/A Other Instrument OTHER NOTE 1635000.00 1626100.70 CADENCE DESIGN SYSTEMS, INC. 2011-05-31 2011-05-31 N/A Other Instrument OTHER NOTE 882000.00 1359977.85 Unrated Security 2011-07-27 2011-07-27 N N N 7000000.00 7000000.00 0.0032 Y 7000000.00 7000000.00 J.P. Morgan Securities, Inc. J.P. Morgan Securities, Inc., 0.73% 41A99QLP0 0001287279 Other Repurchase Agreement N BEAZER HOMES USA,INC. 2015-07-15 2015-07-15 6.875 - 6.875 Other Instrument CORPORATE 3355000.00 3248583.66 Unrated Security 2011-09-28 2011-09-28 N N N 3000000.00 3000000.00 0.0014 Y 3000000.00 3000000.00 Merrill Lynch, Pierce, Fenner & Smith Merrill Lynch, Pierce, Fenner & Smith, 0.26% 41N99RQD6 0000728612 Other Repurchase Agreement N TIM HORTONS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 879938.00 41040308.32 Unrated Security 2011-06-01 2011-06-01 N N N 38000000.00 38000000.00 0.0174 N 38000000.00 38000000.00 Merrill Lynch, Pierce, Fenner & Smith Merrill Lynch, Pierce, Fenner & Smith, 0.61% 41N99RPS4 0000728612 Other Repurchase Agreement N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2049-01-15 2049-01-15 5.395 - 5.395 Other Instrument MORTGAGE 3209863.00 2585438.01 RALI 2047-03-25 2047-03-25 0.363 - 0.363 Other Instrument MORTGAGE 15548069.00 4916513.28 NATIONSTAR HOME EQUITY LOAN TRUST 2037-06-25 2037-06-25 0.324 - 0.324 Other Instrument ASSET BACKED 29455000.00 23818579.57 Unrated Security 2011-06-01 2011-06-01 N N N 29000000.00 29000000.00 0.0133 N 29000000.00 29000000.00 Merrill Lynch, Pierce, Fenner & Smith Merrill Lynch, Pierce, Fenner & Smith, 0.66% 37F99FUL6 0000728612 Other Repurchase Agreement N TIM HORTONS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 115783.00 5400119.12 Unrated Security 2011-07-05 2011-07-05 Y MERRILL PFS(NON GOV REPO BONY) N/A N/A N N 5000000.00 5000000.00 0.0023 Y 5000000.00 5000000.00 Merrill Lynch, Pierce, Fenner & Smith Merrill Lynch, Pierce, Fenner & Smith, 0.71% 39R99WYY0 0000728612 Other Repurchase Agreement N TIM HORTONS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 231566.00 10800238.24 Unrated Security 2011-07-05 2011-07-05 Y MERRILL PFS(NON GOV REPO BONY) N/A N/A N N 10000000.00 10000000.00 0.0046 Y 10000000.00 10000000.00 Merrill Lynch, Pierce, Fenner & Smith Merrill Lynch, Pierce, Fenner & Smith, 0.76% 40Q99Y6P5 0000728612 Other Repurchase Agreement N BANC OF AMERICA MORTGAGE SECURITIES 2036-07-25 2036-07-25 6 - 6 Other Instrument MORTGAGE 1392329.00 1338696.49 FIRST FRANKLIN MORTGAGE LOAN TRUST ABS CERTIFICATES 2034-05-25 2034-05-25 1.019 - 1.019 Other Instrument ASSET BACKED 19331937.00 13781622.96 Unrated Security 2011-07-05 2011-07-05 Y MERRILL PFS(NON GOV REPO BONY) N/A N/A N N 14000000.00 14000000.00 0.0064 Y 14000000.00 14000000.00 Merrill Lynch, Pierce, Fenner & Smith Merrill Lynch, Pierce, Fenner & Smith, 1.00% 39R99WLP3 0000728612 Other Repurchase Agreement N COUNTRYWIDE HOME EQUITY LOAN TRUST 2033-08-25 2033-08-25 0.364 - 0.364 Other Instrument ASSET BACKED 10420903.00 5400150.14 Unrated Security 2011-07-05 2011-07-05 Y MERRILL PFS(NON GOV REPO BONY) N/A N/A N N 5000000.00 5000000.00 0.0023 Y 5000000.00 5000000.00 Mizuho Securities USA, Inc. Mizuho Securities USA, Inc., 0.41% 38S994VQ3 Other Repurchase Agreement N ALCOA INC 2014-03-15 2014-03-15 5.25 - 5.25 Other Instrument EQUITY 1499000.00 3970226.42 AMGEN INC FORMERLY AMGEN TO 02/17/1987 2013-02-01 2013-02-01 0.375 - 0.375 Other Instrument EQUITY 71000.00 71710.00 BORG WARNER AUTOMOTIVE INC FORMERLY BORG WARNER 2012-04-15 2012-04-15 3.5 - 3.5 Other Instrument EQUITY 16000.00 35311.56 COMMONWEALTH EDISON CO 2013-04-15 2013-04-15 7.625 - 7.625 Other Instrument CORPORATE 36457.00 40944.97 NEWMONT MNG CORP 2012-02-15 2012-02-15 3 - 3 Other Instrument EQUITY 5000.00 6381.67 QUALCOMM 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1442.00 82698.70 SUNTRUST BANKS INC 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 69.00 1931.31 First Tier Security 2011-06-07 2011-06-07 Y MIZUHO SECS USA (NON GOV REPO) N/A N/A N N 4000000.00 4000000.00 0.0018 N 4000000.00 4000000.00 Mizuho Securities USA, Inc. Mizuho Securities USA, Inc., 0.42% 38S994UD3 Other Repurchase Agreement N ALCOA INC 2014-03-15 2014-03-15 5.25 - 5.25 Other Instrument EQUITY 1148000.00 3040573.67 AMGEN INC FORMERLY AMGEN TO 02/17/1987 2013-02-01 2013-02-01 0.375 - 0.375 Other Instrument EQUITY 53000.00 53530.00 COMMONWEALTH EDISON CO 2013-04-15 2013-04-15 7.625 - 7.625 Other Instrument CORPORATE 5802.00 6516.24 BORG WARNER AUTOMOTIVE INC FORMERLY BORG WARNER 2012-04-15 2012-04-15 3.5 - 3.5 Other Instrument EQUITY 13000.00 28690.64 VORNADO RLTY L P 2025-04-15 2025-04-15 3.875 - 3.875 Other Instrument EQUITY 22000.00 25546.43 First Tier Security 2011-06-06 2011-06-06 Y MIZUHO SECS USA (NON GOV REPO) N/A N/A N N 3000000.00 3000000.00 0.0014 N 3000000.00 3000000.00 Mizuho Securities USA, Inc. Mizuho Securities USA, Inc., 0.45% 38S994QL0 Other Repurchase Agreement N QUALCOMM 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 272.00 15599.20 PRSHS ULTSHRT MC400 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 11451.00 440405.46 ISHS DJ US BMAT FD 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 9977.00 798858.39 BOEING CO 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 120.00 9238.80 BIOGEN IDEC 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 458.00 42690.18 BP SP ADR 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 17552.00 799318.08 VIACOM-B 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 23014.00 1152310.98 First Tier Security 2011-06-07 2011-06-07 Y MIZUHO SECS USA (NON GOV REPO) N/A N/A N N 3000000.00 3000000.00 0.0014 N 3000000.00 3000000.00 Mizuho Securities USA, Inc. Mizuho Securities USA, Inc., 0.65% 38S994MJ9 Other Repurchase Agreement N ERP OPER LTD PARTNERSHIP 2026-08-15 2026-08-15 3.85 - 3.85 Other Instrument EQUITY 1012251.00 1054700.87 ARES CAP CORP 2016-02-01 2016-02-01 N/A Other Instrument EQUITY 8016.00 8490.28 RAYONIER TRS HLDGS INC 2012-10-15 2012-10-15 3.75 - 3.75 Other Instrument EQUITY 10032.00 12324.73 First Tier Security 2011-06-07 2011-06-07 Y MIZUHO SECS USA (NON GOV REPO) N/A N/A N N 1000000.00 1000000.00 0.0005 N 1000000.00 1000000.00 RBC Capital Markets Co. RBC Capital Markets Co., 0.31% 37U99P2W4 0000050916 Other Repurchase Agreement N EXPORT DEV CDA 2015-05-28 2015-05-28 2.25 - 2.25 Other Instrument CORPORATE 3811.00 3970.79 DOW CHEM CO 2039-05-15 2039-05-15 9.4 - 9.4 Other Instrument CORPORATE 664499.00 1028410.40 COUNTRYWIDE FINL CORP MEDIUM TERM NTS BOOK ENTRY 2012-06-07 2012-06-07 5.8 - 5.8 Other Instrument CORPORATE 7128.00 7665.48 GENERAL ELEC CAP CORP MEDIUM TERM NTS BOOK ENTRY 2012-11-01 2012-11-01 0.403 - 0.403 Other Instrument CORPORATE 17561.00 17556.19 UNITED STATES BANCORP MEDIUM U S BANCORP MEDIUM 2013-06-14 2013-06-14 2 - 2 Other Instrument CORPORATE 14.00 14.44 First Tier Security 2011-06-06 2011-06-06 Y RBC CAP MARKETS CO(NON-GOV RP) N/A N/A N N 1000000.00 1000000.00 0.0005 N 1000000.00 1000000.00 RBC Capital Markets Co. 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