N-MFP LIVE N 2015-09-30 0000823535 S000017648 4 N N 033-17704 FIDELITY MANAGEMENT & RESEARCH COMPANY (FMR) 801-07884 FIDELITY INVESTMENTS MONEY MANAGEMENT, INC. 801-34590 FMR INVESTMENT MANAGEMENT (U.K.) LIMITED 801-28773 FIDELITY MANAGEMENT & RESEARCH (HONG KONG) LIMITED 801-69507 FIDELITY MANAGEMENT & RESEARCH (JAPAN) LIMITED 801-69571 PRICEWATERHOUSECOOPERS LLP Boston MA None FIDELITY INVESTMENTS INSTIT. OPERATIONS CO. 0000862124 084-01839 N N Y Prime 48 95 2905727427.39 221068389.88 59719565.09 3067076252.18 0.0026 1.0002 2015-09-30 1.0002 2015-09-30 C000048773 1.00 930726746.14 1.00 19279964.11 59952129.45 40672165.34 0.0001 1.0000 2015-09-30 1.0000 2015-09-30 C000048775 1.00 784810352.03 1.00 32001911.11 62114090.03 30112178.92 0.0001 1.0001 2015-09-30 1.0001 2015-09-30 C000048776 1.00 220536601.23 1.00 3196572.74 10457097.04 7260524.30 0.0001 1.0002 2015-09-30 1.0002 2015-09-30 C000048774 1.00 1131002552.78 1.00 61504615.40 96759441.15 35254825.75 0.0001 1.0003 2015-09-30 1.0003 2015-09-30 Fannie Mae Fannie Mae, 0.23% 3135G0YH0 Government Agency Debt First Tier Security 2015-10-15 2016-08-15 N N N 37600000.00 37625062.77 0.0123 N 37610377.60 37610377.60 Fannie Mae Fannie Mae, 0.24% 313588SF3 Government Agency Debt First Tier Security 2016-01-25 2016-01-25 N N N 13000000.00 12989946.66 0.0042 N 12994553.00 12994553.00 Fannie Mae Fannie Mae, 0.25% 313588SN6 Government Agency Debt 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11998116.00 Federal Home Loan Bank Federal Home Loan Bank, 0.14% 3130A5VX4 Government Agency Debt First Tier Security 2015-10-17 2016-10-17 N N N 7000000.00 6999259.28 0.0023 N 6995884.00 6995884.00 Federal Home Loan Bank Federal Home Loan Bank, 0.15% 3130A5HD4 Government Agency Debt First Tier Security 2015-10-01 2016-06-01 N N N 20000000.00 20000000.00 0.0065 N 19996280.00 19996280.00 Federal Home Loan Bank Federal Home Loan Bank, 0.15% 3130A5VQ9 Government Agency Debt First Tier Security 2015-10-08 2016-07-08 N N N 14000000.00 14000000.00 0.0046 N 13996220.00 13996220.00 Federal Home Loan Bank Federal Home Loan Bank, 0.15% 3130A6AZ0 Government Agency Debt First Tier Security 2015-10-17 2016-08-17 N N N 5000000.00 5000000.00 0.0016 N 4996850.00 4996850.00 Federal Home Loan Bank Federal Home Loan Bank, 0.15% 3130A5W62 Government Agency Debt First Tier Security 2015-10-23 2017-01-23 N N N 14000000.00 13997211.32 0.0046 N 13990354.00 13990354.00 Federal Home Loan Bank Federal Home Loan Bank, 0.15% 3130A5W39 Government Agency Debt First Tier Security 2015-10-24 2017-01-24 N N N 8000000.00 7998935.50 0.0026 N 7995016.00 7995016.00 Federal Home Loan Bank Federal Home Loan Bank, 0.15% 3130A5RG6 Government Agency Debt First Tier Security 2015-10-24 2016-06-24 N N N 5000000.00 5000000.00 0.0016 N 4998720.00 4998720.00 Federal Home Loan Bank Federal Home Loan Bank, 0.15% 3130A6DD6 Government Agency Debt First Tier Security 2015-10-26 2016-05-26 N N N 46000000.00 46000000.00 0.0150 N 45993376.00 45993376.00 Federal Home Loan Bank Federal Home Loan Bank, 0.15% to 0.23% 313384QR3 Government Agency Debt First Tier Security 2015-12-18 2015-12-18 N N N 6000000.00 5997729.19 0.0020 N 5998572.00 5998572.00 Federal Home Loan Bank Federal Home Loan Bank, 0.15% 313384RB7 Government Agency Debt First Tier Security 2015-12-28 2015-12-28 N N N 28000000.00 27989733.32 0.0091 N 27992468.00 27992468.00 Federal Home Loan Bank Federal Home Loan Bank, 0.16% 3130A5VY2 Government Agency Debt First Tier Security 2015-10-15 2016-07-15 N N N 7000000.00 7000000.00 0.0023 N 6997774.00 6997774.00 Federal Home Loan Bank Federal Home Loan Bank, 0.16% 3130A5X79 Government Agency Debt First Tier Security 2015-10-17 2017-01-17 N N N 8000000.00 7998426.39 0.0026 N 7994632.00 7994632.00 Federal Home Loan Bank Federal Home Loan Bank, 0.16% 3130A6CH8 Government Agency Debt First Tier Security 2015-10-18 2016-05-18 N N N 23000000.00 22997058.41 0.0075 N 22994687.00 22994687.00 Federal Home Loan Bank Federal Home Loan Bank, 0.16% 3130A6BJ5 Government Agency Debt First Tier Security 2015-10-19 2016-08-19 N N N 27000000.00 27000000.00 0.0088 N 26989902.00 26989902.00 Federal Home Loan Bank Federal Home Loan Bank, 0.17% 3130A5Q85 Government Agency Debt First Tier Security 2015-10-20 2016-06-20 N N N 5000000.00 5000000.00 0.0016 N 4998930.00 4998930.00 Federal Home Loan Bank Federal Home Loan Bank, 0.17% 313384RL5 Government Agency Debt First Tier Security 2016-01-06 2016-01-06 N N N 30000000.00 29987391.66 0.0098 N 29987391.60 29987391.60 Federal Home Loan Bank Federal Home Loan Bank, 0.18% 3130A5J34 Government Agency Debt First Tier Security 2015-10-03 2016-12-02 N N N 4000000.00 4000000.00 0.0013 N 3998984.00 3998984.00 Federal Home Loan Bank Federal Home Loan Bank, 0.18% 3130A6JC2 Government Agency Debt First Tier Security 2015-10-24 2016-03-24 N N N 36000000.00 36000000.00 0.0117 N 36000828.00 36000828.00 Federal Home Loan Bank Federal Home Loan Bank, 0.18% 3130A5YX1 Government Agency Debt First Tier Security 2015-11-09 2017-02-09 N N N 65000000.00 64987772.08 0.0212 N 64951835.00 64951835.00 Federal Home Loan Bank Federal Home Loan Bank, 0.18% 3130A6JT5 Government Agency Debt First Tier Security 2015-11-15 2016-04-15 N N N 29000000.00 28999631.41 0.0095 N 29000609.00 29000609.00 Federal Home Loan Bank Federal Home Loan Bank, 0.18% 3130A5XH7 Government Agency Debt First Tier Security 2016-01-15 2016-01-15 N N N 8000000.00 7999446.96 0.0026 N 8000328.00 8000328.00 Federal Home Loan Bank Federal Home Loan Bank, 0.18% 3130A5WG0 Government Agency Debt First Tier Security 2016-01-15 2016-01-15 N N N 5000000.00 4999654.66 0.0016 N 5000205.00 5000205.00 Federal Home Loan Bank Federal Home Loan Bank, 0.18% 3130A5WU9 Government Agency Debt First Tier Security 2016-01-15 2016-01-15 N N N 4000000.00 3999723.73 0.0013 N 4000164.00 4000164.00 Federal Home Loan Bank Federal Home Loan Bank, 0.18% 3130A5Y94 Government Agency Debt First Tier Security 2016-01-21 2016-01-21 N N N 10000000.00 9999332.38 0.0033 N 10000400.00 10000400.00 Federal Home Loan Bank Federal Home Loan Bank, 0.18% 3130A5YR4 Government Agency Debt First Tier Security 2016-01-22 2016-01-22 N N N 11000000.00 10999155.57 0.0036 N 11000429.00 11000429.00 Federal Home Loan Bank Federal Home Loan Bank, 0.19% 313384QJ1 Government Agency Debt First Tier Security 2015-12-11 2015-12-11 N N N 20000000.00 19992702.78 0.0065 N 19995660.00 19995660.00 Federal Home Loan Bank Federal Home Loan Bank, 0.19% 3130A5NZ8 Government Agency Debt First Tier Security 2015-12-17 2015-12-17 N N N 26000000.00 25998734.04 0.0085 N 26001846.00 26001846.00 Federal Home Loan Bank Federal Home Loan Bank, 0.19% 3130A5MV8 Government Agency Debt First Tier Security 2016-01-15 2016-01-15 N N N 4000000.00 3999959.23 0.0013 N 4000512.00 4000512.00 Federal Home Loan Bank Federal Home Loan Bank, 0.19% to 0.20% 3130A5ZR3 Government Agency Debt First Tier Security 2016-01-27 2016-01-27 N N N 29000000.00 28996460.57 0.0095 N 29001102.00 29001102.00 Federal Home Loan Bank Federal Home Loan Bank, 0.20% 3130A6GP6 Government Agency Debt First Tier Security 2015-10-18 2016-03-18 N N N 28000000.00 28000000.00 0.0091 N 28001624.00 28001624.00 Federal Home Loan Bank Federal Home Loan Bank, 0.20% 313384QB8 Government Agency Debt First Tier Security 2015-12-04 2015-12-04 N N N 29000000.00 28989946.66 0.0095 N 28994316.00 28994316.00 Federal Home Loan Bank Federal Home Loan Bank, 0.20% 313384QF9 Government Agency Debt First Tier Security 2015-12-08 2015-12-08 N N N 20000000.00 19992444.43 0.0065 N 19995840.00 19995840.00 Federal Home Loan Bank Federal Home Loan Bank, 0.20% 3130A5J91 Government Agency Debt First Tier Security 2016-01-12 2016-01-12 N N N 26000000.00 25996811.83 0.0085 N 26001066.00 26001066.00 Federal Home Loan Bank Federal Home Loan Bank, 0.20% 3130A5JP5 Government Agency Debt First Tier Security 2016-01-14 2016-01-14 N N N 26000000.00 25996751.05 0.0085 N 26001066.00 26001066.00 Federal Home Loan Bank Federal Home Loan Bank, 0.20% 313384SC4 Government Agency Debt First Tier Security 2016-01-22 2016-01-22 N N N 18000000.00 17988982.51 0.0059 N 17992656.00 17992656.00 Federal Home Loan Bank Federal Home Loan Bank, 0.20% 3130A63Y1 Government Agency Debt First Tier Security 2016-01-29 2016-01-29 N N N 11000000.00 10998765.73 0.0036 N 10999373.00 10999373.00 Federal Home Loan Bank Federal Home Loan Bank, 0.21% 313384QG7 Government Agency Debt First Tier Security 2015-12-09 2015-12-09 N N N 29000000.00 28988438.66 0.0095 N 28993881.00 28993881.00 Federal Home Loan Bank Federal Home Loan Bank, 0.22% 313384SH3 Government Agency Debt First Tier Security 2016-01-27 2016-01-27 N N N 44000000.00 43968271.13 0.0143 N 43981256.00 43981256.00 Federal Home Loan Bank Federal Home Loan Bank, 0.22% 313384SQ3 Government Agency Debt First Tier Security 2016-02-03 2016-02-03 N N N 10000000.00 9992395.83 0.0033 N 9994060.00 9994060.00 Federal Home Loan Bank Federal Home Loan Bank, 0.23% to 0.27% 313384QP7 Government Agency Debt First Tier Security 2015-12-16 2015-12-16 N N N 31000000.00 30982482.00 0.0101 N 30992808.00 30992808.00 Federal Home Loan Bank Federal Home Loan Bank, 0.25% 313384QX0 Government Agency Debt First Tier Security 2015-12-24 2015-12-24 N N N 29000000.00 28983083.34 0.0094 N 28992547.00 28992547.00 Federal Home Loan Bank Federal Home Loan Bank, 0.25% 313384SX8 Government Agency Debt First Tier Security 2016-02-10 2016-02-10 N N N 15000000.00 14986249.58 0.0049 N 14990595.00 14990595.00 Federal Home Loan Bank Federal Home Loan Bank, 0.30% 313384TM1 Government Agency Debt First Tier Security 2016-02-24 2016-02-24 N N N 19000000.00 18977268.61 0.0062 N 18986814.00 18986814.00 Federal Home Loan Bank Federal Home Loan Bank, 0.41% 3130A5LE7 Government Agency Debt First Tier Security 2016-07-06 2016-07-06 N N N 21000000.00 20997461.25 0.0068 N 21005187.00 21005187.00 Federal Home Loan Bank Federal Home Loan Bank, 0.41% 3130A5N21 Government Agency Debt First Tier Security 2016-07-08 2016-07-08 N N N 22000000.00 21997318.06 0.0072 N 22005236.00 22005236.00 Federal Home Loan Bank Federal Home Loan Bank, 0.41% 3130A5MZ9 Government Agency Debt First Tier Security 2016-07-08 2016-07-08 N N N 22000000.00 21997318.06 0.0072 N 22005236.00 22005236.00 Freddie Mac Freddie Mac, 0.15% 3134G7SG7 Government Agency Debt First Tier Security 2015-10-17 2016-08-17 N N N 16000000.00 16000000.00 0.0052 N 15994160.00 15994160.00 Freddie Mac Freddie 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Sumitomo Mitsui Banking Corp., 0.15% 86563R6E3 Certificate of Deposit First Tier Security 2015-10-02 2015-10-02 N N N 28000000.00 28000000.00 0.0091 N 27999980.40 27999980.40 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.15% 86563R6V5 Certificate of Deposit First Tier Security 2015-10-06 2015-10-06 N N N 11000000.00 11000000.00 0.0036 N 10999967.00 10999967.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.15% 86563R7A0 Certificate of Deposit First Tier Security 2015-10-07 2015-10-07 N N N 25000000.00 25000000.00 0.0082 N 25000000.00 25000000.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.31% 86563RUY2 Certificate of Deposit First Tier Security 2015-10-02 2015-10-02 N N N 9000000.00 9000000.00 0.0029 N 9000073.80 9000073.80 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.31% 86563RZT8 Certificate of Deposit First Tier Security 2015-10-15 2015-10-15 N N N 9000000.00 9000000.00 0.0029 N 9000486.90 9000486.90 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.31% 86563RZU5 Certificate of Deposit First Tier Security 2015-10-16 2015-10-16 N N N 7000000.00 7000000.00 0.0023 N 7000400.40 7000400.40 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.33% 86563RWY0 Certificate of Deposit First Tier Security 2015-10-15 2015-10-15 N N N 28000000.00 28000000.00 0.0091 N 28001747.20 28001747.20 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.35% 86563RYK8 Certificate of Deposit First Tier Security 2015-10-27 2015-10-27 N N N 19000000.00 19000000.00 0.0062 N 19002190.70 19002190.70 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.43% 86562JCD7 Certificate of Deposit First Tier Security 2015-10-15 2015-10-15 N N N 16000000.00 16000000.00 0.0052 N 15999904.00 15999904.00 Sumitomo Mitsui Trust Bank Ltd. Sumitomo Mitsui Trust Bank Ltd., 0.31% 86563KA78 Certificate of Deposit First Tier Security 2015-10-05 2015-10-05 N N N 17000000.00 17000000.00 0.0055 N 17000336.60 17000336.60 Sumitomo Mitsui Trust Bank Ltd. Sumitomo Mitsui Trust Bank Ltd., 0.33% 86563KB85 Certificate of Deposit First Tier Security 2015-10-19 2015-10-19 N N N 26000000.00 26000000.00 0.0085 N 26001986.40 26001986.40 Swedbank AB Swedbank AB, 0.26% 87019T2A9 Certificate of Deposit First Tier Security 2015-10-23 2015-10-23 N N N 10000000.00 10000000.00 0.0033 N 10000702.00 10000702.00 Toronto-Dominion Bank Toronto-Dominion Bank, 0.29% 89112UYQ8 Certificate of Deposit First Tier Security 2015-10-06 2015-10-06 N N N 21000000.00 21000006.37 0.0068 N 20999958.00 20999958.00 UBS AG UBS AG, 0.29% 90267RU49 Certificate of Deposit First Tier Security 2015-10-15 2015-10-15 N N N 10000000.00 10000000.00 0.0033 N 10000520.00 10000520.00 UBS AG UBS AG, 0.33% 90267RR43 Certificate of Deposit First Tier Security 2015-10-09 2015-10-09 N N N 19000000.00 19000000.00 0.0062 N 18999924.00 18999924.00 ABN AMRO Bank NV ABN AMRO Bank NV, 0.35% 37V995UH9 Certificate of Deposit First Tier Security 2015-11-12 2015-11-12 N N N 28000000.00 27988739.93 0.0091 N 27992577.20 27992577.20 Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 0.31% 18G993FQ8 0001462160 Certificate of Deposit First Tier Security 2015-10-09 2015-10-09 N N N 4000000.00 4000000.00 0.0013 N 4000154.80 4000154.80 Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 0.31% 18G993FV7 0001462160 Certificate of Deposit First Tier Security 2015-10-16 2015-10-16 N N N 4000000.00 3999483.74 0.0013 N 3999703.20 3999703.20 Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 0.31% 18G993FX3 0001462160 Certificate of Deposit First Tier Security 2015-10-29 2015-10-29 N N N 4000000.00 3999036.31 0.0013 N 3999394.40 3999394.40 Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 0.31% 18G993FY1 0001462160 Certificate of Deposit First Tier Security 2015-10-30 2015-10-30 N N N 4000000.00 3999001.90 0.0013 N 3999366.80 3999366.80 Rabobank Nederland Rabobank Nederland, 0.25% 75299YGD3 0001098062 Certificate of Deposit First Tier Security 2015-11-05 2015-11-05 N N N 27000000.00 27000000.00 0.0088 N 27002100.60 27002100.60 Rabobank Nederland Rabobank Nederland, 0.25% 75299YGC5 0001098062 Certificate of Deposit First Tier Security 2015-11-06 2015-11-06 N N N 55000000.00 55000000.00 0.0179 N 55004284.50 55004284.50 Sumitomo Mitsui Trust Bank Ltd. Sumitomo Mitsui Trust Bank Ltd., 0.27% 865997LD0 0001046017 Certificate of Deposit First Tier Security 2015-10-27 2015-10-27 N N N 4000000.00 4000000.00 0.0013 N 4000221.20 4000221.20 Sumitomo Mitsui Trust Bank Ltd. Sumitomo Mitsui Trust Bank Ltd., 0.27% 865997LE8 0001046017 Certificate of Deposit First Tier Security 2015-11-05 2015-11-05 N N N 4000000.00 4000000.00 0.0013 N 4000247.20 4000247.20 Sumitomo Mitsui Trust Bank Ltd. Sumitomo Mitsui Trust Bank Ltd., 0.30% 865997KM1 0001046017 Certificate of Deposit First Tier Security 2015-10-06 2015-10-06 N N N 4000000.00 4000000.00 0.0013 N 4000088.00 4000088.00 Sumitomo Mitsui Trust Bank Ltd. Sumitomo Mitsui Trust Bank Ltd., 0.34% 865997KJ8 0001046017 Certificate of Deposit First Tier Security 2015-10-19 2015-10-19 N N N 2000000.00 2000000.00 0.0007 N 2000163.40 2000163.40 ABN AMRO Funding U.S.A. LLC ABN AMRO Funding U.S.A. LLC, 0.23% 00084CXV9 Financial Company Commercial Paper First Tier Security 2015-10-29 2015-10-29 N N N 16000000.00 15997137.77 0.0052 N 15997705.60 15997705.60 ABN AMRO Funding U.S.A. LLC ABN AMRO Funding U.S.A. LLC, 0.29% 00084CX15 Financial Company Commercial Paper First Tier Security 2015-10-01 2015-10-01 N N N 8000000.00 8000000.00 0.0026 N 7999966.40 7999966.40 ABN AMRO Funding U.S.A. LLC ABN AMRO Funding U.S.A. LLC, 0.29% 00084CX23 Financial Company Commercial Paper First Tier Security 2015-10-02 2015-10-02 N N N 23000000.00 22999814.72 0.0075 N 22999809.10 22999809.10 ABN AMRO Funding U.S.A. LLC ABN AMRO Funding U.S.A. LLC, 0.31% 00084CY22 Financial Company Commercial Paper First Tier Security 2015-11-02 2015-11-02 N N N 4000000.00 3998897.78 0.0013 N 3999325.20 3999325.20 ABN AMRO Funding U.S.A. LLC ABN AMRO Funding U.S.A. LLC, 0.31% 00084CY55 Financial Company Commercial Paper First Tier Security 2015-11-05 2015-11-05 N N N 18000000.00 17994575.00 0.0059 N 17996616.00 17996616.00 ABN AMRO Funding U.S.A. LLC ABN AMRO Funding U.S.A. LLC, 0.33% 00084CYA4 Financial Company Commercial Paper First Tier Security 2015-11-10 2015-11-10 N N N 16000000.00 15994133.33 0.0052 N 15996446.40 15996446.40 DNB Bank ASA DNB Bank ASA, 0.29% 2332K1X62 Financial Company Commercial Paper First Tier Security 2015-10-06 2015-10-06 N N N 25000000.00 24999010.42 0.0082 N 24999725.00 24999725.00 JPMorgan Securities LLC JPMorgan Securities LLC, 0.33% 46640EBF4 Financial Company Commercial Paper First Tier Security 2015-10-02 2015-11-02 N N N 19000000.00 19000000.00 0.0062 N 18999601.00 18999601.00 Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 0.31% 60682XX76 Financial Company Commercial Paper First Tier Security 2015-10-07 2015-10-07 N N N 37000000.00 36998088.33 0.0121 N 36998904.80 36998904.80 Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 0.31% 60682XX92 Financial Company Commercial Paper First Tier Security 2015-10-09 2015-10-09 N N N 7000000.00 6999517.78 0.0023 N 6999729.10 6999729.10 Nationwide Building Society Nationwide Building Society, 0.40% 6385E1YD7 Financial Company Commercial Paper First Tier Security 2015-11-13 2015-11-13 N N N 4000000.00 3998088.89 0.0013 N 3999027.20 3999027.20 Sheffield Receivables Corp. Sheffield Receivables Corp., 0.32% 82124MXD7 Asset Backed Commercial Paper First Tier Security 2015-10-13 2015-10-13 N N Y GUARANTOR BARCLAYS BANK PLC N/A N/A 12000000.00 11998720.00 0.0039 N 11999112.00 11999112.00 Sheffield Receivables Corp. Sheffield Receivables Corp., 0.33% 82124MXS4 Asset Backed Commercial Paper First Tier Security 2015-10-26 2015-10-26 N N Y GUARANTOR BARCLAYS BANK PLC N/A N/A 5000000.00 4998854.17 0.0016 N 4999241.50 4999241.50 Sheffield Receivables Corp. Sheffield Receivables Corp., 0.33% 82124MXT2 Asset Backed Commercial Paper First Tier Security 2015-10-27 2015-10-27 N N Y GUARANTOR BARCLAYS BANK PLC N/A N/A 16000000.00 15996186.67 0.0052 N 15997480.00 15997480.00 Caisse centrale Desjardins Caisse centrale Desjardins, 0.25% 1280C3Y43 Other Commercial Paper First Tier Security 2015-11-04 2015-11-04 N N N 2000000.00 1999527.78 0.0007 N 1999636.40 1999636.40 Caisse centrale Desjardins Caisse centrale Desjardins, 0.25% 1280C3Y92 Other Commercial Paper First Tier Security 2015-11-09 2015-11-09 N N N 3000000.00 2999187.50 0.0010 N 2999356.80 2999356.80 Danaher Corp. Danaher Corp., 0.35% 23585MXK7 Other Commercial Paper First Tier Security 2015-10-19 2015-10-19 N N N 4000000.00 3999300.00 0.0013 N 3999668.40 3999668.40 Danaher Corp. Danaher Corp., 0.35% 23585MXK7 Other Commercial Paper First Tier Security 2015-10-19 2015-10-19 N N N 5000000.00 4999125.00 0.0016 N 4999585.50 4999585.50 Dominion Resources, Inc. Dominion Resources, Inc., 0.48% 2574P1Y22 Other Commercial Paper Second Tier Security 2015-11-02 2015-11-02 N N N 3000000.00 2998720.00 0.0010 N 2999219.10 2999219.10 Sempra Global Sempra Global, 0.48% 81685MX81 Other Commercial Paper Second Tier Security 2015-10-08 2015-10-08 N N N 4000000.00 3999626.67 0.0013 N 3999777.60 3999777.60 Sempra Global Sempra Global, 0.48% 81685MXD0 Other Commercial Paper Second Tier Security 2015-10-13 2015-10-13 N N N 4000000.00 3999360.00 0.0013 N 3999638.80 3999638.80 Sempra Global Sempra Global, 0.50% 81685MX99 Other Commercial Paper Second Tier Security 2015-10-09 2015-10-09 N N N 5000000.00 4999444.45 0.0016 N 4999687.50 4999687.50 Xerox Corp. Xerox Corp., 0.42% 98412FX15 Other Commercial Paper Second Tier Security 2015-10-01 2015-10-01 N N N 1000000.00 1000000.00 0.0003 N 999993.10 999993.10 U.S. Treasury Bills U.S. Treasury Bills, 0.27% 912796FZ7 Treasury Debt First Tier Security 2016-03-03 2016-03-03 N N N 39000000.00 38954955.00 0.0127 N 38994774.00 38994774.00 U.S. Treasury Notes U.S. Treasury Notes, 0.06% 912828WK2 Treasury Debt First Tier Security 2015-10-01 2016-01-31 N N N 45000000.00 45000456.86 0.0147 N 44999235.00 44999235.00 U.S. Treasury Notes U.S. Treasury Notes, 0.18% 912828PS3 Treasury Debt First Tier Security 2016-01-31 2016-01-31 N N N 8000000.00 8048259.49 0.0026 N 8049528.00 8049528.00 U.S. Treasury Notes U.S. Treasury Notes, 0.22% 912828US7 Treasury Debt First Tier Security 2016-03-15 2016-03-15 N N N 25000000.00 25017064.14 0.0082 N 25026375.00 25026375.00 U.S. Treasury Notes U.S. Treasury Notes, 0.24% 912828UM0 Treasury Debt First Tier Security 2016-02-15 2016-02-15 N N N 30000000.00 30014253.78 0.0098 N 30027540.00 30027540.00 U.S. Treasury Notes U.S. Treasury Notes, 0.26% 912828B82 Treasury Debt First Tier Security 2016-02-29 2016-02-29 N N N 12000000.00 11999357.77 0.0039 N 12004692.00 12004692.00 U.S. Treasury Notes U.S. Treasury Notes, 0.27% 912828EW6 Treasury Debt First Tier Security 2016-02-15 2016-02-15 N N N 10000000.00 10156641.43 0.0033 N 10160740.00 10160740.00 U.S. Treasury Notes U.S. Treasury Notes, 0.30% 912828QA1 Treasury Debt First Tier Security 2016-03-31 2016-03-31 N N N 29000000.00 29279272.37 0.0095 N 29295655.00 29295655.00 U.S. Treasury Notes U.S. Treasury Notes, 0.31% 912828KR0 Treasury Debt First Tier Security 2016-04-30 2016-04-30 N N N 4000000.00 4053310.55 0.0013 N 4055364.00 4055364.00 U.S. Treasury Notes U.S. Treasury Notes, 0.35% 912828KW9 Treasury Debt First Tier Security 2016-05-31 2016-05-31 N N N 22000000.00 22420614.95 0.0073 N 22438856.00 22438856.00 U.S. Treasury Notes U.S. Treasury Notes, 0.41% 912828VL1 Treasury Debt First Tier Security 2016-07-15 2016-07-15 N N N 12000000.00 12019236.64 0.0039 N 12028440.00 12028440.00 Dominion Resources, Inc. Dominion Resources, Inc., 0.42% 25746UBZ1 Other Note Second Tier Security 2015-10-20 2015-11-13 Y DOMINION RESOURCE INC VA NEW N/A N/A N N 8000000.00 8000000.00 0.0026 N 7999024.00 7999024.00 Svenska Handelsbanken AB Svenska Handelsbanken AB, 0.38% 86959JJQ2 Other Note First Tier Security 2015-10-15 2015-10-15 N N N 4000000.00 4000000.00 0.0013 N 3999976.00 3999976.00 Massachusetts Indl. Fin. Agcy. Poll. Cont. Rev. Massachusetts Indl. Fin. Agcy. Poll. Cont. Rev., 0.40% Bonds (New England Pwr. Co. Proj.) Series 1992, tender 10/01/2015, CP Mode 575856BE8 Other Municipal Debt Second Tier Security 2015-10-01 2015-10-01 N N Y OBLIGOR NEW ENGLAND POWER CO N/A N/A 2500000.00 2500000.00 0.0008 N 2500000.00 2500000.00 Credit Agricole CIB Credit Agricole CIB, 0.08% 44T99H9K9 Other Instrument Time Deposits First Tier Security 2015-10-01 2015-10-01 N N N 38000000.00 38000000.00 0.0124 N 38000000.00 38000000.00 Bank of America NA In a joint trading account with Bank of America NA at 0.16%, dated 9/30/2015 due 10/01/2015 49Q99HRS4_04197 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2021-01-25 2043-06-15 2.413 - 3.531 Government Agency Debt 19071389.97 18945931.52 GOVERNMENT NATIONAL MORTAGE ASSOC 2039-12-20 2040-03-20 3 - 3 Government Agency Debt 30419502.85 8946658.56 Unrated Security 2015-10-01 2015-10-01 N N N 27080072.00 27080071.71 0.0088 N 27080071.71 27080071.71 BNY Mellon Capital Markets LLC In a joint trading account with BNY Mellon Capital Markets LLC at 0.16%, dated 9/30/2015 due 10/01/2015 49Q99HRS4_08066 Government Agency Repurchase Agreement Y US TREASURY 2015-10-01 2041-02-15 0 - 5.125 Treasury Debt 1042516.71 1049725.76 FEDERAL FARM CREDIT 2015-11-05 2039-08-03 0.4 - 5 Government Agency Debt 155859.02 158633.79 FEDERAL HOME LOAN BANK 2015-12-21 2035-08-08 0.375 - 5.375 Government Agency Debt 1651636.69 1661734.35 FEDERAL HOME LOAN MORTGAGE CORP 2015-10-30 2045-09-01 0 - 5.5 Government Agency Debt 1530374.74 1373306.45 FEDERAL NATIONAL MORTGAGE ASSOC 2015-11-09 2045-10-01 0 - 6 Government Agency Debt 908041.53 814425.65 GOVERNMENT NATIONAL MORTAGE ASSOC 2016-05-15 2045-09-20 2 - 9.5 Government Agency Debt 7863506.48 7574172.08 Unrated Security 2015-10-01 2015-10-01 N N N 12384179.00 12384179.14 0.0040 N 12384179.14 12384179.14 Citibank NA In a joint trading account with Citibank NA at 0.16%, dated 9/30/2015 due 10/01/2015 49Q99HRS4_26602 Government Agency Repurchase Agreement Y US TREASURY 2015-11-15 2043-02-15 0.125 - 9.875 Treasury Debt 5534594.21 5694209.04 FEDERAL FARM CREDIT 2017-03-27 2017-11-13 0.175 - 0.24 Government Agency Debt 490227.73 488836.54 FEDERAL HOME LOAN BANK 2017-03-10 2017-03-10 0.875 - 0.875 Government Agency Debt 258.00 259.35 FEDERAL HOME LOAN MORTGAGE CORP 2017-07-28 2045-05-01 1 - 7 Government Agency Debt 14067956.18 2302408.80 FEDERAL NATIONAL MORTGAGE ASSOC 2016-03-15 2044-10-01 0.5 - 6 Government Agency Debt 3226937.04 808273.31 GOVERNMENT NATIONAL MORTAGE ASSOC 2024-03-15 2061-02-20 1.625 - 6.5 Government Agency Debt 2108807.61 975297.82 RESOLUTION FUNDING CORP 2027-01-15 2030-04-15 0 - 0 Government Agency Debt 356519.88 260786.13 Unrated Security 2015-10-01 2015-10-01 N N N 10320149.00 10320149.28 0.0034 N 10320149.28 10320149.28 Credit Agricole CIB New York Branch In a joint trading account with Credit Agricole CIB New York Branch at 0.16%, dated 9/30/2015 due 10/01/2015 49Q99HRS4_04361 Government Agency Repurchase Agreement Y US TREASURY 2017-01-15 2018-06-30 2.375 - 2.375 Treasury Debt 3524830.64 3706598.72 Unrated Security 2015-10-01 2015-10-01 N N N 3632693.00 3632692.55 0.0012 N 3632692.55 3632692.55 HSBC Securities (USA), Inc. In a joint trading account with HSBC Securities (USA), Inc. at 0.16%, dated 9/30/2015 due 10/01/2015 49Q99HRS4_39304 Government Agency Repurchase Agreement Y US TREASURY 2016-03-31 2044-11-15 0.25 - 9.125 Treasury Debt 1386482.59 1465926.94 FEDERAL HOME LOAN MORTGAGE CORP 2023-01-01 2045-03-01 3 - 6 Government Agency Debt 14123686.47 5965298.68 GOVERNMENT NATIONAL MORTAGE ASSOC 2059-10-20 2065-08-20 2.182 - 4.732 Government Agency Debt 223039.72 236537.28 TENNESEE VALLEY AUTHORITY 2024-09-15 2024-09-15 2.875 - 2.875 Government Agency Debt 2906.65 2975.09 U.S. TREASURY 2016-01-31 2017-07-31 0 - 0.134 Treasury Debt 759648.74 759680.50 Unrated Security 2015-10-01 2015-10-01 N N N 8256119.00 8256119.42 0.0027 N 8256119.42 8256119.42 ING Financial Markets LLC In a joint trading account with ING Financial Markets LLC at 0.16%, dated 9/30/2015 due 10/01/2015 49Q99HRS4_40488 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2026-08-01 2044-07-01 3.5 - 4 Government Agency Debt 3719048.96 1830084.58 FEDERAL NATIONAL MORTGAGE ASSOC 2042-05-01 2042-09-01 3.5 - 3.5 Government Agency Debt 1951122.04 1538435.18 Unrated Security 2015-10-01 2015-10-01 N N N 3302448.00 3302447.77 0.0011 N 3302447.77 3302447.77 J.P. Morgan Securities, Inc. In a joint trading account with J.P. Morgan Securities, Inc. at 0.16%, dated 9/30/2015 due 10/01/2015 49Q99HRS4_55502 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2015-12-01 2048-06-01 1.179 - 6.12 Government Agency Debt 3636052.20 1241299.24 Unrated Security 2015-10-01 2015-10-01 N N N 1216952.00 1216952.00 0.0004 N 1216952.00 1216952.00 Merrill Lynch, Pierce, Fenner & Smith, Inc. In a joint trading account with Merrill Lynch, Pierce, Fenner & Smith, Inc. at 0.16%, dated 9/30/2015 due 10/01/2015 49Q99HRS4_53651 Government Agency Repurchase Agreement Y US TREASURY 2022-02-28 2022-09-30 1.75 - 1.75 Treasury Debt 51367.44 51561.90 FEDERAL HOME LOAN MORTGAGE CORP 2029-02-01 2044-10-01 1.989 - 4 Government Agency Debt 1075392.13 844702.97 FEDERAL NATIONAL MORTGAGE ASSOC 2041-02-01 2042-09-01 2.397 - 3.135 Government Agency Debt 1106991.81 437378.21 GOVERNMENT NATIONAL MORTAGE ASSOC 2042-05-20 2062-02-20 2 - 4.682 Government Agency Debt 7828098.17 5824439.61 Unrated Security 2015-10-01 2015-10-01 N N N 7017702.00 7017701.51 0.0023 N 7017701.51 7017701.51 Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 0.25% 49B99G9L7 0000812291 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2040-05-01 2040-05-01 2.452 - 3.87 Government Agency Debt 48944205.00 9183060.13 First Tier Security 2015-10-07 2015-10-07 Y MIZUHO SECS USA INC (GOV REPO) N/A N/A N N 9000000.00 9000000.00 0.0029 N 9000000.00 9000000.00 Mizuho Securities USA, Inc. In a joint trading account with Mizuho Securities USA, Inc. at 0.16%, dated 9/30/2015 due 10/01/2015 49Q99HRS4_08126 Government Agency Repurchase Agreement Y US TREASURY 2020-08-15 2020-11-15 1.375 - 2.625 Treasury Debt 4058916.36 4210636.67 FEDERAL HOME LOAN MORTGAGE CORP 2018-12-25 2044-12-01 0 - 7.5 Government Agency Debt 9157883.42 4971133.22 FEDERAL NATIONAL MORTGAGE ASSOC 2027-06-18 2049-12-25 0 - 8.5 Government Agency Debt 22746796.13 5675652.61 GOVERNMENT NATIONAL MORTAGE ASSOC 2043-05-15 2044-11-20 1.5 - 5 Government Agency Debt 2052704.49 2029795.16 Unrated Security 2015-10-01 2015-10-01 N N N 16512239.00 16512238.85 0.0054 N 16512238.85 16512238.85 RBC Capital Markets Corp. RBC Capital Markets Corp., 0.35% 48P99SPT3 0000050916 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2045-05-15 2045-05-15 2.5 - 2.5 Government Agency Debt 9424.00 8093.81 FEDERAL NATIONAL MORTGAGE ASSOC 2041-02-01 2045-07-25 2.389 - 4 Government Agency Debt 8761659.00 6113570.62 First Tier Security 2015-10-07 2015-10-07 Y RBC CAP MARKETS LLC(GOV REPO) N/A N/A N N 6000000.00 6000000.00 0.0020 N 6000000.00 6000000.00 RBC Capital Markets Corp. RBC Capital Markets Corp., 0.35% 48P99SPS5 0000050916 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2042-06-01 2045-05-01 2.342 - 4.5 Government Agency Debt 8020018.00 7919442.18 FEDERAL NATIONAL MORTGAGE ASSOC 2036-06-01 2045-09-01 2.31 - 4 Government Agency Debt 247856.00 244445.64 First Tier Security 2015-10-07 2015-10-07 Y RBC CAP MARKETS LLC(GOV REPO) N/A N/A N N 8000000.00 8000000.00 0.0026 N 8000000.00 8000000.00 RBC Capital Markets Corp. RBC Capital Markets Corp., 0.35% 48P99SPV8 0000050916 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2045-05-15 2045-05-15 2.5 - 2.5 Government Agency Debt 1632.00 1401.64 FEDERAL NATIONAL MORTGAGE ASSOC 2033-10-01 2045-07-25 2.285 - 3.5 Government Agency Debt 6880169.00 7140059.82 First Tier Security 2015-10-07 2015-10-07 Y RBC CAP MARKETS LLC(GOV REPO) N/A N/A N N 7000000.00 7000000.00 0.0023 N 7000000.00 7000000.00 RBC Capital Markets Corp. RBC Capital Markets Corp., 0.35% 48P99SPU0 0000050916 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2045-05-01 2045-05-15 2.5 - 4.5 Government Agency Debt 53086.00 52071.59 FEDERAL NATIONAL MORTGAGE ASSOC 2040-12-01 2045-09-01 2.705 - 4 Government Agency Debt 55660.00 42527.25 GOVERNMENT NATIONAL MORTAGE ASSOC 2063-09-20 2063-09-20 3.5 - 3.5 Government Agency Debt 14184414.00 13297525.35 First Tier Security 2015-10-07 2015-10-07 Y RBC CAP MARKETS LLC(GOV REPO) N/A N/A N N 13000000.00 13000000.00 0.0042 N 13000000.00 13000000.00 Societe Generale In a joint trading account with Societe Generale at 0.16%, dated 9/30/2015 due 10/01/2015 49Q99HRS4_74037 Government Agency Repurchase Agreement Y US TREASURY 2015-10-31 2044-05-15 0 - 8.75 Treasury Debt 955304.88 609529.87 FEDERAL HOME LOAN BANK 2016-05-27 2017-06-09 0.4 - 1 Government Agency Debt 16776.43 16923.68 FEDERAL HOME LOAN MORTGAGE CORP 2030-11-01 2045-09-01 2.235 - 5.324 Government Agency Debt 540732.82 364490.01 FEDERAL NATIONAL MORTGAGE ASSOC 2017-06-01 2045-10-01 0 - 6 Government Agency Debt 1899775.94 1300545.38 GOVERNMENT NATIONAL MORTAGE ASSOC 2029-02-15 2045-05-20 2 - 6 Government Agency Debt 1379120.36 1079232.48 RESOLUTION FUNDING CORP 2020-07-15 2020-07-15 0 - 0 Government Agency Debt 1017.15 935.85 Unrated Security 2015-10-01 2015-10-01 N N N 3302448.00 3302447.77 0.0011 N 3302447.77 3302447.77 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.77% 48Z9926T0 0000318336 Other Repurchase Agreement N FEDERAL HOME LOAN MORTGAGE CORP 2033-10-15 2035-11-15 5 - 5 Government Agency Debt 13524000.00 17512454.42 First Tier Security 2015-11-09 2015-11-09 N N N 17000000.00 17000000.00 0.0055 Y 17005440.00 17005440.00 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.77% 48Z9926K9 0000318336 Other Repurchase Agreement N FEDERAL NATIONAL MORTGAGE ASSOC 2040-10-25 2043-08-25 4 - 4.75 Government Agency Debt 9035000.00 9272242.13 First Tier Security 2015-11-16 2015-11-16 N N N 9000000.00 9000000.00 0.0029 Y 9003330.00 9003330.00 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.80% 48Z9925X2 0000318336 Other Repurchase Agreement N FEDERAL NATIONAL MORTGAGE ASSOC 2037-04-25 2037-04-25 5.5 - 5.5 Government Agency Debt 3660000.00 5154591.94 First Tier Security 2015-11-05 2015-11-05 N N N 5000000.00 5000000.00 0.0016 Y 5001550.00 5001550.00 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.80% 48Z9926S2 0000318336 Other Repurchase Agreement N FEDERAL HOME LOAN MORTGAGE CORP 2020-04-15 2033-05-15 5 - 9.25 Government Agency Debt 28864950.00 9390651.73 FEDERAL NATIONAL MORTGAGE ASSOC 2021-07-25 2044-03-25 3 - 8.5 Government Agency Debt 5583295.00 4001412.18 First Tier Security 2015-11-09 2015-11-09 N N N 13000000.00 13000000.00 0.0042 Y 13004550.00 13004550.00 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.80% 48Z9926G8 0000318336 Other Repurchase Agreement N FEDERAL NATIONAL MORTGAGE ASSOC 2041-02-25 2041-10-25 4.5 - 5 Government Agency Debt 8970000.00 12370623.74 First Tier Security 2015-11-16 2015-11-16 N N N 12000000.00 12000000.00 0.0039 Y 12004920.00 12004920.00 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.83% 48Z9924E5 0000318336 Other Repurchase Agreement N FEDERAL HOME LOAN MORTGAGE CORP 2033-05-15 2033-05-15 5 - 5.5 Government Agency Debt 9680000.00 14458599.23 First Tier Security 2015-11-05 2015-11-05 N N N 14000000.00 14000000.00 0.0046 Y 14002100.00 14002100.00 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.85% 48Z9925C8 0000318336 Other Repurchase Agreement N FEDERAL NATIONAL MORTGAGE ASSOC 2037-04-25 2040-10-25 4.75 - 5.5 Government Agency Debt 6110548.00 6197935.36 First Tier Security 2015-10-28 2015-10-28 N N N 6000000.00 6000000.00 0.0020 Y 6000780.00 6000780.00 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.87% 48Z9925Q7 0000318336 Other Repurchase Agreement N FEDERAL NATIONAL MORTGAGE ASSOC 2037-04-25 2037-04-25 5.5 - 5.5 Government Agency Debt 2200000.00 3098388.60 First Tier Security 2015-11-09 2015-11-09 N N N 3000000.00 3000000.00 0.0010 Y 3001260.00 3001260.00 ING Financial Markets LLC ING Financial Markets LLC, 0.20% 49J99BFS8 Other Repurchase Agreement N KEMET 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 15.00 25.95 SPDR S&P500 UTS 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 45552.00 8569242.24 US OIL FUND 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 100268.00 1464915.48 EATON CORP -NPV- 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 238871.00 12101204.86 MELLANOX TECHNOLOGI 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 285113.00 11344646.27 MYLAN 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 4.00 159.20 First Tier Security 2015-10-01 2015-10-01 N N N 31000000.00 31000000.00 0.0101 N 31000000.00 31000000.00 J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp., 0.78% 49B99BBE1 Other Repurchase Agreement N CIENA CORPORATION 2015-09-30 2015-09-30 N/A Other Instrument OTHER NOTE 16000.00 15921.22 NRG YIELD INC 2015-09-30 2015-09-30 N/A Other Instrument OTHER NOTE 43000.00 39834.47 TIVO, INC. 2015-09-30 2015-09-30 N/A Other Instrument OTHER NOTE 1927000.00 1969156.98 WABASH NATIONAL CORPORATION 2015-09-30 2015-09-30 N/A Other Instrument OTHER NOTE 27000.00 30990.92 WELLS FARGO & COMPANY 2015-09-30 2015-09-30 N/A Other Instrument OTHER NOTE 6635.00 120425.25 First Tier Security 2015-11-05 2015-11-05 N N N 2000000.00 2000000.00 0.0007 Y 2000300.00 2000300.00 J.P. Morgan Securities, LLC J.P. Morgan Securities, LLC, 0.20% 49M99LEB0 0001287279 Other Repurchase Agreement N FEDERAL NATIONAL MORTGAGE ASSOC 2026-07-25 2044-03-25 5.856 - 6.506 Government Agency Debt 266690889.00 11330114.07 First Tier Security 2015-10-07 2015-10-07 N N N 11000000.00 11000000.00 0.0036 N 11000000.00 11000000.00 J.P. Morgan Securities, LLC J.P. Morgan Securities, LLC, 0.78% 49M99LDL9 0001287279 Other Repurchase Agreement N BANC OF AMERICA COMMERCIAL MOR 2046-07-10 2046-07-10 5.764 - 5.764 Other Instrument GOVERNMENT AGENCY 66000.00 49776.75 CWALT, INC., 2005-53T2 2037-09-15 2037-09-15 4.373 - 4.373 Other Instrument GOVERNMENT AGENCY 2941000.00 2549843.97 CREDIT SUISSE COMMERCIAL MORTG 2040-09-15 2040-09-15 5.87 - 5.87 Other Instrument GOVERNMENT AGENCY 4612.00 4711.77 JPMORGAN CHASE COMMERCIAL MORT 2051-02-15 2051-02-15 6.208 - 6.208 Other Instrument GOVERNMENT AGENCY 9045000.00 7967389.76 MERRILL LYNCH MORTGAGE INVESTO 2036-05-25 2036-05-25 2.827 - 2.827 Other Instrument GOVERNMENT AGENCY 602200.00 113677.30 MORGAN STANLEY CAPITAL I TRUST 2044-02-12 2044-02-12 5.587 - 5.637 Other Instrument GOVERNMENT AGENCY 13000000.00 10922531.91 First Tier Security 2015-11-04 2015-11-04 N N N 20000000.00 20000000.00 0.0065 Y 20003000.00 20003000.00 J.P. Morgan Securities, LLC J.P. 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5.66 Other Instrument MORTGAGE 2859091.00 1036824.94 First Tier Security 2015-11-05 2015-11-05 N N N 8000000.00 8000000.00 0.0026 Y 8002320.00 8002320.00 SG Americas Securities, LLC SG Americas Securities, LLC, 0.38% 49P99HCL6 Other Repurchase Agreement N CITY NATIONAL 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 102.00 8862.78 DOW CHEMICAL 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 1526.00 61894.56 GOOGLE-C 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 25.00 14874.25 RICE ENERGY 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 12.00 188.76 WESTERN DIGITAL 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 29903.00 2074371.11 Second Tier Security 2015-10-01 2015-10-01 N N N 2000000.00 2000000.00 0.0007 N 2000000.00 2000000.00 SG Americas Securities, LLC SG Americas Securities, LLC, 0.40% 49P99HCP7 Other Repurchase Agreement N COMED FING III 2033-03-15 2033-03-15 6.35 - 6.35 Other Instrument CORPORATE 150000.00 158373.88 CRIMSON MERGER SUB INC / ORTHO-CLINICAL DIAGNOST 2022-05-15 2022-05-15 6.625 - 6.625 Other Instrument CORPORATE 2000.00 1774.32 DISH DBS CORP 2019-09-01 2019-09-01 7.875 - 7.875 Other Instrument CORPORATE 402000.00 420437.23 ENBRIDGE ENERGY PARTNERS L P 2077-10-01 2077-10-01 8.05 - 8.05 Other Instrument CORPORATE 45000.00 45113.69 GENWORTH FINL INC 2021-09-24 2021-09-24 7.625 - 7.625 Other Instrument CORPORATE 6000.00 5917.63 GOLDMAN SACHS GROUP INC 2037-10-01 2037-10-01 6.75 - 6.75 Other Instrument CORPORATE 710.00 877.15 LIBERTY MUT GROUP INC 2088-06-15 2088-06-15 10.75 - 10.75 Other Instrument CORPORATE 9000.00 13804.69 PNC BK N A PITTSBURGH PA MEDIUM TERM SUB BK NTS 2017-01-15 2017-01-15 5.25 - 5.25 Other Instrument CORPORATE 6.00 6.37 PEPSICO INC 2016-05-10 2016-05-10 2.5 - 2.5 Other Instrument CORPORATE 2000.00 2044.72 PROVIDENT FING TR I 2038-03-15 2038-03-15 7.405 - 7.405 Other Instrument CORPORATE 2000.00 2296.17 PRUDENTIAL FINL INC 2043-06-15 2043-06-15 5.625 - 5.625 Other Instrument CORPORATE 5000.00 5269.53 SG STRUCTURED PRODS INC 2021-05-03 2021-05-03 N/A Other Instrument CORPORATE 1188000.00 1183857.24 SIEMENS FINANCIERINGSMAATSCHAPPIJ N V 2045-05-27 2045-05-27 4.4 - 4.4 Other Instrument CORPORATE 250000.00 261910.83 WESTMORELAND COAL CO 2022-01-01 2022-01-01 8.75 - 8.75 Other Instrument CORPORATE 4000.00 3408.89 WIDEOPENWEST FIN LLC / WIDEOPENWEST CAP CORP 2019-07-15 2019-07-15 10.25 - 10.25 Other Instrument CORPORATE 11000.00 11193.65 ZEBRA TECHNOLOGIES CORP 2022-10-15 2022-10-15 7.25 - 7.25 Other Instrument CORPORATE 2000.00 2196.46 Second Tier Security 2015-10-07 2015-10-07 N N N 2000000.00 2000000.00 0.0007 N 2000000.00 2000000.00 SG Americas Securities, LLC SG Americas Securities, LLC, 0.47% 49P99HCN2 Other Repurchase Agreement N CLEAR CHANNEL COMMUNICATIONS INC 2021-03-01 2021-03-01 9 - 9 Other Instrument CORPORATE 420000.00 351120.00 CRIMSON MERGER SUB INC / ORTHO-CLINICAL DIAGNOST 2022-05-15 2022-05-15 6.625 - 6.625 Other Instrument CORPORATE 5000.00 4435.80 ENBRIDGE ENERGY PARTNERS L P 2077-10-01 2077-10-01 8.05 - 8.05 Other Instrument CORPORATE 1000.00 1002.53 KRAFT FOODS GROUP INC 2040-02-09 2040-02-09 6.5 - 6.5 Other Instrument CORPORATE 7000.00 8493.44 LIBERTY MUT GROUP INC 2088-06-15 2088-06-15 10.75 - 10.75 Other Instrument CORPORATE 14000.00 21473.96 MANITOBA PROV CDA 2016-12-06 2016-12-06 4.9 - 4.9 Other Instrument CORPORATE 5000.00 5327.48 PRUDENTIAL FINL INC 2043-06-15 2043-06-15 5.625 - 5.625 Other Instrument CORPORATE 5000.00 5269.53 REGIONS FINL CORP NEW 2037-12-10 2037-12-10 7.375 - 7.375 Other Instrument CORPORATE 555000.00 717029.32 SG STRUCTURED PRODS INC 2021-05-03 2021-05-03 N/A Other Instrument CORPORATE 10000.00 9965.13 SOCIETE GENERALE MEDIUM TERM NTS BOOK ENTRY REG 2021-04-15 2021-04-15 5.2 - 5.2 Other Instrument CORPORATE 200000.00 230160.67 SPRINT CAP CORP 2032-03-15 2032-03-15 8.75 - 8.75 Other Instrument CORPORATE 2000.00 1567.29 U S BK NATL ASSN CINCINNATI OHIO MEDIUM TERM BK 2016-04-22 2016-04-22 0.415 - 0.415 Other Instrument CORPORATE 250000.00 250183.47 WESTMORELAND COAL CO 2022-01-01 2022-01-01 8.75 - 8.75 Other Instrument CORPORATE 221000.00 188341.11 WIDEOPENWEST FIN LLC / WIDEOPENWEST CAP CORP 2019-07-15 2019-07-15 10.25 - 10.25 Other Instrument CORPORATE 315000.00 320545.31 ZEBRA TECHNOLOGIES CORP 2022-10-15 2022-10-15 7.25 - 7.25 Other Instrument CORPORATE 10000.00 10982.29 Second Tier Security 2015-10-06 2015-10-06 N N N 2000000.00 2000000.00 0.0007 N 2000055.20 2000055.20 SG Americas Securities, LLC SG Americas Securities, LLC, 0.48% 49P99HCK8 Other Repurchase Agreement N DISNEY WALT CO NEW MEDIUM TERM NTS BOOK ENTRY 2042-12-01 2042-12-01 3.7 - 3.7 Other Instrument CORPORATE 3829.00 3664.55 LIBERTY MUT GROUP INC 2088-06-15 2088-06-15 10.75 - 10.75 Other Instrument CORPORATE 1339000.00 2053830.73 PROVIDENT FING TR I 2038-03-15 2038-03-15 7.405 - 7.405 Other Instrument CORPORATE 2000.00 2296.17 PRUDENTIAL FINL INC 2043-06-15 2043-06-15 5.625 - 5.625 Other Instrument CORPORATE 2000.00 2107.81 REALOGY GROUP LLC / SUNSHINE GROUP FLA LTD CORP 2016-05-01 2016-05-01 3.375 - 3.375 Other Instrument CORPORATE 2000.00 2017.94 SG STRUCTURED PRODS INC 2021-05-03 2031-05-30 N/A Other Instrument CORPORATE 20000.00 19015.53 SPRINT CAP CORP 2032-03-15 2032-03-15 8.75 - 8.75 Other Instrument CORPORATE 1000.00 783.65 ZEBRA TECHNOLOGIES CORP 2022-10-15 2022-10-15 7.25 - 7.25 Other Instrument CORPORATE 69000.00 75777.81 Second Tier Security 2015-10-01 2015-10-01 N N N 2000000.00 2000000.00 0.0007 N 2000000.00 2000000.00 SG Americas Securities, LLC SG Americas Securities, LLC, 0.48% 49P99HCM4 Other Repurchase Agreement N AMERENENERGY GENERATING CO 2020-04-01 2020-04-01 6.3 - 6.3 Other Instrument CORPORATE 159000.00 138540.67 AVALONBAY CMNTYS INC MEDIUM TERM NTS BOOK ENTRY 2020-10-01 2020-10-01 3.625 - 3.625 Other Instrument CORPORATE 79292.00 84416.98 CAMPBELL SOUP CO 2025-03-19 2025-03-19 3.3 - 3.3 Other Instrument CORPORATE 3000.00 2968.47 CLEAR CHANNEL COMMUNICATIONS INC 2019-12-15 2019-12-15 9 - 9 Other Instrument CORPORATE 38000.00 33677.50 CRIMSON MERGER SUB INC / ORTHO-CLINICAL DIAGNOST 2022-05-15 2022-05-15 6.625 - 6.625 Other Instrument CORPORATE 21000.00 18630.35 DISNEY WALT CO NEW MEDIUM TERM NTS BOOK ENTRY 2042-12-01 2042-12-01 3.7 - 3.7 Other Instrument CORPORATE 7094.00 6789.32 DISH DBS CORP 2019-09-01 2019-09-01 7.875 - 7.875 Other Instrument CORPORATE 591000.00 618105.48 ENBRIDGE ENERGY PARTNERS L P 2077-10-01 2077-10-01 8.05 - 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