N-MFPLIVEN2015-06-300000852495S0000090821NNNN33-29838FEDERATED INVESTMENT MGMT CO801-34612ERNST & YOUNGBOSTONMAFEDERATED ADMINISTRATIVE SERVICESSTATE STREET BANK AND TRUST CO0000839287085-05003NNNTreasury17241695753668.28902551.2785950.181696570269.370.00111.00002015-06-301.00002015-06-30C00002467010000.001696570269.371.0072019936.52382041308.70310021372.180.00001.00002015-06-301.00002015-06-30United States TreasuryUnited States Treasury Notes, 1.750%, 7/31/2015912828NP1Treasury DebtNFirst Tier SecurityN/AN/A2015-07-312015-07-31NNN77500000.0077605319.640.0457N77608965.0077608965.00United States TreasuryUnited States Treasury Notes, 0.250%, 8/15/2015912828TK6Treasury DebtNFirst Tier SecurityN/AN/A2015-08-152015-08-15NNN8500000.008501456.140.0050N8500663.008500663.00ABN Amro Bank NVABN Amro Bank NV, REPO, 0.120%, 7/1/2015Treasury Repurchase AgreementYUSTR 7 7/8 BOND 212021-02-157.875Treasury Debt74000.00100396.70USTR 1 1/4 NOTE S 152015-10-311.25Treasury Debt26929600.0027094732.60USTR 1 1/8 TRIN A 212021-01-151.125Treasury Debt8225600.009452874.13USTR 1 5/8 NOTE E 222022-08-151.625Treasury Debt1199920.001170630.06USTR 2 1/8 NOTE P 202020-08-312.125Treasury Debt2695520.002772633.00USTR 2 3/4 NOTE B 242024-02-152.75Treasury Debt844720.00885984.17USTR 2 5/8 NOTE F 202020-11-152.625Treasury Debt37485440.0039283588.44USTR 0 1/4 NOTE AB 152015-07-15.25Treasury Debt838560.00839521.34First Tier SecurityN/AN/A2015-07-012015-07-01NNN80000000.0080000000.000.0472N80000000.0080000000.00United States TreasuryUnited States Treasury Notes, 0.375%, 1/31/2016912828B41Treasury DebtNFirst Tier SecurityN/AN/A2016-01-312016-01-31NNN2000000.002002276.600.0012N2002656.002002656.00United States TreasuryUnited States Treasury Notes, 1.500%, 6/30/2016912828QR4Treasury DebtNFirst Tier SecurityN/AN/A2016-06-302016-06-30NNN1000000.001010982.560.0006N1011562.001011562.00United States TreasuryUnited States Treasury Notes, 0.250%, 9/15/2015912828TP5Treasury DebtNFirst Tier SecurityN/AN/A2015-09-152015-09-15NNN21000000.0021004998.020.0124N21006552.0021006552.00United States TreasuryUnited States Treasury Notes, 1.375%, 11/30/2015912828PJ3Treasury DebtNFirst Tier SecurityN/AN/A2015-11-302015-11-30NNN10000000.0010048469.890.0059N10053910.0010053910.00Merrill Lynch, Pierce, Fenner & Smith, Inc.Merrill Lynch, Pierce, Fenner & Smith, Inc., REPO, 0.100%, 7/1/2015983JVMII0Treasury Repurchase AgreementYUSTR 3 3/4 BOND 412041-08-153.75Treasury Debt142628760.00162151043.95USTR 3 7/8 TRIB 292029-04-153.875Treasury Debt70184160.00143849827.55First Tier SecurityN/AN/A2015-07-012015-07-01NNN300000000.00300000000.000.1768N300000000.00300000000.00BMO Capital Markets Corp.BMO Capital Markets Corp., REPO, 0.080%, 7/6/201505560H004Treasury Repurchase AgreementYUSTR 3 BOND 422042-05-153Treasury Debt60737.5059736.55USTR 8 BOND 212021-11-158Treasury Debt162.50223.44USTR 1 NOTE M 192019-06-301Treasury Debt875.00862.70USTR 1 NOTE S 192019-11-301Treasury Debt900000.00881050.21USTR 1 NOTE W 172017-03-311Treasury Debt15712.5015874.33USTR 1 NOTE Z 182018-05-311Treasury Debt675.00675.98USTR 2 NOTE B 232023-02-152Treasury Debt500.00498.34USTR 2 NOTE L 212021-05-312Treasury Debt16500.0016632.75USTR 2 NOTE N 202020-07-312Treasury Debt2500.002562.91USTR 2 NOTE P 212021-08-312Treasury Debt75.0075.76USTR 2 NOTE T 162016-01-312Treasury Debt3125.003184.59USTR 2 NOTE X 162016-04-302Treasury Debt250.00254.35USTR 2 TRIN A 162016-01-152Treasury Debt12.5015.25USTR 1 NOTE AB 162016-08-311Treasury Debt3650.003688.34USTR 1 NOTE AC 162016-09-301Treasury Debt125.00126.23USTR 1 NOTE AD 162016-10-311Treasury Debt1625.001639.63USTR 1 NOTE AJ 182018-02-151Treasury Debt750.00755.14USTR 1 NOTE AM 182018-05-151Treasury Debt12775.0012806.94USTR 1 NOTE AR 172017-09-151Treasury Debt875.00882.60USTR 1 NOTE AU 172017-12-151Treasury Debt17875.0017960.53USTR 0 3/4 TRIB 452045-02-15.75Treasury Debt12.5011.47USTR 2 1/2 TRIB 292029-01-152.5Treasury Debt1125.001541.31USTR 2 3/4 BOND 422042-08-152.75Treasury Debt1012.50953.75USTR 2 3/4 BOND 422042-11-152.75Treasury Debt2825.002639.17USTR 2 3/8 TRIB 252025-01-152.375Treasury Debt1000.001489.50USTR 2 3/8 TRIB 272027-01-152.375Treasury Debt1000.001415.60USTR 2 7/8 BOND 432043-05-152.875Treasury Debt46500.0044472.78USTR 3 1/2 BOND 392039-02-153.5Treasury Debt375.00409.19USTR 3 1/8 BOND 422042-02-153.125Treasury Debt1375.001398.77USTR 3 1/8 BOND 442044-08-153.125Treasury Debt750.00760.15USTR 3 3/4 BOND 412041-08-153.75Treasury Debt32500.0036948.43USTR 3 3/4 BOND 432043-11-153.75Treasury Debt1175.001327.38USTR 3 3/8 BOND 442044-05-153.375Treasury Debt700.00738.23USTR 3 5/8 BOND 432043-08-153.625Treasury Debt662.50737.71USTR 3 5/8 BOND 442044-02-153.625Treasury Debt1050.001168.29USTR 3 5/8 TRIB 282028-04-153.625Treasury Debt31937.5063969.21USTR 4 1/2 BOND 362036-02-154.5Treasury Debt875.001115.27USTR 4 1/4 BOND 392039-05-154.25Treasury Debt3125.003788.09USTR 4 1/4 BOND 402040-11-154.25Treasury Debt875.001063.40USTR 4 3/4 BOND 372037-02-154.75Treasury Debt4637.506093.88USTR 4 3/8 BOND 382038-02-154.375Treasury Debt12500.0015582.86USTR 4 3/8 BOND 402040-05-154.375Treasury Debt1137.501406.77USTR 5 1/2 BOND 282028-08-155.5Treasury Debt5250.007092.65USTR 5 1/4 BOND 292029-02-155.25Treasury Debt31625.0041924.40USTR 5 3/8 BOND 312031-02-155.375Treasury Debt687.50938.79USTR 6 1/2 BOND 262026-11-156.5Treasury Debt6250.008846.68USTR 6 1/4 BOND 232023-08-156.25Treasury Debt4750.006312.43USTR 6 1/4 BOND 302030-05-156.25Treasury Debt22237.5032286.08USTR 6 1/8 BOND 292029-08-156.125Treasury Debt9125.0013133.14USTR 6 3/4 BOND 262026-08-156.75Treasury Debt6250.009074.32USTR 6 3/8 BOND 272027-08-156.375Treasury Debt250.00358.44USTR 6 7/8 BOND 252025-08-156.875Treasury Debt12750.0018364.17USTR 7 1/4 BOND 222022-08-157.25Treasury Debt250.00344.22USTR 7 1/8 BOND 232023-02-157.125Treasury Debt1875.002594.25USTR 7 5/8 BOND 252025-02-157.625Treasury Debt15612.5023318.70USTR 7 7/8 BOND 212021-02-157.875Treasury Debt2125.002883.01USTR 8 1/8 BOND 212021-05-158.125Treasury Debt6000.008160.94USTR 8 7/8 BOND 172017-08-158.875Treasury Debt6250.007534.98USTR BILL 03/03/162016-03-030Treasury Debt141000.00140864.08USTR BILL 03/31/162016-03-310Treasury Debt54875.0054795.05USTR BILL 04/28/162016-04-280Treasury Debt11812.5011793.55USTR BILL 05/26/162016-05-260Treasury Debt5875.005863.08USTR BILL 07/02/152015-07-020Treasury Debt56500.0056499.77USTR BILL 07/09/152015-07-090Treasury Debt250.00250.00USTR BILL 07/16/152015-07-160Treasury Debt2625.002625.00USTR BILL 08/20/152015-08-200Treasury Debt46125.0046125.00USTR BILL 08/27/152015-08-270Treasury Debt79375.0079375.00USTR BILL 09/03/152015-09-030Treasury Debt8000.007999.92USTR BILL 09/10/152015-09-100Treasury Debt70012.5070012.50USTR BILL 09/24/152015-09-240Treasury Debt273500.00273497.27USTR BILL 10/01/152015-10-010Treasury Debt7875.007874.80USTR BILL 10/15/152015-10-150Treasury Debt10250.0010246.93USTR BILL 10/29/152015-10-290Treasury Debt12.5012.50USTR BILL 11/12/152015-11-120Treasury Debt1325.001324.91USTR BILL 11/19/152015-11-190Treasury Debt125.00124.99USTR BILL 11/27/152015-11-270Treasury Debt108337.50108319.08USTR BILL 12/03/152015-12-030Treasury Debt12.5012.50USTR BILL 12/10/152015-12-100Treasury Debt6350.006348.35USTR BILL 12/17/152015-12-170Treasury Debt51250.0051236.16USTR 0 1/8 TRIN A 232023-01-15.125Treasury Debt1175.001183.30USTR 0 1/8 TRIN W 162016-04-15.125Treasury Debt625.00673.00USTR 0 1/8 TRIN X 172017-04-15.125Treasury Debt1075.001134.57USTR 0 3/4 NOTE V 182018-02-28.75Treasury Debt1000.00998.58USTR 0 5/8 NOTE Y 182018-04-30.625Treasury Debt47750.0047366.76USTR 0 5/8 TRIN A 242024-01-15.625Treasury Debt62.5064.62USTR 0 7/8 NOTE N 192019-07-31.875Treasury Debt125.00122.88USTR 0 7/8 NOTE U 172017-01-31.875Treasury Debt112.50113.54USTR 0 7/8 NOTE U 182018-01-31.875Treasury Debt675.00677.66USTR 0 7/8 NOTE Y 172017-04-30.875Treasury Debt12.5012.58USTR 1 1/2 NOTE U 192019-01-311.5Treasury Debt500.00507.80USTR 1 1/2 NOTE Z 162016-06-301.5Treasury Debt18687.5018906.50USTR 1 1/2 NOTE Z 192019-05-311.5Treasury Debt30387.5030595.79USTR 1 1/4 NOTE G 192019-01-311.25Treasury Debt712.50716.41USTR 1 1/4 NOTE K 192019-04-301.25Treasury Debt109375.00109362.42USTR 1 1/4 NOTE Q 152015-08-311.25Treasury Debt8875.008928.46USTR 1 1/4 NOTE R 152015-09-301.25Treasury Debt375.00377.28USTR 1 1/4 NOTE U 202020-01-311.25Treasury Debt633175.00628144.15USTR 1 1/4 TRIN D 202020-07-151.25Treasury Debt1125.001311.91USTR 1 1/8 NOTE J 202020-03-311.125Treasury Debt837.50821.79USTR 1 1/8 NOTE K 202020-04-301.125Treasury Debt1012.50991.29USTR 1 1/8 NOTE L 192019-05-311.125Treasury Debt787.50781.95USTR 1 1/8 NOTE T 192019-12-311.125Treasury Debt725.00712.31USTR 1 3/4 NOTE C 222022-05-151.75Treasury Debt88800.0087287.60USTR 1 3/4 NOTE C 232023-05-151.75Treasury Debt750.00727.03USTR 1 3/4 NOTE H 222022-02-281.75Treasury Debt875.00864.83USTR 1 3/4 NOTE P 152015-07-311.75Treasury Debt944937.50953118.18USTR 1 3/4 NOTE Y 162016-05-311.75Treasury Debt2375.002409.58USTR 1 3/8 NOTE G 202020-01-311.375Treasury Debt11375.0011352.72USTR 1 3/8 NOTE L 202020-05-311.375Treasury Debt55500.0054912.15USTR 1 3/8 NOTE T 152015-11-301.375Treasury Debt900.00905.80USTR 1 3/8 NOTE W 202020-03-311.375Treasury Debt562.50559.15USTR 1 3/8 NOTE Y 202020-04-301.375Treasury Debt1312.501301.34USTR 1 5/8 NOTE E 222022-08-151.625Treasury Debt12215850.0011917662.11USTR 1 5/8 NOTE F 222022-11-151.625Treasury Debt812.50787.11USTR 1 5/8 NOTE W 192019-03-311.625Treasury Debt25750.0026167.88USTR 1 7/8 NOTE Q 172017-09-301.875Treasury Debt3750.003861.82USTR 2 1/2 NOTE M 172017-06-302.5Treasury Debt2500.002592.19USTR 2 1/4 NOTE F 242024-11-152.25Treasury Debt850.00847.34USTR 2 1/4 NOTE J 212021-03-312.25Treasury Debt500.00513.70USTR 2 1/4 NOTE K 212021-04-302.25Treasury Debt1000.001024.82USTR 2 1/4 NOTE N 182018-07-312.25Treasury Debt6937.507256.92USTR 2 1/4 NOTE S 172017-11-302.25Treasury Debt12.5012.96USTR 2 1/8 NOTE C 252025-05-152.125Treasury Debt1334437.501313695.34USTR 2 1/8 NOTE U 152015-12-312.125Treasury Debt31250.0031560.00USTR 2 1/8 NOTE U 162016-02-292.125Treasury Debt25.0025.50USTR 2 1/8 TRIN A 192019-01-152.125Treasury Debt1212.501466.54USTR 2 3/4 NOTE L 172017-05-312.75Treasury Debt4975.005188.32USTR 2 3/4 NOTE R 162016-11-302.75Treasury Debt9912.5010253.91USTR 2 3/8 NOTE H 162016-03-312.375Treasury Debt75437.5077085.29USTR 2 3/8 NOTE L 182018-05-312.375Treasury Debt750.00781.70USTR 2 3/8 NOTE N 172017-07-312.375Treasury Debt54125.0056543.58USTR 2 3/8 TRIN A 172017-01-152.375Treasury Debt62.5077.67USTR 2 5/8 NOTE G 182018-01-312.625Treasury Debt11500.0012144.38USTR 2 5/8 NOTE J 162016-04-302.625Treasury Debt12.5012.80USTR 3 1/4 NOTE J 172017-03-313.25Treasury Debt250.00263.74USTR 3 1/4 NOTE L 162016-06-303.25Treasury Debt53750.0055307.68USTR 3 1/8 NOTE G 172017-01-313.125Treasury Debt625.00658.78USTR 3 3/8 NOTE F 192019-11-153.375Treasury Debt24937.5027029.93USTR 4 1/2 NOTE B 162016-02-154.5Treasury Debt22237.5023211.76USTR 4 1/2 NOTE F 152015-11-154.5Treasury Debt2125.002171.83USTR 4 1/4 NOTE E 152015-08-154.25Treasury Debt25387.5025924.69USTR 4 1/4 NOTE F 172017-11-154.25Treasury Debt15000.0016298.44USTR 4 3/4 NOTE E 172017-08-154.75Treasury Debt875.00965.42USTR 0 1/2 NOTE AM 162016-06-15.5Treasury Debt10012.5010033.33USTR 0 1/2 NOTE AV 172017-01-31.5Treasury Debt7487.507500.68USTR 0 1/2 NOTE AX 172017-02-28.5Treasury Debt725.00725.75USTR 0 1/2 NOTE AZ 172017-04-30.5Treasury Debt9375.009368.13USTR 0 1/2 NOTE BB 162016-06-30.5Treasury Debt737.50738.88USTR 0 1/4 NOTE AB 152015-07-15.25Treasury Debt26987.5027018.44USTR 0 1/4 NOTE AC 152015-08-15.25Treasury Debt825.00825.96USTR 0 1/4 NOTE AD 152015-09-15.25Treasury Debt20625.0020646.39USTR 0 1/4 NOTE AE 152015-10-15.25Treasury Debt118512.50118648.09USTR 0 1/4 NOTE AG 152015-12-15.25Treasury Debt34900.0034930.80USTR 0 1/4 NOTE AL 162016-05-15.25Treasury Debt110000.00109965.63USTR 0 1/4 NOTE AT 152015-11-30.25Treasury Debt250.00250.25USTR 0 3/4 NOTE AA 172017-06-30.75Treasury Debt312.50313.18USTR 0 3/4 NOTE AH 172017-01-15.75Treasury Debt62875.0063327.02USTR 0 3/4 NOTE AL 182018-04-15.75Treasury Debt1125.001120.95USTR 0 3/8 NOTE AG 162016-01-15.375Treasury Debt1125.001128.43USTR 0 3/8 NOTE AH 162016-02-15.375Treasury Debt55750.0055906.35USTR 0 3/8 NOTE AJ 162016-03-15.375Treasury Debt250.00250.55USTR 0 3/8 NOTE AU 162016-01-31.375Treasury Debt6854500.006874267.47USTR 0 3/8 NOTE AX 162016-03-31.375Treasury Debt24250.0024295.36USTR 0 3/8 NOTE AY 162016-04-30.375Treasury Debt750.00751.05USTR 0 5/8 NOTE AN 162016-07-15.625Treasury Debt1375.001382.81USTR 0 5/8 NOTE AR 162016-10-15.625Treasury Debt175.00175.69USTR 0 5/8 NOTE BK 162016-12-31.625Treasury Debt875.00876.92USTR 0 7/8 NOTE AF 162016-12-31.875Treasury Debt32987.5033183.38USTR 0 7/8 NOTE AH 182018-01-15.875Treasury Debt1625.001632.28USTR 0 7/8 NOTE AM 172017-05-15.875Treasury Debt375.00377.23USTR 0 7/8 NOTE AQ 162016-09-15.875Treasury Debt250.00252.08USTR 0 7/8 NOTE AQ 172017-08-15.875Treasury Debt875.00881.14USTR 0 7/8 NOTE AT 172017-11-15.875Treasury Debt2325.002331.90USTR 1 1/2 NOTE AF 192019-11-301.5Treasury Debt12.5012.52USTR 1 1/2 NOTE AG 182018-12-311.5Treasury Debt875.00883.75USTR 1 1/4 NOTE AE 182018-10-311.25Treasury Debt12625.0012694.56USTR 1 3/4 NOTE AD 192019-09-301.75Treasury Debt625.00635.24USTR 1 3/8 NOTE AA 182018-06-301.375Treasury Debt46250.0046755.88USTR 1 5/8 NOTE AA 192019-06-301.625Treasury Debt875.00883.34USTR 1 5/8 NOTE AG 192019-12-311.625Treasury Debt18000.0018073.13USTR 8 3/4 BOND 20/082020-08-158.75Treasury Debt12500.0017267.27USTR TRFR AV 01/31/162016-01-31.06Treasury Debt1062.501062.61USTR TRFR AW 01/31/172017-01-31.099Treasury Debt700.00700.45USTR TRFR BA 04/30/172017-04-30.084Treasury Debt1125.001125.17USTR TRFR BD 07/31/162016-07-31.085Treasury Debt81750.0081786.21USTR TRFR BH 10/31/162016-10-31.068Treasury Debt250.00250.05First Tier SecurityN/AN/A2015-07-062015-07-06YBMO Capital Markets Corp.N/AN/ANN25000000.0025000000.000.0147N24999000.0024999000.00United States TreasuryUnited States Treasury Notes, 1.250%, 9/30/2015912828NZ9Treasury DebtNFirst Tier SecurityN/AN/A2015-09-302015-09-30NNN38500000.0038606880.990.0228N38614306.5038614306.50CIBC World Markets Corp.CIBC World Markets Corp., REPO, 0.100%, 7/1/2015126997006Treasury Repurchase AgreementY1 3/4 NOTE C 222022-05-151.75Treasury Debt7660000.007530756.911 5/8 NOTE Y 192019-04-301.625Treasury Debt14560000.0014761853.492 1/2 NOTE E 232023-08-152.5Treasury Debt20000000.0020620863.440 5/8 NOTE BC 172017-06-30.625Treasury Debt38704000.8038689513.22First Tier SecurityN/AN/A2015-07-012015-07-01NNN80000000.0080000000.000.0472N80000000.0080000000.00BNP Paribas Securities Corp.BNP Paribas Securities Corp., REPO, 0.090%, 7/14/201569999A006Treasury Repurchase AgreementYUSTR 2 NOTE P 212021-08-312Treasury Debt4235148.004277789.31USTR 4 NOTE E 182018-08-154Treasury Debt693456.00767728.69USTR 1 NOTE AR 172017-09-151Treasury Debt73980.0074622.78USTR 1 3/8 TRIB 442044-02-151.375Treasury Debt1382844.001502091.04USTR 4 3/4 BOND 372037-02-154.75Treasury Debt1446894.001901282.51USTR 7 1/2 BOND 162016-11-157.5Treasury Debt2964.003276.61USTR 7 1/4 BOND 162016-05-157.25Treasury Debt592482.00633492.72USTR 8 7/8 BOND 172017-08-158.875Treasury Debt348.00419.55USTR 9 1/4 BOND 162016-02-159.25Treasury Debt910062.00992362.42USTR BILL 07/23/152015-07-230Treasury Debt18.0018.00USTR 10 5/8 BOND 152015-08-1510.625Treasury Debt243948.00256663.45USTR 0 5/8 TRIN D 212021-07-15.625Treasury Debt6035796.006556875.52USTR 1 1/8 NOTE K 202020-04-301.125Treasury Debt359382.00351853.96USTR 1 3/8 NOTE S 182018-11-301.375Treasury Debt966828.00975471.49USTR 1 5/8 TRIN A 182018-01-151.625Treasury Debt332622.00399353.44USTR 2 1/4 NOTE F 242024-11-152.25Treasury Debt7346526.007323549.74USTR 3 1/8 NOTE C 192019-05-153.125Treasury Debt3021180.003236439.83USTR 5 1/8 NOTE C 162016-05-155.125Treasury Debt529692.00555266.19USTR 0 3/4 NOTE AK 172017-03-15.75Treasury Debt209994.00211206.65USTR 0 3/4 NOTE AL 182018-04-15.75Treasury Debt2640.002630.50USTR 0 5/8 NOTE AJ 172017-02-15.625Treasury Debt6.006.02USTR 1 1/2 NOTE AA 162016-07-311.5Treasury Debt54.0055.00USTR 1 5/8 NOTE AB 192019-07-311.625Treasury Debt7956.008079.19USTR 1 5/8 NOTE AC 192019-08-311.625Treasury Debt343512.00348207.20USTR 1 5/8 NOTE AG 192019-12-311.625Treasury Debt223938.00224847.86USTR TRFR AV 01/31/162016-01-31.06Treasury Debt6.006.00First Tier SecurityN/AN/A2015-07-072015-07-07YBNP Paribas Securities Corp.N/AN/ANN30000000.0030000000.000.0177N29997900.0029997900.00Citigroup Global Markets, Inc.Citigroup Global Markets, Inc., REPO, 0.080%, 7/1/201599CBF2906Treasury Repurchase AgreementYUSTR 3 1/8 BOND 412041-11-153.125Treasury Debt19455809.8019651851.40USTR 3 3/4 BOND 412041-08-153.75Treasury Debt1484156.601687300.25USTR 1 1/2 NOTE P 182018-08-311.5Treasury Debt11834045.4012050062.01USTR 1 1/2 NOTE U 192019-01-311.5Treasury Debt14328156.8014551539.49First Tier SecurityN/AN/A2015-07-012015-07-01YCitigroup Global Markets, Inc.N/AN/ANN47000000.0047000000.000.0277N47000000.0047000000.00J.P. Morgan Securities LLCJ.P. Morgan Securities LLC, REPO, 0.080%, 7/14/2015466999000Treasury Repurchase AgreementY1 NOTE AK 182018-03-151Treasury Debt3199600.003216815.102 3/4 BOND 422042-11-152.75Treasury Debt3179169.502970290.123 3/4 BOND 412041-08-153.75Treasury Debt3066590.003486328.874 5/8 BOND 402040-02-154.625Treasury Debt2746100.003549493.400 7/8 NOTE U 182018-01-31.875Treasury Debt2798000.002809012.070 7/8 NOTE V 172017-02-28.875Treasury Debt2003500.002020892.021 3/8 NOTE G 202020-01-311.375Treasury Debt2898500.002893275.441 3/8 NOTE S 182018-11-301.375Treasury Debt2897500.002924090.271 5/8 NOTE E 222022-08-151.625Treasury Debt3166110.003088825.601 5/8 NOTE Y 192019-04-301.625Treasury Debt3055180.003097535.683 1/8 NOTE C 192019-05-153.125Treasury Debt2490520.002668757.113 1/8 NOTE G 172017-01-313.125Treasury Debt3100150.003268174.603 3/8 NOTE F 192019-11-153.375Treasury Debt3023530.003278167.890 1/2 NOTE AY 172017-03-31.5Treasury Debt2796320.002797615.050 3/4 NOTE AE 172017-10-31.75Treasury Debt3135600.003137554.190 3/8 NOTE AY 162016-04-30.375Treasury Debt2765005.302769544.090 7/8 NOTE AQ 172017-08-15.875Treasury Debt3004300.003025850.03First Tier SecurityN/AN/A2015-07-072015-07-07YJ.P. Morgan Securities LLCN/AN/ANN50000000.0050000000.000.0295N49996000.0049996000.00United States TreasuryUnited States Treasury Notes, 0.250%, 7/31/2015912828VN7Treasury DebtNFirst Tier SecurityN/AN/A2015-07-312015-07-31NNN10000000.0010001187.240.0059N10000780.0010000780.00BNP Paribas Securities Corp.BNP Paribas Securities Corp., REPO, 0.090%, 8/28/201569999A006Treasury Repurchase AgreementYUSTR 3 BOND 422042-05-153Treasury Debt6.005.90USTR 1 NOTE AB 162016-08-311Treasury Debt60.0060.63USTR 1 NOTE AJ 182018-02-151Treasury Debt3336.003358.87USTR 1 NOTE AK 182018-03-151Treasury Debt1431480.001439220.88USTR 3 5/8 TRIB 282028-04-153.625Treasury Debt299982.00600848.93USTR 9 1/8 BOND 182018-05-159.125Treasury Debt18.0022.39USTR BILL 07/23/152015-07-230Treasury Debt6.006.00USTR BILL 08/20/152015-08-200Treasury Debt18.0018.00USTR BILL 10/29/152015-10-290Treasury Debt12.0012.00USTR BILL 11/12/152015-11-120Treasury Debt24.0024.00USTR 0 5/8 TRIN D 212021-07-15.625Treasury Debt2891580.003141214.53USTR 1 3/8 NOTE L 202020-05-311.375Treasury Debt60.0059.36USTR 2 1/2 NOTE E 232023-08-152.5Treasury Debt9655692.009953919.68USTR 2 1/4 NOTE K 212021-04-302.25Treasury Debt2611620.002676449.86USTR 2 3/4 NOTE H 182018-02-282.75Treasury Debt21312.0022545.26USTR 2 3/8 NOTE M 182018-06-302.375Treasury Debt1605240.001669952.04USTR 2 3/8 TRIN A 172017-01-152.375Treasury Debt713622.00886863.11USTR 2 5/8 NOTE G 182018-01-312.625Treasury Debt1428228.001508256.00USTR 2 7/8 NOTE J 182018-03-312.875Treasury Debt160926.00170575.32USTR 3 1/4 NOTE S 162016-12-313.25Treasury Debt1382106.001438902.26USTR 4 5/8 NOTE F 162016-11-154.625Treasury Debt8.108.61USTR 5 1/8 NOTE C 162016-05-155.125Treasury Debt6.006.29USTR 0 1/4 NOTE AT 152015-11-30.25Treasury Debt66.0066.06USTR 0 7/8 NOTE AH 182018-01-15.875Treasury Debt120660.00121200.73USTR 1 1/2 NOTE AG 182018-12-311.5Treasury Debt685680.00692536.80USTR 1 3/8 NOTE AA 182018-06-301.375Treasury Debt1575888.001593125.06USTR 1 3/8 NOTE AB 182018-07-311.375Treasury Debt2952744.002999094.74USTR 8 1/8 BOND 21/082021-08-158.125Treasury Debt213864.00297669.48USTR TRFR BA 04/30/172017-04-30.084Treasury Debt1386984.001387191.63First Tier SecurityN/AN/A2015-07-072015-07-07YBNP Paribas Securities Corp.N/AN/ANN30000000.0030000000.000.0177N29997886.5029997886.50United States TreasuryUnited States Treasury Notes, 0.375%, 3/15/2016912828US7Treasury DebtNFirst Tier SecurityN/AN/A2016-03-152016-03-15NNN14000000.0014008941.100.0083N14016408.0014016408.00Natixis Financial Products LLCNatixis Financial Products LLC, REPO, 0.100%, 7/1/201545099F004Treasury Repurchase AgreementYUSTR 2 TRIB 262026-01-152Treasury Debt24902066.6734335934.72USTR 3 BOND 422042-05-153Treasury Debt169933.33167132.83USTR 3 BOND 442044-11-153Treasury Debt35228000.0034586850.40USTR 8 BOND 212021-11-158Treasury Debt4699066.676461216.67USTR 1 NOTE W 172017-03-311Treasury Debt66.6767.35USTR 2 NOTE B 222022-02-152Treasury Debt66.6767.17USTR 2 NOTE X 162016-04-302Treasury Debt466.67474.77USTR 3 NOTE P 162016-09-303Treasury Debt6666666.676930980.11USTR 0 3/4 TRIB 422042-02-15.75Treasury Debt400000.00385167.95USTR 2 1/8 TRIB 402040-02-152.125Treasury Debt200000.00270848.48USTR 2 3/4 BOND 422042-08-152.75Treasury Debt9999800.009419566.85USTR 2 3/4 BOND 422042-11-152.75Treasury Debt2789800.002606282.77USTR 3 1/2 BOND 392039-02-153.5Treasury Debt4666666.675092161.60USTR 3 1/8 BOND 422042-02-153.125Treasury Debt133.33135.64USTR 3 3/8 BOND 442044-05-153.375Treasury Debt22000000.0023201392.50USTR 3 5/8 BOND 442044-02-153.625Treasury Debt20666600.0022994871.18USTR 8 3/4 BOND 172017-05-158.75Treasury Debt12666000.0014724231.33USTR 0 1/4 TRIN A 252025-01-15.25Treasury Debt66.6765.34USTR 0 1/8 TRIN A 232023-01-15.125Treasury Debt66.6767.14USTR 1 1/2 NOTE P 182018-08-311.5Treasury Debt66.6767.89USTR 1 3/4 NOTE H 222022-02-281.75Treasury Debt66.6765.89USTR 1 3/4 NOTE J 222022-03-311.75Treasury Debt102626666.67101213096.49USTR 1 3/4 NOTE R 182018-10-311.75Treasury Debt666333.33681905.42USTR 1 3/8 NOTE T 182018-12-311.375Treasury Debt16998666.6717099604.75USTR 1 5/8 NOTE F 222022-11-151.625Treasury Debt66.6764.59USTR 1 7/8 NOTE S 212021-11-301.875Treasury Debt66.6766.33USTR 2 5/8 NOTE E 202020-08-152.625Treasury Debt600.00633.34USTR 3 3/4 NOTE F 182018-11-153.75Treasury Debt36666666.6740001041.67USTR 4 5/8 NOTE F 162016-11-154.625Treasury Debt33333266.6735427004.15USTR 0 1/4 NOTE AG 152015-12-15.25Treasury Debt66.6766.73USTR 0 3/4 NOTE AH 172017-01-15.75Treasury Debt33332400.0033572034.17USTR 0 7/8 NOTE AQ 162016-09-15.875Treasury Debt16666666.6716805419.29USTR 1 1/2 NOTE AA 162016-07-311.5Treasury Debt66.6767.91USTR 1 3/8 NOTE AA 182018-06-301.375Treasury Debt2000600.002022482.56First Tier SecurityN/AN/A2015-07-012015-07-01NNN400000000.00400000000.000.2358N400000000.00400000000.00United States TreasuryUnited States Treasury Notes, 0.060%, 1/31/2016912828WK2Treasury DebtNFirst Tier SecurityN/AN/A2015-07-072016-01-31NNN20000000.0019997699.040.0118N19999840.0019999840.00United States TreasuryUnited States Treasury Notes, 0.250%, 7/15/2015912828TD2Treasury DebtNFirst Tier SecurityN/AN/A2015-07-152015-07-15NNN17000000.0017000586.440.0100N17001326.0017001326.00United States TreasuryUnited States Treasury Notes, 0.250%, 4/15/2016912828UW8Treasury DebtNFirst Tier SecurityN/AN/A2016-04-152016-04-15NNN5000000.004994973.060.0029N4998440.004998440.00United States TreasuryUnited States Treasury Notes, 0.084%, 4/30/2016912828D31Treasury DebtNFirst Tier SecurityN/AN/A2015-07-072016-04-30NNN25000000.0025001076.570.0147N25004800.0025004800.00United States TreasuryUnited States Treasury Notes, 0.375%, 11/15/2015912828TX8Treasury DebtNFirst Tier SecurityN/AN/A2015-11-152015-11-15NNN6000000.006004857.830.0035N6006564.006006564.00Bank of Nova Scotia, TorontoBank of Nova Scotia, Toronto, REPO, 0.100%, 7/1/2015809990005Treasury Repurchase AgreementYUSTR 6 BOND 262026-02-156Treasury Debt100.00136.55USTR 2 NOTE F 212021-11-152Treasury Debt100.00100.44USTR 4 NOTE E 182018-08-154Treasury Debt5025500.005563756.82USTR 0 3/4 TRIB 422042-02-15.75Treasury Debt200.00192.58USTR 2 3/4 BOND 422042-11-152.75Treasury Debt1967300.001837888.06USTR 2 3/8 TRIB 252025-01-152.375Treasury Debt271000.00403653.55USTR 3 1/8 BOND 422042-02-153.125Treasury Debt100.00101.73USTR 3 1/8 BOND 442044-08-153.125Treasury Debt8337000.008449833.00USTR 3 3/8 BOND 442044-05-153.375Treasury Debt8046600.008486014.77USTR 3 5/8 TRIB 282028-04-153.625Treasury Debt5036600.0010088057.60USTR 6 1/2 BOND 262026-11-156.5Treasury Debt100.00141.55USTR 6 1/8 BOND 292029-08-156.125Treasury Debt100.00143.92USTR BILL 03/03/162016-03-030Treasury Debt306000.00305705.02USTR 0 1/8 TRIN W 162016-04-15.125Treasury Debt20324300.0021885154.90USTR 0 1/8 TRIN X 182018-04-15.125Treasury Debt10871800.0011295870.69USTR 0 1/8 TRIN X 192019-04-15.125Treasury Debt11601700.0011859718.58USTR 1 1/2 NOTE V 192019-02-281.5Treasury Debt7.007.09USTR 1 1/4 TRIN D 202020-07-151.25Treasury Debt28799600.0033584394.63USTR 1 3/4 NOTE C 222022-05-151.75Treasury Debt100.0098.30USTR 1 7/8 NOTE L 222022-05-311.875Treasury Debt615000.00609218.93USTR 1 7/8 NOTE Q 172017-09-301.875Treasury Debt14619000.0015054907.66USTR 1 7/8 TRIN D 152015-07-151.875Treasury Debt100.00123.01USTR 1 7/8 TRIN D 192019-07-151.875Treasury Debt100.00121.63USTR 2 1/2 NOTE C 242024-05-152.5Treasury Debt499900.00510210.44USTR 2 1/2 NOTE E 232023-08-152.5Treasury Debt13900.0014329.32USTR 2 1/8 NOTE E 212021-08-152.125Treasury Debt100.00101.92USTR 2 3/4 NOTE B 192019-02-152.75Treasury Debt180500.00191940.18USTR 2 3/8 NOTE H 162016-03-312.375Treasury Debt139000.00142036.18USTR 2 3/8 TRIN A 172017-01-152.375Treasury Debt4500.005592.43USTR 2 5/8 TRIN D 172017-07-152.625Treasury Debt100.00123.78USTR 3 1/4 NOTE M 162016-07-313.25Treasury Debt100.00104.46USTR 4 3/4 NOTE E 172017-08-154.75Treasury Debt906.00999.63USTR 0 1/2 NOTE AX 172017-02-28.5Treasury Debt749800.00750574.25USTR 0 3/8 NOTE AY 162016-04-30.375Treasury Debt200000.00200280.52USTR 0 5/8 NOTE AR 162016-10-15.625Treasury Debt60000.0060237.23USTR 0 7/8 NOTE AF 162016-12-31.875Treasury Debt2231500.002244750.65USTR 0 7/8 NOTE AN 172017-06-15.875Treasury Debt4400600.004423168.95USTR 0 7/8 NOTE AQ 162016-09-15.875Treasury Debt4528400.004566099.64USTR 1 3/8 NOTE AB 182018-07-311.375Treasury Debt950200.00965115.78USTR 1 5/8 NOTE AA 202020-06-301.625Treasury Debt60509000.0060499560.60First Tier SecurityN/AN/A2015-07-012015-07-01NNN200000000.00200000000.000.1179N200000000.00200000000.00United States TreasuryUnited States Treasury Notes, 2.125%, 12/31/2015912828PM6Treasury DebtNFirst Tier SecurityN/AN/A2015-12-312015-12-31NNN25250000.0025487874.610.0150N25496591.5025496591.50United States TreasuryUnited States Treasury Bills, 0.145%, 9/17/2015912796EX3Treasury DebtNFirst Tier SecurityN/AN/A2015-09-172015-09-17NNN32000000.0031989946.610.0189N32000000.0032000000.00TD Securities (USA) LLCTD Securities (USA) LLC, REPO, 0.060%, 7/1/2015891960007Treasury Repurchase AgreementYUSTR 5 BOND 372037-05-155Treasury Debt999812.501346466.49USTR 9 BOND 182018-11-159Treasury Debt7200.009165.96USTR 1 NOTE P 192019-08-311Treasury Debt913731.25901053.43USTR 2 NOTE R 212021-10-312Treasury Debt166600.00167464.69USTR 2 NOTE S 202020-11-302Treasury Debt6.256.34USTR 3 NOTE H 172017-02-283Treasury Debt1023487.501075245.93USTR 1 NOTE AD 162016-10-311Treasury Debt1187468.751198157.88USTR 1 NOTE AJ 182018-02-151Treasury Debt497718.75501130.25USTR 1 NOTE AK 182018-03-151Treasury Debt719662.50723554.15USTR 1 NOTE AR 172017-09-151Treasury Debt31112.5031382.82USTR 1 3/8 TRIB 442044-02-151.375Treasury Debt54562.5059267.60USTR 2 1/2 TRIB 292029-01-152.5Treasury Debt82431.25112935.41USTR 2 1/8 TRIB 412041-02-152.125Treasury Debt50000.0067290.19USTR 3 3/4 BOND 432043-11-153.75Treasury Debt2093750.002365283.20USTR 3 5/8 BOND 442044-02-153.625Treasury Debt113437.50126217.22USTR 4 1/2 BOND 382038-05-154.5Treasury Debt318750.00400431.28USTR 4 5/8 BOND 402040-02-154.625Treasury Debt752731.25972832.82USTR 6 1/8 BOND 272027-11-156.125Treasury Debt28312.5039518.06USTR 7 1/4 BOND 162016-05-157.25Treasury Debt1250000.001336523.13USTR 8 3/4 BOND 172017-05-158.75Treasury Debt624937.50726490.16USTR BILL 06/23/162016-06-230Treasury Debt87.5087.27USTR BILL 09/03/152015-09-030Treasury Debt2588637.502588611.61USTR BILL 10/01/152015-10-010Treasury Debt64681.2564679.57USTR 0 1/8 TRIN X 182018-04-15.125Treasury Debt8967562.509317355.58USTR 0 3/4 NOTE W 182018-03-31.75Treasury Debt2504687.502496834.69USTR 0 3/8 TRIN D 232023-07-15.375Treasury Debt7750.007915.76USTR 0 5/8 NOTE Y 182018-04-30.625Treasury Debt139975.00138851.56USTR 0 7/8 NOTE U 172017-01-31.875Treasury Debt1125000.001135407.03USTR 1 1/2 NOTE V 192019-02-281.5Treasury Debt0.440.44USTR 1 1/4 NOTE Q 152015-08-311.25Treasury Debt8200.008249.40USTR 1 1/8 NOTE J 202020-03-311.125Treasury Debt1812.501778.49USTR 1 3/4 NOTE J 222022-03-311.75Treasury Debt2062500.002034091.32USTR 1 3/8 NOTE T 152015-11-301.375Treasury Debt2016100.002029083.78USTR 1 3/8 NOTE V 202020-02-291.375Treasury Debt339312.50338049.38USTR 1 3/8 NOTE W 202020-03-311.375Treasury Debt718750.00714468.92USTR 1 5/8 NOTE E 222022-08-151.625Treasury Debt273056.25266390.97USTR 1 5/8 NOTE Y 192019-04-301.625Treasury Debt2244375.002274969.45USTR 2 1/8 NOTE U 152015-12-312.125Treasury Debt123231.25124453.70USTR 2 1/8 NOTE U 162016-02-292.125Treasury Debt104812.50106901.92USTR 2 3/4 NOTE R 162016-11-302.75Treasury Debt31.2532.33USTR 2 5/8 NOTE F 202020-11-152.625Treasury Debt211556.25221704.44USTR 3 1/2 NOTE B 182018-02-153.5Treasury Debt953906.251030894.58USTR 3 1/2 NOTE C 202020-05-153.5Treasury Debt437.50477.76USTR 3 1/4 NOTE K 162016-05-313.25Treasury Debt1364687.501404786.02USTR 3 1/4 NOTE L 162016-06-303.25Treasury Debt6.256.43USTR 4 1/2 NOTE F 152015-11-154.5Treasury Debt20387.5020836.74USTR 4 1/4 NOTE F 172017-11-154.25Treasury Debt125.00135.82USTR 4 7/8 NOTE E 162016-08-154.875Treasury Debt937500.001001565.23USTR 0 1/2 NOTE AV 172017-01-31.5Treasury Debt1152625.001154653.42USTR 0 1/2 NOTE AX 172017-02-28.5Treasury Debt1000000.001001032.61USTR 0 1/2 NOTE BE 162016-08-31.5Treasury Debt519250.00520759.78USTR 0 1/4 NOTE AE 152015-10-15.25Treasury Debt806868.75807791.91USTR 0 1/4 NOTE AG 152015-12-15.25Treasury Debt98900.0098987.28USTR 0 3/4 NOTE AE 172017-10-31.75Treasury Debt3700.003701.13USTR 0 3/4 NOTE AG 172017-12-31.75Treasury Debt34087.5034023.59USTR 0 3/4 NOTE AH 172017-01-15.75Treasury Debt104681.25105433.83USTR 0 3/4 NOTE AK 172017-03-15.75Treasury Debt625000.00628609.19USTR 0 3/8 NOTE AH 162016-02-15.375Treasury Debt390425.00391519.94USTR 0 3/8 NOTE AQ 152015-08-31.375Treasury Debt62.5062.61USTR 0 3/8 NOTE AY 162016-04-30.375Treasury Debt2908218.752912297.83USTR 0 5/8 NOTE AT 162016-12-15.625Treasury Debt1435562.501438844.41USTR 0 5/8 NOTE BK 162016-12-31.625Treasury Debt1703343.751707070.67USTR 0 7/8 NOTE AN 172017-06-15.875Treasury Debt687500.00691025.92USTR 1 1/2 NOTE AE 192019-10-311.5Treasury Debt15781.2515830.35First Tier SecurityN/AN/A2015-07-012015-07-01YTD Securities (USA) LLCN/AN/ANN50000000.0050000000.000.0295N50000000.0050000000.00United States TreasuryUnited States Treasury Notes, 1.250%, 8/31/2015912828NV8Treasury DebtNFirst Tier SecurityN/AN/A2015-08-312015-08-31NNN23500000.0023544286.910.0139N23545895.5023545895.50Credit Agricole Corporate and Investment BankCredit Agricole Corporate and Investment Bank, REPO, 0.100%, 7/1/2015973ZMF009Treasury Repurchase AgreementYUSTR 2 TRIB 262026-01-152Treasury Debt1817681.622506289.88USTR 0 3/4 TRIB 422042-02-15.75Treasury Debt1945.781873.63USTR 0 5/8 TRIB 432043-02-15.625Treasury Debt1146709.381046507.32USTR 2 1/2 TRIB 292029-01-152.5Treasury Debt499047.92683723.51USTR 2 3/4 BOND 422042-08-152.75Treasury Debt252734.75238069.95USTR 2 7/8 BOND 432043-05-152.875Treasury Debt1221296.181168052.25USTR 3 1/8 BOND 442044-08-153.125Treasury Debt5124018.945193367.44USTR 3 3/8 TRIB 322032-04-153.375Treasury Debt7017648.9313245109.42USTR 3 5/8 TRIB 282028-04-153.625Treasury Debt23363.9046796.73USTR 3 7/8 TRIB 292029-04-153.875Treasury Debt107481.67220295.01USTR 4 3/8 BOND 412041-05-154.375Treasury Debt2271522.642819706.35USTR 5 1/4 BOND 282028-11-155.25Treasury Debt392213.23514289.80USTR 6 1/4 BOND 302030-05-156.25Treasury Debt4.837.01USTR BILL 07/23/152015-07-230Treasury Debt4.834.83USTR 0 1/8 TRIN D 222022-07-15.125Treasury Debt18747211.1819150500.61USTR 0 1/8 TRIN X 182018-04-15.125Treasury Debt11802869.5712263258.01USTR 2 3/8 TRIN A 172017-01-152.375Treasury Debt77.2596.01First Tier SecurityN/AN/A2015-07-012015-07-01NNN57939000.0057939000.000.0342N57939000.0057939000.00United States TreasuryUnited States Treasury Notes, 0.250%, 10/15/2015912828TT7Treasury DebtNFirst Tier SecurityN/AN/A2015-10-152015-10-15NNN9000000.009002855.030.0053N9004221.009004221.00