N-MFP2 0000916620 XXXXXXXX 2019-02-28 0000916620 5493004ZY1PEJR3C0A81 S000001266 1 N N 033-73404 Northern Trust Investments, Inc. 801-33358 Deloitte & Touche LLP Chicago IL Northern Trust Investments, Inc. The Northern Trust Company 0000838981 085-05127 N N N Exempt Government N 49 100 10148068482.58 9884338853.50 10440150237.41 9443255920.08 0.00 13931253303.11 13185331321.64 13971101932.07 12896406404.42 0.00 0.5053 0.4960 0.5278 0.4791 0.0000 0.6937 0.6616 0.7062 0.6543 0.0000 0.00 19460125401.07 19459987734.94 18396854.55 33146887.46 19445237702.03 19445086224.1500 1.0000 0.0247 1.0000 1.0001 1.0001 1.0001 0.0000 C000003412 2500.00 19445237702.03 19445086224.1500 1.0000 1.0001 1.0001 1.0001 0.0000 1844555990.55 1636866873.10 1493168473.34 1595191552.30 1186225263.74 1383265072.60 1020135596.94 1057760495.90 0.00 0.00 5223363141.33 5606377214.20 0.0211 Y The Investment Advisor Reimbursed $106,213.20 of fees during the period FEDERAL HOME LOAN BANKS FHLB 0.875000% 3130A8Y72 2549001DPIFGXC1TOL40 US3130A8Y728 U.S. Government Agency Debt Y 2019-08-05 2019-08-05 2019-08-05 N N N 0.0248 29795820.00 29795820.00 0.0015 N N N N FEDERAL HOME LOAN BANKS FHLB 1.000000% 3130A9EP2 2549001DPIFGXC1TOL40 US3130A9EP21 U.S. Government Agency Debt Y 2019-09-26 2019-09-26 2019-09-26 N N N 0.0251 22428612.18 22428612.18 0.0012 N N N N FEDERAL HOME LOAN BANKS FHLB 2.633000% 3130ABQH2 2549001DPIFGXC1TOL40 US3130ABQH21 U.S. Government Agency Debt Y 2019-04-05 2019-07-05 2019-07-05 N N N 0.0239 19288876.29 19288876.29 0.0010 N N N N FEDERAL HOME LOAN BANKS FHLB 2.399997% 3130ACGJ7 2549001DPIFGXC1TOL40 US3130ACGJ79 U.S. Government Agency Debt Y 2019-03-20 2019-03-20 2019-03-20 N N N 0.0243 87998944.00 87998944.00 0.0045 N N N N FEDERAL HOME LOAN BANKS FHLB 1.500000% 3130ACM92 2549001DPIFGXC1TOL40 US3130ACM925 U.S. Government Agency Debt Y 2019-10-21 2019-10-21 2019-10-21 N N N 0.0257 57311390.50 57311390.50 0.0029 N N N N FEDERAL HOME LOAN BANKS FHLB 2.398996% 3130ACMD3 2549001DPIFGXC1TOL40 US3130ACMD36 U.S. Government Agency Debt Y 2019-03-15 2019-04-15 2019-04-15 N N N 0.0245 79994880.00 79994880.00 0.0041 N N N N FEDERAL HOME LOAN BANKS FHLB 2.379999% 3130ACUJ1 2549001DPIFGXC1TOL40 US3130ACUJ14 U.S. Government Agency Debt Y 2019-03-20 2019-05-20 2019-05-20 N N N 0.0247 104981625.00 104981625.00 0.0054 N N N N FEDERAL HOME LOAN BANKS FHLB 2.369998% 3130ADGD8 2549001DPIFGXC1TOL40 US3130ADGD82 U.S. Government Agency Debt Y 2019-03-25 2019-03-25 2019-03-25 N N N 0.0244 149993400.00 149993400.00 0.0077 N N N N FEDERAL HOME LOAN BANKS FHLB 2.611998% 3130AEHS2 2549001DPIFGXC1TOL40 US3130AEHS26 U.S. Government Agency Debt Y 2019-03-25 2020-06-25 2020-06-25 N N N 0.0247 204814680.00 204814680.00 0.0105 N N N N FEDERAL HOME LOAN BANKS FHLB 2.584998% 3130AEL32 2549001DPIFGXC1TOL40 US3130AEL329 U.S. Government Agency Debt Y 2019-04-06 2020-07-06 2020-07-06 N N N 0.0248 99903400.00 99903400.00 0.0051 N N N N FEDERAL HOME LOAN BANKS FHLB 2.385000% 3130AENG1 2549001DPIFGXC1TOL40 US3130AENG14 U.S. Government Agency Debt Y 2019-03-24 2019-07-24 2019-07-24 N N N 0.0247 54981520.00 54981520.00 0.0028 N N N N FEDERAL HOME LOAN BANKS FHLB 2.385000% 3130AENL0 2549001DPIFGXC1TOL40 US3130AENL09 U.S. Government Agency Debt Y 2019-03-23 2019-07-23 2019-07-23 N N N 0.0247 49983300.00 49983300.00 0.0026 N N N N FEDERAL HOME LOAN BANKS FHLB 2.418998% 3130AETM2 2549001DPIFGXC1TOL40 US3130AETM28 U.S. Government Agency Debt Y 2019-03-27 2020-02-27 2020-02-27 N N N 0.0246 174948200.00 174948200.00 0.0090 N N N N FEDERAL HOME LOAN BANKS FHLB 2.424999% 3130AFBW6 2549001DPIFGXC1TOL40 US3130AFBW66 U.S. Government Agency Debt Y 2019-03-24 2019-04-24 2019-04-24 N N N 0.0246 54997140.00 54997140.00 0.0028 N N N N FEDERAL HOME LOAN BANKS FHLB 2.418998% 3130AFCP0 2549001DPIFGXC1TOL40 US3130AFCP07 U.S. Government Agency Debt Y 2019-03-26 2019-04-26 2019-04-26 N N N 0.0246 54996975.00 54996975.00 0.0028 N N N N FEDERAL HOME LOAN BANKS FHLB 2.500000% 3130AFDT1 2549001DPIFGXC1TOL40 US3130AFDT10 U.S. Government Agency Debt Y 2019-05-20 2019-05-20 2019-05-20 N N N 0.0245 80005440.00 80005440.00 0.0041 N N N N FEDERAL HOME LOAN BANKS FHLB 2.445998% 3130AFGP6 2549001DPIFGXC1TOL40 US3130AFGP60 U.S. Government Agency Debt Y 2019-05-26 2019-11-26 2019-11-26 N N N 0.0242 79998560.00 79998560.00 0.0041 N N N N FEDERAL HOME LOAN BANKS FHLB 2.448997% 3130AFHE0 2549001DPIFGXC1TOL40 US3130AFHE05 U.S. Government Agency Debt Y 2019-03-05 2019-09-05 2019-09-05 N N N 0.0247 169961070.00 169961070.00 0.0087 N N N N FEDERAL HOME LOAN BANKS FHLB 2.426997% 3130AFKM8 2549001DPIFGXC1TOL40 US3130AFKM83 U.S. Government Agency Debt Y 2019-03-21 2020-01-21 2020-01-21 N N N 0.0248 169938120.00 169938120.00 0.0087 N N N N FEDERAL HOME LOAN BANKS FHLB 2.448000% 3130AFMG9 2549001DPIFGXC1TOL40 US3130AFMG97 U.S. Government Agency Debt Y 2019-03-28 2019-06-28 2019-06-28 N N N 0.0247 174985825.00 174985825.00 0.0090 N N N N FEDERAL HOME LOAN BANKS FEDERAL HOME LOAN BANKS 2.435000% 3130AFMH7 2549001DPIFGXC1TOL40 US3130AFMH70 U.S. Government Agency Debt Y 2019-03-20 2019-06-20 2019-06-20 N N N 0.0247 94992780.00 94992780.00 0.0049 N N N N FEDERAL HOME LOAN BANKS FHLB 2.389996% 3130AFQX8 2549001DPIFGXC1TOL40 US3130AFQX84 U.S. Government Agency Debt Y 2019-03-01 2019-07-17 2019-07-17 N N N 0.0242 39995000.00 39995000.00 0.0021 N N N N FEDERAL HOME LOAN BANKS FHLB 2.444997% 3130AFS73 2549001DPIFGXC1TOL40 US3130AFS735 U.S. Government Agency Debt Y 2019-03-01 2020-07-24 2020-07-24 N N N 0.0247 24989325.00 24989325.00 0.0013 N N N N FEDERAL HOME LOAN BANKS FHLB 2.430000% 3130AFUQ8 2549001DPIFGXC1TOL40 US3130AFUQ87 U.S. Government Agency Debt Y 2019-06-06 2019-06-06 2019-06-06 N N N 0.0247 124986250.00 124986250.00 0.0064 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312CR9 US313312CR98 U.S. Government Agency Debt Y 2019-03-05 2019-03-05 2019-03-05 N N N 0.0241 39989440.00 39989440.00 0.0021 N N Y N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312CX6 US313312CX66 U.S. Government Agency Debt Y 2019-03-11 2019-03-11 2019-03-11 N N N 0.0241 7994712.00 7994712.00 0.0004 N N Y N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312DE7 US313312DE76 U.S. Government Agency Debt Y 2019-03-18 2019-03-18 2019-03-18 N N N 0.0242 6992132.00 6992132.00 0.0004 N N Y N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312DF4 US313312DF42 U.S. Government Agency Debt Y 2019-03-19 2019-03-19 2019-03-19 N N N 0.0242 4994050.00 4994050.00 0.0003 N N Y N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312DJ6 US313312DJ63 U.S. Government Agency Debt Y 2019-03-22 2019-03-22 2019-03-22 N N N 0.0242 10984732.00 10984732.00 0.0006 N N Y N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312DQ0 US313312DQ07 U.S. Government Agency Debt Y 2019-03-28 2019-03-28 2019-03-28 N N N 0.0242 14973225.00 14973225.00 0.0008 N N Y N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312DY3 US313312DY31 U.S. Government Agency Debt Y 2019-04-05 2019-04-05 2019-04-05 N N N 0.0245 4988285.00 4988285.00 0.0003 N N Y N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312EC0 US313312EC02 U.S. Government Agency Debt Y 2019-04-09 2019-04-09 2019-04-09 N N N 0.0245 15958224.00 15958224.00 0.0008 N N Y N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312EC0 US313312EC02 U.S. Government Agency Debt Y 2019-04-09 2019-04-09 2019-04-09 N N N 0.0245 19947780.00 19947780.00 0.0010 N N Y N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312ED8 US313312ED84 U.S. Government Agency Debt Y 2019-04-10 2019-04-10 2019-04-10 N N N 0.0245 11967864.00 11967864.00 0.0006 N N Y N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312EF3 US313312EF33 U.S. Government Agency Debt Y 2019-04-12 2019-04-12 2019-04-12 N N N 0.0245 2991564.00 2991564.00 0.0002 N N Y N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312EM8 US313312EM83 U.S. Government Agency Debt Y 2019-04-18 2019-04-18 2019-04-18 N N N 0.0245 18938953.00 18938953.00 0.0010 N N Y N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312EU0 US313312EU00 U.S. Government Agency Debt Y 2019-04-25 2019-04-25 2019-04-25 N N N 0.0245 25904268.00 25904268.00 0.0013 N N Y N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312EZ9 US313312EZ96 U.S. Government Agency Debt Y 2019-04-30 2019-04-30 2019-04-30 N N N 0.0245 4979915.00 4979915.00 0.0003 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312FB1 US313312FB10 U.S. Government Agency Debt Y 2019-05-02 2019-05-02 2019-05-02 N N N 0.0246 4979160.00 4979160.00 0.0003 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312FC9 US313312FC92 U.S. Government Agency Debt Y 2019-05-03 2019-05-03 2019-05-03 N N N 0.0246 13940710.00 13940710.00 0.0007 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312FH8 US313312FH89 U.S. Government Agency Debt Y 2019-05-08 2019-05-08 2019-05-08 N N N 0.0246 19908580.00 19908580.00 0.0010 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312FV7 US313312FV73 U.S. Government Agency Debt Y 2019-05-20 2019-05-20 2019-05-20 N N N 0.0247 6962354.00 6962354.00 0.0004 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312FW5 US313312FW56 U.S. Government Agency Debt Y 2019-05-21 2019-05-21 2019-05-21 N N N 0.0247 34809425.00 34809425.00 0.0018 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312FY1 US313312FY13 U.S. Government Agency Debt Y 2019-05-23 2019-05-23 2019-05-23 N N N 0.0247 8949789.00 8949789.00 0.0005 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312GD6 US313312GD66 U.S. Government Agency Debt Y 2019-05-28 2019-05-28 2019-05-28 N N N 0.0247 19881680.00 19881680.00 0.0010 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312GZ7 US313312GZ78 U.S. Government Agency Debt Y 2019-06-17 2019-06-17 2019-06-17 N N N 0.0249 14890200.00 14890200.00 0.0008 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312HX1 US313312HX12 U.S. Government Agency Debt Y 2019-07-09 2019-07-09 2019-07-09 N N N 0.0253 19821620.00 19821620.00 0.0010 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312JQ4 US313312JQ43 U.S. Government Agency Debt Y 2019-07-26 2019-07-26 2019-07-26 N N N 0.0253 13858796.00 13858796.00 0.0007 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312KH2 US313312KH25 U.S. Government Agency Debt Y 2019-08-12 2019-08-12 2019-08-12 N N N 0.0255 14829855.00 14829855.00 0.0008 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312KX7 US313312KX74 U.S. Government Agency Debt Y 2019-08-26 2019-08-26 2019-08-26 N N N 0.0256 14815320.00 14815320.00 0.0008 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312LF5 US313312LF59 U.S. Government Agency Debt Y 2019-09-03 2019-09-03 2019-09-03 N N N 0.0256 19742700.00 19742700.00 0.0010 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312LN8 US313312LN83 U.S. Government Agency Debt Y 2019-09-10 2019-09-10 2019-09-10 N N N 0.0256 24666275.00 24666275.00 0.0013 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312LU2 US313312LU27 U.S. Government Agency Debt Y 2019-09-16 2019-09-16 2019-09-16 N N N 0.0256 12821068.00 12821068.00 0.0007 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312LV0 US313312LV00 U.S. Government Agency Debt Y 2019-09-17 2019-09-17 2019-09-17 N N N 0.0256 24654175.00 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2019-03-08 N N N 0.0241 59972220.00 59972220.00 0.0031 N N Y N FEDERAL HOME LOAN BANKS FHLB 313384ED7 2549001DPIFGXC1TOL40 US313384ED79 U.S. Government Agency Debt Y 2019-04-10 2019-04-10 2019-04-10 N N N 0.0245 49866100.00 49866100.00 0.0026 N N Y N FEDERAL HOME LOAN BANKS FHLB 313384EF2 2549001DPIFGXC1TOL40 US313384EF28 U.S. Government Agency Debt Y 2019-04-12 2019-04-12 2019-04-12 N N N 0.0245 44873460.00 44873460.00 0.0023 N N Y N FEDERAL HOME LOAN BANKS FHLB 313384ER6 2549001DPIFGXC1TOL40 US313384ER65 U.S. Government Agency Debt Y 2019-04-22 2019-04-22 2019-04-22 N N N 0.0245 34878165.00 34878165.00 0.0018 N N Y N FEDERAL HOME LOAN BANKS FHLB 313384ET2 2549001DPIFGXC1TOL40 US313384ET22 U.S. Government Agency Debt Y 2019-04-24 2019-04-24 2019-04-24 N N N 0.0245 29891550.00 29891550.00 0.0015 N N Y N FEDERAL HOME LOAN BANKS FHLB 313384ET2 2549001DPIFGXC1TOL40 US313384ET22 U.S. Government Agency Debt Y 2019-04-24 2019-04-24 2019-04-24 N N N 0.0245 184331225.00 184331225.00 0.0095 N N 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Agency Debt Y 2019-06-19 2019-06-19 2019-06-19 N N N 0.0249 18858336.00 18858336.00 0.0010 N N N N FEDERAL HOME LOAN BANKS FHLB 313384HB8 2549001DPIFGXC1TOL40 US313384HB86 U.S. Government Agency Debt Y 2019-06-19 2019-06-19 2019-06-19 N N N 0.0249 64515360.00 64515360.00 0.0033 N N N N FEDERAL HOME LOAN BANKS FHLB 313384HD4 2549001DPIFGXC1TOL40 US313384HD43 U.S. Government Agency Debt Y 2019-06-21 2019-06-21 2019-06-21 N N N 0.0249 173671575.00 173671575.00 0.0089 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 2.428747% 3133EH5H2 US3133EH5H21 U.S. Government Agency Debt Y 2019-03-02 2020-01-02 2020-01-02 N N N 0.0247 79955280.00 79955280.00 0.0041 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 2.424999% 3133EH5M1 US3133EH5M16 U.S. Government Agency Debt Y 2019-03-01 2020-01-03 2020-01-03 N N N 0.0245 54988285.00 54988285.00 0.0028 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 2.398878% 3133EH6Z1 US3133EH6Z10 U.S. Government Agency Debt Y 2019-03-16 2019-10-16 2019-10-16 N N N 0.0244 39992640.00 39992640.00 0.0021 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 2.419999% 3133EHLW1 US3133EHLW16 U.S. Government Agency Debt Y 2019-03-01 2019-06-06 2019-06-06 N N N 0.0243 7999776.00 7999776.00 0.0004 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 2.417878% 3133EHR21 US3133EHR218 U.S. Government Agency Debt Y 2019-03-13 2019-11-13 2019-11-13 N N N 0.0247 79966800.00 79966800.00 0.0041 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 2.439129% 3133EHSX2 US3133EHSX26 U.S. Government Agency Debt Y 2019-03-01 2019-08-01 2019-08-01 N N N 0.0243 34998460.00 34998460.00 0.0018 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 2.389996% 3133EHY64 US3133EHY644 U.S. Government Agency Debt Y 2019-03-01 2019-09-04 2019-09-04 N N N 0.0241 74993625.00 74993625.00 0.0039 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 2.450379% 3133EJ3K3 US3133EJ3K32 U.S. Government Agency Debt Y 2019-03-20 2020-03-20 2020-03-20 N N N 0.0247 174986000.00 174986000.00 0.0090 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 2.482246% 3133EJ4M8 US3133EJ4M88 U.S. Government Agency Debt Y 2019-03-07 2020-01-07 2020-01-07 N N N 0.0249 79979840.00 79979840.00 0.0041 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 2.493748% 3133EJ4V8 US3133EJ4V87 U.S. Government Agency Debt Y 2019-03-14 2020-04-14 2020-04-14 N N N 0.0247 65013715.00 65013715.00 0.0033 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 2.458749% 3133EJ4Z9 US3133EJ4Z91 U.S. Government Agency Debt Y 2019-03-15 2020-01-15 2020-01-15 N N N 0.0249 109971510.00 109971510.00 0.0057 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 2.422879% 3133EJCV9 US3133EJCV99 U.S. Government Agency Debt Y 2019-03-13 2020-02-13 2020-02-13 N N N 0.0246 49979900.00 49979900.00 0.0026 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 2.428747% 3133EJD71 US3133EJD719 U.S. Government Agency Debt Y 2019-03-03 2019-10-03 2019-10-03 N N N 0.0244 124978125.00 124978125.00 0.0064 N N N N FEDERAL FARM CREDIT 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GOVERNMENT NATIONAL MORTGAGE A 2046-08-20 3.000000 43888937.00 32787068.91 Agency Mortgage-Backed Securities GNMA 2047-03-20 3.999999 3312907.00 2261558.13 Agency Mortgage-Backed Securities GNMA 2047-12-20 3.000000 2264066.00 2074395.64 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE A 2048-02-20 3.999999 7430178.00 6982576.39 Agency Mortgage-Backed Securities GNMA 2048-02-20 3.500000 10235399.00 9747289.21 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE A 2048-04-20 3.500000 1828079.00 1740699.44 Agency Mortgage-Backed Securities GNMA 2048-04-20 5.000000 7839672.00 6997673.07 Agency Mortgage-Backed Securities GNMA 2048-05-20 4.500000 57473205.00 56742060.92 Agency Mortgage-Backed Securities GNMA 2048-09-20 3.999999 1000.00 1014.88 Agency Mortgage-Backed Securities GNMA 2048-10-20 4.000000 49593427.00 50595617.20 Agency Mortgage-Backed Securities GNMA 2048-11-20 3.999999 7792963.00 7978646.54 Agency Mortgage-Backed Securities GNMA 2048-11-20 3.500000 415548.00 419103.47 Agency Mortgage-Backed Securities GNMA 2048-11-20 4.000000 3732600.00 3831392.40 Agency Mortgage-Backed Securities GNMA 2048-11-20 4.000000 1334648.00 1369972.73 Agency Mortgage-Backed Securities GNMA 2047-10-20 4.000000 7560248.00 7333580.11 Agency Mortgage-Backed Securities GNMA 2048-10-20 5.500000 3999877.00 4285102.80 Agency Mortgage-Backed Securities GNMA 2048-11-20 5.000000 7532471.00 7853063.34 Agency Mortgage-Backed Securities GNMA 2048-10-20 4.500000 1070427.00 1123595.40 Agency Mortgage-Backed Securities GNMA 2046-01-15 3.500000 5350.00 5114.73 Agency Mortgage-Backed Securities Government National Mortgage Association - GNMA - Ginnie Mae 2040-09-20 4.500000 20628274.00 1198254.72 Agency Mortgage-Backed Securities GNMA 2043-10-20 4.245000 1006.00 972.55 Agency Mortgage-Backed Securities GNMA 2045-03-15 3.500000 11211189.00 8929556.91 Agency Mortgage-Backed Securities GNMA 2047-12-15 4.000000 8329.00 7609.65 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE - F 2036-03-01 5.500000 3667688.00 111108.46 Agency Mortgage-Backed Securities FMAC 2030-02-01 3.000000 196211.00 99876.14 Agency Mortgage-Backed Securities FMAC 2048-02-01 3.000000 75681881.00 70145597.99 Agency Mortgage-Backed Securities FMAC 2046-09-01 3.000000 83006.00 66613.36 Agency Mortgage-Backed Securities FMAC 2030-04-01 3.000000 1500000.00 769971.17 Agency Mortgage-Backed Securities FMAC 2028-01-01 6.500000 44820.00 2823.59 Agency Mortgage-Backed Securities FMAC 2028-03-01 5.500000 2404332.00 58728.10 Agency Mortgage-Backed Securities FMAC 2029-01-01 4.500000 3000000.00 74677.75 Agency Mortgage-Backed Securities FMAC 2030-01-01 4.500000 500000.00 44454.63 Agency Mortgage-Backed Securities FMAC 2031-01-01 4.500000 900000.00 180975.99 Agency Mortgage-Backed Securities FMAC 2031-05-01 4.500000 381299.00 66630.14 Agency Mortgage-Backed Securities FMAC 2035-09-01 3.500000 350000.00 205788.46 Agency Mortgage-Backed Securities FMAC 2035-09-01 4.000000 320000.00 191916.79 Agency Mortgage-Backed Securities FMAC 2022-04-01 5.500000 2752298.00 50231.47 Agency Mortgage-Backed Securities FMAC 2020-02-01 4.000000 2600000.00 25900.42 Agency Mortgage-Backed Securities FMAC 2020-04-01 4.000000 2290390.00 28492.02 Agency Mortgage-Backed Securities Federal Home Loan Mortgage - FHLMC - Freddie Mac 2025-04-01 3.999999 2778296.00 334423.10 Agency Mortgage-Backed Securities FMAC 2021-03-01 4.000000 1058231.00 20152.60 Agency Mortgage-Backed Securities FMAC 2026-10-01 3.000000 77000.00 15145.78 Agency Mortgage-Backed Securities FMAC 2027-03-01 3.000000 385005.00 87103.81 Agency Mortgage-Backed Securities FMAC 2022-07-01 3.000000 868367.00 118702.37 Agency Mortgage-Backed Securities FMAC 2036-01-01 4.223000 26970.00 284.59 Agency Mortgage-Backed Securities Federal Home Loan Mortgage - FHLMC - Freddie Mac 2037-08-01 4.365000 7938.00 176.12 Agency Mortgage-Backed Securities Federal Home Loan Mortgage - FHLMC - Freddie Mac 2032-07-01 7.000000 573582.00 5786.65 Agency Mortgage-Backed Securities FMAC 2032-12-01 5.500000 4200000.00 62536.39 Agency Mortgage-Backed Securities FMAC 2040-06-01 4.500000 2550000.00 266352.81 Agency Mortgage-Backed Securities FMAC 2043-01-01 3.500000 500000.00 219393.29 Agency Mortgage-Backed Securities FMAC 2039-08-01 4.500000 395000.00 47841.03 Agency Mortgage-Backed Securities FMAC 2039-07-01 4.000000 510000.00 155470.75 Agency Mortgage-Backed Securities FMAC 2039-08-01 4.000000 259000.00 65985.63 Agency Mortgage-Backed Securities Federal Home Loan Mortgage - FHLMC - Freddie Mac 2039-09-01 4.500000 550345.00 55824.59 Agency Mortgage-Backed Securities FMAC 2039-12-01 4.500000 5325000.00 1192428.51 Agency Mortgage-Backed Securities FMAC 2040-01-01 4.500000 580003.00 77815.69 Agency Mortgage-Backed Securities FMAC 2040-05-01 4.500000 520092.00 68059.10 Agency Mortgage-Backed Securities FMAC 2040-08-01 4.500000 560000.00 69037.77 Agency Mortgage-Backed Securities FMAC 2040-08-01 4.500000 3735000.00 489756.20 Agency Mortgage-Backed Securities Federal Home Loan Mortgage - FHLMC - Freddie Mac 2040-10-01 3.999999 496000.00 148154.98 Agency Mortgage-Backed Securities FMAC 2041-01-01 4.000000 218080.00 78231.20 Agency Mortgage-Backed Securities FMAC 2041-02-01 5.000000 557116.00 71461.81 Agency Mortgage-Backed Securities FMAC 2041-02-01 5.000000 812435.00 104743.06 Agency Mortgage-Backed Securities FMAC 2041-02-01 4.500000 322578.00 86931.17 Agency Mortgage-Backed Securities FMAC 2041-03-01 4.500000 6745048.00 1934104.82 Agency Mortgage-Backed Securities FMAC 2041-03-01 4.500000 1525000.00 190690.93 Agency Mortgage-Backed Securities FMAC 2041-03-01 4.500000 3341756.00 1245734.84 Agency Mortgage-Backed Securities FMAC 2041-04-01 5.000000 1159104.00 226993.89 Agency Mortgage-Backed Securities FMAC 2019-07-01 4.000000 7380992.00 17501.41 Agency Mortgage-Backed Securities FMAC 2033-08-01 6.000000 800000.00 64033.54 Agency Mortgage-Backed Securities FMAC 2033-09-01 6.000000 1500000.00 132960.71 Agency Mortgage-Backed Securities FMAC 2020-03-01 5.500000 5157879.00 35587.43 Agency Mortgage-Backed Securities FMAC 2034-12-01 6.000000 2525000.00 92702.78 Agency Mortgage-Backed Securities FMAC 2041-03-01 3.431000 14471743.00 2360688.31 Agency Mortgage-Backed Securities FMAC 2022-11-01 3.000000 500000.00 89741.40 Agency Mortgage-Backed Securities FMAC 2028-02-01 2.500000 260000.00 93089.16 Agency Mortgage-Backed Securities FMAC 2023-02-01 3.000000 418539.00 70062.17 Agency Mortgage-Backed Securities FMAC 2028-08-01 3.000000 238000.00 99357.75 Agency Mortgage-Backed Securities FMAC 2028-09-01 2.000000 152379.00 69536.71 Agency Mortgage-Backed Securities FMAC 2028-11-01 2.500000 157000.00 91712.73 Agency Mortgage-Backed Securities FMAC 2029-01-01 3.000000 450000.00 211536.83 Agency Mortgage-Backed Securities FMAC 2030-05-01 3.000000 474468.00 272403.58 Agency Mortgage-Backed Securities FMAC 2032-03-01 3.000000 3178204.00 2837097.30 Agency Mortgage-Backed Securities FMAC 2042-06-01 4.000000 379000.00 140946.11 Agency Mortgage-Backed Securities FMAC 2028-10-01 4.000000 2208.00 769.60 Agency Mortgage-Backed Securities FMAC 2048-09-01 4.500000 4090537.00 4193696.70 Agency Mortgage-Backed Securities Federal Home Loan Mortgage - FHLMC - Freddie Mac 2034-02-01 4.000000 16318.00 4269.94 Agency Mortgage-Backed Securities Federal Home Loan Mortgage - FHLMC - Freddie Mac 2043-12-01 4.000000 2448000.00 839594.71 Agency Mortgage-Backed Securities FMAC 2044-03-01 5.000000 90028.00 19449.40 Agency Mortgage-Backed Securities FMAC 2045-06-01 3.500000 1493432.00 1085301.41 Agency Mortgage-Backed Securities FMAC 2046-04-01 4.000000 19404064.00 14681903.26 Agency Mortgage-Backed Securities FMAC 2046-08-01 3.000000 268811.00 216511.39 Agency Mortgage-Backed Securities FMAC 2046-11-01 3.500000 795274.00 773148.49 Agency Mortgage-Backed Securities FMAC 2047-02-01 4.000000 350405.00 274041.88 Agency Mortgage-Backed Securities FMAC 2048-10-01 5.000000 176738.00 188994.97 Agency Mortgage-Backed Securities FMAC 2048-11-01 5.000000 246700.00 264595.44 Agency Mortgage-Backed Securities FMAC 2042-10-01 4.500000 23081.00 16032.55 Agency Mortgage-Backed Securities FMAC 2046-11-01 3.000000 2083.00 1711.63 Agency Mortgage-Backed Securities UNITED STATES TREASURY 254900HROIFWPRGM1V77 2019-07-05 0.00 28300.00 28059.45 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2023-08-15 0.00 70000.00 62602.40 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2048-08-15 0.00 100.00 40.04 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2021-02-15 7.875000 100.00 110.40 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2024-09-30 2.125000 100.00 98.72 U.S. Treasuries (including strips) U.S. TREASURY 254900HROIFWPRGM1V77 2020-11-15 1.750000 400.00 396.78 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2025-03-31 2.625000 1000.00 1014.13 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-08-15 2.750000 696400.00 701196.50 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2025-10-31 3.000000 8411100.00 8705023.80 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2025-11-30 2.875000 85994000.00 88113624.53 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2022-03-31 1.750000 10198000.00 10053419.03 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2020-03-31 1.375000 6440800.00 6397685.18 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2023-04-30 1.625000 41600.00 40392.63 U.S. Treasuries (including strips) U.S. TREASURY 254900HROIFWPRGM1V77 2023-12-31 2.250000 100.00 99.22 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2035-02-15 0.00 442585.87 276306.36 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-04-30 1.375000 7379500.00 7237577.54 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2020-11-30 2.000000 18451900.00 18372428.68 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2021-08-15 8.125000 100.00 113.51 U.S. Treasuries (including strips) FMAC 2045-07-01 4.500000 169855.00 135571.00 Agency Mortgage-Backed Securities Federal Home Loan Mortgage - FHLMC - Freddie Mac 2041-06-01 4.500000 4202687.00 844262.90 Agency Mortgage-Backed Securities Federal Home Loan Mortgage - FHLMC - Freddie Mac 2034-04-01 6.500000 1000000.00 103100.66 Agency Mortgage-Backed Securities Federal Home Loan Mortgage - FHLMC - Freddie Mac 2025-10-01 3.500000 1019.00 71.09 Agency Mortgage-Backed Securities Federal Home Loan Mortgage - FHLMC - Freddie Mac 2041-03-01 4.500000 1525000.00 217016.47 Agency Mortgage-Backed Securities Federal Home Loan Mortgage - FHLMC - Freddie Mac 2041-02-01 4.500000 547000.00 88494.37 Agency Mortgage-Backed Securities Federal Home Loan Mortgage - FHLMC - Freddie Mac 2041-02-01 4.500000 1178801.00 155087.51 Agency Mortgage-Backed Securities Federal Home Loan Mortgage - FHLMC - Freddie Mac 2040-08-01 4.000000 42718527.00 4323760.08 Agency Mortgage-Backed Securities Federal Home Loan Mortgage - FHLMC - Freddie Mac 2039-12-01 4.500000 1046218.00 128894.41 Agency Mortgage-Backed Securities Federal Home Loan Mortgage - FHLMC - Freddie Mac 2039-01-01 6.500000 1843193.00 88561.87 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE - F 2045-02-01 4.000000 802000.00 295028.32 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE - F 2044-09-01 4.500000 355096.00 132277.62 Agency Mortgage-Backed Securities Federal Home Loan Mortgage - FHLMC - Freddie Mac 2040-09-01 5.000000 557536.00 92043.22 Agency Mortgage-Backed Securities Federal Home Loan Mortgage - FHLMC - Freddie Mac 2027-03-01 3.000000 398373.00 106953.54 Agency Mortgage-Backed Securities FMAC 2037-04-01 3.500000 3456164.00 2855235.73 Agency Mortgage-Backed Securities Federal Home Loan Mortgage - FHLMC - Freddie Mac 2030-09-01 4.500000 820000.00 120120.72 Agency Mortgage-Backed Securities Federal Home Loan Mortgage - FHLMC - Freddie Mac 2029-11-01 4.500000 565330.00 46711.95 Agency Mortgage-Backed Securities Federal Home Loan Mortgage - FHLMC - Freddie Mac 2028-07-01 5.500000 2264412.00 55076.30 Agency Mortgage-Backed Securities Federal Home Loan Mortgage - FHLMC - Freddie Mac 2034-03-01 4.000000 35145000.00 15912541.07 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE - F 2034-02-01 3.500000 13283962.00 6583764.89 Agency Mortgage-Backed Securities Federal Home Loan Mortgage - FHLMC - Freddie Mac 2043-04-01 3.000000 2002903.00 1129286.01 Agency Mortgage-Backed Securities Federal Home Loan Mortgage - FHLMC - Freddie Mac 2043-08-01 4.000000 145000.00 47015.04 Agency Mortgage-Backed Securities Federal Home Loan Mortgage - FHLMC - Freddie Mac 2036-08-01 6.500000 100000000.00 822245.59 Agency Mortgage-Backed Securities Federal Home Loan Mortgage - FHLMC - Freddie Mac 2034-03-01 5.500000 32749440.00 785432.66 Agency Mortgage-Backed Securities GNMA 2045-03-15 4.000000 1912370.00 1391782.06 Agency Mortgage-Backed Securities Government National Mortgage Association - GNMA - Ginnie Mae 2040-03-15 4.500000 12500000.00 1492682.09 Agency Mortgage-Backed Securities GNMA 2047-12-20 3.000000 18327.00 16786.61 Agency Mortgage-Backed Securities Y 2019-03-25 2019-03-25 2019-03-25 N N N 0.0244 700000000.00 700000000.00 0.0360 N N N Y NATWEST MARKETS SECURITIES INC TRI-PARTY NATWEST MARKETS SECURITI 2.390000% BNT57GVH3 ZE2ZWJ5BTIQJ8M0C6K34 0 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 254900HROIFWPRGM1V77 2021-01-31 2.509526 67725900.00 67814913.43 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2019-04-30 1.250000 66470500.00 66602752.79 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-07-31 2.020859 63275300.00 63353438.50 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2040-02-15 4.625000 61148500.00 76970302.08 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2041-02-15 4.750000 24839400.00 31819937.13 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2045-08-15 2.875000 67325700.00 64821484.14 U.S. Treasuries (including strips) U.S. TREASURY 254900HROIFWPRGM1V77 2027-08-15 2.250000 76913100.00 74457188.65 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2024-09-30 2.125000 67399100.00 66421627.52 U.S. Treasuries (including strips) U.S. TREASURY 254900HROIFWPRGM1V77 2020-12-15 1.875000 75901100.00 75294523.01 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2024-12-31 2.250000 66585400.00 65613394.79 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2023-11-30 2.875000 68365800.00 69911927.88 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2026-01-31 2.625000 65952000.00 66107804.13 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2021-08-31 2.000000 70377300.00 69482100.74 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2025-02-15 2.000000 73478000.00 71096595.07 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2020-01-15 1.375000 46295000.00 54280738.22 U.S. Treasuries (including strips) US TREASURY N/B 2020-05-15 3.500000 68899900.00 70344588.54 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2023-07-31 1.250000 75145400.00 71204388.29 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2023-11-15 2.750000 74982000.00 76277053.06 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2020-07-31 1.625000 74005400.00 73125246.83 U.S. Treasuries (including strips) Y 2019-03-06 2019-03-06 2019-03-06 N N N 0.0239 1250000000.00 1250000000.00 0.0643 N N Y N NATWEST MARKETS SECURITIES INC TRI-PARTY NATWEST MARKETS SECURITI 2.400000% BNT57GVJ9 ZE2ZWJ5BTIQJ8M0C6K34 0 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N USTR 254900HROIFWPRGM1V77 2021-12-15 2.625000 177277000.00 178803648.16 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-02-28 2.500000 76233600.00 76196398.00 U.S. Treasuries (including strips) Y 2019-03-06 2019-03-06 2019-03-06 N N N 0.0240 250000000.00 250000000.00 0.0129 N N Y N ROYAL BANK OF CANADA (NEW YORK BRANCH) TRI-PARTY ROYAL BANK OF CANADA (NE 2.400000% BNT57GVM2 ES7IP3U3RHIGC71XBU11 0 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FMAC 2032-09-01 3.500000 88522.00 76785.98 Agency Mortgage-Backed Securities FMAC 2033-03-01 3.000000 1742204.00 1569688.81 Agency Mortgage-Backed Securities FMAC 2049-01-01 4.500000 567249.00 594239.77 Agency Mortgage-Backed Securities FMAC 2047-09-01 4.500000 3337795.00 3025842.09 Agency Mortgage-Backed Securities FMAC 2042-07-01 3.500000 125027.00 76508.99 Agency Mortgage-Backed Securities FMAC 2047-05-01 3.000000 5147676.00 4912450.27 Agency Mortgage-Backed Securities FNMA 2047-08-01 3.500000 2035871.00 1839794.09 Agency Mortgage-Backed Securities FNMA 2048-01-01 4.000000 5589185.00 5210349.57 Agency Mortgage-Backed Securities FNMA 2049-01-01 4.500000 52967680.00 55544012.57 Agency Mortgage-Backed Securities FNMA 2042-07-01 3.500000 43418847.00 20609267.78 Agency Mortgage-Backed Securities FNMA 2048-03-01 3.999999 5154701.00 4858127.26 Agency Mortgage-Backed Securities GNMA 2042-04-20 3.500000 2823086.00 1617825.10 Agency Mortgage-Backed Securities GNMA 2048-12-20 6.000000 1426490.00 1530213.79 Agency Mortgage-Backed Securities GNMA 2049-02-20 4.500000 131749.00 138220.64 Agency Mortgage-Backed Securities GNMA 2049-02-20 4.500000 25215705.00 26430068.13 Agency Mortgage-Backed Securities GNMA 2049-02-20 4.500000 23792001.00 24859452.91 Agency Mortgage-Backed Securities FMAC 2048-12-01 4.000000 28776770.00 29075661.20 Agency Mortgage-Backed Securities FMAC 2039-09-01 4.630000 518662.00 55013.54 Agency Mortgage-Backed Securities FMAC 2036-02-01 4.380000 3180000.00 137310.67 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE - F 2038-02-01 4.143000 2718.00 989.47 Agency Mortgage-Backed Securities FMAC 2038-06-01 3.962000 16622431.00 3649714.66 Agency Mortgage-Backed Securities FMAC 2039-12-01 4.433000 23074693.00 4878327.64 Agency Mortgage-Backed Securities FMAC 2038-06-01 4.093000 808527.00 480713.90 Agency Mortgage-Backed Securities FMAC 2045-01-01 2.892000 5005796.00 2053622.93 Agency Mortgage-Backed Securities FMAC 2044-11-01 3.004000 3017698.00 722286.78 Agency Mortgage-Backed Securities FMAC 2045-12-01 2.507000 8958455.00 4211995.50 Agency Mortgage-Backed Securities FMAC 2046-07-01 2.465000 3761549.00 1505198.75 Agency Mortgage-Backed Securities FMAC 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454090.04 Agency Debentures and Agency Strips Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2030-05-15 7.250000 1162000.00 1642939.08 Agency Debentures and Agency Strips Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2030-11-15 6.625000 1702000.00 2310347.32 Agency Debentures and Agency Strips Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2020-06-22 1.500000 166000.00 164146.28 Agency Debentures and Agency Strips Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2020-11-30 1.500000 92000.00 90708.01 Agency Debentures and Agency Strips Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2020-12-28 1.875000 37000.00 36674.14 Agency Debentures and Agency Strips FNMA 2021-02-26 1.375000 2000.00 1955.35 Agency Debentures and Agency Strips FNMA 2026-04-24 2.125000 48402000.00 46508583.67 Agency Debentures and Agency Strips FNMA 2021-05-06 1.250000 6000.00 5866.89 Agency Debentures and Agency Strips FNMA 2026-09-24 1.875000 50000.00 47079.69 Agency Debentures and Agency Strips Federal Home Loan Bank System - FHLB 2025-06-13 2.875000 5185000.00 5233244.27 Agency Debentures and Agency Strips FNMA 2019-10-24 1.000000 5156000.00 5122256.28 Agency Debentures and Agency Strips FNMA 2022-04-05 1.875000 225000.00 222154.86 Agency Debentures and Agency Strips FNMA 2020-07-30 1.500000 500000.00 493174.83 Agency Debentures and Agency Strips Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2024-09-06 2.625000 10826000.00 10946608.85 Agency Debentures and Agency Strips FNMA 2028-03-23 6.120000 185000.00 233705.32 Agency Debentures and Agency Strips Federal Home Loan Mortgage - FHLMC - Freddie Mac 2019-03-27 3.750000 30000.00 30502.11 Agency Debentures and Agency Strips Federal Home Loan Mortgage - FHLMC - Freddie Mac 2022-01-13 2.375000 374000.00 373243.30 Agency Debentures and Agency Strips Federal Home Loan Mortgage - FHLMC - Freddie Mac 2019-05-30 1.750000 305000.00 305748.10 Agency Debentures and Agency Strips Federal Home Loan Mortgage - FHLMC - Freddie Mac 2019-08-01 1.250000 2000.00 1991.19 Agency Debentures and Agency Strips Federal Home Loan Mortgage - FHLMC - Freddie Mac 2020-05-01 1.375000 133000.00 131817.46 Agency Debentures and Agency Strips FMAC 2019-04-15 1.125000 20000.00 20049.98 Agency Debentures and Agency Strips FMAC 2021-08-12 1.125000 50000.00 48391.65 Agency Debentures and Agency Strips FMAC 2020-04-20 1.375000 205000.00 203295.61 Agency Debentures and Agency Strips FMAC 2020-09-29 1.625000 644000.00 638904.48 Agency Debentures and Agency Strips FMAC 2021-02-16 2.375000 235000.00 234457.07 Agency Debentures and Agency Strips FHLB 2019-05-13 2.380000 100000.00 99993.00 Agency Debentures and Agency Strips Department of the Treasury 254900HROIFWPRGM1V77 2039-02-15 0.00 5490000.00 3057726.87 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2042-08-15 0.00 39500000.00 19075932.50 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2043-02-15 0.00 24400000.00 11572676.00 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2020-02-15 0.00 3160000.00 3083607.00 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-12-15 2.625000 96088400.00 96915880.04 U.S. Treasuries (including strips) TSY INFL IX N/B 2019-07-15 1.875000 237058400.00 282550927.40 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2031-08-15 0.00 3896000.00 2717311.95 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2033-02-15 0.00 4378000.00 2910638.87 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2035-08-15 0.00 3920000.00 2397475.92 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2036-02-15 0.00 38578000.00 23240698.85 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2037-02-15 0.00 10456000.00 6109482.62 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2022-02-15 0.00 3040668.75 2819599.97 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2022-08-15 0.00 3041668.75 2782631.11 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2023-02-15 0.00 3040008.75 2746185.82 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2023-08-15 0.00 3276223.75 2919813.20 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2024-02-15 0.00 3057223.75 2689036.18 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2024-08-15 0.00 2892223.75 2508275.26 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2025-02-15 0.00 3116223.75 2663184.03 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2025-08-15 0.00 3282190.62 2762363.83 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2026-02-15 0.00 3034215.63 2517370.37 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2026-08-15 0.00 3036765.63 2482974.98 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2027-02-15 0.00 3011758.13 2423215.42 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2027-08-15 0.00 3046245.00 2410015.41 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2030-02-15 0.00 2104390.95 1539888.08 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2030-08-15 0.00 6422125.00 4623114.39 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2037-05-15 0.00 5449000.00 3160539.88 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2038-02-15 0.00 12303000.00 6955119.66 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2039-02-15 0.00 6783000.00 3699760.22 U.S. Treasuries (including strips) Y 2019-03-01 2019-03-01 2019-03-01 N N N 0.0256 645000000.00 645000000.00 0.0332 N Y Y N NOMURA SECURITIES INTERNATIONAL INC TRI-PARTY NOMURA SECURITIES INTERN 2.560000% BNT57K6Z2 OXTKY6Q8X53C9ILVV871 0 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-01-02 0.00 19158300.00 18755535.06 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2020-05-15 0.00 2000.00 1940.44 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2031-02-15 0.00 2000.00 1441.26 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2039-02-15 0.00 698600.00 390932.37 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2048-02-15 0.00 200.00 81.14 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2021-11-15 8.000000 5875700.00 6850434.09 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2022-08-15 7.250000 24000.00 27799.36 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2040-02-15 2.125000 5625700.00 7863727.52 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2041-02-15 4.750000 28737500.00 36949464.81 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2044-02-15 3.625000 199874500.00 220019410.25 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2044-02-15 1.375000 2599900.00 2964854.40 U.S. Treasuries (including strips) U.S. TREASURY 254900HROIFWPRGM1V77 2046-05-15 2.500000 841900.00 759266.15 U.S. Treasuries (including strips) U.S. TREASURY 254900HROIFWPRGM1V77 2046-05-15 2.500000 542900.00 489613.48 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2046-08-15 2.250000 394315500.00 334548315.39 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2046-11-15 2.875000 16474300.00 16033828.09 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2046-11-15 2.875000 6568900.00 6393267.90 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2048-08-15 3.000000 36100.00 35641.11 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2019-11-15 0.00 71400.00 70123.37 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2024-12-31 2.250000 52723800.00 52055848.87 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-06-15 2.625000 19020800.00 19177886.20 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2025-01-15 0.250000 4325800.00 4486524.55 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2020-11-30 1.625000 19115100.00 18893323.88 U.S. Treasuries (including strips) TSY INFL IX N/B 2020-07-15 1.250000 25789800.00 30152655.40 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2021-01-15 1.125000 31090000.00 36083734.29 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2022-01-15 0.125000 16185100.00 17714318.94 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2022-07-15 0.125000 37274200.00 40248832.92 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2027-01-15 0.375000 408000.00 413227.12 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2021-04-30 2.250000 33835100.00 33903736.65 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2031-08-15 0.00 2.92 2.04 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2032-08-15 0.00 0.66 0.45 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2033-02-15 0.00 64544.01 43012.77 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2034-08-15 0.00 1190088.54 755456.30 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2035-08-15 0.00 23687163.25 14541075.78 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2036-02-15 0.00 483529.89 292753.17 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2036-08-15 0.00 3896637.91 2316598.00 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2037-02-15 0.00 1342764.25 788310.04 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2031-05-15 0.00 1568358.18 1105778.78 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2031-11-15 0.00 299259.24 207278.92 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2034-05-15 0.00 131.72 84.31 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2019-05-15 0.00 4066536.06 4045345.34 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2019-08-15 0.00 98.57 97.43 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2019-11-15 0.00 9508766.29 9341373.97 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2020-05-15 0.00 8974329.63 8702138.21 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2020-08-15 0.00 9807190.81 9445227.01 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2020-11-15 0.00 3573437.42 3418586.08 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2021-02-15 0.00 1393804.52 1325618.21 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2021-05-15 0.00 8882226.09 8399263.93 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2021-08-15 0.00 4418455.58 4149504.19 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2021-11-15 0.00 5898724.98 5510588.88 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2022-02-15 0.00 1504168.69 1395116.46 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2022-05-15 0.00 9049380.02 8340333.95 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2022-08-15 0.00 22523738.70 20618455.64 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2022-11-15 0.00 3406534.63 3099503.66 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2023-02-15 0.00 97711.01 88323.91 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2023-05-15 0.00 13580660.94 12198421.27 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2024-05-15 0.00 3215921.89 2814414.04 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2024-08-15 0.00 1253130.41 1088791.13 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2024-11-15 0.00 4373994.86 3774188.94 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2025-02-15 0.00 2053808.59 1757628.85 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2025-05-15 0.00 4156790.84 3532856.53 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2025-08-15 0.00 6114406.54 5151142.93 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2025-11-15 0.00 4612540.26 3860004.32 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2026-05-15 0.00 3269056.63 2698704.32 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2026-08-15 0.00 67.24 55.07 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2026-11-15 0.00 2713070.52 2204641.10 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2027-02-15 0.00 40.97 33.01 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2027-05-15 0.00 3296081.58 2635414.99 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2027-08-15 0.00 370163.69 293436.16 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2027-11-15 0.00 8950280.70 7046376.99 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2028-02-15 0.00 4464282.87 3487006.71 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2028-05-15 0.00 3.52 2.73 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2029-02-15 0.00 2.38 1.80 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2029-08-15 0.00 0.16 0.12 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2029-05-15 0.00 3264827.10 2448195.90 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2030-05-15 0.00 0.16 0.12 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2030-02-15 0.00 1681011.49 1232890.81 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2036-05-15 0.00 2796111.22 1676372.13 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2036-11-15 0.00 137500.16 81078.48 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2037-08-15 0.00 2516902.90 1451900.61 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2038-02-15 0.00 2188054.00 1243293.86 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2037-11-15 0.00 0.12 0.07 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2038-05-15 0.00 12097886.23 6817751.69 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2038-08-15 0.00 329997.74 183940.74 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2039-02-15 0.00 10075098.72 5516015.80 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2038-11-15 0.00 63968757.18 35354252.72 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2039-05-15 0.00 15484717.13 8397207.25 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2039-08-15 0.00 5196480.41 2796122.18 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2039-11-15 0.00 141054788.20 75036915.68 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2041-02-15 0.00 5011849.03 2539704.38 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2045-05-15 0.00 2899038.76 1272938.93 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2041-08-15 0.00 2464888.84 1224852.56 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2041-11-15 0.00 14551343.37 7171484.07 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2042-02-15 0.00 210557.39 102549.87 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2042-05-15 0.00 0.32 0.15 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2042-08-15 0.00 2492231.17 1195665.35 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2042-11-15 0.00 1732087.28 823548.61 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2043-05-15 0.00 3274043.06 1530124.02 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2043-08-15 0.00 0.29 0.13 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2044-08-15 0.00 1500284.18 672157.32 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2044-11-15 0.00 2899040.50 1288855.43 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2045-02-15 0.00 989410.11 437203.51 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2045-08-15 0.00 5110400.26 2224940.51 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2045-11-15 0.00 2895627.84 1248247.25 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2046-02-15 0.00 2333175.57 997992.52 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2046-05-15 0.00 101250.07 42982.68 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2046-08-15 0.00 5266389.17 2220741.52 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2046-11-15 0.00 3134755.16 1312885.62 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2047-02-15 0.00 1836278.47 764014.87 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2047-05-15 0.00 7401250.00 3042283.81 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2047-08-15 0.00 7582197.63 3092550.95 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2047-11-15 0.00 101250.00 40953.60 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2048-05-15 0.00 2212671.92 878408.63 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2048-08-15 0.00 1061421.29 419356.94 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2048-11-15 0.00 101121.23 39806.37 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2019-03-28 0.00 300.00 299.45 U.S. Treasuries (including strips) Y 2019-03-01 2019-03-01 2019-03-01 N N N 0.0256 1215000000.00 1215000000.00 0.0625 N Y Y N NOMURA SECURITIES INTERNATIONAL INC TRI-PARTY NOMURA SECURITIES INTERN 2.560000% BNT57K773 OXTKY6Q8X53C9ILVV871 0 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FMAC 2029-12-17 0.00 47043000.00 33134266.62 Agency Debentures and Agency Strips FHLB 2026-04-13 2.620000 18000000.00 17614350.00 Agency Debentures and Agency Strips FHLB 2026-04-27 2.500000 1605000.00 1558636.01 Agency Debentures and Agency Strips FHLB 2028-05-18 2.750000 155000.00 148122.48 Agency Debentures and Agency Strips FHLB 2028-06-14 2.790000 16610000.00 16023085.65 Agency Debentures and Agency Strips FHLB 2021-07-13 1.480000 1000000.00 976170.00 Agency Debentures and Agency Strips FHLB 2021-07-14 1.125000 975000.00 944594.62 Agency Debentures and Agency Strips FHLB 2024-08-23 2.000000 65000.00 62009.21 Agency Debentures and Agency Strips FHLB 2026-09-02 2.125000 75000.00 70929.07 Agency Debentures and Agency Strips FHLB 2027-10-18 2.200000 5000000.00 4689072.22 Agency 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FNMA 2026-04-24 2.125000 57592000.00 55476037.92 Agency Debentures and Agency Strips FNMA 2021-05-06 1.250000 974000.00 951752.76 Agency Debentures and Agency Strips FNMA 2026-09-24 1.875000 7507000.00 7075804.18 Agency Debentures and Agency Strips FNMA 2021-10-07 1.375000 5000.00 4882.91 Agency Debentures and Agency Strips FNMA 2022-04-05 1.875000 33000.00 32595.35 Agency Debentures and Agency Strips FNMA 2020-07-30 1.500000 2103000.00 2074627.73 Agency Debentures and Agency Strips FNMA 2022-10-05 2.000000 30000000.00 29673883.33 Agency Debentures and Agency Strips FNMA 2023-01-19 2.375000 354000.00 352606.27 Agency Debentures and Agency Strips FNMA 2021-04-13 2.500000 8284000.00 8361413.98 Agency Debentures and Agency Strips FNMA 2023-09-12 2.875000 15511000.00 15907107.85 Agency Debentures and Agency Strips FNMA 2019-04-30 0.00 53563000.00 53669560.61 Agency Debentures and Agency Strips FNMA 2020-10-30 2.875000 500000.00 507341.88 Agency Debentures and Agency Strips 4.250 TVBD 65 A 2065-09-15 4.250000 330000.00 378317.96 Agency Debentures and Agency Strips FEDERAL HOME LOAN BANKS 2549001DPIFGXC1TOL40 2019-04-22 0.00 285000.00 283977.99 Agency Debentures and Agency Strips FEDERAL HOME LOAN BANKS 2549001DPIFGXC1TOL40 2019-05-29 0.00 151078000.00 150156726.36 Agency Debentures and Agency Strips FEDERAL HOME LOAN BANKS 2549001DPIFGXC1TOL40 2019-03-01 2.219000 7000000.00 7012489.75 Agency Debentures and Agency Strips FEDERAL HOME LOAN BANKS 2549001DPIFGXC1TOL40 2019-03-04 0.00 199000.00 198947.86 Agency Debentures and Agency Strips Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2027-10-08 6.030000 10313000.00 7856690.91 Agency Debentures and Agency Strips FNMA 2021-09-23 1.550000 41000.00 40059.49 Agency Debentures and Agency Strips FNMA 2019-07-26 1.125000 75000.00 74619.75 Agency Debentures and Agency Strips FNMA 2021-07-28 1.625000 360000.00 352049.10 Agency Debentures and Agency Strips FNMA 2020-09-16 1.850000 300000.00 299038.50 Agency Debentures and Agency Strips Federal Home Loan Mortgage - FHLMC - Freddie Mac 2022-01-13 2.375000 3291000.00 3286984.16 Agency Debentures and Agency Strips Federal Home Loan Mortgage - FHLMC - Freddie Mac 2019-05-30 1.750000 12000.00 12027.95 Agency Debentures and Agency Strips Federal Home Loan Mortgage - FHLMC - Freddie Mac 2020-05-01 1.375000 335000.00 331964.48 Agency Debentures and Agency Strips FMAC 2020-01-17 1.500000 25000.00 24817.56 Agency Debentures and Agency Strips FMAC 2020-11-17 1.875000 420000.00 417328.97 Agency Debentures and Agency Strips FMAC 2021-02-16 2.375000 275000.00 274301.96 Agency Debentures and Agency Strips FMAC 2020-04-23 2.500000 8441000.00 8511655.86 Agency Debentures and Agency Strips Tennessee Valley Authority - TVA 2025-11-01 6.750000 6200000.00 7771498.50 Agency Debentures and Agency Strips Tennessee Valley Authority - TVA 2030-05-01 7.125000 4924000.00 6825344.75 Agency Debentures and Agency Strips Tennessee Valley Authority - TVA 2039-09-15 5.250000 13966000.00 17570775.90 Agency Debentures and Agency Strips Tennessee Valley Authority - TVA 2060-09-15 4.625000 4000000.00 4873123.89 Agency Debentures and Agency Strips TVIN 03/15/22 2022-03-15 0.00 710000.00 647167.84 Agency Debentures and Agency Strips 4.65 TVPR 35A 2023-03-15 0.00 688000.00 611859.04 Agency Debentures and Agency Strips BILL 11/08/18 2035-06-15 0.00 699000.00 384088.62 Agency Debentures and Agency Strips FHLB 2021-05-13 1.550000 1000000.00 982011.83 Agency Debentures and Agency Strips FHLB 2020-09-28 1.383000 1000000.00 1002730.00 Agency Debentures and Agency Strips FHLB 2019-03-06 0.988000 4730000.00 4757635.81 Agency Debentures and Agency Strips FHLB 2027-09-20 2.860000 3065000.00 3007967.16 Agency Debentures and Agency Strips FHLB 2023-10-18 3.480000 505000.00 511868.34 Agency Debentures and Agency Strips FHLB 2020-02-25 2.500000 1040000.00 1038816.83 Agency Debentures and Agency Strips FHLB 2025-05-27 3.150000 94065000.00 93779747.89 Agency Debentures and Agency Strips FMAC 2023-12-14 3.550000 250000.00 251904.31 Agency Debentures and Agency Strips FMAC 2023-06-14 3.300000 338000.00 340360.37 Agency Debentures and Agency Strips FMAC 2023-06-14 3.250000 18144000.00 18267026.40 Agency Debentures and Agency Strips FMAC 2022-02-07 3.500000 220359000.00 221234192.49 Agency Debentures and Agency Strips FMAC 2022-02-15 2.875000 75059000.00 75116134.50 Agency Debentures and Agency Strips FNMA 2019-04-10 0.00 1500000.00 1495849.50 Agency Debentures and Agency Strips FNMA 2019-05-08 0.00 2000000.00 1990654.00 Agency Debentures and Agency Strips FNMA 2024-02-05 2.500000 30314000.00 30188769.50 Agency Debentures and Agency Strips FNMA 2028-08-06 0.00 3757000.00 2777775.52 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE - F 2028-07-15 0.00 5400000.00 4020840.00 Agency Mortgage-Backed Securities FNMA 2028-05-15 0.00 5000000.00 3733200.00 Agency Mortgage-Backed Securities FNMA 2028-11-15 0.00 2935000.00 2151443.05 Agency 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(including strips) Department of the Treasury 254900HROIFWPRGM1V77 2035-02-15 0.00 139796.90 87275.20 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2036-02-15 0.00 139796.90 84640.03 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2036-08-15 0.00 139796.90 83110.93 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2037-02-15 0.00 139863.46 82111.04 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2031-05-15 0.00 123141.13 86821.27 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2031-11-15 0.00 123140.65 85292.14 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2033-05-15 0.00 123140.65 81293.76 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2033-11-15 0.00 123140.65 80130.08 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2034-05-15 0.00 123140.65 78816.17 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2034-11-15 0.00 123140.65 77526.89 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2019-05-15 0.00 484.70 482.17 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2019-11-15 0.00 119390.65 117288.90 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2020-05-15 0.00 484.38 469.69 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2020-08-15 0.00 142690.65 137424.22 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2020-11-15 0.00 119390.65 114216.98 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2021-05-15 0.00 119393.85 112901.93 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2021-11-15 0.00 130765.65 122161.27 U.S. 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131265.65 106666.47 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2027-02-15 0.00 148984.40 120027.79 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2027-05-15 0.00 123140.65 98458.34 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2027-08-15 0.00 148984.40 118102.91 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2027-11-15 0.00 123140.65 96946.17 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2028-08-15 0.00 148984.40 114500.47 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2028-05-15 0.00 123140.65 95403.10 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2035-11-15 0.00 123140.65 75025.90 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2029-02-15 0.00 148984.36 112723.35 U.S. Treasuries (including 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U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2041-11-15 0.00 88890.65 43808.87 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2042-02-15 0.00 117593.77 57272.87 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2042-05-15 0.00 88890.65 42989.30 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2042-08-15 0.00 111343.77 53417.95 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2043-08-15 0.00 95718.76 44332.43 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2038-08-15 0.00 139796.90 77922.79 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2038-05-15 0.00 123140.65 69395.79 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2044-05-15 0.00 82421.90 37163.21 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2044-08-15 0.00 68531.25 30703.37 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2044-11-15 0.00 59640.64 26515.04 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2045-02-15 0.00 68531.25 30282.79 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2045-08-15 0.00 68531.25 29836.79 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2045-11-15 0.00 49125.01 21176.81 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2046-02-15 0.00 195410.13 83584.73 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2046-05-15 0.00 30765.64 13060.63 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2046-08-15 0.00 53656.25 22625.87 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2046-11-15 0.00 30765.64 12885.14 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2047-02-15 0.00 39312.50 16356.63 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2047-05-15 0.00 10640.64 4373.84 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2024-08-15 0.00 148984.40 129446.14 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2047-11-15 0.00 10640.64 4303.93 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2048-05-15 0.00 10641.27 4224.48 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2021-08-15 0.00 12437.50 11680.43 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2021-02-15 0.00 144921.90 137832.18 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2030-11-15 0.00 123140.65 88048.03 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2035-08-15 0.00 139796.90 85818.52 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2034-08-15 0.00 139796.90 88741.67 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2034-02-15 0.00 139796.90 90178.79 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2033-08-15 0.00 139796.90 91678.81 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2033-02-15 0.00 142493.07 94958.81 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2032-08-15 0.00 139796.90 94580.99 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2032-02-15 0.00 139796.90 96173.28 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2031-08-15 0.00 139810.91 97572.64 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2021-01-15 1.125000 59900.00 69521.25 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2029-01-15 2.500000 14000.00 19111.60 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE - F 2030-01-15 0.00 4017000.00 2814591.39 Agency Mortgage-Backed Securities Tennessee Valley Authority - TVA 2036-04-01 5.880000 8292000.00 10951799.96 Agency Debentures and Agency Strips Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2037-07-15 5.625000 323000.00 423645.11 Agency Debentures and Agency Strips FMAC 2020-09-29 1.625000 13000.00 12899.32 Agency Debentures and Agency Strips FMAC 2020-04-20 1.375000 23371000.00 23179869.36 Agency Debentures and Agency Strips Federal Home Loan Mortgage - FHLMC - Freddie Mac 2032-07-15 6.250000 499000.00 669341.27 Agency Debentures and Agency Strips Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2020-12-28 1.875000 1332000.00 1320444.90 Agency Debentures and Agency Strips Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2020-11-30 1.500000 2208000.00 2175932.48 Agency Debentures and Agency Strips Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2020-06-22 1.500000 1000000.00 989004.00 Agency Debentures and Agency Strips Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2030-11-15 6.625000 5139000.00 6970513.19 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE - F 2031-03-15 0.00 6712000.00 4495845.26 Agency Debentures and Agency Strips Federal Home Loan Mortgage - FHLMC - Freddie Mac 2031-03-15 6.750000 11272000.00 15605086.43 Agency Debentures and Agency Strips Department of the Treasury 254900HROIFWPRGM1V77 2043-11-15 0.00 82515.65 37899.44 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2043-05-15 0.00 82515.65 38563.69 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2043-02-15 0.00 111343.77 52427.33 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2042-11-15 0.00 82515.65 39233.39 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2045-05-15 0.00 59640.64 26187.61 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2040-05-15 0.00 61221.25 31876.62 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2040-02-15 0.00 89140.66 46938.80 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2039-08-15 0.00 12437.50 6692.37 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2039-05-15 0.00 123140.65 66777.94 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2044-02-15 0.00 65156.25 29629.80 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2047-08-15 0.00 13062.50 5327.80 U.S. Treasuries (including strips) Y 2019-03-01 2019-03-01 2019-03-01 N N N 0.0256 1925000000.00 1925000000.00 0.0990 N Y Y N CITIGROUP GLOBAL MARKETS INC TRI-PARTY CITIGROUP GLOBAL MARKETS 2.600000% BNT57K7N8 MBNUM2BPBDO7JBLYG310 0 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N Department of the Treasury 254900HROIFWPRGM1V77 2043-08-15 3.625000 42332700.00 46570490.94 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2023-08-15 2.500000 94245100.00 94325942.51 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2020-08-31 2.125000 915200.00 909443.39 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2020-09-30 2.000000 17800.00 17797.07 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2020-10-31 1.750000 400.00 397.09 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2023-11-15 2.750000 100.00 101.88 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2020-07-31 2.000000 9375100.00 9317442.78 U.S. Treasuries (including strips) Y 2019-03-01 2019-03-01 2019-03-01 N N N 0.0260 147992000.00 147992000.00 0.0076 N Y Y N FEDERAL RESERVE BANK OF NEW YORK TRI-PARTY FEDERAL RESERVE BANK OF 2.250000% BNT57KVV3 254900Y8NKGV541U8Q32 0 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N USTR 254900HROIFWPRGM1V77 2025-07-31 2.875000 98070400.00 100006285.86 U.S. Treasuries (including strips) Y 2019-03-01 2019-03-01 2019-03-01 N N N 0.0225 100000000.00 100000000.00 0.0051 N Y Y N SOCIETE GENERALE (NEW YORK BRANCH) REPO JOINT SGN 1.029999% BRS9FKAT6 O2RNE8IBXP4R0TD8PU41 0 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y Y Department of the Treasury 254900HROIFWPRGM1V77 0.125000 15891416.66 17046445.82 U.S. Treasuries (including strips) Y 2019-03-07 2019-03-07 2050-01-01 Y SOCIETE GENERALE (NEW YORK BRANCH) 1.0000 7 N N/A N/A N N 0.0103 16666666.66 16666666.66 0.0009 N N Y N Northern Funds 2019-03-07 Peter K Ewing Peter K Ewing President