N-MFP2 0000916620 XXXXXXXX 2019-10-31 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 46 98 7615314556.55 7624240838.26 7521024841.62 7512614217.97 0.00 10272731469.29 10231150475.83 10635462349.76 10176990489.12 0.00 0.5007 0.5030 0.4920 0.4906 0.0000 0.6754 0.6750 0.6957 0.6646 0.0000 0.00 15365264015.10 15359932912.21 22966540.86 203746670.09 15179152782.98 15178945774.3000 1.0000 0.0196 1.0004 1.0004 1.0004 1.0003 0.0000 C000003412 2500.00 15179152782.98 15178945774.3000 1.0004 1.0004 1.0004 1.0003 0.0000 1707424114.64 1285686324.30 1314478538.72 1260292541.39 1085278500.79 1076502641.17 1059386434.48 1000811154.10 0.00 0.00 5980998807.67 5456349747.32 0.0161 Y The Investment Advisor Reimbursed $150,510.24 of fees during the period FEDERAL HOME LOAN BANKS FHLB 2.630000% 3130AECJ7 2549001DPIFGXC1TOL40 US3130AECJ71 U.S. Government Agency Debt Y 2020-05-28 2020-05-28 2020-05-28 N N N 0.0162 40228734.00 40228734.00 0.0027 N N N N FEDERAL HOME LOAN BANKS FHLB 1.900000% 3130AEHS2 2549001DPIFGXC1TOL40 US3130AEHS26 U.S. Government Agency Debt Y 2019-12-25 2020-06-25 2020-06-25 N N N 0.0179 204862729.95 204862729.95 0.0135 N N N N FEDERAL HOME LOAN BANKS FHLB 1.830000% 3130AEL32 2549001DPIFGXC1TOL40 US3130AEL329 U.S. Government Agency Debt Y 2020-01-06 2020-07-06 2020-07-06 N N N 0.0180 99929080.00 99929080.00 0.0066 N N N N FEDERAL HOME LOAN BANKS FHLB 1.740000% 3130AETM2 2549001DPIFGXC1TOL40 US3130AETM28 U.S. Government Agency Debt Y 2019-11-27 2020-02-27 2020-02-27 N N N 0.0181 174954183.25 174954183.25 0.0115 N N N N FEDERAL HOME LOAN BANKS FHLB 1.790000% 3130AFKM8 2549001DPIFGXC1TOL40 US3130AFKM83 U.S. Government Agency Debt Y 2019-11-21 2020-01-21 2020-01-21 N N N 0.0180 169971695.00 169971695.00 0.0112 N N N N FEDERAL HOME LOAN BANKS FHLB 1.890000% 3130AFS73 2549001DPIFGXC1TOL40 US3130AFS735 U.S. Government Agency Debt Y 2019-11-01 2020-07-24 2020-07-24 N N N 0.0194 24991326.50 24991326.50 0.0016 N N N N FEDERAL HOME LOAN BANKS FEDERAL HOME LOAN BANKS 1.880000% 3130AG5G6 2549001DPIFGXC1TOL40 US3130AG5G69 U.S. Government Agency Debt Y 2019-11-01 2020-03-27 2020-03-27 N N N 0.0188 61000901.58 61000901.58 0.0040 N N N N FEDERAL HOME LOAN BANKS FHLB 1.990000% 3130AGKK0 2549001DPIFGXC1TOL40 US3130AGKK01 U.S. Government Agency Debt Y 2019-12-06 2019-12-06 2019-12-06 N N N 0.0172 155008104.95 155008104.95 0.0102 N N N N FEDERAL HOME LOAN BANKS FHLB 1.830000% 3130AGMZ5 2549001DPIFGXC1TOL40 US3130AGMZ51 U.S. Government Agency Debt Y 2019-11-01 2019-12-20 2019-12-20 N N N 0.0185 44998472.70 44998472.70 0.0030 N N N N FEDERAL HOME LOAN BANKS FHLB 1.850000% 3130AGSE6 2549001DPIFGXC1TOL40 US3130AGSE68 U.S. Government Agency Debt Y 2019-11-01 2020-04-22 2020-04-22 N N N 0.0191 54981872.55 54981872.55 0.0036 N N N N FEDERAL HOME LOAN BANKS FHLB 2.060000% 3130AGSM8 2549001DPIFGXC1TOL40 US3130AGSM84 U.S. Government Agency Debt Y 2020-01-24 2020-01-24 2020-01-24 N N N 0.0172 50038014.50 50038014.50 0.0033 N N N N FEDERAL HOME LOAN BANKS FHLB 2.060000% 3130AGSR7 2549001DPIFGXC1TOL40 US3130AGSR71 U.S. Government Agency Debt Y 2020-01-24 2020-01-24 2020-01-24 N N N 0.0172 100076029.00 100076029.00 0.0066 N N N N FEDERAL HOME LOAN BANKS FHLB 1.840000% 3130AGW92 2549001DPIFGXC1TOL40 US3130AGW925 U.S. Government Agency Debt Y 2019-11-01 2020-05-14 2020-05-14 N N N 0.0192 54975958.95 54975958.95 0.0036 N N N N FEDERAL HOME LOAN BANKS FHLB 1.870000% 3130AGWA9 2549001DPIFGXC1TOL40 US3130AGWA90 U.S. Government Agency Debt Y 2019-11-01 2021-05-14 2021-05-14 N N N 0.0199 44923574.25 44923574.25 0.0030 N N N N FEDERAL HOME LOAN BANKS FEDERAL HOME LOAN BANKS 1.830000% 3130AGXA8 2549001DPIFGXC1TOL40 US3130AGXA81 U.S. Government Agency Debt Y 2019-11-01 2020-02-21 2020-02-21 N N N 0.0190 44990805.15 44990805.15 0.0030 N N N N FEDERAL HOME LOAN BANKS FHLB 1.850000% 3130AGXB6 2549001DPIFGXC1TOL40 US3130AGXB64 U.S. Government Agency Debt Y 2019-11-01 2020-08-21 2020-08-21 N N N 0.0195 89925876.00 89925876.00 0.0059 N N N N FEDERAL HOME LOAN BANKS FHLB 1.840000% 3130AGXS9 2549001DPIFGXC1TOL40 US3130AGXS99 U.S. Government Agency Debt Y 2019-11-01 2020-05-22 2020-05-22 N N N 0.0192 19990602.40 19990602.40 0.0013 N N N N FEDERAL HOME LOAN BANKS FHLB 1.880000% 3130AGZ24 2549001DPIFGXC1TOL40 US3130AGZ241 U.S. Government Agency Debt Y 2019-11-01 2021-02-26 2021-02-26 N N N 0.0197 34958270.55 34958270.55 0.0023 N N N N FEDERAL HOME LOAN BANKS FHLB 1.930000% 3130AH3C5 2549001DPIFGXC1TOL40 US3130AH3C55 U.S. Government Agency Debt Y 2020-06-16 2020-06-16 2020-06-16 N N N 0.0171 90073054.80 90073054.80 0.0059 N N N N FEDERAL HOME LOAN BANKS FHLB 1.940000% 3130AH3L5 2549001DPIFGXC1TOL40 US3130AH3L54 U.S. Government Agency Debt Y 2020-06-16 2020-06-16 2020-06-16 N N N 0.0174 95070593.55 95070593.55 0.0063 N N N N FEDERAL HOME LOAN BANKS FHLB 1.950000% 3130AH3Q4 2549001DPIFGXC1TOL40 US3130AH3Q42 U.S. Government Agency Debt Y 2020-06-17 2020-06-17 2020-06-17 N N N 0.0170 45042718.05 45042718.05 0.0030 N N N N FEDERAL HOME LOAN BANKS FHLB 1.860000% 3130AH4E0 2549001DPIFGXC1TOL40 US3130AH4E03 U.S. Government Agency Debt Y 2019-11-01 2020-01-17 2020-01-17 N N N 0.0189 104994716.40 104994716.40 0.0069 N N N N FEDERAL HOME LOAN BANKS FHLB 1.920000% 3130AH5B5 2549001DPIFGXC1TOL40 US3130AH5B54 U.S. Government Agency Debt Y 2019-11-01 2020-12-23 2020-12-23 N N N 0.0198 29978874.60 29978874.60 0.0020 N N N N FEDERAL HOME LOAN BANKS FHLB 1.690000% 3130AHDD2 2549001DPIFGXC1TOL40 US3130AHDD24 U.S. Government Agency Debt Y 2020-04-17 2020-04-17 2020-04-17 N N N 0.0163 95026385.30 95026385.30 0.0063 N N N N FEDERAL HOME LOAN BANKS FEDERAL HOME LOAN BANKS 1.800000% 3130AHDU4 2549001DPIFGXC1TOL40 US3130AHDU49 U.S. Government Agency Debt Y 2020-02-18 2020-05-18 2020-05-18 N N N 0.0172 149983512.00 149983512.00 0.0099 N N N N FEDERAL HOME LOAN BANKS FHLB 1.660000% 3130AHFH1 2549001DPIFGXC1TOL40 US3130AHFH10 U.S. Government Agency Debt Y 2020-02-11 2020-02-11 2020-02-11 N N N 0.0160 95015761.45 95015761.45 0.0063 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312B58 US313312B584 U.S. Government Agency Debt Y 2020-08-10 2020-08-10 2020-08-10 N N N 0.0161 24691451.50 24691451.50 0.0016 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312E30 US313312E307 U.S. Government Agency Debt Y 2020-09-01 2020-09-01 2020-09-01 N N N 0.0161 14800479.15 14800479.15 0.0010 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312F96 US313312F965 U.S. Government Agency Debt Y 2020-09-15 2020-09-15 2020-09-15 N N N 0.0161 34513082.10 34513082.10 0.0023 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312PK0 US313312PK09 U.S. Government Agency Debt Y 2019-11-18 2019-11-18 2019-11-18 N N N 0.0170 47961920.16 47961920.16 0.0032 N N Y N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312PM6 US313312PM64 U.S. Government Agency Debt Y 2019-11-20 2019-11-20 2019-11-20 N N N 0.0170 19982266.60 19982266.60 0.0013 N N Y N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312RV4 US313312RV46 U.S. Government Agency Debt Y 2020-01-15 2020-01-15 2020-01-15 N N N 0.0165 29898750.00 29898750.00 0.0020 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312TP5 US313312TP59 U.S. Government Agency Debt Y 2020-02-26 2020-02-26 2020-02-26 N N N 0.0164 9947675.00 9947675.00 0.0007 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312UD0 US313312UD01 U.S. Government Agency Debt Y 2020-03-11 2020-03-11 2020-03-11 N N N 0.0164 9941413.90 9941413.90 0.0007 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312VG2 US313312VG23 U.S. Government Agency Debt Y 2020-04-07 2020-04-07 2020-04-07 N N N 0.0163 14894666.70 14894666.70 0.0010 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312VX5 US313312VX55 U.S. Government Agency Debt Y 2020-04-22 2020-04-22 2020-04-22 N N N 0.0163 19846222.20 19846222.20 0.0013 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312XQ8 US313312XQ86 U.S. Government Agency Debt Y 2020-06-02 2020-06-02 2020-06-02 N N N 0.0163 19810966.60 19810966.60 0.0013 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312ZS2 US313312ZS25 U.S. Government Agency Debt Y 2020-07-22 2020-07-22 2020-07-22 N N N 0.0162 19768266.60 19768266.60 0.0013 N N N N FEDERAL HOME LOAN BANKS FHLB 313384PL7 2549001DPIFGXC1TOL40 US313384PL76 U.S. Government Agency Debt Y 2019-11-19 2019-11-19 2019-11-19 N N N 0.0170 39966400.00 39966400.00 0.0026 N N Y N FEDERAL HOME LOAN BANKS FHLB 313384PT0 2549001DPIFGXC1TOL40 US313384PT03 U.S. Government Agency Debt Y 2019-11-26 2019-11-26 2019-11-26 N N N 0.0171 94889166.35 94889166.35 0.0063 N N Y N FEDERAL HOME LOAN BANKS FHLB 313384QB8 2549001DPIFGXC1TOL40 US313384QB85 U.S. Government Agency Debt Y 2019-12-04 2019-12-04 2019-12-04 N N N 0.0170 59908150.20 59908150.20 0.0039 N N Y N FEDERAL HOME LOAN BANKS FHLB 313384QD4 2549001DPIFGXC1TOL40 US313384QD42 U.S. Government Agency Debt Y 2019-12-06 2019-12-06 2019-12-06 N N N 0.0170 79870111.20 79870111.20 0.0053 N N Y N FEDERAL HOME LOAN BANKS FHLB 313384QR3 2549001DPIFGXC1TOL40 US313384QR38 U.S. Government Agency Debt Y 2019-12-18 2019-12-18 2019-12-18 N N N 0.0170 59869183.20 59869183.20 0.0039 N N Y N FEDERAL HOME LOAN BANKS FHLB 313384RG6 2549001DPIFGXC1TOL40 US313384RG63 U.S. Government Agency Debt Y 2020-01-02 2020-01-02 2020-01-02 N N N 0.0165 49860500.00 49860500.00 0.0033 N N N N FEDERAL HOME LOAN BANKS FHLB 313384SC4 2549001DPIFGXC1TOL40 US313384SC41 U.S. Government Agency Debt Y 2020-01-22 2020-01-22 2020-01-22 N N N 0.0165 29889300.00 29889300.00 0.0020 N N N N FEDERAL HOME LOAN BANKS FHLB 313384SE0 2549001DPIFGXC1TOL40 US313384SE07 U.S. Government Agency Debt Y 2020-01-24 2020-01-24 2020-01-24 N N N 0.0165 54792100.00 54792100.00 0.0036 N N N N FEDERAL HOME LOAN BANKS FHLB 313384SH3 2549001DPIFGXC1TOL40 US313384SH38 U.S. Government Agency Debt Y 2020-01-27 2020-01-27 2020-01-27 N N N 0.0165 49804250.00 49804250.00 0.0033 N N N N FEDERAL HOME LOAN BANKS FHLB 313384SJ9 2549001DPIFGXC1TOL40 US313384SJ93 U.S. Government Agency Debt Y 2020-01-28 2020-01-28 2020-01-28 N N N 0.0165 124505000.00 124505000.00 0.0082 N N N N FEDERAL HOME LOAN BANKS FHLB 313384SL4 2549001DPIFGXC1TOL40 US313384SL40 U.S. Government Agency Debt Y 2020-01-30 2020-01-30 2020-01-30 N N N 0.0165 94615250.00 94615250.00 0.0062 N N N N FEDERAL HOME LOAN BANKS FHLB 313384UN7 2549001DPIFGXC1TOL40 US313384UN77 U.S. Government Agency Debt Y 2020-03-20 2020-03-20 2020-03-20 N N N 0.0164 89436500.10 89436500.10 0.0059 N N N N FEDERAL HOME LOAN BANKS FHLB 313384VX4 2549001DPIFGXC1TOL40 US313384VX41 U.S. Government Agency Debt Y 2020-04-22 2020-04-22 2020-04-22 N N N 0.0163 35723199.96 35723199.96 0.0024 N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC 313396PE7 S6XOOCT0IEG5ABCC6L87 US313396PE71 U.S. Government Agency Debt Y 2019-11-13 2019-11-13 2019-11-13 N N N 0.0170 149916000.00 149916000.00 0.0099 N N Y N FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC 313396UL5 S6XOOCT0IEG5ABCC6L87 US313396UL59 U.S. Government Agency Debt Y 2020-03-18 2020-03-18 2020-03-18 N N N 0.0164 59629699.80 59629699.80 0.0039 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 1.930000% 3133EH5H2 US3133EH5H21 U.S. Government Agency Debt Y 2019-11-02 2020-01-02 2020-01-02 N N N 0.0173 79995668.80 79995668.80 0.0053 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 1.850000% 3133EH5M1 US3133EH5M16 U.S. Government Agency Debt Y 2019-11-01 2020-01-03 2020-01-03 N N N 0.0187 54997319.30 54997319.30 0.0036 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 1.840000% 3133EHR21 US3133EHR218 U.S. Government Agency Debt Y 2019-11-13 2019-11-13 2019-11-13 N N N 0.0167 80000765.60 80000765.60 0.0053 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 1.820000% 3133EJ3K3 US3133EJ3K32 U.S. Government Agency Debt Y 2019-11-20 2020-03-20 2020-03-20 N N N 0.0181 174964637.75 174964637.75 0.0115 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 1.960000% 3133EJ4M8 US3133EJ4M88 U.S. Government Agency Debt Y 2019-11-07 2020-01-07 2020-01-07 N N N 0.0174 80002452.00 80002452.00 0.0053 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 1.920000% 3133EJ4V8 US3133EJ4V87 U.S. Government Agency Debt Y 2019-11-14 2020-04-14 2020-04-14 N N N 0.0186 64978552.60 64978552.60 0.0043 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 1.880000% 3133EJ4Z9 US3133EJ4Z91 U.S. Government Agency Debt Y 2019-11-15 2020-01-15 2020-01-15 N N N 0.0175 110001356.30 110001356.30 0.0072 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 1.850000% 3133EJCV9 US3133EJCV99 U.S. Government Agency Debt Y 2019-11-13 2020-02-13 2020-02-13 N N N 0.0179 49989030.00 49989030.00 0.0033 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 1.960000% 3133EJD89 US3133EJD891 U.S. Government Agency Debt Y 2019-12-27 2020-03-27 2020-03-27 N N N 0.0180 14997651.75 14997651.75 0.0010 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 1.960000% 3133EJD97 US3133EJD974 U.S. Government Agency Debt Y 2020-01-01 2020-10-01 2020-10-01 N N N 0.0184 74945500.50 74945500.50 0.0049 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 1.760000% 3133EJDJ5 US3133EJDJ52 U.S. Government Agency Debt Y 2019-11-23 2019-12-23 2019-12-23 N N N 0.0172 30000074.70 30000074.70 0.0020 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 1.960000% 3133EJDW6 US3133EJDW63 U.S. Government Agency Debt Y 2019-11-02 2020-03-02 2020-03-02 N N N 0.0181 39989301.60 39989301.60 0.0026 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 1.940000% 3133EJJF7 US3133EJJF76 U.S. Government Agency Debt Y 2019-11-01 2020-02-03 2020-02-03 N N N 0.0198 54995684.15 54995684.15 0.0036 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 1.810000% 3133EJLL1 US3133EJLL17 U.S. Government Agency Debt Y 2019-11-20 2020-02-20 2020-02-20 N N N 0.0180 84987932.55 84987932.55 0.0056 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 1.970000% 3133EJRY7 US3133EJRY73 U.S. Government Agency Debt Y 2019-11-01 2020-06-18 2020-06-18 N N N 0.0186 20013676.60 20013676.60 0.0013 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 2.040000% 3133EJT66 US3133EJT665 U.S. Government Agency Debt Y 2019-11-13 2020-05-13 2020-05-13 N N N 0.0181 59985170.40 59985170.40 0.0040 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FEDERAL FARM CREDIT BANKS FUNDING 1.940000% 3133EJYV5 US3133EJYV51 U.S. Government Agency Debt Y 2019-11-06 2020-07-06 2020-07-06 N N N 0.0187 54949318.05 54949318.05 0.0036 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FEDERAL FARM CREDIT BANKS FUNDING 2.010000% 3133EK2R6 US3133EK2R67 U.S. Government Agency Debt Y 2019-11-01 2021-10-15 2021-10-15 N N N 0.0202 34993015.05 34993015.05 0.0023 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 3133EK5K8 US3133EK5K87 U.S. Government Agency Debt Y 2019-11-04 2021-05-04 2021-05-04 N N N 0.0189 54983744.75 54983744.75 0.0036 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 1.880000% 3133EKD29 US3133EKD295 U.S. Government Agency Debt Y 2019-11-01 2021-08-20 2021-08-20 N N N 0.0191 19990098.60 19990098.60 0.0013 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FEDERAL FARM CREDIT BANKS 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MORTGAGE CORPORATION FHLMC 1.850000% 3134GT5F6 S6XOOCT0IEG5ABCC6L87 US3134GT5F62 U.S. Government Agency Debt Y 2019-11-01 2020-06-02 2020-06-02 N N N 0.0188 89985838.50 89985838.50 0.0059 N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC 1.850000% 3134GT5J8 S6XOOCT0IEG5ABCC6L87 US3134GT5J84 U.S. Government Agency Debt Y 2019-11-01 2020-06-04 2020-06-04 N N N 0.0188 74987820.75 74987820.75 0.0049 N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA 1.920000% 3135G0U76 B1V7KEBTPIMZEU4LTD58 US3135G0U763 U.S. Government Agency Debt Y 2019-11-01 2020-04-30 2020-04-30 N N N 0.0186 25006864.25 25006864.25 0.0016 N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC 1.380000% 3137EADR7 S6XOOCT0IEG5ABCC6L87 US3137EADR73 U.S. Government Agency Debt Y 2020-05-01 2020-05-01 2020-05-01 N N N 0.0162 59925632.40 59925632.40 0.0039 N N N N UNITED STATES TREASURY TREASURY BILL 912796RN1 254900HROIFWPRGM1V77 US912796RN16 U.S. Treasury Debt Y 2019-12-05 2019-12-05 2019-12-05 N N N 0.0152 119830821.60 119830821.60 0.0079 N Y Y N UNITED STATES TREASURY TREASURY BILL 912796RT8 254900HROIFWPRGM1V77 US912796RT85 U.S. Treasury Debt Y 2020-01-02 2020-01-02 2020-01-02 N N N 0.0157 69813440.20 69813440.20 0.0046 N Y Y N UNITED STATES TREASURY TREASURY BILL 912796RT8 254900HROIFWPRGM1V77 US912796RT85 U.S. Treasury Debt Y 2020-01-02 2020-01-02 2020-01-02 N N N 0.0157 29920045.80 29920045.80 0.0020 N Y Y N UNITED STATES TREASURY TREASURY BILL 912796RY7 254900HROIFWPRGM1V77 US912796RY70 U.S. Treasury Debt Y 2020-01-30 2020-01-30 2020-01-30 N N N 0.0155 24904687.50 24904687.50 0.0016 N Y Y N UNITED STATES TREASURY TREASURY BILL 912796SH3 254900HROIFWPRGM1V77 US912796SH39 U.S. Treasury Debt Y 2020-03-26 2020-03-26 2020-03-26 N N N 0.0156 39751394.40 39751394.40 0.0026 N Y Y N UNITED STATES TREASURY TREASURY BILL 912796SW0 254900HROIFWPRGM1V77 US912796SW06 U.S. Treasury Debt Y 2019-12-12 2019-12-12 2019-12-12 N N N 0.0150 84857429.50 84857429.50 0.0056 N Y Y N UNITED STATES TREASURY TREASURY BILL 912796SW0 254900HROIFWPRGM1V77 US912796SW06 U.S. Treasury Debt Y 2019-12-12 2019-12-12 2019-12-12 N N N 0.0150 59899362.00 59899362.00 0.0039 N Y Y N UNITED STATES TREASURY TREASURY BILL 912796SW0 254900HROIFWPRGM1V77 US912796SW06 U.S. Treasury Debt Y 2019-12-12 2019-12-12 2019-12-12 N N N 0.0150 44924521.50 44924521.50 0.0030 N Y Y N UNITED STATES TREASURY TREASURY BILL 912796TA7 254900HROIFWPRGM1V77 US912796TA76 U.S. Treasury Debt Y 2020-01-09 2020-01-09 2020-01-09 N N N 0.0156 59823762.60 59823762.60 0.0039 N Y Y N UNITED STATES TREASURY TREASURY BILL 912796TD1 254900HROIFWPRGM1V77 US912796TD16 U.S. Treasury Debt Y 2020-08-13 2020-08-13 2020-08-13 N N N 0.0155 49399598.50 49399598.50 0.0033 N Y Y N UNITED STATES TREASURY TREASURY BILL 912796TL3 254900HROIFWPRGM1V77 US912796TL32 U.S. Treasury Debt Y 2020-03-19 2020-03-19 2020-03-19 N N N 0.0155 49707521.00 49707521.00 0.0033 N Y Y N UNITED STATES TREASURY TREASURY BILL 912796WF2 254900HROIFWPRGM1V77 US912796WF27 U.S. Treasury Debt Y 2019-11-26 2019-11-26 2019-11-26 N N N 0.0156 94898403.20 94898403.20 0.0063 N Y Y N UNITED STATES TREASURY TREASURY NOTE 2.000000% 9128283S7 254900HROIFWPRGM1V77 US9128283S79 U.S. Treasury Debt Y 2020-01-31 2020-01-31 2020-01-31 N N N 0.0161 100093750.00 100093750.00 0.0066 N Y Y N UNITED STATES TREASURY TREASURY NOTE 2.250000% 9128284C1 254900HROIFWPRGM1V77 US9128284C19 U.S. Treasury Debt Y 2020-03-31 2020-03-31 2020-03-31 N N N 0.0161 130340234.70 130340234.70 0.0086 N Y Y N UNITED STATES TREASURY TREASURY NOTE 2.380000% 9128284J6 254900HROIFWPRGM1V77 US9128284J61 U.S. Treasury Debt Y 2020-04-30 2020-04-30 2020-04-30 N N N 0.0162 100371094.00 100371094.00 0.0066 N Y Y N UNITED STATES TREASURY TREASURY NOTE 2.500000% 9128284Q0 254900HROIFWPRGM1V77 US9128284Q05 U.S. Treasury Debt Y 2020-05-31 2020-05-31 2020-05-31 N N N 0.0163 170850000.00 170850000.00 0.0113 N Y Y N UNITED STATES TREASURY TREASURY NOTE 2.750000% 9128285B2 254900HROIFWPRGM1V77 US9128285B27 U.S. Treasury Debt Y 2020-09-30 2020-09-30 2020-09-30 N N N 0.0162 50507812.50 50507812.50 0.0033 N Y Y N UNITED STATES TREASURY TREASURY FLOATING RATE NOTE 1.750000% 9128285Y2 254900HROIFWPRGM1V77 US9128285Y20 U.S. Treasury Debt Y 2019-11-01 2021-01-29 2021-01-31 N N N 0.0183 69923249.20 69923249.20 0.0046 N Y Y N UNITED STATES TREASURY TREASURY FLOATING RATE NOTE 1.860000% 9128287G9 254900HROIFWPRGM1V77 US9128287G95 U.S. Treasury Debt Y 2019-11-01 2021-07-31 2021-07-31 N N N 0.0186 244962632.60 244962632.60 0.0161 N Y Y N UNITED STATES TREASURY TREASURY NOTE 1.500000% 912828G61 254900HROIFWPRGM1V77 US912828G617 U.S. Treasury Debt Y 2019-11-30 2019-11-30 2019-11-30 N N N 0.0185 99971385.00 99971385.00 0.0066 N Y Y N UNITED STATES TREASURY TREASURY NOTE 1.630000% 912828G95 254900HROIFWPRGM1V77 US912828G955 U.S. Treasury Debt Y 2019-12-31 2019-12-31 2019-12-31 N N N 0.0181 234925540.25 234925540.25 0.0155 N Y Y N UNITED STATES TREASURY TREASURY NOTE 1.380000% 912828J84 254900HROIFWPRGM1V77 US912828J843 U.S. Treasury Debt Y 2020-03-31 2020-03-31 2020-03-31 N N N 0.0162 119878125.60 119878125.60 0.0079 N Y Y N UNITED STATES TREASURY TREASURY NOTE 1.380000% 912828L32 254900HROIFWPRGM1V77 US912828L328 U.S. Treasury Debt Y 2020-08-31 2020-08-31 2020-08-31 N N N 0.0160 54896875.00 54896875.00 0.0036 N Y Y N UNITED STATES TREASURY TREASURY NOTE 3.380000% 912828LY4 254900HROIFWPRGM1V77 US912828LY45 U.S. Treasury Debt Y 2019-11-15 2019-11-15 2019-11-15 N N N 0.0185 145082474.55 145082474.55 0.0096 N Y Y N UNITED STATES TREASURY TREASURY NOTE 3.630000% 912828MP2 254900HROIFWPRGM1V77 US912828MP29 U.S. Treasury Debt Y 2020-02-15 2020-02-15 2020-02-15 N N N 0.0172 517796290.35 517796290.35 0.0341 N Y Y N UNITED STATES TREASURY TREASURY BOND 2.630000% 912828NT3 254900HROIFWPRGM1V77 US912828NT32 U.S. Treasury Debt Y 2020-08-15 2020-08-15 2020-08-15 N N N 0.0162 45351562.50 45351562.50 0.0030 N Y Y N UNITED STATES TREASURY TREASURY NOTE 1.380000% 912828UL2 254900HROIFWPRGM1V77 US912828UL23 U.S. Treasury Debt Y 2020-01-31 2020-01-31 2020-01-31 N N N 0.0162 99937500.00 99937500.00 0.0066 N Y Y N UNITED STATES TREASURY TREASURY NOTE 1.380000% 912828V31 254900HROIFWPRGM1V77 US912828V319 U.S. Treasury Debt Y 2020-01-15 2020-01-15 2020-01-15 N N N 0.0160 79962500.00 79962500.00 0.0053 N Y Y N UNITED STATES TREASURY TREASURY BOND 1.630000% 912828XH8 254900HROIFWPRGM1V77 US912828XH83 U.S. Treasury Debt Y 2020-06-30 2020-06-30 2020-06-30 N N N 0.0162 55000000.00 55000000.00 0.0036 N Y Y N UNITED STATES TREASURY TREASURY NOTE 1.630000% 912828XM7 254900HROIFWPRGM1V77 US912828XM78 U.S. Treasury Debt Y 2020-07-31 2020-07-31 2020-07-31 N N N 0.0161 65005077.80 65005077.80 0.0043 N Y Y N UNITED STATES TREASURY TREASURY NOTE 2.630000% 912828Y46 254900HROIFWPRGM1V77 US912828Y461 U.S. Treasury Debt Y 2020-07-31 2020-07-31 2020-07-31 N N N 0.0161 146081836.30 146081836.30 0.0096 N Y Y N UNITED STATES TREASURY TREASURY FLOATING RATE NOTE 1.680000% 912828Y53 254900HROIFWPRGM1V77 US912828Y537 U.S. Treasury Debt Y 2019-11-01 2020-07-31 2020-07-31 N N N 0.0178 99914020.00 99914020.00 0.0066 N Y Y N MERRILL LYNCH PIERCE FENNER & SMITH INC REPO JOINT ML PIERCE FENNER & SMIT 1.040000% BNT0VFKG3 8NAV47T0Y26Q87Y0QP81 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y Y USTR 254900HROIFWPRGM1V77 2027-07-15 0.380000 15950108.33 17029978.51 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2020-11-30 2.750000 59166.67 59883.14 U.S. Treasuries (including strips) Y 2019-11-07 2019-11-07 2050-01-01 Y MERRILL LYNCH PIERCE FENNER & SMITH INC 1.0000 7 N N/A N/A N N 0.0104 16666666.69 16666666.69 0.0011 N N Y N JP MORGAN SECURITIES LLC TRI-PARTY JP MORGAN SECURITIES LLC 1.870000% BNT5CG4V6 ZBUT11V806EZRVTWT807 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2030-11-15 0.00 57221000.00 44505006.05 Agency Debentures and Agency Strips Federal Home Loan Mortgage - FHLMC - Freddie Mac 2029-09-15 0.00 58106000.00 46364520.58 Agency Debentures and Agency Strips Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2028-03-23 0.00 1560000.00 1295054.28 Agency Debentures and Agency Strips FNMA 2026-04-24 2.125000 5000.00 5130.14 Agency Debentures and Agency Strips FHLB 2032-08-16 2.650000 17690000.00 17689880.10 Agency Debentures and Agency Strips FNMA 2025-01-15 0.00 7980000.00 7226328.90 Agency Mortgage-Backed Securities FHLB 2032-07-06 3.170000 5170000.00 5259442.72 Agency Debentures and Agency Strips FHLB 2032-11-09 3.400000 980000.00 996101.40 Agency Debentures and Agency Strips FHLB 2034-02-14 3.750000 5180000.00 5401546.87 Agency Debentures and Agency Strips FHLB 2030-12-06 4.100000 13120000.00 13864835.52 Agency Debentures and Agency Strips FHLB 2033-08-08 3.940000 2000000.00 2147358.89 Agency Debentures and Agency Strips FMAC 2048-04-01 4.000000 3419100.00 3360167.86 Agency Mortgage-Backed Securities FMAC 2045-12-01 3.500000 983986.00 587318.62 Agency Mortgage-Backed Securities FMAC 2049-10-01 5.500000 2157368.00 2341912.62 Agency Mortgage-Backed Securities FMAC 2049-09-01 3.000000 2005456.00 2036227.05 Agency Mortgage-Backed Securities Y 2020-02-03 2020-02-03 2020-12-31 Y JP MORGAN SECURITIES LLC 1.0000 95 N N/A N/A N N 0.0187 150000000.00 150000000.00 0.0099 N N N Y BNP PARIBAS SA TRI-PARTY BNP PARIBAS SA 1.760000% BNT5KQVR4 R0MUWSFPU8MPRO8K5P83 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N Department of the Treasury 254900HROIFWPRGM1V77 2028-01-15 1.750000 516600.00 711170.29 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2021-08-15 0.00 1193688.48 1157816.95 U.S. Treasuries (including strips) Government National Mortgage Association - GNMA - Ginnie Mae 2039-06-20 5.000000 10933617.00 1104455.95 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2023-06-01 5.500000 12373310.00 354713.83 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2036-12-01 6.500000 9596525.00 275170.68 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2037-09-01 6.000000 18326014.00 516028.75 Agency Mortgage-Backed Securities Government National Mortgage Association - GNMA - Ginnie Mae 2038-04-15 5.000000 1943.00 29.49 Agency Mortgage-Backed Securities Federal Home Loan Mortgage - FHLMC - Freddie Mac 2037-08-01 4.886000 12547.00 235.11 Agency Mortgage-Backed Securities Department of the Treasury 254900HROIFWPRGM1V77 2020-01-15 1.375000 700.00 833.65 U.S. Treasuries (including strips) Government National Mortgage Association - GNMA - Ginnie Mae 2038-12-20 5.500000 6611.00 46.70 Agency Mortgage-Backed Securities Department of the Treasury 254900HROIFWPRGM1V77 2037-05-15 0.00 2934453.81 2001737.67 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2030-08-15 0.00 5738904.88 4642659.27 U.S. Treasuries (including strips) Government National Mortgage Association - GNMA - Ginnie Mae 2041-10-20 4.000000 45322.00 8477.27 Agency Mortgage-Backed Securities Government National Mortgage Association - GNMA - Ginnie Mae 2040-11-20 4.500000 294106.00 23820.29 Agency Mortgage-Backed Securities Department of the Treasury 254900HROIFWPRGM1V77 2022-11-15 0.00 100.00 95.21 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2037-02-15 0.00 4400.00 3135.18 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2040-08-15 0.00 379100.00 240228.09 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2031-08-15 0.00 49.76 39.23 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2032-11-15 0.00 2998690.00 2294807.50 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2024-11-15 0.00 525006.08 481194.32 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2026-05-15 0.00 127832.81 113679.16 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2028-05-15 0.00 6570294.27 5598941.97 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2035-11-15 0.00 237772.00 168078.65 U.S. Treasuries (including strips) Government National Mortgage Association - GNMA - Ginnie Mae 2040-09-20 4.500000 20629341.00 1114616.30 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2036-08-01 6.000000 12876.00 135.55 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2037-04-01 5.500000 3211.00 63.87 Agency Mortgage-Backed Securities Government National Mortgage Association - GNMA - Ginnie Mae 2040-02-20 5.000000 1985308.00 101621.09 Agency Mortgage-Backed Securities Department of the Treasury 254900HROIFWPRGM1V77 2032-08-15 0.00 123.08 94.69 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2034-02-15 0.00 108.15 80.04 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2029-02-15 0.00 155.69 130.66 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2029-05-15 0.00 133.69 111.40 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2031-02-15 0.00 0.01 0.01 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2041-05-15 0.00 0.01 0.01 U.S. Treasuries (including strips) Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2037-10-01 7.000000 10619.00 84.19 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2033-09-01 4.728000 7632565.00 1381864.09 Agency Mortgage-Backed Securities Department of the Treasury 254900HROIFWPRGM1V77 2042-11-15 0.00 0.23 0.13 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2043-02-15 0.00 0.07 0.04 U.S. Treasuries (including strips) Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2040-12-01 3.850000 38773428.00 3712184.62 Agency Mortgage-Backed Securities Government National Mortgage Association - GNMA - Ginnie Mae 2040-08-20 4.500000 5932000.00 306562.36 Agency Mortgage-Backed Securities Federal Home Loan Mortgage - FHLMC - Freddie Mac 2043-04-01 3.000000 2002903.00 1085869.49 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2036-05-01 6.500000 10650.00 79.95 Agency Mortgage-Backed Securities Department of the Treasury 254900HROIFWPRGM1V77 2021-06-30 2.125000 1038000.00 1052937.42 U.S. Treasuries (including strips) Government National Mortgage Association - GNMA - Ginnie Mae 2042-11-20 4.125000 1985.00 249.36 Agency Mortgage-Backed Securities Department of the Treasury 254900HROIFWPRGM1V77 2044-05-15 0.00 2.74 1.52 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2044-11-15 0.00 0.05 0.03 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2022-03-31 1.750000 12239100.00 12286884.39 U.S. Treasuries (including strips) Federal Home Loan Mortgage - FHLMC - Freddie Mac 2034-02-01 4.000000 2783382.00 685713.72 Agency Mortgage-Backed Securities Federal Home Loan Mortgage - FHLMC - Freddie Mac 2043-12-01 4.000000 2448000.00 689834.54 Agency Mortgage-Backed Securities UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-07-31 1.625000 1251600.00 1256396.75 U.S. Treasuries (including strips) GOVERNMENT NATIONAL MORTGAGE A 2041-09-20 3.750000 8428.00 894.33 Agency Mortgage-Backed Securities Federal Home Loan Mortgage - FHLMC - Freddie Mac 2027-03-01 3.000000 56373.00 13616.85 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2027-06-01 3.500000 27236677.00 6170744.33 Agency Mortgage-Backed Securities FNMA 2043-10-01 4.500000 7720121.00 2992341.26 Agency Mortgage-Backed Securities FNMA 2036-03-01 6.000000 2913.00 9.60 Agency Mortgage-Backed Securities FNMA 2038-09-01 3.481000 1622924.00 127301.60 Agency Mortgage-Backed Securities FMAC 2041-03-01 3.435000 14471743.00 2095783.48 Agency Mortgage-Backed Securities GNMA 2042-10-20 4.125000 1076.00 129.82 Agency Mortgage-Backed Securities GNMA 2041-10-20 4.125000 2009.00 177.49 Agency Mortgage-Backed Securities FMAC 2041-11-01 4.000000 1439333.00 517226.93 Agency Mortgage-Backed Securities FNMA 2036-07-01 2.405000 1000.00 109.79 Agency Mortgage-Backed Securities USTR 254900HROIFWPRGM1V77 2046-08-15 2.250000 200.00 199.86 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-07-31 1.125000 32028200.00 31810488.31 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2045-08-15 0.00 33.06 17.83 U.S. Treasuries (including strips) FNMA 2045-06-01 2.455000 1025.00 403.12 Agency Mortgage-Backed Securities FNMA 2036-03-01 6.000000 16259.00 617.33 Agency Mortgage-Backed Securities GNMA 2046-10-20 3.000000 669706.00 474794.86 Agency Mortgage-Backed Securities UNITED STATES TREASURY 254900HROIFWPRGM1V77 2019-11-15 1.000000 9500000.00 9540198.22 U.S. Treasuries (including strips) FNMA 2037-08-01 4.088000 2706.00 93.92 Agency Mortgage-Backed Securities FNMA 2042-11-01 3.921000 372101.00 108377.97 Agency Mortgage-Backed Securities GNMA 2046-09-20 3.000000 2258049.00 1587933.50 Agency Mortgage-Backed Securities FMAC 2026-12-01 8.000000 5685732.00 85800.27 Agency Mortgage-Backed Securities FMAC 2036-01-01 4.952000 51995.00 496.31 Agency Mortgage-Backed Securities FNMA 2036-08-01 6.500000 2008.00 17.05 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-11-01 4.000000 285993.00 230076.73 Agency Mortgage-Backed Securities FNMA 2036-03-01 6.000000 22232366.00 360050.72 Agency Mortgage-Backed Securities FNMA 2023-12-01 5.500000 2325.00 89.55 Agency Mortgage-Backed Securities GNMA 2040-08-15 6.000000 1976608.00 1027867.02 Agency Mortgage-Backed Securities USTR 254900HROIFWPRGM1V77 2021-02-15 2.250000 38300.00 38755.50 U.S. Treasuries (including strips) FNMA 2025-03-01 5.570000 83000.00 82515.63 Agency Mortgage-Backed Securities FNMA 2039-01-01 6.500000 1716.00 53.77 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE A 2048-03-20 3.500000 18958557.00 16026569.47 Agency Mortgage-Backed Securities FMAC 2042-06-01 4.000000 379000.00 127047.69 Agency Mortgage-Backed Securities FNMA 2028-10-01 3.500000 91852.00 39278.28 Agency Mortgage-Backed Securities FNMA 2034-07-01 4.479000 8295910.00 551935.41 Agency Mortgage-Backed Securities FNMA 2048-01-01 3.500000 1181986.00 1032432.15 Agency Mortgage-Backed Securities GNMA 2024-09-15 4.000000 1068880.00 88369.45 Agency Mortgage-Backed Securities GNMA 2041-11-20 4.125000 1971.00 194.84 Agency Mortgage-Backed Securities GNMA 2035-07-20 6.000000 1025.00 57.64 Agency Mortgage-Backed Securities FNMA 2048-07-01 4.500000 4023703.00 3095298.97 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE A 2048-06-20 4.000000 33795.00 26654.82 Agency Mortgage-Backed Securities USTR 254900HROIFWPRGM1V77 2021-06-15 2.625000 100.00 102.47 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2048-05-15 0.00 7.06 3.57 U.S. Treasuries (including strips) FMAC 2044-01-01 3.500000 48625.00 20558.78 Agency Mortgage-Backed Securities FMAC 2047-09-01 3.500000 288356.00 222956.88 Agency Mortgage-Backed Securities GNMA 2048-10-20 4.000000 49593427.00 39708671.32 Agency Mortgage-Backed Securities FMAC 2039-04-01 5.500000 429580.00 47803.12 Agency Mortgage-Backed Securities FMAC 2039-02-01 7.000000 1079.00 609.78 Agency Mortgage-Backed Securities FNMA 2048-10-01 4.000000 40847408.00 33109763.83 Agency Mortgage-Backed Securities UNITED STATES TREASURY 254900HROIFWPRGM1V77 2019-11-07 0.00 700.00 699.78 U.S. Treasuries (including strips) FNMA 2047-12-01 4.500000 767124.00 661444.29 Agency Mortgage-Backed Securities GNMA 2048-11-20 4.000000 3732600.00 3020468.27 Agency Mortgage-Backed Securities FNMA 2029-01-01 3.000000 69408.00 22120.65 Agency Mortgage-Backed Securities FNMA 2045-08-01 4.000000 54019312.00 22699217.71 Agency Mortgage-Backed Securities FNMA 2044-06-01 5.000000 3894096.00 2099285.13 Agency Mortgage-Backed Securities FNMA 2036-04-01 6.000000 1488.00 47.74 Agency Mortgage-Backed Securities FNMA 2047-09-01 4.500000 1625383.00 1507447.19 Agency Mortgage-Backed Securities GNMA 2038-11-15 6.000000 6614801.00 369028.50 Agency Mortgage-Backed Securities USTR 254900HROIFWPRGM1V77 2029-01-15 0.875000 54428700.00 58571131.09 U.S. Treasuries (including strips) GNMA 2049-01-20 4.000000 7871215.00 6484312.57 Agency 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Mortgage-Backed Securities FMAC 2047-05-01 4.000000 970000.00 896137.84 Agency Mortgage-Backed Securities FNMA 2043-09-01 4.000000 2914000.00 1392201.17 Agency Mortgage-Backed Securities GNMA 2049-08-20 4.000000 1000.00 989.27 Agency Mortgage-Backed Securities FMAC 2048-07-01 4.000000 6275.00 5804.54 Agency Mortgage-Backed Securities FNMA 2041-05-01 5.000000 4802.00 674.77 Agency Mortgage-Backed Securities Y 2019-11-25 2019-11-25 2019-11-25 N N N 0.0176 350000000.00 350000000.00 0.0231 N N N Y FIXED INCOME CLEARING CORP TRI-PARTY FIXED INCOME CLEARING CO 1.720000% BNT5LF943 549300H47WTHXPU08X20 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N USTR 254900HROIFWPRGM1V77 2047-05-15 3.000000 285465000.00 332056884.51 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2049-02-15 1.000000 350000000.00 395189550.00 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2049-05-15 2.875000 100000000.00 114257500.00 U.S. Treasuries (including strips) Y 2019-11-01 2019-11-01 2019-11-01 N N N 0.0172 825000000.00 825000000.00 0.0544 N Y Y N ROYAL BANK OF CANADA (NEW YORK BRANCH) TRI-PARTY ROYAL BANK OF CANADA (NE 1.650000% BNT5LF9P6 ES7IP3U3RHIGC71XBU11 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N Federal Home Loan Mortgage - FHLMC - Freddie Mac 2042-09-01 3.500000 30806006.00 12679046.89 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2042-08-01 3.500000 105009475.00 44234614.13 Agency Mortgage-Backed Securities Federal Home Loan Mortgage - FHLMC - Freddie Mac 2042-08-01 3.500000 10803466.00 4818339.60 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE - F 2035-10-01 4.155000 32639087.00 5226742.75 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2043-10-01 3.092000 197621.00 54899.72 Agency Mortgage-Backed Securities FNMA 2042-05-01 4.670000 23100032.00 2381589.08 Agency Mortgage-Backed Securities FNMA 2032-11-01 3.000000 1914750.00 772730.14 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE - F 2038-02-01 4.023000 2566.00 789.92 Agency Mortgage-Backed Securities FNMA 2042-07-01 4.632000 31398861.00 6979891.10 Agency Mortgage-Backed Securities FNMA 2046-09-01 3.500000 31391937.00 24202665.79 Agency Mortgage-Backed Securities FMAC 2047-04-01 3.500000 1763654.00 1383867.20 Agency Mortgage-Backed Securities FMAC 2043-11-01 4.000000 1355017.00 599955.14 Agency Mortgage-Backed Securities FMAC 2047-06-01 4.000000 29746019.00 24327077.41 Agency Mortgage-Backed Securities FMAC 2047-07-01 4.500000 882955.00 728973.52 Agency Mortgage-Backed Securities FNMA 2042-01-01 4.896000 15858346.00 1433690.57 Agency Mortgage-Backed Securities FNMA 2040-07-01 4.481000 2388616.00 371046.30 Agency Mortgage-Backed Securities FNMA 2047-07-01 4.000000 9822860.00 8623469.93 Agency Mortgage-Backed Securities FNMA 2039-03-01 4.408000 9613489.00 1449276.19 Agency Mortgage-Backed Securities FNMA 2047-08-01 4.500000 24526036.00 20591689.02 Agency Mortgage-Backed Securities FNMA 2048-01-01 4.000000 25445868.00 22987361.66 Agency Mortgage-Backed Securities FNMA 2035-06-01 4.190000 345127.00 12882.50 Agency Mortgage-Backed Securities FNMA 2047-09-01 3.500000 6177079.00 5522567.08 Agency Mortgage-Backed Securities FNMA 2046-11-01 3.500000 22191530.00 17411076.19 Agency Mortgage-Backed Securities FMAC 2048-05-01 4.000000 89691329.00 81163681.61 Agency Mortgage-Backed Securities FMAC 2048-09-01 3.500000 16358056.00 13917536.26 Agency Mortgage-Backed Securities FNMA 2027-07-01 2.960000 54606.00 57479.18 Agency Mortgage-Backed Securities FNMA 2048-09-01 4.000000 2576961.00 2039725.25 Agency Mortgage-Backed Securities FMAC 2048-07-01 3.652000 2607003.00 1448951.63 Agency Mortgage-Backed Securities FNMA 2048-02-01 4.000000 30000000.00 29058576.05 Agency Mortgage-Backed Securities FMAC 2048-09-01 4.000000 9405742.00 7420515.27 Agency Mortgage-Backed Securities FNMA 2047-08-01 4.500000 3260898.00 2592465.95 Agency Mortgage-Backed Securities FNMA 2041-02-01 4.000000 3622456.00 1453029.51 Agency Mortgage-Backed Securities FNMA 2051-06-01 4.000000 2645326.00 2458847.39 Agency Mortgage-Backed Securities FNMA 2048-11-01 4.500000 5387084.00 5472409.90 Agency Mortgage-Backed Securities FNMA 2048-06-01 4.500000 32602207.00 31850152.17 Agency Mortgage-Backed Securities FMAC 2048-06-01 4.500000 43260.00 41063.65 Agency Mortgage-Backed Securities FNMA 2044-02-01 4.000000 1853342.00 999882.38 Agency Mortgage-Backed Securities FNMA 2044-06-01 4.500000 5081784.00 4809774.35 Agency Mortgage-Backed Securities FNMA 2048-12-01 4.000000 100017110.00 81814298.86 Agency Mortgage-Backed Securities FMAC 2039-12-01 4.624000 9500000.00 1565236.92 Agency Mortgage-Backed Securities FMAC 2038-06-01 4.840000 808527.00 346466.38 Agency Mortgage-Backed Securities FMAC 2047-02-01 3.000000 10561006.00 8708699.23 Agency Mortgage-Backed Securities FMAC 2048-10-01 4.500000 11077454.00 10643409.16 Agency Mortgage-Backed Securities FMAC 2048-05-01 4.500000 3462000.00 3184363.33 Agency Mortgage-Backed Securities FNMA 2037-08-01 2.405000 77731768.00 2120720.88 Agency Mortgage-Backed Securities FNMA 2041-09-01 3.647000 38514912.00 3557331.28 Agency Mortgage-Backed Securities FNMA 2047-10-01 2.967000 6254054.00 4066277.91 Agency Mortgage-Backed Securities FNMA 2048-10-01 4.000000 49127546.00 40767281.04 Agency Mortgage-Backed Securities FNMA 2048-01-01 3.500000 54459408.00 51804867.75 Agency Mortgage-Backed Securities FNMA 2048-05-01 4.500000 3717048.00 3613148.42 Agency Mortgage-Backed Securities FNMA 2038-10-01 4.132000 18050000.00 622430.85 Agency Mortgage-Backed Securities FMAC 2042-07-01 3.500000 125027.00 71628.43 Agency Mortgage-Backed Securities FNMA 2029-03-01 3.235000 945793.00 1016471.01 Agency Mortgage-Backed Securities FNMA 2047-08-01 3.500000 2151818.00 1879272.36 Agency Mortgage-Backed Securities GNMA 2042-04-20 3.500000 2823086.00 1371027.38 Agency Mortgage-Backed Securities FNMA 2043-05-01 3.500000 409870.00 383839.78 Agency Mortgage-Backed Securities FMAC 2048-12-01 4.500000 407894.00 387859.05 Agency Mortgage-Backed Securities FMAC 2048-03-01 3.500000 453461.00 407363.31 Agency Mortgage-Backed Securities FNMA 2044-10-01 2.875000 5463057.00 1549861.48 Agency Mortgage-Backed Securities FNMA 2033-11-01 4.333000 19912496.00 931737.57 Agency Mortgage-Backed Securities FNMA 2029-04-01 3.495000 1480159.00 1620429.96 Agency Mortgage-Backed Securities FNMA 2049-02-01 4.000000 690855.00 627377.57 Agency Mortgage-Backed Securities FNMA 2039-05-01 4.611000 800000.00 56195.70 Agency Mortgage-Backed Securities FMAC 2047-12-01 2.898000 2388481.00 1487644.03 Agency Mortgage-Backed Securities FNMA 2048-04-01 4.000000 4890039.00 4525164.53 Agency Mortgage-Backed Securities FNMA 2028-10-01 3.840000 9940000.00 11089570.94 Agency Mortgage-Backed Securities FNMA 2028-10-01 3.770000 453324.00 502871.25 Agency Mortgage-Backed Securities FNMA 2048-09-01 4.500000 11704676.00 11042475.93 Agency Mortgage-Backed Securities FNMA 2048-12-01 4.500000 3543883.00 3155818.71 Agency Mortgage-Backed Securities FMAC 2049-05-01 3.500000 11387186.00 10567398.56 Agency Mortgage-Backed Securities FMAC 2049-03-01 4.000000 6929295.00 6655744.37 Agency Mortgage-Backed Securities FMAC 2049-01-01 4.500000 123920137.00 121986254.91 Agency Mortgage-Backed Securities FNMA 2027-03-01 3.120000 10726364.00 11298537.88 Agency Mortgage-Backed Securities FMAC 2049-07-01 3.500000 1042239.00 1034436.64 Agency Mortgage-Backed Securities FMAC 2048-02-01 4.500000 7490499.00 6867675.18 Agency Mortgage-Backed Securities FMAC 2048-02-01 3.500000 8012195.00 7221346.01 Agency Mortgage-Backed Securities FNMA 2048-08-01 4.000000 6452239.00 6169305.58 Agency Mortgage-Backed Securities FNMA 2049-06-01 3.000000 357124.00 354334.25 Agency Mortgage-Backed Securities FNMA 2047-08-01 4.000000 171149.00 165912.97 Agency Mortgage-Backed Securities FNMA 2048-11-01 4.000000 18786926.00 15445459.32 Agency Mortgage-Backed Securities FMAC 2048-12-01 3.500000 46389474.00 42065229.42 Agency Mortgage-Backed Securities FMAC 2023-08-01 2.700000 731387.00 736651.52 Agency Mortgage-Backed Securities FNMA 2047-12-01 4.500000 1993272.00 1607325.21 Agency Mortgage-Backed Securities FNMA 2048-11-01 4.000000 12830854.00 11665817.02 Agency Mortgage-Backed Securities FNMA 2047-09-01 4.000000 24703112.00 23230758.79 Agency Mortgage-Backed Securities FNMA 2047-09-01 4.000000 4000342.00 3445671.29 Agency Mortgage-Backed Securities FNMA 2049-08-01 3.000000 7672563.00 7712756.33 Agency Mortgage-Backed Securities FNMA 2049-10-01 3.000000 103258808.00 104843073.47 Agency Mortgage-Backed Securities GNMA 2047-06-15 5.000000 458219.00 426838.16 Agency Mortgage-Backed Securities Y 2019-11-07 2019-11-07 2019-11-07 N N N 0.0165 1000000000.00 1000000000.00 0.0659 N N Y N NATWEST MARKETS SECURITIES INC TRI-PARTY NATWEST MARKETS SECURITI 1.630000% BNT5LFA09 ZE2ZWJ5BTIQJ8M0C6K34 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N Department of the Treasury 254900HROIFWPRGM1V77 2021-02-28 1.125000 255209600.00 254047452.61 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-04-15 0.125000 236426100.00 253881408.93 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2025-06-30 2.750000 143692600.00 153925320.21 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2023-08-31 2.750000 98339700.00 103145906.95 U.S. Treasuries (including strips) Y 2019-11-07 2019-11-07 2019-11-07 N N N 0.0163 750000000.00 750000000.00 0.0494 N N Y N NATWEST MARKETS SECURITIES INC TRI-PARTY NATWEST MARKETS SECURITI 1.640000% BNT5LFA17 ZE2ZWJ5BTIQJ8M0C6K34 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N USTR 254900HROIFWPRGM1V77 2023-05-31 2.750000 27272200.00 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2049-01-01 5.500000 732156.00 687038.47 Agency Mortgage-Backed Securities FMAC 2049-07-01 4.500000 1378080.00 1485075.90 Agency Mortgage-Backed Securities FMAC 2036-01-01 5.500000 351903.00 6295.55 Agency Mortgage-Backed Securities FMAC 2033-09-01 4.000000 1259156.00 1253109.64 Agency Mortgage-Backed Securities FMAC 2026-03-01 4.500000 3338257.00 2262911.50 Agency Mortgage-Backed Securities FMAC 2047-12-01 3.000000 6430000.00 5995753.92 Agency Mortgage-Backed Securities FMAC 2035-03-01 6.000000 66000.00 62847.40 Agency Mortgage-Backed Securities FMAC 2036-04-01 6.000000 47000.00 42127.91 Agency Mortgage-Backed Securities FMAC 2029-01-01 6.000000 12499749.00 4826442.53 Agency Mortgage-Backed Securities FMAC 2049-01-01 4.500000 771793.00 631008.23 Agency Mortgage-Backed Securities FMAC 2046-04-01 4.000000 1661907.00 1356797.86 Agency Mortgage-Backed Securities FMAC 2047-12-01 4.500000 740000.00 579083.79 Agency Mortgage-Backed Securities FMAC 2048-11-01 4.000000 8243594.00 8218534.10 Agency Mortgage-Backed Securities FMAC 2039-10-01 4.500000 1020372.00 1083319.77 Agency Mortgage-Backed Securities Y 2019-11-01 2019-11-01 2019-11-01 N N N 0.0175 255000000.00 255000000.00 0.0168 N Y Y N CITIGROUP GLOBAL MARKETS INC TRI-PARTY CITIGROUP GLOBAL MARKETS 1.740000% BNT5LFAU3 MBNUM2BPBDO7JBLYG310 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FNMA 2048-06-01 4.000000 29027.00 23948.63 Agency Mortgage-Backed Securities FNMA 2048-07-01 3.500000 934571.00 821090.65 Agency Mortgage-Backed Securities FNMA 2048-11-01 4.500000 6128000.00 5042942.80 Agency Mortgage-Backed Securities FNMA 2048-07-01 5.000000 17914777.00 13383488.95 Agency Mortgage-Backed Securities FNMA 2049-02-01 5.000000 6303136.00 5265968.36 Agency Mortgage-Backed Securities FNMA 2048-08-01 4.040000 8750000.00 9576058.33 Agency Mortgage-Backed Securities FNMA 2048-10-01 4.500000 7163.00 6978.82 Agency Mortgage-Backed Securities FNMA 2048-12-01 4.280000 6016637.00 6646534.77 Agency Mortgage-Backed Securities FNMA 2048-11-01 3.500000 3365000.00 2968942.02 Agency Mortgage-Backed Securities FNMA 2048-07-01 5.000000 581985.00 521314.90 Agency Mortgage-Backed Securities FNMA 2048-08-01 4.500000 9630336.00 7793732.62 Agency Mortgage-Backed Securities FNMA 2048-08-01 5.000000 395722.00 367039.34 Agency Mortgage-Backed Securities FNMA 2048-09-01 4.000000 6119255.00 5169645.03 Agency Mortgage-Backed Securities FNMA 2048-12-01 4.000000 947865.00 945994.30 Agency Mortgage-Backed Securities FNMA 2049-03-01 4.500000 10107773.00 9288167.21 Agency Mortgage-Backed Securities FNMA 2048-12-01 3.500000 1000000.00 955551.49 Agency Mortgage-Backed Securities FNMA 2048-11-01 3.500000 22616326.00 22802537.54 Agency Mortgage-Backed Securities FNMA 2049-02-01 4.000000 25381223.00 24713423.96 Agency Mortgage-Backed Securities FNMA 2048-11-01 4.000000 9468716.00 6454073.95 Agency Mortgage-Backed Securities FNMA 2049-01-01 3.500000 645503.00 557986.67 Agency Mortgage-Backed Securities Y 2019-11-01 2019-11-01 2019-11-01 N N N 0.0174 119714000.00 119714000.00 0.0079 N Y Y N BANK OF AMERICA NA TRI-PARTY BANK OF AMERICA NA 1.740000% BNT5LFB24 B4TYDEB6GKMZO031MB27 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N GNMA 2046-10-20 3.000000 210660641.00 149350000.07 Agency Mortgage-Backed Securities Y 2019-11-01 2019-11-01 2019-11-01 N N N 0.0174 145000000.00 145000000.00 0.0096 N Y Y N NOMURA SECURITIES INTERNATIONAL INC TRI-PARTY NOMURA SECURITIES INTERN 1.730000% BNT5LFBC2 OXTKY6Q8X53C9ILVV871 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N TSY INFL IX N/B 2026-01-15 2.000000 38795100.00 55713512.18 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2026-11-15 6.500000 126500.00 170341.04 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2021-08-15 0.00 22725.00 22042.09 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2040-02-15 4.625000 54100000.00 76923832.96 U.S. Treasuries (including strips) Federal Home Loan Mortgage - FHLMC - Freddie Mac 2032-07-15 6.250000 202000.00 298275.05 Agency Debentures and Agency Strips Department of the Treasury 254900HROIFWPRGM1V77 2040-05-15 0.00 335000.00 214349.75 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2022-11-15 0.00 792405.62 753252.86 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2022-11-15 0.00 1451074.43 1379376.84 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2023-08-15 0.00 397313.34 372799.11 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2023-08-15 0.00 218250.75 204784.68 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2024-02-15 0.00 281223.08 261244.99 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2024-02-15 0.00 21291574.22 19779020.79 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2025-02-15 0.00 197951.15 180628.44 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2025-02-15 0.00 832940.24 760049.64 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2034-08-15 0.00 22725.00 16622.20 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2022-05-15 0.00 1530745.29 1466055.99 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2022-05-15 0.00 57.20 54.78 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2025-05-15 0.00 1451018.97 1316378.92 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2026-02-15 0.00 397334.44 355483.20 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2026-11-15 0.00 4358057.67 3838446.45 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2027-05-15 0.00 1451069.02 1263590.90 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2027-11-15 0.00 8881069.00 7662852.77 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2030-02-15 0.00 337945.20 276598.01 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2036-05-15 0.00 1451069.38 1014108.86 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2039-02-15 0.00 22725.00 14721.48 U.S. Treasuries (including strips) Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2030-05-15 7.250000 5515000.00 8392766.52 Agency Debentures and Agency Strips Department of the Treasury 254900HROIFWPRGM1V77 2035-02-15 0.00 22725.00 16410.18 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2036-08-15 0.00 8355341.22 5800612.09 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2036-08-15 0.00 281250.00 195255.00 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2037-02-15 0.00 281270.43 193103.40 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2037-02-15 0.00 2020454.01 1387122.50 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2026-08-15 0.00 397316.44 351585.32 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2027-02-15 0.00 22725.00 19923.46 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2027-08-15 0.00 4564768.98 3957198.23 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2030-08-15 0.00 22725.00 18384.07 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2037-11-15 0.00 2467597.88 1653882.80 U.S. Treasuries (including strips) Tennessee Valley Authority - TVA 2025-11-01 0.00 17207000.00 15216666.31 Agency Debentures and Agency Strips Department of the Treasury 254900HROIFWPRGM1V77 2041-11-15 3.125000 4550400.00 5341219.58 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2025-11-15 0.00 1451109.74 1303198.12 U.S. Treasuries (including strips) Tennessee Valley Authority - TVA 2056-04-01 5.375000 6304000.00 9805934.16 Agency Debentures and Agency Strips Department of the Treasury 254900HROIFWPRGM1V77 2031-02-15 0.00 3900.00 3177.37 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2031-08-15 0.00 22725.00 17917.98 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2032-02-15 0.00 22725.00 17707.09 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2035-08-15 0.00 22725.00 16199.74 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2030-11-15 0.00 1339666.45 1077145.41 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2019-11-15 0.00 1450511.08 1449524.73 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2021-05-15 0.00 1015.63 988.89 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2023-02-15 0.00 22725.00 21504.89 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2024-05-15 0.00 4325310.80 3998836.34 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2024-11-15 0.00 1451069.26 1329977.53 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2024-11-15 0.00 5.12 4.69 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2025-08-15 0.00 9173600.46 8290274.47 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2026-05-15 0.00 1748018.13 1554477.56 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2028-05-15 0.00 1451121.33 1236587.55 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2028-11-15 0.00 1451069.25 1224034.96 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2035-11-15 0.00 1434789.04 1014238.02 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2035-11-15 0.00 128.16 90.60 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2024-08-15 0.00 896010.58 824517.90 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2024-08-15 0.00 7051299.88 6488676.66 U.S. Treasuries (including strips) Federal Home Loan Mortgage - FHLMC - Freddie Mac 2029-09-15 0.00 30887000.00 24645663.91 Agency Debentures and Agency Strips Federal Home Loan Mortgage - FHLMC - Freddie Mac 2032-07-15 0.00 51343000.00 38011276.62 Agency Debentures and Agency Strips Department of the Treasury 254900HROIFWPRGM1V77 2027-08-15 0.00 970000.00 848653.00 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2033-02-15 0.00 22725.00 17266.23 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2023-05-15 0.00 228344.68 215007.07 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2023-05-15 0.00 753384.99 709379.77 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2030-05-15 0.00 1435073.71 1169068.45 U.S. Treasuries (including strips) Federal Home Loan Mortgage - FHLMC - Freddie Mac 2031-03-15 6.750000 74000.00 109054.36 Agency Debentures and Agency Strips Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2030-05-15 0.00 13023000.00 10241677.89 Agency Debentures and Agency Strips Federal Home Loan Mortgage - FHLMC - Freddie Mac 2022-01-13 2.375000 135000.00 137923.97 Agency Debentures and Agency Strips Department of the Treasury 254900HROIFWPRGM1V77 2032-08-15 0.00 22725.00 17483.02 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2033-08-15 0.00 22725.00 17043.98 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2034-02-15 0.00 128731.02 95273.83 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2034-02-15 0.00 281310.16 208197.65 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2033-05-15 0.00 1451073.24 1096677.62 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2022-02-15 0.00 22728.95 21860.48 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2028-02-15 0.00 817370.37 700143.11 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2028-02-15 0.00 281252.23 240915.04 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2028-08-15 0.00 3165082.26 2684116.36 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2029-02-15 0.00 22725.00 19071.96 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2029-05-15 0.00 291499.99 242895.28 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2037-08-15 0.00 1474796.59 995531.94 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2037-08-15 0.00 281250.00 189852.19 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2038-02-15 0.00 281156.82 187343.22 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2038-02-15 0.00 84528121.88 56323623.45 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2038-11-15 0.00 1451017.30 943611.06 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2040-08-15 0.00 2942723.26 1820456.89 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2041-08-15 0.00 15082983.90 9053711.92 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2041-11-15 0.00 56770749.40 33891001.98 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2042-02-15 0.00 2270486.72 1345565.36 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2042-05-15 0.00 1325825.99 779943.66 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2042-08-15 0.00 3489152.28 2036618.19 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2042-08-15 0.00 281250.00 164165.62 U.S. Treasuries (including strips) Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2030-11-15 6.625000 1481000.00 2184415.14 Agency Debentures and Agency Strips Department of the Treasury 254900HROIFWPRGM1V77 2038-05-15 0.00 15928381.99 10550960.23 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2038-08-15 0.00 4234350.64 2775405.13 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2039-05-15 0.00 38915516.54 25032406.01 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2040-02-15 0.00 2510440.98 1576833.08 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2040-05-15 0.00 1173068.77 731748.57 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2042-11-15 0.00 1450939.73 840659.97 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2043-02-15 0.00 1245268.32 714285.91 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2043-05-15 0.00 1451038.79 826888.96 U.S. Treasuries (including strips) Tennessee Valley 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254900HROIFWPRGM1V77 2044-11-15 0.00 1879277.33 1030201.04 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2045-05-15 3.000000 20981100.00 24278850.00 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-03-31 1.375000 4700000.00 4700350.70 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2020-04-15 0.125000 66983700.00 73007439.14 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2045-02-15 0.00 125254.24 68308.65 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2022-05-31 1.875000 10000000.00 10139281.15 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2022-07-31 2.000000 5436400.00 5517293.63 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2045-05-15 0.00 1350502.26 732836.55 U.S. Treasuries (including strips) Department of the Treasury 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5.500000 400000.00 22486.17 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2040-09-01 4.500000 5000.00 609.89 Agency Mortgage-Backed Securities Department of the Treasury 254900HROIFWPRGM1V77 2021-11-15 8.000000 1000.00 1162.09 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2022-08-15 7.250000 200.00 233.37 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2041-02-15 4.750000 1000.00 1451.71 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2037-02-15 4.750000 1000.00 1415.93 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2037-05-15 5.000000 200.00 293.77 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2039-05-15 4.250000 206000.00 281329.39 U.S. Treasuries (including strips) Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2040-12-01 4.000000 265003.00 41100.10 Agency Mortgage-Backed Securities Department of the Treasury 254900HROIFWPRGM1V77 2028-04-15 3.625000 5000.00 10138.33 U.S. Treasuries (including strips) FEDERAL HOME LOAN BANKS 2549001DPIFGXC1TOL40 2019-12-19 0.00 100000.00 99773.00 Agency Debentures and Agency Strips Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2041-02-01 4.000000 43041.00 9087.92 Agency Mortgage-Backed Securities Department of the Treasury 254900HROIFWPRGM1V77 2027-02-15 0.00 0.01 0.01 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2041-11-15 3.125000 4266000.00 5007393.36 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2021-02-15 3.625000 20000.00 20643.04 U.S. Treasuries (including strips) Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2026-08-01 3.500000 124777.00 24656.36 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2021-10-01 5.000000 310000.00 2092.22 Agency Mortgage-Backed Securities Department of the Treasury 254900HROIFWPRGM1V77 2019-11-30 1.000000 4730000.00 4746263.29 U.S. Treasuries (including strips) Government National Mortgage Association - GNMA - Ginnie Mae 2024-07-15 4.000000 2106978.00 159950.87 Agency Mortgage-Backed Securities Department of the Treasury 254900HROIFWPRGM1V77 2043-02-15 3.125000 234400.00 273225.25 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2023-05-15 1.750000 18000.00 18208.74 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2020-08-31 2.125000 50000.00 50360.21 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2021-03-31 2.250000 25000.00 25240.89 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2024-05-15 2.500000 1119600.00 1173870.34 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2021-07-31 2.250000 8000.00 8122.21 U.S. Treasuries (including strips) Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2022-11-01 2.500000 1200000.00 149503.99 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE A 2044-05-20 3.500000 130000.00 42290.98 Agency Mortgage-Backed Securities Department of the Treasury 254900HROIFWPRGM1V77 2044-11-15 3.000000 5001000.00 5775490.74 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2021-10-31 2.000000 500000.00 503291.00 U.S. Treasuries (including strips) Federal Home Loan Bank System - FHLB 2024-09-13 2.875000 13960000.00 14741808.47 Agency Debentures and Agency Strips UNITED STATES TREASURY 254900HROIFWPRGM1V77 2019-11-30 1.500000 5000.00 5029.64 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-01-31 1.250000 91500.00 91692.98 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2020-04-15 0.125000 35000.00 38147.50 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2025-05-15 2.125000 100000.00 103295.88 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2025-08-15 2.000000 25100.00 25625.72 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-07-31 1.625000 17747500.00 17815517.29 U.S. Treasuries (including strips) Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2043-08-01 3.500000 63000.00 30961.86 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2025-02-01 3.000000 11000.00 2999.02 Agency Mortgage-Backed Securities UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-09-30 1.375000 45000.00 44929.56 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2020-10-31 1.375000 1323000.00 1318955.59 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2020-11-30 1.625000 1141600.00 1148652.85 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2026-02-15 1.625000 103000.00 102847.57 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2023-04-30 1.625000 62000.00 61959.08 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2023-09-30 1.375000 40000.00 39630.98 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-10-31 1.250000 2947000.00 2922480.96 U.S. Treasuries (including strips) FMAC 2046-09-01 3.000000 1893864.00 1442819.62 Agency Mortgage-Backed Securities USTR 254900HROIFWPRGM1V77 2022-04-30 1.875000 427000.00 429352.77 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2024-04-30 2.000000 8000.00 8119.04 U.S. Treasuries (including strips) GNMA 2032-05-20 2.500000 151215.00 107747.02 Agency Mortgage-Backed Securities FNMA 2047-05-01 4.000000 1000.00 708.95 Agency Mortgage-Backed Securities FNMA 2047-05-01 4.500000 7000.00 4287.12 Agency Mortgage-Backed Securities FMAC 2046-12-01 3.000000 189459.00 149804.59 Agency Mortgage-Backed Securities FMAC 2020-09-29 1.625000 735000.00 735752.87 Agency Debentures and Agency Strips FNMA 2046-10-01 3.000000 108000.00 84012.55 Agency Mortgage-Backed Securities USTR 254900HROIFWPRGM1V77 2022-09-30 1.875000 4000.00 4033.87 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2022-10-31 2.000000 2929000.00 2959666.63 U.S. Treasuries (including strips) FMAC 2029-01-01 2.500000 360000.00 169762.41 Agency Mortgage-Backed Securities FNMA 2044-09-01 4.000000 5000.00 1295.30 Agency Mortgage-Backed Securities UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-01-31 1.636743 30000.00 29988.60 U.S. Treasuries (including strips) FNMA 2020-07-30 1.500000 390000.00 390923.13 Agency Debentures and Agency Strips FMAC 2046-11-01 3.000000 45784342.00 35695838.30 Agency Mortgage-Backed Securities FNMA 2048-01-01 3.500000 20138.00 17589.99 Agency Mortgage-Backed Securities USTR 254900HROIFWPRGM1V77 2021-04-15 2.375000 13000.00 13140.77 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-04-30 2.375000 180000.00 180641.70 U.S. Treasuries (including strips) FHLB 2022-09-30 5.375000 40000.00 44275.57 Agency Debentures and Agency Strips FNMA 2042-09-01 4.000000 8000.00 2407.51 Agency Mortgage-Backed Securities FNMA 2048-06-01 4.500000 1810486.00 1411238.77 Agency Mortgage-Backed Securities USTR 254900HROIFWPRGM1V77 2025-05-31 2.875000 8000.00 8601.19 U.S. Treasuries (including strips) FNMA 2021-06-22 2.750000 29000.00 29777.43 Agency Debentures and Agency Strips FNMA 2032-02-01 6.000000 2040008.00 15276.54 Agency Mortgage-Backed Securities FNMA 2032-12-01 3.000000 6000.00 4639.43 Agency Mortgage-Backed Securities FNMA 2033-06-01 3.500000 2000.00 1599.25 Agency Mortgage-Backed Securities UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-07-31 2.625000 1000.00 1013.63 U.S. Treasuries (including strips) FNMA 2047-05-01 3.500000 22003.00 16979.63 Agency Mortgage-Backed Securities USTR 254900HROIFWPRGM1V77 2023-06-30 2.625000 1000.00 1043.69 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2048-08-15 3.000000 545100.00 631992.85 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-08-15 2.750000 54000.00 55318.90 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2023-08-31 2.750000 40000.00 41815.54 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-09-30 2.750000 1623000.00 1642424.45 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2023-10-31 2.875000 1536800.00 1609506.01 U.S. Treasuries (including strips) FNMA 2036-07-01 6.500000 249997.00 6710.10 Agency Mortgage-Backed Securities USTR 254900HROIFWPRGM1V77 2021-11-15 2.875000 225000.00 233420.20 U.S. Treasuries (including strips) FNMA 2048-11-01 5.000000 593634.00 463322.57 Agency Mortgage-Backed Securities FNMA 2049-01-01 4.500000 15000.00 11401.77 Agency Mortgage-Backed Securities UNITED STATES TREASURY 254900HROIFWPRGM1V77 2019-12-05 0.00 7500.00 7488.52 U.S. Treasuries (including strips) GNMA 2049-01-20 4.500000 22490.00 18190.93 Agency Mortgage-Backed Securities UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-01-30 0.00 1403600.00 1398013.67 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-01-31 2.500000 115000.00 116864.15 U.S. Treasuries (including strips) FHLB 2024-02-13 2.500000 10905000.00 11319904.96 Agency Debentures and Agency Strips USTR 254900HROIFWPRGM1V77 2049-02-15 3.000000 15400.00 17901.07 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2029-02-15 2.625000 361000.00 388873.72 U.S. Treasuries (including strips) FNMA 2034-08-01 5.500000 330000.00 10856.73 Agency Mortgage-Backed Securities FNMA 2036-01-01 6.500000 370258.00 6600.79 Agency Mortgage-Backed Securities FMAC 2030-06-01 3.000000 697556.00 338829.67 Agency Mortgage-Backed Securities FMAC 2030-08-01 3.000000 58869.00 35007.43 Agency Mortgage-Backed Securities GNMA 2034-12-20 7.000000 472523.00 4365.76 Agency Mortgage-Backed Securities GNMA 2035-04-20 7.000000 352697.00 2831.64 Agency Mortgage-Backed Securities UNITED STATES TREASURY 254900HROIFWPRGM1V77 2021-04-30 1.775743 29500.00 29457.70 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2024-04-30 2.250000 9000.00 9233.82 U.S. Treasuries (including strips) FNMA 2049-04-01 4.000000 752336.00 672785.99 Agency Mortgage-Backed Securities FMAC 2049-02-01 5.000000 126520.00 100069.99 Agency Mortgage-Backed Securities FNMA 2026-01-01 3.500000 30933.00 3191.20 Agency Mortgage-Backed Securities FNMA 2031-03-01 4.000000 16000.00 7819.07 Agency Mortgage-Backed Securities FNMA 2049-06-01 4.000000 11212430.00 11542152.31 Agency Mortgage-Backed Securities FNMA 2034-04-01 3.500000 20539161.00 19144444.72 Agency Mortgage-Backed Securities FNMA 2025-01-01 3.500000 30618.00 2480.40 Agency Mortgage-Backed Securities FNMA 2034-05-01 3.000000 197793.00 183185.84 Agency Mortgage-Backed Securities USTR 254900HROIFWPRGM1V77 2049-05-15 2.875000 1176100.00 1343792.02 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-05-31 2.125000 25000.00 25389.08 U.S. Treasuries (including strips) FMAC 2049-06-01 3.500000 414507.00 403179.49 Agency Mortgage-Backed Securities UNITED STATES TREASURY 254900HROIFWPRGM1V77 2019-12-12 0.00 3626000.00 3619509.46 U.S. Treasuries (including strips) FMAC 2030-02-01 3.500000 52000.00 22310.59 Agency Mortgage-Backed Securities GNMA 2049-06-20 5.000000 299655.00 313103.83 Agency Mortgage-Backed Securities FMAC 2020-12-01 4.000000 204000.00 953.60 Agency Mortgage-Backed Securities FMAC 2020-04-01 4.000000 3019606.00 4335.77 Agency Mortgage-Backed Securities FMAC 2025-10-01 4.000000 103000.00 7402.18 Agency Mortgage-Backed Securities FMAC 2025-10-01 3.500000 3041278.00 357874.64 Agency Mortgage-Backed Securities FMAC 2019-12-01 4.000000 1193000.00 698.46 Agency Mortgage-Backed Securities FMAC 2025-01-01 4.000000 50000.00 957.62 Agency Mortgage-Backed Securities FMAC 2020-02-01 4.000000 1036000.00 1943.55 Agency Mortgage-Backed Securities FMAC 2020-05-01 4.000000 47553.00 290.20 Agency Mortgage-Backed Securities FMAC 2025-08-01 4.000000 99201.00 8793.44 Agency Mortgage-Backed Securities FMAC 2026-05-01 4.000000 39000.00 3811.89 Agency Mortgage-Backed Securities FMAC 2026-04-01 4.000000 25000.00 2337.71 Agency Mortgage-Backed Securities FMAC 2023-05-01 3.500000 39818.00 6013.81 Agency Mortgage-Backed Securities FMAC 2030-08-01 3.500000 51570.00 24799.75 Agency Mortgage-Backed Securities FMAC 2030-09-01 3.500000 90000.00 57661.92 Agency Mortgage-Backed Securities FMAC 2024-12-01 4.000000 127392.00 44126.60 Agency Mortgage-Backed Securities FMAC 2020-06-01 4.000000 238000.00 22.87 Agency Mortgage-Backed Securities FMAC 2026-02-01 4.000000 41000.00 3337.08 Agency Mortgage-Backed Securities FMAC 2023-02-01 5.500000 5363852.00 67487.45 Agency Mortgage-Backed Securities FMAC 2023-03-01 4.000000 165000.00 2197.52 Agency Mortgage-Backed Securities FMAC 2020-02-01 4.000000 554842.00 47.38 Agency Mortgage-Backed Securities FMAC 2025-09-01 4.000000 48000.00 3613.90 Agency Mortgage-Backed Securities FMAC 2025-06-01 4.000000 25000.00 1697.51 Agency Mortgage-Backed Securities FMAC 2026-12-01 4.000000 50000.00 5369.69 Agency Mortgage-Backed Securities FMAC 2023-03-01 4.000000 150561.00 803.43 Agency Mortgage-Backed Securities FMAC 2031-01-01 3.500000 275000.00 143086.64 Agency Mortgage-Backed Securities FMAC 2024-06-01 4.000000 25000.00 971.72 Agency Mortgage-Backed Securities FMAC 2024-07-01 4.000000 72000.00 3023.97 Agency Mortgage-Backed Securities FMAC 2028-11-01 3.000000 500000.00 160714.34 Agency Mortgage-Backed Securities FMAC 2049-08-01 4.500000 465777.00 470200.16 Agency Mortgage-Backed Securities FNMA 2028-07-01 3.500000 335300.00 116654.42 Agency Mortgage-Backed Securities FNMA 2028-09-01 3.000000 561445.00 197303.16 Agency Mortgage-Backed Securities FNMA 2031-09-01 2.500000 1021895.00 663460.36 Agency Mortgage-Backed Securities FNMA 2042-02-01 4.000000 5966.00 1696.79 Agency Mortgage-Backed Securities GNMA 2026-05-15 3.500000 1000000.00 114983.42 Agency Mortgage-Backed Securities GNMA 2032-04-20 2.500000 74125.00 51882.03 Agency Mortgage-Backed Securities GNMA 2032-08-20 3.000000 310532.00 217250.00 Agency Mortgage-Backed Securities GNMA 2032-12-20 2.500000 264126.00 211698.39 Agency Mortgage-Backed Securities GNMA 2048-09-20 3.000000 632343.00 628959.55 Agency Mortgage-Backed Securities GNMA 2033-03-20 2.500000 1033893.00 666747.59 Agency Mortgage-Backed Securities GNMA 2048-01-20 3.000000 1030097.00 1018173.78 Agency Mortgage-Backed Securities GNMA 2048-09-20 3.000000 1346143.00 1358204.78 Agency Mortgage-Backed Securities GNMA 2026-02-15 3.000000 1000000.00 155294.21 Agency Mortgage-Backed Securities USTR 254900HROIFWPRGM1V77 2022-07-15 1.750000 99000.00 99786.64 U.S. Treasuries (including strips) FMAC 2040-10-01 4.000000 135000.00 18770.41 Agency Mortgage-Backed Securities FMAC 2042-12-01 2.500000 143589.00 76315.18 Agency Mortgage-Backed Securities FMAC 2043-01-01 4.000000 136000.00 57253.84 Agency Mortgage-Backed Securities FMAC 2043-07-01 4.000000 100000.00 51680.37 Agency Mortgage-Backed Securities FMAC 2049-02-01 4.000000 1140000.00 1106535.51 Agency Mortgage-Backed Securities FMAC 2044-10-01 4.000000 207045.00 68318.44 Agency Mortgage-Backed Securities FMAC 2043-03-01 3.000000 95000.00 50553.61 Agency Mortgage-Backed Securities FMAC 2043-12-01 4.000000 47000.00 14510.93 Agency Mortgage-Backed Securities FMAC 2043-12-01 4.000000 4000.00 1843.05 Agency Mortgage-Backed Securities FMAC 2041-10-01 4.000000 500000.00 63523.28 Agency Mortgage-Backed Securities FMAC 2044-03-01 4.000000 399651.00 215100.05 Agency Mortgage-Backed Securities FMAC 2044-05-01 4.000000 1000.00 298.11 Agency Mortgage-Backed Securities FMAC 2044-10-01 4.000000 40128.00 14721.57 Agency Mortgage-Backed Securities FMAC 2045-01-01 4.000000 15000.00 5721.05 Agency Mortgage-Backed Securities FMAC 2045-02-01 4.000000 300915.00 120499.32 Agency Mortgage-Backed Securities FMAC 2045-03-01 3.500000 24000.00 12107.40 Agency Mortgage-Backed Securities FMAC 2045-04-01 4.000000 320000.00 123921.66 Agency Mortgage-Backed Securities FMAC 2045-06-01 4.000000 320000.00 144240.00 Agency Mortgage-Backed Securities FMAC 2046-04-01 3.500000 7000.00 4416.97 Agency Mortgage-Backed Securities FMAC 2045-10-01 4.000000 19567.00 9300.79 Agency Mortgage-Backed Securities FMAC 2045-11-01 3.500000 11000.00 6437.56 Agency Mortgage-Backed Securities FMAC 2045-11-01 4.000000 13000.00 6440.31 Agency Mortgage-Backed Securities FMAC 2046-02-01 4.000000 257976.00 134044.18 Agency Mortgage-Backed Securities FMAC 2046-08-01 4.000000 2000.00 1196.77 Agency Mortgage-Backed Securities FMAC 2047-02-01 4.000000 153000.00 103168.91 Agency Mortgage-Backed Securities FMAC 2043-06-01 4.000000 25000.00 14898.06 Agency Mortgage-Backed Securities FMAC 2049-09-01 4.500000 6384610.00 6584199.87 Agency Mortgage-Backed Securities FNMA 2026-08-01 5.500000 1200031.00 22634.53 Agency Mortgage-Backed Securities FNMA 2021-07-01 4.000000 259102.00 10556.56 Agency Mortgage-Backed Securities FNMA 2048-11-01 4.000000 285055.00 234354.76 Agency Mortgage-Backed Securities GNMA 2049-01-20 3.000000 114828.00 97005.96 Agency Mortgage-Backed Securities GNMA 2034-08-20 3.000000 988882.00 1005920.05 Agency Mortgage-Backed Securities GNMA 2049-08-20 2.500000 256550.00 257776.53 Agency Mortgage-Backed Securities GNMA 2046-08-15 3.000000 5353357.00 5338083.16 Agency Mortgage-Backed Securities USTR 254900HROIFWPRGM1V77 2022-08-15 1.500000 375000.00 374845.72 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2029-08-15 1.625000 1603000.00 1583716.13 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2019-11-19 0.00 5454000.00 5449402.28 U.S. Treasuries (including strips) FMAC 2022-11-01 5.000000 3340000.00 7538.66 Agency Mortgage-Backed Securities FMAC 2023-08-01 4.500000 870000.00 13401.30 Agency Mortgage-Backed Securities FMAC 2035-06-01 3.500000 350000.00 196537.43 Agency Mortgage-Backed Securities FMAC 2048-12-01 4.500000 133579279.00 99555627.70 Agency Mortgage-Backed Securities FMAC 2030-05-01 2.500000 67094646.00 66340215.58 Agency Mortgage-Backed Securities FMAC 2049-10-01 5.000000 499985.00 536116.91 Agency Mortgage-Backed Securities FNMA 2030-05-01 2.500000 6217435.00 3041240.14 Agency Mortgage-Backed Securities FNMA 2028-07-01 2.500000 3370000.00 1252803.22 Agency Mortgage-Backed Securities FNMA 2020-09-01 4.000000 1025000.00 1582.14 Agency Mortgage-Backed Securities FNMA 2049-10-01 4.500000 21277134.00 22430761.26 Agency Mortgage-Backed Securities GNMA 2034-09-20 3.500000 119352.00 123188.90 Agency Mortgage-Backed Securities USTR 254900HROIFWPRGM1V77 2019-11-05 0.00 21661000.00 21656407.87 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2019-12-10 0.00 100000.00 99825.00 U.S. Treasuries (including strips) FHLB 2021-10-26 2.000000 70000.00 70094.73 Agency Debentures and Agency Strips FMAC 2036-09-01 3.000000 19661497.00 14491192.43 Agency Mortgage-Backed Securities FMAC 2027-04-01 2.500000 50000000.00 29943333.19 Agency Mortgage-Backed Securities FMAC 2034-10-01 2.500000 1280000.00 1294733.94 Agency Mortgage-Backed Securities FMAC 2049-07-01 3.000000 51406930.00 50823647.39 Agency Mortgage-Backed Securities FMAC 2045-07-01 5.000000 1923733.00 2066527.43 Agency Mortgage-Backed Securities FMAC 2049-10-01 3.000000 103314053.00 105181420.07 Agency Mortgage-Backed Securities FMAC 2049-10-01 2.500000 50000000.00 49496444.44 Agency Mortgage-Backed Securities FMAC 2046-10-01 3.000000 40400000.00 31858379.87 Agency Mortgage-Backed Securities FMAC 2048-04-01 5.000000 1269997.00 879449.02 Agency Mortgage-Backed Securities FMAC 2049-10-01 3.000000 66653920.00 67656839.32 Agency Mortgage-Backed Securities FMAC 2049-11-01 3.500000 4323518.00 4479793.48 Agency Mortgage-Backed Securities FMAC 2029-07-01 3.500000 63000.00 63647.18 Agency Mortgage-Backed Securities FMAC 2020-08-28 1.650000 625000.00 626294.79 Agency Debentures and Agency Strips FMAC 2020-12-11 2.000000 1000.00 1010.32 Agency Debentures and Agency Strips FMAC 2022-07-27 2.000000 250000.00 253239.17 Agency Debentures and Agency Strips FMAC 2020-11-27 1.875000 1555000.00 1570439.21 Agency Debentures and Agency Strips FMAC 2021-07-08 2.050000 75000.00 75488.83 Agency Debentures and Agency Strips FMAC 2022-10-21 1.860000 6095000.00 6086558.43 Agency Debentures and Agency Strips FNMA 2020-10-30 1.630000 120000.00 119872.80 Agency Debentures and Agency Strips FNMA 2022-10-28 1.800000 10525000.00 10509633.50 Agency Debentures and Agency Strips FNMA 2020-04-30 2.000000 100000.00 100118.50 Agency Debentures and Agency Strips FNMA 2046-11-01 3.000000 13000.00 10077.93 Agency Mortgage-Backed Securities FNMA 2029-10-01 3.500000 1385001.00 1440590.01 Agency Mortgage-Backed Securities FNMA 2049-11-01 3.000000 17061324.00 17323090.20 Agency Mortgage-Backed Securities FNMA 2049-11-01 3.500000 11570699.00 11907723.89 Agency Mortgage-Backed Securities FNMA 2049-11-01 3.000000 3266750.00 3334498.04 Agency Mortgage-Backed Securities FNMA 2049-11-01 3.500000 5650690.00 5877358.64 Agency Mortgage-Backed Securities FNMA 2029-06-01 3.500000 260000.00 248333.54 Agency Mortgage-Backed Securities FNMA 2049-06-01 4.000000 2056144.00 2006720.11 Agency Mortgage-Backed Securities FNMA 2034-10-01 3.000000 11235731.00 11545743.55 Agency Mortgage-Backed Securities FNMA 2049-10-01 2.500000 1532644.00 1517208.57 Agency Mortgage-Backed Securities GNMA 2034-10-20 3.500000 3680514.00 3844585.58 Agency Mortgage-Backed Securities GNMA 2049-10-20 3.000000 56454.00 58012.34 Agency Mortgage-Backed Securities GNMA 2049-09-20 3.500000 12268254.00 12771061.57 Agency Mortgage-Backed Securities USTR 254900HROIFWPRGM1V77 2020-04-30 0.00 183000.00 181532.34 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2019-12-17 0.00 1100000.00 1097760.40 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2019-12-24 0.00 71264400.00 71096216.02 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2022-10-15 1.375000 826600.00 820864.30 U.S. Treasuries (including strips) Y 2019-11-01 2019-11-01 2019-11-01 N N N 0.0174 900000000.00 900000000.00 0.0593 N Y Y N NATWEST MARKETS SECURITIES INC TRI-PARTY NATWEST MARKETS SECURITI 1.720000% BNT5LFC80 ZE2ZWJ5BTIQJ8M0C6K34 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N Department of the Treasury 254900HROIFWPRGM1V77 2022-01-15 0.125000 59270200.00 66755886.41 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2026-11-15 2.000000 34070500.00 35244187.25 U.S. Treasuries (including strips) Y 2019-11-01 2019-11-01 2019-11-01 N N N 0.0172 100000000.00 100000000.00 0.0066 N Y Y N CITIGROUP GLOBAL MARKETS INC TRI-PARTY CITIGROUP GLOBAL MARKETS 1.720000% BNT5LFCG2 MBNUM2BPBDO7JBLYG310 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N Department of the Treasury 254900HROIFWPRGM1V77 2042-08-15 2.750000 200.00 219.32 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2043-02-15 0.625000 510100.00 574606.43 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2042-05-15 3.000000 100.00 115.02 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2043-05-15 2.875000 25660700.00 28917276.98 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2020-11-30 2.750000 389000.00 397939.19 U.S. Treasuries (including strips) Y 2019-11-01 2019-11-01 2019-11-01 N N N 0.0172 29304000.00 29304000.00 0.0019 N Y Y N SOCIETE GENERALE (NEW YORK BRANCH) REPO JOINT SGN 1.030000% BRS9FKAT6 O2RNE8IBXP4R0TD8PU41 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y Y Department of the Treasury 254900HROIFWPRGM1V77 2021-07-15 0.630000 14798583.33 16957059.56 U.S. Treasuries (including strips) Y 2019-11-07 2019-11-07 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 0.0011 N N Y N Northern Funds 2019-11-07 Peter K Ewing Peter K Ewing President