N-MFP2 0000916620 XXXXXXXX 2020-06-30 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 48 109 8633582409.98 8481720461.97 8551750829.48 9222037371.56 0.00 12275921311.07 12309208298.67 12514470260.40 13154910587.77 0.00 0.4717 0.4616 0.4657 0.4991 0.0000 0.6707 0.6699 0.6815 0.7119 0.0000 751601.04 18407115925.76 18398141737.67 346648637.70 401892430.40 18343649546.01 18343365873.2900 1.0000 0.0036 1.0006 1.0006 1.0005 1.0005 0.0000 C000003412 2500.00 18343649546.01 18343365873.2900 1.0006 1.0006 1.0005 1.0005 0.0000 1575128734.33 1522372636.26 1136642611.34 1021165277.44 1260013900.49 1258278263.09 1358685116.84 1300151613.24 0.00 0.00 5966249758.76 5839665736.16 0.0001 Y The Investment Advisor Reimbursed $115,571.67 of fees during the period FEDERAL HOME LOAN BANKS FHLB 1.162998% 3130AEL32 2549001DPIFGXC1TOL40 US3130AEL329 U.S. Government Agency Debt Y 2020-07-06 2020-07-06 2020-07-06 N N N 0.0010 99999820.00 99999820.00 0.0055 N N Y N FEDERAL HOME LOAN BANKS FHLB 0.135000% 3130AGWA9 2549001DPIFGXC1TOL40 US3130AGWA90 U.S. Government Agency Debt Y 2020-07-01 2021-05-14 2021-05-14 N N N 0.0022 44966417.85 44966417.85 0.0025 N N N N FEDERAL HOME LOAN BANKS FHLB 0.144997% 3130AGZ24 2549001DPIFGXC1TOL40 US3130AGZ241 U.S. Government Agency Debt Y 2020-07-01 2021-02-26 2021-02-26 N N N 0.0021 34984715.15 34984715.15 0.0019 N N N N FEDERAL HOME LOAN BANKS FHLB 1.625000% 3130AHFD0 2549001DPIFGXC1TOL40 US3130AHFD06 U.S. Government Agency Debt Y 2020-10-28 2020-10-28 2020-10-28 N N N 0.0020 36669095.01 36669095.01 0.0020 N N N N FEDERAL HOME LOAN BANKS FEDERAL HOME LOAN BANKS 1.630000% 3130AHU35 2549001DPIFGXC1TOL40 US3130AHU356 U.S. Government Agency Debt Y 2020-07-06 2020-07-06 2020-07-06 N N N 0.0010 100021222.00 100021222.00 0.0055 N N Y N FEDERAL HOME LOAN BANKS FHLB 1.202997% 3130AHUC5 2549001DPIFGXC1TOL40 US3130AHUC57 U.S. Government Agency Debt Y 2020-07-06 2021-01-06 2021-01-06 N N N 0.0014 24998352.50 24998352.50 0.0014 N N N N FEDERAL HOME LOAN BANKS FHLB 1.181998% 3130AHUW1 2549001DPIFGXC1TOL40 US3130AHUW12 U.S. Government Agency Debt Y 2020-07-08 2021-01-08 2021-01-08 N N N -0.0007 100097692.00 100097692.00 0.0055 N N N N FEDERAL HOME LOAN BANKS FHLB 1.149998% 3130AHV34 2549001DPIFGXC1TOL40 US3130AHV347 U.S. Government Agency Debt Y 2020-07-09 2021-01-08 2021-01-08 N N N 0.0015 99992889.00 99992889.00 0.0055 N N N N FEDERAL HOME LOAN BANKS FHLB 0.711997% 3130AHYZ0 2549001DPIFGXC1TOL40 US3130AHYZ07 U.S. Government Agency Debt Y 2020-07-28 2020-10-28 2020-10-28 N N N 0.0015 224985386.25 224985386.25 0.0123 N N N N FEDERAL HOME LOAN BANKS FHLB 0.420998% 3130AJ2Z1 2549001DPIFGXC1TOL40 US3130AJ2Z14 U.S. Government Agency Debt Y 2020-08-03 2020-11-03 2020-11-03 N N N 0.0019 129991128.80 129991128.80 0.0071 N N N N FEDERAL HOME LOAN BANKS FHLB 0.109998% 3130AJ3N7 2549001DPIFGXC1TOL40 US3130AJ3N74 U.S. Government Agency Debt Y 2020-07-01 2020-08-05 2020-08-05 N N N 0.0017 44996848.20 44996848.20 0.0025 N N N N FEDERAL HOME LOAN BANKS FHLB 0.099997% 3130AJAR0 2549001DPIFGXC1TOL40 US3130AJAR03 U.S. Government Agency Debt Y 2020-07-01 2020-08-28 2020-08-28 N N N 0.0018 49992837.00 49992837.00 0.0027 N N N N FEDERAL HOME LOAN BANKS FHLB 0.104997% 3130AJBA6 2549001DPIFGXC1TOL40 US3130AJBA68 U.S. Government Agency Debt Y 2020-07-01 2020-09-28 2020-09-28 N N N 0.0018 29994200.70 29994200.70 0.0016 N N N N FEDERAL HOME LOAN BANKS FEDERAL HOME LOAN BANKS 0.109998% 3130AJC56 2549001DPIFGXC1TOL40 US3130AJC566 U.S. Government Agency Debt Y 2020-07-01 2020-09-04 2020-09-04 N N N 0.0019 49992767.00 49992767.00 0.0027 N N N N FEDERAL HOME LOAN BANKS FHLB 0.159998% 3130AJCE7 2549001DPIFGXC1TOL40 US3130AJCE71 U.S. Government Agency Debt Y 2020-07-01 2021-03-04 2021-03-04 N N N 0.0020 159943776.00 159943776.00 0.0087 N N N N FEDERAL HOME LOAN BANKS FHLB 0.229996% 3130AJCZ0 2549001DPIFGXC1TOL40 US3130AJCZ01 U.S. Government Agency Debt Y 2020-07-01 2021-09-03 2021-09-03 N N N 0.0024 69991382.30 69991382.30 0.0038 N N N N FEDERAL HOME LOAN BANKS FHLB 0.219999% 3130AJHH5 2549001DPIFGXC1TOL40 US3130AJHH57 U.S. Government Agency Debt Y 2020-07-01 2021-01-08 2021-01-08 N N N 0.0020 85007191.00 85007191.00 0.0046 N N N N FEDERAL HOME LOAN BANKS FHLB 0.309999% 3130AJHK8 2549001DPIFGXC1TOL40 US3130AJHK86 U.S. Government Agency Debt Y 2020-07-01 2021-04-13 2021-04-13 N N N 0.0022 85061944.60 85061944.60 0.0046 N N N N FEDERAL HOME LOAN BANKS FHLB 0.349999% 3130AJHP7 2549001DPIFGXC1TOL40 US3130AJHP73 U.S. Government Agency Debt Y 2020-07-01 2021-07-14 2021-07-14 N N N 0.0023 40048800.00 40048800.00 0.0022 N N N N FEDERAL HOME LOAN BANKS FHLB 0.120000% 3130AJKF5 2549001DPIFGXC1TOL40 US3130AJKF54 U.S. Government Agency Debt Y 2020-08-28 2020-08-28 2020-08-28 N N N 0.0023 149972970.00 149972970.00 0.0082 N N N N FEDERAL HOME LOAN BANKS FHLB 0.140000% 3130AJM89 2549001DPIFGXC1TOL40 US3130AJM896 U.S. Government Agency Debt Y 2020-09-16 2020-09-16 2020-09-16 N N N 0.0016 84995908.10 84995908.10 0.0046 N N N N FEDERAL HOME LOAN BANKS FHLB 0.145000% 3130AJMG1 2549001DPIFGXC1TOL40 US3130AJMG10 U.S. Government Agency Debt Y 2020-09-22 2020-09-22 2020-09-22 N N N 0.0018 159985798.40 159985798.40 0.0087 N N N N FEDERAL HOME LOAN BANKS FHLB 0.239997% 3130AJN96 2549001DPIFGXC1TOL40 US3130AJN969 U.S. Government Agency Debt Y 2020-07-01 2021-11-26 2021-11-26 N N N 0.0027 64975825.85 64975825.85 0.0035 N N N N FEDERAL HOME LOAN BANKS FHLB 0.190000% 3130AJPR4 2549001DPIFGXC1TOL40 US3130AJPR48 U.S. Government Agency Debt Y 2020-12-10 2020-12-10 2020-12-10 N N N 0.0014 80016551.20 80016551.20 0.0044 N N N N FEDERAL HOME LOAN BANKS FHLB 0.200000% 3130AJQ36 2549001DPIFGXC1TOL40 US3130AJQ368 U.S. Government Agency Debt Y 2020-12-11 2020-12-11 2020-12-11 N N N 0.0014 40009977.60 40009977.60 0.0022 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 0.0015 24995833.25 24995833.25 0.0014 N N Y 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 0.0014 14996383.35 14996383.35 0.0008 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 0.0014 34989655.40 34989655.40 0.0019 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312G95 US313312G955 U.S. Government Agency Debt Y 2020-09-23 2020-09-23 2020-09-23 N N N 0.0014 49983666.50 49983666.50 0.0027 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312M23 US313312M235 U.S. Government Agency Debt Y 2020-10-26 2020-10-26 2020-10-26 N N N 0.0015 19990250.00 19990250.00 0.0011 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312N22 US313312N225 U.S. Government Agency Debt Y 2020-11-03 2020-11-03 2020-11-03 N N N 0.0017 14991145.80 14991145.80 0.0008 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312N30 US313312N308 U.S. Government Agency Debt Y 2020-11-04 2020-11-04 2020-11-04 N N N 0.0017 9994050.00 9994050.00 0.0005 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312N30 US313312N308 U.S. Government Agency Debt Y 2020-11-04 2020-11-04 2020-11-04 N N N 0.0017 19988100.00 19988100.00 0.0011 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312N97 US313312N977 U.S. Government Agency Debt Y 2020-11-10 2020-11-10 2020-11-10 N N N 0.0017 56964470.19 56964470.19 0.0031 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 313312P87 US313312P873 U.S. Government Agency Debt Y 2020-11-17 2020-11-17 2020-11-17 N N N 0.0017 33977682.74 33977682.74 0.0019 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 0.0012 19998600.00 19998600.00 0.0011 N N Y N FEDERAL HOME LOAN BANKS FHLB 313384D71 2549001DPIFGXC1TOL40 US313384D712 U.S. Government Agency Debt Y 2020-08-28 2020-08-28 2020-08-28 N N N 0.0014 79980666.40 79980666.40 0.0044 N N Y N FEDERAL HOME LOAN BANKS FHLB 313384E62 2549001DPIFGXC1TOL40 US313384E629 U.S. Government Agency Debt Y 2020-09-04 2020-09-04 2020-09-04 N N N 0.0014 109972194.20 109972194.20 0.0060 N N N N FEDERAL HOME LOAN BANKS FHLB 313384F38 2549001DPIFGXC1TOL40 US313384F386 U.S. Government Agency Debt Y 2020-09-09 2020-09-09 2020-09-09 N N N 0.0014 69980944.60 69980944.60 0.0038 N N N N FEDERAL HOME LOAN BANKS FHLB 313384F53 2549001DPIFGXC1TOL40 US313384F535 U.S. Government Agency Debt Y 2020-09-11 2020-09-11 2020-09-11 N N N 0.0014 199944000.00 199944000.00 0.0109 N N N N FEDERAL HOME LOAN BANKS FHLB 313384F95 2549001DPIFGXC1TOL40 US313384F956 U.S. Government Agency Debt Y 2020-09-15 2020-09-15 2020-09-15 N N N 0.0014 99970444.00 99970444.00 0.0054 N N N N FEDERAL HOME LOAN BANKS FHLB 313384G86 2549001DPIFGXC1TOL40 US313384G863 U.S. Government Agency Debt Y 2020-09-22 2020-09-22 2020-09-22 N N N 0.0014 69977405.40 69977405.40 0.0038 N N N N FEDERAL HOME LOAN BANKS FHLB 313384H93 2549001DPIFGXC1TOL40 US313384H937 U.S. Government Agency Debt Y 2020-10-01 2020-10-01 2020-10-01 N N N 0.0015 34986583.45 34986583.45 0.0019 N N N N FEDERAL HOME LOAN BANKS FHLB 313384Q36 2549001DPIFGXC1TOL40 US313384Q367 U.S. Government Agency Debt Y 2020-11-20 2020-11-20 2020-11-20 N N N 0.0017 69953060.80 69953060.80 0.0038 N N N N FEDERAL HOME LOAN BANKS FHLB 313384S42 2549001DPIFGXC1TOL40 US313384S421 U.S. Government Agency Debt Y 2020-12-07 2020-12-07 2020-12-07 N N N 0.0018 129896650.00 129896650.00 0.0071 N N N N FEDERAL HOME LOAN BANKS FHLB 313384V22 2549001DPIFGXC1TOL40 US313384V227 U.S. Government Agency Debt Y 2020-12-29 2020-12-29 2020-12-29 N N N 0.0018 99909500.00 99909500.00 0.0054 N N N N FEDERAL HOME LOAN BANKS FHLB 313384YV5 2549001DPIFGXC1TOL40 US313384YV57 U.S. Government Agency Debt Y 2020-07-01 2020-07-01 2020-07-01 N N N 0.0000 150000000.00 150000000.00 0.0082 N Y Y N FEDERAL HOME LOAN BANKS FHLB 313384ZE2 2549001DPIFGXC1TOL40 US313384ZE24 U.S. Government Agency Debt Y 2020-07-10 2020-07-10 2020-07-10 N N N 0.0012 59998200.00 59998200.00 0.0033 N N Y N FEDERAL HOME LOAN BANKS FHLB 313384ZH5 2549001DPIFGXC1TOL40 US313384ZH54 U.S. Government Agency Debt Y 2020-07-13 2020-07-13 2020-07-13 N N N 0.0012 84996600.00 84996600.00 0.0046 N N Y N FEDERAL HOME LOAN BANKS FHLB 313384ZH5 2549001DPIFGXC1TOL40 US313384ZH54 U.S. Government Agency Debt Y 2020-07-13 2020-07-13 2020-07-13 N N N 0.0012 169993200.00 169993200.00 0.0093 N N Y N FEDERAL HOME LOAN BANKS FHLB 313384ZJ1 2549001DPIFGXC1TOL40 US313384ZJ11 U.S. Government Agency Debt Y 2020-07-14 2020-07-14 2020-07-14 N N N 0.0012 49997833.50 49997833.50 0.0027 N N Y N FEDERAL HOME LOAN BANKS FHLB 313384ZK8 2549001DPIFGXC1TOL40 US313384ZK83 U.S. Government Agency Debt Y 2020-07-15 2020-07-15 2020-07-15 N N N 0.0011 84996033.05 84996033.05 0.0046 N N Y N FEDERAL HOME LOAN BANKS FHLB 313384ZL6 2549001DPIFGXC1TOL40 US313384ZL66 U.S. Government Agency Debt Y 2020-07-16 2020-07-16 2020-07-16 N N N 0.0012 144992750.00 144992750.00 0.0079 N N Y N FEDERAL HOME LOAN 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U.S. Government Agency Debt Y 2021-03-08 2021-03-08 2021-03-08 N N N 0.0017 40951597.04 40951597.04 0.0022 N N N N FEDERAL HOME LOAN BANKS FHLB 313385ER3 2549001DPIFGXC1TOL40 US313385ER31 U.S. Government Agency Debt Y 2021-04-22 2021-04-22 2021-04-22 N N N 0.0017 99860694.00 99860694.00 0.0054 N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC 313396C68 S6XOOCT0IEG5ABCC6L87 US313396C684 U.S. Government Agency Debt Y 2020-08-19 2020-08-19 2020-08-19 N N N 0.0015 199959166.00 199959166.00 0.0109 N N Y N FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC 313396C68 S6XOOCT0IEG5ABCC6L87 US313396C684 U.S. Government Agency Debt Y 2020-08-19 2020-08-19 2020-08-19 N N N 0.0015 74984687.25 74984687.25 0.0041 N N Y N FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC 313396D67 S6XOOCT0IEG5ABCC6L87 US313396D674 U.S. Government Agency Debt Y 2020-08-27 2020-08-27 2020-08-27 N N N 0.0015 154963187.50 154963187.50 0.0084 N N Y N FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC 313396G31 S6XOOCT0IEG5ABCC6L87 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3133EKPM2 US3133EKPM27 U.S. Government Agency Debt Y 2020-07-01 2021-06-07 2021-06-07 N N N 0.0017 25001722.25 25001722.25 0.0014 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FEDERAL FARM CREDIT BANKS FUNDING 0.180000% 3133EKS72 US3133EKS723 U.S. Government Agency Debt Y 2020-07-01 2020-10-26 2020-10-26 N N N 0.0021 54994352.05 54994352.05 0.0030 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FEDERAL FARM CREDIT BANKS FUNDING 0.219999% 3133EKT63 US3133EKT630 U.S. Government Agency Debt Y 2020-07-01 2021-09-24 2021-09-24 N N N 0.0024 29991471.30 29991471.30 0.0016 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 0.258249% 3133EKU95 US3133EKU950 U.S. Government Agency Debt Y 2020-07-30 2020-09-30 2020-09-30 N N N 0.0012 45013261.95 45013261.95 0.0025 N N N N FEDERAL FARM CREDIT BANKS FUNDING CORP FFCB 0.174999% 3133EKWM4 US3133EKWM44 U.S. Government Agency Debt Y 2020-07-01 2021-07-26 2021-07-26 N N N 0.0018 79994924.80 79994924.80 0.0044 N N N N FEDERAL FARM CREDIT BANKS FUNDING 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the Treasury 254900HROIFWPRGM1V77 2021-11-15 0.00 71.73 71.57 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2024-05-15 0.00 0.01 0.01 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2024-11-15 0.00 150000.00 147707.10 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2022-05-15 1.750000 178000.00 183623.65 U.S. Treasuries (including strips) FEDERAL HOME LOAN BANKS 2549001DPIFGXC1TOL40 2020-08-24 0.00 400000.00 399893.60 Agency Debentures and Agency Strips Department of the Treasury 254900HROIFWPRGM1V77 2022-08-15 1.625000 25000.00 25922.79 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2020-08-15 0.00 2012000.00 2011364.21 U.S. Treasuries (including strips) Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2021-10-01 5.000000 310000.00 604.92 Agency Mortgage-Backed Securities Department of the Treasury 254900HROIFWPRGM1V77 2042-02-15 0.750000 2800.00 3829.29 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2023-01-15 0.125000 30000.00 34156.89 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-11-30 2.000000 90000.00 90829.74 U.S. Treasuries (including strips) GOVERNMENT NATIONAL MORTGAGE A 2044-05-20 3.500000 130000.00 36389.03 Agency Mortgage-Backed Securities Department of the Treasury 254900HROIFWPRGM1V77 2044-11-15 3.000000 922300.00 1243838.68 U.S. Treasuries (including strips) Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2041-05-01 4.500000 4000.00 458.51 Agency Mortgage-Backed Securities Department of the Treasury 254900HROIFWPRGM1V77 2021-12-31 2.125000 1000.00 1029.18 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2022-04-30 1.750000 137000.00 141363.01 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2025-01-15 0.250000 1000.00 1140.32 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2022-03-31 1.750000 25000.00 25795.23 U.S. Treasuries (including strips) Federal Home Loan Bank System - FHLB 2024-03-08 3.250000 50000.00 55708.56 Agency Debentures and Agency Strips Federal Home Loan Bank System - FHLB 2021-09-10 3.000000 2500000.00 2605026.67 Agency Debentures and Agency Strips Department of the Treasury 254900HROIFWPRGM1V77 2025-07-15 0.375000 4400.00 5088.67 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2022-07-31 2.000000 114000.00 119281.13 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2025-08-15 2.000000 91000.00 99496.90 U.S. Treasuries (including strips) Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2043-08-01 3.500000 63000.00 28929.20 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2033-06-01 3.000000 1075505.00 434696.64 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2025-02-01 3.000000 10999.00 2396.09 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2020-12-28 1.875000 5000.00 5041.70 Agency Debentures and Agency Strips UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-09-30 1.375000 150000.00 150967.31 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2020-12-31 1.750000 29800.00 30032.89 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2026-02-15 1.625000 173400.00 186644.54 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE - F 2046-03-01 3.000000 10000.00 5968.21 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE - F 2046-04-01 3.500000 1000.00 519.40 Agency Mortgage-Backed Securities UNITED STATES TREASURY 254900HROIFWPRGM1V77 2021-01-31 1.375000 25000.00 25316.35 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-03-31 1.250000 300000.00 303371.08 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2023-05-31 1.625000 70000.00 73044.93 U.S. Treasuries (including strips) FNMA 2021-08-17 1.250000 531000.00 539648.43 Agency Debentures and Agency Strips FNMA 2046-06-01 3.000000 2103.00 1395.95 Agency Mortgage-Backed Securities FNMA 2046-11-01 3.000000 1000.00 708.78 Agency Mortgage-Backed Securities USTR 254900HROIFWPRGM1V77 2021-10-31 1.250000 73300.00 74500.80 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2022-01-31 1.875000 75000.00 77595.31 U.S. Treasuries (including strips) FNMA 2047-02-01 3.500000 3000.00 1883.10 Agency Mortgage-Backed Securities FMAC 2046-09-01 3.000000 3125.00 2109.57 Agency Mortgage-Backed Securities FMAC 2047-04-01 4.500000 1000.00 455.67 Agency Mortgage-Backed Securities FHLB 2021-12-10 2.625000 2000000.00 2072820.67 Agency Debentures and Agency Strips U.S. TREASURY 254900HROIFWPRGM1V77 2027-08-15 2.250000 144095800.00 163195207.41 U.S. Treasuries (including strips) FNMA 2047-05-01 4.500000 7000.00 3577.24 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2032-10-01 3.000000 16000.00 10280.50 Agency Mortgage-Backed Securities USTR 254900HROIFWPRGM1V77 2022-10-31 2.000000 50000.00 52293.86 U.S. Treasuries (including strips) FMAC 2047-10-01 3.500000 3000.00 2035.65 Agency Mortgage-Backed Securities USTR 254900HROIFWPRGM1V77 2024-11-30 2.125000 5000.00 5420.48 U.S. Treasuries (including strips) FHLB 2022-09-09 2.000000 225000.00 234937.73 Agency Debentures and Agency Strips FNMA 2044-09-01 4.000000 5002.00 1122.71 Agency Mortgage-Backed Securities FMAC 2047-03-01 3.500000 5000.00 3120.50 Agency Mortgage-Backed Securities FNMA 2044-12-01 4.500000 1000.00 303.20 Agency Mortgage-Backed Securities FNMA 2046-10-01 3.000000 358426.00 255406.22 Agency Mortgage-Backed Securities FNMA 2032-12-01 3.857000 60760.00 265.23 Agency Mortgage-Backed Securities FNMA 2047-05-01 4.500000 4000.00 1955.11 Agency Mortgage-Backed Securities FMAC 2048-02-01 3.000000 502000.00 378525.50 Agency Mortgage-Backed Securities FMAC 2033-04-01 3.000000 13645.00 9230.56 Agency Mortgage-Backed Securities USTR 254900HROIFWPRGM1V77 2023-04-30 2.750000 30000.00 32321.05 U.S. Treasuries (including strips) FMAC 2048-02-01 3.500000 8000.00 5416.19 Agency Mortgage-Backed Securities FNMA 2048-06-01 4.500000 1811545.00 1034110.49 Agency Mortgage-Backed Securities USTR 254900HROIFWPRGM1V77 2021-05-15 2.625000 20900.00 21413.54 U.S. Treasuries (including strips) FNMA 2032-02-01 6.000000 2040003.00 15054.45 Agency Mortgage-Backed Securities FNMA 2032-12-01 3.000000 6000.00 3995.81 Agency Mortgage-Backed Securities FNMA 2048-08-01 4.500000 6000.00 3233.74 Agency Mortgage-Backed Securities USTR 254900HROIFWPRGM1V77 2021-07-15 2.625000 1908000.00 1979567.69 U.S. Treasuries (including strips) FMAC 2048-09-01 4.500000 65000.00 34445.59 Agency Mortgage-Backed Securities UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-10-31 2.875000 539400.00 546755.06 U.S. Treasuries (including strips) FNMA 2036-07-01 6.500000 249994.00 6759.26 Agency Mortgage-Backed Securities USTR 254900HROIFWPRGM1V77 2029-01-15 0.875000 4400.00 5119.61 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2026-01-31 2.625000 91000.00 103429.64 U.S. Treasuries (including strips) FNMA 2049-03-01 4.000000 1000.00 501.00 Agency Mortgage-Backed Securities FNMA 2034-08-01 5.500000 330000.00 10497.75 Agency Mortgage-Backed Securities FNMA 2036-01-01 6.500000 370258.00 6586.66 Agency Mortgage-Backed Securities GNMA 2034-12-20 7.000000 472523.00 4127.08 Agency Mortgage-Backed Securities GNMA 2035-04-20 7.000000 352795.00 2474.66 Agency Mortgage-Backed Securities USTR 254900HROIFWPRGM1V77 2024-04-30 2.250000 29000.00 31362.36 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2026-04-30 2.375000 30000.00 33579.80 U.S. Treasuries (including strips) FHLB 2022-12-09 1.875000 3165000.00 3292570.87 Agency Debentures and Agency Strips FNMA 2031-03-01 4.000000 16000.00 6452.04 Agency Mortgage-Backed Securities USTR 254900HROIFWPRGM1V77 2022-05-15 2.125000 115000.00 119498.14 U.S. Treasuries (including strips) GNMA 2049-06-20 5.000000 56201.00 36337.25 Agency Mortgage-Backed Securities FMAC 2020-12-01 4.000000 204000.00 244.38 Agency Mortgage-Backed Securities FMAC 2025-10-01 4.000000 103000.00 6655.99 Agency Mortgage-Backed Securities FMAC 2025-01-01 4.000000 50000.00 825.93 Agency Mortgage-Backed Securities FMAC 2025-08-01 4.000000 99201.00 6918.60 Agency Mortgage-Backed Securities FMAC 2026-05-01 4.000000 39000.00 3240.01 Agency Mortgage-Backed Securities FMAC 2026-04-01 4.000000 25000.00 1910.99 Agency Mortgage-Backed Securities FMAC 2024-12-01 4.000000 127392.00 37910.32 Agency Mortgage-Backed Securities FMAC 2026-02-01 4.000000 41000.00 2702.75 Agency Mortgage-Backed Securities FMAC 2023-02-01 5.500000 5363852.00 45866.04 Agency Mortgage-Backed Securities FMAC 2023-03-01 4.000000 165000.00 1563.66 Agency Mortgage-Backed Securities FMAC 2025-09-01 4.000000 48000.00 2804.52 Agency Mortgage-Backed Securities FMAC 2025-06-01 4.000000 25000.00 1320.73 Agency Mortgage-Backed Securities FMAC 2026-12-01 4.000000 50000.00 4187.53 Agency Mortgage-Backed Securities FMAC 2023-03-01 4.000000 150561.00 155.96 Agency Mortgage-Backed Securities FMAC 2024-06-01 4.000000 25000.00 746.24 Agency Mortgage-Backed Securities FMAC 2024-07-01 4.000000 72000.00 2330.78 Agency Mortgage-Backed Securities GNMA 2026-05-15 3.500000 1000000.00 96640.96 Agency Mortgage-Backed Securities GNMA 2032-08-20 3.000000 310532.00 180725.66 Agency Mortgage-Backed Securities GNMA 2048-09-20 3.000000 632343.00 635215.90 Agency Mortgage-Backed Securities GNMA 2033-03-20 2.500000 1033893.00 647253.32 Agency Mortgage-Backed Securities GNMA 2048-01-20 3.000000 1030097.00 379941.11 Agency Mortgage-Backed Securities GNMA 2048-09-20 3.000000 1346143.00 839707.07 Agency Mortgage-Backed Securities GNMA 2026-02-15 3.000000 1000000.00 121734.84 Agency Mortgage-Backed Securities UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-08-13 0.00 1000000.00 999821.00 U.S. Treasuries (including strips) FMAC 2042-12-01 2.500000 143589.00 78070.23 Agency Mortgage-Backed Securities FMAC 2049-02-01 4.000000 1140000.00 799413.96 Agency Mortgage-Backed Securities FMAC 2043-03-01 3.000000 95000.00 47301.62 Agency Mortgage-Backed Securities FMAC 2026-05-01 3.500000 4000.00 318.58 Agency Mortgage-Backed Securities FMAC 2045-03-01 3.500000 24000.00 10249.55 Agency Mortgage-Backed Securities FMAC 2046-04-01 3.500000 7000.00 3634.69 Agency Mortgage-Backed Securities FMAC 2045-10-01 4.000000 19567.00 7466.29 Agency Mortgage-Backed Securities FMAC 2045-11-01 3.500000 11000.00 5383.49 Agency Mortgage-Backed Securities FMAC 2045-11-01 4.000000 13000.00 5311.81 Agency Mortgage-Backed Securities FMAC 2046-02-01 4.000000 257976.00 109641.40 Agency Mortgage-Backed Securities FMAC 2046-08-01 4.000000 2000.00 983.79 Agency Mortgage-Backed Securities FNMA 2026-08-01 5.500000 1200031.00 16910.73 Agency Mortgage-Backed Securities FNMA 2021-07-01 4.000000 259102.00 4456.55 Agency Mortgage-Backed Securities FNMA 2048-11-01 4.000000 54000.00 29245.72 Agency Mortgage-Backed Securities GNMA 2034-08-20 3.000000 988882.00 847897.06 Agency Mortgage-Backed Securities FMAC 2022-11-01 5.000000 3340000.00 5655.74 Agency Mortgage-Backed Securities FNMA 2020-09-01 4.000000 1025000.00 75.02 Agency Mortgage-Backed Securities UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-10-08 0.00 34929200.00 34913970.87 U.S. Treasuries (including strips) FNMA 2022-09-06 1.375000 483000.00 497020.60 Agency Debentures and Agency Strips FNMA 2046-11-01 3.000000 13000.00 9514.93 Agency Mortgage-Backed Securities FNMA 2047-01-01 4.500000 359959.00 236801.55 Agency Mortgage-Backed Securities FNMA 2049-10-01 3.500000 30000.00 25042.54 Agency Mortgage-Backed Securities UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-07-02 0.00 67100.00 67099.53 U.S. Treasuries (including strips) GNMA 2034-12-20 3.000000 503370.00 506094.63 Agency Mortgage-Backed Securities UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-12-03 0.00 46799700.00 46764647.02 U.S. Treasuries (including strips) FEDERAL HOME LOAN BANKS 2549001DPIFGXC1TOL40 2020-08-21 0.00 1200000.00 1199702.40 Agency Debentures and Agency Strips USTR 254900HROIFWPRGM1V77 2020-08-20 0.00 4933700.00 4932688.59 U.S. Treasuries (including strips) FMAC 2031-02-01 3.500000 390667.00 154570.85 Agency Mortgage-Backed Securities FMAC 2024-09-01 4.000000 24000.00 1312.78 Agency Mortgage-Backed Securities FMAC 2026-05-01 4.000000 617128.00 41087.31 Agency Mortgage-Backed Securities FMAC 2026-11-01 3.000000 17000.00 3232.65 Agency Mortgage-Backed Securities FMAC 2030-05-01 3.000000 1000.00 326.54 Agency Mortgage-Backed Securities FMAC 2027-03-01 3.500000 1000.00 296.13 Agency Mortgage-Backed Securities FMAC 2027-08-01 3.500000 9000.00 2167.32 Agency Mortgage-Backed Securities FMAC 2029-12-01 3.500000 3000.00 1083.79 Agency Mortgage-Backed Securities FMAC 2032-09-01 3.500000 2000.00 1128.73 Agency Mortgage-Backed Securities FMAC 2029-01-01 3.500000 20655.00 6883.10 Agency Mortgage-Backed Securities FMAC 2028-08-01 3.500000 7470.00 2386.52 Agency Mortgage-Backed Securities FMAC 2024-01-01 4.000000 10000.00 223.53 Agency Mortgage-Backed Securities FMAC 2027-05-01 3.000000 7000.00 1195.97 Agency Mortgage-Backed Securities FMAC 2029-05-01 3.500000 16161.00 5056.84 Agency Mortgage-Backed Securities FMAC 2029-07-01 3.500000 13654.00 4394.56 Agency Mortgage-Backed Securities FMAC 2030-12-01 3.500000 10000.00 4097.62 Agency Mortgage-Backed Securities FMAC 2031-01-01 3.000000 1000.00 454.66 Agency Mortgage-Backed Securities FNMA 2046-08-01 3.000000 84000.00 55911.04 Agency Mortgage-Backed Securities UNITED STATES TREASURY 254900HROIFWPRGM1V77 2021-02-25 0.00 9416800.00 9406441.52 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2025-01-31 1.375000 1000.00 1056.33 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-09-17 0.00 21690000.00 21683211.03 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2021-03-25 0.00 21433500.00 21407565.46 U.S. Treasuries (including strips) FMAC 2048-05-01 4.500000 1000.00 536.74 Agency Mortgage-Backed Securities FNMA 2049-08-01 4.500000 1000.00 756.00 Agency Mortgage-Backed Securities USTR 254900HROIFWPRGM1V77 2022-02-28 1.125000 114000.00 116240.86 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2025-03-31 0.500000 501800.00 507793.08 U.S. Treasuries (including strips) FEDERAL HOME LOAN BANKS 2549001DPIFGXC1TOL40 2020-07-10 0.00 500000.00 499983.00 Agency Debentures and Agency Strips UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-10-15 0.00 85000.00 84961.15 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-07-21 0.00 15300000.00 15298821.90 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-07-28 0.00 4675000.00 4674481.08 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-09-29 0.00 600000.00 599774.40 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-10-06 0.00 51897600.00 51875699.21 U.S. Treasuries (including strips) FMAC 2031-05-01 3.000000 498666.00 243824.37 Agency Mortgage-Backed Securities FMAC 2034-11-01 3.000000 5000.00 4471.97 Agency Mortgage-Backed Securities FNMA 2020-12-11 1.520000 2000.00 2013.29 Agency Debentures and Agency Strips FNMA 2045-10-01 3.500000 1000.00 452.56 Agency Mortgage-Backed Securities USTR 254900HROIFWPRGM1V77 2022-04-30 0.125000 2259900.00 2258695.92 U.S. Treasuries (including strips) FHLB 2021-04-29 0.00 1150000.00 1147957.60 Agency Debentures and Agency Strips USTR 254900HROIFWPRGM1V77 2021-05-20 0.00 1867700.00 1864978.76 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2020-08-18 0.00 3399600.00 3398930.28 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-11-12 0.00 9740000.00 9733941.72 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-11-27 0.00 4149000.00 4146058.36 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-08-25 0.00 120418600.00 120391144.56 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-09-01 0.00 4248000.00 4246317.79 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-10-13 0.00 36000000.00 35979372.00 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-10-22 0.00 82994200.00 82950960.02 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2050-05-15 1.250000 3835200.00 3709069.86 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-11-24 0.00 53807800.00 53765722.30 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-12-01 0.00 93663200.00 93595013.19 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2022-06-30 0.125000 75588100.00 75529141.28 U.S. Treasuries (including strips) FHLB 2023-06-30 0.450000 13215000.00 13203899.40 Agency Debentures and Agency Strips FMAC 2021-10-01 10.000000 10345.00 0.00 Agency Mortgage-Backed Securities FHLB 2022-12-01 2.100000 100000.00 104553.77 Agency Debentures and Agency Strips FHLB 2020-08-04 0.00 200000.00 199968.00 Agency Debentures and Agency Strips FHLB 2020-12-28 0.00 500000.00 499525.00 Agency Debentures and Agency Strips FNMA 2050-07-01 2.500000 1683555.00 1779827.22 Agency Mortgage-Backed Securities FNMA 2020-10-01 5.500000 1344.00 0.06 Agency Mortgage-Backed Securities GNMA 2050-05-20 3.000000 301072.00 319321.79 Agency Mortgage-Backed Securities USTR 254900HROIFWPRGM1V77 2025-06-30 0.250000 804000.00 802713.60 U.S. Treasuries (including strips) Y 2020-07-01 2020-07-01 2020-07-01 N N N 0.0009 900000000.00 900000000.00 0.0491 N Y Y N JP MORGAN SECURITIES LLC TRI-PARTY JP MORGAN SECURITIES LLC 0.090000% BNT64GWG5 ZBUT11V806EZRVTWT807 0 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N Government National Mortgage Association - GNMA - Ginnie Mae 2038-06-20 5.500000 87113.00 411.71 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2021-04-01 5.000000 293236.00 966.02 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2021-10-01 5.500000 400000.00 103.18 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2021-06-01 5.500000 110786.00 263.71 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2022-07-01 5.500000 32695.00 382.12 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2021-01-01 5.500000 76038.00 147.73 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2021-03-01 5.500000 75000.00 132.40 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2023-05-01 4.500000 175000.00 945.11 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2022-12-01 6.500000 1772000.00 764.27 Agency Mortgage-Backed Securities Government National Mortgage Association - GNMA - Ginnie Mae 2025-04-20 4.500000 35000.00 2296.08 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2022-11-01 5.500000 1000000.00 4767.35 Agency Mortgage-Backed Securities Government National Mortgage Association - GNMA - Ginnie Mae 2041-10-20 3.500000 4830.00 1058.64 Agency Mortgage-Backed Securities Government National Mortgage Association - GNMA - Ginnie Mae 2039-03-15 5.000000 51346.00 2539.75 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2020-07-25 5.000000 15859069.00 101.13 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2021-10-01 5.000000 1150000.00 2595.80 Agency Mortgage-Backed Securities Government National Mortgage Association - GNMA - Ginnie Mae 2029-06-20 6.000000 270621.00 2570.23 Agency Mortgage-Backed Securities Federal Home Loan Mortgage - FHLMC - Freddie Mac 2042-04-01 4.000000 45755100.00 13499148.36 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2021-04-01 5.500000 35918.00 78.07 Agency Mortgage-Backed Securities Government National Mortgage Association - GNMA - Ginnie Mae 2039-09-20 4.500000 25000.00 2884.74 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2022-05-01 6.500000 105000.00 211.40 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2021-11-01 5.500000 287896.00 1527.68 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2021-03-01 5.500000 817661.00 2396.70 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2021-01-01 5.500000 1029871.00 805.69 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2021-06-01 5.500000 2590023.00 1592.53 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2022-06-01 5.500000 135530.00 827.13 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2021-09-01 5.500000 1500000.00 3316.90 Agency Mortgage-Backed Securities Government National Mortgage Association - GNMA - Ginnie Mae 2041-06-20 4.000000 25000.00 3571.45 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2021-06-01 6.500000 250000.00 95.60 Agency Mortgage-Backed Securities Government National Mortgage Association - GNMA - Ginnie Mae 2029-04-15 6.000000 33839.00 376.84 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2020-12-01 5.000000 1825000.00 133.89 Agency Mortgage-Backed Securities Government National Mortgage Association - GNMA - Ginnie Mae 2039-07-15 5.500000 88463.00 4499.38 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2020-12-01 4.500000 132000000.00 1664.70 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2021-03-01 5.500000 25443.00 60.08 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2021-03-01 5.500000 577474.00 3024.48 Agency Mortgage-Backed Securities Government National Mortgage Association - GNMA - Ginnie Mae 2042-10-20 3.000000 13000.00 4533.70 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE A 2043-06-20 3.000000 10000.00 3761.06 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2021-07-01 6.000000 403958.00 2751.64 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2021-06-01 9.000000 1000072.00 17.57 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2021-03-01 6.500000 1300000.00 256.79 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2022-03-01 6.500000 129000.00 215.10 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2022-07-01 6.500000 176144.00 489.24 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2022-08-01 6.500000 26981.00 73.42 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2020-08-01 4.500000 670000.00 29.78 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2020-12-01 5.000000 1887676.00 2128.26 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2020-08-01 5.500000 575000.00 124.50 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2020-09-01 5.500000 441035.00 442.24 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2020-07-25 5.000000 700000.00 3.34 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2023-12-01 5.000000 320000.00 2770.28 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2022-09-01 5.500000 161615.00 257.72 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2022-08-01 5.500000 114083.00 1110.68 Agency Mortgage-Backed Securities Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2024-07-01 4.500000 119945.00 3780.87 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE A 2031-07-15 6.500000 87563.00 355.17 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE A 2038-10-15 6.000000 457685.00 3760.51 Agency Mortgage-Backed Securities Government National Mortgage Association - GNMA - Ginnie Mae 2033-07-20 4.500000 66000.00 2558.45 Agency Mortgage-Backed Securities FNMA 2021-11-01 5.000000 5380500.00 281.76 Agency Mortgage-Backed Securities FNMA 2021-05-01 5.000000 2660961.00 27.63 Agency Mortgage-Backed Securities FNMA 2046-04-01 3.500000 3035.00 1909.67 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE A 2044-03-20 3.000000 771.00 292.79 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE A 2045-03-20 2.500000 1000.00 591.09 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE A 2047-06-20 5.000000 10000.00 4377.17 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE A 2032-09-15 6.000000 31799.00 1029.99 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE A 2026-12-20 9.000000 583974.00 1287.84 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE A 2027-07-20 7.000000 50000.00 12.60 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE A 2030-09-20 9.000000 200000.00 92.22 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE A 2035-12-20 6.500000 56000.00 2901.35 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE A 2038-06-20 5.000000 13247.00 92.74 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE A 2024-12-15 8.500000 50000.00 187.22 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE A 2038-03-15 5.000000 41837.00 2929.88 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE A 2026-09-15 8.000000 78011.00 120.43 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE A 2026-11-15 8.000000 81741.00 41.03 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE A 2031-03-15 7.000000 498357.00 1554.65 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE A 2039-12-15 5.000000 55790.00 4153.29 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE A 2038-09-15 6.000000 26572.00 2119.53 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE A 2030-08-15 8.000000 255220.00 245.61 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE A 2031-03-15 7.000000 24842.00 34.70 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE A 2035-01-15 5.000000 150000.00 4454.27 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE A 2034-05-15 5.000000 67.00 2.24 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE A 2037-03-15 5.000000 1.00 0.06 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE A 2038-06-15 5.000000 74280.00 1312.54 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE A 2039-04-15 5.000000 33820.00 2665.81 Agency Mortgage-Backed Securities FNMA 2021-09-01 5.500000 1350000.00 3.17 Agency Mortgage-Backed Securities FNMA 2023-09-01 5.500000 300000.00 4275.03 Agency Mortgage-Backed Securities GNMA 2043-02-20 3.000000 11000.00 4027.60 Agency Mortgage-Backed Securities FNMA 2023-03-01 4.500000 225000.00 711.92 Agency Mortgage-Backed Securities GNMA 2021-02-15 10.000000 14505580.00 543.85 Agency Mortgage-Backed Securities GNMA 2045-12-20 3.125000 13000.00 1877.29 Agency Mortgage-Backed Securities GNMA 2022-05-20 3.875000 2051825.00 2706.73 Agency Mortgage-Backed Securities FNMA 2023-11-01 5.000000 5332000.00 1106.08 Agency Mortgage-Backed Securities FNMA 2021-05-01 5.500000 1010934.00 2751.31 Agency Mortgage-Backed Securities FNMA 2021-12-01 5.500000 1072687.00 515.43 Agency Mortgage-Backed Securities FNMA 2024-08-01 5.000000 9826942.00 1757.96 Agency Mortgage-Backed Securities FMAC 2031-05-01 3.000000 5213790.00 2812086.33 Agency Mortgage-Backed Securities FNMA 2021-03-01 5.000000 1000000.00 1171.49 Agency Mortgage-Backed Securities FNMA 2023-08-01 4.500000 492017.00 501.26 Agency Mortgage-Backed Securities GNMA 2026-03-20 5.500000 106747.00 2228.80 Agency Mortgage-Backed Securities FNMA 2022-11-01 5.500000 985735.00 3309.89 Agency Mortgage-Backed Securities GNMA 2031-11-15 6.000000 335062.00 1459.29 Agency Mortgage-Backed Securities GNMA 2029-06-15 6.000000 40207.00 287.70 Agency Mortgage-Backed Securities FNMA 2025-02-01 4.000000 23582.00 1034.02 Agency Mortgage-Backed Securities FNMA 2025-02-01 4.500000 35000.00 1208.37 Agency Mortgage-Backed Securities FNMA 2025-03-01 4.000000 17143.00 1250.51 Agency Mortgage-Backed Securities FNMA 2025-04-01 4.500000 30000.00 1788.33 Agency Mortgage-Backed Securities FNMA 2025-06-01 4.500000 50000.00 2139.46 Agency Mortgage-Backed Securities FNMA 2025-05-01 5.500000 2900000.00 1869.33 Agency Mortgage-Backed Securities GNMA 2049-07-20 3.000000 2000.00 1780.64 Agency Mortgage-Backed Securities FNMA 2020-12-01 4.500000 3074963.00 1331.10 Agency Mortgage-Backed Securities FNMA 2022-06-01 6.000000 28680.00 157.49 Agency Mortgage-Backed Securities FNMA 2020-12-01 5.000000 15810100.00 2281.91 Agency Mortgage-Backed Securities FMAC 2049-05-01 4.000000 8327.00 4252.20 Agency Mortgage-Backed Securities FNMA 2048-09-01 4.500000 3885404.00 3257791.36 Agency Mortgage-Backed Securities FMAC 2042-08-01 3.500000 11669184.00 5589370.92 Agency Mortgage-Backed Securities FMAC 2034-03-01 3.500000 1000.00 826.90 Agency Mortgage-Backed Securities FMAC 2032-08-01 7.000000 111631.00 1167.27 Agency Mortgage-Backed Securities FMAC 2032-11-01 7.000000 353159.00 3534.78 Agency Mortgage-Backed Securities FMAC 2029-07-01 7.000000 17350.00 50.68 Agency Mortgage-Backed Securities FMAC 2029-12-01 7.000000 20076.00 42.71 Agency Mortgage-Backed Securities FMAC 2030-03-01 7.000000 33000.00 137.25 Agency Mortgage-Backed Securities FMAC 2031-01-01 7.000000 170508.00 229.19 Agency Mortgage-Backed Securities FMAC 2040-06-01 5.500000 28851.00 3667.80 Agency Mortgage-Backed Securities FMAC 2026-02-01 5.000000 146036.00 2862.27 Agency Mortgage-Backed Securities FMAC 2045-03-01 4.000000 1931656.00 1175571.60 Agency Mortgage-Backed Securities FMAC 2050-06-01 3.500000 20285120.00 21845990.16 Agency Mortgage-Backed Securities FMAC 2035-01-01 3.000000 1040.00 1045.03 Agency Mortgage-Backed Securities FNMA 2023-11-01 6.000000 635000.00 2155.64 Agency Mortgage-Backed Securities FNMA 2024-01-01 7.000000 2030.00 2.53 Agency Mortgage-Backed Securities FNMA 2021-12-01 5.500000 599700.00 1080.28 Agency Mortgage-Backed Securities FNMA 2023-02-01 5.500000 500000.00 2781.42 Agency Mortgage-Backed Securities FNMA 2020-10-01 5.000000 7178166.00 4336.81 Agency Mortgage-Backed Securities FNMA 2020-11-01 5.500000 1061266.00 1186.78 Agency Mortgage-Backed Securities FNMA 2021-01-01 5.500000 1297868.00 3301.49 Agency Mortgage-Backed Securities FNMA 2022-02-01 5.500000 61325.00 361.90 Agency Mortgage-Backed Securities FNMA 2022-12-01 5.000000 211991.00 1321.56 Agency Mortgage-Backed Securities FNMA 2024-05-01 6.000000 81286.00 320.64 Agency Mortgage-Backed Securities FNMA 2022-09-01 5.000000 7223717.00 4.12 Agency Mortgage-Backed Securities FNMA 2022-09-01 5.000000 2450941.00 37.38 Agency Mortgage-Backed Securities FNMA 2023-08-01 5.000000 999900.00 716.86 Agency Mortgage-Backed Securities FNMA 2022-01-01 5.500000 140056.00 678.99 Agency Mortgage-Backed Securities FNMA 2021-08-01 5.500000 1292714.00 4017.87 Agency Mortgage-Backed Securities FNMA 2021-12-01 5.500000 31640.00 27.58 Agency Mortgage-Backed Securities FNMA 2022-04-01 5.500000 998706.00 1136.98 Agency Mortgage-Backed Securities FNMA 2020-10-01 5.000000 506708.00 342.31 Agency Mortgage-Backed Securities FNMA 2020-07-25 5.500000 1200000.00 495.42 Agency Mortgage-Backed Securities FNMA 2020-07-25 5.000000 1700000.00 1042.68 Agency Mortgage-Backed Securities FNMA 2021-04-01 6.000000 506775.00 1662.76 Agency Mortgage-Backed Securities FNMA 2021-08-01 5.500000 1098759.00 412.30 Agency Mortgage-Backed Securities FNMA 2020-09-01 5.500000 28506.00 11.53 Agency Mortgage-Backed Securities FNMA 2020-08-01 4.500000 9204780.00 2775.14 Agency Mortgage-Backed Securities FNMA 2020-09-01 5.000000 4026003.00 945.98 Agency Mortgage-Backed Securities FNMA 2020-07-25 5.500000 830000.00 161.02 Agency Mortgage-Backed Securities FNMA 2020-12-01 5.500000 30947.00 74.96 Agency Mortgage-Backed Securities FNMA 2020-10-01 5.500000 179882.00 91.42 Agency Mortgage-Backed Securities FNMA 2021-04-01 5.500000 354998.00 803.25 Agency Mortgage-Backed Securities FNMA 2021-03-01 5.500000 241574.00 427.35 Agency Mortgage-Backed Securities FNMA 2021-03-01 5.500000 25749.00 64.12 Agency Mortgage-Backed Securities FNMA 2020-12-01 5.500000 26945.00 112.22 Agency Mortgage-Backed Securities FNMA 2020-11-01 5.500000 26075.00 62.02 Agency Mortgage-Backed Securities FNMA 2020-11-01 5.500000 30061.00 102.96 Agency Mortgage-Backed Securities FNMA 2020-12-01 5.500000 76153.00 164.56 Agency Mortgage-Backed Securities FNMA 2021-02-01 6.000000 887779.00 1240.33 Agency Mortgage-Backed Securities FNMA 2021-01-01 5.500000 383712.00 441.14 Agency Mortgage-Backed Securities FNMA 2020-11-01 5.500000 1035537.00 2210.16 Agency Mortgage-Backed Securities FNMA 2021-02-01 5.500000 25905.00 39.53 Agency Mortgage-Backed Securities FNMA 2021-04-01 5.500000 534387.00 3158.68 Agency Mortgage-Backed Securities FNMA 2021-10-01 5.500000 26097.00 152.46 Agency Mortgage-Backed Securities FNMA 2021-04-01 5.500000 26128.00 15.11 Agency Mortgage-Backed Securities FNMA 2021-02-01 5.500000 210551.00 196.56 Agency Mortgage-Backed Securities FNMA 2021-05-01 5.500000 609517.00 1112.83 Agency Mortgage-Backed Securities FNMA 2021-06-01 5.500000 110000.00 167.41 Agency Mortgage-Backed Securities FNMA 2021-02-01 5.500000 685392.00 1266.56 Agency Mortgage-Backed Securities FNMA 2021-05-01 5.500000 28993.00 54.01 Agency Mortgage-Backed Securities FNMA 2030-04-01 1.383000 2000.00 1998.38 Agency Mortgage-Backed Securities FNMA 2030-05-01 1.930000 1000.00 1070.23 Agency Mortgage-Backed Securities FNMA 2050-05-01 3.500000 2717824.00 2925569.90 Agency Mortgage-Backed Securities FNMA 2021-10-01 5.500000 27691.00 122.47 Agency Mortgage-Backed Securities FNMA 2021-04-01 5.500000 635418.00 1599.35 Agency Mortgage-Backed Securities FNMA 2021-06-01 5.500000 25067.00 175.24 Agency Mortgage-Backed Securities FNMA 2021-09-01 5.500000 193735.00 1.10 Agency Mortgage-Backed Securities FNMA 2023-03-01 5.000000 305370.00 1448.40 Agency Mortgage-Backed Securities FNMA 2021-12-01 5.000000 800000.00 1989.79 Agency Mortgage-Backed Securities FNMA 2020-09-01 5.000000 10715000.00 1110.35 Agency Mortgage-Backed Securities FNMA 2021-08-01 6.000000 200000.00 814.12 Agency Mortgage-Backed Securities FNMA 2021-05-01 5.500000 44481.00 299.88 Agency Mortgage-Backed Securities FNMA 2021-04-01 5.500000 56618.00 197.63 Agency Mortgage-Backed Securities FNMA 2021-08-01 5.500000 28838.00 58.67 Agency Mortgage-Backed Securities FNMA 2021-11-01 5.500000 77000.00 173.91 Agency Mortgage-Backed Securities FNMA 2022-04-01 5.500000 50458.00 1032.66 Agency Mortgage-Backed Securities FNMA 2022-02-01 5.500000 668711.00 2031.30 Agency Mortgage-Backed Securities FNMA 2021-10-01 5.500000 407968.00 2873.97 Agency Mortgage-Backed Securities FNMA 2021-11-01 5.500000 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452.09 Agency Mortgage-Backed Securities FNMA 2023-06-01 4.500000 394708.00 3970.59 Agency Mortgage-Backed Securities FNMA 2023-04-01 4.500000 40000.00 2608.73 Agency Mortgage-Backed Securities FNMA 2023-07-01 5.000000 474000.00 4838.51 Agency Mortgage-Backed Securities FNMA 2023-10-01 6.000000 91828.00 1686.13 Agency Mortgage-Backed Securities FNMA 2024-01-01 5.000000 510000.00 3406.71 Agency Mortgage-Backed Securities FNMA 2024-06-01 4.000000 15510.00 1213.02 Agency Mortgage-Backed Securities FNMA 2024-10-01 4.500000 44307.00 3432.48 Agency Mortgage-Backed Securities FNMA 2024-10-01 4.500000 59042.00 2477.02 Agency Mortgage-Backed Securities FNMA 2024-01-01 3.500000 2000.00 284.96 Agency Mortgage-Backed Securities FNMA 2020-12-01 4.500000 37064800.00 192.54 Agency Mortgage-Backed Securities FNMA 2023-02-01 5.000000 1854000.00 963.58 Agency Mortgage-Backed Securities FNMA 2024-09-01 5.500000 2266.00 31.14 Agency Mortgage-Backed Securities FNMA 2022-11-01 7.000000 1571.00 22.69 Agency 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Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2027-10-08 0.00 46881000.00 43449310.80 Agency Debentures and Agency Strips Federal National Mortgage Association - FNMA - Fannie Mae B1V7KEBTPIMZEU4LTD58 2030-01-15 0.00 134072000.00 118164223.13 Agency Debentures and Agency Strips FEDERAL HOME LOAN BANKS 2549001DPIFGXC1TOL40 2020-08-05 0.00 1500000.00 1499754.00 Agency Debentures and Agency Strips USTR 254900HROIFWPRGM1V77 2023-04-30 1.625000 14000000.00 14610926.60 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-08-31 1.125000 68500.00 69507.47 U.S. Treasuries (including strips) FMAC 2028-03-15 0.00 2430000.00 2233291.50 Agency Mortgage-Backed Securities FMAC 2028-11-15 0.00 800000.00 725656.00 Agency Debentures and Agency Strips FNMA 2028-11-15 0.00 7352000.00 6629989.49 Agency Mortgage-Backed Securities FNMA 2029-05-15 0.00 6127000.00 5462318.53 Agency Mortgage-Backed Securities FMAC 2029-12-17 0.00 64587000.00 57251208.54 Agency 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254900HROIFWPRGM1V77 2028-01-15 1.750000 611200.00 899659.25 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2039-05-15 4.250000 3411700.00 5303919.23 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2022-11-15 1.625000 5000.00 5182.12 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2043-11-15 3.750000 2066800.00 3098316.11 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2022-09-30 1.750000 987300.00 1026559.08 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2022-11-30 2.000000 5803600.00 6068629.20 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2024-07-31 2.125000 1583800.00 1719635.00 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2022-10-31 2.000000 2200.00 2300.93 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2023-05-31 2.750000 4400000.00 4739148.03 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-12-15 2.625000 50226700.00 52075837.13 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2022-12-15 1.625000 1500000.00 1554617.98 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2022-06-30 0.125000 6300.00 6295.09 U.S. Treasuries (including strips) Y 2020-07-01 2020-07-01 2020-07-01 N N N 0.0008 75000000.00 75000000.00 0.0041 N Y Y N DEUTSCHE BANK AG TRI-PARTY DEUTSCHE BANK AG 0.070000% BNT64GXP4 7LTWFZYICNSX8D621K86 0 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY N/B 2023-08-15 6.250000 5277600.00 6395752.70 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2028-08-15 5.500000 5584500.00 7910575.21 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2026-02-15 6.000000 41300.00 55212.68 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2022-11-15 7.625000 200.00 237.08 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-11-15 2.625000 1000.00 1012.44 U.S. Treasuries (including strips) US TREASURY N/B 2024-11-15 7.500000 1314600.00 1741349.40 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2021-11-15 8.000000 461100.00 514901.15 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2041-02-15 4.750000 6584200.00 11080749.37 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2037-02-15 4.750000 2746100.00 4441375.32 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2040-11-15 4.250000 6522300.00 10261309.57 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2025-08-15 6.875000 168900.00 229759.70 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2040-08-15 3.875000 6772700.00 10229635.23 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2021-05-15 3.125000 815000.00 839054.92 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2041-08-15 3.750000 4918500.00 7346158.42 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2021-02-15 7.875000 3473700.00 3738872.10 U.S. Treasuries (including strips) US TREASURY N/B 2029-02-15 5.250000 3134300.00 4436866.14 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2021-02-15 3.625000 1365000.00 1412653.46 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2021-11-15 2.000000 1096300.00 1126607.21 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2027-02-15 6.625000 1212500.00 1733263.60 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2023-02-15 7.125000 4415000.00 5335509.30 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2020-08-15 8.750000 2037900.00 2126058.14 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2023-02-15 2.000000 321100.00 338898.74 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-07-31 2.000000 1200.00 1211.80 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2023-05-15 1.750000 2568700.00 2690735.08 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-08-31 2.125000 1000.00 1010.31 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2023-08-15 2.500000 2407300.00 2603973.18 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2021-01-31 2.125000 300.00 306.05 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2021-05-31 2.000000 100.00 101.83 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2021-09-30 2.125000 1552600.00 1598534.41 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2021-10-31 2.000000 1724400.00 1772199.02 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2021-11-30 1.875000 2228400.00 2285725.34 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2024-08-15 2.375000 3113000.00 3415078.13 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2025-02-15 2.000000 8776200.00 9543560.46 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2020-12-31 2.375000 1500.00 1516.53 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2021-12-31 2.125000 782700.00 805614.33 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2022-01-31 1.500000 1068800.00 1097942.47 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2022-04-30 1.750000 1332200.00 1374835.49 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2022-03-31 1.750000 1362000.00 1405536.46 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2022-05-31 1.875000 756300.00 782180.50 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2022-07-31 2.000000 1200.00 1255.83 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2025-08-15 2.000000 11127700.00 12170860.97 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-07-31 1.625000 500.00 503.97 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2022-08-31 1.875000 1797200.00 1874839.09 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 2022-10-31 1.875000 1000.00 1042.86 U.S. Treasuries (including strips) Department of the Treasury 254900HROIFWPRGM1V77 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(including strips) USTR 254900HROIFWPRGM1V77 2023-03-31 2.500000 8899100.00 9523130.22 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2048-05-15 3.125000 5877800.00 8308195.36 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-05-15 2.625000 465700.00 477153.08 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2025-05-31 2.875000 7442000.00 8401687.26 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2023-05-31 2.750000 2121300.00 2284973.35 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-06-15 2.625000 1823900.00 1868486.73 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2023-07-31 2.750000 1819800.00 1984484.56 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2023-06-30 2.625000 1840000.00 1974781.84 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2025-06-30 2.750000 5124300.00 5750043.65 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-07-15 2.625000 1224700.00 1270542.07 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2048-08-15 3.000000 1908000.00 2660501.44 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-08-15 2.750000 1532300.00 1592293.72 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2023-08-31 2.750000 1789800.00 1951236.10 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-08-31 2.625000 151400.00 153346.47 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2025-08-31 2.750000 1449000.00 1643894.62 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-10-31 2.875000 10000000.00 10137386.25 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2023-09-30 2.875000 2121800.00 2321971.09 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-10-15 2.875000 595600.00 619908.79 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2023-11-30 2.875000 1996600.00 2183688.52 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-11-15 2.875000 702300.00 730886.24 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2023-12-31 2.625000 10632000.00 11535103.34 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2022-01-15 2.500000 1142900.00 1197020.63 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2049-02-15 3.000000 2555200.00 3577340.79 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2022-02-15 2.500000 1020600.00 1068684.20 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2021-02-28 2.500000 1800.00 1842.72 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2024-02-29 2.375000 575500.00 625767.99 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2026-03-31 2.250000 1608800.00 1790065.53 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2022-04-15 2.250000 918600.00 957117.94 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2029-05-15 2.375000 6130900.00 7105742.22 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-05-31 2.125000 330900.00 337376.31 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2026-05-31 2.125000 1620000.00 1787663.20 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2024-06-30 1.750000 261500.00 277468.50 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2026-06-30 1.875000 328700.00 357567.09 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-07-31 1.750000 12494500.00 12797411.85 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2026-07-31 1.875000 344000.00 377173.01 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-08-31 1.500000 300600.00 306736.70 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2026-08-31 1.375000 312000.00 331769.08 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2022-09-15 1.500000 1596100.00 1650195.68 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2026-09-30 1.625000 296000.00 319276.64 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2022-10-15 1.375000 1162100.00 1197481.52 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2026-10-31 1.625000 328000.00 353498.93 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2021-11-30 1.500000 763700.00 779115.68 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2023-01-15 1.500000 1762000.00 1833454.15 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2027-01-31 1.500000 645400.00 693610.43 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2050-02-15 2.000000 290000.00 336426.25 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2025-01-31 1.375000 2187100.00 2310940.12 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2050-05-15 1.250000 5000000.00 4845882.50 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2023-05-15 0.125000 403400.00 402973.30 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2030-05-15 0.625000 17000.00 16999.71 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2025-05-31 0.250000 10000.00 9994.75 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2027-06-30 0.500000 610000.00 611149.24 U.S. Treasuries (including strips) USTR 254900HROIFWPRGM1V77 2025-06-30 0.250000 30000.00 29962.17 U.S. Treasuries (including strips) Y 2020-07-01 2020-07-01 2020-07-01 N N N 0.0007 375000000.00 375000000.00 0.0204 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 2021-07-15 0.625000 14619166.66 16919147.52 U.S. Treasuries (including strips) Y 2020-07-07 2020-07-07 2050-01-01 Y SOCIETE GENERALE (NEW YORK BRANCH) 1.0000 7 N N N 0.0103 16666666.66 16666666.66 0.0009 N N Y N Northern Funds 2020-07-08 Peter K Ewing Peter K Ewing President