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LLC 0000862124 084-01839 N N N Prime Y 27 48 12272660662.39 14794457756.25 12014516171.88 16731225832.77 22062102418.72 23255005462.80 23894112481.58 23514244311.75 0.2200 0.2600 0.2100 0.2900 0.4000 0.4100 0.4200 0.4200 589777.79 55882087456.12 55870845666.08 599095666.63 932763954.51 55537767155.99 55534767405.99 1.0000 0.0180 1.0002 1.0002 1.0002 1.0002 C000019231 1.00 6042739045.61 6042687966.43 1.0002 1.0001 1.0001 1.0002 155830855.39 128435507.78 139245573.69 109480137.02 97888448.78 89448471.12 185355590.67 172457532.23 578320468.53 499821648.15 0.0138 N C000154306 100000.00 49495028110.38 49492079439.56 1.0002 1.0002 1.0002 1.0002 1188288704.59 882206902.00 1130488966.96 947894417.99 857314773.19 669802428.13 1210850029.18 1300443431.52 4386942473.92 3800347179.64 0.0150 Y Fidelity Investments, Reimbursement Fees, -2976657.10; Bank of Montreal Bank of Montreal, 1.73% 06367BAQ2 NQQ6HPCNCCU6TUTQYE16 US06367BAQ23 0000927971 Certificate of Deposit Y N/A N/A 2020-05-27 2020-08-27 2020-08-27 N N N 0.0162 132070158.00 132070158.00 0.0024 N N N N Bank of Montreal Bank of Montreal, 1.74% 06367BGR4 NQQ6HPCNCCU6TUTQYE16 US06367BGR42 0000927971 Certificate of Deposit Y N/A N/A 2020-05-18 2020-11-17 2020-11-17 N N N 0.0174 177599733.60 177599733.60 0.0032 N N N N Bank of Montreal Bank of Montreal, 1.77% 06367BAM1 NQQ6HPCNCCU6TUTQYE16 US06367BAM19 0000927971 Certificate of Deposit Y N/A N/A 2020-05-26 2020-08-24 2020-08-24 N N N 0.0166 94049641.40 94049641.40 0.0017 N N N N Bank of Montreal Bank of Montreal, 1.80% 06370RD71 NQQ6HPCNCCU6TUTQYE16 US06370RD710 0000927971 Certificate of Deposit Y N/A N/A 2020-03-09 2020-03-09 2020-03-09 N N N 0.0156 275016912.50 275016912.50 0.0050 N N N N Bank of Montreal Bank of Montreal, 1.81% 06370RM55 NQQ6HPCNCCU6TUTQYE16 US06370RM554 0000927971 Certificate of Deposit Y N/A N/A 2020-03-02 2020-04-01 2020-04-01 N N N 0.0162 204032028.00 204032028.00 0.0037 N N N N Bank of Montreal Bank of Montreal, 1.85% 06370RS75 NQQ6HPCNCCU6TUTQYE16 US06370RS759 0000927971 Certificate of Deposit Y N/A N/A 2020-03-17 2020-04-17 2020-04-17 N N N 0.0164 375100687.50 375100687.50 0.0068 N N N N Bank of Montreal Bank of Montreal, 2.00% 06367BAC3 NQQ6HPCNCCU6TUTQYE16 US06367BAC37 0000927971 Certificate of Deposit Y N/A N/A 2020-03-20 2020-09-02 2020-09-02 N N N 0.0190 185092463.00 185092463.00 0.0033 N N N N Bank of Montreal Bank of Montreal, 2.05% 06367BEC9 NQQ6HPCNCCU6TUTQYE16 US06367BEC90 0000927971 Certificate of Deposit Y N/A N/A 2020-03-25 2020-09-25 2020-09-25 N N N 0.0195 208115752.00 208115752.00 0.0037 N N N N Bank of Nova Scotia Bank of Nova Scotia, 1.78% 06417MFC4 L3I9ZG2KFGXZ61BMYR72 US06417MFC47 0000009631 Certificate of Deposit Y N/A N/A 2020-05-20 2020-08-20 2020-08-20 N N N 0.0170 329137193.00 329137193.00 0.0059 N N N N Bank of Nova Scotia Bank of Nova Scotia, 1.99% 06417MBD6 L3I9ZG2KFGXZ61BMYR72 0000009631 Certificate of Deposit Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0155 178006212.20 178006212.20 0.0032 N Y Y N Bank of Nova Scotia Bank of Nova Scotia, 2.00% 06417MFJ9 L3I9ZG2KFGXZ61BMYR72 US06417MFJ99 0000009631 Certificate of Deposit Y N/A N/A 2020-03-03 2020-09-03 2020-09-03 N N N 0.0192 170068340.00 170068340.00 0.0031 N N N N Bank of Nova Scotia Bank of Nova Scotia, 2.02% 06417MBU8 L3I9ZG2KFGXZ61BMYR72 0000009631 Certificate of Deposit Y N/A N/A 2020-03-16 2020-03-16 2020-03-16 N N N 0.0153 70015484.00 70015484.00 0.0013 N N N N Bank of Nova Scotia Bank of Nova Scotia, 2.04% 06417MBX2 L3I9ZG2KFGXZ61BMYR72 0000009631 Certificate of Deposit Y N/A N/A 2020-03-16 2020-03-16 2020-03-16 N N N 0.0153 88020292.80 88020292.80 0.0016 N N N N Bank of Tokyo-Mitsubishi UFJ Ltd. 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Sumitomo Mitsui Banking Corp., 1.73% 86565B6R7 5U0XI89JRFVHWIBS4F54 0001184915 Certificate of Deposit Y N/A N/A 2020-03-10 2020-06-10 2020-06-10 N N N 0.0168 161019642.00 161019642.00 0.0029 N N N N Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 1.75% 86565B6A4 5U0XI89JRFVHWIBS4F54 0001184915 Certificate of Deposit Y N/A N/A 2020-03-04 2020-06-04 2020-06-04 N N N 0.0168 161029302.00 161029302.00 0.0029 N N N N Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 1.76% 86565B6B2 5U0XI89JRFVHWIBS4F54 0001184915 Certificate of Deposit Y N/A N/A 2020-03-05 2020-06-05 2020-06-05 N N N 0.0168 162029208.60 162029208.60 0.0029 N N N N Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 1.79% 86565B5A5 5U0XI89JRFVHWIBS4F54 US86565B5A50 0001184915 Certificate of Deposit Y N/A N/A 2020-03-18 2020-05-18 2020-05-18 N N N 0.0164 228067784.40 228067784.40 0.0041 N N N N Sumitomo Mitsui Banking Corp. 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Sumitomo Mitsui Trust Bank Ltd., 1.82% 86564F4J9 5493006GGLR4BTEL8O61 US86564F4J98 0001046017 Certificate of Deposit Y N/A N/A 2020-03-02 2020-05-12 2020-05-12 N N N 0.0167 162047223.00 162047223.00 0.0029 N N N N Sumitomo Mitsui Trust Bank Ltd. Sumitomo Mitsui Trust Bank Ltd., 1.82% 86564F4H3 5493006GGLR4BTEL8O61 US86564F4H33 0001046017 Certificate of Deposit Y N/A N/A 2020-03-11 2020-05-11 2020-05-11 N N N 0.0166 36010252.80 36010252.80 0.0006 N N N N Sumitomo Mitsui Trust Bank Ltd. Sumitomo Mitsui Trust Bank Ltd., 1.90% 86564F2Y8 5493006GGLR4BTEL8O61 0001046017 Certificate of Deposit Y N/A N/A 2020-03-25 2020-03-25 2020-03-25 N N N 0.0153 85021913.00 85021913.00 0.0015 N N N N Sumitomo Mitsui Trust Bank Ltd. Sumitomo Mitsui Trust Bank Ltd., 1.90% 86564F2X0 5493006GGLR4BTEL8O61 0001046017 Certificate of Deposit Y N/A N/A 2020-03-26 2020-03-26 2020-03-26 N N N 0.0153 51013688.40 51013688.40 0.0009 N N N N Sumitomo Mitsui Trust Bank Ltd. Sumitomo Mitsui Trust Bank Ltd., 1.90% 86564F3A9 5493006GGLR4BTEL8O61 0001046017 Certificate of Deposit Y N/A N/A 2020-04-03 2020-04-03 2020-04-03 N N N 0.0152 85029894.50 85029894.50 0.0015 N N N N Sumitomo Mitsui Trust Bank Ltd. Sumitomo Mitsui Trust Bank Ltd., 1.98% 86564F3P6 5493006GGLR4BTEL8O61 0001046017 Certificate of Deposit Y N/A N/A 2020-04-13 2020-04-13 2020-04-13 N N N 0.0152 81044857.80 81044857.80 0.0015 N N N N Sumitomo Mitsui Trust Bank Ltd. Sumitomo Mitsui Trust Bank Ltd., 1.98% 86564F3Q4 5493006GGLR4BTEL8O61 0001046017 Certificate of Deposit Y N/A N/A 2020-04-23 2020-04-23 2020-04-23 N N N 0.0152 80054120.00 80054120.00 0.0014 N N N N Svenska Handelsbanken, Inc. Svenska Handelsbanken, Inc., 1.72% 86959RFH8 NHBDILHZTYCNBV5UYZ31 US86959RFH84 0001448613 Certificate of Deposit Y N/A N/A 2020-03-11 2020-08-11 2020-08-11 N N N 0.0170 333016883.10 333016883.10 0.0060 N N N N Toronto-Dominion Bank Toronto-Dominion Bank, 2.00% 89114M5N3 PT3QB789TSUIDF371261 0000947263 Certificate of Deposit Y N/A N/A 2020-03-11 2020-03-11 2020-03-11 N N N 0.0155 278040059.80 278040059.80 0.0050 N N N N Bank of Montreal London Branch Bank of Montreal London Branch, 1.54% NQQ6HPCNCCU6TUTQYE16 XS2130246395 Certificate of Deposit Y N/A N/A 2020-07-20 2020-07-20 2020-07-20 N N N 0.0142 87038915.10 87038915.10 0.0016 N N N N Commonwealth Bank of Australia London Branch Commonwealth Bank of Australia London Branch, 2.00% MSFSBD3QN1GSN7Q6C537 XS2052341281 Certificate of Deposit Y N/A N/A 2020-03-10 2020-03-10 2020-03-10 N N N 0.0157 86010853.20 86010853.20 0.0015 N N N N Credit Agricole SA London Branch Credit Agricole SA London Branch, 1.48% 969500TJ5KRTCJQWXH05 XS2131343704 Certificate of Deposit Y N/A N/A 2020-07-03 2020-07-03 2020-07-03 N N N 0.0143 87012710.70 87012710.70 0.0016 N N N N Credit Agricole SA London Branch Credit Agricole SA London Branch, 1.74% 969500TJ5KRTCJQWXH05 XS2113772086 Certificate of Deposit Y N/A N/A 2020-05-04 2020-05-04 2020-05-04 N N N 0.0149 175077892.50 175077892.50 0.0032 N N N N Credit Agricole SA London Branch Credit Agricole SA London Branch, 1.79% 969500TJ5KRTCJQWXH05 XS2106850733 Certificate of Deposit Y N/A N/A 2020-05-18 2020-05-18 2020-05-18 N N N 0.0147 176121193.60 176121193.60 0.0032 N N N N Credit Agricole SA London Branch Credit Agricole SA London Branch, 1.90% 969500TJ5KRTCJQWXH05 XS2082471405 Certificate of Deposit Y N/A N/A 2020-03-18 2020-03-18 2020-03-18 N N N 0.0159 263781566.40 263781566.40 0.0047 N N N N Credit Agricole SA London Branch Credit Agricole SA London Branch, 1.90% 969500TJ5KRTCJQWXH05 XS2082816666 Certificate of Deposit Y N/A N/A 2020-03-19 2020-03-19 2020-03-19 N N N 0.0158 225803425.20 225803425.20 0.0041 N N N N Credit Agricole SA London Branch Credit Agricole SA London Branch, 1.90% 969500TJ5KRTCJQWXH05 XS2084840797 Certificate of Deposit Y N/A N/A 2020-03-23 2020-03-23 2020-03-23 N N N 0.0152 347083904.60 347083904.60 0.0062 N N N N Credit Agricole SA London Branch Credit Agricole SA London Branch, 1.90% 969500TJ5KRTCJQWXH05 XS2087758806 Certificate of Deposit Y N/A N/A 2020-03-27 2020-03-27 2020-03-27 N N N 0.0152 160045632.00 160045632.00 0.0029 N N N N Credit Agricole SA London Branch Credit Agricole SA London Branch, 1.90% 969500TJ5KRTCJQWXH05 XS2088760744 Certificate of Deposit Y N/A N/A 2020-03-30 2020-03-30 2020-03-30 N N N 0.0151 162052585.20 162052585.20 0.0029 N N N N DZ Bank AG London Branch DZ Bank AG London Branch, 1.66% 529900HNOAA1KXQJUQ27 XS2123020583 Certificate of Deposit Y N/A N/A 2020-05-18 2020-05-18 2020-05-18 N N N 0.0141 175454787.20 175454787.20 0.0032 N N N N DZ Bank AG London Branch DZ Bank AG London Branch, 1.67% 529900HNOAA1KXQJUQ27 XS2125289350 Certificate of Deposit Y N/A N/A 2020-05-21 2020-05-21 2020-05-21 N N N 0.0141 180420383.70 180420383.70 0.0032 N N N N DZ Bank AG London Branch DZ Bank AG London Branch, 1.68% 529900HNOAA1KXQJUQ27 XS2121409028 Certificate of Deposit Y N/A N/A 2020-05-13 2020-05-13 2020-05-13 N N N 0.0142 174488667.50 174488667.50 0.0031 N N N N DZ Bank AG London Branch DZ Bank AG London Branch, 1.68% 529900HNOAA1KXQJUQ27 XS2121409614 Certificate of Deposit Y N/A N/A 2020-06-15 2020-06-15 2020-06-15 N N N 0.0139 278854100.00 278854100.00 0.0050 N N N N DZ Bank AG London Branch DZ Bank AG London Branch, 1.68% 529900HNOAA1KXQJUQ27 XS2125189485 Certificate of Deposit Y N/A N/A 2020-06-22 2020-06-22 2020-06-22 N N N 0.0139 177227177.40 177227177.40 0.0032 N N N N DZ Bank AG London Branch DZ Bank AG London Branch, 1.74% 529900HNOAA1KXQJUQ27 XS2112989525 Certificate of Deposit Y N/A N/A 2020-04-29 2020-04-29 2020-04-29 N N N 0.0145 283313600.40 283313600.40 0.0051 N N N N DZ Bank AG London Branch DZ Bank AG London Branch, 1.74% 529900HNOAA1KXQJUQ27 XS2113679380 Certificate of Deposit Y N/A N/A 2020-04-30 2020-04-30 2020-04-30 N N N 0.0144 209484744.00 209484744.00 0.0038 N N N N DZ Bank AG London Branch DZ Bank AG London Branch, 1.79% 529900HNOAA1KXQJUQ27 XS2106829539 Certificate of Deposit Y N/A N/A 2020-05-18 2020-05-18 2020-05-18 N N N 0.0141 175454787.20 175454787.20 0.0032 N N N N DZ Bank AG London Branch DZ Bank AG London Branch, 1.79% 529900HNOAA1KXQJUQ27 XS2107430576 Certificate of Deposit Y N/A N/A 2020-05-21 2020-05-21 2020-05-21 N N N 0.0141 279103356.00 279103356.00 0.0050 N N N N DZ Bank AG London Branch DZ Bank AG London Branch, 1.90% 529900HNOAA1KXQJUQ27 XS2077593767 Certificate of Deposit Y N/A N/A 2020-03-04 2020-03-04 2020-03-04 N N N 0.0161 191957606.40 191957606.40 0.0035 N N Y N DZ Bank AG London Branch DZ Bank AG London Branch, 1.90% 529900HNOAA1KXQJUQ27 XS2078381287 Certificate of Deposit Y N/A N/A 2020-03-05 2020-03-05 2020-03-05 N N N 0.0161 103972481.60 103972481.60 0.0019 N N Y N DZ Bank AG London Branch DZ Bank AG London Branch, 1.90% 529900HNOAA1KXQJUQ27 XS2091601612 Certificate of Deposit Y N/A N/A 2020-04-06 2020-04-06 2020-04-06 N N N 0.0146 173736163.80 173736163.80 0.0031 N N N N DZ Bank AG London Branch DZ Bank AG London Branch, 1.91% 529900HNOAA1KXQJUQ27 XS2091113816 Certificate of Deposit Y N/A N/A 2020-04-06 2020-04-06 2020-04-06 N N N 0.0155 347439998.40 347439998.40 0.0063 N N N N KBC Bank NV London KBC Bank NV London, 1.61% 6B2PBRV1FCJDMR45RZ53 XS2128045171 Certificate of Deposit Y N/A N/A 2020-06-29 2020-06-29 2020-06-29 N N N 0.0146 183106698.40 183106698.40 0.0033 N N N N KBC Bank NV London KBC Bank NV London, 1.66% 6B2PBRV1FCJDMR45RZ53 XS2123085792 Certificate of Deposit Y N/A N/A 2020-05-18 2020-05-18 2020-05-18 N N N 0.0149 348855745.00 348855745.00 0.0063 N N N N KBC Bank NV London KBC Bank NV London, 1.66% 6B2PBRV1FCJDMR45RZ53 XS2123635885 Certificate of Deposit Y N/A N/A 2020-05-19 2020-05-19 2020-05-19 N N N 0.0149 174421257.50 174421257.50 0.0031 N N N N KBC Bank NV London KBC Bank NV London, 1.76% 6B2PBRV1FCJDMR45RZ53 XS2108980181 Certificate of Deposit Y N/A N/A 2020-04-21 2020-04-21 2020-04-21 N N N 0.0153 524836751.00 524836751.00 0.0095 N N N N KBC Bank NV London KBC Bank NV London, 1.76% 6B2PBRV1FCJDMR45RZ53 XS2108980009 Certificate of Deposit Y N/A N/A 2020-05-21 2020-05-21 2020-05-21 N N N 0.0149 524220857.60 524220857.60 0.0094 N N N N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 1.69% JBONEPAGQXF4QP29B387 XS2124965612 Certificate of Deposit Y N/A N/A 2020-05-20 2020-05-20 2020-05-20 N N N 0.0149 69765864.00 69765864.00 0.0013 N N N N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 1.95% JBONEPAGQXF4QP29B387 XS2083276662 Certificate of Deposit Y N/A N/A 2020-03-20 2020-03-20 2020-03-20 N N N 0.0155 41962498.20 41962498.20 0.0008 N N N N Mizuho Bank Ltd. London Branch Mizuho Bank Ltd. London Branch, 1.62% RB0PEZSDGCO3JS6CEU02 XS2130065332 Certificate of Deposit Y N/A N/A 2020-06-02 2020-06-02 2020-06-02 N N N 0.0140 138496611.50 138496611.50 0.0025 N N N N Mizuho Bank Ltd. London Branch Mizuho Bank Ltd. London Branch, 1.65% RB0PEZSDGCO3JS6CEU02 XS2128009615 Certificate of Deposit Y N/A N/A 2020-05-27 2020-05-27 2020-05-27 N N N 0.0144 69753635.00 69753635.00 0.0013 N N N N Mizuho Bank Ltd. London Branch Mizuho Bank Ltd. London Branch, 1.69% RB0PEZSDGCO3JS6CEU02 XS2122999019 Certificate of Deposit Y N/A N/A 2020-05-18 2020-05-18 2020-05-18 N N N 0.0146 175435656.00 175435656.00 0.0032 N N N N Mizuho Bank Ltd. London Branch Mizuho Bank Ltd. London Branch, 1.69% RB0PEZSDGCO3JS6CEU02 XS2125048400 Certificate of Deposit Y N/A N/A 2020-05-20 2020-05-20 2020-05-20 N N N 0.0146 103659202.40 103659202.40 0.0019 N N N N Mizuho Bank Ltd. London Branch Mizuho Bank Ltd. London Branch, 1.73% RB0PEZSDGCO3JS6CEU02 XS2114972032 Certificate of Deposit Y N/A N/A 2020-05-05 2020-05-05 2020-05-05 N N N 0.0149 69808382.00 69808382.00 0.0013 N N N N Mizuho Bank Ltd. London Branch Mizuho Bank Ltd. London Branch, 1.95% RB0PEZSDGCO3JS6CEU02 XS2091158753 Certificate of Deposit Y N/A N/A 2020-03-04 2020-03-04 2020-03-04 N N N 0.0162 207953865.60 207953865.60 0.0037 N N Y N Mizuho Bank Ltd. London Branch Mizuho Bank Ltd. London Branch, 1.95% RB0PEZSDGCO3JS6CEU02 XS2091653332 Certificate of Deposit Y N/A N/A 2020-03-05 2020-03-05 2020-03-05 N N N 0.0162 103972315.20 103972315.20 0.0019 N N Y N Mizuho Bank Ltd. London Branch Mizuho Bank Ltd. London Branch, 1.95% RB0PEZSDGCO3JS6CEU02 XS2092442503 Certificate of Deposit Y N/A N/A 2020-03-09 2020-03-09 2020-03-09 N N N 0.0161 93958489.60 93958489.60 0.0017 N N N N Mizuho Bank Ltd. London Branch Mizuho Bank Ltd. London Branch, 1.96% RB0PEZSDGCO3JS6CEU02 XS2083199146 Certificate of Deposit Y N/A N/A 2020-03-20 2020-03-20 2020-03-20 N N N 0.0157 150863767.80 150863767.80 0.0027 N N N N Mizuho Bank Ltd. London Branch Mizuho Bank Ltd. London Branch, 2.00% RB0PEZSDGCO3JS6CEU02 XS2076841399 Certificate of Deposit Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0160 61991816.00 61991816.00 0.0011 N Y Y N National Australia Bank Ltd. London Branch National Australia Bank Ltd. London Branch, 1.90% F8SB4JFBSYQFRQEH3Z21 XS2088637389 Certificate of Deposit Y N/A N/A 2020-03-27 2020-03-27 2020-03-27 N N N 0.0146 556182979.60 556182979.60 0.0100 N N N N Rabobank Nederland London Branch Rabobank Nederland London Branch, 1.66% DG3RU1DBUFHT4ZF9WN62 XS2123401460 Certificate of Deposit Y N/A N/A 2020-06-19 2020-06-19 2020-06-19 N N N 0.0149 174204695.00 174204695.00 0.0031 N N N N Rabobank Nederland London Branch Rabobank Nederland London Branch, 1.66% DG3RU1DBUFHT4ZF9WN62 XS2125225461 Certificate of Deposit Y N/A N/A 2020-06-22 2020-06-22 2020-06-22 N N N 0.0149 173189386.20 173189386.20 0.0031 N N N N Sumitomo Mitsui Trust Bank Ltd. London Branch Sumitomo Mitsui Trust Bank Ltd. London Branch, 1.74% 5493006GGLR4BTEL8O61 XS2115358819 Certificate of Deposit Y N/A N/A 2020-05-07 2020-05-07 2020-05-07 N N N 0.0149 140602224.90 140602224.90 0.0025 N N N N Sumitomo Mitsui Trust Bank Ltd. London Branch Sumitomo Mitsui Trust Bank Ltd. London Branch, 1.75% 5493006GGLR4BTEL8O61 XS2113030857 Certificate of Deposit Y N/A N/A 2020-05-29 2020-05-29 2020-05-29 N N N 0.0147 112586770.30 112586770.30 0.0020 N N N N Sumitomo Mitsui Trust Bank Ltd. London Branch Sumitomo Mitsui Trust Bank Ltd. London Branch, 1.82% 5493006GGLR4BTEL8O61 XS2106040228 Certificate of Deposit Y N/A N/A 2020-05-18 2020-05-18 2020-05-18 N N N 0.0148 47844403.20 47844403.20 0.0009 N N N N HSBC Bank U.S.A. NA HSBC Bank U.S.A. NA, 2.02% 40435RGA3 1IE8VN30JCEQV1H4R804 US40435RGA32 Certificate of Deposit Y N/A N/A 2020-04-23 2020-04-23 2020-04-23 N N N 0.0142 172152770.40 172152770.40 0.0031 N N N N HSBC Bank U.S.A. NA HSBC Bank U.S.A. 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Australia & New Zealand Banking Group Ltd., 1.95% 05253ADL1 JHE42UYNWWTJB8YTTU19 0000859994 Financial Company Commercial Paper Y N/A N/A 2020-04-20 2020-04-20 2020-04-20 N N N 0.0144 281422802.40 281422802.40 0.0051 N N N N Bank of Nova Scotia Bank of Nova Scotia, 1.73% 06417LPR2 L3I9ZG2KFGXZ61BMYR72 US06417LPR23 0000009631 Financial Company Commercial Paper Y N/A N/A 2020-05-13 2020-11-13 2020-11-13 N N N 0.0173 168999814.10 168999814.10 0.0030 N N N N Bank of Nova Scotia Bank of Nova Scotia, 1.78% 06417LPB7 L3I9ZG2KFGXZ61BMYR72 US06417LPB70 0000009631 Financial Company Commercial Paper Y N/A N/A 2020-05-20 2020-08-20 2020-08-20 N N N 0.0170 16006696.00 16006696.00 0.0003 N N N N Bank of Nova Scotia Bank of Nova Scotia, 1.80% 06417LLZ8 L3I9ZG2KFGXZ61BMYR72 US06417LLZ84 0000009631 Financial Company Commercial Paper Y N/A N/A 2020-03-20 2020-03-20 2020-03-20 N N N 0.0156 209027211.80 209027211.80 0.0038 N N N N Bank of Nova Scotia Bank of Nova Scotia, 1.90% 06417LNW3 L3I9ZG2KFGXZ61BMYR72 US06417LNW36 0000009631 Financial Company Commercial Paper Y N/A N/A 2020-03-13 2020-08-13 2020-08-13 N N N 0.0172 172140386.40 172140386.40 0.0031 N N N N Bank of Nova Scotia Bank of Nova Scotia, 1.91% 06417LNL7 L3I9ZG2KFGXZ61BMYR72 US06417LNL70 0000009631 Financial Company Commercial Paper Y N/A N/A 2020-03-24 2020-07-24 2020-07-24 N N N 0.0169 186163847.40 186163847.40 0.0034 N N N N Bank of Nova Scotia Bank of Nova Scotia, 1.92% 06417LNK9 L3I9ZG2KFGXZ61BMYR72 US06417LNK97 0000009631 Financial Company Commercial Paper Y N/A N/A 2020-03-23 2020-07-21 2020-07-21 N N N 0.0169 95082593.00 95082593.00 0.0017 N N N N Bank of Nova Scotia Bank of Nova Scotia, 1.94% 06417LNJ2 L3I9ZG2KFGXZ61BMYR72 US06417LNJ25 0000009631 Financial Company Commercial Paper Y N/A N/A 2020-03-16 2020-07-15 2020-07-15 N N N 0.0171 565474261.00 565474261.00 0.0102 N N N N Bank of Nova Scotia Bank of Nova Scotia, 1.98% 06417LPD3 L3I9ZG2KFGXZ61BMYR72 US06417LPD37 0000009631 Financial Company Commercial Paper Y N/A N/A 2020-03-09 2020-09-08 2020-09-08 N N N 0.0190 90037143.00 90037143.00 0.0016 N N N N Barclays Bank PLC/Barclays U.S. CCP Funding LLC Barclays Bank PLC/Barclays U.S. CCP Funding LLC, 1.66% 06742VAQ4 G5GSEF7VJP5I7OUK5573 FGG347000 Financial Company Commercial Paper Y N/A N/A 2020-05-01 2020-05-01 2020-05-01 N N N 0.0155 66820862.10 66820862.10 0.0012 N N N N BNP Paribas SA BNP Paribas SA, 1.89% 09660EC58 R0MUWSFPU8MPRO8K5P83 0000872786 Financial Company Commercial Paper Y N/A N/A 2020-03-05 2020-03-05 2020-03-05 N N N 0.0159 171954936.00 171954936.00 0.0031 N N Y N BPCE SA BPCE SA, 1.61% 05571BFQ1 9695005MSX1OYEMGDF46 0001485022 Financial Company Commercial Paper Y N/A N/A 2020-06-24 2020-06-24 2020-06-24 N N N 0.0147 119437236.00 119437236.00 0.0022 N N N N BPCE SA BPCE SA, 1.89% 05571BCC5 9695005MSX1OYEMGDF46 0001485022 Financial Company Commercial Paper Y N/A N/A 2020-03-12 2020-03-12 2020-03-12 N N N 0.0158 464738065.50 464738065.50 0.0084 N N N N BPCE SA BPCE SA, 1.90% 05571BCX9 9695005MSX1OYEMGDF46 0001485022 Financial Company Commercial Paper Y N/A N/A 2020-03-31 2020-03-31 2020-03-31 N N N 0.0159 524273400.00 524273400.00 0.0094 N N N N BPCE SA BPCE SA, 2.01% 05571BCP6 9695005MSX1OYEMGDF46 0001485022 Financial Company Commercial Paper Y N/A N/A 2020-03-23 2020-03-23 2020-03-23 N N N 0.0158 529448800.00 529448800.00 0.0095 N N N N Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce, 1.88% 13608CJB9 2IGI19DL77OX0HC3ZE78 US13608CJB90 0001045520 Financial Company Commercial Paper Y N/A N/A 2020-03-02 2020-07-20 2020-07-20 N N N 0.0162 198201029.40 198201029.40 0.0036 N N N N Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce, 1.94% 13608CHZ8 2IGI19DL77OX0HC3ZE78 US13608CHZ86 0001045520 Financial Company Commercial Paper Y N/A N/A 2020-03-16 2020-07-15 2020-07-15 N N N 0.0167 180179982.00 180179982.00 0.0032 N N N N Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce, 1.98% 13608CJK9 2IGI19DL77OX0HC3ZE78 US13608CJK99 0001045520 Financial Company Commercial Paper Y N/A N/A 2020-03-09 2020-09-08 2020-09-08 N N N 0.0190 348143584.80 348143584.80 0.0063 N N N N Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce, 2.02% 13608ACB0 2IGI19DL77OX0HC3ZE78 0001045520 Financial Company Commercial Paper Y N/A N/A 2020-03-11 2020-03-11 2020-03-11 N N N 0.0159 169911209.00 169911209.00 0.0031 N N N N Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce, 2.05% 13608ACG9 2IGI19DL77OX0HC3ZE78 0001045520 Financial Company Commercial Paper Y N/A N/A 2020-03-16 2020-03-16 2020-03-16 N N N 0.0157 161631307.85 161631307.85 0.0029 N N N N Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce, 2.08% 13608ACK0 2IGI19DL77OX0HC3ZE78 0001045520 Financial Company Commercial Paper Y N/A N/A 2020-03-19 2020-03-19 2020-03-19 N N N 0.0156 260526041.83 260526041.83 0.0047 N N N N Citigroup Global Markets, Inc. 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LLC Manhattan Asset Funding Co. LLC, 1.60% 56274LE75 549300S0NSJYSOB32S63 FHC883000 Asset Backed Commercial Paper Y N/A N/A 2020-05-07 2020-05-07 2020-05-07 N Y SUMITOMO MITSUI BKG CORP 1.0000 N/A N/A N 0.0155 17947200.06 17947200.06 0.0003 N N N N Manhattan Asset Funding Co. LLC Manhattan Asset Funding Co. LLC, 1.62% 56274LCG7 549300S0NSJYSOB32S63 FHC949000 Asset Backed Commercial Paper Y N/A N/A 2020-03-16 2020-03-16 2020-03-16 N Y SUMITOMO MITSUI BKG CORP 1.0000 N/A N/A N 0.0135 35977320.00 35977320.00 0.0006 N N N N Sheffield Receivables Corp. Sheffield Receivables Corp., 1.69% 82124LEB4 549300MYF6MOTU9T3G29 FGF100000 Asset Backed Commercial Paper Y N/A N/A 2020-05-11 2020-05-11 2020-05-11 N Y BARCLAYS BANK PLC 1.0000 N/A N/A N 0.0161 62796749.40 62796749.40 0.0011 N N N N Sheffield Receivables Corp. Sheffield Receivables Corp., 1.69% 82124LEB4 549300MYF6MOTU9T3G29 FGF101000 Asset Backed Commercial Paper Y N/A N/A 2020-05-11 2020-05-11 2020-05-11 N Y BARCLAYS BANK PLC 1.0000 N/A N/A N 0.0161 30899987.80 30899987.80 0.0006 N N N N Bank Of America, N.A. In a joint trading account with Bank Of America, N.A. at 1.61%, dated 2/28/2020 due 03/02/2020 B4TYDEB6GKMZO031MB27 FHD126000_00352 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2039-12-20 2045-07-20 3 - 5.25 1605569886.26 372946681.68 Agency Collateralized Mortgage Obligation Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0159 364671000.00 364671000.00 0.0066 N Y Y N Bank of Nova Scotia In a joint trading account with Bank of Nova Scotia at 1.61%, dated 2/28/2020 due 03/02/2020 L3I9ZG2KFGXZ61BMYR72 FHD126000_00324 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2022-09-15 2026-08-15 1.5 - 2.75 40228217.90 42109138.73 U.S. Treasuries (including strips) Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0159 41278000.00 41278000.00 0.0007 N Y Y N Barclays Bank PLC Barclays Bank PLC, 1.60% G5GSEF7VJP5I7OUK5573 FHA195000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2049-10-20 2049-10-20 3.5 - 3.5 89537229.00 91828560.32 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0159 90000000.00 90000000.00 0.0016 N Y Y N BNP Paribas, S.A. In a joint trading account with BNP Paribas, S.A. at 1.61%, dated 2/28/2020 due 03/02/2020 R0MUWSFPU8MPRO8K5P83 FHD126000_07651 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-03-17 2047-08-15 0 - 6.25 39652916.80 42710635.04 U.S. Treasuries (including strips) Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0159 41774000.00 41774000.00 0.0008 N Y Y N BNP Paribas, SA BNP Paribas, SA, 1.61% R0MUWSFPU8MPRO8K5P83 FGH723000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2022-01-31 2049-02-15 0 - 3 60834084.44 55335676.13 U.S. Treasuries (including strips) FEDERAL FARM CREDIT 2038-04-05 2038-04-05 3.98 - 3.98 3000.00 3110.25 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 2032-07-15 2032-07-15 6.25 - 6.25 67000.00 103530.90 Agency Debentures and Agency Strips FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 2031-08-25 2031-08-25 2.5 - 2.5 4030000.00 4031109.59 Agency Debentures and Agency Strips Y N/A N/A 2020-03-06 2020-03-06 2020-03-19 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0160 57900000.00 57900000.00 0.0010 N N Y N BNP Paribas, SA BNP Paribas, SA, 1.61% R0MUWSFPU8MPRO8K5P83 FGJ665000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2021-08-15 2048-08-15 0 - 6.125 55965209.40 58193523.91 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2028-04-01 2036-01-01 0 - 7.5 69193.00 945.42 Agency Debentures and Agency Strips FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2026-09-24 2030-11-15 1.875 - 6.625 3809000.00 4279125.07 Agency Debentures and Agency Strips Y N/A N/A 2020-03-06 2020-03-06 2020-03-24 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0160 61000000.00 61000000.00 0.0011 N N Y N BNY Mellon Capital Markets LLC In a joint trading account with BNY Mellon Capital Markets LLC at 1.61%, dated 2/28/2020 due 03/02/2020 VJW2DOOHGDT6PR0ZRO63 FHD126000_08066 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 CORP 2023-07-01 2023-07-01 7.25 - 7.25 1149.04 13.93 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2031-10-01 2032-05-01 6.5 - 6.5 43088.88 85.99 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2032-07-01 2033-02-01 6 - 6.5 146508.49 602.97 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2026-02-01 2026-02-01 4 - 4 115066.03 9942.71 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2030-02-01 2030-04-01 7 - 7 48259.54 105.87 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2031-01-01 2031-09-01 6.5 - 7 102886.81 333.46 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2028-06-01 2028-12-01 7 - 7 1608.65 36.75 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2033-11-01 2049-03-01 4 - 5 6941328.66 4221838.03 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2023-04-01 2023-06-01 5 - 5 70281.98 660.68 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2039-12-01 2039-12-01 4.5 - 4.5 2183.17 164.74 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2037-07-01 2037-11-01 6 - 6.5 5402.77 194.09 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2038-05-01 2038-05-01 6.5 - 6.5 28725.92 102.74 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2036-09-01 2037-03-01 6 - 6.5 41552.15 575.46 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2036-05-01 2036-09-01 6 - 6 4308.89 67.57 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2036-02-01 2036-02-01 6.5 - 6.5 2872.59 223.39 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-02-01 2050-02-01 2.5 - 2.5 492838.49 501474.00 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2032-03-01 2032-03-01 7 - 7 961.63 40.49 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-02-01 2050-03-01 2.5 - 3 2644479.51 2729487.13 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2033-10-01 2033-10-01 6.5 - 6.5 8273.06 139.62 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2033-10-01 2033-10-01 6 - 6 6894.22 335.02 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-02-01 2049-02-01 4 - 4 300473.09 255314.21 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2047-07-01 2047-07-01 3.5 - 3.5 1953.36 1605.76 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2047-12-01 2047-12-01 3.5 - 3.5 4534.56 3926.31 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2045-08-01 2045-08-01 3.5 - 3.5 8158.16 5006.91 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2036-04-01 2036-10-01 5.5 - 6 3102.40 60.68 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2021-10-01 2034-09-01 6 - 10 291464.07 1154.15 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2046-07-01 2046-08-01 3 - 3.5 41662.46 26562.05 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-01-01 2050-03-01 3 - 3.5 43209923.26 44928430.99 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2039-10-01 2042-06-01 3 - 6 30624.13 3199.46 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2035-05-01 2038-10-01 5.5 - 6.5 31713.41 1243.94 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2020-06-15 2049-12-20 2.5 - 9.5 29619895.00 22417810.58 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2044-07-01 2044-12-01 3.5 - 3.5 2843665.13 1418600.37 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2043-02-01 2043-02-01 3 - 3 114.90 22.04 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2043-04-01 2043-05-01 3 - 3 5522.61 2700.97 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2043-07-01 2043-07-01 3 - 3 352.64 186.35 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-08-01 2050-02-01 2.5 - 4.5 26270880.10 26561775.14 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-10-01 2049-10-01 3 - 3 463870.12 463616.66 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2021-03-01 2032-04-01 6 - 9 1771240.02 292.40 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2030-03-01 2036-09-01 3 - 5 396260.35 273047.67 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2042-12-01 2042-12-01 3 - 3 690.34 364.28 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2022-10-01 2043-02-01 3 - 6.5 200503.80 8770.89 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2031-06-01 2046-09-01 3.5 - 4.5 54464.34 34861.42 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2045-12-01 2045-12-01 4.5 - 4.5 1608.65 904.87 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2037-09-01 2040-08-01 4.5 - 5.5 1191478.98 37579.97 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2046-09-01 2046-09-01 3 - 3 3728.85 2800.86 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2034-07-01 2045-03-01 3 - 6.5 18506.04 4638.30 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2043-07-01 2048-04-01 3 - 4.5 187369.85 100752.49 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2024-07-01 2024-07-01 4 - 4 139129.50 4273.06 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2032-04-01 2032-05-01 3.5 - 3.5 188442.01 124066.15 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2026-08-01 2029-07-01 3 - 5 209239.58 70789.65 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2035-02-01 2035-02-01 2 - 2 287259.17 289829.85 Agency Mortgage-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2020-03-03 2050-02-15 0 - 8.75 58661514.39 59290893.93 U.S. Treasuries (including strips) FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 2020-03-04 2024-12-13 0 - 4.125 61442092.97 61892715.49 Agency Debentures and Agency Strips FEDERAL FARM CREDIT 2020-03-04 2050-02-03 1.375 - 5.05 21977394.52 22420036.04 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2020-04-01 2049-06-01 1.375 - 7.5 15899177.50 9981880.97 Agency Debentures and Agency Strips FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2020-03-04 2050-02-01 1.3 - 9.5 107683769.57 93001006.03 Agency Mortgage-Backed Securities RESOLUTION FUNDING CORP 2020-07-15 2020-07-15 0 - 0 574518.33 571718.71 Agency Debentures and Agency Strips Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0000 344711000.00 344711000.00 0.0062 N Y Y N Citibank NA In a joint trading account with Citibank NA at 1.61%, dated 2/28/2020 due 03/02/2020 E57ODZWZ7FF32TWEFA76 FHD126000_00276 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 B1V7KEBTPIMZEU4LTD58 2028-10-01 2028-10-01 3.59 - 3.59 91.02 102.03 Agency Mortgage-Backed Securities FEDERAL FARM CREDIT 2021-06-24 2037-01-29 1.9 - 3.5 1122426.07 1153387.36 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2049-12-01 2049-12-01 3.5 - 3.5 1621.47 1751.48 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2040-08-01 2040-08-01 5 - 5 68344.30 5958.18 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2020-08-01 2045-12-01 0 - 8 3603601.98 327837.87 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2020-03-15 2049-10-20 2.5 - 10.5 69702028.78 1470056.27 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2020-03-27 2050-02-01 1.375 - 9.5 11610111.55 6635524.51 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2036-10-01 2036-10-01 5 - 5 208474.17 1477.60 Agency Mortgage-Backed Securities RESOLUTION FUNDING CORP 2020-07-15 2030-04-15 0 - 8.875 1822531.60 1553587.97 Agency Debentures and Agency Strips US TREASURY 254900HROIFWPRGM1V77 2020-03-03 2049-11-15 0 - 8.75 129419933.41 141379315.21 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2050-02-01 2050-02-01 3.5 - 3.5 92.20 97.90 Agency Mortgage-Backed Securities FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 2020-03-13 2043-06-22 1.125 - 5.5 1165932.37 1305667.63 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2020-11-01 2023-10-01 5.5 - 5.5 1908.36 8.42 Agency Mortgage-Backed Securities TENNESEE VALLEY AUTHORITY 549300HE1ISW43LNKM54 2020-03-15 2061-03-15 0 - 4.875 335489.99 382210.15 Agency Debentures and Agency Strips FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2028-07-01 2028-07-01 3.63 - 3.63 91.02 99.50 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0159 150861000.00 150861000.00 0.0027 N Y Y N Citibank NA Citibank NA, 1.61% E57ODZWZ7FF32TWEFA76 0000036684 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-03-03 2029-11-15 0 - 8.125 132612000.00 136658991.25 U.S. Treasuries (including strips) FEDERAL FARM CREDIT 2028-01-12 2037-01-29 2.43 - 3.03 743000.00 784534.18 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2050-02-01 2050-02-01 3.5 - 3.5 1082.00 1148.88 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 2031-03-15 2034-02-01 0 - 5.5 45009.00 36235.40 Agency Debentures and Agency Strips GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2049-08-20 2049-08-20 3 - 3 1000.00 1016.82 Agency Mortgage-Backed Securities TENNESEE VALLEY AUTHORITY 549300HE1ISW43LNKM54 2042-12-15 2042-12-15 N/A 583000.00 337074.86 Agency Debentures and Agency Strips FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2038-10-01 2040-08-01 4.5 - 6.5 2928.00 168.27 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-03 2020-03-03 2020-03-03 N N N 0.0160 135000000.00 135000000.00 0.0024 N N Y N Citigroup Global Markets, Inc. In a joint trading account with Citigroup Global Markets, Inc. at 1.61%, dated 2/28/2020 due 03/02/2020 MBNUM2BPBDO7JBLYG310 FHD126000_00137 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 CORP 2032-06-01 2032-08-01 7 - 7 2317186.58 56304.03 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2032-12-01 2033-02-01 5.5 - 5.5 3484750.09 42970.47 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2028-08-01 2028-09-01 2 - 2 28760.98 10394.30 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2031-05-01 2031-10-01 5.5 - 6 1523751.47 20331.62 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2024-10-01 2025-07-01 4 - 5 1303010.14 50223.18 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2029-07-01 2029-07-01 4 - 4 36173.61 29179.30 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2024-01-01 2046-02-01 3 - 6 835021.59 279692.98 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2024-09-01 2024-10-01 4 - 4.5 156775.71 31288.15 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2026-05-01 2029-07-01 2.88 - 3.77 2447435.23 2634000.64 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2025-10-01 2030-11-01 3.65 - 3.94 990009.20 1131713.93 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2026-01-01 2029-01-01 3.57 - 4.2 51748.96 57205.47 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2028-08-01 2028-08-01 4.19 - 4.19 98202.46 104574.96 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2030-01-01 2032-02-01 2.45 - 2.88 2900589.81 3081101.31 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2029-09-01 2029-10-01 2.38 - 2.71 741262.50 785587.33 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2029-12-01 2030-02-01 2.44 - 2.57 1623786.51 1713497.28 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-06-01 2049-07-01 4 - 4 868754.19 892688.83 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2046-01-01 2046-01-01 4.5 - 4.5 97293.08 26739.25 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2029-07-01 2029-10-01 3 - 3 184027.25 92256.33 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2027-05-01 2043-01-01 3 - 4 538913.26 254263.00 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2030-04-01 2032-12-01 6.5 - 7 19370032.27 100370.46 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-04-01 2048-04-01 3.5 - 3.5 57785.80 58990.77 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2031-08-01 2032-08-01 8 - 8.5 160112.70 30851.10 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-11-01 2048-11-01 6 - 6 14556.32 13149.37 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2020-04-20 2069-12-20 1.5 - 10.5 124336384.64 103319952.67 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2024-09-01 2027-05-01 5.5 - 5.5 50111.89 32257.06 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2026-02-01 2027-05-01 3 - 4.5 404302.71 45492.79 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2027-10-01 2042-09-01 2.5 - 4 145124.43 51827.21 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2029-08-01 2032-02-01 2 - 2.5 56028.77 34512.13 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2032-12-01 2032-12-01 4 - 4 262635.53 61129.55 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2029-08-01 2030-03-01 3.5 - 3.5 209588.59 212593.06 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-07-01 2049-08-01 3.5 - 4.5 2468207.48 2317612.39 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2031-08-01 2031-08-01 6 - 6 1956933.00 11734.37 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2026-01-01 2029-08-01 5 - 6.5 3485696.41 82504.49 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2042-08-01 2042-08-01 4 - 4 23921.37 11272.41 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2045-02-01 2045-02-01 4 - 4 63208.82 17276.13 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2033-02-01 2033-02-01 3 - 3 29650.50 10075.07 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2030-04-01 2031-11-01 5 - 5.5 103895.35 37888.17 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2028-08-01 2032-12-01 3 - 4 350757.59 301560.15 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2030-02-01 2030-02-01 3 - 3 28207.41 29302.11 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2028-12-01 2030-06-01 3 - 3.5 92610.02 46628.76 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2029-02-01 2029-02-01 3.5 - 3.5 36756.60 14385.26 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2047-02-01 2047-02-01 3 - 3 17197.29 13691.35 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2031-09-01 2032-09-01 3.5 - 3.5 564423.30 343826.83 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2023-11-01 2025-08-01 4.5 - 4.5 2070679.79 42975.52 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2025-06-01 2025-06-01 4 - 4 237589.46 36104.18 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2030-06-01 2030-07-01 2 - 3.5 43899.52 24906.16 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2026-09-01 2032-12-01 2.5 - 4.5 203539.00 116884.93 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2022-01-01 2032-12-01 2 - 6 1876201.51 165601.20 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2035-02-01 2035-02-01 2.5 - 2.5 638008.55 653250.57 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2024-11-01 2024-11-01 4 - 4 237180.28 249118.75 Agency Mortgage-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2020-04-15 2020-04-15 0.125 - 0.125 17252564.46 18977040.45 U.S. Treasuries (including strips) FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 2025-02-21 2025-02-21 1.95 - 1.95 1801860.88 1806353.22 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2029-05-01 2029-05-01 3 - 3 80931.40 51575.99 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2040-02-01 2040-02-01 2.5 - 3 23836.21 24522.25 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2027-01-01 2033-11-01 4 - 4.5 1599846.04 1681111.81 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2028-09-01 2030-10-01 3.49 - 3.73 1153246.47 1313323.03 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2032-12-01 2032-12-01 3 - 3 5850.04 5944.91 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2021-05-01 2049-06-01 2 - 8.5 47093015.82 9126043.24 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2020-12-01 2049-08-01 2 - 9 155370711.25 28228303.59 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2028-07-01 2028-07-01 3.63 - 3.63 616149.25 673548.27 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N Y Citigroup Inc 1.0000 N/A N/A N 0.0159 177903000.00 177903000.00 0.0032 N Y Y N Credit Agricole CIB New York Branch In a joint trading account with Credit Agricole CIB New York Branch at 1.61%, dated 2/28/2020 due 03/02/2020 1VUV7VQFKUOQSJ21A208 FHD126000_02102 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-03-12 2048-08-15 0 - 4.75 596314203.80 648765318.42 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2049-11-01 2049-11-01 3 - 3 10244400.80 10331891.20 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2047-09-01 2047-09-01 4 - 4 11254773.89 8815997.38 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2044-06-20 2050-02-20 2.5 - 4.5 152887726.02 91880044.24 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2036-03-01 2049-04-01 3 - 4.5 80172798.25 70257640.07 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0159 812371000.00 812371000.00 0.0146 N Y Y N Deutsche Bank AG, New York Deutsche Bank AG, New York, 1.62% 7LTWFZYICNSX8D621K86 FHC565000 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 CORP 2024-06-15 2024-06-15 3.35 - 3.35 31272022.00 32756645.61 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2046-11-15 2046-11-15 3.75 - 3.75 25947313.00 26991419.90 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0161 58000000.00 58000000.00 0.0010 N Y Y N Goldman Sachs & Co. Goldman Sachs & Co., 1.60% FOR8UP27PHTHYVLBNG30 0000769993 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 CORP 2049-08-01 2049-08-01 4 - 4 11412660.00 12189317.13 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2035-02-01 2035-02-01 2 - 2 1000000.00 1008949.00 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2030-08-01 2030-08-01 7.5 - 7.5 9607584.00 15176.00 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2035-01-01 2035-01-01 2.5 - 3 3515314.00 3640383.81 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2025-03-01 2025-03-01 4.5 - 4.5 242000.00 21941.75 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2038-02-01 2038-05-01 5.5 - 6.5 19273587.00 313234.01 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2038-10-01 2048-04-01 3 - 7 79651808.00 21711828.69 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2043-02-15 2050-02-20 3.5 - 5 33752249.00 32961750.01 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-12-01 2048-12-01 4 - 4 13900000.00 8983443.20 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2039-04-01 2039-04-01 5 - 5 1400000.00 127148.61 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2039-09-01 2039-11-01 5 - 5 500000.00 80301.77 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2025-09-01 2056-05-01 2.5 - 7 224633413.00 190855667.46 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2038-04-01 2038-04-01 5 - 5 1054690.00 114532.15 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2028-03-01 2028-03-01 5.5 - 5.5 2250000.00 46642.08 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2043-02-01 2043-02-01 2.5 - 2.5 2858896.00 1696685.29 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2034-01-01 2034-01-01 5.5 - 5.5 1203652.00 101946.66 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-12-01 2049-12-01 4.5 - 4.5 1716788.00 1923657.10 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2047-12-01 2047-12-01 4 - 4 685270.00 636503.55 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2037-01-01 2037-01-01 5.5 - 5.5 1419208.00 24159.49 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2033-11-01 2033-11-01 4 - 4 61787.00 52729.59 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0159 271000000.00 271000000.00 0.0049 N Y Y N Goldman Sachs & Co. Goldman Sachs & Co., 1.60% FOR8UP27PHTHYVLBNG30 0000769993 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 CORP 2047-09-01 2047-09-01 3.5 - 3.5 403982336.00 338605829.24 Agency Mortgage-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2027-08-15 2027-08-15 2.25 - 2.25 22640800.00 24534987.55 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2037-04-01 2037-04-01 6 - 6 1153414.00 27599.23 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0159 356000000.00 356000000.00 0.0064 N Y Y N HSBC Securities (USA), Inc. In a joint trading account with HSBC Securities (USA), Inc. at 1.61%, dated 2/28/2020 due 03/02/2020 CYYGQCGNHMHPSMRL3R97 FHD126000_03556 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-06-30 2040-02-15 1.375 - 6.25 223671912.08 252949602.94 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2042-10-01 2048-09-01 3.5 - 4.5 5652883.47 4784483.89 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-02-01 2050-02-01 3 - 3 14379293.04 14983408.05 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2026-02-01 2049-05-01 2.5 - 4.5 67360377.36 47989650.91 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0159 314377000.00 314377000.00 0.0057 N Y Y N HSBC Securities, Inc. HSBC Securities, Inc., 1.61% CYYGQCGNHMHPSMRL3R97 0000853784 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 CORP 2049-10-01 2049-10-01 4.5 - 4.5 1324140.00 1415632.26 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2034-10-01 2034-10-01 2.5 - 3 51564104.00 51601345.80 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2046-11-01 2047-10-01 3 - 4.5 4037892.00 3545641.56 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-12-01 2049-12-01 4.5 - 4.5 20972416.00 21808077.23 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2045-09-01 2049-05-01 4 - 4.5 14530100.00 13453936.23 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-03 2020-03-03 2020-03-03 N N N 0.0160 90000000.00 90000000.00 0.0016 N N Y N ING Financial Markets LLC In a joint trading account with ING Financial Markets LLC at 1.61%, dated 2/28/2020 due 03/02/2020 KBVRJ5K57JZ3E2AVWX40 FHD126000_03735 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-04-21 2026-02-15 0 - 2.75 43969102.57 47785195.73 U.S. Treasuries (including strips) Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0159 46842000.00 46842000.00 0.0008 N Y Y N J.P. Morgan Securities, LLC J.P. Morgan Securities, LLC, 1.60% ZBUT11V806EZRVTWT807 0001287279 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 CORP 2033-10-01 2033-10-01 5.5 - 5.5 5803520.00 160706.65 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2037-04-01 2039-09-01 4.15 - 4.464 19742392.00 940174.11 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2034-01-20 2049-10-20 3.5 - 5.5 288383.00 244739.82 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2033-01-01 2057-09-01 3.5 - 5.5 114547490.00 67197240.55 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2034-03-01 2034-03-01 3.5 - 3.5 1000000.00 838717.56 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0159 68000000.00 68000000.00 0.0012 N Y Y N J.P. Morgan Securities, LLC J.P. Morgan Securities, LLC, 1.61% ZBUT11V806EZRVTWT807 0001287279 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 CORP 2023-01-01 2023-01-01 5.5 - 5.5 1948918.00 10650.28 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2034-09-01 2034-09-01 4.238 - 4.238 49990976.00 624383.45 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2048-05-20 2048-05-20 4 - 4 399146.00 302422.80 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2027-08-01 2027-08-01 5 - 5 4600000.00 165572.58 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2031-10-01 2050-02-01 2.5 - 5.5 63569619.00 44809287.40 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-03 2020-03-03 2020-03-03 N N N 0.0160 45000000.00 45000000.00 0.0008 N N Y N Jp Morgan Secs Llc In a joint trading account with Jp Morgan Secs Llc at 1.61%, dated 2/28/2020 due 03/02/2020 ZBUT11V806EZRVTWT807 FHD126000_00267 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 CORP 2047-08-01 2047-08-01 4.5 - 4.5 22884.65 19482.51 Agency Mortgage-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2022-12-15 2040-02-15 1.375 - 6.125 178976317.21 207757540.30 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2023-05-01 2023-05-01 5.5 - 5.5 82955.79 759.58 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-03-01 2050-03-01 3 - 3 532573.96 547936.59 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-10-01 2048-10-01 3.5 - 3.5 181658.96 129518.79 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2038-05-01 2038-05-01 5.5 - 5.5 780490.07 63191.02 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2046-04-01 2047-10-01 4 - 4.5 110650.03 68011.78 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-06-01 2049-06-01 3.5 - 3.5 17676815.57 14992876.64 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2023-05-01 2023-05-01 5 - 5 117049.16 1558.56 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2038-10-01 2038-10-01 4.5 - 4.5 197893.99 145800.03 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2033-01-01 2033-01-01 2.5 - 2.5 52098.86 39508.83 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2030-05-01 2056-08-01 2 - 7 106820869.27 90137105.76 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-01-01 2048-01-01 4.5 - 4.5 836.69 781.88 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-12-01 2049-12-01 2.5 - 2.5 14304.77 14359.32 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0159 307722000.00 307722000.00 0.0055 N Y Y N Mitsubishi Ufj Secs Hldgs Ltd In a joint trading account with Mitsubishi Ufj Secs Hldgs Ltd at 1.61%, dated 2/28/2020 due 03/02/2020 ZOMOLU8CGIZRYZ7PFU34 FHD126000_76664 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-05-31 2029-11-15 0 - 3.125 62148289.87 65287571.55 U.S. Treasuries (including strips) FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2047-11-01 2050-02-01 3 - 4.5 29898568.24 29983931.47 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0159 93391000.00 93391000.00 0.0017 N Y Y N Mitsubishi Ufj Securities (USA In a joint trading account with Mitsubishi Ufj Securities (USA at 1.61%, dated 2/28/2020 due 03/02/2020 K5HU16E3LMSVCCJJJ255 FHD126000_12878 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N RESOLUTION FUNDING CORP 2020-10-15 2030-04-15 0 - 0 40146051.64 34453618.00 Agency Debentures and Agency Strips US TREASURY 254900HROIFWPRGM1V77 2021-04-15 2040-02-15 1.375 - 4.625 41632954.71 44510142.13 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 2029-03-15 2029-09-15 0 - 0 1911621.16 1621988.82 Agency Debentures and Agency Strips FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2029-07-15 2030-05-15 0 - 0 2293868.92 1935067.69 Agency Debentures and Agency Strips Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0159 80892000.00 80892000.00 0.0015 N Y Y N Mizuho Securities USA, Inc. In a joint trading account with Mizuho Securities USA, Inc. at 1.61%, dated 2/28/2020 due 03/02/2020 7TK5RJIZDFROZCA6XF66 FHD126000_08126 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-03-24 2024-12-31 0 - 1.75 145217139.77 144940505.58 U.S. Treasuries (including strips) GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2049-07-20 2049-07-20 3 - 3 3659212.52 3700589.82 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2035-02-01 2049-05-01 2 - 4 14553977.13 14681987.51 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0159 160099000.00 160099000.00 0.0029 N Y Y N Morgan Stanley & Co., LLC Morgan Stanley & Co., LLC, 1.60% 9R7GPTSO7KV3UQJZQ078 0000068136 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 CORP 2035-02-01 2035-02-01 2.5 - 2.5 32938724.00 33725630.12 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-06-01 2049-06-01 5 - 5 1129409.00 1246638.84 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2042-09-01 2042-09-01 3.5 - 3.5 23145354.00 11522730.03 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2026-01-01 2026-01-01 8 - 8 6750000.00 4535.10 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2040-05-01 2040-05-01 6.5 - 6.5 5515615.00 5645915.22 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2031-10-01 2031-10-01 2.62 - 2.62 10600000.00 11205143.40 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-08-01 2049-08-01 3 - 3 812648.00 801219.50 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2029-09-01 2042-01-01 2.49 - 7.5 147012.00 107179.46 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2045-03-01 2045-03-01 3.5 - 3.5 3158395.00 798173.30 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2028-04-01 2028-04-01 2.5 - 2.5 1225000.00 400103.37 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2020-11-01 2050-02-01 2.5 - 9 49418738.00 34640095.96 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-11-01 2050-02-01 3 - 3.5 162013481.00 168050958.46 Agency Mortgage-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2020-04-07 2029-08-15 0 - 6.125 61600.00 63245.57 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2026-08-01 2026-08-01 3.5 - 3.5 2675000.00 308565.77 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-02-01 2050-03-01 3 - 4 88393984.00 92985032.24 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2043-12-01 2043-12-01 4.5 - 4.5 93000.00 37238.48 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-02-01 2050-02-01 4 - 4 9591733.00 9958482.50 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2047-09-01 2047-09-01 3.5 - 3.5 4309800.00 3328277.67 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2030-02-01 2030-02-01 2.5 - 2.5 4501000.00 4736249.27 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2032-06-01 2032-06-01 3.5 - 3.5 392990.00 241896.53 Agency Mortgage-Backed Securities TENNESEE VALLEY AUTHORITY 549300HE1ISW43LNKM54 2029-03-15 2029-03-15 N/A 7123000.00 6116755.16 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2049-04-01 2049-04-01 4 - 4 1777035.00 1944229.72 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2031-11-01 2034-06-01 3 - 4 83218658.00 87515084.09 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0159 466000000.00 466000000.00 0.0084 N Y Y N Nomura Securities Internationa In a joint trading account with Nomura Securities Internationa at 1.61%, dated 2/28/2020 due 03/02/2020 OXTKY6Q8X53C9ILVV871 FHD126000_07426 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 CORP 2049-08-01 2049-08-01 3 - 3 85.33 85.71 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2020-11-01 2049-04-01 0 - 9 46137584.63 4172613.33 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-09-01 2049-09-01 5 - 5 2204.90 2107.23 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2050-01-01 2050-01-01 3.5 - 3.5 138295.62 143775.12 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2023-03-20 2069-03-20 2.5 - 7.5 39785571.82 26315868.98 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-02-01 2049-05-01 3.5 - 4.5 880398.43 873355.14 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-11-01 2049-01-01 4 - 4 1076492.41 738883.83 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2020-03-25 2055-09-01 2.86 - 8.5 68900072.40 57104359.29 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2048-02-01 2048-02-01 3.5 - 3.5 1568.49 1408.24 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-08-01 2050-01-01 3 - 4.5 4447665.35 4532508.59 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2027-06-01 2029-07-01 2.65 - 2.95 223509.14 239008.48 Agency Mortgage-Backed Securities US TREASURY 254900HROIFWPRGM1V77 2022-12-31 2029-07-15 0.25 - 2.75 18206827.28 19284299.97 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2026-06-01 2026-06-01 6 - 6 2065436.53 50361.37 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2026-02-01 2026-02-01 3.575 - 3.575 956619.13 1044597.71 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-12-01 2049-12-01 3 - 3 1077511.69 1122951.14 Agency Mortgage-Backed Securities FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 2021-11-29 2021-11-29 1.875 - 1.875 354085.54 361239.63 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2048-07-01 2048-07-01 3.5 - 3.5 26722126.72 19132444.92 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-05-01 2049-05-01 4.5 - 4.5 81049.51 85898.14 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 2044-11-01 2044-11-01 3.17 - 3.17 78.89 88.40 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0159 132537000.00 132537000.00 0.0024 N Y Y N Nomura Securities International, Inc. Nomura Securities International, Inc., 1.61% OXTKY6Q8X53C9ILVV871 FHA677000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2048-10-01 2050-02-01 3.5 - 4 110373863.00 113699507.90 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-08-01 2049-08-01 3.5 - 3.5 16585751.00 16895525.98 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-03 2020-03-03 2020-03-03 N N N 0.0160 128000000.00 128000000.00 0.0023 N N Y N Sumitomo Mitsu Bk Corp Ny (DI) In a joint trading account with Sumitomo Mitsu Bk Corp Ny (DI) at 1.61%, dated 2/28/2020 due 03/02/2020 5U0XI89JRFVHWIBS4F54 FHD126000_10193 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-12-31 2044-08-15 1.375 - 3.75 159698421.61 172574878.29 U.S. Treasuries (including strips) GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2048-02-20 2049-11-20 3 - 4.5 77816913.87 59263306.37 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2049-05-01 2049-11-01 2.5 - 3.5 48898792.00 45900556.04 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0159 271927000.00 271927000.00 0.0049 N Y Y N Sumitomo Mitsui Bk Corp (REPO) In a joint trading account with Sumitomo Mitsui Bk Corp (REPO) at 1.61%, dated 2/28/2020 due 03/02/2020 5U0XI89JRFVHWIBS4F54 FHD126000_77387 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2049-08-20 2049-10-20 2.5 - 3 70509366.69 71551866.34 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2049-05-01 2050-03-01 2.5 - 3.5 918860537.85 875308822.24 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORP 2049-10-01 2049-10-01 3 - 3 44714537.04 44894274.25 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0159 965834000.00 965834000.00 0.0174 N Y Y N TD Securities (U.S.A.) TD Securities (U.S.A.), 1.61% SUVUFHICNZMP2WKHG940 FHA687000 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2049-05-01 2050-01-01 3 - 3.5 230737465.00 229561582.67 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-03 2020-03-03 2020-03-03 N N N 0.0160 225000000.00 225000000.00 0.0041 N N Y N Wells Fargo Securities LLC In a joint trading account with Wells Fargo Securities LLC at 1.61%, dated 2/28/2020 due 03/02/2020 VYVVCKR63DVZZN70PB21 FHD126000_08395 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 254900HROIFWPRGM1V77 2021-05-15 2043-05-15 1.625 - 3.125 97970762.81 101326696.10 U.S. Treasuries (including strips) GOVERNMENT NATIONAL MORTAGE ASSOC 549300M8ZYFG0OCMTT87 2049-01-20 2049-12-20 3 - 5 138469678.37 115543748.49 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC B1V7KEBTPIMZEU4LTD58 2027-06-01 2057-01-01 2 - 5.5 211410191.28 205047791.55 Agency Mortgage-Backed Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0159 413590000.00 413590000.00 0.0074 N Y Y N Wells Fargo Securities, LLC Wells Fargo Securities, LLC, 1.61% VYVVCKR63DVZZN70PB21 0000276523 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL FARM CREDIT 2020-03-27 2023-02-21 1.45 - 2.375 181775000.00 183649433.98 Agency Debentures and Agency Strips Y N/A N/A 2020-03-03 2020-03-03 2020-03-03 N N N 0.0160 180000000.00 180000000.00 0.0032 N N Y N BNP Paribas, SA BNP Paribas, SA, 1.61% R0MUWSFPU8MPRO8K5P83 FGH714000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-03-26 2044-11-15 0 - 8.75 185727200.00 199016975.65 U.S. Treasuries (including strips) Y N/A N/A 2020-03-06 2020-03-06 2020-05-18 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0160 195000000.00 195000000.00 0.0035 N N Y N Commerz Markets LLC Commerz Markets LLC, 1.60% 549300IMBXQ8SGH3HJ31 FHC693000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2021-02-15 2028-08-15 2 - 2.875 512561100.00 550873456.04 U.S. Treasuries (including strips) Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0159 540000000.00 540000000.00 0.0097 N Y Y N Commerz Markets LLC Commerz Markets LLC, 1.62% 549300IMBXQ8SGH3HJ31 FHC719000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2021-03-31 2040-08-15 1.25 - 3.875 209286200.00 224793368.30 U.S. Treasuries (including strips) Y N/A N/A 2020-03-06 2020-03-06 2020-03-06 N N N 0.0161 220000000.00 220000000.00 0.0040 N N Y N Commerz Markets LLC Commerz Markets LLC, 1.63% 549300IMBXQ8SGH3HJ31 FHA741000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-10-31 2026-06-30 1.375 - 2.875 221812100.00 228542165.09 U.S. Treasuries (including strips) Y N/A N/A 2020-03-03 2020-03-03 2020-03-03 N N N 0.0162 224000000.00 224000000.00 0.0040 N N Y N Commerz Markets LLC Commerz Markets LLC, 1.63% 549300IMBXQ8SGH3HJ31 FHB266000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-12-31 2025-03-31 1.75 - 2.625 53864700.00 57132956.92 U.S. Treasuries (including strips) Y N/A N/A 2020-03-04 2020-03-04 2020-03-04 N N N 0.0162 56000000.00 56000000.00 0.0010 N N Y N Commerz Markets LLC Commerz Markets LLC, 1.63% 549300IMBXQ8SGH3HJ31 FHB924000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2021-08-31 2021-09-30 1.125 - 1.125 55744900.00 56110232.04 U.S. Treasuries (including strips) Y N/A N/A 2020-03-05 2020-03-05 2020-03-05 N N N 0.0162 55000000.00 55000000.00 0.0010 N N Y N Credit AG Credit AG, 1.60% 1VUV7VQFKUOQSJ21A208 FGI959000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2043-11-15 2043-11-15 3.75 - 3.75 60120300.00 85531846.66 U.S. Treasuries (including strips) Y N/A N/A 2020-03-05 2020-03-05 2020-03-05 Y CREDIT AG CIB (GOV REPO) 1.0000 6 N N/A N/A N N 0.0159 83000000.00 83000000.00 0.0015 N N Y N Deutsche Bank AG, New York Deutsche Bank AG, New York, 1.61% 7LTWFZYICNSX8D621K86 FHC564000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-11-15 2025-05-15 2.125 - 2.625 290918100.00 307061220.77 U.S. Treasuries (including strips) Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0160 301000000.00 301000000.00 0.0054 N Y Y N Deutsche Bank Securities, Inc. Deutsche Bank Securities, Inc., 1.61% 9J6MBOOO7BECTDTUZW19 0000058056 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-03-31 2020-03-31 2.25 - 2.25 10102700.00 10201451.74 U.S. Treasuries (including strips) Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0160 10000000.00 10000000.00 0.0002 N Y Y N Fixed Income Clearing Corp. - BNYM Fixed Income Clearing Corp. - BNYM, 1.59% 549300H47WTHXPU08X20 FHC561000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2021-02-25 2044-08-15 0 - 3.875 1053543800.00 1122000002.24 U.S. Treasuries (including strips) Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0158 1100000000.00 1100000000.00 0.0198 N Y Y N Fixed Income Clearing Corp. - SSB Fixed Income Clearing Corp. - SSB, 1.60% 549300H47WTHXPU08X20 FHC546000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2022-06-15 2022-06-15 1.75 - 1.75 1810905000.00 1845906630.13 U.S. Treasuries (including strips) Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0159 1808000000.00 1808000000.00 0.0326 N Y Y N RBS Securities, Inc. RBS Securities, Inc., 1.61% ZE2ZWJ5BTIQJ8M0C6K34 0000808379 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2026-09-30 2026-09-30 1.625 - 1.625 54830400.00 57135428.07 U.S. Treasuries (including strips) Y N/A N/A 2020-03-03 2020-03-03 2020-03-03 N N N 0.0160 56000000.00 56000000.00 0.0010 N N Y N SMBC Nikko Securities America, Inc. SMBC Nikko Securities America, Inc., 1.60% 6PJDTY319315T5LR2241 FHC642000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2021-12-31 2023-08-31 2 - 2.75 754797000.00 785248273.77 U.S. Treasuries (including strips) Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0159 770000000.00 770000000.00 0.0139 N Y Y N BMO Capital Markets Corp. BMO Capital Markets Corp., 1.71% RUC0QBLBRPRCU4W1NE59 FHC907000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N VERIZON COMMUNICATIONS INC SR GLBL NT 29 2S72QS2UO2OESLG6Y829 2029-12-03 2029-12-03 4.016 - 4.016 448.00 519.93 Corporate Debt Securities WELLS FARGO & CO FR 2.572%021131 PBLD0EJDB5FWOLXP3B76 2031-02-11 2031-02-11 2.572 - 2.572 3871491.00 3903680.73 Corporate Debt Securities PUBLIC SVC ELEC GAS CO MTN BE FR 2.45%011530 549300RUHPVD434XUK18 2030-01-15 2030-01-15 2.45 - 2.45 1.00 1.04 Corporate Debt Securities UNION ELEC CO 1M GLBL BD 4%48 QMPJLLDULY5C1M8PNY21 2048-04-01 2048-04-01 4 - 4 51620.00 63017.87 Corporate Debt Securities AMGEN INC SR GLBL NT 40 62QBXGPJ34PQ72Z12S66 2040-02-21 2040-02-21 3.15 - 3.15 156200.00 157290.67 Corporate Debt Securities MONTEFIORE MED CTR NEW YORK 2020B BD4.287%50 2050-09-01 2050-09-01 4.287 - 4.287 4000000.00 4168570.67 Corporate Debt Securities JP MORGAN CHASE BANK NA GLBL NT 2.739%30 8I5DZWZKVSZI1NUHU748 2030-10-15 2030-10-15 2.739 - 2.739 637896.00 665925.04 Corporate Debt Securities TOTAL SYS SVCS INC SR GLBL NT 28 549300NOMHGVQBX6S778 2028-06-01 2028-06-01 4.45 - 4.45 1289.00 1477.93 Corporate Debt Securities WELLTOWER INC SR GLBL NT 28 T6IZ0MBEG5ACZDTR7D06 2028-04-15 2028-04-15 4.25 - 4.25 975.00 1122.84 Corporate Debt Securities UNITED TECHNOLOGIES CORP 4.125%28 I07WOS4YJ0N7YRFE7309 2028-11-16 2028-11-16 4.125 - 4.125 10192000.00 11960082.68 Corporate Debt Securities COMMONWEALTH EDISON CO 1M GLBL 124 BD48 D8YOXB8L2ZDC8P7Q0771 2048-03-01 2048-03-01 4 - 4 1943023.00 2354956.83 Corporate Debt Securities APPLE INC SR GLBL NT 3%24 HWUPKR0MPOU8FGXBT394 2024-02-09 2024-02-09 3 - 3 5481000.00 5776334.55 Corporate Debt Securities HUMANA INC SR GLBL NT 24 529900YLDW34GJAO4J06 2024-10-01 2024-10-01 3.85 - 3.85 8000000.00 8752406.67 Corporate Debt Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0170 36000000.00 36000000.00 0.0006 N Y Y N BMO Capital Markets Corp. BMO Capital Markets Corp., 1.78% RUC0QBLBRPRCU4W1NE59 FHC906000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N 51-100 2500-12-31 2500-12-31 N/A 11694680.00 387777524.47 Equities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0176 359000000.00 359000000.00 0.0065 N Y Y N BMO Capital Markets Corp. BMO Capital Markets Corp., 1.80% RUC0QBLBRPRCU4W1NE59 FHC908000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N HCA HEALTHCARE INC SR NT 6.25%21 529900PH4ZGUH2MNEU89 2021-02-15 2021-02-15 6.25 - 6.25 3445000.00 3589886.17 Corporate Debt Securities ODEBRECHT OFFSHORE DRILLING FR 6.72%120122 549300L7LF2PIRAWID66 2022-12-01 2022-12-01 6.72 - 6.72 6000000.00 4392286.27 Corporate Debt Securities CARRIER GLOBAL CORPORATION SR GLBL 144A 50 549300JE3W6CWY2NAN77 2050-04-05 2050-04-05 3.577 - 3.577 15500000.00 15798210.10 Corporate Debt Securities MURPHY OIL CORP SR GLBL NT 27 QBKYQD0ODE7DC7PDIN91 2027-12-01 2027-12-01 5.875 - 5.875 800000.00 815880.56 Corporate Debt Securities HCA INC SR NT 7.5%22 L3CJ6J7LJ2DX62FTXD46 2022-02-15 2022-02-15 7.5 - 7.5 6668000.00 7389533.17 Corporate Debt Securities DELTA AIR LINES INC DEL 3.4%21 Q2CCMS6R0AS67HJMBN42 2021-04-19 2021-04-19 3.4 - 3.4 9662857.00 9935768.29 Corporate Debt Securities ABBVIE INC SR GLBL 144A 21 FR5LCKFTG8054YNNRU85 2021-11-19 2021-11-19 2.15 - 2.15 3000000.00 3040809.17 Corporate Debt Securities CONCHO RES INC SR GLBL NT 48 SYHS7HRDXLL4I0IQ8776 2048-08-15 2048-08-15 4.85 - 4.85 3901000.00 4589765.98 Corporate Debt Securities RIO OIL FIN TR SR SEC GLBL 28 2028-04-06 2028-04-06 8.2 - 8.2 2475000.00 2931252.50 Corporate Debt Securities OTIS WORLDWIDE CORP SR GLBL 144A 25 549300ZLBKR8VSU25153 2025-04-05 2025-04-05 2.056 - 2.056 16000000.00 16169553.78 Corporate Debt Securities ALCON FIN CORP SR GLBL 144A 49 549300CUZUI9VU7XNK42 2049-09-23 2049-09-23 3.8 - 3.8 6000000.00 6748146.67 Corporate Debt Securities NIELSEN FIN LLC/ NIELSEN FIN SR NT 4.5%20 2020-10-01 2020-10-01 4.5 - 4.5 3872000.00 3947988.00 Corporate Debt Securities MASTERCARD INC SR GLBL NT 2%25 AR5L2ODV9HN37376R084 2025-03-03 2025-03-03 2 - 2 3100000.00 3182497.89 Corporate Debt Securities DUKE ENERGY PROGRESS LLC 1M GLBL BD3.6%47 0NIFZ782LS46WOC9QK20 2047-09-15 2047-09-15 3.6 - 3.6 2000000.00 2274580.00 Corporate Debt Securities UNILEVER CAP CORP SR GLBL NT2.6%24 MYF1DAS6G5WY7PRWCU78 2024-05-05 2024-05-05 2.6 - 2.6 15490000.00 16273966.11 Corporate Debt Securities LEE ENTERPRISES INC SR SEC 144A NT22 2022-03-15 2022-03-15 9.5 - 9.5 6000000.00 6265583.33 Corporate Debt Securities UNITED TECHNOLOGIES CORP 4.125%28 I07WOS4YJ0N7YRFE7309 2028-11-16 2028-11-16 4.125 - 4.125 2000.00 2346.96 Corporate Debt Securities PETROBRAS GLOB FIN SR GLBL REGS 30 549300FNENFFSMO3GT38 2030-01-15 2030-01-15 5.093 - 5.093 1.00 1.08 Corporate Debt Securities APPLE INC SR GLBL NT 21 HWUPKR0MPOU8FGXBT394 2021-02-23 2024-02-09 2.25 - 3 4119000.00 4153422.12 Corporate Debt Securities USIMINAS INTL S A R L SR GLBL 144A 26 529900KLYX6QPXVIVP43 2026-07-18 2026-07-18 5.875 - 5.875 3100000.00 3193117.11 Corporate Debt Securities WELLS FARGO & CO FR 2.572%021131 PBLD0EJDB5FWOLXP3B76 2031-02-11 2031-02-11 2.572 - 2.572 23259896.00 23453291.70 Corporate Debt Securities OMNICOM GROUP INC GLBL NT 2.45%30 HKUPACFHSSASQK8HLS17 2030-04-30 2030-04-30 2.45 - 2.45 4000000.00 4003825.56 Corporate Debt Securities TOTAL SYS SVCS INC SR GLBL NT 28 549300NOMHGVQBX6S778 2028-06-01 2028-06-01 4.45 - 4.45 1079752.00 1238015.75 Corporate Debt Securities JP MORGAN CHASE BANK NA GLBL NT 2.739%30 8I5DZWZKVSZI1NUHU748 2030-10-15 2030-10-15 2.739 - 2.739 3094033.00 3229984.29 Corporate Debt Securities FISERV INC SR GLBL NT3.8%23 GI7UBEJLXYLGR2C7GV83 2023-10-01 2023-10-01 3.8 - 3.8 4000000.00 4331306.67 Corporate Debt Securities VALVOLINE INC SR GLBL NT5.5%24 549300CMHPBEY6VPOT75 2024-07-15 2024-07-15 5.5 - 5.5 7100000.00 7442003.06 Corporate Debt Securities MEREDITH CORP SR GLBL NT 26 549300YC8BC386CCTS24 2026-02-01 2026-02-01 6.875 - 6.875 2927599.00 3008565.41 Corporate Debt Securities ASTRAZENECA PLC NT 3.125%27 PY6ZZQWO2IZFZC3IOL08 2027-06-12 2027-06-12 3.125 - 3.125 3000000.00 3239841.67 Corporate Debt Securities PTC INC SR GLBL NT 6%24 54930050SSMU8SKDJ030 2024-05-15 2024-05-15 6 - 6 7500000.00 7897250.00 Corporate Debt Securities SHRIRAM TRANS FIN CO LTD FR 5.95%102422 335800TM2YO24B76XL26 2022-10-24 2022-10-24 5.95 - 5.95 11200000.00 11810337.78 Corporate Debt Securities SIMON PPTY GROUP LP SR GLBL NT 26 MR92GTD0MJTTTTQDVG45 2026-11-30 2026-11-30 3.25 - 3.25 5000000.00 5432472.22 Corporate Debt Securities AT&T INC SR GLBL NT 26 549300Z40J86GGSTL398 2026-01-15 2026-01-15 3.875 - 3.875 137000.00 149868.20 Corporate Debt Securities CATERPILLAR INC DEL SR GLBL NT2.6%29 WRJR7GS4GTRECRRTVX92 2029-09-19 2029-09-19 2.6 - 2.6 61000.00 64042.27 Corporate Debt Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0178 179000000.00 179000000.00 0.0032 N Y Y N BNP Paribas BNP Paribas, 1.71% R0MUWSFPU8MPRO8K5P83 FHC909000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N AVALONBAY CMNTYS INC MTN BE FR 2.3%030130 K9G90K85RBWD2LAGQX17 2030-03-01 2030-03-01 2.3 - 2.3 3767643.00 3798242.54 Corporate Debt Securities DEUTSCHE TELEKOM INTL FIN B V SR GLBL 144A 22 529900ERDFHS6C1M4U58 2022-01-19 2022-01-19 2.82 - 2.82 10000000.00 10248150.00 Corporate Debt Securities BARCLAYS PLC SR GLBL NT 45 213800LBQA1Y9L22JB70 2045-08-17 2045-08-17 5.25 - 5.25 7830000.00 9917432.32 Corporate Debt Securities TELEFONICA EMISIONES S A U SR GLBL NT 27 549300Y5MFC4SW5Z3K71 2027-03-08 2027-03-08 4.103 - 4.103 895.00 1013.90 Corporate Debt Securities SIRIUS INTL GROUP LTD SR 144A NT4.6%26 549300PB35NLMKG2ND86 2026-11-01 2026-11-01 4.6 - 4.6 47000.00 47867.15 Corporate Debt Securities AMGEN INC SR GLBL NT 30 62QBXGPJ34PQ72Z12S66 2030-02-21 2030-02-21 2.45 - 2.45 1130.00 1137.98 Corporate Debt Securities FS KKR CAPITAL CORP SR GLBL NT 25 549300TYRSI1T21B1360 2025-02-01 2025-02-01 4.125 - 4.125 458000.00 479553.10 Corporate Debt Securities ANHEUSER BUSCH INBEV WORLDWIDE SR GLBL NT 25 549300CRGMZK3K53BF92 2025-01-23 2059-01-23 4.15 - 5.8 8893000.00 9874738.21 Corporate Debt Securities KITE RLTY GROUP L P SR GLBL NT 4%26 549300X6R2GYI8Y3OD81 2026-10-01 2026-10-01 4 - 4 10000000.00 10559833.33 Corporate Debt Securities WELLS FARGO CO NEW PER PFD A SER K PBLD0EJDB5FWOLXP3B76 2500-12-31 2500-12-31 5.664 - 5.664 2314000.00 2338278.27 Corporate Debt Securities LLOYDS BKG GROUP PLC SR GLBL COCO 25 549300PPXHEU2JF0AM85 2025-05-08 2025-05-08 4.45 - 4.45 9934000.00 11188239.25 Corporate Debt Securities CENTERPOINT ENERGY INC SR GLBL NT 30 21TPXMRRHFKOBHDC8J74 2030-03-01 2030-03-01 2.95 - 2.95 2799760.00 2968969.72 Corporate Debt Securities MARKEL CORP SR GLBL NT 50 549300SCNO12JLWIK605 2050-09-17 2050-09-17 4.15 - 4.15 82582.00 94426.71 Corporate Debt Securities ATHENE GLOBAL FUNDING SR SEC 144A NT25 549300LM1QSI4MSIL320 2025-01-14 2025-01-14 2.5 - 2.5 7988556.00 8148850.81 Corporate Debt Securities NORTHROP GRUMMAN CORP SR GLBL NT 23 RIMU48P07456QXSO0R61 2023-08-01 2023-08-01 3.25 - 3.25 11000.00 11627.08 Corporate Debt Securities BOEING CO 3.6%34 RVHJWBXLJ1RFUBSY1F30 2026-06-15 2034-05-01 2.25 - 3.6 5000.00 5326.24 Corporate Debt Securities ING GROEP N V SR GLBL COCO 23 549300NYKK9MWM7GGW15 2023-10-02 2023-10-02 4.1 - 4.1 9828749.00 10720980.99 Corporate Debt Securities JPMORGAN CHASE AND CO ALT TIER I PERP 8I5DZWZKVSZI1NUHU748 2500-12-31 2500-12-31 5 - 5 905000.00 936548.30 Corporate Debt Securities BK OF AMERICA CORP ALT TIER I PERP 9DJT3UXIJIZJI4WXO774 2500-12-31 2500-12-31 4.3 - 6.5 1938535.00 2005438.77 Corporate Debt Securities BEST BUY INC SR GLBL NT 28 HL5XPTVRV0O8TUN5LL90 2028-10-01 2028-10-01 4.45 - 4.45 33000.00 38095.56 Corporate Debt Securities METLIFE INC EXT SB 144A NT68 C4BXATY60WC6XEOZDX54 2068-04-08 2068-04-08 9.25 - 9.25 1951000.00 2996681.81 Corporate Debt Securities CITIGROUP INC SB GLBL NT4.4%25 6SHGI4ZSSLCXXQSBB395 2025-06-10 2025-06-10 4.4 - 4.4 10000000.00 11178033.33 Corporate Debt Securities TRUIST FINL CORP ALT TIER I PERP 549300DRQQI75D2JP341 2500-12-31 2500-12-31 5.125 - 5.125 89000.00 94348.22 Corporate Debt Securities JPMORGAN CHASE & CO PERP JR SB GLBL 8I5DZWZKVSZI1NUHU748 2500-12-31 2500-12-31 5.229 - 5.229 693000.00 691891.10 Corporate Debt Securities HOST HOTELS & RESORTS LP SR GLBL -D NT 23 FXB7X4WXVA8QPMNOGS12 2023-10-15 2023-10-15 3.75 - 3.75 10000000.00 10714341.67 Corporate Debt Securities DEUTSCHE BK AG N Y BRH SR GLBL COCO 22 7LTWFZYICNSX8D621K86 2022-02-14 2022-02-14 5 - 5 1000000.00 1052674.44 Corporate Debt Securities INTESA SANPAOLO S P A FR 4.7%092349 2W8N8UU78PMDQKZENC08 2048-01-12 2049-09-23 4.375 - 4.7 10200000.00 10991346.00 Corporate Debt Securities BANK NOVA SCOTIA B C PERP SUB GLBL L3I9ZG2KFGXZ61BMYR72 2500-12-31 2500-12-31 4.65 - 4.65 187000.00 190400.91 Corporate Debt Securities MYLAN NV SR GLBL NT 26 549300A0CD4KNFGIIS89 2026-06-15 2046-06-15 3.95 - 5.25 885000.00 1049682.60 Corporate Debt Securities SOCIETE GENERALE MTN REG S FR 3%012230 O2RNE8IBXP4R0TD8PU41 2030-01-22 2030-01-22 3 - 3 1350.00 1367.06 Corporate Debt Securities ENERGY TRANSFER OPERATING L P 5.5%27 5493008K8W3OKZE54J59 2027-06-01 2027-06-01 5.5 - 5.5 299717.00 343608.06 Corporate Debt Securities CREDIT AGRICOLE SA LONDON BRH FR 3.25%100424 969500TJ5KRTCJQWXH05 2024-10-04 2024-10-04 3.25 - 3.25 3200340.00 3422411.59 Corporate Debt Securities CVS HEALTH CORP 4.3%28 549300EJG376EN5NQE29 2028-03-25 2028-03-25 4.3 - 4.3 5.00 5.63 Corporate Debt Securities AUSTRALIA & NEW ZEALA BKG 144A ALT TIER I COCO JHE42UYNWWTJB8YTTU19 2099-12-31 2099-12-31 6.75 - 6.75 376000.00 435429.62 Corporate Debt Securities HSBC HLDGS PLC ALT TIER I PERP MLU0ZO3ML4LN2LL2TL39 2500-12-31 2500-12-31 6.5 - 6.5 100000.00 112648.61 Corporate Debt Securities CREDIT SUISSE GROUP SR GLBL COCO 25 549300506SI9CRFV9Z86 2025-09-11 2025-09-11 2.593 - 2.593 199551.00 206014.19 Corporate Debt Securities JPMORGAN CHASE & CO ALT TIER I PERP 8I5DZWZKVSZI1NUHU748 2099-12-31 2500-12-31 5.24 - 5.3 14898000.00 15161718.67 Corporate Debt Securities SYSCO CORP SR GLBL NT3.3%50 5RGWIFLMGH3YS7KWI652 2050-02-15 2050-02-15 3.3 - 3.3 20.00 20.21 Corporate Debt Securities BRISTOL-MYERS SQUIBB CO GLBL 144A NT 48 HLYYNH7UQUORYSJQCN42 2048-02-20 2048-02-20 4.55 - 4.55 813000.00 1050795.27 Corporate Debt Securities CSX CORP SR GLBL NT 66 549300JVQR4N1MMP3Q88 2066-11-01 2066-11-01 4.25 - 4.25 2000.00 2333.64 Corporate Debt Securities ROCKWELL COLLINS INC SR GLBL NT3.5%27 XO75O7GICH1NPWLBRL05 2027-03-15 2027-03-15 3.5 - 3.5 6328000.00 7091708.74 Corporate Debt Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0170 143000000.00 143000000.00 0.0026 N Y Y N Citigroup Global Markets, Inc. Citigroup Global Markets, Inc., 2.06% MBNUM2BPBDO7JBLYG310 0000315030 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N TABS LTD 2005-4 A 20450830 FLT 549300FHT0OQV5TANZ73 2045-08-30 2045-08-30 1.491 - 1.491 67449.00 953.17 Other Instrument COLLATERALIZED DEBT OBLIGATION DUTCH HILL FDNG I LTD 2045-12-12 2045-12-12 5.037 - 5.037 8000000.00 3716295.30 Other Instrument COLLATERALIZED DEBT OBLIGATION TRAPEZA CDO VII 2004-7 B1 144 20350125 FLT 54930008RFJ4W7J54L47 2035-01-25 2035-01-25 3.344 - 3.344 7700000.00 6717544.70 Other Instrument COLLATERALIZED DEBT OBLIGATION E TRADE ABS CDO V 2006-5 A-1S 20461006 FLT 549300LSG1AJYQVQCE38 2046-10-06 2046-10-06 1.45 - 1.45 201000000.00 1937030.37 Other Instrument COLLATERALIZED DEBT OBLIGATION IONA CDO I 2004 A 20490824 FLT 2049-08-24 2049-08-24 2.51 - 2.809 7250000.00 844444.04 Other Instrument COLLATERALIZED DEBT OBLIGATION SALOMON BROS MORT SECS 97-HUD2 A-WAC 20271125 FLT 549300VB2N1G56GWKB41 2027-11-25 2027-11-25 N/A 8025609.00 27672.06 Private Label Collateralized Mortgage Obligations MULBERRY STR CDO 2003-1 A-2 20371214 FLT 549300CMTAIF2252UI57 2037-12-14 2037-12-14 2.779 - 2.779 5000000.00 1133731.82 Other Instrument COLLATERALIZED DEBT OBLIGATION SOLSTICE ABS CBO III 2003 C1 144 20390315 FLT 2549007REAZ0INSSYS43 2039-03-15 2039-03-15 5.394 - 5.394 11700000.00 4291066.18 Other Instrument COLLATERALIZED DEBT OBLIGATION MULBERRY STR CDO 2003-2 B-F 20380812 7.10000 549300FYTB7QK2YV2Q61 2038-08-12 2038-08-12 7.1 - 7.1 4000000.00 1885371.11 Other Instrument COLLATERALIZED DEBT OBLIGATION PREFERRED TERM SECURITIES 3-10 B-1 20330705 FLT 2033-07-05 2033-07-05 3.628 - 3.628 24145000.00 18486454.26 Asset-Backed Securities ALESCO PREF FDG XVI 2007-16 C 20380323 FLT 84EC1ANEM6KOUNEN8Q82 2038-03-23 2038-03-23 3.259 - 3.259 4300000.00 2788830.09 Other Instrument COLLATERALIZED DEBT OBLIGATION SORIN REAL ESTATE CDO 2006-03 C-2 20460508 FLT 549300GP071UIYK73K48 2046-05-08 2046-05-08 2.671 - 2.671 6000000.00 1365439.65 Other Instrument COLLATERALIZED DEBT OBLIGATION JER CRE CDO 2006-2 C-FL 20450325 FLT 549300HX6FUK9WBH2U64 2045-03-25 2045-03-25 2.277 - 4.127 250.00 75.67 Other Instrument COLLATERALIZED DEBT OBLIGATION ALESCO PREF FDG XV 2007-15 C1 144 20371223 FLT KCKD405PLZO8BUQUCM05 2037-12-23 2037-12-23 3.078 - 3.078 1800000.00 350694.20 Other Instrument COLLATERALIZED DEBT OBLIGATION SOUTH COAST FDG III 2003-3 A-2 20380810 FLT 549300JPS4LRS1YTBK56 2038-08-10 2038-08-10 3.101 - 5.551 26019000.00 8885877.96 Other Instrument COLLATERALIZED DEBT OBLIGATION SALOMON BROS MTG 7 2000-C3 X 144A 20331218 FLT 2033-12-18 2033-12-18 1.926 - 1.926 17473311.00 0.26 Private Label Collateralized Mortgage Obligations TROPIC CDO V 2006-5 A3L 14 20360715 FLT 54930035IX0Y8SG8GI72 2036-07-15 2036-07-15 3.111 - 3.111 15000000.00 3169539.58 Other Instrument COLLATERALIZED DEBT OBLIGATION ORIENT PT CDO LTD 2005-1 A-2 20451003 FLT 5493005ONOWKNFDR6S52 2045-10-03 2045-10-03 2.358 - 3.558 8326531.00 2531746.00 Other Instrument COLLATERALIZED DEBT OBLIGATION TRAPEZA CDO I 2002 D 144A 20321130 FLT 2032-11-30 2032-11-30 5.191 - 5.191 1000000.00 243124.87 Other Instrument COLLATERALIZED DEBT OBLIGATION TRIAXX PRIME CDO 2006-2 B 20391002 FLT 549300PJ36ZA8Z1O4T73 2039-10-02 2039-10-02 2.708 - 2.708 36859897.00 25830983.39 Other Instrument COLLATERALIZED DEBT OBLIGATION TRIAXX PRIME CDO 2007-1 B 20391002 FLT 549300WY5UHP1STS3E35 2039-10-02 2039-10-02 2.709 - 2.709 4099817.00 263576.63 Other Instrument COLLATERALIZED DEBT OBLIGATION SUMMER STR LTD 2005-HG1 C 144A 20451208 FLT 549300120I6CQ40Z0039 2045-12-08 2045-12-08 3.335 - 3.335 9480000.00 2732176.49 Other Instrument COLLATERALIZED DEBT OBLIGATION ACACIA CRE CDO 1 2006-1 E 20460107 FLT 5493002EBTUBMFFXYD63 2046-01-07 2046-01-07 4.043 - 4.043 6000000.00 1215596.15 Other Instrument COLLATERALIZED DEBT OBLIGATION ACACIA CDO 11 2007-11 D 20470315 FLT 2047-03-15 2047-03-15 5.268 - 5.268 7300000.00 2618855.61 Other Instrument COLLATERALIZED DEBT OBLIGATION PALISADES CDO LTD 254900GFQ1EE6QUMSF58 2039-07-22 2039-07-22 5.052 - 5.052 4949971.00 917955.47 Other Instrument COLLATERALIZED DEBT OBLIGATION CITICORP MTG SEC REMIC 2006-2 B-1 20360425 FLT 2036-04-25 2036-04-25 5.5 - 5.5 6953545.00 999.82 Private Label Collateralized Mortgage Obligations ALESCO PREFERRED FDG V 2004-5 D 20341223 0.00000 549300FHO36K27UM2Z12 2034-12-23 2034-12-23 5.159 - 5.159 4800000.00 9266433.94 Other Instrument COLLATERALIZED DEBT OBLIGATION ELANCO ANIMAL HEALTH INC 5% TNGBL EQTY UT 549300SHPNDCE059M934 2500-12-31 2500-12-31 N/A 1853.00 95707.45 Equities SOLOSO CDO 2005-1 B1L 14 20351015 FLT 5493004VM7PVX1R2TQ34 2035-10-15 2035-10-15 4.531 - 4.531 9625000.00 1370255.37 Other Instrument COLLATERALIZED DEBT OBLIGATION RIVER NORTH CDO 2005 A2 144 20400206 FLT 549300A7ILGCZF1XWW54 2040-02-06 2040-02-06 2.287 - 4.987 13247329.00 4022437.25 Other Instrument COLLATERALIZED DEBT OBLIGATION CWCAPITAL COBALT II 2006-2 G 20500426 FLT 2050-04-26 2050-04-26 3.294 - 3.294 2000000.00 396835.55 Other Instrument COLLATERALIZED DEBT OBLIGATION BELLE HAVEN ABS CDO 2004-1 A1J 20441103 FLT 2044-11-03 2044-11-03 2.502 - 2.502 8.00 0.96 Other Instrument COLLATERALIZED DEBT OBLIGATION ANTHRACITE CDO III 2004-3 G 20390323 FLT 0LSNAYXEQMR50BFJ7Q43 2039-03-23 2039-03-23 4.735 - 4.735 2099997.00 591152.40 Other Instrument COLLATERALIZED DEBT OBLIGATION MONTAUK POINT CDO IILTD 54930046COUSLUSBKU90 2046-04-06 2046-04-06 1.57 - 1.57 13944000.00 3530399.63 Other Instrument COLLATERALIZED DEBT OBLIGATION TRAPEZA CDO V 2003-5 D 20340715 FLT 2034-07-15 2034-07-15 4.523 - 4.523 5000000.00 3375122.29 Other Instrument COLLATERALIZED DEBT OBLIGATION Y N/A N/A 2020-04-03 2020-04-03 2020-05-11 Y CITIGROUP INC 1.0000 35 N N/A N/A Y CITIGROUP INC 1.0000 N/A N/A N 0.0205 106000000.00 106000000.00 0.0019 N N N Y Citigroup Global Markets, Inc. Citigroup Global Markets, Inc., 2.06% MBNUM2BPBDO7JBLYG310 0000315030 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N TABERNA PREF FDG V 2006-5 A-1LB 20360805 FLT VZLY0S8U2GEIK6ZPGP62 2036-08-05 2036-08-05 2.241 - 2.241 2.00 0.93 Other Instrument COLLATERALIZED DEBT OBLIGATION BAYVIEW FINANCIAL TR 2007-B 2-A3 20370828 FLT 2037-08-28 2037-08-28 2.51 - 2.51 25676000.00 11287264.43 Asset-Backed Securities C-BASS TRUST 2007-CB1 AF-1B 20370125 FLT 2037-01-25 2037-01-25 3.466 - 3.466 42701309.00 3175744.11 Asset-Backed Securities AEGIS ABS 2005-1 M6 20350325 FLT 2035-03-25 2035-03-25 2.417 - 2.417 59539.00 17425.06 Asset-Backed Securities RENAISSANCE HEQ 2004-4 MF-3 20350225 5.41700 2035-02-25 2035-02-25 5.417 - 5.417 5249.00 1290.65 Asset-Backed Securities BAYVIEW COML TR 2007-6 A-4A 20371225 FLT 5493003DOWFR7J1QCW02 2037-12-25 2037-12-25 3.127 - 3.127 7.00 6.65 Private Label Collateralized Mortgage Obligations NATIONAL COLL ST LN TR 2006-2 C 20310925 FLT 2031-09-25 2031-09-25 2.127 - 2.127 3152.00 95.81 Asset-Backed Securities GSR MTG TR 2005-9F 2A-8 20360125 6.00000 2036-01-25 2036-01-25 6 - 6 35.00 0.98 Private Label Collateralized Mortgage Obligations TABERNA PREF FDG VII 2006-7 A1LB 1 20370205 FLT O6FH5MIKN9JCILM69649 2037-02-05 2037-02-05 2.391 - 2.391 9658308.00 5532542.15 Other Instrument COLLATERALIZED DEBT OBLIGATION FIELDSTONE MTG INV 2005-1 M7 20350325 FLT 2035-03-25 2035-03-25 3.502 - 3.502 1818482.00 235240.31 Asset-Backed Securities TABERNA PREF FDG IX 2007-9 A-1LB 20380505 FLT 549300CT01X2OUNHMJ08 2038-05-05 2038-05-05 2.54 - 2.54 23006236.00 15221457.12 Other Instrument COLLATERALIZED DEBT OBLIGATION TABERNA PREF FDG II 2005-2 B 144A 20351105 FLT 8Z9UQTNXEECO8ECQHB85 2035-11-05 2035-11-05 2.79 - 2.79 33875000.00 13146305.51 Other Instrument COLLATERALIZED DEBT OBLIGATION TABERNA PREF FDG III 2005-3 B-1 20360205 FLT U03UUQ0VYFBPHFC9G558 2036-02-05 2036-02-05 2.691 - 2.691 3964254.00 1483498.89 Other Instrument COLLATERALIZED DEBT OBLIGATION LNR CDO III 2005-3 LTD B 20430302 FLT 549300E7M5RWOTY1BF30 2043-03-02 2043-03-02 2.938 - 2.938 9934160.00 162312.29 Other Instrument COLLATERALIZED DEBT OBLIGATION TABERNA PREF FDG IV 2005-4 B-1 20360505 FLT 7VOZI9AQK252K1Z4TJ65 2036-05-05 2036-05-05 2.541 - 2.541 5449992.00 669931.64 Other Instrument COLLATERALIZED DEBT OBLIGATION CITIGROUP GLOBAL MKTS HLDGS IN SR GLBL INDX 22 82VOJDD5PTRDMVVMGV31 2022-08-04 2022-08-04 N/A 24561.00 24042.76 Corporate Debt Securities APPLE INC SR GLBL NT 3%27 HWUPKR0MPOU8FGXBT394 2027-11-13 2027-11-13 3 - 3 29632.00 32146.87 Corporate Debt Securities TABERNA PREF FDG 2006-6 C 144A 20361205 FLT BUHFNQJBNOAUZ24NY591 2036-12-05 2036-12-05 2.591 - 2.591 19749973.00 4493514.68 Other Instrument COLLATERALIZED DEBT OBLIGATION KODIAK CDO I LTD 2006-1 B 144A 20370807 FLT 2037-08-07 2037-08-07 2.543 - 2.543 28899897.00 22333369.57 Other Instrument COLLATERALIZED DEBT OBLIGATION Y N/A N/A 2020-04-03 2020-04-03 2020-04-15 Y CITIGROUP INC 1.0000 35 N N/A N/A Y CITIGROUP INC 1.0000 N/A N/A N 0.0204 72000000.00 72000000.00 0.0013 N N N Y Citigroup Global Markets, Inc. Citigroup Global Markets, Inc., 2.07% MBNUM2BPBDO7JBLYG310 0000315030 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N US TREASURY 254900HROIFWPRGM1V77 2022-01-15 2022-01-15 0.125 - 0.125 95571200.00 109224029.02 U.S. Treasuries (including strips) Y N/A N/A 2020-05-27 2020-05-27 2020-05-27 N Y CITIGROUP INC 1.0000 N/A N/A N 0.0206 106000000.00 106000000.00 0.0019 N N N Y Credit AG CIB Paris Credit AG CIB Paris, 1.76% 1VUV7VQFKUOQSJ21A208 FHB363000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N CONOCOPHILLIPS CO SR GLBL FL NT 22 6VJJ5GQWIRDQ06DUXG89 2022-05-15 2022-05-15 2.592 - 2.592 43571000.00 44210877.88 Corporate Debt Securities UNICREDIT SPA FR 7.83%120423 549300TRUWO2CD2G5692 2023-12-04 2023-12-04 7.83 - 7.83 20116605.00 24164870.59 Corporate Debt Securities ASIAN DEVELOPMENT BANK 549300X0MVH42CY8Q105 2026-04-24 2026-04-24 2 - 2 34275000.00 35924617.67 Other Instrument INTERNATIONAL DEBT MIZUHO BANK LTD. REGS NT 3.6%24 RB0PEZSDGCO3JS6CEU02 2024-09-25 2024-09-25 3.6 - 3.6 40000000.00 43780400.00 Corporate Debt Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0174 142000000.00 142000000.00 0.0026 N Y Y N Credit AG CIB Paris Credit AG CIB Paris, 1.76% 1VUV7VQFKUOQSJ21A208 FHA747000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N NOVARTIS CAPITAL CORP SR NT 2.4%22 5493002KF87V5RSRQS84 2022-09-21 2022-09-21 2.4 - 2.4 15000000.00 15506950.00 Corporate Debt Securities EATON CORP PLC SR GLBL NT 27 0NZWDMRCE180888QQE14 2027-09-15 2027-09-15 3.103 - 3.103 15000000.00 16397245.42 Corporate Debt Securities NATIONAL AUSTRALIA BK LTD REGS VR 120418-110421 F8SB4JFBSYQFRQEH3Z21 2021-11-04 2021-11-04 2.461 - 2.461 20000000.00 20215215.07 Corporate Debt Securities CREDIT SUISSE INTERNATIONAL SR GLBL REGS 23 549300506SI9CRFV9Z86 2023-12-14 2023-12-14 3.094 - 3.094 17000000.00 17403905.18 Corporate Debt Securities ASIAN INFRASTRUCTURE INVT BK 2.25%24 25490065OSV2524LCR32 2024-05-16 2024-05-16 2.25 - 2.25 18767000.00 19669411.20 Corporate Debt Securities DAIWA SECS GROUP INC SR GLBL REGS 22 353800WRC7Y23PWFJG38 2022-04-19 2022-04-19 3.129 - 3.129 15000000.00 15580983.75 Corporate Debt Securities NORDEA BK AB EURO MTN REG S FR 2.5%091720 529900ODI3047E2LIV03 2020-09-17 2020-09-17 2.5 - 2.5 20000000.00 20311211.11 Corporate Debt Securities UNILEVER CAP CORP SR GLBL NT3.5%28 MYF1DAS6G5WY7PRWCU78 2028-03-22 2028-03-22 3.5 - 3.5 15000000.00 17091550.00 Corporate Debt Securities ASIAN DEVELOPMENT BANK 549300X0MVH42CY8Q105 2029-09-19 2029-09-19 1.75 - 1.75 13338000.00 13857770.74 Other Instrument INTERNATIONAL DEBT APPLE INC SR GLBL NT 26 HWUPKR0MPOU8FGXBT394 2026-09-11 2029-09-11 2.05 - 2.2 40000000.00 41050705.56 Corporate Debt Securities TOYOTA MTR CRD CORP MTN BE FR 3.4% 21 Z2VZBHUMB7PWWJ63I008 2021-09-15 2021-09-15 3.4 - 3.4 9212000.00 9619487.70 Corporate Debt Securities MARRIOTT INTL INC NEW SR -M NT3.375%20 225YDZ14ZO8E1TXUSU86 2020-10-15 2020-10-15 3.375 - 3.375 7488000.00 7631011.44 Corporate Debt Securities MIZUHO FINANCIAL GRP INC TOKYO SR GLBL REGS 26 353800CI5L6DDAN5XZ33 2026-04-12 2026-04-12 3.477 - 3.477 15000000.00 16325330.00 Corporate Debt Securities Y N/A N/A 2020-03-03 2020-03-03 2020-03-03 N N N 0.0174 220000000.00 220000000.00 0.0040 N N Y N Credit AG CIB Paris Credit AG CIB Paris, 1.76% 1VUV7VQFKUOQSJ21A208 FHB360000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N CHEVRON CORP NEW SR GLBL FL NT 22 2022-03-03 2022-03-03 2.435 - 2.435 19546000.00 19767960.30 Corporate Debt Securities PANASONIC CORP SR GLBL REGS 22 254900GE1G59KGWPHX32 2022-07-19 2022-07-19 2.536 - 2.536 44344555.00 45347954.03 Corporate Debt Securities Y N/A N/A 2020-03-04 2020-03-04 2020-03-04 N N N 0.0175 62000000.00 62000000.00 0.0011 N N Y N Credit AG CIB Paris Credit AG CIB Paris, 1.76% 1VUV7VQFKUOQSJ21A208 FHC942000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N INTEL CORP SR GLBL NT 27 KNX4USFCNGPY45LOCE31 2027-05-11 2027-05-11 3.15 - 3.15 30000000.00 32710575.00 Corporate Debt Securities UNICREDIT SPA FR 7.83%120423 549300TRUWO2CD2G5692 2023-12-04 2023-12-04 7.83 - 7.83 12983395.00 15596173.41 Corporate Debt Securities QUEBEC PROV CDA SR GLBL PD DB 29 549300WN65YFEQH74Y36 2029-09-15 2029-09-15 7.5 - 7.5 25000000.00 38470208.33 Corporate Debt Securities JPMORGAN CHASE & CO SR NT FXD/FLT 28 8I5DZWZKVSZI1NUHU748 2028-02-01 2028-02-01 3.782 - 3.782 29000000.00 32011258.50 Corporate Debt Securities ASIAN DEVELOPMENT BANK 549300X0MVH42CY8Q105 2030-01-24 2030-01-24 1.875 - 1.875 35950000.00 37548366.96 Other Instrument INTERNATIONAL DEBT BANK TOKYO-MITSUBISH UFJ LTD SR GLBL REGS 20 C3GTMMZIHMY46P4OIX74 2020-09-14 2020-09-14 2.75 - 2.75 2142783.00 2182462.58 Corporate Debt Securities Y N/A N/A 2020-03-06 2020-03-06 2020-03-06 N N N 0.0175 152000000.00 152000000.00 0.0027 N N Y N HSBC Securities, Inc. HSBC Securities, Inc., 1.78% CYYGQCGNHMHPSMRL3R97 0000853784 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N SANTANDER UK PLC SR GLBL COCO 28 549300F5XIFGNNW4CF72 2028-11-03 2028-11-03 3.823 - 3.823 320000.00 350970.36 Corporate Debt Securities CITIGROUP INC SUB NT 5.5%25 6SHGI4ZSSLCXXQSBB395 2025-09-13 2025-09-13 5.5 - 5.5 498000.00 593689.87 Corporate Debt Securities VERIZON COMMUNICATIONS INC SR GLBL NT 27 2S72QS2UO2OESLG6Y829 2027-03-16 2027-03-16 4.125 - 4.125 4003000.00 4630320.14 Corporate Debt Securities ABBVIE INC SR GLBL 144A 39 FR5LCKFTG8054YNNRU85 2039-11-21 2039-11-21 4.05 - 4.05 3500000.00 3866458.75 Corporate Debt Securities EBAY INC SR GLBL NT3.8%22 OML71K8X303XQONU6T67 2022-03-09 2022-03-09 3.8 - 3.8 2875000.00 3036974.31 Corporate Debt Securities JOHNSON & JOHNSON SR GLBL NT3.4%38 549300G0CFPGEF6X2043 2038-01-15 2038-01-15 3.4 - 3.4 95000.00 108125.31 Corporate Debt Securities SHELL INTERNATIONAL FIN BV SR NT 3.25%25 213800ITMMKU4Z7I4F78 2025-05-11 2025-05-11 3.25 - 3.25 50000.00 54089.99 Corporate Debt Securities ROYAL BK CDA FR 2.25%110124 ES7IP3U3RHIGC71XBU11 2024-11-01 2024-11-01 2.25 - 2.25 8155000.00 8388151.45 Corporate Debt Securities DOW CHEM CO SR NT 4.375%42 ZQUIP1CSZO8LXRBSOU78 2042-11-15 2042-11-15 4.375 - 4.375 50000.00 55241.37 Corporate Debt Securities WORLD BANK ZTMSNXROF84AHWJNKQ93 2021-07-23 2022-10-07 1.875 - 2.75 2700000.00 2764128.76 Other Instrument INTERNATIONAL DEBT UBS GROUP AG SR REGS NT 3%21 549300SZJ9VS8SGXAN81 2021-04-15 2021-04-15 3 - 3 720000.00 740025.60 Corporate Debt Securities HSBC BANK CANADA EXTND SR SEC 22 DMB80L5QKUQ124HSYW98 2022-11-28 2022-11-28 3.3 - 3.3 3349520.00 3482998.37 Corporate Debt Securities HOME DEPOT INC SR GLBL NT 3%26 QEKMOTMBBKA8I816DO57 2026-04-01 2026-04-01 3 - 3 14000.00 15181.46 Corporate Debt Securities ASIAN DEVELOPMENT BANK 549300X0MVH42CY8Q105 2021-03-16 2021-03-16 1.625 - 1.625 1126000.00 1138636.54 Other Instrument INTERNATIONAL DEBT INTER-AMERICAN DEVELOPMENT BANK VKU1UKDS9E7LYLMACP54 2022-04-14 2028-09-18 1.75 - 3.125 7915000.00 8223950.02 Other Instrument INTERNATIONAL DEBT Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0176 36000000.00 36000000.00 0.0006 N Y Y N ING Financial Markets LLC ING Financial Markets LLC, 1.68% KBVRJ5K57JZ3E2AVWX40 0000877559 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N EUROPEAN INVT BK SR NT 1.625%20 5493006YXS1U5GIHE750 2020-03-16 2020-09-15 1.625 - 2.875 8746000.00 8899291.06 Corporate Debt Securities VERIZON COMMUNICATIONS INC SR GLBL NT 25 2S72QS2UO2OESLG6Y829 2025-02-15 2025-02-15 3.376 - 3.376 384.00 412.64 Corporate Debt Securities COMERICA INC SR GLBL NT3.7%23 I9Q57JVPWHHZ3ZGBW498 2023-07-31 2023-07-31 3.7 - 3.7 7034000.00 7522988.05 Corporate Debt Securities AMERICAN TOWER CORP NEW SR GLBL NT3.8%29 5493006ORUSIL88JOE18 2029-08-15 2029-08-15 3.8 - 3.8 188355.00 206362.16 Corporate Debt Securities SOUTH CAROLINA ELEC & GAS CO 1MTG BD 5.3%33 3QRVFYR22IUIEOORTK28 2033-05-15 2033-05-15 5.3 - 5.3 1407000.00 1878012.79 Corporate Debt Securities SOCIETE GENERALE MTN REG S FR 4.25%091423 O2RNE8IBXP4R0TD8PU41 2023-09-14 2023-09-14 4.25 - 4.25 3243941.00 3546020.39 Corporate Debt Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0167 21000000.00 21000000.00 0.0004 N Y Y N ING Financial Markets LLC ING Financial Markets LLC, 1.73% KBVRJ5K57JZ3E2AVWX40 FHC922000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N DATADOG INC CL A COM 2500-12-31 2500-12-31 N/A 6742.00 309390.38 Equities ALPHABET INC CAP STK CL A 5493006MHB84DD0ZWV18 2500-12-31 2500-12-31 N/A 1518.00 1998417.70 Equities TERADYNE INC COM C3X4YJ278QNZHRJULN75 2500-12-31 2500-12-31 N/A 30867.00 1802941.47 Equities MICRON TECHNOLOGY INC COM B3DXGBC8GAIYWI2Z0172 2500-12-31 2500-12-31 N/A 3611.00 182644.38 Equities STEEL DYNAMICS INC COM 549300HGGKEL4FYTTQ83 2500-12-31 2500-12-31 N/A 37000.00 994930.00 Equities SNAP INC CL A 549300JNC0L6VP8A2Q35 2500-12-31 2500-12-31 N/A 91908.00 1347371.28 Equities GRAPHIC PACKAGING HLDG CO COM 2500-12-31 2500-12-31 N/A 12596.00 170423.88 Equities TECHNIPFMC PLC COM 549300D5I93QWCJTCK36 2500-12-31 2500-12-31 N/A 7.00 107.10 Equities CITIZENS FINANCIAL GROUP INC COM 2138004JDDA4ZQUPFW65 2500-12-31 2500-12-31 N/A 1.00 32.44 Equities MGM GROWTH PPTYS LLC CL A COM 549300E2UGIBHWE12262 2500-12-31 2500-12-31 N/A 1.00 28.90 Equities CAPITAL ONE FINL CORP COM ZUE8T73ROZOF6FLBAR73 2500-12-31 2500-12-31 N/A 1.00 89.17 Equities IAA INC COM 549300PZCOPC5178W747 2500-12-31 2500-12-31 N/A 135692.00 5931097.32 Equities DOUGLAS EMMETT INC COM 2500-12-31 2500-12-31 N/A 42484.00 1664947.96 Equities MASTERCARD INC CL A AR5L2ODV9HN37376R084 2500-12-31 2500-12-31 N/A 3187.00 910908.34 Equities AMERICAN CAMPUS CMNTYS INC COM 529900MR3ZXRO3W6UX26 2500-12-31 2500-12-31 N/A 1799.00 81170.88 Equities IQVIA HLDGS INC COM 549300W3R20NM4KQPH86 2500-12-31 2500-12-31 N/A 4763.00 679870.62 Equities SELECTA BIOSCIENCES INC COM 529900NMN0LACZOL7C43 2500-12-31 2500-12-31 N/A 21241.00 86450.87 Equities BIOGEN INC COM W8J5WZB5IY3K0NDQT671 2500-12-31 2500-12-31 N/A 521.00 161551.68 Equities SELECT SECTOR SPDR TR SBI CONS STPLS 549300Y12KQ6ZG08NY28 2500-12-31 2500-12-31 N/A 353.00 20962.75 Equities FASTLY INC CL A 549300E2FZC83FJ3H565 2500-12-31 2500-12-31 N/A 3753.00 73596.33 Equities PG&E CORP COM 8YQ2GSDWYZXO2EDN3511 2500-12-31 2500-12-31 N/A 421875.00 6889218.75 Equities JOHNSON & JOHNSON COM 549300G0CFPGEF6X2043 2500-12-31 2500-12-31 N/A 1040.00 144684.80 Equities UNION PAC CORP COM 549300LMMRSZZCZ8CL11 2500-12-31 2500-12-31 N/A 58273.00 9301536.26 Equities ADVANCE AUTO PARTS INC COM 529900UCNQ5H9FSL0Y70 2500-12-31 2500-12-31 N/A 88.00 11803.44 Equities ENABLE MIDSTREAM PARTNERS LP COM UNIT RP IN 549300TLGDBYE711G509 2500-12-31 2500-12-31 N/A 36.00 225.00 Equities APOLLO GLOBAL MGMT INC COM CL A 54930054P2G7ZJB0KM79 2500-12-31 2500-12-31 N/A 11.00 465.41 Equities ENTERPRISE PRODS PARTNERS L P COM K4CDIF4M54DJZ6TB4Q48 2500-12-31 2500-12-31 N/A 2.00 45.78 Equities ISHARES TR RUSSELL 2000 ETF 549300O80OAR5VTWR172 2500-12-31 2500-12-31 N/A 4.00 596.24 Equities ALLISON TRANSMISSION HLDGS INC COM 529900RP7DJ882LI9T83 2500-12-31 2500-12-31 N/A 110696.00 4571744.80 Equities EPR PPTYS COM SH BEN INT 549300YSSXFHMPOWZ492 2500-12-31 2500-12-31 N/A 26445.00 1548354.75 Equities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0172 36000000.00 36000000.00 0.0006 N Y Y N ING Financial Markets LLC ING Financial Markets LLC, 1.92% KBVRJ5K57JZ3E2AVWX40 FGD004000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N 51-100 2500-12-31 2500-12-31 N/A 3039232.00 115720244.51 Equities Y N/A N/A 2020-04-03 2020-04-03 2020-04-06 Y ING FINL MKTS LLC(NNGV RP BNY) 1.0000 35 N N/A N/A N N 0.0191 107000000.00 107000000.00 0.0019 N N N Y J.P. Morgan Securities, LLC J.P. Morgan Securities, LLC, 1.78% ZBUT11V806EZRVTWT807 0001287279 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N DISNEY WALT CO NEW 2020-05-21 2020-05-21 N/A 64460300.00 64220829.99 Money Market NEDELANDSE WATERSCHAPSBANK N V 2020-05-28 2020-05-28 N/A 74899500.00 74599003.21 Money Market VERSAILLES COMMERCIAL PAPER LL 2020-06-04 2020-06-04 N/A 40341100.00 40161017.33 Money Market LIME FDG LLC DISC COML P 4/2 2020-03-17 2020-03-17 N/A 2354970.00 2352935.31 Money Market Y N/A N/A 2020-03-03 2020-03-03 2020-03-03 N N N 0.0176 176000000.00 176000000.00 0.0032 N N Y N J.P. Morgan Securities, LLC J.P. Morgan Securities, LLC, 1.84% ZBUT11V806EZRVTWT807 0001287279 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N 51-100 2500-12-31 2500-12-31 N/A 43464418.00 788843256.17 Equities Y N/A N/A 2020-03-06 2020-03-06 2020-03-19 Y JPMORGAN SECS (NON GOV REPO) 1.0000 7 N N/A N/A N N 0.0183 730000000.00 730000000.00 0.0131 N N Y N J.P. Morgan Securities, LLC J.P. Morgan Securities, LLC, 1.88% ZBUT11V806EZRVTWT807 0001287279 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N 51-100 2020-03-30 2500-12-31 0 - 9.75 188774872.00 189556095.50 Corporate Debt Securities Y N/A N/A 2020-03-06 2020-03-06 2020-03-12 Y JPMORGAN SECS (NON GOV REPO) 1.0000 7 N N/A N/A N N 0.0186 178000000.00 178000000.00 0.0032 N N Y N Mitsubishi UFJ Securities (U.S.A.), Inc. 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2.107 6150.00 6091.31 Asset-Backed Securities Y N/A N/A 2020-03-31 2020-03-31 2020-03-31 N N N 0.0214 35990388.00 35990388.00 0.0006 N N N Y Societe Generale Societe Generale, 1.90% O2RNE8IBXP4R0TD8PU41 FGA803000 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N 101-500 2020-11-16 2115-06-05 2 - 11.125 118713610.00 115515484.02 Corporate Debt Securities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0188 107000000.00 107000000.00 0.0019 N Y Y N Wells Fargo Securities, LLC Wells Fargo Securities, LLC, 1.68% VYVVCKR63DVZZN70PB21 0000276523 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N MCCORMICK & CO INC 2020-05-01 2020-05-01 N/A 3024264.00 3014525.87 Money Market STARBUCKS CORP 2020-05-14 2020-05-14 N/A 5302148.00 5281554.46 Money Market TELUS CORPORATION 2020-05-12 2020-05-12 N/A 10000000.00 9962500.00 Money Market WRKCO INC DISC COML PAPER 4/A2 2020-03-20 2020-04-30 N/A 64875000.00 64737358.38 Money Market LYONDELLBASELL INVT LLC 2020-03-16 2020-03-16 N/A 3000000.00 2997393.00 Money Market FMC TECHNOLOGIES INC 2020-05-04 2020-05-08 N/A 25000000.00 24914445.00 Money Market SOUTHERN CALIF EDISON CO 2020-03-06 2020-03-09 N/A 81000000.00 80958764.00 Money Market SOUTHERN CO GAS CAP 2020-03-27 2020-03-27 N/A 25737219.00 25700594.94 Money Market LOUISVILLE GAS & ELEC CO 2020-03-05 2020-03-05 N/A 1170000.00 1169612.73 Money Market LIBERTY UTILS CO DISC CP 2020-04-03 2020-04-03 N/A 21000000.00 20962746.00 Money Market SOUTH JERSEY GAS CO DISC COML 2020-03-05 2020-03-05 N/A 3200000.00 3198940.80 Money Market SPIRE INC 2020-04-02 2020-04-02 N/A 17000000.00 16970692.00 Money Market AMERICAN CRYSTAL SUGAR CO 2020-03-10 2020-03-12 N/A 53575000.00 53540778.42 Money Market LOWES COS INC 2020-03-27 2020-04-02 N/A 45000000.00 44925430.00 Money Market CABOT CORP 2020-03-30 2020-03-30 N/A 1200000.00 1198111.20 Money Market CIGNA CORP NEW 2020-03-12 2020-03-12 N/A 18807000.00 18794380.50 Money Market TRANSCANADA PIPELINES LTD 4/2 2020-03-02 2020-03-02 N/A 441000.00 440917.09 Money Market CENTERPOINT ENERGY INC 2020-03-30 2020-03-30 N/A 4300000.00 4293558.60 Money Market FORTIVE CORP 2020-03-11 2020-03-11 N/A 92800000.00 92742278.40 Money Market NUTRIEN LTD DISC COML PAPER 4/ 2020-04-06 2020-04-06 N/A 400000.00 399230.40 Money Market VIACOMCBS INC 2020-03-09 2020-03-09 N/A 326000.00 325829.18 Money Market MONDELEZ INTL INC DISC COML PA 2020-05-08 2020-05-08 N/A 15000000.00 14946840.00 Money Market ERAC USA FIN CO 2020-03-31 2020-03-31 N/A 2711000.00 2706597.34 Money Market MARRIOTT INTL INC DISC COML PA 2020-04-22 2020-04-30 N/A 22136000.00 22074701.50 Money Market CENTENNIAL ENERGY HLDGS INC 2020-04-09 2020-05-05 N/A 25000000.00 24928395.00 Money Market WGL HLDGS INC 2020-03-11 2020-03-16 N/A 45000000.00 44965875.00 Money Market Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0167 569000000.00 569000000.00 0.0102 N Y Y N Wells Fargo Securities, LLC Wells Fargo Securities, LLC, 1.73% VYVVCKR63DVZZN70PB21 0000276523 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N CHANGE HEALTHCARE INC TAGBL EQT UNIT 549300GS1BPJEDOZHM07 2500-12-31 2500-12-31 N/A 115498.00 6099449.38 Equities SOUTHERN CO CORP UNIT 19 A 549300FC3G3YU2FBZD92 2500-12-31 2500-12-31 N/A 63545.00 3336112.50 Equities ESSENTIAL UTILS INC UNIT EX 043022 549300ILTEOF3E3QY357 2500-12-31 2500-12-31 N/A 14723.00 903403.28 Equities DOMINION ENERGY INC CORP UNITS ILUL7B6Z54MRYCF6H308 2500-12-31 2500-12-31 7.25 - 7.25 353460.00 36869412.60 Equities DTE ENERGY CO 6.25% CORP UNITS 549300IX8SD6XXD71I78 2500-12-31 2500-12-31 N/A 211233.00 10039904.49 Equities Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0172 53000000.00 53000000.00 0.0010 N Y Y N Wells Fargo Securities, LLC Wells Fargo Securities, LLC, 1.73% VYVVCKR63DVZZN70PB21 0000276523 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N CANADIAN PAC RY CO NEW 2020-03-26 2020-03-26 N/A 8255960.00 8244624.57 Money Market WORLD BANK ZTMSNXROF84AHWJNKQ93 2020-03-30 2020-08-21 1.375 - 1.81 5688000.00 5715710.03 Other Instrument INTERNATIONAL DEBT AFRICAN DEVELOPMENT BANK 549300LNCLMO3ITVCU07 2021-07-26 2021-07-26 1.25 - 1.25 123.00 123.11 Other Instrument INTERNATIONAL DEBT STARBUCKS CORP 2020-05-14 2020-05-14 N/A 515427.00 513425.08 Money Market ASIAN DEVELOPMENT BANK 549300X0MVH42CY8Q105 2020-05-05 2020-05-05 1.625 - 1.625 5500000.00 5528163.82 Other Instrument INTERNATIONAL DEBT LIBERTY UTILS CO DISC CP 2020-03-24 2020-03-24 N/A 17000000.00 16978410.00 Money Market Y N/A N/A 2020-03-03 2020-03-03 2020-03-03 N N N 0.0172 36000000.00 36000000.00 0.0006 N N Y N Wells Fargo Securities, LLC Wells Fargo Securities, LLC, 1.78% VYVVCKR63DVZZN70PB21 0000276523 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N COLUMBIA ETF TR I RESH ENHNC COR 5493004XAAG0QX0BYV10 2500-12-31 2500-12-31 N/A 465838.00 9069573.59 Equities INTERNATIONAL FLAVORS&FRAGRANC UNIT EX 091521 BZLRL03D3GPGMOGFO832 2500-12-31 2500-12-31 N/A 110504.00 5111915.04 Equities AMERICAN HOMES 4 RENT RED PFD SER D 549300ZJUO7A58PNUW40 2500-12-31 2500-12-31 6.5 - 6.5 825.00 21650.06 Equities INVESCO EXCHANGE-TRADED FD TR SR LN ETF 549300SIHU6DQELRNG59 2500-12-31 2500-12-31 N/A 346300.00 7639378.00 Equities VANGUARD CHARLOTTE FDS INTL BD IDX ETF 2500-12-31 2500-12-31 N/A 12127.00 701546.95 Equities FORD MTR CO DEL 6% NT DEC 59 20S05OYHG0MQM4VUIC57 2059-12-01 2059-12-01 6 - 6 33817.00 849144.87 Equities CAPITAL ONE FINL CORP 4.80% DP PFD J ZUE8T73ROZOF6FLBAR73 2500-12-31 2500-12-31 4.8 - 4.8 3469.00 85215.98 Equities WELLS FARGO & CO NEW DP PFD A SR Z PBLD0EJDB5FWOLXP3B76 2500-12-31 2500-12-31 4.75 - 4.75 238764.00 5933285.40 Equities MERIDA MERGER CORP I COM 2500-12-31 2500-12-31 N/A 908019.00 8943987.15 Equities ASPEN INSURANCE HOLDINGS LTD PFD SHS 5.95 549300YX6HECG9XQCQ75 2500-12-31 2500-12-31 5.95 - 5.95 96561.00 2554038.45 Equities BRISTOL-MYERS SQUIBB CO CONTNGNT VAL RT HLYYNH7UQUORYSJQCN42 2500-12-31 2500-12-31 N/A 1308332.00 4422162.16 Equities NIO INC SPON ADS 549300JBU4TV5OCKJV96 2500-12-31 2500-12-31 N/A 2087975.00 8644216.50 Equities BK OF AMERICA CORP PFD 1/1200SER2 9DJT3UXIJIZJI4WXO774 2500-12-31 2500-12-31 3 - 3 51989.00 1107365.70 Equities DTE ENERGY CO 6.25% CORP UNITS 549300IX8SD6XXD71I78 2500-12-31 2500-12-31 N/A 11658.00 554104.74 Equities ALPHA PRO TECH LTD COM 529900Z93O5JUM52Q856 2500-12-31 2500-12-31 N/A 63799.00 1610924.75 Equities Y N/A N/A 2020-03-06 2020-03-06 2020-03-06 N N N 0.0176 53000000.00 53000000.00 0.0010 N N Y N Barclays Bank PLC Barclays Bank PLC, 1.63% G5GSEF7VJP5I7OUK5573 FHC897000 Non-Negotiable Time Deposit Y N/A N/A 2020-03-02 2020-03-02 2020-03-02 N N N 0.0162 2411000000.00 2411000000.00 0.0434 N Y Y N ING Bank NV ING Bank NV, 1.62% 3TK20IVIUJ8J3ZU0QE75 FHA684000 Non-Negotiable Time Deposit Y N/A N/A 2020-03-03 2020-03-03 2020-03-03 N N N 0.0160 529000581.90 529000581.90 0.0095 N N Y N U.S. Treasury Notes U.S. Treasury Notes, 1.81% 912828YN4 254900HROIFWPRGM1V77 US912828YN43 U.S. Treasury Debt Y N/A N/A 2020-03-02 2021-10-31 2021-10-31 N N N 0.0159 84304138.80 84304138.80 0.0015 N Y Y N Florida Timber Fin. III LLC Taxable Florida Timber Fin. III LLC Taxable, 1.63% LOC Wells Fargo Bank NA VRDN 343217AA3 US343217AA35 Variable Rate Demand Note Y N/A N/A 2020-03-06 2020-03-06 2024-09-03 Y WELLS FARGO BK NATL ASSN 1.0000 7 N N/A N/A Y WELLS FARGO BK NATL ASSN 1.0000 N/A N/A N 0.0163 40000000.00 40000000.00 0.0007 N N Y N Societe Generale Societe Generale, 1.80% O2RNE8IBXP4R0TD8PU41 FHC179000 Other Instrument Forward Settling Repurchase Agreements Y N/A N/A 2020-03-31 2020-03-31 2020-03-31 N N N 0.0179 107000000.00 107000000.00 0.0019 N N N Y Represents a forward settling transaction and therefore no collateral securities had been allocated as of period end. The agreement contemplated the delivery of U.S. Treasury securities as collateral on settlement date. Fidelity Hereford Street Trust: Fidelity Money Market Fund 2020-03-04 Laura M. Del Prato Laura M. Del Prato President and Treasurer