N-MFP2 0000097098 XXXXXXXX 2017-01-31 0000097098 S000001476 7 N N 002-47015 BlackRock Advisors, LLC 801-47710 Deloitte & Touche LLP Philadelphia PA BlackRock Advisors, LLC BNY Mellon Investment Servicing (US) Inc. BNY Mellon Investment Servicing (US) Inc. 0000849542 084-01761 N N N Exempt Government N 45 108 49854712861.00 51454402274.00 51610057417.00 49951888085.00 54495115710.00 55668205194.00 55993428613.00 54377108919.00 0.00 0.9148 0.9243 0.9217 0.9144 1.0000 1.0000 1.0000 0.9954 0.0000 784602486.55 52444574347.82 52436262547.63 43399058.88 2770296121.46 50493967971.60 50492452303.2500 1.0000 0.0055 1.0002 1.0002 1.0002 1.0002 0.0000 C000003935 1.00 1.00 1.0000 1.0002 1.0002 1.0002 1.0002 0.0000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.0000 N C000003937 5000.00 56797862.03 56796157.1400 1.0002 1.0002 1.0002 1.0002 0.0000 31728.83 5524848.11 2439010.86 691803.95 1839547.37 0.00 1313048.27 2405678.33 0.00 0.00 5728058.81 8766154.46 0.0000 Y BlackRock Advisors, LLC waived $998 in management fees. BlackRock Investments, LLC waived $854 in service/distribution fees. C000003938 3000000.00 44258181828.73 44256853338.8500 1.0002 1.0002 1.0002 1.0002 0.0000 6451664198.31 8494379638.16 5977234297.24 6943471970.49 4157694648.74 4116113934.72 5824056033.67 6345926689.20 0.00 0.00 25067666029.24 29240981433.86 0.0038 Y BlackRock Advisors, LLC waived $811,869 in management fees. C000003939 5000.00 4637015499.77 4636876311.3100 1.0002 1.0002 1.0002 1.0002 0.0000 552433912.77 239476115.24 411346954.46 90423581.60 274506143.53 82191213.06 139661747.11 609836132.78 0.00 0.00 1617752257.26 1067863869.85 0.0013 Y BlackRock Advisors, LLC waived $82,189 in management/administration fees. C000003940 5000.00 416741022.00 416728512.7600 1.0002 1.0002 1.0002 1.0002 0.0000 4558163.03 18.31 3824963.28 568349.22 2629480.34 550000.00 5592306.28 19353566.55 0.00 0.00 82772834.43 20521934.08 0.0028 Y BlackRock Advisors, LLC waived $6,425 in management fees. C000003941 5000.00 1048566037.47 1048534562.8500 1.0002 1.0002 1.0002 1.0002 0.0000 68977136.61 99582291.46 46092021.45 59753398.83 125643603.43 128004679.99 85970102.34 71202686.83 0.00 0.00 356345522.43 388479262.94 0.0000 Y BlackRock Advisors, LLC waived $18,658 in management fees. BlackRock Investments, LLC waived $99,181 in service/distribution fees. C000060557 1.00 76665720.60 76663419.3400 1.0002 1.0002 1.0002 1.0002 0.0000 9303336.55 7848683.27 78094.52 1303192.10 808652.36 322707.36 147773.25 2493331.99 0.00 0.00 10455179.54 12618541.43 0.0000 Y BlackRock Advisors, LLC waived $1,407 in management fees. BlackRock Investments, LLC waived $29,432 in service/distribution fees. UNITED STATES TREASURY TREASURY BILL 0.000000% 912796JE0 US912796JE09 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services A-1+ 2017-03-02 2017-03-02 2017-03-02 N N N 0.0048 67604530.54 67604530.54 0.0013 N Y Y N UNITED STATES TREASURY TREASURY BILL 0.000000% 912796JJ9 US912796JJ95 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services A-1+ 2017-03-30 2017-03-30 2017-03-30 N N N 0.0056 533599713.60 533599713.60 0.0106 N Y Y N UNITED STATES TREASURY TREASURY BILL 0.000000% 912796JP5 US912796JP55 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services A-1+ 2017-04-27 2017-04-27 2017-04-27 N N N 0.0061 519835556.73 519835556.73 0.0103 N Y Y N UNITED STATES TREASURY TREASURY BILL 0.000000% 912796JT7 US912796JT77 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services A-1+ 2017-05-25 2017-05-25 2017-05-25 N N N 0.0055 2036750.28 2036750.28 0.0000 N Y Y N UNITED STATES TREASURY TREASURY BILL 0.000000% 912796JX8 US912796JX89 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services A-1+ 2017-06-22 2017-06-22 2017-06-22 N N N 0.0056 99793890.00 99793890.00 0.0020 N Y Y N UNITED STATES TREASURY TREASURY BILL 0.000000% 912796KB4 US912796KB41 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services A-1+ 2017-07-20 2017-07-20 2017-07-20 N N N 0.0061 124642050.00 124642050.00 0.0025 N Y Y N UNITED STATES TREASURY TREASURY BILL 0.000000% 912796KG3 US912796KG38 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services A-1+ 2017-02-09 2017-02-09 2017-02-09 N N N 0.0042 61888482.46 61888482.46 0.0012 N Y Y N UNITED STATES TREASURY TREASURY BILL 0.000000% 912796KH1 US912796KH11 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services A-1+ 2017-02-16 2017-02-16 2017-02-16 N N N 0.0052 1109791320.00 1109791320.00 0.0220 N Y Y N UNITED STATES TREASURY TREASURY BILL 0.000000% 912796KM0 US912796KM06 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services A-1+ 2017-03-09 2017-03-09 2017-03-09 N N N 0.0048 2086016605.60 2086016605.60 0.0413 N Y Y N UNITED STATES TREASURY TREASURY BILL 0.000000% 912796KN8 US912796KN88 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services A-1+ 2017-03-16 2017-03-16 2017-03-16 N N N 0.0054 259866074.00 259866074.00 0.0051 N Y Y N UNITED STATES TREASURY TREASURY BILL 0.000000% 912796KP3 US912796KP37 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services A-1+ 2017-03-23 2017-03-23 2017-03-23 N N N 0.0056 215861630.40 215861630.40 0.0043 N Y Y N UNITED STATES TREASURY TREASURY BILL 0.000000% 912796KQ1 US912796KQ10 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services A-1+ 2017-04-06 2017-04-06 2017-04-06 N N N 0.0048 1152241575.48 1152241575.48 0.0228 N Y Y N UNITED STATES TREASURY TREASURY BILL 0.000000% 912796KR9 US912796KR92 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services A-1+ 2017-10-12 2017-10-12 2017-10-12 N N N 0.0068 15243964.44 15243964.44 0.0003 N Y Y N UNITED STATES TREASURY TREASURY BILL 0.000000% 912796KS7 US912796KS75 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services A-1+ 2017-04-13 2017-04-13 2017-04-13 N N N 0.0050 999048400.00 999048400.00 0.0198 N Y Y N UNITED STATES TREASURY TREASURY BILL 0.000000% 912796KT5 US912796KT58 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services A-1+ 2017-04-20 2017-04-20 2017-04-20 N N N 0.0047 499477300.00 499477300.00 0.0099 N Y Y N UNITED STATES TREASURY TREASURY BILL 0.000000% 912796KU2 US912796KU22 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services A-1+ 2017-05-04 2017-05-04 2017-05-04 N N N 0.0052 1997386000.00 1997386000.00 0.0396 N Y Y N UNITED STATES TREASURY TREASURY BILL 0.000000% 912796KY4 US912796KY44 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services A-1+ 2017-05-11 2017-05-11 2017-05-11 N N N 0.0049 844804245.32 844804245.32 0.0167 N Y Y N UNITED STATES TREASURY TREASURY BILL 0.000000% 912796LK3 US912796LK31 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services A-1+ 2017-07-13 2017-07-13 2017-07-13 N N N 0.0059 598383360.00 598383360.00 0.0119 N Y Y N UNITED STATES TREASURY TREASURY BILL 0.000000% 912796LM9 US912796LM96 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services A-1+ 2017-08-03 2017-08-03 2017-08-03 N N N 0.0063 747639750.00 747639750.00 0.0148 N Y Y N UNITED STATES TREASURY TREASURY BOND 8.750000% 912810DY1 US912810DY11 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services AA+ 2017-05-15 2017-05-15 2017-05-15 N N N 0.0053 128884026.60 128884026.60 0.0026 N Y Y N UNITED STATES TREASURY TREASURY NOTE 0.750000% 912828C32 US912828C327 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services AA+ 2017-03-15 2017-03-15 2017-03-15 N N N 0.0047 766620465.37 766620465.37 0.0152 N Y Y N UNITED STATES TREASURY TREASURY NOTE 0.875000% 912828D49 US912828D499 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services AA+ 2017-08-15 2017-08-15 2017-08-15 N N N 0.0066 514997455.82 514997455.82 0.0102 N Y Y N UNITED STATES TREASURY TREASURY NOTE 1.000000% 912828D98 US912828D986 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services AA+ 2017-09-15 2017-09-15 2017-09-15 N N N 0.0081 990699893.20 990699893.20 0.0196 N Y Y N UNITED STATES TREASURY TREASURY NOTE 0.875000% 912828G20 US912828G203 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services AA+ 2017-11-15 2017-11-15 2017-11-15 N N N 0.0091 200109380.00 200109380.00 0.0040 N Y Y N UNITED STATES TREASURY TREASURY NOTE 4.625000% 912828GH7 US912828GH76 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services AA+ 2017-02-15 2017-02-15 2017-02-15 N N N 0.0044 116898089.84 116898089.84 0.0023 N Y Y N UNITED STATES TREASURY TREASURY NOTE 4.500000% 912828GS3 US912828GS32 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services AA+ 2017-05-15 2017-05-15 2017-05-15 N N N 0.0063 173702672.07 173702672.07 0.0034 N Y Y N UNITED STATES TREASURY TREASURY NOTE 0.875000% 912828H37 US912828H375 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services AA+ 2018-01-15 2018-01-15 2018-01-15 N N N 0.0097 159993744.00 159993744.00 0.0032 N Y Y N UNITED STATES TREASURY TREASURY NOTE 4.750000% 912828HA1 US912828HA15 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services AA+ 2017-08-15 2017-08-15 2017-08-15 N N N 0.0073 96816291.43 96816291.43 0.0019 N Y Y N UNITED STATES TREASURY TREASURY NOTE 4.250000% 912828HH6 US912828HH67 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services AA+ 2017-11-15 2017-11-15 2017-11-15 N N N 0.0089 267993990.90 267993990.90 0.0053 N Y Y N UNITED STATES TREASURY TREASURY NOTE 0.500000% 912828J35 US912828J355 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services AA+ 2017-02-28 2017-02-28 2017-02-28 N N N 0.0049 690050991.00 690050991.00 0.0137 N Y Y N UNITED STATES TREASURY TREASURY NOTE 0.500000% 912828J92 US912828J926 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services AA+ 2017-03-31 2017-03-31 2017-03-31 N N N 0.0048 73588421.70 73588421.70 0.0015 N Y Y N UNITED STATES TREASURY TREASURY FLOATING RATE NOTE 0.674000% 912828M23 US912828M235 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services AA+ 2017-02-01 2017-10-31 2017-10-31 N N N 0.0031 841398974.32 841398974.32 0.0167 N Y Y N UNITED STATES TREASURY TREASURY NOTE 0.875000% 912828M72 US912828M722 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services AA+ 2017-11-30 2017-11-30 2017-11-30 N N N 0.0081 36602151.05 36602151.05 0.0007 N Y Y N UNITED STATES TREASURY TREASURY NOTE 3.000000% 912828MS6 US912828MS67 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services AA+ 2017-02-28 2017-02-28 2017-02-28 N N N 0.0045 355110741.49 355110741.49 0.0070 N Y Y N UNITED STATES TREASURY TREASURY NOTE 3.250000% 912828MV9 US912828MV96 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services AA+ 2017-03-31 2017-03-31 2017-03-31 N N N 0.0056 251104525.00 251104525.00 0.0050 N Y Y N UNITED STATES TREASURY TREASURY FLOATING RATE NOTE 0.778000% 912828N97 US912828N977 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services AA+ 2017-02-01 2018-01-31 2018-01-31 N N N 0.0050 590335901.62 590335901.62 0.0117 N Y Y N UNITED STATES TREASURY TREASURY NOTE 2.750000% 912828NG1 US912828NG11 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services AA+ 2017-05-31 2017-05-31 2017-05-31 N N N 0.0054 352460955.00 352460955.00 0.0070 N Y Y N UNITED STATES TREASURY TREASURY NOTE 2.500000% 912828NK2 US912828NK23 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services AA+ 2017-06-30 2017-06-30 2017-06-30 N N N 0.0074 50672802.44 50672802.44 0.0010 N Y Y N UNITED STATES TREASURY TREASURY NOTE 1.875000% 912828NW6 US912828NW60 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services AA+ 2017-08-31 2017-08-31 2017-08-31 N N N 0.0074 424960621.88 424960621.88 0.0084 N Y Y N UNITED STATES TREAS NTS TREASURY NOTE 2.625000% 912828PT1 US912828PT14 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services AA+ 2018-01-31 2018-01-31 2018-01-31 N N N 0.0091 368193602.80 368193602.80 0.0073 N Y Y N UNITED STATES TREASURY TREASURY FLOATING RATE NOTE 0.696000% 912828Q86 US912828Q863 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services AA+ 2017-02-01 2018-04-30 2018-04-30 N N N 0.0048 2273324126.13 2273324126.13 0.0450 N Y Y N UNITED STATES TREASURY TREASURY FLOATING RATE NOTE 0.680000% 912828S84 US912828S844 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services AA+ 2017-02-01 2018-07-31 2018-07-31 N N N 0.0050 871050296.63 871050296.63 0.0173 N Y Y N UNITED STATES TREASURY TREASURY NOTE 0.875000% 912828SJ0 US912828SJ05 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services AA+ 2017-02-28 2017-02-28 2017-02-28 N N N 0.0049 685952124.20 685952124.20 0.0136 N Y Y N UNITED STATES TREASURY TREASURY NOTE 1.000000% 912828SM3 US912828SM34 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services AA+ 2017-03-31 2017-03-31 2017-03-31 N N N 0.0074 905921511.11 905921511.11 0.0179 N Y Y N UNITED STATES TREASURY TREASURY NOTE 0.625000% 912828SY7 US912828SY71 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services AA+ 2017-05-31 2017-05-31 2017-05-31 N N N 0.0070 47693724.59 47693724.59 0.0009 N Y Y N UNITED STATES TREASURY TREASURY FLOATING RATE NOTE 0.676000% 912828T75 US912828T750 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services AA+ 2017-02-01 2018-10-31 2018-10-31 N N N 0.0063 1160438185.33 1160438185.33 0.0230 N Y Y N UNITED STATES TREASURY TREASURY NOTE 0.750000% 912828TB6 US912828TB69 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services AA+ 2017-06-30 2017-06-30 2017-06-30 N N N 0.0065 196829899.49 196829899.49 0.0039 N Y Y N UNITED STATES TREASURY TREASURY NOTE 0.500000% 912828TG5 US912828TG56 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services AA+ 2017-07-31 2017-07-31 2017-07-31 N N N 0.0053 383684957.81 383684957.81 0.0076 N Y Y N UNITED STATES TREASURY TREASURY NOTE 0.625000% 912828TM2 US912828TM25 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services AA+ 2017-08-31 2017-08-31 2017-08-31 N N N 0.0067 444456327.52 444456327.52 0.0088 N Y Y N UNITED STATES TREASURY TREASURY FLOATING RATE NOTE 0.646000% 912828V64 US912828V640 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services AA+ 2017-02-01 2019-01-31 2019-01-31 N N N 0.0065 508159919.73 508159919.73 0.0101 N Y Y N UNITED STATES TREASURY TREASURY NOTE 0.875000% 912828WH9 US912828WH92 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services AA+ 2017-05-15 2017-05-15 2017-05-15 N N N 0.0055 250195325.00 250195325.00 0.0050 N Y Y N UNITED STATES TREASURY TREASURY NOTE 0.875000% 912828WT3 US912828WT31 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services AA+ 2017-07-15 2017-07-15 2017-07-15 N N N 0.0053 234581426.17 234581426.17 0.0046 N Y Y N UNITED STATES TREASURY TREASURY NOTE 0.625000% 912828XJ4 US912828XJ40 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services AA+ 2017-06-30 2017-06-30 2017-06-30 N N N 0.0074 47143681.63 47143681.63 0.0009 N Y Y N UNITED STATES TREASURY TREASURY FLOATING RATE NOTE 0.583000% 912828XN5 US912828XN51 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services AA+ 2017-02-01 2017-07-31 2017-07-31 N N N 0.0024 600230696.10 600230696.10 0.0119 N Y Y N JP MORGAN SECURITIES LLC TRI-PARTY JP MORGAN SECURITIES LLC 0.540000% ZBUT11V806EZRVTWT807 0000782124 BRSHJ5R10 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y Y UNITED STATES TREASURY 2026-05-15 1.625000 62390000.00 58203732.13 U.S. Treasuries (including strips) UNITED STATES TREASURY 2043-08-15 0.00 150177600.00 65397841.70 U.S. Treasuries (including strips) 2 7/8 TPRN 45 2045-08-15 0.00 324696900.00 131400774.78 U.S. Treasuries (including strips) Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-02-01 2017-02-01 2017-02-01 N N N 0.0054 250000000.00 250000000.00 0.0050 N Y Y N HSBC SECURITIES (USA) INC TRI-PARTY HSBC SECURITIES (USA) IN 0.520000% CYYGQCGNHMHPSMRL3R97 0000853784 BRSM2LJW3 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y Y UNITED STATES TREASURY 2046-05-15 0.00 28000.00 11090.52 U.S. Treasuries (including strips) UNITED STATES TREASURY 2045-05-15 0.00 1392000.00 565277.31 U.S. Treasuries (including strips) UNITED STATES TREASURY 2044-11-15 0.00 2032000.00 840110.12 U.S. Treasuries (including strips) UNITED STATES TREASURY 2045-08-15 0.00 2953250.00 1189598.57 U.S. Treasuries (including strips) UNITED STATES TREASURY 2044-08-15 0.00 3853750.00 1603506.88 U.S. Treasuries (including strips) UNITED STATES TREASURY 2045-02-15 0.00 4315750.00 1769457.48 U.S. Treasuries (including strips) UNITED STATES TREASURY 2043-11-15 0.00 4915625.00 2082209.62 U.S. Treasuries (including strips) TINT 11/15/34 2034-11-15 0.00 31022287.50 18298185.90 U.S. Treasuries (including strips) TINT 05/15/33 2033-05-15 0.00 65300287.50 40618739.12 U.S. Treasuries (including strips) TINT 02/15/36 2036-02-15 0.00 2633187.50 1482405.52 U.S. Treasuries (including strips) TINT 11/15/35 2035-11-15 0.00 2980287.50 1688511.60 U.S. Treasuries (including strips) UNITED STATES TREASURY 2036-08-15 0.00 5516987.50 3048135.65 U.S. Treasuries (including strips) TINT 05/15/30 2030-05-15 0.00 5840000.00 4023234.44 U.S. Treasuries (including strips) TINT 05/15/35 2035-05-15 0.00 6398287.50 3704992.09 U.S. Treasuries (including strips) TINT 08/15/33 2033-08-15 0.00 7784187.50 4799418.51 U.S. Treasuries (including strips) TINT 11/15/36 2036-11-15 0.00 17048287.50 9328652.62 U.S. Treasuries (including strips) TINT 02/15/46 2046-02-15 0.00 446250.00 177803.85 U.S. Treasuries (including strips) TINT 11/15/40 2040-11-15 0.00 1071312.50 504181.10 U.S. Treasuries (including strips) TINT 08/15/35 2035-08-15 0.00 2211187.50 1267983.39 U.S. Treasuries (including strips) TINT 11/15/41 2041-11-15 0.00 2486812.50 1125282.62 U.S. Treasuries (including strips) UNITED STATES TREASURY 2043-05-15 0.00 3010625.00 1300680.30 U.S. Treasuries (including strips) TINT 02/15/27 2027-02-15 0.00 3121508.75 2390888.44 U.S. Treasuries (including strips) TINT 02/15/41 2041-02-15 0.00 3473375.00 1618384.45 U.S. Treasuries (including strips) TINT 05/15/36 2036-05-15 0.00 3539287.50 1973152.80 U.S. Treasuries (including strips) TINT 08/15/43 2043-08-15 0.00 3550750.00 1515708.61 U.S. Treasuries (including strips) TINT 11/15/28 2028-11-15 0.00 3670912.50 2659135.66 U.S. Treasuries (including strips) TINT 11/15/45 2045-11-15 0.00 3743000.00 1501279.97 U.S. Treasuries (including strips) TINT 08/15/34 2034-08-15 0.00 4323187.50 2572988.30 U.S. Treasuries (including strips) TINT 11/15/42 2042-11-15 0.00 4438625.00 1948822.57 U.S. Treasuries (including strips) TINT 05/15/37 2037-05-15 0.00 4664287.50 2502670.10 U.S. Treasuries (including strips) UNITED STATES TREASURY 2044-05-15 0.00 4982875.00 2089668.27 U.S. Treasuries (including strips) TINT 05/15/34 2034-05-15 0.00 6386287.50 3834774.10 U.S. Treasuries (including strips) TINT 08/15/30 2030-08-15 0.00 6391812.50 4361389.51 U.S. Treasuries (including strips) TINT 02/15/34 2034-02-15 0.00 9176187.50 5558750.91 U.S. Treasuries (including strips) TINT 08/15/27 2027-08-15 0.00 9542796.25 7188397.98 U.S. Treasuries (including strips) TINT 05/15/27 2027-05-15 0.00 10838537.50 8223740.56 U.S. Treasuries (including strips) TINT 05/15/28 2028-05-15 0.00 11687912.50 8596108.97 U.S. Treasuries (including strips) UNITED STATES TREASURY 2044-02-15 0.00 13583875.00 5705227.32 U.S. Treasuries (including strips) TINT 11/15/33 2033-11-15 0.00 15022287.50 9182372.98 U.S. Treasuries (including strips) TINT 02/15/43 2043-02-15 0.00 17681500.00 7674831.49 U.S. Treasuries (including strips) TINT 02/15/42 2042-02-15 0.00 19629875.00 8818132.48 U.S. Treasuries (including strips) TINT 02/15/32 2032-02-15 0.00 20991187.50 13631257.93 U.S. Treasuries (including strips) TINT 08/15/40 2040-08-15 0.00 22716625.00 10790396.74 U.S. Treasuries (including strips) TINT 08/15/29 2029-08-15 0.00 22846437.50 16128214.28 U.S. Treasuries (including strips) TINT 02/15/30 2030-02-15 0.00 22907812.50 15917264.76 U.S. Treasuries (including strips) TINT 02/15/28 2028-02-15 0.00 30999137.50 22983071.06 U.S. Treasuries (including strips) TINT 08/15/32 2032-08-15 0.00 31664187.50 20210616.79 U.S. Treasuries (including strips) TINT 02/15/31 2031-02-15 0.00 31773812.50 21377737.47 U.S. Treasuries (including strips) TINT 02/15/33 2033-02-15 0.00 32124187.50 20157927.58 U.S. Treasuries (including strips) TINT 05/15/32 2032-05-15 0.00 32863287.50 21160999.15 U.S. Treasuries (including strips) TINT 05/15/42 2042-05-15 0.00 37605125.00 16763611.84 U.S. Treasuries (including strips) TINT 02/15/35 2035-02-15 0.00 38051187.50 22236351.85 U.S. Treasuries (including strips) TINT 02/15/29 2029-02-15 0.00 38251762.50 27463616.16 U.S. Treasuries (including strips) TINT 11/15/32 2032-11-15 0.00 47130287.50 29832059.73 U.S. Treasuries (including strips) TINT 11/15/29 2029-11-15 0.00 50668787.50 35507674.63 U.S. Treasuries (including strips) TINT 11/15/30 2030-11-15 0.00 50944287.50 34570284.04 U.S. Treasuries (including strips) TINT 05/15/31 2031-05-15 0.00 51634287.50 34393083.16 U.S. Treasuries (including strips) UNITED STATES TREAS SEC STRIPPED INT PMT 2028-08-15 0.00 52135137.50 38066991.89 U.S. Treasuries (including strips) TINT 05/15/41 2041-05-15 0.00 72744812.50 33553545.29 U.S. Treasuries (including strips) TINT 11/15/31 2031-11-15 0.00 76846287.50 50334316.11 U.S. Treasuries (including strips) TINT 05/15/29 2029-05-15 0.00 79230787.50 56377460.02 U.S. Treasuries (including strips) TINT 08/15/42 2042-08-15 0.00 79622500.00 35220217.95 U.S. Treasuries (including strips) Y Fitch, Inc. NR Moody's Investors Service, Inc. NR Standard and Poor's Ratings Services A-1+ 2017-02-01 2017-02-01 2017-02-01 N N N 0.0052 751000000.00 751000000.00 0.0149 N Y Y N MUFG SECURITIES AMERICAS INC TRI-PARTY MUFG SECURITIES AMERICAS 0.000000% K5HU16E3LMSVCCJJJ255 0000067088 BRT7GA6R9 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 2044-08-15 3.125000 100.00 102.32 U.S. Treasuries (including strips) UNITED STATES TREASURY 2025-02-15 2.000000 100.00 98.01 U.S. Treasuries (including strips) UNITED STATES TREASURY 2026-02-15 1.625000 100.00 93.91 U.S. Treasuries (including strips) UNITED STATES TREASURY 2022-09-30 1.750000 375000.00 370069.30 U.S. Treasuries (including strips) UNITED STATES TREASURY 2023-11-15 2.750000 1788600.00 1854043.88 U.S. Treasuries (including strips) UNITED STATES TREASURY 2045-05-15 3.000000 1853800.00 1835216.06 U.S. Treasuries (including strips) UNITED STATES TREASURY 2045-02-15 2.500000 3760800.00 3383824.84 U.S. Treasuries (including strips) UNITED STATES TREASURY 2025-05-15 2.125000 31384900.00 30830423.83 U.S. Treasuries (including strips) UNITED STATES TREASURY 2025-08-15 2.000000 31710000.00 30923743.66 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-03-02 0.00 100.00 99.96 U.S. Treasuries (including strips) TRIN 01/15/20 1.3750 2020-01-15 1.375000 100.00 118.10 U.S. Treasuries (including strips) 1 5/8 NOTE R 23 2023-10-31 1.625000 274000.00 264407.21 U.S. Treasuries (including strips) NOTE 08/15/21 2.1250 2021-08-15 2.125000 376700.00 384082.88 U.S. Treasuries (including strips) UNITED STATES TREAS BDS 2027-02-15 6.625000 726000.00 1013759.24 U.S. Treasuries (including strips) NOTE 08/31/19 1.0000 2019-08-31 1.000000 950000.00 944812.54 U.S. Treasuries (including strips) UNITED STATES TREAS BDS 2028-11-15 5.250000 1392600.00 1783500.21 U.S. Treasuries (including strips) UNITED STATES TREAS BD STRIPPED PRIN PMT 2041-11-15 0.00 3068300.00 1409086.09 U.S. Treasuries (including strips) UNITED STATES TREASURY 2025-01-15 0.250000 4525900.00 4574110.64 U.S. Treasuries (including strips) 2 3/8 NOTE E 24 2024-08-15 2.375000 35377100.00 35849983.20 U.S. Treasuries (including strips) UNITED STATES TREAS BD STRIPPED PRIN PMT 2041-08-15 0.00 81098100.00 37578426.60 U.S. Treasuries (including strips) Y Fitch, Inc. F1 Moody's Investors Service, Inc. NR Standard and Poor's Ratings Services A-1 2017-02-01 2017-02-07 2017-02-07 Y MUFG SECURITIES AMERICAS INC 1.0000 7 N Fitch, Inc. A Moody's Investors Service, Inc. NR Standard and Poor's Ratings Services A+ N N 0.0056 150000000.00 150000000.00 0.0030 N N Y N SOCIETE GENERALE SA TRI-PARTY SOCIETE GENERALE 0.580000% O2RNE8IBXP4R0TD8PU41 0000865845 BRT7VJ3U9 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 2017-07-27 0.00 16991200.00 16939104.98 U.S. Treasuries (including strips) UNITED STATES TREASURY 2027-01-15 0.375000 90075000.00 89625429.28 U.S. Treasuries (including strips) UNITED STATES TREASURY 2019-01-31 1.125000 34529400.00 34464657.38 U.S. Treasuries (including strips) UNITED STATES TREASURY 2043-02-15 0.625000 284700.00 277517.89 U.S. Treasuries (including strips) UNITED STATES TREASURY 2024-05-15 2.500000 1508400.00 1535748.32 U.S. Treasuries (including strips) UNITED STATES TREASURY 2044-02-15 1.375000 1925600.00 2210977.20 U.S. Treasuries (including strips) UNITED STATES TREASURY 2020-03-31 1.125000 3000000.00 2973784.53 U.S. Treasuries (including strips) UNITED STATES TREASURY 2045-11-15 3.000000 3979400.00 3937020.25 U.S. Treasuries (including strips) UNITED STATES TREASURY 2043-08-15 3.625000 7442800.00 8341223.51 U.S. Treasuries (including strips) UNITED STATES TREASURY 2046-02-15 1.000000 25575700.00 26596211.46 U.S. Treasuries (including strips) UNITED STATES TREASURY 2044-02-15 3.625000 47624000.00 53365236.00 U.S. Treasuries (including strips) UNITED STATES TREASURY 2042-11-15 2.750000 100.00 94.77 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-06-22 0.00 300.00 299.36 U.S. Treasuries (including strips) TINT 05/15/23 2023-05-15 0.00 18.81 16.27 U.S. Treasuries (including strips) BOND 11/15/18 9.0000 2018-11-15 9.000000 100.00 115.85 U.S. Treasuries (including strips) UNITED STATES TREAS BDS 2026-11-15 6.500000 100.00 136.27 U.S. Treasuries (including strips) UNITED STATES TREAS BDS 2027-01-15 2.375000 200.00 284.03 U.S. Treasuries (including strips) UNITED STATES TREAS BDS 2030-05-15 6.250000 700.00 995.65 U.S. Treasuries (including strips) BOND 02/15/41 4.7500 2041-02-15 4.750000 700.00 924.28 U.S. Treasuries (including strips) NOTE 09/30/17 1.8750 2017-09-30 1.875000 55900.00 56664.70 U.S. Treasuries (including strips) UNITED STATES TREAS BDS 2024-11-15 7.500000 77100.00 106893.14 U.S. Treasuries (including strips) UNITED STATES TREAS BDS 2032-04-15 3.375000 126900.00 243179.32 U.S. Treasuries (including strips) UNITED STATES TREAS BDS 2028-01-15 1.750000 223100.00 290435.51 U.S. Treasuries (including strips) 0 3/4 TRIB 45 2045-02-15 0.750000 884100.00 865551.68 U.S. Treasuries (including strips) UNITED STATES TREAS BDS 2029-04-15 3.875000 1098800.00 2246821.13 U.S. Treasuries (including strips) BOND 02/15/40 4.6250 2040-02-15 4.625000 16940900.00 21925062.02 U.S. Treasuries (including strips) TRIN 01/15/18 1.6250 2018-01-15 1.625000 119947600.00 142116222.16 U.S. Treasuries (including strips) UNITED STATES TREAS BDS 2042-02-15 0.750000 127675400.00 130975454.16 U.S. Treasuries (including strips) 0 3/8 TRIN D 25 2025-07-15 0.375000 160261200.00 163683938.90 U.S. Treasuries (including strips) Y Fitch, Inc. F1 Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-02-07 2017-02-07 2017-04-03 Y SOCIETE GENERALE SA 1.0000 7 N Fitch, Inc. A Moody's Investors Service, Inc. A2 Standard and Poor's Ratings Services A N N 0.0058 689000000.00 689000000.00 0.0136 N N Y N BNP PARIBAS SA TRI-PARTY BNP PARIBAS 0.550000% R0MUWSFPU8MPRO8K5P83 0000310732 BRT7WKX40 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 2019-01-31 1.125000 16900.00 16868.31 U.S. Treasuries (including strips) UNITED STATES TREASURY 2044-08-15 0.00 100.00 41.89 U.S. Treasuries (including strips) UNITED STATES TREAS NTS 2022-11-15 1.625000 137900.00 134638.18 U.S. Treasuries (including strips) UNITED STATES TREASURY 2045-11-15 3.000000 8445500.00 8355557.25 U.S. Treasuries (including strips) UNITED STATES TREAS NTS 2023-02-15 2.000000 9862800.00 9862847.17 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-02-15 0.625000 22998300.00 23064310.75 U.S. Treasuries (including strips) UNITED STATES TREASURY 2021-10-31 2.000000 64553200.00 65070456.59 U.S. Treasuries (including strips) TINT 05/15/33 2033-05-15 0.00 75.57 46.60 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-04-06 0.00 562000.00 561505.44 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-07-13 0.00 191535200.00 191011734.30 U.S. Treasuries (including strips) TINT 02/15/32 2032-02-15 0.00 0.95 0.61 U.S. Treasuries (including strips) TINT 02/15/37 2037-02-15 0.00 44.23 23.84 U.S. Treasuries (including strips) TINT 02/15/34 2034-02-15 0.00 119.98 71.92 U.S. Treasuries (including strips) TINT 02/15/41 2041-02-15 0.00 123.87 57.39 U.S. Treasuries (including strips) TINT 05/15/37 2037-05-15 0.00 139.01 74.24 U.S. Treasuries (including strips) UNITED STATES TREAS BD STRIPPED PRIN PMT 2040-05-15 0.00 900.00 437.70 U.S. Treasuries (including strips) TINT 05/15/21 2021-05-15 0.00 13378.80 12305.15 U.S. Treasuries (including strips) UNITED STATES TREAS BD 2042-05-15 0.00 130000.00 58736.60 U.S. Treasuries (including strips) 0 3/8 TRIN D 25 2025-07-15 0.375000 2597100.00 2652566.92 U.S. Treasuries (including strips) NOTE 08/15/21 2.1250 2021-08-15 2.125000 12202700.00 12441858.66 U.S. Treasuries (including strips) TRIN 07/15/22 0.1250 2022-07-15 0.125000 28736600.00 30528227.25 U.S. Treasuries (including strips) 2 1/2 BOND 46 2046-05-15 2.500000 52072800.00 46377633.25 U.S. Treasuries (including strips) Y Fitch, Inc. F1 Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-02-03 2017-02-03 2017-02-03 Y BNP PARIBAS SA 1.0000 7 N Fitch, Inc. A+ Moody's Investors Service, Inc. A1 Standard and Poor's Ratings Services A N N 0.0055 382500000.00 382500000.00 0.0076 N N Y N SOCIETE GENERALE SA TRI-PARTY SOCIETE GENERALE 0.540000% O2RNE8IBXP4R0TD8PU41 0000865845 BRT7XLFN5 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N 2 1/4 NOTE G 24 2024-01-31 2.250000 220400.00 219952.37 U.S. Treasuries (including strips) UNITED STATES TREASURY 2020-05-31 1.375000 325200.00 323624.42 U.S. Treasuries (including strips) UNITED STATES TREAS NTS 2019-07-15 1.875000 669000.00 809291.04 U.S. Treasuries (including strips) UNITED STATES TREAS NTS 2020-07-15 1.250000 19048000.00 22418365.83 U.S. Treasuries (including strips) UNITED STATES TREASURY 2045-05-15 3.000000 21535200.00 21319314.26 U.S. Treasuries (including strips) UNITED STATES TREASURY 2018-04-15 0.125000 109061400.00 115385255.26 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-12-31 1.000000 144832400.00 145125881.66 U.S. Treasuries (including strips) UNITED STATES TREASURY 2018-01-31 0.777645 31626000.00 31764948.79 U.S. Treasuries (including strips) NOTE 07/31/19 0.8750 2019-07-31 0.875000 100.00 98.81 U.S. Treasuries (including strips) UNITED STATES TREAS BDS 2028-01-15 1.750000 223100.00 290435.51 U.S. Treasuries (including strips) TRIN 01/15/19 2.1250 2019-01-15 2.125000 537900.00 641398.29 U.S. Treasuries (including strips) UNITED STATES TREAS BDS 2029-01-15 2.500000 1069600.00 1467679.63 U.S. Treasuries (including strips) UNITED STATES TREAS BDS 2029-04-15 3.875000 1206500.00 2467045.59 U.S. Treasuries (including strips) UNITED STATES TREAS BDS 2042-02-15 0.750000 2575800.00 2642377.26 U.S. Treasuries (including strips) UNITED STATES TREAS BDS 2041-11-15 3.125000 4813700.00 4904761.24 U.S. Treasuries (including strips) UNITED STATES TREAS BDS 2041-02-15 2.125000 7776700.00 10872336.61 U.S. Treasuries (including strips) UNITED STATES TREAS BDS 2032-04-15 3.375000 18206500.00 34889237.70 U.S. Treasuries (including strips) 2 3/8 NOTE E 24 2024-08-15 2.375000 41599300.00 42155354.91 U.S. Treasuries (including strips) Y Fitch, Inc. F1 Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-02-07 2017-02-07 2017-02-10 Y SOCIETE GENERALE SA 1.0000 7 N Fitch, Inc. A Moody's Investors Service, Inc. A2 Standard and Poor's Ratings Services A N N 0.0054 429115000.00 429115000.00 0.0085 N N Y N BNP PARIBAS SA TRI-PARTY BNP PARIBAS 0.550000% R0MUWSFPU8MPRO8K5P83 0000310732 BRT7XMR42 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 2019-01-31 1.125000 61835100.00 61719159.19 U.S. Treasuries (including strips) UNITED STATES TREASURY 2022-09-30 1.750000 100.00 98.68 U.S. Treasuries (including strips) UNITED STATES TREASURY 2020-03-31 1.125000 13094800.00 12980371.24 U.S. Treasuries (including strips) UNITED STATES TREAS NTS 2018-05-31 2.375000 46141600.00 47164574.48 U.S. Treasuries (including strips) UNITED STATES TREASURY 2019-09-30 1.000000 115746800.00 114908112.68 U.S. Treasuries (including strips) UNITED STATES TREASURY 2018-01-15 0.875000 4394100.00 4395799.38 U.S. Treasuries (including strips) TINT 05/15/21 2021-05-15 0.00 56.58 52.04 U.S. Treasuries (including strips) TINT 08/15/21 2021-08-15 0.00 420.73 384.56 U.S. Treasuries (including strips) NOTE 11/30/17 2.2500 2017-11-30 2.250000 4745300.00 4818355.87 U.S. Treasuries (including strips) UNITED STATES TREAS BDS 2027-01-15 2.375000 49815000.00 70743939.35 U.S. Treasuries (including strips) TRIN 01/15/19 2.1250 2019-01-15 2.125000 119312100.00 142269152.54 U.S. Treasuries (including strips) Y Fitch, Inc. F1 Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-02-03 2017-02-03 2017-02-03 Y BNP PARIBAS SA 1.0000 7 N Fitch, Inc. A+ Moody's Investors Service, Inc. A1 Standard and Poor's Ratings Services A N N 0.0055 450000000.00 450000000.00 0.0089 N N Y N BNP PARIBAS SA TRI-PARTY BNP PARIBAS 0.540000% R0MUWSFPU8MPRO8K5P83 0000310732 BRT7ZE1Z7 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREAS NTS 2018-06-30 2.375000 7925900.00 8091867.08 U.S. Treasuries (including strips) UNITED STATES TREAS NTS 2019-02-15 2.750000 11830100.00 12335825.84 U.S. Treasuries (including strips) UNITED STATES TREASURY 2020-09-30 1.375000 18700000.00 18580250.65 U.S. Treasuries (including strips) UNITED STATES TREASURY 2019-03-31 1.625000 74970300.00 75932549.15 U.S. Treasuries (including strips) UNITED STATES TREASURY 2020-06-30 1.625000 141367200.00 141602092.14 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-06-22 0.00 1000.00 997.86 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-02-28 0.500000 2703900.00 2709614.04 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-04-06 0.00 9715000.00 9706450.80 U.S. Treasuries (including strips) NOTE 08/31/19 1.0000 2019-08-31 1.000000 100.00 99.45 U.S. Treasuries (including strips) UNITED STATES TREAS BD STRIPPED PRIN PMT 2021-11-15 0.00 425800.00 387656.84 U.S. Treasuries (including strips) TINT 05/15/23 2023-05-15 0.00 2179540.29 1884931.83 U.S. Treasuries (including strips) 2 1/8 NOTE T 22 2022-12-31 2.125000 45942300.00 45968475.69 U.S. Treasuries (including strips) NOTE 12/31/17 2.7500 2017-12-31 2.750000 75064000.00 76519188.63 U.S. Treasuries (including strips) Y Fitch, Inc. F1 Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-02-07 2017-02-07 2017-02-10 Y BNP PARIBAS SA 1.0000 7 N Fitch, Inc. A+ Moody's Investors Service, Inc. A1 Standard and Poor's Ratings Services A N N 0.0054 386000000.00 386000000.00 0.0076 N N Y N BNP PARIBAS SA TRI-PARTY BNP PARIBAS 0.520000% R0MUWSFPU8MPRO8K5P83 0000310732 BRT80BTY2 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 2021-08-31 2.000000 1953000.00 1977748.49 U.S. Treasuries (including strips) UNITED STATES TREASURY 2024-07-15 0.125000 3599300.00 3630128.04 U.S. Treasuries (including strips) UNITED STATES TREASURY 2018-04-30 0.625000 4015800.00 4005071.38 U.S. Treasuries (including strips) UNITED STATES TREASURY 2018-01-31 0.750000 6945400.00 6935634.77 U.S. Treasuries (including strips) UNITED STATES TREASURY 2018-07-31 1.375000 31431700.00 31583955.15 U.S. Treasuries (including strips) UNITED STATES TREAS NTS 2020-05-15 3.500000 35757600.00 38202803.07 U.S. Treasuries (including strips) UNITED STATES TREAS NTS 2020-08-15 2.625000 39010400.00 40785101.19 U.S. Treasuries (including strips) UNITED STATES TREAS NTS 2022-11-15 1.625000 59694900.00 58282906.19 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-03-31 0.500000 200.00 200.34 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-03-31 1.000000 1548800.00 1555001.58 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-03-15 0.750000 3496800.00 3507343.26 U.S. Treasuries (including strips) TINT 05/15/21 2021-05-15 0.00 0.32 0.29 U.S. Treasuries (including strips) TINT 11/15/22 2022-11-15 0.00 21.95 19.29 U.S. Treasuries (including strips) TINT 08/15/21 2021-08-15 0.00 47.42 43.34 U.S. Treasuries (including strips) UNITED STATES TREAS SEC STRIPPED INT PMT 2022-05-15 0.00 68.33 60.97 U.S. Treasuries (including strips) TRIN 07/15/18 1.3750 2018-07-15 1.375000 5528800.00 6444982.66 U.S. Treasuries (including strips) Y Fitch, Inc. F1 Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-02-07 2017-02-07 2017-02-10 Y BNP PARIBAS SA 1.0000 7 N Fitch, Inc. A+ Moody's Investors Service, Inc. A1 Standard and Poor's Ratings Services A N N 0.0052 193050000.00 193050000.00 0.0038 N N Y N SOCIETE GENERALE SA TRI-PARTY SOCIETE GENERALE SA 0.560000% O2RNE8IBXP4R0TD8PU41 0000865845 BRT81KDN2 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 2019-01-31 1.125000 246100.00 245638.56 U.S. Treasuries (including strips) UNITED STATES TREASURY 2019-07-31 1.625000 32708400.00 32907724.99 U.S. Treasuries (including strips) UNITED STATES TREASURY 2023-02-28 1.500000 53586600.00 51866458.30 U.S. Treasuries (including strips) UNITED STATES TREASURY 2023-07-15 0.375000 112627500.00 118980180.33 U.S. Treasuries (including strips) Y Fitch, Inc. F1 Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-02-01 2017-02-07 2017-02-07 Y SOCIETE GENERALE SA 1.0000 7 N Fitch, Inc. A Moody's Investors Service, Inc. A2 Standard and Poor's Ratings Services A N N 0.0056 200000000.00 200000000.00 0.0040 N N Y N BANK OF MONTREAL TRI-PARTY BANK OF MONTREAL 0.540000% NQQ6HPCNCCU6TUTQYE16 0000009622 BRT827XJ7 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 2020-01-15 1.375000 147852000.00 147526094.99 U.S. Treasuries (including strips) UNITED STATES TREAS NTS 2023-01-15 0.125000 1108500.00 1160797.47 U.S. Treasuries (including strips) UNITED STATES TREAS NTS 2020-07-15 1.250000 2464900.00 2901041.06 U.S. Treasuries (including strips) UNITED STATES TREASURY 2026-07-15 0.125000 2945000.00 2894308.43 U.S. Treasuries (including strips) UNITED STATES TREASURY 2020-12-31 1.750000 4681400.00 4687526.16 U.S. Treasuries (including strips) UNITED STATES TREASURY 2018-07-31 1.375000 7927300.00 7965699.84 U.S. Treasuries (including strips) UNITED STATES TREAS NTS 2021-11-15 2.000000 24471100.00 24636381.32 U.S. Treasuries (including strips) UNITED STATES TREASURY 2021-10-31 2.000000 264850000.00 266972209.40 U.S. Treasuries (including strips) UNITED STATES TREASURY 2020-04-15 0.125000 25996000.00 27268345.76 U.S. Treasuries (including strips) 1 1/2 NOTE J 19 2019-03-31 1.500000 2196400.00 2217829.57 U.S. Treasuries (including strips) NOTE 07/31/19 0.8750 2019-07-31 0.875000 9890000.00 9772556.25 U.S. Treasuries (including strips) 3 5/8 NOTE E 19 2019-08-15 3.625000 11185400.00 11997296.94 U.S. Treasuries (including strips) Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-02-07 2017-02-07 2017-03-31 Y BANK OF MONTREAL 1.0000 7 N Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 N N 0.0054 500000000.00 500000000.00 0.0099 N N Y N BNP PARIBAS SA TRI-PARTY BNP PARIBAS 0.520000% R0MUWSFPU8MPRO8K5P83 0000310732 BRT827YB3 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 2017-12-15 1.000000 100.00 100.27 U.S. Treasuries (including strips) UNITED STATES TREASURY 2046-02-15 1.000000 72300.00 75184.88 U.S. Treasuries (including strips) UNITED STATES TREASURY 2020-10-31 1.750000 1627000.00 1636779.10 U.S. Treasuries (including strips) UNITED STATES TREASURY 2018-02-28 0.750000 1723700.00 1725932.00 U.S. Treasuries (including strips) TINT 05/15/21 2021-05-15 0.00 69.92 64.31 U.S. Treasuries (including strips) NOTE 09/30/17 1.8750 2017-09-30 1.875000 400.00 405.47 U.S. Treasuries (including strips) UNITED STATES TREAS SEC STRIPPED INT PMT 2019-05-15 0.00 911.67 883.38 U.S. Treasuries (including strips) UNITED STATES TREAS BDS 2029-08-15 6.125000 2200.00 3090.32 U.S. Treasuries (including strips) UNITED STATES TREAS SEC STRIPPED INT PMT 2020-05-15 0.00 212144.12 200845.32 U.S. Treasuries (including strips) 0 3/8 TRIN D 25 2025-07-15 0.375000 456700.00 466453.86 U.S. Treasuries (including strips) 3 TPRN 45 2045-11-15 0.00 3295000.00 1322645.95 U.S. Treasuries (including strips) TINT 02/15/27 2027-02-15 0.00 25570949.59 19514214.47 U.S. Treasuries (including strips) UNITED STATES TREAS BDS 2042-02-15 0.750000 60066400.00 61618949.45 U.S. Treasuries (including strips) UNITED STATES TREASURY 2024-01-15 0.625000 87513800.00 92954451.20 U.S. Treasuries (including strips) Y Fitch, Inc. F1 Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-02-07 2017-02-07 2017-02-10 Y BNP PARIBAS SA 1.0000 7 N Fitch, Inc. A+ Moody's Investors Service, Inc. A1 Standard and Poor's Ratings Services A N N 0.0052 176000000.00 176000000.00 0.0035 N N Y N HSBC SECURITIES (USA) INC TRI-PARTY HSBC SECURITIES (USA) IN 0.510000% CYYGQCGNHMHPSMRL3R97 0000853784 BRT885BY6 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 2044-11-15 0.00 14301000.00 5977388.99 U.S. Treasuries (including strips) 3 TPRN 45 2045-11-15 0.00 65585000.00 26510769.67 U.S. Treasuries (including strips) TPRN 11/15/42 2.7500 2042-11-15 0.00 199270000.00 88892356.85 U.S. Treasuries (including strips) Y Fitch, Inc. NR Moody's Investors Service, Inc. NR Standard and Poor's Ratings Services A-1+ 2017-02-01 2017-02-01 2017-02-01 N N N 0.0051 119000000.00 119000000.00 0.0024 N Y Y N CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK SA TRI-PARTY CREDIT AGRICOLE CORPORAT 0.530000% 1VUV7VQFKUOQSJ21A208 0001330437 BRT88VDC5 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 2044-08-15 0.00 30393500.00 12730621.41 U.S. Treasuries (including strips) UNITED STATES TREASURY 2025-01-15 0.250000 183198000.00 185149455.82 U.S. Treasuries (including strips) Y Fitch, Inc. F1 Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-02-02 2017-02-02 2017-02-02 N N N 0.0053 194000000.00 194000000.00 0.0038 N N Y N CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK SA TRI-PARTY CREDIT AGRICOLE CORPORAT 0.620000% 1VUV7VQFKUOQSJ21A208 0001330437 BRT891E39 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 2020-08-31 1.375000 120904900.00 120417346.64 U.S. Treasuries (including strips) UNITED STATES TREASURY 2019-05-31 1.500000 133703600.00 134582693.82 U.S. Treasuries (including strips) Y Fitch, Inc. F1 Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-04-21 2017-04-21 2017-04-21 N N N 0.0062 250000000.00 250000000.00 0.0050 N N N Y SOCIETE GENERALE SA TRI-PARTY SOCIETE GENERALE 0.520000% O2RNE8IBXP4R0TD8PU41 0000865845 BRT8ATZ66 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 2023-05-31 1.625000 2452900.00 2374605.54 U.S. Treasuries (including strips) UNITED STATES TREASURY 2018-02-28 0.750000 39997000.00 40048791.70 U.S. Treasuries (including strips) UNITED STATES TREASURY 2023-05-15 1.750000 41767000.00 40799984.35 U.S. Treasuries (including strips) UNITED STATES TREAS NTS 2020-08-15 2.625000 52779600.00 55180703.77 U.S. Treasuries (including strips) NOTE 02/15/22 2.0000 2022-02-15 2.000000 1254100.00 1267186.27 U.S. Treasuries (including strips) 2 3/8 NOTE E 24 2024-08-15 2.375000 44859100.00 45458728.42 U.S. Treasuries (including strips) Y Fitch, Inc. F1 Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-02-06 2017-02-06 2017-02-06 N N N 0.0052 181500000.00 181500000.00 0.0036 N N Y N MERRILL LYNCH PIERCE FENNER & SMITH INC TRI-PARTY MERRILL LYNCH, PIERCE, F 0.540000% 8NAV47T0Y26Q87Y0QP81 0000728612 BRT8BNKR8 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N TINT 11/15/24 2024-11-15 0.00 20785571.96 17137288.37 U.S. Treasuries (including strips) 1 1/2 NOTE J 23 2023-03-31 1.500000 149465200.00 144274076.51 U.S. Treasuries (including strips) UNITED STATES TREASURY 2024-01-15 0.625000 371399100.00 394488635.13 U.S. Treasuries (including strips) Y Fitch, Inc. F1 Moody's Investors Service, Inc. NR Standard and Poor's Ratings Services A-1 2017-02-01 2017-02-01 2017-02-01 N N N 0.0054 545000000.00 545000000.00 0.0108 N Y Y N MORGAN STANLEY & CO LLC TRI-PARTY MORGAN STANLEY & CO LLC 0.500000% 9R7GPTSO7KV3UQJZQ078 0001359291 BRT8BNKU1 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREAS BDS 2021-02-15 7.875000 1028600.00 1308806.15 U.S. Treasuries (including strips) UNITED STATES TREAS BDS 2021-02-15 7.875000 13000.00 16541.40 U.S. Treasuries (including strips) 2 1/4 NOTE G 24 2024-01-31 2.250000 64416000.00 64285171.10 U.S. Treasuries (including strips) UNITED STATES TREASURY 2045-11-15 3.000000 52140000.00 51584720.23 U.S. Treasuries (including strips) UNITED STATES TREASURY 2020-03-31 1.125000 21489300.00 21301515.99 U.S. Treasuries (including strips) UNITED STATES TREASURY 2026-05-15 1.625000 100.00 93.29 U.S. Treasuries (including strips) UNITED STATES TREASURY 2019-11-30 1.500000 79461100.00 79781721.17 U.S. Treasuries (including strips) 1 NOTE AM 18 2018-05-15 1.000000 191.90 192.37 U.S. Treasuries (including strips) 1 3/8 NOTE P 23 2023-08-31 1.375000 1300.00 1238.29 U.S. Treasuries (including strips) Y Fitch, Inc. NR Moody's Investors Service, Inc. NR Standard and Poor's Ratings Services A-1 2017-02-01 2017-02-01 2017-02-01 N N N 0.0050 214000000.00 214000000.00 0.0042 N Y Y N MERRILL LYNCH PIERCE FENNER & SMITH INC TRI-PARTY MERRILL LYNCH, PIERCE, F 0.540000% 8NAV47T0Y26Q87Y0QP81 0000728612 BRT8BNKV9 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N 1 7/8 NOTE U 22 2022-01-31 1.875000 10232000.00 10200025.00 U.S. Treasuries (including strips) Y Fitch, Inc. F1 Moody's Investors Service, Inc. NR Standard and Poor's Ratings Services A-1 2017-02-01 2017-02-01 2017-02-01 N N N 0.0054 10000000.00 10000000.00 0.0002 N Y Y N CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK SA TRI-PARTY CREDIT AGRICOLE CORPORAT 0.540000% 1VUV7VQFKUOQSJ21A208 0001330437 BRT8BNKW7 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N 2 1/4 NOTE G 24 2024-01-31 2.250000 230747272.00 230278623.99 U.S. Treasuries (including strips) UNITED STATES TREASURY 2020-07-31 2.000000 32598422.00 33000686.66 U.S. Treasuries (including strips) UNITED STATES TREAS BDS 2031-02-15 5.375000 169774054.00 229565777.60 U.S. Treasuries (including strips) NOTY 11/15/18 3.7500 2018-11-15 3.750000 205272846.00 216307805.13 U.S. Treasuries (including strips) 1 1/2 NOTE E 26 2026-08-15 1.500000 220656309.00 203747104.68 U.S. Treasuries (including strips) Y Fitch, Inc. F1 Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-02-01 2017-02-01 2017-02-01 N N N 0.0054 895000000.00 895000000.00 0.0177 N Y Y N CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK SA TRI-PARTY CREDIT AGRICOLE CORPORAT 0.540000% 1VUV7VQFKUOQSJ21A208 0001330437 BRT8BNKX5 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 2026-01-15 0.625000 629887600.00 651181839.44 U.S. Treasuries (including strips) UNITED STATES TREASURY 2021-05-31 1.375000 23830700.00 23420145.49 U.S. Treasuries (including strips) UNITED STATES TREASURY 2025-11-15 2.250000 629289500.00 621974583.22 U.S. Treasuries (including strips) UNITED STATES TREASURY 2021-03-31 2.250000 28698600.00 29423498.57 U.S. Treasuries (including strips) Y Fitch, Inc. F1 Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-02-01 2017-02-01 2017-02-01 N N N 0.0054 1300000000.00 1300000000.00 0.0257 N Y Y N MERRILL LYNCH PIERCE FENNER & SMITH INC TRI-PARTY MERRILL LYNCH, PIERCE, F 0.540000% 8NAV47T0Y26Q87Y0QP81 0000728612 BRT8BNKZ0 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 2023-02-28 1.500000 114964700.00 111274307.72 U.S. Treasuries (including strips) UNITED STATES TREASURY 2021-11-30 1.750000 120740900.00 120175925.46 U.S. Treasuries (including strips) UNITED STATES TREASURY 2044-11-15 0.00 204859700.00 85002435.32 U.S. Treasuries (including strips) UNITED STATES TREAS BDS 2029-04-15 3.875000 47528800.00 97186669.32 U.S. Treasuries (including strips) BOND 02/15/40 4.6250 2040-02-15 4.625000 74455300.00 96360705.19 U.S. Treasuries (including strips) Y Fitch, Inc. F1 Moody's Investors Service, Inc. NR Standard and Poor's Ratings Services A-1 2017-02-01 2017-02-01 2017-02-01 N N N 0.0054 500000000.00 500000000.00 0.0099 N Y Y N RBC CAPITAL MARKETS LLC TRI-PARTY RBC CAPITAL MARKETS, LLC 0.520000% 549300LCO2FLSSVFFR64 0000050916 BRT8BNL14 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 2019-02-28 1.500000 24206000.00 24478554.21 U.S. Treasuries (including strips) 3 5/8 NOTE E 19 2019-08-15 3.625000 6658200.00 7141488.23 U.S. Treasuries (including strips) Y Fitch, Inc. NR Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-02-01 2017-02-01 2017-02-01 N N N 0.0052 31000000.00 31000000.00 0.0006 N Y Y N MUFG SECURITIES AMERICAS INC TRI-PARTY MUFG SECURITIES AMERICAS 0.520000% K5HU16E3LMSVCCJJJ255 0000067088 BRT8BNL30 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N BILL 01/04/18 2018-01-04 0.00 5000000.00 4963745.00 U.S. Treasuries (including strips) 2 1/4 NOTE G 24 2024-01-31 2.250000 13204000.00 13177182.68 U.S. Treasuries (including strips) 2 1/4 NOTE T 23 2023-12-31 2.250000 5000000.00 5002433.98 U.S. Treasuries (including strips) UNITED STATES TREASURY 2019-01-31 1.125000 24454000.00 24408148.75 U.S. Treasuries (including strips) 1 7/8 NOTE U 22 2022-01-31 1.875000 6279000.00 6259378.12 U.S. Treasuries (including strips) 2 NOTE AG 21 2021-12-31 2.000000 699000.00 702329.13 U.S. Treasuries (including strips) 1 1/4 NOTE BL 18 2018-12-31 1.250000 13160000.00 13186431.10 U.S. Treasuries (including strips) UNITED STATES TREASURY 2044-02-15 3.625000 585200.00 655747.86 U.S. Treasuries (including strips) UNITED STATES TREASURY 2045-05-15 3.000000 25939900.00 25679858.09 U.S. Treasuries (including strips) UNITED STATES TREASURY 2046-08-15 2.250000 909000.00 769970.16 U.S. Treasuries (including strips) UNITED STATES TREASURY 2043-11-15 3.750000 13450700.00 15289767.39 U.S. Treasuries (including strips) UNITED STATES TREAS NTS 2023-01-15 0.125000 100.00 104.72 U.S. Treasuries (including strips) UNITED STATES TREASURY 2021-01-31 1.375000 35414400.00 34865122.66 U.S. Treasuries (including strips) UNITED STATES TREASURY 2025-02-15 2.000000 3070500.00 3009350.33 U.S. Treasuries (including strips) UNITED STATES TREASURY 2018-02-28 0.750000 13395500.00 13412845.69 U.S. Treasuries (including strips) UNITED STATES TREASURY 2021-02-28 2.000000 2460000.00 2501551.96 U.S. Treasuries (including strips) UNITED STATES TREASURY 2020-03-31 1.375000 168684600.00 168572305.18 U.S. Treasuries (including strips) UNITED STATES TREASURY 2018-04-15 0.125000 7000000.00 7405890.51 U.S. Treasuries (including strips) UNITED STATES TREASURY 2021-04-30 1.375000 16302800.00 16056048.57 U.S. Treasuries (including strips) UNITED STATES TREASURY 2023-04-30 1.625000 15793400.00 15327492.08 U.S. Treasuries (including strips) UNITED STATES TREASURY 2026-05-15 1.625000 5810000.00 5420419.12 U.S. Treasuries (including strips) UNITED STATES TREASURY 2020-06-30 1.625000 8100.00 8113.46 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-07-31 0.625000 24941900.00 24937909.30 U.S. Treasuries (including strips) UNITED STATES TREASURY 2019-09-15 0.875000 500.00 495.03 U.S. Treasuries (including strips) UNITED STATES TREASURY 2019-09-30 1.750000 281200.00 285345.86 U.S. Treasuries (including strips) UNITED STATES TREASURY 2018-11-15 1.250000 25954300.00 26063874.90 U.S. Treasuries (including strips) UNITED STATES TREASURY 2019-11-15 1.000000 167000.00 165384.62 U.S. Treasuries (including strips) UNITED STATES TREAS NTS 2020-11-15 2.625000 200.00 207.74 U.S. Treasuries (including strips) UNITED STATES TREASURY 2019-11-30 1.500000 11886000.00 11933959.36 U.S. Treasuries (including strips) UNITED STATES TREASURY 2021-11-30 1.750000 13536000.00 13472661.93 U.S. Treasuries (including strips) UNITED STATES TREASURY 2023-11-30 2.125000 8550000.00 8509810.77 U.S. Treasuries (including strips) UNITED STATES TREASURY 2020-12-31 1.750000 27052100.00 27087500.89 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-06-08 0.00 200.00 199.63 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-07-13 0.00 37769400.00 37666176.23 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-07-20 0.00 100.00 99.71 U.S. Treasuries (including strips) UNITED STATES TREAS BD STRIPPED PRIN PMT 2041-08-15 0.00 300.00 139.01 U.S. Treasuries (including strips) UNITED STATES TREAS BDS 2042-02-15 3.125000 100000.00 102622.62 U.S. Treasuries (including strips) UNITED STATES TREAS BDS 2029-04-15 3.875000 25000000.00 51119883.80 U.S. Treasuries (including strips) UNITED STATES TREAS BDS 2042-08-15 2.750000 10685800.00 10207985.27 U.S. Treasuries (including strips) TRIN 01/15/19 2.1250 2019-01-15 2.125000 8613100.00 10270361.83 U.S. Treasuries (including strips) TRIN 01/15/22 0.1250 2022-01-15 0.125000 22995400.00 24793808.65 U.S. Treasuries (including strips) UNITED STATES TREASURY 2024-01-15 0.625000 7302500.00 7756489.60 U.S. Treasuries (including strips) NOTE 02/15/22 2.0000 2022-02-15 2.000000 20888100.00 21106062.78 U.S. Treasuries (including strips) NOTE 2020-04-30 1.375000 11587000.00 11555071.73 U.S. Treasuries (including strips) 1 1/8 NOTE L 19 2019-05-31 1.125000 243600.00 242925.04 U.S. Treasuries (including strips) TRIN 07/15/18 1.3750 2018-07-15 1.375000 8677900.00 10115922.98 U.S. Treasuries (including strips) 0 3/8 TRIN D 25 2025-07-15 0.375000 11783100.00 12034754.64 U.S. Treasuries (including strips) NOTE 08/15/21 2.1250 2021-08-15 2.125000 12468900.00 12713275.87 U.S. Treasuries (including strips) NOTE 08/15/22 1.6250 2022-08-15 1.625000 200.00 196.79 U.S. Treasuries (including strips) NOTE 2022-08-31 1.875000 333879500.00 332729192.89 U.S. Treasuries (including strips) NOTE 09/30/18 1.3750 2018-09-30 1.375000 10193000.00 10283781.83 U.S. Treasuries (including strips) NOTE 11/30/17 2.2500 2017-11-30 2.250000 16371100.00 16623139.92 U.S. Treasuries (including strips) 1 3/8 NOTE AU 19 2019-12-15 1.375000 7450000.00 7446613.32 U.S. Treasuries (including strips) Y Fitch, Inc. F1 Moody's Investors Service, Inc. NR Standard and Poor's Ratings Services A-1 2017-02-01 2017-02-01 2017-02-01 N N N 0.0052 1045000000.00 1045000000.00 0.0207 N Y Y N GOLDMAN SACHS & CO TRI-PARTY GOLDMAN SACHS & CO. 0.500000% FOR8UP27PHTHYVLBNG30 0000769993 BRT8BNL48 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 2018-07-31 1.375000 24362000.00 24480009.53 U.S. Treasuries (including strips) Y Fitch, Inc. F1 Moody's Investors Service, Inc. NR Standard and Poor's Ratings Services A-1 2017-02-01 2017-02-01 2017-02-01 N N N 0.0050 24000000.00 24000000.00 0.0005 N Y Y N CITIGROUP GLOBAL MARKETS INC TRI-PARTY CITIGROUP GLOBAL MARKETS 0.540000% MBNUM2BPBDO7JBLYG310 0000315030 BRT8BNL55 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N 1 7/8 NOTE U 22 2022-01-31 1.875000 83743965.00 83482264.64 U.S. Treasuries (including strips) UNITED STATES TREASURY 2022-11-30 2.000000 85894.00 85542.52 U.S. Treasuries (including strips) UNITED STATES TREASURY 2044-11-15 3.000000 36212894.00 35878149.85 U.S. Treasuries (including strips) UNITED STATES TREASURY 2043-05-15 2.875000 244974552.00 237554109.45 U.S. Treasuries (including strips) Y Fitch, Inc. F1 Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-02-01 2017-02-01 2017-02-01 N N N 0.0054 350000000.00 350000000.00 0.0069 N Y Y N CITIGROUP GLOBAL MARKETS INC TRI-PARTY CITIGROUP GLOBAL MARKETS 0.540000% MBNUM2BPBDO7JBLYG310 0000315030 BRT8BNL63 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 2019-01-31 1.125000 10219200.00 10200039.00 U.S. Treasuries (including strips) Y Fitch, Inc. F1 Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-02-01 2017-02-01 2017-02-01 N N N 0.0054 10000000.00 10000000.00 0.0002 N Y Y N BANK OF NOVA SCOTIA TRI-PARTY THE BANK OF NOVA SCOTIA 0.540000% L3I9ZG2KFGXZ61BMYR72 0001041839 BRT8BNL71 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 2044-11-15 3.000000 2700000.00 2675041.78 U.S. Treasuries (including strips) UNITED STATES TREASURY 2019-07-31 1.625000 8966800.00 9021443.68 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-05-31 0.625000 3770200.00 3774213.61 U.S. Treasuries (including strips) UNITED STATES TREASURY 2042-11-15 2.750000 109042000.00 103341769.21 U.S. Treasuries (including strips) UNITED STATES TREAS BDS 2030-05-15 6.250000 21500.00 30580.68 U.S. Treasuries (including strips) UNITED STATES TREAS BDS 2039-11-15 4.375000 2336300.00 2895110.11 U.S. Treasuries (including strips) UNITED STATES TREASURY 2019-04-15 0.125000 9898700.00 10385397.55 U.S. Treasuries (including strips) TRIN 01/15/20 1.3750 2020-01-15 1.375000 12932800.00 15273818.41 U.S. Treasuries (including strips) 2 7/8 BOND 46 2046-11-15 2.875000 16161800.00 15624263.89 U.S. Treasuries (including strips) UNITED STATES TREAS BDS 2028-04-15 3.625000 35986200.00 71851254.41 U.S. Treasuries (including strips) Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-02-01 2017-02-01 2017-02-01 N N N 0.0054 230264000.00 230264000.00 0.0046 N Y Y N WELLS FARGO SECURITIES LLC TRI-PARTY WELLS FARGO SECURITIES L 0.540000% VYVVCKR63DVZZN70PB21 0000276523 BRT8BNL97 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 2019-01-31 1.125000 55610100.00 55505831.06 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-04-30 0.00 99373200.00 99532544.81 U.S. Treasuries (including strips) 0 3/4 TRIB 45 2045-02-15 0.750000 310475400.00 303961658.70 U.S. Treasuries (including strips) Y Fitch, Inc. NR Moody's Investors Service, Inc. NR Standard and Poor's Ratings Services A-1+ 2017-02-01 2017-02-01 2017-02-01 N N N 0.0054 450000000.00 450000000.00 0.0089 N Y Y N WELLS FARGO SECURITIES LLC TRI-PARTY WELLS FARGO SECURITIES L 0.540000% VYVVCKR63DVZZN70PB21 0000276523 BRT8BNLA4 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 2019-01-31 1.125000 19316371.00 19280153.01 U.S. Treasuries (including strips) UNITED STATES TREASURY 2021-08-31 2.000000 45820342.00 46400979.47 U.S. Treasuries (including strips) UNITED STATES TREASURY 2026-05-15 1.625000 46948535.00 43800471.17 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-12-31 1.000000 53307628.00 53415648.05 U.S. Treasuries (including strips) UNITED STATES TREASURY 2019-09-30 1.000000 62597440.00 62143866.25 U.S. Treasuries (including strips) UNITED STATES TREAS NTS 2018-05-15 3.875000 70269418.00 73461786.23 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-04-30 0.579645 38614002.00 38675919.43 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-03-02 0.00 47115297.00 47096215.37 U.S. Treasuries (including strips) 2 1/2 BOND 46 2046-05-15 2.500000 55269792.00 49224972.59 U.S. Treasuries (including strips) Y Fitch, Inc. NR Moody's Investors Service, Inc. NR Standard and Poor's Ratings Services A-1+ 2017-02-01 2017-02-01 2017-02-01 N N N 0.0054 425000000.00 425000000.00 0.0084 N Y Y N HSBC SECURITIES (USA) INC TRI-PARTY HSBC SECURITIES (USA) IN 0.520000% CYYGQCGNHMHPSMRL3R97 0000853784 BRT8BNLB2 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 2044-11-15 0.00 177875000.00 74346414.05 U.S. Treasuries (including strips) TPRN 08/15/42 2.7500 2042-08-15 0.00 161300000.00 72534999.28 U.S. Treasuries (including strips) Y Fitch, Inc. NR Moody's Investors Service, Inc. NR Standard and Poor's Ratings Services A-1+ 2017-02-01 2017-02-01 2017-02-01 N N N 0.0052 144000000.00 144000000.00 0.0029 N Y Y N HSBC SECURITIES (USA) INC TRI-PARTY HSBC SECURITIES (USA) IN 0.520000% CYYGQCGNHMHPSMRL3R97 0000853784 BRT8BNLC0 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 2044-05-15 0.00 43667200.00 18606157.34 U.S. Treasuries (including strips) UNITED STATES TREASURY 2044-08-15 0.00 49312000.00 20803746.89 U.S. Treasuries (including strips) UNITED STATES TREASURY 2046-05-15 0.00 51040000.00 20336377.77 U.S. Treasuries (including strips) UNITED STATES TREASURY 2043-05-15 0.00 77520000.00 34011899.91 U.S. Treasuries (including strips) UNITED STATES TREASURY 2043-08-15 0.00 56550000.00 24758154.03 U.S. Treasuries (including strips) 3 1/8 TPRN C 19 2019-05-15 0.00 24365000.00 23630151.36 U.S. Treasuries (including strips) UNITED STATES TREAS BD STRIPPED PRIN PMT 2042-02-15 0.00 50940000.00 23344783.05 U.S. Treasuries (including strips) UNITED STATES TREAS BD STRIPPED PRIN PMT 2041-11-15 0.00 54116600.00 25012153.09 U.S. Treasuries (including strips) UNITED STATES TREAS BD STRIPPED PRIN PMT 2041-02-15 0.00 73221000.00 34916898.30 U.S. Treasuries (including strips) Y Fitch, Inc. NR Moody's Investors Service, Inc. NR Standard and Poor's Ratings Services A-1+ 2017-02-01 2017-02-01 2017-02-01 N N N 0.0052 221000000.00 221000000.00 0.0044 N Y Y N NOMURA SECURITIES INTERNATIONAL INC TRI-PARTY NOMURA SECURITIES INTERN 0.560000% OXTKY6Q8X53C9ILVV871 0000072267 BRT8BNLE6 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N 2 1/4 NOTE T 23 2023-12-31 2.250000 21873200.00 21883847.78 U.S. Treasuries (including strips) UNITED STATES TREASURY 2044-02-15 3.625000 17162000.00 19230937.77 U.S. Treasuries (including strips) UNITED STATES TREASURY 2045-08-15 2.875000 26761000.00 26018813.77 U.S. Treasuries (including strips) UNITED STATES TREASURY 2022-01-31 1.500000 88900000.00 86941533.00 U.S. Treasuries (including strips) UNITED STATES TREAS NTS 2021-02-15 3.625000 75700000.00 82424841.18 U.S. Treasuries (including strips) UNITED STATES TREAS NTS 2023-02-15 2.000000 86300000.00 86300412.74 U.S. Treasuries (including strips) UNITED STATES TREASURY 2022-02-28 1.750000 80800000.00 80478933.83 U.S. Treasuries (including strips) UNITED STATES TREASURY 2023-02-28 1.500000 50000000.00 48394988.95 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-04-15 0.875000 6008300.00 6027653.66 U.S. Treasuries (including strips) UNITED STATES TREAS NTS 2020-04-30 1.125000 9457200.00 9355337.60 U.S. Treasuries (including strips) UNITED STATES TREAS NTS 2020-05-15 3.500000 38393700.00 41019166.84 U.S. Treasuries (including strips) UNITED STATES TREAS NTS 2022-05-15 1.750000 5037800.00 4986879.81 U.S. Treasuries (including strips) UNITED STATES TREASURY 2022-06-30 2.125000 29648300.00 29813433.66 U.S. Treasuries (including strips) UNITED STATES TREASURY 2020-07-31 1.625000 758000.00 757526.25 U.S. Treasuries (including strips) UNITED STATES TREASURY 2023-07-31 1.250000 100.00 94.08 U.S. Treasuries (including strips) UNITED STATES TREASURY 2018-09-15 1.000000 10822500.00 10845575.24 U.S. Treasuries (including strips) UNITED STATES TREASURY 2022-09-30 1.750000 15375800.00 15173630.70 U.S. Treasuries (including strips) UNITED STATES TREASURY 2019-10-31 1.500000 85000000.00 85483408.15 U.S. Treasuries (including strips) UNITED STATES TREASURY 2019-11-15 1.000000 94086000.00 93175912.88 U.S. Treasuries (including strips) UNITED STATES TREASURY 2018-11-30 1.250000 69114500.00 69350810.83 U.S. Treasuries (including strips) UNITED STATES TREASURY 2022-11-30 2.000000 77090000.00 76774439.29 U.S. Treasuries (including strips) UNITED STATES TREASURY 2023-11-30 2.125000 5892100.00 5864404.22 U.S. Treasuries (including strips) UNITED STATES TREASURY 2021-12-31 2.125000 40180000.00 40590629.61 U.S. Treasuries (including strips) UNITED STATES TREASURY 2045-02-15 0.00 20000.32 8143.93 U.S. Treasuries (including strips) UNITED STATES TREASURY 2045-05-15 0.00 51.20 20.65 U.S. Treasuries (including strips) UNITED STATES TREASURY 2046-05-15 0.00 0.64 0.25 U.S. Treasuries (including strips) UNITED STATES TREASURY 2045-08-15 0.00 9011.28 3604.78 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-05-11 0.00 30188000.00 30145434.92 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-05-25 0.00 1768800.00 1765863.79 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-06-22 0.00 17902200.00 17863799.78 U.S. Treasuries (including strips) UNITED STATES TREASURY 2042-11-15 2.750000 11559000.00 10954746.89 U.S. Treasuries (including strips) UNITED STATES TREAS NTS 2018-01-31 2.625000 74425000.00 75692532.18 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-05-15 4.500000 5000.00 5102.56 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-07-15 0.875000 4064900.00 4070284.94 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-07-31 0.500000 1890800.00 1889323.29 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-08-15 0.875000 85055000.00 85489830.28 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-03-23 0.00 4285600.00 4282690.08 U.S. Treasuries (including strips) BILL 06/29/17 2017-06-29 0.00 24600.00 24543.62 U.S. Treasuries (including strips) TPRX 02/15/27 6.6250 2027-02-15 0.00 200.00 154.68 U.S. Treasuries (including strips) TPRX 05/15/18 9.1250 2018-05-15 0.00 100.00 98.75 U.S. Treasuries (including strips) BOND 02/15/39 3.5000 2039-02-15 3.500000 9995200.00 11046059.04 U.S. Treasuries (including strips) UNITED STATES TREAS BDS 2023-08-15 6.250000 25000000.00 31912886.14 U.S. Treasuries (including strips) UNITED STATES TREAS BDS 2028-11-15 5.250000 2659000.00 3405376.32 U.S. Treasuries (including strips) UNITED STATES TREAS BDS 2040-11-15 4.250000 29089200.00 35448391.62 U.S. Treasuries (including strips) UNITED STATES TREAS NT STRIPPED PRIN PMT 2017-11-15 0.00 100.00 99.04 U.S. Treasuries (including strips) NOTE 01/31/19 1.2500 2019-01-31 1.250000 2991000.00 2992402.78 U.S. Treasuries (including strips) NOTE 02/15/22 2.0000 2022-02-15 2.000000 28442300.00 28739089.22 U.S. Treasuries (including strips) 1 1/8 NOTE V 21 2021-02-28 1.125000 56498100.00 55274624.28 U.S. Treasuries (including strips) NOTE 02/29/20 1.2500 2020-02-29 1.250000 5454800.00 5440580.15 U.S. Treasuries (including strips) 1 NOTE AM 18 2018-05-15 1.000000 36347800.00 36436382.20 U.S. Treasuries (including strips) NOTY 08/15/18 4.0000 2018-08-15 4.000000 73045000.00 77708088.00 U.S. Treasuries (including strips) NOTE 08/15/22 1.6250 2022-08-15 1.625000 41103000.00 40442994.16 U.S. Treasuries (including strips) 1 3/8 NOTE P 23 2023-08-31 1.375000 77500000.00 73821188.47 U.S. Treasuries (including strips) 1 1/4 NOTE AE 21 2021-10-31 1.250000 90300000.00 87857095.64 U.S. Treasuries (including strips) NOTY 11/15/18 3.7500 2018-11-15 3.750000 11261400.00 11866784.93 U.S. Treasuries (including strips) NOTE 11/30/17 2.2500 2017-11-30 2.250000 50154900.00 50927055.63 U.S. Treasuries (including strips) TINT 08/15/24 2024-08-15 0.00 40.82 33.84 U.S. Treasuries (including strips) TINT 08/15/25 2025-08-15 0.00 6027570.03 4843815.55 U.S. Treasuries (including strips) TINT 08/15/26 2026-08-15 0.00 952687.50 739018.75 U.S. Treasuries (including strips) TINT 02/15/46 2046-02-15 0.00 1905873.92 754097.13 U.S. Treasuries (including strips) TINT 08/15/46 2046-08-15 0.00 3206241.29 1254634.28 U.S. Treasuries (including strips) Y Fitch, Inc. NR Moody's Investors Service, Inc. NR Standard and Poor's Ratings Services NR 2017-02-01 2017-02-01 2017-02-01 N N N 0.0056 1700000000.00 1700000000.00 0.0337 N Y Y N TD SECURITIES (USA) LLC TRI-PARTY TD SECURITIES (USA) LLC 0.530000% SUVUFHICNZMP2WKHG940 0000803012 BRT8BNLF3 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 2021-11-30 1.875000 5948000.00 5950270.24 U.S. Treasuries (including strips) UNITED STATES TREASURY 2021-12-31 2.125000 6465300.00 6531373.76 U.S. Treasuries (including strips) UNITED STATES TREASURY 2018-03-15 1.000000 6622000.00 6651382.84 U.S. Treasuries (including strips) UNITED STATES TREASURY 2020-09-30 2.000000 7106000.00 7233966.57 U.S. Treasuries (including strips) UNITED STATES TREASURY 2023-01-31 1.750000 7640000.00 7462133.16 U.S. Treasuries (including strips) UNITED STATES TREAS NTS 2017-04-30 0.875000 7669600.00 7692645.29 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-07-31 0.625000 8240400.00 8239081.54 U.S. Treasuries (including strips) UNITED STATES TREASURY 2021-01-31 2.125000 8313000.00 8424710.09 U.S. Treasuries (including strips) UNITED STATES TREASURY 2044-11-15 3.000000 8570600.00 8491375.23 U.S. Treasuries (including strips) UNITED STATES TREASURY 2018-08-15 1.000000 9000000.00 9032898.52 U.S. Treasuries (including strips) UNITED STATES TREASURY 2018-11-15 1.250000 9009600.00 9047637.08 U.S. Treasuries (including strips) UNITED STATES TREASURY 2023-11-15 2.750000 9197100.00 9533616.80 U.S. Treasuries (including strips) UNITED STATES TREASURY 2020-05-31 1.500000 9654200.00 9647190.52 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-12-31 1.000000 10001000.00 10021265.56 U.S. Treasuries (including strips) UNITED STATES TREASURY 2024-05-15 2.500000 10185400.00 10370068.22 U.S. Treasuries (including strips) UNITED STATES TREASURY 2019-05-15 0.875000 10745500.00 10659333.85 U.S. Treasuries (including strips) UNITED STATES TREASURY 2019-01-15 1.125000 10931400.00 10919345.26 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-11-30 0.875000 607000.00 608092.83 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-02-15 4.625000 6371900.00 6518191.24 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-05-04 0.00 7161000.00 7151461.55 U.S. Treasuries (including strips) UNITED STATES TREASURY 2021-08-31 1.125000 8982000.00 8725427.68 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-02-28 0.500000 10641200.00 10663687.62 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-07-31 0.500000 10882200.00 10873701.00 U.S. Treasuries (including strips) BOND 05/15/37 5.0000 2037-05-15 5.000000 6353000.00 8553268.54 U.S. Treasuries (including strips) NOTE 09/30/17 1.8750 2017-09-30 1.875000 7196600.00 7295048.42 U.S. Treasuries (including strips) NOTE 08/15/22 1.6250 2022-08-15 1.625000 7826100.00 7700433.46 U.S. Treasuries (including strips) NOTE 01/31/19 1.2500 2019-01-31 1.250000 9441300.00 9445727.97 U.S. Treasuries (including strips) NOTY 08/15/18 4.0000 2018-08-15 4.000000 9972000.00 10608598.17 U.S. Treasuries (including strips) NOTE 10/31/19 1.2500 2019-10-31 1.250000 10297000.00 10284301.69 U.S. Treasuries (including strips) 1 1/8 NOTE V 21 2021-02-28 1.125000 10899900.00 10663860.86 U.S. Treasuries (including strips) Y Fitch, Inc. NR Moody's Investors Service, Inc. NR Standard and Poor's Ratings Services A-1+ 2017-02-01 2017-02-01 2017-02-01 N N N 0.0053 250000000.00 250000000.00 0.0050 N Y Y N SOCIETE GENERALE SA TRI-PARTY SOCIETE GENERALE 0.530000% O2RNE8IBXP4R0TD8PU41 0000865845 BRT8BNLH9 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N 2 1/4 NOTE G 24 2024-01-31 2.250000 50081700.00 49979984.07 U.S. Treasuries (including strips) 2 3/8 NOTE E 24 2024-08-15 2.375000 5032800.00 5100073.08 U.S. Treasuries (including strips) Y Fitch, Inc. F1 Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-02-01 2017-02-01 2017-02-01 N N N 0.0053 54000000.00 54000000.00 0.0011 N Y Y N BARCLAYS CAPITAL INC TRI-PARTY BARCLAYS CAPITAL INC. 0.540000% AC28XWWI3WIBK2824319 0001484219 BRT8BNLK2 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 2044-05-15 0.00 100.00 42.32 U.S. Treasuries (including strips) UNITED STATES TREASURY 2043-08-15 3.625000 166481400.00 186577439.46 U.S. Treasuries (including strips) UNITED STATES TREASURY 2022-03-31 1.750000 69153600.00 68692584.87 U.S. Treasuries (including strips) UNITED STATES TREASURY 2025-05-15 2.125000 210931600.00 207205077.25 U.S. Treasuries (including strips) UNITED STATES TREASURY 2020-05-31 1.375000 173317300.00 172477583.40 U.S. Treasuries (including strips) UNITED STATES TREASURY 2026-11-15 0.00 0.01 0.01 U.S. Treasuries (including strips) UNITED STATES TREASURY 2045-05-15 0.00 10.24 4.13 U.S. Treasuries (including strips) UNITED STATES TREASURY 2046-05-15 0.00 0.01 0.00 U.S. Treasuries (including strips) UNITED STATES TREASURY 2044-11-15 0.00 90.39 37.10 U.S. Treasuries (including strips) TINT 05/15/35 2035-05-15 0.00 2.56 1.47 U.S. Treasuries (including strips) UNITED STATES TREAS SEC STRIPPED INT PMT 2017-02-15 0.00 71.35 71.34 U.S. Treasuries (including strips) TINT 02/15/24 2024-02-15 0.00 67.66 57.13 U.S. Treasuries (including strips) TINT 02/15/29 2029-02-15 0.00 1.60 1.14 U.S. Treasuries (including strips) TINT 02/15/38 2038-02-15 0.00 416400.44 216399.14 U.S. Treasuries (including strips) UNITED STATES TREAS SEC STRIPPED INT PMT 2019-04-15 0.00 3.68 3.84 U.S. Treasuries (including strips) UNITED STATES TREAS SEC STRIPPED INT PMT 2022-04-15 0.00 13.22 14.07 U.S. Treasuries (including strips) UNITED STATES TREAS SEC STRIPPED INT PMT 2024-04-15 0.00 6.97 7.46 U.S. Treasuries (including strips) UNITED STATES TREAS SEC STRIPPED INT PMT 2025-04-15 0.00 47.92 51.54 U.S. Treasuries (including strips) UNITED STATES TREAS SEC STRIPPED INT PMT 2026-04-15 0.00 0.33 0.31 U.S. Treasuries (including strips) UNITED STATES TREAS SEC STRIPPED INT PMT 2027-04-15 0.00 4.52 4.22 U.S. Treasuries (including strips) UNITED STATES TREAS SEC STRIPPED INT PMT 2028-04-15 0.00 37.75 34.82 U.S. Treasuries (including strips) UNITED STATES TREAS SEC STRIPPED INT PMT 2018-05-15 0.00 16.84 16.61 U.S. Treasuries (including strips) UNITED STATES TREAS SEC STRIPPED INT PMT 2019-05-15 0.00 14.29 13.85 U.S. Treasuries (including strips) TINT 05/15/24 2024-05-15 0.00 117.51 98.42 U.S. Treasuries (including strips) TINT 05/15/26 2026-05-15 0.00 34.72 27.14 U.S. Treasuries (including strips) TINT 05/15/29 2029-05-15 0.00 10.62 7.51 U.S. Treasuries (including strips) UNITED STATES TREAS SEC STRIPPED INT PMT 2018-08-15 0.00 25.25 24.81 U.S. Treasuries (including strips) TINT 08/15/19 2019-08-15 0.00 0.50 0.48 U.S. Treasuries (including strips) TINT 08/15/23 2023-08-15 0.00 20.33 17.47 U.S. Treasuries (including strips) TINT 08/15/24 2024-08-15 0.00 128.53 106.54 U.S. Treasuries (including strips) TINT 08/15/25 2025-08-15 0.00 120.02 96.45 U.S. Treasuries (including strips) UNITED STATES TREAS SEC STRIPPED INT PMT 2028-08-15 0.00 0.02 0.01 U.S. Treasuries (including strips) TINT 08/15/32 2032-08-15 0.00 0.81 0.51 U.S. Treasuries (including strips) TINT 08/15/34 2034-08-15 0.00 0.19 0.11 U.S. Treasuries (including strips) TINT 08/15/36 2036-08-15 0.00 0.01 0.01 U.S. Treasuries (including strips) UNITED STATES TREAS SEC STRIPPED INT PMT 2025-10-15 0.00 16.09 17.34 U.S. Treasuries (including strips) UNITED STATES TREAS SEC STRIPPED INT PMT 2026-10-15 0.00 186.51 175.15 U.S. Treasuries (including strips) UNITED STATES TREAS SEC STRIPPED INT PMT 2028-10-15 0.00 0.03 0.03 U.S. Treasuries (including strips) TINT 11/15/17 2017-11-15 0.00 1.36 1.35 U.S. Treasuries (including strips) TINT 11/15/21 2021-11-15 0.00 3.50 3.18 U.S. Treasuries (including strips) TINT 08/15/43 2043-08-15 0.00 5499659.97 2329930.95 U.S. Treasuries (including strips) TINT 08/15/46 2046-08-15 0.00 128.66 50.35 U.S. Treasuries (including strips) TINT 11/15/40 2040-11-15 0.00 4.00 1.87 U.S. Treasuries (including strips) TINT 11/15/45 2045-11-15 0.00 3.30 1.31 U.S. Treasuries (including strips) TINT 11/15/46 2046-11-15 0.00 64.04 24.99 U.S. Treasuries (including strips) Y Fitch, Inc. NR Moody's Investors Service, Inc. NR Standard and Poor's Ratings Services A-2 2017-02-01 2017-02-01 2017-02-01 N N N 0.0054 625000000.00 625000000.00 0.0124 N Y Y N DEUTSCHE BANK SECURITIES INC TRI-PARTY DEUTSCHE BANK SECURITIES 0.530000% 9J6MBOOO7BECTDTUZW19 0001074042 BRT8BNLL0 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 2017-07-06 0.00 51000000.00 50873214.00 U.S. Treasuries (including strips) BILL 01/04/18 2018-01-04 0.00 64716400.00 64247141.38 U.S. Treasuries (including strips) UNITED STATES TREASURY 2021-04-30 1.375000 20800.00 20485.19 U.S. Treasuries (including strips) UNITED STATES TREASURY 2045-11-15 3.000000 32000.00 31659.21 U.S. Treasuries (including strips) UNITED STATES TREASURY 2044-05-15 3.375000 48200.00 51279.88 U.S. Treasuries (including strips) UNITED STATES TREASURY 2020-12-31 1.750000 52600.00 52668.84 U.S. Treasuries (including strips) UNITED STATES TREASURY 2043-05-15 2.875000 85000.00 82425.29 U.S. Treasuries (including strips) UNITED STATES TREAS NTS 2019-11-15 3.375000 284000.00 301147.60 U.S. Treasuries (including strips) UNITED STATES TREAS NTS 2022-11-15 1.625000 429000.00 418852.64 U.S. Treasuries (including strips) UNITED STATES TREASURY 2018-12-15 1.250000 743000.00 745068.52 U.S. Treasuries (including strips) UNITED STATES TREASURY 2021-09-30 1.125000 907900.00 879820.02 U.S. Treasuries (including strips) UNITED STATES TREASURY 2021-01-31 1.375000 1293100.00 1273044.02 U.S. Treasuries (including strips) UNITED STATES TREASURY 2020-10-31 1.750000 1407000.00 1415456.79 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-12-15 1.000000 1900000.00 1905124.70 U.S. Treasuries (including strips) UNITED STATES TREASURY 2023-05-31 1.625000 1928000.00 1866459.89 U.S. Treasuries (including strips) UNITED STATES TREASURY 2020-03-31 1.375000 2150000.00 2148568.73 U.S. Treasuries (including strips) UNITED STATES TREASURY 2018-03-31 0.875000 2730000.00 2735939.75 U.S. Treasuries (including strips) UNITED STATES TREASURY 2043-11-15 3.750000 3083700.00 3505323.57 U.S. Treasuries (including strips) UNITED STATES TREASURY 2018-07-31 1.375000 4136000.00 4156034.78 U.S. Treasuries (including strips) UNITED STATES TREASURY 2018-02-28 0.750000 4448900.00 4454660.83 U.S. Treasuries (including strips) UNITED STATES TREASURY 2026-05-15 1.625000 4830000.00 4506131.55 U.S. Treasuries (including strips) UNITED STATES TREASURY 2023-07-31 1.250000 7526400.00 7080686.59 U.S. Treasuries (including strips) UNITED STATES TREAS NTS 2017-07-31 2.375000 10500000.00 10588599.00 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-11-09 0.00 11022800.00 10960080.27 U.S. Treasuries (including strips) UNITED STATES TREASURY 2026-02-15 1.625000 35398000.00 33239523.26 U.S. Treasuries (including strips) UNITED STATES TREASURY 2018-05-31 1.000000 45985000.00 46068844.30 U.S. Treasuries (including strips) UNITED STATES TREASURY 2020-11-30 1.625000 48329800.00 48267254.33 U.S. Treasuries (including strips) UNITED STATES TREAS NTS 2017-09-30 0.625000 68295000.00 68385897.27 U.S. Treasuries (including strips) TINT 11/15/34 2034-11-15 0.00 556000.00 324270.32 U.S. Treasuries (including strips) TINT 11/15/36 2036-11-15 0.00 1604000.00 869769.00 U.S. Treasuries (including strips) TINT 05/15/30 2030-05-15 0.00 2981000.00 2044369.80 U.S. Treasuries (including strips) TINT 11/15/35 2035-11-15 0.00 5184000.00 2917296.00 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-07-15 0.875000 182000.00 182241.11 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-05-15 0.875000 755000.00 756994.86 U.S. Treasuries (including strips) UNITED STATES TREASURY 2018-01-15 0.875000 1145000.00 1145442.82 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-11-15 0.875000 1900000.00 1904427.36 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-05-31 0.625000 1900000.00 1902022.66 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-05-18 0.00 2500000.00 2496175.00 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-06-30 0.625000 3335000.00 3336784.96 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-08-15 0.875000 9821400.00 9871610.36 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-06-30 2.500000 10220000.00 10320124.15 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-07-31 0.500000 11400000.00 11391096.60 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-08-15 4.750000 13000000.00 13563899.16 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-06-01 0.00 22568400.00 22529356.67 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-05-11 0.00 24757400.00 24722492.07 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-10-31 0.750000 32361000.00 32412585.94 U.S. Treasuries (including strips) NOTE 2020-04-30 1.375000 18800.00 18748.20 U.S. Treasuries (including strips) BOND 08/15/41 3.7500 2041-08-15 3.750000 20000.00 22800.69 U.S. Treasuries (including strips) UNITED STATES TREAS BDS 2040-11-15 4.250000 23000.00 28028.03 U.S. Treasuries (including strips) TINT 02/15/37 2037-02-15 0.00 251000.00 135316.61 U.S. Treasuries (including strips) TINT 05/15/34 2034-05-15 0.00 313000.00 185831.23 U.S. Treasuries (including strips) UNITED STATES TREAS BDS 2020-05-15 8.750000 331000.00 412773.51 U.S. Treasuries (including strips) BOND 02/15/40 4.6250 2040-02-15 4.625000 332500.00 430324.43 U.S. Treasuries (including strips) NOTY 05/15/19 3.1250 2019-05-15 3.125000 634000.00 663871.61 U.S. Treasuries (including strips) 2 7/8 BOND 46 2046-11-15 2.875000 657000.00 635148.40 U.S. Treasuries (including strips) UNITED STATES TREAS BDS 2040-08-15 3.875000 936000.00 1088198.76 U.S. Treasuries (including strips) 4 3/8 TPRN 39 2039-11-15 0.00 957000.00 474691.14 U.S. Treasuries (including strips) TINT 02/15/33 2033-02-15 0.00 1098000.00 682956.00 U.S. Treasuries (including strips) TINT 11/15/32 2032-11-15 0.00 1386000.00 869812.02 U.S. Treasuries (including strips) TPRX 02/15/36 4.5000 2036-02-15 0.00 1752000.00 1036395.60 U.S. Treasuries (including strips) TINT 02/15/28 2028-02-15 0.00 2391000.00 1763577.69 U.S. Treasuries (including strips) NOTE 11/30/17 2.2500 2017-11-30 2.250000 2400000.00 2436949.00 U.S. Treasuries (including strips) BILL 06/29/17 2017-06-29 0.00 6384900.00 6370265.81 U.S. Treasuries (including strips) TPRX 05/15/37 5.0000 2037-05-15 0.00 6702000.00 3757074.18 U.S. Treasuries (including strips) 3 5/8 NOTE E 19 2019-08-15 3.625000 6817000.00 7311814.80 U.S. Treasuries (including strips) NOTE 09/30/17 1.8750 2017-09-30 1.875000 35000000.00 35478794.81 U.S. Treasuries (including strips) NOTE 08/31/18 1.5000 2018-08-31 1.500000 44132000.00 44694496.72 U.S. Treasuries (including strips) 1 1/2 NOTE E 26 2026-08-15 1.500000 44998100.00 41549832.01 U.S. Treasuries (including strips) Y Fitch, Inc. F1 Moody's Investors Service, Inc. NR Standard and Poor's Ratings Services A-2 2017-02-01 2017-02-01 2017-02-01 N N N 0.0053 650000000.00 650000000.00 0.0129 N Y Y N BNP PARIBAS SA TRI-PARTY BNP PARIBAS 0.540000% R0MUWSFPU8MPRO8K5P83 0000310732 BRT8BNLQ9 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N 2 1/4 NOTE G 24 2024-01-31 2.250000 900.00 898.17 U.S. Treasuries (including strips) 2 1/4 NOTE T 23 2023-12-31 2.250000 107499000.00 107551330.04 U.S. Treasuries (including strips) UNITED STATES TREASURY 2024-11-15 2.250000 400.00 398.35 U.S. Treasuries (including strips) UNITED STATES TREASURY 2024-02-15 2.750000 7698600.00 8030402.55 U.S. Treasuries (including strips) UNITED STATES TREASURY 2044-05-15 0.00 21363300.00 9041375.83 U.S. Treasuries (including strips) UNITED STATES TREASURY 2023-01-31 1.750000 27103200.00 26472210.40 U.S. Treasuries (including strips) UNITED STATES TREASURY 2026-11-15 2.000000 43327200.00 41702176.26 U.S. Treasuries (including strips) UNITED STATES TREAS NTS 2023-02-15 2.000000 90646000.00 90646433.52 U.S. Treasuries (including strips) UNITED STATES TREASURY 2022-03-31 1.750000 116006800.00 115233436.21 U.S. Treasuries (including strips) UNITED STATES TREASURY 2019-09-30 1.000000 117856800.00 117002823.87 U.S. Treasuries (including strips) UNITED STATES TREASURY 2044-02-15 1.375000 132874800.00 152567071.87 U.S. Treasuries (including strips) UNITED STATES TREASURY 2018-04-15 0.125000 150193700.00 158902585.27 U.S. Treasuries (including strips) UNITED STATES TREASURY 2023-08-15 2.500000 172339100.00 177097551.14 U.S. Treasuries (including strips) UNITED STATES TREASURY 2045-05-15 3.000000 183009400.00 181174770.19 U.S. Treasuries (including strips) UNITED STATES TREASURY 2023-09-30 1.375000 312000000.00 296679642.86 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-07-20 0.00 100.00 99.71 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-02-16 0.00 12775000.00 12772163.95 U.S. Treasuries (including strips) 1 1/2 NOTE J 23 2023-03-31 1.500000 500.00 482.63 U.S. Treasuries (including strips) 2 3/8 NOTE E 24 2024-08-15 2.375000 8900.00 9018.96 U.S. Treasuries (including strips) BOND 11/15/27 6.1250 2027-11-15 6.125000 13184300.00 17803713.71 U.S. Treasuries (including strips) TRIN 07/15/22 0.1250 2022-07-15 0.125000 347543300.00 369211418.23 U.S. Treasuries (including strips) Y Fitch, Inc. F1 Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-02-01 2017-02-01 2017-02-01 N N N 0.0054 1845000000.00 1845000000.00 0.0365 N Y Y N CITIGROUP GLOBAL MARKETS INC TRI-PARTY CITIGROUP GLOBAL MARKETS 0.540000% MBNUM2BPBDO7JBLYG310 0000315030 BRT8BPT37 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N 1 1/2 NOTE J 23 2023-03-31 1.500000 73969100.00 71400055.62 U.S. Treasuries (including strips) Y Fitch, Inc. F1 Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-02-07 2017-02-07 2017-02-07 N N N 0.0054 70000000.00 70000000.00 0.0014 N N Y N HSBC SECURITIES (USA) INC TRI-PARTY HSBC SECURITIES (USA) IN 0.520000% CYYGQCGNHMHPSMRL3R97 0000853784 BRT8BQ4M0 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 2017-02-15 0.00 5000.00 4998.45 U.S. Treasuries (including strips) TPRN 11/15/18 1.2500 2018-11-15 0.00 62000.00 60614.92 U.S. Treasuries (including strips) UNITED STATES TREASURY 2025-08-15 0.00 430000.00 348635.42 U.S. Treasuries (including strips) UNITED STATES TREASURY 2046-02-15 0.00 3750000.00 1504687.52 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-11-15 0.00 1479000.00 1469844.90 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-08-31 0.00 1900000.00 1891469.08 U.S. Treasuries (including strips) TINT 05/15/30 2030-05-15 0.00 79562787.50 54811600.53 U.S. Treasuries (including strips) TPRN 02/15/43 3.1250 2043-02-15 0.00 360000.00 159300.00 U.S. Treasuries (including strips) UNITED STATES TREASURY 2043-11-15 0.00 19678000.00 8569178.95 U.S. Treasuries (including strips) UNITED STATES TREAS NT STRIPPED PRIN PMT 2018-02-15 0.00 12000.00 11846.28 U.S. Treasuries (including strips) 1 TPRN AJ 18 2018-02-15 0.00 12000.00 11851.92 U.S. Treasuries (including strips) 1 5/8 TPRN F 22 2022-11-15 0.00 25000.00 22109.50 U.S. Treasuries (including strips) 2 3/4 TPRN B 19 2019-02-15 0.00 30000.00 29207.70 U.S. Treasuries (including strips) UNITED STATES TREAS NT STRIPPED PRIN PMT 2017-02-15 0.00 42000.00 41986.98 U.S. Treasuries (including strips) TPRN 05/15/18 3.8750 2018-05-15 0.00 42000.00 41370.00 U.S. Treasuries (including strips) UNITED STATES TREAS NT STRIPPED PRIN PMT 2018-08-15 0.00 51000.00 50083.53 U.S. Treasuries (including strips) TPRN 08/15/17 4.7500 2017-08-15 0.00 55000.00 54759.10 U.S. Treasuries (including strips) UNITED STATES TREAS NT STRIPPED PRIN PMT 2020-11-15 0.00 82000.00 76631.46 U.S. Treasuries (including strips) UNITED STATES TREAS BD 2042-05-15 0.00 85000.00 38648.65 U.S. Treasuries (including strips) 2 7/8 TPRN 45 2045-08-15 0.00 505000.00 205706.71 U.S. Treasuries (including strips) UNITED STATES TREAS NT STRIPPED PRIN PMT 2018-11-15 0.00 769000.00 751574.45 U.S. Treasuries (including strips) 3 1/8 TPRN C 19 2019-05-15 0.00 14535000.00 14096624.26 U.S. Treasuries (including strips) 3 TPRN 45 2045-05-15 0.00 16370000.00 6727088.15 U.S. Treasuries (including strips) UNITED STATES TREAS BD STRIPPED PRIN PMT 2041-08-15 0.00 22265000.00 10381056.30 U.S. Treasuries (including strips) UNITED STATES TREAS BD 2041-05-15 0.00 24708500.00 11651539.56 U.S. Treasuries (including strips) TINT 02/15/37 2037-02-15 0.00 87867987.50 47613906.08 U.S. Treasuries (including strips) TINT 08/15/41 2041-08-15 0.00 94744625.00 43242393.42 U.S. Treasuries (including strips) TINT 02/15/38 2038-02-15 0.00 101974987.50 53250322.23 U.S. Treasuries (including strips) TINT 08/15/31 2031-08-15 0.00 108570187.50 71707346.23 U.S. Treasuries (including strips) TINT 08/15/37 2037-08-15 0.00 116698987.50 61977667.74 U.S. Treasuries (including strips) TINT 11/15/27 2027-11-15 0.00 139609537.50 104423743.67 U.S. Treasuries (including strips) Y Fitch, Inc. NR Moody's Investors Service, Inc. NR Standard and Poor's Ratings Services A-1+ 2017-02-07 2017-02-07 2017-02-07 N N N 0.0052 485515000.00 485515000.00 0.0096 N N Y N JP MORGAN SECURITIES LLC TRI-PARTY J.P. MORGAN SECURITIES L 0.540000% ZBUT11V806EZRVTWT807 0000782124 BRT8BQRG8 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 2023-05-31 1.625000 240151300.00 232494770.50 U.S. Treasuries (including strips) UNITED STATES TREASURY 2023-04-30 1.625000 18230000.00 17690576.28 U.S. Treasuries (including strips) UNITED STATES TREASURY 2018-09-30 0.750000 229581600.00 228799716.20 U.S. Treasuries (including strips) UNITED STATES TREASURY 2023-05-15 1.750000 24815000.00 24244314.12 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-11-15 0.875000 201380000.00 201873618.91 U.S. Treasuries (including strips) UNITED STATES TREAS BDS 2026-08-15 6.750000 190265800.00 265388194.13 U.S. Treasuries (including strips) UNITED STATES TREASURY 2018-04-30 0.625000 31102100.00 31019005.79 U.S. Treasuries (including strips) NOTY 04/30/17 3.1250 2017-04-30 3.125000 18232400.00 18494616.29 U.S. Treasuries (including strips) Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-02-01 2017-02-01 2017-02-01 N N N 0.0054 1000000000.00 1000000000.00 0.0198 N Y Y N PRUDENTIAL INSURANCE COMPANY OF AMERICA REP TREASURY BOND PICA 0.560000% X574KRZ6V5A7UBU45C31 0001137774 BRT8BR8E2 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N 8 3/4 BOND 20/08 2020-08-15 8.750000 50000000.00 64196500.00 U.S. Treasuries (including strips) Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-02-01 2017-02-01 2017-02-01 N N N 0.0056 62937500.00 62937500.00 0.0012 N Y Y N PRUDENTIAL INSURANCE COMPANY OF AMERICA REP TREASURY STRIP (PRIN) PICA 0.560000% X574KRZ6V5A7UBU45C31 0001137774 BRT8BR8G7 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N TPRN 02/15/43 3.1250 2043-02-15 0.00 60000000.00 26316000.00 U.S. Treasuries (including strips) Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-02-01 2017-02-01 2017-02-01 N N N 0.0056 25800000.00 25800000.00 0.0005 N Y Y N PRUDENTIAL INSURANCE COMPANY OF AMERICA REP TREASURY STRIP (INT) PICA 0.560000% X574KRZ6V5A7UBU45C31 0001137774 BRT8BR8H5 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N TINT 05/15/30 2030-05-15 0.00 100000000.00 68595000.00 U.S. Treasuries (including strips) Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-02-01 2017-02-01 2017-02-01 N N N 0.0056 67250000.00 67250000.00 0.0013 N Y Y N PRUDENTIAL INSURANCE COMPANY OF AMERICA REP TREASURY STRIP (PRIN) PICA 0.560000% X574KRZ6V5A7UBU45C31 0001137774 BRT8BR8J1 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 2043-11-15 0.00 100000000.00 43222000.00 U.S. Treasuries (including strips) Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-02-01 2017-02-01 2017-02-01 N N N 0.0056 42375000.00 42375000.00 0.0008 N Y Y N PRUDENTIAL INSURANCE COMPANY OF AMERICA REP TREASURY STRIP (INT) PICA 0.560000% X574KRZ6V5A7UBU45C31 0001137774 BRT8BR8L6 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N TINT 02/15/36 2036-02-15 0.00 50000000.00 28050000.00 U.S. Treasuries (including strips) Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-02-01 2017-02-01 2017-02-01 N N N 0.0056 27500000.00 27500000.00 0.0005 N Y Y N PRUDENTIAL INSURANCE COMPANY OF AMERICA REP TREASURY STRIP (INT) PICA 0.560000% X574KRZ6V5A7UBU45C31 0001137774 BRT8BR8M4 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 2036-08-15 0.00 46000000.00 25278380.00 U.S. Treasuries (including strips) Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-02-01 2017-02-01 2017-02-01 N N N 0.0056 24782500.00 24782500.00 0.0005 N Y Y N PRUDENTIAL INSURANCE COMPANY OF AMERICA REP TREASURY NOTE PICA 0.560000% X574KRZ6V5A7UBU45C31 0001137774 BRT8BR8N2 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 2021-03-31 2.250000 27000000.00 27677700.00 U.S. Treasuries (including strips) Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-02-01 2017-02-01 2017-02-01 N N N 0.0056 27135000.00 27135000.00 0.0005 N Y Y N PRUDENTIAL INSURANCE COMPANY OF AMERICA REP TREASURY STRIP (INT) PICA 0.560000% X574KRZ6V5A7UBU45C31 0001137774 BRT8BR8P7 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N TINT 11/15/36 2036-11-15 0.00 69000000.00 37565670.00 U.S. Treasuries (including strips) Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-02-01 2017-02-01 2017-02-01 N N N 0.0056 36828750.00 36828750.00 0.0007 N Y Y N PRUDENTIAL INSURANCE COMPANY OF AMERICA REP TREASURY STRIP (INT) PICA 0.560000% X574KRZ6V5A7UBU45C31 0001137774 BRT8BR8Q5 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N TINY 11/15/37 2037-11-15 0.00 50000000.00 26201500.00 U.S. Treasuries (including strips) Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-02-01 2017-02-01 2017-02-01 N N N 0.0056 25687500.00 25687500.00 0.0005 N Y Y N PRUDENTIAL INSURANCE COMPANY OF AMERICA REP TREASURY STRIP (INT) PICA 0.560000% X574KRZ6V5A7UBU45C31 0001137774 BRT8BR8X0 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N TINY 11/15/39 2039-11-15 0.00 70000000.00 34093500.00 U.S. Treasuries (including strips) Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-02-01 2017-02-01 2017-02-01 N N N 0.0056 33425000.00 33425000.00 0.0007 N Y Y N PRUDENTIAL INSURANCE COMPANY OF AMERICA REP TREASURY STRIP (INT) PICA 0.560000% X574KRZ6V5A7UBU45C31 0001137774 BRT8BR8Z5 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N TINT 08/15/33 2033-08-15 0.00 50000000.00 30600000.00 U.S. Treasuries (including strips) Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-02-01 2017-02-01 2017-02-01 N N N 0.0056 30000000.00 30000000.00 0.0006 N Y Y N PRUDENTIAL INSURANCE COMPANY OF AMERICA REP TREASURY STRIP (INT) PICA 0.560000% X574KRZ6V5A7UBU45C31 0001137774 BRT8BR901 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N TINY 02/15/40 2040-02-15 0.00 70000000.00 33736500.00 U.S. Treasuries (including strips) Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-02-01 2017-02-01 2017-02-01 N N N 0.0056 33075000.00 33075000.00 0.0007 N Y Y N NATIONAL AUSTRALIA BANK LIMITED REP TREASURY NOTE NAB 0.530000% F8SB4JFBSYQFRQEH3Z21 0000833029 BRT8BS4N4 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 2021-08-31 1.125000 625000000.00 605625000.00 U.S. Treasuries (including strips) Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-02-01 2017-02-01 2017-02-01 N N N 0.0053 593750000.00 593750000.00 0.0118 N Y Y N NATIONAL AUSTRALIA BANK LIMITED REP TREASURY BOND NAB 0.530000% F8SB4JFBSYQFRQEH3Z21 0000833029 BRT8BS594 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 2046-02-15 2.500000 470000000.00 420433800.00 U.S. Treasuries (including strips) Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-02-01 2017-02-01 2017-02-01 N N N 0.0053 412190000.00 412190000.00 0.0082 N Y Y N JP MORGAN SECURITIES LLC TRI-PARTY J.P. MORGAN SECURITIES L 0.530000% ZBUT11V806EZRVTWT807 0000782124 BRT8BSJ08 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 2022-07-31 2.000000 185279800.00 184627623.94 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-10-15 0.875000 151900000.00 152412833.58 U.S. Treasuries (including strips) NOTY 04/30/17 3.1250 2017-04-30 3.125000 170510000.00 172962255.30 U.S. Treasuries (including strips) Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-02-01 2017-02-01 2017-02-01 N N N 0.0053 500000000.00 500000000.00 0.0099 N Y Y N FEDERAL RESERVE BANK OF NEW YORK TRI-PARTY FEDERAL RESERVE BANK OF 0.500000% 0001457970 BRT8C5Z66 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREAS NTS 2021-11-15 2.000000 1485325400.00 1495357501.12 U.S. Treasuries (including strips) UNITED STATES TREASURY 2042-11-15 2.750000 2326302700.00 2204693941.10 U.S. Treasuries (including strips) Y Fitch, Inc. NR Moody's Investors Service, Inc. NR Standard and Poor's Ratings Services A-1+ 2017-02-01 2017-02-01 2017-02-01 N N N 0.0050 3700000000.00 3700000000.00 0.0733 N Y Y N BANK OF MONTREAL TRI-PARTY BANK OF MONTREAL 0.500000% NQQ6HPCNCCU6TUTQYE16 0000009622 BRT8C8W48 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 2020-08-31 1.375000 99009200.00 98609941.85 U.S. Treasuries (including strips) NOTE 12/31/17 2.7500 2017-12-31 2.750000 94450500.00 96281514.79 U.S. Treasuries (including strips) Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-02-01 2017-02-01 2017-02-01 N N N 0.0050 191070000.00 191070000.00 0.0038 N Y Y N DEUTSCHE BANK SECURITIES INC TRI-PARTY DEUTSCHE BANK SECURITIES 0.540000% 9J6MBOOO7BECTDTUZW19 0001074042 BRT8C9GG7 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 2018-07-31 0.750000 153672400.00 153000083.25 U.S. Treasuries (including strips) Y Fitch, Inc. F1 Moody's Investors Service, Inc. NR Standard and Poor's Ratings Services A-2 2017-02-01 2017-02-01 2017-02-01 N N N 0.0054 150000000.00 150000000.00 0.0030 N Y Y N HSBC SECURITIES (USA) INC TRI-PARTY HSBC SECURITIES (USA) IN 0.500000% CYYGQCGNHMHPSMRL3R97 0000853784 BRT8CALY9 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 2017-03-16 0.00 31845000.00 31828759.05 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-03-09 0.00 59805000.00 59776293.60 U.S. Treasuries (including strips) Y Fitch, Inc. NR Moody's Investors Service, Inc. NR Standard and Poor's Ratings Services A-1+ 2017-02-01 2017-02-01 2017-02-01 N N N 0.0050 89805000.00 89805000.00 0.0018 N Y Y N BlackRock Liquidity Funds 2017-02-07 /s/Neal J. Andrews Neal J. Andrews Chief Financial Officer