N-MFP2 0000097098 XXXXXXXX 2017-02-28 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. 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C000003938 3000000.00 45436381718.72 45435063183.0300 1.0002 1.0002 1.0002 1.0002 0.0000 6137498733.51 6122210423.91 4448665900.08 4728930363.80 5619866672.86 5096163032.17 5374044244.92 5207819397.76 0.00 0.00 22166779883.74 20988570039.56 0.0041 Y BlackRock Advisors, LLC waived $751,473 in management fees. C000003939 5000.00 4086708243.42 4086589649.6800 1.0002 1.0002 1.0002 1.0002 0.0000 367919502.00 462757922.86 107752536.89 652538607.88 241778260.29 123194507.00 189762768.13 343764168.82 0.00 0.00 1046287252.62 1596573914.25 0.0016 Y BlackRock Advisors, LLC waived $65,953 in management fees. C000003940 5000.00 430518686.88 430506193.4900 1.0002 1.0002 1.0002 1.0002 0.0000 79260021.66 444248.79 3734901.01 153464.93 3658186.80 1398003.25 2488885.87 17774254.23 0.00 0.00 33497651.93 19719971.20 0.0031 Y BlackRock Advisors, LLC waived $7,192 in management fees. C000003941 5000.00 638765558.73 638747022.1500 1.0002 1.0002 1.0002 1.0002 0.0000 94879538.80 137075735.64 14470244.41 173798197.09 89015499.84 220863128.88 12047932.95 74773005.50 0.00 0.00 190323329.49 600110870.19 0.0000 Y BlackRock Advisors, LLC waived $13,461 in management fees. BlackRock Investments, LLC waived $60,462 in service/distribution fees. C000060557 1.00 104801337.72 104798296.4500 1.0002 1.0002 1.0002 1.0002 0.0000 1880480.62 650626.71 0.00 2984232.78 30840059.93 1403459.12 2359408.36 2433197.49 0.00 0.00 35012352.73 6877475.62 0.0000 Y BlackRock Advisors, LLC waived $1,529 in management fees. BlackRock Investments, LLC waived $31,267 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. 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Govt Standard and Poor's Ratings Services A-1+ 2017-05-25 2017-05-25 2017-05-25 N N N 0.0052 779165206.17 779165206.17 0.0154 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 0.0053 8700775.38 8700775.38 0.0002 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 0.0060 124710537.50 124710537.50 0.0025 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. 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Govt Standard and Poor's Ratings Services A-1+ 2017-04-20 2017-04-20 2017-04-20 N N N 0.0049 499664950.00 499664950.00 0.0098 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 0.0049 1998275600.00 1998275600.00 0.0394 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 0.0051 845113693.82 845113693.82 0.0167 N Y Y N UNITED STATES TREASURY TREASURY BILL 0.000000% 912796KZ1 US912796KZ19 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services A-1+ 2017-05-18 2017-05-18 2017-05-18 N N N 0.0051 444513081.00 444513081.00 0.0088 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 0.0058 705087664.03 705087664.03 0.0139 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 0.0062 748022175.00 748022175.00 0.0147 N Y Y N UNITED STATES TREASURY TREASURY BILL 0.000000% 912796LP2 US912796LP28 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services A-1+ 2017-08-10 2017-08-10 2017-08-10 N N N 0.0065 311985945.40 311985945.40 0.0061 N Y Y N UNITED STATES TREASURY TREASURY BILL 0.000000% 912796LQ0 US912796LQ01 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services A-1+ 2017-08-24 2017-08-24 2017-08-24 N N N 0.0069 461497017.50 461497017.50 0.0091 N Y Y N UNITED STATES TREASURY TREASURY BILL 0.000000% 912796QG7 US912796QG73 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services A-1+ 2017-03-15 2017-03-15 2017-03-15 N N N 0.0042 644122181.69 644122181.69 0.0127 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 0.0049 128135851.20 128135851.20 0.0025 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 0.0038 766467271.01 766467271.01 0.0151 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 0.0073 514836676.13 514836676.13 0.0101 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 0.0072 1142002676.16 1142002676.16 0.0225 N Y Y N UNITED STATES TREASURY TREASURY NOTE 0.875000% 912828F54 US912828F544 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services AA+ 2017-10-15 2017-10-15 2017-10-15 N N N 0.0076 231144375.00 231144375.00 0.0046 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 0.0079 200125000.00 200125000.00 0.0039 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 0.0049 173225861.01 173225861.01 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 0.0088 159987504.00 159987504.00 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 0.0069 96549722.68 96549722.68 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 0.0080 267331285.80 267331285.80 0.0053 N Y Y N NOTY 02/15/18 3.5000 TREASURY NOTE 3.500000% 912828HR4 US912828HR40 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services AA+ 2018-02-15 2018-02-15 2018-02-15 N N N 0.0094 91823093.81 91823093.81 0.0018 N Y Y N UNITED STATES TREASURY TREASURY NOTE 1.000000% 912828J68 US912828J686 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services AA+ 2018-03-15 2018-03-15 2018-03-15 N N N 0.0096 500195310.00 500195310.00 0.0099 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 0.0040 73591622.65 73591622.65 0.0014 N Y Y N UNITED STATES TREASURY TREASURY FLOATING RATE NOTE 0.684000% 912828M23 US912828M235 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services AA+ 2017-03-01 2017-10-31 2017-10-31 N N N 0.0053 841320728.70 841320728.70 0.0166 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 0.0082 36599290.10 36599290.10 0.0007 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 0.0040 250588000.00 250588000.00 0.0049 N Y Y N UNITED STATES TREASURY TREASURY FLOATING RATE NOTE 0.788000% 912828N97 US912828N977 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services AA+ 2017-03-01 2018-01-31 2018-01-31 N N N 0.0054 590268591.49 590268591.49 0.0116 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 0.0051 351873060.00 351873060.00 0.0069 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 0.0058 50602058.48 50602058.48 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 0.0073 424581326.38 424581326.38 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 0.0093 367599705.60 367599705.60 0.0072 N Y Y N UNITED STATES TREASURY TREASURY FLOATING RATE NOTE 0.706000% 912828Q86 US912828Q863 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services AA+ 2017-03-01 2018-04-30 2018-04-30 N N N 0.0056 2273460981.80 2273460981.80 0.0448 N Y Y N UNITED STATES TREASURY TREASURY FLOATING RATE NOTE 0.690000% 912828S84 US912828S844 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services AA+ 2017-03-01 2018-07-31 2018-07-31 N N N 0.0059 871259789.02 871259789.02 0.0172 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 0.0040 255287886.19 255287886.19 0.0050 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 0.0051 47695589.27 47695589.27 0.0009 N Y Y N UNITED STATES TREASURY TREASURY FLOATING RATE NOTE 0.686000% 912828T75 US912828T750 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services AA+ 2017-03-01 2018-10-31 2018-10-31 N N N 0.0063 1160547631.28 1160547631.28 0.0229 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 0.0056 196806842.74 196806842.74 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 0.0067 383834696.96 383834696.96 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 0.0072 1039117737.14 1039117737.14 0.0205 N Y Y N UNITED STATES TREASURY TREASURY NOTE 0.750000% 912828UR9 US912828UR92 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services AA+ 2018-02-28 2018-02-28 2018-02-28 N N N 0.0095 238099758.60 238099758.60 0.0047 N Y Y N UNITED STATES TREASURY TREASURY FLOATING RATE NOTE 0.656000% 912828V64 US912828V640 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services AA+ 2017-03-01 2019-01-31 2019-01-31 N N N 0.0065 508349992.99 508349992.99 0.0100 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 0.0049 250126950.00 250126950.00 0.0049 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 0.0067 234563121.09 234563121.09 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 0.0060 47143681.63 47143681.63 0.0009 N Y Y N UNITED STATES TREASURY TREASURY FLOATING RATE NOTE 0.593000% 912828XN5 US912828XN51 U.S. Treasury Debt Y Fitch, Inc. Govt Moody's Investors Service, Inc. Govt Standard and Poor's Ratings Services AA+ 2017-03-01 2017-07-31 2017-07-31 N N N 0.0053 600223375.43 600223375.43 0.0118 N Y Y N JP MORGAN SECURITIES LLC TRI-PARTY JP MORGAN SECURITIES LLC 0.520000% ZBUT11V806EZRVTWT807 0000782124 BRSHJ5R10 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y Y TPRX 05/15/17 8.7500 2017-05-15 0.00 12000.00 11986.68 U.S. Treasuries (including strips) 6 3/8 TPRN 27 2027-08-15 0.00 33000.00 25528.47 U.S. Treasuries (including strips) UNITED STATES TREAS BD STRIPPED PRIN PMT 2040-02-15 0.00 67600.00 34027.82 U.S. Treasuries (including strips) UNITED STATES TREAS BD STRIPPED PRIN PMT 2020-08-15 0.00 90000.00 85101.30 U.S. Treasuries (including strips) TPRX 08/15/39 4.5000 2039-08-15 0.00 92000.00 47327.56 U.S. Treasuries (including strips) TPRX 05/15/20 8.7500 2020-05-15 0.00 105000.00 99906.45 U.S. Treasuries (including strips) TPRX 05/15/18 9.1250 2018-05-15 0.00 150000.00 148273.50 U.S. Treasuries (including strips) 9 TPRN 18 2018-11-15 0.00 155000.00 152318.50 U.S. Treasuries (including strips) TPRX 02/15/39 3.5000 2039-02-15 0.00 300000.00 158369.99 U.S. Treasuries (including strips) TPRX 05/15/39 4.2500 2039-05-15 0.00 390000.00 203006.69 U.S. Treasuries (including strips) TPRX 08/15/22 7.2500 2022-08-15 0.00 470000.00 421124.69 U.S. Treasuries (including strips) TPRX 08/15/21 8.1250 2021-08-15 0.00 481000.00 442914.42 U.S. Treasuries (including strips) 8 7/8 TPRN 19 2019-02-15 0.00 490000.00 479729.58 U.S. Treasuries (including strips) 7 1/8 TPRN 23 2023-02-15 0.00 649000.00 573923.69 U.S. Treasuries (including strips) TPRX 02/15/27 6.6250 2027-02-15 0.00 666000.00 524108.69 U.S. Treasuries (including strips) 8 1/8 TPRN 21 2021-05-15 0.00 756000.00 700691.05 U.S. Treasuries (including strips) 5 3/8 TPRN 31 2031-02-15 0.00 1062200.00 750061.89 U.S. Treasuries (including strips) TPRX 08/15/29 6.1250 2029-08-15 0.00 3980000.00 2906116.26 U.S. Treasuries (including strips) TPRX 02/15/29 5.2500 2029-02-15 0.00 4353000.00 3221089.53 U.S. Treasuries (including strips) TPRX 02/15/26 6.0000 2026-02-15 0.00 5475000.00 4426373.31 U.S. Treasuries (including strips) TINT 05/15/25 2025-05-15 0.00 7840200.00 6423005.71 U.S. Treasuries (including strips) TINT 02/15/30 2030-02-15 0.00 153689000.00 108134049.00 U.S. Treasuries (including strips) TINT 08/15/26 2026-08-15 0.00 158705200.00 124650238.30 U.S. Treasuries (including strips) TPRX 05/15/30 6.2500 2030-05-15 0.00 335000.00 240188.29 U.S. Treasuries (including strips) UNITED STATES TREAS BD STRIPPED PRIN PMT 2022-11-15 0.00 160000.00 142456.01 U.S. Treasuries (including strips) Y Fitch, Inc. F1+ Moody's Investors Service, Inc. 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0.00 2867625.00 1267146.10 U.S. Treasuries (including strips) UNITED STATES TREASURY 2046-05-15 0.00 3000250.00 1224012.03 U.S. Treasuries (including strips) UNITED STATES TREASURY 2045-02-15 0.00 4457250.00 1877616.50 U.S. Treasuries (including strips) UNITED STATES TREASURY 2045-05-15 0.00 4507250.00 1882498.03 U.S. Treasuries (including strips) TINT 02/15/41 2041-02-15 0.00 7831000.00 3736875.03 U.S. Treasuries (including strips) UNITED STATES TREASURY 2044-05-15 0.00 8239125.00 3531206.58 U.S. Treasuries (including strips) UNITED STATES TREASURY 2044-02-15 0.00 11092750.00 4771657.18 U.S. Treasuries (including strips) UNITED STATES TREASURY 2044-08-15 0.00 14730000.00 6285585.94 U.S. Treasuries (including strips) TINT 05/15/41 2041-05-15 0.00 27260000.00 12888799.79 U.S. Treasuries (including strips) TINT 08/15/29 2029-08-15 0.00 1559812.50 1118198.42 U.S. Treasuries (including strips) TINT 05/15/35 2035-05-15 0.00 1947537.50 1149358.75 U.S. Treasuries (including strips) TINT 05/15/37 2037-05-15 0.00 3443537.50 1889090.25 U.S. Treasuries (including strips) UNITED STATES TREAS SEC STRIPPED INT PMT 2028-08-15 0.00 4114512.50 3049882.30 U.S. Treasuries (including strips) TINT 05/15/36 2036-05-15 0.00 5013537.50 2859270.55 U.S. Treasuries (including strips) TINT 11/15/40 2040-11-15 0.00 5095312.50 2456093.51 U.S. Treasuries (including strips) TINT 11/15/35 2035-11-15 0.00 6454537.50 3738597.19 U.S. Treasuries (including strips) TINT 08/15/27 2027-08-15 0.00 9027671.25 6903370.30 U.S. Treasuries (including strips) TINT 11/15/28 2028-11-15 0.00 10278912.50 7555000.83 U.S. Treasuries (including strips) TINT 02/15/27 2027-02-15 0.00 10887071.25 8462955.91 U.S. Treasuries (including strips) TINT 02/15/36 2036-02-15 0.00 12087687.50 6959848.40 U.S. Treasuries (including strips) TINT 08/15/30 2030-08-15 0.00 16083187.50 11152725.86 U.S. Treasuries (including strips) TINT 02/15/32 2032-02-15 0.00 16590687.50 10952508.34 U.S. Treasuries (including strips) TINT 08/15/33 2033-08-15 0.00 17298687.50 10857693.79 U.S. Treasuries (including strips) TINT 08/15/34 2034-08-15 0.00 18922687.50 11468851.84 U.S. Treasuries (including strips) TINT 11/15/33 2033-11-15 0.00 20546537.50 12783850.14 U.S. Treasuries (including strips) UNITED STATES TREASURY 2036-08-15 0.00 22136487.50 12513977.78 U.S. Treasuries (including strips) TINT 08/15/40 2040-08-15 0.00 25910000.00 12598737.84 U.S. Treasuries (including strips) TINT 02/15/31 2031-02-15 0.00 27385187.50 18711752.30 U.S. Treasuries (including strips) TINT 08/15/35 2035-08-15 0.00 27955687.50 16340937.90 U.S. Treasuries (including strips) TINT 11/15/36 2036-11-15 0.00 31422537.50 17601648.02 U.S. Treasuries (including strips) TINT 05/15/27 2027-05-15 0.00 35245537.50 27166556.34 U.S. Treasuries (including strips) TINT 02/15/30 2030-02-15 0.00 36349187.50 25654530.62 U.S. Treasuries (including strips) TINT 05/15/28 2028-05-15 0.00 36415912.50 27203779.83 U.S. Treasuries (including strips) TINT 05/15/34 2034-05-15 0.00 38310537.50 23429191.82 U.S. Treasuries (including strips) TINT 02/15/35 2035-02-15 0.00 39755687.50 23673319.68 U.S. Treasuries (including strips) TINT 08/15/32 2032-08-15 0.00 43563687.50 28282416.75 U.S. Treasuries (including strips) TINT 02/15/28 2028-02-15 0.00 44022512.50 33154232.22 U.S. Treasuries (including strips) TINT 02/15/33 2033-02-15 0.00 44633687.50 28488788.92 U.S. Treasuries (including strips) TINT 02/15/29 2029-02-15 0.00 48130137.50 35082537.05 U.S. Treasuries (including strips) TINT 11/15/32 2032-11-15 0.00 49854537.50 32101834.78 U.S. Treasuries (including strips) TINT 11/15/29 2029-11-15 0.00 50386787.50 35845663.79 U.S. Treasuries (including strips) TINT 05/15/42 2042-05-15 0.00 35888125.00 16379698.80 U.S. Treasuries (including strips) TINT 11/15/42 2042-11-15 0.00 14372625.00 6456470.63 U.S. Treasuries (including strips) UNITED STATES TREASURY 2044-11-15 0.00 6422250.00 2708391.26 U.S. Treasuries (including strips) TINT 08/15/43 2043-08-15 0.00 5995375.00 2619199.53 U.S. Treasuries (including strips) TINT 11/15/41 2041-11-15 0.00 4382062.50 2028763.56 U.S. Treasuries (including strips) UNITED STATES TREASURY 2045-08-15 0.00 2881750.00 1194571.77 U.S. Treasuries (including strips) TINT 11/15/30 2030-11-15 0.00 52578537.50 36205054.62 U.S. Treasuries (including strips) TINT 05/15/31 2031-05-15 0.00 54338537.50 36763280.10 U.S. Treasuries (including strips) TINT 11/15/34 2034-11-15 0.00 61181537.50 36756644.72 U.S. Treasuries (including strips) TINT 05/15/32 2032-05-15 0.00 62037537.50 40615357.12 U.S. Treasuries (including strips) TINT 02/15/34 2034-02-15 0.00 64915687.50 40044539.24 U.S. Treasuries (including strips) Y Fitch, Inc. NR Moody's Investors Service, Inc. NR Standard and Poor's Ratings Services A-1+ 2017-03-01 2017-03-01 2017-03-01 N N N 0.0051 751000000.00 751000000.00 0.0148 N Y Y N MUFG SECURITIES AMERICAS INC TRI-PARTY MUFG SECURITIES AMERICAS 0.640000% K5HU16E3LMSVCCJJJ255 0000067088 BRT7GA6R9 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 2022-09-30 1.750000 375000.00 372536.11 U.S. Treasuries (including strips) UNITED STATES TREAS BDS 2027-02-15 6.625000 726000.00 1001792.26 U.S. Treasuries (including strips) NOTE 08/31/19 1.0000 2019-08-31 1.000000 950000.00 941687.50 U.S. Treasuries (including strips) UNITED STATES TREAS BDS 2028-11-15 5.250000 1392600.00 1805906.83 U.S. Treasuries (including strips) UNITED STATES TREASURY 2043-11-15 3.750000 2504500.00 2894894.13 U.S. Treasuries (including strips) UNITED STATES TREASURY 2025-01-15 0.250000 4525900.00 4601872.99 U.S. Treasuries (including strips) UNITED STATES TREASURY 2044-02-15 3.625000 5576200.00 6254348.42 U.S. Treasuries (including strips) UNITED STATES TREASURY 2023-07-15 0.375000 9362900.00 9929241.82 U.S. Treasuries (including strips) UNITED STATES TREASURY 2045-05-15 3.000000 12699800.00 12811325.29 U.S. Treasuries (including strips) 0 3/8 TRIN D 25 2025-07-15 0.375000 14845200.00 15250167.39 U.S. Treasuries (including strips) UNITED STATES TREASURY 2025-08-15 2.000000 17373000.00 16938296.83 U.S. Treasuries (including strips) UNITED STATES TREASURY 2025-05-15 2.125000 19560900.00 19408788.06 U.S. Treasuries (including strips) BOND 08/15/41 3.7500 2041-08-15 3.750000 19561600.00 22317392.92 U.S. Treasuries (including strips) UNITED STATES TREAS BD STRIPPED PRIN PMT 2041-08-15 0.00 81097400.00 38471795.59 U.S. Treasuries (including strips) Y Fitch, Inc. 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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 BOND 11/15/18 9.0000 2018-11-15 9.000000 100.00 116.09 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-04-27 0.00 900.00 899.26 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-10-15 0.875000 5800.00 5823.25 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-03-09 0.00 619400.00 619320.72 U.S. Treasuries (including strips) UNITED STATES TREASURY 2023-01-31 1.750000 2400000.00 2361632.62 U.S. Treasuries (including strips) UNITED STATES TREASURY 2022-03-31 1.750000 2785400.00 2783309.88 U.S. Treasuries (including strips) UNITED STATES TREASURY 2020-03-31 1.125000 3000000.00 2980250.69 U.S. Treasuries (including strips) TRIN 04/15/17 0.1250 2017-04-15 0.125000 3018100.00 3227618.86 U.S. Treasuries (including strips) UNITED STATES TREASURY 2021-09-30 1.125000 42003100.00 40876866.49 U.S. Treasuries (including strips) UNITED STATES TREASURY 2020-11-30 1.625000 49368500.00 49466588.16 U.S. Treasuries (including strips) UNITED STATES TREASURY 2025-01-15 0.250000 49472700.00 50303162.15 U.S. Treasuries (including strips) UNITED STATES TREASURY 2018-02-28 0.750000 73191800.00 73060054.76 U.S. Treasuries (including strips) UNITED STATES TREASURY 2021-07-31 1.125000 74019500.00 71909586.42 U.S. Treasuries (including strips) UNITED STATES TREASURY 2024-01-15 0.625000 77825200.00 83050994.77 U.S. Treasuries (including strips) UNITED STATES TREAS BDS 2042-02-15 0.750000 125957700.00 130402192.80 U.S. Treasuries (including strips) 2 3/8 NOTE E 24 2024-08-15 2.375000 188631300.00 190597385.30 U.S. Treasuries (including strips) BOND 02/15/39 3.5000 2039-02-15 3.500000 100.00 110.69 U.S. Treasuries (including strips) UNITED STATES TREAS NTS 2019-07-15 1.875000 935700.00 1134127.78 U.S. Treasuries (including strips) Y Fitch, Inc. F1 Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-03-07 2017-03-07 2017-04-03 Y SOCIETE GENERALE SA 1.0000 7 N Fitch, Inc. A Moody's Investors Service, Inc. 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F1 Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-03-01 2017-03-07 2017-03-07 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 0.0039 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 2024-11-15 2.250000 400.00 402.16 U.S. Treasuries (including strips) UNITED STATES TREASURY 2044-11-15 3.000000 7400.00 7467.86 U.S. Treasuries (including strips) 1 1/4 NOTE BL 18 2018-12-31 1.250000 27000.00 27092.97 U.S. Treasuries (including strips) UNITED STATES TREASURY 2018-07-31 1.375000 680100.00 683904.84 U.S. Treasuries (including strips) UNITED STATES TREASURY 2025-02-15 2.000000 731400.00 716441.57 U.S. Treasuries (including strips) UNITED STATES TREAS NTS 2018-03-31 2.875000 1069300.00 1104107.33 U.S. Treasuries (including strips) UNITED STATES TREASURY 2022-11-30 2.000000 1103300.00 1106516.18 U.S. Treasuries (including strips) UNITED STATES TREASURY 2026-05-15 1.625000 1560000.00 1471132.10 U.S. Treasuries (including strips) UNITED STATES TREASURY 2026-07-15 0.125000 1890000.00 1870146.25 U.S. Treasuries (including strips) UNITED STATES TREASURY 2020-10-31 1.375000 2602700.00 2588536.14 U.S. Treasuries (including strips) UNITED STATES TREASURY 2022-10-31 1.875000 2708800.00 2704047.32 U.S. Treasuries (including strips) NOTE 07/31/19 0.8750 2019-07-31 0.875000 4413500.00 4369086.05 U.S. Treasuries (including strips) UNITED STATES TREASURY 2019-03-31 1.625000 6674000.00 6771113.85 U.S. Treasuries (including strips) UNITED STATES TREASURY 2023-01-31 1.750000 13266200.00 13054121.10 U.S. Treasuries (including strips) UNITED STATES TREASURY 2019-07-31 1.625000 29324800.00 29565465.88 U.S. Treasuries (including strips) UNITED STATES TREAS NTS 2020-07-15 1.250000 30793500.00 36331701.72 U.S. Treasuries (including strips) UNITED STATES TREASURY 2021-11-30 1.750000 35371200.00 35358463.65 U.S. Treasuries (including strips) UNITED STATES TREASURY 2026-02-15 1.625000 37401100.00 35191950.30 U.S. Treasuries (including strips) BOND 08/15/41 3.7500 2041-08-15 3.750000 49975000.00 57015362.32 U.S. Treasuries (including strips) UNITED STATES TREASURY 2023-11-30 2.125000 52561500.00 52743053.77 U.S. Treasuries (including strips) UNITED STATES TREASURY 2043-08-15 3.625000 57488200.00 64479615.69 U.S. Treasuries (including strips) UNITED STATES TREASURY 2045-02-15 2.500000 147967600.00 133846724.90 U.S. Treasuries (including strips) UNITED STATES TREAS BDS 2025-01-15 2.375000 19433900.00 28993631.48 U.S. Treasuries (including strips) Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-03-07 2017-03-07 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 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 2022-10-31 1.875000 21789000.00 21750770.54 U.S. Treasuries (including strips) UNITED STATES TREASURY 2018-06-30 1.375000 99812500.00 100488432.50 U.S. Treasuries (including strips) UNITED STATES TREASURY 2021-04-30 1.375000 134267700.00 132760815.10 U.S. Treasuries (including strips) Y Fitch, Inc. F1 Moody's Investors Service, Inc. 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