N-MFP2 0000097098 XXXXXXXX 2020-03-31 0000097098 5493007YVNX55LTRQ706 S000001474 9 N N 002-47015 BlackRock Advisors, LLC 801-47710 Deloitte & Touche LLP Boston MA BlackRock Advisors, LLC JPMorgan Chase Bank, N.A. BNY Mellon Investment Servicing (US) Inc. 0000849542 084-01761 N N N Prime N 36 85 3731991927.81 3354007575.84 3366128860.31 2884135455.85 4601099852.29 4219127730.76 3716100363.04 3134105335.78 0.3332 0.3151 0.3994 0.3851 0.4108 0.3964 0.4409 0.4185 345556105.02 7066163191.28 2744000000.00 7411341.04 11064609.95 7408066027.39 7408901574.83 0.0102 1.0012 1.0005 0.9994 0.9995 C000003917 1.00 0.00 0.00 0.0000 0.0000 0.0000 0.0000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.0000 N C000060555 1.00 0.00 0.00 0.0000 0.0000 0.0000 0.0000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.0000 N C000003919 3000000.00 36475.82 36478.11 1.0013 1.0006 0.9994 0.9996 0.00 0.00 0.00 0.00 0.00 1.72 0.00 0.00 0.00 1.72 0.0085 Y BlackRock Advisors, LLC, Management Fees, 1.77; C000003920 50000.00 0.00 0.00 0.0000 0.0000 0.0000 0.0000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.0000 N C000003915 5000.00 0.00 0.00 0.0000 0.0000 0.0000 0.0000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.0000 N C000003916 5000.00 0.00 0.00 0.0000 0.0000 0.0000 0.0000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.0000 N C000003918 5000.00 0.00 0.00 0.0000 0.0000 0.0000 0.0000 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.0000 N C000003922 5000.00 17894.63 17896.89 1.0012 1.0005 0.9994 0.9995 20.34 0.00 0.00 0.00 0.00 0.85 0.00 0.00 19.49 0.00 0.0061 Y BlackRock Advisors, LLC, Management Fees, 0.77; C000003921 3000000.00 7408011656.94 7408847199.83 1.0012 1.0005 0.9994 0.9995 414726683.57 478503854.23 527686395.86 1085179524.96 259401901.10 2465920960.54 92866470.48 1033332096.29 1336368753.92 5175304674.03 0.0084 Y BlackRock Advisors, LLC, Management Fees, 433919.49; ANZ New Zealand Int'l Ltd. ANZ New Zealand Int'l Ltd. 1.954 00182HHD7 213800VD256NU2D97H12 US00182HHD70 Financial Company Commercial Paper Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1+ 2020-04-07 2020-07-07 2020-07-07 N Y ANZ BANK NEW ZEALAND LTD 1.0000 Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1+ N 0.0200 99876555.00 99876555.00 0.0135 N N N N ANZ New Zealand Int'l Ltd. ANZ New Zealand Int'l Ltd. 1.843 00182HHN5 213800VD256NU2D97H12 US00182HHN52 Financial Company Commercial Paper Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1+ 2020-04-16 2020-07-16 2020-07-16 N Y ANZ BANK NEW ZEALAND LTD 1.0000 Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1+ N 0.0200 44928828.45 44928828.45 0.0061 N N N N Crown Point Capital Co. LLC Crown Point Capital Co. LLC 1.321 22845ANU0 549300LXH4KLRKIKII81 US22845ANU06 Asset Backed Commercial Paper Y Fitch - BR NR Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-28 2020-08-28 2020-08-28 N Y CREDIT SUISSE AG 1.0000 Fitch - BR F1 Moody's - BR P-1 Standard & Poor's - BR A-1 N 0.0138 69996547.60 69996547.60 0.0094 N N N N Crown Point Capital Co. LLC Crown Point Capital Co. LLC 1.316 22845APQ7 549300LXH4KLRKIKII81 US22845APQ75 Asset Backed Commercial Paper Y Fitch - BR NR Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-06 2020-07-06 2020-07-06 N Y CREDIT SUISSE AG 1.0000 Fitch - BR F1 Moody's - BR P-1 Standard & Poor's - BR A-1 N 0.0132 84992974.75 84992974.75 0.0115 N N N N Crown Point Capital Co. LLC Crown Point Capital Co. LLC 1.296 22845AQB9 549300LXH4KLRKIKII81 US22845AQB97 Asset Backed Commercial Paper Y Fitch - BR NR Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-08 2020-07-06 2020-07-06 N Y CREDIT SUISSE AG 1.0000 Fitch - BR F1 Moody's - BR P-1 Standard & Poor's - BR A-1 N 0.0132 64991133.35 64991133.35 0.0088 N N N N Alpine Securitization Ltd. Alpine Securitization Ltd. 1.094 02089XHM2 5493002FS5SZRATKZR12 US02089XHM20 Asset Backed Commercial Paper Y Fitch - BR NR Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-27 2020-05-05 2020-05-19 Y ALPINE SECURITIZATION LTD 1.0000 35 N Fitch - BR NR Moody's - BR NR Standard & Poor's - BR NR Y CREDIT SUISSE AG 1.0000 Fitch - BR F1 Moody's - BR P-1 Standard & Poor's - BR A-1 N 0.0183 24986987.50 24986987.50 0.0034 N N N N Ridgefield Funding Co. LLC Ridgefield Funding Co. LLC 1.113 76582EDU6 US76582EDU64 Asset Backed Commercial Paper Y Fitch - BR NR Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-10 2020-06-10 2020-06-10 N Y BNP PARIBAS SA 1.0000 Fitch - BR F1 Moody's - BR P-1 Standard & Poor's - BR A-1 N 0.0113 30505369.83 30505369.83 0.0041 N N N N Antalis SA Antalis SA 1.275 03664AD96 549300G2LM2ZKZ0X4Y50 US03664AD962 Asset Backed Commercial Paper Y Fitch - BR F1 Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-09 2020-04-09 2020-04-09 N Y SOCIETE GENERALE SA 1.0000 Fitch - BR F1 Moody's - BR P-1 Standard & Poor's - BR A-1 N 0.0127 13995600.50 13995600.50 0.0019 N N N N Antalis SA Antalis SA 1.572 03664ADG0 549300G2LM2ZKZ0X4Y50 US03664ADG04 Asset Backed Commercial Paper Y Fitch - BR F1 Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-16 2020-04-16 2020-04-16 N Y SOCIETE GENERALE SA 1.0000 Fitch - BR F1 Moody's - BR P-1 Standard & Poor's - BR A-1 N 0.0157 16988288.87 16988288.87 0.0023 N N N N Dexia Credit Local SA Dexia Credit Local SA 1.859 25215VEN5 US25215VEN55 Financial Company Commercial Paper Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1+ 2020-05-22 2020-05-22 2020-05-22 N Y BELGIUM (KINGDOM OF) 0.5141 Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1+ FRANCE (REPUBLIC OF) 0.4559 Fitch - BR F1+ Moody's - BR NR Standard & Poor's - BR A-1+ LUXEMBOURG (GRAND DUCHY OF) 0.0300 Fitch - BR F1+ Moody's - BR NR Standard & Poor's - BR A-1+ N 0.0186 55852054.16 55852054.16 0.0075 N N N N Landesbank Hessen-Thuringen Girozentrale Landesbank Hessen-Thuringen Girozentrale 0.150 MK13839SGLMX6JEXRB54 BRW3K84W5 Non-Negotiable Time Deposit Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-01 2020-04-01 2020-04-01 N N N 0.0015 75000000.00 75000000.00 0.0101 N Y Y N Bank of Nova Scotia Bank of Nova Scotia 0.080 L3I9ZG2KFGXZ61BMYR72 BRW3KGJE1 Non-Negotiable Time Deposit Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-01 2020-04-01 2020-04-01 N N N 0.0008 136000000.00 136000000.00 0.0184 N Y Y N Royal Bank of Canada Royal Bank of Canada 1.761 78014XCH8 ES7IP3U3RHIGC71XBU11 US78014XCH89 Financial Company Commercial Paper Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1+ 2020-04-01 2020-05-01 2020-05-01 N N N 0.0094 35007391.65 35007391.65 0.0047 N N N N Barclays Bank plc Barclays Bank plc 0.100 BRW3KSMY7 Non-Negotiable Time Deposit Y Fitch - BR F1 Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-01 2020-04-01 2020-04-01 N N N 0.0010 220000000.00 220000000.00 0.0297 N Y Y N Australia & New Zealand Banking Group Ltd. Australia & New Zealand Banking Group Ltd. 2.125 05253JAR2 JHE42UYNWWTJB8YTTU19 US05253JAR23 Other Instrument Fixed Rate Corporate Note Y Fitch - BR AA- Moody's - BR Aa3 Standard & Poor's - BR AA- 2020-08-19 2020-08-19 2020-08-19 N N N 0.0279 7261354.83 7261354.83 0.0010 N N N N Erste Abwicklungsanstalt Erste Abwicklungsanstalt 1.218 29604CE65 7TG4VWERK338227TR435 US29604CE657 Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1+ 2020-05-06 2020-05-06 2020-05-06 N N N 0.0122 44946000.00 44946000.00 0.0061 N N N N BPCE SA BPCE SA 1.028 05571BGX5 9695005MSX1OYEMGDF46 US05571BGX55 Financial Company Commercial Paper Y Fitch - BR F1 Moody's - BR P-1 Standard & Poor's - BR A-1 2020-07-31 2020-07-31 2020-07-31 N N N 0.0103 50825438.22 50825438.22 0.0068 N N N N BNP Paribas SA, New York BNP Paribas SA, New York 1.801 05586FTF4 R0MUWSFPU8MPRO8K5P83 US05586FTF44 Certificate of Deposit Y Fitch - BR F1 Moody's - BR P-1 Standard & Poor's - BR A-1 2020-05-05 2021-02-05 2021-02-05 N N N 0.0234 29790515.70 29790515.70 0.0040 N N N N Credit Industriel et Commercial SA Credit Industriel et Commercial SA 1.915 N4JDFKKH2FTD8RKFXO39 XS2101529035 BRW0QTBC5 Certificate of Deposit Y Fitch - BR F1 Moody's - BR P-1 Standard & Poor's - BR A-1 2021-01-08 2021-01-08 2021-01-08 N N N 0.0192 44605867.50 44605867.50 0.0060 N N N N Bank of America NA Bank of America NA 1.296 06050TMQ2 B4TYDEB6GKMZO031MB27 US06050TMQ21 Certificate of Deposit Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-06 2020-10-06 2020-10-06 N N N 0.0238 31818109.44 31818109.44 0.0043 N N N N Citigroup Global Markets, Inc. Citigroup Global Markets, Inc. 0.020 MBNUM2BPBDO7JBLYG310 BRW3KM0S7 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N UNITED STATES TREASURY 254900HROIFWPRGM1V77 2022-01-15 0.125000 100.00 112.40 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2022-01-31 1.875000 400.00 413.25 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2022-01-31 1.375000 19100.00 19541.62 U.S. Treasuries (including strips) FREDDIE MAC GOLD 2048-07-01 4.000000 6609508.00 5781248.61 Agency Mortgage-Backed Securities FREDDIE MAC GOLD 2046-08-01 4.000000 12456009.00 7820489.73 Agency Mortgage-Backed Securities FREDDIE MAC GOLD 2048-08-01 4.500000 32176201.00 30638568.46 Agency Mortgage-Backed Securities UNITED STATES TREASURY 254900HROIFWPRGM1V77 2022-01-31 1.500000 41225600.00 42277451.71 U.S. Treasuries (including strips) FREDDIE MAC GOLD 2048-04-01 4.000000 43379152.00 32498368.19 Agency Mortgage-Backed Securities FREDDIE MAC GOLD 2049-03-01 4.000000 45916592.00 35231852.85 Agency Mortgage-Backed Securities UNITED STATES TREASURY 254900HROIFWPRGM1V77 2022-01-31 0.239020 50731000.00 50819045.97 U.S. Treasuries (including strips) Y Fitch - BR F1 Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-01 2020-04-01 2020-04-01 N N N 0.0002 200000000.00 200000000.00 0.0270 N Y Y N JP Morgan Securities LLC JP Morgan Securities LLC 0.010 ZBUT11V806EZRVTWT807 BRW3KM172 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-08-15 1.500000 100.00 100.74 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-04-30 1.125000 100.00 100.55 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2021-11-15 8.000000 200.00 231.23 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2021-03-25 0.000000 300.00 299.54 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2025-02-15 2.000000 300.00 323.80 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2029-04-15 3.875000 400.00 859.81 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-07-23 0.000000 600.00 599.60 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-04-21 0.000000 1000.00 999.96 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2026-07-31 1.875000 87231200.00 94856485.63 U.S. Treasuries (including strips) Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-01 2020-04-01 2020-04-01 N N N 0.0001 93000000.00 93000000.00 0.0126 N Y Y N Wells Fargo Securities LLC Wells Fargo Securities LLC 0.020 VYVVCKR63DVZZN70PB21 BRW3KM1E7 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEPC 04.000 CLZM7138 2048-06-01 4.000000 1125440.00 1182259.07 Agency Mortgage-Backed Securities FEPC 03.500 CLZN5779 2049-04-01 3.500000 1029717.00 1080380.39 Agency Mortgage-Backed Securities FEPC 03.500 CISB8037 2035-03-01 3.500000 5001078.00 5242590.50 Agency Mortgage-Backed Securities FEPC 03.000 CISB8041 2035-03-01 3.000000 34872650.00 36733036.13 Agency Mortgage-Backed Securities FEPC 03.500 CLSD0164 2049-12-01 3.500000 1000000.00 1048361.37 Agency Mortgage-Backed Securities FEPC 04.500 CLSD8040 2050-01-01 4.500000 23983390.00 25226269.32 Agency Mortgage-Backed Securities FEPC 03.500 CLSD8045 2050-02-01 3.500000 97306983.00 101961388.93 Agency Mortgage-Backed Securities FEPC 03.000 CLSD8050 2050-03-01 3.000000 32861011.00 34543381.56 Agency Mortgage-Backed Securities FEPC 03.500 CLSD8051 2050-03-01 3.500000 93793576.00 98898598.30 Agency Mortgage-Backed Securities FEPC 03.000 CLQA5410 2049-12-01 3.000000 338107.00 354969.48 Agency Mortgage-Backed Securities FEPC 03.000 CLQA5518 2049-12-01 3.000000 73913373.00 77646351.65 Agency Mortgage-Backed Securities FEPC 03.000 CLQA6564 2050-01-01 3.000000 4237380.00 4460112.29 Agency Mortgage-Backed Securities FEPC 03.000 CLQA7224 2050-01-01 3.000000 564669.00 595327.57 Agency Mortgage-Backed Securities FEPC 03.000 CLQA7305 2050-02-01 3.000000 7386108.00 7786655.42 Agency Mortgage-Backed Securities FEPC 03.500 CIQN1114 2034-12-01 3.500000 5514021.00 5801575.64 Agency Mortgage-Backed Securities FEPC 03.500 CIQN1184 2034-12-01 3.500000 3985097.00 4199073.97 Agency Mortgage-Backed Securities FEPC 03.500 CIQN1193 2034-12-01 3.500000 1300514.00 1368379.00 Agency Mortgage-Backed Securities FEPC 03.500 CIQN1441 2035-01-01 3.500000 1003575.00 1057096.14 Agency Mortgage-Backed Securities FEPC 03.500 CIQN1464 2035-01-01 3.500000 1597987.00 1683774.57 Agency Mortgage-Backed Securities FEPC 03.000 CIQN1563 2035-02-01 3.000000 6076636.00 6368531.65 Agency Mortgage-Backed Securities FEPC 03.500 CIQN1583 2035-02-01 3.500000 2543769.00 2671358.31 Agency Mortgage-Backed Securities FEPC 03.500 CIQN1584 2035-02-01 3.500000 7253290.00 7643279.57 Agency Mortgage-Backed Securities FEPC 03.500 CLRA1878 2049-12-01 3.500000 350000.00 367682.10 Agency Mortgage-Backed Securities FEPC 03.000 CLRA2265 2049-11-01 3.000000 1143013.00 1204817.60 Agency Mortgage-Backed Securities FEPC 04.500 3PRE6012 2049-08-01 4.500000 85000.00 89394.60 Agency Mortgage-Backed Securities FEPC 03.000 CLQA4811 2049-11-01 3.000000 4208948.00 4415355.02 Agency Mortgage-Backed Securities Y Fitch - BR NR Moody's - BR NR Standard & Poor's - BR A-1 2020-04-01 2020-04-01 2020-04-01 N N N 0.0002 421000000.00 421000000.00 0.0568 N Y Y N Bank of Montreal, Chicago Bank of Montreal, Chicago 1.832 06370R6Z7 NQQ6HPCNCCU6TUTQYE16 US06370R6Z74 Certificate of Deposit Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1 2020-05-18 2020-11-18 2020-11-18 N N N 0.0224 29876833.80 29876833.80 0.0040 N N N N JP Morgan Securities LLC JP Morgan Securities LLC 0.020 ZBUT11V806EZRVTWT807 BRW3KM0P3 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N GINNIE MAE II 2049-12-20 3.500000 10183.00 10458.29 Agency Mortgage-Backed Securities GINNIE MAE II 2049-11-20 3.000000 12563.00 13314.84 Agency Mortgage-Backed Securities GINNIE MAE II 2050-01-20 3.000000 26977.00 28636.00 Agency Mortgage-Backed Securities GINNIE MAE II 2047-08-20 4.000000 27129.00 22763.70 Agency Mortgage-Backed Securities GINNIE MAE II 2048-09-20 4.500000 40513.00 37094.60 Agency Mortgage-Backed Securities GINNIE MAE II 2032-11-20 6.000000 74272.00 79933.67 Agency Mortgage-Backed Securities GINNIE MAE II 2033-11-20 5.000000 87952.00 63716.02 Agency Mortgage-Backed Securities GINNIE MAE II 2034-03-20 7.000000 90448.00 68461.90 Agency Mortgage-Backed Securities GINNIE MAE II 2048-11-20 3.500000 101360.00 76885.51 Agency Mortgage-Backed Securities GINNIE MAE II 2049-10-20 4.000000 105994.00 114118.21 Agency Mortgage-Backed Securities GINNIE MAE II 2047-08-20 3.500000 106634.00 76076.00 Agency Mortgage-Backed Securities GINNIE MAE II 2033-12-20 7.000000 126722.00 82220.32 Agency Mortgage-Backed Securities GINNIE MAE II 2034-02-20 7.000000 377812.00 209639.26 Agency Mortgage-Backed Securities GINNIE MAE II 2034-01-20 4.500000 672216.00 434802.26 Agency Mortgage-Backed Securities GINNIE MAE II 2038-11-20 6.500000 1056474.00 234693.76 Agency Mortgage-Backed Securities GINNIE MAE II 2049-04-20 3.000000 1102932.00 1162647.11 Agency Mortgage-Backed Securities GINNIE MAE II 2035-07-20 5.000000 1184768.00 227657.59 Agency Mortgage-Backed Securities GINNIE MAE II 2038-10-20 6.000000 1334200.00 131315.99 Agency Mortgage-Backed Securities GINNIE MAE II 2050-03-20 4.000000 1894140.00 2022792.51 Agency Mortgage-Backed Securities GINNIE MAE II 2050-02-20 5.000000 2891330.00 3099787.08 Agency Mortgage-Backed Securities GINNIE MAE II 2050-02-20 4.000000 4980664.00 5443132.59 Agency Mortgage-Backed Securities GINNIE MAE II 2050-03-20 2.500000 5049056.00 5328144.26 Agency Mortgage-Backed Securities GINNIE MAE II 2050-02-20 4.500000 5254520.00 5747114.88 Agency Mortgage-Backed Securities GINNIE MAE II 2049-09-20 3.500000 5637352.00 6012297.02 Agency Mortgage-Backed Securities GINNIE MAE II 2050-03-20 4.000000 6013064.00 6581637.29 Agency Mortgage-Backed Securities GINNIE MAE II 2050-03-20 4.000000 9115104.00 9971361.68 Agency Mortgage-Backed Securities GINNIE MAE II 2050-02-20 4.000000 9273488.00 10544134.75 Agency Mortgage-Backed Securities GINNIE MAE II 2049-10-20 5.500000 18530720.00 18433530.01 Agency Mortgage-Backed Securities GINNIE MAE II 2049-11-20 3.000000 134466048.00 142021632.97 Agency Mortgage-Backed Securities Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-01 2020-04-01 2020-04-01 N N N 0.0002 214000000.00 214000000.00 0.0289 N Y Y N Bank of Montreal, Chicago Bank of Montreal, Chicago 1.741 06370RC56 NQQ6HPCNCCU6TUTQYE16 US06370RC563 Certificate of Deposit Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-01 2020-06-01 2020-06-01 N N N 0.0105 35006511.05 35006511.05 0.0047 N N N N Bank of Montreal, Chicago Bank of Montreal, Chicago 1.185 06370RD48 NQQ6HPCNCCU6TUTQYE16 US06370RD488 Certificate of Deposit Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-08 2020-06-08 2020-06-08 N N N 0.0109 65010848.50 65010848.50 0.0088 N N N N Bank of Montreal, Chicago Bank of Montreal, Chicago 0.400 06370RS26 NQQ6HPCNCCU6TUTQYE16 US06370RS262 Certificate of Deposit Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-01 2020-07-13 2020-07-13 N N N 0.0155 49840727.50 49840727.50 0.0067 N N N N Svenska Handelsbanken Svenska Handelsbanken 0.030 BRW3LYY20 Non-Negotiable Time Deposit Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1+ 2020-04-01 2020-04-01 2020-04-01 N N N 0.0003 150000000.00 150000000.00 0.0202 N Y Y N Skandinaviska Enskilda Banken AB Skandinaviska Enskilda Banken AB 0.050 BRW3KTGD8 Non-Negotiable Time Deposit Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-01 2020-04-01 2020-04-01 N N N 0.0005 205000000.00 205000000.00 0.0277 N Y Y N Credit Industriel et Commercial SA Credit Industriel et Commercial SA 0.040 N4JDFKKH2FTD8RKFXO39 BRW3KL9X9 Non-Negotiable Time Deposit Y Fitch - BR F1 Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-01 2020-04-01 2020-04-01 N N N 0.0004 30000000.00 30000000.00 0.0040 N Y Y N Wells Fargo Securities LLC Wells Fargo Securities LLC 0.010 VYVVCKR63DVZZN70PB21 BRW3KM0C2 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 254900HROIFWPRGM1V77 2026-05-31 2.125000 406287.00 448769.96 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-04-15 0.125000 567135.00 625692.72 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2026-03-31 2.250000 619347.00 683387.48 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2023-10-31 2.875000 734083.00 809468.63 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2023-11-30 2.875000 841544.00 927593.43 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2026-11-15 2.000000 1456556.00 1605082.81 U.S. Treasuries (including strips) Y Fitch - BR NR Moody's - BR NR Standard & Poor's - BR A-1 2020-04-01 2020-04-01 2020-04-01 N N N 0.0001 5000000.00 5000000.00 0.0007 N Y Y N Bank of Nova Scotia (The) Bank of Nova Scotia (The) 0.875 06417LLD7 L3I9ZG2KFGXZ61BMYR72 US06417LLD72 Financial Company Commercial Paper Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-15 2020-05-15 2020-05-15 N N N 0.0091 60011811.60 60011811.60 0.0081 N N N N Bank of Nova Scotia (The) Bank of Nova Scotia (The) 0.905 06417LLV7 L3I9ZG2KFGXZ61BMYR72 US06417LLV70 Financial Company Commercial Paper Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-13 2020-06-11 2020-06-11 N N N 0.0114 39999105.20 39999105.20 0.0054 N N N N Royal Bank of Canada Royal Bank of Canada 0.010 BRW3KQ520 Non-Negotiable Time Deposit Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1+ 2020-04-01 2020-04-01 2020-04-01 N N N 0.0001 133000000.00 133000000.00 0.0180 N Y Y N Citigroup Global Markets, Inc. Citigroup Global Markets, Inc. 0.010 MBNUM2BPBDO7JBLYG310 BRW3KM1B3 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 254900HROIFWPRGM1V77 2024-05-31 2.000000 2.00 2.58 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2024-06-30 1.750000 662.00 704.02 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2024-06-30 2.000000 33437.00 35893.90 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2024-07-31 1.750000 49846.00 52954.70 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2042-02-15 0.750000 162091.00 211481.92 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2024-08-15 2.375000 522302.00 569099.72 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2024-07-15 0.125000 1676326.00 1828276.15 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2024-07-31 2.125000 2708976.00 2921405.09 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2024-08-31 1.250000 9307253.00 9680185.02 U.S. Treasuries (including strips) Y Fitch - BR F1 Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-01 2020-04-01 2020-04-01 N N N 0.0001 15000000.00 15000000.00 0.0020 N Y Y N Credit Agricole Corporate and Investment Bank SA Credit Agricole Corporate and Investment Bank SA 0.060 1VUV7VQFKUOQSJ21A208 BRW3KTQX3 Non-Negotiable Time Deposit Y Fitch - BR F1 Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-01 2020-04-01 2020-04-01 N N N 0.0006 112500000.00 112500000.00 0.0152 N Y Y N Shell International Finance BV Shell International Finance BV 1.254 8225X2FW9 213800ITMMKU4Z7I4F78 US8225X2FW98 Non-Financial Company Commercial Paper Y Fitch - BR NR Moody's - BR P-1 Standard & Poor's - BR A-1+ 2020-06-30 2020-06-30 2020-06-30 N N N 0.0125 14953248.75 14953248.75 0.0020 N N N N Mizuho Bank Ltd. Mizuho Bank Ltd. 0.050 51KMXRLB0RIEGI0WJN58 BRW3KQ1A6 Non-Negotiable Time Deposit Y Fitch - BR F1 Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-01 2020-04-01 2020-04-01 N N N 0.0005 219000000.00 219000000.00 0.0296 N Y Y N Bank of Nova Scotia, Houston Bank of Nova Scotia, Houston 0.540 06417MCN3 L3I9ZG2KFGXZ61BMYR72 US06417MCN39 Certificate of Deposit Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-01 2020-10-23 2020-10-23 N N N 0.0155 50716998.96 50716998.96 0.0069 N N N N Bank of Nova Scotia, Houston Bank of Nova Scotia, Houston 1.030 06417MEU5 L3I9ZG2KFGXZ61BMYR72 US06417MEU53 Certificate of Deposit Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-17 2020-08-17 2020-08-17 N N N 0.0136 42983360.72 42983360.72 0.0058 N N N N Skandinaviska Enskilda Banken AB, New York Skandinaviska Enskilda Banken AB, New York 1.000 83050PDC0 F3JS33DEI6XQ4ZBPTN86 US83050PDC05 Certificate of Deposit Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-20 2020-08-19 2020-08-19 N N N 0.0135 39983134.40 39983134.40 0.0054 N N N N Bank of Nova Scotia, Houston Bank of Nova Scotia, Houston 1.003 06417MFB6 L3I9ZG2KFGXZ61BMYR72 US06417MFB63 Certificate of Deposit Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-20 2020-08-20 2020-08-20 N N N 0.0138 29981806.50 29981806.50 0.0040 N N N N Skandinaviska Enskilda Banken AB, New York Skandinaviska Enskilda Banken AB, New York 2.050 83050PES4 F3JS33DEI6XQ4ZBPTN86 US83050PES48 Certificate of Deposit Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-06 2020-10-05 2020-10-05 N N N 0.0215 36896254.59 36896254.59 0.0050 N N N N Skandinaviska Enskilda Banken AB, New York Skandinaviska Enskilda Banken AB, New York 2.019 83050PHM4 F3JS33DEI6XQ4ZBPTN86 US83050PHM41 Certificate of Deposit Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-06 2021-01-04 2021-01-04 N N N 0.0234 34792010.05 34792010.05 0.0047 N N N N Banque et Caisse d'Epargne de l'Etat Banque et Caisse d'Epargne de l'Etat 1.154 0667K0DH3 R7CQUF1DQM73HUTV1078 US0667K0DH32 Financial Company Commercial Paper Y Fitch - BR NR Moody's - BR P-1 Standard & Poor's - BR A-1+ 2020-04-17 2020-04-17 2020-04-17 N N N 0.0115 17990335.44 17990335.44 0.0024 N N N N Societe Generale SA Societe Generale SA 1.804 83368YFA0 O2RNE8IBXP4R0TD8PU41 US83368YFA01 Financial Company Commercial Paper Y Fitch - BR F1 Moody's - BR P-1 Standard & Poor's - BR A-1 2020-05-18 2021-03-19 2021-03-19 N N N 0.0235 47633659.68 47633659.68 0.0065 N N N N Sumitomo Mitsui Banking Corp., New York Sumitomo Mitsui Banking Corp., New York 1.851 86565B2E0 5U0XI89JRFVHWIBS4F54 US86565B2E00 Certificate of Deposit Y Fitch - BR F1 Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-01 2020-05-01 2020-05-01 N N N 0.0078 40016710.00 40016710.00 0.0054 N N N N Bedford Row Funding Corp. Bedford Row Funding Corp. 1.942 07644DKF4 US07644DKF41 Asset Backed Commercial Paper Y Fitch - BR NR Moody's - BR P-1 Standard & Poor's - BR A-1+ 2020-04-13 2020-10-13 2020-10-13 N Y ROYAL BANK OF CANADA 1.0000 Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1+ N 0.0215 57807677.22 57807677.22 0.0078 N N N N Bedford Row Funding Corp. Bedford Row Funding Corp. 0.875 07645RCE4 US07645RCE45 Asset Backed Commercial Paper Y Fitch - BR NR Moody's - BR P-1 Standard & Poor's - BR A-1+ 2020-04-15 2020-05-15 2020-05-15 N N N 0.0091 18003543.48 18003543.48 0.0024 N N N N Sumitomo Mitsui Banking Corp., New York Sumitomo Mitsui Banking Corp., New York 1.445 86565B3W9 5U0XI89JRFVHWIBS4F54 US86565B3W98 Certificate of Deposit Y Fitch - BR F1 Moody's - BR P-1 Standard & Poor's - BR A-1 2020-06-30 2020-06-30 2020-06-30 N N N 0.0195 49947082.00 49947082.00 0.0067 N N N N Bennington Stark Capital Co. LLC Bennington Stark Capital Co. LLC 0.175 08224LD11 549300PGDCWK6DU9QM65 US08224LD116 Asset Backed Commercial Paper Y Fitch - BR NR Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-01 2020-04-01 2020-04-01 N Y SOCIETE GENERALE SA 1.0000 Fitch - BR F1 Moody's - BR P-1 Standard & Poor's - BR A-1 N 0.0018 39999807.60 39999807.60 0.0054 N Y Y N Bennington Stark Capital Co. LLC Bennington Stark Capital Co. LLC 0.273 08224LD29 549300PGDCWK6DU9QM65 US08224LD298 Asset Backed Commercial Paper Y Fitch - BR NR Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-02 2020-04-02 2020-04-02 N Y SOCIETE GENERALE SA 1.0000 Fitch - BR F1 Moody's - BR P-1 Standard & Poor's - BR A-1 N 0.0027 96998550.82 96998550.82 0.0131 N N Y N Svenska Handelsbanken AB, New York Svenska Handelsbanken AB, New York 2.059 86959RCG3 NHBDILHZTYCNBV5UYZ31 US86959RCG39 Certificate of Deposit Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1+ 2020-04-02 2020-10-02 2020-10-02 N N N 0.0214 53851868.82 53851868.82 0.0073 N N N N BNG Bank NV BNG Bank NV 1.469 09657RLW5 529900GGYMNGRQTDOO93 US09657RLW50 Financial Company Commercial Paper Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1+ 2020-11-30 2020-11-30 2020-11-30 N N N 0.0147 86152648.71 86152648.71 0.0116 N N N N Svenska Handelsbanken, New York Svenska Handelsbanken, New York 1.981 86959RCR9 NHBDILHZTYCNBV5UYZ31 US86959RCR93 Certificate of Deposit Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1+ 2020-04-15 2020-10-15 2020-10-15 N N N 0.0214 31906392.64 31906392.64 0.0043 N N N N Svenska Handelsbanken AB, New York Svenska Handelsbanken AB, New York 1.606 86959REM8 NHBDILHZTYCNBV5UYZ31 US86959REM88 Certificate of Deposit Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1+ 2020-04-06 2021-01-04 2021-01-04 N N N 0.0145 70891788.19 70891788.19 0.0096 N N N N Svenska Handelsbanken AB Svenska Handelsbanken AB 1.288 86960JGL3 NHBDILHZTYCNBV5UYZ31 US86960JGL35 Financial Company Commercial Paper Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1+ 2020-07-20 2020-07-20 2020-07-20 N N N 0.0129 26894688.66 26894688.66 0.0036 N N N N Swedbank AB Swedbank AB 1.295 87019RJ31 M312WZV08Y7LYUC71685 US87019RJ316 Financial Company Commercial Paper Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1 2020-09-03 2020-09-03 2020-09-03 N N N 0.0129 26851410.09 26851410.09 0.0036 N N N N Toronto-Dominion Bank, New York Toronto-Dominion Bank, New York 0.400 89114M2D8 PT3QB789TSUIDF371261 US89114M2D85 Certificate of Deposit Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1+ 2020-04-01 2020-07-10 2020-07-10 N N N 0.0155 19937550.80 19937550.80 0.0027 N N N N Toronto-Dominion Bank, New York Toronto-Dominion Bank, New York 0.400 89114M2P1 PT3QB789TSUIDF371261 US89114M2P16 Certificate of Deposit Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1+ 2020-04-01 2020-07-16 2020-07-16 N N N 0.0155 19934402.00 19934402.00 0.0027 N N N N Toronto-Dominion Bank, New York Toronto-Dominion Bank, New York 2.170 89114M3K1 PT3QB789TSUIDF371261 US89114M3K10 Certificate of Deposit Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1+ 2020-07-29 2020-07-29 2020-07-29 N N N 0.0141 40098096.00 40098096.00 0.0054 N N N N Toronto-Dominion Bank, New York Toronto-Dominion Bank, New York 1.422 89114N5K7 PT3QB789TSUIDF371261 US89114N5K73 Certificate of Deposit Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1+ 2020-06-29 2020-09-28 2020-09-28 N N N 0.0210 60364180.53 60364180.53 0.0082 N N N N Canadian Imperial Bank of Commerce, New York Canadian Imperial Bank of Commerce, New York 0.967 13606BY67 2IGI19DL77OX0HC3ZE78 US13606BY676 Certificate of Deposit Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-13 2020-05-13 2020-05-13 N N N 0.0091 75023040.00 75023040.00 0.0101 N N N N Chariot Funding LLC Chariot Funding LLC 1.751 15963RBS1 549300EEWRNP448AMT79 US15963RBS13 Asset Backed Commercial Paper Y Fitch - BR NR Moody's - BR P-1 Standard & Poor's - BR A-1 2020-05-04 2020-08-04 2020-08-04 N Y JPMORGAN CHASE BANK NA 1.0000 Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1 N 0.0205 72852302.75 72852302.75 0.0099 N N N N Mizuho Bank Ltd., New York Mizuho Bank Ltd., New York 2.045 60710AHJ4 51KMXRLB0RIEGI0WJN58 US60710AHJ43 Certificate of Deposit Y Fitch - BR F1 Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-01 2020-10-01 2020-10-01 N N N 0.0213 49851189.50 49851189.50 0.0067 N N N N UBS AG UBS AG 1.579 902674XE5 BFM8T61CT2L1QCEMIK50 US902674XE58 Other Instrument Floating/Adjustable Rate Bank Note Y Fitch - BR AA- Moody's - BR Aa3 Standard & Poor's - BR A+ 2020-06-08 2020-06-08 2020-06-08 N N N 0.0328 15583219.72 15583219.72 0.0021 N N N N UBS AG UBS AG 2.048 90276JHQ2 BFM8T61CT2L1QCEMIK50 US90276JHQ22 Financial Company Commercial Paper Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-13 2020-07-10 2020-07-10 N N N 0.0200 64937705.30 64937705.30 0.0088 N N N N Mont Blanc Capital Corp. Mont Blanc Capital Corp. 1.627 6117P4F54 549300NC8BUDZTUFIQ67 US6117P4F547 Asset Backed Commercial Paper Y Fitch - BR NR Moody's - BR P-1 Standard & Poor's - BR A-1 2020-06-05 2020-06-05 2020-06-05 N Y ING BANK NV 1.0000 Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1 N 0.0163 34589239.85 34589239.85 0.0047 N N N N UBS AG UBS AG 1.742 90351WNR2 BFM8T61CT2L1QCEMIK50 US90351WNR24 Financial Company Commercial Paper Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1 2021-01-25 2021-01-25 2021-01-25 N N N 0.0174 59347166.47 59347166.47 0.0080 N N N N NRW Bank NRW Bank 0.865 62939LJ34 52990002O5KK6XOGJ020 US62939LJ341 Financial Company Commercial Paper Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1+ 2020-09-03 2020-09-03 2020-09-03 N N N 0.0087 157418033.86 157418033.86 0.0212 N N N N Credit Industriel et Commercial SA Credit Industriel et Commercial SA 1.931 N4JDFKKH2FTD8RKFXO39 XS2091207048 BRTZ9ST75 Certificate of Deposit Y Fitch - BR F1 Moody's - BR P-1 Standard & Poor's - BR A-1 2020-09-04 2020-09-04 2020-09-04 N N N 0.0193 49755885.00 49755885.00 0.0067 N N N N National Australia Bank Ltd. National Australia Bank Ltd. 1.264 63254EGX2 F8SB4JFBSYQFRQEH3Z21 US63254EGX22 Financial Company Commercial Paper Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1+ 2020-07-31 2020-07-31 2020-07-31 N N N 0.0126 81655139.98 81655139.98 0.0110 N N N N National Australia Bank Ltd. National Australia Bank Ltd. 0.933 63254GLD5 F8SB4JFBSYQFRQEH3Z21 US63254GLD50 Financial Company Commercial Paper Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1+ 2020-04-20 2020-05-20 2020-05-20 N N N 0.0108 76998473.09 76998473.09 0.0104 N N N N National Australia Bank Ltd. National Australia Bank Ltd. 1.003 63254GMM4 F8SB4JFBSYQFRQEH3Z21 US63254GMM41 Financial Company Commercial Paper Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1+ 2020-04-20 2020-08-20 2020-08-20 N N N 0.0132 61969224.44 61969224.44 0.0084 N N N N Commonwealth Bank of Australia Commonwealth Bank of Australia 1.950 20272AL20 MSFSBD3QN1GSN7Q6C537 US20272AL206 Financial Company Commercial Paper Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1+ 2020-04-06 2020-04-06 2020-04-06 N N N 0.0190 39998192.00 39998192.00 0.0054 N N Y N Natixis SA, New York Natixis SA, New York 0.965 63873NW49 KX1WK48MPD4Y2NCUIZ63 US63873NW498 Certificate of Deposit Y Fitch - BR F1 Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-15 2020-05-15 2020-05-15 N N N 0.0101 40012370.00 40012370.00 0.0054 N N N N Cooperatieve Rabobank UA, New York Cooperatieve Rabobank UA, New York 2.050 21684L5E8 DG3RU1DBUFHT4ZF9WN62 US21684L5E86 Certificate of Deposit Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-06 2020-10-05 2020-10-05 N N N 0.0215 45871019.22 45871019.22 0.0062 N N N N Nederlandse Waterschapsbank NV Nederlandse Waterschapsbank NV 1.445 63975UFJ6 JLP5FSPH9WPSHY3NIM24 US63975UFJ60 Financial Company Commercial Paper Y Fitch - BR NR Moody's - BR P-1 Standard & Poor's - BR A-1+ 2020-06-18 2020-06-18 2020-06-18 N N N 0.0145 50840966.19 50840966.19 0.0069 N N N N CPPIB Capital, Inc. CPPIB Capital, Inc. 0.330 22411VAL2 549300KW9NB55HTDK075 US22411VAL27 Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Y Fitch - BR AAA Moody's - BR Aaa Standard & Poor's - BR AAA 2020-04-01 2020-12-10 2020-12-10 N N N 0.0050 23221867.50 23221867.50 0.0031 N N N N Credit Industriel et Commercial SA, New York Credit Industriel et Commercial SA, New York 1.003 22536UYG9 N4JDFKKH2FTD8RKFXO39 US22536UYG92 Certificate of Deposit Y Fitch - BR F1 Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-20 2020-08-20 2020-08-20 N N N 0.0154 25014106.25 25014106.25 0.0034 N N N N Credit Industriel et Commercial SA, New York Credit Industriel et Commercial SA, New York 1.847 22536UYT1 N4JDFKKH2FTD8RKFXO39 US22536UYT14 Certificate of Deposit Y Fitch - BR F1 Moody's - BR P-1 Standard & Poor's - BR A-1 2020-05-01 2021-02-01 2021-02-01 N N N 0.0234 39727620.80 39727620.80 0.0054 N N N N Federation des Caisses Desjardins du Quebec Federation des Caisses Desjardins du Quebec 1.403 31428FGG4 549300B2Q47IR0CR5B54 US31428FGG46 Financial Company Commercial Paper Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1 2020-07-16 2020-07-16 2020-07-16 N N N 0.0140 81664150.96 81664150.96 0.0110 N N N N Federation des Caisses Desjardins du Quebec Federation des Caisses Desjardins du Quebec 1.255 31428HBA8 549300B2Q47IR0CR5B54 US31428HBA86 Financial Company Commercial Paper Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-09 2020-08-07 2020-08-07 N N N 0.0131 34992057.10 34992057.10 0.0047 N N N N Glencove Funding DAC Glencove Funding DAC 0.804 37829ACH9 5493005GLCPFS0U8NK07 US37829ACH95 Asset Backed Commercial Paper Y Fitch - BR NR Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-02 2020-04-07 2020-04-09 Y GLENCOVE FUNDING LLC 1.0000 7 N Fitch - BR NR Moody's - BR NR Standard & Poor's - BR NR Y JP MORGAN SECURITIES LLC 1.0000 Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1 N 0.0080 43000000.00 43000000.00 0.0058 N N Y N Banque Federative du Credit Mutuel SA Banque Federative du Credit Mutuel SA 1.805 VBHFXSYT7OG62HNT8T76 XS2110689499 BRW143W64 Certificate of Deposit Y Fitch - BR F1 Moody's - BR P-1 Standard & Poor's - BR A-1 2020-12-18 2020-12-18 2020-12-18 N N N 0.0181 36700052.47 36700052.47 0.0049 N N N N DZ Bank AG Deutsche Zentral-Genossenschaftsbank Frankfurt Am Main DZ Bank AG Deutsche Zentral-Genossenschaftsbank Frankfurt Am Main 1.738 529900HNOAA1KXQJUQ27 XS2112933143 BRW18QWG7 Certificate of Deposit Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1+ 2020-05-29 2020-05-29 2020-05-29 N N N 0.0174 69875519.00 69875519.00 0.0094 N N N N Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp. 1.764 JBONEPAGQXF4QP29B387 XS2113029412 BRW18UPW1 Certificate of Deposit Y Fitch - BR F1 Moody's - BR P-1 Standard & Poor's - BR A-1 2020-05-07 2020-05-07 2020-05-07 N N N 0.0176 79893253.60 79893253.60 0.0108 N N N N Nordea Bank Abp Nordea Bank Abp 0.912 65558JDT1 529900ODI3047E2LIV03 US65558JDT16 Financial Company Commercial Paper Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1+ 2020-04-27 2020-04-27 2020-04-27 N N N 0.0091 49966287.50 49966287.50 0.0067 N N N N Nordea Bank Abp, New York Nordea Bank Abp, New York 2.003 65558TNE1 529900ODI3047E2LIV03 US65558TNE19 Certificate of Deposit Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1+ 2020-04-16 2020-10-16 2020-10-16 N N N 0.0214 19942261.00 19942261.00 0.0027 N N N N Credit Industriel et Commercial SA Credit Industriel et Commercial SA 1.737 N4JDFKKH2FTD8RKFXO39 XS2121417716 BRW1QL4F1 Certificate of Deposit Y Fitch - BR F1 Moody's - BR P-1 Standard & Poor's - BR A-1 2021-02-12 2021-02-12 2021-02-12 N N N 0.0174 54458339.10 54458339.10 0.0073 N N N N Nordea Bank Abp, New York Nordea Bank Abp, New York 1.710 65558TTQ8 529900ODI3047E2LIV03 US65558TTQ84 Certificate of Deposit Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1+ 2021-01-28 2021-01-28 2021-01-28 N N N 0.0131 53174757.96 53174757.96 0.0072 N N N N HSBC Bank plc HSBC Bank plc 2.078 40433FPV5 MP6I5ZYZBEU3UXPYFY54 US40433FPV57 Financial Company Commercial Paper Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1+ 2020-04-15 2020-10-13 2020-10-13 N N N 0.0215 39901036.80 39901036.80 0.0054 N N N N HSBC Bank plc HSBC Bank plc 1.231 40433FQQ5 MP6I5ZYZBEU3UXPYFY54 US40433FQQ53 Financial Company Commercial Paper Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1+ 2020-04-30 2020-12-30 2020-12-30 N N N 0.0174 39860419.60 39860419.60 0.0054 N N N N ING US Funding LLC ING US Funding LLC 1.365 44988GAZ1 US44988GAZ19 Financial Company Commercial Paper Y Fitch - BR NR Moody's - BR P-1 Standard & Poor's - BR A-1 2020-06-23 2020-09-23 2020-09-23 N Y ING BANK NV 1.0000 Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1 N 0.0210 32924868.57 32924868.57 0.0045 N N N N ING US Funding LLC ING US Funding LLC 2.074 44988GBR8 US44988GBR83 Financial Company Commercial Paper Y Fitch - BR NR Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-09 2020-10-07 2020-10-07 N Y ING BANK NV 1.0000 Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1 N 0.0215 19949018.20 19949018.20 0.0027 N N N N ING US Funding LLC ING US Funding LLC 2.019 44988GBT4 US44988GBT40 Financial Company Commercial Paper Y Fitch - BR NR Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-21 2020-10-19 2020-10-19 N Y ING BANK NV 1.0000 Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1 N 0.0215 39890316.00 39890316.00 0.0054 N N N N PSP Capital, Inc. PSP Capital, Inc. 0.240 69368EBR0 549300B456N0WEIC5249 US69368EBR09 Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Y Fitch - BR NR Moody's - BR P-1 Standard & Poor's - BR A-1+ 2020-04-01 2020-08-19 2020-08-19 N N N 0.0077 29937954.00 29937954.00 0.0040 N N N N Lloyds Bank plc Lloyds Bank plc 1.280 53943REJ4 H7FNTJ4851HG0EXQ1Z70 US53943REJ41 Financial Company Commercial Paper Y Fitch - BR F1 Moody's - BR P-1 Standard & Poor's - BR A-1 2020-05-18 2020-05-18 2020-05-18 N N N 0.0128 18194382.00 18194382.00 0.0025 N N N N MUFG Bank Ltd., New York MUFG Bank Ltd., New York 1.201 55379WP67 C3GTMMZIHMY46P4OIX74 US55379WP673 Certificate of Deposit Y Fitch - BR F1 Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-29 2020-05-29 2020-05-29 N N N 0.0104 35011301.50 35011301.50 0.0047 N N N N Wells Fargo Bank NA Wells Fargo Bank NA 2.040 95001KFH2 KB1H1DSPRFMYMCUFXT09 US95001KFH23 Certificate of Deposit Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1 2020-05-04 2021-02-02 2021-02-02 N N N 0.0234 24840417.25 24840417.25 0.0034 N N N N Wells Fargo Bank NA Wells Fargo Bank NA 1.960 95001KGF5 KB1H1DSPRFMYMCUFXT09 US95001KGF57 Certificate of Deposit Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1 2020-05-16 2021-02-16 2021-02-16 N N N 0.0234 56115403.94 56115403.94 0.0076 N N N N Westpac Securities NZ Ltd. Westpac Securities NZ Ltd. 1.455 96122JER6 549300W0N3O6Q4RCKE25 US96122JER68 Financial Company Commercial Paper Y Fitch - BR NR Moody's - BR P-1 Standard & Poor's - BR A-1+ 2020-06-29 2020-06-29 2020-06-29 N Y WESTPAC NEW ZEALAND LTD 1.0000 Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1+ N 0.0195 84913113.00 84913113.00 0.0115 N N N N Westpac Securities NZ Ltd. Westpac Securities NZ Ltd. 1.810 96122JEY1 549300W0N3O6Q4RCKE25 US96122JEY10 Financial Company Commercial Paper Y Fitch - BR NR Moody's - BR P-1 Standard & Poor's - BR A-1+ 2020-04-30 2020-10-30 2020-10-30 N N N 0.0235 54729214.65 54729214.65 0.0074 N N N N Westpac Securities NZ Ltd. Westpac Securities NZ Ltd. 1.839 96122JEZ8 549300W0N3O6Q4RCKE25 US96122JEZ84 Financial Company Commercial Paper Y Fitch - BR NR Moody's - BR P-1 Standard & Poor's - BR A-1+ 2020-04-22 2021-01-22 2021-01-22 N N N 0.0235 53643300.30 53643300.30 0.0073 N N N N Westpac Banking Corp. Westpac Banking Corp. 1.829 9612C4J36 EN5TNI6CI43VEPAMHL14 US9612C4J365 Financial Company Commercial Paper Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1+ 2020-05-26 2020-11-25 2020-11-25 N N N 0.0225 49789835.50 49789835.50 0.0067 N N N N Westpac Banking Corp., New York Westpac Banking Corp., New York 0.490 96130ADZ8 EN5TNI6CI43VEPAMHL14 US96130ADZ84 Certificate of Deposit Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1+ 2020-04-01 2020-11-02 2020-11-02 N N N 0.0155 32799157.71 32799157.71 0.0045 N N N N Metropolitan Life Global Funding I Metropolitan Life Global Funding I 2.102 59217GCM9 635400MMSOCXNNNZDZ82 US59217GCM96 Other Instrument Floating/Adjustable Rate Bank Note Y Fitch - BR AA- Moody's - BR Aa3 Standard & Poor's - BR AA- 2020-04-08 2021-01-08 2021-01-08 N N N 0.0308 34627950.00 34627950.00 0.0047 N N N N Citigroup Global Markets, Inc. Citigroup Global Markets, Inc. 0.130 MBNUM2BPBDO7JBLYG310 DM3000000000 BRT5BL5U8 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N Y UNITED STATES TREASURY 254900HROIFWPRGM1V77 2028-05-15 2.875000 100.00 118.95 U.S. Treasuries (including strips) SYNGENTA WILMINGTON INC 5493004J81MPMW9NTR79 2020-05-27 0.000000 623.00 619.89 Money Market SYNGENTA WILMINGTON INC 5493004J81MPMW9NTR79 2020-06-05 0.000000 13103.00 13027.16 Money Market NISSAN MOTOR ACCEPTANCE CORP 7D6DIU2QXTUJRFNNJA49 2020-10-01 0.000000 278146.00 273572.17 Money Market NISSAN MOTOR ACCEPTANCE CORP 7D6DIU2QXTUJRFNNJA49 2020-12-14 0.000000 5880384.00 5745005.80 Money Market NISSAN MOTOR ACCEPTANCE CORP 7D6DIU2QXTUJRFNNJA49 2021-01-29 0.000000 6750000.00 6567743.25 Money Market Y Fitch - BR F1 Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-01 2020-04-01 2020-04-01 N N N 0.0013 12000000.00 12000000.00 0.0016 N Y Y N BNP Paribas SA BNP Paribas SA 0.180 R0MUWSFPU8MPRO8K5P83 BRT5BLP44 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N Y GOAL_05-2 2044-08-25 1.879250 13705992.00 11770000.74 Asset-Backed Securities Y Fitch - BR F1 Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-01 2020-04-01 2020-04-01 N N N 0.0018 11000000.00 11000000.00 0.0015 N Y Y N Bank of America Securities, Inc. Bank of America Securities, Inc. 0.780 549300HN4UKV1E2R3U73 BRT5CVEP6 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N SLST_19-1 2058-10-25 3.000000 61348373.00 45600000.25 Private Label Collateralized Mortgage Obligations Y Fitch - BR F1+ Moody's - BR NR Standard & Poor's - BR A-1 2020-04-01 2020-06-04 2020-06-04 Y BOFA SECURITIES INC 1.0000 65 N Fitch - BR AA- Moody's - BR NR Standard & Poor's - BR A+ N N 0.0078 38000000.00 38000000.00 0.0051 N N N Y JP Morgan Securities LLC JP Morgan Securities LLC 0.260 ZBUT11V806EZRVTWT807 BRT7ER652 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N Y BANK_18-BN12 2061-05-15 3.000000 142480.00 80230.63 Private Label Collateralized Mortgage Obligations NRZT_16-1 2056-03-27 1.022000 10103000.00 244226.93 Private Label Collateralized Mortgage Obligations RCMT_15-SBC2 2055-06-25 0.470000 16133000.00 236101.28 Private Label Collateralized Mortgage Obligations GFMT_18-2 2058-10-25 0.500000 17300000.00 339039.63 Private Label Collateralized Mortgage Obligations GFMT_17-1 2056-07-25 0.500000 90212736.00 170401.69 Private Label Collateralized Mortgage Obligations Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-01 2020-04-01 2020-04-01 N N N 0.0026 1000000.00 1000000.00 0.0001 N Y Y N JP Morgan Securities LLC JP Morgan Securities LLC 0.200 ZBUT11V806EZRVTWT807 0000782124 BRT7G0VZ5 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N Y ALLY BANK 549300C04BJ0G297NC13 2020-06-22 1.900000 25000.00 25182.14 Corporate Debt Securities BANK OF CHINA LTD (NEW YORK BRANCH) 2020-04-30 1.050000 169000.00 169005.07 Money Market BMO HARRIS BANK NA 3Y4U8VZURTYWI1W2K376 2020-12-31 1.200000 550000.00 550291.50 Money Market BANCO SANTANDER SA 5493006QMFDDMYWIAM13 2020-05-15 0.000000 993938.00 992278.12 Money Market BBVA USA C90VT034M03BN29IRA40 2020-05-01 1.000000 1008400.00 1008400.00 Money Market AMERICAN EXPRESS NATIONAL BANK 2MTSQ5CCMGGQ8GQ49R43 2021-03-31 1.250000 5638000.00 5635575.66 Money Market Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-01 2020-04-01 2020-04-01 N N N 0.0020 8000000.00 8000000.00 0.0011 N Y Y N Credit Suisse Securities USA LLC Credit Suisse Securities USA LLC 1.443 1V8Y6QCX6YMJ2OELII46 BRT8TNH36 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N JPMAC_07-CH2 2037-01-25 5.784000 1.00 0.40 Asset-Backed Securities MASTR ASSET BACKED SECURITIES TRUST MABS_06-NC2 2036-08-25 1.166630 2.00 0.40 Asset-Backed Securities MORGAN STANLEY MORTGAGE LOAN TRUST MSM_07-10XS 2037-02-25 1.536630 2.00 0.27 Asset-Backed Securities WASHINGTON MUTUAL ASSET - BACKED CERTIFICATES WMAB_06-H5 2036-10-25 1.806750 2.00 0.59 Asset-Backed Securities ACE SECURITIES CORP ACE_07-WM1 2036-11-25 1.016630 6.00 0.25 Asset-Backed Securities FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS_19-R07 2039-10-25 3.046630 6.00 4.52 Private Label Collateralized Mortgage Obligations STALT_06-1F-3A 2036-04-25 1.296630 10.00 0.25 Private Label Collateralized Mortgage Obligations MSM_04-11A 2035-01-25 1.266630 19.00 0.35 Private Label Collateralized Mortgage Obligations PSLT_07-CT1 2036-11-25 3.209500 120.00 1.07 Asset-Backed Securities OH EDISON CO 2038-10-15 8.250000 2000.00 3443.64 Corporate Debt Securities LXS_07-14H 2047-07-25 1.466630 25087.00 19.10 Private Label Collateralized Mortgage Obligations MLMI_06-HE6 2037-11-25 1.096630 34804.00 9093.29 Asset-Backed Securities MLMI_07-HE2 2037-02-25 1.366630 49017.00 12172.45 Asset-Backed Securities NATIONAL COLLEGE STUDENT LOAN 2045-06-01 5.160000 50000.00 47350.14 Asset-Backed Securities OOMLT_07-CP1 2037-03-25 1.066630 50499.00 16984.78 Asset-Backed Securities WMABS_06-HE2 2036-05-25 2.106750 50499.00 24153.74 Asset-Backed Securities SPECIALTY UNDERWRITING & RESIDENTIAL FINANCE SURF_07-BC2 2037-04-25 1.146630 61507.00 22896.02 Asset-Backed Securities LXS_07-7N 2047-06-25 1.186630 70697.00 8570.09 Private Label Collateralized Mortgage Obligations MABS_06-WMC3 2036-08-25 1.186630 77094.00 19078.11 Asset-Backed Securities BFTEST 2028-09-15 3.370000 84430.00 84381.62 Asset-Backed Securities SABR_06-F2 2036-03-25 1.446630 87818.00 43033.59 Asset-Backed Securities OPCTS_07-3 2037-04-25 1.866750 110091.00 39276.37 Asset-Backed Securities SGMS_06-O2 2036-10-25 1.086630 112780.00 15342.82 Asset-Backed Securities WMHE_07-H4 2037-06-25 1.116630 120110.00 47798.51 Asset-Backed Securities MLMI_06-R3 2037-06-25 1.426630 134689.00 23465.69 Asset-Backed Securities ACE SECURITIES CORP ACE_07-WM1 2036-11-25 1.166630 151495.00 37559.18 Asset-Backed Securities JPALT _05-A2 2036-01-25 1.636630 180899.00 122125.05 Private Label Collateralized Mortgage Obligations RENAISSANCE HOME EQUITY LOAN TRU 2036-11-25 6.120000 214253.00 95311.46 Asset-Backed Securities TMT_06-7 2037-08-25 1.216630 216338.00 93758.69 Asset-Backed Securities MORGAN STANLEY ABS CAPITAL I MSAC_06-HE6 2036-09-25 1.096630 217397.00 67761.18 Asset-Backed Securities MORGAN STANLEY CAPITAL INC MSAC_07-HE2 2037-01-25 1.156630 218828.00 60049.39 Asset-Backed Securities INDYMAC RESIDENTIAL ASSET BACKED TRUST INABS_06-E 2037-04-25 1.116630 307348.00 131444.26 Asset-Backed Securities MSAC_06-HE4 2036-06-25 1.246630 368180.00 45457.69 Asset-Backed Securities MASTR ASSET BACKED SECURITIES TRUST MABS_05-NC2 2035-11-25 1.446630 383855.00 74823.27 Asset-Backed Securities MORGAN STANLEY MORTGAGE LOAN TRUST MSM_07-10XS 2037-02-25 1.546630 386999.00 51746.48 Asset-Backed Securities OPTION ONE MORTGAGE LOAN TRUST O 2036-07-25 1.046630 770000.00 59097.35 Asset-Backed Securities CWALT_06-24CB 2036-08-25 6.000000 800000.00 195991.19 Private Label Collateralized Mortgage Obligations LONG BEACH MORTGAGE LOAN TRUST L 2036-03-25 1.326630 1075838.00 188236.88 Asset-Backed Securities WFMBS_07-AR3 2037-04-25 4.088780 1250000.00 71837.36 Private Label Collateralized Mortgage Obligations ACE_07-WM2 2037-02-25 1.156630 1491618.00 270079.48 Asset-Backed Securities ACE_07-WM2 2037-02-25 1.126630 1690646.00 301699.48 Asset-Backed Securities SLM STUDENT LOAN TRUST SLMA_03-4 2033-03-15 1.490500 2315000.00 789362.45 Asset-Backed Securities NCT_06-1 2037-05-25 1.546630 7499930.00 12230.67 Asset-Backed Securities ADJUSTABLE RATE MORTGAGE TRUST A 2037-03-25 1.246630 7499990.00 533938.97 Private Label Collateralized Mortgage Obligations VERT_05-1 2045-04-05 1.784250 9999980.00 13886.22 Asset-Backed Securities NATIONAL COLLEGIATE STUDENT LOAN TRUST 2006-2 2032-03-25 2.096630 24000000.00 10786.52 Asset-Backed Securities MALT_06-1 2036-02-25 1.646630 30000000.00 1714593.06 Private Label Collateralized Mortgage Obligations MELLON RESIDENTIAL FUNDING CORP MRFC_01-TBC1 2031-11-15 0.798900 1343637504.00 390827.88 Private Label Collateralized Mortgage Obligations Y Fitch - BR NR Moody's - BR NR Standard & Poor's - BR A-1 2020-04-01 2020-05-05 2020-05-05 Y CREDIT SUISSE SECURITIES (USA) L 1.0000 35 N Fitch - BR NR Moody's - BR NR Standard & Poor's - BR A+ N N 0.0144 5000000.00 5000000.00 0.0007 N N N Y Barclays Bank plc Barclays Bank plc 0.200 G5GSEF7VJP5I7OUK5573 BRTA2SM33 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N Y CIGNA CORP 549300VIWYMSIGT1U456 2038-08-15 4.800000 2888000.00 3259724.11 Corporate Debt Securities HSBC BANK USA NA 1IE8VN30JCEQV1H4R804 2034-11-01 5.875000 6717000.00 8202123.10 Corporate Debt Securities UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 2048-12-15 4.450000 11490000.00 14277391.02 Corporate Debt Securities CREDIT SUISSE AG ANGGYXNX0JLX3X63JN86 2023-08-08 6.500000 13890000.00 14161819.58 Corporate Debt Securities Y Fitch - BR F1 Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-01 2020-04-01 2020-04-01 N N N 0.0020 38000000.00 38000000.00 0.0051 N Y Y N TD Securities USA LLC TD Securities USA LLC 0.200 SUVUFHICNZMP2WKHG940 BRTECPD97 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N Y NORDEA BANK ABP (NEW YORK BRANCH) 2021-05-05 2.061000 3311681.00 3150000.60 Corporate Debt Securities Y Fitch - BR NR Moody's - BR NR Standard & Poor's - BR A-1+ 2020-04-01 2020-04-01 2020-04-01 N N N 0.0020 3000000.00 3000000.00 0.0004 N Y Y N Barclays Bank plc Barclays Bank plc 0.230 G5GSEF7VJP5I7OUK5573 BRTJ6RCK5 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N Y ADOBE INC FU4LY2G4933NH2E1CP29 2023-02-01 1.700000 448169.00 452067.58 Corporate Debt Securities SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 2050-02-01 3.650000 7951162.00 7947932.95 Corporate Debt Securities Y Fitch - BR F1 Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-01 2020-04-01 2020-04-01 N N N 0.0023 8000000.00 8000000.00 0.0011 N Y Y N HSBC Securities USA, Inc. HSBC Securities USA, Inc. 0.200 CYYGQCGNHMHPSMRL3R97 BRTK3MYH9 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N Y ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 2026-01-27 4.650000 15000.00 15804.40 Corporate Debt Securities AT&T INC 549300Z40J86GGSTL398 2028-02-15 4.100000 120000.00 124303.07 Corporate Debt Securities SHELL INTERNATIONAL FINANCE BV 213800ITMMKU4Z7I4F78 2026-05-10 2.875000 207000.00 212943.06 Corporate Debt Securities UBS GROUP AG 549300SZJ9VS8SGXAN81 2028-03-23 4.253000 251000.00 263611.99 Corporate Debt Securities VERISK ANALYTICS INC 549300I1YSWNIRKBWP67 2029-03-15 4.125000 1025960.00 1085561.44 Corporate Debt Securities AMGEN INC 62QBXGPJ34PQ72Z12S66 2024-05-22 3.625000 1100000.00 1156033.54 Corporate Debt Securities INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 2027-07-14 3.875000 3679000.00 3439306.51 Corporate Debt Securities DELL INTERNATIONAL LLC/EMC CORP 2029-10-01 5.300000 4225000.00 4202438.50 Corporate Debt Securities Y Fitch - BR NR Moody's - BR NR Standard & Poor's - BR A-1+ 2020-04-01 2020-04-01 2020-04-01 N N N 0.0020 10000000.00 10000000.00 0.0013 N Y Y N HSBC Securities USA, Inc. HSBC Securities USA, Inc. 0.280 CYYGQCGNHMHPSMRL3R97 BRTK3N6N5 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N Y HALST_19-A 2021-07-15 2.920000 19842753.00 12305000.51 Asset-Backed Securities Y Fitch - BR NR Moody's - BR NR Standard & Poor's - BR A-1+ 2020-04-01 2020-04-01 2020-04-01 N N N 0.0028 11500000.00 11500000.00 0.0016 N Y Y N Mizuho Securities USA LLC Mizuho Securities USA LLC 1.539 7TK5RJIZDFROZCA6XF66 BRTL107X2 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N OFSI FUND LTD OFSBS_14-6A 2025-03-20 4.331250 100000.00 89761.38 Asset-Backed Securities CGMS_13-2A 2029-01-18 3.119130 500000.00 451492.49 Asset-Backed Securities DRYDEN 30 SENIOR LOAN FUND LLC 2028-11-15 3.391630 500000.00 423713.52 Asset-Backed Securities LCM LTD PARTNERSHIP LCM_14A 2031-07-20 3.399130 800000.00 735951.54 Asset-Backed Securities MCLO_13-5A 2027-11-21 3.146000 1000000.00 890078.17 Asset-Backed Securities STCR_17-1A 2030-01-15 3.731250 1406250.00 1125755.28 Asset-Backed Securities OCTAGON INVESTMENT PARTNERS XXVI LTD OCT26_16-1AR 2030-07-15 3.631250 1730000.00 1417364.73 Asset-Backed Securities CGMS_15-3A 2028-07-28 3.695380 2000000.00 1695493.83 Asset-Backed Securities KKR_12 2030-10-15 4.081250 2000000.00 1664891.94 Asset-Backed Securities RFMSI_05-AH2 2035-10-25 1.576630 2000000.00 1639709.95 Asset-Backed Securities MIDO_14-3A 2031-04-21 3.619130 2500000.00 2141467.99 Asset-Backed Securities STCR_17-1A 2030-01-15 3.431250 2587500.00 2233332.70 Asset-Backed Securities CGMS_16-3R 2032-11-05 5.344600 3797963.00 3031756.16 Asset-Backed Securities VENTR_17-30A 2031-01-15 3.781250 4000000.00 3255570.56 Asset-Backed Securities WOODS_18-12BA-B 2031-06-15 2.590500 4700000.00 3998052.06 Asset-Backed Securities AESOP_19-3A 2026-03-20 2.360000 5000000.00 4385315.56 Asset-Backed Securities BABSN_13-IA 2028-01-20 3.319130 5000000.00 4311869.32 Asset-Backed Securities OZLM LTD OZLM_14-6A 2031-04-17 3.936130 5700000.00 4701479.32 Asset-Backed Securities OZLM LTD OZLM_18-18A 2031-04-15 2.851250 7106481.00 6670990.91 Asset-Backed Securities CBAM_18-7A 2031-07-20 3.419130 9375000.00 8635952.89 Asset-Backed Securities Y Fitch - BR NR Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-01 2020-05-05 2020-05-05 Y MIZUHO SECURITIES USA LLC 1.0000 35 N Fitch - BR NR Moody's - BR A1 Standard & Poor's - BR A N N 0.0154 50000000.00 50000000.00 0.0067 N N N Y Bank of America Securities, Inc. Bank of America Securities, Inc. 0.480 549300HN4UKV1E2R3U73 BRTLP0SL9 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N MEXICO (UNITED MEXICAN STATES) (GOVERNMENT) 254900EGTWEU67VP6075 2046-01-23 4.600000 454000.00 452039.22 Corporate Debt Securities URUGUAY (ORIENTAL REPUBLIC OF) 549300RDR012H2V82H43 2050-06-18 5.100000 6418939.00 7274005.87 Corporate Debt Securities CONNECTICUT AVENUE SECURITIES CA 2029-05-25 5.296630 11500000.00 7191613.24 Private Label Collateralized Mortgage Obligations FANNIE MAE FNMA_17-C04 2029-11-26 1.750000 48807067.00 1978622.22 Private Label Collateralized Mortgage Obligations Y Fitch - BR F1+ Moody's - BR NR Standard & Poor's - BR A-1 2020-04-01 2020-05-05 2020-05-05 Y BOFA SECURITIES INC 1.0000 35 N Fitch - BR AA- Moody's - BR NR Standard & Poor's - BR A+ N N 0.0048 15000000.00 15000000.00 0.0020 N N N Y Barclays Bank plc Barclays Bank plc 0.430 G5GSEF7VJP5I7OUK5573 BRTN5GRC3 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N Y BACARDI LTD SR GLBL 144A 28 2028-05-15 4.700000 4343000.00 4649550.66 Corporate Debt Securities OCCIDENTAL PETE CORP SR GLBL ZRO NT36 2036-10-10 0.000000 30877432.00 11850449.63 Corporate Debt Securities Y Fitch - BR F1 Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-01 2020-04-01 2020-04-01 N N N 0.0043 15000000.00 15000000.00 0.0020 N Y Y N Wells Fargo Securities LLC Wells Fargo Securities LLC 0.200 VYVVCKR63DVZZN70PB21 BRTRFGQB6 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N Y ANGELO GORDON MORTGAGE TRUST GCAT_19-RPL1 2068-10-25 2.650000 180000.00 162938.78 Private Label Collateralized Mortgage Obligations TRICON AMERICAN HOMES TAH_17-SFR2 2036-01-17 3.672000 200000.00 175798.20 Private Label Collateralized Mortgage Obligations TEXTAINER MARINE CONTAINERS LTD TMCL_19-1A 2044-04-20 3.960000 250000.00 218351.17 Asset-Backed Securities CLNC_19-F1 2035-08-20 2.000000 300000.00 271373.00 Private Label Collateralized Mortgage Obligations SRT_19-B 2023-08-21 2.770000 335000.00 289338.96 Asset-Backed Securities SRT_19-B-B 2023-08-21 2.580000 375000.00 326163.50 Asset-Backed Securities INVITATION HOMES TRUST IHSFR_17-SFR2 2036-12-17 1.555000 390000.00 325413.99 Private Label Collateralized Mortgage Obligations ORIX_18-CRE1 2036-06-15 1.884630 400000.00 361434.10 Asset-Backed Securities ACER_19-1A 2022-06-10 2.840000 500000.00 414999.99 Asset-Backed Securities NWSTR_17-1A 2027-03-20 4.615750 750000.00 661530.28 Asset-Backed Securities ARCLO_18-FL1 2028-06-15 1.854630 800000.00 663658.21 Asset-Backed Securities TRICON AMERICAN HOMES TAH_16-SFR 2033-11-17 2.589000 875000.00 786769.02 Private Label Collateralized Mortgage Obligations PFP_19-6 2037-04-14 1.754630 1000000.00 840011.10 Private Label Collateralized Mortgage Obligations SWH_17-SFR1 2035-01-17 1.655000 1120000.00 951659.09 Private Label Collateralized Mortgage Obligations TOWD POINT MORTGAGE TRUST TPMT_1 2056-10-25 3.778370 1167000.00 1020960.03 Private Label Collateralized Mortgage Obligations TWPT_16-5 2056-10-25 3.375000 1357000.00 1208759.28 Asset-Backed Securities AMERICAN AIRLINES P-T TR 2029-07-15 4.100000 1534999.00 1270330.08 Corporate Debt Securities KREF_18-FL1 2036-06-15 1.900130 1885000.00 1550259.70 Private Label Collateralized Mortgage Obligations DPABS_17-1A 2047-07-25 3.044130 1940000.00 1640799.59 Asset-Backed Securities OCT23_15-1AR 2027-07-15 3.681250 2000000.00 1735383.06 Asset-Backed Securities RRAM RRAM_18-3A 2030-01-15 3.631250 2000000.00 1668331.94 Asset-Backed Securities TCP_17-1A 2029-08-20 3.944630 2000000.00 1715525.84 Asset-Backed Securities ANCHORAGE CAPITAL CLO ANCHC_15-6AR 2030-07-15 4.231250 2300000.00 1932535.07 Asset-Backed Securities HLM_13-2RR 2029-10-22 3.444130 2500000.00 2253505.67 Asset-Backed Securities SHACK_15-8A 2027-10-20 3.469130 2532500.00 2123096.34 Asset-Backed Securities VOYA CLO LTD VOYA_18-1A 2031-04-19 3.619130 2800000.00 2308284.15 Asset-Backed Securities APIDOS CLO APID_13-12A 2031-04-15 3.631250 2936345.00 2409376.70 Asset-Backed Securities ATRIUM CDO CORP ATRM_13A 2030-11-21 3.606250 3000000.00 2491415.42 Asset-Backed Securities HOME PARTNERS OF AMERICA TRUST H 2034-07-17 2.255000 3613194.00 3289765.95 Private Label Collateralized Mortgage Obligations BRITISH AIRWAYS 2018-1 CLASS A PASS THROUGH TRUST 2033-03-20 4.125000 4540000.00 3856643.23 Corporate Debt Securities B2R_15-2 2048-11-15 5.765420 5000000.00 4454657.58 Asset-Backed Securities GARR_18-1A 2027-03-20 2.865750 5400000.00 4784862.49 Asset-Backed Securities HPA_17 2034-07-17 2.605000 6020000.00 5371971.38 Private Label Collateralized Mortgage Obligations WDMNT_17-2A 2028-07-18 4.869130 6750000.00 5697457.33 Asset-Backed Securities BRMT_15-1 2048-05-15 4.831000 9000000.00 8027179.50 Private Label Collateralized Mortgage Obligations MARINER FINANCE ISSUANCE TRUST MFIT_19-AA 2032-07-20 2.960000 9000000.00 7593790.00 Asset-Backed Securities CRMN 2013-1A 2028-01-27 3.594130 12455000.00 10745670.38 Asset-Backed Securities Y Fitch - BR NR Moody's - BR NR Standard & Poor's - BR A-1 2020-04-01 2020-04-01 2020-04-01 N N N 0.0020 80000000.00 80000000.00 0.0108 N Y Y N Barclays Bank plc Barclays Bank plc 0.530 G5GSEF7VJP5I7OUK5573 BRTUB3061 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N BROOKFIELD FIN INC SR NT 4.25%26 2026-06-02 4.250000 7589000.00 8090091.13 Corporate Debt Securities LLOYDS BKG GROUP PLC SR SB GLBL NT 26 2026-03-24 4.650000 7478000.00 7660344.80 Corporate Debt Securities Y Fitch - BR F1 Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-01 2020-07-04 2020-07-04 Y BARCLAYS BANK PLC 1.0000 95 N Fitch - BR A+ Moody's - BR A1 Standard & Poor's - BR A N N 0.0053 15000000.00 15000000.00 0.0020 N N N Y JP Morgan Securities LLC JP Morgan Securities LLC 0.380 ZBUT11V806EZRVTWT807 BRTW7RFN6 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N ALLY FINANCIAL INC 549300JBN1OSM8YNAI90 2024-09-30 5.125000 11000.00 10558.13 Corporate Debt Securities M&T BK CORP 549300WYXDDBYRASEG81 2049-12-31 5.125000 16000.00 15381.67 Corporate Debt Securities JBS USA LUX SA P77IMDGVZE8EFBTF2M92 2024-07-15 5.875000 25000.00 25497.57 Corporate Debt Securities VISTRA ENERGY CORP 549300KP43CPCUJOOG15 2023-06-01 5.875000 27000.00 27528.75 Corporate Debt Securities NOKIA OYJ 549300A0JPRWG1KI7U06 2027-06-12 4.375000 29000.00 28224.15 Corporate Debt Securities VIPER ENERGY PARTNERS LP 5299009LINL232255G03 2027-11-01 5.375000 41000.00 35450.05 Corporate Debt Securities QWEST CORP 549300R2L4N683OO1509 2025-09-15 7.250000 42000.00 42793.05 Corporate Debt Securities LENNAR CORP 529900G61XVRLX5TJX09 2021-04-01 4.750000 50000.00 51062.50 Corporate Debt Securities UNITED RENTALS (NORTH AMERICA) INC NGIZXNT70J2LYT3FBI09 2030-07-15 4.000000 55000.00 48620.00 Corporate Debt Securities CREDIT ACCEP CORP 2026-03-15 6.625000 68000.00 64779.82 Corporate Debt Securities SENSATA TECHNOLOGIES BV PUCKW5P5O3XMOZVH7T53 2024-11-01 5.625000 75000.00 74882.81 Corporate Debt Securities WR GRACE & CO-CONN 549300GJVOEHHLSO6K25 2024-10-01 5.625000 80000.00 80650.00 Corporate Debt Securities SUMMIT MATERIALS LLC 549300C97P3BW8QROE16 2027-03-15 6.500000 87000.00 81705.08 Corporate Debt Securities CHOBANI LLC 549300ISVDMZ91KNTR38 2025-04-15 7.500000 100000.00 91458.33 Corporate Debt Securities CHARLES SCHWAB CORP 549300VSGCJ7E698NM85 2049-12-31 5.000000 138000.00 116840.00 Corporate Debt Securities VALE OVERSEAS LTD 254900BA3U6G5DNV5V04 2039-11-10 6.875000 180000.00 198809.30 Corporate Debt Securities BOMBARDIER INC W7L3VLU8EHQY34Z36697 2022-10-15 6.000000 200000.00 156783.33 Corporate Debt Securities LEVEL 3 FINANCING INC OKXQCBALRQBU7RU5WQ22 2026-03-15 5.250000 235000.00 240101.46 Corporate Debt Securities UNITI GROUP INC 549300V3NU625PJUVA84 2023-04-15 6.000000 330000.00 300355.00 Corporate Debt Securities SEALED AIR CORPORATION Q0M0CZB4YN6JZ65WXI09 2022-12-01 4.875000 425000.00 429781.25 Corporate Debt Securities BECTON DICKINSON AND COMPANY ICE2EP6D98PQUILVRZ91 2047-06-06 4.669000 484000.00 552648.07 Corporate Debt Securities FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 2024-09-08 3.664000 490000.00 428672.04 Corporate Debt Securities LENNAR CORP 529900G61XVRLX5TJX09 2027-06-15 5.000000 509000.00 493588.61 Corporate Debt Securities VISTRA ENERGY CORP 549300KP43CPCUJOOG15 2026-01-30 8.125000 666000.00 693333.75 Corporate Debt Securities OCCIDENTAL PETROLEUM CORPORATION IM7X0T3ECJW4C1T7ON55 2045-06-15 4.625000 705000.00 309190.48 Corporate Debt Securities AMERICAN BUILDERS & CONTRACTORS SUPPLY C 549300H5GQ4C1BEKG397 2028-01-15 4.000000 762000.00 703376.80 Corporate Debt Securities SIRIUS XM RADIO INC WP5O65E6BMU84LNO4227 2027-08-01 5.000000 780000.00 794222.00 Corporate Debt Securities NUSTAR LOGISTICS LP N62BF2PKP51FIIOIUN20 2026-06-01 6.000000 849990.00 645992.40 Corporate Debt Securities ENVISION HEALTHCARE CORP 549300OL60X0LPKY8N60 2026-10-15 8.750000 908000.00 445235.28 Corporate Debt Securities FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 2023-02-15 4.140000 938000.00 849349.62 Corporate Debt Securities IMMUCOR INC 549300CSHW546WORC082 2022-02-15 11.125000 1026000.00 937984.87 Corporate Debt Securities SELECT MEDICAL CORP 2026-08-15 6.250000 1121390.00 1151371.61 Corporate Debt Securities FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 2023-08-06 4.375000 1190000.00 1067053.99 Corporate Debt Securities ASHLAND LLC 6O4MRU8C1MS0K34UQF79 2043-05-15 6.875000 1573000.00 1621719.31 Corporate Debt Securities LIVE NATION ENTERTAINMENT INC 5493007B9BM9ZXJINO78 2027-10-15 4.750000 1630000.00 1518571.39 Corporate Debt Securities CONSTELLIUM SE (FRANCE) 2025-03-01 6.625000 1771000.00 1585570.64 Corporate Debt Securities KRATON POLYMERS LLC 549300UKP7HNTB21X136 2025-04-15 7.000000 2030000.00 1633698.89 Corporate Debt Securities OCCIDENTAL PETROLEUM CORPORATION IM7X0T3ECJW4C1T7ON55 2024-08-15 2.900000 2155000.00 1180628.72 Corporate Debt Securities LADDER CAPITAL FINANCE HOLDINGS LLLP 2027-02-01 4.250000 2162000.00 1737995.77 Corporate Debt Securities Team Hlth Hldgs 549300PVTQ4UDTTMQT11 2025-02-01 6.375000 2177000.00 1155170.63 Corporate Debt Securities CCO HOLDINGS LLC 2026-02-15 5.750000 2278000.00 2331754.47 Corporate Debt Securities 1011778 BC UNLIMITED LIABILITY CO 549300RHSHNRWI5LLA86 2025-10-15 5.000000 2559500.00 2528928.19 Corporate Debt Securities TPC GROUP INC 549300K276KVW5JD1583 2024-08-01 10.500000 2600000.00 2200900.00 Corporate Debt Securities CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 2028-02-01 5.375000 2963000.00 3082137.29 Corporate Debt Securities TESLA INC 54930043XZGB27CTOV49 2025-08-15 5.300000 5190000.00 4935545.83 Corporate Debt Securities EQT CORP 4NT01YGM4X7ZX86ISY52 2025-02-01 6.125000 5549000.00 4213964.55 Corporate Debt Securities ALTICE FRANCE SA (FRANCE) 5493001ZMCICV4N02J21 2026-05-01 7.375000 7113000.00 7189568.48 Corporate Debt Securities RR DONNELLEY & SONS COMPANY SU4X0P4WWRGOQDTSV032 2024-04-01 6.000000 20000000.00 20100200.00 Corporate Debt Securities Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-01 2020-04-07 2020-04-07 Y JP MORGAN SECURITIES LLC 1.0000 7 N Fitch - BR AA Moody's - BR Aa3 Standard & Poor's - BR A+ N N 0.0038 60000000.00 60000000.00 0.0081 N N Y N Citigroup Global Markets, Inc. Citigroup Global Markets, Inc. 1.606 MBNUM2BPBDO7JBLYG310 BRTWDY7G8 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N GOVERNMENT NATIONAL MORTGAGE ASS 2065-12-20 2.411880 67173.00 49103.02 Agency Collateralized Mortgage Obligation GNMA_14-H13A 2064-07-20 2.230000 100000.00 4917.57 Agency Collateralized Mortgage Obligation GOVERNMENT NATIONAL MORTGAGE ASS 2066-12-20 2.400110 3900694.00 495495.56 Agency Collateralized Mortgage Obligation FHSTR_318 2043-11-15 0.000000 9485266.00 4999999.89 Agency Collateralized Mortgage Obligation Y Fitch - BR F1 Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-01 2020-06-01 2020-06-01 Y CITIGROUP GLOBAL MARKETS INC 1.0000 62 N Fitch - BR A+ Moody's - BR A1 Standard & Poor's - BR A+ N N 0.0161 5000000.00 5000000.00 0.0007 N N N Y JP Morgan Securities LLC JP Morgan Securities LLC 1.800 ZBUT11V806EZRVTWT807 BRW1ZAUR0 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N SLMA_12-1 2028-09-25 1.896630 274999.00 173723.83 Asset-Backed Securities JPMCC_16-WIKI 2031-10-05 4.009000 376120.00 302503.85 Private Label Collateralized Mortgage Obligations NRZT_19-2 2057-12-26 5.056210 467000.00 377789.06 Private Label Collateralized Mortgage Obligations NRZT_19-5 2059-08-25 4.700000 688000.00 700675.11 Private Label Collateralized Mortgage Obligations NRZT_19-5 2059-08-25 4.700000 967000.00 982081.96 Private Label Collateralized Mortgage Obligations INGIM_14-1A 2031-04-18 10.169130 1307310.00 751197.72 Asset-Backed Securities BAYVIEW OPPORTUNITY MASTER FUND TRUST BOMFT_17-RT3 2058-01-28 4.500000 1310730.00 936044.72 Asset-Backed Securities BAF_04-B 2034-12-20 2.422880 1500000.00 708095.44 Private Label Collateralized Mortgage Obligations TPMT_19-1 2058-03-25 3.880830 1747000.00 1616327.94 Asset-Backed Securities HALLAF_15-2 2027-07-25 7.494130 2138744.00 1499222.97 Asset-Backed Securities IMSA_06-4 2037-01-25 1.206630 2210752.00 1297054.10 Private Label Collateralized Mortgage Obligations HOME EQUITY MORTGAGE TRUST HEMT_06-3 2036-09-25 5.972000 2687000.00 428725.51 Asset-Backed Securities GSAMP_05-WMC3 2035-12-25 1.606630 3125000.00 2679686.79 Asset-Backed Securities SLMA_03-1 2032-12-15 1.490500 4964000.00 1622279.35 Asset-Backed Securities HOME EQUITY ASSET TRUST HEAT_06- 2037-01-25 1.426630 6452400.00 1340626.58 Asset-Backed Securities ALESC_9A 2036-06-23 1.895130 6501000.00 4580802.68 Asset-Backed Securities OZLM_14-9A 2031-10-20 10.159130 7140000.00 4069898.99 Asset-Backed Securities COUNTRYWIDE ASSET BACKED CERTIFI 2035-06-25 5.750000 8000000.00 551677.19 Asset-Backed Securities FLAGSHIP CLO FLAGS_13-7A 2026-01-20 6.569130 8490000.00 6873616.99 Asset-Backed Securities MALT_05-6 2035-12-25 1.396630 16963000.00 717461.66 Private Label Collateralized Mortgage Obligations CWALT_06-6CB 2036-05-25 1.646630 39828000.00 2290507.83 Private Label Collateralized Mortgage Obligations Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-01 2020-06-29 2020-06-29 Y JP MORGAN SECURITIES LLC 1.0000 90 N Fitch - BR AA Moody's - BR Aa3 Standard & Poor's - BR A+ N N 0.0180 30000000.00 30000000.00 0.0040 N N N Y JP Morgan Securities LLC JP Morgan Securities LLC 0.430 ZBUT11V806EZRVTWT807 BRW2XJPL0 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N COVANTA HOLDING CORP 40XIFLS8XDQGGHGPGC04 2025-07-01 5.875000 60000.00 55481.25 Corporate Debt Securities MGIC INVESTMENT CORPORATION 254900S8483WM4M98R28 2023-08-15 5.750000 65000.00 60602.57 Corporate Debt Securities WESTERN GAS PARTNERS LP L6D8A6MLSY454J2JXJ60 2025-02-01 3.100000 75000.00 36467.75 Corporate Debt Securities CIT GROUP INC N8O96ZZJQRFYQUJY7K79 2023-08-01 5.000000 80000.00 77217.07 Corporate Debt Securities MURPHY OIL CORP QBKYQD0ODE7DC7PDIN91 2022-06-01 4.000000 83000.00 55938.96 Corporate Debt Securities CBL & ASSOCIATES LP 549300VS75TWHD9JTH89 2023-12-01 5.250000 500000.00 131250.00 Corporate Debt Securities NEXTERA ENERGY OPERATING PARTNERS LP 549300KJEC5IUVJWR786 2024-07-15 4.250000 999994.00 973966.38 Corporate Debt Securities COUNTRYWIDE ASSET- BACKED CERTIF 2035-12-25 1.936630 1100000.00 829228.07 Asset-Backed Securities TRONOX FINANCE PLC 2025-10-01 5.750000 2949000.00 2561472.73 Corporate Debt Securities CNX MIDSTREAM PARTNERS LP 2026-03-15 6.500000 2999760.00 2048502.77 Corporate Debt Securities MVEW_15-10A 2027-10-13 6.697880 5000000.00 3557210.37 Asset-Backed Securities COUNTRYWIDE ASSET-BACKED CERTIFI 2035-10-25 5.934000 5144800.00 3145291.37 Asset-Backed Securities ROCKFORD TOWER CLO LTD ROCKT_18-1A 2031-05-20 7.544630 6000000.00 4210037.53 Asset-Backed Securities Providen HELT002 2031-08-25 1.486630 32000000.00 369411.83 Asset-Backed Securities IMSA_06-4 2037-01-25 1.206630 43656704.00 25613504.82 Private Label Collateralized Mortgage Obligations CNF_00-2 2030-12-01 8.850000 69439000.00 13719680.74 Asset-Backed Securities Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1 2020-04-01 2020-04-07 2020-04-07 Y JP MORGAN SECURITIES LLC 1.0000 7 N Fitch - BR AA Moody's - BR Aa3 Standard & Poor's - BR A+ N N 0.0043 50000000.00 50000000.00 0.0067 N N Y N Wells Fargo Securities LLC Wells Fargo Securities LLC 2.070 VYVVCKR63DVZZN70PB21 BRW0PPPU9 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N LADDER CAPITAL COMMERCIAL MORTGA 2050-07-12 3.327000 1059248.00 608790.61 Private Label Collateralized Mortgage Obligations WELLS FARGO COMMERCIAL MORTGAGE 2060-01-15 3.250000 6469000.00 3906566.57 Private Label Collateralized Mortgage Obligations CITIGROUP COMMERCIAL MORTGAGE TR 2049-08-10 3.250000 7495445.00 4814806.53 Private Label Collateralized Mortgage Obligations WELLS FARGO COMMERCIAL MORTGAGE 2049-12-15 3.190590 20000000.00 12069836.52 Private Label Collateralized Mortgage Obligations Y Fitch - BR NR Moody's - BR NR Standard & Poor's - BR A-1 2020-04-06 2020-04-06 2020-04-06 N N N 0.0207 20000000.00 20000000.00 0.0027 N N Y N JP Morgan Securities LLC JP Morgan Securities LLC 1.990 ZBUT11V806EZRVTWT807 BRW1TK1E6 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N CHEMOURS COMPANY 549300M1BOLNXL8DOV14 2027-05-15 5.375000 1200000.00 960366.67 Corporate Debt Securities ARAMARK SERVICES INC 42YMHYH0XMHJEXDUB065 2028-02-01 5.000000 3377470.00 3152305.33 Corporate Debt Securities HCA-THE HEALTHCARE CO L3CJ6J7LJ2DX62FTXD46 2029-02-01 5.875000 4981640.00 5316862.86 Corporate Debt Securities OCCIDENTAL PETROLEUM CORPORATION IM7X0T3ECJW4C1T7ON55 2021-08-13 2.600000 9096000.00 7112223.04 Corporate Debt Securities Y Fitch - BR F1+ Moody's - BR P-1 Standard & Poor's - BR A-1 2020-05-13 2020-05-13 2020-05-13 N N N 0.0199 15000000.00 15000000.00 0.0020 N N N Y Wells Fargo Securities LLC Wells Fargo Securities LLC 1.710 VYVVCKR63DVZZN70PB21 BRW2E4270 Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 2049-12-31 5.900000 7000.00 6632.77 Corporate Debt Securities MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 2049-12-31 5.550000 19000.00 16165.14 Corporate Debt Securities CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 2049-12-31 6.125000 60000.00 55838.33 Corporate Debt Securities CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 2049-12-31 5.950000 92000.00 77059.46 Corporate Debt Securities OCCIDENTAL PETROLEUM CORPORATION IM7X0T3ECJW4C1T7ON55 2026-08-15 3.200000 96000.00 47103.25 Corporate Debt Securities OCCIDENTAL PETROLEUM CORPORATION IM7X0T3ECJW4C1T7ON55 2040-03-15 6.200000 411000.00 184656.36 Corporate Debt Securities CRESTWOOD MIDSTREAM PARTNERS LP 549300VJQPPSEJPBNA66 2023-04-01 6.250000 1300000.00 781235.00 Corporate Debt Securities MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 2049-12-31 5.441250 1501000.00 1282074.77 Corporate Debt Securities NAVIOS MARITIME HOLDINGS INC 549300S82W3QK11L1415 2022-01-15 7.375000 1613000.00 657885.57 Corporate Debt Securities CHUBB INA HOLDINGS INC CZCBJZWDMLTHWJDXU843 2025-03-15 3.150000 2188000.00 2246791.56 Corporate Debt Securities GOLDMAN SACHS GROUP INC/THE 784F5XWPLTWKTBV3E584 2049-12-31 5.375000 2225000.00 2006954.64 Corporate Debt Securities FRESH MARKET INC 529900QM5ZSBEBR6CS58 2023-05-01 9.750000 3307000.00 1556356.88 Corporate Debt Securities COVEY PARK ENERGY LLC 549300VDDRDUUX1SL778 2025-05-15 7.500000 3819000.00 2323225.00 Corporate Debt Securities CEC ENTERTAINMENT INC 549300MWTY75LB8TRO50 2022-02-15 8.000000 5313000.00 2176163.48 Corporate Debt Securities MALLINCKRODT INTERNATIONAL FINANCE SA 549300MQQ92LN1A0B514 2022-08-01 5.750000 6680000.00 3451045.72 Corporate Debt Securities Y Fitch - BR NR Moody's - BR NR Standard & Poor's - BR A-1 2020-06-03 2020-06-03 2020-06-03 N N N 0.0171 15000000.00 15000000.00 0.0020 N N N Y BlackRock Liquidity Funds 2020-04-06 /s/Neal J. Andrews Neal J. Andrews Chief Financial Officer