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799892.80 Agency Debentures and Agency Strips FANNIE MAE B1V7KEBTPIMZEU4LTD58 2032-10-01 3.000000 800000.00 250322.71 Agency Mortgage-Backed Securities FEDERAL FARM CREDIT BANKS FUNDING CORP 2047-04-11 3.580000 925000.00 1164100.89 Agency Debentures and Agency Strips FEDERAL HOME LOAN BANKS 2549001DPIFGXC1TOL40 2028-05-18 3.780000 955000.00 988038.23 Agency Debentures and Agency Strips FEDERAL FARM CREDIT BANKS FUNDING CORP 2021-02-23 2.700000 970000.00 982659.47 Agency Debentures and Agency Strips FREDDIE MAC GOLD 2027-12-25 9.000000 1000000.00 4535.63 Agency Mortgage-Backed Securities FNMA_05-80 2035-08-25 4.750000 1000000.00 1633.71 Agency Collateralized Mortgage Obligation FANNIE MAE B1V7KEBTPIMZEU4LTD58 2029-08-01 7.000000 1000272.00 5956.09 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2029-09-01 6.000000 1019510.00 161517.14 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2050-09-01 2.500000 1043294.00 1119895.64 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORPORATION S6XOOCT0IEG5ABCC6L87 2038-06-01 5.500000 1063828.00 28321.73 Agency Mortgage-Backed Securities FREDDIE MAC GOLD 2023-09-01 6.500000 1096194.00 19605.66 Agency Mortgage-Backed Securities FEDERAL FARM CREDIT BANKS FUNDING CORP 2036-12-19 2.830000 1100000.00 1286655.76 Agency Debentures and Agency Strips FEDERAL FARM CREDIT BANKS FUNDING CORP 2021-10-04 0.299500 1100000.00 1101865.94 Agency Debentures and Agency Strips FANNIE MAE B1V7KEBTPIMZEU4LTD58 2038-03-01 6.000000 1150000.00 80421.38 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORPORATION S6XOOCT0IEG5ABCC6L87 2050-01-01 4.000000 1200000.00 949164.18 Agency Mortgage-Backed Securities FEDERAL HOME LOAN BANKS 2549001DPIFGXC1TOL40 2030-02-12 3.370000 1270000.00 1289138.48 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORPORATION S6XOOCT0IEG5ABCC6L87 2050-08-01 3.500000 1273028.00 1269673.15 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE 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Mortgage-Backed Securities FEDERAL FARM CREDIT BANKS FUNDING CORP 2040-06-18 2.090000 1508000.00 1516905.25 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORPORATION S6XOOCT0IEG5ABCC6L87 2049-04-01 4.500000 1663188.00 1164961.83 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2033-04-01 3.500000 1723272.00 1513964.54 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2027-09-01 6.000000 1840000.00 37763.09 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2036-01-01 5.500000 1900000.00 39723.95 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2039-10-01 5.000000 2065000.00 231853.23 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORPORATION S6XOOCT0IEG5ABCC6L87 2035-07-01 5.500000 2140000.00 50639.47 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR_14-47 2048-02-16 0.128180 2260000.00 4357.85 Agency Collateralized Mortgage Obligation FEDERAL HOME LOAN MORTGAGE 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Mortgage Obligation UNITED STATES TREASURY 254900HROIFWPRGM1V77 2021-04-29 0.000000 31613000.00 31595770.91 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORPORATION S6XOOCT0IEG5ABCC6L87 2023-05-01 5.000000 38310272.00 252621.00 Agency Mortgage-Backed Securities UNITED STATES TREASURY 254900HROIFWPRGM1V77 2041-11-15 3.125000 54834000.00 73005401.11 U.S. Treasuries (including strips) GNMA_13-16A 2040-04-20 4.500000 68618480.00 2972.33 Agency Collateralized Mortgage Obligation FSPC_T-55 2043-03-25 0.142690 71753615.00 397.27 Agency Collateralized Mortgage Obligation GNMA_10-13 2051-11-16 0.000000 75000000.00 33.99 Agency Collateralized Mortgage Obligation FANNIE MAE B1V7KEBTPIMZEU4LTD58 2034-02-01 4.000000 78614656.00 54261182.20 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORPORATION S6XOOCT0IEG5ABCC6L87 2048-03-01 3.500000 97229696.00 61868331.93 Agency Mortgage-Backed Securities FEDERAL HOME LOAN BANKS 2549001DPIFGXC1TOL40 2021-01-06 0.064000 100000000.00 100002266.67 Agency Debentures and Agency Strips GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_10-140 2043-10-16 0.043570 101715856.00 2050.62 Agency Collateralized Mortgage Obligation FREDDIE MAC GOLD 2048-01-01 3.000000 113685280.00 66463808.42 Agency Mortgage-Backed Securities GNMA_10-159 2050-08-16 0.000000 145979824.00 2209.52 Agency Collateralized Mortgage Obligation UNITED STATES TREASURY 254900HROIFWPRGM1V77 2045-02-15 0.750000 208278000.00 287821584.92 U.S. Treasuries (including strips) FANNIE MAE B1V7KEBTPIMZEU4LTD58 2050-07-01 3.000000 257425408.00 265125372.89 Agency Mortgage-Backed Securities Y Fitch F1 Moody's NR Standard & Poor's A-1 2020-11-02 2020-12-04 2020-12-04 Y GOLDMAN SACHS & CO LLC 1.0000 35 N Fitch A+ Moody's NR Standard & Poor's A+ N N 0.0036 1114500000.00 1114500000.00 0.0068 N N N Y Natixis SA Natixis SA 0.090 KX1WK48MPD4Y2NCUIZ63 BRTAJB4Y4 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y Y UNITED STATES TREASURY 254900HROIFWPRGM1V77 2045-02-15 2.500000 100.00 120.38 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2045-05-15 3.000000 100.00 131.77 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2043-05-15 2.875000 200.00 257.22 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2025-09-30 0.250000 300.00 298.36 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2032-04-15 3.375000 400.00 878.97 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2042-02-15 0.750000 500.00 713.09 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2045-08-15 2.875000 500.00 642.48 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2022-07-31 0.125000 700.00 699.81 U.S. Treasuries (including strips) FANNIE MAE B1V7KEBTPIMZEU4LTD58 2033-07-01 3.750000 1000.00 1209.43 Agency Mortgage-Backed Securities UNITED STATES TREASURY 254900HROIFWPRGM1V77 2047-02-15 3.000000 2300.00 3037.85 U.S. Treasuries (including strips) GINNIE MAE II 2050-07-20 4.000000 947561.00 1012072.85 Agency Mortgage-Backed Securities Y Fitch F1 Moody's P-1 Standard & Poor's A-1 2020-11-02 2020-11-02 2020-11-02 N N N 0.0009 1000000.00 1000000.00 0.0000 N Y Y N Citigroup Global Markets, Inc. Citigroup Global Markets, Inc. 0.160 MBNUM2BPBDO7JBLYG310 BRTBNRY29 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FREMF MTG TR 2018-KW07 C 20281025 0.00000 2028-10-25 0.000000 18636168.00 9779105.52 Agency Collateralized Mortgage Obligation FREMF MTG TR 2018-KW06 C 20280625 FLT 2028-06-25 0.000000 24442274.00 13162995.59 Agency Collateralized Mortgage Obligation FREMF MTG TR 2018-KF49 B 20250625 FLT 2025-06-25 2.048200 1499759.00 633824.78 Agency Collateralized Mortgage Obligation FRESB MTG TR 2020-SB76 X1 20400425 FLT 2040-04-25 1.317300 38250000.00 3001867.10 Agency Collateralized Mortgage Obligation FRESB MTG TR 2020-SB78 B 20400725 FLT 2040-07-25 7.500000 29000000.00 22937946.33 Agency Collateralized Mortgage Obligation FRESB MTG TR 2020-SB79 X1 20400725 FLT 2040-07-25 1.235700 37000000.00 3218610.22 Agency Collateralized Mortgage Obligation FGST GIO 0192 S10069 2027-12-15 6.500000 50500000.00 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Agency Collateralized Mortgage Obligation FGRM 01087I 06/15/21 2021-06-15 8.500000 772000.00 463.65 Agency Collateralized Mortgage Obligation FGRM 01136H 09/15/21 2021-09-15 6.000000 430000.00 93.76 Agency Collateralized Mortgage Obligation FGRM 01094K 06/15/21 2021-06-15 7.000000 300000.00 90.06 Agency Collateralized Mortgage Obligation FGRM 1128IB 08/15/21 2021-08-15 7.000000 734000.00 27.50 Agency Collateralized Mortgage Obligation FGRM 01130K 09/15/21 2021-09-15 5.500000 284000.00 97.25 Agency Collateralized Mortgage Obligation FGRM 01133H 09/15/21 2021-09-15 7.000000 804000.00 312.35 Agency Collateralized Mortgage Obligation FGRM 01119H 08/15/21 2021-08-15 7.750000 946500.00 282.66 Agency Collateralized Mortgage Obligation FGRM 01101M 07/15/21 2021-07-15 6.950000 6000.00 1.09 Agency Collateralized Mortgage Obligation FGRM 01122G 08/15/21 2021-08-15 7.000000 1102000.00 410.45 Agency Collateralized Mortgage Obligation FGRM 01168H 11/15/21 2021-11-15 7.500000 53000.00 66.20 Agency Collateralized Mortgage Obligation FGRM 1144KB 09/15/21 2021-09-15 8.500000 100000.00 122.12 Agency Collateralized Mortgage Obligation FGRM 01169G 11/15/21 2021-11-15 7.000000 351000.00 132.25 Agency Collateralized Mortgage Obligation FGRM 01175D 11/15/21 2021-11-15 8.000000 519000.00 207.26 Agency Collateralized Mortgage Obligation FGRM 1142IA 10/15/21 2021-10-15 7.000000 574000.00 173.82 Agency Collateralized Mortgage Obligation FGRM 01152L 10/15/21 2021-10-15 7.000000 244000.00 155.41 Agency Collateralized Mortgage Obligation FGRM 1206IA 03/15/22 2022-03-15 7.000000 28000.00 22.35 Agency Collateralized Mortgage Obligation FGRM 01200Z 02/15/22 2022-02-15 7.000000 2604946.00 6745.69 Agency Collateralized Mortgage Obligation FGRM 01250J 05/15/22 2022-05-15 7.000000 369000.00 495.05 Agency Collateralized Mortgage Obligation FGRM 01281I 05/15/22 2022-05-15 8.000000 113000.00 419.12 Agency Collateralized Mortgage Obligation FGRA 01235A 04/15/22 2022-04-15 0.000000 200000.00 1.46 Agency Collateralized Mortgage Obligation FGRM 01235C 04/15/22 2022-04-15 7.000000 1000000.00 7.43 Agency Collateralized Mortgage Obligation FGRM 01252J 05/15/22 2022-05-15 8.000000 1000.00 2.69 Agency Collateralized Mortgage Obligation FGRM 01311K 07/15/22 2022-07-15 7.000000 100000.00 301.80 Agency Collateralized Mortgage Obligation FGRM 01326J 07/15/22 2022-07-15 7.000000 90000.00 161.58 Agency Collateralized Mortgage Obligation FGRM 01312I 07/15/22 2022-07-15 8.000000 270000.00 433.71 Agency Collateralized Mortgage Obligation FGRM 01274L 05/15/22 2022-05-15 7.000000 254000.00 280.73 Agency Collateralized Mortgage Obligation FGRM 01286A 05/15/22 2022-05-15 6.000000 2654000.00 77.94 Agency Collateralized Mortgage Obligation FGRM 01278K 05/15/22 2022-05-15 7.000000 31000.00 21.14 Agency Collateralized Mortgage Obligation FGRM 1289PV 06/15/22 2022-06-15 7.500000 19000.00 33.66 Agency Collateralized Mortgage Obligation FGRM 01294D 06/15/22 2022-06-15 7.500000 40000.00 0.92 Agency Collateralized Mortgage Obligation FGRM 01283K 06/15/22 2022-06-15 7.000000 407000.00 1342.42 Agency Collateralized Mortgage Obligation FGRM 01303L 06/15/22 2022-06-15 8.250000 284000.00 371.46 Agency Collateralized Mortgage Obligation FGRM 1343LA 08/15/22 2022-08-15 8.000000 83000.00 215.08 Agency Collateralized Mortgage Obligation FGRM 1343LB 08/15/22 2022-08-15 7.500000 51000.00 131.80 Agency Collateralized Mortgage Obligation FGRM 1351TE 08/15/22 2022-08-15 7.000000 29000.00 73.85 Agency Collateralized Mortgage Obligation FGRM 01347I 08/15/22 2022-08-15 8.000000 283000.00 1072.05 Agency Collateralized Mortgage Obligation FGRM 1407PM 11/15/22 2022-11-15 7.000000 155000.00 723.49 Agency Collateralized Mortgage Obligation FGRM 01406L 11/15/22 2022-11-15 7.500000 40000.00 400.00 Agency Collateralized Mortgage Obligation FGRM 1367KA 09/15/22 2022-09-15 6.500000 123000.00 452.47 Agency Collateralized Mortgage Obligation FGRM 01384D 09/15/22 2022-09-15 7.000000 23000.00 141.76 Agency Collateralized Mortgage Obligation FGRM 01379H 10/15/22 2022-10-15 7.000000 346000.00 1026.62 Agency Collateralized Mortgage Obligation FGRM 01391D 10/15/22 2022-10-15 6.000000 339000.00 669.69 Agency Collateralized Mortgage Obligation FGRM 01395G 10/15/22 2022-10-15 6.000000 542000.00 1074.72 Agency Collateralized Mortgage Obligation FGRM 01392D 10/15/22 2022-10-15 7.000000 274000.00 707.16 Agency Collateralized Mortgage Obligation FGRM 01408K 11/15/22 2022-11-15 7.500000 121000.00 461.21 Agency Collateralized Mortgage Obligation FGRM 01397G 10/15/22 2022-10-15 7.000000 90000.00 672.53 Agency Collateralized Mortgage Obligation FGRM 01401J 10/15/22 2022-10-15 7.000000 34000.00 163.03 Agency Collateralized Mortgage Obligation FGRM 1424PK 11/15/22 2022-11-15 7.000000 247000.00 863.76 Agency Collateralized Mortgage Obligation FGRM 01439I 11/15/22 2022-11-15 7.500000 38000.00 332.02 Agency Collateralized Mortgage Obligation FRRM 0G004D 12/25/22 2022-12-25 8.000000 51500.00 108.98 Agency Collateralized Mortgage Obligation FGRM 01443I 12/15/22 2022-12-15 7.500000 40000.00 413.84 Agency Collateralized Mortgage Obligation FGRM 01459M 01/15/23 2023-01-15 7.500000 365000.00 2720.85 Agency Collateralized Mortgage Obligation FRRM G005HA 02/25/23 2023-02-25 7.500000 8000.00 32.99 Agency Collateralized Mortgage Obligation FGRM 01482I 03/15/23 2023-03-15 6.000000 88000.00 824.38 Agency Collateralized Mortgage Obligation FGRM 01474E 02/15/23 2023-02-15 7.000000 118000.00 437.03 Agency Collateralized Mortgage Obligation FGRM 1482PI 03/15/23 2023-03-15 7.000000 2000.00 18.93 Agency Collateralized Mortgage Obligation FGRM 1499PK 04/15/23 2023-04-15 7.000000 10000.00 71.08 Agency Collateralized Mortgage Obligation FGRM 01508I 05/15/23 2023-05-15 7.500000 10000.00 125.89 Agency Collateralized Mortgage Obligation FGRM 01526L 06/15/23 2023-06-15 6.500000 4000.00 24.29 Agency Collateralized Mortgage Obligation FGRM 01532D 06/15/23 2023-06-15 7.000000 88000.00 513.72 Agency Collateralized Mortgage Obligation FGST GIO 0261 S12011 2040-05-15 4.500000 10038120.00 108434.03 Agency Collateralized Mortgage Obligation FGST GIO 0354 S15131 2046-12-15 3.500000 411101.00 37686.43 Agency Collateralized Mortgage Obligation FGST GPO 0318 S06949 2043-11-15 0.000000 42447008.00 19199557.06 Agency Collateralized Mortgage Obligation FGRM 2421IO 02/15/32 2032-02-15 7.000000 10000000.00 3568.00 Agency Collateralized Mortgage Obligation FGRA 2367ZK 10/15/31 2031-10-15 6.000000 785000.00 25026.01 Agency Collateralized Mortgage Obligation FGRA 2410PF 02/15/32 2032-02-15 1.128400 1.00 0.04 Agency Collateralized Mortgage Obligation FGRA 2439DS 03/15/32 2032-03-15 0.000000 290666667.00 37.44 Agency Collateralized Mortgage Obligation FGRM 1579PM 09/15/23 2023-09-15 6.700000 70000.00 606.04 Agency Collateralized Mortgage Obligation FGRM 01578K 09/15/23 2023-09-15 6.900000 91000.00 1510.34 Agency Collateralized Mortgage Obligation FGRM 01602H 10/15/23 2023-10-15 6.500000 30750.00 741.70 Agency Collateralized Mortgage Obligation FGRM 1602PJ 10/15/23 2023-10-15 6.500000 3000.00 24.95 Agency Collateralized Mortgage Obligation FGRM 01584L 09/15/23 2023-09-15 6.500000 2000.00 31.13 Agency Collateralized Mortgage Obligation FGRM 1577PK 09/15/23 2023-09-15 6.500000 31000.00 499.31 Agency Collateralized Mortgage Obligation FGRM 01590I 10/15/23 2023-10-15 6.500000 43000.00 834.67 Agency Collateralized Mortgage Obligation FRRM 0G020H 10/25/23 2023-10-25 5.500000 26000.00 414.70 Agency Collateralized Mortgage Obligation FGRM 01603K 10/15/23 2023-10-15 6.500000 20000.00 1018.44 Agency Collateralized Mortgage Obligation FGRM 1591PK 10/15/23 2023-10-15 6.350000 6000.00 81.75 Agency Collateralized Mortgage Obligation FRRM 0G021L 10/25/23 2023-10-25 6.250000 10000.00 257.45 Agency Collateralized Mortgage Obligation FRRM G023HL 11/25/23 2023-11-25 6.000000 8000.00 185.56 Agency Collateralized Mortgage Obligation FRRM G023PK 11/25/23 2023-11-25 6.000000 2000.00 46.42 Agency Collateralized Mortgage Obligation FGRM 01671L 02/15/24 2024-02-15 7.000000 18000.00 179.43 Agency Collateralized Mortgage Obligation FGRM 1652PL 01/15/24 2024-01-15 7.000000 31000.00 1331.04 Agency Collateralized Mortgage Obligation FRRM 0G030I 04/25/24 2024-04-25 7.500000 9000.00 226.17 Agency Collateralized Mortgage Obligation FGRM 1686PJ 02/15/24 2024-02-15 5.000000 35000.00 112.58 Agency Collateralized Mortgage Obligation FRRM 0G027D 03/25/24 2024-03-25 7.000000 115000.00 873.16 Agency Collateralized Mortgage Obligation FRRA G027SC 03/25/24 2024-03-25 10.781200 25000.00 196.28 Agency Collateralized Mortgage Obligation FGRM 1711PG 03/15/24 2024-03-15 7.000000 1000.00 54.33 Agency Collateralized Mortgage Obligation FGRM 01748C 09/15/24 2024-09-15 8.000000 16000.00 86.58 Agency Collateralized Mortgage Obligation FGRM 01729K 05/15/24 2024-05-15 7.500000 27000.00 2278.18 Agency Collateralized Mortgage Obligation FGRM 01721K 05/15/24 2024-05-15 7.500000 1000.00 97.35 Agency Collateralized Mortgage Obligation FGRM 01753D 09/15/24 2024-09-15 8.500000 286000.00 1607.69 Agency Collateralized Mortgage Obligation FGRM 01759H 10/15/24 2024-10-15 8.500000 16000.00 346.35 Agency Collateralized Mortgage Obligation FGRM 01740D 02/15/24 2024-02-15 8.150000 149000.00 565.39 Agency Collateralized Mortgage Obligation FGRM 01761K 11/15/24 2024-11-15 8.500000 98000.00 1537.59 Agency Collateralized Mortgage Obligation FGRM 1771PL 02/15/25 2025-02-15 8.000000 11000.00 232.18 Agency Collateralized Mortgage Obligation FGRM 01788A 01/15/23 2023-01-15 7.500000 12000.00 88.50 Agency Collateralized Mortgage Obligation FGRM 1847LL 04/15/26 2026-04-15 7.500000 30000.00 245.45 Agency Collateralized Mortgage Obligation FGRM 01807F 03/15/22 2022-03-15 7.000000 237000.00 189.62 Agency Collateralized Mortgage Obligation FRRM G051KA 05/17/60 2026-05-17 7.250000 49000.00 554.24 Agency Collateralized Mortgage Obligation FRRM G051KB 05/17/60 2026-05-17 6.750000 14000.00 156.04 Agency Collateralized Mortgage Obligation FGRM 01895C 09/15/26 2026-09-15 7.500000 32000.00 96.54 Agency Collateralized Mortgage Obligation FGRM 01890H 09/15/26 2026-09-15 7.500000 89000.00 672.09 Agency Collateralized Mortgage Obligation FGRM 01904D 10/15/26 2024-10-15 7.500000 292000.00 1416.34 Agency Collateralized Mortgage Obligation FGRM 01902G 10/15/26 2026-10-15 7.000000 98000.00 484.92 Agency Collateralized Mortgage Obligation FGRM 01915C 12/15/26 2026-12-15 7.500000 136000.00 978.91 Agency Collateralized Mortgage Obligation FGRM 01928D 01/15/27 2027-01-15 7.500000 15000.00 96.06 Agency Collateralized Mortgage Obligation FGRM 1936PE 02/15/27 2027-02-15 7.000000 10000.00 493.93 Agency Collateralized Mortgage Obligation FGRA 1939SC 04/15/27 2027-04-15 8.351600 4.00 0.00 Agency Collateralized Mortgage Obligation FGRM 2030PC 02/15/28 2028-02-15 6.500000 5000.00 100.12 Agency Collateralized Mortgage Obligation FGRM 02042N 03/15/28 2028-03-15 6.500000 70000.00 235.32 Agency Collateralized Mortgage Obligation FGRM 02046C 04/15/28 2028-04-15 6.000000 15000.00 124.29 Agency Collateralized Mortgage Obligation FGRA 2043ZH 04/15/28 2028-04-15 6.000000 485000.00 10957.99 Agency Collateralized Mortgage Obligation FGRA 02056Z 05/15/28 2028-05-15 6.000000 712000.00 25779.32 Agency Collateralized Mortgage Obligation FGRM 02054L 05/15/28 2028-05-15 6.500000 59000.00 419.18 Agency Collateralized Mortgage Obligation FGRM 02071B 07/15/28 2028-07-15 6.500000 12000.00 77.21 Agency Collateralized Mortgage Obligation FGRM 02086B 09/15/28 2028-09-15 6.500000 10000.00 84.88 Agency Collateralized Mortgage Obligation FGRM 2101PD 11/15/28 2028-11-15 6.000000 61000.00 2095.75 Agency Collateralized Mortgage Obligation FGRM 2095PE 11/15/28 2028-11-15 6.000000 662000.00 28402.60 Agency Collateralized Mortgage Obligation FGRM 02099A 11/15/28 2028-11-15 6.250000 8000.00 427.24 Agency Collateralized Mortgage Obligation FGRA 2114ZM 01/15/29 2029-01-15 6.000000 985000.00 38883.48 Agency Collateralized Mortgage Obligation FGRM 02115K 01/15/29 2029-01-15 6.000000 11000.00 402.33 Agency Collateralized Mortgage Obligation FGRM 02121C 02/15/29 2029-02-15 6.000000 999000.00 15141.37 Agency Collateralized Mortgage Obligation FGRM 2121MG 02/15/29 2029-02-15 6.000000 297000.00 11482.59 Agency Collateralized Mortgage Obligation FGRM 2130NA 03/15/29 2029-03-15 6.250000 25000.00 340.62 Agency Collateralized Mortgage Obligation FGRM 2135JE 03/15/29 2029-03-15 6.000000 1185000.00 30928.75 Agency Collateralized Mortgage Obligation FGRM 02134C 03/15/29 2029-03-15 6.250000 3000.00 93.24 Agency Collateralized Mortgage Obligation FGRM 2154PT 05/15/29 2029-05-15 6.000000 353000.00 21351.98 Agency Collateralized Mortgage Obligation FGRM 2162PH 06/15/29 2029-06-15 6.000000 205000.00 4356.03 Agency Collateralized Mortgage Obligation FGRM 2205YB 05/15/29 2029-05-15 6.000000 15000.00 268.77 Agency Collateralized Mortgage Obligation FGRM 2260PC 10/15/30 2030-10-15 7.500000 220000.00 1217.02 Agency Collateralized Mortgage Obligation FGRM 02277B 01/15/31 2031-01-15 7.500000 3000000.00 12440.32 Agency Collateralized Mortgage Obligation FGRM 02278H 01/15/31 2031-01-15 6.500000 88000.00 15.98 Agency Collateralized Mortgage Obligation FGRA 2293ZA 03/15/31 2031-03-15 6.000000 24000.00 1186.73 Agency Collateralized Mortgage Obligation FGRA 2303ZV 04/15/31 2031-04-15 6.000000 150000.00 6478.32 Agency Collateralized Mortgage Obligation FGRM 2313LA 05/15/31 2031-05-15 6.500000 4000.00 65.64 Agency Collateralized Mortgage Obligation FGRM 2436EJ 03/15/32 2032-03-15 0.000000 7300.00 21.75 Agency Collateralized Mortgage Obligation FNRM CL007E RTG007 2021-03-25 8.900000 368000.00 0.34 Agency Collateralized Mortgage Obligation FNRM CL08G RT1991-08 2021-02-25 6.500000 46000.00 2.85 Agency Collateralized Mortgage Obligation FNRM CL12H RT1991-12 2021-02-25 7.000000 248153.00 3.06 Agency Collateralized Mortgage Obligation FNRM CL140J RT90-140 2020-12-25 7.000000 37000.00 0.57 Agency Collateralized Mortgage Obligation FNRM CL01G RT1991-01 2021-01-25 7.000000 50000.00 0.14 Agency Collateralized Mortgage Obligation FNRM CL18H RT1991-18 2021-03-25 8.500000 17000.00 2.58 Agency Collateralized Mortgage Obligation FNRM CL60PL RT91-60 2021-06-25 7.000000 140000.00 13.88 Agency Collateralized Mortgage Obligation FNRM CL66J RT1991-66 2021-06-25 8.125000 868000.00 94.15 Agency Collateralized Mortgage Obligation FNRM CL35J RT1991-35 2021-04-25 6.750000 146000.00 3.26 Agency Collateralized Mortgage Obligation FNRM CL61H RT1991-61 2021-06-25 6.500000 72000.00 5.89 Agency Collateralized Mortgage Obligation FNRM CL40J RT1991-40 2021-05-25 7.500000 287000.00 116.39 Agency Collateralized Mortgage Obligation FNRM CL43J RT1991-43 2021-05-25 7.000000 30000.00 7.25 Agency Collateralized Mortgage Obligation FNRM CL52J RT1991-52 2021-05-25 8.500000 513000.00 87.23 Agency Collateralized Mortgage Obligation FNRM CL74L RT1991-74 2021-08-25 8.500000 10000.00 5.28 Agency Collateralized Mortgage Obligation FNRM CL99J RT1991-99 2021-08-25 7.500000 430000.00 114.54 Agency Collateralized Mortgage Obligation FNRM CL83J RT1991-83 2021-07-25 8.800000 197000.00 2.75 Agency Collateralized Mortgage Obligation FNRM CL93M RT1991-93 2021-08-25 7.500000 40500.00 16.76 Agency Collateralized Mortgage Obligation FNRM CL032L RTG032 2021-10-25 8.000000 73000.00 11.87 Agency Collateralized Mortgage Obligation FNRM CL032N RTG032 2021-10-25 8.100000 11000.00 1.79 Agency Collateralized Mortgage Obligation FNRM CL129G RT91-129 2021-09-25 8.750000 17334.00 4.48 Agency Collateralized Mortgage Obligation FNRM CL108J RT91-108 2021-09-25 7.000000 10000.00 2.16 Agency Collateralized Mortgage Obligation FNRM CL123EB RT91123 2021-09-25 8.000000 35000.00 15.06 Agency Collateralized Mortgage Obligation FNRM CL029O RTG029 2021-09-25 8.500000 80500.00 9.48 Agency Collateralized Mortgage Obligation FNRM CL142PL RT91142 2021-10-25 8.000000 63000.00 70.25 Agency Collateralized Mortgage Obligation FNRM CL140D RT91-140 2021-10-25 6.000000 208000.00 129.35 Agency Collateralized Mortgage Obligation FNRM CL162GA RT91162 2021-12-25 8.250000 289000.00 150.53 Agency Collateralized Mortgage Obligation FNRM CL052L RTG052 2021-12-25 7.500000 10000.00 7.43 Agency Collateralized Mortgage Obligation FNRM CL27PN RT92-27 2022-03-25 8.000000 113000.00 166.68 Agency Collateralized Mortgage Obligation FNRM CL171J RT91-171 2021-12-25 8.000000 49000.00 83.31 Agency Collateralized Mortgage Obligation FNRM CL013PK RT92G13 2022-02-25 7.000000 14000.00 8.80 Agency Collateralized Mortgage Obligation FNRM CL026G RT92-G26 2022-04-25 8.000000 563000.00 25.47 Agency Collateralized Mortgage Obligation FNRM CL36PM RT92-36 2022-03-25 7.750000 242000.00 193.00 Agency Collateralized Mortgage Obligation FNRM CL49L RT1992-49 2022-04-25 7.000000 65000.00 170.85 Agency Collateralized Mortgage Obligation FNRM CL96B RT1992-96 2022-05-25 0.000000 5590.00 0.00 Agency Collateralized Mortgage Obligation FNRM CL029J RT92-G29 2022-07-25 8.000000 85000.00 84.03 Agency Collateralized Mortgage Obligation FNRM CL105B RT92-105 2022-06-25 7.000000 37000.00 16.54 Agency Collateralized Mortgage Obligation FNRM CL101J RT92-101 2022-06-25 7.500000 47000.00 93.53 Agency Collateralized Mortgage Obligation FNRM CL116B RT92-116 2022-06-25 6.500000 72000.00 0.05 Agency Collateralized Mortgage Obligation FNRM CL120A RT92-120 2022-07-25 6.000000 239000.00 13.07 Agency Collateralized Mortgage Obligation FNRM CL135L RT92-135 2022-08-25 7.500000 102000.00 261.93 Agency Collateralized Mortgage Obligation FNRM CL117M RT92-117 2022-07-25 7.000000 32000.00 76.80 Agency Collateralized Mortgage Obligation FNRM CL035E RT92-G35 2022-07-25 7.500000 70000.00 137.16 Agency Collateralized Mortgage Obligation FNRM CL136PK RT92136 2022-08-25 6.000000 51000.00 161.26 Agency Collateralized Mortgage Obligation FNRM CL125L RT92-125 2022-08-25 7.000000 262000.00 1039.54 Agency Collateralized Mortgage Obligation FNRM CL131KB RT92131 2022-08-25 8.000000 146000.00 524.87 Agency Collateralized Mortgage Obligation FNRM CL147PO RT92147 2022-08-25 7.000000 73000.00 235.26 Agency Collateralized Mortgage Obligation FNRM CL161H RT92-161 2022-09-25 7.500000 21000.00 62.61 Agency Collateralized Mortgage Obligation FNRM CL159PL RT92159 2022-09-25 7.000000 191000.00 488.40 Agency Collateralized Mortgage Obligation FNRM CL163M RT92-163 2022-09-25 7.750000 249000.00 822.28 Agency Collateralized Mortgage Obligation FNRM CL172M RT92-172 2022-09-25 7.000000 10000.00 37.53 Agency Collateralized Mortgage Obligation FNRM CL150MA RT92150 2022-09-25 5.500000 15000.00 39.14 Agency Collateralized Mortgage Obligation FNRM CL01HA RT93-01 2023-01-25 8.000000 3000.00 30.47 Agency Collateralized Mortgage Obligation FNRM CL04LA RT93-04 2023-01-25 8.000000 31000.00 134.82 Agency Collateralized Mortgage Obligation FNRM CL001K RT93-G01 2023-01-25 6.675000 31000.00 210.74 Agency Collateralized Mortgage Obligation FNRM CL001KA RT93G01 2023-01-25 7.900000 23000.00 158.61 Agency Collateralized Mortgage Obligation FNRM CL195C RT92-195 2022-10-25 7.500000 345000.00 486.23 Agency Collateralized Mortgage Obligation FNRM CL066KA RT92G66 2022-12-25 6.000000 13000.00 80.62 Agency Collateralized Mortgage Obligation FNRM CL066KB RT92G66 2022-12-25 7.000000 25000.00 156.31 Agency Collateralized Mortgage Obligation FNMA GRANTOR TRUST 2001-T1 A1 20290425 7.50000 2029-04-25 7.500000 24953000.00 819924.94 Agency Collateralized Mortgage Obligation FNRM CL010J RT93-G10 2023-03-25 5.000000 33000.00 224.82 Agency Collateralized Mortgage Obligation FNRM CL21KA RT93-21 2023-03-25 7.700000 8000.00 66.84 Agency Collateralized Mortgage Obligation FNRM CL41E RT1993-41 2023-03-25 7.000000 6000.00 35.23 Agency Collateralized Mortgage Obligation FNRM CL003K RT93-G03 2023-02-25 7.000000 3000.00 24.13 Agency Collateralized Mortgage Obligation FNRM CL014J RT93-G14 2023-03-25 6.500000 10000.00 90.78 Agency Collateralized Mortgage Obligation FNRM CL32H RT1993-32 2023-03-25 6.000000 98000.00 388.45 Agency Collateralized Mortgage Obligation FNRM CL53K RT1993-53 2023-04-25 5.750000 20000.00 135.66 Agency Collateralized Mortgage Obligation FNRM CL015H RT93-G15 2023-04-25 7.250000 27000.00 218.44 Agency Collateralized Mortgage Obligation FNRM CL62E RT1993-62 2023-04-25 7.000000 191000.00 423.11 Agency Collateralized Mortgage Obligation FNRA CL62FA RT93-62 2023-04-25 1.729000 3750000.00 7896.34 Agency Collateralized Mortgage Obligation FNRA CL019SM RT93G19 2023-04-25 19.493900 6956.00 18.56 Agency Collateralized Mortgage Obligation FNRM CL66H RT1993-66 2023-05-25 7.000000 2000.00 78.98 Agency Collateralized Mortgage Obligation FNRM CL74D RT1993-74 2023-05-25 6.500000 18000.00 57.25 Agency Collateralized Mortgage Obligation FNRM CL82H RT1993-82 2023-05-25 7.000000 2000.00 30.67 Agency Collateralized Mortgage Obligation FNRM CL79PL RT93-79 2023-06-25 7.000000 60000.00 354.93 Agency Collateralized Mortgage Obligation FNRM CL94H RT1993-94 2023-05-25 6.750000 76000.00 306.43 Agency Collateralized Mortgage Obligation FNRM CL149M RT93-149 2023-08-25 7.000000 17000.00 242.42 Agency Collateralized Mortgage Obligation FNRM CL122M RT93-122 2023-07-25 6.500000 3000.00 21.19 Agency Collateralized Mortgage Obligation FNRM CL113PK RT93113 2023-07-25 6.500000 1666.00 21.96 Agency Collateralized Mortgage Obligation FNRM CL127H RT93-127 2023-07-25 6.500000 30000.00 338.79 Agency Collateralized Mortgage Obligation FNRM CL119H RT93-119 2023-07-25 6.500000 5000.00 63.46 Agency Collateralized Mortgage Obligation FNRM CL199PX RT93199 2023-10-25 6.500000 17000.00 403.77 Agency Collateralized Mortgage Obligation FNRM CL202J RT93-202 2023-11-25 6.500000 3000.00 76.09 Agency Collateralized Mortgage Obligation FNRM CL255E RT93-255 2023-12-25 7.100000 15000.00 139.05 Agency Collateralized Mortgage Obligation FNRM CL039L RT93-G39 2023-12-25 6.500000 19000.00 219.59 Agency Collateralized Mortgage Obligation FNRM CL89D RT1994-89 2024-07-25 8.000000 50000.00 386.64 Agency Collateralized Mortgage Obligation FNRM CL76KA RT94-76 2024-04-25 7.000000 400000.00 1139.65 Agency Collateralized Mortgage Obligation FNRM CL23G RT1996-23 2026-07-25 6.500000 10000.00 103.84 Agency Collateralized Mortgage Obligation FNRM CL48D RT1996-48 2026-11-25 7.500000 10000.00 82.04 Agency Collateralized Mortgage Obligation FNRM CL24G RT1995-24 2023-04-25 6.500000 3000.00 30.72 Agency Collateralized Mortgage Obligation FNRM CL07TI RT97-07 2022-06-25 10.000000 2804379.00 0.05 Agency Collateralized Mortgage Obligation FNRM CL019Z R01F019 2031-05-25 6.000000 999000.00 33220.78 Agency Collateralized Mortgage Obligation FNRM CL061PL R98F061 2028-11-25 6.000000 210000.00 6971.62 Agency Collateralized Mortgage Obligation FNRM CL058ZB R98F058 2028-10-25 6.000000 500000.00 15673.64 Agency Collateralized Mortgage Obligation FNRM CL019PH R99F019 2029-05-25 6.000000 518000.00 19072.55 Agency Collateralized Mortgage Obligation FNRM CL017PG R99F017 2029-04-25 6.000000 740000.00 23959.76 Agency Collateralized Mortgage Obligation FNRM CL025Z R99F025 2029-06-01 6.000000 370000.00 18330.97 Agency Collateralized Mortgage Obligation FNMA REMIC TRUST 1999-T2 A1 20290119 FLT 2029-01-19 7.500000 8675000.00 137474.73 Agency Collateralized Mortgage Obligation FNRM CL032PL R99F032 2029-07-25 6.000000 501000.00 24155.82 Agency Collateralized Mortgage Obligation FNRM CL033PK R99F033 2029-07-25 6.000000 329000.00 17971.69 Agency Collateralized Mortgage Obligation FNST TR240 IO2 CL 2023-09-25 7.000000 33000.00 2.41 Agency Collateralized Mortgage Obligation FNST TR172 IO2 CL 2022-08-25 8.000000 1000.00 0.01 Agency Collateralized Mortgage Obligation FNST TR0300 IO2 CL 2028-04-25 6.000000 1700.00 0.33 Agency Collateralized Mortgage Obligation FNRA CL130CI R11F130 2041-12-25 6.000000 213509.00 7061.55 Agency Collateralized Mortgage Obligation FNRM CL056WD R12F056 2042-05-25 4.000000 15000.00 1524.28 Agency Collateralized Mortgage Obligation FNRM CL049LC R14F049 2054-07-25 3.000000 9052872.00 2540267.30 Agency 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Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 2023-12-31 2.625000 250000000.00 271251994.49 U.S. Treasuries (including strips) Y Fitch NR Moody's P-1 Standard & Poor's A-1+ 2020-11-02 2020-11-02 2020-11-02 N N N 0.0009 265931372.55 265931372.55 0.0016 N Y Y N Federal National Mortgage Association Variable Rate Notes Federal National Mortgage Association Variable Rate Notes 0.280 3135G04T7 B1V7KEBTPIMZEU4LTD58 US3135G04T74 U.S. Government Agency Debt Y Fitch Agency Moody's Agency Standard & Poor's AA+ 2020-11-02 2022-05-27 2022-05-27 N N N 0.0010 75215700.00 75215700.00 0.0005 N N N N Fixed Income Clearing Corporation - JPM Fixed Income Clearing Corporation - JPM 0.090 549300H47WTHXPU08X20 BRWA9SRJ2 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 2030-07-15 0.125000 83160000.00 92828032.55 U.S. Treasuries (including 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2035-05-20 2.000000 2357296.00 2345581.54 Agency Mortgage-Backed Securities FEDERAL HOME LOAN MORTGAGE CORPORATION S6XOOCT0IEG5ABCC6L87 2040-09-01 2.000000 2426136.00 2504531.02 Agency Mortgage-Backed Securities GNMA_19-38D 2048-08-20 4.500000 2717584.00 133043.64 Agency Collateralized Mortgage Obligation GNMA_16-82L 2044-05-20 4.000000 2948860.00 215130.56 Agency Collateralized Mortgage Obligation FANNIE MAE B1V7KEBTPIMZEU4LTD58 2049-01-01 4.500000 3228680.00 2590594.24 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2042-05-01 3.406000 3388824.00 954771.92 Agency Mortgage-Backed Securities FNMA_19-9G 2045-06-25 4.500000 3622220.00 215168.05 Agency Collateralized Mortgage Obligation FNMA_17-30F 2041-05-25 4.000000 3752868.00 76728.78 Agency Collateralized Mortgage Obligation FNMA_17-30E 2047-05-25 3.500000 3849924.00 482602.90 Agency Collateralized Mortgage Obligation FANNIE MAE B1V7KEBTPIMZEU4LTD58 2048-06-01 4.500000 4119168.00 2826578.99 Agency Mortgage-Backed Securities FNMA_16-37D 2043-08-25 3.500000 4285712.00 53044.27 Agency Collateralized Mortgage Obligation FHLMC_4755B 2048-02-15 3.500000 4767944.00 190749.46 Agency Collateralized Mortgage Obligation FEDERAL HOME LOAN MORTGAGE CORPORATION S6XOOCT0IEG5ABCC6L87 2050-05-01 2.500000 5000384.00 5187210.01 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2050-09-01 3.000000 5025288.00 5492988.71 Agency Mortgage-Backed Securities FNMA_15-89C 2042-03-25 3.500000 5357136.00 195964.99 Agency Collateralized Mortgage Obligation FANNIE MAE B1V7KEBTPIMZEU4LTD58 2042-07-01 3.307000 5683856.00 1974847.25 Agency Mortgage-Backed Securities FNMA_17-54D 2047-07-25 4.000000 5833520.00 863159.67 Agency Collateralized Mortgage Obligation FNMA_18-56D 2048-08-25 4.000000 6118328.00 994793.95 Agency Collateralized Mortgage Obligation FNR_19-37-IO 2049-07-25 4.000000 6292536.00 988934.22 Agency Collateralized Mortgage Obligation FHLMC_4655E 2047-02-15 4.000000 7016448.00 652642.80 Agency Collateralized Mortgage Obligation FNMA_20-28G 2049-08-25 3.500000 7040480.00 1079250.94 Agency Collateralized Mortgage Obligation FNMA_17-109C 2048-01-25 4.000000 7267456.00 788478.61 Agency Collateralized Mortgage Obligation FANNIE MAE B1V7KEBTPIMZEU4LTD58 2049-06-01 3.500000 7479920.00 6498876.35 Agency Mortgage-Backed Securities GNMA_18-134A 2048-10-20 6.048620 8000000.00 750660.01 Agency Collateralized Mortgage Obligation FHLMC_4864F 2048-12-15 4.500000 8208496.00 1106292.77 Agency Collateralized Mortgage Obligation FHLMC_4619E 2043-05-15 3.500000 8979136.00 348175.50 Agency Collateralized Mortgage Obligation GNMA_20-61 2049-02-20 5.500000 9252784.00 1303410.71 Agency Collateralized Mortgage Obligation FNMA_17-54C 2047-07-25 4.000000 9309744.00 942961.90 Agency Collateralized Mortgage Obligation FEDERAL HOME LOAN MORTGAGE CORPORATION S6XOOCT0IEG5ABCC6L87 2050-10-01 2.500000 9358304.00 9940043.21 Agency Mortgage-Backed Securities FHLMC_4695E 2047-06-15 4.000000 9778640.00 1053631.57 Agency Collateralized Mortgage Obligation FNMA_19-9G 2049-03-25 4.500000 10107952.00 1692008.12 Agency Collateralized Mortgage Obligation GNMA_18-124J 2041-03-20 4.000000 12328000.00 209341.29 Agency Collateralized Mortgage Obligation FNMA_19-64C 2049-11-25 3.500000 13676160.00 874653.06 Agency Collateralized Mortgage Obligation GNMA_20-4A 2041-03-20 4.000000 16637760.00 1369453.94 Agency Collateralized Mortgage Obligation FNMA_14-95 2039-05-25 4.000000 18242623.00 24086.77 Agency Collateralized Mortgage Obligation FHLMC_4121 2042-10-15 3.500000 19370048.00 741426.70 Agency Collateralized Mortgage Obligation FANNIE MAE B1V7KEBTPIMZEU4LTD58 2046-06-01 2.360000 19756736.00 5725210.31 Agency Mortgage-Backed Securities GNMA_20-74A 2050-05-20 3.000000 20000000.00 2624570.49 Agency Collateralized Mortgage Obligation FNMA_15-60 2045-08-25 6.050750 20454528.00 1411282.24 Agency Collateralized Mortgage Obligation FNMA_15-22 2045-04-25 3.000000 21128416.00 731256.83 Agency Collateralized Mortgage Obligation GNMA_17-163G 2042-09-16 3.500000 22088512.00 1943112.14 Agency Collateralized Mortgage Obligation FNMA_20-32E 2041-04-25 5.500000 23330048.00 4356529.24 Agency Collateralized Mortgage Obligation FHLMC_4386C 2044-09-15 4.000000 24336416.00 818416.99 Agency Collateralized Mortgage Obligation FHLMC_4980K 2050-06-25 4.000000 24399168.00 3248645.28 Agency Collateralized Mortgage Obligation FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-06-01 2.674000 25182208.00 10437601.14 Agency Mortgage-Backed Securities GNMA_17-141F 2047-09-20 6.048620 25641024.00 3539749.35 Agency Collateralized Mortgage Obligation FHLMC_44-27 2045-01-15 5.451620 26044000.00 1284827.71 Agency Collateralized Mortgage Obligation GNMA_17-78 2047-05-20 6.048620 26300448.00 3382891.28 Agency Collateralized Mortgage Obligation FNMA_12-151 2043-01-25 5.000000 30000000.00 782312.84 Agency Collateralized Mortgage Obligation FHLMC_4383C 2044-09-15 4.000000 31063520.00 1040495.85 Agency Collateralized Mortgage Obligation FHLMC_41-58 2043-01-15 4.000000 31514368.00 870375.46 Agency Collateralized Mortgage Obligation FNMA_19-65 2059-11-25 2.527920 32166272.00 1120881.99 Agency Collateralized Mortgage Obligation FNMA_20-63B 2050-09-25 3.000000 32866000.00 4516638.96 Agency Collateralized Mortgage Obligation GNMA_17-63 2047-04-20 4.500000 33539648.00 2145096.09 Agency Collateralized Mortgage Obligation FHLMC_4980K 2050-05-25 4.000000 35641720.00 5291795.03 Agency Collateralized Mortgage Obligation GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_17-82 2045-03-20 5.448620 37518912.00 2400627.36 Agency Collateralized Mortgage Obligation GNMA_17-117B 2047-08-20 6.048620 38427136.00 5181789.92 Agency Collateralized Mortgage Obligation FHLMC_4864D 2043-08-15 2.749340 38612928.00 1689112.77 Agency Collateralized Mortgage Obligation FHLMC_4347J 2040-01-15 2.826070 39362160.00 522781.67 Agency Collateralized Mortgage Obligation GNMA_16-84D 2046-06-20 5.898620 40049600.00 4741163.27 Agency Collateralized Mortgage Obligation FNMA_13-6 2043-02-25 5.950750 40783040.00 1777035.49 Agency Collateralized Mortgage Obligation FNMA_12-21 2042-03-25 5.800750 42033856.00 1707537.48 Agency Collateralized Mortgage Obligation GINNIE MAE II 2050-06-20 3.000000 42262848.00 43791772.40 Agency Mortgage-Backed Securities FANNIE MAE FNMA_13-39 2042-10-25 5.950750 44524800.00 1780238.49 Agency Collateralized Mortgage Obligation FNR_19-63 2049-10-25 5.900750 48962048.00 5105377.35 Agency Collateralized Mortgage Obligation FNMA_18-87B 2045-12-25 4.000000 49303440.00 2794103.95 Agency Collateralized Mortgage Obligation FNMA_15-88F 2044-09-25 4.000000 50000000.00 1419723.29 Agency Collateralized Mortgage Obligation FNMA_19-27D 2049-06-25 2.797870 50000000.00 1739356.28 Agency Collateralized Mortgage Obligation FHLMC_4847C 2044-10-15 4.000000 50000000.00 1740535.36 Agency Collateralized Mortgage Obligation GINNIE MAE II 2050-08-20 3.500000 50000000.00 53069982.73 Agency Mortgage-Backed Securities FNMA_12-14 2042-03-25 6.350750 54166656.00 1976095.52 Agency Collateralized Mortgage Obligation FNMA_17-30G 2047-05-25 2.488950 58588288.00 1488124.98 Agency Collateralized Mortgage Obligation GNMA_13-116B 2043-08-16 6.004250 61118208.00 2723683.89 Agency Collateralized Mortgage Obligation FNMA_16-40 2056-07-25 2.631080 62369344.00 881200.83 Agency Collateralized Mortgage Obligation FNMA_19-59F 2049-10-25 2.467830 63684480.00 2014031.89 Agency Collateralized Mortgage Obligation FHLMC_450-3 2042-02-15 2.792960 63733120.00 866060.46 Agency Collateralized Mortgage Obligation FHLMC_4338 2041-10-15 2.863080 68548992.00 652998.25 Agency Collateralized Mortgage Obligation FHLMC_4895A 2043-11-15 2.898200 70348928.00 3011304.68 Agency Collateralized Mortgage Obligation GINNIE MAE II 2050-10-20 2.500000 81376800.00 85373937.99 Agency Mortgage-Backed Securities FNMA_15-91 2045-12-25 2.575380 82366080.00 1309610.05 Agency Collateralized Mortgage Obligation FNMA_19-9F 2049-03-25 2.553720 82543488.00 3608048.06 Agency Collateralized Mortgage Obligation FHLMC_4980S 2048-01-25 4.500000 83675648.00 12018485.17 Agency Collateralized Mortgage Obligation FNMA_18-28F 2048-05-25 2.792550 101949568.00 2443750.97 Agency Collateralized Mortgage Obligation FHLMC_4683D 2038-09-15 3.093770 102299200.00 3487276.09 Agency Collateralized Mortgage Obligation GINNIE MAE II 2050-07-20 3.000000 104541952.00 109142997.95 Agency Mortgage-Backed Securities FNMA_16-40F 2046-07-25 2.485910 106475200.00 1863576.98 Agency Collateralized Mortgage Obligation FNMA_16-87A 2046-11-25 2.588840 108758016.00 2182883.14 Agency Collateralized Mortgage Obligation FNMA_17-30H 2047-05-25 2.648940 119344768.00 2213165.04 Agency Collateralized Mortgage Obligation FHLMC_4796E 2040-02-15 2.952260 162358016.00 6017878.33 Agency Collateralized Mortgage Obligation FNMA_17-54E 2047-07-25 2.656140 167905792.00 4436595.47 Agency Collateralized Mortgage Obligation GINNIE MAE II 2050-09-20 2.000000 181256192.00 187954344.87 Agency Mortgage-Backed Securities FHLMC_4360F 2039-12-15 2.849450 194853376.00 2249463.25 Agency Collateralized Mortgage Obligation FNMA_18-41B 2048-06-25 2.561470 202967040.00 6713223.33 Agency Collateralized Mortgage Obligation GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_10-26 2040-02-20 6.098620 351586304.00 6907589.42 Agency Collateralized Mortgage Obligation Y Fitch F1 Moody's NR Standard & Poor's A-1 2020-11-02 2020-11-02 2020-11-02 N N N 0.0009 700000000.00 700000000.00 0.0043 N Y Y N Bank of Montreal Bank of Montreal 0.090 NQQ6HPCNCCU6TUTQYE16 BRWA9PEA1 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEPC 04.500 CLZM6880 2048-06-01 4.500000 30706501.00 14066609.31 Agency Mortgage-Backed Securities FEPC 02.500 CLSD8099 2050-10-01 2.500000 12919860.00 13439371.13 Agency Mortgage-Backed Securities FEPC 03.000 CLQA1033 2049-07-01 3.000000 14348463.00 9030642.68 Agency Mortgage-Backed Securities 04.500 FGPC G61601 G 2048-09-01 4.500000 50000000.00 32481587.18 Agency Mortgage-Backed Securities FEPC 04.000 CLQA6217 2050-01-01 4.000000 12201295.00 12937811.58 Agency Mortgage-Backed Securities FEPC 02.500 CLQA8814 2050-04-01 2.500000 50000000.00 51769864.69 Agency Mortgage-Backed Securities FEPC 03.000 CLQB1385 2050-07-01 3.000000 26188632.00 28381568.32 Agency Mortgage-Backed Securities FEPC 02.000 CLQB4908 2050-11-01 2.000000 27640920.00 28556832.60 Agency Mortgage-Backed Securities FEPC 04.000 3PRE6037 2050-03-01 4.000000 2529252.00 1720459.07 Agency Mortgage-Backed Securities FEPC 04.000 CLQA5143 2049-12-01 4.000000 12460006.00 13615253.75 Agency Mortgage-Backed Securities Y Fitch F1+ Moody's P-1 Standard & Poor's A-1 2020-11-02 2020-11-02 2020-11-02 N N N 0.0009 200000000.00 200000000.00 0.0012 N Y Y N Goldman Sachs & Co. LLC Goldman Sachs & Co. LLC 0.070 FOR8UP27PHTHYVLBNG30 BRWA9PFX0 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N BILL 01/26/21 2021-01-26 0.000000 59437000.00 59416791.42 U.S. Treasuries (including strips) 6 TPRN 26 2026-02-15 0.000000 2400.00 2344.44 U.S. Treasuries (including strips) 2 1/4 TPRN 49 2049-08-15 0.000000 2488000.00 1535693.12 U.S. Treasuries (including strips) 0 1/8 TRIN X 21 2021-04-15 0.125000 45566000.00 49951052.19 U.S. Treasuries (including strips) 2 1/8 NOTE C 25 2025-05-15 2.125000 44989000.00 49063252.74 U.S. Treasuries (including strips) TINT 08/15/22 2022-08-15 0.000000 1992093.97 1985747.16 U.S. Treasuries (including strips) TINT 02/15/24 2024-02-15 0.000000 1.44 1.43 U.S. Treasuries (including strips) TINT 05/15/24 2024-05-15 0.000000 298109.12 294860.03 U.S. Treasuries (including strips) TINT 02/15/27 2027-02-15 0.000000 12098723.84 11599627.28 U.S. Treasuries (including strips) TINT 11/15/37 2037-11-15 0.000000 0.04 0.03 U.S. Treasuries (including strips) TINT 11/15/38 2038-11-15 0.000000 745433.60 570630.17 U.S. Treasuries (including strips) Y Fitch F1 Moody's NR Standard & Poor's A-1 2020-11-02 2020-11-02 2020-11-02 N N N 0.0007 171000000.00 171000000.00 0.0010 N Y Y N U.S. Treasury Bills U.S. Treasury Bills 0.137 912796A82 254900HROIFWPRGM1V77 US912796A825 U.S. Treasury Debt Y Fitch Govt Moody's Govt Standard & Poor's A-1+ 2021-01-26 2021-01-26 2021-01-26 N N N 0.0014 336868607.89 336868607.89 0.0021 N Y Y N Morgan Stanley & Co. LLC Morgan Stanley & Co. LLC 0.090 9R7GPTSO7KV3UQJZQ078 BRWA9PEU7 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 2040-08-15 1.125000 100.00 95.64 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2025-02-28 2.750000 200.00 221.91 U.S. Treasuries (including strips) FREDDIE MAC GOLD 2023-03-01 5.000000 1000.00 12.71 Agency Mortgage-Backed Securities FEDERAL FARM CREDIT BANKS FUNDING CORP 2030-04-22 1.500000 1000.00 1034.75 Agency Debentures and Agency Strips FANNIE MAE B1V7KEBTPIMZEU4LTD58 2042-02-01 5.500000 1000.00 399.13 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2032-02-01 3.500000 1000.00 481.48 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2036-04-01 6.000000 2307.00 59.61 Agency Mortgage-Backed Securities UNITED STATES TREASURY 254900HROIFWPRGM1V77 2027-05-15 2.375000 2800.00 3157.51 U.S. Treasuries (including strips) FREDDIE MAC GOLD 2035-06-01 5.500000 2900.00 87.66 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2022-01-05 2.000000 3000.00 3084.77 Agency Debentures and Agency Strips FANNIE MAE B1V7KEBTPIMZEU4LTD58 2034-07-01 3.000000 3000.00 1596.57 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-06-01 4.000000 3911.00 2752.40 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-05-01 4.500000 4172.00 2885.28 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2044-08-01 3.500000 5000.00 1255.23 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2035-10-01 5.500000 6000.00 214.62 Agency Mortgage-Backed Securities GINNIE MAE II 2041-11-20 3.500000 6332.00 553.49 Agency Mortgage-Backed Securities GINNIE MAE II 2039-02-20 6.500000 7000.00 5.43 Agency Mortgage-Backed Securities GINNIE MAE I 2022-12-15 7.500000 7000.00 5.34 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2032-06-01 6.500000 8000.00 193.73 Agency Mortgage-Backed Securities FREDDIE MAC GOLD 2045-01-01 3.500000 10000.00 3202.06 Agency Mortgage-Backed Securities FEDERAL FARM CREDIT BANKS FUNDING CORP 2021-11-24 3.460000 10000.00 10499.24 Agency Debentures and Agency Strips FEDERAL FARM CREDIT BANKS FUNDING CORP 2020-12-28 0.216500 10000.00 10001.42 Agency Debentures and Agency Strips FEDERAL FARM CREDIT BANKS FUNDING CORP 2025-08-05 3.440000 15000.00 17181.93 Agency Debentures and Agency Strips FREDDIE MAC GOLD 2022-07-01 5.000000 20000.00 165.86 Agency Mortgage-Backed Securities FEDERAL FARM CREDIT BANKS FUNDING CORP 2035-05-14 1.950000 20000.00 20273.43 Agency Debentures and Agency Strips FEDERAL HOME LOAN BANKS 2549001DPIFGXC1TOL40 2021-12-10 5.000000 20000.00 21447.71 Agency Debentures and Agency Strips FANNIE MAE B1V7KEBTPIMZEU4LTD58 2023-09-12 2.875000 23000.00 24811.91 Agency Debentures and Agency Strips FREDDIE MAC GOLD 2024-01-01 6.500000 25000.00 46.93 Agency Mortgage-Backed Securities FEDERAL FARM CREDIT BANKS FUNDING CORP 2021-01-22 0.485750 25000.00 25023.45 Agency Debentures and Agency Strips GINNIE MAE II 2022-11-20 8.000000 25000.00 15.45 Agency Mortgage-Backed Securities GINNIE MAE II 2022-12-20 7.500000 25000.00 6.61 Agency Mortgage-Backed Securities GINNIE MAE II 2022-03-20 8.500000 25000.00 8.84 Agency Mortgage-Backed Securities GINNIE MAE II 2023-04-20 8.000000 25000.00 22.09 Agency Mortgage-Backed Securities GINNIE MAE II 2024-01-20 6.000000 25000.00 19.94 Agency Mortgage-Backed Securities GINNIE MAE II 2024-01-20 7.500000 25000.00 22.40 Agency Mortgage-Backed Securities GINNIE MAE II 2025-03-20 9.000000 25000.00 12.86 Agency Mortgage-Backed Securities GINNIE MAE II 2025-09-20 9.000000 25000.00 14.58 Agency Mortgage-Backed Securities GINNIE MAE II 2025-08-20 8.500000 25000.00 1.13 Agency Mortgage-Backed Securities GINNIE MAE II 2025-09-20 7.500000 25000.00 20.41 Agency Mortgage-Backed Securities GINNIE MAE II 2026-06-20 8.500000 25000.00 11.61 Agency Mortgage-Backed Securities GINNIE MAE II 2026-11-20 7.000000 25000.00 22.75 Agency Mortgage-Backed Securities GINNIE MAE II 2027-05-20 8.500000 25000.00 24.18 Agency Mortgage-Backed Securities GINNIE MAE I 2023-01-15 7.500000 25000.00 12.16 Agency Mortgage-Backed Securities GINNIE MAE I 2023-01-15 7.000000 25000.00 14.29 Agency Mortgage-Backed Securities GINNIE MAE I 2023-06-15 7.000000 25000.00 6.65 Agency Mortgage-Backed Securities GINNIE MAE I 2024-06-15 8.500000 25000.00 5.17 Agency Mortgage-Backed Securities GINNIE MAE I 2023-03-15 8.000000 25000.00 8.82 Agency Mortgage-Backed Securities GINNIE MAE I 2023-10-15 7.000000 25000.00 20.07 Agency Mortgage-Backed Securities GINNIE MAE I 2023-07-15 7.500000 25000.00 3.83 Agency Mortgage-Backed Securities GINNIE MAE I 2023-06-15 7.000000 25000.00 21.44 Agency Mortgage-Backed Securities GINNIE MAE I 2023-05-15 7.500000 25000.00 17.00 Agency Mortgage-Backed Securities GINNIE MAE I 2023-10-15 7.000000 25000.00 19.93 Agency 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(including strips) GINNIE MAE II 2050-05-20 3.500000 70141359.00 71619216.03 Agency Mortgage-Backed Securities UNITED STATES TREASURY 254900HROIFWPRGM1V77 2023-09-15 0.125000 81579100.00 81439223.39 U.S. Treasuries (including strips) GINNIE MAE II 2050-10-20 2.000000 97215695.00 101085959.84 Agency Mortgage-Backed Securities UNITED STATES TREASURY 254900HROIFWPRGM1V77 2028-08-15 2.875000 106519200.00 124910538.77 U.S. Treasuries (including strips) GINNIE MAE II 2048-08-20 5.000000 162830743.00 63612884.86 Agency Mortgage-Backed Securities GINNIE MAE II 2049-06-20 3.500000 253734912.00 138316203.34 Agency Mortgage-Backed Securities GINNIE MAE II 2047-07-20 4.000000 362044600.00 163292093.59 Agency Mortgage-Backed Securities Y Fitch F1 Moody's P-1 Standard & Poor's A-1 2020-11-02 2020-11-02 2020-11-02 N N N 0.0009 1500000000.00 1500000000.00 0.0091 N Y Y N Barclays Bank plc Barclays Bank plc 0.090 G5GSEF7VJP5I7OUK5573 BRWA9PG43 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FANNIE MAE B1V7KEBTPIMZEU4LTD58 2050-11-01 2.500000 13450743.00 14064404.75 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2049-08-01 3.500000 47944566.00 32123043.44 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2050-10-01 2.500000 408723621.00 425521564.81 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2049-03-01 4.000000 449841400.00 352290987.09 Agency Mortgage-Backed Securities Y Fitch F1 Moody's P-1 Standard & Poor's A-1 2020-11-02 2020-11-02 2020-11-02 N N N 0.0009 800000000.00 800000000.00 0.0049 N Y Y N U.S. Treasury Bills U.S. Treasury Bills 0.104 912796D22 254900HROIFWPRGM1V77 US912796D225 U.S. Treasury Debt Y Fitch Govt Moody's Govt Standard & Poor's A-1+ 2021-03-30 2021-03-30 2021-03-30 N N N 0.0010 248395328.88 248395328.88 0.0015 N Y Y N BMO Capital Markets Corp. BMO Capital Markets Corp. 0.090 RUC0QBLBRPRCU4W1NE59 BRWA9PER4 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FMAR 841114 G 2050-07-01 2.814000 2000000.00 1770354.50 Agency Mortgage-Backed Securities FMAR 1A1061 G 2035-04-01 6.397000 6917.00 128.56 Agency Mortgage-Backed Securities FMAR 1G1808 G 2036-01-01 3.822000 473000.00 11018.54 Agency Mortgage-Backed Securities 04.500 FGPC T65456 G 2047-08-01 4.500000 13040507.00 3710745.66 Agency Mortgage-Backed Securities FEPC 04.000 CLZS9743 2046-05-01 4.000000 6381354.00 3630766.13 Agency Mortgage-Backed Securities FEPC 02.000 CLSD8106 2050-10-01 2.000000 98782.00 102055.25 Agency Mortgage-Backed Securities FEPC 02.500 CLSD8107 2050-10-01 2.500000 1000.00 1045.33 Agency Mortgage-Backed Securities FHDN 01/15/21 2021-01-15 0.000000 3000000.00 2999289.00 Agency Debentures and Agency Strips FEPC 04.000 CLQA6069 2050-01-01 4.000000 3235584.00 2624996.96 Agency Mortgage-Backed Securities FEPC 04.500 CLQA8174 2050-03-01 4.500000 3824889.00 4279598.10 Agency Mortgage-Backed Securities FEPC 04.500 CLQB0860 2050-07-01 4.500000 3530404.00 3881726.77 Agency Mortgage-Backed Securities FEPC 04.500 CLQB0943 2050-07-01 4.500000 2261904.00 2476420.90 Agency Mortgage-Backed Securities FEPC 03.500 CLQB2588 2050-07-01 3.500000 2633444.00 2898683.68 Agency Mortgage-Backed Securities FEPC 02.500 CLQB2653 2050-08-01 2.500000 3155509.00 3317066.15 Agency Mortgage-Backed Securities FEPC 02.500 CLQB2695 2050-08-01 2.500000 2903325.00 3057944.85 Agency Mortgage-Backed Securities FEPC 03.000 CLQB2960 2050-08-01 3.000000 992353.00 1077825.04 Agency Mortgage-Backed Securities FEPC 04.000 CLQB3785 2050-09-01 4.000000 3183730.00 3550625.49 Agency Mortgage-Backed Securities FEPC 03.000 CLQB3917 2050-09-01 3.000000 2879075.00 3054793.08 Agency Mortgage-Backed Securities FEPC 03.000 CLQB4679 2050-10-01 3.000000 1234565.00 1311781.69 Agency Mortgage-Backed Securities FEPC 03.500 3PQU7372 2050-02-01 3.500000 3851649.00 4029581.69 Agency Mortgage-Backed Securities FEPC 03.000 3PQU7417 2050-05-01 3.000000 2388607.00 2489848.30 Agency Mortgage-Backed Securities FEPC 04.000 3PQU7401 2050-02-01 4.000000 1474.00 698.81 Agency Mortgage-Backed Securities FEPC 03.000 3PQU7411 2050-04-01 3.000000 3405754.00 2882884.48 Agency Mortgage-Backed Securities FEPC 03.000 3PQU7428 2050-05-01 3.000000 2679003.00 2796889.45 Agency Mortgage-Backed Securities FEPC 03.000 3PQU7457 2050-05-01 3.000000 2481547.00 2594853.51 Agency Mortgage-Backed Securities FEPC 02.500 3PQU7476 2050-07-01 2.500000 1780825.00 1862289.71 Agency Mortgage-Backed Securities FEPC 03.000 3PQU7477 2050-07-01 3.000000 4041197.00 4232366.75 Agency Mortgage-Backed Securities FMAR 420196 G 2030-11-01 5.331000 14386.00 35.37 Agency Mortgage-Backed Securities FMAR 783096 G 2035-04-01 3.750000 600000.00 17926.36 Agency Mortgage-Backed Securities FNAR XX.XXX WE131258 2021-03-01 1.875000 364044.00 1.21 Agency Mortgage-Backed Securities FNAR XX.XXX WS555538 2033-05-01 3.791000 1272000.00 14160.28 Agency Mortgage-Backed Securities FNMS 03.610 MTAN4430 2037-01-01 3.610000 2600000.00 2639338.09 Agency Mortgage-Backed Securities FNAR XX.XXX HYAN7751 2029-12-01 3.040000 2500000.00 2731093.04 Agency Mortgage-Backed Securities FNMS 03.500 CLAR9901 2043-04-01 3.500000 10983181.00 4303861.50 Agency Mortgage-Backed Securities FNMS 03.500 CLAU7328 2043-09-01 3.500000 502540.00 133889.05 Agency Mortgage-Backed Securities FNAR XX.XXX LB879663 2036-10-01 2.625000 475240.00 17748.07 Agency Mortgage-Backed Securities FNMS 04.000 CLBD9089 2048-08-01 4.000000 3775193.00 3308081.59 Agency Mortgage-Backed Securities FNMS 04.500 CLBK0547 2050-01-01 4.500000 2359096.00 2531238.93 Agency Mortgage-Backed Securities FNMS 03.000 CKBK2362 2050-04-01 3.000000 5044769.00 3624124.03 Agency Mortgage-Backed Securities FNMS 03.000 CKBK3068 2050-08-01 3.000000 3043544.00 3190722.49 Agency Mortgage-Backed Securities FNMS 03.000 CLBK5588 2050-09-01 3.000000 3009497.00 3147572.93 Agency Mortgage-Backed Securities FNMS 01.500 CLBK8174 2050-11-01 1.500000 5374.00 5419.77 Agency Mortgage-Backed Securities MNAR XX.XXX HLBL7988 2050-08-01 2.130000 3375000.00 3394270.00 Agency Mortgage-Backed Securities FNAR XX.XXX XYBM3372 2028-01-01 3.326000 3000000.00 2929470.33 Agency Mortgage-Backed Securities FNAR XX.XXX LBBM5067 2048-10-01 2.836000 2300000.00 1236036.17 Agency Mortgage-Backed Securities FNAR XX.XXX LBBM6185 2049-09-01 3.005000 5210615.00 2890449.45 Agency Mortgage-Backed Securities FNMS 03.500 CLBN7423 2049-11-01 3.500000 2375990.00 2171452.78 Agency Mortgage-Backed Securities FNMS 04.000 CLBN7395 2049-06-01 4.000000 3825926.00 4109595.99 Agency Mortgage-Backed Securities FNMS 04.500 CLBN7411 2049-08-01 4.500000 2217007.00 2378547.17 Agency Mortgage-Backed Securities FNMS 03.500 CLBN7448 2050-04-01 3.500000 2830562.00 2653342.43 Agency Mortgage-Backed Securities FNMS 03.500 CLBN7427 2049-12-01 3.500000 3271925.00 3520584.36 Agency Mortgage-Backed Securities FNMS 03.500 CLBN7436 2050-01-01 3.500000 2558982.00 2741849.01 Agency Mortgage-Backed Securities FNMS 03.000 CLBN7447 2050-04-01 3.000000 3150989.00 3333739.42 Agency Mortgage-Backed Securities FNMS 02.000 CLBN7460 2050-09-01 2.000000 3678442.00 3785367.19 Agency Mortgage-Backed Securities FNMS 04.500 CLBO3551 2049-12-01 4.500000 2726250.00 2963577.13 Agency Mortgage-Backed Securities FNMS 02.000 CLBO9373 2050-08-01 2.000000 436152.00 448527.87 Agency Mortgage-Backed Securities FNMS 03.500 CKBP0244 2050-02-01 3.500000 4185580.00 3823126.04 Agency Mortgage-Backed Securities FNMS 04.500 CLBP0271 2049-12-01 4.500000 4180798.00 4222541.29 Agency Mortgage-Backed Securities FNMS 03.500 CKBP2122 2050-01-01 3.500000 1800825.00 1883755.33 Agency Mortgage-Backed Securities FNMS 03.000 CKBP4095 2050-03-01 3.000000 2702206.00 2819416.98 Agency Mortgage-Backed Securities FNMS 03.000 CKBP4285 2050-04-01 3.000000 3301572.00 3431431.82 Agency Mortgage-Backed Securities FNMS 03.000 CKBP8197 2050-06-01 3.000000 3162371.00 3293850.41 Agency Mortgage-Backed Securities FNMS 04.500 CLBP8269 2050-07-01 4.500000 303955.00 334674.79 Agency Mortgage-Backed Securities FNMS 04.000 CLBP8272 2050-06-01 4.000000 3237456.00 3470420.55 Agency Mortgage-Backed Securities FNMS 03.500 CKBP8346 2050-04-01 3.500000 2671388.00 2807487.54 Agency Mortgage-Backed Securities FNMS 03.000 CKBP8373 2050-06-01 3.000000 3746687.00 3893456.74 Agency Mortgage-Backed Securities FNMS 02.500 CLBP8432 2050-08-01 2.500000 4191488.00 4413685.50 Agency Mortgage-Backed Securities FNMS 03.500 CLBP8469 2050-07-01 3.500000 3759620.00 4138588.45 Agency Mortgage-Backed Securities FNMS 02.500 CLBQ1045 2050-08-01 2.500000 3047600.00 3175574.24 Agency Mortgage-Backed Securities FNMS 02.500 CLBQ1921 2050-09-01 2.500000 2834021.00 3022044.77 Agency Mortgage-Backed Securities FNMS 02.000 CLBQ1903 2050-10-01 2.000000 2502050.00 2612314.10 Agency Mortgage-Backed Securities FNMS 02.500 CKBQ2071 2050-08-01 2.500000 3322227.00 3484836.72 Agency Mortgage-Backed Securities FNMS 03.000 CKBQ2154 2050-08-01 3.000000 3568517.00 3452845.50 Agency Mortgage-Backed Securities FNMS 02.500 CKBQ2195 2050-09-01 2.500000 3308785.00 3470900.87 Agency Mortgage-Backed Securities FNMS 02.500 CLBQ3483 2050-10-01 2.500000 3488070.00 3694379.76 Agency Mortgage-Backed Securities FNMS 03.000 CLBQ2812 2050-09-01 3.000000 2798652.00 2969369.51 Agency Mortgage-Backed Securities FNMS 03.000 CLBQ3405 2050-09-01 3.000000 2529946.00 2684254.08 Agency Mortgage-Backed Securities FNMS 02.000 CLBQ3409 2050-10-01 2.000000 4212411.00 4397587.31 Agency Mortgage-Backed Securities FNMS 02.500 CLBQ3412 2050-09-01 2.500000 2403985.00 2563930.35 Agency Mortgage-Backed Securities FNMS 02.500 CLBQ3419 2050-10-01 2.500000 3582937.00 3824391.84 Agency Mortgage-Backed Securities FNMS 03.500 CLBQ3980 2050-10-01 3.500000 1042697.00 1124326.04 Agency Mortgage-Backed Securities FNMS 03.000 CLBQ5449 2050-09-01 3.000000 1185462.00 1291479.84 Agency Mortgage-Backed Securities FNMS 03.500 CLCA5356 2050-02-01 3.500000 3786622.00 3921910.56 Agency Mortgage-Backed Securities FNMS 05.000 CLCA4689 2048-10-01 5.000000 4085117.00 2569262.96 Agency Mortgage-Backed Securities FNMS 04.000 CLCA4674 2048-10-01 4.000000 3711632.00 2547414.62 Agency Mortgage-Backed Securities FNMS 03.000 CKCA6384 2050-07-01 3.000000 3443875.00 3598908.78 Agency Mortgage-Backed Securities FNMS 02.000 CLCA6704 2050-07-01 2.000000 3803150.00 3907774.98 Agency Mortgage-Backed Securities FNMS 02.500 CLFM3992 2047-11-01 2.500000 327164.00 323116.28 Agency Mortgage-Backed Securities FNMS 02.000 CIMA4179 2035-10-01 2.000000 5666873.00 5891117.46 Agency Mortgage-Backed Securities FNMS 02.500 CKMA4190 2050-10-01 2.500000 122137.00 125743.69 Agency Mortgage-Backed Securities GNII SF MA6768 M 2050-07-20 4.000000 3868260.00 4074607.10 Agency Mortgage-Backed Securities GNII SF MA6867 M 2050-07-20 3.500000 9534.00 10131.95 Agency Mortgage-Backed Securities GNII JM MA6885 M 2050-09-20 2.000000 337103.00 346556.04 Agency Mortgage-Backed Securities GNII JM MA6921 M 2050-10-20 2.000000 27381709.00 28233858.21 Agency Mortgage-Backed Securities GNII JM MA6923 M 2050-10-20 3.000000 421776.00 431646.26 Agency Mortgage-Backed Securities GNII JM MA6924 M 2050-09-20 3.500000 896175.00 936376.91 Agency Mortgage-Backed Securities GNII SF MA6931 M 2050-10-20 2.500000 16778080.00 17602200.65 Agency Mortgage-Backed Securities GNII SF MA6932 M 2050-08-20 3.000000 261955.00 277262.25 Agency Mortgage-Backed Securities GNMI SF BN0261 X 2050-06-15 4.000000 52300.00 59267.91 Agency Mortgage-Backed Securities GNMI SF BN0274 X 2050-09-15 2.500000 5667768.00 5920588.56 Agency Mortgage-Backed Securities GNII SF BQ3313 C 2050-03-20 4.000000 1408834.00 1513981.81 Agency Mortgage-Backed Securities GNPL PN BS8098 2055-06-15 2.370000 100000.00 104346.12 Agency Mortgage-Backed Securities GNII SF BT1788 C 2050-09-20 3.500000 1374427.00 1517278.95 Agency Mortgage-Backed Securities GNII SF BT1832 C 2050-10-20 3.500000 95389.00 105481.10 Agency Mortgage-Backed Securities GNII SF BT1834 C 2050-10-20 3.500000 1000724.00 1089217.47 Agency Mortgage-Backed Securities GNII SF BT1835 C 2050-10-20 3.500000 902636.00 971262.91 Agency Mortgage-Backed Securities GNII SF BT1840 C 2050-10-20 4.000000 1555198.00 1707606.19 Agency Mortgage-Backed Securities GNII SF BT4100 C 2050-05-20 4.500000 3446516.00 3697540.95 Agency Mortgage-Backed Securities GNHA ML BT4820 H 2070-03-20 2.196000 4099192.00 3970164.13 Agency Mortgage-Backed Securities GNII SF BT7083 C 2050-08-20 4.000000 28692.00 30574.53 Agency Mortgage-Backed Securities GNHA ML BU0986 H 2070-04-20 2.285000 3454622.00 3324611.98 Agency Mortgage-Backed Securities GNII SF BU2683 C 2037-10-20 5.000000 2235424.00 2143461.44 Agency Mortgage-Backed Securities GNII SF BU2686 C 2036-04-20 5.500000 1407985.00 1340918.01 Agency Mortgage-Backed Securities GNII SF BU3180 C 2050-06-20 5.000000 1230409.00 1367249.08 Agency Mortgage-Backed Securities GNII SF BU3190 C 2050-05-20 5.000000 183506.00 204028.18 Agency Mortgage-Backed Securities GNPL LM BU4197 2054-05-15 3.040000 334837.00 369221.37 Agency Mortgage-Backed Securities GNHF RF BU5934 H 2070-09-20 3.504000 1125822.00 1282724.06 Agency Mortgage-Backed Securities GNII SF BU7552 C 2050-10-20 3.500000 1539529.00 1706240.66 Agency Mortgage-Backed Securities GNII SF BU8724 C 2050-06-20 4.000000 1189426.00 1299219.55 Agency Mortgage-Backed Securities GNHA ML BU9726 H 2070-05-20 2.238000 3668145.00 3718059.45 Agency Mortgage-Backed Securities GNII SF BV1717 C 2050-10-20 4.500000 1055889.00 1159720.90 Agency Mortgage-Backed Securities GNHA AL BV3636 H 2070-07-20 3.267000 1977025.00 2126697.68 Agency Mortgage-Backed Securities GNPL PN BV7132 2055-06-15 3.060000 100000.00 108836.37 Agency Mortgage-Backed Securities GNII SF BW0284 C 2050-07-20 4.000000 2755422.00 3040851.27 Agency Mortgage-Backed Securities GNII SF BW1713 C 2050-09-20 3.500000 1297045.00 1448175.78 Agency Mortgage-Backed Securities GNII SF BW1724 C 2050-10-20 3.500000 1368166.00 1529896.14 Agency Mortgage-Backed Securities GNII SF BW1204 C 2050-08-20 3.000000 14685.00 15903.99 Agency Mortgage-Backed Securities GNII SF BW1538 C 2050-10-20 3.500000 1279395.00 1376669.25 Agency Mortgage-Backed Securities GNII SF BW1822 C 2050-09-20 3.000000 3545972.00 3826050.10 Agency Mortgage-Backed Securities GNII SF BW1824 C 2050-09-20 3.500000 18543.00 21024.27 Agency Mortgage-Backed Securities GNII SF BW1833 C 2050-10-20 3.500000 1651971.00 1875924.49 Agency Mortgage-Backed Securities GNHF RF BW2061 H 2070-08-20 3.275000 1888681.00 2121994.71 Agency Mortgage-Backed Securities GNII SF BW4205 C 2050-09-20 3.500000 4149358.00 4385362.03 Agency Mortgage-Backed Securities GNPL LM BW4558 2055-12-15 2.250000 1800127.00 1918630.26 Agency Mortgage-Backed Securities GNPL LM BW4554 2052-06-15 2.720000 7694494.00 8613486.75 Agency Mortgage-Backed Securities GNII SF BW5428 C 2050-08-20 3.000000 1632402.00 1767962.95 Agency Mortgage-Backed Securities GNII SF BW5807 C 2050-07-20 4.500000 1799663.00 1969609.81 Agency Mortgage-Backed Securities GNII SF BW6008 C 2050-08-20 3.500000 4094533.00 4338296.42 Agency Mortgage-Backed Securities GNII SF BW7197 C 2050-07-20 3.000000 1393227.00 1505414.36 Agency Mortgage-Backed Securities GNII SF BW6322 C 2050-08-20 4.000000 2989158.00 3183571.97 Agency Mortgage-Backed Securities GNHA ML BW6555 H 2070-06-20 2.307000 3167070.00 3312763.99 Agency Mortgage-Backed Securities GNII SF BW6573 C 2050-07-20 2.500000 3308534.00 3452120.10 Agency Mortgage-Backed Securities GNII SF BW6615 C 2050-08-20 2.500000 4087962.00 4273419.97 Agency Mortgage-Backed Securities GNII SF BW7468 C 2050-08-20 4.000000 3602198.00 3982005.68 Agency Mortgage-Backed Securities GNII SF BW8209 C 2050-09-20 3.000000 2763045.00 2891238.36 Agency Mortgage-Backed Securities GNII SF BW8576 C 2050-10-20 3.000000 1425228.00 1548787.67 Agency Mortgage-Backed Securities GNII SF BW8578 C 2050-10-20 3.000000 1016744.00 1063872.80 Agency Mortgage-Backed Securities GNII SF BW9047 C 2050-08-20 4.000000 3488885.00 3718945.69 Agency Mortgage-Backed Securities GNII SF BW9091 C 2050-08-20 3.500000 3375342.00 3576887.75 Agency Mortgage-Backed Securities GNII SF BW9079 C 2050-07-20 4.000000 3138193.00 3468941.53 Agency Mortgage-Backed Securities GNII SF BW9107 C 2050-08-20 3.500000 3057508.00 3238857.79 Agency Mortgage-Backed Securities GNII SF BX1247 C 2050-09-20 3.500000 2966472.00 3187287.06 Agency Mortgage-Backed Securities GNII SF BX1236 C 2050-09-20 4.500000 1087090.00 1223770.29 Agency Mortgage-Backed Securities GNII SF BX1242 C 2050-09-20 4.000000 1317863.00 1495555.13 Agency Mortgage-Backed Securities GNII SF BX1244 C 2050-09-20 3.500000 3362259.00 3552828.42 Agency Mortgage-Backed Securities GNPL PN BX1553 2055-09-15 2.310000 100000.00 104270.28 Agency Mortgage-Backed Securities GNPL LM BX1575 2038-03-15 2.530000 250000.00 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Bank of America Securities, Inc. 0.050 549300HN4UKV1E2R3U73 BRWAC55D5 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 254900HROIFWPRGM1V77 2032-02-15 0.000000 248844671.10 218863616.28 U.S. Treasuries (including strips) UNITED STATES TREASURY 254900HROIFWPRGM1V77 2020-11-27 0.000000 291155600.00 291136383.73 U.S. Treasuries (including strips) Y Fitch F1+ Moody's NR Standard & Poor's A-1 2020-11-02 2020-11-02 2020-11-02 N N N 0.0005 500000000.00 500000000.00 0.0030 N Y Y N U.S. Treasury Bills U.S. Treasury Bills 0.079 912796TU3 254900HROIFWPRGM1V77 US912796TU31 U.S. Treasury Debt Y Fitch Govt Moody's Govt Standard & Poor's A-1+ 2020-12-03 2020-12-03 2020-12-03 N N N 0.0008 2458820025.79 2458820025.79 0.0150 N Y Y N U.S. Treasury Bills U.S. Treasury Bills 0.089 912796TY5 254900HROIFWPRGM1V77 US912796TY52 U.S. Treasury Debt Y Fitch Govt Moody's Govt Standard & Poor's A-1+ 2020-12-31 2020-12-31 2020-12-31 N N N 0.0009 2527496773.39 2527496773.39 0.0154 N Y Y N Bank of America Securities, Inc. Bank of America Securities, Inc. 0.070 549300HN4UKV1E2R3U73 BRWA9PEB9 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 254900HROIFWPRGM1V77 2023-06-15 0.250000 50860900.00 51000044.86 U.S. Treasuries (including strips) Y Fitch F1+ Moody's NR Standard & Poor's A-1 2020-11-02 2020-11-02 2020-11-02 N N N 0.0007 50000000.00 50000000.00 0.0003 N Y Y N U.S. Treasury Bills U.S. Treasury Bills 0.093 912796UC1 254900HROIFWPRGM1V77 US912796UC14 U.S. Treasury Debt Y Fitch Govt Moody's Govt Standard & Poor's A-1+ 2021-01-28 2021-01-28 2021-01-28 N N N 0.0009 6230209340.09 6230209340.09 0.0380 N Y Y N U.S. Treasury Bills U.S. Treasury Bills 0.100 912796XE4 254900HROIFWPRGM1V77 US912796XE43 U.S. Treasury Debt Y Fitch Govt Moody's Govt Standard & Poor's A-1+ 2021-02-25 2021-02-25 2021-02-25 N N N 0.0010 1127499703.51 1127499703.51 0.0069 N Y Y N U.S. Treasury Notes U.S. Treasury Notes 1.750 9128283G3 254900HROIFWPRGM1V77 US9128283G32 U.S. Treasury Debt Y Fitch Govt Moody's Govt Standard & Poor's AA+ 2020-11-15 2020-11-15 2020-11-15 N N N 0.0044 119127664.18 119127664.18 0.0007 N Y Y N U.S. Treasury Notes U.S. Treasury Notes 2.000 9128283Q1 254900HROIFWPRGM1V77 US9128283Q14 U.S. Treasury Debt Y Fitch Govt Moody's Govt Standard & Poor's AA+ 2021-01-15 2021-01-15 2021-01-15 N N N 0.0023 20932098.64 20932098.64 0.0001 N Y Y N U.S. Treasury Notes U.S. Treasury Notes 2.750 9128285Q9 254900HROIFWPRGM1V77 US9128285Q95 U.S. Treasury Debt Y Fitch Govt Moody's Govt Standard & Poor's AA+ 2020-11-30 2020-11-30 2020-11-30 N N N 0.0039 264897486.89 264897486.89 0.0016 N Y Y N U.S. Treasury Notes U.S. Treasury Notes 2.500 9128285S5 254900HROIFWPRGM1V77 US9128285S51 U.S. Treasury Debt Y Fitch Govt Moody's Govt Standard & Poor's AA+ 2020-12-31 2020-12-31 2020-12-31 N N N 0.0026 177249793.08 177249793.08 0.0011 N Y Y N BlackRock Liquidity Funds 2020-11-05 /s/Neal J. Andrews Neal J. Andrews Chief Financial Officer