0000356173-11-000215.txt : 20120130 0000356173-11-000215.hdr.sgml : 20120130 20111207123637 ACCESSION NUMBER: 0000356173-11-000215 CONFORMED SUBMISSION TYPE: N-MFP PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20111130 FILED AS OF DATE: 20111207 DATE AS OF CHANGE: 20111207 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Fidelity Colchester Street Trust CENTRAL INDEX KEY: 0000356173 IRS NUMBER: 000000000 FISCAL YEAR END: 0331 FILING VALUES: FORM TYPE: N-MFP SEC ACT: 1933 Act SEC FILE NUMBER: 811-03320 FILM NUMBER: 111247794 BUSINESS ADDRESS: STREET 1: 82 DEVONSHIRE STREET CITY: BOSTON STATE: MA ZIP: 02109 BUSINESS PHONE: 617-563-7000 MAIL ADDRESS: STREET 1: 82 DEVONSHIRE STREET CITY: BOSTON STATE: MA ZIP: 02109 FORMER COMPANY: FORMER CONFORMED NAME: COLCHESTER STREET TRUST DATE OF NAME CHANGE: 19980324 FORMER COMPANY: FORMER CONFORMED NAME: FIDELITY INSTITUTIONAL CASH PORTFOLIOS DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: CASH INVESTMENT FUND DATE OF NAME CHANGE: 19850414 0000356173 S000004822 Money Market Portfolio C000013041 Class I FMPXX C000013086 Class II FCIXX C000013087 Class III FCOXX C000013088 Select Class FMYXX C000056571 Institutional Class FNSXX C000077337 Class F FMMXX N-MFP 1 primary_doc.xml N-MFP N-MFP LIVE N 2011-11-30 0000356173 S000004822 6 N N 002-74808 FIDELITY MANAGEMENT & RESEARCH COMPANY (FMR) 801-07884 FIDELITY INVESTMENTS MONEY MANAGEMENT, INC. 801-34590 FIDELITY MANAGEMENT & RESEARCH (U.K.), INC. 801-28773 FIDELITY MANAGEMENT & RESEARCH (HONG KONG) LIMITED 801-69507 FIDELITY MANAGEMENT & RESEARCH (JAPAN) INC 801-69571 DELOITTE & TOUCHE LLP Boston MA None FIDELITY INVESTMENTS INSTIT. OPERATIONS CO. 0000862124 084-01839 N N N Prime 50 90 61629576942.28 32299948.11 1071278732.93 60590598157.46 0.0036 1.0002 2011-11-30 1.0002 2011-11-30 C000013041 1000000.00 26842570147.13 1.00 -216702808.39 4770974428.19 4987677236.58 0.0018 1.0002 2011-11-30 1.0002 2011-11-30 C000013086 1000000.00 221663837.89 1.00 192617.46 100560699.11 100368081.65 0.0003 1.0001 2011-11-30 1.0001 2011-11-30 C000013087 1000000.00 2108825970.31 1.00 60063241.29 685101475.09 625038233.80 0.0001 0.9997 2011-11-30 0.9997 2011-11-30 C000013088 1000000.00 701718743.97 1.00 22563038.33 213890653.55 191327615.22 0.0013 1.0002 2011-11-30 1.0002 2011-11-30 C000056571 10000000.00 29522251224.44 1.00 127225829.81 10604317265.62 10477091435.81 0.0022 1.0003 2011-11-30 1.0003 2011-11-30 C000077337 1.00 1193568233.72 1.00 88517328.24 101128115.54 12610787.30 0.0022 1.0000 2011-11-30 1.0000 2011-11-30 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.32% 06538DE62 Certificate of Deposit First Tier Security 2011-12-06 2011-12-06 N N N 649000000.00 649000000.00 0.0107 N 649010773.40 649010773.40 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.32% 06538DF87 Certificate of Deposit First Tier Security 2011-12-07 2011-12-07 N N N 650000000.00 650000000.00 0.0107 N 650012610.00 650012610.00 Bank of Montreal Bank of Montreal, 0.25% 06366WNF7 Certificate of Deposit First Tier Security 2012-01-09 2012-01-09 N N N 221000000.00 221000000.00 0.0036 N 221026984.10 221026984.10 Bank of Montreal Bank of Montreal, 0.43% 06366UD47 Certificate of Deposit First Tier Security 2012-01-06 2012-12-06 N N N 425000000.00 425000000.00 0.0070 N 423802775.00 423802775.00 Bank of Montreal Chicago CD Program Bank of Montreal Chicago CD Program, 0.41% 06366WLY8 Certificate of Deposit First Tier Security 2011-12-28 2012-09-26 N N N 209000000.00 209000000.00 0.0034 N 208996238.00 208996238.00 Bank of Montreal Chicago CD Program Bank of Montreal Chicago CD Program, 0.44% 06366WPF5 Certificate of Deposit First Tier Security 2011-12-19 2012-10-18 N N N 310000000.00 310000000.00 0.0051 N 309915990.00 309915990.00 Bank of Montreal Chicago CD Program Bank of Montreal Chicago CD Program, 0.45% 06366WQD9 Certificate of Deposit First Tier Security 2011-12-29 2012-10-29 N N N 106000000.00 106000000.00 0.0017 N 106005406.00 106005406.00 Bank of Nova Scotia Bank of Nova Scotia, 0.30% 06417EEY5 Certificate of Deposit First Tier Security 2011-12-06 2011-12-06 N N N 725000000.00 725000000.00 0.0120 N 725025375.00 725025375.00 Bank of Nova Scotia Bank of Nova Scotia, 0.45% 06417ELW1 Certificate of Deposit First Tier Security 2011-12-01 2012-11-01 N N N 456000000.00 456000000.00 0.0075 N 456000000.00 456000000.00 Bank of Nova Scotia Bank of Nova Scotia, 0.49% 06417D2A2 Certificate of Deposit First Tier Security 2012-02-13 2012-12-11 N N N 218000000.00 218000000.00 0.0036 N 217882498.00 217882498.00 Bank of Nova Scotia Bank of Nova Scotia, 0.57% 06417DM51 Certificate of Deposit First Tier Security 2012-01-03 2012-10-01 N N N 70650000.00 70717911.54 0.0012 N 70725312.90 70725312.90 Bank of Nova Scotia Bank of Nova Scotia, 0.61% 06417DJE6 Certificate of Deposit First Tier Security 2012-02-16 2012-12-14 N N N 95000000.00 95000000.00 0.0016 N 94976250.00 94976250.00 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.41% 06538D2F5 Certificate of Deposit First Tier Security 2012-02-06 2012-02-06 N N N 232000000.00 232000000.00 0.0038 N 231969283.20 231969283.20 BNP Paribas SA BNP Paribas SA, 0.46% 05572WEX0 Certificate of Deposit First Tier Security 2011-12-12 2011-12-12 N N N 594000000.00 594000000.00 0.0098 N 593961984.00 593961984.00 Canadian Imperial Bank of Commerce New York Branch Canadian Imperial Bank of Commerce New York Branch, 0.43% 13606X5X2 Certificate of Deposit First Tier Security 2011-12-23 2012-09-24 N N N 364000000.00 364000000.00 0.0060 N 363994540.00 363994540.00 Canadian Imperial Bank of Commerce New York Branch Canadian Imperial Bank of Commerce New York Branch, 0.44% 13606XM96 Certificate of Deposit First Tier Security 2012-01-11 2012-01-11 N N N 310000000.00 310000000.00 0.0051 N 309914440.00 309914440.00 Canadian Imperial Bank of Commerce New York Branch Canadian Imperial Bank of Commerce New York Branch, 0.45% 13606XN87 Certificate of Deposit First Tier Security 2012-01-17 2012-12-17 N N N 622000000.00 622000000.00 0.0103 N 620232898.00 620232898.00 Canadian Imperial Bank of Commerce New York Branch Canadian Imperial Bank of Commerce New York Branch, 0.46% 13606X6B9 Certificate of Deposit First Tier Security 2012-01-24 2012-10-24 N N N 211000000.00 211000000.00 0.0035 N 210969616.00 210969616.00 Canadian Imperial Bank of Commerce New York Branch Canadian Imperial Bank of Commerce New York Branch, 0.50% 13606X5W4 Certificate of Deposit First Tier Security 2012-10-01 2012-10-01 N N N 578000000.00 578000000.00 0.0095 N 577270506.20 577270506.20 Credit Suisse New York Branch Credit Suisse New York Branch, 0.37% 22550C5D9 Certificate of Deposit First Tier Security 2011-12-28 2011-12-28 N N N 610000000.00 610000000.00 0.0101 N 610075823.00 610075823.00 Credit Suisse New York Branch Credit Suisse New York Branch, 0.47% 22550DBG3 Certificate of Deposit First Tier Security 2012-02-17 2012-02-17 N N N 604000000.00 604000000.00 0.0100 N 603933680.80 603933680.80 Credit Suisse New York Branch Credit Suisse New York Branch, 0.50% 22550DBK4 Certificate of Deposit First Tier Security 2012-02-21 2012-02-21 N N N 300000000.00 300000000.00 0.0050 N 299986110.00 299986110.00 Deutsche Bank AG New York Branch Deutsche Bank AG New York Branch, 0.35% 25154UGN8 Certificate of Deposit First Tier Security 2011-12-15 2011-12-15 N N N 605000000.00 605000000.00 0.0100 N 605005021.50 605005021.50 Deutsche Bank AG New York Branch Deutsche Bank AG New York Branch, 0.37% 25154UHM9 Certificate of Deposit First Tier Security 2011-12-27 2011-12-27 N N N 607000000.00 607000000.00 0.0100 N 607018210.00 607018210.00 DnB NOR Bank ASA DnB NOR Bank ASA, 0.37% 25600T3F2 Certificate of Deposit First Tier Security 2012-01-20 2012-01-20 N N N 119000000.00 119000000.00 0.0020 N 119018516.40 119018516.40 DnB NOR Bank ASA DnB NOR Bank ASA, 0.52% 25600T4F1 Certificate of Deposit First Tier Security 2012-02-10 2012-02-10 N N N 83000000.00 82981992.96 0.0014 N 82986711.70 82986711.70 Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 0.45% 60681PV68 Certificate of Deposit First Tier Security 2012-01-25 2012-01-25 N N N 301000000.00 301000000.00 0.0050 N 301079494.10 301079494.10 Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 0.45% 60681PW26 Certificate of Deposit First Tier Security 2012-01-27 2012-01-27 N N N 113000000.00 113000000.00 0.0019 N 113030916.80 113030916.80 Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 0.52% 60681PY99 Certificate of Deposit First Tier Security 2012-02-23 2012-02-23 N N N 111000000.00 111000000.00 0.0018 N 111034032.60 111034032.60 Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 0.52% 60681PZ23 Certificate of Deposit First Tier Security 2012-02-27 2012-02-27 N N N 111000000.00 111000000.00 0.0018 N 111035631.00 111035631.00 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.18% 60687GFY9 Certificate of Deposit First Tier Security 2011-12-02 2011-12-02 N N N 207000000.00 207000000.00 0.0034 N 206999544.60 206999544.60 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.18% 60687GGA0 Certificate of Deposit First Tier Security 2011-12-05 2011-12-05 N N N 209000000.00 209000000.00 0.0034 N 208998829.60 208998829.60 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.18% 60687GGF9 Certificate of Deposit First Tier Security 2011-12-06 2011-12-06 N N N 211000000.00 211000000.00 0.0035 N 210998586.30 210998586.30 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.18% 60687GGG7 Certificate of Deposit First Tier Security 2011-12-07 2011-12-07 N N N 232382000.00 232382000.00 0.0038 N 232382000.00 232382000.00 National Bank Canada National Bank Canada, 0.36% 63306VY38 Certificate of Deposit First Tier Security 2011-12-06 2012-07-06 N N N 214000000.00 214000000.00 0.0035 N 213973036.00 213973036.00 Nordea Bank AB Nordea Bank AB, 0.68% 65556Q5Q2 Certificate of Deposit First Tier Security 2012-02-03 2012-02-03 N N N 28000000.00 28004047.16 0.0005 N 27995212.00 27995212.00 Nordea Bank Finland PLC Nordea Bank Finland PLC, 0.35% 65557VC41 Certificate of Deposit First Tier Security 2012-01-13 2012-01-13 N N N 404000000.00 404000000.00 0.0067 N 404014746.00 404014746.00 Nordea Bank Finland PLC Nordea Bank Finland PLC, 0.37% 65557VE31 Certificate of Deposit First Tier Security 2012-01-20 2012-01-20 N N N 605000000.00 605000000.00 0.0100 N 605042713.00 605042713.00 Rabobank Nederland New York Branch Rabobank Nederland New York Branch, 0.30% 74977MWQ4 Certificate of Deposit First Tier Security 2011-12-08 2012-06-08 N N N 633000000.00 633000000.00 0.0104 N 632995569.00 632995569.00 Rabobank Nederland New York Branch Rabobank Nederland New York Branch, 0.35% 74977MTN5 Certificate of Deposit First Tier Security 2011-12-02 2012-04-02 N N N 213000000.00 213000000.00 0.0035 N 212930775.00 212930775.00 Rabobank Nederland New York Branch Rabobank Nederland New York Branch, 0.35% 74977MWX9 Certificate of Deposit First Tier Security 2011-12-05 2012-06-01 N N N 109000000.00 109000000.00 0.0018 N 108935254.00 108935254.00 Rabobank Nederland New York Branch Rabobank Nederland New York Branch, 0.35% 74977MWY7 Certificate of Deposit First Tier Security 2011-12-05 2012-06-01 N N N 216000000.00 216000000.00 0.0036 N 215872992.00 215872992.00 Rabobank Nederland New York Branch Rabobank Nederland New York Branch, 0.35% 74977MTC9 Certificate of Deposit First Tier Security 2011-12-12 2012-03-12 N N N 962000000.00 962000000.00 0.0159 N 962076960.00 962076960.00 Rabobank Nederland New York Branch Rabobank Nederland New York Branch, 0.40% 7497749W7 0001098062 Certificate of Deposit First Tier Security 2012-02-01 2012-02-01 N N N 617000000.00 617000000.00 0.0102 N 616935091.60 616935091.60 Royal Bank Cda New York Inst Cd Be Royal Bank Cda New York Inst Cd Be, 0.52% 78009NBR6 Certificate of Deposit First Tier Security 2011-12-14 2012-12-11 N N N 383000000.00 383000000.00 0.0063 N 382912676.00 382912676.00 Royal Bank of Canada Royal Bank of Canada, 0.73% 78009JKX2 Certificate of Deposit First Tier Security 2012-01-03 2012-11-01 N N N 383000000.00 383000000.00 0.0063 N 383360786.00 383360786.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.19% 86562EZS0 Certificate of Deposit First Tier Security 2011-12-01 2011-12-01 N N N 104000000.00 104000000.00 0.0017 N 103999916.80 103999916.80 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.19% 86562EZU5 Certificate of Deposit First Tier Security 2011-12-02 2011-12-02 N N N 221000000.00 220999877.17 0.0036 N 220999381.20 220999381.20 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.19% 86562EZY7 Certificate of Deposit First Tier Security 2011-12-05 2011-12-05 N N N 208000000.00 207999537.66 0.0034 N 207998564.80 207998564.80 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.19% 86562EZW1 Certificate of Deposit First Tier Security 2011-12-05 2011-12-05 N N N 228000000.00 228000000.00 0.0038 N 227999042.40 227999042.40 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.19% 86562EA24 Certificate of Deposit First Tier Security 2011-12-06 2011-12-06 N N N 206000000.00 206000000.00 0.0034 N 205998970.00 205998970.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.19% 86562EA40 Certificate of Deposit First Tier Security 2011-12-07 2011-12-07 N N N 210000000.00 210000000.00 0.0035 N 209998782.00 209998782.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.19% 86562EB31 Certificate of Deposit First Tier Security 2011-12-08 2011-12-08 N N N 211000000.00 210999179.21 0.0035 N 210997657.90 210997657.90 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.19% 86562EB49 Certificate of Deposit First Tier Security 2011-12-09 2011-12-09 N N N 209000000.00 209000000.00 0.0034 N 208998432.50 208998432.50 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.19% 86562EB64 Certificate of Deposit First Tier Security 2011-12-09 2011-12-09 N N N 100000000.00 99999611.00 0.0017 N 99999600.00 99999600.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.19% 86562EB80 Certificate of Deposit First Tier Security 2011-12-12 2011-12-12 N N N 315000000.00 315000000.00 0.0052 N 315000000.00 315000000.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.45% 86562EYQ5 Certificate of Deposit First Tier Security 2012-02-14 2012-02-14 N N N 567000000.00 567000000.00 0.0094 N 566975959.20 566975959.20 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.45% 86562EYP7 Certificate of Deposit First Tier Security 2012-02-15 2012-02-15 N N N 37500000.00 37500000.00 0.0006 N 37498391.25 37498391.25 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.50% 86562EA73 Certificate of Deposit First Tier Security 2012-03-01 2012-03-01 N N N 125000000.00 125000000.00 0.0021 N 125000000.00 125000000.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.50% 86562EA99 Certificate of Deposit First Tier Security 2012-03-02 2012-03-02 N N N 318000000.00 318000000.00 0.0052 N 318000000.00 318000000.00 Svenska Handelsbanken Svenska Handelsbanken, 0.40% 86959BJ63 Certificate of Deposit First Tier Security 2012-02-03 2012-02-03 N N N 419000000.00 419003719.29 0.0069 N 418928099.60 418928099.60 Svenska Handelsbanken Svenska Handelsbanken, 0.43% 86959BL86 Certificate of Deposit First Tier Security 2012-02-17 2012-02-17 N N N 275000000.00 275002975.01 0.0045 N 274960757.50 274960757.50 Svenska Handelsbanken Svenska Handelsbanken, 0.49% 86959BN43 Certificate of Deposit First Tier Security 2012-03-01 2012-03-01 N N N 276000000.00 276000000.00 0.0046 N 276000000.00 276000000.00 Toronto-Dominion Bank Toronto-Dominion Bank, 0.43% 89112XBQ7 Certificate of Deposit First Tier Security 2012-01-19 2012-10-19 N N N 147000000.00 147000000.00 0.0024 N 146976333.00 146976333.00 Toronto-Dominion Bank Toronto-Dominion Bank, 0.45% 89112XDH5 Certificate of Deposit First Tier Security 2011-12-07 2012-11-07 N N N 133000000.00 133000000.00 0.0022 N 132999867.00 132999867.00 Toronto-Dominion Bank New York Branch Toronto-Dominion Bank New York Branch, 0.33% 89112YSH7 Certificate of Deposit First Tier Security 2011-12-12 2012-01-12 N N N 171000000.00 171000000.00 0.0028 N 171004959.00 171004959.00 Toronto-Dominion Bank New York Branch Toronto-Dominion Bank New York Branch, 0.62% 89112XES0 Certificate of Deposit First Tier Security 2012-11-14 2012-11-14 N N N 461000000.00 461000000.00 0.0076 N 461668496.10 461668496.10 UBS AG UBS AG, 0.44% 90267A4H6 Certificate of Deposit First Tier Security 2012-01-12 2012-01-12 N N N 415000000.00 415000000.00 0.0068 N 415054406.50 415054406.50 UBS AG UBS AG, 0.45% 90267A5D4 Certificate of Deposit First Tier Security 2012-01-30 2012-01-30 N N N 606000000.00 606000000.00 0.0100 N 606123018.00 606123018.00 ABN AMRO Bank NV ABN AMRO Bank NV, 0.38% 37V995HP6 Certificate of Deposit First Tier Security 2011-12-05 2011-12-05 N N N 387000000.00 387000214.72 0.0064 N 387006462.90 387006462.90 ABN AMRO Bank NV ABN AMRO Bank NV, 0.49% 37V995JB5 Certificate of Deposit First Tier Security 2012-01-04 2012-01-04 N N N 206000000.00 206001944.08 0.0034 N 206026017.80 206026017.80 Australia & New Zealand Banking Group Ltd. Australia & New Zealand Banking Group Ltd., 0.61% 05299WNK0 0000859994 Certificate of Deposit First Tier Security 2012-06-06 2012-06-06 N N N 117000000.00 117000000.00 0.0019 N 117000000.00 117000000.00 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.30% 202991VC6 0000008565 Certificate of Deposit First Tier Security 2011-12-09 2011-12-09 N N N 277000000.00 277000000.00 0.0046 N 277006925.00 277006925.00 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.30% 202991VG7 0000008565 Certificate of Deposit First Tier Security 2011-12-12 2011-12-12 N N N 124000000.00 124000000.00 0.0020 N 124004129.20 124004129.20 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.30% 202991VF9 0000008565 Certificate of Deposit First Tier Security 2011-12-13 2011-12-13 N N N 94000000.00 94000000.00 0.0016 N 94003393.40 94003393.40 DnB NOR Bank ASA DnB NOR Bank ASA, 0.25% 42Q9925L1 Certificate of Deposit First Tier Security 2011-12-19 2011-12-19 N N N 100000000.00 100004006.00 0.0017 N 100004000.00 100004000.00 HSBC Bank PLC HSBC Bank PLC, 0.30% 35X99QAX2 0001140465 Certificate of Deposit First Tier Security 2011-12-28 2011-12-28 N N N 207000000.00 207000000.00 0.0034 N 207022521.60 207022521.60 HSBC Bank PLC HSBC Bank PLC, 0.38% 35X99QAT1 0001140465 Certificate of Deposit First Tier Security 2012-02-09 2012-02-09 N N N 109000000.00 109000000.00 0.0018 N 109008436.60 109008436.60 HSBC Bank PLC HSBC Bank PLC, 0.50% 35X99QAS3 0001140465 Certificate of Deposit First Tier Security 2012-05-03 2012-05-03 N N N 221000000.00 221000000.00 0.0036 N 220912903.90 220912903.90 HSBC Bank PLC HSBC Bank PLC, 0.51% 35X99QAY0 0001140465 Certificate of Deposit First Tier Security 2012-05-31 2012-05-31 N N N 107000000.00 107000000.00 0.0018 N 106956611.50 106956611.50 HSBC Bank PLC HSBC Bank PLC, 0.53% 13L997HC3 0001140465 Certificate of Deposit First Tier Security 2012-02-28 2012-02-28 N N N 189000000.00 188999985.60 0.0031 N 189089056.80 189089056.80 HSBC Bank PLC HSBC Bank PLC, 0.55% 35X99QAQ7 0001140465 Certificate of Deposit First Tier Security 2012-03-15 2012-03-15 N N N 212000000.00 212000000.00 0.0035 N 212054950.40 212054950.40 National Australia Bank Ltd. National Australia Bank Ltd., 0.30% 6329909E9 0000833029 Certificate of Deposit First Tier Security 2011-12-01 2011-12-01 N N N 542000000.00 542000000.00 0.0089 N 542001517.60 542001517.60 National Australia Bank Ltd. National Australia Bank Ltd., 0.30% 39K99HAK6 0000833029 Certificate of Deposit First Tier Security 2011-12-01 2011-12-01 N N N 732000000.00 732000000.00 0.0121 N 732002049.60 732002049.60 National Australia Bank Ltd. National Australia Bank Ltd., 0.40% 39K99HBB5 0000833029 Certificate of Deposit First Tier Security 2012-03-09 2012-03-09 N N N 605000000.00 605000000.00 0.0100 N 605033396.00 605033396.00 National Australia Bank Ltd. National Australia Bank Ltd., 0.52% 39K99HAS9 0000833029 Certificate of Deposit First Tier Security 2012-04-17 2012-04-17 N N N 602000000.00 602000000.00 0.0099 N 602161697.20 602161697.20 National Australia Bank Ltd. National Australia Bank Ltd., 0.52% 39K99HAW0 0000833029 Certificate of Deposit First Tier Security 2012-05-02 2012-05-02 N N N 300000000.00 300000000.00 0.0050 N 299897250.00 299897250.00 Branch Banking & Trust Co. Branch Banking & Trust Co., 0.27% 10513DDH0 Certificate of Deposit First Tier Security 2011-12-05 2011-12-05 N N N 105000000.00 105000000.00 0.0017 N 105001606.50 105001606.50 Branch Banking & Trust Co. Branch Banking & Trust Co., 0.30% 10513DDZ0 Certificate of Deposit First Tier Security 2012-02-13 2012-02-13 N N N 105000000.00 105000000.00 0.0017 N 104978107.50 104978107.50 ASB Finance Ltd. ASB Finance Ltd., 0.40% 0020P5BY4 Financial Company Commercial Paper First Tier Security 2011-12-01 2012-02-01 N N N 150000000.00 149998715.46 0.0025 N 150011700.00 150011700.00 ASB Finance Ltd. (London) ASB Finance Ltd. (London), 0.58% 0020P2DB9 Financial Company Commercial Paper First Tier Security 2012-04-11 2012-04-11 N N N 52000000.00 51889413.34 0.0009 N 51894341.20 51894341.20 ASB Finance Ltd. (London) ASB Finance Ltd. (London), 0.58% 0020P2DD5 Financial Company Commercial Paper First Tier Security 2012-04-13 2012-04-13 N N N 52000000.00 51887737.79 0.0009 N 51891777.60 51891777.60 ASB Finance Ltd. (London) ASB Finance Ltd. (London), 0.68% 0020P2EV4 Financial Company Commercial Paper First Tier Security 2012-05-29 2012-05-29 N N N 84000000.00 83714399.98 0.0014 N 83724639.60 83724639.60 Barclays Bank PLC/Barclays US CCP Funding LLC Barclays Bank PLC/Barclays US CCP Funding LLC, 0.27% 06741GFF7 Financial Company Commercial Paper First Tier Security 2011-12-02 2011-12-02 N N N 56000000.00 55999580.00 0.0009 N 55999535.20 55999535.20 Barclays Bank PLC/Barclays US CCP Funding LLC Barclays Bank PLC/Barclays US CCP Funding LLC, 0.27% 06741GFQ3 Financial Company Commercial Paper First Tier Security 2011-12-07 2011-12-07 N N N 63000000.00 62997165.00 0.0010 N 62998160.40 62998160.40 Barclays Bank PLC/Barclays US CCP Funding LLC Barclays Bank PLC/Barclays US CCP Funding LLC, 0.27% 06741GGK5 Financial Company Commercial Paper First Tier Security 2011-12-20 2011-12-20 N N N 29000000.00 28995867.50 0.0005 N 28996647.60 28996647.60 Barclays Bank PLC/Barclays US CCP Funding LLC Barclays Bank PLC/Barclays US CCP Funding LLC, 0.28% 06741GFT7 Financial Company Commercial Paper First Tier Security 2011-12-12 2011-12-12 N N N 113000000.00 112990332.22 0.0019 N 112993864.10 112993864.10 Barclays Bank PLC/Barclays US CCP Funding LLC Barclays Bank PLC/Barclays US CCP Funding LLC, 0.28% 06741GGJ8 Financial Company Commercial Paper First Tier Security 2011-12-14 2011-12-14 N N N 51000000.00 50994843.33 0.0008 N 50996669.70 50996669.70 Barclays Bank PLC/Barclays US CCP Funding LLC Barclays Bank PLC/Barclays US CCP Funding LLC, 0.28% 06741GGL3 Financial Company Commercial Paper First Tier Security 2011-12-28 2011-12-28 N N N 53000000.00 52988870.02 0.0009 N 52991631.30 52991631.30 Barclays Bank PLC/Barclays US CCP Funding LLC Barclays Bank PLC/Barclays US CCP Funding LLC, 0.32% 06741GFX8 Financial Company Commercial Paper First Tier Security 2012-01-03 2012-01-03 N N N 61000000.00 60982106.66 0.0010 N 60986805.70 60986805.70 Caisse d'Amort de la Dette Societe Caisse d'Amort de la Dette Societe, 0.43% 12802YAB6 Financial Company Commercial Paper First Tier Security 2012-02-03 2012-05-25 N N N 222000000.00 221988449.60 0.0037 N 221470974.00 221470974.00 Citigroup Funding, Inc. Citigroup Funding, Inc., 0.39% 17307SZ88 Financial Company Commercial Paper First Tier Security 2011-12-08 2011-12-08 N N N 138000000.00 137989535.02 0.0023 N 137992327.20 137992327.20 Citigroup Funding, Inc. Citigroup Funding, Inc., 0.39% 17307SZ96 Financial Company Commercial Paper First Tier Security 2011-12-09 2011-12-09 N N N 69000000.00 68994020.00 0.0011 N 68995687.50 68995687.50 Citigroup Funding, Inc. Citigroup Funding, Inc., 0.39% 17307SZG0 Financial Company Commercial Paper First Tier Security 2011-12-16 2011-12-16 N N N 187000000.00 186969612.54 0.0031 N 186979224.30 186979224.30 Citigroup Funding, Inc. Citigroup Funding, Inc., 0.40% 17307SZT2 Financial Company Commercial Paper First Tier Security 2011-12-27 2011-12-27 N N N 114000000.00 113967066.68 0.0019 N 113978055.00 113978055.00 Citigroup Funding, Inc. Citigroup Funding, Inc., 0.40% 17307SZU9 Financial Company Commercial Paper First Tier Security 2011-12-28 2011-12-28 N N N 273000000.00 272918100.00 0.0045 N 272945263.50 272945263.50 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.50% 20272DDA5 Financial Company Commercial Paper First Tier Security 2012-04-10 2012-04-10 N N N 126000000.00 125770750.03 0.0021 N 125746828.20 125746828.20 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.50% 20272DDT4 Financial Company Commercial Paper First Tier Security 2012-04-27 2012-04-27 N N N 84000000.00 83827333.31 0.0014 N 83795569.20 83795569.20 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.55% 20272DEM8 Financial Company Commercial Paper First Tier Security 2012-05-21 2012-05-21 N N N 97000000.00 96745105.52 0.0016 N 96703538.90 96703538.90 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.55% 20272DEN6 Financial Company Commercial Paper First Tier Security 2012-05-22 2012-05-22 N N N 41000000.00 40891634.70 0.0007 N 40873568.30 40873568.30 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.56% 20272DEP1 Financial Company Commercial Paper First Tier Security 2012-05-23 2012-05-23 N N N 102000000.00 101723920.01 0.0017 N 101682667.80 101682667.80 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.60% 20272DEX4 Financial Company Commercial Paper First Tier Security 2012-05-31 2012-05-31 N N N 210000000.00 209362999.99 0.0035 N 209299713.00 209299713.00 Danske Corp. Danske Corp., 0.25% 2363F7Z50 Financial Company Commercial Paper First Tier Security 2011-12-05 2011-12-05 N N N 89000000.00 88997527.78 0.0015 N 88997775.00 88997775.00 Danske Corp. Danske Corp., 0.25% 2363F7Z50 Financial Company Commercial Paper First Tier Security 2011-12-05 2011-12-05 N N N 361000000.00 360989972.29 0.0060 N 360990975.00 360990975.00 Danske Corp. Danske Corp., 0.25% 2363F7Z68 Financial Company Commercial Paper First Tier Security 2011-12-06 2011-12-06 N N N 150000000.00 149994791.67 0.0025 N 149995500.00 149995500.00 Danske Corp. Danske Corp., 0.25% 2363F7Z76 Financial Company Commercial Paper First Tier Security 2011-12-07 2011-12-07 N N N 104000000.00 103995666.64 0.0017 N 103996360.00 103996360.00 Danske Corp. Danske Corp., 0.25% 2363F7Z84 Financial Company Commercial Paper First Tier Security 2011-12-08 2011-12-08 N N N 65000000.00 64996840.26 0.0011 N 64996360.00 64996360.00 DnB NOR Bank ASA DnB NOR Bank ASA, 0.47% 2332K0BU5 Financial Company Commercial Paper First Tier Security 2012-02-28 2012-02-28 N N N 408000000.00 407525926.68 0.0067 N 407490000.00 407490000.00 Nationwide Building Society Nationwide Building Society, 0.34% 6385E1Z87 Financial Company Commercial Paper First Tier Security 2011-12-08 2011-12-08 N N N 72000000.00 71995240.01 0.0012 N 71997069.60 71997069.60 Nationwide Building Society Nationwide Building Society, 0.34% 6385E1Z95 Financial Company Commercial Paper First Tier Security 2011-12-09 2011-12-09 N N N 72000000.00 71994560.00 0.0012 N 71996673.60 71996673.60 Nationwide Building Society Nationwide Building Society, 0.34% 6385E1ZK0 Financial Company Commercial Paper First Tier Security 2011-12-19 2011-12-19 N N N 130000000.00 129977900.00 0.0021 N 129985804.00 129985804.00 Nationwide Building Society Nationwide Building Society, 0.38% 6385E1ZU8 Financial Company Commercial Paper First Tier Security 2011-12-28 2011-12-28 N N N 75000000.00 74978625.01 0.0012 N 74986410.00 74986410.00 Nationwide Building Society Nationwide Building Society, 0.40% 6385E0A37 Financial Company Commercial Paper First Tier Security 2012-01-03 2012-01-03 N N N 102000000.00 101962600.01 0.0017 N 101975050.80 101975050.80 Nordea North America, Inc. Nordea North America, Inc., 0.44% 6555P0BE8 Financial Company Commercial Paper First Tier Security 2012-02-14 2012-02-14 N N N 140000000.00 139871666.62 0.0023 N 139876156.00 139876156.00 Nordea North America, Inc. Nordea North America, Inc., 0.44% 6555P0BH1 Financial Company Commercial Paper First Tier Security 2012-02-17 2012-02-17 N N N 130000000.00 129876066.69 0.0021 N 129877332.00 129877332.00 Skandinaviska Enskilda Banken AB Skandinaviska Enskilda Banken AB, 0.37% 83050TA35 Financial Company Commercial Paper First Tier Security 2012-01-03 2012-01-03 N N N 102000000.00 101965404.99 0.0017 N 101975050.80 101975050.80 Skandinaviska Enskilda Banken AB Skandinaviska Enskilda Banken AB, 0.37% 83050TA43 Financial Company Commercial Paper First Tier Security 2012-01-04 2012-01-04 N N N 83000000.00 82970996.11 0.0014 N 82978776.90 82978776.90 Skandinaviska Enskilda Banken AB Skandinaviska Enskilda Banken AB, 0.37% 83050TA50 Financial Company Commercial Paper First Tier Security 2012-01-05 2012-01-05 N N N 103000000.00 102962948.61 0.0017 N 102972396.00 102972396.00 Skandinaviska Enskilda Banken AB Skandinaviska Enskilda Banken AB, 0.38% 83050TA92 Financial Company Commercial Paper First Tier Security 2012-01-09 2012-01-09 N N N 125000000.00 124949218.73 0.0021 N 124960137.50 124960137.50 Skandinaviska Enskilda Banken AB Skandinaviska Enskilda Banken AB, 0.38% 83050TAA9 Financial Company Commercial Paper First Tier Security 2012-01-10 2012-01-10 N N N 125000000.00 124947916.63 0.0021 N 124958575.00 124958575.00 Skandinaviska Enskilda Banken AB Skandinaviska Enskilda Banken AB, 0.40% 83050TAD3 Financial Company Commercial Paper First Tier Security 2012-01-13 2012-01-13 N N N 102000000.00 101951266.66 0.0017 N 101961974.40 101961974.40 Svenska Handelsbanken, Inc. Svenska Handelsbanken, Inc., 0.33% 86958GZU2 Financial Company Commercial Paper First Tier Security 2011-12-28 2011-12-28 N N N 207000000.00 206949543.75 0.0034 N 206967314.70 206967314.70 Svenska Handelsbanken, Inc. Svenska Handelsbanken, Inc., 0.39% 86958FAX5 Financial Company Commercial Paper First Tier Security 2012-01-31 2012-01-31 N N N 227000000.00 226849990.77 0.0037 N 226856513.30 226856513.30 Total Capital Canada Ltd. Total Capital Canada Ltd., 0.42% 89153QZF0 Financial Company Commercial Paper First Tier Security 2011-12-15 2011-12-15 N N N 104000000.00 103983013.33 0.0017 N 103992636.80 103992636.80 UBS Finance, Inc. UBS Finance, Inc., 0.52% 90262CBM8 Financial Company Commercial Paper First Tier Security 2012-02-21 2012-02-21 N N N 300000000.00 299644666.62 0.0049 N 299683920.00 299683920.00 UBS Finance, Inc. UBS Finance, Inc., 0.53% 90262CBP1 Financial Company Commercial Paper First Tier Security 2012-02-23 2012-02-23 N N N 604000000.00 603253053.61 0.0100 N 603334029.60 603334029.60 Westpac Banking Corp. Westpac Banking Corp., 0.39% 9612C4BY6 Financial Company Commercial Paper First Tier Security 2012-01-05 2012-04-05 N N N 235000000.00 235000000.00 0.0039 N 234974150.00 234974150.00 Westpac Banking Corp. Westpac Banking Corp., 0.39% 9612C4CA7 Financial Company Commercial Paper First Tier Security 2012-01-10 2012-04-10 N N N 377000000.00 377000000.00 0.0062 N 376983412.00 376983412.00 Gotham Funding Corp. Gotham Funding Corp., 0.35% 38346LA55 Asset Backed Commercial Paper First Tier Security 2012-01-05 2012-01-05 N N Y LIQUIDITY BANK TOKYO-MITSUBISHI UFJ LTD N/A N/A 57000000.00 56980604.18 0.0009 N 56987232.00 56987232.00 Gotham Funding Corp. Gotham Funding Corp., 0.35% 38346LAC0 Asset Backed Commercial Paper First Tier Security 2012-01-12 2012-01-12 N N Y LIQUIDITY BANK TOKYO-MITSUBISHI UFJ LTD N/A N/A 22000000.00 21991016.67 0.0004 N 21993378.00 21993378.00 Gotham Funding Corp. Gotham Funding Corp., 0.37% 38346LAQ9 Asset Backed Commercial Paper First Tier Security 2012-01-24 2012-01-24 N N Y LIQUIDITY BANK TOKYO-MITSUBISHI UFJ LTD N/A N/A 41000000.00 40977245.00 0.0007 N 40980393.80 40980393.80 Northern Pines Funding LLC Northern Pines Funding LLC, 0.30% 66560LZN9 Asset Backed Commercial Paper First Tier Security 2011-12-22 2011-12-22 N N Y LIQUIDITY DEUTSCHE BANK AG LONDON N/A N/A 41000000.00 40992825.00 0.0007 N 40994661.80 40994661.80 Northern Pines Funding LLC Northern Pines Funding LLC, 0.40% 66560MAB0 Asset Backed Commercial Paper First Tier Security 2011-12-01 2011-12-01 N N Y OBLIGOR DEUTSCHE BK SECS INC N/A N/A LIQUIDITY DEUTSCHE BANK AG LONDON N/A N/A 104000000.00 104000000.00 0.0017 N 104000000.00 104000000.00 Texas Instruments International Management Co. S.a.r.L. Texas Instruments International Management Co. S.a.r.L., 0.43% 88252AG92 Other Commercial Paper First Tier Security 2012-07-09 2012-07-09 N N N 21000000.00 20945210.41 0.0003 N 20903133.30 20903133.30 Texas Instruments, Inc. Texas Instruments, Inc., 0.20% 88250UZ65 Other Commercial Paper First Tier Security 2011-12-06 2011-12-06 N N N 42000000.00 41998833.33 0.0007 N 41998740.00 41998740.00 Texas Instruments, Inc. Texas Instruments, Inc., 0.20% 88250UZC2 Other Commercial Paper First Tier Security 2011-12-12 2011-12-12 N N N 39000000.00 38997616.67 0.0006 N 38997492.30 38997492.30 Commonwealth Bank of Australia Commonwealth Bank of Australia, 0.45% 2027A0FM6 Other Note First Tier Security 2012-01-12 2012-02-10 N N N 207000000.00 207000000.00 0.0034 N 206956323.00 206956323.00 Royal Bank of Canada Royal Bank of Canada, 0.42% 78008FBA1 Other Note First Tier Security 2012-01-03 2012-11-30 N N N 711000000.00 711000000.00 0.0117 N 711001422.00 711001422.00 Royal Bank of Canada Royal Bank of Canada, 0.44% 78008KXS7 Other Note First Tier Security 2012-02-06 2012-12-06 N N N 630000000.00 629820233.66 0.0104 N 628889940.00 628889940.00 Royal Bank of Canada Royal Bank of Canada, 0.71% 78008FAM6 Other Note First Tier Security 2011-12-15 2012-12-14 N N N 316000000.00 316000000.00 0.0052 N 316213932.00 316213932.00 Westpac Banking Corp. Westpac Banking Corp., 0.35% 9612E0CB1 Other Note First Tier Security 2011-12-07 2012-04-02 N N N 453000000.00 453000000.00 0.0075 N 452778936.00 452778936.00 Westpac Banking Corp. Westpac Banking Corp., 0.40% 91621CAW1 Other Note First Tier Security 2011-12-23 2012-05-23 N N N 508000000.00 508000000.00 0.0084 N 507286768.00 507286768.00 Westpac Banking Corp. Westpac Banking Corp., 0.44% 91621CBA8 Other Note First Tier Security 2012-01-17 2012-06-14 N N N 418000000.00 418000000.00 0.0069 N 416538254.00 416538254.00 Westpac Banking Corp. Westpac Banking Corp., 0.49% 91621CBE0 Other Note First Tier Security 2012-02-11 2012-06-08 N N N 204000000.00 204000000.00 0.0034 N 203751936.00 203751936.00 Royal Bank of Scotland PLC Royal Bank of Scotland PLC, 0.73% 41T99HRJ8 0000729153 Other Note First Tier Security 2011-12-01 2011-12-15 Y ROYAL BANK OF SCOTLAND PLC N/A N/A N N 421000000.00 421000000.00 0.0069 Y 420992843.00 420992843.00 U.S. Treasury Bills U.S. Treasury Bills, 0.30% 9127953C3 Treasury Debt First Tier Security 2012-02-09 2012-02-09 N N N 498000000.00 497707895.87 0.0082 N 497988546.00 497988546.00 U.S. Treasury Notes U.S. Treasury Notes, 0.11% 912828NQ9 Treasury Debt First Tier Security 2012-07-31 2012-07-31 N N N 500000000.00 501724091.20 0.0083 N 501738500.00 501738500.00 U.S. Treasury Notes U.S. Treasury Notes, 0.14% 912828NS5 Treasury Debt First Tier Security 2012-06-30 2012-06-30 N N N 136000000.00 136379634.83 0.0023 N 136419696.00 136419696.00 U.S. Treasury Notes U.S. Treasury Notes, 0.15% 912828PH7 Treasury Debt First Tier Security 2012-08-31 2012-08-31 N N N 194000000.00 194323595.77 0.0032 N 194378882.00 194378882.00 U.S. Treasury Notes U.S. Treasury Notes, 0.15% to 0.18% 912828LR9 Treasury Debt First Tier Security 2012-10-15 2012-10-15 N N N 185050000.00 187005791.87 0.0031 N 187045024.05 187045024.05 U.S. Treasury Notes U.S. Treasury Notes, 0.16% to 0.18% 912828LM0 Treasury Debt First Tier Security 2012-09-15 2012-09-15 N N N 184000000.00 185745047.06 0.0031 N 185804120.00 185804120.00 U.S. Treasury Notes U.S. Treasury Notes, 0.17% 912828LH1 Treasury Debt First Tier Security 2012-08-15 2012-08-15 N N N 127000000.00 128411571.68 0.0021 N 128473454.00 128473454.00 U.S. Treasury Notes U.S. Treasury Notes, 0.17% 912828HC7 Treasury Debt First Tier Security 2012-08-31 2012-08-31 N N N 144500000.00 148767129.62 0.0025 N 148829364.50 148829364.50 U.S. Treasury Notes U.S. Treasury Notes, 0.18% 912828PD6 Treasury Debt First Tier Security 2012-10-31 2012-10-31 N N N 302000000.00 302542625.56 0.0050 N 302648696.00 302648696.00 U.S. Treasury Notes U.S. Treasury Notes, 0.20% 9128277L0 Treasury Debt First Tier Security 2012-02-15 2012-02-15 N N N 133000000.00 134282741.11 0.0022 N 134330000.00 134330000.00 U.S. Treasury Notes U.S. Treasury Notes, 0.21% 912828MQ0 Treasury Debt First Tier Security 2012-02-29 2012-02-29 N N N 328000000.00 328531639.79 0.0054 N 328678960.00 328678960.00 U.S. Treasury Notes U.S. Treasury Notes, 0.22% 912828ML1 Treasury Debt First Tier Security 2011-12-31 2011-12-31 N N N 783000000.00 783496362.17 0.0129 N 783611523.00 783611523.00 Fannie Mae Fannie Mae, 0.20% 313588VB8 Government Agency Debt First Tier Security 2012-04-02 2012-04-02 N N N 610000000.00 609583166.63 0.0101 N 609937780.00 609937780.00 Federal Home Loan Bank Federal Home Loan Bank, 0.17% 3133756S1 Government Agency Debt First Tier Security 2012-03-22 2012-03-22 N N N 376000000.00 376019770.89 0.0062 N 376081216.00 376081216.00 Federal Home Loan Bank Federal Home Loan Bank, 0.19% 3133756G7 Government Agency Debt First Tier Security 2012-02-06 2012-02-06 N N N 305000000.00 304992133.62 0.0050 N 305032940.00 305032940.00 Federal Home Loan Bank Federal Home Loan Bank, 0.20% 3133756J1 Government Agency Debt First Tier Security 2012-02-08 2012-02-08 N N N 274000000.00 273987978.25 0.0045 N 274030688.00 274030688.00 Federal Home Loan Bank Federal Home Loan Bank, 0.41% 3133755S2 Government Agency Debt First Tier Security 2012-08-30 2012-08-30 N N N 608000000.00 608000000.00 0.0100 N 608171456.00 608171456.00 Straight-A Funding LLC Straight-A Funding LLC, 0.19% (Liquidity Facility Federal Financing Bank) 86257FCF0 Government Agency Debt First Tier Security 2012-01-31 2012-01-31 N N Y LIQUIDITY FEDERAL FINANCING BANK N/A N/A 44000000.00 43986995.55 0.0007 N 43995982.80 43995982.80 Straight-A Funding LLC Straight-A Funding LLC, 0.20% (Liquidity Facility Federal Financing Bank) 86257FCB9 Government Agency Debt First Tier Security 2012-01-25 2012-01-25 N N Y LIQUIDITY FEDERAL FINANCING BANK N/A N/A 104000000.00 103971111.09 0.0017 N 103992636.80 103992636.80 Straight-A Funding LLC Straight-A Funding LLC, 0.20% (Liquidity Facility Federal Financing Bank) 86257FCC7 Government Agency Debt First Tier Security 2012-01-26 2012-01-26 N N Y LIQUIDITY FEDERAL FINANCING BANK N/A N/A 104000000.00 103969377.80 0.0017 N 103991763.20 103991763.20 Straight-A Funding LLC Straight-A Funding LLC, 0.20% (Liquidity Facility Federal Financing Bank) 86257ECF3 Government Agency Debt First Tier Security 2012-01-31 2012-01-31 N N Y LIQUIDITY FEDERAL FINANCING BANK N/A N/A 348000000.00 347891733.44 0.0057 N 347972438.40 347972438.40 Straight-A Funding LLC Straight-A Funding LLC, 0.20% (Liquidity Facility Federal Financing Bank) 86257ECG1 Government Agency Debt First Tier Security 2012-02-01 2012-02-01 N N Y LIQUIDITY FEDERAL FINANCING BANK N/A N/A 60000000.00 59980999.99 0.0010 N 59995164.00 59995164.00 New York City Hsg. Dev. Corp. Multi-family Rental Hsg. Rev. New York City Hsg. Dev. Corp. Multi-family Rental Hsg. Rev., 0.11% (West 43rd Street Proj.) Series 1999 A, LOC Fannie Mae Guaranteed Mtg. pass-thru ce 64970HAL8 Variable Rate Demand Note First Tier Security 2011-12-07 2011-12-07 Y FANNIE MAE N/A N/A Y FANNIE MAE N/A N/A N 24200000.00 24200000.00 0.0004 N 24200000.00 24200000.00 New York City Hsg. Dev. Corp. Multi-family Rental Hsg. Rev. New York City Hsg. Dev. Corp. Multi-family Rental Hsg. Rev., 0.11% (255 West 9th Street Proj.) Series 2001 A, LOC Fannie Mae Guaranteed Mtg. pass-thru 64970HAS3 Variable Rate Demand Note First Tier Security 2011-12-07 2011-12-07 Y FANNIE MAE N/A N/A Y FANNIE MAE N/A N/A N 58235000.00 58235000.00 0.0010 N 58235000.00 58235000.00 New York Hsg. Fin. Agcy. Rev. New York Hsg. Fin. Agcy. Rev., 0.11% (Normandie Court II Hsg. Proj.) Series 1999 A, LOC Freddie Mac VRDN 64986MDQ5 Variable Rate Demand Note First Tier Security 2011-12-07 2011-12-07 Y FREDDIE MAC N/A N/A Y FREDDIE MAC N/A N/A N 29870000.00 29870000.00 0.0005 N 29870000.00 29870000.00 New York Hsg. Fin. Agcy. Rev. New York Hsg. Fin. Agcy. Rev., 0.11% (240 East 39th Street Hsg. Proj.) Series 1997 A, LOC Fannie Mae Guaranteed Mtg. pass-thru certificates VRDN 64986MFA8 Variable Rate Demand Note First Tier Security 2011-12-07 2011-12-07 Y FANNIE MAE N/A N/A Y FANNIE MAE N/A N/A N 62700000.00 62700000.00 0.0010 N 62700000.00 62700000.00 New York Hsg. Fin. Agcy. Rev. New York Hsg. Fin. Agcy. Rev., 0.12% (360 West 43rd Street Hsg. Proj.) Series A, LOC Fannie Mae Guaranteed Mtg. pass-thru certificates VRDN 64986MSG1 Variable Rate Demand Note First Tier Security 2011-12-07 2011-12-07 Y FANNIE MAE N/A N/A Y FANNIE MAE N/A N/A N 9900000.00 9900000.00 0.0002 N 9900000.00 9900000.00 New York Hsg. Fin. Agcy. Rev. New York Hsg. Fin. Agcy. Rev., 0.12% (Clinton Green South Hsg. Proj.) Series 2005 A, LOC Freddie Mac VRDN 64986M2V6 Variable Rate Demand Note First Tier Security 2011-12-07 2011-12-07 Y FREDDIE MAC N/A N/A Y FREDDIE MAC N/A N/A N 13000000.00 13000000.00 0.0002 N 13000000.00 13000000.00 New York Hsg. Fin. Agcy. Rev. New York Hsg. Fin. Agcy. Rev., 0.12% (29 Flatbush Ave. Hsg. Proj.) Series 2010 A, LOC Bank of America NA VRDN 64986UFF9 Variable Rate Demand Note First Tier Security 2011-12-07 2011-12-07 Y BANK OF AMERICA NA N/A N/A Y BANK OF AMERICA NA N/A N/A N 30000000.00 30000000.00 0.0005 N 30000000.00 30000000.00 New York Hsg. Fin. Agcy. Rev. New York Hsg. Fin. Agcy. Rev., 0.12% (East 39th Street Hsg. Proj.) Series 1999 A, LOC Fannie Mae Guaranteed Mtg. pass-thru certificates VRDN 64986MJW6 Variable Rate Demand Note First Tier Security 2011-12-07 2011-12-07 Y FANNIE MAE N/A N/A Y FANNIE MAE N/A N/A N 33700000.00 33700000.00 0.0006 N 33700000.00 33700000.00 New York Metropolitan Trans. Auth. Dedicated Tax Fund Rev. New York Metropolitan Trans. Auth. Dedicated Tax Fund Rev., 0.09% Series 2008 A2, LOC Bank of Tokyo-Mitsubishi UFJ Ltd. VRDN 59259NH89 Variable Rate Demand Note First Tier Security 2011-12-07 2011-12-07 Y BANK OF TOKYO-MITSUBISHI NY BR N/A N/A Y BANK OF TOKYO-MITSUBISHI NY BR N/A N/A N 30700000.00 30700000.00 0.0005 N 30700000.00 30700000.00 ABAG Fin. Auth. for Nonprofit Corps. Rev. ABAG Fin. Auth. for Nonprofit Corps. Rev., 0.11% (Sharp HealthCare Proj.) Series 2009 A, LOC Bank of America NA VRDN 00037CNR7 Variable Rate Demand Note First Tier Security 2011-12-07 2011-12-07 Y BANK OF AMERICA NA N/A N/A Y BANK OF AMERICA NA N/A N/A N 8500000.00 8500000.00 0.0001 N 8500000.00 8500000.00 Anaheim Hsg. Auth. Multi-family Hsg. Rev. Anaheim Hsg. Auth. Multi-family Hsg. Rev., 0.10% (Park Vista Apt. Proj.) Series 2000 D, LOC Freddie Mac VRDN 032557BV1 Variable Rate Demand Note First Tier Security 2011-12-07 2011-12-07 Y FREDDIE MAC N/A N/A Y FREDDIE MAC N/A N/A N 14580000.00 14580000.00 0.0002 N 14580000.00 14580000.00 California Hsg. Fin. Agcy. Rev. California Hsg. Fin. Agcy. Rev., 0.12% (Home Mtg. Prog.) Series 2005 A, (Liquidity Facility Fannie Mae Guaranteed Mtg. pass-thru certificates) (Liquid 13033KW70 Variable Rate Demand Note First Tier Security 2011-12-07 2011-12-07 Y FANNIE MAE N/A N/A FREDDIE MAC N/A N/A N N 23700000.00 23700000.00 0.0004 N 23700000.00 23700000.00 San Diego Hsg. Auth. Multi-family Hsg. Rev. San Diego Hsg. Auth. Multi-family Hsg. Rev., 0.13% (Villa Nueva Apts. Proj.) Series 2007 F, LOC Freddie Mac VRDN 79728FJV4 Variable Rate Demand Note First Tier Security 2011-12-07 2011-12-07 Y FREDDIE MAC N/A N/A Y FREDDIE MAC N/A N/A N 37500000.00 37500000.00 0.0006 N 37500000.00 37500000.00 San Francisco City & County Arpts. Commission Int'l. Arpt. Rev. San Francisco City & County Arpts. Commission Int'l. Arpt. Rev., 0.10% Series 2010 A3, LOC JPMorgan Chase Bank VRDN 79765A3M6 Variable Rate Demand Note First Tier Security 2011-12-07 2011-12-07 Y JPMORGAN CHASE BANK NA N/A N/A Y JPMORGAN CHASE BANK NA N/A N/A N 14000000.00 14000000.00 0.0002 N 14000000.00 14000000.00 Simi Valley Multi-family Hsg. Rev. Simi Valley Multi-family Hsg. Rev., 0.14% (Parker Ranch Proj.) Series A, LOC Fannie Mae Guaranteed Mtg. pass-thru certificates VRDN 828905EA3 Variable Rate Demand Note First Tier Security 2011-12-07 2011-12-07 Y FANNIE MAE N/A N/A Y FANNIE MAE N/A N/A N 17500000.00 17500000.00 0.0003 N 17500000.00 17500000.00 Univ. of California Revs. Univ. of California Revs., 0.14% Participating VRDN Putters 3668Z, (Liquidity Facility JPMorgan Chase Bank) 46633VPW3 Variable Rate Demand Note First Tier Security 2011-12-07 2011-12-07 Y JPMORGAN CHASE BANK NA N/A N/A N N 10000000.00 10000000.00 0.0002 N 10000000.00 10000000.00 Illinois Fin. Auth. Rev. Illinois Fin. Auth. Rev., 0.13% (Children's Memorial Hosp. Proj.) Series 2008 C, LOC JPMorgan Chase Bank VRDN 45200FGQ6 Variable Rate Demand Note First Tier Security 2011-12-07 2011-12-07 Y JPMORGAN CHASE BANK NA N/A N/A Y JPMORGAN CHASE BANK NA N/A N/A N 34100000.00 34100000.00 0.0006 N 34100000.00 34100000.00 Illinois Fin. Auth. Rev. Illinois Fin. Auth. Rev., 0.15% (Rockford Mem. Hosp. Proj.) LOC JPMorgan Chase Bank VRDN 45200FSG5 Variable Rate Demand Note First Tier Security 2011-12-07 2011-12-07 Y JPMORGAN CHASE BANK NA N/A N/A Y JPMORGAN CHASE BANK NA N/A N/A N 40600000.00 40600000.00 0.0007 N 40600000.00 40600000.00 Illinois Fin. Auth. Rev. Illinois Fin. Auth. Rev., 0.15% (Little Co. of Mary Hosp. Proj.) Series 2008 A, LOC JPMorgan Chase Bank VRDN 45200FFV6 Variable Rate Demand Note First Tier Security 2011-12-07 2011-12-07 Y JPMORGAN CHASE BANK NA N/A N/A Y JPMORGAN CHASE BANK NA N/A N/A N 44470000.00 44470000.00 0.0007 N 44470000.00 44470000.00 Humble Independent School District Humble Independent School District, 0.13% Participating VRDN Series Solar 06 20, (Liquidity Facility U.S. Bank NA, Minnesota) 27884FCA6 Variable Rate Demand Note First Tier Security 2011-12-07 2011-12-07 Y US BANK NA CINCINNATI OHIO N/A N/A N N 14740000.00 14740000.00 0.0002 N 14740000.00 14740000.00 Tarrant County Cultural Ed. Facilities Fin. Corp. Hosp. Rev. Tarrant County Cultural Ed. Facilities Fin. Corp. Hosp. Rev., 0.11% (Scott and White Memorial Hosp. and Scott, Sherwood and Brindley Foundation Proj.) 87638QAJ8 Variable Rate Demand Note First Tier Security 2011-12-07 2011-12-07 Y WELLS FARGO BK NATL ASSN N/A N/A Y WELLS FARGO BK NATL ASSN N/A N/A N 27220000.00 27220000.00 0.0004 N 27220000.00 27220000.00 Tarrant County Cultural Ed. Facilities Fin. Corp. Rev. Tarrant County Cultural Ed. Facilities Fin. Corp. Rev., 0.13% (Christus Health Proj.) Series 2008 C2, LOC Bank of America NA VRDN 87638TDD2 Variable Rate Demand Note First Tier Security 2011-12-07 2011-12-07 Y BANK OF AMERICA NA N/A N/A Y BANK OF AMERICA NA N/A N/A N 17550000.00 17550000.00 0.0003 N 17550000.00 17550000.00 Texas Gen. Oblig. Texas Gen. Oblig., 0.12% (Veterans Land Proj.) Series A VRDN 8827193Y1 Variable Rate Demand Note First Tier Security 2011-12-07 2011-12-07 Y TEXAS STATE N/A N/A N N 23140000.00 23140000.00 0.0004 N 23140000.00 23140000.00 Univ. of Texas Board of Regents Sys. Rev. Univ. of Texas Board of Regents Sys. Rev., 0.13% Participating VRDN Series BBT 08 25, (Liquidity Facility Branch Banking & Trust Co.) 07330CLV9 Variable Rate Demand Note First Tier Security 2011-12-07 2011-12-07 Y BRANCH BANKING AND TRUST CO N/A N/A N N 10085000.00 10085000.00 0.0002 N 10085000.00 10085000.00 Pennsylvania Higher Edl. Facilities Auth. Rev. Pennsylvania Higher Edl. Facilities Auth. Rev., 0.12% (Thomas Jefferson Univ. Proj.) Series 2008 A, LOC JPMorgan Chase Bank VRDN 70917RNY7 Variable Rate Demand Note First Tier Security 2011-12-07 2011-12-07 Y JPMORGAN CHASE BANK NA N/A N/A Y JPMORGAN CHASE BANK NA N/A N/A N 18040000.00 18040000.00 0.0003 N 18040000.00 18040000.00 Pennsylvania Hsg. Fin. Agcy. Single Family Mtg. Rev. Pennsylvania Hsg. Fin. Agcy. Single Family Mtg. Rev., 0.10% Series 2004 86C, (Liquidity Facility Fannie Mae Guaranteed Mtg. pass-thru certificates) (L 708793GG3 Variable Rate Demand Note First Tier Security 2011-12-07 2011-12-07 Y FREDDIE MAC N/A N/A FANNIE MAE N/A N/A N N 16640000.00 16640000.00 0.0003 N 16640000.00 16640000.00 Pennsylvania Hsg. Fin. Agcy. Single Family Mtg. Rev. Pennsylvania Hsg. Fin. Agcy. Single Family Mtg. Rev., 0.10% Series 2005-89, (Liquidity Facility Fannie Mae Guaranteed Mtg. pass-thru certificates) (Li 708793JE5 Variable Rate Demand Note First Tier Security 2011-12-07 2011-12-07 Y FANNIE MAE N/A N/A FREDDIE MAC N/A N/A N N 10000000.00 10000000.00 0.0002 N 10000000.00 10000000.00 Pennsylvania Hsg. Fin. Agcy. Single Family Mtg. Rev. Pennsylvania Hsg. Fin. Agcy. Single Family Mtg. Rev., 0.10% Series 2004 84D, (Liquidity Facility Fannie Mae Guaranteed Mtg. pass-thru certificates) (L 708793EG5 Variable Rate Demand Note First Tier Security 2011-12-07 2011-12-07 Y FANNIE MAE N/A N/A FREDDIE MAC N/A N/A N N 18450000.00 18450000.00 0.0003 N 18450000.00 18450000.00 Pennsylvania Hsg. Fin. Agcy. Single Family Mtg. Rev. Pennsylvania Hsg. Fin. Agcy. Single Family Mtg. Rev., 0.10% Series 2005-91B, (Liquidity Facility Fannie Mae Guaranteed Mtg. pass-thru certificates) (L 708793LZ5 Variable Rate Demand Note First Tier Security 2011-12-07 2011-12-07 Y FANNIE MAE N/A N/A FREDDIE MAC N/A N/A N N 21350000.00 21350000.00 0.0004 N 21350000.00 21350000.00 Fredericksburg Econ. Dev. Auth. Fredericksburg Econ. Dev. Auth., 0.18% (Eagle Village I Proj.) Series 2009 A, LOC Bank of America NA VRDN 355850AA6 Variable Rate Demand Note First Tier Security 2011-12-07 2011-12-07 Y BANK OF AMERICA NA N/A N/A Y BANK OF AMERICA NA N/A N/A N 70730000.00 70730000.00 0.0012 N 70730000.00 70730000.00 LP Pinewood SPV LLC Taxable LP Pinewood SPV LLC Taxable, 0.22% LOC Wells Fargo Bank NA VRDN 50212RAA7 Variable Rate Demand Note First Tier Security 2011-12-07 2011-12-07 Y WELLS FARGO BK NATL ASSN N/A N/A Y WELLS FARGO BK NATL ASSN N/A N/A N 67000000.00 67000000.00 0.0011 N 67000000.00 67000000.00 Indiana Fin. Auth. Health Sys. Rev. Indiana Fin. Auth. Health Sys. Rev., 0.12% (Sisters of Saint Francis Health Svcs., Inc. Obligated Group Proj.) Series 2008 B, LOC JPMorgan Chase Bank 45470YAB7 Variable Rate Demand Note First Tier Security 2011-12-07 2011-12-07 Y JPMORGAN CHASE BANK NA N/A N/A Y JPMORGAN CHASE BANK NA N/A N/A N 10900000.00 10900000.00 0.0002 N 10900000.00 10900000.00 Indiana Health & Edl. Facilities Fing. Auth. Rev. Indiana Health & Edl. Facilities Fing. Auth. Rev., 0.13% Participating VRDN Series Solar 07 63, (Liquidity Facility U.S. Bank NA, Minnesota) 27884FVH0 Variable Rate Demand Note First Tier Security 2011-12-07 2011-12-07 Y US BANK NA CINCINNATI OHIO N/A N/A N N 15140000.00 15140000.00 0.0002 N 15140000.00 15140000.00 Saint Joseph County Hosp. Auth. Health Sys. Rev. Saint Joseph County Hosp. Auth. Health Sys. Rev., 0.11% (Memorial Health Sys. Proj.) Series 2008 A, LOC JPMorgan Chase Bank VRDN 79061BCW3 Variable Rate Demand Note First Tier Security 2011-12-07 2011-12-07 Y JPMORGAN CHASE BANK NA N/A N/A Y JPMORGAN CHASE BANK NA N/A N/A N 19205000.00 19205000.00 0.0003 N 19205000.00 19205000.00 Allen County Hosp. Facilities Rev. Allen County Hosp. Facilities Rev., 0.12% (Catholic Healthcare Partners Proj.) Series 2010 D, LOC JPMorgan Chase Bank VRDN 01757LDX1 Variable Rate Demand Note First Tier Security 2011-12-07 2011-12-07 Y JPMORGAN CHASE BANK NA N/A N/A Y JPMORGAN CHASE BANK NA N/A N/A N 23000000.00 23000000.00 0.0004 N 23000000.00 23000000.00 Ohio Air Quality Dev. Auth. Rev. Ohio Air Quality Dev. Auth. Rev., 0.10% (Dayton Pwr. & Lt. Co. Proj.) Series 2008 B, LOC JPMorgan Chase Bank VRDN 677525SZ1 Variable Rate Demand Note First Tier Security 2011-12-07 2011-12-07 Y JPMORGAN CHASE BANK NA N/A N/A Y JPMORGAN CHASE BANK NA N/A N/A N 20200000.00 20200000.00 0.0003 N 20200000.00 20200000.00 District of Columbia Rev. District of Columbia Rev., 0.13% (Washington Drama Society, Inc. Proj.) Series 2008, LOC JPMorgan Chase Bank VRDN 2548392H5 Variable Rate Demand Note First Tier Security 2011-12-07 2011-12-07 Y JPMORGAN CHASE BANK NA N/A N/A Y JPMORGAN CHASE BANK NA N/A N/A N 37065000.00 37065000.00 0.0006 N 37065000.00 37065000.00 Moffat County Poll. Cont. Rev. Moffat County Poll. Cont. Rev., 0.16% (Tri-State Generation and Transmission Assoc., Inc. Proj.) Series 2009, LOC Bank of America NA VRDN 607874CN2 Variable Rate Demand Note First Tier Security 2011-12-07 2011-12-07 Y BANK OF AMERICA NA N/A N/A Y BANK OF AMERICA NA N/A N/A N 11175000.00 11175000.00 0.0002 N 11175000.00 11175000.00 Univ. of Colorado Hosp. Auth. Rev. Univ. of Colorado Hosp. Auth. Rev., 0.09% Series A, LOC Wells Fargo Bank NA VRDN 914174DE4 Variable Rate Demand Note First Tier Security 2011-12-07 2011-12-07 Y WELLS FARGO BK NATL ASSN N/A N/A Y WELLS FARGO BK NATL ASSN N/A N/A N 23000000.00 23000000.00 0.0004 N 23000000.00 23000000.00 Highlands County Health Facilities Auth. Rev. Highlands County Health Facilities Auth. Rev., 0.10% (Adventist Health Sys./Sunbelt, Inc. Prog.) Series 2007 A1 VRDN 431022KF8 Variable Rate Demand Note First Tier Security 2011-12-07 2011-12-07 Y ADVENTIST HEALTH SYS - SUNBELT N/A N/A N N 4800000.00 4800000.00 0.0001 N 4800000.00 4800000.00 Highlands County Health Facilities Auth. Rev. Highlands County Health Facilities Auth. Rev., 0.10% (Adventist Health Sys./Sunbelt Obligated Group Proj.) Series 2005 H, LOC U.S. Bank NA, Minnesota 431022QW5 Variable Rate Demand Note First Tier Security 2011-12-07 2011-12-07 Y US BANK NA CINCINNATI OHIO N/A N/A Y US BANK NA CINCINNATI OHIO N/A N/A N 24725000.00 24725000.00 0.0004 N 24725000.00 24725000.00 Louisiana Pub. Facilities Auth. Hosp. Rev. Louisiana Pub. Facilities Auth. Hosp. Rev., 0.13% (Franciscan Missionaries of Our Lady Health Sys. Proj.) Series 2005 B, LOC JPMorgan Chase Bank VRDN 546395D92 Variable Rate Demand Note First Tier Security 2011-12-07 2011-12-07 Y JPMORGAN CHASE BANK NA N/A N/A Y JPMORGAN CHASE BANK NA N/A N/A N 25000000.00 25000000.00 0.0004 N 25000000.00 25000000.00 Monroe County Dev. Auth. Poll. Cont. Rev. Monroe County Dev. Auth. Poll. Cont. Rev., 0.11% (Oglethorpe Pwr. Corp. Proj.) Series 2009 B, LOC JPMorgan Chase Bank VRDN 610530EP8 Variable Rate Demand Note First Tier Security 2011-12-07 2011-12-07 Y JPMORGAN CHASE BANK NA N/A N/A Y JPMORGAN CHASE BANK NA N/A N/A N 12000000.00 12000000.00 0.0002 N 12000000.00 12000000.00 Massachusetts Bay Trans. Auth. Sales Tax Rev. Massachusetts Bay Trans. Auth. Sales Tax Rev., 0.14% Participating VRDN Series PT 4368, (Liquidity Facility Wells Fargo & Co.) 74703TTB7 Variable Rate Demand Note First Tier Security 2011-12-07 2011-12-07 Y WELLS FARGO & CO NEW N/A N/A N N 10060000.00 10060000.00 0.0002 N 10060000.00 10060000.00 Missouri Health & Edl. Facilities Auth. Health Facilities Rev. Missouri Health & Edl. Facilities Auth. Health Facilities Rev., 0.13% (SSM Health Care Sys. Proj.) Series 2005 A1, LOC Bank of America NA VRDN 60635R2R7 Variable Rate Demand Note First Tier Security 2011-12-07 2011-12-07 Y BANK OF AMERICA NA N/A N/A Y BANK OF AMERICA NA N/A N/A N 9100000.00 9100000.00 0.0002 N 9100000.00 9100000.00 Metropolitan Life Insurance Co. Metropolitan Life Insurance Co., 0.70% 591999DQ7 0000728618 Insurance Company Funding Agreement First Tier Security 2012-01-03 2012-02-28 Y METROPOLITAN LIFE INS CO N/A N/A N N 65000000.00 65000000.00 0.0011 Y 64989015.00 64989015.00 Barclays Bank PLC Barclays Bank PLC, 0.12% 43N99GCM1 0000312070 Other Instrument Time Deposits First Tier Security 2011-12-01 2011-12-01 N N N 1400000000.00 1400000000.00 0.0231 N 1400000000.00 1400000000.00 Bank of America NA In a joint trading account with Bank of America NA at 0.14%, dated 11/30/2011 due 12/01/2011 43J99YPL5_04197 Government Agency Repurchase Agreement Y GOVERNMENT NATIONAL MORTAGE ASSOC 2034-01-16 2040-04-16 0.423 - 6.5 Government Agency Debt 1387017353.28 1196056397.71 Unrated Security 2011-12-01 2011-12-01 N N N 1161214965.00 1161214965.20 0.0192 N 1161214965.20 1161214965.20 Barclays Capital, Inc. Barclays Capital, Inc., 0.13% 43F99PWF3 0000851376 Government Agency Repurchase Agreement Y GOVERNMENT NATIONAL MORTAGE ASSOC 2040-07-20 2040-08-20 4 - 5 Government Agency Debt 99852958.00 96900350.18 First Tier Security 2011-12-07 2011-12-07 Y BARCLAYS CAPITAL INC(GOV REPO) N/A N/A N N 95000000.00 95000000.00 0.0016 N 95000000.00 95000000.00 Barclays Capital, Inc. Barclays Capital, Inc., 0.16% 43F99PQL7 0000851376 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2026-11-01 2041-08-01 2.389 - 5.129 Government Agency Debt 539104018.00 354536448.45 FEDERAL HOME LOAN MORTGAGE CORP 2040-09-01 2041-01-01 2.977 - 4.2 Government Agency Debt 74399284.00 54525363.65 First Tier Security 2011-12-07 2011-12-07 Y BARCLAYS CAPITAL INC(GOV REPO) N/A N/A N N 401000000.00 401000000.00 0.0066 N 401000000.00 401000000.00 Barclays Capital, Inc. Barclays Capital, Inc., 0.18% 43F99PKS8 0000851376 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2031-11-01 2041-02-01 3.5 - 5 Government Agency Debt 171389248.00 179081570.32 FEDERAL HOME LOAN MORTGAGE CORP 2026-06-01 2026-06-01 4 - 4 Government Agency Debt 38332096.00 38217538.04 First Tier Security 2011-12-07 2011-12-07 Y BARCLAYS CAPITAL INC(GOV REPO) N/A N/A N N 213000000.00 213000000.00 0.0035 N 213000000.00 213000000.00 Barclays Capital, Inc. In a joint trading account with Barclays Capital, Inc. at 0.12%, dated 11/30/2011 due 12/01/2011 43J99YPP6_06453 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2018-10-01 2041-11-01 1.862 - 6.5 Government Agency Debt 12879200.28 8902546.81 FEDERAL HOME LOAN MORTGAGE CORP 2018-04-01 2041-10-01 2.148 - 6.5 Government Agency Debt 5074786.44 2926620.16 Unrated Security 2011-12-01 2011-12-01 N N N 11597177.00 11597177.42 0.0002 N 11597177.42 11597177.42 Barclays Capital, Inc. In a joint trading account with Barclays Capital, Inc. at 0.14%, dated 11/30/2011 due 12/01/2011 43J99YPL5_06453 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2018-04-01 2041-10-01 2.148 - 6.5 Government Agency Debt 82571744.35 47618975.51 FEDERAL NATIONAL MORTGAGE ASSOC 2018-10-01 2041-11-01 1.862 - 6.5 Government Agency Debt 209557199.09 144853153.49 Unrated Security 2011-12-01 2011-12-01 N N N 188697432.00 188697431.84 0.0031 N 188697431.84 188697431.84 BNP Paribas Securities Corp. In a joint trading account with BNP Paribas Securities Corp. at 0.14%, dated 11/30/2011 due 12/01/2011 43J99YPL5_07629 Government Agency Repurchase Agreement Y GOVERNMENT NATIONAL MORTAGE ASSOC 2024-05-15 2041-11-20 3.5 - 6 Government Agency Debt 228049523.79 201355513.98 Unrated Security 2011-12-01 2011-12-01 N N N 197406544.00 197406544.08 0.0033 N 197406544.08 197406544.08 Citibank NA Citibank NA, 0.12% 37R99M4A1 0000036684 Government Agency Repurchase Agreement Y FEDERAL FARM CREDIT 2013-02-21 2013-02-21 1.75 - 1.75 Government Agency Debt 20000000.00 20425450.00 FEDERAL HOME LOAN BANK 2016-06-29 2021-06-21 2.02 - 5 Government Agency Debt 73150000.00 76820095.84 FEDERAL HOME LOAN MORTGAGE CORP 2013-06-28 2035-11-23 3.75 - 5.625 Government Agency Debt 66151000.00 70332653.88 FEDERAL NATIONAL MORTGAGE ASSOC 2012-02-16 2030-11-15 2.5 - 6.625 Government Agency Debt 96782000.00 106344046.65 RESOLUTION FUNDING CORP 2017-01-15 2017-01-15 N/A Government Agency Debt 18218000.00 16778778.00 First Tier Security 2011-12-07 2011-12-07 Y CITIBANK NA (GOV REPO) N/A N/A N N 285000000.00 285000000.00 0.0047 N 285000000.00 285000000.00 Citibank NA Citibank NA, 0.13% 37R99M3J3 0000036684 Government Agency Repurchase Agreement Y GOVERNMENT NATIONAL MORTAGE ASSOC 2024-09-15 2041-09-20 3 - 5.5 Government Agency Debt 104965021.00 100450514.04 FEDERAL NATIONAL MORTGAGE ASSOC 2025-12-01 2041-01-01 3.715 - 4 Government Agency Debt 77710725.00 67863339.48 FEDERAL HOME LOAN MORTGAGE CORP 2036-01-01 2041-06-01 2.796 - 4.5 Government Agency Debt 124205054.00 110148157.84 First Tier Security 2011-12-06 2011-12-06 Y CITIBANK NA (GOV REPO) N/A N/A N N 273000000.00 273000000.00 0.0045 N 273000000.00 273000000.00 Citibank NA In a joint trading account with Citibank NA at 0.14%, dated 11/30/2011 due 12/01/2011 43J99YPL5_26602 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2015-06-01 2047-09-01 0 - 7.69 Government Agency Debt 252160916.67 83861630.55 FEDERAL HOME LOAN MORTGAGE CORP 2028-10-01 2041-06-01 2.013 - 6.327 Government Agency Debt 128921267.63 34194905.59 GOVERNMENT NATIONAL MORTAGE ASSOC 2021-12-20 2045-01-15 1.75 - 8 Government Agency Debt 312977979.69 148443408.80 Unrated Security 2011-12-01 2011-12-01 N N N 261273367.00 261273367.17 0.0043 N 261273367.17 261273367.17 Credit Ag Cib Ny Br (DTC 651) In a joint trading account with Credit Ag Cib Ny Br (DTC 651) at 0.14%, dated 11/30/2011 due 12/01/2011 43J99YPL5_04361 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN BANK 2012-08-16 2012-09-20 0.24 - 0.24 Government Agency Debt 69672897.91 69712863.06 FEDERAL HOME LOAN MORTGAGE CORP 2015-11-17 2015-11-17 4.75 - 4.75 Government Agency Debt 18236532.66 20912110.62 FEDERAL NATIONAL MORTGAGE ASSOC 2014-11-25 2016-03-15 0.87 - 5 Government Agency Debt 23847639.50 27819451.74 Unrated Security 2011-12-01 2011-12-01 N N N 116121497.00 116121496.52 0.0019 N 116121496.52 116121496.52 Credit Suisse Securities (USA) LLC In a joint trading account with Credit Suisse Securities (USA) LLC at 0.14%, dated 11/30/2011 due 12/01/2011 43J99YPL5_26252 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2017-12-01 2041-12-01 3 - 7.5 Government Agency Debt 156776705.18 118443944.38 Unrated Security 2011-12-01 2011-12-01 N N N 116121497.00 116121496.52 0.0019 N 116121496.52 116121496.52 Deutsche Bank Securities, Inc. Deutsche Bank Securities, Inc., 0.15% 40H99WRP6 0000058056 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2014-04-01 2041-07-01 3 - 7 Government Agency Debt 101982627.00 24552425.30 GOVERNMENT NATIONAL MORTAGE ASSOC 2025-04-15 2046-08-15 3.44 - 7 Government Agency Debt 102979385.00 74019508.54 FEDERAL NATIONAL MORTGAGE ASSOC 2017-12-01 2042-05-01 2.535 - 7 Government Agency Debt 1067767866.00 405617478.86 First Tier Security 2011-12-07 2011-12-07 Y DEUTSCHE BK SECS INC(GOV REPO) N/A N/A N N 494000000.00 494000000.00 0.0082 N 494000000.00 494000000.00 Deutsche Bank Securities, Inc. Deutsche Bank Securities, Inc., 0.19% 40H99WMV8 0000058056 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2023-04-01 2039-02-01 4 - 6.5 Government Agency Debt 22504120.00 8454591.72 FEDERAL NATIONAL MORTGAGE ASSOC 2018-06-01 2041-10-01 3 - 7 Government Agency Debt 364167013.00 156378200.87 GOVERNMENT NATIONAL MORTAGE ASSOC 2023-07-15 2052-09-15 2.375 - 7.5 Government Agency Debt 99535562.00 24260511.60 First Tier Security 2011-12-07 2011-12-07 Y DEUTSCHE BK SECS INC(GOV REPO) N/A N/A N N 185000000.00 185000000.00 0.0031 N 185000000.00 185000000.00 Deutsche Bank Securities, Inc. In a joint trading account with Deutsche Bank Securities, Inc. at 0.14%, dated 11/30/2011 due 12/01/2011 43J99YPL5_06399 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2024-02-15 2041-11-15 0.47 - 7 Government Agency Debt 316184587.61 232230652.65 GOVERNMENT NATIONAL MORTAGE ASSOC 2037-01-20 2041-11-20 0.49 - 7 Government Agency Debt 128045736.51 112816205.90 FEDERAL NATIONAL MORTGAGE ASSOC 2021-04-25 2041-12-25 0.58 - 7 Government Agency Debt 151871096.47 103474290.62 Unrated Security 2011-12-01 2011-12-01 N N N 435455612.00 435455611.95 0.0072 N 435455611.95 435455611.95 Goldman Sachs & Co. Goldman Sachs & Co., 0.13% 42P99BXM9 0000769993 Government Agency Repurchase Agreement Y GOVERNMENT NATIONAL MORTAGE ASSOC 2025-07-15 2041-10-20 3.5 - 5 Government Agency Debt 250833897.00 185641341.24 First Tier Security 2011-12-06 2011-12-06 Y GOLDMAN SACHS & CO (GOV REPO) N/A N/A N N 182000000.00 182000000.00 0.0030 N 182000000.00 182000000.00 HSBC Securities (USA), Inc. In a joint trading account with HSBC Securities (USA), Inc. at 0.14%, dated 11/30/2011 due 12/01/2011 43J99YPL5_39304 Government Agency Repurchase Agreement Y US TREASURY 2012-01-31 2037-02-15 0.5 - 6.75 Treasury Debt 216244226.12 236998080.92 FEDERAL HOME LOAN MORTGAGE CORP 2011-12-15 2032-07-15 0 - 6.75 Government Agency Debt 111842535.49 110453975.35 FEDERAL NATIONAL MORTGAGE ASSOC 2012-08-01 2013-08-09 0.5 - 5.25 Government Agency Debt 7584591.67 7990492.34 Unrated Security 2011-12-01 2011-12-01 N N N 348364490.00 348364489.56 0.0057 N 348364489.56 348364489.56 J.P. Morgan Securities, Inc. In a joint trading account with J.P. Morgan Securities, Inc. at 0.14%, dated 11/30/2011 due 12/01/2011 43J99YPL5_55502 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2011-12-25 2044-09-01 0 - 7 Government Agency Debt 738125414.05 263637272.35 FEDERAL HOME LOAN MORTGAGE CORP 2020-01-15 2041-11-15 0 - 17.432 Government Agency Debt 61934179.58 26333328.49 GOVERNMENT NATIONAL MORTAGE ASSOC 2032-03-16 2053-08-16 0.882 - 5.5 Government Agency Debt 112655269.38 6720439.44 Unrated Security 2011-12-01 2011-12-01 N N N 290303741.00 290303741.30 0.0048 N 290303741.30 290303741.30 Merrill Lynch, Pierce, Fenner & Smith, Inc. In a joint trading account with Merrill Lynch, Pierce, Fenner & Smith, Inc. at 0.12%, dated 11/30/2011 due 12/01/2011 43J99YPP6_53651 Government Agency Repurchase Agreement Y US TREASURY 2014-07-15 2026-02-15 0.625 - 6 Treasury Debt 4717183.08 5079183.57 GOVERNMENT NATIONAL MORTAGE ASSOC 2041-08-20 2041-08-20 4 - 4 Government Agency Debt 4735777.28 5027606.09 FEDERAL NATIONAL MORTGAGE ASSOC 2024-06-01 2041-11-01 2.609 - 5 Government Agency Debt 3167312.70 2497743.47 FEDERAL HOME LOAN MORTGAGE CORP 2037-08-01 2041-09-01 2.476 - 6 Government Agency Debt 4145857.23 2327476.57 Unrated Security 2011-12-01 2011-12-01 N N N 14689758.00 14689758.06 0.0002 N 14689758.06 14689758.06 Merrill Lynch, Pierce, Fenner & Smith, Inc. In a joint trading account with Merrill Lynch, Pierce, Fenner & Smith, Inc. at 0.14%, dated 11/30/2011 due 12/01/2011 43J99YPL5_53651 Government Agency Repurchase Agreement Y US TREASURY 2014-07-15 2026-02-15 0.625 - 6 Treasury Debt 37099644.41 39946701.50 FEDERAL HOME LOAN MORTGAGE CORP 2037-08-01 2041-09-01 2.476 - 6 Government Agency Debt 32606287.84 18305109.59 GOVERNMENT NATIONAL MORTAGE ASSOC 2041-08-20 2041-08-20 4 - 4 Government Agency Debt 37245883.90 39541055.54 FEDERAL NATIONAL MORTGAGE ASSOC 2024-06-01 2041-11-01 2.609 - 5 Government Agency Debt 24910242.65 19644222.61 Unrated Security 2011-12-01 2011-12-01 N N N 115531832.00 115531831.56 0.0019 N 115531831.56 115531831.56 Morgan Stanley & Co., Inc. In a joint trading account with Morgan Stanley & Co., Inc. at 0.14%, dated 11/30/2011 due 12/01/2011 43J99YPL5_55501 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2036-05-01 2041-11-01 3.5 - 6 Government Agency Debt 41270611.49 17766658.12 Unrated Security 2011-12-01 2011-12-01 N N N 17418224.00 17418224.48 0.0003 N 17418224.48 17418224.48 RBC Capital Markets Corp. In a joint trading account with RBC Capital Markets Corp. at 0.14%, dated 11/30/2011 due 12/01/2011 43J99YPL5_07160 Government Agency Repurchase Agreement Y US TREASURY 2011-12-01 2041-08-15 0 - 11.25 Treasury Debt 105619462.32 114510326.80 GOVERNMENT NATIONAL MORTAGE ASSOC 2026-10-20 2038-02-20 2 - 3 Government Agency Debt 6390856.99 6344938.71 FEDERAL NATIONAL MORTGAGE ASSOC 2029-06-25 2041-11-01 0.639 - 4 Government Agency Debt 43027970.77 44120646.18 FEDERAL HOME LOAN MORTGAGE CORP 2025-11-15 2041-11-15 0 - 5 Government Agency Debt 62522582.08 64707385.58 Unrated Security 2011-12-01 2011-12-01 N N N 224240596.00 224240596.23 0.0037 N 224240596.23 224240596.23 RBC Capital Markets Corp. RBC Capital Markets Corp., 0.16% 41B99CJP3 0000050916 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2013-12-15 2041-11-01 0.643 - 10 Government Agency Debt 75352289.00 35538399.48 FEDERAL NATIONAL MORTGAGE ASSOC 2014-12-01 2041-10-01 0.639 - 9.5 Government Agency Debt 152201435.00 71809823.29 GOVERNMENT NATIONAL MORTAGE ASSOC 2030-09-16 2041-05-20 0.8 - 6.5 Government Agency Debt 58584778.00 10419514.40 First Tier Security 2011-12-07 2011-12-07 Y RBC CAP MARKETS LLC(GOV REPO) N/A N/A N N 115000000.00 115000000.00 0.0019 N 115000000.00 115000000.00 RBS Securities, Inc. In a joint trading account with RBS Securities, Inc. at 0.14%, dated 11/30/2011 due 12/01/2011 43J99YPL5_32466 Government Agency Repurchase Agreement Y US TREASURY 2011-12-15 2023-08-15 0.625 - 6.25 Treasury Debt 219083055.08 236887963.20 FEDERAL NATIONAL MORTGAGE ASSOC 2026-11-01 2041-12-01 3.5 - 4 Government Agency Debt 57149599.78 59222064.64 Unrated Security 2011-12-01 2011-12-01 N N N 290303741.00 290303741.30 0.0048 N 290303741.30 290303741.30 UBS Securities LLC In a joint trading account with UBS Securities LLC at 0.12%, dated 11/30/2011 due 12/01/2011 43J99YPP6_06042 Government Agency Repurchase Agreement Y GOVERNMENT NATIONAL MORTAGE ASSOC 2034-08-20 2040-09-20 4 - 5.5 Government Agency Debt 167102.44 138621.65 FEDERAL NATIONAL MORTGAGE ASSOC 2023-11-25 2041-12-25 0.593 - 6 Government Agency Debt 8555723.38 4655363.40 FEDERAL HOME LOAN MORTGAGE CORP 2026-01-15 2041-11-15 0 - 5 Government Agency Debt 18724715.76 11132871.64 Unrated Security 2011-12-01 2011-12-01 N N N 15462903.00 15462903.23 0.0003 N 15462903.23 15462903.23 UBS Securities LLC In a joint trading account with UBS Securities LLC at 0.14%, dated 11/30/2011 due 12/01/2011 43J99YPL5_06042 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2026-01-15 2041-11-15 0 - 5 Government Agency Debt 140616673.61 83604333.31 FEDERAL NATIONAL MORTGAGE ASSOC 2023-11-25 2041-12-25 0.593 - 6 Government Agency Debt 64250767.67 34960301.91 GOVERNMENT NATIONAL MORTAGE ASSOC 2034-08-20 2040-09-20 4 - 5.5 Government Agency Debt 1254886.31 1041004.60 Unrated Security 2011-12-01 2011-12-01 N N N 116121497.00 116121496.52 0.0019 N 116121496.52 116121496.52 UBS Securities LLC UBS Securities LLC, 0.16% 42J991UV1 0000230611 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2040-09-01 2041-12-01 3.5 - 4.5 Government Agency Debt 246710092.00 241765786.47 First Tier Security 2011-12-07 2011-12-07 Y UBS SECURITIES LLC (GOV REPO) N/A N/A N N 237000000.00 237000000.00 0.0039 N 237000000.00 237000000.00 Wells Fargo Securities LLC In a joint trading account with Wells Fargo Securities LLC at 0.12%, dated 11/30/2011 due 12/01/2011 43J99YPP6_08395 Government Agency Repurchase Agreement Y FINANCE CORPORATION 2018-08-03 2018-11-02 0 - 0 Government Agency Debt 7289.81 6381.52 FEDERAL NATIONAL MORTGAGE ASSOC 2012-01-09 2041-12-25 0 - 5.625 Government Agency Debt 3222988.05 3109046.86 GOVERNMENT NATIONAL MORTAGE ASSOC 2032-09-16 2041-11-20 2 - 5 Government Agency Debt 900753.90 742688.13 FEDERAL HOME LOAN MORTGAGE CORP 2012-01-09 2041-09-15 0 - 6.25 Government Agency Debt 1880630.15 1660780.76 FEDERAL HOME LOAN BANK 2011-12-27 2023-03-10 0 - 5.75 Government Agency Debt 609885.12 619317.08 FEDERAL FARM CREDIT 2012-04-24 2036-04-17 0.625 - 5.41 Government Agency Debt 122928.45 127293.39 TENNESEE VALLEY AUTHORITY 2016-05-01 2021-06-15 0 - 0 Government Agency Debt 20228.73 17773.94 US TREASURY 2041-11-15 2041-11-15 3.125 - 3.125 Treasury Debt 21431.48 21790.58 FEDERAL AGRICULTURE MORTGAGE CORP 2012-10-25 2012-10-25 0 - 0 Government Agency Debt 29298.13 29271.18 Unrated Security 2011-12-01 2011-12-01 N N N 6185161.00 6185161.29 0.0001 N 6185161.29 6185161.29 Wells Fargo Securities LLC In a joint trading account with Wells Fargo Securities LLC at 0.14%, dated 11/30/2011 due 12/01/2011 43J99YPL5_08395 Government Agency Repurchase Agreement Y FEDERAL AGRICULTURE MORTGAGE CORP 2012-10-25 2012-10-25 0 - 0 Government Agency Debt 1457630.36 1456289.34 FEDERAL FARM CREDIT 2012-04-24 2036-04-17 0.625 - 5.41 Government Agency Debt 6115893.09 6333055.81 FEDERAL HOME LOAN BANK 2011-12-27 2023-03-10 0 - 5.75 Government Agency Debt 30342789.47 30812045.36 US TREASURY 2041-11-15 2041-11-15 3.125 - 3.125 Treasury Debt 1066251.21 1084117.08 FEDERAL HOME LOAN MORTGAGE CORP 2012-01-09 2041-09-15 0 - 6.25 Government Agency Debt 93564448.95 82626579.19 FINANCE CORPORATION 2018-08-03 2018-11-02 0 - 0 Government Agency Debt 362680.03 317491.01 FEDERAL NATIONAL MORTGAGE ASSOC 2012-01-09 2041-12-25 0 - 5.625 Government Agency Debt 160348966.15 154680204.38 GOVERNMENT NATIONAL MORTAGE ASSOC 2032-09-16 2041-11-20 2 - 5 Government Agency Debt 44813990.51 36949958.39 TENNESEE VALLEY AUTHORITY 2016-05-01 2021-06-15 0 - 0 Government Agency Debt 1006412.79 884282.69 Unrated Security 2011-12-01 2011-12-01 N N N 307721966.00 307721965.78 0.0051 N 307721965.78 307721965.78 Barclays Capital, Inc. Barclays Capital, Inc., 0.30% 43T99NAS9 0000851376 Other Repurchase Agreement N 51-100 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 4690988.00 56160946.93 First Tier Security 2011-12-06 2011-12-06 N N N 52000000.00 52000000.00 0.0009 N 52000000.00 52000000.00 Barclays Capital, Inc. Barclays Capital, Inc., 0.30% 43T99NBD1 0000851376 Other Repurchase Agreement N 51-100 2049-01-01 2049-01-01 N/A Other Instrument EQUITY 2929200.00 45360401.57 First Tier Security 2011-12-07 2011-12-07 N N N 42000000.00 42000000.00 0.0007 N 42000000.00 42000000.00 Barclays Capital, Inc. Barclays Capital, Inc., 0.55% 42X99TVK7 0000851376 Other Repurchase Agreement N ADAMS OUTDOOR ADVERTISING LP 2040-12-20 2040-12-20 N/A Other Instrument ASSET BACKED 25000000.00 26111161.11 ACE SECURITIES CORP HOME EQUITY LOAN TRUST 2034-04-25 2034-04-25 1.037 - 1.037 Other Instrument ASSET BACKED 35279500.00 24349857.16 RAIT CRE CDO 2046-11-20 2046-11-20 0.605 - 0.605 Other Instrument ASSET BACKED 40000000.00 23189919.78 NATIONAL COLLEGIATE TRUST 2028-02-25 2028-02-25 0.447 - 0.447 Other Instrument ASSET BACKED 30780000.00 28489769.74 MADISON AVE MANUFACTURED HSG CONTRACT TR 2032-03-25 2032-03-25 N/A Other Instrument ASSET BACKED 21873821.00 18665437.05 LEHMAN ABS MANUFACTURED HOUSING 2028-03-15 2028-03-15 6.63 - 6.63 Other Instrument ASSET BACKED 22271475.00 21727104.47 AMERICREDIT AUTO RECEIVABLES 2018-12-10 2018-12-10 5.76 - 5.76 Other Instrument ASSET BACKED 18000000.00 18252882.00 GMAC HOME EQUITY LOAN-BACKED NOTES 2036-12-25 2036-12-25 0.437 - 0.437 Other Instrument ASSET BACKED 78600000.00 24418146.23 COUNTRYWIDE HOME EQUITY LOAN TRUST 2034-04-25 2034-04-25 0.407 - 0.407 Other Instrument ASSET BACKED 6753002.00 2954286.83 CONSECO FINANCE MANUFACTURED HOUSING CONTRACT 2031-07-01 2031-07-01 7.49 - 7.49 Other Instrument ASSET BACKED 38721562.00 21144025.95 COUNTRYWIDE HOME EQUITY LOAN TRUST 2036-07-25 2036-07-25 0.407 - 0.407 Other Instrument ASSET BACKED 50000000.00 21196067.31 BANK OF AMERICA REMIC SECURITIES TRUST, MANUFACTURED HOUSING 2025-09-10 2025-09-10 N/A Other Instrument ASSET BACKED 20726000.00 24781702.83 GREEN TREE FINANCIAL CORPORATION (MANUFACTURED HOUSING) 2028-12-01 2028-12-01 6.44 - 6.44 Other Instrument ASSET BACKED 90013000.00 19169560.88 First Tier Security 2011-12-02 2011-12-02 N N N 254000000.00 254000000.00 0.0042 N 254000000.00 254000000.00 Barclays Capital, Inc. Barclays Capital, Inc., 0.55% 42X99TVL5 0000851376 Other Repurchase Agreement N NATIONAL COLLEGIATE TRUST 2033-01-25 2033-01-25 0.571 - 0.571 Other Instrument ASSET BACKED 35000000.00 16068570.10 NATIONAL COLLEGIATE TRUST 2038-03-25 2038-03-25 1.095 - 1.095 Other Instrument ASSET BACKED 40000000.00 14045391.22 MORGAN STANLEY ABS 2034-06-25 2034-06-25 1.202 - 1.202 Other Instrument ASSET BACKED 20497000.00 14106502.02 LONG BEACH MORTGAGE LOAN TRUST 2034-10-25 2045-07-25 0.747 - 1.232 Other Instrument ASSET BACKED 52711917.00 28118339.50 HOME EQUITY LOAN TRUST 2037-04-25 2037-04-25 0.387 - 0.387 Other Instrument ASSET BACKED 55000000.00 14538823.91 GREEN TREE FINL CORP 2029-05-01 2029-05-01 N/A Other Instrument ASSET BACKED 18754000.00 13480310.60 GSAMP 2036-01-25 2036-01-25 0.647 - 0.647 Other Instrument ASSET BACKED 30667000.00 13802324.04 GSAA HOME EQUITY TRUST 2037-05-25 2037-05-25 0.577 - 0.577 Other Instrument ASSET BACKED 35000000.00 15166719.27 COUNTRYWIDE HOME EQUITY LOAN TRUST 2034-04-25 2034-04-25 0.407 - 0.407 Other Instrument ASSET BACKED 33347913.00 14588963.55 CONSECO FINANCE MANUFACTURED HOUSING CONTRACT 2031-05-01 2032-05-01 0 - 8.2 Other Instrument ASSET BACKED 59575000.00 32557965.57 CITIGROUP MORTGAGE LOAN TRUST 2046-11-25 2046-11-25 0.657 - 0.657 Other Instrument ASSET BACKED 73923000.00 16979054.22 COUNTRYWIDE HOME EQUITY LOAN TRUST 2029-03-25 2029-03-25 5.53 - 5.53 Other Instrument ASSET BACKED 16031000.00 13774749.86 ARGENT MORTGAGE LOAN TRUST 2035-10-25 2035-10-25 0.617 - 0.617 Other Instrument ASSET BACKED 25000000.00 14578218.13 PEOPLE'S CHOICE HOME LOANS SECURITIES TRUST 2035-05-25 2035-05-25 0.902 - 0.902 Other Instrument ASSET BACKED 22893082.00 16517391.47 ADAMS OUTDOOR ADVERTISING LP 2040-12-20 2040-12-20 N/A Other Instrument ASSET BACKED 14600000.00 15384016.75 ADVANTA BUSINESS CARD MASTER TRUST 2014-06-20 2014-12-22 0.495 - 0.495 Other Instrument ASSET BACKED 50847940.00 20742581.08 First Tier Security 2011-12-05 2011-12-05 N N N 254000000.00 254000000.00 0.0042 N 254000000.00 254000000.00 Barclays Capital, Inc. Barclays Capital, Inc., 0.60% 42X99TVJ0 0000851376 Other Repurchase Agreement N GAYLORD ENTMT CO NEW 2014-10-01 2014-10-01 3.75 - 3.75 Other Instrument EQUITY 79000.00 81065.52 HERTZ GLOBAL HLDGS INC 2014-06-01 2014-06-01 5.25 - 5.25 Other Instrument EQUITY 137000.00 201370.02 HOLOGIC INC 2037-12-15 2037-12-15 2 - 2 Other Instrument EQUITY 8292000.00 7860125.00 HOST HOTELS & RESORTS L P 2029-10-15 2029-10-15 2.5 - 2.5 Other Instrument EQUITY 14608000.00 16945280.00 LENNAR CORP 2020-12-01 2020-12-15 2 - 2.75 Other Instrument EQUITY 7548000.00 7645821.32 NEWMONT MNG CORP 2012-02-15 2012-02-15 3 - 3 Other Instrument EQUITY 68000.00 96900.00 PROLOGIS FORMERLY PROLOGIS TR TO 05/23/2002 2038-05-15 2038-05-15 2.625 - 2.625 Other Instrument EQUITY 19000.00 18640.78 RAMBUS INC DEL 2014-06-15 2014-06-15 5 - 5 Other Instrument EQUITY 1240000.00 1234316.67 RIGHTNOW TECHNOLOGIES INC 2030-11-15 2030-11-15 N/A Other Instrument EQUITY 594000.00 853008.75 RUDOLPH TECHNOLOGIES INC 2016-07-15 2016-07-15 3.75 - 3.75 Other Instrument EQUITY 463273.00 408404.10 SUNPOWER CORP 2027-02-15 2027-02-15 1.25 - 1.25 Other Instrument EQUITY 239000.00 237481.35 SYNNEX CORP FORMERLY SYNNEX INFORMATION TECHNOL 2018-05-15 2018-05-15 4 - 4 Other Instrument EQUITY 17250000.00 19154687.50 TRW AUTOMOTIVE INC 2015-12-01 2015-12-01 3.5 - 3.5 Other Instrument EQUITY 9669611.00 12557467.18 UNITED RENTALS INC 2015-11-15 2015-11-15 4 - 4 Other Instrument EQUITY 136000.00 333086.67 US AIRWAYS GROUP INC FORMERLY USAIR GROUP INC T0 2014-05-15 2014-05-15 7.25 - 7.25 Other Instrument EQUITY 13188000.00 15486283.75 ENDO PHARMACEUTICALS HLDGS INC 2015-04-15 2015-04-15 1.75 - 1.75 Other Instrument EQUITY 246000.00 312650.62 DENDREON CORP 2016-01-15 2016-01-15 2.875 - 2.875 Other Instrument EQUITY 13000.00 9207.66 CACI INTL INC FORMERLY CACI INC TO 12/23/1986 2014-05-01 2014-05-01 2.125 - 2.125 Other Instrument EQUITY 19272000.00 22484869.92 CNO FINL GROUP INC 2016-12-30 2016-12-30 7 - 7 Other Instrument EQUITY 3834936.00 4860781.38 BOSTON PPTYS LTD PARTNERSHIP 2014-02-15 2014-02-15 3.625 - 3.625 Other Instrument EQUITY 15060000.00 16028703.11 AMERICAN EQUITY INVT LIFE HLDG CO 2015-09-15 2015-09-15 3.5 - 3.5 Other Instrument EQUITY 454000.00 469795.42 ALLIANCE DATA SYS CORP 2013-08-01 2013-08-01 1.75 - 1.75 Other Instrument EQUITY 608000.00 802277.11 VECTOR GROUP LTD 2014-11-15 2014-11-15 6.75 - 6.75 Other Instrument EQUITY 303000.00 407156.25 XM SATELLITE RADIO INC 2014-12-01 2014-12-01 7 - 7 Other Instrument EQUITY 15500000.00 20166361.10 First Tier Security 2011-12-05 2011-12-05 N N N 138000000.00 138000000.00 0.0023 N 138000000.00 138000000.00 Barclays Capital, Inc. Barclays Capital, Inc., 0.65% 42X99T4R2 0000851376 Other Repurchase Agreement N US TREASURY 2029-11-15 2029-11-15 N/A Treasury Debt 187074157.00 108181243.51 First Tier Security 2011-12-15 2011-12-15 N N N 105000000.00 105000000.00 0.0017 Y 105000000.00 105000000.00 BNP Paribas Securities Corp. BNP Paribas Securities Corp., 0.19% 42X99CPY1 0001197610 Other Repurchase Agreement N COMPAGNIE DE FINANCEMENT FONCIER MEDIUM TERM NTS 2014-03-07 2014-03-07 2.25 - 2.25 Other Instrument CORPORATE 83632586.00 83671684.26 BANK NOVA SCOTIA COVERED BD PROGRAM BOOK ENTRY 1 2016-08-03 2016-08-03 2.15 - 2.15 Other Instrument CORPORATE 65575000.00 66296816.81 BANCO14 11-S SRFRN 2014-05-16 2014-05-16 N/A Other Instrument CORPORATE 8250753.00 8138095.35 AMERICAN EXPRESS BK FSB MEDIUM TERM BK NTS BOOK 2013-04-16 2013-04-16 5.5 - 5.5 Other Instrument CORPORATE 11330000.00 11934027.48 CREDIT AGRICOLE S A MEDIUM TERM SR BK NTS BOOK ENTRY REG S 2014-01-21 2014-01-21 N/A Other Instrument CORPORATE 15000000.00 14157252.14 WOORI BK GLOBAL MEDIUM TERM SR BK NTS BOOK ENTRY 2015-02-02 2015-02-02 7 - 7 Other Instrument CORPORATE 27000000.00 28442202.03 UNITED MEXICAN STS MEDIUM TERM NTS BOOK ENTRY 2017-01-15 2017-01-15 5.625 - 5.625 Other Instrument CORPORATE 60000000.00 69065625.02 SHINHAN BK GLOBAL MEDIUM TERM SR BK NTS BOOK ENT 2015-09-15 2015-09-15 4.375 - 4.375 Other Instrument CORPORATE 13000000.00 13402669.58 NORDEA BK AG MEDIUM TERM JR SUB NTS BOOK ENTRY 1 2021-05-13 2021-05-13 4.875 - 4.875 Other Instrument CORPORATE 25410000.00 21818603.54 NATIONAL AGRIC COOP FEDN SR GLOBAL MEDIUM TERM NTS BOOK ENTRY REG S 2016-01-28 2016-01-28 4.25 - 4.25 Other Instrument CORPORATE 10000000.00 10189327.78 MBNA AMER BK NATL ASSN MEDIUM TERM SUB NTS BOOK 2012-11-15 2012-11-15 7.125 - 7.125 Other Instrument CORPORATE 10000000.00 10165787.50 KT CORP MEDIUM TERM NTS BOOK ENTRY REG S 2014-06-24 2014-06-24 5.875 - 5.875 Other Instrument CORPORATE 37000000.00 40575047.98 J P MORGAN CHASE & CO MEDIUM TERM SR NTS BOOK EN 2014-01-24 2014-01-24 2.05 - 2.05 Other Instrument CORPORATE 15250000.00 15347218.75 INTERNATIONAL BK FOR RECON & DEV MEDIUM TERM BK 2013-11-29 2013-11-29 N/A Other Instrument CORPORATE 54750000.00 54750000.00 DEUTSCHE BK AG GLOBAL MEDIUM TERM NTS BOOK ENTRY 2016-01-11 2016-01-11 3.25 - 3.25 Other Instrument CORPORATE 18000000.00 18028235.01 HANA BK SR MEDIUM TERM NT PROGRAM REG S 2016-11-03 2016-11-03 4 - 4 Other Instrument CORPORATE 14000000.00 13869940.00 First Tier Security 2011-12-01 2011-12-01 N N N 457000000.00 457000000.00 0.0075 N 457000000.00 457000000.00 BNP Paribas Securities Corp. BNP Paribas Securities Corp., 0.33% 42X99CQA2 0001197610 Other Repurchase Agreement N GOVERNMENT NATIONAL MORTAGE ASSOC 2025-11-20 2041-06-20 0 - 6.43 Government Agency Debt 405101876.00 153597129.93 FEDERAL HOME LOAN MORTGAGE CORP 2022-12-01 2041-11-15 0 - 12.77 Government Agency Debt 700459785.00 138316709.06 FEDERAL NATIONAL MORTGAGE ASSOC 2031-07-25 2049-02-25 0.795 - 6.485 Government Agency Debt 899782760.00 119826889.96 First Tier Security 2011-12-01 2011-12-01 N N N 400000000.00 400000000.00 0.0066 N 400000000.00 400000000.00 Credit Suisse Securities (USA) LLC Credit Suisse Securities (USA) LLC, 0.21% 42V99RSE1 0000318336 Other Repurchase Agreement N CENTRAL GOLD-TRUSTORTGAGE SEUR 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 44925.00 2924617.50 NETLOGIC MICROSYSTEMS, INC. 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 2568152.00 126789664.24 HORNBECK OFFSHORE SERVICES, IN 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 191426.00 6033747.52 TPC GROUP INC. + 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 70726.00 1416641.78 First Tier Security 2011-12-01 2011-12-01 N N N 127000000.00 127000000.00 0.0021 N 127000000.00 127000000.00 Credit Suisse Securities (USA) LLC Credit Suisse Securities (USA) LLC, 0.65% 42V99RPN4 0000318336 Other Repurchase Agreement N MBIA INSURANCE CORPORATION 2033-01-15 2033-01-15 14 - 14 Other Instrument CORPORATE 900200.00 442998.43 MICHAELS STORES, INC. 2018-11-01 2018-11-01 7.75 - 7.75 Other Instrument CORPORATE 2450000.00 2446971.46 MOHEGAN TRIBAL GAMING AUTHORIT 2017-11-01 2017-11-01 11.5 - 11.5 Other Instrument CORPORATE 540000.00 502665.00 MOMENTIVE PERFORMANCE MATERIAL 2021-01-15 2021-01-15 9 - 9 Other Instrument CORPORATE 925000.00 686812.51 NUVEEN INVESTMENTS INC CLASS A 2015-09-15 2015-09-15 5.5 - 5.5 Other Instrument CORPORATE 150000.00 127343.76 PAETEC HOLDING CORP. + 2018-12-01 2018-12-01 9.875 - 9.875 Other Instrument CORPORATE 575000.00 643554.80 PLY GEM INDS INC 2014-07-15 2014-07-15 13.125 - 13.125 Other Instrument CORPORATE 150000.00 150703.13 REALOGY CORPORATION 2019-02-15 2019-02-15 7.875 - 7.875 Other Instrument CORPORATE 188000.00 162731.62 RITE AID CORP 2015-03-01 2027-02-15 7.7 - 8.625 Other Instrument CORPORATE 10949000.00 8191373.85 SEQUA CORPORATION 2015-12-01 2015-12-01 11.75 - 11.75 Other Instrument CORPORATE 1860000.00 2013695.42 SHINGLE SPRINGS TRIBAL GAMING 2015-06-15 2015-06-15 9.375 - 9.375 Other Instrument CORPORATE 2000000.00 1159166.69 LBI MEDIA, INC. 2017-08-01 2017-08-01 8.5 - 8.5 Other Instrument CORPORATE 9500000.00 6032367.97 KNIGHT-RIDDER, INC. 2014-11-01 2014-11-01 4.625 - 4.625 Other Instrument CORPORATE 310000.00 269304.95 K. HOVNANIAN ENTERPRISES, INC. 2014-12-15 2014-12-15 6.375 - 6.375 Other Instrument CORPORATE 85000.00 48808.59 HOUGHTON MIFFLIN HARCOURT 2019-06-01 2019-06-01 10.5 - 10.5 Other Instrument CORPORATE 500000.00 325583.34 HARRAH'S OPERATING COMPANY, IN 2016-02-01 2016-02-01 10.75 - 10.75 Other Instrument CORPORATE 49806000.00 33322290.57 GRAY TELEVISION, INC. 2015-06-29 2015-06-29 10.5 - 10.5 Other Instrument CORPORATE 335000.00 322688.74 FERTINITRO FINANCE INC. 2020-04-01 2020-04-01 8.29 - 8.29 Other Instrument CORPORATE 5000000.00 4867932.20 TEXAS COMPETITIVE ELEC HLDGS C 2015-11-01 2015-11-01 10.25 - 10.25 Other Instrument CORPORATE 100000.00 37825.69 CITYCENTER HLDGS LLC / 2017-01-15 2017-01-15 10.75 - 10.75 Other Instrument CORPORATE 599.00 607.10 CRC HEALTH CORPORATION 2016-02-01 2016-02-01 10.75 - 10.75 Other Instrument CORPORATE 200000.00 197606.95 BERRY PLASTICS CORPORATION 2018-05-15 2018-05-15 9.5 - 9.5 Other Instrument CORPORATE 2375000.00 2275150.92 BEAZER HOMES USA,INC. 2015-07-15 2019-05-15 6.875 - 9.125 Other Instrument CORPORATE 1978000.00 1401182.58 AMERICAN MEDIA OPERATI 2018-06-15 2018-06-15 13.5 - 13.5 Other Instrument CORPORATE 1021933.00 797107.71 CLAIRE'S STORES INC 2015-06-01 2019-03-15 8.875 - 9.625 Other Instrument CORPORATE 2185276.00 1634895.38 First Tier Security 2011-12-14 2011-12-14 N N N 63000000.00 63000000.00 0.0010 Y 63000000.00 63000000.00 Credit Suisse Securities (USA) LLC Credit Suisse Securities (USA) LLC, 0.80% 42V99RNF3 0000318336 Other Repurchase Agreement N PHH CORPORATION 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 2204000.00 2058051.12 PDL BIOPHARMA INC C + 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 3500000.00 3715127.50 OIL STATES INTERNATIONAL, INC. 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 11972000.00 26367324.35 PFD NUVASIVE INC SR-D1 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 2000000.00 1889500.00 NASH FINCH COMPANY 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 3300000.00 1504615.20 MYLAN LABS INC 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 21617000.00 33342730.93 SAKS INCORPORATED 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 1907000.00 1907785.68 ILLUMINA INC PFD SRB 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 14025000.00 10706095.95 GILEAD SCIENCES INC. 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 7206000.00 7725343.63 BPZ ENERGY INC COM 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 48675000.00 44111718.75 ALLIANCE DATA SRA CUM 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 33211000.00 70129377.14 UNISOURCE ENERGY 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 18113000.00 19348487.73 MICRON TECHNOLOGY, INC. 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 5000000.00 4146875.00 First Tier Security 2012-02-01 2012-02-01 N N N 210000000.00 210000000.00 0.0035 Y 210000000.00 210000000.00 Credit Suisse Securities (USA) LLC Credit Suisse Securities (USA) LLC, 0.90% 42V99RKT6 0000318336 Other Repurchase Agreement N TERWIN MORTGAGE TRUST 2007-2AL 2038-04-25 2038-04-25 0.457 - 0.457 Other Instrument GOVERNMENT AGENCY 20000000.00 1871738.88 TBW MORTGAGE-BACKED TRUST SERI 2037-01-25 2037-01-25 0.437 - 0.437 Other Instrument GOVERNMENT AGENCY 9500000.00 2559047.46 WAMU MORTGAGE PASS-THROUGH TRU 2045-12-25 2045-12-25 0.947 - 0.947 Other Instrument GOVERNMENT AGENCY 24000000.00 1600890.40 STRUCTURED ADJUSTABLE RATE MOR 2037-08-25 2037-08-25 0.657 - 0.657 Other Instrument GOVERNMENT AGENCY 35538000.00 2459625.24 STRUCTURED ADJUSTABLE RATE MOR 2037-06-25 2037-06-25 0.507 - 0.507 Other Instrument GOVERNMENT AGENCY 33952000.00 5278281.64 STRUCTURED ASSET MORTGAGE INVE 2037-01-25 2037-01-25 0.492 - 0.492 Other Instrument GOVERNMENT AGENCY 15430000.00 1321820.76 STRUCTURED ASSET MORTGAGE INVE 2036-08-25 2036-08-25 0.487 - 0.487 Other Instrument GOVERNMENT AGENCY 30000000.00 3739944.17 STRUCTURED ADJUSTABLE RATE MOR 2035-10-25 2035-10-25 0.907 - 0.907 Other Instrument GOVERNMENT AGENCY 9993000.00 161956.46 STRUCTURED ASSET SECURITIES 2031-09-25 2031-09-25 8.928 - 8.928 Other Instrument OTHER NOTE 1713000.00 96804.36 RALI SERIES 2006-QH1 TRUST 2036-12-25 2036-12-25 0.487 - 0.487 Other Instrument GOVERNMENT AGENCY 10514000.00 1337715.37 RALI SERIES 2006-QA5 TRUST 2036-07-25 2036-07-25 0.437 - 0.437 Other Instrument GOVERNMENT AGENCY 27430000.00 3859957.23 RALI SERIES 2007-QH4 TRUST 2037-05-25 2037-05-25 0.487 - 0.487 Other Instrument GOVERNMENT AGENCY 10900000.00 1510701.74 NOMURA ASSET ACCEPTANCE CORPOR 2036-12-25 2036-12-25 0.427 - 0.427 Other Instrument GOVERNMENT AGENCY 13358701.00 2155201.03 MORTGAGEIT SECURITIES CORP. MO 2047-06-25 2047-06-25 0.407 - 0.407 Other Instrument GOVERNMENT AGENCY 24000000.00 5591478.11 MERRILL LYNCH ALTERNATIVE NOTE 2037-06-25 2037-06-25 4.936 - 4.936 Other Instrument GOVERNMENT AGENCY 23976000.00 7276312.92 MERRILL LYNCH MORTGAGE INVESTO 2036-07-25 2036-07-25 0.455 - 6.211 Other Instrument GOVERNMENT AGENCY 22898980.00 3911060.57 ML-CFC COMMERCIAL MORTGAGE TRU 2050-06-12 2050-06-12 5.935 - 5.935 Other Instrument GOVERNMENT AGENCY 12000000.00 249371.77 LUMINENT MORTGAGE TRUST 2007-2 2037-05-25 2037-05-25 0.537 - 0.537 Other Instrument GOVERNMENT AGENCY 19159931.00 1255170.17 ALTERNATIVE LOAN TRUST 2007-7T 2037-04-25 2037-04-25 0.657 - 0.657 Other Instrument GOVERNMENT AGENCY 10000000.00 3223386.41 ALTERNATIVE LOAN TRUST 2006-OA 2046-09-25 2046-09-25 0.557 - 0.557 Other Instrument GOVERNMENT AGENCY 21841500.00 2504350.67 AMERICAN HOME MORTGAGE ASSETS 2047-03-25 2047-03-25 0.422 - 0.422 Other Instrument GOVERNMENT AGENCY 6000000.00 695145.65 AMERICAN HOME MORTGAGE INVESTM 2047-05-25 2047-05-25 0.485 - 0.485 Other Instrument GOVERNMENT AGENCY 29450000.00 2078153.08 BEAR STEARNS MORTGAGE FUNDING 2037-03-25 2037-03-25 0.457 - 0.457 Other Instrument GOVERNMENT AGENCY 15665143.00 2143525.04 CWALT, INC., 2005-13CB 2035-06-25 2035-10-25 0.537 - 0.757 Other Instrument GOVERNMENT AGENCY 13642400.00 1168243.47 CWALT, INC., 2005-79CB 2036-02-25 2036-02-25 1.93 - 1.93 Other Instrument GOVERNMENT AGENCY 40000000.00 4089560.21 ALTERNATIVE LOAN TRUST 2006-OA 2046-10-25 2046-10-25 0.507 - 0.507 Other Instrument GOVERNMENT AGENCY 5000000.00 1408815.23 DSLA MORTGAGE LOAN TRUST 2004- 2045-07-19 2045-07-19 0.575 - 0.575 Other Instrument GOVERNMENT AGENCY 10300000.00 440165.89 DEUTSCHE ALT-A SECURITIES MTG 2047-08-25 2047-08-25 0.577 - 0.577 Other Instrument GOVERNMENT AGENCY 15316420.00 1470946.80 GSAMP TRUST 2005-HE2-N 2036-02-25 2036-02-25 0.857 - 0.857 Other Instrument GOVERNMENT AGENCY 20364000.00 4886146.10 HARBORVIEW MORTGAGE LOAN TRUST 2046-07-20 2046-07-20 0.485 - 0.485 Other Instrument GOVERNMENT AGENCY 37000000.00 4220324.19 HARBORVIEW MORTGAGE LOAN TRUST 2035-11-19 2037-01-19 0.505 - 0.655 Other Instrument GOVERNMENT AGENCY 62000000.00 2248765.08 HARBORVIEW MORTGAGE LOAN TRUST 2046-10-19 2046-10-19 0.465 - 0.465 Other Instrument GOVERNMENT AGENCY 4575666.00 1108863.62 LEHMAN MORTGAGE TRUST 2006-3 2036-07-25 2036-07-25 0.607 - 0.607 Other Instrument GOVERNMENT AGENCY 13550000.00 2082070.58 First Tier Security 2012-01-12 2012-01-12 N N N 74000000.00 74000000.00 0.0012 Y 74000000.00 74000000.00 Credit Suisse Securities (USA) LLC Credit Suisse Securities (USA) LLC, 0.90% 42V99RKU3 0000318336 Other Repurchase Agreement N CITIGROUP MORTGAGE LOAN TRUST 2036-07-25 2036-07-25 5.216 - 5.216 Other Instrument GOVERNMENT AGENCY 37535000.00 10297687.63 FIRST HORIZON MORTGAGE PASS-TH 2036-11-25 2036-11-25 2.098 - 2.098 Other Instrument GOVERNMENT AGENCY 30000000.00 6326953.77 MERRILL LYNCH ALTERNATIVE NOTE 2037-06-25 2037-06-25 4.936 - 4.936 Other Instrument GOVERNMENT AGENCY 54115000.00 16422992.73 STRUCTURED ADJUSTABLE RATE MOR 2036-03-31 2036-03-31 5.485 - 5.485 Other Instrument GOVERNMENT AGENCY 34950000.00 12385808.47 WAMU MORTGAGE PASS-THROUGH TRU 2035-12-25 2035-12-25 2.534 - 2.534 Other Instrument GOVERNMENT AGENCY 32800000.00 5047252.27 WAMU MORTGAGE PASS-THROUGH CER 2037-05-25 2037-05-25 5.141 - 5.141 Other Instrument GOVERNMENT AGENCY 11715000.00 4768204.07 WAMU MORTGAGE PASS-THROUGH CE 2036-09-25 2036-09-25 5.836 - 5.836 Other Instrument GOVERNMENT AGENCY 27535000.00 8064091.34 BEAR STEARNS ALT-A TRUST 2002- 2036-05-25 2036-05-25 2.862 - 5.702 Other Instrument GOVERNMENT AGENCY 114618400.00 16690937.56 First Tier Security 2012-01-19 2012-01-19 N N N 74000000.00 74000000.00 0.0012 Y 74000000.00 74000000.00 Credit Suisse Securities (USA) LLC Credit Suisse Securities (USA) LLC, 0.90% 42V99RKV1 0000318336 Other Repurchase Agreement N AMERICAN HOME MORTGAGE ASSET T 2046-12-25 2046-12-25 0.497 - 0.497 Other Instrument GOVERNMENT AGENCY 176350000.00 12624647.98 BEAR STEARNS ALT-A TRUST 2006- 2036-08-25 2036-08-25 4.296 - 4.296 Other Instrument GOVERNMENT AGENCY 40000000.00 18464595.08 CWALT, INC., 2005-43 2035-12-25 2035-12-25 1.885 - 1.885 Other Instrument GOVERNMENT AGENCY 192045000.00 16326207.53 CITIGROUP MORTGAGE LOAN TRUST, 2035-08-25 2035-08-25 5.75 - 5.75 Other Instrument GOVERNMENT AGENCY 5000000.00 1951715.50 GSR MORTGAGE LOAN TRUST 2006-1 2036-03-25 2036-03-25 5.75 - 5.75 Other Instrument GOVERNMENT AGENCY 28260000.00 7448364.70 GREENPOINT MORTGAGE FUNDING TR 2045-10-25 2045-10-25 0.617 - 0.617 Other Instrument GOVERNMENT AGENCY 123400000.00 4577273.73 WELLS FARGO MORTGAGE BACKED SE 2036-07-25 2036-07-25 2.734 - 2.734 Other Instrument GOVERNMENT AGENCY 17772000.00 4717961.94 HARBORVIEW MORTGAGE LOAN TRUST 2036-11-19 2036-11-19 0.535 - 0.535 Other Instrument GOVERNMENT AGENCY 15395000.00 2000680.07 First Tier Security 2012-01-26 2012-01-26 N N N 63000000.00 63000000.00 0.0010 Y 63000000.00 63000000.00 Credit Suisse Securities (USA) LLC Credit Suisse Securities (USA) LLC, 0.91% 42V99RLW8 0000318336 Other Repurchase Agreement N CWABS ASSET-BACKED CERTIFICATE 2036-05-25 2036-05-25 5.377 - 5.58 Other Instrument ASSET BACKED 44636000.00 23121819.72 CWHEQ REVOLVING HOME EQUITY LO 2032-04-15 2032-04-15 0.439 - 0.439 Other Instrument ASSET BACKED 158675800.00 13722025.32 CWHEQ REVOLVING HOME EQUITY LO 2036-11-15 2036-11-15 0.399 - 0.399 Other Instrument ASSET BACKED 41755000.00 4318157.62 CHL MORTGAGE PASS-THROUGH TRUS 2036-09-20 2036-09-20 2.778 - 2.778 Other Instrument ASSET BACKED 29300000.00 7144679.48 INDYMAC, INC. 2036-04-25 2036-04-25 0.427 - 0.427 Other Instrument ASSET BACKED 2555000.00 151465.14 LEHMAN XS TRUST, SERIES 2005-3 2035-12-25 2046-04-25 0.477 - 0.557 Other Instrument ASSET BACKED 32130000.00 5718953.47 RESIDENTIAL FUNDING MORTGAGE S 2035-12-25 2035-12-25 0.437 - 0.437 Other Instrument ASSET BACKED 33000000.00 2035426.73 First Tier Security 2012-02-03 2012-02-03 N N N 52000000.00 52000000.00 0.0009 Y 52000000.00 52000000.00 Credit Suisse Securities (USA) LLC Credit Suisse Securities (USA) LLC, 0.92% 42V99RLX6 0000318336 Other Repurchase Agreement N CWABS INC. 2033-03-26 2033-03-26 1.907 - 1.907 Other Instrument ASSET BACKED 38701000.00 426570.55 CONSECO FINANCE SECURITIZATION 2031-12-01 2032-05-01 7.96 - 8.85 Other Instrument ASSET BACKED 41629500.00 22163652.44 GREEN TREE ACCEPTANCE, INC. 2027-04-15 2030-03-01 7.22 - 7.86 Other Instrument ASSET BACKED 41269500.00 20802264.59 RESIDENTIAL FUNDING MORTGAGE S 2035-10-25 2035-10-25 0.467 - 0.467 Other Instrument ASSET BACKED 78866401.00 5047247.18 INDYMAC INDX MORTGAGE LOAN TRU 2035-11-25 2035-11-25 0.326 - 0.326 Other Instrument GOVERNMENT AGENCY 9570000.00 60361.71 OAKWOOD MORTGAGE INVESTORS 199 2030-07-15 2030-12-15 7.4 - 7.405 Other Instrument ASSET BACKED 13045000.00 5789627.22 INDYMAC, INC. 2036-04-25 2036-04-25 0.427 - 0.427 Other Instrument ASSET BACKED 32445000.00 1923399.81 First Tier Security 2012-02-10 2012-02-10 N N N 52000000.00 52000000.00 0.0009 Y 52000000.00 52000000.00 Credit Suisse Securities (USA) LLC Credit Suisse Securities (USA) LLC, 0.94% 42V99RML1 0000318336 Other Repurchase Agreement N CSMC MORTGAGE PASS-THROUGH CER 2036-11-25 2036-11-25 6.5 - 6.5 Other Instrument GOVERNMENT AGENCY 17175992.00 1556803.78 CWALT, INC., 2005-13CB 2035-07-25 2035-07-25 5.843 - 5.843 Other Instrument GOVERNMENT AGENCY 111237600.00 1875445.10 CITIBANK CREDIT CARD ISSUANCE 2036-07-25 2036-07-25 6.133 - 6.133 Other Instrument GOVERNMENT AGENCY 2500000.00 1634451.30 DEUTSCHE MORTGAGE SECURITIES,I 2035-06-26 2035-06-26 5.243 - 5.243 Other Instrument GOVERNMENT AGENCY 2200000.00 2048520.60 GMAC COMMERCIAL MORTGAGE SECUR 2041-12-10 2041-12-10 4.965 - 4.965 Other Instrument GOVERNMENT AGENCY 12277000.00 10626634.46 GS MTG SECS TR 2011-GC3 2044-03-10 2044-03-10 5 - 5 Other Instrument GOVERNMENT AGENCY 14511000.00 8871165.79 HARBORVIEW MORTGAGE LOAN TRUST 2035-07-19 2035-07-19 0.495 - 0.495 Other Instrument GOVERNMENT AGENCY 20000000.00 3137422.20 JPMORGAN CHASE COMMERCIAL MORT 2042-07-15 2042-07-15 4.981 - 4.981 Other Instrument GOVERNMENT AGENCY 5869000.00 1894586.37 JPMORGAN CHASE COMMERCIAL MTG 2049-01-15 2049-01-15 5.503 - 5.503 Other Instrument GOVERNMENT AGENCY 3010000.00 1395396.56 ML-CFC COMMERCIAL MORTGAGE TRU 2051-03-12 2051-03-12 5.556 - 5.556 Other Instrument GOVERNMENT AGENCY 20000000.00 12012833.36 MERRILL LYNCH ALTERNATIVE NOTE 2037-02-25 2037-02-25 0.427 - 0.427 Other Instrument GOVERNMENT AGENCY 27500000.00 9897723.64 MORGAN STANLEY CAPITAL I TRUST 2041-11-12 2041-11-12 5.448 - 5.448 Other Instrument GOVERNMENT AGENCY 11000000.00 6351275.09 PNC MORTGAGE ACCEPTANCE CORP. 2033-10-12 2033-10-12 6.22 - 6.22 Other Instrument GOVERNMENT AGENCY 7000000.00 7043866.16 RESIDENTIAL ASSET MORTGAGE PRO 2032-11-25 2032-11-25 6 - 6 Other Instrument GOVERNMENT AGENCY 218900.00 112907.81 THORNBURG MORTGAGE SECURITIES 2047-06-25 2047-06-25 0.467 - 0.467 Other Instrument GOVERNMENT AGENCY 25000000.00 11723144.35 UBS COMMERCIAL MORTGAGE TRUST 2024-07-15 2024-07-15 0.832 - 0.832 Other Instrument GOVERNMENT AGENCY 8760000.00 7566588.20 WELLS FARGO MORTGAGE BACKED SE 2036-03-25 2036-03-25 5.367 - 5.367 Other Instrument GOVERNMENT AGENCY 17000000.00 14669008.01 ABN AMRO MORTGAGE CORPORATION 2018-09-25 2018-09-25 4.5 - 4.5 Other Instrument GOVERNMENT AGENCY 9559702.00 46146.92 ADJUSTABLE RATE MORTGAGE TRUST 2035-11-25 2035-11-25 0.527 - 0.527 Other Instrument GOVERNMENT AGENCY 32669872.00 3468913.45 BANC OF AMERICA COMMERCIAL MOR 2045-07-10 2045-07-10 5.37 - 5.37 Other Instrument GOVERNMENT AGENCY 1100000.00 617337.33 BEAR STEARNS ARM TRUST 2000-2 2034-10-25 2034-10-25 2.924 - 2.924 Other Instrument GOVERNMENT AGENCY 10472000.00 3971744.02 BEAR STEARNS ASSET BACKED SECU 2034-10-25 2034-10-25 1.457 - 1.457 Other Instrument GOVERNMENT AGENCY 10105000.00 1588917.46 BEAR STEARNS COMMERCIAL MORTGA 2039-03-11 2039-03-11 5.62 - 5.62 Other Instrument GOVERNMENT AGENCY 6500000.00 2470800.40 First Tier Security 2012-02-17 2012-02-17 N N N 106000000.00 106000000.00 0.0017 Y 106000000.00 106000000.00 Credit Suisse Securities (USA) LLC Credit Suisse Securities (USA) LLC, 0.96% 42V99RMV9 0000318336 Other Repurchase Agreement N BANC OF AMERICA COMMERCIAL MOR 2045-07-10 2045-07-10 5.37 - 5.37 Other Instrument GOVERNMENT AGENCY 50000.00 28060.79 SACO I TRUST 2006-9 2036-08-25 2036-08-25 0.407 - 0.407 Other Instrument ASSET BACKED 59000000.00 3462764.53 RESIDENTIAL FUNDING MORTGAGE S 2036-02-25 2036-02-25 0.427 - 0.427 Other Instrument ASSET BACKED 48128181.00 1996658.39 GMAC MORTGAGE SECURITIES II, I 2036-02-25 2036-02-25 0.407 - 0.407 Other Instrument ASSET BACKED 47905969.00 17163459.47 CONSECO FINANCE SECURITIZATION 2031-05-01 2031-05-01 8.06 - 8.06 Other Instrument ASSET BACKED 42385000.00 18704556.28 CWHEQ REVOLVING HOME EQUITY LO 2036-11-15 2036-11-15 0.399 - 0.399 Other Instrument ASSET BACKED 59745000.00 6178621.17 BOMBARDIER CAPITAL MORTGAGE SE 2020-01-15 2020-01-15 7.44 - 7.44 Other Instrument ASSET BACKED 25747000.00 9751787.42 First Tier Security 2012-02-24 2012-02-24 N N N 53000000.00 53000000.00 0.0009 Y 53000000.00 53000000.00 Credit Suisse Securities (USA) LLC Credit Suisse Securities (USA) LLC, 1.00% 42V99RRA0 0000318336 Other Repurchase Agreement N WASHINGTON MUTUAL MORTGAGE PAS 2036-12-25 2036-12-25 0.427 - 0.427 Other Instrument GOVERNMENT AGENCY 10800000.00 4195025.00 ALTERNATIVE LOAN TRUST RESECUR 2036-04-25 2036-04-25 0.857 - 0.857 Other Instrument GOVERNMENT AGENCY 5000000.00 1603675.34 ALTERNATIVE LOAN TRUST 2007-OA 2037-06-27 2037-06-27 0.437 - 0.437 Other Instrument GOVERNMENT AGENCY 19600000.00 6672500.26 ALTERNATIVE LOAN TRUST 2007-2C 2037-03-25 2037-03-25 5.75 - 5.75 Other Instrument GOVERNMENT AGENCY 5600000.00 3559749.70 ALTERNATIVE LOAN TRUST 2007-11 2037-05-25 2037-05-25 0.757 - 0.757 Other Instrument GOVERNMENT AGENCY 9500000.00 3782441.11 CWABS ASSET-BACKED CERTIFICATE 2036-01-25 2036-01-25 0.527 - 0.527 Other Instrument GOVERNMENT AGENCY 4395000.00 1167731.12 CWALT, INC., 2005-13CB 2035-07-25 2035-10-25 0.907 - 0.957 Other Instrument GOVERNMENT AGENCY 46793867.00 15874295.34 CWALT, INC., 2005-43 2035-11-20 2035-12-25 0.555 - 0.575 Other Instrument GOVERNMENT AGENCY 52573000.00 10657690.09 CHEVY CHASE FUNDING LLC 2047-04-25 2047-04-25 0.437 - 0.437 Other Instrument GOVERNMENT AGENCY 16091000.00 2343521.54 CITIGROUP MORTGAGE LOAN TRUST, 2036-03-25 2036-03-25 2.69 - 2.69 Other Instrument GOVERNMENT AGENCY 11155000.00 2945709.87 ALTERNATIVE LOAN TRUST 2006-OC 2036-11-25 2036-11-25 0.377 - 0.427 Other Instrument GOVERNMENT AGENCY 15773863.00 5444128.91 GSR MTG 06-OA1 D08/24/06 2046-08-25 2046-08-25 2.776 - 2.776 Other Instrument GOVERNMENT AGENCY 10000000.00 2350722.10 HARBORVIEW MORTGAGE LOAN TRUST 2036-12-25 2036-12-25 1.08 - 1.08 Other Instrument GOVERNMENT AGENCY 15000000.00 3355437.44 HOMEBANC MORTGAGE TRUST 2006-2 2036-12-25 2036-12-25 0.437 - 0.437 Other Instrument GOVERNMENT AGENCY 16000000.00 4896471.02 IMPERIAL CMB TRUST SERIES 1998 2035-10-25 2035-10-25 0.537 - 0.757 Other Instrument GOVERNMENT AGENCY 17170000.00 2099888.90 IMPAC SECURED ASSETS CORP 2036-08-25 2036-08-25 0.537 - 0.537 Other Instrument GOVERNMENT AGENCY 12000000.00 2896090.87 IMPAC SECURED ASSETS TRUST 2037-01-25 2037-01-25 0.427 - 0.427 Other Instrument GOVERNMENT AGENCY 14000000.00 5263515.00 INDYMAC INDX MORTGAGE LOAN TRU 2036-04-25 2036-04-25 0.757 - 0.757 Other Instrument GOVERNMENT AGENCY 6650000.00 1370170.52 JP MORGAN ALTERNATIVE LOAN TRU 2047-04-25 2047-04-25 0.537 - 0.537 Other Instrument GOVERNMENT AGENCY 18015000.00 6004348.93 LEHMAN MORTGAGE TRUST, SERIES 2037-05-25 2037-05-25 6.413 - 6.413 Other Instrument GOVERNMENT AGENCY 3125000.00 538233.11 NOMURA ASSET ACCEPTANCE CORPOR 2037-06-25 2037-06-25 0.377 - 0.377 Other Instrument GOVERNMENT AGENCY 3400000.00 496847.15 RBSGC MORTGAGE LOAN TRUST 2037-03-25 2037-03-25 0.707 - 0.707 Other Instrument GOVERNMENT AGENCY 2000000.00 605803.67 STRUCTURED ADJUSTABLE RATE MOR 2035-09-25 2035-09-25 2.69 - 2.69 Other Instrument GOVERNMENT AGENCY 132920000.00 39244740.73 STRUCTURED ASSET SECURITIES CO 2036-05-25 2036-05-25 0.407 - 0.407 Other Instrument GOVERNMENT AGENCY 10000000.00 5599921.35 STRUCTURED ADJUSTABLE RATE MOR 2037-08-25 2037-08-25 0.557 - 0.557 Other Instrument GOVERNMENT AGENCY 2250000.00 769954.38 WAMU MORTGAGE PASS-THROUGH CER 2047-03-25 2047-03-25 1.276 - 1.276 Other Instrument GOVERNMENT AGENCY 12690000.00 4745600.28 WAMU MORTGAGE PASS-THROUGH 2047-06-25 2047-06-25 0.981 - 0.981 Other Instrument GOVERNMENT AGENCY 10695000.00 4104129.98 First Tier Security 2012-02-21 2012-02-21 N N N 132000000.00 132000000.00 0.0022 Y 132000000.00 132000000.00 Goldman Sachs & Co. Goldman Sachs & Co., 0.20% 40M99HSB3 0000769993 Other Repurchase Agreement N US TREASURY 2012-01-12 2026-02-15 0 - 8.75 Treasury Debt 362467400.00 433502418.66 First Tier Security 2011-12-07 2011-12-07 N N N 425000000.00 425000000.00 0.0070 N 425000000.00 425000000.00 Goldman Sachs & Co. Goldman Sachs & Co., 0.25% 40M99HSA5 0000769993 Other Repurchase Agreement N US TREASURY 2017-05-15 2026-11-15 6.5 - 8.75 Treasury Debt 108942000.00 162181252.61 First Tier Security 2011-12-07 2011-12-07 N N N 159000000.00 159000000.00 0.0026 N 159000000.00 159000000.00 J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp., 0.48% 43H99ULV7 Other Repurchase Agreement N TREX COMPANY, INC. 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 1500000.00 1653760.50 VERISIGN, INC. 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 106892000.00 117000669.55 VOLCANO CORPORATION 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 2178000.00 2297110.46 ACCURAY INCORPORATED 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 7750000.00 5896742.50 AMYLIN PHARMACEUTICALS INC. 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 247000.00 220776.75 CACI INTL INC 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 200000.00 233195.20 CADENCE DESIGN SYSTEMS, INC. 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 16408000.00 24882223.35 CHEMED CORPORATION 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 1585000.00 1463482.81 COMTECH TELECOMMUNICATIONS COR 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 800000.00 860544.00 DIGITAL RIVER, INC. 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 1975000.00 1625359.83 ENERGY CONVERSION DEVICES 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 16554000.00 8216296.48 UNITED STATES GOVERNMENT GUARA 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 484000.00 484806.83 GREATBATCH INC COM 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 39760000.00 39236559.60 ISIS PHARMACEUTICALS, INC. 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 2000000.00 1807958.00 JDS UNIPHASE CORP. 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 71903780.00 69778591.88 LINCARE HOLDINGS INC. 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 18400000.00 18943720.00 LINEAR TECHNOLOGY CORP 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 1154000.00 1156885.00 MICROCHIP TECHNOLOGY INC 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 11030000.00 14005882.97 MOLINA HEALTHCARE, INC. 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 2469000.00 2565414.45 NETAPP, INC 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 25832000.00 32709770.00 SALESFORCE.COM SR CPFD 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 5385000.00 7821260.16 TAKE-2 INTERACTIVE SOFTWARE 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 3500000.00 3407841.50 TERADYNE INC 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 20292000.00 47246878.20 TOWER GROUP, INC. 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 830000.00 838318.26 First Tier Security 2011-12-01 2011-12-01 N N N 372000000.00 372000000.00 0.0061 N 372000000.00 372000000.00 J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp., 0.60% 43H99UCR6 Other Repurchase Agreement N SPDR GOLD TRUST 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 1792320.00 299102361.60 First Tier Security 2012-01-23 2012-01-23 N N N 275000000.00 275000000.00 0.0045 Y 275000000.00 275000000.00 J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp., 0.69% 42K99VKY8 Other Repurchase Agreement N ALLIANCE DATA SRA CUM 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 1214000.00 1602732.51 WESTERN REFINING, INC. 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 8371000.00 11031504.70 AVIS BUDGET GROUP INC COM < 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 18510000.00 19335231.33 BROOKDALE SENIOR LIVING INC. 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 5180000.00 4172023.80 CIENA CORPORATION 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 18235000.00 17841379.29 CONCUR TECHNOLOGIES, INC. 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 300000.00 335017.20 CUBIST PHARMACEUTICALS,INC 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 22477000.00 31495176.99 DST SYSTEMS, INC. 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 1095000.00 1278770.57 DENDREON CORPORATION 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 10000000.00 7408610.00 EASTMAN KODAK COMPANY 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 11166000.00 4261693.72 ELECTRONIC ARTS INC 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 1037000.00 1028578.52 FOREST CITY ENTERPRISES 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 1500000.00 1522503.00 GAYLORD ENTERTAINMENT 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 5768000.00 5921544.16 HUMAN GENOME SCIENCES, INC. 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 6400000.00 5548736.00 ICAHN ENTERPRISES L.P. 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 831000.00 783217.50 INCYTE PHARMACEUTICALS, INC. 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 4975000.00 8076897.58 KNIGHT CAPITAL GROUP INC 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 30793000.00 27341689.77 LIBERTY MEDIA CORP 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 43325000.00 23884119.35 LUCENT TECHNOLOGIES INC. 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 21014000.00 18627461.03 PFD MAGMA DESIGN SR C 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 1000000.00 3197067.00 MICRON TECHNOLOGY, INC. 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 7067000.00 5920475.04 NOVELLUS SYSTEMS, INC 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 7500000.00 7327327.50 PFD NUVASIVE INC SR-D1 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 2211000.00 1629922.67 PDL BIOPHARMA INC C + 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 3900000.00 3902437.50 RTI INTERNATIONAL META 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 5930000.00 6218707.98 RAMBUS INC. 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 6450000.00 6425367.45 ROVI CORPORATION+ 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 2000000.00 2012958.00 SBA COMMUNICATIONS CORPORATION 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 826000.00 901631.04 SALESFORCE.COM SR CPFD 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 12612000.00 18317870.59 PFD SUNPOWER CORPONE 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 3038000.00 2296937.62 TAKE-2 INTERACTIVE SOFTWARE 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 7294000.00 10699386.25 UNITED RENTALS, INC. 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 2725000.00 6683743.75 UNITED THERAPEUTICS 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 2472000.00 2532025.10 ANNALY MORTGAGE MANAGEMENT 2011-11-30 2011-11-30 N/A Other Instrument OTHER NOTE 45830000.00 50780923.24 First Tier Security 2012-01-23 2012-01-23 N N N 294000000.00 294000000.00 0.0049 Y 294000000.00 294000000.00 J.P. Morgan Clearing Corp. J.P. Morgan Clearing Corp., 0.75% 43H99UCS4 Other Repurchase Agreement N 51-100 2011-11-30 2011-11-30 N/A Other Instrument EQUITY 17221344.00 150118750.95 First Tier Security 2012-04-23 2012-04-23 N N N 138000000.00 138000000.00 0.0023 Y 138000000.00 138000000.00 J.P. Morgan Securities, Inc. J.P. Morgan Securities, Inc., 0.20% 43E9992V8 0001287279 Other Repurchase Agreement N FEDERAL HOME LOAN MORTGAGE CORP 2022-05-15 2041-11-15 0 - 8.404 Government Agency Debt 8045681676.00 516409320.02 FEDERAL NATIONAL MORTGAGE ASSOC 2017-08-25 2041-11-25 0 - 52.296 Government Agency Debt 6077589238.00 593930785.05 First Tier Security 2011-12-01 2011-12-01 N N N 1078000000.00 1078000000.00 0.0178 N 1078000000.00 1078000000.00 J.P. Morgan Securities, Inc. J.P. Morgan Securities, Inc., 0.25% 43E9992K2 0001287279 Other Repurchase Agreement N FEDERATIVE REPUBLIC OF BRAZIL 2034-01-20 2037-01-20 7.125 - 8.25 Other Instrument CORPORATE 44870000.00 66157014.00 First Tier Security 2011-12-01 2011-12-01 N N N 63000000.00 63000000.00 0.0010 N 63000000.00 63000000.00 J.P. Morgan Securities, Inc. J.P. Morgan Securities, Inc., 0.50% 43E999VT1 0001287279 Other Repurchase Agreement N BCAP LLC TRUST 2007-AA4 2047-06-25 2047-06-25 5.538 - 5.538 Other Instrument GOVERNMENT AGENCY 8900000.00 3810932.31 WELLS FARGO MORTGAGE BACKED SE 2036-10-25 2036-10-25 5.302 - 5.302 Other Instrument GOVERNMENT AGENCY 424998.00 116612.70 BANC OF AMERICA COMMERCIAL MOR 2049-01-15 2049-01-15 5.631 - 5.631 Other Instrument GOVERNMENT AGENCY 870000.00 177946.39 BANC OF AMERICA MORTGAGE 2006- 2036-05-25 2036-05-25 6 - 6 Other Instrument GOVERNMENT AGENCY 90886000.00 26360092.07 BANC OF AMERICA FUNDING 2007-1 2037-01-25 2037-01-25 6 - 6 Other Instrument GOVERNMENT AGENCY 11145862.00 3060521.49 CSMC MORGAGE-BACKED TRUST 2007 2037-04-25 2037-04-25 5.837 - 5.837 Other Instrument GOVERNMENT AGENCY 650000.00 145442.04 CWALT, INC., 2005-43 2035-12-25 2035-12-25 5.5 - 5.5 Other Instrument GOVERNMENT AGENCY 15700000.00 11005430.10 CWALT, INC., 2005-79CB 2036-05-25 2036-05-25 4.843 - 4.843 Other Instrument GOVERNMENT AGENCY 29015918.00 1353017.84 CWMBS, INC., 2005-19 2036-04-20 2036-04-20 5.369 - 5.369 Other Instrument GOVERNMENT AGENCY 100000.00 36705.63 CHASE MORTGAGE FINANCE TRUST S 2037-03-25 2037-03-25 5.093 - 5.093 Other Instrument GOVERNMENT AGENCY 186000000.00 10956635.20 CHASE FLEX TRUST SERIES 2006-1 2036-06-25 2036-06-25 6.053 - 6.053 Other Instrument GOVERNMENT AGENCY 690000.00 377670.63 CHASE FLEX TRUST 2006-2 2036-09-25 2036-09-25 5.962 - 5.962 Other Instrument GOVERNMENT AGENCY 125000.00 88139.75 CREDIT SUISSE COMMERCIAL MORTG 2039-06-15 2039-06-15 5.904 - 5.904 Other Instrument GOVERNMENT AGENCY 1193000.00 148833.61 CREDIT SUISSE COMMERCIAL MORTG 2039-09-15 2039-09-15 5.617 - 5.617 Other Instrument GOVERNMENT AGENCY 3000000.00 546049.25 CSFB MORTGAGE-BACKED TRUST SER 2040-12-15 2040-12-15 5.23 - 5.23 Other Instrument GOVERNMENT AGENCY 2340000.00 536358.52 GSR MORTGAGE LOAN TRUST 2007-3 2037-05-25 2037-05-25 6.443 - 6.443 Other Instrument GOVERNMENT AGENCY 42662000.00 3468150.97 GREENWICH CAPITAL COMMERCIAL F 2037-04-10 2037-04-10 5.525 - 5.525 Other Instrument GOVERNMENT AGENCY 5740000.00 1739617.57 LB-UBS COMMERCIAL MORTGAGE TRU 2039-09-15 2039-09-15 6.271 - 6.271 Other Instrument GOVERNMENT AGENCY 4000000.00 327067.11 LEHMAN MORTGAGE TRUST 2006-3 2036-07-25 2036-07-25 6.893 - 6.893 Other Instrument GOVERNMENT AGENCY 45904000.00 4560474.75 STRUCTURED ADJUSTABLE RATE MOR 2035-07-25 2035-07-25 2.504 - 2.504 Other Instrument GOVERNMENT AGENCY 2740000.00 604841.66 (SASCO) STRUCTURED ASSET SECUR 2031-04-25 2031-04-25 3.356 - 3.356 Other Instrument GOVERNMENT AGENCY 11097000.00 1716069.06 WASHINGTON MUTUAL MORTGAGE PAS 2037-04-25 2037-04-25 6 - 6 Other Instrument GOVERNMENT AGENCY 70860000.00 26263031.58 WASHINGTON MUTUAL MORTGAGE PAS 2037-06-25 2037-06-25 6 - 6 Other Instrument GOVERNMENT AGENCY 108311000.00 51533341.69 WELLS FARGO MORTGAGE BACKED SE 2035-10-25 2035-10-25 2.723 - 2.723 Other Instrument GOVERNMENT AGENCY 1000000.00 773070.22 WELLS FARGO MORTGAGE BACKED SE 2036-11-25 2036-11-25 5.645 - 5.645 Other Instrument GOVERNMENT AGENCY 1513000.00 441770.74 First Tier Security 2011-12-07 2011-12-07 Y JPMORGAN SECS (NON GOV REPO) N/A N/A N N 139000000.00 139000000.00 0.0023 N 139000000.00 139000000.00 J.P. Morgan Securities, Inc. J.P. Morgan Securities, Inc., 0.75% 42Q9948X8 0001287279 Other Repurchase Agreement N ALTERNATIVE LOAN TRUST 2007-OH 2047-04-25 2047-04-25 0.467 - 0.467 Other Instrument GOVERNMENT AGENCY 4049260.00 1473644.60 WASHINGTON MUTUAL MORTGAGE PAS 2047-05-25 2047-05-25 1.071 - 1.071 Other Instrument GOVERNMENT AGENCY 4380000.00 1413293.48 AMERICAN HOME MORTGAGE INVESTM 2047-05-25 2047-05-25 0.435 - 0.435 Other Instrument GOVERNMENT AGENCY 30000000.00 10827221.27 CWALT, INC., 2005-79CB 2036-02-25 2036-03-25 0.457 - 1.23 Other Instrument GOVERNMENT AGENCY 25000000.00 6269940.81 CHEVY CHASE FUNDING LLC 2006-4 2047-11-25 2047-11-25 0.387 - 0.387 Other Instrument GOVERNMENT AGENCY 37500000.00 7297339.66 CHEVY CHASE FUNDING LLC 2048-02-25 2048-02-25 0.387 - 0.387 Other Instrument GOVERNMENT AGENCY 22500000.00 4292141.61 CHEVY CHASE FUNDING LLC 2048-05-25 2048-05-25 0.387 - 0.387 Other Instrument GOVERNMENT AGENCY 50000000.00 11042778.94 FIRST HORIZON ALTERNATIVE MORT 2036-02-25 2036-02-25 0.807 - 0.807 Other Instrument GOVERNMENT AGENCY 25000000.00 6797869.50 GSR MORTGAGE LOAN TRUST 2006-7 2036-08-25 2036-08-25 6.5 - 6.5 Other Instrument GOVERNMENT AGENCY 3600000.00 989849.17 HARBORVIEW MORTGAGE LOAN TRUST 2036-11-19 2036-11-19 0.435 - 0.435 Other Instrument GOVERNMENT AGENCY 27376000.00 7506451.67 HOMEBANC MORTGAGE TRUST 2004-1 2037-04-25 2037-04-25 5.609 - 5.675 Other Instrument GOVERNMENT AGENCY 3343000.00 1236932.76 INDYMAC INDX MORTGAGE LOAN TRU 2046-04-25 2046-04-25 0.477 - 0.477 Other Instrument GOVERNMENT AGENCY 115000.00 19532.86 INDYMAC INDX MORTGAGE LOAN TRU 2036-07-25 2036-07-25 0.557 - 0.557 Other Instrument GOVERNMENT AGENCY 4300000.00 1166886.62 MASTR ADJUSTABLE RATES MORTGAG 2047-01-25 2047-01-25 0.971 - 0.971 Other Instrument GOVERNMENT AGENCY 19039000.00 4530989.04 MASTR ADJUSTABLE RATE MORTGAGE 2047-05-25 2047-05-25 0.457 - 0.457 Other Instrument GOVERNMENT AGENCY 5300000.00 1428576.12 RFMSI SERIES 2003-S14 TRUST 2035-06-25 2035-06-25 2.87 - 2.87 Other Instrument GOVERNMENT AGENCY 11485000.00 1647940.40 STRUCTURED ASSET SECURITIES 2027-04-15 2027-04-15 8.07 - 8.07 Other Instrument GOVERNMENT AGENCY 5785000.00 313491.64 SASCO 2001-6 (STRUCTURED ASSET 2032-01-25 2032-01-25 1.107 - 1.107 Other Instrument GOVERNMENT AGENCY 4565000.00 276526.46 WASHINGTON MUTUAL MORTGAGE PAS 2037-04-25 2037-04-25 6 - 6 Other Instrument GOVERNMENT AGENCY 103927300.00 38518853.54 AMERICAN HOME MORTGAGE ASSETS 2046-07-25 2046-07-25 1.191 - 1.191 Other Instrument GOVERNMENT AGENCY 40000.00 10228.08 First Tier Security 2012-03-26 2012-03-26 N N N 99000000.00 99000000.00 0.0016 Y 99000000.00 99000000.00 Merrill Lynch, Pierce, Fenner & Smith Merrill Lynch, Pierce, Fenner & Smith, 0.58% 43A9946J6 0000728612 Other Repurchase Agreement N 101-500 2016-02-28 2047-07-20 0 - 112.627 Other Instrument MORTGAGE 3664906935.00 519488369.45 First Tier Security 2011-12-01 2011-12-01 N N N 481000000.00 481000000.00 0.0079 N 481000000.00 481000000.00 RBS Securities, Inc. RBS Securities, Inc., 0.53% 35J99R2T4 0000808379 Other Repurchase Agreement N 101-500 2012-09-01 2050-03-20 0 - 12.625 Other Instrument MORTGAGE 1257160187.00 476280740.70 First Tier Security 2011-12-07 2011-12-07 N N N 441000000.00 441000000.00 0.0073 N 441000000.00 441000000.00 Royal Bank of Scotland PLC Royal Bank of Scotland PLC, 0.53% 40Q995FB9 Other Repurchase Agreement N AH MTG SERVICER ADVANCE 2013-05-10 2013-05-10 5.92 - 5.92 Other Instrument ASSET BACKED 13185000.00 13409656.87 THE REPUBLIC OF ARGENTINA 2033-12-31 2033-12-31 8.28 - 8.28 Other Instrument CORPORATE 53000.00 51345.31 AVENUE CLO V, LTD. 2019-04-25 2019-04-25 1.218 - 1.218 Other Instrument ASSET BACKED 6970000.00 4485889.42 BANCO BRADESCO SA 2015-03-23 2015-03-23 4.1 - 4.1 Other Instrument CORPORATE 12350000.00 12567737.63 BANC OF AMERICA COMMERCIAL MOR 2042-07-10 2045-10-10 0.184 - 0.458 Other Instrument ASSET BACKED 29165000.00 92643.80 BANC OF AMERICA COMMERCIAL MOR 2045-10-10 2045-10-10 0.621 - 0.621 Other Instrument ASSET BACKED 9905000.00 52541.03 BANC OF AMERICA COMMERCIAL MOR 2047-09-10 2047-09-10 0.78 - 0.78 Other Instrument ASSET BACKED 6365000.00 45116.66 BANC OF AMERICA COMMERCIAL MOR 2051-02-10 2051-02-10 0.102 - 0.102 Other Instrument ASSET BACKED 1055000000.00 3049777.68 BEAR STEARNS COMMERCIAL MORTGA 2019-05-15 2031-02-14 0.846 - 0.86 Other Instrument ASSET BACKED 490952380.00 1153458.18 BEAR STEARNS COMMERCIAL MORTGA 2044-02-11 2044-02-11 0.126 - 0.126 Other Instrument ASSET BACKED 1445104970.00 11376308.25 BEAR STEARNS COMMERCIAL MORTGA 2045-01-12 2045-01-12 0.274 - 0.274 Other Instrument ASSET BACKED 15300000.00 44947.46 BLACK DIAMOND CLO 2006-1 (LUXE 2019-04-29 2019-04-29 1.118 - 1.118 Other Instrument ASSET BACKED 7000000.00 4413500.13 BRENTWOOD CLO, LTD. 2022-02-01 2022-02-01 1.286 - 1.286 Other Instrument ASSET BACKED 14750000.00 6963575.95 BUSINESS LOAN CENTER, INC. 2033-06-27 2033-06-27 1.057 - 1.057 Other Instrument ASSET BACKED 343000.00 18301.44 BUSINESS LOAN EXPRESS 2038-09-25 2038-09-25 0.807 - 0.807 Other Instrument ASSET BACKED 7250000.00 290456.38 COUNTRYWIDE HOME LOAN TRUST 2035-02-25 2035-02-25 5.113 - 5.113 Other Instrument ASSET BACKED 8100000.00 5644713.38 CSFB MORTGAGE-BACKED PASS-THRO 2036-12-15 2036-12-15 1.035 - 1.035 Other Instrument ASSET BACKED 169269490.00 1689244.18 EMC MORTGAGE LOAN TRUST 2001-A 2042-04-25 2042-04-25 0.727 - 0.727 Other Instrument ASSET BACKED 85519000.00 18615612.15 FREEPORT LOAN TRUST 2006-1 2020-10-20 2020-10-20 2.059 - 2.059 Other Instrument ASSET BACKED 21250000.00 8500000.13 GE CAPITAL COMMERCIAL MORTGAGE 2033-05-15 2033-05-15 1.462 - 1.462 Other Instrument ASSET BACKED 548916742.00 530227.58 GSAMP TRUST 2005-HE2-N 2035-06-25 2035-06-25 0.927 - 0.927 Other Instrument ASSET BACKED 6000000.00 4175097.58 GRAYSON CLO, LTD./GRAYSON CLO 2021-11-01 2021-11-01 1.129 - 1.129 Other Instrument ASSET BACKED 10000000.00 5400000.21 K. HOVNANIAN ENTERPRISES, INC. 2016-10-15 2016-10-15 10.625 - 10.625 Other Instrument CORPORATE 28664000.00 23229285.36 ICE I: EM CLO LTD. 2022-08-15 2022-08-15 1.302 - 1.302 Other Instrument ASSET BACKED 23000000.00 14030000.33 LB-UBS COMMERCIAL MORTGAGE TRU 2041-02-15 2041-02-15 0.516 - 0.516 Other Instrument ASSET BACKED 26670000.00 73509.26 LONG GROVE CLO LTD. 2016-05-25 2016-05-25 1.457 - 1.457 Other Instrument ASSET BACKED 15500000.00 13020691.57 MAPS CLO FUND II LTD/LLC 2022-07-20 2022-07-20 0.649 - 1.309 Other Instrument ASSET BACKED 26000000.00 20099999.55 MMCAPS FUNDING XIX, LTD. / 2038-01-12 2038-01-12 N/A Other Instrument CORPORATE 1000000.00 537953.26 MASTR SPECIALIZED LOAN TRUST 2 2036-01-25 2036-01-25 0.557 - 0.557 Other Instrument ASSET BACKED 53375000.00 5950056.38 MERRIL LYNCH MORTGAGE TRUST 2042-09-12 2042-09-12 0.403 - 0.403 Other Instrument ASSET BACKED 2605000.00 4594.63 MORGAN STANLEY CAPITAL I INC. 2042-01-14 2042-01-14 0.346 - 0.346 Other Instrument ASSET BACKED 7750000.00 13149.07 MORGAN STANLEY DEAN WITTER CAP 2039-01-15 2039-01-15 1.287 - 1.287 Other Instrument ASSET BACKED 484724715.00 1101138.05 REGIONAL DIVERSIFIED FUNDING 2 2036-01-25 2036-01-25 0.774 - 0.774 Other Instrument CORPORATE 1248550.00 118661.54 RIVERVIEW MORTGAGE LOAN TRUST 2007-3 2047-09-25 2047-09-25 1.17 - 1.17 Other Instrument ASSET BACKED 45000000.00 10831394.34 WACHOVIA BANK COMMERCIAL MORTG 2043-12-15 2043-12-15 0.632 - 0.632 Other Instrument ASSET BACKED 13370000.00 102738.22 WEYERHAEUSER COMPANY 2025-01-15 2025-01-15 8.5 - 8.5 Other Instrument CORPORATE 8500000.00 9934588.19 YELLOW ROADWAY CORPORATION 2015-03-31 2015-03-31 10 - 10 Other Instrument CORPORATE 4980374.00 3015848.09 BANCO BRADESCO S.A. 2013-04-22 2013-04-22 3.125 - 3.125 Other Instrument CORPORATE 3000000.00 3030145.88 GTL TRADE FINANCE 2017-10-20 2017-10-20 7.25 - 7.25 Other Instrument CORPORATE 4416000.00 4796450.20 BOLIVARIAN REPUBLIC OF VENEZUE 2024-10-13 2038-03-31 7 - 8.25 Other Instrument CORPORATE 9325000.00 5521636.05 MKP CBO III 2004-2 PP TRUST 2012-05-16 2012-05-16 N/A Other Instrument ASSET BACKED 5000000.00 4814536.57 First Tier Security 2011-12-07 2011-12-07 N N N 210000000.00 210000000.00 0.0035 N 210000000.00 210000000.00 UBS Securities LLC UBS Securities LLC, 0.51% 23M99STY4 0000230611 Other Repurchase Agreement N TRANSOCEAN INC FORMERLY TRANSOCEAN SEDCO FOREX I 2037-12-15 2037-12-15 1.5 - 1.5 Other Instrument EQUITY 20729000.00 20690133.12 HEALTH MGMT ASSOC INC NEW 2028-05-01 2028-05-01 3.75 - 3.75 Other Instrument EQUITY 14780000.00 15711447.92 BIOMARIN PHARMACEUTICAL INC 2017-04-23 2017-04-23 1.875 - 1.875 Other Instrument EQUITY 22398000.00 38651715.32 First Tier Security 2011-12-07 2011-12-07 Y UBS SECS LLC (NON GOV REPO) N/A N/A N N 70000000.00 70000000.00 0.0012 N 70000000.00 70000000.00 UBS Securities LLC UBS Securities LLC, 0.52% 23M99SUA4 0000230611 Other Repurchase Agreement N RADIO ONE INC 2016-05-24 2016-05-24 N/A Other Instrument CORPORATE 10898020.00 9565282.96 NATIONAL CITY BK CLEVELAND OHIO MEDIUM TERM SUB 2017-06-07 2017-06-07 0.7 - 0.7 Other Instrument CORPORATE 10484711.00 9628661.32 SPRINT CAP CORP 2028-11-15 2028-11-15 6.875 - 6.875 Other Instrument CORPORATE 30493000.00 21127519.74 HARRAHS OPER INC 2016-02-01 2016-02-01 10.75 - 10.75 Other Instrument CORPORATE 29700000.00 19914881.32 First Tier Security 2011-12-07 2011-12-07 Y UBS SECS LLC (NON GOV REPO) N/A N/A N N 56000000.00 56000000.00 0.0009 N 56000000.00 56000000.00 UBS Securities LLC UBS Securities LLC, 0.60% 23M99SUF3 0000230611 Other Repurchase Agreement N PETROHAWK ENERGY CORP 2018-08-15 2018-08-15 7.25 - 7.25 Other Instrument CORPORATE 28851879.00 32924201.46 TRANSOCEAN INC FORMERLY TRANSOCEAN SEDCO FOREX I 2037-12-15 2037-12-15 1.5 - 1.5 Other Instrument EQUITY 17471000.00 17438241.87 COLLEGE LN CORP TR I 2047-11-01 2047-11-01 N/A Other Instrument CORPORATE 1634380.00 1064831.26 TIME WARNER CABLE INC 2013-07-01 2013-07-01 6.2 - 6.2 Other Instrument CORPORATE 5750495.00 6331933.94 First Tier Security 2011-12-07 2011-12-07 Y UBS SECS LLC (NON GOV REPO) N/A N/A N N 55000000.00 55000000.00 0.0009 N 55000000.00 55000000.00 UBS Securities LLC UBS Securities LLC, 0.60% 23M99SUG1 0000230611 Other Repurchase Agreement N ALLIANCE ONE INTL INC 2016-07-15 2016-07-15 10 - 10 Other Instrument CORPORATE 19968000.00 18270720.03 BRUNSWICK CORP 2013-08-15 2013-08-15 9.75 - 9.75 Other Instrument CORPORATE 13750000.00 16146223.97 NATIONAL CITY BK CLEVELAND OHIO MEDIUM TERM SUB 2017-06-07 2017-06-07 0.7 - 0.7 Other Instrument CORPORATE 4650583.00 4270874.86 SYNOVUS FINL CORP 2017-06-15 2017-06-15 5.125 - 5.125 Other Instrument CORPORATE 20700000.00 17718984.41 CLEAR CHANNEL COMMUNICATIONS INC 2016-08-01 2016-08-01 10.75 - 10.75 Other Instrument CORPORATE 27778000.00 18001108.58 First Tier Security 2011-12-07 2011-12-07 Y UBS SECS LLC (NON GOV REPO) N/A N/A N N 69000000.00 69000000.00 0.0011 N 69000000.00 69000000.00 UBS Securities LLC UBS Securities LLC, 0.70% 23M99SUD8 0000230611 Other Repurchase Agreement N GE EQUIP CORPORATE AIRCRAFT TR 2019-08-26 2019-08-26 N/A Other Instrument ASSET BACKED 5000000.00 3512996.40 GSAA HOME EQUITY TRUST 2035-09-25 2035-09-25 4.999 - 4.999 Other Instrument MORTGAGE 7000000.00 3560369.14 JP MORGAN MORTGAGE TRUST 2034-06-25 2034-06-25 2.175 - 2.175 Other Instrument MORTGAGE 16913000.00 3314185.95 LATITUDE CLO 2017-12-15 2017-12-15 1.247 - 1.247 Other Instrument ASSET BACKED 5000000.00 3393939.58 MOUNTAIN CAPITAL CLO 2018-03-15 2018-03-15 0.747 - 0.747 Other Instrument ASSET BACKED 4000000.00 3347480.00 NAVISTAR FINANCIAL DEALER NOTE TRUST 2015-10-26 2015-10-26 6.245 - 6.245 Other Instrument ASSET BACKED 3200000.00 3325043.39 OPTION ONE MORTGAGE LOAN 2035-08-25 2035-08-25 0.607 - 0.607 Other Instrument ASSET BACKED 9975000.00 3436530.05 OWS CLO 2015-12-22 2015-12-22 1.381 - 1.381 Other Instrument ASSET BACKED 4000000.00 3301640.00 SLM PRIVATE CREDIT STUDENT LOAN TRUST 2024-03-15 2024-03-15 0.677 - 0.677 Other Instrument ASSET BACKED 2961922.00 2202850.62 SILVERADO CLO 2020-04-11 2020-04-11 0.805 - 0.805 Other Instrument ASSET BACKED 2421863.00 1930249.03 STRUCTURED ASSET INVESTMENT LOAN TRUST 2034-03-25 2035-04-25 0.637 - 0.962 Other Instrument ASSET BACKED,MORTGAGE 9270506.00 6376195.34 TERWIN MORTGAGE TRUST 2034-11-25 2034-11-25 1.197 - 1.197 Other Instrument ASSET BACKED 63430000.00 2809167.42 WACHOVIA BANK COMMERCIAL MORTGAGE TRUST 2047-04-15 2047-04-15 0.242 - 0.242 Other Instrument MORTGAGE 294679330.00 3208450.73 VENTURE VI CDO LTD. 2020-08-03 2020-08-03 N/A Other Instrument ASSET BACKED 6000000.00 2813934.00 GCCFC COMMERCIAL PASS-THROUGH CERTIFICATES 2042-08-10 2042-08-10 4.894 - 4.894 Other Instrument MORTGAGE 3687000.00 3177688.88 DBUBS 2011-LC3 MTG TR 2044-05-10 2044-05-10 N/A Other Instrument MORTGAGE 102237646.00 3135278.46 CREDIT SUISSE COMMERCIAL MORTGAGE TRUST 2020-05-15 2020-05-15 N/A Other Instrument MORTGAGE 158600000.00 3164545.80 CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2037-01-15 2037-01-15 5.015 - 5.015 Other Instrument MORTGAGE 3000000.00 2658036.00 COMM 2034-07-16 2034-07-16 6.586 - 6.586 Other Instrument MORTGAGE 3277010.00 3569120.12 CITIFINANCIAL MORTGAGE SECURITIES 2033-10-25 2033-10-25 4.493 - 4.493 Other Instrument ASSET BACKED 5705000.00 2942203.96 CD COMMERCIAL MORTGAGE TRUST COMMERCIAL PASS-THROUGH CERTIFI 2048-10-17 2048-10-17 5.617 - 5.617 Other Instrument MORTGAGE 3240000.00 3479913.63 COUNTRYWIDE HOME EQUITY LOAN TRUST 2035-05-25 2035-05-25 0.667 - 0.667 Other Instrument ASSET BACKED 9500000.00 2929300.01 CD COMMERCIAL MORTGAGE TRUST COMMERCIAL PASS-THROUGH CERTIFI 2046-01-15 2046-01-15 5.344 - 5.344 Other Instrument MORTGAGE 2792000.00 2984075.64 First Tier Security 2012-01-13 2012-01-13 N N N 71000000.00 71000000.00 0.0012 Y 71000000.00 71000000.00