0000356173-14-000049.txt : 20140530 0000356173-14-000049.hdr.sgml : 20140530 20140407102818 ACCESSION NUMBER: 0000356173-14-000049 CONFORMED SUBMISSION TYPE: N-MFP PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20140331 FILED AS OF DATE: 20140407 DATE AS OF CHANGE: 20140407 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Fidelity Colchester Street Trust CENTRAL INDEX KEY: 0000356173 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 0331 FILING VALUES: FORM TYPE: N-MFP SEC ACT: 1933 Act SEC FILE NUMBER: 811-03320 FILM NUMBER: 14747652 BUSINESS ADDRESS: STREET 1: 245 SUMMER STREET CITY: BOSTON STATE: MA ZIP: 02210 BUSINESS PHONE: 617-563-7000 MAIL ADDRESS: STREET 1: 245 SUMMER STREET CITY: BOSTON STATE: MA ZIP: 02210 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 S000004821 Prime Money Market Portfolio C000013040 Class I FIDXX C000013083 Class II FDOXX C000013084 Class III FCDXX C000013085 Select Class FDIXX C000056569 Class IV FDVXX C000056570 Institutional Class FIPXX N-MFP 1 primary_doc.xml N-MFP N-MFP LIVE N 2014-03-31 0000356173 S000004821 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 56 92 37186493591.22 2012659831.45 835058365.76 38364095056.91 0.0020 1.0004 2014-03-31 1.0004 2014-03-31 C000013040 1000000.00 7809892126.27 1.00 -1157395294.96 3625897168.97 4783292463.93 0.0001 1.0004 2014-03-31 1.0004 2014-03-31 C000013084 1000000.00 1966687850.90 1.00 -127732226.20 410991213.70 538723439.90 0.0001 1.0002 2014-03-31 1.0002 2014-03-31 C000013083 1000000.00 419279132.51 1.00 -16663352.10 153309251.69 169972603.79 0.0001 1.0005 2014-03-31 1.0005 2014-03-31 C000013085 1000000.00 1172844907.14 1.00 -300217940.15 347586921.98 647804862.13 0.0001 1.0004 2014-03-31 1.0004 2014-03-31 C000056570 10000000.00 26895076637.08 1.00 2146973021.99 36986843577.03 34839870555.04 0.0006 1.0004 2014-03-31 1.0004 2014-03-31 C000056569 1000000.00 100314403.01 1.00 20013352.29 35687802.61 15674450.32 0.0001 1.0004 2014-03-31 1.0004 2014-03-31 Bank of Montreal Chicago CD Program Bank of Montreal Chicago CD Program, 0.08% 06366BLX6 Certificate of Deposit First Tier Security 2014-04-01 2014-04-01 N N N 256000000.00 256000000.00 0.0067 N 255999923.20 255999923.20 Bank of Montreal Chicago CD Program Bank of Montreal Chicago CD Program, 0.18% 06366BHX1 Certificate of Deposit First Tier Security 2014-06-10 2014-06-10 N N N 500000000.00 500000000.00 0.0130 N 500039400.00 500039400.00 Bank of Montreal Chicago CD Program Bank of Montreal Chicago CD Program, 0.21% 06366LDW5 Certificate of Deposit First Tier Security 2014-04-17 2014-12-12 N N N 352000000.00 352000000.00 0.0092 N 352013376.00 352013376.00 Bank of Nova Scotia Bank of Nova Scotia, 0.20% 06417HGC4 Certificate of Deposit First Tier Security 2014-07-07 2014-07-07 N N N 135000000.00 135000000.00 0.0035 N 135007330.50 135007330.50 Bank of Nova Scotia Bank of Nova Scotia, 0.20% 06417HGN0 Certificate of Deposit First Tier Security 2014-07-14 2014-07-14 N N N 70000000.00 70000000.00 0.0018 N 70004074.00 70004074.00 Bank of Nova Scotia Bank of Nova Scotia, 0.22% 06417HEN2 Certificate of Deposit First Tier Security 2014-04-03 2014-11-28 N N N 141000000.00 141000000.00 0.0037 N 141079665.00 141079665.00 Bank of Nova Scotia Bank of Nova Scotia, 0.22% 06417HDY9 Certificate of Deposit First Tier Security 2014-04-24 2014-12-19 N N N 275000000.00 275000000.00 0.0072 N 275238425.00 275238425.00 Bank of Nova Scotia Bank of Nova Scotia, 0.22% 06417HHT6 Certificate of Deposit First Tier Security 2014-04-30 2015-03-31 N N N 151000000.00 151000000.00 0.0039 N 150969951.00 150969951.00 Bank of Nova Scotia Bank of Nova Scotia, 0.27% 06417HCY0 Certificate of Deposit First Tier Security 2014-10-03 2014-10-03 N N N 365000000.00 365000000.00 0.0095 N 365056210.00 365056210.00 Bank of Nova Scotia Bank of Nova Scotia, 0.30% 06417E5W9 Certificate of Deposit First Tier Security 2014-04-11 2014-09-08 N N N 176000000.00 176000000.00 0.0046 N 176027808.00 176027808.00 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.25% 06538GSB9 Certificate of Deposit First Tier Security 2014-04-10 2014-04-10 N N N 155000000.00 155000000.00 0.0040 N 155003224.00 155003224.00 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.25% 06538GVF6 Certificate of Deposit First Tier Security 2014-05-08 2014-05-08 N N N 157000000.00 157000000.00 0.0041 N 157009922.40 157009922.40 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.25% 06538GVK5 Certificate of Deposit First Tier Security 2014-05-13 2014-05-13 N N N 485000000.00 485000000.00 0.0126 N 485034677.50 485034677.50 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.25% 06538GZU9 Certificate of Deposit First Tier Security 2014-05-28 2014-05-28 N N N 358000000.00 358000000.00 0.0093 N 358034547.00 358034547.00 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.25% 06538GA69 Certificate of Deposit First Tier Security 2014-05-30 2014-05-30 N N N 428000000.00 428000000.00 0.0112 N 428042714.40 428042714.40 Bank of Tokyo-Mitsubishi UFJ Ltd. Bank of Tokyo-Mitsubishi UFJ Ltd., 0.25% 06538GB76 Certificate of Deposit First Tier Security 2014-06-03 2014-06-03 N N N 241000000.00 241000000.00 0.0063 N 241017086.90 241017086.90 BNP Paribas New York Branch BNP Paribas New York Branch, 0.25% 05574RDE2 Certificate of Deposit First Tier Security 2014-07-31 2014-07-31 N N N 362000000.00 362000000.00 0.0094 N 362000000.00 362000000.00 Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce, 0.25% 13606YZK5 Certificate of Deposit First Tier Security 2014-04-16 2014-12-12 N N N 509000000.00 509000000.00 0.0133 N 509026468.00 509026468.00 Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce, 0.27% 13606YPQ3 Certificate of Deposit First Tier Security 2014-04-03 2014-08-29 N N N 193000000.00 193000000.00 0.0050 N 193000000.00 193000000.00 Canadian Imperial Bank of Commerce Canadian Imperial Bank of Commerce, 0.28% 13606YRX6 Certificate of Deposit First Tier Security 2014-04-07 2014-09-02 N N N 193000000.00 193000000.00 0.0050 N 193023353.00 193023353.00 Credit Agricole CIB Credit Agricole CIB, 0.26% 22533MAL5 Certificate of Deposit First Tier Security 2014-06-03 2014-06-03 N N N 268000000.00 268000000.00 0.0070 N 268014257.60 268014257.60 Credit Agricole CIB Credit Agricole CIB, 0.26% 22533MCR0 Certificate of Deposit First Tier Security 2014-07-02 2014-07-02 N N N 425000000.00 425000000.00 0.0111 N 425000000.00 425000000.00 Credit Suisse AG Credit Suisse AG, 0.30% 22549TPL6 Certificate of Deposit First Tier Security 2014-04-09 2014-07-09 N N N 454000000.00 454000000.00 0.0118 N 454086260.00 454086260.00 Credit Suisse AG Credit Suisse AG, 0.30% 22549TLT3 Certificate of Deposit First Tier Security 2014-04-09 2014-06-09 N N N 74000000.00 74000000.00 0.0019 N 74012432.00 74012432.00 Credit Suisse AG Credit Suisse AG, 0.31% 22549TLL0 Certificate of Deposit First Tier Security 2014-04-07 2014-06-06 N N N 222000000.00 222000000.00 0.0058 N 222035298.00 222035298.00 Credit Suisse AG Credit Suisse AG, 0.31% 22549TRX8 Certificate of Deposit First Tier Security 2014-08-11 2014-08-11 N N N 144000000.00 144000000.00 0.0038 N 144031809.60 144031809.60 Credit Suisse AG Credit Suisse AG, 0.31% 22549TUP1 Certificate of Deposit First Tier Security 2014-09-08 2014-09-08 N N N 75000000.00 75000000.00 0.0020 N 75010005.00 75010005.00 Deutsche Bank Deutsche Bank, 0.23% 25152XRV4 Certificate of Deposit First Tier Security 2014-05-29 2014-05-29 N N N 351000000.00 351000000.00 0.0091 N 351000000.00 351000000.00 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.25% 60688LLX2 Certificate of Deposit First Tier Security 2014-04-17 2014-04-17 N N N 149000000.00 149000000.00 0.0039 N 149004917.00 149004917.00 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.25% 60688LPC4 Certificate of Deposit First Tier Security 2014-06-06 2014-06-06 N N N 141000000.00 141000000.00 0.0037 N 141010476.30 141010476.30 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.25% 60688LPD2 Certificate of Deposit First Tier Security 2014-06-09 2014-06-09 N N N 144000000.00 144000000.00 0.0038 N 144011174.40 144011174.40 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.25% 60688LPS9 Certificate of Deposit First Tier Security 2014-06-13 2014-06-13 N N N 141000000.00 141000000.00 0.0037 N 141011562.00 141011562.00 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.25% 60688LPY6 Certificate of Deposit First Tier Security 2014-06-27 2014-06-27 N N N 134000000.00 134000000.00 0.0035 N 134013078.40 134013078.40 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.25% 60688LQL3 Certificate of Deposit First Tier Security 2014-07-11 2014-07-11 N N N 141000000.00 141000000.00 0.0037 N 141007966.50 141007966.50 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.25% 60688LQM1 Certificate of Deposit First Tier Security 2014-07-14 2014-07-14 N N N 142000000.00 142000000.00 0.0037 N 142008264.40 142008264.40 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.25% 60688LQR0 Certificate of Deposit First Tier Security 2014-07-15 2014-07-15 N N N 141000000.00 141000000.00 0.0037 N 141008290.80 141008290.80 Nordea Bank AB Nordea Bank AB, 0.20% 65558EVV7 Certificate of Deposit First Tier Security 2014-04-14 2014-04-14 N N N 415000000.00 415000000.00 0.0108 N 415016143.50 415016143.50 Oversea-Chinese Banking New York Branch Oversea-Chinese Banking New York Branch, 0.21% 69033PYD6 Certificate of Deposit First Tier Security 2014-07-25 2014-07-25 N N N 300000000.00 300000000.00 0.0078 N 300019320.00 300019320.00 Royal Bank of Canada Royal Bank of Canada, 0.20% 78009NNZ5 Certificate of Deposit First Tier Security 2014-04-03 2014-06-03 N N N 158000000.00 158000000.00 0.0041 N 158013114.00 158013114.00 Royal Bank of Canada Royal Bank of Canada, 0.24% 78009NNU6 Certificate of Deposit First Tier Security 2014-04-15 2014-04-15 N N N 90000000.00 90000000.00 0.0023 N 90003870.00 90003870.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.22% 86562JAE7 Certificate of Deposit First Tier Security 2014-04-22 2014-06-19 N N N 88000000.00 88000000.00 0.0023 N 88001936.00 88001936.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.24% 86562UHF2 Certificate of Deposit First Tier Security 2014-04-24 2014-04-24 N N N 146000000.00 146000000.00 0.0038 N 146005825.40 146005825.40 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.24% 86562UJD5 Certificate of Deposit First Tier Security 2014-05-01 2014-05-01 N N N 71000000.00 71000000.00 0.0019 N 71003045.90 71003045.90 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.24% 86562UJB9 Certificate of Deposit First Tier Security 2014-05-02 2014-05-02 N N N 120000000.00 120000000.00 0.0031 N 120005316.00 120005316.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.24% 86562UKY7 Certificate of Deposit First Tier Security 2014-05-12 2014-05-12 N N N 97000000.00 97000000.00 0.0025 N 97005645.40 97005645.40 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.24% 86562ULG5 Certificate of Deposit First Tier Security 2014-05-13 2014-05-13 N N N 200000000.00 200000000.00 0.0052 N 200011920.00 200011920.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.24% 86562UPQ9 Certificate of Deposit First Tier Security 2014-05-28 2014-05-28 N N N 99000000.00 99000000.00 0.0026 N 99007959.60 99007959.60 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.24% 86562URW4 Certificate of Deposit First Tier Security 2014-06-10 2014-06-10 N N N 74000000.00 74000000.00 0.0019 N 74001450.40 74001450.40 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.24% 86562UWZ1 Certificate of Deposit First Tier Security 2014-07-07 2014-07-07 N N N 127000000.00 127000000.00 0.0033 N 126999987.30 126999987.30 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.24% 86562UXU1 Certificate of Deposit First Tier Security 2014-07-14 2014-07-14 N N N 145000000.00 145000000.00 0.0038 N 144999985.50 144999985.50 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.24% 86562UZL9 Certificate of Deposit First Tier Security 2014-07-21 2014-07-21 N N N 204000000.00 204000000.00 0.0053 N 203999979.60 203999979.60 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.24% 86562UZX3 Certificate of Deposit First Tier Security 2014-07-22 2014-07-22 N N N 40000000.00 40000000.00 0.0010 N 39999996.00 39999996.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.24% 86562UZZ8 Certificate of Deposit First Tier Security 2014-07-24 2014-07-24 N N N 112000000.00 112000000.00 0.0029 N 112000000.00 112000000.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.24% 86562UA77 Certificate of Deposit First Tier Security 2014-07-25 2014-07-25 N N N 52000000.00 52000000.00 0.0014 N 52000000.00 52000000.00 Sumitomo Mitsui Banking Corp. Sumitomo Mitsui Banking Corp., 0.32% 86562JAD9 Certificate of Deposit First Tier Security 2014-04-15 2014-09-15 N N N 373000000.00 373000000.00 0.0097 N 373021261.00 373021261.00 Sumitomo Mitsui Trust Banking Ltd. Sumitomo Mitsui Trust Banking Ltd., 0.26% 86563KKF9 Certificate of Deposit First Tier Security 2014-07-11 2014-07-11 N N N 134000000.00 134000000.00 0.0035 N 134007571.00 134007571.00 Sumitomo Mitsui Trust Banking Ltd. Sumitomo Mitsui Trust Banking Ltd., 0.26% 86563KKG7 Certificate of Deposit First Tier Security 2014-07-14 2014-07-14 N N N 132000000.00 132000000.00 0.0034 N 132007669.20 132007669.20 Sumitomo Mitsui Trust Banking Ltd. Sumitomo Mitsui Trust Banking Ltd., 0.26% 86563KKQ5 Certificate of Deposit First Tier Security 2014-07-23 2014-07-23 N N N 208000000.00 208000000.00 0.0054 N 208013145.60 208013145.60 Sumitomo Mitsui Trust Banking Ltd. Sumitomo Mitsui Trust Banking Ltd., 0.27% 86563KJQ7 Certificate of Deposit First Tier Security 2014-06-23 2014-06-23 N N N 119000000.00 119000000.00 0.0031 N 119009686.60 119009686.60 Toronto-Dominion Bank Toronto-Dominion Bank, 0.14% 89112T2F0 Certificate of Deposit First Tier Security 2014-05-07 2014-05-07 N N N 65000000.00 65000000.00 0.0017 N 65000669.50 65000669.50 Toronto-Dominion Bank Toronto-Dominion Bank, 0.21% 89112TMJ0 Certificate of Deposit First Tier Security 2014-04-08 2014-04-08 N N N 231000000.00 231000000.00 0.0060 N 231007184.10 231007184.10 Toronto-Dominion Bank Toronto-Dominion Bank, 0.25% 89112TUW2 Certificate of Deposit First Tier Security 2014-09-10 2014-09-10 N N N 146000000.00 146000000.00 0.0038 N 146049450.20 146049450.20 Toronto-Dominion Bank Toronto-Dominion Bank, 0.25% 89112TZA5 Certificate of Deposit First Tier Security 2014-10-10 2014-10-10 N N N 37000000.00 37000000.00 0.0010 N 37013852.80 37013852.80 UBS AG UBS AG, 0.28% 90267RVB2 Certificate of Deposit First Tier Security 2014-04-11 2014-07-11 N N N 225000000.00 225000000.00 0.0059 N 225000900.00 225000900.00 Citibank NA Citibank NA, 0.21% 17304UPZ7 Certificate of Deposit First Tier Security 2014-06-23 2014-06-23 N N N 280000000.00 280000000.00 0.0073 N 280052220.00 280052220.00 Citibank NA Citibank NA, 0.24% 17304UPT1 Certificate of Deposit First Tier Security 2014-05-20 2014-05-20 N N N 131000000.00 131000000.00 0.0034 N 131027274.20 131027274.20 Wells Fargo Bank NA Wells Fargo Bank NA, 0.21% 9497P65P9 Certificate of Deposit First Tier Security 2014-04-07 2014-12-05 N N N 235000000.00 235000000.00 0.0061 N 234968510.00 234968510.00 BNP Paribas SA BNP Paribas SA, 0.25% 42S99D6W0 0000872786 Certificate of Deposit First Tier Security 2014-06-13 2014-06-13 N N N 28000000.00 28000000.00 0.0007 N 28001724.80 28001724.80 Credit Agricole SA Credit Agricole SA, 0.26% 22999KPS5 0001191672 Certificate of Deposit First Tier Security 2014-06-02 2014-06-02 N N N 133000000.00 133000000.00 0.0035 N 133006969.20 133006969.20 Mizuho Corporate Bank Ltd. Mizuho Corporate Bank Ltd., 0.25% XS1029717102 Certificate of Deposit First Tier Security 2014-05-06 2014-05-06 N N N 71000000.00 71000344.93 0.0019 N 71004962.90 71004962.90 National Australia Bank Ltd. National Australia Bank Ltd., 0.18% XS0980217011 0000833029 Certificate of Deposit First Tier Security 2014-04-08 2014-04-08 N N N 154000000.00 154000000.00 0.0040 N 154001540.00 154001540.00 U.S. Treasury Bills U.S. Treasury Bills, 0.10% 912796CM9 Treasury Debt First Tier Security 2014-05-15 2014-05-15 N N N 500000000.00 499941944.40 0.0130 N 499986500.00 499986500.00 U.S. Treasury Bills U.S. Treasury Bills, 0.10% 912796CZ0 Treasury Debt First Tier Security 2014-05-22 2014-05-22 N N N 250000000.00 249964583.30 0.0065 N 249993000.00 249993000.00 U.S. Treasury Bills U.S. Treasury Bills, 0.10% 912796BJ7 Treasury Debt First Tier Security 2014-05-29 2014-05-29 N N N 163000000.00 162973738.88 0.0042 N 162995436.00 162995436.00 U.S. Treasury Bills U.S. Treasury Bills, 0.11% 912796CJ6 Treasury Debt First Tier Security 2014-04-24 2014-04-24 N N N 450000000.00 449969812.47 0.0117 N 449991450.00 449991450.00 U.S. Treasury Bills U.S. Treasury Bills, 0.11% 912796DQ9 Treasury Debt First Tier Security 2014-08-14 2014-08-14 N N N 574950000.00 574712833.13 0.0150 N 574820636.25 574820636.25 U.S. Treasury Bills U.S. Treasury Bills, 0.12% to 0.13% 912796DP1 Treasury Debt First Tier Security 2015-03-05 2015-03-05 N N N 160000000.00 159814452.19 0.0042 N 159823520.00 159823520.00 U.S. Treasury Notes U.S. Treasury Notes, 0.08% to 0.13% 912828QM5 Treasury Debt First Tier Security 2014-05-15 2014-05-15 N N N 279000000.00 279305626.17 0.0073 N 279316107.00 279316107.00 U.S. Treasury Notes U.S. Treasury Notes, 0.08% 912828KV1 Treasury Debt First Tier Security 2014-05-31 2014-05-31 N N N 1725000000.00 1731174376.87 0.0451 N 1731199650.00 1731199650.00 U.S. Treasury Notes U.S. Treasury Notes, 0.09% to 0.11% 912828TL4 Treasury Debt First Tier Security 2014-08-31 2014-08-31 N N N 725000000.00 725463630.77 0.0189 N 725509675.00 725509675.00 U.S. Treasury Notes U.S. Treasury Notes, 0.10% to 0.11% 912828QC7 Treasury Debt First Tier Security 2014-04-15 2014-04-15 N N N 647000000.00 647285435.50 0.0169 N 647252977.00 647252977.00 U.S. Treasury Notes U.S. Treasury Notes, 0.10% to 0.11% 912828SR2 Treasury Debt First Tier Security 2014-04-30 2014-04-30 N N N 218000000.00 218025013.01 0.0057 N 218025506.00 218025506.00 U.S. Treasury Notes U.S. Treasury Notes, 0.10% 912828SW1 Treasury Debt First Tier Security 2014-05-31 2014-05-31 N N N 133960000.00 133992277.16 0.0035 N 134001795.52 134001795.52 U.S. Treasury Notes U.S. Treasury Notes, 0.10% to 0.16% 912828LK4 Treasury Debt First Tier Security 2014-08-31 2014-08-31 N N N 356000000.00 359317594.54 0.0094 N 359365268.00 359365268.00 U.S. Treasury Notes U.S. Treasury Notes, 0.14% 912828LQ1 Treasury Debt First Tier Security 2014-09-30 2014-09-30 N N N 55000000.00 55610240.78 0.0014 N 55625185.00 55625185.00 U.S. Treasury Notes U.S. Treasury Notes, 0.16% 912828QS2 Treasury Debt First Tier Security 2014-06-15 2014-06-15 N N N 113000000.00 113136852.30 0.0029 N 113158878.00 113158878.00 U.S. Treasury Notes U.S. Treasury Notes, 0.16% 912828LS7 Treasury Debt First Tier Security 2014-10-31 2014-10-31 N N N 109850000.00 111264039.62 0.0029 N 111304633.70 111304633.70 U.S. Treasury Notes U.S. Treasury Notes, 0.16% 912828SK7 Treasury Debt First Tier Security 2015-03-15 2015-03-15 N N N 125000000.00 125250859.66 0.0033 N 125273500.00 125273500.00 U.S. Treasury Notes U.S. Treasury Notes, 0.17% 912828RG7 Treasury Debt First Tier Security 2014-09-15 2014-09-15 N N N 131000000.00 131046318.17 0.0034 N 131107420.00 131107420.00 U.S. Treasury Notes U.S. Treasury Notes, 0.17% 912828DC1 Treasury Debt First Tier Security 2014-11-15 2014-11-15 N N N 177000000.00 181500892.12 0.0047 N 181556334.00 181556334.00 U.S. Treasury Notes U.S. Treasury Notes, 0.09% 912828KM1 Treasury Debt First Tier Security 2014-04-15 2014-04-15 N N N 723327220.00 724991871.32 0.0189 N 724909859.91 724909859.91 Barclays U.S. Funding Corp. Barclays U.S. Funding Corp., 0.23% 06737JFR1 Financial Company Commercial Paper First Tier Security 2014-06-25 2014-06-25 N N N 142000000.00 141922886.16 0.0037 N 141933515.60 141933515.60 BNP Paribas Finance, Inc. BNP Paribas Finance, Inc., 0.25% 0556N1FQ1 Financial Company Commercial Paper First Tier Security 2014-06-24 2014-06-24 N N N 132000000.00 131923000.04 0.0034 N 131939227.20 131939227.20 General Electric Capital Corp. General Electric Capital Corp., 0.22% 36959JDW0 Financial Company Commercial Paper First Tier Security 2014-04-30 2014-04-30 N N N 73000000.00 72987062.78 0.0019 N 72997569.10 72997569.10 General Electric Capital Corp. General Electric Capital Corp., 0.22% 36959JE17 Financial Company Commercial Paper First Tier Security 2014-05-01 2014-05-01 N N N 38000000.00 37993033.33 0.0010 N 37998658.60 37998658.60 General Electric Capital Corp. General Electric Capital Corp., 0.22% 36959JE25 Financial Company Commercial Paper First Tier Security 2014-05-02 2014-05-02 N N N 38000000.00 37992801.11 0.0010 N 37998616.80 37998616.80 General Electric Capital Corp. General Electric Capital Corp., 0.22% 36959JE58 Financial Company Commercial Paper First Tier Security 2014-05-05 2014-05-05 N N N 30000000.00 29993766.67 0.0008 N 29998746.00 29998746.00 JPMorgan Securities LLC JPMorgan Securities LLC, 0.27% 46640QJ36 Financial Company Commercial Paper First Tier Security 2014-09-03 2014-09-03 N N N 148000000.00 147827950.00 0.0039 N 147821704.40 147821704.40 JPMorgan Securities LLC JPMorgan Securities LLC, 0.30% 46590EEP9 Financial Company Commercial Paper First Tier Security 2014-05-23 2014-05-23 N N N 300000000.00 299870000.04 0.0078 N 299928900.00 299928900.00 Mitsubishi UFJ Trust & Banking Corp. Mitsubishi UFJ Trust & Banking Corp., 0.24% 60682XEL6 Financial Company Commercial Paper First Tier Security 2014-05-20 2014-05-20 N N N 26000000.00 25991506.66 0.0007 N 25993367.40 25993367.40 Oversea-Chinese Banking Corp. Ltd. Oversea-Chinese Banking Corp. Ltd., 0.19% 69033RD86 Financial Company Commercial Paper First Tier Security 2014-04-08 2014-04-08 N N N 40000000.00 39998522.22 0.0010 N 39999152.00 39999152.00 Oversea-Chinese Banking Corp. Ltd. Oversea-Chinese Banking Corp. Ltd., 0.19% 69033RFB7 Financial Company Commercial Paper First Tier Security 2014-06-11 2014-06-11 N N N 150000000.00 149945270.82 0.0039 N 149944800.00 149944800.00 Skandinaviska Enskilda Banken AB Skandinaviska Enskilda Banken AB, 0.24% 83050UH19 Financial Company Commercial Paper First Tier Security 2014-08-01 2014-08-01 N N N 307000000.00 306755508.58 0.0080 N 306775521.60 306775521.60 Skandinaviska Enskilda Banken AB Skandinaviska Enskilda Banken AB, 0.24% 83050UHB7 Financial Company Commercial Paper First Tier Security 2014-08-11 2014-08-11 N N N 38000000.00 37967256.68 0.0010 N 37968083.80 37968083.80 Skandinaviska Enskilda Banken AB Skandinaviska Enskilda Banken AB, 0.24% 83050UHD3 Financial Company Commercial Paper First Tier Security 2014-08-13 2014-08-13 N N N 144000000.00 143874039.97 0.0038 N 143875800.00 143875800.00 Skandinaviska Enskilda Banken AB Skandinaviska Enskilda Banken AB, 0.24% 83050UHE1 Financial Company Commercial Paper First Tier Security 2014-08-14 2014-08-14 N N N 72000000.00 71936549.99 0.0019 N 71937079.20 71937079.20 Skandinaviska Enskilda Banken AB Skandinaviska Enskilda Banken AB, 0.24% 83050UHF8 Financial Company Commercial Paper First Tier Security 2014-08-15 2014-08-15 N N N 73000000.00 72935192.22 0.0019 N 72935365.80 72935365.80 Svenska Handelsbanken, Inc. Svenska Handelsbanken, Inc., 0.22% 86958GJN6 Financial Company Commercial Paper First Tier Security 2014-09-22 2014-09-22 N N N 213000000.00 212773509.90 0.0055 N 212765657.40 212765657.40 Svenska Handelsbanken, Inc. Svenska Handelsbanken, Inc., 0.22% 86958GJR7 Financial Company Commercial Paper First Tier Security 2014-09-25 2014-09-25 N N N 400000000.00 399567333.44 0.0104 N 399548400.00 399548400.00 Toronto Dominion Holdings (U.S.A.) Toronto Dominion Holdings (U.S.A.), 0.14% 89116FE71 Financial Company Commercial Paper First Tier Security 2014-05-07 2014-05-07 N N N 166000000.00 165976760.03 0.0043 N 165985724.00 165985724.00 Toronto Dominion Holdings (U.S.A.) Toronto Dominion Holdings (U.S.A.), 0.25% 89116FK33 Financial Company Commercial Paper First Tier Security 2014-10-03 2014-10-03 N N N 151000000.00 150806006.95 0.0039 N 150865806.30 150865806.30 Toyota Motor Credit Corp. Toyota Motor Credit Corp., 0.21% 89233ACC1 Financial Company Commercial Paper First Tier Security 2014-04-17 2014-09-11 N N N 188000000.00 188000000.00 0.0049 N 187984208.00 187984208.00 United Overseas Bank Ltd. United Overseas Bank Ltd., 0.19% 91127QFH7 Financial Company Commercial Paper First Tier Security 2014-06-17 2014-06-17 N N N 105000000.00 104957329.22 0.0027 N 104964058.50 104964058.50 United Overseas Bank Ltd. United Overseas Bank Ltd., 0.20% 91127QF53 Financial Company Commercial Paper First Tier Security 2014-06-05 2014-06-05 N N N 35000000.00 34987361.12 0.0009 N 34990630.50 34990630.50 United Overseas Bank Ltd. United Overseas Bank Ltd., 0.22% 91127QHJ1 Financial Company Commercial Paper First Tier Security 2014-08-18 2014-08-18 N N N 63500000.00 63446060.28 0.0017 N 63443205.60 63443205.60 United Overseas Bank Ltd. United Overseas Bank Ltd., 0.23% 91127QFQ7 Financial Company Commercial Paper First Tier Security 2014-06-24 2014-06-24 N N N 100000000.00 99947500.00 0.0026 N 99961040.00 99961040.00 United Overseas Bank Ltd. United Overseas Bank Ltd., 0.23% 91127QFS3 Financial Company Commercial Paper First Tier Security 2014-06-26 2014-06-26 N N N 22000000.00 21987912.23 0.0006 N 21991120.80 21991120.80 Gotham Funding Corp. Gotham Funding Corp., 0.17% 38346MDN1 Asset Backed Commercial Paper First Tier Security 2014-04-22 2014-04-22 N N Y LIQUIDITY BANK TOKYO-MITSUBISHI UFJ LTD N/A N/A 62000000.00 61993851.65 0.0016 N 61994277.40 61994277.40 BPCE SA BPCE SA, 0.25% 05571CEE7 Other Commercial Paper First Tier Security 2014-05-14 2014-05-14 N N N 229000000.00 228931618.08 0.0060 N 228952688.60 228952688.60 Fannie Mae Fannie Mae, 0.14% 3135G0PG2 Government Agency Debt First Tier Security 2014-04-11 2014-09-11 N N N 204000000.00 203982073.38 0.0053 N 204039780.00 204039780.00 Fannie Mae Fannie Mae, 0.15% 3135G0YU1 Government Agency Debt First Tier Security 2014-04-21 2015-10-21 N N N 310000000.00 309950827.86 0.0081 N 309995040.00 309995040.00 Federal Home Loan Bank Federal Home Loan Bank, 0.13% 3130A1DP0 Government Agency Debt First Tier Security 2014-06-14 2015-09-14 N N N 200000000.00 199954769.24 0.0052 N 199927000.00 199927000.00 Federal Home Loan Bank Federal Home Loan Bank, 0.25% 3130A0A91 Government Agency Debt First Tier Security 2014-10-30 2014-10-30 N N N 132000000.00 132000000.00 0.0034 N 132008316.00 132008316.00 Freddie Mac Freddie Mac, 0.14% 3134G4C97 Government Agency Debt First Tier Security 2014-04-26 2015-06-26 N N N 276000000.00 275965897.00 0.0072 N 276055200.00 276055200.00 Freddie Mac Freddie Mac, 0.15% 3134G4DT2 Government Agency Debt First Tier Security 2014-04-16 2015-07-16 N N N 237500000.00 237468952.44 0.0062 N 237540137.50 237540137.50 Freddie Mac Freddie Mac, 0.15% 3134G4DU9 Government Agency Debt First Tier Security 2014-04-17 2015-07-17 N N N 237500000.00 237468886.55 0.0062 N 237539900.00 237539900.00 Svenska Handelsbanken AB Svenska Handelsbanken AB, 0.27% 86959JDE5 Other Note First Tier Security 2014-04-15 2014-09-15 N N N 83000000.00 83000000.00 0.0022 N 82999419.00 82999419.00 Svenska Handelsbanken AB Svenska Handelsbanken AB, 0.28% 86959JCX4 Other Note First Tier Security 2014-04-28 2014-09-26 N N N 349000000.00 349000000.00 0.0091 N 348972080.00 348972080.00 Texas Gen. Oblig. Texas Gen. Oblig., 2.00% TRAN Series 2013 882723CX5 Other Municipal Debt First Tier Security 2014-08-28 2014-08-28 N N N 201100000.00 202581857.29 0.0053 N 202658525.00 202658525.00 LP Pinewood SPV LLC Taxable LP Pinewood SPV LLC Taxable, 0.15% LOC Wells Fargo Bank NA VRDN 50212RAA7 Variable Rate Demand Note First Tier Security 2014-04-07 2014-04-07 Y WELLS FARGO BK NATL ASSN N/A N/A Y WELLS FARGO BK NATL ASSN N/A N/A N 37000000.00 37000000.00 0.0010 N 37000000.00 37000000.00 District of Columbia Univ. Rev. District of Columbia Univ. Rev., 0.06% (American Univ. Proj.) Series 2006 A, LOC JPMorgan Chase Bank VRDN 25484JAH3 Variable Rate Demand Note First Tier Security 2014-04-07 2014-04-07 Y JPMORGAN CHASE BANK NA N/A N/A Y JPMORGAN CHASE BANK NA N/A N/A N 34800000.00 34800000.00 0.0009 N 34800000.00 34800000.00 Florida Timber Fin. III LLC Taxable Florida Timber Fin. III LLC Taxable, 0.15% LOC Wells Fargo Bank NA VRDN 343217AA3 Variable Rate Demand Note First Tier Security 2014-04-07 2014-04-07 Y WELLS FARGO BK NATL ASSN N/A N/A Y WELLS FARGO BK NATL ASSN N/A N/A N 25155000.00 25155000.00 0.0007 N 25155000.00 25155000.00 Indiana Dev. Fin. Auth. Solid Waste Disp. Rev. Indiana Dev. Fin. Auth. Solid Waste Disp. Rev., 0.09% (Waste Mgmt., Inc. Proj.) Series 2002 A, LOC JPMorgan Chase Bank VRDN 454906AE8 Variable Rate Demand Note First Tier Security 2014-04-07 2014-04-07 Y JPMORGAN CHASE BANK NA N/A N/A Y JPMORGAN CHASE BANK NA N/A N/A N 25000000.00 25000000.00 0.0007 N 25000000.00 25000000.00 Illinois Health Facilities Auth. Rev. Illinois Health Facilities Auth. Rev., 0.06% (Herman M. Finch Univ. of Health Sciences/The Chicago Med. School Proj.) Series 2003, LOC JPMorgan Chase 45200PVN4 Variable Rate Demand Note First Tier Security 2014-04-07 2014-04-07 Y JPMORGAN CHASE BANK NA N/A N/A Y JPMORGAN CHASE BANK NA N/A N/A N 25000000.00 25000000.00 0.0007 N 25000000.00 25000000.00 Washington Econ. Dev. Fin. Auth. Solid Waste Disp. Rev. Washington Econ. Dev. Fin. Auth. Solid Waste Disp. Rev., 0.09% (Waste Mgmt., Inc. Proj.) Series E, LOC JPMorgan Chase Bank VRDN 93975VAF4 Variable Rate Demand Note First Tier Security 2014-04-07 2014-04-07 Y JPMORGAN CHASE BANK NA N/A N/A Y JPMORGAN CHASE BANK NA N/A N/A N 20000000.00 20000000.00 0.0005 N 20000000.00 20000000.00 Australia & New Zealand Banking Group Ltd. Australia & New Zealand Banking Group Ltd., 0.11% 45D991BX7 Other Instrument Time Deposits First Tier Security 2014-04-01 2014-04-01 N N N 81000000.00 81000000.00 0.0021 N 81000000.00 81000000.00 Credit Agricole CIB Credit Agricole CIB, 0.07% 44T99HMP3 Other Instrument Time Deposits First Tier Security 2014-04-01 2014-04-01 N N N 291000000.00 291000000.00 0.0076 N 291000000.00 291000000.00 Svenska Handelsbanken AB Svenska Handelsbanken AB, 0.07% 44U997HN4 Other Instrument Time Deposits First Tier Security 2014-04-01 2014-04-01 N N N 313000000.00 313000000.00 0.0082 N 313000000.00 313000000.00 Bank of America NA In a joint trading account with Bank of America NA at 0.09%, dated 3/31/2014 due 04/01/2014 48T99SNK0_04197 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2033-08-01 2040-10-01 2.213 - 5.5 Government Agency Debt 385697891.60 73533679.17 FEDERAL NATIONAL MORTGAGE ASSOC 2026-12-01 2043-11-01 2.211 - 6.5 Government Agency Debt 1459968689.51 326356329.11 GOVERNMENT NATIONAL MORTAGE ASSOC 2034-01-16 2042-06-20 0.335 - 5.25 Government Agency Debt 2309820326.88 1022079255.99 Unrated Security 2014-04-01 2014-04-01 N N N 1383034975.00 1383034975.43 0.0361 N 1383034975.43 1383034975.43 BNP Paribas Securities Corp. In a joint trading account with BNP Paribas Securities Corp. at 0.07%, dated 3/31/2014 due 04/01/2014 48T99SNS3_07629 Government Agency Repurchase Agreement Y US TREASURY 2014-06-12 2041-08-15 0 - 4.25 Treasury Debt 14234061.68 14219535.33 FEDERAL HOME LOAN BANK 2015-01-16 2037-06-12 0.125 - 5.375 Government Agency Debt 4318881.22 4582469.11 FEDERAL HOME LOAN MORTGAGE CORP 2017-12-25 2037-06-01 0 - 5.515 Government Agency Debt 8372671.32 8324842.30 FEDERAL NATIONAL MORTGAGE ASSOC 2016-08-26 2024-01-25 0 - 5.405 Government Agency Debt 3072769.55 3243115.78 GOVERNMENT NATIONAL MORTAGE ASSOC 2042-07-20 2043-01-15 3 - 3.5 Government Agency Debt 28222334.51 24379624.51 TENNESEE VALLEY AUTHORITY 2042-12-15 2042-12-15 3.5 - 3.5 Government Agency Debt 3832.08 3326.42 Unrated Security 2014-04-01 2014-04-01 N N N 53569773.00 53569772.57 0.0014 N 53569772.57 53569772.57 BNP Paribas Securities Corp. In a joint trading account with BNP Paribas Securities Corp. at 0.09%, dated 3/31/2014 due 04/01/2014 48T99SNK0_07629 Government Agency Repurchase Agreement Y US TREASURY 2014-06-12 2041-08-15 0 - 4.25 Treasury Debt 19306789.64 19287086.40 FEDERAL HOME LOAN BANK 2015-01-16 2037-06-12 0.125 - 5.375 Government Agency Debt 5858042.00 6215567.22 FEDERAL HOME LOAN MORTGAGE CORP 2017-12-25 2037-06-01 0 - 5.515 Government Agency Debt 11356519.85 11291645.54 FEDERAL NATIONAL MORTGAGE ASSOC 2016-08-26 2024-01-25 0 - 5.405 Government Agency Debt 4167841.67 4398895.80 GOVERNMENT NATIONAL MORTAGE ASSOC 2042-07-20 2043-01-15 3 - 3.5 Government Agency Debt 38280196.32 33068023.21 TENNESEE VALLEY AUTHORITY 2042-12-15 2042-12-15 3.5 - 3.5 Government Agency Debt 5197.75 4511.88 Unrated Security 2014-04-01 2014-04-01 N N N 72660942.00 72660941.99 0.0019 N 72660941.99 72660941.99 Citibank NA In a joint trading account with Citibank NA at 0.09%, dated 3/31/2014 due 04/01/2014 48T99SNK0_26602 Government Agency Repurchase Agreement Y US TREASURY 2014-04-30 2022-11-15 0.125 - 5.125 Treasury Debt 164020503.97 168441510.41 FEDERAL HOME LOAN MORTGAGE CORP 2014-04-01 2048-05-01 1.895 - 13 Government Agency Debt 395732402.90 65898117.86 FEDERAL NATIONAL MORTGAGE ASSOC 2014-05-01 2046-07-01 1.627 - 11.5 Government Agency Debt 539519621.90 136465116.56 GOVERNMENT NATIONAL MORTAGE ASSOC 2014-05-15 2053-07-15 1.125 - 10 Government Agency Debt 563956193.75 50299239.14 Unrated Security 2014-04-01 2014-04-01 N N N 412846261.00 412846261.32 0.0108 N 412846261.32 412846261.32 Deutsche Bank Securities, Inc. In a joint trading account with Deutsche Bank Securities, Inc. at 0.09%, dated 3/31/2014 due 04/01/2014 48T99SNK0_06399 Government Agency Repurchase Agreement Y US TREASURY 2014-05-22 2043-05-15 0 - 9.875 Treasury Debt 26634539.85 27524002.02 FEDERAL HOME LOAN MORTGAGE CORP 2019-02-15 2043-02-15 0.405 - 7 Government Agency Debt 1408510.50 911895.57 GOVERNMENT NATIONAL MORTAGE ASSOC 2032-05-20 2055-01-16 0.457 - 7 Government Agency Debt 23336494.04 18141547.07 VENDEE MORTGAGE TRUST 2032-11-15 2032-11-15 5.75 - 5.75 Government Agency Debt 698714.45 790772.65 Unrated Security 2014-04-01 2014-04-01 N N N 46238781.00 46238781.27 0.0012 N 46238781.27 46238781.27 HSBC Securities (USA), Inc. In a joint trading account with HSBC Securities (USA), Inc. at 0.09%, dated 3/31/2014 due 04/01/2014 48T99SNK0_39304 Government Agency Repurchase Agreement Y US TREASURY 2014-06-15 2043-11-15 0.125 - 8.75 Treasury Debt 88799954.28 93732298.78 FEDERAL NATIONAL MORTGAGE ASSOC 2028-08-01 2043-05-01 2.5 - 4.5 Government Agency Debt 51445256.39 46789471.36 Unrated Security 2014-04-01 2014-04-01 N N N 137615420.00 137615420.44 0.0036 N 137615420.44 137615420.44 ING Financial Markets LLC In a joint trading account with ING Financial Markets LLC at 0.07%, dated 3/31/2014 due 04/01/2014 48T99SNS3_40488 Government Agency Repurchase Agreement Y FEDERAL NATIONAL MORTGAGE ASSOC 2019-12-01 2046-08-01 1.382 - 6.254 Government Agency Debt 648167189.15 182675812.09 Unrated Security 2014-04-01 2014-04-01 N N N 179093638.00 179093637.81 0.0047 N 179093637.81 179093637.81 J.P. Morgan Securities, Inc. In a joint trading account with J.P. Morgan Securities, Inc. at 0.09%, dated 3/31/2014 due 04/01/2014 48T99SNK0_55502 Government Agency Repurchase Agreement Y US TREASURY 2014-04-30 2043-11-15 0.125 - 9.125 Treasury Debt 22711888.25 23586545.17 FEDERAL NATIONAL MORTGAGE ASSOC 2014-06-01 2053-05-01 2 - 11.5 Government Agency Debt 41935377.85 23581778.66 Unrated Security 2014-04-01 2014-04-01 N N N 46238781.00 46238781.27 0.0012 N 46238781.27 46238781.27 Merrill Lynch, Pierce, Fenner & Smith, Inc. In a joint trading account with Merrill Lynch, Pierce, Fenner & Smith, Inc. at 0.07%, dated 3/31/2014 due 04/01/2014 48T99SNS3_53651 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2042-10-01 2042-10-01 2.318 - 2.318 Government Agency Debt 11229409.88 9111182.10 FEDERAL NATIONAL MORTGAGE ASSOC 2027-12-01 2043-11-01 2.5 - 4.5 Government Agency Debt 73610998.58 69763495.59 Unrated Security 2014-04-01 2014-04-01 N N N 77327976.00 77327976.37 0.0020 N 77327976.37 77327976.37 Merrill Lynch, Pierce, Fenner & Smith, Inc. In a joint trading account with Merrill Lynch, Pierce, Fenner & Smith, Inc. at 0.09%, dated 3/31/2014 due 04/01/2014 48T99SNK0_53651 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2042-10-01 2042-10-01 2.318 - 2.318 Government Agency Debt 4995897.29 4053510.42 FEDERAL NATIONAL MORTGAGE ASSOC 2027-12-01 2043-11-01 2.5 - 4.5 Government Agency Debt 32749093.00 31037361.93 Unrated Security 2014-04-01 2014-04-01 N N N 34402754.00 34402754.19 0.0009 N 34402754.19 34402754.19 Morgan Stanley & Co., Inc. In a joint trading account with Morgan Stanley & Co., Inc. at 0.09%, dated 3/31/2014 due 04/01/2014 48T99SNK0_55501 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2032-06-01 2042-12-01 3.5 - 4.5 Government Agency Debt 9161315.97 7614410.36 FEDERAL NATIONAL MORTGAGE ASSOC 2025-06-01 2044-03-01 2.5 - 6 Government Agency Debt 55434077.61 20459322.62 Unrated Security 2014-04-01 2014-04-01 N N N 27523084.00 27523084.09 0.0007 N 27523084.09 27523084.09 Societe Generale In a joint trading account with Societe Generale at 0.07%, dated 3/31/2014 due 04/01/2014 48T99SNS3_74037 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2032-05-01 2043-08-01 2.229 - 3.5 Government Agency Debt 31421502.36 26586777.54 FEDERAL NATIONAL MORTGAGE ASSOC 2026-02-01 2043-05-01 2.073 - 5.5 Government Agency Debt 198968448.95 154268498.83 GOVERNMENT NATIONAL MORTAGE ASSOC 2028-10-20 2028-10-20 3.5 - 3.5 Government Agency Debt 1786380.24 1820538.93 Unrated Security 2014-04-01 2014-04-01 N N N 179093638.00 179093637.81 0.0047 N 179093637.81 179093637.81 Wells Fargo Securities LLC In a joint trading account with Wells Fargo Securities LLC at 0.07%, dated 3/31/2014 due 04/01/2014 48T99SNS3_08395 Government Agency Repurchase Agreement Y FEDERAL HOME LOAN MORTGAGE CORP 2018-10-01 2044-03-01 0 - 8 Government Agency Debt 137502087.36 91027167.25 FINANCE CORPORATION 2015-04-05 2019-04-05 0 - 0 Government Agency Debt 342199.41 324186.87 FEDERAL NATIONAL MORTGAGE ASSOC 2014-05-01 2044-04-01 0 - 7 Government Agency Debt 278533198.66 201894495.62 GOVERNMENT NATIONAL MORTAGE ASSOC 2026-11-16 2044-03-20 2.5 - 6.5 Government Agency Debt 124165492.41 52872883.60 Unrated Security 2014-04-01 2014-04-01 N N N 338486975.00 338486975.45 0.0088 N 338486975.45 338486975.45 Federal Reserve Bank of New York Federal Reserve Bank of New York, 0.05% 37R9972R9 0001457970 Treasury Repurchase Agreement Y US TREASURY 2041-08-15 2041-08-15 3.75 - 3.75 Treasury Debt 3617303800.00 3783005292.44 First Tier Security 2014-04-01 2014-04-01 N N N 3783000000.00 3783000000.00 0.0986 N 3783000000.00 3783000000.00 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.19% 48R992XX0 0000318336 Other Repurchase Agreement N GOVERNMENT NATIONAL MORTAGE ASSOC 2045-05-16 2047-10-16 2.1 - 3.8 Government Agency Debt 28344839.00 26781570.12 First Tier Security 2014-04-01 2014-04-01 N N N 26000000.00 26000000.00 0.0007 N 26000000.00 26000000.00 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.23% 48R992YF8 0000318336 Other Repurchase Agreement N PFD GOOGLE INC SR A 2014-03-31 2014-03-31 N/A Other Instrument OTHER NOTE 87564.00 98084814.60 REGIONS FINANCIAL CORP NEW- 2014-03-31 2014-03-31 N/A Other Instrument OTHER NOTE 1991117.00 21802731.15 First Tier Security 2014-04-03 2014-04-03 N N N 111000000.00 111000000.00 0.0029 N 111000000.00 111000000.00 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) LLC, 0.63% 48R992WN3 0000318336 Other Repurchase Agreement N 51-100 2019-07-15 2059-12-25 0 - 20.006 Other Instrument MORTGAGE 1486594265.00 431422348.25 First Tier Security 2014-06-12 2014-06-12 N N N 401000000.00 401000000.00 0.0105 Y 401000000.00 401000000.00 Credit Suisse Securities (U.S.A.) LLC Credit Suisse Securities (U.S.A.) 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ADR 2014-03-31 2014-03-31 N/A Other Instrument OTHER NOTE 256391.00 3968932.68 NETEASE.COM, INC. 2014-03-31 2014-03-31 N/A Other Instrument OTHER NOTE 482485.00 32871703.05 NIPPON TELEG & TEL CORPORATION 2014-03-31 2014-03-31 N/A Other Instrument OTHER NOTE 343117.00 9168086.24 NOKIA CORPORATION 2014-03-31 2014-03-31 N/A Other Instrument OTHER NOTE 9083931.00 66676053.54 PARTNERS COMMUNICATIONS COMPAN 2014-03-31 2014-03-31 N/A Other Instrument OTHER NOTE 45633.00 407959.02 PHILIPPINE LONG DISTANCE TELEP 2014-03-31 2014-03-31 N/A Other Instrument OTHER NOTE 541745.00 33073532.25 TELECOM ARGENTINA 2014-03-31 2014-03-31 N/A Other Instrument OTHER NOTE 342957.00 6149219.01 ULTRAPAR PARTICIPACOES S.A. 2014-03-31 2014-03-31 N/A Other Instrument OTHER NOTE 526786.00 12711346.18 YPF SOCIEDAD ANONIMA 2014-03-31 2014-03-31 N/A Other Instrument OTHER NOTE 357099.00 10841525.64 First Tier Security 2014-06-30 2014-06-30 Y JP MORGAN CLRING(NON GOV REPO) N/A N/A N N 166000000.00 166000000.00 0.0043 Y 166000000.00 166000000.00 J.P. 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Morgan Clearing Corp. J.P. 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Morgan Securities, Inc., 0.20% 48M9966F5 0001287279 Other Repurchase Agreement N FEDERAL NATIONAL MORTGAGE ASSOC 2029-06-25 2043-07-25 5.146 - 14.536 Government Agency Debt 592977212.00 76222689.26 First Tier Security 2014-04-02 2014-04-02 N N N 74000000.00 74000000.00 0.0019 N 74000000.00 74000000.00 J.P. Morgan Securities, Inc. J.P. Morgan Securities, Inc., 0.59% 48M996YX5 0001287279 Other Repurchase Agreement N BERKSHIRE HATHAWAY FINANCE COR 2017-05-15 2017-05-15 1.6 - 1.6 Other Instrument CORPORATE 7624000.00 7760850.33 GENERAL ELEC CAPT CORP 2015-07-10 2018-08-07 0.01 - 1.6 Other Instrument CORPORATE 10918000.00 10998151.25 GE CAP CP INT NTS 2018-12-15 2018-12-15 4.85 - 4.85 Other Instrument CORPORATE 7000.00 7784.04 GE CAP CP INT NTS 2022-04-15 2032-09-17 3.5 - 4.35 Other Instrument CORPORATE 437000.00 442554.88 TORONTO-DOMINION BANK 2015-05-01 2016-09-09 0.453 - 0.695 Other Instrument CORPORATE 5275000.00 5300793.02 WAL-MART STORES, INC. 2015-04-01 2043-04-11 1.5 - 5.8 Other Instrument CORPORATE 4520000.00 4919202.56 First Tier Security 2014-06-30 2014-06-30 Y JPMORGAN SECS (NON GOV REPO) N/A N/A N N 28000000.00 28000000.00 0.0007 Y 28000000.00 28000000.00 J.P. Morgan Securities, Inc. J.P. Morgan Securities, Inc., 0.61% 48M996YW7 0001287279 Other Repurchase Agreement N ADJUSTABLE RATE MORTGAGE TRUST 2036-08-25 2036-08-25 0.334 - 0.334 Other Instrument GOVERNMENT AGENCY 25000000.00 5112524.33 CWALT INC., 2006-14CB 2036-06-25 2036-06-25 0.854 - 0.854 Other Instrument GOVERNMENT AGENCY 30000000.00 12128989.40 ALTERNATIVE LOAN TRUST 2006-30 2036-11-25 2036-11-25 0.754 - 0.754 Other Instrument GOVERNMENT AGENCY 30000000.00 2970551.85 ALTERNATIVE LOAN TRUST 2007-OA 2037-06-25 2037-06-25 0.294 - 0.294 Other Instrument GOVERNMENT AGENCY 25640000.00 10587600.39 AMERICAN HOME MORTGAGE ASSETS 2046-07-25 2046-07-25 1.092 - 1.092 Other Instrument GOVERNMENT AGENCY 31818000.00 10515095.35 AMERICAN HOME MORTGAGE ASSETS 2047-06-25 2047-06-25 0.344 - 0.344 Other Instrument GOVERNMENT AGENCY 16225000.00 6667873.69 BEAR STEARNS ASSET BACKED SECU 2035-07-25 2035-07-25 4.846 - 4.846 Other Instrument GOVERNMENT AGENCY 22685000.00 937583.61 CWALT, INC., 2005-43 2035-11-20 2035-12-25 0.434 - 0.476 Other Instrument GOVERNMENT AGENCY 58498000.00 13852657.41 CWALT, INC., 2005-79CB 2036-01-25 2036-01-25 0.704 - 0.704 Other Instrument GOVERNMENT AGENCY 31898800.00 8851140.43 CSMC MORTGAGE-BACKED TRUST 200 2036-07-25 2036-07-25 0.654 - 0.654 Other Instrument GOVERNMENT AGENCY 30000000.00 7670291.66 FIRST HORIZON ALTERNATIVE MORT 2036-07-25 2036-07-25 0.624 - 0.624 Other Instrument GOVERNMENT AGENCY 28000000.00 5577661.04 GCMO FIRST HORZ 06-FA8 D12/28/ 2037-02-25 2037-02-25 0.654 - 0.654 Other Instrument GOVERNMENT AGENCY 25900000.00 6547085.12 HARBORVIEW MORTGAGE LOAN TRUST 2046-07-20 2046-07-20 0.336 - 0.336 Other Instrument GOVERNMENT AGENCY 35970000.00 11775796.48 INDYMAC INDX MORTGAGE LOAN TRU 2035-04-25 2035-04-25 2.371 - 2.371 Other Instrument GOVERNMENT AGENCY 27431500.00 982388.06 JPMORGAN MORTGAGE TRUST 2006-S 2037-01-25 2037-01-25 0.534 - 0.534 Other Instrument GOVERNMENT AGENCY 26365458.00 5513649.22 MERRILL LYNCH MORTGAGE BACKED 2036-08-25 2036-08-25 2.532 - 2.532 Other Instrument GOVERNMENT AGENCY 26408000.00 8137409.38 STRUCTURED ASSET MORTGAGE INVE 2036-08-25 2036-08-25 0.274 - 0.274 Other Instrument GOVERNMENT AGENCY 26000000.00 8655214.49 WAMU MORTGAGE PASS-THROUGH CER 2047-07-25 2047-07-25 0.942 - 0.942 Other Instrument GOVERNMENT AGENCY 22521901.00 11788163.20 WASHINGTON MUTUAL MORTGAGE PAS 2035-11-25 2035-11-25 0.704 - 0.704 Other Instrument GOVERNMENT AGENCY 25000000.00 5500066.65 First Tier Security 2014-06-30 2014-06-30 Y JPMORGAN SECS (NON GOV REPO) N/A N/A N N 133000000.00 133000000.00 0.0035 Y 133000000.00 133000000.00 J.P. Morgan Securities, Inc. J.P. Morgan Securities, Inc., 0.61% 48M9963W1 0001287279 Other Repurchase Agreement N BANK OF AMERICA STRUCTURED NOT 2035-10-25 2035-10-25 6 - 6 Other Instrument GOVERNMENT AGENCY 29869000.00 6804968.15 FIRST HORIZON ALTERNATIVE MORT 2036-07-25 2036-07-25 6 - 6 Other Instrument GOVERNMENT AGENCY 36413000.00 7893060.74 JPMORGAN CHASE COMMERCIAL MORT 2047-05-15 2047-05-15 5.386 - 5.386 Other Instrument GOVERNMENT AGENCY 12095000.00 10859825.65 ML-CFC COMMERCIAL MORTGAGE TRU 2048-08-12 2048-08-12 5.45 - 5.45 Other Instrument GOVERNMENT AGENCY 28080000.00 25224734.09 First Tier Security 2014-06-30 2014-06-30 Y JPMORGAN SECS (NON GOV REPO) N/A N/A N N 47000000.00 47000000.00 0.0012 Y 47000000.00 47000000.00 J.P. Morgan Securities, Inc. J.P. Morgan Securities, Inc., 0.61% 48M9964N0 0001287279 Other Repurchase Agreement N ALTERNATIVE LOAN TRUST 2006-39 2037-01-25 2037-01-25 0.754 - 0.754 Other Instrument GOVERNMENT AGENCY 18000000.00 5278794.94 ALTERNATIVE LOAN TRUST 2007-OH 2047-04-25 2047-04-25 0.364 - 0.364 Other Instrument GOVERNMENT AGENCY 11815000.00 5408971.80 ALTERNATIVE LOAN TRUST 2007-16 2037-08-25 2037-08-25 0.554 - 0.554 Other Instrument GOVERNMENT AGENCY 42724800.00 11921881.64 AMERICAN HOME MORTGAGE ASSETS 2047-06-25 2047-06-25 0.344 - 0.344 Other Instrument GOVERNMENT AGENCY 5775000.00 2373310.97 BANC OF AMERICA MORTGAGE SECUR 2035-05-25 2035-05-25 2.85 - 2.85 Other Instrument GOVERNMENT AGENCY 17816000.00 15126564.10 BEAR STEARNS ARM TRUST 2005-1 2035-06-25 2035-06-25 2.641 - 2.641 Other Instrument GOVERNMENT AGENCY 12300000.00 909613.78 CITIMORTGAGE ALTERNATIVE LOAN 2037-01-25 2037-01-25 0.754 - 0.754 Other Instrument GOVERNMENT AGENCY 14500000.00 4719556.14 CWALT, INC., 2005-43 2035-11-20 2035-12-25 0.454 - 1.654 Other Instrument GOVERNMENT AGENCY 49458425.00 20535049.92 CWALT, INC., 2005-79CB 2036-01-25 2036-01-25 1.611 - 1.611 Other Instrument GOVERNMENT AGENCY 9780000.00 4012074.57 CREDIT SUISSE FIRST BOSTON 200 2035-09-25 2035-09-25 0.554 - 0.554 Other Instrument GOVERNMENT AGENCY 21500000.00 4592425.20 CREDIT SUISSE COMMERCIAL MORTG 2039-03-15 2039-03-15 5.644 - 5.644 Other Instrument GOVERNMENT AGENCY 11782869.00 9054046.59 DSLA MORTGAGE LOAN TRUST 2004- 2047-04-19 2047-04-19 1.072 - 1.072 Other Instrument GOVERNMENT AGENCY 11450000.00 3192855.58 HOMEBANC MORTGAGE TRUST 2004-1 2035-03-25 2035-03-25 0.614 - 0.644 Other Instrument GOVERNMENT AGENCY 34147000.00 5914545.41 IMPAC SECURED ASSET TRUST 2007 2037-05-25 2037-05-25 0.404 - 0.404 Other Instrument GOVERNMENT AGENCY 15000000.00 7125003.93 INDYMAC INDX MORTGAGE LOAN TRU 2035-06-25 2035-06-25 2.407 - 2.407 Other Instrument GOVERNMENT AGENCY 15329000.00 4327814.74 INDYMAC INDX MORTGAGE LOAN TRU 2046-01-25 2046-01-25 0.854 - 0.854 Other Instrument GOVERNMENT AGENCY 15140000.00 2862860.25 JPMORGAN ALTERNATIVE LOAN TRUS 2036-12-25 2036-12-25 0.314 - 0.314 Other Instrument GOVERNMENT AGENCY 16900000.00 9108626.13 LUMINENT MORTGAGE TRUST 2005-1 2046-02-25 2046-02-25 0.354 - 0.354 Other Instrument GOVERNMENT AGENCY 20659999.00 5227350.23 MORGAN STANLEY MORTGAGE RESECU 2038-06-25 2038-06-25 0.644 - 0.644 Other Instrument GOVERNMENT AGENCY 14300000.00 4305801.39 RALI SERIES 2007-QS8 2037-06-25 2037-06-25 0.754 - 0.754 Other Instrument GOVERNMENT AGENCY 20000000.00 7723152.64 RALI SERIES 2007-QO4 TRUST 2047-05-25 2047-05-25 0.344 - 0.344 Other Instrument GOVERNMENT AGENCY 20021000.00 8067482.01 RBSGC MORTGAGE LOAN TRUST 2037-01-25 2037-01-25 0.604 - 0.604 Other Instrument GOVERNMENT AGENCY 18240000.00 5002340.67 RALI SERIES 2006-QA3 TRUST 2036-04-25 2036-04-25 0.354 - 0.354 Other Instrument GOVERNMENT AGENCY 15000000.00 3059704.68 RFMSI SERIES 2003-S14 TRUST 2035-06-25 2035-06-25 2.801 - 2.801 Other Instrument GOVERNMENT AGENCY 11485000.00 1848275.15 RESIDENTIAL ASSET SECURITIZATI 2046-01-25 2046-01-25 0.554 - 0.554 Other Instrument GOVERNMENT AGENCY 21089036.00 4521304.40 STRUCTURED ASSET MORTGAGE INVE 2036-02-25 2036-02-25 0.384 - 0.384 Other Instrument GOVERNMENT AGENCY 18350000.00 6219426.95 WAMU MORTGAGE PASS-THROUGH 2047-06-25 2047-06-25 0.882 - 0.882 Other Instrument GOVERNMENT AGENCY 13111000.00 6383117.23 WMALT SERIES 2006-8 2036-10-25 2036-10-25 0.274 - 0.274 Other Instrument GOVERNMENT AGENCY 14490000.00 1530736.58 WASHINGTON MUTUAL MORTGAGE PAS 2047-05-25 2047-05-25 0.973 - 0.973 Other Instrument GOVERNMENT AGENCY 15000000.00 6825959.53 First Tier Security 2014-07-10 2014-07-10 N N N 164000000.00 164000000.00 0.0043 Y 164000000.00 164000000.00 J.P. Morgan Securities, Inc. J.P. 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MORGAN MORTGAGE TRUST 200 2036-04-25 2036-05-25 2.633 - 2.755 Other Instrument GOVERNMENT AGENCY 16625800.00 6865433.81 JPMORGAN MORTGAGE TRUST 2006-A 2036-06-25 2036-06-25 2.44 - 2.44 Other Instrument GOVERNMENT AGENCY 3500000.00 337669.61 J.P. MORGAN MORTGAGE TRUST 200 2036-08-25 2036-08-25 0.154 - 0.154 Other Instrument GOVERNMENT AGENCY 1846154.00 13784.98 J.P. MORGAN MORTGAGE TRUST 200 2036-08-25 2036-08-25 2.666 - 2.751 Other Instrument GOVERNMENT AGENCY 7330000.00 3766508.04 ML-CFC COMMERCIAL MORTGAGE TRU 2051-03-12 2051-03-12 5.556 - 5.556 Other Instrument GOVERNMENT AGENCY 5000000.00 3657650.05 NEW YORK MORTGAGE TRUST 2005-1 2036-05-25 2036-05-25 2.676 - 2.676 Other Instrument GOVERNMENT AGENCY 600000.00 364905.31 RALI SERIES 2007-QS1 TRUST 2037-01-25 2037-01-25 6 - 6 Other Instrument GOVERNMENT AGENCY 8500000.00 1700491.21 RALI SERIES 2003-QS4 TRUST 2035-05-25 2035-05-25 3.123 - 3.123 Other Instrument GOVERNMENT AGENCY 3611900.00 535118.04 WELLS FARGO MORTGAGE BACKED SE 2036-01-25 2036-01-25 5.5 - 5.5 Other Instrument GOVERNMENT AGENCY 6307000.00 1911431.72 WELLS FARGO MORTGAGE BACKED SE 2037-08-25 2037-08-25 6 - 6 Other Instrument GOVERNMENT AGENCY 127000.00 53393.34 First Tier Security 2014-06-30 2014-06-30 Y JPMORGAN SECS (NON GOV REPO) N/A N/A N N 75000000.00 75000000.00 0.0020 Y 75000000.00 75000000.00 J.P. Morgan Securities, Inc. J.P. Morgan Securities, Inc., 0.62% 48M996WV1 0001287279 Other Repurchase Agreement N AMERICAN HOME MORTGAGE ASSETS 2046-10-25 2046-10-25 0.274 - 0.274 Other Instrument GOVERNMENT AGENCY 10000000.00 2291236.67 BCAP LLC TRUST 2006-AA2 2037-01-25 2037-01-25 0.324 - 0.324 Other Instrument GOVERNMENT AGENCY 7500000.00 1874386.44 BANC OF AMERICA FUNDING 2007-3 2037-04-25 2037-04-25 0.584 - 0.584 Other Instrument GOVERNMENT AGENCY 10531000.00 4196465.99 BAYVIEW COMMERCIAL ASSET TRUST 2037-10-25 2037-10-25 1.654 - 1.654 Other Instrument GOVERNMENT AGENCY 13757000.00 4115088.26 BEAR STEARNS ARM TRUST 2005-1 2035-08-25 2035-08-25 2.637 - 2.637 Other Instrument GOVERNMENT AGENCY 750000.00 713871.40 CSMC MORTGAGE BACKED TRUST 200 2037-02-25 2037-02-25 0.234 - 0.234 Other Instrument GOVERNMENT AGENCY 9089000.00 949898.11 CSMC MORTGAGE-BACKED TRUST SER 2036-05-25 2036-05-25 1.154 - 1.154 Other Instrument GOVERNMENT AGENCY 5519000.00 2508601.40 CWALT, INC., 2005-79CB 2036-01-25 2036-01-25 1.611 - 1.611 Other Instrument GOVERNMENT AGENCY 820000.00 336390.71 CWMBS, INC. 2004-21 2035-02-20 2035-02-20 2.571 - 2.571 Other Instrument GOVERNMENT AGENCY 235227000.00 32333362.48 CHASE FLEX TRUST 2006-2 2036-09-25 2036-09-25 5.581 - 5.581 Other Instrument GOVERNMENT AGENCY 8310120.00 7615073.62 CHEVY CHASE FUNDING LLC 2047-04-25 2047-04-25 0.334 - 0.334 Other Instrument GOVERNMENT AGENCY 12500000.00 2265536.79 CHEVY CHASE FUNDING LLC 2047-08-25 2047-08-25 0.334 - 0.334 Other Instrument GOVERNMENT AGENCY 63802000.00 14587194.27 HOMEBANC MORTGAGE TRUST 2004-1 2037-04-25 2037-04-25 2.582 - 2.582 Other Instrument GOVERNMENT AGENCY 320000.00 95082.54 IMPAC SECURED ASSETS TRUST 200 2037-03-25 2037-03-25 0.314 - 0.314 Other Instrument GOVERNMENT AGENCY 7120000.00 3931250.36 INDYMAC INDX MORTGAGE LOAN TRU 2035-07-25 2035-07-25 2.417 - 2.417 Other Instrument GOVERNMENT AGENCY 5000000.00 600096.32 JPMORGAN CHASE COMMERCIAL MORT 2019-07-15 2019-07-15 1.455 - 1.705 Other Instrument GOVERNMENT AGENCY 65937000.00 44037327.45 LEHMAN MORTGAGE TRUST 2037-06-25 2037-06-25 0.804 - 0.804 Other Instrument GOVERNMENT AGENCY 9143000.00 1765473.43 ML-CFC COMMERCIAL MORTGAGE TRU 2048-08-12 2048-08-12 0.395 - 0.395 Other Instrument GOVERNMENT AGENCY 9587732.00 8621226.54 MASTERCLASS PRODTN INC 2047-03-25 2047-03-25 0.304 - 0.304 Other Instrument GOVERNMENT AGENCY 8350600.00 2677494.80 MASTR ADJUSTABLE RATE MORTGAGE 2047-05-25 2047-05-25 0.354 - 0.354 Other Instrument GOVERNMENT AGENCY 5558000.00 2040157.94 MERRILL LYNCH MORTGAGE INVESTO 2036-03-25 2036-03-25 2.669 - 2.669 Other Instrument GOVERNMENT AGENCY 26916000.00 7109647.05 MORGAN STANLEY MORTGAGE LOAN T 2035-08-25 2035-08-25 5.946 - 5.946 Other Instrument GOVERNMENT AGENCY 43710000.00 16878864.11 OPTEUM MORTGAGE ACCEPTANCE COR 2036-04-25 2036-04-25 0.364 - 0.364 Other Instrument GOVERNMENT AGENCY 2700000.00 697161.38 RFMSI SERIES 2007-SA2 TRUST 2037-04-25 2037-04-25 3.035 - 3.035 Other Instrument GOVERNMENT AGENCY 6500000.00 1715512.99 STRUCTURED ASSET SECURITIES 2027-04-15 2027-04-15 8.07 - 8.07 Other Instrument GOVERNMENT AGENCY 5785000.00 208821.24 STRUCTURED ASSET MORTGAGE INVE 2036-06-25 2036-06-25 0.344 - 0.344 Other Instrument GOVERNMENT AGENCY 7899000.00 1623910.76 STRUCTURED ASSET MORTGAGE INVE 2036-08-25 2036-08-25 0.364 - 0.364 Other Instrument GOVERNMENT AGENCY 10000000.00 3356035.35 WAMU MORTGAGE SERIES 2006-AR17 2046-12-25 2046-12-25 0.942 - 0.942 Other Instrument GOVERNMENT AGENCY 10222000.00 4143609.86 WACHOVIA BANK COMMERCIAL MORTG 2020-06-15 2020-06-15 0.955 - 0.955 Other Instrument GOVERNMENT AGENCY 10000000.00 9471282.96 First Tier Security 2014-06-30 2014-06-30 Y JPMORGAN SECS (NON GOV REPO) N/A N/A N N 169000000.00 169000000.00 0.0044 Y 169000000.00 169000000.00 RBC Capital Markets Co. RBC Capital Markets Co., 0.22% 42T99QYR0 0000050916 Other Repurchase Agreement N FEDERAL HOME LOAN MORTGAGE CORP 2020-10-15 2043-03-15 2.5 - 6.495 Government Agency Debt 98439386.00 14154435.24 FEDERAL NATIONAL MORTGAGE ASSOC 2021-09-25 2044-04-25 0 - 13.483 Government Agency Debt 206423820.00 12179475.41 GOVERNMENT NATIONAL MORTAGE ASSOC 2039-11-20 2044-01-20 0 - 11.582 Government Agency Debt 25080823.00 4553585.34 First Tier Security 2014-04-04 2014-04-04 N N N 30000000.00 30000000.00 0.0008 N 30000000.00 30000000.00 RBC Capital Markets Co. RBC Capital Markets Co., 0.29% 42T99QYM1 0000050916 Other Repurchase Agreement N FEDERAL HOME LOAN MORTGAGE CORP 2021-05-15 2043-02-15 2.5 - 20.274 Government Agency Debt 85963956.00 11226723.37 FEDERAL NATIONAL MORTGAGE ASSOC 2024-03-25 2043-11-01 2.68 - 11.71 Government Agency Debt 293890162.00 24231905.45 GOVERNMENT NATIONAL MORTAGE ASSOC 2033-12-16 2043-11-20 0 - 12.66 Government Agency Debt 170020892.00 16003333.82 First Tier Security 2014-04-07 2014-04-07 Y RBC CAP MARKETS LLC(NON-GV RP) N/A N/A N N 50000000.00 50000000.00 0.0013 N 50000000.00 50000000.00 RBC Capital Markets Co. RBC Capital Markets Co., 0.40% 42T99QYS8 0000050916 Other Repurchase Agreement N ADVANCED MICRO DEVICES INC 2019-03-01 2019-03-01 6.75 - 6.75 Other Instrument CORPORATE 5325408.00 5373669.51 ENERGY FUTURE INTER HLDG CO LLC / EFIH FIN INC 2020-12-01 2020-12-01 10 - 10 Other Instrument CORPORATE 24871673.00 27027218.02 SANDRIDGE ENERGY INC 2021-03-15 2021-03-15 7.5 - 7.5 Other Instrument CORPORATE 518.00 553.40 First Tier Security 2014-04-07 2014-04-07 Y RBC CAP MARKETS LLC(NON-GV RP) N/A N/A N N 30000000.00 30000000.00 0.0008 N 30000000.00 30000000.00 RBC Capital Markets Co. RBC Capital Markets Co., 0.40% 42T99QYP4 0000050916 Other Repurchase Agreement N BANC OF AMERICA ALTERNATIVE LOAN TRUST 2036-10-25 2036-10-25 5.707 - 5.707 Other Instrument MORTGAGE 26000.00 6292.83 BANC OF AMERICA ALTERNATIVE LOAN TRUST 2020-03-25 2020-03-25 5.5 - 5.5 Other Instrument MORTGAGE 46999.00 8072.59 BANC OF AMERICA FUNDING CORP 2036-03-25 2036-03-25 5.75 - 5.75 Other Instrument MORTGAGE 10000.00 482.76 COMM 2045-05-17 2045-05-17 2.462 - 2.462 Other Instrument MORTGAGE 1376987.00 942244.97 CWALT ALTERNATIVE LOAN TRUST 2035-01-25 2035-01-25 6 - 6 Other Instrument MORTGAGE 20000.00 3776.41 CWALT ALTERNATIVE LOAN TRUST 2036-02-25 2036-02-25 5.5 - 5.5 Other Instrument MORTGAGE 2535882.00 666319.27 COUNTRYWIDE HOME LOANS 2033-07-25 2033-07-25 5.5 - 5.5 Other Instrument MORTGAGE 37223.00 13130.45 COUNTRYWIDE HOME LOANS 2035-09-25 2035-09-25 5.5 - 5.5 Other Instrument MORTGAGE 25000.00 1376.90 CITIGROUP MORTGAGE LOAN TRUST 2035-08-25 2035-08-25 0.955 - 0.955 Other Instrument MORTGAGE 7966893.00 4301606.34 CITICORP MORTGAGE SECURITIES 2036-10-25 2036-10-25 6 - 6 Other Instrument MORTGAGE 15000.00 10884.39 CITICORP MORTGAGE SECURITIES 2036-12-25 2036-12-25 6 - 6 Other Instrument MORTGAGE 18000.00 3784.78 HARBORVIEW MORTGAGE LOAN TRUST 2035-05-19 2035-05-19 0.374 - 0.374 Other Instrument MORTGAGE 13195000.00 1760288.08 IMPAC CMB TRUST 2035-04-25 2035-04-25 0.775 - 0.775 Other Instrument MORTGAGE 12896168.00 1641679.17 INDYMAC INDX MORTGAGE LOAN TRUST 2037-06-25 2037-06-25 2.527 - 2.527 Other Instrument MORTGAGE 2917.00 734.70 JP MORGAN MORTGAGE TRUST 2037-06-25 2037-06-25 6 - 6 Other Instrument MORTGAGE 62387.00 19229.01 MASTR ALTERNATIVE LOAN TRUST 2035-03-25 2035-03-25 6 - 6 Other Instrument MORTGAGE 30000.00 7854.50 MORGAN STANLEY CAPITAL I 2049-12-12 2049-12-12 6.297 - 6.339 Other Instrument MORTGAGE 2652979.00 2998826.81 MORGAN STANLEY CAPITAL I 2043-01-13 2043-01-13 6.459 - 6.459 Other Instrument MORTGAGE 1033152.00 1191496.43 SCG TR 2013-SRP1 2026-11-15 2026-11-15 N/A Other Instrument MORTGAGE 68246.00 68251.05 WAMU MORTGAGE PASS-THROUGH CERTIFICATES 2036-11-25 2036-11-25 2.032 - 2.032 Other Instrument MORTGAGE 4000000.00 930137.79 WAMU MORTGAGE PASS-THROUGH CERTIFICATES 2046-09-25 2046-09-25 1.052 - 1.052 Other Instrument MORTGAGE 4227000.00 1492588.99 WELLS FARGO MORTGAGE BACKED SECURITIES TRUST 2034-12-25 2034-12-25 2.636 - 2.636 Other Instrument MORTGAGE 24724.00 12102.16 First Tier Security 2014-04-07 2014-04-07 Y RBC CAP MARKETS LLC(NON-GV RP) N/A N/A N N 15000000.00 15000000.00 0.0004 N 15000000.00 15000000.00 RBC Capital Markets Co. RBC Capital Markets Co., 0.40% 42T99QYN9 0000050916 Other Repurchase Agreement N 51-100 2015-12-15 2099-12-29 0 - 12.25 Other Instrument CORPORATE 15866644.00 16201260.28 First Tier Security 2014-04-07 2014-04-07 Y RBC CAP MARKETS LLC(NON-GV RP) N/A N/A N N 15000000.00 15000000.00 0.0004 N 15000000.00 15000000.00