0000356173-19-000163.txt : 20191107 0000356173-19-000163.hdr.sgml : 20191107 20191107145724 ACCESSION NUMBER: 0000356173-19-000163 CONFORMED SUBMISSION TYPE: N-MFP2 PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20191031 FILED AS OF DATE: 20191107 DATE AS OF CHANGE: 20191107 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-MFP2 SEC ACT: 1940 Act SEC FILE NUMBER: 811-03320 FILM NUMBER: 191199940 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 S000004819 Treasury Portfolio C000013038 Class I FISXX C000013077 Class II FCEXX C000013078 Class III FCSXX C000013079 Select Class FTUXX C000056568 Class IV FTVXX C000141703 Institutional Class FRBXX N-MFP2 1 primary_doc.xml N-MFP2 0000356173 XXXXXXXX 2019-10-31 0000356173 549300YIOQXOFUNG4P25 S000004819 6 N N 002-74808 FIDELITY MANAGEMENT & RESEARCH COMPANY (FMR) 801-07884 FIDELITY INVESTMENTS MONEY MANAGEMENT, INC. 801-34590 FMR INVESTMENT MANAGEMENT (U.K.) LIMITED 801-28773 FIDELITY MANAGEMENT & RESEARCH (HONG KONG) LIMITED 801-69507 FIDELITY MANAGEMENT & RESEARCH (JAPAN) LIMITED 801-69571 DELOITTE & TOUCHE LLP BOSTON MA None FIDELITY INVESTMENTS INSTIT. OPERATIONS CO. 0000862124 084-01839 N N N Exempt Government N 32 48 23850691490.39 19129647970.40 23821840634.80 21137442571.14 28576391490.39 28814747970.40 29821140634.80 30578942571.14 0.8100 0.6500 0.7800 0.6700 0.9800 0.9800 0.9800 0.9700 290.91 30338890068.30 30331050963.11 24145004.99 192982719.50 30162213539.51 30157393587.03 1.0000 0.0188 1.0004 1.0004 1.0004 1.0003 C000013038 1000000.00 8696128384.14 8692615838.78 1.0006 1.0006 1.0006 1.0006 1098483580.00 1282133183.03 788512768.53 794492162.20 965201815.86 675449924.52 1220660919.73 1288795711.62 5000267116.02 4963908797.20 0.0170 Y Fidelity Investments, Reimbursement Fees, -211397.91; C000013077 1000000.00 820442158.65 819857574.64 1.0009 1.0009 1.0009 1.0009 20887635.48 71606858.53 44088917.84 2236269.18 20899705.76 26127435.91 27623265.17 25221279.59 148708437.70 129850864.06 0.0155 Y Fidelity Investments, Reimbursement Fees, -18674.08; C000013078 1000000.00 2522223185.21 2521897721.05 1.0003 1.0003 1.0003 1.0003 125519985.08 283129415.03 133431935.34 86319124.56 110991373.40 119603506.34 106603628.14 95373061.59 506639622.22 571590718.46 0.0145 Y Fidelity Investments, Reimbursement Fees, -53476.37; C000013079 1000000.00 259989073.64 259925399.41 1.0005 1.0004 1.0005 1.0004 31064853.60 16301411.82 8279180.27 17177540.02 29094616.22 2668698.71 13744343.88 16082144.05 91198006.37 75563505.11 0.0165 Y Fidelity Investments, Reimbursement Fees, -6287.21; C000056568 1000000.00 1215770373.60 1215418160.74 1.0005 1.0005 1.0005 1.0005 13587764.43 25192466.86 17465631.60 9485067.91 2260700.80 26352819.21 48009103.77 2162499.04 83319227.51 78196236.99 0.0120 Y Fidelity Investments, Reimbursement Fees, -23029.93; C000141703 10000000.00 16647660364.27 16647678892.41 1.0002 1.0002 1.0002 1.0002 3177415858.89 2878400230.08 2512689065.79 2538209162.46 1953828272.23 1717179337.81 2505834843.76 2406842185.36 11547383862.44 10536440308.36 0.0174 Y Fidelity Investments, Reimbursement Fees, -538350.40; Bank of Nova Scotia In a joint trading account with Bank of Nova Scotia at 1.72%, dated 10/31/2019 due 11/01/2019 L3I9ZG2KFGXZ61BMYR72 FCF584000_00324 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-10-15 2029-08-15 1.125 - 3.125 14438390.71 15102847.13 U.S. Treasuries (including strips) Y N/A N/A 2019-11-01 2019-11-01 2019-11-01 N N N 0.0171 14806000.00 14806000.00 0.0005 N Y Y N Bank of Nova Scotia In a joint trading account with Bank of Nova Scotia at 1.73%, dated 10/31/2019 due 11/01/2019 L3I9ZG2KFGXZ61BMYR72 FCF780000_00324 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-10-15 2029-08-15 1.125 - 3.125 36723987.28 38414029.45 U.S. Treasuries (including strips) Y N/A N/A 2019-11-01 2019-11-01 2019-11-01 N N N 0.0172 37659000.00 37659000.00 0.0012 N Y Y N BMO Capital Markets Corp. BMO Capital Markets Corp., 1.71% RUC0QBLBRPRCU4W1NE59 0000772028 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2027-02-15 2027-02-15 2.25 - 2.25 28515000.00 29696281.79 U.S. Treasuries (including strips) Y N/A N/A 2019-11-07 2019-11-07 2019-11-27 Y BMO CAP MARKETS CORP(GOV REPO) 1.0000 7 N N/A N/A N N 0.0170 29000000.00 29000000.00 0.0010 N N Y N BMO Capital Markets Corp. BMO Capital Markets Corp., 1.79% RUC0QBLBRPRCU4W1NE59 0000772028 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2019-11-30 2029-02-15 1.125 - 2.625 56958800.00 58180540.96 U.S. Treasuries (including strips) Y N/A N/A 2019-11-07 2019-11-07 2019-11-25 Y BMO CAP MARKETS CORP(GOV REPO) 1.0000 7 N N/A N/A N N 0.0178 57000000.00 57000000.00 0.0019 N N Y N BMO Harris Bank NA BMO Harris Bank NA, 1.69% 3Y4U8VZURTYWI1W2K376 FCC580000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2043-08-15 2044-11-15 3 - 3.625 27865000.00 32230580.37 U.S. Treasuries (including strips) Y N/A N/A 2019-11-07 2019-11-07 2020-01-06 Y BMO CHICAGO BRH IL (GOV REPO) 1.0000 7 N N/A N/A N N 0.0168 30900000.00 30900000.00 0.0010 N N Y N BMO Harris Bank NA BMO Harris Bank NA, 1.83% 3Y4U8VZURTYWI1W2K376 FBG666000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2021-08-15 2021-08-15 2.125 - 2.125 155390000.00 157270612.38 U.S. Treasuries (including strips) Y N/A N/A 2019-11-07 2019-11-07 2019-11-13 Y BMO CHICAGO BRH IL (GOV REPO) 1.0000 7 N N/A N/A N N 0.0181 154000000.00 154000000.00 0.0051 N N Y N BNP Paribas, SA BNP Paribas, SA, 1.71% R0MUWSFPU8MPRO8K5P83 FCD845000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-08-15 2048-05-15 1.375 - 8 579360900.00 634641581.27 U.S. Treasuries (including strips) Y N/A N/A 2019-11-07 2019-11-07 2019-11-27 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0170 620000000.00 620000000.00 0.0206 N N Y N BNP Paribas, SA BNP Paribas, SA, 1.71% R0MUWSFPU8MPRO8K5P83 FCD216000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2025-02-15 2046-11-15 2 - 4.375 42264800.00 43928272.65 U.S. Treasuries (including strips) Y N/A N/A 2019-11-07 2019-11-07 2019-12-24 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0170 43000000.00 43000000.00 0.0014 N N Y N BNP Paribas, SA BNP Paribas, SA, 1.73% R0MUWSFPU8MPRO8K5P83 FCD212000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2021-11-15 2046-05-15 2.5 - 8 37698000.00 43874827.23 U.S. Treasuries (including strips) Y N/A N/A 2019-11-07 2019-11-07 2019-11-25 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0172 43000000.00 43000000.00 0.0014 N N Y N BNP Paribas, SA BNP Paribas, SA, 1.74% R0MUWSFPU8MPRO8K5P83 FCE447000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2021-04-30 2046-08-15 1.776 - 4.375 30335900.00 30604989.82 U.S. Treasuries (including strips) Y N/A N/A 2019-11-05 2019-11-05 2019-11-05 N N N 0.0173 30000000.00 30000000.00 0.0010 N N Y N BNP Paribas, SA BNP Paribas, SA, 1.74% R0MUWSFPU8MPRO8K5P83 FCB684000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2019-12-03 2047-05-15 0 - 7.5 101964300.00 104228787.68 U.S. Treasuries (including strips) Y N/A N/A 2019-11-07 2019-11-07 2019-11-22 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0173 102000000.00 102000000.00 0.0034 N N Y N BNP Paribas, SA BNP Paribas, SA, 1.80% R0MUWSFPU8MPRO8K5P83 FBH591000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2019-11-07 2048-02-15 0 - 8 98642900.00 100045220.84 U.S. Treasuries (including strips) Y N/A N/A 2019-11-07 2019-11-07 2019-11-14 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0179 98000000.00 98000000.00 0.0032 N N Y N BNP Paribas, SA BNP Paribas, SA, 1.83% R0MUWSFPU8MPRO8K5P83 FBG360000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-03-31 2046-11-15 1.125 - 6.25 379965100.00 391611863.24 U.S. Treasuries (including strips) Y N/A N/A 2019-11-07 2019-11-07 2019-11-13 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0181 383000000.00 383000000.00 0.0127 N N Y N BNP Paribas, SA BNP Paribas, SA, 1.83% R0MUWSFPU8MPRO8K5P83 FBG162000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2021-10-31 2046-08-15 1.937 - 4.375 82868100.00 92315046.74 U.S. Treasuries (including strips) Y N/A N/A 2019-11-07 2019-11-07 2019-11-12 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0181 90000000.00 90000000.00 0.0030 N N Y N BNP Paribas, SA BNP Paribas, SA, 1.84% R0MUWSFPU8MPRO8K5P83 FBF180000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2028-11-15 2046-11-15 2.5 - 4.375 50292100.00 61541786.62 U.S. Treasuries (including strips) Y N/A N/A 2019-11-07 2019-11-07 2019-11-07 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0182 60000000.00 60000000.00 0.0020 N N Y N BNP Paribas, SA BNP Paribas, SA, 1.90% R0MUWSFPU8MPRO8K5P83 FBD641000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2041-08-15 2048-02-15 2.875 - 3.75 25477100.00 30947339.52 U.S. Treasuries (including strips) Y N/A N/A 2019-11-04 2019-11-04 2019-11-04 Y BNP PARIBAS (GOV REPO) 1.0000 4 N N/A N/A N N 0.0188 30000000.00 30000000.00 0.0010 N N Y N BNP Paribas, SA BNP Paribas, SA, 2.00% R0MUWSFPU8MPRO8K5P83 FAG068000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2023-02-15 2048-05-15 1.875 - 6.125 66269500.00 70565612.84 U.S. Treasuries (including strips) Y N/A N/A 2019-11-07 2019-11-07 2019-12-16 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0199 69000000.00 69000000.00 0.0023 N N Y N BNP Paribas, SA BNP Paribas, SA, 2.00% R0MUWSFPU8MPRO8K5P83 FAH663000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2021-01-31 2047-08-15 1.375 - 7.5 359009800.00 387029679.98 U.S. Treasuries (including strips) Y N/A N/A 2019-11-07 2019-11-07 2019-12-18 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0199 377000000.00 377000000.00 0.0125 N N Y N BNP Paribas, SA BNP Paribas, SA, 2.00% R0MUWSFPU8MPRO8K5P83 FAF415000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2021-06-15 2040-11-15 1.875 - 4.75 75585700.00 81719979.23 U.S. Treasuries (including strips) Y N/A N/A 2019-11-07 2019-11-07 2019-12-12 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0198 79900000.00 79900000.00 0.0026 N N Y N BNP Paribas, SA BNP Paribas, SA, 2.00% R0MUWSFPU8MPRO8K5P83 EJF572000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2021-01-31 2048-05-15 1.375 - 6.625 36314300.00 37902530.52 U.S. Treasuries (including strips) Y N/A N/A 2019-11-07 2019-11-07 2019-11-20 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0198 37000000.00 37000000.00 0.0012 N N Y N BNP Paribas, SA BNP Paribas, SA, 2.00% R0MUWSFPU8MPRO8K5P83 FAC033000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-10-31 2046-08-15 1.682 - 3.75 50664500.00 65095494.50 U.S. Treasuries (including strips) Y N/A N/A 2019-11-07 2019-11-07 2019-12-02 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0198 63000000.00 63000000.00 0.0021 N N Y N BNP Paribas, SA BNP Paribas, SA, 2.01% R0MUWSFPU8MPRO8K5P83 FAG067000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-11-30 2044-08-15 1.625 - 7.625 63822700.00 70605875.63 U.S. Treasuries (including strips) Y N/A N/A 2019-11-07 2019-11-07 2019-11-15 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0199 69000000.00 69000000.00 0.0023 N N Y N BNP Paribas, SA BNP Paribas, SA, 2.01% R0MUWSFPU8MPRO8K5P83 FAC494000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2021-04-30 2046-08-15 1.625 - 7.625 150911800.00 167872840.33 U.S. Treasuries (including strips) Y N/A N/A 2019-11-07 2019-11-07 2019-12-02 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0199 164000000.00 164000000.00 0.0054 N N Y N BNP Paribas, SA BNP Paribas, SA, 2.01% R0MUWSFPU8MPRO8K5P83 FAI441000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2019-12-03 2046-08-15 0 - 6.5 70244000.00 74659632.40 U.S. Treasuries (including strips) Y N/A N/A 2019-11-07 2019-11-07 2019-12-19 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0200 73000000.00 73000000.00 0.0024 N N Y N BNP Paribas, SA BNP Paribas, SA, 2.02% R0MUWSFPU8MPRO8K5P83 FAD130000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2021-04-30 2047-05-15 1.125 - 5.25 27960800.00 33039223.18 U.S. Treasuries (including strips) Y N/A N/A 2019-11-07 2019-11-07 2019-11-08 Y BNP PARIBAS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0200 32000000.00 32000000.00 0.0011 N N Y N BofA Securities, Inc. BofA Securities, Inc., 1.75% 549300HN4UKV1E2R3U73 FCB150000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2021-04-30 2021-04-30 1.375 - 1.375 29700200.00 29594407.89 U.S. Treasuries (including strips) Y N/A N/A 2019-11-07 2019-11-07 2019-11-22 Y BANK OF AMERICA CORPORATION 1.0000 7 N N/A N/A Y BANK OF AMERICA CORPORATION 1.0000 N/A N/A N 0.0174 29000000.00 29000000.00 0.0010 N N Y N CIBC Bank U.S.A. CIBC Bank U.S.A., 1.63% 2IGI19DL77OX0HC3ZE78 FCF451000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-12-31 2044-08-15 1.625 - 3.625 89766400.00 93855521.30 U.S. Treasuries (including strips) Y N/A N/A 2019-11-07 2019-11-07 2019-12-12 Y CIBC NY BRNCH (GOV REPO) 1.0000 7 N N/A N/A N N 0.0162 92000000.00 92000000.00 0.0031 N N Y N CIBC Bank U.S.A. CIBC Bank U.S.A., 1.77% 2IGI19DL77OX0HC3ZE78 FBJ824000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2021-09-30 2044-08-15 1.875 - 3.125 50603400.00 53068780.33 U.S. Treasuries (including strips) Y N/A N/A 2019-11-07 2019-11-07 2019-11-21 Y CIBC NY BRNCH (GOV REPO) 1.0000 7 N N/A N/A N N 0.0176 52000000.00 52000000.00 0.0017 N N Y N CIBC Bank U.S.A. CIBC Bank U.S.A., 1.80% 2IGI19DL77OX0HC3ZE78 FBE844000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2021-09-30 2044-08-15 1.625 - 3.125 14871600.00 15318474.43 U.S. Treasuries (including strips) Y N/A N/A 2019-11-07 2019-11-07 2019-12-06 Y CIBC NY BRNCH (GOV REPO) 1.0000 7 N N/A N/A N N 0.0179 15000000.00 15000000.00 0.0005 N N Y N CIBC Bank U.S.A. CIBC Bank U.S.A., 1.84% 2IGI19DL77OX0HC3ZE78 FBE843000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2021-09-30 2046-11-15 1.625 - 3.625 15009300.00 15320411.13 U.S. Treasuries (including strips) Y N/A N/A 2019-11-07 2019-11-07 2019-11-08 Y CIBC NY BRNCH (GOV REPO) 1.0000 7 N N/A N/A N N 0.0182 15000000.00 15000000.00 0.0005 N N Y N CIBC Bank U.S.A. CIBC Bank U.S.A., 1.85% 2IGI19DL77OX0HC3ZE78 FBH800000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-12-15 2046-11-15 1.625 - 3.625 57958500.00 61377706.82 U.S. Treasuries (including strips) Y N/A N/A 2019-11-06 2019-11-06 2019-11-06 Y CIBC NY BRNCH (GOV REPO) 1.0000 6 N N/A N/A N N 0.0183 60000000.00 60000000.00 0.0020 N N Y N Citibank NA In a joint trading account with Citibank NA at 1.72%, dated 10/31/2019 due 11/01/2019 E57ODZWZ7FF32TWEFA76 FCF584000_00276 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2019-11-07 2049-08-15 0 - 8.75 405940747.64 421674601.81 U.S. Treasuries (including strips) Y N/A N/A 2019-11-01 2019-11-01 2019-11-01 N N N 0.0171 413292000.00 413292000.00 0.0137 N Y Y N Credit AG Credit AG, 1.64% 1VUV7VQFKUOQSJ21A208 FCF401000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2021-10-31 2021-10-31 1.5 - 1.5 62282500.00 62222895.65 U.S. Treasuries (including strips) Y N/A N/A 2019-11-07 2019-11-07 2019-11-07 N N N 0.0163 61000000.00 61000000.00 0.0020 N N Y N Credit AG Credit AG, 1.76% 1VUV7VQFKUOQSJ21A208 FCA434000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2044-05-15 2044-05-15 3.375 - 3.375 100298500.00 124697145.27 U.S. Treasuries (including strips) Y N/A N/A 2019-11-07 2019-11-07 2019-11-21 Y CREDIT AG CIB (GOV REPO) 1.0000 7 N N/A N/A N N 0.0175 121000000.00 121000000.00 0.0040 N N Y N Credit AG Credit AG, 1.80% 1VUV7VQFKUOQSJ21A208 FBI299000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2021-10-31 2021-10-31 1.5 - 1.5 61307700.00 61249028.53 U.S. Treasuries (including strips) Y N/A N/A 2019-11-07 2019-11-07 2019-11-18 Y CREDIT AG CIB (GOV REPO) 1.0000 7 N N/A N/A N N 0.0179 60000000.00 60000000.00 0.0020 N N Y N Credit AG Credit AG, 1.86% 1VUV7VQFKUOQSJ21A208 FCD227000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2021-10-31 2021-10-31 1.5 - 1.5 30640400.00 30611077.14 U.S. Treasuries (including strips) Y N/A N/A 2019-11-01 2019-11-01 2019-11-01 N N N 0.0184 30000000.00 30000000.00 0.0010 N Y Y N Credit Agricole CIB New York Branch In a joint trading account with Credit Agricole CIB New York Branch at 1.72%, dated 10/31/2019 due 11/01/2019 1VUV7VQFKUOQSJ21A208 FCF584000_02102 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2019-11-07 2047-11-15 0 - 4.75 342048719.98 356726813.47 U.S. Treasuries (including strips) Y N/A N/A 2019-11-01 2019-11-01 2019-11-01 N N N 0.0171 349242000.00 349242000.00 0.0116 N Y Y N Credit Agricole CIB New York Branch In a joint trading account with Credit Agricole CIB New York Branch at 1.73%, dated 10/31/2019 due 11/01/2019 1VUV7VQFKUOQSJ21A208 FCF780000_02102 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2019-11-07 2047-11-15 0 - 4.75 304513093.70 317580447.55 U.S. Treasuries (including strips) Y N/A N/A 2019-11-01 2019-11-01 2019-11-01 N N N 0.0172 310917000.00 310917000.00 0.0103 N Y Y N Credit Suisse AG, New York Credit Suisse AG, New York, 1.73% ANGGYXNX0JLX3X63JN86 FCF368000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2022-11-15 2048-11-15 1.5 - 7.625 1592910500.00 1692262489.05 U.S. Treasuries (including strips) Y N/A N/A 2019-11-01 2019-11-01 2019-11-01 N N N 0.0172 1659000000.00 1659000000.00 0.0550 N Y Y N Deutsche Bank AG, New York Deutsche Bank AG, New York, 1.75% 7LTWFZYICNSX8D621K86 FCF353000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2021-06-15 2043-05-15 2.625 - 2.875 150970500.00 162958034.27 U.S. Treasuries (including strips) Y N/A N/A 2019-11-01 2019-11-01 2019-11-01 N N N 0.0173 159000000.00 159000000.00 0.0053 N Y Y N Deutsche Bank Securities, Inc. Deutsche Bank Securities, Inc., 1.75% 9J6MBOOO7BECTDTUZW19 0000058056 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2024-02-29 2047-08-15 2.125 - 2.75 7547300.00 8214406.86 U.S. Treasuries (including strips) Y N/A N/A 2019-11-01 2019-11-01 2019-11-01 N N N 0.0173 8000000.00 8000000.00 0.0003 N Y Y N DNB Bank ASA DNB Bank ASA, 1.73% 549300GKFG0RYRRQ1414 FCF378000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2022-02-15 2025-08-15 1.875 - 2.875 1239772800.00 1273021576.37 U.S. Treasuries (including strips) Y N/A N/A 2019-11-01 2019-11-01 2019-11-01 N N N 0.0172 1248000000.00 1248000000.00 0.0414 N Y Y N Fixed Income Clearing Corp. - BNYM Fixed Income Clearing Corp. - BNYM, 1.74% 549300H47WTHXPU08X20 FCF338000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2025-11-30 2044-05-15 2.125 - 3.375 1148091800.00 1245420031.89 U.S. Treasuries (including strips) Y N/A N/A 2019-11-01 2019-11-01 2019-11-01 N N N 0.0173 1221000000.00 1221000000.00 0.0405 N Y Y N Goldman Sachs & Co. Goldman Sachs & Co., 1.70% FOR8UP27PHTHYVLBNG30 0000769993 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2019-12-15 2028-05-15 1.25 - 2.875 1123295100.00 1128226619.81 U.S. Treasuries (including strips) Y N/A N/A 2019-11-06 2019-11-06 2019-11-06 N N N 0.0169 1106000000.00 1106000000.00 0.0367 N N Y N HSBC Securities, Inc. HSBC Securities, Inc., 1.71% CYYGQCGNHMHPSMRL3R97 0000853784 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2024-03-31 2024-03-31 2.125 - 2.125 67611600.00 69366652.68 U.S. Treasuries (including strips) Y N/A N/A 2019-11-06 2019-11-06 2019-11-06 N N N 0.0170 68000000.00 68000000.00 0.0023 N N Y N HSBC Securities, Inc. HSBC Securities, Inc., 1.73% CYYGQCGNHMHPSMRL3R97 0000853784 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2021-03-15 2021-03-15 2.375 - 2.375 33334000.00 33741347.27 U.S. Treasuries (including strips) Y N/A N/A 2019-11-01 2019-11-01 2019-11-01 N N N 0.0172 33000000.00 33000000.00 0.0011 N Y Y N ING Financial Markets LLC ING Financial Markets LLC, 1.74% KBVRJ5K57JZ3E2AVWX40 0000877559 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2020-10-31 2026-11-15 1.75 - 2 60586000.00 62307942.55 U.S. Treasuries (including strips) Y N/A N/A 2019-11-01 2019-11-01 2019-11-01 N N N 0.0173 61000000.00 61000000.00 0.0020 N Y Y N ING Financial Markets LLC ING Financial Markets LLC, 1.84% KBVRJ5K57JZ3E2AVWX40 0000877559 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2022-04-30 2022-04-30 1.75 - 1.75 18282600.00 18369442.35 U.S. Treasuries (including strips) Y N/A N/A 2019-11-05 2019-11-05 2019-11-05 N N N 0.0182 18000000.00 18000000.00 0.0006 N N Y N Jp Morgan Secs Llc In a joint trading account with Jp Morgan Secs Llc at 1.72%, dated 10/31/2019 due 11/01/2019 ZBUT11V806EZRVTWT807 FCF584000_00267 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2026-05-15 2039-02-15 1.375 - 5 273024341.89 276906109.22 U.S. Treasuries (including strips) Y N/A N/A 2019-11-01 2019-11-01 2019-11-01 N N N 0.0171 271464000.00 271464000.00 0.0090 N Y Y N Jp Morgan Secs Llc In a joint trading account with Jp Morgan Secs Llc at 1.73%, dated 10/31/2019 due 11/01/2019 ZBUT11V806EZRVTWT807 FCF780000_00267 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2026-05-15 2039-02-15 1.375 - 5 34195.43 34681.61 U.S. Treasuries (including strips) Y N/A N/A 2019-11-01 2019-11-01 2019-11-01 N N N 0.0172 34000.00 34000.00 0.0000 N Y Y N Lloyds Bank PLC Lloyds Bank PLC, 1.76% H7FNTJ4851HG0EXQ1Z70 FCB743000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2021-11-30 2026-02-15 1.75 - 6 30316000.00 30603956.28 U.S. Treasuries (including strips) Y N/A N/A 2019-12-20 2019-12-20 2019-12-20 N N N 0.0175 30000000.00 30000000.00 0.0010 N N N Y Lloyds Bank PLC Lloyds Bank PLC, 1.77% H7FNTJ4851HG0EXQ1Z70 FCC564000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2026-02-15 2026-08-15 6 - 6.75 23674200.00 31623703.52 U.S. Treasuries (including strips) Y N/A N/A 2019-12-16 2019-12-16 2019-12-16 N N N 0.0176 31000000.00 31000000.00 0.0010 N N N Y Lloyds Bank PLC Lloyds Bank PLC, 1.81% H7FNTJ4851HG0EXQ1Z70 FBJ764000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2025-09-30 2026-02-15 3 - 6 28437800.00 30605000.18 U.S. Treasuries (including strips) Y N/A N/A 2019-11-22 2019-11-22 2019-11-22 N N N 0.0180 30000000.00 30000000.00 0.0010 N N N Y Lloyds Bank PLC Lloyds Bank PLC, 1.81% H7FNTJ4851HG0EXQ1Z70 FBH601000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2025-09-30 2026-02-15 3 - 6 28450900.00 30625069.00 U.S. Treasuries (including strips) Y N/A N/A 2019-12-17 2019-12-17 2019-12-17 N N N 0.0180 30000000.00 30000000.00 0.0010 N N N Y Lloyds Bank PLC Lloyds Bank PLC, 1.84% H7FNTJ4851HG0EXQ1Z70 FBI297000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2021-05-15 2026-02-15 2.625 - 6 29836000.00 30616696.79 U.S. Treasuries (including strips) Y N/A N/A 2019-11-18 2019-11-18 2019-11-18 N N N 0.0182 30000000.00 30000000.00 0.0010 N N N Y Lloyds Bank PLC Lloyds Bank PLC, 1.86% H7FNTJ4851HG0EXQ1Z70 FBF652000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2026-02-15 2026-02-15 6 - 6 12099700.00 15348370.82 U.S. Treasuries (including strips) Y N/A N/A 2019-12-11 2019-12-11 2019-12-11 N N N 0.0185 15000000.00 15000000.00 0.0005 N N N Y Lloyds Bank PLC Lloyds Bank PLC, 2.00% H7FNTJ4851HG0EXQ1Z70 FAH159000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2026-02-15 2026-02-15 6 - 6 9691400.00 12293461.91 U.S. Treasuries (including strips) Y N/A N/A 2019-11-20 2019-11-20 2019-11-20 N N N 0.0198 12000000.00 12000000.00 0.0004 N N N Y Mitsubishi UFJ Securities (U.S.A.), Inc. Mitsubishi UFJ Securities (U.S.A.), Inc., 1.85% K5HU16E3LMSVCCJJJ255 FBJ743000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2026-08-15 2029-05-15 1.5 - 2.375 15160800.00 15311075.92 U.S. Treasuries (including strips) Y N/A N/A 2019-11-07 2019-11-07 2019-11-18 Y MUFG SECS AMERS INC (GOV REPO) 1.0000 7 N N/A N/A N N 0.0183 15000000.00 15000000.00 0.0005 N N Y N Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 1.72% 7TK5RJIZDFROZCA6XF66 0000812291 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2025-06-30 2025-06-30 2.75 - 2.75 374650000.00 399518920.83 U.S. Treasuries (including strips) Y N/A N/A 2019-11-01 2019-11-01 2019-11-01 N N N 0.0171 392000000.00 392000000.00 0.0130 N Y Y N Morgan Stanley & Co., LLC Morgan Stanley & Co., LLC, 1.73% 9R7GPTSO7KV3UQJZQ078 0000068136 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-06-18 2047-11-15 0 - 6.125 214647700.00 241751696.89 U.S. Treasuries (including strips) Y N/A N/A 2019-11-01 2019-11-01 2019-11-01 N N N 0.0172 237000000.00 237000000.00 0.0079 N Y Y N MUFG Securities (Canada), Ltd. MUFG Securities (Canada), Ltd., 1.64% 549300Y1PMK3RWXMWR72 FCF400000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-10-08 2047-08-15 0 - 3 30820700.00 31621483.32 U.S. Treasuries (including strips) Y N/A N/A 2019-11-07 2019-11-07 2019-11-07 N N N 0.0163 31000000.00 31000000.00 0.0010 N N Y N MUFG Securities (Canada), Ltd. MUFG Securities (Canada), Ltd., 1.87% 549300Y1PMK3RWXMWR72 FCD179000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2025-07-31 2025-07-31 2.875 - 2.875 43588200.00 46937146.79 U.S. Treasuries (including strips) Y N/A N/A 2019-11-01 2019-11-01 2019-11-01 N N N 0.0185 46000000.00 46000000.00 0.0015 N Y Y N MUFG Securities EMEA PLC MUFG Securities EMEA PLC, 1.67% U7M81AY481YLIOR75625 FCE560000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2020-12-15 2025-05-15 1.875 - 2.125 468963400.00 476239946.33 U.S. Treasuries (including strips) Y N/A N/A 2019-11-07 2019-11-07 2019-12-02 Y MUFG SECS EMEA PLC (GOV REPO) 1.0000 7 N N/A N/A N N 0.0166 467000000.00 467000000.00 0.0155 N N Y N MUFG Securities EMEA PLC MUFG Securities EMEA PLC, 1.69% U7M81AY481YLIOR75625 FCD880000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2020-03-31 2020-03-31 1.375 - 1.375 35690500.00 35693253.42 U.S. Treasuries (including strips) Y N/A N/A 2019-11-07 2019-11-07 2019-11-12 Y MUFG SECS EMEA PLC (GOV REPO) 1.0000 7 N N/A N/A N N 0.0168 35000000.00 35000000.00 0.0012 N N Y N MUFG Securities EMEA PLC MUFG Securities EMEA PLC, 1.73% U7M81AY481YLIOR75625 FCF383000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2025-06-30 2028-05-15 2.75 - 2.875 172991000.00 189701664.98 U.S. Treasuries (including strips) Y N/A N/A 2019-11-01 2019-11-01 2019-11-01 N N N 0.0172 186000000.00 186000000.00 0.0062 N Y Y N MUFG Securities EMEA PLC MUFG Securities EMEA PLC, 1.78% U7M81AY481YLIOR75625 FBJ099000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2021-03-31 2022-07-31 1.25 - 2.125 70571500.00 71425762.06 U.S. Treasuries (including strips) Y N/A N/A 2019-11-07 2019-11-07 2019-11-18 Y MUFG SECS EMEA PLC (GOV REPO) 1.0000 7 N N/A N/A N N 0.0177 70000000.00 70000000.00 0.0023 N N Y N MUFG Securities EMEA PLC MUFG Securities EMEA PLC, 1.81% U7M81AY481YLIOR75625 FCC620000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2022-07-31 2026-08-31 1.375 - 2 17490300.00 17341632.15 U.S. Treasuries (including strips) Y N/A N/A 2019-11-05 2019-11-05 2019-11-05 Y MUFG SECS EMEA PLC (GOV REPO) 1.0000 5 N N/A N/A N N 0.0179 17000000.00 17000000.00 0.0006 N N Y N MUFG Securities EMEA PLC MUFG Securities EMEA PLC, 1.82% U7M81AY481YLIOR75625 FBJ866000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2022-07-31 2025-08-15 2 - 2 27980600.00 28569305.91 U.S. Treasuries (including strips) Y N/A N/A 2019-11-04 2019-11-04 2019-11-04 Y MUFG SECS EMEA PLC (GOV REPO) 1.0000 4 N N/A N/A N N 0.0180 28000000.00 28000000.00 0.0009 N N Y N MUFG Securities EMEA PLC MUFG Securities EMEA PLC, 1.82% U7M81AY481YLIOR75625 FBF723000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2022-07-31 2023-08-31 2 - 2.75 42000100.00 43894162.64 U.S. Treasuries (including strips) Y N/A N/A 2019-11-07 2019-11-07 2019-11-12 Y MUFG SECS EMEA PLC (GOV REPO) 1.0000 7 N N/A N/A N N 0.0180 43000000.00 43000000.00 0.0014 N N Y N MUFG Securities EMEA PLC MUFG Securities EMEA PLC, 1.83% U7M81AY481YLIOR75625 FCC610000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2022-07-31 2025-05-31 2 - 2.875 17080100.00 18360723.43 U.S. Treasuries (including strips) Y N/A N/A 2019-11-04 2019-11-04 2019-11-04 Y MUFG SECS EMEA PLC (GOV REPO) 1.0000 4 N N/A N/A N N 0.0181 18000000.00 18000000.00 0.0006 N N Y N MUFG Securities EMEA PLC MUFG Securities EMEA PLC, 1.84% U7M81AY481YLIOR75625 FCB196000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2022-07-31 2024-05-31 2 - 2 30864700.00 31623997.73 U.S. Treasuries (including strips) Y N/A N/A 2019-11-04 2019-11-04 2019-11-04 Y MUFG SECS EMEA PLC (GOV REPO) 1.0000 4 N N/A N/A N N 0.0182 31000000.00 31000000.00 0.0010 N N Y N MUFG Securities EMEA PLC MUFG Securities EMEA PLC, 1.84% U7M81AY481YLIOR75625 FBJ084000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2022-03-31 2022-12-31 1.875 - 2.125 71880700.00 73468398.58 U.S. Treasuries (including strips) Y N/A N/A 2019-11-06 2019-11-06 2019-11-06 Y MUFG SECS EMEA PLC (GOV REPO) 1.0000 6 N N/A N/A N N 0.0182 72000000.00 72000000.00 0.0024 N N Y N MUFG Securities EMEA PLC MUFG Securities EMEA PLC, 1.86% U7M81AY481YLIOR75625 FBD758000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2021-11-15 2022-07-31 1.875 - 2.875 76516300.00 78627361.73 U.S. Treasuries (including strips) Y N/A N/A 2019-11-06 2019-11-06 2019-11-06 Y MUFG SECS EMEA PLC (GOV REPO) 1.0000 6 N N/A N/A N N 0.0184 77000000.00 77000000.00 0.0026 N N Y N MUFG Securities EMEA PLC MUFG Securities EMEA PLC, 1.87% U7M81AY481YLIOR75625 FCD877000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2020-08-15 2021-07-31 1.125 - 2.625 25537000.00 25503329.21 U.S. Treasuries (including strips) Y N/A N/A 2019-11-01 2019-11-01 2019-11-01 N N N 0.0185 25000000.00 25000000.00 0.0008 N Y Y N MUFG Securities EMEA PLC MUFG Securities EMEA PLC, 1.88% U7M81AY481YLIOR75625 FBJ865000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2020-08-15 2021-07-31 2.25 - 2.625 70340200.00 71417192.70 U.S. Treasuries (including strips) Y N/A N/A 2019-11-01 2019-11-01 2019-11-01 Y MUFG SECS EMEA PLC (GOV REPO) 1.0000 1 N N/A N/A N N 0.0186 70000000.00 70000000.00 0.0023 N Y Y N MUFG Securities EMEA PLC MUFG Securities EMEA PLC, 1.89% U7M81AY481YLIOR75625 FCB181000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2020-08-15 2025-05-15 2.125 - 2.625 32379400.00 32651242.45 U.S. Treasuries (including strips) Y N/A N/A 2019-11-01 2019-11-01 2019-11-01 Y MUFG SECS EMEA PLC (GOV REPO) 1.0000 1 N N/A N/A N N 0.0187 32000000.00 32000000.00 0.0011 N Y Y N MUFG Securities EMEA PLC MUFG Securities EMEA PLC, 1.90% U7M81AY481YLIOR75625 FCC608000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2020-08-15 2023-05-31 2.625 - 2.75 47614600.00 49982167.87 U.S. Treasuries (including strips) Y N/A N/A 2019-11-01 2019-11-01 2019-11-01 Y MUFG SECS EMEA PLC (GOV REPO) 1.0000 1 N N/A N/A N N 0.0188 49000000.00 49000000.00 0.0016 N Y Y N Natixis SA Natixis SA, 1.84% KX1WK48MPD4Y2NCUIZ63 FBF150000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2019-11-21 2045-08-15 0 - 8 60718000.00 61275085.82 U.S. Treasuries (including strips) Y N/A N/A 2019-11-07 2019-11-07 2019-11-08 Y NATIXIS SA (GOV REPO) 1.0000 7 N N/A N/A N N 0.0182 60000000.00 60000000.00 0.0020 N N Y N Natixis SA Natixis SA, 1.86% KX1WK48MPD4Y2NCUIZ63 FBJ704000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-09-30 2025-11-30 1.25 - 2.875 57740600.00 61244293.30 U.S. Treasuries (including strips) Y N/A N/A 2019-11-01 2019-11-01 2019-11-01 Y NATIXIS SA (GOV REPO) 1.0000 1 N N/A N/A N N 0.0184 60000000.00 60000000.00 0.0020 N Y Y N Natixis SA Natixis SA, 1.88% KX1WK48MPD4Y2NCUIZ63 FBE248000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2019-11-15 2049-02-15 0 - 8 164991900.00 172848531.04 U.S. Treasuries (including strips) Y N/A N/A 2019-11-05 2019-11-05 2019-11-05 Y NATIXIS SA (GOV REPO) 1.0000 5 N N/A N/A N N 0.0186 169000000.00 169000000.00 0.0056 N N Y N Natixis SA Natixis SA, 1.89% KX1WK48MPD4Y2NCUIZ63 FBD585000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-07-31 2026-07-31 1.25 - 2.875 59945900.00 62314827.80 U.S. Treasuries (including strips) Y N/A N/A 2019-11-04 2019-11-04 2019-11-04 Y NATIXIS SA (GOV REPO) 1.0000 4 N N/A N/A N N 0.0187 61000000.00 61000000.00 0.0020 N N Y N Natixis SA Natixis SA, 1.91% KX1WK48MPD4Y2NCUIZ63 FBC896000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2019-11-21 2044-11-15 0 - 8 56734700.00 60082191.81 U.S. Treasuries (including strips) Y N/A N/A 2019-11-01 2019-11-01 2019-11-01 Y NATIXIS SA (GOV REPO) 1.0000 1 N N/A N/A N N 0.0189 58800000.00 58800000.00 0.0019 N Y Y N Natixis SA Natixis SA, 1.92% KX1WK48MPD4Y2NCUIZ63 FBC151000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-07-31 2025-02-15 1.25 - 2.625 29107900.00 29628927.78 U.S. Treasuries (including strips) Y N/A N/A 2019-11-01 2019-11-01 2019-11-01 Y NATIXIS SA (GOV REPO) 1.0000 1 N N/A N/A N N 0.0190 29000000.00 29000000.00 0.0010 N Y Y N Nomura Securities Internationa In a joint trading account with Nomura Securities Internationa at 1.72%, dated 10/31/2019 due 11/01/2019 OXTKY6Q8X53C9ILVV871 FCF584000_07426 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2019-12-24 2047-08-15 0 - 8.125 28793913.52 29666764.01 U.S. Treasuries (including strips) Y N/A N/A 2019-11-01 2019-11-01 2019-11-01 N N N 0.0171 29030000.00 29030000.00 0.0010 N Y Y N Norinchukin Bank Norinchukin Bank, 1.78% 5493007VSMFZCPV1NB83 FCC569000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES OF A 254900HROIFWPRGM1V77 2049-08-15 2049-08-15 2.25 - 2.25 15394700.00 15455436.86 U.S. Treasuries (including strips) Y N/A N/A 2020-01-24 2020-01-24 2020-01-24 N N N 0.0177 15000000.00 15000000.00 0.0005 N N N Y Norinchukin Bank Norinchukin Bank, 1.80% 5493007VSMFZCPV1NB83 FBJ119000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES OF A 254900HROIFWPRGM1V77 2049-08-15 2049-08-15 2.25 - 2.25 24500.00 24596.66 U.S. Treasuries (including strips) UNITED STATES OF A 254900HROIFWPRGM1V77 2026-08-15 2026-08-15 1.5 - 1.5 12330200.00 12224237.34 U.S. Treasuries (including strips) Y N/A N/A 2020-01-21 2020-01-21 2020-01-21 N N N 0.0179 12000000.00 12000000.00 0.0004 N N N Y Norinchukin Bank Norinchukin Bank, 1.80% 5493007VSMFZCPV1NB83 FBJ751000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES OF A 254900HROIFWPRGM1V77 2026-08-15 2026-08-15 1.5 - 1.5 30837100.00 30572093.67 U.S. Treasuries (including strips) UNITED STATES OF A 254900HROIFWPRGM1V77 2020-02-15 2020-02-15 8.5 - 8.5 46100.00 47834.15 U.S. Treasuries (including strips) Y N/A N/A 2020-01-22 2020-01-22 2020-01-22 N N N 0.0179 30000000.00 30000000.00 0.0010 N N N Y Norinchukin Bank Norinchukin Bank, 2.03% 5493007VSMFZCPV1NB83 FAJ450000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES OF A 254900HROIFWPRGM1V77 2020-11-15 2020-11-15 2.625 - 2.625 30990600.00 31673361.65 U.S. Treasuries (including strips) UNITED STATES OF A 254900HROIFWPRGM1V77 2049-08-15 2049-08-15 2.25 - 2.25 12700.00 12750.10 U.S. Treasuries (including strips) Y N/A N/A 2019-12-16 2019-12-16 2019-12-16 N N N 0.0201 31000000.00 31000000.00 0.0010 N N N Y Norinchukin Bank Norinchukin Bank, 2.07% 5493007VSMFZCPV1NB83 FAB991000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES OF A 254900HROIFWPRGM1V77 2026-11-15 2026-11-15 2 - 2 46387100.00 47805892.59 U.S. Treasuries (including strips) UNITED STATES OF A 254900HROIFWPRGM1V77 2020-02-15 2020-02-15 8.5 - 8.5 278100.00 288561.33 U.S. Treasuries (including strips) Y N/A N/A 2019-12-05 2019-12-05 2019-12-05 N N N 0.0205 47000000.00 47000000.00 0.0016 N N N Y Norinchukin Bank Norinchukin Bank, 2.07% 5493007VSMFZCPV1NB83 FAD181000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES OF A 254900HROIFWPRGM1V77 2020-11-15 2020-11-15 2.625 - 2.625 32028300.00 32733923.48 U.S. Treasuries (including strips) UNITED STATES OF A 254900HROIFWPRGM1V77 2020-02-15 2020-02-15 8.5 - 8.5 3600.00 3735.42 U.S. Treasuries (including strips) Y N/A N/A 2019-12-09 2019-12-09 2019-12-09 N N N 0.0205 32000000.00 32000000.00 0.0011 N N N Y Norinchukin Bank Norinchukin Bank, 2.07% 5493007VSMFZCPV1NB83 FAH123000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES OF A 254900HROIFWPRGM1V77 2026-08-15 2026-08-15 1.5 - 1.5 30863600.00 30598365.93 U.S. Treasuries (including strips) UNITED STATES OF A 254900HROIFWPRGM1V77 2020-02-15 2020-02-15 8.5 - 8.5 74500.00 77302.47 U.S. Treasuries (including strips) Y N/A N/A 2019-12-18 2019-12-18 2019-12-18 N N N 0.0205 30000000.00 30000000.00 0.0010 N N N Y Norinchukin Bank Norinchukin Bank, 2.09% 5493007VSMFZCPV1NB83 EJF581000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES OF A 254900HROIFWPRGM1V77 2020-11-15 2020-11-15 2.625 - 2.625 31064100.00 31748480.95 U.S. Treasuries (including strips) UNITED STATES OF A 254900HROIFWPRGM1V77 2020-02-15 2020-02-15 8.5 - 8.5 3600.00 3735.42 U.S. Treasuries (including strips) Y N/A N/A 2019-11-22 2019-11-22 2019-11-22 N N N 0.0207 31000000.00 31000000.00 0.0010 N N N Y Norinchukin Bank Norinchukin Bank, 2.10% 5493007VSMFZCPV1NB83 EJE488000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES OF A 254900HROIFWPRGM1V77 2026-08-15 2026-11-15 1.5 - 2 16498300.00 16361611.09 U.S. Treasuries (including strips) UNITED STATES OF A 254900HROIFWPRGM1V77 2020-02-15 2020-02-15 8.5 - 8.5 29700.00 30817.23 U.S. Treasuries (including strips) Y N/A N/A 2019-11-19 2019-11-19 2019-11-19 N N N 0.0208 16000000.00 16000000.00 0.0005 N N N Y Prudential Insurance Co. of America Prudential Insurance Co. of America, 1.76% X574KRZ6V5A7UBU45C31 FCF358000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2020-04-30 2036-02-15 0 - 7.5 89300000.00 108460528.39 U.S. Treasuries (including strips) Y N/A N/A 2019-11-01 2019-11-01 2019-11-01 N N N 0.0174 106381625.00 106381625.00 0.0035 N Y Y N RBC Dominion Securities RBC Dominion Securities, 1.65% 549300QJJX6CVVUXLE15 FCB689000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-01-02 2046-02-15 0 - 6.5 95515700.00 100155709.82 U.S. Treasuries (including strips) Y N/A N/A 2019-11-07 2019-11-07 2020-01-23 Y RBC DOMINION SECS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0164 98000000.00 98000000.00 0.0032 N N Y N RBC Dominion Securities RBC Dominion Securities, 1.68% 549300QJJX6CVVUXLE15 FCD228000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2024-09-30 2044-11-15 2.125 - 6 23433500.00 30837744.70 U.S. Treasuries (including strips) Y N/A N/A 2019-11-07 2019-11-07 2020-01-22 Y RBC DOMINION SECS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0167 30000000.00 30000000.00 0.0010 N N Y N RBC Dominion Securities RBC Dominion Securities, 1.68% 549300QJJX6CVVUXLE15 FCB184000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-11-30 2049-02-15 1.125 - 6.5 86101700.00 92149781.86 U.S. Treasuries (including strips) Y N/A N/A 2019-11-07 2019-11-07 2019-12-23 Y RBC DOMINION SECS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0167 90000000.00 90000000.00 0.0030 N N Y N RBC Dominion Securities RBC Dominion Securities, 1.80% 549300QJJX6CVVUXLE15 FCC534000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2021-09-30 2049-02-15 1.125 - 6.5 47315500.00 47959525.90 U.S. Treasuries (including strips) Y N/A N/A 2019-11-07 2019-11-07 2019-11-07 Y RBC DOMINION SECS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0178 47000000.00 47000000.00 0.0016 N N Y N RBC Dominion Securities RBC Dominion Securities, 1.80% 549300QJJX6CVVUXLE15 FBE847000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2019-11-07 2049-02-15 0 - 6.5 28932100.00 30637006.91 U.S. Treasuries (including strips) Y N/A N/A 2019-11-07 2019-11-07 2019-12-09 Y RBC DOMINION SECS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0179 30000000.00 30000000.00 0.0010 N N Y N RBC Dominion Securities RBC Dominion Securities, 2.00% 549300QJJX6CVVUXLE15 EJE479000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-05-31 2049-02-15 1.375 - 6 26384800.00 31956579.23 U.S. Treasuries (including strips) Y N/A N/A 2019-11-07 2019-11-07 2019-11-15 Y RBC DOMINION SECS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0198 31000000.00 31000000.00 0.0010 N N Y N RBC Dominion Securities RBC Dominion Securities, 2.00% 549300QJJX6CVVUXLE15 EJE480000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-05-31 2049-02-15 1.125 - 6.5 31298700.00 31757263.75 U.S. Treasuries (including strips) Y N/A N/A 2019-11-07 2019-11-07 2019-11-18 Y RBC DOMINION SECS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0198 31000000.00 31000000.00 0.0010 N N Y N RBC Dominion Securities RBC Dominion Securities, 2.01% 549300QJJX6CVVUXLE15 EJD672000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2021-09-30 2049-02-15 1.125 - 6.5 32194300.00 32790635.14 U.S. Treasuries (including strips) Y N/A N/A 2019-11-07 2019-11-07 2019-11-14 Y RBC DOMINION SECS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0199 32000000.00 32000000.00 0.0011 N N Y N RBC Dominion Securities RBC Dominion Securities, 2.01% 549300QJJX6CVVUXLE15 EJD750000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2019-11-30 2049-02-15 0 - 8.75 45659600.00 49071366.41 U.S. Treasuries (including strips) Y N/A N/A 2019-11-07 2019-11-07 2019-11-15 Y RBC DOMINION SECS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0199 47900000.00 47900000.00 0.0016 N N Y N RBC Dominion Securities RBC Dominion Securities, 2.01% 549300QJJX6CVVUXLE15 EJD664000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2019-11-07 2044-11-15 0 - 6.5 31774400.00 32782870.12 U.S. Treasuries (including strips) Y N/A N/A 2019-11-07 2019-11-07 2019-11-13 Y RBC DOMINION SECS (GOV REPO) 1.0000 7 N N/A N/A N N 0.0199 32000000.00 32000000.00 0.0011 N N Y N RBC Dominion Securities, Inc. In a joint trading account with RBC Dominion Securities, Inc. at 1.72%, dated 10/31/2019 due 11/01/2019 549300QJJX6CVVUXLE15 FCF584000_07749 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2019-11-15 2049-08-15 0 - 8.75 2318842520.22 2511845515.90 U.S. Treasuries (including strips) Y N/A N/A 2019-11-01 2019-11-01 2019-11-01 N N N 0.0171 2459227000.00 2459227000.00 0.0815 N Y Y N RBC Financial Group RBC Financial Group, 1.96% ES7IP3U3RHIGC71XBU11 FAH704000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-10-08 2045-02-15 0 - 7.625 90239200.00 95335712.41 U.S. Treasuries (including strips) Y N/A N/A 2019-11-05 2019-11-05 2019-11-05 Y ROYAL BANK OF CAN NYC (GOV RP) 1.0000 5 N N/A N/A N N 0.0194 93000000.00 93000000.00 0.0031 N N Y N RBS Securities, Inc. RBS Securities, Inc., 1.74% ZE2ZWJ5BTIQJ8M0C6K34 0000808379 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2026-04-30 2026-04-30 2.375 - 2.375 73106100.00 76503779.10 U.S. Treasuries (including strips) Y N/A N/A 2019-11-01 2019-11-01 2019-11-01 N N N 0.0173 75000000.00 75000000.00 0.0025 N Y Y N Societe Generale Societe Generale, 1.73% O2RNE8IBXP4R0TD8PU41 FCB311000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2021-02-15 2047-08-15 1.875 - 8 58367000.00 60206378.02 U.S. Treasuries (including strips) Y N/A N/A 2019-12-23 2019-12-23 2019-12-23 N N N 0.0172 59000000.00 59000000.00 0.0020 N N N Y Societe Generale Societe Generale, 1.73% O2RNE8IBXP4R0TD8PU41 FCB680000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-01-30 2047-08-15 0 - 8.75 35936300.00 36736293.61 U.S. Treasuries (including strips) Y N/A N/A 2019-12-24 2019-12-24 2019-12-24 N N N 0.0172 36000000.00 36000000.00 0.0012 N N N Y Societe Generale Societe Generale, 1.73% O2RNE8IBXP4R0TD8PU41 FCC501000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-11-15 2047-08-15 1.75 - 7.875 59730400.00 61224119.92 U.S. Treasuries (including strips) Y N/A N/A 2019-12-26 2019-12-26 2019-12-26 N N N 0.0172 60000000.00 60000000.00 0.0020 N N N Y Societe Generale Societe Generale, 1.78% O2RNE8IBXP4R0TD8PU41 FCE322000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-10-31 2047-11-15 2.75 - 7.875 24150000.00 24487171.58 U.S. Treasuries (including strips) Y N/A N/A 2019-11-05 2019-11-05 2019-11-05 N N N 0.0176 24000000.00 24000000.00 0.0008 N N Y N Societe Generale Societe Generale, 1.78% O2RNE8IBXP4R0TD8PU41 FCE314000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-11-30 2047-08-15 2.75 - 8 46832100.00 47949009.78 U.S. Treasuries (including strips) Y N/A N/A 2019-11-05 2019-11-05 2019-11-05 N N N 0.0176 47000000.00 47000000.00 0.0016 N N Y N Societe Generale Societe Generale, 1.86% O2RNE8IBXP4R0TD8PU41 FCD192000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2019-11-30 2049-02-15 1.375 - 8.75 589526300.00 666969704.20 U.S. Treasuries (including strips) Y N/A N/A 2019-11-01 2019-11-01 2019-11-01 N N N 0.0184 653000000.00 653000000.00 0.0216 N Y Y N Societe Generale Societe Generale, 1.86% O2RNE8IBXP4R0TD8PU41 FCD191000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2019-11-05 2049-08-15 0 - 8.75 679931600.00 723208556.06 U.S. Treasuries (including strips) Y N/A N/A 2019-11-01 2019-11-01 2019-11-01 N N N 0.0184 708000000.00 708000000.00 0.0235 N Y Y N Societe Generale Societe Generale, 2.05% O2RNE8IBXP4R0TD8PU41 FAC472000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2019-11-15 2047-08-15 1.125 - 8.75 61553000.00 63444233.44 U.S. Treasuries (including strips) Y N/A N/A 2019-11-05 2019-11-05 2019-11-05 N N N 0.0203 62000000.00 62000000.00 0.0021 N N Y N Societe Generale (PARIS) In a joint trading account with Societe Generale (PARIS) at 1.72%, dated 10/31/2019 due 11/01/2019 O2RNE8IBXP4R0TD8PU41 FCF584000_14519 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2020-02-15 2048-05-15 1.125 - 7.875 179105059.74 192791793.95 U.S. Treasuries (including strips) Y N/A N/A 2019-11-01 2019-11-01 2019-11-01 N N N 0.0171 188694000.00 188694000.00 0.0063 N Y Y N Sumitomo Mitsu Bk Corp Ny (DI) In a joint trading account with Sumitomo Mitsu Bk Corp Ny (DI) at 1.72%, dated 10/31/2019 due 11/01/2019 5U0XI89JRFVHWIBS4F54 FCF584000_10193 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2019-11-30 2044-08-15 1.375 - 3.75 1440655795.60 1489010599.68 U.S. Treasuries (including strips) Y N/A N/A 2019-11-01 2019-11-01 2019-11-01 N N N 0.0171 1452885000.00 1452885000.00 0.0482 N Y Y N TD Securities (U.S.A.) TD Securities (U.S.A.), 1.71% SUVUFHICNZMP2WKHG940 FCE870000 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 254900HROIFWPRGM1V77 2023-08-15 2023-08-15 2.5 - 2.5 89269100.00 92828881.96 U.S. Treasuries (including strips) Y N/A N/A 2019-11-06 2019-11-06 2019-11-06 N N N 0.0170 91000000.00 91000000.00 0.0030 N N Y N U.S. Treasury Bills U.S. Treasury Bills, 1.65% to 2.03% 912796TC3 254900HROIFWPRGM1V77 US912796TC33 U.S. Treasury Debt Y N/A N/A 2020-01-23 2020-01-23 2020-01-23 N N N 0.0154 186345675.78 186345675.78 0.0062 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 1.67% to 1.69% 912796WK1 US912796WK12 U.S. Treasury Debt Y N/A N/A 2019-12-24 2019-12-24 2019-12-24 N N N 0.0152 679473565.74 679473565.74 0.0225 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 1.69% to 1.70% 912796TQ2 US912796TQ29 U.S. Treasury Debt Y N/A N/A 2020-04-09 2020-04-09 2020-04-09 N N N 0.0155 243344615.85 243344615.85 0.0081 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 1.71% to 1.72% 912796WF2 254900HROIFWPRGM1V77 US912796WF27 U.S. Treasury Debt Y N/A N/A 2019-11-26 2019-11-26 2019-11-26 N N N 0.0152 559397546.40 559397546.40 0.0185 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 1.72% to 1.73% 912796WE5 254900HROIFWPRGM1V77 US912796WE51 U.S. Treasury Debt Y N/A N/A 2019-11-19 2019-11-19 2019-11-19 N N N 0.0149 616525218.50 616525218.50 0.0204 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 1.83% 912796TD1 254900HROIFWPRGM1V77 US912796TD16 U.S. Treasury Debt Y N/A N/A 2020-08-13 2020-08-13 2020-08-13 N N N 0.0156 145232679.27 145232679.27 0.0048 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 1.84% to 1.86% 912796TG4 254900HROIFWPRGM1V77 US912796TG47 U.S. Treasury Debt Y N/A N/A 2020-02-20 2020-02-20 2020-02-20 N N N 0.0153 149303860.50 149303860.50 0.0050 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 1.84% to 1.85% 912796TK5 254900HROIFWPRGM1V77 US912796TK58 U.S. Treasury Debt Y N/A N/A 2020-03-12 2020-03-12 2020-03-12 N N N 0.0153 290272876.43 290272876.43 0.0096 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 1.86% 912796SD2 254900HROIFWPRGM1V77 US912796SD25 U.S. Treasury Debt Y N/A N/A 2020-02-27 2020-02-27 2020-02-27 N N N 0.0155 288551194.80 288551194.80 0.0096 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 1.86% 912796TH2 254900HROIFWPRGM1V77 US912796TH20 U.S. Treasury Debt Y N/A N/A 2020-03-05 2020-03-05 2020-03-05 N N N 0.0152 17905687.56 17905687.56 0.0006 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 1.86% 912796TM1 254900HROIFWPRGM1V77 US912796TM15 U.S. Treasury Debt Y N/A N/A 2020-04-02 2020-04-02 2020-04-02 N N N 0.0153 155994677.19 155994677.19 0.0052 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 1.88% to 1.89% 912796TL3 254900HROIFWPRGM1V77 US912796TL32 U.S. Treasury Debt Y N/A N/A 2020-03-19 2020-03-19 2020-03-19 N N N 0.0152 291295689.32 291295689.32 0.0097 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 1.88% 912796SH3 254900HROIFWPRGM1V77 US912796SH39 U.S. Treasury Debt Y N/A N/A 2020-03-26 2020-03-26 2020-03-26 N N N 0.0155 298137282.00 298137282.00 0.0099 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 1.92% to 2.06% 912796SY6 254900HROIFWPRGM1V77 US912796SY61 U.S. Treasury Debt Y N/A N/A 2019-12-26 2019-12-26 2019-12-26 N N N 0.0153 562685958.96 562685958.96 0.0187 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 1.92% 912796TF6 254900HROIFWPRGM1V77 US912796TF63 U.S. Treasury Debt Y N/A N/A 2020-02-13 2020-02-13 2020-02-13 N N N 0.0154 45798540.24 45798540.24 0.0015 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 1.96% 912796ST7 254900HROIFWPRGM1V77 US912796ST76 U.S. Treasury Debt Y N/A N/A 2019-11-21 2019-11-21 2019-11-21 N N N 0.0148 11989839.96 11989839.96 0.0004 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 1.96% 912796SU4 254900HROIFWPRGM1V77 US912796SU40 U.S. Treasury Debt Y N/A N/A 2019-11-29 2019-11-29 2019-11-29 N N N 0.0147 289665389.30 289665389.30 0.0096 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 1.96% to 1.97% 912796TE9 254900HROIFWPRGM1V77 US912796TE98 U.S. Treasury Debt Y N/A N/A 2020-02-06 2020-02-06 2020-02-06 N N N 0.0154 123492451.88 123492451.88 0.0041 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 1.99% 912796WC9 254900HROIFWPRGM1V77 US912796WC95 U.S. Treasury Debt Y N/A N/A 2019-11-05 2019-11-05 2019-11-05 N N N 0.0124 82986003.71 82986003.71 0.0028 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 2.05% to 2.10% 912796TB5 254900HROIFWPRGM1V77 US912796TB59 U.S. Treasury Debt Y N/A N/A 2020-01-16 2020-01-16 2020-01-16 N N N 0.0155 84725450.00 84725450.00 0.0028 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 2.06% to 2.09% 912796RT8 254900HROIFWPRGM1V77 US912796RT85 U.S. Treasury Debt Y N/A N/A 2020-01-02 2020-01-02 2020-01-02 N N N 0.0156 380381764.98 380381764.98 0.0126 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 2.06% 912796RY7 254900HROIFWPRGM1V77 US912796RY70 U.S. Treasury Debt Y N/A N/A 2020-01-30 2020-01-30 2020-01-30 N N N 0.0154 156405362.50 156405362.50 0.0052 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 2.10% 912796TA7 254900HROIFWPRGM1V77 US912796TA76 U.S. Treasury Debt Y N/A N/A 2020-01-09 2020-01-09 2020-01-09 N N N 0.0154 247274245.36 247274245.36 0.0082 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 2.16% 912796SW0 254900HROIFWPRGM1V77 US912796SW06 U.S. Treasury Debt Y N/A N/A 2019-12-12 2019-12-12 2019-12-12 N N N 0.0149 129778755.60 129778755.60 0.0043 N Y Y N U.S. Treasury Bills U.S. Treasury Bills, 2.42% to 2.43% 912796SS9 254900HROIFWPRGM1V77 US912796SS93 U.S. Treasury Debt Y N/A N/A 2019-11-14 2019-11-14 2019-11-14 N N N 0.0142 92949868.35 92949868.35 0.0031 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 1.61% 912828Y46 254900HROIFWPRGM1V77 US912828Y461 U.S. Treasury Debt Y N/A N/A 2020-07-31 2020-07-31 2020-07-31 N N N 0.0162 110816406.80 110816406.80 0.0037 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 1.64% 9128283T5 254900HROIFWPRGM1V77 US9128283T52 U.S. Treasury Debt Y N/A N/A 2019-11-01 2020-01-31 2020-01-31 N N N 0.0173 403898091.00 403898091.00 0.0134 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 1.64% to 1.85% 9128284Q0 254900HROIFWPRGM1V77 US9128284Q05 U.S. Treasury Debt Y N/A N/A 2020-05-31 2020-05-31 2020-05-31 N N N 0.0161 103527070.57 103527070.57 0.0034 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 1.66% 912828XE5 254900HROIFWPRGM1V77 US912828XE52 U.S. Treasury Debt Y N/A N/A 2020-05-31 2020-05-31 2020-05-31 N N N 0.0161 66955507.98 66955507.98 0.0022 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 1.67% 912828VA5 254900HROIFWPRGM1V77 US912828VA58 U.S. Treasury Debt Y N/A N/A 2020-04-30 2020-04-30 2020-04-30 N N N 0.0160 106749218.75 106749218.75 0.0035 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 1.68% 912828Y53 254900HROIFWPRGM1V77 US912828Y537 U.S. Treasury Debt Y N/A N/A 2019-11-01 2020-07-31 2020-07-31 N N N 0.0180 126888229.84 126888229.84 0.0042 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 1.68% 912828G95 254900HROIFWPRGM1V77 US912828G955 U.S. Treasury Debt Y N/A N/A 2019-12-31 2019-12-31 2019-12-31 N N N 0.0181 25991761.90 25991761.90 0.0009 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 1.68% to 1.98% 9128283N8 254900HROIFWPRGM1V77 US9128283N82 U.S. Treasury Debt Y N/A N/A 2019-12-31 2019-12-31 2019-12-31 N N N 0.0181 120010449.60 120010449.60 0.0040 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 1.78% 9128286Q8 254900HROIFWPRGM1V77 US9128286Q86 U.S. Treasury Debt Y N/A N/A 2019-11-01 2021-04-30 2021-04-30 N N N 0.0186 94877989.60 94877989.60 0.0031 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 1.83% to 1.88% 912828K58 254900HROIFWPRGM1V77 US912828K585 U.S. Treasury Debt Y N/A N/A 2020-04-30 2020-04-30 2020-04-30 N N N 0.0160 223746250.56 223746250.56 0.0074 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 1.83% 912828XH8 254900HROIFWPRGM1V77 US912828XH83 U.S. Treasury Debt Y N/A N/A 2020-06-30 2020-06-30 2020-06-30 N N N 0.0161 55004296.60 55004296.60 0.0018 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 1.84% to 1.89% 912828VF4 254900HROIFWPRGM1V77 US912828VF46 U.S. Treasury Debt Y N/A N/A 2020-05-31 2020-05-31 2020-05-31 N N N 0.0160 157790157.04 157790157.04 0.0052 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 1.85% 912828W63 254900HROIFWPRGM1V77 US912828W630 U.S. Treasury Debt Y N/A N/A 2020-03-15 2020-03-15 2020-03-15 N N N 0.0162 19000000.00 19000000.00 0.0006 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 1.85% to 2.00% 9128284C1 254900HROIFWPRGM1V77 US9128284C19 U.S. Treasury Debt Y N/A N/A 2020-03-31 2020-03-31 2020-03-31 N N N 0.0160 261693281.25 261693281.25 0.0087 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 1.86% 9128287G9 254900HROIFWPRGM1V77 US9128287G95 U.S. Treasury Debt Y N/A N/A 2019-11-01 2021-07-31 2021-07-31 N N N 0.0187 305453405.14 305453405.14 0.0101 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 1.86% to 2.05% 912828UQ1 254900HROIFWPRGM1V77 US912828UQ10 U.S. Treasury Debt Y N/A N/A 2020-02-29 2020-02-29 2020-02-29 N N N 0.0159 253712266.26 253712266.26 0.0084 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 1.86% to 1.99% 912828J50 254900HROIFWPRGM1V77 US912828J504 U.S. Treasury Debt Y N/A N/A 2020-02-29 2020-02-29 2020-02-29 N N N 0.0160 252812225.93 252812225.93 0.0084 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 1.86% 9128283Y4 254900HROIFWPRGM1V77 US9128283Y48 U.S. Treasury Debt Y N/A N/A 2020-02-29 2020-02-29 2020-02-29 N N N 0.0164 312621563.28 312621563.28 0.0104 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 1.86% 9128284J6 254900HROIFWPRGM1V77 US9128284J61 U.S. Treasury Debt Y N/A N/A 2020-04-30 2020-04-30 2020-04-30 N N N 0.0163 152564062.88 152564062.88 0.0051 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 1.89% 912828X96 254900HROIFWPRGM1V77 US912828X968 U.S. Treasury Debt Y N/A N/A 2020-05-15 2020-05-15 2020-05-15 N N N 0.0159 6996718.75 6996718.75 0.0002 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 1.90% to 2.07% 9128283S7 254900HROIFWPRGM1V77 US9128283S79 U.S. Treasury Debt Y N/A N/A 2020-01-31 2020-01-31 2020-01-31 N N N 0.0160 155151366.80 155151366.80 0.0051 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 1.91% to 2.00% 912828UF5 254900HROIFWPRGM1V77 US912828UF54 U.S. Treasury Debt Y N/A N/A 2019-12-31 2019-12-31 2019-12-31 N N N 0.0180 252715445.84 252715445.84 0.0084 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 1.94% 912828YN4 254900HROIFWPRGM1V77 US912828YN43 U.S. Treasury Debt Y N/A N/A 2019-11-01 2021-10-31 2021-10-31 N N N 0.0189 211177718.97 211177718.97 0.0070 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 2.00% 912828LY4 254900HROIFWPRGM1V77 US912828LY45 U.S. Treasury Debt Y N/A N/A 2019-11-15 2019-11-15 2019-11-15 N N N 0.0195 157089300.03 157089300.03 0.0052 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 2.00% 912828G61 254900HROIFWPRGM1V77 US912828G617 U.S. Treasury Debt Y N/A N/A 2019-11-30 2019-11-30 2019-11-30 N N N 0.0184 338902995.15 338902995.15 0.0112 N Y Y N U.S. Treasury Notes U.S. Treasury Notes, 2.00% 912828MP2 254900HROIFWPRGM1V77 US912828MP29 U.S. Treasury Debt Y N/A N/A 2020-02-15 2020-02-15 2020-02-15 N N N 0.0172 128700000.00 128700000.00 0.0043 N Y Y N Lloyds Bank Corp. Markets PLC Lloyds Bank Corp. Markets PLC, 1.70% 213800MBWEIJDM5CU638 FCF493000 Other Instrument Forward Settling Repurchase Agreements Y N/A N/A 2020-01-08 2020-01-08 2020-01-08 N N N 0.0169 24000000.00 24000000.00 0.0008 N N N Y Represents a forward settling transaction and therefore no collateral securities had been allocated as of period end. The agreement contemplated the delivery of U.S. Government Agency securities as collateral on settlement date. MUFG Securities EMEA PLC MUFG Securities EMEA PLC, 1.62% U7M81AY481YLIOR75625 FCF548000 Other Instrument Forward Settling Repurchase Agreements Y N/A N/A 2019-11-06 2019-11-06 2019-11-06 N N N 0.0176 33999146.60 33999146.60 0.0011 N N Y N Represents a forward settling transaction and therefore no collateral securities had been allocated as of period end. The agreement contemplated the delivery of U.S. Treasury Obligations securities as collateral on settlement date. MUFG Securities EMEA PLC MUFG Securities EMEA PLC, 1.62% U7M81AY481YLIOR75625 FCF543000 Other Instrument Forward Settling Repurchase Agreements Y N/A N/A 2019-11-07 2019-11-07 2019-11-07 N N N 0.0176 23999316.00 23999316.00 0.0008 N N Y N Represents a forward settling transaction and therefore no collateral securities had been allocated as of period end. The agreement contemplated the delivery of U.S. Treasury Obligations securities as collateral on settlement date. MUFG Securities EMEA PLC MUFG Securities EMEA PLC, 1.62% U7M81AY481YLIOR75625 FCF545000 Other Instrument Forward Settling Repurchase Agreements Y N/A N/A 2019-11-07 2019-11-07 2019-12-03 Y MUFG SECS EMEA PLC (GOV REPO) 1.0000 7 N N/A N/A N N 0.0161 61000000.00 61000000.00 0.0020 N N Y N Represents a forward settling transaction and therefore no collateral securities had been allocated as of period end. The agreement contemplated the delivery of U.S. Government Agency securities as collateral on settlement date. Fidelity Colchester Street Trust: Treasury Portfolio 2019-11-05 Laura M. Del Prato Laura M. Del Prato President and Treasurer