0001145549-17-006171.txt : 20171006 0001145549-17-006171.hdr.sgml : 20171006 20171006102232 ACCESSION NUMBER: 0001145549-17-006171 CONFORMED SUBMISSION TYPE: N-MFP2 PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20170929 FILED AS OF DATE: 20171006 DATE AS OF CHANGE: 20171006 FILER: COMPANY DATA: COMPANY CONFORMED NAME: GOLDMAN SACHS TRUST CENTRAL INDEX KEY: 0000822977 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 1031 FILING VALUES: FORM TYPE: N-MFP2 SEC ACT: 1940 Act SEC FILE NUMBER: 811-05349 FILM NUMBER: 171125990 BUSINESS ADDRESS: STREET 1: 71 SOUTH WACKER DRIVE STREET 2: C/O GOLDMAN SACHS & CO CITY: CHICAGO STATE: IL ZIP: 60606 BUSINESS PHONE: 3126554400 MAIL ADDRESS: STREET 1: 200 WEST STREET CITY: NEW YORK STATE: NY ZIP: 10282 FORMER COMPANY: FORMER CONFORMED NAME: GOLDMAN SACHS SHORT INTERMEDIATE GOVERNMENT FUND DATE OF NAME CHANGE: 19910711 FORMER COMPANY: FORMER CONFORMED NAME: SHORT INTERMEDIATE GOVERNMENT FUND DATE OF NAME CHANGE: 19900104 0000822977 S000009242 Financial Square Government Fund C000025196 Institutional Shares FGTXX C000025197 Administration Shares FOAXX C000025198 Service Shares FOSXX C000025199 Preferred Shares GPGXX C000025200 Select Shares GSGXX C000025201 Capital Shares GCGXX C000088802 Cash Management Shares GVCXX C000088803 Premier Shares GGPXX C000088804 Resource Shares GVRXX C000166882 Class A Shares FSOXX C000166883 Class C Shares FSGXX C000167141 Class R6 Shares FGGXX N-MFP2 1 primary_doc.xml N-MFP2 0000822977 XXXXXXXX 2017-09-29 0000822977 549300BRJMXN4GUWZ402 S000009242 12 N N 033-17619 Goldman Sachs Asset Management, L.P. 801-37591 PricewaterhouseCoopers LLP Boston MA Goldman Sachs Asset Management, L.P. The Bank of New York Mellon Goldman Sachs & Co. LLC 0000734700 084-01100 N N N Exempt Government N 24 63 51142411361.82 52192729994.32 49624238037.69 47459435384.32 47835734756.14 63950232027.09 64912568211.25 62033077810.13 60688224039.40 61545388703.48 0.5778 0.5843 0.5678 0.5423 0.5480 0.7225 0.7267 0.7098 0.6934 0.7051 267766416.36 86954627679.35 86951962345.84 72499985.14 446770382.26 86845458365.08 86843615499.7600 1.0000 0.0109 1.0001 1.0001 1.0001 1.0001 1.0001 C000025196 10000000.00 77811119655.70 77809463930.8600 1.0001 1.0001 1.0001 1.0001 1.0001 11107134444.23 14716628272.74 9384333686.97 8271387822.38 12225990295.75 15218077638.88 10502334798.13 9667023662.73 14151365420.78 14340726242.00 49546968184.44 51118505422.11 0.0091 Y For Institutional Shares the Investment Adviser waived $2,911,189 of Management Fees. C000025197 10000000.00 4221284729.68 4221196191.6200 1.0001 1.0001 1.0001 1.0001 1.0001 451263509.05 493043354.96 308617208.24 235059382.50 926467505.21 781923105.24 649481197.07 690633993.30 330841324.62 334446066.69 2294522581.22 2218561551.25 0.0066 Y For Administration Shares the Investment Adviser waived $155,983 of Management Fees. C000025198 10000000.00 351884932.44 351878184.4100 1.0001 1.0001 1.0001 1.0001 1.0000 23815240.31 18217838.77 16928480.92 13545553.03 27500909.53 20746340.42 17955946.76 20518757.93 50899627.94 45772062.48 120966372.97 106278172.72 0.0041 Y For Service Shares the Investment Adviser waived $12,857 of Management Fees. C000025199 10000000.00 499342333.93 499331977.3400 1.0001 1.0001 1.0001 1.0001 1.0001 22608315.50 35082827.40 13036388.54 13770335.55 25421048.96 82654301.39 31302674.37 13721733.11 21811387.40 29407585.87 94485403.43 148842543.16 0.0081 Y For Preferred Shares the Investment Adviser waived $19,297 of Management Fees. C000025200 10000000.00 2752544746.47 2752488532.5400 1.0001 1.0001 1.0001 1.0001 1.0001 85917961.74 51084796.75 45101471.75 16127009.69 74611262.84 95211042.05 77046036.34 205593333.82 122265887.15 163738934.65 321156458.41 488593285.09 0.0088 Y For Select Shares the Investment Adviser waived $106,427 of Management Fees. C000025201 10000000.00 949761922.67 949742029.1000 1.0001 1.0001 1.0001 1.0001 1.0001 155669760.93 173099490.01 149855633.03 135238294.06 941571864.17 915506449.57 138072009.29 164505044.33 191545909.72 150169502.34 1447646263.92 1390947275.68 0.0076 Y For Capital Shares the Investment Adviser waived $35,063 of Management Fees. C000088802 10000000.00 3952443.56 3952358.4700 1.0001 1.0001 1.0001 1.0001 1.0001 74883.50 187989.90 546662.34 26785.56 207815.12 37984.67 14656.24 348022.49 107807.24 271820.38 877248.86 704081.50 0.0011 Y For Cash Management Shares the Investment Adviser waived $153 of Management Fees. C000088803 10000000.00 110759992.31 110757654.4800 1.0001 1.0001 1.0001 1.0001 1.0001 1246562.95 768557.95 1080059.18 1139.25 2339362.35 147576.64 6135457.20 3772.83 1169936.90 997467.62 10724816.08 1278214.29 0.0056 Y For Premier Shares the Investment Adviser waived $3,903 of Management Fees. C000088804 10000000.00 68286519.24 68285177.9800 1.0001 1.0001 1.0001 1.0001 1.0001 4964245.65 5026125.63 2573135.55 174110.38 770441.56 7689843.63 657262.55 2530393.43 3697392.89 6793086.03 10625807.29 17189955.46 0.0026 Y For Resource Shares the Investment Adviser waived $2,766 of Management Fees. C000166882 1000.00 57606054.27 57604830.1600 1.0001 1.0001 1.0001 1.0001 1.0001 457330.09 853070.53 436643.65 606629.32 2114205.76 166344.72 63713.34 26806.82 322917.45 38450.89 2971647.59 1313861.06 0.0066 Y For Class A Shares the Investment Adviser waived $2,093 of Management Fees. C000166883 1000.00 5851493.15 5851368.7800 1.0001 1.0001 1.0001 1.0001 1.0001 34881.32 21249.03 24649.63 21901.18 12487.57 14737.14 27393.14 2802.57 8543.89 119412.61 73498.49 160924.46 0.0000 Y For Class C Shares the Investment Adviser waived $219 of Management Fees; and Goldman Sachs & Co. LLC waived $475 of Admin Fees. C000167141 1.00 13063541.66 13063264.0200 1.0001 1.0001 1.0001 1.0001 1.0001 42414.87 212643.37 18162.48 17219.18 29713.79 14592.99 14581.52 2285.95 271033.60 9637.15 344348.47 48523.08 0.0091 Y For Class R6 Shares the Investment Adviser waived $475 of Management Fees. PRUDENTIAL INSURANCE COMPANY OF AMERICA (THE) PRUDENTIAL INSURANCE COMPANY OF AMERICA (THE) 1.080000% X574KRZ6V5A7UBU45C31 0000729057 1286668147791561PR U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY N/B 2045-08-15 2.875000 197250000.00 201195000.00 U.S. Treasuries (including strips) Y Fitch, Inc. 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P-1 Standard and Poor's Ratings Services A-1+ 2017-11-22 2018-02-22 2018-02-22 N N N 0.0113 497110463.22 497110463.22 0.0057 N N N N FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM 1.154002% 3130A9CD1 US3130A9CD19 U.S. Government Agency Debt Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-12-01 2018-03-01 2018-03-01 N N N 0.0115 255623635.33 255623635.33 0.0029 N N N N FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM 1.039000% 3130A9CR0 US3130A9CR05 U.S. Government Agency Debt Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-10-02 2017-10-02 2017-10-02 N N N 0.0104 497000000.00 497000000.00 0.0057 N Y Y N FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM 1.028999% 3130A9D81 US3130A9D811 U.S. Government Agency Debt Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-10-02 2017-10-02 2017-10-02 N N N 0.0103 497500000.00 497500000.00 0.0057 N Y Y N FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM 1.150999% 3130A9HG9 US3130A9HG94 U.S. Government Agency Debt Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-12-16 2018-03-16 2018-03-16 N N N 0.0116 238063359.03 238063359.03 0.0027 N N N N FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM 1.149998% 3130A9HJ3 US3130A9HJ34 U.S. Government Agency Debt Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-12-15 2018-03-15 2018-03-15 N N N 0.0113 238097896.77 238097896.77 0.0027 N N N N FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM 1.113998% 3130A9JF9 US3130A9JF93 U.S. Government Agency Debt Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-12-19 2017-12-19 2017-12-19 N N N 0.0112 246001596.54 246001596.54 0.0028 N N N N FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM 1.114999% 3130A9KV2 US3130A9KV25 U.S. Government Agency Debt Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-12-27 2017-12-27 2017-12-27 N N N 0.0112 246298541.90 246298541.90 0.0028 N N N N FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM 1.222999% 3130A9LP4 US3130A9LP48 U.S. Government Agency Debt Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-10-26 2017-12-26 2017-12-26 N N N 0.0108 247076589.76 247076589.76 0.0028 N N N N FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM 1.108001% 3130A9LZ2 US3130A9LZ20 U.S. Government Agency Debt Y Fitch, Inc. F1+ Moody's Investors Service, Inc. 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P-1 Standard and Poor's Ratings Services A-1+ 2017-10-28 2018-06-28 2018-06-28 N N N 0.0111 494513481.52 494513481.52 0.0057 N N N N FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM 1.247000% 3130AAF94 US3130AAF949 U.S. Government Agency Debt Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-10-19 2018-06-19 2018-06-19 N N N 0.0111 741918630.46 741918630.46 0.0085 N N N N FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM 1.084000% 3130AAKN7 US3130AAKN79 U.S. Government Agency Debt Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-10-09 2018-07-09 2018-07-09 N N N 0.0113 98687557.88 98687557.88 0.0011 N N N N FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM 1.084000% 3130AAKP2 US3130AAKP28 U.S. Government Agency Debt Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-10-12 2018-07-12 2018-07-12 N N N 0.0114 148069994.94 148069994.94 0.0017 N N N N FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM 1.185998% 3130AALV8 US3130AALV86 U.S. Government Agency Debt Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-10-13 2018-07-13 2018-07-13 N N N 0.0111 497483632.71 497483632.71 0.0057 N N N N FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM 1.064002% 3130ABEZ5 US3130ABEZ56 U.S. Government Agency Debt Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-10-15 2017-11-15 2017-11-15 N N N 0.0108 483490054.41 483490054.41 0.0056 N N N N FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM 1.064002% 3130ABF76 US3130ABF764 U.S. Government Agency Debt Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-10-15 2017-11-15 2017-11-15 N N N 0.0108 220495464.32 220495464.32 0.0025 N N N N FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM 1.073999% 3130ABFK7 US3130ABFK78 U.S. Government Agency Debt Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-10-16 2018-01-16 2018-01-16 N N N 0.0109 483479813.88 483479813.88 0.0056 N N N N FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM 1.073999% 3130ABFL5 US3130ABFL51 U.S. Government Agency Debt Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-10-16 2018-01-16 2018-01-16 N N N 0.0109 483479813.88 483479813.88 0.0056 N N N N FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM 1.064002% 3130ABFX9 US3130ABFX99 U.S. Government Agency Debt Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-10-16 2017-11-16 2017-11-16 N N N 0.0108 241495003.37 241495003.37 0.0028 N N N N FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM 1.094000% 3130ABG75 US3130ABG754 U.S. Government Agency Debt Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-10-18 2018-05-18 2018-05-18 N N N 0.0110 168789848.37 168789848.37 0.0019 N N N N FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM 1.072001% 3130ABGB6 US3130ABGB60 U.S. Government Agency Debt Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-10-19 2018-01-19 2018-01-19 N N N 0.0109 241285785.02 241285785.02 0.0028 N N N N FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM 1.072001% 3130ABGD2 US3130ABGD27 U.S. Government Agency Debt Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-10-19 2018-01-19 2018-01-19 N N N 0.0109 482671564.14 482671564.14 0.0056 N N N N FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM 1.071000% 3130ABGJ9 US3130ABGJ96 U.S. Government Agency Debt Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-10-22 2018-01-22 2018-01-22 N N N 0.0109 965439897.63 965439897.63 0.0111 N N N N FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM 1.064002% 3130ABGK6 US3130ABGK69 U.S. Government Agency Debt Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-10-18 2017-11-16 2017-11-16 N N N 0.0108 482589783.36 482589783.36 0.0056 N N N N FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM 1.072001% 3130ABGL4 US3130ABGL43 U.S. Government Agency Debt Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-10-23 2018-01-23 2018-01-23 N N N 0.0109 482669792.63 482669792.63 0.0056 N N N N FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM 1.072001% 3130ABGM2 US3130ABGM26 U.S. Government Agency Debt Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-10-19 2018-01-19 2018-01-19 N N N 0.0109 48197160.54 48197160.54 0.0006 N N N N FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM 1.089000% 3130ABGQ3 US3130ABGQ30 U.S. Government Agency Debt Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-10-18 2018-05-18 2018-05-18 N N N 0.0110 241496734.30 241496734.30 0.0028 N N N N FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM 1.073002% 3130ABGS9 US3130ABGS95 U.S. Government Agency Debt Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-10-26 2018-01-26 2018-01-26 N N N 0.0109 491967793.68 491967793.68 0.0057 N N N N FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM 1.073002% 3130ABGT7 US3130ABGT78 U.S. Government Agency Debt Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-10-26 2018-01-26 2018-01-26 N N N 0.0109 245983896.84 245983896.84 0.0028 N N N N FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM 1.072001% 3130ABGU4 US3130ABGU42 U.S. Government Agency Debt Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-10-25 2018-01-25 2018-01-25 N N N 0.0106 246007247.16 246007247.16 0.0028 N N N N FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM 1.064002% 3130ABGX8 US3130ABGX80 U.S. Government Agency Debt Y Fitch, Inc. F1+ Moody's Investors Service, Inc. 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B1V7KEBTPIMZEU4LTD58 2030-01-01 3.500000 24246305.00 15477219.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2036-08-01 6.500000 5021.00 62.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2036-03-01 6.000000 4428.00 78.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2036-03-01 6.000000 2071.00 19.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2036-10-01 6.000000 1475.00 38.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2036-05-01 6.500000 1099.00 21.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2037-10-01 7.000000 7215.00 135.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2037-07-01 6.500000 6971.00 183.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2037-09-01 6.000000 2083.00 90.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2025-11-01 3.500000 1729.00 460.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2019-10-01 4.000000 1263.00 47.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2026-03-01 4.000000 1402.00 21.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-10-01 3.500000 19459459.00 20145448.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2020-05-01 4.000000 1058.00 25.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2018-01-01 4.500000 7703.00 55.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2036-06-01 4.500000 1208.00 22.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2019-11-01 4.000000 1178.00 22.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2038-05-01 5.000000 1159.00 70.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2037-06-01 5.500000 3052.00 101.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2036-10-01 3.500000 752220.00 725073.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2039-10-01 5.000000 63361127.00 12494796.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2018-11-01 5.500000 4769.00 51.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2044-07-01 4.000000 34445310.00 25267313.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-08-01 3.500000 300416.00 310902.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2046-04-01 3.500000 30615306.00 26868559.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2046-07-01 3.500000 21941036.00 21055896.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2045-01-01 4.000000 17734400.00 17226333.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-02-01 3.500000 20174180.00 20368128.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2045-09-20 3.500000 1493572.00 1028730.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2041-10-20 4.000000 1048218.00 287119.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2032-11-15 6.500000 2985.00 63.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2046-04-20 3.500000 23096320.00 18776521.00 Agency Mortgage-Backed Securities STRIP PRINC 2039-08-15 0.00 100.00 54.00 U.S. Treasuries (including strips) STRIPS 2032-08-15 0.00 71.00 48.00 U.S. Treasuries (including strips) STRIPS 2033-02-15 0.00 7.00 5.00 U.S. Treasuries (including strips) STRIPS 2035-08-15 0.00 22.00 14.00 U.S. Treasuries (including strips) STRIPS 2036-02-15 0.00 26.00 16.00 U.S. Treasuries (including strips) STRIPS 2033-11-15 0.00 4.00 3.00 U.S. Treasuries (including strips) STRIPS 2019-05-15 0.00 14.00 14.00 U.S. Treasuries (including strips) STRIPS 2028-05-15 0.00 74.00 57.00 U.S. Treasuries (including strips) STRIPS 2029-08-15 0.00 33.00 24.00 U.S. Treasuries (including strips) STRIPS 2029-05-15 0.00 47.00 35.00 U.S. Treasuries (including strips) STRIPS 2030-02-15 0.00 101.00 74.00 U.S. Treasuries (including strips) STRIPS 2036-05-15 0.00 12.00 7.00 U.S. Treasuries (including strips) STRIPS 2037-08-15 0.00 72.00 41.00 U.S. Treasuries (including strips) STRIPS 2038-02-15 0.00 92.00 51.00 U.S. Treasuries (including strips) STRIPS 2037-11-15 0.00 15.00 8.00 U.S. Treasuries (including strips) STRIPS 2039-02-15 0.00 2.00 1.00 U.S. Treasuries (including strips) STRIPS 2038-11-15 0.00 2.00 1.00 U.S. Treasuries (including strips) STRIPS 2039-05-15 0.00 255.00 137.00 U.S. Treasuries (including strips) STRIPS 2040-11-15 0.00 165.00 84.00 U.S. Treasuries (including strips) STRIPS 2045-05-15 0.00 2.00 1.00 U.S. Treasuries (including strips) STRIPS 2041-05-15 0.00 209.00 104.00 U.S. Treasuries (including strips) STRIPS 2041-08-15 0.00 9.00 5.00 U.S. Treasuries (including strips) STRIPS 2041-11-15 0.00 198.00 97.00 U.S. Treasuries (including strips) STRIPS 2042-02-15 0.00 265.00 129.00 U.S. Treasuries (including strips) STRIPS 2042-05-15 0.00 218.00 105.00 U.S. Treasuries (including strips) STRIPS 2042-08-15 0.00 97.00 47.00 U.S. Treasuries (including strips) STRIPS 2043-05-15 0.00 548.00 256.00 U.S. Treasuries (including strips) STRIPS 2043-08-15 0.00 469.00 217.00 U.S. Treasuries (including strips) STRIPS 2043-11-15 0.00 65.00 30.00 U.S. Treasuries (including strips) STRIPS 2044-02-15 0.00 228.00 104.00 U.S. Treasuries (including strips) STRIPS 2044-11-15 0.00 612.00 273.00 U.S. Treasuries (including strips) STRIPS 2045-02-15 0.00 714.00 317.00 U.S. Treasuries (including strips) STRIPS 2045-11-15 0.00 219.00 95.00 U.S. Treasuries (including strips) TIGER GR 2021-11-15 0.00 19.00 18.00 U.S. Treasuries (including strips) TIGER GR 2022-05-15 0.00 80.00 73.00 U.S. Treasuries (including strips) TIGER GR 2022-08-15 0.00 58.00 53.00 U.S. Treasuries (including strips) TIGER GR 2023-08-15 0.00 39.00 34.00 U.S. Treasuries (including strips) TIGER GR 2024-05-15 0.00 22.00 19.00 U.S. Treasuries (including strips) TIGER GR 2024-08-15 0.00 12.00 11.00 U.S. Treasuries (including strips) TIGER GR 2026-02-15 0.00 8.00 7.00 U.S. Treasuries (including strips) TIGER GR 2026-08-15 0.00 140.00 114.00 U.S. Treasuries (including strips) TIGER GR 2027-02-15 0.00 46.00 37.00 U.S. Treasuries (including strips) TIGER GR 2027-08-15 0.00 4.00 3.00 U.S. Treasuries (including strips) TIGER GR 2027-11-15 0.00 2.00 1.00 U.S. Treasuries (including strips) TREASURY BILL 2018-01-04 0.00 3150600.00 3141904.00 U.S. Treasuries (including strips) TREASURY BILL 2018-04-26 0.00 13908100.00 13813177.00 U.S. Treasuries (including strips) TREASURY BILL 2017-11-16 0.00 1176600.00 1175095.00 U.S. Treasuries (including strips) TREASURY BILL 2018-03-22 0.00 592900.00 589557.00 U.S. Treasuries (including strips) TSY INFL IX N/B 2026-01-15 2.000000 738500.00 1031510.00 U.S. Treasuries (including strips) TSY INFL IX N/B 2027-01-15 2.375000 200.00 286.00 U.S. Treasuries (including strips) TSY INFL IX N/B 2027-07-15 0.375000 100.00 100.00 U.S. Treasuries (including strips) TSY INFL IX N/B 2025-07-15 0.375000 26074300.00 27026439.00 U.S. Treasuries (including strips) US TREASURY N/B 2020-05-15 8.750000 15500.00 18897.00 U.S. Treasuries (including strips) US TREASURY N/B 2028-08-15 5.500000 200.00 262.00 U.S. Treasuries (including strips) US TREASURY N/B 2045-02-15 2.500000 100.00 93.00 U.S. Treasuries (including strips) US TREASURY N/B 2046-05-15 2.500000 300.00 281.00 U.S. Treasuries (including strips) US TREASURY N/B 2046-11-15 2.875000 100.00 101.00 U.S. Treasuries (including strips) US TREASURY N/B 2018-08-31 0.750000 19182700.00 19089320.00 U.S. Treasuries (including strips) US TREASURY N/B 2022-01-31 1.500000 100.00 99.00 U.S. Treasuries (including strips) US TREASURY N/B 2020-02-15 3.625000 20384200.00 21482557.00 U.S. Treasuries (including strips) US TREASURY N/B 2026-05-15 1.625000 300.00 287.00 U.S. Treasuries (including strips) US TREASURY N/B 2026-11-15 2.000000 100.00 98.00 U.S. Treasuries (including strips) US TREASURY N/B 2019-01-31 1.125000 3480300.00 3474176.00 U.S. Treasuries (including strips) US TREASURY N/B 2023-08-15 2.500000 800.00 824.00 U.S. Treasuries (including strips) US TREASURY N/B 2020-03-15 1.625000 1426600.00 1430892.00 U.S. Treasuries (including strips) US TREASURY N/B 2022-05-31 1.750000 1794100.00 1795366.00 U.S. Treasuries (including strips) Y Fitch, Inc. F1 Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-10-01 2017-10-01 2017-10-13 N N N 0.0108 500000500.00 500000500.00 0.0058 N Y Y N Biddable Repurchase Agreement Societe Generale Societe Generale 1.059998% O2RNE8IBXP4R0TD8PU41 0000865845 TPR020F3D7791561SO U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N TSY INFL IX N/B 2028-01-15 1.750000 1756200.00 2312047.00 U.S. Treasuries (including strips) TSY INFL IX N/B 2029-01-15 2.500000 3812200.00 5286524.00 U.S. Treasuries (including strips) TSY INFL IX N/B 2041-02-15 2.125000 2427300.00 3445153.00 U.S. Treasuries (including strips) TSY INFL IX N/B 2042-02-15 0.750000 19578200.00 20545806.00 U.S. Treasuries (including strips) TSY INFL IX N/B 2044-02-15 1.375000 5468000.00 6357237.00 U.S. Treasuries (including strips) TSY INFL IX N/B 2045-02-15 0.750000 6083500.00 6048844.00 U.S. Treasuries (including strips) TSY INFL IX N/B 2046-02-15 1.000000 6482100.00 6815334.00 U.S. Treasuries (including strips) TSY INFL IX N/B 2047-02-15 0.875000 7963000.00 7980226.00 U.S. Treasuries (including strips) TSY INFL IX N/B 2027-07-15 0.375000 314618600.00 313275397.00 U.S. Treasuries (including strips) TSY INFL IX N/B 2019-04-15 0.125000 892900.00 937541.00 U.S. Treasuries (including strips) TSY INFL IX N/B 2020-07-15 1.250000 7153700.00 8400541.00 U.S. Treasuries (including strips) TSY INFL IX N/B 2021-04-15 0.125000 9212100.00 9567137.00 U.S. Treasuries (including strips) TSY INFL IX N/B 2021-07-15 0.625000 9128200.00 10221949.00 U.S. Treasuries (including strips) TSY INFL IX N/B 2023-07-15 0.375000 32456600.00 34706933.00 U.S. Treasuries (including strips) US TREASURY N/B 2020-02-15 3.625000 147461500.00 155407130.00 U.S. Treasuries (including strips) US TREASURY N/B 2019-04-30 1.250000 20637300.00 20692258.00 U.S. Treasuries (including strips) Y Fitch, Inc. F1 Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-10-01 2017-10-06 2017-10-06 N N N 0.0106 599998704.00 599998704.00 0.0069 N N Y N Merrill Lynch, Pierce, Fenner and Smith Inc Merrill Lynch, Pierce, Fenner and Smith Inc 1.170000% 0000728612 TPR0213C67791561ME U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FANNIE MAE B1V7KEBTPIMZEU4LTD58 2025-12-01 3.500000 26912847.00 5301019.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2026-03-01 4.000000 30233749.00 7819358.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2041-11-01 3.500000 29568023.00 7134838.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2027-02-01 3.000000 18251047.00 8351585.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2032-05-01 3.500000 11100000.00 5353327.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2042-05-01 4.000000 7100000.00 5135722.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2042-03-01 4.000000 14900000.00 7546011.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2041-09-01 4.500000 32100000.00 6288217.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2042-07-01 4.000000 14428456.00 7553826.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2039-07-01 5.000000 12926925.00 5317730.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2028-05-01 3.000000 17295225.00 7831749.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2043-11-01 4.500000 21259974.00 9790209.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2043-08-01 3.500000 14026227.00 9934575.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2045-10-01 3.500000 8166443.00 6795542.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2043-08-01 3.000000 7135000.00 6024457.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2027-09-01 3.000000 13200000.00 6566430.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2032-09-01 3.500000 10200000.00 5670376.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2027-09-01 2.500000 12100000.00 6245253.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2042-11-01 3.000000 7100000.00 4933619.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2043-02-01 3.000000 7400000.00 4935558.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2030-01-01 3.000000 15394920.00 10057687.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2046-03-01 4.000000 5725000.00 5047659.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-03-01 4.000000 4996787.00 5153726.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2046-11-01 3.000000 9965079.00 9652525.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2028-07-01 3.000000 11071511.00 6365025.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2045-09-01 3.500000 7100000.00 6436477.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2045-07-01 4.000000 6066611.00 5217505.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2045-11-01 3.500000 8900000.00 7305138.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2045-09-01 3.500000 10600000.00 9328747.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2046-03-01 4.500000 10770756.00 10044474.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2046-07-01 4.000000 6676000.00 6598624.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2046-03-01 4.500000 6319980.00 6155251.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2046-03-01 3.500000 6800000.00 6252446.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2046-10-01 3.000000 7000000.00 6694281.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2046-11-01 3.500000 5927851.00 6035666.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-10-01 3.500000 5792382.00 6030676.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-10-01 3.500000 6035607.00 6279943.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-08-01 4.000000 7736648.00 8249054.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-09-01 4.000000 6957551.00 7443719.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-09-01 4.000000 6733148.00 7198790.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-08-01 4.000000 9417928.00 9938261.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2037-06-01 3.000000 5261083.00 5380218.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 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Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2046-05-01 3.500000 362480.00 347611.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2046-09-01 4.500000 2239826.00 1559293.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2046-09-01 4.500000 1207400.00 1278617.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2046-10-01 3.500000 1000.00 970.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2046-11-01 3.500000 1572419.00 1612080.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-02-01 3.000000 972928.00 949236.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-02-01 4.000000 1405809.00 1494329.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-03-01 4.000000 1324623.00 1406406.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-05-01 4.000000 1235437.00 1308627.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-04-01 4.500000 954976.00 1023163.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2041-05-20 4.500000 2044625.00 142111.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2047-07-20 4.000000 606720.00 640020.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2047-09-20 4.000000 36384.00 38518.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2044-01-20 4.000000 130542.00 83257.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2047-04-15 3.500000 1325063.00 1375279.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2047-07-20 4.000000 1340190.00 1418123.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2047-07-20 3.500000 1269291.00 1330940.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2041-07-15 4.500000 53995.00 12735.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2040-12-15 4.500000 38345.00 23260.00 Agency Mortgage-Backed Securities Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-10-07 2017-10-07 2017-10-19 Y ROYAL BANK OF CANADA-NEW YORK BR 1.0000 7 N Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ N N 0.0109 499994595.00 499994595.00 0.0058 N N Y N ROYAL BANK OF CANADA-NEW YORK BRANCH ROYAL BANK OF CANADA-NEW YORK BRANCH 1.090001% TPR0252C37791565RO U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-03-01 4.000000 7770505.00 7903808.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2045-07-01 3.500000 3008.00 2729.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2031-03-01 3.000000 316348.00 273091.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2046-03-01 4.000000 400240.00 382225.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-09-01 3.500000 482079636.00 499074014.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-04-01 3.500000 185920.00 190263.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2034-11-01 3.500000 584447.00 364343.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-04-01 4.500000 955072.00 1023265.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2047-07-20 4.000000 708864.00 747770.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2047-09-20 4.000000 36360.00 38492.00 Agency Mortgage-Backed Securities Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-10-07 2017-10-07 2017-10-20 Y ROYAL BANK OF CANADA-NEW YORK BR 1.0000 7 N Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ N N 0.0109 499994595.00 499994595.00 0.0058 N N Y N ROYAL BANK OF CANADA-NEW YORK BRANCH ROYAL BANK OF CANADA-NEW YORK BRANCH 1.090001% TPR0253777791566RO U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FANNIE MAE B1V7KEBTPIMZEU4LTD58 2044-08-01 4.000000 13239372.00 9649779.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2046-03-01 4.000000 1220.00 1165.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-07-01 4.000000 344613.00 368566.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-04-01 3.500000 55024.00 56309.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-04-01 4.500000 64273.00 68862.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2046-03-20 4.000000 88008970.00 58404019.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2045-08-20 4.000000 213323665.00 118348639.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2045-10-20 4.000000 23202158.00 13548559.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2046-01-20 4.000000 128006548.00 81570441.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2046-09-20 4.500000 132286319.00 93692304.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2047-08-20 4.000000 126806000.00 134291356.00 Agency Mortgage-Backed Securities Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-10-07 2017-10-07 2017-10-23 Y ROYAL BANK OF CANADA-NEW YORK BR 1.0000 7 N Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ N N 0.0109 499998540.00 499998540.00 0.0058 N N Y N ROYAL BANK OF CANADA-NEW YORK BRANCH ROYAL BANK OF CANADA-NEW YORK BRANCH 1.090001% TPR0253787791567RO U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FANNIE MAE B1V7KEBTPIMZEU4LTD58 2026-07-01 4.000000 25095679.00 7882431.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2026-04-01 3.500000 49461347.00 17008311.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2041-05-01 5.000000 34530787.00 13131717.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2041-04-01 4.500000 2929312.00 1022037.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2042-08-01 3.500000 149261.00 82313.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2032-08-01 3.500000 7996334.00 4364679.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2037-09-01 3.500000 15295875.00 4391640.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2027-10-01 2.500000 9422747.00 4616608.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2027-11-01 3.500000 2530575.00 990546.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2043-02-01 3.500000 24932412.00 17736963.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2043-05-01 3.000000 32807951.00 22225487.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2043-08-01 3.000000 16800000.00 12172500.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2044-08-01 4.000000 2396160.00 1746489.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-03-01 4.000000 28928349.00 29424615.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-05-01 5.000000 120287.00 126938.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2045-05-01 3.500000 548998.00 441172.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2026-08-01 3.500000 2805208.00 1825761.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2030-09-01 3.500000 1004535.00 674239.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2032-01-01 3.000000 3137534.00 2978559.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2046-02-01 4.000000 114193010.00 104363986.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2046-03-01 4.000000 70000.00 66849.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-02-01 3.500000 6154274.00 6227026.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-01-01 4.000000 1427400.00 1510896.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-06-01 4.000000 1852107.00 1980199.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-06-01 4.000000 2356020.00 2509118.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-04-01 3.500000 106288.00 108771.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2027-03-01 2.500000 12337489.00 4872082.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2034-11-01 3.500000 490496.00 305774.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2034-02-01 3.500000 6040093.00 3826387.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2025-11-01 3.500000 37920000.00 5048183.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2026-01-01 3.500000 31236839.00 6417191.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2026-01-01 4.000000 3479751.00 1042228.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2042-04-01 4.000000 82323321.00 33454265.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2040-08-01 4.000000 18944527.00 2600599.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2027-10-01 2.500000 14386000.00 6560424.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2027-11-01 2.500000 228804.00 104137.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2027-11-01 2.500000 596091.00 303975.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2028-04-01 2.500000 15057000.00 7782677.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2029-02-01 4.000000 777370.00 450043.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2031-10-01 3.000000 1122093.00 1101011.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2028-02-01 3.000000 1004.00 464.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2028-06-01 3.000000 1160000.00 761794.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2046-09-01 4.000000 182983.00 173496.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2044-05-01 4.000000 98248.00 57292.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2044-09-01 4.000000 223931.00 151701.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2045-05-01 4.000000 2777669.00 2243597.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2046-05-01 3.500000 413064.00 396120.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2046-10-01 3.500000 1000.00 970.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-04-01 4.500000 870880.00 933062.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2041-03-20 4.500000 1268652.00 461590.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2046-05-20 4.000000 181587318.00 132899311.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2047-07-20 4.000000 26469019.00 27921767.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2047-05-20 4.000000 3218490.00 3108308.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2047-07-15 4.000000 1818451.00 1923867.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2043-10-20 4.000000 1885997.00 935380.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2046-06-15 4.000000 698978.00 728515.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2046-06-15 3.500000 1974209.00 1879220.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2046-09-15 4.000000 700098.00 731296.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2040-02-20 4.000000 6477833.00 813575.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2041-10-15 4.000000 1417990.00 399846.00 Agency Mortgage-Backed Securities Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-10-07 2017-10-07 2017-10-24 Y ROYAL BANK OF CANADA-NEW YORK BR 1.0000 7 N Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ N N 0.0109 499998540.00 499998540.00 0.0058 N N Y N Norinchukin Bank Norinchukin Bank 1.150000% TPR0253D37791561TH U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N TSY INFL IX N/B 2027-01-15 0.375000 213296000.00 214200088.00 U.S. Treasuries (including strips) Y Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-10-23 2017-10-23 2017-10-23 N N N 0.0115 209993781.90 209993781.90 0.0024 N N N Y Norinchukin Bank Norinchukin Bank 1.150000% TPR0254307791562TH U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N TSY INFL IX N/B 2027-01-15 0.375000 213296000.00 214200088.00 U.S. Treasuries (including strips) Y Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-10-31 2017-10-31 2017-10-31 N N N 0.0115 209990224.50 209990224.50 0.0024 N N N Y Bank of Montreal Bank of Montreal 1.050001% NQQ6HPCNCCU6TUTQYE16 0000927971 TPR02547F7791561Ba U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY N/B 2045-11-15 3.000000 117800.00 122286.00 U.S. Treasuries (including strips) US TREASURY N/B 2018-11-15 1.250000 30017400.00 30110185.00 U.S. Treasuries (including strips) US TREASURY N/B 2021-04-30 1.375000 64167900.00 63780284.00 U.S. Treasuries (including strips) US TREASURY N/B 2018-08-31 1.500000 91774800.00 91999800.00 U.S. Treasuries (including strips) US TREASURY N/B 2022-02-28 1.875000 2678800.00 2687538.00 U.S. Treasuries (including strips) Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-10-07 2017-10-07 2017-10-24 Y BANK OF MONTREAL 1.0000 7 N Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 N N 0.0105 184994200.25 184994200.25 0.0021 N N Y N BNP Paribas BNP Paribas 1.109999% R0MUWSFPU8MPRO8K5P83 0001272025 TPR02550A7791563BN U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2032-07-15 0.00 1385000.00 876470.00 Agency Debentures and Agency Strips FEDERAL FARM CREDIT BANK 2034-06-01 3.040000 96000.00 93085.00 Agency Debentures and Agency Strips FEDERAL FARM CREDIT BANK 2019-06-12 1.375000 25000000.00 25047920.00 Agency Debentures and Agency Strips FEDERAL HOME LOAN BANK 2020-01-28 1.475000 25000000.00 25054670.00 Agency Debentures and Agency Strips FNMA PRIN STRIPS 2028-03-23 0.00 200000.00 148358.00 Agency Debentures and Agency Strips FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2042-08-01 3.500000 644160.00 355770.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-02-01 3.000000 889892.00 865690.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-09-01 4.000000 7146787.00 7645829.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2045-03-20 4.000000 14560.00 8134.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2046-03-20 3.000000 188340066.00 152436049.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2046-08-20 3.000000 202769516.00 187761233.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2040-09-20 4.500000 17683.00 4035.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2038-02-15 6.000000 4419.00 104.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2046-11-01 3.500000 17102059.00 16653936.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2042-09-01 3.500000 4540000.00 2791845.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2027-09-01 2.500000 2254138.00 1225509.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2044-09-01 4.000000 745600.00 621839.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2046-08-01 3.500000 1024.00 978.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2020-10-01 4.000000 1000.00 81.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2042-05-01 3.500000 1113.00 607.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2032-05-01 3.000000 1077.00 515.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2020-04-01 4.000000 1764.00 86.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2026-07-01 2.500000 1000.00 810.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2037-05-01 4.000000 1000.00 1035.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-10-01 3.500000 1050.00 1087.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2037-10-01 3.500000 1024.00 1069.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2039-04-01 6.000000 1037.00 76.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2025-05-01 4.500000 2130.00 187.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2025-07-01 4.500000 4999.00 278.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2018-01-01 4.500000 16858.00 120.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2041-02-01 4.000000 1000.00 755.00 Agency Mortgage-Backed Securities STRIP PRINC 2041-02-15 0.00 600.00 308.00 U.S. Treasuries (including strips) STRIP PRINC 2042-11-15 0.00 1450000.00 698045.00 U.S. Treasuries (including strips) STRIPS 2036-08-15 0.00 36.00 22.00 U.S. Treasuries (including strips) STRIPS 2033-05-15 0.00 36.00 24.00 U.S. Treasuries (including strips) STRIPS 2028-05-15 0.00 10.00 8.00 U.S. Treasuries (including strips) STRIPS 2030-02-15 0.00 66.00 48.00 U.S. Treasuries (including strips) STRIPS 2036-05-15 0.00 33.00 20.00 U.S. Treasuries (including strips) STRIPS 2037-08-15 0.00 115.00 66.00 U.S. Treasuries (including strips) STRIPS 2038-11-15 0.00 11.00 6.00 U.S. Treasuries (including strips) STRIPS 2040-11-15 0.00 1259634.00 640650.00 U.S. Treasuries (including strips) STRIPS 2045-05-15 0.00 319.00 141.00 U.S. Treasuries (including strips) STRIPS 2041-05-15 0.00 69.00 34.00 U.S. Treasuries (including strips) STRIPS 2041-08-15 0.00 52.00 26.00 U.S. Treasuries (including strips) STRIPS 2041-11-15 0.00 237.00 116.00 U.S. Treasuries (including strips) STRIPS 2042-05-15 0.00 393.00 190.00 U.S. Treasuries (including strips) STRIPS 2042-08-15 0.00 293.00 141.00 U.S. Treasuries (including strips) STRIPS 2043-02-15 0.00 25.00 12.00 U.S. Treasuries (including strips) STRIPS 2043-05-15 0.00 1095.00 511.00 U.S. Treasuries (including strips) STRIPS 2043-08-15 0.00 118.00 55.00 U.S. Treasuries (including strips) STRIPS 2043-11-15 0.00 64.00 29.00 U.S. Treasuries (including strips) STRIPS 2044-11-15 0.00 638.00 285.00 U.S. Treasuries (including strips) TSY INFL IX N/B 2029-04-15 3.875000 100.00 206.00 U.S. Treasuries (including strips) TSY INFL IX N/B 2032-04-15 3.375000 2192500.00 4229128.00 U.S. Treasuries (including strips) TSY INFL IX N/B 2020-04-15 0.125000 13578700.00 14290449.00 U.S. Treasuries (including strips) TSY INFL IX N/B 2021-01-15 1.125000 49543200.00 57870794.00 U.S. Treasuries (including strips) TSY INFL IX N/B 2025-07-15 0.375000 13746600.00 14248576.00 U.S. Treasuries (including strips) US TREASURY N/B 2039-11-15 4.375000 13800.00 17772.00 U.S. Treasuries (including strips) US TREASURY N/B 2046-08-15 2.250000 100.00 88.00 U.S. Treasuries (including strips) Y Fitch, Inc. 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P-1 Standard and Poor's Ratings Services A-1 N N 0.0111 499999105.00 499999105.00 0.0058 N N Y N ROYAL BANK OF CANADA-NEW YORK BRANCH ROYAL BANK OF CANADA-NEW YORK BRANCH 1.059998% TPR0256A97791568RO U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FANNIE MAE B1V7KEBTPIMZEU4LTD58 2041-01-01 4.000000 3077298.00 1399229.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2043-04-01 3.500000 6165392.00 4261862.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2043-06-01 3.000000 7729178.00 4379224.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2043-07-01 3.000000 6053394.00 4328797.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2043-08-01 3.000000 2853258.00 1651552.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2043-09-01 3.000000 11455931.00 8139462.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2043-09-01 5.000000 2237114.00 1111599.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2028-11-01 2.500000 2000000.00 1408001.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2029-02-01 4.000000 1607405.00 1024294.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2044-05-01 5.000000 1029736.00 1075839.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2044-09-01 4.000000 2259988.00 1562627.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2044-06-01 4.500000 1042578.00 1065751.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2044-08-01 4.000000 1428433.00 1048651.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2046-09-01 3.500000 1033904.00 1046688.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2044-07-01 4.500000 1073262.00 928876.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2045-04-01 3.500000 248622.00 214990.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2045-03-01 4.000000 1299307.00 1085610.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2030-05-01 3.500000 1221626.00 928127.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2026-08-01 3.500000 9208228.00 5993145.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2045-04-01 4.000000 1014962.00 935185.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2030-02-01 3.500000 1321323.00 1103265.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2030-03-01 3.500000 1046344.00 954021.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2045-03-01 3.500000 1199445.00 1110519.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2045-04-01 4.000000 1278154.00 1116360.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2046-03-01 4.000000 97130.00 92758.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2046-11-01 4.000000 24446120.00 24181000.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-01-01 3.500000 1044029.00 1073341.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2046-08-01 4.000000 6845088.00 6940729.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2031-10-01 3.000000 5566881.00 5457446.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2046-11-01 4.500000 1008989.00 1072974.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2046-12-01 3.000000 1225439.00 1113104.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2046-11-01 4.000000 1153906.00 995054.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2046-12-01 3.500000 1042244.00 1068772.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2032-03-01 3.500000 1052141.00 1079258.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-03-01 3.500000 970292.00 1001078.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2032-01-01 3.000000 1768110.00 1663004.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-06-01 4.000000 6906.00 7357.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2032-04-01 3.000000 4565418.00 4598296.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-05-01 4.000000 115875.00 122002.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-04-01 3.500000 46080.00 47156.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2026-02-01 3.500000 29283426.00 8030375.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2037-05-01 3.500000 30509999.00 14036497.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2043-06-01 3.000000 1779022.00 1402553.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2040-02-01 5.500000 9177816.00 2292161.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2034-11-01 3.500000 33447808.00 20851264.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2025-03-01 4.000000 10000000.00 1664434.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2038-11-01 7.000000 14665686.00 1190437.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2028-02-01 3.000000 511089.00 236209.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2046-09-01 4.000000 208843.00 198016.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2046-03-01 4.000000 2139481.00 1991828.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2046-05-01 3.500000 127456.00 122228.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2046-10-01 3.500000 7660.00 7430.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-02-01 3.000000 1054210.00 1028539.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-04-01 4.500000 327584.00 350974.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2047-07-20 4.000000 193280.00 203888.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2047-09-20 4.000000 2420.00 2562.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2039-09-15 4.500000 7006461.00 1003602.00 Agency Mortgage-Backed Securities Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-10-05 2017-10-05 2017-10-05 N N N 0.0106 150000000.00 150000000.00 0.0017 N N Y N Norinchukin Bank Norinchukin Bank 1.160000% TPR02575A7791563TH U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N TSY INFL IX N/B 2027-01-15 0.375000 213296000.00 214200088.00 U.S. Treasuries (including strips) Y Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-11-13 2017-11-13 2017-11-13 N N N 0.0116 210000000.00 210000000.00 0.0024 N N N Y ROYAL BANK OF CANADA-NEW YORK BRANCH ROYAL BANK OF CANADA-NEW YORK BRANCH 1.090001% TPR0258E47791569RO U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FANNIE MAE B1V7KEBTPIMZEU4LTD58 2042-08-01 3.500000 58376656.00 32192995.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2044-08-01 4.000000 92664649.00 67540469.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2046-03-01 3.500000 50150527.00 48159222.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2031-08-01 2.500000 49257957.00 44738951.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2046-09-01 3.500000 9254045.00 8994768.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-02-01 4.500000 78782411.00 81256813.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-07-01 4.500000 50000000.00 53419336.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2045-11-01 3.500000 2644574.00 2661280.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-05-01 3.500000 7255196.00 7506313.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-06-01 4.500000 10056870.00 10514311.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-09-01 3.500000 2796816.00 2917498.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-04-01 3.500000 7650703.00 7829422.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2042-10-01 3.000000 8023001.00 4845174.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2042-09-01 3.500000 427000000.00 228326373.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2046-05-01 3.500000 509272.00 488382.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2046-10-01 3.500000 1000.00 970.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-05-01 3.500000 8278887.00 8316350.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-04-01 4.500000 1341280.00 1437049.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2047-07-20 4.000000 794368.00 837967.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2047-09-20 4.000000 15452.00 16358.00 Agency Mortgage-Backed Securities Y Fitch, Inc. 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GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2046-03-20 3.000000 297135767.00 240491592.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2045-09-20 3.500000 3215928.00 2215040.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2045-11-20 4.000000 6906189.00 4170519.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2045-12-20 3.000000 31600.00 24910.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2046-02-20 3.000000 24971096.00 20591454.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2046-07-20 3.500000 6584016.00 5855907.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2046-09-20 3.500000 29518780.00 27138023.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2032-04-20 3.000000 4348640.00 4370080.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2039-03-20 7.000000 97979.00 71926.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2041-03-01 5.000000 466000.00 168216.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2026-09-01 3.500000 34467835.00 11858123.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2041-09-01 4.500000 39149.00 14094.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2026-12-01 3.500000 57658112.00 20380864.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2046-07-01 3.500000 43455100.00 39821622.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2034-06-01 4.000000 1668020.00 944485.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2044-01-01 4.000000 108880.00 71570.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2036-08-01 6.500000 3005.00 37.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2046-07-01 3.500000 25042000.00 23828677.00 Agency 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2037-06-01 5.500000 11753135.00 430113.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2042-07-01 3.500000 6194.00 3048.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2018-11-01 5.500000 1373.00 15.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2028-01-01 2.500000 2149.00 968.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2027-11-01 2.500000 1624518.00 893323.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2041-12-01 4.000000 51654.00 23394.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2042-08-01 3.500000 1439946.00 1075663.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2043-06-01 3.500000 6590568.00 4077125.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2044-06-01 4.000000 2499146.00 2112109.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-06-01 4.000000 14071335.00 14879983.00 Agency Mortgage-Backed Securities STRIPS 2029-05-15 0.00 79.00 59.00 U.S. Treasuries (including strips) TREASURY BILL 2017-10-12 0.00 8274400.00 8271536.00 U.S. Treasuries (including strips) TSY INFL IX N/B 2029-04-15 3.875000 100.00 206.00 U.S. Treasuries (including strips) TSY INFL IX N/B 2032-04-15 3.375000 1528200.00 2947755.00 U.S. Treasuries (including strips) TSY INFL IX N/B 2025-07-15 0.375000 1641200.00 1701131.00 U.S. Treasuries (including strips) US TREASURY N/B 2018-05-15 9.125000 900.00 974.00 U.S. Treasuries (including strips) US TREASURY N/B 2020-05-15 8.750000 638500.00 778419.00 U.S. Treasuries (including strips) US TREASURY N/B 2040-08-15 3.875000 4839100.00 5772386.00 U.S. Treasuries (including strips) US TREASURY N/B 2045-08-15 2.875000 12221800.00 12297231.00 U.S. Treasuries (including strips) US TREASURY N/B 2020-12-31 2.375000 34700300.00 35695694.00 U.S. Treasuries (including strips) US TREASURY N/B 2019-12-31 1.625000 982800.00 989513.00 U.S. Treasuries 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69993.00 33607.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2043-11-01 4.500000 62903.00 19314.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2043-12-01 5.000000 1443615.00 345505.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2029-03-01 3.500000 14000.00 5017.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2029-06-01 4.000000 1372299.00 688416.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2044-06-01 4.500000 41832.00 9393.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2030-05-01 2.500000 26612.00 18174.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2045-07-01 4.000000 3457357.00 3520955.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2018-04-01 4.500000 4995900.00 6540.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2032-05-01 6.500000 4006.00 21.00 Agency Mortgage-Backed Securities FANNIE 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B1V7KEBTPIMZEU4LTD58 2018-11-01 5.000000 500000.00 6496.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2018-10-01 4.500000 2008516.00 12615.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2020-07-01 6.500000 21443.00 2.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2020-04-01 4.500000 3282580.00 42657.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2021-05-01 6.000000 1440.00 37.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2036-02-01 6.500000 23698.00 920.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2036-11-01 6.500000 1196.00 38.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2018-11-01 6.000000 3000000.00 36733.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2019-05-01 4.500000 997739.00 18092.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2034-02-01 7.000000 2141.00 38.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2018-01-01 6.500000 3972842.00 2668.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2019-05-01 4.500000 4000000.00 44712.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2019-06-01 5.000000 1114570.00 10832.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2034-10-01 5.500000 838937.00 15848.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2035-06-01 6.000000 200000.00 5782.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2020-06-01 6.000000 1747248.00 268811.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2020-07-01 6.500000 1909762.00 159790.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2020-09-01 5.000000 1970.00 48.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2036-04-01 6.000000 2665.00 93.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 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B1V7KEBTPIMZEU4LTD58 2023-07-01 5.000000 3358915.00 193038.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2038-09-01 6.000000 50000.00 3396.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2023-11-01 5.000000 3935568.00 47320.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2023-11-01 6.500000 5500000.00 384751.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2024-01-01 5.500000 3677.00 158.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2021-04-01 6.000000 41029.00 248.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2023-12-01 5.000000 3135.00 59.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2024-05-01 5.500000 200000.00 20385.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2039-06-01 4.500000 1165.00 88.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2039-04-01 5.500000 2235928.00 153056.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2040-06-01 5.500000 3591.00 690.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2042-04-01 4.000000 1559840.00 1027649.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2024-10-01 5.500000 378405.00 81978.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2039-12-01 4.500000 2505797.00 1006338.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2031-11-01 4.000000 480000.00 163123.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2026-05-01 2.000000 1698826.00 1362755.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2032-08-01 3.000000 265714.00 268896.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2039-09-01 5.500000 1231958.00 224522.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2023-11-01 6.000000 3373.00 220.00 Agency Mortgage-Backed Securities FANNIE MAE 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Treasuries (including strips) STRIPS 2044-11-15 0.00 303000.00 135735.00 U.S. Treasuries (including strips) STRIPS 2045-02-15 0.00 16500.00 7345.00 U.S. Treasuries (including strips) STRIPS 2045-08-15 0.00 16500.00 7242.00 U.S. Treasuries (including strips) STRIPS 2045-11-15 0.00 1974184.00 860626.00 U.S. Treasuries (including strips) STRIPS 2046-02-15 0.00 16500.00 7144.00 U.S. Treasuries (including strips) STRIPS 2046-05-15 0.00 303000.00 130290.00 U.S. Treasuries (including strips) STRIPS 2046-08-15 0.00 16500.00 7038.00 U.S. Treasuries (including strips) STRIPS 2046-11-15 0.00 302999.00 128396.00 U.S. Treasuries (including strips) STRIPS 2047-05-15 0.00 302843.00 126722.00 U.S. Treasuries (including strips) TIGER GR 2020-05-15 0.00 106400.00 102360.00 U.S. Treasuries (including strips) TIGER GR 2017-11-15 0.00 1272.00 1271.00 U.S. Treasuries (including strips) TIGER GR 2020-05-15 0.00 428000.00 411081.00 U.S. Treasuries (including strips) TIGER GR 2020-11-15 0.00 427999.00 406334.00 U.S. Treasuries (including strips) TIGER GR 2021-05-15 0.00 427999.00 401784.00 U.S. Treasuries (including strips) TIGER GR 2021-11-15 0.00 12310794.00 11414445.00 U.S. Treasuries (including strips) TIGER GR 2022-05-15 0.00 428000.00 391153.00 U.S. Treasuries (including strips) TIGER GR 2022-08-15 0.00 9379113.00 8517360.00 U.S. Treasuries (including strips) TIGER GR 2022-11-15 0.00 125000.00 112735.00 U.S. Treasuries (including strips) TIGER GR 2023-02-15 0.00 16500.00 14760.00 U.S. Treasuries (including strips) TIGER GR 2023-08-15 0.00 16500.00 14566.00 U.S. Treasuries (including strips) TIGER GR 2023-11-15 0.00 428000.00 375305.00 U.S. Treasuries (including strips) TIGER GR 2024-02-15 0.00 4873999.00 4243401.00 U.S. Treasuries (including strips) TIGER GR 2024-05-15 0.00 3637922.00 3146802.00 U.S. Treasuries (including strips) TIGER GR 2025-02-15 0.00 292562.00 247856.00 U.S. Treasuries (including strips) TIGER GR 2025-05-15 0.00 428030.00 359746.00 U.S. Treasuries (including strips) TIGER GR 2025-08-15 0.00 16500.00 13775.00 U.S. Treasuries (including strips) TIGER GR 2025-11-15 0.00 125000.00 103496.00 U.S. Treasuries (including strips) TIGER GR 2026-02-15 0.00 16897729.00 13877260.00 U.S. Treasuries (including strips) TIGER GR 2027-05-15 0.00 288899.00 228773.00 U.S. Treasuries (including strips) TIGER GR 2027-08-15 0.00 19632895.00 15445591.00 U.S. Treasuries (including strips) TIGER GR 2027-11-15 0.00 427999.00 334443.00 U.S. Treasuries (including strips) TSY INFL IX N/B 2028-04-15 3.625000 46894700.00 94310400.00 U.S. Treasuries (including strips) TSY INFL IX N/B 2040-02-15 2.125000 17687600.00 25328489.00 U.S. Treasuries (including strips) TSY INFL IX N/B 2041-02-15 2.125000 12968000.00 18427891.00 U.S. Treasuries (including strips) TSY INFL IX N/B 2044-02-15 1.375000 100.00 116.00 U.S. Treasuries (including strips) TSY INFL IX N/B 2046-02-15 1.000000 7793300.00 8205076.00 U.S. Treasuries (including strips) TSY INFL IX N/B 2019-01-15 2.125000 9804100.00 11580626.00 U.S. Treasuries (including strips) TSY INFL IX N/B 2019-07-15 1.875000 2303600.00 2762774.00 U.S. Treasuries (including strips) TSY INFL IX N/B 2020-01-15 1.375000 19749200.00 23234706.00 U.S. Treasuries (including strips) TSY INFL IX N/B 2026-01-15 0.625000 1363700.00 1428745.00 U.S. Treasuries (including strips) TSY INFL IX N/B 2023-07-15 0.375000 10054000.00 10737976.00 U.S. Treasuries (including strips) TSY INFL IX N/B 2022-04-15 0.125000 54800.00 55254.00 U.S. Treasuries (including strips) US TREASURY N/B 2022-08-15 7.250000 128000.00 160935.00 U.S. Treasuries (including strips) US TREASURY N/B 2045-02-15 2.500000 18891600.00 17665310.00 U.S. Treasuries (including strips) US TREASURY N/B 2045-11-15 3.000000 731900.00 760773.00 U.S. Treasuries (including strips) US TREASURY N/B 2046-05-15 2.500000 168678800.00 158204026.00 U.S. Treasuries (including strips) US TREASURY N/B 2047-05-15 3.000000 187821000.00 195201140.00 U.S. Treasuries (including strips) US TREASURY N/B 2047-08-15 2.750000 18062800.00 17719946.00 U.S. Treasuries (including strips) US TREASURY N/B 2020-12-31 1.750000 8012000.00 8064202.00 U.S. Treasuries (including strips) US TREASURY N/B 2021-06-30 1.125000 200.00 196.00 U.S. Treasuries (including strips) US TREASURY N/B 2017-10-31 0.750000 55274000.00 55419320.00 U.S. Treasuries (including strips) US TREASURY N/B 2023-12-31 2.250000 10461000.00 10627088.00 U.S. Treasuries (including strips) Y 2017-10-04 2017-10-04 2017-10-04 N Y Nomura Securities Co Ltd 1.0000 Fitch, Inc. F1 Moody's Investors Service, Inc. P-2 Standard and Poor's Ratings Services A-1 N 0.0104 1999995800.00 1999995800.00 0.0230 N N Y N Bank of Montreal Bank of Montreal 1.050000% NQQ6HPCNCCU6TUTQYE16 0000927971 TPR025C207791562Ba U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N TSY INFL IX N/B 2041-02-15 2.125000 16800.00 23845.00 U.S. Treasuries (including strips) US TREASURY N/B 2043-08-15 3.625000 66442700.00 76392178.00 U.S. Treasuries (including strips) US TREASURY N/B 2020-07-15 1.500000 22200.00 22227.00 U.S. Treasuries (including strips) US TREASURY N/B 2018-05-15 3.875000 4443800.00 4579423.00 U.S. Treasuries (including strips) US TREASURY N/B 2025-11-15 2.250000 15770200.00 15924533.00 U.S. Treasuries (including strips) US TREASURY N/B 2017-12-31 2.750000 302800.00 306073.00 U.S. Treasuries (including strips) US TREASURY N/B 2018-04-30 0.625000 22500.00 22477.00 U.S. Treasuries (including strips) US TREASURY N/B 2024-02-29 2.125000 4679200.00 4699595.00 U.S. Treasuries (including strips) US TREASURY N/B 2024-05-15 2.500000 28700.00 29671.00 U.S. Treasuries (including strips) Y Fitch, Inc. F1+ Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-10-02 2017-10-02 2017-10-02 N N N 0.0105 99999399.00 99999399.00 0.0012 N Y Y N BNP Paribas BNP Paribas 1.040000% R0MUWSFPU8MPRO8K5P83 0001272025 TPR025C277791567BN U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N TSY INFL IX N/B 2023-01-15 0.125000 190378400.00 201959724.00 U.S. Treasuries (including strips) US TREASURY N/B 2027-08-15 2.250000 55800.00 55668.00 U.S. Treasuries (including strips) US TREASURY N/B 2022-01-31 1.875000 400.00 402.00 U.S. Treasuries (including strips) US TREASURY N/B 2022-02-28 1.875000 1977400.00 1983850.00 U.S. Treasuries (including strips) US TREASURY N/B 2022-05-31 1.750000 400.00 400.00 U.S. Treasuries (including strips) Y Fitch, Inc. F1 Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-10-02 2017-10-02 2017-10-02 N N N 0.0104 200000000.00 200000000.00 0.0023 N Y Y N BNP Paribas BNP Paribas 1.060000% R0MUWSFPU8MPRO8K5P83 0001272025 TPR025C287791568BN U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FANNIEMAE STRIPS 2022-05-15 0.00 1000.00 908.00 Agency Debentures and Agency Strips FANNIE MAE B1V7KEBTPIMZEU4LTD58 2036-05-01 6.000000 3235.00 115.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2036-03-01 6.000000 3434.00 60.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2036-02-01 6.000000 1676.00 55.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2036-03-01 6.000000 1749.00 16.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2036-03-01 6.000000 8370.00 556.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2036-10-01 6.000000 9494.00 246.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2036-04-01 6.000000 9732.00 444.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2036-05-01 6.500000 14784.00 285.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2036-01-01 6.000000 1259.00 94.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2037-12-01 5.500000 1815.00 114.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2023-12-01 5.500000 1034.00 96.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2030-12-01 6.500000 1019.00 181.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2039-04-01 6.000000 10438.00 764.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2041-02-01 3.500000 2025.00 693.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2032-09-01 7.500000 1000.00 278.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2025-10-01 3.500000 1004.00 139.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2025-10-01 4.000000 2202.00 556.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2025-10-01 4.000000 3249883.00 540856.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2032-12-01 6.000000 2831.00 34.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2041-06-01 5.000000 14294020.00 7059692.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2026-11-01 3.000000 1000.00 452.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2032-12-01 5.000000 73476082.00 15894190.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2043-10-01 4.500000 3527.00 2025.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2044-01-01 3.000000 1000.00 785.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2046-11-01 3.500000 1633000.00 1590211.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2043-02-01 3.500000 5543168.00 4122638.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2043-11-01 4.500000 1368.00 758.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2029-08-01 2.500000 1000.00 593.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2044-11-01 3.500000 1574048.00 1360641.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2035-04-01 6.000000 1208.00 62.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2036-05-01 6.000000 1024.00 41.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2036-04-01 6.000000 1225.00 55.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2031-10-01 7.000000 9203.00 48.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2035-03-01 5.000000 2229.00 633.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2035-12-01 5.000000 2220.00 86.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2037-11-01 7.000000 3808.00 154.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2041-12-01 4.000000 6095.00 2970.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2042-12-01 3.500000 1259.00 682.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2027-10-01 2.500000 1867.00 981.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2028-02-01 2.500000 7659.00 4386.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2029-01-01 3.500000 6071260.00 3472837.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2043-01-01 3.000000 1466.00 1026.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2032-01-01 7.500000 4631.00 119.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2046-02-20 3.000000 10428411.00 8599388.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2046-06-20 3.000000 41070396.00 36486839.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2046-07-20 3.500000 9567868.00 8509782.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2046-10-20 3.000000 2863.00 2733.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2047-02-15 4.500000 2679601.00 2682633.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2039-06-20 5.000000 16409.00 2456.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2040-09-20 4.500000 20981.00 4787.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2032-11-15 6.500000 4886.00 103.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2046-06-15 4.500000 46741.00 49304.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2035-07-20 6.000000 6120.00 482.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-08-15 6.500000 3486522.00 340930.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2026-10-15 3.000000 10827237.00 2990531.00 Agency Mortgage-Backed Securities STRIP PRINC 2045-11-15 0.00 100.00 44.00 U.S. Treasuries (including strips) STRIPS 2032-02-15 0.00 36.00 25.00 U.S. Treasuries (including strips) STRIPS 2036-08-15 0.00 82.00 49.00 U.S. Treasuries (including strips) STRIPS 2033-05-15 0.00 85.00 56.00 U.S. Treasuries (including strips) STRIPS 2033-11-15 0.00 40.00 26.00 U.S. Treasuries (including strips) STRIPS 2028-05-15 0.00 129.00 99.00 U.S. Treasuries (including strips) STRIPS 2035-11-15 0.00 20.00 12.00 U.S. Treasuries (including strips) STRIPS 2029-08-15 0.00 17.00 13.00 U.S. Treasuries (including strips) STRIPS 2029-05-15 0.00 3.00 3.00 U.S. Treasuries (including strips) STRIPS 2036-05-15 0.00 54.00 32.00 U.S. Treasuries (including strips) STRIPS 2037-08-15 0.00 193.00 110.00 U.S. Treasuries (including strips) STRIPS 2038-11-15 0.00 159.00 87.00 U.S. Treasuries (including strips) STRIPS 2039-05-15 0.00 110.00 59.00 U.S. Treasuries (including strips) STRIPS 2040-11-15 0.00 191.00 97.00 U.S. Treasuries (including strips) STRIPS 2041-05-15 0.00 32.00 16.00 U.S. Treasuries (including strips) STRIPS 2042-05-15 0.00 116.00 56.00 U.S. Treasuries (including strips) STRIPS 2042-08-15 0.00 93.00 45.00 U.S. Treasuries (including strips) STRIPS 2043-05-15 0.00 274.00 128.00 U.S. Treasuries (including strips) STRIPS 2043-08-15 0.00 10.00 5.00 U.S. Treasuries (including strips) STRIPS 2043-11-15 0.00 80.00 36.00 U.S. Treasuries (including strips) STRIPS 2044-02-15 0.00 163.00 74.00 U.S. Treasuries (including strips) STRIPS 2044-11-15 0.00 623.00 278.00 U.S. Treasuries (including strips) STRIPS 2045-11-15 0.00 447.00 194.00 U.S. Treasuries (including strips) TIGER GR 2027-11-15 0.00 7.00 5.00 U.S. Treasuries (including strips) US TREASURY N/B 2021-02-15 3.625000 113940000.00 121783942.00 U.S. Treasuries (including strips) Y Fitch, Inc. F1 Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-10-02 2017-10-02 2017-10-02 N N N 0.0106 210398912.23 210398912.23 0.0024 N Y Y N Citigroup Global Markets Inc. Citigroup Global Markets Inc. 1.080000% 0000315030 TPR025C2C7791562CG U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY N/B 2020-12-31 1.750000 74226900.00 74759660.00 U.S. Treasuries (including strips) US TREASURY N/B 2018-02-28 0.750000 17882600.00 17861156.00 U.S. Treasuries (including strips) US TREASURY N/B 2022-07-31 2.000000 37112600.00 37429203.00 U.S. Treasuries (including strips) Y Fitch, Inc. F1 Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-10-02 2017-10-02 2017-10-02 N N N 0.0108 127499552.48 127499552.48 0.0015 N Y Y N CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1.060000% 1VUV7VQFKUOQSJ21A208 0001330437 TPR025C2E7791561CR U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N TSY INFL IX N/B 2019-04-15 0.125000 17857200.00 18749978.00 U.S. Treasuries (including strips) TSY INFL IX N/B 2018-01-15 1.625000 12707900.00 15000374.00 U.S. Treasuries (including strips) TSY INFL IX N/B 2021-01-15 1.125000 16051800.00 18749907.00 U.S. Treasuries (including strips) US TREASURY N/B 2031-02-15 5.375000 13914500.00 18749931.00 U.S. Treasuries (including strips) US TREASURY N/B 2021-10-31 2.000000 18443400.00 18749945.00 U.S. Treasuries (including strips) US TREASURY N/B 2026-05-15 1.625000 19614400.00 18749985.00 U.S. Treasuries (including strips) US TREASURY N/B 2022-05-15 1.750000 18704100.00 18749971.00 U.S. Treasuries (including strips) Y Fitch, Inc. F1 Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-10-02 2017-10-02 2017-10-02 N N N 0.0106 124999353.75 124999353.75 0.0014 N Y Y N Deutsche Bank Securities Inc Deutsche Bank Securities Inc 1.060000% TPR025C30779156Deu U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY FRN 2018-04-30 1.242794 19415700.00 19476635.00 U.S. Treasuries (including strips) US TREASURY N/B 2023-02-15 7.125000 13814900.00 17578944.00 U.S. Treasuries (including strips) US TREASURY N/B 2020-11-30 2.000000 18603400.00 18932788.00 U.S. Treasuries (including strips) US TREASURY N/B 2018-12-31 1.500000 5395600.00 5422358.00 U.S. Treasuries (including strips) US TREASURY N/B 2021-11-30 1.875000 18583700.00 18762778.00 U.S. Treasuries (including strips) US TREASURY N/B 2022-09-30 1.750000 19708000.00 19725534.00 U.S. Treasuries (including strips) US TREASURY N/B 2019-11-15 3.375000 19606000.00 20633443.00 U.S. Treasuries (including strips) US TREASURY N/B 2023-06-30 1.375000 20452700.00 19819180.00 U.S. Treasuries (including strips) US TREASURY N/B 2019-07-15 0.750000 19022200.00 18821305.00 U.S. Treasuries (including strips) US TREASURY N/B 2019-01-31 1.250000 19565900.00 19566033.00 U.S. Treasuries (including strips) US TREASURY N/B 2023-11-30 2.125000 20305800.00 20546734.00 U.S. Treasuries (including strips) US TREASURY N/B 2018-03-31 0.750000 16331600.00 16354232.00 U.S. Treasuries (including strips) US TREASURY N/B 2020-03-31 1.125000 20137500.00 20051926.00 U.S. Treasuries (including strips) US TREASURY N/B 2022-06-30 2.125000 19000500.00 19308161.00 U.S. Treasuries (including strips) Y Fitch, Inc. F2 Standard and Poor's Ratings Services A-2 2017-10-02 2017-10-02 2017-10-02 N N N 0.0106 249998707.50 249998707.50 0.0029 N Y Y N HSBC Securities (USA) Inc HSBC Securities (USA) Inc 1.050000% CYYGQCGNHMHPSMRL3R97 0000853784 TPR025C327791561HS U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FANNIE MAE B1V7KEBTPIMZEU4LTD58 2048-08-01 5.500000 200000000.00 8307729.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2042-11-01 3.500000 111120000.00 64438888.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-01-01 3.500000 259149878.00 257868341.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2046-12-01 3.500000 161490000.00 161161249.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-02-01 3.500000 240244276.00 239814843.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-05-01 4.000000 233751292.00 244069989.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-08-01 4.000000 274999556.00 291374055.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-08-01 4.000000 250012888.00 262965943.00 Agency Mortgage-Backed Securities Y Standard and Poor's Ratings Services A-1+ 2017-10-02 2017-10-02 2017-10-02 N N N 0.0105 1499990985.00 1499990985.00 0.0173 N Y Y N ING FINANCIAL MARKETS LLC ING FINANCIAL MARKETS LLC 1.050000% KBVRJ5K57JZ3E2AVWX40 0000877559 TPR025C347791565IN U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FANNIE MAE B1V7KEBTPIMZEU4LTD58 2045-07-01 4.000000 48248026.00 42986292.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2043-12-01 4.500000 48600000.00 30214843.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2046-09-01 4.000000 15980000.00 15746141.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-02-01 3.500000 46950000.00 46891191.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-06-01 4.000000 46579861.00 48901644.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2036-07-01 6.000000 42207070.00 2353921.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2039-01-01 5.500000 42800000.00 1332347.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2032-03-01 3.500000 41875000.00 16706279.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2043-02-01 3.500000 39030000.00 26437817.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2026-01-01 3.500000 39500000.00 8640348.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2043-11-01 4.000000 42150000.00 30299918.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-04-01 4.000000 42000000.00 43692155.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2043-04-01 4.000000 39440436.00 29479467.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2043-05-01 3.500000 39100000.00 28493570.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2044-09-01 3.500000 20348255.00 16565053.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2037-08-01 6.500000 50000000.00 1232572.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2032-03-01 3.500000 3125000.00 1246737.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2039-05-01 6.000000 50000000.00 4353228.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2030-08-01 4.500000 50000000.00 12428035.00 Agency Mortgage-Backed Securities Y Standard and Poor's Ratings Services A-1 2017-10-02 2017-10-02 2017-10-02 N N N 0.0105 199998798.00 199998798.00 0.0023 N Y Y N Collateral is shared with other ING Financial Markets, LLC 1.050000% Repo. ING FINANCIAL MARKETS LLC ING FINANCIAL MARKETS LLC 1.050000% KBVRJ5K57JZ3E2AVWX40 0000877559 TPR025C357791566IN Other Instrument U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y Standard and Poor's Ratings Services A-1 2017-10-02 2017-10-02 2017-10-02 N N N 0.0105 199998798.00 199998798.00 0.0023 N Y Y N Collateral is shared with other ING Financial Markets, LLC 1.050000% Repo. The response to Item C.7 is "Y". The response to Item C.8.a is "N". MITSUBISHI UFJ SECURITIES (USA), INC MITSUBISHI UFJ SECURITIES (USA), INC 1.060000% 0000867626 TPR025C37779156MUF U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL HOME LOAN BANK 2019-01-16 1.250000 81.00 81.00 Agency Debentures and Agency Strips FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2032-06-01 3.000000 73792.00 74444.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2032-04-01 2.500000 1035.00 1016.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2041-05-01 5.000000 10949460.00 3466142.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2041-04-01 5.000000 2274138.00 694813.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2043-03-01 3.500000 1010.00 574.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2031-05-01 3.000000 452806.00 388719.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2031-06-01 3.000000 24815392.00 21552151.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2032-05-01 3.500000 157026.00 163036.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2032-06-01 4.000000 235497.00 241058.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2031-08-01 4.500000 11262110.00 3517951.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2032-02-01 3.500000 26011.00 10266.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2037-10-01 4.000000 2497892.00 2665956.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2025-04-01 4.500000 21362.00 4384.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2025-06-01 4.000000 1578.00 396.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2026-10-01 3.500000 10015475.00 591153.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2037-12-01 5.500000 35144292.00 1012664.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2026-05-01 4.000000 1361955.00 170542.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2027-12-01 2.500000 3220.00 1727.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2027-09-01 2.500000 6552124.00 2989680.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2027-11-01 2.500000 388347.00 107842.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2028-04-01 2.500000 2579936.00 1635897.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2029-04-01 3.500000 947524.00 543364.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2031-10-01 2.500000 29342.00 26958.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2032-06-01 3.000000 49184.00 50011.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-10-01 3.000000 3485161.00 3493467.00 Agency 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MAC S6XOOCT0IEG5ABCC6L87 2043-05-01 3.500000 1578476.00 1003011.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2031-07-01 3.000000 639477.00 615570.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2030-03-01 3.000000 2622075.00 1943032.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2036-09-01 4.000000 1521510.00 1571735.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2044-11-01 3.500000 1260.00 1125.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2044-11-01 4.000000 1498498.00 977392.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-09-01 4.000000 1412022.00 1512071.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2045-09-01 3.500000 2119150.00 1895353.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2046-02-01 3.500000 44165.00 37960.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2046-05-01 4.000000 239006.00 236063.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2046-10-01 3.500000 3932.00 3780.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2041-12-01 3.000000 677317.00 672380.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-02-01 4.000000 2233029.00 2142017.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-06-01 4.000000 956483.00 1018939.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-06-01 4.500000 7622624.00 8042558.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-06-01 4.000000 149700.00 157042.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-06-01 4.500000 156864.00 163732.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-07-01 4.500000 1706229.00 1874191.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-07-01 4.000000 21357633.00 22511723.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-07-01 3.500000 1988163.00 2039208.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-05-01 3.500000 1000.00 1028.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-09-01 3.500000 28072.00 29243.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-08-01 4.500000 645175.00 699733.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-07-01 4.500000 970888.00 1063781.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2034-09-17 5.750000 1210891.00 368472.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2043-06-15 3.500000 5687.00 3936.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2042-03-15 4.000000 2172754.00 986126.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2047-04-20 6.000000 6907649.00 6937045.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2047-05-20 5.500000 3303764.00 3405767.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2039-02-20 6.500000 1222852.00 1286730.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2046-06-20 3.000000 9429283.00 8376952.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2046-07-20 3.500000 450000.00 400236.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2031-08-20 2.000000 109959.00 98802.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2046-08-20 3.000000 7480828.00 6927124.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2046-11-20 3.500000 99005.00 93773.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2032-01-20 2.000000 2674643.00 2496258.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE 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Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2047-09-20 4.500000 175000.00 187880.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2045-11-15 4.500000 3621138.00 3205121.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2047-06-20 5.000000 2048782.00 2222256.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2047-08-20 4.000000 3478097.00 3697220.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2047-07-20 3.500000 892480.00 928798.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2047-09-20 4.500000 3256361.00 3597730.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2047-08-15 5.000000 890754.00 983990.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2045-10-15 3.500000 2262756.00 1877286.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2045-10-20 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GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2047-01-15 4.000000 262699.00 277105.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2047-02-15 4.000000 969136.00 925413.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2047-03-15 4.500000 43657.00 47357.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2047-06-15 4.500000 3138652.00 3419800.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2046-11-20 3.500000 1000.00 977.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2046-11-15 3.500000 7931.00 8242.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2035-05-20 5.500000 325206.00 316832.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2047-05-15 5.000000 57140.00 63137.00 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2040-07-15 4.500000 6033.00 3116.00 Agency 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298258.00 U.S. Treasuries (including strips) STRIPS 2033-05-15 0.00 395395.00 260403.00 U.S. Treasuries (including strips) STRIPS 2033-11-15 0.00 47222538.00 30605871.00 U.S. Treasuries (including strips) STRIPS 2034-05-15 0.00 20463105.00 13048504.00 U.S. Treasuries (including strips) STRIPS 2034-11-15 0.00 445850.00 279699.00 U.S. Treasuries (including strips) STRIPS 2035-05-15 0.00 395350.00 243880.00 U.S. Treasuries (including strips) STRIPS 2035-11-15 0.00 58565427.00 35532816.00 U.S. Treasuries (including strips) STRIPS 2031-02-15 0.00 184721.00 130661.00 U.S. Treasuries (including strips) STRIPS 2036-05-15 0.00 395350.00 236285.00 U.S. Treasuries (including strips) STRIPS 2036-11-15 0.00 395350.00 231837.00 U.S. Treasuries (including strips) STRIPS 2037-05-15 0.00 395349.00 228559.00 U.S. Treasuries (including strips) STRIPS 2038-02-15 0.00 132880.00 74558.00 U.S. Treasuries (including strips) STRIPS 2037-11-15 0.00 569081.00 322862.00 U.S. Treasuries (including strips) STRIPS 2038-05-15 0.00 395350.00 220036.00 U.S. Treasuries (including strips) STRIPS 2038-08-15 0.00 867500.00 478478.00 U.S. Treasuries (including strips) STRIPS 2039-02-15 0.00 40100000.00 21754250.00 U.S. Treasuries (including strips) STRIPS 2038-11-15 0.00 395350.00 216332.00 U.S. Treasuries (including strips) STRIPS 2039-05-15 0.00 54811853.00 29452601.00 U.S. Treasuries (including strips) STRIPS 2039-08-15 0.00 907373.00 483457.00 U.S. Treasuries (including strips) STRIPS 2040-05-15 0.00 16996639.00 8822275.00 U.S. Treasuries (including strips) STRIPS 2040-08-15 0.00 605555.00 311673.00 U.S. Treasuries (including strips) STRIPS 2040-11-15 0.00 23475.00 11976.00 U.S. Treasuries (including strips) STRIPS 2041-02-15 0.00 990897.00 500869.00 U.S. Treasuries (including strips) STRIPS 2045-05-15 0.00 11436032.00 5053354.00 U.S. Treasuries (including strips) STRIPS 2041-05-15 0.00 23475.00 11752.00 U.S. Treasuries (including strips) STRIPS 2041-08-15 0.00 46985.00 23316.00 U.S. Treasuries (including strips) STRIPS 2041-11-15 0.00 23475.00 11572.00 U.S. Treasuries (including strips) STRIPS 2042-02-15 0.00 354989.00 173501.00 U.S. Treasuries (including strips) STRIPS 2042-05-15 0.00 23475.00 11363.00 U.S. Treasuries (including strips) STRIPS 2042-08-15 0.00 7752622.00 3728546.00 U.S. Treasuries (including strips) STRIPS 2042-11-15 0.00 206144.00 98304.00 U.S. Treasuries (including strips) STRIPS 2043-02-15 0.00 1092756.00 517005.00 U.S. Treasuries (including strips) STRIPS 2043-11-15 0.00 722999.00 332356.00 U.S. Treasuries (including strips) STRIPS 2044-02-15 0.00 825936.00 377089.00 U.S. Treasuries (including strips) STRIPS 2044-08-15 0.00 826568.00 372857.00 U.S. Treasuries (including strips) STRIPS 2045-02-15 0.00 826566.00 367954.00 U.S. Treasuries (including strips) STRIPS 2045-08-15 0.00 11049139.00 4849578.00 U.S. Treasuries (including strips) STRIPS 2045-11-15 0.00 4876524.00 2125872.00 U.S. Treasuries (including strips) STRIPS 2046-02-15 0.00 825934.00 357605.00 U.S. Treasuries (including strips) STRIPS 2046-08-15 0.00 811491.00 346149.00 U.S. Treasuries (including strips) TSY INFL IX N/B 2032-04-15 3.375000 17529000.00 33791110.00 U.S. Treasuries (including strips) TSY INFL IX N/B 2042-02-15 0.750000 13117200.00 13786646.00 U.S. Treasuries (including strips) US TREASURY N/B 2047-05-15 3.000000 80000.00 83143.00 U.S. Treasuries (including strips) US TREASURY N/B 2047-05-15 3.000000 183355000.00 190559656.00 U.S. Treasuries (including strips) US TREASURY N/B 2023-11-15 2.750000 23335300.00 24514917.00 U.S. Treasuries (including strips) Y 2017-10-02 2017-10-02 2017-10-02 N Y Nomura Securities Co Ltd 1.0000 Fitch, Inc. F1 Moody's Investors Service, Inc. P-2 Standard and Poor's Ratings Services A-1 N 0.0108 1199995788.00 1199995788.00 0.0138 N Y Y N Wells Fargo Securities LLC Wells Fargo Securities LLC 1.070000% 0001224385 TPR025C3E779156Wel U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-07-01 3.500000 501768958.00 515000001.00 Agency Mortgage-Backed Securities Y Standard and Poor's Ratings Services A-1+ 2017-10-02 2017-10-02 2017-10-02 N N N 0.0107 499997830.00 499997830.00 0.0058 N Y Y N CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1.050000% 1VUV7VQFKUOQSJ21A208 0001330437 TPR025C3F7791562CR U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N TSY INFL IX N/B 2019-04-15 0.125000 17143400.00 18000491.00 U.S. Treasuries (including strips) TSY INFL IX N/B 2021-01-15 1.125000 19262200.00 22499936.00 U.S. Treasuries (including strips) US TREASURY N/B 2031-02-15 5.375000 16697400.00 22499917.00 U.S. Treasuries (including strips) US TREASURY N/B 2021-10-31 2.000000 22132100.00 22499955.00 U.S. Treasuries (including strips) US TREASURY N/B 2025-02-15 2.000000 22710500.00 22499903.00 U.S. Treasuries (including strips) US TREASURY N/B 2026-05-15 1.625000 23537200.00 22499906.00 U.S. Treasuries (including strips) US TREASURY N/B 2022-05-15 1.750000 22444900.00 22499945.00 U.S. Treasuries (including strips) Y Fitch, Inc. F1 Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1 2017-10-06 2017-10-06 2017-10-06 N N N 0.0105 149997271.50 149997271.50 0.0017 N N Y N Merrill Lynch, Pierce, Fenner and Smith Inc Merrill Lynch, Pierce, Fenner and Smith Inc 1.070000% 0000728612 TPR025C437791562ME U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2047-06-20 3.500000 97042657.00 100425001.00 Agency Mortgage-Backed Securities Y Fitch, Inc. F1 Standard and Poor's Ratings Services A-1 2017-10-02 2017-10-02 2017-10-02 N N N 0.0107 97499576.85 97499576.85 0.0011 N Y Y N Merrill Lynch, Pierce, Fenner and Smith Inc Merrill Lynch, Pierce, Fenner and Smith Inc 1.070000% 0000728612 TPR025C457791563ME U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2047-04-20 4.000000 11899596.00 12257000.00 Agency Mortgage-Backed Securities Y Fitch, Inc. F1 Standard and Poor's Ratings Services A-1 2017-10-02 2017-10-02 2017-10-02 N N N 0.0107 11899948.35 11899948.35 0.0001 N Y Y N FIXED INCOME CLEARING CORPORATION FIXED INCOME CLEARING CORPORATION 1.090000% TPR025C48779156BNY U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY N/B 2044-02-15 3.625000 650000000.00 748450784.00 U.S. Treasuries (including strips) US TREASURY N/B 2045-05-15 3.000000 700000000.00 727177310.00 U.S. Treasuries (including strips) US TREASURY N/B 2024-02-15 2.750000 79307200.00 82764421.00 U.S. Treasuries (including strips) US TREASURY N/B 2024-11-15 2.250000 855000000.00 868039912.00 U.S. Treasuries (including strips) US TREASURY N/B 2025-08-15 2.000000 1050000000.00 1036324435.00 U.S. Treasuries (including strips) US TREASURY N/B 2024-03-31 2.125000 800000000.00 810173552.00 U.S. Treasuries (including strips) US TREASURY N/B 2024-05-15 2.500000 800000000.00 827069652.00 U.S. Treasuries (including strips) Y Moody's Investors Service, Inc. P-1 Standard and Poor's Ratings Services A-1+ 2017-10-02 2017-10-02 2017-10-02 N N N 0.0109 4999986650.00 4999986650.00 0.0576 N Y Y N HSBC Securities (USA) Inc HSBC Securities (USA) Inc 1.040000% CYYGQCGNHMHPSMRL3R97 0000853784 TPR025C497791562HS U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-04-01 4.000000 12850984.00 13370253.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-05-01 3.500000 3325419.00 3438225.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-05-01 4.500000 2961238.00 3171220.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-05-01 4.000000 6586849.00 6979376.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-05-01 4.000000 3053142.00 3255215.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-05-01 4.000000 10123868.00 10790582.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-05-01 4.000000 10382819.00 10844749.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-05-01 4.000000 2109751.00 2249138.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-05-01 4.000000 1577096.00 1599339.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-05-01 4.500000 2659321.00 2849451.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-06-01 4.000000 1103015.00 1166176.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-06-01 4.000000 1123510.00 1192964.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-06-01 4.500000 7787799.00 8354151.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-06-01 4.500000 13342192.00 14595466.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-07-01 4.500000 1972536.00 2117799.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-07-01 4.000000 8992646.00 9428716.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-07-01 4.500000 1741388.00 1877115.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-07-01 4.000000 1259000.00 1328191.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-07-01 4.000000 2220393.00 2339819.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-07-01 4.500000 1061900.00 1142957.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-08-01 4.500000 4628415.00 4977439.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-07-01 4.000000 1321795.00 1393443.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-07-01 4.000000 1332466.00 1407042.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-07-01 4.500000 1567204.00 1713744.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-08-01 3.500000 1319987.00 1370177.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-08-01 4.000000 1010501.00 1079647.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-08-01 4.500000 1026088.00 1113780.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-08-01 4.000000 6207792.00 6667518.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-08-01 4.500000 1749629.00 1933369.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-08-01 4.500000 2348446.00 2572849.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-08-01 4.000000 2604413.00 2804368.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-08-01 4.000000 14127487.00 15042007.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-08-01 4.000000 12992131.00 13784532.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-08-01 4.500000 2699344.00 2983737.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-07-01 4.500000 4102020.00 4409440.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-09-01 4.500000 1266530.00 1401717.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-09-01 4.000000 1119055.00 1193106.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-09-01 3.500000 1113038.00 1159451.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-09-01 4.000000 1220047.00 1315478.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-09-01 4.000000 2311987.00 2486781.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-09-01 4.500000 4328951.00 4658911.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-07-01 4.500000 2447067.00 2659668.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-07-01 4.500000 2795003.00 3037832.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-09-01 4.500000 4724443.00 5093268.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-09-01 4.000000 13500000.00 14272177.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-09-01 4.500000 2175000.00 2368237.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-08-01 3.500000 12601095.00 12901964.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2035-01-01 4.000000 1109807.00 1086653.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2035-02-01 4.000000 1807898.00 1556313.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2035-07-01 4.000000 1552788.00 1550673.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2035-09-01 4.000000 2202968.00 2060452.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2036-01-01 3.500000 1242820.00 914145.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2036-03-01 4.000000 1290472.00 1318076.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2036-03-01 4.000000 1145463.00 1171298.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2036-05-01 4.000000 1153285.00 1189763.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2036-11-01 3.500000 1212500.00 1239550.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2046-01-01 4.000000 2471394.00 1952462.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2034-06-01 4.000000 1251596.00 963292.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2034-07-01 4.000000 1495166.00 1441035.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2035-09-01 4.000000 1212014.00 1224552.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2036-04-01 4.000000 1057589.00 1091997.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2043-06-01 3.500000 1151744.00 813660.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2045-12-01 4.500000 564740.00 397430.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2046-11-01 4.000000 2468343.00 2389180.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2045-09-01 4.500000 398630.00 423099.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2038-01-01 6.000000 350785275.00 35993003.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2035-02-01 5.000000 397739113.00 39756653.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2046-12-01 3.500000 134584477.00 134310498.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2034-06-01 4.500000 11710303.00 1298354.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2038-10-01 6.500000 12604337.00 2255693.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2039-02-01 4.500000 1720000.00 96704.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2039-09-01 4.500000 12592821.00 1384749.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2039-12-01 4.500000 12085414.00 4142646.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2039-12-01 4.500000 876000.00 197369.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2040-11-01 4.500000 10067785.00 3390054.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2040-12-01 4.500000 15545573.00 5408376.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2041-03-01 4.500000 2332938.00 1202603.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2029-05-01 4.500000 4973710.00 347830.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2029-08-01 4.500000 1000000.00 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strips) US TREASURY N/B 2027-02-15 2.250000 152096138.43 151706674.82 U.S. Treasuries (including strips) Y 2017-10-02 2017-10-02 2017-10-02 N N N 0.0107 809054760.62 809054760.62 0.0093 N Y Y N BANK OF AMERICA, NATIONAL ASSOCIATION Joint Account III 1.070000% B4TYDEB6GKMZO031MB27 TPR025C4D779156BAN U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2043-04-20 3.000000 882607958.15 490194247.12 Agency Mortgage-Backed Securities Y 2017-10-02 2017-10-02 2017-10-02 N N N 0.0107 475914565.08 475914565.08 0.0055 N Y Y N BNP Paribas Joint Account III 1.060000% R0MUWSFPU8MPRO8K5P83 0001272025 TPR025C4D779156BNP U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FANNIE MAE B1V7KEBTPIMZEU4LTD58 2029-05-15 6.250000 17133002.81 23554912.95 Agency Debentures and Agency Strips FANNIE MAE B1V7KEBTPIMZEU4LTD58 2026-04-24 2.125000 866168.48 855756.37 Agency Debentures and Agency Strips FANNIE MAE B1V7KEBTPIMZEU4LTD58 2024-09-06 2.625000 139919.52 143641.19 Agency Debentures and Agency Strips FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2030-03-15 0.00 951.83 653.91 Agency Debentures and Agency Strips FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2033-10-11 4.125000 951.83 991.81 Agency Debentures and Agency Strips FEDERAL FARM CREDIT BANK 2033-02-01 3.330000 33314.17 33518.82 Agency Debentures and Agency Strips FEDERAL FARM CREDIT BANK 2031-07-15 2.550000 951.83 899.48 Agency Debentures and Agency Strips FEDERAL FARM CREDIT BANK 2032-06-29 3.170000 951.83 945.17 Agency Debentures and Agency Strips FEDERAL HOME LOAN BANK 2028-09-01 4.000000 513990.08 572251.81 Agency Debentures and Agency Strips FEDERAL HOME LOAN BANK 2029-10-24 4.000000 904241.82 1017572.82 Agency Debentures and Agency Strips FNMA PRIN STRIPS 2028-03-23 0.00 691031.11 512600.41 Agency Debentures and Agency Strips FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2029-01-01 2.500000 23524990.16 17033165.95 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2028-08-01 2.500000 25773378.87 18911437.06 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2028-10-01 3.000000 15612532.57 11060397.48 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2028-10-01 3.000000 22829699.60 16995172.56 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2037-10-01 4.000000 4625910.76 4937152.70 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2028-01-01 2.500000 1189.79 535.88 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2043-01-01 3.000000 1256916.11 879999.57 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2044-11-01 4.000000 4930215.73 3407398.27 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2034-02-01 4.000000 1170690.47 419412.10 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2045-04-01 4.000000 5172607.75 4199513.15 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2044-01-20 4.500000 6431538.89 2515508.40 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2046-03-20 3.000000 346344825.46 280319731.36 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2045-04-20 3.500000 4023276.42 2450383.95 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2045-09-20 3.500000 20057741.55 13815204.43 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2045-11-20 4.000000 4752.50 2869.78 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2045-12-20 3.500000 10719.55 7963.04 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2046-01-20 3.500000 18505320.17 13764028.15 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2046-10-20 3.000000 13380498.27 12774659.11 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2047-02-20 3.500000 82584508.72 82360597.51 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2038-07-20 5.000000 23789840.69 1765819.60 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2040-09-20 4.500000 1562.91 356.94 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2032-11-15 6.500000 10822.35 228.44 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2032-12-01 6.000000 5977.51 72.34 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2029-07-01 7.500000 8788.28 114.22 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2026-01-01 3.500000 2364.35 517.80 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2032-12-01 5.000000 4003522.07 866033.32 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2028-09-01 3.000000 40546868.32 23541056.16 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2043-10-01 4.500000 292755.43 168123.30 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2044-01-01 3.000000 966.11 758.61 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2031-02-01 3.000000 26503396.13 21915271.26 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2032-01-01 3.000000 11845468.79 11199954.35 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2032-02-01 3.000000 10369171.24 9973123.79 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2027-08-01 3.000000 5477130.69 3123848.03 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2046-02-01 4.000000 11306585.40 10534895.92 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2031-03-01 2.500000 14198561.08 11946953.27 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2032-02-01 2.500000 823951.80 789661.05 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2031-11-01 2.500000 17276577.38 15904577.93 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2032-04-01 2.500000 13321239.02 12937668.21 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2043-06-01 3.500000 1034.64 727.20 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2018-11-01 5.000000 1584.80 12.37 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2034-02-01 5.500000 512514.74 38499.76 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2036-03-01 6.000000 2361.50 157.05 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2036-10-01 6.000000 8892.98 231.30 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-01-01 4.000000 914116.14 903326.15 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2031-09-01 3.000000 13864497.03 12712760.43 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2046-11-01 3.000000 622652.35 603890.76 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-09-01 4.000000 42740332.43 45928472.05 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2031-09-01 2.500000 12337354.44 11891240.56 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-08-01 4.000000 289168.92 304011.81 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2036-05-01 6.500000 2662.28 51.40 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2037-10-01 7.000000 10995.58 205.60 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2036-08-01 6.000000 123463.27 3816.85 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2037-07-01 6.500000 8951.99 234.15 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2022-09-01 6.000000 1652.38 84.71 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2037-09-01 6.000000 1303.06 56.16 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2048-08-01 5.500000 1193.60 49.50 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2027-01-01 3.000000 47591775.37 18695327.07 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2028-06-01 2.500000 11395503.78 6383056.30 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2041-10-01 4.500000 1706141.54 705331.46 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2024-10-01 2.500000 7614.67 3964.39 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-04-01 5.000000 124273.28 136017.96 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2037-05-01 4.000000 951.83 985.15 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2025-09-01 4.000000 375652.51 99094.43 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2025-09-01 4.000000 3675.03 794.78 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2025-10-01 4.000000 2627203.21 845773.54 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2040-10-01 4.000000 956.59 432.13 Agency Mortgage-Backed Securities STRIP PRINC 2029-08-15 0.00 285.55 215.11 U.S. Treasuries (including strips) STRIP PRINC 2031-02-15 0.00 285.55 207.50 U.S. Treasuries (including strips) STRIP PRINC 2036-02-15 0.00 95.18 59.97 U.S. Treasuries (including strips) STRIP PRINC 2039-05-15 0.00 761.47 417.85 U.S. Treasuries (including strips) STRIP PRINC 2039-08-15 0.00 23129.55 12558.49 U.S. Treasuries (including strips) STRIP PRINC 2041-02-15 0.00 190.37 98.04 U.S. Treasuries (including strips) STRIP PRINC 2041-05-15 0.00 95.18 48.54 U.S. Treasuries (including strips) STRIP PRINC 2046-02-15 0.00 95.18 41.88 U.S. Treasuries (including strips) STRIPS 2034-08-15 0.00 0.95 0.95 U.S. Treasuries (including strips) STRIPS 2036-08-15 0.00 2.86 1.90 U.S. Treasuries (including strips) STRIPS 2033-05-15 0.00 234.15 154.20 U.S. Treasuries (including strips) STRIPS 2028-11-15 0.00 104.70 79.00 U.S. Treasuries (including strips) STRIPS 2029-08-15 0.00 77.10 57.11 U.S. Treasuries (including strips) STRIPS 2029-05-15 0.00 237.96 177.04 U.S. Treasuries (including strips) STRIPS 2037-08-15 0.00 457.83 260.80 U.S. Treasuries (including strips) TIGER GR 2026-08-15 0.00 95.18 78.05 U.S. Treasuries (including strips) TIGER GR 2017-11-15 0.00 336.95 336.00 U.S. Treasuries (including strips) US TREASURY N/B 2022-11-15 7.625000 190.37 248.43 U.S. Treasuries (including strips) US TREASURY N/B 2044-11-15 3.000000 285.55 296.97 U.S. Treasuries (including strips) US TREASURY N/B 2019-07-31 1.375000 95.18 95.18 U.S. Treasuries (including strips) US TREASURY N/B 2018-02-15 3.500000 5217189.72 5285168.72 U.S. Treasuries (including strips) US TREASURY N/B 2021-01-31 1.375000 2999036.96 2975302.04 U.S. Treasuries (including strips) Y 2017-10-02 2017-10-02 2017-10-02 N N N 0.0106 723390138.93 723390138.93 0.0083 N Y Y N Citigroup Global Markets Inc. Joint Account III 1.080000% 0000315030 TPR025C4D779156CGM U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N TSY INFL IX N/B 2026-07-15 0.125000 326131467.70 325157149.99 U.S. Treasuries (including strips) US TREASURY N/B 2019-08-31 1.250000 16376390.37 16333936.69 U.S. Treasuries (including strips) US TREASURY N/B 2022-03-31 1.750000 96045043.81 96453445.11 U.S. Treasuries (including strips) US TREASURY N/B 2021-07-31 1.125000 177415385.17 173638076.80 U.S. Treasuries (including strips) US TREASURY N/B 2023-08-15 2.500000 17968712.62 18512168.61 U.S. Treasuries (including strips) Y 2017-10-02 2017-10-02 2017-10-02 N N N 0.0108 617737105.47 617737105.47 0.0071 N Y Y N MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED Joint Account III 1.070000% 0000728612 TPR025C4D779156MER U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2033-12-01 4.000000 46068740.89 24842285.83 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2041-12-01 4.000000 41184429.24 20066223.34 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2042-04-01 3.500000 37622170.51 22796155.08 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2042-09-01 3.500000 32873884.42 19306025.34 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2044-01-01 3.500000 38211292.62 26323101.74 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-09-01 3.000000 18370257.85 18431100.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2046-10-01 4.500000 25425399.02 21682183.42 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2046-05-01 3.000000 29089526.77 26098335.78 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-03-01 3.000000 21987055.68 21498985.93 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2032-08-01 3.000000 25117371.42 25549002.21 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2037-10-01 3.000000 24762825.82 25294243.98 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2040-02-01 4.500000 66628344.27 21773303.39 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2031-11-01 2.500000 20559232.16 19240010.93 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2032-09-01 2.500000 16938907.78 17119840.86 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-09-01 3.500000 20856724.86 21298305.16 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-10-01 3.500000 4685800.12 4804281.50 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2042-01-01 4.000000 45975118.55 21568092.85 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2042-06-01 4.500000 33696062.01 18419767.47 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2042-06-01 4.000000 32879249.91 21056430.00 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2044-06-01 4.000000 33536035.95 21589236.88 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2046-11-01 3.000000 19429046.97 18695358.48 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-02-01 3.500000 25223587.47 25165364.77 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-03-01 4.500000 18952985.54 18754925.17 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-03-01 4.000000 19110559.67 19933381.65 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2047-09-01 4.000000 16773363.00 17944563.65 Agency Mortgage-Backed Securities FREDDIE MAC S6XOOCT0IEG5ABCC6L87 2045-09-01 4.000000 22263905.97 22901252.73 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2045-06-20 5.000000 44403032.29 19474592.20 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2047-07-20 3.500000 22381386.97 23252561.14 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2047-08-20 3.000000 18687422.10 18969309.49 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2047-08-20 3.500000 17827385.33 18578606.59 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2047-09-20 3.000000 21448777.67 21819058.98 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2045-05-15 4.000000 23958025.86 19867700.38 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2045-06-15 4.000000 19186203.78 17942687.58 Agency Mortgage-Backed Securities Y 2017-10-02 2017-10-02 2017-10-02 N N N 0.0107 662187525.86 662187525.86 0.0076 N Y Y N TD SECURITIES USA LLC Joint Account III 1.060000% 0000803012 TPR025C4D779156TD U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. 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P-1 Standard and Poor's Ratings Services A-1 2017-10-02 2017-10-02 2017-10-02 N N N 0.0101 150000000.00 150000000.00 0.0017 N Y Y N ING FINANCIAL MARKETS LLC ING FINANCIAL MARKETS LLC 1.050000% KBVRJ5K57JZ3E2AVWX40 0000877559 TPR025C547791568IN U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FANNIE MAE B1V7KEBTPIMZEU4LTD58 2046-09-01 4.000000 34039855.00 33541699.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-07-01 3.500000 50129498.00 51674759.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-04-01 4.000000 50807199.00 52141724.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2047-08-01 4.000000 24540000.00 25895816.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2021-03-01 3.500000 50374904.00 5180756.00 Agency Mortgage-Backed Securities FANNIE MAE B1V7KEBTPIMZEU4LTD58 2042-11-01 3.500000 50360270.00 35567049.00 Agency Mortgage-Backed Securities Y Standard and Poor's Ratings Services A-1 2017-10-06 2017-10-06 2017-10-06 N N N 0.0105 200000000.00 200000000.00 0.0023 N N Y N HSBC Securities (USA) Inc HSBC Securities (USA) Inc 1.000000% CYYGQCGNHMHPSMRL3R97 0000853784 TPR025C557791563HS U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY N/B 2018-02-28 0.750000 42064200.00 42013757.00 U.S. Treasuries (including strips) US TREASURY N/B 2021-05-15 3.125000 51710000.00 54888813.00 U.S. Treasuries (including strips) Y Standard and Poor's Ratings Services A-1+ 2017-10-02 2017-10-02 2017-10-02 N N N 0.0100 95000000.00 95000000.00 0.0011 N Y Y N Goldman Sachs Financial Square Funds - Government 2017-10-06 Peter W. Fortner Peter W. Fortner Assistant Treasurer