0001145549-16-009899.txt : 20160229 0001145549-16-009899.hdr.sgml : 20160229 20160108160844 ACCESSION NUMBER: 0001145549-16-009899 CONFORMED SUBMISSION TYPE: N-MFP PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20151231 FILED AS OF DATE: 20160108 DATE AS OF CHANGE: 20160108 FILER: COMPANY DATA: COMPANY CONFORMED NAME: CHARLES SCHWAB FAMILY OF FUNDS CENTRAL INDEX KEY: 0000857156 IRS NUMBER: 000000000 STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-MFP SEC ACT: 1933 Act SEC FILE NUMBER: 811-05954 FILM NUMBER: 161333306 BUSINESS ADDRESS: STREET 1: 211 MAIN STREET CITY: SAN FRANCISCO STATE: CA ZIP: 94105 BUSINESS PHONE: 1-415-667-7000 MAIL ADDRESS: STREET 1: 211 MAIN STREET CITY: SAN FRANCISCO STATE: CA ZIP: 94105 FORMER COMPANY: FORMER CONFORMED NAME: SCHWAB CHARLES FAMILY OF FUNDS DATE OF NAME CHANGE: 19920703 0000857156 S000004499 Schwab Money Market Fund C000012373 Schwab Money Market Fund SWMXX N-MFP 1 primary_doc.xml N-MFP N-MFP LIVE N 2015-12-31 0000857156 S000004499 1 N N N N 033-31894 Charles Schwab Investment Management, Inc. 801-35905 PricewaterhouseCoopers LLP San Francisco CA Charles Schwab Investment Management, Inc. Boston Financial Data Services, Inc. 0000275143 84-00896 N N N Prime 35 61 15196355139.95 6557248.65 2336037.56 15200576351.04 0.0044 1.0000 2015-12-31 1.0000 2015-12-31 C000012373 1.00 15200576351.04 1.00 18753424.00 3358140779.56 3339387355.56 0.0001 1.0000 2015-12-31 1.0000 2015-12-31 ABAG FIN CORP CALIF REV UNIVERSITY (PUBLIC POLICY INSTITUTE OF CALIFORNIA) SERIES 2003 B 0.250000% 00037CEK2 Variable Rate Demand Note N First Tier Security N/A N/A 2016-01-07 2016-01-07 Y Wells Fargo Bank NA N/A N/A Y Wells Fargo Bank NA N/A N/A N 17550000.00 17550000.00 0.0012 N 17550000.00 17550000.00 ABBEY NATIONAL TREASURY SERVICES PLC (CAYMAN ISLANDS BRANCH) ABBEY NATIONAL TREASURY SERVICES PLC (CAYMAN ISLANDS BRANCH) 0.280000% ATD0EWRP3 0000931061 Other Instrument Security is a time deposit N First Tier Security N/A N/A 2016-01-04 2016-01-04 N Y Santander UK Plc N/A N/A N 135000000.00 135000000.00 0.0089 N 135000000.00 135000000.00 AUSTRALIA AND NEW ZEALAND BANKING GROUP LTD (CAYMAN ISLANDS BRANCH) AUSTRALIA AND NEW ZEALAND BANKING GROUP LTD (CAYMAN ISLANDS BRANCH) 0.350000% ATD0EVNT1 0000859994 Other Instrument Security is a time deposit N First Tier Security N/A N/A 2016-01-05 2016-01-05 N N N 165000000.00 165000000.00 0.0109 N 164997805.50 164997805.50 AUSTRALIA AND NEW ZEALAND BANKING GROUP LTD (LONDON BRANCH) AUSTRALIA AND NEW ZEALAND BANKING GROUP LTD (LONDON BRANCH) 0.280000% ATD0EVO45 0000859994 Other Instrument Security is a time deposit N First Tier Security N/A N/A 2016-01-05 2016-01-05 N N N 212000000.00 212000000.00 0.0139 N 211995124.00 211995124.00 BANK OF AMERICA NA BANK OF AMERICA NA 0.461000% 06050TMA7 Other Note N First Tier Security N/A N/A 2016-01-04 2016-04-04 N N N 40000000.00 40000000.00 0.0026 N 39995000.00 39995000.00 BANK OF AMERICA NA BANK OF AMERICA NA 0.460000% 06053PJF5 Other Note N First Tier Security N/A N/A 2016-02-01 2016-02-01 N N N 10000000.00 10000000.00 0.0007 N 10003060.10 10003060.10 BANK OF AMERICA NA BANK OF AMERICA NA 0.460000% 06053PKQ9 Other Note N First Tier Security N/A N/A 2016-04-07 2016-04-07 N N N 101000000.00 101000000.00 0.0066 N 100995254.01 100995254.01 BANK OF AMERICA NA BANK OF AMERICA NA 0.460000% 06053PKU0 Other Note N First Tier Security N/A N/A 2016-04-11 2016-04-11 N N N 68000000.00 68000000.00 0.0045 N 67997348.68 67997348.68 BANK OF AMERICA NA BANK OF AMERICA NA 0.500000% 06053PLM7 Other Note N First Tier Security N/A N/A 2016-05-05 2016-05-05 N N N 68000000.00 68000000.00 0.0045 N 68009180.68 68009180.68 BANK OF MONTREAL (CHICAGO BRANCH) BANK OF MONTREAL (CHICAGO BRANCH) 0.330000% 06427EEV9 Certificate of Deposit N First Tier Security N/A N/A 2016-01-22 2016-01-22 N N N 162000000.00 162000000.00 0.0107 N 161996112.00 161996112.00 BANK OF MONTREAL (CHICAGO BRANCH) BANK OF MONTREAL (CHICAGO BRANCH) 0.517000% 06427EKG5 Certificate of Deposit N First Tier Security N/A N/A 2016-01-13 2016-05-13 N N N 215000000.00 215000000.00 0.0141 N 214992905.00 214992905.00 BANK OF NOVA SCOTIA BANK OF NOVA SCOTIA 0.470000% 06417JDM1 Financial Company Commercial Paper N First Tier Security N/A N/A 2016-04-21 2016-04-21 N N N 98000000.00 97857981.66 0.0064 N 97820424.80 97820424.80 BANK OF NOVA SCOTIA BANK OF NOVA SCOTIA 0.500000% 06417JEC2 Financial Company Commercial Paper N First Tier Security N/A N/A 2016-05-12 2016-05-12 N N N 136000000.00 135750666.66 0.0089 N 135684969.60 135684969.60 BANK OF NOVA SCOTIA BANK OF NOVA SCOTIA 0.320000% 924HZZ001_0.3200_M160104_2M54 0001041839 Government Agency Repurchase Agreement Y Fannie Mae 2041-09-01 4.500000 Government Agency Debt 43040712.00 25340749.17 Fannie Mae 2042-06-01 4.000000 Government Agency Debt 1032405.00 746184.97 Fannie Mae 2043-08-01 3.000000 Government Agency Debt 12249738.00 10497432.71 Fannie Mae 2045-09-01 4.000000 Government Agency Debt 1251319.00 1312848.17 Freddie Mac 2042-09-01 3.500000 Government Agency Debt 5057468.00 4300027.84 GNMA 2045-05-15 4.000000 Government Agency Debt 31266.00 32757.17 First Tier Security N/A N/A 2016-01-04 2016-01-04 N N N 41000000.00 41000000.00 0.0027 N 41000000.00 41000000.00 BANK OF NOVA SCOTIA (HOUSTON BRANCH) BANK OF NOVA SCOTIA (HOUSTON BRANCH) 0.547000% 06417H6Y7 Certificate of Deposit N First Tier Security N/A N/A 2016-01-14 2016-07-14 N N N 19000000.00 19000000.00 0.0012 N 19000494.19 19000494.19 BANK OF NOVA SCOTIA (NEW YORK BRANCH) BANK OF NOVA SCOTIA (NEW YORK BRANCH) 0.560500% 06417GAA6 Certificate of Deposit N First Tier Security N/A N/A 2016-01-15 2016-07-15 N N N 54000000.00 54000000.00 0.0036 N 53998326.00 53998326.00 BANK OF THE WEST BANK OF THE WEST 0.340000% 06426GJK4 Certificate of Deposit N First Tier Security N/A N/A 2016-02-08 2016-02-08 N N N 70000000.00 70000000.00 0.0046 N 70010913.70 70010913.70 BANK OF TOKYO-MITSUBISHI UFJ LTD (NEW YORK BRANCH) BANK OF TOKYO-MITSUBISHI UFJ LTD (NEW YORK BRANCH) 0.643100% 06538JF76 Certificate of Deposit N First Tier Security N/A N/A 2016-01-11 2016-03-10 N N N 87000000.00 87000000.00 0.0057 N 86998347.00 86998347.00 BANK OF TOKYO-MITSUBISHI UFJ LTD (NEW YORK BRANCH) BANK OF TOKYO-MITSUBISHI UFJ LTD (NEW YORK BRANCH) 0.510000% 06538MAX7 Certificate of Deposit N First Tier Security N/A N/A 2016-04-05 2016-04-05 N N N 46000000.00 46000000.00 0.0030 N 45991462.40 45991462.40 BANK OF TOKYO-MITSUBISHI UFJ LTD (NEW YORK BRANCH) BANK OF TOKYO-MITSUBISHI UFJ LTD (NEW YORK BRANCH) 0.510000% 06538MBB4 Certificate of Deposit N First Tier Security N/A N/A 2016-04-05 2016-04-05 N N N 12000000.00 12000000.00 0.0008 N 11997772.80 11997772.80 BANK OF TOKYO-MITSUBISHI UFJ LTD (NEW YORK BRANCH) BANK OF TOKYO-MITSUBISHI UFJ LTD (NEW YORK BRANCH) 0.500000% 06538MBN8 Certificate of Deposit N First Tier Security N/A N/A 2016-04-07 2016-04-07 N N N 20000000.00 20000000.00 0.0013 N 19995396.00 19995396.00 BANK OF TOKYO-MITSUBISHI UFJ LTD (NEW YORK BRANCH) BANK OF TOKYO-MITSUBISHI UFJ LTD (NEW YORK BRANCH) 0.510000% 06538MBT5 Certificate of Deposit N First Tier Security N/A N/A 2016-04-11 2016-04-11 N N N 59000000.00 59000000.00 0.0039 N 58986034.70 58986034.70 BANK OF TOKYO-MITSUBISHI UFJ LTD (NEW YORK BRANCH) BANK OF TOKYO-MITSUBISHI UFJ LTD (NEW YORK BRANCH) 0.510000% 06538MCV9 Certificate of Deposit N First Tier Security N/A N/A 2016-04-19 2016-04-19 N N N 1000000.00 1000000.00 0.0001 N 999687.00 999687.00 BANK OF TOKYO-MITSUBISHI UFJ LTD (NEW YORK BRANCH) BANK OF TOKYO-MITSUBISHI UFJ LTD (NEW YORK BRANCH) 0.300000% 06538MFG9 Certificate of Deposit N First Tier Security N/A N/A 2016-01-26 2016-01-26 N N N 27000000.00 27000000.00 0.0018 N 26998126.20 26998126.20 BARCLAYS BANK PLC (NEW YORK BRANCH) BARCLAYS BANK PLC (NEW YORK BRANCH) 0.920000% 06741XW38 Certificate of Deposit N First Tier Security N/A N/A 2016-05-23 2016-05-23 N N N 38000000.00 38000000.00 0.0025 N 38049533.38 38049533.38 BARCLAYS BANK PLC (NEW YORK BRANCH) BARCLAYS BANK PLC (NEW YORK BRANCH) 0.600000% 06741XY36 Certificate of Deposit N First Tier Security N/A N/A 2016-02-26 2016-02-26 N N N 32000000.00 32000000.00 0.0021 N 32010083.52 32010083.52 BARCLAYS BANK PLC (NEW YORK BRANCH) BARCLAYS BANK PLC (NEW YORK BRANCH) 0.600000% 06741XY44 Certificate of Deposit N First Tier Security N/A N/A 2016-02-26 2016-02-26 N N N 40000000.00 40000000.00 0.0026 N 40012604.40 40012604.40 BARCLAYS BANK PLC (NEW YORK BRANCH) BARCLAYS BANK PLC (NEW YORK BRANCH) 0.600000% 06741XY69 Certificate of Deposit N First Tier Security N/A N/A 2016-02-26 2016-02-26 N N N 2000000.00 2000000.00 0.0001 N 2000630.42 2000630.42 BARCLAYS BANK PLC (NEW YORK BRANCH) BARCLAYS BANK PLC (NEW YORK BRANCH) 0.580000% 06741XZ35 Certificate of Deposit N First Tier Security N/A N/A 2016-04-05 2016-04-05 N N N 79000000.00 79000000.00 0.0052 N 79032280.19 79032280.19 BARCLAYS CAPITAL INC BARCLAYS CAPITAL INC 0.280000% 00799J004_0.2800_M160105_2M54 0001484219 Treasury Repurchase Agreement Y UNITED STATES TREASURY 2016-02-04 0.00 Treasury Debt 2063900.00 2063714.25 UNITED STATES TREASURY 2016-02-29 2.125000 Treasury Debt 255500.00 258078.32 UNITED STATES TREASURY 2016-02-29 2.625000 Treasury Debt 443625.00 449191.64 UNITED STATES TREASURY 2016-05-15 0.250000 Treasury Debt 339600.00 339506.93 UNITED STATES TREASURY 2016-05-31 3.250000 Treasury Debt 1500.00 1521.47 UNITED STATES TREASURY 2016-06-30 3.250000 Treasury Debt 49800.00 50461.39 UNITED STATES TREASURY 2016-10-31 0.375000 Treasury Debt 1913900.00 1909418.48 UNITED STATES TREASURY 2016-11-15 0.625000 Treasury Debt 1037900.00 1037505.43 UNITED STATES TREASURY 2016-12-31 3.250000 Treasury Debt 669200.00 685407.35 UNITED STATES TREASURY 2017-05-15 4.500000 Treasury Debt 2597700.00 2736676.46 UNITED STATES TREASURY 2017-07-15 0.875000 Treasury Debt 25000.00 25053.58 UNITED STATES TREASURY 2018-01-31 0.875000 Treasury Debt 1912700.00 1909497.96 UNITED STATES TREASURY 2018-02-15 3.500000 Treasury Debt 273700.00 290891.92 UNITED STATES TREASURY 2018-05-15 9.125000 Treasury Debt 4000.00 4793.00 UNITED STATES TREASURY 2019-02-15 8.875000 Treasury Debt 46400.00 58612.54 UNITED STATES TREASURY 2019-09-30 1.750000 Treasury Debt 1207900.00 1220195.10 UNITED STATES TREASURY 2020-01-31 1.375000 Treasury Debt 600000.00 596470.03 UNITED STATES TREASURY 2020-03-31 1.125000 Treasury Debt 10157100.00 9943779.25 UNITED STATES TREASURY 2021-05-15 8.125000 Treasury Debt 3029900.00 4020882.90 UNITED STATES TREASURY 2022-11-15 7.625000 Treasury Debt 3600.00 4911.00 UNITED STATES TREASURY 2023-02-15 7.125000 Treasury Debt 3523000.00 4788668.58 UNITED STATES TREASURY 2023-08-15 6.250000 Treasury Debt 3811200.00 4998036.26 UNITED STATES TREASURY 2025-02-15 7.625000 Treasury Debt 2587800.00 3807706.39 UNITED STATES TREASURY 2039-05-15 4.250000 Treasury Debt 2748900.00 3395801.05 United States Treasury Department 2028-11-15 5.250000 Treasury Debt 995600.00 1303219.11 First Tier Security N/A N/A 2016-01-05 2016-01-05 N N N 45000000.00 45000000.00 0.0030 N 44999788.50 44999788.50 BARCLAYS CAPITAL INC BARCLAYS CAPITAL INC 0.310000% 00799J004_0.3100_M160104_2M54 0001484219 Treasury Repurchase Agreement Y UNITED STATES TREASURY 2016-02-29 2.625000 Treasury Debt 355925.00 360391.17 UNITED STATES TREASURY 2020-05-15 8.750000 Treasury Debt 2014500.00 2631053.22 First Tier Security N/A N/A 2016-01-04 2016-01-04 N N N 2932788.00 2932788.00 0.0002 N 2932788.00 2932788.00 BENNINGTON STARK CAPITAL COMPANY LLC BENNINGTON STARK CAPITAL COMPANY LLC 0.450100% 08224LAB2 Asset Backed Commercial Paper N First Tier Security N/A N/A 2016-01-11 2016-01-11 N N Y Deal Sponsor SOCIETE GENERALE SA N/A N/A 1000000.00 999875.00 0.0001 N 999868.60 999868.60 BNP PARIBAS FORTIS SA/NV (NEW YORK BRANCH) BNP PARIBAS FORTIS SA/NV (NEW YORK BRANCH) 0.610000% 34959TDN3 Certificate of Deposit N First Tier Security N/A N/A 2016-04-01 2016-04-01 N N N 79000000.00 79000000.00 0.0052 N 79010073.29 79010073.29 BNP PARIBAS SA BNP PARIBAS SA 0.510000% 09658YD57 Financial Company Commercial Paper N First Tier Security N/A N/A 2016-04-05 2016-04-05 N N N 7000000.00 6990579.17 0.0005 N 6988669.10 6988669.10 BNP PARIBAS SA (SAN FRANCISCO BRANCH) BNP PARIBAS SA (SAN FRANCISCO BRANCH) 0.520000% 05572NA97 Certificate of Deposit N First Tier Security N/A N/A 2016-03-01 2016-03-01 N N N 145000000.00 145000000.00 0.0095 N 145005177.95 145005177.95 BNP PARIBAS SECURITIES CORP. BNP PARIBAS SECURITIES CORP. 0.450000% 921AAE003_0.4500_M160104_2M54 0001197610 Other Repurchase Agreement N CONNECTICUT AVENUE SECURITIES SERIES 2014-C01 2024-01-25 4.621000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 12712320.00 12629018.29 FHAMS 2006 2037-02-25 0.721000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 37499999.00 5634306.69 IMSA 2006-4 A2C 2037-01-25 0.481000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 5496170.00 2608622.40 IMSC 2007-AR1 2A1 2037-06-25 2.899800 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 10825000.00 2676898.41 LEHMAN XS TRUST 2006-8 3-A3 20360625 FLT 2036-06-25 4.813400 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 2879000.00 1631674.75 MORGAN STANLEY 2035-08-25 5.500000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 2500000.00 1939323.39 NAAC ALT LOAN TRUST 2036-08-25 6.510000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 9604000.00 3769499.61 RALI SERIES TRUST 2007-QO1 A-1 20370225 FLT 2037-02-25 0.371000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 5690000.00 1753644.07 WASHINGTON MUTUAL MSC MORTGAGE PASS-THROUGH CERTIF 2033-08-25 2.268700 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 33756000.00 4157012.39 First Tier Security N/A N/A 2016-01-04 2016-01-04 N N N 32000000.00 32000000.00 0.0021 N 31999564.80 31999564.80 BNP PARIBAS SECURITIES CORP. BNP PARIBAS SECURITIES CORP. 0.450000% 921AAE003_0.4500_M160105_2M54 0001197610 Other Repurchase Agreement N FEDERAL HOME LN MTG CORP STRUCTURED AGY CR RI 2024-02-26 4.721000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 17560448.00 17460543.69 FEDERAL HOME LN MTG CORP STRUCTURED AGY CR RI 2025-03-25 4.021000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 2165911.00 2089456.87 First Tier Security N/A N/A 2016-01-05 2016-01-05 N N N 17000000.00 17000000.00 0.0011 N 16999651.50 16999651.50 BNP PARIBAS SECURITIES CORP. BNP PARIBAS SECURITIES CORP. 0.290000% 987WVU007_0.2900_M160104_2M54 0001197610 Treasury Repurchase Agreement Y UNITED STATES TREASURY 2017-12-31 2.750000 Treasury Debt 5931000.00 6120050.62 UNITED STATES TREASURY 2022-03-31 1.750000 Treasury Debt 27905600.00 27540006.14 First Tier Security N/A N/A 2016-01-04 2016-01-04 N N N 33000000.00 33000000.00 0.0022 N 33000000.00 33000000.00 BNP PARIBAS SECURITIES CORP. BNP PARIBAS SECURITIES CORP. 0.310000% 987WVU007_0.3100_M160104_2M54 0001197610 Government Agency Repurchase Agreement Y Fannie Mae 2022-10-25 2.655000 Government Agency Debt 2765000.00 2707285.61 Fannie Mae 2023-09-25 3.500000 Government Agency Debt 9841178.00 2323929.99 Fannie Mae 2026-07-25 3.500000 Government Agency Debt 3795590.00 3760578.65 Fannie Mae 2032-02-25 2.000000 Government Agency Debt 9094000.00 4635056.43 Fannie Mae 2036-08-25 0.971600 Government Agency Debt 30000000.00 5148061.90 Fannie Mae 2037-06-01 6.730000 Government Agency Debt 2510.00 33.49 Fannie Mae 2037-08-25 1.001600 Government Agency Debt 47800000.00 5117521.72 Fannie Mae 2040-04-01 2.517000 Government Agency Debt 1208.00 157.76 Fannie Mae 2040-05-25 4.000000 Government Agency Debt 2725000.00 2759584.92 Fannie Mae 2040-11-25 0.921600 Government Agency Debt 54145000.00 7733555.21 Fannie Mae 2041-10-25 4.000000 Government Agency Debt 3655000.00 3795934.25 Fannie Mae 2041-12-25 2.500000 Government Agency Debt 5857000.00 5564265.97 Fannie Mae 2041-12-25 2.500000 Government Agency Debt 3316000.00 2808603.37 Fannie Mae 2042-05-25 7.500000 Government Agency Debt 6420000.00 3880206.63 Fannie Mae 2042-06-25 3.500000 Government Agency Debt 7711000.00 7777096.12 Fannie Mae 2045-01-25 3.000000 Government Agency Debt 4733000.00 4634738.19 Fannie Mae 2045-07-25 3.500000 Government Agency Debt 3423000.00 3439196.49 Fannie Mae 2045-11-01 3.500000 Government Agency Debt 194417.00 199813.90 Fannie Mae 2045-11-25 2.500000 Government Agency Debt 2593000.00 2503650.29 Freddie Mac 2027-06-15 3.000000 Government Agency Debt 4291737.00 4296655.33 Freddie Mac 2033-04-15 3.000000 Government Agency Debt 8340000.00 6992383.84 Freddie Mac 2036-04-15 5.500000 Government Agency Debt 5440465.00 1256902.52 Freddie Mac 2038-03-15 3.000000 Government Agency Debt 3207628.00 3171166.89 Freddie Mac 2038-05-15 5.535000 Government Agency Debt 5216216.00 2754511.56 Freddie Mac 2041-07-15 0.880500 Government Agency Debt 21000000.00 4277145.90 Freddie Mac 2045-03-15 3.000000 Government Agency Debt 5423808.00 5124175.15 Freddie Mac 2045-10-15 2.500000 Government Agency Debt 413759.00 417209.89 GNMA 2027-10-20 1.625000 Government Agency Debt 5000000.00 27517.85 GNMA 2029-07-20 1.875000 Government Agency Debt 19540222.00 221427.24 GNMA 2030-05-20 2.000000 Government Agency Debt 2254976.00 24188.90 GNMA 2034-04-20 1.750000 Government Agency Debt 5304884.00 246684.52 GNMA 2038-03-20 1.082100 Government Agency Debt 98706156.00 7616634.15 GNMA 2039-04-20 7.040000 Government Agency Debt 3000000.00 3249459.41 GNMA 2039-07-20 6.401000 Government Agency Debt 7695173.00 7747167.99 GNMA 2041-02-20 3.000000 Government Agency Debt 1507979.00 520457.34 GNMA 2042-01-20 0.606700 Government Agency Debt 7843391.00 3473282.02 GNMA 2042-06-20 0.500000 Government Agency Debt 1000.00 968.63 GNMA 2042-07-20 3.000000 Government Agency Debt 110135.00 77190.29 GNMA 2042-11-20 3.500000 Government Agency Debt 705844.00 501935.76 GNMA 2043-09-20 2.500000 Government Agency Debt 296842.00 189385.38 GNMA 2044-09-20 2.500000 Government Agency Debt 195595.00 142991.90 GNMA 2045-05-20 3.000000 Government Agency Debt 5816000.00 5488704.60 GNMA 2045-09-20 3.000000 Government Agency Debt 5083000.00 4738072.70 GNMA 2045-10-20 3.500000 Government Agency Debt 2024993.00 1999345.79 GNMA 2051-01-15 3.230000 Government Agency Debt 1951505.00 2024078.87 First Tier Security N/A N/A 2016-01-04 2016-01-04 N N N 129000000.00 129000000.00 0.0085 N 129000000.00 129000000.00 BNP PARIBAS SECURITIES CORP. 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obligations 54739817.00 8686925.33 BSSLT 2007-1 2A 2037-08-25 0.861600 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 36000000.00 6667124.57 CWHEL 2036-11-15 0.480500 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 27000000.00 3628863.84 CWHEL 2006-H 2A1A 2036-11-15 0.480500 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 91870000.00 12347156.44 CWL 2006-S3 A4 2029-01-25 6.431700 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 28105000.00 20056504.72 LXS 2007-6 3A7 2037-05-25 5.101000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 3094000.00 869414.52 OOMLT 2007-FXD1 3A5 2037-01-25 5.957000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 21528000.00 16821018.64 SACO 2036-06-25 0.621600 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 82984317.00 8913205.66 SACO 2036-07-25 0.621600 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 61748000.00 6670818.55 SACO 2006-7 A1 2036-07-25 0.681600 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 54900000.00 6186007.82 SACO I TRUST 2006-4 2036-03-25 0.591600 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 109595000.00 12653385.62 First Tier Security N/A N/A 2016-01-06 2016-01-06 N Y Credit Suisse AG N/A N/A N 90000000.00 90000000.00 0.0059 N 89999514.00 89999514.00 CREDIT SUISSE SECURITIES (USA) LLC CREDIT SUISSE SECURITIES (USA) LLC 1.200000% 988WZK004_1.2000_M160404_2M54 0001230485 Other Repurchase Agreement N 144A 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obligations 130000.00 127387.09 144A CSMC 2014-USA A1 2037-09-15 3.303900 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 2000000.00 2012498.62 144A HILT 2014-ORL A 2029-07-15 1.230500 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 1225000.00 1216335.37 144A JPMCC 2010-C2 A3 2043-11-15 4.069800 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 1333000.00 1404132.20 144A LRF 2013-1 A4 2021-09-15 1.980000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 140000.00 140213.49 144A TPMT 2015-2 1A2 2060-11-25 3.250000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 30776602.00 29743257.46 144A UBSBB 2012-C4 AS 2045-12-10 3.316500 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 90000.00 89546.05 144A VNO 2010-VNO A1 2028-09-13 2.969600 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 2450000.00 1318574.43 144A WMCMS 2007-SL3 AJ 2045-03-23 5.772500 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 2590000.00 2621277.51 BOA COMM. MRTG TRST 2007-5 2051-02-10 5.361000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 1000000.00 703805.86 CGCMT 2012-GC8 A4 2045-09-10 3.024000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 285000.00 285649.70 CGCMT 2013-GC17 AS 2046-11-10 4.544000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 300000.00 321860.15 CGCMT 2015-GC27 A5 2048-02-10 3.137000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 825000.00 805112.82 COMM 2.801% 11/47 2047-11-10 2.801000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 1500000.00 1521069.65 COMM 2012-LC4 B 2044-12-10 4.934000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 45000.00 48776.90 COMM 2013-CR12 A3 2046-10-10 3.765000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 1700000.00 1767020.70 COMM 2014-LC15 A4 2047-04-10 4.006000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 595000.00 622649.75 COMM 2014-LC15 ASB 2047-04-10 3.528000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 3000000.00 3089340.45 COMM 2014-UBS2 A5 2047-03-10 3.961000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 3607000.00 3742812.97 COMM 3.012% 05/47 2047-05-10 3.012000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 840000.00 858569.88 COMM 3.022% 08/55 2055-08-10 3.022000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage 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corporate bonds, ABS, or non-agency collateralized mortgage obligations 250000.00 249698.62 CSAIL 2015-C2 A2 2057-06-15 2.850500 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 367000.00 371853.47 CSAIL 2015-C2 ASB 2057-06-15 3.224100 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 9703000.00 9755651.27 CSFB 2004-C2 E 2036-05-15 5.736000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 231000.00 244720.73 CSFB 2005-C3 AJ 2037-07-15 4.771000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 380000.00 7545.09 CSMC 2006-OMA 2023-05-15 5.466000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 5500000.00 6026959.24 CSMC 2009- 9R 2036-12-26 2.185200 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 18785000.00 1345370.27 CSMC 2009-13R 7A1 2036-04-26 2.807900 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 27264000.00 9374670.79 CWALT INC 2005 53T2 2037-09-15 3.953000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 2340000.00 2404438.51 CWMBS INC. 2005-HYB2 2043-07-25 3.492100 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 4864997.00 3885464.78 FHMS K017 X1 2021-12-25 1.417900 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 12000000.00 772052.41 FHMS K019 A2 2022-03-25 2.272000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 148000.00 146312.03 FHMS K020 X1 2022-05-25 1.454000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 109000000.00 7941356.96 FHMS K023 X1 2022-08-25 1.301000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 370140000.00 25036613.98 FHMS K033 X1 2023-07-25 0.314700 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 251650000.00 5114394.72 FHMS K034 A1 2023-02-25 2.669000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 28896.00 27679.28 FHMS K034 X1 2023-07-25 0.165200 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 325000000.00 3231808.26 FHMS K036 X1 2023-10-25 0.795600 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 44581395.00 2184360.25 FHMS K040 X1 2024-09-25 0.739500 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 16000000.00 853523.85 FHMS K041 X1 2024-10-25 0.558200 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 115000000.00 4716042.88 FHMS K042 X1 2024-12-25 1.059000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 36753000.00 2830376.40 GMACC 1997-C2 G 2029-04-15 6.750000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 1353000.00 547478.23 GNMA 2023-10-25 3.527000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 1169200.00 1224975.91 GRAN 2003-3 1A3 2044-01-20 0.717100 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 215000.00 2989.92 GRANITE MORTGAGES 03-2 PL 2043-07-20 0.817100 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 2561000.00 76603.31 GS FLT 07/44 2044-07-25 2.490700 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 100000.00 65401.54 GS MORTGAGE 2.898% 02/48 2048-02-10 2.898000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 200000.00 203297.26 GS MTG SECS CORP TR 2012 SHOP 2031-06-05 2.933000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 130000.00 131959.79 GS MTG SECS CORP TR 2012 TMSQ 2030-12-10 3.007000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 7000000.00 6897277.36 GSMS 2013-GC12 AS 2046-06-10 3.375000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 60000.00 59837.18 HVMLT 2004-6 4A 2034-08-19 2.757800 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 75000000.00 6946707.33 IMM 2003-8 1A1 2033-10-25 1.101600 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 2974800.00 22800.13 JP MORGAN 5.5% 08/37 2037-08-26 5.500000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 43959000.00 1345381.71 JP MORGAN CHASE COMMERCIAL MORTGAGE 2043-06-15 3.853000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 5275000.00 116174.89 JPMBB 2013-C17 A4 2047-01-15 4.198900 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 1190000.00 1263422.13 JPMBB COML MTG SECS TR 2047-02-15 4.079300 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 430000.00 452300.10 JPMCC 2006-CB16 A4 2045-05-12 5.552000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 480000.00 352206.03 MORGAN STANLEY CAP I TR 2011 C1 2047-09-15 3.884000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 7000000.00 1084835.72 MSBAM 2013-C9 AS 2046-05-15 3.456000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 2272000.00 2279840.65 MSBAM 2014-C19 A2 2047-12-15 3.101000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 510000.00 523522.53 MSC 2006-HQ9 AM 2044-07-12 5.773000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 240000.00 244131.55 MSC 2007-HQ11 A31 2044-02-12 5.439000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 900000.00 97749.99 MSC 2007-HQ11 A4 2044-02-12 5.447000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 75000.00 77047.75 MSC 2007-IQ13 A1A 2044-03-15 5.312000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 348000.00 189184.55 PROVIDENCE 7.75% 07/16 2016-07-20 7.750000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 160000.00 11252.83 SLR STUDENT 2038-12-15 0.822000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 18920000.00 16107774.49 WAMMS 2003-AR1 4A 2033-02-25 2.225000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency collateralized mortgage obligations 61372900.00 351636.24 WBCMT 2007-C31 A4 2047-04-15 5.509000 Other Instrument common stocks, ETFs, corporate bonds, ABS, or non-agency 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