0001145549-16-016684.txt : 20160805 0001145549-16-016684.hdr.sgml : 20160805 20160805145514 ACCESSION NUMBER: 0001145549-16-016684 CONFORMED SUBMISSION TYPE: N-MFP1 PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20160731 FILED AS OF DATE: 20160805 DATE AS OF CHANGE: 20160805 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-MFP1 SEC ACT: 1940 Act SEC FILE NUMBER: 811-05954 FILM NUMBER: 161810640 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 S000004505 Schwab Advisor Cash Reserves C000012379 Sweep Shares SWQXX C000012380 Premier Sweep Shares SWZXX N-MFP1 1 primary_doc.xml N-MFP1 0000857156 XXXXXXXX 2016-07-31 0000857156 S000004505 2 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 084-00896 N N N Prime Y 36 44 6102524565.65 4753003254.01 3499875007.10 3966130688.19 4170468612.02 8754242324.05 8229204363.86 7041847085.08 7174394298.66 7491549782.86 0.3213 0.2546 0.1950 0.2258 0.2419 0.4609 0.4408 0.3923 0.4084 0.4345 0.47 17229187677.78 17227084992.17 16572543.36 6877720.69 17236779815.31 17235225902.3000 1.0000 0.0065 1.0003 1.0003 1.0003 1.0002 1.0002 C000012379 1.00 4324458389.21 4324110867.1100 1.0003 1.0002 1.0002 1.0002 1.0002 317786886.84 345228645.53 215815606.59 251035503.66 227254100.73 307996533.56 258223137.00 332361352.68 174818178.17 233599393.52 953061900.49 1191182221.43 0.0003 Y Investment Advisor and its affiliates Contractual 362,259 Investment Advisor and its affiliates Voluntary 12,114 C000012380 1.00 12912321426.10 12911115035.1900 1.0003 1.0003 1.0003 1.0002 1.0002 1313750348.78 1767006652.19 893081877.98 1365194702.04 691017761.81 1218837288.12 784825158.87 1025402602.52 562276983.19 826423130.34 3329751329.01 4740747395.46 0.0010 Y Investment Advisor and its affiliates Contractual 1,907,516 ABN AMRO FUNDING USA LLC ABN AMRO FUNDING USA LLC 0.000000% 00084BKE3 0001245022 Financial Company Commercial Paper First Tier Security N/A N/A 2016-10-14 2016-10-14 2016-10-14 N Y ABN AMRO Bank N.V. N/A N/A 1.0000 N 0.0050 7991530.40 7991530.40 0.0005 N N N N ABBEY NATIONAL TREASURY SERVICES PLC (STAMFORD BRANCH) ABBEY NATIONAL TREASURY SERVICES PLC (STAMFORD BRANCH) 0.920000% 00279JCQ3 0000931061 Certificate of Deposit First Tier Security N/A N/A 2016-09-15 2016-09-15 2016-09-15 N Y Santander UK Plc N/A N/A 1.0000 N 0.0052 7003685.57 7003685.57 0.0004 N N N N BARCLAYS CAPITAL INC BARCLAYS CAPITAL INC 0.320000% AC28XWWI3WIBK2824319 0001484219 00799J004_0.32_0802T U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 2020-11-30 2.000000 46118000.00 48129392.47 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-11-30 0.625000 9428200.00 9431099.30 U.S. Treasuries (including strips) UNITED STATES TREASURY 2020-02-29 1.375000 113800.00 116184.68 U.S. Treasuries (including strips) UNITED STATES TREASURY 2018-02-15 1.000000 19641900.00 19819128.22 U.S. Treasuries (including strips) UNITED STATES TREASURY 2016-12-15 0.00 24300.00 24273.03 U.S. Treasuries (including strips) First Tier Security N/A N/A 2016-08-02 2016-08-02 2016-08-02 N N N 0.0032 75999521.20 75999521.20 0.0044 N N Y N BARCLAYS CAPITAL INC BARCLAYS CAPITAL INC 0.320000% AC28XWWI3WIBK2824319 0001484219 00799J004_0.32_0803T U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 2021-12-31 2.125000 127398500.00 134011067.21 U.S. Treasuries (including strips) UNITED STATES TREASURY 2020-08-31 2.125000 4755400.00 5008241.90 U.S. Treasuries (including strips) UNITED STATES TREASURY 2020-07-31 1.625000 8907600.00 9199089.76 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-07-31 0.625000 3240900.00 3251175.79 U.S. Treasuries (including strips) US Government Agency 2023-05-15 1.750000 387600.00 399718.92 U.S. Treasuries (including strips) UNITED STATES TREASURY 2023-04-30 1.625000 3094200.00 3164884.48 U.S. Treasuries (including 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Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FNMS 03.000 CTAB5621 2032-07-01 3.000000 34027357.00 21746566.20 Agency Mortgage-Backed Securities FNMS 03.500 CLAX0885 2044-10-01 3.500000 32671521.00 31293433.95 Agency Mortgage-Backed Securities First Tier Security N/A N/A 2016-08-02 2016-08-02 2016-08-02 N N N 0.0032 50999678.70 50999678.70 0.0030 N N Y N BARCLAYS CAPITAL INC BARCLAYS CAPITAL INC 0.320000% AC28XWWI3WIBK2824319 0001484219 00799J004_0.32_0803 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N GNRM 2003-56 MA 549300M8ZYFG0OCMTT87 2033-02-16 5.500000 2194.00 69.66 Agency Collateralized Mortgage Obligation FNMS 03.500 CLAX0885 2044-10-01 3.500000 17328479.00 16597562.54 Agency Mortgage-Backed Securities 03.000 FGPC V60981 G 2030-10-01 3.000000 47460296.00 46842369.31 Agency Mortgage-Backed Securities First Tier Security N/A N/A 2016-08-03 2016-08-03 2016-08-03 N N N 0.0032 61000000.00 61000000.00 0.0035 N N Y N BARCLAYS CAPITAL INC BARCLAYS CAPITAL INC 0.330000% AC28XWWI3WIBK2824319 0001484219 00799J004_0.33_0805 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 2020-11-30 2.000000 100.00 104.36 U.S. Treasuries (including strips) UNITED STATES TREASURY 2019-09-30 1.750000 20374900.00 21052114.91 U.S. Treasuries (including strips) UNITED STATES TREASURY 2019-08-31 1.625000 62500.00 64389.24 U.S. Treasuries (including strips) UNITED STATES TREASURY 2020-07-31 1.625000 19854200.00 20503903.17 U.S. Treasuries (including strips) UNITED STATES TREASURY 2017-02-15 4.625000 191200.00 199540.33 U.S. Treasuries (including strips) First Tier Security N/A N/A 2016-08-05 2016-08-05 2016-08-05 N N N 0.0033 41000000.00 41000000.00 0.0024 N N Y N AUSTRALIA & NEW ZEALAND BANKING GROUP LTD AUSTRALIA & NEW ZEALAND BANKING GROUP LTD 0.000000% 05253AJ68 JHE42UYNWWTJB8YTTU19 0000859994 Financial Company Commercial Paper First Tier Security N/A N/A 2016-09-06 2016-09-06 2016-09-06 N N N 0.0056 35978158.80 35978158.80 0.0021 N N N N BNP PARIBAS SA (SAN FRANCISCO BRANCH) BNP PARIBAS SA (SAN FRANCISCO BRANCH) 0.850000% 05572NK39 Certificate of Deposit First Tier Security N/A N/A 2016-08-09 2016-08-09 2016-08-09 N N N 0.0034 32004944.32 32004944.32 0.0019 N N N N BNP PARIBAS SA (SAN FRANCISCO BRANCH) BNP PARIBAS SA (SAN FRANCISCO BRANCH) 0.900000% 05572NN51 Certificate of Deposit First Tier Security N/A N/A 2016-11-10 2016-11-10 2016-11-10 N N N 0.0080 71020143.41 71020143.41 0.0041 N N N N BNP PARIBAS SA (SAN FRANCISCO BRANCH) BNP PARIBAS SA (SAN FRANCISCO BRANCH) 0.620000% 05572NP42 Certificate of Deposit First Tier Security N/A N/A 2016-09-02 2016-09-02 2016-09-02 N N N 0.0045 6001006.26 6001006.26 0.0003 N N N N BANK OF AMERICA NA BANK OF AMERICA NA 0.810000% 06053PMX2 B4TYDEB6GKMZO031MB27 0001102113 Other Instrument Bank Note First 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297167510.97 0.0172 N N N N BANK OF AMERICA NA BANK OF AMERICA NA 0.850000% 06053PQB6 B4TYDEB6GKMZO031MB27 0001102113 Other Instrument Bank Note First Tier Security N/A N/A 2016-11-14 2016-11-14 2016-11-14 N N N 0.0071 89036312.89 89036312.89 0.0052 N N N N BANK OF AMERICA NA BANK OF AMERICA NA 0.600000% 06053PQD2 B4TYDEB6GKMZO031MB27 0001102113 Other Instrument Bank Note First Tier Security N/A N/A 2016-08-23 2016-08-23 2016-08-23 N N N 0.0041 100011701.00 100011701.00 0.0058 N N N N BANK OF AMERICA NA BANK OF AMERICA NA 0.840000% 06053PQF7 B4TYDEB6GKMZO031MB27 0001102113 Other Instrument Bank Note First Tier Security N/A N/A 2016-11-14 2016-11-14 2016-11-14 N N N 0.0064 1000569.01 1000569.01 0.0001 N N N N MERRILL LYNCH PIERCE FENNER & SMITH INC MERRILL LYNCH PIERCE FENNER & SMITH INC 0.350000% 8NAV47T0Y26Q87Y0QP81 0000065100 06399U000_0.35_0801 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N Freddie Mac S6XOOCT0IEG5ABCC6L87 2030-02-01 2.500000 36325171.00 30900000.08 Agency Mortgage-Backed Securities First Tier Security N/A N/A 2016-08-01 2016-08-01 2016-08-01 N N N 0.0035 30000000.00 30000000.00 0.0017 N Y Y N BANK OF NOVA SCOTIA (HOUSTON BRANCH) BANK OF NOVA SCOTIA (HOUSTON BRANCH) 0.850000% 06417GDP0 Certificate of Deposit First Tier Security N/A N/A 2016-08-04 2016-08-04 2016-08-04 N N N 0.0037 57004571.97 57004571.97 0.0033 N N Y N BANK OF NOVA SCOTIA (HOUSTON BRANCH) BANK OF NOVA SCOTIA (HOUSTON BRANCH) 0.827900% 06417GEQ7 Certificate of Deposit First Tier Security N/A N/A 2016-08-23 2016-08-23 2016-08-23 N N N 0.0046 174044719.74 174044719.74 0.0101 N N N N BANK OF NOVA SCOTIA (HOUSTON BRANCH) BANK OF NOVA SCOTIA (HOUSTON BRANCH) 0.920000% 06417GGW2 Certificate of Deposit First Tier Security N/A N/A 2016-11-01 2016-11-01 2016-11-01 N N N 0.0078 7002538.27 7002538.27 0.0004 N N N N BANK OF NOVA SCOTIA BANK OF NOVA SCOTIA 0.881400% 06417LBT3 L3I9ZG2KFGXZ61BMYR72 0001041839 Financial Company Commercial Paper First Tier Security N/A N/A 2016-08-15 2016-12-15 2016-12-15 N N N 0.0086 11001529.11 11001529.11 0.0006 N N N N BANK OF NOVA SCOTIA BANK OF NOVA SCOTIA 0.887400% 06417LBU0 L3I9ZG2KFGXZ61BMYR72 0001041839 Financial Company Commercial Paper First Tier Security N/A N/A 2016-08-22 2016-12-22 2016-12-22 N N N 0.0088 48002448.48 48002448.48 0.0028 N N N N BANK OF MONTREAL (CHICAGO BRANCH) BANK OF MONTREAL (CHICAGO BRANCH) 0.690000% 06427E4X6 Certificate of Deposit First Tier Security N/A N/A 2016-10-05 2016-10-05 2016-10-05 N N N 0.0054 81023652.81 81023652.81 0.0047 N N N N BANK OF MONTREAL (CHICAGO BRANCH) BANK OF MONTREAL (CHICAGO BRANCH) 0.560000% 06427ER52 Certificate of Deposit First Tier Security N/A N/A 2016-08-11 2016-08-11 2016-08-11 N N N 0.0044 46002052.06 46002052.06 0.0027 N N N N BANK OF MONTREAL (CHICAGO BRANCH) BANK OF MONTREAL (CHICAGO BRANCH) 0.807600% 06427EVK4 Certificate of Deposit First Tier Security N/A N/A 2016-08-02 2016-09-02 2016-09-02 N N N 0.0049 200065802.00 200065802.00 0.0116 N N N N BANK OF MONTREAL (CHICAGO BRANCH) BANK OF MONTREAL (CHICAGO BRANCH) 0.390000% 06427K2M8 Certificate of Deposit First Tier Security N/A N/A 2016-08-03 2016-08-03 2016-08-03 N N N 0.0042 104999506.50 104999506.50 0.0061 N N Y N BANK OF TOKYO-MITSUBISHI UFJ LTD (NEW YORK BRANCH) BANK OF TOKYO-MITSUBISHI UFJ LTD (NEW YORK BRANCH) 0.840000% 06538MQY8 Certificate of Deposit First Tier Security N/A N/A 2016-08-18 2016-08-18 2016-08-18 N N N 0.0045 27005794.47 27005794.47 0.0016 N N N N BANK OF TOKYO-MITSUBISHI UFJ LTD (NEW YORK BRANCH) BANK OF TOKYO-MITSUBISHI UFJ LTD (NEW YORK BRANCH) 0.840000% 06538MRC5 Certificate of Deposit First Tier Security N/A N/A 2016-08-19 2016-08-19 2016-08-19 N N N 0.0046 57012740.07 57012740.07 0.0033 N N N N BANK OF TOKYO-MITSUBISHI UFJ LTD (NEW YORK BRANCH) BANK OF TOKYO-MITSUBISHI UFJ LTD (NEW YORK BRANCH) 0.730000% 06538MYN3 Certificate of Deposit First Tier Security N/A N/A 2016-08-29 2016-08-29 2016-08-29 N N N 0.0049 14002905.14 14002905.14 0.0008 N N N N BARCLAYS BANK PLC (NEW YORK BRANCH) BARCLAYS BANK PLC (NEW YORK BRANCH) 0.910000% 06741X2P2 Certificate of Deposit First Tier Security N/A N/A 2016-08-11 2016-08-11 2016-08-11 N N N 0.0034 193039895.03 193039895.03 0.0112 N N N N BENNINGTON STARK CAPITAL COMPANY LLC BENNINGTON STARK CAPITAL COMPANY LLC 0.000000% 08224LH90 Asset Backed Commercial Paper First Tier Security N/A N/A 2016-08-09 2016-08-09 2016-08-09 N Y Societe Generale SA N/A N/A 1.0000 N 0.0044 50993145.60 50993145.60 0.0030 N N N N BRECKENRIDGE TERRACE LLC BRECKENRIDGE TERRACE LLC SERIES VRDN 0.540000% 106538AB7 US106538AB78 Variable Rate Demand Note First Tier Security N/A N/A 2016-08-05 2016-08-05 2039-05-01 Y Bank of America NA N/A N/A 1.0000 7 N N N 0.0054 1000000.00 1000000.00 0.0001 N N Y N CAFCO LLC CAFCO LLC 0.000000% 1247P2J13 8O46YQAGJ63WE5QHIG35 Asset Backed Commercial Paper First Tier Security N/A N/A 2016-09-01 2016-09-01 2016-09-01 N 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Tier Security N/A N/A 2016-08-25 2016-08-25 2016-08-25 N N N 0.0047 124014174.44 124014174.44 0.0072 N N N N CITIBANK NA (NEW YORK BRANCH) CITIBANK NA (NEW YORK BRANCH) 0.700000% 17305TBA9 E57ODZWZ7FF32TWEFA76 Certificate of Deposit First Tier Security N/A N/A 2016-10-18 2016-10-18 2016-10-18 N N N 0.0066 23002038.03 23002038.03 0.0013 N N N N CITIBANK NA (NEW YORK BRANCH) CITIBANK NA (NEW YORK BRANCH) 0.610000% 17305TBT8 E57ODZWZ7FF32TWEFA76 Certificate of Deposit First Tier Security N/A N/A 2016-09-26 2016-09-26 2016-09-26 N N N 0.0055 75007080.75 75007080.75 0.0044 N N N N CITIBANK NA (NEW YORK BRANCH) CITIBANK NA (NEW YORK BRANCH) 0.650000% 17305TCA8 E57ODZWZ7FF32TWEFA76 Certificate of Deposit First Tier Security N/A N/A 2016-10-03 2016-10-03 2016-10-03 N N N 0.0058 100011841.00 100011841.00 0.0058 N N N N CITIBANK NA (NEW YORK BRANCH) CITIBANK NA (NEW YORK BRANCH) 0.870000% 17305TCY6 E57ODZWZ7FF32TWEFA76 Certificate of Deposit First Tier Security N/A N/A 2016-12-15 2016-12-15 2016-12-15 N N N 0.0084 187022778.47 187022778.47 0.0109 N N N N COLLATERALIZED COMMERCIAL PAPER II CO LLC COLLATERALIZED COMMERCIAL PAPER II CO LLC 0.000000% 19422CKH5 Asset Backed Commercial Paper First Tier Security N/A N/A 2016-10-17 2016-10-17 2016-10-17 N Y JP Morgan Securities LLC N/A N/A 1.0000 N 0.0071 34944623.00 34944623.00 0.0020 N N N N COLLATERALIZED COMMERCIAL PAPER II CO LLC COLLATERALIZED COMMERCIAL PAPER II CO LLC 0.000000% 19422CMD2 Asset Backed Commercial Paper First Tier Security N/A N/A 2016-12-13 2016-12-13 2016-12-13 N Y JP Morgan Securities LLC N/A N/A 1.0000 N 0.0092 34877461.50 34877461.50 0.0020 N N N N DEUTSCHE BANK SECURITIES INC DEUTSCHE BANK SECURITIES INC 0.380000% 9J6MBOOO7BECTDTUZW19 0001074042 21599B009_0.38_0801 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N UNITED STATES TREASURY 2020-08-31 1.375000 117961900.00 120360063.50 U.S. Treasuries (including strips) First Tier Security N/A N/A 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Mortgage Obligations 144A CSMC 2006-OMA B2 2023-05-15 5.538000 2760000.00 3074277.32 Private Label Collateralized Mortgage Obligations 144A FREMF 2013-K25 C 2045-11-25 3.618400 520000.00 506157.27 Private Label Collateralized Mortgage Obligations STACR 2015-DNA1 M3 2027-10-25 3.787900 8641869.00 8790988.13 Private Label Collateralized Mortgage Obligations FHASI 2004-AR7 2A4 2035-02-25 2.713500 4307000.00 396325.12 Private Label Collateralized Mortgage Obligations FHASI 2004-AR7 4A1 2035-02-25 2.641000 500000.00 41553.35 Private Label Collateralized Mortgage Obligations GS MTG SECS TR 2011-GC5 2044-08-10 5.385500 10000.00 11477.98 Private Label Collateralized Mortgage Obligations GSMS 2013-GC12 AS 549300SSCQUZ3RRV2T53 2046-06-10 3.375000 60000.00 63417.00 Private Label Collateralized Mortgage Obligations GS FLT 07/44 2044-07-25 2.486500 100000.00 54046.54 Private Label Collateralized Mortgage Obligations GS MTG SECS TR 2014-GC18 2047-01-10 4.942400 263000.00 222294.87 Private Label Collateralized Mortgage Obligations GS MTG SECS TR 2014 GC24 2047-09-10 4.162000 500000.00 557934.58 Private Label Collateralized Mortgage Obligations GS MORTGAGE 3.345% 07/48 54930066YOFVQE068N73 2048-07-10 3.345000 330000.00 256884.28 Private Label Collateralized Mortgage Obligations GSMS 2014-GC20 C 2047-04-10 4.867000 9475000.00 9827209.97 Private Label Collateralized Mortgage Obligations HUDSONS BAY VAR 08/34 2034-08-05 5.447000 600000.00 576597.44 Private Label Collateralized Mortgage Obligations WBCMT 2005-C21 B 2044-10-15 5.288300 1000000.00 1003491.04 Private Label Collateralized Mortgage Obligations 144A WFRBS 2014-C19 D 549300FCX3YXSYSLU895 2047-03-15 4.234000 280000.00 228629.83 Private Label Collateralized Mortgage Obligations WP GLIMCHER VAR 06/35 2035-06-05 3.516000 10200000.00 10316434.26 Private Label Collateralized Mortgage Obligations WFRBS 2014-C25 B 2047-11-15 4.236000 1585000.00 1741881.90 Private Label Collateralized Mortgage Obligations 144A WFRBS 2013-C15 D 5493003CHVRASC16O965 2046-08-15 4.480300 116000.00 106028.87 Private Label Collateralized Mortgage Obligations 144A WBCMT 2004-C12 F 2041-07-15 5.429900 165000.00 104655.77 Private Label Collateralized Mortgage Obligations 144A WMCMS 2006-SL1 C 2043-11-23 4.723200 2000000.00 1525770.43 Private Label Collateralized Mortgage Obligations WELLS FARGO VAR 03/59 549300JPCJUA5JJLRW54 2059-03-15 4.506000 1000000.00 1137701.03 Private Label Collateralized Mortgage Obligations WELLS FARGO 3.484% 06/49 549300FWFHJGIW2B2U59 2049-06-15 3.484000 850000.00 911778.20 Private Label Collateralized Mortgage Obligations WFRBS VAR 03/47 549300QGM7D5K3CV2643 2047-03-15 4.351000 2500000.00 2820616.07 Private Label Collateralized Mortgage Obligations SACO 2006-6 A 2036-06-25 0.747900 1700000.00 198370.72 Asset-Backed Securities SACO 2006-5 2A1 2036-05-25 0.787900 1650000.00 205045.94 Asset-Backed Securities INDS 2006-1 A4 2036-05-25 6.666000 600.00 276.03 Asset-Backed Securities AGATE BAY VAR 07/45 549300RM62GNIVQ1WJ04 2045-07-25 3.628700 1792000.00 1251204.28 Private Label Collateralized Mortgage Obligations AGATE BAY MTG TR 2015-1 2045-01-25 3.820100 3214000.00 2944497.20 Private Label Collateralized Mortgage Obligations AGATE BAY MTG TR 2014-2 2044-09-25 3.898300 4305000.00 4146811.18 Private Label Collateralized Mortgage Obligations AGATE BAY MTG TR 2015-1 2045-01-25 3.820100 2795000.00 2194114.06 Private Label Collateralized Mortgage Obligations AGATE BAY MTG TR 2014-2 2044-09-25 3.898300 6363000.00 6034653.40 Private Label Collateralized Mortgage Obligations AGATE BAY MTG TR 2014-2 2044-09-25 3.898300 3744000.00 3496300.44 Private Label Collateralized Mortgage Obligations AGATE BAY MTG TR 2014-2 2044-09-25 3.898300 4679000.00 4302704.42 Private Label Collateralized Mortgage Obligations AHM 2004-1 4A 2044-04-25 3.031900 62160000.00 4525540.88 Private Label Collateralized Mortgage Obligations 144A BNPP 2009-1 A4 2037-08-27 6.000000 3800000.00 3922411.56 Private Label Collateralized Mortgage Obligations 144A BBUBS 2012-SHOW E 2036-11-05 4.026000 17133000.00 17026349.29 Private Label Collateralized Mortgage Obligations BANC OF AMERICA VAR 09/47 2047-09-10 5.240700 100000.00 100229.04 Private Label Collateralized Mortgage Obligations BACM 2007-5 AM 2051-02-10 5.772000 150000.00 155081.21 Private Label Collateralized Mortgage Obligations 144A BACM 2003-2 H 2041-03-11 5.763700 2000000.00 2091081.14 Private Label Collateralized Mortgage Obligations BANC OF 3.167% 09/48 2048-09-15 3.167000 640000.00 498701.06 Private Label Collateralized Mortgage Obligations 144A CBAC 2005-1A A 2035-07-25 0.807900 37200000.00 3776257.49 Private Label Collateralized Mortgage Obligations COLT 2016-1 VAR 05/46 2046-05-25 6.401000 9056000.00 9134583.28 Private Label Collateralized Mortgage Obligations 144A COMM 2014-CR16 D 2047-04-10 4.904900 5752340.00 5130781.21 Private Label Collateralized Mortgage Obligations 144A CD 2007-CD5 D 2044-11-15 6.115200 12750000.00 13030336.80 Private Label Collateralized Mortgage Obligations COMM 2014-UBS3 C 2047-06-10 4.783300 4500000.00 4721744.12 Private Label Collateralized Mortgage Obligations COMM 2014-CR21 AM 2047-12-10 3.987000 679456.00 750534.11 Private Label Collateralized Mortgage Obligations COMM 2014-UBS6 C 2047-12-10 4.465300 6134000.00 6121653.92 Private Label Collateralized Mortgage Obligations CWALT INC. 2004-13CB 2044-03-25 9.332000 736690.00 1456524.48 Private Label Collateralized Mortgage Obligations CSMLT 2015-2 VAR 08/45 2045-08-25 3.907773 4937000.00 4794141.94 Private Label Collateralized Mortgage Obligations 144A CSMC 2014-OAK1 B4 2044-11-25 3.755700 8845000.00 7899935.75 Private Label Collateralized Mortgage Obligations CWL 2006-SPS2 A 2026-05-25 0.807900 193000000.00 11416143.25 Asset-Backed Securities SACO I TRUST 2006-4 2036-03-25 0.827900 168530000.00 17889791.21 Asset-Backed Securities CWL 549300XF11BHS5IOB463 2025-12-25 0.707900 124075000.00 5876727.62 Asset-Backed Securities GSAMP 2006-S1 A1 2035-11-25 0.767900 100320000.00 4062826.59 Asset-Backed Securities CWHEL 2036-11-15 0.631300 60000000.00 7454878.09 Asset-Backed Securities SACO 2005-WM2 M1 2035-07-25 1.312900 32570000.00 10608940.55 Asset-Backed Securities CWL 2006-S3 A4 2029-01-25 6.408500 28105000.00 20258609.52 Asset-Backed Securities TMTS 2037-07-25 1.426044 26055584.00 3844149.70 Asset-Backed Securities 144A NAA 2006-S3 A1 2036-08-25 0.807900 23676000.00 1618608.51 Asset-Backed Securities OOMLT 2007-FXD1 3A4 2037-01-25 5.860000 16000000.00 15258222.58 Asset-Backed Securities BOMBARDER CAPITAL MORTGAGE SE 2029-12-15 0.701300 15000000.00 196803.38 Asset-Backed Securities RFMS2 2006-HI4 A4 2036-09-25 0.057200 15000000.00 9142604.47 Asset-Backed Securities SACO 2006-5 1A 2036-04-25 0.787900 12527444.00 1553339.84 Asset-Backed Securities BSABS 2007-AQ2 A4 2037-01-25 0.817900 10124000.00 3282399.07 Asset-Backed Securities CWL 2006-12 M1 2036-12-25 0.487000 10000000.00 17200.87 Asset-Backed Securities 144A IRWHE 2006-P1 2A3 2037-06-25 5.800000 5937000.00 3956729.71 Asset-Backed Securities MLMI 2005-SL3 M2 2036-07-25 1.492900 4000000.00 89326.64 Asset-Backed Securities MSC 2007-T25 A1A 2049-11-12 5.509000 315000.00 201100.85 Private Label Collateralized Mortgage Obligations MSC 2007-IQ14 AM 5493007NPTW49ZOONV52 2049-04-15 5.682000 16261727.00 15788513.64 Private Label Collateralized Mortgage Obligations MSBAM 2013-C11 C 2046-08-15 4.567000 3000.00 3143.96 Private Label Collateralized Mortgage Obligations MORGAN STANLEY VAR 09/32 2032-09-09 4.295000 1000000.00 1090206.27 Private Label Collateralized Mortgage Obligations MSC 2006-IQ11 B 2042-10-15 5.871000 20000.00 19481.89 Private Label Collateralized Mortgage Obligations MSM 2004-6AR 1M3 2034-07-25 2.962900 1180000.00 518548.92 Private Label Collateralized Mortgage Obligations MORGAN STANLEY DEAN WITTER 2052-10-12 5.237600 295000.00 295460.90 Private Label Collateralized Mortgage Obligations NATIONSTAR 6.657% 11/25 2025-11-25 6.657000 3000000.00 2987128.97 Private Label Collateralized Mortgage Obligations NEW RESIDENTIAL VAR 11/35 2035-11-25 5.697801 339000.00 343572.05 Private Label Collateralized Mortgage Obligations 144A RBSCF 2010-RR4 CMLA 2049-12-16 6.297300 100000.00 55635.58 Private Label Collateralized Mortgage Obligations RALI SERIES 5.75% 01/34 2034-01-25 5.750000 1250000.00 1917104.57 Private Label Collateralized Mortgage Obligations SHELLPOINT ASSET FDG TR CMO SE 2043-07-25 4.075000 2175035.00 1663810.74 Private Label Collateralized Mortgage Obligations TMSQ 2014-1500 VAR 10/36 2036-10-10 3.834900 600000.00 634809.57 Private Label Collateralized Mortgage Obligations 144A WFRBS 2013-C14 D 549300GADFYEKC4OLM57 2046-06-15 3.997800 1800000.00 1631199.57 Private Label Collateralized Mortgage Obligations First Tier Security N/A N/A 2016-11-01 2016-11-01 2016-12-05 Y Credit Suisse Securities (USA) LLC N/A N/A 1.0000 95 N Y Credit Suisse AG N/A N/A 1.0000 N 0.0128 324260917.20 324260917.20 0.0188 N N N Y DNB BANK ASA (GRAND CAYMAN BRANCH) DNB BANK ASA (GRAND CAYMAN BRANCH) 0.370000% 0001498632 ATD0HCGM3 Non-Negotiable Time Deposit First Tier Security N/A N/A 2016-08-01 2016-08-01 2016-08-01 N N N 0.0037 105000000.00 105000000.00 0.0061 N Y Y N AUSTRALIA AND NEW ZEALAND BANKING GROUP LTD (CAYMAN ISLANDS BRANCH) AUSTRALIA AND NEW ZEALAND BANKING GROUP LTD (CAYMAN ISLANDS BRANCH) 0.410000% 0000859994 ATD0HD4B8 Non-Negotiable Time Deposit First Tier Security N/A N/A 2016-08-02 2016-08-02 2016-08-02 N N N 0.0042 199999810.00 199999810.00 0.0116 N N Y N FIFTH THIRD BANK(CAYMAN ISLANDS) FIFTH THIRD BANK(CAYMAN ISLANDS) 0.410000% 0000035528 ATD0HD4H5 Non-Negotiable Time Deposit First Tier Security N/A N/A 2016-08-02 2016-08-02 2016-08-02 N N N 0.0042 84999919.25 84999919.25 0.0049 N N Y N DZ BANK AG DEUTSCHE ZENTRAL GENOSSENSCHAFTSBANK (NEW YORK BRANCH) DZ BANK AG DEUTSCHE ZENTRAL GENOSSENSCHAFTSBANK (NEW YORK BRANCH 0.350000% 5493005PGG4HB3CD7345 0001074042 ATD0HD4P7 Non-Negotiable Time Deposit First Tier Security N/A N/A 2016-08-02 2016-08-02 2016-08-02 N N N 0.0037 71999812.80 71999812.80 0.0042 N N Y N SKANDINAVISKA ENSKILDA BANKEN AB (GRAND CAYMAN BRANCH) SKANDINAVISKA ENSKILDA BANKEN AB (GRAND CAYMAN BRANCH) 0.400000% 0000917311 ATD0HDTJ4 Non-Negotiable Time Deposit First Tier Security N/A N/A 2016-08-03 2016-08-03 2016-08-03 N N N 0.0042 102999737.35 102999737.35 0.0060 N N Y N ABN AMRO BANK NV (AMSTERDAM BRANCH) ABN AMRO BANK NV (AMSTERDAM BRANCH) 0.410000% 0001245022 ATD0HDUN3 Non-Negotiable Time Deposit First Tier Security N/A N/A 2016-08-03 2016-08-03 2016-08-03 N N N 0.0042 243999524.20 243999524.20 0.0142 N N Y N AUSTRALIA AND NEW ZEALAND BANKING GROUP LTD (LONDON BRANCH) AUSTRALIA AND NEW ZEALAND BANKING GROUP LTD (LONDON BRANCH) 0.400000% 0000859994 ATD0HF7U8 Non-Negotiable Time Deposit First Tier Security N/A N/A 2016-08-05 2016-08-05 2016-08-05 N N N 0.0041 44999757.00 44999757.00 0.0026 N N Y N SVENSKA HANDELSBANKEN AB (CAYMAN ISLANDS BRANCH) SVENSKA HANDELSBANKEN AB (CAYMAN ISLANDS BRANCH) 0.300000% 0001448613 ATD0HF7W4 Non-Negotiable Time Deposit First Tier Security N/A N/A 2016-08-01 2016-08-01 2016-08-01 N N N 0.0030 258000000.00 258000000.00 0.0150 N Y Y N CANADIAN IMPERIAL BANK OF COMMERCE (GRAND CAYMAN) CANADIAN IMPERIAL BANK OF COMMERCE (GRAND CAYMAN) 0.300000% 0000800030 ATD0HF845 Non-Negotiable Time Deposit First Tier Security N/A N/A 2016-08-01 2016-08-01 2016-08-01 N N N 0.0030 150000000.00 150000000.00 0.0087 N Y Y N NORDEA BANK FINLAND PLC (NEW YORK BRANCH) NORDEA BANK FINLAND PLC (NEW YORK BRANCH) 0.290000% 0001002614 ATD0HF860 Non-Negotiable Time Deposit First Tier Security N/A N/A 2016-08-01 2016-08-01 2016-08-01 N N N 0.0030 172000000.00 172000000.00 0.0100 N Y Y N NATIONAL AUSTRALIA BANK LTD (CAYMAN ISLANDS BRANCH) NATIONAL AUSTRALIA BANK LTD (CAYMAN ISLANDS BRANCH) 0.300000% 0000833029 ATD0HF878 Non-Negotiable Time Deposit First Tier Security N/A N/A 2016-08-01 2016-08-01 2016-08-01 N N N 0.0030 344000000.00 344000000.00 0.0200 N Y Y N NATIONAL BANK OF CANADA (MONTREAL BRANCH) NATIONAL BANK OF CANADA (MONTREAL BRANCH) 0.340000% 0000926171 ATD0HF886 Non-Negotiable Time Deposit First Tier Security N/A N/A 2016-08-05 2016-08-05 2016-08-05 N N N 0.0035 170997948.00 170997948.00 0.0099 N N Y N DNB BANK ASA (GRAND CAYMAN BRANCH) DNB BANK ASA (GRAND CAYMAN BRANCH) 0.350000% 0001498632 ATD0HF894 Non-Negotiable Time Deposit First Tier Security N/A N/A 2016-08-05 2016-08-05 2016-08-05 N N N 0.0036 123998648.40 123998648.40 0.0072 N N Y N BRANCH BANKING & TRUST (CAYMAN ISLANDS BRANCH) BRANCH BANKING & TRUST (CAYMAN ISLANDS BRANCH) 0.270000% JJKC32MCHWDI71265Z06 0000838135 ATD0HF8A1 Non-Negotiable Time Deposit First Tier Security N/A N/A 2016-08-01 2016-08-01 2016-08-01 N N N 0.0028 128000000.00 128000000.00 0.0074 N Y Y N The Charles Schwab Family of Funds 2016-08-05 Mark Fischer Mark Fischer Chief Financial Officer