Form N-MFP1 EDWARD JONES MONEY MARKE For: Apr 29

  
    N-MFP1
    
      
        
          0000314650
          XXXXXXXX
        
      
      
    
  
  
    
      2016-04-29
      0000314650
      
      S000009066
      2
      N
      N
    
    
      002-66437
      
        PASSPORT RESEARCH LTD
        801-16217
      
      
        ERNST & YOUNG
        BOSTON
        MA
      
      
        FEDERATED ADMINISTRATIVE SERVICES
      
      
        EDWARD JONES
        0000810417
        084-01496
      
      N
      N
      N
      Exempt Government
      N
      39
      106
      
        6817992009.73
        6924428125.42
        7135763501.36
        6509280184.33
        6684216164.55
      
      
        8522257098.10
        8587236898.47
        8582521214.70
        8876811637.68
        8813684417.33
      
      
        .4644
        .4739
        .4922
        .4525
        .4643
      
      
        .5805
        .5877
        .5920
        .6171
        .6122
      
      887.58
      14389857820.88
      14388295655.67
      6425234.57
      153783396.18
      14242500546.85
      14389857820.88
      1.0000
      .0040
      
        1.0000
        1.0000
        1.0000
        1.0000
        1.0000
      
    
    
      C000024632
      1.00
      11053877670.69
      11053859966.43
      
        1.0000
        1.0000
        1.0000
        1.0000
        1.0000
      
      
        757508208.82
        788975531.68
      
      
        912798800.22
        817087634.82
      
      
        715356441.53
        825956123.83
      
      
        787109928.81
        901973388.78
      
      
        706689592.71
        832353066.04
      
      
        3299841126.47
        3523000101.20
      
      .0001
      Y
      Adviser:
Adv Fees - Min Yld 935,865
Other Fees - Min Yld 27,581
Federated Aff:
Admin Fees - Vol 18,527
TA Fees - Min Yld 400,350
Jones Aff:
Serv Fees - Min Yld 2,315,876
TA Fees - Min Yld 143,418
    
    
      C000024633
      1.00
      3188622876.16
      3188617651.21
      
        1.0000
        1.0000
        1.0000
        1.0000
        1.0000
      
      
        589297342.19
        582244092.70
      
      
        608693646.30
        574955121.89
      
      
        571732901.60
        574393020.17
      
      
        632328050.22
        630576364.76
      
      
        586151315.36
        601351341.84
      
      
        2518710226.24
        2527404447.70
      
      .0001
      Y
      Adviser:
Adv Fees - Min Yld 266,283
Other Fees - Min Yld 27,595
Federated Aff:
Admin Fees - Vol 5,270
TA Fees - Min Yld 143,779
Jones Aff:
Serv Fees - Min Yld 658,690
TA Fees - Min Yld 224,527
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Notes,  0.625%, 11/23/2016
      3130A3J70
      
      US3130A3J704
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-11-23
      2016-11-23
      2016-11-23
      N
      N
      N
      .0052
      44024860.00
      44024860.00
      44024860.00
      .0031
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Notes,  0.400%, 6/17/2016
      3130A5FW4
      
      US3130A5FW41
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-06-17
      2016-06-17
      2016-06-17
      N
      N
      N
      .0031
      27003132.00
      27003132.00
      27003132.00
      .0019
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Notes,  0.360%, 6/21/2016
      3130A5GL7
      
      US3130A5GL76
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-06-21
      2016-06-21
      2016-06-21
      N
      N
      N
      .0031
      69005382.00
      69005382.00
      69005382.00
      .0048
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Notes,  0.400%, 7/11/2016
      3130A5NR6
      
      US3130A5NR63
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-07-11
      2016-07-11
      2016-07-11
      N
      N
      N
      .0033
      67008911.00
      67008911.00
      67008911.00
      .0047
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Notes,  0.410%, 7/13/2016
      3130A5Q44
      
      US3130A5Q449
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-07-13
      2016-07-13
      2016-07-13
      N
      N
      N
      .0034
      40006120.00
      40006120.00
      40006120.00
      .0028
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Floating Rate Notes,  0.386%, 1/17/2017
      3130A5X79
      
      US3130A5X791
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-17
      2017-01-17
      2017-01-17
      N
      N
      N
      .0046
      55969928.00
      55969928.00
      55969928.00
      .0039
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Floating Rate Notes,  0.392%, 2/3/2017
      3130A65S2
      
      US3130A65S23
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-03
      2017-02-03
      2017-02-03
      N
      N
      N
      .0047
      81450855.50
      81450855.50
      81450855.50
      .0057
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Floating Rate Notes,  0.485%, 2/7/2017
      3130A67B7
      
      US3130A67B79
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-07
      2017-02-07
      2017-02-07
      N
      N
      N
      .0051
      67998368.00
      67998368.00
      67998368.00
      .0048
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Floating Rate Notes,  0.482%, 2/14/2017
      3130A6BE6
      
      US3130A6BE61
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-14
      2017-02-14
      2017-02-14
      N
      N
      N
      .0052
      58997640.00
      58997640.00
      58997640.00
      .0041
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Floating Rate Notes,  0.436%, 8/21/2017
      3130A6DA2
      
      US3130A6DA22
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-21
      2017-08-21
      2017-08-21
      N
      N
      N
      .0053
      66920806.00
      66920806.00
      66920806.00
      .0047
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Floating Rate Notes,  0.439%, 8/25/2017
      3130A6DC8
      
      US3130A6DC87
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-25
      2017-08-25
      2017-08-25
      N
      N
      N
      .0053
      33961240.00
      33961240.00
      33961240.00
      .0024
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Floating Rate Notes,  0.524%, 8/25/2017
      3130A6ER4
      
      US3130A6ER48
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-04
      2017-08-25
      2017-08-25
      N
      N
      N
      .0056
      64995970.00
      64995970.00
      64995970.00
      .0046
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Floating Rate Notes,  0.590%, 1/6/2017
      3130A6YJ0
      
      US3130A6YJ02
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-07-06
      2017-01-06
      2017-01-06
      N
      N
      N
      .0052
      75051225.00
      75051225.00
      75051225.00
      .0053
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Floating Rate Notes,  0.415%, 5/12/2016
      3130A72P9
      
      US3130A72P92
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-12
      2016-05-12
      2016-05-12
      N
      N
      N
      .0032
      55001815.00
      55001815.00
      55001815.00
      .0039
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Floating Rate Notes,  0.416%, 5/13/2016
      3130A72R5
      
      US3130A72R58
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-13
      2016-05-13
      2016-05-13
      N
      N
      N
      .0032
      100003600.00
      100003600.00
      100003600.00
      .0070
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Notes,  0.530%, 8/1/2016
      3130A75D3
      
      US3130A75D36
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-08-01
      2016-08-01
      2016-08-01
      N
      N
      N
      .0039
      100034300.00
      100034300.00
      100034300.00
      .0070
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Notes,  0.500%, 7/26/2016
      3130A75K7
      
      US3130A75K78
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-07-26
      2016-07-26
      2016-07-26
      N
      N
      N
      .0036
      48016128.00
      48016128.00
      48016128.00
      .0034
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Notes,  0.500%, 7/25/2016
      3130A75L5
      
      US3130A75L51
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-07-25
      2016-07-25
      2016-07-25
      N
      N
      N
      .0036
      50017100.00
      50017100.00
      50017100.00
      .0035
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Notes,  0.520%, 8/4/2016
      3130A76V2
      
      US3130A76V25
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-08-04
      2016-08-04
      2016-08-04
      N
      N
      N
      .0040
      98030968.00
      98030968.00
      98030968.00
      .0069
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Floating Rate Notes,  0.586%, 8/1/2017
      3130A76W0
      
      US3130A76W08
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-01
      2017-08-01
      2017-08-01
      N
      N
      N
      .0054
      37029674.00
      37029674.00
      37029674.00
      .0026
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Floating Rate Notes,  0.596%, 8/10/2017
      3130A7B61
      
      US3130A7B611
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-10
      2017-08-10
      2017-08-10
      N
      N
      N
      .0055
      100085900.00
      100085900.00
      100085900.00
      .0070
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Floating Rate Notes,  0.588%, 8/21/2017
      3130A7BZ7
      
      US3130A7BZ73
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-21
      2017-08-21
      2017-08-21
      N
      N
      N
      .0056
      35027790.00
      35027790.00
      35027790.00
      .0025
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Notes,  0.460%, 8/16/2016
      3130A7C60
      
      US3130A7C601
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-08-16
      2016-08-16
      2016-08-16
      N
      N
      N
      .0042
      200025600.00
      200025600.00
      200025600.00
      .0140
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Floating Rate Notes,  0.617%, 2/16/2018
      3130A7CE3
      
      US3130A7CE36
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-16
      2018-02-16
      2018-02-16
      N
      N
      N
      .0060
      50035850.00
      50035850.00
      50035850.00
      .0035
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Notes,  0.520%, 9/9/2016
      3130A7GW9
      
      US3130A7GW97
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-09-09
      2016-09-09
      2016-09-09
      N
      N
      N
      .0047
      50008600.00
      50008600.00
      50008600.00
      .0035
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Notes,  0.520%, 9/9/2016
      3130A7GY5
      
      US3130A7GY53
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-09-09
      2016-09-09
      2016-09-09
      N
      N
      N
      .0047
      100017200.00
      100017200.00
      100017200.00
      .0070
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Notes,  0.850%, 4/17/2017
      3130A7L94
      
      US3130A7L941
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2017-04-17
      2017-04-17
      2017-04-17
      N
      N
      N
      .0069
      50036100.00
      50036100.00
      50036100.00
      .0035
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Notes,  0.780%, 4/25/2017
      3130A7NJ0
      
      US3130A7NJ04
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2017-04-25
      2017-04-25
      2017-04-25
      N
      N
      N
      .0063
      59042362.00
      59042362.00
      59042362.00
      .0041
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Notes,  0.500%, 9/30/2016
      3130A7NT8
      
      US3130A7NT85
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-09-30
      2016-09-30
      2016-09-30
      N
      N
      N
      .0047
      35004655.00
      35004655.00
      35004655.00
      .0025
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Floating Rate Notes,  0.553%, 4/6/2017
      3130A7NV3
      
      US3130A7NV32
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-07-06
      2017-04-06
      2017-04-06
      N
      N
      N
      .0054
      100035500.00
      100035500.00
      100035500.00
      .0070
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Floating Rate Notes,  0.547%, 4/7/2017
      3130A7P74
      
      US3130A7P744
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-07-07
      2017-04-07
      2017-04-07
      N
      N
      N
      .0054
      100033000.00
      100033000.00
      100033000.00
      .0070
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Notes,  0.550%, 2/3/2017
      3130A7W92
      
      US3130A7W922
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2017-02-03
      2017-02-03
      2017-02-03
      N
      N
      N
      .0051
      129035088.00
      129035088.00
      129035088.00
      .0091
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Notes,  0.750%, 5/25/2017
      3130A7WA9
      
      US3130A7WA93
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2017-05-25
      2017-05-25
      2017-05-25
      N
      N
      N
      .0073
      60005520.00
      60005520.00
      60005520.00
      .0042
      N
      N
      N
      N
    
    
      Federal Farm Credit System
      Federal Farm Credit System Discount Notes,  0.590%, 9/21/2016
      313312G79
      
      US313312G799
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-09-21
      2016-09-21
      2016-09-21
      N
      N
      N
      .0038
      24962525.00
      24962525.00
      24962525.00
      .0018
      N
      N
      N
      N
    
    
      Federal Farm Credit System
      Federal Farm Credit System Discount Notes,  0.650%, 10/17/2016
      313312K90
      
      US313312K908
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-10-17
      2016-10-17
      2016-10-17
      N
      N
      N
      .0041
      24952175.00
      24952175.00
      24952175.00
      .0017
      N
      N
      N
      N
    
    
      Federal Farm Credit System
      Federal Farm Credit System Discount Notes,  0.500%, 11/23/2016
      313312Q60
      
      US313312Q608
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-11-23
      2016-11-23
      2016-11-23
      N
      N
      N
      .0044
      22942362.00
      22942362.00
      22942362.00
      .0016
      N
      N
      N
      N
    
    
      Federal Farm Credit System
      Federal Farm Credit System Discount Notes,  0.530%, 12/29/2016
      313312V23
      
      US313312V236
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-12-29
      2016-12-29
      2016-12-29
      N
      N
      N
      .0046
      24923025.00
      24923025.00
      24923025.00
      .0017
      N
      N
      N
      N
    
    
      Federal Farm Credit System
      Federal Farm Credit System Discount Notes,  0.330%, 5/23/2016
      313312XE5
      
      US313312XE56
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-23
      2016-05-23
      2016-05-23
      N
      N
      N
      .0022
      19997080.00
      19997080.00
      19997080.00
      .0014
      N
      N
      Y
      N
    
    
      Federal Farm Credit System
      Federal Farm Credit System Discount Notes,  0.430%, 6/22/2016
      313312YL8
      
      US313312YL80
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-06-22
      2016-06-22
      2016-06-22
      N
      N
      N
      .0027
      25989496.00
      25989496.00
      25989496.00
      .0018
      N
      N
      Y
      N
    
    
      Federal Farm Credit System
      Federal Farm Credit System Discount Notes,  0.640%, 7/20/2016
      313312ZQ6
      
      US313312ZQ68
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-07-20
      2016-07-20
      2016-07-20
      N
      N
      N
      .0031
      24982450.00
      24982450.00
      24982450.00
      .0018
      N
      N
      N
      N
    
    
      Federal Farm Credit System
      Federal Farm Credit System Discount Notes,  0.560%, 2/14/2017
      313313BW7
      
      US313313BW75
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2017-02-14
      2017-02-14
      2017-02-14
      N
      N
      N
      .0050
      29880000.00
      29880000.00
      29880000.00
      .0021
      N
      N
      N
      N
    
    
      Federal Farm Credit System
      Federal Farm Credit System Discount Notes,  0.600%, 3/14/2017
      313313DA3
      
      US313313DA38
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2017-03-14
      2017-03-14
      2017-03-14
      N
      N
      N
      .0052
      12940668.00
      12940668.00
      12940668.00
      .0009
      N
      N
      N
      N
    
    
      Federal Farm Credit System
      Federal Farm Credit System Floating Rate Notes,  0.535%, 12/6/2016
      31331K2G4
      
      US31331K2G44
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-06
      2016-12-06
      2016-12-06
      N
      N
      N
      .0044
      37021275.00
      37021275.00
      37021275.00
      .0026
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Notes,  1.625%, 12/9/2016
      313371PV2
      
      US313371PV20
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-12-09
      2016-12-09
      2016-12-09
      N
      N
      N
      .0054
      10569699.00
      10569699.00
      10569699.00
      .0007
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Discount Notes,  0.514%, 8/3/2016
      313384A66
      
      US313384A668
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-08-03
      2016-08-03
      2016-08-03
      N
      N
      N
      .0034
      84925370.00
      84925370.00
      84925370.00
      .0060
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Discount Notes,  0.530%, 8/8/2016
      313384B32
      
      US313384B328
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-08-08
      2016-08-08
      2016-08-08
      N
      N
      N
      .0034
      59944440.00
      59944440.00
      59944440.00
      .0042
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Discount Notes,  0.600%, 8/9/2016
      313384B40
      
      US313384B401
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-08-09
      2016-08-09
      2016-08-09
      N
      N
      N
      .0034
      49953250.00
      49953250.00
      49953250.00
      .0035
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Discount Notes,  0.600%, 8/10/2016
      313384B57
      
      US313384B575
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-08-10
      2016-08-10
      2016-08-10
      N
      N
      N
      .0034
      49952800.00
      49952800.00
      49952800.00
      .0035
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Discount Notes,  0.600%, 8/15/2016
      313384C23
      
      US313384C235
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-08-15
      2016-08-15
      2016-08-15
      N
      N
      N
      .0034
      49950400.00
      49950400.00
      49950400.00
      .0035
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Discount Notes,  0.550%, 8/16/2016
      313384C31
      
      US313384C318
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-08-16
      2016-08-16
      2016-08-16
      N
      N
      N
      .0034
      49949950.00
      49949950.00
      49949950.00
      .0035
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Discount Notes,  0.530%, 8/29/2016
      313384D89
      
      US313384D894
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-08-29
      2016-08-29
      2016-08-29
      N
      N
      N
      .0034
      66924692.00
      66924692.00
      66924692.00
      .0047
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Discount Notes,  0.509%, 8/31/2016
      313384E21
      
      US313384E215
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-08-31
      2016-08-31
      2016-08-31
      N
      N
      N
      .0034
      31963424.00
      31963424.00
      31963424.00
      .0022
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Discount Notes,  0.500%, 9/16/2016
      313384G29
      
      US313384G293
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-09-16
      2016-09-16
      2016-09-16
      N
      N
      N
      .0038
      44934930.00
      44934930.00
      44934930.00
      .0032
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Discount Notes,  0.509%, 9/21/2016
      313384G78
      
      US313384G780
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-09-21
      2016-09-21
      2016-09-21
      N
      N
      N
      .0038
      49925050.00
      49925050.00
      49925050.00
      .0035
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Discount Notes,  0.500%, 9/26/2016
      313384H44
      
      US313384H440
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-09-26
      2016-09-26
      2016-09-26
      N
      N
      N
      .0038
      47925504.00
      47925504.00
      47925504.00
      .0034
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Discount Notes,  0.800%, 12/5/2016
      313384S26
      
      US313384S264
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-12-05
      2016-12-05
      2016-12-05
      N
      N
      N
      .0046
      45872442.00
      45872442.00
      45872442.00
      .0032
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Discount Notes,  0.349%, 5/6/2016
      313384WM7
      
      US313384WM76
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-06
      2016-05-06
      2016-05-06
      N
      N
      N
      .0015
      119996640.00
      119996640.00
      119996640.00
      .0084
      N
      N
      Y
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Discount Notes,  0.340%, 5/23/2016
      313384XE4
      
      US313384XE42
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-23
      2016-05-23
      2016-05-23
      N
      N
      N
      .0022
      26996058.00
      26996058.00
      26996058.00
      .0019
      N
      N
      Y
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Discount Notes,  0.540%, 6/3/2016
      313384XR5
      
      US313384XR54
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-06-03
      2016-06-03
      2016-06-03
      N
      N
      N
      .0026
      149962050.00
      149962050.00
      149962050.00
      .0105
      N
      N
      Y
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Discount Notes,  0.500%, 6/14/2016
      313384YC7
      
      US313384YC76
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-06-14
      2016-06-14
      2016-06-14
      N
      N
      N
      .0024
      89972370.00
      89972370.00
      89972370.00
      .0063
      N
      N
      Y
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Discount Notes,  0.370%, 6/17/2016
      313384YF0
      
      US313384YF08
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-06-17
      2016-06-17
      2016-06-17
      N
      N
      N
      .0027
      19992720.00
      19992720.00
      19992720.00
      .0014
      N
      N
      Y
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Discount Notes,  0.500%, 6/20/2016
      313384YJ2
      
      US313384YJ20
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-06-20
      2016-06-20
      2016-06-20
      N
      N
      N
      .0027
      74970900.00
      74970900.00
      74970900.00
      .0053
      N
      N
      Y
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Discount Notes,  0.370%, 6/22/2016
      313384YL7
      
      US313384YL75
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-06-22
      2016-06-22
      2016-06-22
      N
      N
      N
      .0027
      124949500.00
      124949500.00
      124949500.00
      .0088
      N
      N
      Y
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Discount Notes,  0.368%, 6/24/2016
      313384YN3
      
      US313384YN32
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-06-24
      2016-06-24
      2016-06-24
      N
      N
      N
      .0027
      62973540.00
      62973540.00
      62973540.00
      .0044
      N
      N
      Y
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Discount Notes,  0.594%, 6/24/2016
      313384YN3
      
      US313384YN32
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-06-24
      2016-06-24
      2016-06-24
      N
      N
      N
      .0027
      63973120.00
      63973120.00
      63973120.00
      .0045
      N
      N
      Y
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Discount Notes,  0.600%, 7/1/2016
      313384YV5
      
      US313384YV57
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-07-01
      2016-07-01
      2016-07-01
      N
      N
      N
      .0031
      124933375.00
      124933375.00
      124933375.00
      .0088
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Discount Notes,  0.600%, 7/6/2016
      313384ZA0
      
      US313384ZA02
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-07-06
      2016-07-06
      2016-07-06
      N
      N
      N
      .0031
      39976880.00
      39976880.00
      39976880.00
      .0028
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Discount Notes,  0.600%, 7/18/2016
      313384ZN2
      
      US313384ZN23
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-07-18
      2016-07-18
      2016-07-18
      N
      N
      N
      .0031
      64955540.00
      64955540.00
      64955540.00
      .0046
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Discount Notes,  0.580%, 7/19/2016
      313384ZP7
      
      US313384ZP70
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-07-19
      2016-07-19
      2016-07-19
      N
      N
      N
      .0031
      49965350.00
      49965350.00
      49965350.00
      .0035
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Discount Notes,  0.520%, 7/29/2016
      313384ZZ5
      
      US313384ZZ52
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-07-29
      2016-07-29
      2016-07-29
      N
      N
      N
      .0031
      91928056.00
      91928056.00
      91928056.00
      .0065
      N
      N
      N
      N
    
    
      Federal Home Loan Bank System
      Federal Home Loan Bank System Discount Notes,  0.550%, 1/27/2017
      313385BC9
      
      US313385BC98
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2017-01-27
      2017-01-27
      2017-01-27
      N
      N
      N
      .0048
      23913600.00
      23913600.00
      23913600.00
      .0017
      N
      N
      N
      N
    
    
      Federal Farm Credit System
      Federal Farm Credit System Floating Rate Notes,  0.462%, 5/2/2016
      3133ECNB6
      
      US3133ECNB63
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-02
      2016-05-02
      2016-05-02
      N
      N
      N
      .0046
      56925000.00
      56925000.00
      56925000.00
      .0040
      N
      Y
      Y
      N
    
    
      Federal Farm Credit System
      Federal Farm Credit System Floating Rate Notes,  0.466%, 10/11/2016
      3133ED4J8
      
      US3133ED4J86
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-11
      2016-10-11
      2016-10-11
      N
      N
      N
      .0041
      10002700.00
      10002700.00
      10002700.00
      .0007
      N
      N
      N
      N
    
    
      Federal Farm Credit System
      Federal Farm Credit System Floating Rate Notes,  0.476%, 2/13/2017
      3133EDFB3
      
      US3133EDFB39
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-13
      2017-02-13
      2017-02-13
      N
      N
      N
      .0046
      23227090.25
      23227090.25
      23227090.25
      .0016
      N
      N
      N
      N
    
    
      Federal Farm Credit System
      Federal Farm Credit System Floating Rate Notes,  0.447%, 6/3/2016
      3133EDG97
      
      US3133EDG970
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-03
      2016-06-03
      2016-06-03
      N
      N
      N
      .0033
      82709924.00
      82709924.00
      82709924.00
      .0058
      N
      N
      N
      N
    
    
      Federal Farm Credit System
      Federal Farm Credit System Floating Rate Notes,  0.457%, 9/14/2016
      3133EDH21
      
      US3133EDH218
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-14
      2016-09-14
      2016-09-14
      N
      N
      N
      .0039
      47011938.00
      47011938.00
      47011938.00
      .0033
      N
      N
      N
      N
    
    
      Federal Farm Credit System
      Federal Farm Credit System Floating Rate Notes,  0.447%, 11/14/2016
      3133EDLJ9
      
      US3133EDLJ90
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-14
      2016-11-14
      2016-11-14
      N
      N
      N
      .0043
      17001972.00
      17001972.00
      17001972.00
      .0012
      N
      N
      N
      N
    
    
      Federal Farm Credit System
      Federal Farm Credit System Floating Rate Notes,  0.461%, 3/13/2017
      3133EDNA6
      
      US3133EDNA63
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-13
      2017-03-13
      2017-03-13
      N
      N
      N
      .0047
      38271899.73
      38271899.73
      38271899.73
      .0027
      N
      N
      N
      N
    
    
      Federal Farm Credit System
      Federal Farm Credit System Floating Rate Notes,  0.479%, 3/24/2017
      3133EDP30
      
      US3133EDP302
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-24
      2017-03-24
      2017-03-24
      N
      N
      N
      .0048
      61001647.00
      61001647.00
      61001647.00
      .0043
      N
      N
      N
      N
    
    
      Federal Farm Credit System
      Federal Farm Credit System Floating Rate Notes,  0.419%, 7/8/2016
      3133EDQ47
      
      US3133EDQ474
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-08
      2016-07-08
      2016-07-08
      N
      N
      N
      .0034
      72711050.40
      72711050.40
      72711050.40
      .0051
      N
      N
      N
      N
    
    
      Federal Farm Credit System
      Federal Farm Credit System Floating Rate Notes,  0.419%, 8/1/2016
      3133EDR38
      
      US3133EDR381
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-01
      2016-08-01
      2016-08-01
      N
      N
      N
      .0035
      27754828.50
      27754828.50
      27754828.50
      .0019
      N
      N
      N
      N
    
    
      Federal Farm Credit System
      Federal Farm Credit System Floating Rate Notes,  0.425%, 9/6/2016
      3133EDRH7
      
      US3133EDRH70
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-06
      2016-09-06
      2016-09-06
      N
      N
      N
      .0038
      32004704.00
      32004704.00
      32004704.00
      .0022
      N
      N
      N
      N
    
    
      Federal Farm Credit System
      Federal Farm Credit System Floating Rate Notes,  0.456%, 3/9/2017
      3133EDUL4
      
      US3133EDUL46
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-09
      2017-03-09
      2017-03-09
      N
      N
      N
      .0049
      52986273.00
      52986273.00
      52986273.00
      .0037
      N
      N
      N
      N
    
    
      Federal Farm Credit System
      Federal Farm Credit System Floating Rate Notes,  0.421%, 10/17/2016
      3133EDYM8
      
      US3133EDYM82
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-17
      2016-10-17
      2016-10-17
      N
      N
      N
      .0041
      65003510.00
      65003510.00
      65003510.00
      .0046
      N
      N
      N
      N
    
    
      Federal Farm Credit System
      Federal Farm Credit System Floating Rate Notes,  0.469%, 7/25/2017
      3133EDYR7
      
      US3133EDYR79
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-25
      2017-07-25
      2017-07-25
      N
      N
      N
      .0051
      24986025.00
      24986025.00
      24986025.00
      .0018
      N
      N
      N
      N
    
    
      Federal Farm Credit System
      Federal Farm Credit System Floating Rate Notes,  0.424%, 10/24/2016
      3133EDZL9
      
      US3133EDZL90
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-24
      2016-10-24
      2016-10-24
      N
      N
      N
      .0042
      16000496.00
      16000496.00
      16000496.00
      .0011
      N
      N
      N
      N
    
    
      Federal Farm Credit System
      Federal Farm Credit System Notes,  0.420%, 6/24/2016
      3133EE2G4
      
      US3133EE2G48
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-06-24
      2016-06-24
      2016-06-24
      N
      N
      N
      .0026
      12002952.00
      12002952.00
      12002952.00
      .0008
      N
      N
      N
      N
    
    
      Federal Farm Credit System
      Federal Farm Credit System Floating Rate Notes,  0.387%, 11/14/2016
      3133EE3R9
      
      US3133EE3R93
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-16
      2016-11-14
      2016-11-14
      N
      N
      N
      .0043
      49989750.00
      49989750.00
      49989750.00
      .0035
      N
      N
      N
      N
    
    
      Federal Farm Credit System
      Federal Farm Credit System Floating Rate Notes,  0.416%, 7/17/2017
      3133EE4Y3
      
      US3133EE4Y36
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-17
      2017-07-17
      2017-07-17
      N
      N
      N
      .0051
      99887100.00
      99887100.00
      99887100.00
      .0070
      N
      N
      N
      N
    
    
      Federal Farm Credit System
      Federal Farm Credit System Floating Rate Notes,  0.426%, 5/19/2017
      3133EEM72
      
      US3133EEM729
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-19
      2017-05-19
      2017-05-19
      N
      N
      N
      .0050
      49963450.00
      49963450.00
      49963450.00
      .0035
      N
      N
      N
      N
    
    
      Federal Farm Credit System
      Federal Farm Credit System Floating Rate Notes,  0.466%, 10/19/2017
      3133EETS9
      
      US3133EETS90
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-19
      2017-10-19
      2017-10-19
      N
      N
      N
      .0055
      19976520.00
      19976520.00
      19976520.00
      .0014
      N
      N
      N
      N
    
    
      Federal Farm Credit System
      Federal Farm Credit System Floating Rate Notes,  0.426%, 6/9/2017
      3133EEV56
      
      US3133EEV563
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-09
      2017-06-09
      2017-06-09
      N
      N
      N
      .0050
      22481460.00
      22481460.00
      22481460.00
      .0016
      N
      N
      N
      N
    
    
      Federal Farm Credit System
      Federal Farm Credit System Floating Rate Notes,  0.426%, 4/17/2017
      3133EEYZ7
      
      US3133EEYZ78
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-17
      2017-04-17
      2017-04-17
      N
      N
      N
      .0048
      60967548.00
      60967548.00
      60967548.00
      .0043
      N
      N
      N
      N
    
    
      Federal Farm Credit System
      Federal Farm Credit System Floating Rate Notes,  0.424%, 8/1/2017
      3133EFBX4
      
      US3133EFBX43
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-01
      2017-08-01
      2017-08-01
      N
      N
      N
      .0051
      24973175.00
      24973175.00
      24973175.00
      .0018
      N
      N
      N
      N
    
    
      Federal Farm Credit System
      Federal Farm Credit System Floating Rate Notes,  0.496%, 8/10/2017
      3133EFNV5
      
      US3133EFNV58
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-10
      2017-08-10
      2017-08-10
      N
      N
      N
      .0053
      24989975.00
      24989975.00
      24989975.00
      .0018
      N
      N
      N
      N
    
    
      Federal Farm Credit System
      Federal Farm Credit System Floating Rate Notes,  0.567%, 12/4/2017
      3133EFRR0
      
      US3133EFRR01
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-04
      2017-12-04
      2017-12-04
      N
      N
      N
      .0055
      92528767.50
      92528767.50
      92528767.50
      .0065
      N
      N
      N
      N
    
    
      Federal Farm Credit System
      Federal Farm Credit System Floating Rate Notes,  0.576%, 6/16/2017
      3133EFTF4
      
      US3133EFTF45
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-16
      2017-06-16
      2017-06-16
      N
      N
      N
      .0050
      50041100.00
      50041100.00
      50041100.00
      .0035
      N
      N
      N
      N
    
    
      Federal Farm Credit System
      Federal Farm Credit System Floating Rate Notes,  0.586%, 7/21/2017
      3133EFTQ0
      
      US3133EFTQ00
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-21
      2017-07-21
      2017-07-21
      N
      N
      N
      .0052
      75064125.00
      75064125.00
      75064125.00
      .0053
      N
      N
      N
      N
    
    
      Federal Farm Credit System
      Federal Farm Credit System Floating Rate Notes,  0.598%, 11/28/2017
      3133EFUC9
      
      US3133EFUC94
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-28
      2017-11-28
      2017-11-28
      N
      N
      N
      .0055
      50040200.00
      50040200.00
      50040200.00
      .0035
      N
      N
      N
      N
    
    
      Federal Farm Credit System
      Federal Farm Credit System Floating Rate Notes,  0.595%, 1/12/2018
      3133EFUQ8
      
      US3133EFUQ80
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-12
      2018-01-12
      2018-01-12
      N
      N
      N
      .0056
      37024531.00
      37024531.00
      37024531.00
      .0026
      N
      N
      N
      N
    
    
      Federal Home Loan Mortgage Corp.
      Federal Home Loan Mortgage Corp. Notes,  0.625%, 11/1/2016
      3134G3S50
      
      US3134G3S507
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-11-01
      2016-11-01
      2016-11-01
      N
      N
      N
      .0048
      39029055.00
      39029055.00
      39029055.00
      .0027
      N
      N
      N
      N
    
    
      Federal Home Loan Mortgage Corp.
      Federal Home Loan Mortgage Corp. Notes,  0.400%, 5/27/2016
      3134G5RF4
      
      US3134G5RF47
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-27
      2016-05-27
      2016-05-27
      N
      N
      N
      .0031
      6000402.00
      6000402.00
      6000402.00
      .0004
      N
      N
      N
      N
    
    
      Federal Home Loan Mortgage Corp.
      Federal Home Loan Mortgage Corp. Floating Rate Notes,  0.425%, 12/12/2016
      3134G5UB9
      
      US3134G5UB95
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-12
      2016-12-12
      2016-12-12
      N
      N
      N
      .0043
      181490743.50
      181490743.50
      181490743.50
      .0127
      N
      N
      N
      N
    
    
      Federal Home Loan Mortgage Corp.
      Federal Home Loan Mortgage Corp. Floating Rate Notes,  0.440%, 1/12/2017
      3134G5Z24
      
      US3134G5Z242
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-12
      2017-01-12
      2017-01-12
      N
      N
      N
      .0045
      124987000.00
      124987000.00
      124987000.00
      .0088
      N
      N
      N
      N
    
    
      Federal Home Loan Mortgage Corp.
      Federal Home Loan Mortgage Corp. Notes,  0.750%, 3/9/2017
      3134G8LG2
      
      US3134G8LG23
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2017-03-09
      2017-03-09
      2017-03-09
      N
      N
      N
      .0072
      54005562.00
      54005562.00
      54005562.00
      .0038
      N
      N
      N
      N
    
    
      Federal Home Loan Mortgage Corp.
      Federal Home Loan Mortgage Corp. Floating Rate Notes,  0.654%, 3/8/2018
      3134G8PF0
      
      US3134G8PF04
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-06-08
      2018-03-08
      2018-03-08
      N
      N
      N
      .0063
      100047200.00
      100047200.00
      100047200.00
      .0070
      N
      N
      N
      N
    
    
      Federal National Mortgage Association
      Federal National Mortgage Association Discount Notes,  0.500%, 9/1/2016
      313588E35
      B1V7KEBTPIMZEU4LTD58
      US313588E351
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-09-01
      2016-09-01
      2016-09-01
      N
      N
      N
      .0037
      119845440.00
      119845440.00
      119845440.00
      .0084
      N
      N
      N
      N
    
    
      Federal National Mortgage Association
      Federal National Mortgage Association Floating Rate Notes,  0.449%, 9/8/2017
      3135G0E66
      B1V7KEBTPIMZEU4LTD58
      US3135G0E668
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-08
      2017-09-08
      2017-09-08
      N
      N
      N
      .0055
      66909684.00
      66909684.00
      66909684.00
      .0047
      N
      N
      N
      N
    
    
      Federal National Mortgage Association
      Federal National Mortgage Association Floating Rate Notes,  0.446%, 8/16/2017
      3135G0F24
      B1V7KEBTPIMZEU4LTD58
      US3135G0F244
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-16
      2017-08-16
      2017-08-16
      N
      N
      N
      .0054
      124855500.00
      124855500.00
      124855500.00
      .0088
      N
      N
      N
      N
    
    
      Federal National Mortgage Association
      Federal National Mortgage Association Floating Rate Notes,  0.459%, 7/20/2017
      3135G0F81
      B1V7KEBTPIMZEU4LTD58
      US3135G0F814
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-20
      2017-07-20
      2017-07-20
      N
      N
      N
      .0053
      49957050.00
      49957050.00
      49957050.00
      .0035
      N
      N
      N
      N
    
    
      Federal National Mortgage Association
      Federal National Mortgage Association Notes,  0.500%, 8/22/2016
      3135G0XC2
      B1V7KEBTPIMZEU4LTD58
      US3135G0XC28
      U.S. Government Agency Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-08-22
      2016-08-22
      2016-08-22
      N
      N
      N
      .0041
      43002322.00
      43002322.00
      43002322.00
      .0030
      N
      N
      N
      N
    
    
      Credit Suisse Securities (USA) LLC
      Credit Suisse Securities (USA) LLC, REPO,  0.280%, 5/2/2016
      319981007
      1V8Y6QCX6YMJ2OELII46
      
      U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash
      
      Y
      
        N
        
          0 1/8 TRIN X 21
          
          
            2021-04-15
          
          .125
          64736590.56
          66147301.94
          U.S. Treasuries (including strips)
          
        
        
          0 1/4 TRIN A 25
          
          
            2025-01-15
          
          .25
          24006701.46
          24287053.63
          U.S. Treasuries (including strips)
          
        
        
          0 1/8 TRIN D 24
          
          
            2024-07-15
          
          .125
          15453250.28
          15561431.00
          U.S. Treasuries (including strips)
          
        
        
          0 1/8 TRIN X 18
          
          
            2018-04-15
          
          .125
          39489065.00
          40147261.08
          U.S. Treasuries (including strips)
          
        
        
          0 3/8 TRIN D 25
          
          
            2025-07-15
          
          .375
          1519711.20
          1560191.74
          U.S. Treasuries (including strips)
          
        
        
          0 1/8 TRIN A 23
          
          
            2023-01-15
          
          .125
          46976274.83
          47436201.52
          U.S. Treasuries (including strips)
          
        
        
          0 1/8 TRIN X 19
          
          
            2019-04-15
          
          .125
          69150512.40
          70620498.88
          U.S. Treasuries (including strips)
          
        
        
          0 5/8 TRIN A 24
          
          
            2024-01-15
          
          .625
          816984.60
          854478.40
          U.S. Treasuries (including strips)
          
        
        
          0 5/8 TRIN A 26
          
          
            2026-01-15
          
          .625
          4693839.36
          4929106.09
          U.S. Treasuries (including strips)
          
        
        
          0 1/8 TRIN X 20
          
          
            2020-04-15
          
          .125
          8296097.24
          8470412.19
          U.S. Treasuries (including strips)
          
        
        
          2 3/8 TRIB 25
          
          
            2025-01-15
          
          2.375
          90396030.07
          108466283.25
          U.S. Treasuries (including strips)
          
        
        
          0 1/8 TRIN D 22
          
          
            2022-07-15
          
          .125
          79689133.52
          81162633.63
          U.S. Treasuries (including strips)
          
        
        
          1 1/8 TRIN A 21
          
          
            2021-01-15
          
          1.125
          540932.85
          579455.51
          U.S. Treasuries (including strips)
          
        
        
          1 1/4 TRIN D 20
          
          
            2020-07-15
          
          1.25
          166555.98
          179411.72
          U.S. Treasuries (including strips)
          
        
        
          2 5/8 TRIN D 17
          
          
            2017-07-15
          
          2.625
          40810342.52
          43134577.66
          U.S. Treasuries (including strips)
          
        
        
          0 1/8 TRIN X 17
          
          
            2017-04-15
          
          .125
          55861359.22
          56406441.61
          U.S. Treasuries (including strips)
          
        
        
          2 3/8 TRIN A 17
          
          
            2017-01-15
          
          2.375
          61203700.33
          63304268.88
          U.S. Treasuries (including strips)
          
        
        
          2 1/2 TRIN D 16
          
          
            2016-07-15
          
          2.5
          178905078.12
          182753595.20
          U.S. Treasuries (including strips)
          
        
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-02
      2016-05-02
      2016-05-02
      N
      N
      N
      .0028
      800000000.00
      800000000.00
      800000000.00
      .0562
      N
      Y
      Y
      N
    
    
      ING Financial Markets LLC
      ING Financial Markets LLC, REPO,  0.300%, 5/4/2016
      461997009
      KBVRJ5K57JZ3E2AVWX40
      
      U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash
      
      Y
      
        N
        
          FNRM CL133GN R10F133
          
          
            2040-10-25
          
          4
          5040127.70
          5333351.08
          Agency Collateralized Mortgage Obligation
          
        
        
          FNRM RC080AC R13F080
          
          
            2039-07-25
          
          4
          180275019.03
          190333025.85
          Agency Collateralized Mortgage Obligation
          
        
        
          FNRM CL034GA R09F034
          
          
            2039-05-25
          
          4
          9657850.50
          10337344.27
          Agency Collateralized Mortgage Obligation
          
        
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-04
      2016-05-04
      2016-05-04
      Y
      
        ING Financial Markets LLC
        
          N/A
          N/A
        
        1.0000
        7
        N
      
      N
      N
      .0030
      200000000.00
      200000000.00
      200000000.00
      .0140
      N
      N
      Y
      N
    
    
      Bank of Nova Scotia, Toronto
      Bank of Nova Scotia, Toronto, REPO,  0.400%, 5/2/2016
      809990005
      L3I9ZG2KFGXZ61BMYR72
      
      U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash
      
      Y
      
        N
        
          GNMA GNII SF MA2895 M
          
          
            2045-06-20
          
          5
          1587.38
          1725.72
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CRMA1437
          
          
            2043-05-01
          
          3.5
          168550.17
          177742.93
          Agency Mortgage-Backed Securities
          
        
        
          GNMA GNII SF AP3935 C
          
          
            2045-09-20
          
          4
          22925.04
          24615.42
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CRAO4101
          
          
            2042-05-01
          
          4
          1002400.72
          1080825.65
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CLAS3643
          
          
            2044-10-01
          
          4
          55293.49
          59836.74
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.000 CTAS4888
          
          
            2035-05-01
          
          3
          21206.53
          22056.26
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 06.000 CI976946
          
          
            2023-02-01
          
          6
          630820.26
          696641.73
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CLAT1942
          
          
            2043-04-01
          
          4
          592770.87
          646439.23
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAL1770
          
          
            2042-05-01
          
          2.817
          743951.67
          775036.94
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 05.500 CL844668
          
          
            2035-12-01
          
          5.5
          1226528.47
          1380659.90
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 02.500 CIAQ3621
          
          
            2027-11-01
          
          2.5
          661202.23
          684975.39
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 05.000 CIAA9586
          
          
            2024-02-01
          
          5
          418179.80
          450936.61
          Agency Mortgage-Backed Securities
          
        
        
          GNMA GNMI SF 798441 X
          
          
            2042-05-15
          
          4.5
          82588.72
          92281.58
          Agency Mortgage-Backed Securities
          
        
        
          GNMA GNAR AT MA3195 M
          
          
            2045-10-20
          
          2
          92213.98
          93525.77
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.000 FGPC Q27999 G
          
          
            2044-08-01
          
          4
          87368.66
          93614.30
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC C04043 G
          
          
            2042-06-01
          
          3.5
          262.33
          275.80
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.000 FGPC J17555 G
          
          
            2026-12-01
          
          3
          1367432.14
          1436904.99
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CLAB4596
          
          
            2042-03-01
          
          3.5
          10412.17
          11059.75
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAK1790
          
          
            2042-02-01
          
          2.745
          1525767.46
          1582808.28
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAK6449
          
          
            2042-03-01
          
          2.435
          1630894.37
          1693796.16
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.000 FGPC Q28612 G
          
          
            2044-09-01
          
          4
          163626.63
          175324.32
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.500 CLAV3679
          
          
            2044-02-01
          
          4.5
          391574.59
          432574.01
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CLAL3031
          
          
            2042-11-01
          
          3.5
          1309746.30
          1378280.38
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.000 FGPC V60615 G
          
          
            2029-09-01
          
          3
          57516.18
          60549.26
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CLAS6072
          
          
            2045-10-01
          
          4
          3017716.83
          3233812.85
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAV4481
          
          
            2043-11-01
          
          2.295
          226581.98
          234664.84
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAP6614
          
          
            2042-09-01
          
          2.301
          411089.19
          423963.95
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CLAT0319
          
          
            2043-04-01
          
          4
          26332.45
          28377.14
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC Q11250 G
          
          
            2042-09-01
          
          3.5
          67016.05
          70900.71
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CLAX5309
          
          
            2042-01-01
          
          4
          883789.71
          963282.27
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAZ1849
          
          
            2045-05-01
          
          2.333
          761693.21
          783015.71
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 2B2670 G
          
          
            2044-05-01
          
          2.818
          6432.49
          6668.78
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LB975322
          
          
            2038-05-01
          
          2.183
          10.89
          11.44
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.000 FGPC E02868 G
          
          
            2026-04-01
          
          4
          680214.31
          727480.43
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 02.500 CIAB7033
          
          
            2027-11-01
          
          2.5
          928940.04
          959987.49
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 2B2555 G
          
          
            2044-05-01
          
          3.164
          415032.24
          432644.92
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 05.000 CLAI1975
          
          
            2041-05-01
          
          5
          213321.14
          238453.33
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAD4421
          
          
            2040-06-01
          
          2.548
          1030918.39
          1090313.49
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBBA0486
          
          
            2045-09-01
          
          3.03
          644539.95
          671188.88
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CIAJ4171
          
          
            2026-11-01
          
          3.5
          45565.54
          48551.60
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.000 CIAK5410
          
          
            2027-03-01
          
          3
          1512086.33
          1586073.21
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.000 FGPC Q16628 G
          
          
            2043-03-01
          
          3
          1785.36
          1832.31
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CLAS6922
          
          
            2046-04-01
          
          3.5
          27430.08
          28814.40
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CLAK2413
          
          
            2042-02-01
          
          4
          35196.39
          37970.47
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAQ7713
          
          
            2042-12-01
          
          2
          591749.06
          608663.35
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 2B0548 G
          
          
            2042-06-01
          
          2.178
          1915994.78
          1984045.17
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC J16430 G
          
          
            2026-08-01
          
          3.5
          185.61
          199.24
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 05.500 FGPC G08061 G
          
          
            2035-06-01
          
          5.5
          8784.48
          9957.06
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CLAL1137
          
          
            2041-11-01
          
          4
          13532.71
          14646.76
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CLAS6945
          
          
            2046-04-01
          
          3.5
          43950.46
          46168.52
          Agency Mortgage-Backed Securities
          
        
        
          GNMA GNII SF AF3756 C
          
          
            2045-06-20
          
          4.5
          9866.02
          10732.87
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.000 FGPC C03836 G
          
          
            2042-04-01
          
          4
          2110680.93
          2285071.95
          Agency Mortgage-Backed Securities
          
        
        
          GNMA GNMI SF AO3606 X
          
          
            2045-08-15
          
          4
          391256.44
          422184.14
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC C04235 G
          
          
            2042-09-01
          
          3.5
          109748.99
          115355.65
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAO9623
          
          
            2042-07-01
          
          2.369
          2195776.56
          2283545.16
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAH9328
          
          
            2041-04-01
          
          3.328
          745691.76
          781906.62
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 02.500 CIAO4656
          
          
            2027-10-01
          
          2.5
          57109.53
          60104.03
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 2B2961 G
          
          
            2044-08-01
          
          2.898
          496.31
          515.08
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC Q09807 G
          
          
            2042-08-01
          
          3.5
          353483.73
          371687.16
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 2B3184 G
          
          
            2044-09-01
          
          2.919
          2544530.11
          2637553.89
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CLAL4763
          
          
            2044-01-01
          
          4
          273891.04
          298660.14
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.000 CLAS0330
          
          
            2043-08-01
          
          3
          1087187.76
          1118785.06
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CLAZ0868
          
          
            2045-07-01
          
          4
          87511.35
          94395.53
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 02.500 FGPC E04230 G
          
          
            2028-02-01
          
          2.5
          206837.99
          213648.01
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CLAB6224
          
          
            2042-09-01
          
          3.5
          308478.81
          324993.60
          Agency Mortgage-Backed Securities
          
        
        
          GNMA GNII SF MA2829 M
          
          
            2045-05-20
          
          5
          2008754.90
          2184215.40
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 865546 G
          
          
            2028-02-01
          
          5.595
          8.77
          8.90
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.500 FGPC U64002 G
          
          
            2044-05-01
          
          4.5
          1104108.66
          1219985.96
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBBA2956
          
          
            2045-10-01
          
          2.891
          1919505.08
          1992182.44
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC Q35136 G
          
          
            2045-08-01
          
          3.5
          105801.53
          111113.74
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 1G0398 G
          
          
            2035-10-01
          
          2.485
          36.45
          38.02
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAL1278
          
          
            2042-01-01
          
          3.24
          1484252.76
          1562658.41
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.000 FGPC U79041 G
          
          
            2029-10-01
          
          3
          27777.33
          29134.23
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC Q14936 G
          
          
            2043-01-01
          
          3.5
          435439.50
          457501.57
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAU1301
          
          
            2043-07-01
          
          1.789
          340509.91
          347404.71
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBBA0487
          
          
            2045-09-01
          
          2.899
          1927813.13
          1998991.42
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CLAL1763
          
          
            2042-05-01
          
          3.5
          182635.53
          193651.60
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.000 CLAQ7716
          
          
            2042-11-01
          
          3
          22070.63
          22712.18
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.500 CLAS2266
          
          
            2044-04-01
          
          4.5
          19232.74
          21384.91
          Agency Mortgage-Backed Securities
          
        
        
          GNMA GNAR AF MA1633 M
          
          
            2043-11-20
          
          3.5
          44217.73
          46097.30
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LB890573
          
          
            2044-06-01
          
          2.925
          636165.54
          659974.04
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CLAP1634
          
          
            2042-08-01
          
          3.5
          312929.47
          329211.88
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 02.500 CIAR1841
          
          
            2027-12-01
          
          2.5
          39800.81
          41135.90
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CLAL3194
          
          
            2042-06-01
          
          4
          1201280.08
          1291615.27
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CIAL0518
          
          
            2026-06-01
          
          4
          9516.25
          10189.69
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.000 CLBC5998
          
          
            2046-05-01
          
          3
          150827.60
          154981.14
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC Q07082 G
          
          
            2042-03-01
          
          3.5
          975800.87
          1028150.85
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAD7118
          
          
            2040-08-01
          
          3.431
          131063.08
          138821.69
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CLAU1225
          
          
            2043-07-01
          
          3.5
          445203.38
          469796.51
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.500 CLAL1683
          
          
            2041-11-01
          
          4.5
          858214.09
          938937.70
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CLAL2686
          
          
            2042-11-01
          
          3.5
          550272.82
          578904.19
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC Q12052 G
          
          
            2042-10-01
          
          3.5
          2853282.86
          2999034.89
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 05.000 FGPC A94613 G
          
          
            2040-10-01
          
          5
          721610.12
          807454.95
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.000 CLAT7621
          
          
            2043-05-01
          
          3
          487628.67
          501761.77
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAL1347
          
          
            2035-09-01
          
          2.46
          1788730.41
          1888275.64
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX S1942523
          
          
            2037-08-01
          
          2.614
          15.84
          16.78
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 05.500 CL844019
          
          
            2035-11-01
          
          5.5
          492322.01
          556632.45
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CLAK8239
          
          
            2042-04-01
          
          4
          1597397.59
          1729205.43
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.000 CIAS1741
          
          
            2029-02-01
          
          3
          369736.48
          388605.00
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.000 FGPC G30674 G
          
          
            2033-12-01
          
          4
          4874.28
          5268.46
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CLAK2714
          
          
            2042-02-01
          
          4
          364497.65
          391761.38
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.500 CLAJ2590
          
          
            2042-04-01
          
          4.5
          72032.48
          78790.21
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAL5265
          
          
            2044-04-01
          
          2.712
          1830967.40
          1899321.68
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CJMA0826
          
          
            2026-06-01
          
          4
          46.37
          47.46
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.000 FGPC J32008 G
          
          
            2030-06-01
          
          3
          190541.28
          200524.57
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAL1277
          
          
            2041-05-01
          
          3.219
          115.82
          121.05
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.000 FGPC U95018 G
          
          
            2042-06-01
          
          4
          187441.94
          202294.86
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CIAV9328
          
          
            2029-03-01
          
          3.5
          195762.73
          209494.94
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC Q11260 G
          
          
            2042-09-01
          
          3.5
          3786186.00
          3980770.30
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 2B1137 G
          
          
            2043-02-01
          
          2.193
          109447.06
          112114.79
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CLAK6757
          
          
            2042-03-01
          
          4
          3713370.51
          3990592.60
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.000 FGPC U90694 G
          
          
            2042-06-01
          
          4
          108662.47
          117282.36
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 05.925 MY957880
          
          
            2019-01-01
          
          5.925
          81436.31
          80683.87
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAL6341
          
          
            2045-02-01
          
          2.804
          1253001.08
          1294997.78
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CLAR1733
          
          
            2043-02-01
          
          3.5
          170129.34
          180102.19
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 1B7743 G
          
          
            2040-10-01
          
          3.748
          2651532.61
          2778899.28
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CIAI3428
          
          
            2026-05-01
          
          3.5
          1488729.48
          1587766.05
          Agency Mortgage-Backed Securities
          
        
        
          GNMA GNAR AT MA2984 M
          
          
            2045-07-20
          
          2
          1519305.11
          1540108.28
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.000 FGPC Q07170 G
          
          
            2042-04-01
          
          4
          48460.97
          52498.06
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.000 FGPC G07089 G
          
          
            2041-12-01
          
          4
          102912.91
          111991.49
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.000 CIAS2870
          
          
            2029-07-01
          
          3
          201948.97
          212231.07
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 02.500 CIAP3221
          
          
            2027-09-01
          
          2.5
          29397.76
          30381.72
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC J16368 G
          
          
            2026-08-01
          
          3.5
          172161.08
          182837.00
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.000 FGPC G14486 G
          
          
            2026-09-01
          
          4
          2634243.79
          2820543.07
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 2B0916 G
          
          
            2042-11-01
          
          2.267
          2075797.64
          2130080.21
          Agency Mortgage-Backed Securities
          
        
        
          GNMA GNII SF MA1160 M
          
          
            2041-03-20
          
          5
          175236.01
          191182.30
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 05.000 FGPC A96647 G
          
          
            2041-02-01
          
          5
          683645.09
          760394.43
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBBA2955
          
          
            2045-10-01
          
          2.509
          1633008.68
          1681833.10
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CLAS5712
          
          
            2045-08-01
          
          3.5
          208093.40
          219380.84
          Agency Mortgage-Backed Securities
          
        
        
          GNMA GNII SF MA3106 M
          
          
            2045-09-20
          
          4
          66470.48
          71195.28
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 02.500 CVAU0536
          
          
            2028-07-01
          
          2.5
          1424991.09
          1460890.10
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.000 CTAS4887
          
          
            2035-05-01
          
          3
          2419700.14
          2516655.92
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CRAL3534
          
          
            2042-12-01
          
          3.5
          4464.39
          4706.20
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 05.000 CLAH9073
          
          
            2041-04-01
          
          5
          705607.51
          787163.66
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CLAH0944
          
          
            2040-12-01
          
          4
          432172.12
          466149.98
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC Q30940 G
          
          
            2045-01-01
          
          3.5
          77657.98
          82074.17
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CIAW6261
          
          
            2029-06-01
          
          3.5
          407981.50
          432737.50
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.000 CIAX8781
          
          
            2030-02-01
          
          3
          9836.85
          10300.07
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC K92558 G
          
          
            2035-04-01
          
          3.5
          2653047.18
          2801477.80
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.500 CLAL5832
          
          
            2044-09-01
          
          4.5
          3428708.77
          3771010.48
          Agency Mortgage-Backed Securities
          
        
        
          FNMA 1.125 FNSM B 13-18
          
          
            2018-03-20
          
          1.125
          2400.00
          2403.19
          Agency Debentures and Agency Strips
          
        
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-02
      2016-05-02
      2016-05-02
      Y
      
        Bank of Nova Scotia, Toronto
        
          N/A
          N/A
        
        1.0000
        7
        N
      
      N
      N
      .0041
      100000000.00
      100000000.00
      100000000.00
      .0070
      N
      Y
      Y
      N
    
    
      Societe Generale, Paris
      Societe Generale, Paris, REPO,  0.320%, 5/3/2016
      8336P1001
      O2RNE8IBXP4R0TD8PU41
      
      U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash
      
      Y
      
        N
        
          USTR 1 5/8 NOTE E 22
          
          
            2022-08-15
          
          1.625
          6500000.00
          6560343.21
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 5/8 NOTE F 20
          
          
            2020-11-15
          
          2.625
          14214220.00
          15228349.93
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 5/8 NOTE E 20
          
          
            2020-08-15
          
          2.625
          2431320.00
          2585615.31
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 3/8 NOTE M 18
          
          
            2018-06-30
          
          2.375
          302300.00
          314727.76
          U.S. Treasuries (including strips)
          
        
        
          USTR 4 1/4 NOTE F 17
          
          
            2017-11-15
          
          4.25
          3900.00
          4185.37
          U.S. Treasuries (including strips)
          
        
        
          USTR 3 NOTE H 17
          
          
            2017-02-28
          
          3
          225140.00
          230771.05
          U.S. Treasuries (including strips)
          
        
        
          USTR BILL 10/20/16
          
          
            2016-10-20
          
          0
          2000000.00
          1996306.00
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 NOTE L 21
          
          
            2021-05-31
          
          2
          20.00
          20.81
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 1/8 TRIN X 18
          
          
            2018-04-15
          
          .125
          254363.68
          258603.37
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 3/4 TRIB 45
          
          
            2045-02-15
          
          .75
          1609252.51
          1548044.15
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 NOTE AU 17
          
          
            2017-12-15
          
          1
          8717500.00
          8785634.65
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 NOTE N 22
          
          
            2022-07-31
          
          2
          17903960.00
          18485303.55
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 5/8 NOTE AB 20
          
          
            2020-07-31
          
          1.625
          306000.00
          312331.82
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 5/8 NOTE AC 19
          
          
            2019-08-31
          
          1.625
          1455880.00
          1488400.66
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 1/8 TRIN X 19
          
          
            2019-04-15
          
          .125
          298489.85
          304835.09
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 3/4 NOTE AH 17
          
          
            2017-01-15
          
          .75
          8560.00
          8592.56
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/4 NOTE J 22
          
          
            2022-03-31
          
          1.75
          20.00
          20.33
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/8 NOTE W 20
          
          
            2020-03-31
          
          1.375
          30780.00
          31072.09
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 1/4 NOTE AU 18
          
          
            2018-12-15
          
          1.25
          2400.00
          2433.18
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 1/8 NOTE P 20
          
          
            2020-08-31
          
          2.125
          19911180.00
          20723728.85
          U.S. Treasuries (including strips)
          
        
        
          USTR BILL 09/15/16
          
          
            2016-09-15
          
          0
          64600.00
          64529.65
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/4 NOTE C 23
          
          
            2023-05-15
          
          1.75
          921560.00
          937522.13
          U.S. Treasuries (including strips)
          
        
        
          USTR 3 1/8 BOND 43
          
          
            2043-02-15
          
          3.125
          862180.00
          947917.78
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 7/8 NOTE Y 17
          
          
            2017-04-30
          
          .875
          20.00
          20.14
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 1/2 BOND 46
          
          
            2046-02-15
          
          2.5
          83000.00
          80130.89
          U.S. Treasuries (including strips)
          
        
        
          USTR 3 BOND 45
          
          
            2045-11-15
          
          3
          977360.00
          1053341.26
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 1/4 NOTE AT 18
          
          
            2018-11-15
          
          1.25
          58880.00
          59753.81
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 3/4 NOTE AJ 19
          
          
            2019-02-15
          
          .75
          179400.00
          178846.50
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/8 NOTE AC 20
          
          
            2020-08-31
          
          1.375
          8380.00
          8450.83
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/4 NOTE AG 20
          
          
            2020-12-31
          
          1.75
          6368680.00
          6540756.83
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 7/8 NOTE AS 18
          
          
            2018-10-15
          
          .875
          64800.00
          64826.87
          U.S. Treasuries (including strips)
          
        
        
          USTR BILL 07/21/16
          
          
            2016-07-21
          
          0
          1020.00
          1019.48
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 1/8 TRIB 41
          
          
            2041-02-15
          
          2.125
          173.22
          222.69
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 1/8 TRIB 40
          
          
            2040-02-15
          
          2.125
          9982.15
          12718.56
          U.S. Treasuries (including strips)
          
        
        
          USTR 3 3/8 TRIB 32
          
          
            2032-04-15
          
          3.375
          1051005.79
          1523402.40
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 TRIB 26
          
          
            2026-01-15
          
          2
          76905.13
          90698.77
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 1/2 NOTE AG 18
          
          
            2018-12-31
          
          1.5
          11316840.00
          11552287.48
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/8 NOTE L 20
          
          
            2020-05-31
          
          1.375
          20.00
          20.26
          U.S. Treasuries (including strips)
          
        
        
          USTR 3 3/4 BOND 41
          
          
            2041-08-15
          
          3.75
          16640.00
          20365.92
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/8 TRIN A 20
          
          
            2020-01-15
          
          1.375
          13156800.00
          14112856.58
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 3/4 BOND 42
          
          
            2042-08-15
          
          2.75
          11650475.00
          11947220.28
          U.S. Treasuries (including strips)
          
        
        
          USTR 3 1/8 BOND 41
          
          
            2041-11-15
          
          3.125
          25.00
          27.79
          U.S. Treasuries (including strips)
          
        
        
          USTR 4 5/8 BOND 40
          
          
            2040-02-15
          
          4.625
          9200.00
          12751.96
          U.S. Treasuries (including strips)
          
        
        
          USTR 6 3/8 BOND 27
          
          
            2027-08-15
          
          6.375
          75.00
          109.84
          U.S. Treasuries (including strips)
          
        
        
          USTR 7 5/8 BOND 25
          
          
            2025-02-15
          
          7.625
          75.00
          112.20
          U.S. Treasuries (including strips)
          
        
        
          USTR 8 3/4 BOND 20/08
          
          
            2020-08-15
          
          8.75
          14200.00
          18932.27
          U.S. Treasuries (including strips)
          
        
        
          USTR 8 1/2 BOND 20
          
          
            2020-02-15
          
          8.5
          17200.00
          22233.93
          U.S. Treasuries (including strips)
          
        
        
          USTR 3 3/4 BOND 43
          
          
            2043-11-15
          
          3.75
          24448900.00
          30368018.99
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 NOTE AU 17
          
          
            2017-12-15
          
          1
          50238975.00
          50631635.14
          U.S. Treasuries (including strips)
          
        
        
          USTR BILL 02/02/17
          
          
            2017-02-02
          
          0
          250.00
          249.13
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 1/8 NOTE Q 21
          
          
            2021-09-30
          
          2.125
          25.00
          25.98
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 1/8 NOTE M 22
          
          
            2022-06-30
          
          2.125
          232425.00
          242288.07
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 1/8 TRIN A 23
          
          
            2023-01-15
          
          .125
          128.40
          129.65
          U.S. Treasuries (including strips)
          
        
        
          USTR 3 BOND 44
          
          
            2044-11-15
          
          3
          27927425.00
          30108314.45
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 5/8 NOTE AC 19
          
          
            2019-08-31
          
          1.625
          125.00
          127.79
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 1/2 NOTE BE 16
          
          
            2016-08-31
          
          .5
          750.00
          750.97
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 1/4 NOTE K 21
          
          
            2021-04-30
          
          2.25
          398225.00
          420413.38
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 NOTE H 21
          
          
            2021-02-28
          
          2
          800.00
          828.61
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 5/8 NOTE AF 20
          
          
            2020-11-30
          
          1.625
          599700.00
          613653.36
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 5/8 TRIN A 24
          
          
            2024-01-15
          
          .625
          36334647.59
          38002149.38
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 5/8 NOTE Y 18
          
          
            2018-04-30
          
          .625
          500.00
          499.80
          U.S. Treasuries (including strips)
          
        
        
          USTR BILL 03/30/17
          
          
            2017-03-30
          
          0
          46546650.00
          46327415.28
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/8 NOTE AE 20
          
          
            2020-10-31
          
          1.375
          125.00
          126.50
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 7/8 NOTE P 22
          
          
            2022-08-31
          
          1.875
          18030275.00
          18441132.05
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 7/8 BOND 45
          
          
            2045-08-15
          
          2.875
          2415775.00
          2520872.76
          U.S. Treasuries (including strips)
          
        
        
          USTR BILL 10/13/16
          
          
            2016-10-13
          
          0
          25.00
          24.96
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 NOTE AR 18
          
          
            2018-09-15
          
          1
          600.00
          602.73
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 1/8 TRIB 41
          
          
            2041-02-15
          
          2.125
          27.07
          34.80
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/4 TRIB 28
          
          
            2028-01-15
          
          1.75
          136938.12
          159617.55
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 TRIB 26
          
          
            2026-01-15
          
          2
          3046042.77
          3592378.66
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 3/8 TRIB 25
          
          
            2025-01-15
          
          2.375
          6223185.62
          7467206.40
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 1/8 TRIN D 22
          
          
            2022-07-15
          
          .125
          25.78
          26.25
          U.S. Treasuries (including strips)
          
        
        
          FMAC 03.500 FGPC C91768 G
          
          
            2034-07-01
          
          3.5
          1675007.14
          1770214.92
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LB811254
          
          
            2034-12-01
          
          2.207
          1907025.25
          1991566.65
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.000 FGPC Q16628 G
          
          
            2043-03-01
          
          3
          1533549.82
          1573879.63
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 2B1105 G
          
          
            2043-02-01
          
          2.163
          2330980.40
          2387845.44
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC J14198 G
          
          
            2026-01-01
          
          3.5
          846056.30
          898403.68
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CLAL7569
          
          
            2044-03-01
          
          4
          9267986.09
          10022679.22
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 1B8812 G
          
          
            2041-10-01
          
          2.953
          2278332.24
          2401083.72
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX S1962146
          
          
            2038-03-01
          
          2.835
          1343294.92
          1416547.48
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX S1885947
          
          
            2036-07-01
          
          2.823
          1548586.08
          1646417.49
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAR3119
          
          
            2042-12-01
          
          2.227
          1605516.60
          1648531.78
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC D99283 G
          
          
            2032-07-01
          
          3.5
          934981.93
          991096.01
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 02.500 FGPC J20466 G
          
          
            2027-09-01
          
          2.5
          1499291.87
          1550388.41
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC Q09639 G
          
          
            2042-07-01
          
          3.5
          1643536.46
          1740809.53
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CLAJ9464
          
          
            2042-01-01
          
          4
          3595468.04
          3878223.24
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 848384 G
          
          
            2034-11-01
          
          2.539
          2177125.90
          2297860.11
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CRAP4874
          
          
            2042-09-01
          
          3.5
          3369201.94
          3552605.20
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CLAS2942
          
          
            2044-07-01
          
          4
          3867945.16
          4208023.06
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX WSAD0072
          
          
            2039-07-01
          
          2.589
          1400592.87
          1478237.08
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.000 FGPC Q16225 G
          
          
            2043-01-01
          
          3
          990771.56
          1017639.64
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC D98877 G
          
          
            2032-01-01
          
          3.5
          978252.87
          1040261.60
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LB995015
          
          
            2036-02-01
          
          2.318
          2293985.19
          2386182.49
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 1B7937 G
          
          
            2041-01-01
          
          2.753
          1665951.72
          1759658.54
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LB849261
          
          
            2036-01-01
          
          2.354
          910569.50
          954829.45
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC Q08610 G
          
          
            2042-06-01
          
          3.5
          1446629.27
          1532270.05
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX HYAM5278
          
          
            2024-03-01
          
          3.565
          1369827.49
          1480951.70
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CIAS1305
          
          
            2028-12-01
          
          3.5
          7805010.25
          8364092.67
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CLAL3047
          
          
            2042-05-01
          
          3.5
          4139367.47
          4364889.41
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CIAL4195
          
          
            2027-06-01
          
          3.5
          888309.84
          942699.48
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC U90638 G
          
          
            2043-01-01
          
          3.5
          1668527.00
          1758420.93
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LB879906
          
          
            2033-10-01
          
          2.634
          1816128.52
          1919331.24
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC C91455 G
          
          
            2032-05-01
          
          3.5
          2948199.85
          3124892.02
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX S1886557
          
          
            2036-08-01
          
          2.534
          1340833.33
          1426363.60
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAD2533
          
          
            2040-05-01
          
          2.523
          1292151.74
          1361947.75
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 2B0650 G
          
          
            2042-07-01
          
          2.39
          1835885.49
          1891890.81
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAC0036
          
          
            2039-02-01
          
          2.147
          2145849.98
          2233722.29
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LB733609
          
          
            2033-08-01
          
          2.35
          894661.76
          948428.95
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC C91459 G
          
          
            2032-05-01
          
          3.5
          1484128.35
          1578219.45
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LB745335
          
          
            2034-06-01
          
          2.341
          1734813.35
          1847306.94
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX S1849025
          
          
            2036-01-01
          
          2.24
          1282823.22
          1344799.26
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 1B7987 G
          
          
            2041-01-01
          
          2.775
          1651538.36
          1725010.90
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX S1888532
          
          
            2037-04-01
          
          2.545
          2075882.39
          2188776.02
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 2B4316 G
          
          
            2045-07-01
          
          2.704
          2230579.17
          2302466.52
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LB898191
          
          
            2036-09-01
          
          2.277
          1274363.55
          1320090.27
          Agency Mortgage-Backed Securities
          
        
        
          GNMA GNRA 2004-70 FP
          
          
            2034-07-20
          
          .7887
          1103510.98
          1100976.41
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRA 2631DF 06/15/33
          
          
            2033-06-15
          
          .8327
          922667.39
          925002.51
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRA 2004-106 F
          
          
            2034-12-16
          
          .6862
          1654268.88
          1654002.20
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRA 2007-22 F
          
          
            2037-04-20
          
          .6321
          1604630.92
          1590182.86
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRA 2007-027 FB
          
          
            2037-05-20
          
          .7387
          941680.13
          937248.27
          Agency Collateralized Mortgage Obligation
          
        
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-03
      2016-05-03
      2016-05-03
      Y
      
        Societe Generale, Paris
        
          N/A
          N/A
        
        1.0000
        7
        N
      
      N
      N
      .0032
      100000000.00
      100000000.00
      100000000.00
      .0070
      N
      N
      Y
      N
    
    
      Societe Generale, Paris
      Societe Generale, Paris, REPO,  0.310%, 5/2/2016
      8336P1001
      O2RNE8IBXP4R0TD8PU41
      
      U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash
      
      Y
      
        N
        
          USTR 1 5/8 NOTE E 22
          
          
            2022-08-15
          
          1.625
          6500000.00
          6560343.21
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 5/8 NOTE F 20
          
          
            2020-11-15
          
          2.625
          14214220.00
          15228349.93
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 5/8 NOTE E 20
          
          
            2020-08-15
          
          2.625
          2431320.00
          2585615.31
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 3/8 NOTE M 18
          
          
            2018-06-30
          
          2.375
          302300.00
          314727.76
          U.S. Treasuries (including strips)
          
        
        
          USTR 4 1/4 NOTE F 17
          
          
            2017-11-15
          
          4.25
          3900.00
          4185.37
          U.S. Treasuries (including strips)
          
        
        
          USTR 3 NOTE H 17
          
          
            2017-02-28
          
          3
          225140.00
          230771.05
          U.S. Treasuries (including strips)
          
        
        
          USTR BILL 10/20/16
          
          
            2016-10-20
          
          0
          2000000.00
          1996306.00
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 NOTE L 21
          
          
            2021-05-31
          
          2
          20.00
          20.81
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 1/8 TRIN X 18
          
          
            2018-04-15
          
          .125
          254363.68
          258603.37
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 3/4 TRIB 45
          
          
            2045-02-15
          
          .75
          1609252.51
          1548044.15
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 NOTE AU 17
          
          
            2017-12-15
          
          1
          8717500.00
          8785634.65
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 NOTE N 22
          
          
            2022-07-31
          
          2
          17903960.00
          18485303.55
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 5/8 NOTE AB 20
          
          
            2020-07-31
          
          1.625
          306000.00
          312331.82
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 5/8 NOTE AC 19
          
          
            2019-08-31
          
          1.625
          1455880.00
          1488400.66
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 1/8 TRIN X 19
          
          
            2019-04-15
          
          .125
          298489.85
          304835.09
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 3/4 NOTE AH 17
          
          
            2017-01-15
          
          .75
          8560.00
          8592.56
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/4 NOTE J 22
          
          
            2022-03-31
          
          1.75
          20.00
          20.33
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/8 NOTE W 20
          
          
            2020-03-31
          
          1.375
          30780.00
          31072.09
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 1/4 NOTE AU 18
          
          
            2018-12-15
          
          1.25
          2400.00
          2433.18
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 1/8 NOTE P 20
          
          
            2020-08-31
          
          2.125
          19911180.00
          20723728.85
          U.S. Treasuries (including strips)
          
        
        
          USTR BILL 09/15/16
          
          
            2016-09-15
          
          0
          64600.00
          64529.65
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/4 NOTE C 23
          
          
            2023-05-15
          
          1.75
          921560.00
          937522.13
          U.S. Treasuries (including strips)
          
        
        
          USTR 3 1/8 BOND 43
          
          
            2043-02-15
          
          3.125
          862180.00
          947917.78
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 7/8 NOTE Y 17
          
          
            2017-04-30
          
          .875
          20.00
          20.14
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 1/2 BOND 46
          
          
            2046-02-15
          
          2.5
          83000.00
          80130.89
          U.S. Treasuries (including strips)
          
        
        
          USTR 3 BOND 45
          
          
            2045-11-15
          
          3
          977360.00
          1053341.26
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 1/4 NOTE AT 18
          
          
            2018-11-15
          
          1.25
          58880.00
          59753.81
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 3/4 NOTE AJ 19
          
          
            2019-02-15
          
          .75
          179400.00
          178846.50
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/8 NOTE AC 20
          
          
            2020-08-31
          
          1.375
          8380.00
          8450.83
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/4 NOTE AG 20
          
          
            2020-12-31
          
          1.75
          6368680.00
          6540756.83
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 7/8 NOTE AS 18
          
          
            2018-10-15
          
          .875
          64800.00
          64826.87
          U.S. Treasuries (including strips)
          
        
        
          USTR BILL 07/21/16
          
          
            2016-07-21
          
          0
          1020.00
          1019.48
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 1/8 TRIB 41
          
          
            2041-02-15
          
          2.125
          173.22
          222.69
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 1/8 TRIB 40
          
          
            2040-02-15
          
          2.125
          9982.15
          12718.56
          U.S. Treasuries (including strips)
          
        
        
          USTR 3 3/8 TRIB 32
          
          
            2032-04-15
          
          3.375
          1051005.79
          1523402.40
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 TRIB 26
          
          
            2026-01-15
          
          2
          76905.13
          90698.77
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 1/2 NOTE AG 18
          
          
            2018-12-31
          
          1.5
          11316840.00
          11552287.48
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/8 NOTE L 20
          
          
            2020-05-31
          
          1.375
          20.00
          20.26
          U.S. Treasuries (including strips)
          
        
        
          USTR 3 3/4 BOND 41
          
          
            2041-08-15
          
          3.75
          16640.00
          20365.92
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/8 TRIN A 20
          
          
            2020-01-15
          
          1.375
          13156800.00
          14112856.58
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 3/4 BOND 42
          
          
            2042-08-15
          
          2.75
          11650475.00
          11947220.28
          U.S. Treasuries (including strips)
          
        
        
          USTR 3 1/8 BOND 41
          
          
            2041-11-15
          
          3.125
          25.00
          27.79
          U.S. Treasuries (including strips)
          
        
        
          USTR 4 5/8 BOND 40
          
          
            2040-02-15
          
          4.625
          9200.00
          12751.96
          U.S. Treasuries (including strips)
          
        
        
          USTR 6 3/8 BOND 27
          
          
            2027-08-15
          
          6.375
          75.00
          109.84
          U.S. Treasuries (including strips)
          
        
        
          USTR 7 5/8 BOND 25
          
          
            2025-02-15
          
          7.625
          75.00
          112.20
          U.S. Treasuries (including strips)
          
        
        
          USTR 8 3/4 BOND 20/08
          
          
            2020-08-15
          
          8.75
          14200.00
          18932.27
          U.S. Treasuries (including strips)
          
        
        
          USTR 8 1/2 BOND 20
          
          
            2020-02-15
          
          8.5
          17200.00
          22233.93
          U.S. Treasuries (including strips)
          
        
        
          USTR 3 3/4 BOND 43
          
          
            2043-11-15
          
          3.75
          24448900.00
          30368018.99
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 NOTE AU 17
          
          
            2017-12-15
          
          1
          50238975.00
          50631635.14
          U.S. Treasuries (including strips)
          
        
        
          USTR BILL 02/02/17
          
          
            2017-02-02
          
          0
          250.00
          249.13
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 1/8 NOTE Q 21
          
          
            2021-09-30
          
          2.125
          25.00
          25.98
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 1/8 NOTE M 22
          
          
            2022-06-30
          
          2.125
          232425.00
          242288.07
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 1/8 TRIN A 23
          
          
            2023-01-15
          
          .125
          128.40
          129.65
          U.S. Treasuries (including strips)
          
        
        
          USTR 3 BOND 44
          
          
            2044-11-15
          
          3
          27927425.00
          30108314.45
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 5/8 NOTE AC 19
          
          
            2019-08-31
          
          1.625
          125.00
          127.79
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 1/2 NOTE BE 16
          
          
            2016-08-31
          
          .5
          750.00
          750.97
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 1/4 NOTE K 21
          
          
            2021-04-30
          
          2.25
          398225.00
          420413.38
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 NOTE H 21
          
          
            2021-02-28
          
          2
          800.00
          828.61
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 5/8 NOTE AF 20
          
          
            2020-11-30
          
          1.625
          599700.00
          613653.36
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 5/8 TRIN A 24
          
          
            2024-01-15
          
          .625
          36334647.59
          38002149.38
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 5/8 NOTE Y 18
          
          
            2018-04-30
          
          .625
          500.00
          499.80
          U.S. Treasuries (including strips)
          
        
        
          USTR BILL 03/30/17
          
          
            2017-03-30
          
          0
          46546650.00
          46327415.28
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/8 NOTE AE 20
          
          
            2020-10-31
          
          1.375
          125.00
          126.50
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 7/8 NOTE P 22
          
          
            2022-08-31
          
          1.875
          18030275.00
          18441132.05
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 7/8 BOND 45
          
          
            2045-08-15
          
          2.875
          2415775.00
          2520872.76
          U.S. Treasuries (including strips)
          
        
        
          USTR BILL 10/13/16
          
          
            2016-10-13
          
          0
          25.00
          24.96
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 NOTE AR 18
          
          
            2018-09-15
          
          1
          600.00
          602.73
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 1/8 TRIB 41
          
          
            2041-02-15
          
          2.125
          27.07
          34.80
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/4 TRIB 28
          
          
            2028-01-15
          
          1.75
          136938.12
          159617.55
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 TRIB 26
          
          
            2026-01-15
          
          2
          3046042.77
          3592378.66
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 3/8 TRIB 25
          
          
            2025-01-15
          
          2.375
          6223185.62
          7467206.40
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 1/8 TRIN D 22
          
          
            2022-07-15
          
          .125
          25.78
          26.25
          U.S. Treasuries (including strips)
          
        
        
          FMAC 03.500 FGPC C91768 G
          
          
            2034-07-01
          
          3.5
          1675007.14
          1770214.92
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LB811254
          
          
            2034-12-01
          
          2.207
          1907025.25
          1991566.65
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.000 FGPC Q16628 G
          
          
            2043-03-01
          
          3
          1533549.82
          1573879.63
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 2B1105 G
          
          
            2043-02-01
          
          2.163
          2330980.40
          2387845.44
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC J14198 G
          
          
            2026-01-01
          
          3.5
          846056.30
          898403.68
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CLAL7569
          
          
            2044-03-01
          
          4
          9267986.09
          10022679.22
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 1B8812 G
          
          
            2041-10-01
          
          2.953
          2278332.24
          2401083.72
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX S1962146
          
          
            2038-03-01
          
          2.835
          1343294.92
          1416547.48
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX S1885947
          
          
            2036-07-01
          
          2.823
          1548586.08
          1646417.49
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAR3119
          
          
            2042-12-01
          
          2.227
          1605516.60
          1648531.78
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC D99283 G
          
          
            2032-07-01
          
          3.5
          934981.93
          991096.01
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 02.500 FGPC J20466 G
          
          
            2027-09-01
          
          2.5
          1499291.87
          1550388.41
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC Q09639 G
          
          
            2042-07-01
          
          3.5
          1643536.46
          1740809.53
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CLAJ9464
          
          
            2042-01-01
          
          4
          3595468.04
          3878223.24
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 848384 G
          
          
            2034-11-01
          
          2.539
          2177125.90
          2297860.11
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CRAP4874
          
          
            2042-09-01
          
          3.5
          3369201.94
          3552605.20
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CLAS2942
          
          
            2044-07-01
          
          4
          3867945.16
          4208023.06
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX WSAD0072
          
          
            2039-07-01
          
          2.589
          1400592.87
          1478237.08
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.000 FGPC Q16225 G
          
          
            2043-01-01
          
          3
          990771.56
          1017639.64
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC D98877 G
          
          
            2032-01-01
          
          3.5
          978252.87
          1040261.60
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LB995015
          
          
            2036-02-01
          
          2.318
          2293985.19
          2386182.49
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 1B7937 G
          
          
            2041-01-01
          
          2.753
          1665951.72
          1759658.54
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LB849261
          
          
            2036-01-01
          
          2.354
          910569.50
          954829.45
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC Q08610 G
          
          
            2042-06-01
          
          3.5
          1446629.27
          1532270.05
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX HYAM5278
          
          
            2024-03-01
          
          3.565
          1369827.49
          1480951.70
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CIAS1305
          
          
            2028-12-01
          
          3.5
          7805010.25
          8364092.67
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CLAL3047
          
          
            2042-05-01
          
          3.5
          4139367.47
          4364889.41
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CIAL4195
          
          
            2027-06-01
          
          3.5
          888309.84
          942699.48
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC U90638 G
          
          
            2043-01-01
          
          3.5
          1668527.00
          1758420.93
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LB879906
          
          
            2033-10-01
          
          2.634
          1816128.52
          1919331.24
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC C91455 G
          
          
            2032-05-01
          
          3.5
          2948199.85
          3124892.02
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX S1886557
          
          
            2036-08-01
          
          2.534
          1340833.33
          1426363.60
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAD2533
          
          
            2040-05-01
          
          2.523
          1292151.74
          1361947.75
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 2B0650 G
          
          
            2042-07-01
          
          2.39
          1835885.49
          1891890.81
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAC0036
          
          
            2039-02-01
          
          2.147
          2145849.98
          2233722.29
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LB733609
          
          
            2033-08-01
          
          2.35
          894661.76
          948428.95
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC C91459 G
          
          
            2032-05-01
          
          3.5
          1484128.35
          1578219.45
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LB745335
          
          
            2034-06-01
          
          2.341
          1734813.35
          1847306.94
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX S1849025
          
          
            2036-01-01
          
          2.24
          1282823.22
          1344799.26
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 1B7987 G
          
          
            2041-01-01
          
          2.775
          1651538.36
          1725010.90
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX S1888532
          
          
            2037-04-01
          
          2.545
          2075882.39
          2188776.02
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 2B4316 G
          
          
            2045-07-01
          
          2.704
          2230579.17
          2302466.52
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LB898191
          
          
            2036-09-01
          
          2.277
          1274363.55
          1320090.27
          Agency Mortgage-Backed Securities
          
        
        
          GNMA GNRA 2004-70 FP
          
          
            2034-07-20
          
          .7887
          1103510.98
          1100976.41
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRA 2631DF 06/15/33
          
          
            2033-06-15
          
          .8327
          922667.39
          925002.51
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRA 2004-106 F
          
          
            2034-12-16
          
          .6862
          1654268.88
          1654002.20
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRA 2007-22 F
          
          
            2037-04-20
          
          .6321
          1604630.92
          1590182.86
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRA 2007-027 FB
          
          
            2037-05-20
          
          .7387
          941680.13
          937248.27
          Agency Collateralized Mortgage Obligation
          
        
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-02
      2016-05-02
      2016-05-02
      Y
      
        Societe Generale, Paris
        
          N/A
          N/A
        
        1.0000
        7
        N
      
      N
      N
      .0031
      100000000.00
      100000000.00
      100000000.00
      .0070
      N
      Y
      Y
      N
    
    
      Societe Generale, Paris
      Societe Generale, Paris, REPO,  0.300%, 5/3/2016
      8336P1001
      O2RNE8IBXP4R0TD8PU41
      
      U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash
      
      Y
      
        N
        
          USTR 1 5/8 NOTE E 22
          
          
            2022-08-15
          
          1.625
          6500000.00
          6560343.21
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 5/8 NOTE F 20
          
          
            2020-11-15
          
          2.625
          14214220.00
          15228349.93
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 5/8 NOTE E 20
          
          
            2020-08-15
          
          2.625
          2431320.00
          2585615.31
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 3/8 NOTE M 18
          
          
            2018-06-30
          
          2.375
          302300.00
          314727.76
          U.S. Treasuries (including strips)
          
        
        
          USTR 4 1/4 NOTE F 17
          
          
            2017-11-15
          
          4.25
          3900.00
          4185.37
          U.S. Treasuries (including strips)
          
        
        
          USTR 3 NOTE H 17
          
          
            2017-02-28
          
          3
          225140.00
          230771.05
          U.S. Treasuries (including strips)
          
        
        
          USTR BILL 10/20/16
          
          
            2016-10-20
          
          0
          2000000.00
          1996306.00
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 NOTE L 21
          
          
            2021-05-31
          
          2
          20.00
          20.81
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 1/8 TRIN X 18
          
          
            2018-04-15
          
          .125
          254363.68
          258603.37
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 3/4 TRIB 45
          
          
            2045-02-15
          
          .75
          1609252.51
          1548044.15
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 NOTE AU 17
          
          
            2017-12-15
          
          1
          8717500.00
          8785634.65
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 NOTE N 22
          
          
            2022-07-31
          
          2
          17903960.00
          18485303.55
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 5/8 NOTE AB 20
          
          
            2020-07-31
          
          1.625
          306000.00
          312331.82
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 5/8 NOTE AC 19
          
          
            2019-08-31
          
          1.625
          1455880.00
          1488400.66
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 1/8 TRIN X 19
          
          
            2019-04-15
          
          .125
          298489.85
          304835.09
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 3/4 NOTE AH 17
          
          
            2017-01-15
          
          .75
          8560.00
          8592.56
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/4 NOTE J 22
          
          
            2022-03-31
          
          1.75
          20.00
          20.33
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/8 NOTE W 20
          
          
            2020-03-31
          
          1.375
          30780.00
          31072.09
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 1/4 NOTE AU 18
          
          
            2018-12-15
          
          1.25
          2400.00
          2433.18
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 1/8 NOTE P 20
          
          
            2020-08-31
          
          2.125
          19911180.00
          20723728.85
          U.S. Treasuries (including strips)
          
        
        
          USTR BILL 09/15/16
          
          
            2016-09-15
          
          0
          64600.00
          64529.65
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/4 NOTE C 23
          
          
            2023-05-15
          
          1.75
          921560.00
          937522.13
          U.S. Treasuries (including strips)
          
        
        
          USTR 3 1/8 BOND 43
          
          
            2043-02-15
          
          3.125
          862180.00
          947917.78
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 7/8 NOTE Y 17
          
          
            2017-04-30
          
          .875
          20.00
          20.14
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 1/2 BOND 46
          
          
            2046-02-15
          
          2.5
          83000.00
          80130.89
          U.S. Treasuries (including strips)
          
        
        
          USTR 3 BOND 45
          
          
            2045-11-15
          
          3
          977360.00
          1053341.26
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 1/4 NOTE AT 18
          
          
            2018-11-15
          
          1.25
          58880.00
          59753.81
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 3/4 NOTE AJ 19
          
          
            2019-02-15
          
          .75
          179400.00
          178846.50
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/8 NOTE AC 20
          
          
            2020-08-31
          
          1.375
          8380.00
          8450.83
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/4 NOTE AG 20
          
          
            2020-12-31
          
          1.75
          6368680.00
          6540756.83
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 7/8 NOTE AS 18
          
          
            2018-10-15
          
          .875
          64800.00
          64826.87
          U.S. Treasuries (including strips)
          
        
        
          USTR BILL 07/21/16
          
          
            2016-07-21
          
          0
          1020.00
          1019.48
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 1/8 TRIB 41
          
          
            2041-02-15
          
          2.125
          173.22
          222.69
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 1/8 TRIB 40
          
          
            2040-02-15
          
          2.125
          9982.15
          12718.56
          U.S. Treasuries (including strips)
          
        
        
          USTR 3 3/8 TRIB 32
          
          
            2032-04-15
          
          3.375
          1051005.79
          1523402.40
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 TRIB 26
          
          
            2026-01-15
          
          2
          76905.13
          90698.77
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 1/2 NOTE AG 18
          
          
            2018-12-31
          
          1.5
          11316840.00
          11552287.48
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/8 NOTE L 20
          
          
            2020-05-31
          
          1.375
          20.00
          20.26
          U.S. Treasuries (including strips)
          
        
        
          USTR 3 3/4 BOND 41
          
          
            2041-08-15
          
          3.75
          16640.00
          20365.92
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/8 TRIN A 20
          
          
            2020-01-15
          
          1.375
          13156800.00
          14112856.58
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 3/4 BOND 42
          
          
            2042-08-15
          
          2.75
          11650475.00
          11947220.28
          U.S. Treasuries (including strips)
          
        
        
          USTR 3 1/8 BOND 41
          
          
            2041-11-15
          
          3.125
          25.00
          27.79
          U.S. Treasuries (including strips)
          
        
        
          USTR 4 5/8 BOND 40
          
          
            2040-02-15
          
          4.625
          9200.00
          12751.96
          U.S. Treasuries (including strips)
          
        
        
          USTR 6 3/8 BOND 27
          
          
            2027-08-15
          
          6.375
          75.00
          109.84
          U.S. Treasuries (including strips)
          
        
        
          USTR 7 5/8 BOND 25
          
          
            2025-02-15
          
          7.625
          75.00
          112.20
          U.S. Treasuries (including strips)
          
        
        
          USTR 8 3/4 BOND 20/08
          
          
            2020-08-15
          
          8.75
          14200.00
          18932.27
          U.S. Treasuries (including strips)
          
        
        
          USTR 8 1/2 BOND 20
          
          
            2020-02-15
          
          8.5
          17200.00
          22233.93
          U.S. Treasuries (including strips)
          
        
        
          USTR 3 3/4 BOND 43
          
          
            2043-11-15
          
          3.75
          24448900.00
          30368018.99
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 NOTE AU 17
          
          
            2017-12-15
          
          1
          50238975.00
          50631635.14
          U.S. Treasuries (including strips)
          
        
        
          USTR BILL 02/02/17
          
          
            2017-02-02
          
          0
          250.00
          249.13
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 1/8 NOTE Q 21
          
          
            2021-09-30
          
          2.125
          25.00
          25.98
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 1/8 NOTE M 22
          
          
            2022-06-30
          
          2.125
          232425.00
          242288.07
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 1/8 TRIN A 23
          
          
            2023-01-15
          
          .125
          128.40
          129.65
          U.S. Treasuries (including strips)
          
        
        
          USTR 3 BOND 44
          
          
            2044-11-15
          
          3
          27927425.00
          30108314.45
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 5/8 NOTE AC 19
          
          
            2019-08-31
          
          1.625
          125.00
          127.79
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 1/2 NOTE BE 16
          
          
            2016-08-31
          
          .5
          750.00
          750.97
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 1/4 NOTE K 21
          
          
            2021-04-30
          
          2.25
          398225.00
          420413.38
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 NOTE H 21
          
          
            2021-02-28
          
          2
          800.00
          828.61
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 5/8 NOTE AF 20
          
          
            2020-11-30
          
          1.625
          599700.00
          613653.36
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 5/8 TRIN A 24
          
          
            2024-01-15
          
          .625
          36334647.59
          38002149.38
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 5/8 NOTE Y 18
          
          
            2018-04-30
          
          .625
          500.00
          499.80
          U.S. Treasuries (including strips)
          
        
        
          USTR BILL 03/30/17
          
          
            2017-03-30
          
          0
          46546650.00
          46327415.28
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/8 NOTE AE 20
          
          
            2020-10-31
          
          1.375
          125.00
          126.50
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 7/8 NOTE P 22
          
          
            2022-08-31
          
          1.875
          18030275.00
          18441132.05
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 7/8 BOND 45
          
          
            2045-08-15
          
          2.875
          2415775.00
          2520872.76
          U.S. Treasuries (including strips)
          
        
        
          USTR BILL 10/13/16
          
          
            2016-10-13
          
          0
          25.00
          24.96
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 NOTE AR 18
          
          
            2018-09-15
          
          1
          600.00
          602.73
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 1/8 TRIB 41
          
          
            2041-02-15
          
          2.125
          27.07
          34.80
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/4 TRIB 28
          
          
            2028-01-15
          
          1.75
          136938.12
          159617.55
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 TRIB 26
          
          
            2026-01-15
          
          2
          3046042.77
          3592378.66
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 3/8 TRIB 25
          
          
            2025-01-15
          
          2.375
          6223185.62
          7467206.40
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 1/8 TRIN D 22
          
          
            2022-07-15
          
          .125
          25.78
          26.25
          U.S. Treasuries (including strips)
          
        
        
          FMAC 03.500 FGPC C91768 G
          
          
            2034-07-01
          
          3.5
          1675007.14
          1770214.92
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LB811254
          
          
            2034-12-01
          
          2.207
          1907025.25
          1991566.65
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.000 FGPC Q16628 G
          
          
            2043-03-01
          
          3
          1533549.82
          1573879.63
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 2B1105 G
          
          
            2043-02-01
          
          2.163
          2330980.40
          2387845.44
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC J14198 G
          
          
            2026-01-01
          
          3.5
          846056.30
          898403.68
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CLAL7569
          
          
            2044-03-01
          
          4
          9267986.09
          10022679.22
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 1B8812 G
          
          
            2041-10-01
          
          2.953
          2278332.24
          2401083.72
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX S1962146
          
          
            2038-03-01
          
          2.835
          1343294.92
          1416547.48
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX S1885947
          
          
            2036-07-01
          
          2.823
          1548586.08
          1646417.49
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAR3119
          
          
            2042-12-01
          
          2.227
          1605516.60
          1648531.78
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC D99283 G
          
          
            2032-07-01
          
          3.5
          934981.93
          991096.01
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 02.500 FGPC J20466 G
          
          
            2027-09-01
          
          2.5
          1499291.87
          1550388.41
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC Q09639 G
          
          
            2042-07-01
          
          3.5
          1643536.46
          1740809.53
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CLAJ9464
          
          
            2042-01-01
          
          4
          3595468.04
          3878223.24
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 848384 G
          
          
            2034-11-01
          
          2.539
          2177125.90
          2297860.11
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CRAP4874
          
          
            2042-09-01
          
          3.5
          3369201.94
          3552605.20
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CLAS2942
          
          
            2044-07-01
          
          4
          3867945.16
          4208023.06
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX WSAD0072
          
          
            2039-07-01
          
          2.589
          1400592.87
          1478237.08
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.000 FGPC Q16225 G
          
          
            2043-01-01
          
          3
          990771.56
          1017639.64
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC D98877 G
          
          
            2032-01-01
          
          3.5
          978252.87
          1040261.60
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LB995015
          
          
            2036-02-01
          
          2.318
          2293985.19
          2386182.49
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 1B7937 G
          
          
            2041-01-01
          
          2.753
          1665951.72
          1759658.54
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LB849261
          
          
            2036-01-01
          
          2.354
          910569.50
          954829.45
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC Q08610 G
          
          
            2042-06-01
          
          3.5
          1446629.27
          1532270.05
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX HYAM5278
          
          
            2024-03-01
          
          3.565
          1369827.49
          1480951.70
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CIAS1305
          
          
            2028-12-01
          
          3.5
          7805010.25
          8364092.67
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CLAL3047
          
          
            2042-05-01
          
          3.5
          4139367.47
          4364889.41
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CIAL4195
          
          
            2027-06-01
          
          3.5
          888309.84
          942699.48
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC U90638 G
          
          
            2043-01-01
          
          3.5
          1668527.00
          1758420.93
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LB879906
          
          
            2033-10-01
          
          2.634
          1816128.52
          1919331.24
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC C91455 G
          
          
            2032-05-01
          
          3.5
          2948199.85
          3124892.02
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX S1886557
          
          
            2036-08-01
          
          2.534
          1340833.33
          1426363.60
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAD2533
          
          
            2040-05-01
          
          2.523
          1292151.74
          1361947.75
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 2B0650 G
          
          
            2042-07-01
          
          2.39
          1835885.49
          1891890.81
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAC0036
          
          
            2039-02-01
          
          2.147
          2145849.98
          2233722.29
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LB733609
          
          
            2033-08-01
          
          2.35
          894661.76
          948428.95
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC C91459 G
          
          
            2032-05-01
          
          3.5
          1484128.35
          1578219.45
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LB745335
          
          
            2034-06-01
          
          2.341
          1734813.35
          1847306.94
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX S1849025
          
          
            2036-01-01
          
          2.24
          1282823.22
          1344799.26
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 1B7987 G
          
          
            2041-01-01
          
          2.775
          1651538.36
          1725010.90
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX S1888532
          
          
            2037-04-01
          
          2.545
          2075882.39
          2188776.02
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 2B4316 G
          
          
            2045-07-01
          
          2.704
          2230579.17
          2302466.52
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LB898191
          
          
            2036-09-01
          
          2.277
          1274363.55
          1320090.27
          Agency Mortgage-Backed Securities
          
        
        
          GNMA GNRA 2004-70 FP
          
          
            2034-07-20
          
          .7887
          1103510.98
          1100976.41
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRA 2631DF 06/15/33
          
          
            2033-06-15
          
          .8327
          922667.39
          925002.51
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRA 2004-106 F
          
          
            2034-12-16
          
          .6862
          1654268.88
          1654002.20
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRA 2007-22 F
          
          
            2037-04-20
          
          .6321
          1604630.92
          1590182.86
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRA 2007-027 FB
          
          
            2037-05-20
          
          .7387
          941680.13
          937248.27
          Agency Collateralized Mortgage Obligation
          
        
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-03
      2016-05-03
      2016-05-03
      Y
      
        Societe Generale, Paris
        
          N/A
          N/A
        
        1.0000
        7
        N
      
      N
      N
      .0030
      250000000.00
      250000000.00
      250000000.00
      .0176
      N
      N
      Y
      N
    
    
      TD Securities (USA) LLC
      TD Securities (USA) LLC, REPO,  0.300%, 5/3/2016
      891960007
      SUVUFHICNZMP2WKHG940
      
      U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash
      
      Y
      
        N
        
          FNMA FNMS 03.500 CLAS6393
          
          
            2045-12-01
          
          3.5
          1220483.08
          1282077.47
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.500 CLAL2063
          
          
            2042-01-01
          
          4.5
          6814673.38
          7468636.69
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CRAT9218
          
          
            2043-07-01
          
          3.5
          10121052.53
          10673320.14
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CLAX2449
          
          
            2044-09-01
          
          4
          13617525.86
          14617040.15
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.500 CLAS0823
          
          
            2043-10-01
          
          4.5
          5901471.90
          6519202.57
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CLAS6803
          
          
            2046-03-01
          
          3.5
          1698757.37
          1784488.94
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CIAL0518
          
          
            2026-06-01
          
          4
          186032.56
          199197.74
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.000 FGPC G07088 G
          
          
            2041-10-01
          
          4
          4716448.91
          5148490.31
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CLAS5259
          
          
            2045-06-01
          
          4
          9619553.60
          10321657.02
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CLAS5179
          
          
            2045-06-01
          
          3.5
          7109048.48
          7467822.40
          Agency Mortgage-Backed Securities
          
        
        
          USTR 4 3/8 BOND 39
          
          
            2039-11-15
          
          4.375
          1792100.00
          2419463.89
          U.S. Treasuries (including strips)
          
        
        
          USTR BILL 02/02/17
          
          
            2017-02-02
          
          0
          14250000.00
          14200310.25
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/4 NOTE C 23
          
          
            2023-05-15
          
          1.75
          2753575.00
          2801269.04
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/8 NOTE AC 20
          
          
            2020-08-31
          
          1.375
          8251525.00
          8321265.63
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/4 NOTE G 23
          
          
            2023-01-31
          
          1.75
          8659925.00
          8780876.84
          U.S. Treasuries (including strips)
          
        
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-03
      2016-05-03
      2016-05-03
      Y
      
        TD Securities (USA) LLC
        
          N/A
          N/A
        
        1.0000
        7
        N
      
      N
      N
      .0030
      100000000.00
      100000000.00
      100000000.00
      .0070
      N
      N
      Y
      N
    
    
      United States Treasury
      United States Treasury Notes,  4.875%, 8/15/2016
      912828FQ8
      
      US912828FQ84
      U.S. Treasury Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-08-15
      2016-08-15
      2016-08-15
      N
      N
      N
      .0038
      65847600.00
      65847600.00
      65847600.00
      .0046
      N
      Y
      Y
      N
    
    
      United States Treasury
      United States Treasury Notes,  0.500%, 11/30/2016
      912828G46
      
      US912828G468
      U.S. Treasury Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-11-30
      2016-11-30
      2016-11-30
      N
      N
      N
      .0048
      15001755.00
      15001755.00
      15001755.00
      .0011
      N
      Y
      Y
      N
    
    
      United States Treasury
      United States Treasury Notes,  3.250%, 5/31/2016
      912828KW9
      
      US912828KW97
      U.S. Treasury Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-31
      2016-05-31
      2016-05-31
      N
      N
      N
      .0020
      198473814.00
      198473814.00
      198473814.00
      .0139
      N
      Y
      Y
      N
    
    
      United States Treasury
      United States Treasury Notes,  3.000%, 8/31/2016
      912828LL2
      
      US912828LL24
      U.S. Treasury Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-08-31
      2016-08-31
      2016-08-31
      N
      N
      N
      .0038
      126085875.00
      126085875.00
      126085875.00
      .0088
      N
      Y
      Y
      N
    
    
      United States Treasury
      United States Treasury Notes,  2.750%, 11/30/2016
      912828MA5
      
      US912828MA59
      U.S. Treasury Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-11-30
      2016-11-30
      2016-11-30
      N
      N
      N
      .0052
      50654300.00
      50654300.00
      50654300.00
      .0036
      N
      Y
      Y
      N
    
    
      United States Treasury
      United States Treasury Notes,  0.875%, 11/30/2016
      912828RU6
      
      US912828RU68
      U.S. Treasury Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-11-30
      2016-11-30
      2016-11-30
      N
      N
      N
      .0049
      46104236.00
      46104236.00
      46104236.00
      .0032
      N
      Y
      Y
      N
    
    
      United States Treasury
      United States Treasury Notes,  0.375%, 5/31/2016
      912828WM8
      
      US912828WM87
      U.S. Treasury Debt
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-31
      2016-05-31
      2016-05-31
      N
      N
      N
      .0022
      50006800.00
      50006800.00
      50006800.00
      .0035
      N
      Y
      Y
      N
    
    
      BNP Paribas SA
      BNP Paribas SA, REPO,  0.280%, 5/2/2016
      928WJB005
      R0MUWSFPU8MPRO8K5P83
      
      U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash
      
      Y
      
        N
        
          USTR 4 3/8 BOND 41
          
          
            2041-05-15
          
          4.375
          41800.00
          56581.40
          U.S. Treasuries (including strips)
          
        
        
          USTR 3 7/8 BOND 40
          
          
            2040-08-15
          
          3.875
          21317360.00
          26565646.01
          U.S. Treasuries (including strips)
          
        
        
          USTR 3 7/8 BOND 40
          
          
            2040-08-15
          
          3.875
          12272840.00
          15294385.56
          U.S. Treasuries (including strips)
          
        
        
          USTR 4 3/8 BOND 39
          
          
            2039-11-15
          
          4.375
          3949600.00
          5332244.07
          U.S. Treasuries (including strips)
          
        
        
          USTR 4 1/4 BOND 39
          
          
            2039-05-15
          
          4.25
          40.00
          53.08
          U.S. Treasuries (including strips)
          
        
        
          USTR 4 3/4 BOND 37
          
          
            2037-02-15
          
          4.75
          42121200.00
          59298924.30
          U.S. Treasuries (including strips)
          
        
        
          USTR 4 1/2 BOND 36
          
          
            2036-02-15
          
          4.5
          124800.00
          170363.03
          U.S. Treasuries (including strips)
          
        
        
          USTR 5 1/4 BOND 29
          
          
            2029-02-15
          
          5.25
          200.00
          274.79
          U.S. Treasuries (including strips)
          
        
        
          USTR 5 1/2 BOND 28
          
          
            2028-08-15
          
          5.5
          191320.00
          266369.35
          U.S. Treasuries (including strips)
          
        
        
          USTR 6 3/8 BOND 27
          
          
            2027-08-15
          
          6.375
          160.00
          234.32
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 NOTE B 22
          
          
            2022-02-15
          
          2
          57172680.00
          59173948.72
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 5/8 NOTE E 20
          
          
            2020-08-15
          
          2.625
          247080.00
          262760.08
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 5/8 NOTE E 20
          
          
            2020-08-15
          
          2.625
          20000000.00
          21269230.77
          U.S. Treasuries (including strips)
          
        
        
          USTR 3 1/2 NOTE C 20
          
          
            2020-05-15
          
          3.5
          53778800.00
          59552897.38
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 1/4 NOTE R 19
          
          
            2019-10-31
          
          1.25
          40.00
          40.51
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/8 NOTE S 18
          
          
            2018-11-30
          
          1.375
          20427120.00
          20795069.92
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 1/2 NOTE P 18
          
          
            2018-08-31
          
          1.5
          40.00
          40.70
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 7/8 NOTE J 18
          
          
            2018-03-31
          
          2.875
          5018440.00
          5229043.88
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 5/8 NOTE AD 17
          
          
            2017-09-30
          
          .625
          27005760.00
          26991587.88
          U.S. Treasuries (including strips)
          
        
        
          USTR 8 7/8 BOND 17
          
          
            2017-08-15
          
          8.875
          1600.00
          1798.12
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 3/8 NOTE N 17
          
          
            2017-07-31
          
          2.375
          200120.00
          205510.63
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 3/4 NOTE L 17
          
          
            2017-05-31
          
          2.75
          160.00
          165.42
          U.S. Treasuries (including strips)
          
        
        
          USTR 3 NOTE H 17
          
          
            2017-02-28
          
          3
          40849600.00
          41871301.78
          U.S. Treasuries (including strips)
          
        
        
          USTR 3 1/8 NOTE Q 16
          
          
            2016-10-31
          
          3.125
          37075120.00
          38145076.39
          U.S. Treasuries (including strips)
          
        
        
          USTR 5 1/8 NOTE C 16
          
          
            2016-05-15
          
          5.125
          38402400.00
          39377945.87
          U.S. Treasuries (including strips)
          
        
        
          USTR 3 BOND 45
          
          
            2045-05-15
          
          3
          2251480.00
          2425995.18
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 1/4 TRIN A 25
          
          
            2025-01-15
          
          .25
          80.08
          81.02
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 1/8 NOTE AH 19
          
          
            2019-01-15
          
          1.125
          310000.00
          312760.61
          U.S. Treasuries (including strips)
          
        
        
          USTR BILL 10/20/16
          
          
            2016-10-20
          
          0
          21798240.00
          21757978.65
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 NOTE AJ 18
          
          
            2018-02-15
          
          1
          10000000.00
          10060929.67
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 7/8 NOTE AY 18
          
          
            2018-03-31
          
          .875
          19600.00
          19645.73
          U.S. Treasuries (including strips)
          
        
        
          USTR BILL 06/16/16
          
          
            2016-06-16
          
          0
          78400.00
          78381.89
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 1/2 NOTE BJ 16
          
          
            2016-11-30
          
          .5
          240000.00
          240532.52
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 3/8 NOTE BG 16
          
          
            2016-10-31
          
          .375
          22403400.00
          22440022.79
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 7/8 NOTE AS 17
          
          
            2017-10-15
          
          .875
          40.00
          40.11
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 3/8 TRIN D 25
          
          
            2025-07-15
          
          .375
          69650673.48
          71517432.08
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 NOTE N 22
          
          
            2022-07-31
          
          2
          14653920.00
          15129734.39
          U.S. Treasuries (including strips)
          
        
        
          USTR 3 3/8 BOND 44
          
          
            2044-05-15
          
          3.375
          43002400.00
          49820494.32
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 5/8 NOTE AA 20
          
          
            2020-06-30
          
          1.625
          73367920.00
          74999046.08
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 5/8 NOTE BC 17
          
          
            2017-06-30
          
          .625
          112676160.00
          112855364.62
          U.S. Treasuries (including strips)
          
        
        
          USTR BILL 06/23/16
          
          
            2016-06-23
          
          0
          512360.00
          512216.54
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 1/8 TRIN A 23
          
          
            2023-01-15
          
          .125
          717245.28
          724267.53
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 1/8 NOTE T 21
          
          
            2021-12-31
          
          2.125
          16248280.00
          16965080.91
          U.S. Treasuries (including strips)
          
        
        
          USTR 3 BOND 44
          
          
            2044-11-15
          
          3
          108680840.00
          117167870.11
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 5/8 NOTE AC 19
          
          
            2019-08-31
          
          1.625
          89547960.00
          91548233.66
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 NOTE P 21
          
          
            2021-08-31
          
          2
          13030120.00
          13479800.77
          U.S. Treasuries (including strips)
          
        
        
          USTR 3 1/8 BOND 44
          
          
            2044-08-15
          
          3.125
          10680000.00
          11719943.88
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 5/8 NOTE Y 19
          
          
            2019-04-30
          
          1.625
          5236800.00
          5382437.28
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 5/8 NOTE W 19
          
          
            2019-03-31
          
          1.625
          42750000.00
          43643371.04
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 3/4 NOTE AK 17
          
          
            2017-03-15
          
          .75
          5348680.00
          5361929.32
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 1/2 NOTE V 19
          
          
            2019-02-28
          
          1.5
          36789160.00
          37468495.83
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 NOTE S 22
          
          
            2022-11-30
          
          2
          40.00
          41.38
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/4 NOTE R 20
          
          
            2020-10-31
          
          1.75
          69910080.00
          71993115.37
          U.S. Treasuries (including strips)
          
        
        
          USTR BILL 05/19/16
          
          
            2016-05-19
          
          0
          1200000.00
          1199901.60
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/8 NOTE AA 18
          
          
            2018-06-30
          
          1.375
          320.00
          325.28
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 1/8 NOTE K 20
          
          
            2020-04-30
          
          1.125
          1493400.00
          1499603.72
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 NOTE B 23
          
          
            2023-02-15
          
          2
          44902800.00
          46274397.97
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 7/8 NOTE U 18
          
          
            2018-01-31
          
          .875
          1520.00
          1526.22
          U.S. Treasuries (including strips)
          
        
        
          USTR 4 1/4 BOND 40
          
          
            2040-11-15
          
          4.25
          951760.00
          1263472.70
          U.S. Treasuries (including strips)
          
        
        
          USTR 4 1/4 BOND 40
          
          
            2040-11-15
          
          4.25
          11520.00
          15292.94
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 7/8 NOTE R 22
          
          
            2022-10-31
          
          1.875
          38158800.00
          39241994.36
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 7/8 BOND 45
          
          
            2045-08-15
          
          2.875
          62299240.00
          65009554.74
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 NOTE E 25
          
          
            2025-08-15
          
          2
          24994400.00
          25496435.87
          U.S. Treasuries (including strips)
          
        
        
          USTR BILL 04/27/16
          
          
            2017-04-27
          
          0
          400.00
          397.77
          U.S. Treasuries (including strips)
          
        
        
          USTR BILL 10/27/16
          
          
            2016-10-27
          
          0
          161179240.00
          160861394.54
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 3/4 NOTE AV 18
          
          
            2018-01-31
          
          .75
          129665040.00
          129867809.05
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 1/8 NOTE T 22
          
          
            2022-12-31
          
          2.125
          34964400.00
          36405789.72
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/4 NOTE AG 20
          
          
            2020-12-31
          
          1.75
          63274800.00
          64984436.42
          U.S. Treasuries (including strips)
          
        
        
          USTR BILL 06/30/16
          
          
            2016-06-30
          
          0
          1243560.00
          1243168.28
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 7/8 NOTE AS 18
          
          
            2018-10-15
          
          .875
          760000.00
          760315.17
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 1/2 NOTE Z 20
          
          
            2020-05-31
          
          1.5
          53435360.00
          54417316.21
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 1/8 TRIN X 20
          
          
            2020-04-15
          
          .125
          85862163.44
          87616998.38
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 3/8 TRIB 25
          
          
            2025-01-15
          
          2.375
          2105557.20
          2526460.11
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/8 TRIN A 20
          
          
            2020-01-15
          
          1.375
          16256235.09
          17437516.30
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/4 NOTE K 22
          
          
            2022-04-30
          
          1.75
          31800400.00
          32531870.36
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 1/8 TRIN A 19
          
          
            2019-01-15
          
          2.125
          44.17
          47.85
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 1/2 NOTE AZ 17
          
          
            2017-04-30
          
          .5
          9999800.00
          10013722.36
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 1/8 NOTE C 25
          
          
            2025-05-15
          
          2.125
          42363200.00
          43923899.86
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 1/2 NOTE E 23
          
          
            2023-08-15
          
          2.5
          40.00
          42.62
          U.S. Treasuries (including strips)
          
        
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-02
      2016-05-02
      2016-05-02
      N
      N
      N
      .0028
      2000000000.00
      2000000000.00
      2000000000.00
      .1404
      N
      Y
      Y
      N
    
    
      Wells Fargo Securities LLC
      Wells Fargo Securities LLC, REPO,  0.440%, 7/7/2016
      9499919L9
      VYVVCKR63DVZZN70PB21
      
      U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash
      
      Y
      
        N
        
          FMAC 04.500 FGPC P60923 G
          
          
            2020-05-01
          
          4.5
          44076.09
          45104.56
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.000 FGPC A95565 G
          
          
            2040-12-01
          
          4
          3454246.45
          3707367.10
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC G30607 G
          
          
            2032-09-01
          
          3.5
          247.06
          263.26
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.000 FGPC K91257 G
          
          
            2033-10-01
          
          4
          1331220.74
          1448526.73
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 07.500 FGPC C65542 G
          
          
            2030-12-01
          
          7.5
          14260.33
          14637.57
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 06.500 FGPC G30473 G
          
          
            2028-11-01
          
          6.5
          22940.49
          26250.00
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CLBA0647
          
          
            2045-10-01
          
          4
          2361151.60
          2530236.28
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.000 FGPC J30749 G
          
          
            2030-02-01
          
          3
          2969783.26
          3126559.11
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.500 FGPC Q06695 G
          
          
            2042-03-01
          
          4.5
          361507.38
          395828.17
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 07.500 FGPC G01131 G
          
          
            2030-09-01
          
          7.5
          15197.61
          18887.41
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 05.000 CLAX7005
          
          
            2045-01-01
          
          5
          8982.99
          10008.70
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 07.000 FGPC G01309 G
          
          
            2031-08-01
          
          7
          12027.32
          14643.68
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CLAL7915
          
          
            2046-01-01
          
          4
          17848436.18
          19317792.82
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.000 FGPC Q04070 G
          
          
            2041-10-01
          
          4
          6361872.69
          6825692.09
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.000 FGPC Q05539 G
          
          
            2042-01-01
          
          4
          3234816.01
          3520201.55
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 05.000 FGPC P68001 G
          
          
            2019-08-01
          
          5
          24441.93
          25289.26
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.000 FGPC A95406 G
          
          
            2040-12-01
          
          4
          6940146.43
          7448658.67
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.000 FGPC Q11790 G
          
          
            2042-10-01
          
          3
          4318369.10
          4450711.28
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CLBC0163
          
          
            2046-01-01
          
          3.5
          61154033.20
          64240307.37
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.000 FGPC V60652 G
          
          
            2029-12-01
          
          3
          9938324.74
          10451831.36
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 05.000 FGPC G11753 G
          
          
            2020-08-01
          
          5
          11077.75
          11756.14
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CLBA0117
          
          
            2045-10-01
          
          4
          359681.25
          392118.78
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 02.000 FGPC G14660 G
          
          
            2028-01-01
          
          2
          251359.47
          254689.36
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 07.825 FGPC T30006 G
          
          
            2025-02-01
          
          7.825
          7793.15
          7995.57
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.000 FGPC A96272 G
          
          
            2041-01-01
          
          4
          3073466.00
          3326975.03
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.000 FGPC Q26723 G
          
          
            2044-06-01
          
          4
          1026533.19
          1106349.33
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 05.500 FGPC N70078 G
          
          
            2033-01-01
          
          5.5
          28776.55
          31626.57
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.000 FGPC G15418 G
          
          
            2027-11-01
          
          3
          2924393.05
          3082480.87
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CLBA7232
          
          
            2046-01-01
          
          3.5
          8389595.87
          8812995.47
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 07.000 FGPC C68106 G
          
          
            2032-06-01
          
          7
          52397.73
          56622.89
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.500 FGPC Q32496 G
          
          
            2045-04-01
          
          4.5
          324155.05
          355387.39
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.500 FGPC G11657 G
          
          
            2018-12-01
          
          4.5
          13893.61
          14348.00
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 06.500 FGPC P50049 G
          
          
            2029-08-01
          
          6.5
          13282.23
          14873.92
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 07.500 FGPC G01167 G
          
          
            2031-01-01
          
          7.5
          14577.49
          16230.61
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 06.500 FGPC G30451 G
          
          
            2026-10-01
          
          6.5
          22922.80
          26229.75
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 06.500 FGPC G01443 G
          
          
            2032-08-01
          
          6.5
          20996.43
          25137.86
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 07.000 FGPC G01129 G
          
          
            2030-06-01
          
          7
          13244.73
          15417.17
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 02.000 FGPC G18474 G
          
          
            2028-08-01
          
          2
          273215.88
          276834.23
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 07.000 FGPC C67640 G
          
          
            2032-06-01
          
          7
          16802.84
          18309.62
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 05.500 FGPC G30403 G
          
          
            2028-06-01
          
          5.5
          35912.51
          40052.03
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 05.500 FGPC G30578 G
          
          
            2029-01-01
          
          5.5
          217688.21
          242872.73
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 06.000 FGPC G08087 G
          
          
            2035-10-01
          
          6
          214665.86
          248242.54
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CLAY8049
          
          
            2045-04-01
          
          4
          17877.87
          19182.74
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 05.000 FGPC N30979 G
          
          
            2033-05-01
          
          5
          15647.81
          17127.12
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 07.000 FGPC G01009 G
          
          
            2028-10-01
          
          7
          13291.33
          14967.19
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC G14113 G
          
          
            2026-04-01
          
          3.5
          2974701.47
          3159106.84
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 06.500 FGPC G01155 G
          
          
            2030-12-01
          
          6.5
          12815.11
          15161.09
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 05.500 FGPC G06020 G
          
          
            2039-12-01
          
          5.5
          0.21
          0.24
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC G15180 G
          
          
            2029-09-01
          
          3.5
          8695.36
          9225.25
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 06.000 FGPC G01613 G
          
          
            2033-11-01
          
          6
          45576.81
          52627.35
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.500 FGPC C90705 G
          
          
            2023-09-01
          
          4.5
          543346.44
          591889.01
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 02.500 FGPC J20452 G
          
          
            2022-09-01
          
          2.5
          1040342.43
          1075304.64
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC C91467 G
          
          
            2032-07-01
          
          3.5
          5462741.58
          5790600.16
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CIAL8214
          
          
            2029-03-01
          
          4
          37467735.34
          40137615.39
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CLAZ6718
          
          
            2045-09-01
          
          4
          379922.10
          409810.99
          Agency Mortgage-Backed Securities
          
        
        
          03FXZFREMF MTG TR 2015-KLS
          
          
            2021-11-25
          
          4.8389
          5895129.09
          5843272.83
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FREMF MTG TR 2012-K20
          
          
            2045-05-25
          
          3.8694
          36363.64
          38010.14
          Agency Mortgage-Backed Securities
          
        
        
          032M5FREMF MTG TR 2011-K70
          
          
            2048-07-25
          
          4.2862
          994700.00
          1020466.80
          Agency Mortgage-Backed Securities
          
        
        
          USTR 2 1/4 NOTE S 17
          
          
            2017-11-30
          
          2.25
          16212870.00
          16748426.28
          U.S. Treasuries (including strips)
          
        
        
          USTR 3 1/4 NOTE S 16
          
          
            2016-12-31
          
          3.25
          6037110.00
          6211215.94
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 NOTE N 22
          
          
            2022-07-31
          
          2
          51836100.00
          53519223.86
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 NOTE B 23
          
          
            2023-02-15
          
          2
          44100.00
          45447.08
          U.S. Treasuries (including strips)
          
        
        
          FHLB 1.20 FHLB 20 FX
          
          
            2020-04-06
          
          1.2
          588235.29
          586968.63
          Agency Debentures and Agency Strips
          
        
        
          FHLB 0.70 FHLB 17 QY
          
          
            2017-07-27
          
          .7
          12058823.53
          12062307.19
          Agency Debentures and Agency Strips
          
        
        
          FHLB 0.83 FHLB 18 QX
          
          
            2018-08-15
          
          .83
          4745588.24
          4740089.94
          Agency Debentures and Agency Strips
          
        
        
          FHLB 0.54 FHLB 17 QP
          
          
            2017-01-26
          
          .54
          11029411.76
          11031121.32
          Agency Debentures and Agency Strips
          
        
        
          FHLB 0.625 FHLB 17 QV
          
          
            2017-04-26
          
          .625
          1176470.59
          1176343.63
          Agency Debentures and Agency Strips
          
        
        
          FHLB 0.50 FHLB 16 G3823
          
          
            2016-09-28
          
          .5
          639705.88
          640154.03
          Agency Debentures and Agency Strips
          
        
        
          FHLB 0.52 FHLB 16 VM
          
          
            2016-09-16
          
          .52
          585294.12
          585792.27
          Agency Debentures and Agency Strips
          
        
        
          FHLB 0.625 FHLB 17 G4229
          
          
            2017-10-26
          
          .625
          9372058.82
          9351084.94
          Agency Debentures and Agency Strips
          
        
        
          FHLB 0.75 FHLB 17 KE
          
          
            2017-09-08
          
          .75
          198529.41
          198412.78
          Agency Debentures and Agency Strips
          
        
        
          FHLB 0.875 FHLB 18 QZ
          
          
            2018-08-15
          
          .875
          10652941.18
          10643463.02
          Agency Debentures and Agency Strips
          
        
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-06
      2016-05-06
      2016-07-07
      Y
      
        Wells Fargo Securities LLC
        
          N/A
          N/A
        
        1.0000
        7
        N
      
      N
      N
      .0045
      49997283.00
      49997283.00
      49997283.00
      .0035
      N
      N
      Y
      N
    
    
      Wells Fargo Securities LLC
      Wells Fargo Securities LLC, REPO,  0.370%, 5/4/2016
      9499919L9
      VYVVCKR63DVZZN70PB21
      
      U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash
      
      Y
      
        N
        
          FMAC 04.500 FGPC P60923 G
          
          
            2020-05-01
          
          4.5
          44076.09
          45104.56
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.000 FGPC A95565 G
          
          
            2040-12-01
          
          4
          3454246.45
          3707367.10
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC G30607 G
          
          
            2032-09-01
          
          3.5
          247.06
          263.26
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.000 FGPC K91257 G
          
          
            2033-10-01
          
          4
          1331220.74
          1448526.73
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 07.500 FGPC C65542 G
          
          
            2030-12-01
          
          7.5
          14260.33
          14637.57
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 06.500 FGPC G30473 G
          
          
            2028-11-01
          
          6.5
          22940.49
          26250.00
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CLBA0647
          
          
            2045-10-01
          
          4
          2361151.60
          2530236.28
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.000 FGPC J30749 G
          
          
            2030-02-01
          
          3
          2969783.26
          3126559.11
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.500 FGPC Q06695 G
          
          
            2042-03-01
          
          4.5
          361507.38
          395828.17
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 07.500 FGPC G01131 G
          
          
            2030-09-01
          
          7.5
          15197.61
          18887.41
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 05.000 CLAX7005
          
          
            2045-01-01
          
          5
          8982.99
          10008.70
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 07.000 FGPC G01309 G
          
          
            2031-08-01
          
          7
          12027.32
          14643.68
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CLAL7915
          
          
            2046-01-01
          
          4
          17848436.18
          19317792.82
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.000 FGPC Q04070 G
          
          
            2041-10-01
          
          4
          6361872.69
          6825692.09
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.000 FGPC Q05539 G
          
          
            2042-01-01
          
          4
          3234816.01
          3520201.55
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 05.000 FGPC P68001 G
          
          
            2019-08-01
          
          5
          24441.93
          25289.26
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.000 FGPC A95406 G
          
          
            2040-12-01
          
          4
          6940146.43
          7448658.67
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.000 FGPC Q11790 G
          
          
            2042-10-01
          
          3
          4318369.10
          4450711.28
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CLBC0163
          
          
            2046-01-01
          
          3.5
          61154033.20
          64240307.37
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.000 FGPC V60652 G
          
          
            2029-12-01
          
          3
          9938324.74
          10451831.36
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 05.000 FGPC G11753 G
          
          
            2020-08-01
          
          5
          11077.75
          11756.14
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CLBA0117
          
          
            2045-10-01
          
          4
          359681.25
          392118.78
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 02.000 FGPC G14660 G
          
          
            2028-01-01
          
          2
          251359.47
          254689.36
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 07.825 FGPC T30006 G
          
          
            2025-02-01
          
          7.825
          7793.15
          7995.57
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.000 FGPC A96272 G
          
          
            2041-01-01
          
          4
          3073466.00
          3326975.03
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.000 FGPC Q26723 G
          
          
            2044-06-01
          
          4
          1026533.19
          1106349.33
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 05.500 FGPC N70078 G
          
          
            2033-01-01
          
          5.5
          28776.55
          31626.57
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.000 FGPC G15418 G
          
          
            2027-11-01
          
          3
          2924393.05
          3082480.87
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CLBA7232
          
          
            2046-01-01
          
          3.5
          8389595.87
          8812995.47
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 07.000 FGPC C68106 G
          
          
            2032-06-01
          
          7
          52397.73
          56622.89
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.500 FGPC Q32496 G
          
          
            2045-04-01
          
          4.5
          324155.05
          355387.39
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.500 FGPC G11657 G
          
          
            2018-12-01
          
          4.5
          13893.61
          14348.00
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 06.500 FGPC P50049 G
          
          
            2029-08-01
          
          6.5
          13282.23
          14873.92
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 07.500 FGPC G01167 G
          
          
            2031-01-01
          
          7.5
          14577.49
          16230.61
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 06.500 FGPC G30451 G
          
          
            2026-10-01
          
          6.5
          22922.80
          26229.75
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 06.500 FGPC G01443 G
          
          
            2032-08-01
          
          6.5
          20996.43
          25137.86
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 07.000 FGPC G01129 G
          
          
            2030-06-01
          
          7
          13244.73
          15417.17
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 02.000 FGPC G18474 G
          
          
            2028-08-01
          
          2
          273215.88
          276834.23
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 07.000 FGPC C67640 G
          
          
            2032-06-01
          
          7
          16802.84
          18309.62
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 05.500 FGPC G30403 G
          
          
            2028-06-01
          
          5.5
          35912.51
          40052.03
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 05.500 FGPC G30578 G
          
          
            2029-01-01
          
          5.5
          217688.21
          242872.73
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 06.000 FGPC G08087 G
          
          
            2035-10-01
          
          6
          214665.86
          248242.54
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CLAY8049
          
          
            2045-04-01
          
          4
          17877.87
          19182.74
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 05.000 FGPC N30979 G
          
          
            2033-05-01
          
          5
          15647.81
          17127.12
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 07.000 FGPC G01009 G
          
          
            2028-10-01
          
          7
          13291.33
          14967.19
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC G14113 G
          
          
            2026-04-01
          
          3.5
          2974701.47
          3159106.84
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 06.500 FGPC G01155 G
          
          
            2030-12-01
          
          6.5
          12815.11
          15161.09
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 05.500 FGPC G06020 G
          
          
            2039-12-01
          
          5.5
          0.21
          0.24
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC G15180 G
          
          
            2029-09-01
          
          3.5
          8695.36
          9225.25
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 06.000 FGPC G01613 G
          
          
            2033-11-01
          
          6
          45576.81
          52627.35
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.500 FGPC C90705 G
          
          
            2023-09-01
          
          4.5
          543346.44
          591889.01
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 02.500 FGPC J20452 G
          
          
            2022-09-01
          
          2.5
          1040342.43
          1075304.64
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC C91467 G
          
          
            2032-07-01
          
          3.5
          5462741.58
          5790600.16
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CIAL8214
          
          
            2029-03-01
          
          4
          37467735.34
          40137615.39
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CLAZ6718
          
          
            2045-09-01
          
          4
          379922.10
          409810.99
          Agency Mortgage-Backed Securities
          
        
        
          03FXZFREMF MTG TR 2015-KLS
          
          
            2021-11-25
          
          4.8389
          5895129.09
          5843272.83
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FREMF MTG TR 2012-K20
          
          
            2045-05-25
          
          3.8694
          36363.64
          38010.14
          Agency Mortgage-Backed Securities
          
        
        
          032M5FREMF MTG TR 2011-K70
          
          
            2048-07-25
          
          4.2862
          994700.00
          1020466.80
          Agency Mortgage-Backed Securities
          
        
        
          USTR 2 1/4 NOTE S 17
          
          
            2017-11-30
          
          2.25
          16212870.00
          16748426.28
          U.S. Treasuries (including strips)
          
        
        
          USTR 3 1/4 NOTE S 16
          
          
            2016-12-31
          
          3.25
          6037110.00
          6211215.94
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 NOTE N 22
          
          
            2022-07-31
          
          2
          51836100.00
          53519223.86
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 NOTE B 23
          
          
            2023-02-15
          
          2
          44100.00
          45447.08
          U.S. Treasuries (including strips)
          
        
        
          FHLB 1.20 FHLB 20 FX
          
          
            2020-04-06
          
          1.2
          588235.29
          586968.63
          Agency Debentures and Agency Strips
          
        
        
          FHLB 0.70 FHLB 17 QY
          
          
            2017-07-27
          
          .7
          12058823.53
          12062307.19
          Agency Debentures and Agency Strips
          
        
        
          FHLB 0.83 FHLB 18 QX
          
          
            2018-08-15
          
          .83
          4745588.24
          4740089.94
          Agency Debentures and Agency Strips
          
        
        
          FHLB 0.54 FHLB 17 QP
          
          
            2017-01-26
          
          .54
          11029411.76
          11031121.32
          Agency Debentures and Agency Strips
          
        
        
          FHLB 0.625 FHLB 17 QV
          
          
            2017-04-26
          
          .625
          1176470.59
          1176343.63
          Agency Debentures and Agency Strips
          
        
        
          FHLB 0.50 FHLB 16 G3823
          
          
            2016-09-28
          
          .5
          639705.88
          640154.03
          Agency Debentures and Agency Strips
          
        
        
          FHLB 0.52 FHLB 16 VM
          
          
            2016-09-16
          
          .52
          585294.12
          585792.27
          Agency Debentures and Agency Strips
          
        
        
          FHLB 0.625 FHLB 17 G4229
          
          
            2017-10-26
          
          .625
          9372058.82
          9351084.94
          Agency Debentures and Agency Strips
          
        
        
          FHLB 0.75 FHLB 17 KE
          
          
            2017-09-08
          
          .75
          198529.41
          198412.78
          Agency Debentures and Agency Strips
          
        
        
          FHLB 0.875 FHLB 18 QZ
          
          
            2018-08-15
          
          .875
          10652941.18
          10643463.02
          Agency Debentures and Agency Strips
          
        
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-04
      2016-05-04
      2016-05-04
      Y
      
        Wells Fargo Securities LLC
        
          N/A
          N/A
        
        1.0000
        7
        N
      
      N
      N
      .0038
      199999670.00
      199999670.00
      199999670.00
      .0140
      N
      N
      Y
      N
    
    
      Wells Fargo Securities LLC
      Wells Fargo Securities LLC, REPO,  0.440%, 7/7/2016
      9499919L9
      VYVVCKR63DVZZN70PB21
      
      U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash
      
      Y
      
        N
        
          FMAC 04.500 FGPC P60923 G
          
          
            2020-05-01
          
          4.5
          44076.09
          45104.56
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.000 FGPC A95565 G
          
          
            2040-12-01
          
          4
          3454246.45
          3707367.10
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC G30607 G
          
          
            2032-09-01
          
          3.5
          247.06
          263.26
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.000 FGPC K91257 G
          
          
            2033-10-01
          
          4
          1331220.74
          1448526.73
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 07.500 FGPC C65542 G
          
          
            2030-12-01
          
          7.5
          14260.33
          14637.57
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 06.500 FGPC G30473 G
          
          
            2028-11-01
          
          6.5
          22940.49
          26250.00
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CLBA0647
          
          
            2045-10-01
          
          4
          2361151.60
          2530236.28
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.000 FGPC J30749 G
          
          
            2030-02-01
          
          3
          2969783.26
          3126559.11
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.500 FGPC Q06695 G
          
          
            2042-03-01
          
          4.5
          361507.38
          395828.17
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 07.500 FGPC G01131 G
          
          
            2030-09-01
          
          7.5
          15197.61
          18887.41
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 05.000 CLAX7005
          
          
            2045-01-01
          
          5
          8982.99
          10008.70
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 07.000 FGPC G01309 G
          
          
            2031-08-01
          
          7
          12027.32
          14643.68
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CLAL7915
          
          
            2046-01-01
          
          4
          17848436.18
          19317792.82
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.000 FGPC Q04070 G
          
          
            2041-10-01
          
          4
          6361872.69
          6825692.09
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.000 FGPC Q05539 G
          
          
            2042-01-01
          
          4
          3234816.01
          3520201.55
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 05.000 FGPC P68001 G
          
          
            2019-08-01
          
          5
          24441.93
          25289.26
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.000 FGPC A95406 G
          
          
            2040-12-01
          
          4
          6940146.43
          7448658.67
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.000 FGPC Q11790 G
          
          
            2042-10-01
          
          3
          4318369.10
          4450711.28
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CLBC0163
          
          
            2046-01-01
          
          3.5
          61154033.20
          64240307.37
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.000 FGPC V60652 G
          
          
            2029-12-01
          
          3
          9938324.74
          10451831.36
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 05.000 FGPC G11753 G
          
          
            2020-08-01
          
          5
          11077.75
          11756.14
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CLBA0117
          
          
            2045-10-01
          
          4
          359681.25
          392118.78
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 02.000 FGPC G14660 G
          
          
            2028-01-01
          
          2
          251359.47
          254689.36
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 07.825 FGPC T30006 G
          
          
            2025-02-01
          
          7.825
          7793.15
          7995.57
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.000 FGPC A96272 G
          
          
            2041-01-01
          
          4
          3073466.00
          3326975.03
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.000 FGPC Q26723 G
          
          
            2044-06-01
          
          4
          1026533.19
          1106349.33
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 05.500 FGPC N70078 G
          
          
            2033-01-01
          
          5.5
          28776.55
          31626.57
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.000 FGPC G15418 G
          
          
            2027-11-01
          
          3
          2924393.05
          3082480.87
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CLBA7232
          
          
            2046-01-01
          
          3.5
          8389595.87
          8812995.47
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 07.000 FGPC C68106 G
          
          
            2032-06-01
          
          7
          52397.73
          56622.89
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.500 FGPC Q32496 G
          
          
            2045-04-01
          
          4.5
          324155.05
          355387.39
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.500 FGPC G11657 G
          
          
            2018-12-01
          
          4.5
          13893.61
          14348.00
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 06.500 FGPC P50049 G
          
          
            2029-08-01
          
          6.5
          13282.23
          14873.92
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 07.500 FGPC G01167 G
          
          
            2031-01-01
          
          7.5
          14577.49
          16230.61
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 06.500 FGPC G30451 G
          
          
            2026-10-01
          
          6.5
          22922.80
          26229.75
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 06.500 FGPC G01443 G
          
          
            2032-08-01
          
          6.5
          20996.43
          25137.86
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 07.000 FGPC G01129 G
          
          
            2030-06-01
          
          7
          13244.73
          15417.17
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 02.000 FGPC G18474 G
          
          
            2028-08-01
          
          2
          273215.88
          276834.23
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 07.000 FGPC C67640 G
          
          
            2032-06-01
          
          7
          16802.84
          18309.62
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 05.500 FGPC G30403 G
          
          
            2028-06-01
          
          5.5
          35912.51
          40052.03
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 05.500 FGPC G30578 G
          
          
            2029-01-01
          
          5.5
          217688.21
          242872.73
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 06.000 FGPC G08087 G
          
          
            2035-10-01
          
          6
          214665.86
          248242.54
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CLAY8049
          
          
            2045-04-01
          
          4
          17877.87
          19182.74
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 05.000 FGPC N30979 G
          
          
            2033-05-01
          
          5
          15647.81
          17127.12
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 07.000 FGPC G01009 G
          
          
            2028-10-01
          
          7
          13291.33
          14967.19
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC G14113 G
          
          
            2026-04-01
          
          3.5
          2974701.47
          3159106.84
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 06.500 FGPC G01155 G
          
          
            2030-12-01
          
          6.5
          12815.11
          15161.09
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 05.500 FGPC G06020 G
          
          
            2039-12-01
          
          5.5
          0.21
          0.24
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC G15180 G
          
          
            2029-09-01
          
          3.5
          8695.36
          9225.25
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 06.000 FGPC G01613 G
          
          
            2033-11-01
          
          6
          45576.81
          52627.35
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.500 FGPC C90705 G
          
          
            2023-09-01
          
          4.5
          543346.44
          591889.01
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 02.500 FGPC J20452 G
          
          
            2022-09-01
          
          2.5
          1040342.43
          1075304.64
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC C91467 G
          
          
            2032-07-01
          
          3.5
          5462741.58
          5790600.16
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CIAL8214
          
          
            2029-03-01
          
          4
          37467735.34
          40137615.39
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CLAZ6718
          
          
            2045-09-01
          
          4
          379922.10
          409810.99
          Agency Mortgage-Backed Securities
          
        
        
          03FXZFREMF MTG TR 2015-KLS
          
          
            2021-11-25
          
          4.8389
          5895129.09
          5843272.83
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FREMF MTG TR 2012-K20
          
          
            2045-05-25
          
          3.8694
          36363.64
          38010.14
          Agency Mortgage-Backed Securities
          
        
        
          032M5FREMF MTG TR 2011-K70
          
          
            2048-07-25
          
          4.2862
          994700.00
          1020466.80
          Agency Mortgage-Backed Securities
          
        
        
          USTR 2 1/4 NOTE S 17
          
          
            2017-11-30
          
          2.25
          16212870.00
          16748426.28
          U.S. Treasuries (including strips)
          
        
        
          USTR 3 1/4 NOTE S 16
          
          
            2016-12-31
          
          3.25
          6037110.00
          6211215.94
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 NOTE N 22
          
          
            2022-07-31
          
          2
          51836100.00
          53519223.86
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 NOTE B 23
          
          
            2023-02-15
          
          2
          44100.00
          45447.08
          U.S. Treasuries (including strips)
          
        
        
          FHLB 1.20 FHLB 20 FX
          
          
            2020-04-06
          
          1.2
          588235.29
          586968.63
          Agency Debentures and Agency Strips
          
        
        
          FHLB 0.70 FHLB 17 QY
          
          
            2017-07-27
          
          .7
          12058823.53
          12062307.19
          Agency Debentures and Agency Strips
          
        
        
          FHLB 0.83 FHLB 18 QX
          
          
            2018-08-15
          
          .83
          4745588.24
          4740089.94
          Agency Debentures and Agency Strips
          
        
        
          FHLB 0.54 FHLB 17 QP
          
          
            2017-01-26
          
          .54
          11029411.76
          11031121.32
          Agency Debentures and Agency Strips
          
        
        
          FHLB 0.625 FHLB 17 QV
          
          
            2017-04-26
          
          .625
          1176470.59
          1176343.63
          Agency Debentures and Agency Strips
          
        
        
          FHLB 0.50 FHLB 16 G3823
          
          
            2016-09-28
          
          .5
          639705.88
          640154.03
          Agency Debentures and Agency Strips
          
        
        
          FHLB 0.52 FHLB 16 VM
          
          
            2016-09-16
          
          .52
          585294.12
          585792.27
          Agency Debentures and Agency Strips
          
        
        
          FHLB 0.625 FHLB 17 G4229
          
          
            2017-10-26
          
          .625
          9372058.82
          9351084.94
          Agency Debentures and Agency Strips
          
        
        
          FHLB 0.75 FHLB 17 KE
          
          
            2017-09-08
          
          .75
          198529.41
          198412.78
          Agency Debentures and Agency Strips
          
        
        
          FHLB 0.875 FHLB 18 QZ
          
          
            2018-08-15
          
          .875
          10652941.18
          10643463.02
          Agency Debentures and Agency Strips
          
        
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-06
      2016-05-06
      2016-07-07
      Y
      
        Wells Fargo Securities LLC
        
          N/A
          N/A
        
        1.0000
        7
        N
      
      N
      N
      .0045
      74995924.50
      74995924.50
      74995924.50
      .0053
      N
      N
      Y
      N
    
    
      Wells Fargo Securities LLC
      Wells Fargo Securities LLC, REPO,  0.310%, 5/2/2016
      9499919L9
      VYVVCKR63DVZZN70PB21
      
      U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash
      
      Y
      
        N
        
          USTR 2 NOTE X 16
          
          
            2016-04-30
          
          2
          15372200.00
          15525845.98
          U.S. Treasuries (including strips)
          
        
        
          USTR 4 3/8 BOND 41
          
          
            2041-05-15
          
          4.375
          9694100.00
          13122146.28
          U.S. Treasuries (including strips)
          
        
        
          USTR 4 3/4 BOND 41
          
          
            2041-02-15
          
          4.75
          247300.00
          349545.34
          U.S. Treasuries (including strips)
          
        
        
          USTR 3 7/8 BOND 40
          
          
            2040-08-15
          
          3.875
          73921000.00
          92120183.67
          U.S. Treasuries (including strips)
          
        
        
          USTR 4 3/8 BOND 40
          
          
            2040-05-15
          
          4.375
          56500.00
          76303.36
          U.S. Treasuries (including strips)
          
        
        
          USTR 4 5/8 BOND 40
          
          
            2040-02-15
          
          4.625
          93500.00
          129598.71
          U.S. Treasuries (including strips)
          
        
        
          USTR 4 3/8 BOND 39
          
          
            2039-11-15
          
          4.375
          8618000.00
          11634919.83
          U.S. Treasuries (including strips)
          
        
        
          USTR 4 1/2 BOND 39
          
          
            2039-08-15
          
          4.5
          23535900.00
          32065036.01
          U.S. Treasuries (including strips)
          
        
        
          USTR 4 1/4 BOND 39
          
          
            2039-05-15
          
          4.25
          26395200.00
          35025423.90
          U.S. Treasuries (including strips)
          
        
        
          USTR 4 1/2 BOND 38
          
          
            2038-05-15
          
          4.5
          21355000.00
          29420996.58
          U.S. Treasuries (including strips)
          
        
        
          USTR 4 3/8 BOND 38
          
          
            2038-02-15
          
          4.375
          1672100.00
          2247393.08
          U.S. Treasuries (including strips)
          
        
        
          USTR 5 BOND 37
          
          
            2037-05-15
          
          5
          861500.00
          1265321.40
          U.S. Treasuries (including strips)
          
        
        
          USTR 4 3/4 BOND 37
          
          
            2037-02-15
          
          4.75
          122107000.00
          171904260.77
          U.S. Treasuries (including strips)
          
        
        
          USTR 5 3/8 BOND 31
          
          
            2031-02-15
          
          5.375
          146500.00
          209607.39
          U.S. Treasuries (including strips)
          
        
        
          USTR 6 1/4 BOND 30
          
          
            2030-05-15
          
          6.25
          23945200.00
          36895787.75
          U.S. Treasuries (including strips)
          
        
        
          USTR 6 1/8 BOND 29
          
          
            2029-08-15
          
          6.125
          70000.00
          104206.33
          U.S. Treasuries (including strips)
          
        
        
          USTR 5 1/4 BOND 29
          
          
            2029-02-15
          
          5.25
          5789600.00
          7954638.73
          U.S. Treasuries (including strips)
          
        
        
          USTR 5 1/4 BOND 28
          
          
            2028-11-15
          
          5.25
          6740300.00
          9317671.47
          U.S. Treasuries (including strips)
          
        
        
          USTR 5 1/2 BOND 28
          
          
            2028-08-15
          
          5.5
          12078000.00
          16815852.99
          U.S. Treasuries (including strips)
          
        
        
          USTR 6 1/8 BOND 27
          
          
            2027-11-15
          
          6.125
          15535500.00
          22680007.57
          U.S. Treasuries (including strips)
          
        
        
          USTR 6 3/8 BOND 27
          
          
            2027-08-15
          
          6.375
          1560000.00
          2284589.06
          U.S. Treasuries (including strips)
          
        
        
          USTR 6 5/8 BOND 27
          
          
            2027-02-15
          
          6.625
          12288000.00
          18150585.22
          U.S. Treasuries (including strips)
          
        
        
          USTR 6 1/2 BOND 26
          
          
            2026-11-15
          
          6.5
          91500.00
          134833.75
          U.S. Treasuries (including strips)
          
        
        
          USTR 6 3/4 BOND 26
          
          
            2026-08-15
          
          6.75
          1112000.00
          1639213.13
          U.S. Treasuries (including strips)
          
        
        
          USTR 6 BOND 26
          
          
            2026-02-15
          
          6
          577000.00
          801809.47
          U.S. Treasuries (including strips)
          
        
        
          USTR 6 7/8 BOND 25
          
          
            2025-08-15
          
          6.875
          1457900.00
          2115991.17
          U.S. Treasuries (including strips)
          
        
        
          USTR 7 5/8 BOND 25
          
          
            2025-02-15
          
          7.625
          16985000.00
          25409073.78
          U.S. Treasuries (including strips)
          
        
        
          USTR 7 1/2 BOND 24
          
          
            2024-11-15
          
          7.5
          500.00
          747.06
          U.S. Treasuries (including strips)
          
        
        
          USTR 6 1/4 BOND 23
          
          
            2023-08-15
          
          6.25
          7263400.00
          9677725.43
          U.S. Treasuries (including strips)
          
        
        
          USTR 7 1/8 BOND 23
          
          
            2023-02-15
          
          7.125
          415000.00
          569780.43
          U.S. Treasuries (including strips)
          
        
        
          USTR 7 5/8 BOND 22
          
          
            2022-11-15
          
          7.625
          3093800.00
          4378603.63
          U.S. Treasuries (including strips)
          
        
        
          USTR 7 1/4 BOND 22
          
          
            2022-08-15
          
          7.25
          766000.00
          1042640.14
          U.S. Treasuries (including strips)
          
        
        
          USTR 8 BOND 21
          
          
            2021-11-15
          
          8
          92000.00
          127793.84
          U.S. Treasuries (including strips)
          
        
        
          USTR 8 1/8 BOND 21/08
          
          
            2021-08-15
          
          8.125
          228000.00
          310569.71
          U.S. Treasuries (including strips)
          
        
        
          USTR 8 1/8 BOND 21
          
          
            2021-05-15
          
          8.125
          5711400.00
          7818927.00
          U.S. Treasuries (including strips)
          
        
        
          USTR 7 7/8 BOND 21
          
          
            2021-02-15
          
          7.875
          1647200.00
          2178026.04
          U.S. Treasuries (including strips)
          
        
        
          USTR 8 3/4 BOND 20/08
          
          
            2020-08-15
          
          8.75
          3884000.00
          5178375.86
          U.S. Treasuries (including strips)
          
        
        
          USTR 8 3/4 BOND 20
          
          
            2020-05-15
          
          8.75
          357800.00
          479095.58
          U.S. Treasuries (including strips)
          
        
        
          USTR 8 1/2 BOND 20
          
          
            2020-02-15
          
          8.5
          41000.00
          52999.48
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 7/8 NOTE Q 17
          
          
            2017-09-30
          
          1.875
          15992600.00
          16281196.95
          U.S. Treasuries (including strips)
          
        
        
          USTR 8 3/4 BOND 17
          
          
            2017-05-15
          
          8.75
          100.00
          112.45
          U.S. Treasuries (including strips)
          
        
        
          USTR 3 1/4 NOTE J 17
          
          
            2017-03-31
          
          3.25
          2939400.00
          3017808.90
          U.S. Treasuries (including strips)
          
        
        
          USTR 3 NOTE H 17
          
          
            2017-02-28
          
          3
          32257600.00
          33064404.65
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 3/4 NOTE R 16
          
          
            2016-11-30
          
          2.75
          11056000.00
          11328260.95
          U.S. Treasuries (including strips)
          
        
        
          USTR 4 7/8 NOTE E 16
          
          
            2016-08-15
          
          4.875
          5994500.00
          6134355.97
          U.S. Treasuries (including strips)
          
        
        
          USTR 5 1/8 NOTE C 16
          
          
            2016-05-15
          
          5.125
          16010000.00
          16416706.08
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 NOTE B 25
          
          
            2025-02-15
          
          2
          58321200.00
          59583616.85
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/4 NOTE H 22
          
          
            2022-02-28
          
          1.75
          1587100.00
          1616117.36
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/8 NOTE V 20
          
          
            2020-02-29
          
          1.375
          25752700.00
          26033709.54
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 1/2 NOTE AF 19
          
          
            2019-11-30
          
          1.5
          17111300.00
          17467874.25
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/4 NOTE AD 19
          
          
            2019-09-30
          
          1.75
          3487100.00
          3574209.89
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 5/8 NOTE AA 19
          
          
            2019-06-30
          
          1.625
          179476000.00
          184026998.57
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 5/8 NOTE AA 20
          
          
            2020-06-30
          
          1.625
          15000000.00
          15333482.14
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 5/8 NOTE AB 19
          
          
            2019-07-31
          
          1.625
          6987200.00
          7153378.07
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 1/2 NOTE V 19
          
          
            2019-02-28
          
          1.5
          167100.00
          170185.61
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 1/2 NOTE U 19
          
          
            2019-01-31
          
          1.5
          300.00
          305.86
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 5/8 NOTE AF 20
          
          
            2020-11-30
          
          1.625
          58668800.00
          60033860.76
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/8 NOTE AA 18
          
          
            2018-06-30
          
          1.375
          35000.00
          35576.90
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 1/8 NOTE AN 18
          
          
            2018-06-15
          
          1.125
          16700.00
          16877.53
          U.S. Treasuries (including strips)
          
        
        
          USTR 3 1/8 BOND 43
          
          
            2043-02-15
          
          3.125
          57311900.00
          63011168.53
          U.S. Treasuries (including strips)
          
        
        
          USTR 4 1/4 BOND 40
          
          
            2040-11-15
          
          4.25
          69700.00
          92527.58
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 7/8 NOTE P 22
          
          
            2022-08-31
          
          1.875
          16617000.00
          16995652.66
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/4 NOTE Q 22
          
          
            2022-09-30
          
          1.75
          235000.00
          238079.82
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/8 NOTE Y 20
          
          
            2020-04-30
          
          1.375
          94750000.00
          96137824.59
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 1/2 NOTE AG 18
          
          
            2018-12-31
          
          1.5
          4948300.00
          5051249.65
          U.S. Treasuries (including strips)
          
        
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-02
      2016-05-02
      2016-05-02
      N
      N
      N
      .0031
      1200000000.00
      1200000000.00
      1200000000.00
      .0843
      N
      Y
      Y
      N
    
    
      Credit Agricole Corporate and Investment Bank
      Credit Agricole Corporate and Investment Bank, REPO,  0.280%, 5/2/2016
      973ZMF009
      1VUV7VQFKUOQSJ21A208
      
      U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash
      
      Y
      
        N
        
          USTR 1 NOTE P 19
          
          
            2019-08-31
          
          1
          5001288.11
          5006141.53
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/8 NOTE Q 18
          
          
            2018-09-30
          
          1.375
          5952719.16
          6031530.07
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 3/8 NOTE N 17
          
          
            2017-07-31
          
          2.375
          6576517.50
          6753669.19
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 1/4 TRIN A 25
          
          
            2025-01-15
          
          .25
          7316281.41
          7402475.65
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 1/2 NOTE G 22
          
          
            2022-01-31
          
          1.5
          5745508.75
          5780255.19
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 NOTE B 25
          
          
            2025-02-15
          
          2
          5598792.91
          5719984.01
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 7/8 NOTE AN 17
          
          
            2017-06-15
          
          .875
          4697512.50
          4724905.42
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/4 NOTE H 22
          
          
            2022-02-28
          
          1.75
          6634109.00
          6755402.15
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 1/8 NOTE Q 21
          
          
            2021-09-30
          
          2.125
          2675919.21
          2780985.81
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 1/8 NOTE M 22
          
          
            2022-06-30
          
          2.125
          5835644.62
          6083283.08
          U.S. Treasuries (including strips)
          
        
        
          USTR 3 BOND 44
          
          
            2044-11-15
          
          3
          6217564.91
          6703102.75
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 5/8 NOTE AB 19
          
          
            2019-07-31
          
          1.625
          5772171.83
          5909452.63
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 1/2 NOTE BC 16
          
          
            2016-07-31
          
          .5
          5907939.34
          5917761.45
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/8 TRIB 44
          
          
            2044-02-15
          
          1.375
          5720597.25
          6374663.63
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 NOTE S 22
          
          
            2022-11-30
          
          2
          4372125.20
          4522794.61
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 5/8 TRIN A 24
          
          
            2024-01-15
          
          .625
          7055750.32
          7379559.05
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 5/8 TRIN A 26
          
          
            2026-01-15
          
          .625
          4263602.93
          4478330.27
          U.S. Treasuries (including strips)
          
        
        
          USTR 3 3/8 TRIB 32
          
          
            2032-04-15
          
          3.375
          4318168.75
          6259060.30
          U.S. Treasuries (including strips)
          
        
        
          USTR 0 1/8 TRIN A 22
          
          
            2022-01-15
          
          .125
          6647147.65
          6752641.71
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/8 NOTE Y 20
          
          
            2020-04-30
          
          1.375
          7109879.33
          7214019.34
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/8 NOTE L 20
          
          
            2020-05-31
          
          1.375
          6472705.61
          6557969.35
          U.S. Treasuries (including strips)
          
        
        
          USTR 3 BOND 42
          
          
            2042-05-15
          
          3
          2459413.99
          2667336.09
          U.S. Treasuries (including strips)
          
        
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-02
      2016-05-02
      2016-05-02
      N
      N
      N
      .0028
      125267000.00
      125267000.00
      125267000.00
      .0088
      N
      Y
      Y
      N
    
    
      Merrill Lynch, Pierce, Fenner & Smith, Inc.
      Merrill Lynch, Pierce, Fenner & Smith, Inc., REPO,  0.300%, 5/2/2016
      983JVMII0
      8NAV47T0Y26Q87Y0QP81
      
      U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash
      
      Y
      
        N
        
          GNMA GNII SF MA2895 M
          
          
            2045-06-20
          
          5
          28280904.93
          30745526.09
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 2B0839 G
          
          
            2042-10-01
          
          2.317
          34477807.06
          35475702.06
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC G07608 G
          
          
            2044-01-01
          
          3.5
          22993268.60
          24388919.13
          Agency Mortgage-Backed Securities
          
        
        
          GNMA GNII SF AM4381 C
          
          
            2045-05-20
          
          3.5
          32690018.11
          34674701.75
          Agency Mortgage-Backed Securities
          
        
        
          GNMA GNHA AL AI2371 H
          
          
            2065-02-20
          
          3.084
          37223065.09
          40770745.79
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.500 FGPC U95014 G
          
          
            2042-06-01
          
          4.5
          31284608.35
          34465533.47
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.000 FGPC G08640 G
          
          
            2045-05-01
          
          3
          35553416.36
          36488411.95
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.000 FGPC G30674 G
          
          
            2033-12-01
          
          4
          34198514.11
          36964185.94
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAL4797
          
          
            2039-04-01
          
          2.646
          34171068.93
          35959924.38
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.000 FGPC K91457 G
          
          
            2034-01-01
          
          4
          33025469.85
          35703674.00
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.000 FGPC U99039 G
          
          
            2043-03-01
          
          4
          32970090.30
          35583006.59
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FGRM 4569ML 08/15/40
          
          
            2040-08-15
          
          3
          1000000.00
          1039732.33
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FREMF MTG TR 2016-K50
          
          
            2020-09-25
          
          3.0235
          10685000.00
          10576194.65
          Agency Mortgage-Backed Securities
          
        
        
          03HIRFREMF MTG TR 2015-K71
          
          
            2048-02-25
          
          3.6691
          7000000.00
          5914592.67
          Agency Mortgage-Backed Securities
          
        
        
          032M5FREMF MTG TR 2011-K15
          
          
            2044-08-25
          
          5.116
          2990000.00
          3291927.13
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNRM CL001A2 R10M001
          
          
            2019-09-25
          
          4.45
          430603.55
          467036.53
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FREMF MTG TR 2015-K72
          
          
            2047-08-25
          
          3.5057
          4000000.00
          3255312.00
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FREMF MTG TR 2015-K48
          
          
            2048-08-25
          
          3.6357
          5710000.00
          5247153.11
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FREMF MTG TR 2015-K50
          
          
            2048-10-25
          
          3.7788
          3550000.00
          3280878.05
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FGRM 3705JE 09/15/23
          
          
            2023-09-15
          
          3
          442894.20
          445007.40
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2010-146 GK
          
          
            2040-09-20
          
          4.5
          8479.35
          9320.27
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 3091GN 02/15/35
          
          
            2035-02-15
          
          4.5
          166869.12
          168710.35
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRM CL127DG R11F127
          
          
            2041-08-25
          
          3.5
          2985.15
          3019.23
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 4550DA 03/15/44
          
          
            2044-03-15
          
          3
          9716076.24
          10168469.71
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNMA REMIC TRUST 2001
          
          
            2041-12-25
          
          7.5
          0.96
          1.13
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 01063I 04/15/21
          
          
            2021-04-15
          
          7
          7.81
          8.13
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRA CL020F R97F020
          
          
            2027-03-25
          
          .893
          18075.11
          18134.48
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 3633LA 03/15/38
          
          
            2038-03-15
          
          4.5
          629781.00
          643064.97
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRM CL020CA R11F020
          
          
            2024-07-25
          
          3.5
          6407.01
          6487.12
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRM CL155C R10F155
          
          
            2030-05-25
          
          4
          861765.12
          894799.26
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2005-54 JD
          
          
            2034-08-20
          
          5
          10040.69
          10284.11
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FHLMC REMIC SERIES T-
          
          
            2044-07-25
          
          1.75
          146.27
          147.92
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRM CL022KP R16F022
          
          
            2044-09-25
          
          3
          4970162.75
          4941918.97
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRM CL041AY R15F041
          
          
            2035-06-25
          
          3
          689203.00
          668962.72
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRM CL106AL R10F106
          
          
            2025-09-25
          
          3
          947874.65
          981533.99
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRM CL132BC R10F132
          
          
            2040-11-25
          
          4
          1100000.00
          1195297.52
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FHLMC REMIC SERIES T-
          
          
            2036-03-25
          
          3.0018
          69.64
          74.16
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRA RC009AC R07W009
          
          
            2037-08-25
          
          6.859
          175008.61
          191170.44
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRM CL068GC R05F068
          
          
            2035-07-25
          
          5
          9316.23
          9578.99
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRM CL029BY R03F029
          
          
            2033-04-25
          
          5.5
          13000.00
          14961.96
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRM CL101NB R11F101
          
          
            2041-10-25
          
          4
          342000.00
          375311.86
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRA 2016-057 FT
          
          
            2046-04-20
          
          .889
          67805266.00
          67767176.39
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 03814A 10/15/23
          
          
            2023-10-15
          
          3
          313818.52
          319537.97
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNMA GRANTOR TRUST 20
          
          
            2031-11-25
          
          7.5
          1.01
          1.18
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2005-051 DC
          
          
            2035-07-20
          
          5
          2226.31
          2435.27
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRM CL018TD R15F018
          
          
            2033-02-25
          
          3
          640667.22
          662092.63
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2005-047 QC
          
          
            2032-11-20
          
          5
          946972.70
          974443.33
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNMA GRANTOR TRUST 20
          
          
            2042-05-25
          
          7.5
          204638.11
          247338.68
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRM CL038TB R03F038
          
          
            2023-03-25
          
          4.5
          816187.00
          826662.76
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 3841DW 04/15/31
          
          
            2031-04-15
          
          3.5
          1000000.00
          1056507.22
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2016-23 HT
          
          
            2042-04-20
          
          2.5
          2693131.00
          2562496.49
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRA CL120W R13F120
          
          
            2053-12-25
          
          5.618
          26597.29
          30625.73
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNMA REMIC TRUST 2003
          
          
            2042-09-25
          
          6.5
          0.28
          0.33
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRM CL028WE R13F028
          
          
            2042-05-25
          
          7.5
          120961.18
          143432.66
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2010-116 JB
          
          
            2040-06-16
          
          5
          100000.00
          103713.89
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRM CL052AJ R09F052
          
          
            2024-07-25
          
          4
          16440.09
          17005.86
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNMA GRANTOR TRUST 20
          
          
            2042-07-25
          
          7
          39.83
          47.03
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNMA REMIC TRUST 2003
          
          
            2042-08-25
          
          7.5
          0.74
          0.87
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRA RC106A7 R07F106
          
          
            2037-10-25
          
          6.122
          874678.11
          956128.62
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNMA REMIC TRUST 2002
          
          
            2042-01-25
          
          7.5
          5.91
          7.06
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA VARA 2000-01 1A
          
          
            2030-01-15
          
          6.424
          288486.26
          332464.10
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FHLMC REMIC SERIES T-
          
          
            2036-01-25
          
          2.986
          0.18
          0.19
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRM CL100KP R11F100
          
          
            2051-10-25
          
          7
          21954.58
          24977.04
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 3721CG 12/15/27
          
          
            2027-12-15
          
          3
          122310.00
          122556.50
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRM CL096BE R11F096
          
          
            2041-10-25
          
          3.5
          1000000.00
          1024057.22
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNMA REMIC TRUST 2002
          
          
            2042-01-25
          
          7
          143.72
          168.51
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRA 01208D 02/15/22
          
          
            2022-02-15
          
          1.37
          33.90
          34.08
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 3708UG 07/15/28
          
          
            2028-07-15
          
          3.5
          148257.40
          149218.88
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNMA REMIC TRUST 2004
          
          
            2044-05-25
          
          7.5
          11014.17
          12930.78
          Agency Collateralized Mortgage Obligation
          
        
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-02
      2016-05-02
      2016-05-02
      N
      N
      N
      .0030
      500000000.00
      500000000.00
      500000000.00
      .0351
      N
      Y
      Y
      N
    
    
      Citibank NA, New York
      Citibank NA, New York, REPO,  0.300%, 5/2/2016
      989LHR002
      E57ODZWZ7FF32TWEFA76
      
      U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash
      
      Y
      
        N
        
          FNMA FNMS 04.000 CI726185
          
          
            2018-07-01
          
          4
          501376.99
          522466.96
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.500 CLAU6274
          
          
            2043-11-01
          
          4.5
          3293974.16
          3602412.02
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 05.000 CLAV5793
          
          
            2043-12-01
          
          5
          1506681.54
          1675250.41
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 05.000 CT254799
          
          
            2023-07-01
          
          5
          806488.56
          894507.83
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 06.000 CL796023
          
          
            2034-09-01
          
          6
          261239.52
          300205.14
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 05.000 CLAJ2787
          
          
            2041-10-01
          
          5
          724310.72
          814707.51
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 06.000 CL725762
          
          
            2034-08-01
          
          6
          374441.98
          435401.76
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 05.000 CLMA1978
          
          
            2044-06-01
          
          5
          995980.48
          1108330.95
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CLAB9370
          
          
            2043-05-01
          
          3.5
          920537.58
          968333.94
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CIAW5485
          
          
            2029-08-01
          
          3.5
          847617.92
          903355.77
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CIAI2034
          
          
            2026-04-01
          
          4
          333959.99
          357271.44
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 02.500 CNAB9392
          
          
            2023-05-01
          
          2.5
          285746.52
          294788.24
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 05.500 CIAL3641
          
          
            2025-05-01
          
          5.5
          49391.29
          52136.60
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 07.000 CLAL1224
          
          
            2038-03-01
          
          7
          411008.68
          449244.59
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CLAL7317
          
          
            2045-09-01
          
          4
          609328.04
          658953.00
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 02.500 CIAU1657
          
          
            2028-07-01
          
          2.5
          287552.68
          297877.10
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CZAB1491
          
          
            2050-09-01
          
          4
          435431.59
          461741.72
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CIAH9021
          
          
            2026-03-01
          
          4
          320828.84
          342553.80
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CIAB8918
          
          
            2028-04-01
          
          3.5
          1551062.36
          1655722.19
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 07.000 CT254284
          
          
            2022-03-01
          
          7
          27449.49
          30618.88
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CTAV1885
          
          
            2033-12-01
          
          4
          851.00
          922.73
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CIAL0306
          
          
            2026-06-01
          
          4
          86335.22
          92360.99
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 05.500 CL753136
          
          
            2033-12-01
          
          5.5
          80530.13
          90446.27
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.000 CIAS4501
          
          
            2030-02-01
          
          3
          2212790.32
          2321237.70
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 05.000 CL735484
          
          
            2035-05-01
          
          5
          31405.17
          34977.16
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 06.500 CLAL1176
          
          
            2039-10-01
          
          6.5
          309246.39
          360138.93
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 06.500 JL889649
          
          
            2037-08-01
          
          6.5
          21683.67
          24878.88
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CLAL3868
          
          
            2042-06-01
          
          4
          425299.24
          458711.22
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 06.000 CL682067
          
          
            2033-01-01
          
          6
          601265.02
          698012.57
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 06.500 CL498072
          
          
            2029-06-01
          
          6.5
          26815.78
          30886.86
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 05.000 CL931557
          
          
            2039-07-01
          
          5
          792319.75
          894878.32
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CLAZ2638
          
          
            2045-09-01
          
          3.5
          2050487.91
          2172014.63
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CIAW3328
          
          
            2029-06-01
          
          4
          879071.04
          927448.17
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 06.000 CL357230
          
          
            2032-06-01
          
          6
          804582.94
          931515.28
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 05.000 CLAW9153
          
          
            2044-07-01
          
          5
          5174861.32
          5813210.94
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 05.500 CI899299
          
          
            2022-03-01
          
          5.5
          59138.33
          63443.18
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CLAH5282
          
          
            2041-01-01
          
          4
          2983108.02
          3204854.70
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CTMA1652
          
          
            2033-11-01
          
          3.5
          290758.46
          307921.12
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 05.000 CLAH5116
          
          
            2041-01-01
          
          5
          1014804.66
          1134355.64
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 07.000 CZ933178
          
          
            2047-11-01
          
          7
          243558.33
          270417.80
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 05.000 CLAU5796
          
          
            2043-09-01
          
          5
          2027028.39
          2256743.18
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CIAU4699
          
          
            2028-10-01
          
          4
          2038134.03
          2155830.38
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 06.000 CL800944
          
          
            2034-10-01
          
          6
          226342.23
          258823.62
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 05.000 CLAJ4786
          
          
            2041-10-01
          
          5
          475261.13
          535371.63
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 05.000 CLMA2384
          
          
            2045-07-01
          
          5
          394187.87
          437510.65
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 07.000 CZ916698
          
          
            2047-03-01
          
          7
          128686.39
          142904.36
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 05.500 CLAI9304
          
          
            2041-08-01
          
          5.5
          392691.34
          442153.87
          Agency Mortgage-Backed Securities
          
        
        
          GNMA GNII SF 003678 M
          
          
            2035-02-20
          
          5.5
          0.20
          0.23
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 06.000 CL639031
          
          
            2032-04-01
          
          6
          64329.41
          73960.47
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 06.500 K2614582
          
          
            2031-10-01
          
          6.5
          266561.26
          288082.77
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 05.000 CLAD0651
          
          
            2039-11-01
          
          5
          743418.58
          839656.26
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 05.500 CL652834
          
          
            2032-09-01
          
          5.5
          75667.03
          85832.13
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 05.000 CL727181
          
          
            2033-08-01
          
          5
          88884.64
          99834.86
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CLAL2686
          
          
            2042-11-01
          
          3.5
          6646916.40
          6992763.58
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.500 CLAS1126
          
          
            2043-11-01
          
          4.5
          340023.62
          373343.90
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CIAH6298
          
          
            2026-05-01
          
          4
          2890668.60
          3101204.98
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 06.000 CL930158
          
          
            2038-11-01
          
          6
          339149.24
          387819.08
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 05.000 CLAI0827
          
          
            2041-09-01
          
          5
          530176.62
          593345.51
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 05.000 CLAV8170
          
          
            2044-01-01
          
          5
          770752.60
          863944.21
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.500 CLAS2509
          
          
            2044-05-01
          
          4.5
          1374933.25
          1526900.50
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CWAS5515
          
          
            2030-06-01
          
          3.5
          2548548.09
          2705393.95
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 05.000 CI981639
          
          
            2023-06-01
          
          5
          160337.51
          172943.22
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.000 CLAB7581
          
          
            2043-01-01
          
          3
          50379.82
          51844.28
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CNMA1180
          
          
            2022-07-01
          
          4
          1019973.56
          1065092.21
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 06.000 CL888956
          
          
            2036-03-01
          
          6
          159587.57
          184386.94
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.000 CLAR5925
          
          
            2043-02-01
          
          3
          1007972.07
          1037103.80
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CIAB6898
          
          
            2027-11-01
          
          3.5
          881037.73
          940495.64
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 02.500 CLAR9512
          
          
            2043-04-01
          
          2.5
          592815.69
          590230.69
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 02.500 CIAP3221
          
          
            2027-09-01
          
          2.5
          125147.98
          129336.73
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 02.500 CIAP4569
          
          
            2027-10-01
          
          2.5
          546745.55
          565049.19
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CIAY1728
          
          
            2030-03-01
          
          3.5
          1037183.00
          1105465.14
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CTAT7725
          
          
            2033-06-01
          
          3.5
          2583340.75
          2762849.93
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CTAS4448
          
          
            2035-02-01
          
          3.5
          2465854.60
          2635444.30
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 06.500 CL645491
          
          
            2032-05-01
          
          6.5
          80901.24
          93183.39
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 05.500 CLAD0249
          
          
            2037-04-01
          
          5.5
          867374.06
          984337.53
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CIAJ4312
          
          
            2026-11-01
          
          4
          2953213.86
          3129825.24
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.500 CI995158
          
          
            2020-12-01
          
          4.5
          1023596.17
          1073065.55
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 08.000 K0556041
          
          
            2030-11-01
          
          8
          75751.58
          84697.78
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 06.500 CL948634
          
          
            2037-08-01
          
          6.5
          234097.45
          269637.08
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.500 CLAW4985
          
          
            2044-05-01
          
          4.5
          375210.18
          415592.93
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 05.500 CL725773
          
          
            2034-09-01
          
          5.5
          270789.70
          307575.88
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.000 CTAY9046
          
          
            2035-05-01
          
          3
          873878.05
          913205.47
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 02.500 CIAB6882
          
          
            2027-11-01
          
          2.5
          899999.22
          934114.09
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 05.500 CL254767
          
          
            2033-06-01
          
          5.5
          814868.75
          924393.45
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 06.000 CI668807
          
          
            2017-11-01
          
          6
          51299.22
          52665.10
          Agency Mortgage-Backed Securities
          
        
        
          GNMA GNII SF 004194 M
          
          
            2038-07-20
          
          5.5
          83.42
          92.13
          Agency Mortgage-Backed Securities
          
        
        
          USTR 3 5/8 NOTE B 20
          
          
            2020-02-15
          
          3.625
          107500.00
          118370.35
          U.S. Treasuries (including strips)
          
        
        
          USTR 3 1/8 BOND 43
          
          
            2043-02-15
          
          3.125
          48213000.00
          53007446.42
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 7/8 TRIN D 19
          
          
            2019-07-15
          
          1.875
          105488.00
          115057.73
          U.S. Treasuries (including strips)
          
        
        
          FMAC FGRM 0M032A 09/01/41
          
          
            2041-09-01
          
          3.874
          41911470.51
          44775663.15
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FREMF MTG TR 2015-K72
          
          
            2047-11-25
          
          3.565
          635.00
          597.13
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 1.795 FMNT GB16-20T4
          
          
            2020-09-28
          
          1.795
          1297000.00
          1303414.57
          Agency Debentures and Agency Strips
          
        
        
          REFC RFIN 01/15/20
          
          
            2020-01-15
          
          0
          275000.00
          259908.00
          Agency Debentures and Agency Strips
          
        
        
          REFC RFIN 01/15/25
          
          
            2025-01-15
          
          0
          18000.00
          14654.52
          Agency Debentures and Agency Strips
          
        
        
          FMAC FGRM 4419CY 10/15/37
          
          
            2037-10-15
          
          2.5
          357195.00
          331553.56
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRM CL060JB R04F060
          
          
            2034-04-25
          
          5.5
          13077.22
          13101.66
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRM CL004UA R16F004
          
          
            2045-08-25
          
          3
          245282.65
          238872.02
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 3687CB 11/15/38
          
          
            2038-11-15
          
          2.5
          572034.37
          584292.75
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 4050BA 05/15/41
          
          
            2041-05-15
          
          3.5
          962298.84
          1004470.84
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 3997PJ 01/15/40
          
          
            2040-01-15
          
          3
          1624106.04
          1645798.14
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2010-138 PD
          
          
            2038-08-20
          
          3.5
          378232.55
          392449.26
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 4107HL 10/15/41
          
          
            2041-10-15
          
          1.75
          5059591.20
          5046639.21
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2010-166 DP
          
          
            2039-02-20
          
          2.5
          267696.79
          270608.38
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2011-135 PA
          
          
            2041-06-16
          
          3
          621814.34
          647634.15
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRM CL049PU R14F049
          
          
            2054-08-25
          
          3
          337118.26
          338418.63
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2014-098 AU
          
          
            2044-07-20
          
          3.5
          59308.11
          59478.87
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNMA-BACKED TRUST
          
          
            2020-06-17
          
          6.5
          220.64
          234.14
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FGRM 03748D 11/15/39
          
          
            2039-11-15
          
          4
          7712408.06
          8185919.92
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRM CL030HA R12F030
          
          
            2040-12-25
          
          2
          911325.34
          916599.68
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRM CL052NB R12F052
          
          
            2039-12-25
          
          3.5
          271392.35
          280191.22
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 3754MB 01/15/39
          
          
            2039-01-15
          
          4
          331980.00
          350689.10
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRM RC123DH R13F123
          
          
            2043-05-25
          
          3
          1977956.24
          1996399.36
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2009-083 AK
          
          
            2022-10-16
          
          4.25
          479.75
          485.34
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 3743PA 12/15/39
          
          
            2039-12-15
          
          2.5
          1634893.79
          1672569.00
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRM RC069PB R09F069
          
          
            2039-09-25
          
          5
          2313536.19
          2508604.05
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRM CL103DA R12F103
          
          
            2041-10-25
          
          3.5
          192358.68
          201283.40
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRM CL031PA R12F031
          
          
            2041-04-25
          
          2
          510303.36
          516602.32
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRM CL052NA R12F052
          
          
            2039-12-25
          
          3.5
          3392156.16
          3497754.73
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2003-03 PC
          
          
            2033-11-20
          
          5.5
          846914.50
          949742.44
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 4114PK 10/15/42
          
          
            2042-10-15
          
          3.5
          5571040.83
          5906162.46
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRA CL060F1 R02F060
          
          
            2032-06-25
          
          .833
          73.85
          73.74
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FRRM 0G027D 03/25/24
          
          
            2024-03-25
          
          7
          6.96
          7.54
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 4276GD 05/15/43
          
          
            2043-05-15
          
          2.5
          892421.39
          905712.61
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNMA REMIC TR 1998-70
          
          
            2028-12-20
          
          6.5
          26.66
          30.13
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRM CL100LA R10F100
          
          
            2040-07-25
          
          2.5
          3420648.79
          3505465.30
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRM CL034PA R12F034
          
          
            2041-07-25
          
          2
          2320206.40
          2336987.42
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 03980Q 09/15/41
          
          
            2041-09-15
          
          3
          1665787.56
          1721525.37
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2010-019 UA
          
          
            2039-07-16
          
          4
          904887.59
          970355.41
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRM RC014PE R09F014
          
          
            2024-03-25
          
          4.5
          729388.84
          769872.83
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRM CL080NA R12F080
          
          
            2042-06-25
          
          2.75
          1545420.57
          1565702.49
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRM RC134NJ R11F134
          
          
            2041-02-25
          
          3
          2108055.12
          2175155.22
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2011-034 NB
          
          
            2041-03-20
          
          4.5
          1872000.00
          2098442.74
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2010-115 NW
          
          
            2038-01-20
          
          3.5
          1000000.00
          1027052.22
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 4298PD 04/15/43
          
          
            2043-04-15
          
          2.5
          4846784.60
          4975119.92
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 3807MG 11/15/39
          
          
            2039-11-15
          
          3.5
          1327455.36
          1380411.83
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2006-033 PK
          
          
            2036-07-20
          
          6
          396400.43
          449779.58
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 4077BA 05/15/42
          
          
            2042-05-15
          
          2
          2889619.15
          2891562.58
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRM CL090PA R10F090
          
          
            2040-04-25
          
          4
          655.85
          680.23
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRM RC146MA R11F146
          
          
            2041-08-25
          
          3.5
          2063777.63
          2167435.44
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 01807G 10/15/20
          
          
            2020-10-15
          
          9
          2.95
          3.15
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 3564NT 05/15/39
          
          
            2039-05-15
          
          15
          556330.89
          711054.66
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 4198PE 01/15/33
          
          
            2033-01-15
          
          2.5
          7029453.60
          7154454.47
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRA 2010-116 FA
          
          
            2040-09-20
          
          1.0387
          1474449.45
          1476476.34
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 3664BD 03/15/38
          
          
            2038-03-15
          
          20.29
          446825.28
          504773.20
          Agency Collateralized Mortgage Obligation
          
        
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-02
      2016-05-02
      2016-05-02
      N
      N
      N
      .0030
      250000000.00
      250000000.00
      250000000.00
      .0176
      N
      Y
      Y
      N
    
    
      Citigroup Global Markets, Inc.
      Citigroup Global Markets, Inc., REPO,  0.290%, 5/5/2016
      99CBF2906
      MBNUM2BPBDO7JBLYG310
      
      U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash
      
      Y
      
        N
        
          USTR 0 3/4 NOTE AJ 19
          
          
            2019-02-15
          
          .75
          70733050.00
          70514819.11
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 1/2 NOTE E 23
          
          
            2023-08-15
          
          2.5
          31750750.00
          33830818.39
          U.S. Treasuries (including strips)
          
        
        
          GNMA GNRM 2015-179 BC
          
          
            2045-12-20
          
          3
          4910467.75
          5025246.66
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNRM CL030BL R16F030
          
          
            2046-05-25
          
          3
          1532530.25
          1553578.53
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FGRM 4528MC 05/15/53
          
          
            2053-05-15
          
          3.75
          1390870.40
          1403674.29
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FGRM 4568BU 04/15/46
          
          
            2046-04-15
          
          3
          389779.50
          391059.67
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FGRM 4568BP 04/15/46
          
          
            2046-04-15
          
          3
          6989500.00
          7215004.57
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FGRM 4528MA 05/15/53
          
          
            2053-05-15
          
          3.75
          2018478.16
          2136633.15
          Agency Mortgage-Backed Securities
          
        
        
          GNMA GNRM 2016-051 PY
          
          
            2046-04-20
          
          3
          285984.25
          289280.60
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FGRM 4568BQ 04/15/46
          
          
            2046-04-15
          
          3
          500000.00
          503812.17
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNRM CL030PY R16F030
          
          
            2046-05-25
          
          3
          1281263.25
          1305699.93
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNRM RC030BA R16F030
          
          
            2045-02-25
          
          3
          12921382.75
          13376258.50
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FGRM 4528MB 05/15/53
          
          
            2053-05-15
          
          3.75
          2530250.00
          2585530.06
          Agency Mortgage-Backed Securities
          
        
        
          GNMA GNRA 2011-009 C
          
          
            2041-09-16
          
          3.596
          9107.75
          9564.90
          Agency Mortgage-Backed Securities
          
        
        
          GNMA GNRA 2009-051 C
          
          
            2049-10-16
          
          5.351
          23177.53
          23852.39
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNRM RC061AE R11F061
          
          
            2038-08-25
          
          4.5
          3020.64
          3042.35
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRA CL060F1 R02F060
          
          
            2032-06-25
          
          .833
          5.38
          5.38
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 3078BE 11/15/35
          
          
            2035-11-15
          
          5.5
          1628112.63
          1834869.54
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2010-73 LD
          
          
            2039-02-20
          
          4.5
          4000.00
          4378.81
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 01057E 03/15/21
          
          
            2021-03-15
          
          8
          1738.44
          1915.08
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 2694BL 06/15/31
          
          
            2031-06-15
          
          4
          6250.00
          6779.21
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 2530MG 11/15/32
          
          
            2032-11-15
          
          5.5
          1230256.86
          1385159.46
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2009-061 NP
          
          
            2039-08-20
          
          4
          376352.09
          401954.99
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRM RC146EY R11F146
          
          
            2042-01-25
          
          4
          11087.10
          11974.60
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2016-37 BL
          
          
            2046-03-20
          
          3
          2023374.00
          2009656.20
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 3533GX 06/15/36
          
          
            2036-06-15
          
          4.5
          3500.00
          4044.53
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2011-026 PE
          
          
            2040-07-20
          
          3
          43346.65
          44898.39
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 4534PA 05/15/44
          
          
            2044-05-15
          
          3
          10795838.41
          11119231.35
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2010-021 NC
          
          
            2039-04-20
          
          4.5
          25000.00
          27339.70
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2007-037 PG
          
          
            2037-04-16
          
          5.5
          4750.00
          5514.37
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FMRM 00127E 03/15/21
          
          
            2021-03-15
          
          5
          2418.54
          2481.31
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRM RC089PA R12F089
          
          
            2042-08-25
          
          3
          1531075.64
          1552713.31
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 1407PM 11/15/22
          
          
            2022-11-15
          
          7
          1414.43
          1568.07
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2009-094 GE
          
          
            2032-09-20
          
          4.5
          11250.00
          13047.93
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRA 3946FG 10/15/39
          
          
            2039-10-15
          
          .7862
          7172846.31
          7164990.21
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRM CL046BA R12F046
          
          
            2042-05-25
          
          6
          50291.51
          57657.24
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 3786TJ 07/15/25
          
          
            2025-07-15
          
          4
          39694.07
          41577.64
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 01482I 03/15/23
          
          
            2023-03-15
          
          6
          1180.38
          1288.28
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRA 2008-34 WC
          
          
            2037-09-20
          
          2.177
          1087.98
          1078.68
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 3151PE 05/15/36
          
          
            2036-05-15
          
          6
          4606066.85
          5297891.95
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 01379H 10/15/22
          
          
            2022-10-15
          
          7
          1404.07
          1552.77
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2009-034 WE
          
          
            2038-02-20
          
          4
          2500.00
          2664.01
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2008-049 PB
          
          
            2038-06-20
          
          4.75
          30153.02
          32802.52
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 4528BC 11/15/45
          
          
            2045-11-15
          
          3.5
          743202.25
          766975.97
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRA 3240FY 11/15/36
          
          
            2036-11-15
          
          0
          48709.19
          46583.18
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2010-167 MK
          
          
            2038-09-20
          
          3.5
          21616604.20
          22421114.16
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 4446PL 07/15/38
          
          
            2038-07-15
          
          2.5
          3445931.12
          3526074.67
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRA 3346FT 10/15/33
          
          
            2033-10-15
          
          .786
          372166.68
          371879.99
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2007-28 PG
          
          
            2036-11-16
          
          5.5
          109858.58
          117890.76
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2008-056 PX
          
          
            2038-06-20
          
          5.5
          2500.00
          2828.26
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 4298PD 04/15/43
          
          
            2043-04-15
          
          2.5
          472641.85
          485156.67
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 3910CT 12/15/39
          
          
            2039-12-15
          
          4
          12000.00
          12945.43
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2010-043 JA
          
          
            2037-09-20
          
          3
          66100.74
          66703.73
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 4048PA 11/15/41
          
          
            2041-11-15
          
          2
          644528.96
          652885.64
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2010-116 HB
          
          
            2040-09-20
          
          4
          6750.00
          7248.60
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2010-169 AW
          
          
            2040-12-20
          
          4.5
          12500.00
          13793.48
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 4459DA 10/15/35
          
          
            2035-10-15
          
          5.5
          48302.00
          50182.53
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 01391D 10/15/22
          
          
            2022-10-15
          
          6
          1287.73
          1401.20
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 1128IB 08/15/21
          
          
            2021-08-15
          
          7
          986.96
          1069.64
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRM CL006JT R13F006
          
          
            2043-01-25
          
          1.5
          918774.60
          896009.82
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2011-46 CJ
          
          
            2039-10-16
          
          3.25
          61977.70
          64506.94
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 01283K 06/15/22
          
          
            2022-06-15
          
          7
          2304.30
          2549.99
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 4475BC 05/15/45
          
          
            2045-05-15
          
          3
          960914.50
          942625.74
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 2559PB 08/15/30
          
          
            2030-08-15
          
          5.5
          51.02
          53.26
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 3893PU 07/15/41
          
          
            2041-07-15
          
          4
          8500.00
          9422.26
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 4475CL 05/15/45
          
          
            2045-05-15
          
          3.5
          1259852.75
          1287772.63
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 4501BC 08/15/45
          
          
            2045-08-15
          
          3.5
          3406894.00
          3549626.58
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 4445WJ 11/15/43
          
          
            2043-11-15
          
          2.5
          1144976.59
          1172042.05
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRM CL029KA R05F029
          
          
            2035-02-25
          
          4.5
          7178.41
          7409.80
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRA 3925FL 01/15/41
          
          
            2041-01-15
          
          .8862
          270907.69
          270449.49
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRA 3267FM 01/15/37
          
          
            2037-01-15
          
          .6862
          1633531.38
          1618978.02
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2015-42 KE
          
          
            2044-11-20
          
          3
          963818.79
          997228.92
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2005-098 DY
          
          
            2035-12-20
          
          5.5
          9250.00
          10611.80
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRA 04104F 09/15/42
          
          
            2042-09-15
          
          .8362
          2061564.18
          2033663.36
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 01395G 10/15/22
          
          
            2022-10-15
          
          6
          1717.15
          1869.90
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2008-065 PG
          
          
            2038-08-20
          
          6
          14500.00
          16645.01
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2009-042 PX
          
          
            2039-06-20
          
          4.5
          9000.00
          9876.14
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRA 4528BF 07/15/45
          
          
            2045-07-15
          
          .7862
          4736606.64
          4686605.81
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2008-09 PW
          
          
            2038-02-20
          
          5.25
          6000.00
          6783.05
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 3741PC 07/15/39
          
          
            2039-07-15
          
          4
          3250.00
          3560.09
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 1652PL 01/15/24
          
          
            2024-01-15
          
          7
          1323.03
          1469.44
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRA 01235A 04/15/22
          
          
            2022-04-15
          
          1.43
          0.05
          0.06
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 01392D 10/15/22
          
          
            2022-10-15
          
          7
          1169.96
          1300.11
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 3843GL 10/15/39
          
          
            2039-10-15
          
          3
          20158.59
          20896.89
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 01347I 08/15/22
          
          
            2022-08-15
          
          8
          1420.18
          1588.76
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 01761K 11/15/24
          
          
            2024-11-15
          
          8.5
          1171.60
          1353.11
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2008-020 MD
          
          
            2037-11-20
          
          5.5
          6227.56
          6987.90
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2015-99 BY
          
          
            2045-07-20
          
          3.5
          1824667.75
          1925829.56
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2010-164 KE
          
          
            2039-01-20
          
          3.5
          48791.03
          51226.59
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRA CL093BF R15F093
          
          
            2045-08-25
          
          .7888
          2884675.84
          2840187.34
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2008-007 PQ
          
          
            2038-02-20
          
          5
          7000.00
          8075.71
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 3762WP 12/15/39
          
          
            2039-12-15
          
          4
          8500.00
          9193.33
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2008-049 PA
          
          
            2038-06-20
          
          4.5
          2028.23
          2189.05
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 4203DG 04/15/33
          
          
            2033-04-15
          
          2.25
          414627.89
          423959.51
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRA 3117JF 02/15/36
          
          
            2036-02-15
          
          .7327
          1363093.88
          1362772.10
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2015-162 EB
          
          
            2044-09-20
          
          2.5
          6220879.05
          6374867.23
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 1424PK 11/15/22
          
          
            2022-11-15
          
          7
          1670.59
          1842.72
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2009-14 CG
          
          
            2039-03-20
          
          4.5
          588064.33
          629905.70
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2003-60 MW
          
          
            2033-07-16
          
          4.5
          236.70
          249.86
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRA CL087FB R07F087
          
          
            2037-03-25
          
          .953
          32.51
          32.52
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRA 2410PF 02/15/32
          
          
            2032-02-15
          
          1.4162
          0.02
          0.02
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 1142IA 10/15/21
          
          
            2021-10-15
          
          7
          1331.26
          1470.40
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRA CL019LF R13F019
          
          
            2042-12-25
          
          .733
          1903296.51
          1880368.35
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2011-013 PD
          
          
            2041-01-20
          
          4.5
          5750.00
          6495.66
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 01578K 09/15/23
          
          
            2023-09-15
          
          6.9
          1818.25
          2019.94
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2011-035 JL
          
          
            2041-01-16
          
          2
          435937.64
          436985.87
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2015-132 BL
          
          
            2045-09-20
          
          3
          2743233.50
          2724676.44
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 2153GG 05/15/29
          
          
            2029-05-15
          
          6
          606179.06
          694268.80
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 02277B 01/15/31
          
          
            2031-01-15
          
          7.5
          5667.00
          6645.02
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 01119H 08/15/21
          
          
            2021-08-15
          
          7.75
          1368.87
          1501.10
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 01087I 06/15/21
          
          
            2021-06-15
          
          8.5
          1595.88
          1770.08
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 03839C 11/15/40
          
          
            2040-11-15
          
          5
          1250.00
          1280.65
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 3017TA 08/15/35
          
          
            2035-08-15
          
          4.5
          69641.19
          74906.00
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2010-166 DP
          
          
            2039-02-20
          
          2.5
          517241.10
          522866.85
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRM CL011DL R16F011
          
          
            2046-03-25
          
          3.5
          793113.75
          792487.37
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 2692QE 10/15/23
          
          
            2023-10-15
          
          5
          2694922.61
          2921764.73
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 01904D 10/15/26
          
          
            2024-10-15
          
          7.5
          1116.18
          1275.35
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FMRM 00186E 08/15/21
          
          
            2021-08-15
          
          6
          1137.21
          1190.36
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2011-045 GA
          
          
            2035-05-20
          
          4.5
          615.28
          617.37
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 01603K 10/15/23
          
          
            2023-10-15
          
          6.5
          1151.15
          1271.29
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2008-041 PE
          
          
            2038-05-20
          
          5.5
          13750.00
          15365.21
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 2624QH 06/15/33
          
          
            2033-06-15
          
          5
          2917.96
          3182.81
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 01068E 04/15/21
          
          
            2021-04-15
          
          7
          1091.19
          1185.52
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2009-036 AN
          
          
            2039-05-20
          
          5.5
          11732.11
          13201.26
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2010-168 GN
          
          
            2040-12-20
          
          4.5
          4000.00
          4544.93
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2007-025 MA
          
          
            2037-04-20
          
          5.5
          654712.00
          718592.11
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 4247EU 03/15/32
          
          
            2032-03-15
          
          3
          56838.02
          58662.77
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRM CL070KP R05F070
          
          
            2035-06-25
          
          5
          6250.00
          6868.28
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2004-087 BC
          
          
            2034-10-20
          
          4.5
          6250.00
          6865.84
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 3996MK 02/15/42
          
          
            2042-02-15
          
          3.5
          36586.70
          38025.08
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2009-042 B
          
          
            2039-03-20
          
          4
          56573.20
          59339.80
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2008-060 JN
          
          
            2038-07-20
          
          5.5
          2750.00
          3125.78
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2010-128 JC
          
          
            2039-06-20
          
          4
          3750.00
          4077.01
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 3940MA 02/15/40
          
          
            2040-02-15
          
          4
          75876.17
          77515.18
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2009-127 PL
          
          
            2038-10-20
          
          4.25
          194467.78
          203621.49
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 01122G 08/15/21
          
          
            2021-08-15
          
          7
          1649.90
          1779.55
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2009-078 NC
          
          
            2039-09-20
          
          5
          8250.00
          9464.77
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 4160HP 01/15/33
          
          
            2033-01-15
          
          2.5
          187905.67
          192733.80
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 4048HE 05/15/42
          
          
            2042-05-15
          
          4
          2850000.00
          3190073.72
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2008-34 PG
          
          
            2038-04-20
          
          5.25
          2500.00
          2809.97
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2013-117 VB
          
          
            2032-02-20
          
          3.5
          3750.00
          3999.67
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2009-083 AK
          
          
            2022-10-16
          
          4.25
          21506.91
          21757.69
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRA 2976KF 05/15/35
          
          
            2035-05-15
          
          .7362
          363078.70
          361031.78
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 01729K 05/15/24
          
          
            2024-05-15
          
          7.5
          2912.08
          3270.36
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 3829CD 08/15/24
          
          
            2024-08-15
          
          3
          1928.58
          1932.99
          Agency Collateralized Mortgage Obligation
          
        
        
          FNMA FNRM CL049LC R14F049
          
          
            2054-07-25
          
          3
          7065255.21
          7314533.90
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2003-03 PC
          
          
            2033-11-20
          
          5.5
          167641.56
          187995.73
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 3626ME 01/15/40
          
          
            2040-01-15
          
          5
          3750.00
          4352.55
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 01753D 09/15/24
          
          
            2024-09-15
          
          8.5
          1039.62
          1200.53
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2003-92 BD
          
          
            2033-10-16
          
          5.5
          7500.00
          8613.80
          Agency Collateralized Mortgage Obligation
          
        
        
          GNMA GNRM 2016-20 BY
          
          
            2046-02-20
          
          3
          2905616.00
          2883667.95
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FRRM G051KA 05/17/60
          
          
            2026-05-17
          
          7.25
          422.61
          471.82
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 01459M 01/15/23
          
          
            2023-01-15
          
          7.5
          3075.29
          3418.28
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 4114PK 10/15/42
          
          
            2042-10-15
          
          3.5
          6536.15
          6929.33
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FMRM 00121D 03/15/21
          
          
            2021-03-15
          
          4.5
          1700.49
          1760.18
          Agency Collateralized Mortgage Obligation
          
        
        
          FMAC FGRM 3082PW 12/15/35
          
          
            2035-12-15
          
          5.5
          1429.40
          1619.80
          Agency Collateralized Mortgage Obligation
          
        
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-05
      2016-05-05
      2016-05-05
      Y
      
        Citigroup Global Markets, Inc.
        
          N/A
          N/A
        
        1.0000
        7
        N
      
      N
      N
      .0029
      250000000.00
      250000000.00
      250000000.00
      .0176
      N
      N
      Y
      N
    
    
      ABN Amro Bank NV
      ABN Amro Bank NV, REPO,  0.320%, 5/2/2016
      
      U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash
      
      Y
      
        N
        
          FNMA FNMS 03.500 CRMA1437
          
          
            2043-05-01
          
          3.5
          53512795.87
          56431395.64
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.500 CLAS1662
          
          
            2044-02-01
          
          4.5
          117800.94
          130175.34
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAL1885
          
          
            2042-06-01
          
          2.607
          16483138.20
          17032779.43
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CLAS5178
          
          
            2045-06-01
          
          3.5
          7987055.11
          8390139.59
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CLAS2947
          
          
            2044-07-01
          
          4
          22130712.16
          23855825.76
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.000 FGPC J10548 G
          
          
            2024-08-01
          
          4
          10182350.81
          10879873.51
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAJ8087
          
          
            2041-12-01
          
          3.027
          14885830.80
          15533161.00
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 2B4897 G
          
          
            2045-11-01
          
          2.812
          7281480.57
          7530347.82
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CIAU3310
          
          
            2028-09-01
          
          3.5
          1939789.58
          2068879.13
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAL1988
          
          
            2035-07-01
          
          2.162
          8740884.06
          9169340.82
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX HYAM7483
          
          
            2024-12-01
          
          3.182
          5545918.68
          5871380.30
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAX9597
          
          
            2045-03-01
          
          2.503
          16644285.58
          17152365.34
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 2B3366 G
          
          
            2044-11-01
          
          2.526
          6216938.83
          6404110.14
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 2B4251 G
          
          
            2045-05-01
          
          2.535
          16466402.82
          16964506.02
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.000 FGPC J17281 G
          
          
            2026-12-01
          
          3
          4091635.35
          4304086.70
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 06.500 FGPC H01814 G
          
          
            2037-10-01
          
          6.5
          13.25
          14.70
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAW8684
          
          
            2044-07-01
          
          2.561
          614313.54
          633296.99
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 05.000 FGPC A91542 G
          
          
            2040-03-01
          
          5
          59780999.60
          66284508.11
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAL1434
          
          
            2042-01-01
          
          2.508
          11207116.94
          11827090.91
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX HYAM7420
          
          
            2025-01-01
          
          3.193
          8574591.90
          9084260.87
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC Q08995 G
          
          
            2042-06-01
          
          3.5
          451884.48
          478636.14
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 849297 G
          
          
            2044-04-01
          
          2.739
          4032526.09
          4168963.92
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CIAV3226
          
          
            2028-11-01
          
          3.5
          2296324.06
          2453037.21
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 1B8127 G
          
          
            2041-05-01
          
          3.306
          1972799.00
          2083661.10
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 2B3810 G
          
          
            2045-02-01
          
          2.885
          11606451.54
          12023261.14
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAW0688
          
          
            2044-04-01
          
          2.686
          2977286.02
          3075149.74
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CLAZ5201
          
          
            2045-08-01
          
          3.5
          3277002.11
          3442383.31
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAL6776
          
          
            2043-06-01
          
          2.366
          6874766.91
          7139467.59
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 04.000 FGPC J16062 G
          
          
            2026-07-01
          
          4
          5509113.16
          5894360.55
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CIAV1892
          
          
            2028-12-01
          
          3.5
          4908850.23
          5236109.63
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 2B4022 G
          
          
            2045-04-01
          
          2.417
          9506982.71
          9772216.97
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAZ0592
          
          
            2045-04-01
          
          2.667
          2528601.40
          2609641.38
          Agency Mortgage-Backed Securities
          
        
        
          GNMA GNII SP 783519 M
          
          
            2041-01-20
          
          4
          10833924.36
          11689859.76
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX HYAM7508
          
          
            2024-12-01
          
          3.182
          5193796.92
          5498594.31
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 2B3247 G
          
          
            2044-09-01
          
          2.598
          3123243.28
          3218129.50
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.000 CIAS1858
          
          
            2029-03-01
          
          3
          7488166.18
          7870372.17
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAJ7732
          
          
            2041-12-01
          
          2.521
          12753052.94
          13248608.23
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 2B4122 G
          
          
            2045-05-01
          
          2.52
          1029132.97
          1055870.87
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC G07016 G
          
          
            2042-06-01
          
          3.5
          35953316.14
          38048431.72
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.000 FGPC J26074 G
          
          
            2028-10-01
          
          3
          15164566.90
          15964305.71
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 2B3894 G
          
          
            2045-03-01
          
          2.698
          2150504.62
          2219467.95
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAL1987
          
          
            2037-02-01
          
          2.159
          7752059.99
          8058903.74
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAH1479
          
          
            2041-02-01
          
          2.889
          4904756.33
          5113335.99
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAL1385
          
          
            2041-06-01
          
          2.576
          5418400.28
          5655544.99
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 849689 G
          
          
            2045-05-01
          
          2.604
          26642233.66
          27419716.20
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX HYAM4970
          
          
            2023-12-01
          
          3.606
          3926697.32
          4258325.23
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CLAZ6383
          
          
            2045-09-01
          
          3.5
          12110386.95
          12721564.54
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAE0300
          
          
            2040-05-01
          
          2.516
          1673741.91
          1762344.60
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.500 FGPC C91403 G
          
          
            2032-03-01
          
          3.5
          7933386.28
          8409470.55
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CLAS2894
          
          
            2044-07-01
          
          4
          20480.28
          22162.96
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CLAS3711
          
          
            2044-11-01
          
          4
          1127079.80
          1215027.09
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.500 CLAI5616
          
          
            2036-07-01
          
          4.5
          8821095.95
          9670126.44
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.000 FGPC J33675 G
          
          
            2031-02-01
          
          3
          4772098.38
          5002730.71
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAL1888
          
          
            2042-05-01
          
          2.48
          11094683.17
          11492947.78
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CLAB5073
          
          
            2037-05-01
          
          3.5
          603308.97
          634676.34
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 2B3654 G
          
          
            2045-01-01
          
          2.402
          9289463.45
          9542798.47
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 849621 G
          
          
            2045-02-01
          
          2.705
          35096159.32
          36223022.90
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAY4346
          
          
            2045-02-01
          
          2.632
          2398508.52
          2471934.33
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAL1873
          
          
            2042-05-01
          
          2.61
          28181750.00
          29079930.56
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 848668 G
          
          
            2041-12-01
          
          2.823
          3963309.58
          4159151.24
          Agency Mortgage-Backed Securities
          
        
        
          GNMA GNII SF 004713 M
          
          
            2040-06-20
          
          4.5
          40128762.94
          43767558.90
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 05.500 CL682229
          
          
            2033-03-01
          
          5.5
          913836.18
          1031006.22
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.000 CLAW8643
          
          
            2044-07-01
          
          4
          10132062.82
          10921939.30
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 2B3793 G
          
          
            2045-01-01
          
          2.473
          11051533.98
          11363147.94
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CIAL5805
          
          
            2029-09-01
          
          3.5
          27091801.17
          28941527.00
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.000 FGPC J28972 G
          
          
            2029-08-01
          
          3
          3630682.49
          3807508.83
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 04.500 CLAV7109
          
          
            2044-03-01
          
          4.5
          18918670.37
          21058882.79
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CIAX8489
          
          
            2029-12-01
          
          3.5
          2429815.05
          2595426.92
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.000 CIAU8789
          
          
            2028-10-01
          
          3
          4595513.21
          4829807.79
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 2B3863 G
          
          
            2045-02-01
          
          2.601
          4767667.07
          4915197.76
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 05.500 CL725773
          
          
            2034-09-01
          
          5.5
          842081.49
          956476.38
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.000 CIAU6682
          
          
            2028-09-01
          
          3
          1729641.19
          1813024.30
          Agency Mortgage-Backed Securities
          
        
        
          USTR 1 7/8 NOTE R 17
          
          
            2017-10-31
          
          1.875
          89120.00
          91490.01
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 5/8 NOTE AB 19
          
          
            2019-07-31
          
          1.625
          22635040.00
          23173374.01
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 NOTE H 21
          
          
            2021-02-28
          
          2
          3567040.00
          3694600.46
          U.S. Treasuries (including strips)
          
        
        
          USTR 2 NOTE Q 20
          
          
            2020-09-30
          
          2
          274480.00
          283878.38
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/8 NOTE G 20
          
          
            2020-01-31
          
          1.375
          47874800.00
          48479073.36
          U.S. Treasuries (including strips)
          
        
        
          USTR 1 3/8 NOTE AD 20
          
          
            2020-09-30
          
          1.375
          2546960.00
          2563564.86
          U.S. Treasuries (including strips)
          
        
        
          FNMA FNMS 03.000 CIAS0061
          
          
            2028-08-01
          
          3
          8702102.93
          9123400.74
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAL1522
          
          
            2042-03-01
          
          2.504
          9484934.59
          10024528.30
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 2B4854 G
          
          
            2045-10-01
          
          2.467
          12091815.27
          12433140.34
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 2B3475 G
          
          
            2044-11-01
          
          2.751
          4804983.25
          4957241.95
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNMS 03.500 CLAY1093
          
          
            2045-03-01
          
          3.5
          15690647.14
          16482510.51
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAJ8620
          
          
            2042-03-01
          
          2.812
          5525849.47
          5752548.06
          Agency Mortgage-Backed Securities
          
        
        
          FMAC FMAR 1B7954 G
          
          
            2041-02-01
          
          2.793
          17137495.41
          18109728.37
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAK3427
          
          
            2042-02-01
          
          2.475
          13268041.60
          14033872.96
          Agency Mortgage-Backed Securities
          
        
        
          FMAC 03.000 FGPC J33749 G
          
          
            2031-03-01
          
          3
          8238236.37
          8636384.84
          Agency Mortgage-Backed Securities
          
        
        
          FNMA FNAR XX.XXX LBAD0991
          
          
            2037-01-01
          
          2.49
          141004.30
          149259.63
          Agency Mortgage-Backed Securities
          
        
        
          FNMA 1.125 FNSM A 04/17
          
          
            2017-04-27
          
          1.125
          80000000.00
          80372200.00
          Agency Debentures and Agency Strips
          
        
      
      First Tier Security
      
        N/A
        N/A
      
      2016-05-02
      2016-05-02
      2016-05-02
      N
      N
      N
      .0032
      1000000000.00
      1000000000.00
      1000000000.00
      .0702
      N
      Y
      Y
      N
    
    
      EDWARD JONES MONEY MARKET FUND
      2016-05-06
      Stephen Van Meter
      Stephen Van Meter
      Chief Compliance Officer