Form N-MFP2 DREYFUS CASH MANAGEMENT For: Jul 30

August 4, 2021 1:16 PM EDT

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    N-MFP2
    
      
        
          0000759667
          XXXXXXXX
        
      
      
      
      
      
      
    
  
  
    
      2021-07-30
      0000759667
      S000000018
      4
      N
      N
    
    
      002-94930
      
        BNY Mellon Investment Adviser, Inc.
        801-08147
      
      
        Ernst and Young
        New York
        NY
      
      
        none
      
      
        BNY Mellon Transfer Inc
        0001285911
        084-06102
      
      N
      
      N
      
      N
      Prime
      N
      47
      82
      
        3462436383.80
        3232871135.27
        3223127903.73
        2938483897.51
        2751349701.87
      
      
        3762436383.80
        4032871135.27
        4170126253.85
        3868483163.91
        3816448226.77
      
      
        0.4919
        0.4516
        0.4438
        0.4220
        0.3968
      
      
        0.5345
        0.5633
        0.5742
        0.5555
        0.5505
      
      382785.37
      6930415599.33
      6930415599.33
      2317154.71
      2725826.80
      6930389712.61
      6923014912.29
      1.0000
      0.0015
      
        1.0011
        1.0011
        1.0011
        1.0011
        1.0011
      
    
    
      C000000025
      10000000.00
      4532808365.82
      4527962143.25
      
        1.0011
        1.0011
        1.0012
        1.0012
        1.0012
      
      
        399406994.28
        294800803.31
      
      
        662756435.08
        551009579.47
      
      
        375116893.73
        534973925.49
      
      
        268618069.04
        426875460.69
      
      
        775878059.60
        452167930.99
      
      
        2481776451.73
        2259827699.95
      
      0.0005
      Y
      BNY Mellon Investment Adviser, Inc. The fund is waiving 11 points of expenses. (403,156.41)
    
    
      C000000026
      10000000.00
      58128433.31
      58067389.91
      
        1.0011
        1.0011
        1.0012
        1.0012
        1.0012
      
      
        1645843.36
        5854805.96
      
      
        636465.40
        895207.06
      
      
        15098499.75
        2965305.44
      
      
        1556473.87
        10569037.36
      
      
        7714742.40
        6005870.00
      
      
        26652024.78
        26290225.82
      
      0.0001
      Y
      BNY Mellon Investment Adviser, Inc. The fund is waiving 9 points of expenses and is also waiving expenses to maintain a minimum yield of .01 (21,248.63)
    
    
      C000000027
      10000000.00
      186526740.46
      186320913.84
      
        1.0011
        1.0011
        1.0012
        1.0012
        1.0012
      
      
        90864637.59
        5175729.47
      
      
        30779003.04
        23365468.73
      
      
        6083723.77
        25299472.42
      
      
        3229499.42
        16634905.30
      
      
        19560631.70
        14687446.03
      
      
        150517495.52
        85163021.95
      
      0.0001
      Y
      BNY Mellon Investment Adviser, Inc. The fund is waiving 9 points of expenses and is also waiving expenses to maintain a minimum yield of .01 (45,277.47)
    
    
      C000223373
      500000000.00
      2152926173.02
      2150664465.29
      
        1.0011
        1.0011
        1.0012
        1.0012
        1.0012
      
      
        103396300.22
        578165821.74
      
      
        230165743.69
        229634476.19
      
      
        366173355.74
        118974106.09
      
      
        308248007.85
        35371763.07
      
      
        130874632.86
        517702973.23
      
      
        1138858040.36
        1479849140.32
      
      0.0005
      Y
      BNY Mellon Investment Adviser, Inc.
    
    
      ASB FINANCE LTD/LONDON
      ASB FINANCE LTD/LONDON
      0020P3F66
      Financial Company Commercial Paper
      Y
      
        FITCH'S RATING
        F1
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1+
      
      2022-06-06
      2022-06-06
      2022-06-06
      N
      N
      N
      0.0022
      82275417.66
      82275417.66
      0.0119
      N
      N
      N
      N
      - N/A -
    
    
      AUSTRALIA & NEW ZEALAND BANKING GROU
      AUSTRALIA & NEW ZEALAND BANKING GROU
      36797
      0000859994
      Non-Negotiable Time Deposit
      Y
      
        FITCH'S RATING
        F1
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1+
      
      2021-08-02
      2021-08-02
      2021-08-02
      N
      N
      N
      0.0008
      150000000.00
      150000000.00
      0.0216
      N
      Y
      Y
      N
      - N/A -
    
    
      BANK OF MONTREAL CHICAGO
      BANK OF MONTREAL CHICAGO
      06367CG68
      Certificate of Deposit
      Y
      
        FITCH'S RATING
        F1+
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1
      
      2021-08-02
      2022-07-08
      2022-07-08
      N
      N
      N
      0.0021
      80015124.80
      80015124.80
      0.0115
      N
      N
      N
      N
      - N/A -
    
    
      BANK OF MONTREAL CHICAGO
      BANK OF MONTREAL CHICAGO
      06367CBQ9
      Certificate of Deposit
      Y
      
        FITCH'S RATING
        F1+
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1
      
      2021-08-02
      2022-03-25
      2022-03-25
      N
      N
      N
      0.0021
      100028928.00
      100028928.00
      0.0144
      N
      N
      N
      N
      - N/A -
    
    
      BANK OF MONTREAL CHICAGO
      BANK OF MONTREAL CHICAGO
      06367CDB0
      Certificate of Deposit
      Y
      
        FITCH'S RATING
        F1+
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1
      
      2021-08-02
      2022-04-18
      2022-04-18
      N
      N
      N
      0.0022
      100036209.00
      100036209.00
      0.0144
      N
      N
      N
      N
      - N/A -
    
    
      BANK OF NOVA SCOTIA HOUS
      BANK OF NOVA SCOTIA HOUS
      06417MQW8
      Certificate of Deposit
      Y
      
        FITCH'S RATING
        F1+
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1
      
      2022-07-21
      2022-07-21
      2022-07-21
      N
      N
      N
      0.0020
      17624824.28
      17624824.28
      0.0025
      N
      N
      N
      N
      - N/A -
    
    
      BANK OF NOVA SCOTIA HOUS
      BANK OF NOVA SCOTIA HOUS
      06417MPX7
      Certificate of Deposit
      Y
      
        FITCH'S RATING
        F1+
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1
      
      2021-08-02
      2022-05-25
      2022-05-25
      N
      N
      N
      0.0023
      100039727.00
      100039727.00
      0.0144
      N
      N
      N
      N
      - N/A -
    
    
      BANK OF NOVA SCOTIA/THE
      BANK OF NOVA SCOTIA/THE
      06417KBB4
      Financial Company Commercial Paper
      Y
      
        FITCH'S RATING
        F1+
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1
      
      2022-02-11
      2022-02-11
      2022-02-11
      N
      N
      N
      0.0018
      86542478.55
      86542478.55
      0.0125
      N
      N
      N
      N
      - N/A -
    
    
      BMO ASSET MANAGEMENT LTD
      BMO ASSET MANAGEMENT LTD
      
      15993
      0000927971
      Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash
      Y
      
        N
        
          BP CAP MKTS AMER INC GLBL NT 3.06%41-Corporate Debt Securities
          
          
            2041-06-17
          
          3.060
          1058823.52
          1092372.35
          Asset-Backed Securities
        
        
          BRITISH AIRWAYS 2018-1 AA 20330320 3.80000-Asset-Backed Securities
          
          
            2033-03-20
          
          3.799
          141176.47
          124018.82
          Asset-Backed Securities
        
        
          BRITISH AWYS PTC SER 2020-1A A 20340515 4.25000-Asset-Backed Securities
          
          
            2034-05-15
          
          4.250
          386823.52
          247781.91
          Asset-Backed Securities
        
        
          BRITISH COLUMBIA PROV CDA SR BCUSG-6 BD 21-Corporate Debt Securities
          
          
            2021-09-22
          
          2.649
          5294.11
          5362.84
          Asset-Backed Securities
        
        
          BROOKFIELD FIN INC SR NT 4.25%26-Corporate Debt Securities
          
          
            2026-06-02
          
          4.250
          705.88
          803.65
          Asset-Backed Securities
        
        
          COOF SECURITIZATION TR 2014-3 PTC 20380625 FLT-Asset-Backed Securities
          
          
            2038-06-25
          
          0.000
          5932.94
          6.08
          Asset-Backed Securities
        
        
          CARNIVAL CORP MTN BE SR SEC GLBL 23-Corporate Debt Securities
          
          
            2023-04-01
          
          11.500
          3602470.58
          4199630.12
          Asset-Backed Securities
        
        
          CISCO SYS INC SR GLBL NT5.9%39-Corporate Debt Securities
          
          
            2039-02-15
          
          5.900
          2337882.35
          3471689.05
          Asset-Backed Securities
        
        
          CISCO SYS INC SR GLBL NT2.2%23-Corporate Debt Securities
          
          
            2023-09-20
          
          2.200
          705.88
          738.32
          Asset-Backed Securities
        
        
          CUBESMART L P SR GLBL NT 3%30-Corporate Debt Securities
          
          
            2030-02-15
          
          3.000
          1058823.52
          1141327.05
          Asset-Backed Securities
        
        
          DEERE JOHN CAPITAL CORP FR 1.05%061726-Corporate Debt Securities
          
          
            2026-06-17
          
          1.050
          324705.88
          326457.39
          Asset-Backed Securities
        
        
          DIGICEL HLDGS BERMUDA LTD / D SR SEC GLBL 24-Corporate Debt Securities
          
          
            2024-05-25
          
          8.750
          552705.88
          582711.82
          Asset-Backed Securities
        
        
          DUKE ENERGY INDIANA INC 1M BD-LLL6.35%38-Corporate Debt Securities
          
          
            2038-08-15
          
          6.349
          1411.76
          2133.69
          Asset-Backed Securities
        
        
          FIDELITY & GTY LIFE HLDGS INC SR GLBL 144A 25-Corporate Debt Securities
          
          
            2025-05-01
          
          5.500
          176470.58
          205420.09
          Asset-Backed Securities
        
        
          FIELDSTONE MTG INV 2007-1 M1 20370425 FLT-Asset-Backed Securities
          
          
            2037-04-25
          
          0.000
          2013665.64
          20.13
          Asset-Backed Securities
        
        
          FIELDSTONE MTG INV 2007-1 M3 20370425 FLT-Asset-Backed Securities
          
          
            2037-04-25
          
          0.000
          1764705.88
          17.64
          Asset-Backed Securities
        
        
          FIELDSTONE MTG INV 2007-1 M4 20370425 FLT-Asset-Backed Securities
          
          
            2037-04-25
          
          0.000
          956430.00
          9.56
          Asset-Backed Securities
        
        
          FIELDSTONE MTG INV 2007-1 M5 20370425 FLT-Asset-Backed Securities
          
          
            2037-04-25
          
          0.000
          92427.17
          0.92
          Asset-Backed Securities
        
        
          GLP CAP LP/GLP FING II INC SR GLBL NT 4%31-Corporate Debt Securities
          
          
            2031-01-15
          
          4.000
          57176.47
          62426.22
          Asset-Backed Securities
        
        
          GEORGE WASHINGTON UNIVERSITY SR -2018 BD 48-Corporate Debt Securities
          
          
            2048-09-15
          
          4.126
          2538000.00
          3240372.46
          Asset-Backed Securities
        
        
          HSBC BANK CANADA GLBL CVRD BD 23-Corporate Debt Securities
          
          
            2023-05-14
          
          0.950
          105882.35
          107213.88
          Asset-Backed Securities
        
        
          HAWAIIAN BRAND INTELLECTUAL PP SR SEC GLBL 26-Corporate Debt Securities
          
          
            2026-01-20
          
          5.750
          411.17
          433.93
          Asset-Backed Securities
        
        
          HYDRO-QUEBEC SR DEB 8.25%26-Corporate Debt Securities
          
          
            2026-04-15
          
          8.250
          21176.47
          28382.24
          Asset-Backed Securities
        
        
          HYDRO-QUEBEC SR HK DB9.375%30-Corporate Debt Securities
          
          
            2030-04-15
          
          9.375
          22941.17
          37460.73
          Asset-Backed Securities
        
        
          HYDRO-QUEBEC SR DEB 8.05%24-Corporate Debt Securities
          
          
            2024-07-07
          
          8.050
          3176.47
          3865.07
          Asset-Backed Securities
        
        
          HYDRO-QUEBEC DEB TAGSS 8.4%22-Corporate Debt Securities
          
          
            2022-01-15
          
          8.400
          1764.70
          1834.81
          Asset-Backed Securities
        
        
          HYDRO-QUEBEC DB-HH TAGS8.5%29-Corporate Debt Securities
          
          
            2029-12-01
          
          8.500
          2470.58
          3764.21
          Asset-Backed Securities
        
        
          HYUNDAI CAP SVCS INC FR 1.25%020826-Corporate Debt Securities
          
          
            2026-02-08
          
          1.250
          499058.82
          495811.05
          Asset-Backed Securities
        
        
          JPMORGAN CHASE & CO GLBL NT 3.328%52-Corporate Debt Securities
          
          
            2052-04-22
          
          3.327
          837176.47
          916314.39
          Asset-Backed Securities
        
        
          KGS ALPHA SBA COOF TR SER 2013-4-Asset-Backed Securities
          
          
            2035-03-25
          
          2.086
          5223589.41
          46409.04
          Asset-Backed Securities
        
        
          LIGADO NETWORKS LLC SR SEC GLBL 23-Corporate Debt Securities
          
          
            2023-11-01
          
          15.500
          3482347.05
          3554847.58
          Asset-Backed Securities
        
        
          METLIFE INC PERP JR SB GLBL-Corporate Debt Securities
          
          
            2499-01-01
          
          3.850
          130235.29
          138138.94
          Asset-Backed Securities
        
        
          MS MTG LN TR 2006-15XS A-3 20361125 FLT-Private Label Collateralized Mortgage Obligations
          
          
            2036-11-25
          
          5.987
          1545882.35
          268938.40
          Asset-Backed Securities
        
        
          NCR CORP NEW SR GLBL 144A 29-Corporate Debt Securities
          
          
            2029-04-15
          
          5.125
          176470.58
          186167.49
          Asset-Backed Securities
        
        
          NASDAQ INC CR SEN SR NT 50-Corporate Debt Securities
          
          
            2050-04-28
          
          3.250
          1058823.52
          1091494.11
          Asset-Backed Securities
        
        
          NEWFOUNDLAND PROV CTF DEP SR AMZ DB7.32%23-Corporate Debt Securities
          
          
            2023-10-13
          
          7.320
          18000.00
          20976.23
          Asset-Backed Securities
        
        
          NATIONAL FINL PARTNERS CORP SR 144A NT 28-Corporate Debt Securities
          
          
            2028-08-15
          
          6.875
          109411.76
          117500.62
          Asset-Backed Securities
        
        
          AIR CANADA 2020-2 A 20301001 5.25000-Asset-Backed Securities
          
          
            2030-10-01
          
          5.250
          698823.52
          721934.52
          Asset-Backed Securities
        
        
          AIR LEASE CORP FR 1.875%081526-Corporate Debt Securities
          
          
            2026-08-15
          
          1.875
          1102235.29
          1116175.81
          Asset-Backed Securities
        
        
          ALBERTA PROV SR GLBL BD3.3%28-Corporate Debt Securities
          
          
            2028-03-15
          
          3.299
          12352.94
          14106.50
          Asset-Backed Securities
        
        
          ALCOA NEDERLAND HLDG B V SR GLBL 144A 27-Corporate Debt Securities
          
          
            2027-12-15
          
          5.500
          70588.23
          76720.58
          Asset-Backed Securities
        
        
          ALTICE FRANCE S A SR SEC GLBL 27-Corporate Debt Securities
          
          
            2027-02-01
          
          8.125
          275294.11
          309543.26
          Asset-Backed Securities
        
        
          AMSTED INDS INC SR GLBL 144A 30-Corporate Debt Securities
          
          
            2030-05-15
          
          4.625
          88235.29
          91732.53
          Asset-Backed Securities
        
        
          AMUR FINANCE VII 2019-1 A-2 20240620 2.63000-Asset-Backed Securities
          
          
            2024-06-20
          
          2.629
          197647.05
          105222.35
          Asset-Backed Securities
        
        
          APOLLO MGMT HLDGS LP SR GLBL 144A 26-Corporate Debt Securities
          
          
            2026-05-27
          
          4.400
          16941.17
          19451.35
          Asset-Backed Securities
        
        
          ARES FINANCE CO III LLC SUB GLBL 144A 51-Corporate Debt Securities
          
          
            2051-06-30
          
          4.125
          1182352.94
          1192577.33
          Asset-Backed Securities
        
        
          ATLAS LUXCO 4 S A R L / ALLIED SR SEC 144A NT28-Corporate Debt Securities
          
          
            2028-06-01
          
          4.625
          3997411.76
          4036442.04
          Asset-Backed Securities
        
        
          BAT CAPITAL CORP GLBL NT 4.906%30-Corporate Debt Securities
          
          
            2030-04-02
          
          4.905
          231882.35
          272596.43
          Asset-Backed Securities
        
        
          BP CAP MKTS P L C PERP SUB GLBL NT-Corporate Debt Securities
          
          
            2499-01-01
          
          4.875
          63529.41
          70317.26
          Asset-Backed Securities
        
        
          BANK NEW ZEALAND SR GLBL 144A 25-Corporate Debt Securities
          
          
            2025-02-21
          
          2.000
          2717647.05
          2840656.82
          Asset-Backed Securities
        
        
          BANK NOVA SCOTIA B C GLBL COCO 23-Corporate Debt Securities
          
          
            2023-06-23
          
          0.330
          2765647.05
          2767804.27
          Asset-Backed Securities
        
        
          BOYNE USA INC SR GLBL 144A 29-Corporate Debt Securities
          
          
            2029-05-15
          
          4.750
          52941.17
          55534.38
          Asset-Backed Securities
        
        
          BP CAP MKTS AMER INC SR GLBL NT 28-Corporate Debt Securities
          
          
            2028-11-06
          
          4.234
          2923411.76
          3428078.38
          Asset-Backed Securities
        
        
          PROVINCE OF NOVA SCOTIA SR AMZ DB8.75%22-Corporate Debt Securities
          
          
            2022-04-01
          
          8.750
          30000.00
          32520.70
          Asset-Backed Securities
        
        
          ORACLE CORP SR GLBL NT 51-Corporate Debt Securities
          
          
            2051-03-25
          
          3.950
          705.88
          795.76
          Asset-Backed Securities
        
        
          ORACLE CORP SR GLBL NT 31-Corporate Debt Securities
          
          
            2031-03-25
          
          2.875
          3211764.70
          3414659.91
          Asset-Backed Securities
        
        
          PARK AEROSPACE HLDGS LTD SR GLBL 144A 24-Corporate Debt Securities
          
          
            2024-02-15
          
          5.500
          2475882.35
          2788928.79
          Asset-Backed Securities
        
        
          PICASSO FINANCE SUB INC SR SEC GLBL 25-Corporate Debt Securities
          
          
            2025-06-15
          
          6.125
          472235.29
          504331.35
          Asset-Backed Securities
        
        
          PROVINCE OF QUEBEC SR DEB 7.5%23-Corporate Debt Securities
          
          
            2023-07-15
          
          7.500
          95294.11
          108595.74
          Asset-Backed Securities
        
        
          PROVINCE OF QUEBEC SR DEB 7.125%24-Corporate Debt Securities
          
          
            2024-02-09
          
          7.125
          104117.64
          124743.74
          Asset-Backed Securities
        
        
          PROVINCE OF QUEBEC SR GLBL PD DB 29-Corporate Debt Securities
          
          
            2029-09-15
          
          7.500
          78000.00
          115624.47
          Asset-Backed Securities
        
        
          PROVINCE OF QUEBEC SR GLBL QO NT 24-Corporate Debt Securities
          
          
            2024-10-16
          
          2.875
          176823.52
          191253.31
          Asset-Backed Securities
        
        
          PROVINCE OF QUEBEC FR 6.35%013026-Corporate Debt Securities
          
          
            2026-01-30
          
          6.349
          51176.47
          62486.47
          Asset-Backed Securities
        
        
          PROVINCE OF QUEBEC SR STEP 26-Corporate Debt Securities
          
          
            2026-02-27
          
          7.139
          14117.64
          18160.58
          Asset-Backed Securities
        
        
          ROYAL BK CDA SUB GLBL COCO 26-Corporate Debt Securities
          
          
            2026-01-27
          
          4.650
          422117.64
          484471.81
          Asset-Backed Securities
        
        
          ROYAL BK CDA FR 1.6%041723-Corporate Debt Securities
          
          
            2023-04-17
          
          1.600
          250941.17
          257530.33
          Asset-Backed Securities
        
        
          Federal Home Loan Mortgage Corp-Agency Debentures and Agency Strips
          
          
            2038-02-15
          
          1.879
          35294.11
          344.86
          Asset-Backed Securities
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          
          
            2048-01-25
          
          6.060
          1659176.47
          88171.48
          Asset-Backed Securities
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          
          
            2048-03-25
          
          3.500
          1434013.05
          85576.18
          Asset-Backed Securities
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          
          
            2050-06-25
          
          4.500
          269776.23
          31496.49
          Asset-Backed Securities
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          
          
            2048-02-25
          
          3.500
          2527099.05
          45058.85
          Asset-Backed Securities
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          
          
            2051-04-25
          
          4.500
          1247960.47
          162875.31
          Asset-Backed Securities
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          
          
            2051-06-25
          
          2.500
          39512572.58
          4247875.08
          Asset-Backed Securities
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          
          
            2047-03-25
          
          2.500
          2181176.47
          142492.23
          Asset-Backed Securities
        
        
          Federal Home Loan Mortgage Corp-Agency Debentures and Agency Strips
          
          
            2050-12-25
          
          3.000
          688235.29
          111392.81
          Asset-Backed Securities
        
        
          Federal Home Loan Mortgage Corp-Agency Debentures and Agency Strips
          
          
            2051-03-25
          
          2.000
          16856630.82
          1721316.56
          Asset-Backed Securities
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          
          
            2047-02-15
          
          4.000
          661764.70
          34177.50
          Asset-Backed Securities
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          
          
            2047-06-15
          
          4.500
          2942362.58
          87554.83
          Asset-Backed Securities
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          
          
            2047-02-15
          
          4.000
          192044.11
          11645.02
          Asset-Backed Securities
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          
          
            2047-06-15
          
          4.500
          323921.29
          11669.26
          Asset-Backed Securities
        
        
          Federal Home Loan Mortgage Corp-Agency Debentures and Agency Strips
          
          
            2051-06-25
          
          1.500
          3832.58
          3259.74
          Asset-Backed Securities
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          
          
            2051-05-25
          
          1.769
          13326330.00
          80445.56
          Asset-Backed Securities
        
        
          Federal National Mortgage Association-Agency Mortgage-Backed Securities
          
          
            2050-12-01
          
          2.000
          3030.00
          3022.93
          Asset-Backed Securities
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          
          
            2033-11-20
          
          6.516
          29963734.23
          28797.73
          Asset-Backed Securities
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          
          
            2061-02-20
          
          1.096
          6182622.70
          51433.75
          Asset-Backed Securities
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          
          
            2042-08-16
          
          3.500
          385296.00
          24975.20
          Asset-Backed Securities
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          
          
            2064-04-20
          
          1.392
          3530065.05
          61373.04
          Asset-Backed Securities
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          
          
            2064-05-20
          
          1.472
          4411764.70
          85639.08
          Asset-Backed Securities
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          
          
            2064-05-20
          
          1.472
          4411764.70
          85559.46
          Asset-Backed Securities
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          
          
            2064-06-20
          
          1.559
          845430.35
          20903.53
          Asset-Backed Securities
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          
          
            2067-10-20
          
          2.226
          1204475.29
          95998.57
          Asset-Backed Securities
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          
          
            2065-01-20
          
          1.634
          3882015.52
          169727.48
          Asset-Backed Securities
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          
          
            2066-03-20
          
          1.533
          1557624.70
          60132.62
          Asset-Backed Securities
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          
          
            2043-05-20
          
          3.500
          1467882.35
          70832.04
          Asset-Backed Securities
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          
          
            2055-05-16
          
          2.500
          35294.11
          5598.43
          Asset-Backed Securities
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          
          
            2046-08-20
          
          5.799
          1157617.05
          32312.27
          Asset-Backed Securities
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          
          
            2045-08-20
          
          3.500
          37952.82
          7.20
          Asset-Backed Securities
        
        
          ROYAL BK CDA FR 1.2%042726-Corporate Debt Securities
          
          
            2026-04-27
          
          1.200
          3176.47
          3192.60
          Asset-Backed Securities
        
        
          SAUDI ARABIAN OIL CO FR 2.25%112430-Corporate Debt Securities
          
          
            2030-11-24
          
          2.250
          186705.88
          185608.98
          Asset-Backed Securities
        
        
          SUMMIT MATERIALS LLC 6.5%27-Corporate Debt Securities
          
          
            2027-03-15
          
          6.500
          211764.70
          227294.47
          Asset-Backed Securities
        
        
          BROOKFIELD ASSET MGMT INC SR GLBL 144A 26-Corporate Debt Securities
          
          
            2026-03-01
          
          6.125
          245294.11
          258258.08
          Asset-Backed Securities
        
        
          TORONTO DOMINION BANK FR 1.9%120122-Corporate Debt Securities
          
          
            2022-12-01
          
          1.899
          2011058.82
          2061865.99
          Asset-Backed Securities
        
        
          TORONTO DOMINION BANK FR 0.75%010626-Corporate Debt Securities
          
          
            2026-01-06
          
          0.750
          1764.70
          1750.57
          Asset-Backed Securities
        
        
          TORONTO DOMINION BANK FR 0.55%030424-Corporate Debt Securities
          
          
            2024-03-04
          
          0.550
          721411.76
          723648.54
          Asset-Backed Securities
        
        
          TORONTO DOMINION BANK FR 1.2%060326-Corporate Debt Securities
          
          
            2026-06-03
          
          1.200
          1058823.52
          1068861.17
          Asset-Backed Securities
        
        
          US FOODS INC SR SEC GLBL 25-Corporate Debt Securities
          
          
            2025-04-15
          
          6.250
          240000.00
          257344.59
          Asset-Backed Securities
        
        
          WACHOVIA CMBS 2006-C23 XC 144 20450118 FLT-Private Label Collateralized Mortgage Obligations
          
          
            2045-01-18
          
          0.000
          6427576.58
          0.25
          Asset-Backed Securities
        
        
          OMERS FINANCE TRUST GLBL REGS NT 23-Corporate Debt Securities
          
          
            2023-04-14
          
          1.125
          88235.29
          89787.57
          Asset-Backed Securities
        
        
          NIPPON LIFE INSURANCE COMPANY SUB GLBL REGS 51-Corporate Debt Securities
          
          
            2051-01-21
          
          2.750
          1805294.11
          1788482.31
          Asset-Backed Securities
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          
          
            2061-11-16
          
          1.800
          2823.52
          2011.42
          Asset-Backed Securities
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          
          
            2071-07-20
          
          0.776
          18564506.47
          746026.92
          Asset-Backed Securities
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          
          
            2071-01-20
          
          3.356
          37058.82
          38983.52
          Asset-Backed Securities
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          
          
            2070-11-20
          
          1.548
          126733.05
          113421.97
          Asset-Backed Securities
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          
          
            2070-09-20
          
          3.583
          137816.11
          162304.47
          Asset-Backed Securities
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          
          
            2070-05-20
          
          2.099
          1782016.94
          91116.93
          Asset-Backed Securities
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          
          
            2071-01-20
          
          1.170
          363743.29
          23765.88
          Asset-Backed Securities
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          
          
            2063-02-16
          
          0.100
          14904165.52
          65144.89
          Asset-Backed Securities
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          
          
            2062-12-16
          
          0.250
          12743597.64
          136975.09
          Asset-Backed Securities
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          
          
            2049-03-20
          
          4.334
          1503387.88
          69292.86
          Asset-Backed Securities
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          
          
            2050-05-20
          
          6.066
          1865613.17
          171702.20
          Asset-Backed Securities
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          
          
            2050-08-20
          
          4.000
          462531.52
          65257.85
          Asset-Backed Securities
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          
          
            2050-07-20
          
          6.116
          1305942.00
          198204.47
          Asset-Backed Securities
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          
          
            2050-09-20
          
          2.500
          1409405.64
          88106.21
          Asset-Backed Securities
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          
          
            2051-01-20
          
          3.000
          240847.05
          25211.26
          Asset-Backed Securities
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          
          
            2050-06-20
          
          2.500
          908435.29
          114990.66
          Asset-Backed Securities
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          
          
            2051-05-20
          
          4.000
          618578.82
          84664.59
          Asset-Backed Securities
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          
          
            2051-05-20
          
          2.500
          705882.35
          95342.16
          Asset-Backed Securities
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          
          
            2051-06-20
          
          2.500
          973411.76
          145639.35
          Asset-Backed Securities
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          
          
            2051-05-20
          
          3.500
          1687688.11
          260650.08
          Asset-Backed Securities
        
      
      Y
      
        FITCH'S RATING
        F1+
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1
      
      2021-08-02
      2021-08-02
      2021-08-02
      N
      N
      N
      0.0018
      60000000.00
      60000000.00
      0.0087
      N
      Y
      Y
      N
      - N/A -
    
    
      BNG BANK NV
      BNG BANK NV
      09657RV53
      Financial Company Commercial Paper
      Y
      
        FITCH'S RATING
        F1+
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1+
      
      2021-08-05
      2021-08-05
      2021-08-05
      N
      N
      N
      0.0007
      74999187.75
      74999187.75
      0.0108
      N
      N
      Y
      N
      - N/A -
    
    
      BNP PARIBAS
      BNP PARIBAS
      
      3487
      0000872786
      Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash
      Y
      
        N
        
          CWALT INC 2007-OA6 A-2 20370625 FLT-Private Label Collateralized Mortgage Obligations
          
          
            2037-06-25
          
          0.339
          59568748.00
          6312015.95
          Private Label Collateralized Mortgage Obligations
        
        
          BEAR STRNS MTG FDG 2006-AR1 I-A-2 20360725 FLT-Private Label Collateralized Mortgage Obligations
          
          
            2036-07-25
          
          0.339
          11402000.00
          1214335.09
          Private Label Collateralized Mortgage Obligations
        
        
          BEAR STRNS MTG FDG 2006-AR5 II-A-2 20370125 FLT-Private Label Collateralized Mortgage Obligations
          
          
            2037-01-25
          
          0.319
          8353000.00
          1135700.73
          Private Label Collateralized Mortgage Obligations
        
        
          BEAR STEARNS MTG FDG 2007-AR4 IIA-2A 20370625 FLT-Private Label Collateralized Mortgage Obligations
          
          
            2037-06-25
          
          0.329
          16600000.00
          2708377.49
          Private Label Collateralized Mortgage Obligations
        
        
          CWALT INC 2005-58 A-2 20351220 FLT-Private Label Collateralized Mortgage Obligations
          
          
            2035-12-20
          
          0.863
          12845000.00
          374744.46
          Private Label Collateralized Mortgage Obligations
        
        
          CWMBS INC 2005-9 1-A-2 20350525 FLT-Private Label Collateralized Mortgage Obligations
          
          
            2035-05-25
          
          0.789
          53999000.00
          929189.68
          Private Label Collateralized Mortgage Obligations
        
        
          CITIGROUP MTG LN TR 2019-RP1 B-1 20660125 FLT-Private Label Collateralized Mortgage Obligations
          
          
            2066-01-25
          
          4.000
          3550150.00
          3668821.65
          Private Label Collateralized Mortgage Obligations
        
        
          CITIGROUP MTG LN TR 2019-RP1 B-2 20660125 FLT-Private Label Collateralized Mortgage Obligations
          
          
            2066-01-25
          
          4.000
          9342300.00
          9199925.42
          Private Label Collateralized Mortgage Obligations
        
        
          CITIGROUP MTG LN TR 2019-RP1 B-3 20660125 FLT-Private Label Collateralized Mortgage Obligations
          
          
            2066-01-25
          
          4.000
          11085550.00
          9986519.95
          Private Label Collateralized Mortgage Obligations
        
        
          CITIGROUP MTG LN TR 2019-RP1 B-4 20660125 FLT-Private Label Collateralized Mortgage Obligations
          
          
            2066-01-25
          
          4.000
          11086500.00
          8064134.09
          Private Label Collateralized Mortgage Obligations
        
        
          CITIGROUP MTG LN TR 2019-RP1 B-5 20660125 FLT-Private Label Collateralized Mortgage Obligations
          
          
            2066-01-25
          
          4.000
          5543286.00
          2342092.88
          Private Label Collateralized Mortgage Obligations
        
        
          CWALT INC 2006-OA18 A-2 20461225 FLT-Private Label Collateralized Mortgage Obligations
          
          
            2046-12-25
          
          0.569
          17800000.00
          1322304.88
          Private Label Collateralized Mortgage Obligations
        
        
          CWALT INC 2006-OC11 2-A-3 20370125 FLT-Private Label Collateralized Mortgage Obligations
          
          
            2037-01-25
          
          0.569
          10500000.00
          5909102.87
          Private Label Collateralized Mortgage Obligations
        
        
          FREDDIE MAC SEASONED CR RISK TRANSFER TR-Private Label Collateralized Mortgage Obligations
          
          
            2060-05-25
          
          4.250
          3999900.00
          4212817.12
          Private Label Collateralized Mortgage Obligations
        
        
          GS MTG SECS TR 2019-PJ2 B-5 20491125 FLT-Private Label Collateralized Mortgage Obligations
          
          
            2049-11-25
          
          4.434
          1592000.00
          1440633.54
          Private Label Collateralized Mortgage Obligations
        
        
          GS MTG SECS TR 2020-NQM1 B-2 20600925 FLT-Private Label Collateralized Mortgage Obligations
          
          
            2060-09-25
          
          5.875
          1274000.00
          1315371.14
          Private Label Collateralized Mortgage Obligations
        
        
          GS MTG SECS TR 2020-PJ2 B-5 20500725 FLT-Private Label Collateralized Mortgage Obligations
          
          
            2050-07-25
          
          3.599
          792000.00
          623071.10
          Private Label Collateralized Mortgage Obligations
        
        
          JP MORGAN MTG TR 2019-INV3 B-6 20500525 FLT-Private Label Collateralized Mortgage Obligations
          
          
            2050-05-25
          
          4.232
          5534000.00
          3824510.84
          Private Label Collateralized Mortgage Obligations
        
        
          JP MORGAN MTG TR 2019-LTV3 B-5 20500325 FLT-Private Label Collateralized Mortgage Obligations
          
          
            2050-03-25
          
          4.504
          1922000.00
          1890403.87
          Private Label Collateralized Mortgage Obligations
        
        
          JP MORGAN MTG TR 2019-LTV3 B-6 20500325 FLT-Private Label Collateralized Mortgage Obligations
          
          
            2050-03-25
          
          2.172
          7686185.00
          5221666.14
          Private Label Collateralized Mortgage Obligations
        
        
          MASTR ADJ MTG 2007-HF2 A-2 20370925 FLT-Private Label Collateralized Mortgage Obligations
          
          
            2037-09-25
          
          1.189
          15000000.00
          6702647.08
          Private Label Collateralized Mortgage Obligations
        
        
          MELLO WAREHOUSE SEC 2020-2 G 20531125 FLT-Private Label Collateralized Mortgage Obligations
          
          
            2053-11-25
          
          4.839
          3500000.00
          3493590.43
          Private Label Collateralized Mortgage Obligations
        
        
          NEW RESIDENTIAL MTG LN TR 2019-RPL2-Private Label Collateralized Mortgage Obligations
          
          
            2059-02-25
          
          4.012
          9329000.00
          2656269.17
          Private Label Collateralized Mortgage Obligations
        
        
          NEW RESIDENTIAL MTG LN TR 2019-RPL2-Private Label Collateralized Mortgage Obligations
          
          
            2059-02-25
          
          4.012
          6000000.00
          1439630.79
          Private Label Collateralized Mortgage Obligations
        
        
          NEW RESI MTG TR 2020- NQM1 B-2 20600125 FLT-Private Label Collateralized Mortgage Obligations
          
          
            2060-01-25
          
          4.524
          2778000.00
          2801923.38
          Private Label Collateralized Mortgage Obligations
        
        
          PMT CR RISL TRANS TR 2021-1R A 20260227 FLT-Private Label Collateralized Mortgage Obligations
          
          
            2026-02-27
          
          2.990
          181005.00
          146591.01
          Private Label Collateralized Mortgage Obligations
        
        
          RESIDENTIAL MTG LN TR 2020-1 B-2 20600125 FLT-Private Label Collateralized Mortgage Obligations
          
          
            2060-01-25
          
          4.665
          2150000.00
          2230022.82
          Private Label Collateralized Mortgage Obligations
        
        
          SG RESIDENTIAL MTG TR 2020-2-Private Label Collateralized Mortgage Obligations
          
          
            2065-05-25
          
          5.049
          2233000.00
          2061389.60
          Private Label Collateralized Mortgage Obligations
        
        
          SPRUCE HILL MTG LN TR 2020-SH1 B-2 20500128 FLT-Private Label Collateralized Mortgage Obligations
          
          
            2050-01-28
          
          4.676
          3200000.00
          3306472.88
          Private Label Collateralized Mortgage Obligations
        
        
          STARWOOD MTG RES TR 2020-3 B-2 20650425 FLT-Private Label Collateralized Mortgage Obligations
          
          
            2065-04-25
          
          4.750
          7834786.00
          7913042.88
          Private Label Collateralized Mortgage Obligations
        
        
          STRUCTURED ASSET SECS 2004-4 B1 20340425 FLT-Private Label Collateralized Mortgage Obligations
          
          
            2034-04-25
          
          2.695
          6500000.00
          1974961.20
          Private Label Collateralized Mortgage Obligations
        
        
          TRINITAS CLO XVI LTD / TRINITAS CLO XVI LLC-Asset-Backed Securities
          
          
            2034-07-20
          
          1.314
          723381.00
          723192.92
          Private Label Collateralized Mortgage Obligations
        
        
          WAMU MTG CERT 2005-AR2 B-1 20450125 FLT-Private Label Collateralized Mortgage Obligations
          
          
            2045-01-25
          
          0.884
          12166736.00
          4182487.81
          Private Label Collateralized Mortgage Obligations
        
        
          WIND RIV 2013-2 CLO LTD / WINDRIV 2013-2 CLO LLC-Asset-Backed Securities
          
          
            2030-10-18
          
          0.000
          1972039.00
          1972039.00
          Private Label Collateralized Mortgage Obligations
        
      
      Y
      
        FITCH'S RATING
        F1+
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1
      
      2021-08-02
      2021-08-02
      2021-08-02
      N
      N
      N
      0.0018
      110000000.00
      110000000.00
      0.0159
      N
      Y
      Y
      N
      - N/A -
    
    
      BNP PARIBAS SA/PARIS
      BNP PARIBAS SA/PARIS
      
      36030
      0000872786
      Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash
      Y
      
        Y
        
          CWABS INC 2006-6 M-1 20350925 FLT-Asset-Backed Securities
          
          
            2035-09-25
          
          0.569
          1940000.00
          1733727.59
          Asset-Backed Securities
        
        
          CITIGROUP MTG LN TR 2006-WFHE3 M-4 20361025 FLT-Asset-Backed Securities
          
          
            2036-10-25
          
          0.644
          11751000.00
          10584778.85
          Asset-Backed Securities
        
        
          MORGAN STANLEY ABS 2007-HE1 A-2C 20361125 FLT-Asset-Backed Securities
          
          
            2036-11-25
          
          0.239
          15313469.00
          6221493.87
          Asset-Backed Securities
        
      
      Y
      
        FITCH'S RATING
        F1+
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1
      
      2021-09-03
      2021-09-03
      2050-12-31
      N
      N
      N
      0.0034
      18000000.00
      18000000.00
      0.0026
      N
      N
      N
      Y
      - N/A -
    
    
      BOFA FINANCE LLC
      BOFA FINANCE LLC
      
      29815
      0001682472
      Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash
      Y
      
        Y
        
          COMMSCOPE TECHNOLOGIES LLC SR 144A NT 6%25-Corporate Debt Securities
          
          
            2025-06-15
          
          6.000
          11664000.00
          11937170.87
          Corporate Debt Securities
        
        
          ECOPETROL S A SR GLBL NT 25-Corporate Debt Securities
          
          
            2025-01-16
          
          4.125
          12800000.00
          13402933.33
          Corporate Debt Securities
        
        
          FREEDOM MORTGAGE CORPORATION SR 144A NT 24-Corporate Debt Securities
          
          
            2024-11-15
          
          8.125
          10745000.00
          11195506.51
          Corporate Debt Securities
        
        
          GRAY TELEVISION INC 7%27-Corporate Debt Securities
          
          
            2027-05-15
          
          7.000
          8730000.00
          9494689.79
          Corporate Debt Securities
        
        
          LATAM PASS THROUGH TRUST SER EXTND SR SEC 29-Corporate Debt Securities
          
          
            2029-08-15
          
          4.200
          52114000.00
          8999767.56
          Corporate Debt Securities
        
        
          LIFEPOINT HEALTH INC SR 144A NT 26-Corporate Debt Securities
          
          
            2026-12-01
          
          9.750
          12065000.00
          13026932.39
          Corporate Debt Securities
        
        
          MOLINA HEALTHCARE INC SR NT 5.375%22-Corporate Debt Securities
          
          
            2022-11-15
          
          5.375
          9018000.00
          9479702.81
          Corporate Debt Securities
        
        
          NCL CORP LTD SR SEC GLBL 24-Corporate Debt Securities
          
          
            2024-05-15
          
          12.250
          9933000.00
          12024103.43
          Corporate Debt Securities
        
        
          SUMMIT MIDSTREAM HLDGS LLC / SR NT 5.75%25-Corporate Debt Securities
          
          
            2025-04-15
          
          5.750
          9472000.00
          8873093.33
          Corporate Debt Securities
        
        
          UNIVISION COMMUNICATIONS INC SR SEC GLBL 25-Corporate Debt Securities
          
          
            2025-02-15
          
          5.125
          1802000.00
          1872529.52
          Corporate Debt Securities
        
        
          BAUSCH HEALTH COS INC SR GLBL 144A 27-Corporate Debt Securities
          
          
            2027-01-31
          
          8.500
          8492000.00
          9542885.00
          Corporate Debt Securities
        
        
          JBS INVTS II GMBH SR GLBL REGS 28-Corporate Debt Securities
          
          
            2028-01-15
          
          5.750
          11692000.00
          12339103.48
          Corporate Debt Securities
        
        
          FRONTERA ENERGY CORP SR REGS NT 28-Corporate Debt Securities
          
          
            2028-06-21
          
          7.875
          9800000.00
          9883606.25
          Corporate Debt Securities
        
        
          DIGICEL LTD SR REGS NT 23-Corporate Debt Securities
          
          
            2023-03-01
          
          6.750
          10000000.00
          9804375.00
          Corporate Debt Securities
        
        
          MINERVA LUXEMBOURG S A SR GLBL REGS 31-Corporate Debt Securities
          
          
            2031-03-18
          
          4.375
          11000000.00
          11085224.33
          Corporate Debt Securities
        
        
          BANCO DO BRASIL S A FR 4.75%032024-Corporate Debt Securities
          
          
            2024-03-20
          
          4.750
          9930000.00
          10715987.08
          Corporate Debt Securities
        
        
          GRUPO AXO SAPI DE CV SR GLBL REGS 26-Corporate Debt Securities
          
          
            2026-06-08
          
          5.750
          10982000.00
          11108683.47
          Corporate Debt Securities
        
        
          METALSA S A DE C V SR REGS NT 31-Corporate Debt Securities
          
          
            2031-05-04
          
          3.750
          11877000.00
          11834935.62
          Corporate Debt Securities
        
        
          OI SA SR GLBL PIK NT25-Corporate Debt Securities
          
          
            2025-07-27
          
          10.000
          365000.00
          379093.05
          Corporate Debt Securities
        
      
      Y
      
        FITCH'S RATING
        F1+
      
      
        MOODY'S RATING
        NR
      
      
        S&P RATING
        A-1
      
      2021-09-03
      2021-09-03
      2050-12-31
      N
      N
      N
      0.0048
      170000000.00
      170000000.00
      0.0245
      N
      N
      N
      Y
      - N/A -
    
    
      BOFA FINANCE LLC
      BOFA FINANCE LLC
      
      29815
      0001682472
      Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash
      Y
      
        Y
        
          United States Treasury-U.S. Treasuries (including strips)
          
          
            2028-05-31
          
          1.250
          27406800.00
          27891220.13
          Equities
        
        
          AIR LEASE CORP CL A-Equities
          
          
            2499-01-01
          
          0.000
          100.00
          4253.00
          Equities
        
        
          ALLIANT ENERGY CORP COM-Equities
          
          
            2499-01-01
          
          0.000
          28860.00
          1699854.00
          Equities
        
        
          AMERICAN HOMES 4 RENT CL A-Equities
          
          
            2499-01-01
          
          0.000
          40437.00
          1699971.48
          Equities
        
        
          ATOMERA INC COM-Equities
          
          
            2499-01-01
          
          0.000
          96.00
          1733.75
          Equities
        
        
          AVIAT NETWORKS INC COM NEW-Equities
          
          
            2499-01-01
          
          0.000
          700.00
          25648.00
          Equities
        
        
          CATERPILLAR INC COM-Equities
          
          
            2499-01-01
          
          0.000
          15.00
          3188.40
          Equities
        
        
          CLOUDFLARE INC CL A COM-Equities
          
          
            2499-01-01
          
          0.000
          35.00
          4213.64
          Equities
        
        
          CREE INC COM-Equities
          
          
            2499-01-01
          
          0.000
          636.00
          57933.23
          Equities
        
        
          EPR PPTYS COM SH BEN INT-Equities
          
          
            2499-01-01
          
          0.000
          25.00
          1272.25
          Equities
        
        
          GREENBOX POS COM NEW-Equities
          
          
            2499-01-01
          
          0.000
          56000.00
          510719.99
          Equities
        
        
          KIMBALL INTL INC CL B-Equities
          
          
            2499-01-01
          
          0.000
          88.00
          1108.80
          Equities
        
        
          MARCUS CORP DEL COM-Equities
          
          
            2499-01-01
          
          0.000
          956.00
          15544.55
          Equities
        
        
          MARVELL TECHNOLOGY INC COM-Equities
          
          
            2499-01-01
          
          0.000
          211.00
          12725.41
          Equities
        
        
          MASTERCRAFT BOAT HLDGS INC COM-Equities
          
          
            2499-01-01
          
          0.000
          57.00
          1501.38
          Equities
        
        
          MOLECULAR TEMPLATES INC COM-Equities
          
          
            2499-01-01
          
          0.000
          1115.00
          8139.50
          Equities
        
        
          NAUTILUS INC COM-Equities
          
          
            2499-01-01
          
          0.000
          84.00
          1234.80
          Equities
        
        
          NEOPHOTONICS CORP COM-Equities
          
          
            2499-01-01
          
          0.000
          12999.00
          121540.64
          Equities
        
        
          ORAMED PHARMACEUTICALS INC COM NEW-Equities
          
          
            2499-01-01
          
          0.000
          52500.00
          765450.00
          Equities
        
        
          PLAYTIKA HLDG CORP COM-Equities
          
          
            2499-01-01
          
          0.000
          56.00
          1261.11
          Equities
        
        
          RILEY EXPLORATION PERMIAN INC COM-Equities
          
          
            2499-01-01
          
          0.000
          14700.00
          330015.00
          Equities
        
        
          SALESFORCE COM INC COM-Equities
          
          
            2499-01-01
          
          0.000
          66.00
          16106.63
          Equities
        
        
          WENDYS CO COM-Equities
          
          
            2499-01-01
          
          0.000
          45.00
          1043.09
          Equities
        
        
          WHIRLPOOL CORP COM-Equities
          
          
            2499-01-01
          
          0.000
          7572.00
          1699838.28
          Equities
        
        
          AXIS CAP HLDGS LTD SHS-Equities
          
          
            2499-01-01
          
          0.000
          6700.00
          335402.00
          Equities
        
        
          BEYONDSPRING INC SHS-Equities
          
          
            2499-01-01
          
          0.000
          159.00
          1537.53
          Equities
        
      
      Y
      
        FITCH'S RATING
        F1+
      
      
        MOODY'S RATING
        NR
      
      
        S&P RATING
        A-1
      
      2021-09-03
      2021-09-03
      2050-12-31
      N
      N
      N
      0.0036
      34000000.00
      34000000.00
      0.0049
      N
      N
      N
      Y
      - N/A -
    
    
      BOFA FINANCE LLC
      BOFA FINANCE LLC
      
      29815
      0001682472
      Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash
      Y
      
        Y
        
          CHC GROUP LLC / CHC FIN LTD SR NT 5% 2024-Corporate Debt Securities
          
          
            2024-04-01
          
          5.000
          11377362.00
          3914128.56
          Corporate Debt Securities
        
        
          FORD MOTOR CREDIT COMPANY FR 4.375%080623-Corporate Debt Securities
          
          
            2023-08-06
          
          4.375
          379000.00
          405096.36
          Corporate Debt Securities
        
        
          NCL CORP LTD SR SEC GLBL 26-Corporate Debt Securities
          
          
            2026-02-01
          
          10.250
          2636000.00
          3152564.47
          Corporate Debt Securities
        
        
          OCCIDENTAL PETE CORP SR GLBL NT 25-Corporate Debt Securities
          
          
            2025-09-01
          
          5.875
          1881000.00
          2122889.02
          Corporate Debt Securities
        
        
          SCIENTIFIC GAMES INTL INC SR GLBL 144A 25-Corporate Debt Securities
          
          
            2025-07-01
          
          8.625
          2914000.00
          3160664.02
          Corporate Debt Securities
        
        
          UNICREDIT S.P.A FR 6.572%011422-Corporate Debt Securities
          
          
            2022-01-14
          
          6.572
          3070000.00
          3157866.12
          Corporate Debt Securities
        
        
          ODEBRECHT OFFSHORE DRILLING FR 6.72%120126-Corporate Debt Securities
          
          
            2026-12-01
          
          7.719
          15085418.00
          3886791.47
          Corporate Debt Securities
        
      
      Y
      
        FITCH'S RATING
        F1+
      
      
        MOODY'S RATING
        NR
      
      
        S&P RATING
        A-1
      
      2021-09-03
      2021-09-03
      2050-12-31
      N
      N
      N
      0.0048
      18000000.00
      18000000.00
      0.0026
      N
      N
      N
      Y
      - N/A -
    
    
      CAISSE DES DEPOTS ET CON
      CAISSE DES DEPOTS ET CON
      12800BAC6
      Financial Company Commercial Paper
      Y
      
        FITCH'S RATING
        F1+
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1+
      
      2022-01-12
      2022-01-12
      2022-01-12
      N
      N
      N
      0.0020
      49973486.00
      49973486.00
      0.0072
      N
      N
      N
      N
      - N/A -
    
    
      CANADIAN IMP BK COMM NY
      CANADIAN IMP BK COMM NY
      13606CR63
      Certificate of Deposit
      Y
      
        FITCH'S RATING
        F1+
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1
      
      2021-08-02
      2022-04-26
      2022-04-26
      N
      N
      N
      0.0023
      97041082.41
      97041082.41
      0.0140
      N
      N
      N
      N
      - N/A -
    
    
      CITIGROUP GLOBAL MARKETS INC
      CITIGROUP GLOBAL MARKETS INC
      MBNUM2BPBDO7JBLYG310
      36027
      0000091154
      U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash
      Y
      
        N
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2042-08-15
          
          5.906
          65979927.00
          2250316.81
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2042-12-15
          
          4.500
          124927436.00
          2241317.23
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2041-09-25
          
          1.535
          28341191.00
          105433.00
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2040-11-25
          
          7.599
          725000.00
          456125.60
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2039-11-25
          
          0.300
          115589315.00
          68686.98
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2042-02-25
          
          6.510
          22850980.00
          775270.97
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2042-03-25
          
          6.510
          61835654.00
          405551.24
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2040-12-25
          
          6.460
          29249333.00
          151128.99
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2042-08-25
          
          5.970
          99505671.00
          1645224.83
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2042-09-25
          
          5.910
          5084000.00
          162481.68
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2042-11-25
          
          6.060
          29250000.00
          1470252.55
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2042-12-25
          
          6.610
          39375000.00
          1537499.46
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2042-12-25
          
          6.060
          43312000.00
          2317453.45
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2033-06-25
          
          3.000
          360000.00
          70944.86
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2042-02-25
          
          5.000
          560750.00
          132146.78
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2044-04-25
          
          6.010
          125000000.00
          2129041.56
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2044-09-25
          
          5.500
          57213208.00
          2286192.53
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2043-07-25
          
          0.220
          29411503.00
          136942.96
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2044-11-25
          
          6.060
          24004185.00
          1290269.32
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2044-12-25
          
          4.500
          1666667.00
          89819.92
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2044-08-25
          
          4.000
          93337800.00
          1771425.20
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2041-07-25
          
          4.000
          4088731.00
          74080.93
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2044-07-25
          
          4.000
          19131380.00
          391769.57
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2046-05-25
          
          5.000
          4125000.00
          235779.44
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2034-07-25
          
          5.000
          7825000.00
          471283.19
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2046-08-25
          
          3.500
          2924111.00
          668058.31
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2046-08-25
          
          6.010
          8104773.00
          543956.49
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2046-09-25
          
          1.665
          86914875.00
          764975.88
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2046-09-25
          
          4.000
          990444.00
          306144.47
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2046-10-25
          
          3.500
          15193293.00
          334490.67
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2047-03-25
          
          1.639
          129096691.00
          1454475.72
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2048-02-25
          
          4.000
          35333518.00
          2840863.75
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2048-06-25
          
          1.953
          103025846.00
          2560361.46
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2041-01-25
          
          5.960
          35950659.00
          3570399.19
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2048-05-25
          
          4.500
          7149452.00
          230381.55
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2039-07-25
          
          4.000
          33843474.00
          2428046.67
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2048-05-25
          
          3.500
          14786208.00
          413962.57
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Mortgage-Backed Securities
          MBNUM2BPBDO7JBLYG310
          
            2027-11-25
          
          0.618
          39975000.00
          1430382.68
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Mortgage-Backed Securities
          MBNUM2BPBDO7JBLYG310
          
            2032-07-25
          
          0.837
          45268251.00
          3405799.45
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Mortgage-Backed Securities
          MBNUM2BPBDO7JBLYG310
          
            2031-06-25
          
          1.150
          197390527.00
          15946309.70
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2048-10-25
          
          3.000
          5000000.00
          612538.33
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2048-03-15
          
          4.500
          23243422.00
          2406388.68
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Mortgage-Backed Securities
          MBNUM2BPBDO7JBLYG310
          
            2037-06-25
          
          0.160
          190137220.00
          2931419.16
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Mortgage-Backed Securities
          MBNUM2BPBDO7JBLYG310
          
            2044-09-25
          
          0.052
          75000000.00
          593227.24
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Mortgage-Backed Securities
          MBNUM2BPBDO7JBLYG310
          
            2032-09-25
          
          0.343
          150747179.00
          3387117.04
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2040-01-25
          
          5.000
          24456786.00
          3056345.22
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2047-02-25
          
          4.000
          41142357.00
          4325056.47
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2048-11-25
          
          3.000
          55264492.00
          4987355.33
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2046-07-25
          
          3.500
          50341450.00
          6708640.07
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2045-06-25
          
          1.854
          32470263.00
          1431991.89
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2044-11-25
          
          4.500
          33924774.00
          5627839.43
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2041-06-25
          
          3.000
          24171065.00
          2082843.82
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2041-08-15
          
          6.406
          86538461.00
          1480224.70
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2041-12-15
          
          5.806
          32660324.00
          1117808.33
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2039-12-15
          
          5.856
          90000000.00
          491604.61
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2040-03-15
          
          5.906
          26238142.00
          107178.10
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2040-08-15
          
          23.534
          1000000.00
          1595460.97
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2042-05-15
          
          6.556
          68935554.00
          978308.23
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2042-06-15
          
          5.956
          164886985.00
          2186484.19
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2042-01-15
          
          6.056
          111094232.00
          1002130.92
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2042-02-15
          
          3.500
          62667894.00
          1163473.89
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2042-12-15
          
          3.500
          1201256.00
          103038.97
          Agency Collateralized Mortgage Obligation
        
        
          FNMA REMIC TR 1998-22 SA 20280418 FLT-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2028-04-18
          
          8.510
          471000000.00
          65473.57
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2043-03-15
          
          4.500
          42480514.00
          1152268.50
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2043-08-15
          
          5.906
          300300000.00
          14166833.61
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2043-12-15
          
          6.006
          76642149.00
          1914917.23
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2039-07-15
          
          6.006
          264250000.00
          8132931.13
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2044-08-15
          
          4.500
          14615914.00
          301675.49
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2040-06-15
          
          1.884
          37493728.00
          379178.72
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2043-12-15
          
          3.979
          8462701.00
          182557.57
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2040-05-15
          
          1.970
          113880121.00
          1550290.55
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2045-06-15
          
          6.106
          44569260.00
          2779419.48
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2045-08-15
          
          5.000
          13470764.00
          635417.60
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2041-05-15
          
          5.000
          33523223.00
          1605466.75
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2042-03-15
          
          1.749
          114423632.00
          1249322.60
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2046-03-15
          
          4.000
          7647525.00
          255214.70
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2042-04-15
          
          5.500
          1893463.00
          111862.92
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2046-04-15
          
          3.500
          30461570.00
          377362.74
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2037-11-15
          
          6.000
          829429.00
          52980.60
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2046-01-15
          
          4.000
          15842693.00
          287715.07
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2043-04-15
          
          1.948
          56325200.00
          841114.20
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2049-02-25
          
          2.620
          14188055.00
          2985928.20
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2046-04-15
          
          4.500
          4716444.00
          77475.62
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2046-01-15
          
          4.500
          9127777.00
          56613.21
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2047-08-15
          
          4.500
          4969307.00
          311299.27
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2047-10-15
          
          4.000
          28522867.00
          870116.08
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2039-06-15
          
          5.500
          678121.00
          93703.41
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2040-04-15
          
          5.000
          5445303.00
          738822.51
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2036-04-15
          
          5.499
          3585309.00
          495800.11
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2041-07-15
          
          5.000
          92238058.00
          11343912.17
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2045-03-15
          
          4.500
          25995023.00
          1674395.98
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2035-02-25
          
          1.512
          70000000.00
          11335517.24
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2032-10-25
          
          5.500
          832000.00
          57531.65
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2035-04-25
          
          4.630
          1650000.00
          202755.93
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2036-03-25
          
          21.529
          6598335.00
          330090.46
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2036-06-25
          
          23.872
          3656000.00
          501679.50
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2036-07-25
          
          26.643
          1572369.00
          1436567.05
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2036-07-25
          
          35.553
          7692308.00
          812236.51
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2036-06-25
          
          28.483
          7692308.00
          400900.51
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2036-01-25
          
          28.483
          4500000.00
          212673.36
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2036-01-15
          
          7.000
          11428572.00
          601936.24
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2036-03-15
          
          6.606
          31388571.00
          220791.86
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2036-11-25
          
          16.476
          4000000.00
          281925.51
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2037-01-25
          
          16.590
          7843196.00
          50268.50
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2036-05-15
          
          28.467
          7692308.00
          434946.88
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2036-06-15
          
          38.741
          2433000.00
          394362.96
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2038-05-25
          
          6.660
          52742658.00
          598066.34
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2036-10-15
          
          6.196
          190000000.00
          2183483.70
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2037-10-15
          
          6.306
          95938000.00
          1492478.58
          Agency Collateralized Mortgage Obligation
        
        
          Federal National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2039-06-25
          
          6.500
          64028.00
          203964.24
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2037-11-15
          
          6.486
          51423428.00
          1107396.54
          Agency Collateralized Mortgage Obligation
        
        
          Federal Home Loan Mortgage Corp-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2039-04-15
          
          5.000
          10000000.00
          448593.53
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2063-07-20
          
          1.657
          73907696.00
          1023841.15
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2063-08-20
          
          1.718
          76308109.00
          1824995.74
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2063-08-20
          
          1.662
          26444871.00
          612115.20
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2063-07-20
          
          1.313
          26625157.00
          259847.53
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2063-08-20
          
          1.734
          26066838.00
          756457.30
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2063-07-20
          
          1.833
          19015723.00
          561963.97
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2063-09-20
          
          0.895
          100063974.00
          887747.30
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2063-09-20
          
          1.509
          104376410.00
          2384285.81
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2063-04-20
          
          1.745
          20020231.00
          499343.25
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2067-06-20
          
          2.148
          136346184.00
          7355975.37
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2067-09-20
          
          2.094
          122489829.00
          7436300.66
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2067-11-20
          
          2.269
          82368698.00
          6002075.97
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2066-12-20
          
          2.070
          164959989.00
          9360478.35
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2069-09-20
          
          1.120
          40349673.00
          2011586.00
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2069-09-20
          
          1.331
          22582626.00
          1212961.02
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2069-10-20
          
          1.348
          21360682.00
          1214865.87
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2068-07-20
          
          2.085
          79853362.00
          5527026.40
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2069-10-20
          
          0.996
          24903469.00
          1045103.34
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2069-10-20
          
          2.063
          57500000.00
          3651180.12
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2068-08-20
          
          1.860
          26224679.00
          1734983.00
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2069-10-20
          
          1.049
          51151433.00
          2412587.27
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2070-01-20
          
          1.279
          33500000.00
          2146141.30
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2069-08-20
          
          1.081
          33329821.00
          869073.06
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2071-01-20
          
          0.892
          60000000.00
          2818304.42
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2071-05-20
          
          0.436
          151041760.00
          7157231.31
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2071-05-20
          
          0.811
          50000000.00
          3156237.75
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2070-12-20
          
          0.928
          20000000.00
          1045312.60
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2070-12-20
          
          0.928
          25000000.00
          1268465.09
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2070-05-20
          
          1.103
          48890000.00
          3404754.07
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2070-07-20
          
          1.017
          41936293.00
          2320289.83
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2070-06-20
          
          1.376
          50000000.00
          3869933.84
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2070-08-20
          
          1.219
          112472238.00
          7338726.27
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2070-09-20
          
          1.900
          25000000.00
          2538942.33
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2070-09-20
          
          1.556
          35738090.00
          3329870.24
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2070-09-20
          
          1.138
          142978088.00
          10235407.28
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2070-10-20
          
          1.613
          33016584.00
          3396466.09
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2070-11-20
          
          1.815
          29641861.00
          3500961.34
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2070-09-20
          
          1.739
          100000000.00
          10096639.17
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2071-04-20
          
          0.517
          202339581.00
          11295556.54
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2071-04-20
          
          1.150
          28113640.00
          2621937.90
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2063-04-16
          
          0.200
          709680501.00
          5984560.89
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2063-04-16
          
          0.150
          100000.00
          647.51
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2063-04-16
          
          0.270
          11583429.00
          157152.19
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2063-04-16
          
          0.706
          153742.00
          11640.90
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2063-04-16
          
          1.750
          1000.00
          894.60
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2063-04-16
          
          0.210
          243153499.00
          2121554.80
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2063-04-16
          
          0.720
          381043620.00
          28640989.79
          Agency Collateralized Mortgage Obligation
        
        
          Government National Mortgage Association-Agency Collateralized Mortgage Obligation
          MBNUM2BPBDO7JBLYG310
          
            2068-12-20
          
          1.053
          101821732.00
          4157437.43
          Agency Collateralized Mortgage Obligation
        
      
      Y
      
        FITCH'S RATING
        F1
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1
      
      2021-08-02
      2021-08-02
      2021-08-02
      N
      N
      N
      0.0016
      340000000.00
      340000000.00
      0.0491
      N
      Y
      Y
      N
      - N/A -
    
    
      COLLATERALIZED COMMERCIAL PAPER FLEX
      COLLATERALIZED COMMERCIAL PAPER FLEX
      19423KA38
      Asset Backed Commercial Paper
      Y
      
        FITCH'S RATING
        F1+
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1
      
      2022-01-03
      2022-01-03
      2022-01-03
      N
      N
      Y
      
        JP MORGAN SECURITIES LLC
        Fully Supported
        1.0000
        
          FITCH'S RATING
          F1+
        
        
          MOODY'S RATING
          P-1
        
        
          S&P RATING
          A-1
        
      
      0.0030
      79949760.00
      79949760.00
      0.0115
      N
      N
      N
      N
      - N/A -
    
    
      COLLATERALIZED COMMERCIAL PAPER FLEX
      COLLATERALIZED COMMERCIAL PAPER FLEX
      19423KA79
      Asset Backed Commercial Paper
      Y
      
        FITCH'S RATING
        F1+
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1
      
      2022-01-07
      2022-01-07
      2022-01-07
      N
      N
      Y
      
        JP MORGAN SECURITIES LLC
        Fully Supported
        1.0000
        
          FITCH'S RATING
          F1+
        
        
          MOODY'S RATING
          P-1
        
        
          S&P RATING
          A-1
        
      
      0.0027
      49966458.50
      49966458.50
      0.0072
      N
      N
      N
      N
      - N/A -
    
    
      COLLATERALIZED COMMERCIAL PAPER FLEX
      COLLATERALIZED COMMERCIAL PAPER FLEX
      19423KEP5
      Asset Backed Commercial Paper
      Y
      
        FITCH'S RATING
        F1+
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1
      
      2022-05-23
      2022-05-23
      2022-05-23
      N
      N
      Y
      
        JP MORGAN SECURITIES LLC
        Fully Supported
        1.0000
        
          FITCH'S RATING
          F1+
        
        
          MOODY'S RATING
          P-1
        
        
          S&P RATING
          A-1
        
      
      0.0021
      59905950.00
      59905950.00
      0.0086
      N
      N
      N
      N
      - N/A -
    
    
      COLLATERALIZED COMMERCIAL PAPER V CO
      COLLATERALIZED COMMERCIAL PAPER V CO
      19424JBQ8
      Asset Backed Commercial Paper
      Y
      
        FITCH'S RATING
        F1+
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1
      
      2022-02-24
      2022-02-24
      2022-02-24
      N
      N
      Y
      
        JP MORGAN SECURITIES LLC
        Fully Supported
        1.0000
        
          FITCH'S RATING
          F1+
        
        
          MOODY'S RATING
          P-1
        
        
          S&P RATING
          A-1
        
      
      0.0018
      99900725.00
      99900725.00
      0.0144
      N
      N
      N
      N
      - N/A -
    
    
      CREDIT AGRICOLE CIB NY
      CREDIT AGRICOLE CIB NY
      36696
      0001330437
      Non-Negotiable Time Deposit
      Y
      
        FITCH'S RATING
        F1+
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1
      
      2021-08-02
      2021-08-02
      2021-08-02
      N
      N
      N
      0.0006
      251000000.00
      251000000.00
      0.0362
      N
      Y
      Y
      N
      - N/A -
    
    
      DNB Bank ASA (Cayman) DTD
      DNB Bank ASA (Cayman) DTD
      0001245233
      Non-Negotiable Time Deposit
      Y
      
        FITCH'S RATING
        NR
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1+
      
      2021-08-02
      2021-08-02
      2021-08-02
      N
      N
      N
      0.0004
      220000000.00
      220000000.00
      0.0317
      N
      Y
      Y
      N
      - N/A -
    
    
      ING BANK NV/BUCURESTI
      ING BANK NV/BUCURESTI
      36947
      0001017255
      Non-Negotiable Time Deposit
      Y
      
        FITCH'S RATING
        F1+
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1
      
      2021-08-03
      2021-08-03
      2021-08-03
      N
      N
      N
      0.0010
      350000000.00
      350000000.00
      0.0505
      N
      N
      Y
      N
      - N/A -
    
    
      KBC BANK NV
      KBC BANK NV
      36796
      0001411306
      Non-Negotiable Time Deposit
      Y
      
        FITCH'S RATING
        F1
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1
      
      2021-08-02
      2021-08-02
      2021-08-02
      N
      N
      N
      0.0005
      330000000.00
      330000000.00
      0.0476
      N
      Y
      Y
      N
      - N/A -
    
    
      LMA AMERICAS LLC
      LMA AMERICAS LLC
      53944QV64
      Asset Backed Commercial Paper
      Y
      
        FITCH'S RATING
        F1
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1
      
      2021-08-06
      2021-08-06
      2021-08-06
      N
      N
      Y
      
        CREDIT AGRICOLE CIB
        Fully Supported
        1.0000
        
          FITCH'S RATING
          F1+
        
        
          MOODY'S RATING
          P-1
        
        
          S&P RATING
          A-1
        
      
      0.0018
      40099337.15
      40099337.15
      0.0058
      N
      N
      Y
      N
      - N/A -
    
    
      MERRILL LYNCH PIERCE FENNER & SMITH
      MERRILL LYNCH PIERCE FENNER & SMITH
      8NAV47T0Y26Q87Y0QP81
      36022
      0000914246
      Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash
      Y
      
        N
        
          CIRCOR INTL INC COM-Equities
          8NAV47T0Y26Q87Y0QP81
          
            2499-01-01
          
          0.000
          57.00
          1762.44
          Equities
        
        
          QUALCOMM INC COM-Equities
          8NAV47T0Y26Q87Y0QP81
          
            2499-01-01
          
          0.000
          33114.00
          4999882.86
          Equities
        
        
          SMARTFINANCIAL INC COM NEW-Equities
          8NAV47T0Y26Q87Y0QP81
          
            2499-01-01
          
          0.000
          44.00
          1072.72
          Equities
        
        
          United States Treasury-U.S. Treasuries (including strips)
          8NAV47T0Y26Q87Y0QP81
          
            2050-05-15
          
          1.250
          12600.00
          10695.78
          Equities
        
        
          United States Treasury-U.S. Treasuries (including strips)
          8NAV47T0Y26Q87Y0QP81
          
            2041-05-15
          
          2.250
          90720000.00
          97350428.97
          Equities
        
      
      Y
      
        FITCH'S RATING
        F1+
      
      
        MOODY'S RATING
        NR
      
      
        S&P RATING
        A-1
      
      2021-08-02
      2021-08-02
      2021-08-02
      N
      N
      N
      0.0018
      100000000.00
      100000000.00
      0.0144
      N
      Y
      Y
      N
      - N/A -
    
    
      MIZUHO BANK
      MIZUHO BANK
      60689PZ25
      Financial Company Commercial Paper
      Y
      
        FITCH'S RATING
        F1
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1
      
      2021-12-02
      2021-12-02
      2021-12-02
      N
      N
      N
      0.0014
      39979444.40
      39979444.40
      0.0058
      N
      N
      N
      N
      - N/A -
    
    
      MIZUHO BANK
      MIZUHO BANK
      60689PYA8
      Financial Company Commercial Paper
      Y
      
        FITCH'S RATING
        F1
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1
      
      2021-11-10
      2021-11-10
      2021-11-10
      N
      N
      N
      0.0020
      149942491.50
      149942491.50
      0.0216
      N
      N
      N
      N
      - N/A -
    
    
      MIZUHO BANK LTD/NY
      MIZUHO BANK LTD/NY
      60710RRN7
      Certificate of Deposit
      Y
      
        FITCH'S RATING
        F1
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1
      
      2021-12-08
      2021-12-08
      2021-12-08
      N
      N
      N
      0.0013
      150005989.50
      150005989.50
      0.0216
      N
      N
      N
      N
      - N/A -
    
    
      MUFG BANK LTD/NY
      MUFG BANK LTD/NY
      55380TRM4
      Certificate of Deposit
      Y
      
        FITCH'S RATING
        F1
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1
      
      2021-10-08
      2021-10-08
      2021-10-08
      N
      N
      N
      0.0019
      75015740.25
      75015740.25
      0.0108
      N
      N
      N
      N
      - N/A -
    
    
      NATIONAL AUSTRALIA BANK LTD
      NATIONAL AUSTRALIA BANK LTD
      63254GQL2
      Financial Company Commercial Paper
      Y
      
        FITCH'S RATING
        F1
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1+
      
      2021-08-02
      2022-03-25
      2022-03-25
      N
      N
      N
      0.0022
      50018428.50
      50018428.50
      0.0072
      N
      N
      N
      N
      - N/A -
    
    
      NORDEA BANK ABP NEW YORK
      NORDEA BANK ABP NEW YORK
      36707
      0001141330
      Non-Negotiable Time Deposit
      Y
      
        FITCH'S RATING
        F1+
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1+
      
      2021-08-02
      2021-08-02
      2021-08-02
      N
      N
      N
      0.0005
      340000000.00
      340000000.00
      0.0491
      N
      Y
      Y
      N
      - N/A -
    
    
      NRW BANK
      NRW BANK
      36811
      0001377054
      Non-Negotiable Time Deposit
      Y
      
        FITCH'S RATING
        F1+
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1+
      
      2021-08-02
      2021-08-02
      2021-08-02
      N
      Y
      
        STATE OF NORTH RHINE - WESTPHALIA
        0.0000
        
          FITCH'S RATING
          F1+
        
        
          MOODY'S RATING
          P-1
        
        
          S&P RATING
          AA
        
      
      N
      0.0006
      200000000.00
      200000000.00
      0.0289
      N
      Y
      Y
      N
      - N/A -
    
    
      NRW BANK
      NRW BANK
      36811
      0001377054
      Non-Negotiable Time Deposit
      Y
      
        FITCH'S RATING
        F1+
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1+
      
      2021-08-05
      2021-08-05
      2021-08-05
      N
      Y
      
        STATE OF NORTH RHINE - WESTPHALIA
        0.0000
        
          FITCH'S RATING
          F1+
        
        
          MOODY'S RATING
          P-1
        
        
          S&P RATING
          AA
        
      
      N
      0.0006
      150000000.00
      150000000.00
      0.0216
      N
      N
      Y
      N
      - N/A -
    
    
      ROYAL BANK OF CANADA (TORONTO) DTD
      ROYAL BANK OF CANADA (TORONTO) DTD
      37081
      0001000275
      Non-Negotiable Time Deposit
      Y
      
        FITCH'S RATING
        F1+
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1+
      
      2021-08-03
      2021-08-03
      2021-08-03
      N
      N
      N
      0.0008
      350000000.00
      350000000.00
      0.0505
      N
      N
      Y
      N
      - N/A -
    
    
      SKANDINAV ENSKILDA BK NY
      SKANDINAV ENSKILDA BK NY
      27145
      0001643792
      Non-Negotiable Time Deposit
      Y
      
        FITCH'S RATING
        F1+
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1
      
      2021-08-02
      2021-08-02
      2021-08-02
      N
      N
      N
      0.0005
      220000000.00
      220000000.00
      0.0317
      N
      Y
      Y
      N
      - N/A -
    
    
      SOCIETE GENERALE SA
      SOCIETE GENERALE SA
      
      754
      0001145665
      Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash
      Y
      
        N
        
          ACCREDITED MTG LN TR 2005-3 M-5 20350925 FLT-Asset-Backed Securities
          
          
            2035-09-25
          
          0.719
          942000.00
          893290.04
          Private Label Collateralized Mortgage Obligations
        
        
          ALBERTSONS COS LLC/SAFEWAY INC SR GLBL NT 25-Corporate Debt Securities
          
          
            2025-03-15
          
          5.750
          2000.00
          2084.52
          Private Label Collateralized Mortgage Obligations
        
        
          APEX CREDIT CLO 2019-2 LTD E 20321025 FLT-Asset-Backed Securities
          
          
            2032-10-25
          
          7.125
          100000.00
          95815.16
          Private Label Collateralized Mortgage Obligations
        
        
          BK OF AMERICA CORP FR 3.3%011123-Corporate Debt Securities
          
          
            2023-01-11
          
          3.299
          1976000.00
          2064765.21
          Private Label Collateralized Mortgage Obligations
        
        
          BARCLAYS BANK PLC FR 0.25%022222-Corporate Debt Securities
          
          
            2022-02-22
          
          0.250
          28222000.00
          28264952.31
          Private Label Collateralized Mortgage Obligations
        
        
          BAUSCH HEALTH COS INC SR SEC GLBL 28-Corporate Debt Securities
          
          
            2028-06-01
          
          4.875
          8000.00
          8276.33
          Private Label Collateralized Mortgage Obligations
        
        
          BEAR STEARNS CMBS 2007-PWR17 C 20500613 FLT-Private Label Collateralized Mortgage Obligations
          
          
            2050-06-13
          
          5.744
          294.00
          144.12
          Private Label Collateralized Mortgage Obligations
        
        
          BEAR STEARNS CMBS 2007-TOP26 A-J 20450112 FLT-Private Label Collateralized Mortgage Obligations
          
          
            2045-01-12
          
          5.430
          28624.00
          23404.29
          Private Label Collateralized Mortgage Obligations
        
        
          CGG SR 144A NT 27-Corporate Debt Securities
          
          
            2027-04-01
          
          8.750
          661000.00
          678466.00
          Private Label Collateralized Mortgage Obligations
        
        
          COMMUNITY HEALTH SYS INC NEW SR SEC GLBL 27-Corporate Debt Securities
          
          
            2027-03-15
          
          5.625
          297000.00
          324631.39
          Private Label Collateralized Mortgage Obligations
        
        
          CWABS INC 2004-BC5 M-6 20340725 FLT-Asset-Backed Securities
          
          
            2034-07-25
          
          1.739
          2494000.00
          835789.22
          Private Label Collateralized Mortgage Obligations
        
        
          CARRIZO OIL & GAS INC SR NT 8.25%25-Corporate Debt Securities
          
          
            2025-07-15
          
          8.250
          2000.00
          1896.87
          Private Label Collateralized Mortgage Obligations
        
        
          CENTENE CORP DEL SR GLBL NT 27-Corporate Debt Securities
          
          
            2027-12-15
          
          4.250
          3000.00
          3177.18
          Private Label Collateralized Mortgage Obligations
        
        
          CENTENE CORP DEL SR GLBL NT 29-Corporate Debt Securities
          
          
            2029-12-15
          
          4.625
          7000.00
          7696.71
          Private Label Collateralized Mortgage Obligations
        
        
          LUMEN TECHNOLOGIES INC SR NT-T 5.8%22-Corporate Debt Securities
          
          
            2022-03-15
          
          5.799
          223000.00
          233621.48
          Private Label Collateralized Mortgage Obligations
        
        
          CITGO PETE CORP SR SEC GLBL 25-Corporate Debt Securities
          
          
            2025-06-15
          
          7.000
          1492000.00
          1544712.36
          Private Label Collateralized Mortgage Obligations
        
        
          CITIGROUP MTG LN TR 2007-AMC1 A-2B 20361225 FLT-Asset-Backed Securities
          
          
            2036-12-25
          
          0.239
          5885440.00
          1701069.73
          Private Label Collateralized Mortgage Obligations
        
        
          CITIGROUP MTG LN TR 2007-SHL1 A 20461125 FLT-Asset-Backed Securities
          
          
            2046-11-25
          
          0.489
          2461435.00
          277996.67
          Private Label Collateralized Mortgage Obligations
        
        
          CITIGROUP MTG LN TR 2007-FS1 II-A1A 20371025 FLT-Asset-Backed Securities
          
          
            2037-10-25
          
          1.089
          4288424.00
          760760.91
          Private Label Collateralized Mortgage Obligations
        
        
          CREDIT AGRICOLE SA LONDON BRH FR 1.907%061626-Corporate Debt Securities
          
          
            2026-06-16
          
          1.907
          418000.00
          428843.24
          Private Label Collateralized Mortgage Obligations
        
        
          DELUXE CORP MEDIUM TERM NTS SR GLBL 144A 29-Corporate Debt Securities
          
          
            2029-06-01
          
          8.000
          2822000.00
          3120034.55
          Private Label Collateralized Mortgage Obligations
        
        
          ENDEAVOR ENERGY RESOURCE/FIN SR GLBL 144A 26-Corporate Debt Securities
          
          
            2026-01-30
          
          5.500
          72000.00
          74250.00
          Private Label Collateralized Mortgage Obligations
        
        
          ENVIVA PARTNERS LP SR GLBL 144A 26-Corporate Debt Securities
          
          
            2026-01-15
          
          6.500
          283000.00
          295709.05
          Private Label Collateralized Mortgage Obligations
        
        
          FBR SEC TRUST 2005-2 M-4 20350925 FLT-Asset-Backed Securities
          
          
            2035-09-25
          
          1.019
          851199.00
          782022.27
          Private Label Collateralized Mortgage Obligations
        
        
          FIRST STUDENT BIDCO INC / FIRS SR SEC 144A NT29-Corporate Debt Securities
          
          
            2029-07-31
          
          4.000
          260000.00
          260260.00
          Private Label Collateralized Mortgage Obligations
        
        
          FIRSTENERGY CORP GLBL B NT2.25%30-Corporate Debt Securities
          
          
            2030-09-01
          
          2.250
          225000.00
          223720.31
          Private Label Collateralized Mortgage Obligations
        
        
          FORD MOTOR CREDIT COMPANY SR GLBL NT 27-Corporate Debt Securities
          
          
            2027-01-09
          
          4.270
          417000.00
          449835.17
          Private Label Collateralized Mortgage Obligations
        
        
          FREEDOM MORTGAGE CORPORATION SR GLBL 144A 25-Corporate Debt Securities
          
          
            2025-04-15
          
          8.250
          233000.00
          248509.06
          Private Label Collateralized Mortgage Obligations
        
        
          FRONTIER COMMUNICATIONS HLDGS SR SEC GLBL NT29-Corporate Debt Securities
          
          
            2029-11-01
          
          5.875
          1367.00
          1422.96
          Private Label Collateralized Mortgage Obligations
        
        
          GARTNER INC SR GLBL 144A 30-Corporate Debt Securities
          
          
            2030-10-01
          
          3.750
          765000.00
          794564.06
          Private Label Collateralized Mortgage Obligations
        
        
          HARBORVIEW MTG LN TR 2005-9 B-2 20350620 FLT-Private Label Collateralized Mortgage Obligations
          
          
            2035-06-20
          
          1.058
          3211753.00
          776144.82
          Private Label Collateralized Mortgage Obligations
        
        
          SERVICE PPTYS TR SR GLBL NT 26-Corporate Debt Securities
          
          
            2026-10-01
          
          4.750
          529000.00
          528048.53
          Private Label Collateralized Mortgage Obligations
        
        
          IHEARTCOMMUNICATIONS INC SR SEC GLBL NT26-Corporate Debt Securities
          
          
            2026-05-01
          
          6.375
          7907.00
          8602.40
          Private Label Collateralized Mortgage Obligations
        
        
          IHEARTCOMMUNICATIONS INC 8.375%27-Corporate Debt Securities
          
          
            2027-05-01
          
          8.375
          441.00
          478.24
          Private Label Collateralized Mortgage Obligations
        
        
          JP MORGAN CHASE CMBS 2007-C1 A-J 20510215 FLT-Private Label Collateralized Mortgage Obligations
          
          
            2051-02-15
          
          6.823
          16497001.00
          8962955.89
          Private Label Collateralized Mortgage Obligations
        
        
          JACKCON PK TR 2019-LIC F 20391014 FLT-Private Label Collateralized Mortgage Obligations
          
          
            2039-10-14
          
          3.242
          11442000.00
          10345249.21
          Private Label Collateralized Mortgage Obligations
        
        
          KEURIG DR PEPPER INC GLBL NT 3.8%50-Corporate Debt Securities
          
          
            2050-05-01
          
          3.799
          12357000.00
          14174151.76
          Private Label Collateralized Mortgage Obligations
        
        
          KRAFT HEINZ FOODS CO SR GLBL NT 5%42-Corporate Debt Securities
          
          
            2042-06-04
          
          5.000
          40000.00
          50065.51
          Private Label Collateralized Mortgage Obligations
        
        
          KRAFT HEINZ FOODS CO SR GLBL NT 46-Corporate Debt Securities
          
          
            2046-06-01
          
          4.375
          182000.00
          210513.96
          Private Label Collateralized Mortgage Obligations
        
        
          KRAFT HEINZ FOODS CO SR GLBL NT 31-Corporate Debt Securities
          
          
            2031-03-01
          
          4.250
          125000.00
          146161.28
          Private Label Collateralized Mortgage Obligations
        
        
          LAREDO PETROLEUM INC SR GLBL NT9.5%25-Corporate Debt Securities
          
          
            2025-01-15
          
          9.500
          550000.00
          566614.58
          Private Label Collateralized Mortgage Obligations
        
        
          LEVEL 3 FING INC GLBL 144A NT 29-Corporate Debt Securities
          
          
            2029-01-15
          
          3.625
          956000.00
          929261.87
          Private Label Collateralized Mortgage Obligations
        
        
          MAGIC MERGECO INC SR SEC 144A NT29-Corporate Debt Securities
          
          
            2029-05-01
          
          7.875
          527000.00
          552938.28
          Private Label Collateralized Mortgage Obligations
        
        
          MAGNETITE XVI LTD 2015-16R E-R 20280118 FLT-Asset-Backed Securities
          
          
            2028-01-18
          
          5.133
          2237700.00
          2217087.84
          Private Label Collateralized Mortgage Obligations
        
        
          MORGAN STANLEY CAP 2004-HE2 M-1 20340325 FLT-Asset-Backed Securities
          
          
            2034-03-25
          
          0.944
          5799815.00
          1030448.13
          Private Label Collateralized Mortgage Obligations
        
        
          MS HEQ LN TR 2007-2 A-3 20370425 FLT-Asset-Backed Securities
          
          
            2037-04-25
          
          0.319
          6601152.00
          2694737.34
          Private Label Collateralized Mortgage Obligations
        
        
          NCL CORP LTD SR SEC GLBL 26-Corporate Debt Securities
          
          
            2026-02-01
          
          10.250
          268000.00
          320518.69
          Private Label Collateralized Mortgage Obligations
        
        
          NRG ENERGY INC SR GLBL 144A 29-Corporate Debt Securities
          
          
            2029-06-15
          
          5.250
          547000.00
          590930.93
          Private Label Collateralized Mortgage Obligations
        
        
          NEW RES MTG TR 2019-NQM5 B-2 20591125 FLT-Private Label Collateralized Mortgage Obligations
          
          
            2059-11-25
          
          4.939
          100000.00
          99451.11
          Private Label Collateralized Mortgage Obligations
        
        
          ODEBRECHT DRILLING NORBE VIII/ FR 6.35%120121-Corporate Debt Securities
          
          
            2021-12-01
          
          6.349
          4134.00
          124.15
          Private Label Collateralized Mortgage Obligations
        
        
          PHH MORTGAGE CORPORATION SR SEC GLBL 26-Corporate Debt Securities
          
          
            2026-03-15
          
          7.875
          3192000.00
          3381724.50
          Private Label Collateralized Mortgage Obligations
        
        
          PENNYMAC FINL SVCS INC NEW SR GLBL 144A 29-Corporate Debt Securities
          
          
            2029-02-15
          
          4.250
          350000.00
          345579.98
          Private Label Collateralized Mortgage Obligations
        
        
          PETROBRAS GLOBAL FINANCE BV SR GLBL NT 15-Corporate Debt Securities
          
          
            2115-06-05
          
          6.849
          33000.00
          36978.98
          Private Label Collateralized Mortgage Obligations
        
        
          SECURITIZED ASSET REC 2007-BR1 A-2B 20370225 FLT-Asset-Backed Securities
          
          
            2037-02-25
          
          0.359
          74831.00
          32327.67
          Private Label Collateralized Mortgage Obligations
        
        
          DIVERSIFIED HEALTHCARE TR SR GLBL NT 28-Corporate Debt Securities
          
          
            2028-02-15
          
          4.750
          32000.00
          32856.66
          Private Label Collateralized Mortgage Obligations
        
        
          SERVICE PPTYS TR SR GLBL NT7.5%25-Corporate Debt Securities
          
          
            2025-09-15
          
          7.500
          487000.00
          564211.41
          Private Label Collateralized Mortgage Obligations
        
        
          SOUNDVIEW HM LN 2006-OPT5 M-1 20360725 FLT-Asset-Backed Securities
          
          
            2036-07-25
          
          0.339
          228504.00
          163943.87
          Private Label Collateralized Mortgage Obligations
        
        
          ONEMAIN FINANCIAL CORPORATION 6.875%25-Corporate Debt Securities
          
          
            2025-03-15
          
          6.875
          1155000.00
          1342146.09
          Private Label Collateralized Mortgage Obligations
        
        
          SPRINT NEXTEL CORP SR NT 11.5%21-Corporate Debt Securities
          
          
            2021-11-15
          
          11.500
          167000.00
          175927.54
          Private Label Collateralized Mortgage Obligations
        
        
          STATION CASINOS LLC SR GLBL 144A 28-Corporate Debt Securities
          
          
            2028-02-15
          
          4.500
          1000000.00
          1025445.00
          Private Label Collateralized Mortgage Obligations
        
        
          NORTONLIFELOCK INC SR GLBL 144A 25-Corporate Debt Securities
          
          
            2025-04-15
          
          5.000
          2172000.00
          2225394.99
          Private Label Collateralized Mortgage Obligations
        
        
          TARGA RES PARTNERS / TARGA RES SR GLBL 144A 32-Corporate Debt Securities
          
          
            2032-01-15
          
          4.000
          11000.00
          11375.83
          Private Label Collateralized Mortgage Obligations
        
        
          TENET HEALTHCARE CORP SR NT 6.75%23-Corporate Debt Securities
          
          
            2023-06-15
          
          6.750
          2000.00
          2189.37
          Private Label Collateralized Mortgage Obligations
        
        
          TOPAZ SOLAR FARMS LLC SR SEC GLBL 39-Corporate Debt Securities
          
          
            2039-09-30
          
          5.750
          2318.00
          2738.50
          Private Label Collateralized Mortgage Obligations
        
        
          TRANSOCEAN PHOENIX 2 LIMITED SR SEC 144A 24-Corporate Debt Securities
          
          
            2024-10-15
          
          7.750
          2000.00
          1133.11
          Private Label Collateralized Mortgage Obligations
        
        
          TWILIO INC SR GLBL NT 31-Corporate Debt Securities
          
          
            2031-03-15
          
          3.875
          66000.00
          69919.54
          Private Label Collateralized Mortgage Obligations
        
        
          UNITED AIRLINES PT CERT 2007-1 A 20240102 6.63600-Asset-Backed Securities
          
          
            2024-01-02
          
          6.636
          18000.00
          5238.70
          Private Label Collateralized Mortgage Obligations
        
        
          UNITED STATES STL CORP SR GLBL NT 29-Corporate Debt Securities
          
          
            2029-03-01
          
          6.875
          1000.00
          1113.88
          Private Label Collateralized Mortgage Obligations
        
        
          UNITI GROUP LP / UNITI FIBER/ SR SEC GLBL 25-Corporate Debt Securities
          
          
            2025-02-15
          
          7.875
          1006000.00
          1105698.37
          Private Label Collateralized Mortgage Obligations
        
        
          UNITI GROUP LP / UNITI FIBER/ SR GLBL 144A 29-Corporate Debt Securities
          
          
            2029-02-15
          
          6.500
          1820000.00
          1902625.97
          Private Label Collateralized Mortgage Obligations
        
        
          VIATRIS INC SR GLBL 144A 50-Corporate Debt Securities
          
          
            2050-06-22
          
          4.000
          2039000.00
          2213400.20
          Private Label Collateralized Mortgage Obligations
        
        
          VALE OVERSEAS LTD SR GLBL NT 30-Corporate Debt Securities
          
          
            2030-07-08
          
          3.750
          535000.00
          573943.54
          Private Label Collateralized Mortgage Obligations
        
        
          VIDEOTRON LTD/ VIDEOTRON LTEE SR 144A NT 29-Corporate Debt Securities
          
          
            2029-06-15
          
          3.625
          201000.00
          207323.43
          Private Label Collateralized Mortgage Obligations
        
        
          W & T OFFSHORE INC SR SEC GLBL 23-Corporate Debt Securities
          
          
            2023-11-01
          
          9.750
          31000.00
          30507.22
          Private Label Collateralized Mortgage Obligations
        
        
          MILLICOM INTL CELLULAR S A 6.25%29-Corporate Debt Securities
          
          
            2029-03-25
          
          6.250
          322000.00
          323431.69
          Private Label Collateralized Mortgage Obligations
        
        
          USIMINAS INTL S A R L SR GLBL REGS 26-Corporate Debt Securities
          
          
            2026-07-18
          
          5.875
          3619000.00
          3890310.39
          Private Label Collateralized Mortgage Obligations
        
        
          HAT HLDGS I LLC / HAT HLDGS II SR GLBL REGS 25-Corporate Debt Securities
          
          
            2025-04-15
          
          6.000
          112000.00
          119716.80
          Private Label Collateralized Mortgage Obligations
        
      
      Y
      
        FITCH'S RATING
        F1
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1
      
      2021-08-05
      2021-08-05
      2021-08-05
      N
      N
      N
      0.0020
      100000000.00
      100000000.00
      0.0144
      N
      N
      Y
      N
      - N/A -
    
    
      SUMITOMO MITSUI BANK NY
      SUMITOMO MITSUI BANK NY
      86565CU49
      Certificate of Deposit
      Y
      
        FITCH'S RATING
        F1
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1
      
      2021-12-01
      2021-12-01
      2021-12-01
      N
      N
      N
      0.0013
      200002736.00
      200002736.00
      0.0289
      N
      N
      N
      N
      - N/A -
    
    
      SUMITOMO MITSUI BANK NY
      SUMITOMO MITSUI BANK NY
      86565C2K4
      Certificate of Deposit
      Y
      
        FITCH'S RATING
        F1
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1
      
      2022-02-01
      2022-02-01
      2022-02-01
      N
      N
      N
      0.0017
      55003686.10
      55003686.10
      0.0079
      N
      N
      N
      N
      - N/A -
    
    
      SUMITOMO MITSUI TRUST NY
      SUMITOMO MITSUI TRUST NY
      86564GXL0
      Certificate of Deposit
      Y
      
        FITCH'S RATING
        F1
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1
      
      2021-08-02
      2021-11-12
      2021-11-12
      N
      N
      N
      0.0020
      150038361.00
      150038361.00
      0.0216
      N
      N
      N
      N
      - N/A -
    
    
      SUMITOMO MITSUI TRUST NY
      SUMITOMO MITSUI TRUST NY
      86564GUC3
      Certificate of Deposit
      Y
      
        FITCH'S RATING
        F1
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1
      
      2021-09-21
      2021-09-21
      2021-09-21
      N
      N
      N
      0.0021
      50008607.50
      50008607.50
      0.0072
      N
      N
      N
      N
      - N/A -
    
    
      SUMITOMO MITSUI TRUST NY
      SUMITOMO MITSUI TRUST NY
      86564GVL2
      Certificate of Deposit
      Y
      
        FITCH'S RATING
        F1
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1
      
      2021-10-12
      2021-10-12
      2021-10-12
      N
      N
      N
      0.0019
      50009756.00
      50009756.00
      0.0072
      N
      N
      N
      N
      - N/A -
    
    
      SVENSKA HANDELSBANKEN AB
      SVENSKA HANDELSBANKEN AB
      86960JYC3
      Financial Company Commercial Paper
      Y
      
        FITCH'S RATING
        F1+
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1+
      
      2021-11-12
      2021-11-12
      2021-11-12
      N
      N
      N
      0.0018
      40303829.52
      40303829.52
      0.0058
      N
      N
      N
      N
      - N/A -
    
    
      SVENSKA HANDELSBANKEN AB
      SVENSKA HANDELSBANKEN AB
      86960LBL3
      Financial Company Commercial Paper
      Y
      
        FITCH'S RATING
        F1+
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1+
      
      2021-08-02
      2021-08-02
      2021-08-02
      N
      N
      N
      0.0022
      130000000.00
      130000000.00
      0.0188
      N
      Y
      Y
      N
      - N/A -
    
    
      SVENSKA HANDELSBANKEN AB
      SVENSKA HANDELSBANKEN AB
      86960LBQ2
      Financial Company Commercial Paper
      Y
      
        FITCH'S RATING
        F1+
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1+
      
      2021-08-09
      2021-08-09
      2021-08-09
      N
      N
      N
      0.0020
      120001538.40
      120001538.40
      0.0173
      N
      N
      N
      N
      - N/A -
    
    
      SWEDBANK AB
      SWEDBANK AB
      87019SDJ0
      Financial Company Commercial Paper
      Y
      
        FITCH'S RATING
        F1+
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1+
      
      2022-04-18
      2022-04-18
      2022-04-18
      N
      N
      N
      0.0018
      71436507.84
      71436507.84
      0.0103
      N
      N
      N
      N
      - N/A -
    
    
      SWEDBANK AB
      SWEDBANK AB
      87019SDL5
      Financial Company Commercial Paper
      Y
      
        FITCH'S RATING
        F1+
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1+
      
      2022-04-20
      2022-04-20
      2022-04-20
      N
      N
      N
      0.0018
      69912220.00
      69912220.00
      0.0101
      N
      N
      N
      N
      - N/A -
    
    
      SWEDBANK AB
      SWEDBANK AB
      87019RV94
      Financial Company Commercial Paper
      Y
      
        FITCH'S RATING
        F1+
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1+
      
      2021-08-09
      2021-08-09
      2021-08-09
      N
      N
      N
      0.0018
      199996944.00
      199996944.00
      0.0289
      N
      N
      N
      N
      - N/A -
    
    
      TORONTO DOMINION BANK NY
      TORONTO DOMINION BANK NY
      89114WB87
      Certificate of Deposit
      Y
      
        FITCH'S RATING
        F1+
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1+
      
      2021-08-02
      2022-06-20
      2022-06-20
      N
      N
      N
      0.0026
      120079776.00
      120079776.00
      0.0173
      N
      N
      N
      N
      - N/A -
    
    
      TORONTO DOMINION BANK NY
      TORONTO DOMINION BANK NY
      89114WBU8
      Certificate of Deposit
      Y
      
        FITCH'S RATING
        F1+
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1+
      
      2021-09-09
      2021-12-09
      2021-12-09
      N
      N
      N
      0.0014
      19996000.00
      19996000.00
      0.0029
      N
      N
      N
      N
      - N/A -
    
    
      TORONTO-DOMINION BANK/THE
      TORONTO-DOMINION BANK/THE
      89120DT66
      Financial Company Commercial Paper
      Y
      
        FITCH'S RATING
        F1+
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1+
      
      2021-08-02
      2022-05-25
      2022-05-25
      N
      N
      N
      0.0023
      160029092.80
      160029092.80
      0.0231
      N
      N
      N
      N
      - N/A -
    
    
      TREASURY BILL
      TREASURY BILL
      912796G78
      U.S. Treasury Debt
      Y
      
        FITCH'S RATING
        F1+
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1+
      
      2021-10-28
      2021-10-28
      2021-10-28
      N
      N
      N
      0.0003
      99987917.00
      99987917.00
      0.0144
      N
      Y
      Y
      N
      - N/A -
    
    
      TREASURY BILL
      TREASURY BILL
      9127965G0
      U.S. Treasury Debt
      Y
      
        FITCH'S RATING
        F1+
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1+
      
      2021-12-02
      2021-12-02
      2021-12-02
      N
      N
      N
      0.0004
      149977125.00
      149977125.00
      0.0216
      N
      Y
      Y
      N
      - N/A -
    
    
      WELLS FARGO
      WELLS FARGO
      
      22101
      0001224385
      Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash
      Y
      
        N
        
          Inter-American Development Bank-Other Instrument (international debt)
          
          
            2024-01-16
          
          2.625
          200000.00
          211344.16
          Other Instrument
          International Debt
        
        
          Inter-American Development Bank-Other Instrument (international debt)
          
          
            2023-05-24
          
          0.500
          51266000.00
          51578551.71
          Other Instrument
          International Debt
        
        
          International Bank for Reconstruction and Development (World Bank)-Other Instrument (international debt)
          
          
            2022-07-01
          
          2.125
          697000.00
          710899.43
          Other Instrument
          International Debt
        
      
      Y
      
        FITCH'S RATING
        NR
      
      
        MOODY'S RATING
        NR
      
      
        S&P RATING
        A-1
      
      2021-08-02
      2021-08-02
      2021-08-02
      N
      N
      N
      0.0018
      50000000.00
      50000000.00
      0.0072
      N
      Y
      Y
      N
      - N/A -
    
    
      WESTPAC BANKING CORP
      WESTPAC BANKING CORP
      9612C1D12
      Financial Company Commercial Paper
      Y
      
        FITCH'S RATING
        F1
      
      
        MOODY'S RATING
        P-1
      
      
        S&P RATING
        A-1+
      
      2022-04-01
      2022-04-01
      2022-04-01
      N
      N
      N
      0.0023
      99908125.00
      99908125.00
      0.0144
      N
      N
      N
      N
      - N/A -
    
    
      Dreyfus Cash Management
      2021-08-04
      /S/Robert Svagna
      Robert Svagna
      Treasury Manager
    
  





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