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					The Schedule of Investments as of the report date is unaudited, and the accuracy and completeness of the information contained herein is not guaranteed. It is made available on an "as is" basis, and Russell does not make any warranty or representation regarding the information. Russell assumes no obligation to update or supplement the Schedule to reflect subsequent changes. Russell reserves the right at anytime and without notice to change, amend or cease publishing the information. In addition to the fund’s schedule of investments, a fund may also invest in futures, written options, foreign currency exchange contracts, interest rate swap contracts, index swap contracts and credit default swap contracts. For more information regarding the fund and its holdings, please see the most recent Annual Report of the Russell Investment Company Funds. Fund objectives, risks, charges and expenses should be carefully considered before investing. A prospectus containing this and other important information can be obtained by calling (800) 787-7354 or visiting www.russell.com. Please read the prospectus carefully before investing.

Russell Investment Company Russell Investment Grade Bond Fund (CH4C) Schedule of Investments - 9/30/2009 (Unaudited) CUSIP 00252FCC3 004375AX9 004421TP8 004427BN9 00442BAB7 00764MAW7 00922KAA8 03072SEB7 03072SVQ5 00075WAB5 04541GWC2 05522RBJ6 05950TAA3 07325NCR1 07384YGX8 07384YKL9 073859AA8 073877CC4 07387YAA1 07388EAJ5 05569QAB0 05567YAA7 123281AW7 144528AC0 144531DL1 15231AAD8 161571CT9 17309UAA3 17312EAB2 17313BAB7 12666TAD8 126670QT8 126670WA2 126670XM5 126670ZL5 1266712U9 126671NA0 126673QH8 12667NAC2 12669VAB4 126685AM8 23242JAQ1 23242QAE2 Security Name Aames Mortgage Investment Trust Accredited Mortgage Loan Trust ACE Securities Corp. ACE Securities Corp. ACE Securities Corp. Aegis Asset Backed Securities Trust Air 2 US Ameriquest Mortgage Securities, Inc. Ameriquest Mortgage Securities, Inc. Asset Backed Funding Certificates Asset Backed Securities Corp. Home Equity BA Credit Card Trust Banc of America Mortgage Securities, Inc. Bayview Financial Acquisition Trust Bear Stearns Asset Backed Securities Trust Bear Stearns Asset Backed Securities Trust Bear Stearns Asset Backed Securities Trust Bear Stearns Asset Backed Securities Trust Bear Stearns Asset Backed Securities Trust Bear Stearns Asset Backed Securities Trust BNC Mortgage Loan Trust Burlington Northern and Santa Fe Railway Co. 2005-4 Pass Through Trust Business Loan Express Carrington Mortgage Loan Trust Carrington Mortgage Loan Trust Centex Home Equity Chase Issuance Trust Citigroup Mortgage Loan Trust, Inc. Citigroup Mortgage Loan Trust, Inc. Citigroup Mortgage Loan Trust, Inc. Countrywide Asset-Backed Certificates Countrywide Asset-Backed Certificates Countrywide Asset-Backed Certificates Countrywide Asset-Backed Certificates Countrywide Asset-Backed Certificates Countrywide Asset-Backed Certificates Countrywide Asset-Backed Certificates Countrywide Asset-Backed Certificates Countrywide Asset-Backed Certificates Countrywide Asset-Backed Certificates Countrywide Home Equity Loan Trust Countrywide Home Equity Loan Trust Countrywide Home Equity Loan Trust Coupon 0.396 0.546 0.646 1.746 0.306 2.721 8.027 3.996 0.636 0.306 0.496 0.443 5.998 5.865 0.746 0.696 0.336 0.646 1.496 0.446 0.346 4.967 1.046 0.396 0.566 0.496 0.893 0.446 0.356 0.306 6.300 5.711 0.366 0.446 0.426 0.746 0.726 0.846 0.406 0.326 0.473 0.793 0.383 Maturity 08/25/2035 07/25/2034 08/25/2045 12/25/2033 10/25/2036 01/25/2034 10/01/2019 02/25/2033 11/25/2034 01/25/2037 03/25/2036 01/15/2013 10/20/2046 02/28/2041 11/25/2042 12/25/2033 06/25/2047 06/25/2035 08/25/2037 06/25/2036 05/25/2037 04/01/2023 01/25/2032 08/25/2036 10/25/2035 06/25/2036 11/15/2011 11/25/2045 03/25/2037 05/25/2037 09/25/2046 05/25/2036 06/25/2036 04/25/2036 09/25/2036 02/25/2034 12/25/2031 05/25/2036 11/25/2036 10/25/2047 12/15/2035 08/15/2037 07/15/2036 Shares 203,680 131,066 242,493 89,560 138,024 340,923 649,812 155,000 1,968 146,946 1,346,029 8,200,000 222,683 410,000 118,905 98,754 39,056 12,966 722,985 255,561 155,522 180,527 243,225 2,105,000 166,067 1,700,000 4,420,000 817,929 245,030 842,331 505,000 2,250,000 245,076 933,217 461,491 208,705 77,902 310,000 2,220,000 110,712 914,695 1,178,116 689,189 Market Value 182,389.78 62,449.50 198,385.65 70,177.83 91,242.71 161,585.52 458,117.35 50,963.60 1,707.17 130,105.83 47,954.17 8,169,144.22 163,097.92 248,915.59 93,685.77 77,603.11 31,102.78 12,305.38 467,154.73 238,776.98 109,922.91 183,175.21 102,972.05 789,887.15 149,648.47 822,197.69 4,422,305.03 493,411.83 184,323.20 704,625.24 187,334.45 877,025.93 164,683.03 663,732.40 341,981.15 140,285.62 39,643.67 33,110.42 1,126,537.22 99,756.83 284,104.30 573,541.98 244,732.76 Cost ___ 203,651.78 131,139.51 242,492.69 89,887.25 137,717.75 345,158.15 677,888.59 157,702.02 1,821.59 146,871.06 1,346,029.09 8,110,546.78 220,248.00 408,440.44 119,134.42 98,767.90 39,056.15 12,977.56 727,236.03 254,999.77 155,521.61 180,527.07 243,296.80 2,105,153.09 166,042.66 1,182,432.08 4,420,000.00 817,128.14 245,029.54 626,061.29 501,411.20 1,431,833.06 244,932.26 934,080.19 461,763.28 208,924.51 77,962.40 309,451.65 2,220,000.00 110,711.67 914,695.36 1,156,279.55 689,188.87 Industry Name Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Security Type Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Country United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States Ticker Sedol B07C4N9 B1YLRV5 B3D27W4 2524531

B1L61H7

B1LCFL7 B248L00 B199HX6 B0YBPF8

B1W8YN9

B3KCYF9

761545AD4 12489WMT8 1248M6AA4 17307GLN6

Countrywide Home Equity Loan Trust Credit-Based Asset Servicing and Securitization LLC Credit-Based Asset Servicing and Securitization LLC Credit-Based Asset Servicing and Securitization LLC

0.483 0.506 0.556 4.585

04/15/2035 08/25/2035 05/25/2046 10/25/2034

187,076 146,702 1,098,719 550,000

69,851.46 119,887.00 589,550.76 458,314.34

187,207.83 146,930.92 1,098,719.22 526,376.50

Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities

Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities

United States United States United States United States

126650AQ3 233889AD6 233889AF1 247367BH7 288542AB9 288542AD5 31392CXY5 31393AU96 31358P7A9 31359XFT1 31393AS40 31393B6U4 3024275H8 32027NLM1 3133THB89 36829JAA9 38012UAA7 362334FE9 3623415S4 36228FVU7 40430GAA8 40430VAF4 40430YAA9 40431FAA9 44328BAC2 46629KAC3 46630LAV6 46630XAC2 52522DAA9 52523KAA2 86359DKM8 86359DLE5 542514HN7 54251WAB8 57643LBZ8 61746RDP3 61750MAC9 61753EAB6 61755AAB2 61755CAA0 61749EAA5 55353WAC0 63860LAB6 64032JAD8 64352VJK8 68389FDK7 68389FDV3 68400XBM1 68403FAB2 68403KAA3 68389CBL4 68619ABS5 68620BAA0 69121TAD7 70069FKE6 73316PJD3 74919MAA4 75970NAL1 759950BD9 759950FH6 759950GY8

CVS Pass-Through Trust Daimler Chrysler Auto Trust Daimler Chrysler Auto Trust Delta Air Lines, Inc. Ellington Loan Acquisition Trust Ellington Loan Acquisition Trust Fannie Mae Grantor Trust Fannie Mae Grantor Trust Fannie Mae REMICS Fannie Mae REMICS Fannie Mae Whole Loan Fannie Mae Whole Loan FHA Project Citi 68 NP First Franklin Mortgage Loan Asset Backed Certificates Freddie Mac REMICS GE-WMC Mortgage Securities LLC GMAC Mortgage Corp. Loan Trust GSAA Trust GSAA Trust GSAMP Trust HFC Home Equity Loan Asset Backed Certificates HFC Home Equity Loan Asset Backed Certificates HFC Home Equity Loan Asset Backed Certificates HFC Home Equity Loan Asset Backed Certificates HSI Asset Securitization Corp. Trust JP Morgan Mortgage Acquisition Corp. JP Morgan Mortgage Acquisition Corp. JP Morgan Mortgage Acquisition Corp. Lehman XS Trust Lehman XS Trust Lehman XS Trust Lehman XS Trust Long Beach Mortgage Loan Trust Long Beach Mortgage Loan Trust Master Asset Backed Securities Trust Morgan Stanley ABS Capital I Morgan Stanley ABS Capital I Morgan Stanley ABS Capital I Morgan Stanley ABS Capital I Morgan Stanley ABS Capital I Morgan Stanley Mortgage Loan Trust MSDWCC Heloc Trust Nationstar Home Equity Loan Trust Nelnet Student Loan Trust New Century Home Equity Loan Trust Option One Mortgage Loan Trust Option One Mortgage Loan Trust Option One Mortgage Loan Trust Option One Mortgage Loan Trust Option One Mortgage Loan Trust Option One Mortgage Securities Corp. NIM Trust Origen Manufactured Housing Origen Manufactured Housing Ownit Mortgage Loan Asset Backed Certificates Park Place Securities, Inc. Popular ABS Mortgage Pass-Through Trust RAAC Series Renaissance Home Equity Loan Trust Renaissance Home Equity Loan Trust Renaissance Home Equity Loan Trust Renaissance Home Equity Loan Trust

5.789 1.184 1.734 6.821 1.246 1.496 0.486 0.466 7.750 7.000 0.466 0.486 7.430 0.626 6.000 0.286 0.426 5.910 0.516 1.221 0.536 0.396 0.396 0.446 0.296 0.296 0.376 0.326 0.326 0.366 1.746 1.746 0.526 0.306 2.721 3.396 0.296 0.336 0.306 0.306 0.366 0.436 0.366 1.984 0.776 2.796 2.721 3.246 0.336 0.306 0.346 5.910 0.393 0.406 0.696 5.680 0.496 4.934 0.746 5.357 5.746

01/10/2026 07/08/2011 09/10/2012 08/10/2022 05/26/2037 05/29/2037 05/25/2032 09/26/2033 08/25/2022 12/18/2029 04/25/2033 06/25/2033 06/27/2021 10/25/2034 12/15/2028 08/25/2036 12/25/2036 03/25/2036 12/25/2035 08/25/2033 01/20/2034 03/20/2036 03/20/2036 03/20/2036 12/25/2036 08/25/2036 11/25/2036 03/25/2037 11/25/2046 11/25/2036 07/25/2035 07/25/2035 10/25/2034 10/25/2036 08/25/2033 09/25/2033 09/25/2036 01/25/2037 05/25/2037 05/25/2037 10/25/2036 07/25/2017 04/25/2037 04/25/2024 02/25/2035 04/25/2033 07/25/2033 06/25/2033 04/25/2037 07/25/2037 12/25/2010 01/15/2037 11/15/2018 09/25/2037 09/25/2035 01/25/2036 02/25/2037 08/25/2035 12/25/2033 05/25/2035 05/25/2036

253,423 414,354 400,000 1,426,824 687,761 1,000,000 516,363 138,002 165,606 301,941 181,801 281,042 68,447 12,087 427,836 28,513 440,197 454,079 570,000 105,333 434,926 1,900,000 1,243,832 2,075,562 65,995 16,208 2,575,000 300,334 202,422 38,751 109,619 419,320 34,016 137,582 83,513 48,104 213,994 2,800,000 81,243 121,223 75,519 70,141 241,504 490,000 370,000 67,438 98,946 107,300 956,872 309,789 883,711 100,000 263,329 2,390,000 370,000 288,815 473,614 585,000 335,170 171,817 298,621

226,813.77 415,001.35 401,625.12 1,319,811.96 559,546.52 353,665.30 433,553.87 104,532.31 180,614.27 329,115.91 158,756.26 267,275.16 68,574.04 11,790.30 460,306.43 17,923.97 170,607.90 62,947.95 123,955.45 60,845.00 367,330.68 1,490,540.50 1,048,169.18 1,641,949.31 44,559.93 15,795.59 1,489,935.43 247,346.71 177,813.42 38,335.30 60,513.79 230,033.57 25,939.05 136,051.28 26,129.84 5,735.86 210,477.04 1,101,556.68 67,610.63 92,999.69 68,570.52 32,251.73 222,578.66 501,926.70 266,419.09 11,069.33 27,966.18 27,792.23 918,466.45 275,447.25 397,670.07 88,382.84 241,744.49 809,078.10 156,354.79 255,131.79 261,408.76 395,301.47 216,016.43 54,356.67 203,955.99

248,646.77 414,354.13 400,000.00 1,426,823.73 688,797.03 1,007,458.52 516,363.43 138,001.81 160,952.16 306,228.76 181,800.69 281,042.06 64,082.68 12,116.81 386,680.79 28,512.59 439,874.25 454,794.86 569,573.81 105,661.61 425,799.93 1,105,630.17 1,243,832.19 1,865,190.72 65,995.40 16,208.40 1,020,160.49 300,334.45 202,400.48 38,751.40 109,408.80 416,823.69 34,052.35 137,585.06 83,995.05 48,600.82 213,993.63 1,019,059.92 81,242.73 121,223.02 75,530.28 70,141.24 241,503.71 490,000.00 370,889.83 68,425.19 100,578.93 108,926.44 956,872.44 309,788.51 883,764.37 99,961.04 263,229.60 2,390,000.00 370,523.90 288,815.11 473,614.05 576,603.36 335,218.57 168,796.13 298,513.45

Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities

Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities

United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States

B1FSD84 B2RHHC8 B2R0761

B02MGL6

B1G2L81 B199HX6 B17B068

B1L4B15 B1FH5N0

B23DCZ8

B07TJX5 B3B1Y55

B12V0L8 B19G7H1

B06KR13 B195X69

760985K26 760985SU6

Residential Asset Mortgage Products, Inc. Residential Asset Mortgage Products, Inc.

5.980 0.926

12/25/2033 03/25/2033

233,348 98,515

181,870.90 55,401.99

235,327.66 Asset-Backed Securities 98,514.95 Asset-Backed Securities

Long-Term Securities Long-Term Securities

United States United States

760985UC3 76110WLC8 76110WLD6 76110WME3 76110WQT6 76110WQV1 785778LS8 805564PL9 81441WAA4 826501AB4 784442AA3 78445CAA0 83164JXQ4 83612MAD9 84751PAA7 86358ERW8 86358RL21 86358RXZ5 86359PAB6 86363WAF6 89789KAA3 92975TAA2 9497EVAA3 001192AG8 013817AR2 02003MBQ6 02209SAD5 02209SAE3 02209SAH6 023763AA3 025816AU3 025816AY5 025816AZ2 025816BB4 0258M0BW8 0258M0CW7 0258M0CZ0 02635PTE3 02635PTS2 026874AX5 026874BE6 026874BT3 02687QDG0 032511AX5 032511AY3 032654AE5 03523TAB4 037411AR6 037411AU9 037735CH8 045184AA6 00206RAS1 78387GAP8 05518VAA3 05518WAA1 05523UAG5 057224AY3 060505BF0 060505DH4 060505DP6 060505DT8

Residential Asset Mortgage Products, Inc. Residential Asset Securities Corp. Residential Asset Securities Corp. Residential Asset Securities Corp. Residential Asset Securities Corp. Residential Asset Securities Corp. SACO I, Inc. Saxon Asset Securities Trust Security National Mortgage Loan Trust Sierra Receivables Funding Co. SLM Student Loan Trust SLM Student Loan Trust Small Business Administration Pools Soundview Home Equity Loan Trust Specialty Underwriting & Residential Finance Structured Asset Investment Loan Trust Structured Asset Securities Corp. Structured Asset Securities Corp. Structured Asset Securities Corp. Structured Asset Securities Corp. Truman Capital Mortgage Loan Trust Wachovia Asset Securitization, Inc. Wells Fargo Home Equity Trust AGL Capital Corp. Alcoa, Inc. Allstate Life Global Funding Trusts Altria Group, Inc. Altria Group, Inc. Altria Group, Inc. American Airlines Pass Through Trust 2009-1A American Express Co. American Express Co. American Express Co. American Express Co. American Express Credit Corp. American Express Credit Corp. American Express Credit Corp. American General Finance Corp. American General Finance Corp. American International Group, Inc. American International Group, Inc. American International Group, Inc. American International Group, Inc. Anadarko Petroleum Corp. Anadarko Petroleum Corp. Analog Devices, Inc. Anheuser-Busch InBev Worldwide, Inc. Apache Corp. Apache Corp. Appalachian Power Co. ASIF Global Financing XIX AT&T, Inc. AT&T, Inc. BAC Capital Trust XIV BAC Capital Trust XV BAE Systems Holdings, Inc. Baker Hughes, Inc. Bank of America Corp. Bank of America Corp. Bank of America Corp. Bank of America Corp.

0.966 6.349 0.716 0.706 4.800 6.100 0.766 0.786 0.526 0.396 0.804 0.904 3.080 0.386 0.926 0.686 0.536 3.450 0.296 0.386 0.506 0.496 0.346 5.250 6.000 5.375 9.700 9.950 10.200 10.375 6.800 7.000 8.150 8.125 0.396 5.875 5.125 0.720 6.900 5.050 6.250 8.250 5.850 5.950 6.450 5.000 7.750 6.000 6.000 5.650 4.900 6.550 5.100 5.630 1.161 4.950 7.500 4.375 6.000 5.750 8.125

04/25/2033 03/25/2032 03/25/2032 09/25/2031 04/25/2033 04/25/2033 09/25/2035 03/25/2035 01/25/2037 05/20/2018 01/25/2015 10/27/2014 09/25/2018 12/25/2036 01/25/2034 04/25/2035 01/25/2033 02/25/2032 10/25/2036 05/25/2047 03/25/2036 11/25/2033 03/25/2037 08/15/2019 07/15/2013 04/30/2013 11/10/2018 11/10/2038 02/06/2039 07/02/2019 09/01/2066 03/19/2018 03/19/2038 05/20/2019 10/04/2010 05/02/2013 08/25/2014 08/17/2011 12/15/2017 10/01/2015 03/15/2037 08/15/2018 01/16/2018 09/15/2016 09/15/2036 07/01/2014 01/15/2019 01/15/2037 09/15/2013 08/15/2012 01/17/2013 02/15/2039 09/15/2014 12/31/2049 06/01/2056 06/01/2014 11/15/2018 12/01/2010 09/01/2017 12/01/2017 12/29/2049

60,896 517,890 49,798 42,439 295,434 115,225 57,444 57,123 282,015 135,147 139,624 1,137,015 153,183 2,550,000 25,425 500,000 12,243 360,352 135,168 2,300,000 919,311 116,664 101,434 600,000 500,000 400,000 425,000 760,000 660,000 1,000,000 170,000 200,000 385,000 620,000 1,300,000 1,900,000 710,000 2,000,000 130,000 200,000 1,800,000 1,760,000 80,000 655,000 290,000 505,000 1,575,000 200,000 460,000 175,000 50,000 490,000 240,000 20,000 1,300,000 585,000 630,000 1,350,000 1,000,000 1,180,000 310,000

36,044.19 319,081.47 38,078.43 27,675.29 113,779.99 13,365.39 16,495.08 31,085.60 212,266.85 104,450.68 139,431.80 1,135,675.05 157,835.72 1,549,721.96 14,231.28 117,239.85 7,326.52 299,685.21 126,534.85 999,585.52 472,669.49 59,283.23 99,942.20 615,819.00 521,929.00 425,760.40 527,874.23 1,033,292.96 916,135.44 1,090,000.00 144,500.00 220,015.60 469,827.05 733,268.42 1,283,683.70 2,014,520.60 734,436.07 1,604,998.00 90,919.53 148,207.20 891,000.00 1,495,704.32 57,920.64 694,011.15 299,422.97 530,577.75 1,863,634.50 222,537.80 511,675.48 187,940.73 45,394.50 534,218.58 258,760.32 13,100.00 722,043.40 606,604.05 769,423.41 1,374,776.55 1,011,733.00 1,177,848.86 275,602.40

60,895.89 448,447.61 49,837.21 42,466.76 290,851.20 111,781.22 57,460.35 57,123.07 282,023.71 134,962.89 139,624.48 1,137,015.02 161,029.84 1,277,376.12 25,425.11 500,212.44 12,243.07 327,303.23 135,168.39 1,912,166.30 919,311.08 116,664.36 101,434.48 598,712.21 498,765.19 399,702.93 469,394.17 742,674.65 659,756.66 1,000,000.00 177,034.66 199,319.91 315,998.76 618,034.55 1,188,419.82 1,868,209.88 709,330.59 1,923,724.30 129,199.45 199,559.93 1,785,904.90 997,855.61 79,620.29 636,458.07 288,681.79 502,955.15 1,573,847.27 198,650.86 458,020.21 174,808.22 49,937.24 487,261.44 234,795.48 18,231.58 326,562.51 583,892.52 626,551.25 1,340,487.96 1,003,772.87 1,177,271.79 310,000.00

Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Asset-Backed Securities Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes

Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities

United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States

B0NZTC6 B00KB51

B1YNH66

B1VWHW2 B3BPLM3 B2R7YV6 B3FF981 B3FFY97 B4Y52N5 B3Q6SS6 B19PRD4 B2QCTY0 B2QHSH1 B4N3SZ4 B0LVWL6 B39Q9Z7 B45VB91 B1GN612 B29ZW92 B1FRLB0 B1TSL64 B3PCFD9 B29Y5Y5 B1FGZH1 B1FGZM6 B3LCT64 B3KWPQ7 B1P8FN3 B3DJDX8 B2425Y4 2275549 B4SYWV6 B03N4L4 B1RMD73 B2R8CR1 B549F46 B3F4DL9 2172695 B244313 B29R072 B2R6CM0

06051GEA3 06050TJN3

Bank of America Corp. Bank of America NA

6.500 0.579

08/01/2016 06/15/2016

920,000 1,200,000

967,058.92 1,024,413.60

917,737.65 Corporate Bonds and Notes 1,181,199.49 Corporate Bonds and Notes

Long-Term Securities Long-Term Securities

United States United States

B3YK0T5 B191F50

06050TJZ6 06050TKX9 40411EAB4 066047AA9 06739FFZ9 073902PR3 073902RU4 079860AJ1 079867AP2 097023AZ8 12189TAG9 14040HAS4 14170TAC5 144141CS5 14912L4C2 92344SAG5 92344SAQ3 15135UAE9 15189XAC2 15189WAC4 15189YAB2 17275RAD4 17290CAB2 17314JAA1 17314JAG8 173034GV5 173094AA1 17313YAJ0 172967BP5 172967CQ2 172967DP3 172967DR9 172967EH0 172967EJ6 172967EL1 172967EM9 172967EP2 172967EQ0 172967ES6 172967EU1 172967EV9 172967EW7 172967EZ0 17313UAE9 189054AP4 199575AR2 879240AN9 20030NAB7 20030NAK7 20030NAP6 20030NAU5 20030NAY7 20825CAP9 20825CAQ7 208251AE8 21079NAA9 21079TAA6 22238HGQ7 224044BD8 22546QAA5 22546QAC1

Bank of America NA Bank of America NA Bank of Scotland PLC BankAmerica Capital III Barclays Bank PLC Bear Stearns Cos. LLC (The) Bear Stearns Cos. LLC (The) BellSouth Corp. BellSouth Telecommunications, Inc. Boeing Co. (The) Burlington Northern Santa Fe Corp. Capital One Financial Corp. CareFusion Corp. Carolina Power & Light Co. Caterpillar Financial Services Corp. Cellco Partnership / Verizon Wireless Capital LLC Cellco Partnership / Verizon Wireless Capital LLC Cenovus Energy, Inc. CenterPoint Energy Houston Electric LLC CenterPoint Energy Resources Corp. CenterPoint Energy Resources Corp. Cisco Systems, Inc. Citibank NA Citibank NA Citibank NA Citicorp Citigroup Capital XXI Citigroup Funding, Inc. Citigroup, Inc. Citigroup, Inc. Citigroup, Inc. Citigroup, Inc. Citigroup, Inc. Citigroup, Inc. Citigroup, Inc. Citigroup, Inc. Citigroup, Inc. Citigroup, Inc. Citigroup, Inc. Citigroup, Inc. Citigroup, Inc. Citigroup, Inc. Citigroup, Inc. Citigroup, Inc. Clorox Co. Columbus Southern Power Co. Comcast Cable Holdings LLC Comcast Corp. Comcast Corp. Comcast Corp. Comcast Corp. Comcast Corp. ConocoPhillips ConocoPhillips ConocoPhillips Holding Co. Continental Airlines, Inc. Continental Airlines, Inc. Countrywide Financial Corp. COX Communications, Inc. Credit Suisse NY Credit Suisse NY

6.000 0.599 5.250 1.079 5.200 6.400 7.250 4.750 7.000 4.875 6.875 7.375 4.125 6.500 6.200 8.500 3.025 6.750 5.700 6.125 7.875 5.900 1.875 1.625 1.875 7.250 8.300 2.250 5.625 5.000 5.850 6.125 6.000 5.500 5.300 6.125 6.875 5.500 6.125 6.500 8.500 8.125 5.500 2.125 5.450 5.500 9.800 6.500 6.500 6.500 6.300 6.550 5.900 6.500 6.950 5.983 9.000 5.800 6.750 5.500 5.300

10/15/2036 06/15/2017 02/21/2017 01/15/2027 07/10/2014 10/02/2017 02/01/2018 11/15/2012 12/01/2095 02/15/2020 12/01/2027 05/23/2014 08/01/2012 07/15/2012 09/30/2013 11/15/2018 05/20/2011 11/15/2039 03/15/2013 11/01/2017 04/01/2013 02/15/2039 05/07/2012 03/30/2011 06/04/2012 10/15/2011 12/21/2057 12/10/2012 08/27/2012 09/15/2014 07/02/2013 08/25/2036 08/15/2017 08/27/2012 10/17/2012 11/21/2017 03/05/2038 04/11/2013 05/15/2018 08/19/2013 05/22/2019 07/15/2039 10/15/2014 04/30/2012 10/15/2012 03/01/2013 02/01/2012 01/15/2015 11/15/2035 01/15/2017 11/15/2017 07/01/2039 05/15/2038 02/01/2039 04/15/2029 04/19/2022 07/08/2016 06/07/2012 03/15/2011 05/01/2014 08/13/2019

300,000 1,340,000 230,000 700,000 420,000 1,020,000 465,000 20,000 685,000 320,000 90,000 1,100,000 450,000 5,000 650,000 100,000 1,100,000 845,000 350,000 125,000 745,000 335,000 100,000 300,000 100,000 460,000 1,375,000 300,000 300,000 1,840,000 100,000 500,000 300,000 500,000 200,000 980,000 1,550,000 675,000 570,000 630,000 905,000 2,450,000 160,000 1,500,000 295,000 85,000 715,000 1,050,000 350,000 520,000 1,125,000 675,000 60,000 855,000 825,000 2,995,000 500,000 450,000 540,000 500,000 305,000

295,653.60 1,116,354.00 217,608.75 406,224.00 443,653.14 1,109,626.38 531,049.53 21,316.76 680,161.16 330,089.28 101,855.97 1,227,615.40 461,922.75 5,528.28 719,863.95 124,863.20 1,137,979.70 910,515.39 373,953.30 131,202.00 838,911.72 362,628.46 100,662.20 303,396.00 100,661.10 488,214.56 1,222,031.25 304,039.20 303,333.60 1,750,916.40 101,800.90 429,101.00 295,876.80 514,986.50 206,350.00 972,993.00 1,554,698.06 690,745.05 561,246.51 661,341.87 1,021,595.68 2,742,503.06 159,768.80 1,521,229.50 316,142.65 89,655.37 823,519.84 1,170,005.55 372,955.45 570,735.36 1,232,537.63 721,322.55 64,159.08 985,596.98 968,185.35 2,830,275.00 530,000.00 474,706.80 571,865.94 537,289.50 312,730.84

298,733.78 1,047,393.66 229,873.37 516,527.28 419,528.28 1,014,341.15 440,997.94 19,667.32 718,676.48 316,708.92 90,397.70 1,136,221.25 447,089.55 5,234.94 649,428.53 99,062.24 1,100,000.00 841,790.18 349,470.42 126,132.76 777,479.79 334,258.77 99,817.21 301,990.16 99,708.77 479,503.18 740,015.14 299,197.16 281,573.14 1,813,024.94 101,476.91 499,083.39 304,243.03 499,736.16 199,760.76 1,021,390.01 1,515,668.10 672,485.05 568,189.11 629,701.38 921,517.17 2,409,528.66 159,194.68 1,511,072.68 294,744.16 84,929.76 768,834.31 1,087,571.42 349,170.61 520,049.43 1,122,822.60 671,649.05 59,401.74 842,793.04 954,200.77 2,928,887.82 500,000.00 441,169.75 550,854.71 499,522.09 304,746.42

Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes

Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities

United States United States United Kingdom United States United Kingdom United States United States United States United States United States United States United States United States United States United States United States United States Canada United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States Switzerland Switzerland

B1G7Y98 B1R96J7 B3CVX02 B66QFT7 B284472 B2PD9G6 B03XRJ3 2568562 B3WK6M2 2821726 B4X73L7 B3NDPR8 2974211 B3DCR13 B3FMRN3 B4Z1S34 B4LX931 2330426 B28RLF8 B010967 B4YDXD6 B421P25 B3NKZ91 B550C25 2525482 B2B3JW6 B3Y3964 B23Y8H5 B05LYC7 B17NX54 B1CDG16 B23YL54 B244JW6 B28J604 B29D2R4 B2Q1QJ1 B2QTBY5 B2RB128 B3CMKD7 B4R2N29 B3Q88R1 B4MDY57 B3Q77K4 B28BM13 2010052 2947462 2223300 B0PG8W0 B192PV9 B243M80 B614024 B2RB0L0 B4T4431 5670055 B1VTZF2 B60XXG7 B1YHH57 2739841 B41KC66 B43XDV5

22541LAH6 22541LAR4

Credit Suisse USA, Inc. Credit Suisse USA, Inc.

5.500 4.875

08/15/2013 01/15/2015

115,000 110,000

124,221.39 115,496.81

114,806.20 Corporate Bonds and Notes 110,714.54 Corporate Bonds and Notes

Long-Term Securities Long-Term Securities

United States United States

2171090 B04YBH1

126650BJ8 233835BA4 23636UAA5 23311RAA4 26439XAD5 24702RAE1 247367AP0 247367AT2 25459HAJ4 257469AF3 25746UAU3 25746UBG3 260543BX0 233293AH2 233331AE7 264399EF9 26442CAB0 264399EQ5 26441CAC9 26442TAA5 26442TAB3 277461BD0 873168AL2 873168AN8 873168AQ1 29379VAA1 29379VAD5 26882PBE1 298785EZ5 30161NAC5 30161NAD3 302182AC4 313309AP1 31771EAG6 31771EAP6 337932AB3 337932AC1 33766JAE3 35671DAS4 36962G2N3 36962G3K8 36962G3M4 36962G3P7 36962G3U6 36962G4B7 36962G4C5 36962G4D3 36962GK94 36962GYY4 36967HAD9 36967HAL1 36967HAV9 36967HAY3 36967HBB2 B1XDC1II9 B249MXII7 369604BC6 762311II1 377372AD9 36186CAL7 36186CAP8

CVS Caremark Corp. Daimler Finance NA LLC Danske Bank A/S DCP Midstream LLC DCP Midstream LLC Dell, Inc. Delta Air Lines, Inc./Old Delta Air Lines, Inc./Old DirecTV Holdings LLC / DirecTV Financing Co., Inc. Dominion Resources, Inc. Dominion Resources, Inc. Dominion Resources, Inc. Dow Chemical Co. (The) DPL, Inc. DTE Energy Co. Duke Energy Carolinas LLC Duke Energy Carolinas LLC Duke Energy Corp. Duke Energy Corp. Duke University Duke University Eastman Kodak Co. Energy Future Holdings Corp. Energy Future Holdings Corp. Energy Future Holdings Corp. Enterprise Products Operating LLC Enterprise Products Operating LLC Erac USA Finance Co. European Investment Bank Exelon Corp. Exelon Corp. Express Scripts, Inc. Federal Express Corp. Financing Corp. Financing Corp. FirstEnergy Corp. FirstEnergy Corp. FirstEnergy Solutions Corp. Freeport-McMoRan Copper & Gold, Inc. General Electric Capital Corp. General Electric Capital Corp. General Electric Capital Corp. General Electric Capital Corp. General Electric Capital Corp. General Electric Capital Corp. General Electric Capital Corp. General Electric Capital Corp. General Electric Capital Corp. General Electric Capital Corp. General Electric Capital Corp. General Electric Capital Corp. General Electric Capital Corp. General Electric Capital Corp. General Electric Capital Corp. General Electric Capital Corp. General Electric Capital Corp. General Electric Co. General Motors Corp. GlaxoSmithKline Capital, Inc. GMAC, Inc. GMAC, Inc.

6.250 5.875 2.500 6.750 6.875 5.650 7.570 7.111 4.750 5.700 4.750 8.875 8.550 6.875 7.050 5.625 6.000 6.300 3.950 4.200 5.150 7.250 5.550 6.500 6.550 6.300 9.750 7.000 1.750 5.625 4.900 5.250 7.600 0.000 0.000 6.450 7.375 6.800 8.375 0.510 5.250 6.375 5.875 5.625 6.875 5.900 6.000 0.559 6.000 3.000 1.800 2.125 2.625 2.000 0.915 5.500 5.250 8.375 5.650 8.000 7.500

06/01/2027 03/15/2011 05/10/2012 09/15/2037 02/01/2011 04/15/2018 11/18/2010 09/18/2011 10/01/2014 09/17/2012 12/15/2010 01/15/2019 05/15/2019 09/01/2011 06/01/2011 11/30/2012 01/15/2038 02/01/2014 09/15/2014 04/01/2014 04/01/2019 11/15/2013 11/15/2014 11/15/2024 11/15/2034 09/15/2017 01/31/2014 10/15/2037 09/14/2012 06/15/2035 06/15/2015 06/15/2012 07/01/2097 08/03/2018 03/07/2019 11/15/2011 11/15/2031 08/15/2039 04/01/2017 08/15/2011 10/19/2012 11/15/2067 01/14/2038 05/01/2018 01/10/2039 05/13/2014 08/07/2019 09/15/2014 06/15/2012 12/09/2011 03/11/2011 12/21/2012 12/28/2012 09/28/2012 03/20/2014 09/15/2067 12/06/2017 07/05/2033 05/15/2018 12/31/2018 12/31/2013

865,000 300,000 300,000 785,000 45,000 475,000 1,240,000 500,000 220,000 455,000 90,000 390,000 3,010,000 495,000 300,000 265,000 325,000 175,000 360,000 1,300,000 1,000,000 70,000 150,000 90,000 635,000 490,000 830,000 1,755,000 2,795,000 330,000 740,000 275,000 170,000 160,000 160,000 67,000 905,000 250,000 1,090,000 300,000 1,195,000 770,000 3,095,000 580,000 1,500,000 990,000 400,000 830,000 700,000 1,200,000 200,000 1,070,000 2,400,000 600,000 800,000 300,000 505,000 160,000 930,000 159,000 309,000

919,431.86 311,315.40 303,186.30 747,295.67 46,818.05 498,568.55 1,227,600.00 487,500.00 220,000.00 497,034.27 93,110.40 493,425.66 3,383,679.46 533,020.95 319,163.40 292,619.10 364,354.58 193,598.48 365,328.00 1,366,729.00 1,078,590.00 57,400.00 102,367.05 41,626.80 285,630.62 527,770.67 1,002,131.21 1,642,873.05 2,792,404.73 318,081.39 767,087.70 291,923.23 168,420.02 110,026.08 106,274.72 72,464.59 1,014,438.94 264,985.25 1,159,487.50 292,536.00 1,263,404.19 637,175.00 2,838,362.60 577,217.16 1,570,995.00 1,061,568.09 405,776.40 733,684.31 749,716.80 1,241,952.00 202,484.40 1,079,718.81 2,458,922.40 603,343.80 705,447.20 340,228.63 518,256.25 32,779.02 1,018,812.21 120,045.00 270,375.00

838,522.13 299,855.36 302,641.78 781,287.16 45,566.64 473,888.36 1,321,118.57 451,734.46 219,406.41 463,774.00 89,976.23 389,896.65 3,003,954.19 505,430.91 306,527.50 266,327.95 324,777.50 174,710.02 359,784.09 1,299,620.16 998,377.62 72,715.76 140,157.85 85,357.91 603,664.50 489,806.35 830,000.00 1,503,065.13 2,793,464.20 309,184.16 706,039.12 274,806.24 167,728.19 107,433.90 103,161.97 68,367.44 1,003,157.31 249,138.85 1,183,715.90 300,000.00 1,194,502.19 770,851.33 2,842,976.36 502,451.81 1,477,341.14 988,974.67 399,556.97 626,340.22 714,250.27 1,237,369.63 201,747.91 1,070,593.77 2,443,387.72 599,489.31 610,697.27 405,567.45 503,486.04 207,798.33 929,493.63 85,715.06 234,754.64

Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes

Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities

United States United States Denmark United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States Multi-Country United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States

B1XQP39 B10SKR7 B61C9F4 B4K4RG4 2720737 B3KC3D0 2736325 2813693 B4KXMT9 2983831 B0BSGV5 B3K5WV0 B4JNXP3 2600787 2762320 2094045 B2NJBJ3 B3L9B14 B4RNY30 B4RNY85 2009328 B0HF289 B0HF2B2 B0H6PD8 B246WY5 B3KBYT0 B28HLT2 B41FN79 B0LK7L8 B0BF2B8 B550151 2819679 B2PLNY6 2819679 2819486 B3X45N7 B1VJY77 B1RMMX2 B28QXT3 B2932S5 B2NJ7Z1 B2R0M22 B3KV7W4 B4K9GH3 B449V18 B02YTZ7 2956286 B3KCX30 B63QVX6 B41G3B6 B5M90Y3 B3W08F9 B1XDC17 B249MX3 B29R5G6 7623110 B2RFK89 B3KHFG2 B3KHDZ7

381427AA1 38141EA25

Goldman Sachs Capital II Goldman Sachs Group, Inc. (The)

5.793 7.500

12/29/2049 02/15/2019

960,000 1,484,000

691,200.00 1,697,127.63

855,995.64 Corporate Bonds and Notes 1,456,753.65 Corporate Bonds and Notes

Long-Term Securities Long-Term Securities

United States United States

B1XDPJ6 B4T42Z9

38141GDK7 38141GEA8 38141GES9 38141GEV2 38141GFD1 38141GFM1 38143YAC7 38144LAC4 38146FAA9 416515AQ7 4041A2AH7 023551AF1 023551AJ3 42809HAB3 887315BA6 444859AY8 44965UAA2 459200GJ4 45974VA81 476556CM5 46626YAA0 46627NAA3 48123CAA2 46623ECT4 46625HBV1 46625HDF4 46625HGT1 46625HGY0 46625HHA1 46625HHF0 46625HHL7 46625HHP8 481247AA2 48121CJN7 48632FAE1 03840PAC6 487836AZ1 492386AU1 494550AK2 494550AR7 494550AU0 494550AW6 494550BD7 50075NAU8 524908XA3 5249087M6 524908R36 52517P5X5 52517PR60 5252M0FD4 544152AA9 564759PS1 55263ECH6 59018YJ36 59018YJ69 59018YM40 59018YN64 59018YXY2 59022CAB9 59023VAA8 B00KQFII5

Goldman Sachs Group, Inc. (The) Goldman Sachs Group, Inc. (The) Goldman Sachs Group, Inc. (The) Goldman Sachs Group, Inc. (The) Goldman Sachs Group, Inc. (The) Goldman Sachs Group, Inc. (The) Goldman Sachs Group, Inc. (The) Goldman Sachs Group, Inc. (The) Goldman Sachs Group, Inc. (The) Hartford Financial Services Group, Inc. HBOS PLC Hess Corp. Hess Corp. Hess Corp. Historic TW, Inc. Humana, Inc. ILFC E-Capital Trust II International Business Machines Corp. International Lease Finance Corp. Jersey Central Power & Light Co. JP Morgan Chase Capital XIII JP Morgan Chase Capital XV JP Morgan Chase Capital XX JPMorgan Chase & Co. JPMorgan Chase & Co. JPMorgan Chase & Co. JPMorgan Chase & Co. JPMorgan Chase & Co. JPMorgan Chase & Co. JPMorgan Chase & Co. JPMorgan Chase & Co. JPMorgan Chase & Co. JPMorgan Chase & Co. JPMorgan Chase Bank NA Kaupthing Bank Hf KCP&L Greater Missouri Operations Co. Kellogg Co. Kerr-McGee Corp. Kinder Morgan Energy Partners, LP Kinder Morgan Energy Partners, LP Kinder Morgan Energy Partners, LP Kinder Morgan Energy Partners, LP Kinder Morgan Energy Partners, LP Kraft Foods, Inc. Lehman Brothers Holdings Capital Trust VII Lehman Brothers Holdings, Inc. Lehman Brothers Holdings, Inc. Lehman Brothers Holdings, Inc. Lehman Brothers Holdings, Inc. Lehman Brothers Holdings, Inc. Lorillard Tobacco Co. Manufacturers & Traders Trust Co. MBNA Corp. Merrill Lynch & Co., Inc. Merrill Lynch & Co., Inc. Merrill Lynch & Co., Inc. Merrill Lynch & Co., Inc. Merrill Lynch & Co., Inc. Merrill Lynch & Co., Inc. Merrill Lynch & Co., Inc. Merrill Lynch & Co., Inc.

4.750 5.125 5.950 5.300 6.750 6.150 6.450 5.450 3.250 5.250 6.750 7.875 7.300 8.125 8.050 7.200 6.250 5.700 5.625 5.625 1.233 5.875 6.550 5.375 5.125 5.150 5.375 6.000 7.900 6.400 6.300 3.700 3.125 5.875 7.625 11.875 5.125 6.950 7.125 5.000 6.000 6.950 6.500 6.125 5.857 6.750 6.500 6.200 5.250 6.875 8.125 5.585 6.125 6.050 6.400 5.450 6.875 0.704 6.220 7.750 1.585

07/15/2013 01/15/2015 01/15/2027 02/14/2012 10/01/2037 04/01/2018 05/01/2036 11/01/2012 06/15/2012 10/15/2011 05/21/2018 10/01/2029 08/15/2031 02/15/2019 01/15/2016 06/15/2018 12/21/2065 09/14/2017 09/20/2013 05/01/2016 09/30/2034 03/15/2035 09/29/2036 01/15/2014 09/15/2014 10/01/2015 10/01/2012 01/15/2018 04/29/2049 05/15/2038 04/23/2019 01/20/2015 12/01/2011 06/13/2016 02/28/2015 07/01/2012 12/03/2012 07/01/2024 03/15/2012 12/15/2013 02/01/2017 01/15/2038 09/01/2039 02/01/2018 11/29/2049 12/28/2017 07/19/2017 09/26/2014 02/06/2012 05/02/2018 06/23/2019 12/28/2020 03/01/2013 08/15/2012 08/28/2017 02/05/2013 04/25/2018 07/25/2011 09/15/2026 05/14/2038 03/22/2011

300,000 1,000,000 250,000 2,255,000 2,100,000 360,000 125,000 80,000 675,000 275,000 2,425,000 110,000 435,000 570,000 565,000 160,000 290,000 700,000 400,000 260,000 625,000 550,000 200,000 475,000 1,085,000 520,000 1,620,000 425,000 1,245,000 842,000 750,000 915,000 2,540,000 85,000 1,210,000 1,015,000 660,000 290,000 185,000 115,000 60,000 1,265,000 355,000 900,000 1,450,000 990,000 390,000 150,000 140,000 200,000 565,000 180,000 445,000 200,000 690,000 2,830,000 735,000 700,000 715,000 720,000 100,000

313,077.90 1,045,028.00 240,330.25 2,382,328.58 2,167,265.10 378,688.68 124,206.13 85,678.08 704,450.93 275,117.15 2,162,200.33 128,843.88 488,997.86 684,767.22 616,785.64 161,930.72 146,450.00 771,458.10 304,755.60 276,336.06 411,439.38 488,865.30 185,750.40 505,160.13 1,130,367.11 539,486.48 1,743,098.94 456,163.13 1,195,411.65 942,655.21 818,795.25 906,930.62 2,635,587.82 89,034.70 257,125.00 1,172,085.46 716,431.98 310,487.92 202,052.19 120,207.09 62,705.46 1,358,709.94 361,130.85 953,711.10 145.00 99.00 39.00 25,500.00 23,800.00 35,500.00 641,203.25 148,812.12 467,454.26 213,297.40 698,807.16 2,934,486.43 772,997.30 681,265.20 677,741.35 811,381.68 140,738.32

294,103.54 814,036.54 233,636.64 2,253,228.93 1,687,946.25 288,876.27 118,058.52 79,931.48 702,048.51 274,871.53 2,401,498.33 126,230.08 481,727.87 569,351.78 628,088.25 157,851.29 288,693.88 697,969.29 399,255.68 263,176.84 487,835.15 537,788.55 198,947.24 474,844.77 1,064,758.31 509,429.20 1,619,109.95 424,317.68 1,254,292.92 832,435.83 739,067.65 913,071.91 2,620,482.56 87,193.02 1,022,855.77 1,093,131.53 659,846.83 309,842.58 188,533.25 111,168.13 59,901.16 1,260,128.10 351,870.34 896,230.19 1,300,235.53 912,251.91 362,086.93 149,888.39 139,896.48 199,356.37 584,969.81 176,476.05 384,853.81 199,829.05 691,823.59 2,827,432.32 734,434.52 700,000.00 714,849.19 719,836.48 121,076.76

Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes

Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities

United States United States United States United States United States United States United States United States United States United States United Kingdom United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States Iceland United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States

2910390 B05J6T2 B1GJS58 B1RBR23 B283338 B2QKDK8 B12V461 B28KPR7 B3K5WZ4 B1FQQR8 B2RM0Q8 2517638 2791205 B4SYWQ1 2872100 B39RBR6 B0V0S60 B24GB60 B1FGYS5 B03WDX6 B02YXF5 B06K0T2 B1FJPQ9 B1PF738 B02SMD8 B0LM0P9 B282744 B2B11S0 B2R0JX2 B39F3N0 B3W10G7 B4KCNC6 B3K85V0 B17B068 B2QKB82 2691286 B29QFB8 B020999 2874452 2187763 B1PJZ92 B1Z54W6 B4KRMH9 B29VF46 B1XHNL6 B2N6LW7 B23CF34 B27Z8Y1 B1MY589 B2R1DV1 B602BQ0 B0W90F9 2358439 B23X764 B244Y65 B2PDTL1 B2R46W2 B19G4T2 B1DWW69 B2RFJL5 B00KQF6

59156RAC2 59156RAP3

MetLife, Inc. MetLife, Inc.

6.125 6.400

12/01/2011 12/15/2036

180,000 1,010,000

193,456.26 853,450.00

186,656.81 Corporate Bonds and Notes 968,259.81 Corporate Bonds and Notes

Long-Term Securities Long-Term Securities

United States United States

2821726 B1L8RP3

59156RAR9 59217EBW3 59562EAH8 6174466Q7 617446B99 617446C23 617446V71 61746BCW4 61746BDC7 61747YCF0 61747YCJ2 61748AAE6 61757UAB6 63534PAH0 62874FAA7 00209AAE6 00209AAF3 652478BB3 652478BZ0 652482BJ8 652482BN9 652482BQ2 62912XAA2 65364UAA4 65473QAJ2 65473QAS2 655844AK4 665772BW8 674599BW4 677415CD1 68233JAB0 68233JAD6 68389XAC9 694308GE1 694308GJ0 694308GM3 694308GN1 698455AC6 706451BG5 713448BJ6 717081CY7 718172AA7 74254PYE6 743263AE5 74432QAP0 74438GAE1 744499AP9 74456QAS5 74913GAE5 761713AE6 771196AS1 828807BT3 828807BY2 833656AG6 843452BC6 84474YAA4 845437BK7 852060AS1 852060AT9 85748DAA7 86800YAA4

MetLife, Inc. Metropolitan Life Global Funding I MidAmerican Energy Co. Morgan Stanley Morgan Stanley Morgan Stanley Morgan Stanley Morgan Stanley Morgan Stanley Morgan Stanley Morgan Stanley Morgan Stanley Morgan Stanley National City Bank/Cleveland OH Nationsbank Capital Trust III New Cingular Wireless Services, Inc. New Cingular Wireless Services, Inc. News America Holdings, Inc. News America Holdings, Inc. News America, Inc. News America, Inc. News America, Inc. NGPL Pipeco LLC Niagara Mohawk Power Corp. Nisource Finance Corp. Nisource Finance Corp. Norfolk Southern Corp. Northern States Power Co. Occidental Petroleum Corp. Ohio Power Co. Oncor Electric Delivery Co. Oncor Electric Delivery Co. Oracle Corp. Pacific Gas & Electric Co. Pacific Gas & Electric Co. Pacific Gas & Electric Co. Pacific Gas & Electric Co. Panhandle Eastern Pipeline Co., LP Pemex Project Funding Master Trust PepsiCo, Inc. Pfizer, Inc. Philip Morris International, Inc. Principal Life Income Funding Trusts Progress Energy, Inc. Prudential Financial, Inc. Prudential Holdings LLC Public Service Co. of New Mexico Public Service Electric & Gas Co. Qwest Corp. Reynolds American, Inc. Roche Holdings, Inc. Simon Property Group, LP Simon Property Group, LP Societe Financement de l'Economie Francaise Southern Natural Gas Co. Southwest Airlines Co. 2007-1 Pass Through Trust Southwestern Electric Power Co. Sprint Capital Corp. Sprint Capital Corp. State Street Capital Trust IV SunTrust Capital VIII

6.817 5.125 5.800 6.625 0.838 5.450 6.250 5.625 0.960 6.000 5.625 4.750 3.250 0.684 1.059 7.875 8.750 7.900 8.250 6.200 6.150 6.650 6.514 4.881 7.875 6.400 7.900 8.000 7.000 5.500 5.950 6.800 5.750 6.050 5.800 6.350 8.250 8.125 6.625 7.900 7.200 5.650 5.300 7.750 5.100 8.695 7.950 5.300 7.875 7.625 6.000 6.100 5.300 0.713 5.900 6.150 6.450 8.375 8.750 1.299 6.100

08/15/2018 06/10/2014 10/15/2036 04/01/2018 01/09/2014 01/09/2017 08/28/2017 01/09/2012 10/18/2016 05/13/2014 09/23/2019 04/01/2014 12/01/2011 06/07/2017 01/15/2027 03/01/2011 03/01/2031 12/01/2095 10/17/2096 12/15/2034 03/01/2037 11/15/2037 12/15/2012 08/15/2019 11/15/2010 03/15/2018 05/15/2097 08/28/2012 11/01/2013 02/15/2013 09/01/2013 09/01/2018 04/15/2018 03/01/2034 03/01/2037 02/15/2038 10/15/2018 06/01/2019 06/15/2035 11/01/2018 03/15/2039 05/16/2018 04/24/2013 03/01/2031 12/14/2011 12/18/2023 05/15/2018 05/01/2018 09/01/2011 06/01/2016 03/01/2019 05/01/2016 05/30/2013 07/16/2012 04/01/2017 08/01/2022 01/15/2019 03/15/2012 03/15/2032 06/15/2037 12/15/2036

675,000 300,000 300,000 2,525,000 1,100,000 600,000 300,000 510,000 1,235,000 880,000 1,825,000 250,000 520,000 1,400,000 500,000 1,950,000 500,000 295,000 65,000 35,000 1,705,000 20,000 1,935,000 390,000 465,000 250,000 1,000,000 400,000 800,000 45,000 705,000 1,350,000 1,250,000 340,000 110,000 90,000 170,000 1,000,000 430,000 470,000 735,000 300,000 300,000 130,000 430,000 1,175,000 675,000 800,000 840,000 220,000 280,000 295,000 1,075,000 1,000,000 30,000 158,928 770,000 360,000 30,000 100,000 630,000

751,276.35 313,407.00 321,457.50 2,669,993.08 1,023,457.60 600,837.60 312,258.00 540,395.49 1,102,742.62 936,853.28 1,794,520.68 248,155.00 540,945.60 1,121,836.80 315,606.00 2,116,206.30 662,330.50 304,578.65 67,446.80 34,435.70 1,668,252.14 20,833.90 2,122,894.31 397,070.31 489,186.98 249,534.00 1,199,807.00 465,040.80 924,224.00 47,579.54 762,963.69 1,553,332.95 1,377,300.00 378,217.02 119,086.44 104,823.72 216,010.16 1,165,178.00 415,352.91 593,477.46 925,079.09 319,324.80 307,765.80 162,723.08 447,224.94 1,226,723.50 680,796.90 856,293.60 866,250.00 235,405.06 311,678.92 303,185.96 1,099,060.65 1,000,068.88 30,896.97 158,928.14 839,523.30 371,700.00 28,350.00 64,492.20 438,449.76

677,167.48 298,570.87 299,226.13 2,459,717.74 843,797.06 526,832.68 299,630.24 509,530.13 749,518.95 887,967.12 1,817,438.90 245,032.36 535,254.10 1,125,936.02 345,063.93 2,015,555.69 666,511.37 331,685.31 75,260.36 34,773.12 1,724,249.46 19,715.87 1,935,000.00 390,000.00 465,751.81 249,797.87 1,127,674.76 413,698.94 794,208.83 44,953.42 704,235.19 1,348,693.06 1,249,479.73 352,255.28 109,223.07 89,874.61 167,361.28 1,000,000.00 436,549.65 472,163.99 734,575.87 299,292.50 299,596.55 135,739.34 429,688.74 1,171,469.62 682,686.60 799,433.28 837,185.66 191,814.49 275,791.55 287,387.82 1,069,492.97 1,000,000.00 30,012.47 160,389.54 769,117.64 379,189.13 35,295.67 100,000.00 631,018.42

Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes

Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities

United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States France United States United States United States United States United States United States United States

B3CNV37 B555ZP4 B1FS7D7 B2QNZZ6 B1MCNF6 B1MBWP6 B245GB7 B1B53K1 B1G0JL4 B4KTSF5 B4MFMM6 B00K548 B3K75C8 B1YCH18 2005832 2846741 2796802 B1HKKC1 2600787 B07G550 B23D043 B2QV3K1 B2B2387 B3WM4Z7 2748955 B248L00 B1G49V6 B3D21X3 B3DZ1W1 2859932 B4NTHZ5 B2QR202 B00HW60 B1V4L37 B2Q14K8 B3F1398 B0Z2BX0 B3F2K67 B65HZL3 B2RK4H1 B2R32B0 2747822 B1L7051 2905114 B2RHXK8 B2QYY07 B0CPWY0 B1L3X27 B57H9C3 B14YJR4 B2RJG27 B3LM9P3 B1VJY99 B27ZWS3 B39XX01 2965947 2964029 B1WF8X8 B1KKTF4

86800XAA6 880451AY5

SunTrust Preferred Capital I Tennessee Gas Pipeline Co.

5.853 8.000

12/31/2049 02/01/2016

156,000 505,000

101,400.00 573,175.00

146,585.02 Corporate Bonds and Notes 481,031.87 Corporate Bonds and Notes

Long-Term Securities Long-Term Securities

United States United States

B1G58Q7 B5ZMVJ1

882587AY4 88732JAH1 88732JAL2 88732JAP3 88732JAS7 88732JAU2 88731EAJ9 00184AAB1 00184AAF2 89417EAA7 89417EAD1 906548CE0 911312AG1 913017BJ7 91324PAP7 91324PAW2 91324PAX0 91324PBJ0 91731KAA8 91913YAN0 92343VAB0 92343VAK0 92343VAL8 92343VAM6 92343VAR5 92343VAV6 92344GAT3 92978AAA0 92976WBA3 92976WBJ4 929903AJ1 929903AR3 929903CH3 929903DT6 931142CJ0 931142CM3 939322AT0 94106LAP4 92933DAA8 92933WAB4 94973VAM9 94973VAR8 949746PM7 94978SAA7 949801AA2 962166BP8 969457BS8 026609AM9 983024AN0 984121BS1 98385XAA4 98385XAM8 98385XAP1 98385XAT3 988498AE1 02364WAN5 032479AD9 00182EAJ8 03938LAC8 03938LAM6 046353AB4

Texas-New Mexico Power Co. Time Warner Cable, Inc. Time Warner Cable, Inc. Time Warner Cable, Inc. Time Warner Cable, Inc. Time Warner Cable, Inc. Time Warner Entertainment Co., LP Time Warner, Inc. Time Warner, Inc. Travelers Cos., Inc. (The) Travelers Cos., Inc. (The) Union Electric Co. United Parcel Service, Inc. United Technologies Corp. UnitedHealth Group, Inc. UnitedHealth Group, Inc. UnitedHealth Group, Inc. UnitedHealth Group, Inc. USB Capital IX Valero Energy Corp. Verizon Communications, Inc. Verizon Communications, Inc. Verizon Communications, Inc. Verizon Communications, Inc. Verizon Communications, Inc. Verizon Communications, Inc. Verizon Global Funding Corp. Wachovia Capital Trust III Wachovia Corp. Wachovia Corp. Wachovia Corp. Wachovia Corp. Wachovia Corp. Wachovia Corp. Wal-Mart Stores, Inc. Wal-Mart Stores, Inc. Washington Mutual, Inc. Waste Management, Inc. WEA Finance LLC / WT Finance Aust Pty, Ltd. WEA Finance LLC / WT Finance Aust Pty, Ltd. WellPoint, Inc. WellPoint, Inc. Wells Fargo & Co. Wells Fargo Capital X Wells Fargo Capital XV Weyerhaeuser Co. Williams Cos., Inc. (The) Wyeth Wyeth Xerox Corp. XTO Energy, Inc. XTO Energy, Inc. XTO Energy, Inc. XTO Energy, Inc. Yum! Brands, Inc. America Movil SAB de CV Anadarko Finance Co. ANZ National International, Ltd./New Zealand ArcelorMittal ArcelorMittal AstraZeneca PLC

9.500 5.850 6.750 8.750 8.250 6.750 8.375 6.750 6.875 6.250 6.250 6.400 4.500 5.400 5.250 6.000 6.500 6.000 6.189 9.375 5.350 6.400 5.500 6.100 8.950 6.350 7.375 5.800 5.700 5.500 5.250 0.831 5.625 5.750 5.800 6.200 5.000 6.375 7.500 6.750 5.875 7.000 7.980 5.950 9.750 6.750 8.750 6.950 5.950 5.500 7.500 6.750 5.500 6.500 4.250 5.625 7.500 6.200 5.375 9.850 5.900

04/01/2019 05/01/2017 07/01/2018 02/14/2019 04/01/2019 06/15/2039 07/15/2033 04/15/2011 05/01/2012 03/15/2037 06/15/2037 06/15/2017 01/15/2013 05/01/2035 03/15/2011 06/15/2017 06/15/2037 02/15/2018 10/29/2049 03/15/2019 02/15/2011 02/15/2038 02/15/2018 04/15/2018 03/01/2039 04/01/2019 09/01/2012 03/29/2049 08/01/2013 05/01/2013 08/01/2014 10/28/2015 10/15/2016 06/15/2017 02/15/2018 04/15/2038 03/22/2012 11/15/2012 06/02/2014 09/02/2019 06/15/2017 02/15/2019 03/29/2049 12/15/2036 12/31/2049 03/15/2012 01/15/2020 03/15/2011 04/01/2037 05/15/2012 04/15/2012 08/01/2037 06/15/2018 12/15/2018 09/15/2015 11/15/2017 05/01/2031 07/19/2013 06/01/2013 06/01/2019 09/15/2017

800,000 1,225,000 1,450,000 740,000 1,335,000 190,000 105,000 805,000 345,000 620,000 500,000 545,000 600,000 70,000 280,000 65,000 120,000 550,000 200,000 925,000 685,000 810,000 430,000 680,000 540,000 670,000 275,000 340,000 1,205,000 750,000 460,000 400,000 400,000 460,000 410,000 90,000 425,000 555,000 495,000 120,000 30,000 200,000 1,760,000 200,000 960,000 455,000 1,100,000 375,000 350,000 620,000 130,000 60,000 750,000 650,000 410,000 180,000 575,000 1,600,000 1,195,000 755,000 300,000

983,412.00 1,291,575.08 1,601,902.00 911,628.20 1,613,609.16 205,472.84 126,197.30 860,355.02 379,782.90 545,120.12 563,961.00 602,013.54 643,314.60 73,226.93 291,011.00 67,854.15 124,721.88 577,965.30 153,500.00 1,077,878.45 720,768.65 865,490.67 450,833.93 734,393.20 739,781.10 739,858.89 312,461.60 234,600.00 1,286,114.58 802,478.25 467,159.44 359,358.80 417,613.60 485,978.04 460,547.67 102,424.77 372,937.50 607,398.66 533,462.99 121,379.88 31,664.46 227,351.40 1,601,600.00 173,500.00 998,400.00 474,009.45 1,264,608.40 402,907.13 385,435.05 650,107.82 144,133.08 66,745.92 773,985.75 717,575.30 419,094.62 186,093.90 636,167.93 1,750,756.80 1,221,720.20 893,017.02 335,665.80

781,745.41 1,222,722.44 1,424,656.85 744,378.81 1,352,673.19 184,563.24 132,696.20 820,815.01 363,556.94 590,847.63 493,432.68 544,605.44 598,259.40 69,500.91 279,105.77 64,566.60 118,710.50 549,563.06 200,000.00 1,049,601.50 684,544.22 800,259.74 418,346.44 678,354.73 526,489.33 660,439.32 290,809.03 340,148.88 1,203,564.36 669,724.91 453,648.27 304,186.87 398,971.42 458,410.47 409,387.33 90,828.57 400,390.53 577,022.96 490,230.67 118,444.09 29,807.60 199,694.86 1,688,782.49 200,129.89 960,000.00 464,866.74 1,104,579.36 386,075.62 347,701.28 615,729.49 134,274.92 57,560.83 746,928.12 648,286.28 409,050.78 179,344.55 681,209.56 1,598,818.60 1,156,573.06 736,699.22 299,828.74

Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes Corporate Bonds and Notes International Debt International Debt International Debt International Debt International Debt International Debt

Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities

United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States Mexico Canada New Zealand Luxembourg Luxembourg United Kingdom

B65HQL0 B28WLN1 B3B1PC9 B3FK2M1 B66G241 B62X8Y8 2727266 7701629 7337972 B1TRF25 B1Y1S45 B1Z2S03 B2NNPP9 B081Q51 B19G7H1 B4NY6V9 B2PPW96 B2PK6X3 B11FJM5 B64TZ32 B0YX3L6 B2PKS04 B2PL034 B2QQP22 B3FBWF7 B3LP424 2981891 B0XNTL9 B19NHG1 B2R4TZ6 B01Z360 B0NH438 B1G5500 B1YLRV5 B243XQ5 B2QVLK7 B06NP52 2397807 B4ZD5K6 B404WW5 B1YLNN9 B4W8L28 B3KTNR5 B1JNGS6 B3D08W5 2028301 B3X2W74 2824413 B1VQ7M4 B1XGTB5 2878540 B23C8G8 B2R0LV4 B3CGKJ5 B40FLX2 B2Q3G19 2798938 B3BPFM1 B3FFZ16 B4RKHM1 B24DFK3

054536AA5 066716AB7

AXA SA Banque Centrale de Tunisie

8.600 8.250

12/15/2030 09/19/2027

75,000 550,000

77,985.00 644,875.00

81,687.15 International Debt 559,747.13 International Debt

Long-Term Securities Long-Term Securities

France Tunisia

7004317 5429019

06739FFS5 067901AB4 06849TAA6 05530QAB6 05565AAA1 05565QBF4 744573II9 21987BAL2 21987BAM0 225448AA7 225448AB5 22541HCC4 2254C0TC1 249575AN1 2515A0HQ9 25152CMN3 25156PAH6 25214BAB0 25243YAN9 268317AA2 268317AB0 268317AC8 298785EP7 30216HAB5 368266AE2 368287AD0 368287AE8 379308AA7 37930EAC0 37930JAE5 40411CAA0 404280AG4 404280AH2 45687AAE2 48632FAA9 48632HAA5 482492AA3 780641AG1 500631AS5 539439AD1 91086QAS7 EF3202449 6325C0AR2 65105YAE2 71645WAL5 716589AC0 749770AQ6 75405UAA4 76117JAB4 76117HAA0 767201AC0 767201AD8 780097AE1 780097AU5 78011CAD8 74973DAB5 423081II1 80281YAA5 82463MAA7 826200AB3 78454AAA2

Barclays Bank PLC Barrick Gold Corp. Barrick Gold Financeco LLC BAT International Finance PLC BNP Paribas BP Capital Markets PLC Citigroup Global Markets Deutschland AG for OAO Gazprom Corp. Nacional del Cobre de Chile - CODELCO Corp. Nacional del Cobre de Chile - CODELCO Credit Suisse Guernsey, Ltd. Credit Suisse Guernsey, Ltd. Credit Suisse NY Credit Suisse NY Depfa ACS Bank Deutsche Bank AG Deutsche Bank AG/London Deutsche Telekom International Finance BV Dexia Credit Local Diageo Capital PLC Electricite De France Electricite De France Electricite De France European Investment Bank Export-Import Bank of China Gaz Capital SA Gaz Capital SA Gaz Capital SA Glitnir Banki HF Glitnir Banki HF Glitnir Banki HF HBOS Capital Funding, LP HSBC Holdings PLC HSBC Holdings PLC Ingersoll-Rand Global Holding Co., Ltd. Kaupthing Bank Hf Kaupthing Bank Hf Klio Funding, Ltd. Koninklijke KPN NV Korea Electric Power Corp. Lloyds Banking Group PLC Mexico Government International Bond MUFG Capital Finance 1, Ltd. National Australia Bank, Ltd. Newcastle CDO, Ltd. Petrobras International Finance Co. Petroleum Export, Ltd. Rabobank Nederland NV Ras Laffan Liquefied Natural Gas Co., Ltd. III Resona Bank, Ltd. Resona Preferred Global Securities Cayman, Ltd. Rio Tinto Finance USA, Ltd. Rio Tinto Finance USA, Ltd. Royal Bank of Scotland Group PLC Royal Bank of Scotland Group PLC Royal Bank of Scotland PLC (The) RSHB Capital SA for OJSC Russian Agricultural Bank Russia Government International Bond Santander Perpetual SA Unipersonal Shinsei Finance Cayman, Ltd. Siemens Financieringsmaatschappij NV SMFG Preferred Capital USD 1, Ltd.

6.750 6.950 6.125 9.500 5.186 5.250 10.500 6.150 7.500 5.860 1.130 6.000 5.000 5.125 5.375 6.000 5.750 0.939 7.375 5.500 6.500 6.950 2.625 4.875 6.212 7.343 8.146 6.693 6.330 6.375 6.071 6.500 6.500 9.500 5.750 7.125 1.022 8.000 5.125 5.920 6.750 6.346 5.350 5.110 6.125 5.265 11.000 5.838 5.850 7.191 6.500 7.125 9.118 7.640 0.854 6.299 7.500 6.671 6.418 5.500 6.078

05/22/2019 04/01/2019 09/15/2013 11/15/2018 06/29/2049 11/07/2013 10/21/2009 10/24/2036 01/15/2019 05/29/2049 05/29/2049 02/15/2018 05/15/2013 03/16/2037 10/12/2012 09/01/2017 03/23/2016 09/23/2011 01/15/2014 01/26/2014 01/26/2019 01/26/2039 05/16/2011 07/21/2015 11/22/2016 04/11/2013 04/11/2018 06/15/2016 07/28/2011 09/25/2012 06/29/2049 05/02/2036 09/15/2037 04/15/2014 10/04/2011 05/19/2016 04/23/2039 10/01/2010 04/23/2034 12/31/2049 09/27/2034 07/29/2049 06/12/2013 03/24/2039 10/06/2016 06/15/2011 12/29/2049 09/30/2027 09/29/2049 12/29/2049 07/15/2018 07/15/2028 03/31/2049 03/29/2049 04/08/2011 05/15/2017 03/31/2030 10/29/2049 01/29/2049 02/16/2012 01/29/2049

530,000 345,000 700,000 440,000 1,900,000 850,000 700,000 100,000 400,000 520,000 725,000 500,000 1,000,000 400,000 350,000 1,000,000 300,000 500,000 980,000 400,000 400,000 400,000 1,575,000 200,000 100,000 100,000 500,000 700,000 270,000 390,000 110,000 500,000 500,000 390,000 100,000 1,480,000 3,282,384 620,000 155,000 200,000 333,000 200,000 600,000 1,075,000 290,000 97,863 230,000 250,000 100,000 405,000 630,000 305,000 200,000 100,000 4,300,000 110,000 46,080 900,000 630,000 1,400,000 1,120,000

592,770.55 403,903.58 769,365.10 570,691.88 1,506,439.70 931,114.65 701,820.00 103,367.90 483,094.80 395,200.00 453,125.00 523,478.00 1,058,318.00 301,285.20 378,610.40 1,079,172.00 318,088.50 504,790.00 1,135,721.02 438,927.20 458,326.00 495,582.40 1,618,942.50 212,466.60 96,000.00 106,130.00 528,150.00 70.00 66,150.00 95,550.00 62,150.00 541,682.50 540,810.50 460,835.31 21,250.00 148.00 97,732.97 658,394.12 160,748.64 114,000.00 366,300.00 184,755.80 639,754.20 10,790.31 309,575.00 95,526.49 281,750.00 245,795.00 86,500.00 336,150.00 677,464.20 337,845.15 185,000.00 49,000.00 4,310,406.00 105,039.00 50,024.45 791,525.70 330,750.00 1,509,681.60 978,286.40

528,889.73 342,298.37 699,874.69 436,071.85 1,857,663.15 849,536.69 701,869.89 99,322.36 393,248.27 520,000.00 514,855.67 499,080.10 998,352.75 393,800.02 349,875.08 995,771.58 296,156.78 500,000.00 976,833.59 398,604.16 398,814.16 394,244.09 1,572,076.67 198,466.28 100,000.00 100,000.00 500,000.00 699,405.05 270,000.00 389,279.80 103,615.49 549,857.09 499,125.62 389,971.19 99,715.07 1,473,655.34 3,307,497.82 631,856.25 152,785.14 200,000.00 353,990.78 200,000.00 599,981.65 1,063,809.47 289,020.87 97,863.17 230,000.00 250,000.00 99,935.22 407,661.04 625,033.59 302,985.11 223,101.69 100,000.00 4,304,562.14 110,000.00 46,820.16 899,215.91 619,799.93 1,413,958.96 1,120,077.15

International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt

Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities

United Kingdom Canada Canada United Kingdom France United Kingdom Germany Chile Chile Switzerland Switzerland Switzerland Switzerland Ireland Germany Germany Netherlands France United Kingdom France France France Multi-Country China Luxembourg Luxembourg Luxembourg Iceland Iceland Iceland Jersey United Kingdom United Kingdom Bermuda Iceland Iceland United States Netherlands South Korea United Kingdom Mexico Cayman Islands Australia United States Cayman Islands Cayman Islands Netherlands Qatar Japan Cayman Islands Australia Australia United Kingdom United Kingdom United Kingdom Luxembourg Russian Federation Spain Cayman Islands Netherlands Cayman Islands

B4XGSW0 B65Z9T3 B3D2229 B3FLTN4 B0BV7H7 B3FDJ63 7445734 B1G5FT9 B3L85V9 B1XDP07 B1XDKG8 B2PP3L5 B2R9MM9 B1VDVS9 B28G456 B244SS5 B11TG48 B5ZXBW7 B3DZN69 B3Q7Q41 B3L9B47 B3L9B69 B2QTXP0 B0DNCQ5 B1HP4R9 B2QT156 B2QT0W6 B171ND6 B1FRL32 B27ZT26 B01LYF4 B13VN63 B24FY35 B3T70L3 B1FPW33 B156ZX7 7048780 B02FG48 B3L4904 B02ZVV0 B114JZ5 B39TZ25 B1FR240 B0DQGZ1 B51XMQ2 B0GC8T4 B0KR1Y1 B0F4HQ1 B3B8V33 B3B8V00 2557894 B09L9L7 B4ZMWJ1 B1XFHF2 4230814 B28RZG7 B0Z7XH3 B1BQ6Q1 B1L7R61

833656AC5 867229AE6

Societe Financement de l'Economie Francaise Suncor Energy, Inc.

2.375 6.500

03/26/2012 06/15/2038

300,000 715,000

304,541.43 738,720.84

303,353.14 International Debt 709,141.89 International Debt

Long-Term Securities Long-Term Securities

France Canada

B65PB75 B1Z7WM8

87203RAC6 87927VAQ1 87927VAS7 87927VAU2 87261GAB1 89354FAE1 902118AY4 902118BC1 902118BK3 91911TAG8 91911TAH6 92857WAT7 007036JD9 02005FAB3 02660TCS0 02660TGN7 05948KAT6 05948KHC6 05950BAS3 05947U7L6 05947UL89 05947UR42 05947UR83 05947UVA3 059500AD0 059511AD7 059512AC7 05952CAC4 058927AG9 05946XE58 05954DAG1 06051GDM8 05948X4W8 05948XA84 05948XY47 05949AD72 05949CGA8 05949CPM2 05950GAQ6 07384M2E1 07384M3D2 07384M4J8 07384M7C0 07384MK43 07384MSH6 07386HSY8 07386HVS7 07401DAF8 07402FAA3 07402FAC9 03927PAE8 16162T7A8 16162WPE3 16162YAC9 16162YAD7 16163CAA0 17307GDK1 17307GTK4 17307GW79 17307GW95 17312GAA9

Systems 2001 AT LLC Telecom Italia Capital SA Telecom Italia Capital SA Telecom Italia Capital SA TNK-BP Finance SA TransCapitalInvest, Ltd. for OJSC AK Transneft Tyco International Finance SA Tyco International Finance SA Tyco International Finance SA Vale Overseas, Ltd. Vale Overseas, Ltd. Vodafone Group PLC Adjustable Rate Mortgage Trust Ally Auto Receivables Trust American Home Mortgage Investment Trust American Home Mortgage Investment Trust Banc of America Alternative Loan Trust Banc of America Alternative Loan Trust Banc of America Alternative Loan Trust Banc of America Commercial Mortgage, Inc. Banc of America Commercial Mortgage, Inc. Banc of America Commercial Mortgage, Inc. Banc of America Commercial Mortgage, Inc. Banc of America Commercial Mortgage, Inc. Banc of America Commercial Mortgage, Inc. Banc of America Commercial Mortgage, Inc. Banc of America Commercial Mortgage, Inc. Banc of America Commercial Mortgage, Inc. Banc of America Funding Corp. Banc of America Funding Corp. Banc of America Funding Corp. Banc of America Funding Corp. Banc of America Mortgage Securities, Inc. Banc of America Mortgage Securities, Inc. Banc of America Mortgage Securities, Inc. Banc of America Mortgage Securities, Inc. Banc of America Mortgage Securities, Inc. Banc of America Mortgage Securities, Inc. Banc of America Mortgage Securities, Inc. Bear Stearns Adjustable Rate Mortgage Trust Bear Stearns Adjustable Rate Mortgage Trust Bear Stearns Adjustable Rate Mortgage Trust Bear Stearns Adjustable Rate Mortgage Trust Bear Stearns Adjustable Rate Mortgage Trust Bear Stearns Adjustable Rate Mortgage Trust Bear Stearns Alt-A Trust Bear Stearns Alt-A Trust Bear Stearns Commercial Mortgage Securities Bear Stearns Structured Products, Inc. Bear Stearns Structured Products, Inc. Centerline REIT, Inc. Chase Mortgage Finance Corp. Chase Mortgage Finance Corp. Chase Mortgage Finance Corp. Chase Mortgage Finance Corp. Chase Mortgage Finance Corp. Citigroup Mortgage Loan Trust, Inc. Citigroup Mortgage Loan Trust, Inc. Citigroup Mortgage Loan Trust, Inc. Citigroup Mortgage Loan Trust, Inc. Citigroup Mortgage Loan Trust, Inc.

7.156 5.250 6.200 6.999 7.500 8.700 6.750 6.375 6.000 6.250 6.875 4.150 0.486 1.320 4.390 0.536 0.746 0.696 6.000 5.372 4.783 4.501 4.668 4.875 5.889 5.817 5.837 5.620 5.813 5.500 5.763 3.487 6.500 0.696 6.500 5.750 4.798 5.391 6.000 3.915 4.342 4.979 2.900 5.452 5.622 5.355 5.490 6.084 5.635 5.485 5.040 4.500 5.237 6.000 6.000 5.971 5.269 4.648 4.700 4.900 0.306

12/15/2011 10/01/2015 07/18/2011 06/04/2018 07/18/2016 08/07/2018 02/15/2011 10/15/2011 11/15/2013 01/23/2017 11/21/2036 06/10/2014 07/25/2035 03/15/2012 02/25/2045 11/25/2045 04/25/2033 12/25/2033 06/25/2046 09/10/2045 07/10/2043 07/10/2043 07/10/2043 06/10/2039 07/10/2044 04/10/2049 06/10/2049 02/10/2051 02/20/2036 09/25/2035 07/20/2047 05/25/2035 10/25/2031 12/25/2033 09/25/2033 01/25/2035 09/25/2035 01/25/2036 07/25/2046 11/25/2034 11/25/2034 01/25/2035 03/25/2035 04/25/2034 02/25/2033 05/25/2035 09/25/2035 06/11/2050 01/26/2036 12/26/2046 09/21/2045 09/25/2018 12/25/2035 12/25/2036 12/25/2036 09/25/2036 02/25/2034 08/25/2035 12/25/2035 12/25/2035 07/25/2045

164,457 715,000 290,000 470,000 340,000 200,000 110,000 465,000 835,000 100,000 497,000 245,000 160,555 300,000 178,505 703,578 99,341 270,175 688,160 910,000 1,100,000 445,000 1,010,000 23,047 1,330,000 990,000 200,000 20,000 329,334 787,286 798,627 319,551 50,057 346,934 34,375 640,653 575,000 409,457 608,945 528,824 154,737 201,990 2,396,493 191,642 17,493 421,503 272,858 200,000 446,901 231,496 515,000 356,153 1,080,780 657,773 316,907 522,747 23,897 559,075 317,582 460,932 226,368

165,232.76 740,218.77 308,826.22 519,390.89 330,650.00 218,300.00 115,894.46 501,270.47 895,399.73 107,059.30 514,161.91 251,597.12 88,231.94 297,328.20 143,727.09 369,618.86 84,664.18 201,567.55 569,367.29 840,877.04 1,116,120.06 445,513.35 954,544.54 23,026.49 1,175,025.47 931,986.50 182,637.46 18,440.15 171,526.70 721,104.83 540,914.45 300,484.86 47,764.89 329,673.88 32,613.53 592,604.44 354,580.77 336,758.32 505,877.62 486,869.20 144,803.67 182,674.13 2,140,855.53 180,242.69 17,175.30 283,551.75 172,813.77 136,262.92 254,728.47 145,054.05 66,950.00 354,483.84 942,925.78 544,000.01 291,328.85 439,353.95 20,149.33 221,208.39 271,359.97 349,800.82 151,233.66

165,579.00 653,033.98 291,634.29 470,000.00 339,038.99 200,000.00 112,576.39 480,565.23 874,036.94 99,428.77 488,769.02 244,845.07 160,667.73 299,968.05 175,874.50 703,553.51 99,694.40 271,212.23 679,976.43 905,550.87 1,073,465.25 425,600.85 1,014,359.58 30,951.68 1,349,923.67 1,015,083.70 150,410.06 10,551.92 332,581.99 773,094.09 800,363.91 317,590.48 51,242.95 348,509.11 35,162.64 634,696.94 562,677.52 408,352.23 611,559.05 520,407.44 151,749.25 195,185.25 2,344,301.74 186,056.90 17,717.55 425,179.46 268,930.51 96,290.30 444,557.49 229,900.14 519,309.64 348,032.83 1,077,208.38 663,859.70 318,701.53 522,329.73 23,798.98 541,704.91 313,336.41 444,556.22 226,368.48

International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt International Debt Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities

Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities

Cayman Islands Luxembourg Luxembourg Luxembourg Luxembourg Ireland Luxembourg Luxembourg Luxembourg Cayman Islands Cayman Islands United Kingdom United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States

2798295 B0LFX60 B197TX4 B39NTH0 B198CJ4 B3CF8G5 2742764 2813723 B012FC1 B1HMTF3 B1HMKF0 B5500T8

B15S4G9

B1YNH66 B3WPSC1 B0FN5C0 B2PPCP2

B23F3T5 B241HY5 B2NSNP0

B1VTZF2

B0KRX23 B5ZMVJ1

2495820

B3N5SR5

B0XF8S5 B1X2106

17313FAR3 12513EAG9

Citigroup Mortgage Loan Trust, Inc. Citigroup/Deutsche Bank Commercial Mortgage Trust

5.902 5.399

07/25/2037 07/15/2044

509,692 765,000

347,846.58 754,380.50

509,116.39 Mortgage-Backed Securities 748,135.48 Mortgage-Backed Securities

Long-Term Securities Long-Term Securities

United States United States

B23T9K0 B0NZTC6

14986DAF7 17309KAE7 20173WAE8 20173WAJ7 020908AD1 02149FAG9 02150PAB4 12667FAK1 12667GJ20 126680AA5 12668AC60 12668AEV3 12668ASY2 12668BTF0 12668BVG5 126673Q70 12544EAB3 12544JAE6 126670JY5 1266943Y2 126694E95 126694JG4 12669F6Z1 12669FW82 12669GHG9 12669GTQ4 12669GWN7 12669UCB4 22541SAC2 225458N38 12638CAA6 22544QAE9 22545BAA9 22545BAB7 22545XAD5 22546BAD2 22546BAF7 22546NAD6 2254585R5 126650BC3 126650BP4 25150UAA6 251510FG3 25157FAJ3 23332UBE3 23332UFV1 01F0404A2 01F0424A8 01F0426A6 01F0504A1 01F0506A9 01F0524A7 01F052698 01F0526A5 01F0604A0 01F0606A8 01F0626A4 01F0626B2 31361FP40 31368HK69 31368JBU2

Citigroup/Deutsche Bank Commercial Mortgage Trust Citimortgage Alternative Loan Trust Commercial Mortgage Loan Trust Commercial Mortgage Loan Trust Countrywide Alternative Loan Trust Countrywide Alternative Loan Trust Countrywide Alternative Loan Trust Countrywide Alternative Loan Trust Countrywide Alternative Loan Trust Countrywide Alternative Loan Trust Countrywide Alternative Loan Trust Countrywide Alternative Loan Trust Countrywide Alternative Loan Trust Countrywide Alternative Loan Trust Countrywide Alternative Loan Trust Countrywide Asset-Backed Certificates Countrywide Home Loan Mortgage Pass Through Trust Countrywide Home Loan Mortgage Pass Through Trust Countrywide Home Loan Mortgage Pass Through Trust Countrywide Home Loan Mortgage Pass Through Trust Countrywide Home Loan Mortgage Pass Through Trust Countrywide Home Loan Mortgage Pass Through Trust Countrywide Home Loan Mortgage Pass Through Trust Countrywide Home Loan Mortgage Pass Through Trust Countrywide Home Loan Mortgage Pass Through Trust Countrywide Home Loan Mortgage Pass Through Trust Countrywide Home Loan Mortgage Pass Through Trust Countrywide Home Loan Mortgage Pass Through Trust Credit Suisse First Boston Mortgage Securities Corp. Credit Suisse First Boston Mortgage Securities Corp. Credit Suisse Mortgage Capital Certificates Credit Suisse Mortgage Capital Certificates Credit Suisse Mortgage Capital Certificates Credit Suisse Mortgage Capital Certificates Credit Suisse Mortgage Capital Certificates Credit Suisse Mortgage Capital Certificates Credit Suisse Mortgage Capital Certificates Credit Suisse Mortgage Capital Certificates CS First Boston Mortgage Securities Corp. CVS Pass-Through Trust CVS Pass-Through Trust Deutsche ALT-A Securities, Inc. Alternate Loan Trust Deutsche ALT-A Securities, Inc. Alternate Loan Trust Deutsche Mortgage Securities, Inc. Downey Savings & Loan Association Mortgage Loan Trust Downey Savings & Loan Association Mortgage Loan Trust Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae

5.617 6.000 6.220 6.220 6.000 6.000 0.446 0.646 5.500 0.426 5.500 0.576 0.516 6.000 6.000 0.706 5.664 6.500 5.250 5.684 1.861 0.646 4.654 0.646 4.635 0.536 0.606 0.666 4.321 5.120 0.363 5.912 5.250 5.846 5.383 5.694 5.695 6.423 5.500 5.880 6.036 1.821 4.960 5.139 3.228 0.536 4.000 4.500 4.500 5.000 5.000 5.500 5.500 5.500 6.000 6.000 6.500 6.500 9.000 8.000 8.500

10/15/2048 07/25/2036 12/10/2049 12/10/2049 07/25/2037 02/25/2037 06/25/2037 03/25/2034 07/25/2035 05/25/2047 11/25/2035 11/20/2035 08/25/2035 04/25/2036 05/25/2036 10/25/2035 04/25/2037 11/25/2037 02/20/2036 05/20/2036 04/25/2046 09/25/2035 11/25/2034 09/25/2034 02/20/2035 04/25/2035 03/25/2035 11/25/2034 01/15/2037 08/15/2038 04/15/2021 06/15/2039 03/15/2039 03/15/2039 02/15/2040 09/15/2040 09/15/2040 02/15/2041 10/25/2035 01/10/2028 12/10/2028 04/25/2047 08/25/2035 06/26/2035 07/19/2044 10/19/2045 12/01/2099 12/01/2099 12/01/2099 12/01/2099 12/01/2099 12/01/2099 12/01/2099 12/01/2099 12/01/2099 12/01/2099 12/01/2099 12/01/2099 07/01/2016 08/01/2031 08/01/2024

685,000 393,464 1,110,000 275,000 641,748 156,653 612,435 310,976 663,259 601,257 263,269 1,029,928 448,923 467,237 306,926 1,050,000 280,850 524,558 120,214 598,211 355,393 792,317 362,454 231,931 819,288 128,921 40,827 35,309 140,986 5,050,000 173,910 2,265,000 611,208 1,120,000 2,500,000 545,000 1,200,000 1,570,000 1,051,527 11,829 1,043,036 4,043,006 1,060,000 920,000 124,358 621,192 920,000 2,020,000 7,815,000 6,555,000 13,465,000 8,245,000 12,000,000 15,227,500 900,000 12,630,000 1,350,000 2,800,000 715 59,962 1,744

632,210.27 287,638.74 921,977.32 132,458.15 420,344.71 120,985.97 281,621.37 238,761.51 465,970.61 268,811.89 202,446.43 555,203.92 217,279.76 386,578.81 256,611.35 868,633.40 72,411.61 429,481.53 81,049.41 392,694.15 131,489.75 525,173.83 269,002.35 118,269.91 718,473.72 69,513.39 30,607.73 23,326.25 142,572.15 5,093,954.70 144,047.60 1,788,133.47 623,012.26 1,104,286.51 1,957,426.00 493,833.17 945,724.92 1,285,791.38 942,102.61 11,151.46 1,005,434.74 1,865,419.12 632,077.05 604,864.03 45,378.72 326,115.70 935,812.96 2,091,330.24 7,915,125.78 6,872,511.09 13,906,813.58 8,719,087.50 12,502,500.00 15,927,020.90 958,500.00 13,324,650.00 1,442,812.50 2,982,000.00 744.70 67,980.01 1,993.18

688,166.80 395,623.14 609,551.54 93,759.06 630,594.95 157,883.33 612,435.39 311,540.37 653,298.94 600,483.78 259,714.96 1,029,928.21 448,922.62 470,927.71 309,863.64 874,553.39 281,740.74 522,885.16 119,876.36 598,211.06 355,919.81 792,317.32 355,106.77 232,125.87 803,008.60 128,920.67 28,709.58 24,830.21 135,431.02 4,962,656.49 173,909.71 2,250,458.18 606,886.95 1,116,968.67 2,511,389.61 546,782.08 1,205,628.12 1,551,759.17 998,487.37 11,806.82 1,034,735.45 2,941,781.61 1,038,022.52 768,372.46 117,420.87 621,191.57 929,343.75 2,074,440.62 7,854,026.95 6,855,580.47 13,792,754.69 8,683,751.17 12,431,152.08 15,797,278.51 955,546.87 13,283,026.58 1,440,689.84 2,977,812.50 733.25 63,486.16 1,791.63

Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities

Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities

United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States

B1Z5V70 B2Q9059 B2R0TF4 B04YBH1

B1W6GL5 B1D4V57 B2QN846 B1DRDK5 B19PLL0 B0DP0B2 B2R0M22 B0T5JZ3

B06GWM7

B1Z6FY8

B29D2R4 B3T82V0 B23S598 B188LC1

3136FA6C9 3136FCCV6

Fannie Mae Fannie Mae

5.000 4.500

10/01/2033 12/01/2018

731,676 1,715,916

124,154.46 197,495.70

123,984.72 Mortgage-Backed Securities 197,178.22 Mortgage-Backed Securities

Long-Term Securities Long-Term Securities

United States United States

2435462

3136FCCW4 3136FCM37 3136FCZM1 31371EXN0 31371EYJ8 31371EZT5 31371FPB2 31371FUR1 31371FWW8 31371G2P4 31371G4G2 31371GKK5 31371GKU3 31371GKV1 31371GN63 31371GSS0 31371GUL2 31371GVS6 31371HAD0 31371HAL2 31371HCR7 31371HDL9 31371HDP0 31371HHT8 31371HHZ4 31371HNQ7 31371JMD3 31371JNP5 31371JX82 31371K4C2 31371K4D0 31371K7F2 31371KLQ2 31371KQM6 31371KRN3 31371KWF4 31371L2R9 31371L4K2 31371L7M5 31371LFW4 31371M4A2 31371MDS3 31371MJ99 31371MSG3 31371QN79 31373FW22 31373JUQ3 31373KRU5 31373MPM1 31373QGN0 31373QJZ0 31373U7K7 31373UBY2 31373UP68 31373VXZ3 31373Y3B3 31374AQY9 31374B6X1 31374GTW7 31374SX89 31374TCY3

Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae

4.500 5.500 5.500 8.000 9.000 8.000 9.000 7.500 9.000 6.500 6.500 6.500 6.500 6.500 6.500 6.500 6.500 6.500 6.500 6.500 6.500 6.500 6.500 6.500 6.500 6.500 8.000 8.000 6.500 4.500 4.500 5.500 6.000 7.000 7.000 5.500 5.000 5.000 5.000 6.000 6.000 5.000 4.000 5.500 6.500 8.500 8.500 8.500 8.500 8.500 8.000 8.500 8.500 7.000 8.500 8.500 8.500 8.500 8.500 6.500 6.500

01/01/2019 04/01/2036 12/01/2035 06/01/2024 07/01/2024 12/01/2024 09/01/2026 03/01/2017 03/01/2027 09/01/2013 10/01/2018 02/01/2028 12/01/2017 01/01/2018 04/01/2028 05/01/2018 06/01/2018 07/01/2018 11/01/2018 09/01/2028 10/01/2028 01/01/2019 02/01/2019 04/01/2029 03/01/2019 06/01/2019 07/01/2030 08/01/2030 03/01/2016 04/01/2018 05/01/2018 07/01/2033 03/01/2017 05/01/2032 06/01/2032 12/01/2017 02/01/2020 03/01/2020 05/01/2020 11/01/2033 12/01/2026 08/01/2035 10/01/2020 04/01/2036 08/01/2036 08/01/2024 10/01/2024 10/01/2024 11/01/2024 03/01/2025 05/01/2025 03/01/2025 08/01/2025 05/01/2011 01/01/2025 05/01/2025 04/01/2025 05/01/2025 11/01/2017 02/01/2018 09/01/2018

1,904,403 540,207 2,150,670 48,939 3,294 31,874 4,316 476 1,245 24,167 4,665 19,836 13,082 14,503 1,049 15,012 10,808 35,448 36,909 36,044 21,089 10,207 4,901 45,485 24,543 18,875 66,961 39,317 50,487 846,485 345,442 457,701 11,253 115,644 181,755 10,612 151,146 34,442 246,002 20,218 278,281 650,010 573,696 617,233 329,236 2,918 3,302 7,806 1,252 2,747 1,063 2,560 4,133 2,747 6,377 2,952 1,794 2,893 2,778 3,495 4,434

205,144.09 69,274.48 300,424.87 55,322.66 3,763.96 36,031.66 4,940.65 533.73 1,425.62 25,870.34 5,076.59 21,417.21 14,217.25 15,761.34 1,135.00 16,336.61 11,761.96 38,575.52 40,165.87 39,007.72 22,822.86 11,107.33 5,254.66 49,182.92 26,709.54 20,540.77 75,914.85 44,574.79 54,408.99 894,191.21 364,910.74 481,539.53 12,085.34 126,398.82 198,582.13 11,370.31 160,202.54 36,505.41 260,127.82 21,514.29 296,611.86 673,803.38 585,231.85 644,558.24 352,656.28 3,333.82 3,772.89 8,907.07 1,431.05 3,137.03 1,202.88 2,923.48 4,723.12 2,788.85 7,286.90 3,372.85 2,048.91 3,302.76 3,028.85 3,797.72 4,824.94

199,657.22 69,525.50 287,466.16 49,966.32 3,422.36 32,555.18 4,467.84 480.86 1,293.38 24,612.13 4,786.13 20,263.15 13,406.35 14,713.94 1,040.94 15,393.08 11,083.93 36,356.06 37,872.03 36,359.80 21,273.96 10,475.29 5,030.34 45,866.82 25,194.50 19,381.72 70,842.10 41,598.77 51,896.58 841,076.70 338,236.34 456,911.62 11,474.51 121,258.40 190,829.79 10,803.25 150,907.32 34,387.44 245,617.08 20,842.48 281,329.95 635,091.05 540,423.62 600,429.80 334,947.60 2,979.32 3,391.91 8,018.96 1,286.64 2,815.41 1,093.22 2,631.23 4,237.64 2,736.09 6,533.79 3,033.87 1,839.03 2,975.23 2,831.48 3,582.00 4,548.37

Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities

Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities

United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States

B2Q9059

B0C6M76 2330426

2734318 2748955 2122344

B3L9B47

31374TG78 31374TGE3

Fannie Mae Fannie Mae

6.500 6.500

12/01/2028 11/01/2028

72,138 8,359

78,069.86 9,045.82

69,185.85 Mortgage-Backed Securities 8,589.65 Mortgage-Backed Securities

Long-Term Securities Long-Term Securities

United States United States

B121F57

31374TGV5 31374TV48 31374TVA4 31374TZ93 31374URV0 31374W2A9 31375AQB8 31375CZP3 31375E6G1 31375FR83 31375MW41 31375RMG4 31376DUM2 31376HRV7 31377SDY1 31378X4S2 31378X5B8 31378XB47 31378YJA3 31378YJR6 31379CVL2 31379JM94 31379LVE8 31379PXQ0 31379SPX8 31379SQQ2 31379T3W2 31379TXY5 31379UE98 31379XFZ3 31379XGD1 31379YQS5 31380EJW5 31380FX97 31380GFJ3 31380HQJ9 31380JQB2 31380RWH4 31380WT20 31381B4S5 31381B5K1 31381CBY2 31381E4X8 31381FBS8 31382EQD7 31382KQE1 31382LM29 31382LX76 31382RNW9 31382VGU2 31382XNN6 31383QHD9 31383VCP6 31384LXS8 31384VQV7 31384VSF0 31384WBG4 31384WFS4 31384WHK9 31385HXZ0 31385JJF6

Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae

6.500 6.500 6.500 7.000 7.000 7.000 7.000 7.000 7.000 7.000 7.000 7.000 7.000 8.000 5.190 6.500 6.500 6.500 6.500 6.500 6.500 6.500 6.500 6.500 6.500 6.500 6.500 6.500 6.500 6.500 6.500 6.500 6.500 6.500 6.500 6.500 6.500 6.500 6.500 6.500 5.500 6.500 6.500 6.500 6.500 6.500 6.500 6.500 6.500 6.500 6.500 6.500 6.500 6.500 5.500 7.000 6.500 5.500 6.500 6.000 6.500

12/01/2028 05/01/2029 06/01/2019 10/01/2029 09/01/2025 11/01/2025 11/01/2025 01/01/2027 02/01/2026 01/01/2026 03/01/2026 04/01/2026 04/01/2012 09/01/2011 09/01/2012 01/01/2028 01/01/2028 03/01/2018 01/01/2018 02/01/2028 02/01/2018 06/01/2018 04/01/2028 04/01/2018 06/01/2018 05/01/2018 06/01/2028 07/01/2018 06/01/2018 06/01/2028 06/01/2018 08/01/2028 07/01/2013 09/01/2028 08/01/2028 10/01/2028 09/01/2028 10/01/2018 11/01/2028 12/01/2028 12/01/2013 01/01/2029 01/01/2029 01/01/2029 04/01/2029 03/01/2029 03/01/2029 04/01/2029 03/01/2019 04/01/2029 04/01/2029 04/01/2019 09/01/2029 11/01/2019 12/01/2014 03/01/2015 06/01/2015 03/01/2016 02/01/2020 11/01/2016 07/01/2032

94,952 715,755 7,847 92,480 2,629 4,906 6,543 6,888 1,038 8,280 9,437 3,634 1,840 634 722,800 2,548 37,015 13,592 5,262 3,727 887 2,221 937 13,804 5,723 2,846 6,892 8,536 14,918 1,039 14,680 600 464 13,429 2,201 4,308 13,238 6,895 7,637 2,718 4,784 14,060 10,640 3,252 11,289 15,151 8,405 183,154 7,574 9,001 8,986 7,539 10,888 18,651 12,561 7,713 11,401 2,461 44,107 2,832 96,712

102,759.32 774,610.79 8,540.12 102,276.82 2,902.95 5,418.14 7,225.25 7,603.74 1,145.69 9,143.70 10,420.96 4,012.06 1,937.22 666.27 771,332.92 2,750.78 39,966.61 14,791.13 5,718.03 4,033.38 965.63 2,416.55 1,013.51 15,021.74 6,227.63 3,096.68 7,459.11 9,288.93 16,234.79 1,124.76 15,974.90 649.66 496.33 14,533.42 2,382.05 4,662.72 14,326.03 7,502.88 8,265.44 2,941.07 5,102.06 15,216.45 11,515.07 3,519.83 12,206.33 16,382.92 9,096.23 198,214.43 8,043.41 9,732.38 9,716.28 8,193.06 11,783.13 20,297.16 13,396.56 8,206.38 12,204.71 2,624.77 47,999.63 3,042.44 104,362.19

96,989.66 674,564.82 8,058.23 96,473.37 2,656.32 4,958.13 6,611.81 6,976.61 1,048.68 8,367.91 9,537.38 3,673.36 1,833.34 632.73 721,045.55 2,632.18 38,243.39 13,933.56 5,392.56 3,733.36 909.53 2,277.25 967.70 14,152.47 5,868.64 2,917.83 7,122.59 8,754.49 15,298.94 1,074.02 15,054.03 620.41 472.92 13,584.31 2,274.78 4,427.42 13,602.61 7,073.61 7,848.63 2,728.44 4,731.60 14,450.18 10,176.26 3,252.39 11,334.15 15,572.54 8,037.74 191,266.97 7,775.15 9,251.30 9,289.89 7,739.92 10,932.26 19,161.48 12,784.97 7,613.17 11,669.12 2,510.82 45,327.04 2,897.49 99,253.16

Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities

Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities

United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States

B06CQM3

2986625

31385W4K2 31385WZT9

Fannie Mae Fannie Mae

5.500 6.500

04/01/2033 01/01/2033

680,949 279,428

716,415.22 301,706.77

684,358.50 Mortgage-Backed Securities 286,654.45 Mortgage-Backed Securities

Long-Term Securities Long-Term Securities

United States United States

B03P1P3

31385X2N6 31385XDU8 31385XEC7 31385XM87 31385XNR4 31385XQ59 31385XQ91 31385XR41 31385XTY3 31386SPR2 31386WWQ7 31386YTL8 31387BVX8 31387E6B8 31387FWT7 31387FZE7 31387NHP5 31388LXQ8 31388NDM5 31388R2M8 31388TLP6 31388W5D4 31388YWF5 31389CN70 31389FBG6 31389HLX4 31389JGH1 31389KUX7 31389M5E3 31389RT71 31389S5Y6 31389S7A6 31389X4Y6 31389XA52 31389XCY7 31390F2P3 31390FGD5 31390KPY8 31390KRS9 31390L2E5 31390LL95 31390MJT2 31390MUL6 31390N3C4 31390PBQ9 31390TNE5 31390UZD1 31390YVY1 31391DJ61 31391E6B2 31391FYL6 31391H2M5 31391K3Z8 31391RZ96 31391USE6 31391WAB7 31391Y7B7 31400E4C1 31400GDM4 31400HPN7 31400JCD9

Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae

6.500 6.500 5.500 4.500 5.500 5.500 5.500 3.746 5.500 6.000 6.000 6.000 8.000 6.500 6.000 6.500 6.500 6.500 6.500 8.000 6.000 8.000 6.000 6.000 5.500 5.500 5.500 6.500 6.500 6.000 6.500 8.000 6.000 6.500 6.000 7.000 6.500 6.000 8.000 6.000 8.000 5.500 6.500 6.500 6.500 6.500 5.500 6.500 5.500 5.000 5.500 5.000 5.500 6.000 5.500 5.000 5.500 6.500 5.500 5.500 6.000

07/01/2030 12/01/2017 06/01/2033 10/01/2033 10/01/2033 10/01/2033 11/01/2033 11/01/2033 11/01/2033 04/01/2016 04/01/2016 06/01/2016 05/01/2031 06/01/2016 05/01/2016 05/01/2031 06/01/2031 09/01/2031 10/01/2031 03/01/2031 12/01/2016 01/01/2032 01/01/2017 02/01/2017 01/01/2017 03/01/2017 01/01/2017 02/01/2032 09/01/2032 05/01/2017 03/01/2032 12/01/2031 04/01/2017 05/01/2032 04/01/2017 05/01/2032 05/01/2032 06/01/2017 06/01/2032 06/01/2017 02/01/2032 11/01/2032 02/01/2032 07/01/2032 08/01/2032 08/01/2032 01/01/2033 09/01/2032 01/01/2018 05/01/2018 10/01/2017 02/01/2018 10/01/2017 12/01/2017 01/01/2018 01/01/2033 02/01/2018 01/01/2033 02/01/2033 03/01/2033 03/01/2033

6,581 161,561 1,176,458 1,132,557 1,465,936 17,185 1,476,129 135,467 12,600 11,540 19,035 8,116 16,490 25,222 40,022 33,998 18,298 927 43,968 3,726 16,858 1,426 30,676 73,948 10,113 9,257 5,037 23,035 34,276 488,253 163,127 1,462 74,023 6,366 60,814 0 52,296 65,028 1,291 58,798 1,335 45,665 92,045 1,426 102,714 296,390 205,048 22,793 599,874 30,989 53,378 472,271 48,276 14,513 571,295 100,223 76,130 2,113 845,803 331,057 226,263

7,115.93 174,403.31 1,237,732.01 1,155,090.00 1,542,286.89 18,080.30 1,553,010.40 136,433.46 13,256.46 12,397.17 20,449.52 8,719.34 18,696.96 27,226.57 42,995.05 36,708.47 19,756.97 1,000.80 47,473.09 4,220.34 18,110.09 1,616.80 32,955.65 79,419.37 10,813.29 9,918.93 5,397.37 24,857.55 36,987.51 524,528.74 176,030.57 1,657.32 79,499.57 6,869.62 65,313.81 0.01 56,432.94 69,839.20 1,464.08 63,148.50 1,513.92 48,057.15 99,613.72 1,538.78 110,839.32 319,836.05 215,791.51 24,595.55 642,005.36 32,922.86 57,194.00 501,751.52 51,726.75 15,586.56 612,133.71 104,048.10 81,571.63 2,279.73 889,854.78 348,299.42 240,772.42

6,767.68 166,365.24 1,226,191.12 1,060,352.77 1,453,207.39 17,337.39 1,490,535.89 49,629.89 12,585.42 11,794.08 19,454.69 8,297.74 17,455.88 25,872.68 40,254.39 35,343.98 19,100.49 963.72 45,722.27 3,943.51 17,274.51 1,510.16 31,289.97 75,695.91 10,142.33 9,315.67 5,068.79 23,625.75 35,456.79 490,768.45 167,310.98 1,547.92 75,786.69 6,528.51 60,585.35 0.01 54,695.18 65,518.90 1,367.87 59,242.09 1,414.15 45,980.89 95,731.04 1,474.31 106,775.00 304,024.64 206,560.85 23,688.55 595,872.49 31,523.44 53,736.87 476,706.46 48,432.94 14,874.15 567,484.66 98,290.25 75,621.35 2,184.56 858,612.52 326,264.18 229,971.41

Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities

Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities

United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States

B02K2X4 B03NX17 B11PFM7 B03NXT5

B11JP85

31400JXF1 31400JXG9

Fannie Mae Fannie Mae

5.000 5.000

03/01/2033 03/01/2033

832,167 792,087

863,928.30 822,318.38

816,106.26 Mortgage-Backed Securities 776,799.60 Mortgage-Backed Securities

Long-Term Securities Long-Term Securities

United States United States

31400QKM4 31400T3B1 31400YPN0 31401AMG9 31401KL86 31401LA86 31401LRX3 31401PEU4 31402C4B5 31402C4G4 31402C4J8 31402CTT9 31402CVN9 31402CVY5 31402CZC9 31402DGL8 31402DGQ7 31402DJ84 31402DJS0 31402DMZ0 31402DP79 31402FJ97 31402HH20 31402QPF2 31402QTV3 31402QWA5 31402QY39 31402QYV7 31402QYY1 31402R7G8 31402RDF3 31402RDG1 31402RF87 31402RTZ2 31402RUN7 31403CUZ2 31403CZT1 31403DBW8 31403DG94 31403DHK8 31403DSB6 31403DWU9 31403EHD2 31403FRP1 31403GRA2 31403GU42 31403NHR1 31403NYC5 31403SBW5 31403UPF2 31403X3T0 31404EGE0 31404LJW1 31404MCN6 31404MQ68 31404UPG9 31404WDL7 31404WVW3 31404XK94 31405BBB6 31405BLB5

Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae

5.500 5.500 5.000 5.500 2.857 5.000 4.500 5.500 6.500 5.500 5.500 6.000 5.500 5.000 5.000 6.000 5.000 5.000 5.500 5.000 5.500 5.500 5.000 4.500 5.000 5.500 5.500 5.500 5.500 6.500 6.000 6.000 5.000 5.000 5.500 6.000 6.000 5.500 5.000 4.000 6.500 5.500 5.500 6.500 6.500 5.500 6.500 5.500 5.500 5.500 5.000 5.500 6.500 4.500 5.500 4.500 6.500 4.500 5.000 5.000 5.500

03/01/2033 04/01/2033 03/01/2018 06/01/2033 06/01/2033 06/01/2033 09/01/2033 05/01/2033 05/01/2034 05/01/2034 04/01/2034 02/01/2034 01/01/2034 02/01/2034 04/01/2019 08/01/2034 08/01/2019 09/01/2019 09/01/2034 10/01/2019 11/01/2034 06/01/2033 07/01/2018 09/01/2033 12/01/2019 01/01/2035 02/01/2035 02/01/2035 02/01/2035 05/01/2013 04/01/2035 04/01/2035 06/01/2035 04/01/2035 02/01/2035 10/01/2035 01/01/2036 03/01/2036 04/01/2020 04/01/2021 07/01/2036 11/01/2036 11/01/2018 11/01/2033 10/01/2033 04/01/2034 11/01/2033 12/01/2018 11/01/2033 12/01/2033 05/01/2019 02/01/2034 03/01/2034 05/01/2034 03/01/2034 06/01/2034 07/01/2034 05/01/2034 11/01/2034 06/01/2019 11/01/2034

584,113 262,222 234,904 1,474,664 308,343 563,885 219,275 115,285 124,136 1,452,395 1,441,067 640,018 2,823,455 254,107 560,456 865,165 18,460 148,799 587,285 865,524 11,157,159 498,751 296,330 4,156,524 145,402 2,484,744 52,169 1,871,536 520,147 3,236 1,286,023 1,220,996 1,839,529 560,190 881,179 59,025 275,796 1,038,290 662,136 305,128 357,876 1,315,450 36,295 316,193 9,241 145,164 79,078 36,775 353,830 40,845 273,265 337,176 163,207 181,998 126,505 193,353 177,719 760,859 268,364 163,080 44,901

614,535.09 275,878.89 249,566.69 1,551,469.93 313,861.01 585,406.72 223,638.16 121,289.28 134,033.25 1,528,040.97 1,517,215.29 681,059.11 2,970,509.79 263,805.40 595,440.96 920,643.31 19,566.00 157,715.42 617,138.89 917,387.80 11,724,314.41 524,727.56 314,827.84 4,239,221.19 154,114.60 2,611,051.66 54,820.41 1,969,011.92 546,587.76 3,452.86 1,366,479.54 1,299,292.67 1,908,013.29 581,045.40 927,348.80 62,744.58 292,361.32 1,090,421.09 703,467.85 311,263.64 383,334.17 1,379,647.05 38,843.64 340,612.50 9,954.51 152,543.09 85,185.45 39,357.38 372,258.52 42,971.85 289,639.04 354,315.76 175,454.59 185,504.74 132,935.73 197,078.71 191,054.93 775,521.53 278,355.26 172,852.47 47,183.81

579,146.45 269,536.45 232,994.34 1,481,864.65 302,843.62 552,909.20 209,701.76 116,439.01 129,519.05 1,432,718.43 1,455,808.29 645,469.69 2,836,991.46 249,144.85 555,678.78 867,118.07 18,622.77 148,561.08 591,425.32 852,527.98 11,143,344.00 503,748.70 296,190.90 3,873,349.84 145,171.44 2,481,658.58 52,537.61 1,883,989.55 525,929.28 3,311.46 1,301,200.43 1,232,412.07 1,801,104.33 533,830.79 868,319.99 59,485.21 277,016.02 1,042,851.21 651,277.82 289,023.10 364,312.56 1,297,148.48 37,084.14 322,867.55 9,435.81 146,355.71 80,747.53 36,827.29 355,096.09 41,206.68 275,468.76 342,545.32 168,870.70 174,020.36 127,542.72 183,945.47 180,565.22 727,509.88 256,303.30 162,817.68 45,218.33

Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities

Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities

United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States

2568562 B02FG48 B010967

B1VJDL4 B1VJDK3 B03QP54 B06CQN4

B08KYN2

B1FH1C1 B0MT231 B0V3XP3

2397885

B0NZTC6

31405DND5 31405GMY3

Fannie Mae Fannie Mae

6.500 4.500

07/01/2034 06/01/2034

216,864 131,410

233,137.39 133,942.55

220,086.66 Mortgage-Backed Securities 125,647.32 Mortgage-Backed Securities

Long-Term Securities Long-Term Securities

United States United States

31405GN97 31405JWD2 31405KLH2 31405NH81 31405PRS1 31405U3C1 31405UYB9 31405VBZ9 31406BFP0 31406BWL0 31406GAU3 31406J6F5 31406J7A5 31406KJ68 31406N5L4 31406NE42 31406NP57 31406NQQ0 31406NRR7 31406P2X6 31406PP29 31406QZH3 31406RD36 31406T2K6 31406T5M9 31407ADE8 31407BR43 31407CAC1 31407DXK6 31407E6L2 31407FBK5 31407GAX6 31407JYK2 31407JZK1 31407LF69 31407PCJ5 31407PJH2 31407PWM6 31407QNA0 31407SDW9 31407SQN5 31407TX39 31407X4W8 31407XA92 31407XPG0 31407XUW9 31407XWM9 31407XZM6 31407YRJ0 31408AJZ4 31408CA97 31408FF95 31408JD40 31408JDA6 31409FRB6 31410DBC3 31410EMH8 31410GRN5 31410KJ39 31410KNN0 31410KS62

Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae

6.500 6.000 6.500 5.000 2.251 5.000 5.500 5.000 6.000 6.000 6.000 5.000 5.000 4.500 5.000 5.000 5.000 5.000 5.000 5.000 5.000 5.000 5.000 5.000 5.000 5.500 5.000 4.000 5.000 3.608 5.000 5.000 5.000 3.105 5.000 5.500 3.020 3.019 6.000 5.000 6.500 5.500 3.026 5.000 3.017 3.039 3.016 3.030 3.042 5.000 6.000 4.500 5.500 5.000 6.500 6.500 6.000 5.500 5.000 6.000 5.500

07/01/2031 09/01/2034 08/01/2032 09/01/2019 07/01/2044 12/01/2019 11/01/2034 12/01/2019 01/01/2035 01/01/2035 06/01/2032 02/01/2020 05/01/2020 02/01/2035 02/01/2020 04/01/2020 04/01/2020 04/01/2020 05/01/2020 03/01/2020 05/01/2020 04/01/2020 08/01/2035 04/01/2020 04/01/2020 12/01/2034 09/01/2020 07/01/2020 06/01/2020 07/01/2035 08/01/2020 08/01/2035 07/01/2035 08/01/2035 08/01/2020 10/01/2035 10/01/2035 10/01/2035 09/01/2035 10/01/2035 09/01/2032 05/01/2022 11/01/2035 08/01/2033 11/01/2035 11/01/2035 11/01/2035 11/01/2035 11/01/2035 06/01/2021 11/01/2035 09/01/2020 02/01/2036 12/01/2020 04/01/2036 06/01/2036 06/01/2036 08/01/2037 12/01/2036 07/01/2038 12/01/2036

9,081 1,294,157 34,887 153,697 130,817 131,498 17,338 349,132 330,553 218,157 292,041 51,296 851,432 749,017 673,366 26,381 329,931 22,677 399,565 695,865 262,449 341,498 29,578 82,783 472,416 397,366 36,530 859,671 261,684 434,049 539,386 2,520,248 1,851,229 261,593 614,090 712,255 1,587,449 562,430 820,751 473,163 365,412 816,913 261,107 1,085,573 395,830 221,176 265,825 256,273 219,159 546,248 459,607 517,985 1,171,695 39,616 85,122 137,027 941,942 719,007 411,944 2,223,943 1,418,820

9,810.19 1,375,122.59 37,723.28 162,907.08 129,153.04 139,377.27 18,219.82 370,052.34 351,233.32 231,805.10 311,224.74 54,241.61 900,322.76 762,514.62 713,715.26 27,895.36 348,876.77 23,979.17 422,508.38 735,823.39 277,519.70 361,960.80 30,660.89 87,536.59 499,542.55 417,564.93 38,627.18 876,956.36 276,710.75 444,606.36 570,358.75 2,612,499.39 1,918,992.18 264,430.93 649,352.40 748,015.82 1,602,743.69 567,835.23 872,098.91 490,482.53 394,774.66 865,225.77 263,622.88 1,128,769.38 399,633.80 223,312.49 268,379.68 258,748.82 221,281.40 575,907.83 487,211.94 547,177.32 1,228,876.03 41,890.93 91,176.75 146,774.17 996,751.63 755,107.11 427,022.98 2,349,400.69 1,490,056.20

9,434.92 1,304,958.76 35,804.72 153,451.71 131,564.69 131,289.30 17,458.43 352,022.04 340,639.80 224,813.66 300,227.99 51,215.22 850,099.98 695,149.07 678,979.29 26,339.17 329,414.02 22,641.45 398,939.56 694,771.27 262,038.79 340,962.02 28,907.67 82,653.19 471,674.63 405,714.00 35,631.91 808,470.49 257,410.28 432,421.45 539,211.28 2,462,402.35 1,766,991.84 259,848.84 602,122.86 714,430.39 1,603,973.69 575,262.64 829,107.83 467,934.63 372,349.09 818,816.23 267,607.29 1,043,195.27 404,568.49 226,580.23 272,318.51 262,555.98 224,526.70 532,738.44 464,486.72 507,476.29 1,181,196.07 38,638.63 86,573.92 139,377.09 942,905.84 710,961.90 392,545.30 2,263,813.46 1,417,388.83

Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities

Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities

United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States

B2QKDK8

31410NYH5 31410PNA7

Fannie Mae Fannie Mae

6.500 6.500

08/01/2036 08/01/2036

102,069 500,806

109,329.85 536,431.17

103,821.51 Mortgage-Backed Securities 509,494.22 Mortgage-Backed Securities

Long-Term Securities Long-Term Securities

United States United States

31410QHY0 31410QKJ9 31410V6B1 31410VE63 31411AEK7 31411AEL5 31411AGU3 31411APB5 31411AVG7 31411F4F8 31411HNR7 31411HQN3 31411LF22 31411WWN3 31412AUU6 31412FTB9 31412NES1 31412SY33 31413APA5 31413JUB8 31413KYS4 31413LHT9 31413LJB6 31413MFH5 31413MJ99 31413NES0 31413NJ63 31413TLU4 31413UUF4 31413YLB5 31414BYE4 31414CGL6 31414ESU9 31414GQ28 31414JAA1 31415PAU2 31415PCD8 31415PZD3 31415RSP0 31415WLP6 31416BLA4 31416BLB2 31416BN53 31416BN61 31416S2A8 31416T5F2 31392J3T4 31393BE92 31393BNP6 31393BRR8 31393D3G4 31393XQP5 31394EZC5 31394VL73 31395NNJ2 31396V4Q8 31392GVX0 31393XGV3 31395M2F5 31398AYM8 32051D6B3

Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae REMICS Fannie Mae REMICS Fannie Mae REMICS Fannie Mae REMICS Fannie Mae REMICS Fannie Mae REMICS Fannie Mae REMICS Fannie Mae REMICS Fannie Mae REMICS Fannie Mae REMICS Fannie Mae Whole Loan Fannie Mae Whole Loan Federal Home Loan Mortgage Corp. Structured Pass Through Securities Federal National Mortgage Association First Horizon Alternative Mortgage Securities

6.000 6.000 6.500 6.500 7.000 6.500 6.500 6.000 5.500 6.000 6.500 5.500 5.000 5.500 5.538 6.500 5.000 5.000 6.500 5.500 5.500 6.500 6.500 6.500 6.500 6.500 5.838 5.500 5.500 6.500 5.000 5.500 5.000 5.500 5.500 5.000 5.000 5.500 5.000 5.500 5.500 5.500 5.500 5.500 5.000 4.500 5.000 0.646 0.646 5.000 0.646 0.596 0.496 4.158 0.000 0.306 6.500 0.596 2.251 1.750 3.115

10/01/2036 10/01/2036 04/01/2037 10/01/2036 10/01/2036 11/01/2036 10/01/2036 11/01/2021 11/01/2021 12/01/2036 02/01/2037 01/01/2037 01/01/2023 05/01/2037 09/01/2037 05/01/2037 09/01/2038 04/01/2038 07/01/2037 10/01/2022 11/01/2037 11/01/2037 12/01/2037 09/01/2037 09/01/2037 10/01/2037 08/01/2037 10/01/2037 01/01/2038 08/01/2037 02/01/2023 03/01/2038 07/01/2038 11/01/2036 12/01/2037 07/01/2038 06/01/2038 06/01/2038 08/01/2038 12/01/2038 02/01/2038 08/01/2037 07/01/2036 09/01/2036 04/01/2024 08/01/2039 02/25/2017 05/25/2018 11/25/2022 12/25/2016 01/25/2033 11/25/2032 08/25/2035 05/25/2035 06/25/2036 07/25/2037 12/25/2042 03/25/2044 02/25/2045 08/10/2012 09/25/2034

1,628,233 347,983 776,915 327,918 133,652 125,863 209,148 191,145 14,395 768,592 2,076,862 830,698 692,607 161,978 598,776 149,106 1,626,165 4,991,224 398,603 35,272 248,448 1,333,353 528,987 812,250 437,617 146,044 144,448 655,057 879,886 72,310 74,257 53,614 1,926,650 191,663 894,019 243,755 3,707,400 5,357,458 816,651 0 763,905 1,521,508 2,310,033 458,094 532,513 368,432 14,154 812,096 152,619 298,927 340,251 186,796 89,532 66,294 151,895 672,063 48,867 342,296 52,443 125,000 238,989

1,722,975.35 368,230.82 831,695.07 351,244.79 146,174.10 134,816.00 224,025.49 204,211.85 15,270.77 809,951.59 2,223,302.40 871,237.52 727,252.40 169,756.74 630,520.42 159,619.55 1,682,294.57 5,163,504.58 426,708.66 37,358.28 260,378.51 1,422,160.31 564,219.54 866,349.12 468,473.56 156,342.05 151,924.25 686,513.62 922,139.06 77,408.58 77,971.64 56,163.04 1,993,151.60 201,016.83 936,950.81 252,169.07 3,835,367.55 5,612,215.92 844,838.96 0.01 801,185.26 1,597,900.08 2,427,460.11 481,953.17 559,097.21 373,689.43 14,661.91 801,740.85 150,497.48 307,656.05 333,872.01 184,141.18 89,196.47 67,716.20 135,973.51 606,501.23 52,793.28 322,285.76 49,623.72 125,569.63 189,268.53

1,637,306.20 349,933.20 791,321.02 333,773.51 137,461.14 127,966.96 212,777.89 193,778.23 14,332.94 769,088.19 2,119,673.64 848,184.93 713,927.94 166,301.99 599,231.04 150,166.03 1,534,256.02 4,739,733.07 405,999.78 35,191.84 256,724.93 1,355,620.16 536,589.20 825,427.53 445,233.62 148,756.45 144,647.35 634,427.90 911,515.04 73,652.13 76,631.51 51,924.38 1,797,177.85 193,078.14 926,154.98 229,832.37 3,497,921.71 5,188,613.46 761,766.24 0.01 767,132.65 1,527,936.18 2,315,357.38 459,149.87 549,572.57 371,219.09 14,056.84 858,540.86 153,271.35 297,309.33 341,292.11 187,028.66 89,532.34 65,314.52 118,769.02 664,872.41 50,932.57 342,384.67 52,588.89 124,914.15 238,652.60

Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities

Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities

United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States

B3BPFM1

B0W90F9 B0LSTF0 B0YHYQ0 B24CMK9

B28BH63 B3KYBW1 B0FN5C0

32051HAF0 32052CAA1

First Horizon Alternative Mortgage Securities First Horizon Alternative Mortgage Securities

6.000 6.515

07/25/2036 01/25/2037

342,994 2,024,486

280,010.95 1,045,339.68

343,405.05 Mortgage-Backed Securities 2,051,775.31 Mortgage-Backed Securities

Long-Term Securities Long-Term Securities

United States United States

32052QAB8 32051GXT7 02R0426A1 02R0504A6 02R0506A4 02R0506B2 02R0526A0 02R0526B8 02R0606A3 31280GYW4 31280JSB1 31280K7B1 31280QEH7 31280QJK5 31283GJ73 31283GKA4 31283GYU5 31283H4E2 31283H4Z5 31283H7K5 31283HCU7 31283HUK9 31283HWY7 31283HZH1 31283JPU9 31283JSD4 31283JSM4 31283K6M5 31287NCG1 31287R4E6 31287TFZ3 31287UEM0 31287UF72 31287UV25 31287VB25 31287VNN6 31287XEP7 31287XEY8 31287YND2 31288CEF4 3128EWXN5 3128FKVK8 3128GE2R8 3128GMG20 3128GMR44 3128GMVY3 3128GUSU7 3128GUSV5 3128GUXS6 3128GVCQ1 3128GVSX9 3128GVVP2 3128GYAB0 3128H43M9 3128H6V92 3128JNZD0 3128KEC68 3128KSYJ5 3128KYFP9 3128LCQ66 3128LD6M1

First Horizon Alternative Mortgage Securities First Horizon Asset Securities, Inc. Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac

6.475 5.531 4.500 5.000 5.000 5.000 5.500 5.500 6.000 6.000 6.000 7.000 6.000 6.000 8.000 8.000 8.500 6.500 5.500 5.500 6.500 6.500 5.500 5.500 7.000 6.000 7.000 4.500 7.500 7.000 7.000 7.000 7.000 7.000 7.000 6.000 7.000 6.500 5.500 6.500 9.000 6.500 7.000 6.000 6.000 6.000 6.000 6.000 6.000 6.000 6.000 6.000 5.000 4.500 5.000 5.884 6.000 5.000 6.000 5.500 6.000

09/25/2036 10/25/2035 12/01/2099 12/01/2099 12/01/2099 12/01/2099 12/01/2099 12/01/2099 12/01/2099 02/01/2011 05/01/2011 09/01/2011 02/01/2013 03/01/2013 02/01/2025 01/01/2025 05/01/2027 08/01/2034 12/01/2034 12/01/2032 11/01/2028 11/01/2032 06/01/2033 02/01/2034 12/01/2010 05/01/2011 06/01/2011 09/01/2020 01/01/2032 04/01/2032 06/01/2032 06/01/2032 06/01/2032 06/01/2032 07/01/2032 08/01/2032 08/01/2032 08/01/2032 09/01/2032 11/01/2032 06/01/2025 02/01/2027 12/01/2014 07/01/2016 08/01/2016 09/01/2016 07/01/2017 07/01/2017 08/01/2017 08/01/2017 09/01/2017 09/01/2017 01/01/2018 06/01/2018 09/01/2018 08/01/2037 06/01/2036 07/01/2037 08/01/2037 06/01/2038 07/01/2038

431,193 181,318 3,915,000 2,500,000 1,455,000 5,600,000 1,865,000 5,500,000 5,290,000 2,944 2,745 703 11,484 3,256 6,999 3,649 43,388 155,400 1,176,293 1,103,938 16,540 130,595 2,839,951 494,058 2,278 18,390 1,641 237,783 38,678 83,383 78,409 33,618 25,931 4,432 8,248 34,244 5,210 233,797 110,922 46,313 7,241 457 12,784 33,306 164,135 4,966 102,527 79,423 25,679 38,036 51,988 14,474 186,207 1,076,408 234,444 187,712 157,580 621,367 202,678 0 114,241

53,422.69 158,057.23 3,960,265.23 2,623,437.50 1,503,196.88 5,764,500.00 1,951,838.13 5,737,187.50 5,582,600.48 3,136.51 2,924.40 733.45 12,258.61 3,475.97 7,931.79 4,134.77 49,765.30 166,527.12 1,236,822.67 1,162,124.24 17,837.53 140,435.63 2,988,752.56 519,944.20 2,331.42 19,595.08 1,712.26 248,955.12 43,447.54 91,694.00 85,959.90 36,854.93 28,428.15 4,859.28 9,042.50 36,460.78 5,711.46 251,414.71 116,768.59 49,803.18 8,302.03 492.43 13,718.03 35,738.99 176,124.35 5,328.88 109,951.92 85,175.17 27,539.06 40,790.65 55,752.88 15,522.36 198,295.59 1,137,071.66 249,591.11 198,696.71 166,798.33 643,043.35 214,407.57 0.01 120,720.88

436,170.98 151,857.82 3,927,084.38 2,602,968.75 1,490,815.64 5,736,718.75 1,939,671.88 5,742,343.75 5,568,425.01 2,927.30 2,729.77 704.06 11,426.21 3,239.78 7,164.09 3,734.34 44,756.14 159,822.12 1,152,126.93 1,093,798.78 15,904.20 136,089.02 2,829,051.39 498,487.00 2,273.01 18,300.36 1,642.95 229,828.42 40,329.10 86,707.85 81,517.92 34,985.19 26,959.13 4,592.85 8,584.08 35,081.19 5,404.08 243,517.31 109,803.68 48,244.86 7,441.58 466.70 12,888.09 33,959.87 167,474.09 5,064.94 104,315.85 80,809.13 26,129.96 38,828.15 53,076.54 14,777.27 182,809.80 1,061,572.16 236,288.62 186,853.10 160,490.71 589,239.77 205,430.83 53.66 115,365.29

Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities

Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities

United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States

B02WJG2

B2PB3T1

3128LUU38 3128LUUN4

Freddie Mac Freddie Mac

5.802 5.807

08/01/2037 08/01/2037

129,162 418,366

136,609.37 442,568.73

128,671.84 Mortgage-Backed Securities 416,591.49 Mortgage-Backed Securities

Long-Term Securities Long-Term Securities

United States United States

B2PD9G6

3128LXAU4 3128LXB90 3128M4YN7 3128M5NL0 3128M5NM8 3128M6J58 3128M6LT3 3128M6N79 3128M6PE2 3128M6PH5 3128M6PJ1 3128M6PU6 3128M6R83 3128M6RY6 3128M6YJ1 3128M7LM6 3128M7MR4 3128NGEQ4 3128NHQJ5 3128NJAT6 3128NJAW9 3128NUBX1 3128PDJE1 3128QGL75 3128QHS43 3128QHTK6 3128QSLV6 3128QSMV5 3128QSNS1 3128QSRW8 3128QSSJ6 3128QUA43 3128S4K22 312927B62 31292G2S4 31292G4U7 31292GWN2 31292GZZ2 31292HSD7 31292HSF2 312935GN3 31293AF29 31293PV85 31294JPE2 31294JRN0 31294KQ73 31294KZE8 31295LBG6 3129622S1 312962R70 312964RH4 312964TZ2 312965ZX7 312967G97 312969C63 31296N3D7 31296RAS7 31296SC20 312972NL2 312973C24 31297CDQ0

Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac

5.000 5.000 6.500 5.500 5.500 6.000 5.500 6.000 6.000 6.000 6.000 5.000 6.000 5.500 5.000 6.000 6.000 5.910 5.968 5.890 4.981 5.863 5.500 6.128 5.597 5.879 5.733 5.464 6.085 5.687 5.707 5.682 5.535 6.000 6.500 6.500 6.500 6.500 7.000 5.500 4.500 6.500 6.500 6.000 8.000 5.000 4.500 3.384 5.000 5.000 4.500 5.000 4.500 4.500 5.500 5.000 6.500 6.500 5.500 5.500 4.500

06/01/2035 01/01/2034 11/01/2036 11/01/2037 01/01/2038 08/01/2038 03/01/2038 02/01/2034 05/01/2035 02/01/2033 06/01/2036 01/01/2036 09/01/2038 08/01/2038 03/01/2038 04/01/2039 01/01/2037 08/01/2036 09/01/2036 08/01/2037 08/01/2038 11/01/2036 06/01/2020 10/01/2036 02/01/2037 04/01/2037 09/01/2037 09/01/2037 09/01/2037 11/01/2037 12/01/2037 06/01/2037 09/01/2037 08/01/2038 06/01/2029 07/01/2029 07/01/2028 05/01/2029 09/01/2032 10/01/2032 09/01/2039 09/01/2028 05/01/2029 03/01/2011 05/01/2012 05/01/2018 05/01/2019 07/01/2030 11/01/2018 10/01/2018 02/01/2019 02/01/2019 04/01/2019 05/01/2019 09/01/2019 10/01/2033 04/01/2031 11/01/2033 05/01/2020 10/01/2020 06/01/2034

558,751 2,886,635 225,460 209,060 361,831 3,691,970 516,154 173,803 411,693 9,014 395,257 742,378 3,761,479 3,923,756 132,474 729,610 100,000 502,622 382,119 447,208 567,482 275,334 470,298 524,228 1,364,134 399,346 402,673 288,895 1,370,787 1,261,159 469,239 191,297 914,384 709,557 143,108 31,441 103,479 26,328 108,392 884,834 399,516 13,903 18,225 3,268 1,893 96,151 97,684 7,277 7,768 75,018 250,234 505,838 71,823 172,051 619,236 701,906 328,266 170,268 118,313 242,407 291,138

579,378.70 2,997,710.30 240,687.91 219,295.30 379,262.64 3,901,397.20 541,020.91 185,056.93 437,835.63 9,614.80 419,861.49 769,784.24 3,974,848.91 4,112,569.87 137,178.13 770,997.28 105,849.86 528,768.33 402,866.69 473,327.11 593,818.81 290,224.95 499,507.62 555,033.30 1,441,431.06 424,105.68 425,412.94 303,983.36 1,453,233.55 1,330,312.99 495,119.46 201,841.84 963,664.66 749,806.32 154,249.55 33,889.00 111,600.13 28,377.22 118,830.16 931,472.23 404,718.49 14,994.13 19,643.96 3,376.57 2,008.38 102,216.59 103,079.42 7,404.24 8,269.85 79,864.95 263,398.33 536,939.44 75,601.10 181,102.35 661,372.89 728,914.75 353,413.01 182,885.64 125,661.49 257,462.53 296,111.35

549,299.55 2,842,608.19 239,554.78 208,415.26 359,792.78 3,697,972.37 515,025.73 174,106.43 412,415.10 9,029.89 395,952.69 700,871.00 3,842,276.52 3,921,172.92 134,567.92 763,676.51 103,807.50 505,579.71 385,155.00 448,789.20 568,717.39 277,735.44 478,592.63 528,888.82 1,366,209.00 402,740.74 399,273.08 288,503.92 1,369,725.18 1,271,440.76 473,356.86 189,660.50 916,921.35 716,543.36 146,365.98 31,603.76 100,421.90 26,939.43 112,818.76 876,493.69 402,040.89 14,215.84 18,648.65 3,253.52 1,898.51 98,296.93 96,969.52 7,274.30 7,829.66 75,611.05 247,590.63 497,339.34 71,059.96 170,219.38 633,050.85 671,726.27 335,792.64 177,396.21 120,394.53 245,766.02 279,720.94

Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities

Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities

United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States

B29R072

B39F3N0 B2B3JW6 B2RJG27

B03MBK9 2601467

2872263

31297CHY9 31297VUK2

Freddie Mac Freddie Mac

6.500 5.500

07/01/2034 11/01/2035

3,241 487,175

3,473.32 511,787.01

3,378.05 Mortgage-Backed Securities 480,598.75 Mortgage-Backed Securities

Long-Term Securities Long-Term Securities

United States United States

31335GLX1 31335GQK4 31335HFN8 31335HSA2 31335KGE0 31335KJP2 31336WAQ2 313401TW1 313401UG4 313401UH2 313401US8 313401VZ1 313401WA5 313401WB3 313401WJ6 313401WK3 313401WL1 313401WS6 313411U81 31348S2X1 31349TCC3 31356K5Y2 312905FG2 3133TQFM4 3133TRWP6 31393RM56 31394WU63 31395ASU0 31395PJP8 31395PX49 31395VMD8 31395XV44 31396EBT2 31397JAJ3 31397JB60 01N0426A7 01N0506A0 01N0526A6 01N0606A9 01N0626A5 36200MVP5 36200TYU6 36201EQC7 36201FQM2 36201HJS3 36201TL88 36204RNJ3 36204UD40 36205DHR2 36205RZT7 36206KCQ2 36206T5Q1 36206WL45 36207REB7 36209YX37 36211CSZ6 36211DGJ3 36211MXN5 36211N7C6 36211NKY3 36211SNP8

Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac REMICS Freddie Mac REMICS Freddie Mac REMICS Freddie Mac REMICS Freddie Mac REMICS Freddie Mac REMICS Freddie Mac REMICS Freddie Mac REMICS Freddie Mac REMICS Freddie Mac REMICS Freddie Mac REMICS Freddie Mac REMICS Freddie Mac REMICS Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae I

6.500 9.000 8.000 6.000 7.000 8.000 5.500 9.000 9.000 9.000 9.000 9.000 9.000 9.000 9.000 9.000 9.000 9.000 12.000 3.327 2.884 9.000 7.000 0.693 0.496 2.900 0.543 0.693 0.413 4.250 0.643 5.500 0.543 0.393 0.393 4.500 5.000 5.500 6.000 6.500 5.000 7.000 7.000 7.000 7.000 7.000 6.500 9.000 8.500 7.000 8.000 8.000 7.000 8.000 7.000 8.500 7.000 8.000 8.000 8.500 8.500

09/01/2025 10/01/2026 04/01/2017 01/01/2022 10/01/2010 10/01/2011 06/01/2020 05/01/2016 06/01/2016 06/01/2016 08/01/2016 10/01/2016 10/01/2016 10/01/2016 11/01/2016 11/01/2016 11/01/2016 12/01/2016 06/01/2014 07/01/2027 08/01/2034 10/01/2024 03/15/2021 11/15/2030 07/25/2022 11/15/2014 06/15/2033 06/15/2023 03/15/2020 09/15/2024 06/15/2035 01/15/2031 10/15/2035 07/15/2019 08/15/2019 12/01/2099 12/01/2099 12/01/2099 12/01/2099 12/01/2099 09/15/2033 10/15/2031 02/15/2032 04/15/2032 04/15/2032 01/15/2033 10/15/2010 01/15/2025 07/15/2024 05/15/2011 08/15/2025 11/15/2025 01/15/2011 10/15/2026 09/15/2031 07/15/2030 08/15/2029 10/15/2029 10/15/2029 10/15/2029 11/15/2029

9,412 1,368 10,838 24,403 2,257 3,633 784,173 2,671 2,667 15,410 2,219 7,023 4,326 8,386 8,525 2,957 1,782 2,076 6,856 17,696 143,357 4,855 26,440 8,161 259,286 93,819 362,608 321,249 613,077 96,184 217,561 321,591 202,369 864,068 1,038,281 7,065,000 22,146,500 990,000 720,000 48,000,000 2,147,908 9,544 5,388 2,489 49,792 12,428 207 9,255 7,569 162 3,942 11,752 2,223 49,359 7,102 14,737 4,213 8,491 22,244 1,830 17,779

10,145.70 1,569.90 12,313.63 26,219.65 2,310.06 3,822.49 841,453.99 2,942.25 2,938.20 16,970.32 2,448.47 7,746.07 4,775.45 9,242.05 9,415.03 3,262.11 1,966.10 2,291.47 6,959.71 17,956.33 145,294.59 5,572.01 28,480.97 8,050.23 260,830.35 94,079.29 359,720.91 317,427.59 598,783.50 97,067.86 214,271.64 21,493.49 200,132.45 847,538.41 1,016,868.29 7,168,770.72 22,914,717.79 1,038,571.38 760,050.00 50,954,976.00 2,238,992.82 10,545.53 5,916.03 2,733.28 54,671.70 13,587.81 214.52 10,673.66 8,673.28 168.96 4,468.90 13,322.07 2,321.66 56,005.61 7,847.27 16,947.89 4,652.21 9,653.94 25,289.41 2,103.66 20,435.30

9,156.22 1,401.14 10,990.12 24,856.24 2,256.84 3,644.06 788,020.19 2,705.58 5,932.68 15,615.06 2,216.23 7,706.13 9,449.49 10,425.11 10,926.51 5,675.21 1,805.89 2,104.49 11,209.13 17,679.76 142,468.74 4,986.48 25,392.35 8,176.76 260,095.18 95,660.82 363,163.79 322,551.15 611,913.32 95,048.95 216,418.99 21,419.30 202,511.69 863,260.52 1,037,602.42 7,102,532.81 22,745,147.58 1,033,931.25 758,587.50 51,000,000.00 2,109,583.08 10,014.16 5,655.33 2,613.04 52,266.63 13,042.72 206.81 9,496.26 7,634.50 161.19 3,981.45 12,071.12 2,216.14 52,862.34 7,452.50 15,762.92 4,415.14 8,728.40 22,422.95 1,856.48 19,005.86

Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities

Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities

United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States

2089870

B197TX4

B03WDX6 B23T9K0

2151519

36211TV77 36212CF22

Ginnie Mae I Ginnie Mae I

8.000 8.000

04/15/2030 07/15/2030

5,055 5,784

5,749.38 6,578.64

5,388.20 Mortgage-Backed Securities 5,827.80 Mortgage-Backed Securities

Long-Term Securities Long-Term Securities

United States United States

36212J7L4 36212JWL6 36213EXA9 36213SX75 36213UKT6 36213UT75 36215VGT7 362160SJ3 36217PXP7 362202SG9 362207JC7 36220XTW5 36223L3C0 36224WDU4 36225ANN6 36225BGB8 36225BPC6 36225BPH5 36225BX78 36241KSZ2 36241KWH7 36291SV80 36292CKZ6 36294SED5 36295M5Y1 36295QX54 36296XKM5 21H0506A5 36202DT92 36202DTU5 36202DUM1 36225CD29 36225CN28 36225CPN0 36185MBL5 3837H3GV3 395387AA1 20173MAE0 396789FT1 396789LJ6 36228CVR1 36228CWX7 362332AD0 362341LL1 36242DJQ7 36228F4S2 36228FW36 362341XG9 41161PEM1 41161PMX8 41161PWU3 41161QAM3 45254NJG3 45660L5S4 45660LDB2 45660LVM8 45661EAB0 45662DAB1 456606HK1 46629EAD5 466302AB2

Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae I Ginnie Mae II Ginnie Mae II Ginnie Mae II Ginnie Mae II Ginnie Mae II Ginnie Mae II Ginnie Mae II GMAC Mortgage Corp. Loan Trust Government National Mortgage Association Greenpoint Mortgage Pass-Through Certificates Greenwich Capital Commercial Funding Corp. Greenwich Capital Commercial Funding Corp. Greenwich Capital Commercial Funding Corp. GS Mortgage Securities Corp. II GS Mortgage Securities Corp. II GS Mortgage Securities Corp. II GSMPS Mortgage Loan Trust GSMPS Mortgage Loan Trust GSR Mortgage Loan Trust GSR Mortgage Loan Trust GSR Mortgage Loan Trust Harborview Mortgage Loan Trust Harborview Mortgage Loan Trust Harborview Mortgage Loan Trust Harborview Mortgage Loan Trust Impac CMB Trust Indymac Index Mortgage Loan Trust Indymac Index Mortgage Loan Trust Indymac Index Mortgage Loan Trust Indymac Index Mortgage Loan Trust Indymac Index Mortgage Loan Trust Indymac Loan Trust JP Morgan Alternative Loan Trust JP Morgan Alternative Loan Trust

8.000 8.000 7.000 7.000 7.000 7.000 9.500 10.500 8.000 10.500 10.500 10.500 8.500 8.500 8.000 8.000 7.000 7.000 7.000 6.000 6.000 5.000 6.000 6.000 6.000 6.000 5.500 5.000 7.500 7.500 7.500 4.125 4.375 4.625 5.304 0.880 3.895 6.116 5.317 5.243 4.680 5.553 5.535 0.596 0.646 4.855 2.200 5.237 1.386 5.144 5.311 6.314 0.606 6.002 4.468 5.099 0.456 0.326 0.466 0.316 0.326

11/15/2030 07/15/2030 03/15/2032 07/15/2031 07/15/2031 08/15/2031 05/15/2016 09/15/2020 03/15/2017 09/15/2020 11/15/2020 07/15/2020 01/15/2022 12/15/2022 12/15/2022 10/15/2029 07/15/2031 07/15/2031 01/15/2033 05/15/2038 10/15/2038 01/15/2035 05/15/2035 10/15/2036 01/15/2038 12/15/2037 01/15/2039 12/01/2099 08/20/2032 07/20/2032 09/20/2032 10/20/2027 05/20/2030 07/20/2030 11/19/2035 11/16/2029 10/25/2033 07/10/2038 06/10/2036 04/10/2037 07/10/2039 04/10/2038 11/10/2039 09/25/2035 06/25/2034 06/25/2034 05/25/2034 11/25/2035 06/19/2034 07/19/2035 12/19/2035 06/19/2036 10/25/2034 03/25/2036 03/25/2035 09/25/2035 04/25/2046 11/25/2036 01/25/2011 09/25/2036 12/25/2036

9,320 4,510 10,285 3,579 5,626 28,808 1,408 2,797 4,207 790 812 1,384 8,520 971 13,545 4,778 97,135 118,460 2,467 346,115 124,536 356,487 2,620,457 260,559 197,291 564,924 358,292 200,000 3,470 2,457 1,883 29,264 12,911 88,190 684,625 564,073 231,763 2,710,000 1,745,000 695,000 600,000 1,150,000 575,000 98,762 759,087 51,167 247,130 504,367 137,418 326,227 153,063 4,570,451 205,559 6,269,323 749,468 251,156 812,327 59,076 485,485 154,971 364,747

10,601.25 5,129.31 11,293.32 3,955.14 6,217.12 31,833.13 1,562.49 3,152.58 4,648.95 890.11 847.63 1,559.53 9,728.52 1,108.81 15,269.26 5,431.53 107,329.84 130,891.94 2,725.96 366,501.20 131,874.28 370,768.97 2,780,141.59 275,866.63 208,696.78 597,671.58 376,654.91 206,751.60 3,877.35 2,746.17 2,104.61 29,746.75 13,212.44 90,783.98 578,869.59 563,983.44 190,787.66 2,479,376.83 1,765,704.95 682,094.27 613,498.32 1,038,591.91 557,251.99 63,464.61 584,360.45 48,615.85 192,531.68 446,148.30 63,802.88 202,544.37 117,938.42 2,371,533.33 143,306.84 2,838,835.35 510,426.14 164,349.11 377,242.17 35,958.24 368,581.41 148,522.04 353,028.96

10,017.67 4,543.89 10,796.07 3,755.87 5,903.11 30,226.59 1,433.65 2,897.53 4,245.94 818.10 841.19 1,411.86 8,806.35 1,002.25 13,720.53 4,911.21 101,912.12 125,245.85 2,589.00 362,908.31 129,059.91 350,084.47 2,686,355.94 269,527.28 204,023.38 585,431.63 374,513.13 205,195.31 3,628.41 2,569.74 1,974.16 29,830.66 12,992.94 105,699.88 681,101.51 570,184.95 226,697.75 1,894,596.28 1,711,584.27 698,040.03 605,219.07 1,139,705.89 577,609.84 69,323.14 760,387.14 48,505.24 246,558.45 477,526.48 135,389.36 319,531.76 152,655.96 4,620,137.68 205,736.26 6,347,156.64 454,700.83 245,701.99 640,301.58 59,049.81 485,485.36 154,971.47 364,747.49

Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities

Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities

United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States

B03RJS8

B1CHR60 2554969 B195X69 B010R85

B3D27W4

B09KTP8 B0DD2J8 B0421M0 B4P1CM1 B1H3SJ3 B0R2DD2 B07C4Q2

46625MZ93 46625YC50

JP Morgan Chase Commercial Mortgage Securities Corp. JP Morgan Chase Commercial Mortgage Securities Corp.

3.837 5.491

01/12/2039 12/12/2044

875,000 1,765,000

874,765.41 1,752,092.73

839,453.85 Mortgage-Backed Securities 1,772,775.15 Mortgage-Backed Securities

Long-Term Securities Long-Term Securities

United States United States

46625YCU5 46625YKT9 46625YQR7 46625YTZ6 46625YUA9 46625YVV2 46625YZX4 46625YZY2 46628FAF8 46629GAE8 46629MAE5 46629MAF2 46630JAC3 46631BAE5 46631QAE2 46632HAB7 46632HAD3 46632HAJ0 46632MBQ2 46632MCC2 466247DD2 466247H89 466247LZ4 466247NP4 46630GAH8 46631JAL2 50180JAF2 52108H4U5 52108H5X8 52108H6W9 52108HFK5 52108RAE2 52109PAE5 52521TAA5 525221EN3 86359DUL9 55275NAA9 576438AD7 576434EW0 576434WD2 55265KF87 55265KZ51 57643MAL8 576436AR0 59020UZ65 59022HCT7 60687VAB1 60688BAC2 60688BAD0 60688CAG1 59020UA39 59020UEU5 59020UL60 617451AE9 617451FL8 61745M3F8 61750CAF4 61750HAE6 61750HBA3 61755BAE4 61756UAE1

JP Morgan Chase Commercial Mortgage Securities Corp. JP Morgan Chase Commercial Mortgage Securities Corp. JP Morgan Chase Commercial Mortgage Securities Corp. JP Morgan Chase Commercial Mortgage Securities Corp. JP Morgan Chase Commercial Mortgage Securities Corp. JP Morgan Chase Commercial Mortgage Securities Corp. JP Morgan Chase Commercial Mortgage Securities Corp. JP Morgan Chase Commercial Mortgage Securities Corp. JP Morgan Chase Commercial Mortgage Securities Corp. JP Morgan Chase Commercial Mortgage Securities Corp. JP Morgan Chase Commercial Mortgage Securities Corp. JP Morgan Chase Commercial Mortgage Securities Corp. JP Morgan Chase Commercial Mortgage Securities Corp. JP Morgan Chase Commercial Mortgage Securities Corp. JP Morgan Chase Commercial Mortgage Securities Corp. JP Morgan Chase Commercial Mortgage Securities Corp. JP Morgan Chase Commercial Mortgage Securities Corp. JP Morgan Chase Commercial Mortgage Securities Corp. JP Morgan Chase Commercial Mortgage Securities Corp. JP Morgan Chase Commercial Mortgage Securities Corp. JP Morgan Mortgage Trust JP Morgan Mortgage Trust JP Morgan Mortgage Trust JP Morgan Mortgage Trust JP Morgan Mortgage Trust JP Morgan Mortgage Trust LB-UBS Commercial Mortgage Trust LB-UBS Commercial Mortgage Trust LB-UBS Commercial Mortgage Trust LB-UBS Commercial Mortgage Trust LB-UBS Commercial Mortgage Trust LB-UBS Commercial Mortgage Trust LB-UBS Commercial Mortgage Trust Lehman Brothers Floating Rate Commercial Mortgage Trust Lehman XS Trust Lehman XS Trust MASTR Adjustable Rate Mortgages Trust MASTR Adjustable Rate Mortgages Trust MASTR Alternative Loans Trust MASTR Alternative Loans Trust MASTR Asset Securitization Trust MASTR Asset Securitization Trust MASTR Asset Securitization Trust MASTR Reperforming Loan Trust Merrill Lynch Mortgage Investors, Inc. Merrill Lynch Mortgage Trust Merrill Lynch/Countrywide Commercial Mortgage Trust Merrill Lynch/Countrywide Commercial Mortgage Trust Merrill Lynch/Countrywide Commercial Mortgage Trust Merrill Lynch/Countrywide Commercial Mortgage Trust MLCC Mortgage Investors, Inc. MLCC Mortgage Investors, Inc. MLCC Mortgage Investors, Inc. Morgan Stanley Capital I Morgan Stanley Capital I Morgan Stanley Capital I Morgan Stanley Capital I Morgan Stanley Capital I Morgan Stanley Capital I Morgan Stanley Capital I Morgan Stanley Capital I

4.475 0.353 4.895 4.871 4.918 5.457 5.481 5.506 6.065 5.552 5.447 5.399 5.420 6.006 5.688 5.827 5.882 6.260 5.017 6.125 4.591 5.433 5.012 4.901 5.005 5.880 5.493 4.664 4.739 4.954 6.058 6.080 5.858 0.323 0.546 0.546 1.851 4.850 5.702 5.750 0.646 0.746 0.696 6.000 0.456 4.353 5.291 6.089 6.155 5.856 1.246 1.326 0.496 5.178 5.558 5.168 5.731 5.328 5.360 5.810 5.809

07/15/2041 02/15/2019 09/12/2037 10/15/2042 10/15/2042 01/12/2043 12/12/2044 12/12/2044 04/15/2045 05/12/2045 05/15/2045 05/15/2045 01/15/2049 06/15/2049 02/12/2051 02/15/2051 02/15/2051 02/15/2051 02/12/2051 02/12/2051 06/25/2034 04/25/2036 02/25/2035 04/25/2035 07/25/2035 06/25/2037 02/15/2040 07/15/2030 07/15/2030 09/15/2030 06/15/2020 06/15/2038 07/15/2040 09/15/2021 12/25/2035 11/25/2035 12/25/2046 01/25/2036 06/25/2033 09/25/2034 09/25/2033 12/25/2033 04/25/2034 08/25/2034 02/25/2036 02/12/2042 07/12/2046 08/12/2049 08/12/2049 09/12/2049 10/25/2035 04/25/2029 11/25/2035 09/15/2042 03/12/2044 01/14/2042 07/12/2044 11/12/2041 11/12/2041 04/12/2049 12/12/2049

522,482 99,717 80,000 1,940,000 690,000 200,000 1,090,000 470,000 1,580,000 785,000 820,000 1,055,000 3,890,000 1,470,000 1,165,000 2,550,000 1,960,000 225,000 373,483 1,055,000 604,758 1,084,717 338,480 11,525 1,531,112 1,440,159 240,000 1,000,000 820,000 1,700,000 58,961 400,000 695,000 65,286 373,661 481,921 449,000 865,986 365,927 640,000 315,975 493,521 319,276 440,188 232,247 236,858 1,820,000 810,000 900,000 480,000 126,435 118,272 70,949 940,000 1,025,000 1,125,000 965,000 345,000 480,000 1,045,000 400,000

528,245.85 98,097.00 77,594.17 1,937,536.39 678,468.86 192,449.66 1,023,610.93 473,971.64 1,469,343.44 726,790.84 785,191.57 941,023.08 3,279,070.44 1,284,883.19 1,106,546.24 2,535,044.76 1,665,384.95 159,597.68 375,719.96 959,930.26 576,189.50 884,204.98 324,058.76 11,079.82 1,310,493.34 996,665.19 162,941.86 1,011,579.00 789,842.45 1,648,374.06 60,244.31 378,739.60 589,035.09 58,115.26 99,676.73 254,657.23 183,008.36 696,545.46 233,301.05 613,470.59 294,083.84 451,290.84 291,961.14 348,581.60 133,364.29 238,760.01 1,820,096.28 760,084.80 719,769.96 327,807.46 111,713.37 71,219.06 50,864.39 971,006.18 980,175.32 1,129,443.53 921,829.18 313,745.04 364,159.63 847,362.91 342,347.20

530,444.62 99,716.81 79,788.32 1,886,882.23 692,926.16 200,871.55 1,094,750.68 472,065.44 1,573,385.83 788,509.59 830,901.57 1,059,677.00 3,571,970.18 1,474,116.68 1,170,037.94 2,582,300.80 1,730,969.41 101,577.80 371,650.26 1,060,052.25 522,255.01 1,081,142.91 320,125.28 11,579.66 1,515,946.03 1,433,999.87 113,716.33 1,004,237.53 823,432.13 1,700,320.35 62,307.17 401,765.14 698,292.94 65,286.20 373,661.02 481,921.01 449,890.50 849,946.85 362,741.16 627,859.61 317,153.88 495,678.92 320,286.81 449,461.07 228,111.76 239,547.60 1,829,010.86 824,207.59 852,115.45 216,689.15 124,153.58 118,401.69 69,686.10 918,530.47 1,028,190.85 1,129,671.91 967,633.73 332,697.11 283,930.79 1,047,943.18 366,713.28

Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities

Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities

United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States

B0LSTF0

B1VNWS6 B3YH999 B1VWJ04 B1VWJ04

B2PP3L5 B3BFT85 B3B25J9 B248371

B1XL7Y9 B0GB6W0 B3YHF02

B17XLW7 B2PPW96 B1FJ9Y5

B14YJR4

B1L0NJ5

B0106D3 B1G6WR9 B27Z7K0 B27Z7S8 B2B3CL6 B2452H5

B595DY5 B3YCQ15 B3V6461 B1SS3V4 B241KX5 B29KTK7

61748HWT4 62951MAA8

Morgan Stanley Mortgage Loan Trust Nomura Asset Acceptance Corp.

5.330 6.500

03/25/2036 03/25/2034

850,405 77,524

509,487.05 68,899.50

852,961.15 Mortgage-Backed Securities 65,274.76 Mortgage-Backed Securities

Long-Term Securities Long-Term Securities

United States United States

62951MAM2 669971AB9 66988UAB6 74159UAC1 74159UAD9 74160MDL3 74160MDS8 751150AH6 76110HSW0 76110HUN7 761118BW7 761118GE2 761118KU1 761118PE2 761118TB4 76110WRT5 45660NWT8 76114HAK1 76111JS21 76111XAE3 76111XDX8 79548CCP9 79549AXP9 81744FAZ0 83162CNF6 863579YR3 86359LPE3 86359AS95 86359BN56 86359DMC8 86360DAA2 885220DC4 88522NAA1 88522YAB5 88522YAC3 929766YV9 92976BBL5 92976BHJ4 92976BLJ9 92978NAB0 9393366F5 93935QAB3 92922F3F3 92922F4M7 92922F5U8 92922F7Q5 92922FEP9 92922FJ90 92925CCC4 933634AS6 933636AA0 94981MAA5 949837BY3 94983KAC3 94983LAW7 94983VAH8 94983WAG8 94986AAR9 01F052698 01F0526A5 01F0526B3

Nomura Asset Acceptance Corp. Novastar Home Equity Loan NovaStar Mortgage-Backed Notes Prime Mortgage Trust Prime Mortgage Trust Prime Mortgage Trust Prime Mortgage Trust Residential Accredit Loans, Inc. Residential Accredit Loans, Inc. Residential Accredit Loans, Inc. Residential Accredit Loans, Inc. Residential Accredit Loans, Inc. Residential Accredit Loans, Inc. Residential Accredit Loans, Inc. Residential Accredit Loans, Inc. Residential Asset Securities Corp. Residential Asset Securitization Trust Residential Asset Securitization Trust Residential Funding Mortgage Securities I Residential Funding Mortgage Securities I Residential Funding Mortgage Securities I Salomon Brothers Mortgage Securities VII, Inc. Salomon Brothers Mortgage Securities VII, Inc. Sequoia Mortgage Trust Small Business Administration Participation Certificates Structured Adjustable Rate Mortgage Loan Trust Structured Asset Mortgage Investments, Inc. Structured Asset Securities Corp. Structured Asset Securities Corp. Structured Asset Securities Corp. Structured Asset Securities Corp. Thornburg Mortgage Securities Trust Thornburg Mortgage Securities Trust Thornburg Mortgage Securities Trust Thornburg Mortgage Securities Trust Wachovia Bank Commercial Mortgage Trust Wachovia Bank Commercial Mortgage Trust Wachovia Bank Commercial Mortgage Trust Wachovia Bank Commercial Mortgage Trust Wachovia Bank Commercial Mortgage Trust Washington Mutual Alternative Mortgage Pass-Through Certificates Washington Mutual Alternative Mortgage Pass-Through Certificates Washington Mutual Mortgage Pass Through Certificates Washington Mutual Mortgage Pass Through Certificates Washington Mutual Mortgage Pass Through Certificates Washington Mutual Mortgage Pass Through Certificates Washington Mutual Mortgage Pass Through Certificates Washington Mutual Mortgage Pass Through Certificates Washington Mutual Mortgage Pass Through Certificates Washington Mutual Mortgage Pass Through Certificates Washington Mutual Mortgage Pass Through Certificates Wells Fargo Mortgage Backed Securities Trust Wells Fargo Mortgage Backed Securities Trust Wells Fargo Mortgage Backed Securities Trust Wells Fargo Mortgage Backed Securities Trust Wells Fargo Mortgage Backed Securities Trust Wells Fargo Mortgage Backed Securities Trust Wells Fargo Mortgage Backed Securities Trust Fannie Mae Fannie Mae Fannie Mae

6.500 0.346 0.436 5.500 6.000 0.646 0.646 0.451 0.846 0.646 5.473 5.664 0.646 5.814 5.930 0.826 0.696 6.000 0.696 0.646 0.746 4.467 4.000 0.929 5.130 0.566 0.496 3.271 4.440 0.596 3.832 0.926 0.356 6.200 6.186 4.380 5.459 0.333 0.323 6.055 5.500 1.601 4.822 0.536 0.526 0.536 0.796 0.906 1.971 5.320 5.455 4.940 6.250 4.948 5.500 5.240 5.609 6.000 5.500 5.500 5.500

10/25/2034 03/25/2037 09/25/2046 05/25/2035 05/25/2035 02/25/2034 02/25/2019 09/25/2046 04/25/2034 06/25/2034 07/25/2035 09/25/2035 10/25/2045 12/25/2035 01/25/2036 06/25/2033 02/25/2034 05/25/2037 11/25/2018 07/25/2018 12/25/2033 03/18/2036 12/25/2018 05/20/2034 09/01/2023 10/25/2035 07/19/2035 09/25/2033 12/25/2034 06/25/2035 10/25/2035 04/25/2043 11/25/2046 09/25/2037 09/25/2037 10/15/2041 12/15/2044 09/15/2021 06/15/2020 02/15/2051 06/25/2035 01/25/2047 10/25/2035 10/25/2045 11/25/2045 12/25/2045 10/25/2033 04/25/2045 01/25/2046 03/25/2037 04/25/2037 01/25/2035 07/25/2037 03/25/2036 03/25/2036 04/25/2036 05/25/2036 07/25/2037 12/01/2099 12/01/2099 12/01/2099

89,442 763,293 716,141 1,973,438 1,710,172 103,762 16,844 1,340,000 189,054 340,905 423,660 763,107 807,236 1,093,726 2,247,332 145,691 406,871 293,059 488,042 525,699 65,020 0 178,498 345,253 55,864 461,183 261,441 702,810 156,969 140,264 206,058 95,042 301,709 754,689 667,196 551,106 2,435,000 175,963 149,851 1,700,000 350,000 463,762 442,664 630,630 677,869 348,641 336,069 451,375 389,005 407,348 373,225 445,648 355,071 506,696 755,245 172,232 762,386 788,680 (12,000,000) (31,000,000) (18,000,000)

77,245.18 661,225.64 339,261.69 1,649,670.62 1,410,891.74 94,069.23 15,976.16 352,475.34 131,921.56 287,913.08 313,126.51 514,659.02 430,497.42 486,575.25 1,223,790.00 72,902.54 333,857.43 228,469.99 484,605.75 377,174.25 64,837.00 0.01 170,225.96 267,498.94 59,258.15 248,369.72 189,237.12 578,254.05 155,688.08 104,888.04 125,499.75 81,061.58 285,250.10 607,871.39 543,313.63 551,791.93 2,428,272.34 131,086.80 118,410.25 1,703,117.97 211,043.25 197,812.21 360,993.22 340,604.68 395,375.71 183,875.17 331,088.42 19,224.77 187,737.59 38,874.53 227,220.60 403,356.40 321,006.60 386,690.26 654,093.13 133,029.95 626,261.96 650,660.65 (12,502,500.00) (32,424,078.00) (18,765,000.00)

75,306.55 587,344.67 716,141.39 1,940,826.06 1,692,125.93 103,734.96 16,844.29 1,339,483.61 189,858.13 341,763.11 428,658.89 765,760.92 808,599.74 1,086,983.07 2,272,788.07 145,864.38 407,608.59 294,066.28 489,817.61 527,259.44 65,281.41 0.01 178,766.69 344,963.93 55,864.28 461,247.05 256,794.89 610,396.56 212,449.12 81,681.51 204,949.83 95,180.84 301,708.92 738,102.63 658,009.27 553,397.50 2,445,309.01 165,530.91 149,850.75 1,729,148.76 338,842.56 463,180.92 440,826.86 630,629.82 677,869.79 348,640.97 337,537.54 451,374.60 390,171.86 402,452.67 370,099.68 430,849.03 357,482.13 502,048.27 750,464.41 169,846.89 756,766.74 773,243.65 (12,348,750.00) (32,210,703.12) (18,708,484.37)

Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities Mortgage-Backed Securities

Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities

United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States

B1YHH57 B16KYK8

B04C5P1

B0PR2K9

B0YHYK4 B07C2X5 2944429

B3CVX02 B08H4W2 B00LV43

B3FHQG4 B063SQ4 B1MJQB4 B07C2V3 B1KVH08

B08H3T2 B1W8Q66 B4KJKM6

B0WGYM5 B0NCV87

2554969

B1VV8J3

B15CTC2 B1GN571

01F0606A8 01F0606B6

Fannie Mae Fannie Mae

6.000 6.000

12/01/2099 12/01/2099

(100,000) (600,000)

(105,500.00) (631,125.00)

(105,140.62) Mortgage-Backed Securities (629,343.75) Mortgage-Backed Securities

Long-Term Securities Long-Term Securities

United States United States

744434CW9 797330AA5 13063A5E0 13063A5F7 13063A5G5 882721CR2 880591EH1 888805AP3 88880LAA1 B3R6KZII3 B4Y5BGII7 91086QAV0 750663II9 B4P1CMII2 31359MEB5 31359MGK3 31359MNU3 31359MTG8 31398AVZ2 31331V2U9 3133X72S2 3133X8AS1 3133XFKF2 3133XDTL5 3128X4UZ2 3128X8P22 3137EACD9 3137EACE7 313586QR3 31359MB69 31398AFD9 31398AYR7 31398AYX4 31771EAA9 31771EAF8 31771EAH4 31771EAL5 31771EAU5 31771KAA5 31771KAF4 31771KAH0 31771KAJ6 3128X33E1 3134A4AA2 3137EAAF6 3137EAAS8 3137EABY4 880591CP5 912810PS1 912810PV4 912810FT0 912828EN6 912828JU5 912803AN3 912803AY9 912803BM4 912810FH6 912810FR4 912810FS2 912828CP3 912828DH0

Public Power Generation Agency Revenue Bonds San Diego Tobacco Settlement Revenue Funding Corp. Revenue Bonds State of California General Obligation Unlimited State of California General Obligation Unlimited State of California General Obligation Unlimited State of Texas General Obligation Unlimited Tennessee Valley Authority Tobacco Settlement Authority of Iowa Revenue Bonds Tobacco Settlement Finance Authority of West Virginia Revenue Bonds Fortis Bank Nederland Holding NV LeasePlan Corp. NV Mexico Government International Bond Poland Government Bond Societe Financement de l'Economie Francaise Fannie Mae Fannie Mae Fannie Mae FANNIE MAE FANNIE MAE Federal Farm Credit Bank Federal Home Loan Bank Federal Home Loan Bank Federal Home Loan Bank Discount Notes Federal Home Loan Banks Federal Home Loan Mortgage Corp. Federal Home Loan Mortgage Corp. Federal Home Loan Mortgage Corp. Federal Home Loan Mortgage Corp. Federal National Mortgage Association Federal National Mortgage Association Federal National Mortgage Association Federal National Mortgage Association Federal National Mortgage Association Financing Corp. Financing Corp. Financing Corp. Financing Corp. Financing Corp. Financing Corp. Financing Corp. STRIP Financing Corp. STRIP Financing Corp. STRIP Freddie Mac MAC Freddie Mac MAC Freddie Mac MAC Freddie Mac MAC Freddie Mac MAC Tennessee Valley Authority United States Treasury Inflation Indexed Bonds United States Treasury Inflation Indexed Bonds United States Treasury Notes United States Treasury Notes United States Treasury Notes United States Treasury Principal United States Treasury Principal United States Treasury Principal United States Treasury Inflation Indexed Bonds United States Treasury Inflation Indexed Bonds United States Treasury Inflation Indexed Bonds United States Treasury Inflation Indexed Bonds United States Treasury Inflation Indexed Bonds

7.242 7.125 7.500 5.650 7.550 4.750 5.250 6.500 7.467 3.000 3.125 6.050 5.000 2.125 6.210 6.625 5.250 4.625 2.750 5.125 5.375 5.125 5.625 5.000 5.625 1.125 3.000 2.125 0.000 5.000 5.625 3.300 5.125 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 5.050 6.750 5.250 5.000 2.125 6.150 2.375 1.750 4.500 4.500 1.750 0.000 0.000 0.000 3.875 2.375 2.000 2.000 1.625

01/01/2041 06/01/2032 04/01/2034 04/01/2039 04/01/2039 04/01/2035 09/15/2039 06/01/2023 06/01/2047 04/17/2012 02/10/2012 01/11/2040 10/24/2013 05/20/2012 08/06/2038 11/15/2030 08/01/2012 10/15/2013 03/13/2014 08/25/2016 05/15/2019 08/15/2019 06/11/2021 12/21/2015 11/23/2035 06/01/2011 07/28/2014 09/21/2012 07/05/2014 04/26/2017 07/15/2037 07/30/2014 08/19/2024 05/11/2018 08/03/2018 08/03/2018 02/08/2018 06/06/2019 09/26/2019 04/06/2018 08/03/2018 11/02/2018 01/26/2015 03/15/2031 07/18/2011 04/18/2017 03/23/2012 01/15/2038 01/15/2027 01/15/2028 02/15/2036 11/15/2015 11/15/2011 05/15/2018 11/15/2021 11/15/2027 04/15/2029 01/15/2025 01/15/2026 07/15/2014 01/15/2015

300,000 280,000 100,000 100,000 1,495,000 200,000 210,000 80,000 485,000 400,000 700,000 200,000 2,540,000 400,000 275,000 145,000 330,000 2,035,000 70,000 310,000 150,000 310,000 1,070,000 820,000 1,240,000 1,900,000 1,280,000 485,000 1,235,000 1,315,000 80,000 195,000 615,000 380,000 290,000 150,000 100,000 50,000 20,000 300,000 360,000 360,000 690,000 50,000 200,000 2,200,000 6,655,000 345,000 352,414 8,982,679 480,000 2,230,000 775,000 470,000 4,801,000 2,690,000 1,585,148 5,392,742 368,924 217,081 327,085

309,453.00 218,148.00 109,818.00 105,356.00 1,661,647.65 205,046.00 221,575.83 62,246.40 383,664.10 597,724.20 1,048,418.41 199,500.00 866,991.27 590,101.32 328,929.43 187,153.39 352,680.90 2,222,354.31 71,080.87 339,921.20 164,499.30 337,183.28 1,185,375.96 899,335.82 1,295,767.76 1,909,978.80 1,304,888.32 491,181.81 1,058,323.37 1,342,383.56 89,693.44 196,844.51 627,333.83 265,108.14 199,422.27 103,149.45 70,649.40 32,706.80 12,835.24 210,294.30 247,558.68 243,604.08 764,537.25 65,421.25 215,590.80 2,430,362.00 6,778,263.91 407,797.59 370,364.84 8,606,529.31 515,549.76 2,458,748.94 786,685.45 350,667.00 2,950,771.42 1,250,239.37 2,040,878.57 5,653,955.22 368,116.59 225,628.25 333,218.05

300,000.00 262,978.88 100,730.49 100,424.60 1,410,879.08 204,213.47 207,653.01 80,000.00 464,880.91 558,482.32 959,254.61 200,199.95 882,490.54 544,562.12 299,344.26 191,355.44 311,962.54 2,215,530.93 69,764.24 309,413.17 148,762.87 312,890.13 1,129,922.46 822,989.34 1,239,180.39 1,800,438.25 1,287,801.57 484,810.59 957,764.11 1,312,375.53 79,488.92 194,183.57 615,000.00 259,693.72 194,723.95 100,719.27 69,253.61 31,812.37 12,396.53 205,914.39 241,726.72 237,082.23 691,570.21 59,459.22 212,727.20 2,363,953.28 6,686,121.30 389,168.64 350,326.29 8,437,451.80 479,478.91 2,562,250.06 786,657.87 348,484.79 2,765,705.49 1,239,448.02 2,033,967.89 5,650,151.22 378,557.67 224,843.88 332,281.41

Municipal Bonds Municipal Bonds Municipal Bonds Municipal Bonds Municipal Bonds Municipal Bonds Municipal Bonds Municipal Bonds Municipal Bonds Non-US Bonds Non-US Bonds Non-US Bonds Non-US Bonds Non-US Bonds United States Government Agencies United States Government Agencies United States Government Agencies United States Government Agencies United States Government Agencies United States Government Agencies United States Government Agencies United States Government Agencies United States Government Agencies United States Government Agencies United States Government Agencies United States Government Agencies United States Government Agencies United States Government Agencies United States Government Agencies United States Government Agencies United States Government Agencies United States Government Agencies United States Government Agencies United States Government Agencies United States Government Agencies United States Government Agencies United States Government Agencies United States Government Agencies United States Government Agencies United States Government Agencies United States Government Agencies United States Government Agencies United States Government Agencies United States Government Agencies United States Government Agencies United States Government Agencies United States Government Agencies United States Government Agencies United States Government Agencies United States Government Agencies United States Government Agencies United States Government Agencies United States Government Agencies United States Government Treasuries United States Government Treasuries United States Government Treasuries United States Government Treasuries United States Government Treasuries United States Government Treasuries United States Government Treasuries United States Government Treasuries

Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities

United States United States United States United States United States United States United States United States United States Netherlands Netherlands Mexico Poland France United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States

B17MQX0

B010R85

B3R6KZ6 B4Y5BG1 B2NKYX1 7506631 B4P1CM1 4821702 7633120 7695830 B64TZ98 B1CMQD5 B01C5D2 B02KW89 B14SK95 B0P4V70 B50VNY2 B614W51 B3Y0460 2541938 B07T548 B23G0S6 B3WK4B7 B42NWV9

B063T49

B05JX79 7042704 B1FSD95 B1VYYH2 B55T5B2 B1P8M10 B2PB3T1 B0YBFV4 B0NZ5C8 B3FG5R5 2916796 2944429 2415817 2407096 B021PJ4 B0XM6G0 B01VPK6 B05LL93

912828ET3 912810ED6

United States Treasury Inflation Indexed Bonds United States Treasury Notes

2.000 8.125

01/15/2016 08/15/2019

2,696,399 810,000

2,797,513.91 1,128,684.78

2,743,640.04 United States Government Treasuries 1,096,451.29 United States Government Treasuries

Long-Term Securities Long-Term Securities

United States United States

B0WQ1L3 2916934

912810EP9 912810EV6 912810EW4 912810FP8 912810PW2 912810PX0 912810QA9 912810QB7 912810QC5 912828BR0 912828DM9 912828DV9 912828FD7 912828FF2 912828GU8 912828HR4 912828JH4 912828JV3 912828KB5 912828KE9 912828KH2 912828KQ2 912828KT6 912828KU3 912828LG3 912828LH1 912828LJ7 912828LP3 912828LQ1 912828LV0 912828LW8 370442733 026874115 23324D201 313400624 313586752 74038A207 313586794 99XR51182 99XQ86750 99XR01906 99XR93911 46699D001 00873NAC7 025537AD3 996HWD907 0556N0YP4 996HWM907 17314AAA0 172967CU3 172967DW8 225317AB2 233835AZ0 25156PAB9 313385PM2 3137EAAX7 313589NA7 313589RC9 313589SF1 31280C5N5 31280EFM2

United States Treasury Notes United States Treasury Notes United States Treasury Notes United States Treasury Notes United States Treasury Notes United States Treasury Notes United States Treasury Notes United States Treasury Notes United States Treasury Notes United States Treasury Notes United States Treasury Notes United States Treasury Notes United States Treasury Notes United States Treasury Notes United States Treasury Notes United States Treasury Notes United States Treasury Notes United States Treasury Notes United States Treasury Notes United States Treasury Notes United States Treasury Notes United States Treasury Notes United States Treasury Notes United States Treasury Notes United States Treasury Notes United States Treasury Notes United States Treasury Notes United States Treasury Notes United States Treasury Notes United States Treasury Notes United States Treasury Notes Motors Liquidation Co. American International Group, Inc. DG Funding Trust Federal Home Loan Mortgage Corp. Federal National Mortgage Association Preferred Blocker, Inc. Federal National Mortgage Association EURODOLLAR FUTURES U S TREAS NOTES 10YR FUTURE U S TREAS NOTES 10YR FUTURE U S TREAS NOTES 10YR FUTURE JPMorgan Chase & Co. Tri-Party Repurchase Agreement Aiful Corp. American Electric Power Co., Inc. Barclays Cash Collateral on Swaps BNP Paribas Financial, Inc. Citibank Cash Collateral Held on Swaps Citigroup Funding, Inc. Citigroup, Inc. Citigroup, Inc. Credit Agricole SA/London Daimler Finance NA LLC Deutsche Telekom International Finance BV Federal Home Loan Bank Discount Notes Federal Home Loan Mortgage Corp. Federal National Mortgage Association Discount Notes Federal National Mortgage Association Discount Notes Federal National Mortgage Association Discount Notes Freddie Mac Freddie Mac

7.125 6.875 6.000 5.375 4.375 4.500 3.500 4.250 4.500 4.250 4.000 4.125 4.875 5.125 4.750 3.500 4.000 0.875 1.125 0.875 0.875 3.125 2.375 0.875 1.000 1.750 3.625 3.000 2.375 1.000 1.000 0.210 5.000 5.375 1.000 0.591 4.125 0.313 0.422 4.875 8.500 0.000 5.125 0.000 0.000 0.000 8.000 8.000

02/15/2023 08/15/2025 02/15/2026 02/15/2031 02/15/2038 05/15/2038 02/15/2039 05/15/2039 08/15/2039 11/15/2013 02/15/2015 05/15/2015 04/30/2011 05/15/2016 05/31/2012 02/15/2018 08/15/2018 12/31/2010 01/15/2012 02/28/2011 03/31/2011 05/15/2019 03/31/2016 05/31/2011 07/31/2011 08/15/2012 08/15/2019 09/30/2016 09/30/2014 08/31/2011 09/30/2011 -------12/14/2009 11/20/2009 11/20/2009 10/23/2009 08/03/2009 08/10/2010 03/15/2010 11/23/2009 07/30/2010 02/22/2010 12/28/2009 05/28/2010 06/15/2010 06/15/2010 11/20/2009 08/23/2010 10/16/2009 12/29/2009 01/25/2010 10/01/2009 02/01/2010

855,000 2,235,000 1,065,000 455,000 440,000 3,900,000 316,000 4,460,000 9,330,000 6,520,000 245,000 1,350,000 190,000 2,490,000 4,300,000 370,000 10,000 200,000 410,000 100,000 100,000 312,000 1,150,000 3,500,000 6,100,000 710,000 1,340,000 2,340,000 1,690,000 6,465,000 400,000 31,725 32,300 392 27,050 18,750 26 1,000 28 18 39 12 7,700,000 400,000 120,000 540,000 3,180,000 1,299,000 10,000,000 630,000 800,000 600,000 575,000 250,000 640,000 1,820,000 4,950,000 4,900,000 566,000 76 1,577

1,146,501.99 3,004,678.13 1,321,431.77 540,596.88 463,512.72 4,196,766.60 286,276.41 4,614,008.26 10,058,906.25 7,120,550.68 263,987.50 1,461,796.20 202,446.52 2,840,156.25 4,692,710.40 377,891.36 10,557.03 200,859.40 410,000.00 100,382.80 100,335.90 307,003.01 1,119,362.85 3,508,340.50 6,117,397.20 717,321.52 1,375,384.04 2,349,322.56 1,694,360.20 6,476,365.47 400,312.40 114,210.00 373,065.00 3,336,900.00 48,419.50 30,187.50 15,119.81 2,750.00 2,975.00 11,250.00 35,343.75 6,937.50 7,700,000.00 214,000.00 122,377.20 540,000.00 3,178,829.59 1,299,000.00 10,016,110.00 636,344.10 798,859.20 597,480.60 586,157.30 262,048.50 639,902.22 1,894,563.58 4,949,876.25 4,899,392.40 565,817.75 76.30 1,621.24

1,135,796.69 2,777,677.98 1,288,110.43 520,373.66 451,487.97 4,047,101.65 273,404.65 4,423,002.92 9,552,402.91 7,113,844.62 259,862.92 1,455,253.10 202,423.80 2,836,994.93 4,681,601.53 366,862.28 10,426.56 200,760.80 409,846.09 100,291.20 100,226.36 299,741.73 1,107,225.34 3,505,285.19 6,097,557.27 715,125.24 1,342,826.83 2,337,156.22 1,682,511.65 6,456,671.17 399,744.24 569,299.38 2,422,500.00 4,150,203.96 676,250.00 468,750.00 7,730.26 53,200.00 4,991.00 12,621.00 55,986.13 7,539.00 7,700,000.00 399,050.36 120,278.06 540,000.00 3,178,829.59 1,299,000.00 10,025,344.70 626,915.26 800,000.00 600,000.00 578,724.33 256,347.74 639,902.22 1,826,383.14 4,949,876.25 4,896,729.26 565,793.16 75.52 1,573.16

United States Government Treasuries United States Government Treasuries United States Government Treasuries United States Government Treasuries United States Government Treasuries United States Government Treasuries United States Government Treasuries United States Government Treasuries United States Government Treasuries United States Government Treasuries United States Government Treasuries United States Government Treasuries United States Government Treasuries United States Government Treasuries United States Government Treasuries United States Government Treasuries United States Government Treasuries United States Government Treasuries United States Government Treasuries United States Government Treasuries United States Government Treasuries United States Government Treasuries United States Government Treasuries United States Government Treasuries United States Government Treasuries United States Government Treasuries United States Government Treasuries United States Government Treasuries United States Government Treasuries United States Government Treasuries United States Government Treasuries Consumer Discretionary Financial Services Financial Services Financial Services Financial Services Financial Services Mortgage-Backed Securities

Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments

Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Long-Term Securities Preferred Stock Preferred Stock Preferred Stock Preferred Stock Preferred Stock Preferred Stock Preferred Stock Options Purchased Options Purchased Options Purchased Options Purchased Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments

United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States Japan United States United States United States United States United States United States United States France United States Netherlands United States United States United States United States United States United States United States

ZZZZ

2912299 2935553 2888163 2724610 B2PKS37 B3CJB24 B527Q49 B41K8R9 B43HGR4 2171982 B067BC3 B08T644 B141124 B1444Z7 B1Y4952 B2PDWS9 B3CGDG3 B3KQPT2 B3KWNP2 B57HTT0 B65Z7M2 B419LQ6 B65Z960 B4ZZQF4 B3X5YH7 B3Z0TK8 B43JZT5 B4L4JF6 B4Q2ZY6 B45K2C8 B4L4N43 1345062 B2RJQV6

ZZZZ20 FRE PZ B29R2V0 FNM B29WL29 PRDB L B3KM6Q4 B05GXM5

B0G6CK5 2476825

B3VBC40 B068CM3 B1Y4N94 B0B0GN3 4057217 B23JNQ4

31280FMD1 31283JMX6

Freddie Mac Freddie Mac

6.000 7.000

09/01/2010 08/01/2010

7,308 3,733

7,571.81 3,819.83

7,266.64 Short-Term Investments 3,730.63 Short-Term Investments

Short-Term Investments Short-Term Investments

United States United States

31294JND6 31335KE28 377372AF4 36186CAN3 38099G9D0 38143UBE0 40429CFT4 441812KH6 456606HF2 996HWX903 49327WAF9 500630BN7 50075NAN4 52517P2K6 52517PE23 52517PG21 52517PK83 59217EBF0 617446C49 61746BDD5 782474985 831641DB8 87237WAC5 887317AA3 91019PCL4 912795R37 912795S51 912795S69 912795T84 996HWA903 996HWN905 996HWQ908 918WRM905 996VMG900 918WRT900 996VML909 996HXE904 99XR14198 99XR15989 99XR21110 99XR23371 99XR23389 99XR45564 99XR47529 99XN71916 99XN52858 99XQ46549 99XQ62595 99XQ84813 99XR45242 99XR17852 99XR22175 99XQ90448 99XQ94143 99XR01633 99XR01864 99XR17266 999AUDZ93 999CADZ91 999EURZ94 999MXNZ92

Freddie Mac Freddie Mac GlaxoSmithKline Capital, Inc. GMAC, Inc. Goldman Sachs Group Inc. FUTURES CASH COLLATERAL Goldman Sachs Group, Inc. (The) HSBC Finance Corp. HSBC Finance Corp. Indymac Loan Trust JP Morgan Chase Cash Collateral Held on Swaps KeyBank NA Korea Development Bank/Republic of Korea Kraft Foods, Inc. Lehman Brothers Holdings, Inc. Lehman Brothers Holdings, Inc. Lehman Brothers Holdings, Inc. Lehman Brothers Holdings, Inc. Metropolitan Life Global Funding I Morgan Stanley Morgan Stanley Russell Investment Company Money Market Fund Small Business Administration TD NA, LP Time Warner, Inc. UDR, Inc. United States Treasury Bills United States Treasury Bills United States Treasury Bills United States Treasury Bills Bank of Amercia Cash Collateral Held on Swaps Credit Suisse First Boston Cash Collateral on Swaps Deutsche Bank Cash Collateral on Swaps Goldman Sachs & Co., Cash Collateral Held on Swaps Goldman Sachs Cash Collateral Held on Swaps Lehman Brothers, Inc. Cash Collateral on Swaps Morgan Stanley Cash Collateral Held on Swaps Royal Bank of Scotland Cash Collateral 317U190B8 IRO USD 5Y P 5.5 317U192B6 IRO USD 5Y P 3.42 317U201B5 IRO USD 7Y P 4.0 11 317U205B1 IRO USD 7Y P 4.0 317U206B0 IRO USD 7Y P 317U232B8 IRO USD SWAPTION 317U234B6 IRO USD SWAPTION EURODOLLAR FUTURE EURODOLLAR FUTURES EURODOLLAR FUTURES EURODOLLAR FUTURES EURODOLLAR FUTURES EURODOLLAR FUTURES SWAPTION 317U198B0 SWAPTION 317U204B2 U S TREAS NOTES 10YR FUTURE U S TREAS NOTES 10YR FUTURE U S TREAS NOTES 10YR FUTURE U S TREAS NOTES 10YR FUTURE US TREAS BONDS FUTURE Australian Dollar Canadian Dollar Euro Currency Mexican Peso

7.000 8.000 1.079 7.750 1.000 4.500 0.564 4.125 0.446 2.598 0.427 0.961 0.000 0.000 0.000 0.000 0.480 0.599 2.550 7.449 0.728 0.684 3.900 0.000 0.000 0.000 0.000 -

08/01/2010 01/01/2010 05/13/2010 01/19/2010 12/31/2030 06/15/2010 10/21/2009 11/16/2009 06/25/2010 06/02/2010 04/03/2010 08/11/2010 05/25/2010 01/23/2009 04/03/2009 08/21/2009 05/17/2010 01/15/2010 05/14/2010 08/10/2010 10/15/2009 11/13/2009 03/15/2010 12/10/2009 11/19/2009 12/17/2009 03/25/2010

08/31/2010 11/23/2009 11/23/2009 11/23/2009 08/31/2010 11/23/2009 11/23/2009 03/15/2010 03/15/2010 03/15/2010 03/15/2010 12/14/2009 03/15/2010 08/31/2010 08/31/2010 11/20/2009 11/20/2009 11/20/2009 11/20/2009 11/20/2009 -----

2,299 57 2,700,000 150,000 813,400 1,010,000 400,000 765,000 382,942 2,000,000 900,000 700,000 1,700,000 300,000 1,200,000 1,000,000 400,000 900,000 600,000 1,100,000 79,637,215 40,863 2,800,000 400,000 930,000 2,930,000 1,445,000 2,840,000 260,000 (120,000) (280,000) (260,000) (260,000) (260,000) (139,000) (330,000) (270,000) (1,000,000) (4,000,000) (4,000,000) (20,000,000) (400,000) (3,000,000) (4,000,000) (12) (20) (15) (8) (28) (15) (1,300,000) (7,300,000) (17) (18) (5) (5) (12) 22,950 17,643 175,326 (4)

2,352.66 57.83 2,710,662.30 149,812.50 813,400.00 1,035,980.23 400,002.40 767,504.61 323,835.48 2,000,000.00 895,680.00 692,527.50 1,697,410.90 50,250.00 201,000.00 167,500.00 67,000.00 898,154.10 599,724.60 1,112,053.80 79,637,214.79 42,268.09 2,798,936.00 400,101.20 929,626.14 2,929,630.82 1,444,710.47 2,839,503.00 259,797.72 (120,000.00) (280,000.00) (260,000.00) (260,000.00) (260,000.00) (139,000.00) (330,000.00) (270,000.00) (4,274.50) (6,284.40) (5,405.60) (27,028.00) (1,849.76) (9,280.80) (7,503.60) (3,000.00) (25,000.00) (7,593.75) (2,300.00) (1,400.00) (7,593.75) (6,011.72) (33,758.12) (1,859.38) (38,812.50) (1,718.75) (1,953.13) (4,875.00) 20,246.76 16,478.50 256,563.61 (0.27)

2,297.71 57.07 2,700,000.00 145,516.95 813,400.00 981,050.48 400,000.00 764,773.59 382,942.18 2,000,000.00 898,509.92 700,000.00 1,700,000.00 300,000.00 1,200,000.00 1,000,000.00 400,012.33 899,944.09 600,000.00 1,100,000.00 79,637,214.79 40,862.68 2,798,824.63 400,018.34 921,648.10 2,929,248.77 1,444,710.47 2,839,353.07 259,766.18 (120,000.00) (280,000.00) (260,000.00) (260,000.00) (260,000.00) (139,000.00) (330,000.00) (270,000.00) (8,925.00) (41,600.00) (43,294.44) (107,460.00) (3,135.47) (19,545.00) (28,123.00) (7,440.00) (13,204.00) (6,701.25) (4,764.00) (2,359.00) (9,326.25) (10,578.75) (55,166.15) (21,696.25) (17,003.75) (2,821.90) (4,042.18) (22,086.00) 19,849.72 16,568.26 248,288.65 (0.35)

Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments

Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Short-Term Investments Options Written Options Written Options Written Options Written Options Written Options Written Options Written Options Written Options Written Options Written Options Written Options Written Options Written Options Written Options Written Options Written Options Written Options Written Options Written Options Written Foreign Currency Foreign Currency Foreign Currency Foreign Currency

United States United States United States United States United States United States United States United States United States United States United States South Korea United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States Australia Canada Other Mexico

B3KBSK9 B3KRJZ9 B0BZHN5 B1KKY93 B048QV2

B1SS3V4 B2897M3 B3BXFV4 B1Y3ML6 B23PZG6 B1YN7D3 B1XK8C1 B1N9PJ4 B2RJYP6 B245CZ3 B1H2G96 B54NP82 B3FMRF5 B3KLC30 B4K4H53

999GBPZ94 999ZARZ99

Pound Sterling South African Rand

-

---

319,119 0

510,000.88 0.00

513,184.55 0.01

Foreign Currency Foreign Currency

United Kingdom South Africa

999USDZ92 99S004W09 99S004VZ3 99S04CM65 99S04CM57 99S04TP08 99S04TOZ2 99S0275O8 99S0275N0 99S03OC95 99S03OC87 99S04J7R1 99S04J7Q3 99S03BEC4 99S03BEB6 99S040TF4 99S040TE7 99S04L135 99S04L127 99S03D7O2 99S03D7N4 99S03EA99 99S03EA81 99S04ABX2 99S04ABW4 99S04AB61 99S04AB53 99S04NBF3 99S04NBE6 99S00VSL8 99S00VSK0 99S03H5C1 99S03H5B3 99S03H507 99S03H4Z1 99S03IDL0 99S03IDK2 99S03IDR7 99S03IDQ9 99S0435I8 99S0435H0 99S03CF64 99S03CF56 99S03CF31 99S03CF23 99S03FL60 99S03FL52 99S03GN90 99S03GN82 99S03GMX8 99S03GMW0 99S03H4O6 99S03H4N8 99S03H598 99S03H580 99S03O4F0 99S03O4E3 99S03O4C7 99S03O4B9 99S03O494 99S03O486

US Dollar SWP043706 IRS EUR P V 00MFCPET SWP043706 IRS EUR R F 2.09000 SWU0041L2 IRS USD P V 03MLIBOR SWU0041L2 IRS USD R F 3.00000 SWU0101L9 IRS USD P V 03MLIBOR SWU0101L9 IRS USD R F 3.00000 SWU0225D8 IRS GBP P V 06MLIBOR SWU0225D8 IRS GBP R F 5.00000 SWU0268H7 IRS USD P V 03MLIBOR SWU0268H7 IRS USD R F 4.00000 SWU0510L4 IRS USD P V 03MLIBOR SWU0510L4 IRS USD R F 4.00000 SWU0693G4 IRS GBP P V 06MLIBOR SWU0693G4 IRS GBP R F 5.10000 SWU0714J3 IRS USD P V 03MLIBOR SWU0714J3 IRS USD R F 3.00000 SWU0740L6 IRS USD P V 03MLIBOR SWU0740L6 IRS USD R F 3.50000 SWU0741G6 IRS GBP P V 06MLIBOR SWU0741G6 IRS GBP R F 5.00000 SWU0794G2 IRS GBP P V 06MLIBOR SWU0794G2 IRS GBP R F 5.00000 SWU0840K7 IRS AUD P V 03MBBSW SWU0840K7 IRS AUD R F 4.50000 SWU0841K6 IRS AUD P V 03MLIBOR SWU0841K6 IRS AUD R F 4.50000 SWU0884L2 IRS USD P V 03MLIBOR SWU0884L2 IRS USD R F 3.00000 SWU0923A9 IRS GBP P V 6M LIBOR SWU0923A9 IRS GBP R F 6.00000 SWZBC0002 IRS USD P F 4.63270 SWZBC0002 IRS USD R V 03MLIBOR SWZBC0003 IRS USD P F 4.54000 SWZBC0003 IRS USD R V 03MLIBOR SWZBC0004 IRS USD P F 4.42000 SWZBC0004 IRS USD R F .00000 SWZBC0005 IRS USD P F 4.52400 SWZBC0005 IRS USD R F .00000 ABX000121 CDS USD P F .00000 ABX000121 CDS USD R F .76000 ABX600116 CDS USD P F .00000 ABX600116 CDS USD R F .17000 ABX600118 CDS USD P F .00000 ABX600118 CDS USD R F .09000 CDSP00163 CDS USD P F 4.40000 CDSP00163 CDS USD R F .00000 CDSP00164 CDS USD P F .82000 CDSP00164 CDS USD R F .00000 CDSP00165 CDS USD P F .72000 CDSP00165 CDS USD R F .00000 CDSP00166 CDS USD P F 2.25000 CDSP00166 CDS USD R F .00000 CDSP00167 CDS USD P F 2.10000 CDSP00167 CDS USD R F .00000 CDSP00168 CDS USD P F 2.73000 CDSP00168 CDS USD R F .00000 CDSP00170 CDS USD P F 2.67000 CDSP00170 CDS USD R F .00000 CDSP00171 CDS USD P F 1.20000 CDSP00171 CDS USD R F .00000

-

-10/15/2010 10/15/2010 12/16/2010 12/16/2010 12/16/2010 12/16/2010 09/17/2013 09/17/2013 06/17/2011 06/17/2011 12/16/2014 12/16/2014 09/15/2013 09/15/2013 02/04/2011 02/04/2011 06/24/2016 06/24/2016 03/18/2014 03/18/2014 03/18/2014 03/18/2014 06/15/2011 06/15/2011 06/15/2011 06/15/2011 12/16/2011 12/16/2011 12/19/2009 12/19/2009 11/15/2021 11/15/2021 11/15/2021 11/15/2021 11/15/2021 11/15/2021 11/15/2021 11/15/2021 01/25/2038 01/25/2038 05/25/2046 05/25/2046 08/25/2037 08/25/2037 12/20/2013 12/20/2013 03/20/2014 03/20/2014 03/20/2014 03/20/2014 03/20/2014 03/20/2014 03/20/2014 03/20/2014 03/20/2014 03/20/2014 03/20/2014 03/20/2014 03/20/2014 03/20/2014

(846,424) (1,200,000) 1,200,000 (4,300,000) 4,300,000 (11,000,000) 11,000,000 (200,000) 200,000 (1,800,000) 1,800,000 (1,600,000) 1,600,000 (500,000) 500,000 (3,100,000) 3,100,000 (8,000,000) 8,000,000 (900,000) 900,000 (2,300,000) 2,300,000 (300,000) 300,000 (5,800,000) 5,800,000 (1,300,000) 1,300,000 (800,000) 800,000 (1,320,000) 1,320,000 (661,000) 661,000 (344,000) 344,000 (339,000) 339,000 (2,500,000) 2,500,000 (1,235,000) 1,235,000 (2,750,000) 2,750,000 (850,000) 850,000 (340,000) 340,000 (340,000) 340,000 (950,000) 950,000 (525,000) 525,000 (225,000) 225,000 (1,095,000) 1,095,000 (1,140,000) 1,140,000

(846,423.83) (1,756,018.75) 1,825,768.35 (4,300,000.00) 4,391,812.31 (11,000,000.00) 11,234,868.70 (319,630.25) 344,303.82 (1,800,000.00) 1,888,578.18 (1,600,000.00) 1,689,453.28 (799,075.63) 863,656.68 (3,100,000.00) 3,188,379.76 (8,000,000.00) 8,222,838.40 (1,438,336.13) 1,552,849.84 (3,675,747.89) 3,968,394.03 (264,659.96) 262,383.88 (5,116,759.15) 5,072,755.02 (1,300,000.00) 1,337,147.50 (1,278,521.01) 1,291,506.94 (1,320,000.00) 1,189,193.94 (661,000.00) 603,816.43 (344,000.00) 319,667.88 (339,000.00) 310,238.43 (2,500,000.00) 824,000.00 (1,235,000.00) 123,006.00 (2,750,000.00) 850,300.00 (850,000.00) 723,791.83 (340,000.00) 337,734.65 (340,000.00) 332,576.47 (950,000.00) 908,331.96 (525,000.00) 512,034.44 (225,000.00) 210,610.26 (1,095,000.00) 999,643.79 (1,140,000.00) 1,112,791.62

(846,423.83) (1,441,739.31) 1,440,887.61 (4,300,000.00) 4,389,913.00 (11,000,000.00) 11,230,532.10 (396,930.14) 398,716.33 (1,800,000.00) 1,840,572.00 (1,600,000.00) 1,634,201.60 (901,324.77) 900,373.47 (3,100,000.00) 3,190,527.40 (8,000,000.00) 8,000,000.00 (1,600,065.42) 1,600,486.49 (4,089,056.09) 4,091,100.61 (212,984.98) 213,800.72 (4,124,960.71) 4,128,086.16 (1,300,000.00) 1,330,199.00 (1,635,015.34) 1,626,680.82 (1,320,000.00) 1,320,000.00 (661,000.00) 661,000.00 (344,000.00) 344,000.00 (339,000.00) 339,000.00 (2,500,000.00) 830,468.75 (1,235,000.00) 228,474.99 (2,750,000.00) 1,292,500.00 (850,000.00) 850,000.00 (340,000.00) 340,000.00 (340,000.00) 340,000.00 (950,000.00) 950,000.00 (525,000.00) 525,000.00 (225,000.00) 225,000.00 (1,095,000.00) 1,095,000.00 (1,140,000.00) 1,140,000.00

Foreign Currency Interest Rate Swap Interest Rate Swap Interest Rate Swap Interest Rate Swap Interest Rate Swap Interest Rate Swap Interest Rate Swap Interest Rate Swap Interest Rate Swap Interest Rate Swap Interest Rate Swap Interest Rate Swap Interest Rate Swap Interest Rate Swap Interest Rate Swap Interest Rate Swap Interest Rate Swap Interest Rate Swap Interest Rate Swap Interest Rate Swap Interest Rate Swap Interest Rate Swap Interest Rate Swap Interest Rate Swap Interest Rate Swap Interest Rate Swap Interest Rate Swap Interest Rate Swap Interest Rate Swap Interest Rate Swap Interest Rate Swap Interest Rate Swap Interest Rate Swap Interest Rate Swap Interest Rate Swap Interest Rate Swap Interest Rate Swap Interest Rate Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap

United States Germany Germany United States United States United States United States United Kingdom United Kingdom United States United States United Kingdom United Kingdom United Kingdom United Kingdom United States United States United States United States United Kingdom United Kingdom United Kingdom United Kingdom Australia Australia Australia Australia United States United States United Kingdom United Kingdom United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States

B1KKY93 B1H2NG2

B0BV7H7 B0BSKD5

B65Z9T3

B4K9GH3

B5009B8

B4T42Z9 B3L9XH4 B55T211 B3YL236

99S04SQO7 99S04SQN9

CDSP00178 CDS USD P F 1.00000 CDSP00178 CDS USD R F .00000

-

12/20/2014 12/20/2014

(260,000) 260,000

(260,000.00) 256,258.37

(259,732.78) 255,208.88

Credit Default Swap Credit Default Swap

United States United States

99S04SQR0 99S04SQQ2 99S04SQL3 99S04SQK5 99S04SQU3 99S04SQT6 99S04UJR3 99S04UJQ5 99S04UVF5 99S04UVE8 99S04UVL2 99S04UVK4 99S04V5O3 99S04V5N5 99S04VCF4 99S04VCE7 99S04VC98 99S04VC80 99S03KX09 99S03KWZ3 99S03G1R4 99S03G1Q6 99S03H5I8 99S03H5H0 99S04AHO6 99S04AHN8 99S04AR98 99S04AR80 99S04DRO9 99S04DRN1 99S024BF7 99S024BE0 99S02R7X2 99S02R7W4 99S02YN35 99S02YN27 99S02WAO7 99S02WAN9 99S0382R1 99S0382Q3 99S01TFF9 99S01TFE2 99S021ZL4 99S021ZK6 99S021Z00 99S021YZ4 99S021ZO8 99S021ZN0 99S021ZU4 99S021ZT7 99S04LLC3 99S04LLB5 99S02RL65 99S02RL57 99S019U66 99S019U58 99S03UB35 99S03UB27 99S01VQL9 99S01VQK1 99S025PO0

CDSP00179 CDS USD P F 1.00000 CDSP00179 CDS USD R F .00000 CDSP00180 CDS USD P F 1.00000 CDSP00180 CDS USD R F .00000 CDSP00181 CDS USD P F 1.00000 CDSP00181 CDS USD R F .00000 CDSP00184 CDS USD P F 1.00000 CDSP00184 CDS USD R F .00000 CDSP00185 CDS USD P F 1.00000 CDSP00185 CDS USD R F .00000 CDSP00186 CDS USD P F 1.75000 CDSP00186 CDS USD R F .00000 CDSP00189 CDS USD P F 1.00000 CDSP00189 CDS USD R F .00000 CDSP00192 CDS USD P F 1.00000 CDSP00192 CDS USD R F .00000 CDSP00193 CDS USD P F 1.00000 CDSP00193 CDS USD R F .00000 CDSW00168 CDS USD P F .00000 CDSW00168 CDS USD R F 6.55000 CMBX00009 CDS USD P F .84000 CMBX00009 CDS USD R F .00000 CMBX00010 CDS USD P F .84000 CMBX00010 CDS USD R F .00000 CMBX00023 CDS USD P F .84000 CMBX00023 CDS USD R F .00000 CMBX00028 CDS USD P F .84000 CMBX00028 CDS USD R F .00000 CMBX00034 CDS USD P F .84000 CMBX00034 CDS USD R F .00000 SWPC00890 CDS USD P V 03MEVENT SWPC00890 CDS USD R F 1.12000 SWPC01L02 CDS USD P V 03MEVENT SWPC01L02 CDS USD R F 1.07000 SWPC01W83 CDS USD P V 03MEVENT SWPC01W83 CDS USD R F .55250 SWPC06L19 CDS USD P V 03MEVENT SWPC06L19 CDS USD R F 1.15000 SWPC130A8 CDS USD P F .00000 SWPC130A8 CDS USD R F 1.50000 SWPC15617 CDS USD P V 00MEVENT SWPC15617 CDS USD R F 2.18000 SWPC16771 CDS USD P V 00MEVENT SWPC16771 CDS USD R F 1.00000 SWPC16904 CDS USD P V 00MEVENT SWPC16904 CDS USD R F 2.30000 SWPC16912 CDS USD P V 00MEVENT SWPC16912 CDS USD R F 2.05000 SWPC26051 CDS USD P V 00MEVENT SWPC26051 CDS USD R F 2.30000 SWPC274D8 CDS USD P V 00MEVENT SWPC274D8 CDS USD R F 1.00000 SWPC30A03 CDS USD P F .00000 SWPC30A03 CDS USD R F .83000 SWPC38007 CDS USD P V 00MEVENT SWPC38007 CDS USD R F .97000 SWPC384B9 CDS USD P V 00MEVENT SWPC384B9 CDS USD R F 2.95000 SWPC40409 CDS USD P V 00MEVENT SWPC40409 CDS USD R F 4.30000 SWPC40664 CDS USD P V 00MEVENT

-

12/20/2014 12/20/2014 12/20/2014 12/20/2014 12/20/2014 12/20/2014 09/20/2016 09/20/2016 09/20/2016 09/20/2016 09/20/2016 09/20/2016 09/20/2016 09/20/2016 09/20/2016 09/20/2016 09/20/2016 09/20/2016 12/20/2010 12/20/2010 10/12/2052 10/12/2052 10/12/2052 10/12/2052 10/12/2052 10/12/2052 10/12/2052 10/12/2052 10/12/2052 10/12/2052 12/20/2012 12/20/2012 12/20/2012 12/20/2012 12/20/2017 12/20/2017 12/20/2009 12/20/2009 09/20/2011 09/20/2011 02/20/2013 02/20/2013 03/20/2013 03/20/2013 03/20/2013 03/20/2013 03/20/2013 03/20/2013 03/20/2013 03/20/2013 09/20/2013 09/20/2013 12/20/2009 12/20/2009 10/20/2012 10/20/2012 12/20/2009 12/20/2009 03/20/2013 03/20/2013 03/20/2013

(260,000) 260,000 (260,000) 260,000 (260,000) 260,000 (530,000) 530,000 (205,000) 205,000 (205,000) 205,000 (1,800,000) 1,800,000 (165,000) 165,000 (165,000) 165,000 (600,000) 600,000 (1,600,000) 1,600,000 (1,600,000) 1,600,000 (865,000) 865,000 (2,420,000) 2,420,000 (270,000) 270,000 (1,300,000) 1,300,000 (1,425,000) 1,425,000 (680,599) 680,599 (1,900,000) 1,900,000 (200,000) 200,000 (100,000) 100,000 (2,900,000) 2,900,000 (1,500,000) 1,500,000 (1,500,000) 1,500,000 (1,500,000) 1,500,000 (100,000) 100,000 (200,000) 200,000 (200,000) 200,000 (1,000,000) 1,000,000 (900,000) 900,000 (2,700,000)

(260,000.00) 259,466.35 (260,000.00) 259,466.35 (260,000.00) 256,258.37 (530,000.00) 540,570.69 (205,000.00) 220,286.40 (205,000.00) 215,079.40 (1,800,000.00) 1,862,230.86 (165,000.00) 173,264.29 (165,000.00) 173,264.29 (600,000.00) 637,237.62 (1,241,760.00) 1,600,000.00 (1,241,760.00) 1,600,000.00 (671,326.50) 865,000.00 (1,878,162.00) 2,420,000.00 (209,547.00) 270,000.00 (1,300,000.00) 1,329,791.71 (1,425,000.00) 1,389,624.52 (680,599.20) 689,991.47 (1,900,000.00) 1,899,439.88 (200,000.00) 199,026.06 (100,000.00) 98,263.65 (2,900,000.00) 2,878,945.71 (1,500,000.00) 1,511,962.50 (1,500,000.00) 1,495,323.00 (1,500,000.00) 1,511,962.50 (100,000.00) 100,820.57 (200,000.00) 199,795.70 (200,000.00) 190,216.74 (1,000,000.00) 1,005,484.10 (900,000.00) 782,179.38 (2,700,000.00)

(259,732.78) 258,838.96 (259,732.78) 258,710.82 (259,732.78) 255,208.88 (529,263.89) 530,874.61 (189,237.89) 205,000.00 (195,951.33) 205,000.00 (1,735,619.76) 1,800,000.00 (154,920.73) 165,000.00 (154,920.73) 165,000.00 (600,000.00) 600,000.00 (1,457,695.49) 1,600,000.00 (1,440,402.05) 1,600,000.00 (357,230.79) 865,000.00 (928,893.93) 2,420,000.00 (105,300.00) 270,000.00 (1,300,000.00) 1,300,000.00 (1,425,000.00) 1,425,000.00 (680,599.20) 680,599.20 (1,900,000.00) 1,900,000.00 (200,000.00) 200,000.00 (100,000.00) 100,000.00 (2,900,000.00) 2,900,000.00 (1,500,000.00) 1,500,000.00 (1,500,000.00) 1,500,000.00 (1,500,000.00) 1,500,000.00 (100,000.00) 97,485.18 (200,000.00) 200,000.00 (200,000.00) 200,000.00 (1,000,000.00) 1,000,000.00 (900,000.00) 900,000.00 (2,700,000.00)

Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap

United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United States United Kingdom United Kingdom United States United States United States United States United States United States United States United States United States

B3KTNR5

B1FT677

99S025PN2 99S021ZF7

SWPC40664 CDS USD R F 3.02000 SWPC43023 CDS USD P V 00MEVENT

-

03/20/2013 03/20/2013

2,700,000 (1,500,000)

2,904,069.78 (1,500,000.00)

2,700,000.00 (1,500,000.00)

Credit Default Swap Credit Default Swap

United States United States

99S021ZE0 99S04PB92 99S04PB84 99S04D3R8 99S04D3Q0 99S01B3X2 99S01B3W4 99S027AC8 99S027AB0 99S023Z63 99S023Z55 99S024B91 99S024B83 99S024SR3 99S024SQ5 99S02YNF8 99S02YNE1

SWPC43023 CDS USD R F 2.05000 SWPC583D4 CDS USD P V 03MEVENT SWPC583D4 CDS USD R F 5.00000 SWPC614C9 CDS USD P V 03MEVENT SWPC614C9 CDS USD R F 5.00000 SWPC84456 CDS USD P V 00MEVENT SWPC84456 CDS USD R F 1.02000 SWPC87020 CDS USD P V 00MEVENT SWPC87020 CDS USD R F .77125 SWPC95A55 CDS USD P V 00MEVENT SWPC95A55 CDS USD R F .96330 SWPC95B39 CDS USD P V 03MEVENT SWPC95B39 CDS USD R F 1.12000 SWPC95C79 CDS USD P V 00MEVENT SWPC95C79 CDS USD R F .70750 SWPC97R87 CDS USD P V 03MEVENT SWPC97R87 CDS USD R F .54750 Value of Positions Held Other Assets and Liabilities, Net Net Assets

-

03/20/2013 12/20/2009 12/20/2009 06/20/2011 06/20/2011 10/20/2012 10/20/2012 12/20/2012 12/20/2012 12/20/2012 12/20/2012 12/20/2012 12/20/2012 12/20/2012 12/20/2012 12/20/2017 12/20/2017

1,500,000 (300,000) 300,000 (1,000,000) 1,000,000 (200,000) 200,000 (5,542,022) 5,542,022 (600,000) 600,000 (400,000) 400,000 (1,555,655) 1,555,655 (291,685) 291,685

1,495,323.00 (300,000.00) 302,534.40 (1,000,000.00) 1,056,319.20 (200,000.00) 190,505.68 (5,542,022.05) 5,634,573.82 (600,000.00) 610,752.18 (400,000.00) 409,166.68 (1,555,655.31) 1,578,523.44 (291,685.37) 295,608.25 1,083,405,928.57 -76,492,493.50 1,006,913,435.07

1,500,000.00 (300,000.00) 301,814.71 (1,000,000.00) 952,638.89 (200,000.00) 200,000.00 (5,542,022.05) 5,542,022.05 (600,000.00) 600,000.00 (400,000.00) 400,000.00 (1,555,655.31) 1,555,655.31 (291,685.37) 291,685.37 1,124,516,511.44

Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap Credit Default Swap

United States United Kingdom United Kingdom United States United States United States United States United States United States United States United States United States United States United States United States United States United States

B2Q6SK1 B1H3SJ3

ISIN US00252FCC32 US004375AX91 US004421TP86 US004427BN90 US00442BAB71 US00764MAW73 US00922KAA88 US03072SEB79 US03072SVQ55 US00075WAB54 US04541GWC22 US05522RBJ68 US05950TAA34 US07325NCR17 US07384YGX85 US07384YKL91 US073859AA80 US073877CC43 US07387YAA10 US07388EAJ55 US05569QAB05 US05567YAA73 US123281AW77 US144528AC05 US144531DL14 US15231AAD81 US161571CT95 US17309UAA34 US17312EAB20 US17313BAB71 US12666TAD81 US126670QT84 US126670WA20 US126670XM58 US126670ZL57 US1266712U98 US126671NA04 US126673QH85 US12667NAC20 US12669VAB45 US126685AM82 US23242JAQ13 US23242QAE26

US761545AD46 US12489WMT89 US1248M6AA48 US17307GLN69

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US760985K263 US760985SU69

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