N-Q 1 c93506_nq.htm

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number File No. 811-04415

 

COLLEGE RETIREMENT EQUITIES FUND

(Exact name of Registrant as specified in charter)

 

730 Third Avenue, New York, New York 10017-3206

(Address of Principal Executive Offices) (Zip code)

 

Terry H. Lin, Esq.

College Retirement Equities Fund

730 Third Avenue

New York, New York 10017-3206

(Name and address of agent for service)

 

Registrant’s telephone number, including area code: 212-490-9000

 

Date of fiscal year end: December 31

 

Date of reporting period: March 31, 2019

 

Item 1. Schedule of Investments.

 

COLLEGE RETIREMENT EQUITIES FUND - Money Market Account

 

COLLEGE RETIREMENT EQUITIES FUND
MONEY MARKET ACCOUNT
SCHEDULE OF INVESTMENTS (unaudited)
March 31, 2019

 

PRINCIPAL     ISSUER     RATE  MATURITY
DATE		  VALUE
(000)		 
SHORT-TERM INVESTMENTS - 99.9%
                         
GOVERNMENT AGENCY DEBT - 62.2%
$27,180,000     Federal Agricultural Mortgage Corp (FAMC)      0.010%  04/15/19  $27,155 
 20,000,000     FAMC      0.010   04/26/19   19,967 
 40,000,000     FAMC      0.010   05/17/19   39,877 
 25,000,000     FAMC      0.010   05/21/19   24,916 
 12,180,000     FAMC      0.010   07/25/19   12,086 
 30,000,000     Federal Farm Credit Bank (FFCB)      0.010   04/02/19   29,998 
 16,500,000     FFCB      0.010   04/05/19   16,496 
 22,000,000     FFCB      0.010   04/09/19   21,988 
 31,150,000     FFCB      0.010   04/12/19   31,127 
 15,000,000     FFCB      0.010   04/18/19   14,983 
 20,000,000     FFCB      0.010   04/22/19   19,972 
 24,500,000     FFCB      0.010   04/26/19   24,459 
 15,600,000     FFCB      0.010   05/02/19   15,567 
 25,000,000     FFCB      0.010   05/03/19   24,945 
 37,500,000     FFCB      0.010   05/06/19   37,411 
 15,900,000     FFCB      0.010   05/08/19   15,859 
 9,000,000     FFCB      0.010   05/17/19   8,971 
 20,000,000     FFCB      0.010   05/20/19   19,933 
 33,800,000     FFCB      0.010   05/23/19   33,679 
 36,685,000     FFCB      0.010   05/28/19   36,546 
 22,310,000     FFCB      0.010   05/31/19   22,221 
 44,000,000     FFCB      0.010   06/10/19   43,789 
 13,500,000     FFCB      0.010   06/14/19   13,433 
 33,000,000     FFCB      0.010   06/17/19   32,829 
 24,000,000     FFCB      0.010   06/18/19   23,875 
 17,050,000     FFCB      0.010   06/21/19   16,957 
 6,000,000     FFCB      0.010   09/03/19   5,937 
 66,000,000     Federal Home Loan Bank (FHLB)      0.010   04/01/19   66,000 
 30,000,000     FHLB      0.010   04/02/19   29,998 
 40,000,000     FHLB      0.010   04/03/19   39,995 
 20,000,000     FHLB      0.010   04/04/19   19,996 
 83,844,000     FHLB      0.010   04/05/19   83,822 
 46,530,000     FHLB      0.010   04/08/19   46,508 
 69,260,000     FHLB      0.010   04/09/19   69,223 
 85,250,000     FHLB      0.010   04/10/19   85,199 
 94,440,000     FHLB      0.010   04/12/19   94,371 
 102,320,000     FHLB      0.010   04/15/19   102,224 
 110,000,000     FHLB      0.010   04/16/19   109,890 
 30,000,000     FHLB      0.010   04/17/19   29,968 
 63,270,000     FHLB      0.010   04/22/19   63,181 
 101,500,000     FHLB      0.010   04/23/19   101,350 
 83,600,000     FHLB      0.010   04/24/19   83,471 
 8,985,000     FHLB      0.010   04/25/19   8,971 
 82,970,000     FHLB      0.010   04/26/19   82,831 
 40,000,000     FHLB      0.010   04/29/19   39,925 
 63,045,000     FHLB      0.010   04/30/19   62,923 
1

COLLEGE RETIREMENT EQUITIES FUND - Money Market Account

 

PRINCIPAL     ISSUER     RATE  MATURITY
DATE		  VALUE
(000)		 
$93,000,000     FHLB      0.010%  05/01/19  $92,814 
 124,550,000     FHLB      0.010   05/03/19   124,283 
 100,000,000     FHLB      0.010   05/06/19   99,766 
 45,000,000     FHLB      0.010   05/07/19   44,892 
 57,842,000     FHLB      0.010   05/08/19   57,699 
 85,000,000     FHLB      0.010   05/10/19   84,779 
 20,000,000     FHLB      0.010   05/13/19   19,944 
 20,000,000     FHLB      0.010   05/14/19   19,943 
 20,000,000     FHLB      0.010   05/15/19   19,941 
 31,740,000     FHLB      0.010   05/16/19   31,643 
 100,000,000     FHLB      0.010   05/17/19   99,693 
 60,000,000     FHLB      0.010   05/20/19   59,803 
 60,000,000     FHLB      0.010   05/21/19   59,799 
 75,000,000     FHLB      0.010   05/22/19   74,744 
 50,000,000     FHLB      0.010   05/23/19   49,827 
 120,020,000     FHLB      0.010   05/24/19   119,592 
 75,000,000     FHLB      0.010   05/28/19   74,716 
 19,000,000     FHLB      0.010   05/29/19   18,926 
 84,315,000     FHLB      0.010   05/31/19   83,975 
 110,000,000     FHLB      0.010   06/03/19   109,536 
 85,000,000     FHLB      0.010   06/04/19   84,636 
 5,000,000     FHLB      0.010   06/05/19   4,978 
 3,000,000     FHLB      0.010   06/06/19   2,987 
 93,900,000     FHLB      0.010   06/07/19   93,477 
 68,805,000     FHLB      0.010   06/10/19   68,482 
 48,400,000     FHLB      0.010   06/11/19   48,170 
 79,000,000     FHLB      0.010   06/12/19   78,618 
 87,990,000     FHLB      0.010   06/13/19   87,559 
 78,560,000     FHLB      0.010   06/14/19   78,169 
 59,275,000     FHLB      0.010   06/17/19   58,969 
 34,725,000     FHLB      0.010   06/18/19   34,543 
 59,120,000     FHLB      0.010   06/21/19   58,796 
 50,000,000     FHLB      0.010   06/25/19   49,713 
 50,000,000     FHLB      0.010   06/28/19   49,704 
 30,000,000     Federal Home Loan Mortgage Corp (FHLMC)      0.010   04/02/19   29,998 
 109,000,000     FHLMC      0.010   04/17/19   108,884 
 40,030,000     FHLMC      0.010   04/24/19   39,969 
 116,480,000     FHLMC      0.010   04/29/19   116,264 
 16,160,000     FHLMC      0.010   05/02/19   16,127 
 50,000,000     FHLMC      0.010   05/07/19   49,881 
 15,000,000     FHLMC      0.010   05/10/19   14,961 
 94,600,000     FHLMC      0.010   05/13/19   94,335 
 20,000,000     FHLMC      0.010   05/20/19   19,935 
 50,000,000     FHLMC      0.010   05/21/19   49,835 
 9,085,000     FHLMC      0.010   05/29/19   9,050 
 25,000,000     FHLMC      0.010   06/04/19   24,893 
 40,000,000     FHLMC      0.010   06/05/19   39,825 
 81,160,000     FHLMC      0.010   06/06/19   80,801 
 63,970,000     FHLMC      0.010   06/11/19   63,664 
 72,165,000     FHLMC      0.010   06/12/19   71,817 
 25,000,000     FHLMC      0.010   06/19/19   24,868 
 14,460,000     FHLMC      0.010   09/03/19   14,310 
 49,260,000     FHLMC      0.010   09/24/19   48,677 
 30,000,000     Federal National Mortgage Association (FNMA)      0.010   04/01/19   30,000 
2

COLLEGE RETIREMENT EQUITIES FUND - Money Market Account

 

PRINCIPAL     ISSUER     RATE  MATURITY
DATE		  VALUE
(000)		 
$119,730,000     FNMA      0.010%  04/03/19  $119,714 
 40,000,000     FNMA      0.010   04/05/19   39,990 
 74,445,000     FNMA      0.010   04/08/19   74,411 
 18,820,000     FNMA      0.010   04/09/19   18,810 
 62,945,000     FNMA      0.010   04/10/19   62,907 
 25,000,000     FNMA      0.010   04/16/19   24,975 
 19,715,000     FNMA      0.010   04/23/19   19,686 
 20,000,000     FNMA      0.010   04/24/19   19,970 
 25,000,000     FNMA      0.010   04/25/19   24,960 
 20,000,000     FNMA      0.010   04/26/19   19,967 
 52,340,000     FNMA      0.010   05/01/19   52,236 
 40,000,000     FNMA      0.010   05/07/19   39,905 
 60,485,000     FNMA      0.010   05/08/19   60,338 
 40,000,000     FNMA      0.010   05/10/19   39,897 
 45,000,000     FNMA      0.010   05/13/19   44,875 
 120,000,000     FNMA      0.010   05/14/19   119,659 
 52,195,000     FNMA      0.010   05/15/19   52,042 
 68,145,000     FNMA      0.010   05/22/19   67,913 
 20,000,000     FNMA      0.010   05/28/19   19,925 
 90,000,000     FNMA      0.010   05/29/19   89,653 
 30,000,000     FNMA      0.010   05/30/19   29,883 
 56,700,000     FNMA      0.010   06/05/19   56,453 
 19,981,000     FNMA      0.010   06/19/19   19,874 
 46,400,000     FNMA      0.010   06/26/19   46,133 
       TOTAL GOVERNMENT AGENCY DEBT       6,112,208 
                          
TREASURY DEBT - 18.0%        
 60,000,000     United States Treasury Bill      0.010   04/02/19   59,996 
 125,165,000     United States Treasury Bill      0.010   04/04/19   125,140 
 30,000,000     United States Treasury Bill      0.010   04/09/19   29,984 
 135,000,000     United States Treasury Bill      0.010   04/11/19   134,910 
 10,000,000     United States Treasury Bill      0.010   04/16/19   9,990 
 86,235,000     United States Treasury Bill      0.010   04/18/19   86,138 
 15,000,000     United States Treasury Bill      0.010   04/23/19   14,978 
 100,000,000     United States Treasury Bill      0.010   04/25/19   99,842 
 25,000,000     United States Treasury Bill      0.010   04/30/19   24,952 
 100,000,000     United States Treasury Bill      0.010   05/02/19   99,796 
 20,000,000     United States Treasury Bill      0.010   05/07/19   19,952 
 135,000,000     United States Treasury Bill      0.010   05/09/19   134,659 
 100,100,000     United States Treasury Bill      0.010   05/16/19   99,801 
 55,000,000     United States Treasury Bill      0.010   05/23/19   54,810 
 95,000,000     United States Treasury Bill      0.010   05/30/19   94,629 
 54,000,000     United States Treasury Bill      0.010   06/06/19   53,764 
 50,000,000     United States Treasury Bill      0.010   06/13/19   49,758 
 95,000,000     United States Treasury Bill      0.010   06/20/19   94,492 
 23,035,000     United States Treasury Bill      0.010   06/27/19   22,903 
 20,000,000     United States Treasury Bill      0.010   07/05/19   19,871 
 88,385,000     United States Treasury Bill      0.010   10/10/19   87,241 
 110,805,000     United States Treasury Bill      0.010   11/07/19   109,144 
 46,600,000     United States Treasury Note      1.625   04/30/19   46,572 
 25,000,000     United States Treasury Note      0.875   07/31/19   24,864 
 70,000,000     United States Treasury Note      1.000   10/15/19   69,429 
 96,825,000     United States Treasury Note      1.000   11/15/19   95,901 
       TOTAL TREASURY DEBT              1,763,516 
3

COLLEGE RETIREMENT EQUITIES FUND - Money Market Account

 

PRINCIPAL     ISSUER  REFERENCE
RATE & SPREAD		  RATE  MATURITY
DATE		  VALUE
(000)		 
VARIABLE RATE SECURITIES - 19.7%
$40,000,000  i  Federal Agricultural Mortgage Corp (FAMC)  EFFR + 0.010%   2.420%  04/01/19  $40,000 
 45,000,000  i  FAMC  LIBOR 3 M - 0.210%   2.434   05/20/19   45,000 
 30,000,000  i  FAMC  LIBOR 1 M - 0.050%   2.439   07/01/19   30,000 
 50,000,000  i  FAMC  EFFR + 0.150%   2.560   09/27/19   50,000 
 30,000,000  i  FAMC  LIBOR 3 M - 0.200%   2.536   11/01/19   30,000 
 44,500,000  i  FAMC  EFFR + 0.120%   2.530   02/26/20   44,500 
 65,000,000  i  FAMC  SOFR + 0.050%   2.480   03/18/20   65,000 
 35,000,000  i  FAMC  FRED - 2.950%   2.550   05/19/20   35,000 
 30,000,000  i  FAMC  FRED - 2.960%   2.540   08/28/20   30,000 
 7,500,000  i  Federal Farm Credit Bank (FFCB)  EFFR - 0.000%   2.410   04/15/19   7,500 
 50,000,000  i  FFCB  LIBOR 1 M - 0.125%   2.356   06/07/19   50,000 
 55,000,000  i  FFCB  FRED - 3.080%   2.420   06/27/19   55,002 
 50,000,000  i  FFCB  FRED - 3.080%   2.420   08/16/19   49,998 
 30,000,000  i  FFCB  EFFR - 0.015%   2.395   09/20/19   30,000 
 57,500,000  i  FFCB  FRED - 3.075%   2.425   09/25/19   57,478 
 50,000,000  i  FFCB  FRED - 3.080%   2.420   10/10/19   49,976 
 40,000,000  i  FFCB  US Treasury Bill 3 M + 0.050%   2.475   10/18/19   40,000 
 10,000,000  i  FFCB  US Treasury Bill 3 M + 0.050%   2.475   11/04/19   10,000 
 10,000,000  i  FFCB  FRED - 2.910%   2.590   12/11/19   10,008 
 47,000,000  i  FFCB  FRED - 3.065%   2.435   12/26/19   46,986 
 50,000,000  i  FFCB  LIBOR 1 M - 0.030%   2.451   01/07/20   50,000 
 50,000,000  i  FFCB  US Treasury Bill 3 M + 0.055%   2.480   01/27/20   50,000 
 80,000,000  i  FFCB  FRED - 2.980%   2.520   02/20/20   79,997 
 21,700,000  i  FFCB  FRED - 2.870%   2.630   05/29/20   21,700 
 50,000,000  i  FFCB  FRED - 2.960%   2.540   07/09/20   49,995 
 50,000,000  i  FFCB  US Treasury Bill 3 M + 0.045%   2.470   08/17/20   49,997 
 9,500,000  i  FFCB  FRED - 3.020%   2.480   09/28/20   9,488 
 50,000,000  i  FFCB  US Treasury Bill 3 M + 0.160%   2.470   01/19/21   49,991 
 69,000,000  i  Federal Home Loan Bank (FHLB)  SOFR + 0.040%   2.470   05/15/19   69,000 
 45,000,000  i  FHLB  LIBOR 1 M - 0.070%   2.422   07/12/19   45,000 
 19,000,000  i  FHLB  SOFR + 0.060%   2.490   09/10/19   19,000 
 8,300,000  i  FHLB  US Treasury Bill 3 M + 0.070%   2.535   01/30/20   8,302 
 30,000,000  i  Federal Home Loan Mortgage Corp (FHLMC)  SOFR + 0.025%   2.455   05/08/19   30,000 
 50,000,000  i  FHLMC  LIBOR 1 M - 0.095%   2.387   06/19/19   50,000 
 27,500,000  i  FHLMC  SOFR + 0.030%   2.460   06/19/19   27,500 
 12,000,000  i  FHLMC  LIBOR 3 M - 0.165%   2.630   07/05/19   12,002 
 80,900,000  i  FHLMC  LIBOR 1 M - 0.100%   2.392   08/08/19   80,901 
 30,000,000  i  FHLMC  LIBOR 3 M - 0.225%   2.414   08/27/19   30,000 
 20,000,000  i  Federal National Mortgage Association (FNMA)  SOFR + 0.070%   2.500   10/30/19   20,000 
 24,000,000  i  FNMA  SOFR + 0.060%   2.490   07/30/20   24,000 
 100,000,000  i  United States Treasury Floating Rate Note  US Treasury Bill 3 M + 0.048%   2.473   10/31/19   100,018 
 30,000,000  i  United States Treasury Floating Rate Note  US Treasury Bill 3 M - 0.000%   2.473   01/31/20   30,000 
4

COLLEGE RETIREMENT EQUITIES FUND - Money Market Account

 

PRINCIPAL     ISSUER  REFERENCE
RATE & SPREAD		  RATE  MATURITY
DATE		  VALUE
(000)		 
$157,000,000  i  United States Treasury Floating Rate Note  US Treasury Bill 3 M + 0.033%   2.473%  04/30/20  $157,010 
 100,000,000  i  United States Treasury Floating Rate Note  US Treasury Bill 3 M + 0.045%   2.473   10/31/20   99,918 
       TOTAL VARIABLE RATE SECURITIES       1,940,267 
                        
       TOTAL SHORT-TERM INVESTMENTS       9,815,991 
       (Cost $9,815,991)                
                        
       TOTAL INVESTMENTS - 99.9%       9,815,991 
       (Cost $9,815,991)                
       OTHER ASSETS & LIABILITIES, NET - 0.1%       5,314 
       NET ASSETS - 100.0%             $9,821,305 
       
       
    Abbreviation(s):
EFFR   Effective Federal Funds Rate
FRED   Federal Bank Prime Loan Rate
LIBOR   London Interbank Offered Rates
M   Month
SOFR   Secure Overnight Financing  Rate
     
i   Floating or variable rate security includes the reference rate and spread, unless the variable rate is based on the underlying asset of the security. Coupon rate reflects the rate at period end.
     
    Cost amounts are in thousands.

5

COLLEGE RETIREMENT EQUITIES FUND – Notes to Schedule of Investments (unaudited)

 

Note 1—organization and significant accounting policies

 

The purpose of the College Retirement Equities Fund (“CREF”), as stated in its charter, is to aid and strengthen non-profit educational and research organizations, governmental entities, and other non-profit institutions by providing their employees with variable retirement benefits. CREF is registered with the U.S. Securities and Exchange Commission (“Commission”) under the Investment Company Act of 1940, as amended (“1940 Act”), as an open-end management investment company. This filing consists of one investment portfolio: the Money Market Account (referred to as the “Account”).

 

The accompanying Schedule of Investments was prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and in conformity with the applicable rules and regulations of the Commission related to interim filings. Accordingly, the Schedule of Investments does not include all information and footnotes required by U.S. GAAP for complete financial statements. Certain footnote disclosures normally included in financial statements prepared in accordance with U.S. GAAP have been condensed or omitted from this report pursuant to the rules of the Commission. For a full set of financial statement notes, please refer to the most recently filed annual or semi-annual report.

 

The preparation of the Schedule of Investments requires the use of estimates made by management. Actual results may differ from those estimates. CREF is an investment company and follows the accounting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification 946, Financial Services—Investment Companies. The following is a summary of the significant accounting policies consistently followed by the Account.

 

Security valuation: Investments held by the Account are recorded at amortized cost, which approximates fair value. The amortized cost of an instrument is determined by valuing it at its original cost and thereafter accreting or amortizing any discount or premium to its face value at a constant rate until maturity.

 

Investment transactions: Security transactions are accounted for as of the trade date for financial reporting purposes. 

 

Note 2—valuation of investments

 

Portfolio investments are valued at fair value utilizing various valuation methods approved by the Board. U.S. GAAP establishes a hierarchy that prioritizes market inputs to valuation methods. The three levels of inputs are:

 

• Level 1 – quoted prices in active markets for identical securities

• Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, credit spreads, etc.)

• Level 3 – significant unobservable inputs (including the Account’s own assumptions in determining the fair value of investments)

 

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized as Level 3. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

A description of the valuation techniques applied to the Account’s major categories of assets and liabilities measured at fair value follows:

 

The Money Market Account: The Money Market Account’s portfolio securities are valued on an amortized cost basis. Money Market investments are generally categorized as Level 2 of the fair value hierarchy.

 

Any portfolio security for which market quotations are not readily available or for which the above valuation procedures are deemed not to reflect fair value are valued at fair value, as determined in good faith using procedures approved by the Board. To the extent the inputs are observable and timely, the values would be categorized as Level 2 of the fair value hierarchy; otherwise they would be categorized as Level 3. 

 

As of March 31, 2019, 100% of the value of investments in the Money Market Account was valued based on Level 2 inputs.

6

Item 2. Controls and Procedures.

 

(a) An evaluation was performed within 90 days of the filing date of the report under the supervision of the Registrant’s management, including the principal executive officer and principal financial officer, of the effectiveness of the design and operation of the Registrant’s disclosure controls and procedures. Based on that evaluation, the Registrant’s management, including the principal executive officer and principal financial officer, concluded that the Registrant’s disclosure controls and procedures were effective for this quarterly reporting period.

 

(b) There were no changes in the Registrant’s internal control over financial reporting that occurred during the Registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

 

Item 3. Exhibits.

 

3(a) Section 302 certification of the principal executive officer

 

3(b) Section 302 certification of the principal financial officer

 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

    COLLEGE RETIREMENT EQUITIES FUND
         
Dated:  May 17, 2019     By: /s/Carol W. Deckbar
        Carol W. Deckbar
        Principal Executive Officer and Executive
        Vice President

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

 

Dated:  May 17, 2019   By: /s/Carol W. Deckbar
      Carol W. Deckbar
      Principal Executive Officer and Executive
      Vice President
      (principal executive officer)
       
Dated: May 17, 2019   By: /s/Glenn E. Brightman
      Glenn E. Brightman
      Executive Vice President,
      Chief Financial Officer and
      Principal Accounting Officer
      (principal financial officer)
 

EXHIBIT LIST

 

Item 3. Exhibits.

 

3(a) Section 302 certification of the principal executive officer

3(b) Section 302 certification of the principal financial officer