COLLEGE RETIREMENT EQUITIES FUND - Stock Account
^Amount represents less than $1,000. * Non-income producing
† Security is categorized as Level 3 in the fair value hierarchy. a Affiliated holding
b In bankruptcy
e All or a portion of these securities are out on loan. The aggregate value of securities on loan is $2,031,362,792.
g Security is exempt from registration under Rule 144(A) of the Securities Act of 1933, as amended. Such securities are deemed liquid and may be resold in transactions
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exempt from registration to qualified institutional buyers. At 3/31/22, the aggregate value of these securities is $1,232,043,500 or 1.0% of net assets. |
h |
All or a portion of these securities were purchased on a delayed delivery basis. |
n |
All or a portion of these securities have been segregated by the custodian to cover requirements on open written options contracts. |
rAgreement with Fixed Income Clearing Corp (FICC), 0.250% dated 3/31/22 to be repurchased at $371,390,000 on 4/1/22, collateralized by Government Agency Securities, with coupon rate 2.375% and maturity date 3/31/29, valued at $378,817,818.
sAgreement with Calyon, 0.300% dated 3/31/22 to be repurchased at $70,000,000 on 4/1/22, collateralized by Government Agency Securities, with coupon rate 2.000% and maturity date 1/20/51, valued at $71,400,000.
tAgreement with Citigroup, 0.310% dated 3/31/22 to be repurchased at $57,000,000 on 4/1/22, collateralized by Government Agency Securities, with coupon rates 0.000%–4.375% and maturity dates 5/15/28–2/15/38, valued at $58,140,126.
uAgreement with Deutsche Bank, 0.300% dated 3/31/22 to be repurchased at $100,000,000 on 4/1/22, collateralized by Government Agency Securities, with coupon rate 0.000% and maturity dates 5/15/25–8/15/26, valued at $102,000,000.
vAgreement with Goldman Sachs, 0.300% dated 3/31/22 to be repurchased at $120,000,000 on 4/1/22, collateralized by Government Agency Securities, with coupon rates 0.125%–2.500% and maturity dates 8/15/23–2/15/45, valued at $122,400,004.
wAgreement with HSBC, 0.300% dated 3/31/22 to be repurchased at $100,000,000 on 4/1/22, collateralized by Government Agency Securities, with coupon rates 0.640%–1.375% and maturity dates 4/30/23–11/15/31, valued at $102,000,005.
xAgreement with JP Morgan, 0.300% dated 3/31/22 to be repurchased at $50,000,000 on 4/1/22, collateralized by Government Agency Securities, with coupon rates 2.500%–6.500% and maturity dates 1/20/39–12/20/51, valued at $51,000,000.
yAgreement with JP Morgan, 0.300% dated 3/31/22 to be repurchased at $6,000,000 on 4/1/22, collateralized by Government Agency Securities, with coupon rates 3.000%–5.500% and maturity dates 1/20/47–10/20/49, valued at $6,120,001.
zAgreement with Merrill Lynch, 0.270% dated 3/31/22 to be repurchased at $11,000,000 on 4/1/22, collateralized by Government Agency Securities, with coupon rate
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0.125% and maturity date 9/15/23, valued at $11,220,063. |
aa |
Agreement with Merrill Lynch, 0.300% dated 3/31/22 to be repurchased at $136,555,000 on 4/1/22, collateralized by Government Agency Securities, with coupon rate |
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2.000% and maturity date 2/20/52, valued at $139,286,101. |
ab |
Agreement with Morgan Stanley, 0.300% dated 3/31/22 to be repurchased at $120,000,000 on 4/1/22, collateralized by Government Agency Securities, with coupon |
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rates 2.000%–9.000% and maturity dates 7/1/22–3/1/52, valued at $122,400,000. |
ac |
Agreement with Nomura, 0.300% dated 3/31/22 to be repurchased at $100,000,000 on 4/1/22, collateralized by Government Agency Securities, with coupon rates |
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0.000%–4.500% and maturity dates 4/20/22–2/15/41, valued at $102,000,176. |
ad |
Agreement with Royal Bank of Scotland, 0.300% dated 3/31/22 to be repurchased at $77,000,000 on 4/1/22, collateralized by Government Agency Securities, with |
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coupon rate 1.500% and maturity date 8/15/22, valued at $78,540,083. |
ae |
Agreement with Societe Generale, 0.300% dated 3/31/22 to be repurchased at $100,000,000 on 4/1/22, collateralized by Government Agency Securities, with coupon |
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rates 0.250%–3.500% and maturity dates 9/30/23–1/20/52, valued at $102,000,004. |
af |
Agreement with Societe Generale, 0.300% dated 3/28/22 to be repurchased at $18,000,000 on 4/4/22, collateralized by Government Agency Securities, with coupon |
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rates 2.500%–3.500% and maturity dates 8/1/40–9/1/51, valued at $18,360,000. |
Cost amounts are in thousands.
Principal denominated in U.S. Dollars, unless otherwise noted.
Written options outstanding as of March 31, 2022 were as follows (notional amounts and values are in thousands):
|
Number of |
|
Notional |
|
Exercise |
Expiration |
|
|
Description/underlying investment |
contracts |
|
amount |
|
price |
date |
|
Value |
Advanced Micro Devices, Inc, Put |
30 |
$ |
(11) |
$ |
90.00 |
04/14/22 |
$ |
(1) |
Alphabet, Inc, Call |
3 |
|
(4) |
|
3,000.00 |
04/14/22 |
|
(1) |
American Express Co, Call |
20 |
|
(6) |
|
185.00 |
04/14/22 |
|
(12) |
American Express Co, Call |
20 |
|
(4) |
|
210.00 |
04/14/22 |
|
(0)^ |
American Express Co, Put |
20 |
|
(16) |
|
140.00 |
06/17/22 |
|
(2) |
Apple, Inc, Put |
20 |
|
(6) |
|
140.00 |
04/14/22 |
|
(0)^ |
AutoZone, Inc, Call |
5 |
|
(6) |
|
2,200.00 |
05/20/22 |
|
(14) |
Blackstone, Inc, Call |
20 |
|
(3) |
|
135.00 |
04/14/22 |
|
(2) |
Broadcom, Inc, Call |
10 |
|
(3) |
|
700.00 |
05/20/22 |
|
(5) |
Broadcom, Inc, Put |
10 |
|
(6) |
|
500.00 |
04/14/22 |
|
(0)^ |
Broadcom, Inc, Put |
10 |
|
(4) |
|
500.00 |
05/20/22 |
|
(2) |
Ciena Corp, Put |
30 |
|
(3) |
|
50.00 |
04/14/22 |
|
(0)^ |
Citigroup, Inc, Call |
30 |
|
(1) |
|
65.00 |
04/14/22 |
|
(0)^ |
Generac Holdings, Inc, Put |
10 |
|
(36) |
|
270.00 |
08/19/22 |
|
(22) |
Intuitive Surgical, Inc, Call |
213 |
|
(77) |
|
350.00 |
04/14/22 |
|
(11) |
Intuitive Surgical, Inc, Call |
213 |
|
(97) |
|
340.00 |
06/17/22 |
|
(107) |
Intuitive Surgical, Inc, Put |
213 |
|
(492) |
|
280.00 |
06/17/22 |
|
(200) |
Meta Platforms, Inc, Call |
20 |
|
(6) |
|
235.00 |
05/20/22 |
|
(18) |
Meta Platforms, Inc, Put |
20 |
|
(15) |
|
165.00 |
05/20/22 |
|
(2) |
Microsoft Corp, Call |
20 |
|
(2) |
|
325.00 |
04/14/22 |
|
(2) |
Microsoft Corp, Call |
20 |
|
(4) |
|
340.00 |
05/20/22 |
|
(4) |
Microsoft Corp, Put |
20 |
|
(5) |
|
260.00 |
05/20/22 |
|
(3) |