Portfolio holdings: Cash equivalents
As of 6/30/2022
Securities are listed alphabetically and values may round to less than a thousand.
| Security description | Par value in thousands (000s) | Interest rate | Maturity date | Market value $US in thousands (000s) |
|---|---|---|---|---|
| BANC OF AMERICA SEURITIES LLC | 370 | 0.00 | n/a | 370 |
| BARCLAYS CAPITAL REPO | 285,600 | 1.47 | 7/5/2022 | 285,600 |
| CCBRCIUS4 SWBC BRC | (810) | 0.00 | n/a | (810) |
| CCCIBIUS4 SWCC CIB USD | 1,160 | 0.00 | n/a | 1,160 |
| CCCSNTUS5 FWCC CS | 439 | 0.00 | n/a | 439 |
| CCPC CCMSCHUS2 COC | 298 | 0.00 | n/a | 298 |
| FUTURES MORGAN STANLEY COC | 114,663 | n/a | n/a | 114,663 |
| GOLDMAN SACHS BANK USA COC | 266 | n/a | n/a | 266 |
| MORGAN STANLEY CAP SVCS COC | 500 | 0.00 | n/a | 500 |
| NOMURA TBA COC | 34 | 0.00 | n/a | 34 |
| PARIBAS REPO | 313,900 | 1.54 | 7/1/2022 | 313,900 |
| STANDARD CHARTERED BANK REPO | 10,000 | 1.54 | 7/1/2022 | 10,000 |
| STATE STREET BANK + TRUST CO | 7,207 | n/a | 12/31/2030 | 7,207 |
| SURPLUS MONEY INVESTMENT FUND | 48,239 | n/a | 12/31/2030 | 48,239 |
| SWAP BANK OF AMERICA COC | 98,968 | 0.00 | n/a | 98,968 |
| SWAP BNP PARIBAS COC | 24,340 | 0.00 | n/a | 24,340 |
| SWAP BOA MERRILL LYNCH COC COC | 90 | 0.00 | n/a | 90 |
| SWAP CITIBANK COC | 65,455 | 0.00 | n/a | 65,455 |
| SWAP CREDIT AGRICOLE COC | 2,500 | 0.00 | n/a | 2,500 |
| SWAP CREDIT SUISSE BOC | (200) | 0.00 | n/a | (200) |
| SWAP GOLDMAN SACHS BOC | (27,600) | 0.00 | n/a | (27,600) |
| SWAP GOLDMAN SACHS COC | 10 | 0.00 | n/a | 10 |
| SWAP HSBC BOC | (650) | 0.00 | n/a | (650) |
| SWAP HSBC COC | 950 | 0.00 | n/a | 950 |
| SWAP JP MORGAN BOC | (26,940) | 0.00 | n/a | (26,940) |
| SWAP JP MORGAN COC | 112,233 | 0.00 | n/a | 112,233 |
| SWAP MACQUARIE BANK COC | 1,640 | 0.00 | n/a | 1,640 |
| SWAP MORGAN STANLEY BOC | (7,540) | 0.00 | n/a | (7,540) |
| SWAP RBC BOCC | (7,550) | 0.00 | n/a | (7,550) |
| SWAP RBC COCF CANADA | 20,360 | 0.00 | n/a | 20,360 |
| SWAP STAND. CHARTER BANK BOCOC | (150) | 0.00 | n/a | (150) |
| SWAP STANDARD CHARTERED BANK L | 30 | 0.00 | n/a | 30 |
| SWAP STATE STREET BANK COCCO C | 2,830 | 0.00 | n/a | 2,830 |
| SWAP TD COC USD | 2,010 | 0.00 | n/a | 2,010 |
| SWAP UBS BOC | (5,490) | 0.00 | n/a | (5,490) |
| SWAP UBS COC | 110 | 0.00 | n/a | 110 |
| SWAPS BANK OF MONTREAL COC USD | 280 | 0.00 | n/a | 280 |
| SWAPS BARCLAYS BOC | (40) | 0.00 | n/a | (40) |
| SWAPS WELLS FARGO BOC | (280) | 0.00 | n/a | (280) |
| TBA BARCLAYS BANK COC | 835 | 0.00 | n/a | 835 |
| TBA BNP PARIBAS COC | 1,070 | 0.00 | n/a | 1,070 |
| TBA CITIGROUP COC | 172 | 0.00 | n/a | 172 |
| TBA CREDIT SUISSE COC | 1,940 | 0.00 | n/a | 1,940 |
| TBA GOLDMAN SACHS COC | 50 | 0.00 | n/a | 50 |
| TBA JP MORGAN BOC | (10,613) | 0.00 | n/a | (10,613) |
| TBA MERRILL LYNCH COC | 3,589 | 0.00 | n/a | 3,589 |
| TBA MORGAN STANLEY BOC | (967) | 0.00 | n/a | (967) |
| TBA WELLS FARGO COC | 5,163 | 0.00 | n/a | 5,163 |
| TREASURY BILL | 50,311 | 0.00 | 7/14/2022 | 50,290 |
| TREASURY BILL | 365,965 | 0.00 | 8/4/2022 | 365,531 |
| TREASURY BILL | 140,680 | 0.00 | 8/11/2022 | 140,453 |
| TREASURY BILL | 131,500 | 0.00 | 8/25/2022 | 131,194 |
| TREASURY BILL | 165,440 | 0.00 | 9/15/2022 | 164,873 |
| TREASURY BILL | 148,700 | 0.00 | 9/8/2022 | 148,237 |
| TREASURY BILL | 1,900 | 0.00 | 8/18/2022 | 1,896 |
| TREASURY BILL | 96,700 | 0.00 | 9/6/2022 | 96,414 |
| TREASURY BILL | 4,600 | 0.00 | 9/13/2022 | 4,585 |
| TREASURY BILL | 1,851 | 0.00 | 7/19/2022 | 1,850 |
| TREASURY BILL | 102,200 | 0.00 | 7/26/2022 | 102,125 |
| TREASURY BILL | 2,200 | 0.00 | 8/9/2022 | 2,197 |
| TREASURY BILL | 2,400 | 0.00 | 8/23/2022 | 2,395 |
| TREASURY BILL | 219,800 | 0.00 | 7/21/2022 | 219,668 |