06/07/2021 | Press release | Distributed by Public on 06/07/2021 12:43
UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM N-MFP MONTHLY SCHEDULE OF PORTFOLIO HOLDINGS OF MONEY MARKET FUNDS |
Submission Type | N-MFP2 N-MFP2/A |
CIK |
0000097098
|
CCC |
xxxxxxxx
|
Test or Live | LIVE TEST |
Contact Information - Name | |
Contact Information - Phone Number | |
Notification Email Address | |
Notification Email Address | |
Is this an electronic copy of an official filing submitted in paper format? | Yes No |
Item 1. Report for [YYYY-MM-DD]: |
2021-05-31
|
Item 2. CIK Number of Registrant. |
0000097098
|
Item 3. LEI of Registrant (if available) (See General Instructions E.) |
5493007YVNX55LTRQ706
|
Item 4. EDGAR Series Identifier. |
S000001476
|
Item 5. Total number of share classes in the series. |
10
|
Item 6. Do you anticipate that this will be the fund's final filing on Form N-MFP? If Yes, answer Items 6.a - 6.c. | Yes No |
Item 7. Has the fund acquired or merged with another fund since the last filing? | Yes No |
If Yes, answer Item 7.a. | |
Item 8. Provide the name, e-mail address, and telephone number of the person authorized to receive information and respond to questions about this Form N-MFP | |
Name | |
Phone Number | |
Email Address |
Item A.1 Securities Act File Number. |
002-47015
|
Item A.2 Investment Adviser |
BlackRock Advisors, LLC
|
a. SEC file number of investment adviser |
801-47710
|
Item A.4 Independent Public Accountant. |
Deloitte & Touche LLP
|
a. City and state of independent public accountant. | |
City of independent public accountant |
Boston
|
State/Province/Country of independent public accountant |
MASSACHUSETTS
|
Item A.5 Administrator. If a fund has one or more administrators, disclose the name of each administrator. |
BlackRock Advisors, LLC
|
Item A.5 Administrator. If a fund has one or more administrators, disclose the name of each administrator. |
JPMorgan Chase Bank, N.A.
|
Item A.6 Transfer Agent. |
BNY Mellon Investment Servicing (US) Inc.
|
a. CIK Number |
0000849542
|
b. SEC file number of transfer agent. |
084-01761
|
Item A.7 Master-Feeder Funds. Is this a Feeder Fund? If Yes, answer Items A.7.a - 7.c. | Yes No |
a. Identify the Master Fund by CIK or, if the fund does not have a CIK, by name. | |
Item A.8 Master-Feeder Funds. Is this a Master Fund? If Yes, answer Items A.8.a - 8.c. | Yes No |
Item A.9 Is this series primarily used to fund insurance company separate accounts? | Yes No |
Item A.10 Category. Indicate the category that identifies the money market fund from among the following: |
Treasury Government/Agency Exempt Government Prime Single State Other Tax Exempt |
a. Is this fund an exempt retail fund as defined in 270.2a-7(a)(25)? | Yes No |
Item A.11 Dollar-weighted average portfolio maturity ('WAM' as defined in rule 2a-7(d)(1)(ii)). |
25
|
Item A.12 Dollar-weighted average life maturity ('WAL' as defined in rule 2a-7(d)(1)(iii)). Calculate WAL without reference to the exceptions in rule 2a-7(d) regarding interest rate readjustments. |
75
|
Item A.13 Liquidity. Provide the following, as of the close of business on each Friday during the month reported (if the reporting date falls on a holiday or other day on which the fund does not calculate the daily or weekly liquidity, provide the value as of the close of business on the date in that week last calculated): | |
a. Total Value of Daily Liquid Assets to the nearest cent: | |
i. Friday, day 1: |
$131,998,808,039.71
|
ii. Friday, day 2: |
$118,807,849,084.61
|
iii. Friday, day 3: |
$128,813,861,464.19
|
iv. Friday, day 4: |
$123,922,265,803.75
|
v. Friday, day 5 (if applicable): | |
b. Total Value of Weekly Liquid Assets (including Daily Liquid Assets) to the nearest cent: | |
i. Friday, week 1: |
$138,308,895,720.27
|
ii. Friday, week 2: |
$124,317,936,770.76
|
iii. Friday, week 3: |
$133,423,948,093.39
|
iv. Friday, week 4: |
$128,482,352,377.40
|
v. Friday, week 5 (if applicable): | |
c. Percentage of Total Assets invested in Daily Liquid Assets: | |
i. Friday, day 1: |
94.75%
|
ii. Friday, day 2: |
95.57%
|
iii. Friday, day 3: |
96.54%
|
iv. Friday, day 4: |
96.45%
|
v. Friday, day 5 (if applicable): | |
d. Percentage of Total Assets invested in Weekly Liquid Assets (including Daily Liquid Assets): | |
i. Friday, week 1: |
99.28%
|
ii. Friday, week 2: |
100.00%
|
iii. Friday, week 3: |
100.00%
|
iv. Friday, week 4: |
100.00%
|
v. Friday, week 5 (if applicable): | |
Item A.14 Provide the following, to the nearest cent: | |
a. Cash. (See General Instructions E.) |
$5,240,362,107.33
|
b. Total Value of portfolio securities. (See General Instructions E.) |
$123,233,454,691.95
|
i. If any portfolio securities are valued using amortized cost, the total value of the portfolio securities valued at amortized cost. |
$123,218,651,878.49
|
c. Total Value of other assets (excluding amounts provided in A.14.a-c.) |
$21,295,470.39
|
Item A.15 Total value of liabilities, to the nearest cent. |
$19,704,315.34
|
Item A.16 Net assets of the series, to the nearest cent. |
$128,460,605,140.87
|
Item A.17 Number of shares outstanding, to the nearest hundredth. |
$128,460,463,790.61
|
Item A.18 If the fund seeks to maintain a stable price per share, state the price the fund seeks to maintain. |
$1.0000
|
Item A.19 7-day gross yield. Based on the 7 days ended on the last day of the prior month, calculate the fund's yield by determining the net change, exclusive of capital changes and income other than investment income, in the value of a hypothetical pre-existing account having a balance of one share at the beginning of the period and dividing the difference by the value of the account at the beginning of the base period to obtain the base period return, and then multiplying the base period return by (365/7) with the resulting yield figure carried to the nearest hundredth of one percent. The 7-day gross yield should not reflect a deduction of shareholders fees and fund operating expenses. For master funds and feeder funds, report the 7-day gross yield at the master-fund level. |
0.05%
|
Item A.20 Net asset value per share. Provide the net asset value per share, calculated using available market quotations (or an appropriate substitute that reflects current market conditions) rounded to the fourth decimal place in the case of a fund with a $1.0000 share price (or an equivalent level of accuracy for funds with a different share price), as of the close of business on each Friday during the month reported (if the reporting date falls on a holiday or other day on which the fund does not calculate the net asset value per share, provide the value as of the close of business on the date in that week last calculated): | |
i. Friday, week 1: |
$1.0001
|
ii. Friday, week 2: |
$1.0001
|
iii. Friday, week 3: |
$1.0001
|
iv. Friday, week 4: |
$1.0001
|
v. Friday, week 5 (if applicable): |
Item B.1 EDGAR Class identifier. |
C000003933
|
Item B.2 Minimum initial investment. |
$5,000.00
|
Item B.3 Net assets of the Class, to the nearest cent. |
$0.00
|
Item B.4 Number of shares outstanding, to the nearest hundredth. |
$0.00
|
Item B.5 Net asset value per share. Provide the net asset value per share, calculated using available market quotations (or an appropriate substitute that reflects current market conditions), rounded to the fourth decimal place in the case of a fund with a $1.0000 share price (or an equivalent level of accuracy for funds with a different share price), as of the close of business on each Friday during the month reported (if the reporting date falls on a holiday or other day on which the fund does not calculate the net asset value per share, provide the value as of the close of business on the date in that week last calculated): | |
i. Friday, week 1: |
$0.0000
|
ii. Friday, week 2: |
$0.0000
|
iii. Friday, week 3: |
$0.0000
|
iv. Friday, week 4: |
$0.0000
|
v. Friday, week 5 (if applicable): | |
Item B.6 Net shareholder flow. Provide the aggregate weekly gross subscriptions (including dividend reinvestments) and gross redemptions, rounded to the nearest cent, as of the close of business on each Friday during the month reported (if the reporting date falls on a holiday or other day on which the fund does not calculate the gross subscriptions or gross redemptions, provide the value as of the close of business on the date in that week last calculated): | |
a. Friday, week 1: | |
i. Weekly gross subscriptions (including dividend reinvestments): |
$0.00
|
ii. Weekly gross redemptions: |
$0.00
|
b. Friday, week 2: | |
i. Weekly gross subscriptions (including dividend reinvestments): |
$0.00
|
ii. Weekly gross redemptions: |
$0.00
|
c. Friday, week 3: | |
i. Weekly gross subscriptions (including dividend reinvestments): |
$0.00
|
ii. Weekly gross redemptions: |
$0.00
|
d. Friday, week 4: | |
i. Weekly gross subscriptions (including dividend reinvestments): |
$0.00
|
ii. Weekly gross redemptions: |
$0.00
|
e. Friday, week 5: | |
i. Weekly gross subscriptions (including dividend reinvestments): | |
ii. Weekly gross redemptions: | |
f. Total for the month reported: | |
i. Monthly gross subscriptions (including dividend reinvestments): |
$0.00
|
ii. Monthly gross redemptions: |
$0.00
|
Item B.7 7-day net yield, as calculated under Item 26(a)(1) of Form N-1A (§ 274.11A of this chapter). |
0.00%
|
Item B.8 During the reporting period, did any Person pay for, or waive all or part of the fund's operating expenses or management fees? If Yes, answer Item B.8.a. | Yes No |
Item B.1 EDGAR Class identifier. |
C000003936
|
Item B.2 Minimum initial investment. |
$50,000.00
|
Item B.3 Net assets of the Class, to the nearest cent. |
$24,479,471,715.92
|
Item B.4 Number of shares outstanding, to the nearest hundredth. |
$24,479,444,780.19
|
Item B.5 Net asset value per share. Provide the net asset value per share, calculated using available market quotations (or an appropriate substitute that reflects current market conditions), rounded to the fourth decimal place in the case of a fund with a $1.0000 share price (or an equivalent level of accuracy for funds with a different share price), as of the close of business on each Friday during the month reported (if the reporting date falls on a holiday or other day on which the fund does not calculate the net asset value per share, provide the value as of the close of business on the date in that week last calculated): | |
i. Friday, week 1: |
$1.0001
|
ii. Friday, week 2: |
$1.0001
|
iii. Friday, week 3: |
$1.0001
|
iv. Friday, week 4: |
$1.0001
|
v. Friday, week 5 (if applicable): | |
Item B.6 Net shareholder flow. Provide the aggregate weekly gross subscriptions (including dividend reinvestments) and gross redemptions, rounded to the nearest cent, as of the close of business on each Friday during the month reported (if the reporting date falls on a holiday or other day on which the fund does not calculate the gross subscriptions or gross redemptions, provide the value as of the close of business on the date in that week last calculated): | |
a. Friday, week 1: | |
i. Weekly gross subscriptions (including dividend reinvestments): |
$326,006,550.86
|
ii. Weekly gross redemptions: |
$115,683,350.48
|
b. Friday, week 2: | |
i. Weekly gross subscriptions (including dividend reinvestments): |
$447,566,312.75
|
ii. Weekly gross redemptions: |
$712,778,463.42
|
c. Friday, week 3: | |
i. Weekly gross subscriptions (including dividend reinvestments): |
$1,688,708,085.44
|
ii. Weekly gross redemptions: |
$475,874,861.98
|
d. Friday, week 4: | |
i. Weekly gross subscriptions (including dividend reinvestments): |
$520,381,235.55
|
ii. Weekly gross redemptions: |
$319,439,670.58
|
e. Friday, week 5: | |
i. Weekly gross subscriptions (including dividend reinvestments): | |
ii. Weekly gross redemptions: | |
f. Total for the month reported: | |
i. Monthly gross subscriptions (including dividend reinvestments): |
$2,982,662,184.60
|
ii. Monthly gross redemptions: |
$1,623,776,346.46
|
Item B.7 7-day net yield, as calculated under Item 26(a)(1) of Form N-1A (§ 274.11A of this chapter). |
0.01%
|
Item B.8 During the reporting period, did any Person pay for, or waive all or part of the fund's operating expenses or management fees? If Yes, answer Item B.8.a. | Yes No |
a. Provide the name of the Person and describe the nature and amount of the expense payment or fee waiver, or both (reported in dollars). |
BlackRock Advisors, LLC, Management Fees, 3094573.51; BlackRock Investments, LLC, Service/Distribution Fees, 1004954.12;
|
Item B.1 EDGAR Class identifier. |
C000003940
|
Item B.2 Minimum initial investment. |
$5,000.00
|
Item B.3 Net assets of the Class, to the nearest cent. |
$564,493,623.41
|
Item B.4 Number of shares outstanding, to the nearest hundredth. |
$564,493,002.28
|
Item B.5 Net asset value per share. Provide the net asset value per share, calculated using available market quotations (or an appropriate substitute that reflects current market conditions), rounded to the fourth decimal place in the case of a fund with a $1.0000 share price (or an equivalent level of accuracy for funds with a different share price), as of the close of business on each Friday during the month reported (if the reporting date falls on a holiday or other day on which the fund does not calculate the net asset value per share, provide the value as of the close of business on the date in that week last calculated): | |
i. Friday, week 1: |
$1.0001
|
ii. Friday, week 2: |
$1.0001
|
iii. Friday, week 3: |
$1.0001
|
iv. Friday, week 4: |
$1.0001
|
v. Friday, week 5 (if applicable): | |
Item B.6 Net shareholder flow. Provide the aggregate weekly gross subscriptions (including dividend reinvestments) and gross redemptions, rounded to the nearest cent, as of the close of business on each Friday during the month reported (if the reporting date falls on a holiday or other day on which the fund does not calculate the gross subscriptions or gross redemptions, provide the value as of the close of business on the date in that week last calculated): | |
a. Friday, week 1: | |
i. Weekly gross subscriptions (including dividend reinvestments): |
$15,327,268.46
|
ii. Weekly gross redemptions: |
$776,442.46
|
b. Friday, week 2: | |
i. Weekly gross subscriptions (including dividend reinvestments): |
$1,283,757.49
|
ii. Weekly gross redemptions: |
$1,603,082.43
|
c. Friday, week 3: | |
i. Weekly gross subscriptions (including dividend reinvestments): |
$516,797.04
|
ii. Weekly gross redemptions: |
$931,287.44
|
d. Friday, week 4: | |
i. Weekly gross subscriptions (including dividend reinvestments): |
$3,556,487.14
|
ii. Weekly gross redemptions: |
$3,058,822.45
|
e. Friday, week 5: | |
i. Weekly gross subscriptions (including dividend reinvestments): | |
ii. Weekly gross redemptions: | |
f. Total for the month reported: | |
i. Monthly gross subscriptions (including dividend reinvestments): |
$20,684,310.13
|
ii. Monthly gross redemptions: |
$6,369,634.78
|
Item B.7 7-day net yield, as calculated under Item 26(a)(1) of Form N-1A (§ 274.11A of this chapter). |
0.01%
|
Item B.8 During the reporting period, did any Person pay for, or waive all or part of the fund's operating expenses or management fees? If Yes, answer Item B.8.a. | Yes No |
a. Provide the name of the Person and describe the nature and amount of the expense payment or fee waiver, or both (reported in dollars). |
BlackRock Advisors, LLC, Management Fees, 73628.02; BlackRock Investments, LLC, Service/Distribution Fees, 47805.24;
|
Item B.1 EDGAR Class identifier. |
C000003941
|
Item B.2 Minimum initial investment. |
$5,000.00
|
Item B.3 Net assets of the Class, to the nearest cent. |
$903,540,557.31
|
Item B.4 Number of shares outstanding, to the nearest hundredth. |
$903,539,563.11
|
Item B.5 Net asset value per share. Provide the net asset value per share, calculated using available market quotations (or an appropriate substitute that reflects current market conditions), rounded to the fourth decimal place in the case of a fund with a $1.0000 share price (or an equivalent level of accuracy for funds with a different share price), as of the close of business on each Friday during the month reported (if the reporting date falls on a holiday or other day on which the fund does not calculate the net asset value per share, provide the value as of the close of business on the date in that week last calculated): | |
i. Friday, week 1: |
$1.0001
|
ii. Friday, week 2: |
$1.0001
|
iii. Friday, week 3: |
$1.0001
|
iv. Friday, week 4: |
$1.0001
|
v. Friday, week 5 (if applicable): | |
Item B.6 Net shareholder flow. Provide the aggregate weekly gross subscriptions (including dividend reinvestments) and gross redemptions, rounded to the nearest cent, as of the close of business on each Friday during the month reported (if the reporting date falls on a holiday or other day on which the fund does not calculate the gross subscriptions or gross redemptions, provide the value as of the close of business on the date in that week last calculated): | |
a. Friday, week 1: | |
i. Weekly gross subscriptions (including dividend reinvestments): |
$49,023,720.31
|
ii. Weekly gross redemptions: |
$74,051,623.66
|
b. Friday, week 2: | |
i. Weekly gross subscriptions (including dividend reinvestments): |
$53,044,466.59
|
ii. Weekly gross redemptions: |
$58,172,308.94
|
c. Friday, week 3: | |
i. Weekly gross subscriptions (including dividend reinvestments): |
$57,459,779.42
|
ii. Weekly gross redemptions: |
$47,340,921.90
|
d. Friday, week 4: | |
i. Weekly gross subscriptions (including dividend reinvestments): |
$72,647,240.28
|
ii. Weekly gross redemptions: |
$55,857,214.67
|
e. Friday, week 5: | |
i. Weekly gross subscriptions (including dividend reinvestments): | |
ii. Weekly gross redemptions: | |
f. Total for the month reported: | |
i. Monthly gross subscriptions (including dividend reinvestments): |
$232,175,206.60
|
ii. Monthly gross redemptions: |
$235,422,069.17
|
Item B.7 7-day net yield, as calculated under Item 26(a)(1) of Form N-1A (§ 274.11A of this chapter). |
0.01%
|
Item B.8 During the reporting period, did any Person pay for, or waive all or part of the fund's operating expenses or management fees? If Yes, answer Item B.8.a. | Yes No |
a. Provide the name of the Person and describe the nature and amount of the expense payment or fee waiver, or both (reported in dollars). |
BlackRock Advisors, LLC, Management Fees, 116643.37; BlackRock Investments, LLC, Service/Distribution Fees, 378724.22;
|
Item B.1 EDGAR Class identifier. |
C000003937
|
Item B.2 Minimum initial investment. |
$5,000.00
|
Item B.3 Net assets of the Class, to the nearest cent. |
$718,852,001.20
|
Item B.4 Number of shares outstanding, to the nearest hundredth. |
$718,851,210.22
|
Item B.5 Net asset value per share. Provide the net asset value per share, calculated using available market quotations (or an appropriate substitute that reflects current market conditions), rounded to the fourth decimal place in the case of a fund with a $1.0000 share price (or an equivalent level of accuracy for funds with a different share price), as of the close of business on each Friday during the month reported (if the reporting date falls on a holiday or other day on which the fund does not calculate the net asset value per share, provide the value as of the close of business on the date in that week last calculated): | |
i. Friday, week 1: |
$1.0001
|
ii. Friday, week 2: |
$1.0001
|
iii. Friday, week 3: |
$1.0001
|
iv. Friday, week 4: |
$1.0001
|
v. Friday, week 5 (if applicable): | |
Item B.6 Net shareholder flow. Provide the aggregate weekly gross subscriptions (including dividend reinvestments) and gross redemptions, rounded to the nearest cent, as of the close of business on each Friday during the month reported (if the reporting date falls on a holiday or other day on which the fund does not calculate the gross subscriptions or gross redemptions, provide the value as of the close of business on the date in that week last calculated): | |
a. Friday, week 1: | |
i. Weekly gross subscriptions (including dividend reinvestments): |
$2,461,339.26
|
ii. Weekly gross redemptions: |
$702,267.72
|
b. Friday, week 2: | |
i. Weekly gross subscriptions (including dividend reinvestments): |
$11,038,202.54
|
ii. Weekly gross redemptions: |
$25,391,393.55
|
c. Friday, week 3: | |
i. Weekly gross subscriptions (including dividend reinvestments): |
$1,086,846.82
|
ii. Weekly gross redemptions: |
$1,720,652.70
|
d. Friday, week 4: | |
i. Weekly gross subscriptions (including dividend reinvestments): |
$205,488,712.45
|
ii. Weekly gross redemptions: |
$505.76
|
e. Friday, week 5: | |
i. Weekly gross subscriptions (including dividend reinvestments): | |
ii. Weekly gross redemptions: | |
f. Total for the month reported: | |
i. Monthly gross subscriptions (including dividend reinvestments): |
$220,075,101.07
|
ii. Monthly gross redemptions: |
$27,814,819.73
|
Item B.7 7-day net yield, as calculated under Item 26(a)(1) of Form N-1A (§ 274.11A of this chapter). |
0.01%
|
Item B.8 During the reporting period, did any Person pay for, or waive all or part of the fund's operating expenses or management fees? If Yes, answer Item B.8.a. | Yes No |
a. Provide the name of the Person and describe the nature and amount of the expense payment or fee waiver, or both (reported in dollars). |
BlackRock Advisors, LLC, Management Fees, 71076.36; BlackRock Investments, LLC, Service/Distribution Fees, 184762.30;
|
Item B.1 EDGAR Class identifier. |
C000003939
|
Item B.2 Minimum initial investment. |
$5,000.00
|
Item B.3 Net assets of the Class, to the nearest cent. |
$962,463,686.73
|
Item B.4 Number of shares outstanding, to the nearest hundredth. |
$962,462,627.69
|
Item B.5 Net asset value per share. Provide the net asset value per share, calculated using available market quotations (or an appropriate substitute that reflects current market conditions), rounded to the fourth decimal place in the case of a fund with a $1.0000 share price (or an equivalent level of accuracy for funds with a different share price), as of the close of business on each Friday during the month reported (if the reporting date falls on a holiday or other day on which the fund does not calculate the net asset value per share, provide the value as of the close of business on the date in that week last calculated): | |
i. Friday, week 1: |
$1.0001
|
ii. Friday, week 2: |
$1.0001
|
iii. Friday, week 3: |
$1.0001
|
iv. Friday, week 4: |
$1.0001
|
v. Friday, week 5 (if applicable): | |
Item B.6 Net shareholder flow. Provide the aggregate weekly gross subscriptions (including dividend reinvestments) and gross redemptions, rounded to the nearest cent, as of the close of business on each Friday during the month reported (if the reporting date falls on a holiday or other day on which the fund does not calculate the gross subscriptions or gross redemptions, provide the value as of the close of business on the date in that week last calculated): | |
a. Friday, week 1: | |
i. Weekly gross subscriptions (including dividend reinvestments): |
$175,835,726.97
|
ii. Weekly gross redemptions: |
$107,878,445.17
|
b. Friday, week 2: | |
i. Weekly gross subscriptions (including dividend reinvestments): |
$71,326,996.17
|
ii. Weekly gross redemptions: |
$77,668,418.42
|
c. Friday, week 3: | |
i. Weekly gross subscriptions (including dividend reinvestments): |
$142,957,080.18
|
ii. Weekly gross redemptions: |
$147,089,183.96
|
d. Friday, week 4: | |
i. Weekly gross subscriptions (including dividend reinvestments): |
$88,619,476.13
|
ii. Weekly gross redemptions: |
$72,509,505.84
|
e. Friday, week 5: | |
i. Weekly gross subscriptions (including dividend reinvestments): | |
ii. Weekly gross redemptions: | |
f. Total for the month reported: | |
i. Monthly gross subscriptions (including dividend reinvestments): |
$478,739,279.45
|
ii. Monthly gross redemptions: |
$405,145,553.39
|
Item B.7 7-day net yield, as calculated under Item 26(a)(1) of Form N-1A (§ 274.11A of this chapter). |
0.01%
|
Item B.8 During the reporting period, did any Person pay for, or waive all or part of the fund's operating expenses or management fees? If Yes, answer Item B.8.a. | Yes No |
a. Provide the name of the Person and describe the nature and amount of the expense payment or fee waiver, or both (reported in dollars). |
BlackRock Advisors, LLC, Management Fees, 123439.37; BlackRock Investments, LLC, Service/Distribution Fees, 200375.46;
|
Item B.1 EDGAR Class identifier. |
C000003938
|
Item B.2 Minimum initial investment. |
$3,000,000.00
|
Item B.3 Net assets of the Class, to the nearest cent. |
$100,769,536,123.39
|
Item B.4 Number of shares outstanding, to the nearest hundredth. |
$100,769,425,242.70
|
Item B.5 Net asset value per share. Provide the net asset value per share, calculated using available market quotations (or an appropriate substitute that reflects current market conditions), rounded to the fourth decimal place in the case of a fund with a $1.0000 share price (or an equivalent level of accuracy for funds with a different share price), as of the close of business on each Friday during the month reported (if the reporting date falls on a holiday or other day on which the fund does not calculate the net asset value per share, provide the value as of the close of business on the date in that week last calculated): | |
i. Friday, week 1: |
$1.0001
|
ii. Friday, week 2: |
$1.0001
|
iii. Friday, week 3: |
$1.0001
|
iv. Friday, week 4: |
$1.0001
|
v. Friday, week 5 (if applicable): | |
Item B.6 Net shareholder flow. Provide the aggregate weekly gross subscriptions (including dividend reinvestments) and gross redemptions, rounded to the nearest cent, as of the close of business on each Friday during the month reported (if the reporting date falls on a holiday or other day on which the fund does not calculate the gross subscriptions or gross redemptions, provide the value as of the close of business on the date in that week last calculated): | |
a. Friday, week 1: | |
i. Weekly gross subscriptions (including dividend reinvestments): |
$11,982,236,661.59
|
ii. Weekly gross redemptions: |
$17,991,030,974.83
|
b. Friday, week 2: | |
i. Weekly gross subscriptions (including dividend reinvestments): |
$20,163,764,893.82
|
ii. Weekly gross redemptions: |
$25,101,316,579.92
|
c. Friday, week 3: | |
i. Weekly gross subscriptions (including dividend reinvestments): |
$25,111,039,450.51
|
ii. Weekly gross redemptions: |
$17,576,409,845.00
|
d. Friday, week 4: | |
i. Weekly gross subscriptions (including dividend reinvestments): |
$19,412,591,922.29
|
ii. Weekly gross redemptions: |
$24,436,216,458.70
|
e. Friday, week 5: | |
i. Weekly gross subscriptions (including dividend reinvestments): | |
ii. Weekly gross redemptions: | |
f. Total for the month reported: | |
i. Monthly gross subscriptions (including dividend reinvestments): |
$76,669,632,928.21
|
ii. Monthly gross redemptions: |
$85,104,973,858.45
|
Item B.7 7-day net yield, as calculated under Item 26(a)(1) of Form N-1A (§ 274.11A of this chapter). |
0.01%
|
Item B.8 During the reporting period, did any Person pay for, or waive all or part of the fund's operating expenses or management fees? If Yes, answer Item B.8.a. | Yes No |
a. Provide the name of the Person and describe the nature and amount of the expense payment or fee waiver, or both (reported in dollars). |
BlackRock Advisors, LLC, Management Fees, 13486333.45;
|
Item B.1 EDGAR Class identifier. |
C000003934
|
Item B.2 Minimum initial investment. |
$1.00
|
Item B.3 Net assets of the Class, to the nearest cent. |
$0.00
|
Item B.4 Number of shares outstanding, to the nearest hundredth. |
$0.00
|
Item B.5 Net asset value per share. Provide the net asset value per share, calculated using available market quotations (or an appropriate substitute that reflects current market conditions), rounded to the fourth decimal place in the case of a fund with a $1.0000 share price (or an equivalent level of accuracy for funds with a different share price), as of the close of business on each Friday during the month reported (if the reporting date falls on a holiday or other day on which the fund does not calculate the net asset value per share, provide the value as of the close of business on the date in that week last calculated): | |
i. Friday, week 1: |
$0.0000
|
ii. Friday, week 2: |
$0.0000
|
iii. Friday, week 3: |
$0.0000
|
iv. Friday, week 4: |
$0.0000
|
v. Friday, week 5 (if applicable): | |
Item B.6 Net shareholder flow. Provide the aggregate weekly gross subscriptions (including dividend reinvestments) and gross redemptions, rounded to the nearest cent, as of the close of business on each Friday during the month reported (if the reporting date falls on a holiday or other day on which the fund does not calculate the gross subscriptions or gross redemptions, provide the value as of the close of business on the date in that week last calculated): | |
a. Friday, week 1: | |
i. Weekly gross subscriptions (including dividend reinvestments): |
$0.00
|
ii. Weekly gross redemptions: |
$0.00
|
b. Friday, week 2: | |
i. Weekly gross subscriptions (including dividend reinvestments): |
$0.00
|
ii. Weekly gross redemptions: |
$0.00
|
c. Friday, week 3: | |
i. Weekly gross subscriptions (including dividend reinvestments): |
$0.00
|
ii. Weekly gross redemptions: |
$0.00
|
d. Friday, week 4: | |
i. Weekly gross subscriptions (including dividend reinvestments): |
$0.00
|
ii. Weekly gross redemptions: |
$0.00
|
e. Friday, week 5: | |
i. Weekly gross subscriptions (including dividend reinvestments): | |
ii. Weekly gross redemptions: | |
f. Total for the month reported: | |
i. Monthly gross subscriptions (including dividend reinvestments): |
$0.00
|
ii. Monthly gross redemptions: |
$0.00
|
Item B.7 7-day net yield, as calculated under Item 26(a)(1) of Form N-1A (§ 274.11A of this chapter). |
0.00%
|
Item B.8 During the reporting period, did any Person pay for, or waive all or part of the fund's operating expenses or management fees? If Yes, answer Item B.8.a. | Yes No |
Item B.1 EDGAR Class identifier. |
C000060557
|
Item B.2 Minimum initial investment. |
$1.00
|
Item B.3 Net assets of the Class, to the nearest cent. |
$49,405,400.22
|
Item B.4 Number of shares outstanding, to the nearest hundredth. |
$49,405,345.86
|
Item B.5 Net asset value per share. Provide the net asset value per share, calculated using available market quotations (or an appropriate substitute that reflects current market conditions), rounded to the fourth decimal place in the case of a fund with a $1.0000 share price (or an equivalent level of accuracy for funds with a different share price), as of the close of business on each Friday during the month reported (if the reporting date falls on a holiday or other day on which the fund does not calculate the net asset value per share, provide the value as of the close of business on the date in that week last calculated): | |
i. Friday, week 1: |
$1.0001
|
ii. Friday, week 2: |
$1.0001
|
iii. Friday, week 3: |
$1.0001
|
iv. Friday, week 4: |
$1.0001
|
v. Friday, week 5 (if applicable): | |
Item B.6 Net shareholder flow. Provide the aggregate weekly gross subscriptions (including dividend reinvestments) and gross redemptions, rounded to the nearest cent, as of the close of business on each Friday during the month reported (if the reporting date falls on a holiday or other day on which the fund does not calculate the gross subscriptions or gross redemptions, provide the value as of the close of business on the date in that week last calculated): | |
a. Friday, week 1: | |
i. Weekly gross subscriptions (including dividend reinvestments): |
$4,844,630.31
|
ii. Weekly gross redemptions: |
$66,435.05
|
b. Friday, week 2: | |
i. Weekly gross subscriptions (including dividend reinvestments): |
$664,532.75
|
ii. Weekly gross redemptions: |
$42,450,748.81
|
c. Friday, week 3: | |
i. Weekly gross subscriptions (including dividend reinvestments): |
$12,188.02
|
ii. Weekly gross redemptions: |
$8,980,020.17
|
d. Friday, week 4: | |
i. Weekly gross subscriptions (including dividend reinvestments): |
$3,728,137.80
|
ii. Weekly gross redemptions: |
$39,227.97
|
e. Friday, week 5: | |
i. Weekly gross subscriptions (including dividend reinvestments): | |
ii. Weekly gross redemptions: | |
f. Total for the month reported: | |
i. Monthly gross subscriptions (including dividend reinvestments): |
$9,249,488.88
|
ii. Monthly gross redemptions: |
$51,536,432.00
|
Item B.7 7-day net yield, as calculated under Item 26(a)(1) of Form N-1A (§ 274.11A of this chapter). |
0.01%
|
Item B.8 During the reporting period, did any Person pay for, or waive all or part of the fund's operating expenses or management fees? If Yes, answer Item B.8.a. | Yes No |
a. Provide the name of the Person and describe the nature and amount of the expense payment or fee waiver, or both (reported in dollars). |
BlackRock Advisors, LLC, Management Fees, 8196.78; BlackRock Investments, LLC, Service/Distribution Fees, 45192.37;
|
Item B.1 EDGAR Class identifier. |
C000003935
|
Item B.2 Minimum initial investment. |
$3,000,000.00
|
Item B.3 Net assets of the Class, to the nearest cent. |
$12,842,032.69
|
Item B.4 Number of shares outstanding, to the nearest hundredth. |
$12,842,018.56
|
Item B.5 Net asset value per share. Provide the net asset value per share, calculated using available market quotations (or an appropriate substitute that reflects current market conditions), rounded to the fourth decimal place in the case of a fund with a $1.0000 share price (or an equivalent level of accuracy for funds with a different share price), as of the close of business on each Friday during the month reported (if the reporting date falls on a holiday or other day on which the fund does not calculate the net asset value per share, provide the value as of the close of business on the date in that week last calculated): | |
i. Friday, week 1: |
$1.0002
|
ii. Friday, week 2: |
$1.0001
|
iii. Friday, week 3: |
$1.0001
|
iv. Friday, week 4: |
$1.0001
|
v. Friday, week 5 (if applicable): | |
Item B.6 Net shareholder flow. Provide the aggregate weekly gross subscriptions (including dividend reinvestments) and gross redemptions, rounded to the nearest cent, as of the close of business on each Friday during the month reported (if the reporting date falls on a holiday or other day on which the fund does not calculate the gross subscriptions or gross redemptions, provide the value as of the close of business on the date in that week last calculated): | |
a. Friday, week 1: | |
i. Weekly gross subscriptions (including dividend reinvestments): |
$97,730.71
|
ii. Weekly gross redemptions: |
$4,373,122.79
|
b. Friday, week 2: | |
i. Weekly gross subscriptions (including dividend reinvestments): |
$23,351.81
|
ii. Weekly gross redemptions: |
$0.22
|
c. Friday, week 3: | |
i. Weekly gross subscriptions (including dividend reinvestments): |
$168,667.06
|
ii. Weekly gross redemptions: |
$319,593.14
|
d. Friday, week 4: | |
i. Weekly gross subscriptions (including dividend reinvestments): |
$19,671.60
|
ii. Weekly gross redemptions: |
$311,315.42
|
e. Friday, week 5: | |
i. Weekly gross subscriptions (including dividend reinvestments): | |
ii. Weekly gross redemptions: | |
f. Total for the month reported: | |
i. Monthly gross subscriptions (including dividend reinvestments): |
$309,421.18
|
ii. Monthly gross redemptions: |
$5,004,031.57
|
Item B.7 7-day net yield, as calculated under Item 26(a)(1) of Form N-1A (§ 274.11A of this chapter). |
0.01%
|
Item B.8 During the reporting period, did any Person pay for, or waive all or part of the fund's operating expenses or management fees? If Yes, answer Item B.8.a. | Yes No |
a. Provide the name of the Person and describe the nature and amount of the expense payment or fee waiver, or both (reported in dollars). |
BlackRock Advisors, LLC, Management Fees, 1891.56;
|
Item C.1 The name of the issuer. |
U.S. Treasury Bills
|
Item C.2 The title of the issue (including coupon, if applicable). |
U.S. Treasury Bills 0.025
|
Item C.3 The CUSIP. |
912796C31
|
Item C.4 The LEI (if available). (See General Instruction E.) |
254900HROIFWPRGM1V77
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; |
US912796C318
|
b. The CIK; or | |
c. Other unique identifier. | |
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
Govt
|
Name of NRSRO |
Moody's - BR
|
Rating |
Govt
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2022-01-27
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2022-01-27
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2022-01-27
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.02%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$1,511,919,588.88
|
b. Excluding the value of any sponsor support: |
$1,511,919,588.88
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
1.18%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
U.S. Treasury Notes
|
Item C.2 The title of the issue (including coupon, if applicable). |
U.S. Treasury Notes 0.064
|
Item C.3 The CUSIP. |
91282CBK6
|
Item C.4 The LEI (if available). (See General Instruction E.) |
254900HROIFWPRGM1V77
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; |
US91282CBK62
|
b. The CIK; or | |
c. Other unique identifier. | |
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
Govt
|
Name of NRSRO |
Moody's - BR
|
Rating |
Govt
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
AA+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2023-01-31
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2023-01-31
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.04%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$3,854,490,206.64
|
b. Excluding the value of any sponsor support: |
$3,854,490,206.64
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
3.00%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
U.S. Treasury Bills
|
Item C.2 The title of the issue (including coupon, if applicable). |
U.S. Treasury Bills 0.005
|
Item C.3 The CUSIP. |
912796H93
|
Item C.4 The LEI (if available). (See General Instruction E.) |
254900HROIFWPRGM1V77
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; |
US912796H937
|
b. The CIK; or | |
c. Other unique identifier. | |
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
Govt
|
Name of NRSRO |
Moody's - BR
|
Rating |
Govt
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-07-13
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-07-13
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-07-13
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.00%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$3,793,522,883.63
|
b. Excluding the value of any sponsor support: |
$3,793,522,883.63
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
2.95%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
U.S. Treasury Bills
|
Item C.2 The title of the issue (including coupon, if applicable). |
U.S. Treasury Bills 0.012
|
Item C.3 The CUSIP. |
912796C64
|
Item C.4 The LEI (if available). (See General Instruction E.) |
254900HROIFWPRGM1V77
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; |
US912796C649
|
b. The CIK; or | |
c. Other unique identifier. | |
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
Govt
|
Name of NRSRO |
Moody's - BR
|
Rating |
Govt
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-08-05
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-08-05
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-08-05
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$4,145,702,698.07
|
b. Excluding the value of any sponsor support: |
$4,145,702,698.07
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
3.23%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
U.S. Treasury Bills
|
Item C.2 The title of the issue (including coupon, if applicable). |
U.S. Treasury Bills 0.010
|
Item C.3 The CUSIP. |
912796D48
|
Item C.4 The LEI (if available). (See General Instruction E.) |
254900HROIFWPRGM1V77
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; |
US912796D480
|
b. The CIK; or | |
c. Other unique identifier. | |
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
Govt
|
Name of NRSRO |
Moody's - BR
|
Rating |
Govt
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-08-19
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-08-19
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-08-19
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$760,158,312.06
|
b. Excluding the value of any sponsor support: |
$760,158,312.06
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.59%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
JP Morgan Securities LLC
|
Item C.2 The title of the issue (including coupon, if applicable). |
JP Morgan Securities LLC 0.010
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
ZBUT11V806EZRVTWT807
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWHVHNW1
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2021-12-30
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$567,300.00
|
g. Value of collateral, to the nearest cent. |
$567,164.42
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2023-11-15
|
e. Coupon or yield. |
2.750000
|
f. The principal amount, to the nearest cent. |
$26,890,000.00
|
g. Value of collateral, to the nearest cent. |
$28,590,509.28
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-01-31
|
e. Coupon or yield. |
2.500000
|
f. The principal amount, to the nearest cent. |
$58,906,000.00
|
g. Value of collateral, to the nearest cent. |
$62,927,872.57
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-02-15
|
e. Coupon or yield. |
2.750000
|
f. The principal amount, to the nearest cent. |
$210,657,200.00
|
g. Value of collateral, to the nearest cent. |
$226,538,776.66
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-05-15
|
e. Coupon or yield. |
2.125000
|
f. The principal amount, to the nearest cent. |
$396,221,600.00
|
g. Value of collateral, to the nearest cent. |
$404,284,978.73
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-10-31
|
e. Coupon or yield. |
2.250000
|
f. The principal amount, to the nearest cent. |
$56,460,000.00
|
g. Value of collateral, to the nearest cent. |
$60,063,726.43
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2023-10-15
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$163,058,400.00
|
g. Value of collateral, to the nearest cent. |
$162,829,605.90
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2021-06-08
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$239,935,200.00
|
g. Value of collateral, to the nearest cent. |
$239,934,720.13
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2021-10-31
|
e. Coupon or yield. |
2.000000
|
f. The principal amount, to the nearest cent. |
$521,600.00
|
g. Value of collateral, to the nearest cent. |
$526,629.13
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2021-06-03
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$15,572,200.00
|
g. Value of collateral, to the nearest cent. |
$15,572,184.43
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2025-08-15
|
e. Coupon or yield. |
6.875000
|
f. The principal amount, to the nearest cent. |
$215,666,000.00
|
g. Value of collateral, to the nearest cent. |
$275,984,663.17
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-04-30
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$654,880,000.00
|
g. Value of collateral, to the nearest cent. |
$655,295,265.10
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2025-09-30
|
e. Coupon or yield. |
3.000000
|
f. The principal amount, to the nearest cent. |
$2,141,600.00
|
g. Value of collateral, to the nearest cent. |
$2,368,346.40
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2021-06-10
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$45,094,800.00
|
g. Value of collateral, to the nearest cent. |
$45,094,709.81
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2025-10-31
|
e. Coupon or yield. |
0.250000
|
f. The principal amount, to the nearest cent. |
$116,533,400.00
|
g. Value of collateral, to the nearest cent. |
$114,420,907.86
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1+
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-04
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-04
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
a. The identity of the Demand Feature issuer(s). |
JP MORGAN SECURITIES LLC
|
b. The amount (i.e., percentage) of fractional support provided by each Demand Feature issuer. |
100.00%
|
c. The period remaining until the principal amount of the security may be recovered through the Demand Feature. |
4
|
d. Is the demand feature conditional? | Yes No |
e. Rating(s) considered. Provide each rating assigned to the demand feature(s) or demand feature provider(s) by any NRSRO that the board of directors (or its delegate) considered in evaluating the quality, maturity or liquidity of the security (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
AA
|
Name of NRSRO |
Moody's - BR
|
Rating |
Aa3
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A+
|
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$2,250,000,000.00
|
b. Excluding the value of any sponsor support: |
$2,250,000,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
1.75%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Natixis SA
|
Item C.2 The title of the issue (including coupon, if applicable). |
Natixis SA 0.010
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
KX1WK48MPD4Y2NCUIZ63
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWHVHQB4
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2046-02-15
|
e. Coupon or yield. |
1.000000
|
f. The principal amount, to the nearest cent. |
$200.00
|
g. Value of collateral, to the nearest cent. |
$282.33
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-08-15
|
e. Coupon or yield. |
2.375000
|
f. The principal amount, to the nearest cent. |
$300.00
|
g. Value of collateral, to the nearest cent. |
$321.30
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2048-02-15
|
e. Coupon or yield. |
3.000000
|
f. The principal amount, to the nearest cent. |
$1,300.00
|
g. Value of collateral, to the nearest cent. |
$1,497.10
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-11-30
|
e. Coupon or yield. |
1.500000
|
f. The principal amount, to the nearest cent. |
$1,400.00
|
g. Value of collateral, to the nearest cent. |
$1,461.74
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-05-19
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$4,000.00
|
g. Value of collateral, to the nearest cent. |
$3,998.40
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2021-09-09
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$24,462,700.00
|
g. Value of collateral, to the nearest cent. |
$24,461,354.55
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2023-06-30
|
e. Coupon or yield. |
2.625000
|
f. The principal amount, to the nearest cent. |
$84,252,100.00
|
g. Value of collateral, to the nearest cent. |
$89,491,067.81
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2048-08-15
|
e. Coupon or yield. |
3.000000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$115.32
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2021-06-15
|
e. Coupon or yield. |
2.625000
|
f. The principal amount, to the nearest cent. |
$400.00
|
g. Value of collateral, to the nearest cent. |
$405.24
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2023-06-15
|
e. Coupon or yield. |
0.250000
|
f. The principal amount, to the nearest cent. |
$400.00
|
g. Value of collateral, to the nearest cent. |
$401.19
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2040-02-15
|
e. Coupon or yield. |
2.125000
|
f. The principal amount, to the nearest cent. |
$500.00
|
g. Value of collateral, to the nearest cent. |
$902.08
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-09-30
|
e. Coupon or yield. |
2.125000
|
f. The principal amount, to the nearest cent. |
$990,900.00
|
g. Value of collateral, to the nearest cent. |
$1,051,094.68
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2023-11-30
|
e. Coupon or yield. |
2.125000
|
f. The principal amount, to the nearest cent. |
$4,337,500.00
|
g. Value of collateral, to the nearest cent. |
$4,589,725.03
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2021-12-31
|
e. Coupon or yield. |
1.625000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$101.59
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2021-06-24
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$200.00
|
g. Value of collateral, to the nearest cent. |
$200.00
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-03-15
|
e. Coupon or yield. |
0.250000
|
f. The principal amount, to the nearest cent. |
$700.00
|
g. Value of collateral, to the nearest cent. |
$700.19
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2023-09-30
|
e. Coupon or yield. |
2.875000
|
f. The principal amount, to the nearest cent. |
$900.00
|
g. Value of collateral, to the nearest cent. |
$960.46
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2047-08-15
|
e. Coupon or yield. |
2.750000
|
f. The principal amount, to the nearest cent. |
$1,400.00
|
g. Value of collateral, to the nearest cent. |
$1,538.67
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2042-08-15
|
e. Coupon or yield. |
2.750000
|
f. The principal amount, to the nearest cent. |
$15,596,600.00
|
g. Value of collateral, to the nearest cent. |
$17,138,271.18
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-02-29
|
e. Coupon or yield. |
2.125000
|
f. The principal amount, to the nearest cent. |
$21,765,200.00
|
g. Value of collateral, to the nearest cent. |
$22,989,911.84
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2050-05-15
|
e. Coupon or yield. |
1.250000
|
f. The principal amount, to the nearest cent. |
$40,356,200.00
|
g. Value of collateral, to the nearest cent. |
$31,254,528.04
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2042-02-15
|
e. Coupon or yield. |
3.125000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$116.60
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-08-31
|
e. Coupon or yield. |
1.625000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$102.30
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2021-09-21
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$300.00
|
g. Value of collateral, to the nearest cent. |
$299.99
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-08-15
|
e. Coupon or yield. |
1.500000
|
f. The principal amount, to the nearest cent. |
$300.00
|
g. Value of collateral, to the nearest cent. |
$306.39
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-02-29
|
e. Coupon or yield. |
2.375000
|
f. The principal amount, to the nearest cent. |
$400.00
|
g. Value of collateral, to the nearest cent. |
$425.50
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-09-30
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$400.00
|
g. Value of collateral, to the nearest cent. |
$400.16
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2026-01-31
|
e. Coupon or yield. |
0.375000
|
f. The principal amount, to the nearest cent. |
$600.00
|
g. Value of collateral, to the nearest cent. |
$590.51
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2027-10-31
|
e. Coupon or yield. |
0.500000
|
f. The principal amount, to the nearest cent. |
$2,000.00
|
g. Value of collateral, to the nearest cent. |
$1,918.66
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2021-10-07
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$5,400.00
|
g. Value of collateral, to the nearest cent. |
$5,399.51
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2047-05-15
|
e. Coupon or yield. |
3.000000
|
f. The principal amount, to the nearest cent. |
$1,998,400.00
|
g. Value of collateral, to the nearest cent. |
$2,283,918.97
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2025-02-15
|
e. Coupon or yield. |
7.625000
|
f. The principal amount, to the nearest cent. |
$5,000,000.00
|
g. Value of collateral, to the nearest cent. |
$6,425,339.03
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2025-05-15
|
e. Coupon or yield. |
2.125000
|
f. The principal amount, to the nearest cent. |
$16,000,000.00
|
g. Value of collateral, to the nearest cent. |
$16,998,890.87
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-04-15
|
e. Coupon or yield. |
0.375000
|
f. The principal amount, to the nearest cent. |
$161,115,700.00
|
g. Value of collateral, to the nearest cent. |
$161,589,472.60
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-07-31
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$300.00
|
g. Value of collateral, to the nearest cent. |
$300.23
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2026-12-31
|
e. Coupon or yield. |
1.750000
|
f. The principal amount, to the nearest cent. |
$400.00
|
g. Value of collateral, to the nearest cent. |
$420.33
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2042-11-15
|
e. Coupon or yield. |
2.750000
|
f. The principal amount, to the nearest cent. |
$2,700.00
|
g. Value of collateral, to the nearest cent. |
$2,945.91
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2021-11-04
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$11,300.00
|
g. Value of collateral, to the nearest cent. |
$11,298.81
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2045-02-15
|
e. Coupon or yield. |
0.750000
|
f. The principal amount, to the nearest cent. |
$3,511,600.00
|
g. Value of collateral, to the nearest cent. |
$4,709,393.11
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2030-01-15
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$113.02
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2039-02-15
|
e. Coupon or yield. |
3.500000
|
f. The principal amount, to the nearest cent. |
$200.00
|
g. Value of collateral, to the nearest cent. |
$244.96
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2023-12-31
|
e. Coupon or yield. |
2.625000
|
f. The principal amount, to the nearest cent. |
$300.00
|
g. Value of collateral, to the nearest cent. |
$321.74
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2047-02-15
|
e. Coupon or yield. |
0.875000
|
f. The principal amount, to the nearest cent. |
$800.00
|
g. Value of collateral, to the nearest cent. |
$1,087.36
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2021-06-10
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$1,000.00
|
g. Value of collateral, to the nearest cent. |
$1,000.00
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2050-08-15
|
e. Coupon or yield. |
1.375000
|
f. The principal amount, to the nearest cent. |
$1,400.00
|
g. Value of collateral, to the nearest cent. |
$1,125.21
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2023-01-31
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$23,754,000.00
|
g. Value of collateral, to the nearest cent. |
$23,761,696.43
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2028-03-31
|
e. Coupon or yield. |
1.250000
|
f. The principal amount, to the nearest cent. |
$75,000,600.00
|
g. Value of collateral, to the nearest cent. |
$75,172,416.95
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2043-02-15
|
e. Coupon or yield. |
3.125000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$116.57
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-04-30
|
e. Coupon or yield. |
2.250000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$105.85
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-02-15
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$99.72
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2021-06-08
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$500.00
|
g. Value of collateral, to the nearest cent. |
$500.00
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-02-15
|
e. Coupon or yield. |
2.750000
|
f. The principal amount, to the nearest cent. |
$700.00
|
g. Value of collateral, to the nearest cent. |
$752.78
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2044-05-15
|
e. Coupon or yield. |
3.375000
|
f. The principal amount, to the nearest cent. |
$900.00
|
g. Value of collateral, to the nearest cent. |
$1,085.39
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2046-05-15
|
e. Coupon or yield. |
2.500000
|
f. The principal amount, to the nearest cent. |
$8,696,800.00
|
g. Value of collateral, to the nearest cent. |
$9,054,692.04
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2021-07-31
|
e. Coupon or yield. |
2.250000
|
f. The principal amount, to the nearest cent. |
$18,774,000.00
|
g. Value of collateral, to the nearest cent. |
$18,984,308.22
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-04
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-04
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
a. The identity of the Demand Feature issuer(s). |
NATIXIS SA
|
b. The amount (i.e., percentage) of fractional support provided by each Demand Feature issuer. |
100.00%
|
c. The period remaining until the principal amount of the security may be recovered through the Demand Feature. |
4
|
d. Is the demand feature conditional? | Yes No |
e. Rating(s) considered. Provide each rating assigned to the demand feature(s) or demand feature provider(s) by any NRSRO that the board of directors (or its delegate) considered in evaluating the quality, maturity or liquidity of the security (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
A+
|
Name of NRSRO |
Moody's - BR
|
Rating |
A1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A+
|
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$500,000,000.00
|
b. Excluding the value of any sponsor support: |
$500,000,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.39%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
U.S. Treasury Bills
|
Item C.2 The title of the issue (including coupon, if applicable). |
U.S. Treasury Bills 0.012
|
Item C.3 The CUSIP. |
912796D63
|
Item C.4 The LEI (if available). (See General Instruction E.) |
254900HROIFWPRGM1V77
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; |
US912796D639
|
b. The CIK; or | |
c. Other unique identifier. | |
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
Govt
|
Name of NRSRO |
Moody's - BR
|
Rating |
Govt
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-09-02
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-09-02
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-09-02
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$491,899,243.96
|
b. Excluding the value of any sponsor support: |
$491,899,243.96
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.38%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
U.S. Treasury Bills
|
Item C.2 The title of the issue (including coupon, if applicable). |
U.S. Treasury Bills 0.012
|
Item C.3 The CUSIP. |
912796J34
|
Item C.4 The LEI (if available). (See General Instruction E.) |
254900HROIFWPRGM1V77
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; |
US912796J347
|
b. The CIK; or | |
c. Other unique identifier. | |
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
Govt
|
Name of NRSRO |
Moody's - BR
|
Rating |
Govt
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-07-27
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-07-27
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-07-27
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$2,051,439,039.68
|
b. Excluding the value of any sponsor support: |
$2,051,439,039.68
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
1.60%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
U.S. Treasury Bills
|
Item C.2 The title of the issue (including coupon, if applicable). |
U.S. Treasury Bills 0.014
|
Item C.3 The CUSIP. |
912796J91
|
Item C.4 The LEI (if available). (See General Instruction E.) |
254900HROIFWPRGM1V77
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; |
US912796J917
|
b. The CIK; or | |
c. Other unique identifier. | |
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
Govt
|
Name of NRSRO |
Moody's - BR
|
Rating |
Govt
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-08-10
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-08-10
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-08-10
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$526,976,677.69
|
b. Excluding the value of any sponsor support: |
$526,976,677.69
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.41%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
U.S. Treasury Bills
|
Item C.2 The title of the issue (including coupon, if applicable). |
U.S. Treasury Bills 0.020
|
Item C.3 The CUSIP. |
912796H51
|
Item C.4 The LEI (if available). (See General Instruction E.) |
254900HROIFWPRGM1V77
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; |
US912796H515
|
b. The CIK; or | |
c. Other unique identifier. | |
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
Govt
|
Name of NRSRO |
Moody's - BR
|
Rating |
Govt
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-11-12
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-11-12
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-11-12
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.02%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$830,966,855.13
|
b. Excluding the value of any sponsor support: |
$830,966,855.13
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.65%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Credit Agricole Corporate and Investment Bank SA
|
Item C.2 The title of the issue (including coupon, if applicable). |
Credit Agricole Corporate and Investment Bank SA 0.005
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
254900BN8XS34XZDJ223
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSZ9U4
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2041-02-15
|
e. Coupon or yield. |
1.875000
|
f. The principal amount, to the nearest cent. |
$107,072,800.00
|
g. Value of collateral, to the nearest cent. |
$102,000,027.92
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$100,000,000.00
|
b. Excluding the value of any sponsor support: |
$100,000,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.08%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Citigroup Global Markets, Inc.
|
Item C.2 The title of the issue (including coupon, if applicable). |
Citigroup Global Markets, Inc. 0.005
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
MBNUM2BPBDO7JBLYG310
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSZA57
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2028-08-15
|
e. Coupon or yield. |
2.875000
|
f. The principal amount, to the nearest cent. |
$17,200.00
|
g. Value of collateral, to the nearest cent. |
$19,209.07
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2028-11-15
|
e. Coupon or yield. |
5.250000
|
f. The principal amount, to the nearest cent. |
$38,964,900.00
|
g. Value of collateral, to the nearest cent. |
$49,947,337.07
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2028-07-15
|
e. Coupon or yield. |
0.750000
|
f. The principal amount, to the nearest cent. |
$400.00
|
g. Value of collateral, to the nearest cent. |
$487.67
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2028-08-15
|
e. Coupon or yield. |
5.500000
|
f. The principal amount, to the nearest cent. |
$750,300.00
|
g. Value of collateral, to the nearest cent. |
$980,332.41
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2028-05-15
|
e. Coupon or yield. |
2.875000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$110.92
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-10-15
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$46,800.00
|
g. Value of collateral, to the nearest cent. |
$52,536.76
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$50,000,000.00
|
b. Excluding the value of any sponsor support: |
$50,000,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.04%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
BNP Paribas SA
|
Item C.2 The title of the issue (including coupon, if applicable). |
BNP Paribas SA 0.005
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
R0MUWSFPU8MPRO8K5P83
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSZ9H3
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2030-08-15
|
e. Coupon or yield. |
0.625000
|
f. The principal amount, to the nearest cent. |
$200.00
|
g. Value of collateral, to the nearest cent. |
$184.26
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2042-08-15
|
e. Coupon or yield. |
2.750000
|
f. The principal amount, to the nearest cent. |
$8,181,000.00
|
g. Value of collateral, to the nearest cent. |
$8,989,664.19
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2025-05-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$48,859.11
|
g. Value of collateral, to the nearest cent. |
$47,680.63
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2028-11-15
|
e. Coupon or yield. |
3.125000
|
f. The principal amount, to the nearest cent. |
$81,333,700.00
|
g. Value of collateral, to the nearest cent. |
$91,752,054.10
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2049-11-15
|
e. Coupon or yield. |
2.375000
|
f. The principal amount, to the nearest cent. |
$1,189,900.00
|
g. Value of collateral, to the nearest cent. |
$1,210,417.44
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$100,000,000.00
|
b. Excluding the value of any sponsor support: |
$100,000,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.08%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
HSBC Securities USA, Inc.
|
Item C.2 The title of the issue (including coupon, if applicable). |
HSBC Securities USA, Inc. 0.005
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
CYYGQCGNHMHPSMRL3R97
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSZ9C4
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2041-08-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$14,907,719.67
|
g. Value of collateral, to the nearest cent. |
$9,221,080.56
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2021-08-31
|
e. Coupon or yield. |
1.125000
|
f. The principal amount, to the nearest cent. |
$24,886,600.00
|
g. Value of collateral, to the nearest cent. |
$25,021,380.55
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-11-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$37,833,273.34
|
g. Value of collateral, to the nearest cent. |
$37,757,606.79
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-09-30
|
e. Coupon or yield. |
1.875000
|
f. The principal amount, to the nearest cent. |
$757,200.00
|
g. Value of collateral, to the nearest cent. |
$777,277.40
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2027-02-15
|
e. Coupon or yield. |
2.250000
|
f. The principal amount, to the nearest cent. |
$727,300.00
|
g. Value of collateral, to the nearest cent. |
$783,699.04
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2026-02-15
|
e. Coupon or yield. |
1.625000
|
f. The principal amount, to the nearest cent. |
$14,102,900.00
|
g. Value of collateral, to the nearest cent. |
$14,746,397.41
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2021-09-15
|
e. Coupon or yield. |
2.750000
|
f. The principal amount, to the nearest cent. |
$21,698,200.00
|
g. Value of collateral, to the nearest cent. |
$21,988,476.16
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-02-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$28,052,316.16
|
g. Value of collateral, to the nearest cent. |
$28,046,312.96
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2025-04-30
|
e. Coupon or yield. |
2.875000
|
f. The principal amount, to the nearest cent. |
$352,300.00
|
g. Value of collateral, to the nearest cent. |
$385,232.13
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2027-02-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$11,454,425.60
|
g. Value of collateral, to the nearest cent. |
$10,756,301.27
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2029-02-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$15,430,676.48
|
g. Value of collateral, to the nearest cent. |
$13,716,235.74
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
NR
|
Name of NRSRO |
Moody's - BR
|
Rating |
NR
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$160,000,000.00
|
b. Excluding the value of any sponsor support: |
$160,000,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.12%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Prudential Insurance Co. of America
|
Item C.2 The title of the issue (including coupon, if applicable). |
Prudential Insurance Co. of America 0.030
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
X574KRZ6V5A7UBU45C31
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSXQF3
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
d. Maturity date. |
2041-08-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$15,000,000.00
|
g. Value of collateral, to the nearest cent. |
$9,543,481.19
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1+
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.03%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$9,356,250.00
|
b. Excluding the value of any sponsor support: |
$9,356,250.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.01%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Fixed Income Clearing Corporation - JPM
|
Item C.2 The title of the issue (including coupon, if applicable). |
Fixed Income Clearing Corporation - JPM 0.005
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
549300H47WTHXPU08X20
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSY6A4
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
d. Maturity date. |
2050-05-15
|
e. Coupon or yield. |
1.250000
|
f. The principal amount, to the nearest cent. |
$140,000,000.00
|
g. Value of collateral, to the nearest cent. |
$108,500,059.10
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
NR
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$106,372,549.02
|
b. Excluding the value of any sponsor support: |
$106,372,549.02
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.08%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Fixed Income Clearing Corporation - JPM
|
Item C.2 The title of the issue (including coupon, if applicable). |
Fixed Income Clearing Corporation - JPM 0.005
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
549300H47WTHXPU08X20
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSY697
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
d. Maturity date. |
2049-08-15
|
e. Coupon or yield. |
2.250000
|
f. The principal amount, to the nearest cent. |
$80,000,000.00
|
g. Value of collateral, to the nearest cent. |
$79,700,043.41
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
NR
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$78,137,254.90
|
b. Excluding the value of any sponsor support: |
$78,137,254.90
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.06%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Fixed Income Clearing Corporation - JPM
|
Item C.2 The title of the issue (including coupon, if applicable). |
Fixed Income Clearing Corporation - JPM 0.005
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
549300H47WTHXPU08X20
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSY671
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
d. Maturity date. |
2048-11-15
|
e. Coupon or yield. |
3.375000
|
f. The principal amount, to the nearest cent. |
$682,900,000.00
|
g. Value of collateral, to the nearest cent. |
$838,260,206.57
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
NR
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$821,823,284.31
|
b. Excluding the value of any sponsor support: |
$821,823,284.31
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.64%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Fixed Income Clearing Corporation - JPM
|
Item C.2 The title of the issue (including coupon, if applicable). |
Fixed Income Clearing Corporation - JPM 0.005
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
549300H47WTHXPU08X20
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSY6C0
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
d. Maturity date. |
2049-05-15
|
e. Coupon or yield. |
2.875000
|
f. The principal amount, to the nearest cent. |
$250,000,000.00
|
g. Value of collateral, to the nearest cent. |
$280,937,653.02
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
NR
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$275,428,921.57
|
b. Excluding the value of any sponsor support: |
$275,428,921.57
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.21%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Fixed Income Clearing Corporation - JPM
|
Item C.2 The title of the issue (including coupon, if applicable). |
Fixed Income Clearing Corporation - JPM 0.005
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
549300H47WTHXPU08X20
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSY663
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
d. Maturity date. |
2048-08-15
|
e. Coupon or yield. |
3.000000
|
f. The principal amount, to the nearest cent. |
$208,009,000.00
|
g. Value of collateral, to the nearest cent. |
$239,990,514.46
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
NR
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$235,284,689.95
|
b. Excluding the value of any sponsor support: |
$235,284,689.95
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.18%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Fixed Income Clearing Corporation - JPM
|
Item C.2 The title of the issue (including coupon, if applicable). |
Fixed Income Clearing Corporation - JPM 0.005
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
549300H47WTHXPU08X20
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSY6D8
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
d. Maturity date. |
2049-11-15
|
e. Coupon or yield. |
2.375000
|
f. The principal amount, to the nearest cent. |
$233,240,000.00
|
g. Value of collateral, to the nearest cent. |
$237,613,379.42
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
NR
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$232,954,166.67
|
b. Excluding the value of any sponsor support: |
$232,954,166.67
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.18%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Prudential Insurance Co. of America
|
Item C.2 The title of the issue (including coupon, if applicable). |
Prudential Insurance Co. of America 0.030
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
X574KRZ6V5A7UBU45C31
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSXPM9
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
d. Maturity date. |
2041-11-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$40,000,000.00
|
g. Value of collateral, to the nearest cent. |
$24,582,080.33
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1+
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.03%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$24,100,000.00
|
b. Excluding the value of any sponsor support: |
$24,100,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.02%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Prudential Insurance Co. of America
|
Item C.2 The title of the issue (including coupon, if applicable). |
Prudential Insurance Co. of America 0.030
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
X574KRZ6V5A7UBU45C31
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSXPL1
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
d. Maturity date. |
2039-11-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$100,000,000.00
|
g. Value of collateral, to the nearest cent. |
$65,280,213.33
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1+
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.03%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$64,000,000.00
|
b. Excluding the value of any sponsor support: |
$64,000,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.05%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Prudential Insurance Co. of America
|
Item C.2 The title of the issue (including coupon, if applicable). |
Prudential Insurance Co. of America 0.030
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
X574KRZ6V5A7UBU45C31
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSXPJ6
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
d. Maturity date. |
2038-05-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$110,000,000.00
|
g. Value of collateral, to the nearest cent. |
$75,315,046.13
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1+
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.03%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$73,837,500.00
|
b. Excluding the value of any sponsor support: |
$73,837,500.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.06%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Prudential Insurance Co. of America
|
Item C.2 The title of the issue (including coupon, if applicable). |
Prudential Insurance Co. of America 0.030
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
X574KRZ6V5A7UBU45C31
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSXPH0
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
d. Maturity date. |
2043-08-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$123,000,000.00
|
g. Value of collateral, to the nearest cent. |
$73,865,431.39
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1+
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.03%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$72,416,250.00
|
b. Excluding the value of any sponsor support: |
$72,416,250.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.06%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Prudential Insurance Co. of America
|
Item C.2 The title of the issue (including coupon, if applicable). |
Prudential Insurance Co. of America 0.030
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
X574KRZ6V5A7UBU45C31
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSXQN6
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
d. Maturity date. |
2030-05-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$100,000,000.00
|
g. Value of collateral, to the nearest cent. |
$86,063,281.25
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1+
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.03%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$84,375,000.00
|
b. Excluding the value of any sponsor support: |
$84,375,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.07%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Prudential Insurance Co. of America
|
Item C.2 The title of the issue (including coupon, if applicable). |
Prudential Insurance Co. of America 0.030
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
X574KRZ6V5A7UBU45C31
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSXQ63
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
d. Maturity date. |
2047-08-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$150,000,000.00
|
g. Value of collateral, to the nearest cent. |
$80,898,264.38
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1+
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.03%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$79,312,500.00
|
b. Excluding the value of any sponsor support: |
$79,312,500.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.06%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Prudential Insurance Co. of America
|
Item C.2 The title of the issue (including coupon, if applicable). |
Prudential Insurance Co. of America 0.030
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
X574KRZ6V5A7UBU45C31
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSXPU1
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
d. Maturity date. |
2040-02-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$70,000,000.00
|
g. Value of collateral, to the nearest cent. |
$45,339,148.17
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1+
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.03%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$44,450,000.00
|
b. Excluding the value of any sponsor support: |
$44,450,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.03%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Prudential Insurance Co. of America
|
Item C.2 The title of the issue (including coupon, if applicable). |
Prudential Insurance Co. of America 0.030
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
X574KRZ6V5A7UBU45C31
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSXPT4
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
d. Maturity date. |
2031-05-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$19,000,000.00
|
g. Value of collateral, to the nearest cent. |
$15,891,651.93
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1+
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.03%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$15,580,000.00
|
b. Excluding the value of any sponsor support: |
$15,580,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.01%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Prudential Insurance Co. of America
|
Item C.2 The title of the issue (including coupon, if applicable). |
Prudential Insurance Co. of America 0.030
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
X574KRZ6V5A7UBU45C31
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSXPN7
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
d. Maturity date. |
2047-02-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$50,000,000.00
|
g. Value of collateral, to the nearest cent. |
$26,775,087.50
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1+
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.03%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$26,250,000.00
|
b. Excluding the value of any sponsor support: |
$26,250,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.02%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Prudential Insurance Co. of America
|
Item C.2 The title of the issue (including coupon, if applicable). |
Prudential Insurance Co. of America 0.030
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
X574KRZ6V5A7UBU45C31
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSXPW7
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
d. Maturity date. |
2039-11-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$28,000,000.00
|
g. Value of collateral, to the nearest cent. |
$18,813,821.48
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1+
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.03%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$18,445,000.00
|
b. Excluding the value of any sponsor support: |
$18,445,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.01%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Prudential Insurance Co. of America
|
Item C.2 The title of the issue (including coupon, if applicable). |
Prudential Insurance Co. of America 0.030
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
X574KRZ6V5A7UBU45C31
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSXQH9
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
d. Maturity date. |
2039-05-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$12,000,000.00
|
g. Value of collateral, to the nearest cent. |
$7,925,425.90
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1+
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.03%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$7,770,000.00
|
b. Excluding the value of any sponsor support: |
$7,770,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.01%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Prudential Insurance Co. of America
|
Item C.2 The title of the issue (including coupon, if applicable). |
Prudential Insurance Co. of America 0.030
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
X574KRZ6V5A7UBU45C31
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSXQ71
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
d. Maturity date. |
2040-05-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$22,000,000.00
|
g. Value of collateral, to the nearest cent. |
$14,165,406.29
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1+
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.03%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$13,887,500.00
|
b. Excluding the value of any sponsor support: |
$13,887,500.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.01%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Prudential Insurance Co. of America
|
Item C.2 The title of the issue (including coupon, if applicable). |
Prudential Insurance Co. of America 0.030
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
X574KRZ6V5A7UBU45C31
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSXPK3
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
d. Maturity date. |
2038-02-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$24,000,000.00
|
g. Value of collateral, to the nearest cent. |
$16,554,774.10
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1+
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.03%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$16,230,000.00
|
b. Excluding the value of any sponsor support: |
$16,230,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.01%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Prudential Insurance Co. of America
|
Item C.2 The title of the issue (including coupon, if applicable). |
Prudential Insurance Co. of America 0.030
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
X574KRZ6V5A7UBU45C31
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSXPQ0
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
d. Maturity date. |
2037-02-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$80,000,000.00
|
g. Value of collateral, to the nearest cent. |
$56,712,185.33
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1+
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.03%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$55,600,000.00
|
b. Excluding the value of any sponsor support: |
$55,600,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.04%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Prudential Insurance Co. of America
|
Item C.2 The title of the issue (including coupon, if applicable). |
Prudential Insurance Co. of America 0.030
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
X574KRZ6V5A7UBU45C31
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSXQB2
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
d. Maturity date. |
2034-05-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$20,000,000.00
|
g. Value of collateral, to the nearest cent. |
$15,376,450.25
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1+
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.03%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$15,075,000.00
|
b. Excluding the value of any sponsor support: |
$15,075,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.01%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Prudential Insurance Co. of America
|
Item C.2 The title of the issue (including coupon, if applicable). |
Prudential Insurance Co. of America 0.030
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
X574KRZ6V5A7UBU45C31
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSXPG2
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
d. Maturity date. |
2035-11-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$72,000,000.00
|
g. Value of collateral, to the nearest cent. |
$52,876,972.80
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1+
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.03%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$51,840,000.00
|
b. Excluding the value of any sponsor support: |
$51,840,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.04%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Prudential Insurance Co. of America
|
Item C.2 The title of the issue (including coupon, if applicable). |
Prudential Insurance Co. of America 0.030
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
X574KRZ6V5A7UBU45C31
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSXQ22
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
d. Maturity date. |
2044-05-15
|
e. Coupon or yield. |
3.375000
|
f. The principal amount, to the nearest cent. |
$18,000,000.00
|
g. Value of collateral, to the nearest cent. |
$21,733,811.03
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1+
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.03%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$21,307,500.00
|
b. Excluding the value of any sponsor support: |
$21,307,500.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.02%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Prudential Insurance Co. of America
|
Item C.2 The title of the issue (including coupon, if applicable). |
Prudential Insurance Co. of America 0.030
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
X574KRZ6V5A7UBU45C31
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSXQP1
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
d. Maturity date. |
2033-08-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$35,000,000.00
|
g. Value of collateral, to the nearest cent. |
$27,489,089.83
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1+
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.03%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$26,950,000.00
|
b. Excluding the value of any sponsor support: |
$26,950,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.02%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Prudential Insurance Co. of America
|
Item C.2 The title of the issue (including coupon, if applicable). |
Prudential Insurance Co. of America 0.030
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
X574KRZ6V5A7UBU45C31
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSXPP2
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
d. Maturity date. |
2046-11-15
|
e. Coupon or yield. |
2.875000
|
f. The principal amount, to the nearest cent. |
$45,000,000.00
|
g. Value of collateral, to the nearest cent. |
$50,318,264.44
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1+
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.03%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$49,331,250.00
|
b. Excluding the value of any sponsor support: |
$49,331,250.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.04%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Prudential Insurance Co. of America
|
Item C.2 The title of the issue (including coupon, if applicable). |
Prudential Insurance Co. of America 0.030
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
X574KRZ6V5A7UBU45C31
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSXQE6
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
d. Maturity date. |
2049-11-15
|
e. Coupon or yield. |
2.375000
|
f. The principal amount, to the nearest cent. |
$50,000,000.00
|
g. Value of collateral, to the nearest cent. |
$50,936,666.46
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1+
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.03%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$49,937,500.00
|
b. Excluding the value of any sponsor support: |
$49,937,500.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.04%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
ING Financial Markets LLC
|
Item C.2 The title of the issue (including coupon, if applicable). |
ING Financial Markets LLC 0.010
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
KBVRJ5K57JZ3E2AVWX40
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMQCT19
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
0 3/8 NOTE U 26
|
d. Maturity date. |
2026-01-31
|
e. Coupon or yield. |
0.375000
|
f. The principal amount, to the nearest cent. |
$500.00
|
g. Value of collateral, to the nearest cent. |
$492.09
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 7/8 NOTE E 28
|
d. Maturity date. |
2028-08-15
|
e. Coupon or yield. |
2.875000
|
f. The principal amount, to the nearest cent. |
$45,404,400.00
|
g. Value of collateral, to the nearest cent. |
$50,707,943.97
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
1 7/8 NOTE N 26
|
d. Maturity date. |
2026-07-31
|
e. Coupon or yield. |
1.875000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$105.77
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 3/4 NOTE B 24
|
d. Maturity date. |
2024-02-15
|
e. Coupon or yield. |
2.750000
|
f. The principal amount, to the nearest cent. |
$112,000.00
|
g. Value of collateral, to the nearest cent. |
$120,445.77
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
1 1/2 NOTE BG 21
|
d. Maturity date. |
2021-09-30
|
e. Coupon or yield. |
1.500000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$100.74
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
1 1/8 NOTE B 31
|
d. Maturity date. |
2031-02-15
|
e. Coupon or yield. |
1.125000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$96.02
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
4 3/8 BOND 40
|
d. Maturity date. |
2040-05-15
|
e. Coupon or yield. |
4.375000
|
f. The principal amount, to the nearest cent. |
$91,874.00
|
g. Value of collateral, to the nearest cent. |
$124,956.59
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 1/2 TRIN A 28
|
d. Maturity date. |
2028-01-15
|
e. Coupon or yield. |
0.500000
|
f. The principal amount, to the nearest cent. |
$1,211,400.00
|
g. Value of collateral, to the nearest cent. |
$1,469,610.99
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 5/8 TRIB 43
|
d. Maturity date. |
2043-02-15
|
e. Coupon or yield. |
0.625000
|
f. The principal amount, to the nearest cent. |
$3,268,100.00
|
g. Value of collateral, to the nearest cent. |
$4,369,225.45
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 7/8 NOTE L 25
|
d. Maturity date. |
2025-05-31
|
e. Coupon or yield. |
2.875000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$110.59
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 3/8 TRIN D 25
|
d. Maturity date. |
2025-07-15
|
e. Coupon or yield. |
0.375000
|
f. The principal amount, to the nearest cent. |
$492,800.00
|
g. Value of collateral, to the nearest cent. |
$611,559.66
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 1/8 TRIB 51
|
d. Maturity date. |
2051-02-15
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$18,433,000.00
|
g. Value of collateral, to the nearest cent. |
$19,588,081.72
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 1/8 NOTE BH 22
|
d. Maturity date. |
2022-10-31
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$24,999,200.00
|
g. Value of collateral, to the nearest cent. |
$25,007,327.46
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
NR
|
Name of NRSRO |
Moody's - BR
|
Rating |
NR
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-03
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-03
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-03
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$100,000,000.00
|
b. Excluding the value of any sponsor support: |
$100,000,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.08%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Citigroup Global Markets, Inc.
|
Item C.2 The title of the issue (including coupon, if applicable). |
Citigroup Global Markets, Inc. 0.010
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
MBNUM2BPBDO7JBLYG310
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMJP6D7
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2041-05-15
|
e. Coupon or yield. |
4.375000
|
f. The principal amount, to the nearest cent. |
$6,048,900.00
|
g. Value of collateral, to the nearest cent. |
$8,263,520.34
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2041-02-15
|
e. Coupon or yield. |
2.125000
|
f. The principal amount, to the nearest cent. |
$11,387,900.00
|
g. Value of collateral, to the nearest cent. |
$20,450,184.97
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2040-11-15
|
e. Coupon or yield. |
4.250000
|
f. The principal amount, to the nearest cent. |
$89,479,900.00
|
g. Value of collateral, to the nearest cent. |
$120,048,234.50
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2040-08-15
|
e. Coupon or yield. |
1.125000
|
f. The principal amount, to the nearest cent. |
$548,766,000.00
|
g. Value of collateral, to the nearest cent. |
$457,363,474.40
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2040-02-15
|
e. Coupon or yield. |
4.625000
|
f. The principal amount, to the nearest cent. |
$2,400.00
|
g. Value of collateral, to the nearest cent. |
$3,381.71
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2041-02-15
|
e. Coupon or yield. |
1.875000
|
f. The principal amount, to the nearest cent. |
$80,801,900.00
|
g. Value of collateral, to the nearest cent. |
$76,973,760.44
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2040-08-15
|
e. Coupon or yield. |
3.875000
|
f. The principal amount, to the nearest cent. |
$132,599,300.00
|
g. Value of collateral, to the nearest cent. |
$170,828,408.59
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2040-02-15
|
e. Coupon or yield. |
2.125000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$180.41
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-10-15
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$314,800.00
|
g. Value of collateral, to the nearest cent. |
$353,388.28
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2041-02-15
|
e. Coupon or yield. |
4.750000
|
f. The principal amount, to the nearest cent. |
$8,636,700.00
|
g. Value of collateral, to the nearest cent. |
$12,428,401.11
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2039-11-15
|
e. Coupon or yield. |
4.375000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$135.45
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2040-05-15
|
e. Coupon or yield. |
1.125000
|
f. The principal amount, to the nearest cent. |
$210,800.00
|
g. Value of collateral, to the nearest cent. |
$175,772.93
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2040-05-15
|
e. Coupon or yield. |
4.375000
|
f. The principal amount, to the nearest cent. |
$6,593,659.00
|
g. Value of collateral, to the nearest cent. |
$8,967,946.70
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2040-11-15
|
e. Coupon or yield. |
1.375000
|
f. The principal amount, to the nearest cent. |
$20,361,400.00
|
g. Value of collateral, to the nearest cent. |
$17,673,099.30
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2041-08-15
|
e. Coupon or yield. |
3.750000
|
f. The principal amount, to the nearest cent. |
$99,470,200.00
|
g. Value of collateral, to the nearest cent. |
$126,470,122.35
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$1,000,000,000.00
|
b. Excluding the value of any sponsor support: |
$1,000,000,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.78%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Bank of America Securities, Inc.
|
Item C.2 The title of the issue (including coupon, if applicable). |
Bank of America Securities, Inc. 0.010
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
549300HN4UKV1E2R3U73
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSZA99
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2023-08-15
|
e. Coupon or yield. |
2.500000
|
f. The principal amount, to the nearest cent. |
$98,353,310.00
|
g. Value of collateral, to the nearest cent. |
$104,086,737.42
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2029-05-15
|
e. Coupon or yield. |
2.375000
|
f. The principal amount, to the nearest cent. |
$417,955,670.00
|
g. Value of collateral, to the nearest cent. |
$448,641,555.07
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-02-15
|
e. Coupon or yield. |
2.750000
|
f. The principal amount, to the nearest cent. |
$7,691,695.00
|
g. Value of collateral, to the nearest cent. |
$8,271,715.09
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1+
|
Name of NRSRO |
Moody's - BR
|
Rating |
NR
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$550,000,000.00
|
b. Excluding the value of any sponsor support: |
$550,000,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.43%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Citigroup Global Markets, Inc.
|
Item C.2 The title of the issue (including coupon, if applicable). |
Citigroup Global Markets, Inc. 0.005
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
MBNUM2BPBDO7JBLYG310
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSZAV0
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2036-02-15
|
e. Coupon or yield. |
4.500000
|
f. The principal amount, to the nearest cent. |
$30,822,053.00
|
g. Value of collateral, to the nearest cent. |
$41,674,792.19
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2037-05-15
|
e. Coupon or yield. |
5.000000
|
f. The principal amount, to the nearest cent. |
$54,640,986.00
|
g. Value of collateral, to the nearest cent. |
$77,780,914.36
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2030-05-15
|
e. Coupon or yield. |
0.625000
|
f. The principal amount, to the nearest cent. |
$21,314.00
|
g. Value of collateral, to the nearest cent. |
$19,683.13
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2032-04-15
|
e. Coupon or yield. |
3.375000
|
f. The principal amount, to the nearest cent. |
$326,973.00
|
g. Value of collateral, to the nearest cent. |
$721,674.56
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2037-02-15
|
e. Coupon or yield. |
4.750000
|
f. The principal amount, to the nearest cent. |
$106,781,629.00
|
g. Value of collateral, to the nearest cent. |
$149,237,254.58
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2031-01-15
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$229,891.00
|
g. Value of collateral, to the nearest cent. |
$256,180.98
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2030-05-15
|
e. Coupon or yield. |
6.250000
|
f. The principal amount, to the nearest cent. |
$713,882.00
|
g. Value of collateral, to the nearest cent. |
$1,002,619.91
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2031-02-15
|
e. Coupon or yield. |
5.375000
|
f. The principal amount, to the nearest cent. |
$3,468,696.00
|
g. Value of collateral, to the nearest cent. |
$4,720,236.30
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2030-11-15
|
e. Coupon or yield. |
0.875000
|
f. The principal amount, to the nearest cent. |
$991,883.00
|
g. Value of collateral, to the nearest cent. |
$931,022.35
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2030-08-15
|
e. Coupon or yield. |
0.625000
|
f. The principal amount, to the nearest cent. |
$20,360,586.00
|
g. Value of collateral, to the nearest cent. |
$18,758,840.43
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2023-10-15
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$51,252,555.00
|
g. Value of collateral, to the nearest cent. |
$51,169,877.54
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2031-05-15
|
e. Coupon or yield. |
1.625000
|
f. The principal amount, to the nearest cent. |
$46,034,481.00
|
g. Value of collateral, to the nearest cent. |
$46,123,928.04
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2030-02-15
|
e. Coupon or yield. |
1.500000
|
f. The principal amount, to the nearest cent. |
$432.00
|
g. Value of collateral, to the nearest cent. |
$432.92
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2031-02-15
|
e. Coupon or yield. |
1.125000
|
f. The principal amount, to the nearest cent. |
$315,146.00
|
g. Value of collateral, to the nearest cent. |
$302,587.65
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$385,000,000.00
|
b. Excluding the value of any sponsor support: |
$385,000,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.30%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Credit Agricole Corporate and Investment Bank SA
|
Item C.2 The title of the issue (including coupon, if applicable). |
Credit Agricole Corporate and Investment Bank SA 0.005
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
254900BN8XS34XZDJ223
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSZ991
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2043-02-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$169,499,900.00
|
g. Value of collateral, to the nearest cent. |
$102,784,908.86
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2028-04-15
|
e. Coupon or yield. |
3.625000
|
f. The principal amount, to the nearest cent. |
$11,505,100.00
|
g. Value of collateral, to the nearest cent. |
$25,658,629.02
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2040-02-15
|
e. Coupon or yield. |
2.125000
|
f. The principal amount, to the nearest cent. |
$82,976,850.00
|
g. Value of collateral, to the nearest cent. |
$149,703,519.27
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-08-31
|
e. Coupon or yield. |
1.250000
|
f. The principal amount, to the nearest cent. |
$120,316,550.00
|
g. Value of collateral, to the nearest cent. |
$124,082,830.73
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2028-11-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$45,000,000.00
|
g. Value of collateral, to the nearest cent. |
$40,261,950.00
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2048-02-15
|
e. Coupon or yield. |
1.000000
|
f. The principal amount, to the nearest cent. |
$97,904,950.00
|
g. Value of collateral, to the nearest cent. |
$134,955,057.77
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2050-02-15
|
e. Coupon or yield. |
0.250000
|
f. The principal amount, to the nearest cent. |
$122,662,250.00
|
g. Value of collateral, to the nearest cent. |
$136,554,247.26
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2028-11-15
|
e. Coupon or yield. |
3.125000
|
f. The principal amount, to the nearest cent. |
$104,578,550.00
|
g. Value of collateral, to the nearest cent. |
$117,974,428.52
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2032-04-15
|
e. Coupon or yield. |
3.375000
|
f. The principal amount, to the nearest cent. |
$129,141,750.00
|
g. Value of collateral, to the nearest cent. |
$285,033,846.32
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2042-02-15
|
e. Coupon or yield. |
0.750000
|
f. The principal amount, to the nearest cent. |
$76,723,400.00
|
g. Value of collateral, to the nearest cent. |
$106,990,605.59
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$1,200,000,000.00
|
b. Excluding the value of any sponsor support: |
$1,200,000,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.93%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Bank of America Securities, Inc.
|
Item C.2 The title of the issue (including coupon, if applicable). |
Bank of America Securities, Inc. 0.010
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
549300HN4UKV1E2R3U73
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSZ9K6
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2026-10-31
|
e. Coupon or yield. |
1.625000
|
f. The principal amount, to the nearest cent. |
$33,794,100.00
|
g. Value of collateral, to the nearest cent. |
$35,088,630.76
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2021-11-30
|
e. Coupon or yield. |
1.750000
|
f. The principal amount, to the nearest cent. |
$15,642,400.00
|
g. Value of collateral, to the nearest cent. |
$15,911,383.10
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1+
|
Name of NRSRO |
Moody's - BR
|
Rating |
NR
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$50,000,000.00
|
b. Excluding the value of any sponsor support: |
$50,000,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.04%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
BNP Paribas SA
|
Item C.2 The title of the issue (including coupon, if applicable). |
BNP Paribas SA 0.005
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
R0MUWSFPU8MPRO8K5P83
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSZ934
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2021-08-15
|
e. Coupon or yield. |
8.125000
|
f. The principal amount, to the nearest cent. |
$200.00
|
g. Value of collateral, to the nearest cent. |
$208.11
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2023-04-30
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$1,000.00
|
g. Value of collateral, to the nearest cent. |
$999.71
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2030-05-15
|
e. Coupon or yield. |
6.250000
|
f. The principal amount, to the nearest cent. |
$10,472,900.00
|
g. Value of collateral, to the nearest cent. |
$14,708,778.35
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2043-02-15
|
e. Coupon or yield. |
3.125000
|
f. The principal amount, to the nearest cent. |
$49,998,900.00
|
g. Value of collateral, to the nearest cent. |
$58,282,680.19
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2021-07-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$100.00
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2048-02-15
|
e. Coupon or yield. |
1.000000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$137.84
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2025-11-30
|
e. Coupon or yield. |
0.375000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$98.74
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2025-03-31
|
e. Coupon or yield. |
2.625000
|
f. The principal amount, to the nearest cent. |
$900.00
|
g. Value of collateral, to the nearest cent. |
$975.67
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2038-05-15
|
e. Coupon or yield. |
4.500000
|
f. The principal amount, to the nearest cent. |
$2,559,400.00
|
g. Value of collateral, to the nearest cent. |
$3,484,622.26
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2047-02-15
|
e. Coupon or yield. |
3.000000
|
f. The principal amount, to the nearest cent. |
$42,650,800.00
|
g. Value of collateral, to the nearest cent. |
$49,040,019.44
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2044-02-15
|
e. Coupon or yield. |
3.625000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$126.05
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2026-07-15
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$122.22
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-10-31
|
e. Coupon or yield. |
2.250000
|
f. The principal amount, to the nearest cent. |
$200.00
|
g. Value of collateral, to the nearest cent. |
$212.77
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2047-02-15
|
e. Coupon or yield. |
0.875000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$135.92
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2025-01-15
|
e. Coupon or yield. |
0.250000
|
f. The principal amount, to the nearest cent. |
$1,993,300.00
|
g. Value of collateral, to the nearest cent. |
$2,436,351.20
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2031-05-15
|
e. Coupon or yield. |
1.625000
|
f. The principal amount, to the nearest cent. |
$32,884,800.00
|
g. Value of collateral, to the nearest cent. |
$32,948,696.77
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2021-11-26
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$349,153,000.00
|
g. Value of collateral, to the nearest cent. |
$349,095,738.91
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$500,000,000.00
|
b. Excluding the value of any sponsor support: |
$500,000,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.39%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Barclays Bank plc
|
Item C.2 The title of the issue (including coupon, if applicable). |
Barclays Bank plc 0.010
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
G5GSEF7VJP5I7OUK5573
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSZ9F7
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-08-31
|
e. Coupon or yield. |
1.875000
|
f. The principal amount, to the nearest cent. |
$53,662,100.00
|
g. Value of collateral, to the nearest cent. |
$56,502,791.63
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-09-30
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$54,445,800.00
|
g. Value of collateral, to the nearest cent. |
$54,476,784.42
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2025-06-30
|
e. Coupon or yield. |
2.750000
|
f. The principal amount, to the nearest cent. |
$56,239,000.00
|
g. Value of collateral, to the nearest cent. |
$61,825,168.91
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2029-05-15
|
e. Coupon or yield. |
2.375000
|
f. The principal amount, to the nearest cent. |
$59,419,400.00
|
g. Value of collateral, to the nearest cent. |
$63,876,508.29
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2048-02-15
|
e. Coupon or yield. |
3.000000
|
f. The principal amount, to the nearest cent. |
$59,995,000.00
|
g. Value of collateral, to the nearest cent. |
$69,349,722.70
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2023-01-31
|
e. Coupon or yield. |
2.375000
|
f. The principal amount, to the nearest cent. |
$61,129,800.00
|
g. Value of collateral, to the nearest cent. |
$63,888,838.81
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2023-03-31
|
e. Coupon or yield. |
2.500000
|
f. The principal amount, to the nearest cent. |
$74,587,700.00
|
g. Value of collateral, to the nearest cent. |
$78,109,563.27
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-03-31
|
e. Coupon or yield. |
0.375000
|
f. The principal amount, to the nearest cent. |
$79,165,300.00
|
g. Value of collateral, to the nearest cent. |
$79,419,045.55
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2021-11-12
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$83,182,000.00
|
g. Value of collateral, to the nearest cent. |
$83,171,602.25
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2044-05-15
|
e. Coupon or yield. |
3.375000
|
f. The principal amount, to the nearest cent. |
$45,363,800.00
|
g. Value of collateral, to the nearest cent. |
$54,880,274.92
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2028-11-15
|
e. Coupon or yield. |
3.125000
|
f. The principal amount, to the nearest cent. |
$60,209,200.00
|
g. Value of collateral, to the nearest cent. |
$68,000,808.77
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2046-02-15
|
e. Coupon or yield. |
2.500000
|
f. The principal amount, to the nearest cent. |
$66,915,600.00
|
g. Value of collateral, to the nearest cent. |
$70,325,899.95
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-03-15
|
e. Coupon or yield. |
0.250000
|
f. The principal amount, to the nearest cent. |
$68,886,900.00
|
g. Value of collateral, to the nearest cent. |
$68,914,848.61
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2027-11-15
|
e. Coupon or yield. |
2.250000
|
f. The principal amount, to the nearest cent. |
$59,229,800.00
|
g. Value of collateral, to the nearest cent. |
$63,394,533.73
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2023-12-31
|
e. Coupon or yield. |
2.250000
|
f. The principal amount, to the nearest cent. |
$59,954,600.00
|
g. Value of collateral, to the nearest cent. |
$63,630,110.46
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2029-11-15
|
e. Coupon or yield. |
1.750000
|
f. The principal amount, to the nearest cent. |
$81,695,500.00
|
g. Value of collateral, to the nearest cent. |
$83,782,428.42
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2047-02-15
|
e. Coupon or yield. |
3.000000
|
f. The principal amount, to the nearest cent. |
$55,693,200.00
|
g. Value of collateral, to the nearest cent. |
$64,282,708.69
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2026-10-31
|
e. Coupon or yield. |
1.625000
|
f. The principal amount, to the nearest cent. |
$58,442,400.00
|
g. Value of collateral, to the nearest cent. |
$60,743,126.10
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2025-02-15
|
e. Coupon or yield. |
2.000000
|
f. The principal amount, to the nearest cent. |
$59,477,700.00
|
g. Value of collateral, to the nearest cent. |
$63,143,272.53
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-04-30
|
e. Coupon or yield. |
1.750000
|
f. The principal amount, to the nearest cent. |
$78,031,100.00
|
g. Value of collateral, to the nearest cent. |
$79,332,465.37
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2027-10-31
|
e. Coupon or yield. |
0.500000
|
f. The principal amount, to the nearest cent. |
$79,818,400.00
|
g. Value of collateral, to the nearest cent. |
$76,671,354.83
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2025-08-31
|
e. Coupon or yield. |
0.250000
|
f. The principal amount, to the nearest cent. |
$83,348,600.00
|
g. Value of collateral, to the nearest cent. |
$82,066,333.42
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2027-05-15
|
e. Coupon or yield. |
2.375000
|
f. The principal amount, to the nearest cent. |
$51,163,900.00
|
g. Value of collateral, to the nearest cent. |
$55,208,201.36
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2029-08-15
|
e. Coupon or yield. |
6.125000
|
f. The principal amount, to the nearest cent. |
$53,925,200.00
|
g. Value of collateral, to the nearest cent. |
$74,831,745.90
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2047-05-15
|
e. Coupon or yield. |
3.000000
|
f. The principal amount, to the nearest cent. |
$67,557,600.00
|
g. Value of collateral, to the nearest cent. |
$77,494,024.68
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-11-30
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$70,170,100.00
|
g. Value of collateral, to the nearest cent. |
$70,228,951.51
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2026-03-31
|
e. Coupon or yield. |
0.750000
|
f. The principal amount, to the nearest cent. |
$23,386,900.00
|
g. Value of collateral, to the nearest cent. |
$23,394,536.40
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2025-11-30
|
e. Coupon or yield. |
0.375000
|
f. The principal amount, to the nearest cent. |
$59,998,300.00
|
g. Value of collateral, to the nearest cent. |
$59,267,106.32
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-11-30
|
e. Coupon or yield. |
2.000000
|
f. The principal amount, to the nearest cent. |
$65,756,700.00
|
g. Value of collateral, to the nearest cent. |
$68,263,224.73
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-01-31
|
e. Coupon or yield. |
2.500000
|
f. The principal amount, to the nearest cent. |
$51,261,800.00
|
g. Value of collateral, to the nearest cent. |
$54,761,756.32
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2045-08-15
|
e. Coupon or yield. |
2.875000
|
f. The principal amount, to the nearest cent. |
$54,413,400.00
|
g. Value of collateral, to the nearest cent. |
$61,209,025.79
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2023-02-28
|
e. Coupon or yield. |
2.625000
|
f. The principal amount, to the nearest cent. |
$55,958,400.00
|
g. Value of collateral, to the nearest cent. |
$58,748,737.94
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-01-31
|
e. Coupon or yield. |
2.250000
|
f. The principal amount, to the nearest cent. |
$68,103,900.00
|
g. Value of collateral, to the nearest cent. |
$72,237,745.40
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2044-11-15
|
e. Coupon or yield. |
3.000000
|
f. The principal amount, to the nearest cent. |
$73,576,300.00
|
g. Value of collateral, to the nearest cent. |
$83,902,349.83
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2027-03-31
|
e. Coupon or yield. |
0.625000
|
f. The principal amount, to the nearest cent. |
$78,247,000.00
|
g. Value of collateral, to the nearest cent. |
$76,664,488.64
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$2,300,000,000.00
|
b. Excluding the value of any sponsor support: |
$2,300,000,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
1.79%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Citigroup Global Markets, Inc.
|
Item C.2 The title of the issue (including coupon, if applicable). |
Citigroup Global Markets, Inc. 0.005
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
MBNUM2BPBDO7JBLYG310
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSZ9A8
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
2 7/8 NOTE AD 23
|
d. Maturity date. |
2023-09-30
|
e. Coupon or yield. |
2.875000
|
f. The principal amount, to the nearest cent. |
$2,355,000.00
|
g. Value of collateral, to the nearest cent. |
$2,513,199.51
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 1/8 TRIN AE 24
|
d. Maturity date. |
2024-10-15
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$1,200.00
|
g. Value of collateral, to the nearest cent. |
$1,347.10
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 3/4 NOTE AC 23
|
d. Maturity date. |
2023-08-31
|
e. Coupon or yield. |
2.750000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$106.44
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 3/4 NOTE F 23
|
d. Maturity date. |
2023-11-15
|
e. Coupon or yield. |
2.750000
|
f. The principal amount, to the nearest cent. |
$34,034,500.00
|
g. Value of collateral, to the nearest cent. |
$36,185,530.34
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 1/8 NOTE AS 23
|
d. Maturity date. |
2023-10-15
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$128,382,900.00
|
g. Value of collateral, to the nearest cent. |
$128,175,800.14
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
1 3/8 NOTE P 23
|
d. Maturity date. |
2023-08-31
|
e. Coupon or yield. |
1.375000
|
f. The principal amount, to the nearest cent. |
$900.00
|
g. Value of collateral, to the nearest cent. |
$927.18
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 7/8 NOTE AE 23
|
d. Maturity date. |
2023-10-31
|
e. Coupon or yield. |
2.875000
|
f. The principal amount, to the nearest cent. |
$82,562,200.00
|
g. Value of collateral, to the nearest cent. |
$88,073,846.07
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 1/8 NOTE AR 23
|
d. Maturity date. |
2023-09-15
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$49,400.00
|
g. Value of collateral, to the nearest cent. |
$49,338.96
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$250,000,000.00
|
b. Excluding the value of any sponsor support: |
$250,000,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.19%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Bank of America Securities, Inc.
|
Item C.2 The title of the issue (including coupon, if applicable). |
Bank of America Securities, Inc. 0.010
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
549300HN4UKV1E2R3U73
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSZ967
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2028-04-30
|
e. Coupon or yield. |
1.250000
|
f. The principal amount, to the nearest cent. |
$64,238,800.00
|
g. Value of collateral, to the nearest cent. |
$64,260,068.62
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1+
|
Name of NRSRO |
Moody's - BR
|
Rating |
NR
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$63,000,000.00
|
b. Excluding the value of any sponsor support: |
$63,000,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.05%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Bank of Nova Scotia (The)
|
Item C.2 The title of the issue (including coupon, if applicable). |
Bank of Nova Scotia (The) 0.005
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
L3I9ZG2KFGXZ61BMYR72
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSZ900
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2023-02-28
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$100.01
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2026-03-31
|
e. Coupon or yield. |
0.750000
|
f. The principal amount, to the nearest cent. |
$2,600.00
|
g. Value of collateral, to the nearest cent. |
$2,599.45
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2023-01-31
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$4,430,000.00
|
g. Value of collateral, to the nearest cent. |
$4,431,435.34
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2023-07-15
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$18,559,100.00
|
g. Value of collateral, to the nearest cent. |
$18,550,177.79
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-07-31
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$627,000.00
|
g. Value of collateral, to the nearest cent. |
$627,472.76
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-01-15
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$4,167,400.00
|
g. Value of collateral, to the nearest cent. |
$4,156,770.03
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2043-05-15
|
e. Coupon or yield. |
2.875000
|
f. The principal amount, to the nearest cent. |
$6,899,800.00
|
g. Value of collateral, to the nearest cent. |
$7,679,895.70
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-04-30
|
e. Coupon or yield. |
0.129000
|
f. The principal amount, to the nearest cent. |
$92,621,000.00
|
g. Value of collateral, to the nearest cent. |
$92,717,037.74
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2041-02-15
|
e. Coupon or yield. |
1.875000
|
f. The principal amount, to the nearest cent. |
$2,236,500.00
|
g. Value of collateral, to the nearest cent. |
$2,130,541.67
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2021-11-30
|
e. Coupon or yield. |
1.750000
|
f. The principal amount, to the nearest cent. |
$4,309,900.00
|
g. Value of collateral, to the nearest cent. |
$4,384,012.04
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-10-31
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$14,936,900.00
|
g. Value of collateral, to the nearest cent. |
$14,941,756.12
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2050-05-15
|
e. Coupon or yield. |
1.250000
|
f. The principal amount, to the nearest cent. |
$200.00
|
g. Value of collateral, to the nearest cent. |
$154.90
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-12-31
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$177,900.00
|
g. Value of collateral, to the nearest cent. |
$177,990.92
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-05-19
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$1,000.00
|
g. Value of collateral, to the nearest cent. |
$999.60
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-12-31
|
e. Coupon or yield. |
2.125000
|
f. The principal amount, to the nearest cent. |
$227,700.00
|
g. Value of collateral, to the nearest cent. |
$236,900.86
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2025-11-30
|
e. Coupon or yield. |
0.375000
|
f. The principal amount, to the nearest cent. |
$3,000,000.00
|
g. Value of collateral, to the nearest cent. |
$2,962,182.28
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2021-07-01
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$100.00
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1+
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$150,000,000.00
|
b. Excluding the value of any sponsor support: |
$150,000,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.12%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Societe Generale SA
|
Item C.2 The title of the issue (including coupon, if applicable). |
Societe Generale SA 0.005
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
O2RNE8IBXP4R0TD8PU41
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSZA24
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2027-11-15
|
e. Coupon or yield. |
2.250000
|
f. The principal amount, to the nearest cent. |
$38,558,000.00
|
g. Value of collateral, to the nearest cent. |
$41,221,387.56
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2040-02-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$4,634,900.00
|
g. Value of collateral, to the nearest cent. |
$3,090,736.72
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2047-11-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$31,072,200.00
|
g. Value of collateral, to the nearest cent. |
$16,577,329.42
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-03-15
|
e. Coupon or yield. |
2.375000
|
f. The principal amount, to the nearest cent. |
$91,447,400.00
|
g. Value of collateral, to the nearest cent. |
$93,577,741.73
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2048-08-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$990,200.00
|
g. Value of collateral, to the nearest cent. |
$519,696.57
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2027-02-15
|
e. Coupon or yield. |
6.625000
|
f. The principal amount, to the nearest cent. |
$3,544,000.00
|
g. Value of collateral, to the nearest cent. |
$4,727,476.72
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2040-02-15
|
e. Coupon or yield. |
2.125000
|
f. The principal amount, to the nearest cent. |
$4,689,900.00
|
g. Value of collateral, to the nearest cent. |
$8,461,330.29
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2046-11-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$294,500.00
|
g. Value of collateral, to the nearest cent. |
$161,191.63
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2037-05-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$23,900.00
|
g. Value of collateral, to the nearest cent. |
$17,328.50
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-01-31
|
e. Coupon or yield. |
1.500000
|
f. The principal amount, to the nearest cent. |
$690,000.00
|
g. Value of collateral, to the nearest cent. |
$700,086.47
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-07-15
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$3,359,000.00
|
g. Value of collateral, to the nearest cent. |
$4,029,507.73
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2023-08-15
|
e. Coupon or yield. |
2.500000
|
f. The principal amount, to the nearest cent. |
$48,190,900.00
|
g. Value of collateral, to the nearest cent. |
$51,000,149.91
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2021-11-18
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$300.00
|
g. Value of collateral, to the nearest cent. |
$299.96
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2028-08-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$413,036.80
|
g. Value of collateral, to the nearest cent. |
$372,280.39
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2026-01-15
|
e. Coupon or yield. |
2.000000
|
f. The principal amount, to the nearest cent. |
$1,881,000.00
|
g. Value of collateral, to the nearest cent. |
$3,003,995.91
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2030-05-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$3,760,100.00
|
g. Value of collateral, to the nearest cent. |
$3,277,265.56
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2036-02-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$12,299,583.44
|
g. Value of collateral, to the nearest cent. |
$8,962,275.97
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$235,000,000.00
|
b. Excluding the value of any sponsor support: |
$235,000,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.18%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
TD Securities USA LLC
|
Item C.2 The title of the issue (including coupon, if applicable). |
TD Securities USA LLC 0.005
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
SUVUFHICNZMP2WKHG940
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSZ9T7
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
0 1/8 NOTE BG 22
|
d. Maturity date. |
2022-09-30
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$271,575,800.00
|
g. Value of collateral, to the nearest cent. |
$271,683,910.91
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 1/2 NOTE U 24
|
d. Maturity date. |
2024-01-31
|
e. Coupon or yield. |
2.500000
|
f. The principal amount, to the nearest cent. |
$175,350,200.00
|
g. Value of collateral, to the nearest cent. |
$187,316,117.02
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
NR
|
Name of NRSRO |
Moody's - BR
|
Rating |
NR
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$450,000,000.00
|
b. Excluding the value of any sponsor support: |
$450,000,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.35%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Nomura Securities International, Inc.
|
Item C.2 The title of the issue (including coupon, if applicable). |
Nomura Securities International, Inc. 0.005
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
OXTKY6Q8X53C9ILVV871
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSZAD0
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
3 3/4 BOND 41
|
d. Maturity date. |
2041-08-15
|
e. Coupon or yield. |
3.750000
|
f. The principal amount, to the nearest cent. |
$39,900.00
|
g. Value of collateral, to the nearest cent. |
$50,730.34
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 1/2 BOND 45
|
d. Maturity date. |
2045-02-15
|
e. Coupon or yield. |
2.500000
|
f. The principal amount, to the nearest cent. |
$48,953,700.00
|
g. Value of collateral, to the nearest cent. |
$51,325,614.41
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 1/8 TRIN A 30
|
d. Maturity date. |
2030-01-15
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$471,984,100.00
|
g. Value of collateral, to the nearest cent. |
$533,439,875.54
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 1/8 NOTE AQ 23
|
d. Maturity date. |
2023-08-15
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$500,000.00
|
g. Value of collateral, to the nearest cent. |
$499,621.60
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 1/4 NOTE R 24
|
d. Maturity date. |
2024-10-31
|
e. Coupon or yield. |
2.250000
|
f. The principal amount, to the nearest cent. |
$7,217,800.00
|
g. Value of collateral, to the nearest cent. |
$7,678,620.13
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 5/8 NOTE AA 23
|
d. Maturity date. |
2023-06-30
|
e. Coupon or yield. |
2.625000
|
f. The principal amount, to the nearest cent. |
$150,619,800.00
|
g. Value of collateral, to the nearest cent. |
$159,985,647.06
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
1 7/8 NOTE M 26
|
d. Maturity date. |
2026-06-30
|
e. Coupon or yield. |
1.875000
|
f. The principal amount, to the nearest cent. |
$476,000.00
|
g. Value of collateral, to the nearest cent. |
$504,248.58
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 1/8 TRIN AE 25
|
d. Maturity date. |
2025-10-15
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$26,302,400.00
|
g. Value of collateral, to the nearest cent. |
$29,519,919.51
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 1/8 NOTE BL 22
|
d. Maturity date. |
2022-12-31
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$9,608,400.00
|
g. Value of collateral, to the nearest cent. |
$9,613,310.37
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
TINT 02/15/23
|
d. Maturity date. |
2023-02-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$7,174,653.00
|
g. Value of collateral, to the nearest cent. |
$7,157,936.06
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
BILL 12/30/21
|
d. Maturity date. |
2021-12-30
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$958,900.00
|
g. Value of collateral, to the nearest cent. |
$958,673.70
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
7 1/4 TPRN 22
|
d. Maturity date. |
2022-08-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$685,000.00
|
g. Value of collateral, to the nearest cent. |
$684,101.96
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 3/8 NOTE V 24
|
d. Maturity date. |
2024-02-29
|
e. Coupon or yield. |
2.375000
|
f. The principal amount, to the nearest cent. |
$2,420,300.00
|
g. Value of collateral, to the nearest cent. |
$2,574,603.53
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 1/8 NOTE T 22
|
d. Maturity date. |
2022-12-31
|
e. Coupon or yield. |
2.125000
|
f. The principal amount, to the nearest cent. |
$186,040,000.00
|
g. Value of collateral, to the nearest cent. |
$193,557,475.54
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 1/8 TRIN AE 24
|
d. Maturity date. |
2024-10-15
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$19,550,200.00
|
g. Value of collateral, to the nearest cent. |
$21,946,670.00
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
TINT 02/15/24
|
d. Maturity date. |
2024-02-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$41,835,970.00
|
g. Value of collateral, to the nearest cent. |
$41,490,321.22
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
TINT 08/15/29
|
d. Maturity date. |
2029-08-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$6,536,369.00
|
g. Value of collateral, to the nearest cent. |
$5,727,754.79
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 3/4 TPRN B 28
|
d. Maturity date. |
2028-02-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$1,000,000.00
|
g. Value of collateral, to the nearest cent. |
$918,125.00
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 1/2 NOTE W 23
|
d. Maturity date. |
2023-03-31
|
e. Coupon or yield. |
2.500000
|
f. The principal amount, to the nearest cent. |
$11,750,800.00
|
g. Value of collateral, to the nearest cent. |
$12,304,165.72
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 1/8 NOTE BG 22
|
d. Maturity date. |
2022-09-30
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$2,422,000.00
|
g. Value of collateral, to the nearest cent. |
$2,422,964.17
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
TRFR BJ 10/31/22
|
d. Maturity date. |
2022-10-31
|
e. Coupon or yield. |
0.070000
|
f. The principal amount, to the nearest cent. |
$1,736,900.00
|
g. Value of collateral, to the nearest cent. |
$1,737,837.93
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
TINT 05/15/32
|
d. Maturity date. |
2032-05-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$580,760.59
|
g. Value of collateral, to the nearest cent. |
$470,714.59
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
BILL 11/26/21
|
d. Maturity date. |
2021-11-26
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$150,000,000.00
|
g. Value of collateral, to the nearest cent. |
$149,975,400.00
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 3/8 TRIB 25
|
d. Maturity date. |
2025-01-15
|
e. Coupon or yield. |
2.375000
|
f. The principal amount, to the nearest cent. |
$122,810,300.00
|
g. Value of collateral, to the nearest cent. |
$204,059,562.26
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
3 5/8 BOND 43
|
d. Maturity date. |
2043-08-15
|
e. Coupon or yield. |
3.625000
|
f. The principal amount, to the nearest cent. |
$90,280,900.00
|
g. Value of collateral, to the nearest cent. |
$113,541,691.58
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 3/8 TRIN A 27
|
d. Maturity date. |
2027-01-15
|
e. Coupon or yield. |
0.375000
|
f. The principal amount, to the nearest cent. |
$63,257,400.00
|
g. Value of collateral, to the nearest cent. |
$77,554,923.81
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
1 3/4 NOTE AH 24
|
d. Maturity date. |
2024-12-31
|
e. Coupon or yield. |
1.750000
|
f. The principal amount, to the nearest cent. |
$2,100,000.00
|
g. Value of collateral, to the nearest cent. |
$2,210,994.86
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 1/8 NOTE AP 23
|
d. Maturity date. |
2023-07-15
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$985,600.00
|
g. Value of collateral, to the nearest cent. |
$985,126.18
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
TINT 08/15/42
|
d. Maturity date. |
2042-08-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$23,057,660.00
|
g. Value of collateral, to the nearest cent. |
$13,834,803.52
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
BILL 08/26/21
|
d. Maturity date. |
2021-08-26
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$245,600.00
|
g. Value of collateral, to the nearest cent. |
$245,591.65
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
6 1/4 TPRN 30
|
d. Maturity date. |
2030-05-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$670,000.00
|
g. Value of collateral, to the nearest cent. |
$583,965.30
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 5/8 TRIN A 26
|
d. Maturity date. |
2026-01-15
|
e. Coupon or yield. |
0.625000
|
f. The principal amount, to the nearest cent. |
$843,000.00
|
g. Value of collateral, to the nearest cent. |
$1,056,472.75
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
1 1/2 NOTE AF 24
|
d. Maturity date. |
2024-10-31
|
e. Coupon or yield. |
1.500000
|
f. The principal amount, to the nearest cent. |
$13,186,200.00
|
g. Value of collateral, to the nearest cent. |
$13,683,864.39
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
TINT 02/15/26
|
d. Maturity date. |
2026-02-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$1,164,538.25
|
g. Value of collateral, to the nearest cent. |
$1,117,549.13
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
TINT 02/15/38
|
d. Maturity date. |
2038-02-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$1.10
|
g. Value of collateral, to the nearest cent. |
$0.75
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 3/4 BOND 42
|
d. Maturity date. |
2042-08-15
|
e. Coupon or yield. |
2.750000
|
f. The principal amount, to the nearest cent. |
$8,363,500.00
|
g. Value of collateral, to the nearest cent. |
$9,190,203.70
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
3 BOND 48
|
d. Maturity date. |
2048-08-15
|
e. Coupon or yield. |
3.000000
|
f. The principal amount, to the nearest cent. |
$21,623,800.00
|
g. Value of collateral, to the nearest cent. |
$24,935,399.31
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 1/8 NOTE S 24
|
d. Maturity date. |
2024-11-30
|
e. Coupon or yield. |
2.125000
|
f. The principal amount, to the nearest cent. |
$28,971,300.00
|
g. Value of collateral, to the nearest cent. |
$30,973,792.28
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 1/2 NOTE U 24
|
d. Maturity date. |
2024-01-31
|
e. Coupon or yield. |
2.500000
|
f. The principal amount, to the nearest cent. |
$22,201,900.00
|
g. Value of collateral, to the nearest cent. |
$23,716,960.11
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 5/8 TRIN A 24
|
d. Maturity date. |
2024-01-15
|
e. Coupon or yield. |
0.625000
|
f. The principal amount, to the nearest cent. |
$10,161,000.00
|
g. Value of collateral, to the nearest cent. |
$12,547,885.32
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 1/8 NOTE AZ 22
|
d. Maturity date. |
2022-04-30
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$1,771,700.00
|
g. Value of collateral, to the nearest cent. |
$1,772,842.94
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 1/8 NOTE AR 23
|
d. Maturity date. |
2023-09-15
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$2,967,700.00
|
g. Value of collateral, to the nearest cent. |
$2,964,032.99
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 1/8 NOTE BH 22
|
d. Maturity date. |
2022-10-31
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$100.03
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
TINT 08/15/32
|
d. Maturity date. |
2032-08-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$436,770.00
|
g. Value of collateral, to the nearest cent. |
$351,420.77
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
TINT 05/15/23
|
d. Maturity date. |
2023-05-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$2,190,322.00
|
g. Value of collateral, to the nearest cent. |
$2,183,448.77
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
TINT 02/15/27
|
d. Maturity date. |
2027-02-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$13,798,480.00
|
g. Value of collateral, to the nearest cent. |
$12,945,044.01
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
NR
|
Name of NRSRO |
Moody's - BR
|
Rating |
NR
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
NR
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$1,750,000,000.00
|
b. Excluding the value of any sponsor support: |
$1,750,000,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
1.36%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Barclays Bank plc
|
Item C.2 The title of the issue (including coupon, if applicable). |
Barclays Bank plc 0.010
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
G5GSEF7VJP5I7OUK5573
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSZ942
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2049-08-15
|
e. Coupon or yield. |
2.250000
|
f. The principal amount, to the nearest cent. |
$93,224,300.00
|
g. Value of collateral, to the nearest cent. |
$93,180,836.87
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-10-15
|
e. Coupon or yield. |
1.375000
|
f. The principal amount, to the nearest cent. |
$94,316,300.00
|
g. Value of collateral, to the nearest cent. |
$96,105,238.50
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-06-30
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$18,305,300.00
|
g. Value of collateral, to the nearest cent. |
$18,322,379.76
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2023-03-31
|
e. Coupon or yield. |
1.500000
|
f. The principal amount, to the nearest cent. |
$93,494,900.00
|
g. Value of collateral, to the nearest cent. |
$96,047,595.86
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2050-05-15
|
e. Coupon or yield. |
1.250000
|
f. The principal amount, to the nearest cent. |
$122,693,800.00
|
g. Value of collateral, to the nearest cent. |
$95,495,354.49
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2027-06-30
|
e. Coupon or yield. |
0.500000
|
f. The principal amount, to the nearest cent. |
$83,596,900.00
|
g. Value of collateral, to the nearest cent. |
$80,988,108.17
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-09-15
|
e. Coupon or yield. |
1.500000
|
f. The principal amount, to the nearest cent. |
$94,177,500.00
|
g. Value of collateral, to the nearest cent. |
$96,160,530.10
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$565,000,000.00
|
b. Excluding the value of any sponsor support: |
$565,000,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.44%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
JP Morgan Securities LLC
|
Item C.2 The title of the issue (including coupon, if applicable). |
JP Morgan Securities LLC 0.005
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
ZBUT11V806EZRVTWT807
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSZ9N0
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
0 1/2 NOTE AK 23
|
d. Maturity date. |
2023-03-15
|
e. Coupon or yield. |
0.500000
|
f. The principal amount, to the nearest cent. |
$14,274,800.00
|
g. Value of collateral, to the nearest cent. |
$14,382,666.60
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
1 5/8 NOTE C 26
|
d. Maturity date. |
2026-05-15
|
e. Coupon or yield. |
1.625000
|
f. The principal amount, to the nearest cent. |
$93,410,400.00
|
g. Value of collateral, to the nearest cent. |
$97,240,230.97
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 7/8 NOTE AT 21
|
d. Maturity date. |
2021-11-15
|
e. Coupon or yield. |
2.875000
|
f. The principal amount, to the nearest cent. |
$10,629,400.00
|
g. Value of collateral, to the nearest cent. |
$10,777,134.04
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1+
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$120,000,000.00
|
b. Excluding the value of any sponsor support: |
$120,000,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.09%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Natixis SA
|
Item C.2 The title of the issue (including coupon, if applicable). |
Natixis SA 0.005
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
KX1WK48MPD4Y2NCUIZ63
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSZ9J9
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-04-15
|
e. Coupon or yield. |
0.375000
|
f. The principal amount, to the nearest cent. |
$76,227,800.00
|
g. Value of collateral, to the nearest cent. |
$76,451,953.47
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2028-03-31
|
e. Coupon or yield. |
1.250000
|
f. The principal amount, to the nearest cent. |
$140,544,300.00
|
g. Value of collateral, to the nearest cent. |
$140,866,269.32
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-05-15
|
e. Coupon or yield. |
0.250000
|
f. The principal amount, to the nearest cent. |
$49,999,700.00
|
g. Value of collateral, to the nearest cent. |
$49,921,816.22
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$262,000,000.00
|
b. Excluding the value of any sponsor support: |
$262,000,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.20%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
JP Morgan Securities LLC
|
Item C.2 The title of the issue (including coupon, if applicable). |
JP Morgan Securities LLC 0.005
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
ZBUT11V806EZRVTWT807
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSZA32
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-04-30
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$0.60
|
g. Value of collateral, to the nearest cent. |
$0.60
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2044-08-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$8.00
|
g. Value of collateral, to the nearest cent. |
$4.58
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-11-15
|
e. Coupon or yield. |
7.500000
|
f. The principal amount, to the nearest cent. |
$20,451,200.00
|
g. Value of collateral, to the nearest cent. |
$25,499,281.29
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2021-07-08
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$300.00
|
g. Value of collateral, to the nearest cent. |
$300.00
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-08-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$6.40
|
g. Value of collateral, to the nearest cent. |
$6.39
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-04-30
|
e. Coupon or yield. |
1.875000
|
f. The principal amount, to the nearest cent. |
$400.00
|
g. Value of collateral, to the nearest cent. |
$407.18
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1+
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$25,000,000.00
|
b. Excluding the value of any sponsor support: |
$25,000,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.02%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
HSBC Securities USA, Inc.
|
Item C.2 The title of the issue (including coupon, if applicable). |
HSBC Securities USA, Inc. 0.005
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
CYYGQCGNHMHPSMRL3R97
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSZ9V2
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
1 7/8 TPRN 41
|
d. Maturity date. |
2041-02-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$51,000.00
|
g. Value of collateral, to the nearest cent. |
$32,620.88
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
1 1/2 TPRN B 30
|
d. Maturity date. |
2030-02-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$325,000.00
|
g. Value of collateral, to the nearest cent. |
$284,804.00
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
TINT 05/15/24
|
d. Maturity date. |
2024-05-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$19,884,304.25
|
g. Value of collateral, to the nearest cent. |
$19,669,732.72
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
3 5/8 TPRN 44
|
d. Maturity date. |
2044-02-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$70,505,300.00
|
g. Value of collateral, to the nearest cent. |
$41,827,198.72
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 1/8 TRIN D 26
|
d. Maturity date. |
2026-07-15
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$45,301,900.00
|
g. Value of collateral, to the nearest cent. |
$55,348,449.98
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
TINT 08/15/24
|
d. Maturity date. |
2024-08-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$14,301,450.24
|
g. Value of collateral, to the nearest cent. |
$14,106,335.55
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
3 TPRN 47
|
d. Maturity date. |
2047-05-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$12,631,100.00
|
g. Value of collateral, to the nearest cent. |
$6,881,069.61
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 1/4 BOND 46
|
d. Maturity date. |
2046-08-15
|
e. Coupon or yield. |
2.250000
|
f. The principal amount, to the nearest cent. |
$21,372,200.00
|
g. Value of collateral, to the nearest cent. |
$21,409,297.42
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
3 3/8 TPRN 48
|
d. Maturity date. |
2048-11-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$784,300.00
|
g. Value of collateral, to the nearest cent. |
$413,170.81
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 7/8 TPRN E 28
|
d. Maturity date. |
2028-08-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$125,000.00
|
g. Value of collateral, to the nearest cent. |
$113,363.38
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
TINT 02/15/35
|
d. Maturity date. |
2035-02-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$24,488,468.48
|
g. Value of collateral, to the nearest cent. |
$18,413,956.94
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
NR
|
Name of NRSRO |
Moody's - BR
|
Rating |
NR
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$175,000,000.00
|
b. Excluding the value of any sponsor support: |
$175,000,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.14%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Barclays Capital, Inc.
|
Item C.2 The title of the issue (including coupon, if applicable). |
Barclays Capital, Inc. 0.010
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
AC28XWWI3WIBK2824319
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSZAP3
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
BILL 07/01/21
|
d. Maturity date. |
2021-07-01
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$25,500,300.00
|
g. Value of collateral, to the nearest cent. |
$25,500,096.00
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1
|
Name of NRSRO |
Moody's - BR
|
Rating |
NR
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$25,000,000.00
|
b. Excluding the value of any sponsor support: |
$25,000,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.02%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Credit Suisse AG
|
Item C.2 The title of the issue (including coupon, if applicable). |
Credit Suisse AG 0.010
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
549300D0YARF5HYP1809
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSZA16
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-03-15
|
e. Coupon or yield. |
0.250000
|
f. The principal amount, to the nearest cent. |
$69,682,000.00
|
g. Value of collateral, to the nearest cent. |
$69,710,271.20
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-10-15
|
e. Coupon or yield. |
1.375000
|
f. The principal amount, to the nearest cent. |
$2,000.00
|
g. Value of collateral, to the nearest cent. |
$2,037.93
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2025-06-30
|
e. Coupon or yield. |
0.250000
|
f. The principal amount, to the nearest cent. |
$1,100.00
|
g. Value of collateral, to the nearest cent. |
$1,086.47
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2047-11-15
|
e. Coupon or yield. |
2.750000
|
f. The principal amount, to the nearest cent. |
$648,171,900.00
|
g. Value of collateral, to the nearest cent. |
$710,586,619.71
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$765,000,000.00
|
b. Excluding the value of any sponsor support: |
$765,000,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.60%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Deutsche Bank AG
|
Item C.2 The title of the issue (including coupon, if applicable). |
Deutsche Bank AG 0.005
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
7LTWFZYICNSX8D621K86
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSZAQ1
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2043-02-15
|
e. Coupon or yield. |
0.625000
|
f. The principal amount, to the nearest cent. |
$9,499,200.00
|
g. Value of collateral, to the nearest cent. |
$12,699,778.58
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2049-02-15
|
e. Coupon or yield. |
1.000000
|
f. The principal amount, to the nearest cent. |
$12,347,500.00
|
g. Value of collateral, to the nearest cent. |
$16,791,836.31
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2046-02-15
|
e. Coupon or yield. |
1.000000
|
f. The principal amount, to the nearest cent. |
$14,656,500.00
|
g. Value of collateral, to the nearest cent. |
$20,690,022.80
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-07-15
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$2,849,900.00
|
g. Value of collateral, to the nearest cent. |
$3,418,783.59
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2029-07-15
|
e. Coupon or yield. |
0.250000
|
f. The principal amount, to the nearest cent. |
$5,913,700.00
|
g. Value of collateral, to the nearest cent. |
$6,827,597.93
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2028-01-15
|
e. Coupon or yield. |
1.750000
|
f. The principal amount, to the nearest cent. |
$27,498,700.00
|
g. Value of collateral, to the nearest cent. |
$42,524,670.96
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2045-02-15
|
e. Coupon or yield. |
0.750000
|
f. The principal amount, to the nearest cent. |
$51,034,400.00
|
g. Value of collateral, to the nearest cent. |
$68,442,035.52
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2031-01-15
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$202,299,400.00
|
g. Value of collateral, to the nearest cent. |
$225,433,848.30
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2023-01-15
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$13,102,900.00
|
g. Value of collateral, to the nearest cent. |
$15,779,757.67
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2021-07-15
|
e. Coupon or yield. |
0.625000
|
f. The principal amount, to the nearest cent. |
$17,283,700.00
|
g. Value of collateral, to the nearest cent. |
$20,586,120.27
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2027-01-15
|
e. Coupon or yield. |
0.375000
|
f. The principal amount, to the nearest cent. |
$4,972,700.00
|
g. Value of collateral, to the nearest cent. |
$6,096,636.43
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2028-07-15
|
e. Coupon or yield. |
0.750000
|
f. The principal amount, to the nearest cent. |
$6,515,500.00
|
g. Value of collateral, to the nearest cent. |
$7,943,500.03
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-01-15
|
e. Coupon or yield. |
0.625000
|
f. The principal amount, to the nearest cent. |
$10,989,900.00
|
g. Value of collateral, to the nearest cent. |
$13,571,499.35
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2029-01-15
|
e. Coupon or yield. |
0.875000
|
f. The principal amount, to the nearest cent. |
$51,947,500.00
|
g. Value of collateral, to the nearest cent. |
$63,456,109.43
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2030-07-15
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$85,000.00
|
g. Value of collateral, to the nearest cent. |
$96,760.81
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2040-02-15
|
e. Coupon or yield. |
2.125000
|
f. The principal amount, to the nearest cent. |
$608,600.00
|
g. Value of collateral, to the nearest cent. |
$1,098,011.81
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2042-02-15
|
e. Coupon or yield. |
0.750000
|
f. The principal amount, to the nearest cent. |
$18,800,000.00
|
g. Value of collateral, to the nearest cent. |
$26,216,556.95
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2023-07-15
|
e. Coupon or yield. |
0.375000
|
f. The principal amount, to the nearest cent. |
$23,589,300.00
|
g. Value of collateral, to the nearest cent. |
$28,772,623.83
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2027-07-15
|
e. Coupon or yield. |
0.375000
|
f. The principal amount, to the nearest cent. |
$32,015,000.00
|
g. Value of collateral, to the nearest cent. |
$39,004,931.11
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2025-01-15
|
e. Coupon or yield. |
2.375000
|
f. The principal amount, to the nearest cent. |
$124,000.00
|
g. Value of collateral, to the nearest cent. |
$206,036.35
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2026-01-15
|
e. Coupon or yield. |
0.625000
|
f. The principal amount, to the nearest cent. |
$2,455,200.00
|
g. Value of collateral, to the nearest cent. |
$3,076,929.89
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-04-15
|
e. Coupon or yield. |
0.500000
|
f. The principal amount, to the nearest cent. |
$5,016,600.00
|
g. Value of collateral, to the nearest cent. |
$5,727,457.78
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2025-01-15
|
e. Coupon or yield. |
0.250000
|
f. The principal amount, to the nearest cent. |
$20,715,900.00
|
g. Value of collateral, to the nearest cent. |
$25,320,427.32
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2030-01-15
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$23,677,400.00
|
g. Value of collateral, to the nearest cent. |
$26,760,370.34
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2025-04-15
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$33,220,600.00
|
g. Value of collateral, to the nearest cent. |
$37,118,266.04
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2029-04-15
|
e. Coupon or yield. |
3.875000
|
f. The principal amount, to the nearest cent. |
$481,800.00
|
g. Value of collateral, to the nearest cent. |
$1,099,949.67
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-07-15
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$9,354,400.00
|
g. Value of collateral, to the nearest cent. |
$11,335,915.58
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2025-07-15
|
e. Coupon or yield. |
0.375000
|
f. The principal amount, to the nearest cent. |
$12,088,200.00
|
g. Value of collateral, to the nearest cent. |
$15,001,330.07
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2047-02-15
|
e. Coupon or yield. |
0.875000
|
f. The principal amount, to the nearest cent. |
$13,851,900.00
|
g. Value of collateral, to the nearest cent. |
$18,827,574.49
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2041-02-15
|
e. Coupon or yield. |
2.125000
|
f. The principal amount, to the nearest cent. |
$17,456,900.00
|
g. Value of collateral, to the nearest cent. |
$31,348,785.46
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2048-02-15
|
e. Coupon or yield. |
1.000000
|
f. The principal amount, to the nearest cent. |
$21,808,900.00
|
g. Value of collateral, to the nearest cent. |
$30,062,028.12
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2025-10-15
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$82,564,000.00
|
g. Value of collateral, to the nearest cent. |
$92,663,887.48
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F2
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-2
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-2
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$900,000,000.00
|
b. Excluding the value of any sponsor support: |
$900,000,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.70%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Bank of Nova Scotia (The)
|
Item C.2 The title of the issue (including coupon, if applicable). |
Bank of Nova Scotia (The) 0.005
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
L3I9ZG2KFGXZ61BMYR72
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSZAA6
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-11-30
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$7,121,000.00
|
g. Value of collateral, to the nearest cent. |
$7,126,516.62
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2029-08-15
|
e. Coupon or yield. |
1.625000
|
f. The principal amount, to the nearest cent. |
$16,709,500.00
|
g. Value of collateral, to the nearest cent. |
$17,025,622.51
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2042-08-15
|
e. Coupon or yield. |
2.750000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$109.88
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2030-08-15
|
e. Coupon or yield. |
0.625000
|
f. The principal amount, to the nearest cent. |
$8,900.00
|
g. Value of collateral, to the nearest cent. |
$8,199.84
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2050-05-15
|
e. Coupon or yield. |
1.250000
|
f. The principal amount, to the nearest cent. |
$1,700.00
|
g. Value of collateral, to the nearest cent. |
$1,316.59
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2048-05-15
|
e. Coupon or yield. |
3.125000
|
f. The principal amount, to the nearest cent. |
$1,752,200.00
|
g. Value of collateral, to the nearest cent. |
$2,052,053.88
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2031-01-15
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$11,999,800.00
|
g. Value of collateral, to the nearest cent. |
$13,372,066.81
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2029-01-15
|
e. Coupon or yield. |
0.875000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$122.16
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2048-08-15
|
e. Coupon or yield. |
3.000000
|
f. The principal amount, to the nearest cent. |
$61,100.00
|
g. Value of collateral, to the nearest cent. |
$70,457.22
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2026-02-28
|
e. Coupon or yield. |
0.500000
|
f. The principal amount, to the nearest cent. |
$11,469,100.00
|
g. Value of collateral, to the nearest cent. |
$11,343,596.38
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1+
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$50,000,000.00
|
b. Excluding the value of any sponsor support: |
$50,000,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.04%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Federal Reserve Bank of New York
|
Item C.2 The title of the issue (including coupon, if applicable). |
Federal Reserve Bank of New York 0.000
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
254900Y8NKGV541U8Q32
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMTS8A4
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-08-31
|
e. Coupon or yield. |
1.250000
|
f. The principal amount, to the nearest cent. |
$770,593,900.00
|
g. Value of collateral, to the nearest cent. |
$794,715,876.23
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2023-10-15
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$1,581,999,100.00
|
g. Value of collateral, to the nearest cent. |
$1,579,447,110.68
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2023-08-31
|
e. Coupon or yield. |
2.750000
|
f. The principal amount, to the nearest cent. |
$1,192,800.00
|
g. Value of collateral, to the nearest cent. |
$1,269,641.15
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2029-02-15
|
e. Coupon or yield. |
2.625000
|
f. The principal amount, to the nearest cent. |
$115,189,000.00
|
g. Value of collateral, to the nearest cent. |
$126,583,082.22
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2029-05-15
|
e. Coupon or yield. |
2.375000
|
f. The principal amount, to the nearest cent. |
$1,711,800.00
|
g. Value of collateral, to the nearest cent. |
$1,837,478.63
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2027-08-15
|
e. Coupon or yield. |
2.250000
|
f. The principal amount, to the nearest cent. |
$296,306,000.00
|
g. Value of collateral, to the nearest cent. |
$318,635,554.68
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2027-08-31
|
e. Coupon or yield. |
0.500000
|
f. The principal amount, to the nearest cent. |
$2,006,455,200.00
|
g. Value of collateral, to the nearest cent. |
$1,933,097,671.24
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2030-02-15
|
e. Coupon or yield. |
1.500000
|
f. The principal amount, to the nearest cent. |
$1,053,391,800.00
|
g. Value of collateral, to the nearest cent. |
$1,057,590,113.39
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2025-01-31
|
e. Coupon or yield. |
1.375000
|
f. The principal amount, to the nearest cent. |
$1,647,951,000.00
|
g. Value of collateral, to the nearest cent. |
$1,708,635,247.78
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2026-10-31
|
e. Coupon or yield. |
1.625000
|
f. The principal amount, to the nearest cent. |
$2,603,741,300.00
|
g. Value of collateral, to the nearest cent. |
$2,703,481,289.70
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2025-09-30
|
e. Coupon or yield. |
3.000000
|
f. The principal amount, to the nearest cent. |
$51,391,200.00
|
g. Value of collateral, to the nearest cent. |
$56,810,612.66
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2043-08-15
|
e. Coupon or yield. |
3.625000
|
f. The principal amount, to the nearest cent. |
$401,312,500.00
|
g. Value of collateral, to the nearest cent. |
$504,710,299.79
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2023-08-15
|
e. Coupon or yield. |
2.500000
|
f. The principal amount, to the nearest cent. |
$1,396,852,900.00
|
g. Value of collateral, to the nearest cent. |
$1,478,281,320.78
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-09-30
|
e. Coupon or yield. |
2.125000
|
f. The principal amount, to the nearest cent. |
$1,699,799,800.00
|
g. Value of collateral, to the nearest cent. |
$1,803,058,365.13
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2023-09-15
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$2,635,102,400.00
|
g. Value of collateral, to the nearest cent. |
$2,631,846,358.63
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
NR
|
Name of NRSRO |
Moody's - BR
|
Rating |
NR
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.00%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$16,700,000,000.00
|
b. Excluding the value of any sponsor support: |
$16,700,000,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
13.00%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Goldman Sachs & Co. LLC
|
Item C.2 The title of the issue (including coupon, if applicable). |
Goldman Sachs & Co. LLC 0.010
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
FOR8UP27PHTHYVLBNG30
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSZAM0
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2049-02-15
|
e. Coupon or yield. |
3.000000
|
f. The principal amount, to the nearest cent. |
$30,180,000.00
|
g. Value of collateral, to the nearest cent. |
$34,872,538.47
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2021-06-03
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$95,421,800.00
|
g. Value of collateral, to the nearest cent. |
$95,421,800.00
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2041-08-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$832,300.00
|
g. Value of collateral, to the nearest cent. |
$528,014.45
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2050-11-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$62,655,000.00
|
g. Value of collateral, to the nearest cent. |
$31,241,036.10
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2040-05-15
|
e. Coupon or yield. |
4.375000
|
f. The principal amount, to the nearest cent. |
$759,979.00
|
g. Value of collateral, to the nearest cent. |
$1,033,637.19
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2028-08-15
|
e. Coupon or yield. |
5.500000
|
f. The principal amount, to the nearest cent. |
$31,305,200.00
|
g. Value of collateral, to the nearest cent. |
$40,902,974.79
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1
|
Name of NRSRO |
Moody's - BR
|
Rating |
NR
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$200,000,000.00
|
b. Excluding the value of any sponsor support: |
$200,000,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.16%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Bank of Montreal
|
Item C.2 The title of the issue (including coupon, if applicable). |
Bank of Montreal 0.005
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
NQQ6HPCNCCU6TUTQYE16
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSZAR9
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2046-02-15
|
e. Coupon or yield. |
2.500000
|
f. The principal amount, to the nearest cent. |
$2,700.00
|
g. Value of collateral, to the nearest cent. |
$2,827.63
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2029-02-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$1,907,208.78
|
g. Value of collateral, to the nearest cent. |
$1,695,472.37
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1+
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$1,665,000.00
|
b. Excluding the value of any sponsor support: |
$1,665,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.00%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
MUFG Securities Americas, Inc.
|
Item C.2 The title of the issue (including coupon, if applicable). |
MUFG Securities Americas, Inc. 0.005
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
K5HU16E3LMSVCCJJJ255
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSZ9Y6
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2030-07-15
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$22,027,300.00
|
g. Value of collateral, to the nearest cent. |
$25,075,052.09
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2029-02-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$6,214,922.39
|
g. Value of collateral, to the nearest cent. |
$5,524,947.92
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1
|
Name of NRSRO |
Moody's - BR
|
Rating |
NR
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$30,000,000.00
|
b. Excluding the value of any sponsor support: |
$30,000,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.02%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Fixed Income Clearing Corporation - SSB
|
Item C.2 The title of the issue (including coupon, if applicable). |
Fixed Income Clearing Corporation - SSB 0.010
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
549300H47WTHXPU08X20
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSWPP4
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
T Bond 2.875 05/15/2049
|
d. Maturity date. |
2021-06-01
|
e. Coupon or yield. |
0.010000
|
f. The principal amount, to the nearest cent. |
$431,078,800.00
|
g. Value of collateral, to the nearest cent. |
$484,862,618.06
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
T US GOV Bond 4.625 02/15/4
|
d. Maturity date. |
2021-06-01
|
e. Coupon or yield. |
0.010000
|
f. The principal amount, to the nearest cent. |
$596,925,300.00
|
g. Value of collateral, to the nearest cent. |
$834,902,703.20
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
TII Note 1.375 02/15/2044
|
d. Maturity date. |
2021-06-01
|
e. Coupon or yield. |
0.010000
|
f. The principal amount, to the nearest cent. |
$50,000,000.00
|
g. Value of collateral, to the nearest cent. |
$76,268,883.50
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
T US GOV Bond 4.375 05/15/4
|
d. Maturity date. |
2021-06-01
|
e. Coupon or yield. |
0.010000
|
f. The principal amount, to the nearest cent. |
$350,000,000.00
|
g. Value of collateral, to the nearest cent. |
$476,369,250.00
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
TII Note .75 02/15/2045
|
d. Maturity date. |
2021-06-01
|
e. Coupon or yield. |
0.010000
|
f. The principal amount, to the nearest cent. |
$125,000,000.00
|
g. Value of collateral, to the nearest cent. |
$167,596,650.00
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
NR
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$2,000,000,000.00
|
b. Excluding the value of any sponsor support: |
$2,000,000,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
1.56%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Citibank NA
|
Item C.2 The title of the issue (including coupon, if applicable). |
Citibank NA 0.005
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
E57ODZWZ7FF32TWEFA76
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSZAE8
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
7 1/4 BOND 22
|
d. Maturity date. |
2022-08-15
|
e. Coupon or yield. |
7.250000
|
f. The principal amount, to the nearest cent. |
$4,200.00
|
g. Value of collateral, to the nearest cent. |
$4,651.83
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
3 5/8 TRIB 28
|
d. Maturity date. |
2028-04-15
|
e. Coupon or yield. |
3.625000
|
f. The principal amount, to the nearest cent. |
$1,930,900.00
|
g. Value of collateral, to the nearest cent. |
$4,306,285.63
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
3 7/8 TRIB 29
|
d. Maturity date. |
2029-04-15
|
e. Coupon or yield. |
3.875000
|
f. The principal amount, to the nearest cent. |
$3,168,000.00
|
g. Value of collateral, to the nearest cent. |
$7,232,545.73
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
1 TRIB 48
|
d. Maturity date. |
2048-02-15
|
e. Coupon or yield. |
1.000000
|
f. The principal amount, to the nearest cent. |
$599,900.00
|
g. Value of collateral, to the nearest cent. |
$826,919.77
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
1 1/8 BOND 40
|
d. Maturity date. |
2040-05-15
|
e. Coupon or yield. |
1.125000
|
f. The principal amount, to the nearest cent. |
$3,200.00
|
g. Value of collateral, to the nearest cent. |
$2,668.28
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 5/8 NOTE G 26
|
d. Maturity date. |
2026-01-31
|
e. Coupon or yield. |
2.625000
|
f. The principal amount, to the nearest cent. |
$400.00
|
g. Value of collateral, to the nearest cent. |
$438.21
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 3/8 NOTE K 26
|
d. Maturity date. |
2026-04-30
|
e. Coupon or yield. |
2.375000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$107.83
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 1/8 NOTE Q 21
|
d. Maturity date. |
2021-09-30
|
e. Coupon or yield. |
2.125000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$101.05
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 3/8 TRIN D 25
|
d. Maturity date. |
2025-07-15
|
e. Coupon or yield. |
0.375000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$124.10
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
1 7/8 NOTE N 26
|
d. Maturity date. |
2026-07-31
|
e. Coupon or yield. |
1.875000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$105.77
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
1 5/8 NOTE S 26
|
d. Maturity date. |
2026-11-30
|
e. Coupon or yield. |
1.625000
|
f. The principal amount, to the nearest cent. |
$300.00
|
g. Value of collateral, to the nearest cent. |
$313.50
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 3/8 NOTE AM 24
|
d. Maturity date. |
2024-04-15
|
e. Coupon or yield. |
0.375000
|
f. The principal amount, to the nearest cent. |
$600.00
|
g. Value of collateral, to the nearest cent. |
$601.76
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
BILL 10/07/21
|
d. Maturity date. |
2021-10-07
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$99.99
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
BILL 06/29/21
|
d. Maturity date. |
2021-06-29
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$206,100.00
|
g. Value of collateral, to the nearest cent. |
$206,098.56
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
4 3/8 BOND 41
|
d. Maturity date. |
2041-05-15
|
e. Coupon or yield. |
4.375000
|
f. The principal amount, to the nearest cent. |
$700.00
|
g. Value of collateral, to the nearest cent. |
$956.28
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
3 3/8 BOND 44
|
d. Maturity date. |
2044-05-15
|
e. Coupon or yield. |
3.375000
|
f. The principal amount, to the nearest cent. |
$42,800.00
|
g. Value of collateral, to the nearest cent. |
$51,616.43
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 1/4 BOND 46
|
d. Maturity date. |
2046-08-15
|
e. Coupon or yield. |
2.250000
|
f. The principal amount, to the nearest cent. |
$900.00
|
g. Value of collateral, to the nearest cent. |
$898.08
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 1/2 NOTE G 25
|
d. Maturity date. |
2025-01-31
|
e. Coupon or yield. |
2.500000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$108.18
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 5/8 NOTE J 25
|
d. Maturity date. |
2025-03-31
|
e. Coupon or yield. |
2.625000
|
f. The principal amount, to the nearest cent. |
$400.00
|
g. Value of collateral, to the nearest cent. |
$433.63
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 3/4 NOTE AR 21
|
d. Maturity date. |
2021-09-15
|
e. Coupon or yield. |
2.750000
|
f. The principal amount, to the nearest cent. |
$13,802,000.00
|
g. Value of collateral, to the nearest cent. |
$13,990,257.78
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 1/8 NOTE S 23
|
d. Maturity date. |
2023-11-30
|
e. Coupon or yield. |
2.125000
|
f. The principal amount, to the nearest cent. |
$8,416,500.00
|
g. Value of collateral, to the nearest cent. |
$8,905,918.32
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 NOTE K 24
|
d. Maturity date. |
2024-04-30
|
e. Coupon or yield. |
2.000000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$105.11
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 1/4 NOTE AB 25
|
d. Maturity date. |
2025-07-31
|
e. Coupon or yield. |
0.250000
|
f. The principal amount, to the nearest cent. |
$7,050,000.00
|
g. Value of collateral, to the nearest cent. |
$6,950,510.48
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 1/4 NOTE AC 25
|
d. Maturity date. |
2025-08-31
|
e. Coupon or yield. |
0.250000
|
f. The principal amount, to the nearest cent. |
$1,459,100.00
|
g. Value of collateral, to the nearest cent. |
$1,435,877.87
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 3/8 NOTE AG 25
|
d. Maturity date. |
2025-11-30
|
e. Coupon or yield. |
0.375000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$98.74
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
BILL 07/15/21
|
d. Maturity date. |
2021-07-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$100.00
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
BILL 11/04/21
|
d. Maturity date. |
2021-11-04
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$10,390,400.00
|
g. Value of collateral, to the nearest cent. |
$10,389,309.01
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
BILL 05/19/22
|
d. Maturity date. |
2022-05-19
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$7,168,400.00
|
g. Value of collateral, to the nearest cent. |
$7,165,532.64
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
6 7/8 BOND 25
|
d. Maturity date. |
2025-08-15
|
e. Coupon or yield. |
6.875000
|
f. The principal amount, to the nearest cent. |
$300.00
|
g. Value of collateral, to the nearest cent. |
$383.92
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
3 3/8 TRIB 32
|
d. Maturity date. |
2032-04-15
|
e. Coupon or yield. |
3.375000
|
f. The principal amount, to the nearest cent. |
$2,000.00
|
g. Value of collateral, to the nearest cent. |
$4,414.28
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
4 3/8 BOND 40
|
d. Maturity date. |
2040-05-15
|
e. Coupon or yield. |
4.375000
|
f. The principal amount, to the nearest cent. |
$22.00
|
g. Value of collateral, to the nearest cent. |
$29.92
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
3 1/8 BOND 42
|
d. Maturity date. |
2042-02-15
|
e. Coupon or yield. |
3.125000
|
f. The principal amount, to the nearest cent. |
$1,000.00
|
g. Value of collateral, to the nearest cent. |
$1,165.98
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 1/2 BOND 45
|
d. Maturity date. |
2045-02-15
|
e. Coupon or yield. |
2.500000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$104.85
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 7/8 BOND 46
|
d. Maturity date. |
2046-11-15
|
e. Coupon or yield. |
2.875000
|
f. The principal amount, to the nearest cent. |
$4,695,000.00
|
g. Value of collateral, to the nearest cent. |
$5,239,242.64
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
1 7/8 NOTE AB 22
|
d. Maturity date. |
2022-07-31
|
e. Coupon or yield. |
1.875000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$102.70
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 1/4 NOTE R 24
|
d. Maturity date. |
2024-10-31
|
e. Coupon or yield. |
2.250000
|
f. The principal amount, to the nearest cent. |
$300.00
|
g. Value of collateral, to the nearest cent. |
$319.15
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 3/4 NOTE H 25
|
d. Maturity date. |
2025-02-28
|
e. Coupon or yield. |
2.750000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$109.05
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 5/8 TRIN X 23
|
d. Maturity date. |
2023-04-15
|
e. Coupon or yield. |
0.625000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$113.49
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 7/8 NOTE AD 23
|
d. Maturity date. |
2023-09-30
|
e. Coupon or yield. |
2.875000
|
f. The principal amount, to the nearest cent. |
$448,300.00
|
g. Value of collateral, to the nearest cent. |
$478,415.01
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 5/8 NOTE B 29
|
d. Maturity date. |
2029-02-15
|
e. Coupon or yield. |
2.625000
|
f. The principal amount, to the nearest cent. |
$1,400.00
|
g. Value of collateral, to the nearest cent. |
$1,538.48
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
1 1/2 NOTE H 23
|
d. Maturity date. |
2023-02-28
|
e. Coupon or yield. |
1.500000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$102.75
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 NOTE B 22
|
d. Maturity date. |
2022-02-15
|
e. Coupon or yield. |
2.000000
|
f. The principal amount, to the nearest cent. |
$11,577,700.00
|
g. Value of collateral, to the nearest cent. |
$11,804,800.74
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 NOTE AG 21
|
d. Maturity date. |
2021-12-31
|
e. Coupon or yield. |
2.000000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$101.97
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 1/8 NOTE C 25
|
d. Maturity date. |
2025-05-15
|
e. Coupon or yield. |
2.125000
|
f. The principal amount, to the nearest cent. |
$4,054,800.00
|
g. Value of collateral, to the nearest cent. |
$4,307,943.92
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 5/8 NOTE AP 21
|
d. Maturity date. |
2021-07-15
|
e. Coupon or yield. |
2.625000
|
f. The principal amount, to the nearest cent. |
$800.00
|
g. Value of collateral, to the nearest cent. |
$810.48
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 1/8 TRIN X 25
|
d. Maturity date. |
2025-04-15
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$111.73
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 5/8 NOTE C 30
|
d. Maturity date. |
2030-05-15
|
e. Coupon or yield. |
0.625000
|
f. The principal amount, to the nearest cent. |
$124,400.00
|
g. Value of collateral, to the nearest cent. |
$114,883.49
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 3/8 NOTE N 27
|
d. Maturity date. |
2027-07-31
|
e. Coupon or yield. |
0.375000
|
f. The principal amount, to the nearest cent. |
$200.00
|
g. Value of collateral, to the nearest cent. |
$191.52
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 1/4 NOTE AD 25
|
d. Maturity date. |
2025-09-30
|
e. Coupon or yield. |
0.250000
|
f. The principal amount, to the nearest cent. |
$300.00
|
g. Value of collateral, to the nearest cent. |
$294.90
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 1/8 NOTE AJ 24
|
d. Maturity date. |
2024-01-15
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$200.00
|
g. Value of collateral, to the nearest cent. |
$199.49
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
5 1/2 BOND 28
|
d. Maturity date. |
2028-08-15
|
e. Coupon or yield. |
5.500000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$130.66
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
6 1/4 BOND 30
|
d. Maturity date. |
2030-05-15
|
e. Coupon or yield. |
6.250000
|
f. The principal amount, to the nearest cent. |
$500.00
|
g. Value of collateral, to the nearest cent. |
$702.23
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
4 3/4 BOND 37
|
d. Maturity date. |
2037-02-15
|
e. Coupon or yield. |
4.750000
|
f. The principal amount, to the nearest cent. |
$2,400.00
|
g. Value of collateral, to the nearest cent. |
$3,354.22
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 7/8 BOND 49
|
d. Maturity date. |
2049-05-15
|
e. Coupon or yield. |
2.875000
|
f. The principal amount, to the nearest cent. |
$18,000.00
|
g. Value of collateral, to the nearest cent. |
$20,206.47
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
1 1/8 NOTE AC 21
|
d. Maturity date. |
2021-08-31
|
e. Coupon or yield. |
1.125000
|
f. The principal amount, to the nearest cent. |
$200.00
|
g. Value of collateral, to the nearest cent. |
$201.11
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 1/8 NOTE Q 24
|
d. Maturity date. |
2024-09-30
|
e. Coupon or yield. |
2.125000
|
f. The principal amount, to the nearest cent. |
$1,400.00
|
g. Value of collateral, to the nearest cent. |
$1,485.05
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
1 7/8 NOTE M 26
|
d. Maturity date. |
2026-06-30
|
e. Coupon or yield. |
1.875000
|
f. The principal amount, to the nearest cent. |
$1,000.00
|
g. Value of collateral, to the nearest cent. |
$1,059.35
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
1 7/8 NOTE S 21
|
d. Maturity date. |
2021-11-30
|
e. Coupon or yield. |
1.875000
|
f. The principal amount, to the nearest cent. |
$200.00
|
g. Value of collateral, to the nearest cent. |
$203.70
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
1 1/4 NOTE AC 24
|
d. Maturity date. |
2024-08-31
|
e. Coupon or yield. |
1.250000
|
f. The principal amount, to the nearest cent. |
$400.00
|
g. Value of collateral, to the nearest cent. |
$412.52
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
1 1/2 NOTE G 27
|
d. Maturity date. |
2027-01-31
|
e. Coupon or yield. |
1.500000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$103.38
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
BILL 09/09/21
|
d. Maturity date. |
2021-09-09
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$800.00
|
g. Value of collateral, to the nearest cent. |
$799.96
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
BILL 06/08/21
|
d. Maturity date. |
2021-06-08
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$400.00
|
g. Value of collateral, to the nearest cent. |
$400.00
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
4 3/4 BOND 41
|
d. Maturity date. |
2041-02-15
|
e. Coupon or yield. |
4.750000
|
f. The principal amount, to the nearest cent. |
$900.00
|
g. Value of collateral, to the nearest cent. |
$1,295.12
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
1 3/8 TRIB 44
|
d. Maturity date. |
2044-02-15
|
e. Coupon or yield. |
1.375000
|
f. The principal amount, to the nearest cent. |
$4,167,100.00
|
g. Value of collateral, to the nearest cent. |
$6,357,576.90
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 1/4 NOTE T 24
|
d. Maturity date. |
2024-12-31
|
e. Coupon or yield. |
2.250000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$107.30
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 1/2 NOTE W 23
|
d. Maturity date. |
2023-03-31
|
e. Coupon or yield. |
2.500000
|
f. The principal amount, to the nearest cent. |
$919,900.00
|
g. Value of collateral, to the nearest cent. |
$963,219.70
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
1 5/8 NOTE K 23
|
d. Maturity date. |
2023-04-30
|
e. Coupon or yield. |
1.625000
|
f. The principal amount, to the nearest cent. |
$300.00
|
g. Value of collateral, to the nearest cent. |
$308.88
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
1 3/8 NOTE Q 23
|
d. Maturity date. |
2023-09-30
|
e. Coupon or yield. |
1.375000
|
f. The principal amount, to the nearest cent. |
$200.00
|
g. Value of collateral, to the nearest cent. |
$205.94
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 NOTE B 23
|
d. Maturity date. |
2023-02-15
|
e. Coupon or yield. |
2.000000
|
f. The principal amount, to the nearest cent. |
$1,200.00
|
g. Value of collateral, to the nearest cent. |
$1,244.92
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 3/8 NOTE Y 25
|
d. Maturity date. |
2025-04-30
|
e. Coupon or yield. |
0.375000
|
f. The principal amount, to the nearest cent. |
$800.00
|
g. Value of collateral, to the nearest cent. |
$794.85
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 1/8 NOTE AP 23
|
d. Maturity date. |
2023-07-15
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$300.00
|
g. Value of collateral, to the nearest cent. |
$299.86
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 5/8 NOTE E 30
|
d. Maturity date. |
2030-08-15
|
e. Coupon or yield. |
0.625000
|
f. The principal amount, to the nearest cent. |
$700.00
|
g. Value of collateral, to the nearest cent. |
$644.93
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
8 BOND 21
|
d. Maturity date. |
2021-11-15
|
e. Coupon or yield. |
8.000000
|
f. The principal amount, to the nearest cent. |
$600.00
|
g. Value of collateral, to the nearest cent. |
$623.89
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
6 1/2 BOND 26
|
d. Maturity date. |
2026-11-15
|
e. Coupon or yield. |
6.500000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$129.99
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
5 1/4 BOND 28
|
d. Maturity date. |
2028-11-15
|
e. Coupon or yield. |
5.250000
|
f. The principal amount, to the nearest cent. |
$6,889,300.00
|
g. Value of collateral, to the nearest cent. |
$8,831,081.03
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
1 TRIB 46
|
d. Maturity date. |
2046-02-15
|
e. Coupon or yield. |
1.000000
|
f. The principal amount, to the nearest cent. |
$690,000.00
|
g. Value of collateral, to the nearest cent. |
$974,046.72
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
3 BOND 47
|
d. Maturity date. |
2047-02-15
|
e. Coupon or yield. |
3.000000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$114.98
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 1/4 BOND 49
|
d. Maturity date. |
2049-08-15
|
e. Coupon or yield. |
2.250000
|
f. The principal amount, to the nearest cent. |
$400.00
|
g. Value of collateral, to the nearest cent. |
$398.16
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 3/4 NOTE P 25
|
d. Maturity date. |
2025-08-31
|
e. Coupon or yield. |
2.750000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$109.57
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 7/8 NOTE S 25
|
d. Maturity date. |
2025-11-30
|
e. Coupon or yield. |
2.875000
|
f. The principal amount, to the nearest cent. |
$2,000.00
|
g. Value of collateral, to the nearest cent. |
$2,222.10
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 1/2 TRIN X 24
|
d. Maturity date. |
2024-04-15
|
e. Coupon or yield. |
0.500000
|
f. The principal amount, to the nearest cent. |
$800.00
|
g. Value of collateral, to the nearest cent. |
$913.36
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 1/8 NOTE M 22
|
d. Maturity date. |
2022-06-30
|
e. Coupon or yield. |
2.125000
|
f. The principal amount, to the nearest cent. |
$972,400.00
|
g. Value of collateral, to the nearest cent. |
$1,002,347.82
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
1 3/4 NOTE AB 24
|
d. Maturity date. |
2024-07-31
|
e. Coupon or yield. |
1.750000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$104.99
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 1/2 NOTE R 27
|
d. Maturity date. |
2027-10-31
|
e. Coupon or yield. |
0.500000
|
f. The principal amount, to the nearest cent. |
$1,400.00
|
g. Value of collateral, to the nearest cent. |
$1,343.06
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 3/8 NOTE U 26
|
d. Maturity date. |
2026-01-31
|
e. Coupon or yield. |
0.375000
|
f. The principal amount, to the nearest cent. |
$1,200.00
|
g. Value of collateral, to the nearest cent. |
$1,181.02
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
BILL 06/17/21
|
d. Maturity date. |
2021-06-17
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$2,500.00
|
g. Value of collateral, to the nearest cent. |
$2,499.99
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
5 3/8 BOND 31
|
d. Maturity date. |
2031-02-15
|
e. Coupon or yield. |
5.375000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$136.08
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
1 3/4 TRIB 28
|
d. Maturity date. |
2028-01-15
|
e. Coupon or yield. |
1.750000
|
f. The principal amount, to the nearest cent. |
$1,100.00
|
g. Value of collateral, to the nearest cent. |
$1,701.07
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 1/8 NOTE N 24
|
d. Maturity date. |
2024-07-31
|
e. Coupon or yield. |
2.125000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$106.27
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 NOTE AE 22
|
d. Maturity date. |
2022-10-31
|
e. Coupon or yield. |
2.000000
|
f. The principal amount, to the nearest cent. |
$200.00
|
g. Value of collateral, to the nearest cent. |
$205.65
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 5/8 TRIN A 24
|
d. Maturity date. |
2024-01-15
|
e. Coupon or yield. |
0.625000
|
f. The principal amount, to the nearest cent. |
$2,000.00
|
g. Value of collateral, to the nearest cent. |
$2,469.81
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
1 3/4 NOTE G 23
|
d. Maturity date. |
2023-01-31
|
e. Coupon or yield. |
1.750000
|
f. The principal amount, to the nearest cent. |
$381,500.00
|
g. Value of collateral, to the nearest cent. |
$393,969.74
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
1 1/8 NOTE AA 21
|
d. Maturity date. |
2021-06-30
|
e. Coupon or yield. |
1.125000
|
f. The principal amount, to the nearest cent. |
$600.00
|
g. Value of collateral, to the nearest cent. |
$603.36
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
1 3/4 NOTE F 29
|
d. Maturity date. |
2029-11-15
|
e. Coupon or yield. |
1.750000
|
f. The principal amount, to the nearest cent. |
$500.00
|
g. Value of collateral, to the nearest cent. |
$511.99
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 1/2 NOTE W 25
|
d. Maturity date. |
2025-03-31
|
e. Coupon or yield. |
0.500000
|
f. The principal amount, to the nearest cent. |
$200.00
|
g. Value of collateral, to the nearest cent. |
$199.94
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 1/8 NOTE AZ 22
|
d. Maturity date. |
2022-04-30
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$100.06
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$100,000,000.00
|
b. Excluding the value of any sponsor support: |
$100,000,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.08%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Fixed Income Clearing Corporation - BNYM
|
Item C.2 The title of the issue (including coupon, if applicable). |
Fixed Income Clearing Corporation - BNYM 0.010
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
549300H47WTHXPU08X20
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMSWL94
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
0 1/4 NOTE AT 23
|
d. Maturity date. |
2023-11-15
|
e. Coupon or yield. |
0.250000
|
f. The principal amount, to the nearest cent. |
$121,824,300.00
|
g. Value of collateral, to the nearest cent. |
$121,967,847.43
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 1/4 TRIN A 25
|
d. Maturity date. |
2025-01-15
|
e. Coupon or yield. |
0.250000
|
f. The principal amount, to the nearest cent. |
$384,000,000.00
|
g. Value of collateral, to the nearest cent. |
$469,351,758.31
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
1 7/8 BOND 41
|
d. Maturity date. |
2041-02-15
|
e. Coupon or yield. |
1.875000
|
f. The principal amount, to the nearest cent. |
$450,000,000.00
|
g. Value of collateral, to the nearest cent. |
$428,680,417.13
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
NR
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$1,000,000,000.00
|
b. Excluding the value of any sponsor support: |
$1,000,000,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.78%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
ING Financial Markets LLC
|
Item C.2 The title of the issue (including coupon, if applicable). |
ING Financial Markets LLC 0.010
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
KBVRJ5K57JZ3E2AVWX40
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMN6RX7
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
1 3/8 TRIB 44
|
d. Maturity date. |
2044-02-15
|
e. Coupon or yield. |
1.375000
|
f. The principal amount, to the nearest cent. |
$30,887,000.00
|
g. Value of collateral, to the nearest cent. |
$47,123,053.87
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 1/8 TRIB 51
|
d. Maturity date. |
2051-02-15
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$17,817,400.00
|
g. Value of collateral, to the nearest cent. |
$18,933,905.89
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 1/2 NOTE C 24
|
d. Maturity date. |
2024-05-15
|
e. Coupon or yield. |
2.500000
|
f. The principal amount, to the nearest cent. |
$2,866,900.00
|
g. Value of collateral, to the nearest cent. |
$3,055,895.08
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
1 1/8 NOTE AX 22
|
d. Maturity date. |
2022-02-28
|
e. Coupon or yield. |
1.125000
|
f. The principal amount, to the nearest cent. |
$2,383,800.00
|
g. Value of collateral, to the nearest cent. |
$2,409,649.42
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 1/8 NOTE AY 23
|
d. Maturity date. |
2023-03-31
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$458,400.00
|
g. Value of collateral, to the nearest cent. |
$458,330.36
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
4 3/8 BOND 40
|
d. Maturity date. |
2040-05-15
|
e. Coupon or yield. |
4.375000
|
f. The principal amount, to the nearest cent. |
$209,641.00
|
g. Value of collateral, to the nearest cent. |
$285,129.90
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 1/2 TRIN A 28
|
d. Maturity date. |
2028-01-15
|
e. Coupon or yield. |
0.500000
|
f. The principal amount, to the nearest cent. |
$498,800.00
|
g. Value of collateral, to the nearest cent. |
$605,119.66
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 3/8 TRIN D 25
|
d. Maturity date. |
2025-07-15
|
e. Coupon or yield. |
0.375000
|
f. The principal amount, to the nearest cent. |
$15,245,000.00
|
g. Value of collateral, to the nearest cent. |
$18,918,885.93
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
BILL 10/07/21
|
d. Maturity date. |
2021-10-07
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$6,800.00
|
g. Value of collateral, to the nearest cent. |
$6,799.38
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 1/8 TRIB 41
|
d. Maturity date. |
2041-02-15
|
e. Coupon or yield. |
2.125000
|
f. The principal amount, to the nearest cent. |
$200.00
|
g. Value of collateral, to the nearest cent. |
$359.16
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 1/4 TRIB 50
|
d. Maturity date. |
2050-02-15
|
e. Coupon or yield. |
0.250000
|
f. The principal amount, to the nearest cent. |
$7,906,600.00
|
g. Value of collateral, to the nearest cent. |
$8,802,054.52
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
3 3/4 BOND 41
|
d. Maturity date. |
2041-08-15
|
e. Coupon or yield. |
3.750000
|
f. The principal amount, to the nearest cent. |
$39,800.00
|
g. Value of collateral, to the nearest cent. |
$50,603.20
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
1 3/8 BOND 40
|
d. Maturity date. |
2040-11-15
|
e. Coupon or yield. |
1.375000
|
f. The principal amount, to the nearest cent. |
$377,400.00
|
g. Value of collateral, to the nearest cent. |
$327,572.15
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 3/4 NOTE B 24
|
d. Maturity date. |
2024-02-15
|
e. Coupon or yield. |
2.750000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$107.54
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
2 3/4 NOTE AB 23
|
d. Maturity date. |
2023-07-31
|
e. Coupon or yield. |
2.750000
|
f. The principal amount, to the nearest cent. |
$960,000.00
|
g. Value of collateral, to the nearest cent. |
$1,022,273.40
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
1 1/8 NOTE B 31
|
d. Maturity date. |
2031-02-15
|
e. Coupon or yield. |
1.125000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$96.02
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
BILL 05/19/22
|
d. Maturity date. |
2022-05-19
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$99.96
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
0 1/4 NOTE AF 25
|
d. Maturity date. |
2025-10-31
|
e. Coupon or yield. |
0.250000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$98.13
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
NR
|
Name of NRSRO |
Moody's - BR
|
Rating |
NR
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-02
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-02
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-02
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$100,000,000.00
|
b. Excluding the value of any sponsor support: |
$100,000,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.08%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
BNP Paribas SA
|
Item C.2 The title of the issue (including coupon, if applicable). |
BNP Paribas SA 0.010
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
R0MUWSFPU8MPRO8K5P83
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWML6U31
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2023-01-31
|
e. Coupon or yield. |
0.064000
|
f. The principal amount, to the nearest cent. |
$200.00
|
g. Value of collateral, to the nearest cent. |
$200.08
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-03-31
|
e. Coupon or yield. |
1.875000
|
f. The principal amount, to the nearest cent. |
$350,000.00
|
g. Value of collateral, to the nearest cent. |
$356,398.46
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2048-02-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$7,023,666.41
|
g. Value of collateral, to the nearest cent. |
$3,655,713.01
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-06-15
|
e. Coupon or yield. |
1.750000
|
f. The principal amount, to the nearest cent. |
$33,600.00
|
g. Value of collateral, to the nearest cent. |
$34,452.92
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2025-11-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$243,661.71
|
g. Value of collateral, to the nearest cent. |
$235,335.79
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2039-11-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$69,701,600.00
|
g. Value of collateral, to the nearest cent. |
$46,717,915.61
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$50,000,000.00
|
b. Excluding the value of any sponsor support: |
$50,000,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.04%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
BNP Paribas SA
|
Item C.2 The title of the issue (including coupon, if applicable). |
BNP Paribas SA 0.010
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
R0MUWSFPU8MPRO8K5P83
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRWMJNJ63
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2031-02-15
|
e. Coupon or yield. |
5.375000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$136.08
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-11-30
|
e. Coupon or yield. |
2.125000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$106.91
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2023-05-15
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$99.95
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-08-31
|
e. Coupon or yield. |
1.875000
|
f. The principal amount, to the nearest cent. |
$1,000.00
|
g. Value of collateral, to the nearest cent. |
$1,052.93
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2031-01-15
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$420,000.00
|
g. Value of collateral, to the nearest cent. |
$468,030.13
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2027-08-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$5,679,000.00
|
g. Value of collateral, to the nearest cent. |
$5,259,009.55
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2026-06-30
|
e. Coupon or yield. |
1.875000
|
f. The principal amount, to the nearest cent. |
$20,799,900.00
|
g. Value of collateral, to the nearest cent. |
$22,034,285.58
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-11-15
|
e. Coupon or yield. |
1.625000
|
f. The principal amount, to the nearest cent. |
$45,775,000.00
|
g. Value of collateral, to the nearest cent. |
$46,809,700.34
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2028-07-15
|
e. Coupon or yield. |
0.750000
|
f. The principal amount, to the nearest cent. |
$95,810,000.00
|
g. Value of collateral, to the nearest cent. |
$116,808,646.75
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-08-15
|
e. Coupon or yield. |
1.500000
|
f. The principal amount, to the nearest cent. |
$500.00
|
g. Value of collateral, to the nearest cent. |
$510.65
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2027-11-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$9,000.00
|
g. Value of collateral, to the nearest cent. |
$8,330.15
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2028-01-15
|
e. Coupon or yield. |
0.500000
|
f. The principal amount, to the nearest cent. |
$100,000.00
|
g. Value of collateral, to the nearest cent. |
$121,315.09
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2047-02-15
|
e. Coupon or yield. |
3.000000
|
f. The principal amount, to the nearest cent. |
$155,282,000.00
|
g. Value of collateral, to the nearest cent. |
$178,543,715.45
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-08-31
|
e. Coupon or yield. |
1.625000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$102.30
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-10-15
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$112.26
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2048-02-15
|
e. Coupon or yield. |
3.000000
|
f. The principal amount, to the nearest cent. |
$9,869,500.00
|
g. Value of collateral, to the nearest cent. |
$11,365,854.76
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2023-07-15
|
e. Coupon or yield. |
0.375000
|
f. The principal amount, to the nearest cent. |
$40,352,600.00
|
g. Value of collateral, to the nearest cent. |
$49,219,357.10
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2030-01-15
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$61,289,700.00
|
g. Value of collateral, to the nearest cent. |
$69,270,066.38
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2021-08-15
|
e. Coupon or yield. |
8.125000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$104.06
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2026-11-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$348,000.00
|
g. Value of collateral, to the nearest cent. |
$328,508.52
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2045-08-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$3,665,900.00
|
g. Value of collateral, to the nearest cent. |
$2,073,762.97
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-04-30
|
e. Coupon or yield. |
0.129000
|
f. The principal amount, to the nearest cent. |
$200.00
|
g. Value of collateral, to the nearest cent. |
$200.21
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2030-02-15
|
e. Coupon or yield. |
1.500000
|
f. The principal amount, to the nearest cent. |
$1,000.00
|
g. Value of collateral, to the nearest cent. |
$1,003.99
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2030-05-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$49,000.00
|
g. Value of collateral, to the nearest cent. |
$42,007.75
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2027-07-15
|
e. Coupon or yield. |
0.375000
|
f. The principal amount, to the nearest cent. |
$55,650,000.00
|
g. Value of collateral, to the nearest cent. |
$67,800,231.65
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2025-08-31
|
e. Coupon or yield. |
2.750000
|
f. The principal amount, to the nearest cent. |
$122,097,100.00
|
g. Value of collateral, to the nearest cent. |
$133,783,112.98
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2027-05-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$49,000.00
|
g. Value of collateral, to the nearest cent. |
$45,685.05
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2025-11-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$288,000.00
|
g. Value of collateral, to the nearest cent. |
$278,159.04
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2029-01-15
|
e. Coupon or yield. |
0.875000
|
f. The principal amount, to the nearest cent. |
$2,400,000.00
|
g. Value of collateral, to the nearest cent. |
$2,931,703.40
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2021-10-07
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$99.99
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2039-11-15
|
e. Coupon or yield. |
4.375000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$135.45
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2026-05-15
|
e. Coupon or yield. |
1.625000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$104.03
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-07-31
|
e. Coupon or yield. |
2.000000
|
f. The principal amount, to the nearest cent. |
$8,604,200.00
|
g. Value of collateral, to the nearest cent. |
$8,852,724.47
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2048-02-15
|
e. Coupon or yield. |
1.000000
|
f. The principal amount, to the nearest cent. |
$35,512,900.00
|
g. Value of collateral, to the nearest cent. |
$48,952,024.09
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$750,000,000.00
|
b. Excluding the value of any sponsor support: |
$750,000,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.58%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
U.S. Treasury Notes
|
Item C.2 The title of the issue (including coupon, if applicable). |
U.S. Treasury Notes 2.000
|
Item C.3 The CUSIP. |
912828RR3
|
Item C.4 The LEI (if available). (See General Instruction E.) |
254900HROIFWPRGM1V77
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; |
US912828RR30
|
b. The CIK; or | |
c. Other unique identifier. | |
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
Govt
|
Name of NRSRO |
Moody's - BR
|
Rating |
Govt
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
AA+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-11-15
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-11-15
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-11-15
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.11%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$40,300,760.16
|
b. Excluding the value of any sponsor support: |
$40,300,760.16
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.03%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
U.S. Treasury Notes
|
Item C.2 The title of the issue (including coupon, if applicable). |
U.S. Treasury Notes 2.000
|
Item C.3 The CUSIP. |
912828F96
|
Item C.4 The LEI (if available). (See General Instruction E.) |
254900HROIFWPRGM1V77
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; |
US912828F965
|
b. The CIK; or | |
c. Other unique identifier. | |
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
Govt
|
Name of NRSRO |
Moody's - BR
|
Rating |
Govt
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
AA+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-10-31
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-10-31
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-10-31
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.10%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$327,582,566.63
|
b. Excluding the value of any sponsor support: |
$327,582,566.63
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.25%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
U.S. Treasury Notes
|
Item C.2 The title of the issue (including coupon, if applicable). |
U.S. Treasury Notes 1.750
|
Item C.3 The CUSIP. |
912828J43
|
Item C.4 The LEI (if available). (See General Instruction E.) |
254900HROIFWPRGM1V77
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; |
US912828J439
|
b. The CIK; or | |
c. Other unique identifier. | |
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
Govt
|
Name of NRSRO |
Moody's - BR
|
Rating |
Govt
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
AA+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2022-02-28
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2022-02-28
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2022-02-28
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.08%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$28,916,399.22
|
b. Excluding the value of any sponsor support: |
$28,916,399.22
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.02%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
U.S. Treasury Notes
|
Item C.2 The title of the issue (including coupon, if applicable). |
U.S. Treasury Notes 1.750
|
Item C.3 The CUSIP. |
912828U65
|
Item C.4 The LEI (if available). (See General Instruction E.) |
254900HROIFWPRGM1V77
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; |
US912828U659
|
b. The CIK; or | |
c. Other unique identifier. | |
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
Govt
|
Name of NRSRO |
Moody's - BR
|
Rating |
Govt
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
AA+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-11-30
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-11-30
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-11-30
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.09%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$162,040,779.69
|
b. Excluding the value of any sponsor support: |
$162,040,779.69
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.13%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
JP Morgan Securities LLC
|
Item C.2 The title of the issue (including coupon, if applicable). |
JP Morgan Securities LLC 0.005
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
ZBUT11V806EZRVTWT807
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRSHJ5R10
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-05-15
|
e. Coupon or yield. |
2.125000
|
f. The principal amount, to the nearest cent. |
$249,914,400.00
|
g. Value of collateral, to the nearest cent. |
$255,000,327.82
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1+
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$250,000,000.00
|
b. Excluding the value of any sponsor support: |
$250,000,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.19%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
HSBC Securities USA, Inc.
|
Item C.2 The title of the issue (including coupon, if applicable). |
HSBC Securities USA, Inc. 0.005
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
CYYGQCGNHMHPSMRL3R97
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or |
0000853784
|
c. Other unique identifier. |
BRSM2LJW3
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2023-02-28
|
e. Coupon or yield. |
1.500000
|
f. The principal amount, to the nearest cent. |
$24,839,500.00
|
g. Value of collateral, to the nearest cent. |
$25,520,492.72
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2023-08-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$31,472,219.63
|
g. Value of collateral, to the nearest cent. |
$31,328,234.23
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2027-09-30
|
e. Coupon or yield. |
0.375000
|
f. The principal amount, to the nearest cent. |
$241,700.00
|
g. Value of collateral, to the nearest cent. |
$230,789.48
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2030-05-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$6,631,000.00
|
g. Value of collateral, to the nearest cent. |
$5,791,482.25
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2045-11-15
|
e. Coupon or yield. |
3.000000
|
f. The principal amount, to the nearest cent. |
$17,484,400.00
|
g. Value of collateral, to the nearest cent. |
$19,991,571.73
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2044-11-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$22,229,400.00
|
g. Value of collateral, to the nearest cent. |
$12,885,449.55
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2046-11-15
|
e. Coupon or yield. |
2.875000
|
f. The principal amount, to the nearest cent. |
$27,212,500.00
|
g. Value of collateral, to the nearest cent. |
$30,474,152.84
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2021-10-31
|
e. Coupon or yield. |
2.000000
|
f. The principal amount, to the nearest cent. |
$144,800.00
|
g. Value of collateral, to the nearest cent. |
$146,196.13
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2037-05-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$1,230,400.00
|
g. Value of collateral, to the nearest cent. |
$895,704.13
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2047-05-15
|
e. Coupon or yield. |
3.000000
|
f. The principal amount, to the nearest cent. |
$10,983,200.00
|
g. Value of collateral, to the nearest cent. |
$12,598,617.65
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2023-12-31
|
e. Coupon or yield. |
2.625000
|
f. The principal amount, to the nearest cent. |
$20,038,000.00
|
g. Value of collateral, to the nearest cent. |
$21,490,415.24
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2043-02-15
|
e. Coupon or yield. |
3.125000
|
f. The principal amount, to the nearest cent. |
$53,500,900.00
|
g. Value of collateral, to the nearest cent. |
$62,511,374.38
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2028-08-15
|
e. Coupon or yield. |
2.875000
|
f. The principal amount, to the nearest cent. |
$23,699,500.00
|
g. Value of collateral, to the nearest cent. |
$26,496,487.23
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2025-09-30
|
e. Coupon or yield. |
3.000000
|
f. The principal amount, to the nearest cent. |
$28,684,600.00
|
g. Value of collateral, to the nearest cent. |
$31,721,642.22
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2041-05-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$432,500.00
|
g. Value of collateral, to the nearest cent. |
$277,971.64
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2025-08-31
|
e. Coupon or yield. |
0.250000
|
f. The principal amount, to the nearest cent. |
$8,771,100.00
|
g. Value of collateral, to the nearest cent. |
$8,636,162.06
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2048-11-15
|
e. Coupon or yield. |
3.375000
|
f. The principal amount, to the nearest cent. |
$19,551,900.00
|
g. Value of collateral, to the nearest cent. |
$24,068,569.86
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-08-31
|
e. Coupon or yield. |
1.250000
|
f. The principal amount, to the nearest cent. |
$21,100.00
|
g. Value of collateral, to the nearest cent. |
$21,762.86
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2029-08-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$52,903,400.00
|
g. Value of collateral, to the nearest cent. |
$47,012,923.83
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
NR
|
Name of NRSRO |
Moody's - BR
|
Rating |
NR
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$355,000,000.00
|
b. Excluding the value of any sponsor support: |
$355,000,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.28%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
Natixis SA
|
Item C.2 The title of the issue (including coupon, if applicable). |
Natixis SA 0.005
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
KX1WK48MPD4Y2NCUIZ63
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRTAJB2S9
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2050-08-15
|
e. Coupon or yield. |
1.375000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$80.37
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2023-07-31
|
e. Coupon or yield. |
2.750000
|
f. The principal amount, to the nearest cent. |
$24,999,900.00
|
g. Value of collateral, to the nearest cent. |
$26,621,596.55
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-09-30
|
e. Coupon or yield. |
2.125000
|
f. The principal amount, to the nearest cent. |
$600.00
|
g. Value of collateral, to the nearest cent. |
$636.45
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2031-05-15
|
e. Coupon or yield. |
1.625000
|
f. The principal amount, to the nearest cent. |
$113,998,400.00
|
g. Value of collateral, to the nearest cent. |
$114,219,904.47
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2039-02-15
|
e. Coupon or yield. |
3.500000
|
f. The principal amount, to the nearest cent. |
$921,000.00
|
g. Value of collateral, to the nearest cent. |
$1,128,057.27
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-12-31
|
e. Coupon or yield. |
1.750000
|
f. The principal amount, to the nearest cent. |
$15,998,800.00
|
g. Value of collateral, to the nearest cent. |
$16,844,411.71
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2023-03-31
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$400.00
|
g. Value of collateral, to the nearest cent. |
$399.94
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2021-09-09
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$800.00
|
g. Value of collateral, to the nearest cent. |
$799.96
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2043-02-15
|
e. Coupon or yield. |
3.125000
|
f. The principal amount, to the nearest cent. |
$42,714,700.00
|
g. Value of collateral, to the nearest cent. |
$49,791,639.40
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-03-31
|
e. Coupon or yield. |
2.125000
|
f. The principal amount, to the nearest cent. |
$314,334,000.00
|
g. Value of collateral, to the nearest cent. |
$331,835,326.99
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2042-02-15
|
e. Coupon or yield. |
3.125000
|
f. The principal amount, to the nearest cent. |
$5,020,900.00
|
g. Value of collateral, to the nearest cent. |
$5,854,260.19
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2023-12-31
|
e. Coupon or yield. |
2.250000
|
f. The principal amount, to the nearest cent. |
$100.00
|
g. Value of collateral, to the nearest cent. |
$106.13
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2025-02-15
|
e. Coupon or yield. |
7.625000
|
f. The principal amount, to the nearest cent. |
$700.00
|
g. Value of collateral, to the nearest cent. |
$899.55
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-04-15
|
e. Coupon or yield. |
0.375000
|
f. The principal amount, to the nearest cent. |
$40,980,800.00
|
g. Value of collateral, to the nearest cent. |
$41,101,307.07
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2049-11-15
|
e. Coupon or yield. |
2.375000
|
f. The principal amount, to the nearest cent. |
$161,072,000.00
|
g. Value of collateral, to the nearest cent. |
$163,849,363.62
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2042-11-15
|
e. Coupon or yield. |
2.750000
|
f. The principal amount, to the nearest cent. |
$15,407,900.00
|
g. Value of collateral, to the nearest cent. |
$16,811,258.73
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
F1
|
Name of NRSRO |
Moody's - BR
|
Rating |
P-1
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$753,000,000.00
|
b. Excluding the value of any sponsor support: |
$753,000,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.59%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
U.S. Treasury Notes
|
Item C.2 The title of the issue (including coupon, if applicable). |
U.S. Treasury Notes 2.875
|
Item C.3 The CUSIP. |
9128285F3
|
Item C.4 The LEI (if available). (See General Instruction E.) |
254900HROIFWPRGM1V77
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; |
US9128285F31
|
b. The CIK; or | |
c. Other unique identifier. | |
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
Govt
|
Name of NRSRO |
Moody's - BR
|
Rating |
Govt
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
AA+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-10-15
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-10-15
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-10-15
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.12%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$48,989,418.63
|
b. Excluding the value of any sponsor support: |
$48,989,418.63
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.04%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
U.S. Treasury Notes
|
Item C.2 The title of the issue (including coupon, if applicable). |
U.S. Treasury Notes 2.875
|
Item C.3 The CUSIP. |
9128285L0
|
Item C.4 The LEI (if available). (See General Instruction E.) |
254900HROIFWPRGM1V77
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; |
US9128285L09
|
b. The CIK; or | |
c. Other unique identifier. | |
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
Govt
|
Name of NRSRO |
Moody's - BR
|
Rating |
Govt
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
AA+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-11-15
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-11-15
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-11-15
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.12%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$138,492,535.84
|
b. Excluding the value of any sponsor support: |
$138,492,535.84
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.11%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
U.S. Treasury Notes
|
Item C.2 The title of the issue (including coupon, if applicable). |
U.S. Treasury Notes 2.500
|
Item C.3 The CUSIP. |
9128286C9
|
Item C.4 The LEI (if available). (See General Instruction E.) |
254900HROIFWPRGM1V77
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; |
US9128286C90
|
b. The CIK; or | |
c. Other unique identifier. | |
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
Govt
|
Name of NRSRO |
Moody's - BR
|
Rating |
Govt
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
AA+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2022-02-15
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2022-02-15
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2022-02-15
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.09%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$28,806,088.28
|
b. Excluding the value of any sponsor support: |
$28,806,088.28
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.02%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
HSBC Securities USA, Inc.
|
Item C.2 The title of the issue (including coupon, if applicable). |
HSBC Securities USA, Inc. 0.015
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
CYYGQCGNHMHPSMRL3R97
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRTT4RAM3
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2028-05-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$243,000.00
|
g. Value of collateral, to the nearest cent. |
$221,848.07
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2046-05-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$902,100.00
|
g. Value of collateral, to the nearest cent. |
$502,394.83
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2043-11-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$11,122,931.20
|
g. Value of collateral, to the nearest cent. |
$6,484,435.31
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2023-10-15
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$13,557,400.00
|
g. Value of collateral, to the nearest cent. |
$13,538,377.04
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2026-08-15
|
e. Coupon or yield. |
6.750000
|
f. The principal amount, to the nearest cent. |
$16,132,300.00
|
g. Value of collateral, to the nearest cent. |
$21,293,431.51
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2023-02-28
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$54,789,200.00
|
g. Value of collateral, to the nearest cent. |
$54,803,462.16
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-01-31
|
e. Coupon or yield. |
2.250000
|
f. The principal amount, to the nearest cent. |
$80,819,500.00
|
g. Value of collateral, to the nearest cent. |
$85,725,170.87
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2030-01-15
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$962,000.00
|
g. Value of collateral, to the nearest cent. |
$1,088,262.55
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2023-04-30
|
e. Coupon or yield. |
0.049000
|
f. The principal amount, to the nearest cent. |
$2,263,900.00
|
g. Value of collateral, to the nearest cent. |
$2,264,093.94
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2040-05-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$3,272,729.60
|
g. Value of collateral, to the nearest cent. |
$2,103,416.04
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2042-11-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$22,185,574.40
|
g. Value of collateral, to the nearest cent. |
$13,246,784.62
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2039-11-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$24,588,165.12
|
g. Value of collateral, to the nearest cent. |
$16,013,386.77
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2044-08-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$12,000.00
|
g. Value of collateral, to the nearest cent. |
$7,011.66
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2048-05-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$110,100.00
|
g. Value of collateral, to the nearest cent. |
$58,576.61
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-02-28
|
e. Coupon or yield. |
1.750000
|
f. The principal amount, to the nearest cent. |
$4,809,200.00
|
g. Value of collateral, to the nearest cent. |
$4,890,606.94
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2026-05-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$7,478,548.48
|
g. Value of collateral, to the nearest cent. |
$7,150,038.28
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2030-11-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$11,548,098.56
|
g. Value of collateral, to the nearest cent. |
$9,781,447.35
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2038-05-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$33,069,670.40
|
g. Value of collateral, to the nearest cent. |
$22,602,954.37
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2025-08-15
|
e. Coupon or yield. |
2.000000
|
f. The principal amount, to the nearest cent. |
$42,171,500.00
|
g. Value of collateral, to the nearest cent. |
$44,869,057.32
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2041-11-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$64,088,600.00
|
g. Value of collateral, to the nearest cent. |
$40,444,969.60
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2026-02-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$70,000.00
|
g. Value of collateral, to the nearest cent. |
$67,522.42
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2041-08-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$922,000.00
|
g. Value of collateral, to the nearest cent. |
$586,940.59
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2046-02-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$1,534,700.00
|
g. Value of collateral, to the nearest cent. |
$859,973.75
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2030-02-15
|
e. Coupon or yield. |
1.500000
|
f. The principal amount, to the nearest cent. |
$11,365,000.00
|
g. Value of collateral, to the nearest cent. |
$11,428,422.60
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2033-11-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$4,275,174.40
|
g. Value of collateral, to the nearest cent. |
$3,329,394.67
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2034-05-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$7,380,674.56
|
g. Value of collateral, to the nearest cent. |
$5,668,985.42
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2037-11-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$15,509,667.84
|
g. Value of collateral, to the nearest cent. |
$10,758,839.45
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2026-11-15
|
e. Coupon or yield. |
2.000000
|
f. The principal amount, to the nearest cent. |
$20,645,500.00
|
g. Value of collateral, to the nearest cent. |
$21,852,818.32
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-04-30
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$24,214,300.00
|
g. Value of collateral, to the nearest cent. |
$24,229,654.50
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2034-11-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$31,445,647.35
|
g. Value of collateral, to the nearest cent. |
$23,817,593.66
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2030-05-15
|
e. Coupon or yield. |
0.625000
|
f. The principal amount, to the nearest cent. |
$39,549,900.00
|
g. Value of collateral, to the nearest cent. |
$36,587,564.56
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2023-08-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$19,200.00
|
g. Value of collateral, to the nearest cent. |
$19,114.68
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2038-05-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$138,000.00
|
g. Value of collateral, to the nearest cent. |
$97,279.51
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2023-08-15
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$892,500.00
|
g. Value of collateral, to the nearest cent. |
$891,896.86
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2045-08-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$10,752,100.00
|
g. Value of collateral, to the nearest cent. |
$6,108,418.54
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-07-15
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$11,896,800.00
|
g. Value of collateral, to the nearest cent. |
$14,259,976.08
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2027-05-15
|
e. Coupon or yield. |
2.375000
|
f. The principal amount, to the nearest cent. |
$50,042,800.00
|
g. Value of collateral, to the nearest cent. |
$53,998,482.90
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2023-04-15
|
e. Coupon or yield. |
0.625000
|
f. The principal amount, to the nearest cent. |
$80,619,400.00
|
g. Value of collateral, to the nearest cent. |
$91,412,309.70
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2047-02-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$2,585,800.00
|
g. Value of collateral, to the nearest cent. |
$1,417,887.23
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-11-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$3,530,874.28
|
g. Value of collateral, to the nearest cent. |
$3,473,123.30
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2032-11-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$7,180,666.88
|
g. Value of collateral, to the nearest cent. |
$5,756,245.17
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2041-02-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$22,413,100.00
|
g. Value of collateral, to the nearest cent. |
$14,534,514.33
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2047-05-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$28,290,535.83
|
g. Value of collateral, to the nearest cent. |
$15,097,753.68
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2030-02-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$37,587,886.08
|
g. Value of collateral, to the nearest cent. |
$32,515,288.09
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2021-08-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$624,400.00
|
g. Value of collateral, to the nearest cent. |
$624,346.93
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-08-31
|
e. Coupon or yield. |
1.875000
|
f. The principal amount, to the nearest cent. |
$913,700.00
|
g. Value of collateral, to the nearest cent. |
$962,068.22
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2026-05-31
|
e. Coupon or yield. |
2.125000
|
f. The principal amount, to the nearest cent. |
$991,700.00
|
g. Value of collateral, to the nearest cent. |
$1,066,471.07
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2023-04-30
|
e. Coupon or yield. |
1.625000
|
f. The principal amount, to the nearest cent. |
$14,581,500.00
|
g. Value of collateral, to the nearest cent. |
$15,010,989.53
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-11-15
|
e. Coupon or yield. |
1.625000
|
f. The principal amount, to the nearest cent. |
$19,429,000.00
|
g. Value of collateral, to the nearest cent. |
$19,867,630.06
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2026-04-30
|
e. Coupon or yield. |
0.750000
|
f. The principal amount, to the nearest cent. |
$142,600,400.00
|
g. Value of collateral, to the nearest cent. |
$142,455,468.40
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
NR
|
Name of NRSRO |
Moody's - BR
|
Rating |
NR
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-04
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-04
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
a. The identity of the Demand Feature issuer(s). |
HSBC SECURITIES (USA) INC
|
b. The amount (i.e., percentage) of fractional support provided by each Demand Feature issuer. |
100.00%
|
c. The period remaining until the principal amount of the security may be recovered through the Demand Feature. |
4
|
d. Is the demand feature conditional? | Yes No |
e. Rating(s) considered. Provide each rating assigned to the demand feature(s) or demand feature provider(s) by any NRSRO that the board of directors (or its delegate) considered in evaluating the quality, maturity or liquidity of the security (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
NR
|
Name of NRSRO |
Moody's - BR
|
Rating |
NR
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A+
|
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.02%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$888,085,000.00
|
b. Excluding the value of any sponsor support: |
$888,085,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.69%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
HSBC Securities USA, Inc.
|
Item C.2 The title of the issue (including coupon, if applicable). |
HSBC Securities USA, Inc. 0.015
|
Item C.3 The CUSIP. | |
Item C.4 The LEI (if available). (See General Instruction E.) |
CYYGQCGNHMHPSMRL3R97
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; | |
b. The CIK; or | |
c. Other unique identifier. |
BRTT87X89
|
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
a. Is the repurchase agreement 'open'? | Yes No |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2029-07-15
|
e. Coupon or yield. |
0.250000
|
f. The principal amount, to the nearest cent. |
$36,800.00
|
g. Value of collateral, to the nearest cent. |
$42,529.06
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-10-31
|
e. Coupon or yield. |
2.250000
|
f. The principal amount, to the nearest cent. |
$55,300.00
|
g. Value of collateral, to the nearest cent. |
$58,829.68
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-11-30
|
e. Coupon or yield. |
2.125000
|
f. The principal amount, to the nearest cent. |
$8,750,000.00
|
g. Value of collateral, to the nearest cent. |
$9,355,315.05
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2021-08-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$15,356,231.68
|
g. Value of collateral, to the nearest cent. |
$15,355,479.22
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-08-31
|
e. Coupon or yield. |
1.625000
|
f. The principal amount, to the nearest cent. |
$22,262,100.00
|
g. Value of collateral, to the nearest cent. |
$22,776,087.97
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2021-09-30
|
e. Coupon or yield. |
2.125000
|
f. The principal amount, to the nearest cent. |
$372,900.00
|
g. Value of collateral, to the nearest cent. |
$376,738.45
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2023-01-31
|
e. Coupon or yield. |
2.375000
|
f. The principal amount, to the nearest cent. |
$1,796,200.00
|
g. Value of collateral, to the nearest cent. |
$1,877,269.88
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-01-31
|
e. Coupon or yield. |
1.375000
|
f. The principal amount, to the nearest cent. |
$25,025,000.00
|
g. Value of collateral, to the nearest cent. |
$25,357,133.32
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-06-30
|
e. Coupon or yield. |
2.125000
|
f. The principal amount, to the nearest cent. |
$47,859,200.00
|
g. Value of collateral, to the nearest cent. |
$49,328,422.18
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2029-04-15
|
e. Coupon or yield. |
3.875000
|
f. The principal amount, to the nearest cent. |
$3,335,700.00
|
g. Value of collateral, to the nearest cent. |
$7,621,347.86
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2023-01-15
|
e. Coupon or yield. |
0.125000
|
f. The principal amount, to the nearest cent. |
$7,835,300.00
|
g. Value of collateral, to the nearest cent. |
$9,429,016.74
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2023-07-31
|
e. Coupon or yield. |
2.750000
|
f. The principal amount, to the nearest cent. |
$8,786,200.00
|
g. Value of collateral, to the nearest cent. |
$9,354,334.33
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2027-11-30
|
e. Coupon or yield. |
0.625000
|
f. The principal amount, to the nearest cent. |
$75,179,700.00
|
g. Value of collateral, to the nearest cent. |
$72,896,905.17
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-02-29
|
e. Coupon or yield. |
2.125000
|
f. The principal amount, to the nearest cent. |
$8,900.00
|
g. Value of collateral, to the nearest cent. |
$9,401.06
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2051-05-15
|
e. Coupon or yield. |
2.375000
|
f. The principal amount, to the nearest cent. |
$50,000.00
|
g. Value of collateral, to the nearest cent. |
$51,188.80
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-05-31
|
e. Coupon or yield. |
1.750000
|
f. The principal amount, to the nearest cent. |
$240,100.00
|
g. Value of collateral, to the nearest cent. |
$246,170.40
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-03-31
|
e. Coupon or yield. |
1.875000
|
f. The principal amount, to the nearest cent. |
$420,800.00
|
g. Value of collateral, to the nearest cent. |
$428,393.47
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2027-02-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$1,988,300.00
|
g. Value of collateral, to the nearest cent. |
$1,876,543.62
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2027-07-31
|
e. Coupon or yield. |
0.375000
|
f. The principal amount, to the nearest cent. |
$3,646,500.00
|
g. Value of collateral, to the nearest cent. |
$3,496,432.00
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2042-05-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$17,660,057.60
|
g. Value of collateral, to the nearest cent. |
$10,686,189.15
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2027-04-30
|
e. Coupon or yield. |
0.500000
|
f. The principal amount, to the nearest cent. |
$23,393,300.00
|
g. Value of collateral, to the nearest cent. |
$22,694,435.33
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-07-31
|
e. Coupon or yield. |
2.000000
|
f. The principal amount, to the nearest cent. |
$29,939,400.00
|
g. Value of collateral, to the nearest cent. |
$30,802,705.25
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-09-30
|
e. Coupon or yield. |
1.500000
|
f. The principal amount, to the nearest cent. |
$50,000,000.00
|
g. Value of collateral, to the nearest cent. |
$51,951,202.46
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-03-15
|
e. Coupon or yield. |
0.250000
|
f. The principal amount, to the nearest cent. |
$113,341,600.00
|
g. Value of collateral, to the nearest cent. |
$113,387,584.65
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2024-11-30
|
e. Coupon or yield. |
1.500000
|
f. The principal amount, to the nearest cent. |
$2,104,000.00
|
g. Value of collateral, to the nearest cent. |
$2,197,616.16
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2026-12-31
|
e. Coupon or yield. |
1.750000
|
f. The principal amount, to the nearest cent. |
$4,146,500.00
|
g. Value of collateral, to the nearest cent. |
$4,360,810.59
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2025-08-31
|
e. Coupon or yield. |
2.750000
|
f. The principal amount, to the nearest cent. |
$54,009,800.00
|
g. Value of collateral, to the nearest cent. |
$59,200,671.90
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2025-03-31
|
e. Coupon or yield. |
0.500000
|
f. The principal amount, to the nearest cent. |
$123,905,000.00
|
g. Value of collateral, to the nearest cent. |
$123,920,407.55
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2037-02-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$51,900.00
|
g. Value of collateral, to the nearest cent. |
$38,068.91
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2025-11-30
|
e. Coupon or yield. |
0.375000
|
f. The principal amount, to the nearest cent. |
$338,600.00
|
g. Value of collateral, to the nearest cent. |
$334,473.51
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-07-31
|
e. Coupon or yield. |
1.875000
|
f. The principal amount, to the nearest cent. |
$872,000.00
|
g. Value of collateral, to the nearest cent. |
$895,491.75
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2022-09-15
|
e. Coupon or yield. |
1.500000
|
f. The principal amount, to the nearest cent. |
$17,805,500.00
|
g. Value of collateral, to the nearest cent. |
$18,180,418.03
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2021-07-15
|
e. Coupon or yield. |
2.625000
|
f. The principal amount, to the nearest cent. |
$24,994,500.00
|
g. Value of collateral, to the nearest cent. |
$25,315,137.87
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2038-08-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$34,280,611.84
|
g. Value of collateral, to the nearest cent. |
$23,235,912.91
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2042-08-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$31,000.00
|
g. Value of collateral, to the nearest cent. |
$19,133.26
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2026-08-15
|
e. Coupon or yield. |
0.000000
|
f. The principal amount, to the nearest cent. |
$7,856,035.34
|
g. Value of collateral, to the nearest cent. |
$7,466,336.71
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
b. The name of the collateral issuer. |
UNITED STATES TREASURY
|
c. LEI (if available). |
254900HROIFWPRGM1V77
|
d. Maturity date. |
2048-02-15
|
e. Coupon or yield. |
3.000000
|
f. The principal amount, to the nearest cent. |
$10,222,000.00
|
g. Value of collateral, to the nearest cent. |
$11,815,865.74
|
h. The category of investments that most closely represents the collateral, selected from among the following: |
Asset-Backed Securities Agency Collateralized Mortgage Obligations Agency Debentures and Agency Strips Agency Mortgage-Backed Securities Private Label Collateralized Mortgage Obligations Corporate Debt Securities Equities Money Market U.S. Treasuries (including strips) Other Instrument |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
NR
|
Name of NRSRO |
Moody's - BR
|
Rating |
NR
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-04
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-04
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
a. The identity of the Demand Feature issuer(s). |
HSBC SECURITIES (USA) INC
|
b. The amount (i.e., percentage) of fractional support provided by each Demand Feature issuer. |
100.00%
|
c. The period remaining until the principal amount of the security may be recovered through the Demand Feature. |
4
|
d. Is the demand feature conditional? | Yes No |
e. Rating(s) considered. Provide each rating assigned to the demand feature(s) or demand feature provider(s) by any NRSRO that the board of directors (or its delegate) considered in evaluating the quality, maturity or liquidity of the security (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
NR
|
Name of NRSRO |
Moody's - BR
|
Rating |
NR
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A+
|
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.02%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$722,000,000.00
|
b. Excluding the value of any sponsor support: |
$722,000,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.56%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
U.S. Treasury Notes
|
Item C.2 The title of the issue (including coupon, if applicable). |
U.S. Treasury Notes 0.235
|
Item C.3 The CUSIP. |
9128287G9
|
Item C.4 The LEI (if available). (See General Instruction E.) |
254900HROIFWPRGM1V77
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; |
US9128287G95
|
b. The CIK; or | |
c. Other unique identifier. | |
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
Govt
|
Name of NRSRO |
Moody's - BR
|
Rating |
Govt
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
AA+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-07-31
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-07-31
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.03%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$3,675,608,528.46
|
b. Excluding the value of any sponsor support: |
$3,675,608,528.46
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
2.86%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
U.S. Treasury Notes
|
Item C.2 The title of the issue (including coupon, if applicable). |
U.S. Treasury Notes 0.315
|
Item C.3 The CUSIP. |
912828YN4
|
Item C.4 The LEI (if available). (See General Instruction E.) |
254900HROIFWPRGM1V77
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; |
US912828YN43
|
b. The CIK; or | |
c. Other unique identifier. | |
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
Govt
|
Name of NRSRO |
Moody's - BR
|
Rating |
Govt
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
AA+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-10-31
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-10-31
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.03%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$3,114,237,845.60
|
b. Excluding the value of any sponsor support: |
$3,114,237,845.60
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
2.42%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
U.S. Treasury Notes
|
Item C.2 The title of the issue (including coupon, if applicable). |
U.S. Treasury Notes 1.500
|
Item C.3 The CUSIP. |
912828YT1
|
Item C.4 The LEI (if available). (See General Instruction E.) |
254900HROIFWPRGM1V77
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; |
US912828YT13
|
b. The CIK; or | |
c. Other unique identifier. | |
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
Govt
|
Name of NRSRO |
Moody's - BR
|
Rating |
Govt
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
AA+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-11-30
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-11-30
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-11-30
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.08%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$231,381,184.38
|
b. Excluding the value of any sponsor support: |
$231,381,184.38
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.18%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
U.S. Treasury Notes
|
Item C.2 The title of the issue (including coupon, if applicable). |
U.S. Treasury Notes 0.169
|
Item C.3 The CUSIP. |
912828Z45
|
Item C.4 The LEI (if available). (See General Instruction E.) |
254900HROIFWPRGM1V77
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; |
US912828Z450
|
b. The CIK; or | |
c. Other unique identifier. | |
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
Govt
|
Name of NRSRO |
Moody's - BR
|
Rating |
Govt
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
AA+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2022-01-31
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2022-01-31
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.03%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$1,133,050,117.90
|
b. Excluding the value of any sponsor support: |
$1,133,050,117.90
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.88%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
U.S. Treasury Notes
|
Item C.2 The title of the issue (including coupon, if applicable). |
U.S. Treasury Notes 0.375
|
Item C.3 The CUSIP. |
912828ZG8
|
Item C.4 The LEI (if available). (See General Instruction E.) |
254900HROIFWPRGM1V77
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; |
US912828ZG82
|
b. The CIK; or | |
c. Other unique identifier. | |
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
Govt
|
Name of NRSRO |
Moody's - BR
|
Rating |
Govt
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
AA+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2022-03-31
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2022-03-31
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2022-03-31
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.07%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$28,626,387.50
|
b. Excluding the value of any sponsor support: |
$28,626,387.50
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.02%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
U.S. Treasury Notes
|
Item C.2 The title of the issue (including coupon, if applicable). |
U.S. Treasury Notes 0.129
|
Item C.3 The CUSIP. |
912828ZK9
|
Item C.4 The LEI (if available). (See General Instruction E.) |
254900HROIFWPRGM1V77
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; |
US912828ZK94
|
b. The CIK; or | |
c. Other unique identifier. | |
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
Govt
|
Name of NRSRO |
Moody's - BR
|
Rating |
Govt
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
AA+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2022-04-30
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2022-04-30
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.03%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$1,758,714,889.62
|
b. Excluding the value of any sponsor support: |
$1,758,714,889.62
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
1.37%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
U.S. Treasury Bills
|
Item C.2 The title of the issue (including coupon, if applicable). |
U.S. Treasury Bills 0.002
|
Item C.3 The CUSIP. |
9127963H0
|
Item C.4 The LEI (if available). (See General Instruction E.) |
254900HROIFWPRGM1V77
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; |
US9127963H06
|
b. The CIK; or | |
c. Other unique identifier. | |
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
Govt
|
Name of NRSRO |
Moody's - BR
|
Rating |
Govt
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-17
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-17
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-17
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.00%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$5,539,362,702.59
|
b. Excluding the value of any sponsor support: |
$5,539,362,702.59
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
4.31%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
U.S. Treasury Notes
|
Item C.2 The title of the issue (including coupon, if applicable). |
U.S. Treasury Notes 0.070
|
Item C.3 The CUSIP. |
91282CAA9
|
Item C.4 The LEI (if available). (See General Instruction E.) |
254900HROIFWPRGM1V77
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; |
US91282CAA99
|
b. The CIK; or | |
c. Other unique identifier. | |
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
Govt
|
Name of NRSRO |
Moody's - BR
|
Rating |
Govt
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
AA+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2022-07-31
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2022-07-31
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.03%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$2,062,973,513.55
|
b. Excluding the value of any sponsor support: |
$2,062,973,513.55
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
1.61%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
U.S. Treasury Bills
|
Item C.2 The title of the issue (including coupon, if applicable). |
U.S. Treasury Bills 0.013
|
Item C.3 The CUSIP. |
9127964B2
|
Item C.4 The LEI (if available). (See General Instruction E.) |
254900HROIFWPRGM1V77
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; |
US9127964B27
|
b. The CIK; or | |
c. Other unique identifier. | |
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
Govt
|
Name of NRSRO |
Moody's - BR
|
Rating |
Govt
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-08-12
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-08-12
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-08-12
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$349,487,418.00
|
b. Excluding the value of any sponsor support: |
$349,487,418.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.27%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
U.S. Treasury Bills
|
Item C.2 The title of the issue (including coupon, if applicable). |
U.S. Treasury Bills 0.012
|
Item C.3 The CUSIP. |
9127964L0
|
Item C.4 The LEI (if available). (See General Instruction E.) |
254900HROIFWPRGM1V77
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; |
US9127964L09
|
b. The CIK; or | |
c. Other unique identifier. | |
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
Govt
|
Name of NRSRO |
Moody's - BR
|
Rating |
Govt
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-09-09
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-09-09
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-09-09
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$755,762,210.00
|
b. Excluding the value of any sponsor support: |
$755,762,210.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.59%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
U.S. Treasury Bills
|
Item C.2 The title of the issue (including coupon, if applicable). |
U.S. Treasury Bills 0.016
|
Item C.3 The CUSIP. |
9127964V8
|
Item C.4 The LEI (if available). (See General Instruction E.) |
254900HROIFWPRGM1V77
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; |
US9127964V80
|
b. The CIK; or | |
c. Other unique identifier. | |
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
Govt
|
Name of NRSRO |
Moody's - BR
|
Rating |
Govt
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-10-07
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-10-07
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-10-07
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.02%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$536,969,450.07
|
b. Excluding the value of any sponsor support: |
$536,969,450.07
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.42%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
U.S. Treasury Notes
|
Item C.2 The title of the issue (including coupon, if applicable). |
U.S. Treasury Notes 0.070
|
Item C.3 The CUSIP. |
91282CAS0
|
Item C.4 The LEI (if available). (See General Instruction E.) |
254900HROIFWPRGM1V77
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; |
US91282CAS08
|
b. The CIK; or | |
c. Other unique identifier. | |
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
Govt
|
Name of NRSRO |
Moody's - BR
|
Rating |
Govt
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
AA+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2022-10-31
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2022-10-31
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.03%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$3,271,789,376.70
|
b. Excluding the value of any sponsor support: |
$3,271,789,376.70
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
2.55%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
U.S. Treasury Bills
|
Item C.2 The title of the issue (including coupon, if applicable). |
U.S. Treasury Bills 0.020
|
Item C.3 The CUSIP. |
9127964W6
|
Item C.4 The LEI (if available). (See General Instruction E.) |
254900HROIFWPRGM1V77
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; |
US9127964W63
|
b. The CIK; or | |
c. Other unique identifier. | |
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
Govt
|
Name of NRSRO |
Moody's - BR
|
Rating |
Govt
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-11-04
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-11-04
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-11-04
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.02%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$838,283,208.81
|
b. Excluding the value of any sponsor support: |
$838,283,208.81
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.65%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
U.S. Treasury Bills
|
Item C.2 The title of the issue (including coupon, if applicable). |
U.S. Treasury Bills 0.025
|
Item C.3 The CUSIP. |
9127965G0
|
Item C.4 The LEI (if available). (See General Instruction E.) |
254900HROIFWPRGM1V77
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; |
US9127965G05
|
b. The CIK; or | |
c. Other unique identifier. | |
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
Govt
|
Name of NRSRO |
Moody's - BR
|
Rating |
Govt
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-12-02
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-12-02
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-12-02
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.02%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$1,501,316,519.74
|
b. Excluding the value of any sponsor support: |
$1,501,316,519.74
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
1.17%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
U.S. Treasury Bills
|
Item C.2 The title of the issue (including coupon, if applicable). |
U.S. Treasury Bills 0.002
|
Item C.3 The CUSIP. |
912796A41
|
Item C.4 The LEI (if available). (See General Instruction E.) |
254900HROIFWPRGM1V77
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; |
US912796A411
|
b. The CIK; or | |
c. Other unique identifier. | |
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
Govt
|
Name of NRSRO |
Moody's - BR
|
Rating |
Govt
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-03
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-03
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-03
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.00%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$2,720,255,203.09
|
b. Excluding the value of any sponsor support: |
$2,720,255,203.09
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
2.12%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
U.S. Treasury Bills
|
Item C.2 The title of the issue (including coupon, if applicable). |
U.S. Treasury Bills 0.023
|
Item C.3 The CUSIP. |
912796B24
|
Item C.4 The LEI (if available). (See General Instruction E.) |
254900HROIFWPRGM1V77
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; |
US912796B245
|
b. The CIK; or | |
c. Other unique identifier. | |
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
Govt
|
Name of NRSRO |
Moody's - BR
|
Rating |
Govt
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-10
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-10
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-10
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.02%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$3,278,982,540.76
|
b. Excluding the value of any sponsor support: |
$3,278,982,540.76
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
2.55%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
U.S. Treasury Bills
|
Item C.2 The title of the issue (including coupon, if applicable). |
U.S. Treasury Bills 0.053
|
Item C.3 The CUSIP. |
912796G37
|
Item C.4 The LEI (if available). (See General Instruction E.) |
254900HROIFWPRGM1V77
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; |
US912796G376
|
b. The CIK; or | |
c. Other unique identifier. | |
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
Govt
|
Name of NRSRO |
Moody's - BR
|
Rating |
Govt
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-01
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-01
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-01
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.05%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$8,889,950,000.00
|
b. Excluding the value of any sponsor support: |
$8,889,950,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
6.92%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
U.S. Treasury Bills
|
Item C.2 The title of the issue (including coupon, if applicable). |
U.S. Treasury Bills 0.027
|
Item C.3 The CUSIP. |
912796A90
|
Item C.4 The LEI (if available). (See General Instruction E.) |
254900HROIFWPRGM1V77
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; |
US912796A908
|
b. The CIK; or | |
c. Other unique identifier. | |
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
Govt
|
Name of NRSRO |
Moody's - BR
|
Rating |
Govt
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-12-30
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-12-30
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-12-30
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.03%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$295,409,984.25
|
b. Excluding the value of any sponsor support: |
$295,409,984.25
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.23%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
U.S. Treasury Bills
|
Item C.2 The title of the issue (including coupon, if applicable). |
U.S. Treasury Bills 0.002
|
Item C.3 The CUSIP. |
912796B32
|
Item C.4 The LEI (if available). (See General Instruction E.) |
254900HROIFWPRGM1V77
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; |
US912796B328
|
b. The CIK; or | |
c. Other unique identifier. | |
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
Govt
|
Name of NRSRO |
Moody's - BR
|
Rating |
Govt
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-24
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-24
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-24
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.00%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$4,989,887,082.21
|
b. Excluding the value of any sponsor support: |
$4,989,887,082.21
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
3.88%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
U.S. Treasury Bills
|
Item C.2 The title of the issue (including coupon, if applicable). |
U.S. Treasury Bills 0.009
|
Item C.3 The CUSIP. |
912796B57
|
Item C.4 The LEI (if available). (See General Instruction E.) |
254900HROIFWPRGM1V77
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; |
US912796B575
|
b. The CIK; or | |
c. Other unique identifier. | |
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
Govt
|
Name of NRSRO |
Moody's - BR
|
Rating |
Govt
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-07-08
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-07-08
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-07-08
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.01%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$2,199,988,692.00
|
b. Excluding the value of any sponsor support: |
$2,199,988,692.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
1.71%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
U.S. Treasury Bills
|
Item C.2 The title of the issue (including coupon, if applicable). |
U.S. Treasury Bills 0.002
|
Item C.3 The CUSIP. |
912796C49
|
Item C.4 The LEI (if available). (See General Instruction E.) |
254900HROIFWPRGM1V77
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; |
US912796C490
|
b. The CIK; or | |
c. Other unique identifier. | |
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
Govt
|
Name of NRSRO |
Moody's - BR
|
Rating |
Govt
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-07-22
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-07-22
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-07-22
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.00%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$1,565,000,000.00
|
b. Excluding the value of any sponsor support: |
$1,565,000,000.00
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
1.22%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
U.S. Treasury Bills
|
Item C.2 The title of the issue (including coupon, if applicable). |
U.S. Treasury Bills 0.004
|
Item C.3 The CUSIP. |
912796H28
|
Item C.4 The LEI (if available). (See General Instruction E.) |
254900HROIFWPRGM1V77
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; |
US912796H283
|
b. The CIK; or | |
c. Other unique identifier. | |
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
Govt
|
Name of NRSRO |
Moody's - BR
|
Rating |
Govt
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-22
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-22
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-22
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.00%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$361,999,576.46
|
b. Excluding the value of any sponsor support: |
$361,999,576.46
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.28%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
U.S. Treasury Bills
|
Item C.2 The title of the issue (including coupon, if applicable). |
U.S. Treasury Bills 0.015
|
Item C.3 The CUSIP. |
912796H36
|
Item C.4 The LEI (if available). (See General Instruction E.) |
254900HROIFWPRGM1V77
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; |
US912796H366
|
b. The CIK; or | |
c. Other unique identifier. | |
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
Govt
|
Name of NRSRO |
Moody's - BR
|
Rating |
Govt
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-29
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-29
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-29
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.02%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$1,175,992,685.28
|
b. Excluding the value of any sponsor support: |
$1,175,992,685.28
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
0.92%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
U.S. Treasury Bills
|
Item C.2 The title of the issue (including coupon, if applicable). |
U.S. Treasury Bills 0.002
|
Item C.3 The CUSIP. |
912796H85
|
Item C.4 The LEI (if available). (See General Instruction E.) |
254900HROIFWPRGM1V77
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; |
US912796H853
|
b. The CIK; or | |
c. Other unique identifier. | |
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
Govt
|
Name of NRSRO |
Moody's - BR
|
Rating |
Govt
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-07-06
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-07-06
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-07-06
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.00%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$6,046,632,343.78
|
b. Excluding the value of any sponsor support: |
$6,046,632,343.78
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
4.71%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
Item C.1 The name of the issuer. |
U.S. Treasury Bills
|
Item C.2 The title of the issue (including coupon, if applicable). |
U.S. Treasury Bills 0.003
|
Item C.3 The CUSIP. |
912796G86
|
Item C.4 The LEI (if available). (See General Instruction E.) |
254900HROIFWPRGM1V77
|
Item C.5 Other identifier. In addition to CUSIP and LEI, provide at least one of the following other identifiers, if available: | |
a. The ISIN; |
US912796G863
|
b. The CIK; or | |
c. Other unique identifier. | |
Item C.6 The category of investment. Indicate the category that most closely identifies the instrument from among the following: |
U.S. Treasury Debt U.S. Government Agency Debt Non-U.S. Sovereign, Sub-Sovereign and Supra-National debt Certificate of Deposit Non-Negotiable Time Deposit Variable Rate Demand Note Other Municipal Security Asset Backed Commercial Paper Other Asset Backed Securities U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Other Repurchase Agreement, if any collateral falls outside Treasury, Government Agency and cash Insurance Company Funding Agreement Investment Company Financial Company Commercial Paper Non-Financial Company Commercial Paper Tender Option Bond Other Instrument |
Item C.7 If the security is a repurchase agreement, is the fund treating the acquisition of the repurchase agreement as the acquisition of the underlying securities (i.e., collateral) for purposes of portfolio diversification under rule 2a-7? | Yes No |
Item C.8 For all repurchase agreements, specify whether the repurchase agreement is 'open' (i.e., the repurchase agreement has no specified end date and, by its terms, will be extended or 'rolled' each business day (or at another specified period) unless the investor chooses to terminate it), and describe the securities subject to the repurchase agreement (i.e., collateral). | |
If multiple securities of an issuer are subject to the repurchase agreement, the securities may be aggregated, in which case disclose: (a) the total principal amount and value and (b) the range of maturity dates and interest rates. | |
Item C.9 Is the security an Eligible Security? | Yes No |
Item C.10 Security rating(s) considered. Provide each rating assigned by any NRSRO that the fund's board of directors (or its delegate) considered in determining that the security presents minimal credit risks (together with the name of the assigning NRSRO). If none, leave blank. | |
Name of NRSRO |
Fitch - BR
|
Rating |
Govt
|
Name of NRSRO |
Moody's - BR
|
Rating |
Govt
|
Name of NRSRO |
Standard & Poor's - BR
|
Rating |
A-1+
|
Item C.11 The maturity date determined by taking into account the maturity shortening provisions of rule 2a-7(i) (i.e., the maturity date used to calculate WAM under rule 2a-7(d)(1)(ii)). |
2021-06-08
|
Item C.12 The maturity date determined without reference to the exceptions in rule 2a-7(i) regarding interest rate readjustments (i.e., the maturity date used to calculate WAL under rule 2a-7(d)(1)(iii)). |
2021-06-08
|
Item C.13 The maturity date determined without reference to the maturity shortening provisions of rule 2a-7(i) (i.e., the ultimate legal maturity date on which, in accordance with the terms of the security without regard to any interest rate readjustment or demand feature, the principal amount must unconditionally be paid). |
2021-06-08
|
Item C.14 Does the security have a Demand Feature on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.14.a - 14.e. Where applicable, provide the information required in Items C.14b - 14.e in the order that each Demand Feature issuer was reported in Item C.14.a | |
Item C.15 Does the security have a Guarantee (other than an unconditional letter of credit disclosed in item C.14 above) on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.15.a - 15.c. Where applicable, provide the information required in Item C.15.b - 15.c in the order that each Guarantor was reported in Item C.15.a. | |
Item C.16 Does the security have any enhancements, other than those identified in Items C.14 and C.15 above, on which the fund is relying to determine the quality, maturity or liquidity of the security? | Yes No |
If Yes, answer Items C.16.a - 16.d. Where applicable, provide the information required in Items C.16.b - 16.d in the order that each enhancement provider was reported in Item C.16.a. | |
Item C.17 The yield of the security as of the reporting date. |
0.00%
|
Item C.18 The total Value of the fund's position in the security, to the nearest cent: (See General Instruction E.) | |
a. Including the value of any sponsor support: |
$6,669,787,060.59
|
b. Excluding the value of any sponsor support: |
$6,669,787,060.59
|
Item C.19 The percentage of the money market fund's net assets invested in the security, to the nearest hundredth of a percent. |
5.19%
|
Item C.20 Is the security categorized at level 3 in the fair value hierarchy under U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement)? | Yes No |
Item C.21 Is the security a Daily Liquid Asset? | Yes No |
Item C.22 Is the security a Weekly Liquid Asset? | Yes No |
Item C.23 Is the security an Illiquid Security? | Yes No |
Item C.24 Explanatory notes. Disclose any other information that may be material to other disclosures related to the portfolio security. If none, leave blank. |
(Registrant) |
BlackRock Liquidity Funds
|
Date |
2021-06-07
|
(Signature)* |
/s/Ann Frechette
|
Name of Signing Officer |
Ann Frechette
|
Title of Signing Officer |
Assistant Treasurer
|